N-CSRS 1 usf0609ncsrlast.txt 6/30/2009 OMB APPROVAL OMB Number: 3235-0570 Expires: August 31, 2010 Estimated average burden hours per response...18.9 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-4815 Ultra Series Fund (Exact name of registrant as specified in charter) 550 Science Drive, Madison, WI 53711 (Address of principal executive offices)(Zip code) W. Richard Mason Madison/Mosaic Legal and Compliance Department 8777 N. Gainey Center Drive, Suite 220 Scottsdale, AZ 85258 (Name and address of agent for service) Registrant's telephone number, including area code: 608-274-0300 Date of fiscal year end: December 31 Date of reporting period: June 30, 2009 Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspoection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. s 3507. -------------------------------------------------------------------------------- SEMIANNUAL REPORT -------------------------------------------------------------------------------- FOR PERIOD ENDED JUNE 30, 2009 Conservative Allocation, Moderate Allocation, Aggressive Allocation, Money Market, Bond, High Income, Diversified Income, Large Cap Value, Large Cap Growth, Mid Cap Value, Mid Cap Growth, Small Cap Value, Small Cap Growth, Global Securities, International Stock,Target Retirement 2020, Target Retirement 2030, and Target Retirement 2040 Funds of the Ultra Series Fund MEMBERS(R) Variable Annuity MEMBERS(R) Variable Annuity II MEMBERS(R) Choice Variable Annuity MEMBERS(R) Variable Annuity III MEMBERS(R) Variable Universal Life MEMBERS(R) Variable Universal Life II DISTRIBUTED BY: CUNA Brokerage Services, Inc. Office of Supervisory Jurisdiction 2000 Heritage Way Waverly, IA 50677 Member FINRA & SIPC TELEPHONE: (319) 352-4090 (800) 798-5500 [LOGO OF MEMBERS](TM) INSURANCE & INVESTMENTS This material is for reporting purposes only and shall not be used in connection with a solicitation, offer or any proposed sale or purchase of securities unless preceded or accompanied by a prospectus. -------------------------------------------------------------------------------- MOVE CONFIDENTLY INTO THE FUTURE(TM) SEMIANNUAL REPORT To reduce service expenses, CUNA Mutual Insurance Society may send only one copy of this booklet per household, regardless of the number of policyowners at the household. However, any policyowner may obtain additional copies of this booklet upon request to CUNA Mutual Insurance Society. If you have questions, please call CUNA Mutual Insurance Society at 1.800.798.5500. As with all variable life insurance policies and mutual funds, the Securities and Exchange Commission ("Commission") has not approved or disapproved of these securities, nor does the Commission guarantee the accuracy or adequacy of any prospectus. Any statement to the contrary is a criminal offense.
FUND RETURNS AND PEER GROUP RANK AS OF 6/30/2009 ------------------------------------------------ 1 YEAR 3 YEARS 5 YEARS 10 YEARS -------------------- -------------------- -------------------- -------------------- % RANK/# % RANK/# % RANK/# % RANK/# OF FUNDS IN OF FUNDS IN OF FUNDS IN OF FUNDS IN FUND AND PEER GROUP RETURN CATEGORY RETURN CATEGORY RETURN CATEGORY RETURN CATEGORY ------------------- ------ ----------- ------ ----------- ------ ----------- ------ ----------- CONSERVATIVE ALLOCATION -11.29% 62/99 -1.22% 54/69 N/A N/A N/A N/A Conservative Allocation* -8.89% -0.16% N/A N/A MODERATE ALLOCATION -22.06% 84/226 -5.04% 66/181 N/A N/A N/A N/A Moderate Allocation* -17.94% -3.56% N/A N/A AGGRESSIVE ALLOCATION -31.02% 87/331 -8.39% 51/306 N/A N/A N/A N/A Large Blend* -26.34% -8.47% N/A N/A BOND 4.60% 36/151 5.16% 35/142 4.17% 32/138 4.92% 32/117 Intermediate-Term Bond* 1.73% 3.75% 3.55% 3.55% HIGH INCOME 0.64% 3/91 3.01% 7/89 4.41% 8/87 N/A N/A High Yield Bond* -10.61% -1.58% 1.70% N/A DIVERSIFIED INCOME -7.26% 3/226 -0.83% 9/181 1.55% 21/144 1.78% 21/115 Moderate Allocation* -17.94% -3.56% 0.61% 0.61% LARGE CAP VALUE -28.77% 68/217 -10.57% 61/193 -2.81% 63/176 -2.53% 63/120 Large Value* -26.50% -10.20% -2.65% -2.65% LARGE CAP GROWTH -21.69% 17/338 -4.00% 14/317 -0.96% 32/289 -0.96% 32/194 Large Growth* -27.83% -7.20% -1.77% -1.77% MID CAP VALUE -28.34% 63/85 -10.02% 60/72 -1.60% 63/58 4.80% 63/23 Mid-Cap Value* -27.56% -10.15% -1.78% -1.78% MID CAP GROWTH -30.64% 49/143 -8.03% 52/139 -2.63% 73/132 N/A N/A Mid-Cap Growth* -31.04% -7.97% -0.99% N/A SMALL CAP VALUE -20.00% 24/43 N/A N/A N/A N/A N/A N/A Small Value* -23.63% N/A N/A N/A SMALL CAP GROWTH -37.67% 94/96 N/A N/A N/A N/A N/A N/A Small Growth* -26.74% N/A N/A N/A GLOBAL SECURITIES -27.82% 43/75 -9.66% 74/67 -0.05% 60/60 N/A N/A World Stock* -26.35% -6.89% 1.87% N/A INTERNATIONAL STOCK -26.03% 12/100 -5.95% 20/89 4.26% 18/82 N/A N/A Foreign Large Blend* -32.37% -7.79% 2.38% N/A TARGET RETIREMENT 2020 -24.87% 89/14 N/A N/A N/A N/A N/A N/A Target-Date 2015-2029* -15.00% N/A N/A N/A TARGET RETIREMENT 2030 -27.22% 75/11 N/A N/A N/A N/A N/A N/A Target-Date 2030+* -23.77% N/A N/A N/A TARGET RETIREMENT 2040 -30.68% 98/7 N/A N/A N/A N/A N/A N/A Target-Date 2030+ Category -26.01% N/A N/A N/A
* Source of category peer group returns and ranks: Morningstar Direct; The Morningstar Average Peer Returns represents the average annual composite performance of all mutual funds listed in each fund category by Morningstar. The highest (or most favorable) percentile rank is 1 and the lowest (or least favorable) percentile rank is 100. The funds' ranking data shown is for Class I Shares, and the returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund. Performance data shown represents past performance. Past performance does not guarantee future results; the investment return and prinicpal value of an investment will fluctuate; and investor's shares, when redeemed may be worth more or less than their original cost; and current performance may be lower or higher than the performance data quoted. For more current performance information, please call 1-800-798-5500. (c) 2009 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. For more complete information about the Ultra Series Fund, including charges and expenses, request a prospectus from your registered representative or from CUNA Mutual Insurance Society, 2000 Heritage Way, Waverly, IA 50677, or by calling 1-800-798-5500. Read it carefully before you invest or send money. Consider the investment objectives, risks, charges and expenses of the investment carefully before investing. The prospectus contains this and other information about the investment company. -------------------------------------------------------------------------------- ================================================================================ TABLE OF CONTENTS --------------------------------------------------------------------------------
PAGE ---- FUND PERFORMANCE REVIEWS Conservative Allocation Fund ................................... 2 Moderate Allocation Fund ....................................... 3 Aggressive Allocation Fund ..................................... 4 Bond Fund ...................................................... 5 High Income Fund ............................................... 6 Diversified Income Fund ........................................ 7 Large Cap Value Fund ........................................... 8 Large Cap Growth Fund .......................................... 9 Mid Cap Value Fund ............................................. 10 Mid Cap Growth Fund ............................................ 11 Small Cap Value Fund ........................................... 12 Small Cap Growth Fund .......................................... 13 Global Securities Fund ......................................... 14 International Stock Fund ....................................... 15 Target Retirement 2020 Fund .................................... 16 Target Retirement 2030 Fund .................................... 17 Target Retirement 2040 Fund .................................... 18 PORTFOLIOS OF INVESTMENTS Conservative Allocation Fund ................................... 19 Moderate Allocation Fund ....................................... 20 Aggressive Allocation Fund ..................................... 22 Money Market Fund .............................................. 23 Bond Fund ...................................................... 25 High Income Fund ............................................... 30 Diversified Income Fund ........................................ 36 Large Cap Value Fund ........................................... 42 Large Cap Growth Fund .......................................... 45 Mid Cap Value Fund ............................................. 47 Mid Cap Growth Fund ............................................ 50 Small Cap Value Fund ........................................... 52 Small Cap Growth Fund .......................................... 54 Global Securities Fund ......................................... 57 International Stock Fund ....................................... 60 Target Retirement 2020 Fund .................................... 65 Target Retirement 2030 Fund .................................... 67 Target Retirement 2040 Fund .................................... 69 FINANCIAL STATEMENTS Statements of Assets and Liabilities ........................... 70 Statements of Operations ....................................... 74 Statements of Changes in Net Assets ............................ 78 Financial Highlights ........................................... 86 NOTES TO FINANCIAL STATEMENTS ......................................... 104 OTHER INFORMATION ..................................................... 118
Non-deposit investment products are not federally insured, involve investment risk, may lose value and are not obligations of or guaranteed by any financial institution. For more complete information about the Ultra Series Fund, including charges and expenses, request a prospectus from your registered representative or from CUNA Mutual Insurance Society, 2000 Heritage Way, Waverly, IA 50677. Consider the investment objectives, risks, charges and expenses of the investment carefully before investing. The prospectus contains this and other information about the investment company. For current performance information, please call 1-800-798-5500. Current performance may be lower or higher than the performance data quoted within. Past performance does not guarantee future results. Nothing in this report represents a recommendation of a security by the investment adviser. Portfolio holdings may have changed since the date of this report. -------------------------------------------------------------------------------- ================================================================================ CONSERVATIVE ALLOCATION FUND PERFORMANCE REVIEW -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,5,6)
MERRILL LYNCH NEW CONSERVATIVE OLD CONSERVATIVE U.S. CORPORATE, ALLOCATION FUND ALLOCATION FUND GOVERNMENT & MORTGAGE CLASS I SHARES CUSTOM INDEX(2) CUSTOM INDEX(3) INDEX(4) 6/30/2006 $10,000 $10,000 $10,000 $10,000 6/30/2007 10,986 11,167 11,030 10,650 6/30/2007 10,865 11,218 11,119 11,456 6/30/2009 9,638 10,567 10,594 12,199
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(5,6)
Since Since Annual 6/30/06 5/1/09 Expense 1 Year 3 Years Inception Inception Ratio ---------------------------------------- ------- Class I Shares -11.29% -1.22% -1.22% -- 1.08% Class II Shares -- -- -- 3.69% 1.33 New Conservative Allocation Fund Custom Index(2) -5.81 1.72 1.85 3.15 NA Old Conservative Allocation Fund Custom Index(3) -4.72 1.90 1.94 2.47 NA Merrill Lynch U.S. Corporate, Government & Mortgage Index(4) 6.48 6.73 6.84 1.32 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the securities that make up the index. (2) In May 2009, the custom benchmark for the fund was changed from the Old Conservative Allocation Fund Custom Index to the New Conservative Allocation Fund Custom Index because the adviser believes the new custom benchmark better reflects the fund's asset allocation targets. The New Conservative Allocation Fund Custom Index consists of 65% Merrill Lynch U.S. Corporate, Government and Mortgage Index, 30% Russell 3000(R) Index and 5% MSCI EAFE Index. A description of the Merrill Lynch Index and the Russell 3000(R) Index is set forth below. The MSCI EAFE (Europe, Australasia & Far East) Index is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. (3) The Old Conservative Allocation Fund Custom Index consists of 55% Merrill Lynch U.S. Corporate, Government & Mortgage Index, 30% Russell 1000(R) Index, and 15% 90-Day U.S. Treasury Bills. A description of the Merrill Lynch U.S. Corporate, Government & Mortgage Index is set forth below. The Russell 1000(R) Index is a large-cap market index which measures the performance of the 1,000 largest companies in the Russell 3000(R) Index (the Russell 3000(R) Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization). (4) The Merrill Lynch U.S. Corporate, Government & Mortgage Index, formerly the Merrill Lynch U.S. Domestic Master Index, is broad-based measure of the total rate of return performance of the U.S. investment-grade bond markets. The index is a capitalization-weighted aggregation of outstanding U.S. treasury, agency and supranational mortgage pass-through, and investment- grade corporate bonds meeting specified selection criteria. (5) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. (6) MEMBERS Capital Advisors reduced its management fee for the Conservative Allocation Fund from June 30, 2006 through April 30, 2008. If the management fee had not been reduced, returns would have been lower. -------------------------------------------------------------------------------- 2 ================================================================================ MODERATE ALLOCATION FUND PERFORMANCE REVIEW -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,6,7)
NEW MODERATE OLD MODERATE ALLOCATION FUND ALLOCATION FUND S&P 500 RUSSELL 1000(R) CLASS I SHARES CUSTOM INDEX(2) CUSTOM INDEX(3) INDEX(4) INDEX(5) 6/30/2006 $10,000 $10,000 $10,000 $10,000 $10,000 6/30/2007 11,558 11,619 11,547 12,034 12,021 6/30/2008 10,987 11,115 10,983 10,455 10,536 6/30/2009 8,564 9,497 9,360 7,714 7,723
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(6,7)
Since Since Annual 6/30/06 5/1/09 Expense 1 Year 3 Years Inception Inception Ratio ---------------------------------------- ------- Class I Shares -22.06% -5.04% -5.03% -- 1.22% Class II Shares -- -- -- 4.39% 1.47 New Moderate Allocation Fund Custom Index(2) -14.55 -1.92 -1.70 4.82 NA Old Moderate Allocation Fund Custom Index(3) -14.77 -2.32 -2.17 4.40 NA S&P 500 Index(4) -26.21 -8.22 -8.27 5.80 NA Russell 1000(R) Index(5) -26.69 -8.20 -8.24 5.79 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the securities that make up the index. (2) In May 2009, the custom benchmark for the fund was changed from the Old Moderate Allocation Fund Custom Index to the New Moderate Allocation Fund Custom Index because the adviser believes the new custom benchmark better reflects the fund's asset allocation targets. The new Moderate Allocation Fund Custom Index consists of 40% Merrill Lynch U.S. Corporate, Government and Mortgage Index, 45% Russell 3000(R) Index and 15% MSCI EAFE Index. A description of the Merrill Lynch Index, the MSCI Index and the Russell 3000(R) Index is set forth below. (3) The Old Moderate Allocation Fund Custom Index consists of 50% Russell 3000(R) Index, 30% Merrill Lynch U.S. Corporate, Government & Mortgage Index, 10% MSCI EAFE Index and 10% 90-Day U.S. Treasury Bills. A description of the Russell 3000(R) Index is set forth below. The Merrill Lynch U.S. Corporate, Government & Mortgage Index, formerly the Merrill Lynch U.S. Domestic Master Index, is a broad-based measure of the total rate of return performance of the U.S. investment-grade bond markets. The index is a capitalization-weighted aggregation of outstanding U.S. treasury, agency and supranational mortgage pass-through, and investment-grade corporate bonds meeting specified selection criteria. The MSCI EAFE (Europe, Australasia & Far East) Index is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. (4) In May 2009, the broad-based securities market index for the fund was changed from the Russell 1000(R) Index to the S&P 500 Index because the adviser believes the index better reflects the fund's asset allocation targets. The S&P 500 Index is a large-cap market index which measures the performance of a representative sample of 500 leading companies in leading industries in the U.S. (5) The Russell 1000(R) Index is a large-cap market index which measures the performance of the 1,000 largest companies in the Russell 3000(R) Index (the Russell 3000(R) Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization). (6) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. (7) MEMBERS Capital Advisors reduced its management fee for the Moderate Allocation Fund from June 30, 2006 through April 30, 2008. If the management fee had not been reduced, returns would have been lower. -------------------------------------------------------------------------------- 3 ================================================================================ AGGRESSIVE ALLOCATION FUND PERFORMANCE REVIEW -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,6,7)
NEW AGGRESSIVE OLD AGGRESSIVE ALLOCATION FUND ALLOCATION FUND S&P 500 RUSSELL 3000(R) CLASS I SHARES CUSTOM INDEX(2) CUSTOM INDEX(3) INDEX(4) INDEX(5) 6/30/2006 $10,000 $10,000 $10,000 $10,000 $10,000 6/30/2007 12,197 12,143 12,473 12,034 12,003 6/30/2008 11,145 11,060 11,099 10,455 10,480 6/30/2009 7,687 8,495 8,078 7,714 7,696
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(6,7)
Since Since Annual 6/30/06 5/1/09 Expense 1 Year 3 Years Inception Inception Ratio ---------------------------------------- ------- Class I Shares -31.02% -8.39% -8.39% -- 1.36% Class II Shares -- -- -- 5.47% 1.61 New Aggressive Allocation Fund Custom Index(2) -23.19 -5.64 -5.28 6.77 NA Old Aggressive Allocation Fund Custom Index(3) -27.22 -7.23 -6.85 7.65 NA S&P 500 Index(4) -26.21 -8.22 -8.27 5.80 NA Russell 3000(R) Index(5) -26.56 -8.35 -8.34 5.70 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the securities that make up the index. (2) In May 2009, the custom benchmark for the fund was changed from the Old Aggressive Allocation Fund Custom Index to the New Aggressive Allocation Fund Custom Index because the adviser believes the new custom benchmark better reflects the fund's asset allocation targets. The new Aggressive Allocation Fund Custom Index consists of 15% Merrill Lynch U.S. Corporate, Government and Mortgage Index, 55% Russell 3000(R) Index and 30% MSCI EAFE Index. The Merrill Lynch U.S. Corporate, Government and Mortgage Index is a broad-based measure of the total rate of return performance of the U.S. investment-grade bond markets. The index is a capitalization-weighted aggregation of outstanding U.S. treasury, agency and supranational mortgage pass-through and investment-grade corporate bonds meeting specified selection criteria. The Russell 3000(R) Index and the MSCI EAFE (Europe, Australasia & Far East) Index is set forth below. (3) The Old Aggressive Allocation Fund Custom Index consists of 55% Russell 1000(R) Index, 22% MSCI EAFE Index, 15% Russell 2000(R) Index, and 8% MSCI Emerging Markets Index. The Russell 1000(R) Index is a large-cap market index which measures the performance of the 1,000 largest companies in the Russell 3000(R) Index (see definition below). The Russell 2000(R) Index is a small-cap market index which measures the performance of the remaining 2,000 companies in the Russell 3000(R) Index. The MSCI EAFE (Europe, Australasia & Far East) Index is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. The MSCI Emerging Markets Index is a free-float adjusted market capitalization index that measures equity performance in global emerging markets. (4) In May 2009, the broad-based securities market index for the fund was changed from the Russell 3000(R) Index to the S&P 500 Index because the adviser believes the index better reflects the fund's asset allocation targets. The S&P 500 Index is a large-cap market index which measures the performance of a representative sample of 500 leading companies in leading industries in the U.S. (5) The Russell 3000(R) Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents 98% of the investable U.S. equity market. (6) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. (7) MEMBERS Capital Advisors reduced its management fee for the Aggressive Allocation Fund from June 30, 2006 through April 30, 2008. If the management fee had not been reduced, returns would have been lower. -------------------------------------------------------------------------------- 4 ================================================================================ BOND FUND PERFORMANCE REVIEW -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
MERRILL LYNCH U.S. CORPORATE, GOVERNMENT & CLASS I SHARES MORTGAGE INDEX(2) 6/30/1999 $10,000 $10,000 6/30/2000 10,359 10,457 6/30/2001 11,317 11,617 6/30/2002 12,232 12,615 6/30/2003 13,228 13,967 6/30/2004 13,182 14,009 6/30/2005 14,038 14,986 6/30/2006 13,907 14,854 6/30/2007 14,554 15,767 6/30/2008 15,461 16,961 6/30/2009 16,172 18,044
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Annual 5/1/09 Expense 1 Year 3 Years 5 Years 10 Years Inception Ratio ------------------------------------------------- ------- Class I Shares 4.60% 5.16% 4.17% 4.92% -- 0.56% Class II Shares -- -- -- -- 1.88% 0.81 Merrill Lynch U.S. Corporate, Government & Mortgage Index(2) 6.48 6.73 5.21 6.08 1.32 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the securities that make up the index. (2) The Merrill Lynch U.S. Corporate, Government & Mortgage Index, formerly the Merrill Lynch U.S. Domestic Master Index, is a broad-based measure of the total rate of return performance of the U.S. investment-grade bond markets. The index is a capitalization-weighted aggregation of outstanding U.S. treasury, agency and supranational mortgage pass-through, and investment- grade corporate bonds meeting specified selection criteria. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. -------------------------------------------------------------------------------- 5 ================================================================================ HIGH INCOME FUND PERFORMANCE REVIEW -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
MERRILL LYNCH U.S. HIGH YIELD MASTER II CLASS I SHARES CONSTRAINED INDEX(2) 10/31/2000 $10,000 $10,000 6/30/2001 10,197 10,129 6/30/2002 10,257 9,829 6/30/2003 11,756 11,987 6/30/2004 12,654 13,210 6/30/2005 13,785 14,588 6/30/2006 14,364 15,220 6/30/2007 15,805 16,960 6/30/2008 15,603 16,681 6/30/2009 15,702 16,182
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Since Annual 10/31/00 5/1/09 Expense 1 Year 3 Years 5 Years Inception Inception Ratio -------------------------------------------------- ------- Class I Shares 0.64% 3.01% 4.41% 5.34% -- 0.76% Class II Shares -- -- -- -- 2.58% 1.01 Merrill Lynch U.S. High Yield Master II Constrained Index(2) -2.99 2.06 4.14 5.71 10.59 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the securities that make up the index. (2) Effective May 2008, the benchmark for the fund changed from the Merrill Lynch U.S. High Yield Master II Index to the Merrill Lynch U.S. High Yield Master II Constrained Index to better reflect the fund's portfolio. The Merrill Lynch U.S. High Yield Master II Constrained Index tracks the performance of below investment grade U.S. dollar denominated corporate bonds publicly issued in the U.S. domestic market, but limits any individual issuer to a maximum weighting of 2%. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. -------------------------------------------------------------------------------- 6 ================================================================================ DIVERSIFIED INCOME FUND PERFORMANCE REVIEW -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,4)
MERRILL LYNCH U.S. CORPORATE, RUSSELL 1000(R) GOVERNMENT & MORTGAGE CLASS I SHARES INDEX(2) INDEX(3) 6/30/1999 $10,000 $10,000 $10,000 6/30/2000 10,698 10,925 10,457 6/30/2001 10,388 9,291 11,617 6/30/2002 9,712 7,629 12,615 6/30/2003 9,955 7,702 13,967 6/30/2004 11,050 9,202 14,009 6/30/2005 11,863 9,932 14,986 6/30/2006 12,236 10,834 14,854 6/30/2007 13,671 13,047 15,767 6/30/2008 12,868 11,434 16,961 6/30/2009 11,934 8,382 18,044
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(4)
Since Annual 5/1/09 Expense 1 Year 3 Years 5 Years 10 Years Inception Ratio ------------------------------------------------- ------- Class I Shares -7.26% -0.83% 1.55% 1.78% -- 0.71% Class II Shares -- -- -- -- 3.33% 0.96 Russell 1000(R) Index(2) -26.69 -8.20 -1.85 -1.75 5.79 NA Merrill Lynch U.S. Corporate, Government & Mortgage Index(3) 6.48 6.73 5.21 6.08 1.32 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the securities that make up the index. (2) The Russell 1000(R) Index is a large-cap market index which measures the performance of the 1,000 largest companies in the Russell 3000(R) Index (the Russell 3000(R) Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization). (3) The Merrill Lynch U.S. Corporate, Government & Mortgage Index, formerly the Merrill Lynch U.S. Domestic Master Index, is a broad-based measure of the total rate of return performance of the U.S. investment-grade bond markets. The index is a capitalization-weighted aggregation of outstanding U.S. treasury, agency and supranational mortgage pass-through, and investment- grade corporate bonds meeting specified selection criteria. (4) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. -------------------------------------------------------------------------------- 7 ================================================================================ LARGE CAP VALUE FUND PERFORMANCE REVIEW -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
RUSSELL 1000 VALUE CLASS I SHARES INDEX(2) 6/30/1999 $10,000 $10,000 6/30/2000 10,007 9,108 6/30/2001 8,974 10,050 6/30/2002 7,880 9,150 6/30/2003 7,530 9,056 6/30/2004 8,931 10,971 6/30/2005 9,799 12,512 6/30/2006 10,825 14,027 6/30/2007 13,147 17,094 6/30/2008 10,870 13,884 6/30/2009 7,743 9,853
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Annual 5/1/09 Expense 1 Year 3 Years 5 Years 10 Years Inception Ratio ------------------------------------------------- ------- Class I Shares -28.77% -10.57% -2.81% -2.53% -- 0.61% Class II Shares -- -- -- -- 4.42% 0.86 Russell 1000(R) Value Index(2) -29.03 -11.11 -2.13 -0.15 5.40 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the securities that make up the index. (2) The Russell 1000(R) Value Index is a large-cap market index which measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. -------------------------------------------------------------------------------- 8 ================================================================================ LARGE CAP GROWTH FUND PERFORMANCE REVIEW -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
RUSSELL 1000(R) CLASS I SHARES GROWTH INDEX(2) 6/30/1999 $10,000 $10,000 6/30/2000 11,463 12,566 6/30/2001 11,320 8,021 6/30/2002 8,028 5,896 6/30/2003 8,107 6,070 6/30/2004 9,530 7,155 6/30/2005 10,095 7,275 6/30/2006 10,263 7,720 6/30/2007 12,008 9,190 6/30/2008 11,596 8,643 6/30/2009 9,081 6,525
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Annual 5/1/09 Expense 1 Year 3 Years 5 Years 10 Years Inception Ratio ------------------------------------------------- ------- Class I Shares -21.69% -4.00% -0.96% -0.96% -- 0.82% Class II Shares -- -- -- -- 5.09% 1.07 Russell 1000(R) Growth Index(2) -24.50 -5.45 -1.83 -4.18 6.13 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the securities that make up the index. (2) The Russell 1000(R) Growth Index is a large-cap market index which measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. -------------------------------------------------------------------------------- 9 ================================================================================ MID CAP VALUE FUND PERFORMANCE REVIEW -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
RUSSELL MIDCAP(R) CLASS I SHARES VALUE INDEX(2) 5/1/99 $10,000 $10,000 6/30/2000 11,571 9,209 6/30/2001 14,533 11,413 6/30/2002 14,466 11,633 6/30/2003 13,752 11,558 6/30/2004 17,327 15,119 6/30/2005 19,415 18,416 6/30/2006 21,946 21,041 6/30/2007 26,238 25,689 6/30/2008 22,310 21,300 6/30/2009 15,987 15,031
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Annual 5/1/09 Expense 1 Year 3 Years 5 Years 10 Years Inception Ratio ------------------------------------------------- ------- Class I Shares -28.34% -10.02% -1.60% 4.80% -- 1.02% Class II Shares -- -- -- -- 2.65% 1.27 Russell Midcap(R) Value Index(2) -30.52 -11.07 -0.43 4.00 3.64 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the securities that make up the index. (2) The Russell Midcap(R) Value Index is a mid-cap market index which measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. -------------------------------------------------------------------------------- 10 ================================================================================ MID CAP GROWTH FUND PERFORMANCE REVIEW -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
RUSSELL MIDCAP(R) CLASS I SHARES GROWTH INDEX(2) 10/31/2000 $10,000 $10,000 6/30/2001 7,081 7,586 6/30/2002 4,941 5,588 6/30/2003 5,375 5,999 6/30/2004 6,834 7,638 6/30/2005 7,013 8,648 6/30/2006 7,691 9,572 6/30/2007 9,807 11,460 6/30/2008 8,624 10,724 6/30/2009 5,982 7,471
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Since Annual 10/31/00 5/1/09 Expense 1 Year 3 Years 5 Years Inception Inception Ratio --------------------------------------------------- ------- Class I Shares -30.64% -8.03% -2.63% -5.76% -- 0.87% Class II Shares -- -- -- -- 3.91% 1.12 Russell Midcap(R) Growth Index(2) -30.33 -7.93 -0.44 -3.31 5.66 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the securities that make up the index. (2) The Russell Midcap(R) Growth Index is a mid-cap market index which measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. -------------------------------------------------------------------------------- 11 ================================================================================ SMALL CAP VALUE FUND PERFORMANCE REVIEW -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
RUSSELL 2000(R) CLASS I SHARES VALUE INDEX(2) 5/1/2007 $10,000 $10,000 6/1/2007 10,078 10,125 6/1/2008 8,619 7,935 6/1/2009 6,895 5,932
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Since Annual 5/1/07 5/1/09 Expense 1 Year Inception Inception Ratio ------------------------------ ------- Class I Shares -20.00% -15.77% -- 1.12% Class II Shares -- -- 2.60% 1.37 Russell 2000(R) Value Index(2) -25.24 -21.39 1.84 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the securities that make up the index. (2) The Russell 2000(R) Value Index is a small-cap market index which measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. -------------------------------------------------------------------------------- 12 ================================================================================ SMALL CAP GROWTH FUND PERFORMANCE REVIEW -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
RUSSELL 2000(R) CLASS I SHARES GROWTH INDEX(2) 5/01/2007 $10,000 $10,000 6/30/2007 10,556 10,396 6/30/2008 9,136 9,270 6/30/2009 5,694 6,967
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Since Annual 5/1/07 5/1/09 Expense 1 Year Inception Inception Ratio -------------------------------- ------- Class I Shares -37.67% -22.88% -- 1.12% Class II Shares -- -- 1.29% 1.37 Russell 2000(R) Growth Index(2) -24.85 -15.34 7.24 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the securities that make up the index. (2) The Russell 2000(R) Growth Index is a small-cap market index which measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower.Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. -------------------------------------------------------------------------------- 13 ================================================================================ GLOBAL SECURITIES FUND PERFORMANCE REVIEW -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
MORGAN STANLEY CAPITAL INTERNATIONAL WORLD CLASS I SHARES INDEX(2)(MSCI WORLD INDEX) 10/31/2000 $10,000 $10,000 6/30/2001 9,237 8,694 6/30/2002 8,311 7,400 6/30/2003 7,790 7,260 6/30/2004 10,229 9,043 6/30/2005 11,682 10,001 6/30/2006 13,841 11,752 6/30/2007 16,862 14,594 6/30/2008 14,138 13,109 6/30/2009 10,204 9,306
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Since Annual 10/31/00 5/1/09 Expense 1 Year 3 Years 5 Years Inception Inception Ratio --------------------------------------------------- ------- Class I Shares -27.82% -9.66% -0.05% 0.23% -- 0.97% Class II Shares -- -- -- -- 8.67% 1.22 MSCI World Index(2) -29.01 -7.48 0.57 -0.83 8.74 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the index. (2) The MSCI World Index is free float-adjusted market capitalization index that is designed to measure global developed market equity performance, including the U.S. and Canada. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. -------------------------------------------------------------------------------- 14 ================================================================================ INTERNATIONAL STOCK FUND PERFORMANCE REVIEW -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE $10,000 INVESTMENT SINCE INCEPTION(1,3)
MORGAN STANLEY CAPITAL INTERNATIONAL EUROPE, AUSTRALASIA & FAR EAST INDEX(2) CLASS I SHARES (MSCI EAFE) 10/31/2000 $10,000 $10,000 6/30/2001 8,766 8,588 6/30/2002 8,235 7,797 6/30/2003 8,013 7,325 6/30/2004 10,044 9,731 6/30/2005 11,770 11,105 6/30/2006 14,871 14,110 6/30/2007 18,456 17,995 6/30/2008 16,727 16,169 6/30/2009 12,373 11,163
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Since Annual 10/31/00 5/1/09 Expense 1 Year 3 Years 5 Years Inception Inception Ratio ------------------------------------------------------ ------- Class I Shares -26.03% -5.95% 4.26% 2.49% -- 1.22% Class II Shares -- -- -- -- 9.99% 1.47 MSCI EAFE Index(2) -30.96 -7.51 2.79 1.28 11.41 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the securities that make up the index. (2) The MSCI EAFE (Europe, Australasia & Far East) Index is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. -------------------------------------------------------------------------------- 15 ================================================================================ TARGET RETIREMENT 2020 FUND PERFORMANCE REVIEW -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE $10,000 INVESTMENT SINCE INCEPTION(1,3)
TARGET RETIREMENT DOW JONES GLOBAL TARGET 2020 FUND 2020 INDEX(2) 10/1/2007 $10,000 $10,000 6/30/2008 9,215 9,484 6/30/2009 6,923 8,241
[END CHART] CUMULATIVE TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Since Annual 10/1/07 5/1/09 Expense 1 Year Inception Inception Ratio ------------------------------- ------- Ultra Series Target Retirement 2020, Class I -24.87% -18.97% -- 1.32% Ultra Series Target Retirement 2020, Class II -- -- 5.14% 1.57 Dow Jones Global Target 2020 Index(2) -13.11 -10.47 5.15 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the securities that make up the index. (2) The Dow Jones Global Target 2020 Index is a benchmark for multi-asset class portfolios with risk profiles that become more conservative as the year 2020 approaches. The index is a composite of other indexes that represent stocks, bonds and cash. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. -------------------------------------------------------------------------------- 16 ================================================================================ TARGET RETIREMENT 2030 FUND PERFORMANCE REVIEW -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE $10,000 INVESTMENT SINCE INCEPTION(1,3)
TARGET RETIREMENT DOW JONES GLOBAL TARGET 2030 FUND 2030 INDEX(2) 10/1/2007 $10,000 $10,000 6/30/2008 9,052 9,091 6/30/2009 6,588 7,270
[END CHART] CUMULATIVE TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Since Annual 10/1/07 5/1/09 Expense 1 Year Inception Inception Ratio -------------------------------- ------- Ultra Series Target Retirement 2030, Class I -27.22% -21.24% -- 1.36% Ultra Series Target Retirement 2030, Class II -- -- 5.45% 1.61 Dow Jones Global Target 2030 Index(2) -20.03 -16.66 6.48 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the securities that make up the index. (2) The Dow Jones Global Target 2030 Index is a benchmark for multi-asset class portfolios with risk profiles that become more conservative as the year 2030 approaches. The index is a composite of other indexes that represent stocks, bonds and cash. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. -------------------------------------------------------------------------------- 17 ================================================================================ TARGET RETIREMENT 2040 FUND PERFORMANCE REVIEW -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE $10,000 INVESTMENT SINCE INCEPTION(1,3)
TARGET RETIREMENT DOW JONES GLOBAL TARGET 2040 FUND 2040 INDEX(2) 10/1/2007 $10,000 $10,000 6/30/2008 8,950 8,897 6/30/2009 6,204 6,794
[END CHART] CUMULATIVE TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Since Annual 10/1/07 5/1/09 Expense 1 Year Inception Inception Ratio -------------------------------- ------- Ultra Series Target Retirement 2040, Class I -30.68% -23.90% -- 1.43% Ultra Series Target Retirement 2040, Class II -- -- 5.81% 1.68 Dow Jones Global Target 2040 Index(2) -23.64 -19.82 7.24 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the securities that make up the index. (2) The Dow Jones Global Target 2040 Index is a benchmark for multi-asset class portfolios with risk profiles that become more conservative as the year 2040 approaches. The index is a composite of other indexes that represent stocks, bonds and cash. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. -------------------------------------------------------------------------------- 18 ================================================================================ CONSERVATIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- [PIE CHART OF PORTFOLIO ALLOCATION] PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2009 Bond Funds 59% Stock Funds 27% Foreign Stock Funds 9% Alternative Asset Classes 4% Money Market Funds and Other Net Assets 1%
[END CHART] PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE AS OF JUNE 30, 2009 MEMBERS Bond Fund, Class Y 29% MEMBERS High Income Fund, Class Y 13% Dodge & Cox Income Fund 12% MEMBERS Large Cap Growth Fund, Class Y 9% MEMBERS International Stock Fund, Class Y 9% MEMBERS Large Cap Value Fund, Class Y 7% Fairholme Fund 6% Oppenheimer International Bond Fund, Class Y 5% Nakoma Absolute Return Fund 4% Victory Special Value Fund, Class I 4% SSgA Prime Money Market Fund 1% Laudus International Market Masters Fund 1%
--------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- INVESTMENT COMPANIES - 100.03% -------------------------------------------------------------------------------------------------- ALTERNATIVE ASSET CLASS FUNDS - 4.42% 297,412 Nakoma Absolute Return Fund * .......................................................... $ 6,430,039 ------------ BOND FUNDS - 58.95% 1,439,011 Dodge & Cox Income Fund ......................................... 17,743,005 4,260,726 MEMBERS Bond Fund, Class Y (R)...................................................... 42,223,799 2,998,096 MEMBERS High Income Fund, Class Y (R)...................................................... 18,468,273 1,216,217 Oppenheimer International Bond Fund, Class Y .............................................. 7,358,111 ------------ 85,793,188 ------------ STOCK FUNDS - 26.92% 363,141 Fairholme Fund ................................................... 9,216,506 1,134,798 MEMBERS Large Cap Growth Fund, Class Y (R) ................................................ 13,617,576 1,119,093 MEMBERS Large Cap Value Fund, Class Y (R)....................................................... 10,575,426 530,048 Victory Special Value Fund, Class I .......................................................... 5,772,223 ------------ 39,181,731 ------------ FOREIGN STOCK FUNDS - 9.25% 9,660 Laudus International Market Masters Fund ..................................................... 122,204 1,549,463 MEMBERS International Stock Fund, Class Y (R) ................................................ 13,340,877 ------------ 13,463,081 ------------ MONEY MARKET FUNDS - 0.49% 715,406 SSgA Prime Money Market Fund.............................................................. 715,406 ------------ TOTAL INVESTMENT COMPANIES - 100.03% (Cost $155,791,184**) ............................................ 145,583,445 NET OTHER ASSETS AND LIABILITIES - (0.03)% -------------------------------------------------------------------------------------------------- (41,151) TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------------------------- $145,542,294
-------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $159,014,726. (R) Affiliated Company (see Note 10). See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 19 ================================================================================ MODERATE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- [PIE CHART OF PORTFOLIO ALLOCATION] PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2009 Stock Funds 45% Bond Funds 34% Foreign Stock Funds 17% Alternative Asset Classes 3% Money Market Funds and Other Net Assets 1%
[END CHART] PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE AS OF JUNE 30, 2009 MEMBERS Bond Fund, Class Y 17% MEMBERS International Stock Fund, Class Y 15% MEMBERS Large Cap Growth Fund, Class Y 12% MEMBERS High Income Fund, Class Y 9% MEMBERS Large Cap Value Fund, Class Y 9% Fairholme Fund 6% Dodge & Cox Income Fund 5% Gateway Fund, Class Y 5% Victory Special Value Fund, Class I 5% Nakoma Absolute Return Fund 4% Oppenheimer International Bond Fund, Class Y 3% MEMBERS Mid Cap Growth Fund, Class Y 3% MEMBERS Small Cap Value Fund, Class Y 3% MEMBERS Small Cap Growth Fund, Class Y 2% Principal International Emerging Markets Fund, Institutional Class 1% SSgA Prime Money Market Fund 1% Laudus International Market Masters Fund 0%* PIMCO CommodityRealReturn Strategy Fund, Institutional Class 0%*
* Rounds to 0% --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- INVESTMENT COMPANIES - 100.03% -------------------------------------------------------------------------------------------------- ALTERNATIVE ASSET CLASS FUNDS - 3.44% 447,056 Nakoma Absolute Return Fund * .......................................................... $ 9,665,352 9,845 PIMCO Commodity RealReturn Strategy Fund, Institutional Class ........................................................... 70,292 ------------ 9,735,644 ------------ BOND FUNDS - 34.31% 1,206,072 Dodge & Cox Income Fund ......................................... 14,870,870 4,806,679 MEMBERS Bond Fund, Class Y (R)...................................................... 47,634,188 4,254,452 MEMBERS High Income Fund, Class Y (R)...................................................... 26,207,425 1,382,919 Oppenheimer International Bond Fund, Class Y .............................................. 8,366,659 ------------ 97,079,142 ------------ STOCK FUNDS - 44.86% 686,910 Fairholme Fund .................................................. 17,433,787 601,061 Gateway Fund, Class Y ........................................... 14,227,118 2,864,932 MEMBERS Large Cap Growth Fund, Class Y (R) ............................................... 34,379,186 2,593,828 MEMBERS Large Cap Value Fund, Class Y (R) ............................................... 24,511,675 1,845,424 MEMBERS Mid Cap Growth Fund, Class Y (R)* .............................................. 8,230,591 1,190,095 MEMBERS Small Cap Growth Fund, Class Y (R)* .............................................. 6,724,039 1,064,090 MEMBERS Small Cap Value Fund, Class Y (R) ......................................... 7,406,065 1,284,646 Victory Special Value Fund, Class I ......................................................... 13,989,793 ------------ 126,902,254 ------------ FOREIGN STOCK FUNDS - 16.94% 14,152 Laudus International Market Masters Fund .................................................... 179,024 5,074,905 MEMBERS International Stock Fund, Class Y (R) ............................................... 43,694,934 234,159 Principal International Emerging Markets Fund, Institutional Class ............................................. 4,048,617 ------------ 47,922,575 ------------ MONEY MARKET SECURITIES - 0.48% 1,366,112 SSgA Prime Money Market Fund 1,366,112 ------------ TOTAL INVESTMENT COMPANIES - 100.03% (Cost $333,124,773**) ........................................... 283,005,727
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 20 ================================================================================ MODERATE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Value (Note 2) -------------- NET OTHER ASSETS AND LIABILITIES - (0.03)% -------------------------------------------------------------------------------------------------- $ (80,358) TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------------------------- $282,925,369
-------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $339,526,879. (R) Affiliated Company (see Note 10). See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 21 ================================================================================ AGGRESSIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- [PIE CHART OF PORTFOLIO ALLOCATION] PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2009 Stock Funds 62% Foreign Stock Funds 28% Bond Funds 9% Money Market Funds and Other Net Assets 1% Alternative Asset Classes 0%*
[END CHART] PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE AS OF JUNE 30, 2009 MEMBERS International Stock Fund, Class Y 20% MEMBERS Large Cap Growth Fund, Class Y 16% Victory Special Value Fund, Class I 10% MEMBERS Large Cap Value Fund, Class Y 8% Gateway Fund, Class Y 7% MEMBERS Mid Cap Growth Fund, Class Y 6% MEMBERS High Income Fund, Class Y 6% Laudus International MarketMasters Fund 5% Fairholme Fund 5% MEMBERS Small Cap Value Fund, Class Y 5% MEMBERS Small Cap Growth Fund, Class Y 4% MEMBERS Bond Fund, Class Y 4% Principal International Emerging Markets Fund, Institutional Class 3% SSgA Prime Money Market Fund 1% PIMCO CommodityRealReturn Strategy Fund, Institutional Class 0%*
* Rounds to 0% --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- INVESTMENT COMPANIES - 100.03% -------------------------------------------------------------------------------------------------- ALTERNATIVE ASSET CLASS FUNDS - 0.06% 8,119 PIMCO Commodity RealReturn Strategy Fund, Institutional Class............................................................ $ 57,969 ------------ BOND FUNDS - 9.50% 331,027 MEMBERS Bond Fund, Class Y (R)...................................................... 3,280,475 867,635 MEMBERS High Income Fund, Class Y (R)...................................................... 5,344,630 ------------ 8,625,105 ------------ STOCK FUNDS - 62.12% 189,879 Fairholme Fund .................................................. 4,819,141 254,951 Gateway Fund, Class Y ........................................... 6,034,691 1,187,226 MEMBERS Large Cap Growth Fund, Class Y (R)...................................................... 14,246,717 810,570 MEMBERS Large Cap Value Fund, Class Y (R)...................................................... 7,659,891 1,300,556 MEMBERS Mid Cap Growth Fund, Class Y (R)*..................................................... 5,800,481 685,490 MEMBERS Small Cap Growth Fund, Class Y (R)*..................................................... 3,873,020 667,004 MEMBERS Small Cap Value Fund, Class Y (R)...................................................... 4,642,346 855,815 Victory Special Value Fund, Class I 9,319,828 ------------ 56,396,115 ------------ FOREIGN STOCK FUNDS - 27.94% 386,085 Laudus International Market Masters Fund .................................................... 4,883,972 2,097,238 MEMBERS International Stock Fund, Class Y (R) ............................................... 18,057,222 139,810 Principal International Emerging Markets Fund, Institutional Class ............................................. 2,417,312 ------------ 25,358,506 ------------ MONEY MARKET FUNDS - 0.41% 369,174 SSgA Prime Money Market Fund 369,174 ------------ TOTAL INVESTMENT COMPANIES - 100.03% (Cost $113,184,849**) ........................................... 90,806,869 NET OTHER ASSETS AND LIABILITIES - (0.03)% -------------------------------------------------------------------------------------------------- (25,516) TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------------------------- $ 90,781,353
-------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $115,278,266. (R) Affiliated Company (see Note 10). See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 22 ================================================================================ MONEY MARKET FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- [PIE CHART OF PORTFOLIO ALLOCATION] PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2009 Federal National Mortgage Association 28% Federal Home Loan Mortgage Corp. 27% U.S. Treasury Bills 24% Federal Home Loan Bank 10% Cash and Other Net Assets 7% Commercial Paper 4%
[END CHART] --------------------------------------------------------------------------------
Par Value Value (Note 2) --------- -------------- COMMERCIAL PAPER - 4.31% -------------------------------------------------------------------------------------------------- PHARMACEUTICALS - 4.31% $ 5,000,000 Johnson & Johnson 0.290%, due 10/26/09 ........................................... $ 4,995,288 ------------ TOTAL COMMERCIAL PAPER (Cost $4,995,288) .............................................. 4,995,288 U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 88.26% -------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN BANK - 9.50% (A) 1,100,000 0.140%, due 07/08/09 ........................................... 1,099,970 4,890,000 0.140%, due 07/10/09 ........................................... 4,889,829 1,473,000 0.170%, due 07/24/09 ........................................... 1,472,840 3,540,000 0.080%, due 07/28/09 ........................................... 3,539,787 ------------ 11,002,426 ------------ FEDERAL HOME LOAN MORTGAGE CORP. - 26.85% 3,005,000 0.260%, due 07/06/09 (A)........................................ 3,004,892 1,650,000 0.140%, due 07/13/09 (A)........................................ 1,649,923 1,658,000 4.250%, due 07/15/09 ........................................... 1,660,413 4,975,000 0.170%, due 07/20/09 (A)........................................ 4,974,572 1,443,000 0.200%, due 08/03/09 (A)........................................ 1,442,735 3,000,000 0.100%, due 08/05/09 (A)........................................ 2,999,708 4,327,000 0.180%, due 08/24/09 (A)........................................ 4,325,832 6,000,000 4.125%, due 09/01/09 ........................................... 6,039,477 5,000,000 0.243%, due 10/08/09 (G) ....................................... 4,999,286 ------------ 31,096,838 ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION - 28.18% 3,200,000 0.140%, due 07/08/09 (A)........................................ 3,199,913 1,400,000 5.125%, due 07/13/09 ........................................... 1,402,189 4,780,000 0.165%, due 07/22/09 (A)........................................ 4,779,524 2,528,000 0.170%, due 08/03/09 (A)........................................ 2,527,606 2,985,000 0.180%, due 08/26/09 (A)........................................ 2,984,164 2,610,000 0.320%, due 09/15/09 (A)........................................ 2,608,237 4,000,000 6.625%, due 09/15/09 ........................................... 4,049,315 3,866,000 0.230%, due 10/07/09 (A)........................................ 3,863,580 3,000,000 0.680%, due 10/13/09 (A)........................................ 2,994,107 4,250,000 0.760%, due 11/02/09 (A)........................................ 4,238,874 ------------ 32,647,509 ------------ U.S. TREASURY BILLS - 23.73% (A) 5,000,000 0.165%, due 07/16/09 ........................................... 4,999,657 2,500,000 0.167%, due 07/23/09 ........................................... 2,499,745 5,500,000 0.161%, due 08/13/09 ........................................... 5,498,942 5,500,000 0.155%, due 08/20/09 ........................................... 5,498,820 4,500,000 0.254%, due 10/15/09 ........................................... 4,496,641 4,500,000 0.297%, due 11/19/09 ........................................... 4,494,766 ------------ 27,488,571 ------------ TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $102,235,344) ............................................ 102,235,344
Shares ------ INVESTMENT COMPANIES - 7.36% 3,503,971 SEI Daily Income Trust Treasury II Fund ................................................ 3,503,971 5,020,883 SSgA U.S. Treasury Money Market Fund ..................................................... 5,020,883 ------------ TOTAL INVESTMENT COMPANIES (Cost $8,524,854) ............................................... 8,524,854 TOTAL INVESTMENTS - 99.93% -------------------------------------------------------------------------------------------------- (Cost $115,755,486**) ........................................... 115,755,486 NET OTHER ASSETS AND LIABILITIES - 0.07% -------------------------------------------------------------------------------------------------- 85,942 TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------------------------- $115,841,428
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 23 ================================================================================ MONEY MARKET FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- ** Aggregate cost for Federal tax purposes was $115,755,486. (A) Rate noted represents annualized yield at time of purchase. (G) Floating rate note. Date shown is next reset date. The industry classification method used for purposes of this report's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 24 ================================================================================ BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- [PIE CHART OF PORTFOLIO ALLOCATION] PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2009 U.S. Government and Agency Obligations 39% Mortgage Backed 30% Corporate Notes and Bonds 25% Cash and Other Net Assets 4% Private Label Mortgage Backed 1% Asset Backed 1% Commercial Mortgage Backed 0%*
* Rounds to 0% [END CHART] --------------------------------------------------------------------------------
Par Value Value (Note 2) --------- -------------- ASSET BACKED - 1.39% -------------------------------------------------------------------------------------------------- $ 652,045 ABSC Long Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (M) 8.550%, due 09/21/30............................................. $ 602,017 3,820,000 Chase Issuance Trust, Series 2007-A17, Class A 5.120%, due 10/15/14............................................. 4,025,863 3,500,000 New Century Home Equity Loan Trust, Series 2003-5, Class AI5 (G) 5.500%, due 11/25/33............................................. 2,586,117 2,475,000 Renaissance Home Equity Loan Trust, Series 2005-4, Class M9 (M) 7.000%, due 02/25/36............................................. 145,976 18,904 Wells Fargo Home Equity Trust, Series 2004-2, Class M8A (C)(G) 3.314%, due 05/25/34............................................. 18,918 ------------ TOTAL ASSET BACKED (Cost $10,285,326) .............................................. 7,378,891 COMMERCIAL MORTGAGE BACKED - 0.03% -------------------------------------------------------------------------------------------------- 1,695,000 Multi Security Asset Trust, Series 2005-RR4A, Class J (C)(G) 5.880%, due 11/28/35 ............................................ 133,464 ------------ TOTAL COMMERCIAL MORTGAGE BACKED (Cost $1,496,121) ............................................... 133,464 PRIVATE LABEL MORTGAGE BACKED - 0.65% -------------------------------------------------------------------------------------------------- 4,970,299 Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 6.000%, due 01/25/36 .............. 3,453,581 ------------ TOTAL PRIVATE LABEL MORTGAGE BACKED (Cost $4,970,299) ............................................... 3,453,581 CORPORATE NOTES AND BONDS - 25.24% -------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 1.13% 2,500,000 American Association of Retired Persons (C) 7.500%, due 05/01/31............................................. 2,694,678 4,400,000 Erac USA Finance Co. (C) 6.700%, due 06/01/34............................................. 3,301,157 ------------ 5,995,835 ------------ CONSUMER STAPLES - 0.23% 1,165,000 PepsiCo, Inc./NC 4.650%, due 02/15/13............................................. 1,223,021 ------------ ENERGY - 1.67% 2,460,000 Hess Corp. 7.875%, due 10/01/29............................................. 2,668,229 1,400,000 Transocean, Inc. 6.000%, due 03/15/18............................................. 1,455,462 2,310,000 Transocean, Inc. 7.500%, due 04/15/31............................................. 2,559,485 2,275,000 Valero Energy Corp. 7.500%, due 04/15/32............................................. 2,176,820 ------------ 8,859,996 ------------ FINANCE - 4.92% 2,885,000 American General Finance Corp. 5.850%, due 06/01/13............................................. 1,654,948 2,500,000 American General Finance Corp., Series H 4.625%, due 09/01/10............................................. 1,892,335 1,165,000 Bank of America Corp. 5.750%, due 12/01/17............................................. 1,037,349 2,200,000 Bear Stearns Cos. LLC/The 7.250%, due 02/01/18............................................. 2,318,776 1,250,000 General Electric Global Insurance Holding Corp. 7.000%, due 02/15/26............................................. 979,809 1,680,000 General Electric Global Insurance Holding Corp. 7.750%, due 06/15/30............................................. 1,369,645
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 25 ================================================================================ BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Par Value Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) -------------------------------------------------------------------------------------------------- FINANCE (CONTINUED) $ 2,750,000 Goldman Sachs Group, Inc./The 5.700%, due 09/01/12............................................. $ 2,878,692 3,135,000 Lehman Brothers Holdings, Inc. (E) 5.750%, due 01/03/17............................................. 313 2,740,000 Merrill Lynch & Co., Inc. 6.150%, due 04/25/13............................................. 2,743,872 2,700,000 SLM Corp. 5.125%, due 08/27/12............................................. 2,309,469 1,250,000 Textron Financial Corp. 6.000%, due 11/20/09............................................. 1,238,856 750,000 UBS AG/Stamford Branch 5.750%, due 04/25/18............................................. 683,052 2,000,000 US Bank NA/Cincinnati, OH 6.300%, due 02/04/14............................................. 2,172,144 2,735,000 Wells Fargo & Co. 5.250%, due 10/23/12............................................. 2,826,996 2,065,000 Western Union Co./The 5.930%, due 10/01/16............................................. 2,084,828 ------------ 26,191,084 ------------ FOOD & DRUG RETAILERS - 0.70% 3,450,000 Medco Health Solutions, Inc. 7.250%, due 08/15/13............................................. 3,700,446 ------------ FORESTRY/PAPER - 0.82% 2,250,000 Westvaco Corp. 8.200%, due 01/15/30............................................. 1,987,661 3,000,000 Weyerhaeuser Co. 7.375%, due 03/15/32............................................. 2,394,465 ------------ 4,382,126 ------------ HEALTH CARE - 3.37% 2,600,000 Eli Lilly & Co. 6.570%, due 01/01/16............................................. 2,801,864 1,740,000 Genentech, Inc. 5.250%, due 07/15/35............................................. 1,621,052 3,960,000 Merck & Co., Inc./NJ 5.750%, due 11/15/36............................................. 3,954,250 3,500,000 Quest Diagnostics, Inc./DE 5.450%, due 11/01/15............................................. 3,392,259 3,600,000 WellPoint, Inc. 5.000%, due 12/15/14............................................. 3,510,112 2,370,000 Wyeth 6.500%, due 02/01/34............................................. 2,618,893 ------------ 17,898,430 ------------ INDUSTRIALS - 2.68% 760,000 Boeing Co./The 8.625%, due 11/15/31............................................. 947,856 1,380,000 Boeing Co./The 6.875%, due 10/15/43............................................. 1,415,855 1,140,000 DR Horton, Inc. 5.250%, due 02/15/15............................................. 946,200 585,000 EI Du Pont de Nemours & Co. 5.000%, due 01/15/13............................................. 615,009 3,200,000 General Electric Co. 5.000%, due 02/01/13............................................. 3,329,651 1,450,000 Lockheed Martin Corp. 7.650%, due 05/01/16............................................. 1,700,242 2,465,000 Waste Management, Inc. 7.125%, due 12/15/17............................................. 2,457,906 2,870,000 WM Wrigley Jr. Co. 4.300%, due 07/15/10............................................. 2,862,825 ------------ 14,275,544 ------------ MEDIA - 1.28% 3,080,000 Comcast Cable Communications Holdings, Inc. 9.455%, due 11/15/22............................................. 3,600,970 3,000,000 Rogers Communications, Inc. (D) 6.250%, due 06/15/13............................................. 3,181,149 ------------ 6,782,119 ------------ OFFICE ELECTRONICS - 0.51% 2,640,000 Xerox Corp. 6.875%, due 08/15/11 ............................................ 2,732,400 ------------ REAL ESTATE INVESTMENT TRUSTS - 0.63% 2,725,000 HCP, Inc. 6.700%, due 01/30/18............................................. 2,367,196 1,060,000 Simon Property Group L.P. 5.875%, due 03/01/17............................................. 973,236 ------------ 3,340,432 ------------ TELECOMMUNICATIONS - 1.60% 2,400,000 Cisco Systems, Inc. 5.500%, due 02/22/16............................................. 2,542,538 4,225,000 New Cingular Wireless Services, Inc. 7.875%, due 03/01/11............................................. 4,556,515 1,750,000 Sprint Nextel Corp. 6.000%, due 12/01/16............................................. 1,430,625 ------------ 8,529,678 ------------ TRANSPORTATION - 1.13% 2,925,000 Burlington Northern Santa Fe Corp. 8.125%, due 04/15/20............................................. 3,283,889 1,268,000 Norfolk Southern Corp. 5.590%, due 05/17/25............................................. 1,178,796 1,400,000 Norfolk Southern Corp. 7.050%, due 05/01/37............................................. 1,544,106 5,504 Southwest Airlines Co. 1994-A Pass Through Trust, Series A3 8.700%, due 07/01/11............................................. 5,685 ------------ 6,012,476 ------------
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 26 ================================================================================ BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Par Value Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) -------------------------------------------------------------------------------------------------- UTILITIES - 4.57% $ 2,000,000 Energy East Corp. 8.050%, due 11/15/10............................................. $ 2,116,238 3,445,000 Indianapolis Power & Light Co. (C) 6.050%, due 10/01/36............................................. 2,668,897 2,925,000 Pacific Gas & Electric Co. 6.050%, due 03/01/34............................................. 3,034,503 2,400,000 Progress Energy, Inc. 7.750%, due 03/01/31............................................. 2,819,611 3,250,000 Sierra Pacific Power Co., Series M 6.000%, due 05/15/16............................................. 3,291,382 3,500,000 Southern Power Co., Series B 6.250%, due 07/15/12............................................. 3,745,714 2,165,000 Southwestern Electric Power Co., Series E 5.550%, due 01/15/17............................................. 2,103,978 1,165,000 Virginia Electric and Power Co. 5.100%, due 11/30/12............................................. 1,231,039 3,000,000 Wisconsin Electric Power Co. 6.500%, due 06/01/28............................................. 3,307,371 ------------ 24,318,733 ------------ TOTAL CORPORATE NOTES AND BONDS (Cost $144,425,260) ............................................. 134,242,320 MORTGAGE BACKED - 29.62% -------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. - 4.31% 2,943,597 5.000%, due 05/01/18 Pool # E96322.................................................... 3,082,314 97,610 8.000%, due 06/01/30 Pool # C01005.................................................... 107,366 379,062 7.000%, due 03/01/31 Pool # C48129.................................................... 410,776 256,753 6.500%, due 03/01/32 Pool # C65648.................................................... 275,213 3,628,742 5.000%, due 07/01/33 Pool # A11325 ................................................... 3,710,814 793,182 6.000%, due 10/01/34 Pool # A28439 ................................................... 833,105 667,182 6.000%, due 10/01/34 Pool # A28598 ................................................... 700,762 5,505,248 5.500%, due 11/01/34 Pool # A28282 ................................................... 5,707,340 501,924 5.000%, due 04/01/35 Pool # A32314 ................................................... 512,492 1,223,829 5.000%, due 04/01/35 Pool # A32315 ................................................... 1,249,596 1,251,776 5.000%, due 04/01/35 Pool # A32316 ................................................... 1,278,131 369,916 5.000%, due 04/01/35 Pool # A32509 ................................................... 377,704 4,565,161 5.000%, due 01/01/37 Pool # A56371 ................................................... 4,653,432 ------------ 22,899,045 ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION - 25.21% 2,116,740 4.000%, due 04/01/15 Pool # 255719 ................................................... 2,142,459 2,813,015 5.500%, due 04/01/16 Pool # 745444 ................................................... 2,939,537 156,754 6.000%, due 05/01/16 Pool # 582558 ................................................... 167,129 750,707 5.500%, due 09/01/17 Pool # 657335 ................................................... 793,356 989,393 5.500%, due 02/01/18 Pool # 673194 ................................................... 1,045,603 3,210,205 5.000%, due 05/01/20 Pool # 813965 ................................................... 3,344,432 3,046,297 4.500%, due 09/01/20 Pool # 835465 ................................................... 3,141,367 398,277 6.000%, due 05/01/21 Pool # 253847 ................................................... 421,273 144,126 7.000%, due 12/01/29 Pool # 762813 ................................................... 158,507 192,293 7.000%, due 11/01/31 Pool # 607515 ................................................... 210,667 295,201 6.500%, due 03/01/32 Pool # 631377 ................................................... 317,162 5,241 7.000%, due 04/01/32 Pool # 641518 ................................................... 5,737 377,646 7.000%, due 05/01/32 Pool # 644591 ................................................... 413,730 2,907,687 6.500%, due 06/01/32 Pool # 545691 ................................................... 3,124,003 3,936,735 5.500%, due 04/01/33 Pool # 690206 ................................................... 4,084,939 5,312,383 5.000%, due 10/01/33 Pool # 254903 ................................................... 5,435,025 5,112,525 5.500%, due 11/01/33 Pool # 555880 ................................................... 5,304,994 105,523 5.000%, due 05/01/34 Pool # 782214 ................................................... 107,876 1,322,406 5.000%, due 06/01/34 Pool # 778891 ................................................... 1,351,902 4,946,625 5.500%, due 06/01/34 Pool # 780384 ................................................... 5,129,756 84,582 7.000%, due 07/01/34 Pool # 792636 ................................................... 92,305
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 27 ================================================================================ BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Par Value Value (Note 2) --------- -------------- MORTGAGE BACKED (CONTINUED) -------------------------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED) $ 586,146 5.500%, due 08/01/34 Pool # 793647 ................................................... $ 607,846 2,809,922 5.500%, due 03/01/35 Pool # 810075 ................................................... 2,911,315 3,025,705 5.500%, due 03/01/35 Pool # 815976 ................................................... 3,134,885 3,293,816 5.500%, due 07/01/35 Pool # 825283 ................................................... 3,412,670 4,185,002 5.000%, due 08/01/35 Pool # 829670 ................................................... 4,275,731 2,002,543 5.500%, due 08/01/35 Pool # 826872 ................................................... 2,074,802 3,200,615 5.000%, due 09/01/35 Pool # 820347 ................................................... 3,270,003 3,305,549 5.000%, due 09/01/35 Pool # 835699 ................................................... 3,377,212 5,654,836 5.000%, due 10/01/35 Pool # 797669 ................................................... 5,777,431 854,910 5.500%, due 10/01/35 Pool # 836912 ................................................... 885,759 4,417,816 5.000%, due 11/01/35 Pool # 844809 ................................................... 4,513,592 4,325,469 5.000%, due 12/01/35 Pool # 850561 ................................................... 4,419,244 1,569,022 5.500%, due 02/01/36 Pool # 851330 ................................................... 1,625,638 1,397,825 5.500%, due 10/01/36 Pool # 896340 ................................................... 1,445,861 7,674,692 5.500%, due 10/01/36 Pool # 901723 ................................................... 7,938,434 4,407,164 6.500%, due 10/01/36 Pool # 894118 ................................................... 4,701,291 4,881,537 6.000%, due 11/01/36 Pool # 902510 ................................................... 5,156,598 4,276,047 5.500%, due 02/01/37 Pool # 905140 ................................................... 4,422,995 4,339,389 5.500%, due 05/01/37 Pool # 899323 ................................................... 4,485,801 2,510,693 5.500%, due 05/01/37 Pool # 928292 ................................................... 2,595,405 5,138,322 6.000%, due 10/01/37 Pool # 947563 ................................................... 5,377,675 5,719,214 5.500%, due 07/01/38 Pool # 986973 ................................................... 5,911,860 6,094,952 5.000%, due 08/01/38 Pool # 988934 ................................................... 6,215,318 5,463,646 6.500%, due 08/01/38 Pool # 987711 ................................................... 5,826,266 ------------ 134,095,391 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.10% 68,496 8.000%, due 10/20/15 Pool # 002995 ................................................... 73,523 226,954 6.500%, due 02/20/29 Pool # 002714 ................................................... 244,447 196,235 6.500%, due 04/20/31 Pool # 003068 ................................................... 211,185 ------------ 529,155 ------------ TOTAL MORTGAGE BACKED (Cost $150,629,357) ............................................. 157,523,591 U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 39.02% -------------------------------------------------------------------------------------------------- FEDERAL FARM CREDIT BANK - 0.85% 4,000,000 5.875%, due 10/03/16............................................. 4,525,412 ------------ FEDERAL HOME LOAN MORTGAGE CORP. - 1.63% 2,500,000 4.875%, due 11/15/13............................................. 2,727,735 5,500,000 4.500%, due 01/15/14............................................. 5,912,731 ------------ 8,640,466 ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.26% 2,400,000 5.250%, due 08/01/12............................................. 2,493,840 3,905,000 4.625%, due 10/15/14............................................. 4,212,109 ------------ 6,705,949 ------------ U.S. TREASURY BILLS - 0.11% (A) 570,000 0.010%, due 12/17/09............................................. 569,132 ------------ U.S. TREASURY BONDS - 2.56% 7,350,000 6.625%, due 02/15/27............................................. 9,475,760 4,000,000 4.500%, due 05/15/38............................................. 4,129,376 ------------ 13,605,136 ------------ U.S. TREASURY NOTES - 32.61% 2,000,000 3.500%, due 02/15/10............................................. 2,038,282 9,625,000 3.875%, due 05/15/10............................................. 9,907,359 13,000,000 4.500%, due 11/15/10............................................. 13,673,868 5,000,000 0.875%, due 01/31/11............................................. 5,002,750 12,050,000 0.875%, due 02/28/11............................................. 12,041,565 1,485,000 4.750%, due 03/31/11............................................. 1,582,859 23,100,000 4.625%, due 12/31/11............................................. 24,966,041 11,400,000 1.375%, due 02/15/12............................................. 11,390,207 6,425,000 4.625%, due 02/29/12............................................. 6,962,593 2,625,000 1.375%, due 05/15/12............................................. 2,610,247 6,000,000 4.875%, due 06/30/12............................................. 6,573,750 4,000,000 3.625%, due 05/15/13............................................. 4,230,936 2,710,000 3.125%, due 08/31/13............................................. 2,807,603 9,500,000 4.000%, due 02/15/14............................................. 10,165,741 10,000,000 1.875%, due 02/28/14............................................. 9,741,400 11,200,000 4.250%, due 08/15/14............................................. 12,078,506
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 28 ================================================================================ BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Par Value Value (Note 2) --------- -------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED) -------------------------------------------------------------------------------------------------- U.S. TREASURY NOTES (CONTINUED) $ 8,900,000 4.250%, due 08/15/15............................................. $ 9,540,382 9,100,000 4.250%, due 11/15/17............................................. 9,651,687 19,750,000 2.750%, due 02/15/19............................................. 18,497,060 ------------ 173,462,836 ------------ TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $201,203,425) ............................................. 207,508,931
Shares ------ INVESTMENT COMPANY - 2.63% -------------------------------------------------------------------------------------------------- 13,990,148 SSgA Prime Money Market Fund ............................................................ 13,990,148 ------------ TOTAL INVESTMENT COMPANY (Cost $13,990,148) .............................................. 13,990,148 TOTAL INVESTMENTS - 98.56% -------------------------------------------------------------------------------------------------- (Cost $526,999,936**).......................................................... 524,230,926 NET OTHER ASSETS AND LIABILITIES - 1.44% -------------------------------------------------------------------------------------------------- 7,633,531 TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------------------------- $531,864,457
-------------------------------------------------------------------------------- ** Aggregate cost for Federal tax purposes was $527,273,044. (A) Rate noted represents annualized yield at time of purchase. (C) Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "qualified institutional investors." The securities have been determined to be liquid under guidelines established by the Board of Trustees. (D) Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 0.60% of total net assets. (E) In Default. Issuer is bankrupt. (G) Floating rate or variable rate note. Rate shown is as of June 30, 2009. (M) Stated interest rate is contingent upon sufficient collateral market value. If collateral market value falls below a stated level, the issuer will either initiate a clean-up call or increase the stated interest rate. The industry classification method used for purposes of this report's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 29 ================================================================================ HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2009 Utilities 10% Health Care 10% Oil and Gas 9% Telecommunications 9% Support Services 8% Gaming 6% Media - Diversified and Services 5% Media - Cable 5% Technology 4% Cash and Other Net Assets 4% Non Food and Drug Retailers 3% Beverage/Food 3% Consumer Products 2% Environmental 2% Transportation 2% Metals and Mining 2% Packaging 2% General Industrial and Manufacturing 2% Food and Drug Retailers 2% Forestry/Paper 2% Chemicals 2% Leisure and Entertainment 1% Automotive 1% Media - Broadcasting 1% Hotels 1% Aerospace/Defense 1% Investment Management 1% Restaurants 0%* Apparel/Textiles 0%*
* Rounds to 0% --------------------------------------------------------------------------------
Par Value Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS - 96.01% -------------------------------------------------------------------------------------------------- AEROSPACE/DEFENSE - 0.70% $ 250,000 Alliant Techsystems, Inc. 6.750%, due 04/01/16 ............................................ $ 229,375 500,000 Moog, Inc. 7.250%, due 06/15/18 ............................................ 467,500 ------------ 696,875 ------------ APPAREL/TEXTILES - 0.25% 250,000 Levi Strauss & Co. 9.750%, due 01/15/15 ............................................ 245,625 ------------ AUTOMOTIVE - 1.32% 1,000,000 Ford Motor Credit Co. LLC 8.000%, due 06/01/14 ............................................ 809,118 500,000 Goodyear Tire & Rubber Co./The 10.500%, due 05/15/16 ........................................... 505,000 ------------ 1,314,118 ------------ BEVERAGE/FOOD - 2.75% 500,000 B&G Foods, Inc. 8.000%, due 10/01/11............................................. 496,250 500,000 Constellation Brands, Inc. 7.250%, due 05/15/17 ............................................ 462,500 250,000 Constellation Brands, Inc., Series B 8.125%, due 01/15/12 ............................................ 250,000 1,000,000 Del Monte Corp. 8.625%, due 12/15/12 ............................................ 1,012,500 180,000 Michael Foods, Inc. 8.000%, due 11/15/13 ............................................ 175,500 350,000 NBTY, Inc. 7.125%, due 10/01/15 ............................................ 327,250 ------------ 2,724,000 ------------ CHEMICALS - 1.80% 750,000 Ashland, Inc. (C) 9.125%, due 06/01/17 ............................................ 780,000 143,000 Nalco Co. 7.750%, due 11/15/11 ............................................ 143,000 600,000 Nalco Co. 8.875%, due 11/15/13 ............................................ 612,000 250,000 Nalco Co. (C) 8.250%, due 05/15/17............................................. 251,250 ------------ 1,786,250 ------------ CONSUMER PRODUCTS - 3.50% 240,000 Da-Lite Screen Co., Inc. 9.500%, due 05/15/11............................................. 209,700 500,000 Jarden Corp. 7.500%, due 05/01/17 ............................................ 437,500 900,000 Leslie's Poolmart 7.750%, due 02/01/13 ............................................ 857,250 250,000 Sealy Mattress Co. 8.250%, due 06/15/14 ............................................ 205,625 500,000 Sealy Mattress Co. (C) 10.875%, due 04/15/16 ........................................... 523,750 500,000 Visant Corp. 7.625%, due 10/01/12 ............................................ 498,750 750,000 Visant Holding Corp. 8.750%, due 12/01/13............................................. 736,875 ------------ 3,469,450 ------------ ENVIRONMENTAL - 2.47% 1,000,000 Casella Waste Systems, Inc. 9.750%, due 02/01/13 ............................................ 900,000 200,000 Covanta Holding Corp. (P) 1.000%, due 02/01/27 ............................................ 173,500 500,000 Waste Services, Inc. 9.500%, due 04/15/14 ............................................ 471,250 1,000,000 WCA Waste Corp. 9.250%, due 06/15/14 ............................................ 907,500 ------------ 2,452,250 ------------
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 30 ================================================================================ HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Par Value Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) -------------------------------------------------------------------------------------------------- FOOD & DRUG RETAILERS - 2.09% $ 750,000 Ingles Markets, Inc. (C) 8.875%, due 05/15/17 ............................................ $ 738,750 250,000 Rite Aid Corp. 8.625%, due 03/01/15 ............................................ 166,250 250,000 Rite Aid Corp. 7.500%, due 03/01/17 ............................................ 195,625 250,000 Stater Brothers Holdings 8.125%, due 06/15/12 ............................................ 246,250 500,000 Stater Brothers Holdings 7.750%, due 04/15/15 ............................................ 480,000 250,000 SUPERVALU, Inc. 8.000%, due 05/01/16 ............................................ 242,500 ------------ 2,069,375 ------------ FORESTRY/PAPER - 1.95% 18,000 Domtar Corp. 7.875%, due 10/15/11 ............................................ 17,550 750,000 Georgia-Pacific LLC (C) 7.125%, due 01/15/17 ............................................ 697,500 109,000 Graphic Packaging International, Inc. 8.500%, due 08/15/11 ............................................ 107,910 350,000 Graphic Packaging International, Inc. (C) 9.500%, due 06/15/17 ............................................ 344,750 750,000 Rock-Tenn Co. 9.250%, due 03/15/16 ............................................ 763,125 ------------ 1,930,835 ------------ GAMING - 3.35% 500,000 Ameristar Casinos, Inc. (C) 9.250%, due 06/01/14 ............................................ 510,000 500,000 Boyd Gaming Corp. 6.750%, due 04/15/14 ............................................ 405,000 650,000 Global Cash Access, Inc./ Global Cash Finance Corp. 8.750%, due 03/15/12 ............................................ 601,250 250,000 Isle of Capri Casinos, Inc. 7.000%, due 03/01/14 ............................................ 201,250 500,000 MGM Mirage (C) 10.375%, due 05/15/14 .............. ............................ 518,750 300,000 Penn National Gaming, Inc. 6.750%, due 03/01/15 ............................................ 273,000 100,000 Pinnacle Entertainment, Inc. 8.250%, due 03/15/12 ............................................ 99,500 750,000 Scientific Games Corp. (C) 7.875%, due 06/15/16 ............................................ 712,500 ------------ 3,321,250 ------------ GENERAL INDUSTRIAL & MANUFACTURING - 2.10% 750,000 Baldor Electric Co. 8.625%, due 02/15/17 ............................................ 693,750 250,000 General Cable Corp. (P) 1.000%, due 10/15/12 ............................................ 196,250 750,000 SPX Corp. 7.625%, due 12/15/14 ............................................ 723,750 250,000 Terex Corp. 8.000%, due 11/15/17 ............................................ 192,188 500,000 Trinity Industries, Inc. (P) 3.875%, due 06/01/36 ............................................ 272,500 ------------ 2,078,438 ------------ HEALTH CARE - 10.35% 250,000 Accellent, Inc. 10.500%, due 12/01/13 ........................................... 211,875 750,000 Biomet, Inc. 10.000%, due 10/15/17 ........................................... 763,125 750,000 Biomet, Inc. 11.625%, due 10/15/17 ........................................... 735,000 1,500,000 DaVita, Inc. 7.250%, due 03/15/15 ............................................ 1,410,000 1,000,000 DJO Finance LLC/DJO Finance Corp. 10.875%, due 11/15/14 ........................................... 875,000 750,000 HCA, Inc./DE 6.250%, due 02/15/13 ............................................ 656,250 500,000 HCA, Inc./DE 6.750%, due 07/15/13 ............................................ 440,000 350,000 HCA, Inc./DE 6.500%, due 02/15/16 ............................................ 282,625 950,000 HCA, Inc./DE 9.250%, due 11/15/16 ............................................ 935,750 500,000 Hologic, Inc. (B)(P) 2.000%, due 12/15/37 ............................................ 355,000 500,000 IASIS Healthcare LLC/ IASIS Capital Corp. 8.750%, due 06/15/14 ............................................ 490,000 500,000 Kinetic Concepts, Inc. (C)(P) 3.250%, due 04/15/15 ............................................ 389,375 750,000 Psychiatric Solutions, Inc. 7.750%, due 07/15/15 ............................................ 686,250 500,000 Service Corp. International/US 7.375%, due 10/01/14 ............................................ 472,500 500,000 Stewart Enterprises, Inc. 6.250%, due 02/15/13 ............................................ 465,000 650,000 Universal Hospital Services, Inc. (G) 4.635%, due 06/01/15 ............................................ 523,250 600,000 Vanguard Health Holding Co. II LLC 9.000%, due 10/01/14 ............................................ 574,500 ------------ 10,265,500 ------------
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 31 ================================================================================ HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Par Value Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) -------------------------------------------------------------------------------------------------- HOTELS - 0.81% $ 200,000 Host Hotels & Resorts L.P., Series O, REIT 6.375%, due 03/15/15 ............................................ $ 173,000 800,000 Wyndham Worldwide Corp. 6.000%, due 12/01/16 ............................................ 625,678 ------------ 798,678 ------------ INVESTMENT MANAGEMENT - 0.21% 300,000 Nuveen Investments, Inc. (C) 10.500%, due 11/15/15 ........................................... 207,000 ------------ LEISURE & ENTERTAINMENT - 1.38% 750,000 Cinemark USA, Inc. (C) 8.625%, due 06/15/19 ............................................ 740,625 650,000 Speedway Motorsports, Inc. 6.750%, due 06/01/13 ............................................ 624,000 ------------ 1,364,625 ------------ MEDIA - BROADCASTING - 1.09% 314,000 Allbritton Communications Co. 7.750%, due 12/15/12 ............................................ 242,565 210,000 Lamar Media Corp. 7.250%, due 01/01/13 ............................................ 199,762 250,000 Lamar Media Corp. 6.625%, due 08/15/15 ............................................ 218,750 500,000 Lamar Media Corp., Series C 6.625%, due 08/15/15 ............................................ 422,500 ------------ 1,083,577 ------------ MEDIA - CABLE - 4.77% 750,000 Cablevision Systems Corp., Series B 8.000%, due 04/15/12 ............................................ 742,500 750,000 CSC Holdings, Inc./United States, Series B 7.625%, due 04/01/11 ............................................ 742,500 1,250,000 DISH DBS Corp. 7.125%, due 02/01/16 ............................................ 1,165,625 600,000 Mediacom Broadband LLC/ Mediacom Broadband Corp. 8.500%, due 10/15/15 ............................................ 540,000 500,000 Videotron Ltee (D) 6.875%, due 01/15/14 ............................................ 462,500 250,000 Videotron Ltee (D) 9.125%, due 04/15/18 ............................................ 254,062 850,000 Virgin Media Finance PLC (D) 9.125%, due 08/15/16 ............................................ 818,125 ------------ 4,725,312 ------------ MEDIA - DIVERSIFIED & SERVICES - 5.06% 1,000,000 Hughes Network Systems LLC/ HNS Finance Corp. 9.500%, due 04/15/14 ............................................ 975,000 750,000 Intelsat Jackson Holdings, Ltd. (D) 11.250%, due 06/15/16 ........................................... 765,000 1,000,000 Intelsat Subsidiary Holding Co., Ltd. (D) 8.500%, due 01/15/13 ............................................ 960,000 500,000 Interpublic Group of Cos., Inc. (C) 10.000%, due 07/15/17 ........................................... 503,750 250,000 Interpublic Group of Cos., Inc. (P) 4.250%, due 03/15/23 ............................................ 221,875 1,500,000 Nielsen Finance LLC/ Nielsen Finance Co. (C) 11.625%, due 02/01/14 ........................................... 1,488,750 100,000 Telesat Canada/Telesat LLC (C) 11.000%, due 11/01/15 ........................................... 102,500 ------------ 5,016,875 ------------ METALS AND MINING - 2.17% 500,000 Arch Western Finance LLC 6.750%, due 07/01/13 ............................................ 456,250 250,000 Freeport-McMoRan Copper & Gold, Inc. 8.375%, due 04/01/17 ............................................ 251,875 250,000 Massey Energy Co. (P) 3.250%, due 08/01/15 ............................................ 165,000 500,000 Peabody Energy Corp. 7.375%, due 11/01/16 ............................................ 472,500 750,000 Teck Resources, Ltd. (C)(D) 10.750%, due 05/15/19 ........................................... 806,250 ------------ 2,151,875 ------------ NON FOOD & DRUG RETAILERS - 2.81% 250,000 Burlington Coat Factory Warehouse Corp. 11.125%, due 04/15/14 ........................................... 198,750 750,000 Ltd. Brands, Inc. (C) 8.500%, due 06/15/19 ............................................ 718,567 500,000 Michaels Stores, Inc. 11.375%, due 11/01/16 ........................................... 327,500 750,000 Sally Holdings LLC/ Sally Capital, Inc. 9.250%, due 11/15/14 ............................................ 746,250 500,000 Toys R US, Inc. 7.625%, due 08/01/11 ............................................ 462,500 400,000 Yankee Acquisition Corp./MA, Series B 8.500%, due 02/15/15 ............................................ 337,000 ------------ 2,790,567 ------------ OIL & GAS - 8.99% 200,000 Chesapeake Energy Corp. 6.875%, due 01/15/16 ............................................ 176,500 500,000 Chesapeake Energy Corp. 6.250%, due 01/15/18 ............................................ 415,000
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 32 ================================================================================ HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Par Value Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) -------------------------------------------------------------------------------------------------- OIL & GAS (CONTINUED) $ 500,000 Cimarex Energy Co. 7.125%, due 05/01/17 ............................................ $ 440,000 800,000 Complete Production Services, Inc. 8.000%, due 12/15/16 ............................................ 684,000 1,000,000 Denbury Resources, Inc. 9.750%, due 03/01/16 ............................................ 1,027,500 500,000 Encore Acquisition Co. 6.000%, due 07/15/15 ............................................ 412,500 1,000,000 EXCO Resources, Inc. 7.250%, due 01/15/11 ............................................ 970,000 150,000 Helix Energy Solutions Group, Inc. (C) 9.500%, due 01/15/16 ............................................ 136,875 500,000 Helix Energy Solutions Group, Inc. (P) 3.250%, due 12/15/25 ............................................ 377,500 750,000 Key Energy Services, Inc. 8.375%, due 12/01/14 ............................................ 661,875 500,000 Mariner Energy, Inc. 8.000%, due 05/15/17 ............................................ 415,000 1,500,000 Petroplus Finance, Ltd. (C)(D) 7.000%, due 05/01/17 ............................................ 1,245,000 500,000 Plains Exploration & Production Co. 10.000%, due 03/01/16 ........................................... 513,750 250,000 Range Resources Corp. 6.375%, due 03/15/15 ............................................ 230,312 500,000 Range Resources Corp. 7.250%, due 05/01/18 ............................................ 467,500 750,000 Tesoro Corp. 9.750%, due 06/01/19 ............................................ 740,625 ------------ 8,913,937 ------------ PACKAGING - 2.13% 1,000,000 Ball Corp. 6.625%, due 03/15/18 ............................................ 915,000 500,000 Crown Americas LLC/ Crown Americas Capital Corp. 7.625%, due 11/15/13 ............................................ 487,500 500,000 Crown Americas LLC/ Crown Americas Capital Corp. II (C) 7.625%, due 05/15/17 ............................................ 482,500 250,000 Greif, Inc. 6.750%, due 02/01/17 ............................................ 229,375 ------------ 2,114,375 ------------ RESTAURANTS - 0.48% 500,000 Wendy's/Arby's Group, Inc. (C) 10.000%, due 07/15/16 ........................................... 478,125 ------------ SUPPORT SERVICES - 8.12% 500,000 Affinion Group, Inc. 11.500%, due 10/15/15 ........................................... 427,500 1,750,000 ARAMARK Corp. 8.500%, due 02/01/15 ............................................ 1,697,500 200,000 Cardtronics, Inc. 9.250%, due 08/15/13 ............................................ 179,000 500,000 Corrections Corp. of America 7.750%, due 06/01/17 ............................................ 492,500 750,000 Education Management LLC/ Education Management Finance Corp. 10.250%, due 06/01/16 ........................................... 733,125 1,000,000 FTI Consulting, Inc. 7.750%, due 10/01/16 ............................................ 955,000 250,000 Hertz Corp./The 10.500%, due 01/01/16 ........................................... 222,500 300,000 Iron Mountain, Inc. 8.625%, due 04/01/13 ............................................ 299,250 990,000 Iron Mountain, Inc. 7.750%, due 01/15/15 ............................................ 950,400 500,000 Mac-Gray Corp. 7.625%, due 08/15/15 ............................................ 475,625 500,000 NASDAQ OMX Group, Inc./The (P) 2.500%, due 08/15/13 ............................................ 410,000 250,000 ServiceMaster Co. PIK (C) 10.750%, due 07/15/15 ........................................... 200,000 250,000 United Rentals North America, Inc. 6.500%, due 02/15/12 ............................................ 242,500 450,000 West Corp. 9.500%, due 10/15/14 ............................................ 393,750 450,000 West Corp. 11.000%, due 10/15/16 ........................................... 375,750 ------------ 8,054,400 ------------ TECHNOLOGY - 4.10% 750,000 Celestica, Inc. (D) 7.625%, due 07/01/13 ............................................ 731,250 500,000 Flextronics International, Ltd. (D) 6.500%, due 05/15/13 ............................................ 481,250 1,500,000 Sungard Data Systems, Inc. 9.125%, due 08/15/13 ............................................ 1,417,500 750,000 Sungard Data Systems, Inc. (C) 10.625%, due 05/15/15 ........................................... 735,000 750,000 Syniverse Technologies, Inc., ................................... Series B 7.750%, due 08/15/13 ............................................ 705,000 ------------ 4,070,000 ------------ TELECOMMUNICATIONS - 8.64% 500,000 CC Holdings GS V LLC/ Crown Castle GS III Corp. (C) 7.750%, due 05/01/17 ............................................ 487,500
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 33 ================================================================================ HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Par Value Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) -------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS (CONTINUED) $ 1,000,000 Cincinnati Bell, Inc. 8.375%, due 01/15/14 ............................................ $ 925,000 700,000 Cincinnati Bell Telephone Co. LLC 6.300%, due 12/01/28 ............................................ 434,000 500,000 Crown Castle International Corp. 9.000%, due 01/15/15 ............................................ 508,750 1,250,000 Frontier Communications Corp. 6.625%, due 03/15/15 ............................................ 1,100,000 1,500,000 Nordic Telephone Co. Holdings ApS (C)(D) 8.875%, due 05/01/16 ............................................ 1,447,500 400,000 Qwest Capital Funding, Inc. 7.250%, due 02/15/11 ............................................ 388,000 500,000 Qwest Communications International, Inc. 7.500%, due 02/15/14 ............................................ 456,250 750,000 Qwest Corp. 7.875%, due 09/01/11 ............................................ 750,000 650,000 SBA Communications Corp. (C)(P) 1.875%, due 05/01/13 ............................................ 535,438 500,000 Sprint Capital Corp. 7.625%, due 01/30/11 ............................................ 494,375 250,000 Valor Telecommunications Enterprises Finance Corp. 7.750%, due 02/15/15 ............................................ 245,000 600,000 Windstream Corp. 8.625%, due 08/01/16 ............................................ 574,500 250,000 Windstream Corp. 7.000%, due 03/15/19 ............................................ 217,500 ------------ 8,563,813 ------------ TRANSPORTATION - 2.20% 500,000 Bristow Group, Inc. 6.125%, due 06/15/13 ............................................ 452,500 750,000 Bristow Group, Inc. 7.500%, due 09/15/17 ............................................ 680,625 755,000 Gulfmark Offshore, Inc. 7.750%, due 07/15/14 ............................................ 690,825 400,000 Hornbeck Offshore Services, Inc., Series B 6.125%, due 12/01/14 ............................................ 362,500 ------------ 2,186,450 ------------ UTILITIES - 10.42% 500,000 Dynegy Holdings, Inc. 8.375%, due 05/01/16 ............................................ 423,750 1,250,000 Edison Mission Energy 7.200%, due 05/15/19 ............................................ 931,250 1,700,000 El Paso Corp. 7.250%, due 06/01/18 ............................................ 1,569,584 500,000 Energy Future Holdings Corp. 10.875%, due 11/01/17 ........................................... 365,000 1,000,000 Ferrellgas Partners L.P./ Ferrellgas Partners Finance Corp. 8.750%, due 06/15/12 ............................................ 930,000 500,000 Inergy L.P./Inergy Finance Corp. 6.875%, due 12/15/14 ............................................ 455,000 1,000,000 MarkWest Energy Partners L.P./ MarkWest Energy Finance Corp., Series B 8.750%, due 04/15/18 ............................................ 865,000 1,000,000 Mirant Americas Generation LLC 8.300%, due 05/01/11 ............................................ 997,500 1,750,000 NRG Energy, Inc. 7.375%, due 02/01/16 ............................................ 1,655,938 500,000 NRG Energy, Inc. 7.375%, due 01/15/17 ............................................ 471,250 1,000,000 Suburban Propane Partners L.P./ Suburban Energy Finance Corp. 6.875%, due 12/15/13 ............................................ 920,000 400,000 Texas Competitive Electric Holdings Co. LLC, Series A 10.250%, due 11/01/15 ........................................... 249,000 500,000 Williams Cos., Inc./The 7.625%, due 07/15/19 ............................................ 493,750 ------------ 10,327,022 ------------ TOTAL CORPORATE NOTES AND BONDS (Cost $98,788,821) ............................................... 95,200,597 Shares ------ INVESTMENT COMPANY - 2.51% -------------------------------------------------------------------------------------------------- 2,486,984 SSgA Prime Money Market Fund ............................................................ 2,486,984 ------------ TOTAL INVESTMENT COMPANY (Cost $2,486,984)................................................ 2,486,984 TOTAL INVESTMENTS - 98.52% -------------------------------------------------------------------------------------------------- (Cost $101,275,805**).......................................................... 97,687,581 NET OTHER ASSETS AND LIABILITIES - 1.48% -------------------------------------------------------------------------------------------------- 1,463,505 TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------------------------- $ 99,151,086
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 34 ================================================================================ HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- ** Aggregate cost for Federal tax purposes was $101,275,805. (B) Represents a security with a specified coupon until a predetermined date, at which time the stated rate is adjusted to a new contract rate. (C) Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "qualified institutional investors." The securities have been determined to be liquid under guidelines established by the Board of Trustees. (D) Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 8.04% of total net assets. (G) Floating rate or variable rate note. Rate shown is as of June 30, 2009. (P) Convertible. PIK Payment in Kind. PLC Public Limited Company. REIT Real Estate Investment Trust. The industry classification method used for purposes of this report's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 35 ================================================================================ DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- [PIE CHART OF PORTFOLIO ALLOCATION] PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2009 Common Stocks 39% Corporate Notes and Bonds 21% Mortgage Backed 19% U.S. Government and Agency Obligations 15% Cash and Other Net Assets 5% Asset Backed 1% Commercial Mortgage Backed 0%* Private Label Mortgage Backed 0%*
* Rounds to 0% [END CHART] --------------------------------------------------------------------------------
Shares Value (Note 2) --------- -------------- COMMON STOCKS - 38.48% -------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 2.45% 37,100 Genuine Parts Co. ............................................... $ 1,245,076 63,000 Home Depot, Inc. ................................................ 1,488,690 57,500 McDonald's Corp. ................................................ 3,305,675 36,000 McGraw-Hill Cos., Inc./The ...................................... 1,083,960 41,200 Snap-On, Inc. ................................................... 1,184,088 27,800 VF Corp. ........................................................ 1,538,730 ------------ 9,846,219 ------------ CONSUMER STAPLES - 6.05% 159,000 Altria Group, Inc. .............................................. 2,606,010 54,000 Avon Products, Inc. ............................................. 1,392,120 91,500 Coca-Cola Co./The ............................................... 4,391,085 45,200 Kimberly-Clark Corp. ............................................ 2,369,836 112,018 Kraft Foods, Inc., Class A....................................... 2,838,536 45,000 PepsiCo, Inc./NC ................................................ 2,473,200 137,500 Philip Morris International, Inc. ............................... 5,997,750 98,200 Sysco Corp. ..................................................... 2,207,536 ------------ 24,276,073 ------------ ENERGY - 3.43% 115,000 Chevron Corp. ................................................... 7,618,750 86,000 ConocoPhillips .................................................. 3,617,160 55,500 Marathon Oil Corp. .............................................. 1,672,215 55,000 Williams Cos., Inc./The.......................................... 858,550 ------------ 13,766,675 ------------ FINANCIALS - 4.46% 35,400 Aflac, Inc. ..................................................... 1,100,586 105,000 Bank of New York Mellon Corp./The........................................................ 3,077,550 79,000 Marsh & McLennan Cos., Inc. ..................................... 1,590,270 63,000 Morgan Stanley .................................................. 1,796,130 61,000 NYSE Euronext ................................................... 1,662,250 38,500 Travelers Cos., Inc./The......................................... 1,580,040 102,000 US Bancorp ...................................................... 1,827,840 218,000 Wells Fargo & Co. ............................................... 5,288,680 ------------ 17,923,346 ------------ HEALTH CARE - 5.67% 16,100 Abbott Laboratories ............................................. 757,344 78,000 Bristol-Myers Squibb Co. ........................................ 1,584,180 44,000 Eli Lilly & Co. ................................................. 1,524,160 130,000 Johnson & Johnson ............................................... 7,384,000 147,500 Merck & Co., Inc./NJ ............................................ 4,124,100 492,019 Pfizer, Inc. .................................................... 7,380,285 ------------ 22,754,069 ------------ INDUSTRIALS - 6.51% 52,500 3M Co. .......................................................... 3,155,250 57,500 Boeing Co./The .................................................. 2,443,750 30,000 Deere & Co. ..................................................... 1,198,500 65,500 Emerson Electric Co. ............................................ 2,122,200 423,000 General Electric Co. ............................................ 4,957,560 72,500 Honeywell International, Inc. ................................... 2,276,500 43,000 Norfolk Southern Corp. .......................................... 1,619,810 29,000 Northrop Grumman Corp. .......................................... 1,324,720 20,000 Raytheon Co. .................................................... 888,600 65,000 Tyco International, Ltd. ........................................ 1,688,700 50,500 United Technologies Corp. ....................................... 2,623,980 65,500 Waste Management, Inc. .......................................... 1,844,480 ------------ 26,144,050 ------------ INFORMATION TECHNOLOGY - 2.53% 55,100 Automatic Data Processing, Inc. ................................. 1,952,744 316,000 Intel Corp. ..................................................... 5,229,800 79,000 Maxim Integrated Products, Inc. ................................. 1,239,510 68,000 Paychex, Inc. ................................................... 1,713,600 ------------ 10,135,654 ------------
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 36 ================================================================================ DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Shares Value (Note 2) --------- -------------- COMMON STOCKS (CONTINUED) -------------------------------------------------------------------------------------------------- MATERIALS - 1.63% 23,800 Air Products & Chemicals, Inc. .................................. $ 1,537,242 138,000 EI Du Pont de Nemours & Co. 3,535,560 32,800 Nucor Corp. ..................................................... 1,457,304 ------------ 6,530,106 ------------ TELECOMMUNICATION SERVICES - 3.13% 298,015 AT&T, Inc. ...................................................... 7,402,693 167,500 Verizon Communications, Inc. .................................... 5,147,275 ------------ 12,549,968 ------------ UTILITIES - 2.62% 37,000 Consolidated Edison, Inc. ....................................... 1,384,540 116,000 Duke Energy Corp. ............................................... 1,692,440 46,500 Exelon Corp. .................................................... 2,381,265 51,000 FirstEnergy Corp. ............................................... 1,976,250 37,500 Progress Energy, Inc. ........................................... 1,418,625 54,000 Southern Co./The ................................................ 1,682,640 ------------ 10,535,760 ------------ TOTAL COMMON STOCKS (Cost $172,382,961) ............................................. 154,461,920
Par Value --------- ASSET BACKED - 1.11% -------------------------------------------------------------------------------------------------- $ 599,648 ABSC Long Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (M) 8.550%, due 09/21/30 ............................................ 553,640 1,975,000 Carmax Auto Owner Trust, Series 2007-2, Class B 5.370%, due 03/15/13 ............................................ 1,679,493 2,045,000 Chase Issuance Trust, Series 2007-A17, Class A 5.120%, due 10/15/14 ............................................ 2,155,207 1,025,000 Renaissance Home Equity Loan Trust, Series 2005-4, Class M9 (M) 7.000%, due 02/25/36 ............................................ 60,454 ------------ TOTAL ASSET BACKED (Cost $5,581,401) ............................................... 4,448,794 COMMERCIAL MORTGAGE BACKED - 0.07% -------------------------------------------------------------------------------------------------- 2,690,000 Multi Security Asset Trust, Series 2005-RR4A, Class H (C)(G) 5.880%, due 11/28/35 ............................................ 221,468 775,000 Multi Security Asset Trust, Series 2005-RR4A, Class J (C)(G) 5.880%, due 11/28/35 ............................................ 61,023 ------------ TOTAL COMMERCIAL MORTGAGE BACKED (Cost $3,343,008) ............................................... 282,491 PRIVATE LABEL MORTGAGE BACKED - 0.33% -------------------------------------------------------------------------------------------------- 1,921,849 Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 6.000%, due 01/25/36 ............................................ 1,335,385 ------------ TOTAL PRIVATE LABEL MORTGAGE BACKED (Cost $1,921,849) ............................................... 1,335,385 CORPORATE NOTES AND BONDS - 20.86% -------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 1.20% 2,000,000 American Association of Retired Persons (C) 7.500%, due 05/01/31 ............................................ 2,155,742 1,850,000 Erac USA Finance Co. (C) 6.700%, due 06/01/34 ............................................ 1,387,987 1,600,000 Royal Caribbean Cruises, Ltd. (D) 7.250%, due 06/15/16 ............................................ 1,264,000 ------------ 4,807,729 ------------ CONSUMER STAPLES - 0.66% 2,025,000 Kraft Foods, Inc. 6.500%, due 11/01/31 ............................................ 2,010,618 620,000 PepsiCo, Inc./NC 4.650%, due 02/15/13 ............................................ 650,878 ------------ 2,661,496 ------------ ENERGY - 1.64% 2,000,000 Chesapeake Energy Corp. 6.375%, due 06/15/15 ............................................ 1,780,000 1,500,000 ConocoPhillips 6.650%, due 07/15/18 ............................................ 1,652,791 1,150,000 Hess Corp. 7.875%, due 10/01/29 ............................................ 1,247,343 750,000 Transocean, Inc. 6.000%, due 03/15/18 ............................................ 779,712 1,030,000 Transocean, Inc. 7.500%, due 04/15/31 ............................................ 1,141,242 ------------ 6,601,088 ------------ FINANCE - 4.64% 1,500,000 American General Finance Corp., Series H 4.625%, due 09/01/10 ............................................ 1,135,401 1,115,000 American General Finance Corp. 5.850%, due 06/01/13 ............................................ 639,607 620,000 Bank of America Corp. 5.750%, due 12/01/17 ............................................ 552,065 1,130,000 Bear Stearns Cos. LLC/The 7.250%, due 02/01/18 ............................................ 1,191,008 1,000,000 General Electric Global Insurance Holding Corp. 7.000%, due 02/15/26 ............................................ 783,847 785,000 General Electric Global Insurance Holding Corp. 7.750%, due 06/15/30 ............................................ 639,983
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 37 ================================================================================ DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Shares Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) -------------------------------------------------------------------------------------------------- FINANCE (CONTINUED) $ 1,735,000 Lehman Brothers Holdings, Inc. (E) 5.750%, due 01/03/17 ............................................ $ 174 1,415,000 Merrill Lynch & Co., Inc. 6.150%, due 04/25/13 ............................................ 1,416,999 2,400,000 National Rural Utilities Cooperative Finance Corp., Series 7.250%, due 03/01/12 ............................................ 2,621,369 3,240,000 Nissan Motor Acceptance Corp. (C) 5.625%, due 03/14/11 ............................................ 3,153,609 1,505,000 SLM Corp. 5.125%, due 08/27/12 ............................................ 1,287,315 580,000 Textron Financial Corp. 6.000%, due 11/20/09 ............................................ 574,829 2,000,000 US Bank NA/Cincinnati, OH 6.300%, due 02/04/14 ............................................ 2,172,144 1,450,000 Wells Fargo & Co. 5.250%, due 10/23/12 ............................................ 1,498,773 935,000 Western Union Co./The 5.930%, due 10/01/16 ............................................ 943,978 ------------ 18,611,101 ------------ FOOD & DRUG RETAILERS - 0.41% 1,550,000 Medco Health Solutions, Inc. 7.250%, due 08/15/13 ............................................ 1,662,519 ------------ FORESTRY/PAPER - 0.23% 1,025,000 Westvaco Corp. 8.200%, due 01/15/30 ............................................ 905,490 ------------ HEALTH CARE - 2.87% 3,950,000 Amgen, Inc. 5.850%, due 06/01/17 ............................................ 4,191,377 1,200,000 Eli Lilly & Co. 6.570%, due 01/01/16 ............................................ 1,293,168 740,000 Genentech, Inc. 5.250%, due 07/15/35 ............................................ 689,413 1,320,000 Merck & Co., Inc./NJ 5.750%, due 11/15/36 ............................................ 1,318,083 1,500,000 Quest Diagnostics, Inc./DE 5.450%, due 11/01/15 ............................................ 1,453,826 1,400,000 WellPoint, Inc. 5.000%, due 12/15/14 ............................................ 1,365,043 1,100,000 Wyeth 6.500%, due 02/01/34 ............................................ 1,215,520 ------------ 11,526,430 ------------ INDUSTRIALS - 1.26% 350,000 Boeing Co./The 8.625%, due 11/15/31 ............................................ 436,513 620,000 Boeing Co./The 6.875%, due 10/15/43 ............................................ 636,109 515,000 DR Horton, Inc. 5.250%, due 02/15/15 ............................................ 427,450 310,000 EI Du Pont de Nemours & Co. 5.000%, due 01/15/13 ............................................ 325,902 780,000 Lockheed Martin Corp. 7.650%, due 05/01/16 ............................................ 914,613 1,150,000 Waste Management, Inc. 7.125%, due 12/15/17 ............................................ 1,146,690 1,170,000 WM Wrigley Jr. Co. 4.300%, due 07/15/10 ............................................ 1,167,075 ------------ 5,054,352 ------------ MEDIA - 0.87% 1,780,000 Comcast Cable Communications Holdings, Inc. 9.455%, due 11/15/22 ............................................ 2,081,080 1,315,000 Rogers Communications, Inc. (D) 6.250%, due 06/15/13 ............................................ 1,394,404 ------------ 3,475,484 ------------ REAL ESTATE INVESTMENT TRUSTS - 1.04% 1,450,000 HCP, Inc. 6.700%, due 01/30/18 ............................................ 1,259,609 2,400,000 Nationwide Health Properties, Inc., Series D 8.250%, due 07/01/12 ............................................ 2,411,770 530,000 Simon Property Group L.P. 5.875%, due 03/01/17 ............................................ 486,618 ------------ 4,157,997 ------------ TELECOMMUNICATIONS - 0.41% 960,000 Cisco Systems, Inc. 5.500%, due 02/22/16 ............................................ 1,017,015 795,000 Sprint Nextel Corp. 6.000%, due 12/01/16 ............................................ 649,913 ------------ 1,666,928 ------------ TRANSPORTATION - 0.89% 1,365,000 Burlington Northern Santa Fe Corp. 8.125%, due 04/15/20 ............................................ 1,532,481 957,000 Norfolk Southern Corp. 5.590%, due 05/17/25 ............................................ 889,675 1,050,000 Norfolk Southern Corp. 7.050%, due 05/01/37 ............................................ 1,158,080 ------------ 3,580,236 ------------ UTILITIES - 4.74% 2,000,000 Energy East Corp. 8.050%, due 11/15/10 ............................................ 2,116,238 1,555,000 Indianapolis Power & Light Co. (C) 6.050%, due 10/01/36 ............................................ 1,204,683 4,000,000 MidAmerican Energy Co. 5.650%, due 07/15/12 ............................................ 4,242,184 1,600,000 Nevada Power Co., Series R 6.750%, due 07/01/37 ............................................ 1,648,514 1,365,000 Pacific Gas & Electric Co. 6.050%, due 03/01/34 ............................................ 1,416,102
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 38 ================================================================================ DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Par Value Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) -------------------------------------------------------------------------------------------------- UTILITIES (CONTINUED) $ 2,000,000 Progress Energy, Inc. 7.750%, due 03/01/31 ............................................ $ 2,349,676 474,000 Sierra Pacific Power Co., Series M 6.000%, due 05/15/16 ............................................ 480,035 1,500,000 Southern Power Co., Series B 6.250%, due 07/15/12 ............................................ 1,605,306 835,000 Southwestern Electric Power Co., Series E 5.550%, due 01/15/17 ............................................ 811,465 620,000 Virginia Electric and Power Co. 5.100%, due 11/30/12 ............................................ 655,145 2,400,000 Westar Energy, Inc. 6.000%, due 07/01/14 ............................................ 2,514,655 ------------ 19,044,003 ------------ TOTAL CORPORATE NOTES AND BONDS (Cost $88,700,034) .............................................. 83,754,853 MORTGAGE BACKED - 18.73% -------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. - 2.21% 78,088 8.000%, due 06/01/30 Pool # C01005 ................................................... 85,893 358,287 6.500%, due 01/01/32 Pool # C62333 ................................................... 384,493 104,453 6.500%, due 03/01/32 Pool # C65648 ................................................... 111,962 3,628,742 5.000%, due 07/01/33 Pool # A11325 ................................................... 3,710,814 367,853 6.000%, due 10/01/34 Pool # A28439 ................................................... 386,367 309,418 6.000%, due 10/01/34 Pool # A28598 ................................................... 324,991 271,423 5.000%, due 04/01/35 Pool # A32314 ................................................... 277,137 546,494 5.000%, due 04/01/35 Pool # A32315 ................................................... 558,000 430,296 5.000%, due 04/01/35 Pool # A32316 ................................................... 439,356 245,678 5.000%, due 04/01/35 Pool # A32509 ................................................... 250,851 2,282,580 5.000%, due 01/01/37 Pool # A56371 ................................................... 2,326,716 ------------ 8,856,580 ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION - 16.48% 993,775 4.000%, due 04/01/15 Pool # 255719 ................................................... 1,005,849 1,087,110 5.500%, due 04/01/16 Pool # 745444 ................................................... 1,136,006 287,382 6.000%, due 05/01/16 Pool # 582558 ................................................... 306,403 1,745,043 5.000%, due 12/01/17 Pool # 672243 ................................................... 1,827,824 1,872,723 4.500%, due 09/01/20 Pool # 835465 ................................................... 1,931,168 338,832 6.000%, due 05/01/21 Pool # 253847 ................................................... 358,396 67,495 7.000%, due 12/01/29 Pool # 762813 ................................................... 74,230 192,293 7.000%, due 11/01/31 Pool # 607515 ................................................... 210,667 2,807 7.000%, due 04/01/32 Pool # 641518 ................................................... 3,072 207,616 7.000%, due 05/01/32 Pool # 644591 ................................................... 227,454 1,051,241 6.500%, due 06/01/32 Pool # 545691 ................................................... 1,129,447 894,668 6.500%, due 09/01/33 Pool # 737582 ................................................... 959,549 1,435,707 5.500%, due 10/01/33 Pool # 254904 ................................................... 1,489,756 5,112,525 5.500%, due 11/01/33 Pool # 555880 ................................................... 5,304,994 4,277,121 5.000%, due 05/01/34 Pool # 780890 ................................................... 4,372,521 40,484 7.000%, due 07/01/34 Pool # 792636 ................................................... 44,181 566,276 5.500%, due 08/01/34 Pool # 793647 ................................................... 587,241 2,935,606 5.500%, due 03/01/35 Pool # 815976 ................................................... 3,041,534 1,369,376 5.500%, due 07/01/35 Pool # 825283 ................................................... 1,418,788 878,748 5.500%, due 08/01/35 Pool # 826872 ................................................... 910,457 1,308,107 5.000%, due 09/01/35 Pool # 820347 ................................................... 1,336,466 1,383,663 5.000%, due 09/01/35 Pool # 835699 ................................................... 1,413,661 1,771,394 5.000%, due 10/01/35 Pool # 797669 ................................................... 1,809,798 1,868,172 5.500%, due 10/01/35 Pool # 836912 ................................................... 1,935,583 1,809,459 5.000%, due 12/01/35 Pool # 850561 ................................................... 1,848,688 3,493,616 5.500%, due 12/01/35 Pool # 844583 ................................................... 3,619,680 704,709 5.500%, due 02/01/36 Pool # 851330 ................................................... 730,137
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 39 ================================================================================ DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Par Value Value (Note 2) --------- -------------- MORTGAGE BACKED (CONTINUED) -------------------------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED) $ 2,492,677 5.500%, due 09/01/36 Pool # 831820 ................................................... $ 2,578,339 2,370,308 6.000%, due 09/01/36 Pool # 831741 ................................................... 2,482,944 628,924 5.500%, due 10/01/36 Pool # 896340 ................................................... 650,537 2,878,009 5.500%, due 10/01/36 Pool # 901723 ................................................... 2,976,913 2,027,878 6.500%, due 10/01/36 Pool # 894118 ................................................... 2,163,215 2,531,829 6.000%, due 11/01/36 Pool # 902510 ................................................... 2,674,490 2,860,940 5.500%, due 12/01/36 Pool # 902853 ................................................... 2,959,257 2,565,472 5.500%, due 12/01/36 Pool # 903059 ................................................... 2,653,635 2,296,525 5.500%, due 12/01/36 Pool # 907512 ................................................... 2,375,445 2,780,886 5.500%, due 12/01/36 Pool # 907635 ................................................... 2,876,452 2,614,080 6.000%, due 12/01/36 Pool # 903002 ................................................... 2,738,300 ------------ 66,163,077 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.04% 161,607 6.500%, due 04/20/31 Pool # 003068 ................................................... 173,917 ------------ TOTAL MORTGAGE BACKED (Cost $72,061,041) .............................................. 75,193,574 U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 15.20% -------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. - 0.38% 1,400,000 4.500%, due 01/15/14 ............................................ 1,505,059 ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION - 0.19% 750,000 5.250%, due 08/01/12 ............................................ 779,325 ------------ U.S. TREASURY BILLS - 0.76% (A) 3,050,000 0.010%, due 12/17/09 ............................................ 3,045,354 ------------ U.S. TREASURY BONDS - 1.69% 5,270,000 6.625%, due 02/15/27 ............................................ 6,794,184 ------------ U.S. TREASURY NOTES - 12.18% 1,850,000 3.875%, due 05/15/10 ............................................ 1,904,272 500,000 4.500%, due 11/15/10 ............................................ 525,918 2,050,000 0.875%, due 02/28/11 ............................................ 2,048,565 500,000 4.750%, due 03/31/11 ............................................ 532,949 3,900,000 4.875%, due 04/30/11 ............................................ 4,169,342 6,150,000 4.625%, due 12/31/11 ............................................ 6,646,803 1,125,000 1.375%, due 02/15/12 ............................................ 1,124,034 3,400,000 4.625%, due 02/29/12 ............................................ 3,684,485 1,312,000 1.375%, due 05/15/12 ............................................ 1,304,626 2,500,000 4.000%, due 11/15/12 ............................................ 2,679,492 1,980,000 3.625%, due 05/15/13 ............................................ 2,094,313 1,175,000 3.125%, due 08/31/13 ............................................ 1,217,319 4,810,000 4.000%, due 02/15/14 ............................................ 5,147,075 4,965,000 4.250%, due 08/15/14 ............................................ 5,354,445 3,550,000 4.500%, due 02/15/16 ............................................ 3,849,808 5,100,000 4.250%, due 11/15/17 ............................................ 5,409,187 1,300,000 2.750%, due 02/15/19 ............................................ 1,217,528 ------------ 48,910,161 ------------ TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $58,619,144) .............................................. 61,034,083 Share ----- INVESTMENT COMPANY - 4.18% -------------------------------------------------------------------------------------------------- 16,784,897 SSgA Prime Money Market Fund ..................................................... 16,784,897 ------------ TOTAL INVESTMENT COMPANY (Cost $16,784,897) .............................................. 16,784,897 TOTAL INVESTMENTS - 98.96% -------------------------------------------------------------------------------------------------- (Cost $419,394,335**) ......................................................... 397,295,997 NET OTHER ASSETS AND LIABILITIES - 1.04% -------------------------------------------------------------------------------------------------- 4,169,089 TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------------------------- $401,465,086
-------------------------------------------------------------------------------- ** Aggregate cost for Federal tax purposes was $420,230,486. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 40 ================================================================================ DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- (A) Rate noted represents annualized yield at time of purchase. (C) Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "qualified institutional investors." The securities have been determined to be liquid under guidelines established by the Board of Trustees. (D) Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 0.66% of total net assets. (E) In Default. Issuer is bankrupt. (G) Floating rate or variable rate note. Rate shown is as of June 30, 2009. (M) Stated interest rate is contingent upon sufficient collateral market value. If collateral market value falls below a stated level, the issuer will either initiate a clean-up call or increase the stated interest rate. The industry classification method used for purposes of this report's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 41 ================================================================================ LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- [PIE CHART OF SECTOR ALLOCATION] SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2009 Financials 24% Energy 18% Health Care 11% Consumer Discretionary 8% Industrials 8% Utilities 7% Consumer Staples 6% Telecommunication Services 6% Information Technology 5% Cash and Other Net Assets 4% Materials 3%
[END CHART] --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS - 96.67% -------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 8.05% 343,642 Comcast Corp., Class A .......................................... $ 4,979,373 105,400 Home Depot, Inc. ................................................ 2,490,602 91,800 Jarden Corp. * .................................................. 1,721,250 134,900 Johnson Controls, Inc. .......................................... 2,930,028 83,000 Kohl's Corp. * .................................................. 3,548,250 212,900 Lowe's Cos., Inc. ............................................... 4,132,389 86,600 Omnicom Group, Inc. ............................................. 2,734,828 70,000 Phillips-Van Heusen Corp. ....................................... 2,008,300 92,900 Snap-On, Inc. ................................................... 2,669,946 154,500 Staples, Inc. ................................................... 3,116,265 99,200 Target Corp. .................................................... 3,915,424 76,642 Time Warner Cable, Inc. ......................................... 2,427,252 149,833 Time Warner, Inc. ............................................... 3,774,293 216,400 Walt Disney Co./The ............................................. 5,048,612 ------------ 45,496,812 ------------ CONSUMER STAPLES - 6.15% 41,900 Archer-Daniels-Midland Co. ...................................... 1,121,663 63,800 CVS Caremark Corp. .............................................. 2,033,306 55,500 General Mills, Inc. ............................................. 3,109,110 47,000 HJ Heinz Co. .................................................... 1,677,900 34,600 Kellogg Co. ..................................................... 1,611,322 210,257 Kraft Foods, Inc., Class A....................................... 5,327,912 40,400 Molson Coors Brewing Co., Class B ......................................................... 1,710,132 106,300 PepsiCo, Inc./NC ................................................ 5,842,248 163,400 Procter & Gamble Co./The ........................................ 8,349,740 81,600 Wal-Mart Stores, Inc. ........................................... 3,952,704 ------------ 34,736,037 ------------ ENERGY - 18.14% 80,600 Anadarko Petroleum Corp. ........................................ 3,658,434 79,200 Apache Corp. .................................................... 5,714,280 288,046 Chevron Corp. ................................................... 19,083,047 227,900 ConocoPhillips .................................................. 9,585,474 87,900 Devon Energy Corp. .............................................. 4,790,550 53,000 EOG Resources, Inc. ............................................. 3,599,760 460,400 Exxon Mobil Corp. ............................................... 32,186,564 151,500 Marathon Oil Corp. .............................................. 4,564,695 104,200 Occidental Petroleum Corp. ...................................... 6,857,402 81,800 Schlumberger, Ltd. .............................................. 4,426,198 57,600 Valero Energy Corp. ............................................. 972,864 107,200 Weatherford International, Ltd. * .......................................................... 2,096,832 130,500 XTO Energy, Inc. ................................................ 4,977,270 ------------ 102,513,370 ------------ FINANCIALS - 24.19% 79,126 Allstate Corp./The .............................................. 1,930,674 92,200 American Express Co. ............................................ 2,142,728 81,200 AON Corp. ....................................................... 3,075,044 35,700 Arch Capital Group, Ltd. * ...................................... 2,091,306 1,116,642 Bank of America Corp. ........................................... 14,739,674 186,600 Bank of New York Mellon Corp./The ....................................................... 5,469,246 105,400 BB&T Corp. ...................................................... 2,316,692 18,600 BlackRock, Inc. ................................................. 3,262,812 66,600 Capital One Financial Corp. ..................................... 1,457,208 52,000 Chubb Corp. ..................................................... 2,073,760 759,414 Citigroup, Inc. ................................................. 2,255,460 66,700 Equity Residential, REIT ........................................ 1,482,741 71,400 Goldman Sachs Group, Inc./ The ............................................................. 10,527,216 112,100 Hartford Financial Services Group, Inc. ..................................................... 1,330,627 578,588 JPMorgan Chase & Co. ............................................ 19,735,637 91,200 Keycorp ......................................................... 477,888 75,300 Marsh & McLennan Cos., Inc. ..................................... 1,515,789 175,400 MetLife, Inc. ................................................... 5,263,754 153,800 Morgan Stanley................................................... 4,384,838 127,700 PNC Financial Services Group, Inc. ............................................................ 4,956,037 128,100 Prudential Financial, Inc. ...................................... 4,767,882
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 42 ================================================================================ LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) -------------------------------------------------------------------------------------------------- FINANCIALS (CONTINUED) 113,900 Regions Financial Corp. ......................................... $ 460,156 39,115 Simon Property Group, Inc., REIT ...................................................... 2,011,685 129,200 State Street Corp. .............................................. 6,098,240 47,900 Suntrust Banks, Inc. ............................................ 787,955 199,300 Travelers Cos., Inc./The ........................................ 8,179,272 55,200 Unum Group ...................................................... 875,472 297,200 US Bancorp ..................................................... 5,325,824 74,881 Vornado Realty Trust, REIT ...................................... 3,371,891 590,100 Wells Fargo & Co. ............................................... 14,315,826 ------------ 136,683,334 ------------ HEALTH CARE - 11.25% 69,500 CIGNA Corp. ..................................................... 1,674,255 42,675 Covidien PLC .................................................... 1,597,752 53,000 Eli Lilly & Co. ................................................. 1,835,920 157,700 Johnson & Johnson ............................................... 8,957,360 106,600 Life Technologies Corp. * ....................................... 4,447,352 237,900 Merck & Co., Inc./NJ ............................................ 6,651,684 1,331,800 Pfizer, Inc. .................................................... 19,977,000 82,400 Thermo Fisher Scientific, Inc. * ................................ 3,359,448 168,000 UnitedHealth Group, Inc. ........................................ 4,196,640 57,500 WellPoint, Inc. * ............................................... 2,926,175 174,700 Wyeth ........................................................... 7,929,633 ------------ 63,553,219 ------------ INDUSTRIALS - 8.21% 80,000 CSX Corp. ....................................................... 2,770,400 83,900 Deere & Co. ..................................................... 3,351,805 43,500 Emerson Electric Co. ............................................ 1,409,400 37,300 FedEx Corp. ..................................................... 2,074,626 1,518,600 General Electric Co. ............................................ 17,797,992 45,200 Illinois Tool Works, Inc. ....................................... 1,687,768 43,200 L-3 Communications Holdings, Inc. .................................................. 2,997,216 89,100 Norfolk Southern Corp. .......................................... 3,356,397 116,000 Raytheon Co. .................................................... 5,153,880 62,700 Tyco International, Ltd. ........................................ 1,628,946 55,300 United Technologies Corp. ....................................... 2,873,388 46,700 Waste Management, Inc. .......................................... 1,315,072 ------------ 46,416,890 ------------ INFORMATION TECHNOLOGY - 5.17% 31,600 Affiliated Computer Services, Inc., Class A * ................................................. 1,403,672 181,600 Cisco Systems, Inc. *............................................ 3,385,024 233,800 EMC Corp./Massachusetts * ....................................... 3,062,780 51,535 Hewlett-Packard Co. ............................................. 1,991,828 310,400 Intel Corp. ..................................................... 5,137,120 37,500 International Business Machines Corp. .................................................. 3,915,750 102,400 Kla-Tencor Corp. ................................................ 2,585,600 153,000 Maxim Integrated Products, Inc. ............................................................ 2,400,570 60,000 Novellus Systems, Inc. * ........................................ 1,002,000 130,600 Symantec Corp. * ................................................ 2,032,136 107,500 Texas Instruments, Inc. ......................................... 2,289,750 ------------ 29,206,230 ------------ MATERIALS - 3.31% 45,800 Air Products & Chemicals, Inc. .................................. 2,958,222 162,900 EI Du Pont de Nemours & Co. ..................................... 4,173,498 87,896 Freeport-McMoRan Copper & Gold, Inc. ...................................................... 4,404,469 113,000 Nucor Corp. ..................................................... 5,020,590 69,600 Weyerhaeuser Co. ................................................ 2,117,928 18,674,707 TELECOMMUNICATION SERVICES - 5.73% 798,287 AT&T, Inc. ...................................................... 19,829,449 245,800 Sprint Nextel Corp. * ........................................... 1,182,298 369,335 Verizon Communications, Inc. .................................... 11,349,665 ------------ 32,361,412 ------------ UTILITIES - 6.47% 83,300 American Electric Power Co., Inc. ............................................................ 2,406,537 184,900 Duke Energy Corp. ............................................... 2,697,691 84,900 Edison International ............................................ 2,670,954 55,900 Exelon Corp. .................................................... 2,862,639 55,400 FirstEnergy Corp. ............................................... 2,146,750 86,500 FPL Group, Inc. ................................................. 4,918,390 57,100 NSTAR ........................................................... 1,833,481 93,600 PG&E Corp. ...................................................... 3,597,984 90,600 Public Service Enterprise Group, Inc. ..................................................... 2,956,278 18,000 Questar Corp. ................................................... 559,080 95,300 Sempra Energy ................................................... 4,729,739 166,700 Southern Co./The ................................................ 5,194,372 ------------ 36,573,895 ------------ TOTAL COMMON STOCKS (Cost $630,236,573) ............................................. 546,215,906 INVESTMENT COMPANIES - 3.01% -------------------------------------------------------------------------------------------------- 274,000 Consumer Discretionary Select Sector SPDR Fund ETF ............................................ 6,323,920 315,000 Industrial Select Sector SPDR Fund ETF ................................................... 6,917,400 3,777,149 SSgA Prime Money Market Fund ............................................................ 3,777,149 ------------ TOTAL INVESTMENT COMPANIES (Cost $16,323,707) .............................................. 17,018,469
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 43 ================================================================================ LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Value (Note 2) -------------- TOTAL INVESTMENTS - 99.68% -------------------------------------------------------------------------------------------------- (Cost $646,560,280**) ......................................................... $563,234,375 NET OTHER ASSETS AND LIABILITIES - 0.32% -------------------------------------------------------------------------------------------------- 1,829,914 TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------------------------- $565,064,289
-------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $648,765,203. ETF Exchange Traded Fund. PLC Public Limited Company. REIT Real Estate Investment Trust. The industry classification method used for purposes of this report's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 44 ================================================================================ LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- [PIE CHART OF SECTOR ALLOCATION] SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2009 Information Technology 32% Health Care 16% Consumer Staples 14% Consumer Discretionary 10% Industrials 9% Energy 6% Financials 6% Materials 4% Cash and Other Net Assets 1% Telecommunication Services 1% Utilities 1%
[END CHART] --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS - 98.88% -------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 10.37% 33,400 Amazon.com, Inc. * .............................................. $ 2,794,244 3,200 AutoZone, Inc. * ................................................ 483,552 39,700 Coach, Inc. ..................................................... 1,067,136 64,300 Comcast Corp., Class A .......................................... 931,707 15,400 GameStop Corp., Class A * ....................................... 338,954 26,300 Kohl's Corp. * .................................................. 1,124,325 29,300 Mastercard, Inc., Class A ....................................... 4,902,183 143,700 McDonald's Corp. ................................................ 8,261,313 27,700 NIKE, Inc., Class B ............................................. 1,434,306 47,100 Staples, Inc. ................................................... 950,007 73,200 Starbucks Corp. * ............................................... 1,016,748 112,500 Target Corp. .................................................... 4,440,375 34,800 TJX Cos., Inc. .................................................. 1,094,808 133,200 Visa, Inc., Class A ............................................. 8,293,032 116,500 Yum! Brands, Inc. ............................................... 3,884,110 ------------ 41,016,800 ------------ CONSUMER STAPLES - 14.02% 131,200 Coca-Cola Co./The ............................................... 6,296,288 55,100 Colgate-Palmolive Co. ........................................... 3,897,774 120,800 Kellogg Co. ..................................................... 5,625,656 87,800 Lorillard, Inc. ................................................. 5,950,206 145,400 PepsiCo, Inc./NC ................................................ 7,991,184 190,900 Procter & Gamble Co./The ........................................ 9,754,990 166,500 Walgreen Co. .................................................... 4,895,100 228,100 Wal-Mart Stores, Inc. ........................................... 11,049,164 ------------ 55,460,362 ------------ ENERGY - 5.82% 53,200 Cameron International Corp. * ................................... 1,505,560 16,400 Diamond Offshore Drilling, Inc. ................................. 1,362,020 92,900 National Oilwell Varco, Inc. * .................................. 3,034,114 46,700 Peabody Energy Corp. ............................................ 1,408,472 232,500 PetroHawk Energy Corp. * ........................................ 5,184,750 46,400 Range Resources Corp. ........................................... 1,921,424 60,600 Southwestern Energy Co. * ....................................... 2,354,310 225,100 Weatherford International, Ltd. * .......................................................... 4,402,956 47,766 XTO Energy, Inc. ................................................ 1,821,795 ------------ 22,995,401 ------------ FINANCIALS - 5.44% 37,300 Aflac, Inc. ..................................................... 1,159,657 464,388 Axis Capital Holdings, Ltd. ..................................... 12,157,678 22,200 IntercontinentalExchange, Inc. * .......................................................... 2,536,128 37,100 Northern Trust Corp. ............................................ 1,991,528 47,900 State Street Corp. .............................................. 2,260,880 58,500 Wells Fargo & Co. ............................................... 1,419,210 ------------ 21,525,081 ------------ HEALTH CARE - 15.89% 126,600 Abbott Laboratories ............................................. 5,955,264 26,000 Allergan, Inc./United States .................................... 1,237,080 35,400 Celgene Corp. * ................................................. 1,693,536 148,600 CIGNA Corp. ..................................................... 3,579,774 25,400 Genzyme Corp. *.................................................. 1,414,018 120,900 Gilead Sciences, Inc. * ......................................... 5,662,956 6,800 Intuitive Surgical, Inc. *....................................... 1,112,888 178,100 Johnson & Johnson................................................ 10,116,080 47,600 Life Technologies Corp. * ....................................... 1,985,872 85,700 Medco Health Solutions, Inc. * .................................. 3,908,777 210,000 Roche Holding AG, ADR ........................................... 7,163,100 170,381 Schering-Plough Corp. ........................................... 4,279,971 74,900 St. Jude Medical, Inc. *......................................... 3,078,390 381,300 UnitedHealth Group, Inc. ........................................ 9,524,874 59,900 Vertex Pharmaceuticals, Inc. * .................................. 2,134,836 ------------ 62,847,416 ------------ INDUSTRIALS - 9.18% 85,900 Boeing Co./The .................................................. 3,650,750 23,100 CH Robinson Worldwide, Inc. 1,204,665 33,300 Deere & Co. ..................................................... 1,330,335
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 45 ================================================================================ LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) -------------------------------------------------------------------------------------------------- INDUSTRIALS (CONTINUED) 12,400 Dun & Bradstreet Corp. .......................................... $ 1,007,004 16,500 Expeditors International of Washington, Inc. ................................................ 550,110 33,600 Flowserve Corp. ................................................. 2,345,616 174,000 Honeywell International, Inc. ................................... 5,463,600 60,300 ITT Corp. ....................................................... 2,683,350 25,900 Lockheed Martin Corp. ........................................... 2,088,835 214,600 Quanta Services, Inc. * ......................................... 4,963,698 103,600 Raytheon Co. .................................................... 4,602,948 143,800 Tyco International, Ltd. ........................................ 3,735,924 53,900 United Parcel Service, Inc., Class B ......................................................... 2,694,461 ------------ 36,321,296 ------------ INFORMATION TECHNOLOGY - 32.18% 113,000 Accenture, Ltd., Class A ........................................ 3,780,980 41,800 Adobe Systems, Inc. * ........................................... 1,182,940 31,000 Altera Corp. .................................................... 504,680 77,300 Apple, Inc. * ................................................... 11,009,839 38,700 BMC Software, Inc. * ............................................ 1,307,673 552,700 Cisco Systems, Inc. * ........................................... 10,302,328 54,700 Citrix Systems, Inc. * .......................................... 1,744,383 139,000 Corning, Inc. ................................................... 2,232,340 206,500 Dell, Inc. * .................................................... 2,835,245 139,800 Electronic Arts, Inc. * ......................................... 3,036,456 414,800 EMC Corp./Massachusetts * ....................................... 5,433,880 11,400 First Solar, Inc. * ............................................. 1,848,168 29,800 Google, Inc., Class A* .......................................... 12,563,382 55,400 Hewlett-Packard Co. ............................................. 2,141,210 602,000 Intel Corp. ..................................................... 9,963,100 128,300 International Business Machines Corp. .................................................. 13,397,086 646,100 Microsoft Corp. ................................................. 15,357,797 102,600 Novellus Systems, Inc. * ........................................ 1,713,420 325,600 Oracle Corp. .................................................... 6,974,352 181,600 Paychex, Inc. ................................................... 4,576,320 152,600 QUALCOMM, Inc. .................................................. 6,897,520 45,900 Salesforce.com, Inc. * .......................................... 1,752,003 151,500 Texas Instruments, Inc. ......................................... 3,226,950 69,600 Varian Semiconductor Equipment Associates, Inc. * .................................... 1,669,704 116,400 Yahoo!, Inc. * .................................................. 1,822,824 ------------ 127,274,580 ------------ MATERIALS - 3.81% 60,400 Agnico-Eagle Mines, Ltd. ........................................ 3,169,792 75,900 Ecolab, Inc. .................................................... 2,959,341 26,400 Monsanto Co. .................................................... 1,962,576 70,276 Nucor Corp. ..................................................... 3,122,362 54,300 Praxair, Inc. ................................................... 3,859,101 ------------ 15,073,172 ------------ TELECOMMUNICATION SERVICES - 0.81% 167,100 NII Holdings, Inc. * ............................................ 3,186,597 ------------ UTILITIES - 1.36% 94,400 FPL Group, Inc. ................................................. 5,367,584 ------------ TOTAL COMMON STOCKS (Cost $369,607,641) ............................................. 391,068,289 INVESTMENT COMPANY - 2.36% -------------------------------------------------------------------------------------------------- 9,352,253 SSgA Prime Money Market Fund ..................................................... 9,352,253 ------------ TOTAL INVESTMENT COMPANY (Cost $9,352,253) ............................................... 9,352,253 TOTAL INVESTMENTS - 101.24% -------------------------------------------------------------------------------------------------- (Cost $378,959,894**) ......................................................... 400,420,542 NET OTHER ASSETS AND LIABILITIES - (1.24)% -------------------------------------------------------------------------------------------------- (4,902,665) TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------------------------- $395,517,877
-------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $384,403,247. ADR American Depositary Receipt. The industry classification method used for purposes of this report's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 46 ================================================================================ MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- [PIE CHART OF SECTOR ALLOCATION] SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2009 Financials 23% Industrials 12% Consumer Discretionary 11% Utilities 11% Energy 9% Information Technology 9% Consumer Staples 7% Health Care 6% Materials 6% Cash and Other Net Assets 4% Telecommunication Services 2%
[END CHART] --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS - 96.21% -------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 10.90% 32,600 Arbitron, Inc. .................................................. $ 518,014 8,200 AutoZone, Inc. * ................................................ 1,239,102 6,300 Bally Technologies, Inc. * ...................................... 188,496 41,300 Big Lots, Inc. * ................................................ 868,539 33,000 Cablevision Systems Corp., Class A ......................................................... 640,530 47,000 Cato Corp./The, Class A ......................................... 819,680 12,400 CEC Entertainment, Inc. * ....................................... 365,552 17,700 Choice Hotels International, Inc. ............................................................ 470,997 50,400 GameStop Corp., Class A * ....................................... 1,109,304 17,700 Hibbett Sports, Inc. * .......................................... 318,600 140,400 Interpublic Group of Cos., Inc. * ............................... 709,020 48,700 Jarden Corp. * .................................................. 913,125 35,400 JC Penney Co., Inc. ............................................. 1,016,334 43,400 Mattel, Inc. .................................................... 696,570 13,400 Matthews International Corp., Class A ......................................................... 417,008 16,500 O'Reilly Automotive, Inc. * ..................................... 628,320 96,100 Pulte Homes, Inc. ............................................... 848,563 32,300 Scripps Networks Interactive, Inc., Class A ................................................... 898,909 42,300 Snap-On, Inc. ................................................... 1,215,702 36,600 Sonic Corp. * ................................................... 367,098 68,600 Stage Stores, Inc. .............................................. 761,460 53,900 TJX Cos., Inc. .................................................. 1,695,694 19,400 Valassis Communications, Inc. * ................................. 118,534 12,300 VF Corp. ........................................................ 680,805 ------------ 17,505,956 ------------ CONSUMER STAPLES - 6.56% 18,300 Bunge, Ltd. ..................................................... 1,102,575 15,200 Casey's General Stores, Inc. .................................... 390,488 71,300 ConAgra Foods, Inc. ............................................. 1,358,978 23,900 Herbalife, Ltd. ................................................. 753,806 16,900 Hormel Foods Corp. .............................................. 583,726 26,400 Lance, Inc. ..................................................... 610,632 29,400 Molson Coors Brewing Co., Class B ......................................................... 1,244,502 9,000 Ralcorp Holdings, Inc. * ........................................ 548,280 40,500 Safeway, Inc. ................................................... 824,985 131,800 Sara Lee Corp. .................................................. 1,286,368 59,800 Tyson Foods, Inc., Class A ...................................... 754,078 22,400 Wal-Mart Stores, Inc. ........................................... 1,085,056 ------------ 10,543,474 ------------ ENERGY - 9.49% 102,000 Denbury Resources, Inc. * ....................................... 1,502,460 187,400 El Paso Corp. ................................................... 1,729,702 70,500 Forest Oil Corp. * .............................................. 1,051,860 52,100 Helmerich & Payne, Inc. ......................................... 1,608,327 11,500 Murphy Oil Corp. ................................................ 624,680 35,500 Noble Corp. ..................................................... 1,073,875 37,400 Noble Energy, Inc. .............................................. 2,205,478 15,500 Penn Virginia Corp. ............................................. 253,735 71,700 PetroHawk Energy Corp. * ........................................ 1,598,910 21,000 Plains Exploration & Production Co. * ................................................ 574,560 4,800 SEACOR Holdings, Inc. * ......................................... 361,152 43,200 Smith International, Inc. ....................................... 1,112,400 19,600 St. Mary Land & Exploration Co. ................................................. 409,052 58,200 Tesoro Corp. .................................................... 740,886 11,300 Whiting Petroleum Corp. * ....................................... 397,308 ------------ 15,244,385 ------------ FINANCIALS - 23.09% 1,268 Alleghany Corp. * ............................................... 343,628 27,500 Ameriprise Financial, Inc. ...................................... 667,425 100,500 Annaly Capital Management, Inc., REIT ...................................................... 1,521,570
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 47 ================================================================================ MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) -------------------------------------------------------------------------------------------------- FINANCIALS (CONTINUED) 53,700 AON Corp. ....................................................... $ 2,033,619 25,700 Arch Capital Group, Ltd. * ...................................... 1,505,506 53,699 Ares Capital Corp. .............................................. 432,814 65,676 Associated Banc-Corp. ........................................... 820,950 43,700 Assurant, Inc. .................................................. 1,052,733 26,800 Assured Guaranty, Ltd. .......................................... 331,784 22,434 AvalonBay Communities, Inc., REIT ............................................................ 1,254,958 57,700 Axis Capital Holdings, Ltd. ..................................... 1,510,586 11,900 BlackRock, Inc. ................................................. 2,087,498 14,800 Credit Acceptance Corp. * ....................................... 323,380 19,100 Cullen/Frost Bankers, Inc. ...................................... 880,892 38,950 Delphi Financial Group, Inc., Class A ......................................................... 756,798 27,600 DiamondRock Hospitality Co., REIT ............................................................ 172,776 50,400 Equity Residential, REIT ........................................ 1,120,392 16,168 Everest Re Group, Ltd. .......................................... 1,157,144 113,100 Fifth Third Bancorp ............................................. 803,010 13,100 Financial Federal Corp. ......................................... 269,205 32,600 First Midwest Bancorp, Inc./IL................................... 238,306 31,850 International Bancshares Corp. .................................. 328,373 13,200 IPC Holdings, Ltd. .............................................. 360,888 56,700 JPMorgan Chase & Co. ............................................ 1,934,037 166,600 Keycorp ......................................................... 872,984 10,600 Mack-Cali Realty Corp., REIT .................................... 241,680 52,900 Marsh & McLennan Cos., Inc. ..................................... 1,064,877 19,200 MB Financial, Inc. .............................................. 195,648 17,738 NewAlliance Bancshares, Inc. .................................... 203,987 22,900 NYSE Euronext ................................................... 624,025 53,200 People's United Financial, Inc. ................................. 800,128 21,200 Platinum Underwriters Holdings, Ltd. ............................................................ 606,108 54,100 Progressive Corp./The * ......................................... 817,451 72,000 ProLogis, REIT .................................................. 580,320 4,600 PS Business Parks, Inc., REIT ................................... 222,824 26,800 Realty Income Corp., REIT ...................................... 587,456 18,400 Reinsurance Group of America, Inc. ............................................................ 642,344 34,000 State Street Corp. .............................................. 1,604,800 72,000 Suntrust Banks, Inc. ............................................ 1,184,400 131,100 Unum Group ...................................................... 2,079,246 9,000 Ventas, Inc., REIT .............................................. 268,740 34,027 Vornado Realty Trust, REIT ...................................... 1,532,236 44,200 Webster Financial Corp. ......................................... 355,810 6,400 Westamerica Bancorporation ...................................... 317,504 33,100 XL Capital, Ltd., Class A ....................................... 379,326 ------------ 37,090,166 ------------ HEALTH CARE - 6.06% 23,400 Amsurg Corp. * .................................................. 501,696 23,200 Centene Corp. * ................................................. 463,536 19,200 Charles River Laboratories International, Inc. * ........................................... 648,000 65,900 CIGNA Corp. ..................................................... 1,587,531 27,700 Community Health Systems, Inc. * .......................................................... 699,425 40,200 Forest Laboratories, Inc. * ..................................... 1,009,422 85,000 Hologic, Inc. * ................................................. 1,209,550 47,870 Life Technologies Corp. * ....................................... 1,997,136 74,900 Mylan, Inc./PA * ................................................ 977,445 4,700 Orthofix International N.V. * ................................... 117,547 59,800 Universal American Corp./NY * ................................... 521,456 ------------ 9,732,744 ------------ INDUSTRIALS - 11.95% 72,400 ACCO Brands Corp. * ............................................. 204,168 13,000 Acuity Brands, Inc. ............................................. 364,650 38,900 Albany International Corp., Class A ......................................................... 442,682 47,025 Belden, Inc. .................................................... 785,318 44,600 Carlisle Cos., Inc. ............................................. 1,072,184 6,200 Copart, Inc. * .................................................. 214,954 24,300 Danaher Corp. ................................................... 1,500,282 15,400 Dun & Bradstreet Corp. .......................................... 1,250,634 6,340 ESCO Technologies, Inc. * ....................................... 284,032 3,600 Flowserve Corp. ................................................. 251,316 26,600 GATX Corp. ...................................................... 684,152 18,687 Genesee & Wyoming, Inc., Class A * ....................................................... 495,392 16,900 Graco, Inc. ..................................................... 372,138 28,100 ITT Corp. ....................................................... 1,250,450 13,300 Kirby Corp. * ................................................... 422,807 26,900 L-3 Communications Holdings, Inc. ............................................................ 1,866,322 28,000 Mueller Industries, Inc. ........................................ 582,400 19,200 Norfolk Southern Corp. .......................................... 723,264 54,700 Quanta Services, Inc. * ......................................... 1,265,211 34,500 Raytheon Co. .................................................... 1,532,835 51,300 Republic Services, Inc. ......................................... 1,252,233 10,300 Simpson Manufacturing Co., Inc. ............................................................ 222,686 56,700 Tyco International, Ltd. ........................................ 1,473,066 19,500 United Stationers, Inc. * ....................................... 680,160 ------------ 19,193,336 ------------ INFORMATION TECHNOLOGY - 9.03% 33,400 Affiliated Computer Services, Inc., Class A * ................................................. 1,483,628 64,700 Arrow Electronics, Inc. * ....................................... 1,374,228 178,400 Brocade Communications Systems, Inc. * ................................................. 1,395,088 25,500 Diebold, Inc. ................................................... 672,180 33,300 Electronics for Imaging, Inc. * ................................. 354,978 12,100 Fiserv, Inc. * .................................................. 552,970
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 48 ================================================================================ MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) -------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY (CONTINUED) 39,700 Kla-Tencor Corp. ................................................ $ 1,002,425 125,300 Maxim Integrated Products, Inc. ................................. 1,965,957 17,900 MAXIMUS, Inc. ................................................... 738,375 165,600 Micron Technology, Inc. * ....................................... 837,936 63,100 Sun Microsystems, Inc. * ........................................ 581,782 69,000 Synopsys, Inc. * ................................................ 1,346,190 20,300 Teradata Corp. * ................................................ 475,629 34,300 Websense, Inc. * ................................................ 611,912 91,300 Xerox Corp. ..................................................... 591,624 21,900 Zebra Technologies Corp., Class A * ....................................................... 518,154 ------------ 14,503,056 ------------ MATERIALS - 5.90% 17,400 Air Products & Chemicals, Inc. .................................. 1,123,866 14,700 Aptargroup, Inc. ................................................ 496,419 12,200 Deltic Timber Corp. ............................................. 432,734 28,700 Ecolab, Inc. .................................................... 1,119,013 38,020 EI Du Pont de Nemours & Co. ..................................... 974,073 9,827 FMC Corp. ....................................................... 464,817 24,565 Freeport-McMoRan Copper & Gold, Inc. ...................................................... 1,230,952 27,800 Nucor Corp. ..................................................... 1,235,154 71,100 Pactiv Corp. * .................................................. 1,542,870 28,300 Weyerhaeuser Co. ................................................ 861,169 ------------ 9,481,067 ------------ TELECOMMUNICATION SERVICES - 2.12% 65,100 Crown Castle International Corp. * ......................................................... 1,563,702 28,300 Embarq Corp. .................................................... 1,190,298 155,300 Qwest Communications International, Inc. ............................................. 644,495 ------------ 3,398,495 ------------ UTILITIES - 11.11% 24,600 Ameren Corp. .................................................... 612,294 13,800 Atmos Energy Corp. .............................................. 345,552 26,900 Consolidated Edison, Inc. ....................................... 1,006,598 59,800 Edison International ............................................ 1,881,308 8,500 New Jersey Resources Corp. ...................................... 314,840 31,600 NRG Energy, Inc. * .............................................. 820,336 46,700 NSTAR ........................................................... 1,499,537 32,100 Oneok, Inc. ..................................................... 946,629 57,900 Progress Energy, Inc. ........................................... 2,190,357 31,300 Questar Corp. ................................................... 972,178 47,800 Sempra Energy ................................................... 2,372,314 20,800 UGI Corp. ....................................................... 530,192 19,500 Unisource Energy Corp. .......................................... 517,530 26,000 Westar Energy, Inc. ............................................. 488,020 11,000 WGL Holdings, Inc. .............................................. 352,220 26,200 Wisconsin Energy Corp. .......................................... 1,066,602 104,300 Xcel Energy, Inc. ............................................... 1,920,163 ------------ 17,836,670 ------------ TOTAL COMMON STOCKS (Cost $167,856,335) ............................................. 154,529,349
Par Value --------- CERTIFICATE OF DEPOSIT - 1.07% -------------------------------------------------------------------------------------------------- $1,714,875 State Street Eurodollar 0.010%, due 07/01/09 ............................................ 1,714,875 ------------ TOTAL CERTIFICATE OF DEPOSIT (Cost $1,714,875) ............................................... 1,714,875 ------------
Shares ------ INVESTMENT COMPANIES - 4.73% -------------------------------------------------------------------------------------------------- 24,300 SPDR S&P Homebuilders ETF ....................................... 285,525 7,304,830 SSgA Prime Money Market Fund ............................................................ 7,304,830 ------------ TOTAL INVESTMENT COMPANIES (Cost $7,613,133) ............................................... 7,590,355 TOTAL INVESTMENTS - 102.01% -------------------------------------------------------------------------------------------------- (Cost $177,184,343**) ......................................................... 163,834,579 NET OTHER ASSETS AND LIABILITIES - (2.01)% -------------------------------------------------------------------------------------------------- (3,225,197) TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------------------------- $160,609,382
-------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $179,980,322. ETF Exchange Traded Fund. REIT Real Estate Investment Trust The industry classification method used for purposes of this report's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 49 ================================================================================ MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- [PIE CHART OF SECTOR ALLOCATION] SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2009 Information Technology 25% Industrials 19% Consumer Discretionary 18% Health Care 12% Energy 9% Financials 6% Materials 5% Consumer Staples 3% Cash & Other Net Assets 2% Telecommunication Services 1%
[END CHART] --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS - 98.32% -------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 17.97% 55,000 Aeropostale, Inc. * ............................................. $ 1,884,850 144,382 Buckle, Inc./The................................................. 4,587,016 100,800 Coach, Inc. ..................................................... 2,709,504 119,540 GameStop Corp., Class A * ....................................... 2,631,075 77,600 Guess?, Inc. .................................................... 2,000,528 68,195 Gymboree Corp. * ................................................ 2,419,559 29,400 ITT Educational Services, Inc. * ................................ 2,959,404 195,700 Nordstrom, Inc. ................................................. 3,892,473 5,100 NVR, Inc. * ..................................................... 2,562,189 70,100 O'Reilly Automotive, Inc. * ..................................... 2,669,408 18,300 priceline.com, Inc. * ........................................... 2,041,365 42,004 Steiner Leisure, Ltd. * ......................................... 1,282,382 117,779 True Religion Apparel, Inc. * ................................... 2,626,472 67,600 Yum! Brands, Inc. ............................................... 2,253,784 ------------ 36,520,009 ------------ CONSUMER STAPLES - 3.33% 105,800 BJ's Wholesale Club, Inc. * ..................................... 3,409,934 84,000 Herbalife, Ltd. ................................................. 2,649,360 54,600 SUPERVALU, Inc. ................................................. 707,070 ------------ 6,766,364 ------------ ENERGY - 9.48% 220,500 Atwood Oceanics, Inc. * ......................................... 5,492,655 59,000 Consol Energy, Inc. ............................................. 2,003,640 126,400 Noble Corp. ..................................................... 3,823,600 56,000 Noble Energy, Inc. .............................................. 3,302,320 48,900 Ultra Petroleum Corp. * ......................................... 1,907,100 78,100 Whiting Petroleum Corp. * ....................................... 2,745,996 ------------ 19,275,311 ------------ FINANCIALS - 6.45% 120,100 Aflac, Inc. ..................................................... 3,733,909 125,400 Ameriprise Financial, Inc. ...................................... 3,043,458 363,245 Assured Guaranty, Ltd. .......................................... 4,496,973 154,000 Hartford Financial Services Group, Inc. ..................................................... 1,827,980 ------------ 13,102,320 ------------ HEALTH CARE - 11.87% 55,500 Amedisys, Inc. * ................................................ 1,832,610 25,900 Beckman Coulter, Inc. ........................................... 1,479,926 64,500 Cephalon, Inc. * ................................................ 3,653,925 57,239 China Medical Technologies, Inc., ADR ....................................................... 1,139,629 33,200 Hospira, Inc. * ................................................. 1,278,864 121,600 Humana, Inc. * .................................................. 3,922,816 78,267 Life Technologies Corp. * ....................................... 3,265,299 107,900 Psychiatric Solutions, Inc. * ................................... 2,453,646 48,100 St. Jude Medical, Inc. * ........................................ 1,976,910 60,800 Waters Corp. * .................................................. 3,129,376 ------------ 24,133,001 ------------ INDUSTRIALS - 19.07% 117,000 BE Aerospace, Inc. * ............................................ 1,680,120 175,500 DynCorp International, Inc., Class A * ....................................................... 2,946,645 73,300 Flowserve Corp. ................................................. 5,117,073 38,200 Fluor Corp. ..................................................... 1,959,278 172,188 Herman Miller, Inc. ............................................. 2,641,364 102,649 HUB Group, Inc., Class A * ...................................... 2,118,675 38,400 Joy Global, Inc. ................................................ 1,371,648 57,000 Precision Castparts Corp. ....................................... 4,162,710 88,800 Robbins & Myers, Inc. ........................................... 1,709,400 80,200 Teledyne Technologies, Inc. * ................................... 2,626,550 136,400 Thomas & Betts Corp. * .......................................... 3,936,504 59,600 Valmont Industries, Inc. ........................................ 4,295,968 167,700 WESCO International, Inc. * ..................................... 4,199,208 ------------ 38,765,143 ------------
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 50 ================================================================================ MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) -------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY - 24.54% 162,900 Akamai Technologies, Inc. * ..................................... $ 3,124,422 172,400 Alliance Data Systems Corp. * ................................... 7,101,156 129,900 Amdocs, Ltd. * .................................................. 2,786,355 38,200 Amphenol Corp., Class A ......................................... 1,208,648 87,400 Atheros Communications, Inc. * .................................. 1,681,576 61,400 BMC Software, Inc. * ............................................ 2,074,706 54,500 Broadcom Corp., Class A * ....................................... 1,351,055 519,000 Brocade Communications Systems, Inc. * ................................................. 4,058,580 114,400 Cognizant Technology Solutions Corp., Class A* ................................................. 3,054,480 97,100 Juniper Networks, Inc. * ........................................ 2,291,560 60,600 Mantech International Corp. * ................................... 2,608,224 197,600 Maxim Integrated Products, Inc. ................................. 3,100,344 156,700 NetApp, Inc. * .................................................. 3,090,124 230,600 Perot Systems Corp., Class A * .................................. 3,304,498 153,600 Polycom, Inc. * ................................................. 3,113,472 104,000 VeriSign, Inc. * ................................................ 1,921,920 244,600 Western Union Co./The ........................................... 4,011,440 ------------ 49,882,560 ------------ MATERIALS - 4.95% 106,200 Cliffs Natural Resources, Inc. .................................. 2,598,714 229,406 Pactiv Corp. * .................................................. 4,978,110 168,800 Steel Dynamics, Inc. ............................................ 2,486,424 ------------ 10,063,248 ------------ TELECOMMUNICATION SERVICES - 0.66% 100,900 MetroPCS Communications, Inc. * .......................................................... 1,342,979 ------------ TOTAL COMMON STOCKS (Cost $181,016,618) ............................................. 199,850,935 INVESTMENT COMPANY - 1.60% -------------------------------------------------------------------------------------------------- 3,248,172 SSgA Prime Money Market Fund ............................................................ 3,248,172 ------------ TOTAL INVESTMENT COMPANY (Cost $3,248,172) ............................................... 3,248,172 TOTAL INVESTMENTS - 99.22% -------------------------------------------------------------------------------------------------- (Cost $184,264,789**) ......................................................... 203,099,107 NET OTHER ASSETS AND LIABILITIES - 0.08% -------------------------------------------------------------------------------------------------- 172,397 TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------------------------- $203,271,504
-------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $207,818,432. ADR Amiercan Depositary Receipt. The industry classification method used for purposes of this report's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 51 ================================================================================ SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- [PIE CHART OF SECTOR ALLOCATION] SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2009 Financials 21% Industrials 20% Consumer Discretionary 17% Information Technology 9% Health Care 9% Utilities 6% Materials 5% Consumer Staples 5% Cash and Other Net Assets 4% Energy 4%
[END CHART] --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS - 96.24% -------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 16.70% 6,800 Arbitron, Inc. .................................................. $ 108,052 9,000 Cato Corp./The, Class A ......................................... 156,960 2,400 CEC Entertainment, Inc. * ....................................... 70,752 3,300 Choice Hotels International, Inc. ............................................................ 87,813 7,000 Helen of Troy, Ltd. * ........................................... 117,530 3,400 Hibbett Sports, Inc. * .......................................... 61,200 2,700 Matthews International Corp., Class A ......................................................... 84,024 7,900 Sonic Corp. * ................................................... 79,237 14,000 Stage Stores, Inc. .............................................. 155,400 3,200 Tempur-Pedic International, Inc. ............................................................ 41,824 3,000 Unifirst Corp./MA ............................................... 111,510 3,600 Valassis Communications, Inc. * .......................................................... 21,996 ------------ 1,096,298 ------------ CONSUMER STAPLES - 5.15% 2,800 Casey's General Stores, Inc. .................................... 71,932 4,700 Herbalife, Ltd. ................................................. 148,238 5,100 Lance, Inc. ..................................................... 117,963 ------------ 338,133 ------------ ENERGY - 3.96% 5,100 Penn Virginia Corp. ............................................. 83,487 900 SEACOR Holdings, Inc. * ......................................... 67,716 1,500 St. Mary Land& Exploration Co. .................................. 31,305 2,200 Whiting Petroleum Corp. * ..... 77,352 ------------ 259,860 ------------ FINANCIALS - 21.22% 4,646 Acadia Realty Trust, REIT ....................................... 60,630 200 Alleghany Corp. * ............................................... 54,200 3,100 American Campus Communities, Inc., REIT ...................................................... 68,758 11,833 Ares Capital Corp. .............................................. 95,374 5,100 Assured Guaranty, Ltd. .......................................... 63,138 2,600 Credit Acceptance Corp. * ....................................... 56,810 7,400 Delphi Financial Group, Inc., Class A ................................................... 143,782 5,100 DiamondRock Hospitality Co., REIT ............................................................ 31,926 2,600 Financial Federal Corp. ......................................... 53,430 7,000 First Midwest Bancorp, Inc./IL ......................................................... 51,170 5,690 International Bancshares Corp. .................................. 58,664 2,800 IPC Holdings, Ltd. .............................................. 76,552 1,800 Mack-Cali Realty Corp., REIT ............................................................ 41,040 4,700 MB Financial, Inc. .............................................. 47,893 3,600 NewAlliance Bancshares, Inc. .................................... 41,400 3,800 Platinum Underwriters Holdings, Ltd. .................................................. 108,642 900 PS Business Parks, Inc., REIT ................................... 43,596 4,900 Realty Income Corp., REIT........................................ 107,408 1,600 Reinsurance Group of America, Inc. ................................................... 55,856 9,700 Webster Financial Corp. ......................................... 78,085 1,100 Westamerica Bancorporation ...................................... 54,571 ------------ 1,392,925 ------------ HEALTH CARE - 8.63% 4,100 Amsurg Corp. * .................................................. 87,904 4,400 Centene Corp. * ................................................. 87,912 3,800 Charles River Laboratories International, Inc. * ........................................... 128,250 2,500 Corvel Corp. * .................................................. 56,925 2,400 ICU Medical, Inc. * ............................................. 98,760
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 52 ================================================================================ SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) -------------------------------------------------------------------------------------------------- HEALTH CARE (CONTINUED) 900 Orthofix International N.V. * ................................... $ 22,509 9,700 Universal American Corp./NY * ................................... 84,584 ------------ 566,844 ------------ INDUSTRIALS - 20.62% 13,700 ACCO Brands Corp. * ............................................. 38,634 2,600 Acuity Brands, Inc. ............................................. 72,930 7,300 Albany International Corp., Class A ......................................................... 83,074 9,200 Belden, Inc. .................................................... 153,640 7,399 Bowne & Co., Inc. ............................................... 48,167 9,200 Carlisle Cos., Inc. ............................................. 221,168 1,000 Copart, Inc. * .................................................. 34,670 1,200 ESCO Technologies, Inc. * ....................................... 53,760 4,700 GATX Corp. ...................................................... 120,884 3,400 Genesee & Wyoming, Inc., Class A * ....................................................... 90,134 2,500 Kirby Corp. * ................................................... 79,475 5,300 Mueller Industries, Inc. ........................................ 110,240 1,900 Simpson Manufacturing Co., Inc. ....................................................... 41,078 2,900 Sterling Construction Co., Inc. * ............................... 44,254 3,700 United Stationers, Inc. * ....................................... 129,056 3,300 Vitran Corp., Inc. * ............................................ 32,670 ------------ 1,353,834 ------------ INFORMATION TECHNOLOGY - 9.35% 4,500 Diebold, Inc. ................................................... 118,620 7,100 Electronics for Imaging, Inc. * ................................ 75,686 3,400 MAXIMUS, Inc. ................................................... 140,250 6,500 NAM TAI Electronics, Inc. ....................................... 27,690 6,300 Websense, Inc. * ................................................ 112,392 10,800 Xyratex, Ltd. * ................................................. 53,892 3,600 Zebra Technologies Corp., Class A * ....................................................... 85,176 ------------ 613,706 ------------ MATERIALS - 4.64% 3,100 Aptargroup, Inc. ................................................ 104,687 2,300 Deltic Timber Corp. ............................................. 81,581 9,850 Zep, Inc. ....................................................... 118,693 ------------ 304,961 ------------ UTILITIES - 5.97% 3,300 Atmos Energy Corp. .............................................. 82,632 1,250 New Jersey Resources Corp. ...................................... 46,300 4,000 Unisource Energy Corp. .......................................... 106,160 4,600 Westar Energy, Inc. ............................................. 86,342 2,200 WGL Holdings, Inc. .............................................. 70,444 ------------ 391,878 ------------ TOTAL COMMON STOCKS (Cost $7,745,188) ............................................... 6,318,439 INVESTMENT COMPANY - 3.04% -------------------------------------------------------------------------------------------------- 199,367 SSgA Prime Money Market Fund ............................................................ 199,367 ------------ TOTAL INVESTMENT COMPANY (Cost $199,367) ................................................. 199,367 TOTAL INVESTMENTS - 99.28% -------------------------------------------------------------------------------------------------- (Cost $7,944,555**) ........................................................... 6,517,806 NET OTHER ASSETS AND LIABILITIES - 0.72% -------------------------------------------------------------------------------------------------- 47,401 TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------------------------- $6,565,207
-------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $8,025,278. REIT Real Estate Investment Trust. The industry classification method used for purposes of this report's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 53 ================================================================================ SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- [PIE CHART OF SECTOR ALLOCATION] SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2009 Information Technology 29% Industrials 23% Health Care 15% Consumer Discretionary 12% Financials 8% Energy 6% Consumer Staples 3% Materials 2% Cash and Other Net Assets 1% Telecommunication Services 1%
[END CHART] --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS - 99.04% -------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 11.89% 1,500 Aaron's, Inc. ................................................... $ 44,730 1,100 Carter's, Inc. * ................................................ 27,071 300 Chico's FAS, Inc. * ............................................. 2,919 1,100 CKE Restaurants, Inc. ........................................... 9,328 1,000 CROCS, Inc. * ................................................... 3,400 600 DineEquity, Inc. ................................................ 18,714 2,300 Drew Industries, Inc. * ......................................... 27,991 600 Gaylord Entertainment Co. * ..................................... 7,626 900 Gymboree Corp. * ................................................ 31,932 1,700 JOS A Bank Clothiers, Inc. * .................................... 58,582 600 Maidenform Brands, Inc. * ....................................... 6,882 2,300 Men's Wearhouse, Inc./The ...... ................................ 44,114 900 Meritage Homes Corp. * .......................................... 16,974 2,000 PF Chang's China Bistro, Inc. * ................................. 64,120 900 Pinnacle Entertainment, Inc. * .................................. 8,361 200 Red Robin Gourmet Burgers, Inc. * .......................................................... 3,750 3,300 Spartan Motors, Inc. ............................................ 37,389 1,000 Tempur-Pedic International, Inc. ............................................................ 13,070 1,600 WMS Industries, Inc. * .......................................... 50,416 100 Wolverine World Wide, Inc. ...................................... 2,206 900 Zumiez, Inc. * .................................................. 7,209 ------------ 486,784 ------------ CONSUMER STAPLES - 3.39% 200 Coca-Cola Bottling Co. Consolidated .................................................... 11,026 100 Green Mountain Coffee Roasters, Inc. * ................................................ 5,912 1,100 Ruddick Corp. ................................................... 25,773 2,600 United Natural Foods, Inc. * .................................... 68,250 2,200 Winn-Dixie Stores, Inc. * ....................................... 27,588 ------------ 138,549 ------------ ENERGY - 5.95% 1,000 Atwood Oceanics, Inc. * ......................................... 24,910 1,100 CARBO Ceramics, Inc. ............................................ 37,620 3,700 Carrizo Oil & Gas, Inc. * ....................................... 63,455 200 Dril-Quip, Inc. * ............................................... 7,620 400 GMX Resources, Inc. * ........................................... 4,256 2,400 Hercules Offshore, Inc. * ....................................... 9,528 700 Matrix Service Co. * ............................................ 8,036 1,500 Penn Virginia Corp. ............................................. 24,555 1,200 Petroleum Development Corp. * ................................... 18,828 2,600 RPC, Inc. ....................................................... 21,710 1,000 Stone Energy Corp. * ............................................ 7,420 1,200 Superior Well Services, Inc. * .................................. 7,140 200 World Fuel Services Corp. ....................................... 8,246 ------------ 243,324 ------------ FINANCIALS - 8.43% 1,400 eHealth, Inc. * ................................................. 24,724 800 GAMCO Investors, Inc., Class A .................................. 38,800 700 Hancock Holding Co. ............................................. 22,743 1,200 Highwoods Properties, Inc., REIT ............................................................ 26,844 1,400 KBW, Inc. * ..................................................... 40,264 1,800 Knight Capital Group, Inc., Class A* ........................................................ 30,690 3,600 Omega Healthcare Investors, Inc., REIT ...................................................... 55,872 1,100 Potlatch Corp., REIT ............................................ 26,719 900 Stifel Financial Corp. * ........................................ 43,281 11 Teton Advisors, Inc. (L)(T)* .................................... 1 1,100 Tower Group, Inc. ............................................... 27,258 400 World Acceptance Corp. * ........................................ 7,964 ------------ 345,160 ------------ HEALTH CARE - 15.30% 400 Acorda Therapeutics, Inc. * ..................................... 11,276 3,100 Alkermes, Inc. * ................................................ 33,542
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 54 ================================================================================ SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) -------------------------------------------------------------------------------------------------- HEALTH CARE (CONTINUED) 3,900 Allscripts-Misys Healthcare Solutions, Inc. ................................................. $ 61,854 300 AMAG Pharmaceuticals, Inc. * .................................... 16,401 3,600 American Medical Systems Holdings, Inc. * ................................................ 56,880 4,000 AMN Healthcare Services, Inc. * ................................. 25,520 400 Analogic Corp. .................................................. 14,780 7,300 Arena Pharmaceuticals, Inc. * ................................... 36,427 1,100 Centene Corp. * ................................................. 21,978 700 Cepheid, Inc. * ................................................. 6,594 200 Chemed Corp. .................................................... 7,896 1,900 Cubist Pharmaceuticals, Inc. * .................................. 34,827 2,000 Emeritus Corp. * ................................................ 26,420 2,200 ev3, Inc. * ..................................................... 23,584 500 Landauer, Inc. .................................................. 30,670 1,000 MAP Pharmaceuticals, Inc. * ..................................... 12,220 1,900 Medicines Co./The* .............................................. 15,941 300 Myriad Pharmaceuticals, Inc. * .................................. 1,395 500 National Healthcare Corp. ....................................... 18,970 1,500 PDL BioPharma, Inc. ............................................. 11,850 2,000 PSS World Medical, Inc. * ....................................... 37,020 1,300 Regeneron Pharmaceuticals, Inc. * .......................................................... 23,296 600 Theravance, Inc. * .............................................. 8,784 1,100 Valeant Pharmaceuticals International* .................................................. 28,292 1,500 Viropharma, Inc. * .............................................. 8,895 1,200 West Pharmaceutical Services, Inc. .................................................. 41,820 400 XenoPort, Inc. * ................................................ 9,268 ------------ 626,400 ------------ INDUSTRIALS - 22.92% 2,400 AAR Corp. * ..................................................... 38,520 1,700 Actuant Corp., Class A .......................................... 20,740 700 Advanced Battery Technologies, Inc. * ............................................ 2,814 400 Ameron International Corp. ...................................... 26,816 300 Beacon Roofing Supply, Inc. * ................................... 4,338 1,200 Bucyrus International, Inc. ..................................... 34,272 200 CLARCOR, Inc. ................................................... 5,838 500 Deluxe Corp. .................................................... 6,405 200 EMCOR Group, Inc. * ............................................. 4,024 7,900 EnergySolutions, Inc. ........................................... 72,680 500 EnerNOC, Inc. * ................................................. 10,835 300 Esterline Technologies Corp. * .................................. 8,121 1,000 Franklin Electric Co., Inc. ..................................... 25,920 2,500 GeoEye, Inc. * .................................................. 58,900 2,500 Heartland Express, Inc. ......................................... 36,800 800 Herman Miller, Inc. ............................................. 12,272 4,300 Hexcel Corp. * .................................................. 40,979 500 ICF International, Inc. * ....................................... 13,795 2,000 Korn/Ferry International* ....................................... 21,280 1,000 Layne Christensen Co. * ......................................... 20,450 200 Lindsay Corp. ................................................... 6,620 5,100 MasTec, Inc. * .................................................. 59,772 1,400 Mcgrath Rentcorp ................................................ 26,684 600 Middleby Corp. * ................................................ 26,352 1,200 Mine Safety Appliances Co. .................................... 28,920 1,200 Moog, Inc., Class A* ............................................ 30,972 4,100 MPS Group, Inc. * ............................................... 31,324 300 Multi-Color Corp. ............................................... 3,678 100 Navigant Consulting, Inc. * ..................................... 1,292 2,300 Old Dominion Freight Line, Inc. * .......................................................... 77,211 900 Orbital Sciences Corp. * ........................................ 13,653 700 RBC Bearings, Inc. * ............................................ 14,315 1,600 Resources Connection, Inc. * .................................... 27,472 700 Rollins, Inc. ................................................... 12,117 1,100 SYKES Enterprises, Inc. * ....................................... 19,899 700 Triumph Group, Inc. ............................................. 28,000 800 United Stationers, Inc. * ....................................... 27,904 500 Valmont Industries, Inc. ........................................ 36,040 ------------ 938,024 ------------ INFORMATION TECHNOLOGY - 28.61% 1,500 Adtran, Inc. .................................................... 32,205 2,900 Advanced Energy Industries, Inc. * .......................................................... 26,071 1,000 Advent Software, Inc. * ......................................... 32,790 1,100 Anixter International, Inc. * ................................... 41,349 1,100 ANSYS, Inc. * ................................................... 34,276 1,700 Bankrate, Inc. * ................................................ 42,908 4,600 Benchmark Electronics, Inc. * ................................... 66,240 200 CommScope, Inc. * ............................................... 5,252 100 Comtech Telecommunications Corp. * ......................................................... 3,188 2,000 Concur Technologies, Inc. * ..................................... 62,160 1,400 CSG Systems International, Inc. * .......................................................... 18,536 400 Cymer, Inc. * ................................................... 11,892 2,100 EPIQ Systems, Inc. * ............................................ 32,235 500 Equinix, Inc. * ................................................. 36,370 600 Factset Research Systems, Inc. ............................................................ 29,922 3,500 Harmonic, Inc. * ................................................ 20,615 3,400 IXYS Corp. ...................................................... 34,408 1,300 j2 Global Communications, Inc. * .......................................................... 29,328 1,600 Littelfuse, Inc. * .............................................. 31,936 2,900 Macrovision Solutions Corp. * ................................... 63,249 700 MAXIMUS, Inc. ................................................... 28,875 2,500 MKS Instruments, Inc. * ......................................... 32,975
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 55 ================================================================================ SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) -------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY (CONTINUED) 1,900 Netlogic Microsystems, Inc. * ................................... $ 69,274 1,600 Novatel Wireless, Inc. * ........................................ 14,432 300 NVE Corp. * ..................................................... 14,580 200 Omniture, Inc. * ................................................ 2,512 400 Plexus Corp. * .................................................. 8,184 1,800 Progress Software Corp. * ....................................... 38,106 1,100 Quest Software, Inc. * .......................................... 15,334 300 RightNow Technologies, Inc. * ................................... 3,540 1,800 Scansource, Inc. * .............................................. 44,136 1,300 Smith Micro Software, Inc. * .................................... 12,766 1,200 SPSS, Inc. * .................................................... 40,044 700 Synaptics, Inc. * ............................................... 27,055 500 THQ, Inc. * ..................................................... 3,580 500 TNS, Inc. * ..................................................... 9,375 2,400 Ultratech, Inc. * ............................................... 29,544 6,300 Valueclick, Inc. * .............................................. 66,276 1,300 Varian Semiconductor Equipment Associates, Inc. * .............................................. 31,187 600 VeriFone Holdings, Inc. * ....................................... 4,506 500 Viasat, Inc. * .................................................. 12,820 600 Wind River Systems, Inc. * ...................................... 6,876 ------------ 1,170,907 ------------ MATERIALS - 1.76% 1,600 Allied Nevada Gold Corp. * ...................................... 12,896 800 Deltic Timber Corp. ............................................. 28,376 200 Haynes International, Inc. * .................................... 4,740 1,100 LSB Industries, Inc. * .......................................... 17,787 200 WR Grace & Co. * ................................................ 2,474 600 Zoltek Cos., Inc. * ............................................. 5,832 ------------ 72,105 ------------ TELECOMMUNICATION SERVICES - 0.79% 3,000 Premiere Global Services, Inc. * .......................................................... 32,520 ------------ TOTAL COMMON STOCKS (Cost $3,932,255) ............................................... 4,053,773 INVESTMENT COMPANY - 1.01% -------------------------------------------------------------------------------------------------- 41,473 SSgA Prime Money Market Fund ............................................................. 41,473 ------------ TOTAL INVESTMENT COMPANY (Cost $41,473) ................................................... 41,473 TOTAL INVESTMENTS - 100.05% -------------------------------------------------------------------------------------------------- (Cost $3,973,728**) ........................................................... 4,095,246 NET OTHER ASSETS AND LIABILITIES - (0.05)% -------------------------------------------------------------------------------------------------- (2,027) TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------------------------- $4,093,219
-------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $3,977,005. (L) Security valued at fair value using methods determined in good faith by or at the discretion of the Board of Trustees (see Note 2). (T) Illiquid security. REIT Real Estate Investment Trust. The industry classification method used for purposes of this report's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 56 ================================================================================ GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- [PIE CHART OF GEOGRAPHICAL ALLOCATION] GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2009 United States 35% Europe (excluding United Kingdom) 24% United Kingdom 15% Japan 12% Pacific Basin 12% Cash and Other Net Assets 2%
[END CHART] --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS - 98.08% -------------------------------------------------------------------------------------------------- AUSTRALIA - 7.25% 84,089 Amcor, Ltd. ..................................................... $ 337,949 85,138 Foster's Group, Ltd. ............................................ 353,136 22,679 National Australia Bank, Ltd. ................................... 408,112 204,328 Telstra Corp., Ltd. ............................................. 557,878 22,809 Wesfarmers, Ltd. ................................................ 415,002 ------------ 2,072,077 ------------ BELGIUM - 0.42% 34,957 Fortis* ......................................................... 119,093 13,256 Fortis VVPR Strips * ............................................ 19 ------------ 119,112 ------------ FINLAND - 0.36% 11,988 UPM-Kymmene OYJ ................................................. 104,373 ------------ FRANCE - 8.98% 14,807 Carrefour S.A. .................................................. 633,021 20,315 France Telecom S.A. ............................................. 461,282 8,213 Societe Generale ................................................ 447,746 18,961 Total S.A. ...................................................... 1,026,346 ------------ 2,568,395 ------------ GERMANY - 3.21% 38,486 Deutsche Telekom AG ............................................. 454,573 5,867 RWE AG .......................................................... 462,886 ------------ 917,459 ------------ ITALY - 3.10% 81,212 Intesa Sanpaolo SpA * ........................................... 263,144 242,949 UniCredit SpA* .................................................. 622,050 ------------ 885,194 ------------ JAPAN - 11.56% 12,500 Astellas Pharma, Inc. ........................................... 441,115 15,000 Canon, Inc. ..................................................... 487,724 17,100 Nitto Denko Corp. ............................................... 517,644 21,300 Seven & I Holdings Co., Ltd. .................................... 499,230 14,200 Takeda Pharmaceutical Co., Ltd. ................................. 551,221 18,100 Tokio Marine Holdings, Inc. ..................................... 496,621 94 West Japan Railway Co. .......................................... 310,285 ------------ 3,303,840 ------------ NETHERLANDS - 2.01% 30,272 ING Groep N.V. .................................................. 304,389 24,407 Reed Elsevier N.V. .............................................. 269,005 ------------ 573,394 ------------ SINGAPORE - 2.99% 73,057 Oversea-Chinese Banking Corp., Ltd. ..................................................... 336,023 251,000 Singapore Telecommunications, Ltd. ............................................................ 518,054 ------------ 854,077 ------------ SPAIN - 3.89% 82,050 Iberdrola S.A. .................................................. 666,883 19,623 Telefonica S.A. ................................................. 444,682 ------------ 1,111,565 ------------ SWITZERLAND - 2.52% 17,756 Novartis AG ..................................................... 721,200 ------------ TAIWAN - 1.47% 44,824 Taiwan Semiconductor Manufacturing Co., Ltd., ADR .................................... 421,794 ------------ UNITED KINGDOM - 15.43% 36,044 Aviva PLC ....................................................... 203,645 118,774 BP PLC .......................................................... 939,705 67,613 GKN PLC ......................................................... 139,781 56,646 GlaxoSmithKline PLC ............................................. 997,329 32,866 Royal Dutch Shell PLC, A Shares .......................................................... 820,191 32,424 Unilever PLC .................................................... 760,717 285,015 Vodafone Group PLC .............................................. 550,826 ------------ 4,412,194 ------------
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 57 ================================================================================ GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) -------------------------------------------------------------------------------------------------- UNITED STATES - 34.89% 9,500 3M Co. .......................................................... $ 570,950 35,500 Alcoa, Inc. ..................................................... 366,715 17,500 AT&T, Inc. ...................................................... 434,700 41,350 Bank of America Corp. ........................................... 545,820 14,200 CBS Corp., Class B .............................................. 98,264 13,100 Chevron Corp. ................................................... 867,875 35,700 ConAgra Foods, Inc. ............................................. 680,442 621 Fairpoint Communications, Inc. .................................. 373 49,100 General Electric Co. ............................................ 575,452 7,700 General Mills, Inc. ............................................. 431,354 18,600 Genuine Parts Co. ............................................... 624,216 20,600 HJ Heinz Co. .................................................... 735,420 6,700 Johnson & Johnson ............................................... 380,560 20,500 Merck & Co., Inc./NJ ............................................ 573,180 36,900 Microsoft Corp. ................................................. 877,113 37,000 Pfizer, Inc. .................................................... 555,000 19,200 Verizon Communications, Inc. ....................... 590,016 8,740 Wells Fargo & Co. ............................................... 212,032 18,800 Wyeth ........................................................... 853,332 ------------ 9,972,814 ------------ TOTAL COMMON STOCKS (Cost $44,834,593) .............................................. 28,037,488 WARRANTS AND RIGHTS - 0.00% -------------------------------------------------------------------------------------------------- BELGIUM - 0.00% 34,957 Fortis Bank S.A./N.V. Exp. 07/01/14 (L)* .............................................. - ------------ TOTAL WARRANTS AND RIGHTS (Cost $0) ....................................................... - INVESTMENT COMPANY - 1.31% -------------------------------------------------------------------------------------------------- UNITED STATES - 1.31% 373,286 SSgA Prime Money Market Fund ..................................................... 373,286 ------------ TOTAL INVESTMENT COMPANY (Cost $373,286) ................................................. 373,286 TOTAL INVESTMENTS - 99.39%*** -------------------------------------------------------------------------------------------------- (Cost $45,207,879**) .......................................................... 28,410,774 NET OTHER ASSETS AND LIABILITIES - 0.61% -------------------------------------------------------------------------------------------------- 174,868 TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------------------------- $ 28,585,642
-------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $45,304,861. *** The aggregate amount of foreign securities fair valued pursuant to a systematic fair valuation model as a percent of net assets was 51.07%. (L) Security valued at fair value using methods determined in good faith by or at the discretion of the Board of Trustees (see Note 2). ADR American Depositary Receipt. PLC Public Limited Company. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 58 ================================================================================ GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- OTHER INFORMATION: Industry Concentration
% of Net Assets --------------- Pharmaceuticals 17.7% Oil, Gas & Consumable Fuels 12.8% Diversified Telecommunication Services 12.1% Food Products 9.1% Commercial Banks 8.4% Food & Staples Retailing 5.4% Industrial Conglomerates 4.0% Software 3.1% Diversified Financial Services 3.0% Insurance 2.5% Electric Utilities 2.3% Distributors 2.2% Wireless Telecommunication Services 1.9% Net Other Assets & Liabilities 1.9% Chemicals 1.8% Office Electronics 1.7% Multi-Utilities 1.6% Semiconductors & Semiconductor Equipment 1.5% Media 1.3% Metals & Mining 1.3% Beverages 1.2% Containers & Packaging 1.2% Road & Rail 1.1% Auto Components 0.5% Paper & Forest Products 0.4% ---------- 100.0% ==========
The industry classification method used for purposes of this report's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 59 ================================================================================ INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- [PIE CHART OF GEOGRAPHICAL ALLOCATION] GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2009 Europe (excluding United Kingdom) 41% United Kingdom 19% Japan 15% Pacific Basin 8% Other Countries 6% Cash & Other Net Assets 4% Latin America 4% Africa 3%
[END CHART] --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS - 95.63% -------------------------------------------------------------------------------------------------- ARGENTINA - 0.21% 5,870 Tenaris S.A., ADR................................................ $ 158,725 ----------- AUSTRALIA - 0.18% 27,728 ABC Learning Centres, Ltd. (L)* ................................. - 4,345 Cabcharge Australia, Ltd. ....................................... 18,003 39,362 Fairfax Media, Ltd. ............................................. 38,511 12,045 James Hardie Industries N.V. * .................................. 40,478 34,482 Macquarie Infrastructure Group................................... 39,582 ----------- 136,574 ----------- AUSTRIA - 0.06% 1,142 Andritz AG ...................................................... 48,034 ----------- BELGIUM - 1.58% 30,300 Anheuser-Busch InBev N.V. ....................................... 1,096,272 5,287 Arseus N.V. ..................................................... 48,403 928 EVS Broadcast Equipment S.A. .................................... 46,747 ----------- 1,191,422 ----------- BRAZIL - 2.18% 42,640 Banco do Brasil S.A. ............................................ 459,484 16,490 Cia de Concessoes Rodoviarias ................................... 263,689 19,100 Companhia Brasileira de Meios de Pagamento * .................... 163,742 3,870 Empresa Brasileira de Aeronautica S.A., ADR ..................... 64,087 31,100 JHSF Participacoes S.A. ......................................... 29,114 25,279 Redecard S.A. ................................................... 387,770 9,538 Souza Cruz S.A. ................................................. 270,878 ----------- 1,638,764 ----------- CANADA - 1.09% 30,800 TELUS Corp. ..................................................... 817,289 ----------- CYPRUS - 0.01% 5,001 Prosafe Production Public, Ltd. * ............................... 9,397 ----------- DENMARK - 0.82% 11,325 Novo Nordisk A/S, B Shares....................................... 615,172 ----------- EGYPT - 0.78% 12,431 Commercial International Bank.................................... 109,132 4,212 Eastern Tobacco ................................................. 86,439 4,127 Egyptian Co. for Mobile Services ................................ 143,198 7,140 Orascom Construction Industries.................................. 243,994 ----------- 582,763 ----------- FINLAND - 2.33% 1,646 Konecranes OYJ .................................................. 38,777 108,730 Nokia OYJ........................................................ 1,585,808 3,310 Sampo OYJ, A Shares.............................................. 62,416 1,940 Vacon PLC ....................................................... 64,461 ----------- 1,751,462 ----------- FRANCE - 9.87% 21,150 BNP Paribas...................................................... 1,371,419 15,000 Bouygues S.A. ................................................... 563,604 12,968 Danone .......................................................... 640,930 30,900 GDF Suez ........................................................ 1,153,654 766 Neopost S.A. .................................................... 68,737 27,312 Sanofi-Aventis S.A. ............................................. 1,603,261 1,076 Sechilienne-Sidec ............................................... 37,276 1 Societe Generale ................................................ 55 35,587 Total S.A. ...................................................... 1,926,301 737 Virbac S.A. ..................................................... 59,382 ----------- 7,424,619 ----------- GERMANY - 8.10% 13,400 Allianz SE ...................................................... 1,238,370 11,435 Compugroup Holding AG * ......................................... 96,352 2,063 CTS Eventim AG .................................................. 83,501 15,900 Daimler AG ...................................................... 574,682 9,400 Deutsche Bank AG ................................................ 571,671
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 60 ================================================================================ INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) -------------------------------------------------------------------------------------------------- GERMANY (CONTINUED) 39,300 E.ON AG ......................................................... $ 1,394,083 773 Fielmann AG ..................................................... 51,034 1,376 Gerresheimer AG ................................................. 30,565 5,970 Merck KGaA ...................................................... 608,274 590 Pfeiffer Vacuum Technology AG ................................... 43,261 19,219 Siemens AG ...................................................... 1,329,733 1,180 Wincor Nixdorf AG ............................................... 66,133 ----------- 6,087,659 ----------- GREECE - 0.95% 27,013 OPAP S.A. ....................................................... 716,979 ----------- HONG KONG - 0.92% 99,795 Esprit Holdings, Ltd. ........................................... 559,492 45,000 Huabao International Holdings, Ltd. ............................. 43,548 509,000 Shougang Concord International Enterprises Co., Ltd. ............ 84,952 ----------- 687,992 ----------- INDIA - 1.28% 2,200 Infosys Technologies, Ltd., ADR 80,916 2,016 Jindal Steel & Power, Ltd. ...................................... 105,342 23,645 Oil & Natural Gas Corp., Ltd. ................................... 525,787 17,881 Punjab National Bank, Ltd. ...................................... 253,443 ----------- 965,488 ----------- INDONESIA - 1.04% 14,000 Astra International Tbk PT ...................................... 32,580 817,500 Bank Mandiri Tbk PT ............................................. 252,061 12,690 Telekomunikasi Indonesia Tbk PT, ADR ............................ 380,446 123,000 United Tractors Tbk PT .......................................... 119,297 ----------- 784,384 ----------- IRELAND - 1.36% 38,602 CRH PLC ......................................................... 884,459 4,393 DCC PLC ......................................................... 90,537 10,027 Irish Life & Permanent PLC ...................................... 50,974 ----------- 1,025,970 ----------- ISLE OF MAN - 0.06% 22,207 Hansard Global PLC .............................................. 47,487 ----------- ISRAEL - 0.77% 72,603 Bank Hapoalim BM * .............................................. 191,390 800 Cellcom Israel, Ltd. ............................................ 21,256 11,882 Delek Automotive Systems, Ltd. 95,951 27,167 Israel Chemicals, Ltd. .......................................... 266,623 ----------- 575,220 ----------- ITALY - 2.80% 3,196 Ansaldo STS SpA ................................................. 58,912 28,900 Atlantia SpA .................................................... 584,527 59,520 ENI SpA ......................................................... 1,411,128 6,308 MARR SpA ........................................................ 48,765 ----------- 2,103,332 ----------- JAPAN - 15.35% 4,570 Amano Corp. ..................................................... 44,588 4,110 Asahi Holdings, Inc. * .......................................... 73,410 37,100 Canon, Inc. ..................................................... 1,206,303 27,010 Daito Trust Construction Co., Ltd. .............................. 1,266,594 2,840 Don Quijote Co., Ltd. ........................................... 54,320 7,500 Fanuc, Ltd. ..................................................... 597,840 880 Hisamitsu Pharmaceutical Co., Inc. .............................. 27,308 35,600 HOYA Corp. ...................................................... 712,097 78 INPEX Corp. ..................................................... 620,678 1,630 Jafco Co., Ltd. ................................................. 54,294 319 Japan Tobacco, Inc. ............................................. 993,329 3,100 JSR Corp. ....................................................... 52,776 157 KDDI Corp. ...................................................... 831,556 3,400 Keyence Corp. ................................................... 691,251 2,720 Konami Corp. .................................................... 52,022 17,000 Kurita Water Industries, Ltd. ................................... 547,125 4,000 Megane TOP Co., Ltd. ............................................ 61,226 3,050 MISUMI Group, Inc. .............................................. 42,875 42,600 Mitsubishi Corp. ................................................ 781,586 56,000 Mitsubishi Estate Co., Ltd. ..................................... 926,779 1,900 Nomura Research Institute, Ltd. ................................. 42,108 3,660 Ohara, Inc. ..................................................... 51,498 3,070 Roland DG Corp. ................................................. 41,388 680 Sankyo Co., Ltd. ................................................ 36,316 22,000 Secom Co., Ltd. ................................................. 891,491 4,200 Shinko Plantech Co., Ltd. ....................................... 33,093 7,050 Suruga Bank, Ltd. ............................................... 67,131 1,940 Sysmex Corp. .................................................... 70,414 2,760 T Hasegawa Co., Ltd. ............................................ 33,006 8,350 T&D Holdings, Inc. .............................................. 237,859 10,100 Tokio Marine Holdings, Inc. ..................................... 277,120 1,100 Unicharm Petcare Corp. .......................................... 32,805 1,620 Union Tool Co. .................................................. 42,233 960 USS Co., Ltd. ................................................... 49,208 ----------- 11,543,627 ----------- MALAYSIA - 0.23% 5,890 British American Tobacco Malaysia Bhd............................ 74,987 103,830 PLUS Expressways Bhd ............................................ 94,414 ----------- 169,401 ----------- MEXICO - 1.45% 7,700 America Movil SAB de C.V., Series L, ADR ........................ 298,144 6,450 Desarrolladora Homex SAB de C.V., ADR* .......................... 179,891
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 61 ================================================================================ INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) -------------------------------------------------------------------------------------------------- MEXICO (CONTINUED) 8,610 Fomento Economico Mexicano SAB de C.V., ADR ................................................ $ 277,586 14,870 Grupo Televisa S.A., ADR......................................... 252,790 22,270 Kimberly-Clark de Mexico SAB de C.V., Class A ................... 84,963 ----------- 1,093,374 ----------- NETHERLANDS - 1.30% 2,700 ASM International N.V. *......................................... 39,732 1,902 Fugro N.V. ...................................................... 78,932 1,467 Ten Cate N.V. ................................................... 35,509 42,405 TNT N.V. ........................................................ 825,443 ----------- 979,616 ----------- NORWAY - 0.20% 4,920 Kongsberg Gruppen AS ............................................ 60,362 6,470 ODIM ASA ........................................................ 42,611 4,490 TGS Nopec Geophysical Co. ASA * ................................. 44,487 ----------- 147,460 ----------- PHILIPPINES - 0.54% 8,230 Philippine Long Distance Telephone Co., ADR...................... 409,196 ----------- RUSSIA - 1.60% 10,350 Lukoil OAO, ADR ................................................. 462,420 10,750 Mobile Telesystems OJSC, ADR .................................... 396,998 4,238 Oriflame Cosmetics S.A., SDR..................................... 183,896 150,668 TNK-BP Holding .................................................. 157,448 ----------- 1,200,762 ----------- SINGAPORE - 1.68% 46,490 Ezra Holdings, Ltd. *............................................ 37,086 595,300 Singapore Telecommunications, Ltd. .............................. 1,228,676 ----------- 1,265,762 ----------- SOUTH AFRICA - 2.43% 12,658 Kumba Iron Ore, Ltd. ............................................ 295,912 13,532 Massmart Holdings, Ltd. ......................................... 140,265 43,201 Murray & Roberts Holdings, Ltd. ................................. 280,319 24,321 Nedbank Group, Ltd. ............................................. 307,998 45,784 Pretoria Portland Cement Co., Ltd. .............................. 171,605 141,937 Sanlam, Ltd. .................................................... 316,780 5,580 Tiger Brands, Ltd. .............................................. 103,853 44,018 Truworths International, Ltd. 210,354 ----------- 1,827,086 ----------- SOUTH KOREA - 1.90% 196 Amorepacific Corp. .............................................. 105,081 1,375 Hite Brewery Co., Ltd. .......................................... 169,128 1,440 KT&G Corp. ...................................................... 81,385 1,516 NHN Corp. *...................................................... 209,473 854 S1 Corp./Korea................................................... 36,263 940 Samsung Electronics Co., Ltd., GDR (C)........................... 219,255 14,695 Shinhan Financial Group Co., Ltd. * ............................. 369,116 9,730 Woongjin Coway Co., Ltd. ........................................ 236,104 ----------- 1,425,805 ----------- SPAIN - 1.27% 73,125 Banco Santander S.A. ............................................ 881,936 3,431 Indra Sistemas S.A. ............................................. 74,198 ----------- 956,134 ----------- SWEDEN - 1.37% 8,066 Duni AB ......................................................... 39,121 6,390 Elekta AB, B Shares ............................................. 93,688 3,093 Getinge AB, B Shares............................................. 40,404 3,280 Indutrade AB .................................................... 42,634 3,890 Loomis AB, Class B .............................................. 38,681 79,680 Telefonaktiebolaget LM Ericsson, B Shares ....................... 777,642 ----------- 1,032,170 ----------- SWITZERLAND - 8.42% 334 Acino Holding AG ................................................ 61,926 2,180 Bank Sarasin & Cie AG, Series B * ............................... 67,796 365 Burckhardt Compression Holding AG ............................... 47,185 32,500 Credit Suisse Group AG .......................................... 1,483,185 30,950 Nestle S.A. ..................................................... 1,167,766 20,997 Novartis AG ..................................................... 852,840 7,950 Roche Holding AG ................................................ 1,080,384 1,838 Swissquote Group Holding S.A. ................................... 88,303 1,030 Tecan Group AG .................................................. 40,280 40,500 UBS AG * ........................................................ 495,234 5,360 Zurich Financial Services AG .................................... 948,511 ----------- 6,333,410 ----------- TAIWAN - 0.95% 205,946 Advanced Semiconductor Engineering, Inc. ........................ 120,501 66,678 HON HAI Precision Industry Co., Ltd. ............................ 205,247 17,000 HTC Corp. ....................................................... 239,044 88,643 Taiwan Semiconductor Manufacturing Co., Ltd. .................... 147,248 ----------- 712,040 ----------- THAILAND - 0.40% 14,170 Banpu PCL........................................................ 139,709 76,900 Kasikornbank PCL................................................. 162,130 ----------- 301,839 -----------
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 62 ================================================================================ INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) -------------------------------------------------------------------------------------------------- TURKEY - 1.17% 56,952 Akbank TAS ...................................................... $ 253,151 3,532 Ford Otomotiv Sanayi AS ......................................... 13,695 41,642 Turkcell Iletisim Hizmet AS ..................................... 230,705 130,721 Turkiye Is Bankasi, Series C .................................... 382,513 ----------- 880,064 ----------- UNITED KINGDOM - 18.98% 192,073 BAE Systems PLC ................................................. 1,071,962 205,800 Barclays PLC .................................................... 958,012 36,200 BG Group PLC .................................................... 608,119 170,375 BP PLC .......................................................... 1,347,958 21,330 British American Tobacco PLC .................................... 589,142 185,800 BT Group PLC .................................................... 310,991 11,400 Cairn Energy PLC* ............................................... 440,331 4,410 Charter International PLC ....................................... 31,522 2,255 Chemring Group PLC .............................................. 80,491 7,023 Dignity PLC ..................................................... 69,544 31,448 Hampson Industries PLC .......................................... 35,176 19,343 Healthcare Locums PLC ........................................... 60,771 166,400 HSBC Holdings PLC................................................ 1,375,399 14,452 IG Group Holdings PLC............................................ 66,621 44,334 Imperial Tobacco Group PLC ...................................... 1,152,884 76,700 Informa PLC ..................................................... 275,983 4,307 Intertek Group PLC .............................................. 74,248 53,112 National Grid PLC ............................................... 478,933 165,800 Prudential PLC .................................................. 1,127,715 128,000 QinetiQ Group PLC ............................................... 302,833 14,270 Reckitt Benckiser Group PLC ..................................... 650,223 46,399 Sepura, Ltd. .................................................... 33,772 145,500 Tesco PLC........................................................ 847,909 51,800 Unilever PLC .................................................... 1,215,308 550,562 Vodafone Group PLC .............................................. 1,064,027 ----------- 14,269,874 ----------- TOTAL COMMON STOCKS (Cost $78,258,255) .............................................. 71,916,352 PREFERRED STOCKS - 0.70% -------------------------------------------------------------------------------- BRAZIL - 0.65% 12,510 AES Tiete S.A. .................................................. 129,842 5,100 Eletropaulo Metropolitana Eletricidade de Sao Paulo S.A., B Shares ........................................................ 90,116 900 Fertilizantes Fosfatados S.A. ................................... 6,846 10,570 Klabin S.A. ..................................................... 16,079 15,230 Suzano Papel e Celulose S.A., Class A ........................... 117,470 5,000 Usinas Siderurgicas de Minas Gerais S.A., A Shares .............. 105,851 1,416 Vale S.A., Class A .............................................. 21,505 ----------- 487,709 ----------- GERMANY - 0.05% 700 Fuchs Petrolub AG................................................ 37,931 ----------- TOTAL PREFERRED STOCKS (Cost $520,232).................................................. 525,640 INVESTMENT COMPANY - 3.17% -------------------------------------------------------------------------------- UNITED STATES - 3.17% 2,380,670 SSgA Prime Money Market Fund ............................................................ 2,380,670 ----------- TOTAL INVESTMENT COMPANY (Cost $2,380,670) ............................................... 2,380,670 TOTAL INVESTMENTS - 99.50%*** -------------------------------------------------------------------------------- (Cost $81,159,157**) .......................................................... 74,822,662 NET OTHER ASSETS AND LIABILITIES - 0.50% -------------------------------------------------------------------------------- 378,484 TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------- $75,201,146
-------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $83,282,237. *** The aggregate amount of foreign securities fair valued pursuant to a systematic fair valuation model as a percent of net assets was 66.91%. (C) Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "qualified institutional investors." The securities have been determined to be liquid under guidelines established by the Board of Trustees. (L) Security valued at fair value using methods determined in good faith by or at the discretion of the Board of Trustees (see Note 2). ADR American Depositary Receipt. GDR Global Depositary Receipt. PLC Public Limited Company. SDR Swedish Depositary Receipt. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 63 ================================================================================ INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- OTHER INFORMATION: Industry Concentration
% of Net Assets --------------- Oil, Gas & Consumable Fuels 10.2% Commercial Banks 10.1% Pharmaceuticals 6.5% Insurance 5.7% Diversified Telecommunication Services 4.4% Tobacco 4.3% Food Products 4.2% Wireless Telecommunication Services 3.8% Net Other Assets & Liabilities 3.7% Communications Equipment 3.2% Electrical Equipment 3.0% Real Estate Management & Development 3.0% Capital Markets 2.9% Electric Utilities 2.8% Commercial Services & Supplies 2.7% Electronic Equipment & Instruments 2.5% Beverages 2.1% Distributors 1.8% Aerospace & Defense 1.7% Office Electronics 1.7% Gas Utilities 1.5% Construction Materials 1.5% Food & Staples Retailing 1.4% Machinery 1.4% Air Freight & Logistics 1.1% Metals & Mining 1.1% Industrial Conglomerates 1.1% Household Products 1.0% Hotels, Restaurants & Leisure 1.0% IT Services 1.0% Automobiles 0.8% Media 0.7% Construction & Engineering 0.7% Diversified Financial Services 0.7% Transportation Infrastructure 0.6% Chemicals 0.5% Specialty Retail 0.5% Computers & Peripherals 0.5% Personal Products 0.4% Semiconductors & Semiconductor Equipment 0.4% Health Care Equipment & Supplies 0.4% Textiles, Apparel & Luxury Goods 0.3% Software 0.2% Household Durables 0.2% Paper & Forest Products 0.2% Energy Equipment & Services 0.2% Leisure Equipment & Products 0.1% Health Care Providers & Services 0.1% Multiline Retail 0.1% Multi-Utilities* 0.0% Marine* 0.0% --------------- 100.0% ===============
*Rounds to 0.0% The industry classification method used for purposes of this report's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 64 ================================================================================ TARGET RETIREMENT 2020 FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- [PIE CHART OF PORTFOLIO ALLOCATION] PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2009 Stock Funds 54% Bond Funds 23% Foreign Stock Funds 20% Alternative Asset Classes 2% Money Market Funds and Other Net Assets 1%
[END CHART] PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE AS OF JUNE 30, 2009 MEMBERS Large Cap Growth Fund, Class Y 12% MEMBERS High Income Fund, Class Y 10% MEMBERS International Stock Fund, Class Y 9% Laudus International MarketMasters Fund 8% MEMBERS Large Cap Value Fund, Class Y 8% Manning & Napier Equity Series Fund 6% MEMBERS Bond Fund, Class Y 6% CRM Mid Cap Value Fund 6% Neuberger Berman Partners Fund, Institutional Class 5% Victory Special Value Fund, Class I 5% Gateway Fund, Class Y 5% Dodge & Cox Income Fund 4% Royce Value Fund, Institutional Class 4% MEMBERS Small Cap Value Fund, Class Y 3% Oppenheimer International Bond Fund, Class Y 3% Principal International Emerging Markets Fund, Institutional Class 3% PIMCO CommodityRealReturn Strategy Fund, Institutional Class 2% SSgA Prime Money Market Fund 1%
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Shares Value (Note 2) ------ -------------- INVESTMENT COMPANIES - 100.04% -------------------------------------------------------------------------------------------------- ALTERNATIVE ASSET CLASS FUNDS - 1.93% 34,785 PIMCO Commodity RealReturn Strategy Fund, Institutional Class ........................................................... $ 248,361 ------------ BOND FUNDS - 22.71% 39,811 Dodge & Cox Income Fund ......................................... 490,872 81,398 MEMBERS Bond Fund, Class Y (R) ..................................................... 806,653 200,269 MEMBERS High Income Fund, Class Y (R) ..................................................... 1,233,655 65,932 Oppenheimer International Bond Fund, Class Y .............................................. 398,892 ------------ 2,930,072 ------------ STOCK FUNDS - 54.39% 34,583 CRM Mid Cap Value Fund, Institutional Class ............................................. 709,304 25,360 Gateway Fund, Class Y ........................................... 600,274 58,035 Manning & Napier Equity Series Fund ..................................................... 808,424 132,182 MEMBERS Large Cap Growth Fund, Class Y (R) ............................................... 1,586,180 107,067 MEMBERS Large Cap Value Fund, Class Y (R) ............................................... 1,011,782 61,429 MEMBERS Small Cap Value Fund, Class Y (R) ............................................... 427,548 37,258 Neuberger Berman Partners Fund, Institutional Class........................................ 695,979 60,450 Royce Value Fund, Institutional Class * ........................................... 488,432 63,310 Victory Special Value Fund, Class I ......................................................... 689,447 ------------ 7,017,370 ------------ FOREIGN STOCK FUNDS - 20.27% 85,251 Laudus International Market Masters Fund .................................................... 1,078,419 135,931 MEMBERS International Stock Fund, Class Y (R) ......................................... 1,170,367 21,179 Principal International Emerging Markets Fund, Institutional Class ............................................. 366,185 ------------ 2,614,971 ------------
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 65 ================================================================================ TARGET RETIREMENT 2020 FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- INVESTMENT COMPANIES (CONTINUED) -------------------------------------------------------------------------------------------------- MONEY MARKET FUNDS - 0.74% 95,928 SSgA Prime Money Market Fund............................................................. $ 95,928 ------------ TOTAL INVESTMENT COMPANIES - 100.04% (Cost $13,537,124**) ............................................ 12,906,702 NET OTHER ASSETS AND LIABILITIES - (0.04)% -------------------------------------------------------------------------------------------------- (4,606) TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------------------------- $ 12,902,096
-------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $14,595,853. (R) Affiliated Company (see Note 10). See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 66 ================================================================================ TARGET RETIREMENT 2030 FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- [PIE CHART OF PORTFOLIO ALLOCATION] PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2009 Stock Funds 59% Foreign Stock Funds 25% Bond Funds 13% Alternative Asset Classes 2% Money Market Funds and Other Net Assets 1%
[END CHART] PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE AS OF JUNE 30, 2009 MEMBERS Large Cap Growth Fund, Class Y 12% MEMBERS International Stock Fund, Class Y 11% Laudus International MarketMasters Fund 10% MEMBERS High Income Fund, Class Y 9% MEMBERS Large Cap Value Fund, Class Y 7% Victory Special Value Fund, Class I 7% CRM Mid Cap Value Fund 7% Neuberger Berman Partners Fund, Institutional Class 6% Manning & Napier Equity Series Fund 6% Gateway Fund, Class Y 6% MEMBERS Bond Fund, Class Y 4% Royce Value Fund, Institutional Class 4% Principal International Emerging Markets Fund, Institutional Class 4% MEMBERS Small Cap Value Fund, Class Y 4% PIMCO CommodityRealReturn Strategy Fund, Institutional Class 2% SSgA Prime Money Market Fund 1%
--------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- INVESTMENT COMPANIES - 100.04% -------------------------------------------------------------------------------------------------- ALTERNATIVE ASSET CLASS FUNDS - 1.92% 34,396 PIMCO Commodity RealReturn Strategy Fund, Institutional Class .............................. $ 245,585 BOND FUNDS - 13.02% 56,913 MEMBERS Bond Fund, Class Y (R) ..................................................... 564,008 178,522 MEMBERS High Income Fund, Class Y (R) ..................................................... 1,099,697 ----------- 1,663,705 ----------- STOCK FUNDS - 59.43% 42,912 CRM Mid Cap Value Fund, Institutional Class ............................................. 880,121 29,007 Gateway Fund, Class Y ........................................... 686,603 55,908 Manning & Napier Equity Series Fund ..................................................... 778,805 130,869 MEMBERS Large Cap Growth Fund, Class Y (R) ............................................... 1,570,431 98,582 MEMBERS Large Cap Value Fund, Class Y (R) ............................................... 931,599 70,806 MEMBERS Small Cap Value Fund, Class Y (R) ............................................... 492,810 43,447 Neuberger Berman Partners Fund, Institutional Class........................................ 811,599 68,165 Royce Value Fund, Institutional Class * ......................................................... 550,770 81,930 Victory Special Value Fund, Class I ......................................................... 892,219 ----------- 7,594,957 ----------- FOREIGN STOCK FUNDS - 24.93% 100,576 Laudus International Market Masters Fund .................................................... 1,272,285 163,649 MEMBERS International Stock Fund, Class Y (R) ......................................... 1,409,021 29,218 Principal International Emerging Markets Fund, Institutional Class ........................................................... 505,179 ----------- 3,186,485 ----------- MONEY MARKET FUNDS - 0.74% 93,953 SSgA Prime Money Market Fund............................................................. 93,953 ----------- TOTAL INVESTMENT COMPANIES - 100.04% (Cost $13,791,336**) ............................................ 12,784,685
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 67 ================================================================================ TARGET RETIREMENT 2030 FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) --------------------------------------------------------------------------------
Value (Note 2) -------------- NET OTHER ASSETS AND LIABILITIES - (0.04)% -------------------------------------------------------------------------------------------------- $ (4,580) TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------------------------- $12,780,105
-------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $14,240,910. (R) Affiliated Company (see Note 10). See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 68 ================================================================================ TARGET RETIREMENT 2040 FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) -------------------------------------------------------------------------------- [PIE CHART OF PORTFOLIO ALLOCATION] PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2009 Stock Funds 65% Foreign Stock Funds 28% Bond Funds 4% Alternative Asset Classes 2% Money Market Funds and Other Net Assets 1%
[END CHART] PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE AS OF JUNE 30, 2009 MEMBERS Large Cap Growth Fund, Class Y 12% Laudus International MarketMasters Fund 12% MEMBERS International Stock Fund, Class Y 11% Victory Special Value Fund, Class I 9% CRM Mid Cap Value Fund 9% MEMBERS Large Cap Value Fund, Class Y 7% Neuberger Berman Partners Fund, Institutional Class 7% Manning & Napier Equity Series Fund 7% Gateway Fund, Class Y 5% Principal International Emerging Markets Fund, Institutional Class 5% Royce Value Fund, Institutional Class 5% MEMBERS Small Cap Value Fund, Class Y 4% MEMBERS Bond Fund, Class Y 4% PIMCO CommodityRealReturn Strategy Fund, Institutional Class 2% SSgA Prime Money Market Fund 1%
--------------------------------------------------------------------------------
Shares Value (Note 2) ------ -------------- INVESTMENT COMPANIES - 100.04% -------------------------------------------------------------------------------------------------- ALTERNATIVE ASSET CLASS FUNDS - 1.91% 28,936 PIMCO Commodity RealReturn Strategy Fund, Institutional Class ........................................................... $ 206,603 ----------- BOND FUNDS - 3.97% 43,329 MEMBERS Bond Fund, Class Y (R) ..................................................... 429,390 ----------- STOCK FUNDS - 65.35% 46,698 CRM Mid Cap Value Fund, Institutional Class ............................................. 957,785 24,741 Gateway Fund, Class Y ........................................... 585,629 51,356 Manning & Napier Equity Series Fund ..................................................... 715,385 110,775 MEMBERS Large Cap Growth Fund, Class Y (R) ............................................... 1,329,297 83,124 MEMBERS Large Cap Value Fund, Class Y (R) ............................................... 785,523 67,515 MEMBERS Small Cap Value Fund, Class Y (R) ............................................... 469,901 39,677 Neuberger Berman Partners Fund, Institutional Class........................................ 741,157 64,880 Royce Value Fund, Institutional Class * ......................................................... 524,233 89,141 Victory Special Value Fund, Class I ......................................................... 970,742 ----------- 7,079,652 ----------- FOREIGN STOCK FUNDS - 28.08% 98,572 Laudus International Market Masters Fund .................................................... 1,246,935 144,054 MEMBERS International Stock Fund, Class Y (R) ............................................... 1,240,301 32,078 Principal International Emerging Markets Fund, Institutional Class ............................................. 554,630 ----------- 3,041,866 ----------- MONEY MARKET FUNDS - 0.73% 79,244 SSgA Prime Money Market Fund............................................................. 79,244 ----------- TOTAL INVESTMENT COMPANIES - 100.04% (Cost $11,425,257**) ............................................ 10,836,755 NET OTHER ASSETS AND LIABILITIES - (0.04)% -------------------------------------------------------------------------------------------------- $ (3,883) TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------------------------- $10,832,872
* Non-income producing. ** Aggregate cost for Federal tax purposes was $11,911,920. (R) Affiliated Company (see Note 10). See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 69 ================================================================================ STATEMENTS OF ASSETS AND LIABILITIES AS OF JUNE 30, 2009 (UNAUDITED) --------------------------------------------------------------------------------
CONSERVATIVE MODERATE AGGRESSIVE ALLOCATION ALLOCATION ALLOCATION FUND FUND FUND ========================================================================================================================== ASSETS: Investments in securities, at cost Unaffiliated issuers $ 48,153,661 $ 93,962,416 $ 34,603,917 Affiliated issuers(1) 107,637,523 239,162,357 78,580,932 Net unrealized appreciation (depreciation) Unaffiliated issuers (796,167) (9,744,792) (6,701,830) Affiliated issuers(1) (9,411,572) (40,374,254) (15,676,150) ----------------------------------------------------- Total investments at value 145,583,445 283,005,727 90,806,869 Cash 100 200 59 Receivables: Investments sold - - 12,039 Fund shares sold 285,432 202,423 1,014 Dividends and interest 31 58 33 Due from Advisor, net - - - ----------------------------------------------------- Total Assets 145,869,008 283,208,408 90,820,014 ----------------------------------------------------- LIABILITIES: Payables: Investments purchased 216,143 202,287 - Fund shares repurchased 69,289 136 13,053 Accrued management fees 35,703 69,674 22,450 Distribution fees - Class II(2) 304 489 10 Accrued expenses and other payables 5,275 10,453 3,148 ----------------------------------------------------- Total Liabilities 326,714 283,039 38,661 ----------------------------------------------------- NET ASSETS $145,542,294 $282,925,369 $ 90,781,353 ===================================================== NET ASSETS CONSIST OF: Paid-in capital $166,745,451 $373,646,586 $126,942,842 Accumulated undistributed (distribution in excess of) net investment income 695,799 822,244 96,057 Accumulated net realized loss on investments sold and foreign currency related transactions (11,691,217) (41,424,415) (13,879,566) Unrealized appreciation (depreciation) of investments (including appreciation (depreciation) of foreign currency related transactions) (10,207,739) (50,119,046) (22,377,980) ----------------------------------------------------- NET ASSETS $145,542,294 $282,925,369 $ 90,781,353 ===================================================== CLASS I SHARES: Net Assets 143,606,941 280,354,573 90,706,736 Shares of beneficial interest outstanding 16,261,394 35,500,271 12,842,318 NET ASSET VALUE and redemption price per share $ 8.83 $ 7.90 $ 7.06 ===================================================== CLASS II SHARES(2): Net Assets 1,935,353 2,570,796 74,617 Shares of beneficial interest outstanding 219,232 325,658 10,568 NET ASSET VALUE and redemption price per share $ 8.83 $ 7.89 $ 7.06 =====================================================
------------------------------------------------------- (1) See Note 10 for information on affiliated issuers. (2) Class II shares commenced investment operations on May 1, 2009. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 70 ================================================================================ --------------------------------------------------------------------------------
MONEY MARKET HIGH INCOME DIVERSIFIED LARGE CAP LARGE CAP FUND BOND FUND FUND INCOME FUND VALUE FUND GROWTH FUND =================================================================================================================== $115,755,486 $526,999,936 $101,275,805 $419,394,335 $ 646,560,280 $ 378,959,894 - - - - - - - (2,769,010) (3,588,224) (22,098,338) (83,325,905) 21,460,648 - - - - - - ------------------------------------------------------------------------------------------------------------------- 115,755,486 524,230,926 97,687,581 397,295,997 563,234,375 400,420,542 112 455 78 324 433 288 - 2,924,109 - 1,585,652 30,067,770 5,418,659 188 280,368 34,442 - 291,779 162,286 226,900 4,704,262 1,974,940 2,867,959 792,163 297,189 20,388 - - - - - ------------------------------------------------------------------------------------------------------------------- 116,003,074 532,140,120 99,697,041 401,749,932 594,386,520 406,298,964 ------------------------------------------------------------------------------------------------------------------- - - 480,626 - 28,993,853 10,498,546 112,183 12,977 112 37,965 25,048 4,140 43,959 239,626 61,217 230,196 280,950 263,268 - 219 33 177 69 121 5,504 22,841 3,967 16,508 22,311 15,012 ------------------------------------------------------------------------------------------------------------------- 161,646 275,663 545,955 284,846 29,322,231 10,781,087 ------------------------------------------------------------------------------------------------------------------- $115,841,428 $531,864,457 $ 99,151,086 $401,465,086 $ 565,064,289 $ 395,517,877 =================================================================================================================== $115,841,428 $543,785,233 $118,766,256 $476,363,393 $ 771,652,220 $ 489,817,360 - 3,928,272 1,258,370 3,103,358 2,084,225 596,480 - (13,080,038) (17,285,316) (55,903,327) (125,346,251) (116,356,611) - (2,769,010) (3,588,224) (22,098,338) (83,325,905) 21,460,648 ------------------------------------------------------------------------------------------------------------------- $115,841,428 $531,864,457 $ 99,151,086 $401,465,086 $ 565,064,289 $ 395,517,877 =================================================================================================================== 115,840,378 530,254,248 98,906,847 400,257,212 564,538,096 394,597,492 115,840,378 52,825,543 11,834,494 28,177,453 30,461,024 23,781,610 $ 1.00 $ 10.04 $ 8.36 $ 14.20 $ 18.53 $ 16.59 =================================================================================================================== 1,050 1,610,209 244,239 1,207,874 526,193 920,385 1,050 160,475 29,235 85,066 28,403 55,491 $ 1.00 $ 10.03 $ 8.35 $ 14.20 $ 18.53 $ 16.59 ===================================================================================================================
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 71 ================================================================================ STATEMENTS OF ASSETS AND LIABILITIES AS OF JUNE 30, 2009 (UNAUDITED) --------------------------------------------------------------------------------
MID CAP MID CAP SMALL CAP VALUE FUND GROWTH FUND VALUE FUND ========================================================================================================================= ASSETS: Investments in securities, at cost Unaffiliated issuers $177,184,343 $ 184,264,789 $ 7,944,555 Affiliated issuers(1) - - - Net unrealized appreciation (depreciation) Unaffiliated issuers (13,349,764) 18,834,318 (1,426,749) Affiliated issuers(1) - - - ---------------------------------------------------- Total investments at value 163,834,579 203,099,107 6,517,806 Cash 119 138 5 Foreign currency(2) Receivables: Investments sold 19,990,418 1,268,618 23,215 Fund shares sold 95,691 159,798 23,757 Dividends and interest 314,823 59,329 6,732 Other assets 1,176 - - ---------------------------------------------------- Total Assets 184,236,806 204,586,990 6,571,515 ---------------------------------------------------- LIABILITIES: Payables: Investments purchased 23,474,258 1,152,764 - Fund shares repurchased 14,072 9,371 65 Accrued management fees 132,871 145,963 5,990 Distribution fees - Class II(3) 60 37 16 Accrued expenses and other payables 6,163 7,351 237 ---------------------------------------------------- Total Liabilities 23,627,424 1,315,486 6,308 ---------------------------------------------------- NET ASSETS $160,609,382 $ 203,271,504 $ 6,565,207 ==================================================== NET ASSETS CONSIST OF: Paid-in capital $246,894,297 $ 314,015,647 $ 8,956,552 Accumulated undistributed (distribution in excess of) net investment income 483,233 (128,683) 13,718 Accumulated net realized loss on investments sold and foreign currency related transactions (73,418,384) (129,449,778) (978,314) Unrealized appreciation (depreciation) of investments (including appreciation (depreciation) of foreign currency related transactions) (13,349,764) 18,834,318 (1,426,749) ---------------------------------------------------- NET ASSETS $160,609,382 $ 203,271,504 $ 6,565,207 ==================================================== CLASS I SHARES: Net Assets 160,153,975 202,986,888 6,435,618 Shares of beneficial interest outstanding 16,322,587 55,592,137 965,106 NET ASSET VALUE and redemption price per share $ 9.81 $ 3.65 $ 6.67 ==================================================== CLASS II SHARES(3): Net Assets 455,407 284,616 129,589 Shares of beneficial interest outstanding 46,432 77,976 19,441 NET ASSET VALUE and redemption price per share $ 9.81 $ 3.65 $ 6.67 ====================================================
------------------------------------------------------- (1) See Note 10 for information on affiliated issuers. (2) Cost of Foreign Currency of $48,043 and $207,764 for the Global Securities and International Stock Funds, respectively. (3) Class II shares commenced investment operations on May 1, 2009. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 72 ================================================================================ --------------------------------------------------------------------------------
GLOBAL TARGET TARGET TARGET SMALL CAP SECURITIES INTERNATIONAL RETIREMENT RETIREMENT RETIREMENT GROWTH FUND FUND STOCK FUND 2020 FUND 2030 FUND 2040 FUND ================================================================================================================== $ 3,973,728 $ 45,207,879 $81,159,157 $ 7,073,136 $ 7,465,750 $ 7,046,726 - - - 6,463,988 6,325,586 4,378,531 121,518 (16,797,105) (6,336,495) (402,619) (748,631) (464,383) - - - (227,803) (258,020) (124,119) ------------------------------------------------------------------------------------------------------------------ 4,095,246 28,410,774 74,822,662 12,906,702 12,784,685 10,836,755 893 21 54 8 8 6 47,779 212,048 - 166,538 105,376 - - - 78 34,560 63,920 16,714 11,435 8,232 958 55,529 224,831 4 5 6 - 11,703 138,635 - - - ------------------------------------------------------------------------------------------------------------------ 4,097,175 28,726,904 75,567,526 12,923,428 12,796,133 10,844,999 ------------------------------------------------------------------------------------------------------------------ - 117,613 250,287 16,713 11,435 8,232 51 - 37,810 - - - 3,750 22,541 75,200 4,193 4,180 3,547 - 19 81 - - - 155 1,089 3,002 426 413 348 ------------------------------------------------------------------------------------------------------------------ 3,956 141,262 366,380 21,332 16,028 12,127 ------------------------------------------------------------------------------------------------------------------ $ 4,093,219 $ 28,585,642 $ 75,201,146 $12,902,096 $12,780,105 $10,832,872 ================================================================================================================== $ 7,234,174 $ 51,827,811 $104,130,853 $15,521,704 $15,285,899 $12,944,306 (2,156) 495,295 1,091,597 29,062 17,357 3,065 (3,260,317) (6,942,393) (23,696,549) (2,018,248) (1,516,500) (1,525,997) 121,518 (16,795,071) (6,324,755) (630,422) (1,006,651) (588,502) ------------------------------------------------------------------------------------------------------------------ $ 4,093,219 $ 28,585,642 $ 75,201,146 $12,902,096 $12,780,105 $10,832,872 ================================================================================================================== 4,089,307 28,425,669 74,575,989 12,901,045 12,779,051 10,831,814 723,973 4,923,988 9,260,999 1,966,142 2,037,594 1,829,058 $ 5.65 $ 5.77 $ 8.05 $ 6.56 $ 6.27 $ 5.92 ================================================================================================================== 3,912 159,973 625,157 1,051 1,054 1,058 693 27,722 77,661 160 168 179 $ 5.65 $ 5.77 $ 8.05 $ 6.56 $ 6.27 $ 5.92 ==================================================================================================================
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 73 ================================================================================ STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2009 (UNAUDITED) --------------------------------------------------------------------------------
CONSERVATIVE MODERATE AGGRESSIVE ALLOCATION ALLOCATION ALLOCATION FUND FUND FUND ========================================================================================================================== INVESTMENT INCOME: Interest $ 226 $ 283 $ 284 Dividends Unaffiliated issuers 764,864 949,555 110,268 Affiliated issuers(1) 1,255,831 1,676,986 226,311 Less: Foreign taxes withheld - - - ----------------------------------------------------- Total investment income 2,020,921 2,626,824 336,863 ----------------------------------------------------- EXPENSES: Management fees 188,522 374,079 112,169 Trustees' fees 2,561 5,081 1,524 Audit fees 5,189 10,305 3,082 Distribution fees - Class II(2) 377 579 13 Compliance expense 2,933 5,844 1,727 ----------------------------------------------------- Total expenses before waiver 199,582 395,888 118,515 Less waiver - - - ----------------------------------------------------- Total expenses net of waiver 199,582 395,888 118,515 ----------------------------------------------------- NET INVESTMENT INCOME 1,821,339 2,230,936 218,348 ----------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized loss on investments (including net realized gain (loss) on foreign currency related transactions) Unaffiliated issuers (5,961,936) (7,253,363) (203,389) Affiliated issuers(1) (819,359) (2,464,737) (552,819) Capital gain distributions received from underlying funds Unaffiliated issuers 31,077 35,830 - Net change in unrealized appreciation (depreciation) on investments (including net unrealized appreciation (depreciation) on foreign currency related transactions) 12,213,928 22,935,228 7,306,084 ----------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 5,463,710 13,252,958 6,549,876 ----------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 7,285,049 $15,483,894 $6,768,224 =====================================================
------------------------------------------------------- (1) See Note 10 for information on affiliated issuers. (2) Class II shares commenced investment operations on May 1, 2009. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 74 ================================================================================ --------------------------------------------------------------------------------
MONEY MARKET HIGH INCOME DIVERSIFIED LARGE CAP LARGE CAP FUND BOND FUND FUND INCOME FUND VALUE FUND GROWTH FUND =================================================================================================================== $231,070 $14,130,827 $ 4,144,603 $ 7,086,629 $ 14,236 $ 28,078 - - - 3,526,699 9,656,039 2,946,437 - - - - - - - - - - - (335) ------------------------------------------------------------------------------------------------------------------- 231,070 14,130,827 4,144,603 10,613,328 9,670,275 2,974,180 ------------------------------------------------------------------------------------------------------------------- 299,684 1,513,555 356,829 1,387,082 1,601,794 1,433,448 2,714 11,214 1,939 8,075 10,879 7,302 5,552 23,386 3,944 16,442 22,118 14,821 2 278 39 237 81 158 3,271 13,325 2,270 9,490 12,662 8,425 ------------------------------------------------------------------------------------------------------------------- 311,223 1,561,758 365,021 1,421,326 1,647,534 1,464,154 (85,562) - - - - - ------------------------------------------------------------------------------------------------------------------- 225,661 1,561,758 365,021 1,421,326 1,647,534 1,464,154 ------------------------------------------------------------------------------------------------------------------- 5,409 12,569,069 3,779,582 9,192,002 8,022,741 1,510,026 ------------------------------------------------------------------------------------------------------------------- - (6,797,752) (3,301,404) (38,284,220) (26,023,766) (28,306,106) - - - - - - - - - - - - - 8,408,425 14,513,195 26,619,814 (5,226,529) 77,108,397 ------------------------------------------------------------------------------------------------------------------- - 1,610,673 11,211,791 (11,664,406) (31,250,295) 48,802,291 ------------------------------------------------------------------------------------------------------------------- $ 5,409 $14,179,742 $14,991,373 $ (2,472,404) $(23,227,554) $ 50,312,317 ===================================================================================================================
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 75 ================================================================================ STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2009 (UNAUDITED) --------------------------------------------------------------------------------
MID CAP MID CAP SMALL CAP VALUE FUND GROWTH FUND VALUE FUND ======================================================================================================================== INVESTMENT INCOME: Interest $ 13,653 $ 15,122 $ 666 Dividends Unaffiliated issuers 1,896,534 613,098 60,652 Affiliated issuers(2) - - - Less: Foreign taxes withheld - (314) - --------------------------------------------------- Total investment income 1,910,187 627,906 61,318 --------------------------------------------------- EXPENSES: Management fees 736,009 741,741 31,239 Trustees' fees 2,999 3,556 116 Audit fees 6,091 7,204 234 Distribution fees - Class II(3) 79 48 19 Compliance expense 3,469 4,040 134 --------------------------------------------------- Total expenses 748,647 756,589 31,742 --------------------------------------------------- NET INVESTMENT INCOME (LOSS) 1,161,540 (128,683) 29,576 --------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized loss on investments (including net realized gain (loss) on foreign currency related transactions) Unaffiliated issuers (30,791,285) (62,010,189) (547,954) Affiliated issuers(2) - - - Capital gain distributions received from underlying funds Unaffiliated issuers - - - Net change in unrealized appreciation (depreciation) on investments (including net unrealized appreciation (depreciation) on foreign currency related transactions)(1) 34,620,518 97,040,043 693,149 --------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 3,829,233 35,029,854 145,195 --------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 4,990,773 $ 34,901,171 $ 174,771 ===================================================
------------------------------------------------- (1) Net of deferred foreign capital gains taxes of $1,827 for the International Stock Fund. (2) See Note 10 for information on affiliated issuers. (3) Class II shares commenced investment operations on May 1, 2009. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 76 ================================================================================ --------------------------------------------------------------------------------
GLOBAL TARGET TARGET TARGET SMALL CAP SECURITIES INTERNATIONAL RETIREMENT RETIREMENT RETIREMENT GROWTH FUND FUND STOCK FUND 2020 FUND 2030 FUND 2040 FUND ============================================================================================================ $ 224 $ 930 $ 7,331 $ 27 $ 32 $ 42 18,609 658,137 1,825,066 39,607 20,179 15,060 - - - 51,526 40,972 5,868 - (37,976) (188,152) - - - ------------------------------------------------------------------------------------------------------------ 18,833 621,091 1,644,245 91,160 61,183 20,970 ------------------------------------------------------------------------------------------------------------ 20,664 123,554 400,641 20,213 19,631 16,347 77 530 1,361 206 200 167 155 1,076 2,760 416 403 336 1 23 107 - 1 - 92 613 1,565 233 226 183 ------------------------------------------------------------------------------------------------------------ 20,989 125,796 406,434 21,068 20,461 17,033 ------------------------------------------------------------------------------------------------------------ (2,156) 495,295 1,237,811 70,092 40,722 3,937 ------------------------------------------------------------------------------------------------------------ (933,722) (6,028,727) (9,611,699) (181,945) (120,002) (67,957) - - - (78,841) (32,756) (23,240) - - - 897 581 - 943,765 5,254,078 12,352,909 1,262,189 1,311,681 1,134,443 ------------------------------------------------------------------------------------------------------------ 10,043 (774,649) 2,741,210 1,002,300 1,159,504 1,043,246 ------------------------------------------------------------------------------------------------------------ $ 7,887 $ (279,354) $ 3,979,021 $1,072,392 $1,200,226 $1,047,183 ============================================================================================================
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 77 ================================================================================ STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
CONSERVATIVE MODERATE ALLOCATION FUND ALLOCATION FUND ================================ =============================== SIX MONTHS SIX MONTHS ENDED FOR THE ENDED FOR THE 6/30/09 YEAR ENDED 6/30/09 YEAR ENDED (UNAUDITED) 12/31/08 (UNAUDITED) 12/31/08 ================================================================================================================================ NET ASSETS AT BEGINNING OF PERIOD $116,678,068 $ 66,747,325 $243,761,079 $218,280,994 ------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income 1,821,339 3,618,523 2,230,936 5,594,298 Net realized gain (loss) (6,750,218) (4,664,913) (9,682,270) (31,179,507) Net change in unrealized appreciation (depreciation) 12,213,928 (20,937,322) 22,935,228 (68,550,378) ------------------------------------------------------------------------ Net increase (decrease) in net assets from operations 7,285,049 (21,983,712) 15,483,894 (94,135,587) ------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Class I (1,366,028) (3,634,290) (1,800,414) (5,366,853) Net realized gains Class I - (1,067,962) - (4,983,537) ------------------------------------------------------------------------ TOTAL DISTRIBUTIONS (1,366,028) (4,702,252) (1,800,414) (10,350,390) CAPITAL STOCK TRANSACTIONS: CLASS I SHARES Shares sold 25,194,603 84,012,864 29,262,603 129,854,947 Issued to shareholders in reinvestment of distributions 1,366,028 4,702,252 1,800,414 10,350,390 Shares redeemed (5,533,691) (12,098,409) (8,126,430) (10,239,275) ------------------------------------------------------------------------ Net increase (decrease) from capital stock transactions 21,026,940 76,616,707 22,936,587 129,966,062 ------------------------------------------------------------------------ CLASS II SHARES(1): Shares sold 2,085,628 - 3,816,712 - Issued to shareholders in reinvestment of distributions - - - - Shares redeemed (167,363) - (1,272,489) - ------------------------------------------------------------------------ Net increase from capital stock transactions 1,918,265 - 2,544,223 - ------------------------------------------------------------------------ TOTAL INCREASE (DECREASE) IN NET ASSETS 28,864,226 49,930,743 39,164,290 25,480,085 ------------------------------------------------------------------------ NET ASSETS AT END OF PERIOD $145,542,294 $116,678,068 $282,925,369 $243,761,079 ======================================================================== Undistributed (distributions in excess of) net investment income $ 695,799 $ 240,488 $ 822,244 $ 391,722 ======================================================================== CAPITAL SHARE TRANSACTIONS: CLASS I SHARES Shares sold 3,009,104 8,261,031 3,969,817 12,933,160 Issued to shareholders in reinvestment of distributions 160,675 531,666 238,573 1,184,768 Shares redeemed (669,972) (1,231,070) (1,148,203) (1,144,403) ------------------------------------------------------------------------ Net increase (decrease) from capital share transactions 2,499,807 7,561,627 3,060,187 12,973,525 ------------------------------------------------------------------------ CLASS II SHARES(1): Shares sold 238,420 - 485,210 - Issued to shareholders in reinvestment of distributions - - - - Shares redeemed (19,188) - (159,552) - ------------------------------------------------------------------------ Net increase from capital share transactions 219,232 - 325,658 - ========================================================================
------------------------------------------------------ (1) Class II shares commenced investment operations on May 1, 2009. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 78 ================================================================================ --------------------------------------------------------------------------------
AGGRESSIVE ALLOCATION FUND MONEY MARKET FUND BOND FUND =============================== =================================== ================================ SIX MONTHS SIX MONTHS SIX MONTHS ENDED FOR THE ENDED FOR THE ENDED FOR THE 6/30/09 YEAR ENDED 6/30/09 YEAR ENDED 6/30/09 YEAR ENDED (UNAUDITED) 12/31/08 (UNAUDITED) 12/31/08 (UNAUDITED) 12/31/08 ===================================================================================================================== $69,616,011 $ 68,119,997 $159,348,665 $111,332,534 $572,562,403 $646,233,453 -------------------------------------------------------------------------------------------------------------------- 218,348 737,299 5,409 2,016,801 12,569,069 29,819,947 (756,208) (12,776,327) - 19,466 (6,797,752) 772,456 7,306,084 (29,087,936) - - 8,408,425 (14,489,323) -------------------------------------------------------------------------------------------------------------------- 6,768,224 (41,126,964) 5,409 2,036,267 14,179,742 16,103,080 -------------------------------------------------------------------------------------------------------------------- (191,367) (668,223) (5,409) (2,036,267) (9,196,045) (29,315,915) - (2,705,263) - - - - -------------------------------------------------------------------------------------------------------------------- (191,367) (3,373,486) (5,409) (2,036,267) (9,196,045) (29,315,915) 15,920,326 47,294,376 12,819,647 108,119,221 21,412,583 38,082,556 191,367 3,373,486 5,409 2,036,267 9,196,045 29,315,915 (1,597,069) (4,671,398) (56,333,343) (62,139,357) (77,880,249) (127,856,686) -------------------------------------------------------------------------------------------------------------------- 14,514,624 45,996,464 (43,508,287) 48,016,131 (47,271,621) (60,458,215) -------------------------------------------------------------------------------------------------------------------- 73,876 - 80,036 - 1,601,348 - - - - - - - (15) - (78,986) - (11,370) - -------------------------------------------------------------------------------------------------------------------- 73,861 - 1,050 - 1,589,978 - -------------------------------------------------------------------------------------------------------------------- 21,165,342 1,496,014 (43,507,237) 48,016,131 (40,697,946) (73,671,050) -------------------------------------------------------------------------------------------------------------------- $90,781,353 $ 69,616,011 $115,841,428 $159,348,665 $531,864,457 $572,562,403 ==================================================================================================================== $ 96,057 $ 69,076 $ - $ - $ 3,928,272 $ 555,248 ==================================================================================================================== 2,487,948 4,898,248 12,819,647 108,119,221 2,151,422 3,694,547 28,682 353,586 5,409 2,036,267 932,697 2,939,189 (265,587) (527,898) (56,333,343) (62,139,357) (7,840,678) (12,480,000) -------------------------------------------------------------------------------------------------------------------- 2,251,043 4,723,936 (43,508,287) 48,016,131 (4,756,559) (5,846,264) -------------------------------------------------------------------------------------------------------------------- 10,570 - 80,036 - 161,616 - - - - - - - (2) - (78,986) - (1,141) - -------------------------------------------------------------------------------------------------------------------- 10,568 - 1,050 - 160,475 - ====================================================================================================================
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 79 ================================================================================ STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
HIGH INCOME FUND DIVERSIFIED INCOME FUND ================================ ================================ SIX MONTHS SIX MONTHS ENDED FOR THE ENDED FOR THE 6/30/09 YEAR ENDED 6/30/09 YEAR ENDED (UNAUDITED) 12/31/08 (UNAUDITED) 12/31/08 ============================================================================================================================== NET ASSETS AT BEGINNING OF PERIOD $90,728,399 $135,044,915 $438,046,968 $ 637,606,291 ------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income 3,779,582 8,590,695 9,192,002 23,476,423 Net realized loss (3,301,404) (11,911,310) (38,284,220) (17,051,142) Net change in unrealized appreciation (depreciation) 14,513,195 (14,023,592) 26,619,814 (82,034,000) ------------------------------------------------------------------------ Net increase (decrease) in net assets from operations 14,991,373 (17,344,207) (2,472,404) (75,608,719) ------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Class I (2,678,684) (9,037,895) (6,397,258) (23,213,706) Net realized gains Class I - - - (534,313) ------------------------------------------------------------------------ TOTAL DISTRIBUTIONS (2,678,684) (9,037,895) (6,397,258) (23,748,019) CAPITAL STOCK TRANSACTIONS: CLASS I SHARES Shares sold 3,100,257 3,099,561 5,104,673 5,937,046 Issued to shareholders in reinvestment of distributions 2,678,684 9,037,895 6,397,258 23,748,019 Shares redeemed (9,912,055) (30,071,870) (40,409,393) (129,887,650) ------------------------------------------------------------------------ Net decrease from capital stock transactions (4,133,114) (17,934,414) (28,907,462) (100,202,585) ------------------------------------------------------------------------ CLASS II SHARES(1): Shares sold 246,121 - 1,241,977 - Issued to shareholders in reinvestment of distributions - - - - Shares redeemed (3,009) - (46,735) - ------------------------------------------------------------------------ Net increase from capital stock transactions 243,112 - 1,195,242 - ------------------------------------------------------------------------ TOTAL INCREASE (DECREASE) IN NET ASSETS 8,422,687 (44,316,516) (36,581,882) (199,559,323) ------------------------------------------------------------------------ NET ASSETS AT END OF PERIOD $99,151,086 $ 90,728,399 $401,465,086 $ 438,046,968 ======================================================================== Undistributed (distributions in excess of) net investment income $ 1,258,370 $ 157,472 $ 3,103,358 $ 308,614 ======================================================================== CAPITAL SHARE TRANSACTIONS: CLASS I SHARES Shares sold 389,321 377,537 372,648 360,534 Issued to shareholders in reinvestment of distributions 333,480 1,219,447 470,133 1,641,275 Shares redeemed (1,250,147) (3,386,525) (2,958,518) (7,897,382) ------------------------------------------------------------------------ Net decrease from capital share transactions (527,346) (1,789,541) (2,115,737) (5,895,573) ------------------------------------------------------------------------ CLASS II SHARES(1): Shares sold 29,603 - 88,358 - Issued to shareholders in reinvestment of distributions - - - - Shares redeemed (368) - (3,292) - ------------------------------------------------------------------------ Net increase from capital share transactions 29,235 - 85,066 - ========================================================================
------------------------------------------------------ (1) Class II shares commenced investment operations on May 1, 2009. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 80 ================================================================================ --------------------------------------------------------------------------------
LARGE CAP VALUE FUND LARGE CAP GROWTH FUND MID CAP VALUE FUND ================================== =================================== ================================ SIX MONTHS SIX MONTHS SIX MONTHS ENDED FOR THE ENDED FOR THE ENDED FOR THE 6/30/09 YEAR ENDED 6/30/09 YEAR ENDED 6/30/09 YEAR ENDED (UNAUDITED) 12/31/08 (UNAUDITED) 12/31/08 (UNAUDITED) 12/31/08 ======================================================================================================================== $609,443,601 $1,229,433,349 $352,473,289 $ 665,239,561 $157,948,916 $ 317,338,350 ------------------------------------------------------------------------------------------------------------------------ 8,022,741 22,073,694 1,510,026 3,342,922 1,161,540 3,904,573 (26,023,766) (99,539,308) (28,306,106) (86,382,103) (30,791,285) (43,084,929) (5,226,529) (312,297,708) 77,108,397 (151,997,328) 34,620,518 (67,225,588) ------------------------------------------------------------------------------------------------------------------------ (23,227,554) (389,763,322) 50,312,317 (235,036,509) 4,990,773 (106,405,944) ------------------------------------------------------------------------------------------------------------------------ (6,300,982) (21,524,382) (943,450) (3,336,233) (690,475) (3,619,123) - (840,025) - (1,186,434) - (403,215) ------------------------------------------------------------------------------------------------------------------------ (6,300,982) (22,364,407) (943,450) (4,522,667) (690,475) (4,022,338) 12,934,717 15,895,797 12,422,492 47,534,033 7,545,380 10,959,054 6,300,982 22,364,407 943,450 4,522,667 690,475 4,022,338 (34,618,898) (246,122,223) (20,605,076) (125,263,796) (10,332,829) (63,942,544) ------------------------------------------------------------------------------------------------------------------------ (15,383,199) (207,862,019) (7,239,134) (73,207,096) (2,096,974) (48,961,152) ------------------------------------------------------------------------------------------------------------------------ 535,723 - 918,601 - 459,009 - - - - - - - (3,300) - (3,746) - (1,867) - ------------------------------------------------------------------------------------------------------------------------ 532,423 - 914,855 - 457,142 - ------------------------------------------------------------------------------------------------------------------------ (44,379,312) (619,989,748) 43,044,588 (312,766,272) 2,660,466 (159,389,434) ------------------------------------------------------------------------------------------------------------------------ $565,064,289 $ 609,443,601 $395,517,877 $ 352,473,289 $160,609,382 $ 157,948,916 ======================================================================================================================== $ 2,084,225 $ 362,466 $ 596,480 $ 29,904 $ 483,233 $ 12,168 ======================================================================================================================== 743,042 685,787 827,956 2,377,672 818,954 871,303 364,743 1,150,037 60,896 284,492 74,179 403,077 (2,036,527) (9,493,310) (1,418,315) (6,834,822) (1,172,662) (5,364,886) ------------------------------------------------------------------------------------------------------------------------ (928,742) (7,657,486) (529,463) (4,172,658) (279,529) (4,090,506) ------------------------------------------------------------------------------------------------------------------------ 28,585 - 55,716 - 46,622 - - - - - - - (182) - (225) - (190) - ------------------------------------------------------------------------------------------------------------------------ 28,403 - 55,491 - 46,432 - ========================================================================================================================
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 81 ================================================================================ STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
MID CAP GROWTH FUND SMALL CAP VALUE FUND ================================ ============================== SIX MONTHS SIX MONTHS ENDED FOR THE ENDED FOR THE 6/30/09 YEAR ENDED 6/30/09 YEAR ENDED (UNAUDITED) 12/31/08 (UNAUDITED) 12/31/08 ============================================================================================================================ NET ASSETS AT BEGINNING OF PERIOD $166,464,913 $ 367,318,262 $5,985,697 $ 5,623,660 ---------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss) (128,683) 247,666 29,576 63,947 Net realized loss (62,010,189) (62,918,236) (547,954) (391,085) Net change in unrealized appreciation (depreciation) 97,040,043 (97,671,167) 693,149 (1,521,635) ---------------------------------------------------------------------- Net increase (decrease) in net assets from operations 34,901,171 (160,341,737) 174,771 (1,848,773) ---------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Class I (5,837) (241,829) (15,858) (58,710) Net realized gains Class I - (3,840,199) - (1,246) ---------------------------------------------------------------------- TOTAL DISTRIBUTIONS (5,837) (4,082,028) (15,858) (59,956) CAPITAL STOCK TRANSACTIONS: CLASS I SHARES Shares sold 10,525,331 11,326,492 619,551 2,761,819 Issued to shareholders in reinvestment of distributions 5,837 4,082,028 15,858 59,956 Shares redeemed (8,908,465) (51,838,104) (345,229) (551,009) ---------------------------------------------------------------------- Net increase (decrease) from capital stock transactions 1,622,703 (36,429,584) 290,180 2,270,766 ---------------------------------------------------------------------- CLASS II SHARES(1): Shares sold 289,093 - 130,438 - Issued to shareholders in reinvestment - - - - of distributions Shares redeemed (539) - (21) - ---------------------------------------------------------------------- Net increase from capital stock transactions 288,554 - 130,417 - ---------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS 36,806,591 (200,853,349) 579,510 362,037 ---------------------------------------------------------------------- NET ASSETS AT END OF PERIOD $203,271,504 $ 166,464,913 $6,565,207 $ 5,985,697 ====================================================================== Undistributed (distributions in excess of) net investment income $ (128,683) $ 5,837 $ 13,718 $ - ====================================================================== CAPITAL SHARE TRANSACTIONS: CLASS I SHARES Shares sold 3,257,990 2,778,937 105,137 345,858 Issued to shareholders in reinvestment of distributions 1,753 780,262 2,521 9,415 Shares redeemed (2,916,495) (12,214,832) (59,838) (72,967) ---------------------------------------------------------------------- Net increase (decrease) from capital share transactions 343,248 (8,655,633) 47,820 282,306 ---------------------------------------------------------------------- CLASS II SHARES(1): Shares sold 78,124 - 19,444 - Issued to shareholders in reinvestment of distributions - - - - Shares redeemed (148) - (3) - ---------------------------------------------------------------------- Net increase from capital share transactions 77,976 - 19,441 - ======================================================================
------------------------------------------------------- (1) Class II shares commenced investment operations on May 1, 2009. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 82 ================================================================================ --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND GLOBAL SECURITIES FUND INTERNATIONAL STOCK FUND ================================ ================================ ================================== SIX MONTHS SIX MONTHS SIX MONTHS ENDED FOR THE ENDED FOR THE ENDED FOR THE 6/30/09 YEAR ENDED 6/30/09 YEAR ENDED 6/30/09 YEAR ENDED (unaudited) 12/31/08 (unaudited) 12/31/08 (unaudited) 12/31/08 ====================================================================================================================== $4,043,251 $ 6,033,896 $29,335,724 $ 56,034,069 $72,768,214 $164,151,307 ---------------------------------------------------------------------------------------------------------------------- (2,156) (8,859) 495,295 1,479,885 1,237,811 3,063,387 (933,722) (2,289,210) (6,028,727) (244,126) (9,611,699) (13,589,243) 943,765 (826,558) 5,254,078 (21,001,971) 12,352,909 (48,756,010) ---------------------------------------------------------------------------------------------------------------------- 7,887 (3,124,627) (279,354) (19,766,212) 3,979,021 (59,281,866) ---------------------------------------------------------------------------------------------------------------------- - (559) (48,913) (2,174,907) (83,748) (2,364,650) - (788) - (667,981) - (6,216,528) ---------------------------------------------------------------------------------------------------------------------- - (1,347) (48,913) (2,842,888) (83,748) (8,581,178) 295,424 1,984,927 940,192 1,729,364 2,920,946 5,064,766 - 1,347 48,913 2,842,888 83,748 8,581,178 (257,299) (850,945) (1,570,843) (8,661,497) (5,085,863) (37,165,993) ---------------------------------------------------------------------------------------------------------------------- 38,125 1,135,329 (581,738) (4,089,245) (2,081,169) (23,520,049) ---------------------------------------------------------------------------------------------------------------------- 3,956 - 159,947 - 621,558 - - - - - - - - - (24) - (2,730) - ---------------------------------------------------------------------------------------------------------------------- 3,956 - 159,923 - 618,828 - ---------------------------------------------------------------------------------------------------------------------- 49,968 (1,990,645) (750,082) (26,698,345) 2,432,932 (91,383,093) ---------------------------------------------------------------------------------------------------------------------- $4,093,219 $ 4,043,251 $28,585,642 $ 29,335,724 $75,201,146 $ 72,768,214 ====================================================================================================================== $ (2,156) $ - $ 495,295 $ 48,913 $ 1,091,597 $ (62,466) ====================================================================================================================== 55,116 237,028 181,704 216,936 408,358 495,769 - 145 9,556 440,417 11,998 846,956 (49,526) (125,383) (311,163) (1,056,000) (744,025) (4,010,459) ---------------------------------------------------------------------------------------------------------------------- 5,590 111,790 (119,903) (398,647) (323,669) (2,667,734) ---------------------------------------------------------------------------------------------------------------------- 693 - 27,726 - 78,001 - - - - - - - - - (4) - (340) - ---------------------------------------------------------------------------------------------------------------------- 693 - 27,722 - 77,661 - ======================================================================================================================
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 83 ================================================================================ STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
TARGET RETIREMENT 2020 FUND TARGET RETIREMENT 2030 FUND ================================ ============================== SIX MONTHS SIX MONTHS ENDED FOR THE ENDED FOR THE 6/30/09 YEAR ENDED 6/30/09 YEAR ENDED (unaudited) 12/31/08 (unaudited) 12/31/08 ============================================================================================================================ NET ASSETS AT BEGINNING OF PERIOD $ 8,718,521 $ 2,523,992 $ 8,010,286 $ 1,521,478 --------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income 70,092 176,516 40,722 138,548 Net realized loss (259,889) (1,718,359) (152,177) (1,334,542) Net change in unrealized appreciation (depreciation) 1,262,189 (1,774,347) 1,311,681 (2,227,775) --------------------------------------------------------------------- Net increase (decrease) in net assets from operations 1,072,392 (3,316,190) 1,200,226 (3,423,769) --------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Class I (52,451) (211,428) (57,357) (139,545) Net realized gains Class I - (35,204) - (25,438) --------------------------------------------------------------------- TOTAL DISTRIBUTIONS (52,451) (246,632) (57,357) (164,983) CAPITAL STOCK TRANSACTIONS: CLASS I SHARES Shares sold 3,532,278 11,494,999 3,778,386 10,553,873 Issued to shareholders in reinvestment of distributions 52,451 246,632 57,357 164,983 Shares redeemed (422,095) (1,984,280) (209,793) (641,296) --------------------------------------------------------------------- Net increase from capital stock transactions 3,162,634 9,757,351 3,625,950 10,077,560 --------------------------------------------------------------------- CLASS II SHARES(1): Shares sold 1,000 - 1,000 - Issued to shareholders in reinvestment of distributions - - - - Shares redeemed - - - - --------------------------------------------------------------------- Net increase from capital stock transactions 1,000 - 1,000 - --------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS 4,183,575 6,194,529 4,769,819 6,488,808 --------------------------------------------------------------------- NET ASSETS AT END OF PERIOD $12,902,096 $ 8,718,521 $12,780,105 $ 8,010,286 ===================================================================== Undistributed (distributions in excess of) net investment income $ 29,062 $ 11,421 $ 17,357 $ 33,992 ===================================================================== CAPITAL SHARE TRANSACTIONS: CLASS I SHARES Shares sold 588,436 1,407,757 671,850 1,287,487 Issued to shareholders in reinvestment of distributions 8,442 38,543 9,694 26,965 Shares redeemed (74,090) (265,109) (36,682) (81,180) --------------------------------------------------------------------- Net increase from capital share transactions 522,788 1,181,191 644,862 1,233,272 --------------------------------------------------------------------- CLASS II SHARES(1): Shares sold 160 - 168 - Issued to shareholders in reinvestment of distributions - - - - Shares redeemed - - - - --------------------------------------------------------------------- Net increase from capital share transactions 160 - 168 - =====================================================================
------------------------------------------------------- (1) Class II shares commenced investment operations on May 1, 2009. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 84 ================================================================================ --------------------------------------------------------------------------------
TARGET RETIREMENT 2040 FUND ============================== SIX MONTHS ENDED FOR THE 6/30/09 YEAR ENDED (unaudited) 12/31/08 ============================== $ 6,385,244 $ 1,192,945 ------------------------------ 3,937 86,355 (91,197) (1,413,390) 1,134,443 (1,630,888) ------------------------------ 1,047,183 (2,957,923) ------------------------------ (32,782) (80,259) - (24,465) ------------------------------ (32,782) (104,724) 3,526,992 8,734,729 32,782 104,724 (127,547) (584,507) ------------------------------ 3,432,227 8,254,946 ------------------------------ 1,000 - - - - - ------------------------------ 1,000 - ------------------------------ 4,447,628 5,192,299 ------------------------------ $10,832,872 $ 6,385,244 ============================== $ 3,065 $ 31,910 ============================== 672,792 1,117,010 5,891 17,272 (25,633) (84,076) ------------------------------ 653,050 1,050,206 ------------------------------ 179 - - - - - ------------------------------ 179 - ==============================
See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 85 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING --------------------------------------------------------------------------------
CONSERVATIVE ALLOCATION FUND ====================================================================== SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/09 ------------------------------- INCEPTION (unaudited) 2008 2007 to 12/31/06(1) ============================================================================================================================== CLASS I ------- NET ASSET VALUE at beginning of period $ 8.48 $ 10.77 $ 10.60 $10.00 ---------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(3) 0.12 0.35 0.45 0.23 Net realized and unrealized gain (loss) on investments 0.32 (2.27) (0.03) 0.51 ---------------------------------------------------------------------- Total from investment operations 0.44 (1.92) 0.42 0.74 ---------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.09) (0.27) (0.23) (0.14) Distributions from capital gains - (0.10) (0.02) - ---------------------------------------------------------------------- Total distributions (0.09) (0.37) (0.25) (0.14) ---------------------------------------------------------------------- Net increase (decrease) in net asset value 0.35 (2.29) 0.17 0.60 ---------------------------------------------------------------------- NET ASSET VALUE at end of period $ 8.83 $ 8.48 $ 10.77 $10.60 ====================================================================== TOTAL RETURN(4) 5.23%(5) (17.89)% 3.92% 7.34%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $143,607 $116,678 $66,747 $9,113 Ratio of expenses to average net assets Before management fee reduction 0.32%(6) 0.31% 0.31% 0.34%(6) After management fee reduction 0.32%(6) 0.28% 0.21% 0.24%(6) Ratio of net investment income to average net assets 2.89%(6) 3.53% 4.12% 4.25%(6) Portfolio Turnover 23%(5) 71% 28% 24%(5)
INCEPTION to 6/30/09(2) (unaudited) ==================================================================== CLASS II -------- NET ASSET VALUE at beginning of period $ 8.51 ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(3) 0.07 Net realized and unrealized gain (loss) on investments 0.25 ---------- Total from investment operations 0.32 ---------- Net increase (decrease) in net asset value 0.32 ---------- NET ASSET VALUE at end of period $ 8.83 ========== TOTAL RETURN(4) 3.69%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $1,935 Ratio of expenses to average net assets 0.58%(6) Ratio of net investment income to average net assets 4.48%(6) Portfolio Turnover 23%(5)
------------------------------------------------- (1) Commenced investment operations June 30, 2006. (2) Commenced investment operations May 1, 2009. (3) Based on average shares outstanding during the year. (4) These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. (5) Not annualized. (6) Annualized. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 86 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING --------------------------------------------------------------------------------
MODERATE ALLOCATION FUND ====================================================================== SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/09 ------------------------------- INCEPTION (unaudited) 2008 2007 to 12/31/06(1) ============================================================================================================================== CLASS I ------- NET ASSET VALUE at beginning of period $ 7.51 $ 11.21 $ 10.86 $ 10.00 ---------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(3) 0.07 0.21 0.28 0.20 Net realized and unrealized gain (loss) on investments 0.37 (3.55) 0.32 0.79 ---------------------------------------------------------------------- Total from investment operations 0.44 (3.34) 0.60 0.99 ---------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.05) (0.17) (0.19) (0.13) Distributions from capital gains - (0.19) (0.06) (0.00)(5) ---------------------------------------------------------------------- Total distributions (0.05) (0.36) (0.25) (0.13) ---------------------------------------------------------------------- Net increase (decrease) in net asset value 0.39 (3.70) 0.35 0.86 ---------------------------------------------------------------------- NET ASSET VALUE at end of period $ 7.90 $ 7.51 $ 11.21 $ 10.86 ====================================================================== TOTAL RETURN(4) 5.83%(6) (30.23)% 5.56% 9.87%(6) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $280,354 $243,761 $218,281 $36,994 Ratio of expenses to average net assets Before management fee reduction 0.32%(7) 0.31% 0.31% 0.34%(7) After management fee reduction 0.32%(7) 0.28% 0.21% 0.24%(7) Ratio of net investment income to average net assets 1.79%(7) 2.20% 2.45% 3.74%(7) Portfolio Turnover 13%(6) 69% 29% 23%(6)
INCEPTION to 6/30/09(2) (unaudited) ==================================================================== CLASS II -------- NET ASSET VALUE at beginning of period $ 7.56 ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(3) 0.03 Net realized and unrealized gain (loss) on investments 0.30 ---------- Total from investment operations 0.33 ---------- Net increase (decrease) in net asset value 0.33 ---------- NET ASSET VALUE at end of period $ 7.89 ========== TOTAL RETURN(4) 4.39%(6) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $2,571 Ratio of expenses to average net assets 0.57%(7) Ratio of net investment income to average net assets 2.42%(7) Portfolio Turnover 13%(6)
------------------------------------------------- (1) Commenced investment operations June 30, 2006. (2) Commenced investment operations May 1, 2009. (3) Based on average shares outstanding during the year. (4) These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. (5) Amount represents less than $0.005 per share. (6) Not annualized. (7) Annualized. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 87 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING --------------------------------------------------------------------------------
AGGRESSIVE ALLOCATION FUND ======================================================================= SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/09 ------------------------------- INCEPTION (unaudited) 2008 2007 to 12/31/06(1) =============================================================================================================================== CLASS I ------- NET ASSET VALUE at beginning of period $ 6.57 $ 11.61 $ 11.10 $ 10.00 --------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(3) 0.02 0.09 0.09 0.15 Net realized and unrealized gain (loss) on investments 0.49 (4.74) 0.77 1.10 --------------------------------------------------------------------- Total from investment operations 0.51 (4.65) 0.86 1.25 --------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.02) (0.06) (0.14) (0.15) Distributions from capital gains - (0.33) (0.21) - --------------------------------------------------------------------- Total distributions (0.02) (0.39) (0.35) (0.15) --------------------------------------------------------------------- Net increase (decrease) in net asset value 0.49 (5.04) 0.51 1.10 --------------------------------------------------------------------- NET ASSET VALUE at end of period $ 7.06 $ 6.57 $ 11.61 $ 11.10 ===================================================================== TOTAL RETURN(4) 7.71%(5) (41.09)% 7.69% 12.49%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $90,707 $69,616 $68,120 $21,547 Ratio of expenses to average net assets Before management fee reduction 0.32%(6) 0.31% 0.31% 0.33%(6) After management fee reduction 0.32%(6) 0.28% 0.21% 0.23%(6) Ratio of net investment income to average net assets 0.58%(6) 0.94% 0.79% 2.71%(6) Portfolio Turnover 1%(5) 67% 46% 21%(5)
INCEPTION to 6/30/09(2) (unaudited) ==================================================================== CLASS II -------- NET ASSET VALUE at beginning of period $6.69 --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(3) 0.01 Net realized and unrealized gain (loss) on investments 0.36 --------- Total from investment operations 0.37 --------- Net increase (decrease) in net asset value 0.37 --------- NET ASSET VALUE at end of period $7.06 ========= TOTAL RETURN(4) 5.47%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 74 Ratio of expenses to average net assets 0.57%(6) Ratio of net investment income to average net assets 1.04%(6) Portfolio Turnover 1%(5)
------------------------------------------------- (1) Commenced investment operations June 30, 2006. (2) Commenced investment operations May 1, 2009. (3) Based on average shares outstanding during the year. (4) These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. (5) Not annualized. (6) Annualized. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 88 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING --------------------------------------------------------------------------------
MONEY MARKET FUND ---------------------------------------------------------------------------------- SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/09 ---------------------------------------------------------------- (unaudited) 2008 2007 2006 2005 2004 ----------------------------------------------------------------------------------------------------------------------------------- CLASS I ------- NET ASSET VALUE at beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ---------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.00(4) 0.02 0.05 0.04 0.03 0.01 Net realized and unrealized gain (loss) on investments - 0.00(4) 0.00(4) 0.00(4) - 0.00(4) ---------------------------------------------------------------------------------- Total from investment operations 0.00 0.02 0.05 0.04 0.03 0.01 ---------------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.00)(4) (0.02) (0.05) (0.04) (0.03) (0.01) ---------------------------------------------------------------------------------- Net increase (decrease) in net asset value - - - - - - ---------------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ================================================================================== TOTAL RETURN(3) 0.00%(5) 1.75% 4.71% 4.54% 2.78% 0.92% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $115,840 $159,349 $111,333 $100,462 $94,637 $129,004 Ratio of expenses to average net assets Before waiver of expenses by Adviser 0.47%(6) 0.47% 0.46% 0.46% 0.46% 0.45% After waiver of expenses by Adviser 0.34%(6),(7) 0.47% 0.46% 0.46% 0.46% 0.45% Ratio of net investment income to average net assets 0.01%(6) 1.67% 4.58% 4.42% 2.73% 0.90%
INCEPTION to 6/30/09(1) (unaudited) ===================================================================== CLASS II -------- NET ASSET VALUE at beginning of period $1.00 --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) - Net realized and unrealized gain (loss) on investments - --------- Total from investment operations - --------- LESS DISTRIBUTIONS: Distributions from net investment income - Distributions from capital gains - --------- Total distributions - --------- Net increase (decrease) in net asset value - --------- NET ASSET VALUE at end of period $1.00 ========= TOTAL RETURN(3) 0.00%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 1 Ratio of expenses to average net assets Before waiver of expenses by Adviser 0.71%(6) After waiver of expenses by Adviser 0.30%(6),(7) Ratio of net investment income to average net assets 0.00%(6)
------------------------------------------------ (1) Commenced investment operations May 1, 2009. (2) Based on average shares outstanding during the year. (3) These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. (4) Amount represents less than $0.005 per share. (5) Not annualized. (6) Annualized. (7) Amount includes fees waived by the adviser and distributor (see Note 3) See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 89 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING --------------------------------------------------------------------------------
BOND FUND ----------------------------------------------------------------------------- SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/09 ------------------------------------------------------------- (unaudited) 2008 2007 2006 2005 2004 ------------------------------------------------------------------------------------------------------------------------------ CLASS I ------- NET ASSET VALUE at beginning of period $ 9.94 $ 10.19 $ 10.11 $ 10.17 $ 10.34 $ 10.43 ---------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.23 0.50 0.49 0.47 0.42 0.42 Net realized and unrealized gain (loss) on investments 0.04 (0.21) 0.02 (0.06) (0.16) (0.07) ---------------------------------------------------------------------------- Total from investment operations 0.27 0.29 0.51 0.41 0.26 0.35 ---------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.17) (0.54) (0.43) (0.47) (0.43) (0.44) ---------------------------------------------------------------------------- Net increase (decrease) in net asset value 0.10 (0.25) 0.08 (0.06) (0.17) (0.09) ---------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 10.04 $ 9.94 $ 10.19 $ 10.11 $ 10.17 $ 10.34 ============================================================================= TOTAL RETURN(3) 2.67%(4) 2.86% 5.05% 4.01% 2.51% 3.36% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $530,254 $572,562 $646,233 $659,273 $623,976 $574,156 Ratio of expenses to average net assets 0.57%(5) 0.56% 0.56% 0.56% 0.56% 0.55% Ratio of net investment income to average net assets 4.57%(5) 4.84% 4.81% 4.54% 4.06% 4.02% Portfolio Turnover 18%(4) 12% 29% 27% 51% 67%
INCEPTION to 6/30/09(1) (unaudited) =================================================================== Class II -------- NET ASSET VALUE at beginning of period $ 9.85 ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.07 Net realized and unrealized gain (loss) on investments 0.11 ---------- Total from investment operations 0.18 ---------- Net increase (decrease) in net asset value 0.18 ---------- NET ASSET VALUE at end of period $10.03 ========== TOTAL RETURN(3) 1.88%(4) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $1,610 Ratio of expenses to average net assets 0.82%(5) Ratio of net investment income to average net assets 4.44%(5) Portfolio Turnover 18%(4)
------------------------------------------------ (1) Commenced investment operations May 1, 2009. (2) Based on average shares outstanding during the year. (3) These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. (4) Not annualized. (5) Annualized. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 90 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING --------------------------------------------------------------------------------
HIGH INCOME FUND ----------------------------------------------------------------------------- SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/09 --------------------------------------------------------------- (unaudited) 2008 2007 2006 2005 2004 ------------------------------------------------------------------------------------------------------------------------------- CLASS I ------- NET ASSET VALUE at beginning of period $ 7.34 $ 9.54 $ 10.16 $ 10.01 $ 10.40 $ 10.16 ------------------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.32 0.67 0.76 0.74 0.68 0.74 Net realized and unrealized gain (loss) on investments 0.93 (2.07) (0.53) 0.16 (0.42) 0.16 ------------------------------------------------------------------------------ Total from investment operations 1.25 (1.40) 0.23 0.90 0.26 0.90 ------------------------------------------------------------------------------ LESS DISTRIBUTIONS: Distributions from net investment income (0.23) (0.80) (0.85) (0.74) (0.65) (0.66) Distributions from capital gains - - (0.00)(4) (0.01) - - ------------------------------------------------------------------------------ Total distributions (0.23) (0.80) (0.85) (0.75) (0.65) (0.66) ------------------------------------------------------------------------------ Net increase (decrease) in net asset value 1.02 (2.20) (0.62) 0.15 (0.39) 0.24 ------------------------------------------------------------------------------ NET ASSET VALUE at end of period $ 8.36 $ 7.34 $ 9.54 $ 10.16 $ 10.01 $ 10.40 ============================================================================== TOTAL RETURN(3) 17.10%(5) (14.74)% 2.29% 9.03% 2.51% 8.92% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $98,907 $90,728 $135,045 $153,528 $134,032 $118,318 Ratio of expenses to average net assets 0.77%(6) 0.76% 0.76% 0.77% 0.76% 0.76% Ratio of net investment income to average net assets 7.94%(6) 7.42% 7.27% 7.12% 6.47% 7.08% Portfolio Turnover 33%(5) 45% 73% 64% 86%(7) 58% INCEPTION to 6/30/09(1) (unaudited) ==================================================================== CLASS II -------- NET ASSET VALUE at beginning of period $8.14 --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.11 Net realized and unrealized gain (loss) on investments 0.10 --------- Total from investment operations 0.21 --------- Net increase (decrease) in net asset value 0.21 --------- NET ASSET VALUE at end of period $8.35 ========= TOTAL RETURN(3) 2.58%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 244 Ratio of expenses to average net assets 1.02%(6) Ratio of net investment income to average net assets 7.83%(6) Portfolio Turnover 33%(5)
------------------------------------------------ (1) Commenced investment operations May 1, 2009. (2) Based on average shares outstanding during the year. (3) These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. (4) Amount represents less than $0.005 per share. (5) Not annualized. (6) Annualized. (7) Subadviser change February 28, 2005. ------------------------------------------------------- See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 91 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING --------------------------------------------------------------------------------
DIVERSIFIED INCOME FUND ----------------------------------------------------------------------------- SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/09 -------------------------------------------------------------- (unaudited) 2008 2007 2006 2005 2004 ------------------------------------------------------------------------------------------------------------------------------- CLASS I ------- NET ASSET VALUE at beginning of period $ 14.46 $ 17.62 $ 18.46 $ 19.40 $ 19.11 $ 18.04 ------------------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.32 0.72 0.79 0.49 0.42 0.43 Net realized and unrealized gain (loss) on investments (0.35) (3.05) (0.32) 1.45 0.32 1.08 ------------------------------------------------------------------------------ Total from investment operations (0.03) (2.33) 0.47 1.94 0.74 1.51 ------------------------------------------------------------------------------ LESS DISTRIBUTIONS: Distributions from net investment income (0.23) (0.81) (0.80) (0.55) (0.45) (0.44) Distributions from capital gains - (0.02) (0.51) (2.33) - - ------------------------------------------------------------------------------ Total distributions (0.23) (0.83) (1.31) (2.88) (0.45) (0.44) ------------------------------------------------------------------------------ Net increase (decrease) in net asset value (0.26) (3.16) (0.84) (0.94) 0.29 1.07 ------------------------------------------------------------------------------ NET ASSET VALUE at end of period $ 14.20 $ 14.46 $ 17.62 $ 18.46 $ 19.40 $ 19.11 ============================================================================== TOTAL RETURN(3) (0.12)%(5) (13.25)% 2.51% 9.98%(4) 3.89% 8.34% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $400,257 $438,047 $637,606 $735,881 $785,301 $785,856 Ratio of expenses to average net assets 0.72%(6) 0.71% 0.71% 0.71% 0.71% 0.70% Ratio of net investment income to average net assets 4.64%(6) 4.37% 4.21% 2.52% 2.18% 2.34% Portfolio Turnover 16%(5) 14% 41% 62% 52% 38% INCEPTION to 6/30/09(1) (unaudited) ===================================================================== CLASS II -------- NET ASSET VALUE at beginning of period $13.74 ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.09 Net realized and unrealized gain (loss) on investments 0.37 ---------- Total from investment operations 0.46 ---------- Net increase (decrease) in net asset value 0.46 ---------- NET ASSET VALUE at end of period $14.20 ========== TOTAL RETURN(3) 3.33%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $1,208 Ratio of expenses to average net assets 0.96%(6) Ratio of net investment income to average net assets 3.90%(6) Portfolio Turnover 16%(5)
------------------------------------------------ (1) Commenced investment operations May 1, 2009. (2) Based on average shares outstanding during the year. (3) These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. (4) In 2006, 0.01% of the Fund's total return consisted of a voluntary reimbursement by the Adviser for a realized investment loss. Excluding this reimbursement, the total return would have been 9.97%. (5) Not annualized. (6) Annualized. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 92 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING --------------------------------------------------------------------------------
LARGE CAP VALUE FUND ---------------------------------------------------------------------------------- SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/09 ------------------------------------------------------------------- (unaudited) 2008 2007 2006 2005 2004 ----------------------------------------------------------------------------------------------------------------------------------- CLASS I ------- NET ASSET VALUE at beginning of period $ 19.42 $ 31.49 $ 35.14 $ 3 1.62 $ 30.47 $ 27.52 ---------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.26 0.65 0.68 0.65 0.54 0.46 Net realized and unrealized gain (loss) on investments (0.94) (11.99) (0.45) 5.87 1.16 2.95 ---------------------------------------------------------------------------------- Total from investment operations (0.68) (11.34) 0.23 6.52 1.70 3.41 ---------------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.21) (0.71) (0.71) (0.67) (0.55) (0.46) Distributions from capital gains - (0.02) (3.17) (2.33) - - ---------------------------------------------------------------------------------- Total distributions (0.21) (0.73) (3.88) (3.00) (0.55) (0.46) ---------------------------------------------------------------------------------- Net increase (decrease) in net asset value (0.89) (12.07) (3.65) 3.52 1.15 2.95 ---------------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 18.53 $ 19.42 $ 31.49 $ 35.14 $ 31.62 $ 30.47 ================================================================================== TOTAL RETURN(3) (3.40)%(4) (35.99)% 0.60% 20.55% 5.58% 12.43% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $564,538 $609,444 $1,229,433 $1,390,778 $1,239,868 $1,205,082 Ratio of expenses to average net assets 0.62%(5) 0.61% 0.61% 0.61% 0.61% 0.60% Ratio of net investment income to average net assets 3.01%(5) 2.42% 1.87% 1.91% 1.74% 1.67% Portfolio Turnover 18%(4) 38% 45% 35% 28% 15% INCEPTION to 6/30/09(1) (unaudited) ===================================================================== CLASS II -------- NET ASSET VALUE at beginning of period $17.74 ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.05 Net realized and unrealized gain (loss) on investments 0.74 ---------- Total from investment operations 0.79 ---------- Net increase (decrease) in net asset value 0.79 ---------- NET ASSET VALUE at end of period $18.53 ========== TOTAL RETURN(3) 4.42%(4) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 526 Ratio of expenses to average net assets 0.86%(5) Ratio of net investment income to average net assets 1.47%(5) Portfolio Turnover 18%(4)
------------------------------------------------ (1) Commenced investment operations May 1, 2009. (2) Based on average shares outstanding during the year. (3) These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. (4) Not annualized. (5) Annualized. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 93 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND ============================================================================= SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/09 ------------------------------------------------------------- (unaudited) 2008 2007 2006 2005 2004 ================================================================================================================================ CLASS I ------- NET ASSET VALUE at beginning of period $ 14.50 $ 23.36 $ 21.47 $ 19.97 $ 19.68 $ 18.19 ----------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.06 0.12 0.08 0.07 0.17 0.15 Net realized and unrealized gain (loss) on investments 2.07 (8.80) 2.59 1.51 0.30 1.48 ----------------------------------------------------------------------------- Total from investment operations 2.13 (8.68) 2.67 1.58 0.47 1.63 ----------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.04) (0.14) (0.09) (0.08) (0.18) (0.14) Distributions from capital gains - (0.04) (0.69) - - - ----------------------------------------------------------------------------- Total distributions (0.04) (0.18) (0.78) (0.08) (0.18) (0.14) ----------------------------------------------------------------------------- Net increase (decrease) in net asset value 2.09 (8.86) 1.89 1.50 0.29 1.49 ----------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 16.59 $ 14.50 $ 23.36 $ 21.47 $ 19.97 $ 19.68 ============================================================================= TOTAL RETURN(3) 14.74%(4) (37.20)% 12.36% 7.88% 2.42% 8.94% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $394,598 $352,473 $665,240 $669,761 $688,812 $693,762 Ratio of expenses to average net assets 0.82%(5) 0.82% 0.81% 0.81% 0.81% 0.80% Ratio of net investment income to average net assets 0.84%(5) 0.62% 0.34% 0.35% 0.86% 0.82% Portfolio Turnover 61%(4) 123% 76% 87% 73% 26% INCEPTION to 6/30/09(1) (unaudited) ================================================================ CLASS II -------- NET ASSET VALUE at beginning of period $15.78 ------ INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.01 Net realized and unrealized gain (loss) on investments 0.80 ------ Total from investment operations 0.81 ------ Net increase (decrease) in net asset value 0.81 ------ NET ASSET VALUE at end of period $16.59 ====== TOTAL RETURN(3) 5.09%(4) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 920 Ratio of expenses to average net assets 1.06%(5) Ratio of net investment income to average net assets 0.38%(5) Portfolio Turnover 61%(4)
------------------------------------------------- (1) Commenced investment operations May 1, 2009. (2) Based on average shares outstanding during the year. (3) These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. (4) Not annualized. (5) Annualized. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 94 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING --------------------------------------------------------------------------------
MID CAP VALUE FUND ============================================================================= SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/09 ------------------------------------------------------------- (unaudited) 2008 2007 2006 2005 2004 ================================================================================================================================ CLASS I ------- NET ASSET VALUE at beginning of period $ 9.51 $ 15.34 $ 17.54 $ 17.30 $ 16.58 $ 14.66 ----------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.07 0.21 0.21 0.20 0.11 0.18 Net realized and unrealized gain (loss) on investments 0.27 (5.80) (0.15) 2.74 1.61 2.14 ----------------------------------------------------------------------------- Total from investment operations 0.34 (5.59) 0.06 2.94 1.72 2.32 ----------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.04) (0.22) (0.18) (0.20) (0.11) (0.15) Distributions from capital gains - (0.02) (2.08) (2.50) (0.89) (0.25) ----------------------------------------------------------------------------- Total distributions (0.04) (0.24) (2.26) (2.70) (1.00) (0.40) ----------------------------------------------------------------------------- Net increase (decrease) in net asset value 0.30 (5.83) (2.20) 0.24 0.72 1.92 ----------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 9.81 $ 9.51 $ 15.34 $ 17.54 $ 17.30 $ 16.58 ============================================================================= TOTAL RETURN(3) 3.61%(4) (36.45)% 0.25% 16.96% 10.32% 15.86% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $160,184 $157,949 $317,338 $343,213 $275,279 $218,060 Ratio of expenses to average net assets 1.02%(5) 1.02% 1.01% 1.01% 1.01% 1.00% Ratio of net investment income to average net assets 1.58%(5) 1.56% 1.16% 1.12% 0.62% 1.20% Portfolio Turnover 47%(4) 81% 68% 95% 29% 25% INCEPTION to 6/30/09(1) (unaudited) ================================================================ CLASS II -------- NET ASSET VALUE at beginning of period $9.55 ----- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.03 Net realized and unrealized gain (loss) on investments 0.23 ----- Total from investment operations 0.26 ----- Net increase (decrease) in net asset value 0.26 ----- NET ASSET VALUE at end of period $9.81 ===== TOTAL RETURN(3) 2.65%(4) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 425 Ratio of expenses to average net assets 1.25%(5) Ratio of net investment income to average net assets 1.82%(5) Portfolio Turnover 47%(4)
------------------------------------------------- (1) Commenced investment operations May 1, 2009. (2) Based on average shares outstanding during the year. (3) These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. (4) Not annualized. (5) Annualized. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 95 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING --------------------------------------------------------------------------------
MID CAP GROWTH FUND ============================================================================= SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/09 ------------------------------------------------------------- (unaudited) 2008 2007 2006 2005 2004 ================================================================================================================================ CLASS I ------- NET ASSET VALUE at beginning of period $ 3.01 $ 5.75 $ 5.89 $ 6.74 $ 6.80 $ 6.20 ----------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) (0.00)(4) 0.00(4) (0.03) (0.02) (0.01) 0.00(4) Net realized and unrealized gain (loss) on investments 0.64 (2.68) 0.53 0.78 0.59 0.81 ----------------------------------------------------------------------------- Total from investment operations 0.64 (2.68) 0.50 0.76 0.58 0.81 ----------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.00)(4) (0.00)(4) - - - (0.00)(4) Distributions from capital gains - (0.06) (0.64) (1.61) (0.64) (0.21) ----------------------------------------------------------------------------- Total distributions (0.00)(4) (0.06) (0.64) (1.61) (0.64) (0.21) ----------------------------------------------------------------------------- Net increase (decrease) in net asset value 0.64 (2.74) (0.14) (0.85) (0.06) 0.60 ----------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 3.65 $ 3.01 $ 5.75 $ 5.89 $ 6.74 $ 6.80 ============================================================================= TOTAL RETURN(3) 21.19%(5) (46.89)% 8.44% 11.38% 8.75% 13.41% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $202,987 $166,465 $367,318 $374,044 $373,921 $336,673 Ratio of expenses to average net assets 0.87%(6) 0.87% 0.86% 0.86% 0.86% 0.85% Ratio of net investment income to average net assets (0.15)%(6) 0.09% (0.41)% (0.22)% (0.13)% 0.04% Portfolio Turnover 78%(5) 108% 104% 204% 88% 77% INCEPTION to 6/30/09(1) (unaudited) ================================================================ CLASS II -------- NET ASSET VALUE at beginning of period $ 3.51 ------ INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) (0.00)(4) Net realized and unrealized gain (loss) on investments 0.14 ------ Total from investment operations 0.14 ------ Net increase (decrease) in net asset value 0.14 ------ NET ASSET VALUE AT END of period $ 3.65 ====== TOTAL RETURN(3) 3.91%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 285 Ratio of expenses to average net assets 1.11%6 Ratio of net investment income to average net assets (0.45)%(6) Portfolio Turnover 78%(5)
------------------------------------------------- (1) Commenced investment operations May 1, 2009. (2) Based on average shares outstanding during the year. (3) These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. (4) Amount represents less than $0.005 per share. (5) Not annualized. (6) Annualized. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 96 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING --------------------------------------------------------------------------------
SMALL CAP VALUE FUND =============================================== SIX MONTHS ENDED FOR THE 6/30/09 YEAR ENDED INCEPTION (unaudited) 12/31/08 to 12/31/07(1) ================================================================================================== CLASS I ------- NET ASSET VALUE at beginning of period $ 6.53 $ 8.86 $10.00 ---------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(3) 0.03 0.08 0.09 Net realized and unrealized gain (loss) on investments 0.13 (2.34) (1.05) ---------------------------------------------- Total from investment operations 0.16 (2.26) (0.96) ---------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.02) (0.07) (0.08) Distributions from capital gains - (0.00)(5) (0.10) ---------------------------------------------- Total distributions (0.02) (0.07) (0.18) ---------------------------------------------- Net increase (decrease) in net asset value 0.14 (2.33) (1.14) ---------------------------------------------- NET ASSET VALUE at end of period $ 6.67 $ 6.53 $ 8.86 ============================================== TOTAL RETURN(4) 2.46%(6) (25.54)% (9.62)%(6) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 6,436 $ 5,986 $5,624 Ratio of expenses to average net assets 1.12%(7) 1.12% 1.04%(7) Ratio of net investment income to average net assets 1.04%(7) 1.03% 1.45%(7) Portfolio Turnover 13%(6) 28% 13%(6) INCEPTION to 6/30/09(2) (unaudited) ================================================================ CLASS II -------- NET ASSET VALUE at beginning of period $6.50 ----- INCOME FROM INVESTMENT OPERATIONS: Net investment income(3) 0.01 Net realized and unrealized gain (loss) on investments 0.16 ----- Total from investment operations 0.17 ----- Net increase (decrease) in net asset value 0.17 ----- NET ASSET VALUE at end of period $6.67 ===== TOTAL RETURN(4) 2.60%(6) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 129 Ratio of expenses to average net assets 1.36%(7) Ratio of net investment income to average net assets 0.75%(7) Portfolio Turnover 13%(6)
-------------------------------------------------- (1) Commenced investment operations May 1, 2007. (2) Commenced investment operations May 1, 2009. (3) Based on average shares outstanding during the year. (4) These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. (5) Amount represents less than $0.005 per share. (6) Not annualized. (7) Annualized. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 97 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND =============================================== SIX MONTHS ENDED FOR THE 6/30/09 YEAR ENDED INCEPTION (unaudited) 12/31/08 to 12/31/07(1) ================================================================================================== CLASS I ------- NET ASSET VALUE at beginning of period $ 5.63 $ 9.95 $10.00 --------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(3) (0.00)(5) (0.01) 0.01 Net realized and unrealized gain (loss) on investments 0.02 (4.31) 0.02 --------------------------------------------- Total from investment operations 0.02 (4.32) 0.03 --------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income - (0.00)(5) (0.01) Distributions from capital gains - (0.00)(5) (0.07) --------------------------------------------- Total distributions - (0.00) (0.08) --------------------------------------------- Net increase (decrease) in net asset value 0.02 (4.32) (0.05) --------------------------------------------- NET ASSET VALUE at end of period $ 5.65 $ 5.63 $ 9.95 ============================================= TOTAL RETURN(4) 0.36%(6) (43.41)% 0.26%(6) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $4,089 $ 4,043 $6,034 Ratio of expenses to average net assets 1.12%(7) 1.12% 1.03%(7) Ratio of net investment income to average net assets (0.11)%(7) (0.16)% 0.19%(7) Portfolio Turnover 92%(6) 109% 75%(6) INCEPTION to 6/30/09(2) (unaudited) ================================================================ CLASS II -------- NET ASSET VALUE at beginning of period $ 5.57 ------ INCOME FROM INVESTMENT OPERATIONS: Net investment income(3) (0.01) Net realized and unrealized gain (loss) on investments 0.09 ------ Total from investment operations 0.08 ------ Net increase (decrease) in net asset value 0.08 ------ NET ASSET VALUE at end of period $ 5.65 ====== TOTAL RETURN(4) 1.29%(6) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 4 Ratio of expenses to average net assets 1.34%(7) Ratio of net investment income to average net assets (0.73)%(7) Portfolio Turnover 92%(6)
------------------------------------------------- (1) Commenced investment operations May 1, 2007. (2) Commenced investment operations May 1, 2009. (3) Based on average shares outstanding during the year. (4) These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. (5) Amount represents less than $0.005 per share. (6) Not annualized. (7) Annualized. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 98 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING --------------------------------------------------------------------------------
GLOBAL SECURITIES FUND ======================================================================= SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/09 ------------------------------------------------------- (unaudited) 2008 2007 2006 2005 2004 ========================================================================================================================== NET ASSET VALUE at beginning of period $ 5.82 $ 10.30 $ 14.36 $ 12.87 $ 11.49 $ 9.72 ----------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.10 0.29 0.31 0.14 0.09 0.06 Net realized and unrealized gain (loss) on investments (0.14) (4.18) 0.57 2.07 1.52 1.73 ----------------------------------------------------------------------- Total from investment operations (0.04) (3.89) 0.88 2.21 1.61 1.79 ----------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.01) (0.46) (0.31) (0.16) (0.09) (0.02) Distributions from capital gains - (0.13) (4.63) (0.56) (0.14) - ----------------------------------------------------------------------- Total distributions (0.01) (0.59) (4.94) (0.72) (0.23) (0.02) ----------------------------------------------------------------------- Net increase (decrease) in net asset value (0.05) (4.48) (4.06) 1.49 1.38 1.77 ----------------------------------------------------------------------- NET ASSET VALUE at end of period $ 5.77 $ 5.82 $ 10.30 $ 14.36 $ 12.87 $ 11.49 ======================================================================= TOTAL RETURN(3) (0.55)%(4) (38.14)% 5.77% 17.38% 13.97% 18.42% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $28,426 $29,336 $56,034 $57,220 $42,450 $29,979 Ratio of expenses to average net assets 0.97%(5) 0.97% 0.96% 0.97% 0.97% 0.96% Ratio of net investment income to average net assets 3.81%(5) 3.50% 2.06% 1.01% 0.80% 0.60% Portfolio Turnover 13%(4) 15% 112%(6) 21% 27% 18% INCEPTION to 6/30/09(1) (unaudited) ================================================================ CLASS II -------- NET ASSET VALUE at beginning of period $5.31 ----- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.01 Net realized and unrealized gain (loss) on investments 0.45 ----- Total from investment operations 0.46 ----- Net increase (decrease) in net asset value 0.46 ----- NET ASSET VALUE at end of period $5.77 ===== TOTAL RETURN(3) 8.67%(4) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 160 Ratio of expenses to average net assets 1.21%(5) Ratio of net investment income to average net assets 1.36%(5) Portfolio Turnover 13%(4)
------------------------------------------------- (1) Commenced investment operations May 1, 2009. (2) Based on average shares outstanding during the year. (3) These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. (4) Not annualized. (5) Annualized. (6) Subadviser change May 1, 2007. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 99 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING --------------------------------------------------------------------------------
INTERNATIONAL STOCK FUND ========================================================================== SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/09 ---------------------------------------------------------- (unaudited) 2008 2007 2006 2005 2004 ============================================================================================================================= CLASS I ------- NET ASSET VALUE at beginning of period $ 7.59 $ 13.40 $ 13.78 $ 12.38 $ 11.36 $ 9.54 -------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.13 0.26 0.23 0.19 0.17 0.12 Net realized and unrealized gain (loss) on investments 0.34 (5.27) 1.36 2.78 1.71 1.84 -------------------------------------------------------------------------- Total from investment operations 0.47 (5.01) 1.59 2.97 1.88 1.96 -------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.01) (0.26) (0.32) (0.20) (0.15) (0.14) Distributions from capital gains - (0.54) (1.65) (1.37) (0.71) - -------------------------------------------------------------------------- Total distributions (0.01) (0.80) (1.97) (1.57) (0.86) (0.14) -------------------------------------------------------------------------- Net increase (decrease) in net asset value 0.46 (5.81) (0.38) 1.40 1.02 1.82 -------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 8.05 $ 7.59 $ 13.40 $ 13.78 $ 12.38 $ 11.36 ========================================================================== TOTAL RETURN(3) 6.21%(4) (38.62)% 11.42% 24.19% 16.53% 20.48% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $74,576 $72,768 $164,151 $165,704 $108,482 $78,477 Ratio of expenses to average net assets 1.22%(5) 1.22% 1.21% 1.22% 1.21% 1.21% Ratio of net investment income to average net assets 3.71%(5) 2.45% 1.60% 1.48% 1.47% 1.16% Portfolio Turnover 27%(4) 43% 62% 62% 52% 46% INCEPTION to 6/30/09(1) (unaudited) ================================================================ CLASS II -------- NET ASSET VALUE at beginning of period $7.32 ----- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.02 Net realized and unrealized gain (loss) on investments 0.71 ----- Total from investment operations 0.73 ----- Net increase (decrease) in net asset value 0.73 ----- NET ASSET VALUE at end of period $8.05 ===== TOTAL RETURN(3) 9.99%(4) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 625 Ratio of expenses to average net assets 1.45%(5) Ratio of net investment income to average net assets 1.85%(5) Portfolio Turnover 27%(4)
------------------------------------------------- (1) Commenced investment operations May 1, 2009. (2) Based on average shares outstanding during the year. (3) These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. (4) Not annualized. (5) Annualized. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 100 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING --------------------------------------------------------------------------------
TARGET RETIREMENT 2020 FUND =============================================== SIX MONTHS ENDED FOR THE 6/30/09 YEAR ENDED INCEPTION (unaudited) 12/31/08 to 12/31/07(1) ================================================================================================== CLASS I ------- NET ASSET VALUE at beginning of period $ 6.04 $ 9.63 $10.00 ---------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(3) 0.04 0.22 0.13 Net realized and unrealized gain (loss) on investments 0.51 (3.60) (0.32) ---------------------------------------------- Total from investment operations 0.55 (3.38) (0.19) ---------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.03) (0.16) (0.18) Distributions from capital gains - (0.05) - ---------------------------------------------- Total distributions (0.03) (0.21) (0.18) ---------------------------------------------- Net increase (decrease) in net asset value 0.52 (3.59) (0.37) ---------------------------------------------- NET ASSET VALUE at end of period $ 6.56 $ 6.04 $ 9.63 ============================================== TOTAL RETURN(4) 9.15%(5) (35.31)% (1.94)%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $12,901 $ 8,719 $2,524 Ratio of expenses to average net assets 0.42%(6) 0.40% 0.43%(6) Ratio of net investment income to average net assets 1.39%(6) 2.80% 5.17%(6) Portfolio Turnover 9%(5) 74% 3%(5) INCEPTION to 6/30/09(2) (unaudited) ================================================================ CLASS II -------- NET ASSET VALUE at beginning of period $6.24 ----- INCOME FROM INVESTMENT OPERATIONS: Net investment income(3) 0.01 Net realized and unrealized gain (loss) on investments 0.31 ----- Total from investment operations 0.32 ----- Net increase (decrease) in net asset value 0.32 ----- NET ASSET VALUE at end of period $6.56 ===== TOTAL RETURN(4) 5.14%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 1 Ratio of expenses to average net assets 0.66%(6) Ratio of net investment income to average net assets 1.15%(6) Portfolio Turnover 9%(5)
------------------------------------------------- (1) Commenced investment operations May 1, 2007. (2) Commenced investment operations May 1, 2009. (3) Based on average shares outstanding during the year. (4) These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. (5) Not annualized. (6) Annualized. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 101 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING --------------------------------------------------------------------------------
TARGET RETIREMENT 2030 FUND =============================================== SIX MONTHS ENDED FOR THE 6/30/09 YEAR ENDED INCEPTION (unaudited) 12/31/08 to 12/31/07(1) ================================================================================================== CLASS I ------- NET ASSET VALUE at beginning of period $ 5.75 $ 9.54 $10.00 ---------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(3) 0.02 0.18 0.09 Net realized and unrealized gain (loss) on investments 0.53 (3.82) (0.34) ---------------------------------------------- Total from investment operations 0.55 (3.64) (0.25) ---------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.03) (0.11) (0.21) Distributions from capital gains - (0.04) - ---------------------------------------------- Total distributions (0.03) (0.15) (0.21) ---------------------------------------------- Net increase (decrease) in net asset value 0.52 (3.79) (0.46) ---------------------------------------------- NET ASSET VALUE at end of period $ 6.27 $ 5.75 $ 9.54 ============================================== TOTAL RETURN(4) 9.62%(5) (38.35)% (2.51)%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $12,779 $ 8,010 $1,521 Ratio of expenses to average net assets 0.42%(6) 0.40% 0.44%(6) Ratio of net investment income to average net assets 0.83%(6) 2.38% 3.53%(6) Portfolio Turnover 6%(5) 52% 1%(5) INCEPTION to 6/30/09(2) (unaudited) ================================================================ CLASS II -------- NET ASSET VALUE at beginning of period $5.94 ----- INCOME FROM INVESTMENT OPERATIONS: Net investment income(3) 0.01 Net realized and unrealized gain (loss) on investments 0.32 ----- Total from investment operations 0.33 ----- Net increase (decrease) in net asset value 0.33 ----- NET ASSET VALUE at end of period $6.27 ===== TOTAL RETURN(4) 5.45%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 1 Ratio of expenses to average net assets 0.66%(6) Ratio of net investment income to average net assets 0.52%(6) Portfolio Turnover 6%(5)
------------------------------------------------- (1) Commenced investment operations May 1, 2007. (2) Commenced investment operations May 1, 2009. (3) Based on average shares outstanding during the year. (4) These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. (5) Not annualized. (6) Annualized. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 102 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING --------------------------------------------------------------------------------
TARGET RETIREMENT 2040 FUND =============================================== SIX MONTHS ENDED FOR THE 6/30/09 YEAR ENDED INCEPTION (unaudited) 12/31/08 to 12/31/07(1) ================================================================================================== CLASS I ------- NET ASSET VALUE at beginning of period $ 5.43 $ 9.48 $10.00 ---------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(3) 0.00(7) 0.14 0.07 Net realized and unrealized gain (loss) on investments 0.51 (4.06) (0.36) ---------------------------------------------- Total from investment operations 0.51 (3.92) (0.29) ---------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.02) (0.08) (0.23) Distributions from capital gains - (0.05) - ---------------------------------------------- Total distributions (0.02) (0.13) (0.23) ---------------------------------------------- Net increase (decrease) in net asset value 0.49 (4.05) (0.52) ---------------------------------------------- NET ASSET VALUE at end of period $ 5.92 $ 5.43 $ 9.48 ============================================== TOTAL RETURN(4) 9.46%(5) (41.65)% (2.86)%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $10,832 $ 6,385 $1,193 Ratio of expenses to average net assets 0.42%(6) 0.40% 0.44%(6) Ratio of net investment income to average net assets 0.10%(6) 1.99% 2.76%(6) Portfolio Turnover 2%(5 ) 62% 1%(6) INCEPTION to 6/30/09(2) (unaudited) ================================================================ CLASS II -------- NET ASSET VALUE at beginning of period $ 5.59 ------ INCOME FROM INVESTMENT OPERATIONS: Net investment income(3) (0.00)(7) Net realized and unrealized gain (loss) on investments 0.33 ------ Total from investment operations 0.33 ------ Net increase (decrease) in net asset value 0.33 ------ NET ASSET VALUE at end of period $ 5.92 ====== TOTAL RETURN(4) 5.81%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 1 Ratio of expenses to average net assets 0.65%(6) Ratio of net investment income to average net assets (0.13)%(6) Portfolio Turnover 2%(5)
------------------------------------------------- (1) Commenced investment operations May 1, 2007. (2) Commenced investment operations May 1, 2009. (3) Based on average shares outstanding during the year. (4) These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. (5) Not annualized. (6) Annualized. (7) Amount represents less than $0.005 per share. See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------- 103 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -------------------------------------------------------------------------------- 1. ORGANIZATION The Ultra Series Fund (the "Trust"), a Massachusetts business trust, is registered under the Investment Company Act of 1940 (the "1940 Act"), as amended, as a diversified, open-end management investment company. The Trust is a series fund with 18 investment portfolios (the "funds"), each with different investment objectives and policies. The funds currently available are the Money Market Fund, Bond Fund, High Income Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Value Fund, Mid Cap Growth Fund, Small Cap Value Fund, Small Cap Growth Fund, Global Securities Fund, and International Stock Fund (collectively, the "Core Funds"), the Conservative Allocation Fund, Moderate Allocation Fund and Aggressive Allocation Fund (collectively, the "Target Allocation Funds"), and the Target Retirement 2020 Fund, Target Retirement 2030 Fund, and Target Retirement 2040 Fund (collectively, the "Target Date Funds"). The Declaration of Trust permits the Board of Trustees to issue an unlimited number of full and fractional shares of the Trust without par value. At the beginning of the period covered by this report, the trustees authorized the issuance of one class of shares of the funds designated as Class Z. In December 2008, the Trust's Board of Trustees approved a reclassification of Class Z shares as Class I shares, effective as of May 1, 2009, and the addition of a class of shares, Class II shares. Shares are offered to separate accounts (the "Accounts") of CUNA Mutual Insurance Society and to qualified pension and retirement plans of CUNA Mutual Insurance Society or its affiliates ("CUNA Mutual Group"). The Trust may, in the future, offer other share classes to separate accounts of insurance companies and to qualified pension and retirement plans that are not affiliated with CUNA Mutual Group. The Trust does not offer shares directly to the general public. Through the end of the period covered by this report, the Trust had entered into a Management Agreement with MEMBERS Capital Advisors, Inc. (the "Investment Adviser" or "MCA"). The Investment Adviser, in turn, entered into subadvisory agreements with certain subadvisers ("Subadvisers") for the management of the investments of the High Income, Mid Cap Growth, Small Cap Value, Small Cap Growth, Global Securities, and International Stock Funds and a portion of the Mid Cap Value Fund. Effective July 1, 2009, the Trust's Management Agreement has been with Madison Asset Management, LLC. (See the discussions entitled, "Board Approval of Investment Advisory and Subadvisory Agreements" and "Proxy Voting Results" following the Notes to Financial Statements.) 2. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in conformity with U.S. generally accepted accounting principles ("GAAP") in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reported period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by each fund in the preparation of its financial statements. PORTFOLIO VALUATION: Equity securities and exchange-traded funds ("ETFs") listed on any U.S. or foreign stock exchange or quoted on the National Association of Securities Dealers Automated Quotation System ("NASDAQ") are valued at the last quoted sale price or official closing price on that exchange or NASDAQ on the valuation day (provided that, for securities traded on NASDAQ, the funds utilize the NASDAQ Official Closing Price). If no sale occurs, (a) equities traded on a U.S. exchange or on NASDAQ are valued at the mean between the closing bid and closing asked prices and (b) equity securities traded on a foreign exchange are valued at the official bid price. Debt securities purchased with a remaining maturity of 61 days or more are valued by a pricing service selected by the Trust or on the basis of dealer-supplied quotations. Investments in shares of open-ended mutual funds, including money market funds, are valued at their daily net asset value ("NAV") which is calculated as of the close of regular trading on the New York Stock Exchange (usually 3:00 p.m. Central Time) on each day on which the New York Stock Exchange is open for business. NAV per share is determined by dividing each fund's total net assets by the number of shares of such fund outstanding at the time of calculation. Because the assets of each Target Allocation and each Target Date Fund consist primarily of shares of underlying funds, the NAV of each fund is determined based on the NAV's of the underlying funds. Total net assets are determined by adding the total current value of portfolio securities, cash, receivables, and other assets and subtracting liabilities. Short-term instruments having maturities of 60 days or less and all securities in the Money Market Fund are valued on an amortized cost basis, which approximates market value. Over-the-counter securities not listed or traded on NASDAQ are valued at the last sale price on the valuation day. If no sale occurs on the valuation day, an over-the-counter security is valued at the mean between the last bid and asked prices. Over-the-counter options are valued based upon prices provided by market makers in such securities or dealers in such currencies. Exchange traded options are valued at the last sale or bid price on the exchange where such option contract is principally traded. Financial futures contracts generally are valued at the settlement price established by the exchange(s) on which the contracts are primarily traded. The Trust's Valuation Committee (the "Committee") shall estimate the fair value of futures positions affected by the daily limit by using its valuation procedures for determining fair value, when necessary. -------------------------------------------------------------------------------- 104 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -------------------------------------------------------------------------------- Spot and forward foreign currency exchange contracts are valued based on quotations supplied by dealers in such contracts. Overnight repurchase agreements are valued at cost, and term repurchase agreements (i.e, those whose maturity exceeds seven days), swaps, caps, collars and floors are valued at the average of the closing bids obtained daily from at least one dealer. The value of all assets and liabilities expressed in foreign currencies will be converted into U.S. dollar values using the then-current exchange rate. All other securities for which either quotations are not readily available, no other sales have occurred, or in the Investment Adviser's opinion, do not reflect the current market value, are appraised at their fair values as determined in good faith by the Committee and under the general supervision of the Board of Trustees. When fair value pricing of securities is employed, the prices of securities used by the funds to calculate NAV may differ from market quotations or official closing prices. Because the Target Allocation and Target Date Funds primarily invest in underlying funds, government securities and short-term paper, it is not anticipated that the Investment Adviser will need to "fair" value any of the investments of these funds. However, an underlying fund may need to "fair" value one or more of its investments, which may, in turn, require a Target Allocation or Target Date Fund to do the same because of delays in obtaining the underlying fund's NAV. A fund's investments (or underlying fund) will be valued at fair value if in the judgment of the Committee an event impacting the value of an investment occurred between the closing time of a security's primary market or exchange (for example, a foreign exchange or market) and the time the fund's share price is calculated as of the close of regular trading on the New York Stock Exchange (usually 3:00 p.m. Central Time). Significant events may include, but are not limited to, the following: (1) significant fluctuations in domestic markets, foreign markets or foreign currencies; (2) occurrences not directly tied to the securities markets such as natural disasters, armed conflicts or significant government actions; and (3) major announcements affecting a single issuer or an entire market or market sector. In responding to a significant event, the Committee would determine the fair value of affected securities considering factors including, but not limited to: fundamental analytical data relating to the investment; the nature and duration of any restrictions on the disposition of the investment; and the forces influencing the market(s) in which the investment is purchased or sold. The Committee may rely on an independent fair valuation service to adjust the valuations of foreign equity securities based on specific market-movement parameters established by the Committee and approved by the Trust. SECURITY TRANSACTIONS AND INVESTMENT INCOME: Security transactions are accounted for on a trade date basis. Net realized gains or losses on sales are determined by the identified cost method. Interest income is recorded on an accrual basis. Dividend income is recorded on ex-dividend date. Amortization and accretion are recorded on the effective yield method. FEDERAL INCOME TAXES: It is each fund's policy to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986 applicable to regulated investment companies and to distribute substantially all its taxable income to its shareholders. Accordingly, no provisions for federal income taxes are recorded in the accompanying financial statements. In July 2006, the Financial Accounting Standards Board ("FASB") issued Interpretation No. 48, "Accounting for Uncertainty in Income Taxes--an Interpretation of FASB Statement No. 109" ("FIN 48"). FIN 48 addresses the accounting for uncertainty in income taxes and establishes for all entities, including pass-through entities, such as the funds, a minimum threshold for financial statement recognition of the benefit of positions taken in filing tax returns (including whether an entity is taxable in a particular jurisdiction), and requires certain expanded tax disclosures. As required, the funds adopted FIN 48 effective June 29, 2007 for all open tax years and have determined that no material uncertain tax positions exist. As a result, the funds have not recorded any liabilities for material unrecognized tax benefits as of June 30, 2009. It is the funds' policy to recognize accrued interest and penalties related to uncertain tax benefits in income taxes, as appropriate. Tax years that remain open to examination by major tax jurisdictions include 2004 through 2008. EXPENSES: Expenses that are directly related to one fund are charged directly to that fund. Other operating expenses are prorated to the funds on the basis of relative net assets. Class-specific expenses are borne by that class. REPURCHASE AGREEMENTS: Each fund may engage in repurchase agreements. In a repurchase agreement, a security is purchased for a relatively short period (usually not more than 7 days) subject to the obligation to sell it back to the issuer at a fixed time and price plus accrued interest. The funds will enter into repurchase agreements only with member banks of the Federal Reserve System and with "primary dealers" in U.S. Government securities. As of June 30, 2009, none of the funds had open repurchase agreements. The Trust has established a procedure providing that the securities serving as collateral for each repurchase agreement must be delivered to the Trust's custodian either physically or in book-entry form and that the collateral must be marked to -------------------------------------------------------------------------------- 105 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -------------------------------------------------------------------------------- market daily to ensure that the repurchase agreement is fully collateralized at all times. In the event of bankruptcy or other default by a seller of a repurchase agreement, a fund could experience one of the following: delays in liquidating the underlying securities during the period in which the fund seeks to enforce its rights thereto, possible subnormal levels of income, declines in value of the underlying securities, or lack of access to income during this period and the expense of enforcing its rights. FOREIGN CURRENCY TRANSACTIONS: The books and records are maintained in U.S. dollars. Foreign currency denominated transactions (i.e., market value of investment securities, assets and liabilities, purchases and sales of investment securities, and income and expenses) are translated into U.S. dollars at the current rate of exchange. Each fund, except the Money Market Fund, reports certain foreign currency-related transactions as components of realized gains or losses for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes. The Money Market Fund can only invest in U.S. dollar-denominated foreign money market securities. The funds do not isolate the portion of gains and losses on investments in securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of securities. Such amounts are categorized as gain or loss on investments for financial reporting purposes. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS: Each fund, except the Money Market Fund, may purchase and sell forward foreign currency exchange contracts for defensive or hedging purposes. When entering into forward foreign currency exchange contracts, the funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily. The funds' net assets reflect unrealized gains or losses on the contracts as measured by the difference between the forward foreign currency exchange rates at the dates of entry into the contracts and the forward rates at the reporting date. The funds realize a gain or a loss at the time the forward foreign currency exchange contracts are settled or closed out with an offsetting contract. Realized and unrealized gains and losses are included in the Statements of Operations. As of June 30, 2009, none of the funds had open forward foreign currency exchange contracts. If a fund enters into a forward foreign currency exchange contract to buy foreign currency for any purpose, the fund will be required to place cash or other liquid assets in a segregated account with the fund's custodian in an amount equal to the value of the fund's total assets committed to the consummation of the forward contract. If the value of the securities in the segregated account declines, additional cash or securities will be placed in the segregated account so that the value of the account will equal the amount of the fund's commitment with respect to the contract. FUTURES CONTRACTS: Each fund, except the Money Market Fund, may purchase and sell futures contracts and purchase and write options on futures contracts. The funds will engage in futures contracts or related options transactions to hedge certain market positions. Upon entering into a futures contract, the fund is required to pledge to the broker an amount of cash, U.S. Government securities or other assets, equal to a certain percentage of the contract (initial margin deposit). Subsequent payments, known as "variation margin," are made or received by the fund each day, depending on the daily fluctuations in the fair value of the futures contract. When a fund enters into a futures contract, the fund segregates cash or other liquid securities, of any type or maturity, equal in value to the fund's commitment. The fund recognizes a gain or loss equal to the daily change in the value of the futures contracts. Should market conditions move unexpectedly, the fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. As of June 30, 2009, none of the funds have open futures contracts. DELAYED DELIVERY SECURITIES: Each fund may purchase securities on a when-issued or delayed delivery basis. "When-issued" refers to securities whose terms are available and for which a market exists, but that have not been issued. For when-issued or delayed delivery transactions, no payment is made until delivery date, which is typically longer than the normal course of settlement, and often a month or more after the purchase. When a fund enters into an agreement to purchase securities on a when-issued or delayed delivery basis, the fund segregates cash or other liquid securities, of any type or maturity, equal in value to the fund's commitment. Losses may arise due to changes in the market value of the underlying securities, if the counterparty does not perform under the contract, or if the issuer does not issue the securities due to political, economic or other factors. As of June 30, 2009, none of the funds had entered into such transactions. RECLASSIFICATION ADJUSTMENTS: Paid-in capital, undistributed net investment income, and accumulated net realized gain (loss) have been adjusted in the Statements of Assets and Liabilities for permanent book-tax differences for all funds. Differences primarily relate to the tax treatment of net operating losses, paydown gains and losses, foreign currency gains and losses, and distributions from real estate investment trusts and passive foreign investment companies. -------------------------------------------------------------------------------- 106 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -------------------------------------------------------------------------------- FAIR VALUE MEASUREMENTS: Each fund adopted the Financial Accounting Standards Board ("FASB") Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"), effective January 1, 2008. In April 2009, the FASB issued FASB Staff Position No. 157-4, "Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP 157-4"). FSP 157-4 provides additional guidance for estimating fair value in accordance with FASB Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"), when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate a transaction is not orderly. Each fund adopted FSP 157-4 effective June 30, 2009. In accordance with FAS 157, fair value is defined as the price that each fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. FAS 157 has established a three-tier hierarchy to maximize the use of observable market data "inputs" and minimize the use of unobservable "inputs" and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk (for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique). Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below: o Level 1 - quoted prices in active markets for identical investments o Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) o Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) The valuation techniques used by the funds to measure fair value for the period ended June 30, 2009 maximized the use of observable inputs and minimized the use of unobservable inputs. The funds utilized the following fair value techniques: multi-dimensional relational pricing model and option adjusted spread pricing; the funds estimated the price that would have prevailed in a liquid market for an international equity security given information available at the time of evaluation. The following is a summary of the inputs used as of June 30, 2009 in valuing the funds' investments carried at market value:
QUOTED PRICES IN ACTIVE MARKETS SIGNIFICANT OTHER SIGNIFICANT FOR IDENTICAL OBSERVABLE UNOBSERVABLE INVESTMENTS INPUTS INPUTS VALUE FUND (LEVEL 1) (LEVEL 2) (LEVEL 3) AT 6/30/2009 ---- --------- --------- --------- ------------ CONSERVATIVE ALLOCATION(1) $145,583,445 $ - $ - $145,583,445 ============================================================================= MODERATE ALLOCATION(1) 283,005,727 - - 283,005,727 ============================================================================= AGGRESSIVE ALLOCATION(1) 90,806,869 - - 90,806,869 ============================================================================= MONEY MARKET(2) 8,524,854 107,230,632 - 115,755,486 ============================================================================= BOND Asset Backed - 7,378,891 - 7,378,891 Commercial Mortgage Backed - 133,464 - 133,464 Private Label Mortgage Backed - 3,453,581 - 3,453,581 Corporate Notes and Bonds - 134,242,320 - 134,242,320 Mortgage Backed - 157,523,591 - 157,523,591 U.S. Government and Agency Obligations 569,132 206,939,798 - 207,508,930 Investment Companies 13,990,148 - - 13,990,148 ----------------------------------------------------------------------------- 14,559,280 509,671,645 - 524,230,925 =============================================================================
-------------------------------------------------------------------------------- 107 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) --------------------------------------------------------------------------------
QUOTED PRICES IN ACTIVE MARKETS SIGNIFICANT OTHER SIGNIFICANT FOR IDENTICAL OBSERVABLE UNOBSERVABLE INVESTMENTS INPUTS INPUTS VALUE FUND (LEVEL 1) (LEVEL 2) (LEVEL 3) AT 6/30/2009 ---- --------- --------- --------- ------------ HIGH INCOME(3) $ 2,486,984 $ 95,200,597 $ - $ 97,687,581 ----------------------------------------------------------------------------- DIVERSIFIED INCOME Common Stocks 154,461,920 - - 154,461,920 Asset Backed - 4,448,794 - 4,448,794 Commercial Mortgage Backed - 282,491 - 282,491 Private Label Mortgage Backed - 1,335,385 - 1,335,385 Corporate Notes and Bonds - 83,754,853 - 83,754,853 Mortgage Backed - 75,193,574 - 75,193,574 U.S. Government and Agency Obligations 3,045,354 57,988,729 - 61,034,083 Investment Companies 16,784,897 - - 16,784,897 ----------------------------------------------------------------------------- 174,292,171 223,003,826 - 397,295,997 ============================================================================= LARGE CAP VALUE(1) 563,234,375 - - 563,234,375 ============================================================================= LARGE CAP GROWTH(1) 400,420,542 - - 400,420,542 ============================================================================= MID CAP VALUE(3) 162,119,704 1,714,875 - 163,834,579 ============================================================================= MID CAP GROWTH(1) 203,099,107 - - 203,099,107 ============================================================================= SMALL CAP VALUE(1) 6,517,806 - - 6,517,806 ============================================================================= SMALL CAP GROWTH(1) 4,095,246 - - 4,095,246 ============================================================================= GLOBAL SECURITIES Common Stocks Australia - 2,072,077 - 2,072,077 Belgium(4) - 119,112 - 119,112 Finland - 104,373 - 104,373 France - 2,568,395 - 2,568,395 Germany - 917,459 - 917,459 Italy - 885,194 - 885,194 Japan - 3,303,840 - 3,303,840 Netherlands - 573,394 - 573,394 Singapore - 854,077 - 854,077 Spain - 1,111,565 - 1,111,565 Switzerland - 721,200 - 721,200 Taiwan - 421,794 - 421,794 United Kingdom - 4,412,194 - 4,412,194 United States 9,760,782 212,032 - 9,972,814 Warrants and Rights - - - - Investment Companies 373,286 - - 373,286 ----------------------------------------------------------------------------- 10,134,068 18,276,706 - 28,410,774 ============================================================================= INTERNATIONAL STOCK Common Stocks - - - - Argentina - 158,725 - 158,725 Australia(4) - 136,574 - 136,574 Austria - 48,034 - 48,034 Belgium - 1,191,422 - 1,191,422 Brazil 1,574,677 64,087 - 1,638,764 Canada 817,289 - - 817,289
-------------------------------------------------------------------------------- 108 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) --------------------------------------------------------------------------------
QUOTED PRICES IN ACTIVE MARKETS SIGNIFICANT OTHER SIGNIFICANT FOR IDENTICAL OBSERVABLE UNOBSERVABLE INVESTMENTS INPUTS INPUTS VALUE FUND (LEVEL 1) (LEVEL 2) (LEVEL 3) AT 6/30/2009 ---- --------- --------- --------- ------------ INTERNATIONAL STOCK (CONTINUED) Cyprus $ - $ 9,397 $ - $ 9,397 Denmark - 615,172 - 615,172 Egypt - 582,763 - 582,763 Finland - 1,751,462 - 1,751,462 France - 7,424,619 - 7,424,619 Germany - 6,087,659 - 6,087,659 Greece - 716,979 - 716,979 Hong Kong - 687,992 - 687,992 India - 965,488 - 965,488 Indonesia 380,446 403,938 - 784,384 Ireland - 1,025,970 - 1,025,970 Isle of Man - 47,487 - 47,487 Israel - 575,220 - 575,220 Italy - 2,103,332 - 2,103,332 Japan - 11,543,627 - 11,543,627 Malaysia - 169,401 - 169,401 Mexico 517,644 575,730 - 1,093,374 Netherlands - 979,616 - 979,616 Norway - 147,460 - 147,460 Philippines 409,196 - - 409,196 Russia - 1,200,762 - 1,200,762 Singapore - 1,265,762 - 1,265,762 South Africa - 1,827,086 - 1,827,086 South Korea - 1,425,805 - 1,425,805 Spain - 956,134 - 956,134 Sweden - 1,032,170 - 1,032,170 Switzerland - 6,333,410 - 6,333,410 Taiwan - 712,040 - 712,040 Thailand - 301,839 - 301,839 Turkey - 880,064 - 880,064 United Kingdom - 14,269,874 - 14,269,874 Preferred Stocks - - - - Brazil 375,012 112,697 - 487,709 Germany - 37,931 - 37,931 Investment Companies 2,380,670 - - 2,380,670 ----------------------------------------------------------------------------- 6,454,934 68,367,728 - 74,822,662 ============================================================================= TARGET RETIREMENT 2020(1) 12,906,702 - - 12,906,702 ============================================================================= TARGET RETIREMENT 2030(1) 12,784,685 - - 12,784,685 ============================================================================= TARGET RETIREMENT 2040(1) 10,836,755 - - 10,836,755 =============================================================================
-------------------------------------------- (1) At June 30, 2009 all investments are Level 1, see Schedule of Investments. (2) At June 30, 2009 all Level 2 securities held are Short Term Investments, see Schedule of Investments. (3) At June 30, 2009 all Level 2 securities held are Corporate Notes and Bonds and Certificates of Deposits, see Schedule of Investments. (4) At June 30, 2009 all Level 3 securities held were valued at $0, see Schedule of Investments. -------------------------------------------------------------------------------- 109 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -------------------------------------------------------------------------------- NEW ACCOUNTING PRONOUNCEMENTS: In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, "Disclosures about Derivative Instruments and Hedging Activities" ("FAS 161"). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about funds' derivative and hedging activities. Management has evaluated FAS 161 and has determined that there is no impact on the Funds' financial statements as of the Funds currently do not hold derivative financial instruments. Management has evaluated the impact of all subsequent events on the Fund through August 24, 2009, the date the financial statements were issued. 3. ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS For services under the Management Agreement, MCA was entitled to receive a management fee, which was calculated daily and paid monthly, at an annual rate based upon the following percentages of average daily net assets: 0.45% for the Money Market Fund, 0.55% for the Bond Fund, 0.75% for the High Income Fund, 0.70% for the Diversified Income Fund, 0.60% for the Large Cap Value Fund, 0.80% for the Large Cap Growth Fund, 1.00% for the Mid Cap Value Fund, 0.85% for the Mid Cap Growth Fund, 1.10% for the Small Cap Value and Small Cap Growth Funds, 0.95% for the Global Securities Fund, 1.20% for the International Stock Fund, 0.30% for each of the Target Allocation Funds and 0.40% for each of the Target Date Funds. MCA was solely responsible for the payment of all fees to the Subadvisers through the date of this report. The Subadvisers for the funds were Shenkman Capital Management, Inc. for the High Income Fund, Wellington Management Company, LLP for a portion of the Mid Cap Value Fund, the entire Mid Cap Growth Fund and Small Cap Value Fund, Paradigm for the Small Cap Growth Fund, Mondrian Investment Partners Limited for the Global Securities Fund and Lazard Asset Management LLC for the International Stock Fund. MCA managed the other portion of the Mid Cap Value Fund, and the entire Bond Fund, Diversified Income Fund, Large Cap Growth Fund, Large Cap Value Fund, Money Market Fund, Target Allocation Funds and the Target Date Funds. The Investment Adviser may from time to time voluntary agree to waive a portion of its fees or expenses related to the Funds. In that regard, the Investment Adviser waived a portion of management fees on the Money Market Class I Shares and Class II Shares for the purpose of maintaining a one-day yield of zero. The amount of the daily waiver is equal to the amount required to maintain a minimum daily distribution rate of zero. For the six months ended June 30, 2009, the waivers totaled $85,559 for Class I Shares and $1 for Class II Shares and are reflected as fees waived in the accompanying Statement of Operations. In addition to the management fee, through the date of this report, the Trust was responsible for fees of the disinterested trustees, brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments, costs of borrowing money, expenses for independent audits, tax, compliance and extraordinary expenses as approved by a majority of the disinterested trustees. Certain officers and trustees of the Trust were also officers of MCA. With the exception of the Chief Compliance Officer, the Trust did not compensate these officers or trustees. As part of the Trust's required compliance program, the Trust paid a portion of the Chief Compliance Officer's annual salary. Unaffiliated trustees receive from the Trust an annual retainer, which compensates them for each regular Board and Committee meeting attended, with additional remuneration paid to the Chair of the Board and the Chair of the Audit Committee. Unaffiliated trustees also receive a per meeting fee for each special meeting, if any, attended. Through the date of this report, all fund shares were distributed through CUNA Brokerage Services, Inc. ("CUNA" Brokerage"), an affiliated company, pursuant to a distribution agreement between the Trust and CUNA Brokerage. CUNA Brokerage's principal place of business is located at 2000 Heritage Way, Waverly, IA 50677. The distributor may from time to time voluntary agree to waive a portion of its fees or expenses related to the Funds. In that regard, the distributor waived a portion of 12b-1 fees on the Money Market Class II Shares for the purpose of maintaining a one-day yield of zero. The amount of the daily waiver is equal to the amount required to maintain a minimum daily distribution rate of zero. For the six months ended June 30, 2009, the waivers totaled $2 and are reflected as fees waived by the distributor in the accompanying Statement of Operations. The Trust has entered into participation agreements with CUNA Mutual Insurance Society setting forth the terms and conditions pursuant to which the Accounts and retirement plans purchase and redeem shares of the funds. Investments in the Trust by the Accounts are made through either variable annuity or variable life insurance contracts. Net purchase payments under the variable contracts are placed in one or more sub-accounts of the Accounts, and the assets of each -------------------------------------------------------------------------------- 110 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -------------------------------------------------------------------------------- sub-account are invested (without sales or redemption charges) in shares of the fund corresponding to that sub-account. Shares are purchased and redeemed at a price equal to the shares' net asset value. The assets of each fund are held separate from the assets of the other funds. 4. DIVIDENDS FROM NET INVESTMENT INCOME AND DISTRIBUTIONS OF CAPITAL GAINS The Money Market Fund declares dividends from net investment income and net realized gains from investment transactions, if any, daily, which are reinvested in additional full and fractional shares of the Fund. The Bond Fund, High Income Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Small Cap Value, Small Cap Growth, Mid Cap Value Fund, Mid Cap Growth Fund, Global Securities Fund, International Stock Fund, Target Allocation Funds, and Target Date Funds declare dividends from net investment income and net realized gains from investment transactions, if any, annually, which are reinvested in additional full and fractional shares of the respective funds. Income and capital gain distributions, if any, are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. Taxable distributions from income and realized capital gains of the funds may differ from book amounts earned during the period due to differences in the timing of capital gains recognition, and due to the reclassification of certain gains or losses from capital to income. 5. SECURITIES TRANSACTIONS For the six months ended June 30, 2009, aggregate cost of purchases and proceeds from sales of securities, other than short-term investments, were as follows:
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES -------------------------- --------------------------- FUND PURCHASES SALES PURCHASES SALES ---- --------- ----- --------- ----- Conservative Allocation $ - $ - $ 50,481,877 $ 29,012,701 Moderate Allocation - - 55,571,532 32,271,136 Aggressive Allocation - - 15,354,593 1,022,475 Bond 93,197,645 84,420,214 - 59,419,806 High Income - - 34,182,062 28,761,812 Diversified Income 20,237,591 18,917,942 41,814,599 82,905,216 Large Cap Value - - 95,541,152 100,733,847 Large Cap Growth - - 212,025,532 215,751,740 Mid Cap Value - - 68,616,620 68,518,864 Mid Cap Growth - - 136,382,664 133,867,292 Small Cap Value - - 1,238,132 704,518 Small Cap Growth - - 3,535,765 3,424,061 Global Securities - - 3,322,557 3,586,162 International Stock - - 17,548,295 17,666,318 Target Retirement 2020 - - 4,029,733 943,550 Target Retirement 2030 - - 4,124,336 579,743 Target Retirement 2040 - - 3,527,992 147,546
6. FOREIGN SECURITIES Each fund may invest in foreign securities; provided, however, that the Money Market Fund is limited to U.S. dollar-denominated foreign money market securities. Foreign securities refer to securities that are: (1) issued by companies organized outside the U.S. or whose principal operations are outside the U.S., (2) issued by foreign governments or their agencies or instrumentalities, (3) principally traded outside the U.S., or (4) quoted or denominated in a foreign currency. Foreign securities include American Depositary Receipts ("ADRs"), European Depositary Receipts ("EDRs"), Global Depositary Receipts ("GDRs"), Swedish Depositary Receipts ("SDRs") and foreign money market securities. Dollar-denominated securities that are part of the Merrill Lynch U.S. Domestic Master Index are not considered a foreign security. Certain funds have reclaim receivable balances, in which the funds are due a reclaim on the taxes that have been paid to some foreign jurisdictions. The values of all reclaims are not significant for any of the funds and are reflected in Other Assets on the Statement of Assets and Liabilities. On a periodic basis, these receivables are reviewed to ensure the current receivable balance is reflective of the amount deemed to be collectible. -------------------------------------------------------------------------------- 111 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -------------------------------------------------------------------------------- 7. SECURITIES LENDING Each fund, except the Target Allocation, Money Market, Small Cap Value, Small Cap Growth Funds, and Target Retirement Funds, entered into a Securities Lending Agreement (the "Agreement") with State Street Bank and Trust Company ("State Street"). Under the terms of the Agreement, the Funds may lend portfolio securities to qualified borrowers in order to earn additional income. The Agreement requires that loans are collateralized at all times by cash or other liquid assets at least equal to 102% of the value of the securities, which is determined on a daily basis. At June 30, 2009, none of the funds had securities on loan. Amounts earned as interest on investments of cash collateral, net of rebates and fees, are included in the Statement of Operations. The primary risk associated with securities lending is if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the funds could experience delays and costs in recovering securities loaned or in gaining access to the collateral. 8. TAX INFORMATION For federal income tax purposes, the funds listed below have capital loss carryovers as of December 31, 2008, which are available to offset future capital gains, if any:
CARRYOVER EXPIRING IN: ---------------------- FUND 2009 2010 2011 2012 2013 2014 2015 2016 ---- ---- ---- ---- ---- ---- ---- ---- ---- Conservative Allocation $- $ - - $ - $ - $ - $ - $ 2,991,644 Moderate Allocation - - - - - - - 17,885,475 Aggressive Allocation - - - - - - - 6,446,542 Bond - 1,857,702 $104,606 1,560,242 1,445,891 816,322 228,563 - High Income - - - - - - 640,978 10,602,862 Diversified Income - - - - - - - 16,470,805 Large Cap Value - - - - - - - 97,212,808 Large Cap Growth - - - - - - - 78,640,904 Mid Cap Value - - - - - - - 38,971,539 Mid Cap Growth - - - - - - - 21,456,972 Small Cap Value - - - - - - - 306,489 Small Cap Growth - - - - - - - 892,538 Global Securities - - - - - - - 751,246 International Stock - - - - - - - 1,823,628 Target Retirement 2030 - - - - - - - 40,540 Target Retirement 2040 - - - - - - - 28,331
The Bond Fund utilized $926,841 of prior capital loss carryovers during the year ended December 31, 2008. The Bond Fund had $6,650,383 of capital loss carryovers expire as of December 31, 2008. After October 31, 2008, the following funds had capital and currency losses in the following amounts:
FUND POST-OCTOBER CAPITAL LOSS POST-OCTOBER CURRENCY LOSSES ---- ------------------------- ---------------------------- Moderate Allocation $10,697,947 $- Aggressive Allocation 5,339,651 - High Income 2,665,346 - Mid Cap Growth 22,266,927 - Small Cap Value 95,935 - Small Cap Growth 1,418,579 - Global Securities 65,564 - International Stock 9,645,410 - Target Retirement 2020 877,232 - Target Retirement 2030 981,306 - Target Retirement 2040 1,011,003 -
For federal income tax purposes, these amounts are deferred and deemed to have occurred in the next fiscal year. -------------------------------------------------------------------------------- 112 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -------------------------------------------------------------------------------- At June 30, 2009, the aggregate gross unrealized appreciation (depreciation) and net unrealized appreciation (depreciation) for all securities as computed on a federal income tax basis for each fund were as follows:
FUND APPRECIATION DEPRECIATION NET ---- ---------------- ---------------- ------------- Conservative Allocation $ 1,179,816 $ (14,611,097) $(13,431,281) Moderate Allocation 1,171,679 (57,692,831) (56,521,152) Aggressive Allocation 588,208 (25,059,605) (24,471,397) Bond 17,820,040 (20,862,158) (3,042,118) High Income 1,276,238 (4,864,462) (3,588,224) Diversified Income 16,786,057 (39,720,546) (22,934,489) Large Cap Value 61,160,614 (146,691,442) (85,530,828) Large Cap Growth 34,652,567 (18,635,272) 16,017,295 Mid Cap Value 10,398,689 (26,544,432) (16,145,743) Mid Cap Growth 1,667,770 (6,387,095) (4,719,325) Small Cap Value 295,524 (1,802,996) (1,507,472) Small Cap Growth 418,144 (299,903) 118,241 Global Securities 196,725 (17,090,812) (16,894,087) International Stock 5,498,771 (13,958,346) (8,459,575) Target Retirement 2020 191,038 (1,880,189) (1,689,151) Target Retirement 2030 127,198 (1,583,423) (1,456,225) Target Retirement 2040 112,985 (1,188,150) (1,075,165)
The differences between cost amounts for book purposes and tax purposes are primarily due to the tax deferral of losses. 9. CONCENTRATION OF RISK Investing in certain financial instruments, including forward foreign currency contracts and futures contracts, involves certain risks, other than that reflected in the Statements of Assets and Liabilities. Risks associated with these instruments include potential for an illiquid secondary market for the instruments or inability of counterparties to perform under the terms of the contracts, changes in the value of foreign currency relative to the U.S. dollar and financial statement volatility resulting from an imperfect correlation between the movements in the prices of the instruments and the prices of the underlying securities and interest rates being hedged. The High Income Fund, Mid Cap Growth Fund, International Stock Fund, and the Global Securities Fund enter into these contracts primarily to protect these funds from adverse currency movements. Investing in foreign securities involves certain risks not necessarily found in U.S. markets. These include risks associated with adverse changes in economic, political, regulatory and other conditions, changes in currency exchange rates, exchange control regulations, expropriation of assets or nationalization, imposition of withholding taxes on dividend or interest payments or capital gains, and possible difficulty in obtaining and enforcing judgments against foreign entities. Further, issuers of foreign securities are subject to different, and often less comprehensive, accounting, reporting and disclosure requirements than domestic issuers. The High Income Fund invests in securities offering high current income which generally will include bonds in the below investment grade categories of recognized ratings agencies (so-called "junk bonds"). These securities generally involve more credit risk than securities in the higher rating categories. In addition, the trading market for high yield securities may be relatively less liquid than the market for higher-rated securities. The fund generally invests at least 80% of its assets in high yield securities. The Target Allocation Funds and Target Date Funds are fund of funds, meaning that they invest primarily in the shares of other registered investment companies (the "underlying funds"), including ETFs. Thus, each fund's investment performance and its ability to achieve its investment goal are directly related to the performance of the underlying funds in which it invests; and the underlying fund's performance, in turn, depends on the particular securities in which that underlying fund invests and the expenses of that fund. Accordingly, these funds are subject to the risks of the underlying funds in direct proportion to the allocation of their respective assets among the underlying funds. Additionally, the Target Allocation Funds and Target Date Funds are subject to asset allocation risk and manager risk. Manager risk (i.e., fund selection risk) is the risk that the fund(s) selected to fulfill a particular asset class under performs their peer. Asset allocation risk is the risk that the allocation of the fund's assets among the various asset classes and market segments will cause the fund to under perform other funds with a similar investment objective. -------------------------------------------------------------------------------- 113 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -------------------------------------------------------------------------------- 10. CAPITAL SHARES AND AFFILIATED OWNERSHIP All capital shares outstanding at June 30, 2009, are owned by separate investment accounts and/or pension plans of CUNA Mutual Insurance Society and by CUNA Mutual Insurance Society. The fair value of investments in the Funds by affiliates were as follows:
CUNA MUTUAL CUMIS INSURANCE INSURANCE FUND CLASS SOCIETY SOCIETY, INC. ---- ----- ------- ------------- Conservative Allocation II $ - $1,037 Moderate Allocation II - 1,044 Aggressive Allocation II - 1,055 Money Market II - 1,000 Bond II - 1.019 High Income II - 1,026 Diversified Income II - 1,033 Large Cap Value II - 1,044 Large Cap Growth II - 1,051 Mid Cap Value II - 1,027 Mid Cap Growth II - 1,039 Small Cap Value I 3,447,464 - Small Cap Value II - 1,026 Small Cap Growth I 2,847,158 - Small Cap Growth II - 1,013 Global Securities I 8,448,491 - Global Securities II - 1,087 International Stock II - 1,100 Target Retirement 2020 I 692,278 - Target Retirement 2020 II - 1,051 Target Retirement 2030 I 658,784 - Target Retirement 2030 II - 1,054 Target Retirement 2040 I 620,428 - Target Retirement 2040 II - 1,058
-------------------------------------------------------------------------------- 114 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -------------------------------------------------------------------------------- The Target Allocation Funds and Target Date Funds invest in underlying funds, of which certain underlying funds (the "affiliated underlying funds"), may be deemed to be under common control because of the same Board of Trustees. The MEMBERS Mutual Funds audited financial statements for the fiscal year ended October 31, 2008 are available at no cost on the Securities and Exchange Commission's website at www.sec.gov, bycalling 1-800-877-6089 or by visiting the MEMBERS Mutual Funds' website at www.membersfunds.com. A summary of the transactions with each affiliated underlying fund during the six months ended June 30, 2009 follows:
BALANCE OF BALANCE OF SHARES SHARES HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS FUND/UNDERLYING FUND 12/31/2008 ADDITIONS SALES 06/30/2009 06/30/2009 GAIN (LOSS) RECEIVED(2) -------------------- ---------- --------- ----- ---------- ---------- ----------- -------------- CONSERVATIVE ALLOCATION FUND MEMBERS Bond Fund Class Y 3,534,383 813,946 87,603 4,260,726 $42,223,799 $ (11,532) $ 644,581 MEMBERS High Income Fund Class Y 2,112,869 939,317 54,090 2,998,096 18,468,273 (73,858) 611,250 MEMBERS International Stock Fund Class Y 1,309,422 280,924 40,883 1,549,463 13,340,877 (370,690) - MEMBERS Large Cap Growth Fund Class Y 966,640 192,102 23,944 1,134,798 13,617,576 (155,292) - MEMBERS Large Cap Value Fund Class Y 738,536 405,021 24,464 1,119,093 10,575,426 (207,987) - ---------------------------------------------------------------------------------------------------------------------------- TOTALS $98,225,951 $(819,359) $1,255,831 BALANCE OF BALANCE OF SHARES SHARES HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS FUND/UNDERLYING FUND 12/31/2008 ADDITIONS SALES 06/30/2009 06/30/2009 GAIN (LOSS) RECEIVED(2) -------------------- ---------- --------- ----- ---------- ---------- ----------- -------------- MODERATE ALLOCATION FUND MEMBERS Bond Fund Class Y 4,203,715 699,417 96,453 4,806,679 $ 47,634,188 $ (15,871) $ 745,218 MEMBERS High Income Fund Class Y 3,744,129 590,931 80,608 4,254,452 26,207,425 (129,097) 931,768 MEMBERS International Stock Fund Class Y 4,532,060 656,009 113,164 5,074,905 43,694,934 (989,642) - MEMBERS Large Cap Growth Fund Class Y 2,616,124 308,164 59,356 2,864,932 34,379,186 (403,366) - MEMBERS Large Cap Value Fund Class Y 2,135,409 513,075 54,656 2,593,828 24,511,675 (453,444) - MEMBERS Mid Cap Growth Fund Class Y(1) 1,698,065 184,440 37,081 1,845,424 8,230,591 (140,931) - MEMBERS Small Cap Growth Fund Class Y(1) 1,063,762 157,264 30,931 1,190,095 6,724,039 (193,011) - MEMBERS Small Cap Value Fund Class Y 958,708 132,180 26,798 1,064,090 7,406,065 (139,375) - ---------------------------------------------------------------------------------------------------------------------------- TOTALS $198,788,103 $(2,464,737) $1,676,986
-------------------------------------------- (1) Non-income producing. (2) Distributions received includes distributions from net investment income and from capital gains from the underlying funds. -------------------------------------------------------------------------------- 115 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) --------------------------------------------------------------------------------
BALANCE OF BALANCE OF SHARES SHARES HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS FUND/UNDERLYING FUND 12/31/2008 ADDITIONS SALES 06/30/2009 06/30/2009 GAIN (LOSS) RECEIVED(2) -------------------- ---------- --------- ----- ---------- ---------- ----------- -------------- AGGRESSIVE ALLOCATION FUND MEMBERS Bond Fund Class Y 261,024 74,129 4,126 331,027 $ 3,280,475 $ (778) $ 48,642 MEMBERS High Income Fund Class Y 646,053 233,909 12,327 867,635 5,344,630 (1,648) 177,669 MEMBERS International Stock Fund Class Y 1,749,982 371,422 24,166 2,097,238 18,057,222 (217,486) - MEMBERS Large Cap Growth Fund Class Y 993,435 206,883 13,092 1,187,226 14,246,717 (92,812) - MEMBERS Large Cap Value Fund Class Y 653,959 167,267 10,656 810,570 7,659,891 (86,327) - MEMBERS Mid Cap Growth Fund Class Y(1) 1,114,917 198,900 13,261 1,300,556 5,800,481 (54,405) - MEMBERS Small Cap Growth Fund Class Y(1) 552,772 141,908 9,190 685,490 3,873,020 (57,915) - MEMBERS Small Cap Value Fund Class Y 555,395 119,653 8,044 667,004 4,642,346 (41,448) - ---------------------------------------------------------------------------------------------------------------------------- TOTALS $62,904,782 $(552,819) $226,311 BALANCE OF BALANCE OF SHARES SHARES HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS FUND/UNDERLYING FUND 12/31/2008 ADDITIONS SALES 06/30/2009 06/30/2009 GAIN (LOSS) RECEIVED(2) -------------------- ---------- --------- ----- ---------- ---------- ----------- -------------- TARGET RETIREMENT 2020 FUND MEMBERS Bond Fund Class Y 58,219 26,164 2,985 81,398 $ 806,653 $ (417) $11,335 MEMBERS High Income Fund Class Y 143,471 63,512 6,714 200,269 1,233,655 (7,012) 40,191 MEMBERS International Stock Fund Class Y 98,160 43,126 5,355 135,931 1,170,367 (9,935) - MEMBERS Large Cap Growth Fund Class Y 98,175 38,978 4,971 132,182 1,586,180 (29,858) - MEMBERS Large Cap Value Fund Class Y 69,828 41,334 4,095 107,067 1,011,782 (27,663) - MEMBERS Small Cap Value Fund Class Y 44,142 19,851 2,564 61,429 427,548 (3,956) - ---------------------------------------------------------------------------------------------------------------------------- TOTALS $6,236,185 $(78,841) $51,526
-------------------------------------------- (1) Non-income producing. (2) Distributions received includes distributions from net investment income and from capital gains from the underlying funds. -------------------------------------------------------------------------------- 116 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) --------------------------------------------------------------------------------
BALANCE OF BALANCE OF SHARES SHARES HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS FUND/UNDERLYING FUND 12/31/2008 ADDITIONS SALES 06/30/2009 06/30/2009 GAIN (LOSS) RECEIVED(2) -------------------- ---------- --------- ----- ---------- ---------- ----------- -------------- TARGET RETIREMENT 2030 FUND MEMBERS Bond Fund Class Y 25,786 31,970 843 56,913 $ 564,008 $ (106) $ 6,696 MEMBERS High Income Fund Class Y 102,867 78,383 2,728 178,522 1,099,697 (3,015) 34,276 MEMBERS International Stock Fund Class Y 105,380 61,106 2,837 163,649 1,409,021 (3,359) - MEMBERS Large Cap Growth Fund Class Y 90,852 42,364 2,347 130,869 1,570,431 (13,556) - MEMBERS Large Cap Value Fund Class Y 64,790 35,642 1,850 98,582 931,599 (11,565) - MEMBERS Small Cap Value Fund Class Y 47,441 24,670 1,305 70,806 492,810 (1,155) - ---------------------------------------------------------------------------------------------------------------------------- TOTALS $6,067,566 $(32,756) $40,972 BALANCE OF BALANCE OF SHARES SHARES HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS FUND/UNDERLYING FUND 12/31/2008 ADDITIONS SALES 06/30/2009 06/30/2009 GAIN (LOSS) RECEIVED(2) -------------------- ---------- --------- ----- ---------- ---------- ----------- -------------- TARGET RETIREMENT 2040 FUND MEMBERS Bond Fund Class Y 27,282 16,627 580 43,329 $ 429,390 $ (93) $5,868 MEMBERS International Stock Fund Class Y 91,980 54,142 2,068 144,054 1,240,301 (3,843) - MEMBERS Large Cap Growth Fund Class Y 72,598 39,683 1,506 110,775 1,329,297 (9,260) - MEMBERS Large Cap Value Fund Class Y 51,685 32,676 1,237 83,124 785,523 (8,432) - MEMBERS Small Cap Value Fund Class Y 42,548 25,972 1,005 67,515 469,901 (1,612) - ---------------------------------------------------------------------------------------------------------------------------- TOTALS $4,254,412 $(23,240) $5,868
-------------------------------------------- (1) Non-income producing. (2) Distributions received includes distributions from net investment income and from capital gains from the underlying funds. -------------------------------------------------------------------------------- 117 ================================================================================ OTHER INFORMATION (UNAUDITED) -------------------------------------------------------------------------------- FUND EXPENSES PAID BY SHAREHOLDERS As a shareholder of the Funds, you pay no transaction costs, but do incur ongoing costs which include management fees; disinterested trustee fees; brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments; costs of borrowing money; expenses for independent audits, taxes, and extraordinary expenses as approved by a majority of the disinterested trustees. The examples in the table that follows are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The examples below are based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended June 30, 2009. Expenses paid during the period in the table below are equal to the fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half fiscal year period). ACTUAL EXPENSES The table below provides information about actual account values using actual expenses and actual returns for the Funds. You may use the information in this table, 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 table for the fund you own under the heading entitled "Actual" to estimate the expenses you paid on your account during this period.
CLASS I CLASS II(1) ---------------------------------------------------- ------------------------------------ EXPENSES EXPENSES BEGINNING ENDING ANNUAL PAID ENDING ANNUAL PAID ACCOUNT ACCOUNT EXPENSE DURING ACCOUNT EXPENSE DURING FUND VALUE VALUE RATIO PERIOD VALUE RATIO PERIOD ---- ----- ----- ----- ------ ----- ----- ------ Conservative Allocation $1,000 $1,052.30 .32% $1.63 $1,036.90 .58% $0.99 Moderate Allocation 1,000 1,058.30 .32% 1.63 1,043.90 .57% 0.97 Aggressive Allocation 1,000 1,077.10 .32% 1.65 1,054.70 .57% 0.98 Money Market 1,000 1,000.00 .34% 1.69 1,000.00 .17% 0.28 Bond 1,000 1,026.70 .57% 2.86 1,018.80 .82% 1.38 High Income 1,000 1,171.00 .77% 4.14 1,025.80 1.02% 1.73 Diversified Income 1,000 998.80 .72% 3.57 1,033.30 .96% 1.63 Large Cap Value 1,000 966.00 .62% 3.02 1,044.20 .86% 1.47 Large Cap Growth 1,000 1,147.40 .82% 4.37 1,050.90 1.06% 1.82 Mid Cap Value 1,000 1,036.10 1.02% 5.15 1,026.50 1.25% 2.12 Mid Cap Growth 1,000 1,211.90 .87% 4.77 1,039.10 1.11% 1.89 Small Cap Value 1,000 1,024.60 1.12% 5.62 1,026.00 1.36% 2.30 Small Cap Growth 1,000 1,003.60 1.12% 5.56 1,012.90 1.34% 2.25 Global Securities 1,000 994.50 .97% 4.80 1,086.70 1.21% 2.11 International Stock 1,000 1,062.10 1.22% 6.24 1,099.90 1.45% 2.54 Target Retirement 2020 1,000 1,091.50 .42% 2.18 1,051.40 .66% 1.13 Target Retirement 2030 1,000 1,096.20 .42% 2.18 1,054.50 .66% 1.13 Target Retirement 2040 1,000 1,094.60 .42% 2.18 1,058.10 .66% 1.14
(1) Commenced investment operations on May 1, 2009. -------------------------------------------------------------------------------- 118 ================================================================================ OTHER INFORMATION (UNAUDITED) -------------------------------------------------------------------------------- HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The table also provides information about hypothetical account values and hypothetical expenses based on the Funds' actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds' actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare the 5% hypothetical example of the funds you own with the 5% hypothetical examples that appear in the shareholder reports of other similar funds.
CLASS I CLASS II(1) ---------------------------------------------------- ------------------------------------ EXPENSES EXPENSES BEGINNING ENDING ANNUAL PAID ENDING ANNUAL PAID ACCOUNT ACCOUNT EXPENSE DURING ACCOUNT EXPENSE DURING FUND VALUE VALUE RATIO PERIOD VALUE RATIO PERIOD ---- ----- ----- ----- ------ ----- ----- ------ Conservative Allocation $1,000 $1,023.21 .32% $1.61 $1,007.39 .58% $0.97 Moderate Allocation 1,000 1,023.21 .32% 1.61 1,007.40 .57% 0.96 Aggressive Allocation 1,000 1,023.21 .32% 1.61 1,007.40 .57% 0.96 Money Market 1,000 1,023.11 .34% 1.71 1,008.07 .17% 0.29 Bond 1,000 1,021.97 .57% 2.86 1,006.99 .82% 1.38 High Income 1,000 1,020.98 .77% 3.86 1,006.65 1.02% 1.71 Diversified Income 1,000 1,021.22 .72% 3.61 1,006.75 .96% 1.61 Large Cap Value 1,000 1,021.72 .62% 3.11 1,006.92 .86% 1.44 Large Cap Growth 1,000 1,020.73 .82% 4.11 1,006.58 1.06% 1.78 Mid Cap Value 1,000 1,019.74 1.02% 5.11 1,006.27 1.25% 2.10 Mid Cap Growth 1,000 1,020.48 .87% 4.36 1,006.50 1.11% 1.86 Small Cap Value 1,000 1,019.24 1.12% 5.61 1,006.08 1.36% 2.28 Small Cap Growth 1,000 1,019.24 1.12% 5.61 1,006.12 1.34% 2.25 Global Securities 1,000 1,019.98 .97% 4.86 1,006.33 1.21% 2.03 International Stock 1,000 1,018.74 1.22% 6.11 1,005.93 1.45% 2.43 Target Retirement 2020 1,000 1,022.71 .42% 2.11 1,007.25 .66% 1.11 Target Retirement 2030 1,000 1,022.71 .42% 2.11 1,007.25 .66% 1.11 Target Retirement 2040 1,000 1,022.71 .42% 2.11 1,007.25 .66% 1.11
(1) Commenced investment operations on May 1, 2009. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any separate account fees, charges, or expenses imposed by the variable annuity or variable life insurance contracts, or retirement and pension plans that use the funds. The information provided in the hypothetical example table is useful in comparing ongoing fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these fees, charges or expenses were included, your costs would have been higher. AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available to shareholders at no cost on the SEC's website at www.sec.gov. Form N-Q may also be reviewed and copied at the Commission's Public Reference Room in Washington, DC. More information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. PROXY VOTING POLICIES, PROCEDURES AND RECORDS A description of the policies and procedures used by the Trust to vote proxies related to portfolio securities is available to shareholders at no cost on the SEC's website at www.sec.gov or by calling CUNA Mutual Insurance Society at 1-800-798-5500. The proxy voting records for the Trust for the most recent twelve-month period ended June 30 are available to shareholders at no cost on the SEC's website at www.sec.gov. -------------------------------------------------------------------------------- 119 ================================================================================ OTHER INFORMATION (UNAUDITED) -------------------------------------------------------------------------------- BOARD APPROVAL OF INVESTMENT ADVISORY AND SUBADVISORY AGREEMENTS MEMBERS Capital Advisors, Inc. ("MCA"), the Trust's investment advisor prior to June 30, 2009, CUNA Mutual Insurance Society ("CMIS"), MCA's parent company, and certain of their affiliates, entered into an agreement with Madison Investment Advisors, Inc., and certain of its affiliates, under which (among other things) a subsidiary of Madison Investment Advisors, Inc., Madison Asset Management, LLC ("Madison"), would become the investment advisor to the Ultra Series Fund, subject to shareholder approval (the "Transaction"). The Transaction was approved by Trust shareholders on June 25, 2009 (see "Proxy Voting Results" below). The Board approved the proposed investment advisory agreement and investment subadvisory agreements with Madison at an in-person meeting held on April 15, 2009. Prior to that meeting, the Board met several times, including with personnel of MCA and Madison Investment Advisors, Inc., to discuss the Proposed Transaction. The Board requested and received information from MCA and Madison regarding the Proposed Transaction and Madison. In taking these steps, the Independent Trustees were assisted by, and consulted privately with, independent counsel to the Independent Trustees. The Board considered that the proposed investment subadvisory agreements were substantially similar, except as noted, to the current investment subadvisory agreements the Board had previously approved on December 5, 2008. In connection with that approval, Board reviewed the performance of each subadvisor of each Fund at each regular Board meeting, including appropriate comparative information. At those meetings, the Board also received updates concerning the investment strategies being pursued by the Funds, changes in the Funds' investment processes and portfolio management personnel, the expenses incurred by the Funds, and various other matters which may impact the Funds' performance and that of the Funds' investment subadvisors. In addition, before the December 2008 meeting, the Board asked the subadvisors to provide written information addressing factors to be considered by the Board in deciding whether or not to approve the agreements. Before the December 2008 meeting, the Board and counsel also asked the subadvisors to expand upon certain of the written information they had provided, and they held a conference call with representatives of the investment advisor to discuss the information provided. At the December 2008 meeting, representatives of each subadvisor made presentations and responded to follow-up questions from the Board. After these presentations and discussions, the Board (including a majority of Independent Trustees) unanimously approved the current subadvisory agreements. Last, at the April 2009 meeting, the Board requested and received updated information regarding the subadvisors. Counsel to the Independent Trustees also provided the Board with a memorandum reviewing its duties under the 1940 Act with respect to approval of the agreements. In approving the proposed investment advisory and investment subadvisory agreements, the Board considered a number of factors, including those discussed below. NATURE, EXTENT AND QUALITY OF SERVICES TO BE PROVIDED BY MADISON AND THE SUBADVISORS: The Board received and considered a variety of information pertaining to the nature, extent and quality of the services to be provided by Madison and the subadvisors. The Board noted that, except with respect to Mr. Meier and Mr. Powell, the portfolio managers and, except with respect to the Mid Cap Value and Mid Cap Growth Funds, the subadvisors currently managing the Funds' portfolios were expected to continue to do so. Madison provided information on the professional qualifications and experience of its portfolio management teams; organization, resources and research capabilities; compliance, regulatory and litigation experience, portfolio transaction execution and soft dollar policies and practices, and policies and procedures for allocating transactions among accounts. After reviewing this information and discussing it with representatives of Madison, the Board concluded that it was satisfied with the nature, extent and quality of the services to be provided by Madison. INVESTMENT PERFORMANCE: The Board received information regarding the composite performance of Madison. It also noted that most of the Funds were expected to continue to be managed by the same portfolio managers and/or subadvisors, and have access to Madison's additional investment personnel and resources. Based on the foregoing reviews, the Board concluded that the investment experience of Madison and the proposed Fund management teams was satisfactory. COST OF SERVICES PROVIDED AND PROFITABILITY: The Board noted that the proposed management fees were those that had previously been approved by the Board at its December 5, 2008 meeting. In addition, Madison had agreed to enter into a limited services agreement that, when taken with the proposed investment advisory agreement, would have the effect, for two years following the closing of the Proposed Transaction, of capping most fees and expenses of the Funds to no more than the amount incurred (as a percentage of assets) by the Funds for the fiscal year ended December 31, 2008. In this regard, the Board determined that no undue burden would be imposed on shareholders as a result of the appointment of Madison as investment advisor. -------------------------------------------------------------------------------- 120 ================================================================================ OTHER INFORMATION (UNAUDITED) -------------------------------------------------------------------------------- The Board considered that Madison Investment Advisors, Inc. and its affiliates manage certain other mutual funds with similar investment objectives or principal investment strategies as the Funds for a lower management fee. The Board also noted that the investment advisor, not the Funds, pays the subadvisors' fees. The Board noted that to the extent a Fund invests in other mutual funds also managed by the investment advisor, the investment advisor receives investment advisory fees from both the Fund and the underlying mutual fund. The Board was satisfied in this regard that the investment advisor provides separate services to each of the Fund and the underlying mutual fund in exchange for the fees received from it. Finally, the Board recognized that the unprecedented recent declines in worldwide stock markets had a corresponding effect on total Fund assets. As a result, the amount of compensation and fees paid by the Funds for their management under the proposed investment advisory agreement was expected to be considerably lower than they had been in the recent periods. Based on all this information, the Board concluded that the proposed management fees and total expenses borne by the Funds are reasonable in relation to the services provided, and that the investment advisor's level of profitability from its investment advisory agreement with the Funds is well within reason. ECONOMIES OF SCALE: The Board had previously received information concerning how large a Fund must be before it realized economies of scale. The Board also considered that the management fee breakpoint schedule in place for most of the Funds, which was previously approved, would continue. In that regard, the Board believed that proposed investment advisory agreement provides a reasonable sharing, as between the investment advisor and Fund shareholders, of the economies of scale that would exist at higher asset levels. OTHER BENEFITS TO MADISON AND THE SUBADVISORS FROM A RELATIONSHIP WITH THE FUNDS: The Board also considered the nature and extent of other benefits that may flow to Madison from its relationship with the Funds. As discussed above, the Board noted that Madison would receive two levels of fees from the Funds that invest in other Funds. However, the Board was satisfied that Madison would provide separate services for the two layers of fees paid in such instances. The Board also considered that Madison may subcontract its non-advisory services to third parties for lower fees than those paid to Madison by the Funds for those services. In that regard, Madison may increase its overall profitability in connection with the services it provides to the Funds. The Board also noted that Madison expected to and that some of the subadvisors do execute a portion of the Funds' portfolio transactions on a "soft dollar" basis, pursuant to which they would receive research services from or through the executing brokers. In connection with each regular Board meeting, the Board intends to review the quality of execution of the portfolio transactions executed by Madison on behalf of the Funds. Finally, the Board noted Madison and each subadvisor intends to seek to achieve "best execution" in executing all of the Funds' portfolio transactions, and that it represents its soft dollar practices comply with applicable law. Based on these reviews, the Board was satisfied with the expected quality of execution of the Funds' portfolio transactions, and it did not believe the soft dollar benefits to be received by Madison or the subadvisors would be excessive, although the Board intends to monitor this. Based on the foregoing information, the Board concluded that while additional benefits may flow to Madison and each subadvisor from its relationships with the Funds, the nature and extent of these additional benefits are not unreasonable when considered in the context of the overall services to be provided to the Funds by Madison and the subadvisors, and fees to be received from the Funds by Madison. MADISON OVERSIGHT OF SUBADVISORS: The Board further considered the ability of Madison to supervise each subadvisor's management of the applicable Funds. The Board concluded that Madison has or will have sufficient resources and expertise to provide oversight of the subadvisors to the Funds. CONSIDERATION OF THE PROPOSED TRANSACTION: The Board also considered the terms of the Proposed Transaction between Madison Investment Advisors, Inc. and Madison, on one hand, and CMIS and MCA, on the other. Under these terms, CMIS will receive cash payments over a period of six years and, in addition, will receive a percentage of ongoing revenues of Madison net of subadvisory and certain other fees. In addition, the Funds will continue to be distributed through CUNA Brokerage Services, Inc.'s networking arrangements with the credit unions CMIS serves, and CMIS will have certain governance rights over Madison with respect to limited Fund matters. Madison recommended Mr. Blake, Ms. Frank, Mr. Imhoff and Mr. Wheeler as new Trustees of the Trust, although the Independent Trustees made their own decision to nominate these individuals to shareholders. -------------------------------------------------------------------------------- 121 ================================================================================ OTHER INFORMATION (UNAUDITED) -------------------------------------------------------------------------------- Also, the Board considered the ability of Madison Investment Advisors, Inc. to make the required cash payments and the potential impact of these cash-payment requirements on the financial flexibility of Madison Investment Advisors, Inc. and Madison. The Board also considered the incentive CMIS and MCA had to recommend Madison as the Funds' new investment advisor, in light of the payments CMIS will receive if Madison is approved. In addition, the Board considered representations by CMIS and MCA to the effect that they intend to focus their efforts on core strategic businesses, leading them to seek alternative strategies for the management of the Funds. The Board considered information provided by CMIS and MCA concerning the alternative strategies and the impact they might have on Fund shareholders. The Board concluded that, although CMIS and MCA had an incentive to recommend Madison as the Funds' new investment advisor, the proposed arrangements between Madison and the Funds nevertheless should be advantageous to Fund shareholders, and are reasonable in light of CMIS' and MCA's representations. OTHER CONSIDERATIONS: The Board also considered CMIS' agreement to purchase, at its own expense, so-called "tail" coverage for the Trustees under the Trust's current directors' liability insurance policy. In addition, Madison acknowledged that the expense of a new liability insurance policy covering only the Independent Trustees would be included in the expenses it will pay under the proposed investment advisory and services fee structure. Further, CMIS has agreed to indemnify the current Independent Trustees to the extent their right of indemnification from the Trusts becomes practically unavailable or is denied in connection with the Proposed Transaction, subject to the terms of an indemnification agreement. BOARD CONCLUSION: After taking the foregoing information and the other information provided by Madison into account, the Board (including a majority of Independent Trustees), acting in the exercise of its business judgment, unanimously approved the proposed investment advisory and investment subadvisory agreements. PROXY VOTING RESULTS A special meeting of shareholders was held on June 25, 2009 at which shareholders of the Trust, and each of the series noted below, voted on the following proposals, the results of which are described below. Proposal 1.a To elect Philip E. Blake to the Board of Trustees of the Trust to serve until his successor has been duly elected and qualified or until his retirement, resignation, death or removal. FOR AGAINST ABSTAIN --- ------- ------- 96.934% 1.426% 1.640% Proposal 1.b To elect Katherine L. Frank to the Board of Trustees of the Trust to serve until her successor has been duly elected and qualified or until her retirement, resignation, death or removal. FOR AGAINST ABSTAIN --- ------- ------- 96.893% 1.332% 1.775% Proposal 1.c To elect James R. Imhoff, Jr. to the Board of Trustees of the Trust to serve until his successor has been duly elected and qualified or until his retirement, resignation, death or removal. FOR AGAINST ABSTAIN --- ------- ------- 96.419% 1.828% 1.754% Proposal 1.d To elect Lorence D. Wheeler to the Board of Trustees of the Trust to serve until his successor has been duly elected and qualified or until his retirement, resignation, death or removal. FOR AGAINST ABSTAIN --- ------- ------- 96.882% 1.467% 1.651% -------------------------------------------------------------------------------- 122 ================================================================================ OTHER INFORMATION (UNAUDITED) -------------------------------------------------------------------------------- Proposal 2. To approve an investment advisory agreement by and between the Trust, on behalf of each of the Funds, and Madison Asset Management, LLC.
FUND FOR AGAINST ABSTAIN ---- --- ------- ------- Conservative Allocation 95.839% 2.861% 1.300% Moderate Allocation 94.282% 3.169% 2.549% Aggressive Allocation 98.743% 1.051% 0.207% Money Market 98.610% 1.175% 0.214% Bond 98.303% 0.682% 1.015% High Income 98.009% 0.714% 1.277% Diversified Income 96.401% 1.560% 2.040% Large Cap Value 96.694% 1.685% 1.621% Large Cap Growth 97.646% 1.137% 1.217% Mid Cap Value 96.875% 1.712% 1.412% Mid Cap Growth 98.019% 1.050% 0.931% Small Cap Value 100.000% 0.000% 0.000% Small Cap Growth 100.000% 0.000% 0.000% Global Securities 96.870% 1.784% 1.346% International Stock 95.194% 2.063% 2.743% Target Retirement 2020 98.646% 0.845% 0.509% Target Retirement 2030 99.718% 0.145% 0.137% Target Retirement 2040 99.163% 0.619% 0.218%
Proposal 3. To amend and restate the fundamental investment restriction regarding the ability of each Fund to borrow.
FUND FOR AGAINST ABSTAIN ---- --- ------- ------- Conservative Allocation 96.970% 2.596% 0.434% Moderate Allocation 89.747% 5.724% 4.529% Aggressive Allocation 98.416% 1.378% 0.207% Money Market 97.744% 1.553% 0.703% Bond 95.874% 3.119% 1.007% High Income 96.614% 2.180% 1.206% Diversified Income 95.896% 2.202% 1.902% Large Cap Value 96.138% 2.486% 1.377% Large Cap Growth 97.171% 1.854% 0.975% Mid Cap Value 96.266% 2.448% 1.286% Mid Cap Growth 97.407% 1.678% 0.914% Small Cap Value 97.410% 2.494% 0.096% Small Cap Growth 97.174% 2.588% 0.237% Global Securities 94.946% 4.150% 0.904% International Stock 95.022% 2.638% 2.339% Target Retirement 2020 98.282% 1.209% 0.509% Target Retirement 2030 99.659% 0.204% 0.137% Target Retirement 2040 97.187% 2.595% 0.218%
-------------------------------------------------------------------------------- 123 ================================================================================ OTHER INFORMATION (UNAUDITED) -------------------------------------------------------------------------------- Proposal 4.a To approve manager of managers authority.
FUND FOR AGAINST ABSTAIN ---- --- ------- ------- Conservative Allocation 96.426% 3.123% 0.451% Moderate Allocation 92.907% 4.280% 2.813% Aggressive Allocation 98.531% 1.263% 0.207% Money Market 98.329% 1.551% 0.120% Bond 97.655% 0.965% 1.380% High Income 97.567% 1.121% 1.312% Diversified Income 95.766% 2.204% 2.030% Large Cap Value 96.519% 1.982% 1.499% Large Cap Growth 97.583% 1.315% 1.102% Mid Cap Value 96.844% 1.844% 1.312% Mid Cap Growth 97.887% 1.195% 0.918% Small Cap Value 100.000% 0.000% 0.000% Small Cap Growth 100.000% 0.000% 0.000% Global Securities 96.630% 1.971% 1.399% International Stock 95.251% 1.979% 2.769% Target Retirement 2020 98.646% 0.845% 0.509% Target Retirement 2030 99.718% 0.145% 0.137% Target Retirement 2040 98.987% 0.795% 0.218%
Proposal 4.b To approve a subadvisory agreement between Madison Asset Management, LLC and Shenkman Capital Management, Inc. with respect to the High Income Fund. FOR AGAINST ABSTAIN --- ------- ------- 97.479% 0.911% 1.610% Proposal 4.c To approve a subadvisory agreement between Madison Asset Management, LLC and Wellington Management Company LLP with respect to the Small Cap Value Fund. FOR AGAINST ABSTAIN --- ------- ------- 99.904% 0.000% 0.096% Proposal 4.d To approve a subadvisory agreement between Madison Asset Management, LLC and Paradigm Asset Management, LLC with respect to the Small Cap Growth Fund. FOR AGAINST ABSTAIN --- ------- ------- 99.763% 0.000% 0.237% Proposal 4.e To approve a subadvisory agreement between Madison Asset Management, LLC and Mondrian Investment Partners Limited with respect to the Global Securities Fund. FOR AGAINST ABSTAIN --- ------- ------- 95.747% 2.322% 1.932% Proposal 4.f To approve a subadvisory agreement between Madison Asset Management, LLC and Lazard Asset Management, LLC with respect to the International Stock Fund. FOR AGAINST ABSTAIN --- ------- ------- 95.201% 2.137% 2.662% -------------------------------------------------------------------------------- 124 ================================================================================ -------------------------------------------------------------------------------- This page is left blank intentionally -------------------------------------------------------------------------------- 125 ================================================================================ -------------------------------------------------------------------------------- This page is left blank intentionally -------------------------------------------------------------------------------- 126 ================================================================================ -------------------------------------------------------------------------------- This page is left blank intentionally -------------------------------------------------------------------------------- 127 [LOGO OF CUNA MUTUAL GROUP](R) CUNA MUTUAL GROUP -------------------------------------------------- CUNA Mutual Insurance Society 2000 Heritage Way Waverly, IA 50677 Form 1950-0809 SEC File Number 811-04815 Item 2. Code of Ethics. Not applicable in semi-annual report. Item 3. Audit Committee Financial Expert. Not applicable in semi-annual report. Item 4. Principal Accountant Fees and Services. Not applicable in semi-annual report. Item 5. Audit Committee of Listed Registrants. Not applicable. Item 6. Schedule of Investments Included in report to shareholders (Item 1) above. Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. Not applicable. Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable. Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers Not applicable. Item 10. Submission of Matters to a Vote of Security Holders. Included in report to shareholders (Item 1) above. Otherwise, no changes. The Trust does not normally hold shareholder meetings. Item 11. Controls and Procedures. (a) The Trust's principal executive officer and principal financial officers determined that the Trust's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) are effective, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 within 90 days of the date of this report. There were no significant changes in the Trust's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation. The officers identified no significant deficiencies or material weaknesses. The officers recognized that there was a change in the Trust's investment adviser from MEMBERS Capital Advisors, Inc. to Madison Asset Management, LLC effective July 1, 2009, which included a change in the principal executive officer and the addition of a second principal financial officer. However, the officers determined that such changes did not materially change the Trust's disclosure controls and procedures other than the manner by which they are and will be documented going forward. (b) There were no changes in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting. Item 12. Exhibits. (a)(1) Code of ethics referred to in Item 2. The code was amended and restated effective July 1, 2009. (a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Act. (b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Act. 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. Ultra Series Fund By: (signature) Holly Baggot, Secretary and Principal Financial Officer Date: August 27, 2009 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By: (signature) Katherine L. Frank, Principal Executive Officer Date: August 27, 2009 By: (signature) Greg Hoppe, Principal Financial Officer Date: August 27, 2009