-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, VONUZKNPR4AZeRvj/L93jbyMJPUzzmjJx+KGpGYZdnc17NQik7D2RrS/UucTvYaJ zYz2cBaGvoK+PSxLJqasfg== 0001209286-08-000243.txt : 20080827 0001209286-08-000243.hdr.sgml : 20080827 20080827142309 ACCESSION NUMBER: 0001209286-08-000243 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20080630 FILED AS OF DATE: 20080827 DATE AS OF CHANGE: 20080827 EFFECTIVENESS DATE: 20080827 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ULTRA SERIES FUND CENTRAL INDEX KEY: 0000732697 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-04815 FILM NUMBER: 081041610 BUSINESS ADDRESS: STREET 1: 2000 HERITAGE WAY CITY: WAVERLY STATE: IA ZIP: 50677 BUSINESS PHONE: 3193524090 MAIL ADDRESS: STREET 1: 2000 HERITAGE WAY CITY: WAVERLY STATE: IA ZIP: 50677 0000732697 S000019110 Target Retirement 2020 Fund C000052853 Target Retirement 2020 Fund Class Z 0000732697 S000019111 Target Retirement 2030 Fund C000052854 Target Retirement 2030 Fund Class Z 0000732697 S000019112 Target Retirement 2040 Fund C000052855 Target Retirement 2040 Fund Class Z 0000732697 S000019976 Money Market Fund C000056034 Money Market Fund Class Z 0000732697 S000019977 International Stock Fund C000056035 International Stock Fund Class Z 0000732697 S000019978 Bond Fund C000056036 Bond Fund Class Z 0000732697 S000019979 High Income Fund C000056037 High Income Fund Class Z 0000732697 S000019980 Diversified Income Fund C000056038 Diversified Income Fund Class Z 0000732697 S000019981 Large Cap Value Fund C000056039 Large Cap Value Fund Class Z 0000732697 S000019982 Large Cap Growth Fund C000056040 Large Cap Growth Fund Class Z 0000732697 S000019983 Mid Cap Value Fund C000056041 Mid Cap Value Fund Class Z 0000732697 S000019984 Mid Cap Growth Fund C000056042 Mid Cap Growth Fund Class Z 0000732697 S000019985 Global Securities Fund C000056043 Global Securities Fund Class Z 0000732697 S000019999 Conservative Allocation Fund C000056077 Conservative Allocation Fund Class Z 0000732697 S000020000 Aggressive Allocation Fund C000056078 Aggressive Allocation Fund Class Z 0000732697 S000020001 Moderate Allocation Fund C000056079 Moderate Allocation Fund Class Z 0000732697 S000020002 Small Cap Growth Fund C000056080 Small Cap Growth Fund Class Z 0000732697 S000020003 Small Cap Value Fund C000056081 Small Cap Value Fund Class Z N-CSRS 1 e65504.txt As filed with the Securities and Exchange Commission on August 27, 2008 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 Fund 5910 Mineral Point Road Madison, WI 53705 (608) 238-5851 (Registrant's Exact Name, Address and Telephone Number) Pamela M. Krill, Esquire CUNA Mutual Insurance Society Managing Associate General Counsel 5910 Mineral Point Road Madison, WI 53705 (Name and Address of Agent for Service) -------------------------------------------- Date of fiscal year end: December 31 Date of reporting period: June 30, 2008 ITEM 1. REPORTS TO STOCKHOLDERS A copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (the "1940 Act") appears beginning on the following page. 2 - -------------------------------------------------------------------------------- SEMIANNUAL REPORT - -------------------------------------------------------------------------------- FOR PERIOD ENDED JUNE 30, 2008 Conservative Allocation, Moderate Allocation, Aggressive Allocation, Money Market, Bond, High Income, Diversified Income, Large Cap Value, Large Cap Growth, Mid Cap Value, Mid Cap Growth, Small Cap Value, Small Cap Growth, Global Securities, International Stock, Target Retirement 2020, Target Retirement 2030, and Target Retirement 2040 Funds of the Ultra Series Fund MEMBERS(R) Variable Annuity MEMBERS(R) Variable Annuity II MEMBERS(R) Choice Variable Annuity MEMBERS(R) Variable Annuity III MEMBERS(R) Variable Universal Life MEMBERS(R) Variable Universal Life II DISTRIBUTED BY: CUNA Brokerage Services, Inc. Office of Supervisory Jurisdiction 2000 Heritage Way Waverly, IA 50677 Member FINRA & SIPC TELEPHONE: (319) 352-4090 (800) 798-5500 [LOGO OF MEMBERS](TM) INSURANCE & INVESTMENTS This material is for reporting purposes only and shall not be used in connection with a solicitation, offer or any proposed sale or purchase of securities unless preceded or accompanied by a prospectus. - -------------------------------------------------------------------------------- MOVE CONFIDENTLY INTO THE FUTURE(TM) SEMIANNUAL REPORT This booklet contains a semiannual report for the Ultra Series Fund which is available through our family of MEMBERS(R) Variable Annuity and MEMBERS(R) Variable Universal Life contracts. The Ultra Series Fund is one of the underlying mutual fund families supporting the subaccounts of the CUNA Mutual Variable Life Insurance Account and CUNA Mutual 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, Global Securities, International Stock, Target Retirement 2020, Target Retirement 2030, and Target Retirement 2040 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 Funds. If you own a MEMBERS(R) Variable Annuity, 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 about the Ultra Series Fund, 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. Central time. Consider the investment objectives, risks and charges and expenses of the investment carefully before allocating to any subaccount. As with all mutual funds, the Securities and Exchange Commission (the "SEC") has not approved or disapproved the shares of these funds, nor does the SEC guarantee the accuracy or adequacy of the prospectus. Any statement to the contrary is a criminal offense. ================================================================================ LETTER TO SHAREHOLDERS - -------------------------------------------------------------------------------- [PHOTO OF DAVID P. MARKS] DAVID P. MARKS Dear Investor: I am pleased to present the semiannual report for the Ultra Series Fund for the six-month period ended June 30, 2008. Despite this being an unprecedented time in the financial markets, the Ultra Series Fund posted very respectable competitive investment returns for the first half of the year across most of the 18 investment portfolios (the "funds"). The reports that follow provide specific details on each fund's investment performance, portfolio holdings, and financial statements and highlights. The volatility in the markets along with a weak U.S. Dollar, high oil prices and inflationary concerns continue to stress investors. The global credit crisis brought on by the proliferation of sub-prime loans is still developing with the effects likely to be long-lasting and broad for world economies. Managing portfolios of bonds and stocks in this environment is challenging to say the least. The investment professionals managing your investments are working diligently to identify prevailing risks and prudently choose stocks and bonds that present sound investment opportunities that will focus on delivering long-term value generation rather than short term immediate impact. As always, your long-term success as an investor in the Ultra Series Fund is our top priority. We appreciate the confidence you have placed in us and we are focusing on our role as stewards of your assets as our primary responsibility. Please call me directly if you have any questions or concerns. Sincerely, /s/ David P. Marks David P. Marks, CFA President, Ultra Series Fund - -------------------------------------------------------------------------------- ================================================================================ - -------------------------------------------------------------------------------- This page is left blank intentionally ================================================================================ TABLE OF CONTENTS - --------------------------------------------------------------------------------
PAGE ---- FUND PERFORMANCE REVIEWS Conservative Allocation Fund ................................... 2 Moderate Allocation Fund ....................................... 3 Aggressive Allocation Fund ..................................... 4 Bond Fund ...................................................... 5 High Income Fund ............................................... 6 Diversified Income Fund ........................................ 7 Large Cap Value Fund ........................................... 8 Large Cap Growth Fund .......................................... 9 Mid Cap Value Fund ............................................. 10 Mid Cap Growth Fund ............................................ 11 Small Cap Value Fund ........................................... 12 Small Cap Growth Fund .......................................... 13 Global Securities Fund ......................................... 14 International Stock Fund ....................................... 15 Target Retirement 2020 Fund .................................... 16 Target Retirement 2030 Fund .................................... 17 Target Retirement 2040 Fund .................................... 18 PORTFOLIOS OF INVESTMENTS Conservative Allocation Fund ................................... 19 Moderate Allocation Fund ....................................... 20 Aggressive Allocation Fund ..................................... 22 Money Market Fund .............................................. 23 Bond Fund ...................................................... 24 High Income Fund ............................................... 30 Diversified Income Fund ........................................ 36 Large Cap Value Fund ........................................... 43 Large Cap Growth Fund .......................................... 46 Mid Cap Value Fund ............................................. 49 Mid Cap Growth Fund ............................................ 53 Small Cap Value Fund ........................................... 55 Small Cap Growth Fund .......................................... 57 Global Securities Fund ......................................... 61 International Stock Fund ....................................... 64 Target Retirement 2020 Fund .................................... 70 Target Retirement 2030 Fund .................................... 71 Target Retirement 2040 Fund .................................... 72 FINANCIAL STATEMENTS Statements of Assets and Liabilities ........................... 74 Statements of Operations ....................................... 78 Statements of Changes in Net Assets ............................ 82 Financial Highlights ........................................... 90 NOTES TO FINANCIAL STATEMENTS ......................................... 99 OTHER INFORMATION ..................................................... 109 TRUSTEES AND OFFICERS ................................................. 111
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 Insurance Society, 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. - -------------------------------------------------------------------------------- ================================================================================ CONSERVATIVE ALLOCATION FUND PERFORMANCE REVIEW - -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,4)
CONSERVATIVE MERRILL LYNCH CONSERVATIVE ALLOCATION U.S. CORPORATE, ALLOCATION FUND CUSTOM GOVERNMENT & MORTGAGE FUND INDEX(2) INDEX(3) 6/30/2006 $10,000 $10,000 $10,000 12/31/2006 10,734 10,701 10,550 6/30/2007 10,986 11,030 10,650 12/31/2007 11,155 11,398 11,306 6/30/2008 10,865 11,119 11,456
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(4,7)
EXPENSE 1 Year Since Inception(5) RATIO(6) ---------------------------- -------- CONSERVATIVE ALLOCATION FUND -1.10% 4.23% 0.96% Conservative Allocation Fund Custom Index(2) 0.81 5.43 NA Merrill Lynch U.S. Corporate, Government & Mortgage Index(3) 7.57 7.01 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. Corporate, Government & Mortgage Index, 30% Russell 1000(R) Index, and 15% 90-Day U.S. Treasury Bills. A description of the Merrill Lynch U.S. Corporate, Government & Mortgage Index is set forth below. The Russell 1000(R) Index is a large-cap market index which measures the performance of the 1,000 largest companies in the Russell 3000(R) Index (the Russell 3000(R) Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization). (3) The Merrill Lynch U.S. Corporate, Government & Mortgage Index, formerly the Merrill Lynch U.S. Domestic Master Index, is broad-based measure of the total rate of return performance of the U.S. investment-grade bond markets. The index is a capitalization-weighted aggregation of outstanding U.S. treasury, agency and supranational mortgage pass-through, and investment-grade corporate bonds meeting specified selection criteria. (4) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. (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 expenses incurred by the fund, as described in the current Prospectus. (7) MEMBERS Capital Advisors reduced its management fee for the Conservative Allocation Fund from June 30, 2006 through April 30, 2008. If the management fee had not been reduced, returns would have been lower. - -------------------------------------------------------------------------------- 2 ================================================================================ MODERATE ALLOCATION FUND PERFORMANCE REVIEW - -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,4)
MODERATE MODERATE ALLOCATION ALLOCATION FUND RUSSELL 1000(R) FUND CUSTOM INDEX(2) INDEX(3) 6/30/2006 $10,000 $10,000 $10,000 12/31/2006 10,987 10,976 11,216 6/30/2007 11,558 11,547 12,021 12/31/2007 11,598 11,688 11,864 6/30/2008 10,987 10,983 10,536
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(4,7)
EXPENSE 1 Year Since Inception(5) RATIO(6) ---------------------------- -------- MODERATE ALLOCATION FUND -4.93% 4.81% 1.18% Moderate Allocation Fund Custom Index(2) -4.88 4.79 NA Russell 1000(R) Index(3) -12.36 2.64 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the index. (2) The Moderate Allocation Fund Custom Index consists of 50% Russell 3000(R) Index, 30% Merrill Lynch U.S. Corporate, Government & Mortgage Index, 10% MSCI EAFE Index and 10% 90-Day U.S. Treasury Bills. A description of the Russell 3000(R) Index is set forth below. The Merrill Lynch U.S. Corporate, Government & Mortgage Index, formerly the Merrill Lynch U.S. Domestic Master Index, is a broad-based measure of the total rate of return performance of the U.S. investment-grade bond markets. The index is a capitalization-weighted aggregation of outstanding U.S. treasury, agency and supranational mortgage pass-through, and investment-grade corporate bonds meeting specified selection criteria. The MSCI EAFE (Europe, Australasia & Far East) Index is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. (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 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 expenses incurred by the fund, as described in the current Prospectus. (7) MEMBERS Capital Advisors reduced its management fee for the Moderate Allocation Fund from June 30, 2006 through April 30, 2008. If the management fee had not been reduced, returns would have been lower. - -------------------------------------------------------------------------------- 3 ================================================================================ AGGRESSIVE ALLOCATION FUND PERFORMANCE REVIEW - -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,4)
AGGRESSIVE AGGRESSIVE ALLOCATION ALLOCATION FUND RUSSELL 3000(R) FUND CUSTOM INDEX(2) INDEX(3) 6/30/2006 $10,000 $10,000 $10,000 12/31/2006 11,249 11,467 11,206 6/30/2007 12,197 12,473 12,003 12/31/2007 12,115 12,435 11,782 6/30/2008 11,145 11,099 10,480
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(4,7)
EXPENSE 1 Year Since Inception(5) RATIO(6) ---------------------------- -------- AGGRESSIVE ALLOCATION FUND -8.62% 5.56% 1.37% Aggressive Allocation Fund Custom Index(2) -11.01 5.34 NA Russell 3000(R) Index(3) -12.69 2.37 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 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 expenses incurred by the fund, as described in the current Prospectus. (7) MEMBERS Capital Advisors reduced its management fee for the Aggressive Allocation Fund from June 30, 2006 through April 30, 2008. If the management fee had not been reduced, returns would have been lower. - -------------------------------------------------------------------------------- 4 ================================================================================ BOND FUND PERFORMANCE REVIEW - -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
MERRILL LYNCH CORPORATE, GOVERNMENT & BOND FUND MORTGAGE INDEX(2) 6/30/1998 $10,000 $10,000 12/31/1998 10,275 10,465 6/30/1999 10,249 10,308 12/31/1999 10,350 10,365 6/30/2000 10,617 10,779 12/31/2000 11,189 11,581 6/30/2001 11,599 11,975 12/31/2001 12,120 12,545 6/30/2002 12,536 13,004 12/31/2002 13,156 13,851 6/30/2003 13,557 14,398 12/31/2003 13,556 14,421 6/30/2004 13,510 14,441 12/31/2004 14,013 15,047 6/30/2005 14,388 15,448 12/31/2005 14,365 15,432 6/30/2006 14,253 15,312 12/31/2006 14,941 16,100 6/30/2007 14,916 16,253 12/31/2007 15,695 17,254 6/30/2008 15,846 17,483
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE 1 Year 3 Years 5 Years 10 Years RATIO(4) ------------------------------------- -------- BOND FUND 6.23% 3.27% 3.17% 4.71% 0.56% Merrill Lynch U.S. Corporate, Government & Mortgage Index(2) 7.57 4.21 3.95 5.74 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the index. (2) The Merrill Lynch U.S. Corporate, Government & Mortgage Index, formerly the Merrill Lynch U.S. Domestic Master Index, is a broad-based measure of the total rate of return performance of the U.S. investment-grade bond markets. The index is a capitalization-weighted aggregation of outstanding U.S. treasury, agency and supranational mortgage pass-through, and investment-grade corporate bonds meeting specified selection criteria. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. (4) The expense ratio is based on expenses incurred by the fund, as described in the current Prospectus. - -------------------------------------------------------------------------------- 5 ================================================================================ HIGH INCOME FUND PERFORMANCE REVIEW - -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,4)
MERRILL LYNCH U.S. HIGH YIELD MERRILL LYNCH MASTER II U.S. HIGH YIELD HIGH INCOME FUND CONSTRAINED INDEX(2) MASTER II INDEX(3) 10/31/2000 $10,000 $10,000 $10,000 12/31/2000 9,997 9,797 9,796 6/30/2001 10,197 10,129 10,127 12/31/2001 10,342 10,236 10,235 6/30/2002 10,257 9,829 9,685 12/31/2002 10,659 10,182 10,041 6/30/2003 11,756 11,987 11,836 12/31/2003 12,628 13,030 12,867 6/30/2004 12,654 13,210 13,042 12/31/2004 13,755 14,446 14,266 6/30/2005 13,785 14,588 14,428 12/31/2005 14,100 14,847 14,657 6/30/2006 14,364 15,220 15,107 12/31/2006 15,376 16,444 16,382 6/30/2007 15,805 16,960 16,882 12/31/2007 15,727 16,861 16,741 6/30/2008 15,603 16,681 16,526
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(4)
EXPENSE 1 YEAR 3 YEARS 5 YEARS Since Inception(5) RATIO(6) ----------------------------------------------- -------- HIGH INCOME FUND -1.28% 4.21% 5.83% 5.97% 0.76% Merrill Lynch U.S. High Yield Master II Constrained Index(2) -1.64 4.57 6.82 6.90 NA Merrill Lynch U.S. High Yield Master II Index(3) -2.11 4.63 6.90 6.77 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) Effective May 2008, the benchmark for the fund changed from the Merrill Lynch U.S. High Yield Master II Index to the Merrill Lynch U.S. High Yield Master II Constrained Index to better reflect the fund's portfolio. The Merrill Lynch U.S. High Yield Master II Constrained Index tracks the performance of below investment grade U.S. dollar denominated corporate bonds publicly issued in the U.S. domestic market, but limits any individual issuer to a maximum weighting of 2%. (3) The Merrill Lynch U.S. High Yield Master II Index tracks the performance of below-investment-grade U.S. dollar denominated corporate bonds publicly issued in the U.S. domestic market. (4) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. (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 current Prospectus. - -------------------------------------------------------------------------------- 6 ================================================================================ DIVERSIFIED INCOME FUND PERFORMANCE REVIEW - -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,4)
MERRILL LYNCH U.S. CORPORATE, DIVERSIFIED GOVERNMENT & MORTGAGE RUSSELL 1000(R) INCOME FUND INDEX(2) INDEX(3) 6/30/1998 $10,000 $10,000 $10,000 12/31/1998 10,540 10,465 10,931 6/30/1999 11,618 10,308 12,193 12/31/1999 12,067 10,365 13,217 6/30/2000 12,430 10,779 13,320 12/31/2000 12,533 11,581 12,187 6/30/2001 12,069 11,975 11,328 12/31/2001 12,148 12,545 10,670 6/30/2002 11,284 13,004 9,302 12/31/2002 10,796 13,851 8,360 6/30/2003 11,566 14,398 9,391 12/31/2003 12,611 14,421 10,859 6/30/2004 12,838 14,441 11,220 12/31/2004 13,663 15,047 12,096 6/30/2005 13,783 15,448 12,110 12/31/2005 14,195 15,432 12,854 6/30/2006 14,216 15,312 13,209 12/31/2006 15,611 16,100 14,842 6/30/2007 15,883 16,253 15,908 12/31/2007 16,002 17,254 15,699 6/30/2008 14,951 17,483 13,941
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(4)
EXPENSE 1 Year 3 Years 5 Years 10 Years RATIO(5) ------------------------------------- -------- DIVERSIFIED INCOME FUND -5.87% 2.75% 5.27% 4.10% 0.71% Merrill Lynch U.S. Corporate, Government & Mortgage Index(2) 7.57 4.21 3.95 5.74 NA Russell 1000(R) Index(3) -12.36 4.81 8.22 3.38 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. Corporate, Government & Mortgage Index, formerly the Merrill Lynch U.S. Domestic Master Index, is a broad-based measure of the total rate of return performance of the U.S. investment-grade bond markets. The index is a capitalization-weighted aggregation of outstanding U.S. treasury, agency and supranational mortgage pass-through, and investment-grade corporate bonds meeting specified selection criteria. (3) 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 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 expense ratio is based on expenses incurred by the fund, as described in the current Prospectus. - -------------------------------------------------------------------------------- 7 ================================================================================ LARGE CAP VALUE FUND PERFORMANCE REVIEW - -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
RUSSELL 1000(R) LARGE CAP VALUE FUND VALUE INDEX(2) 6/30/1998 $10,000 $10,000 12/31/1998 10,509 10,310 6/30/1999 12,670 11,637 12/31/1999 12,396 11,067 6/30/2000 12,680 10,599 12/31/2000 12,497 11,843 6/30/2001 11,370 11,694 12/31/2001 11,159 11,181 6/30/2002 9,985 10,647 12/31/2002 8,755 9,446 6/30/2003 9,541 10,538 12/31/2003 11,020 12,282 6/30/2004 11,315 12,766 12/31/2004 12,390 14,308 6/30/2005 12,416 14,560 12/31/2005 13,082 15,317 6/30/2006 13,715 16,322 12/31/2006 15,771 18,725 6/30/2007 16,657 19,891 12/31/2007 15,865 18,693 6/30/2008 13,773 16,156
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE 1 Year 3 Years 5 Years 10 Years RATIO(4) ------------------------------------- -------- LARGE CAP VALUE FUND -17.32% 3.52% 7.62% 3.25% 0.61% Russell 1000(R) Value Index(2) -18.78 3.53 8.92 4.91 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 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 current Prospectus. - -------------------------------------------------------------------------------- 8 ================================================================================ LARGE CAP GROWTH FUND PERFORMANCE REVIEW - -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
RUSSELL 1000(R) LARGE CAP GROWTH FUND GROWTH INDEX(2) 6/30/1998 $10,000 $10,000 12/31/1998 10,629 11,522 6/30/1999 11,987 12,726 12/31/1999 13,307 15,343 6/30/2000 13,741 15,993 12/31/2000 13,877 11,902 6/30/2001 13,569 10,208 12/31/2001 12,612 9,472 6/30/2002 9,623 7,504 12/31/2002 8,651 6,831 6/30/2003 9,718 7,724 12/31/2003 11,171 8,863 6/30/2004 11,424 9,105 12/31/2004 12,169 9,421 6/30/2005 12,101 9,259 12/31/2005 12,464 9,917 6/30/2006 12,303 9,825 12/31/2006 13,446 10,816 6/30/2007 14,394 11,695 12/31/2007 15,108 12,094 6/30/2008 13,900 10,999
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE 1 Year 3 Years 5 Years 10 Years RATIO(4) ------------------------------------- -------- LARGE CAP GROWTH FUND -3.43% 4.73% 7.42% 3.35% 0.81% Russell 1000(R) Growth Index(2) -5.96 5.91 7.32 0.96 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 1000(R) Growth Index is a large-cap market index which measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. (4) The expense ratio is based on expenses incurred by the fund, as described in the current Prospectus. - -------------------------------------------------------------------------------- 9 ================================================================================ MID CAP VALUE FUND PERFORMANCE REVIEW - -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
RUSSELL MIDCAP(R) MID CAP VALUE FUND VALUE INDEX(2) 5/1/1999 $10,000 $10,000 6/30/1999 10,470 10,156 12/31/1999 11,368 9,418 6/30/2000 12,114 9,353 12/31/2000 14,079 11,224 6/30/2001 15,216 11,591 12/31/2001 15,651 11,486 6/30/2002 15,145 11,814 12/31/2002 12,926 10,378 6/30/2003 14,398 11,739 12/31/2003 16,960 14,328 6/30/2004 18,141 15,356 12/31/2004 19,651 17,725 6/30/2005 20,326 18,704 12/31/2005 21,678 19,968 6/30/2006 22,977 21,370 12/31/2006 25,355 24,004 6/30/2007 27,470 26,090 12/31/2007 25,419 23,664 6/30/2008 23,358 21,633
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE 1 YEAR 3 YEARS 5 YEARS Since Inception(4) RATIO(5) ----------------------------------------------- -------- MID CAP VALUE FUND -14.97% 4.74% 10.16% 9.70% 1.01% Russell Midcap(R) Value Index(2) -17.09 4.97 13.00 8.77 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) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. (4) The fund commenced investment operations on May 1, 1999. The since inception index returns are also from May 1, 1999. (5) The expense ratio is based on expenses incurred by the fund, as described in the current Prospectus. - -------------------------------------------------------------------------------- 10 ================================================================================ MID CAP GROWTH FUND PERFORMANCE REVIEW - -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
RUSSELL MIDCAP(R) MID CAP GROWTH FUND GROWTH INDEX(2) 10/31/2000 $10,000 $10,000 12/31/2000 9,047 8,715 6/30/2001 7,081 7,586 12/31/2001 6,252 6,959 6/30/2002 4,941 5,588 12/31/2002 4,676 5,052 6/30/2003 5,375 5,999 12/31/2003 6,238 7,210 6/30/2004 6,834 7,638 12/31/2004 7,076 8,326 6/30/2005 7,013 8,468 12/31/2005 7,695 9,333 6/30/2006 7,691 9,572 12/31/2006 8,571 10,327 6/30/2007 9,807 11,460 12/31/2007 9,294 11,508 6/30/2008 8,624 10,724
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE 1 YEAR 3 YEARS 5 YEARS Since Inception(4) RATIO(5) ----------------------------------------------- -------- MID CAP GROWTH FUND -12.06% 7.14% 9.92% -1.91% 0.86% Russell Midcap(R) Growth Index(2) -6.42 8.19 12.32 0.92 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) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. (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 current Prospectus. - -------------------------------------------------------------------------------- 11 ================================================================================ SMALL CAP VALUE FUND PERFORMANCE REVIEW - -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
RUSSELL 2000(R) SMALL CAP VALUE FUND VALUE INDEX(2) 5/1/2007 $10,000 $10,000 6/30/2007 10,078 10,125 12/31/2007 9,038 8,801 6/30/2008 8,619 7,935
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE 1 Year Since Inception(4) RATIO(5) ---------------------------- -------- SMALL CAP VALUE FUND -14.48% -11.96% 1.11% Russell 2000(R) Value Index(2) -21.63 -17.94 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 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 expenses incurred by the fund, as described in the current Prospectus. - -------------------------------------------------------------------------------- 12 ================================================================================ SMALL CAP GROWTH FUND PERFORMANCE REVIEW - -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
RUSSELL 2000(R) SMALL CAP GROWTH FUND GROWTH INDEX(2) 5/1/2007 $10,000 $10,000 6/30/2007 10,556 10,396 12/31/2007 10,026 10,179 6/30/2008 9,136 9,270
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE 1 Year Since Inception(4) RATIO(5) ---------------------------- -------- SMALL CAP GROWTH FUND -13.46% -7.46% 1.11% Russell 2000(R) Growth Index(2) -10.83 -6.27 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 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 expenses incurred by the fund, as described in the current Prospectus. - -------------------------------------------------------------------------------- 13 ================================================================================ GLOBAL SECURITIES FUND PERFORMANCE REVIEW - -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
MORGAN STANLEY CAPITAL INTERNATIONAL WORLD INDEX(2) GLOBAL SECURITIES FUND (MSCI WORLD INDEX) 10/31/2000 $10,000 $10,000 12/31/2000 9,989 9,699 6/30/2001 9,237 8,694 12/31/2001 8,959 8,096 6/30/2002 8,311 7,400 12/31/2002 7,008 6,514 6/30/2003 7,790 7,260 12/31/2003 9,899 8,713 6/30/2004 10,229 9,043 12/31/2004 11,723 10,042 6/30/2005 11,682 10,001 12/31/2005 13,360 11,049 6/30/2006 13,841 11,752 12/31/2006 15,683 13,331 6/30/2007 16,862 14,594 12/31/2007 16,588 14,605 6/30/2008 14,138 13,109
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE 1 YEAR 3 YEARS 5 YEARS Since Inception(4) RATIO(5) ----------------------------------------------- -------- GLOBAL SECURITIES FUND -16.16% 6.57% 12.66% 4.62% 0.96% MSCI World Index(2) -10.18 9.44 12.55 3.59 NA
NA Not Applicable. Index returns do not reflect fees or expenses. (1) This chart compares a $10,000 investment made in the fund to a $10,000 investment made in the index. (2) The MSCI World Index is free float-adjusted market capitalization index that is designed to measure global developed market equity performance, including the U.S. and Canada. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. (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 current Prospectus. - -------------------------------------------------------------------------------- 14 ================================================================================ INTERNATIONAL STOCK FUND PERFORMANCE REVIEW - -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE $10,000 INVESTMENT SINCE INCEPTION(1,3)
MORGAN STANLEY CAPITAL INTERNATIONAL EUROPE, AUSTRALASIA & FAR INTERNATIONAL STOCK FUND EAST INDEX(2) (MSCI EAFE) 10/31/2000 $10,000 $10,000 12/31/2000 9,745 10,033 6/30/2001 8,766 8,588 12/31/2001 7,946 7,906 6/30/2002 8,235 7,797 12/31/2002 7,312 6,668 6/30/2003 8,013 7,325 12/31/2003 9,769 9,280 6/30/2004 10,044 9,731 12/31/2004 11,771 11,200 6/30/2005 11,770 11,105 12/31/2005 13,717 12,769 6/30/2006 14,871 14,110 12/31/2006 17,034 16,198 6/30/2007 18,456 17,995 12/31/2007 18,980 18,082 6/30/2008 16,727 16,169
[END CHART] AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE 1 YEAR 3 YEARS 5 YEARS Since Inception(4) RATIO(5) ----------------------------------------------- -------- INTERNATIONAL STOCK FUND -9.37% 12.43% 15.86% 6.94% 1.21% MSCI EAFE Index(2) -10.15 13.34 17.16 6.47 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 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 current Prospectus. - -------------------------------------------------------------------------------- 15 ================================================================================ TARGET RETIREMENT 2020 FUND PERFORMANCE REVIEW - -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE $10,000 INVESTMENT SINCE INCEPTION(1,3)
DOW JONES GLOBAL TARGET RETIREMENT 2020 FUND TARGET 2020 INDEX(2) 10/1/2007 $10,000 $10,000 12/31/2007 9,806 9,978 6/30/2008 9,215 9,484
[END CHART] CUMULATIVE TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE Since Inception(4) RATIO(5) ------------------ -------- TARGET RETIREMENT 2020 FUND -7.85% 1.34% Dow Jones Global Target 2020 Index(2) -5.16 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 Dow Jones Global Target 2020 Index is a benchmark for multi-asset class portfolios with risk profiles that become more conservative as the year 2020 approaches. The index is a composite of other indexes that represent stocks, bonds and cash. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. (4) The fund commenced investment operations on October 1, 2007. The since inception index returns are also from October 1, 2007. (5) The expense ratio is based on expenses incurred by the fund, as described in the current Prospectus. - -------------------------------------------------------------------------------- 16 ================================================================================ TARGET RETIREMENT 2030 FUND PERFORMANCE REVIEW - -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE $10,000 INVESTMENT SINCE INCEPTION(1,3)
DOW JONES GLOBAL TARGET RETIREMENT 2030 FUND TARGET 2030 INDEX(2) 10/1/2007 $10,000 $10,000 12/31/2007 9,749 9,843 6/30/2008 9,052 9,091
[END CHART] CUMULATIVE TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE Since Inception(4) RATIO(5) ------------------ -------- TARGET RETIREMENT 2030 FUND -9.48% 1.42% Dow Jones Global Target 2030 Index(2) -9.09 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 Dow Jones Global Target 2030 Index is a benchmark for multi-asset class portfolios with risk profiles that become more conservative as the year 2030 approaches. The index is a composite of other indexes that represent stocks, bonds and cash. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. (4) The fund commenced investment operations on October 1, 2007. The since inception index returns are also from October 1, 2007. (5) The expense ratio is based on expenses incurred by the fund, as described in the current Prospectus. - -------------------------------------------------------------------------------- 17 ================================================================================ TARGET RETIREMENT 2040 FUND PERFORMANCE REVIEW - -------------------------------------------------------------------------------- [CHART OF CUMULATIVE PERFORMANCE] CUMULATIVE PERFORMANCE $10,000 INVESTMENT SINCE INCEPTION(1,3)
DOW JONES GLOBAL TARGET RETIREMENT 2040 FUND TARGET 2040 INDEX(2) 10/1/2007 $10,000 $10,000 12/31/2007 9,714 9,777 6/30/2008 8,950 8,897
[END CHART] CUMULATIVE TOTAL RETURN THROUGH JUNE 30, 2008(3)
EXPENSE Since Inception(4) RATIO(5) ------------------ -------- TARGET RETIREMENT 2040 FUND -10.50% 1.41% Dow Jones Global Target 2040 Index(2) -11.03 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 Dow Jones Global Target 2040 Index is a benchmark for multi-asset class portfolios with risk profiles that become more conservative as the year 2040 approaches. The index is a composite of other indexes that represent stocks, bonds and cash. (3) Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor's shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund's performance is contained in the Prospectus and elsewhere in this report. The fund's past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For fund performance data current to the most recent month-end, please call 1-800-798-5500. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. (4) The fund commenced investment operations on October 1, 2007. The since inception index returns are also from October 1, 2007. (5) The expense ratio is based on expenses incurred by the fund, as described in the current Prospectus. - -------------------------------------------------------------------------------- 18 ================================================================================ CONSERVATIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- [PIE CHART OF PORTFOLIO ALLOCATION] PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2008 Debt Securities 59% Equity Securities 27% Foreign Securities 13% Money Market Securities and Other Net Assets 1%
[END CHART] PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE AS OF JUNE 30, 2008 MEMBERS Large Cap Growth Fund, Class Y 14% MEMBERS Bond Fund, Class Y 14% T. Rowe Price Spectrum Income Fund 13% Oppenheimer International Bond Fund, Class Y 12% MEMBERS High Income Fund, Class Y 10% Western Asset Intermediate Bond Portfolio, Class I 10% MEMBERS International Stock Fund, Class Y 10% MEMBERS Large Cap Value Fund, Class Y 9% MEMBERS Mid Cap Growth Fund, Class Y 4% Principal International Emerging Markets Fund, Class I 3% SSgA Prime Money Market Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- INVESTMENT COMPANIES - 100.03% - -------------------------------------------------------------------------------------------------- DEBT SECURITIES - 59.40% 1,589,669 MEMBERS Bond Fund, Class Y (R)...................................................... $ 15,515,165 1,656,066 MEMBERS High Income Fund, Class Y (R)...................................................... 11,277,808 2,067,557 Oppenheimer International Bond Fund, Class Y .............................................. 13,377,095 1,223,356 T. Rowe Price Spectrum Income Fund ............................................................ 14,288,803 1,100,071 Western Asset Intermediate Bond Portfolio, Class I .............................................. 11,011,709 ------------ 65,470,580 ------------ EQUITY SECURITIES - 26.82% 1,017,980 MEMBERS Large Cap Growth Fund, Class Y (R)*..................................................... 15,687,077 686,050 MEMBERS Large Cap Value Fund, Class Y (R)...................................................... 9,309,694 707,336 MEMBERS Mid Cap Growth Fund, Class Y (R) ..................................................... 4,562,319 ------------ 29,559,090 ------------ FOREIGN SECURITIES - 12.77% 875,961 MEMBERS International Stock Fund, Class Y (R) ............................................... 10,739,284 123,952 Principal International Emerging Markets Fund, Class I ........................................... 3,330,591 ------------ 14,069,875 ------------ MONEY MARKET SECURITIES - 1.04% 1,149,515 SSgA Prime Money Market Fund............................................................. 1,149,515 ------------ TOTAL INVESTMENT COMPANIES - 100.03% (Cost $114,137,642**) ........................................... 110,249,060 NET OTHER ASSETS AND LIABILITIES - (0.03)% - -------------------------------------------------------------------------------------------------- (32,261) TOTAL NET ASSETS - 100.00% - -------------------------------------------------------------------------------------------------- $110,216,799
- -------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $114,446,097. (R) Affiliated Company (see Note 10). See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 19 ================================================================================ MODERATE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- [PIE CHART OF PORTFOLIO ALLOCATION] PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2008 Equity Securities 40% Debt Securities 29% Foreign Securities 27% Money Market Securities and Other Net Assets 1% Alternative Asset Classes 3%
[END CHART] PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE AS OF JUNE 30, 2008 MEMBERS Large Cap Growth Fund, Class Y 14% MEMBERS International Stock Fund, Class Y 13% MEMBERS Bond Fund, Class Y 10% Thornburg International Value Fund, Class I 8% Oppenheimer International Bond Fund, Class Y 7% T. Rowe Price Spectrum Income Fund 7% MEMBERS Mid Cap Growth Fund, Class Y 6% Principal International Emerging Markets Fund, Class I 5% MEMBERS High Income Fund, Class Y 5% MEMBERS Large Cap Value Fund, Class Y 5% MEMBERS Small Cap Growth Fund, Class Y 4% Ivy Global Natural Resources Fund, Class I 3% Victory Special Value Fund, Class I 3% American Beacon Large Cap Value Fund, Institutional Class 3% MEMBERS Small Cap Value Fund, Class Y 3% Neuberger Berman Partners Fund, Institutional Class 3% SSgA Prime Money Market Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- INVESTMENT COMPANIES - 100.03% - -------------------------------------------------------------------------------------------------- ALTERNATIVE ASSET CLASSES - 3.42% 235,129 Ivy Global Natural Resources Fund, Class I ................................................... $ 9,743,734 ------------ DEBT SECURITIES - 29.08% 2,912,673 MEMBERS Bond Fund, Class Y (R)...................................................... 28,427,688 2,126,395 MEMBERS High Income Fund, Class Y (R)...................................................... 14,480,749 3,106,312 Oppenheimer International Bond Fund, Class Y ................................................... 20,097,841 1,689,849 T. Rowe Price Spectrum Income Fund ............................................................ 19,737,435 ------------ 82,743,713 ------------ EQUITY SECURITIES - 40.07% 390,259 American Beacon Large CapValue Fund, Institutional Class ...................................... 7,824,694 2,609,978 MEMBERS Large Cap Growth Fund, Class Y (R)*..................................................... 40,219,759 982,422 MEMBERS Large Cap Value Fund, Class Y (R)...................................................... 13,331,466 2,725,576 MEMBERS Mid Cap Growth Fund, Class Y (R)...................................................... 17,579,967 1,215,697 MEMBERS Small Cap Growth Fund, Class Y (R)...................................................... 11,500,490 829,894 MEMBERS Small Cap Value Fund, Class Y (R)...................................................... 7,419,248 233,488 Neuberger Berman Partners Fund, Institutional Class ....................................... 7,364,217 504,825 Victory Special Value Fund, Class I ................................................... 8,773,852 ------------ 114,013,693 ------------ FOREIGN SECURITIES - 26.49% 3,149,417 MEMBERS International Stock Fund, Class Y (R) ......................................... 38,611,852
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 20 ================================================================================ MODERATE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- INVESTMENT COMPANIES (CONTINUED) - -------------------------------------------------------------------------------------------------- FOREIGN SECURITIES (CONTINUED) 542,995 Principal International Emerging Markets Fund, Class I ........................................... $ 14,590,276 757,561 Thornburg International Value Fund, Class I ................................................... 22,188,957 ------------ 75,391,085 ------------ MONEY MARKET SECURITIES - 0.97% 2,760,869 SSgA Prime Money Market Fund ............................................................ 2,760,869 ------------ TOTAL INVESTMENT COMPANIES - 100.03% (Cost $297,869,330**) ........................................... 284,653,094 NET OTHER ASSETS AND LIABILITIES - (0.03)% - -------------------------------------------------------------------------------------------------- (84,922) TOTAL NET ASSETS - 100.00% - -------------------------------------------------------------------------------------------------- $284,568,172
- -------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $298,386,187. (R) Affiliated Company (see Note 10). See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 21 ================================================================================ AGGRESSIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- [PIE CHART OF PORTFOLIO ALLOCATION] PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2008 Equity Securities 61% Foreign Securities 33% Alternative Asset Classes 5% Money Market Securities and Other Net Assets 1%
[END CHART] PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE AS OF JUNE 30, 2008 MEMBERS Large Cap Growth Fund, Class Y 16% MEMBERS International Stock Fund, Class Y 14% MEMBERS Mid Cap Growth Fund, Class Y 10% Victory Special Value Fund, Class I 7% Laudus International MarketMasters Fund, Select Shares 7% MEMBERS Small Cap Growth Fund, Class Y 7% Thornburg International Value Fund, Class I 7% Neuberger Berman Partners Fund, Institutional Class 6% MEMBERS Small Cap Value Fund, Class Y 5% MEMBERS Large Cap Value Fund, Class Y 5% Principal International Emerging Markets Fund, Class I 5% American Beacon Large Cap Value Fund, Institutional Class 5% Ivy Global Natural Resources Fund, Class I 5% SSgA Prime Money Market Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- INVESTMENT COMPANIES - 100.03% - -------------------------------------------------------------------------------------------------- ALTERNATIVE ASSET CLASSES - 4.54% 99,314 Ivy Global Natural Resources Fund, Class I ................................................... $ 4,115,571 ------------ EQUITY SECURITIES - 61.43% 206,078 American Beacon Large Cap Value Fund, Institutional Class ................................. 4,131,868 945,331 MEMBERS Large Cap Growth Fund, Class Y (R)* .............................................. 14,567,555 325,340 MEMBERS Large Cap Value Fund, Class Y (R)...................................................... 4,414,858 1,437,076 MEMBERS Mid Cap Growth Fund, Class Y (R)...................................................... 9,269,139 673,964 MEMBERS Small Cap Growth Fund, Class Y (R) ............................................... 6,375,701 547,524 MEMBERS Small Cap Value Fund, Class Y (R)...................................................... 4,894,861 177,524 Neuberger Berman Partners Fund, Institutional Class ....................................... 5,599,119 373,246 Victory Special Value Fund, Class I ................................................... 6,487,021 ------------ 55,740,122 ------------ FOREIGN SECURITIES - 33.14% 322,736 Laudus International MarketMasters Fund, Select Shares.............................................. 6,386,947 1,070,715 MEMBERS International Stock Fund, Class Y (R) ............................................... 13,126,965 163,016 Principal International Emerging Markets Fund, Class I ........................................... 4,380,241 210,678 Thornburg International Value Fund, Class I ............................................. 6,170,766 ------------ 30,064,919 ------------ MONEY MARKET SECURITIES - 0.92% 838,683 SSgA Prime Money Market Fund .................................... 838,683 ------------ TOTAL INVESTMENT COMPANIES - 100.03% (Cost $95,149,393) .............................................. 90,759,295 ------------ NET OTHER ASSETS AND LIABILITIES - (0.03)% - -------------------------------------------------------------------------------------------------- (27,969) TOTAL NET ASSETS - 100.00% - -------------------------------------------------------------------------------------------------- $90,731,326
- -------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $95,535,782. (R) Affiliated Company (see Note 10). See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 22 ================================================================================ MONEY MARKET FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- [PIE CHART OF PORTFOLIO ALLOCATION] PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2008 U.S. Treasury Bills 34% FNMA 31% Freddle Mac (FHLMC) 31% Money Market Securities and Other Net Assets 4%
[END CHART] - --------------------------------------------------------------------------------
Par Value Value (Note 2) - --------- -------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 96.02% - -------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. - 31.25% (A) $3,200,000 2.010%, due 07/09/08............................................ $ 3,198,571 2,350,000 2.070%, due 07/14/08............................................ 2,348,243 4,000,000 2.035%, due 07/21/08............................................ 3,995,478 1,500,000 2.040%, due 07/21/08............................................ 1,498,300 5,100,000 2.120%, due 07/28/08............................................ 5,091,891 1,750,000 2.170%, due 07/28/08............................................ 1,747,152 5,045,000 2.200%, due 08/06/08............................................ 5,033,901 5,000,000 2.220%, due 08/11/08............................................ 4,987,358 2,250,000 2.240%, due 08/18/08............................................ 2,243,280 2,250,000 2.240%, due 08/20/08............................................ 2,243,000 2,350,000 2.260%, due 08/20/08............................................ 2,342,624 ------------ 34,729,798 ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION - 31.15% (A) 2,500,000 2.060%, due 07/09/08............................................ 2,498,856 3,000,000 2.080%, due 07/14/08............................................ 2,997,747 2,000,000 2.080%, due 07/16/08............................................ 1,998,267 3,000,000 2.100%, due 07/16/08............................................ 2,997,375 5,250,000 2.110%, due 07/23/08............................................ 5,243,230 4,400,000 2.150%, due 07/30/08............................................ 4,392,379 576,000 2.170%, due 07/30/08............................................ 574,993 5,000,000 2.180%, due 08/04/08............................................ 4,989,706 4,900,000 2.250%, due 08/13/08............................................ 4,886,831 1,500,000 2.220%, due 08/18/08............................................ 1,495,560 1,650,000 2.230%, due 08/18/08............................................ 1,645,094 900,000 2.270%, due 08/20/08............................................ 897,162 ------------ 34,617,200 ------------ U.S. Treasury Bills - 33.62% (A) 5,250,000 1.190%, due 07/10/08............................................ 5,248,438 5,000,000 1.325%, due 07/17/08............................................ 4,997,056 5,000,000 1.620%, due 07/24/08............................................ 4,994,825 5,000,000 1.395%, due 07/31/08............................................ 4,994,188 3,000,000 1.777%, due 08/07/08............................................ 2,994,522 5,000,000 1.725%, due 08/14/08............................................ 4,989,458 4,100,000 1.805%, due 08/21/08............................................ 4,089,516 5,075,000 1.630%, due 10/23/08............................................ 5,048,805 ------------ 37,356,808 ------------ TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $106,703,806) ............................................ 106,703,806 ------------ Shares - ------ INVESTMENT COMPANIES - 4.35% - -------------------------------------------------------------------------------------------------- 20,191 JPMorgan Prime Money Market Fund ..................................................... 20,191 4,809,852 SSgA Prime Money Market Fund ..................................................... 4,809,852 TOTAL INVESTMENT COMPANIES (Cost $4,830,043) ............................................... 4,830,043 TOTAL INVESTMENTS - 100.37% - -------------------------------------------------------------------------------------------------- (Cost $111,533,849**).......................................................... 111,533,849 NET OTHER ASSETS AND LIABILITIES - (0.37)% - -------------------------------------------------------------------------------------------------- (415,073) TOTAL NET ASSETS - 100.00% - -------------------------------------------------------------------------------------------------- $111,118,776
- -------------------------------------------------------------------------------- ** Aggregate cost for Federal tax purposes was $111,533,849. (A) Rate noted represents annualized yield at time of purchase. The industry classification method used for purposes of this report may differ from the industry sub-classification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 23 ================================================================================ BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- [PIE CHART OF PORTFOLIO ALLOCATION] PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2008 U.S. Government and Agency Obligations 31% Corporate Notes and Bonds 27% Mortgage Backed 25% Commercial Mortgage Backed 9% Cash and Other Net Assets 4% Asset Backed 3% Private Label Mortgage Backed 1%
[END CHART] - --------------------------------------------------------------------------------
Par Value Value (Note 2) - --------- -------------- ASSET BACKED - 2.65% - -------------------------------------------------------------------------------------------------- $ 652,045 ABSC Long Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (M) 8.550%, due 09/21/30............................................. $ 599,714 1,609,532 Ameriquest Mortgage Securities, Inc., Series 2004-FR1, Class M2 (M) 5.207%, due 05/25/34............................................. 1,217,370 3,820,000 Chase Issuance Trust, Series 2007-A17, Class A 5.120%, due 10/15/14............................................. 3,804,612 2,720,000 Daimler Chrysler Auto Trust, Series 2007-A, Class A3A 5.000%, due 02/08/12............................................. 2,734,629 2,000,000 GMAC Mortgage Corp. Loan Trust, Series 2004-HE2, Class M1 3.950%, due 10/25/33............................................. 1,767,587 1,703,663 Green Tree Financial Corp., Series 1998-2, Class A6 (G) 6.810%, due 12/01/27............................................. 1,655,252 3,500,000 New Century Home Equity Loan Trust, Series 2003-5, Class AI5 (G) 5.500%, due 11/25/33............................................. 2,977,524 2,475,000 Renaissance Home Equity Loan Trust, Series 2005-4, Class M9 (M) 7.000%, due 02/25/36............................................. 1,091,455 1,450,366 Wells Fargo Home Equity Trust, Series 2004-2, Class M8A (C)(G) 5.483%, due 05/25/34............................................. 589,267 ------------ TOTAL ASSET BACKED (Cost $19,782,395) .............................................. 16,437,410 COMMERCIAL MORTGAGE BACKED - 8.58% - -------------------------------------------------------------------------------------------------- 1,185,087 Bear Stearns Commercial Mortgage Securities, Series 2001-TOP4, Class A1 5.060%, due 11/15/16............................................. 1,188,063 4,100,000 Bear Stearns Commercial Mortgage Securities, Series 2003-T10, Class E (C)(G) 5.540%, due 03/13/40............................................. 3,443,417 2,800,000 Bear Stearns Commercial Mortgage Securities, Series 2004-T16, Class A6 (G) 4.750%, due 02/13/46............................................. 2,644,169 1,810,000 Bear Stearns Commercial Mortgage Securities, Series 2005-T20, Class F (C)(G) 4.832%, due 10/12/42............................................. 1,355,026 4,200,000 Government National Mortgage Association, Series 2004-43, Class C (G) 5.008%, due 12/16/25............................................. 4,160,043 3,000,000 Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A7 (G) 5.317%, due 06/10/36..................................................... 2,948,287 6,450,000 LB-UBS Commercial Mortgage Trust, Series 2004-C1, Class A2 3.624%, due 01/15/29............................................. 6,397,824 3,200,000 LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A6 (G) 4.799%, due 12/15/29............................................. 3,043,747 5,550,000 Morgan Stanley Capital I, Series 2004-HQ4, Class A7 4.970%, due 04/14/40............................................. 5,326,429 7,000,000 Morgan Stanley Capital I, Series 2004-T13, Class A3 4.390%, due 09/13/45............................................. 6,735,621 5,740,000 Morgan Stanley Capital I, Series 2006-IQ12, Class ANM 5.310%, due 12/15/43............................................. 5,623,573 1,695,000 Multi Security Asset Trust, Series 2005-RR4A, Class J (C) 5.880%, due 11/28/35............................................. 1,196,179
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 24 ================================================================================ BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Par Value Value (Note 2) - --------- -------------- COMMERCIAL MORTGAGE BACKED (CONTINUED) - -------------------------------------------------------------------------------------------------- $ 698,008 Wachovia Bank Commercial Mortgage Trust, Series 2003-C6, Class A1 3.364%, due 08/15/35............................................. $ 696,875 8,450,000 Wachovia Bank Commercial Mortgage Trust, Series 2003-C8, Class A2 3.894%, due 11/15/35............................................. 8,426,852 ------------ TOTAL COMMERCIAL MORTGAGE BACKED (Cost $55,517,303) .............................................. 53,186,105 PRIVATE LABEL MORTGAGE BACKED - 1.22% - -------------------------------------------------------------------------------------------------- 5,481,400 Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 6.000%, due 01/25/36............................................. 5,205,555 2,553,304 Banc of America Alternative Loan Trust, Series 2006-3, Class 2CB1 6.000%, due 04/25/36............................................. 2,331,542 ------------ TOTAL PRIVATE LABEL MORTGAGE BACKED (Cost $8,009,038) ............................................... 7,537,097 CORPORATE NOTES AND BONDS - 26.90% - -------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 1.09% 2,500,000 American Association of Retired Persons (C) 7.500%, due 05/01/31............................................. 3,172,238 4,400,000 Erac USA Finance Co. (C) 6.700%, due 06/01/34............................................. 3,603,516 ------------ 6,775,754 ------------ CONSUMER STAPLES - 1.20% 1,250,000 Coca-Cola Enterprises, Inc. 4.375%, due 09/15/09............................................. 1,265,704 2,330,000 Diageo Capital PLC (D)(O) 5.500%, due 09/30/16............................................. 2,280,003 1,165,000 PepsiCo, Inc. 4.650%, due 02/15/13............................................. 1,182,293 2,700,000 Safeway, Inc. 4.125%, due 11/01/08............................................. 2,701,747 ------------ 7,429,747 ------------ ENERGY - 1.46% 2,460,000 Hess Corp. 7.875%, due 10/01/29............................................. 2,821,391 1,400,000 Transocean, Inc. 6.000%, due 03/15/18............................................. 1,402,094 2,310,000 Transocean, Inc. 7.500%, due 04/15/31............................................. 2,529,757 2,275,000 Valero Energy Corp. 7.500%, due 04/15/32............................................. 2,302,455 ------------ 9,055,697 ------------ FINANCE - 6.22% 2,885,000 American General Finance Corp. (O) 5.850%, due 06/01/13............................................. 2,544,354 2,500,000 American General Finance Corp., Series H 4.625%, due 09/01/10............................................. 2,422,277 1,165,000 Bank of America Corp. 5.750%, due 12/01/17............................................. 1,094,070 2,200,000 Bear Stearns Cos., Inc./The 7.250%, due 02/01/18............................................. 2,295,843 2,725,000 CIT Group, Inc. 7.625%, due 11/30/12............................................. 2,264,960 2,750,000 Goldman Sachs Group, Inc./The (O) 5.700%, due 09/01/12............................................. 2,758,627 2,725,000 HCP, Inc. 6.700%, due 01/30/18............................................. 2,449,974 4,250,000 HSBC Finance Corp. 6.500%, due 11/15/08............................................. 4,283,979 3,135,000 Lehman Brothers Holdings, Inc. 5.750%, due 01/03/17............................................. 2,766,534 2,740,000 Merrill Lynch & Co., Inc. 6.150%, due 04/25/13............................................. 2,655,611 2,700,000 SLM Corp. 5.125%, due 08/27/12............................................. 2,349,313 1,250,000 Swiss Re Insurance Solutions Holding Corp. 7.000%, due 02/15/26............................................. 1,260,101 1,680,000 Swiss Re Insurance Solutions Holding Corp. 7.750%, due 06/15/30............................................. 1,822,385 750,000 UBS AG/Stamford Branch 5.750%, due 04/25/18............................................. 715,662 2,000,000 US Bank NA/Cincinnati OH 6.300%, due 02/04/14............................................. 2,109,556 2,735,000 Well Fargo & Co. 5.250%, due 10/23/12............................................. 2,715,085 2,065,000 Western Union Co./The 5.930%, due 10/01/16............................................. 2,025,292 ------------ 38,533,623 ------------ FOOD & DRUG RETAILERS - 0.59% 3,450,000 Medco Health Solutions, Inc. 7.250%, due 08/15/13............................................. 3,662,768 ------------ HEALTH CARE - 2.77% 2,600,000 Eli Lilly & Co. 6.570%, due 01/01/16............................................. 2,824,310 1,740,000 Genentech, Inc. 5.250%, due 07/15/35............................................. 1,577,206 3,480,000 Merck & Co., Inc. (O) 6.400%, due 03/01/28............................................. 3,632,149 3,500,000 Quest Diagnostics, Inc. 5.450%, due 11/01/15............................................. 3,311,801
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 25 ================================================================================ BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Par Value Value (Note 2) - --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) - -------------------------------------------------------------------------------------------------- HEALTH CARE (CONTINUED) $3,600,000 WellPoint, Inc. 5.000%, due 12/15/14............................................. $ 3,378,053 2,370,000 Wyeth 6.500%, due 02/01/34............................................. 2,457,363 ------------ 17,180,882 ------------ INDUSTRIALS - 4.14% 760,000 Boeing Co. 8.625%, due 11/15/31............................................. 1,014,766 1,380,000 Boeing Co. 6.875%, due 10/15/43............................................. 1,512,639 3,850,000 Dow Chemical Co./The 5.750%, due 12/15/08............................................. 3,879,029 1,140,000 DR Horton, Inc. 5.250%, due 02/15/15............................................. 906,300 585,000 EI Du Pont de Nemours & Co. 5.000%, due 01/15/13............................................. 589,937 3,200,000 General Electric Co. 5.000%, due 02/01/13............................................. 3,223,034 3,265,000 GMAC LLC 7.250%, due 03/02/11............................................. 2,399,811 1,450,000 Lockheed Martin Corp. 7.650%, due 05/01/16............................................. 1,646,700 2,465,000 Waste Management, Inc. 7.125%, due 12/15/17............................................. 2,638,852 2,250,000 Westvaco Corp. 8.200%, due 01/15/30............................................. 2,178,220 3,000,000 Weyerhaeuser Co. (O) 6.875%, due 12/15/33............................................. 2,785,443 2,870,000 WM Wrigley Jr. Co. 4.300%, due 07/15/10............................................. 2,888,491 ------------ 25,663,222 ------------ MEDIA - 1.10% 3,080,000 Comcast Cable Communications Holdings, Inc. 9.455%, due 11/15/22............................................. 3,723,655 3,000,000 Rogers Communications, Inc. (D) 6.250%, due 06/15/13............................................. 3,065,520 ------------ 6,789,175 ------------ REAL ESTATE INVESTMENT TRUSTS - 0.17% 1,060,000 Simon Property Group L.P. (O) 5.875%, due 03/01/17............................................. 1,017,890 ------------ TELECOMMUNICATIONS - 1.36% 2,400,000 Cisco Systems, Inc. 5.500%, due 02/22/16............................................. 2,421,377 4,225,000 New Cingular Wireless Services, Inc., 7.875%, due 03/01/11............................................. 4,498,171 1,750,000 Sprint Nextel Corp. 6.000%, due 12/01/16............................................. 1,505,000 ------------ 8,424,548 ------------ TRANSPORTATION - 1.49% 2,925,000 Burlington Northern Santa Fe Corp. 8.125%, due 04/15/20............................................. 3,355,999 3,175,000 CSX Corp. 6.250%, due 10/15/08............................................. 3,192,386 1,268,000 Norfolk Southern Corp. 5.590%, due 05/17/25............................................. 1,146,219 1,400,000 Norfolk Southern Corp. 7.050%, due 05/01/37............................................. 1,512,459 7,633 Southwest Airlines Co. 1994-A Pass Through Trust, Series A3 8.700%, due 07/01/11............................................. 8,008 ------------ 9,215,071 ------------ UTILITIES - 5.31% 2,750,000 Consumers Energy Co. 5.650%, due 04/15/20............................................. 2,685,548 2,000,000 Energy East Corp. 8.050%, due 11/15/10............................................. 2,149,634 2,940,000 Illinois Power Co. 7.500%, due 06/15/09............................................. 2,990,306 3,445,000 Indianapolis Power & Light Co. (C) 6.050%, due 10/01/36............................................. 3,108,978 2,925,000 Pacific Gas & Electric Co. 6.050%, due 03/01/34............................................. 2,820,382 2,400,000 Progress Energy, Inc. 7.750%, due 03/01/31............................................. 2,742,593 3,250,000 Public Service Co. of New Mexico 4.400%, due 09/15/08............................................. 3,238,762 3,250,000 Sierra Pacific Power Co., Series M 6.000%, due 05/15/16............................................. 3,214,094 3,500,000 Southern Power Co., Series B 6.250%, due 07/15/12............................................. 3,646,797 2,165,000 Southwestern Electric Power Co., Series E (O) 5.550%, due 01/15/17............................................. 2,048,363 1,165,000 Virginia Electric and Power Co. 5.100%, due 11/30/12............................................. 1,165,581 3,000,000 Wisconsin Electric Power Co. 6.500%, due 06/01/28............................................. 3,073,161 ------------ 32,884,199 ------------ TOTAL CORPORATE NOTES AND BONDS (Cost $173,463,439) ............................................. 166,632,576 MORTGAGE BACKED - 25.17% - -------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. - 4.05% 3,539,562 5.000%, due 05/01/18 Pool # E96322.................................................... 3,531,303 107,200 8.000%, due 06/01/30 Pool # C01005.................................................... 116,122 564,999 7.000%, due 03/01/31 Pool # C48129.................................................... 596,642
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 26 ================================================================================ BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Par Value Value (Note 2) - --------- -------------- MORTGAGE BACKED (CONTINUED) - -------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. (CONTINUED) $ 261,112 6.500%, due 03/01/32 Pool # C65648.................................................... $ 271,388 4,021,403 5.000%, due 07/01/33 Pool # A11325 ................................................... 3,878,219 900,876 6.000%, due 10/01/34 Pool # A28439 ................................................... 913,527 901,486 6.000%, due 10/01/34 Pool # A28598 ................................................... 914,145 6,135,667 5.500%, due 11/01/34 Pool # A28282 ................................................... 6,067,600 511,652 5.000%, due 04/01/35 Pool # A32314 ................................................... 491,996 1,277,464 5.000%, due 04/01/35 Pool # A32315 ................................................... 1,228,386 1,356,392 5.000%, due 04/01/35 Pool # A32316 ................................................... 1,304,282 393,180 5.000%, due 04/01/35 Pool # A32509 ................................................... 378,075 5,631,016 5.000%, due 01/01/37 Pool # A56371 ................................................... 5,407,645 ------------ 25,099,330 ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION - 21.02% 2,843,258 4.000%, due 04/01/15 Pool # 255719 ................................................... 2,774,102 3,706,321 5.500%, due 04/01/16 Pool # 745444 ................................................... 3,757,683 202,107 6.000%, due 05/01/16 Pool # 582558 ................................................... 207,943 960,281 5.500%, due 09/01/17 Pool # 657335 ................................................... 975,576 1,189,704 5.500%, due 02/01/18 Pool # 673194 ................................................... 1,208,653 3,784,234 5.000%, due 05/01/20 Pool # 813965 ................................................... 3,760,543 3,636,116 4.500%, due 09/01/20 Pool # 835465 ................................................... 3,537,713 480,865 6.000%, due 05/01/21 Pool # 253847 ................................................... 491,539 151,963 7.000%, due 12/01/29 Pool # 762813 ................................................... 161,308 204,420 7.000%, due 11/01/31 Pool # 607515 ................................................... 216,037 332,000 6.500%, due 03/01/32 Pool # 631377 ................................................... 344,651 5,327 7.000%, due 04/01/32 Pool # 641518 ................................................... 5,630 410,378 7.000%, due 05/01/32 Pool # 644591 ................................................... 433,701 3,498,135 6.500%, due 06/01/32 Pool # 545691 ................................................... 3,631,433 4,754,508 5.500%, due 04/01/33 Pool # 690206 ................................................... 4,714,299 6,013,198 5.000%, due 10/01/33 Pool # 254903 ................................................... 5,800,974 6,123,852 5.500%, due 11/01/33 Pool # 555880 ................................................... 6,072,063 108,070 5.000%, due 05/01/34 Pool # 782214 ................................................... 104,121 1,538,248 5.000%, due 06/01/34 Pool # 778891 ................................................... 1,482,036 5,817,487 5.500%, due 06/01/34 Pool # 780384 ................................................... 5,757,380 85,701 7.000%, due 07/01/34 Pool # 792636 ................................................... 90,381 697,912 5.500%, due 08/01/34 Pool # 793647 ................................................... 690,702 3,003,116 5.500%, due 03/01/35 Pool # 810075 ................................................... 2,969,273 3,080,703 5.500%, due 03/01/35 Pool # 815976 ................................................... 3,045,985 3,700,648 5.500%, due 07/01/35 Pool # 825283 ................................................... 3,658,944 4,715,915 5.000%, due 08/01/35 Pool # 829670 ................................................... 4,536,213 2,126,671 5.500%, due 08/01/35 Pool # 826872 ................................................... 2,102,704 3,586,080 5.000%, due 09/01/35 Pool # 820347 ................................................... 3,449,431 3,876,677 5.000%, due 09/01/35 Pool # 835699 ................................................... 3,728,955 6,354,914 5.000%, due 10/01/35 Pool # 797669 ................................................... 6,112,757 869,062 5.500%, due 10/01/35 Pool # 836912 ................................................... 859,268 5,101,480 5.000%, due 11/01/35 Pool # 844809 ................................................... 4,907,086 5,078,303 5.000%, due 12/01/35 Pool # 850561 ................................................... 4,884,792 1,753,406 5.500%, due 02/01/36 Pool # 851330 ................................................... 1,733,645 1,819,410 5.500%, due 10/01/36 Pool # 896340 ................................................... 1,796,632 9,833,069 5.500%, due 10/01/36 Pool # 901723 ................................................... 9,709,964 5,237,696 6.500%, due 10/01/36 Pool # 894118 ................................................... 5,399,635 5,836,783 6.000%, due 11/01/36 Pool # 902510 ................................................... 5,911,646 4,883,597 5.500%, due 02/01/37 Pool # 905140 ................................................... 4,822,457
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 27 ================================================================================ BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Par Value Value (Note 2) - --------- -------------- MORTGAGE BACKED (CONTINUED) - -------------------------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED) $ 5,182,605 5.500%, due 05/01/37 Pool # 899323 ................................................... $ 5,115,001 3,250,825 5.500%, due 05/01/37 Pool # 928292 ................................................... 3,208,420 6,024,181 6.000%, due 10/01/37 Pool # 947563 ................................................... 6,084,907 ------------- 130,256,183 ------------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.10% 77,585 8.000%, due 10/20/15 Pool # 002995 ................................................... 82,259 260,592 6.500%, due 02/20/29 Pool # 002714 ................................................... 270,200 235,750 6.500%, due 04/20/31 Pool # 003068 ................................................... 244,269 ------------- 596,728 ------------- TOTAL MORTGAGE BACKED (Cost $156,656,196) ............................................. 155,952,241 U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 31.14% - -------------------------------------------------------------------------------------------------- FEDERAL FARM CREDIT BANK - 0.70% 4,000,000 5.875%, due 10/03/16............................................. 4,330,832 ------------- FEDERAL HOME LOAN MORTGAGE CORP. - 1.31% (O) 2,500,000 4.875%, due 11/15/13............................................. 2,572,518 5,500,000 4.500%, due 01/15/14............................................. 5,566,456 ------------- 8,138,974 ------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.79% 4,675,000 4.000%, due 09/02/08............................................. 4,682,807 2,400,000 5.250%, due 08/01/12 (O) ........................................ 2,428,858 3,905,000 4.625%, due 10/15/14 (O) ........................................ 3,970,467 ------------- 11,082,132 ------------- U.S. TREASURY BONDS - 1.72% (O) 1,000,000 10.625%, due 08/15/15............................................ 1,430,234 7,350,000 6.625%, due 02/15/27............................................. 9,212,769 ------------- 10,643,003 ------------- U.S. TREASURY NOTES - 25.62% (O) 12,000,000 2.625%, due 03/15/09............................................. 12,031,872 3,640,000 4.875%, due 05/31/09............................................. 3,721,900 2,000,000 3.500%, due 02/15/10............................................. 2,033,750 7,500,000 2.125%, due 04/30/10............................................. 7,445,505 9,625,000 3.875%, due 05/15/10............................................. 9,861,111 8,750,000 3.875%, due 09/15/10............................................. 8,976,958 13,000,000 4.500%, due 11/15/10............................................. 13,533,208 1,485,000 4.750%, due 03/31/11............................................. 1,558,206 23,100,000 4.625%, due 12/31/11............................................. 24,269,438 6,425,000 4.625%, due 02/29/12............................................. 6,758,297 6,000,000 4.875%, due 06/30/12............................................. 6,375,936 5,660,000 3.625%, due 05/15/13............................................. 5,742,687 1,915,000 4.000%, due 02/15/14............................................. 1,974,993 6,150,000 4.250%, due 08/15/14............................................. 6,425,311 6,565,000 4.250%, due 11/15/14............................................. 6,854,267 2,750,000 4.000%, due 02/15/15............................................. 2,826,700 8,900,000 4.250%, due 08/15/15............................................. 9,246,958 13,100,000 4.625%, due 02/15/17............................................. 13,791,837 11,120,000 4.500%, due 05/15/17............................................. 11,582,169 3,600,000 4.250%, due 11/15/17............................................. 3,677,342 ------------- 158,688,445 ------------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $185,622,142) ............................................. 192,883,386 Shares - ------ INVESTMENT COMPANY - 3.58% - -------------------------------------------------------------------------------------------------- 22,195,101 SSgA Prime Money Market Fund ............................................................ 22,195,101 ------------ TOTAL INVESTMENT COMPANY (Cost $22,195,101) .............................................. 22,195,101 COLLATERAL FOR SECURITIES ON LOAN - 18.47% - -------------------------------------------------------------------------------------------------- 114,421,830 State Street Navigator Securities Lending Prime Portfolio (I) ..................................... 114,421,830 ------------- TOTAL COLLATERAL FOR SECURITIES ON LOAN (Cost $114,421,830) ............................................. 114,421,830 TOTAL INVESTMENTS - 117.71% - -------------------------------------------------------------------------------------------------- (Cost $735,667,444**).......................................................... 729,245,746 NET OTHER ASSETS AND LIABILITIES - (17.71)% - -------------------------------------------------------------------------------------------------- (109,742,413) TOTAL NET ASSETS - 100.00% - -------------------------------------------------------------------------------------------------- $ 619,503,333
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 28 ================================================================================ BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- ** Aggregate cost for Federal tax purposes was $735,936,404. (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 0.86% of total net assets. (G) Floating rate or variable rate note. Rate shown is as of June 30, 2008. (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. (O) All (or portion of security) on loan. PLC Public Limited Company. The industry classification method used for purposes of this report's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 29 ================================================================================ HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2008 Health Care 13% Utilities 10% Oil and Gas 9% Telecommunications 8% Support Services 7% Gaming 6% Media - Cable 5% Automotive 4% Cash and Other Net Assets 3% Consumer Products 3% Environmental 3% Media - Broadcasting 3% Media - Diversified and Services 3% Beverage/Food 2% Forestry/Paper 2% General Industrial and Manufacturing 2% Metals and Mining 2% Non Food and Drug Retailers 2% Packaging 2% Technology 2% Transportation 2% Aerospace/Defense 1% Chemicals 1% Food and Drug Retailers 1% Hotels 1% Leisure and Entertainment 1% Printing and Publishing 1% Restaurants 1% Investment Management 0%*
* Rounds to 0% - --------------------------------------------------------------------------------
Par Value Value (Note 2) - --------- -------------- CORPORATE NOTES AND BONDS - 97.13% - -------------------------------------------------------------------------------------------------- AEROSPACE/DEFENSE - 0.82% $ 500,000 DRS Techologies, Inc. 6.625%, due 02/01/16............................................. $ 507,500 500,000 Moog, Inc. (C) 7.250%, due 06/15/18............................................. 495,000 ------------ 1,002,500 ------------ AUTOMOTIVE - 3.70% 1,850,000 Ford Motor Credit Co. LLC 7.375%, due 10/28/09............................................. 1,684,941 750,000 General Motors Nova Scotia Finance Co. (D) 6.850%, due 10/15/08............................................. 725,625 500,000 GMAC LLC (O) 5.850%, due 01/14/09............................................. 474,790 400,000 GMAC LLC (G) 3.926%, due 05/15/09............................................. 376,108 1,250,000 Goodyear Tire & Rubber Co./The (G) 6.678%, due 12/01/09............................................. 1,240,625 ------------ 4,502,089 ------------ BEVERAGE/FOOD - 2.33% 500,000 B&G Foods, Inc. 8.000%, due 10/01/11............................................. 491,250 500,000 Constellation Brands, Inc. 7.250%, due 05/15/17............................................. 467,500 250,000 Constellation Brands, Inc., Series B (O) 8.125%, due 01/15/12............................................. 248,750 1,000,000 Del Monte Corp. 8.625%, due 12/15/12............................................. 1,015,000 180,000 Michael Foods, Inc. 8.000%, due 11/15/13............................................. 177,300 450,000 NBTY, Inc. 7.125%, due 10/01/15............................................. 429,750 ------------ 2,829,550 ------------ CHEMICALS - 0.88% 450,000 Airgas, Inc. (C)(O) 7.125%, due 10/01/18............................................ 453,375 600,000 Nalco Co. (O) 8.875%, due 11/15/13............................................. 615,000 ------------ 1,068,375 ------------ CONSUMER PRODUCTS - 2.58% 150,000 Church & Dwight Co., Inc. 6.000%, due 12/15/12............................................. 144,000 290,000 Da-Lite Screen Co., Inc. 9.500%, due 05/15/11............................................. 278,400 750,000 Jarden Corp. (O) 7.500%, due 05/01/17............................................. 652,500 900,000 Leslie's Poolmart 7.750%, due 02/01/13............................................. 841,500 500,000 Visant Corp. 7.625%, due 10/01/12............................................. 491,250 750,000 Visant Holding Corp. 8.750%, due 12/01/13............................................. 735,000 ------------ 3,142,650 ------------ ENVIRONMENTAL - 3.28% 1,500,000 Allied Waste North America, Inc., Series B 7.125%, due 05/15/16............................................. 1,492,500 1,000,000 Casella Waste Systems, Inc. 9.750%, due 02/01/13............................................. 995,000 500,000 Waste Services, Inc. (O) 9.500%, due 04/15/14............................................. 505,000 1,000,000 WCA Waste Corp. 9.250%, due 06/15/14............................................. 1,002,500 ------------ 3,995,000 ------------ FOOD & DRUG RETAILERS - 0.61% 250,000 Stater Brothers Holdings (O) 8.125%, due 06/15/12............................................. 251,250
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 30 ================================================================================ HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Par Value Value (Note 2) - --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) - -------------------------------------------------------------------------------------------------- FOOD & DRUG RETAILERS (CONTINUED) $ 500,000 Stater Brothers Holdings (O) 7.750%, due 04/15/15............................................. $ 496,250 ------------ 747,500 ------------ FORESTRY/PAPER - 2.33% 250,000 Domtar Corp. (O) 7.875%, due 10/15/11............................................. 251,250 750,000 Georgia-Pacific LLC (C) 7.125%, due 01/15/17............................................. 705,000 150,000 NewPage Corp. 10.000%, due 05/01/12............................................ 151,875 750,000 Rock-Tenn Co. (C) 9.250%, due 03/15/16............................................. 795,000 500,000 Smurfit-Stone Container Enterprises, Inc. 8.375%, due 07/01/12............................................. 438,750 500,000 Verso Paper Holdings LLC/ Verso Paper, Inc., Series B 9.125%, due 08/01/14............................................. 488,750 ------------ 2,830,625 ------------ GAMING - 6.50% 500,000 Caesars Entertainment, Inc. (O) 7.875%, due 03/15/10............................................. 455,000 200,000 Chukchansi Economic Development Authority (C)(G) 6.328%, due 11/15/12............................................. 167,500 650,000 Global Cash Access LLC/ Global Cash Finance Corp. 8.750%, due 03/15/12............................................. 638,625 350,000 MGM Mirage 6.000%, due 10/01/09............................................. 344,313 400,000 MGM Mirage (O) 8.375%, due 02/01/11............................................. 386,000 1,000,000 MTR Gaming Group, Inc., Series B 9.750%, due 04/01/10............................................. 1,000,000 500,000 Penn National Gaming, Inc. 6.750%, due 03/01/15............................................. 485,000 1,000,000 Pinnacle Entertainment, Inc. (O) 8.250%, due 03/15/12............................................. 982,500 365,000 Pinnacle Entertainment, Inc. (O) 8.750%, due 10/01/13............................................. 365,000 750,000 Scientific Games Corp. (C) 7.875%, due 06/15/16............................................. 746,250 750,000 Seneca Gaming Corp. 7.250%, due 05/01/12............................................. 703,125 1,000,000 Seneca Gaming Corp., Series B 7.250%, due 05/01/12............................................. 937,500 750,000 Shuffle Master, Inc. (P) 1.250%, due 04/15/24............................................. 693,750 ------------ 7,904,563 ------------ GENERAL INDUSTRIAL & MANUFACTURING - 2.27% 750,000 Baldor Electric Co. (O) 8.625%, due 02/15/17............................................. 753,750 250,000 Chart Industries, Inc. 9.125%, due 10/15/15............................................. 259,375 750,000 SPX Corp. (C) 7.625%, due 12/15/14............................................. 761,250 500,000 Terex Corp. (O) 8.000%, due 11/15/17............................................. 496,250 550,000 Trimas Corp. 9.875%, due 06/15/12............................................. 485,375 ------------ 2,756,000 ------------ HEALTH CARE - 12.89% 250,000 Advanced Medical Optics, Inc. (O) 7.500%, due 05/01/17............................................. 230,000 750,000 Advanced Medical Optics, Inc. (P) 3.250%, due 08/01/26............................................. 546,563 450,000 Biomet, Inc. 10.000%, due 10/15/17............................................ 480,375 1,000,000 Carriage Services, Inc. 7.875%, due 01/15/15............................................. 960,000 1,500,000 Community Health Systems, Inc. 8.875%, due 07/15/15............................................. 1,509,375 1,500,000 DaVita, Inc. (O) 7.250%, due 03/15/15............................................. 1,458,750 750,000 HCA, Inc./DE 8.750%, due 09/01/10............................................. 759,375 500,000 HCA, Inc./DE 6.750%, due 07/15/13............................................. 438,750 1,250,000 HCA, Inc./DE 9.250%, due 11/15/16............................................. 1,287,500 1,000,000 Health Management Associates, Inc. (O)(P) 4.375%, due 08/01/23............................................. 996,250 750,000 IASIS Healthcare LLC/ IASIS Capital Corp. 8.750%, due 06/15/14............................................. 757,500 750,000 Psychiatric Solutions, Inc. 7.750%, due 07/15/15............................................. 742,500 650,000 ReAble Therapeutics Finance LLC/ ReAble Therapeutics Finance Corp. (C) 10.875%, due 11/15/14............................................ 650,000 500,000 Res-Care, Inc. 7.750%, due 10/15/13............................................. 476,250 500,000 Service Corp. International/US 7.375%, due 10/01/14............................................. 500,000 500,000 Service Corp. International/US 7.625%, due 10/01/18............................................. 498,750 500,000 Stewart Enterprises, Inc. 6.250%, due 02/15/13............................................. 475,000
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 31 ================================================================================ HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Par Value Value (Note 2) - --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) - -------------------------------------------------------------------------------------------------- HEALTH CARE (CONTINUED) $ 750,000 United Surgical Partners International, Inc. 8.875%, due 05/01/17............................................. $ 697,500 650,000 Universal Hospital Services, Inc. (G) 6.303%, due 06/01/15............................................. 607,750 600,000 Vanguard Health Holding Co. II LLC 9.000%, due 10/01/14............................................. 594,000 1,000,000 Warner Chilcott Corp. 8.750%, due 02/01/15............................................. 1,015,000 ------------ 15,681,188 ------------ HOTELS - 0.94% 1,000,000 Gaylord Entertainment Co. (O) 8.000%, due 11/15/13............................................. 960,000 200,000 Host Hotels & Resorts L.P., Series O 6.375%, due 03/15/15............................................. 177,000 ------------ 1,137,000 ------------ INVESTMENT MANAGEMENT - 0.38% 500,000 Nuveen Investments, Inc. (C) 10.500%, due 11/15/15............................................ 461,250 ------------ LEISURE & ENTERTAINMENT - 0.52% 650,000 Speedway Motorsports, Inc. 6.750%, due 06/01/13............................................. 633,750 ------------ MEDIA - BROADCASTING - 2.60% 1,254,000 Allbritton Communications Co. 7.750%, due 12/15/12............................................. 1,219,515 1,500,000 LIN Television Corp. (O) 6.500%, due 05/15/13............................................. 1,372,500 250,000 LIN Television Corp., Series B 6.500%, due 05/15/13............................................. 228,750 341,000 Sinclair Television Group, Inc. (O) 8.000%, due 03/15/12............................................. 343,558 ------------ 3,164,323 ------------ MEDIA - CABLE - 5.21% 1,500,000 Cablevision Systems Corp., Series B (G) 7.133%, due 04/01/09............................................. 1,500,000 750,000 Cablevision Systems Corp., Series B 8.000%, due 04/15/12............................................. 708,750 500,000 DirecTV Holdings LLC/ DirecTV Financing Co. (O) 8.375%, due 03/15/13............................................. 515,000 500,000 Echostar DBS Corp. 5.750%, due 10/01/08............................................. 500,000 1,250,000 Echostar DBS Corp. 7.125%, due 02/01/16............................................. 1,153,125 750,000 Mediacom Broadband LLC (O) 8.500%, due 10/15/15............................................. 670,312 250,000 Videotron, Ltd. (C)(D) 9.125%, due 04/15/18............................................. 261,250 1,100,000 Virgin Media Finance PLC (D) 9.125%, due 08/15/16............................................. 1,031,250 ------------ 6,339,687 ------------ MEDIA - DIVERSIFIED & SERVICES - 3.36% 1,000,000 Hughes Network Systems LLC/ HNS Finance Corp. 9.500%, due 04/15/14............................................. 1,011,250 500,000 Intelsat Jackson Holdings, Ltd. (D) 9.250%, due 06/15/16............................................. 503,750 750,000 Intelsat Jackson Holdings, Ltd. (D) 11.250%, due 06/15/16............................................ 759,375 210,000 Lamar Media Corp. (O) 7.250%, due 01/01/13............................................. 201,862 500,000 Lamar Media Corp. (O) 6.625%, due 08/15/15............................................. 455,000 500,000 Lamar Media Corp., Series C 6.625%, due 08/15/15............................................. 455,000 750,000 Quebecor Media, Inc. (D) 7.750%, due 03/15/16............................................. 697,500 ------------ 4,083,737 ------------ METALS AND MINING - 2.32% 1,100,000 Arch Western Finance LLC 6.750%, due 07/01/13............................................. 1,078,000 1,000,000 Massey Energy Co. 6.625%, due 11/15/10............................................. 1,000,000 750,000 Peabody Energy Corp. (O) 7.375%, due 11/01/16............................................. 748,125 ------------ 2,826,125 ------------ NON FOOD & DRUG RETAILERS - 2.10% 500,000 Buhrmann US, Inc. 7.875%, due 03/01/15............................................. 558,690 1,000,000 Sally Holdings LLC (O) 9.250%, due 11/15/14............................................. 960,000 640,000 Susser Holdings LLC 10.625%, due 12/15/13............................................ 649,600 500,000 Yankee Acquisition Corp./ MA, Series B (O) 8.500%, due 02/15/15............................................. 390,000 ------------ 2,558,290 ------------ OIL & GAS - 8.95% 500,000 Chesapeake Energy Corp. 6.375%, due 06/15/15............................................. 472,500 500,000 Cimarex Energy Co. 7.125%, due 05/01/17............................................. 491,250 1,000,000 Complete Production Services, Inc................................ 8.000%, due 12/15/16............................................. 998,750 700,000 Compton Petroleum Finance Corp. 7.625%, due 12/01/13............................................. 687,750
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 32 ================================================================================ HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Par Value Value (Note 2) - --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) - -------------------------------------------------------------------------------------------------- OIL & GAS (CONTINUED) $ 500,000 Encore Acquisition Co. 6.000%, due 07/15/15............................................. $ 470,000 1,000,000 EXCO Resources, Inc. 7.250%, due 01/15/11............................................. 982,500 250,000 Helix Energy Solutions Group, Inc. (C) 9.500%, due 01/15/16............................................. 256,250 750,000 Key Energy Services, Inc. (C) 8.375%, due 12/01/14............................................. 765,000 750,000 Mariner Energy, Inc. 8.000%, due 05/15/17............................................. 725,625 1,000,000 PetroHawk Energy Corp. 9.125%, due 07/15/13............................................. 1,025,000 500,000 PetroHawk Energy Corp. (C) 7.875%, due 06/01/15............................................. 488,125 1,500,000 Petroplus Finance, Ltd. (C)(D) 7.000%, due 05/01/17............................................. 1,323,750 250,000 Range Resources Corp. 6.375%, due 03/15/15............................................. 238,750 500,000 Range Resources Corp. 7.250%, due 05/01/18............................................. 496,250 500,000 SandRidge Energy, Inc. (C) 8.000%, due 06/01/18............................................. 502,500 1,000,000 W&T Offshore, Inc. (C) 8.250%, due 06/15/14............................................. 965,000 ------------ 10,889,000 ------------ PACKAGING - 1.62% 1,000,000 Ball Corp. 6.625%, due 03/15/18............................................. 975,000 750,000 BWAY Corp. 10.000%, due 10/15/10............................................ 750,000 250,000 Greif, Inc. 6.750%, due 02/01/17............................................. 241,250 ------------ 1,966,250 ------------ PRINTING & PUBLISHING - 0.52% 750,000 Cenveo Corp. (O) 7.875%, due 12/01/13............................................. 626,250 ------------ RESTAURANTS - 0.69% 1,000,000 Seminole Hard Rock Entertainment, Inc. (C)(G) 5.276%, due 03/15/14............................................. 840,000 ------------ SUPPORT SERVICES - 7.25% 1,750,000 ARAMARK Corp. (O) 8.500%, due 02/01/15............................................. 1,715,000 500,000 Cardtronics, Inc. 9.250%, due 08/15/13............................................. 472,500 1,000,000 Corrections Corp. of America 7.500%, due 05/01/11............................................. 1,005,000 750,000 Education Management LLC/ Education Management Finance Corp. 10.250%, due 06/01/16............ 690,000 1,000,000 FTI Consulting, Inc. 7.750%, due 10/01/16............................................. 1,025,000 850,000 Hertz Corp./The 8.875%, due 01/01/14............................................. 777,750 500,000 HUB International Holdings, Inc. (C) 10.250%, due 06/15/15............ 410,000 300,000 Iron Mountain, Inc. (O) 8.625%, due 04/01/13............................................. 301,500 640,000 Iron Mountain, Inc. 7.750%, due 01/15/15............................................. 636,800 300,000 Lender Processing Services, Inc. (C)(H) 8.125%, due 07/01/16............................................. 300,375 500,000 Mac-Gray Corp. 7.625%, due 08/15/15............................................. 477,500 750,000 VeriFone Holdings, Inc. (C)(P) 1.625%, due 06/15/12............................................. 553,125 500,000 West Corp. 9.500%, due 10/15/14............................................. 450,000 ------------ 8,814,550 ------------ TECHNOLOGY - 2.19% 500,000 Flextronics International, Ltd. (D) 6.500%, due 05/15/13............................................. 477,500 500,000 Sungard Data Systems, Inc. 9.125%, due 08/15/13............................................. 505,000 500,000 Sungard Data Systems, Inc. (O) 10.250%, due 08/15/15............................................ 502,500 1,250,000 Syniverse Technologies, Inc., Series B 7.750%, due 08/15/13............................................. 1,175,000 ------------ 2,660,000 ------------ TELECOMMUNICATIONS - 8.00% 1,000,000 Centennial Communications Corp. (G) 8.448%, due 01/01/13............................................. 965,000 1,000,000 Cincinnati Bell, Inc. (O) 8.375%, due 01/15/14............................................. 967,500 700,000 Cincinnati Bell Telephone Co. LLC 6.300%, due 12/01/28............................................. 560,000 1,250,000 Citizens Communications Co. (O) 6.625%, due 03/15/15............................................. 1,134,375 500,000 Citizens Communications Co. 7.875%, due 01/15/27............................................. 437,500 1,500,000 Nordic Telephone Co. Holdings ApS (C)(D) 8.875%, due 05/01/16............................................. 1,470,000
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 33 ================================================================================ HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Par Value Value (Note 2) - --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) - -------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS (CONTINUED) $ 750,000 PAETEC Holding Corp. 9.500%, due 07/15/15............................................. $ 691,875 500,000 Qwest Capital Funding, Inc. 7.250%, due 02/15/11............................................. 485,000 625,000 Qwest Communications International, Inc. (G) 6.176%, due 02/15/09............................................. 621,875 1,000,000 Qwest Communications International, Inc., Series B 7.500%, due 02/15/14............................................. 950,000 1,000,000 Windstream Corp. 8.625%, due 08/01/16............................................. 997,500 500,000 Windstream Corp. 7.000%, due 03/15/19............................................. 453,750 ------------ 9,734,375 ------------ TRANSPORTATION - 2.38% 500,000 Bristow Group, Inc. 6.125%, due 06/15/13............................................. 481,250 750,000 Bristow Group, Inc. 7.500%, due 09/15/17............................................. 751,875 500,000 CHC Helicopter Corp. (D) 7.375%, due 05/01/14............................................. 518,750 755,000 Gulfmark Offshore, Inc. 7.750%, due 07/15/14............................................. 760,662 400,000 Hornbeck Offshore Services, Inc., Series B 6.125%, due 12/01/14............................................. 384,000 ------------ 2,896,537 ------------ UTILITIES - 9.91% 1,000,000 AES Corp./The (C) 8.000%, due 06/01/20............................................. 965,000 250,000 Dynegy Holdings, Inc. 6.875%, due 04/01/11............................................. 247,188 1,000,000 Dynegy Holdings, Inc. 8.375%, due 05/01/16............................................. 970,000 1,500,000 Edison Mission Energy 7.200%, due 05/15/19............................................. 1,398,750 1,700,000 El Paso Corp. 7.250%, due 06/01/18............................................. 1,674,500 1,000,000 Energy Future Holdings Corp. (C)(O) 10.875%, due 11/01/17............................................ 1,010,000 1,000,000 Ferrellgas Partners L.P./ Ferrellgas Partners Finance 8.750%, due 06/15/12............................................. 980,000 500,000 Inergy L.P./Inergy Finance Corp. 6.875%, due 12/15/14............................................. 465,000 1,000,000 MarkWest Energy Partners L.P./ MarkWest Energy Finance Corp. (C) 8.750%, due 04/15/18............................................. 1,022,500 1,750,000 NRG Energy, Inc. 7.375%, due 02/01/16............................................. 1,647,187 1,000,000 Suburban Propane Partners L.P./ Suburban Energy Finance Corp. (O) 6.875%, due 12/15/13............................................. 945,000 750,000 Texas Competitive Electric Holdings Co. LLC (C) 10.250%, due 11/01/15............................................ 735,000 ------------ 12,060,125 ------------ TOTAL CORPORATE NOTES AND BONDS (Cost $122,012,700) ............................................. 118,151,289 Shares - ------ INVESTMENT COMPANY - 1.32% - -------------------------------------------------------------------------------------------------- 1,605,830 SSgA Prime Money Market Fund (N).................................................. 1,605,830 ------------ TOTAL INVESTMENT COMPANY (Cost $1,605,830) ............................................... 1,605,830 ------------ COLLATERAL FOR SECURITIES ON LOAN - 16.32% - -------------------------------------------------------------------------------------------------- 19,855,472 State Street Navigator Securities Lending Prime Portfolio (I)...................................... 19,855,472 ------------ TOTAL COLLATERAL FOR SECURITIES ON LOAN (Cost $19,855,472) .............................................. 19,855,472 TOTAL INVESTMENTS - 114.77% - -------------------------------------------------------------------------------------------------- (Cost $143,474,002**).......................................................... 139,612,591 NET OTHER ASSETS AND LIABILITIES - (14.77)% - -------------------------------------------------------------------------------------------------- (17,973,733) TOTAL NET ASSETS - 100.00% - -------------------------------------------------------------------------------------------------- $121,638,858
- -------------------------------------------------------------------------------- ** Aggregate cost for Federal tax purposes was $143,596,234. (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. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 34 ================================================================================ HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- (D) Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 6.39% of total net assets. (G) Floating rate or variable rate note. Rate shown is as of June 30, 2008. (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. (N) Security segregated for forward or when-issued purchase commitments outstanding as of June 30, 2008. (O) All (or portion of security) on loan. (P) Convertible. 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. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 35 ================================================================================ DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- [PIE CHART OF PORTFOLIO ALLOCATION] PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2008 Common Stocks 42% Corporate Notes and Bonds 20% Mortgage Backed 17% U.S. Government and Agency Obligations 11% Commercial Mortgage Backed 5% Asset Backed 2% Cash and Other Net Assets 2% Private Label Mortgage Backed 1%
[END CHART] - --------------------------------------------------------------------------------
Shares Value (Note 2) - --------- -------------- COMMON STOCKS - 41.40% - -------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 2.16% 96,000 Carnival Corp. (O) .............................................. $ 3,164,160 65,000 Harley-Davidson, Inc. (O) ....................................... 2,356,900 135,000 Home Depot, Inc. ................................................ 3,161,700 52,000 McDonald's Corp. ................................................ 2,923,440 ------------ 11,606,200 ------------ CONSUMER STAPLES - 5.68% 159,000 Altria Group, Inc. .............................................. 3,269,040 56,800 Anheuser-Busch Cos., Inc. ....................................... 3,528,416 64,000 Coca-Cola Co./The ............................................... 3,326,720 60,200 Kimberly-Clark Corp. ............................................ 3,598,756 81,918 Kraft Foods, Inc., Class A ...................................... 2,330,567 19,000 PepsiCo, Inc. ................................................... 1,208,210 151,000 Philip Morris International, Inc. ............................................................ 7,457,890 38,300 Procter & Gamble Co.............................................. 2,329,023 126,000 SYSCO Corp. (O).................................................. 3,466,260 ------------ 30,514,882 ------------ ENERGY - 3.85% 35,200 BP PLC, ADR ..................................................... 2,448,864 127,000 Chevron Corp. ................................................... 12,589,510 59,600 ConocoPhillips .................................................. 5,625,644 ------------ 20,664,018 ------------ FINANCIALS - 8.60% 53,014 Allstate Corp./The .............................................. 2,416,908 268,996 Bank of America Corp. ........................................... 6,420,935 76,400 BB&T Corp. (O)................................................... 1,739,628 200,005 Citigroup, Inc. ................................................. 3,352,084 19,000 Hartford Financial Services Group, Inc. ..................................................... 1,226,830 227,054 JPMorgan Chase & Co. ............................................ 7,790,223 95,000 Marsh & McLennan Cos., Inc. 2,522,250 31,000 PNC Financial Services Group, Inc. ............................................................ 1,770,100 38,700 SunTrust Banks, Inc. (O) ........................................ 1,401,714 28,500 Travelers Cos., Inc./The......................................... 1,236,900 256,000 US Bancorp (O)................................................... 7,139,840 113,600 Wachovia Corp. (O) .............................................. 1,764,208 310,000 Wells Fargo & Co. ............................................... 7,362,500 ------------ 46,144,120 ------------ HEALTH CARE - 7.78% 70,500 Abbott Laboratories ............................................. 3,734,385 193,000 Bristol-Myers Squibb Co. ........................................ 3,962,290 59,000 Eli Lilly & Co. ................................................. 2,723,440 193,000 Johnson & Johnson................................................ 12,417,620 156,000 Merck & Co., Inc. ............................................... 5,879,640 475,019 Pfizer, Inc. .................................................... 8,298,582 99,000 Wyeth............................................................ 4,748,040 ------------ 41,763,997 ------------ INDUSTRIALS - 3.62% 34,000 3M Co. .......................................................... 2,366,060 383,000 General Electric Co. ............................................ 10,222,270 84,000 United Parcel Service, Inc., Class B.................................................... 5,163,480 45,100 Waste Management, Inc. .......................................... 1,700,721 ------------ 19,452,531 ------------ INFORMATION TECHNOLOGY - 1.35% 85,000 Automatic Data Processing, Inc. ............................................................ 3,561,500 50,000 Intel Corp. ..................................................... 1,074,000 83,700 Paychex, Inc. ................................................... 2,618,136 ------------ 7,253,636 ------------
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 36 ================================================================================ DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - --------- -------------- COMMON STOCKS (CONTINUED) - -------------------------------------------------------------------------------------------------- MATERIALS - 2.30% 30,000 Dow Chemical Co./The (O) ........................................ $ 1,047,300 130,500 EI Du Pont de Nemours & Co. ..................................... 5,597,145 5,300 Freeport-McMoRan Copper & Gold, Inc. ...................................................... 621,107 39,000 Nucor Corp. (O) ................................................. 2,912,130 42,700 Weyerhaeuser Co. (O)............................................. 2,183,678 ------------ 12,361,360 ------------ TELECOMMUNICATION SERVICES - 3.28% 304,515 AT&T, Inc. ...................................................... 10,259,110 25,000 Embarq Corp. .................................................... 1,181,750 174,000 Verizon Communications, Inc. .................................... 6,159,600 ------------ 17,600,460 ------------ UTILITIES - 2.78% 60,800 Consolidated Edison, Inc. (O) 2,376,672 149,000 Duke Energy Corp. ............................................... 2,589,620 30,500 FirstEnergy Corp. ............................................... 2,511,065 64,000 PG&E Corp. (O) .................................................. 2,540,160 56,500 Progress Energy, Inc. ........................................... 2,363,395 72,000 Southern Co. .................................................... 2,514,240 ------------ 14,895,152 ------------ TOTAL COMMON STOCKS (Cost $231,574,927) ............................................. 222,256,356 COMMON STOCK UNIT - 0.39% - -------------------------------------------------------------------------------------------------- FINANCIALS - 0.39% 38,000 AllianceBernstein Holding L.P. .................................. 2,077,840 ------------ TOTAL COMMON STOCK UNIT (Cost $3,229,736) ............................................... 2,077,840 PAR VALUE - --------- ASSET BACKED - 1.81% - -------------------------------------------------------------------------------------------------- $ 599,648 ABSC Long Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (M) 8.550%, due 09/21/30............................................. 551,523 843,088 Ameriquest Mortgage Securities, Inc., Series 2004-FR1, Class M2 (M) 5.207%, due 05/25/34............................................. 637,670 1,975,000 Carmax Auto Owner Trust, Series 2007-2, Class B 5.370%, due 03/15/13............................................. 1,905,844 2,045,000 Chase Issuance Trust, Series 2007-A17, Class A 5.120%, due 10/15/14............................................. 2,036,762 1,300,372 CIT Group Home Equity Loan Trust, Series 2002-2, Class BF (M) 6.830%, due 06/25/33............................................. 646,325 1,460,000 Daimler Chrysler Auto Trust, Series 2007-A, Class A3A 5.000%, due 02/08/12............................................. 1,467,852 1,120,000 GMAC Mortgage Corp. Loan Trust, Series 2004-HE2, Class M1 3.950%, due 10/25/33............................................. 989,849 756,959 Green Tree Financial Corp., Series 1998-2, Class A6 (G) 6.810%, due 12/01/27............................................. 735,449 1,025,000 Renaissance Home Equity Loan Trust, Series 2005-4, Class M9 (M) 7.000%, due 02/25/36............................................. 452,017 675,115 Wells Fargo Home Equity Trust, Series 2004-2, Class M8A (C)(G) 5.483%, due 05/25/34............................................. 274,292 ------------ TOTAL ASSET BACKED (Cost $11,730,200) .............................................. 9,697,583 COMMERCIAL MORTGAGE BACKED - 5.45% - -------------------------------------------------------------------------------------------------- 555,176 Bear Stearns Commercial Mortgage Securities, Series 2001-TOP4, Class A1 5.060%, due 11/15/16............................................. 556,570 1,815,000 Bear Stearns Commercial Mortgage Securities, Series 2003-T10, Class E (C)(G) 5.540%, due 03/13/40............................................. 1,524,342 1,325,000 Bear Stearns Commercial Mortgage Securities, Series 2004-T16, Class A6 (G) 4.750%, due 02/13/46............................................. 1,251,258 765,000 Bear Stearns Commercial Mortgage Securities, Series 2005-T20, Class F (C)(G) 4.832%, due 10/12/42............................................. 572,705 3,025,583 GMAC Commercial Mortgage Securities, Inc., Series 2000-C1, Class A2 (G) 7.724%, due 03/15/33............................................. 3,125,505 2,100,000 Government National Mortgage Association, Series 2004-43, Class C (G) 5.008%, due 12/16/25............................................. 2,080,022 1,400,000 Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A7 (G) 5.317%, due 06/10/36............................................. 1,375,867 2,900,000 LB-UBS Commercial Mortgage Trust, Series 2004-C1, Class A2 3.624%, due 01/15/29............................................. 2,876,541
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 37 ================================================================================ DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Par Value Value (Note 2) - --------- -------------- COMMERCIAL MORTGAGE BACKED (CONTINUED) - -------------------------------------------------------------------------------------------------- $1,600,000 LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A6 (G) 4.799%, due 12/15/29............................................. $ 1,521,873 2,600,000 Morgan Stanley Capital I, Series 2004-HQ4, Class A7 4.970%, due 04/14/40............................................. 2,495,264 2,500,000 Morgan Stanley Capital I, Series 2004-T13, Class A3 4.390%, due 09/13/45............................................. 2,405,579 2,710,000 Morgan Stanley Capital I, Series 2006-IQ12, Class ANM 5.310%, due 12/15/43............................................. 2,655,032 2,690,000 Multi Security Asset Trust, Series 2005-RR4A, Class H (C)(G) 5.880%, due 11/28/35............................................. 2,216,883 775,000 Multi Security Asset Trust, Series 2005-RR4A, Class J (C) 5.880%, due 11/28/35............................................. 546,925 326,114 Wachovia Bank Commercial Mortgage Trust, Series 2003-C6, Class A1 3.364%, due 08/15/35............................................. 325,584 3,760,000 Wachovia Bank Commercial Mortgage Trust, Series 2003-C8, Class A2 3.894%, due 11/15/35............................................. 3,749,700 ------------ TOTAL COMMERCIAL MORTGAGE BACKED (Cost $30,718,573) .............................................. 29,279,650 PRIVATE LABEL MORTGAGE BACKED - 1.38% - -------------------------------------------------------------------------------------------------- 2,119,475 Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 6.000%, due 01/25/36............................................. 2,012,814 2,834,770 Banc of America Alternative Loan Trust, Series 2006-3, Class 2CB1 6.000%, due 04/25/36............................................. 2,588,563 3,041,388 Banc of America Alternative Loan Trust, Series 2006-4, Class 5CB1 6.500%, due 05/25/46............................................. 2,826,590 ------------ TOTAL PRIVATE LABEL MORTGAGE BACKED (Cost $7,995,264) ............................................... 7,427,967 CORPORATE NOTES AND BONDS - 19.64% - -------------------------------------------------------------------------------------------------- BEVERAGE/FOOD - 0.35% 2,025,000 Kraft Foods, Inc. 6.500%, due 11/01/31............................................. 1,874,247 ------------ CONSUMER DISCRETIONARY - 1.46% 2,000,000 American Association of Retired Persons (C) 7.500%, due 05/01/31............................................. 2,537,790 2,400,000 Centex Corp. 4.875%, due 08/15/08............................................. 2,391,000 1,850,000 Erac USA Finance Co. (C) 6.700%, due 06/01/34............................................. 1,515,115 1,600,000 Royal Caribbean Cruises, Ltd. (D) 7.250%, due 06/15/16............................................. 1,400,000 ------------ 7,843,905 ------------ CONSUMER STAPLES - 0.57% 1,055,000 Diageo Capital PLC (D) 5.500%, due 09/30/16............................................. 1,032,362 620,000 PepsiCo, Inc. 4.650%, due 02/15/13............................................. 629,203 1,400,000 Safeway, Inc. 4.125%, due 11/01/08............................................. 1,400,906 ------------ 3,062,471 ------------ ENERGY - 1.26% 2,000,000 Chesapeake Energy Corp. 6.375%, due 06/15/15............................................. 1,890,000 1,500,000 ConocoPhillips 6.650%, due 07/15/18............................................. 1,643,745 1,150,000 Hess Corp. 7.875%, due 10/01/29............................................. 1,318,943 750,000 Transocean, Inc. 6.000%, due 03/15/18............................................. 751,122 1,030,000 Transocean, Inc. 7.500%, due 04/15/31............................................. 1,127,987 ------------ 6,731,797 ------------ FINANCE - 4.54% 1,115,000 American General Finance Corp. 5.850%, due 06/01/13............................................. 983,346 1,500,000 American General Finance Corp., Series H 4.625%, due 09/01/10............................................. 1,453,367 620,000 Bank of America Corp. 5.750%, due 12/01/17............................................. 582,252 1,130,000 Bear Stearns Cos., Inc./The 7.250%, due 02/01/18............................................. 1,179,228 1,450,000 CIT Group, Inc. 7.625%, due 11/30/12............................................. 1,205,208 1,450,000 HCP, Inc. 6.700%, due 01/30/18............................................. 1,303,656 1,350,000 HSBC Finance Corp. 6.500%, due 11/15/08............................................. 1,360,793 1,735,000 Lehman Brothers Holdings, Inc. 5.750%, due 01/03/17............................................. 1,531,080
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 38 ================================================================================ DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Par Value Value (Note 2) - --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) - -------------------------------------------------------------------------------------------------- FINANCE (CONTINUED) $1,415,000 Merrill Lynch & Co., Inc. 6.150%, due 04/25/13............................................. $ 1,371,419 2,400,000 National Rural Utilities Cooperative Finance Corp., Series C 7.250%, due 03/01/12............................................. 2,554,802 3,240,000 Nissan Motor Acceptance Corp. (C) 5.625%, due 03/14/11............................................. 3,216,575 1,505,000 SLM Corp. 5.125%, due 08/27/12............................................. 1,309,525 1,000,000 Swiss Re Insurance Solutions Holding Corp. 7.000%, due 02/15/26............................................. 1,008,081 785,000 Swiss Re Insurance Solutions Holding Corp. 7.750%, due 06/15/30............................................. 851,531 2,000,000 US Bank NA/Cincinnati OH 6.300%, due 02/04/14............................................. 2,109,556 1,450,000 Well Fargo & Co. 5.250%, due 10/23/12............................................. 1,439,442 935,000 Western Union Co./The 5.930%, due 10/01/16............................................. 917,021 ------------ 24,376,882 ------------ FOOD & DRUG RETAILERS - 0.31% 1,550,000 Medco Health Solutions, Inc. 7.250%, due 08/15/13............................................. 1,645,592 ------------ HEALTH CARE - 2.05% 3,950,000 Amgen, Inc. 5.850%, due 06/01/17............................................. 3,890,612 1,200,000 Eli Lilly & Co. 6.570%, due 01/01/16............................................. 1,303,528 740,000 Genentech, Inc. 5.250%, due 07/15/35............................................. 670,765 1,220,000 Merck & Co., Inc. 6.400%, due 03/01/28............................................. 1,273,340 1,500,000 Quest Diagnostics, Inc. 5.450%, due 11/01/15............................................. 1,419,343 1,400,000 WellPoint, Inc. 5.000%, due 12/15/14............................................. 1,313,687 1,100,000 Wyeth 6.500%, due 02/01/34............................................. 1,140,548 ------------ 11,011,823 ------------ INDUSTRIALS - 1.52% 350,000 Boeing Co. 8.625%, due 11/15/31............................................. 467,327 620,000 Boeing Co. 6.875%, due 10/15/43............................................. 679,591 515,000 DR Horton, Inc. 5.250%, due 02/15/15............................................. 409,425 310,000 EI Du Pont de Nemours & Co. 5.000%, due 01/15/13............................................. 312,616 1,000,000 Ford Motor Credit Co. LLC 5.800%, due 01/12/09............................................. 954,857 1,450,000 GMAC LLC 7.250%, due 03/02/11............................................. 1,065,766 780,000 Lockheed Martin Corp. 7.650%, due 05/01/16............................................. 885,811 1,150,000 Waste Management, Inc. 7.125%, due 12/15/17............................................. 1,231,107 1,025,000 Westvaco Corp. 8.200%, due 01/15/30............................................. 992,301 1,170,000 WM Wrigley Jr. Co. 4.300%, due 07/15/10............................................. 1,177,538 ------------ 8,176,339 ------------ MEDIA - 0.65% 1,780,000 Comcast Cable Communications Holdings, Inc. 9.455%, due 11/15/22............................................. 2,151,983 1,315,000 Rogers Communications, Inc. (D) 6.250%, due 06/15/13............................................. 1,343,719 ------------ 3,495,702 ------------ PIPELINE - 0.30% 1,600,000 Panhandle Eastern Pipeline Co. 4.800%, due 08/15/08............................................. 1,599,610 ------------ REAL ESTATE INVESTMENT TRUSTS - 1.05% 2,685,000 Equity One, Inc. 3.875%, due 04/15/09............................................. 2,631,214 2,400,000 Nationwide Health Properties, Inc., Series D 8.250%, due 07/01/12............................................. 2,513,983 530,000 Simon Property Group L.P. 5.875%, due 03/01/17............................................. 508,945 ------------ 5,654,142 ------------ TELECOMMUNICATIONS - 0.31% 960,000 Cisco Systems, Inc. 5.500%, due 02/22/16............................................. 968,551 795,000 Sprint Nextel Corp. 6.000%, due 12/01/16............................................. 683,700 ------------ 1,652,251 ------------ TRANSPORTATION - 0.99% 1,365,000 Burlington Northern Santa Fe Corp. 8.125%, due 04/15/20............................................. 1,566,133 1,725,000 CSX Corp. 6.250%, due 10/15/08............................................. 1,734,446 957,000 Norfolk Southern Corp. 5.590%, due 05/17/25............................................. 865,088 1,050,000 Norfolk Southern Corp. 7.050%, due 05/01/37............................................. 1,134,344 ------------ 5,300,011 ------------
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 39 ================================================================================ DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Par Value Value (Note 2) - --------- -------------- CORPORATE NOTES AND BONDS (CONTINUED) - -------------------------------------------------------------------------------------------------- UTILITIES - 4.28% $1,250,000 Consumers Energy Co. 5.650%, due 04/15/20............................................. $ 1,220,704 2,000,000 Energy East Corp. 8.050%, due 11/15/10............................................. 2,149,634 1,300,000 Illinois Power Co. 7.500%, due 06/15/09............................................. 1,322,244 1,555,000 Indianapolis Power & Light Co. (C) 6.050%, due 10/01/36............................................. 1,403,327 4,000,000 Midamerican Energy Co. 5.650%, due 07/15/12............................................. 4,103,216 1,600,000 Nevada Power Co., Series R 6.750%, due 07/01/37............................................. 1,563,611 1,365,000 Pacific Gas & Electric Co. 6.050%, due 03/01/34............................................. 1,316,178 2,000,000 Progress Energy, Inc. 7.750%, due 03/01/31............................................. 2,285,494 1,750,000 Public Service Co. of New Mexico 4.400%, due 09/15/08............................................. 1,743,949 474,000 Sierra Pacific Power Co., Series M 6.000%, due 05/15/16............................................. 468,763 1,500,000 Southern Power Co., Series B 6.250%, due 07/15/12............................................. 1,562,913 835,000 Southwestern Electric Power Co., Series E 5.550%, due 01/15/17............................................. 790,015 620,000 Virginia Electric and Power Co. 5.100%, due 11/30/12............................................. 620,310 2,400,000 Westar Energy, Inc. 6.000%, due 07/01/14............................................. 2,432,719 ------------ 22,983,077 ------------ TOTAL CORPORATE NOTES AND BONDS (Cost $108,663,982) ............................................. 105,407,849 MORTGAGE BACKED - 17.34% - -------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. - 1.78% 85,760 8.000%, due 06/01/30 Pool # C01005.................................................... 92,898 418,445 6.500%, due 01/01/32 Pool # C62333.................................................... 435,175 106,226 6.500%, due 03/01/32 Pool # C65648.................................................... 110,406 4,021,403 5.000%, due 07/01/33 Pool # A11325 ................................................... 3,878,219 417,797 6.000%, due 10/01/34 Pool # A28439 ................................................... 423,664 418,081 6.000%, due 10/01/34 Pool # A28598 ................................................... 423,952 276,683 5.000%, due 04/01/35 Pool # A32314 ................................................... 266,054 570,444 5.000%, due 04/01/35 Pool # A32315 ................................................... 548,529 466,258 5.000%, due 04/01/35 Pool # A32316 ................................................... 448,345 261,129 5.000%, due 04/01/35 Pool # A32509 ................................................... 251,096 2,815,508 5.000%, due 01/01/37 Pool # A56371 ................................................... 2,703,822 ------------ 9,582,160 ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION - 15.52% 1,334,863 4.000%, due 04/01/15 Pool # 255719 ................................................... 1,302,395 1,432,335 5.500%, due 04/01/16 Pool # 745444 ................................................... 1,452,185 370,530 6.000%, due 05/01/16 Pool # 582558 ................................................... 381,229 2,230,802 5.000%, due 12/01/17 Pool # 672243 ................................................... 2,228,688 2,235,317 4.500%, due 09/01/20 Pool # 835465 ................................................... 2,174,823 409,094 6.000%, due 05/01/21 Pool # 253847 ................................................... 418,175 71,165 7.000%, due 12/01/29 Pool # 762813 ................................................... 75,542 204,420 7.000%, due 11/01/31 Pool # 607515 ................................................... 216,037 2,853 7.000%, due 04/01/32 Pool # 641518 ................................................... 3,015 225,611 7.000%, due 05/01/32 Pool # 644591 ................................................... 238,433 1,264,710 6.500%, due 06/01/32 Pool # 545691 ................................................... 1,312,903 1,043,596 6.500%, due 09/01/33 Pool # 737582 ................................................... 1,082,058 1,652,720 5.500%, due 10/01/33 Pool # 254904 ................................................... 1,638,743 6,123,852 5.500%, due 11/01/33 Pool # 555880 ................................................... 6,072,063 4,684,027 5.000%, due 05/01/34 Pool # 780890 ................................................... 4,512,859 41,020 7.000%, due 07/01/34 Pool # 792636 ................................................... 43,260 674,254 5.500%, due 08/01/34 Pool # 793647 ................................................... 667,288 2,988,966 5.500%, due 03/01/35 Pool # 815976 ................................................... 2,955,282
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 40 ================================================================================ DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Par Value Value (Note 2) - --------- -------------- MORTGAGE BACKED (CONTINUED) - -------------------------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED) $1,538,513 5.500%, due 07/01/35 Pool # 825283 ................................................... $ 1,521,174 933,218 5.500%, due 08/01/35 Pool # 826872 ................................................... 922,701 1,465,648 5.000%, due 09/01/35 Pool # 820347 ................................................... 1,409,799 1,622,731 5.000%, due 09/01/35 Pool # 835699 ................................................... 1,560,896 1,990,696 5.000%, due 10/01/35 Pool # 797669 ................................................... 1,914,840 1,899,096 5.500%, due 10/01/35 Pool # 836912 ................................................... 1,877,694 2,124,390 5.000%, due 12/01/35 Pool # 850561 ................................................... 2,043,439 3,854,193 5.500%, due 12/01/35 Pool # 844583 ................................................... 3,810,758 787,523 5.500%, due 02/01/36 Pool # 851330 ................................................... 778,648 2,788,417 5.500%, due 09/01/36 Pool # 831820 ................................................... 2,753,507 3,566,995 6.000%, due 09/01/36 Pool # 831741 ................................................... 3,603,710 818,609 5.500%, due 10/01/36 Pool # 896340 ................................................... 808,360 3,687,401 5.500%, due 10/01/36 Pool # 901723 ................................................... 3,641,236 2,410,032 6.500%, due 10/01/36 Pool # 894118 ................................................... 2,484,545 3,027,271 6.000%, due 11/01/36 Pool # 902510 ................................................... 3,066,099 3,461,385 5.500%, due 12/01/36 Pool # 902853 ................................................... 3,418,050 3,198,976 5.500%, due 12/01/36 Pool # 903059 ................................................... 3,158,926 3,343,566 5.500%, due 12/01/36 Pool # 907512 ................................................... 3,301,706 3,439,507 5.500%, due 12/01/36 Pool # 907635 ................................................... 3,396,446 3,080,523 6.000%, due 12/01/36 Pool # 903002 ................................................... 3,112,231 2,713,949 5.500%, due 01/01/37 Pool # 906268 ................................................... 2,679,972 2,595,665 5.500%, due 02/01/37 Pool # 905140 ................................................... 2,563,169 2,744,844 5.500%, due 05/01/37 Pool # 899323 ................................................... 2,709,039 ------------ 83,311,923 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.04% 194,147 6.500%, due 04/20/31 Pool # 003068 ................................................... 201,163 ------------ TOTAL MORTGAGE BACKED (Cost $93,320,623) .............................................. 93,095,246 U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 11.18% - -------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. - 0.64% (O) 3,400,000 4.500%, due 01/15/14............................................. 3,441,082 ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.11% 2,250,000 4.000%, due 09/02/08............................................. 2,253,758 750,000 5.250%, due 08/01/12 (O) ........................................ 759,018 2,500,000 6.625%, due 11/15/30 (O) ........................................ 2,967,640 ------------ 5,980,416 ------------ U.S. TREASURY BONDS - 1.23% (O) 5,270,000 6.625%, due 02/15/27............................................. 6,605,618 ------------ U.S. TREASURY NOTES - 8.20% (O) 3,175,000 3.000%, due 02/15/09............................................. 3,190,627 700,000 2.625%, due 03/15/09............................................. 701,859 1,400,000 4.875%, due 05/31/09............................................. 1,431,500 1,850,000 3.875%, due 05/15/10............................................. 1,895,382 500,000 4.500%, due 11/15/10............................................. 520,508 500,000 4.750%, due 03/31/11............................................. 524,649 3,900,000 4.875%, due 04/30/11............................................. 4,111,150 6,150,000 4.625%, due 12/31/11............................................. 6,461,344 3,400,000 4.625%, due 02/29/12............................................. 3,576,375 2,000,000 4.875%, due 06/30/12............................................. 2,125,312 5,500,000 4.000%, due 11/15/12............................................. 5,684,767 1,980,000 3.625%, due 05/15/13............................................. 2,008,926 310,000 4.000%, due 02/15/14............................................. 319,712 2,450,000 4.250%, due 08/15/14............................................. 2,559,677 3,550,000 4.500%, due 02/15/16............................................. 3,734,433 1,100,000 4.625%, due 02/15/17............................................. 1,158,093 3,830,000 4.500%, due 05/15/17............................................. 3,989,182 ------------ 43,993,496 ------------ TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $57,235,604) .............................................. 60,020,612 INVESTMENT COMPANY - 0.90% - -------------------------------------------------------------------------------------------------- 4,821,705 SSgA Prime Money Market Fund ..................................................... 4,821,705 ------------ TOTAL INVESTMENT COMPANY (Cost $4,821,705) ............................................... 4,821,705
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 41 ================================================================================ DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
SHARE Value (Note 2) - ----- -------------- COLLATERAL FOR SECURITIES ON LOAN - 12.16% - -------------------------------------------------------------------------------------------------- 65,290,985 State Street Navigator Securities Lending Prime Portfolio (I)...................................... $ 65,290,985 ------------ TOTAL COLLATERAL FOR SECURITIES ON LOAN (Cost $65,290,985) .............................................. 65,290,985 TOTAL INVESTMENTS - 111.65% - -------------------------------------------------------------------------------------------------- (Cost $614,581,599**).......................................................... 599,375,793 NET OTHER ASSETS AND LIABILITIES - (11.65)% - -------------------------------------------------------------------------------------------------- (62,536,065) TOTAL NET ASSETS - 100.00% - -------------------------------------------------------------------------------------------------- $536,839,728
- -------------------------------------------------------------------------------- ** Aggregate cost for Federal tax purposes was $615,857,008. (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 0.70% of total net assets. (G) Floating rate or variable rate note. Rate shown is as of June 30, 2008. (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. (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's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 42 ================================================================================ LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- [PIE CHART OF SECTOR ALLOCATION] SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2008 Financials 23% Energy 19% Health Care 10% Industrials 10% Consumer Staples 9% Consumer Discretionary 6% Utilities 6% Telecommunication Services 5% Cash and Other Net Assets 4% Information Technology 4% Materials 4%
[END CHART] - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS - 96.26% - -------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 5.94% 93,100 Carnival Corp. .................................................. $ 3,068,576 82,900 CBS Corp. ....................................................... 1,615,721 316,342 Comcast Corp., Class A .......................................... 6,001,008 146,200 Eastman Kodak Co. (O) ........................................... 2,109,666 93,300 General Motors Corp. (O) ........................................ 1,072,950 109,700 Home Depot, Inc. ................................................ 2,569,174 48,500 Johnson Controls, Inc. .......................................... 1,390,980 221,500 Lowe's Cos., Inc. ............................................... 4,596,125 390,500 News Corp., Class A ............................................. 5,873,120 54,800 Nordstrom, Inc. (O) ............................................. 1,660,440 68,100 Omnicom Group, Inc. ............................................. 3,056,328 58,400 Target Corp. .................................................... 2,715,016 769,200 Time Warner, Inc. ............................................... 11,384,160 85,700 Viacom, Inc., Class B * ......................................... 2,617,278 182,700 Walt Disney Co./The ............................................. 5,700,240 ------------ 55,430,782 ------------ CONSUMER STAPLES - 9.26% 166,400 Altria Group, Inc. .............................................. 3,421,184 34,500 Anheuser-Busch Cos., Inc. ....................................... 2,143,140 109,000 Archer-Daniels-Midland Co. ...................................... 3,678,750 48,700 Clorox Co. ...................................................... 2,542,140 123,700 Coca-Cola Co./The ............................................... 6,429,926 32,100 Costco Wholesale Corp. .......................................... 2,251,494 126,600 CVS/Caremark Corp. .............................................. 5,009,562 27,400 Energizer Holdings, Inc. * ...................................... 2,002,666 57,800 General Mills, Inc. ............................................. 3,512,506 89,600 HJ Heinz Co...................................................... 4,287,360 36,000 Kellogg Co....................................................... 1,728,720 37,700 Kimberly-Clark Corp. ............................................ 2,253,706 272,857 Kraft Foods, Inc., Class A....................................... 7,762,782 20,100 Lorillard, Inc. * ............................................... 1,390,116 71,200 Molson Coors Brewing Co., Class B ......................................................... 3,868,296 46,800 Philip Morris International, Inc. ............................................................ 2,311,452 345,500 Procter & Gamble Co. ............................................ 21,009,855 192,200 Wal-Mart Stores, Inc. ........................................... 10,801,640 ------------ 86,405,295 ------------ ENERGY - 19.33% 83,900 Anadarko Petroleum Corp. ........................................ 6,279,076 97,500 Apache Corp. .................................................... 13,552,500 50,800 Chesapeake Energy Corp. ......................................... 3,350,768 334,246 Chevron Corp. ................................................... 33,133,806 289,800 ConocoPhillips .................................................. 27,354,222 118,300 Devon Energy Corp. .............................................. 14,214,928 29,400 EOG Resources, Inc. ............................................. 3,857,280 609,200 Exxon Mobil Corp. ............................................... 53,688,796 48,900 Forest Oil Corp. (O)*............................................ 3,643,050 124,900 Marathon Oil Corp. .............................................. 6,478,563 33,700 Schlumberger, Ltd. .............................................. 3,620,391 59,900 Valero Energy Corp. ............................................. 2,466,682 78,000 Williams Cos., Inc. ............................................. 3,144,180 81,800 XTO Energy, Inc. ................................................ 5,604,118 ------------ 180,388,360 ------------ FINANCIALS - 23.03% 49,200 ACE, Ltd. ....................................................... 2,710,428 109,726 Allstate Corp./The .............................................. 5,002,408 354,200 American International Group, Inc. ..................................................... 9,372,132 89,500 Annaly Capital Management, Inc., REIT ...................................................... 1,388,145 111,000 AON Corp. ....................................................... 5,099,340 37,200 Arch Capital Group, Ltd. * ...................................... 2,467,104 78,100 Assurant, Inc. .................................................. 5,151,476 652,842 Bank of America Corp. ........................................... 15,583,338 194,200 Bank of New York Mellon Corp./The........................................................ 7,346,586 160,800 BB&T Corp. (O)................................................... 3,661,416 19,400 BlackRock, Inc. (O) ............................................. 3,433,800 18,300 Boston Properties, Inc., REIT (O) ........................................................ 1,651,026
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 43 ================================================================================ LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS (CONTINUED) - -------------------------------------------------------------------------------------------------- FINANCIALS (CONTINUED) 53,000 Capital One Financial Corp. (O) ....................................................... $ 2,014,530 54,100 Chubb Corp. ..................................................... 2,651,441 927,014 Citigroup, Inc. ................................................. 15,536,755 69,400 Equity Residential, REIT......................................... 2,655,938 136,500 Federal National Mortgage Association...................................................... 2,663,115 63,900 Goldman Sachs Group, Inc./The ........................................................ 11,176,110 80,300 Hartford Financial Services Group, Inc. ..................................................... 5,184,971 602,088 JPMorgan Chase & Co. ............................................ 20,657,639 152,900 Lehman Brothers Holdings, Inc. (O) ........................................................ 3,028,949 88,699 Marshall & Ilsley Corp. (O) ..................................... 1,359,756 112,500 Merrill Lynch & Co., Inc. ....................................... 3,567,375 152,600 MetLife, Inc. ................................................... 8,052,702 160,000 Morgan Stanley .................................................. 5,771,200 66,200 PNC Financial Services Group, Inc. ............................................................ 3,780,020 63,400 Prologis, REIT .................................................. 3,445,790 81,400 Prudential Financial, Inc. ...................................... 4,862,836 25,200 Simon Property Group, Inc., REIT............................................................. 2,265,228 86,300 State Street Corp. .............................................. 5,522,337 80,000 SunTrust Banks, Inc. ............................................ 2,897,600 207,400 Travelers Cos., Inc./The......................................... 9,001,160 426,100 US Bancorp (O)................................................... 11,883,929 50,500 Vornado Realty Trust, REIT ...................................... 4,444,000 245,300 Wachovia Corp. .................................................. 3,809,509 608,900 Wells Fargo & Co. ............................................... 14,461,375 65,100 XL Capital, Ltd., Class A ....................................... 1,338,456 ------------ 214,899,920 ------------ HEALTH CARE - 9.76% 151,300 Amgen, Inc. * ................................................... 7,135,308 113,500 Boston Scientific Corp. *........................................ 1,394,915 59,500 Coventry Health Care, Inc. *..................................... 1,809,990 79,575 Covidien, Ltd.................................................... 3,810,847 59,200 Eli Lilly & Co. ................................................. 2,732,672 63,800 Hologic, Inc. * ................................................. 1,390,840 362,000 Johnson & Johnson ............................................... 23,291,080 50,000 Medco Health Solutions, Inc. * .................................. 2,360,000 246,800 Merck & Co., Inc. ............................................... 9,301,892 916,600 Pfizer, Inc. .................................................... 16,013,002 119,800 Schering-Plough Corp. ........................................... 2,358,862 85,700 Thermo Fisher Scientific, Inc. * .......................................................... 4,776,061 52,800 WellPoint, Inc. * ............................................... 2,516,448 254,100 Wyeth ........................................................... 12,186,636 ------------ 91,078,553 ------------ INDUSTRIALS - 9.55% 26,600 3M Co. .......................................................... 1,851,094 26,200 Deere & Co. ..................................................... 1,889,806 20,300 Eaton Corp. ..................................................... 1,724,891 45,300 Emerson Electric Co.............................................. 2,240,085 29,900 FedEx Corp. ..................................................... 2,355,821 63,900 General Dynamics Corp. .......................................... 5,380,380 1,455,900 General Electric Co.............................................. 38,857,971 83,600 Illinois Tool Works, Inc. ....................................... 3,971,836 62,300 Ingersoll-Rand Co., Ltd., Class A ......................................................... 2,331,889 27,100 ITT Corp. ....................................................... 1,716,243 33,500 KBR, Inc. ....................................................... 1,169,485 72,500 Norfolk Southern Corp. .......................................... 4,543,575 33,900 Northrop Grumman Corp. .......................................... 2,267,910 39,350 Parker Hannifin Corp. ........................................... 2,806,442 50,400 Raytheon Co. .................................................... 2,836,512 127,500 Southwest Airlines Co............................................ 1,662,600 57,675 Tyco International, Ltd. ........................................ 2,309,307 86,700 United Technologies Corp. ....................................... 5,349,390 104,000 Waste Management, Inc. .......................................... 3,921,840 ------------ 89,187,077 ------------ INFORMATION TECHNOLOGY - 3.56% 66,000 Automatic Data Processing, Inc. ............................................................ 2,765,400 66,800 Computer Sciences Corp. * ....................................... 3,128,912 124,800 EMC Corp./Massachusetts * ....................................... 1,833,312 70,735 Hewlett-Packard Co. ............................................. 3,127,194 173,100 Intel Corp. ..................................................... 3,718,188 39,000 International Business Machines Corp. .................................................. 4,622,670 73,400 Microsoft Corp. ................................................. 2,019,234 437,800 Motorola, Inc. .................................................. 3,213,452 9,110 Nortel Networks Corp. * ......................................... 74,884 47,300 Novellus Systems, Inc. (O)* ..................................... 1,002,287 66,400 Seagate Technology............................................... 1,270,232 104,500 Symantec Corp. * ................................................ 2,022,075 82,600 Tyco Electronics, Ltd. .......................................... 2,958,732 108,300 Xerox Corp. ..................................................... 1,468,548 ------------ 33,225,120 ------------ MATERIALS - 4.32% 23,500 Air Products & Chemicals, Inc. .................................. 2,323,210 42,500 Albemarle Corp. ................................................. 1,696,175 105,500 Alcoa, Inc. ..................................................... 3,757,910 19,500 Cytec Industries, Inc. .......................................... 1,063,920 147,100 Dow Chemical Co./The (O) ........................................ 5,135,261 169,500 EI Du Pont de Nemours & Co. ..................................... 7,269,855 78,996 Freeport-McMoRan Copper & Gold, Inc. .................................................... 9,257,541 81,600 Nucor Corp. ..................................................... 6,093,072 72,400 Weyerhaeuser Co. ................................................ 3,702,536 ------------ 40,299,480 ------------
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 44 ================================================================================ LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS (CONTINUED) - -------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES - 5.25% 818,987 AT&T, Inc. ...................................................... $ 27,591,672 65,300 Embarq Corp. .................................................... 3,086,731 427,200 Sprint Nextel Corp. ............................................. 4,058,400 66,000 TELUS Corp. ..................................................... 2,661,780 328,335 Verizon Communications, Inc. .................................... 11,623,059 ------------ 49,021,642 ------------ UTILITIES - 6.26% 86,700 American Electric Power Co., Inc. ............................................................ 3,487,941 17,500 Constellation Energy Group, Inc. ............................................................ 1,436,750 79,800 Dominion Resources, Inc./VA ..................................... 3,789,702 189,000 Duke Energy Corp. ............................................... 3,284,820 88,300 Edison International............................................. 4,536,854 19,600 Entergy Corp. ................................................... 2,361,408 58,200 Exelon Corp. .................................................... 5,235,672 57,700 FirstEnergy Corp. ............................................... 4,750,441 73,100 FPL Group, Inc. ................................................. 4,793,898 35,000 Mirant Corp. (O)*................................................ 1,370,250 59,400 NSTAR ........................................................... 2,008,908 77,500 PG&E Corp. (O) .................................................. 3,075,975 35,600 PPL Corp. ....................................................... 1,860,812 42,400 Progress Energy, Inc. ........................................... 1,773,592 94,300 Public Service Enterprise Group, Inc. ..................................................... 4,331,199 18,700 Questar Corp. ................................................... 1,328,448 51,000 Sempra Energy ................................................... 2,878,950 107,600 Southern Co. .................................................... 3,757,392 117,300 Xcel Energy, Inc. (O)............................................ 2,354,211 ------------ 58,417,223 ------------ TOTAL COMMON STOCKS (Cost $839,906,749) ............................................. 898,353,452 INVESTMENT COMPANIES - 2.42% - -------------------------------------------------------------------------------------------------- 163,900 SPDR Trust Series 1 ETF (O) ..................................... 20,975,922 1,564,813 SSgA Prime Money Market Fund ............................................................ 1,564,813 ------------ TOTAL INVESTMENT COMPANIES (Cost $22,718,364) .............................................. 22,540,735 COLLATERAL FOR SECURITIES ON LOAN - 4.49% - -------------------------------------------------------------------------------------------------- 41,897,052 State Street Navigator Securities Lending Prime Portfolio (I)...................................... 41,897,052 TOTAL COLLATERAL FOR SECURITIES ON LOAN (Cost $41,897,052) .............................................. 41,897,052 TOTAL INVESTMENTS - 103.17% - -------------------------------------------------------------------------------------------------- (Cost $904,522,165**).......................................................... 962,791,239 NET OTHER ASSETS AND LIABILITIES - (3.17)% - -------------------------------------------------------------------------------------------------- (29,541,644) TOTAL NET ASSETS - 100.00% - -------------------------------------------------------------------------------------------------- $933,249,595
- -------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $904,717,157. (I) Represents investments of cash collateral received in connection with securities lending. (O) All (or portion of security) on loan. ETF Exchange Traded Fund. REIT Real Estate Investment Trust. The industry classification method used for purposes of this report's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 45 ================================================================================ LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- [PIE CHART OF SECTOR ALLOCATION] SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2008 Information Technology 32% Health Care 14% Energy 13% Industrials 11% Consumer Staples 10% Consumer Discretionary 7% Materials 6% Financials 4% Cash and Other Net Assets 1% Telecommunication Services 1% Utilities 1%
[END CHART] - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS - 98.86% - -------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 7.20% 27,200 Amazon.com, Inc. * .............................................. $ 1,994,576 18,200 Coach, Inc. *.................................................... 525,616 94,200 Harley-Davidson, Inc. (O) ....................................... 3,415,692 131,000 Kohl's Corp. * .................................................. 5,245,240 132,300 Lamar Advertising Co., Class A (O)*..................................................... 4,766,769 94,500 McDonald's Corp. ................................................ 5,312,790 73,300 News Corp., Class A ............................................. 1,102,432 71,400 Nordstrom, Inc. (O) ............................................. 2,163,420 105,400 Omnicom Group, Inc. ............................................. 4,730,352 55,300 Polo Ralph Lauren Corp. (O) ..................................... 3,471,734 164,500 Staples, Inc. ................................................... 3,906,875 35,300 Starwood Hotels & Resorts Worldwide, Inc. ................................................. 1,414,471 110,300 Tiffany & Co. (O) ............................................... 4,494,725 ------------ 42,544,692 ------------ CONSUMER STAPLES - 10.24% 35,500 Archer-Daniels-Midland Co. ...................................... 1,198,125 256,400 Coca-Cola Co./The ............................................... 13,327,672 173,100 Colgate-Palmolive Co............................................. 11,961,210 89,200 Costco Wholesale Corp. .......................................... 6,256,488 53,400 Molson Coors Brewing Co., Class B ......................................................... 2,901,222 216,800 Philip Morris International, Inc. ............................................. 10,707,752 79,700 Walgreen Co. .................................................... 2,591,047 205,200 Wal-Mart Stores, Inc. ........................................... 11,532,240 ------------ 60,475,756 ------------ ENERGY - 12.94% 18,300 Cabot Oil & Gas Corp. ........................................... 1,239,459 57,400 Cameron International Corp. *.......................................................... 3,177,090 16,500 Consol Energy, Inc. ............................................. 1,854,105 17,700 Diamond Offshore Drilling, Inc. (O) ........................................................ 2,462,778 15,900 EOG Resources, Inc. ............................................. 2,086,080 69,700 Exxon Mobil Corp. ............................................... 6,142,661 83,000 Halliburton Co. ................................................. 4,404,810 32,800 National Oilwell Varco, Inc. *................................... 2,910,016 48,100 Noble Corp. ..................................................... 3,124,576 68,800 Occidental Petroleum Corp. ...................................... 6,182,368 66,900 Peabody Energy Corp. (O) ........................................ 5,890,545 16,300 Quicksilver Resources, Inc. (O)* ....................................................... 629,832 18,400 Range Resources Corp. ........................................... 1,205,936 131,900 Schlumberger, Ltd. .............................................. 14,170,017 36,200 Southwestern Energy Co. *........................................ 1,723,482 32,161 Transocean, Inc. ................................................ 4,901,015 148,300 Valero Energy Corp. ............................................. 6,106,994 100,800 Weatherford International, Ltd. * .......................................................... 4,998,672 47,266 XTO Energy, Inc. ................................................ 3,238,193 ------------ 76,448,629 ------------ FINANCIALS - 4.03% 55,700 Aflac, Inc. ..................................................... 3,497,960 82,100 American Capital Strategies, Ltd. (O) ........................................................ 1,951,517 73,200 American Express Co. ............................................ 2,757,444 13,700 BlackRock, Inc. (O) ............................................. 2,424,900 81,700 Blackstone Group L.P./The (O) 1,487,757 63,200 Federal Home Loan Mortgage Corp. ........................................................... 1,036,480 9,900 Goldman Sachs Group, Inc./The......................................................... 1,731,510 17,200 IntercontinentalExchange, Inc. * .......................................................... 1,960,800 161,700 Janus Capital Group, Inc. (O) ................................... 4,280,199 22,100 Jones Lang LaSalle, Inc. (O) .................................... 1,330,199 5,200 Mastercard, Inc., Class A (O) ................................... 1,380,704 ------------ 23,839,470 ------------
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 46 ================================================================================ LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS (CONTINUED) - -------------------------------------------------------------------------------------------------- HEALTH CARE - 14.34% 107,700 Abbott Laboratories ............................................. $ 5,704,869 25,300 Baxter International, Inc. ...................................... 1,617,682 107,000 Bristol-Myers Squibb Co. ........................................ 2,196,710 46,500 Celgene Corp. * ................................................. 2,969,955 20,700 Covance, Inc. * ................................................. 1,780,614 92,600 Express Scripts, Inc. * ......................................... 5,807,872 138,900 Genentech, Inc. * ............................................... 10,542,510 71,900 Gen-Probe, Inc. * ............................................... 3,413,812 77,700 Gilead Sciences, Inc. * ......................................... 4,114,215 84,800 Health Net, Inc. * .............................................. 2,040,288 161,700 Hologic, Inc. (O)*............................................... 3,525,060 3,200 Intuitive Surgical, Inc. * ...................................... 862,080 114,400 Johnson & Johnson................................................ 7,360,496 63,000 KV Pharmaceutical Co., Class A (O)*..................................................... 1,217,790 115,099 Medtronic, Inc. ................................................. 5,956,373 64,900 Merck & Co., Inc. ............................................... 2,446,081 506,881 Schering-Plough Corp. ........................................... 9,980,487 28,100 Stryker Corp. ................................................... 1,766,928 92,700 Vertex Pharmaceuticals, Inc. (O)* ....................................................... 3,102,669 153,673 Wyeth ........................................................... 7,370,157 13,900 Zimmer Holdings, Inc. * ......................................... 945,895 ------------ 84,722,543 ------------ INDUSTRIALS - 11.18% 62,800 3M Co. .......................................................... 4,370,252 34,800 Boeing Co. ...................................................... 2,287,056 28,700 Burlington Northern Santa Fe Corp. ........................................................... 2,866,843 81,500 Caterpillar, Inc. (O) ........................................... 6,016,330 35,000 CH Robinson Worldwide, Inc. ..................................... 1,919,400 35,700 Chicago Bridge & Iron Co. N.V. ............................................................ 1,421,574 23,600 CSX Corp. ....................................................... 1,482,316 43,800 Deere & Co. ..................................................... 3,159,294 106,300 Emerson Electric Co. ............................................ 5,256,535 38,000 Expeditors International of Washington, Inc. ................................................ 1,634,000 15,400 Flowserve Corp. ................................................. 2,105,180 276,500 General Electric Co. ............................................ 7,379,785 66,900 Honeywell International, Inc. ................................... 3,363,732 40,100 Joy Global, Inc. ................................................ 3,040,783 29,000 Manitowoc Co., Inc./The.......... .............................. 943,370 37,800 McDermott International, Inc. * ................................. 2,339,442 15,300 Precision Castparts Corp. ....................................... 1,474,461 123,900 Quanta Services, Inc. (O)*....................................... 4,122,153 55,900 Union Pacific Corp. ............................................. 4,220,450 80,800 United Parcel Service, Inc., Class B ......................................................... 4,966,776 20,700 WW Grainger, Inc. ............................................... 1,693,260 ------------ 66,062,992 ------------ INFORMATION TECHNOLOGY - 31.72% 53,600 Accenture, Ltd., Class A ........................................ 2,182,592 121,300 Affiliated Computer Services, Inc., Class A * ................................................. 6,488,337 25,500 Akamai Technologies, Inc. * ..................................... 887,145 95,400 Altera Corp. .................................................... 1,974,780 79,400 Apple, Inc. *.................................................... 13,294,736 114,300 Applied Materials, Inc. ......................................... 2,181,987 794,000 Cisco Systems, Inc. *............................................ 18,468,440 77,300 Citrix Systems, Inc. *........................................... 2,273,393 58,800 Cognizant Technology Solutions Corp., Class A * ................................................ 1,911,588 149,900 Corning, Inc. ................................................... 3,455,195 174,300 Dell, Inc. *..................................................... 3,813,684 96,600 eBay, Inc. * .................................................... 2,640,078 157,100 EMC Corp./Massachusetts * ....................................... 2,307,799 10,900 First Solar, Inc. *.............................................. 2,973,738 33,300 Google, Inc., Class A *.......................................... 17,529,786 177,700 Hewlett-Packard Co. ............................................. 7,856,117 703,400 Intel Corp. ..................................................... 15,109,032 132,400 International Business Machines Corp. ........................................................... 15,693,372 58,000 Kla-Tencor Corp. (O) ............................................ 2,361,180 217,400 Maxim Integrated Products, Inc. ............................................................ 4,598,010 164,200 Microchip Technology, Inc. (O) ........................................................ 5,014,668 707,800 Microsoft Corp. ................................................. 19,471,578 64,400 Novellus Systems, Inc. (O)* ..................................... 1,364,636 73,300 Nuance Communication, Inc. * .......................................................... 1,148,611 387,600 Oracle Corp. * .................................................. 8,139,600 175,600 QUALCOMM, Inc. .................................................. 7,791,372 8,700 Research in Motion, Ltd. * ...................................... 1,017,030 17,400 Salesforce.com, Inc. *........................................... 1,187,202 56,500 SanDisk Corp. *.................................................. 1,056,550 125,000 Texas Instruments, Inc. ......................................... 3,520,000 76,400 Varian Semiconductor Equipment Associates, Inc. (O)* ........................................... 2,660,248 44,900 Visa, Inc., Class A * ........................................... 3,650,819 163,200 Yahoo!, Inc. * .................................................. 3,371,712 ------------ 187,395,015 ------------ MATERIALS - 5.59% 57,800 Alcoa, Inc. ..................................................... 2,058,836 73,800 Freeport-McMoRan Copper & Gold, Inc. ............................................. 8,648,622 48,000 Monsanto Co...................................................... 6,069,120 14,200 Mosaic Co./The *................................................. 2,054,740 99,000 Nucor Corp. ..................................................... 7,392,330 72,200 Praxair, Inc. ................................................... 6,804,128 ------------ 33,027,776 ------------
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 47 ================================================================================ LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS (CONTINUED) - -------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES - 0.65% 74,100 NII Holdings, Inc. * ............................................ $ 3,519,009 6,800 Telephone & Data Systems, Inc. ............................................................ 321,436 ------------ 3,840,445 ------------ UTILITIES - 0.97% 32,400 Exelon Corp. .................................................... 2,914,704 32,700 Sempra Energy ................................................... 1,845,915 17,500 Veolia Environment, ADR ......................................... 977,375 ------------ 5,737,994 ------------ TOTAL COMMON STOCKS (Cost $530,193,241) ............................................. 584,095,312 INVESTMENT COMPANIES - 1.90% - -------------------------------------------------------------------------------------------------- 68,900 Powershares QQQ ETF (O) ......................................... 3,112,213 8,099,446 SSgA Prime Money Market Fund ............................................................ 8,099,446 ------------ TOTAL INVESTMENT COMPANIES (Cost $11,308,084) .............................................. 11,211,659 COLLATERAL FOR SECURITIES ON LOAN - 7.91% - -------------------------------------------------------------------------------------------------- 46,733,388 State Street Navigator Securities Lending Prime Portfolio (I) ..................................... 46,733,388 ------------ TOTAL COLLATERAL FOR SECURITIES ON LOAN (Cost $46,733,388) .............................................. 46,733,388 TOTAL INVESTMENTS - 108.67% - -------------------------------------------------------------------------------------------------- (Cost $588,234,713**) ......................................................... $642,040,359 NET OTHER ASSETS AND LIABILITIES - (8.67)% - -------------------------------------------------------------------------------------------------- (51,249,971) TOTAL NET ASSETS - 100.00% - -------------------------------------------------------------------------------------------------- $590,790,388
- -------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $591,821,848. (I) Represents investments of cash collateral received in connection with securities lending. (O) All (or portion of security) on loan. ADR American Depositary Receipt. ETF Exchange Traded Fund. The industry classification method used for purposes of this report's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 48 ================================================================================ MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- [PIE CHART OF SECTOR ALLOCATION] SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2008 Financials 25% Utilities 12% Consumer Discretionary 11% Industrials 11% Consumer Staples 8% Energy 8% Information Technology 8% Materials 8% Health Care 5% Cash and Other Net Assets 3% Telecommunication Services 1%
[END CHART] - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS - 96.63% - -------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 10.90% 17,400 Arbitron, Inc. (O) ............................................. $ 826,500 14,900 Autoliv, Inc. .................................................. 694,638 12,000 BorgWarner, Inc. ............................................... 532,560 34,200 Carnival Corp. ................................................. 1,127,232 53,000 Cato Corp./The, Class A (O) .................................... 754,720 32,300 CBS Corp. ...................................................... 629,527 17,800 CEC Entertainment, Inc. (O)* 498,578 78,100 Eastman Kodak Co. (O) .......................................... 1,126,983 28,100 EW Scripps Co., Class A (O) .................................... 1,167,274 148,420 Ford Motor Co. (O)* ............................................ 713,900 25,800 Fortune Brands, Inc. ........................................... 1,610,178 14,150 Gannett Co., Inc. (O) .......................................... 306,631 51,900 Gap, Inc./The .................................................. 865,173 24,900 Genuine Parts Co................................................ 988,032 61,400 Hibbett Sports, Inc. (O)*....................................... 1,295,540 167,700 Interpublic Group of Cos., Inc. * ......................................................... 1,442,220 32,300 KB Home (O)..................................................... 546,839 31,600 Lamar Advertising Co., Class A *....................................................... 1,138,548 21,200 Liberty Global, Inc., Series A (O)* .................................................. 666,316 71,300 Mattel, Inc. ................................................... 1,220,656 14,900 Matthews International Corp., Class A (O)..................................................... 674,374 51,800 Modine Manufacturing Co. (O) 640,766 34,500 Nordstrom, Inc. ................................................ 1,045,350 66,600 O'Reilly Automotive, Inc. (O)* 1,488,510 61,900 Pulte Homes, Inc. (O)........................................... 596,097 67,300 Saks, Inc. (O)* ................................................ 738,954 35,400 Sonic Corp. (O)*................................................ 523,920 81,900 Stage Stores, Inc. (O) ......................................... 955,773 44,700 Tempur-Pedic International, Inc. (O) ....................................................... 349,107 55,000 TJX Cos., Inc. ................................................. 1,730,850 35,400 Valassis Communications, Inc. (O)* ...................................................... 443,208 12,700 VF Corp. ....................................................... 903,986 81,100 Virgin Media, Inc. (O).......................................... 1,103,771 ------------ 29,346,711 ------------ CONSUMER STAPLES - 8.06% 24,000 Bunge, Ltd. (O)................................................. 2,584,560 48,200 Casey's General Stores, Inc. (O) ....................................................... 1,116,794 16,400 Clorox Co. ..................................................... 856,080 65,900 ConAgra Foods, Inc. ............................................ 1,270,552 58,800 Constellation Brands, Inc., Class A *....................................................... 1,167,768 23,800 Costco Wholesale Corp. ......................................... 1,669,332 22,000 CVS/Caremark Corp. ............................................. 870,540 12,700 Energizer Holdings, Inc. * ..................................... 928,243 23,300 Herbalife, Ltd. (O)............................................. 902,875 32,800 HJ Heinz Co. (O) ............................................... 1,569,480 27,100 Hormel Foods Corp. (O).......................................... 937,931 28,200 Lance, Inc. (O) ................................................ 529,314 23,900 Lorillard, Inc. *............................................... 1,652,924 44,500 Molson Coors Brewing Co., Class B ........................................................ 2,417,685 49,400 Safeway, Inc. .................................................. 1,410,370 72,700 Sara Lee Corp. ................................................. 890,575 16,800 UST, Inc. (O)................................................... 917,448 ------------ 21,692,471 ------------ ENERGY - 8.19% 54,300 BJ Services Co. ................................................ 1,734,342 23,700 Chesapeake Energy Corp. (O) .................................... 1,563,252 32,700 Forest Oil Corp. (O)*........................................... 2,436,150 8,500 Hess Corp. ..................................................... 1,072,615 67,600 Nabors Industries, Ltd. (O)*.................................... 3,327,948 21,200 Newfield Exploration Co. *...................................... 1,383,300 30,800 Noble Energy, Inc. ............................................. 3,097,248
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 49 ================================================================================ MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS (CONTINUED) - -------------------------------------------------------------------------------------------------- ENERGY (CONTINUED) 7,100 Overseas Shipholding Group, Inc. (O) ........................................................ $ 564,592 19,500 Plains Exploration & Production Co. (O)*......................................................... 1,422,915 24,100 Rowan Cos., Inc. (O) ............................................ 1,126,675 23,400 St. Mary Land & Exploration Co. (O).......................................................... 1,512,576 31,700 Tesoro Corp. .................................................... 626,709 9,700 Whiting Petroleum Corp. * ....................................... 1,028,976 28,800 Williams Cos., Inc. ............................................. 1,160,928 ------------ 22,058,226 ------------ FINANCIALS - 25.49% 14,000 AMB Property Corp., REIT ........................................ 705,320 80,800 American Capital Strategies, Ltd. (O) ........................................................ 1,920,616 116,500 Annaly Capital Management, Inc., REIT ...................................................... 1,806,915 74,600 AON Corp. ....................................................... 3,427,124 28,700 Arch Capital Group, Ltd. * ...................................... 1,903,384 64,099 Ares Capital Corp. (O)........................................... 646,118 36,900 Asset Acceptance Capital Corp. (O)........................................................ 450,918 53,876 Associated Banc-Corp. (O) ....................................... 1,039,268 35,700 Assurant, Inc. .................................................. 2,354,772 40,500 Assured Guaranty, Ltd. (O) ...................................... 728,595 22,700 AvalonBay Communities, Inc., REIT (O) ........................................................ 2,023,932 59,700 Axis Capital Holdings, Ltd. ..................................... 1,779,657 13,300 BlackRock, Inc. (O) ............................................. 2,354,100 23,800 Boston Properties, Inc., REIT ................................... 2,147,236 67,900 CIT Group, Inc. (O) ............................................. 462,399 19,000 Credit Acceptance Corp. (O)* .................................... 485,640 35,650 Delphi Financial Group, Inc., Class A (O)...................................................... 824,941 32,200 Discover Financial Services...................................... 424,074 50,300 Equity Residential, REIT......................................... 1,924,981 15,500 Everest Re Group, Ltd............................................ 1,235,505 21,800 Financial Federal Corp. (O)...................................... 478,728 10,900 First Midwest Bancorp, Inc./IL (O)...................................................... 203,285 53,700 Hudson City Bancorp, Inc. ....................................... 895,716 26,750 International Bancshares Corp. (O)........................................................ 571,648 15,800 IPC Holdings, Ltd................................................ 419,490 50,900 JPMorgan Chase & Co. ............................................ 1,746,379 85,500 Keycorp ......................................................... 938,790 31,000 Kimco Realty Corp., REIT ........................................ 1,070,120 30,500 Legg Mason, Inc. ................................................ 1,328,885 49,800 Lehman Brothers Holdings, Inc. ............................................................ 986,538 13,800 Leucadia National Corp. ......................................... 647,772 24,400 M&T Bank Corp. (O) .............................................. 1,721,176 37,100 Marsh & McLennan Cos., Inc. ..................................... 985,005 68,698 Marshall & Ilsley Corp. (O) ..................................... 1,053,140 13,600 MB Financial, Inc. (O)........................................... 305,592 21,238 NewAlliance Bancshares, Inc. (O) ........................................................ 265,050 53,800 People's United Financial, Inc. 839,280 21,900 Platinum Underwriters Holdings, Ltd. .................................................. 714,159 51,600 Principal Financial Group, Inc. ............................................................ 2,165,652 44,300 Progressive Corp./The ........................................... 829,296 31,100 Prologis, REIT .................................................. 1,690,285 6,500 PS Business Parks, Inc., REIT ................................... 335,400 24,100 Public Storage, REIT ............................................ 1,947,039 85,701 RAIT Investment Trust, REIT (O) ........................................................ 635,901 37,200 Realty Income Corp., REIT (O) ........................................................ 846,672 48,500 Regions Financial Corp. ......................................... 529,135 22,000 Reinsurance Group of America, Inc. (O) ........................................................ 957,440 13,800 Simon Property Group, Inc., REIT ............................................................ 1,240,482 18,400 SL Green Realty Corp., REIT ..................................... 1,522,048 53,600 Sovereign Bancorp, Inc. (O) ..................................... 394,496 31,600 Torchmark Corp. ................................................. 1,853,340 106,000 Unum Group ...................................................... 2,167,700 41,200 U-Store-It Trust, REIT (O) ...................................... 492,340 10,700 Ventas, Inc., REIT .............................................. 455,499 31,100 Vornado Realty Trust, REIT ...................................... 2,736,800 31,900 Webster Financial Corp. (O) ..................................... 593,340 9,400 Westamerica Bancorporation (O) .............................................. 494,346 69,900 WR Berkley Corp. ................................................ 1,688,784 14,900 XL Capital, Ltd., Class A ....................................... 306,344 29,700 Zions Bancorporation (O) ........................................ 935,253 ------------ 68,633,840 ------------ HEALTH CARE - 5.43% 30,300 AmerisourceBergen Corp. ......................................... 1,211,697 27,900 Amsurg Corp. (O)* ............................................... 679,365 33,000 Applera Corp. - Applied Biosystems Group ................................................ 1,104,840 39,500 Centene Corp. * ................................................. 663,205 7,600 Charles River Laboratories International, Inc. (O)* ........................................ 485,792 36,000 Coventry Health Care, Inc. * .................................... 1,095,120 43,000 Health Net, Inc. * .............................................. 1,034,580 94,300 Hologic, Inc. (O)* .............................................. 2,055,740 27,900 Invitrogen Corp. (O)* ........................................... 1,095,354 30,500 Orthofix International N.V. (O)* ....................................................... 882,975
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 50 ================================================================================ MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS (CONTINUED) - -------------------------------------------------------------------------------------------------- HEALTH CARE (CONTINUED) 96,919 Schering-Plough Corp. ........................................... $ 1,908,335 79,800 Universal American Corp./NY (O)* ................................................... 815,556 33,100 Wyeth ........................................................... 1,587,476 ------------ 14,620,035 ------------ INDUSTRIALS - 10.52% 61,600 ACCO Brands Corp. (O)* .......................................... 691,768 16,300 Acuity Brands, Inc. (O) ......................................... 783,704 102,100 Airtran Holdings, Inc. (O)* ..................................... 208,284 24,300 Albany International Corp., Class A (O) ..................................................... 704,700 59,000 Allied Waste Industries, Inc. * ................................. 744,580 50,025 Belden, Inc. (O) ................................................ 1,694,847 57,500 Carlisle Cos., Inc. (O) ......................................... 1,667,500 29,700 Cooper Industries, Ltd., Class A ......................................................... 1,173,150 32,400 Diana Shipping, Inc. (O) ........................................ 995,004 22,300 Dover Corp. ..................................................... 1,078,651 16,100 Eaton Corp. ..................................................... 1,368,017 17,600 ESCO Technologies, Inc. (O)* .................................... 825,792 14,200 GATX Corp. (O)................................................... 629,486 13,987 Genesee & Wyoming, Inc., Class A (O)* .................................................... 475,838 20,200 Graco, Inc. (O) ................................................. 769,014 57,200 Ingersoll-Rand Co., Ltd., Class A ......................................................... 2,140,996 21,200 ITT Corp. ....................................................... 1,342,596 25,600 KBR, Inc. ....................................................... 893,696 13,900 L-3 Communications Holdings, Inc. ............................................................ 1,263,093 37,900 Mueller Industries, Inc. (O) .................................... 1,220,380 17,800 Norfolk Southern Corp. .......................................... 1,115,526 15,300 Parker Hannifin Corp. ........................................... 1,091,196 30,200 RR Donnelley & Sons Co. ......................................... 896,638 18,100 Simpson Manufacturing Co., Inc. (O) ........................................................ 429,694 108,900 Southwest Airlines Co............................................ 1,420,056 15,100 Terex Corp. * ................................................... 775,687 22,500 United Stationers, Inc. (O)* .................................... 831,375 13,200 WW Grainger, Inc. ............................................... 1,079,760 ------------ 28,311,028 ------------ INFORMATION TECHNOLOGY - 7.62% 28,400 Affiliated Computer Services, Inc., Class A * ................................................. 1,519,116 53,900 Arrow Electronics, Inc. * ....................................... 1,655,808 93,300 Brocade Communications Systems, Inc. * ................................................. 768,792 51,600 CA, Inc. ........................................................ 1,191,444 39,100 Computer Sciences Corp. * ....................................... 1,831,444 12,400 Diebold, Inc. (O) ............................................... 441,192 32,400 Electronics for Imaging, Inc. * .......................................................... 473,040 27,600 Intersil Corp., Class A ......................................... 671,232 68,800 Maxim Integrated Products, Inc. ............................................................ 1,455,120 22,300 MAXIMUS, Inc. ................................................... 776,486 134,200 Micron Technology, Inc. (O)* .................................... 805,200 37,100 Molex, Inc. (O) ................................................. 905,611 49,500 NAM TAI Electronics, Inc. ....................................... 647,460 32,100 Novellus Systems, Inc. * ........................................ 680,199 41,700 SanDisk Corp. *.................................................. 779,790 52,200 Seagate Technology............................................... 998,586 78,800 Sun Microsystems, Inc. * ........................................ 857,344 36,200 Synopsys, Inc. *................................................. 865,542 19,100 Teradata Corp. * ................................................ 441,974 38,100 Websense, Inc. (O)* ............................................. 641,604 105,400 Xerox Corp. ..................................................... 1,429,224 39,900 Xyratex, Ltd. * ................................................. 664,335 ------------ 20,500,543 ------------ MATERIALS - 7.57% 11,600 Air Products & Chemicals, Inc. .................................. 1,146,776 31,000 Alcoa, Inc. ..................................................... 1,104,220 11,900 Aptargroup, Inc. ................................................ 499,205 38,200 Celanese Corp., Series A ........................................ 1,744,212 5,700 Compass Minerals International, Inc. ............................................................ 459,192 11,900 Deltic Timber Corp. (O) ......................................... 636,769 25,000 Ecolab, Inc. .................................................... 1,074,750 25,300 EI Du Pont de Nemours & Co. ........................................................... 1,085,117 20,265 Freeport-McMoRan Copper & Gold, Inc. .................................................... 2,374,855 9,800 Mosaic Co./The * ................................................ 1,418,060 34,400 Nucor Corp. ..................................................... 2,568,648 27,000 Owens-Illinois, Inc. * .......................................... 1,125,630 20,300 Reliance Steel & Aluminum Co. .............................................................. 1,564,927 23,300 Sigma-Aldrich Corp. ............................................. 1,254,938 5,800 United States Steel Corp. ....................................... 1,071,724 24,500 Weyerhaeuser Co. ................................................ 1,252,930 ------------ 20,381,953 ------------ TELECOMMUNICATION SERVICES - 1.21% 11,000 Crown Castle International Corp. * ......................................................... 426,030 18,300 Embarq Corp. .................................................... 865,041 11,700 NII Holdings, Inc. * ............................................ 555,633 107,100 Qwest Communications International, Inc. (O) ......................................... 420,903 14,300 Telephone & Data Systems, Inc. ............................................................ 675,961 26,300 Windstream Corp. (O) ............................................ 324,542 ------------ 3,268,110 ------------
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 51 ================================================================================ MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS (CONTINUED) - -------------------------------------------------------------------------------------------------- UTILITIES - 11.64% 35,300 Ameren Corp. .................................................... $ 1,490,719 78,000 American Electric Power Co., Inc. ............................................................ 3,137,940 14,800 Atmos Energy Corp. .............................................. 408,036 10,700 Constellation Energy Group, Inc. ............................................................ 878,470 60,300 Edison International............................................. 3,098,214 9,200 Entergy Corp. ................................................... 1,108,416 14,700 New Jersey Resources Corp. (O) .................................. 479,955 35,000 NRG Energy, Inc. * .............................................. 1,501,500 55,000 NSTAR ........................................................... 1,860,100 37,200 Oneok, Inc. ..................................................... 1,816,476 68,900 PG&E Corp. ...................................................... 2,734,641 53,100 Progress Energy, Inc. ........................................... 2,221,173 31,600 Questar Corp. ................................................... 2,244,864 50,300 Sempra Energy ................................................... 2,839,435 26,200 UGI Corp. ....................................................... 752,202 29,400 Westar Energy, Inc. (O) ......................................... 632,394 13,400 WGL Holdings, Inc. (O) .......................................... 465,516 33,300 Wisconsin Energy Corp. .......................................... 1,505,826 107,200 Xcel Energy, Inc. (O) ........................................... 2,151,504 ------------ 31,327,381 ------------ TOTAL COMMON STOCKS (Cost $263,029,006) ............................................. 260,140,298 Par Value - --------- CERTIFICATE OF DEPOSIT - 0.16% - -------------------------------------------------------------------------------------------------- $420,947 State Street Eurodollar 0.400%, due 07/01/08 ............................................ 420,947 ------------ TOTAL CERTIFICATE OF DEPOSIT (Cost $420,947) ................................................. 420,947 Shares - ------ INVESTMENT COMPANY - 4.51% - -------------------------------------------------------------------------------------------------- 12,159,343 SSgA Prime Money Market Fund ..................................................... 12,159,343 ------------ TOTAL INVESTMENT COMPANY (Cost $12,159,343) .............................................. 12,159,343 COLLATERAL FOR SECURITIES ON LOAN - 22.79% - -------------------------------------------------------------------------------------------------- 61,343,882 State Street Navigator Securities Lending Prime Portfolio (I) ..................................... 61,343,882 ------------ TOTAL COLLATERAL FOR SECURITIES ON LOAN (Cost $61,343,882) .............................................. 61,343,882 TOTAL INVESTMENTS - 124.09% - -------------------------------------------------------------------------------------------------- (Cost $336,953,178**) .......................................................... 334,064,470 NET OTHER ASSETS AND LIABILITIES - (24.09)% - -------------------------------------------------------------------------------------------------- (64,855,371) TOTAL NET ASSETS - 100.00% - -------------------------------------------------------------------------------------------------- $269,209,099
- -------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $339,642,435. (I) Represents investments of cash collateral received in connection with securities lending. (O) All (or portion of security) on loan. REIT Real Estate Investment Trust. The industry classification method used for purposes of this report's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 52 ================================================================================ MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- [PIE CHART OF SECTOR ALLOCATION] SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2008 Information Technology 19% Energy 18% Industrials 18% Consumer Discretionary 14% Health Care 13% Materials 6% Financials 5% Consumer Staples 4% Telecommunication Services 2% Cash & Other Net Assets 1%
[END CHART] - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS - 98.93% - -------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 13.82% 78,000 Aeropostale, Inc. (O)*........................................... $ 2,443,740 42,300 Buckle, Inc./The ................................................ 1,934,379 275,100 Carter's, Inc. (O)*.............................................. 3,801,882 79,300 Darden Restaurants, Inc. (O).. 2,532,842 76,200 Guess ?, Inc. (O) ............................................... 2,853,690 196,700 Gymboree Corp. (O)* ............................................. 7,881,769 150,100 JOS A Bank Clothiers, Inc. (O)* ....................................................... 4,015,175 133,900 O'Reilly Automotive, Inc. (O)* 2,992,665 30,900 priceline.com, Inc. (O)*......................................... 3,567,714 167,000 Sotheby's (O).................................................... 4,403,790 123,782 Steiner Leisure, Ltd. (O)* ...................................... 3,509,220 120,800 True Religion Apparel, Inc. (O)* ....................................................... 3,219,320 43,700 Volcom, Inc. (O)* ............................................... 1,045,741 ------------ 44,201,927 ------------ CONSUMER STAPLES - 3.96% 87,700 Avon Products, Inc. ............................................. 3,158,954 36,200 Hansen Natural Corp. (O)* ....................................... 1,043,284 132,700 Herbalife, Ltd. (O).............................................. 5,142,125 107,600 SUPERVALU, Inc. ................................................. 3,323,764 ------------ 12,668,127 ------------ ENERGY - 18.49% 55,500 Atwood Oceanics, Inc. * ......................................... 6,900,870 37,000 Helmerich & Payne, Inc. ......................................... 2,664,740 184,000 Hercules Offshore, Inc. * ....................................... 6,995,680 88,500 National Oilwell Varco, Inc. * .................................. 7,851,720 123,500 Noble Corp. ..................................................... 8,022,560 87,100 Noble Energy, Inc. .............................................. 8,758,776 152,600 St. Mary Land & Exploration Co. (O) ......................................................... 9,864,064 82,400 Ultra Petroleum Corp. (O)* ...................................... 8,091,680 ------------ 59,150,090 ------------ FINANCIALS - 5.36% 238,700 Assured Guaranty, Ltd. (O) ...................................... 4,294,213 559,800 Huntington Bancshares, Inc./OH (O) ..................................................... 3,230,046 278,200 Invesco, Ltd. (O) ............................................... 6,671,236 238,600 MBIA, Inc. (O) .................................................. 1,047,454 78,700 WR Berkley Corp. ................................................ 1,901,392 ------------ 17,144,341 ------------ HEALTH CARE - 12.65% 53,300 Beckman Coulter, Inc. ........................................... 3,599,349 79,500 Cephalon, Inc. (O)* ............................................. 5,301,855 197,900 Coventry Health Care, Inc. * .................................... 6,020,118 144,000 Health Net, Inc. * .............................................. 3,464,640 82,400 Hospira, Inc. (O)* .............................................. 3,305,064 123,300 Invitrogen Corp. (O)* ........................................... 4,840,758 166,200 Psychiatric Solutions, Inc. (O)* ....................................................... 6,289,008 63,400 St. Jude Medical, Inc. * ........................................ 2,591,792 78,100 Waters Corp. * .................................................. 5,037,450 ------------ 40,450,034 ------------ INDUSTRIALS - 17.88% 88,500 Carlisle Cos., Inc. (O) ......................................... 2,566,500 21,600 DryShips, Inc. (O) .............................................. 1,731,888 59,700 Foster Wheeler, Ltd. * .......................................... 4,367,055 156,200 Graco, Inc. (O) ................................................. 5,946,534 276,054 Herman Miller, Inc. (O) ......................................... 6,870,984 161,200 HUB Group, Inc., Class A * ...................................... 5,501,756 143,625 Manpower, Inc. (O)............................................... 8,364,720 136,300 Oshkosh Corp. ................................................... 2,820,047 33,700 PACCAR, Inc. .................................................... 1,409,671 37,900 Precision Castparts Corp. ....................................... 3,652,423 137,300 Terex Corp. * ................................................... 7,053,101 182,400 Thomas & Betts Corp. (O)* ....................................... 6,903,840 ------------ 57,188,519 ------------
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 53 ================================================================================ MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS (CONTINUED) - -------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY - 18.91% 147,600 Akamai Technologies, Inc. * ..................................... $ 5,135,004 94,700 Amphenol Corp., Class A ......................................... 4,250,136 126,270 Autodesk, Inc. * ................................................ 4,269,189 160,700 BMC Software, Inc. (O)* ......................................... 5,785,200 155,100 Cognizant Technology Solutions Corp., Class A * ................................................ 5,042,301 84,100 Flir Systems, Inc. (O)* ......................................... 3,411,937 384,740 Foundry Networks, Inc. * ........................................ 4,547,627 103,600 Lam Research Corp. (O)* ......................................... 3,745,140 210,100 NetApp, Inc. (O)* ............................................... 4,550,766 401,900 Perot Systems Corp., Class A (O)* .................................................... 6,032,519 215,500 Polycom, Inc. (O)* .............................................. 5,249,580 99,150 Varian Semiconductor Equipment Associates, Inc. (O)* ........................................... 3,452,403 202,900 Western Union Co./The ........................................... 5,015,688 ------------ 60,487,490 ------------ MATERIALS - 5.94% 68,400 Agrium, Inc. .................................................... 7,355,736 22,000 Cleveland-Cliffs, Inc. (O) ...................................... 2,622,180 36,200 Teck Cominco, Ltd., Class B ..................................... 1,735,790 59,200 Terra Industries, Inc. .......................................... 2,921,520 264,300 Yamana Gold, Inc. ............................................... 4,371,522 ------------ 19,006,748 ------------ TELECOMMUNICATION SERVICES - 1.92% 129,600 NII Holdings, Inc. * ............................................ 6,154,704 ------------ TOTAL COMMON STOCKS (Cost $317,784,965) ............................................. 316,451,980 INVESTMENT COMPANY - 1.35% - -------------------------------------------------------------------------------------------------- 4,317,390 SSgA Prime Money Market Fund ..................................................... 4,317,390 ------------ TOTAL INVESTMENT COMPANY (Cost $4,317,390) ............................................... 4,317,390 COLLATERAL FOR SECURITIES ON LOAN - 26.80% - -------------------------------------------------------------------------------------------------- 85,710,287 State Street Navigator Securities Lending Prime Portfolio (I) ............................................. 85,710,287 ------------ TOTAL COLLATERAL FOR SECURITIES ON LOAN (Cost $85,710,287) .............................................. 85,710,287 TOTAL INVESTMENTS - 127.08% - -------------------------------------------------------------------------------------------------- (Cost $407,812,642**) ......................................................... 406,479,657 NET OTHER ASSETS AND LIABILITIES - (27.08)% - -------------------------------------------------------------------------------------------------- (86,606,306) TOTAL NET ASSETS - 100.00% - -------------------------------------------------------------------------------------------------- $319,873,351
- -------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $421,480,571. (I) Represents investments of cash collateral received in connection with securities lending. (O) All (or portion of security) on loan. The industry classification method used for purposes of this report may differ from the industry sub-classification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 54 ================================================================================ SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- [PIE CHART OF SECTOR ALLOCATION] SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2008 Industrials 23% Financials 22% Consumer Discretionary 16% Health Care 8% Energy 7% Information Technology 7% Consumer Staples 5% Cash and Other Net Assets 4% Materials 4% Utilities 4%
[END CHART] - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS - 96.22% - -------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 16.37% 2,400 Arbitron, Inc. .................................................. $ 114,000 7,700 Cato Corp./The, Class A ......................................... 109,648 2,200 CEC Entertainment, Inc. * ....................................... 61,622 5,200 Helen of Troy, Ltd. * ........................................... 83,824 7,900 Hibbett Sports, Inc. *........................................... 166,690 1,900 Matthews International Corp., Class A ......................................................... 85,994 5,800 Modine Manufacturing Co. ........................................ 71,746 4,500 Sonic Corp.* .................................................... 66,600 10,500 Stage Stores, Inc. .............................................. 122,535 7,300 Tempur-Pedic International, Inc. ................................ 57,013 2,200 Unifirst Corp./MA ............................................... 98,252 4,000 Valassis Communications, Inc. * ................................. 50,080 ------------ 1,088,004 ------------ CONSUMER STAPLES - 4.91% 5,900 Casey's General Stores, Inc. .................................... 136,703 2,900 Herbalife, Ltd. ................................................. 112,375 4,100 Lance, Inc. ..................................................... 76,957 ------------ 326,035 ------------ ENERGY - 6.96% 4,300 Penn Virginia Corp. ............................................. 324,306 1,300 Whiting Petroleum Corp. * ....................................... 137,904 ------------ 462,210 ------------ FINANCIALS - 22.26% 3,500 Acadia Realty Trust, REIT ....................................... 81,025 2,400 American Campus Communities, Inc., REIT ......................................... 66,816 8,233 Ares Capital Corp. .............................................. 82,989 6,500 Asset Acceptance Capital Corp. .................................. 79,430 5,300 Assured Guaranty, Ltd. .......................................... 95,347 3,500 Asta Funding, Inc. .............................................. 31,710 3,100 Credit Acceptance Corp. * ....................................... 79,236 5,000 Delphi Financial Group, Inc., Class A ......................................................... 115,700 3,200 Financial Federal Corp. ......................................... 70,272 1,800 First Midwest Bancorp, Inc./IL .................................. 33,570 3,390 International Bancshares Corp. .................................. 72,444 2,000 IPC Holdings, Ltd. .............................................. 53,100 1,900 MB Financial, Inc. .............................................. 42,693 2,700 NewAlliance Bancshares, Inc. .................................... 33,696 2,500 Platinum Underwriters Holdings, Ltd. .................................................. 81,525 1,200 PS Business Parks, Inc., REIT ................................... 61,920 11,300 RAIT Investment Trust, REIT ..................................... 83,846 3,700 Realty Income Corp., REIT ....................................... 84,212 7,300 U-Store-It Trust, REIT .......................................... 87,235 4,000 Webster Financial Corp. ......................................... 74,400 1,300 Westamerica Bancorporation ...................................... 68,367 ------------ 1,479,533 ------------ HEALTH CARE - 7.81% 3,600 Amsurg Corp. * .................................................. 87,660 5,400 Centene Corp. * ................................................. 90,666 1,600 Corvel Corp. * .................................................. 54,192 2,900 ICU Medical, Inc. * ............................................. 66,352 3,900 Orthofix International N.V. * ................................... 112,905 10,500 Universal American Corp./NY * ................................... 107,310 ------------ 519,085 ------------ INDUSTRIALS - 23.07% 8,500 ACCO Brands Corp. * ............................................. 95,455 2,000 Acuity Brands, Inc. ............................................. 96,160 12,100 Airtran Holdings, Inc. * ........................................ 24,684 3,100 Albany International Corp., Class A ......................................................... 89,900 6,900 Belden, Inc. .................................................... 233,772 6,300 Bowne & Co., Inc. ............................................... 80,325 7,500 Carlisle Cos., Inc. ............................................. 217,500
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 55 ================================================================================ SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS (CONTINUED) - -------------------------------------------------------------------------------------------------- INDUSTRIALS (CONTINUED) 4,100 Deswell Industries, Inc. ........................................ $ 23,206 2,200 ESCO Technologies, Inc. * ....................................... 103,224 1,800 Genesee & Wyoming, Inc., Class A *........................................................ 61,236 4,700 Mueller Industries, Inc. ........................................ 151,340 2,500 Quixote Corp. ................................................... 20,575 2,700 Simpson Manufacturing Co., Inc. ................................. 64,098 3,300 Sterling Construction Co., Inc. * ............................... 65,538 3,300 United Stationers, Inc. * ....................................... 121,935 5,600 Vitran Corp., Inc. * ............................................ 83,944 ------------ 1,532,892 ------------ INFORMATION TECHNOLOGY - 6.59% 4,500 Electronics for Imaging, Inc. * ................................. 65,700 2,900 MAXIMUS, Inc. ................................................... 100,978 7,700 NAM TAI Electronics, Inc. ....................................... 100,716 5,100 Websense, Inc. * ................................................ 85,884 5,100 Xyratex, Ltd. * ................................................. 84,915 ------------ 438,193 ------------ MATERIALS - 4.45% 1,600 Aptargroup, Inc. ................................................ 67,120 800 Compass Minerals International, Inc. ............................................. 64,448 1,500 Deltic Timber Corp. ............................................. 80,265 5,650 Zep, Inc. ....................................................... 84,072 ------------ 295,905 ------------ UTILITIES - 3.80% 2,300 Atmos Energy Corp. .............................................. 63,411 1,650 New Jersey Resources Corp. ...................................... 53,872 3,700 Westar Energy, Inc. ............................................. 79,587 1,600 WGL Holdings, Inc. .............................................. 55,584 ------------ 252,454 ------------ TOTAL COMMON STOCKS (Cost $7,330,901) ............................................... 6,394,311 Par Value - --------- CERTIFICATE OF DEPOSIT - 1.51% - -------------------------------------------------------------------------------------------------- $100,626 State Street Eurodollar 0.400%, due 07/01/08 ............................................ 100,626 ------------ TOTAL CERTIFICATE OF DEPOSIT (Cost $100,626) ................................................. 100,626 Shares - ------ INVESTMENT COMPANY - 4.55% - -------------------------------------------------------------------------------------------------- 302,032 SSgA Prime Money Market Fund ..................................................... 302,032 ------------ TOTAL INVESTMENT COMPANY (Cost $302,032) ................................................. 302,032 ------------ TOTAL INVESTMENTS - 102.28% - -------------------------------------------------------------------------------------------------- (Cost $7,733,559**) ........................................................... 6,796,969 NET OTHER ASSETS AND LIABILITIES - (2.28)% - -------------------------------------------------------------------------------------------------- (151,688) TOTAL NET ASSETS - 100.00% - -------------------------------------------------------------------------------------------------- $6,645,281
- -------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $7,739,845. 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. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 56 ================================================================================ SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- [PIE CHART OF SECTOR ALLOCATION] SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2008 Industrials 22% Information Technology 20% Energy 16% Health Care 15% Consumer Discretionary 8% Cash and Other Net Assets 7% Financials 5% Materials 4% Consumer Staples 1% Telecommunication Services 1% Utilities 1%
[END CHART] - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS - 92.77% - -------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 7.94% 400 Abercrombie & Fitch Co., Class A ......................................................... $ 25,072 2,000 Cabela's, Inc. * ................................................ 22,020 1,350 California Pizza Kitchen, Inc. * ................................ 15,106 2,400 CKX, Inc. *...................................................... 21,000 900 Columbia Sportswear Co. ......................................... 33,075 600 Deckers Outdoor Corp. *.......................................... 83,520 400 DeVry, Inc. ..................................................... 21,448 900 Dolan Media Co. *................................................ 16,380 1,000 Drew Industries, Inc. * ......................................... 15,950 700 Focus Media Holding, Ltd., ADR *............................................................ 19,404 300 GameStop Corp., Class A * ....................................... 12,120 2,200 Great Wolf Resorts, Inc. * ...................................... 9,614 1,300 Hibbett Sports, Inc. * .......................................... 27,430 900 Iconix Brand Group, Inc. * ...................................... 10,872 900 Interactive Data Corp. .......................................... 22,617 1,700 Outdoor Channel Holdings, Inc. * .......................................................... 11,866 700 Papa John's International, Inc. * .......................................................... 18,613 900 Scientific Games Corp., Class A *........................................................ 26,658 1,000 Urban Outfitters, Inc. *......................................... 31,190 800 Volcom, Inc. * .................................................. 19,144 600 Warnaco Group, Inc./The * ....................................... 26,442 1,800 World Wrestling Entertainment, Inc., Class A ................................................... 27,846 ------------ 517,387 ------------ CONSUMER STAPLES - 1.03% 200 Central European Distribution Corp. * ............................................ 14,830 400 Green Mountain Coffee Roasters, Inc. * ................................................ 15,028 1,100 Reddy Ice Holdings, Inc. ........................................ 15,048 1,400 Winn-Dixie Stores, Inc. * ....................................... 22,428 ------------ 67,334 ------------ ENERGY - 15.83% 200 Arch Coal, Inc. ................................................. 15,006 400 Atwood Oceanics, Inc. * ......................................... 49,736 1,200 Basic Energy Services, Inc. * ................................... 37,800 3,000 Brigham Exploration Co. * ....................................... 47,490 700 Cabot Oil & Gas Corp. ........................................... 47,411 700 Carrizo Oil & Gas, Inc. * ....................................... 47,663 400 Comstock Resources, Inc. * ...................................... 33,772 400 Dawson Geophysical Co. * ........................................ 23,784 500 Delta Petroleum Corp. * ......................................... 12,760 900 Dril-Quip, Inc. * ............................................... 56,700 2,000 EXCO Resources, Inc. *........................................... 73,820 1,300 Hercules Offshore, Inc. *........................................ 49,426 700 IHS, Inc., Class A * ............................................ 48,720 800 ION Geophysical Corp. *.......................................... 13,960 300 Lufkin Industries, Inc. ......................................... 24,984 700 Massey Energy Co................................................. 65,625 900 NATCO Group, Inc., Class A * .................................... 49,077 900 Oceaneering International, Inc. * .......................................................... 69,345 400 Penn Virginia Corp. ............................................. 30,168 1,600 PetroHawk Energy Corp. * ........................................ 74,096 2,600 Petroquest Energy, Inc. * ....................................... 69,940 600 Superior Energy Services, Inc. * ................................ 33,084 600 W-H Energy Services, Inc. * ..................................... 57,444 ------------ 1,031,811 ------------ FINANCIALS - 4.58% 200 Affiliated Managers Group, Inc. * .......................................................... 18,012 200 Alexandria Real Estate Equities, Inc., REIT ...................................................... 19,468
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 57 ================================================================================ SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS (CONTINUED) - -------------------------------------------------------------------------------------------------- FINANCIALS (CONTINUED) 800 American Physicians Capital, Inc. ................................................... $ 38,752 3,100 GFI Group, Inc. ................................................. 27,931 900 Greenhill & Co., Inc. ........................................... 48,474 800 Mid-America Apartment Communities, Inc., REIT ......................................... 40,832 700 optionsXpress Holdings, Inc. .................................... 15,638 800 Signature Bank/New York NY * .................................... 20,608 400 SVB Financial Group * ........................................... 19,244 700 Tower Group, Inc. ............................................... 14,833 1,000 Waddell & Reed Financial, Inc., Class A ......................................................... 35,010 ------------ 298,802 ------------ HEALTH CARE - 15.41% 800 Acorda Therapeutics, Inc. * ..................................... 26,264 300 Air Methods Corp. *.............................................. 7,500 400 Alexion Pharmaceuticals, Inc. * .......................................................... 29,000 1,100 Alkermes, Inc. *................................................. 13,596 1,200 AMN Healthcare Services, Inc. * .......................................................... 20,304 500 Arthrocare Corp. *............................................... 20,405 500 athenahealth, Inc. * ............................................ 15,380 1,200 Bruker Corp. *................................................... 15,420 500 Community Health Systems, Inc. * .......................................................... 16,490 600 Gen-Probe, Inc. * ............................................... 28,488 1,500 HMS Holdings Corp. *............................................. 32,205 2,000 Hologic, Inc. *.................................................. 43,600 900 Icon PLC, ADR * ................................................. 67,968 800 Immucor, Inc. * ................................................. 20,704 1,200 inVentiv Health, Inc. * ......................................... 33,348 600 Kendle International, Inc. * .................................... 21,798 700 KV Pharmaceutical Co., Class A * ....................................................... 13,531 700 Magellan Health Services, Inc. * .......................................................... 25,921 500 Martek Biosciences Corp. * ...................................... 16,855 700 Masimo Corp. * .................................................. 24,045 1,200 Medcath Corp. * ................................................. 21,576 600 Medicines Co./The * ............................................. 11,892 1,400 Medicis Pharmaceutical Corp., Class A ......................................................... 29,092 600 MWI Veterinary Supply, Inc. * ................................... 19,866 500 Myriad Genetics, Inc. * ......................................... 22,760 900 Omnicell, Inc. *................................................. 11,862 1,900 Parexel International Corp. * ................................... 49,989 1,300 Pediatrix Medical Group, Inc. * ................................. 63,999 1,600 PharmaNet Development Group, Inc. * .......................................................... 25,232 1,100 PharMerica Corp. * .............................................. 24,849 500 Providence Service Corp./The * .................................. 10,555 1,300 PSS World Medical, Inc. * ....................................... 21,190 1,100 Psychiatric Solutions, Inc. * ................................... 41,624 800 SonoSite, Inc. * ................................................ 22,408 1,500 Trizetto Group * ................................................ 32,070 1,400 Wright Medical Group, Inc. * .................................... 39,774 500 XenoPort, Inc. * ................................................ 19,515 1,300 Zoll Medical Corp. * ............................................ 43,771 ------------ 1,004,846 ------------ INDUSTRIALS - 22.27% 2,600 AAR Corp. * ..................................................... 35,178 500 Actuant Corp., Class A........................................... 15,675 300 Acuity Brands, Inc. ............................................. 14,424 700 Advisory Board Co./The * ........................................ 27,531 600 Barnes Group, Inc. .............................................. 13,854 2,200 BE Aerospace, Inc. * ............................................ 51,238 1,800 Bucyrus International, Inc., Class A ......................................................... 131,436 900 Chart Industries, Inc. *......................................... 43,776 600 Clean Harbors, Inc. * ........................................... 42,636 2,200 Comfort Systems USA, Inc. ....................................... 29,568 800 Corrections Corp. of America * .................................. 21,976 700 EnPro Industries, Inc. * ........................................ 26,138 1,200 FTI Consulting, Inc. *........................................... 82,152 1,200 Genesis Lease, Ltd., ADR ........................................ 12,396 1,300 Geo Group, Inc./The * ........................................... 29,250 900 GeoEye, Inc. * .................................................. 15,939 500 Goodrich Corp. .................................................. 23,730 900 Healthcare Services Group ....................................... 13,689 700 Heico Corp. ..................................................... 22,778 700 HUB Group, Inc., Class A *....................................... 23,891 1,300 Hudson Highland Group, Inc. * .......................................................... 13,611 600 II-VI, Inc. * ................................................... 20,952 2,900 Innovative Solutions & Support, Inc. * .......................................................... 18,705 700 Kaydon Corp. .................................................... 35,987 400 Kirby Corp. * ................................................... 19,200 1,100 Ladish Co., Inc. * .............................................. 22,649 1,100 LMI Aerospace, Inc. * ........................................... 19,327 700 Middleby Corp. *................................................. 30,737 3,200 MPS Group, Inc. *................................................ 34,016 1,200 Navigant Consulting, Inc. * ..................................... 23,472 1,000 RBC Bearings, Inc. *............................................. 33,320 400 Robbins & Myers, Inc. ........................................... 19,948 300 Shaw Group, Inc./The * .......................................... 18,537 1,900 Simpson Manufacturing Co., Inc. ............................................................ 45,106 400 Stericycle, Inc. * .............................................. 20,680 2,200 SYKES Enterprises, Inc. * ....................................... 41,492 400 Titan International, Inc. ....................................... 14,248 1,100 TransDigm Group, Inc. * ......................................... 36,949
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 58 ================================================================================ SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS (CONTINUED) - -------------------------------------------------------------------------------------------------- INDUSTRIALS (CONTINUED) 1,500 Triumph Group, Inc. ............................................. $ 70,650 300 URS Corp. *...................................................... 12,591 2,100 Wabtec Corp. .................................................... 102,102 400 Walter Industries, Inc. ......................................... 43,508 1,400 Waste Connections, Inc. *........................................ 44,702 600 Watson Wyatt Worldwide, Inc., Class A.................................................... 31,734 ------------ 1,451,478 ------------ INFORMATION TECHNOLOGY - 20.42% 300 Anixter International, Inc. *.................................... 17,847 900 Ansoft Corp. * .................................................. 32,760 1,200 Ansys, Inc. *.................................................... 56,544 500 Atheros Communications, Inc. * .......................................................... 15,000 400 Bankrate, Inc. *................................................. 15,628 1,700 Blackboard, Inc. *............................................... 64,991 800 Cabot Microelectonics Corp. * ................................... 26,520 500 CACI International, Inc., Class A *........................................................ 22,885 500 Cognizant Technology Solutions Corp., Class A * ................................................ 16,255 1,000 Commvault Systems, Inc. * ....................................... 16,640 600 Comtech Telecommunications Corp. *.......................................................... 29,400 1,000 Cybersource Corp. *.............................................. 16,730 2,500 Dice Holdings, Inc. *............................................ 20,650 600 Diodes, Inc. *................................................... 16,584 600 DivX, Inc. * .................................................... 4,404 1,200 EMS Technologies, Inc. * ........................................ 26,208 2,000 ExlService Holdings, Inc. *...................................... 28,060 2,100 Flir Systems, Inc. * ............................................ 85,197 2,900 Forrester Research, Inc. *....................................... 89,552 700 Harris Corp. .................................................... 35,343 1,700 i2 Technologies, Inc. * ......................................... 21,131 1,600 Informatica Corp. *.............................................. 24,064 700 Jack Henry & Associates, Inc. ................................... 15,148 900 Kenexa Corp. * .................................................. 16,956 1,300 Liquidity Services, Inc. *....................................... 14,989 2,400 Manhattan Associates, Inc. * .................................... 56,952 2,000 Micros Systems, Inc. *........................................... 60,980 2,300 Microsemi Corp. *................................................ 57,914 1,000 Netlogic Microsystems, Inc. *.................................... 33,200 1,300 Neutral Tandem, Inc. *........................................... 22,750 2,000 Nice Systems, Ltd., ADR * ....................................... 59,140 1,300 Nuance Communication, Inc. * .......................................................... 20,371 400 Power Integrations, Inc. *....................................... 12,644 500 Quality Systems, Inc. ........................................... 14,640 1,200 Satyam Computer Services, Ltd., ADR ............................................................. 29,424 700 SiRF Technology Holdings, Inc. * .......................................................... 3,024 4,100 SkillSoft PLC, ADR * ............................................ 37,064 700 Solera Holdings, Inc. * ......................................... 19,362 3,500 SonicWALL, Inc. * ............................................... 22,575 1,200 Standard Microsystems Corp. * ................................... 32,580 1,300 SuccessFactors, Inc. * .......................................... 14,235 2,100 Technitrol, Inc. ................................................ 35,679 1,700 Travelzoo, Inc. * ............................................... 14,569 1,000 Vocus, Inc. * ................................................... 32,170 900 Wright Express Corp. * .......................................... 22,320 ------------ 1,331,079 ------------ MATERIALS - 4.06% 300 Airgas, Inc. .................................................... 17,517 400 Aptargroup, Inc. ................................................ 16,780 200 Century Aluminum Co. * .......................................... 13,298 300 FMC Corp. ....................................................... 23,232 400 Haynes International, Inc. *..................................... 23,020 300 Owens-Illinois, Inc. * .......................................... 12,507 800 RTI International Metals, Inc. * ................................ 28,496 1,100 Silgan Holdings, Inc. ........................................... 55,814 1,500 Terra Industries, Inc. .......................................... 74,025 ------------ 264,689 ------------ TELECOMMUNICATION SERVICES - 0.72% 1,400 NTELOS Holdings Corp. ........................................... 35,518 1,800 PAETEC Holding Corp. *........................................... 11,430 ------------ 46,948 ------------ UTILITIES - 0.51% 300 Energen Corp. ................................................... 23,409 200 ITC Holdings Corp. .............................................. 10,222 ------------ 33,631 ------------ TOTAL COMMON STOCKS (Cost $6,046,452) ............................................... 6,048,005 PREFERRED STOCKS - 0.12% - -------------------------------------------------------------------------------------------------- HEALTH CARE - 0.12% 32 Inverness Medical Innovations, Inc. Series B (P) 3.000% .......................................................... 7,584 ------------ TOTAL PREFERRED STOCKS (Cost $9,250) ................................................... 7,584 Par Value - --------- CERTIFICATE OF DEPOSIT - 2.65% - -------------------------------------------------------------------------------------------------- $172,799 State Street Eurodollar 0.400%, due 07/01/08 ............................................ 172,799 ------------ TOTAL CERTIFICATE OF DEPOSIT (Cost $172,799) ................................................. 172,799
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 59 ================================================================================ SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- INVESTMENT COMPANY - 4.52% - -------------------------------------------------------------------------------------------------- 294,764 SSgA Prime Money Market Fund ..................................................... $ 294,764 ---------- TOTAL INVESTMENT COMPANY (Cost $294,764).................................................. 294,764 TOTAL INVESTMENTS - 100.06% - -------------------------------------------------------------------------------------------------- (Cost $6,523,265**)............................................................ 6,523,152 NET OTHER ASSETS AND LIABILITIES - (0.06)% - -------------------------------------------------------------------------------------------------- (4,153) TOTAL NET ASSETS - 100.00% - -------------------------------------------------------------------------------------------------- $6,518,999
- ------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $6,567,935. (P) Convertible. 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. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 60 ================================================================================ GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- [PIE CHART OF GEOGRAPHICAL ALLOCATION] GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2008 United States 37% Europe (excluding United Kingdom) 23% United Kingdom 16% Japan 13% Pacific Basin 10% Cash and Other Net Assets 1%
[END CHART] - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS - 99.41% - -------------------------------------------------------------------------------------------------- AUSTRALIA - 5.37% 84,089 Amcor, Ltd....................................................... $ 406,114 101,773 Foster's Group, Ltd. ............................................ 493,466 22,665 National Australia Bank, Ltd. ................................... 574,406 216,369 Telstra Corp., Ltd. ............................................. 877,360 ------------ 2,351,346 ------------ BELGIUM - 1.28% 34,957 Fortis .......................................................... 559,797 13,256 Fortis VVPR Strips * ............................................ 209 ------------ 560,006 ------------ FINLAND - 0.66% 17,786 UPM-Kymmene OYJ ................................................. 291,279 ------------ FRANCE - 7.29% 9,549 Carrefour S.A. .................................................. 540,723 13,787 France Telecom S.A. (O) ......................................... 406,201 4,177 Renault S.A. (O) ................................................ 342,689 5,929 Societe Generale (O)............................................. 516,209 16,201 Total S.A. (O)................................................... 1,382,734 ------------ 3,188,556 ------------ GERMANY - 2.40% 27,061 Deutsche Telekom AG ............................................. 443,174 4,799 RWE AG .......................................................... 606,297 ------------ 1,049,471 ------------ HONG KONG - 1.05% 76,500 HongKong Electric Holdings ...................................... 457,696 ------------ ITALY - 2.17% 155,258 UniCredit SpA ................................................... 950,434 ------------ JAPAN - 12.75% 14,200 Astellas Pharma, Inc. ........................................... 601,752 18,200 Canon, Inc. (O) ................................................. 935,794 9,000 Kao Corp. ....................................................... 236,039 133 Nippon Telegraph & Telephone Corp. ................................................. 651,285 16,000 Nitto Denko Corp. ............................................... 614,747 26,500 Seven & I Holdings Co., Ltd. .................................... 756,145 12,500 Takeda Pharmaceutical Co., Ltd.............................................................. 635,653 15,100 Tokio Marine Holdings, Inc. ..................................... 588,700 114 West Japan Railway Co. .......................................... 559,318 ------------ 5,579,433 ------------ NETHERLANDS - 3.33% 32,828 ING Groep N.V. .................................................. 1,047,066 24,407 Reed Elsevier N.V. .............................................. 411,625 ------------ 1,458,691 ------------ SINGAPORE - 1.50% 71,000 Oversea-Chinese Banking Corp. ................................... 426,256 86,000 Singapore Telecommunications, Ltd. ............................................................ 228,769 ------------ 655,025 ------------ SPAIN - 3.42% 33,587 Iberdrola S.A. (O) .............................................. 450,089 39,381 Telefonica S.A................................................... 1,046,783 ------------ 1,496,872 ------------ SWITZERLAND - 2.91% 23,081 Novartis AG ..................................................... 1,272,350 ------------ TAIWAN - 2.14% 17,700 Chunghwa Telecom Co., Ltd., ADR ............................................................. 449,049 44,600 Taiwan Semiconductor Manufacturing Co., Ltd., ADR 486,586 ------------ 935,635 ------------ UNITED KINGDOM - 15.58% 36,044 Aviva PLC ....................................................... 359,481 84,555 BP PLC .......................................................... 981,747
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 61 ================================================================================ GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS (CONTINUED) - -------------------------------------------------------------------------------------------------- UNITED KINGDOM (CONTINUED) 67,613 GKN PLC ......................................................... $ 300,152 71,413 GlaxoSmithKline PLC.............................................. 1,582,261 70,172 HBOS PLC ........................................................ 385,548 97,694 Lloyds TSB Group PLC ............................................ 604,345 103,161 Royal Bank of Scotland Group PLC........................................................ 441,529 30,148 Royal Dutch Shell PLC, A Shares......................................................... 1,240,734 32,424 Unilever PLC .................................................... 922,369 ------------ 6,818,166 ------------ UNITED STATES - 37.56% 10,700 3M Co. .......................................................... 744,613 35,500 Alcoa, Inc. (O).................................................. 1,264,510 40,500 Bank of America Corp. (O)(Q) .................................... 966,735 14,200 CBS Corp. (O) ................................................... 276,758 15,800 Chevron Corp. (Q)................................................ 1,566,254 40,000 Citigroup, Inc. ................................................. 670,400 39,100 ConAgra Foods, Inc. ............................................. 753,848 621 Fairpoint Communications, Inc. (O) .............................. 4,477 53,300 General Electric Co. (Q) ........................................ 1,422,577 24,900 Genuine Parts Co. (O) ........................................... 988,032 23,200 HJ Heinz Co. (O) ................................................ 1,110,120 14,900 Merck & Co., Inc. ............................................... 561,581 50,400 Microsoft Corp. ................................................. 1,386,504 28,400 Oracle Corp. * .................................................. 596,400 52,800 Pfizer, Inc. .................................................... 922,416 29,900 Verizon Communications, Inc. .................................... 1,058,460 43,900 Wachovia Corp. (O) .............................................. 681,767 30,400 Wyeth............................................................ 1,457,984 ------------ 16,433,436 ------------ TOTAL COMMON STOCKS (Cost $53,282,760) .............................................. 43,498,396 WARRANTS AND RIGHTS - 0.01% - -------------------------------------------------------------------------------------------------- UNITED KINGDOM - 0.01% 28,068 HBOS PLC Exp. 07/18/08 (Exercise Price $5.47)* ......................................... 6,007 ------------ TOTAL WARRANTS AND RIGHTS (Cost $0) ....................................................... 6,007 INVESTMENT COMPANY - 0.39% - -------------------------------------------------------------------------------------------------- UNITED STATES - 0.39% 172,064 SSgA Prime Money Market Fund (Q) ...................................................... 172,064 ------------ TOTAL INVESTMENT COMPANY (Cost $172,064) ............................................... 172,064 COLLATERAL FOR SECURITIES ON LOAN - 14.60% - -------------------------------------------------------------------------------------------------- UNITED STATES - 14.60% 6,388,355 State Street Navigator Securities Lending Prime Portfolio (I) ................................... 6,388,355 ------------ TOTAL COLLATERAL FOR SECURITIES ON LOAN (Cost $6,388,355) ............................................. 6,388,355 TOTAL INVESTMENTS - 114.41% - -------------------------------------------------------------------------------------------------- (Cost $59,843,179**) .......................................................... 50,064,822 NET OTHER ASSETS AND LIABILITIES - (14.41)% - -------------------------------------------------------------------------------------------------- (6,308,858) TOTAL NET ASSETS - 100.00% - -------------------------------------------------------------------------------------------------- $43,755,964
- -------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $59,923,311. (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 foreign currency contracts oustanding as of June 30, 2008. ADR American Depositary Receipt. PLC Public Limited Company. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 62 ================================================================================ GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- FORWARD FOREIGN CURRENCY CONTRACTS:
Appreciation/ Currency Settlement Date Local Amount Face Amount Value (Depreciation) - -------- --------------- ------------ ----------- ----- -------------- EUR(sell) 07/31/08 1,915,500 $2,977,549 $3,011,490 $(33,941) GBP(sell) 07/31/08 512,000 $1,012,516 $1,016,739 $ (4,223)
EUR Euro GBP Great British Pound OTHER INFORMATION: Industry Concentration
% of Net Assets --------------- Pharmaceuticals 16.1% Oil, Gas & Consumable Fuels 11.8% Diversified Telecommunication Services 11.8% Commercial Banks 10.5% Diversified Financial Services 7.4% Food Products 6.4% Industrial Conglomerates 4.9% Software 4.5% Food & Staples Retailing 3.0% Metals & Mining 2.9% Distributors 2.2% Insurance 2.2% Office Electronics 2.1% Electric Utilities 2.1% Media 1.6% Chemicals 1.4% Multi-Utilities 1.4% Road & Rail 1.3% Beverages 1.1% Semiconductors & Semiconductor Equipment 1.1% Containers & Packaging 0.9% Automobiles 0.8% Auto Components 0.7% Paper & Forest Products 0.7% Net Other Assets & Liabilities 0.6% Household Products 0.5% --------- 100.0% =========
The industry classification method used for purposes of this report's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s)used for Trust compliance purposes. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 63 ================================================================================ INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- [PIE CHART OF GEOGRAPHICAL ALLOCATION] GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2008 Europe (excluding United Kingdom) 44% United Kingdom 19% Japan 14% Pacific Basin 7% Latin America 4% Other Countries 5% Africa 3% Cash & Other Net Assets 4%
[END CHART] - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS - 94.85% - -------------------------------------------------------------------------------------------------- ARGENTINA - 0.56% 10,100 Tenaris S.A., ADR ............................................... $ 752,450 ------------ AUSTRALIA - 0.15% 27,728 ABC Learning Centres, Ltd. (O) ........................................................ 26,518 24,599 Fairfax Media, Ltd. (O) ......................................... 68,929 12,165 James Hardie Industries N.V. .................................... 49,328 27,536 Macquarie Infrastructure Group ........................................................... 61,095 ------------ 205,870 ------------ AUSTRIA - 0.06% 1,275 Andritz AG ...................................................... 80,410 ------------ BAHRAIN - 0.08% 4,273 Investcorp Bank BSC, GDR (C)..................................... 108,961 ------------ BELGIUM - 0.78% 5,650 Arseus N.V. ..................................................... 71,888 14,018 InBev N.V. ...................................................... 973,028 ------------ 1,044,916 ------------ BRAZIL - 1.70% 25,400 Banco do Brasil S.A. ............................................ 416,368 7,900 Cia de Concessoes Rodoviarias ..................................................... 156,935 7,700 Empresa Brasileira de Aeronautica S.A., ADR ........................................... 204,050 7,933 Iochpe Maxion S.A. .............................................. 151,673 48,700 JHSF Participacoes S.A. ......................................... 244,836 29,049 Redecard S.A. ................................................... 564,318 10,858 Souza Cruz S.A. ................................................. 311,055 11,950 Tam S.A., ADR ................................................... 228,484 ------------ 2,277,719 ------------ CANADA - 1.93% 61,600 TELUS Corp. ..................................................... 2,592,443 ------------ CHINA - 0.02% 100,000 Shougang Concord International Enterprises Co., Ltd. ........................................... 32,704 ------------ EGYPT - 0.59% 3,045 Eastern Tobacco ................................................. 184,329 7,072 Egyptian Co. for Mobile Services ................................................. 220,997 3,132 Orascom Construction Industries ...................................................... 215,423 13,357 Orascom Telecom Holding S.A.E. .................................. 172,678 ------------ 793,427 ------------ FINLAND - 1.74% 2,110 Konecranes OYJ .................................................. 87,385 85,800 Nokia OYJ ....................................................... 2,092,841 3,340 Sampo OYJ, A Shares ............................................. 84,415 1,960 Vacon PLC ....................................................... 79,475 ------------ 2,344,116 ------------ FRANCE - 10.18% 38,180 AXA S.A. ........................................................ 1,133,901 14,050 BNP Paribas ..................................................... 1,273,045 50,500 Gaz de France S.A. (O) .......................................... 3,246,100 21,200 Groupe Danone (O) ............................................... 1,488,909 1,068 Neopost S.A. .................................................... 113,032 30,212 Sanofi-Aventis S.A. (O) ......................................... 2,018,599 906 Sechilienne-Sidec ............................................... 71,106 1 Societe Generale ................................................ 87 50,087 Total S.A. (O)................................................... 4,274,860 737 Virbac S.A. ..................................................... 63,459 ------------ 13,683,098 ------------ GERMANY - 8.99% 26,250 Adidas AG ....................................................... 1,657,981 9,000 Allianz SE ...................................................... 1,585,880 5,869 Compugroup Holding AG * ......................................... 83,177 1,830 CTS Eventim AG .................................................. 73,339 4,768 D+S europe AG *.................................................. 97,756
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 64 ================================================================================ INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS (CONTINUED) - -------------------------------------------------------------------------------------------------- GERMANY (CONTINUED) 26,600 Daimler AG ...................................................... $ 1,645,321 18,600 E.ON AG ......................................................... 3,753,437 1,050 Pfeiffer Vacuum Technology AG ................................................... 108,928 1,520 SGL Carbon AG *.................................................. 106,728 25,419 Siemens AG ...................................................... 2,822,723 3,195 Symrise AG ...................................................... 69,430 1,048 Wincor Nixdorf AG ............................................... 72,976 ------------ 12,077,676 ------------ GREECE - 1.59% 21,292 National Bank of Greece S.A. .................................... 959,586 30,513 OPAP S.A. ....................................................... 1,065,722 4,188 Piraeus Bank S.A. ............................................... 113,827 ------------ 2,139,135 ------------ HONG KONG - 0.09% 11,405 Esprit Holdings, Ltd. ........................................... 118,480 ------------ HUNGARY - 0.08% 2,700 OPT Bank Nyrt. * ................................................ 113,114 ------------ INDIA - 1.16% 3,209 Grasim Industries, Ltd. ......................................... 137,981 12,155 Hero Honda Motors, Ltd. ......................................... 193,519 8,675 Hindustan Unilever, Ltd. ........................................ 41,515 26,866 Oil & Natural Gas Corp., Ltd. ................................... 502,040 18,660 Punjab National Bank, Ltd. ...................................... 161,337 40,354 Satyam Computer Services, Ltd. .................................................. 410,903 4,101 State Bank of India, Ltd. ....................................... 105,516 ------------ 1,552,811 ------------ INDONESIA - 0.75% 978,200 Bank Mandiri Persero Tbk PT ..................................... 275,848 156,000 PT Astra International Tbk ...................................... 325,705 12,090 Telekomunikasi Indonesia Tbk PT, ADR ..................................................... 389,903 12,000 United Tractors Tbk PT .......................................... 15,813 ------------ 1,007,269 ------------ IRELAND - 1.33% 8,971 Anglo Irish Bank Corp. PLC ...................................... 84,238 53,991 CRH PLC ......................................................... 1,589,866 4,433 DCC PLC ......................................................... 110,545 ------------ 1,784,649 ------------ ISLE OF MAN - 0.05% 21,617 Hansard Global PLC .............................................. 67,562 ------------ ISRAEL - 0.64% 96,018 Bank Hapoalim BM ................................................ 423,533 3,200 Delek Automotive Systems, Ltd. .................................. 51,059 16,270 Israel Chemicals, Ltd. .......................................... 378,485 ------------ 853,077 ------------ ITALY - 3.13% 84,920 ENI SpA ......................................................... 3,169,245 6,929 MARR SpA ........................................................ 71,468 156,835 UniCredit SpA ................................................... 960,088 ------------ 4,200,801 ------------ JAPAN - 13.68% 6,690 Amano Corp. (O).................................................. 64,512 4,080 Asahi Pretec Corp. (O) .......................................... 127,176 20,800 Canon, Inc. (O).................................................. 1,069,479 44,810 Daito Trust Construction Co., Ltd. ..................................................... ...... 2,173,194 2,850 Don Quijote Co., Ltd. (O) ....................................... 52,148 184 East Japan Railway Co. .......................................... 1,498,823 2,550 Hisamitsu Pharmaceutical Co., Inc. ............................................................ 110,943 34,900 HOYA Corp. ...................................................... 806,851 6,740 Ichiyoshi Securities Co., Ltd. (O).................................................... 61,757 114 Inpex Holdings, Inc. ............................................ 1,438,554 1,630 Jafco Co., Ltd. ................................................. 55,720 399 Japan Tobacco, Inc. ............................................. 1,702,109 49,800 JSR Corp. ....................................................... 989,528 97 KK daVinci Advisors * ........................................... 66,408 3,260 Konami Corp. .................................................... 113,896 4,650 MISUMI Group, Inc. (O)........................................... 86,484 32,500 Mitsubishi Corp. ................................................ 1,071,193 20,400 Nidec Corp. ..................................................... 1,358,207 5,180 Ohara, Inc. ..................................................... 92,488 6,780 OSG Corp. (O).................................................... 76,617 189 Sumitomo Mitsui Financial Group, Inc. (O).................................................. 1,422,083 146,200 Sumitomo Trust & Banking Co., Ltd./The ........................................... 1,021,569 7,980 Suruga Bank, Ltd. ............................................... 103,780 2,080 Sysmex Corp. (O) ................................................ 81,876 400 T Hasegawa Co., Ltd. ............................................ 6,084 26,250 T&D Holdings, Inc. .............................................. 1,614,206 17,300 Takeda Pharmaceutical Co., Ltd. ....................................................... 879,744 4,490 THK Co., Ltd. ................................................... 87,102 2,680 Union Tool Co. (O)............................................... 77,985 1,030 USS Co., Ltd. ................................................... 67,994 ------------ 18,378,510 ------------ MALAYSIA - 0.28% 17,500 British American Tobacco Malaysia Bhd .................................................... 236,993 171,900 PLUS Expressways Bhd ............................................ 136,257 ------------ 373,250 ------------ MEXICO - 1.01% 11,954 Cemex SAB de C.V., ADR *......................................... 295,264 5,790 Desarrolladora Homex SAB de C.V., ADR *...................................................... 339,178 ------------
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 65 ================================================================================ INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS (CONTINUED) - -------------------------------------------------------------------------------------------------- MEXICO (CONTINUED) 5,090 Fomento Economico Mexicano SAB de C.V., ADR ................................................ $ 231,646 11,924 Grupo Televisa S.A., ADR ........................................ 281,645 52,050 Kimberly-Clark de Mexico SAB de C.V., Class A ............................................ 212,155 ------------ 1,359,888 ------------ NETHERLANDS - 1.70% 1,506 Advanced Metallurgical Group N.V. (O)*.................................................. 128,654 1,834 Boskalis Westminster (O) ........................................ 98,336 1,835 Fugro N.V. ...................................................... 156,759 19,230 Heineken N.V. ................................................... 981,725 4,131 Innoconcepts .................................................... 58,156 4,565 Ordina N.V. (O) ................................................. 61,390 2,603 SBM Offshore N.V. ............................................... 96,079 19,348 TNT N.V. ........................................................ 661,749 2,672 USG People N.V. (O) ............................................. 48,514 ------------ 2,291,362 ------------ NORWAY - 1.06% 3,390 Acergy S.A. ..................................................... 75,900 6,530 ODIM ASA *....................................................... 109,011 8,160 Songa Offshore ASA * ............................................ 131,814 58,900 Telenor ASA (O).................................................. 1,108,200 ------------ 1,424,925 ------------ PHILIPPINES - 0.32% 7,940 Philippine Long Distance Telephone Co., ADR .............................................. 424,155 ------------ PORTUGAL - 0.03% 13,045 Banif SGPS S.A. ................................................. 36,154 2,721 Banif SGPS S.A., New Shares (L) .................................................. 7,541 ------------ 43,695 ------------ RUSSIA - 1.10% 7,000 Eurasia Drilling Co., Ltd., GDR (C)*................................................... 181,650 1,890 Evraz Group S.A., GDR ........................................... 220,185 6,470 Mobile Telesystems OJSC, ADR .................................... 495,667 4,778 Oriflame Cosmetics S.A., SDR .................................... 307,324 83,618 TNK-BP Holding .................................................. 185,214 606 Vsmpo-Avisma Corp. .............................................. 92,718 ------------ 1,482,758 ------------ SINGAPORE - 2.65% 15,700 Cosco Corp. Singapore, Ltd., ADR ............................................ 182,120 88,000 DBS Group Holdings, Ltd. ........................................ 1,219,591 812,500 Singapore Telecommunications, Ltd. ........................................ 2,161,333 ------------ 3,563,044 ------------ SOUTH AFRICA - 2.29% 19,300 Aquarius Platinum, Ltd. ......................................... 309,477 15,287 Eqstra Holdings, Ltd. * ......................................... 24,571 31,287 Imperial Holdings, Ltd. * ....................................... 211,372 11,242 Kumba Iron Ore, Ltd. ............................................ 453,539 28,600 Massmart Holdings, Ltd. ......................................... 226,002 15,352 Murray & Roberts Holdings, Ltd. .................................................. 171,039 13,611 Naspers, Ltd. ................................................... 298,089 26,182 Nedbank Group, Ltd. ............................................. 308,329 85,904 Pretoria Portland Cement Co., Ltd. ................................................ 315,649 114,355 Sanlam, Ltd. .................................................... 243,121 101,222 Steinhoff International Holdings, Ltd. .................................................. 206,385 104,928 Truworths International, Ltd. ................................... 308,414 ------------ 3,075,987 ------------ SOUTH KOREA - 2.20% 250 Amorepacific Corp. .............................................. 154,868 1,956 GS Engineering & Construction Corp. .............................................. 214,103 1,827 Hite Brewery Co., Ltd. (L) ...................................... 205,222 13,154 Kookmin Bank .................................................... 777,130 2,180 Samsung Electronics Co., Ltd, GDR (C) ............................................... 642,555 12,657 Shinhan Financial Group Co., Ltd. ................................................. 572,321 13,130 Woongjin Coway Co., Ltd. ........................................ 385,346 ------------ 2,951,545 ------------ SPAIN - 1.26% 83,240 Banco Santander S.A. ............................................ 1,529,680 2,232 Codere S.A. (O)* ................................................ 50,260 4,479 Indra Sistemas S.A. (O).......................................... 116,517 ------------ 1,696,457 ------------ SWEDEN - 1.03% 9,516 Duni AB ......................................................... 69,500 6,460 Elekta AB, B Shares (O) ......................................... 124,386 4,068 Getinge AB, B Shares (O) ........................................ 99,598 3,330 Indutrade AB .................................................... 65,224 7,460 KappAhl Holding AB (O)*.......................................... 50,893 93,080 Telefonaktiebolaget LM Ericsson, B Shares (O) .......................................... 970,275 ------------ 1,379,876 ------------ SWITZERLAND - 10.56% 2,210 Bank Sarasin & Cie AG, Series B ........................................................ 99,519 160 Banque Cantonale Vaudoise ....................................... 53,156 399 Burckhardt Compression Holding AG ...................................................... 121,217 676 Dufry Group ..................................................... 61,942 1,347 Gottex Fund Management Holdings, Ltd. .................................................. 38,942
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 66 ================================================================================ INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COMMON STOCKS (CONTINUED) - -------------------------------------------------------------------------------------------------- SWITZERLAND (CONTINUED) 81,250 Nestle S.A. ..................................................... $ 3,599,079 82,797 Novartis AG ..................................................... 4,564,221 13,500 Roche Holding AG ................................................ 2,434,340 3,400 Swisscom AG ..................................................... 1,135,388 1,868 Swissquote Group Holding S.A. ................................... 83,478 46,400 UBS AG * ........................................................ 974,928 3,960 Zurich Financial Services AG .................................... 1,014,837 ------------ 14,181,047 ------------ TAIWAN - 0.83% 182,000 Advanced Semiconductor Engineering, Inc. ............................................... 163,694 50,096 Advantech Co., Ltd. ............................................. 128,735 1 Chinatrust Financial Holding Co., Ltd. * ............................................. 1 56,027 HON HAI Precision Industry Co., Ltd. .............................................. 275,954 61,159 Novatek Microelectronics Corp., Ltd. ..................................................... 177,716 174,762 Taiwan Semiconductor Manufacturing Co., Ltd. ......................................... 374,247 ------------ 1,120,347 ------------ TURKEY - 0.66% 17,152 Ford Otomotiv Sanayi AS ......................................... 122,725 76,214 Turkcell Iletisim Hizmet AS ..................................... 436,256 551 Turkcell Iletisim Hizmet AS, ADR ............................................................. 8,017 96,774 Turkiye Is Bankasi, Series C .................................... 316,539 ------------ 883,537 ------------ UNITED KINGDOM - 18.59% 16,815 Ashmore Group PLC ............................................... 72,470 315,173 BAE Systems PLC ................................................. 2,776,310 238,275 BP PLC .......................................................... 2,766,553 30,630 British American Tobacco PLC .................................... 1,060,357 4,872 Charter PLC ..................................................... 84,330 2,510 Chemring Group PLC .............................................. 118,221 107,900 Diageo PLC ...................................................... 1,984,719 19,642 Filtrona PLC .................................................... 55,622 79,500 GlaxoSmithKline PLC ............................................. 1,761,441 31,915 Hampson Industries PLC .......................................... 108,959 60,100 HSBC Holdings PLC ............................................... 928,115 60,934 Imperial Tobacco Group PLC ...................................... 2,269,547 5,829 Intertek Group PLC .............................................. 114,646 126,800 Lloyds TSB Group PLC ............................................ 784,397 9,557 Man Group PLC ................................................... 118,717 78,212 National Grid PLC ............................................... 1,028,376 1,807 Northgate PLC ................................................... 12,698 584,688 Old Mutual PLC .................................................. 1,080,135 125,800 Prudential PLC .................................................. 1,334,792 18,930 Reckitt Benckiser PLC ........................................... 959,056 35,449 Regus Group PLC ................................................. 57,160 22,100 Sepura, Ltd. *................................................... 38,385 206,800 Tesco PLC ....................................................... 1,520,322 55,300 Unilever PLC .................................................... 1,573,124 6,042 Victrex PLC ..................................................... 89,848 765,062 Vodafone Group PLC .............................................. 2,271,567 ------------ 24,969,867 ------------ TOTAL COMMON STOCKS (Cost $122,629,461) ............................................. 127,430,938 COMMON STOCK UNIT - 0.04% - -------------------------------------------------------------------------------------------------- IRELAND - 0.04% 9,167 Grafton Group PLC *.............................................. 53,410 ------------ TOTAL COMMON STOCK UNIT (Cost $84,899)................................................... 53,410 PREFERRED STOCKS - 1.03% - -------------------------------------------------------------------------------------------------- BRAZIL - 0.95% 20,490 AES Tiete S.A. .................................................. 217,070 8,093 Cia Energetica de Minas Gerais .................................. 197,245 11,336 Cia Vale do Rio Doce. ........................................... 338,961 64,870 Klabin S.A. ..................................................... 243,580 17,000 Suzano Papel e Celulose S.A. .................................... 276,753 ------------ 1,273,609 ------------ GERMANY - 0.08% 1,195 Fuchs Petrolub AG ............................................... 112,906 ------------ TOTAL PREFERRED STOCKS (Cost $762,853).................................................. 1,386,515 WARRANTS AND RIGHTS - 0.01% - -------------------------------------------------------------------------------------------------- PORTUGAL - 0.01% 2,721 Banif SGPS S.A. Exp. 06/20/08 (Exercise Price $3.15) (L)* ..................................... 7,541 ------------ TOTAL WARRANTS AND RIGHTS (Cost $0) ....................................................... 7,541 INVESTMENT COMPANY - 2.68% - -------------------------------------------------------------------------------------------------- UNITED STATES - 2.68% 3,602,765 SSgA Prime Money Market Fund ............................................................ 3,602,765 ------------ TOTAL INVESTMENT COMPANY (Cost $3,602,765) ............................................... 3,602,765
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 67 ================================================================================ INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- COLLATERAL FOR SECURITIES ON LOAN - 7.93% - -------------------------------------------------------------------------------------------------- UNITED STATES - 7.93% 10,653,651 State Street Navigator Securities Lending Prime Portfolio (I) ..................................... $ 10,653,651 ------------ TOTAL COLLATERAL FOR SECURITIES ON LOAN (Cost $10,653,651) .............................................. 10,653,651 TOTAL INVESTMENTS - 106.54% - -------------------------------------------------------------------------------------------------- (Cost $137,733,629**) ......................................................... 143,134,820 NET OTHER ASSETS AND LIABILITIES - (6.54)% - -------------------------------------------------------------------------------------------------- (8,785,242) TOTAL NET ASSETS - 100.00% - -------------------------------------------------------------------------------------------------- $134,349,578
- -------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $138,624,377. (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. (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. ADR American Depositary Receipt. GDR Global Depositary Receipt. PLC Public Limited Company. SDR Swedish Depositary Receipt. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 68 ================================================================================ INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- OTHER INFORMATION: Industry Concentration
% of Net Assets --------------- Oil, Gas & Consumable Fuels 9.3% Commercial Banks 8.9% Pharmaceuticals 8.8% Insurance 6.1% Food Products 5.0% Wireless Telecommunication Services 4.3% Tobacco 4.3% Diversified Telecommunication Services 4.2% Net Other Assets & Liabilities 4.1% Electric Utilities 3.9% Beverages 3.3% Gas Utilities 2.4% Aerospace & Defense 2.4% Electronic Equipment & Instruments 2.4% Communications Equipment 2.3% Electrical Equipment 2.2% Real Estate Management & Development 1.8% Metals & Mining 1.8% Automobiles 1.7% Diversified Financial Services 1.7% Construction Materials 1.6% Textiles, Apparel & Luxury Goods 1.5% Food & Staples Retailing 1.3% Chemicals 1.2% Capital Markets 1.1% Road & Rail 1.1% Household Products 1.0% Distributors 0.9% Office Electronics 0.9% Hotels, Restaurants & Leisure 0.8% IT Services 0.8% Machinery 0.7% Air Freight & Logistics 0.7% Commercial Services & Supplies 0.6% Semiconductors & Semiconductor Equipment 0.5% Construction & Engineering 0.5% Media 0.5% Household Durables 0.4% Industrial Conglomerates 0.4% Paper & Forest Products 0.4% Personal Products 0.3% Energy Equipment & Services 0.3% Health Care Equipment & Supplies 0.3% Building Products 0.3% Transportation Infrastructure 0.3% Computers & Peripherals 0.1% Specialty Retail 0.1% Auto Components 0.1% Marine 0.1% Software 0.1% Health Care Technology 0.1% Leisure Equipment & Products 0.1% Multi-Utilities * 0.0% Multiline Retail * 0.0% ----------- 100.0% ===========
*Rounds to 0.0% The industry classification method used for purposes of this report's allocation charts and portfolio of investments schedules may differ from the industry subclassification(s) used for Trust compliance purposes. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 69 ================================================================================ TARGET RETIREMENT 2020 FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- [PIE CHART OF PORTFOLIO ALLOCATION] PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2008 Equity Securities 48% Debt Securities 24% Foreign Securities 25% Alternative Asset Classes 2% Money Market Securities and Other Net Assets 1%
[END CHART] PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE AS OF JUNE 30, 2008 MEMBERS Large Cap Growth Fund, Class Y 12% MEMBERS High Income Fund, Class Y 9% Julius Baer International Equity Fund II, Class I 9% Victory Special Value Fund, Class I 9% Laudus International MarketMasters Fund, Select Shares 9% T. Rowe Price Spectrum Income Fund 8% MEMBERS Large Cap Value Fund, Class Y 8% Oppenheimer International Bond Fund, Class Y 7% Principal International Emerging Markets Fund, Class I 7% Neuberger Berman Partners Fund, Institutional Class 6% Manning & Napier Equity Series Fund 6% MEMBERS Mid Cap Growth Fund, Class Y 4% Royce Value Fund, Institutional Class 3% Ivy Global Natural Resources Fund, Class I 2% SSgA Prime Money Market Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- INVESTMENT COMPANY - 100.03% - -------------------------------------------------------------------------------------------------- ALTERNATIVE ASSET CLASSES - 2.19% 3,667 Ivy Global Natural Resources Fund, Class I ................................................... $ 151,975 ------------ DEBT SECURITIES - 24.49% 94,221 MEMBERS High Income Fund, Class Y (R)...................................................... 641,646 76,893 Oppenheimer International Bond Fund, Class Y .............................................. 497,498 47,939 T. Rowe Price Spectrum Income Fund ..................................................... 559,923 ------------ 1,699,067 ------------ EQUITY SECURITIES - 47.91% 23,531 Manning & Napier Equity Series Fund ..................................................... 393,441 53,919 MEMBERS Large Cap Growth Fund, Class Y (R)* .............................................. 830,893 38,451 MEMBERS Large Cap Value Fund, Class Y (R) ............................................... 521,774 43,875 MEMBERS Mid Cap Growth Fund, Class Y (R) ............................................... 282,996 13,538 Neuberger Berman Partners Fund, Institutional Class ....................................... 427,001 20,056 Royce Value Fund, Institutional Class ............................................. 229,846 36,723 Victory Special Value Fund, Class I ............................. 638,240 ------------ 3,324,191 ------------ FOREIGN SECURITIES - 24.51% 41,606 Julius Baer International Equity Fund II, Class I ......................................... 639,483 31,557 Laudus International MarketMasters Fund, Select Shares ............................... 624,522 16,246 Principal International Emerging Markets Fund, Class I ........................................... 436,535 ------------ 1,700,540 ------------ MONEY MARKET SECURITIES - 0.93% 64,585 SSgA Prime Money Market Fund ..................................................... 64,585 ------------ TOTAL INVESTMENT COMPANIES - 100.03% (Cost $7,249,501) ............................................... 6,940,358 NET OTHER ASSETS AND LIABILITIES - (0.03)% - -------------------------------------------------------------------------------------------------- (2,297) TOTAL NET ASSETS - 100.00% - -------------------------------------------------------------------------------------------------- $6,938,061
- -------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $7,335,995. (R) Affiliated Company (see Note 10). See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 70 ================================================================================ TARGET RETIREMENT 2030 FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- [PIE CHART OF PORTFOLIO ALLOCATION] PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2008 Equity Securities 54% Foreign Securities 28% Debt Securities 14% Alternative Asset Classes 3% Money Market Securities and Other Net Assets 1%
[END CHART] PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE AS OF JUNE 30, 2008 MEMBERS Large Cap Growth Fund, Class Y 12% Julius Baer International Equity Fund II, Class I 10% Laudus International MarketMasters Fund, Select Shares 10% MEMBERS Large Cap Value Fund, Class Y 8% Principal International Emerging Markets Fund, Class I 7% MEMBERS High Income Fund, Class Y 7% T. Rowe Price Spectrum Income Fund 7% Neuberger Berman Partners Fund, Institutional Class 7% Manning & Napier Equity Series Fund 6% Victory Special Value Fund, Class I 5% MEMBERS Mid Cap Growth Fund, Class Y 5% CRM Mid Cap Value Fund, Class I 5% Royce Value Fund, Institutional Class 4% Ivy Global Natural Resources Fund, Class I 3% MEMBERS Small Cap Growth Fund, Class Y 3% SSgA Prime Money Market Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- INVESTMENT COMPANY - 100.03% - -------------------------------------------------------------------------------------------------- ALTERNATIVE ASSET CLASSES - 3.29% 5,101 Ivy Global Natural Resources Fund, Class I ................................................... $ 211,395 ------------ DEBT SECURITIES - 14.29% 68,098 MEMBERS High Income Fund, Class Y (R)...................................................... 463,744 38,963 T. Rowe Price Spectrum Income Fund ..................................................... 455,091 ------------ 918,835 ------------ EQUITY SECURITIES - 53.97% 11,707 CRM Mid Cap Value Fund, Class I ................................................... 317,950 23,683 Manning & Napier Equity Series Fund ..................................................... 395,977 50,208 MEMBERS Large Cap Growth Fund, Class Y (R)*..................................................... 773,705 35,781 MEMBERS Large Cap Value Fund, Class Y (R)...................................................... 485,553 50,981 MEMBERS Mid Cap Growth Fund, Class Y (R)...................................................... 328,830 20,766 MEMBERS Small Cap Growth Fund, Class Y (R)...................................................... 196,447 13,625 Neuberger Berman Partners Fund, Institutional Class ....................................... 429,717 18,533 Royce Value Fund, Institutional Class ............................................. 212,383 18,958 Victory Special Value Fund, Class I ......................................................... 329,497 ------------ 3,470,059 ------------ FOREIGN SECURITIES - 27.54% 42,805 Julius Baer International Equity Fund II, Class I ......................................... 657,916 32,541 Laudus International MarketMasters Fund, Select Shares ............................................. 643,981 17,448 Principal International Emerging Markets Fund, Class I ........................................... 468,841 ------------ 1,770,738 ------------ MONEY MARKET SECURITIES - 0.94% 60,667 SSgA Prime Money Market Fund .................................... 60,667 ------------ TOTAL INVESTMENT COMPANIES - 100.03% (Cost $6,725,043) ............................................... 6,431,694 NET OTHER ASSETS AND LIABILITIES - (0.03)% - -------------------------------------------------------------------------------------------------- (2,103) TOTAL NET ASSETS - 100.00% - -------------------------------------------------------------------------------------------------- $6,429,591
- -------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $6,764,416. (R) Affiliated Company (see Note 10). See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 71 ================================================================================ TARGET RETIREMENT 2040 FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- [PIE CHART OF PORTFOLIO ALLOCATION] PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF JUNE 30, 2008 Equity Securities 57% Foreign Securities 34% Alternative Asset Classes 4% Debt Securities 4% Money Market Securities and Other Net Assets 1%
[END CHART] PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE AS OF JUNE 30, 2008 Laudus International MarketMasters Fund, Select Shares 13% Julius Baer International Equity Fund II, Class I 12% MEMBERS Large Cap Growth Fund, Class Y 12% Principal International Emerging Markets Fund, Class I 9% MEMBERS Large Cap Value Fund, Class Y 8% MEMBERS Mid Cap Growth Fund, Class Y 7% Neuberger Berman Partners Fund, Institutional Class 7% Manning & Napier Equity Series Fund 6% Victory Special Value Fund, Class I 5% CRM Mid Cap Value Fund, Class I 5% Ivy Global Natural Resources Fund, Class I 4% MEMBERS High Income Fund, Class Y 4% MEMBERS Small Cap Growth Fund, Class Y 4% Royce Value Fund, Institutional Class 3% SSgA Prime Money Market Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2) - ------ -------------- INVESTMENT COMPANY - 100.02% - -------------------------------------------------------------------------------------------------- ALTERNATIVE ASSET CLASSES - 4.38% 4,916 Ivy Global Natural Resources Fund, Class I ......................................... $ 203,720 ------------ DEBT SECURITIES - 4.13% 28,192 MEMBERS High Income Fund, Class Y (R) ..................................................... 191,989 ------------ EQUITY SECURITIES - 57.04% 8,464 CRM Mid Cap Value Fund, Class I ................................................... 229,889 17,174 Manning & Napier Equity Series Fund ..................................................... 287,148 36,340 MEMBERS Large Cap Growth Fund, Class Y (R)* .................................................... 559,992 25,949 MEMBERS Large Cap Value Fund, Class Y (R) ..................................................... 352,129 51,617 MEMBERS Mid Cap Growth Fund, Class Y (R) ..................................................... 332,931 20,041 MEMBERS Small Cap Growth Fund, Class Y (R) ..................................................... 189,589 9,837 Neuberger Berman Partners Fund, Institutional Class ....................................... 310,263 13,398 Royce Value Fund, Institutional Class ............................................. 153,540 13,694 Victory Special Value Fund, Class I ............................. 238,003 ------------ 2,653,484 ------------ FOREIGN SECURITIES - 33.53% 36,948 Julius Baer International Equity Fund II, Class I ......................................... 567,891 29,488 Laudus International MarketMasters Fund, Select Shares ............................................. 583,559 15,197 Principal International Emerging Markets Fund, Class I ........................................... 408,331 ------------ 1,559,781 ------------ MONEY MARKET SECURITIES - 0.94% 43,538 SSgA Prime Money Market Fund ..................................................... 43,538 ------------ TOTAL INVESTMENT COMPANIES - 100.02% (Cost $4,882,497) ............................................... 4,652,512 NET OTHER ASSETS AND LIABILITIES - (0.02)% - -------------------------------------------------------------------------------------------------- (892) TOTAL NET ASSETS - 100.00% - -------------------------------------------------------------------------------------------------- $4,651,620
- -------------------------------------------------------------------------------- * Non-income producing. ** Aggregate cost for Federal tax purposes was $4,935,510. (R) Affiliated Company (see Note 10). See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 72 ================================================================================ - -------------------------------------------------------------------------------- This page is left blank intentionally - -------------------------------------------------------------------------------- 73 ================================================================================ STATEMENTS OF ASSETS AND LIABILITIES AS OF JUNE 30, 2008 (UNAUDITED) - --------------------------------------------------------------------------------
CONSERVATIVE MODERATE AGGRESSIVE ALLOCATION ALLOCATION ALLOCATION FUND FUND FUND ========================================================================================================================== ASSETS: Investments in securities, at cost Unaffiliated issuers $ 44,040,151 $115,792,997 $38,661,956 Affiliated issuers(1) 70,097,491 182,076,333 56,487,437 Net unrealized appreciation (depreciation) Unaffiliated issuers (882,438) (2,711,122) (551,740) Affiliated issuers(1) (3,006,144) (10,505,114) (3,838,358) ----------------------------------------------------- Total investments at value 110,249,060 284,653,094 90,759,295 Receivables: Investments sold - - - Fund shares sold 987,575 623,038 160,994 Dividends and interest 172 393 194 Other assets - - - ----------------------------------------------------- Total Assets 111,236,807 285,276,525 90,920,483 ----------------------------------------------------- LIABILITIES: Payable to custodian - - - Payables: Investments purchased 987,522 622,547 157,026 Upon return of securities loaned - - - Fund shares redeemed 10 399 3,919 Accrued management fees 26,865 69,693 22,514 Accrued expenses and other payables 5,611 15,714 5,698 ----------------------------------------------------- Total Liabilities 1,020,008 708,353 189,157 ----------------------------------------------------- Net assets applicable to outstanding capital stock $110,216,799 $284,568,172 $90,731,326 ===================================================== REPRESENTED BY: Capital stock and additional paid-in capital $114,117,141 $302,417,248 $97,800,257 Accumulated undistributed (over-distributed) net investment income (loss) 1,229,254 1,726,606 (30,276) Accumulated net realized gain (loss) on investments and foreign currency related transactions (1,241,014) (6,359,446) (2,648,557) Unrealized appreciation (depreciation) of investments (including appreciation (depreciation) of foreign currency related transactions) (3,888,582) (13,216,236) (4,390,098) ----------------------------------------------------- Total net assets - representing net assets applicable to outstanding capital stock $110,216,799 $284,568,172 $90,731,326 ===================================================== Number of Class Z Shares issued and outstanding 10,614,626 27,267,511 8,753,305 ===================================================== NET ASSET VALUE per share of outstanding capital stock, offering price and redemption price $ 10.38 $ 10.44 $ 10.37 =====================================================
- ------------------------------------------------------- (1) See Note 10 for information on affiliated issuers. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 74 ================================================================================ - --------------------------------------------------------------------------------
MONEY MARKET HIGH INCOME DIVERSIFIED LARGE CAP LARGE CAP FUND BOND FUND FUND INCOME FUND VALUE FUND GROWTH FUND =================================================================================================================== $111,533,849 $735,667,444 $143,474,002 $614,581,599 $904,522,165 $588,234,713 - - - - - - - (6,421,698) (3,861,411) (15,205,806) 58,269,074 53,805,646 - - - - - - - ------------------------------------------------------------------------------------------------------------------- 111,533,849 729,245,746 139,612,591 599,375,793 962,791,239 642,040,359 - - 824,078 - 96,454,876 25,277,357 51,732 166,352 - 19,798 - 55,616 10,603 5,380,888 2,198,623 3,646,050 1,716,681 645,834 - 54,702 35,107 28,030 24,108 34,548 - ------------------------------------------------------------------------------------------------------------------- 111,596,184 734,847,688 142,670,399 603,069,671 1,060,986,904 668,053,714 - ------------------------------------------------------------------------------------------------------------------- - - 558,950 - - - - - 303,300 - 84,868,079 29,853,062 - 114,421,830 19,855,472 65,290,985 41,897,051 46,733,387 371,025 605,639 230,180 586,715 427,657 234,390 41,349 280,051 76,270 316,628 484,467 404,274 65,034 36,835 7,369 35,615 60,055 38,213 - ------------------------------------------------------------------------------------------------------------------- 477,408 115,344,355 21,031,541 66,229,943 127,737,309 77,263,326 - ------------------------------------------------------------------------------------------------------------------- $111,118,776 $619,503,333 $121,638,858 $536,839,728 $933,249,595 $590,790,388 =================================================================================================================== $111,118,776 $623,811,508 $128,938,157 $543,734,809 $850,949,607 $547,474,276 (19,466) 15,431,830 4,395,880 12,325,824 11,689,033 1,685,239 19,466 (13,318,307) (7,833,768) (4,015,099) 12,341,879 (12,174,773) - (6,421,698) (3,861,411) (15,205,806) 58,269,076 53,805,646 - ------------------------------------------------------------------------------------------------------------------- $111,118,776 $619,503,333 $121,638,858 $536,839,728 $933,249,595 $590,790,388 =================================================================================================================== 111,118,776 60,247,516 12,908,070 32,658,952 34,179,947 27,550,120 =================================================================================================================== $ 1.00 $ 10.28 $ 9.42 $ 16.44 $ 27.30 $ 21.44 ===================================================================================================================
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 75 ================================================================================ STATEMENTS OF ASSETS AND LIABILITIES AS OF JUNE 30, 2008 (UNAUDITED) - --------------------------------------------------------------------------------
MID CAP MID CAP SMALL CAP VALUE FUND GROWTH FUND VALUE FUND ========================================================================================================================= ASSETS: Investments in securities, at cost Unaffiliated issuers $336,953,178 $407,812,642 $7,733,559 Affiliated issuers(1) - - - Net unrealized appreciation (depreciation) Unaffiliated issuers (2,888,708) (1,332,985) (936,590) Affiliated issuers(1) - - - ---------------------------------------------------- Total investments at value 334,064,470 406,479,657 6,796,969 Cash - - 634 Foreign currency(2) - - - Receivables: Investments sold 23,342,784 4,389,244 28,650 Fund shares sold 122,317 79,591 - Dividends and interest 517,040 118,129 7,573 Other assets 54,992 120,499 - ---------------------------------------------------- Total Assets 358,101,603 411,187,120 6,833,826 ---------------------------------------------------- LIABILITIES: Unrealized depreciation of forward currency contracts - - - Payables: Investments purchased 27,118,124 5,232,441 168,653 Upon return of securities loaned 61,343,882 85,710,287 - Fund shares redeemed 177,156 115,619 13,021 Accrued management fees 233,014 232,390 6,320 Accrued expenses and other payables 20,328 23,032 551 ---------------------------------------------------- Total Liabilities 88,892,504 91,313,769 188,545 ---------------------------------------------------- Net assets applicable to outstanding capital stock $269,209,099 $319,873,351 $6,645,281 ==================================================== REPRESENTED BY: Capital stock and additional paid-in capital $275,527,356 $331,657,092 $7,576,910 Accumulated undistributed (over-distributed) net investment income (loss) 1,997,975 (145,682) 25,188 Accumulated net realized gain (loss) on investments and foreign currency related transactions (5,427,524) (10,305,140) (20,227) Unrealized appreciation (depreciation) of investments (including appreciation (depreciation) of foreign currency related transactions) (2,888,708) (1,332,919) (936,590) ---------------------------------------------------- Total net assets - representing net assets applicable to outstanding capital stock $269,209,099 $319,873,351 $6,645,281 ==================================================== Number of Class Z Shares issued and outstanding 19,153,703 60,695,602 787,080 ==================================================== NET ASSET VALUE per share of outstanding capital stock, offering price and redemption price $ 14.06 $ 5.27 $ 8.44 ====================================================
- ------------------------------------------------------- (1) See Note 10 for information on affiliated issuers. (2) Cost of Foreign Currency of $16,816 and $137,689 for the Global Securities and International Stock Funds, respectively. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 76 ================================================================================ - --------------------------------------------------------------------------------
GLOBAL TARGET TARGET TARGET SMALL CAP SECURITIES INTERNATIONAL RETIREMENT RETIREMENT RETIREMENT GROWTH FUND FUND STOCK FUND 2020 FUND 2030 FUND 2040 FUND ================================================================================================================== $6,523,265 $59,843,179 $137,733,629 $4,859,332 $4,374,031 $3,176,364 - - - 2,390,169 2,351,012 1,706,133 (113) (9,778,357) 5,401,191 (196,283) (190,616) (150,482) - - - (112,860) (102,733) (79,503) - ------------------------------------------------------------------------------------------------------------------ 6,523,152 50,064,822 143,134,820 6,940,358 6,431,694 4,652,512 - - 31,781 - - - - 17,088 137,621 - - - - 157,294 1,995,628 - - - 456 2 26,231 27,627 16,156 15,029 1,816 105,167 481,713 16 18 20 - 9,778 77,929 - - - - ------------------------------------------------------------------------------------------------------------------ 6,525,424 50,354,151 145,885,723 6,968,001 6,447,868 4,667,561 - ------------------------------------------------------------------------------------------------------------------ - 38,164 - - - - - 109,211 577,052 27,627 16,156 15,029 - 6,388,355 10,653,651 - - - - 23,981 155,866 - - - 5,873 35,624 137,276 2,146 1,999 806 552 2,852 12,300 167 122 106 - ------------------------------------------------------------------------------------------------------------------ 6,425 6,598,187 11,536,145 29,940 18,277 15,941 - ------------------------------------------------------------------------------------------------------------------ $6,518,999 $43,755,964 $134,349,578 $6,938,061 $6,429,591 $4,651,620 ================================================================================================================== $7,103,268 $52,890,507 $124,694,614 $7,307,045 $6,749,789 $4,934,761 81 903,767 1,833,321 24,500 11,173 (143) (584,237) (223,726) 2,400,097 (84,341) (38,022) (53,013) (113) (9,814,584) 5,421,546 (309,143) (293,349) (229,985) - ------------------------------------------------------------------------------------------------------------------ $6,518,999 $43,755,964 $134,349,578 $6,938,061 $6,429,591 $4,651,620 ================================================================================================================== 719,387 5,082,069 11,923,490 772,213 729,519 536,066 ================================================================================================================== $ 9.06 $ 8.61 $ 11.27 $ 8.98 $ 8.81 $ 8.68 ==================================================================================================================
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 77 ================================================================================ STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2008 (UNAUDITED) - --------------------------------------------------------------------------------
CONSERVATIVE MODERATE AGGRESSIVE ALLOCATION ALLOCATION ALLOCATION FUND FUND FUND ========================================================================================================================== INVESTMENT INCOME: Interest $ 1,071 $ 3,830 $ 1,958 Dividends Unaffiliated issuers 729,967 1,043,644 67,559 Affiliated issuers(1) 613,068 989,378 - Less: Foreign taxes withheld - - - Securities lending income - - - ----------------------------------------------------- Total investment income 1,344,106 2,036,852 69,517 ----------------------------------------------------- EXPENSES: Management fees 136,596 372,151 118,571 Trustees' fees 1,008 3,316 1,036 Audit fees 3,300 8,112 3,321 Compliance expense 1,303 4,286 1,339 ----------------------------------------------------- Total expenses before management fee reduction 142,207 387,865 124,267 Less management fee reduction (27,355) (77,619) (24,474) ----------------------------------------------------- Total expenses net of management fee reduction 114,852 310,246 99,793 ----------------------------------------------------- 1,229,254 1,726,606 (30,276) ----------------------------------------------------- NET INVESTMENT INCOME (LOSS) 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 (1,124,994) (2,765,515) (728,102) Affiliated issuers(1) (240,192) (3,197,292) (1,573,424) Capital gain distributions received from underlying funds Unaffiliated issuers 144,003 1,722 - Net change in unrealized appreciation (depreciation) on investments (including net unrealized appreciation (depreciation) on foreign currency related transactions) (2,404,237) (8,712,340) (3,793,970) ----------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (3,625,420) (14,673,425) (6,095,496) ----------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (2,396,166) $(12,946,819) $(6,125,772) =====================================================
- ------------------------------------------------------- (1) See Note 10 for information on affiliated issuers. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 78 ================================================================================ - --------------------------------------------------------------------------------
MONEY MARKET HIGH INCOME DIVERSIFIED LARGE CAP LARGE CAP FUND BOND FUND FUND INCOME FUND VALUE FUND GROWTH FUND =================================================================================================================== $1,522,885 $16,570,541 $ 4,933,030 $ 9,002,250 $ 47,256 $ 57,049 - - - 5,124,868 14,702,860 3,931,033 - - - - - - - - - - (8,917) (9,805) - 653,555 60,588 282,477 147,755 168,576 - ------------------------------------------------------------------------------------------------------------------- 1,522,885 17,224,096 4,993,618 14,409,595 14,888,954 4,146,853 - ------------------------------------------------------------------------------------------------------------------- 265,006 1,755,808 471,536 2,048,308 3,140,030 2,423,525 1,731 9,575 1,887 9,233 17,132 10,083 5,373 14,505 3,007 14,293 20,611 14,971 2,237 12,378 2,441 11,937 22,148 13,035 - ------------------------------------------------------------------------------------------------------------------- 274,347 1,792,266 478,871 2,083,771 3,199,921 2,461,614 - - - - - - - ------------------------------------------------------------------------------------------------------------------- 281,957 1,819,149 484,319 2,110,001 3,242,680 2,489,620 - ------------------------------------------------------------------------------------------------------------------- 1,248,538 15,431,830 4,514,747 12,325,824 11,689,033 1,685,239 - ------------------------------------------------------------------------------------------------------------------- 19,466 541,203 (5,904,039) (3,236,848) 12,549,995 (10,496,712) - - - - - - - - - - - - - (9,733,586) 216,416 (48,521,654) (175,929,256) (42,543,933) - ------------------------------------------------------------------------------------------------------------------- 19,466 (9,192,383) (5,687,623) (51,758,502) (163,379,261) (53,040,645) - ------------------------------------------------------------------------------------------------------------------- $1,268,004 $ 6,239,447 $(1,172,876) $(39,432,678) $(151,690,228) $(51,355,406) ===================================================================================================================
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 79 ================================================================================ STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2008 (UNAUDITED) - --------------------------------------------------------------------------------
MID CAP MID CAP SMALL CAP VALUE FUND GROWTH FUND VALUE FUND ======================================================================================================================== INVESTMENT INCOME: Interest $ 42,230 $ 91,048 $ 4,316 Dividends Unaffiliated issuers 3,128,066 727,315 54,900 Affiliated issuers(3) - - - Less: Foreign taxes withheld - (5,014) - Securities lending income 270,636 454,820 - --------------------------------------------------- Total investment income 3,440,932 1,268,169 59,216 --------------------------------------------------- EXPENSES: Management fees 1,422,699 1,390,926 33,513 Trustees' fees 4,322 5,243 86 Audit fees 10,349 10,902 318 Compliance expense 5,587 6,780 111 --------------------------------------------------- Total expenses 1,442,957 1,413,851 34,028 --------------------------------------------------- NET INVESTMENT INCOME (LOSS) 1,997,975 (145,682) 25,188 --------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investments (including net realized gain (loss) on foreign currency related transactions)(1) Unaffiliated issuers (5,286,642) (5,783,787) 25,202 Affiliated issuers(3) - - - Capital gain distributions received from underlying funds Unaffiliated issuers - - - Net change in unrealized (depreciation) on investments (including net unrealized (depreciation) on foreign currency related transactions)(2) (22,144,014) (20,798,361) (338,327) --------------------------------------------------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS (27,430,656) (26,582,148) (313,125) --------------------------------------------------- NET DECREASE IN NET ASSETS FROM OPERATIONS $(25,432,681) $(26,727,830) $(287,937) ===================================================
- ------------------------------------------------------- (1) Includes foreign capital gains taxes paid of $1 and $38,157 for the Global Securities and International Stock Funds, respectively. (2) Net of deferred foreign capital gains taxes of $1,187 for the International Stock Fund. (3) See Note 10 for information on affiliated issuers. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 80 ================================================================================ - --------------------------------------------------------------------------------
GLOBAL TARGET TARGET TARGET SMALL CAP SECURITIES INTERNATIONAL RETIREMENT RETIREMENT RETIREMENT GROWTH FUND FUND STOCK FUND 2020 FUND 2030 FUND 2040 FUND ============================================================================================================ $ 3,831 $ 8,001 $ 45,137 $ 68 $ 70 $ 69 28,949 1,236,089 3,485,352 16,663 7,406 4,721 - - - 16,809 11,568 614 - (81,228) (305,138) - - - - 46,980 107,545 - - - - ------------------------------------------------------------------------------------------------------------ 32,780 1,209,842 3,332,896 33,540 19,044 5,404 - ------------------------------------------------------------------------------------------------------------ 32,162 231,509 878,026 8,873 7,749 5,441 93 599 2,266 38 24 18 324 1,478 6,800 80 69 64 120 775 2,928 49 29 24 - ------------------------------------------------------------------------------------------------------------ 32,699 234,361 890,020 9,040 7,871 5,547 - ------------------------------------------------------------------------------------------------------------ 81 975,481 2,442,876 24,500 11,173 (143) - ------------------------------------------------------------------------------------------------------------ (546,471) (215,308) 3,047,352 (56,278) (26,072) (36,420) - - - (25,851) (12,916) (15,512) - - - 2,023 1,349 - (4,424) (8,767,406) (24,656,800) (190,879) (202,792) (137,928) - ------------------------------------------------------------------------------------------------------------ (550,895) (8,982,714) (21,609,448) (270,985) (240,431) (189,860) - ------------------------------------------------------------------------------------------------------------ $(550,814) $(8,007,233) $(19,166,572) $(246,485) $(229,258) $(190,003) ============================================================================================================
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 81 ================================================================================ STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
CONSERVATIVE MODERATE ALLOCATION FUND ALLOCATION FUND ================================ =============================== SIX MONTHS SIX MONTHS ENDED FOR THE ENDED FOR THE 6/30/08 YEAR ENDED 6/30/08 YEAR ENDED (unaudited) 12/31/07 (unaudited) 12/31/07 ================================================================================================================================ OPERATIONS: Net investment income (loss) $ 1,229,254 $ 1,315,944 $ 1,726,606 $ 2,980,013 Net realized gain (loss) on investments (1,221,183) 1,131,426 (5,961,085) 5,264,470 Net change in unrealized (depreciation) on investments (2,404,237) (1,628,228) (8,712,340) (4,924,759) ------------------------------------------------------------------------ Increase (decrease) in net assets from operations (2,396,166) 819,142 (12,946,819) 3,319,724 ------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income - (1,337,594) - (3,543,202) Realized gains on investments (1,067,962) (124,860) (4,983,537) (885,283) ------------------------------------------------------------------------ Change in net assets from distributions (1,067,962) (1,462,454) (4,983,537) (4,428,485) CLASS Z SHARE TRANSACTIONS: Proceeds from sale of shares 52,033,660 61,428,617 82,325,267 181,374,016 Net asset value of shares issued in reinvestment of distributions 1,067,962 1,462,454 4,983,537 4,428,485 ------------------------------------------------------------------------ 53,101,622 62,891,071 87,308,804 185,802,501 Cost of shares repurchased (6,168,020) (4,613,331) (3,091,270) (3,406,601) ------------------------------------------------------------------------ Net increase (decrease) in net assets from capital share transactions 46,933,602 58,277,740 84,217,534 182,395,900 ------------------------------------------------------------------------ 43,469,474 57,634,428 66,287,178 181,287,139 ------------------------------------------------------------------------ TOTAL INCREASE (DECREASE) IN NET ASSETS NET ASSETS: Beginning of year $ 66,747,325 $ 9,112,897 $218,280,994 $ 36,993,855 ------------------------------------------------------------------------ End of year $110,216,799 $66,747,325 $284,568,172 $218,280,994 ======================================================================== Undistributed (distribution in excess of) net investment income included in net assets $ 1,229,254 $ - $ 1,726,606 $ - ======================================================================== OTHER INFORMATION: Class Z Capital Share transactions: Shares sold 4,888,468 5,625,040 7,616,292 15,964,667 Shares issued in reinvestment of distributions 101,388 135,786 465,161 393,825 ------------------------------------------------------------------------ 4,989,856 5,760,826 8,081,453 16,358,492 Shares redeemed (575,190) (420,633) (280,501) (299,137) ------------------------------------------------------------------------ Net increase (decrease) in shares outstanding 4,414,666 5,340,193 7,800,952 16,059,355 ========================================================================
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 82 ================================================================================ - --------------------------------------------------------------------------------
AGGRESSIVE ALLOCATION FUND MONEY MARKET FUND BOND FUND =============================== =================================== ================================ SIX MONTHS SIX MONTHS SIX MONTHS ENDED FOR THE ENDED FOR THE ENDED FOR THE 6/30/08 YEAR ENDED 6/30/08 YEAR ENDED 6/30/08 YEAR ENDED (unaudited) 12/31/07 (unaudited) 12/31/07 (unaudited) 12/31/07 ===================================================================================================================== $ (30,276) $ 365,406 $ 1,248,538 $ 5,112,129 $ 15,431,830 $ 30,881,540 (2,301,526) 2,991,440 19,466 1,312 541,203 (4,743,510) (3,793,970) (996,895) - - (9,733,586) 5,540,265 - -------------------------------------------------------------------------------------------------------------------- (6,125,772) 2,359,951 1,268,004 5,113,441 6,239,447 31,678,295 - -------------------------------------------------------------------------------------------------------------------- - (747,349) (1,268,004) (5,113,441) (205,601) (26,026,147) (2,705,263) (1,054,128) - - - - - -------------------------------------------------------------------------------------------------------------------- (2,705,263) (1,801,477) (1,268,004) (5,113,441) (205,601) (26,026,147) 29,869,029 47,262,363 37,698,332 98,409,862 15,776,080 54,574,518 2,705,263 1,801,477 1,268,004 5,072,748 205,601 26,026,147 - -------------------------------------------------------------------------------------------------------------------- 32,574,292 49,063,840 38,966,336 103,482,610 15,981,681 80,600,665 (1,131,928) (3,049,096) (39,180,094) (92,612,240) (48,745,647) (99,291,968) - -------------------------------------------------------------------------------------------------------------------- 31,442,364 46,014,744 (213,758) 10,870,370 (32,763,966) (18,691,303) - -------------------------------------------------------------------------------------------------------------------- 22,611,329 46,573,218 (213,758) 10,870,370 (26,730,120) (13,039,155) - -------------------------------------------------------------------------------------------------------------------- $68,119,997 $21,546,779 $111,332,534 $100,462,164 $646,233,453 $659,272,608 - -------------------------------------------------------------------------------------------------------------------- $90,731,326 $68,119,997 $111,118,776 $111,332,534 $619,503,333 $646,233,453 ==================================================================================================================== $ (30,276) $ - $ (19,466) $ - $ 15,431,830 $ 205,601 ==================================================================================================================== 2,740,158 4,030,257 37,698,332 98,409,862 1,529,071 5,322,584 250,731 155,012 1,268,004 5,072,748 20,263 2,562,733 - -------------------------------------------------------------------------------------------------------------------- 2,990,889 4,185,269 38,966,336 103,482,610 1,549,334 7,885,317 (104,923) (258,269) (39,180,094) (92,612,240) (4,730,184) (9,682,054) - -------------------------------------------------------------------------------------------------------------------- 2,885,966 3,927,000 (213,758) 10,870,370 (3,180,850) (1,796,737) ====================================================================================================================
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 83 ================================================================================ STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
HIGH INCOME FUND DIVERSIFIED INCOME FUND ================================ ================================ SIX MONTHS SIX MONTHS ENDED FOR THE ENDED FOR THE 6/30/08 YEAR ENDED 6/30/08 YEAR ENDED (unaudited) 12/31/07 (unaudited) 12/31/07 ============================================================================================================================== OPERATIONS: Net investment income $ 4,514,747 $ 11,293,723 $ 12,325,824 $ 29,174,710 Net realized gain (loss) on investments (5,904,039) (1,916,036) (3,236,848) 14,511,757 Net change in unrealized appreciation (depreciation) on investments 216,416 (6,104,762) (48,521,654) (25,941,465) ------------------------------------------------------------------------ Increase (decrease) in net assets from operations (1,172,876) 3,272,925 (39,432,678) 17,745,002 ------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (580,666) (10,814,779) (256,183) (26,851,759) Realized gains on investments - (66,885) (534,313) (17,304,597) ------------------------------------------------------------------------ Change in net assets from distributions (580,666) (10,881,664) (790,496) (44,156,356) CLASS Z SHARE TRANSACTIONS: Proceeds from sale of shares 959,957 9,502,847 3,287,362 9,738,908 Net asset value of shares issued in reinvestment of distributions 580,666 10,881,664 790,496 44,156,356 ------------------------------------------------------------------------ 1,540,623 20,384,511 4,077,858 53,895,264 Cost of shares repurchased (13,193,138) (30,988,573) (64,621,247) (125,758,306) ------------------------------------------------------------------------ Net (decrease) in net assets from capital share transactions (11,652,515) (10,604,062) (60,543,389) (71,863,042) ------------------------------------------------------------------------ TOTAL DECREASE IN NET ASSETS (13,406,057) (18,212,801) (100,766,563) (98,274,396) ------------------------------------------------------------------------ NET ASSETS: Beginning of year $135,044,915 $153,257,716 $637,606,291 $735,880,687 ------------------------------------------------------------------------ End of year $121,638,858 $135,044,915 $536,839,728 $637,606,291 ------------------------------------------------------------------------ Undistributed net investment income included in net assets $ 4,395,880 $ 461,799 $ 12,325,824 $ 256,183 ------------------------------------------------------------------------ OTHER INFORMATION: Class Z Capital Share transactions: Shares sold 102,730 932,906 192,999 522,491 Shares issued in reinvestment of distributions 60,804 1,140,146 47,206 2,498,744 ------------------------------------------------------------------------ 163,534 2,073,052 240,205 3,021,235 Shares redeemed (1,406,845) (3,001,873) (3,770,016) (6,690,445) ------------------------------------------------------------------------ Net increase (decrease) in shares outstanding (1,243,311) (928,821) (3,529,811) (3,669,210) ========================================================================
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 84 ================================================================================ - --------------------------------------------------------------------------------
LARGE CAP VALUE FUND LARGE CAP GROWTH FUND MID CAP VALUE FUND ================================== =================================== ================================ SIX MONTHS SIX MONTHS SIX MONTHS ENDED FOR THE ENDED FOR THE ENDED FOR THE 6/30/08 YEAR ENDED 6/30/08 YEAR ENDED 6/30/08 YEAR ENDED (unaudited) 12/31/07 (unaudited) 12/31/07 (unaudited) 12/31/07 ======================================================================================================================== $ 11,689,033 $ 25,140,565 $ 1,685,239 $ 2,277,274 $ 1,997,975 $ 4,046,841 12,549,995 110,518,250 (10,496,712) 51,827,163 (5,286,642) 37,003,319 (175,929,256) (122,534,310) (42,543,933) 23,625,381 (22,144,014) (38,436,046) - ------------------------------------------------------------------------------------------------------------------------ (151,690,228) 13,124,505 (51,355,406) 77,729,818 (25,432,681) 2,614,114 - ------------------------------------------------------------------------------------------------------------------------ (238,093) (24,834,958) (32,874) (2,309,437) (325,430) (3,321,111) (840,025) (110,586,111) (1,186,434) (19,098,900) (403,215) (37,639,303) - ------------------------------------------------------------------------------------------------------------------------ (1,078,118) (135,421,069) (1,219,308) (21,408,337) (728,645) (40,960,414) 5,791,375 29,802,595 40,467,950 24,927,525 6,461,907 30,738,583 1,078,118 135,421,069 1,219,308 21,408,337 728,645 40,960,414 - ------------------------------------------------------------------------------------------------------------------------ 6,869,493 165,223,664 41,687,258 46,335,862 7,190,552 71,698,997 (150,284,901) (204,271,626) (63,561,717) (107,178,673) (29,158,477) (59,227,022) - ------------------------------------------------------------------------------------------------------------------------ (143,415,408) (39,047,962) (21,874,459) (60,842,811) (21,967,925) 12,471,975 - ------------------------------------------------------------------------------------------------------------------------ (296,183,754) (161,344,526) (74,449,173) (4,521,330) (48,129,251) (25,874,325) - ------------------------------------------------------------------------------------------------------------------------ $1,229,433,349 $1,390,777,875 $665,239,561 $669,760,891 $317,338,350 $343,212,675 - ------------------------------------------------------------------------------------------------------------------------ $ 933,249,595 $1,229,433,349 $590,790,388 $665,239,561 $269,209,099 $317,338,350 - ------------------------------------------------------------------------------------------------------------------------ $ 11,689,033 $ 238,093 $ 1,685,239 $ 32,874 $ 1,997,975 $ 325,430 ======================================================================================================================== 199,228 838,613 1,914,353 1,072,115 445,472 1,688,545 37,163 4,271,398 54,227 909,546 48,802 2,652,712 - ------------------------------------------------------------------------------------------------------------------------ 236,391 5,110,011 1,968,580 1,981,661 494,274 4,341,257 (5,103,696) (5,645,811) (2,902,191) (4,692,774) (2,033,193) (3,210,992) - ------------------------------------------------------------------------------------------------------------------------ (4,867,305) (535,800) (933,611) (2,711,113) (1,538,919) 1,130,265 ========================================================================================================================
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 85 ================================================================================ STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
MID CAP GROWTH FUND SMALL CAP VALUE FUND ================================ ================================ SIX MONTHS SIX MONTHS ENDED FOR THE ENDED 6/30/08 YEAR ENDED 6/30/08 INCEPTION (unaudited) 12/31/07 (unaudited) to 12/31/07(1) ============================================================================================================================== OPERATIONS: Net investment income (loss) $ (145,682) $ (1,590,143) $ 25,188 $ 50,654 Net realized gain (loss) on investments (5,783,787) 36,181,585 25,202 19,717 Net change in unrealized appreciation (depreciation) on investments (20,798,361) (3,421,053) (338,327) (598,263) ------------------------------------------------------------------------ Increase (decrease) in net assets from operations (26,727,830) 31,170,389 (287,937) (527,892) ------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income - - (854) (49,800) Realized gains on investments (3,840,199) (37,588,559) (1,246) (63,900) ------------------------------------------------------------------------ Change in net assets from distributions (3,840,199) (37,588,559) (2,100) (113,700) CLASS Z SHARE TRANSACTIONS: Proceeds from sale of shares 5,154,916 21,510,473 1,619,892 6,215,991 Net asset value of shares issued in reinvestment of distributions 3,840,199 37,588,559 2,100 113,700 ------------------------------------------------------------------------ 8,995,115 59,099,032 1,621,992 6,329,691 Cost of shares repurchased (25,871,997) (59,407,053) (310,334) (64,439) ------------------------------------------------------------------------ Net increase (decrease) in net assets from capital share transactions (16,876,882) (308,021) 1,311,658 6,265,252 ------------------------------------------------------------------------ TOTAL INCREASE (DECREASE) IN NET ASSETS (47,444,911) (6,726,191) 1,021,621 5,623,660 ------------------------------------------------------------------------ NET ASSETS: Beginning of year $367,318,262 $374,044,453 $5,623,660 $ - ------------------------------------------------------------------------ End of year $319,873,351 $367,318,262 $6,645,281 $5,623,660 ======================================================================== Undistributed (distribution in excess of) net investment income included in net assets $ (145,682) $ - $ 25,188 $ 854 ======================================================================== OTHER INFORMATION: Class Z Capital Share transactions: Shares sold 962,293 3,337,309 189,804 629,326 Shares issued in reinvestment of distributions 697,937 6,407,545 230 12,732 ------------------------------------------------------------------------ 1,660,230 9,744,854 190,034 642,058 Shares redeemed (4,869,150) (9,354,812) (37,934) (7,078) ------------------------------------------------------------------------ Net increase (decrease) in shares outstanding (3,208,920) 390,042 152,100 634,980 ========================================================================
- ------------------------------------------------------- (1) Fund commenced investment operations on May 1, 2007. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 86 ================================================================================ - --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND GLOBAL SECURITIES FUND INTERNATIONAL STOCK FUND ================================== =================================== ================================ SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED FOR THE ENDED FOR THE 6/30/08 INCEPTION 6/30/08 YEAR ENDED 6/30/08 YEAR ENDED (unaudited) to 12/31/07(1) (unaudited) 12/31/07 (unaudited) 12/31/07 ======================================================================================================================== $ 81 $ 7,059 $ 975,481 $ 1,226,453 $ 2,442,876 $ 2,779,371 (546,471) 4,122 (215,308) 17,804,102 3,047,352 21,911,188 (4,424) 4,311 (8,767,406) (15,689,251) (24,656,800) (4,910,846) - ------------------------------------------------------------------------------------------------------------------------ (550,814) 15,492 (8,007,233) 3,341,304 (19,166,572) 19,779,713 - ------------------------------------------------------------------------------------------------------------------------ (559) (6,500) (154,237) (1,145,322) - (3,443,415) (788) (41,100) (667,981) (17,308,430) (6,216,528) (18,191,445) - ------------------------------------------------------------------------------------------------------------------------ (1,347) (47,600) (822,218) (18,453,752) (6,216,528) (21,634,860) 1,229,658 6,065,122 803,934 5,117,282 2,525,048 22,698,217 1,347 47,600 822,218 18,453,752 6,216,528 21,634,860 - ------------------------------------------------------------------------------------------------------------------------ 1,231,005 6,112,722 1,626,152 23,571,034 8,741,576 44,333,077 (193,741) (46,718) (5,074,806) (9,644,780) (13,160,205) (44,030,376) - ------------------------------------------------------------------------------------------------------------------------ 1,037,264 6,066,004 (3,448,654) 13,926,254 (4,418,629) 302,701 - ------------------------------------------------------------------------------------------------------------------------ 485,103 6,033,896 (12,278,105) (1,186,194) (29,801,729) (1,552,446) - ------------------------------------------------------------------------------------------------------------------------ $6,033,896 $ - $56,034,069 $57,220,263 $164,151,307 $165,703,753 - ------------------------------------------------------------------------------------------------------------------------ $6,518,999 $6,033,896 $43,755,964 $56,034,069 $134,349,578 $164,151,307 ======================================================================================================================== $ 81 $ 559 $ 903,767 $ 82,523 $ 1,833,321 $ (609,555) ======================================================================================================================== 134,695 606,417 85,933 341,627 204,320 1,554,388 145 4,750 91,310 1,762,108 534,911 1,595,705 - ------------------------------------------------------------------------------------------------------------------------ 134,840 611,167 177,243 2,103,735 739,231 3,150,093 (22,046) (4,574) (537,712) (645,065) (1,068,143) (2,921,343) - ------------------------------------------------------------------------------------------------------------------------ 112,794 606,593 (360,469) 1,458,670 (328,912) 228,750 ========================================================================================================================
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 87 ================================================================================ STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
TARGET RETIREMENT 2020 FUND TARGET RETIREMENT 2030 FUND ================================ ================================ SIX MONTHS SIX MONTHS ENDED ENDED 6/30/08 INCEPTION 6/30/08 INCEPTION (unaudited) to 12/31/07(1) (unaudited) to 12/31/07(1) ============================================================================================================================== OPERATIONS: Net investment income (loss) $ 24,500 $ 22,279 $ 11,173 $ 10,338 Net realized gain (loss) on investments (80,106) 64,758 (37,639) 52,208 Net change in unrealized (depreciation) on investments (190,879) (118,264) (202,792) (90,557) ------------------------------------------------------------------------ Decrease in net assets from operations (246,485) (31,227) (229,258) (28,011) ------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (12,789) (45,500) (5,591) (31,900) Realized gains on investments (32,983) - (25,438) - ------------------------------------------------------------------------ Change in net assets from distributions (45,772) (45,500) (31,029) (31,900) CLASS Z SHARE TRANSACTIONS: Proceeds from sale of shares 5,149,631 2,607,664 5,361,383 1,554,233 Net asset value of shares issued in reinvestment of distributions 45,772 45,500 31,029 31,900 ------------------------------------------------------------------------ 5,195,403 2,653,164 5,392,412 1,586,133 Cost of shares repurchased (489,077) (52,445) (224,012) (4,744) ------------------------------------------------------------------------ Net increase in net assets from capital share transactions 4,706,326 2,600,719 5,168,400 1,581,389 ------------------------------------------------------------------------ TOTAL INCREASE IN NET ASSETS 4,414,069 2,523,992 4,908,113 1,521,478 ------------------------------------------------------------------------ NET ASSETS: Beginning of year $2,523,992 $ - $1,521,478 $ - ------------------------------------------------------------------------ End of year $6,938,061 $2,523,992 $6,429,591 $1,521,478 ======================================================================== Undistributed (distribution in excess of) net investment income included in net assets $ 24,500 $ 12,789 $ 11,173 $ 5,591 ======================================================================== OTHER INFORMATION: Class Z Capital Share transactions: Shares sold 558,664 262,957 591,259 156,630 Shares issued in reinvestment of distributions 4,940 4,697 3,396 3,329 ------------------------------------------------------------------------ 563,604 267,654 594,655 159,959 Shares redeemed (53,554) (5,491) (24,596) (499) ------------------------------------------------------------------------ Net increase in shares outstanding 510,050 262,163 570,059 159,460 ========================================================================
- ------------------------------------------------------- (1) Fund commenced investment operations on October 1, 2007. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 88 ================================================================================ - --------------------------------------------------------------------------------
TARGET RETIREMENT 2040 FUND ================================ SIX MONTHS ENDED 6/30/08 INCEPTION (unaudited) to 12/31/07(1) ================================ $ (143) $ 7,786 (51,932) 49,483 (137,928) (92,057) - -------------------------------- (190,003) (34,788) - -------------------------------- (5,485) (28,400) (24,465) - - -------------------------------- (29,950) (28,400) 3,895,049 1,240,553 29,950 28,400 - -------------------------------- 3,924,999 1,268,953 (246,371) (12,820) - -------------------------------- 3,678,628 1,256,133 - -------------------------------- 3,458,675 1,192,945 - -------------------------------- $1,192,945 $ - - -------------------------------- $4,651,620 $1,192,945 ================================ $ (143) $ 5,485 ================================ 434,895 124,175 3,322 2,980 - -------------------------------- 438,217 127,155 (27,953) (1,353) - -------------------------------- 410,264 125,802 ================================
See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 89 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING - --------------------------------------------------------------------------------
CONSERVATIVE ALLOCATION FUND ====================================================== SIX MONTHS ENDED FOR THE 6/30/08 YEAR ENDED INCEPTION (unaudited) 12/31/07 to 12/31/06(1) ============================================================================================================================== NET ASSET VALUE at beginning of period $ 10.77 $ 10.60 $ 10.00 ------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.14 0.45 0.23 Net realized and unrealized gain (loss) on investments (0.43) (0.03) 0.51 ------------------------------------------------------ Total from investment operations (0.29) 0.42 0.74 ------------------------------------------------------ LESS DISTRIBUTIONS: Distributions from net investment income - (0.23) (0.14) Distributions from capital gains (0.10) (0.02) - ------------------------------------------------------ Total distributions (0.10) (0.25) (0.14) ------------------------------------------------------ Net increase (decrease) in net asset value (0.39) 0.17 0.60 ------------------------------------------------------ NET ASSET VALUE at end of period $ 10.38 $ 10.77 $ 10.60 ====================================================== TOTAL RETURN(3) (2.60)%(5) 3.92% 7.34%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $110,217 $ 66,747 $ 9,113 Ratio of expenses to average net assets Before management fee reduction 0.31%(6) 0.31% 0.34%(6) After management fee reduction 0.25%(6) 0.21% 0.24%(6) Ratio of net investment income to average net assets 2.70%(6) 4.12% 4.25%(6) Portfolio Turnover 43%(5) 28% 24%(5) MODERATE ALLOCATION FUND ====================================================== SIX MONTHS ENDED FOR THE 6/30/08 YEAR ENDED INCEPTION (unaudited) 12/31/07 to 12/31/06(1) ============================================================================================================================== NET ASSET VALUE at beginning of period $ 11.21 $ 10.86 $ 10.00 ------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.07 0.28 0.20 Net realized and unrealized gain (loss) on investments (0.65) 0.32 0.79 ------------------------------------------------------ Total from investment operations (0.58) 0.60 0.99 ------------------------------------------------------ LESS DISTRIBUTIONS: Distributions from net investment income - (0.19) (0.13) Distributions from capital gains (0.19) (0.06) (0.00)(4) ------------------------------------------------------ Total distributions (0.19) (0.25) (0.13) ------------------------------------------------------ Net increase (decrease) in net asset value (0.77) 0.35 0.86 ------------------------------------------------------ NET ASSET VALUE at end of period $ 10.44 $ 11.21 $ 10.86 ====================================================== TOTAL RETURN(3) (5.26)%(5) 5.56% 9.87%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $284,568 $218,281 $36,994 Ratio of expenses to average net assets Before management fee reduction 0.31%(6) 0.31% 0.34%(6) After management fee reduction 0.25%(6) 0.21% 0.24%(6) Ratio of net investment income to average net assets 1.39%(6) 2.45% 3.74%(6) Portfolio Turnover 35%(5) 29% 23%(5)
- ------------------------------------------------------- (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) Amount represents less than $0.005 per share. (5) Not annualized. (6) Annualized. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 90 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING - --------------------------------------------------------------------------------
AGGRESSIVE ALLOCATION FUND ====================================================== SIX MONTHS ENDED FOR THE 6/30/08 YEAR ENDED INCEPTION (unaudited) 12/31/07 to 12/31/06(1) ============================================================================================================================== NET ASSET VALUE at beginning of period $ 11.61 $ 11.10 $ 10.00 ------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) (0.00)(4) 0.09 0.15 Net realized and unrealized gain (loss) on investments (0.91) 0.77 1.10 ------------------------------------------------------ Total from investment operations (0.91) 0.86 1.25 ------------------------------------------------------ LESS DISTRIBUTIONS: Distributions from net investment income - (0.14) (0.15) Distributions from capital gains (0.33) (0.21) - ------------------------------------------------------ Total distributions (0.33) (0.35) (0.15) ------------------------------------------------------ Net increase (decrease) in net asset value (1.24) 0.51 1.10 ------------------------------------------------------ NET ASSET VALUE at end of period $ 10.37 $ 11.61 $ 11.10 ====================================================== TOTAL RETURN(3) (8.00)%(5) 7.69% 12.49%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 90,731 $ 68,120 $ 21,547 Ratio of expenses to average net assets Before management fee reduction 0.31%(6) 0.31% 0.33%(6) After management fee reduction 0.25%(6) 0.21% 0.23%(6) Ratio of net investment income to average net assets (0.08)%(6) 0.79% 2.71%(6) Portfolio Turnover 28%(5) 46% 21%(5) MONEY MARKET FUND ======================================================================= SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/08 ------------------------------------------------------- (unaudited) 2007 2006 2005 2004 2003 ============================================================================================================================== 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) 0.01 0.05 0.04 0.03 0.01 0.01 Net realized and unrealized gain on investments 0.00(4) 0.00(4) 0.00(4) - 0.00(4) 0.00(4) ----------------------------------------------------------------------- Total from investment operations 0.01 0.05 0.04 0.03 0.01 0.01 ----------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.01) (0.05) (0.04) (0.03) (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) 1.10%(5) 4.71% 4.54% 2.78% 0.92% 0.75% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $111,119 $111,333 $100,462 $94,637 $129,004 $141,376 Ratio of expenses to average net assets 0.47%(6) 0.46% 0.46% 0.46% 0.45% 0.45% Ratio of net investment income to average net assets 2.12%(6) 4.58% 4.42% 2.73% 0.90% 0.75%
- ------------------------------------------------------- (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) Amount represents less than $0.005 per share. (5) Not annualized. (6) Annualized. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 91 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING - --------------------------------------------------------------------------------
BOND FUND ----------------------------------------------------------------------------- SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/08 ------------------------------------------------------------- (unaudited) 2007 2006 2005 2004 2003 - ------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE at beginning of period $ 10.19 $ 10.11 $ 10.17 $ 10.34 $ 10.43 $ 10.59 ----------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(1) 0.25 0.49 0.47 0.42 0.42 0.46 Net realized and unrealized gain (loss) on investments (0.16) 0.02 (0.06) (0.16) (0.07) (0.14) ----------------------------------------------------------------------------- Total from investment operations 0.09 0.51 0.41 0.26 0.35 0.32 ----------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.00)(3) (0.43) (0.47) (0.43) (0.44) (0.48) ----------------------------------------------------------------------------- Net increase (decrease) in net asset value 0.09 0.08 (0.06) (0.17) (0.09) (0.16) ----------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 10.28 $ 10.19 $ 10.11 $ 10.17 $ 10.34 $ 10.43 ----------------------------------------------------------------------------- TOTAL RETURN(2) 0.96%(4) 5.05% 4.01% 2.51% 3.36% 3.05% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $619,503 $646,233 $659,273 $623,976 $574,156 $552,311 Ratio of expenses to average net assets 0.56%(5) 0.56% 0.56% 0.56% 0.55% 0.55% Ratio of net investment income to average net assets 4.84%(5) 4.81% 4.54% 4.06% 4.02% 4.29% Portfolio Turnover 5%(4) 29% 27% 51% 67% 82% HIGH INCOME FUND ----------------------------------------------------------------------------- SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/08 ------------------------------------------------------------- (unaudited) 2007 2006 2005 2004 2003 - ------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE at beginning of period $ 9.54 $ 10.16 $ 10.01 $ 10.40 $ 10.16 $ 9.04 ----------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(1) 0.34 0.76 0.74 0.68 0.74 0.72 Net realized and unrealized gain (loss) on investments (0.42) (0.53) 0.16 (0.42) 0.16 0.93 ----------------------------------------------------------------------------- Total from investment operations (0.08) 0.23 0.90 0.26 0.90 1.65 ----------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.04) (0.85) (0.74) (0.65) (0.66) (0.53) Distributions from capital gains - (0.00)(3) (0.01) - - - ----------------------------------------------------------------------------- Total distributions (0.04) (0.85) (0.75) (0.65) (0.66) (0.53) ----------------------------------------------------------------------------- Net increase (decrease) in net asset value (0.12) (0.62) 0.15 (0.39) 0.24 1.12 ----------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 9.42 $ 9.54 $ 10.16 $ 10.01 $ 10.40 $ 10.16 ----------------------------------------------------------------------------- TOTAL RETURN(2) (0.79)%(4) 2.29% 9.03% 2.51% 8.92% 18.46% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $121,639 $135,045 $153,528 $134,032 $118,318 $88,240 Ratio of expenses to average net assets 0.76%(5) 0.76% 0.77% 0.76% 0.76% 0.75% Ratio of net investment income to average net assets 7.19%(5) 7.27% 7.12% 6.47% 7.08% 7.29% Portfolio Turnover 31%(4) 73% 64% 86%(6) 58% 45%
- ------------------------------------------------------- (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) Subadviser change February 28, 2005. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 92 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING - --------------------------------------------------------------------------------
DIVERSIFIED INCOME FUND ------------------------------------------------------------------------------- SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/08 --------------------------------------------------------------- (unaudited) 2007 2006 2005 2004 2003 - --------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE at beginning of period $ 17.62 $ 18.46 $ 19.40 $ 19.11 $ 18.04 $ 15.85 ------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(1) 0.36 0.79 0.49 0.42 0.43 0.45 Net realized and unrealized gain (loss) on investments (1.52) (0.32) 1.45 0.32 1.08 2.18 ------------------------------------------------------------------------------- Total from investment operations (1.16) 0.47 1.94 0.74 1.51 2.63 ------------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.01) (0.80) (0.55) (0.45) (0.44) (0.44) Distributions from capital gains (0.01) (0.51) (2.33) - - - ------------------------------------------------------------------------------- Total distributions (0.02) (1.31) (2.88) (0.45) (0.44) (0.44) ------------------------------------------------------------------------------- Net increase (decrease) in net asset value (1.18) (0.84) (0.94) 0.29 1.07 2.19 ------------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 16.44 $ 17.62 $ 18.46 $ 19.40 $ 19.11 $ 18.04 =============================================================================== TOTAL RETURN(2) (6.57)%(3) 32.51% 9.98%(5) 53.89% 8.34% 16.82% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $536,840 $637,606 $735,881 $785,301 $785,856 $712,180 Ratio of expenses to average net assets 0.71%(4) 0.71% 0.71% 0.71% 0.70% 0.70% Ratio of net investment income to average net assets 4.22%(4) 4.21% 2.52% 2.18% 2.34% 2.66% Portfolio Turnover 8%(3) 41% 62% 52% 38% 39% LARGE CAP VALUE FUND ---------------------------------------------------------------------------- SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/08 ------------------------------------------------------------ (unaudited) 2007 2006 2005 2004 2003 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE at beginning of period $ 31.49 $ 35.14 $ 31.62 $ 30.47 $ 27.52 $ 22.20 ---------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income1 0.33 0.68 0.65 0.54 0.46 0.40 Net realized and unrealized gain (loss) on investments (4.49) (0.45) 5.87 1.16 2.95 5.31 ---------------------------------------------------------------------------- Total from investment operations (4.16) 0.23 6.52 1.70 3.41 5.71 ---------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.01) (0.71) (0.67) (0.55) (0.46) (0.39) Distributions from capital gains (0.02) (3.17) (2.33) - - - ---------------------------------------------------------------------------- Total distributions (0.03) (3.88) (3.00) (0.55) (0.46) (0.39) ---------------------------------------------------------------------------- Net increase (decrease) in net asset value (4.19) (3.65) 3.52 1.15 2.95 5.32 ---------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 27.30 $ 31.49 $ 35.14 $ 31.62 $ 30.47 $ 27.52 ---------------------------------------------------------------------------- TOTAL RETURN(2) (13.19)% 30.60% 20.55% 5.58% 12.43% 25.89% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $933,250 $1,229,433 $1,390,778 $1,239,868 $1,205,082 $1,065,972 Ratio of expenses to average net assets 0.61%(4) 0.61% 0.61% 0.61% 0.60% 0.60% Ratio of net investment income to average net assets 2.24%(4) 1.87% 1.91% 1.74% 1.67% 1.69% Portfolio Turnover 22%(3) 45% 35% 28% 15% 17%
- ------------------------------------------------------- (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) 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%. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 93 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING - --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND ---------------------------------------------------------------------------- SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/08 ------------------------------------------------------------ (unaudited) 2007 2006 2005 2004 2003 - ------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE at beginning of period $ 23.36 $ 21.47 $ 19.97 $ 19.68 $ 18.19 $ 14.15 ---------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(1) 0.06 0.08 0.07 0.17 0.15 0.07 Net realized and unrealized gain (loss) on investments (1.94) 2.59 1.51 0.30 1.48 4.05 ---------------------------------------------------------------------------- Total from investment operations (1.88) 2.67 1.58 0.47 1.63 4.12 ---------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.00)(3) (0.09) (0.08) (0.18) (0.14) (0.08) Distributions from capital gains (0.04) (0.69) - - - - ---------------------------------------------------------------------------- Total distributions (0.04) (0.78) (0.08) (0.18) (0.14) (0.08) ---------------------------------------------------------------------------- Net increase (decrease) in net asset value (1.92) 1.89 1.50 0.29 1.49 4.04 ---------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 21.44 $ 23.36 $ 21.47 $ 19.97 $ 19.68 $ 18.19 ---------------------------------------------------------------------------- TOTAL RETURN(2) (8.00)%(4) 12.36% 7.88% 2.42% 8.94% 29.13% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $590,790 $665,240 $669,761 $688,812 $693,762 $617,603 Ratio of expenses to average net assets 0.81%(5) 0.81% 0.81% 0.81% 0.80% 0.80% Ratio of net investment income to average net assets 0.56%(5) 0.34% 0.35% 0.86% 0.82% 0.47% Portfolio Turnover 72%(4) 76% 87% 73% 26% 29% MID CAP VALUE FUND ---------------------------------------------------------------------------- SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/08 ------------------------------------------------------------ (unaudited) 2007 2006 2005 2004 2003 - ------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE at beginning of period $ 15.34 $ 17.54 $ 17.30 $ 16.58 $ 14.66 $ 11.22 ---------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(1) 0.10 0.21 0.20 0.11 0.18 0.07 Net realized and unrealized gain (loss) on investments (1.34) (0.15) 2.74 1.61 2.14 3.43 ---------------------------------------------------------------------------- Total from investment operations (1.24) 0.06 2.94 1.72 2.32 3.50 ---------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.02) (0.18) (0.20) (0.11) (0.15) (0.06) Distributions from capital gains (0.02) (2.08) (2.50) (0.89) (0.25) - ---------------------------------------------------------------------------- Total distributions (0.04) (2.26) (2.70) (1.00) (0.40) (0.06) ---------------------------------------------------------------------------- Net increase (decrease) in net asset value (1.28) (2.20) 0.24 0.72 1.92 3.44 ---------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 14.06 $ 15.34 $ 17.54 $ 17.30 $ 16.58 $ 14.66 ---------------------------------------------------------------------------- TOTAL RETURN(2) (8.11)%(4) 0.25% 16.96% 10.32% 15.86% 31.21% ---------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $269,209 $317,338 $343,213 $275,279 $218,060 $158,698 Ratio of expenses to average net assets 1.02%(5) 1.01% 1.01% 1.01% 1.00% 1.00% Ratio of net investment income to average net assets 1.41%(5) 1.16% 1.12% 0.62% 1.20% 0.57% Portfolio Turnover 50%(4) 68% 95% 29% 25% 22%
- ------------------------------------------------------- (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. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 94 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING - --------------------------------------------------------------------------------
MID CAP GROWTH FUND ========================================================================== SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/08 ---------------------------------------------------------- (unaudited) 2007 2006 2005 2004 2003 ============================================================================================================================= NET ASSET VALUE at beginning of period $ 5.75 $ 5.89 $ 6.74 $ 6.80 $ 6.20 $ 4.67 -------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) (0.00)(4) (0.03) (0.02) (0.01) 0.00(4) (0.01) Net realized and unrealized gain (loss) on investments (0.42) 0.53 0.78 0.59 0.81 1.57 -------------------------------------------------------------------------- Total from investment operations (0.42) 0.50 0.76 0.58 0.81 1.56 -------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income - - - - (0.00)(4) (0.00)(4) Distributions from capital gains (0.06) (0.64) (1.61) (0.64) (0.21) (0.03) -------------------------------------------------------------------------- Total distributions (0.06) (0.64) (1.61) (0.64) (0.21) (0.03) -------------------------------------------------------------------------- Net increase (decrease) in net asset value (0.48) (0.14) (0.85) (0.06) 0.60 1.53 -------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 5.27 $ 5.75 $ 5.89 $ 6.74 $ 6.80 $ 6.20 ========================================================================== TOTAL RETURN(3) (7.21)%(5) 8.44% 11.38% 8.75% 13.41% 33.41% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $319,873 $367,318 $374,044 $373,921 $336,673 $268,929 Ratio of expenses to average net assets 0.86%(6) 0.86% 0.86% 0.86% 0.85% 0.85% Ratio of net investment income to average net assets (0.09)%(6) (0.41)% (0.22)% (0.13)% 0.04% (0.19)% Portfolio Turnover 53%(5) 104% 204% 88% 77% 118% SMALL CAP VALUE FUND ========================== SIX MONTHS ENDED 6/30/08 INCEPTION (unaudited) to 12/31/07(1) =================================================================================== NET ASSET VALUE at beginning of period $ 8.86 $10.00 --------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.04 0.09 Net realized and unrealized loss on investments (0.46) (1.05) --------------------------- Total from investment operations (0.42) (0.96) --------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.00)(4) (0.08) Distributions from capital gains (0.00)(4) (0.10) --------------------------- Total distributions (0.00) (0.18) --------------------------- Net decrease in net asset value (0.42) (1.14) --------------------------- NET ASSET VALUE at end of period $ 8.44 $ 8.86 =========================== TOTAL RETURN(3) (4.64)%(5) (9.62)%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $6,645 $5,624 Ratio of expenses to average net assets 1.12%(6) 1.04%(6) Ratio of net investment income to average net assets 0.83%(6) 1.45%(6) Portfolio Turnover 16%(5) 13%(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. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 95 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING - --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND =========================== SIX MONTHS ENDED 6/30/08 INCEPTION (unaudited) to 12/31/07(1) =================================================================================== NET ASSET VALUE at beginning of period $ 9.95 $ 10.00 --------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.00(4) 0.01 Net realized and unrealized gain (loss) on investments (0.89) 0.02 --------------------------- Total from investment operations (0.89) 0.03 --------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.00)(4) (0.01) Distributions from capital gains (0.00)(4) (0.07) --------------------------- Total distributions (0.00) (0.08) --------------------------- Net decrease in net asset value (0.89) (0.05) --------------------------- NET ASSET VALUE at end of period $ 9.06 $ 9.95 =========================== TOTAL RETURN(3) (8.88)%(5) 0.26%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 6,519 $ 6,034 Ratio of expenses to average net assets 1.12%(6) 1.03%(6) Ratio of net investment income to average net assets 0.00%(6,7) 0.19%(6) Portfolio Turnover 52%(5) 75%(5) GLOBAL SECURITIES FUND ========================================================================== SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/08 ---------------------------------------------------------- (unaudited) 2007 2006 2005 2004 2003 ================================================================================================================================== NET ASSET VALUE at beginning of period $ 10.30 $ 14.36 $ 12.87 $ 11.49 $ 9.72 $ 6.94 -------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.19 0.31 0.14 0.09 0.06 0.05 Net realized and unrealized gain (loss) on investments (1.72) 0.57 2.07 1.52 1.73 2.80 -------------------------------------------------------------------------- Total from investment operations (1.53) 0.88 2.21 1.61 1.79 2.85 -------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.03) (0.31) (0.16) (0.09) (0.02) (0.07) Distributions from capital gains (0.13) (4.63) (0.56) (0.14) - - -------------------------------------------------------------------------- Total distributions (0.16) (4.94) (0.72) (0.23) (0.02) (0.07) -------------------------------------------------------------------------- Net increase (decrease) in net asset value (1.69) (4.06) 1.49 1.38 1.77 2.78 -------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 8.61 $ 10.30 $ 14.36 $ 12.87 $ 11.49 $ 9.72 ========================================================================== TOTAL RETURN(3) (14.77)%(5) 5.77% 17.38% 13.97% 18.42% 41.24% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $43,756 $56,034 $57,220 $42,450 $29,979 $18,091 Ratio of expenses to average net assets 0.96%(6) 0.96% 0.97% 0.97% 0.96% 0.96% Ratio of net investment income to average net assets 4.01%(6) 2.06% 1.01% 0.80% 0.60% 0.66% Portfolio Turnover 8%(5) 112%(8) 21% 27% 18% 35%
- ------------------------------------------------------- (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. (7) Amount represents less than 0.05%. (8) Subadviser change May 1, 2007. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 96 ================================================================================ Financial Highlights for a Share of Beneficial Interest Outstanding - --------------------------------------------------------------------------------
INTERNATIONAL STOCK FUND ========================================================================== SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, 6/30/08 ---------------------------------------------------------- (unaudited) 2007 2006 2005 2004 2003 ================================================================================================================================== NET ASSET VALUE at beginning of period $ 13.40 $ 13.78 $ 12.38 $ 11.36 $ 9.54 $ 7.19 -------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.21 0.23 0.19 0.17 0.12 0.11 Net realized and unrealized gain (loss) on investments (1.80) 1.36 2.78 1.71 1.84 2.30 -------------------------------------------------------------------------- Total from investment operations (1.59) 1.59 2.97 1.88 1.96 2.41 -------------------------------------------------------------------------- LESS DISTRIBUTIONS: Distributions from net investment income - (0.32) (0.20) (0.15) (0.14) (0.05) Distributions from capital gains (0.54) (1.65) (1.37) (0.71) - - -------------------------------------------------------------------------- Return of Capital - - - - - (0.01) -------------------------------------------------------------------------- Total distributions (0.54) (1.97) (1.57) (0.86) (0.14) (0.06) -------------------------------------------------------------------------- Net increase (decrease) in net asset value (2.13) (0.38) 1.40 1.02 1.82 2.35 -------------------------------------------------------------------------- NET ASSET VALUE at end of period $ 11.27 $ 13.40 $ 13.78 $ 12.38 $ 11.36 $ 9.54 ========================================================================== TOTAL RETURN(3) (11.87)%(4) 11.42% 24.19% 16.53% 20.48% 33.61% RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $134,350 $164,151 $165,704 $108,482 $78,477 $56,606 Ratio of expenses to average net assets 1.22%(5) 1.21% 1.22% 1.21% 1.21% 1.21% Ratio of net investment income to average net assets 3.34%(5) 1.60% 1.48% 1.47% 1.16% 1.38% Portfolio Turnover 19%(4) 62% 62% 52% 46% 33% TARGET RETIREMENT 2020 FUND =========================== SIX MONTHS ENDED 6/30/08 INCEPTION (unaudited) to 12/31/07(1) =================================================================================== NET ASSET VALUE at beginning of period $ 9.63 $ 10.00 --------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.05 0.13 Net realized and unrealized loss on investments (0.63) (0.32) --------------------------- Total from investment operations (0.58) (0.19) --------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.02) (0.18) Distributions from capital gains (0.05) - --------------------------- Total distributions (0.07) (0.18) --------------------------- Net decrease in net asset value (0.65) (0.37) --------------------------- NET ASSET VALUE at end of period $ 8.98 $ 9.63 =========================== TOTAL RETURN(3) (6.02)%(4) (1.94)%(4) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $ 6,938 $ 2,524 Ratio of expenses to average net assets 0.41%(5) 0.43%(5) Ratio of net investment income to average net assets 1.10%(5) 5.17%(5) Portfolio Turnover 13%(4) 3%(4)
- ------------------------------------------------------- (1) Commenced investment operations October 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. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 97 ================================================================================ FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING - --------------------------------------------------------------------------------
TARGET RETIREMENT 2030 FUND =========================== SIX MONTHS ENDED 6/30/08 INCEPTION (unaudited) to 12/31/07(1) =================================================================================== NET ASSET VALUE at beginning of period $ 9.54 $10.00 --------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) 0.03 0.09 Net realized and unrealized loss on investments (0.71) (0.34) --------------------------- Total from investment operations (0.68) (0.25) --------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.01) (0.21) Distributions from capital gains (0.04) - --------------------------- Total distributions (0.05) (0.21) --------------------------- Net decrease in net asset value (0.73) (0.46) --------------------------- NET ASSET VALUE at end of period $ 8.81 $ 9.54 =========================== TOTAL RETURN(3) (7.15)%(5) (2.51)%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $6,430 $1,521 Ratio of expenses to average net assets 0.40%(6) 0.44%(6) Ratio of net investment income to average net assets 0.57%(6) 3.53%(6) Portfolio Turnover 8%(5) 1%(5) TARGET RETIREMENT 2040 FUND =========================== SIX MONTHS ENDED 6/30/08 INCEPTION (unaudited) to 12/31/07(1) =================================================================================== NET ASSET VALUE at beginning of period $ 9.48 $10.00 --------------------------- INCOME FROM INVESTMENT OPERATIONS: Net investment income(2) (0.00)(4) 0.07 Net realized and unrealized loss on investments (0.74) (0.36) --------------------------- Total from investment operations (0.74) (0.29) --------------------------- LESS DISTRIBUTIONS: Distributions from net investment income (0.01) (0.23) Distributions from capital gains (0.05) - --------------------------- Total distributions (0.06) (0.23) --------------------------- Net decrease in net asset value (0.80) (0.52) --------------------------- NET ASSET VALUE at end of period $ 8.68 $ 9.48 =========================== TOTAL RETURN(3) (7.87)%(5) (2.86)%(5) RATIOS/SUPPLEMENTAL DATA: Net Assets at end of period (in 000's) $4,652 $1,193 Ratio of expenses to average net assets 0.40%(6) 0.44%(6) Ratio of net investment income to average net assets (0.01)%(6) 2.76%(6) Portfolio Turnover 11%(5) 1%(5)
- ------------------------------------------------------- (1) Commenced investment operations October 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. See accompanying Notes to Financial Statements. - -------------------------------------------------------------------------------- 98 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - -------------------------------------------------------------------------------- 1. DESCRIPTION OF THE FUND The Ultra Series Fund (the "Trust"), a Massachusetts Business Trust, is registered under the Investment Company Act of 1940 (the "1940 Act"), as amended, as a diversified, open-end management investment company. The Trust is a series fund with 18 investment portfolios (the "funds"), each with different investment objectives and policies. The funds currently available are the Money Market Fund, Bond Fund, High Income Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Value Fund, Mid Cap Growth Fund, Small Cap Value Fund, Small Cap Growth Fund, Global Securities Fund, and International Stock Fund (collectively, the "Core Funds"), the Conservative Allocation Fund, Moderate Allocation Fund and Aggressive Allocation Fund (collectively, the "Target Allocation Funds"), and the Target Retirement 2020 Fund, Target Retirement 2030 Fund, and Target Retirement 2040 Fund (collectively, the "Target Date Funds"). The Declaration of Trust permits the Board of Trustees to issue an unlimited number of full and fractional shares of the Trust without par value. 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 Insurance Society and to qualified pension and retirement plans of CUNA Mutual Insurance Society or its affiliates ("CUNA Mutual Group"). The Trust may, in the future, offer other share classes to separate accounts of insurance companies and to qualified pension and retirement plans that are not affiliated with CUNA Mutual Group. The Trust does not offer shares directly to the general public. The Trust has entered into a Management Agreement with MEMBERS Capital Advisors, Inc. (the "Investment Adviser" or "MCA"). The Investment Adviser, in turn, has entered into subadvisory agreements with certain subadvisers ("Subadvisers") for the management of the investments of the High Income, Mid Cap Growth, Small Cap Value, Small Cap Growth, Global Securities, and International Stock Funds and a portion of the Mid Cap Value Fund. 2. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in conformity with U.S. generally accepted accounting principles ("GAAP") in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reported period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by each fund in the preparation of its financial statements. PORTFOLIO VALUATION: Securities and other investments are valued as follows: Equity securities and exchange-traded funds ("ETFs") listed on any U.S. or foreign stock exchange or quoted on the National Association of Securities Dealers Automated Quotation System ("NASDAQ") are valued at the last quoted sale price or official closing price on that exchange or NASDAQ on the valuation day (provided that, for securities traded on NASDAQ, the funds utilize the NASDAQ Official Closing Price). If no sale occurs, (a) equities traded on a U.S. exchange or on NASDAQ are valued at the mean between the closing bid and closing asked prices and (b) equity securities traded on a foreign exchange are valued at the official bid price. Debt securities purchased with a remaining maturity of 61 days or more are valued by a pricing service selected by the Trust or on the basis of dealer-supplied quotations. Investments in shares of open-ended mutual funds, including money market funds, are valued at their daily net asset value ("NAV") which is calculated as of 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 Target Allocation and each Target Date Fund consist primarily of shares of underlying funds, the NAV of each fund is determined based on the NAV's of the underlying funds. Total net assets are determined by adding the total current value of portfolio securities, cash, receivables, and other assets and subtracting liabilities. Short-term instruments having maturities of 60 days or less and all securities in the Money Market Fund are valued on an amortized cost basis, which approximates market value. Over-the-counter securities not quoted 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. Overnight repurchase agreements are valued at cost, and term repurchase agreements (i.e, those whose maturity exceeds seven days), swaps, caps, collars and floors are valued at the average of the closing bids obtained daily from at least one dealer. Financial futures contracts generally are valued at the settlement price established by the exchange(s) on which the contracts are primarily traded. The Trust's 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. Spot and forward foreign currency exchange contracts are valued based on quotations supplied by dealers in such contracts. - -------------------------------------------------------------------------------- 99 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - -------------------------------------------------------------------------------- Exchange traded options are valued at the last sale price on the exchange where such option contract is principally traded. The value of all assets and liabilities denominated in foreign currencies will be converted into U.S. dollar values using the then current exchange rate. The value of all assets and liabilities expressed in foreign currencies will be converted into U.S. dollar values using the then-current exchange rate. All other securities for which either quotations are not readily available, no other sales have occurred, or in the Investment Adviser's opinion, do not reflect the current market value, are appraised at their fair values as determined in good faith by the Committee and under the general supervision of the Board of Trustees. When fair value pricing of securities is employed, the prices of securities used by the funds to calculate NAV may differ from market quotations or official closing prices. Because the Target Allocation and Target Date Funds primarily invest in underlying funds, government securities and short-term paper, it is not anticipated that the Investment Adviser will need to "fair" value any of the investments of these funds. However, an underlying fund may need to "fair" value one or more of its investments, which may, in turn, require a Target Allocation or Target Date Fund to do the same because of delays in obtaining the underlying Fund's NAV. A fund's investments (or underlying fund) will be valued at fair value if in the judgment of the Committee an event impacting the value of an investment occurred between the closing time of a security's primary market or exchange (for example, a foreign exchange or market) and the time the fund's share price is calculated 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: fundamental analytical data relating to the investment; the nature and duration of any restrictions on the disposition of the investment; and the forces influencing the market(s) in which the investment is purchased or sold. The Committee may rely on an independent fair valuation service to adjust the valuations of foreign equity securities based on specific market-movement parameters established by the Committee and approved by the Trust. SECURITY TRANSACTIONS AND INVESTMENT INCOME: Security transactions are accounted for on a trade date basis. Net realized gains or losses on sales are determined by the identified cost method. Interest income is recorded on an accrual basis. Dividend income is recorded on ex-dividend date. Amortization and accretion are recorded on the effective yield method. FEDERAL INCOME TAXES: It is each fund's policy to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986 applicable to regulated investment companies and to distribute substantially all its taxable income to its shareholders. Accordingly, no provisions for federal income taxes are recorded in the accompanying financial statements. In July 2006, the Financial Accounting Standards Board ("FASB") issued Interpretation No. 48, "Accounting for Uncertainty in Income Taxes--an Interpretation of FASB Statement No. 109" ("FIN 48"). FIN 48 addresses the accounting for uncertainty in income taxes and establishes for all entities, including pass-through entities, such as the funds, a minimum threshold for financial statement recognition of the benefit of positions taken in filing tax returns (including whether an entity is taxable in a particular jurisdiction), and requires certain expanded tax disclosures. As required, the funds adopted FIN 48 effective June 29, 2007 for all open tax years and have determined that no material uncertain tax positions exist. As a result, the funds have not recorded any liabilities for material unrecognized tax benefits as of June 30, 2008. It is the funds' policy to recognize accrued interest and penalties related to uncertain tax benefits in income taxes, as appropriate. Tax years that remain open to examination by major tax jurisdictions include 2004 through 2007. 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, 2008, none of the funds had open repurchase agreements. The Trust has established a procedure providing that the securities serving as collateral for each repurchase agreement must be delivered to the Trust's custodian either physically or in book-entry form and that the collateral must be marked to market daily to ensure that the repurchase agreement is fully collateralized at all times. In the event of bankruptcy or other - -------------------------------------------------------------------------------- 100 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - -------------------------------------------------------------------------------- default by a seller of a repurchase agreement, a fund could experience one of the following: delays in liquidating the underlying securities during the period in which the fund seeks to enforce its rights thereto, possible subnormal levels of income, declines in value of the underlying securities, or lack of access to income during this period and the expense of enforcing its rights. FOREIGN CURRENCY TRANSACTIONS: The books and records are maintained in U.S. dollars. Foreign currency denominated transactions (i.e., market value of investment securities, assets and liabilities, purchases and sales of investment securities, and income and expenses) are translated into U.S. dollars at the current rate of exchange. Each fund, except the Money Market Fund, reports certain foreign currency-related transactions as components of realized gains or losses for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes. The Money Market Fund can only invest in U.S. dollar-denominated foreign money market securities. The funds do not isolate the portion of gains and losses on investments in securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of securities. Such amounts are categorized as gain or loss on investments for financial reporting purposes. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS: Each fund, except the Money Market Fund, may purchase and sell forward foreign currency exchange contracts for defensive or hedging purposes. When entering into forward foreign currency exchange contracts, the funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily. The funds' net assets reflect unrealized gains or losses on the contracts as measured by the difference between the forward foreign currency exchange rates at the dates of entry into the contracts and the forward rates at the reporting date. The funds realize a gain or a loss at the time the forward foreign currency exchange contracts are settled or closed out with an offsetting contract. Realized and unrealized gains and losses are included in the Statements of Operations. As of June 30, 2008, 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 other liquid assets in a segregated account with the fund's custodian in an amount equal to the value of the fund's total assets committed to the consummation of the forward contract. If the value of the securities in the segregated account declines, additional cash or securities will be placed in the segregated account so that the value of the account will equal the amount of the fund's commitment with respect to the contract. FUTURES CONTRACTS: Each fund, except the Money Market Fund, may purchase and sell futures contracts and purchase and write options on futures contracts. The funds will engage in futures contracts or related options transactions to hedge certain market positions. Upon entering into a futures contract, the fund is required to pledge to the broker an amount of cash, U.S. Government securities or other assets, equal to a certain percentage of the contract (initial margin deposit). Subsequent payments, known as "variation margin," are made or received by the fund each day, depending on the daily fluctuations in the fair value of the futures contract. When a fund enters into a futures contract, the fund segregates cash or other liquid securities, of any type or maturity, equal in value to the fund's commitment. The fund recognizes a gain or loss equal to the daily change in the value of the futures contracts. Should market conditions move unexpectedly, the fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. As of June 30, 2008, none of the funds have open futures contracts. DELAYED DELIVERY SECURITIES: Each fund may purchase securities on a when-issued or delayed delivery basis. "When-issued" refers to securities whose terms are available and for which a market exists, but that have not been issued. For when-issued or delayed delivery transactions, no payment is made until delivery date, which is typically longer than the normal course of settlement, and often a month or more after the purchase. When a fund enters into an agreement to purchase securities on a when-issued or delayed delivery basis, the fund segregates cash or other liquid securities, of any type or maturity, equal in value to the fund's commitment. Losses may arise due to changes in the market value of the underlying securities, if the counterparty does not perform under the contract, or if the issuer does not issue the securities due to political, economic or other factors. As of June 30, 2008, the High Income Fund had 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. - -------------------------------------------------------------------------------- 101 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - -------------------------------------------------------------------------------- FAIR VALUE MEASUREMENTS: Each fund adopted the Financial Accounting Standards Board ("FASB") Statement of Financial Accounting Standards No. 157, Fair Value Measurements (`'FAS 157"), effective January 1, 2008. In accordance with FAS 157, fair value is defined as the price that each fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. FAS 157 has established a three-tier hierarchy to maximize the use of observable market data "inputs" and minimize the use of unobservable "inputs" and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk (for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique). Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below: o Level 1 - quoted prices in active markets for identical investments o Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) o Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) The valuation techniques used by the funds to measure fair value for the period ended June 30, 2008 maximized the use of observable inputs and minimized the use of unobservable inputs. The funds utilized the following fair value techniques: multi-dimensional relational pricing model and option adjusted spread pricing; the funds estimated the price that would have prevailed in a liquid market for an international equity security given information available at the time of evaluation. As of June 30, 2008, none of the funds held securities deemed as a Level 3. The following is a summary of the inputs used as of June 30, 2008 in valuing the funds' investments carried at market value:
ACTIVE MARKETS FOR SIGNIFICANT OTHER SIGNIFICANT IDENTICAL INVESTMENTS OBSERVABLE INPUTS UNOBSERVABLE INPUTS MARKET VALUE FUND (LEVEL 1) (LEVEL 2) (LEVEL 3) AT 06/30/2008 - ----- --------- --------- --------- ------------- Conservative Allocation $109,099,545 $ 1,149,515 $- $110,249,060 Moderate Allocation 281,892,225 2,760,869 - 284,653,094 Aggressive Allocation 89,920,612 838,683 - 90,759,295 Money Market - 111,533,849 - 111,533,849 Bond 192,883,386 421,940,530 - 614,823,916 High Income - 119,757,119 - 119,757,119 Diversified Income 284,354,808 249,730,000 - 534,084,808 Large Cap Value 919,329,374 1,564,813 - 920,894,187 Large Cap Growth 587,207,525 8,099,446 - 595,306,971 Mid Cap Value 260,140,298 12,580,290 - 272,720,588 Mid Cap Growth 316,451,980 4,317,390 - 320,769,370 Small Cap Value 6,394,311 402,658 - 6,796,969 Small Cap Growth 6,055,589 467,563 - 6,523,152 Global Securities 20,948,252(1) 26,756,444 - 47,704,696 International Stock 7,141,202 125,336,465 - 132,477,667 Target Retirement 2020 6,875,773 64,585 - 6,940,358 Target Retirement 2030 6,371,027 60,667 - 6,431,694 Target Retirement 2040 4,608,974 43,538 - 4,652,512
- ---------------------------------------------- (1) Global Securities (Level 1) market value includes forward foreign currency contracts. NEW ACCOUNTING PRONOUNCEMENTS: In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, "Disclosures about Derivative Instruments and Hedging Activities" ("FAS 161"). FAS 161 is effective for fiscal years and - -------------------------------------------------------------------------------- 102 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - -------------------------------------------------------------------------------- interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about funds' derivative and hedging activities. Management is currently evaluating the impact the adoption of FAS 161 will have on funds' financial statement disclosures. 3. ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS The Trust has entered into a Management Agreement with MEMBERS Capital Advisors, Inc., an affiliated company, whereby MCA provides or has arranged to provide directly or through third parties, investment advisory, custody, transfer agency, dividend disbursing, legal, accounting, and administrative services to the funds. MCA has entered into subadvisory agreements with certain Subadvisers for the management of the investments of the High Income Fund, Mid Cap Growth Fund, Small Cap Value, Small Cap Growth, 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, 1.10% for the Small Cap Value and Small Cap Growth Funds, .95% for the Global Securities Fund, 1.20% for the International Stock Fund, .30% for each of the Target Allocation Funds, and .40% for each of the Target Date Funds. MCA contractually agreed to reduce the management fee of the Target Allocation Funds from .30% to .20% until April 30, 2008. That contractual agreement was terminated effective May 1, 2008. 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 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, Target Allocation Funds and the Target Date Funds. In addition to the management fee, the Trust 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 Trust an annual fee paid quarterly, with additional remuneration paid to the Board of Trustees' chairman and audit committee chair. All fund 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 Trust has entered into an agreement with CUNA Mutual Insurance Society setting forth the terms and conditions pursuant to which the Accounts purchase and redeem shares of the funds. Investments in the Trust by the Accounts are made through either variable annuity or variable life insurance contracts. Net purchase payments under the variable contracts are placed in one or more sub-accounts of the Accounts, and the assets of each sub-account are invested (without sales or redemption charges) in shares of the fund corresponding to that sub-account. Shares are purchased and redeemed at a price equal to the shares' net asset value. The assets of each fund are held separate from the assets of the other funds. 4. DIVIDENDS FROM NET INVESTMENT INCOME AND DISTRIBUTIONS OF CAPITAL GAINS 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, Small Cap Value, Small Cap Growth, Mid Cap Value Fund, Mid Cap Growth Fund, Global Securities Fund, International Stock Fund, Target Allocation Funds, and Target Date Funds declare and reinvest dividends from net investment income annually in additional full and fractional shares of the respective funds. The funds distribute net realized gains from investment transactions, if any, to shareholders annually. - -------------------------------------------------------------------------------- 103 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - -------------------------------------------------------------------------------- Income and capital gain distributions, if any, are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. Taxable distributions from income and realized capital gains of the funds may differ from book amounts earned during the period due to differences in the timing of capital gains recognition, and due to the reclassification of certain gains or losses from capital to income. 5. SECURITIES TRANSACTIONS For the six months ended June 30, 2008, 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 $ - $ - $84,663,345 $38,934,513 Moderate Allocation - - 167,118,434 88,090,942 Aggressive Allocation - - 50,955,391 22,293,401 Bond 22,195,115 39,065,372 10,430,644 17,335,093 High Income - - 36,156,289 40,784,654 Diversified Income 2,586,186 21,132,514 41,425,551 69,698,328 Large Cap Value - - 229,337,452 362,792,841 Large Cap Growth - - 438,931,737 460,408,981 Mid Cap Value - - 141,043,035 162,961,199 Mid Cap Growth - - 172,613,995 192,698,991 Small Cap Value - - 2,234,014 974,777 Small Cap Growth - - 4,046,992 2,960,301 Global Securities - - 3,741,374 6,355,430 International Stock - - 27,411,439 35,074,797 Target Retirement 2020 - - 5,264,362 612,752 Target Retirement 2030 - - 5,427,897 299,525 Target Retirement 2040 - - 3,954,336 316,657
6. FOREIGN SECURITIES Each fund may invest in foreign securities; provided, however, that the Money Market Fund is limited to U.S. dollar-denominated foreign money market securities. Foreign securities refer to securities that are: (1) issued by companies organized outside the U.S. or whose principal operations are outside the U.S., (2) issued by foreign governments or their agencies or instrumentalities, (3) principally traded outside the U.S., or (4) quoted or denominated in a foreign currency. Foreign securities include American Depositary Receipts ("ADRs"), European Depositary Receipts ("EDRs"), Global Depositary Receipts ("GDRs"), Swedish Depositary Receipts ("SDRs") and foreign money market securities. Dollar-denominated securities that are part of the Merrill Lynch U.S. Domestic Master Index are not considered a foreign security. Certain funds have reclaim receivable balances, in which the funds are due a reclaim on the taxes that have been paid to some foreign jurisdictions. The values of all reclaims are not significant for any of the funds and are reflected in Other Assets on the Statement of Assets and Liabilities. On a periodic basis, these receivables are reviewed to ensure the current receivable balance is reflective of the amount deemed to be collectible. 7. SECURITIES LENDING Each fund, except the Money Market, Small Cap Value, Small Cap Growth, Target Allocation, and Target Date Funds, entered into a Securities Lending Agreement (the "Agreement") with State Street Bank and Trust Company ("State Street"). Under the terms of the Agreement, the funds may lend portfolio securities to qualified borrowers in order to earn additional income. The Agreement requires that loans are collateralized at all times by cash or other liquid assets at least equal to 102% of the value of the securities, which is determined on a daily basis. At June 30, 2008, 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, Global Securities, and International Stock Funds received non-cash collateral, which they are not permitted to sell or repledge, in the amounts of $7,158,438, $1,777,659, $561,975, $4,789,374, $6,346,194, $1,147,766, $69,144 and $106, 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. - -------------------------------------------------------------------------------- 104 ================================================================================ 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, 2008 is as follows:
FUND VALUE OF SECURITIES ON LOAN FUND VALUE OF SECURITIES ON LOAN - ---- --------------------------- ---- ---------------------------- Bond $119,131,102 Mid Cap Value $65,986,567 High Income 19,452,891 Mid Cap Growth 84,771,701 Diversified Income 65,667,951 Global Securities 6,231,525 Large Cap Value 41,534,377 International 10,139,991 Large Cap Growth 50,363,711
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, 2007, which are available to offset future capital gains, if any:
CARRYOVER EXPIRING IN: ---------------------- FUND 2008 2009 2010 2011 2012 2013 2014 2015 - ---- ---------- -------- ---------- -------- ---------- ---------- -------- -------- Bond $7,577,224 $- $1,857,702 $104,606 $1,560,242 $1,445,891 $816,322 $228,563 High Income - - - - - - - 640,978
The Large Cap Growth Fund utilized $31,762,903 of prior capital loss carryovers during the year ended December 31, 2007. After October 31, 2007, the following funds had capital and currency losses in the following amounts:
FUND POST-OCTOBER CAPITAL LOSS POST-OCTOBER CURRENCY LOSSES - ---- ------------------------- ---------------------------- High Income $1,285,386 $ - Small Cap Value 42,851 - Small Cap Growth 32,653 - International Stock - 57,738
For federal income tax purposes, these amounts are deferred and deemed to have occurred in the next fiscal year. At June 30, 2008, 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 $ - $ (4,197,037) $ (4,197,037) Moderate Allocation 1,570,384 (15,303,477) (13,733,093) Aggressive Allocation 831,128 (5,607,615) (4,776,487) Bond 10,056,034 (16,746,692) (6,690,658) High Income 385,882 (4,369,525) (3,983,643) Diversified Income 22,058,078 (38,539,293) (16,481,215) Large Cap Value 172,745,534 (114,671,452) 58,074,082 Large Cap Growth 73,624,589 (23,406,078) 50,218,511 Mid Cap Value 24,515,539 (30,093,504) (5,577,965) Mid Cap Growth 29,473,334 (44,474,248) (15,000,914) Small Cap Value 426,677 (1,369,553) (942,876) Small Cap Growth 743,098 (787,881) (44,783) Global Securities 1,593,148 (11,451,637) (9,858,489) International Stock 15,002,947 (10,492,504) 4,510,443 Target Retirement 2020 11,899 (407,536) (395,637) Target Retirement 2030 16,420 (349,142) (332,722) Target Retirement 2040 10,899 (293,897) (282,998)
The differences between cost amounts for book purposes and tax purposes are primarily due to the tax deferral of losses. - -------------------------------------------------------------------------------- 105 ================================================================================ 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, other than that reflected in the Statements of Assets and Liabilities. Risks associated with these instruments include potential for an illiquid secondary market for the instruments or inability of counterparties to perform under the terms of the contracts, changes in the value of foreign currency relative to the U.S. dollar and financial statement volatility resulting from an imperfect correlation between the movements in the prices of the instruments and the prices of the underlying securities and interest rates being hedged. The High Income Fund, Mid Cap Growth Fund, International Stock Fund, and the Global Securities Fund enter into these contracts primarily to protect these funds from adverse currency movements. Investing in foreign securities involves certain risks not necessarily found in U.S. markets. These include risks associated with adverse changes in economic, political, regulatory and other conditions, changes in currency exchange rates, exchange control regulations, expropriation of assets or nationalization, imposition of withholding taxes on dividend or interest payments or capital gains, and possible difficulty in obtaining and enforcing judgments against foreign entities. Further, issuers of foreign securities are subject to different, and often less comprehensive, accounting, reporting and disclosure requirements than domestic issuers. The High Income Fund invests in securities offering high current income which generally will include bonds in the below investment grade categories of recognized ratings agencies (so-called "junk bonds"). These securities generally involve more credit risk than securities in the higher rating categories. In addition, the trading market for high yield securities may be relatively less liquid than the market for higher-rated securities. The fund generally invests at least 80% of its assets in high yield securities. The Target Allocation Funds and Target Date Funds are fund of funds, meaning that they invest primarily in the shares of other registered investment companies (the "underlying funds"), including ETFs. Thus, each fund's investment performance and its ability to achieve its investment goal are directly related to the performance of the underlying funds in which it invests; and the underlying fund's performance, in turn, depends on the particular securities in which that underlying fund invests and the expenses of that fund. Accordingly, these funds are subject to the risks of the underlying funds in direct proportion to the allocation of their respective assets among the underlying funds. Additionally, the Target Allocation Funds and Target Date Funds are subject to asset allocation risk and manager risk. Manager risk (i.e., fund selection risk) is the risk that the fund(s) selected to fulfill a particular asset class under performs their peer. Asset allocation risk is the risk that the allocation of the fund's assets among the various asset classes and market segments will cause the fund to under perform other funds with a similar investment objective. 10. AFFILIATED COMPANY TRANSACTIONS The Target Allocation Funds and Target Date Funds invest in underlying funds, of which certain underlying funds (the "affiliated underlying funds"), may be deemed to be under common control because of the same Board of Trustees. A summary of the transactions with each affiliated underlying fund during the six months ended June 30, 2008 follows:
BALANCE OF BALANCE OF SHARES SHARES HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS FUND/UNDERLYING FUND 12/31/2007 ADDITIONS SALES 06/30/2008 06/30/2008 GAIN (LOSS) RECEIVED (2) - -------------------- ---------- --------- ----- ----------- ------------ ----------- -------------- CONSERVATIVE ALLOCATION FUND MEMBERS BOND FUND CLASS Y 783,968 877,877 72,176 1,589,669 $ 15,515,165 $ (647) $265,407 MEMBERS High Income Fund Class Y 442,983 1,285,167 72,084 1,656,066 11,277,808 (45,316) 347,661 MEMBERS International Stock Fund Class Y 232,656 681,915 38,610 875,961 10,739,284 (111,894) - MEMBERS Large Cap Growth Fund Class Y(1) 429,426 632,394 43,840 1,017,980 15,687,077 7,766 - MEMBERS Large Cap Value Fund Class Y 356,568 360,674 31,192 686,050 9,309,694 (75,714) - MEMBERS Mid Cap Growth Fund Class Y 332,237 405,023 29,924 707,336 4,562,319 (14,387) - - ---------------------------------------------------------------------------------------------------------------------------- TOTALS $67,091,347 $ (240,192) $613,068
- ------------------------ (1) Non-income producing. (2) Distributions received includes distributions from net investment income and from capital gains from the underlying funds. - -------------------------------------------------------------------------------- 106 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - --------------------------------------------------------------------------------
BALANCE OF BALANCE OF SHARES SHARES HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS FUND/UNDERLYING FUND 12/31/2007 ADDITIONS SALES 06/30/2008 06/30/2008 GAIN (LOSS) RECEIVED (2) - -------------------- ---------- --------- ----- ----------- ------------ -------------- -------------- MODERATE ALLOCATION FUND MEMBERS Bond Fund Class Y 2,289,768 867,841 244,936 2,912,673 $ 28,427,688 $ 26,166 $ 531,024 MEMBERS High Income Fund Class Y 2,074,418 672,134 620,157 2,126,395 14,480,749 (309,805) 458,354 MEMBERS International Stock Fund Class Y 980,110 2,176,832 7,525 3,149,417 38,611,852 (17,820) - MEMBERS Large Cap Growth Fund Class Y(1) 1,451,664 1,165,524 7,210 2,609,978 40,219,759 4,891 - MEMBERS Large Cap Value Fund Class Y 1,128,103 295,733 441,414 982,422 13,331,466 (886,719) - MEMBERS Mid Cap Growth Fund Class Y 2,378,051 772,908 425,383 2,725,576 17,579,967 87,122 - MEMBERS Mid Cap Value Fund Class Y 803,589 41,777 845,366 - - (2,051,835) - MEMBERS Small Cap Growth Fund Class Y 952,968 345,764 83,035 1,215,697 11,500,490 (38,343) - MEMBERS Small Cap Value Fund Class Y 799,549 39,628 9,283 829,894 7,419,248 (10,949) - - ------------------------------------------------------------------------------------------------------------------------------- TOTALS $171,571,219 $(3,197,292) $989,378 BALANCE OF BALANCE OF SHARES SHARES HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS FUND/UNDERLYING FUND 12/31/2007 ADDITIONS SALES 06/30/2008 06/30/2008 GAIN (LOSS) RECEIVED (2) - -------------------- ---------- --------- ----- ----------- ------------ -------------- -------------- AGGRESSIVE ALLOCATION FUND MEMBERS International Stock Fund Class Y 604,290 471,342 4,917 1,070,715 $13,126,965 $ (12,419) $- MEMBERS Large Cap Growth Fund Class Y(1) 579,685 370,030 4,384 945,331 14,567,555 993 - MEMBERS Large Cap Value Fund Class Y 395,801 115,895 186,356 325,340 4,414,858 (337,636) - MEMBERS Mid Cap Growth Fund Class Y 1,035,046 460,726 58,696 1,437,076 9,269,139 (13,701) - MEMBERS Mid Cap Value Fund Class Y 467,396 43,567 510,963 - - (1,185,526) - MEMBERS Small Cap Growth Fund Class Y 480,388 218,071 24,495 673,964 6,375,701 (15,206) - MEMBERS Small Cap Value Fund Class Y 510,214 45,784 8,474 547,524 4,894,861 (9,929) - - ------------------------------------------------------------------------------------------------------------------------------- TOTALS $52,649,079 $(1,573,424) $-
- ------------------------------------- (1)Non-income producing. (2)Distributions received includes distributions from net investment income and from capital gains from the underlying funds. - -------------------------------------------------------------------------------- 107 ================================================================================ NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - --------------------------------------------------------------------------------
BALANCE OF BALANCE OF SHARES SHARES HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS FUND/UNDERLYING FUND 12/31/2007 ADDITIONS SALES 06/30/2008 06/30/2008 LOSS RECEIVED (2) - -------------------- ---------- --------- ----- ----------- ------------ -------------- -------------- TARGET RETIREMENT 2020 FUND MEMBERS High Income Fund Class Y 32,366 69,354 7,499 94,221 $ 641,646 $ (3,081) $16,809 MEMBERS Large Cap Growth Fund Class Y(1) 15,046 42,673 3,800 53,919 830,893 (6,736) - MEMBERS Large Cap Value Fund Class Y 15,694 28,219 5,462 38,451 521,774 (12,406) - MEMBERS Mid Cap Growth Fund Class Y 14,090 32,874 3,089 43,875 282,996 (3,628) - - ------------------------------------------------------------------------------------------------------------------------------- TOTALS $2,277,309 $(25,851) $16,809 BALANCE OF BALANCE OF SHARES SHARES HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS FUND/UNDERLYING FUND 12/31/2007 ADDITIONS SALES 06/30/2008 06/30/2008 LOSS RECEIVED (2) - -------------------- ---------- --------- ----- ----------- ------------ -------------- -------------- TARGET RETIREMENT 2030 FUND MEMBERS High Income Fund Class Y 15,275 55,833 3,010 68,098 $ 463,744 $ (1,079) $11,569 MEMBERS Large Cap Growth Fund Class Y(1) 9,106 42,813 1,711 50,208 773,705 (2,487) - MEMBERS Large Cap Value Fund Class Y 9,430 29,313 2,962 35,781 485,553 (6,346) - MEMBERS Mid Cap Growth Fund Class Y 10,604 42,107 1,730 50,981 328,830 (1,780) - MEMBERS Small Cap Growth Fund Class Y 4,281 17,194 709 20,766 196,447 (1,224) - - ------------------------------------------------------------------------------------------------------------------------------- TOTALS $2,248,279 $(12,916) $11,569 BALANCE OF BALANCE OF SHARES SHARES HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS FUND/UNDERLYING FUND 12/31/2007 ADDITIONS SALES 06/30/2008 06/30/2008 LOSS RECEIVED (2) - -------------------- ---------- --------- ----- ----------- ------------ -------------- -------------- TARGET RETIREMENT 2040 FUND MEMBERS High Income Fund Class Y 6,898 23,153 1,859 28,192 $ 191,989 $ (715) $4,721 MEMBERS Large Cap Growth Fund Class Y(1) 7,192 31,064 1,916 36,340 559,992 (3,282) - MEMBERS Large Cap Value Fund Class Y 7,364 21,315 2,730 25,949 352,129 (6,123) - MEMBERS Mid Cap Growth Fund Class Y 11,590 42,770 2,743 51,617 332,931 (3,370) - MEMBERS Small Cap Growth Fund Class Y 4,454 16,645 1,058 20,041 189,589 (2,022) - - ------------------------------------------------------------------------------------------------------------------------------- TOTALS $1,626,630 $(515,512) $4,721
- ------------------------------------- (1) Non-income producing. (2) Distributions received includes distributions from net investment income and from capital gains from the underlying funds. - -------------------------------------------------------------------------------- 108 ================================================================================ 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 entire six month period ended June 30, 2008. Expenses paid during the period in the tables below are equal to each fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 to reflect the one-half-year period. 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 0.25% $ 974.00 $1.23 $1,023.62 $1.26 Moderate Allocation 1,000 0.25% 947.40 1.21 1,023.62 1.26 Aggressive Allocation 1,000 0.25% 920.00 1.19 1,023.62 1.26 Money Market 1,000 0.47% 1,011.00 2.35 1,022.53 2.36 Bond 1,000 0.56% 1,009.60 2.80 1,022.08 2.82 High Income 1,000 0.76% 992.10 3.76 1,021.08 3.82 Diversified Income 1,000 0.71% 934.30 3.41 1,021.33 3.57 Large Cap Value 1,000 0.61% 868.10 2.83 1,021.83 3.07 Large Cap Growth 1,000 0.81% 920.00 3.87 1,020.84 4.07 Mid Cap Value 1,000 1.02% 918.90 4.87 1,019.79 5.12 Mid Cap Growth 1,000 0.86% 927.90 4.12 1,020.59 4.32 Small Cap Value 1,000 1.12% 953.60 5.44 1,019.29 5.62 Small Cap Growth 1,000 1.12% 911.20 5.32 1,019.29 5.62 Global Securities 1,000 0.96% 852.30 4.42 1,020.09 4.82 International Stock 1,000 1.22% 881.30 5.71 1,018.80 6.12 Target Retirement 2020 1,000 0.41% 939.80 1.98 1,022.82 2.06 Target Retirement 2020 1,000 0.40% 928.50 1.92 1,022.87 2.01 Target Retirement 2020 1,000 0.41% 921.30 1.96 1,022.82 2.06
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 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. - -------------------------------------------------------------------------------- 109 ================================================================================ OTHER INFORMATION (UNAUDITED) - -------------------------------------------------------------------------------- AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available to shareholders at no cost on the SEC's website at www.sec.gov. Form N-Q may also be reviewed and copied at the 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 Trust to vote proxies related to portfolio securities is available to shareholders at no cost on the SEC's website at www.sec.gov or by calling CUNA Mutual Insurance Society at 1-800-798-5500. The proxy voting records for the Trust for the most recent twelve-month period ended June 30 are available to shareholders at no cost on the SEC's website at www.sec.gov. - -------------------------------------------------------------------------------- 110 ================================================================================ TRUSTEES AND OFFICERS - -------------------------------------------------------------------------------- Each trustee and officer oversees 32 portfolios in the fund complex, which consists of the Ultra Series Fund with 18 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 website at www.sec.gov or by calling CUNA Mutual Insurance Society at 1-800-798-5500.
NAME; POSITION(S) HELD WITH THE FUND & PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS; YEAR ELECTED(1); YEAR OF BIRTH OTHER OUTSIDE DIRECTORSHIPS ================================================================================================================================= INDEPENDENT TRUSTEES ================================================================================================================================= Rolf F. Bjelland, CLU Lutheran Brotherhood Mutual Funds: Chairman and President (1983-2002); Chairman (2006) Lutheran Brotherhood (now Thrivent Financial): Chief Investment Officer Trustee (2003) (1983-2002). 1938 Other Directorships: Regis Corp. (since 1982). - --------------------------------------------------------------------------------------------------------------------------------- Linda S. Foltz, CPA Dougherty Consulting, LLC: President/Owner (since 2005); Direct Supply, Inc.: Trustee (2006) Executive Vice President of Corporate Development and Chief Financial Officer 1950 (1988-2005). Other Directorships: Direct Supply, Inc. (since 2003). - --------------------------------------------------------------------------------------------------------------------------------- Steven P. Riege The Rgroup: Owner/President (since 2001); Robert W. Baird & Company: Senior Trustee (2005) Vice President Marketing and Vice President Human Resources (1986-2001). 1954 Other Directorships: None - --------------------------------------------------------------------------------------------------------------------------------- Richard E. Struthers Clearwater Capital Management: Chairman and Chief Executive Officer Trustee (2004) (since 1998); Park Nicollet Health Services: Director (since 2001) and 1952 Chairman, Finance and Investment Committee (since 2006); IAI Mutual Funds: President and Director (1992-1997). Other Directorships: Park Nicollet Health Services (since 2001) and Micro Component Technology, Inc. (since 2008). ================================================================================================================================= INTERESTED TRUSTEES AND OFFICERS ================================================================================================================================= David P. Marks, CFA CUNA Mutual Insurance Society: Chief Investment Officer (since 2005); MEMBERS Trustee, President & Capital Advisors, Inc.: President (since 2005); CUNA Mutual Life Insurance Principal Executive Officer (2006) Company: Chief Investment Officer (2005-2007); Citigroup Insurance Investors: 1947 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 (since 2005). - --------------------------------------------------------------------------------------------------------------------------------- Scott R. Powell, CFA MEMBERS Capital Advisors, Inc: Managing Director-Common Stock and Vice President (2008) MAP (since 2008); Managing Director-Managed Accounts and Mutual 1962 Funds (2006-2008); Virchow Krause Wealth Management, LLC: Partner, Managing Director, (2003-2006); Jacobus Wealth Management, Inc.: (2001-2003). - --------------------------------------------------------------------------------------------------------------------------------- Molly Nelson MEMBERS Capital Advisors, Inc.: Vice President and Chief Compliance Officer Chief Compliance Officer (2005) (since 2005); Harris Associates L.P.: Chief Compliance Officer/Advisor 1962 (1985-2005). - --------------------------------------------------------------------------------------------------------------------------------- Holly S. Baggot MEMBERS Capital Advisors, Inc.: Director, Mutual Funds (since July 2008); Secretary (1999) and Treasurer (2008) Director, Mutual Fund Operations, (2006-2008), Operations Officer-Mutual Funds Assistant Treasurer (1999-2007) (2005-2006), and Senior Manager-Product and Fund Operations (2001-2005). 1960 - --------------------------------------------------------------------------------------------------------------------------------- Dan P. Owens MEMBERS Capital Advisors, Inc.: Director, Investment Operations, (since June Assistant Treasurer (2000) 2006), Investment Operations Officer (2005-2006), and Senior Manager-Portfolio 1966 Operations (2001-2005). - ---------------------------------------------------------------------------------------------------------------------------------
(1) The board of trustees adopted term limits authorizing each independent trustee to serve in such capacity until reaching the age of 75. - -------------------------------------------------------------------------------- 111 ================================================================================ - -------------------------------------------------------------------------------- This page is left blank intentionally - -------------------------------------------------------------------------------- 112 ================================================================================ - -------------------------------------------------------------------------------- This page is left blank intentionally - -------------------------------------------------------------------------------- 113 ================================================================================ - -------------------------------------------------------------------------------- This page is left blank intentionally - -------------------------------------------------------------------------------- 114 [LOGO OF CUNA MUTUAL GROUP](R) CUNA MUTUAL GROUP --------------------- - -------------------------------------------------- Presorted Standard U.S. POSTAGE CUNA Mutual Insurance Society PAID 2000 Heritage Way Louisville, KY Waverly, IA 50677 Permit No. 1051 -------------------- Form 1950-0808 3 ITEM 2. CODE OF ETHICS. Not applicable for semi-annual reports. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable for semi-annual reports. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable for semi-annual reports. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS Not applicable. ITEM 6. SCHEDULE OF INVESTMENTS Schedule I - Investments in Securities of Unaffiliated Issuers as of June 30, 2008 is included as part of the report to shareholders filed under Item 1 hereto. 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 Registrant have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) 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. 4 (b) There have been no changes to the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) Not applicable for semi-annual reports. (a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002, are filed herewith. (a)(3) Not applicable. (b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, are furnished herewith. 5 SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. ULTRA SERIES FUND BY: /s/David P. Marks ------------------ David P. Marks President DATE: 08/20/08 -------- 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 Fund DATE: 08/20/08 -------- BY: /s/Holly S. Baggot ------------------- Holly S. Baggot Treasurer, Ultra Series Fund DATE: 08/20/08 -------- 6 EXHIBIT INDEX 12(a)(1) Not applicable for semi-annual reports. 12(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002, are filed herewith. 12(a)(3) Not applicable. 12(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, are furnished herewith. EX-12 2 e65504_ex12a1.txt EXHIBIT 12(a)(2)(i) I, David P. Marks, certify that: 1. I have reviewed this report on Form N-CSR of Ultra Series Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: 08/20/08 /s/David P. Marks -------- ------------------ David P. Marks President, Ultra Series Fund EX-12 3 e65504_ex12a2.txt EXHIBIT 12(a)(2)(ii) I, Holly S. Baggot, certify that: 1. I have reviewed this report on Form N-CSR of Ultra Series Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: 08/20/08 /s/Holly S. Baggot -------- ------------------ Holly S. Baggot Treasurer, Ultra Series Fund EX-12 4 e65504_ex12b.txt EXHIBIT 12(b) FORM OF SECTION 906 CERTIFICATION David P. Marks, President, and Holly S. Baggot, Treasurer, of Ultra Series Fund (the "Registrant"), to the best of their knowledge, each certify that: 1. The Registrant's periodic report on Form N-CSR for the period ended June 30, 2008 (the "Form N-CSR") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. PRESIDENT TREASURER /s/David P. Marks /s/Holly S. Baggot - -------------------------------- ------------------------------- David P. Marks Holly S. Baggot Date: 08/20/08 Date: 08/20/08 ---------------------------- --------------------------- This statement accompanies this report and shall not be deemed filed by the Registrant for purposes of the Securities Exchange Act of 1934. -----END PRIVACY-ENHANCED MESSAGE-----