N-CSRS 1 c16805nvcsrs.txt CERTIFIED SHAREHOLDER REPORT As filed with the Securities and Exchange Commission on August 28, 2007 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act File No. 811-04815 Ultra Series Funds 5910 Mineral Point Road Madison, WI 53705 (608) 238-5851 (Registrant's Exact Name, Address and Telephone Number) Pamela M. Krill, Esq. Vice President CUNA Mutual Group 5910 Mineral Point Road Madison, WI 53705 (Name and Address of Agent for Service) Copy to: Stephen E. Roth, Esq. Sutherland Asbill & Brennan LLP 1275 Pennsylvania Avenue, N.W. Washington, D.C. 20004-2415 ---------- Date of Fiscal Year End: December 31, 2007 Date of Reporting Period: June 30, 2007 ITEM 1. REPORTS TO STOCKHOLDERS A copy of the report transmitted on August 31, 2007 to stockholders of the Ultra Series Fund (also referred to herein as the "Registrant" or the "Trust"), pursuant to Rule 30e-1 under the Investment Company Act of 1940, appears beginning on the following page. SEMIANNUAL REPORT FOR PERIOD ENDED JUNE 30, 2007 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, and International Stock Funds of the Ultra Series Fund DISTRIBUTED BY: CUNA Brokerage Services, Inc. Office of Supervisory Jurisdiction 2000 Heritage Way Waverly, IA 50677 Member NASD & SIPC TELEPHONE: (319) 352-4090 (800) 798-5500 (MEMBERS LOGO) 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 Ultra Vers-ALL LIFE(SM) 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 This booklet contains a semiannual report for the Ultra Series Fund for our family of MEMBERS(R) Variable Annuity and MEMBERS(R) Variable Universal Life contracts. The Ultra Series Fund is the underlying mutual fund family supporting the subaccounts of the CUNA Mutual Life Variable Account and CUNA Mutual Life Variable Annuity Account. The Ultra Series Fund includes the 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, International Stock, and Global Securities Funds. If you own a MEMBERS(R) Variable Universal Life or Ultra Vers-ALL LIFE(SM) policy, as you refer to the semiannual report for the Ultra Series Fund, the funds available on your policy are the Mid Cap Growth Fund, Large Cap Growth Fund, Large Cap Value Fund, Diversified Income Fund, Bond Fund, and Money Market Fund. If you own a MEMBERS(R) Variable Annuity I, MEMBERS(R) Variable Annuity II, MEMBERS(R) Choice Variable Annuity, MEMBERS(R) Variable Annuity III, or MEMBERS(R) Variable Universal Life II policy, as you refer to the semiannual report for the Ultra Series Fund, the funds available on your policy are the 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 and International Stock Funds. Nothing in this report represents a recommendation of a security by the investment adviser. Manager views and portfolio holdings may have changed since the date of this report. For more complete information, including charges and expenses, obtain a prospectus from your representative or call the Home Office at 1-800-798-5500, Monday through Friday, 7:00 a.m. to 8:00 p.m. Consider the investment objectives, risks and charges and expenses of the investment carefully before investing. As with all mutual funds, the Securities and Exchange Commission has not approved or disapproved the shares of these funds, nor does the Commission guarantee the accuracy or adequacy of the prospectus. Any statement to the contrary is a criminal offense. LETTER TO SHAREHOLDERS -------------------------------------------------------------------------------- (MARKS PHOTO) DAVID P. MARKS -------------------------------------------------------------------------------- Dear Investor: In 2006, your funds generated solid absolute and competitive performance across a broad range of portfolios. We also launched three "life-style" or allocation funds to meet the specific needs of members that would like the asset allocation decision left in the hands of professional investors based upon three different styles -- aggressive, moderate, and conservative. We sometimes alter our short-term asset allocations of the "life-style funds" in response to the changing investment markets to take advantage of perceived opportunities. Those changes are not, however, substantially counter to our view of the optimal long-term allocations to reflect an investor's risk appetite and investment goals. In 2007, we have added additional talent to the analytic team, built and are utilizing a state-of-the-art trading room and have also added small cap value and small cap growth alternatives. Peer performance through June 2007 was very good in some of our funds, but disappointing in others, although absolute results were generally positive. I feel good that all four of the equity funds that were furthest behind have made good progress in the last few months. The attached report provides summaries of the activities and performance of each of the Ultra Series Funds, as well as the investments within each fund. We remain committed to your long-term investment success and appreciate the opportunity to serve not only Ultra Series Fund investors, but the entire credit union system. Please do not hesitate to contact me directly if you have any questions. Sincerely, /s/ DAVID P. MARKS David P. Marks, CFA President Not part of the Semiannual Report. ------------------------------------------------------------------------------- SUMMARY OF ECONOMIC AND FINANCIAL MARKET CONDITIONS U.S. ECONOMY The U.S. economy slowed in the six-month period ended June 30, 2007. Growth was below what the U.S. Federal Reserve believes to be its long-term potential expansion rate of 2.75%, with real GDP estimated to have been just 0.7% in the first quarter and considerably stronger in the second quarter. Consumer spending was generally solid in the first quarter but probably slowed in the second quarter. A deep recession in the housing market, inventory reductions and an unexpected slowdown in capital spending by U.S. corporations detracted from growth in the first quarter while trade and an inventory rebuild helped growth in the second quarter. Manufacturing activity was sluggish as auto-makers cut production and slower new-home construction reduced the demand for building supplies. Commercial construction was perhaps the strongest part of the economy, and it appears that many workers in residential construction have been able to find jobs in commercial construction. The labor market held up well during the period overall and wage growth remained steady. Core (ex-food and energy) inflation receded, but food and energy prices rose significantly. U.S. STOCKS U.S. stocks posted healthy gains over the period as corporate earnings surprised on the up-side. Analysts were forced to revise earnings estimates upwards as companies were able to draw more growth from stronger economies abroad despite the slowdown in the U.S. This may have benefited larger firms with more diverse markets as large-cap stocks out-performed smaller stocks, reversing a seven-year trend. The Dow Jones Industrial Average of mega-cap "blue chips" returned 8.75% during the period while the large-cap S&P 500 Index returned 6.96% and the small-cap Russell 2000(R) Index returned 6.45% U.S. BONDS U.S. bonds posted positive returns but continued to lag their coupons, particularly at longer maturities, as concerns about inflation and hawkish language from the U.S. Federal Reserve led to uncertainty among market participants. The yield curve became significantly less inverted as market participants became more doubtful that short-term interest-rate cuts would occur in 2007. Another factor in the rise in long-term bond yields may have been the steady upward drift of yields elsewhere in the world as central banks globally hiked rates, making U.S. yields less attractive. Fraud or loose practices among lenders and borrowers during the height of the housing boom resulted in a crisis in the market for subprime loans that heavily impacted segments of the bond market. High-yield corporate bonds continued to out-perform investment-grade issues as corporate earnings and balance sheets remained solid although hints of risk-aversion among credit investors began to appear in June. INTERNATIONAL ECONOMIES AND FINANCIAL MARKETS Economic growth was surprisingly strong in Europe and positive in Japan. The emerging Asian boom persisted, with both the Chinese and Indian economies growing in the high single digits. The relative weakness of the U.S. economy led to a decline in the relative value of the U.S. dollar, which strengthened the returns of international stocks for U.S. investors. The MSCI EAFE Index, which represents developed markets, returned 11.09% while the MSCI Emerging Markets Index returned 17.75%. Not part of the Semiannual Report. ------------------------------------------------------------------------------- TABLE OF CONTENTS
PAGE ---- FUND PERFORMANCE REVIEWS Conservative Allocation Fund....................... 2 Moderate Allocation Fund........................... 4 Aggressive Allocation Fund......................... 6 Bond Fund.......................................... 8 High Income Fund................................... 10 Diversified Income Fund............................ 12 Large Cap Value Fund............................... 14 Large Cap Growth Fund.............................. 16 Mid Cap Value Fund................................. 18 Mid Cap Growth Fund................................ 20 Small Cap Value Fund............................... 22 Small Cap Growth Fund.............................. 24 Global Securities Fund............................. 26 International Stock Fund........................... 28 PORTFOLIOS OF INVESTMENTS Conservative Allocation Fund....................... 30 Moderate Allocation Fund........................... 31 Aggressive Allocation Fund......................... 32 Money Market Fund.................................. 33 Bond Fund.......................................... 34 High Income Fund................................... 40 Diversified Income Fund............................ 47 Large Cap Value Fund............................... 54 Large Cap Growth Fund.............................. 57 Mid Cap Value Fund................................. 60 Mid Cap Growth Fund................................ 65 Small Cap Value Fund............................... 67 Small Cap Growth Fund.............................. 69 Global Securities Fund............................. 73 International Stock Fund........................... 75 FINANCIAL STATEMENTS Statements of Assets and Liabilities............... 82 Statements of Operations........................... 86 Statements of Changes in Net Assets................ 90 Financial Highlights............................... 96 NOTES TO FINANCIAL STATEMENTS............................... 104 OTHER INFORMATION........................................... 113 TRUSTEES AND OFFICERS....................................... 116
NONDEPOSIT INVESTMENT PRODUCTS ARE NOT FEDERALLY INSURED, INVOLVE INVESTMENT RISK, MAY LOSE VALUE AND ARE NOT OBLIGATIONS OF OR GUARANTEED BY THE CREDIT UNION. For more complete information about the Ultra Series Fund, including charges and expenses, request a prospectus from your registered representative or from CUNA Mutual Life Insurance Company, 2000 Heritage Way, Waverly, IA 50677. Consider the investment objectives, risks, and charges and expenses of the investment carefully before investing. The prospectus contains this and other information about the investment company. For more 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. ------------------------------------------------------------------------------- 1 CONSERVATIVE ALLOCATION FUND PERFORMANCE REVIEW For the first half of 2007, the Ultra Series Conservative Allocation Fund provided a return of 2.34%. This was during a period of bond market returns ranging generally from 1% to 3%, and stock market returns in the general area of 8% to 10% for U. S. stock indexes and 10% or more for international stock indexes. The fund's strategic allocation target remains at approximately 66% fixed income investments and 33% equities. Very attractive absolute returns (Class Y Shares at net asset value) were provided by the MEMBERS Mid Cap Growth Fund (+13.67%) and the MEMBERS International Stock Fund (+7.83%) in the equities area, and the MEMBERS High Income Fund (+2.97%) in the fixed income component as these market sectors outperformed. The fund's other investments performed generally in line with their representative markets. Overall, the fund provided a return for this six-month period that is generally in line with what we consider to be typical for a fund of this type over the long-term. The relatively stable and quite favorable market environment we have experienced for some time now is causing some conservative investors to question their investment approach and seek more risky and higher potential return investments. An important axiom of investing is "stability breeds instability." One way this happens is by investors moving into typically more volatile investments during times when volatility is low. When those investments return to their usual patterns, these investors tend to bail out with little regard for price, which amplifies the instability and forces out another tier of investors, etc. So, if you are considering moving to riskier investments, we encourage you to work with your financial advisor to be sure such a move is right for you and is done in a way you will be comfortable with when the more challenging markets return. MEMBERS Capital Advisors, Inc. - Adviser Scott D. Opsal, CFA, Portfolio Manager SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS (PIE CHART) Debt Securities 54% Foreign Securities 5% Alternative Asset Classes 6% Money Market Securities and Other Net Assets 12% Equity Securities 23%
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE(1) Western Asset Intermediate Bond 19.0% Portfolio Dodge & Cox Income Fund 19.0% SSGA Prime Money Market Fund 12.1% MEMBERS Bond Fund, Class Y 11.5% MEMBERS Large Cap Growth Fund, 11.1% Class Y MEMBERS Large Cap Value Fund, 8.4% Class Y Cohen & Steers Institutional 5.7% Realty Shares, Inc. MEMBERS International Stock 5.0% Fund, Class Y MEMBERS High Income Fund, Class 4.6% Y MEMBERS Mid Cap Growth Fund, 3.6% Class Y
(1) Each underlying fund has its own risks and investment strategies. A copy of each underlying fund's financial statements is available at no cost on the EDGAR database on the SEC's website at www.sec.gov. -------------------------------------------------------------------------------- 2 CONSERVATIVE ALLOCATION FUND PERFORMANCE REVIEW CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,4) (LINEGRAPH)
CONSERVATIVE ALLOCATION FUND MERRILL LYNCH U.S. DOMESTIC CONSERVATIVE ALLOCATION FUND CUSTOM INDEX(2) MASTER INDEX(3) ---------------------------- ---------------------------- --------------------------- 6/30/06 10000 10000 10000 6/07 10986 11030 10650
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(4)
Since EXPENSE RATIO(6) Inception(5) Gross Net ------------ ------ ----- CONSERVATIVE ALLOCATION FUND 9.83% 1.01% 0.91% Conservative Allocation Fund Custom Index(2) 10.27% NA NA Merrill Lynch U.S. Domestic Master Index(3) 6.48% NA 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 Conservative Allocation Fund Custom Index consists of 55% Merrill Lynch U.S. Domestic Master Index, 30% Russell 1000(R) Index, and 15% 90-Day U.S. Treasury Bills. A description of the Merrill Lynch U.S. Domestic Master 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 U.S. companies based on total market capitalization. (3) The Merrill Lynch U.S. Domestic Master 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 mutual 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) The fund commenced investment operations on June 30, 2006. The Since Inception index returns are also from June 30, 2006. (6) The expense ratio is based on estimated expenses to be incurred by the fund, as described in the Prospectus, for the fiscal year ending December 31, 2007. If a net figure is disclosed, this reflects the fund's actual expense ratio after taking into account the investment adviser's contractual agreement to reduce its management fees from 0.30% to 0.20% until at least April 30, 2008. -------------------------------------------------------------------------------- 3 MODERATE ALLOCATION FUND PERFORMANCE REVIEW For the first half of 2007, the Ultra Series Moderate Allocation Fund provided a return of 5.19%. This was during a period of bond market returns ranging generally from 1% to 3%, and stock market returns in the general area of 8% to 10% for U. S. stock indexes and 10% or more for international stock indexes. The fund's strategic allocation target remains at approximately 66% equities and 33% fixed income investments. Very attractive absolute returns were provided by the Vanguard Emerging Markets ETF (+18.02%) and the following MEMBERS Funds (Class Y Shares at net asset value): Mid Cap Growth Fund (+13.67%), International Stock Fund (+7.83%), and Mid Cap Value Fund (+8.37%) in the equities area, and the High Income Fund (+2.97%) in the fund's fixed income component as these market sectors outperformed. The fund's other investments performed generally in line with their representative markets. These returns for this six-month period are not annualized, and based on the history of the markets, should not be expected to continue at this pace indefinitely. We expect, however, that the investment markets can continue to provide investors with attractive long-term returns. MEMBERS Capital Advisors, Inc. - Adviser Scott D. Opsal, CFA, Portfolio Manager SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS (PIE CHART) Equity Securities 47% Alternative Asset Classes 4% Money Market Securities and Other Net Assets 6% Foreign Securities 15% Debt Securities 28%
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE(1) MEMBERS International Stock Fund, Class Y 12.5% Western Asset Intermediate Bond Portfolio 11.9% MEMBERS Large Cap Growth Fund, Class Y 11.2% MEMBERS Large Cap Value Fund, Class Y 11.1% MEMBERS Bond Fund, Class Y 10.0% MEMBERS Mid Cap Growth Fund, Class Y 7.9% MEMBERS High Income Fund, Class Y 6.6% SSGA Prime Money Market Fund 5.0% MEMBERS Small Cap Growth Fund, Class Y 4.7% MEMBERS Mid Cap Value Fund, Class Y 4.5% Cohen & Steers Institutional Realty Shares, Inc. 4.5% Columbia Marsico Focused Equities Fund, Class Z 4.4% MEMBERS Small Cap Value Fund, Class Y 3.5% Vanguard Emerging Markets ETF 2.2%
(1) Each underlying fund has its own risks and investment strategies. A copy of each underlying fund's financial statements is available at no cost on the EDGAR database on the SEC's website at www.sec.gov. -------------------------------------------------------------------------------- 4 MODERATE ALLOCATION FUND PERFORMANCE REVIEW CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,4) (LINEGRAPH)
MODERATE ALLOCATION FUND MODERATE ALLOCATION FUND CUSTOM INDEX(2) RUSSELL 1000(R) INDEX(3) ------------------------ ------------------------ ------------------------ 6/30/06 $10,000 $10,000 $10,000 6/07 $11,558 $11,547 $12,021
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(4)
Since EXPENSE RATIO(6) Inception(5) Gross Net ------------ ------ ----- MODERATE ALLOCATION FUND 15.53% 1.21% 1.11% Moderate Allocation Fund Custom Index(2) 15.43% NA NA Russell 1000(R) Index(3) 20.15% NA 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 Moderate Allocation Fund Custom Index consists of 50% Russell 1000(R) Index, 30% Merrill Lynch U.S. Domestic Master Index, 10% MSCI EAFE Index and 10% 90-Day U.S. Treasury Bills. A description of the Russell 1000(R) Index is set forth below. 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. (3) The Russell 1000(R) Index is a large-cap market index which measures the performance of the 1,000 largest U.S. companies based on total market capitalization. (4) Fund returns are calculated after mutual 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) The fund commenced investment operations on June 30, 2006. The Since Inception index returns are also from June 30, 2006. (6) The expense ratio is based on estimated expenses to be incurred by the fund, as described in the Prospectus, for the fiscal year ending December 31, 2007. If a net figure is disclosed, this reflects the fund's actual expense ratio after taking into account the investment adviser's contractual agreement to reduce its management fees from 0.30% to 0.20% until at least April 30, 2008. -------------------------------------------------------------------------------- 5 AGGRESSIVE ALLOCATION FUND PERFORMANCE REVIEWS For the first half of 2007, the Ultra Series Aggressive Allocation Fund provided a net return of 8.42%. This was during a period of stock market returns in the general area of 8% to 10% for U.S. stock indexes and 10% or more for international stock indexes. The fund's strategic allocation target remains at essentially 100% equities (other than a small cushion of liquidity to meet operating needs), but this equity exposure is diversified among nine asset classes (ranging from U. S. large-cap value to international emerging market stocks) and 10 funds, which are managed by seven different investment management firms and 10 different lead managers. So, the fund provides well diversified equity exposure, but only equity exposure; it is not a fully diversified allocation fund of the type that often includes various fixed income asset classes in addition to equities. Very attractive absolute returns were provided by the Vanguard Emerging Markets ETF (+18.02%), MEMBERS Mid Cap Growth Fund (+13.67%), MEMBERS International Stock Fund (+7.83%), and MEMBERS Mid Cap Value Fund (+8.37%) as these market sectors outperformed. (MEMBERS Funds returns shown are Class Y shares at net asset value.) The fund's other investments performed generally in line with their representative markets. These returns for this six-month period are not annualized, and are certainly in the upper range of what can reasonably be expected (based on the history of the markets) from a fund of this nature. We expect, however, that a diversified portfolio of stocks from markets worldwide can continue to provide investors with attractive long-term returns. MEMBERS Capital Advisors, Inc. - Adviser Scott D. Opsal, CFA, Portfolio Manager SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS (PIE CHART) Equity Securities 68% Money Market Securities and Other Net Assets 1% Alternative Asset Classes 2% Foreign Securities 29%
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE(1) MEMBERS International Stock Fund, Class Y 24.1% MEMBERS Large Cap Growth Fund, Class Y 14.3% MEMBERS Large Cap Value Fund, Class Y 14.2% MEMBERS Mid Cap Growth Fund, Class Y 11.3% MEMBERS Mid Cap Value Fund, Class Y 8.5% MEMBERS Small Cap Growth Fund, Class Y 7.6% MEMBERS Small Cap Value Fund, Class Y 7.1% Vanguard Emerging Markets ETF 5.6% Columbia Marsico Focused Equities Fund, Class Z 5.6% Cohen & Steers Institutional Realty Shares 1.6% SSGA Prime Money Market Fund 0.1%
(1) Each underlying fund has its own risks and investment strategies. A copy of each underlying fund's financial statements is available at no cost on the EDGAR database on the SEC's website at www.sec.gov. -------------------------------------------------------------------------------- 6 AGGRESSIVE ALLOCATION FUND PERFORMANCE REVIEW CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,4) (LINEGRAPH)
AGGRESSIVE ALLOCATION FUND AGGRESSIVE ALLOCATION FUND CUSTOM INDEX(2) RUSSELL 3000(R) INDEX(3) -------------------------- -------------------------- ------------------------ 6/30/06 $10,000 $10,000 $10,000 6/07 $12,197 $12,473 $12,003
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(4)
Since EXPENSE RATIO(6) Inception(5) Gross Net ------------ ------ ------ AGGRESSIVE ALLOCATION FUND 21.90% 1.36% 1.26% Aggressive Allocation Fund Custom Index(2) 24.65% NA NA Russell 3000(R) Index(3) 19.97% NA 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 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. (3) 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. (4) Fund returns are calculated after mutual 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) The fund commenced investment operations on June 30, 2006. The Since Inception index returns are also from June 30, 2006. (6) The expense ratio is based on estimated expenses to be incurred by the fund, as described in the Prospectus, for the fiscal year ending December 31, 2007. If a net figure is disclosed, this reflects the fund's actual expense ratio after taking into account the investment adviser's contractual agreement to reduce its management fees from 0.30% to 0.20% until at least April 30, 2008. -------------------------------------------------------------------------------- 7 BOND FUND PERFORMANCE REVIEW The Ultra Series Bond Fund returned -0.17% during the six-month period ended June 30, 2007, underperforming the Merrill Lynch U.S. Domestic Master Index which returned 0.95%. Over the last six months the U.S. economy has remained resilient while showing signs of slowing growth -- GDP has slowed from 2.5% in the fourth quarter of 2006 to 0.7% in the first quarter before rebounding to 3.2% in the second quarter of 2007. Despite the rebound in growth, corporate profits have begun to slow and June saw a significant shift in investor sentiment away from risky assets. Notwithstanding June's risk aversion and a 32 basis point increase in 10 year treasury yields over the first half of 2007, total returns across the major fixed income sectors were positive and both investment grade and high yield corporate bonds posted positive excess return through June. Thus, in total, investor risk tolerance and single name event risk dominated fixed income performance over the first half of 2007. This has proved unfavorable for the Bond Fund as management maintained an underweight position within corporate bonds trying to side-step the "event risk" landmines (companies increasing their financial leverage through share buybacks, leveraged buy-outs and other credit-deteriorating events). Unfortunately, even a cautious stance couldn't prevent credit "blow-ups." Two asset-backed security holdings were infected by the subprime mortgage fallout beginning in late February, lasting through March and resurfacing in June. GSAMP Trust 2006-S5 M5 and Park Place Securities, Inc. 2004-WWF1 M10 declined by 89.5% and 15.9%, respectively over the half year period. Additionally, April saw the unlikely announced leveraged buyout of a financial institution, SLM Corp., or more commonly known as Sallie Mae, and the Fund's position lost 7.4%. In June our portfolio posture of underweighting credit risk proved beneficial and we continue to believe it will benefit performance going forward. Event risk is not going away. We have taken and will continue to take a vigilant stance to protect the fund from such risk. MEMBERS Capital Advisors, Inc. - Adviser Dean "Jack" Call, CFA, Portfolio Manager SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS (PIE CHART) Asset Backed 3% Commercial Mortgage Backed 9% Private Label Mortgage Backed 1% Corporate Notes and Bonds 25% Mortgage Backed 26% U.S. Government and Agency Obligations 30% Asset Backed 3% Cash And Other Net Assets 6%
-------------------------------------------------------------------------------- 8 BOND FUND PERFORMANCE REVIEW CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3) (LINEGRAPH)
MERRILL LYNCH U.S. DOMESTIC MASTER BOND FUND INDEX(2) --------- ---------------------------------- 6/97 $10,000 $10,000 6/98 $10,818 $11,067 6/99 $11,088 $11,408 6/00 $11,486 $11,929 6/01 $12,548 $13,252 6/02 $13,562 $14,391 6/03 $14,666 $15,933 6/04 $14,616 $15,981 6/05 $15,565 $17,095 6/06 $15,420 $16,945 6/07 $16,136 $17,987
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(3)
EXPENSE 1 Year 3 Years 5 Years 10 Years RATIO(4) ---------------------------------------------- -------- BOND FUND 4.65% 3.35% 3.54% 4.90% 0.56% Merrill Lynch U.S. Domestic Master Index(2) 6.15 4.02 4.56 6.04 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 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 mutual 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. (4) The expense ratio is based on expenses incurred by the fund, as described in the Prospectus, as of the fiscal year ended December 31, 2006. -------------------------------------------------------------------------------- 9 HIGH INCOME FUND PERFORMANCE REVIEW The high yield market ended the reporting period on a down note, as a major correction occurred in June. The combination of rising Treasury yields, record tight yield spreads, and continued concerns about the widening meltdown in the subprime mortgage market caused many investors to re-evaluate their appetite for risk. U.S. Treasuries and high grade corporate bonds posted returns of 1.10% and 0.82%, respectively for the six month period, while the Merrill Lynch U.S. High Yield Master II Index posted a return of 3.05%. In this environment, the Ultra Series High Income Fund posted a return of 2.79% during the six-month period ended June 30, 2007. Fundamentals within high yield remain strong with defaults on a pace that would result in the fewest since 1981. Our outlook for default rates continues to be positive in the near-term. Additionally, recent evidence indicates that the private equity buyout binge may be ending. This buying activity has resulted in deal structures deteriorating at a significant rate. In June many high yield managers began to boycott these poorly structured deals. As a result, several transactions were restructured or postponed. During this six-month period, the fund benefited from its underweight in BB rated securities and its good performance in convertible and floating rate securities. The key detractor of performance for the fund for the period was the significant underweight in lower priced (i.e., bonds priced below $90) securities. Typically these securities have greater credit risk and our conservative investment philosophy generally limits the portfolio's weightings of these investments. However, this subcategory in high yield was the best performing sector within the overall high yield market for the six-month period ending June 30, 2007. Most of the selling activity in the portfolio during the quarter was concentrated on issues that had traded to premium levels (i.e., above par). The majority of the portfolio continues to be concentrated in B rated securities that we believe are solid credits. Despite trends to the contrary, we have maintained our disciplined approach to evaluating credit and have continued to invest in companies that we believe are reasonably levered, well-managed, and well-positioned in their respective industries. We believe the era of ultra-low rates and excessively easy credit is coming to an end. High yield investors have been pushed to the wall on structure, and have now pushed back for better terms. Unfortunately, there is still approximately $300 billion of financings that bankers and sponsors have committed to and that will need to be marketed to high yield and bank debt investors over the next several quarters. One key concern is that many of these LBO (Leveraged Buy Out) deals have been bridge financed and will stay on the underwriters' and banks' books until they can re-market them to the high yield and bank debt market. These bridge financings may require banks and Wall Street firms to draw down their capital at the same time that the market encounters choppiness, potentially resulting in less liquidity in the secondary market. However the fundamentals for the market appear to be intact (i.e., growing U.S. economy, low default environment, wider high yield spreads) and there should still be buyers for well-structured and attractively priced deals. If this process can achieve a better balance than exists today, the current market adjustment could be temporary, and the next few months could set the stage for attractive opportunities for high yield investors to capture both higher income and better terms. MEMBERS Capital Advisors, Inc. - Adviser Shenkman Capital Management, Inc - Subadviser Mark R. Shenkman; Frank X. Whitley; Mark R. Flanagan, CPA, CFA; Robert Stricker, CFA; and Steve Schweitzer, Portfolio Managers SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS Gaming 8% Health Care 8% Oil and Gas 8% Support Services 7% Telecommunications 5% Automotive 4% Forestry/Paper 4% Media - Diversified and Services 4% Non Food and Drug Retailers 4% Printing and Publishing 4% Technology 4% Utilities 4% Cash and Other Net Assets 3% Chemicals 3% Consumer Products 3% General Industrial and Manufacturing 3% Media - Cable 3% Beverage/Food 2% Building Materials 2% Environmental 2% Food and Drug Retailers 2% Insurance 2% Metals and Mining 2% Aerospace/Defense 1% Apparel/Textiles 1% Hotels 1% Leisure and Entertainment 1% Media - Broadcasting 1% Packaging 1% Restaurants 1% Steel 1% Transportation 1%
-------------------------------------------------------------------------------- 10 HIGH INCOME FUND PERFORMANCE REVIEW CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3) (LINEGRAPH)
MERRILL LYNCH US HIGH YIELD MASTER II HIGH INCOME FUND INDEX(2) ---------------- ------------------------------------- 10/31/00 $10,000 $10,000 6/01 $10,197 $10,168 6/02 $10,257 $ 9,724 6/03 $11,756 $11,883 6/04 $12,654 $13,095 6/05 $13,785 $14,485 6/06 $14,364 $15,168 6/07 $15,805 $16,949
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(3)
SINCE EXPENSE 1 Year 3 Years 5 Years Inception(4) RATIO(5) -------------------------------------------- -------- HIGH INCOME FUND 10.03% 7.69% 9.03% 7.11% 0.77% Merrill Lynch U.S. High Yield Master II Index(2) 11.75 8.98 11.75 8.17 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 Merrill Lynch U.S. High Yield Master II Index is a commonly used benchmark index for high yield corporate bonds. (3) Fund returns are calculated after mutual 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. For periods prior to February 28, 2005, performance is shown from the previous subadviser, which was replaced by Shenkman Capital Management, Inc. effective February 28, 2005. (4) The fund commenced investment operations on October 31, 2000. The Since Inception index returns are also from October 31, 2000. (5) The expense ratio is based on expenses incurred by the fund, as described in the Prospectus, as of the fiscal year ended December 31, 2006. -------------------------------------------------------------------------------- 11 DIVERSIFIED INCOME FUND PERFORMANCE REVIEW Over the last six months, the U.S. economy has remained resilient, but was showing signs of fatigue by the end of the second quarter. Despite slowing growth, corporate profits remained strong and investors maintained their appetite for risk. In this environment, the Diversified Income Fund provided shareholders with a six-month return of 1.74%, while the Merrill Lynch U.S. Domestic Master Index and Russell 1000(R) Index returned 0.95% and 7.18%, respectively. Investor risk tolerance and single name event risk dominated fixed income performance over the first half of 2007. This proved unfavorable for the fixed income component of the Diversified Income Fund as management maintained an underweight position within corporate bonds trying to side-step the "event risk" landmines (companies increasing their financial leverage through share buybacks, leveraged buy-outs and other credit-deteriorating events). Unfortunately, even a cautious stance couldn't prevent credit "blow-ups." Two asset-backed security holdings were infected by the subprime mortgage fallout beginning in late February, lasting through March and resurfacing in June. GSAMP Trust 2006-S5 M5 and Park Place Securities Inc. 2004-WWF1 M10 declined by 89.5% and 15.9%, respectively over the half year period. Additionally, April saw the unlikely announced leveraged buyout of a financial institution, SLM Corp., or more commonly known as Sallie Mae, which also hurt the fund's position. With the Diversified Income Fund's heightened focus on generating distributable income, the common stock portion of the fund is being reduced relative to the bond component, and is transitioning to an "equity income" portfolio. As such, it is being managed with the goal of providing dividend income as well as appreciation. During this six-month period ended June 30, 2007, the U.S. stock market (as represented by the Russell 1000(R) Index) advanced nicely until late-February, then suffered a decline of approximately 7% as news from China rattled investors worldwide. It then staged a strong recovery to end the period with a gain of 7.18%. The fund's stock portfolio trailed this return as the market favored the stocks of smaller and more cyclical companies over the fund's higher quality, dividend-paying issuers. The key driver of the fund's performance relative to the Russell 1000(R) Index was, and will usually be, the fund's emphasis on dividend income. This resulted, for instance, in a substantial over-weighting of financial stocks, which was a top yielding sector, but had the lowest total return for this period. We continue to believe that our bond portfolio posture of underweighting credit risk will prove beneficial in the future. The stock portfolio's increasing focus on yield may dampen the fund's returns during strong market advances like we experienced in this reporting period, but should serve to stabilize returns in volatile markets and increase monthly income distributions to shareholders. These attributes should serve income-seeking investors well in the months and years ahead. MEMBERS Capital Advisors, Inc. - Adviser John Brown, CFA; and Dean "Jack" Call, CFA, Portfolio Managers SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS (PIE CHART) Common Stocks 46% Asset Backed 1% Commercial Mortgage Backed 5% Private Label Mortgage Backed 1% Corporate Notes and Bonds 16% Mortgage Backed 15% U.S. Government and Agency Obligations 12% Cash and Other Net Assets 4%
-------------------------------------------------------------------------------- 12 DIVERSIFIED INCOME FUND PERFORMANCE REVIEW CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,4) (LINEGRAPH)
MERRILL LYNCH U.S. DOMESTIC DIVERSIFIED INCOME FUND MASTER INDEX(2) RUSSELL 1000(R) INDEX(3) ----------------------- --------------------------- ------------------------ 6/97 $10,000 $10,000 $10,000 6/98 $11,629 $11,067 $13,015 6/99 $13,511 $11,408 $15,869 6/00 $14,454 $11,929 $17,336 6/01 $14,035 $13,252 $14,744 6/02 $13,122 $14,391 $12,107 6/03 $13,451 $15,933 $12,223 6/04 $14,929 $15,981 $14,603 6/05 $16,028 $17,095 $15,761 6/06 $16,532 $16,945 $17,192 6/07 $18,471 $17,987 $20,704
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(4)
EXPENSE 1 Year 3 Years 5 Years 10 Years RATIO(5) ---------------------------------------------- -------- DIVERSIFIED INCOME FUND 11.73% 7.35% 7.08% 6.33% 0.71% Merrill Lynch U.S. Domestic Master Index(2) 6.15 4.02 4.56 6.04 NA Russell 1000(R) Index(3) 20.43 12.34 11.33 7.55 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 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) 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) Fund returns are calculated after mutual 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. For periods prior to May 1, 2007, the above results reflect the performance of the Balanced Fund, which changed its name and investment strategy to the Diversified Income Fund effective May 1, 2007. (5) The expense ratio is based on expenses incurred by the fund, as described in the Prospectus, as of the fiscal year ended December 31, 2006. -------------------------------------------------------------------------------- 13 LARGE CAP VALUE FUND PERFORMANCE REVIEW The first six months of 2007 saw good gains in the U.S. stock markets, and with only one short period of meaningful market decline. This market decline was more significant, however, than its size and duration might indicate. It was triggered by U.S. investors' fears of actions by government regulators to slow economic growth . . . in China. This provided a vivid illustration of how the U.S. economy no longer leads the global economy and markets, but rather can be led by what's happening elsewhere. We expect this to become even more of a factor in the years ahead, and China is likely to be where many of the future worldwide economic, market and even cultural influences will originate. Other than during the late-February, China-originated market shock, domestic large-cap value stocks advanced quite steadily, ending the period up 6.23% (Russell 1000(R) Value Index). The Ultra Series Large Cap Value Fund gained 5.62%. Major contributors to the fund's returns relative to the market index included the fund's greater-than-index exposure to energy stocks (where refiner/marketer Valero Energy advanced 45%, oil service company Cameron International gained 35%, and several others saw high-teens to 30% returns). Also contributing was good security selection in utilities (electricity generators and distributors Mirant Corp. up 35% and Edison International up 25%). Primary detractors from fund returns relative to the market were health care where several individual stocks modestly underperformed, and some financial services stocks that suffered with the subprime mortgage problems and related concerns. The fund continues to focus on stocks of companies where we are relatively confident in our outlook and which generate strong free cash flows, which provide great management flexibility and often lead to increased distributions to shareholders. The fund's long-standing overweighting in energy stocks has been gradually trimmed, but is still positive. It is modestly underweight in the areas most vulnerable to stress in the mortgage and consumer finance areas, particularly in the consumer discretionary and financial sectors. Although the slowing economy is likely to make corporate profit growth and stock market gains harder to achieve, we look for slowing but continued positive economic growth and a generally favorable market environment for long-term investors. MEMBERS Capital Advisors, Inc. -- Adviser Scott D. Opsal, CFA, Portfolio Manager SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS (PIE CHART) Consumer Discretionary 8% Consumer Staples 8% Energy 14% Financials 31% Health Care 8% Industrials 10% Information Technology 4% Materials 4% Telecommunication Services 6% Utilities 6% Cash and Other Net Assets 1%
-------------------------------------------------------------------------------- 14 LARGE CAP VALUE FUND PERFORMANCE REVIEW CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3) (LINEGRAPH)
LARGE CAP VALUE FUND RUSSELL 1000(R) VALUE INDEX(2) -------------------- ------------------------------ 6/97 $10,000 $10,000 6/98 $12,749 $12,884 6/99 $16,154 $14,992 6/00 $16,166 $13,655 6/01 $14,496 $15,066 6/02 $12,730 $13,718 6/03 $12,164 $13,577 6/04 $14,427 $16,448 6/05 $15,830 $18,759 6/06 $17,486 $21,029 6/07 $21,237 $25,627
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(3)
EXPENSE 1 Year 3 Years 5 Years 10 Years RATIO(4) ---------------------------------------------- -------------- LARGE CAP VALUE FUND 21.45% 13.76% 10.78% 7.82% 0.61% Russell 1000(R) Value Index(2) 21.87 15.93 13.31 9.87 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 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 mutual 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. (4) The expense ratio is based on expenses incurred by the fund, as described in the Prospectus, as of the fiscal year ended December 31, 2006. -------------------------------------------------------------------------------- 15 LARGE CAP GROWTH FUND PERFORMANCE REVIEW The first six months of 2007 saw good gains in the U.S. stock markets, and with only one short period of meaningful market decline. This market decline was more significant, however, than its size and duration might indicate. It was triggered by U.S. investors' fears of actions by government regulators to slow economic growth . . . in China. This provided a vivid illustration of how the U.S. economy no longer leads the global economy and markets, but rather can be led by what's happening elsewhere. We expect this to become even more of a factor in the years ahead, and China is likely to be where many of the future worldwide economic, market and even cultural influences will originate. Other than during the late-February, China-originated market shock, domestic large-cap growth stocks advanced quite steadily, ending the period up 8.13% (Russell 1000(R) Growth Index). The Ultra Series Large Cap Growth Fund gained 7.05%. The information technology sector was the major contributor to the fund's returns relative to the market index with exceptional contributions from Nokia and EMC Corp., each up approximately 40% in this six-month period. Primary detractors from fund returns relative to the market were in health care (Amgen and Genentech reduced the fund's relative return by approximately 1/4% each), industrials, and telecommunications services (NeuStar, a key player in the development and operation of the Internet, declined 11% and reduced the fund's relative return by 0.35%). The fund continues to focus primarily on stocks of companies we believe have the capacity to grow longer and/or faster than current market expectations, and that serve customers worldwide. Although the slowing domestic economy is likely to make corporate profit growth and stock market gains harder to achieve, we look for continued global economic growth and increasing investor interest in companies capable of producing consistent earnings growth. The fund should do very well in such an environment. MEMBERS Capital Advisors, Inc. - Adviser Bruce A. Ebel, CFA, Portfolio Manager SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS (PIE CHART) Consumer Discretionary 10% Consumer Staples 9% Energy 8% Financials 6% Health Care 20% Industrials 10% Information Technology 31% Materials 2% Telecommunication Services 2% Consumer Discretionary 10% Utilities 1% Cash and Other Net Assets 1%
-------------------------------------------------------------------------------- 16 LARGE CAP GROWTH FUND PERFORMANCE REVIEW CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3) (LINEGRAPH)
LARGE CAP GROWTH FUND RUSSELL 1000(R) GROWTH INDEX(2) --------------------- ------------------------------- 6/97 $10,000 $10,000 6/98 $13,044 $13,139 6/99 $15,363 $16,722 6/00 $17,924 $21,013 6/01 $17,700 $13,412 6/02 $12,553 $ 9,859 6/03 $12,676 $10,149 6/04 $14,901 $11,964 6/05 $15,785 $12,165 6/06 $16,047 $12,909 6/07 $18,776 $15,367
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(3)
EXPENSE 1 Year 3 Years 5 Years 10 Years RATIO(4) ------------------------------------------------ -------- LARGE CAP GROWTH FUND 17.00% 8.01% 8.39% 6.50% 0.81% Russell 1000(R) Growth Index(2) 19.04 8.70 9.28 4.39 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 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 mutual 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. (4) The expense ratio is based on expenses incurred by the fund, as described in the Prospectus, as of the fiscal year ended December 31, 2006. -------------------------------------------------------------------------------- 17 MID CAP VALUE FUND PERFORMANCE REVIEW The first six months of 2007 saw good gains in the U.S. stock markets, and with only one short period of meaningful market decline. This market decline was more significant, however, than its size and duration might indicate. It was triggered by U.S. investors' fears of actions by government regulators to slow economic growth . . . in China. This provided a vivid illustration of how the U.S. economy no longer leads the global economy and markets, but rather can be led by what's happening elsewhere. We expect this to become even more of a factor in the years ahead, and China is likely to be where many of the future worldwide economic, market and even cultural influences will originate. Other than during the late-February, China-originated market shock, domestic mid-cap value stocks advanced quite steadily, ending the period up 8.69% (Russell Midcap(R) Value Index). The Ultra Series Mid Cap Value Fund gained 8.34%. Major contributors to the fund's returns relative to the market index included the fund's less-than-index exposure to financial stocks and greater-than-index exposure to energy stocks. Individual stock selection added to index-relative returns in financials where Unum Group surged 27% on favorable earnings reports, and the fund benefited from an underweighting and favorable stock selection in Real Estate Investment Trusts (REITs). Underweighting materials stocks was detrimental to the fund's relative performance, as was general stock selection in information technology. The fund continues to be widely diversified and focused on stocks of companies where we are relatively confident in their positive outlook. Although the slowing economy is likely to make corporate profit growth and stock market gains harder to achieve, we look for slowing but continued positive economic growth and a generally favorable market environment for long-term investors. MEMBERS Capital Advisors, Inc. - Adviser Livia S. Asher, Portfolio Manager Wellington Management Company, LLP - Subadviser Stephen T. O'Brien, CFA, Lead Portfolio Manager, assisted by Timothy J. McCormack, CFA and Shaun F. Pedersen SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS (PIE CHART) Consumer Discretionary 14% Consumer Staples 7% Energy 7% Financials 27% Health Care 4% Industrials 12% Information Technology 8% Materials 5% Telecommunication Services 2% Utilities 11% Cash and Other Net Assets 3%
-------------------------------------------------------------------------------- 18 MID CAP VALUE FUND PERFORMANCE REVIEW CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,4) (LINEGRAPH)
RUSSELL MIDCAP(R) VALUE RUSSELL 2500(TM) VALUE MID CAP VALUE FUND INDEX2 INDEX3 ------------------ ----------------------- ---------------------- 5/1/99 $10,000 $10,000 $10,000 6/99 $10,470 $10,156 $10,559 6/00 $12,114 $ 9,353 $10,447 6/01 $15,216 $11,591 $13,075 6/02 $15,145 $11,814 $13,937 6/03 $14,398 $11,739 $13,854 6/04 $18,141 $15,356 $18,552 6/05 $20,326 $18,704 $21,788 6/06 $22,977 $21,370 $24,517 6/07 $27,470 $26,090 $29,032
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(4)
SINCE EXPENSE 1 Year 3 Years 5 Years Inception(5) RATIO(6) -------------------------------------------------- -------- MID CAP VALUE FUND 19.56% 14.83% 12.65% 13.17% 1.01% Russell Midcap(R) Value Index(2) 22.09 19.32 17.17 12.45 NA Russell 2500(TM) Value Index(3) 18.41 16.10 15.81 13.93 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 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) The Russell 2500(TM) Value Index is a mid-cap market index which measures the performance of those Russell 2500 companies with lower price-to-book ratios and lower forecasted growth values. (4) Fund returns are calculated after mutual 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) The fund commenced investment operations on May 1, 1999. The Since Inception index returns are also from May 1, 1999. (6) The expense ratio is based on expenses incurred by the fund, as described in the Prospectus, as of the fiscal year ended December 31, 2006. -------------------------------------------------------------------------------- 19 MID CAP GROWTH FUND PERFORMANCE REVIEW During the first six months of 2007, equity markets strengthened as better-than-expected corporate earnings, healthy merger and acquisition activity and views of solidifying economic growth outweighed concerns of rising interest rates and the weakening housing and credit environment. Mid cap stocks led large caps and small caps over the first half of the year when measured using the S&P MidCap 400 Index, the S&P 500 Index and the Russell 2000(R) Index. For the first time in several quarters, growth outperformed value as the Russell Midcap(R) Growth Index advanced 10.97% and the Russell Midcap(R) Value Index gained 8.69%. The Ultra Series Mid Cap Growth Fund advanced 14.42% during the six-month period ended June 30, 2007, outperforming the 10.97% return of the Russell Midcap(R) Growth Index. Favorable stock selection produced strong benchmark-relative returns during the six-month period. Stock selection in financials, information technology, and consumer discretionary sectors was most additive to performance. These positive results were partially offset by weaker performance in the telecommunication services sector. Our underweight in the strong-performing materials sector detracted from relative returns, while our overweight in energy contributed to the fund's performance. In this environment, we continue to find high-quality predictable growth companies to include in the portfolio. At the end of the period, our bottom-up investment decisions resulted in greater-than-benchmark weights in the industrials, health care , financials and information technology sectors, and underweight positions in the materials, consumer staples, utilities, telecommunication services and consumer discretionary sectors. MEMBERS Capital Advisors, Inc. - Adviser Wellington Management Company, LLP - Subadviser Francis J. Boggan, CFA, Portfolio Manager SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS (PIE CHART) Consumer Discretionary 17% Energy 11% Financials 12% Health Care 16% Industrials 20% Information Technology 22% Consumer Discretionary 17% Cash and Other Net Assets 2%
-------------------------------------------------------------------------------- 20 MID CAP GROWTH FUND PERFORMANCE REVIEW CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,4) (LINEGRAPH)
RUSSELL MIDCAP(R) GROWTH MID CAP GROWTH FUND INDEX(2) RUSSELL 2500(TM) GROWTH INDEX(3) ------------------- ------------------------ -------------------------------- 10/31/00 $10,000 $10,000 $10,000 6/01 $ 7,081 $ 7,586 $ 8,785 6/02 $ 4,941 $ 5,588 $ 6,526 6/03 $ 5,375 $ 5,999 $ 6,794 6/04 $ 6,834 $ 7,638 $ 8,840 6/05 $ 7,013 $ 8,468 $ 9,500 6/06 $ 7,691 $ 9,572 $10,888 6/07 $ 9,807 $11,460 $12,960
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(4)
SINCE EXPENSE 1 Year 3 Years 5 Years Inception(5) RATIO(6) ----------------------------------------- -------- MID CAP GROWTH FUND 27.52% 12.79% 14.70% -0.29% 0.86% Russell Midcap(R) Growth Index(2) 19.73 14.48 15.45 2.07 NA Russell 2500(TM) Growth Index(3) 19.03 13.60 14.71 3.97 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 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) The Russell 2500(TM) Growth Index is a mid-cap market index which measures the performance of those Russell 2500 companies with higher price-to-book ratios and higher forecasted growth values. (4) Fund returns are calculated after mutual 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. For periods prior to May 1, 2002, performance is shown from the previous subadviser, which was replaced by Wellington Management Company, LLP effective May 1, 2002. (5) The fund commenced investment operations on October 31, 2000. The Since Inception index returns are also from October 31, 2000. (6) The expense ratio is based on expenses incurred by the fund, as described in the Prospectus, as of the fiscal year ended December 31, 2006. -------------------------------------------------------------------------------- 21 SMALL CAP VALUE FUND PERFORMANCE REVIEW Equities experienced strong and broad positive performance in the second quarter as better-than-expected corporate earnings, healthy merger and acquisition activity and views of solidifying economic growth outweighed concerns of rising interest rates and the weakening housing and credit environment. Strong returns in April and May, however, were countered by a lackluster June as negative news flow regarding the U.S. subprime mortgage market further exacerbated concerns about the housing market. In May and June, mid cap stocks led small caps and large caps when measured using the S&P MidCap 400 Index, the Russell 2000(R) Indexes and the S&P 500 Index. Over the same time period, growth outperformed value as the Russell 2000(R) Growth Index advanced 4.0% and the Russell 2000(R) Value Index gained 1.3%. Within the benchmark Russell 2000(R) Value Index, six broad economic sectors posted positive returns with industrials, materials, telecommunication services, energy, information technology and health care all showing gains. The Ultra Series Small Cap Value Fund advanced 0.78% since its inception date of May 1, 2007, underperforming the 1.25% gain of the Russell 2000(R) Value Index. The unfavorable relative return was primarily driven by less favorable stock selection during the two-month period. Stock selection was weakest in industrials, energy and materials, but was partially offset by strong stock selection in information technology and consumer staples. The portfolio's overweight posture to industrials, which was the result of our bottom-up stock selection, contributed positively to performance. Although sector allocation is a residual of our bottom-up stock selection, our underweight of the strong-performing materials and information technology sectors detracted from relative returns. Our investment approach emphasizes individual stock selection and sector weights are a residual of the process. We do, however, carefully consider diversification across economic sectors to limit risk. At the end of the period ending June 30, 2007, our bottom-up investment decisions resulted in greater-than-benchmark weights in the industrials, consumer discretionary and consumer staples and underweight positions in the information technology, financials, materials, utilities and energy sectors. MEMBERS Capital Advisors, Inc. - Adviser Wellington Management Company, LLP - Subadviser Stephen T. O'Brien, CFA, Lead Portfolio Manager, assisted by Timothy J. McCormack, CFA and Shaun F. Pedersen SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS (PIE CHART) Financials 29% Telecommunication Services 1% Cash and Other Net Assets 4% Health Care 4% Energy 4% Materials 3% Information Technology 5% Consumer Staples 6% Industrials 23% Consumer Discretionary 17% Utilities 4%
-------------------------------------------------------------------------------- 22 SMALL CAP VALUE FUND PERFORMANCE REVIEW CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3) (LINEGRAPH)
SMALL CAP VALUE FUND RUSSELL 2000(R) VALUE INDEX(2) -------------------- ------------------------------ 5/1/07 $10,000 $10,000 6/07 $10,078 $10,125
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(3)
SINCE EXPENSE INCEPTION(4) RATIO(5) ------------ -------- SMALL CAP VALUE FUND 0.78% 1.01% Russell 2000(R) Value Index(2) 1.25 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 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 mutual 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. (4) The fund commenced investment operations on May 1, 2007. The Since Inception index returns are also from May 1, 2007. (5) The expense ratio is based on estimated expenses to be incurred by the fund, as described in the Prospectus, for the fiscal year ending December 31, 2007. -------------------------------------------------------------------------------- 23 SMALL CAP GROWTH FUND PERFORMANCE REVIEW In April and May, equity markets rose on the strength of corporate earnings which exceeded analyst expectations as well as speculation of a Federal Reserve interest rate cut by year-end. However, in June such interest rate bets were reversed and equity markets consolidated into a holding pattern while investors watched bond prices tumble and yields surge. Bond market participants seemed to be pricing in robust economic growth projections. According to analysts, 2nd quarter economic growth was expected to rebound to a 2.75% annual rate, after rising only 0.7% the first three months of the year. The growth style was the key beneficiary of performance during the 2nd quarter. The Russell 1000(R) Growth Index jumped 6.85%, closely followed by the Russell 2000(R) Growth Index which climbed 6.69%. The broad market S&P 500 Index advanced 6.28%, while the Russell 1000 Value rose 4.92%, and the Russell 2000(R) Value Index added 2.30%. Leading sectors for the period included technology, energy, health care, telecommunications, and industrials. Lagging sectors were utilities, consumer cyclicals, consumer services, transportation, and commercial services. Since the fund's May 1, 2007 inception, the Ultra Series Small Cap Growth Fund returned 5.56% versus the Russell 2000(R) Growth Index return of 3.96%. The portfolio benefited from exceptional asset selection. This was particularly good in the smallest capitalization quintile of stocks. Select over-weighted assets that benefited performance included Foster Wheeler and Deckers Outdoor. Positive exposure to stocks with higher earnings yield also benefited performance; however, some value was defrayed due to stylistic exposure to value and momentum factors. On a sector level, good exposure to Industrials, and Financials, added incremental return to the portfolio. Good performers in these sectors included General Cable Corp., Bucyrus Int'l, and Calamos Asset Management. Unfortunately, the fund's overexposure to consumer cyclicals somewhat hindered performance relative to the benchmark. Turnover for the fund during the June rebalancing was 32%. Momentum factors increased slightly, while risk factors remained the same. Sector shifts included increases to commercial services, and basic materials. Both technology and consumer cyclicals were cut back. The portfolio's average market capitalization was $1.8B versus $1.3B for the Russell 2000(R) Growth Index for the period. According to consensus opinion, the economy is expected to grow at a 2.5% to 3.0% annual rate for the second half of the year without sparking inflationary pressures. According to the Federal Reserve, the pickup in growth has not increased overall pressures on wages and prices. The market appears hopeful that the housing slump and defaults of subprime mortgage borrowers will not worsen and affect consumer spending. Consumers have had to bear the burden of record gasoline prices and higher borrowing costs, and at some point these pressures will begin to pinch their spending. The portfolio has been structured in a more defensive posture, yet it is still poised to take advantage of a growing economy. MEMBERS Capital Advisors, Inc. - Adviser Paradigm Asset Management Company, LLC - Subadviser James E. Francis; Jeffrey E. Marcus; and Gregory Pai, Portfolio Managers SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS (PIE CHART) Consumes Staples 3% Information Technology 16% Cash and Other Net Assets 2% Energy 6% Financials 8% Materials 7% Telecommunication Services 1% Industrials 26% Health Care 16% Consumer Discretionary 14% Utilities 1%
-------------------------------------------------------------------------------- 24 SMALL CAP GROWTH FUND PERFORMANCE REVIEW CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3) (LINEGRAPH)
SMALL CAP GROWTH FUND RUSSELL 2000(R) GROWTH INDEX(2) --------------------- ------------------------------- 5/1/07 $10,000 $10,000 6/07 $10,556 $10,396
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(3)
SINCE EXPENSE INCEPTION(4) RATIO(5) ------------ -------- SMALL CAP GROWTH FUND 5.56% 1.01% Russell 2000(R) Growth Index(2) 3.96 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 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 mutual 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. (4) The fund commenced investment operations on May 1, 2007. The Since Inception index returns are also from May 1, 2007. (5) The expense ratio is based on estimated expenses to be incurred by the fund, as described in the Prospectus, for the fiscal year ending December 31, 2007. -------------------------------------------------------------------------------- 25 GLOBAL SECURITIES FUND PERFORMANCE REVIEW Effective May 1, 2007, Mondrian Investment Partners Limited replaced Oppenheimer Funds, Inc. as subadviser for the Ultra Series Global Securities Fund. The fund generated a positive return of 7.52% for the six-month period ending June 30, 2007, underperforming its benchmark, the MSCI World Index, which returned 9.48% in the same period (all returns in U.S. dollars). In Europe and North America unemployment is at low levels with evidence of skills shortages emerging. Also, input costs for raw materials and oil-based goods remain at elevated levels. As a result, interest rates have been on a rising trend for some time as central banks have shifted focus to containing inflationary pressures. Following the rise in rates and some easing in economic growth, markets priced in interest rates peaking over the summer and then declining soon after. However, the resilience of global demand suggests that it may be some time before interest rates move down significantly. With regard to market allocation, returns were helped by our overweight positions in Australia, Singapore, Spain and the United Kingdom, all markets which performed well. Further support came from underweight positions in some of the weaker markets, in particular, Sweden and Switzerland. However, these influences were partly offset by the adverse effects from being out of a number of the better-performing, often energy-rich markets, such as, Canada and Norway. Also negative, was the allocation to some weaker areas, mainly, the Netherlands and Belgium. Stock selection was less favorable, having a negative effect on returns overall. In the UK, concerns about the impact of higher interest rates on mortgage demand weighed heavily on the largely retail-oriented UK bank stocks in the portfolio. But we remain confident that fears of severe weakness in consumer loan demand in Europe and the USA are overblown. In both areas, our analysis has found a number of banks that are well capitalized and should be better able to cope with a rise in bad debts. The stronger performance of other stocks, for instance, energy companies, helped to mitigate weakness elsewhere. Looking forward, we continue to view markets in parts of Europe and the Pacific region, outside of Japan, as attractive. For instance, we have increased the holding in the Switzerland-based global pharmaceutical company, Novartis. This company has a strong pipeline of patent drugs and also has exposure to the fast-growing generic drug market. Another notable move was an increased allocation to Microsoft. Although under competitive pressure from the likes of Google, our long-term dividend discount modeling finds Microsoft to have a sustainable, strong, cash-generative profile. Strong global demand has supported equity markets recently, stretching valuations. However, it is not clear how sustainable these gains will be. Through our disciplined long-term approach we continue to find new stocks at attractive valuations that fit in with our cautious, defensive approach. MEMBERS Capital Advisors, Inc. - Adviser Mondrian Investment Partners Limited - Subadviser effective May 1, 2007 David G. Tilles; Clive A. Gilmore; Elizabeth A. Desmond, CFA; Nigel G. May; and Brendan Baker, Portfolio Managers SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS (PIE CHART) United States 39% Europe (Excluding United Kingdom) 26% United Kingdom 17% Pacific Basin 11% Japan 6% Cash and Other Net Assets 1%
-------------------------------------------------------------------------------- 26 GLOBAL SECURITIES FUND PERFORMANCE REVIEW CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3) (LINEGRAPH)
MORGAN STANLEY CAPITAL INTERNATIONAL GLOBAL SECURITIES FUND WORLD INDEX(2) (MSCI WORLD INDEX) ---------------------- ------------------------------------ 10/31/00 $10,000 $10,000 6/01 $ 9,237 $ 8,559 6/02 $ 8,311 $ 7,285 6/03 $ 7,790 $ 7,147 6/04 $10,229 $ 8,902 6/05 $11,682 $ 9,845 6/06 $13,841 $11,569 6/07 $16,862 $14,367
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(3)
SINCE EXPENSE 1 Year 3 Years 5 Years Inception(4) RATIO(5) -------------------------------------------------- -------- GLOBAL SECURITIES FUND 21.82% 18.13% 15.20% 8.15% 0.97% MSCI World Index(2) 24.19 17.30 14.55 5.83 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 mutual 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. For periods prior to May 1, 2007, performance is shown from the previous subadviser, which was replaced by Mondrian Partners Limited effective May 1, 2007. (4) The fund commenced investment operations on October 31, 2000. The Since Inception index returns are also from October 31, 2000. (5) The expense ratio is based on expenses incurred by the fund, as described in the Prospectus, as of the fiscal year ended December 31, 2006. -------------------------------------------------------------------------------- 27 INTERNATIONAL STOCK FUND PERFORMANCE REVIEW The first quarter started off strongly as the momentum from equity markets in 2006 continued into 2007. At the end of February, the market experienced a sharp correction, as concerns about what the regulatory authorities in China might do to slow that economy added to concerns about the U.S. economy, particularly the housing market. This caused investors around the world to take profits that had been built up over the previous eight months of positive stock-market returns. Currency movements, particularly the strengthening of the yen against the U.S. dollar, exacerbated the sell-off, as investors were forced to pull back on the yen-denominated leverage that had helped fuel the previous stock-market rally. Markets quickly stabilized and, by the end of March, had almost fully regained their previous highs. The second quarter started out well for equity markets, with a strong April. May and June proved more volatile, as concerns about interest rates, various housing markets around the globe, and possible further fallout from the decline of the U.S. subprime mortgage market occupied investors' attention. In this environment the Ultra Series International Stock Fund returned 8.35% versus the MSCI EAFE Index return of 11.09%. Small Cap International stocks returned 11.66% for the period and Emerging Markets (as represented by the MSCI Emerging Markets Free index) returned 17.75% From a broad sector-perspective, materials, industrials and energy performed well based on strong indications of economic growth resilience while health care and utilities lagged. Financials were among the worst performing sectors owing to increasing concerns about overhang from the subprime mortgage fallout. At a country level, European stocks outperformed driven by strength in the European economy. Asian markets excluding Japan also performed well, while Japanese stocks lagged significantly amid concerns about the country's economic recovery. While the multi-year rally in equities continues, a change in market leadership appears to be underway, as investors' risk tolerance moderates after an extended period of embracing risk. This was seen during the second quarter as large-cap stocks outperformed small caps after an extended period of underperformance. Historically, periods of slowing corporate-earnings growth have favored larger-cap, more diversified, and more consistently profitable companies, as investors seek out stability in a more adverse environment. Our relative-value orientation has led us to this large-cap part of the market, since it offers low valuations and consistently high returns on equity. Valuations remain attractive, earnings visibility is quite strong, and the fundamentals for owning certain large-cap stocks are compelling. We believe the fund is well positioned to benefit from those companies that, from our perspective, are attractively valued yet offer high returns on capital and high levels of free cash flow. As a result, we believe the fund should perform well in these market conditions. MEMBERS Capital Advisors, Inc. - Adviser Lazard Asset Management LLC - Subadviser John R. Reinsberg, CFA; Michael A. Bennett, CFA; Michael G. Fry, CFA; James Donald, CFA; and Brian Pessin, CFA, Portfolio Managers SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS (PIE CHART) Europe (Excluding United Kingdom) 44% United Kingdom 23% Japan 13% Pacific Basin 8% Latin America 4% Other Countries 4% Africa 2% Europe (Excluding United Kingdom) 44% Cash And Other Net Assets 2%
-------------------------------------------------------------------------------- 28 INTERNATIONAL STOCK FUND PERFORMANCE REVIEW CUMULATIVE PERFORMANCE $10,000 INVESTMENT(1,3) (LINEGRAPH)
MORGAN STANLEY CAPITAL INTERNATIONAL EUROPE, AUSTRALASIA & FAR EAST INDEX(2) INTERNATIONAL STOCK FUND (MSCI EAFE INDEX) ------------------------ --------------------------------------- 10/31/00 $10,000 $10,000 6/01 $ 8,766 $ 8,535 6/02 $ 8,235 $ 7,757 6/03 $ 8,013 $ 7,287 6/04 $10,044 $ 9,681 6/05 $11,770 $11,048 6/06 $14,871 $14,038 6/07 $18,456 $17,903
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2007(3)
SINCE EXPENSE 1 Year 3 Years 5 Years Inception(4) RATIO(5) ----------------------------------------- -------- INTERNATIONAL STOCK FUND 24.10% 22.48% 17.52% 9.63% 1.22% MSCI EAFE Index(2) 27.54 22.75 18.21 9.21 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 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 mutual 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. (4) The fund commenced investment operations on October 31, 2000. The Since Inception index returns are also from October 31, 2000. (5) The expense ratio is based on expenses incurred by the fund, as described in the Prospectus, as of the fiscal year ended December 31, 2006. -------------------------------------------------------------------------------- 29 CONSERVATIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- INVESTMENT COMPANIES - 99.90% ------------------------------------------------------------------------------------------------------------- ALTERNATIVE ASSET CLASSES - 5.69% 33,571 Cohen & Steers Institutional Realty Shares, Inc. ............................... $ 1,748,058 ----------- DEBT SECURITIES - 54.08% 470,029 Dodge & Cox Income Fund......................................................... 5,833,055 367,264 MEMBERS Bond Fund, Class Y (R)..................................................................... 3,529,404 192,164 MEMBERS High Income Fund, Class Y (R)..................................................................... 1,420,094 569,392 Western Asset Intermediate Bond Portfolio....................................... 5,847,653 ----------- 16,630,206 ----------- EQUITY SECURITIES - 23.05% 212,033 MEMBERS Large Cap Growth Fund, Class Y (R)*.................................................................... 3,394,651 153,928 MEMBERS Large Cap Value Fund, Class Y (R)..................................................................... 2,581,380 150,446 MEMBERS Mid Cap Growth Fund, Class Y (R)*.................................................................... 1,113,297 ----------- 7,089,328 ----------- FOREIGN SECURITIES - 4.98% 95,074 MEMBERS International Stock Fund, Class Y (R)..................................................................... 1,531,638 ----------- MONEY MARKET SECURITIES - 12.10% 3,722,372 SSgA Prime Money Market Fund.................................................... 3,722,372 ----------- TOTAL INVESTMENT COMPANIES ( Cost $30,613,038** ).......................................................... 30,721,602 NET OTHER ASSETS AND LIABILITIES - 0.10% ------------------------------------------------------------------------------------------------------------- 31,168 TOTAL NET ASSETS - 100.00% ------------------------------------------------------------------------------------------------------------- $ 30,752,770 -------------------------------------------------------------------------------------------------------------
* Non-income producing. ** Aggregate cost for Federal tax purposes was $30,641,104. (R) Affiliated Company (see Note 10). -------------------------------------------------------------------------------- 30 See accompanying Notes to Financial Statements. MODERATE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- INVESTMENT COMPANIES - 99.48% ------------------------------------------------------------------------------------------------------------- ALTERNATIVE ASSET CLASSES - 4.45% 104,326 Cohen & Steers Institutional Realty Shares, Inc. ............................... $ 5,432,241 ----------- DEBT SECURITIES - 28.36% 1,262,845 MEMBERS Bond Fund, Class Y (R)..................................................................... 12,135,937 1,088,163 MEMBERS High Income Fund, Class Y (R)..................................................................... 8,041,528 1,409,396 Western Asset Intermediate Bond Portfolio....................................... 14,474,492 ----------- 34,651,957 ----------- EQUITY SECURITIES - 47.02% 237,095 Columbia Funds Series Trust - Columbia Marsico Focused Equities Fund, Class Z......................................................................... 5,408,133 847,996 MEMBERS Large Cap Growth Fund, Class Y (R)*.................................................................... 13,576,423 801,312 MEMBERS Large Cap Value Fund, Class Y (R)..................................................................... 13,438,010 1,290,610 MEMBERS Mid Cap Growth Fund, Class Y (R)*.................................................................... 9,550,513 388,439 MEMBERS Mid Cap Value Fund, Class Y (R)..................................................................... 5,484,756 520,635 MEMBERS Small Cap Growth Fund, Class Y (R)*.................................................................... 5,779,052 392,452 MEMBERS Small Cap Value Fund, Class Y (R)*.................................................................... 4,218,858 ----------- 57,455,745 ----------- FOREIGN SECURITIES - 14.64% 946,596 MEMBERS International Stock Fund, Class Y (R)..................................................................... 15,249,654 28,800 Vanguard Emerging Markets ETF................................................... 2,629,152 ----------- 17,878,806 -----------
Shares Value (Note 2) ------ -------------- MONEY MARKET SECURITIES - 5.01% 6,125,450 SSgA Prime Money Market Fund.................................................... $ 6,125,450 ----------- TOTAL INVESTMENT COMPANIES ( Cost $118,337,239** )......................................................... 121,544,199 NET OTHER ASSETS AND LIABILITIES - 0.52% ------------------------------------------------------------------------------------------------------------- 640,651 TOTAL NET ASSETS - 100.00% ------------------------------------------------------------------------------------------------------------- $ 122,184,850 -------------------------------------------------------------------------------------------------------------
* Non-income producing. ** Aggregate cost for Federal tax purposes was $118,602,877. (R) Affiliated Company (see Note 10). ETF Exchange Traded Fund. -------------------------------------------------------------------------------- 31 See accompanying Notes to Financial Statements. AGGRESSIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- INVESTMENT COMPANIES - 99.46% ------------------------------------------------------------------------------------------------------------- ALTERNATIVE ASSET CLASSES - 1.62% 14,551 Cohen & Steers Institutional Realty Shares, Inc. ................................................................... $ 757,645 ----------- EQUITY SECURITIES - 68.26% 114,412 Columbia Funds Series Trust - Columbia Marsico Focused Equities Fund, Class Z......................................................................... 2,609,738 413,323 MEMBERS Large Cap Growth Fund, Class Y (R)*.................................................................... 6,617,303 392,998 MEMBERS Large Cap Value Fund, Class Y (R)..................................................................... 6,590,571 710,879 MEMBERS Mid Cap Growth Fund, Class Y (R)*.................................................................... 5,260,506 280,200 MEMBERS Mid Cap Value Fund, Class Y (R)..................................................................... 3,956,419 317,836 MEMBERS Small Cap Growth Fund, Class Y (R)*.................................................................... 3,527,981 308,635 MEMBERS Small Cap Value Fund, Class Y (R)*.................................................................... 3,317,827 ----------- 31,880,345 ----------- FOREIGN SECURITIES - 29.56% 694,716 MEMBERS International Stock Fund, Class Y (R)..................................................................... 11,191,877 28,600 Vanguard Emerging Markets ETF................................................... 2,610,894 ----------- 13,802,771 ----------- MONEY MARKET SECURITIES - 0.02% 7,483 SSgA Prime Money Market Fund.................................................... 7,483 ----------- TOTAL INVESTMENT COMPANIES ( Cost $43,039,618** ).......................................................... 46,448,244 NET OTHER ASSETS AND LIABILITIES - 0.54% ------------------------------------------------------------------------------------------------------------- 254,578 TOTAL NET ASSETS - 100.00% ------------------------------------------------------------------------------------------------------------- $ 46,702,822 -------------------------------------------------------------------------------------------------------------
* Non-income producing. ** Aggregate cost for Federal tax purposes was $43,258,943. (R) Affiliated Company (see Note 10). ETF Exchange Traded Fund. -------------------------------------------------------------------------------- 32 See accompanying Notes to Financial Statements. MONEY MARKET FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Par Value Value (Note 2) --------- -------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 91.49% ------------------------------------------------------------------------------------------------------------- FEDERAL AGRICULTURAL MORTGAGE CORP. - 3.07% $3,250,000 5.140%, due 07/12/07 (A)........................................................ $ 3,244,896 ----------- FEDERAL FARM CREDIT BANK - 3.77% 983,000 2.625%, due 09/17/07............................................................ 977,404 3,000,000 5.180%, due 03/26/08 (G)........................................................ 2,999,672 ----------- 3,977,076 ----------- FEDERAL HOME LOAN BANK - 18.42% 4,000,000 5.172%, due 07/05/07 (A)........................................................ 3,997,701 1,000,000 5.183%, due 07/05/07 (A)........................................................ 999,424 4,000,000 5.141%, due 07/25/07 (A)........................................................ 3,986,291 1,474,000 5.150%, due 08/03/07 (A)........................................................ 1,467,041 4,000,000 4.875%, due 08/22/07............................................................ 3,997,177 2,000,000 5.030%, due 02/07/08 (G)........................................................ 2,000,000 3,000,000 5.189%, due 04/01/08 (G)........................................................ 2,999,322 ----------- 19,446,956 ----------- FEDERAL HOME LOAN MORTGAGE CORP. - 30.19% 1,500,000 5.130%, due 07/09/07 (A)........................................................ 1,498,290 1,500,000 4.000%, due 07/13/07............................................................ 1,499,360 4,000,000 5.150%, due 07/20/07 (A)........................................................ 3,989,128 350,000 5.165%, due 07/25/07 (A)........................................................ 348,795 2,000,000 5.120%, due 07/30/07 (A)........................................................ 1,991,751 4,100,000 0.010%, due 08/06/07 (A)........................................................ 4,078,906 4,750,000 5.105%, due 08/27/07 (A)........................................................ 4,711,606 2,500,000 5.145%, due 09/04/07 (A)........................................................ 2,476,776 75,000 5.100%, due 09/10/07 (A)........................................................ 74,246 3,350,000 5.145%, due 09/10/07 (A)........................................................ 3,316,007 2,500,000 5.150%, due 09/17/07 (A)........................................................ 2,472,104 3,000,000 5.085%, due 10/09/07 (A)........................................................ 2,957,625 2,500,000 5.060%, due 11/30/07 (A)........................................................ 2,446,589 ----------- 31,861,183 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 36.04% 4,000,000 5.170%, due 07/02/07 (A)........................................................ 3,999,426 1,100,000 5.170%, due 07/11/07 (A)........................................................ 1,098,420 1,410,000 5.171%, due 07/13/07 (A)........................................................ 1,407,570 2,000,000 5.120%, due 07/18/07 (A)........................................................ 1,995,164 4,500,000 5.130%, due 07/26/07 (A)........................................................ 4,483,969 4,940,000 5.140%, due 07/27/07 (A)........................................................ 4,921,662 4,000,000 5.120%, due 08/01/07 (A)........................................................ 3,982,364 3,000,000 4.750%, due 08/03/07............................................................ 2,998,612 2,750,000 5.150%, due 08/15/07 (A)........................................................ 2,732,297 4,265,000 5.150%, due 09/05/07 (A)........................................................ 4,224,731 1,113,000 5.150%, due 09/07/07 (A)........................................................ 1,102,173 3,000,000 5.150%, due 09/19/07 (A)........................................................ 2,965,667
Par Value Value (Note 2) --------- -------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED) $2,150,000 5.070%, due 10/03/07 (A)........................................................ $ 2,121,538 ----------- 38,033,593 ----------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ( Cost $96,563,704)............................................................. 96,563,704 Shares ------ INVESTMENT COMPANIES - 8.31% ------------------------------------------------------------------------------------------------------------- 4,034,747 J.P. Morgan Prime Money Market Fund............................................. 4,034,747 4,738,512 SSgA Prime Money Market Fund.................................................... 4,738,512 ----------- TOTAL INVESTMENT COMPANIES ( Cost $8,773,259).............................................................. 8,773,259 TOTAL INVESTMENTS - 99.80% ------------------------------------------------------------------------------------------------------------- ( Cost $105,336,963** )...................................................................... 105,336,963 NET OTHER ASSETS AND LIABILITIES - 0.20% ------------------------------------------------------------------------------------------------------------- 209,708 TOTAL NET ASSETS - 100.00% ------------------------------------------------------------------------------------------------------------- $ 105,546,671 -------------------------------------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $105,336,963. (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 may differ from the industry sub-classification(s) used for Trust compliance purposes. -------------------------------------------------------------------------------- 33 See accompanying Notes to Financial Statements. BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Par Value Value (Note 2) --------- -------------- ASSET BACKED - 2.73% -------------------------------------------------------------------------------------------------------------- $ 652,045 ABSC Long Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (M) 8.550%, due 09/21/30............................................................ $ 650,349 1,853,433 Ameriquest Mortgage Securities, Inc., Series 2004-FR1, Class M2 (M) 5.207%, due 05/25/34............................................................ 1,789,756 1,405,744 Countrywide Asset-Backed Certificates, Series 2003-S1, Class A4 (M) 5.009%, due 12/25/32............................................................ 1,398,864 2,000,000 GMAC Mortgage Corp. Loan Trust, Series 2004-HE2, Class M1 3.950%, due 10/25/33............................................................ 1,970,460 2,008,551 Green Tree Financial Corp., Series 1998-2, Class A6 6.810%, due 12/01/27............................................................ 2,043,378 4,338,262 GSAMP Trust, Series 2006-S5, Class M5 (M) 7.488%, due 09/25/36............................................................ -- 3,500,000 New Century Home Equity Loan Trust, Series 2003-5, Class AI5 5.500%, due 11/25/33............................................................ 3,479,795 2,475,000 Renaissance Home Equity Loan Trust, Series 2005-4, Class M9 (M) 7.000%, due 02/25/36............................................................ 2,169,879 424,738 Residential Asset Mortgage Products, Inc., Series 2003-RS9, Class AI5 4.990%, due 03/25/31............................................................ 422,852 1,423,564 Soundview Home Equity Loan Trust, Series 2005-B, Class M6 (M) 6.175%, due 05/25/35............................................................ 1,401,004 2,245,000 Wells Fargo Home Equity Trust, Series 2004-2, Class M8A (C) (G) 8.320%, due 05/25/34............................................................ 2,104,452 ----------- TOTAL ASSET BACKED ( Cost $22,166,882 )............................................................ 17,430,789 COMMERCIAL MORTGAGE BACKED - 9.08% -------------------------------------------------------------------------------------------------------------- 1,743,025 Bear Stearns Commercial Mortgage Securities, Series 2001-TOP4, Class A1 5.060%, due 11/15/16............................................................ 1,730,656 4,100,000 Bear Stearns Commercial Mortgage Securities, Series 2003-T10, Class E (C) (G) 5.540%, due 03/13/40............................................................ 3,977,944
Par Value Value (Note 2) --------- -------------- COMMERCIAL MORTGAGE BACKED (CONTINUED) -------------------------------------------------------------------------------------------------------------- $ 2,211,506 Bear Stearns Commercial Mortgage Securities, Series 2004-T16, Class A2 3.700%, due 02/13/46............................................................ $ 2,161,066 2,800,000 Bear Stearns Commercial Mortgage Securities, Series 2004-T16, Class A6 (G) 4.750%, due 02/13/46............................................................ 2,630,640 1,810,000 Bear Stearns Commercial Mortgage Securities, Series 2005-T20, Class F (C) 5.155%, due 10/12/42............................................................ 1,690,943 4,200,000 Government National Mortgage Association, Series 2004-43, Class C (G) 5.008%, due 12/16/25............................................................ 4,093,662 3,000,000 Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A7 (G) 5.317%, due 06/10/36............................................................ 2,930,652 6,450,000 LB-UBS Commercial Mortgage Trust, Series 2004-C1, Class A2 3.624%, due 01/15/29............................................................ 6,247,006 3,200,000 LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A6 (G) 4.799%, due 12/15/29............................................................ 3,023,730 5,550,000 Morgan Stanley Capital I, Series 2004-HQ4, Class A7 4.970%, due 04/14/40............................................................ 5,291,933 7,000,000 Morgan Stanley Capital I, Series 2004-T13, Class A3 4.390%, due 09/13/45............................................................ 6,646,663 5,740,000 Morgan Stanley Capital I, Series 2006-IQ12, Class ANM 5.310%, due 12/15/43............................................................ 5,626,544 1,695,000 Multi Security Asset Trust, Series 2005-RR4A, Class J (C) 5.880%, due 11/28/35............................................................ 1,566,028 1,998,226 Wachovia Bank Commercial Mortgage Trust, Series 2003-C6, Class A1 3.364%, due 08/15/35............................................................ 1,964,277 8,450,000 Wachovia Bank Commercial Mortgage Trust, Series 2003-C8, Class A2 3.894%, due 11/15/35............................................................ 8,277,932 ----------- TOTAL COMMERCIAL MORTGAGE BACKED ( Cost $59,358,604 )............................................................ 57,859,676
-------------------------------------------------------------------------------- 34 See accompanying Notes to Financial Statements. BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Par Value Value (Note 2) --------- -------------- PRIVATE LABEL MORTGAGE BACKED - 1.43% -------------------------------------------------------------------------------------------------------------- $ 6,318,587 Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 6.000%, due 01/25/36............................................................ $ 6,298,494 2,826,505 Banc of America Alternative Loan Trust, Series 2006-3, Class 2CB1 6.000%, due 04/25/36............................................................ 2,811,820 ----------- TOTAL PRIVATE LABEL MORTGAGE BACKED ( Cost $9,105,561 )............................................................. 9,110,314 CORPORATE NOTES AND BONDS - 24.70% -------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 1.50% 2,500,000 American Association of Retired Persons (C) 7.500%, due 05/01/31............................................................ 2,958,135 2,300,000 Carnival Corp. (D) 3.750%, due 11/15/07............................................................ 2,286,283 4,400,000 Erac USA Finance Co. (C) 6.700%, due 06/01/34............................................................ 4,277,733 ----------- 9,522,151 ----------- CONSUMER STAPLES - 0.96% 1,250,000 Coca-Cola Enterprises, Inc. 4.375%, due 09/15/09............................................................ 1,224,884 2,330,000 Diageo Capital PLC (D) (O) 5.500%, due 09/30/16............................................................ 2,252,828 2,700,000 Safeway, Inc. 4.125%, due 11/01/08............................................................ 2,658,139 ----------- 6,135,851 ----------- ENERGY - 1.81% 3,500,000 ConocoPhillips 6.650%, due 07/15/18............................................................ 3,722,194 2,460,000 Hess Corp. 7.875%, due 10/01/29............................................................ 2,772,848 2,310,000 Transocean, Inc. 7.500%, due 04/15/31............................................................ 2,554,421 2,275,000 Valero Energy Corp. 7.500%, due 04/15/32............................................................ 2,484,455 ----------- 11,533,918 ----------- FINANCE - 4.26% 2,885,000 American General Finance Corp. (O) 5.850%, due 06/01/13............................................................ 2,899,093 2,500,000 American General Finance Corp., Series H 4.625%, due 09/01/10............................................................ 2,433,505 2,000,000 Bear Stearns Cos., Inc. 7.800%, due 08/15/07............................................................ 2,005,054
Par Value Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) -------------------------------------------------------------------------------------------------------------- FINANCE (CONTINUED) $ 1,250,000 GE Insurance Solutions Corp. 7.000%, due 02/15/26............................................................ $ 1,333,749 1,680,000 GE Insurance Solutions Corp. 7.750%, due 06/15/30............................................................ 1,928,766 2,750,000 Goldman Sachs Group, Inc. 5.700%, due 09/01/12............................................................ 2,748,334 4,250,000 HSBC Finance Corp. 6.500%, due 11/15/08............................................................ 4,309,678 3,135,000 Lehman Brothers Holdings, Inc. 5.750%, due 01/03/17............................................................ 3,045,659 2,700,000 SLM Corp. 5.125%, due 08/27/12............................................................ 2,390,037 2,000,000 U.S. Bank NA/Cincinnati OH 6.300%, due 02/04/14............................................................ 2,067,766 2,065,000 Western Union Co. 5.930%, due 10/01/16............................................................ 2,014,678 ----------- 27,176,319 ----------- FOOD & DRUG RETAILERS - 0.57% 3,450,000 Medco Health Solutions, Inc. 7.250%, due 08/15/13............................................................ 3,630,231 ----------- HEALTH CARE - 2.66% 2,600,000 Eli Lilly & Co. 6.570%, due 01/01/16............................................................ 2,740,662 1,740,000 Genentech, Inc. 5.250%, due 07/15/35............................................................ 1,536,161 3,480,000 Merck & Co., Inc. 6.400%, due 03/01/28............................................................ 3,550,425 3,500,000 Quest Diagnostics, Inc. 5.450%, due 11/01/15............................................................ 3,296,286 3,600,000 WellPoint, Inc. 5.000%, due 12/15/14............................................................ 3,399,091 2,370,000 Wyeth 6.500%, due 02/01/34............................................................ 2,436,822 ----------- 16,959,447 ----------- INDUSTRIALS - 5.08% 760,000 Boeing Co. 8.625%, due 11/15/31............................................................ 1,007,648 1,380,000 Boeing Co. 6.875%, due 10/15/43............................................................ 1,528,778 1,140,000 D.R. Horton, Inc. 5.250%, due 02/15/15............................................................ 1,020,129 4,000,000 DaimlerChrysler NA Holding Corp. 4.750%, due 01/15/08............................................................ 3,986,172 3,850,000 Dow Chemical Co. (O) 5.750%, due 12/15/08............................................................ 3,856,387 2,000,000 Ford Motor Credit Co. LLC 5.800%, due 01/12/09............................................................ 1,957,704
-------------------------------------------------------------------------------- 35 See accompanying Notes to Financial Statements. BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Par Value Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) -------------------------------------------------------------------------------------------------------------- INDUSTRIALS (CONTINUED) $ 3,200,000 General Electric Co. 5.000%, due 02/01/13............................................................ $ 3,102,522 1,125,000 GMAC LLC (O) 6.125%, due 08/28/07............................................................ 1,125,766 3,265,000 GMAC LLC 7.250%, due 03/02/11............................................................ 3,254,294 958,000 Raytheon Co. 4.500%, due 11/15/07............................................................ 954,642 2,465,000 Waste Management, Inc. 7.125%, due 12/15/17............................................................ 2,565,197 2,250,000 Westvaco Corp. 8.200%, due 01/15/30............................................................ 2,380,486 3,000,000 Weyerhaeuser Co. 6.875%, due 12/15/33............................................................ 2,873,457 2,870,000 WM Wrigley Jr. Co. 4.300%, due 07/15/10............................................................ 2,783,630 ----------- 32,396,812 ----------- MEDIA - 1.09% 3,080,000 Comcast Cable Communication Holdings, Inc. 9.455%, due 11/15/22............................................................ 3,908,985 3,000,000 Rogers Cable, Inc. (D) 6.250%, due 06/15/13............................................................ 3,028,707 ----------- 6,937,692 ----------- PIPELINE - 0.25% 1,675,000 KN Energy, Inc. (O) 7.250%, due 03/01/28............................................................ 1,608,596 ----------- REAL ESTATE INVESTMENT TRUST - 0.17% 1,060,000 Simon Property Group L.P. 5.875%, due 03/01/17............................................................ 1,054,127 ----------- TELECOMMUNICATIONS - 0.80% 2,400,000 Cisco Systems, Inc. 5.500%, due 02/22/16............................................................ 2,341,939 2,915,000 Sprint Nextel Corp. 6.000%, due 12/01/16............................................................ 2,765,330 ----------- 5,107,269 ----------- TRANSPORTATION - 0.94% 2,925,000 Burlington Northern Santa Fe Corp. (O) 8.125%, due 04/15/20............................................................ 3,354,893 1,268,000 Norfolk Southern Corp. 5.590%, due 05/17/25............................................................ 1,153,208 1,400,000 Norfolk Southern Corp. 7.050%, due 05/01/37............................................................ 1,479,040
Par Value Value (Note 2) --------- -------------- TRANSPORTATION (CONTINUED) $ 9,631 Southwest Airlines Co., Series A3 8.700%, due 07/01/11............................................................ $ 10,113 ----------- 5,997,254 ----------- UTILITIES - 4.61% 2,750,000 Consumers Energy Co. 5.650%, due 04/15/20............................................................ 2,632,754 2,000,000 Energy East Corp. 8.050%, due 11/15/10............................................................ 2,139,818 2,940,000 Illinois Power Co. 7.500%, due 06/15/09............................................................ 2,998,624 3,445,000 Indianapolis Power & Light Co. (C) 6.050%, due 10/01/36............................................................ 3,280,384 2,765,000 New York State Electric & Gas Corp. 4.375%, due 11/15/07............................................................ 2,752,580 2,925,000 Pacific Gas & Electric Co. 6.050%, due 03/01/34............................................................ 2,833,415 2,400,000 Progress Energy, Inc. 7.750%, due 03/01/31............................................................ 2,774,686 1,200,000 Sierra Pacific Power Co., Series M 6.000%, due 05/15/16............................................................ 1,176,920 3,500,000 Southern Power Co./GA, Series B 6.250%, due 07/15/12............................................................ 3,578,456 2,165,000 Southwestern Electric Power Co., Series E 5.550%, due 01/15/17............................................................ 2,082,130 3,000,000 Wisconsin Electric Power Co. 6.500%, due 06/01/28............................................................ 3,128,520 ----------- 29,378,287 ----------- TOTAL CORPORATE NOTES AND BONDS ( Cost $161,912,000 )........................................................... 157,437,954 MORTGAGE BACKED - 25.63% -------------------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. - 4.35% 4,374,075 5.000%, due 05/01/18 Pool # E96322................................................................... 4,243,355 197,300 3.000%, due 10/15/21 Series 2659, Class NJ........................................................................ 196,927 129,089 8.000%, due 06/01/30 Pool # C01005................................................................... 136,061 644,227 7.000%, due 03/01/31 Pool # C48129................................................................... 664,950 265,167 6.500%, due 03/01/32 Pool # C65648................................................................... 270,061
-------------------------------------------------------------------------------- 36 See accompanying Notes to Financial Statements. BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Par Value Value (Note 2) --------- -------------- MORTGAGE BACKED (CONTINUED) -------------------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. (CONTINUED) $ 4,487,111 5.000%, due 07/01/33 Pool # A11325................................................................... $ 4,228,032 1,055,818 6.000%, due 10/01/34 Pool # A28439................................................................... 1,049,696 916,944 6.000%, due 10/01/34 Pool # A28598................................................................... 911,628 6,815,800 5.500%, due 11/01/34 Pool # A28282................................................................... 6,598,591 641,162 5.000%, due 04/01/35 Pool # A32314................................................................... 602,572 1,505,672 5.000%, due 04/01/35 Pool # A32315................................................................... 1,415,049 1,547,416 5.000%, due 04/01/35 Pool # A32316................................................................... 1,454,281 421,150 5.000%, due 04/01/35 Pool # A32509................................................................... 395,801 5,949,871 5.000%, due 01/01/37 Pool # A56371................................................................... 5,581,848 ----------- 27,748,852 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 21.17% 3,586,422 4.000%, due 04/01/15 Pool # 255719................................................................... 3,421,661 4,774,510 5.500%, due 04/01/16 Pool # 745444................................................................... 4,718,612 256,693 6.000%, due 05/01/16 Pool # 582558................................................................... 258,224 1,129,173 5.500%, due 09/01/17 Pool # 657335................................................................... 1,116,589 1,619,229 5.500%, due 02/01/18 Pool # 673194................................................................... 1,601,183 4,534,615 5.000%, due 05/01/20 Pool # 813965................................................................... 4,385,451 4,217,615 4.500%, due 09/01/20 Pool # 835465................................................................... 4,003,921 594,716 6.000%, due 05/01/21 Pool # 253847................................................................... 597,233 190,928 7.000%, due 12/01/29 Pool # 762813................................................................... 197,697 250,627 7.000%, due 11/01/31 Pool # 607515................................................................... 259,761 378,590 6.500%, due 03/01/32 Pool # 631377................................................................... 385,296 5,407 7.000%, due 04/01/32 Pool # 641518................................................................... 5,600
Par Value Value (Note 2) --------- -------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED) $ 457,123 7.000%, due 05/01/32 Pool # 644591................................................................... $ 473,783 4,172,101 6.500%, due 06/01/32 Pool # 545691................................................................... 4,245,994 5,480,529 5.500%, due 04/01/33 Pool # 690206................................................................... 5,310,040 6,642,651 5.000%, due 10/01/33 Pool # 254903................................................................... 6,257,145 6,899,797 5.500%, due 11/01/33 Pool # 555880................................................................... 6,685,158 119,227 5.000%, due 05/01/34 Pool # 782214................................................................... 112,184 1,712,381 5.000%, due 06/01/34 Pool # 778891................................................................... 1,611,234 6,613,241 5.500%, due 06/01/34 Pool # 780384................................................................... 6,402,841 86,741 7.000%, due 07/01/34 Pool # 792636................................................................... 89,455 801,693 5.500%, due 08/01/34 Pool # 793647................................................................... 776,188 3,673,173 5.500%, due 03/01/35 Pool # 810075................................................................... 3,551,707 3,665,882 5.500%, due 03/01/35 Pool # 815976................................................................... 3,544,658 3,903,848 5.500%, due 07/01/35 Pool # 825283................................................................... 3,774,755 5,185,528 5.000%, due 08/01/35 Pool # 829670................................................................... 4,872,035 2,400,127 5.500%, due 08/01/35 Pool # 826872................................................................... 2,320,759 4,056,182 5.000%, due 09/01/35 Pool # 820347................................................................... 3,810,964 4,177,930 5.000%, due 09/01/35 Pool # 835699................................................................... 3,925,352 7,318,823 5.000%, due 10/01/35 Pool # 797669................................................................... 6,876,361 929,320 5.500%, due 10/01/35 Pool # 836912................................................................... 898,589 5,589,344 5.000%, due 11/01/35 Pool # 844809................................................................... 5,251,438 5,581,361 5.000%, due 12/01/35 Pool # 850561................................................................... 5,243,937 1,943,315 5.500%, due 02/01/36 Pool # 851330................................................................... 1,879,053 2,146,479 5.500%, due 10/01/36 Pool # 896340................................................................... 2,071,261 11,179,468 5.500%, due 10/01/36 Pool # 901723................................................................... 10,787,708
-------------------------------------------------------------------------------- 37 See accompanying Notes to Financial Statements. BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Par Value Value (Note 2) --------- -------------- MORTGAGE BACKED (CONTINUED) -------------------------------------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED) $ 6,080,502 6.500%, due 10/01/36 Pool # 894118................................................................... $ 6,139,640 6,549,867 6.000%, due 11/01/36 Pool # 902510................................................................... 6,498,051 5,478,290 5.500%, due 05/01/37 Pool # 899323................................................................... 5,283,753 5,475,000 5.500%, due 07/01/37 Pool # 938197 (H)............................................................... 5,280,681 ----------- 134,925,952 ----------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.11% 86,033 8.000%, due 10/20/15 Pool # 002995................................................................... 90,316 304,395 6.500%, due 02/20/29 Pool # 002714................................................................... 311,179 284,626 6.500%, due 04/20/31 Pool # 003068................................................................... 290,758 ----------- 692,253 ----------- TOTAL MORTGAGE BACKED ( Cost $167,696,974 )........................................................... 163,367,057 U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 29.78% -------------------------------------------------------------------------------------------------------------- FEDERAL FARM CREDIT BANK - 0.65% 4,000,000 5.875%, due 10/03/16............................................................ 4,120,320 ----------- FEDERAL HOME LOAN MORTGAGE CORP. - 1.20% 2,500,000 4.875%, due 11/15/13 (O)........................................................ 2,435,142 5,500,000 4.500%, due 01/15/14 (O)........................................................ 5,241,951 ----------- 7,677,093 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.68% 4,675,000 4.000%, due 09/02/08 (O)........................................................ 4,608,101 2,400,000 5.250%, due 08/01/12 (O)........................................................ 2,379,396 3,905,000 4.625%, due 10/15/14 (O)........................................................ 3,726,901 ----------- 10,714,398 ----------- U.S. TREASURY BONDS - 3.86% 1,000,000 10.625%, due 08/15/15 (O)....................................................... 1,370,234 19,850,000 6.625%, due 02/15/27 (O)........................................................ 23,252,409 ----------- 24,622,643 ----------- U.S. TREASURY NOTES - 22.39% 2,500,000 4.000%, due 08/31/07 (O)........................................................ 2,496,290 10,000,000 4.625%, due 03/31/08 (O)........................................................ 9,970,310
Par Value Value (Note 2) --------- -------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED) -------------------------------------------------------------------------------------------------------------- U.S. TREASURY NOTES (CONTINUED) $ 1,015,000 3.750%, due 05/15/08 (O)........................................................ $ 1,003,898 12,000,000 2.625%, due 03/15/09 (O)........................................................ 11,552,808 3,640,000 4.875%, due 05/31/09 (O)........................................................ 3,638,864 2,000,000 3.500%, due 02/15/10 (O)........................................................ 1,931,718 9,625,000 3.875%, due 05/15/10 (O)........................................................ 9,365,577 8,750,000 3.875%, due 09/15/10 (O)........................................................ 8,488,865 13,000,000 4.500%, due 11/15/10 (O)........................................................ 12,843,597 1,485,000 4.750%, due 03/31/11 (O)........................................................ 1,476,763 23,100,000 4.625%, due 12/31/11 (O)........................................................ 22,813,052 6,425,000 4.625%, due 02/29/12 (O)........................................................ 6,342,683 6,000,000 4.875%, due 06/30/12 (H)........................................................ 5,983,596 5,660,000 3.625%, due 05/15/13 (O)........................................................ 5,291,658 1,915,000 4.000%, due 02/15/14 (O)........................................................ 1,812,818 6,565,000 4.250%, due 11/15/14 (O)........................................................ 6,263,936 2,750,000 4.000%, due 02/15/15 (O)........................................................ 2,575,116 5,900,000 4.250%, due 08/15/15 (O)........................................................ 5,598,085 14,200,000 4.625%, due 02/15/17 (O)........................................................ 13,751,820 9,920,000 4.500%, due 05/15/17 (O)........................................................ 9,510,800 ----------- 142,712,254 ----------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ( Cost $192,911,716 )........................................................... 189,846,708 CERTIFICATE OF DEPOSIT - 3.09% -------------------------------------------------------------------------------------------------------------- 19,678,045 State Street Eurodollar 2.800%, due 07/02/07............................................................ 19,678,045 ----------- TOTAL CERTIFICATE OF DEPOSIT ( Cost $19,678,045 )............................................................ 19,678,045 Shares ------ INVESTMENT COMPANIES - 4.49% -------------------------------------------------------------------------------------------------------------- 3 J.P. Morgan Prime Money Market Fund............................................. 3 28,617,181 SSgA Prime Money Market Fund (N)................................................ 28,617,181 ----------- TOTAL INVESTMENT COMPANIES ( Cost $28,617,184 )............................................................ 28,617,184
-------------------------------------------------------------------------------- 38 See accompanying Notes to Financial Statements. BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COLLATERAL FOR SECURITIES ON LOAN - 24.10% -------------------------------------------------------------------------------------------------------------- 153,653,884 State Street Navigator Securities Lending Prime Portfolio (I)............................................................. $ 153,653,884 ----------- TOTAL COLLATERAL FOR SECURITIES ON LOAN ( Cost $153,653,884 )........................................................... 153,653,884 TOTAL INVESTMENTS - 125.03% -------------------------------------------------------------------------------------------------------------- ( Cost $815,100,850** ).......................................................................... 797,001,611 NET OTHER ASSETS AND LIABILITIES - (25.03)% -------------------------------------------------------------------------------------------------------------- (159,564,770) TOTAL NET ASSETS - 100.00% -------------------------------------------------------------------------------------------------------------- $ 637,436,841 --------------------------------------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $815,369,810. (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 1.19% of total net assets. (G) Floating rate or variable rate note. Rate shown is as of June 30, 2007. (H) Security purchased on a delayed delivery or when- issued basis. Rate shown is at issue date. (I) Represents investments of cash collateral received in connection with securities lending. (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. (N) Security segregated for forward or when-issued purchase commitments outstanding as of June 30, 2007. (O) All (or portion of security) on loan. PLC Public Limited Company. The industry classification method used for purposes of this report may differ from the industry sub-classification(s) used for Trust compliance purposes. -------------------------------------------------------------------------------- 39 See accompanying Notes to Financial Statements. HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Par Value Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS - 95.75% ------------------------------------------------------------------------------------------------------------- AEROSPACE/DEFENSE - 1.22% $ 750,000 Alion Science and Technology Corp. 10.250%, due 02/01/15........................................................... $ 787,500 250,000 Hawker Beechcraft Acquisition Co. LLC/ Hawker Beechcraft Notes Co. (C)(O) 9.750%, due 04/01/17............................................................ 261,250 800,000 K&F Acquisition, Inc. 7.750%, due 11/15/14............................................................ 848,000 ----------- 1,896,750 ----------- APPAREL/TEXTILES - 0.93% 350,000 Hanesbrands, Inc., Series B (G) 8.735%, due 12/15/14............................................................ 355,250 750,000 Oxford Industries, Inc. 8.875%, due 06/01/11............................................................ 774,375 300,000 Warnaco, Inc. 8.875%, due 06/15/13............................................................ 317,250 ----------- 1,446,875 ----------- AUTOMOTIVE - 4.47% 750,000 American Axle & Manufacturing, Inc. (O) 7.875%, due 03/01/17............................................................ 736,875 250,000 Ford Motor Credit Co. LLC 7.250%, due 10/25/11............................................................ 240,608 750,000 Ford Motor Credit Co. LLC 7.800%, due 06/01/12............................................................ 731,645 750,000 Ford Motor Credit Co. LLC (O) 8.000%, due 12/15/16............................................................ 718,386 800,000 General Motors Corp. (O) 7.125%, due 07/15/13............................................................ 751,000 600,000 General Motors Corp. (O) 7.700%, due 04/15/16............................................................ 558,000 650,000 General Motors Corp. (O) 8.250%, due 07/15/23............................................................ 592,313 400,000 KAR Holdings, Inc. (C) 8.750%, due 05/01/14............................................................ 392,000 750,000 KAR Holdings, Inc. (C) 10.000%, due 05/01/15........................................................... 731,250 750,000 United Auto Group, Inc. 7.750%, due 12/15/16............................................................ 746,250 750,000 United Components, Inc. 9.375%, due 06/15/13............................................................ 774,375 ----------- 6,972,702 ----------- BEVERAGE/FOOD - 1.63% 500,000 B&G Foods, Inc. 8.000%, due 10/01/11............................................................ 500,000 500,000 Constellation Brands, Inc. (C) 7.250%, due 05/15/17............................................................ 487,500
Par Value Value (Note 2) --------- -------------- BEVERAGE/FOOD (CONTINUED) $ 180,000 Michael Foods, Inc. 8.000%, due 11/15/13............................................................ $ 181,800 600,000 NBTY, Inc. 7.125%, due 10/01/15............................................................ 594,000 800,000 Pinnacle Foods Finance LLC/ Pinnacle Foods Finance Corp. (C)(O) 10.625%, due 04/01/17........................................................... 770,000 ----------- 2,533,300 ----------- BUILDING MATERIALS - 1.76% 1,000,000 Goodman Global Holdings, Inc. (O) 7.875%, due 12/15/12............................................................ 990,000 750,000 Interline Brands, Inc. 8.125%, due 06/15/14............................................................ 755,625 1,000,000 U.S. Concrete, Inc. (O) 8.375%, due 04/01/14............................................................ 997,500 ----------- 2,743,125 ----------- CHEMICALS - 2.87% 1,000,000 Hexion US Finance Corp./ Hexion Nova Scotia Finance ULC 9.750%, due 11/15/14............................................................ 1,035,000 500,000 Hexion US Finance Corp./ Hexion Nova Scotia Finance ULC (G)(O) 9.860%, due 11/15/14............................................................ 515,000 500,000 Ineos Group Holdings PLC (C)(D)(O) 8.500%, due 02/15/16............................................................ 488,750 500,000 Lyondell Chemical Co. 8.000%, due 09/15/14............................................................ 513,750 600,000 Lyondell Chemical Co. 8.250%, due 09/15/16............................................................ 627,000 400,000 Momentive Performance Materials, Inc. (C) 9.750%, due 12/01/14............................................................ 404,000 600,000 Nalco Co. (O) 8.875%, due 11/15/13............................................................ 622,500 250,000 Tronox Worldwide LLC/ Tronox Finance Corp. 9.500%, due 12/01/12............................................................ 260,625 ----------- 4,466,625 ----------- CONSUMER PRODUCTS - 3.21% 400,000 American Achievement Corp. 8.250%, due 04/01/12............................................................ 403,000 1,000,000 Central Garden and Pet Co. 9.125%, due 02/01/13............................................................ 1,030,000 290,000 Da-Lite Screen Co., Inc. 9.500%, due 05/15/11............................................................ 304,500 900,000 Leslie's Poolmart 7.750%, due 02/01/13............................................................ 895,500 1,100,000 Simmons Co. (O) 7.875%, due 01/15/14............................................................ 1,094,500
-------------------------------------------------------------------------------- 40 See accompanying Notes to Financial Statements. HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Par Value Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) ------------------------------------------------------------------------------------------------------------- CONSUMER PRODUCTS (CONTINUED) $ 500,000 Visant Corp. 7.625%, due 10/01/12............................................................ $ 497,500 750,000 Visant Holding Corp. 8.750%, due 12/01/13............................................................ 780,000 ----------- 5,005,000 ----------- ENVIRONMENTAL - 2.40% 1,000,000 Casella Waste Systems, Inc. 9.750%, due 02/01/13............................................................ 1,037,500 800,000 Waste Connections, Inc. (O)(P) 3.750%, due 04/01/26............................................................ 878,000 750,000 Waste Services, Inc. (O) 9.500%, due 04/15/14............................................................ 788,438 1,000,000 WCA Waste Corp. 9.250%, due 06/15/14............................................................ 1,040,000 ----------- 3,743,938 ----------- FOOD & DRUG RETAILERS - 2.02% 750,000 Rite Aid Corp. (O) 9.250%, due 06/01/13............................................................ 744,375 1,250,000 Rite Aid Corp. 8.625%, due 03/01/15............................................................ 1,168,750 500,000 Rite Aid Corp. 7.500%, due 03/01/17............................................................ 482,500 250,000 Stater Brothers Holdings (O) 8.125%, due 06/15/12............................................................ 251,875 500,000 Stater Brothers Holdings (C) 7.750%, due 04/15/15............................................................ 501,250 ----------- 3,148,750 ----------- FORESTRY/PAPER - 4.48% 750,000 Abitibi-Consolidated Co. of Canada (D)(O) 8.375%, due 04/01/15............................................................ 656,250 750,000 Abitibi-Consolidated, Inc. (D)(G) 8.860%, due 06/15/11............................................................ 705,000 350,000 Boise Cascade LLC (G) 8.231%, due 10/15/12............................................................ 350,000 750,000 Boise Cascade LLC 7.125%, due 10/15/14............................................................ 712,500 750,000 Cascades, Inc. (D) 7.250%, due 02/15/13............................................................ 729,375 600,000 Catalyst Paper Corp., Series D (D) 8.625%, due 06/15/11............................................................ 580,500 485,000 Catalyst Paper Corp. (D) 7.375%, due 03/01/14............................................................ 435,894 750,000 Georgia-Pacific Corp. (C) 7.125%, due 01/15/17............................................................ 720,000
Par Value Value (Note 2) --------- -------------- FORESTRY/PAPER (CONTINUED) $1,000,000 Smurfit-Stone Container Enterprises, Inc. 8.000%, due 03/15/17............................................................ $ 970,000 500,000 Smurfit-Stone Container Enterprises, Inc. 8.375%, due 07/01/12............................................................ 500,625 250,000 Verso Paper Holdings LLC and Verson Paper, Inc. (C)(G) 9.106%, due 08/01/14............................................................ 255,000 350,000 Verso Paper Holdings LLC and Verson Paper, Inc. (C) 11.375%, due 08/01/16........................................................... 373,625 ----------- 6,988,769 ----------- GAMING - 8.30% 750,000 American Casino & Entertainment Properties LLC 7.850%, due 02/01/12............................................................ 770,625 320,000 Boyd Gaming Corp. 6.750%, due 04/15/14............................................................ 313,600 750,000 CCM Merger, Inc. (C) 8.000%, due 08/01/13............................................................ 746,250 200,000 Chukchansi Economic Development Authority (C)(G) 8.859%, due 11/15/12............................................................ 203,500 750,000 Fontainebleau Las Vegas Holdings LLC/ Fontainebleau Las Vegas Capital Corp. (C) 10.250%, due 06/15/15........................................................... 738,750 650,000 Global Cash Access LLC/ Global Cash Finance Corp. 8.750%, due 03/15/12............................................................ 674,375 750,000 Herbst Gaming, Inc. 7.000%, due 11/15/14............................................................ 703,125 500,000 Isle of Capri Casinos, Inc. 9.000%, due 03/15/12............................................................ 521,250 500,000 Isle of Capri Casinos, Inc. 7.000%, due 03/01/14............................................................ 473,125 1,000,000 MGM Mirage (O) 7.625%, due 01/15/17............................................................ 951,250 1,000,000 MTR Gaming Group, Inc., Series B 9.750%, due 04/01/10............................................................ 1,040,000 500,000 Penn National Gaming, Inc. 6.750%, due 03/01/15............................................................ 512,500 500,000 Pinnacle Entertainment, Inc. 8.250%, due 03/15/12............................................................ 515,000 365,000 Pinnacle Entertainment, Inc. (O) 8.750%, due 10/01/13............................................................ 381,425 500,000 Pinnacle Entertainment, Inc. (C) 7.500%, due 06/15/15............................................................ 482,500 200,000 Seneca Gaming Corp. 7.250%, due 05/01/12............................................................ 202,750
-------------------------------------------------------------------------------- 41 See accompanying Notes to Financial Statements. HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Par Value Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) ------------------------------------------------------------------------------------------------------------- GAMING (CONTINUED) $ 300,000 Seneca Gaming Corp., Series B 7.250%, due 05/01/12............................................................ $ 304,125 750,000 Shuffle Master, Inc. (P) 1.250%, due 04/15/24............................................................ 704,062 300,000 Station Casinos, Inc. (O) 6.875%, due 03/01/16............................................................ 264,750 750,000 Station Casinos, Inc. 7.750%, due 08/15/16............................................................ 742,500 850,000 Station Casinos, Inc. 6.625%, due 03/15/18............................................................ 731,000 1,000,000 Wimar Opco LLC/ Wimar Opco Finance Corp. (C) 9.625%, due 12/15/14............................................................ 962,500 ----------- 12,938,962 ----------- GENERAL INDUSTRIAL & MANUFACTURING - 2.68% 750,000 Baldor Electric Co. 8.625%, due 02/15/17............................................................ 793,125 500,000 Chart Industries, Inc. 9.125%, due 10/15/15............................................................ 525,000 200,000 Hexcel Corp. 6.750%, due 02/01/15............................................................ 194,000 750,000 Mueller Water Products, Inc. (C) 7.375%, due 06/01/17............................................................ 743,707 700,000 RBS Global, Inc. and Rexnord Corp. 8.875%, due 09/01/16............................................................ 701,750 694,000 Trimas Corp. 9.875%, due 06/15/12............................................................ 713,085 500,000 Wesco Distribution, Inc. (O) 7.500%, due 10/15/17............................................................ 500,000 ----------- 4,170,667 ----------- HEALTH CARE - 8.01% 250,000 Advanced Medical Optics, Inc. (C) 7.500%, due 05/01/17............................................................ 236,250 750,000 Advanced Medical Optics, Inc. (P) 3.250%, due 08/01/26............................................................ 672,187 1,000,000 Carriage Services, Inc. 7.875%, due 01/15/15............................................................ 1,012,500 400,000 CDRV Investors, Inc. (B) 0.000%, due 01/01/15............................................................ 364,000 800,000 Community Health Systems, Inc. (C)(H) 8.875%, due 07/15/15............................................................ 811,000 500,000 HCA, Inc. (O) 6.500%, due 02/15/16............................................................ 423,125 1,000,000 HCA, Inc. (C) 9.250%, due 11/15/16............................................................ 1,065,000
Par Value Value (Note 2) --------- -------------- HEALTH CARE (CONTINUED) $ 500,000 HCA, Inc., PIK (C)(O) 9.625%, due 11/15/16............................................................ $ 537,500 750,000 IASIS Healthcare LLC/ IASIS Capital Corp. (O) 8.750%, due 06/15/14............................................................ 750,000 750,000 Omnicare, Inc., Series OCR (P) 3.250%, due 12/15/35............................................................ 627,188 750,000 Psychiatric Solutions, Inc. (O) 7.750%, due 07/15/15............................................................ 741,562 500,000 Res-Care, Inc. 7.750%, due 10/15/13............................................................ 512,500 500,000 Service Corp. International/US (O) 7.625%, due 10/01/18............................................................ 506,250 150,000 Teva Pharmaceutical Finance Co. BV, Series D (D)(O)(P) 1.750%, due 02/01/26............................................................ 149,438 400,000 Triad Hospitals, Inc. 7.000%, due 11/15/13............................................................ 420,480 750,000 United Surgical Partners International, Inc. (C) 8.875%, due 05/01/17............................................................ 751,875 750,000 Universal Hospital Services, Inc., PIK (C) 8.500%, due 06/01/15............................................................ 742,500 800,000 Vanguard Health Holding Co. I LLC (B) 0.000%, due 10/01/15............................................................ 652,000 750,000 Vanguard Health Holding Co. II LLC 9.000%, due 10/01/14............................................................ 742,500 750,000 Warner Chilcott Corp. 8.750%, due 02/01/15............................................................ 770,625 ----------- 12,488,480 ----------- HOTEL - 0.12% 200,000 Host Marriott L.P., REIT, Series O 6.375%, due 03/15/15............................................................ 192,000 ----------- INSURANCE - 1.54% 2,500,000 HUB International Holdings, Inc. (C) 10.250%, due 06/15/15........................................................... 2,406,250 ----------- LEISURE & ENTERTAINMENT - 0.41% 650,000 Speedway Motorsports, Inc. 6.750%, due 06/01/13............................................................ 633,750 ----------- MEDIA - BROADCASTING - 1.32% 754,000 Allbritton Communications Co. 7.750%, due 12/15/12............................................................ 757,770 100,000 LIN Television Corp. 6.500%, due 05/15/13............................................................ 97,750
-------------------------------------------------------------------------------- 42 See accompanying Notes to Financial Statements. HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Par Value Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) ------------------------------------------------------------------------------------------------------------- MEDIA - BROADCASTING (CONTINUED) $ 750,000 LIN Television Corp. (P) 2.500%, due 05/15/33............................................................ $ 727,500 250,000 LIN Television Corp., Series B 6.500%, due 05/15/13............................................................ 244,375 221,000 Sinclair Broadcast Group, Inc. 8.000%, due 03/15/12............................................................ 227,630 ----------- 2,055,025 ----------- MEDIA - CABLE - 3.48% 1,000,000 Cablevision Systems Corp., Series B (O) 8.000%, due 04/15/12............................................................ 987,500 1,250,000 Echostar DBS Corp. 6.625%, due 10/01/14............................................................ 1,193,750 300,000 Mediacom Broadband LLC (O) 8.500%, due 10/15/15............................................................ 301,500 500,000 Mediacom Broadband LLC (C) 8.500%, due 10/15/15............................................................ 502,500 1,000,000 Mediacom LLC/Mediacom Capital Corp. 9.500%, due 01/15/13............................................................ 1,022,500 1,350,000 Virgin Media Finance PLC (D) 9.125%, due 08/15/16............................................................ 1,414,125 ----------- 5,421,875 ----------- MEDIA - DIVERSIFIED & SERVICES - 3.99% 1,000,000 Hughes Network Systems LLC/ HNS Finance Corp. 9.500%, due 04/15/14............................................................ 1,045,000 400,000 Intelsat, Ltd. (D)(O) 7.625%, due 04/15/12............................................................ 357,000 1,250,000 Intelsat Bermuda, Ltd. (D)(G) 8.872%, due 01/15/15............................................................ 1,276,562 500,000 Intelsat Bermuda, Ltd. 9.250%, due 06/15/16............................................................ 531,250 750,000 Intelsat Bermuda, Ltd. (D) 11.250%, due 06/15/16........................................................... 840,000 210,000 Lamar Media Corp. 7.250%, due 01/01/13............................................................ 209,475 500,000 Lamar Media Corp. 6.625%, due 08/15/15............................................................ 473,750 500,000 LBI Media, Inc. 10.125%, due 07/15/12........................................................... 525,625
Par Value Value (Note 2) --------- -------------- MEDIA - DIVERSIFIED & SERVICES (CONTINUED) $ 750,000 Quebecor Media, Inc. (D) 7.750%, due 03/15/16............................................................ $ 761,250 250,000 WMG Holdings Corp. (B) 0.000%, due 12/15/14............................................................ 190,000 ----------- 6,209,912 ----------- METALS AND MINING - 2.03% 750,000 Aleris International, Inc., PIK (C) 9.000%, due 12/15/14............................................................ 756,563 750,000 Aleris International, Inc. (C) 10.000%, due 12/15/16........................................................... 744,375 1,000,000 Alpha Natural Resources LLC/Alpha Natural Resources Capital Corp. (O) 10.000%, due 06/01/12........................................................... 1,055,000 350,000 Arch Western Finance LLC 6.750%, due 07/01/13............................................................ 336,000 250,000 Peabody Energy Corp. (P) 4.750%, due 12/15/66............................................................ 264,062 ----------- 3,156,000 ----------- NON FOOD & DRUG RETAILERS - 4.48% 1,250,000 AutoNation, Inc. (G) 7.356%, due 04/15/13............................................................ 1,246,875 750,000 Blockbuster, Inc. (O) 9.000%, due 09/01/12............................................................ 693,750 500,000 Buhrmann U.S., Inc. 7.875%, due 03/01/15............................................................ 492,500 500,000 Burlington Coat Factory Warehouse Corp. (O) 11.125%, due 04/15/14........................................................... 487,500 250,000 GSC Holdings Corp. (G) 9.224%, due 10/01/11............................................................ 256,075 400,000 Pantry, Inc. 7.750%, due 02/15/14............................................................ 390,000 350,000 Petro Stopping Centers L.P./Petro Financial Corp. 9.000%, due 02/15/12............................................................ 369,250 1,000,000 Sally Holdings LLC (C) 9.250%, due 11/15/14............................................................ 1,002,500 550,000 Sally Holdings LLC (C)(O) 10.500%, due 11/15/16........................................................... 552,750 706,000 Susser Holdings LLC 10.625%, due 12/15/13........................................................... 766,010 750,000 Yankee Acquisition Corp./MA, Series B 8.500%, due 02/15/15............................................................ 727,500 ----------- 6,984,710 -----------
-------------------------------------------------------------------------------- 43 See accompanying Notes to Financial Statements. HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Par Value Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) ------------------------------------------------------------------------------------------------------------- OIL & GAS - 7.70% $ 250,000 Berry Petroleum Co. 8.250%, due 11/01/16............................................................ $ 251,875 470,000 Chesapeake Energy Corp. (O) 6.875%, due 01/15/16............................................................ 459,425 1,000,000 Complete Production Services, Inc. (C) 8.000%, due 12/15/16............................................................ 1,010,000 700,000 Compton Petroleum Finance Corp. (O) 7.625%, due 12/01/13............................................................ 691,250 350,000 Denbury Resources, Inc. 7.500%, due 04/01/13............................................................ 350,000 300,000 Encore Acquisition Co. 6.250%, due 04/15/14............................................................ 267,750 500,000 Encore Acquisition Co. 6.000%, due 07/15/15............................................................ 441,250 500,000 Energy Partners, Ltd. (C)(G) 10.480%, due 04/15/13........................................................... 502,500 750,000 Energy Partners, Ltd. (C) 9.750%, due 04/15/14............................................................ 744,375 1,000,000 Exco Resources, Inc. 7.250%, due 01/15/11............................................................ 995,000 750,000 Harvest Operations Corp. (D) 7.875%, due 10/15/11............................................................ 735,938 750,000 Mariner Energy, Inc. 8.000%, due 05/15/17............................................................ 744,375 1,000,000 PetroHawk Energy Corp. 9.125%, due 07/15/13............................................................ 1,057,500 1,500,000 Petroplus Finance, Ltd. (C)(D) 7.000%, due 05/01/17............................................................ 1,443,750 1,400,000 VeraSun Energy Corp. (C) 9.375%, due 06/01/17............................................................ 1,302,000 1,000,000 W&T Offshore, Inc. (C) 8.250%, due 06/15/14............................................................ 1,000,000 ----------- 11,996,988 ----------- PACKAGING - 0.50% 750,000 BWAY Corp. 10.000%, due 10/15/10........................................................... 780,937 ----------- PRINTING & PUBLISHING - 3.51%M 1,000,000 CBD Media, Inc. 8.625%, due 06/01/11............................................................ 1,010,000 750,000 Cenveo Corp. 7.875%, due 12/01/13............................................................ 735,000 500,000 Deluxe Corp. (C) 7.375%, due 06/01/15............................................................ 497,500 1,500,000 Idearc, Inc. 8.000%, due 11/15/16............................................................ 1,515,000
Par Value Value (Note 2) --------- -------------- PRINTING & PUBLISHING (CONTINUED) $ 750,000 RH Donnelley Corp., Series A-3 8.875%, due 01/15/16............................................................ $ 780,000 950,000 Valassis Communications, Inc. (C) 8.250%, due 03/01/15............................................................ 926,250 ----------- 5,463,750 ----------- RESTAURANTS - 0.57% 400,000 OSI Restaurant Partners, Inc. (C)(O) 10.000%, due 06/15/15........................................................... 382,000 500,000 Seminole Hard Rock Entertainment, Inc./ Seminole Hard Rock International LLC (C)(G) 7.860%, due 03/15/14............................................................ 503,750 ----------- 885,750 ----------- STEEL - 0.48% 750,000 AK Steel Corp. 7.750%, due 06/15/12............................................................ 750,000 ----------- SUPPORT SERVICES - 7.43% 1,500,000 Aramark Corp. (C) 8.500%, due 02/01/15............................................................ 1,526,250 750,000 Ashtead Capital, Inc. (C) 9.000%, due 08/15/16............................................................ 785,625 250,000 Avis Budget Car Rental LLC/Avis Budget Finance, Inc. (G)(O) 7.860%, due 05/15/14............................................................ 253,750 500,000 Cardtronics, Inc. 9.250%, due 08/15/13............................................................ 511,250 750,000 Education Management LLC/Education Management Corp. 10.250%, due 06/01/16........................................................... 789,375 500,000 FTI Consulting, Inc. 7.750%, due 10/01/16............................................................ 510,000 750,000 H&E Equipment Services, Inc. (O) 8.375%, due 07/15/16............................................................ 787,500 1,000,000 Hertz Corp. 8.875%, due 01/01/14............................................................ 1,042,500 500,000 Hertz Corp. 10.500%, due 01/01/16........................................................... 552,500 140,000 Iron Mountain, Inc. 7.750%, due 01/15/15............................................................ 136,500 500,000 Mac-Gray Corp. 7.625%, due 08/15/15............................................................ 502,500 1,000,000 Neff Corp. (C) 10.000%, due 06/01/15........................................................... 997,500
-------------------------------------------------------------------------------- 44 See accompanying Notes to Financial Statements. HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Par Value Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) ------------------------------------------------------------------------------------------------------------- SUPPORT SERVICES (CONTINUED) $ 400,000 Norcross Safety Products LLC/Norcross Capital Corp., Series B 9.875%, due 08/15/11............................................................ $ 421,000 1,400,000 Rental Services Corp. (C) 9.500%, due 12/01/14............................................................ 1,428,000 500,000 West Corp. 9.500%, due 10/15/14............................................................ 512,500 300,000 West Corp. (O) 11.000%, due 10/15/16........................................................... 313,500 500,000 Williams Scotsman, Inc. 8.500%, due 10/01/15............................................................ 516,250 ----------- 11,586,500 ----------- TECHNOLOGY - 3.94% 750,000 Celestica, Inc. (D)(O) 7.625%, due 07/01/13............................................................ 701,250 100,000 Flextronics International, Ltd. (D)(O)(P) 1.000%, due 08/01/10............................................................ 93,000 500,000 Freescale Semiconductor, Inc. (C)(O) 8.875%, due 12/15/14............................................................ 477,500 500,000 Freescale Semiconductor, Inc. (C)(O) 10.125%, due 12/15/16........................................................... 470,000 750,000 NXP BV/NXP Funding LLC (D)(O) 9.500%, due 10/15/15............................................................ 738,750 1,000,000 Sabre Holdings Corp. 8.350%, due 03/15/16............................................................ 900,000 500,000 Sungard Data Systems, Inc. 9.125%, due 08/15/13............................................................ 511,875 1,000,000 Sungard Data Systems, Inc. 10.250%, due 08/15/15........................................................... 1,057,500 1,250,000 Syniverse Technologies, Inc., Series B 7.750%, due 08/15/13............................................................ 1,193,750 ----------- 6,143,625 ----------- TELECOMMUNICATIONS - 5.11% 1,000,000 Centennial Communications Corp. (G) 11.099%, due 01/01/13........................................................... 1,045,000 1,000,000 Cincinnati Bell, Inc. (O) 8.375%, due 01/15/14............................................................ 1,010,000 700,000 Cincinnati Bell Telephone Co. 6.300%, due 12/01/28............................................................ 623,000 1,500,000 Citizens Communications Co. 7.875%, due 01/15/27............................................................ 1,458,750 1,250,000 Level 3 Financing, Inc. (C) 8.750%, due 02/15/17............................................................ 1,235,938 1,500,000 Nordic Telephone Co. Holdings ApS (C)(D) 8.875%, due 05/01/16............................................................ 1,590,000
Par Value Value (Note 2) --------- -------------- TELECOMMUNICATIONS (CONTINUED) $ 500,000 PAETEC Holding Corp. (C)(H)(L) 9.500%, due 07/15/15............................................................ $ 500,000 500,000 Qwest Communications International, Inc. (G) 8.860%, due 02/15/09............................................................ 505,000 ----------- 7,967,688 ----------- TRANSPORTATION - 0.79% 500,000 CHC Helicopter Corp. (D) 7.375%, due 05/01/14............................................................ 476,250 755,000 Gulfmark Offshore, Inc. 7.750%, due 07/15/14............................................................ 762,550 ----------- 1,238,800 ----------- UTILITIES - 4.37% 1,500,000 Dynegy Holdings, Inc. 8.375%, due 05/01/16............................................................ 1,466,250 2,500,000 Edison Mission Energy (C) 7.625%, due 05/15/27............................................................ 2,362,500 1,000,000 Ferrellgas Partners L.P./Ferrellgas Partners Finance 8.750%, due 06/15/12............................................................ 1,030,000 750,000 Inergy L.P./Inergy Finance Corp. 6.875%, due 12/15/14............................................................ 710,625 750,000 NRG Energy, Inc. 7.375%, due 02/01/16............................................................ 751,875 500,000 Suburban Propane Partners L.P./Suburban Energy Finance Corp. (O) 6.875%, due 12/15/13............................................................ 482,500 ----------- 6,803,750 ----------- TOTAL CORPORATE NOTES AND BONDS ( Cost $150,128,680 )........................................................... 149,221,253 Shares ------ INVESTMENT COMPANY - 2.24% ------------------------------------------------------------------------------------------------------------- 3,486,767 SSgA Prime Money Market Fund (N)................................................ 3,486,767 ----------- TOTAL INVESTMENT COMPANY ( Cost $3,486,767 )............................................................. 3,486,767
-------------------------------------------------------------------------------- 45 See accompanying Notes to Financial Statements. HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COLLATERAL FOR SECURITIES ON LOAN - 16.47% ------------------------------------------------------------------------------------------------------------- 25,666,595 State Street Navigator Securities Lending Prime Portfolio (I)..................................................... $ 25,666,595 ----------- TOTAL COLLATERAL FOR SECURITIES ON LOAN ( Cost $25,666,595 )............................................................ 25,666,595 TOTAL INVESTMENTS - 114.46% ------------------------------------------------------------------------------------------------------------- ( Cost $179,282,042** )......................................................................... 178,374,615 NET OTHER ASSETS AND LIABILITIES - (14.46)% ------------------------------------------------------------------------------------------------------------- (22,538,077) TOTAL NET ASSETS - 100.00% ------------------------------------------------------------------------------------------------------------- $ 155,836,538 -------------------------------------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $179,312,880. (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 9.09% of total net assets. (G) Floating rate or variable rate note. Rate shown is as of June 30, 2007. (H) Security purchased on a delayed delivery or when-issued basis. Rate shown is at issue date. (I) Represents investments of cash collateral received in connection with securities lending. (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). (N) Security segregated for forward or when-issued purchase commitments outstanding as of June 30, 2007. (O) All (or portion of security) on loan. (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 may differ from the industry sub-classification(s) used for Trust compliance purposes. -------------------------------------------------------------------------------- 46 See accompanying Notes to Financial Statements. DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS - 45.19% ------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 2.49% 70,100 Carnival Corp. ................................................................. $ 3,418,777 97,500 Genuine Parts Co. .............................................................. 4,836,000 148,000 Home Depot, Inc. ............................................................... 5,823,800 120,000 Limited Brands, Inc. ........................................................... 3,294,000 ----------- 17,372,577 ----------- CONSUMER STAPLES - 5.59% 165,000 Altria Group, Inc. ............................................................. 11,573,100 117,000 Anheuser-Busch Cos., Inc. ...................................................... 6,102,720 159,700 Coca-Cola Co. .................................................................. 8,353,907 118,000 Kimberly-Clark Corp. ........................................................... 7,893,020 94,018 Kraft Foods, Inc., Class A......................................................................... 3,314,134 28,000 Procter & Gamble Co. ........................................................... 1,713,320 ----------- 38,950,201 ----------- ENERGY - 3.81% 117,700 BP PLC, ADR..................................................................... 8,490,878 118,500 Chevron Corp. .................................................................. 9,982,440 102,400 ConocoPhillips.................................................................. 8,038,400 ----------- 26,511,718 ----------- FINANCIALS - 11.31% 82,014 Allstate Corp. ................................................................. 5,044,681 239,996 Bank of America Corp. .......................................................... 11,733,404 286,005 Citigroup, Inc. ................................................................ 14,669,197 119,000 Federal Home Loan Mortgage Corp. ............................................... 7,223,300 190,054 JPMorgan Chase & Co. ........................................................... 9,208,116 72,000 Rayonier, Inc., REIT............................................................ 3,250,080 293,100 U.S. Bancorp.................................................................... 9,657,645 174,300 Wachovia Corp. ................................................................. 8,932,875 257,000 Wells Fargo & Co. .............................................................. 9,038,690 ----------- 78,757,988 ----------- HEALTH CARE - 7.04% 88,800 Abbott Laboratories............................................................. 4,755,240 234,000 Bristol-Myers Squibb Co. ....................................................... 7,385,040 81,000 Eli Lilly & Co. ................................................................ 4,526,280 206,000 Johnson & Johnson............................................................... 12,693,720 138,700 Merck & Co., Inc. .............................................................. 6,907,260 500,019 Pfizer, Inc. ................................................................... 12,785,486 ----------- 49,053,026 ----------- INDUSTRIALS - 6.03% 38,400 3M Co. ......................................................................... 3,332,736 48,000 Avery Dennison Corp. ........................................................... 3,191,040 67,000 Emerson Electric Co. ........................................................... 3,135,600 417,000 General Electric Co. ........................................................... 15,962,760 108,500 Masco Corp. (O)................................................................. 3,088,995
Shares Value (Note 2) ------ -------------- INDUSTRIALS (CONTINUED) 65,000 Pitney Bowes, Inc. ............................................................. $ 3,043,300 70,000 United Parcel Service, Inc., Class B......................................................................... 5,110,000 132,000 Waste Management, Inc. ......................................................... 5,154,600 ----------- 42,019,031 ----------- INFORMATION TECHNOLOGY - 0.65% 191,000 Intel Corp. .................................................................... 4,538,160 ----------- MATERIALS - 2.89% 69,500 Dow Chemical Co. (O)............................................................ 3,073,290 90,600 E.I. Du Pont de Nemours & Co. .................................................. 4,606,104 64,200 Rohm & Haas Co. (O)............................................................. 3,510,456 113,600 Weyerhaeuser Co. ............................................................... 8,966,448 ----------- 20,156,298 ----------- TELECOMMUNICATION SERVICES - 3.19% 186,415 AT&T, Inc. ..................................................................... 7,736,223 276,000 Verizon Communications, Inc. ................................................... 11,362,920 209,200 Windstream Corp. (O)............................................................ 3,087,792 ----------- 22,186,935 ----------- UTILITIES - 2.19% 35,400 Ameren Corp. ................................................................... 1,734,954 75,000 Consolidated Edison, Inc. (O)................................................... 3,384,000 14,000 Dominion Resources, Inc./VA..................................................... 1,208,340 164,000 Duke Energy Corp. .............................................................. 3,001,200 24,400 FirstEnergy Corp. .............................................................. 1,579,412 32,000 Progress Energy, Inc. (O)....................................................... 1,458,880 85,000 Southern Co. ................................................................... 2,914,650 ----------- 15,281,436 ----------- TOTAL COMMON STOCKS ( Cost $269,072,230 )........................................................... 314,827,370 COMMON STOCK UNIT - 0.44% ------------------------------------------------------------------------------------------------------------- FINANCIALS - 0.44% 35,000 AllianceBernstein Holding L.P. (O).............................................. 3,048,150 ----------- TOTAL COMMON STOCK UNIT ( Cost $2,990,079 )............................................................. 3,048,150 Par Value --------- ASSET BACKED - 1.36% ------------------------------------------------------------------------------------------------------------- $ 599,648 ABSC Long Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (M) 8.550%, due 09/21/30............................................................ 598,088
-------------------------------------------------------------------------------- 47 See accompanying Notes to Financial Statements. DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Par Value Value (Note 2) --------- -------------- ASSET BACKED (CONTINUED) ------------------------------------------------------------------------------------------------------------- $ 970,846 Ameriquest Mortgage Securities, Inc., Series 2004-FR1, Class M2 (M) 5.207%, due 05/25/34............................................................ $ 937,491 1,975,000 Carmax Auto Owner Trust, Series 2007-2, Class B 5.370%, due 03/15/13............................................................ 1,974,551 1,450,836 CIT Group Home Equity Loan Trust, Series 2002-2, Class BF (M) 6.830%, due 06/25/33............................................................ 1,196,314 1,120,000 GMAC Mortgage Corp. Loan Trust, Series 2004-HE2, Class M1 3.950%, due 10/25/33............................................................ 1,103,458 892,425 Green Tree Financial Corp., Series 1998-2, Class A6 6.810%, due 12/01/27............................................................ 907,899 1,923,238 GSAMP Trust, Series 2006-S5, Class M5 (M) 7.488%, due 09/25/36............................................................ -- 1,025,000 Renaissance Home Equity Loan Trust, Series 2005-4, Class M9 (M) 7.000%, due 02/25/36............................................................ 898,637 318,554 Residential Asset Mortgage Products, Inc., Series 2003-RS9, Class AI5 4.990%, due 03/25/31............................................................ 317,139 603,689 Soundview Home Equity Loan Trust, Series 2005-B, Class M6 (M) 6.175%, due 05/25/35............................................................ 594,122 1,045,000 Wells Fargo Home Equity Trust, Series 2004-2, Class M8A (C)(G) 8.320%, due 05/25/34............................................................ 979,578 ----------- TOTAL ASSET BACKED ( Cost $11,805,467 )............................................................ 9,507,277 COMMERCIAL MORTGAGE BACKED - 4.56% ------------------------------------------------------------------------------------------------------------- 816,552 Bear Stearns Commercial Mortgage Securities, Series 2001-TOP4, Class A1 5.060%, due 11/15/16............................................................ 810,758 1,815,000 Bear Stearns Commercial Mortgage Securities, Series 2003-T10, Class E (C)(G) 5.540%, due 03/13/40............................................................ 1,760,968 1,046,516 Bear Stearns Commercial Mortgage Securities, Series 2004-T16, Class A2 3.700%, due 02/13/46............................................................ 1,022,647
Par Value Value (Note 2) --------- -------------- COMMERCIAL MORTGAGE BACKED (CONTINUED) ------------------------------------------------------------------------------------------------------------- $1,325,000 Bear Stearns Commercial Mortgage Securities, Series 2004-T16, Class A6 (G) 4.750%, due 02/13/46............................................................ $ 1,244,856 765,000 Bear Stearns Commercial Mortgage Securities, Series 2005-T20, Class F (C) 5.155%, due 10/12/42............................................................ 714,680 3,091,610 GMAC Commercial Mortgage Securities Inc., Series 2000-C1, Class A2 7.724%, due 03/15/33............................................................ 3,224,738 2,100,000 Government National Mortgage Association, Series 2004-43, Class C (G) 5.008%, due 12/16/25............................................................ 2,046,831 1,400,000 Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A7 (G) 5.317%, due 06/10/36............................................................ 1,367,638 2,900,000 LB-UBS Commercial Mortgage Trust, Series 2004-C1, Class A2 3.624%, due 01/15/29............................................................ 2,808,731 1,600,000 LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A6 (G) 4.799%, due 12/15/29............................................................ 1,511,865 2,600,000 Morgan Stanley Capital I, Series 2004-HQ4, Class A7 4.970%, due 04/14/40............................................................ 2,479,104 2,710,000 Morgan Stanley Capital I, Series 2006-IQ12, Class ANM 5.310%, due 12/15/43............................................................ 2,656,435 2,500,000 Morgan Stanley Capital I, Series 2004-T13, Class A3 4.390%, due 09/13/45............................................................ 2,373,808 2,690,000 Multi Security Asset Trust, Series 2005-RR4A, Class H (C)(G) 5.880%, due 11/28/35............................................................ 2,464,894 775,000 Multi Security Asset Trust, Series 2005-RR4A, Class J (C) 5.880%, due 11/28/35............................................................ 716,030 933,583 Wachovia Bank Commercial Mortgage Trust, Series 2003-C6, Class A1 3.364%, due 08/15/35............................................................ 917,722 3,760,000 Wachovia Bank Commercial Mortgage Trust, Series 2003-C8, Class A2 3.894%, due 11/15/35............................................................ 3,683,435 ----------- TOTAL COMMERCIAL MORTGAGE BACKED ( Cost $32,660,226 )............................................................ 31,805,140
-------------------------------------------------------------------------------- 48 See accompanying Notes to Financial Statements. DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Par Value Value (Note 2) --------- -------------- PRIVATE LABEL MORTGAGE BACKED - 1.31% ------------------------------------------------------------------------------------------------------------- $2,443,187 Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 6.000%, due 01/25/36............................................................ $ 2,435,418 3,138,089 Banc of America Alternative Loan Trust, Series 2006-3, Class 2CB1 6.000%, due 04/25/36............................................................ 3,121,784 3,538,615 Banc of America Alternative Loan Trust, Series 2006-4, Class 5CB1 6.500%, due 05/25/46............................................................ 3,563,471 ----------- TOTAL PRIVATE LABEL MORTGAGE BACKED ( Cost $9,117,541 )............................................................. 9,120,673 CORPORATE NOTES AND BONDS - 15.58% ------------------------------------------------------------------------------------------------------------- BEVERAGE/FOOD - 0.28% 2,025,000 Kraft Foods, Inc. 6.500%, due 11/01/31............................................................ 1,957,642 ----------- CONSUMER DISCRETIONARY - 1.04% 2,000,000 American Association of Retired Persons (C) 7.500%, due 05/01/31............................................................ 2,366,508 1,500,000 Carnival Corp. (D) 3.750%, due 11/15/07............................................................ 1,491,054 1,850,000 Erac USA Finance Co. (C) 6.700%, due 06/01/34............................................................ 1,798,592 1,600,000 Royal Caribbean Cruises, Ltd. (D) 7.250%, due 06/15/16............................................................ 1,580,807 ----------- 7,236,961 ----------- CONSUMER STAPLES - 0.34% 1,055,000 Diageo Capital PLC (D) 5.500%, due 09/30/16............................................................ 1,020,057 1,400,000 Safeway, Inc. 4.125%, due 11/01/08............................................................ 1,378,295 ----------- 2,398,352 ----------- ENERGY - 0.85% 2,000,000 Chesapeake Energy Corp. 6.375%, due 06/15/15............................................................ 1,907,500 1,500,000 ConocoPhillips 6.650%, due 07/15/18............................................................ 1,595,226 1,150,000 Hess Corp. 7.875%, due 10/01/29............................................................ 1,296,250 1,030,000 Transocean, Inc. 7.500%, due 04/15/31............................................................ 1,138,984 ----------- 5,937,960 -----------
Par Value Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) ------------------------------------------------------------------------------------------------------------- FINANCE - 2.74% $1,500,000 American General Finance Corp., Series H 4.625%, due 09/01/10............................................................ $ 1,460,103 1,115,000 American General Finance Corp. (O) 5.850%, due 06/01/13............................................................ 1,120,447 2,000,000 Bear Stearns Cos., Inc. 7.800%, due 08/15/07............................................................ 2,005,054 1,000,000 GE Insurance Solutions Corp. 7.000%, due 02/15/26............................................................ 1,066,999 785,000 GE Insurance Solutions Corp. 7.750%, due 06/15/30............................................................ 901,239 1,350,000 HSBC Finance Corp. 6.500%, due 11/15/08............................................................ 1,368,957 1,735,000 Lehman Brothers Holdings, Inc. 5.750%, due 01/03/17............................................................ 1,685,556 3,240,000 Nissan Motor Acceptance Corp. (C) 5.625%, due 03/14/11............................................................ 3,220,576 2,000,000 Residential Capital LLC 6.500%, due 04/17/13............................................................ 1,933,158 1,505,000 SLM Corp. 5.125%, due 08/27/12............................................................ 1,332,224 2,000,000 U.S. Bank NA/Cincinnati OH 6.300%, due 02/04/14............................................................ 2,067,766 935,000 Western Union Co. 5.930%, due 10/01/16............................................................ 912,215 ----------- 19,074,294 ----------- FINANCIAL SERVICES - 0.37% 2,400,000 National Rural Utilities Cooperative Finance Corp., Series C 7.250%, due 03/01/12............................................................ 2,557,042 ----------- FOOD & DRUG RETAILERS - 0.23% 1,550,000 Medco Health Solutions, Inc. 7.250%, due 08/15/13............................................................ 1,630,974 ----------- HEALTH CARE - 1.57% 3,950,000 Amgen, Inc. (C) 5.850%, due 06/01/17............................................................ 3,888,613 1,200,000 Eli Lilly & Co. 6.570%, due 01/01/16............................................................ 1,264,921 740,000 Genentech, Inc. 5.250%, due 07/15/35............................................................ 653,310 1,220,000 Merck & Co., Inc. 6.400%, due 03/01/28............................................................ 1,244,689 1,500,000 Quest Diagnostics, Inc. 5.450%, due 11/01/15............................................................ 1,412,694
-------------------------------------------------------------------------------- 49 See accompanying Notes to Financial Statements. DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Par Value Value (Note 2) --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) ------------------------------------------------------------------------------------------------------------- HEALTH CARE (CONTINUED) $1,400,000 WellPoint, Inc. 5.000%, due 12/15/14............................................................ $ 1,321,869 1,100,000 Wyeth 6.500%, due 02/01/34............................................................ 1,131,015 ----------- 10,917,111 ----------- INDUSTRIALS - 1.92% 350,000 Boeing Co. 8.625%, due 11/15/31............................................................ 464,048 620,000 Boeing Co. 6.875%, due 10/15/43............................................................ 686,842 515,000 D.R. Horton, Inc. 5.250%, due 02/15/15............................................................ 460,848 1,600,000 DaimlerChrysler NA Holding Corp. 4.750%, due 01/15/08............................................................ 1,594,469 2,000,000 Deluxe Corp., Series B (O) 3.500%, due 10/01/07............................................................ 1,980,000 1,000,000 Ford Motor Credit Co. LLC 5.800%, due 01/12/09............................................................ 978,852 575,000 GMAC LLC (O) 6.125%, due 08/28/07............................................................ 575,392 1,450,000 GMAC LLC 7.250%, due 03/02/11............................................................ 1,445,245 1,760,000 Overseas Shipholding Group 8.250%, due 03/15/13............................................................ 1,804,000 1,150,000 Waste Management, Inc. 7.125%, due 12/15/17............................................................ 1,196,745 1,025,000 Westvaco Corp. 8.200%, due 01/15/30............................................................ 1,084,444 1,170,000 WM Wrigley Jr. Co. 4.300%, due 07/15/10............................................................ 1,134,790 ----------- 13,405,675 ----------- MEDIA - 0.86% 1,780,000 Comcast Cable Communication Holdings, Inc. 9.455%, due 11/15/22............................................................ 2,259,089 2,400,000 COX Enterprises, Inc. (C) 4.375%, due 05/01/08............................................................ 2,375,942 1,315,000 Rogers Cable, Inc. (D) 6.250%, due 06/15/13............................................................ 1,327,583 ----------- 5,962,614 -----------
Par Value Value (Note 2) --------- -------------- PIPELINE - 0.33% $ 775,000 KN Energy, Inc. (O) 7.250%, due 03/01/28............................................................ $ 744,276 1,600,000 Panhandle Eastern Pipe Line 4.800%, due 08/15/08............................................................ 1,585,627 ----------- 2,329,903 ----------- REAL ESTATE INVESTMENT TRUSTS - 0.82% 2,685,000 Equity One, Inc. 3.875%, due 04/15/09............................................................ 2,600,898 2,400,000 Nationwide Health Properties, Inc., Series D 8.250%, due 07/01/12............................................................ 2,567,050 530,000 Simon Property Group L.P. 5.875%, due 03/01/17............................................................ 527,063 ----------- 5,695,011 ----------- TELECOMMUNICATIONS - 0.55% 1,600,000 CenturyTel, Inc., Series F 6.300%, due 01/15/08............................................................ 1,605,379 960,000 Cisco Systems, Inc. 5.500%, due 02/22/16............................................................ 936,776 1,325,000 Sprint Nextel Corp. 6.000%, due 12/01/16............................................................ 1,256,968 ----------- 3,799,123 ----------- TRANSPORTATION - 0.51% 1,365,000 Burlington Northern Santa Fe Corp. 8.125%, due 04/15/20............................................................ 1,565,616 957,000 Norfolk Southern Corp. 5.590%, due 05/17/25............................................................ 870,363 1,050,000 Norfolk Southern Corp. 7.050%, due 05/01/37............................................................ 1,109,280 ----------- 3,545,259 ----------- UTILITIES - 3.17% 1,250,000 Consumers Energy Co. 5.650%, due 04/15/20............................................................ 1,196,706 2,000,000 Energy East Corp. 8.050%, due 11/15/10............................................................ 2,139,818 1,300,000 Illinois Power Co. 7.500%, due 06/15/09............................................................ 1,325,922 1,555,000 Indianapolis Power & Light Co. (C) 6.050%, due 10/01/36............................................................ 1,480,696 4,000,000 Midamerican Energy Co. 5.650%, due 07/15/12............................................................ 4,003,380 1,600,000 Nevada Power Co., Series R 6.750%, due 07/01/37............................................................ 1,624,216
-------------------------------------------------------------------------------- 50 See accompanying Notes to Financial Statements. DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Par Value Value (Note 2) --------- -------------- UTILITIES (CONTINUED) $1,460,000 New York State Electric & Gas Corp. 4.375%, due 11/15/07............................................................ $ 1,453,442 1,365,000 Pacific Gas & Electric Co. 6.050%, due 03/01/34............................................................ 1,322,260 2,000,000 Progress Energy, Inc. 7.750%, due 03/01/31............................................................ 2,312,238 474,000 Sierra Pacific Power Co., Series M 6.000%, due 05/15/16............................................................ 464,883 1,500,000 Southern Power Co./GA, Series B 6.250%, due 07/15/12............................................................ 1,533,624 835,000 Southwestern Electric Power Co., Series E 5.550%, due 01/15/17............................................................ 803,039 2,400,000 Westar Energy, Inc. 6.000%, due 07/01/14............................................................ 2,410,157 ----------- 22,070,381 ----------- TOTAL CORPORATE NOTES AND BONDS ( Cost $110,654,685 )........................................................... 108,518,302 MORTGAGE BACKED - 14.87% ------------------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. - 1.48% 103,271 8.000%, due 06/01/30 Pool # C01005................................................................... 108,849 432,372 6.500%, due 01/01/32 Pool # C62333................................................................... 441,140 107,875 6.500%, due 03/01/32 Pool # C65648................................................................... 109,866 4,487,111 5.000%, due 07/01/33 Pool # A11325................................................................... 4,228,032 489,654 6.000%, due 10/01/34 Pool # A28439................................................................... 486,815 425,250 6.000%, due 10/01/34 Pool # A28598................................................................... 422,784 346,717 5.000%, due 04/01/35 Pool # A32314................................................................... 325,849 672,349 5.000%, due 04/01/35 Pool # A32315................................................................... 631,882 531,922 5.000%, due 04/01/35 Pool # A32316................................................................... 499,907 279,704 5.000%, due 04/01/35 Pool # A32509................................................................... 262,870 2,974,935 5.000%, due 01/01/37 Pool # A56371................................................................... 2,790,924 ----------- 10,308,918 -----------
Par Value Value (Note 2) --------- -------------- MORTGAGE BACKED (CONTINUED) ------------------------------------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 13.36% $1,683,766 4.000%, due 04/01/15 Pool # 255719................................................................... $ 1,606,414 1,845,145 5.500%, due 04/01/16 Pool # 745444................................................................... 1,823,543 470,604 6.000%, due 05/01/16 Pool # 582558................................................................... 473,410 2,822,616 5.000%, due 12/01/17 Pool # 672243................................................................... 2,737,867 2,592,796 4.500%, due 09/01/20 Pool # 835465................................................................... 2,461,427 505,953 6.000%, due 05/01/21 Pool # 253847................................................................... 508,094 89,413 7.000%, due 12/01/29 Pool # 762813................................................................... 92,583 250,627 7.000%, due 11/01/31 Pool # 607515................................................................... 259,761 2,896 7.000%, due 04/01/32 Pool # 641518................................................................... 2,999 251,310 7.000%, due 05/01/32 Pool # 644591................................................................... 260,469 1,508,375 6.500%, due 06/01/32 Pool # 545691................................................................... 1,535,090 1,388,834 6.500%, due 09/01/33 Pool # 737582................................................................... 1,411,200 1,890,611 5.500%, due 10/01/33 Pool # 254904................................................................... 1,831,798 6,899,797 5.500%, due 11/01/33 Pool # 555880................................................................... 6,685,158 5,087,656 5.000%, due 05/01/34 Pool # 780890................................................................... 4,787,138 41,518 7.000%, due 07/01/34 Pool # 792636................................................................... 42,817 774,517 5.500%, due 08/01/34 Pool # 793647................................................................... 749,876 3,556,719 5.500%, due 03/01/35 Pool # 815976................................................................... 3,439,105 1,622,991 5.500%, due 07/01/35 Pool # 825283................................................................... 1,569,322 1,053,215 5.500%, due 08/01/35 Pool # 826872................................................................... 1,018,387 1,657,781 5.000%, due 09/01/35 Pool # 820347................................................................... 1,557,559 1,748,832 5.000%, due 09/01/35 Pool # 835699................................................................... 1,643,105 2,292,643 5.000%, due 10/01/35 Pool # 797669................................................................... 2,154,041
-------------------------------------------------------------------------------- 51 See accompanying Notes to Financial Statements. DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Par Value Value (Note 2) --------- -------------- MORTGAGE BACKED (CONTINUED) ------------------------------------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED) $2,030,774 5.500%, due 10/01/35 Pool # 836912................................................................... $ 1,963,620 2,334,832 5.000%, due 12/01/35 Pool # 850561................................................................... 2,193,679 4,077,884 5.500%, due 12/01/35 Pool # 844583................................................................... 3,943,036 872,818 5.500%, due 02/01/36 Pool # 851330................................................................... 843,956 3,092,122 5.500%, due 09/01/36 Pool # 831820................................................................... 2,983,765 4,287,049 6.000%, due 09/01/36 Pool # 831741................................................................... 4,243,568 965,767 5.500%, due 10/01/36 Pool # 896340................................................................... 931,924 4,192,301 5.500%, due 10/01/36 Pool # 901723................................................................... 4,045,390 2,797,834 6.500%, due 10/01/36 Pool # 894118................................................................... 2,825,046 3,397,115 6.000%, due 11/01/36 Pool # 902510................................................................... 3,370,240 3,957,386 5.500%, due 12/01/36 Pool # 902853................................................................... 3,818,707 3,893,869 5.500%, due 12/01/36 Pool # 903059................................................................... 3,757,417 3,896,823 5.500%, due 12/01/36 Pool # 907512................................................................... 3,760,267 3,744,207 5.500%, due 12/01/36 Pool # 907635................................................................... 3,612,999 3,513,317 6.000%, due 12/01/36 Pool # 903002................................................................... 3,477,683 3,135,764 5.500%, due 01/01/37 Pool # 906268................................................................... 3,025,878 2,901,446 5.500%, due 05/01/37 Pool # 899323................................................................... 2,798,414 2,910,000 5.500%, due 07/01/37 Pool # 938197 (H)............................................................... 2,806,718 ----------- 93,053,470 ----------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.03% 234,398 6.500%, due 04/20/31 Pool # 003068................................................................... 239,448 ----------- TOTAL MORTGAGE BACKED ( Cost $106,251,579 )........................................................... 103,601,836
Par Value Value (Note 2) --------- -------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 11.58% ------------------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. - 0.47% $3,400,000 4.500%, due 01/15/14 (O)........................................................ $ 3,240,479 FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.50% 2,400,000 3.800%, due 01/18/08............................................................ 2,379,660 2,250,000 4.000%, due 09/02/08............................................................ 2,217,802 750,000 5.250%, due 08/01/12 (O)........................................................ 743,561 2,400,000 4.625%, due 10/15/14 (O)........................................................ 2,290,541 2,500,000 6.625%, due 11/15/30 (O)........................................................ 2,817,378 ----------- 10,448,942 ----------- U.S. TREASURY BONDS - 1.78% 10,570,000 6.625%, due 02/15/27 (O)........................................................ 12,381,761 ----------- U.S. TREASURY NOTES - 7.83% 1,125,000 2.750%, due 08/15/07 (O)........................................................ 1,122,100 1,300,000 4.000%, due 08/31/07 (O)........................................................ 1,298,071 1,725,000 4.625%, due 02/29/08 (O)........................................................ 1,720,284 1,795,000 4.875%, due 04/30/08............................................................ 1,792,616 5,175,000 3.000%, due 02/15/09 (O)........................................................ 5,019,750 700,000 2.625%, due 03/15/09 (O)........................................................ 673,914 1,400,000 4.875%, due 05/31/09 (O)........................................................ 1,399,563 3,250,000 3.875%, due 05/15/10 (O)........................................................ 3,162,403 670,000 3.875%, due 09/15/10 (O)........................................................ 650,005 500,000 4.500%, due 11/15/10 (O)........................................................ 493,984 500,000 4.750%, due 03/31/11 (O)........................................................ 497,226 4,900,000 4.875%, due 04/30/11 (O)........................................................ 4,892,728 6,150,000 4.625%, due 12/31/11 (O)........................................................ 6,073,605 3,400,000 4.625%, due 02/29/12 (O)........................................................ 3,356,439 3,000,000 4.875%, due 06/30/12 (H)........................................................ 2,991,798 5,500,000 4.000%, due 11/15/12 (O)........................................................ 5,272,696 1,980,000 3.625%, due 05/15/13 (O)........................................................ 1,851,146 310,000 4.000%, due 02/15/14 (O)........................................................ 293,459 7,550,000 4.500%, due 02/15/16 (O)........................................................ 7,276,901 1,100,000 4.625%, due 02/15/17 (O)........................................................ 1,065,282 3,830,000 4.500%, due 05/15/17 (O)........................................................ 3,672,012 ----------- 54,575,982 ----------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ( Cost $81,592,451 )............................................................ 80,647,164 CERTIFICATE OF DEPOSIT - 0.99% ------------------------------------------------------------------------------------------------------------- 6,881,450 State Street Eurodollar 2.800%, due 07/02/07............................................................ 6,881,450 ----------- TOTAL CERTIFICATE OF DEPOSIT ( Cost $6,881,450 )............................................................. 6,881,450
-------------------------------------------------------------------------------- 52 See accompanying Notes to Financial Statements. DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Par Value Value (Note 2) --------- -------------- Shares ------ INVESTMENT COMPANIES - 4.50% ------------------------------------------------------------------------------------------------------------- 1 Columbia Funds Series Trust - Columbia Cash Reserves.......................................................... 1 1 J.P. Morgan Prime Money Market Fund............................................. 1 31,383,568 SSgA Prime Money Market Fund (N)................................................ 31,383,568 ----------- TOTAL INVESTMENT COMPANIES ( Cost $31,383,570 )............................................................ 31,383,570 COLLATERAL FOR SECURITIES ON LOAN - 11.55% ------------------------------------------------------------------------------------------------------------- 80,427,551 State Street Navigator Securities Lending Prime Portfolio (I)..................................................... 80,427,551 ----------- TOTAL COLLATERAL FOR SECURITIES ON LOAN ( Cost $80,427,551 )............................................................ 80,427,551 TOTAL INVESTMENTS - 111.93% ------------------------------------------------------------------------------------------------------------- ( Cost $742,836,829** )......................................................................... 779,768,484 NET OTHER ASSETS AND LIABILITIES - (11.93)% ------------------------------------------------------------------------------------------------------------- (83,128,161) TOTAL NET ASSETS - 100.00% ------------------------------------------------------------------------------------------------------------- $ 696,640,323 -------------------------------------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $743,487,868. (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 0.78% of total net assets. (G) Floating rate or variable rate note. Rate shown is as of June 30, 2007. (H) Security purchased on a delayed delivery or when-issued basis. Rate shown is at issue date. (I) Represents investments of cash collateral received in connection with securities lending. (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. (N) Security segregated for forward or when-issued purchase commitments outstanding as of June 30, 2007. (O) All (or portion of security) on loan. ADR American Depositary Receipt. PLC Public Limited Company. REIT Real Estate Investment Trust. The industry classification method used for purposes of this report may differ from the industry sub-classification(s) used for Trust compliance purposes. -------------------------------------------------------------------------------- 53 See accompanying Notes to Financial Statements. LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS - 98.92% ------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 7.66% 105,400 CBS Corp., Class B......................................................................... $ 3,511,928 514,643 Comcast Corp., Class A *....................................................................... 14,471,747 300,600 Gap, Inc. ...................................................................... 5,741,460 257,100 Home Depot, Inc. ............................................................... 10,116,885 180,700 Lowe's Cos., Inc. (O)........................................................... 5,545,683 80,700 Macy's, Inc. ................................................................... 3,210,246 169,539 McDonald's Corp. ............................................................... 8,605,800 126,800 News Corp., Class A......................................................................... 2,689,428 182,400 Nike, Inc., Class B......................................................................... 10,632,096 51,900 Sears Holdings Corp. *.......................................................... 8,797,050 70,600 Tiffany & Co. .................................................................. 3,746,036 1,021,000 Time Warner, Inc. .............................................................. 21,481,840 205,600 Walt Disney Co. ................................................................ 7,019,184 ----------- 105,569,383 ----------- CONSUMER STAPLES - 7.87% 274,500 Altria Group, Inc. ............................................................. 19,253,430 130,400 Archer-Daniels-Midland Co. ..................................................... 4,314,936 158,700 Coca-Cola Co. .................................................................. 8,301,597 100,900 Costco Wholesale Corp. ......................................................... 5,904,668 132,700 CVS Caremark Corp. ............................................................. 4,836,915 173,000 General Mills, Inc. ............................................................ 10,106,660 68,200 Kellogg Co. .................................................................... 3,532,078 45,300 Kimberly-Clark Corp. ........................................................... 3,030,117 317,557 Kraft Foods, Inc., Class A......................................................................... 11,193,884 393,900 Procter & Gamble Co. ........................................................... 24,102,741 288,900 Wal-Mart Stores, Inc. .......................................................... 13,898,979 ----------- 108,476,005 ----------- ENERGY - 14.41% 76,600 Anadarko Petroleum Corp. ....................................................... 3,982,434 122,100 Apache Corp. ................................................................... 9,962,139 62,400 Cameron International Corp. *................................................... 4,459,728 438,846 Chevron Corp. .................................................................. 36,968,387 369,400 ConocoPhillips.................................................................. 28,997,900 155,500 Devon Energy Corp. ............................................................. 12,174,095 81,200 EOG Resources, Inc. ............................................................ 5,932,472 670,000 Exxon Mobil Corp. .............................................................. 56,199,600 217,000 Marathon Oil Corp. ............................................................. 13,011,320 255,400 Occidental Petroleum Corp. ..................................................... 14,782,552 105,650 Spectra Energy Corp. ........................................................... 2,742,674 45,200 Valero Energy Corp. ............................................................ 3,338,472
Shares Value (Note 2) ------ -------------- ENERGY (CONTINUED) 107,800 Williams Cos., Inc. ............................................................ $ 3,408,636 44,800 XTO Energy, Inc. ............................................................... 2,692,480 ----------- 198,652,889 ----------- FINANCIALS - 30.59% 180,326 Allstate Corp. ................................................................. 11,091,852 438,400 American International Group, Inc. ............................................. 30,701,152 752,242 Bank of America Corp. .......................................................... 36,777,112 9,600 Bear Stearns Cos., Inc. ........................................................ 1,344,000 1,021,914 Citigroup, Inc. ................................................................ 52,413,969 55,100 Equity Residential, REIT........................................................ 2,514,213 189,500 Federal Home Loan Mortgage Corp. ............................................... 11,502,650 110,100 General Growth Properties, Inc., REIT........................................... 5,829,795 63,500 Goldman Sachs Group, Inc. ...................................................... 13,763,625 42,300 Hartford Financial Services Group, Inc. ........................................ 4,166,973 620,188 JPMorgan Chase & Co. ........................................................... 30,048,109 125,300 Keycorp......................................................................... 4,301,549 44,300 Legg Mason, Inc. ............................................................... 4,358,234 98,200 Lehman Brothers Holdings, Inc. ................................................. 7,317,864 39,300 Lincoln National Corp. ......................................................... 2,788,335 29,000 M&T Bank Corp. ................................................................. 3,100,100 110,200 Marshall & Ilsley Corp. (O)..................................................... 5,248,826 138,400 Mellon Financial Corp. ......................................................... 6,089,600 145,600 Merrill Lynch & Co., Inc. ...................................................... 12,169,248 150,900 MetLife, Inc. .................................................................. 9,730,032 201,900 Morgan Stanley (L).............................................................. 16,958,542 193,300 National City Corp. (O)......................................................... 6,440,756 51,100 Prologis, REIT.................................................................. 2,907,590 194,400 Prudential Financial, Inc. ..................................................... 18,901,512 133,723 Regions Financial Corp. ........................................................ 4,426,231 29,700 Simon Property Group, Inc., REIT................................................ 2,763,288 57,100 SL Green Realty Corp., REIT..................................................... 7,074,119 104,300 SunTrust Banks, Inc. ........................................................... 8,942,682 146,400 Travelers Cos., Inc. ........................................................... 7,832,400 416,500 U.S. Bancorp.................................................................... 13,723,675 261,900 Unum Group...................................................................... 6,838,209 78,400 Vornado Realty Trust, REIT...................................................... 8,611,456 383,600 Wachovia Corp. ................................................................. 19,659,500 88,000 Washington Mutual, Inc. (O)..................................................... 3,752,320 785,300 Wells Fargo & Co. .............................................................. 27,619,001 84,300 XL Capital, Ltd. ............................................................... 7,105,647 39,000 Zions Bancorporation............................................................ 2,999,490 ----------- 421,813,656 -----------
-------------------------------------------------------------------------------- 54 See accompanying Notes to Financial Statements. LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) ------------------------------------------------------------------------------------------------------------- HEALTH CARE - 8.31% 168,100 Abbott Laboratories............................................................. $ 9,001,755 27,700 Aetna, Inc. .................................................................... 1,368,380 219,400 Boston Scientific Corp. *....................................................... 3,365,596 109,600 Bristol-Myers Squibb Co. ....................................................... 3,458,976 58,500 Cardinal Health, Inc. .......................................................... 4,132,440 52,400 Cigna Corp. .................................................................... 2,736,328 91,000 Eli Lilly & Co. ................................................................ 5,085,080 327,100 Johnson & Johnson............................................................... 20,155,902 72,300 LifePoint Hospitals, Inc. *..................................................... 2,796,564 19,700 Medco Health Solutions, Inc. *.................................................. 1,536,403 307,500 Merck & Co., Inc. .............................................................. 15,313,500 892,200 Pfizer, Inc. ................................................................... 22,813,554 40,100 Thermo Fisher Scientific, Inc. *................................................ 2,073,972 53,200 UnitedHealth Group, Inc. ....................................................... 2,720,648 62,500 WellPoint, Inc. *............................................................... 4,989,375 228,600 Wyeth........................................................................... 13,107,924 ----------- 114,656,397 ----------- INDUSTRIALS - 9.76% 58,700 3M Co. ......................................................................... 5,094,573 47,500 CSX Corp. ...................................................................... 2,141,300 47,100 Deere & Co. .................................................................... 5,686,854 65,700 Eaton Corp. .................................................................... 6,110,100 85,800 Emerson Electric Co. ........................................................... 4,015,440 88,900 General Dynamics Corp. ......................................................... 6,953,758 1,577,700 General Electric Co. ........................................................... 60,394,356 62,400 Honeywell International, Inc. .................................................. 3,511,872 146,500 Masco Corp. .................................................................... 4,170,855 49,400 Norfolk Southern Corp. ......................................................... 2,596,958 75,600 Parker Hannifin Corp. .......................................................... 7,401,996 64,900 Raytheon Co. ................................................................... 3,497,461 353,900 Tyco International, Ltd. ....................................................... 11,958,281 23,800 Union Pacific Corp. ............................................................ 2,740,570 117,000 United Technologies Corp. ...................................................... 8,298,810 ----------- 134,573,184 ----------- INFORMATION TECHNOLOGY - 4.18% 115,800 Adobe Systems, Inc. *........................................................... 4,649,370 85,400 Automatic Data Processing, Inc. ................................................ 4,139,338 92,000 Computer Sciences Corp. *....................................................... 5,441,800 232,400 EMC Corp./Massachusetts *....................................................... 4,206,440 76,135 Hewlett-Packard Co. ............................................................ 3,397,144 100,700 International Business Machines Corp. (O)....................................................................... 10,598,675
Shares Value (Note 2) ------ -------------- INFORMATION TECHNOLOGY (CONTINUED) 54,300 Lexmark International, Inc., Class A (O)*.................................................................... $ 2,677,533 122,300 Maxim Integrated Products, Inc. ................................................ 4,086,043 116,300 Microsoft Corp. ................................................................ 3,427,361 499,200 Motorola, Inc. ................................................................. 8,835,840 135,000 Symantec Corp. *................................................................ 2,727,000 183,000 Xerox Corp. *................................................................... 3,381,840 ----------- 57,568,384 ----------- MATERIALS - 4.00% 92,500 Air Products & Chemicals, Inc. ................................................. 7,434,225 232,200 Alcoa, Inc. .................................................................... 9,411,066 170,200 Dow Chemical Co. ............................................................... 7,526,244 134,400 E.I. Du Pont de Nemours & Co. .................................................. 6,832,896 32,696 Freeport-McMoRan Copper & Gold, Inc. ........................................... 2,707,883 70,200 Nucor Corp. .................................................................... 4,117,230 103,800 PPG Industries, Inc. ........................................................... 7,900,218 117,500 Weyerhaeuser Co. ............................................................... 9,274,275 ----------- 55,204,037 ----------- TELECOMMUNICATION SERVICES - 6.46% 62,500 Alltel Corp. ................................................................... 4,221,875 1,150,387 AT&T, Inc. ..................................................................... 47,741,060 382,400 Sprint Nextel Corp. ............................................................ 7,919,504 99,800 TELUS Corp. .................................................................... 5,880,216 409,935 Verizon Communications, Inc. ................................................... 16,877,024 439,763 Windstream Corp. (O)............................................................ 6,490,902 ----------- 89,130,581 ----------- UTILITIES - 5.68% 67,700 Dominion Resources, Inc./VA..................................................... 5,843,187 308,700 Duke Energy Corp. .............................................................. 5,649,210 185,500 Edison International............................................................ 10,410,260 94,700 Entergy Corp. .................................................................. 10,166,045 81,700 Exelon Corp. ................................................................... 5,931,420 101,300 FirstEnergy Corp. .............................................................. 6,557,149 153,900 FPL Group, Inc. ................................................................ 8,732,286 142,100 Mirant Corp. *.................................................................. 6,060,565 234,800 PG&E Corp. ..................................................................... 10,636,440 48,100 Public Service Enterprise Group, Inc. .......................................... 4,222,218 120,200 Southern Co. ................................................................... 4,121,658 ----------- 78,330,438 ----------- TOTAL COMMON STOCKS ( Cost $1,017,419,996 )......................................................... 1,363,974,954 -----------
-------------------------------------------------------------------------------- 55 See accompanying Notes to Financial Statements. LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- INVESTMENT COMPANIES - 1.44% ------------------------------------------------------------------------------------------------------------- 1 Columbia Funds Series Trust - Columbia Cash Reserves................................................................... $ 1 2 J.P. Morgan Prime Money Market Fund............................................. 2 19,875,352 SSgA Prime Money Market Fund.................................................... 19,875,352 ----------- TOTAL INVESTMENT COMPANIES ( Cost $19,875,355 )............................................................ 19,875,355 ----------- COLLATERAL FOR SECURITIES ON LOAN - 1.72% ------------------------------------------------------------------------------------------------------------- 23,700,335 State Street Navigator Securities Lending Prime Portfolio (I)............................................................. 23,700,335 ----------- TOTAL COLLATERAL FOR SECURITIES ON LOAN ( Cost $23,700,335)............................................................. 23,700,335 TOTAL INVESTMENTS - 102.08% ------------------------------------------------------------------------------------------------------------- ( Cost $1,060,995,686** )..................................................................... 1,407,550,644 NET OTHER ASSETS AND LIABILITIES - (2.08)% ------------------------------------------------------------------------------------------------------------- (28,735,481) TOTAL NET ASSETS - 100.00% ------------------------------------------------------------------------------------------------------------- $1,378,815,163 -------------------------------------------------------------------------------------------------------------
* Non-income producing. ** Aggregate cost for Federal tax purposes was $1,061,150,962. (I) Represents investments of cash collateral received in connection with securities lending. (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). (O) All (or portion of security) on loan. REIT Real Estate Investment Trust. The industry classification method used for purposes of this report may differ from the industry sub-classification(s) used for Trust compliance purposes. -------------------------------------------------------------------------------- 56 See accompanying Notes to Financial Statements. LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS - 99.51% ------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 10.45% 31,900 Bed Bath & Beyond, Inc. *....................................................... $ 1,148,081 20,900 Best Buy Co., Inc. ............................................................. 975,403 234,300 Cheesecake Factory (O)*......................................................... 5,745,036 46,200 Coach, Inc. *................................................................... 2,189,418 246,750 Comcast Corp., Class A *....................................................................... 6,938,610 38,700 Harley-Davidson, Inc. (O)....................................................... 2,306,907 61,700 Home Depot, Inc. ............................................................... 2,427,895 43,100 J Crew Group, Inc. (O)*......................................................... 2,331,279 29,800 Kohl's Corp. *.................................................................. 2,116,694 15,400 Las Vegas Sands Corp. (O)*...................................................... 1,176,406 126,300 Lowe's Cos., Inc. .............................................................. 3,876,147 105,300 News Corp., Class A......................................................................... 2,233,413 164,600 Nike, Inc., Class B......................................................................... 9,594,534 32,400 Omnicom Group, Inc. ............................................................ 1,714,608 89,200 Panera Bread Co., Class A (O)*.................................................................... 4,108,552 61,800 Starbucks Corp. *............................................................... 1,621,632 61,500 Target Corp. ................................................................... 3,911,400 34,800 Tiffany & Co. .................................................................. 1,846,488 64,800 Time Warner, Inc. .............................................................. 1,363,392 100,550 Viacom, Inc., Class B *....................................................................... 4,185,897 51,500 Walt Disney Co. ................................................................ 1,758,210 303,700 XM Satellite Radio Holdings, Inc., Class A (O)*.................................................................... 3,574,549 77,400 Yum! Brands, Inc. .............................................................. 2,532,528 ----------- 69,677,079 ----------- CONSUMER STAPLES - 9.04% 132,800 Altria Group, Inc. ............................................................. 9,314,592 26,800 Anheuser-Busch Cos., Inc. ...................................................... 1,397,888 125,600 Coca-Cola Co. .................................................................. 6,570,136 60,800 Colgate-Palmolive Co. .......................................................... 3,942,880 76,400 Costco Wholesale Corp. ......................................................... 4,470,928 80,200 CVS Caremark Corp. ............................................................. 2,923,290 170,100 PepsiCo, Inc. .................................................................. 11,030,985 80,400 Procter & Gamble Co. ........................................................... 4,919,676 112,000 Walgreen Co. ................................................................... 4,876,480 226,000 Wal-Mart Stores, Inc. .......................................................... 10,872,860 ----------- 60,319,715 ----------- ENERGY - 7.67% 29,500 Baker Hughes, Inc. ............................................................. 2,481,835 40,500 Cameron International Corp. (O)*................................................ 2,894,535 28,000 Denbury Resources, Inc. *....................................................... 1,050,000
Shares Value (Note 2) ------ -------------- ENERGY (CONTINUED) 8,800 Dresser-Rand Group, Inc. *...................................................... $ 347,600 17,000 ENSCO International, Inc. ...................................................... 1,037,170 34,800 EOG Resources, Inc. ............................................................ 2,542,488 100,600 Exxon Mobil Corp. .............................................................. 8,438,328 57,900 Halliburton Co. ................................................................ 1,997,550 66,400 Marathon Oil Corp. ............................................................. 3,981,344 33,600 Noble Corp. .................................................................... 3,276,672 27,400 Peabody Energy Corp. ........................................................... 1,325,612 15,700 Quicksilver Resources, Inc. (O)*................................................ 699,906 102,200 Schlumberger, Ltd. ............................................................. 8,680,868 25,000 Transocean, Inc. *.............................................................. 2,649,500 49,600 Valero Energy Corp. ............................................................ 3,663,456 30,700 Weatherford International, Ltd. *............................................... 1,695,868 72,733 XTO Energy, Inc. ............................................................... 4,371,253 ----------- 51,133,985 ----------- FINANCIALS - 6.06% 113,300 American Express Co. ........................................................... 6,931,694 18,800 American International Group, Inc. ............................................. 1,316,564 10,600 BlackRock, Inc./New York (O).................................................... 1,659,854 24,400 Cbot Holdings, Inc., Class A (O)*.................................................................... 5,041,040 81,800 Charles Schwab Corp. ........................................................... 1,678,536 3,300 Chicago Mercantile Exchange Holdings, Inc., Class A......................................................................... 1,763,388 62,500 Citigroup, Inc. ................................................................ 3,205,625 23,200 Goldman Sachs Group, Inc. ...................................................... 5,028,600 23,600 Janus Capital Group, Inc. ...................................................... 657,024 6,000 Jones Lang LaSalle, Inc. ....................................................... 681,000 23,400 Legg Mason, Inc. ............................................................... 2,302,092 112,500 Mellon Financial Corp. ......................................................... 4,950,000 15,200 Merrill Lynch & Co., Inc. ...................................................... 1,270,416 12,300 NYSE Euronext (O)............................................................... 905,526 17,700 Prologis, REIT.................................................................. 1,007,130 38,700 T Rowe Price Group, Inc. ....................................................... 2,008,143 ----------- 40,406,632 ----------- HEALTH CARE - 19.81% 173,100 Abbott Laboratories............................................................. 9,269,505 44,900 Aetna, Inc. .................................................................... 2,218,060 75,800 Allergan, Inc. ................................................................. 4,369,112 138,626 Amgen, Inc. *................................................................... 7,664,632 56,700 Amylin Pharmaceuticals, Inc. (O)*............................................... 2,333,772 30,400 Baxter International, Inc. ..................................................... 1,712,736 179,900 Bristol-Myers Squibb Co. ....................................................... 5,677,644
-------------------------------------------------------------------------------- 57 See accompanying Notes to Financial Statements. LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) ------------------------------------------------------------------------------------------------------------- HEALTH CARE (CONTINUED) 47,700 Cardinal Health, Inc. .......................................................... $ 3,369,528 47,000 Eli Lilly & Co. ................................................................ 2,626,360 20,200 Express Scripts, Inc. *......................................................... 1,010,202 164,200 Genentech, Inc. *............................................................... 12,423,372 61,000 Gen-Probe, Inc. *............................................................... 3,685,620 44,100 Genzyme Corp. *................................................................. 2,840,040 90,800 Gilead Sciences, Inc. *......................................................... 3,520,316 77,400 Hologic, Inc. (O)*.............................................................. 4,280,994 124,000 Johnson & Johnson............................................................... 7,640,880 68,100 Medco Health Solutions, Inc. *.................................................. 5,311,119 182,800 Medtronic, Inc. ................................................................ 9,480,008 145,500 Merck & Co., Inc. .............................................................. 7,245,900 67,900 PDL BioPharma, Inc. (O)*........................................................ 1,582,070 136,100 Schering-Plough Corp. .......................................................... 4,142,884 29,400 St. Jude Medical, Inc. *........................................................ 1,219,806 29,500 Stryker Corp. .................................................................. 1,861,155 42,329 Teva Pharmaceutical Industries, Ltd., ADR....................................................................... 1,746,071 152,200 UnitedHealth Group, Inc. ....................................................... 7,783,508 88,000 VCA Antech, Inc. *.............................................................. 3,316,720 23,200 WellPoint, Inc. *............................................................... 1,852,056 93,873 Wyeth........................................................................... 5,382,678 77,000 Zimmer Holdings, Inc. *......................................................... 6,536,530 ----------- 132,103,278 ----------- INDUSTRIALS - 10.10% 46,400 3M Co. ......................................................................... 4,027,056 68,500 Boeing Co. ..................................................................... 6,586,960 30,100 Burlington Northern Santa Fe Corp. ............................................. 2,562,714 94,400 C.H. Robinson Worldwide, Inc. .................................................. 4,957,888 64,400 Caterpillar, Inc. .............................................................. 5,042,520 45,600 Corporate Executive Board Co. (O)............................................... 2,959,896 22,900 Danaher Corp. .................................................................. 1,728,950 11,200 Deere & Co. .................................................................... 1,352,288 58,800 Emerson Electric Co. ........................................................... 2,751,840 23,900 Expeditors International Washington, Inc. ...................................... 987,070 73,200 FedEx Corp. .................................................................... 8,123,004 271,400 General Electric Co. ........................................................... 10,389,192 58,500 Honeywell International, Inc. ........................................................................... 3,292,380 12,300 McDermott International, Inc. *................................................. 1,022,376 14,900 Monster Worldwide, Inc. *....................................................... 612,390 7,000 Parker Hannifin Corp. .......................................................... 685,370
Shares Value (Note 2) ------ -------------- INDUSTRIALS (CONTINUED) 25,000 Raytheon Co. ................................................................... $ 1,347,250 53,200 Stericycle, Inc. (O)*........................................................... 2,365,272 8,100 Terex Corp. *................................................................... 658,530 62,700 United Technologies Corp. ...................................................... 4,447,311 15,900 WW Grainger Inc. ............................................................... 1,479,495 ----------- 67,379,752 ----------- INFORMATION TECHNOLOGY - 31.21% 50,700 Accenture, Ltd. ................................................................ 2,174,523 142,900 Adobe Systems, Inc. *........................................................... 5,737,435 43,700 Agilent Technologies, Inc. *.................................................... 1,679,828 67,100 Apple, Inc. *................................................................... 8,188,884 48,200 Automatic Data Processing, Inc. ................................................ 2,336,254 44,800 Broadcom Corp., Class A *....................................................................... 1,310,400 835,300 Cisco Systems, Inc. *........................................................... 23,263,105 20,000 Citrix Systems, Inc. *.......................................................... 673,400 71,200 Corning, Inc. *................................................................. 1,819,160 170,800 Dell, Inc. *.................................................................... 4,876,340 147,400 eBay, Inc. *.................................................................... 4,743,332 40,100 Electronic Arts, Inc. *......................................................... 1,897,532 356,800 EMC Corp./Massachusetts *....................................................... 6,458,080 63,421 Fiserv, Inc. *.................................................................. 3,602,313 16,400 Global Payments, Inc. .......................................................... 650,260 46,000 Google, Inc., Class A *....................................................................... 24,075,480 192,000 Hewlett-Packard Co. ............................................................ 8,567,040 468,500 Intel Corp. .................................................................... 11,131,560 129,200 International Business Machines Corp. (O)....................................................................... 13,598,300 72,600 Kla-Tencor Corp. (O)............................................................ 3,989,370 13,200 Lexmark International, Inc., Class A (O)*.................................................................... 650,892 131,900 Maxim Integrated Products, Inc. ................................................ 4,406,779 16,800 MEMC Electronic Materials, Inc. *............................................... 1,026,816 97,000 Micron Technology, Inc. *....................................................... 1,215,410 827,100 Microsoft Corp. ................................................................ 24,374,637 93,200 Motorola, Inc. ................................................................. 1,649,640 35,100 Network Appliance, Inc. *....................................................... 1,024,920 224,200 Nokia OYJ, ADR.................................................................. 6,302,262 551,800 Oracle Corp. *.................................................................. 10,875,978 250,500 Qualcomm, Inc. ................................................................. 10,869,195 53,900 SanDisk Corp. *................................................................. 2,637,866 20,300 Silicon Laboratories, Inc. (O)*................................................. 702,583 160,300 Texas Instruments, Inc. ........................................................ 6,032,089 85,200 Trimble Navigation, Ltd. *...................................................... 2,743,440
-------------------------------------------------------------------------------- 58 See accompanying Notes to Financial Statements. LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) ------------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY (CONTINUED) 106,100 Yahoo!, Inc. *.................................................................. $ 2,878,493 ----------- 208,163,596 ----------- MATERIALS - 2.51% 26,100 Freeport-McMoRan Copper & Gold, Inc............................................................................. 2,161,602 145,600 Monsanto Co. ................................................................... 9,833,824 121,700 Nalco Holding Co. .............................................................. 3,340,665 36,300 Newmont Mining Corp. ........................................................... 1,417,878 ----------- 16,753,969 ----------- TELECOMMUNICATION SERVICES - 2.03% 406,200 NeuStar, Inc., Class A (O)*.................................................................... 11,767,614 21,500 NII Holdings, Inc. *............................................................ 1,735,910 ----------- 13,503,524 ----------- UTILITIES - 0.63% 24,300 Mirant Corp. *.................................................................. 1,036,395 40,700 Veolia Environment, ADR (O)..................................................... 3,191,287 ----------- 4,227,682 ----------- TOTAL COMMON STOCKS ( Cost $569,166,811)............................................................ 663,669,212 INVESTMENT COMPANIES - 0.63% ------------------------------------------------------------------------------------------------------------- 1 J.P. Morgan Prime Money Market Fund............................................. 1 4,197,590 SSgA Prime Money Market Fund.................................................... 4,197,590 ----------- TOTAL INVESTMENT COMPANIES ( Cost $4,197,591 )............................................................. 4,197,591
Shares Value (Note 2) ------ -------------- COLLATERAL FOR SECURITIES ON LOAN - 8.06% ------------------------------------------------------------------------------------------------------------- 53,765,117 State Street Navigator Securities Lending Prime Portfolio (I)..................................................... $ 53,765,117 ----------- TOTAL COLLATERAL FOR SECURITIES ON LOAN ( Cost $53,765,117 )............................................................ 53,765,117 TOTAL INVESTMENTS - 108.20% ------------------------------------------------------------------------------------------------------------- ( Cost $627,129,519** )......................................................................... 721,631,920 NET OTHER ASSETS AND LIABILITIES - (8.20)% ------------------------------------------------------------------------------------------------------------- (54,687,161) TOTAL NET ASSETS - 100.00% ------------------------------------------------------------------------------------------------------------- $ 666,944,759 -------------------------------------------------------------------------------------------------------------
* Non-income producing. ** Aggregate cost for Federal tax purposes was $628,203,724. (I) Represents investments of cash collateral received in connection with securities lending. (O) All (or portion of security) on loan. ADR American Depositary Receipt REIT Real Estate Investment Trust The industry classification method used for purposes of this report may differ from the industry sub-classification(s) used for Trust compliance purposes. -------------------------------------------------------------------------------- 59 See accompanying Notes to Financial Statements. MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS - 97.13% ------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 13.65% 14,900 Autoliv, Inc. .................................................................. $ 845,575 6,800 Black & Decker Corp. (O)........................................................ 605,880 24,500 Cato Corp., Class A (O)..................................................................... 554,190 19,300 Centex Corp. (O)................................................................ 781,843 172,600 Ford Motor Co. (O).............................................................. 1,637,974 13,600 Fortune Brands, Inc. (O)........................................................ 1,121,184 37,250 Gannett Co., Inc. .............................................................. 2,052,103 134,000 Gap, Inc. ...................................................................... 2,563,420 27,800 Genuine Parts Co. .............................................................. 1,385,552 67,700 Goodyear Tire & Rubber Co. (O)*................................................. 2,290,291 12,500 Harrah's Entertainment, Inc. ................................................... 1,065,500 28,100 Hibbett Sports, Inc. (O)*....................................................... 757,014 22,600 J.C. Penney Co., Inc. .......................................................... 1,644,376 56,600 JOS A Bank Clothiers, Inc. (O)*................................................. 2,410,028 20,600 KB Home (O)..................................................................... 821,734 18,800 Liberty Media Corp. - Capital, Series A *...................................................................... 2,189,824 39,700 Liberty Media Corp.-Interactive *............................................... 891,265 49,800 Limited Brands, Inc. (O)........................................................ 1,390,416 28,600 Matthews International Corp., Class A (O)..................................................................... 1,245,530 13,900 Modine Manufacturing Co. (O).................................................... 315,808 44,400 Nike, Inc., Class B......................................................................... 2,588,076 52,600 O'Reilly Automotive, Inc. (O)*.................................................. 1,928,316 32,200 Pulte Homes, Inc. .............................................................. 729,652 33,400 Rare Hospitality International, Inc. (O)*....................................................................... 888,106 77,200 Saks, Inc. (O).................................................................. 1,655,168 13,300 Sears Holdings Corp. *.......................................................... 2,241,449 10,600 Sonic Corp. (O)*................................................................ 233,730 51,600 Stage Stores, Inc. (O).......................................................... 1,116,108 12,500 Standard-Pacific Corp. (O)...................................................... 227,125 11,000 Starwood Hotels & Resorts Worldwide, Inc. ........................................................................... 750,200 18,700 Talbots, Inc. (O)............................................................... 416,262 21,900 Tempur-Pedic International, Inc. (O)............................................ 563,487 19,300 Tiffany & Co. .................................................................. 1,014,215 66,300 TJX Cos., Inc. ................................................................. 1,820,598 34,700 Valassis Communications, Inc. (O)*.............................................. 607,250 15,800 VF Corp. ....................................................................... 1,451,862
Shares Value (Note 2) ------ -------------- CONSUMER DISCRETIONARY (CONTINUED) 43,500 Virgin Media, Inc. (O).......................................................... $ 1,074,450 63,100 Warner Music Group Corp. (O).................................................... 912,426 1,900 Washington Post Co., Class B......................................................................... 1,473,241 33,700 Wyndam Worldwide Corp. *........................................................ 1,229,039 ----------- 49,490,267 ----------- CONSUMER STAPLES - 6.61% 22,500 Altria Group, Inc. ............................................................. 1,573,200 16,900 Bunge, Ltd. .................................................................... 1,387,659 44,000 Casey's General Stores, Inc. ................................................... 1,218,800 54,100 ConAgra Foods, Inc. ............................................................ 1,460,700 106,100 Constellation Brands, Inc., Class A (O)*.................................................................... 2,650,378 41,700 Costco Wholesale Corp. (O)...................................................... 2,427,774 48,800 Dean Foods Co. ................................................................. 1,525,976 20,000 Herbalife, Ltd. ................................................................ 789,800 32,800 HJ Heinz Co. ................................................................... 1,554,392 31,100 Hormel Foods Corp. ............................................................. 1,164,695 27,500 Lance, Inc. (O)................................................................. 659,450 21,500 McCormick & Co., Inc./MD........................................................ 826,245 17,300 Molson Coors Brewing Co., Class B......................................................................... 1,576,376 70,000 Safeway, Inc. .................................................................. 2,383,500 31,869 SUPERVALU, Inc. ................................................................ 1,458,963 16,400 Universal Corp./Richmond, VA (O)................................................ 1,000,072 5,900 UST, Inc. (O)................................................................... 313,290 ----------- 23,971,270 ----------- ENERGY - 6.61% 53,600 Chesapeake Energy Corp. (O)..................................................... 1,857,776 54,000 El Paso Corp. .................................................................. 919,080 49,800 Forest Oil Corp. *.............................................................. 2,111,520 53,900 Hess Corp. ..................................................................... 3,058,286 21,500 Murphy Oil Corp. ............................................................... 1,264,845 26,500 Nabors Industries, Ltd. *....................................................... 884,305 32,500 Newfield Exploration Co. *...................................................... 1,470,300 31,300 Noble Energy, Inc. ............................................................. 1,915,560 9,300 Overseas Shipholding Group (O).................................................. 756,927 17,400 Pioneer Natural Resources Co. .................................................. 845,118 19,500 Plains Exploration & Production Co. *................................................................ 928,200 22,500 Rowan Cos., Inc. (O)............................................................ 902,025 20,600 Smith International, Inc. ...................................................... 1,200,568 70,800 Spectra Energy Corp. ........................................................... 1,827,348 23,400 St. Mary Land & Exploration Co. ................................................ 840,060 14,100 Sunoco, Inc. ................................................................... 1,117,002
-------------------------------------------------------------------------------- 60 See accompanying Notes to Financial Statements. MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) ------------------------------------------------------------------------------------------------------------- ENERGY (CONTINUED) 25,800 Whiting Petroleum Corp. (O)*.................................................... $ 1,046,190 31,700 Williams Cos., Inc. ............................................................ 1,004,573 ----------- 23,949,683 ----------- FINANCIALS - 26.62% 48,300 Ameriprise Financial, Inc. ..................................................... 3,114,867 29,000 AON Corp. ...................................................................... 1,225,250 33,300 Archstone-Smith Trust, REIT..................................................... 1,968,030 43,500 Ares Capital Corp. (O).......................................................... 741,240 36,900 Asset Acceptance Capital Corp. (O).............................................. 660,141 41,576 Associated Banc-Corp. .......................................................... 1,360,782 59,700 Assured Guaranty, Ltd. ......................................................... 1,786,821 25,700 Bank of America Corp. .......................................................... 1,261,613 8,800 BlackRock, Inc./New York (O).................................................... 1,397,440 30,200 Boston Properties, Inc., REIT................................................... 3,089,762 27,500 Capital One Financial Corp. .................................................... 2,190,925 27,700 Cincinnati Financial Corp. ..................................................... 1,213,814 68,500 CIT Group, Inc. ................................................................ 3,801,750 40,200 Colonial BancGroup, Inc. ....................................................... 1,007,010 12,600 Cousins Properties, Inc., REIT.................................................. 367,038 16,600 Credit Acceptance Corp. (O)*.................................................... 450,192 12,250 Delphi Financial Group, Inc., Class A......................................................................... 516,215 25,300 Equity Inns, Inc., REIT (O)..................................................... 565,455 19,400 Equity Residential, REIT........................................................ 884,834 23,200 Everest Re Group, Ltd. ......................................................... 2,506,528 31,000 Federated Investors, Inc., Class B......................................................................... 1,208,070 21,800 Financial Federal Corp. (O)..................................................... 650,294 10,900 First Midwest Bancorp, Inc./ IL (O)............................................. 389,348 25,600 General Growth Properties, Inc., REIT...................................................................... 1,356,800 51,900 Genworth Financial, Inc. ....................................................... 1,815,462 26,500 Hartford Financial Services Group, Inc. .................................................................... 2,610,515 15,200 IndyMac Bancorp, Inc. (O)....................................................... 458,432 28,000 Innkeepers USA Trust, REIT...................................................... 496,440 21,450 International Bancshares Corp. (O).............................................. 557,056 9,800 IPC Holdings, Ltd. ............................................................. 318,794 67,900 iStar Financial, Inc., REIT..................................................... 3,061,611 32,800 JPMorgan Chase & Co. ........................................................... 1,605,888 79,100 Keycorp......................................................................... 2,763,754 54,300 Kimco Realty Corp., REIT........................................................ 2,069,916 29,600 Legg Mason, Inc. ............................................................... 2,971,840 26,500 Lincoln National Corp. ......................................................... 1,882,560
Shares Value (Note 2) ------ -------------- FINANCIALS (CONTINUED) 11,600 M&T Bank Corp. ................................................................. $ 1,256,628 18,800 Maguire Properties, Inc., REIT.................................................. 648,600 63,800 Marshall & Ilsley Corp. ........................................................ 3,068,780 13,600 MB Financial, Inc. (O).......................................................... 478,992 19,000 MBIA, Inc. (O).................................................................. 1,205,930 49,500 Mellon Financial Corp. (O)...................................................... 2,199,780 16,700 Merrill Lynch & Co., Inc. ...................................................... 1,436,534 33,400 NewAlliance Bancshares, Inc. (O)................................................ 496,324 27,700 PartnerRe, Ltd. ................................................................ 2,144,257 21,900 Platinum Underwriters Holdings, Ltd. (Bermuda)....................................................................... 773,070 26,300 Principal Financial Group, Inc. ................................................ 1,536,183 13,700 Prologis, REIT.................................................................. 790,079 6,500 PS Business Parks, Inc., REIT................................................... 406,900 15,400 Public Storage, REIT............................................................ 1,203,048 40,800 RAIT Investment Trust, REIT (O)................................................. 1,091,400 27,000 Rayonier, Inc., REIT............................................................ 1,222,830 37,200 Realty Income Corp., REIT....................................................... 943,020 22,000 Reinsurance Group of America, Inc. (O)........................................................................ 1,331,660 30,200 RenaissanceRe Holdings, Ltd. ................................................... 1,858,810 20,900 Safeco Corp. ................................................................... 1,306,250 12,800 Simon Property Group, Inc., REIT................................................ 1,208,448 9,600 SL Green Realty Corp., REIT..................................................... 1,191,168 47,600 TCF Financial Corp. (O)......................................................... 1,321,852 15,700 Torchmark Corp. ................................................................ 1,056,610 33,900 Universal American Financial Corp. (O)*...................................................................... 743,088 87,500 Unum Group...................................................................... 2,297,750 41,200 U-Store-It Trust, REIT (O)...................................................... 679,800 14,600 Ventas, Inc., REIT.............................................................. 526,476 31,500 Vornado Realty Trust, REIT...................................................... 3,467,835 13,300 Webster Financial Corp. ........................................................ 570,703 9,400 Westamerica Bancorporation (O).................................................. 427,700 18,500 XL Capital, Ltd. ............................................................... 1,554,000 22,400 Zions Bancorporation............................................................ 1,746,080 ----------- 96,517,072 ----------- HEALTH CARE - 4.18% 22,900 Abbott Laboratories............................................................. 1,230,188 37,800 Amsurg Corp. (O)*............................................................... 925,344 31,300 Applera Corp. - Applied Biosystems Group........................................................................... 951,833 6,200 Bausch & Lomb, Inc. (O)......................................................... 427,552 21,500 Cardinal Health, Inc. .......................................................... 1,518,760
-------------------------------------------------------------------------------- 61 See accompanying Notes to Financial Statements. MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) ------------------------------------------------------------------------------------------------------------- HEALTH CARE (CONTINUED) 31,400 Centene Corp. (O)*.............................................................. $ 686,718 31,300 Charles River Laboratories International, Inc. (O)*........................................................ 1,611,950 12,300 Dentsply International, Inc. ................................................... 470,844 38,100 IMS Health, Inc. ............................................................... 1,222,629 8,300 Invitrogen Corp. *.............................................................. 611,876 50,200 King Pharmaceuticals, Inc. *.................................................... 1,029,100 40,400 LifePoint Hospitals, Inc. *..................................................... 1,565,096 13,600 Medco Health Solutions, Inc. *.................................................. 1,058,352 28,300 Omnicare, Inc. (O).............................................................. 1,029,837 1,400 Orthofix International N.V. *................................................... 64,484 13,400 Varian, Inc. *.................................................................. 743,700 ----------- 15,148,263 ----------- INDUSTRIALS - 12.23% 38,700 ACCO Brands Corp. (O)*.......................................................... 928,413 14,600 Acuity Brands, Inc. ............................................................ 891,330 61,100 Airtran Holdings, Inc. (O)*..................................................... 665,990 19,300 Albany International Corp., Class A (O)..................................................................... 786,861 11,200 Avery Dennison Corp. ........................................................... 741,104 20,025 Belden, Inc. (O)................................................................ 1,124,204 45,700 Carlisle Cos., Inc. ............................................................ 2,130,077 27,100 CSX Corp. ...................................................................... 1,217,332 20,500 Dover Corp. .................................................................... 1,045,500 26,100 Eaton Corp. .................................................................... 2,416,338 5,900 Esco Technologies, Inc. *....................................................... 215,340 10,700 Flowserve Corp. ................................................................ 760,770 12,300 GATX Corp. (O).................................................................. 613,401 22,187 Genesee & Wyoming, Inc., Class A (O)*.................................................................... 663,391 22,200 Graco, Inc. .................................................................... 887,556 60,600 Ingersoll-Rand Co., Ltd., Class A......................................................................... 3,318,456 19,900 ITT Corp. ...................................................................... 1,351,210 39,100 KBR, Inc. *..................................................................... 1,026,766 27,700 L-3 Communications Holdings, Inc. .............................................. 2,678,867 26,800 Masco Corp. (O)................................................................. 750,400 33,900 Mueller Industries, Inc. ....................................................... 1,173,618 29,500 Norfolk Southern Corp. ......................................................... 1,570,580 35,200 Parker Hannifin Corp. .......................................................... 3,439,744 23,000 Pitney Bowes, Inc. ............................................................. 1,069,730 24,900 Republic Services, Inc. ........................................................ 756,960 41,900 RR Donnelley & Sons Co. ........................................................ 1,815,946 22,000 Simpson Manufacturing Co., Inc. (O)............................................. 737,000 91,600 Southwest Airlines Co. (O)...................................................... 1,367,588
Shares Value (Note 2) ------ -------------- INDUSTRIALS (CONTINUED) 59,800 Spirit Aerosystems Holdings, Inc., Class A *....................................................................... $ 2,124,096 51,500 Timken Co. ..................................................................... 1,848,335 13,200 United Stationers, Inc. *....................................................... 885,852 19,300 USG Corp. (O)*.................................................................. 938,945 25,700 WW Grainger Inc. ............................................................... 2,388,301 ----------- 44,340,001 ----------- INFORMATION TECHNOLOGY - 8.47% 23,000 Advanced Micro Devices, Inc. (O)*............................................... 333,270 10,600 Affiliated Computer Services, Inc., Class A *....................................................................... 606,214 36,600 Altera Corp. ................................................................... 811,056 57,900 Arrow Electronics, Inc. *....................................................... 2,251,731 64,700 Avaya, Inc. *................................................................... 1,092,136 47,300 CA, Inc. ....................................................................... 1,213,718 31,900 Citrix Systems, Inc. *.......................................................... 1,084,281 33,200 Computer Sciences Corp. *....................................................... 1,968,760 50,100 Convergys Corp. *............................................................... 1,224,444 12,000 Diebold, Inc. (O)............................................................... 630,240 44,200 Electronic Data Systems Corp. .................................................. 1,222,572 24,800 Electronics for Imaging *....................................................... 708,536 29,300 Intersil Corp., Class A......................................................................... 935,842 36,400 Juniper Networks, Inc. *........................................................ 922,012 16,900 Lexmark International, Inc., Class A *....................................................................... 849,225 114,300 LSI Corp. *..................................................................... 874,395 19,400 Maxim Integrated Products, Inc. ................................................ 657,660 19,100 MAXIMUS, Inc. .................................................................. 835,816 106,700 Micron Technology, Inc. (O)*.................................................... 1,324,147 44,100 Molex, Inc. (O)................................................................. 1,331,820 49,500 NAM TAI Electronics, Inc. ...................................................... 603,405 29,600 NCR Corp. *..................................................................... 1,535,056 59,900 Novellus Systems, Inc. (O)*..................................................... 1,730,511 22,300 SanDisk Corp. *................................................................. 1,084,672 121,400 Tellabs, Inc. *................................................................. 1,307,478 161,000 Xerox Corp. *................................................................... 2,984,940 27,100 Xyratex, Ltd. *................................................................. 598,368 ----------- 30,722,305 ----------- MATERIALS - 5.34% 26,000 Air Products & Chemicals, Inc. ................................................. 2,079,480 26,500 Allegheny Technologies, Inc. ................................................... 2,791,775 12,500 Aptargroup, Inc. ............................................................... 451,500 17,800 Bemis Co., Inc. ................................................................ 583,306 22,300 Celanese Corp. ................................................................. 863,010
-------------------------------------------------------------------------------- 62 See accompanying Notes to Financial Statements. MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) ------------------------------------------------------------------------------------------------------------- MATERIALS (CONTINUED) 13,900 Compass Minerals International, Inc. (O)........................................................................ $ 483,442 5,300 Deltic Timber Corp. (O)......................................................... 295,104 21,500 E.I. Du Pont de Nemours & Co. .................................................. 1,094,995 24,000 Freeport-McMoRan Copper & Gold, Inc. ..................................................................... 1,975,680 20,200 Lyondell Chemical Co. .......................................................... 745,784 13,100 MeadWestvaco Corp. ............................................................. 453,784 42,300 PPG Industries, Inc. ........................................................... 3,153,042 34,300 Rohm & Haas Co. ................................................................ 1,843,968 7,300 Temple-Inland, Inc. ............................................................ 444,570 19,400 United States Steel Corp. ...................................................... 2,108,780 ----------- 19,368,220 ----------- TELECOMMUNICATION SERVICES - 2.19% 66,800 Citizens Communications Co. .................................................... 1,030,056 82,800 NeuStar, Inc., Class A (O)*.................................................................... 2,334,132 25,900 NII Holdings, Inc. *............................................................ 2,121,728 124,800 Qwest Communications International, Inc. (O)*....................................................................... 1,214,304 82,800 Windstream Corp. (O)............................................................ 1,225,440 ----------- 7,925,660 ----------- UTILITIES - 11.23% 19,700 Alliant Energy Corp. ........................................................... 764,163 30,900 Ameren Corp. ................................................................... 1,505,139 81,900 American Electric Power Co., Inc. .............................................. 3,648,645 14,800 Atmos Energy Corp. ............................................................. 443,260 72,600 CMS Energy Corp. ............................................................... 1,240,734 35,500 Consolidated Edison, Inc. (O)................................................... 1,606,730 8,800 Constellation Energy Group, Inc. ............................................... 763,488 34,700 DTE Energy Co. ................................................................. 1,673,234 73,500 Edison International............................................................ 4,103,505 14,300 Entergy Corp. .................................................................. 1,525,095 41,500 Mirant Corp. *.................................................................. 1,766,655 20,600 National Fuel Gas Co (O)........................................................ 883,946 9,800 New Jersey Resources Corp. (O).................................................. 501,662 35,900 NRG Energy, Inc. (O)*........................................................... 1,492,722 51,700 NSTAR (O)....................................................................... 1,680,767 21,500 Oneok, Inc. (O)................................................................. 1,073,495 94,700 PG&E Corp. ..................................................................... 4,280,440 29,750 PNM Resources, Inc. ............................................................ 827,942 46,400 PPL Corp. ...................................................................... 2,159,456 44,900 Progress Energy, Inc. .......................................................... 2,042,052
Shares Value (Note 2) ------ -------------- UTILITIES (CONTINUED) 19,700 Questar Corp. .................................................................. $ 1,032,674 39,800 Sempra Energy................................................................... 2,345,414 26,200 UGI Corp. ...................................................................... 704,518 29,400 Westar Energy, Inc. (O)......................................................... 722,064 13,400 WGL Holdings, Inc. (O).......................................................... 441,664 72,000 Xcel Energy, Inc. (O)........................................................... 1,477,440 ----------- 40,706,904 ----------- TOTAL COMMON STOCKS ( Cost $296,320,668 )........................................................... 352,129,645 INVESTMENT COMPANIES - 2.89% ------------------------------------------------------------------------------------------------------------- 39,400 Consumer Discretionary Select Sector SPDR Fund ETF (O)............................................................... 1,547,632 6,700 iShares Russell Midcap Value Index Fund ETF........................................................................ 1,056,456 14,900 Market Vectors Gold Miners ETF.................................................. 560,687 24,300 Materials Select Sector SPDR Fund ETF (O)............................................................... 977,346 43,200 Powershares QQQ ETF (O)......................................................... 2,052,432 15,300 SPDR S&P Metals & Mining ETF.................................................... 951,201 3,344,125 SSgA Prime Money Market Fund.................................................... 3,344,125 ----------- TOTAL INVESTMENT COMPANIES ( Cost $10,393,641 )............................................................ 10,489,879 COLLATERAL FOR SECURITIES ON LOAN - 21.63% ------------------------------------------------------------------------------------------------------------- 78,420,250 State Street Navigator Securities Lending Prime Portfolio (I)............................................................. 78,420,250 ----------- TOTAL COLLATERAL FOR SECURITIES ON LOAN ( Cost $78,420,250 )............................................................ 78,420,250 TOTAL INVESTMENTS - 121.65% ------------------------------------------------------------------------------------------------------------- ( Cost $385,134,559** )......................................................................... 441,039,774 NET OTHER ASSETS AND LIABILITIES - (21.65)% ------------------------------------------------------------------------------------------------------------- (78,507,158) TOTAL NET ASSETS - 100.00% ------------------------------------------------------------------------------------------------------------- $ 362,532,616 -------------------------------------------------------------------------------------------------------------
* Non-income producing. ** Aggregate cost for Federal tax purposes was $385,349,956. -------------------------------------------------------------------------------- 63 See accompanying Notes to Financial Statements. MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) (I) Represents investments of cash collateral received in connection with securities lending. (O) All (or portion of security) on loan. ETF Exchange Traded Fund. REITReal Estate Investment Trust. The industry classification method used for purposes of this report may differ from the industry sub-classification(s) used for Trust compliance purposes. -------------------------------------------------------------------------------- 64 See accompanying Notes to Financial Statements. MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS - 98.46% ------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 17.34% 20,400 American Eagle Outfitters, Inc. ................................................ $ 523,464 300,600 Carter's, Inc. (O)*............................................................. 7,797,564 95,500 Chico's FAS, Inc. (O)*.......................................................... 2,324,470 102,700 Coldwater Creek, Inc. (O)*...................................................... 2,385,721 229,700 DreamWorks Animation SKG, Inc., Class A (O)*.................................................................... 6,624,548 164,900 Gildan Activewear, Inc. (O)*.................................................... 5,654,421 157,200 H&R Block, Inc. ................................................................ 3,673,764 129,200 JOS A Bank Clothiers, Inc. (O)*................................................. 5,357,924 177,700 O'Reilly Automotive, Inc. (O)*.................................................. 6,494,935 165,000 Priceline.com, Inc. *........................................................... 11,342,100 147,400 Rare Hospitality International, Inc. (O)*....................................... 3,945,898 144,600 Steiner Leisure, Ltd. *......................................................... 7,102,752 93,900 Tween Brands, Inc. (O)*......................................................... 4,187,940 87,500 Zumiez, Inc. (O)*............................................................... 3,305,750 ----------- 70,721,251 ----------- ENERGY - 10.53% 84,200 Atwood Oceanics, Inc.(O)*....................................................... 5,777,804 292,000 Complete Production Services, Inc. (O)*......................................... 7,548,200 88,400 Hercules Offshore, Inc. (O)*.................................................... 2,862,392 84,900 Noble Corp. .................................................................... 8,279,448 59,500 Noble Energy, Inc. ............................................................. 3,712,205 104,000 Pride International, Inc. (O)*.................................................. 3,895,840 90,000 St. Mary Land & Exploration Co. ................................................ 3,295,800 51,900 Sunoco, Inc. (O)................................................................ 4,135,392 72,600 Todco *......................................................................... 3,427,446 ----------- 42,934,527 ----------- FINANCIALS - 11.98% 79,700 Affiliated Managers Group, Inc. (O)*............................................ 10,262,172 222,800 E*Trade Financial Corp. *....................................................... 4,921,652 102,900 Endurance Specialty Holdings, Ltd. ............................................. 4,120,116 38,200 IntercontinentalExchange, Inc. (O)*............................................. 5,647,870 178,700 Invesco PLC, ADR (O)............................................................ 4,619,395 121,440 Nuveen Investments, Inc., Class A (O)..................................................................... 7,547,496
Shares Value (Note 2) ------ -------------- FINANCIALS (CONTINUED) 115,300 optionsXpress Holdings, Inc. (O)................................................ $ 2,958,598 269,100 WR Berkley Corp. ............................................................... 8,756,514 ----------- 48,833,813 ----------- HEALTH CARE - 16.41% 105,599 Amedisys, Inc. (O)*............................................................. 3,836,412 143,100 Angiodynamics, Inc. (O)*........................................................ 2,577,231 118,600 Barr Pharmaceuticals, Inc. *.................................................... 5,957,278 46,900 Beckman Coulter, Inc. .......................................................... 3,033,492 91,100 Cephalon, Inc. (O)*............................................................. 7,323,529 108,400 Coventry Health Care, Inc. (O)*................................................. 6,249,260 192,200 Health Net, Inc. *.............................................................. 10,148,160 78,200 Hologic, Inc. (O)*.............................................................. 4,325,242 183,000 Hospira, Inc. *................................................................. 7,144,320 84,600 Invitrogen Corp. (O)*........................................................... 6,239,250 96,200 Psychiatric Solutions, Inc. (O)*................................................ 3,488,212 111,000 Waters Corp. *.................................................................. 6,588,960 ----------- 66,911,346 ----------- INDUSTRIALS - 19.88% 27,800 Carlisle Cos., Inc. ............................................................ 1,292,978 204,900 Graco, Inc. (O)................................................................. 8,253,372 233,000 Herman Miller, Inc. ............................................................ 7,362,800 191,500 HUB Group, Inc., Class A *....................................................................... 6,733,140 93,800 Joy Global, Inc. (O)............................................................ 5,471,354 99,500 Manpower, Inc. ................................................................. 9,177,880 142,800 Oshkosh Truck Corp. ............................................................ 8,984,976 67,100 Precision Castparts Corp. ...................................................... 8,143,256 93,220 Resources Connection, Inc. *.................................................... 3,093,039 160,700 Robert Half International, Inc. ................................................ 5,865,550 92,000 Terex Corp. *................................................................... 7,479,600 120,600 Thomas & Betts Corp. *.......................................................... 6,994,800 33,500 Triumph Group, Inc. (O)......................................................... 2,193,245 ----------- 81,045,990 ----------- INFORMATION TECHNOLOGY - 22.32% 131,400 Akamai Technologies, Inc. (O)*.................................................. 6,391,296 90,600 Alliance Data Systems Corp. *................................................... 7,001,568 292,300 Amphenol Corp., Class A......................................................................... 10,420,495 119,870 Autodesk, Inc. (O)*............................................................. 5,643,480 280,600 Benchmark Electronics, Inc. (O)*................................................ 6,347,172
-------------------------------------------------------------------------------- 65 See accompanying Notes to Financial Statements. MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) ------------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY (CONTINUED) 41,000 Cognizant Technology Solutions Corp., Class A *....................................................................... $ 3,078,690 66,300 DST Systems, Inc. (O)*.......................................................... 5,251,623 160,200 Flir Systems, Inc. (O)*......................................................... 7,409,250 298,640 Foundry Networks, Inc. *........................................................ 4,975,342 200,400 Lam Research Corp. *............................................................ 10,300,560 44,800 MEMC Electronic Materials, Inc. *............................................... 2,738,176 287,700 Perot Systems Corp., Class A (O)*.................................................................... 4,902,408 130,900 Polycom, Inc. *................................................................. 4,398,240 416,700 QLogic Corp. *.................................................................. 6,938,055 130,550 Varian Semiconductor Equipment Associates, Inc. (O)*........................................................... 5,229,833 ----------- 91,026,188 ----------- TOTAL COMMON STOCKS ( Cost $339,693,192 )........................................................... 401,473,115 INVESTMENT COMPANY - 1.98% ------------------------------------------------------------------------------------------------------------- 8,082,550 SSgA Prime Money Market Fund.................................................... 8,082,550 ----------- TOTAL INVESTMENT COMPANY ( Cost $8,082,550 )............................................................. 8,082,550 COLLATERAL FOR SECURITIES ON LOAN - 25.67% ------------------------------------------------------------------------------------------------------------- 104,644,310 State Street Navigator Securities Lending Prime Portfolio (I)............................................................. 104,644,310 ----------- TOTAL COLLATERAL FOR SECURITIES ON LOAN ( Cost $104,644,310 )........................................................... 104,644,310 TOTAL INVESTMENTS - 126.11% ------------------------------------------------------------------------------------------------------------- ( Cost $452,420,052** )......................................................................... 514,199,975 NET OTHER ASSETS AND LIABILITIES - (26.11)% ------------------------------------------------------------------------------------------------------------- (106,460,809) TOTAL NET ASSETS - 100.00% ------------------------------------------------------------------------------------------------------------- $ 407,739,166 -------------------------------------------------------------------------------------------------------------
* Non-income producing. ** Aggregate cost for Federal tax purposes was $455,670,791. (I) Represents investments of cash collateral received in connection with securities lending. (O) All (or portion of security) on loan. ADR American Depositary Receipt. PLC Public Limited Company. The industry classification method used for purposes of this report may differ from the industry sub-classification(s) used for Trust compliance purposes. -------------------------------------------------------------------------------- 66 See accompanying Notes to Financial Statements. SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS - 96.35% ------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 17.17% 1,500 Catalina Marketing Corp. ....................................................... $ 47,250 3,200 Cato Corp., Class A......................................................................... 70,208 900 CEC Entertainment, Inc. *....................................................... 31,680 2,700 Helen of Troy, Ltd. *........................................................... 72,900 2,400 Hibbett Sports, Inc. *.......................................................... 65,712 2,700 Matthews International Corp., Class A......................................................................... 117,747 1,000 Modine Manufacturing Co. ....................................................... 22,600 2,900 Rare Hospitality International, Inc. *.......................................... 77,633 1,300 Sonic Corp. *................................................................... 28,756 5,300 Stage Stores, Inc. ............................................................. 111,088 2,000 Talbots, Inc. .................................................................. 50,060 2,100 Tempur-Pedic International, Inc. ............................................... 54,390 1,900 Unifirst Corp................................................................... 83,695 3,200 Valassis Communications, Inc. *................................................. 55,008 ----------- 888,727 ----------- CONSUMER STAPLES - 6.05% 4,000 Casey's General Stores, Inc. ................................................... 109,040 1,300 Herbalife, Ltd. ................................................................ 51,545 2,600 Lance, Inc. .................................................................... 61,256 1,500 Universal Corp. ................................................................ 91,380 ----------- 313,221 ----------- ENERGY - 3.98% 2,600 Penn Virginia Corp. ............................................................ 104,520 2,500 Whiting Petroleum Corp. *....................................................... 101,300 ----------- 205,820 ----------- FINANCIALS - 28.72% 1,300 Acadia Realty Trust, REIT....................................................... 33,735 1,300 American Campus Communities, Inc., REIT............................................................................ 36,777 4,100 Ares Capital Corp. ............................................................. 69,085 4,700 Asset Acceptance Capital Corp. *................................................ 83,190 5,600 Assured Guaranty, Ltd. ......................................................... 165,536 1,400 Asta Funding, Inc. ............................................................. 53,802 1,300 Cousins Properties, Inc., REIT.................................................. 37,713 1,200 Credit Acceptance Corp. *....................................................... 32,196 1,800 Delphi Financial Group, Inc., Class A......................................................................... 75,276 2,600 Equity Inns, Inc., REIT......................................................... 58,240 1,900 Financial Federal Corp. ........................................................ 56,658 1,100 First Midwest Bancorp, Inc. .................................................... 39,061
Shares Value (Note 2) ------ -------------- FINANCIALS (CONTINUED) 3,000 Innkeepers USA Trust, REIT...................................................... $ 53,190 2,090 International Bancshares Corp. ................................................. 53,546 1,000 IPC Holdings, Ltd. ............................................................. 32,290 1,500 Maguire Properties, Inc., REIT.................................................. 51,495 1,300 MB Financial, Inc. ............................................................. 45,162 2,600 NewAlliance Bancshares, Inc. ................................................... 38,272 600 Pennsylvania Real Estate Investment Trust, REIT..................................................................... 26,598 2,000 Platinum Underwriters Holdings, Ltd. (Bermuda)....................................................................... 69,500 500 PS Business Parks, Inc., REIT................................................... 31,685 3,500 RAIT Investment Trust, REIT..................................................... 91,070 3,300 Realty Income Corp., REIT....................................................... 83,127 3,000 Universal American Financial Corp. *............................................ 63,840 4,300 U-Store-It Trust, REIT.......................................................... 70,477 800 Westamerica Bancorporation...................................................... 35,392 ----------- 1,486,913 ----------- HEALTH CARE - 4.43% 3,900 Amsurg Corp. *.................................................................. 94,146 2,800 Centene Corp. *................................................................. 59,976 600 Icon PLC, ADR *................................................................. 26,244 900 Varian, Inc. *.................................................................. 49,347 ----------- 229,713 ----------- INDUSTRIALS - 23.46% 3,700 ACCO Brands Corp. *............................................................. 85,285 1,100 Acuity Brands, Inc. ............................................................ 66,308 5,500 Airtran Holdings, Inc. *........................................................ 60,060 1,700 Albany International Corp., Class A......................................................................... 68,748 2,100 Belden, Inc. ................................................................... 116,235 4,400 Bowne & Co., Inc. .............................................................. 85,844 4,000 Carlisle Cos., Inc. ............................................................ 186,040 4,100 Deswell Industries, Inc. ....................................................... 44,772 500 Esco Technologies, Inc. *....................................................... 18,130 2,200 Genesee & Wyoming, Inc., Class A *....................................................................... 65,648 3,500 Mueller Industries, Inc. ....................................................... 120,540 2,100 Simpson Manufacturing Co., Inc. ................................................ 70,854 190 Sterling Construction Co., Inc. *............................................... 4,018 2,400 Trex Co., Inc. *................................................................ 47,112 1,500 United Stationers, Inc. *....................................................... 99,960 3,500 Vitran Corp., Inc. *............................................................ 74,690 ----------- 1,214,244 -----------
-------------------------------------------------------------------------------- 67 See accompanying Notes to Financial Statements. SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) ------------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY - 5.22% 2,200 Electronics for Imaging *....................................................... $ 62,084 2,300 MAXIMUS, Inc. .................................................................. 99,774 4,600 NAM TAI Electronics, Inc. ...................................................... 54,832 2,400 Xyratex, Ltd. *................................................................. 53,352 ----------- 270,042 ----------- MATERIALS - 2.62% 1,800 Aptargroup, Inc. ............................................................... 64,008 1,600 Compass Minerals International, Inc. ........................................... 55,456 300 Deltic Timber Corp. ............................................................ 16,446 ----------- 135,910 ----------- TELECOMMUNICATION SERVICES - 1.11% 2,000 Atlantic Tele-Network, Inc. .................................................... 57,280 ----------- UTILITIES - 3.59% 800 New Jersey Resources Corp. ..................................................... 40,816 2,500 PNM Resources, Inc. ............................................................ 69,475 1,500 Westar Energy, Inc. ............................................................ 36,420 1,200 WGL Holdings, Inc. ............................................................. 39,168 ----------- 185,879 ----------- TOTAL COMMON STOCKS ( Cost $4,963,695 )............................................................. 4,987,749 INVESTMENT COMPANY - 3.79% ------------------------------------------------------------------------------------------------------------- 196,337 SSgA Prime Money Market Fund.................................................... 196,337 ----------- TOTAL INVESTMENT COMPANY ( Cost $196,337 )............................................................... 196,337 TOTAL INVESTMENTS - 100.14% ------------------------------------------------------------------------------------------------------------- ( Cost $5,160,032** )............................................................................. 5,184,086 NET OTHER ASSETS AND LIABILITIES - (0.14)% ------------------------------------------------------------------------------------------------------------- (7,637) TOTAL NET ASSETS - 100.00% ------------------------------------------------------------------------------------------------------------- $ 5,176,449 -------------------------------------------------------------------------------------------------------------
* Non-income producing. ** Aggregate cost for Federal tax purposes was $5,160,032. ADR American Depositary Receipt. PLC Public Limited Company. REIT Real Estate Investment Trust. The industry classification method used for purposes of this report may differ from the industry sub-classification(s) used for Trust compliance purposes. -------------------------------------------------------------------------------- 68 See accompanying Notes to Financial Statements. SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS - 97.56% ------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 14.12% 700 Advance Auto Parts, Inc. ....................................................... $ 28,371 600 Applebees International, Inc. .................................................. 14,460 300 Buffalo Wild Wings, Inc. *...................................................... 12,477 950 California Pizza Kitchen, Inc. *................................................ 20,406 600 Carmax, Inc. *.................................................................. 15,300 500 Charlotte Russe Holding, Inc. *................................................. 13,435 500 Children's Place Retail Stores, Inc. *.......................................... 25,820 400 Cooper Tire & Rubber Co. ....................................................... 11,048 200 Ctrip.com International, Ltd., ADR.............................................. 15,726 400 Deckers Outdoor Corp. *......................................................... 40,360 400 Dick's Sporting Goods, Inc. *................................................... 23,268 400 Dollar Tree Stores, Inc. *...................................................... 17,420 300 DSW, Inc. *..................................................................... 10,446 900 Focus Media Holding, Ltd., ADR *................................................ 45,450 500 Fossil, Inc. *.................................................................. 14,745 1,000 FTD Group, Inc. ................................................................ 18,410 800 GameStop Corp., Class A *....................................................................... 31,280 800 Genesco, Inc. *................................................................. 41,848 800 GSI Commerce, Inc. *............................................................ 18,168 400 Jack in the Box, Inc. *......................................................... 28,376 900 LKQ Corp. *..................................................................... 22,194 1,100 Lodgenet Entertainment Corp. *.................................................. 35,266 200 Men's Wearhouse, Inc. .......................................................... 10,214 600 Outdoor Channel Holdings, Inc. *................................................ 6,762 600 Papa John's International, Inc. *............................................... 17,256 1,000 Pinnacle Entertainment, Inc. *.................................................. 28,150 300 Priceline.com, Inc. *........................................................... 20,622 200 Red Robin Gourmet Burgers, Inc. *............................................... 8,074 600 Sauer-Danfoss, Inc. ............................................................ 17,856 600 Scientific Games Corp., Class A *....................................................................... 20,970 1,300 Trump Entertainment Resorts, Inc. *............................................. 16,315 900 Urban Outfitters, Inc. *........................................................ 21,627 1,000 Warnaco Group, Inc. *........................................................... 39,340 600 Winnebago Industries............................................................ 17,712 1,150 WMS Industries, Inc. *.......................................................... 33,189 ----------- 762,361 -----------
Shares Value (Note 2) ------ -------------- CONSUMER STAPLES - 3.20% 1,000 Central Garden and Pet Co., Class A *....................................................................... $ 11,730 600 Elizabeth Arden, Inc. *......................................................... 14,556 1,000 Imperial Sugar Co. ............................................................. 30,790 1,200 John B. Sanfilippo & Son, Inc. *................................................ 13,200 400 Longs Drug Stores Corp. ........................................................ 21,008 300 NBTY, Inc. *.................................................................... 12,960 700 Pantry, Inc. *.................................................................. 32,270 800 Reddy Ice Holdings, Inc. ....................................................... 22,816 400 Spartan Stores, Inc. ........................................................... 13,164 ----------- 172,494 ----------- ENERGY - 4.88% 500 Arch Coal, Inc. ................................................................ 17,400 1,700 Cabot Oil & Gas Corp. .......................................................... 62,696 300 Carrizo Oil & Gas, Inc. *....................................................... 12,441 300 Dawson Geophysical Co. *........................................................ 18,438 400 Lufkin Industries, Inc. ........................................................ 25,820 700 NATCO Group, Inc., Class A *....................................................................... 32,228 1,100 Trico Marine Services, Inc. *................................................... 44,968 800 W-H Energy Services, Inc. *..................................................... 49,528 ----------- 263,519 ----------- FINANCIALS - 8.45% 50 Advanta Corp., Class B......................................................................... 1,557 200 Alexandria Real Estate Equities, Inc., REIT............................................................................ 19,364 1,400 American Physicians Capital, Inc. *............................................. 56,700 2,800 Calamos Asset Management, Inc., Class A......................................................................... 71,540 800 Dollar Financial Corp. *........................................................ 22,800 2,400 Ezcorp, Inc., Class A *....................................................................... 31,776 1,000 First Community Bancorp, Inc. .................................................. 57,210 500 Hancock Holding Co. ............................................................ 18,775 600 Mid-America Apartment Communities, Inc., REIT............................................................................ 31,488 900 Odyssey Re Holdings Corp. ...................................................... 38,601 1,400 Phoenix Cos., Inc. ............................................................. 21,014 200 Safety Insurance Group, Inc. ................................................... 8,280 1,400 Selective Insurance Group....................................................... 37,632 1,100 SWS Group, Inc. ................................................................ 23,782 500 Tower Group, Inc. .............................................................. 15,950 ----------- 456,469 -----------
-------------------------------------------------------------------------------- 69 See accompanying Notes to Financial Statements. SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) ------------------------------------------------------------------------------------------------------------- HEALTH CARE - 16.09% 200 Alexion Pharmaceuticals, Inc. *................................................. $ 9,012 1,000 Align Technology, Inc. *........................................................ 24,160 2,100 Alkermes, Inc. *................................................................ 30,660 800 Arthrocare Corp. *.............................................................. 35,128 2,200 Bradley Pharmaceuticals, Inc. *................................................. 47,762 200 Chemed Corp. ................................................................... 13,258 800 Corvel Corp. *.................................................................. 20,912 2,200 Cutera, Inc. *.................................................................. 54,824 600 Cynosure, Inc., Class A *....................................................................... 21,858 2,100 Cypress Bioscience, Inc. *...................................................... 27,846 400 Dade Behring Holdings, Inc. .................................................... 21,248 300 Digene Corp. *.................................................................. 18,015 1,300 Hologic, Inc. *................................................................. 71,903 1,000 InterMune, Inc. *............................................................... 25,940 1,400 inVentiv Health, Inc. *......................................................... 51,254 400 Inverness Medical Innovations, Inc. *........................................... 20,408 900 Kendle International, Inc. *.................................................... 33,093 300 Kyphon, Inc. *.................................................................. 14,445 400 LifePoint Hospitals, Inc. *..................................................... 15,472 900 Medcath Corp. *................................................................. 28,620 1,000 Medicines Co. *................................................................. 17,620 1,300 Omnicell, Inc. *................................................................ 27,014 900 Parexel International Corp. *................................................... 37,854 200 Pharmaceutical Product Development, Inc. ........................................................................... 7,654 400 Sirona Dental Systems, Inc. *................................................... 15,132 800 Sun Healthcare Group, Inc. *.................................................... 11,592 400 Sunrise Senior Living, Inc. *................................................... 15,996 1,600 Symbion, Inc. *................................................................. 34,736 800 Trizetto Group *................................................................ 15,488 400 Ventana Medical Systems, Inc. *................................................. 30,908 500 Vertex Pharmaceuticals, Inc. *.................................................. 14,280 600 WellCare Health Plans, Inc. *................................................... 54,306 ----------- 868,398 ----------- INDUSTRIALS - 26.47% 1,400 AAR Corp. *..................................................................... 46,214 400 Actuant Corp. .................................................................. 25,224 600 Advisory Board Co. *............................................................ 33,336 1,000 American Commercial Lines, Inc. *............................................... 26,050 500 American Reprographics Co. *.................................................... 15,395
Shares Value (Note 2) ------ -------------- INDUSTRIALS (CONTINUED) 900 Bucyrus International, Inc., Class A......................................................................... $ 63,702 400 CDI Corp. ...................................................................... 12,880 400 Cenveo, Inc. *.................................................................. 9,276 200 Clean Harbors, Inc. *........................................................... 9,884 1,000 COMSYS IT Partners, Inc. *...................................................... 22,810 500 Consolidated Graphics, Inc. *................................................... 34,640 800 Continental Airlines, Inc. *.................................................... 27,096 600 Corrections Corp. of America *.................................................. 37,866 400 Covanta Holding Corp. *......................................................... 9,860 700 EnPro Industries, Inc. *........................................................ 29,953 700 Florida East Coast Industries, Inc. ............................................ 58,086 800 G&K Services, Inc., Class A......................................................................... 31,608 400 Gardner Denver, Inc. *.......................................................... 17,020 900 General Cable Corp. *........................................................... 68,175 400 Geo Group, Inc. *............................................................... 11,640 1,400 H&E Equipment Services, Inc. *.................................................. 38,836 800 Healthcare Services Group....................................................... 23,600 1,000 Heico Corp. .................................................................... 42,080 1,600 HUB Group, Inc., Class A *....................................................................... 56,256 1,300 Hudson Highland Group, Inc. *................................................... 27,807 400 Huron Consulting Group, Inc. *.................................................. 29,204 400 IHS, Inc. *..................................................................... 18,400 200 Jacobs Engineering Group, Inc. *................................................ 11,502 400 Kaydon Corp. ................................................................... 20,848 500 Kenexa Corp. *.................................................................. 18,855 600 Ladish Co., Inc. *.............................................................. 25,800 800 Lan Airlines S.A., ADR.......................................................... 67,320 200 Landstar System, Inc. .......................................................... 9,650 1,300 LMI Aerospace, Inc. *........................................................... 31,577 600 M&F Worldwide Corp. *........................................................... 39,948 800 Middleby Corp. *................................................................ 47,856 1,300 On Assignment, Inc. *........................................................... 13,936 400 Pall Corp. ..................................................................... 18,396 100 Perini Corp. *.................................................................. 6,153 500 Quanta Services, Inc. *......................................................... 15,335 200 RBC Bearings, Inc. *............................................................ 8,250 600 Saia, Inc. *.................................................................... 16,356 600 Steelcase, Inc., Class A......................................................................... 11,100 600 Stericycle, Inc. *.............................................................. 26,676 500 TeleTech Holdings, Inc. *....................................................... 16,240
-------------------------------------------------------------------------------- 70 See accompanying Notes to Financial Statements. SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) ------------------------------------------------------------------------------------------------------------- INDUSTRIALS (CONTINUED) 200 Thomas & Betts Corp. *.......................................................... $ 11,600 900 UAP Holding Corp. .............................................................. 27,126 1,000 Washington Group International, Inc. *.......................................... 80,010 600 Watsco, Inc. ................................................................... 32,640 1,900 Williams Scotsman International, Inc. *......................................... 45,239 ----------- 1,429,311 ----------- INFORMATION TECHNOLOGY - 16.15% 1,100 Actel Corp. *................................................................... 15,301 3,600 Aeroflex, Inc. *................................................................ 51,012 2,100 Ansoft Corp. *.................................................................. 61,929 1,400 Ansys, Inc. *................................................................... 37,100 2,000 Arris Group, Inc. *............................................................. 35,180 700 Blackboard, Inc. *.............................................................. 29,484 800 Comtech Telecommunications Corp. *.............................................. 37,136 700 Cymer, Inc. *................................................................... 28,140 1,600 Daktronics, Inc. ............................................................... 34,368 800 Diodes, Inc. *.................................................................. 33,416 700 Emulex Corp. *.................................................................. 15,288 900 Gevity HR, Inc. ................................................................ 17,397 800 i2 Technologies, Inc. *......................................................... 14,912 1,200 Infospace, Inc. ................................................................ 27,852 1,400 Inter-Tel, Inc. ................................................................ 33,502 600 Intevac, Inc. *................................................................. 12,756 400 Loral Space & Communications, Inc. *............................................ 19,712 300 Micros Systems, Inc. *.......................................................... 16,320 400 Quality Systems, Inc. .......................................................... 15,188 1,100 Rackable Systems, Inc. *........................................................ 13,596 1,300 Red Hat, Inc. *................................................................. 28,964 200 Rofin-Sinar Technologies, Inc. *................................................ 13,800 600 Shanda Interactive Entertainment, Ltd., ADR *........................................................................... 18,600 400 Sigma Designs, Inc. *........................................................... 10,436 400 SiRF Technology Holdings, Inc. *................................................ 8,296 400 Standard Microsystems Corp. *................................................... 13,736 1,300 Techwell, Inc. *................................................................ 17,030 200 The9, Ltd., ADR *............................................................... 9,252 500 THQ, Inc. *..................................................................... 15,260 1,200 Transaction Systems Architects, Inc. *.......................................... 40,392 900 Valueclick, Inc. *.............................................................. 26,514
Shares Value (Note 2) ------ -------------- INFORMATION TECHNOLOGY (CONTINUED) 500 Varian Semiconductor Equipment Associates, Inc. *.............................................................. $ 20,030 400 VeriFone Holdings, Inc. *....................................................... 14,100 1,000 Verint Systems, Inc. *.......................................................... 31,300 600 Wright Express Corp. *.......................................................... 20,562 1,700 Zoran Corp. *................................................................... 34,068 ----------- 871,929 ----------- MATERIALS - 6.85% 1,000 Airgas, Inc. ................................................................... 47,900 600 AK Steel Holding Corp. *........................................................ 22,422 400 Cabot Corp. .................................................................... 19,072 600 Century Aluminum Co. *.......................................................... 32,778 400 CF Industries Holdings, Inc. ................................................... 23,956 400 Chaparral Steel Co. ............................................................ 28,748 400 Greif, Inc. .................................................................... 23,844 1,000 Owens-Illinois, Inc. *.......................................................... 35,000 400 Rock-Tenn Co. .................................................................. 12,688 1,300 Silgan Holdings, Inc. .......................................................... 71,864 700 Spartech Corp. ................................................................. 18,585 1,300 Terra Industries, Inc. *........................................................ 33,046 ----------- 369,903 ----------- TELECOMMUNICATION SERVICES - 1.05% 2,100 Dobson Communications Corp., Class A *....................................................................... 23,331 1,200 NTELOS Holdings Corp. .......................................................... 33,168 ----------- 56,499 ----------- UTILITIES - 0.30% 400 ITC Holdings Corp. ............................................................. 16,252 ----------- TOTAL COMMON STOCKS ( Cost $5,104,239 )............................................................. 5,267,135 COMMON STOCK UNIT - 0.79% ------------------------------------------------------------------------------------------------------------- ENERGY - 0.79% 1,000 Copano Energy LLC............................................................... 42,670 ----------- TOTAL COMMON STOCK UNIT ( Cost $41,987 )................................................................ 42,670
-------------------------------------------------------------------------------- 71 See accompanying Notes to Financial Statements. SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- INVESTMENT COMPANY - 1.56% ------------------------------------------------------------------------------------------------------------- 84,173 SSgA Prime Money Market Fund.................................................... $ 84,173 ----------- TOTAL INVESTMENT COMPANY ( Cost $84,173 )................................................................ 84,173 TOTAL INVESTMENTS - 99.91% ------------------------------------------------------------------------------------------------------------- ( Cost $5,230,399** )............................................................................. 5,393,978 NET OTHER ASSETS AND LIABILITIES - 0.09% ------------------------------------------------------------------------------------------------------------- 4,815 TOTAL NET ASSETS - 100.00% ------------------------------------------------------------------------------------------------------------- $ 5,398,793 -------------------------------------------------------------------------------------------------------------
* Non-income producing. ** Aggregate cost for Federal tax purposes was $5,230,399. ADR American Depositary Receipt. REIT Real Estate Investment Trust. The industry classification method used for purposes of this report may differ from the industry sub-classification(s) used for Trust compliance purposes. -------------------------------------------------------------------------------- 72 See accompanying Notes to Financial Statements. GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS - 98.64% ------------------------------------------------------------------------------------------------------------- AUSTRALIA - 7.04% 124,041 Amcor, Ltd. .................................................................... $ 786,718 101,773 Foster's Group, Ltd. ........................................................... 551,298 44,323 National Australia Bank, Ltd. (O)............................................... 1,543,683 383,328 Telstra Corp., Ltd. (O)......................................................... 1,493,883 ----------- 4,375,582 ----------- BELGIUM - 1.36% 19,885 Fortis.......................................................................... 847,638 ----------- FINLAND - 0.71% 17,786 UPM-Kymmene OYJ (O)............................................................. 440,038 ----------- FRANCE - 7.22% 11,276 Carrefour S.A. (O).............................................................. 794,853 23,193 France Telecom S.A. (O)......................................................... 639,658 4,177 Renault S.A. ................................................................... 673,191 3,806 Societe Generale (O)............................................................ 707,664 20,498 Total S.A. (O).................................................................. 1,669,942 ----------- 4,485,308 ----------- GERMANY - 4.10% 13,045 Bayer AG........................................................................ 989,391 33,438 Deutsche Telekom AG............................................................. 618,877 8,822 RWE AG (O)...................................................................... 942,107 ----------- 2,550,375 ----------- HONG KONG - 0.87% 106,500 Hong Kong Electric Holdings..................................................... 538,030 ----------- ITALY - 2.84% 123,045 Intesa SanPaolo SpA............................................................. 919,920 94,445 UniCredito Italiano SpA......................................................... 846,551 ----------- 1,766,471 ----------- JAPAN - 5.91% 14,200 Astellas Pharma, Inc. .......................................................... 616,766 16,000 Canon, Inc. (O)................................................................. 937,401 7,100 Millea Holdings, Inc. .......................................................... 291,123 107 Nippon Telegraph & Telephone Corp. ............................................. 474,284 1,500 Nitto Denko Corp. .............................................................. 75,455 9,600 Takeda Pharmaceutical Co., Ltd. (O)............................................. 619,229 142 West Japan Railway Co. ......................................................... 660,492 ----------- 3,674,750 ----------- NETHERLANDS - 2.75% 24,474 ING Groep N.V. ................................................................. 1,084,944 32,513 Reed Elsevier N.V. ............................................................. 621,537 ----------- 1,706,481 -----------
Shares Value (Note 2) ------ -------------- NEW ZEALAND - 0.62% 108,460 Telecom Corp. of New Zealand, Ltd. (O)........................................................................ $ 384,774 ----------- SINGAPORE - 1.17% 121,000 Oversea-Chinese Banking Corp. .................................................. 723,580 ----------- SPAIN - 4.49% 36,445 Banco Santander Central Hispano S.A. ................................................................... 674,532 10,525 Iberdrola S.A. (O).............................................................. 590,942 68,212 Telefonica S.A. ................................................................ 1,525,306 ----------- 2,790,780 ----------- SWITZERLAND - 2.55% 28,122 Novartis AG..................................................................... 1,585,179 ----------- TAIWAN - 0.87% 28,500 Chunghwa Telecom Co., Ltd., ADR................................................. 537,510 ----------- UNITED KINGDOM - 16.93% 36,044 Aviva PLC....................................................................... 537,596 100,954 BP PLC.......................................................................... 1,221,188 95,654 GKN PLC......................................................................... 764,189 83,538 GlaxoSmithKline PLC............................................................. 2,186,938 77,634 HBOS PLC........................................................................ 1,534,795 109,038 Lloyds TSB Group PLC............................................................ 1,216,171 34,719 Royal Dutch Shell PLC, Class A......................................................................... 1,417,069 50,691 Unilever PLC.................................................................... 1,642,272 ----------- 10,520,218 ----------- UNITED STATES - 39.21% 10,700 3M Co. ......................................................................... 928,653 42,700 Alcoa, Inc. .................................................................... 1,730,631 35,600 Bank of America Corp. .......................................................... 1,740,484 14,200 CBS Corp., Class B......................................................................... 473,144 24,900 Chevron Corp. .................................................................. 2,097,576 28,500 Citigroup, Inc. ................................................................ 1,461,765 50,500 ConAgra Foods, Inc. ............................................................ 1,356,430 56,900 General Electric Co. (Q)........................................................ 2,178,132 24,900 Genuine Parts Co. (O)........................................................... 1,235,040 24,900 HJ Heinz Co. ................................................................... 1,182,003 17,800 Mellon Financial Corp. (O)...................................................... 783,200 20,600 Merck & Co., Inc. .............................................................. 1,025,880 61,300 Microsoft Corp. ................................................................ 1,806,511 32,000 Oracle Corp. *.................................................................. 630,720 57,100 Pfizer, Inc. ................................................................... 1,460,047 35,600 Verizon Communications, Inc. ................................................... 1,465,652
-------------------------------------------------------------------------------- 73 See accompanying Notes to Financial Statements. GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) ------------------------------------------------------------------------------------------------------------- UNITED STATES (CONTINUED) 22,900 Wachovia Corp. (O).............................................................. $ 1,173,625 28,500 Wyeth........................................................................... 1,634,190 ----------- 24,363,683 ----------- TOTAL COMMON STOCKS ( Cost $60,195,855 )............................................................ 61,290,397 INVESTMENT COMPANY - 1.06% ------------------------------------------------------------------------------------------------------------- UNITED STATES - 1.06% 660,317 SSgA Prime Money Market Fund (Q)................................................ 660,317 ----------- TOTAL INVESTMENT COMPANY ( Cost $660,317 )............................................................... 660,317 COLLATERAL FOR SECURITIES ON LOAN - 14.99% ------------------------------------------------------------------------------------------------------------- UNITED STATES - 15.00% 9,316,620 State Street Navigator Securities Lending Prime Portfolio (I)............................................................. 9,316,620 ----------- TOTAL COLLATERAL FOR SECURITIES ON LOAN ( Cost $9,316,620 )............................................................. 9,316,620 TOTAL INVESTMENTS - 114.70% ------------------------------------------------------------------------------------------------------------- ( Cost $70,172,792** )........................................................................... 71,267,334 NET OTHER ASSETS AND LIABILITIES - (14.70)% ------------------------------------------------------------------------------------------------------------- (9,133,233) TOTAL NET ASSETS - 100.00% ------------------------------------------------------------------------------------------------------------- $ 62,134,101 -------------------------------------------------------------------------------------------------------------
* Non-income producing. ** Aggregate cost for Federal tax purposes was $70,368,526. (I) Represents investments of cash collateral received in connection with securities lending. (O) All (or portion of security) on loan. (Q) Security pledged as collateral for forward currency contracts outstanding as of June 30, 2007. ADR American Depositary Receipt. PLC Public Limited Company. The industry classification method used for purposes of this report may differ from the industry sub-classification(s) used for Trust compliance purposes. OTHER INFORMATION: Industry Concentration
% of Net Assets --------------- Commercial Banks 15.0% Pharmaceuticals 14.7% Diversified Telecommunication Services 11.5% Oil Gas & Consumable Fuels 10.3% Diversified Financial Services 8.2% Food Products 6.7% Industrial Conglomerates 5.0% Software 3.9% Metals & Mining 2.8% Distributors 2.0% Electric Utilities 1.8% Media 1.8% Chemicals 1.7% Multi-Utilities 1.5% Office Electronics 1.5% Net Other Assets & Liabilities 1.4% Insurance 1.3% Food & Staples Retailing 1.3% Containers & Packaging 1.3% Capital Markets 1.3% Auto Components 1.2% Automobiles 1.1% Road & Rail 1.1% Beverages 0.9% Paper & Forest Products 0.7% ----------- 100.0% ----------- -----------
FORWARD FOREIGN CURRENCY CONTRACTS:
Appreciation/ Currency Settlement Date Local Amount Face Amount Value (Deprecation) -------- --------------- ------------ ----------- ---------- ------------- Great British Pound (sell) 7/31/07 1,248,000 $2,471,914 $2,502,489 $(30,575)
-------------------------------------------------------------------------------- 74 See accompanying Notes to Financial Statements. INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS - 96.33% ------------------------------------------------------------------------------------------------------------- ARGENTINA - 0.24% 8,800 Tenaris S.A., ADR............................................................... $ 430,848 ----------- AUSTRALIA - 0.43% 34,410 ABC Learning Centres, Ltd. ..................................................... 202,174 50,471 Fairfax Media, Ltd. ............................................................ 201,406 28,359 James Hardie Industries N.V. ................................................... 209,962 57,992 Macquarie Infrastructure Group.................................................. 177,257 ----------- 790,799 ----------- AUSTRIA - 0.13% 8,748 CAT Oil AG *.................................................................... 238,903 ----------- BAHRAIN - 0.08% 220 Investcorp Bank BSC, GDR *...................................................... 5,610 5,673 Investcorp Bank BSC, GDR (C)*................................................... 134,734 ----------- 140,344 ----------- BELGIUM - 1.22% 28,232 InBev N.V. ..................................................................... 2,245,439 ----------- BRAZIL - 1.03% 4,200 Brasil Telecom Participacoes S.A., ADR....................................................................... 253,932 34,400 JHSF Participacoes S.A. *....................................................... 200,404 6,000 Petroleo Brasileiro S.A., ADR................................................... 727,620 15,738 Souza Cruz S.A. ................................................................ 377,334 10,100 TAM S.A., ADR................................................................... 334,310 ----------- 1,893,600 ----------- EGYPT - 0.70% 4,207 Eastern Tobacco................................................................. 303,007 9,860 Orascom Construction Industries................................................. 646,075 26,500 Orascom Telecom Holding S.A.E................................................... 340,252 ----------- 1,289,334 ----------- FINLAND - 1.58% 92,000 Nokia OYJ....................................................................... 2,588,337 10,370 Sampo OYJ, A Shares.......................................................................... 299,461 ----------- 2,887,798 ----------- FRANCE - 9.37% 29,580 AXA S.A. ....................................................................... 1,280,102 16,650 BNP Paribas..................................................................... 1,988,982 2,955 Carbone Lorraine................................................................ 230,592 40,600 Gaz de France S.A. (O).......................................................... 2,057,796 8,674 Lafarge S.A. (O)................................................................ 1,587,811 2,467 Neopost S.A. ................................................................... 361,909
Shares Value (Note 2) ------ -------------- FRANCE (CONTINUED) 9,200 Renault S.A. ................................................................... $ 1,482,728 44,512 Sanofi-Aventis (O).............................................................. 3,616,699 56,187 Total S.A. ..................................................................... 4,577,473 ----------- 17,184,092 ----------- GERMANY - 11.75% 3,439 Aareal Bank AG.................................................................. 179,465 23,700 Adidas AG....................................................................... 1,498,889 9,400 Allianz SE...................................................................... 2,206,040 36,820 Arcandor AG *................................................................... 1,245,466 7,413 Compugroup Holding AG *......................................................... 165,463 16,850 Continental AG.................................................................. 2,379,182 47,000 DaimlerChrysler AG.............................................................. 4,358,324 4,335 Demag Cranes AG................................................................. 289,812 85,900 Deutsche Post AG................................................................ 2,790,665 13,700 E.ON AG......................................................................... 2,302,065 2,600 Gerresheimer AG *............................................................... 133,573 3,733 Kloeckner & Co. AG (O).......................................................... 271,772 2,313 Pfeiffer Vacuum Technology AG................................................... 222,803 2,200 SGL Carbon AG *................................................................. 91,459 22,319 Siemens AG...................................................................... 3,215,663 6,565 Symrise AG *.................................................................... 196,239 ----------- 21,546,880 ----------- GREECE - 1.26% 36,200 National Bank of Greece S.A. ................................................... 2,075,082 6,350 Piraeus Bank S.A. .............................................................. 232,307 ----------- 2,307,389 ----------- HONG KONG - 0.28% 45,600 China Netcom Group Corp., Hong Kong, Ltd. ................................................................ 125,974 30,345 Esprit Holdings, Ltd. .......................................................... 384,998 ----------- 510,972 ----------- HUNGARY - 0.30% 2,308 MOL Hungarian Oil and Gas NyRt. ................................................ 351,398 999 Richter Gedeon NyRt. ........................................................... 201,519 ----------- 552,917 ----------- INDIA - 1.53% 4,559 Grasim Industries, Ltd. ........................................................ 295,288 12,100 Hero Honda Motors, Ltd. ........................................................ 206,792 51,018 Hindustan Unilever, Ltd. ....................................................... 238,976 25,378 Oil & Natural Gas Corp., Ltd. .................................................. 563,310 18,600 Punjab National Bank, Ltd. ..................................................... 251,023
-------------------------------------------------------------------------------- 75 See accompanying Notes to Financial Statements. INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) ------------------------------------------------------------------------------------------------------------- INDIA (CONTINUED) 34,932 Satyam Computer Services, Ltd. ................................................. $ 401,970 22,680 State Bank of India, Ltd. ...................................................... 853,774 ----------- 2,811,133 ----------- INDONESIA - 0.76% 1,412,700 Bank Mandiri Persero Tbk PT..................................................... 488,620 208,000 PT Astra International Tbk...................................................... 389,065 5,600 Telekomunikasi Indonesia Tbk PT, ADR..................................................................... 241,360 291,000 United Tractors Tbk PT.......................................................... 265,717 ----------- 1,384,762 ----------- IRELAND - 1.95% 17,435 Anglo Irish Bank Corp. PLC...................................................... 358,283 56,364 Bank of Ireland................................................................. 1,138,448 35,891 CRH PLC......................................................................... 1,777,392 9,163 DCC PLC......................................................................... 309,079 ----------- 3,583,202 ----------- ISRAEL - 0.53% 112,368 Bank Hapoalim B.M............................................................... 547,177 52,673 Israel Chemicals, Ltd. ......................................................... 417,371 ----------- 964,548 ----------- ITALY - 2.76% 31,635 Aicon SpA *..................................................................... 185,831 64,800 ENI SpA......................................................................... 2,356,612 280,235 UniCredito Italiano SpA......................................................... 2,511,868 ----------- 5,054,311 ----------- JAPAN - 13.24% 4,200 ABC-Mart, Inc. (O).............................................................. 95,977 8,300 Asahi Pretec Corp. ............................................................. 231,368 9,000 Chiyoda Corp. .................................................................. 171,387 54,030 Daito Trust Construction Co., Ltd. ............................................. 2,570,043 5,730 Don Quijote Co., Ltd. .......................................................... 114,688 146 East Japan Railway Co. ......................................................... 1,123,942 6,600 Eizo Nanao Corp. ............................................................... 214,999 5,400 Hisamitsu Pharmaceutical Co., Inc. ............................................. 148,778 26,900 Hoya Corp. ..................................................................... 891,544 13,380 Ichiyoshi Securities Co., Ltd. ................................................. 193,428 4,600 Ito En, Ltd. ................................................................... 150,966 3,200 Jafco Co., Ltd. ................................................................ 147,287 260 Japan Tobacco, Inc. (O)......................................................... 1,280,985 8,380 JSR Corp. ...................................................................... 202,022 7,400 Keyence Corp. .................................................................. 1,614,862 201 KK DaVinci Advisors (O)*........................................................ 175,909
Shares Value (Note 2) ------ -------------- JAPAN (CONTINUED) 6,600 Konami Corp. ................................................................... $ 151,088 9,600 MISUMI Group, Inc. ............................................................. 162,587 23,300 Nidec Corp. .................................................................... 1,366,979 117,600 Nomura Holdings, Inc. .......................................................... 2,287,103 16,700 OSG Corp. ...................................................................... 229,785 3,300 Secom Techno Service Co., Ltd. ................................................. 133,171 6,160 Shoei Co., Ltd. (O)............................................................. 129,035 260 Sumitomo Mitsui Financial Group, Inc. .................................................................... 2,422,916 194,000 Sumitomo Trust & Banking Co., Ltd. ............................................. 1,847,170 15,300 Suruga Bank, Ltd. .............................................................. 192,544 18,400 Takeda Pharmaceutical Co., Ltd. ................................................ 1,186,856 63,100 THK Co., Ltd. .................................................................. 1,579,993 327,000 Tokyo Gas Co., Ltd. ............................................................ 1,547,490 2,010 USS Co., Ltd. .................................................................. 127,859 15,200 Yamada Denki Co., Ltd. ......................................................... 1,586,451 ----------- 24,279,212 ----------- MEXICO - 0.93% 16,726 Cemex SAB de C.V., ADR *........................................................ 617,190 7,280 Desarrolladora Homex SAB de C.V., ADR *.............................................................. 441,095 4,690 Fomento Economico Mexicano SAB de C.V., ADR................................................................ 184,411 10,800 Grupo Televisa S.A., ADR........................................................ 298,188 38,500 Kimberly-Clark de Mexico SAB de C.V., Class A......................................................................... 167,692 ----------- 1,708,576 ----------- NETHERLANDS - 3.11% 8,081 Boskalis Westminster............................................................ 322,400 5,131 Fugro N.V. ..................................................................... 326,379 24,000 Heineken N.V. .................................................................. 1,411,112 2,121 Hunter Douglas N.V. ............................................................ 200,782 7,652 Ordina N.V. .................................................................... 159,315 6,526 SBM Offshore N.V. .............................................................. 249,686 54,138 TNT N.V. ....................................................................... 2,446,805 7,212 USG People N.V. ................................................................ 340,285 10,537 Wavin N.V. ..................................................................... 253,997 ----------- 5,710,761 ----------- NEW ZEALAND - 0.75% 389,000 Telecom Corp. of New Zealand, Ltd. (O)........................................................................ 1,380,021 -----------
-------------------------------------------------------------------------------- 76 See accompanying Notes to Financial Statements. INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) ------------------------------------------------------------------------------------------------------------- NORWAY - 0.23% 10,720 Acergy S.A. .................................................................... $ 243,644 18,020 Songa Offshore ASA (O)*......................................................... 183,385 ----------- 427,029 ----------- PHILIPPINES - 0.40% 12,900 Philippine Long Distance Telephone Co., ADR............................................................................. 737,880 ----------- PORTUGAL - 0.09% 20,983 Banif SGPS S.A. ................................................................ 172,477 ----------- RUSSIA - 0.86% 5,400 Evraz Group S.A., GDR........................................................... 221,940 9,700 Mobile Telesystems OJSC, ADR.................................................... 587,529 13,100 Oriflame Cosmetics S.A. ........................................................ 616,954 1,300 Pharmstandard, GDR (C)*......................................................... 21,814 60,700 TNK-BP Holding.................................................................. 132,933 ----------- 1,581,170 ----------- SINGAPORE - 1.42% 1,168,000 Singapore Telecommunications, Ltd. ............................................. 2,595,386 ----------- SOUTH AFRICA - 1.58% 17,572 Aquarius Platinum, Ltd. ........................................................ 551,315 27,204 Imperial Holdings, Ltd. ........................................................ 563,001 20,243 Kumba Iron Ore, Ltd. ........................................................... 531,577 25,667 Murray & Roberts Holdings, Ltd. ................................................ 233,171 7,700 Naspers, Ltd. .................................................................. 198,921 60,817 Sanlam, Ltd. ................................................................... 194,148 104,222 Steinhoff International Holdings, Ltd. ........................................................................... 358,157 49,731 Truworths International, Ltd. .................................................. 257,655 ----------- 2,887,945 ----------- SOUTH KOREA - 2.51% 316 Amorepacific Corp. ............................................................. 250,379 3,087 Hite Brewery Co., Ltd. ......................................................... 400,974 5,422 Hyundai Motor Co. .............................................................. 428,431 17,130 Kangwon Land, Inc. ............................................................. 397,725 8,863 Kookmin Bank.................................................................... 778,037 17,000 Lotte Shopping Co., Ltd., GDR (C)............................................... 330,140 2,790 Samsung Electronics Co., Ltd., GDR (C)................................................................... 863,505 13,130 Shinhan Financial Group Co., Ltd. .............................................. 798,729 200 SK Telecom Co., Ltd. ........................................................... 46,111 3,300 SK Telecom Co., Ltd., ADR....................................................... 90,255
Shares Value (Note 2) ------ -------------- SOUTH KOREA (CONTINUED) 6,530 Woongjin Coway Co., Ltd. ....................................................... $ 221,236 ----------- 4,605,522 ----------- SPAIN - 1.83% 4,277 Abengoa S.A. ................................................................... 176,186 108,862 Banco Bilbao Vizcaya Argentaria S.A. (O)............................................................. 2,678,604 9,510 Indra Sistemas S.A. (O)......................................................... 238,113 6,590 Prosegur Cia de Seguridad S.A. ................................................. 252,847 ----------- 3,345,750 ----------- SWEDEN - 1.62% 4,290 Cardo AB........................................................................ 187,632 16,300 Elekta AB, Class B......................................................................... 283,261 7,630 Getinge AB, B Shares.......................................................................... 165,185 15,400 KappAhl Holding AB.............................................................. 173,728 536,900 Telefonaktiebolaget LM Ericsson, B Shares.......................................................................... 2,153,010 ----------- 2,962,816 ----------- SWITZERLAND - 6.81% 36,730 Credit Suisse Group............................................................. 2,620,999 970 Geberit AG...................................................................... 165,615 9,215 Nestle S.A. .................................................................... 3,508,039 83,297 Novartis AG..................................................................... 4,695,281 91 Sika AG......................................................................... 185,851 4,210 Zurich Financial Services AG.................................................... 1,304,340 ----------- 12,480,125 ----------- TAIWAN - 1.23% 64,850 Advantech Co., Ltd. ............................................................ 207,979 575,672 Chinatrust Financial Holding Co., Ltd. ...................................................................... 450,128 389,000 Fubon Financial Holding Co., Ltd. .............................................. 356,445 65,023 HON HAI Precision Industry Co., Ltd. ...................................................................... 564,036 58,000 Novatek Microelectronics Corp., Ltd. .................................................................... 304,704 174,762 Taiwan Semiconductor Manufacturing Co., Ltd. ...................................................................... 378,455 ----------- 2,261,747 ----------- THAILAND - 0.24% 201,100 Kasikornbank PCL................................................................ 445,596 ----------- TURKEY - 0.69% 13,400 Ford Otomotiv Sanayi A.S........................................................ 125,903 63,385 Turkcell Iletisim Hizmet AS..................................................... 428,506
-------------------------------------------------------------------------------- 77 See accompanying Notes to Financial Statements. INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COMMON STOCKS (CONTINUED) ------------------------------------------------------------------------------------------------------------- TURKEY (CONTINUED) 27,751 Turkcell Iletisim Hizmet AS, ADR................................................ $ 462,054 54,500 Turkiye Is Bankasi.............................................................. 256,035 ----------- 1,272,498 ----------- UNITED KINGDOM - 22.89% 34,615 Ashmore Group PLC............................................................... 186,966 55,461 Ashtead Group PLC............................................................... 169,111 300,473 BAE Systems PLC................................................................. 2,441,194 96,600 Barclays PLC.................................................................... 1,348,740 266,675 BP PLC.......................................................................... 3,225,830 62,200 British American Tobacco PLC.................................................... 2,118,702 1 Bunzl PLC....................................................................... 14 28,170 Cattles PLC..................................................................... 221,521 10,185 Charter PLC *................................................................... 225,769 6,303 Chemring Group PLC.............................................................. 248,584 127,600 Diageo PLC...................................................................... 2,654,430 54,391 Enodis PLC...................................................................... 215,494 17,350 Enterprise Inns PLC............................................................. 239,806 35,012 Filtrona PLC.................................................................... 183,140 288,000 Friends Provident PLC........................................................... 1,035,314 117,400 GlaxoSmithKline PLC............................................................. 3,073,409 74,000 HSBC Holdings PLC............................................................... 1,358,297 46,256 Imperial Tobacco Group PLC...................................................... 2,140,708 13,160 Intertek Group PLC.............................................................. 259,772 450,300 ITV PLC......................................................................... 1,031,596 253,000 Kingfisher PLC.................................................................. 1,149,557 166,600 Lloyds TSB Group PLC............................................................ 1,858,196 23,160 Man Group PLC................................................................... 282,942 83,212 National Grid PLC............................................................... 1,231,925 81,300 Northern Rock PLC............................................................... 1,415,638 11,048 Northgate PLC................................................................... 227,612 541,788 Old Mutual PLC.................................................................. 1,835,696 36,700 Reckitt Benckiser PLC........................................................... 2,013,563 95,375 Regus Group PLC................................................................. 258,292 225,000 Tesco PLC....................................................................... 1,888,947 68,200 Unilever PLC.................................................................... 2,209,524 21,374 Vanco PLC *..................................................................... 180,085 1,418,362 Vodafone Group PLC.............................................................. 4,774,423 21,318 William Hill PLC................................................................ 263,005 ----------- 41,967,802 ----------- TOTAL COMMON STOCKS ( Cost $140,757,086 )........................................................... 176,639,584
Shares Value (Note 2) ------ -------------- COMMON STOCK UNIT - 0.14% ------------------------------------------------------------------------------------------------------------- IRELAND - 0.14% 17,516 Grafton Group PLC *............................................................. $ 250,085 ----------- TOTAL COMMON STOCK UNIT ( Cost $184,135 )............................................................... 250,085 PREFERRED STOCKS - 1.59% ------------------------------------------------------------------------------------------------------------- BRAZIL - 1.34% 7,322,700 AES Tiete S.A. ................................................................. 284,399 6,666 Bradespar S.A. ................................................................. 253,026 8,000 Cia Energetica de Minas Gerais.................................................. 170,017 25,228 Cia Vale do Rio Doce............................................................ 947,013 15,100 Iochpe Maxion S.A. ............................................................. 233,721 104,500 Klabin S.A. .................................................................... 367,977 10,871 Tele Norte Leste Participacoes S.A., ADR....................................................................... 206,223 ----------- 2,462,376 ----------- GERMANY - 0.16% 3,213 Fuchs Petrolub AG............................................................... 297,551 ----------- SOUTH KOREA - 0.09% 3,540 Hyundai Motor Co. .............................................................. 161,702 ----------- TOTAL PREFERRED STOCKS ( Cost $1,596,918 )............................................................. 2,921,629 INVESTMENT COMPANY - 1.58% ------------------------------------------------------------------------------------------------------------- UNITED STATES - 1.58% 2,906,630 SSgA Prime Money Market Fund.................................................... 2,906,630 ----------- TOTAL INVESTMENT COMPANY ( Cost $2,906,630 )............................................................. 2,906,630
-------------------------------------------------------------------------------- 78 See accompanying Notes to Financial Statements. INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
Shares Value (Note 2) ------ -------------- COLLATERAL FOR SECURITIES ON LOAN - 5.11% ------------------------------------------------------------------------------------------------------------- UNITED STATES - 5.11% 9,370,994 State Street Navigator Securities Lending Prime Portfolio (I)..................................................... $ 9,370,994 ----------- TOTAL COLLATERAL FOR SECURITIES ON LOAN ( Cost $9,370,994 )............................................................. 9,370,994 TOTAL INVESTMENTS - 104.75% ------------------------------------------------------------------------------------------------------------- ( Cost $154,815,763** )......................................................................... 192,088,922 NET OTHER ASSETS AND LIABILITIES - (4.75)% ------------------------------------------------------------------------------------------------------------- (8,711,448) TOTAL NET ASSETS - 100.00% ------------------------------------------------------------------------------------------------------------- $ 183,377,474 -------------------------------------------------------------------------------------------------------------
* Non-income producing. ** Aggregate cost for Federal tax purposes was $155,318,134. (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. (I) Represents investments of cash collateral received in connection with securities lending. (O) All (or portion of security) on loan. ADR American Depositary Receipt. GDR Global Depositary Receipt. PLC Public Limited Company. The industry classification method used for purposes of this report may differ from the industry sub-classification(s) used for Trust compliance purposes. -------------------------------------------------------------------------------- 79 See accompanying Notes to Financial Statements. INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) OTHER INFORMATION: Industry Concentration
% of Net Assets --------------- Commercial Banks 13.8% Pharmaceuticals 7.1% Oil, Gas & Consumable Fuels 6.8% Insurance 4.5% Automobiles 3.9% Beverages 3.8% Wireless Telecommunication Services 3.5% Tobacco 3.4% Air Freight & Logistics 3.4% Diversified Telecommunication Services 3.3% Capital Markets 3.1% Electronic Equipment & Instruments 3.0% Construction Materials 3.0% Communications Equipment 2.6% Electric Utilities 2.2% Gas Utilities 2.0% Net Other Assets & Liabilities 1.9% Food Products 1.9% Electrical Equipment 1.9% Real Estate Management & Development 1.7% Personal Products 1.7% Machinery 1.7% Metals & Mining 1.6% Aerospace & Defense 1.5% Auto Components 1.4% Household Products 1.3% Commercial Services & Supplies 1.3%
% of Net Assets --------------- Textiles, Apparel & Luxury Goods 1.1% Food & Staples Retailing 1.0% Media 0.9% Specialty Retail 0.9% Multiline Retail 0.9% Construction & Engineering 0.8% Thrifts & Mortgage Finance 0.8% Building Products 0.6% Road & Rail 0.6% Household Durables 0.5% Chemicals 0.5% Hotels, Restaurants & Leisure 0.5% Energy Equipment & Services 0.4% Distributors 0.4% Industrial Conglomerates 0.4% Semiconductors & Semiconductor Equipment 0.4% IT Services 0.4% Diversified Financial Services 0.3% Health Care Equipment & Supplies 0.2% Paper & Forest Products 0.2% Office Electronics 0.2% Consumer Finance 0.1% Computers & Peripherals 0.1% Leisure Equipment & Products 0.1% Marine 0.1% Transportation Infrastructure 0.1% Health Care Technology 0.1% Software 0.1% ----------- 100.0% ----------- -----------
-------------------------------------------------------------------------------- 80 See accompanying Notes to Financial Statements. This page is left blank intentionally. -------------------------------------------------------------------------------- 81 STATEMENTS OF ASSETS AND LIABILITIES AS OF JUNE 30, 2007 (UNAUDITED) --------------------------------------------------------------------------------------------
CONSERVATIVE MODERATE AGGRESSIVE ALLOCATION ALLOCATION ALLOCATION FUND FUND FUND ASSETS: Investments Investments at cost Unaffiliated issuers $17,443,071 $ 34,208,898 $ 5,529,783 Affiliated issuers(1) 13,169,967 84,128,341 37,509,835 Net unrealized appreciation (depreciation) Unaffiliated issuers (291,933) (139,431) 455,977 Affiliated issuers(1) 400,497 3,346,391 2,952,649 ----------------------------------------------- Total investments at value 30,721,602 121,544,199 46,448,244 Receivables: Investments sold - - - Fund shares sold 37,387 652,670 262,885 Dividends and interest 4,014 7,576 114 Other assets - - - ----------------------------------------------- Total Assets 30,763,003 122,204,445 46,711,243 ----------------------------------------------- LIABILITIES: Payables: Investments purchased - - - Upon return of securities loaned - - - Fund shares redeemed 4,761 - 120 Accrued management fees 4,630 18,114 7,337 Accrued expenses and other payables 842 1,481 964 ----------------------------------------------- Total Liabilities 10,233 19,595 8,421 ----------------------------------------------- Net assets applicable to outstanding capital stock $30,752,770 $122,184,850 $46,702,822 ----------------------------------------------- REPRESENTED BY: Capital stock and additional paid-in capital $30,296,605 $117,825,787 $42,678,159 Accumulated undistributed (over-distributed) net investment income (loss) 321,341 640,943 (20,974) Accumulated net realized gain (loss) on investments and foreign currency related transactions 26,260 511,160 637,011 Unrealized appreciation (depreciation) of investments (including appreciation (depreciation) of foreign currency related transactions) 108,564 3,206,960 3,408,626 ----------------------------------------------- Total net assets - representing net assets applicable to outstanding capital stock $30,752,770 $122,184,850 $46,702,822 ----------------------------------------------- Number of Class Z Shares issued and outstanding 2,833,807 10,695,026 3,878,639 ----------------------------------------------- Net asset value per share of outstanding capital stock, offering price and redemption price $ 10.85 $ 11.42 $ 12.04 -----------------------------------------------
(1) See Note 10 for information on affiliated issuers. -------------------------------------------------------------------------------- 82 See accompanying Notes to Financial Statements. -------------------------------------------------------------------------------------------------------
MONEY MARKET HIGH INCOME DIVERSIFIED INCOME LARGE CAP LARGE CAP FUND BOND FUND FUND FUND VALUE FUND GROWTH FUND $ 105,336,963 $815,100,850 $ 179,282,042 $ 742,836,829 $1,060,995,686 $627,129,519 -- -- -- -- -- -- -- (18,099,239) (907,427) 36,931,655 346,554,958 94,502,401 -- -- -- -- -- -- ------------------------------------------------------------------------------------------------------- 105,336,963 797,001,611 178,374,615 779,768,484 1,407,550,644 721,631,920 -- 2,700,679 2,244,162 3,393,216 1,199,621 4,802,592 41,046 45,823 18 -- 2,090 15,255 240,249 6,249,728 2,877,438 4,307,895 1,827,508 550,336 -- 31,658 18,303 14,163 2,604 10,390 ------------------------------------------------------------------------------------------------------- 105,618,258 806,029,499 183,514,536 787,483,758 1,410,582,467 727,010,493 ------------------------------------------------------------------------------------------------------- -- 13,813,387 1,902,092 8,736,477 6,373,500 4,362,752 -- 153,653,884 25,666,595 80,427,551 23,700,335 53,765,117 27,373 803,470 5,596 1,239,013 944,442 1,459,954 38,722 287,822 97,366 405,227 691,972 442,633 5,492 34,095 6,349 35,167 57,055 35,278 ------------------------------------------------------------------------------------------------------- 71,587 168,592,658 27,677,998 90,843,435 31,767,304 60,065,734 ------------------------------------------------------------------------------------------------------- $ 105,546,671 $637,436,841 $ 155,836,538 $ 696,640,323 $1,378,815,163 $666,944,759 ------------------------------------------------------------------------------------------------------- $ 105,546,671 $654,726,302 $ 149,525,381 $ 624,306,896 $ 945,449,531 $581,919,290 148 15,852,026 5,476,064 16,402,559 12,477,954 1,028,564 (148) (15,042,248) 1,742,520 18,999,213 74,332,853 (10,505,496) -- (18,099,239) (907,427) 36,931,655 346,554,825 94,502,401 ------------------------------------------------------------------------------------------------------- $ 105,546,671 $637,436,841 $ 155,836,538 $ 696,640,323 $1,378,815,163 $666,944,759 ------------------------------------------------------------------------------------------------------- 105,546,671 63,170,129 14,917,285 37,085,524 37,153,569 29,016,980 ------------------------------------------------------------------------------------------------------- $ 1.00 $ 10.09 $ 10.45 $ 18.78 $ 37.11 $ 22.98 -------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 83 See accompanying Notes to Financial Statements. STATEMENTS OF ASSETS AND LIABILITIES AS OF JUNE 30, 2007 (UNAUDITED) --------------------------------------------------------------------------------------------
MID CAP MID CAP VALUE FUND GROWTH FUND ASSETS: Investments Investments at cost Unaffiliated issuers $385,134,559 $ 452,420,052 Net unrealized appreciation Unaffiliated issuers 55,905,215 61,779,923 ---------------------------------- Total investments at value 441,039,774 514,199,975 Foreign currency(2) -- -- Receivables: Investments sold 1,736,724 4,424,337 Fund shares sold -- -- Dividends and interest 465,718 120,300 Other assets 12,660 18,982 ---------------------------------- Total Assets 443,254,876 518,763,594 ---------------------------------- LIABILITIES: Unrealized depreciation on forward foreign currency contracts -- -- Payables: Investments purchased 1,316,768 5,581,138 Upon return of securities loaned 78,420,250 104,644,310 Fund shares redeemed 700,710 492,601 Accrued management fees 264,684 286,453 Accrued expenses and other payables 19,848 19,926 ---------------------------------- Total Liabilities 80,722,260 111,024,428 ---------------------------------- Net assets applicable to outstanding capital stock $362,532,616 $ 407,739,166 ---------------------------------- REPRESENTED BY: Capital stock and additional paid-in capital $275,098,574 $ 330,634,792 Accumulated undistributed (over-distributed) net investment income (loss) 1,961,689 (937,861) Accumulated net realized gain (loss) on investments and foreign currency related transactions 29,567,138 16,262,312 Unrealized appreciation (depreciation) of investments (including appreciation (depreciation) of foreign currency related transactions) 55,905,215 61,779,923 ---------------------------------- Total net assets - representing net assets applicable to outstanding capital stock $362,532,616 $ 407,739,166 ---------------------------------- Number of Class Z Shares issued and outstanding 19,048,551 60,511,039 ---------------------------------- Net asset value per share of outstanding capital stock, offering price and redemption price $ 19.03 $ 6.74 ----------------------------------
(1) Fund commenced investment operations on May 1, 2007. (2) Cost of Foreign Currency of $242,393 and $975,980 for the Global Securities and International Stock Funds, respectively. -------------------------------------------------------------------------------- 84 See accompanying Notes to Financial Statements. -----------------------------------------------------------------------------------------------
SMALL CAP SMALL CAP GLOBAL SECURITIES INTERNATIONAL VALUE FUND(1) GROWTH FUND(1) FUND STOCK FUND $ 5,160,032 $ 5,230,399 $ 70,172,792 $ 154,815,763 24,054 163,579 1,094,542 37,273,159 ----------------------------------------------------------------------------------------------- 5,184,086 5,393,978 71,267,334 192,088,922 -- -- 244,459 979,827 29,636 -- 105,855 488,953 3,504 7,007 79 83,689 8,519 2,532 98,997 368,702 -- 16 11,299 136,784 ----------------------------------------------------------------------------------------------- 5,225,745 5,403,533 71,728,023 194,146,877 ----------------------------------------------------------------------------------------------- -- -- 30,575 -- 44,654 -- 155,842 1,196,021 -- -- 9,316,620 9,370,994 22 -- 38,818 436 4,267 4,387 48,397 179,973 353 353 3,670 21,979 ----------------------------------------------------------------------------------------------- 49,296 4,740 9,593,922 10,769,403 ----------------------------------------------------------------------------------------------- $ 5,176,449 $ 5,398,793 $ 62,134,101 $ 183,377,474 ----------------------------------------------------------------------------------------------- $ 5,139,066 $ 5,120,273 $ 42,976,385 $ 132,326,187 10,455 4,250 541,160 1,719,435 2,874 110,691 17,519,584 12,062,504 24,054 163,579 1,096,972 37,269,348 ----------------------------------------------------------------------------------------------- $ 5,176,449 $ 5,398,793 $ 62,134,101 $ 183,377,474 ----------------------------------------------------------------------------------------------- 513,665 511,449 4,021,556 12,281,088 ----------------------------------------------------------------------------------------------- $ 10.08 $ 10.56 $ 15.45 $ 14.93 -----------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 85 See accompanying Notes to Financial Statements. STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2007 (UNAUDITED) ---------------------------------------------------------------------------------------------------------
CONSERVATIVE MODERATE AGGRESSIVE ALLOCATION ALLOCATION ALLOCATION FUND FUND FUND INVESTMENT INCOME: Interest $ 1,232 $ 3,517 $ 1,030 Dividends Unaffiliated issuers 206,007 280,633 7,985 Affiliated issuers(1) 128,266 415,808 -- Less: Foreign taxes withheld -- -- -- Securities lending income -- -- -- ------------------------------------------------------------ Total investment income 335,505 699,958 9,015 ------------------------------------------------------------ EXPENSES: Management fees 16,728 71,146 34,588 Trustees' fees -- -- -- Audit fees 843 1,481 965 Compliance expense -- -- -- ------------------------------------------------------------ Total expenses 17,571 72,627 35,553 ------------------------------------------------------------ NET INVESTMENT INCOME 317,934 627,331 (26,538) ------------------------------------------------------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investments (including net realized gain (loss) on foreign currency related transactions) Unaffiliated issuers (13,996) 485 46,264 Affiliated issuers(1) (19,552) (244,891) (206,552) Net change in unrealized appreciation (depreciation) on investments (including net unrealized appreciation (depreciation) on foreign currency related transactions) (35,319) 2,786,097 3,007,859 ------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (68,867) 2,541,691 2,847,571 ------------------------------------------------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 249,067 $ 3,169,022 $ 2,821,033 ------------------------------------------------------------
(1) See Note 10 for information on affiliated issuers. -------------------------------------------------------------------------------- 86 See accompanying Notes to Financial Statements. ---------------------------------------------------------------------------------------------------------
MONEY MARKET HIGH INCOME DIVERSIFIED INCOME LARGE CAP LARGE CAP FUND BOND FUND FUND FUND VALUE FUND GROWTH FUND $ 2,671,833 $ 17,104,319 $ 5,994,942 $ 9,975,520 $ 190,373 $ 136,536 -- -- 45,591 8,579,713 16,017,180 3,504,447 -- -- -- -- -- -- -- -- (506) (10,996) (13,786) (41,533) -- 92,802 24,101 118,248 93,166 33,447 --------------------------------------------------------------------------------------------------------- 2,671,833 17,197,121 6,064,128 18,662,485 16,286,933 3,632,897 --------------------------------------------------------------------------------------------------------- 231,259 1,758,073 581,716 2,499,844 4,122,107 2,639,417 1,567 6,336 1,086 6,540 10,427 6,537 2,117 12,574 2,832 13,126 22,429 13,076 1,808 9,859 2,430 10,175 18,874 10,340 --------------------------------------------------------------------------------------------------------- 236,751 1,786,842 588,064 2,529,685 4,173,837 2,669,370 --------------------------------------------------------------------------------------------------------- 2,435,082 15,410,279 5,476,064 16,132,800 12,113,096 963,527 --------------------------------------------------------------------------------------------------------- (148) (598,718) 1,706,473 18,786,838 74,065,455 22,714,394 -- -- -- -- -- -- -- (15,870,862) (2,934,362) (22,325,658) (10,177,817) 21,778,203 --------------------------------------------------------------------------------------------------------- (148) (16,469,580) (1,227,889) (3,538,820) 63,887,638 44,492,597 --------------------------------------------------------------------------------------------------------- $ 2,434,934 $ (1,059,301) $ 4,248,175 $ 12,593,980 $ 76,000,734 $ 45,456,124 ---------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 87 See accompanying Notes to Financial Statements. STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2007 (UNAUDITED) -----------------------------------------------------------------------------------------------
MID CAP MID CAP VALUE FUND GROWTH FUND INVESTMENT INCOME: Interest $ 68,608 $ 194,034 Dividends Unaffiliated issuers 3,476,941 442,687 Less: Foreign taxes withheld -- -- Securities lending income 53,258 71,863 -------------------------------------- Total investment income 3,598,807 708,584 -------------------------------------- EXPENSES: Management fees 1,786,781 1,626,518 Trustees' fees 4,558 4,592 Audit fees 8,370 8,366 Compliance expense 6,920 6,969 -------------------------------------- Total expenses 1,806,629 1,646,445 -------------------------------------- NET INVESTMENT INCOME (LOSS) 1,792,178 (937,861) -------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on investments (including net realized gain (loss) on foreign currency related transactions)(1) Unaffiliated issuers 29,238,632 13,946,349 Net change in unrealized appreciation (depreciation) on investments (including net unrealized appreciation (depreciation) on foreign currency related transactions)(2) (1,786,137) 38,893,428 -------------------------------------- NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 27,452,495 52,839,777 -------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 29,244,673 $ 51,901,916 --------------------------------------
(1) Includes foreign capital gains taxes paid of $50,498 and $257 for the Global Securities and International Stock Funds, respectively. (2) Net of deferred foreign capital gains taxes of $14,449 for the International Stock Fund. (3) Fund commenced investment operations on May 1, 2007. -------------------------------------------------------------------------------- 88 See accompanying Notes to Financial Statements. -----------------------------------------------------------------------------------------------
SMALL CAP SMALL CAP GLOBAL SECURITIES INTERNATIONAL VALUE FUND(3) GROWTH FUND(3) FUND STOCK FUND $ 2,926 $ 2,081 $ 20,719 $ 116,435 16,326 11,145 914,989 3,205,927 -- -- (75,688) (295,781) -- -- 25,216 6,069 ----------------------------------------------------------------------------------------------- 19,252 13,226 885,236 3,032,650 ----------------------------------------------------------------------------------------------- 8,444 8,623 279,507 1,040,762 36 36 876 1,938 277 278 1,551 3,023 40 39 1,243 2,569 ----------------------------------------------------------------------------------------------- 8,797 8,976 283,177 1,048,292 ----------------------------------------------------------------------------------------------- 10,455 4,250 602,059 1,984,358 ----------------------------------------------------------------------------------------------- 2,874 110,691 17,293,402 9,893,562 24,054 163,579 (13,545,101) 2,280,156 ----------------------------------------------------------------------------------------------- 26,928 274,270 3,748,301 12,173,718 ----------------------------------------------------------------------------------------------- $ 37,383 $ 278,520 $ 4,350,360 $ 14,158,076 -----------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 89 See accompanying Notes to Financial Statements. STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------------------------------
CONSERVATIVE ALLOCATION FUND MODERATE ALLOCATION FUND ------------------------------- ------------------------------- SIX MONTHS ENDED INCEPTION TO SIX MONTHS ENDED INCEPTION TO JUNE 30, 2007 DECEMBER 31, JUNE 30, 2007 DECEMBER 31, (UNAUDITED) 2006(1) (UNAUDITED) 2006(1) OPERATIONS: Net investment income (loss) $ 317,934 $ 98,808 $ 627,331 $ 291,117 Net realized gain (loss) on investments (33,548) 77,707 (244,406) 902,711 Net change in unrealized appreciation (depreciation) on investments (35,319) 143,883 2,786,097 420,863 ----------------------------------------------------------------- Increase (decrease) in net assets from operations 249,067 320,398 3,169,022 1,614,691 ----------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income -- (113,300) -- (419,100) Realized gains on investments -- -- -- (5,550) ----------------------------------------------------------------- Change in net assets from distributions -- (113,300) -- (424,650) CLASS Z SHARE TRANSACTIONS: Proceeds from sale of shares 22,801,825 8,937,148 82,727,939 36,371,376 Net asset value of shares issued in reinvestment of distributions -- 113,300 -- 424,650 ----------------------------------------------------------------- 22,801,825 9,050,448 82,727,939 36,796,026 Cost of shares repurchased (1,411,019) (144,649) (705,966) (992,212) ----------------------------------------------------------------- Net increase (decrease) in net assets from capital share transactions 21,390,806 8,905,799 82,021,973 35,803,814 ----------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS 21,639,873 9,112,897 85,190,995 36,993,855 ----------------------------------------------------------------- NET ASSETS: Beginning of year $ 9,112,897 $ -- $ 36,993,855 $ -- ----------------------------------------------------------------- End of year $30,752,770 $9,112,897 $122,184,850 $36,993,855 ----------------------------------------------------------------- Undistributed net investment income (loss) included in net assets $ 321,341 $ 3,407 $ 640,943 $ 13,612 ----------------------------------------------------------------- OTHER INFORMATION: CLASS Z CAPITAL SHARE TRANSACTIONS: Shares sold 2,104,492 862,835 7,350,456 3,461,875 Shares issued in reinvestment of distributions -- 10,682 -- 39,028 ----------------------------------------------------------------- 2,104,492 873,517 7,350,456 3,500,903 Shares redeemed (130,452) (13,750) (62,634) (93,699) ----------------------------------------------------------------- Net increase (decrease) in shares outstanding 1,974,040 859,767 7,287,822 3,407,204 -----------------------------------------------------------------
(1) Fund commenced investment operations on June 30, 2006. -------------------------------------------------------------------------------- 90 See accompanying Notes to Financial Statements. ---------------------------------------------------------------------------------------------------
AGGRESSIVE ALLOCATION FUND MONEY MARKET FUND BOND FUND ------------------------------- ------------------------------- ------------------------------- SIX MONTHS ENDED INCEPTION TO SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED JUNE 30, 2007 DECEMBER 31, JUNE 30, 2007 DECEMBER 31, JUNE 30, 2007 DECEMBER 31, (UNAUDITED) 2006(1) (UNAUDITED) 2006 (UNAUDITED) 2006 $ (26,538) $ 139,587 $ 2,435,082 $ 3,988,847 $ 15,410,279 $ 29,113,858 (160,288) 936,976 (148) 50 (598,718) (888,636) 3,007,859 400,767 -- -- (15,870,862) (2,671,883) --------------------------------------------------------------------------------------------------- 2,821,033 1,477,330 2,434,934 3,988,897 (1,059,301) 25,553,339 --------------------------------------------------------------------------------------------------- -- (273,700) (2,434,934) (3,988,897) -- (29,028,791) -- -- -- -- -- -- --------------------------------------------------------------------------------------------------- -- (273,700) (2,434,934) (3,988,897) -- (29,028,791) 23,258,441 20,307,936 48,768,748 80,126,027 33,802,226 67,585,994 -- 273,700 2,434,933 3,988,897 -- 29,028,791 --------------------------------------------------------------------------------------------------- 23,258,441 20,581,636 51,203,681 84,114,924 33,802,226 96,614,785 (923,431) (238,487) (46,119,174) (78,289,668) (54,578,692) (57,842,531) --------------------------------------------------------------------------------------------------- 22,335,010 20,343,149 5,084,507 5,825,256 (20,776,466) 38,772,254 --------------------------------------------------------------------------------------------------- 25,156,043 21,546,779 5,084,507 5,825,256 (21,835,767) 35,296,802 --------------------------------------------------------------------------------------------------- $21,546,779 $ -- $100,462,164 $94,636,908 $659,272,608 $623,975,806 --------------------------------------------------------------------------------------------------- $46,702,822 $21,546,779 $105,546,671 $100,462,164 $637,436,841 $659,272,608 --------------------------------------------------------------------------------------------------- $ (20,974) $ 5,564 $ 148 $ -- $ 15,852,026 $ 441,747 --------------------------------------------------------------------------------------------------- 2,017,600 1,938,411 48,768,748 80,126,027 3,326,719 6,587,751 -- 24,559 2,434,933 3,988,897 -- 2,870,750 --------------------------------------------------------------------------------------------------- 2,017,600 1,962,970 51,203,681 84,114,924 3,326,719 9,458,501 (79,300) (22,631) (46,119,174) (78,289,668) (5,381,693) (5,612,752) --------------------------------------------------------------------------------------------------- 1,938,300 1,940,339 5,084,507 5,825,256 (2,054,974) 3,845,749 ---------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 91 See accompanying Notes to Financial Statements. STATEMENTS OF CHANGES IN NET ASSETS ---------------------------------------------------------------------------------------------------------
HIGH INCOME FUND DIVERSIFIED INCOME FUND ------------------------------- -------------------------------- SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED JUNE 30, 2007 DECEMBER 31, JUNE 30, 2007 DECEMBER 31, (UNAUDITED) 2006 (UNAUDITED) 2006 OPERATIONS: Net investment income $ 5,476,064 $10,256,810 $ 16,132,800 $ 18,878,468 Net realized gain on investments 1,706,473 475,935 18,786,838 84,996,412 Net change in unrealized appreciation (depreciation) on investments (2,934,362) 1,828,587 (22,325,658) (33,698,320) ------------------------------------------------------------------ Increase in net assets from operations 4,248,175 12,561,332 12,593,980 70,176,560 ------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income -- (10,375,136) -- (18,856,543) Realized gains on investments -- (139,257) -- (80,756,300) ------------------------------------------------------------------ Change in net assets from distributions -- (10,514,393) -- (99,612,843) CLASS Z SHARE TRANSACTIONS: Proceeds from sale of shares 4,587,021 16,932,242 5,701,230 12,700,806 Net asset value of shares issued in reinvestment of distributions -- 10,514,393 -- 99,612,843 ------------------------------------------------------------------ 4,587,021 27,446,635 5,701,230 112,313,649 Cost of shares repurchased (6,256,374) (10,267,913) (57,535,574) (132,297,562) ------------------------------------------------------------------ Net increase (decrease) in net assets from capital share transactions (1,669,353) 17,178,722 (51,834,344) (19,983,913) ------------------------------------------------------------------ TOTAL INCREASE (DECREASE) IN NET ASSETS 2,578,822 19,225,661 (39,240,364) (49,420,196) ------------------------------------------------------------------ NET ASSETS: Beginning of year $153,257,716 $134,032,055 $735,880,687 $ 785,300,883 ------------------------------------------------------------------ End of year $155,836,538 $153,257,716 $696,640,323 $ 735,880,687 ------------------------------------------------------------------ Undistributed net investment income included in net assets $ 5,476,064 $ -- $ 16,402,559 $ 269,759 ------------------------------------------------------------------ OTHER INFORMATION: CLASS Z CAPITAL SHARE TRANSACTIONS: Shares sold 437,372 1,644,455 306,221 638,188 Shares issued in reinvestment of distributions -- 1,033,732 -- 5,381,664 ------------------------------------------------------------------ 437,372 2,678,187 306,221 6,019,852 Shares redeemed (600,289) (991,123) (3,078,670) (6,631,908) ------------------------------------------------------------------ Net increase (decrease) in shares outstanding (162,917) 1,687,064 (2,772,449) (612,056) ------------------------------------------------------------------
-------------------------------------------------------------------------------- 92 See accompanying Notes to Financial Statements. -----------------------------------------------------------------------------------------------------
LARGE CAP VALUE FUND LARGE CAP GROWTH FUND MID CAP VALUE FUND --------------------------------- ------------------------------- ------------------------------- SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED JUNE 30, 2007 DECEMBER 31, JUNE 30, 2007 DECEMBER 31, JUNE 30, 2007 DECEMBER 31, (UNAUDITED) 2006 (UNAUDITED) 2006 (UNAUDITED) 2006 $ 12,113,096 $ 24,669,545 $ 963,527 $ 2,354,937 $ 1,792,178 $ 3,531,144 74,065,455 88,090,337 22,714,394 27,685,491 29,238,632 42,468,573 (10,177,817) 131,135,559 21,778,203 20,661,528 (1,786,137) 2,922,456 ----------------------------------------------------------------------------------------------------- 76,000,734 243,895,441 45,456,124 50,701,956 29,244,673 48,922,173 ----------------------------------------------------------------------------------------------------- -- (24,606,850) -- (2,423,723) -- (3,321,001) -- (84,954,200) -- -- -- (42,531,370) ----------------------------------------------------------------------------------------------------- -- (109,561,050) -- (2,423,723) -- (45,852,371) 16,335,933 44,040,409 8,820,669 25,527,442 20,433,878 52,353,692 -- 109,561,050 -- 2,423,723 -- 45,852,371 ----------------------------------------------------------------------------------------------------- 16,335,933 153,601,459 8,820,669 27,951,165 20,433,878 98,206,063 (104,299,379) (137,026,386) (57,092,925) (95,280,146) (30,358,610) (33,341,844) ----------------------------------------------------------------------------------------------------- (87,963,446) 16,575,073 (48,272,256) (67,328,981) (9,924,732) 64,864,219 ----------------------------------------------------------------------------------------------------- (11,962,712) 150,909,464 (2,816,132) (19,050,748) 19,319,941 67,934,021 ----------------------------------------------------------------------------------------------------- $1,390,777,875 $1,239,868,411 $669,760,891 $688,811,639 $343,212,675 $275,278,654 ----------------------------------------------------------------------------------------------------- $1,378,815,163 $1,390,777,875 $666,944,759 $669,760,891 $362,532,616 $343,212,675 ----------------------------------------------------------------------------------------------------- $ 12,477,954 $ 364,858 $ 1,028,564 $ 65,037 $ 1,961,689 $ 169,511 ----------------------------------------------------------------------------------------------------- 459,341 1,273,440 399,842 1,254,575 1,113,315 2,809,593 -- 3,102,605 -- 113,097 -- 2,599,101 ----------------------------------------------------------------------------------------------------- 459,341 4,376,045 399,842 1,367,672 1,113,315 5,408,694 (2,888,824) (4,000,830) (2,577,706) (4,657,943) (1,627,121) (1,758,756) ----------------------------------------------------------------------------------------------------- (2,429,483) 375,215 (2,177,864) (3,290,271) (513,806) 3,649,938 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 93 See accompanying Notes to Financial Statements. STATEMENTS OF CHANGES IN NET ASSETS ------------------------------------------------------------------------------------------------------
MID CAP GROWTH FUND SMALL CAP VALUE FUND ---------------------------------------- -------------------- SIX MONTHS ENDED INCEPTION TO JUNE 30, 2007 YEAR ENDED JUNE 30, 2007(1) (UNAUDITED) DECEMBER 31, 2006 (UNAUDITED) OPERATIONS: Net investment income (loss) $ (937,861) $ (843,809) $ 10,455 Net realized gain on investments 13,946,349 79,600,979 2,874 Net change in unrealized appreciation (depreciation) on investments 38,893,428 (39,669,854) 24,054 --------------------------------------------------------------- Increase in net assets from operations 51,901,916 39,087,316 37,383 --------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income -- -- -- Realized gains on investments -- (82,043,836) -- --------------------------------------------------------------- Change in net assets from distributions -- (82,043,836) -- CLASS Z SHARE TRANSACTIONS: Proceeds from sale of shares 11,663,961 29,731,478 5,139,154 Net asset value of shares issued in reinvestment of distributions -- 82,043,836 -- --------------------------------------------------------------- 11,663,961 111,775,314 5,139,154 Cost of shares repurchased (29,871,164) (68,695,721) (88) --------------------------------------------------------------- Net increase (decrease) in net assets from capital share transactions (18,207,203) 43,079,593 5,139,066 --------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS 33,694,713 123,073 5,176,449 --------------------------------------------------------------- NET ASSETS: Beginning of year $374,044,453 $373,921,380 $ -- --------------------------------------------------------------- End of year $407,739,166 $374,044,453 $5,176,449 --------------------------------------------------------------- Undistributed net investment income (loss) included in net assets $ (937,861) $ -- $ 10,455 --------------------------------------------------------------- OTHER INFORMATION: CLASS Z CAPITAL SHARE TRANSACTIONS: Shares sold 1,814,737 4,285,955 513,673 Shares issued in reinvestment of distributions -- 13,750,896 -- --------------------------------------------------------------- 1,814,737 18,036,851 513,673 Shares redeemed (4,818,178) (9,991,053) (8) --------------------------------------------------------------- Net increase (decrease) in shares outstanding (3,003,441) 8,045,798 513,665 ---------------------------------------------------------------
(1) Fund commenced investment operations on May 1, 2007. -------------------------------------------------------------------------------- 94 See accompanying Notes to Financial Statements. ---------------------------------------------------------------------------------------------------
SMALL CAP GROWTH FUND GLOBAL SECURITIES FUND INTERNATIONAL STOCK FUND --------------------- ------------------------------------ ------------------------------------ INCEPTION TO SIX MONTHS ENDED SIX MONTHS ENDED JUNE 30, 2007(1) JUNE 30, 2007 YEAR ENDED JUNE 30, 2007 YEAR ENDED (UNAUDITED) (UNAUDITED) DECEMBER 31, 2006 (UNAUDITED) DECEMBER 31, 2006 $ 4,250 $ 602,059 $ 509,965 $ 1,984,358 $ 2,019,678 110,691 17,293,402 2,040,066 9,893,562 15,831,931 163,579 (13,545,101) 5,518,034 2,280,156 11,860,875 --------------------------------------------------------------------------------------------------- 278,520 4,350,360 8,068,065 14,158,076 29,712,484 --------------------------------------------------------------------------------------------------- -- -- (618,723) -- (2,154,721) -- -- (2,135,512) -- (14,884,822) --------------------------------------------------------------------------------------------------- -- -- (2,754,235) -- (17,039,543) 5,120,295 3,084,233 12,174,171 10,147,070 35,254,910 -- -- 2,754,235 -- 17,039,543 --------------------------------------------------------------------------------------------------- 5,120,295 3,084,233 14,928,406 10,147,070 52,294,453 (22) (2,520,755) (5,471,633) (6,631,425) (7,745,333) --------------------------------------------------------------------------------------------------- 5,120,273 563,478 9,456,773 3,515,645 44,549,120 --------------------------------------------------------------------------------------------------- 5,398,793 4,913,838 14,770,603 17,673,721 57,222,061 --------------------------------------------------------------------------------------------------- $ - $ 57,220,263 $42,449,660 $165,703,753 $108,481,692 --------------------------------------------------------------------------------------------------- $5,398,793 $ 62,134,101 $57,220,263 $183,377,474 $165,703,753 --------------------------------------------------------------------------------------------------- $ 4,250 $ 541,160 $ (60,899) $ 1,719,435 $ (264,923) --------------------------------------------------------------------------------------------------- 511,451 208,707 894,005 721,242 2,588,160 -- -- 195,806 -- 1,238,302 --------------------------------------------------------------------------------------------------- 511,451 208,707 1,089,811 721,242 3,826,462 (2) (171,019) (404,386) (463,806) (566,766) --------------------------------------------------------------------------------------------------- 511,449 37,688 685,425 257,436 3,259,696 ---------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 95 See accompanying Notes to Financial Statements. FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING -------------------------------------------------------------------------------------------
CONSERVATIVE ALLOCATION FUND ------------------------------ SIX MONTHS Ended 06/30/07 Inception to (unaudited) 12/31/06(1) NET ASSET VALUE at beginning of period $ 10.60 $10.00 ------------------------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.20 0.23 Net realized and unrealized gain on investments 0.05 0.51 ------------------------------ Total from investment operations 0.25 0.74 ------------------------------ LESS DISTRIBUTIONS: Distributions from net investment income -- (0.14) ------------------------------ Net increase in net asset value 0.25 0.60 ------------------------------ NET ASSET VALUE at end of period $ 10.85 $10.60 ------------------------------ TOTAL RETURN(3) 2.34%(4) 7.34%(4) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $30,753 $9,113 Ratio of expenses to average net assets 0.21%(5) 0.24%(5) Ratio of net investment income to average net assets 3.80%(5) 4.25%(5) Portfolio Turnover 41%(4) 24%(4)
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MODERATE ALLOCATION FUND ------------------------------ SIX MONTHS Ended 06/30/07 Inception to (unaudited) 12/31/06(1) NET ASSET VALUE at beginning of period $ 10.86 $ 10.00 ------------------------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.10 0.20 Net realized and unrealized gain on investments 0.46 0.79 ------------------------------ Total from investment operations 0.56 0.99 ------------------------------ LESS DISTRIBUTIONS: Distributions from net investment income -- (0.13) Distributions from capital gains -- (0.00)(6) Total distributions -- (0.13) ------------------------------ Net increase in net asset value 0.56 0.86 ------------------------------ NET ASSET VALUE at end of period $ 11.42 $ 10.86 ------------------------------ TOTAL RETURN(3) 5.19%(4) 9.87%(4) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $122,185 $ 36,994 Ratio of expenses to average net assets 0.20%(5) 0.24%(5) Ratio of net investment income to average net assets 1.76%(5) 3.74%(5) Portfolio Turnover 18%(4) 23%(4)
---------------------------------- (1) Commenced investment operations June 30, 2006. (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) Amount represents less than $0.005 per share. -------------------------------------------------------------------------------- 96 See accompanying Notes to Financial Statements. FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING ------------------------------------------------------------------------------------------
AGGRESSIVE ALLOCATION FUND ----------------------------- SIX MONTHS Ended 06/30/07 Inception to (unaudited) 12/31/06(1) NET ASSET VALUE at beginning of period $ 11.10 $ 10.00 ----------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)(2) (0.01) 0.15 Net realized and unrealized gain on investments 0.95 1.10 ----------------------------- Total from investment operations 0.94 1.25 ----------------------------- LESS DISTRIBUTIONS: Distributions from net investment income - (0.15) ----------------------------- Net increase in net asset value 0.94 1.10 ----------------------------- NET ASSET VALUE at end of period $ 12.04 $ 11.10 ----------------------------- TOTAL RETURN(3) 8.42%(4) 12.49%(4) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 46,703 $ 21,547 Ratio of expenses to average net assets 0.21%(5) 0.23%(5) Ratio of net investment income to average net assets (0.15)%(5) 2.71%(5) Portfolio Turnover 19%(4) 21%(4)
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MONEY MARKET FUND ----------------------------------------------------------------------- SIX MONTHS FOR THE YEAR ENDED DECEMBER 31, Ended 06/30/07 ------------------------------------------------------ (unaudited) 2006 2005 2004 2003 2002 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) 0.02 0.04 0.03 0.01 0.01 0.01 Net realized and unrealized gain on investments - - - 0.00(6) 0.00(6) 0.00(6) ----------------------------------------------------------------------- Total from investment operations 0.02 0.04 0.03 0.01 0.01 0.01 ----------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.02) (0.04) (0.03) (0.01) (0.01) (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) 2.38%(4) 4.54% 2.78% 0.92% 0.75% 1.50% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $105,547 $100,462 $94,637 $129,004 $141,376 $177,443 Ratio of expenses to average net assets 0.46%(5) 0.46% 0.46% 0.45% 0.45% 0.45% Ratio of net investment income to average net assets 4.74%(5) 4.42% 2.73% 0.90% 0.75% 1.45%
---------------------------------- (1) Commenced investment operations June 30, 2006. (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) Amount represents less than $0.005 per share. -------------------------------------------------------------------------------- 97 See accompanying Notes to Financial Statements. FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING ------------------------------------------------------------------------------------------------------------
BOND FUND -------------------------------------------------------------------------- SIX MONTHS FOR THE YEAR ENDED DECEMBER 31, Ended 06/30/07 ------------------------------------------------------- (unaudited) 2006 2005 2004 2003 2002 NET ASSET VALUE at beginning of period $ 10.11 $ 10.17 $ 10.34 $ 10.43 $ 10.59 $ 10.20 -------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(1) 0.24 0.47 0.42 0.42 0.46 0.54 Net realized and unrealized gain (loss) on investments (0.26) (0.06) (0.16) (0.07) (0.14) 0.32 -------------------------------------------------------------------------- Total from investment operations (0.02) 0.41 0.26 0.35 0.32 0.86 -------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income - (0.47) (0.43) (0.44) (0.48) (0.47) -------------------------------------------------------------------------- Net increase (decrease) in net asset value (0.02) (0.06) (0.17) (0.09) (0.16) 0.39 -------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 10.09 $ 10.11 $ 10.17 $ 10.34 $ 10.43 $ 10.59 -------------------------------------------------------------------------- TOTAL RETURN(2) (0.17)%(3) 4.01% 2.51% 3.36% 3.05% 8.55% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $637,437 $659,273 $623,976 $574,156 $552,311 $553,494 Ratio of expenses to average net assets 0.56%(4) 0.56% 0.56% 0.55% 0.55% 0.55% Ratio of net investment income to average net assets 4.82%(4) 4.54% 4.06% 4.02% 4.29% 5.14% Portfolio Turnover 22%(3) 27% 51% 67% 82% 78%
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HIGH INCOME FUND ---------------------------------------------------------------------- SIX MONTHS FOR THE YEAR ENDED DECEMBER 31, Ended 06/30/07 ----------------------------------------------------- (unaudited) 2006 2005 2004 2003 2002 NET ASSET VALUE at beginning of period $ 10.16 $ 10.01 $ 10.40 $ 10.16 $ 9.04 $ 9.41 ---------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(1) 0.37 0.74 0.68 0.74 0.72 0.71 Net realized and unrealized gain (loss) on investments (0.08) 0.16 (0.42) 0.16 0.93 (0.44) ---------------------------------------------------------------------- Total from investment operations 0.29 0.90 0.26 0.90 1.65 0.27 ---------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income - (0.74) (0.65) (0.66) (0.53) (0.64) Distributions from capital gains - (0.01) - - - - ---------------------------------------------------------------------- Total distributions - (0.75) (0.65) (0.66) (0.53) (0.64) ---------------------------------------------------------------------- Net increase (decrease) in net asset value 0.29 0.15 (0.39) 0.24 1.12 (0.37) ---------------------------------------------------------------------- NET ASSET VALUE at end of period $ 10.45 $ 10.16 $ 10.01 $ 10.40 $ 10.16 $ 9.04 ---------------------------------------------------------------------- TOTAL RETURN(2) 2.79%(3) 9.03% 2.51% 8.92% 18.46% 3.06% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $155,837 $153,528 $134,032 $118,318 $88,240 $25,850 Ratio of expenses to average net assets 0.76%(4) 0.77% 0.76% 0.76% 0.75% 0.76% Ratio of net investment income to average net assets 7.06%(4) 7.12% 6.47% 7.08% 7.29% 7.64% Portfolio Turnover 38%(3) 64% 86%(5) 58% 45% 38%
---------------------------------- (1) Based on average shares outstanding during the year. (2) 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. (3) Not annualized. (4) Annualized. (5) Subadviser change February 28, 2005. -------------------------------------------------------------------------------- 98 See accompanying Notes to Financial Statements. FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING ---------------------------------------------------------------------------------------------------------
DIVERSIFIED INCOME FUND --------------------------------------------------------------------- SIX MONTHS FOR THE YEAR ENDED DECEMBER 31, Ended 06/30/07 ---------------------------------------------------- (unaudited) 2006 2005 2004 2003 2002 NET ASSET VALUE at beginning of period $ 18.46 $ 19.40 $ 19.11 $ 18.04 $ 15.85 $ 18.42 --------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(1) 0.42 0.49 0.42 0.43 0.45 0.53 Net realized and unrealized gain (loss) on investments (0.10) 1.45 0.32 1.08 2.18 (2.58) --------------------------------------------------------------------- Total from investment operations 0.32 1.94 0.74 1.51 2.63 (2.05) --------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income -- (0.55) (0.45) (0.44) (0.44) (0.52) Distributions from capital gains -- (2.33) -- -- -- (0.00)(3) --------------------------------------------------------------------- Total distributions -- (2.88) (0.45) (0.44) (0.44) (0.52) --------------------------------------------------------------------- Net increase (decrease) in net asset value 0.32 (0.94) 0.29 1.07 2.19 (2.57) --------------------------------------------------------------------- NET ASSET VALUE at end of period $ 18.78 $ 18.46 $ 19.40 $ 19.11 $ 18.04 $ 15.85 --------------------------------------------------------------------- TOTAL RETURN(2) 1.74%(4) 9.98%(6) 3.89% 8.34% 16.82% (11.13)% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $696,640 $735,881 $785,301 $785,856 $712,180 $592,243 Ratio of expenses to average net assets 0.71%(5) 0.71% 0.71% 0.70% 0.70% 0.70% Ratio of net investment income to average net assets 4.52%(5) 2.52% 2.18% 2.34% 2.66% 3.12% Portfolio Turnover 28%(4) 62% 52% 38% 39% 50%
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LARGE CAP VALUE FUND ----------------------------------------------------------------------------- SIX MONTHS FOR THE YEAR ENDED DECEMBER 31, Ended 06/30/07 ------------------------------------------------------------ (unaudited) 2006 2005 2004 2003 2002 NET ASSET VALUE at beginning of period $ 35.14 $ 31.62 $ 30.47 $ 27.52 $ 22.20 $ 28.73 ----------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(1) 0.32 0.65 0.54 0.46 0.40 0.35 Net realized and unrealized gain (loss) on investments 1.65 5.87 1.16 2.95 5.31 (6.53) ----------------------------------------------------------------------------- Total from investment operations 1.97 6.52 1.70 3.41 5.71 (6.18) ----------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income -- (0.67) (0.55) (0.46) (0.39) (0.35) Distributions from capital gains -- (2.33) -- -- -- -- ----------------------------------------------------------------------------- Total distributions -- (3.00) (0.55) (0.46) (0.39) (0.35) ----------------------------------------------------------------------------- Net increase (decrease) in net asset value 1.97 3.52 1.15 2.95 5.32 (6.53) ----------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 37.11 $ 35.14 $ 31.62 $ 30.47 $ 27.52 $ 22.20 ----------------------------------------------------------------------------- TOTAL RETURN(2) 5.62%(4) 20.55% 5.58% 12.43% 25.89% (21.55)% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $1,378,815 $1,390,778 $1,239,868 $1,205,082 $1,065,972 $764,895 Ratio of expenses to average net assets 0.61%(5) 0.61% 0.61% 0.60% 0.60% 0.60% Ratio of net investment income to average net assets 1.76%(5) 1.91% 1.74% 1.67% 1.69% 1.39% Portfolio Turnover 22%(4) 35% 28% 15% 17% 18%
---------------------------------- (1) Based on average shares outstanding during the year. (2) 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. (3) Amount represents less than $0.005 per share. (4) Not annualized. (5) Annualized. (6) 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%. -------------------------------------------------------------------------------- 99 See accompanying Notes to Financial Statements. FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING -------------------------------------------------------------------------------------------------------------------
LARGE CAP GROWTH FUND -------------------------------------------------------------------------------- SIX MONTHS FOR THE YEAR ENDED DECEMBER 31, Ended 06/30/07 --------------------------------------------------------------- (unaudited) 2006 2005 2004 2003 2002 NET ASSET VALUE at beginning of period $ 21.47 $ 19.97 $ 19.68 $ 18.19 $ 14.15 $ 20.70 -------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(1) 0.03 0.07 0.17 0.15 0.07 0.04 Net realized and unrealized gain (loss) on investments 1.48 1.51 0.30 1.48 4.05 (6.54) -------------------------------------------------------------------------------- Total from investment operations 1.51 1.58 0.47 1.63 4.12 (6.50) -------------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income -- (0.08) (0.18) (0.14) (0.08) (0.04) Distributions from capital gains -- -- -- -- -- (0.01) -------------------------------------------------------------------------------- Total distributions -- (0.08) (0.18) (0.14) (0.08) (0.05) -------------------------------------------------------------------------------- Net increase (decrease) in net asset value 1.51 1.50 0.29 1.49 4.04 (6.55) -------------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 22.98 $ 21.47 $ 19.97 $ 19.68 $ 18.19 $ 14.15 -------------------------------------------------------------------------------- TOTAL RETURN(2) 7.05%(3) 7.88% 2.42% 8.94% 29.13% (31.41)% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $666,945 $669,761 $688,812 $693,762 $617,603 $592,512 Ratio of expenses to average net assets 0.81%(4) 0.81% 0.81% 0.80% 0.80% 0.80% Ratio of net investment income to average net assets 0.29%(4) 0.35% 0.86% 0.82% 0.47% 0.25% Portfolio Turnover 37%(3) 87% 73% 26% 29% 27%
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MID CAP VALUE FUND -------------------------------------------------------------------------------- SIX MONTHS FOR THE YEAR ENDED DECEMBER 31, Ended 06/30/07 --------------------------------------------------------------- (unaudited) 2006 2005 2004 2003 2002 NET ASSET VALUE at beginning of period $ 17.54 $ 17.30 $ 16.58 $ 14.66 $ 11.22 $ 13.94 -------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(1) 0.09 0.20 0.11 0.18 0.07 0.07 Net realized and unrealized gain (loss) on investments 1.40 2.74 1.61 2.14 3.43 (2.51) -------------------------------------------------------------------------------- Total from investment operations 1.49 2.94 1.72 2.32 3.50 (2.44) -------------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income -- (0.20) (0.11) (0.15) (0.06) (0.06) Distributions from capital gains -- (2.50) (0.89) (0.25) -- (0.22) -------------------------------------------------------------------------------- Total distributions -- (2.70) (1.00) (0.40) (0.06) (0.28) -------------------------------------------------------------------------------- Net increase (decrease) in net asset value 1.49 0.24 0.72 1.92 3.44 (2.72) -------------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 19.03 $ 17.54 $ 17.30 $ 16.58 $ 14.66 $ 11.22 -------------------------------------------------------------------------------- TOTAL RETURN(2) 8.34%(3) 16.96% 10.32% 15.86% 31.21% (17.41)% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $362,533 $343,213 $275,279 $218,060 $158,698 $102,589 Ratio of expenses to average net assets 1.01%(4) 1.01% 1.01% 1.00% 1.00% 1.01% Ratio of net investment income to average net assets 1.00%(4) 1.12% 0.62% 1.20% 0.57% 0.54% Portfolio Turnover 40%(3) 95% 29% 25% 22% 33%
---------------------------------- (1) Based on average shares outstanding during the year. (2) 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. (3) Not annualized. (4) Annualized. -------------------------------------------------------------------------------- 100 See accompanying Notes to Financial Statements. FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING -------------------------------------------------------------------------------------------------------------------
MID CAP GROWTH FUND ------------------------------------------------------------------------------- SIX MONTHS FOR THE YEAR ENDED DECEMBER 31, Ended 06/30/07 -------------------------------------------------------------- (unaudited) 2006 2005 2004 2003 2002 NET ASSET VALUE at beginning of period $ 5.89 $ 6.74 $ 6.80 $ 6.20 $ 4.67 $ 6.24 ------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) (0.02) (0.02) (0.01) 0.00(4) (0.01) 0.00(4) Net realized and unrealized gain (loss) on investments 0.87 0.78 0.59 0.81 1.57 (1.57) ------------------------------------------------------------------------------- Total from investment operations 0.85 0.76 0.58 0.81 1.56 (1.57) ------------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income -- -- -- (0.00)(4) (0.00)(4) (0.00)(4) Distributions from capital gains -- (1.61) (0.64) (0.21) (0.03) -- ------------------------------------------------------------------------------- Total distributions -- (1.61) (0.64) (0.21) (0.03) (0.00) ------------------------------------------------------------------------------- Net increase (decrease) in net asset value 0.85 (0.85) (0.06) 0.60 1.53 (1.57) ------------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 6.74 $ 5.89 $ 6.74 $ 6.80 $ 6.20 $ 4.67 ------------------------------------------------------------------------------- TOTAL RETURN(3) 14.42%(5) 11.38% 8.75% 13.41% 33.41% (25.21)% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $407,739 $374,044 $373,921 $336,673 $268,929 $75,503 Ratio of expenses to average net assets 0.86%(6) 0.86% 0.86% 0.85% 0.85% 0.86% Ratio of net investment income to average net assets (0.49)%(6) (0.22)% (0.13)% 0.04% (0.19)% 0.03% Portfolio Turnover 50%(5) 204% 88% 77% 118% 157%
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SMALL CAP VALUE FUND --------------------------- INCEPTION to 06/30/07(1) (unaudited) NET ASSET VALUE at beginning of period $ 10.00 -------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.02 Net realized and unrealized gain on investments 0.06 -------------- Total from investment operations 0.08 -------------- Net increase in net asset value 0.08 -------------- NET ASSET VALUE at end of period $ 10.08 -------------- TOTAL RETURN(3) 0.78%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 5,176 Ratio of expenses to average net assets 1.04%(6) Ratio of net investment income to average net assets 1.24%(6) Portfolio Turnover 2%(5)
---------------------------------- (1) Commenced investment operations May 1, 2007. (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. -------------------------------------------------------------------------------- 101 See accompanying Notes to Financial Statements. FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING -------------------------------------------------------------------------------------------------------------------
SMALL CAP GROWTH FUND --------------------------- INCEPTION to 06/30/07(1) (unaudited) NET ASSET VALUE at beginning of period $10.00 -------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.01 Net realized and unrealized gain on investments 0.55 -------------- Total from investment operations 0.56 -------------- Net increase in net asset value 0.56 -------------- NET ASSET VALUE at end of period $10.56 -------------- TOTAL RETURN(3) 5.56%(4) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $5,399 Ratio of expenses to average net assets 1.04%(5) Ratio of net investment income to average net assets 0.49%(5) Portfolio Turnover 32%(4)
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GLOBAL SECURITIES FUND ------------------------------------------------------------------------------- SIX MONTHS FOR THE YEAR ENDED DECEMBER 31, Ended 06/30/07 -------------------------------------------------------------- (unaudited) 2006 2005 2004 2003 2002 NET ASSET VALUE at beginning of period $ 14.36 $ 12.87 $ 11.49 $ 9.72 $ 6.94 $ 8.91 ------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.15 0.14 0.09 0.06 0.05 0.04 Net realized and unrealized gain (loss) on investments 0.94 2.07 1.52 1.73 2.80 (1.98) ------------------------------------------------------------------------------- Total from investment operations 1.09 2.21 1.61 1.79 2.85 (1.94) ------------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income -- (0.16) (0.09) (0.02) (0.07) (0.03) Distributions from capital gains -- (0.56) (0.14) -- -- -- ------------------------------------------------------------------------------- Total distributions -- (0.72) (0.23) (0.02) (0.07) (0.03) ------------------------------------------------------------------------------- Net increase (decrease) in net asset value 1.09 1.49 1.38 1.77 2.78 (1.97) ------------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 15.45 $ 14.36 $ 12.87 $ 11.49 $ 9.72 $ 6.94 ------------------------------------------------------------------------------- TOTAL RETURN(3) 7.52%(4) 17.38% 13.97% 18.42% 41.24% (21.77)% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $62,134 $57,220 $42,450 $29,979 $18,091 $10,174 Ratio of expenses to average net assets 0.96%(5) 0.97% 0.97% 0.96% 0.96% 0.96% Ratio of net investment income to average net assets 2.05%(5) 1.01% 0.80% 0.60% 0.66% 0.55% Portfolio Turnover 105%(4,6) 21% 27% 18% 35% 37%
---------------------------------- (1) Commenced investment operations May 1, 2007. (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. -------------------------------------------------------------------------------- 102 See accompanying Notes to Financial Statements. FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING -------------------------------------------------------------------------------------------------------------------
INTERNATIONAL STOCK FUND ------------------------------------------------------------------------------- SIX MONTHS FOR THE YEAR ENDED DECEMBER 31, Ended 06/30/07 -------------------------------------------------------------- (unaudited) 2006 2005 2004 2003 2002 NET ASSET VALUE at beginning of period $ 13.78 $ 12.38 $ 11.36 $ 9.54 $ 7.19 $ 7.89 ------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(1) 0.16 0.19 0.17 0.12 0.11 0.09 Net realized and unrealized gain (loss) on investments 0.99 2.78 1.71 1.84 2.30 (0.72) ------------------------------------------------------------------------------- Total from investment operations 1.15 2.97 1.88 1.96 2.41 (0.63) ------------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income -- (0.20) (0.15) (0.14) (0.05) (0.07) Distributions from capital gains -- (1.37) (0.71) -- -- -- Return of Capital -- -- -- -- (0.01) -- ------------------------------------------------------------------------------- Total distributions -- (1.57) (0.86) (0.14) (0.06) (0.07) ------------------------------------------------------------------------------- Net increase (decrease) in net asset value 1.15 1.40 1.02 1.82 2.35 (0.70) ------------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 14.93 $ 13.78 $ 12.38 $ 11.36 $ 9.54 $ 7.19 ------------------------------------------------------------------------------- TOTAL RETURN(2) 8.35%(3) 24.19% 16.53% 20.48% 33.61% (7.98)% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $183,377 $165,704 $108,482 $78,477 $56,606 $19,959 Ratio of expenses to average net assets 1.21%(4) 1.22% 1.21% 1.21% 1.21% 1.21% Ratio of net investment income to average net assets 2.29%(4) 1.48% 1.47% 1.16% 1.38% 1.15% Portfolio Turnover 27%(3) 62% 52% 46% 33% 38%
---------------------------------- (1) Based on average shares outstanding during the year. (2) 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. (3) Not annualized. (4) Annualized. -------------------------------------------------------------------------------- 103 See accompanying Notes to Financial Statements. NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 1. DESCRIPTION OF THE FUND The Ultra Series Fund (the "Fund"), 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 Fund is a series fund with 15 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, International Stock Fund (collectively, the "Core Funds"), and the Conservative Allocation Fund, Moderate Allocation Fund and Aggressive Allocation Fund (collectively, the "Allocation Funds"). The Small Cap Value and Small Cap Growth Funds commenced operations on May 1, 2007. 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. As of the date of this report, the trustees have authorized the issuance of one class of shares of the funds designated as Class Z. Class Z shares are offered to separate accounts (the "Accounts") of CUNA Mutual Life Insurance Company and to qualified pension and retirement plans of CUNA Mutual Life Insurance Company or its affiliates ("CUNA Mutual Group"). The Fund 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 Fund does not offer shares directly to the general public. 2. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities 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: Securities and other investments are valued as follows: Equity securities and exchange-traded funds 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 Fund 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 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. Since the assets of each Allocation Fund consist primarily of shares of the underlying funds, the NAV of each Allocation 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. 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. Financial futures contracts generally are valued at the settlement price established by the exchange on which the contracts are primarily traded. The Investment Adviser's Securities 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. Forward foreign currency exchange contracts are valued based on quotations supplied by dealers in such contracts. The value of all assets and liabilities denominated in foreign currencies will be converted into U.S. dollar values at the noon Eastern Standard Time Reuters spot rate. All other securities for which either quotations are not readily available, no other sales have occurred, or do not in the Investment Adviser's opinion, reflect the current market value are appraised at their fair values as determined in good faith by the Investment Adviser and under the general supervision of the Board of Trustees. Because each Allocation Fund will only invest in underlying funds, government securities and short-term paper, it is not anticipated that the Investment Adviser will -------------------------------------------------------------------------------- 104 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) need to "fair" value any of the investments of the Allocation Funds. However, an underlying fund may need to "fair" value one or more of its investments. 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 at 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: index options and futures traded subsequent to the close; depository receipts; currency spot or forward markets that trade after pricing or foreign exchange; other derivative securities traded after the close such as WEBs and SPDRs. 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 Fund. 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). 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, 2007. 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 2003 through 2006. 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. 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, 2007, none of the funds have open repurchase agreements. The Fund has established a procedure providing that the securities serving as collateral for each repurchase agreement must be delivered to the Fund's custodian either physically or in book-entry form and that the collateral must be marked to 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 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. The Global Securities and International Stock Funds report 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. -------------------------------------------------------------------------------- 105 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 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 are 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: The Core Funds, 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. For the six months ended June 30, 2007, the Global Securities Fund 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 liquid high grade debt securities 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: The Core Funds, 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 in cash or 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, 2007, none of the funds have open futures contracts. DELAYED DELIVERY SECURITIES: The Core Funds 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 more than 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 in cash or 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. For the six months ended June 30, 2007, the Bond, High Income and Diversified Income Funds entered into such transactions, the market values of which are identified in each fund's Portfolio of Investments. 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. NEW ACCOUNTING PRONOUNCEMENTS: FASB also issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"), in September 2006, which is effective for fiscal years beginning after November 15, 2007. FAS 157 defines fair value, establishes a framework for measuring fair value and expands financial statement disclosures about fair value measurements. Management is currently evaluating the application of FAS 157 to the funds, and is not in a position at this time to estimate the significance of its impact, if any, on the funds' financial statements. 3. ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS The Fund has entered into a Management Agreement with MEMBERS Capital Advisors, Inc. ("MCA"), an affiliated company, whereby MCA provides or has arranged to provide directly or through third parties, investment advisory, custody, transfer -------------------------------------------------------------------------------- 106 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) agency, dividend disbursing, legal, accounting, and administrative services to the funds. MCA has entered into subadvisory agreements with certain subadvisers ("Subadvisers") for the management of the investments of the High Income Fund, Mid Cap Growth Fund, Small Cap Value Fund, Small Cap Growth Fund, Global Securities Fund, International Stock Fund and a portion of the Mid Cap Value Fund. For services under the Management Agreement, MCA is entitled to receive a management fee, which is calculated daily and paid monthly, at an annual rate based upon the following percentages of average daily net assets: .45% for the Money Market Fund, .55% for the Bond Fund, .75% for the High Income Fund, .70% for the Diversified Income Fund, .60% for the Large Cap Value Fund, .80% for the Large Cap Growth Fund, 1.00% for the Mid Cap Value Fund, .85% for the Mid Cap Growth Fund, 1.00% for Small Cap Value Fund, 1.00% for Small Cap Growth Fund, .95% for the Global Securities Fund, 1.20% for the International Stock Fund, and .20% for the Conservative Allocation Fund, Moderate Allocation Fund and Aggressive Allocation Fund. MCA is solely responsible for the payment of all fees to the Subadvisers. The Subadvisers for the funds are 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 (effective May 1, 2007) for the Global Securities Fund and Lazard Asset Management LLC for the International Stock Fund. MCA manages the other portion of the Mid Cap Value Fund, Bond Fund, Diversified Income Fund, Large Cap Growth Fund, Large Cap Value Fund, Money Market Fund, Conservative Allocation Fund, Moderate Allocation Fund and the Aggressive Allocation Fund. In addition to the management fee, the Fund is 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. Unaffiliated trustees receive from the Fund an attendance fee for each Board or committee meeting attended, with an additional remuneration paid to the Board of Trustees' chairman and audit committee chair. All shares are distributed through CUNA Brokerage Service, 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 5910 Mineral Point Road, Madison, WI 53705. The Fund has entered into an agreement with CUNA Mutual Life Insurance Company setting forth the terms and conditions pursuant to which the Accounts purchase and redeem shares of the funds. Investments in the Fund 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 subaccounts of the Accounts, and the assets of each subaccount are invested (without sales or redemption charges) in shares of the fund corresponding to that subaccount. Fund shares are sold 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 With respect to the Money Market Fund, dividends from net investment income and net realized gains are declared and reinvested daily in additional full and fractional shares of the Money Market Fund. The Bond Fund, High Income Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Value Fund, Mid Cap Growth Fund, Mid Cap Value Fund, Small Cap Value Fund, Small Cap Growth Fund, Global Securities Fund, International Stock Fund, and the Allocation Funds declare and reinvest dividends from net investment income annually in additional full and fractional shares of the respective funds. Distributions from net realized gains from investment transactions, if any, are distributed and reinvested to shareholders annually. 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 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. -------------------------------------------------------------------------------- 107 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 5. SECURITIES TRANSACTIONS For the six months ended June 30, 2007, 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 $ -- $ -- $ 28,382,094 $ 7,040,544 Moderate Allocation -- -- 94,282,987 12,964,121 Aggressive Allocation -- -- 28,511,439 6,442,899 Bond 113,233,137 104,291,247 16,413,716 38,212,728 High Income -- -- 61,540,041 56,765,050 Diversified Income 58,921,649 71,908,995 131,643,904 172,965,179 Large Cap Value -- -- 298,064,436 374,069,959 Large Cap Growth -- -- 242,685,731 284,263,458 Mid Cap Value -- -- 142,986,216 151,355,915 Mid Cap Growth -- -- 189,865,796 209,872,657 Small Cap Value(1) -- -- 5,143,411 106,209 Small Cap Growth(1) -- -- 6,723,903 1,688,368 Global Securities -- -- 61,977,052 60,937,057 International Stock -- -- 54,366,599 45,189,154
---------------------------------- (1) Commenced investment operations on May 1, 2007. 6. FOREIGN SECURITIES The Core Funds may invest in foreign securities, although only the Mid Cap Growth Fund, Global Securities Fund, and International Stock Fund anticipate having significant investments in such securities, and 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. 7. SECURITIES LENDING The Core Funds, except the Money Market Fund, 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, 2007, cash collateral received for funds engaged in securities lending was invested in the State Street Navigator Securities Lending Prime Portfolio. Additionally, the Bond, Diversified Income, Large Cap Value, Large Cap Growth, Mid Cap Value, Mid Cap Growth and Global Securities Funds received non-cash collateral, which they are not permitted to sell or repledge, in the amounts of $16,940,210, $6,449,139, $7,895,742, $14,390,300, $2,276,472, $2,503,215 and $1,534,764, respectively. The value of all cash collateral is included within the Portfolio of Investments with an offsetting liability, payable upon return of securities loaned, reflected on the Statements of Assets and Liabilities. -------------------------------------------------------------------------------- 108 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) Amounts earned as interest on investments of cash collateral, net of rebates and fees, are included in the Statements of Operations. The value of securities on loan at June 30, 2007 is as follows:
FUND VALUE OF SECURITIES ON LOAN ---- --------------------------- Bond $167,148,340 High Income 25,139,603 Diversified Income 85,082,785 Large Cap Value 30,870,270 Large Cap Growth 66,556,638
FUND VALUE OF SECURITIES ON LOAN ---- --------------------------- Mid Cap Value $ 78,753,446 Mid Cap Growth 104,776,714 Global Securities 10,396,411 International 8,918,506
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, 2006, which are available to offset future capital gains, if any:
CARRYOVER EXPIRING IN: ---------------------- 2007 2008 2009 2010 2011 2012 2013 2014 ---- ---- ---- ---- ---- ---- ---- ---- Bond $235,991 $7,577,224 $ -- $1,857,702 $ 104,606 $1,560,242 $1,445,891 $816,322 Large Cap Growth -- -- -- -- 31,762,903 -- -- --
The High Income, Diversified Income, Large Cap Value and Large Cap Growth Funds, utilized $275,264, $2,061,005, $2,762,950 and $29,127,421, respectively, of prior capital loss carryovers during the year ended December 31, 2006. After October 31, 2006, the following funds had capital and currency losses in the following amounts:
POST-OCTOBER CURRENCY LOSSES ---------------------------- Global Securities $ 4,112 International Stock 23,001
For federal income tax purposes, these amounts are deferred and deemed to have occurred in the next fiscal year. At June 30, 2007, 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 $ 439,691 $ (359,193) $ 80,498 Moderate Allocation 3,869,427 (928,105) 2,941,322 Aggressive Allocation 3,237,828 (48,527) 3,189,301 Bond 2,126,510 (20,494,709) (18,368,199) High Income 1,741,168 (2,679,433) (938,265) Diversified Income 48,682,874 (12,402,258) 36,280,616 Large Cap Value 352,905,790 (6,506,108) 346,399,682 Large Cap Growth 106,839,836 (13,411,640) 93,428,196 Mid Cap Value 61,007,179 (5,317,361) 55,689,818 Mid Cap Growth 64,184,270 (5,655,086) 58,529,184 Small Cap Value(1) 168,865 (144,811) 24,054 Small Cap Growth(1) 282,050 (118,471) 163,579 Global Securities 2,409,415 (1,510,607) 898,808 International Stock 39,814,462 (3,043,674) 36,770,788
---------------------------------- (1) Commenced investment operations on May 1, 2007. The differences between cost amounts for book purposes and tax purposes are primarily due to the tax deferral of losses. -------------------------------------------------------------------------------- 109 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 9. CONCENTRATION OF RISK Investing in certain financial instruments, including forward foreign currency contracts and futures contracts, involves certain risks. 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 Allocation 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 it's 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, the Allocation Funds are subject to the risks of the underlying funds in direct proportion to the allocation of its assets among the underlying funds. Additionally, the Allocation Funds are subject to asset allocation risk, which is the risk that the selection of the underlying funds and 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. -------------------------------------------------------------------------------- 110 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 10. AFFILIATED COMPANY TRANSACTIONS The Allocation 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. A summary of the transactions with each affiliated underlying fund during the period ended June 30, 2007 follows:
BALANCE OF BALANCE OF SHARES SHARES REALIZED HELD AT GROSS GROSS HELD AT VALUE AT GAIN DISTRIBUTIONS FUND/UNDERLYING FUND 12/31/2006 ADDITIONS SALES 06/30/2007 06/30/2007 (LOSS) RECEIVED(2) -------------------- ---------- --------- ----- ---------- ---------- ------ ----------- CONSERVATIVE ALLOCATION FUND --------------------------------------------------------------------------------------------------------------- MEMBERS Bond Fund Class Y 274,769 352,315 259,820 367,264 $ 3,529,404 $ (9,975) $ 61,113 MEMBERS Cash Reserves Fund Class Y 1,078,886 2,203,443 3,282,329 -- -- -- 37,171 MEMBERS High Income Fund Class Y 57,564 145,329 10,7329 192,164 1,420,094 (520) 29.982 MEMBERS International Stock Fund Class Y 30,879 71,433 7,238 95,074 1,531,638 (5,387) -- MEMBERS Large Cap Growth Fund Class Y(1) 65,847 158,020 11,834 212,033 3,394,651 (950) -- MEMBERS Large Cap Value Fund Class Y 49,158 115,878 11,108 153,928 2,581,380 (2,031) -- MEMBERS Mid Cap Growth Fund Class Y(1) 49,247 112,897 11,698 150,446 1,113,297 (689) -- --------------------------------------------------------------------------------------------------------------- TOTALS $13,570,464 $(19,552) $128,266
BALANCE OF BALANCE OF SHARES SHARES REALIZED HELD AT GROSS GROSS HELD AT VALUE AT GAIN DISTRIBUTIONS FUND/UNDERLYING FUND 12/31/2006 ADDITIONS SALES 06/30/2007 06/30/2007 (LOSS) RECEIVED(2) -------------------- ---------- --------- ----- ---------- ---------- ------ ----------- MODERATE ALLOCATION FUND ---------------------------------------------------------------------------------------------------------------- MEMBERS Bond Fund Class Y 379,093 903,166 19,414 1,262,845 $12,135,937 $ (2,164) $167,349 MEMBERS Cash Reserves Fund Class Y 1,864,303 3,269,683 5,133,986 -- -- -- 67,623 MEMBERS High Income Fund Class Y 340,940 775,883 28,660 1,088,163 8,041,528 (1,394) 180,836 MEMBERS International Stock Fund Class Y 320,748 668,706 42,858 946,596 15,249,654 (47,901) -- MEMBERS Large Cap Growth Fund Class Y(1) 385,735 603,376 141,115 847,996 13,576,423 (2,862) -- MEMBERS Large Cap Value Fund Class Y 267,282 567,345 33,315 801,312 13,438,010 (8,484) -- MEMBERS Mid Cap Growth Fund Class Y(1) 590,989 925,102 225,481 1,290,610 9,550,513 (13,243) -- MEMBERS Mid Cap Value Fund Class Y 177,595 278,021 67,177 388,439 5,484,756 (162,599) -- MEMBERS Small Cap Growth Fund Class Y(1) -- 534,990 14,355 520,635 5,779,052 (3,614) -- MEMBERS Small Cap Value Fund Class Y(1) -- 402,972 10,520 392,452 4,218,858 (2,630) -- ---------------------------------------------------------------------------------------------------------------- TOTALS $87,474,732 $(244,891) $415,808
---------------------------------- (1) Non-income producing. (2) Distributions received includes distributions from net investment income and from capital gains from the underlying funds. -------------------------------------------------------------------------------- 111 NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
BALANCE OF BALANCE OF SHARES SHARES REALIZED HELD AT GROSS GROSS HELD AT VALUE AT GAIN DISTRIBUTIONS FUND/UNDERLYING FUND 12/31/2006 ADDITIONS SALES 06/30/2007 06/30/2007 (LOSS) RECEIVED(2) -------------------- ---------- --------- ----- ---------- ---------- ------ ----------- AGGRESSIVE ALLOCATION FUND --------------------------------------------------------------------------------------------------------------- MEMBERS International Stock Fund Class Y 352,708 378,772 36,764 694,716 $11,191,877 $ (46,977) -- MEMBERS Large Cap Growth Fund Class Y(1) 290,110 228,358 105,145 413,323 6,617,303 1,165 -- MEMBERS Large Cap Value Fund Class Y 197,769 212,532 17,303 392,998 6,590,571 (5,342) -- MEMBERS Mid Cap Growth Fund Class Y(1) 480,046 385,837 155,004 710,879 5,260,506 (7,789) -- MEMBERS Mid Cap Value Fund Class Y 189,891 151,717 61,408 280,200 3,956,419 (145,429) -- MEMBERS Small Cap Growth Fund Class Y(1) -- 324,108 6,272 317,836 3,527,981 (1,246) -- MEMBERS Small Cap Value Fund Class Y(1) -- 314,689 6,054 308,635 3,317,827 (934) -- --------------------------------------------------------------------------------------------------------------- TOTALS $40,462,484 $(206,552) $--
---------------------------------- (1) Non-income producing. (2) Distributions received includes distributions from net investment income and from capital gains from the underlying funds. -------------------------------------------------------------------------------- 112 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 trustees 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 are based on an investment of $1,000 invested at the beginning of the period and held for the six-month period ended June 30, 2007. Expenses paid during the period in the tables 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), except for the Small Cap Value and Small Cap Growth Funds', which had 61 days. ACTUAL EXPENSES The table provides information about actual account values and actual expenses 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. 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.
ACTUAL HYPOTHETICAL -------------------- -------------------- EXPENSES EXPENSES BEGINNING ANNUAL ENDING PAID ENDING PAID ACCOUNT EXPENSE ACCOUNT DURING ACCOUNT DURING FUND VALUE RATIO VALUE PERIOD VALUE PERIOD ---- ----- ----- ----- ------ ----- ------ Conservative Allocation $1,000 0.21% $1,023.40 $1.05 $1,023.75 $1.05 Moderate Allocation 1,000 0.20 1,051.90 1.02 1,023.80 1.00 Aggressive Allocation 1,000 0.21 1,084.20 1.09 1,023.75 1.05 Money Market 1,000 0.46 1,023.80 2.31 1,022.51 2.31 Bond 1,000 0.56 998.30 2.77 1,022.02 2.81 High Income 1,000 0.76 1,027.90 3.82 1,021.03 3.81 Diversified Income 1,000 0.71 1,017.40 3.55 1,021.27 3.56 Large Cap Value 1,000 0.61 1,056.20 3.11 1,021.77 3.06 Large Cap Growth 1,000 0.81 1,070.50 4.16 1,020.78 4.06 Mid Cap Value 1,000 1.01 1,083.40 5.22 1,019.79 5.06 Mid Cap Growth 1,000 0.86 1,144.20 4.57 1,020.53 4.31 Small Cap Value(1) 1,000 1.04 1,007.80 1.72 1,006.51 1.72 Small Cap Growth(1) 1,000 1.04 1,055.60 1.76 1,006.51 1.72 Global Securities 1,000 0.96 1,075.20 4.94 1,020.03 4.81 International Stock 1,000 1.21 1,083.50 6.25 1,018.79 6.06
---------------------------------- (1) Commenced investment operations on May 1, 2007. PLEASE NOTE THAT THE EXPENSES SHOWN IN THE TABLE ARE MEANT TO HIGHLIGHT YOUR ONGOING COSTS OF THE FUNDS AND DO NOT REFLECT ANY SEPARATE ACCOUNT FEES, CHARGES, OR EXPENSES IMPOSED BY THE VARIABLE ANNUITY OR VARIABLE LIFE -------------------------------------------------------------------------------- 113 OTHER INFORMATION (UNAUDITED) INSURANCE CONTRACTS, OR RETIREMENT AND PENSION PLANS THAT USE THE FUNDS. IF THESE FEES, CHARGES OR EXPENSES WERE INCLUDED, YOUR COSTS WOULD HAVE BEEN HIGHER. Therefore, 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. AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES The Fund 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 SEC'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 Fund 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 Life Insurance Company at 1-800-798-5500. The proxy voting records for the Fund 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. BOARD OF TRUSTEES' APPROVAL OF INVESTMENT ADVISORY AND SUBADVISORY AGREEMENTS Under the Investment Company Act, each fund's investment advisory agreement, and any subadvisory agreement, must be approved at least annually by the fund's board of trustees, including a majority of the trustees who are not "interested persons" under the Act. The board of trustees of Ultra Series Fund's portfolios (the "Funds") reviews the performance of the Funds and their investment adviser and subadvisers at each regular board meeting. At these meetings, the board also receives 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 their investment adviser and subadvisers. At an in-person meeting held March 1, 2007, the Board approved a subadvisory agreement between MCA and Mondrian Investment Partners Limited ("Mondrian"), principal business address Fifth Floor, 10 Gresham Street, London EC2V 7JD, United Kingdom, to manage the Ultra Series Global Securities Fund effective May 1, 2007. Before the March 1 meeting, the Board asked Mondrian to provide written information addressing factors to be considered by the trustees in deciding whether or not to approve the subadvisory agreement. In addition, counsel to the independent trustees advised the Board concerning its duties under the 1940 Act and state law with respect to approval of the subadvisory agreement. At the March 1 meeting, representatives of MCA reviewed the process by which MCA developed its recommendation to retain Mondrian as subadviser for the Fund, and they responded to questions from trustees concerning this process and related matters. In addition, at this meeting representatives of Mondrian made a presentation and responded to follow-up questions from trustees. After these presentations and discussions, the Board unanimously approved the subadvisory agreement. In determining to approve the agreement, the Board considered the following factors and reached the following conclusions: NATURE, EXTENT AND QUALITY OF SERVICES TO BE PROVIDED BY MONDRIAN: The trustees received and considered a variety of information pertaining to the nature, extent and quality of the services proposed to be provided by Mondrian. This information included professional qualifications and experience of Mondrian's proposed portfolio management team for the Fund; the portfolio management processes utilized by this team; Mondrian's organization, resources and research capabilities; and Mondrian's compliance, regulatory and litigation experience, its portfolio transaction execution policies and practices, and its policies and procedures for allocating transactions among accounts. After reviewing this information and discussing it with representatives of Mondrian and MCA, the Board concluded that it was satisfied with the nature, extent and quality of the services proposed to be provided by Mondrian and that these services compare satisfactorily to those provided by others in the industry. INVESTMENT PERFORMANCE OF THE FUND: Because Mondrian had not managed the Fund previously, the Board reviewed performance information pertaining to other accounts which Mondrian manages in the same style which it proposed to utilize -------------------------------------------------------------------------------- 114 OTHER INFORMATION (UNAUDITED) for the Fund. This performance information covered a seven-year period ended December 31, 2006, and it compared the other Mondrian-managed accounts' performance to that of an unmanaged benchmark index, to the performance of selected other funds, and to the performance of the Fund under its former subadviser. The Board noted that the other Mondrian-managed accounts outperformed the benchmark index and the Fund over the period presented and that its performance compared favorably to the other selected funds' performance. Based on the foregoing review, the trustees concluded that they were comfortable with the performance which Mondrian might be expected to produce for the Fund. COST OF SERVICES PROVIDED AND PROFITABILITY: At the March 1 meeting, the trustees considered information provided by Mondrian concerning the management fees it charges to other funds and accounts with similar investment objectives and policies. The trustees concluded that the subadvisory fee proposed was in line with Mondrian's other fees. Because Mondrian had not previously managed the Fund, the trustees did not request or consider information pertaining to the profitability of the proposed subadvisory relationship to Mondrian. However, as part of its annual review of MCA's advisory agreement with the Fund, at a meeting held on November 30, 2006 the Board considered the fees and expenses borne by the Fund as compared to those borne by comparable funds, as well as the profitability of the Fund's advisory agreement to MCA, and concluded it was satisfied concerning these matters. ECONOMIES OF SCALE: The Board noted that Mondrian's proposed subadvisory agreement with MCA included breakpoints providing for lower subadvisory fees at higher asset levels, although the Fund's advisory agreement with MCA does not. At its November 30, 2006 meeting, the Board had determined not to pursue breakpoints in the Fund's advisory agreement with MCA at that time in light of the Fund's unitary fee structure (under which MCA bears the risk of increases in most other service providers' fees) and the current size of the Fund. OTHER BENEFITS TO MONDRIAN FROM ITS PROPOSED RELATIONSHIP WITH THE FUND: The Board also considered the nature and extent of other benefits which may flow to Mondrian from its relationship with the Fund. In this regard, the trustees noted Mondrian's representation that it does not participate in soft dollar arrangements. The trustees concluded that the nature and extent of any additional benefits to Mondrian from its relationship with the Fund are not expected to be unreasonable when considered in the context of the overall services which Mondrian would provide and the subadvisory fees it would receive. BOARD CONCLUSION: After taking the foregoing information and the other information provided by MCA and Mondrian into account, the Board, acting in the exercise of its business judgment, unanimously approved the subadvisory agreement between MCA and Mondrian. In doing so, the Board did not assign specific weights to the various factors considered, nor did it deem any one factor or set of factors to be decisive. Instead, it considered the total mix of information provided to it in reaching its decision. -------------------------------------------------------------------------------- 115 TRUSTEES AND OFFICERS Each trustee and officer oversees 29 portfolios in the fund complex, which consists of the Ultra Series Fund with 15 portfolios and the MEMBERS Mutual Funds with 14 portfolios. The address of each trustee and officer is 5910 Mineral Point Road, Madison WI 53705. The Statement of Additional Information, which includes additional information about the trustees and officers, is available at no cost on the SEC's web site at www.sec.gov or by calling CUNA Mutual Life Insurance Company at 1-800-798-5500.
NAME; POSITION(S) HELD WITH THE FUND & YEAR ELECTED(1); PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS; YEAR OF BIRTH OTHER OUTSIDE DIRECTORSHIPS ----------------------------------------------------------------------------------------------------- INTERESTED TRUSTEES AND OFFICERS ----------------------------------------------------------------------------------------------------- David P. Marks, CFA CUNA Mutual Insurance Society: Chief Investment Trustee, President & Officer (since 2005); MEMBERS Capital Advisors, Principal Executive Officer (2006) Inc.: President (since 2005); CUNA Mutual Life 1947 Insurance Company: Chief Investment Officer (since 2005); Citigroup Insurance Investors: Chief Investment Officer (2004-2005); CIGNA Investments: Chief Investment Officer, (2002-2004); Green Mountain Partners: Partner (2001-2002); Allianz Investments: Chief Investment Officer, (1991-2001). Other Directorships: CBRE Realty Finance ----------------------------------------------------------------------------------------------------- Lawrence R. Halverson, CFA MEMBERS Capital Advisors, Inc.: Managing Director, Trustee (1997) Equities (since 2006), Senior Vice Vice President (1988) President-Equities (1996-2006). 1945 Other Directorships: None ----------------------------------------------------------------------------------------------------- Mary E. Hoffmann, CPA MEMBERS Capital Advisors, Inc.: Vice Treasurer (1999) President-Finance and Operations (since 2006), 1970 Assistant Vice President-Finance and Operations (2001-2005); Product Operations and Finance Manager (1998-2001). Other Directorships: None ----------------------------------------------------------------------------------------------------- Holly S. Baggot MEMBERS Capital Advisors, Inc.: Director, Mutual Secretary and Assistant Treasurer (2003) Fund Operations, (since 2006), Operations 1960 Officer-Mutual Funds (2005-2006); Senior Manager Product and Fund Operations (2001-2005). Other Directorships: None ----------------------------------------------------------------------------------------------------- Dan P. Owens MEMBERS Capital Advisors, Inc.: Director, Assistant Treasurer (2001) Investment Operations, (since 2006), Operations 1966 Officer-Investments (2005-2006); Senior Manager Portfolio Operations (2001-2005). Other Directorships: None ----------------------------------------------------------------------------------------------------- Molly Nelson MEMBERS Capital Advisors, Inc.: Chief Compliance Chief Compliance Officer (2005) Officer (since May 2005); Harris Associates L.P.: 1962 Chief Compliance Officer/Advisor (1985-2005). Other Directorships: None ----------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES ----------------------------------------------------------------------------------------------------- Rolf F. Bjelland, CLU Lutheran Brotherhood Mutual Funds: Chairman and Chairman (2006) President (1983-2002); Lutheran Brotherhood (now Trustee (2003) Thrivent Financial) Chief Investment Officer 1938 (1983-2002). Other Directorships: Regis Corp, Director (since 1982). ----------------------------------------------------------------------------------------------------- Linda S. Foltz, CPA Dougherty Consulting, LLC: President/Owner (since Trustee (2006) 2005); Direct Supply, Inc.: Executive Vice 1950 President of Corporate Development and Chief Financial Officer (1988-2005). Other Directorships: Direct Supply, Inc., Director (since 2003). ----------------------------------------------------------------------------------------------------- Steven P. Riege The Rgroup: Owner/President (since 2001); Robert Trustee (2005) W. Baird & Company: Senior Vice President 1954 Marketing and First Vice President Human Resources (1986-2001). Other Directorships: None ----------------------------------------------------------------------------------------------------- Richard E. Struthers Clearwater Capital Management: Chairman and Chief Trustee (2004) Executive Officer (since 1998). 1952 Other Directorships: None -----------------------------------------------------------------------------------------------------
(1) The board of trustees adopted term limits authorizing each independent trustee to serve in such capacity until the first to occur: (1) serving one twelve-year term, or (2) reaching the age of 72; provided, however, that no independent trustee serving on the Trust's Board on the date of adoption (September 30, 2004) shall be required to resign pursuant to the terms hereto. -------------------------------------------------------------------------------- 116 (CUNA MUTUAL GROUP LOGO) CUNA Mutual Life Insurance Company 2000 Heritage Way Waverly, IA 50677 Form 1950-0807 (CUNA MUTUAL GROUP LOGO) CUNA Mutual Life Insurance Company 2000 Heritage Way Waverly, IA 50677 Form 1950-0807 PRESORTED STANDARD US POSTAGE PAID PERMIT #3602 BERWYN, IL 60402 ITEM 2. CODE OF ETHICS. Not required in this semi-annual report filed on Form N-CSR. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not required in this semi-annual report filed on Form N-CSR. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not required in this semi-annual report filed on Form N-CSR. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not Applicable. ITEM 6. SCHEDULE OF INVESTMENTS. A copy of the Schedule I -- Investments in Securities of Unaffiliated Issuers is included as part of the report to shareholders filed under Item 1 of this Form N-CSR. 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 PURCHASES. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS Not applicable. ITEM 11. CONTROLS AND PROCEDURES. (a) The President and Treasurer of the Trust have concluded that the Trust's Disclosure Controls and Procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report on Form N-CSR. (b) There have been no changes in the Trust's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to affect, the Trust's internal control over financial reporting. ITEM 12. EXHIBITS. (a) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. 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 FUNDS BY: /s/David P. Marks ---------------------------------- David P. Marks President DATE: 08/20/07 -------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. BY: /s/David P. Marks ---------------------------------- David P. Marks President, Ultra Series Funds DATE: 08/20/07 -------- BY: /s/Mary E. Hoffmann ---------------------------------- Mary E. Hoffmann Treasurer, Ultra Series Funds DATE: 08/20/07 -------- EXHIBIT INDEX Exhibit 12(a)(i) - Section 302 Certification of David P. Marks, President, Ultra Series Funds Exhibit 12(a)(ii) - Section 302 Certification of Mary E. Hoffmann, Treasurer, Ultra Series Funds Exhibit 12(b) - Section 906 Certification of David P. Marks and Mary E. Hoffmann