0001209286-17-000532.txt : 20170901 0001209286-17-000532.hdr.sgml : 20170901 20170901105620 ACCESSION NUMBER: 0001209286-17-000532 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 14 CONFORMED PERIOD OF REPORT: 20170630 FILED AS OF DATE: 20170901 DATE AS OF CHANGE: 20170901 EFFECTIVENESS DATE: 20170901 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: 171065233 BUSINESS ADDRESS: STREET 1: 550 SCIENCE DRIVE CITY: MADISON STATE: WI ZIP: 53711 BUSINESS PHONE: 6082740300 MAIL ADDRESS: STREET 1: 550 SCIENCE DRIVE CITY: MADISON STATE: WI ZIP: 53711 0000732697 S000019110 Madison Target Retirement 2020 Fund C000052853 Madison Target Retirement 2020 Fund Class I 0000732697 S000019111 Madison Target Retirement 2030 Fund C000052854 Madison Target Retirement 2030 Fund Class I 0000732697 S000019112 Madison Target Retirement 2040 Fund C000052855 Madison Target Retirement 2040 Fund Class I 0000732697 S000019977 International Stock Fund C000056035 International Stock Fund Class I C000074782 International Stock Fund Class II 0000732697 S000019978 Core Bond Fund C000056036 Core Bond Fund Class I C000074783 Core Bond Fund Class II 0000732697 S000019979 High Income Fund C000056037 High Income Fund Class I C000074784 High Income Fund Class II 0000732697 S000019980 Diversified Income Fund C000056038 Diversified Income Fund Class I C000074785 Diversified Income Fund Class II 0000732697 S000019981 Large Cap Value Fund C000056039 Large Cap Value Fund Class I C000074786 Large Cap Value Fund Class II 0000732697 S000019982 Large Cap Growth Fund C000056040 Large Cap Growth Fund Class I C000074787 Large Cap Growth Fund Class II 0000732697 S000019983 Mid Cap Fund C000056041 Mid Cap Fund Class I C000074788 Mid Cap Fund Class II 0000732697 S000019999 Conservative Allocation Fund C000056077 Conservative Allocation Fund Class I C000074791 Conservative Allocation Fund Class II 0000732697 S000020000 Aggressive Allocation Fund C000056078 Aggressive Allocation Fund Class I C000074792 Aggressive Allocation Fund Class II 0000732697 S000020001 Moderate Allocation Fund C000056079 Moderate Allocation Fund Class I C000074793 Moderate Allocation Fund Class II 0000732697 S000030254 Madison Target Retirement 2050 Fund C000093111 Madison Target Retirement 2050 Fund Class I N-CSRS 1 e133130.htm

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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-CSRS

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-4815

Ultra Series Fund
(Exact name of registrant as specified in charter)

550 Science Drive, Madison, WI 53711
(Address of principal executive offices)(Zip code)

Kevin S. Thompson
Chief Legal Officer
550 Science Drive
Madison, WI 53711
(Name and address of agent for service)

Registrant’s telephone number, including area code: 608-274-0300

Date of fiscal year end: December 31

Date of reporting period: June 30, 2017

Form N-CSRS is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSRS in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSRS, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSRS unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.


Item 1.   Certified Financial

Semi-annual Report  
June 30, 2017  
















    ULTRA SERIES FUND
   
    Conservative Allocation Fund
   
    Moderate Allocation Fund
   
    Aggressive Allocation Fund
   
    Core Bond Fund
   
    High Income Fund
   
    Diversified Income Fund
   
    Large Cap Value Fund
   
    Large Cap Growth Fund
   
    Mid Cap Fund
   
    International Stock Fund

Ultra Series Fund | June 30, 2017

 
 Table of Contents
    Page
Economic Overview and Market Outlook   2
Review of Period    

Allocation Funds Summary

  3

Conservative Allocation Fund

  3

Moderate Allocation Fund

  3

Aggressive Allocation Fund

  4

Core Bond Fund

  4

High Income Fund

  4

Diversified Income Fund

  5

Large Cap Value Fund

  5

Large Cap Growth Fund

  6

Mid Cap Fund

  6

International Stock Fund

  7

Benchmark Descriptions

  8
Portfolios of Investments    

Conservative Allocation Fund

  10

Moderate Allocation Fund

  11

Aggressive Allocation Fund

  12

Core Bond Fund

  13

High Income Fund

  17

Diversified Income Fund

  19

Large Cap Value Fund

  23

Large Cap Growth Fund

  24

Mid Cap Fund

  25

International Stock Fund

  26
Financial Statements    

Statements of Assets and Liabilities

  28

Statements of Operations

  30

Statements of Changes in Net Assets

  32

Financial Highlights

  36
Notes to Financial Statements   46
Other Information   59

Nondeposit investment products are not federally insured, involve investment risk, may lose value and are not obligations of or guaranteed by any financial institution. For more complete information about Ultra Series Fund, including charges and expenses, request a prospectus from your financial advisor or from CMFG Life Insurance Company, 2000 Heritage Way, Waverly, IA 50677.

Consider the investment objectives, risks, and charges and expenses of any fund carefully before investing. The prospectus contains this and other information about the investment company. For more current Ultra Series Fund performance information, please call 1-800-670-3600. Current performance may be lower or higher than the performance data quoted within. Past performance does not guarantee future results. Nothing in this report represents a recommendation of a security by the investment adviser. Portfolio holdings may have changed since the date of this report.


1

Ultra Series Fund | June 30, 2017

Economic Overview and Market Outlook

The six-month period end marked the tenth anniversary of the beginning of the Financial Crisis, which ended with risk assets advancing to record levels. The S&P 500® returned 9.34%, the Russell Midcap® returned 7.99% and the MSCI EAFE® advanced 13.81% during the six-month period. Although the Federal Reserve (Fed) again voted to raise short-term interest rates, bond indices advanced as longer-term interest rates fell, and coupled with interest income, produced strong returns. The BofA Merrill Lynch U.S. High Yield Constrained Index advanced 4.90% and the Bloomberg Barclays Aggregate Index gained 2.27% for the six-month period.

June 2007 marked the beginning of events that led to what is now known as the Great Recession, an event that triggered great economic chaos and led to unprecedented central bank intervention. The collapse of two Bear Stearns hedge funds (exposed to sub-prime credit derivatives) in June 2007 marked the start of trouble. By August 2007, the Fed reversed its tightening course as contagion led to disarray in the money-markets and equity markets. By March 2008, Bear Stearns was forced to merge with JP Morgan, and Lehman Brothers was bankrupt by September 2008. Equity markets reached their low point in March 2009 as central-banks engaged in unprecedented monetary stimulus which included not only cutting interest rates (in some cases to negative levels) but also the buying of financial assets (better known as quantitative easing or QE).

Ten years later, investors are happily counting their regained fortunes as central banks now weigh options on how to withdraw the “morphine drip” from the financial markets - which have seemingly become addicted to easy central bank policies (low interest rates, along with unprecedented asset purchases by the central banks). Make no mistake, many of these policies likely prevented a complete collapse of the economic system and a depression-like scenario from occurring. Meanwhile, as investors are feeling no pain, the economy continues to limp along with modest growth (first quarter GDP up 1.4%) and high optimism as asset values continue to stretch. Perhaps, nowhere has this optimism been more apparent than in the Technology sector, with the “Fab Five” (Facebook, Amazon, Apple, Microsoft and Google parent, Alphabet) contributing an outsized portion of the S&P 500 Index’s return during the first half of 2017.

On the economic front, the most positive economic news seems to be “soft” data – sentiment, consumer confidence and other surveys which ask about future intention to spend. Actual “hard” economic data – measureable data based upon actions - has been harder to come by and, in-fact, has been well below expectations. Similar to the past eight years, the data hasn’t been extremely weak, it’s just been weak relative to expectations and presumably what’s priced in the equity market. Although the equity market has been signaling optimism, the bond market has been pricing a very different scenario. Despite the Fed raising short-term interest rates in March and June, the 10-year Treasury yield reached a low of 2.13% in June, its lowest level since November 10, 2016. This flattening of the yield curve (the declining difference between short and long-term interest rates) typically implies that economic expansion is slowing and the “hard” data seems to be confirming it. One plausible explanation for this disconnect is that if we remain in a stable, low-growth, low-inflation environment for an extended period of time, interest rates will remain low and in-turn risk assets (even with lower expected returns) will look attractive compared to bond yields.

This conundrum between the bond and stock market (and between “soft” and “hard” economic data) leads us to believe that the low levels of volatility in the market may not persist. Elevated stock valuations and weakening economic data along with high expectations and high optimism create a recipe for higher volatility in the future. Although lofty valuations (along with stock prices) may continue longer than justified, we believe investors should prepare for more modest returns. With this backdrop we believe stocks of lower-risk, higher-quality companies along with shorter-duration, higher-quality bonds will allow investors to continue to participate in the market, while providing some shelter should volatility return to more typical levels.


2

Ultra Series Fund | June 30, 2017

Review of Period (unaudited)

ALLOCATION FUNDS SUMMARY

The Ultra Series Conservative Allocation, Moderate Allocation and Aggressive Allocation Funds (the “Funds”) invest primarily in shares of registered investment companies (the “Underlying Funds”). The Funds will be diversified among a number of asset classes and their allocation among Underlying Funds will be based on an asset allocation model developed by Madison Asset Management, LLC (“Madison”), the Funds’ investment adviser. The team may use multiple analytical approaches to determine the appropriate asset allocation, including:

  Asset allocation optimization analysis – considers the degree to which returns in different asset classes do or do not move together, and the Funds’ aim to achieve a favorable overall risk profile for any targeted portfolio return.
     
  Scenario analysis – historical and expected return data is analyzed to model how individual asset classes and combinations of asset classes would affect the Funds under different economic and market conditions.
     
  Fundamental analysis – draws upon Madison’s investment teams to judge each asset class against current and forecasted market conditions. Economic, industry and security analysis is used to develop return and risk expectations that may influence asset class selection. In addition, Madison has a flexible mandate which permits the Funds, at the sole discretion of Madison, to materially reduce equity risk exposures when and if conditions are deemed to warrant such an action.

CONSERVATIVE ALLOCATION FUND

INVESTMENT STRATEGY HIGHLIGHTS

Under normal circumstances, the Ultra Series Conservative Allocation Fund’s total net assets will be allocated among various asset classes and Underlying Funds, including those whose shares trade on a stock exchange (exchange traded funds or “ETFs”), with target allocations over time of approximately 35% equity investments and 65% fixed income investments. Underlying Funds in which the Fund invests may include funds advised by Madison and/or its affiliates, including the Madison Funds (the “Affiliated Underlying Funds”). Generally, Madison will not invest more than 75% of the Fund’s net assets, at the time of purchase, in Affiliated Underlying Funds. Although actual allocations may vary, as of June 30, 2017, the Fund’s asset allocation was:

PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17

Alternative Funds   2.3%
Bond Funds   58.8%
Foreign Stock Funds   12.5%
Money Market Funds   4.0%
Stock Funds   22.3%
Net Other Assets and Liabilities   0.1%


PERFORMANCE DISCUSSION

The Ultra Series Conservative Allocation Fund (Class I) returned 5.19% for the period, outperforming the Conservative Allocation Fund Custom Index return of 5.09%. The Fund lagged its peers as measured by the Morningstar Allocation – 30% to 50% Equity Category, which advanced 5.51%.

MODERATE ALLOCATION FUND

INVESTMENT STRATEGY HIGHLIGHTS

Under normal circumstances, the Ultra Series Moderate Allocation Fund’s total net assets will be allocated among various asset classes and Underlying Funds, including those whose shares trade on a stock exchange (exchange traded funds or “ETFs”), with target allocations over time of approximately 60% equity investments and 40% fixed income investments. Underlying Funds in which the Fund invests may include Affiliated Underlying Funds. Generally, Madison will not invest more than 75% of the Fund’s net assets, at the time of purchase, in Affiliated Underlying Funds. Although actual allocations may vary, as of June 30, 2017, the Fund’s asset allocation was:

PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17

Alternative Funds   2.3%
Bond Funds   32.3%
Foreign Stock Funds   21.5%
Money Market Funds   5.4%
Stock Funds   39.0%
Net Other Assets and Liabilities   (0.5)%


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Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2017


PERFORMANCE DISCUSSION

The Ultra Series Moderate Allocation Fund (Class I) returned 7.22% for the period, beating its blended benchmark, the Moderate Allocation Fund Custom Index, which returned 7.14%. The Fund also beat its Morningstar peer group as the Allocation – 50% to 70% Equity Category, which returned an average of 7.19%.

AGGRESSIVE ALLOCATION FUND

INVESTMENT STRATEGY HIGHLIGHTS

Under normal circumstances, the Ultra Series Aggressive Allocation Fund’s total net assets will be allocated among various asset classes and Underlying Funds, including those whose shares trade on a stock exchange (exchange traded funds or “ETFs”), with target allocations over time of approximately 80% equity investments and 20% fixed income investments. Underlying Funds in which the Fund invests may include Affiliated Underlying Funds. Generally, Madison will not invest more than 75% of Fund’s net assets, at the time of purchase, in Affiliated Underlying Funds. Although actual allocations may vary, as of June 30, 2017, the Fund’s asset allocation was:

PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17

Alternative Funds   2.1%
Bond Funds   12.4%
Foreign Stock Funds   28.8%
Money Market Funds   5.0%
Stock Funds   52.2%
Net Other Assets and Liabilities   (0.5)%


PERFORMANCE DISCUSSION

The Ultra Series Aggressive Allocation Fund (Class I) returned 8.82% for the period, beating its blended benchmark, the Aggressive Allocation Fund Custom Index, which returned 8.80%. The Fund outperformed its Morningstar Allocation – 70% to 85% Equity Category peer group, which averaged an 8.60% return.

CORE BOND FUND

INVESTMENT STRATEGY HIGHLIGHTS

Under normal circumstances, the Ultra Series Core Bond Fund invests at least 80% of its net assets in bonds. To keep current income relatively stable and to limit share price volatility, the Fund emphasizes investment grade securities and maintains an intermediate (typically 3-7 year) average portfolio duration, with the goal of being between 85-115% of the market benchmark duration. The Fund also strives to add incremental return in the portfolio by making strategic decisions relating to credit risk, sector exposure and yield curve positioning. The Fund may invest in corporate debt securities, U.S. Government debt securities, foreign government debt securities, non-rated debt securities, and asset-backed, mortgage-backed and commercial mortgage-backed securities.


PERFORMANCE DESCRIPTION

The Ultra Series Core Bond Fund (Class I) returned 2.06% for the period, moderately trailing the Fund’s benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, which advanced 2.27%. The Morningstar Intermediate-Term Bond peer group gained 2.59% for the period.

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17

Asset Backed Securities   2.4%
Collateralized Mortgage Obligations   2.2%
Commercial Mortgage-Backed Securities   2.6%
Corporate Notes and Bonds   31.9%
Long Term Municipal Bonds   5.6%
Mortgage Backed Securities   27.6%
U.S. Government and Agency Obligations   24.6%
Short-Term Investments   1.9%
Net Other Assets and Liabilities   1.2%

HIGH INCOME FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series High Income Fund invests primarily in lower-rated, higher-yielding income bearing securities, such as “junk” bonds. Because the performance of these securities has historically been strongly influenced by economic conditions, the Fund may rotate securities selection by business sector according to the economic outlook. Under normal market conditions, the Fund invests at least 80% of its net assets in bonds rated lower than investment grade (BBB/Baa) and their unrated equivalents or other high-yielding securities.


PERFORMANCE DISCUSSION

The Ultra Series High Income Fund (Class I) returned 4.29% during the period, lagging the Bank of America Merrill Lynch U.S. High Yield Constrained Index 4.90% return. The Fund


4

Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2017

also trailed its Morningstar High Yield Bond category peer group, which returned 4.55%.

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17

Consumer Discretionary   28.0%
Consumer Staples   5.0%
Energy   8.4%
Financials   6.0%
Health Care   6.2%
Industrials   16.1%
Information Technology   5.5%
Materials   5.7%
Telecommunication Services   4.6%
Utilities   3.7%
Bond Funds   1.5%
Short-Term Investments   8.6%
Net Other Assets and Liabilities   0.7%

† Consumer Discretionary includes securities in the following industries: Advertising; Auto Parts & Equipment; Entertainment; Leisure Time; Lodging; Media and Retail.


DIVERSIFIED INCOME FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Diversified Income Fund seeks income by investing in a broadly diversified array of securities including bonds, common stocks, real estate securities, foreign market bonds and stocks and money market instruments. Bonds, stock and cash components will vary, reflecting the portfolio managers’ judgments of the relative availability of attractively yielding and priced stocks and bonds; however, under normal market conditions, the Fund’s portfolio managers generally attempt to target a 40% bond and 60% stock investment allocation. Nevertheless, bonds (including investment grade, high yield and mortgage- or asset-backed) may constitute up to 80% of the Fund’s assets, stocks (including common stocks, preferred stocks and convertible bonds) may constitute up to 70% of the Fund’s assets, real estate securities may constitute up to 25% of the Fund’s assets, foreign (including American Depositary Receipts (“ADRs”) and emerging market) stocks and bonds may constitute up to 25% of the Fund’s assets, and money market instruments may constitute up to 25% of the Fund’s assets. Although the Fund is permitted to invest up to 80% of its assets in lower credit quality bonds, under normal circumstances, the Fund intends to limit the investment in lower credit quality bonds to less than 50% of the Fund’s assets. The balance between the two strategies of the Fund (fixed income and equity investing) is determined after reviewing the risks associated with each type of investment, with the goal of meaningful risk reduction as market conditions demand.


PERFORMANCE DISCUSSIONS

The Ultra Series Diversified Income Fund (Class I) advanced 5.14% for the period, lagging its blended index (50% Bank of America Merrill Lynch U.S. Corporate, Government and Mortgage Index and 50% S&P 500®) which returned 5.81%. The Fund’s designated Morningstar peer group, the Allocation – 50% to 70% Equity category, averaged a 7.19% return for the period.

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17

Asset Backed Securities   0.9%
Collateralized Mortgage Obligations   1.3%
Commercial Mortgage-Backed Securities   0.9%
Common Stocks   59.3%
Corporate Notes and Bonds   13.6%
Long Term Municipal Bonds   2.8%
Mortgage Backed Securities   10.0%
U.S. Government and Agency Obligations   8.8%
Short-Term Investments   2.0%
Net Other Assets and Liabilities   0.4%

LARGE CAP VALUE FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Large Cap Value Fund will, under normal market conditions, maintain at least 80% of its net assets in large cap stocks. The Fund follows a “value” approach, meaning the portfolio managers seek to invest in stocks at prices below their perceived intrinsic value as estimated based on fundamental analysis of the issuing company and its prospects. By investing in value stocks, the Fund attempts to limit the downside risk over time but may also produce smaller gains than other stock funds if their intrinsic values are not realized by the market or if growth-oriented investments are favored by investors. The Fund will diversify its holdings among various industries and among companies within those industries.


PERFORMANCE DISCUSSIONS

The Ultra Series Large Cap Value Fund (Class I) returned 4.60% for the period, slightly trailing its benchmark, the Russell 1000® Value Index, which advanced 4.66%. The


5

Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2017

Fund underperformed its Morningstar peer group, Large Value category, which showed a 5.54% return.

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17

Consumer Discretionary   7.7%
Consumer Staples   1.2%
Energy   10.5%
Financials†   25.8%
Health Care   8.3%
Industrials   12.6%
Information Technology   10.4%
Materials   8.6%
Real Estate   4.3%
Telecommunication Services   4.4%
Utilities   4.4%
Short-Term Investments   2.8%
Net Other Assets and Liabilities   (1.0)%

†Financials includes securities in the following industries: Capital Markets; Commercial Banks; Diversified Financial Services; and Insurance.

LARGE CAP GROWTH FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Large Cap Growth Fund invests primarily in common stocks of larger companies and will, under normal market conditions, maintain at least 80% of its net assets in large cap stocks. Stocks selected for the Fund will represent primarily well-established companies that have a demonstrated pattern of consistent growth. To a lesser extent, the Fund may invest in less established companies that may offer more rapid growth potential. The Fund has an active trading strategy which will lead to more portfolio turnover than a more passively-managed fund.


PERFORMANCE DISCUSSION

The Ultra Series Large Cap Growth Fund (Class I) returned 10.99% for the period, trailing its benchmark, the Russell 1000® Growth Index, which returned 13.99%. The Fund lagged its peer group, Morningstar Large Growth category, which averaged a return of 15.56% over the same period.

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17

Consumer Discretionary   17.8%
Consumer Staples   9.2%
Energy   1.3%
Financials   7.3%
Health Care   22.0%
Industrials   6.5%
Information Technology†   31.2%
Real Estate   1.9%
Short-Term Investments   2.8%
Net Other Assets and Liabilities   0.0%

†Informatiom Technology includes securities in the following industries: Communications Equipment; Computers & Peripherals; Electronic Equipment, Instruments & Components; Internet Software & Services; IT Services and Software.

MID CAP FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Mid Cap Fund generally invests in common stocks of midsize companies and will, under normal market conditions, maintain at least 80% of its net assets in mid cap securities. The Fund seeks attractive long-term returns through bottom-up security selection based on fundamental analysis in a diversified portfolio of high-quality growth companies with attractive valuations. These will typically be industry leading companies in niches with strong growth prospects. The Fund’s portfolio managers believe in selecting stocks for the Fund that show steady, sustainable growth and reasonable valuations. As a result, stocks of issuers that are believed to have a blend of both value and growth potential will be selected for investment.


PERFORMANCE DISCUSSION

The Ultra Series Mid Cap Fund (Class I) returned 5.45% for the period, underperforming its benchmark, the Russell Midcap® Index, which showed a 7.99% return. The Fund underperformed its peer group, the Morningstar Mid-Cap Growth category, whose average return was 13.77%.


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Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2017

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17

Consumer Discretionary   22.8%
Consumer Staples   1.2%
Energy   1.0%
Financials   21.1%
Health Care   9.8%
Industrials   16.0%
Information Technology   6.7%
Materials   6.8%
Real Estate   4.7%
Short-Term Investments   9.9%
Net Other Assets and Liabilities   0.0%

INTERNATIONAL STOCK FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series International Stock Fund will invest, under normal market conditions, at least 80% of its net assets in the stock of foreign companies. Typically, a majority of the Fund’s assets are invested in relatively large cap stocks of companies located or operating in developed countries. The Fund may also invest up to 30% of its assets in securities of companies whose principal business activities are located in emerging market countries. The portfolio managers typically maintain this segment of the Fund’s portfolio in such stocks which it believes have a low market price relative to their perceived value based on fundamental analysis of the issuing company and its prospects. The Fund may also invest in foreign debt and other income bearing securities at times when it believes that income bearing securities have greater capital appreciation potential than equity securities.


PERFORMANCE DISCUSSION

The Ultra Series International Stock Fund (Class I) returned 11.82% for the period, trailing the 13.81% return of the MSCI EAFE Index (net). The Fund underperformed its peer group, with the Morningstar Foreign Large Blend Category averaging a 14.58% return.

GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17

United Kingdom   22.8%
Japan   17.4%
France   10.7%
Jersey   4.7%
Canada   4.3%
Switzerland   4.1%
Sweden   3.9%
Germany   3.5%
Ireland   3.5%
Netherlands   3.5%
United States   3.1%
Belgium   2.6%
Denmark   2.4%
Norway   2.4%
Italy   1.6%
Finland   1.5%
Singapore   1.5%
Taiwan   1.4%
Luxembourg   1.3%
Australia   1.0%
Brazil   1.0%
Spain   1.0%
Turkey   0.7%
Philippines   0.0%
Net Other Assets and Liabilities   0.1%


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Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2017

BENCHMARK DESCRIPTIONS

ALLOCATION FUND CUSTOM INDEXES*

The Conservative Allocation Fund Custom Index consists of 65% Bloomberg Barclays US Aggregate Bond Index, 24.5% Russell 3000® Index and 10.5% MSCI ACWI ex-USA Index (net). See market index descriptions below.

The Moderate Allocation Fund Custom Index consists of 40% Bloomberg Barclays US Aggregate Bond Index, 42% Russell 3000® Index and 18% MSCI ACWI ex-USA Index (net). See market index descriptions below.

The Aggressive Allocation Fund Custom Index consists of 20% Bloomberg Barclays US Aggregate Bond Index, 56% Russell 3000® Index and 24% MSCI ACWI ex-USA Index (net). See market index descriptions below.

HYBRID FUND CUSTOM INDEXES*

The Custom Blended Index consists of 50% S&P 500® Index and 50% of Bank of America Merrill Lynch U.S. Corporate, Government and Mortgage Index. See market indexes’ descriptions below.

*The Custom Indexes are calculated using a monthly re-balancing frequency (i.e., rebalanced back to original constituent weight every calendar month-end).

MARKET INDEXES

The Bank of America Merrill Lynch U.S. Corporate, Government & Mortgage Index is a broad-based measure of the total rate of return performance of the U.S. investment-grade bond markets. The index is a capitalization-weighted aggregation of outstanding U.S. treasury, agency and supranational mortgage pass-through, and investment-grade corporate bonds meeting specified selection criteria.

The Bank of America Merrill Lynch U.S. High Yield 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%.

The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, mortgage backed securities, asset backed securities and commercial mortgage-backed securities.

The MSCI EAFE (Europe, Australasia & Far East) Index (net) 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 EAFE Index (net) is calculated on a total return basis with dividends reinvested after the deduction of withholding taxes.

The MSCI ACWI ex USA Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI ex USA (net) is calculated on a total return basis with dividends reinvested after the deduction of withholding taxes.

The Russell 1000® 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.

The Russell 1000® 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.

The Russell 3000® 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.

The Russell Midcap® Index is a mid-cap market index which measures the performance of the mid-cap segment of the U.S. equity universe.



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Ultra Series Fund | Review of Period (unaudited) - concluded | June 30, 2017

The S&P 500® Index is a large-cap market index which measures the performance of a representative sample of 500 leading companies in leading industries in the U.S.

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9

Ultra Series Fund | June 30, 2017
 
 
 Conservative Allocation Fund Portfolio of Investments (unaudited)

      Shares     Value (Note 2)  
             
INVESTMENT COMPANIES - 99.9%              
               
Alternative Funds - 2.3%              
SPDR Gold Shares *     27,975   $ 3,301,609  
             
               
Bond Funds - 58.8%              
Baird Aggregate Bond Fund Institutional Shares     577,270     6,269,156  
iShares 20+ Year Treasury Bond ETF     27,145     3,396,382  
iShares 7-10 Year Treasury Bond ETF     107,521     11,462,814  
iShares Intermediate Credit Bond ETF     6,633     728,171  
iShares TIPS Bond Fund ETF     18,984     2,153,355  
Madison Core Bond Fund Class Y (A)     3,510,125     35,066,148  
Madison Corporate Bond Fund Class Y (A)     886,851     10,260,870  
RidgeWorth Seix Floating Rate High Income Fund Institutional Shares     1,331,177     11,594,554  
Vanguard Short-Term Corporate Bond ETF     50,916     4,075,317  
             
            85,006,767  
               
Foreign Stock Funds - 12.5%              
iShares MSCI Eurozone ETF     80,592     3,249,872  
Vanguard FTSE All-World ex-U.S. ETF     198,411     9,926,502  
Vanguard FTSE Emerging Markets ETF     17,924     731,837  
Vanguard FTSE Europe ETF     54,546     3,007,667  
WisdomTree Japan Hedged Equity Fund     23,555     1,224,860  
             
            18,140,738  
               
Money Market Funds - 4.0%              
State Street Institutional U.S. Government Money Market Fund, 0.88%, Premier Class

    5,756,129     5,756,129  
             
               
Stock Funds - 22.3%              
iShares Core S&P Mid-Cap ETF     8,386     1,458,745  
Madison Dividend Income Fund Class Y (A)     406,790     10,015,167  
Madison Investors Fund Class Y (A)     465,202     10,173,959  
Madison Mid Cap Fund Class Y (A)     311,333     2,907,847  
Vanguard Financials ETF     12,311     770,053  
Vanguard Growth ETF     24,185     3,072,463  
Vanguard Health Care ETF     10,552     1,555,048  
Vanguard Information Technology ETF     10,462     1,473,468  
Vanguard Value ETF     7,734     746,795  
             
            32,173,545  
             
TOTAL INVESTMENTS - 99.9% (Cost $136,307,010**)           144,378,788  
NET OTHER ASSETS AND LIABILITIES - 0.1%           118,794  
             
TOTAL NET ASSETS - 100.0%         $ 144,497,582  
             

*   Non-income producing.
**   Aggregate cost for Federal tax purposes was $136,679,125.
(A)   Affiliated Company (see Note 11).
ETF   Exchange Traded Fund.

See accompanying Notes to Financial Statements.

10

Ultra Series Fund | June 30, 2017
 
 
 Moderate Allocation Fund Portfolio of Investments (unaudited)

      Shares     Value (Note 2)  
             
INVESTMENT COMPANIES - 100.5%              
               
Alternative Funds - 2.3%              
SPDR Gold Shares *     48,869   $ 5,767,519  
             
               
Bond Funds - 32.3%              
Baird Aggregate Bond Fund Institutional Shares     252,273     2,739,685  
iShares 20+ Year Treasury Bond ETF     45,393     5,679,572  
iShares 7-10 Year Treasury Bond ETF     93,161     9,931,894  
iShares Intermediate Credit Bond ETF     16,628     1,825,422  
iShares TIPS Bond Fund ETF     10,755     1,219,940  
Madison Core Bond Fund Class Y (A)     4,318,357     43,140,391  
Madison Corporate Bond Fund Class Y (A)     437,539     5,062,324  
RidgeWorth Seix Floating Rate High Income
Fund Institutional Shares
    1,197,394     10,429,304  
             
            80,028,532  
               
Foreign Stock Funds - 21.5%              
iShares MSCI Eurozone ETF     214,961     8,668,302  
Vanguard FTSE All-World ex-U.S. ETF     553,042     27,668,691  
Vanguard FTSE Emerging Markets ETF     60,842     2,484,179  
Vanguard FTSE Europe ETF     179,253     9,884,011  
WisdomTree Japan Hedged Equity Fund     86,824     4,514,848  
             
            53,220,031  
               
Money Market Funds - 5.4%              
State Street Institutional U.S. Government
Money Market Fund, 0.88%, Premier Class
    13,464,506     13,464,506  
             
               
Stock Funds - 39.0%              
Energy Select Sector SPDR Fund     9,053     587,721  
iShares Core S&P Mid-Cap ETF     31,996     5,565,704  
Madison Dividend Income Fund Class Y (A)     1,126,082     27,724,139  
Madison Investors Fund Class Y (A)     1,281,052     28,016,616  
Madison Large Cap Value Fund Class Y (A)     531,893     7,808,191  
Madison Mid Cap Fund Class Y (A)     810,446     7,569,563  
Vanguard Financials ETF     20,869     1,305,356  
Vanguard Growth ETF     53,135     6,750,270  
Vanguard Health Care ETF     36,273     5,345,552  
Vanguard Information Technology ETF     39,833     5,610,080  
Vanguard Value ETF     1,401     135,281  
             
            96,418,473  
             
TOTAL INVESTMENTS - 100.5% (Cost $222,602,086**)           248,899,061  
NET OTHER ASSETS AND LIABILITIES - (0.5%)           (1,303,129 )
             
TOTAL NET ASSETS - 100.0%         $ 247,595,932  
             

*   Non-income producing.
**   Aggregate cost for Federal tax purposes was $223,538,283.
(A)   Affiliated Company (see Note 11).
ETF   Exchange Traded Fund.

See accompanying Notes to Financial Statements.

11

Ultra Series Fund | June 30, 2017
 
 
 Aggressive Allocation Fund Portfolio of Investments (unaudited)

      Shares     Value (Note 2)  
             
INVESTMENT COMPANIES - 100.5%              
               
Alternative Funds - 2.1%              
SPDR Gold Shares *     15,312   $ 1,807,122  
             
               
Bond Funds - 12.4%              
iShares 20+ Year Treasury Bond ETF     6,996     875,339  
iShares 7-10 Year Treasury Bond ETF     5,959     635,289  
iShares Intermediate Credit Bond ETF     5,892     646,824  
Madison Core Bond Fund Class Y (A)     841,003     8,401,620  
             
            10,559,072  
               
Foreign Stock Funds - 28.8%              
iShares MSCI Eurozone ETF     98,928     3,989,272  
Vanguard FTSE All-World ex-U.S. ETF     239,886     12,001,497  
Vanguard FTSE Emerging Markets ETF     31,252     1,276,019  
Vanguard FTSE Europe ETF     84,928     4,682,930  
WisdomTree Japan Hedged Equity Fund     47,015     2,444,780  
             
            24,394,498  
               
Money Market Funds - 5.0%              
State Street Institutional U.S. Government
Money Market Fund, 0.88%, Premier Class
    4,261,802     4,261,802  
             
               
Stock Funds - 52.2%              
Energy Select Sector SPDR Fund     6,544     424,836  
iShares Core S&P Mid-Cap ETF     19,619     3,412,725  
Madison Dividend Income Fund Class Y (A)     450,887     11,100,836  
Madison Investors Fund Class Y (A)     514,497     11,252,054  
Madison Large Cap Value Fund Class Y (A)     290,727     4,267,869  
Madison Mid Cap Fund Class Y (A)     459,862     4,295,108  
Vanguard Financials ETF     7,103     444,293  
Vanguard Growth ETF     28,088     3,568,300  
Vanguard Health Care ETF     18,678     2,752,577  
Vanguard Information Technology ETF     19,108     2,691,171  
Vanguard Value ETF     489     47,218  
             
            44,256,987  
             
TOTAL INVESTMENTS - 100.5% (Cost $73,373,884**)           85,279,481  
NET OTHER ASSETS AND LIABILITIES - (0.5%)           (399,907 )
             
TOTAL NET ASSETS - 100.0%         $ 84,879,574  
             

*   Non-income producing.
**   Aggregate cost for Federal tax purposes was $73,641,664.
(A)   Affiliated Company (see Note 11).
ETF   Exchange Traded Fund.

See accompanying Notes to Financial Statements.

12

Ultra Series Fund | June 30, 2017
 
 
 Core Bond Fund Portfolio of Investments (unaudited)

      Par Value     Value (Note 2)  
             
ASSET BACKED SECURITIES - 2.4%              
ABSC Long Beach Home Equity Loan Trust,
Series 2000-LB1, Class AF5 (A), 8.008%, 9/21/30
  $ 652,045   $ 652,523  
American Express Credit Account Master Trust,
Series 2014-3, Class A, 1.49%, 4/15/20
    500,000     500,170  
CarMax Auto Owner Trust, Series 2014-1, Class
B, 1.69%, 8/15/19
    510,000     510,100  
CarMax Auto Owner Trust, Series 2017-1, Class A2, 1.54%, 2/18/20     1,000,000     999,878  
Chase Issuance Trust, Series 2017-A1, Class A (B), 1.459%, 1/18/22     500,000     501,650  
Santander Drive Auto Receivables Trust, Series 2013-5, Class D, 2.73%, 10/15/19     525,000     528,762  
Santander Drive Auto Receivables Trust, Series 2013-A, Class C (C), 3.12%, 10/15/19     206,945     207,553  
Santander Drive Auto Receivables Trust, Series 2013-4, Class C, 3.25%, 1/15/20     238,320     238,934  
             

Total Asset Backed Securities

             

(Cost $4,159,754)

          4,139,570  
COLLATERALIZED MORTGAGE
OBLIGATIONS - 2.2%
             
Fannie Mae REMICS, Series 2015-12, Class NI, IO, 3.5%, 3/25/30     2,621,890     302,918  
Fannie Mae REMICS, Series 2011-31, Class DB, 3.5%, 4/25/31     375,000     394,291  
Fannie Mae REMICS, Series 2011-36, Class QB, 4%, 5/25/31     500,000     537,849  
Fannie Mae REMICS, Series 2005-79, Class LT, 5.5%, 9/25/35     585,058     654,500  
Fannie Mae REMICS, Series 2011-101, Class NC, 2.5%, 4/25/40     459,591     462,320  
Fannie Mae REMICS, Series 2016-21, Class BA, 3%, 3/25/42     821,668     837,551  
Freddie Mac REMICS, Series 4066, Class DI, IO, 3%, 6/15/27     3,390,234     302,683  
Government National Mortgage Association, Series 2015-53, Class IL, IO, 3%, 9/20/44     2,452,264     421,884  
             

Total Collateralized Mortgage

             

Obligations (Cost $3,931,418)

          3,913,996  
               
COMMERCIAL MORTGAGE-BACKED
SECURITIES - 2.6%
             
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW17, Class A1A (B), 5.65%, 6/11/50     272,408     272,902  
Fannie Mae-Aces, Series 2016-M2, Class X2, IO (B), 1205%, 1/25/23     10,659,769     512,522  
FHLMC Multifamily Structured Pass Through Certificates, Series K718, Class X1, IO (B), 0.767%, 1/25/22     24,104,179     607,541  
FREMF Mortgage Trust, Series 2011-K702, Class B (B) (C), 4.931%, 4/25/44     750,000     762,039  
FREMF Mortgage Trust, Series 2012-K708, Class B (B) (C), 3.883%, 2/25/45     1,000,000     1,022,714  
FREMF Mortgage Trust, Series 2013-K502, Class B (B) (C), 2.499%, 3/25/45     400,000     399,503  
FREMF Mortgage Trust, Series 2011-K701, Class C (B) (C), 4.395%, 7/25/48     1,000,000     1,004,627  
             

Total Commercial Mortgage-Backed

             

Securities (Cost $4,701,238)

          4,581,848  
               
CORPORATE NOTES AND BONDS - 31.9%              
Consumer Discretionary - 6.2%              
Advance Auto Parts Inc, 4.5%, 12/1/23     1,000,000     1,061,307  
Charter Communications Operating LLC / Charter Communications Operating Capital Corp, 4.464%, 7/23/22     800,000     852,373  
ERAC USA Finance LLC (C), 6.7%, 6/1/34     500,000     620,955  
Ford Motor Credit Co. LLC, MTN, 2.943%, 1/8/19     1,000,000     1,012,852  
GameStop Corp. (C), 6.75%, 3/15/21     200,000     207,800  
General Motors Financial Co. Inc., 3.2%, 7/6/21     750,000     758,430  
GLP Capital L.P. / GLP Financing II Inc., 4.875%, 11/1/20     253,000     269,761  
Harman International Industries Inc, 4.15%, 5/15/25     400,000     415,803  
Lennar Corp., 4.75%, 4/1/21     500,000     530,000  
Lowe’s Cos. Inc., 2.5%, 4/15/26     500,000     480,611  
Marriott International Inc, 3.125%, 6/15/26     400,000     392,413  
McDonald’s Corp., MTN, 4.875%, 12/9/45     400,000     445,946  
Newell Brands Inc., 4.2%, 4/1/26     800,000     849,430  
Omnicom Group Inc., 3.6%, 4/15/26     750,000     754,615  
Priceline Group Inc./The, 3.65%, 3/15/25     300,000     307,850  
Priceline Group Inc./The, 3.6%, 6/1/26     500,000     506,132  
Sirius XM Radio Inc. (C), 6%, 7/15/24     350,000     371,875  
Toll Brothers Finance Corp., 4%, 12/31/18     500,000     512,500  
Walgreens Boots Alliance Inc., 3.45%, 6/1/26     600,000     598,732  
             
            10,949,385  
               
Consumer Staples - 3.4%              
Anheuser-Busch InBev Finance Inc., 4.9%, 2/1/46     1,000,000     1,128,641  
Bunge Ltd. Finance Corp., 3.25%, 8/15/26     850,000     812,164  
CVS Health Corp., 4.75%, 12/1/22     1,060,000     1,161,858  
CVS Health Corp., 5.125%, 7/20/45     1,000,000     1,146,395  
Kraft Heinz Foods Co., 4.375%, 6/1/46     1,000,000     979,334  
Molson Coors Brewing Co., 2.1%, 7/15/21     400,000     393,349  
Tyson Foods Inc., 3.55%, 6/2/27     300,000     303,500  
             
            5,925,241  

See accompanying Notes to Financial Statements.

13

Ultra Series Fund | June 30, 2017
 
 
 Core Bond Fund Portfolio of Investments (unaudited) - continued

      Par Value     Value (Note 2)  
             
CORPORATE NOTES AND BONDS - continued              
               
Energy - 2.7%              
Antero Resources Corp., 5.625%, 6/1/23   $ 300,000   $ 303,750  
Energy Transfer Partners L.P., 5.2%, 2/1/22     1,000,000     1,075,184  
EnLink Midstream Partners L.P., 5.45%, 6/1/47     550,000     548,402  
Enterprise Products Operating LLC, 3.75%, 2/15/25     750,000     772,351  
Helmerich & Payne International Drilling Co., 4.65%, 3/15/25     400,000     419,455  
Marathon Oil Corp., 2.7%, 6/1/20     750,000     743,381  
Marathon Petroleum Corp., 2.7%, 12/14/18     400,000     403,051  
Williams Partners L.P. / ACMP Finance Corp., 4.875%, 5/15/23     450,000     466,929  
             
            4,732,503  
               
Financials - 9.3%              
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (D), 3.75%, 5/15/19     400,000     410,852  
Affiliated Managers Group Inc., 4.25%, 2/15/24     1,000,000     1,046,715  
Air Lease Corp., 3.875%, 4/1/21     500,000     521,562  
Air Lease Corp., 3.75%, 2/1/22     700,000     730,474  
Bank of America Corp., MTN, 2.503%, 10/21/22     400,000     394,887  
Bank of Montreal, MTN (D), 1.9%, 8/27/21     1,000,000     981,335  
Berkshire Hathaway Inc., 3.125%, 3/15/26     250,000     252,813  
Boston Properties L.P., 2.75%, 10/1/26     1,000,000     944,171  
Brookfield Finance Inc. (D), 4.25%, 6/2/26     500,000     513,539  
Capital One Financial Corp., 2.5%, 5/12/20     400,000     401,733  
CBOE Holdings Inc., 3.65%, 1/12/27     500,000     504,302  
Discover Bank, 3.45%, 7/27/26     400,000     386,878  
Goldman Sachs Group Inc./The, 5.75%, 1/24/22     750,000     844,405  
Goldman Sachs Group Inc./The, 3.5%, 11/16/26     500,000     497,348  
Huntington National Bank/The, 2.4%, 4/1/20     1,000,000     1,006,670  
JPMorgan Chase & Co., 3.125%, 1/23/25     900,000     894,732  
Liberty Mutual Group Inc. (C), 4.25%, 6/15/23     1,000,000     1,063,885  
Morgan Stanley, 4.3%, 1/27/45     1,000,000     1,034,118  
Nasdaq Inc., 3.85%, 6/30/26     100,000     101,466  
Old Republic International Corp., 3.875%, 8/26/26     500,000     499,756  
Raymond James Financial Inc., 3.625%, 9/15/26     300,000     300,273  
Regions Bank, 2.25%, 9/14/18     250,000     251,015  
Regions Financial Corp., 3.2%, 2/8/21     750,000     766,808  
Synchrony Financial, 3.75%, 8/15/21     1,100,000     1,129,837  
Synchrony Financial, 337%, 8/4/26     400,000     386,020  
TD Ameritrade Holding Corp., 3.3%, 4/1/27     400,000     399,496  
             
            16,265,090  
               
Health Care - 1.6%              
AbbVie Inc., 4.45%, 5/14/46     300,000     309,659  
Actavis Funding SCS (D), 4.55%, 3/15/35     435,000     464,287  
Becton Dickinson and Co., 2.894%, 6/6/22     500,000     501,563  
Forest Laboratories LLC (C), 5%, 12/15/21     250,000     272,951  
HCA Inc., 3.75%, 3/15/19     500,000     510,000  
Shire Acquisitions Investments Ireland DAC (D), 1.9%, 9/23/19     750,000     746,518  
             
            2,804,978  
               
Industrials - 2.2%              
CRH America Inc. (C), 3.875%, 5/18/25     300,000     311,766  
Equifax Inc., 2.3%, 6/1/21     400,000     397,254  
Fortive Corp., 2.35%, 6/15/21     225,000     223,699  
International Lease Finance Corp., 8.875%, 9/1/17     400,000     404,379  
Masco Corp., 4.375%, 4/1/26     650,000     693,355  
Norfolk Southern Corp., 5.59%, 5/17/25     1,268,000     1,443,612  
United Rentals North America Inc., 4.625%, 7/15/23     350,000     363,387  
             
            3,837,452  
               
Information Technology - 3.8%              
Activision Blizzard Inc., 3.4%, 6/15/27     400,000     398,638  
Analog Devices Inc., 5.3%, 12/15/45     600,000     687,240  
Apple Inc., 2.25%, 2/23/21     500,000     503,314  
Autodesk Inc., 4.375%, 6/15/25     1,000,000     1,054,931  
Broadridge Financial Solutions Inc., 3.95%, 9/1/20     1,000,000     1,047,300  
Dell International LLC / EMC Corp. (C), 8.35%, 7/15/46     250,000     322,646  
Fidelity National Information Services Inc., 3%, 8/15/26     475,000     459,950  
Fiserv Inc., 2.7%, 6/1/20     300,000     303,535  
Hewlett Packard Enterprise Co., 6.35%, 10/15/45     300,000     317,063  
NVIDIA Corp., 2.2%, 9/16/21     250,000     247,213  
Oracle Corp., 4%, 7/15/46     750,000     757,420  
Visa Inc., 3.15%, 12/14/25     500,000     507,633  
             
            6,606,883  
               
Real Estate - 1.6%              
Boston Properties L.P., 3.65%, 2/1/26     450,000     455,376  
Brixmor Operating Partnership L.P., 3.65%, 6/15/24     500,000     491,982  
Iron Mountain Inc. (C), 4.375%, 6/1/21     350,000     363,125  
Welltower Inc., 4.5%, 1/15/24     1,000,000     1,067,212  
WP Carey Inc., 4.25%, 10/1/26     400,000     404,246  
             
            2,781,941  

See accompanying Notes to Financial Statements.

14

Ultra Series Fund | June 30, 2017
 
 
 Core Bond Fund Portfolio of Investments (unaudited) - continued

      Par Value     Value (Note 2)  
             
CORPORATE NOTES AND BONDS - continued              
Telecommunication Services - 0.8%              
Verizon Communications Inc., 3.45%, 3/15/21   $ 500,000   $ 517,309  
Verizon Communications Inc., 5.15%, 9/15/23     626,000     695,353  
Verizon Communications Inc., 4.4%, 11/1/34     300,000     297,257  
             
            1,509,919  
Utilities - 0.3%              
Duke Energy Corp, 3.75%, 9/1/46     650,000     617,484  
             

Total Corporate Notes and Bonds

             

(Cost $54,142,816)

          56,030,876  
               
LONG TERM MUNICIPAL BONDS - 5.6%              
General - 5.6%              
County of Pasco FL Water & Sewer Revenue, Series B, 6.76%, 10/1/39     1,000,000     1,104,900  
East Baton Rouge Sewerage Commission Revenue, Series B, 6.087%, 2/1/45     1,000,000     1,084,030  
Kansas Development Finance Authority Revenue, 6.6%, 10/1/39     500,000     549,065  
Los Angeles Department of Water & Power Revenue, 6.166%, 7/1/40     1,000,000     1,108,840  
Metropolitan Transportation Authority Revenue, 6.548%, 11/15/31     1,000,000     1,301,950  
New York City Transitional Finance Authority Future Tax Secured Revenue, 6.267%, 8/1/39     500,000     541,355  
Oklahoma Development Finance Authority Revenue, 3.75%, 6/1/36     500,000     481,260  
Palomar Community College District, General Obligation, 7.194%, 8/1/45     1,000,000     1,150,950  
State of Iowa Revenue, 6.75%, 6/1/34     1,000,000     1,086,760  
Washington County School District #1 West Union, General Obligation, 4.355%, 6/30/34     800,000     824,688  
West Contra Costa Unified School District, General Obligation, 8.46%, 8/1/34     500,000     565,370  
             
            9,799,168  
             

Total Long Term Municipal Bonds

             

(Cost $9,770,482)

          9,799,168  
               
MORTGAGE BACKED SECURITIES - 27.6%              
Fannie Mae - 17.9%              
3.5%, 5/1/28 Pool # AL3678     195,254     204,104  
3.5%, 8/1/29 Pool # MA2003     1,088,991     1,133,861  
3%, 9/1/30 Pool # 890696     1,519,131     1,560,249  
3%, 12/1/30 Pool # AL8924     631,198     648,721  
2.5%, 5/1/31 Pool # AS7117     1,075,941     1,083,175  
7%, 11/1/31 Pool # 607515     28,563     32,031  
3%, 2/1/32 Pool # AL9867     579,647     595,336  
6.5%, 3/1/32 Pool # 631377     34,455     38,109  
7%, 5/1/32 Pool # 644591     10,087     10,899  
6.5%, 6/1/32 Pool # 545691     334,535     379,002  
5.5%, 11/1/33 Pool # 555880     438,176     490,608  
7%, 7/1/34 Pool # 792636     37,987     39,320  
4%, 2/1/35 Pool # MA2177     1,713,631     1,818,360  
5%, 8/1/35 Pool # 829670     448,364     491,890  
5%, 9/1/35 Pool # 820347     687,423     765,641  
5%, 9/1/35 Pool # 835699     555,236     618,689  
3.5%, 12/1/35 Pool # MA2473     1,182,795     1,231,728  
5%, 12/1/35 Pool # 850561     196,204     214,903  
5.5%, 10/1/36 Pool # 901723     526,669     588,402  
6.5%, 10/1/36 Pool # 894118     335,807     377,213  
6%, 11/1/36 Pool # 902510     515,374     593,718  
6%, 10/1/37 Pool # 947563     558,555     634,399  
6.5%, 8/1/38 Pool # 987711     1,092,519     1,268,296  
4%, 1/1/41 Pool # AB2080     1,635,428     1,732,204  
4.5%, 7/1/41 Pool # AB3274     667,524     722,666  
5.5%, 7/1/41 Pool # AL6588     1,411,993     1,582,609  
4%, 9/1/41 Pool # AJ1406     1,212,798     1,279,126  
3.5%, 6/1/42 Pool # AO4136     1,779,132     1,835,671  
4%, 6/1/42 Pool # MA1087     455,958     480,967  
3.5%, 8/1/42 Pool # AP2133     793,321     818,339  
3.5%, 9/1/42 Pool # AB6228     1,401,813     1,445,681  
4%, 10/1/42 Pool # AP7363     1,079,617     1,138,415  
3.5%, 3/1/43 Pool # AT0310     852,196     879,153  
4%, 1/1/45 Pool # AS4257     300,342     317,305  
4.5%, 2/1/45 Pool # MA2193     1,179,015     1,266,170  
3.5%, 8/1/45 Pool # AS5645     816,846     839,471  
3.5%, 11/1/45 Pool # BA4907     660,182     678,468  
3.5%, 12/1/45 Pool # AS6309     367,499     377,678  
4.5%, 10/1/46 Pool # MA2783     160,811     172,512  
4%, 12/1/46 Pool # BD2379     477,795     502,504  
3%, 1/1/47 Pool # BE0108     483,423     484,537  
             
            31,372,130  
               
Freddie Mac - 9.6%              
4.5%, 2/1/25 Pool # J11722     241,086     254,768  
4.5%, 5/1/25 Pool # J12247     443,832     471,653  
8%, 6/1/30 Pool # C01005     14,494     17,241  
2.5%, 3/1/31 Pool # G18590     409,749     412,388  
7%, 3/1/31 Pool # C48129     55,201     56,413  
5.5%, 11/1/34 Pool # A28282     828,971     935,004  
5.5%, 1/1/37 Pool # G04593     257,107     287,451  
5%, 10/1/39 Pool # G60465     2,070,389     2,264,042  
4%, 10/1/41 Pool # Q04092     777,986     824,131  
3%, 9/1/42 Pool # C04233     2,352,139     2,360,893  
3%, 4/1/43 Pool # V80025     2,134,438     2,142,934  
3%, 4/1/43 Pool # V80026     2,086,550     2,094,851  
3.5%, 8/1/44 Pool # Q27927     689,236     711,113  
3%, 7/1/45 Pool # G08653     841,520     840,245  
3.5%, 8/1/45 Pool # Q35614     1,258,092     1,295,367  
3%, 10/1/46 Pool # G60722     888,202     888,551  
4%, 3/1/47 Pool # Q46801     989,501     1,042,561  
             
            16,899,606  

See accompanying Notes to Financial Statements.

15

Ultra Series Fund | June 30, 2017
 
 
 Core Bond Fund Portfolio of Investments (unaudited) - continued

      Par Value     Value (Note 2)  
             
MORTGAGE BACKED SECURITIES - continued              
               
Ginnie Mae - 0.1%              
6.5%, 2/20/29 Pool # 2714   $ 61,798   $ 71,554  
6.5%, 4/20/31 Pool # 3068     42,156     49,576  
             
            121,130  
             

Total Mortgage Backed Securities

             

(Cost $47,868,844)

          48,392,866  
               
      Contracts        
               
PUT OPTIONS PURCHASED - 0.0%              
U.S. Treasury Bond, Put, Jul 2017, $150     20     5,938  
U.S. Treasury Bond, Put, Jul 2017, $154     20     27,187  
             

Total Put Options Purchased

             

(Cost $16,995)

          33,125  
      Par Value        
               
U.S. GOVERNMENT AND AGENCY              
OBLIGATIONS - 24.6%              
               
U.S. Treasury Bonds - 9.6%              
6.625%, 2/15/27   $ 6,600,000     9,076,544  
4.500%, 5/15/38     4,000,000     5,179,220  
3.000%, 5/15/45     750,000     772,822  
2.500%, 5/15/46     500,000     465,176  
2.250%, 8/15/46     1,600,000     1,408,626  
             
            16,902,388  
               
U.S. Treasury Notes - 15.0%              
2.750%, 2/15/19     4,000,000     4,089,064  
3.375%, 11/15/19     5,500,000     5,746,428  
2.625%, 11/15/20     6,500,000     6,708,708  
2.000%, 11/15/21     5,000,000     5,042,190  
2.750%, 11/15/23     3,500,000     3,643,283  
2.250%, 11/15/25     1,000,000     1,000,234  
             
            26,229,907  
             
Total U.S. Government and Agency              
Obligations (Cost $39,897,229)           43,132,295  
               
      Shares        
               
SHORT-TERM INVESTMENTS - 1.9%              
State Street Institutional U.S. Government Money Market Fund, 0.88%, Premier Class     3,304,021     3,304,021  
             

Total Short-Term Investments

             

(Cost $3,304,021)

          3,304,021  
             
TOTAL INVESTMENTS - 98.8% (Cost $167,792,797**)           173,327,765  
NET OTHER ASSETS AND LIABILITIES - 1.2%           2,058,291  
             
TOTAL CALL & PUT OPTIONS WRITTEN - 0.0%           (26,875 )
             
TOTAL NET ASSETS - 100.0%         $ 175,359,181  
             

**   Aggregate cost for Federal tax purposes was $167,792,797.
(A)   Stepped rate security. Rate shown is as of June 30, 2017.
(B)   Floating rate or variable rate note. Rate shown is as of June 30, 2017.
(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 buyers”.
(D)   Notes and bonds, issued by foreign entities, denominated in U.S. dollars The aggregate of these securities is 18% of total net assets.
MTN   Medium Term Note

    Contracts                        
    (100 Shares                        
Put Options Written   Per Contract)   Expiration Date   Strike Price   Value (Note 2)
                         
U.S. Treasury Bond     20       July 2017     $ 151.00     $ (8,437 )
U.S. Treasury Bond     20       July 2017       153.00       (18,438 )
                               

Total Put Options Written (Premiums received $13,005)

                          $ (26,875 )
                               
Total Options Written, at Value (Premiums received $13,005)                           $ (26,875 )
                               

See accompanying Notes to Financial Statements.

16

Ultra Series Fund | June 30, 2017
 
 
 High Income Fund Portfolio of Investments (unaudited)

      Par Value     Value (Note 2)  
             
CORPORATE NOTES AND BONDS - 89.2%              
               
Consumer Discretionary - 28.0%              
               
Advertising - 2.5%              
Outfront Media Capital LLC / Outfront Media Capital Corp., 5.25%, 2/15/22   $ 150,000   $ 155,438  
Outfront Media Capital LLC / Outfront Media Capital Corp., 5.625%, 2/15/24     500,000     521,875  
             
            677,313  
Auto Parts&Equipment - 2.3%              
Deck Chassis Acquisition Inc. (A), 10%, 6/15/23     100,000     111,000  
Lear Corp., 5.25%, 1/15/25     200,000     211,624  
Nexteer Automotive Group Ltd. (A) (B), 5.875%, 11/15/21     315,000     326,812  
             
            649,436  
Entertainment - 2.7%              
Pinnacle Entertainment Inc.(A), 5.625%, 5/1/24     250,000     260,000  
Scientific Games International Inc., 6.25%, 9/1/20     500,000     495,625  
             
            755,625  
Leisure Time - 1.4%              
Viking Cruises Ltd.(A) (B), 8.5%, 10/15/22     375,000     393,750  
             
               
Lodging - 3.4%              
Diamond Resorts International Inc. (A), 7.75%, 9/1/23     250,000     264,375  
Jack Ohio Finance LLC / Jack Ohio Finance 1 Corp. (A), 6.75%, 11/15/21     400,000     418,000  
Sugarhouse HSP Gaming Prop Mezz L.P. / Sugarhouse HSP Gaming Finance Corp. (A), 5.875%, 5/15/25     250,000     243,750  
             
            926,125  
Media - 11.3%              
Altice Financing S.A. (A) (B), 7.5%, 5/15/26     250,000     277,500  
Cablevision Systems Corp., 5.875%, 9/15/22     100,000     105,125  
CCO Holdings LLC / CCO Holdings Capital Corp. (A), 5.125%, 5/1/23     350,000     367,500  
CCO Holdings LLC / CCO Holdings Capital Corp. (A), 5.875%, 4/1/24     200,000     213,500  
Cequel Communications Holdings I LLC / Cequel Capital Corp. (A), 6.375%, 9/15/20     140,000     142,800  
DISH DBS Corp., 5.125%, 5/1/20     500,000     521,875  
Mediacom Broadband LLC / Mediacom Broadband Corp., 6.375%, 4/1/23     400,000     417,956  
Sinclair Television Group Inc., 6.125%, 10/1/22     250,000     259,687  
Sirius XM Radio Inc. (A), 4.625%, 5/15/23     500,000     514,375  
Univision Communications Inc. (A), 5.125%, 5/15/23     300,000     302,904  
             
            3,123,222  
               
Retail - 4.4%              
GameStop Corp. (A), 6.75%, 3/15/21     325,000     337,675  
Group 1 Automotive Inc., 5%, 6/1/22     335,000     340,025  
Penske Automotive Group Inc., 5.75%, 10/1/22     250,000     258,125  
PetSmart Inc. (A), 7.125%, 3/15/23     300,000     267,000  
             
            1,202,825  
             
            7,728,296  
               
Consumer Staples - 5.0%              
Avon International Operations Inc. (A), 7.875%, 8/15/22     250,000     259,375  
Cott Beverages Inc., 5.375%, 7/1/22     250,000     259,062  
First Quality Finance Co.Inc. (A), 4.625%, 5/15/21     400,000     403,500  
Post Holdings Inc. (A), 6%, 12/15/22     200,000     212,000  
Post Holdings Inc. (A), 5.5%, 3/1/25     250,000     257,813  
             
            1,391,750  
               
               
Energy - 8.4%              
American Midstream Partners L.P. / American Midstream Finance Corp. (A), 8.5%, 12/15/21     250,000     250,625  
Carrizo Oil & Gas Inc., 6.25%, 4/15/23     375,000     360,938  
Murphy Oil USA Inc., 5.625%, 5/1/27     400,000     416,000  
Rice Energy Inc., 6.25%, 5/1/22     500,000     522,500  
Tesoro Logistics L.P. / Tesoro Logistics Finance Corp., 6.375%, 5/1/24     250,000     270,625  
Unit Corp., 6.625%, 5/15/21     525,000     502,687  
             
            2,323,375  
               
Financials - 6.0%              
Donnelley Financial Solutions Inc., 8.25%, 10/15/24     500,000     530,000  
Equinix Inc., 5.875%, 1/15/26     250,000     272,577  
FBM Finance Inc. (A), 8.25%, 8/15/21     250,000     267,813  
Iron Mountain Inc., 5.75%, 8/15/24     150,000     153,000  
Quicken Loans Inc. (A), 5.75%, 5/1/25     200,000     206,500  
Solera LLC / Solera Finance Inc. (A), 10.5%, 3/1/24     200,000     229,750  
             
            1,659,640  
               
Health Care - 6.2%              
Acadia Healthcare Co.Inc., 5.125%, 7/1/22     500,000     516,250  
HCA Inc., 5.875%, 2/15/26     250,000     270,000  
Mallinckrodt International Finance S.A. (B), 4.75%, 4/15/23     300,000     255,750  
Mallinckrodt International Finance S.A. / Mallinckrodt CB LLC (A) (B), 4.875%, 4/15/20     500,000     486,875  
Valeant Pharmaceuticals International Inc. (A) (B), 5.625%, 12/1/21     200,000     180,500  
             
            1,709,375  

See accompanying Notes to Financial Statements.

17

Ultra Series Fund | June 30, 2017
 
 
 High Income Fund Portfolio of Investments (unaudited) - continued

      Par Value     Value (Note 2)  
             
CORPORATE NOTES AND BONDS - continued              
               
Industrials - 16.1%              
Avis Budget Car Rental LLC / Avis Budget Finance Inc. (A), 5.25%, 3/15/25   $ 250,000   $ 235,312  
Bombardier Inc. (A) (B), 8.75%, 12/1/21     250,000     277,500  
Bombardier Inc. (A) (B), 6.125%, 1/15/23     200,000     200,500  
Covanta Holding Corp., 5.875%, 3/1/24     500,000     487,500  
FTI Consulting Inc., 6%, 11/15/22     500,000     518,750  
Griffon Corp., 5.25%, 3/1/22     300,000     305,625  
Herc Rentals Inc. (A), 7.5%, 6/1/22     270,000     284,850  
Hertz Corp. (A), 7.625%, 6/1/22     250,000     249,400  
Mueller Industries Inc., 6%, 3/1/27     250,000     256,250  
Nielsen Finance LLC / Nielsen Finance Co. (A), 5%, 4/15/22     420,000     435,750  
Prime Security Services Borrower LLC / Prime Finance Inc. (A), 9.25%, 5/15/23     125,000     135,833  
Standard Industries Inc. (A), 5.375%, 11/15/24     250,000     263,437  
Summit Materials LLC / Summit Materials Finance Corp., 8.5%, 4/15/22     250,000     282,500  
Tennant Co. (A), 5.625%, 5/1/25     250,000     262,500  
West Corp. (A), 5.375%, 7/15/22     250,000     252,500  
             
            4,448,207  
               
Information Technology - 5.5%              
Alliance Data Systems Corp. (A), 6.375%, 4/1/20     400,000     405,000  
Belden Inc. (A), 5.5%, 9/1/22     500,000     515,000  
Diebold Nixdorf Inc., 8.5%, 4/15/24     395,000     441,946  
Western Digital Corp. (A), 7.375%, 4/1/23     150,000     164,812  
             
            1,526,758  
               
Materials - 5.7%              
ARD Finance S.A., PIK (B), 7.125%, 9/15/23     250,000     266,850  
Berry Plastics Corp., 5.125%, 7/15/23     250,000     260,313  
Rayonier AM Products Inc. (A), 5.5%, 6/1/24     500,000     486,565  
Sealed Air Corp. (A), 5.125%, 12/1/24     400,000     429,000  
US Concrete Inc., 6.375%, 6/1/24     125,000     131,875  
             
            1,574,603  
               
Telecommunication Services - 4.6%              
Altice Luxembourg S.A. (A) (B), 7.625%, 2/15/25     400,000     438,500  
Frontier Communications Corp., 6.25%, 9/15/21     400,000     357,000  
Inmarsat Finance PLC (A) (B), 6.5%, 10/1/24     300,000     320,250  
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC (A), 3.36%, 9/20/21     150,000     151,313  
             
            1,267,063  
               
Utilities - 3.7%              
AES Corp., 5.5%, 4/15/25     200,000     209,250  
AmeriGas Partners L.P. / AmeriGas Finance Corp., 5.875%, 8/20/26     100,000     102,500  
Dynegy Inc., 7.625%, 11/1/24     150,000     145,500  
NRG Energy Inc., 6.25%, 7/15/22     300,000     307,875  
NRG Energy Inc., 6.25%, 5/1/24     200,000     202,000  
Talen Energy Supply LLC (A), 4.625%, 7/15/19     53,000     51,675  
             
            1,018,800  
             
               

Total Corporate Notes and Bonds

             

(Cost $23,796,265)

          24,647,867  
               
      Shares        
               
MUTUAL FUND - 1.5%              
iShares iBoxx $ High Yield Corporate Bond ETF     4,500     397,755  
             
               

Total Mutual Funds

             

(Cost $387,385)

          397,755  
               
SHORT-TERM INVESTMENTS - 8.6%              
State Street Institutional U.S. Government Money Market Fund, 0.88%, Premier Class     2,386,464     2,386,464  
             

Total Short-Term Investments

             

(Cost $2,386,464)

          2,386,464  
             
TOTAL INVESTMENTS - 99.3% (Cost $26,570,114**)           27,432,086  
NET OTHER ASSETS AND LIABILITIES - 0.7%           199,303  
             
TOTAL NET ASSETS - 100.0%         $ 27,631,389  
             

**   Aggregate cost for Federal tax purposes was $26,578,389.
(A)   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 buyers”.
(B)   Notes and bonds, issued by foreign entities, denominated in US dollars The aggregate of these securities is 124% of total net assets.
ETF   Exchange Traded Fund.
PIK   Payment in Kind.
PLC   Public Limited Company.

See accompanying Notes to Financial Statements.

18

Ultra Series Fund | June 30, 2017
 
 
 Diversified Income Fund Portfolio of Investments (unaudited)

      Shares     Value (Note 2)  
             
COMMON STOCKS - 59.3%              
               
Consumer Discretionary - 4.8%              
Carnival Corp.     71,500   $ 4,688,255  
Home Depot Inc./The     26,000     3,988,400  
McDonald’s Corp.     17,000     2,603,720  
Whirlpool Corp.     11,000     2,107,820  
             
            13,388,195  
               
Consumer Staples - 5.1%              
Diageo PLC, ADR     29,000     3,475,070  
Nestle S.A., ADR     45,000     3,924,000  
PepsiCo Inc.     26,400     3,048,936  
Procter & Gamble Co./The     43,000     3,747,450  
             
            14,195,456  
               
Energy - 4.1%              
Chevron Corp.     31,000     3,234,230  
Exxon Mobil Corp.     59,000     4,763,070  
Schlumberger Ltd.     51,000     3,357,840  
             
            11,355,140  
               
Financials - 10.2%              
BB&T Corp.     56,000     2,542,960  
Chubb Ltd.     19,000     2,762,220  
CME Group Inc.     36,000     4,508,640  
Northern Trust Corp.     24,500     2,381,645  
PNC Financial Services Group Inc./The     39,000     4,869,930  
Travelers Cos. Inc./The     30,000     3,795,900  
US Bancorp     107,000     5,555,440  
Wells Fargo & Co.     39,500     2,188,695  
             
            28,605,430  
               
Health Care - 8.2%              
Amgen Inc.     18,000     3,100,140  
Johnson & Johnson     43,000     5,688,470  
Medtronic PLC     38,500     3,416,875  
Merck & Co. Inc.     56,500     3,621,085  
Novartis AG, ADR     36,000     3,004,920  
Pfizer Inc.     121,500     4,081,185  
             
            22,912,675  
               
Industrials - 10.7%              
3M Co.     18,500     3,851,515  
Boeing Co./The     22,000     4,350,500  
Caterpillar Inc.     22,500     2,417,850  
Emerson Electric Co.     55,000     3,279,100  
General Electric Co.     147,000     3,970,470  
Union Pacific Corp.     23,000     2,504,930  
United Parcel Service Inc., Class B     42,500     4,700,075  
United Technologies Corp.     41,000     5,006,510  
             
            30,080,950  
               
Information Technology - 9.7%              
Accenture PLC, Class A     27,500     3,401,200  
Apple Inc.     18,500     2,664,370  
Automatic Data Processing Inc.     17,500     1,793,050  
Cisco Systems Inc.     149,500     4,679,350  
Microsoft Corp.     70,100     4,831,993  
TE Connectivity Ltd.     52,000     4,091,360  
Texas Instruments Inc.     37,000     2,846,410  
Xilinx Inc.     44,500     2,862,240  
             
            27,169,973  
               
Materials - 2.4%              
Monsanto Co.     19,000     2,248,840  
Praxair Inc.     33,800     4,480,190  
             
            6,729,030  
               
Telecommunication Service - 1.4%              
Verizon Communications Inc.     90,500     4,041,730  
             
               
Utilities - 2.7%              
Dominion Energy Inc.     26,500     2,030,695  
Duke Energy Corp.     28,545     2,386,076  
NextEra Energy Inc.     23,000     3,222,990  
             
            7,639,761  
             
               

Total Common Stocks

             

(Cost $115,595,584)

          166,118,340  
               
      Par Value        
               
               
ASSET BACKED SECURITIES - 0.9%              
ABSC Long Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (A), 8.008%, 9/21/30   $ 599,648     600,088  
American Express Credit Account Master Trust, Series 2014-3, Class A, 1.49%, 4/15/20     500,000     500,170  
CarMax Auto Owner Trust, Series 2017-1, Class A2, 1.54%, 2/18/20     400,000     399,951  
CNH Equipment Trust, Series 2014-A, Class A3, 0.84%, 5/15/19     7,234     7,233  
Porsche Innovative Lease Owner Trust, Series 2015-1, Class A4 (B), 1.43%, 5/21/21     321,000     320,932  
Santander Drive Auto Receivables Trust, Series 2013-5, Class C, 2.25%, 6/17/19     168,360     168,628  
Santander Drive Auto Receivables Trust, Series 2013-5, Class D, 2.73%, 10/15/19     175,000     176,254  
Santander Drive Auto Receivables Trust, Series 2013-A, Class C (B), 3.12%, 10/15/19     106,516     106,829  
Santander Drive Auto Receivables Trust, Series 2013-4, Class C, 3.25%, 1/15/20     161,150     161,565  
             
               

Total Asset Backed Securities

             

(Cost $2,461,001)

          2,441,650  

See accompanying Notes to Financial Statements.

19

Ultra Series Fund | June 30, 2017
 
 
 Diversified Income Fund Portfolio of Investments (unaudited) - continued

      Par Value     Value (Note 2)  
             
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.3%              
Fannie Mae REMICS, Series 2011-31, Class DB, 3.5%, 4/25/31   $ 350,000   $ 368,005  
Fannie Mae REMICS, Series 2011-36, Class QB, 4%, 5/25/31     481,000     517,410  
Fannie Mae REMICS, Series 2005-79, Class LT, 5.5%, 9/25/35     533,865     597,232  
Fannie Mae REMICS, Series 2011-101, Class NC, 2.5%, 4/25/40     787,870     792,548  
Fannie Mae REMICS, Series 2016-21, Class BA, 3%, 3/25/42     493,001     502,531  
Freddie Mac REMICS, Series 3825, Class CB, 3.5%, 3/15/26     400,000     420,446  
Freddie Mac REMICS, Series 4037, Class B, 3%, 4/15/27     450,000     456,292  
             
               

Total Collateralized Mortgage

          3,654,464  

Obligations (Cost $3,702,474)

             
               
COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.9%              
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW17, Class A1A (C), 5.65%, 6/11/50     104,423     104,613  
Fannie Mae-Aces, Series 2016-M2, Class X2, IO (C), 1205%, 1/25/23     7,752,559     372,743  
FREMF Mortgage Trust, Series 2011-K702, Class B (B) (C), 4.931%, 4/25/44     500,000     508,026  
FREMF Mortgage Trust, Series 2012-K708, Class B (B) (C), 3.883%, 2/25/45     700,000     715,900  
FREMF Mortgage Trust, Series 2011-K701, Class C (B) (C), 4.395%, 7/25/48     750,000     753,470  
             

Total Commercial Mortgage-Backed

             

Securities (Cost $2,522,789)

          2,454,752  
               
CORPORATE NOTES AND BONDS - 13.6%              
               
Consumer Discretionary - 2.4%              
Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 4.464%, 7/23/22     600,000     639,280  
ERAC USA Finance LLC (B), 6.7%, 6/1/34     875,000     1,086,672  
Ford Motor Credit Co. LLC, MTN, 2.943%, 1/8/19     500,000     506,426  
GameStop Corp. (B), 6.75%, 3/15/21     200,000     207,800  
General Motors Financial Co Inc., 3.2%, 7/6/21     650,000     657,306  
GLP Capital LP / GLP Financing II Inc., 4.875%, 11/1/20     450,000     479,813  
Lennar Corp., 4.75%, 4/1/21     350,000     371,000  
Lowe’s Cos. Inc., 2.5%, 4/15/26     400,000     384,489  
Marriott International Inc., 3.125%, 6/15/26     400,000     392,413  
Newell Brands Inc., 5.5%, 4/1/46     450,000     541,816  
Omnicom Group Inc., 3.6%, 4/15/26     650,000     653,999  
Priceline Group Inc./The, 3.6%, 6/1/26     500,000     506,132  
Walgreens Boots Alliance Inc., 3.45%, 6/1/26     350,000     349,260  
             
            6,776,406  
               
Consumer Staples - 0.9%              
Anheuser-Busch InBev Finance Inc., 4.9%, 2/1/46     500,000     564,321  
Bunge Ltd Finance Corp., 3.25%, 8/15/26     600,000     573,292  
CVS Health Corp., 5.125%, 7/20/45     400,000     458,558  
Kraft Heinz Foods Co., 4.375%, 6/1/46     500,000     489,667  
Tyson Foods Inc., 3.55%, 6/2/27     300,000     303,500  
             
            2,389,338  
               
Energy - 1.6%              
Antero Resources Corp., 5.625%, 6/1/23     200,000     202,500  
Energy Transfer Partners L.P., 5.2%, 2/1/22     600,000     645,110  
Enterprise Products Operating LLC., 3.75%, 2/15/25     400,000     411,921  
Exxon Mobil Corp., 4.114%, 3/1/46     500,000     527,451  
Marathon Oil Corp., 2.7%, 6/1/20     500,000     495,587  
Phillips 66, 4.65%, 11/15/34     500,000     526,282  
Schlumberger Holdings Corp. (B), 4%, 12/21/25     400,000     419,317  
Valero Energy Corp., 6.625%, 6/15/37     500,000     617,550  
Williams Partners L.P. / ACMP Finance Corp., 4.875%, 5/15/23     750,000     778,215  
             
            4,623,933  
               
Financials - 3.3%              
Air Lease Corp., 3.75%, 2/1/22     500,000     521,767  
Air Lease Corp., 3.625%, 4/1/27     500,000     500,047  
Bank of America Corp., MTN, 2.503%, 10/21/22     400,000     394,887  
Bank of Montreal, MTN (D), 1.9%, 8/27/21     500,000     490,667  
Berkshire Hathaway Inc., 3.125%, 3/15/26     250,000     252,812  
Brookfield Finance Inc. (D), 4.25%, 6/2/26     300,000     308,123  
CBOE Holdings Inc., 3.65%, 1/12/27     400,000     403,442  
Goldman Sachs Group Inc./The, 5.75%, 1/24/22     975,000     1,097,727  
Huntington National Bank/The, 2.2%, 4/1/19     1,200,000     1,201,385  
JPMorgan Chase & Co., 2.972%, 1/15/23     500,000     505,947  
JPMorgan Chase & Co., 2.95%, 10/1/26     650,000     627,316  
Morgan Stanley, MTN, 3.875%, 1/27/26     200,000     205,896  
Morgan Stanley, 4.3%, 1/27/45     500,000     517,059  
Nasdaq Inc., 3.85%, 6/30/26     75,000     76,100  
Old Republic International Corp., 3.875%, 8/26/26     450,000     449,780  
Raymond James Financial Inc., 3.625%, 9/15/26     200,000     200,182  
Regions Financial Corp., 3.2%, 2/8/21     500,000     511,205  

See accompanying Notes to Financial Statements.

20

Ultra Series Fund | June 30, 2017
 
 
 Diversified Income Fund Portfolio of Investments (unaudited) - continued

      Par Value     Value (Note 2)  
             
CORPORATE NOTES AND BONDS - continued              
Financials - continued              
Synchrony Financial, 3.75%, 8/15/21   $ 600,000   $ 616,275  
Synchrony Financial, 3.7%, 8/4/26     400,000     386,020  
             
            9,266,637  
               
Health Care - 1.0%              
AbbVie Inc., 4.45%, 5/14/46     400,000     412,879  
Actavis Funding SCS (D), 4.75%, 3/15/45     300,000     323,840  
HCA Inc., 3.75%, 3/15/19     300,000     306,000  
Shire Acquisitions Investments Ireland DAC (D), 1.9%, 9/23/19     750,000     746,518  
UnitedHealth Group Inc., 2.875%, 3/15/23     1,000,000     1,015,354  
             
            2,804,591  
               
Industrials - 0.8%              
Fortive Corp., 2.35%, 6/15/21     150,000     149,132  
International Lease Finance Corp., 8.875%, 9/1/17     450,000     454,926  
Masco Corp., 4.375%, 4/1/26     400,000     426,680  
Norfolk Southern Corp., 5.59%, 5/17/25     957,000     1,089,540  
             
            2,120,278  
               
Information Technology - 2.1%              
Analog Devices Inc., 5.3%, 12/15/45     350,000     400,890  
Apple Inc., 2.25%, 2/23/21     500,000     503,314  
Autodesk Inc., 4.375%, 6/15/25     500,000     527,466  
Broadridge Financial Solutions Inc., 3.4%, 6/27/26     650,000     639,964  
CA Inc., 4.7%, 3/15/27     750,000     765,313  
Cisco Systems Inc., 2.2%, 2/28/21     700,000     703,783  
Dell International LLC / EMC Corp. (B), 8.35%, 7/15/46     175,000     225,852  
Fidelity National Information Services Inc., 3%, 8/15/26     450,000     435,742  
Intel Corp., 4.9%, 7/29/45     400,000     464,749  
NVIDIA Corp., 2.2%, 9/16/21     200,000     197,770  
Oracle Corp., 4%, 7/15/46     500,000     504,947  
Thomson Reuters Corp. (D), 4.3%, 11/23/23     600,000     643,348  
             
            6,013,138  
               
Real Estate - 0.6%              
Brixmor Operating Partnership LP, 3.65%, 6/15/24     500,000     491,982  
Iron Mountain Inc. (B), 4.375%, 6/1/21     300,000     311,250  
Welltower Inc., 4.5%, 1/15/24     725,000     773,729  
             
            1,576,961  
               
Telecommunication Services - 0.9%              
AT&T Inc., 4.75%, 5/15/46     500,000     490,302  
Harris Corp., 5.054%, 4/27/45     500,000     561,171  
Verizon Communications Inc., 5.15%, 9/15/23     1,260,000     1,399,592  
             
            2,451,065  
             
Total Corporate Notes and Bonds              
(Cost $36,451,829)           38,022,347  
               
LONG TERM MUNICIPAL BONDS - 2.8%              
General - 2.8%              
County of Pasco FL Water & Sewer Revenue, Series B, 6.76%, 10/1/39     1,000,000     1,104,900  
Los Angeles Department of Water & Power Revenue, 6.166%, 7/1/40     1,000,000     1,108,840  
Metropolitan Transportation Authority Revenue, 6.548%, 11/15/31     1,000,000     1,301,950  
New York City Transitional Finance Authority Future Tax Secured Revenue, 6.267%, 8/1/39     500,000     541,355  
Northside Independent School District, General Obligation, Series B, (PSF-GTD), 5.741%, 8/15/35     850,000     914,243  
Oklahoma Development Finance Authority Revenue, 3.75%, 6/1/36     375,000     360,945  
Rancho Water District Financing Authority Revenue, Series A, 6.337%, 8/1/40     800,000     876,448  
State of Iowa Revenue, 6.75%, 6/1/34     500,000     543,380  
University of Massachusetts Building Authority Revenue, 6.573%, 5/1/39     1,000,000     1,080,300  
             
            7,832,361  
             
Total Long Term Municipal Bonds              
(Cost $7,780,914)           7,832,361  
               
MORTGAGE BACKED SECURITIES - 10.0%              
Fannie Mae - 6.8%              
3%, 5/1/27 Pool # AL1715     558,187     574,485  
3.5%, 5/1/28 Pool # AL3678     195,254     204,104  
3.5%, 8/1/29 Pool # MA2003     437,512     455,539  
3%, 9/1/30 Pool # 890696     719,588     739,065  
3%, 12/1/30 Pool # AL8924     504,958     518,977  
2.5%, 5/1/31 Pool # AS7117     516,452     519,924  
7%, 11/1/31 Pool # 607515     28,563     32,031  
3.5%, 12/1/31 Pool # MA0919     197,019     205,768  
3%, 2/1/32 Pool # AL9867     821,166     843,393  
7%, 5/1/32 Pool # 644591     5,546     5,992  
5.5%, 10/1/33 Pool # 254904     170,046     190,465  
5.5%, 11/1/33 Pool # 555880     438,176     490,608  
5%, 5/1/34 Pool # 780890     577,612     634,235  
7%, 7/1/34 Pool # 792636     18,182     18,820  
4%, 2/1/35 Pool # MA2177     823,861     874,211  
5%, 9/1/35 Pool # 820347     280,953     312,921  
5%, 9/1/35 Pool # 835699     232,415     258,976  
5%, 12/1/35 Pool # 850561     82,077     89,900  

See accompanying Notes to Financial Statements.

21

Ultra Series Fund | June 30, 2017
 
 
 Diversified Income Fund Portfolio of Investments (unaudited) - continued

      Par Value     Value (Note 2)  
             
MORTGAGE BACKED SECURITIES- continued              
               
Fannie Mae- continued              
5.5%, 9/1/36 Pool # 831820   $ 481,160   $ 548,318  
6%, 9/1/36 Pool # 831741     304,403     342,247  
5.5%, 10/1/36 Pool # 901723     197,501     220,651  
5.5%, 12/1/36 Pool # 903059     397,579     447,773  
4%, 1/1/41 Pool # AB2080     726,857     769,868  
4.5%, 7/1/41 Pool # AB3274     210,415     227,797  
5.5%, 7/1/41 Pool # AL6588     814,612     913,044  
4%, 9/1/41 Pool # AJ1406     539,022     568,500  
4%, 10/1/41 Pool # AJ4046     667,701     709,007  
3.5%, 6/1/42 Pool # AO4134     538,189     555,380  
3.5%, 6/1/42 Pool # AO4136     667,175     688,377  
3.5%, 8/1/42 Pool # AP2133     661,100     681,949  
4%, 10/1/42 Pool # AP7363     568,219     599,166  
3%, 2/1/43 Pool # AB8486     1,046,017     1,050,450  
3%, 2/1/43 Pool # AL3072     804,633     809,290  
3.5%, 3/1/43 Pool # AT0310     542,306     559,461  
4%, 1/1/45 Pool # AS4257     216,913     229,165  
4.5%, 2/1/45 Pool # MA2193     665,805     715,023  
3.5%, 4/1/45 Pool # MA2229     552,980     568,297  
3.5%, 11/1/45 Pool # BA4907     660,182     678,469  
3.5%, 12/1/45 Pool # AS6309     137,812     141,629  
             
            18,993,275  
               
Freddie Mac - 3.2%              
4.5%, 2/1/25 Pool # J11722     144,652     152,861  
4.5%, 5/1/25 Pool # J12247     124,828     132,653  
8%, 6/1/30 Pool # C01005     11,595     13,793  
2.5%, 3/1/31 Pool # G18590     286,824     288,672  
6.5%, 1/1/32 Pool # C62333     83,296     92,859  
5%, 10/1/39 Pool # G60465     1,307,594     1,429,899  
3.5%, 11/1/40 Pool # G06168     336,491     347,283  
4.5%, 9/1/41 Pool # Q03516     546,991     588,078  
4%, 10/1/41 Pool # Q04092     777,986     824,131  
3%, 9/1/42 Pool # C04233     1,209,671     1,214,173  
3%, 4/1/43 Pool # V80025     853,775     857,174  
3%, 4/1/43 Pool # V80026     834,620     837,940  
3.5%, 8/1/45 Pool # Q35614     838,728     863,578  
3%, 10/1/46 Pool # G60722     624,142     624,388  
4%, 3/1/47 Pool # Q46801     791,600     834,048  
             
            9,101,530  
               
Ginnie Mae - 0.0%              
6.5%, 4/20/31 Pool # 3068     34,717     40,827  
             

Total Mortgage Backed Securities

             

(Cost $27,872,175)

          28,135,632  
               
               
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 8.8%              
Federal Home Loan Bank - 0.3%              
2.000%, 6/1/23 (C)     500,000     499,311  
1.750%, 12/21/23 (C)     350,000     349,520  
             
            848,831  
               
U.S. Treasury Bonds - 2.4%              
6.625%, 2/15/27     2,270,000     3,121,781  
3.000%, 5/15/42     1,000,000     1,035,586  
2.500%, 2/15/45     1,250,000     1,166,553  
2.500%, 5/15/46     500,000     465,176  
2.250%, 8/15/46     1,000,000     880,391  
             
            6,669,487  
               
U.S. Treasury Notes - 6.1%              
3.875%, 5/15/18     1,000,000     1,022,266  
2.750%, 2/15/19     1,300,000     1,328,946  
3.125%, 5/15/19     2,000,000     2,064,532  
3.625%, 8/15/19     1,250,000     1,307,666  
3.375%, 11/15/19     1,000,000     1,044,805  
2.000%, 7/31/20     1,000,000     1,012,383  
2.625%, 11/15/20     5,800,000     5,986,232  
2.000%, 2/15/22     1,750,000     1,763,125  
1.750%, 5/15/22     1,750,000     1,740,429  
             
            17,270,384  
             
               
Total U.S. Government and Agency              
Obligations (Cost $23,963,272)           24,788,702  
             
      Shares        
               
SHORT-TERM INVESTMENTS - 2.0%              
State Street Institutional U.S. Government Money Market Fund, 0.88%, Premier Class     5,489,553     5,489,553  
             
               

Total Short-Term Investments

             

(Cost $5,489,553)

          5,489,553  
             
               
TOTAL INVESTMENTS - 99.6% (Cost $225,839,591**)           278,937,801  
NET OTHER ASSETS AND LIABILITIES - 0.4%           1,031,161  
             
TOTAL NET ASSETS - 100.0%         $ 279,968,962  
             

**   Aggregate cost for Federal tax purposes was $226,603,412.
(A)   Stepped rate security. Rate shown is as of June 30, 2017.
(B)   Security sold within terms of a private placement memorandum exempt from registration under rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “qualified institutional investors”.
(C)   Floating rate or variable rate note. Rate shown is as of June 30, 2017.
(D)   Notes and bonds, issued by foreign entities, denominated in U.S. dollars The aggregate of these securities is 0.9% of total net assets.

ADR   American Depositary Receipt
MTN   Medium Term Note
PLC   Public Limited Company
PSF-    
GTD   Permanent School Fund Guaranteed.

See accompanying Notes to Financial Statements.

22

Ultra Series Fund | June 30, 2017
 
 
 Large Cap Value Fund Portfolio of Investments (unaudited)

      Shares     Value (Note 2)  
             
COMMON STOCKS - 98.2%              
               
Consumer Discretionary - 7.7%              
General Motors Co.     303,000   $ 10,583,790  
Lowe’s Cos. Inc.     123,000     9,536,190  
Whirlpool Corp.     30,500     5,844,410  
             
            25,964,390  
               
Consumer Staples - 1.2%              
Nestle S.A., ADR     45,000     3,924,000  
             
               
Energy - 10.5%              
Baker Hughes Inc.     213,000     11,610,630  
Marathon Petroleum Corp.     232,000     12,140,560  
National Oilwell Varco Inc.     357,000     11,759,580  
             
            35,510,770  
               
Financials - 25.8%              
Capital Markets - 4.1%              
Bank of New York Mellon Corp./The     269,000     13,724,380  
             
               
Commercial Banks - 13.4%              
Bank of America Corp.     663,000     16,084,380  
JPMorgan Chase & Co.     184,000     16,817,600  
US Bancorp     236,000     12,253,120  
             
            45,155,100  
               
Diversified Financial Services - 2.2%              
Berkshire Hathaway Inc., Class B *     44,500     7,536,965  
             
               
Insurance - 6.1%              
American International Group Inc.     183,002     11,441,285  
Hartford Financial Services Group Inc./The     175,000     9,199,750  
             
            20,641,035  
             
            87,057,480  
               
Health Care - 8.3%              
Baxter International Inc.     227,500     13,772,850  
Humana Inc.     60,000     14,437,200  
             
            28,210,050  
               
Industrials - 12.6%              
Delta Air Lines Inc.     191,000     10,264,340  
FedEx Corp.     76,500     16,625,745  
General Dynamics Corp.     51,500     10,202,150  
Republic Services Inc.     85,000     5,417,050  
             
            42,509,285  
               
Information Technology - 10.4%              
Amdocs Ltd.     160,000     10,313,600  
Microsoft Corp.     156,000     10,753,080  
TE Connectivity Ltd.     179,000     14,083,720  
             
            35,150,400  
               
Materials - 8.6%              
Dow Chemical Co./The     265,000     16,713,550  
Nucor Corp.     215,000     12,442,050  
             
            29,155,600  
               
Real Estate - 4.3%              
Weyerhaeuser Co.     433,000     14,505,500  
             
               
Telecommunication Service - 4.4%              
T-Mobile US Inc.*     243,000     14,730,660  
             
               
Utilities - 4.4%              
NRG Energy Inc.     873,000     15,033,060  
             
               

Total Common Stocks

             

(Cost $282,835,218)

          331,751,195  
               
SHORT-TERM INVESTMENTS - 2.8%              
State Street Institutional U.S. Government Money Market Fund, 0.88%, Premier Class     9,432,944     9,432,944  
             
               

Total Short-Term Investments

             

(Cost $9,432,944)

          9,432,944  
             
TOTAL INVESTMENTS - 101.0% (Cost $292,268,162**)           341,184,139  
               
NET OTHER ASSETS AND LIABILITIES - (1.0%)           (3,456,139 )
             
TOTAL NET ASSETS - 100.0%         $ 337,728,000  
             

*   Non-income producing.
**   Aggregate cost for Federal tax purposes was $292,268,162.
ADR   American Depositary Receipt.

See accompanying Notes to Financial Statements.

23

Ultra Series Fund | June 30, 2017
 
 
 Large Cap Growth Fund Portfolio of Investments (unaudited)

      Shares     Value (Note 2)  
             
COMMON STOCKS - 97.2%              
               
Consumer Discretionary - 17.8%              
Amazon.com Inc. *     2,823   $ 2,732,664  
CBS Corp., Class B     77,811     4,962,786  
Dollar General Corp.     71,242     5,135,836  
Home Depot Inc./The     33,642     5,160,683  
Liberty Global PLC, Series C *     130,529     4,069,894  
McDonald’s Corp.     29,601     4,533,689  
Omnicom Group Inc.     46,197     3,829,731  
Starbucks Corp.     67,782     3,952,368  
TJX Cos Inc./The     59,332     4,281,990  
Walt Disney Co./The     59,319     6,302,644  
             
            44,962,285  
               
Consumer Staples - 9.2%              
Costco Wholesale Corp.     21,615     3,456,887  
CVS Health Corp.     73,341     5,901,017  
Diageo PLC, ADR     30,281     3,628,572  
JM Smucker Co./The     40,173     4,753,671  
PepsiCo Inc.     48,805     5,636,490  
             
            23,376,637  
               
Energy - 1.3%              
Schlumberger Ltd.     51,169     3,368,967  
             
               
Financials - 7.3%              
Berkshire Hathaway Inc., Class B *     30,894     5,232,517  
Brookfield Asset Management Inc., Class A     138,890     5,445,877  
Charles Schwab Corp./The     81,930     3,519,713  
S&P Global Inc.     29,107     4,249,331  
Trisura Group Ltd. *     817     13,643  
             
            18,461,081  
               
Health Care - 22.0%              
Allergan PLC     23,599     5,736,681  
Amgen Inc.     35,107     6,046,479  
Biogen Inc. *     21,251     5,766,671  
Celgene Corp.*     35,602     4,623,632  
Danaher Corp.     52,766     4,452,923  
Express Scripts Holding Co.*     68,415     4,367,613  
Gilead Sciences Inc.     110,157     7,796,912  
HCA Holdings Inc.*     45,653     3,980,942  
Johnson & Johnson     38,034     5,031,518  
Thermo Fisher Scientific Inc.     29,530     5,152,099  
Varian Medical Systems Inc.*     27,707     2,859,085  
             
            55,814,555  
               
Industrials - 6.5%              
3M Co.     19,079     3,972,057  
Boeing Co./The     26,395     5,219,611  
United Parcel Service Inc., Class B     38,518     4,259,706  
WW Grainger Inc.     16,247     2,933,071  
             
            16,384,445  
               
Information Technology - 31.2%              
               
Communications Equipment - 1.8%              
QUALCOMM Inc.     80,330     4,435,822  
             
               
Computers & Peripherals - 6.3%              
Apple Inc.     110,746     15,949,639  
             
               
Electronic Equipment, Instruments & Components - 2.1%              
TE Connectivity Ltd.     66,265     5,213,730  
             
               
Internet Software & Services - 6.3%              
Alphabet Inc., Class C *     17,597     15,990,922  
             
               
IT Services - 6.9%              
Accenture PLC, Class A     47,789     5,910,544  
PayPal Holdings Inc.*     62,872     3,374,340  
Visa Inc., Class A     87,230     8,180,429  
             
            17,465,313  
Software - 7.8%              
Microsoft Corp.     145,047     9,998,090  
Oracle Corp.     195,428     9,798,760  
             
            19,796,850  
             
            78,852,276  
Real Estate - 1.9%              
American Tower Corp.     36,490     4,828,357  
             
               

Total Common Stocks

             

(Cost $146,219,482)

          246,048,603  
               
SHORT-TERM INVESTMENTS - 2.8%              
State Street Institutional U.S. Government Money Market Fund, 0.88%, Premier Class     7,136,340     7,136,340  
             
               

Total Short-Term Investments

             

(Cost $7,136,340)

          7,136,340  
             
TOTAL INVESTMENTS - 100.0%(Cost $153,355,822**)           253,184,943  
NET OTHER ASSETS AND LIABILITIES - 0.0%           (84,206 )
             
TOTAL NET ASSETS - 100.0%         $ 253,100,737  
             

*   Non-income producing.
**   Aggregate cost for Federal tax purposes was $153,702,767.
ADR   American Depositary Receipt.
PLC   Public Limited Company.

See accompanying Notes to Financial Statements.

24

Ultra Series Fund | June 30, 2017
 
 
 Mid Cap Fund Portfolio of Investments (unaudited)

      Shares     Value (Note 2)  
             
COMMON STOCKS - 90.1%              
               
Consumer Discretionary - 22.8%              
CarMax Inc. *     115,622   $ 7,291,123  
Dollar General Corp.     64,033     4,616,139  
Liberty Broadband Corp., Class C *     106,259     9,217,968  
Liberty Global PLC, Series C *     232,664     7,254,464  
Lithia Motors Inc., Class A     32,039     3,019,035  
Omnicom Group Inc.     86,919     7,205,585  
Ross Stores Inc.     136,993     7,908,606  
             
            46,512,920  
               
Consumer Staples - 1.2%              
Brown-Forman Corp., Class B     51,387     2,497,408  
             
               
Energy - 1.0%              
Oceaneering International Inc.     88,332     2,017,503  
             
               
Financials - 21.1%              
Arch Capital Group Ltd.*     72,549     6,768,096  
Brookfield Asset Management Inc., Class A     216,704     8,496,964  
Brown & Brown Inc.     169,807     7,313,587  
Glacier Bancorp Inc.     127,183     4,656,170  
Markel Corp. *     9,666     9,432,663  
Trisura Group Ltd.*     1,274     21,275  
WR Berkley Corp.     94,337     6,525,290  
             
            43,214,045  
               
Health Care - 9.8%              
DaVita Inc. *     110,085     7,129,105  
Laboratory Corp of America Holdings *     47,564     7,331,515  
Zoetis Inc.     87,941     5,485,759  
             
            19,946,379  
               
Industrials - 16.0%              
Copart Inc. *     268,931     8,549,316  
Expeditors International of Washington Inc.     133,883     7,561,712  
Fastenal Co.     104,950     4,568,474  
IHS Markit Ltd.*     153,961     6,780,442  
Wabtec Corp.     58,235     5,328,503  
             
            32,788,447  
               
Information Technology - 6.7%              
Amphenol Corp., Class A     66,999   $ 4,945,866  
CDW Corp.     139,467     8,720,872  
             
            13,666,738  
               
Materials - 6.8%              
Axalta Coating Systems Ltd.*     229,386     7,349,527  
Crown Holdings Inc.*     111,495     6,651,792  
             
            14,001,319  
               
Real Estate - 4.7%              
American Tower Corp.     35,629     4,714,429  
Crown Castle International Corp.     48,600     4,868,748  
             
            9,583,177  
             

Total Common Stocks

             

(Cost $110,381,444)

          184,227,936  
               
SHORT-TERM INVESTMENTS - 9.9%              
State Street Institutional U.S. Government Money Market Fund, 0.88%, Premier Class     20,210,276     20,210,276  
             

Total Short-Term Investments

             

(Cost $20,210,276)

          20,210,276  
             
TOTAL INVESTMENTS - 100.0%(Cost $130,591,720**)           204,438,212  
NET OTHER ASSETS AND LIABILITIES - (0.0%)           (17,442 )
             
TOTAL NET ASSETS - 100.0%         $ 204,420,770  
             

*   Non-income producing.
**   Aggregate cost for Federal tax purposes was $130,762,058.
PLC   Public Limited Company.

See accompanying Notes to Financial Statements.

25

Ultra Series Fund | June 30, 2017
 
 
 International Stock Fund Portfolio of Investments (unaudited)
      Shares     Value (Note 2)  
             
COMMON STOCKS - 96.8%              
               
Australia - 1.0%              
Caltex Australia Ltd.     16,842   $ 409,184  
             
               
Belgium - 2.6%              
Anheuser-Busch InBev S.A.     6,760     746,691  
KBC Group N.V.     4,140     314,020  
             
            1,060,711  
               
Brazil - 1.0%              
BB Seguridade Participacoes S.A.     47,900     414,240  
             
               
Canada - 4.3%              
Canadian National Railway Co.     7,000     567,967  
National Bank of Canada     12,300     517,211  
Suncor Energy Inc.     23,100     674,938  
             
            1,760,116  
               
Denmark - 2.4%              
AP Moeller - Maersk AS, Class B     230     462,448  
Carlsberg AS, Class B     4,780     510,647  
             
            973,095  
               
Finland - 1.5%              
Sampo Oyj, Class A     11,921     610,930  
             
               
France - 10.7%              
Air Liquide S.A.     5,796     716,273  
Capgemini SE     8,535     882,022  
Cie Generale des Etablissements Michelin     5,633     748,886  
Valeo S.A.     16,174     1,089,730  
Vinci S.A.     11,054     943,490  
             
            4,380,401  
               
Germany - 3.5%              
Deutsche Post AG     9,409     352,700  
SAP SE     10,283     1,074,055  
             
            1,426,755  
               
Ireland - 3.5%              
Medtronic PLC     10,010     888,387  
Ryanair Holdings PLC, ADR *     5,080     546,659  
             
            1,435,046  
               
Italy - 1.6%              
UniCredit SpA *     33,990     634,734  
             
               
Japan - 17.4%              
ABC-Mart Inc.     6,600     387,873  
Daiwa House Industry Co. Ltd.     35,890     1,224,679  
Don Quijote Holdings Co. Ltd.     23,200     878,702  
Hoshizaki Corp.     3,400     307,126  
Isuzu Motors Ltd.     48,300     595,188  
Kao Corp.     7,230     428,883  
KDDI Corp.     19,900     526,361  
Makita Corp.     16,300     602,147  
Seven & I Holdings Co. Ltd.     9,524     391,883  
Sony Corp.     21,600     823,095  
Sumitomo Mitsui Financial Group Inc.     17,500     681,329  
United Arrows Ltd.     8,400     272,221  
             
            7,119,487  
               
Jersey - 4.7%              
Shire PLC     19,648     1,084,527  
Wolseley PLC     13,679     839,678  
             
            1,924,205  
               
Luxembourg - 1.3%              
RTL Group S.A.     3,377     254,989  
Tenaris S.A.     18,394     286,769  
             
            541,758  
               
Netherlands - 3.5%              
Airbus SE     4,136     340,123  
Koninklijke KPN N.V.     103,546     331,260  
Wolters Kluwer N.V.     18,452     781,143  
             
            1,452,526  
               
Norway - 2.4%              
Statoil ASA     25,967     430,464  
Telenor ASA     33,482     555,443  
             
            985,907  
               
Philippines - 0.0%              
Alliance Global Group Inc.     37,000     10,485  
             
               
Singapore - 1.5%              
DBS Group Holdings Ltd.     41,600     626,682  
             
               
Spain - 1.0%              
Red Electrica Corp. S.A.     18,717     391,103  
             
               
Sweden - 3.9%              
Assa Abloy AB, Class B     38,841     853,380  
Nordea Bank AB     59,201     753,302  
             
            1,606,682  
               
Switzerland - 4.1%              
Julius Baer Group Ltd.*     7,686     404,379  
Novartis AG     15,234     1,267,779  
             
            1,672,158  
               
Taiwan - 1.4%              
Taiwan Semiconductor Manufacturing Co. Ltd., ADR     16,500     576,840  
             
               
Turkey - 0.7%              
Turkiye Garanti Bankasi AS     107,014     297,764  
             

See accompanying Notes to Financial Statements.

26

Ultra Series Fund | June 30, 2017
 
 
 International Stock Fund Portfolio of Investments (unaudited) - continued

      Shares     Value (Note 2)  
             
COMMON STOCKS - continued              
               
United Kingdom - 22.8%              
Aon PLC     6,800   $ 904,060  
BHP Billiton PLC     53,696     822,451  
British American Tobacco PLC     18,474     1,259,376  
BT Group PLC     89,716     344,417  
ConvaTec Group PLC * (A)     109,073     453,462  
Diageo PLC     20,471     604,838  
Howden Joinery Group PLC     54,821     290,676  
Informa PLC     47,817     416,648  
Provident Financial PLC     5,727     181,481  
Prudential PLC     60,707     1,392,384  
RELX PLC     38,876     840,525  
Royal Dutch Shell PLC, Class A     37,854     1,003,315  
Unilever PLC     15,424     834,697  
             
            9,348,330  
             
Total Common Stocks              
(Cost $36,229,337)           39,659,139  
               
SHORT-TERM INVESTMENTS - 3.1%              
               
United States - 3.1%              
State Street Institutional U.S. Government Money Market Fund, 0.88%, Premier Class     1,274,357     1,274,357  
             
Total Short-Term Investments              
(Cost $1,274,357)           1,274,357  
             
               
TOTAL INVESTMENTS - 99.9% (Cost $37,503,694**)           40,933,496  
NET OTHER ASSETS AND LIABILITIES - 0.1%           31,975  
             
TOTAL NET ASSETS - 100.0%         $ 40,965,471  
             

*   Non-income producing.
**   Aggregate cost for Federal tax purposes was $37,608,546.
(A)   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.
ADR   American Depositary Receipt.
PLC   Public Limited Company.

OTHER INFORMATION:      
Sector Concentration   % of Net Assets  
Consumer Discretionary   17.3%  
Consumer Staples   11.7%  
Energy   6.8%  
Financials   18.9%  
Health Care   9.0%  
Industrials   14.9%  
Information Technology   6.2%  
Materials   3.7%  
Real Estate   3.0%  
Telecommunication Services   4.3%  
Utilities   1.0%  
Money Market Funds   3.1%  
Net Other Assets and Liabilities   0.1%  

See accompanying Notes to Financial Statements.

27

Ultra Series Fund | June 30, 2017
 
 
 Statements of Assets and Liabilities as of June 30, 2017 (unaudited)

    Conservative
Allocation
Fund
  Moderate
Allocation
Fund
  Aggressive
Allocation
Fund
                   
                         
Assets:                        
Investments in securities, at cost                        

Unaffiliated issuers

  $ 72,903,071     $ 119,172,812     $ 40,911,518  

Affiliated issuers1

    63,403,939       103,429,274       32,462,366  
Net unrealized appreciation                        

Unaffiliated issuers

    3,051,726       10,405,025       5,050,476  

Affiliated issuers1

    5,020,052       15,891,950       6,855,121  
                   

Total investments at value

    144,378,788       248,899,061       85,279,481  
Cash                  
Foreign currency (cost of $34,679)(Note 2)                  
Receivables:                        

Investments sold

                 

Fund shares sold

    213,707       174,108       70,158  

Dividends

    198,250       303,911       85,890  

Due from Adviser

    11,917       20,411       7,018  
                   

Total assets

    144,802,662       249,397,491       85,442,547  
                   
Liabilities:                        
Payables:                        

Investments purchased

    248,444       1,615,317       500,317  

Fund shares repurchased

    7,074       106,143       36,576  

Management fees

    35,754       61,232       21,053  

Audit and trustees fees

    7,512       13,058       4,602  

Distribution fees – Class II

    6,296       5,809       425  

Accrued expenses and other payables

                 
Options written, at value (premium received $13,005) (Note 6)                  
                   

Total liabilities

    305,080       1,801,559       562,973  
                   
Net assets applicable to outstanding capital stock   $ 144,497,582     $ 247,595,932     $ 84,879,574  
                   
Net assets consist of:                        

Paid-in capital in excess of par

  $ 133,779,259     $ 215,516,683     $ 70,422,943  

Accumulated undistributed net investment income (loss)

    1,353,807       2,035,278       627,212  

Accumulated net realized gain (loss) on investments sold and foreign currency related transactions

    1,292,738       3,746,996       1,923,822  

Net unrealized appreciation of investments (including appreciation (depreciation) on foreign currency related transactions)

    8,071,778       26,296,975       11,905,597  
                   
Net Assets   $ 144,497,582     $ 247,595,932     $ 84,879,574  
                   
Class I Shares:                        

Net Assets

  $ 114,130,180     $ 219,565,881     $ 82,869,422  

Shares of beneficial interest outstanding

    11,155,601       20,149,761       8,201,780  

Net Asset Value and redemption price per share

  $ 10.23     $ 10.90     $ 10.10  
                   
Class II Shares:                        

Net Assets

    30,367,402       28,030,051       2,010,152  

Shares of beneficial interest outstanding

    2,972,107       2,578,456       199,771  

Net Asset Value and redemption price per share

  $ 10.22     $ 10.87     $ 10.06  
                   

1 See Note 11 for information on affiliated issuers.

See accompanying Notes to Financial Statements.
 
 
28

Ultra Series Fund | June 30, 2017
 
 
 Statements of Assets and Liabilities as of June 30, 2017 (unaudited)

Core
Bond
Fund
  High
Income
Fund
  Diversified
Income
Fund
  Large Cap
Value
Fund
  Large Cap
Growth
Fund
  Mid Cap
Fund
  International
Stock
Fund
                                       
                                                     
$ 167,792,797     $ 26,570,114     $ 225,839,591     $ 292,268,162     $ 153,355,822     $ 130,591,720     $ 37,503,694  
                                       
                                                     
  5,534,968       861,972       53,098,210       48,915,977       99,829,121       73,846,492       3,429,802  
                                       
                                       
  173,327,765       27,432,086       278,937,801       341,184,139       253,184,943       204,438,212       40,933,496  
  852,639                         16,528       25,788        
                                      34,565  
                                                     
              1,125,592       11,666,655                   474  
  41,368       4,959       22,319       58,639       2,914       8,384       1,655  
  1,281,357       345,981       997,788       519,641       140,681       170,086       234,297  
                                       
                                       
  175,503,129       27,783,026       281,083,500       353,429,074       253,345,066       204,642,470       41,204,487  
                                       
        121,736       827,918       15,463,326                   192,241  
  3,059       10,134       102,045       51,850       59,361       57,602       2,646  
  79,865       17,186       161,680       166,991       167,156       151,100       39,283  
  9,125       1,375       14,331       17,772       12,823       10,806       2,018  
  7,937       1,206       8,564       1,135       4,989       2,192       2,828  
  17,087                                      
  26,875                                      
                                       
  143,948       151,637       1,114,538       15,701,074       244,329       221,700       239,016  
                                       
$ 175,359,181     $ 27,631,389     $ 279,968,962     $ 337,728,000     $ 253,100,737     $ 204,420,770     $ 40,965,471  
                                       
$ 170,402,066     $ 32,439,037     $ 218,090,433     $ 272,602,034     $ 142,086,511     $ 121,976,633     $ 46,446,310  
  2,255,814       643,846       3,032,808       2,255,265       996,876       (120,739 )     399,714  
  (2,819,797 )     (6,313,466 )     5,747,511       13,954,724       10,188,229       8,718,384       (9,297,281 )
  5,521,098       861,972       53,098,210       48,915,977       99,829,121       73,846,492       3,416,728  
                                       
$ 175,359,181     $ 27,631,389     $ 279,968,962     $ 337,728,000     $ 253,100,737     $ 204,420,770     $ 40,965,471  
                                       
$ 137,150,795     $ 21,775,414     $ 238,478,777     $ 332,248,576     $ 229,020,175     $ 193,859,242     $ 27,409,659  
  13,789,209       2,441,471       12,345,488       12,004,304       8,370,585       10,169,121       2,530,648  
$ 9.95     $ 8.92     $ 19.32     $ 27.68     $ 27.36     $ 19.06     $ 10.83  
                                       
  38,208,386       5,855,975       41,490,185       5,479,424     $ 24,080,562     $ 10,561,528     $ 13,555,812  
  3,853,454       656,028       2,161,555       200,013       889,603       563,395       1,257,616  
$ 9.92     $ 8.93     $ 19.19     $ 27.40     $ 27.07     $ 18.75     $ 10.78  
                                       

See accompanying Notes to Financial Statements.
 
 
29

Ultra Series Fund | June 30, 2017
 
 
 Statements of Operations for the Period Ended June 30, 2017 (unaudited)

    Conservative
Allocation
Fund
  ,Moderate
Allocation
Fund
  Aggressive
Allocation
Fund
                   
                         
                         
Investment Income:                        

Interest

  $ 8,606     $ 15,456     $ 7,111  

Dividends

                       

Unaffiliated issuers

    827,810       1,433,457       500,469  

Affiliated issuers1

    714,813       897,856       219,112  

Less: Foreign taxes withheld/reclaimed

                 
                   

Total investment income

    1,551,229       2,346,769       726,692  
                   
Expenses:2                        

Management fees

    219,434       379,244       132,824  

Audit and trustee fees

    13,809       23,950       8,368  

Distribution fees – Class II

    37,324       34,712       2,563  
                   

Total expenses before reimbursement/waiver

    270,567       437,906       143,755  
                   

Less reimbursement/waiver2

    (73,145 )     (126,415 )     (44,275 )
                   

Total expenses net of waiver

    197,422       311,491       99,480  
                   
Net Investment Income (Loss)     1,353,807       2,035,278       627,212  
Net Realized and Unrealized Gain (Loss) on Investments                        

Net realized gain (loss) on investments (including net realized gain (loss) on foreign currency related transactions)

                       

Options

                 

Unaffiliated issuers

    1,506,064       4,857,926       2,312,309  

Affiliated issuers1

    387,183       378,173       183,992  

Net change in unrealized appreciation (depreciation )on investments (including net unrealized appreciation (depreciation) on foreign currency related transactions)

                       

Options

                 

Unaffiliated issuers

    (69,423,706 )     4,985,407       2,223,776  

Affiliated issuers1

    73,622,223       5,531,131       2,213,592  
                   
Net Realized and Unrealized Gain on Investments     6,091,764       15,752,637       6,933,669  
                   
Net Increase in Net Assets from Operations   $ 7,445,571     $ 17,787,915     $ 7,560,881  
                   

1 See Note 11 for information on affiliated issuers.
2 See Note 3 for information on expenses.

See accompanying Notes to Financial Statements.
 
 
30

Ultra Series Fund | June 30, 2017
 
 
 Statements of Operations for the Period Ended June 30, 2017 (unaudited)

Core
Bond
Fund
  High
Income
Fund
  Diversified
Income
Fund
  Large Cap
Value
Fund
  Large Cap
Growth
Fund
  Mid
Cap
Fund
  International
Stock
Fund
                                       
                                                     
$ 2,809,948     $ 743,747     $ 1,794,440     $ 20,150     $ 19,425     $ 43,266     $ 4,620  
                                                     
        11,657       2,324,774       3,308,561       2,046,699       820,774       729,103  
                                       
              (26,509 )           (5,833 )     (9,486 )     (81,902 )
                                       
  2,809,948       755,404       4,092,705       3,328,711       2,060,291       854,554       651,821  
                                       
  489,981       102,225       982,797       1,034,559       1,009,930       941,878       231,985  
  16,724       2,509       26,196       32,575       23,168       19,744       3,650  
  47,428       6,824       50,904       6,312       30,317       13,671       16,515  
                                       
  554,133       111,558       1,059,897       1,073,446       1,063,415       975,293       252,150  
                                       
                                       
                                       
  554,133       111,558       1,059,897       1,073,446       1,063,415       975,293       252,150  
                                       
  2,255,815       643,846       3,032,808       2,255,265       996,876       (120,739 )     399,671  
                                                     
  (1,033 )                                    
  (114,771 )     154,084       6,509,883       13,896,832       10,577,567       8,996,490       (201,937 )
                                       
                                                     
  (13,870 )                                    
  1,479,507       352,071       4,612,204       (398,038 )     14,855,035       2,343,771       4,333,806  
                                       
                                       
  1,349,833       506,155       11,122,087       13,498,794       25,432,602       11,340,261       4,131,869  
                                       
$ 3,605,648     $ 1,150,001     $ 14,154,895     $ 15,754,059     $ 26,429,478     $ 11,219,522     $ 4,531,540  
                                       

See accompanying Notes to Financial Statements.
 
 
31

Ultra Series Fund | June 30, 2017
 
 
 Statements of Changes in Net Assets

    Conservative Allocation Fund     Moderate Allocation Fund  
             
    (unaudited)
Six-Months
Ended
6/30/17
  Year Ended
12/31/16
  (unaudited)
Six-Months
Ended
6/30/17
  Year Ended
12/31/16
                         
Net Assets at beginning of period   $ 152,466,453     $ 158,711,931     $ 263,051,727     $ 276,569,223  
Increase (decrease) in net assets from operations:                                

Net investment income

    1,353,807       2,613,189       2,035,278       3,912,883  

Net realized gain (loss)

    1,893,247       2,897,381       5,236,099       8,470,937  

Net change in unrealized appreciation (depreciation)

    4,198,517       2,917,316       10,516,538       6,640,494  
                         

Net increase in net assets from operations

    7,445,571       8,427,886       17,787,915       19,024,314  
Distributions to shareholders from:                                

Net investment income

                               

Class I

    (58,163 )     (2,388,145 )     (99,180 )     (4,504,299 )

Class II

          (523,620 )           (452,980 )

Net realized gains

                               

Class I

    (67,863 )     (1,850,936 )     (192,551 )     (5,953,436 )

Class II

    (18,092 )     (480,832 )     (24,939 )     (708,013 )
                         

Total distributions

    (144,118 )     (5,243,533 )     (316,670 )     (11,618,728 )
                         
Capital Stock transactions:                                

Class I Shares

                               

Shares sold

    8,863,127       19,759,339       17,311,812       17,890,365  

Issued to shareholders in reinvestment of distributions

    126,026       4,239,082       291,731       10,457,735  

Shares redeemed

    (22,037,225 )     (30,111,987 )     (48,794,178 )     (45,491,293 )
                         

Net decrease in net assets from capital stock transactions

    (13,048,072 )     (6,113,566 )     (31,190,635 )     (17,143,193 )
                         

Class II Shares

                               

Shares sold

    1,848,183       3,991,826       1,301,194       1,829,876  

Issued to shareholders in reinvestment of distributions

    18,092       1,004,452       24,939       1,160,992  

Shares redeemed

    (4,088,527 )     (8,312,543 )     (3,062,538 )     (6,770,757 )
                         

Net increase (decrease) in net assets from capital stock transactions

    (2,222,252 )     (3,316,265 )     (1,736,405 )     (3,779,889 )
                         
Total decrease from capital stock transactions     (15,270,324 )     (9,429,831 )     (32,927,040 )     (20,923,082 )
                         
Total increase (decrease) in net assets     (7,968,871 )     (6,245,478 )     (15,455,795 )     (13,517,496 )
                         
Net Assets at end of period   $ 144,497,582     $ 152,466,453     $ 247,595,932     $ 263,051,727  
                         

Undistributed net investment income included in net assets

  $ 1,353,807     $ 58,163     $ 2,035,278     $ 99,180  
Capital Share transactions:                                

Class I Shares

                               

Shares sold

    887,027       2,010,412       1,649,333       1,757,311  

Issued to shareholders in reinvestment of distributions

    12,297       435,118       26,776       1,027,532  

Shares redeemed

    (2,207,391 )     (3,051,187 )     (4,637,611 )     (4,461,513 )
                         

Net decrease from capital shares transactions

    (1,308,067 )     (605,657 )     (2,961,502 )     (1,676,670 )
                         

Class II Shares

                               

Shares sold

    183,741       402,139       123,022       180,318  

Issued to shareholders in reinvestment of distributions

    1,768       103,182       2,294       114,261  

Shares redeemed

    (411,047 )     (835,176 )     (289,933 )     (659,694 )
                         

Net increase (decrease) from capital shares transactions

    (225,538 )     (329,855 )     (164,617 )     (365,115 )
                         

See accompanying Notes to Financial Statements.
 
 
32

Ultra Series Fund | June 30, 2017
 
 
 Statements of Changes in Net Assets

Aggressive Allocation Fund     Core Bond Fund     High Income Fund     Diversified Income Fund  
                     
(unaudited)
Six-Months
Ended
6/30/17
  Year Ended
12/31/16
  (unaudited)
Six-Months
Ended
6/30/17
    Year Ended
12/31/16
    (unaudited)
Six-Months
Ended
6/30/17
  Year Ended
12/31/16
  (unaudited)
Six-Months
Ended
6/30/17
  Year Ended
12/31/16
                                             
$ 90,949,828     $ 91,926,453     $ 184,945,243     $ 218,078,096     $ 27,407,016     $ 29,917,586     $ 286,037,793     $ 306,895,571  
  627,212       1,203,221       2,255,815       5,025,878       643,846       1,384,743       3,032,808       6,556,029  
  2,496,301       2,348,675       (115,804 )     4,163,122       154,084       (11,004 )     6,509,883       20,236,756  
  4,437,368       4,084,782       1,465,637       (3,289,334 )     352,071       1,869,070       4,612,204       (1,371,240 )
                                             
  7,560,881       7,636,678       3,605,648       5,899,666       1,150,001       3,242,809       14,154,895       25,421,545  
                                                             
  (32,397 )     (1,586,515 )     (124,270 )     (4,453,508 )     (28,507 )     (1,126,799 )           (5,934,220 )
        (30,723 )           (1,081,808 )     (919 )     (258,378 )           (908,715 )
  (75,366 )     (1,501,291 )                             (381,072 )     (17,344,094 )
  (1,873 )     (33,795 )                             (66,912 )     (2,881,475 )
                                             
  (109,636 )     (3,152,324 )     (124,270 )     (5,535,316 )     (29,426 )     (1,385,177 )     (447,984 )     (27,068,504 )
                                             
  10,049,103       11,721,462       5,276,706       10,793,608       430,510       429,079       7,964,172       11,019,757  
  107,763       3,087,806       124,270       4,453,508       28,507       1,126,799       381,071       23,278,313  
  (23,487,333 )     (20,539,902 )     (17,778,913 )     (42,725,712 )     (1,672,874 )     (4,925,428 )     (27,097,409 )     (54,514,970 )
                                             
  (13,330,467 )     (5,730,634 )     (12,377,937 )     (27,478,596 )     (1,213,857 )     (3,369,550 )     (18,752,166 )     (20,216,900 )
                                             
  8,101       297,021       2,109,722       882,591       744,695       75,212       2,649,630       5,616,780  
  1,873       64,517             1,081,808       919       258,378       66,912       3,790,190  
  (201,006 )     (91,883 )     (2,799,225 )     (7,983,006 )     (427,959 )     (1,332,242 )     (3,740,118 )     (8,400,889 )
                                             
  (191,032 )     269,655       (689,503 )     (6,018,607 )     317,655       (998,652 )     (1,023,576 )     1,006,081  
                                             
  (13,521,499 )     (5,460,979 )     (13,067,440 )     (33,497,203 )     (896,202 )     (4,368,202 )     (19,775,742 )     (19,210,819 )
                                             
  (6,070,254 )     (976,625 )     (9,586,062 )     (33,132,853 )     224,373       (2,510,570 )     (6,068,831 )     (20,857,778 )
                                             
$ 84,879,574     $ 90,949,828     $ 175,359,181     $ 184,945,243     $ 27,631,389     $ 27,407,016     $ 279,968,962     $ 286,037,793  
                                             
$ 627,212     $ 32,397     $ 2,255,814     $ 124,269     $ 643,846     $ 29,426     $ 3,032,808     $  
                                                             
  1,051,016       1,290,372       535,414       1,066,963       49,159       50,044       424,414       567,693  
  10,686       332,834       12,449       458,874       3,199       131,928       19,623       1,260,652  
  (2,424,058 )     (2,260,176 )     (1,806,815 )     (4,227,861 )     (190,863 )     (581,998 )     (1,439,284 )     (2,811,124 )
                                             
  (1,362,356 )     (636,970 )     (1,258,952 )     (2,702,024 )     (138,505 )     (400,026 )     (995,247 )     (982,779 )
                                             
  836       31,638       214,377       87,675       84,748       8,962       141,504       293,949  
  186       6,975             111,930       103       30,216       3,467       206,386  
  (20,578 )     (9,983 )     (284,476 )     (792,397 )     (48,782 )     (157,240 )     (198,231 )     (434,410 )
                                             
  (19,556 )     28,630       (70,099 )     (592,792 )     36,069       (118,062 )     (53,260 )     65,925  
                                             

See accompanying Notes to Financial Statements.
 
 
33

Ultra Series Fund | June 30, 2017
 
 
 Statements of Changes in Net Assets

    Large Cap Value Fund     Large Cap Growth Fund  
             
    (unaudited)
Six-Months
Ended
6/30/17
  Year Ended
12/31/16
  (unaudited)
Six-Months
Ended
6/30/17
  Year Ended
12/31/16
                         
Net Assets at beginning of period   $ 352,701,915     $ 370,893,722     $ 247,224,084     $ 279,273,794  
Increase (decrease) in net assets from operations:                                

Net investment income (loss)

    2,255,265       5,280,820       996,876       2,012,255  

Net realized gain (loss)

    13,896,832       40,921,164       10,577,567       12,229,493  

Net change in unrealized appreciation (depreciation)

    (398,038 )     (3,697,009 )     14,855,035       9,549  
                         

Net increase (decrease) in net assets from operations

    15,754,059       42,504,975       26,429,478       14,251,297  
Distributions to shareholders from:                                

Net investment income

                               

Class I

    (124,969 )     (5,080,540 )     (33,772 )     (1,878,529 )

Class II

          (62,071 )           (162,347 )

Net realized gains

                               

Class I

    (1,173,544 )     (41,626,496 )     (1,707,750 )     (13,050,600 )

Class II

    (19,523 )     (570,234 )     (182,582 )     (1,406,329 )
                         

Total distributions

    (1,318,036 )     (47,339,341 )     (1,924,104 )     (16,497,805 )
                         
Capital Stock transactions:                                

Class I Shares

                               

Shares sold

    8,799,156       12,137,375       6,719,688       11,322,134  

Issued to shareholders in reinvestment of distributions

    1,298,513       46,707,036       1,741,522       14,929,129  

Shares redeemed

    (40,074,948 )     (71,501,833 )     (25,060,743 )     (52,331,252 )
                         

Net decrease in net assets from capital stock transactions

    (29,977,279 )     (12,657,422 )     (16,599,533 )     (26,079,989 )
                         

Class II Shares

                               

Shares sold

    1,204,785       395,080       265,812       285,853  

Issued to shareholders in reinvestment of distributions

    19,523       632,305       182,582       1,568,676  

Shares redeemed

    (656,967 )     (1,727,404 )     (2,477,582 )     (5,577,742 )
                         

Net increase (decrease) in net assets from capital stock transactions

    567,341       (700,019 )     (2,029,188 )     (3,723,213 )
                         
Total decrease from capital stock transactions     (29,409,938 )     (13,357,441 )     (18,628,721 )     (29,803,202 )
                         
Total increase (decrease) in net assets     (14,973,915 )     (18,191,807 )     5,876,653       (32,049,710 )
                         
Net Assets at end of period   $ 337,728,000     $ 352,701,915     $ 253,100,737     $ 247,224,084  
                         

Undistributed net investment income (loss) included in net assets

  $ 2,255,265     $ 124,969     $ 996,876     $ 33,772  

Capital Share transactions:

                               

Class I Shares

                               

Shares sold

    325,347       432,829       260,804       445,528  

Issued to shareholders in reinvestment of distributions

    47,075       1,731,636       64,087       597,910  

Shares redeemed

    (1,468,449 )     (2,567,010 )     (949,706 )     (2,061,576 )
                         

Net decrease from capital shares transactions

    (1,096,027 )     (402,545 )     (624,815 )     (1,018,138 )
                         

Class II Shares

                               

Shares sold

    44,577       13,732       10,014       11,205  

Issued to shareholders in reinvestment of distributions

    715       23,662       6,790       63,421  

Shares redeemed

    (24,200 )     (63,535 )     (93,423 )     (222,064 )
                         

Net increase (decrease) from capital shares transactions

    21,092       (26,141 )     (76,619 )     (147,438 )
                         

See accompanying Notes to Financial Statements.
 
 
34

Ultra Series Fund | June 30, 2017
 
 
 Statements of Changes in Net Assets

Mid Cap Fund     International Stock Fund  
         
(unaudited)
Six-Months
Ended
6/30/17
  Year Ended
12/31/16
  (unaudited)
Six-Months
Ended
6/30/17
  Year Ended
12/31/16
                     
$ 214,217,873     $ 233,688,172     $ 39,604,139     $ 47,200,403  
 
  (120,739 )     61,054       399,671       737,458  
  8,996,490       15,300,014       (201,937 )     (6,335,993 )
  2,343,771       10,146,964       4,333,806       4,137,319  
                     
  11,219,522       25,508,032       4,531,540       (1,461,216 )
 
        (42,012 )     (10,409 )     (483,029 )
                    (214,129 )
  (287,517 )     (18,807,488 )            
  (16,097 )     (1,063,286 )            
                     
  (303,614 )     (19,912,786 )     (10,409 )     (697,158 )
                     
  7,494,014       8,998,407       415,071       1,221,810  
  287,517       18,849,500       10,409       483,029  
  (27,356,720 )     (51,064,902 )     (2,868,974 )     (5,973,627 )
                     
  (19,575,189 )     (23,216,995 )     (2,443,494 )     (4,268,788 )
                     
  256,821       175,753       396,914       798,715  
  16,097       1,063,286             214,129  
  (1,410,740 )     (3,087,589 )     (1,113,219 )     (2,181,946 )
                     
  (1,137,822 )     (1,848,550 )     (716,305 )     (1,169,102 )
                     
  (20,713,011 )     (25,065,545 )     (3,159,799 )     (5,437,890 )
                     
  (9,797,103 )     (19,470,299 )     1,361,332       (7,596,264 )
                     
$ 204,420,770     $ 214,217,873     $ 40,965,471     $ 39,604,139  
                     
$ (120,739 )   $     $ 399,714     $ 10,452  
 
  405,945       494,649       40,915       125,031  
  15,081       1,040,777       963       50,032  
  (1,468,180 )     (2,840,633 )     (277,948 )     (611,788 )
                     
  (1,047,154 )     (1,305,207 )     (236,070 )     (436,725 )
                     
  13,907       9,520       38,451       81,288  
  859       59,602             22,266  
  (76,377 )     (172,868 )     (106,618 )     (222,167 )
                     
  (61,611 )     (103,746 )     (68,167 )     (118,613 )
                     

See accompanying Notes to Financial Statements.
 
 
35

Ultra Series Fund | June 30, 2017
 
 
 Financial Highlights for a Share of Beneficial Interest Outstanding

CONSERVATIVE ALLOCATION FUND
 
    (unaudited)   Year Ended December 31,
             
CLASS I   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 9.74     $ 9.56     $ 10.22     $ 10.70     $ 10.45     $ 9.96  

Income from Investment Operations:

                                               

Net investment income1

    0.09       0.17       0.16       0.19       0.25       0.29  

Net realized and unrealized gain (loss) on investments

    0.42       0.36       (0.24 )     0.46       0.55       0.60  
                                     

Total from investment operations

    0.51       0.53       (0.08 )     0.65       0.80       0.89  

Less Distributions From:

                                               

Net investment income

    (0.01 )     (0.20 )     (0.20 )     (0.25 )     (0.27 )     (0.40 )

Capital gains

    (0.01 )     (0.15 )     (0.38 )     (0.88 )     (0.28 )      
                                     

Total distributions

    (0.02 )     (0.35 )     (0.58 )     (1.13 )     (0.55 )     (0.40 )
Net increase (decrease) in net asset value     0.49       0.18       (0.66 )     (0.48 )     0.25       0.49  
Net Asset Value at end of period   $ 10.23     $ 9.74     $ 9.56     $ 10.22     $ 10.70     $ 10.45  
Total Return (%)2     5.19 3     5.48       (0.76 )     6.03       7.61       8.98  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 114,131     $ 121,351     $ 125,007     $ 156,054     $ 181,427     $ 195,526  
Ratios of expenses to average net assets:                                                

Before waiver of expenses by Adviser (%)

    0.32 4     0.32       0.32       0.31       0.31       0.31  

After waiver of expenses by Adviser (%)

    0.22 4     0.22       0.22       0.27       0.31       0.31  
Ratio of net investment income to average net assets (%)     1.90 4     1.71       1.53       1.71       2.27       2.79  
Portfolio turnover (%)5     25 3     83       54       73       70       44  
                                                 
    (unaudited)   Year Ended December 31,
             
CLASS II   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 9.73     $ 9.55     $ 10.20     $ 10.68     $ 10.43     $ 9.95  

Income from Investment Operations:

                                               

Net investment income1

    0.08       0.14       0.15       0.18       0.22       0.26  

Net realized and unrealized gain (loss) on investments

    0.42       0.36       (0.25 )     0.43       0.55       0.61  
                                     

Total from investment operations

    0.50       0.50       (0.10 )     0.61       0.77       0.87  

Less Distributions From:

                                               

Net investment income

          (0.17 )     (0.17 )     (0.21 )     (0.24 )     (0.39 )

Capital gains

    (0.01 )     (0.15 )     (0.38 )     (0.88 )     (0.28 )      
                                     

Total distributions

    (0.01 )     (0.32 )     (0.55 )     (1.09 )     (0.52 )     (0.39 )
Net increase (decrease) in net asset value     0.49       0.18       (0.65 )     (0.48 )     0.25       0.48  
Net Asset Value at end of period   $ 10.22     $ 9.73     $ 9.55     $ 10.20     $ 10.68     $ 10.43  
Total Return (%)2     5.06 3     5.21       (1.01 )     5.77       7.34       8.71  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 30,367     $ 31,116     $ 33,705     $ 37,837     $ 40,069     $ 42,691  
Ratios of expenses to average net assets:                                                

Before waiver of expenses by Adviser (%)

    0.57 4     0.57       0.57       0.56       0.56       0.56  

After waiver of expenses by Adviser (%)

    0.47 4     0.47       0.47       0.51       0.56       0.56  
Ratio of net investment income to average net assets (%)     1.66 4     1.42       1.46       1.65       2.04       2.49  
Portfolio turnover (%)5     25 3     83       54       73       70       44  

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   Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.
 
 
36

Ultra Series Fund | June 30, 2017
 
 
 Financial Highlights for a Share of Beneficial Interest Outstanding

MODERATE ALLOCATION FUND
 
    (unaudited)   Year Ended December 31,
             
CLASS I   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 10.18     $ 9.92     $ 10.92     $ 11.48     $ 10.11     $ 9.42  

Income from Investment Operations:

                                               

Net investment income1

    0.09       0.15       0.14       0.16       0.19       0.23  

Net realized and unrealized gain (loss) on investments

    0.64       0.58       (0.24 )     0.62       1.39       0.77  
                                     

Total from investment operations

    0.73       0.73       (0.10 )     0.78       1.58       1.00  
Less Distributions From:                                                

Net investment income

    (0.00 )2     (0.20 )     (0.19 )     (0.25 )     (0.21 )     (0.31 )

Capital gains

    (0.01 )     (0.27 )     (0.71 )     (1.09 )            
                                     

Total distributions

    (0.01 )     (0.47 )     (0.90 )     (1.34 )     (0.21 )     (0.31 )
Net increase (decrease) in net asset value     0.72       0.26       (1.00 )     (0.56 )     1.37       0.69  
Net Asset Value at end of period   $ 10.90     $ 10.18     $ 9.92     $ 10.92     $ 11.48     $ 10.11  
Total Return (%)3     7.22 4     7.39       (0.93 )     6.85       15.66       10.54  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 219,566     $ 235,182     $ 245,807     $ 315,568     $ 370,954     $ 358,486  
Ratios of expenses to average net assets:                                                

Before waiver of expenses by Adviser (%)

    0.32 5     0.32       0.32       0.31       0.31       0.31  

After waiver of expenses by Adviser (%)

    0.22 5     0.22       0.22       0.27       0.31       0.31  
Ratio of net investment income to average net assets (%)     1.64 5     1.49       1.30       1.37       1.75       2.32  
Portfolio turnover (%)6     21 4     91       52       73       66       49  
                                                 
    (unaudited)   Year Ended December 31,
             
CLASS II   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 10.16     $ 9.90     $ 10.89     $ 11.45     $ 10.08     $ 9.41  

Income from Investment Operations:

                                               

Net investment income1

    0.07       0.12       0.15       0.18       0.16       0.20  

Net realized and unrealized gain (loss) on investments

    0.65       0.58       (0.27 )     0.57       1.39       0.77  
                                     

Total from investment operations

    0.72       0.70       (0.12 )     0.75       1.55       0.97  

Less Distributions From:

                                               

Net investment income

          (0.17 )     (0.16 )     (0.22 )     (0.18 )     (0.30 )

Capital gains

    (0.01 )     (0.27 )     (0.71 )     (1.09 )            
                                     

Total distributions

    (0.01 )     (0.44 )     (0.87 )     (1.31 )     (0.18 )     (0.30 )
Net increase (decrease) in net asset value     0.71       0.26       (0.99 )     (0.56 )     1.37       0.67  
Net Asset Value at end of period   $ 10.87     $ 10.16     $ 9.90     $ 10.89     $ 11.45     $ 10.08  
Total Return (%)3     7.09 4     7.12       (1.18 )     6.58       15.37       10.26  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 28,030     $ 27,870     $ 30,763     $ 34,134     $ 34,965     $ 34,573  
Ratios of expenses to average net assets:                                                

Before waiver of expenses by Adviser (%)

    0.57 5     0.57       0.57       0.56       0.56       0.56  

After waiver of expenses by Adviser (%)

    0.47 5     0.47       0.47       0.51       0.56       0.56  
Ratio of net investment income to average net assets (%)     1.40 5     1.18       1.36       1.49       1.49       2.01  
Portfolio turnover (%)6     21 4     91       52       73       66       49  

1   Based on average shares outstanding during the year.
2   Amounts represent less than $0.005 per share.
3   These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year.
4   Not annualized.
5   Annualized.
6   Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.
 
 
37

Ultra Series Fund | June 30, 2017
 
 
 Financial Highlights for a Share of Beneficial Interest Outstanding

AGGRESSIVE ALLOCATION FUND
 
    (unaudited)   Year Ended December 31,
             
CLASS I   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 9.30     $ 8.85     $ 10.25     $ 11.66     $ 9.75     $ 8.96  

Income from Investment Operations:

                                               

Net investment income1

    0.07       0.12       0.11       0.14       0.12       0.17  

Net realized and unrealized gain (loss) on investments

    0.74       0.66       (0.22 )     0.72       2.07       0.84  
                                     

Total from investment operations

    0.81       0.78       (0.11 )     0.86       2.19       1.01  

Less Distributions From:

                                               

Net investment income

          (0.17 )     (0.16 )     (0.24 )     (0.13 )     (0.22 )

Capital gains

    (0.01 )     (0.16 )     (1.13 )     (2.03 )     (0.15 )      
                                     

Total distributions

    (0.01 )     (0.33 )     (1.29 )     (2.27 )     (0.28 )     (0.22 )
Net increase (decrease) in net asset value     .080       0.45       (1.40 )     (1.41 )     1.91       0.79  
Net Asset Value at end of period   $ 10.10     $ 9.30     $ 8.85     $ 10.25     $ 11.66     $ 9.75  
Total Return (%)2     8.82 3     8.87       (1.14 )     7.46       22.35       11.34  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 82,869     $ 88,917     $ 90,245     $ 124,838     $ 149,514     $ 142,755  
Ratios of expenses to average net assets:                                                

Before waiver of expenses by Adviser (%)

    0.32 4     0.32       0.32       0.31       0.31       0.31  

After waiver of expenses by Adviser (%)

    0.22 4     0.22       0.22       0.27       0.31       0.31  
Ratio of net investment income to average net assets (%)     1.42 4     1.34       1.08       1.13       1.07       1.80  
Portfolio turnover (%)5     19 3     89       53       70       70       69  
                                                 
    (unaudited)   Year Ended December 31,
             
CLASS II   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 9.27     $ 8.82     $ 10.21     $ 11.62     $ 9.72     $ 8.95  

Income from Investment Operations:

                                               

Net investment income1

    0.06       0.13       0.17       0.17       0.09       0.15  

Net realized and unrealized gain (loss) on investments

    0.74       0.62       (0.30 )     0.66       2.06       0.83  
                                     

Total from investment operations

    0.80       0.75       (0.13 )     0.83       2.15       0.98  

Less Distributions From:

                                               

Net investment income

          (0.14 )     (0.13 )     (0.21 )     (0.10 )     (0.21 )

Capital gains

    (0.01 )     (0.16 )     (1.13 )     (2.03 )     (0.15 )      
                                     

Total distributions

    (0.01 )     (0.30 )     (1.26 )     (2.24 )     (0.25 )     (0.21 )
Net increase (decrease) in net asset value     0.79       0.45       (1.39 )     (1.41 )     1.90       0.77  
Net Asset Value at end of period   $ 10.06     $ 9.27     $ 8.82     $ 10.21     $ 11.62     $ 9.72  
Total Return (%)2     8.69 3     8.60       (1.39 )     7.19       22.05       11.06  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 2,010     $ 2,032     $ 1,681     $ 1,809     $ 1,911     $ 1,921  
Ratios of expenses to average net assets:                                                

Before waiver of expenses by Adviser (%)

    0.57 4     0.57       0.57       0.56       0.56       0.56  

After waiver of expenses by Adviser (%)

    0.47 4     0.47       0.47       0.51       0.56       0.56  
Ratio of net investment income to average net assets (%)     1.20 4     1.42       1.64       1.45       0.81       1.55  
Portfolio turnover (%)5     19 3     89       53       70       70       69  

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   Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.
 
 
38

Ultra Series Fund | June 30, 2017
 
 
 Financial Highlights for a Share of Beneficial Interest Outstanding

CORE BOND FUND
 
    (unaudited)   Year Ended December 31,
             
CLASS I   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 9.75     $ 9.80     $ 10.14     $ 9.97     $ 10.55     $ 10.57  

Income from Investment Operations:

                                               

Net investment income1

    0.13       0.26       0.28       0.30       0.31       0.34  

Net realized and unrealized gain (loss) on investments

    0.08       (0.01 )     (0.29 )     0.20       (0.54 )     0.00  
                                     

Total from investment operations

    0.21       0.25       (0.01 )     0.50       (0.23 )     0.34  

Less Distributions From:

                                               

Net investment income

    (0.01 )     (0.30 )     (0.33 )     (0.33 )     (0.35 )     (0.36 )
                                     
Net increase (decrease) in net asset value     0.20       (0.05 )     (0.34 )     0.17       (0.58 )     (0.02 )
Net Asset Value at end of period   $ 9.95     $ 9.75     $ 9.80     $ 10.14     $ 9.97     $ 10.55  
Total Return (%)2     20.6 3     2.67       (0.15 )     5.09       (2.24 )     3.21  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 137,151     $ 146,780     $ 173,927     $ 224,976     $ 270,289     $ 340,335  
Ratios of expenses to average net assets (%)     0.57 4     0.57       0.57       0.56       0.56       0.56  
Ratio of net investment income to average net assets (%)     2.59 4     2.53       2.73       2.88       3.02       3.13  
Portfolio turnover (%)5     7 3     39       25       17       14       11  
                                                 
    (unaudited)   Year Ended December 31,
             
CLASS II   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 9.73     $ 9.78     $ 10.12     $ 9.95     $ 10.54     $ 10.56  

Income from Investment Operations:

                                               

Net investment income1

    0.11       0.23       0.25       0.27       0.29       0.31  

Net realized and unrealized gain (loss) on investments

    0.08             (0.29 )     0.21       (0.56 )     0.01  
                                     

Total from investment operations

    0.19       0.23       (0.04 )     0.48       (0.27 )     0.32  

Less Distributions From:

                                               

Net investment income

          (0.28 )     (0.30 )     (0.31 )     (0.32 )     (0.34 )
                                     
Net increase (decrease) in net asset value     0.19       (0.05 )     (0.34 )     0.17       (0.59 )     (0.02 )
Net Asset Value at end of period   $ 9.92     $ 9.73     $ 9.78     $ 10.12     $ 9.95     $ 10.54  
Total Return (%)2     1.93 3     2.41       (0.40 )     4.83       (2.49 )     2.96  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 38,208     $ 38,165     $ 44,151     $ 47,162     $ 46,991     $ 49,456  
Ratios of expenses to average net assets (%)     0.82 4     0.82       0.82       0.81       0.81       0.81  
Ratio of net investment income to average net assets (%)     2.34 4     2.28       2.48       2.62       2.77       2.88  
Portfolio turnover (%)5     7 3     39       25       17       14       11  

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   Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.
 
 
39

Ultra Series Fund | June 30, 2017
 
 
 Financial Highlights for a Share of Beneficial Interest Outstanding

HIGH INCOME FUND
 
    (unaudited)   Year Ended December 31,
             
CLASS I   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 8.56     $ 8.05     $ 8.78     $ 9.22     $ 9.37     $ 9.18  

Income from Investment Operations:

                                               

Net investment income1

    0.21       0.42       0.47       0.49       0.52       0.61  

Net realized and unrealized gain (loss) on investments

    0.16       0.55       (0.68 )     (0.33 )     (0.01 )     0.42  
                                     

Total from investment operations

    0.37       0.97       (0.21 )     0.16       0.51       1.03  

Less Distributions From:

                                               

Net investment income

    (0.01 )     (0.46 )     (0.52 )     (0.60 )     (0.66 )     (0.84 )
                                     
Net increase (decrease) in net asset value     0.36       0.51       (0.73 )     (0.44 )     (0.15 )     0.19  
Net Asset Value at end of period   $ 8.92     $ 8.56     $ 8.05     $ 8.78     $ 9.22     $ 9.37  
Total Return (%)2     4.29 3     12.15       (2.47 )     1.74       5.49       11.23  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 21,775     $ 22,093     $ 23,975     $ 30,455     $ 43,622     $ 60,362  
Ratios of expenses to average net assets (%)     0.77 4     0.77       0.77       0.76       0.76       0.77  
Ratio of net investment income to average net assets (%)     4.77 4     4.91       5.23       5.12       5.42       6.31  
Portfolio turnover (%)5     19 3     58       27       53       32       55  
                                                 
    (unaudited)   Year Ended December 31,
             
CLASS II   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 8.57     $ 8.05     $ 8.79     $ 9.23     $ 9.37     $ 9.19  

Income from Investment Operations:

                                               

Net investment income1

    0.20       0.40       0.44       0.46       0.50       0.58  

Net realized and unrealized gain (loss) on investments

    0.16       0.56       (0.68 )     (0.33 )           0.42  
                                     

Total from investment operations

    0.36       0.96       (0.24 )     0.13       0.50       1.00  

Less Distributions From:

                                               

Net investment income

    (0.00 )6     (0.44 )     (0.50 )     (0.57 )     (0.64 )     (0.82 )
                                     
Net increase (decrease) in net asset value     0.36       0.52       (0.74 )     (0.44 )     (0.14 )     0.18  
Net Asset Value at end of period   $ 8.93     $ 8.57     $ 8.05     $ 8.79     $ 9.23     $ 9.37  
Total Return (%)2     4.16 3     11.87       (2.71 )     1.48       5.23       10.95  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 5,856     $ 5,314     $ 5,943     $ 6,685     $ 6,906     $ 6,737  
Ratios of expenses to average net assets (%)     1.02 4     1.02       1.02       1.01       1.01       1.02  
Ratio of net investment income to average net assets (%)     4.52 4     4.66       4.98       4.88       5.17       6.02  
Portfolio turnover (%)5     19 3     58       27       53       32       55  

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   Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.
6   Amounts represent less than $0.005 per share.

See accompanying Notes to Financial Statements.
 
 
40

Ultra Series Fund | June 30, 2017
 
 
 Financial Highlights for a Share of Beneficial Interest Outstanding

DIVERSIFIED INCOME FUND
 
    (unaudited)   Year Ended December 31,
             
CLASS I   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 18.40     $ 18.64     $ 20.30     $ 20.76     $ 18.29     $ 17.39  

Income from Investment Operations:

                                               

Net investment income1

    0.21       0.44       0.46       0.47       0.46       0.49  

Net realized and unrealized gain (loss) on investments

    0.74       1.24       (0.43 )     1.02       2.48       0.92  
                                     

Total from investment operations

    0.95       1.68       0.03       1.49       2.94       1.41  

Less Distributions From:

                                               

Net investment income

          (0.49 )     (0.52 )     (0.52 )     (0.47 )     (0.51 )

Capital gains

    (0.03 )     (1.43 )     (1.17 )     (1.43 )            
                                     

Total distributions

    (0.03 )     (1.92 )     (1.69 )     (1.95 )     (0.47 )     (0.51 )
Net increase (decrease) in net asset value     0.92       (0.24 )     (1.66 )     (0.46 )     2.47       0.90  
Net Asset Value at end of period   $ 19.32     $ 18.40     $ 18.64     $ 20.30     $ 20.76     $ 18.29  
Total Return (%)2     5.14 3     8.99       0.11       7.12       16.07       8.16  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 238,479     $ 245,490     $ 267,001     $ 327,951     $ 378,807     $ 359,022  
Ratios of expenses to average net assets (%)     0.72 4     0.72       0.72       0.71       0.71       0.71  
Ratio of net investment income to average net assets (%)     2.20 4     2.25       2.27       2.20       2.31       2.69  
Portfolio turnover (%)5     9 3     34       21       24       17       17  
                                                 
    (unaudited)   Year Ended December 31,
             
CLASS II   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 18.31     $ 18.57     $ 20.23     $ 20.71     $ 18.26     $ 17.37  

Income from Investment Operations:

                                               

Net investment income1

    0.18       0.39       0.41       0.41       0.41       0.44  

Net realized and unrealized gain (loss) on investments

    0.73       1.23       (0.42 )     1.02       2.47       0.93  
                                     

Total from investment operations

    0.91       1.62       (0.01 )     1.43       2.88       1.37  

Less Distributions From:

                                               

Net investment income

          (0.45 )     (0.48 )     (0.48 )     (0.43 )     (0.48 )

Capital gains

    (0.03 )     (1.43 )     (1.17 )     (1.43 )            
                                     

Total distributions

    (0.03 )     (1.88 )     (1.65 )     (1.91 )     (0.43 )     (0.48 )
Net increase (decrease) in net asset value     0.88       (0.26 )     (1.66 )     (0.48 )     2.45       0.89  
Net Asset Value at end of period   $ 19.19     $ 18.31     $ 18.57     $ 20.23     $ 20.71     $ 18.26  
Total Return (%)2     5.01 3     8.72       (0.14 )     6.85       15.78       7.89  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 41,490     $ 40,548     $ 39,894     $ 44,772     $ 43,601     $ 34,908  
Ratios of expenses to average net assets (%)     0.97 4     0.97       0.97       0.96       0.96       0.96  
Ratio of net investment income to average net assets (%)     1.95 4     1.99       2.02       1.95       2.05       2.43  
Portfolio turnover (%)5     9 3     34       21       24       17       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   Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.
 
 
41

Ultra Series Fund | June 30, 2017
 
 
 Financial Highlights for a Share of Beneficial Interest Outstanding

LARGE CAP VALUE FUND
 
    (unaudited)   Year Ended December 31,
             
CLASS I   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 26.56     $ 27.06     $ 33.10     $ 34.76     $ 27.12     $ 24.78  

Income from Investment Operations:

                                               

Net investment income1

    0.18       0.42       0.35       0.43       0.48       0.55  

Net realized and unrealized gain (loss) on investments

    1.05       3.13       (1.18 )     3.97       7.67       2.37  
                                     

Total from investment operations

    1.23       3.55       (0.83 )     4.40       8.15       2.92  

Less Distributions From:

                                               

Net investment income

    (0.01 )     (0.44 )     (0.40 )     (0.51 )     (0.51 )     (0.58 )

Capital gains

    (0.10 )     (3.61 )     (4.81 )     (5.55 )            
                                     

Total distributions

    (0.11 )     (4.05 )     (5.21 )     (6.06 )     (0.51 )     (0.58 )
Net increase (decrease) in net asset value     1.12       (0.50 )     (6.04 )     (1.66 )     7.64       2.34  
Net Asset Value at end of period   $ 27.68     $ 26.56     $ 27.06     $ 33.10     $ 34.76     $ 27.12  
Total Return (%)2     4.60 3     13.01       (2.68 )     12.41       30.07       11.82  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 332,249     $ 347,993     $ 365,385     $ 491,416     $ 576,731     $ 494,587  
Ratios of expenses to average net assets (%)     0.62 4     0.62       0.62       0.61       0.61       0.61  
Ratio of net investment income to average net assets (%)     1.31 4     1.50       1.09       1.18       1.53       2.05  
Portfolio turnover (%)5     40 3     93       90       82       32       27  
                                                 
    (unaudited)   Year Ended December 31,
             
CLASS II   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 26.32     $ 26.87     $ 32.93     $ 34.64     $ 27.05     $ 24.73  

Income from Investment Operations:

                                               

Net investment income1

    0.14       0.34       0.27       0.34       0.40       0.48  

Net realized and unrealized gain (loss) on investments

    1.04       3.11       (1.17 )     3.94       7.64       2.37  
                                     

Total from investment operations

    1.18       3.45       (0.90 )     4.28       8.04       2.85  

Less Distributions From:

                                               

Net investment income

          (0.39 )     (0.35 )     (0.44 )     (0.45 )     (0.53 )

Capital gains

    (0.10 )     (3.61 )     (4.81 )     (5.55 )            
                                     

Total distributions

    (0.10 )     (4.00 )     (5.16 )     (5.99 )     (0.45 )     (0.53 )
Net increase (decrease) in net asset value     1.08       (0.55 )     (6.06 )     (1.71 )     7.59       2.32  
Net Asset Value at end of period   $ 27.40     $ 26.32     $ 26.87     $ 32.93     $ 34.64     $ 27.05  
Total Return (%)2     4.47 3     12.73       (2.92 )     12.13       29.74       11.55  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 5,479     $ 4,709     $ 5,509     $ 6,700     $ 6,875     $ 5,882  
Ratios of expenses to average net assets (%)     0.87 4     0.87       0.87       0.86       0.86       0.86  
Ratio of net investment income to average net assets (%)     1.06 4     1.24       0.84       0.93       1.28       1.80  
Portfolio turnover (%)5     40 3     93       90       82       32       27  

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   Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.
 
 
42

Ultra Series Fund | June 30, 2017
 
 
 Financial Highlights for a Share of Beneficial Interest Outstanding

LARGE CAP GROWTH FUND
 
    (unaudited)   Year Ended December 31,
             
CLASS I   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 24.84     $ 25.12     $ 27.27     $ 28.76     $ 24.09     $ 21.84  

Income from Investment Operations:

                                               

Net investment income1

    0.11       0.20       0.28       0.19       0.17       0.18  

Net realized and unrealized gain (loss) on investments

    2.61       1.23       0.64       3.32       7.17       2.26  
                                     

Total from investment operations

    2.72       1.43       0.92       3.51       7.34       2.44  

Less Distributions From:

                                               

Net investment income

    (0.00 )2     (0.22 )     (0.32 )     (0.20 )     (0.18 )     (0.19 )

Capital gains

    (0.20 )     (1.49 )     (2.75 )     (4.80 )     (2.49 )      
                                     

Total distributions

    (0.20 )     (1.71 )     (3.07 )     (5.00 )     (2.67 )     (0.19 )
Net increase (decrease) in net asset value     2.52       (0.28 )     (2.15 )     (1.49 )     4.67       2.25  
Net Asset Value at end of period   $ 27.36     $ 24.84     $ 25.12     $ 27.27     $ 28.76     $ 24.09  
Total Return (%)3     10.99 4     5.74       3.26       12.13       30.51       11.20  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 229,020     $ 223,450     $ 251,524     $ 305,800     $ 359,959     $ 318,024  
Ratios of expenses to average net assets (%)     0.82 5     0.82       0.82       0.81       0.81       0.82  
Ratio of net investment income to average net assets (%)     0.81 5     0.80       1.02       0.63       0.62       0.76  
Portfolio turnover (%)6     5 4     13       19       33       50       64  
                                                 
    (unaudited)   Year Ended December 31,
             
CLASS II   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 24.60     $ 24.92     $ 2.710     $ 28.63     $ 24.02     $ 21.80  

Income from Investment Operations:

                                               

Net investment income1

    0.07       0.14       0.21       0.11       0.10       0.12  

Net realized and unrealized gain (loss) on investments

    2.60       1.21       0.63       3.32       7.13       2.26  
                                     

Total from investment operations

    2.67       1.35       0.84       3.43       7.23       2.38  

Less Distributions From:

                                               

Net investment income

          (0.18 )     (0.27 )     (0.16 )     (0.13 )     (0.16 )

Capital gains

    (0.20 )     (1.49 )     (2.75 )     (4.80 )     (2.49 )      
                                     

Total distributions

    (0.20 )     (1.67 )     (3.02 )     (4.96 )     (2.62 )     (0.16 )
Net increase (decrease) in net asset value     2.47       (0.32 )     (2.18 )     (1.53 )     4.61       2.22  
Net Asset Value at end of period   $ 27.07     $ 24.60     $ 24.92     $ 27.10     $ 28.63     $ 24.02  
Total Return (%)3     10.85 4     5.47       3.00       11.85       30.18       10.93  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 24,081     $ 23,774     $ 27,749     $ 32,168     $ 33,983     $ 29,101  
Ratios of expenses to average net assets (%)     1.07 5     1.07       1.07       1.06       1.06       1.07  
Ratio of net investment income to average net assets (%)     0.56 5     0.55       0.77       0.38       0.37       0.51  
Portfolio turnover (%)6     5 4     13       19       33       50       64  

1   Based on average shares outstanding during the year.
2   Amount represents less than $0.005 per share.
3   These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year.
4   Not annualized.
5   Annualized.
6   Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.
 
 
43

Ultra Series Fund | June 30, 2017
 
 
 Financial Highlights for a Share of Beneficial Interest Outstanding

MID CAP FUND
    (unaudited)   Year Ended December 31,
             
CLASS I   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 18.11     $ 17.65     $ 19.30     $ 21.76     $ 17.09     $ 14.75  

Income from Investment Operations:

                                               

Net investment income (loss)1

    (0.01 )     0.01       (0.05 )     0.02       0.00 2     0.05  

Net realized and unrealized gain on investments

    0.99       2.22       0.27       2.13       5.00       2.34  
                                     

Total from investment operations

    0.98       2.23       0.22       2.15       5.00       2.39  

Less Distributions From:

                                               

Net investment income

          (0.00 )2     (0.01 )     (0.01 )     (0.00 )2     (0.05 )

Capital gains

    (0.03 )     (1.77 )     (1.86 )     (4.60 )     (0.33 )      
                                     

Total distributions

    (0.03 )     (1.77 )     (1.87 )     (4.61 )     (0.33 )     (0.05 )
Net increase (decrease) in net asset value     0.95       0.46       (1.65 )     (2.46 )     4.67       2.34  
Net Asset Value at end of period   $ 19.06     $ 18.11     $ 17.65     $ 19.30     $ 21.76     $ 17.09  
Total Return (%)3     5.45 4     12.84       1.04       9.82       29.28       16.24  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 193,859     $ 203,076     $ 220,979     $ 286,704     $ 381,703     $ 356,534  
Ratios of expenses to average net assets (%)     0.92 5     0.92       0.92       0.91       0.91       0.91  
Ratio of net investment income to average net assets (%)     (0.10 )5     0.04       (0.24 )     0.10       (0.01 )     0.30  
Portfolio turnover (%)6     10 4     21       28       35       28       25  
                                                 
    (unaudited)   Year Ended December 31,
             
CLASS II   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 17.83     $ 17.44     $ 19.13     $ 21.65     $ 17.05     $ 14.72  

Income from Investment Operations:

                                               

Net investment income (loss)1

    (0.03 )     (0.04 )     (0.09 )     (0.03 )     (0.05 )     0.01  

Net realized and unrealized gain on investments

    0.98       2.20       0.26       2.11       4.98       2.35  
                                     

Total from investment operations

    0.95       2.16       0.17       2.08       4.93       2.36  

Less Distributions From:

                                               

Net investment income

                                  (0.03 )

Capital gains

    (0.03 )     (1.77 )     (1.86 )     (4.60 )     (0.33 )      
                                     

Total distributions

    (0.03 )     (1.77 )     (1.86 )     (4.60 )     (0.33 )     (0.03 )
Net increase (decrease) in net asset value     0.92       0.39       (1.69 )     (2.52 )     4.60       2.33  
Net Asset Value at end of period   $ 18.75     $ 17.83     $ 17.44     $ 19.13     $ 21.65     $ 17.05  
Total Return (%)3     5.32 4     12.55       0.79       9.55       28.95       15.95  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 10,562     $ 11,142     $ 12,710     $ 15,067     $ 15,762     $ 13,927  
Ratios of expenses to average net assets (%)     1.17 5     1.17       1.17       1.17       1.16       1.16  
Ratio of net investment income to average net assets (%)     (0.35 )5     (0.21 )     (0.49 )     (0.15 )     (0.26 )     0.05  
Portfolio turnover (%)6     10 4     21       28       35       28       25  

1   Based on average shares outstanding during the year.
2   Amounts represent less than $0.005 per share.
3   These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year.
4   Not annualized.
5   Annualized.
6   Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.
 
 
44

Ultra Series Fund | June 30, 2017
 
 
 Financial Highlights for a Share of Beneficial Interest Outstanding

INTERNATIONAL STOCK FUND
    (unaudited)   Year Ended December 31,
             
CLASS I   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 9.69     $ 10.16     $ 10.77     $ 12.99     $ 10.78     $ 9.03  

Income from Investment Operations:

                                               

Net investment income1

    0.11       0.18       0.19       0.27       0.16       0.17  

Net realized and unrealized gain (loss) on investments

    1.03       (0.47 )     (0.56 )     (1.10 )     2.07       1.75  
                                     

Total from investment operations

    1.14       (0.29 )     (0.37 )     (0.83 )     2.23       1.92  

Less Distributions From:

                                               

Net investment income

    (0.00 )2     (0.18 )     (0.22 )     (0.47 )     (0.02 )     (0.17 )

Capital gains

                (0.02 )     (0.92 )            
                                     

Total distributions

          (0.18 )     (0.24 )     (1.39 )     (0.02 )     (0.17 )
Net increase (decrease) in net asset value     1.14       (0.47 )     (0.61 )     (2.22 )     2.21       1.75  
Net Asset Value at end of period   $ 10.83     $ 9.69     $ 10.16     $ 10.77     $ 12.99     $ 10.78  
Total Return (%)3     11.82 4     (2.91 )     (3.45 )     (6.76 )     20.76       21.31  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 27,410     $ 26,809     $ 32,560     $ 38,826     $ 75,808     $ 76,919  
Ratios of expenses to average net assets (%)     1.17 5     1.17       1.17       1.17       1.21       1.21  
Ratio of net investment income to average net assets (%)     2.06 5     1.84       1.70       2.09       1.37       1.74  
Portfolio turnover (%)6     18 4     98       23       103       39       42  
                                                 
    (unaudited)   Year Ended December 31,
             
CLASS II   Six-Months
Ended 6/30/17
  2016   2015   2014   2013   2012
                                   
Net Asset Value at beginning of period   $ 9.65     $ 10.14     $ 10.74     $ 12.96     $ 10.76     $ 9.02  

Income from Investment Operations:

                                               

Net investment income1

    0.09       0.16       0.16       0.22       0.13       0.14  

Net realized and unrealized gain (loss) on investments

    1.04       (0.49 )     (0.55 )     (1.08 )     2.07       1.76  
                                     

Total from investment operations

    1.13       (0.33 )     (0.39 )     (0.86 )     2.20       1.90  

Less Distributions From:

                                               

Net investment income

          (0.16 )     (0.19 )     (0.44 )     (0.00 )2     (0.16 )

Capital gains

                (0.02 )     (0.92 )            
                                     

Total distributions

          (0.16 )     (0.21 )     (1.36 )     (0.00 )2     (0.16 )
Net increase (decrease) in net asset value     1.13       (0.49 )     (0.60 )     (2.22 )     2.20       1.74  
Net Asset Value at end of period   $ 10.78     $ 9.65     $ 10.14     $ 10.74     $ 12.96     $ 10.76  
Total Return (%)3     11.68 4     (3.16 )     (3.69 )     (6.99 )     20.45       21.01  
Ratios/Supplemental Data:                                                
Net Assets at end of period (in 000’s)   $ 13,556     $ 12,796     $ 14,641     $ 16,174     $ 19,134     $ 18,263  
Ratios of expenses to average net assets (%)     1.42 5     1.42       1.42       1.42       1.46       1.46  
Ratio of net investment income to average net assets (%)     1.82 5     1.58       1.43       1.72       1.10       1.45  
Portfolio turnover (%)6     18 4     98       23       103       39       42  

1   Based on average shares outstanding during the year.
2   Amounts represent less than $0.005 per share.
3   These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year.
4   Not annualized.
5   Annualized.
6   Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.
 
 
45

Ultra Series Fund | June 30, 2017
 
 
 Notes to Financial Statements (unaudited)

1. ORGANIZATION

The Ultra Series Fund (the “Trust”), a Massachusetts business trust, is registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as a diversified, open-end management investment company. The Trust is a series trust with, at the end of the period covered by this report, 14 investment portfolios (individually, a “Fund,” and collectively, the “Funds”), each with different investment objectives and policies. The Funds reported within this book at the end of the period were the Core Bond Fund, High Income Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Fund and International Stock Fund (collectively, the “Core Funds”), and the Conservative Allocation Fund, Moderate Allocation Fund and Aggressive Allocation Fund (collectively, the “Target Allocation 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. All Funds offer Class I and II shares. Each class of shares represents an interest in the assets of the respective Fund and has identical voting, dividend, liquidation and other rights, except that each class of shares bears its own distribution fee, if any, and its proportional share of Fund level expenses, and has exclusive voting rights on matters pertaining to Rule 12b-1 under the 1940 Act as it relates to that class and other class specific matters. Shares are offered to separate accounts (the “Accounts”) of CMFG Life Insurance Company and to qualified pension and retirement plans of CMFG Life Insurance Company 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 Madison Asset Management, LLC (the “Investment Adviser” or “Madison”). The Investment Adviser, in turn, has entered into a subadvisory agreement with a subadviser (“Subadviser”) for the management of the investments of the International Stock Fund.

2. SIGNIFICANT ACCOUNTING POLICIES

The Funds are investment companies that apply the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946,Financial Services-Investment Companies (ASC 946). The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Portfolio Valuation: The Ultra Series Fund (the “Trust”) and each series of the Trust referred to individually as a “Fund,” and collectively, (the “Funds”) values securities and other investments follows: Equity securities, including American Depositary Receipts (“ADRs”),Global Depositary Receipts (“GDRs”) 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 (“NOCP”)). If no sale occurs, equities traded on a U.S. exchange, foreign exchange or on NASDAQ are valued at the bid price. Debt securities purchased (other than short-term obligations) with a remaining maturity of 61 days or more are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services approved by the Trust. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures based on valuation technology commonly employed in the market for such investments.

Municipal debt securities are traded via a network among dealers and brokers that connect buyers and sellers. Liquidity in the tax-exempt market is influenced by economic conditions, issuer financial strength, bond structure, trade size, supply

 
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and demand, tax code and regulatory environment. There may be little trading in the secondary market for the particular bonds and other debt securities, making them more difficult to value or sell. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche.

Investments in shares of open-end mutual funds, including money market funds, are valued at their daily net asset value (“NAV”) which is calculated as of the close of regular trading on the New York Stock Exchange ((the “NYSE”) usually 4:00 p.m. Eastern Standard Time on each day on which the NYSE 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 calculating. Because the assets of each Target Allocation Fund consist primarily of shares of other registered investment companies (the “Underlying Funds”), the NAV of each Fund is determined based on the NAVs 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 are valued on an amortized cost basis, which approximates market value.

Over-the-counter securities not listed or traded on NASDAQ are valued at the last sale price on the valuation day. If no sale occurs on the valuation day, an over-the-counter security is valued at the last bid price. Exchange-traded options are valued at the mean of the best bid and ask prices across all option exchanges. Financial futures contracts generally are valued at the settlement price established by the exchange(s) on which the contracts are primarily traded. Spot and forward foreign currency exchange contracts are valued based on quotations supplied by dealers in such contracts. Overnight repurchase agreements are valued at cost, and term repurchase agreements (i.e., those whose maturity exceeds seven days), swaps, caps, collars and floors, if any, are valued at the average of the closing bids obtained daily from at least one dealer.

Through the end of this reporting period, the value of all assets and liabilities expressed in foreign currencies was converted into U.S. dollar values using the then-current exchange rate at the close of regular trading on the NYSE.

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 Pricing Committee (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 NOCP. Because the Target Allocation 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 Fund to do the same because of delays in obtaining the Underlying Fund’s NAV.

A Fund’s investments (or Underlying Fund) will be valued at fair value if, in the judgment of the Committee, an event impacting the value of an investment occurred between the closing time of a security’s primary market or exchange (for example, a foreign exchange or market) and the time the Fund’s share price is calculated as of the close of regular trading on the NYSE. 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.

In addition to independent fair value decisions made by the Committee noted above, the Committee also engages an independent fair valuation service to adjust the valuations of foreign equity securities based on specific market-movement

 
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parameters established by the Committee and approved by the Trust. Such adjustments to the valuation of foreign securities are applied automatically upon market close if the parameters established are exceeded. A foreign security is also automatically fair valued if the exchange it is traded on is on holiday.

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, except that certain dividends from foreign securities may be recorded after the ex-dividend date based on when the Fund is informed of the dividend. Interest income is recorded on an accrual basis and is increased by the accretion of discount and decreased by the amortization of premium. Amortization and accretion are recorded on the effective yield method.

Expenses: Expenses that are directly related to one Fund are charged directly to that Fund. Other operating expenses are prorated to the Funds on the basis of relative net assets. Class-specific expenses are borne by that class.

Classes: Income and realized and unrealized gains/losses are allocated to the respective classes 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 seven 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 members of the Federal Reserve System and with “primary dealers” in U.S. Government securities.

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 each repurchase agreement is fully collateralized at all times. In the event of bankruptcy or other default by a seller of a repurchase agreement, a Fund could experience one of the following: delays in liquidating the underlying securities during the period in which the Fund seeks to enforce its rights thereto, possible decreased 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. As of June 30, 2017, none of the Funds held open repurchase agreements.

Foreign Currency Transactions: The Trust’s books and records are maintained in U.S. dollars. Foreign currency-denominated transactions (i.e., market value of investment securities, assets and liabilities, purchases and sales of investment securities, and income and expenses) are translated into U.S. dollars at the current rate of exchange. The Funds enter into contracts on the trade date to settle any securities transactions denominated in foreign currencies on behalf of the Funds at the spot rate at settlement.

Each 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. Realized gains or losses associated with currency transactions are included in the Statements of Operations under the heading “Net realized gain (loss) on investments.” Only the International Stock Fund had net realized gains from foreign currency transactions.

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 change 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 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’ assets reflect unrealized gains or losses on the contracts as measured by the net difference between the forward foreign currency exchange rates at the dates of entry into the contracts and the forward rates

 
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Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017

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. Contracts are traded over-the-counter directly with a counterparty. Realized and unrealized gains and losses are included in the Statements of Operations. As of June 30, 2017, none of the Funds had open forward foreign currency exchange contracts.

If a Fund enters into a forward foreign currency exchange contract to buy foreign currency for any purpose, the Fund will be required to place cash or other liquid assets in a segregated account with the Fund’s custodian in an amount equal to the value of the Fund’s total assets committed to the consummation of the forward contract. If the value of the securities in the segregated account declines, additional cash or securities will be placed in the segregated account so that the value of the account will equal the amount of the Fund’s commitment with respect to the contract.

Cash Concentration: At times, the Funds maintain cash balances at financial institutions in excess of federally insured limits. The Funds monitor this credit risk and have not experienced any losses related to this risk.

Illiquid Securities: Each Fund currently limits investments in illiquid securities to 15% of net assets at the time of purchase. An illiquid security is generally defined as any investment that may be difficult to sell within seven days for the price at which the Fund values it. At June 30, 2017, there were no illiquid securities held in the Funds. Pursuant to guidelines adopted by the Board of Trustees, certain unregistered securities are determined to be liquid and are not included within the percent limitations specified above.

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. 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, 2017, none of the Funds had entered into such transactions.

Indemnifications: Under the Funds’ organizational documents, the Funds’ officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In the normal course of business, the Funds enter into contracts that contain a variety of representations and provide general indemnifications. The Funds’ maximum liability exposure under these arrangements is unknown, as future claims that have not yet occurred may be made against the Funds. However, based on experience, management expects the risk of loss to be remote.

Fair Value Measurements: Each Fund has adopted Financial Accounting Standards Board (the “FASB”) guidance on fair value measurements. 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. A three-tier hierarchy is used 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 used in 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

 
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Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017

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:

  Level 1 - unadjusted quoted prices in active markets for identical investments
     
  Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rate volatilities, prepayment speeds, credit risk, benchmark yields, transactions, bids, offers, new issues, spreads and other relationships observed in the markets among comparable securities, underlying equity of the issuer; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data, etc.)
     
  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, 2017 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 valuation. As of June 30, 2017, none of the Funds held securities deemed as a Level 3, and there were no transfers between classification levels.

The following is a summary of the inputs used as of June 30, 2017, in valuing the Funds’ investments carried at fair value (please see the Portfolio of Investments for each Fund for a listing of all securities within each category):

    Quoted Prices in     Significant                
    Active Markets     Other     Significant        
    for Identical     Observable     Unobservable        
    Investments     Inputs     Inputs     Value at
Fund1   (Level 1)     (Level 2)     (Level 3)     6/30/17
                       
                               
Conservative Allocation   $ 144,378,788     $     $     $ 144,378,788
Moderate Allocation     248,899,061                   248,899,061
Aggressive Allocation     85,279,481                   85,279,481
Core Bond                              

Assets:

                             

Asset Backed Securities

          4,139,570             4,139,570

Collateralized Mortgage Obligations

          3,913,996             3,913,996

Commercial Mortgage-Backed Securities

          4,581,848             4,581,848

Corporate Notes and Bonds

          56,030,876             56,030,876

Long Term Municipal Bonds

          9,799,168             9,799,168

Mortgage Backed Securities

          48,392,866             48,392,866

U.S. Government and Agency Obligations

          43,132,295             43,132,295

Put Options Purchased

    33,125                   33,125

Short-Term Investments

    3,304,021                   3,304,021
                       
      3,337,146       169,990,619             173,327,765

Liabilities:

                             

Call Options Written

    26,875                   26,875
                               
                               
High Income                              

Corporate Notes and Bonds

          24,647,867             24,647,867

Mutual Funds

    397,755                   397,755

Short-Term Investments

    2,386,464                   2,386,464
                       
      2,784,219       24,647,867             27,432,086

 
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Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017

    Quoted Prices in     Significant                
    Active Markets     Other     Significant        
    for Identical     Observable     Unobservable        
    Investments     Inputs     Inputs     Value at
Fund1   (Level 1)     (Level 2)     (Level 3)     6/30/17
                       
Diversified Income                              

Common Stocks

  $ 166,118,340     $     $     $ 166,118,340

Asset Backed Securities

          2,441,650             2,441,650

Collateralized Mortgage Obligations

          3,654,464             3,654,464

Commercial Mortgage-Backed Securities

          2,454,752             2,454,752

Corporate Notes and Bonds

          38,022,347             38,022,347

Long Term Municipal Bonds

          7,832,361             7,832,361

Mortgage Backed Securities

          28,135,632             28,135,632

U.S. Government and Agency Obligations

          24,788,702             24,788,702

Short-Term Investments

    5,489,553                   5,489,553
                       
      171,607,893       107,329,908             278,937,801
Large Cap Value                              

Common Stocks

    331,751,195                   331,751,195

Short-Term Investments

    9,432,944                   9,432,944
                       
      341,184,139                   341,184,139
Large Cap Growth                              
Common Stocks     246,048,603                   246,048,603
Short-Term Investments     7,136,340                   7,136,340
                       
      253,184,943                   253,184,943
Mid Cap                              

Common Stocks

    184,227,936                   184,227,936

Short-Term Investments

    20,210,276                   20,210,276
                       
      204,438,212                   204,438,212
International Stock                              

Common Stocks

                             

Australia

          409,184             409,184

Belgium

          1,060,711             1,060,711

Brazil

          414,240             414,240

Canada

          1,760,116             1,760,116

Denmark

          973,095             973,095

Finland

          610,930             610,930

France

          4,380,401             4,380,401

Germany

          1,426,755             1,426,755

Ireland

    1,435,046                   1,435,046

Italy

          634,734             634,734

Japan

          7,119,487             7,119,487

Jersey

          1,924,205             1,924,205

Luxembourg

          541,758             541,758

Netherlands

          1,452,526             1,452,526

Norway

          985,907             985,907

Philippines

          10,485             10,485

Singapore

          626,682             626,682

Spain

          391,103             391,103

Sweden

          1,606,682             1,606,682

Switzerland

          1,672,158             1,672,158

Taiwan

    576,840                   576,840

Turkey

            297,764             297,764

United Kingdom

    904,060       8,444,270             9,348,330

Short-Term Investments

    1,274,357                   1,274,357
                       
      4,190,303       36,743,193             40,933,496

1See respective portfolio of investments for underlying holdings in each fund. For additional information on the underlying funds held in the conservative, moderate and aggressive allocation funds including shareholder prospectuses and financial reports, please visit each underlying funds website or visit the securities and exchange commission website http://www.sec.gov.

 
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Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017

Derivatives. The FASB issued guidance intended to enhance financial statement disclosure for derivative instruments and hedging activities and enable investors to understand: a) how and why a Fund uses derivative investments, b) how derivative instruments and related hedge fund items are accounted for, and c) how derivative instruments and related hedge items affect a Fund’s financial position, results of operations and cash flows.

The following table presents the types of derivatives in the Fund by location as presented on the Statement of Assets and Liabilities as of June 30, 2017:

Statement of Asset & Liability Presentation of Fair Values of Derivative Instruments    
     
        Asset Derivatives   Liability Derivatives
             
                         
    Derivatives not accounted for   Statement of Assets and         Statement of Assets and      
Fund   as hedging Instruments   Liabilities Location     Fair Value   Liabilities Location     Fair Value
                         
        Investments, at value                
Core Bond   Equity contracts   (Options purchased)     $33,125   Options written, at value     $26,875

The following table presents the effect of derivative instruments on the Statement of Operations for the period ended June 30, 2017:

    Derivatives not accounted for as                  
Fund   hedging Instruments     Realized Gain (Loss) on Derivatives:   Change in Unrealized Depreciation on Derivatives
             
Core Bond   Equity contracts, Options purchased       $(16,298)       $           –  
    Equity contracts, Options written         15,265       (13,870)  

Management has determined that there is no impact on the financial statements of the other Funds held in the Trust as they currently do not hold derivative financial instruments.

Recently Issued Accounting Pronouncements. In October 2016, the U.S. Securities and Exchange Commission adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is reporting periods occurring after August 1, 2017. Management has evaluated the impact of the amendments and expects the adoption of final rules will be limited to additional financial statement disclosures.

3. MANAGEMENT, DISTRIBUTION AGREEMENTS AND OTHER EXPENSES

Management Agreement: For services under the Management Agreement, the Investment Adviser is entitle 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 of each Fund as follows as of June 30, 2017:

Fund   Management Fee   Fund   Management Fee
Conservative Allocation   0.30 %   Diversified Income   0.70 %
Moderate Allocation   0.30 %   Large Cap Value   0.60 %
Aggressive Allocation   0.30 %   Large Cap Growth   0.80 %
Core Bond   0.55 %   Mid Cap   0.90 %
High Income   0.75 %   International Stock   1.15 %

The Management Agreement requires the Investment Adviser to provide or arrange to provide overall management of the Funds, including but not limited to, investment advisory services, custody, transfer agency, dividend disbursing, legal, accounting and administrative services.

The Investment Adviser is solely responsible for the payment of all fees to the Subadviser. Effective October 1, 2016, Lazard Asset Management LLC serves as the subadvisor for the International Stock Fund. The Investment Adviser manages the Core

 
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Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017

Bond Fund, High Income Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Fund and the Target Allocation Funds.

The Investment Adviser may from time to time contractually or voluntarily agree to waive a portion of its fees or expenses related to the Funds. Effective July 1, 2014, the Investment Adviser contractually agreed to waive a portion (0.10%) of its management fee of the Target Allocation Funds, which waiver is in effect until at least April 30, 2018. For the period ended June 30, 2017, the waivers were as follows:

    Waived Fees or Expenses*

Fund     Class I     Class II     Total Waivers
Conservative Allocation   $ 58,209   $ 14,936   $ 73,145
Moderate Allocation     112,522     13,893     126,415
Aggressive Allocation     43,249     1,026     44,275

*The Investment Adviser does not have the right to recoup these waived fees.

Distribution Agreement: MFD Distributor, LLC (“MFD”) serves as distributor of the Funds. The Trust adopted a distribution and service plan with respect to the Trust’s Class II shares pursuant to Rule 12b-1 under the 1940 Act. Under the plan, the Trust will pay a service fee with regard to Class II shares at an annual rate of 0.25% each Fund’s daily net assets.

MFD may from time to time voluntarily agree to waive a portion of its fees or expenses related to the Funds. MFD does not have the right to recoup these waived fees.

Other Expenses: In addition to the management fee noted above, the Trust is responsible to pay the following expenses: expenses for independent audits; fees and expenses of the independent trustees and their independent counsel; brokerage commissions and other expenses incurred in the acquisition or disposition of any securities or other investments; costs of borrowing money, overdrafts (if any) and any potential taxes owed; and extraordinary expenses (including litigation and/or and consulting expenses) as approved by a majority of the independent trustees.

Audit and trustees fees are broken out separately from “other expenses” on the Statement of Operations.

Certain officers and trustees of the Trust are also officers of the Investment Adviser. The Funds do not compensate their officers or affiliated trustees. The Nominating and Governance Committee of the Board may change trustee fees paid at any time.

4. DIVIDENDS FROM NET INCOME AND DISTRIBUTIONS OF CAPITAL GAINS

The Funds declare dividends from net investment income and net realized gains from investment transactions, if any, annually, which are reinvested in additional full and fractional shares of the respective Funds.

Income and capital gain distributions, if any, are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. Taxable distributions from income and realized capital gains of the Funds may differ from book amounts earned during the period due to differences in the timing of capital gains recognition, and due to the reclassification of certain gains or losses from capital to income.

 
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Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017

5. SECURITIES TRANSACTIONS

For the period ended June 30, 2017, aggregate cost of purchases and proceeds from sales of securities, other than short-term investment, were as follows:

            U.S. Government Securities                Other Investment Securities     
           
Fund   Purchases     Sales     Purchases     Sales
                               
Conservative Allocation   $     $     $ 35,638,076     $ 53,756,417
Moderate Allocation                 52,102,021       90,369,157
Aggressive Allocation                 16,128,400       30,197,982
Core Bond     6,350,404       11,802,631       6,452,378       9,041,122
High Income                 5,000,406       4,636,880
Diversified Income     3,350,617       12,047,121       21,354,186       27,637,270
Large Cap Value                 136,122,941       161,803,124
Large Cap Growth                 13,082,191       29,180,198
Mid Cap                 18,964,447       44,253,473
International Stock                 6,833,846       8,980,165

6. FUTURES CONTRACTS AND OPTIONS ON FUTURES CONTRACTS

The Core Bond Fund may purchase and sell futures contracts and purchase and write options on futures contracts on a limited basis. The Fund may purchase and sell futures contracts based on various securities (such as U.S. Government securities), securities indices, foreign currencies and other financial instruments and indices. The Fund will engage in futures or related options transactions on a limited basis only for bona fide hedging purposes or for purposes of seeking to increase total returns to the extent permitted by regulations of the Commodity Futures Trading Commission.

Futures Contracts. The Core Bond Fund may use futures contracts to manage its exposure to the securities markets or to movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by the Fund and the prices of futures contracts and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to deposit with its futures broker an amount of cash, U.S. Government and Agency Obligations, or other assets, in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and based on such movements in the price of the contracts, an appropriate payable or receivable for the change in value may be posted or collected by the Fund (“variation margin”). Gains or losses are recognized but not considered realized until the contracts expire or close. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed within exchange traded or centrally cleared financial derivative instruments on the Statement of Assets and Liabilities.

Options on Futures Contracts. The acquisition of put and call options on futures contracts will give the Core Bond Fund the right (but not the obligation) for a specified price, to sell or to purchase, respectively, the underlying futures contract at any time during the option period. As the purchaser of an option on a futures contract, the Fund obtains the benefit of the futures position if prices move in a favorable direction but limits its risk of loss in the event of an unfavorable price movement to the loss of the premium and transaction costs.

The writing of a call option on a futures contract generates a premium which may partially offset a decline in the value of the Fund’s assets. By writing a call option, the Fund becomes obligated, in exchange for the premium, to sell a futures contract which may have a value higher than the exercise price. Conversely, the writing of a put option on a futures contract generates a premium, which may partially offset an increase in the price of securities that the Fund intends to purchase. However, the Fund becomes obligated to purchase a futures contract, which may have a value lower than the exercise price. Thus, the loss incurred by the Fund in writing options on futures is potentially unlimited and may exceed the amount of the premium received.

 
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Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017

Transactions in written option contracts for Core Bond Fund during the period ended June 30, 2017, were as follows:

      Number of Contracts       Premiums Received    
                   
                                   
Options outstanding, beginning of period                     $        
Options written during the period       120                 54,640        
Options closed during the period       (40 )               (27,380 )      
Options exercised during the period                              
Options expired during the period       (40 )               (14,255 )      
                                 
Options outstanding, end of period       40               $ 13,005        
                                 

7. FOREIGN SECURITIES

Each Fund may invest in foreign securities. Foreign securities are defined as securities that are: (i) issued by companies organized outside the U.S. or whose principal operations are outside the U.S., or issued by foreign governments or their agencies or instrumentalities (“foreign issuers”); (ii) principally traded outside of the U.S.; and/or (iii) quoted or denominated in a foreign currency (“non-dollar securities”). Foreign securities include American Depositary Receipts (“ADRs”), European Depositary Receipts (“EDRs”), Global Depositary Receipts (“GDRs”), Swedish Depositary Receipts (“SDRs”) and foreign money market securities. U.S. dollar-denominated securities that are part of the Merrill Lynch U.S. Domestic Master Index are not considered a foreign security.

Certain of the Funds have reclaimed 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 Statements of Assets and Liabilities. These receivables are reviewed to ensure the current receivable balance is reflective of the amount deemed to be collectable.

8. SECURITIES LENDING

Each Fund, except the Target Allocation 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. Amounts earned as interest on investments of cash collateral, net of rebates and fees, if any, are included in the Statements of Operations. The primary risk associated with securities lending is if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Funds could experience delays and costs in recovering securities loaned or in gaining access to collateral.

The Funds did not engage in any securities lending activity during the period ended June 30, 2017.

9. FEDERAL INCOME TAX INFORMATION

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 all its taxable income to its shareholders. Accordingly, no provisions for federal income taxes are recorded in the accompanying statements.

The Funds have not recorded any liabilities for material unrecognized tax benefits as of June 30, 2017. It is each Fund’s 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 tax years ended December 31, 2013 through December 31, 2016.

 
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Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017

For federal income tax purposes, the Funds listed below have capital loss carryforwards as of December 31, 2016, which are available to offset future capital gains, if any, realized through the fiscal year listed:

                            No Expiration Date   No Expiration Date
Fund     2017       2018       2019     Short Term   Long Term
                           
Core Bond   $ 2,357,684     $ 346,309     $     $     $  
High Income     4,641,635                         235,083  
International Stock     1,312,565       1,312,565             725,841       5,641,743  

The capital loss carryover for the International Stock Fund is subject to certain limitations upon availability, to offset future gains, pursuant to Section 382 of the Internal Revenue Code.

At June 30, 2017, 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 follow:

Fund     Appreciation     Depreciation   Net
             
Conservative Allocation   $ 7,824,793     $ (125,130 )   $ 7,699,663  
Moderate Allocation     25,441,789       (81,011 )     25,360,778  
Aggressive Allocation     11,746,677       (108,860 )     11,637,817  
Core Bond     6,566,878       (1,031,910 )     5,534,968  
High Income     1,009,094       (155,397 )     853,697  
Diversified Income     54,371,728       (2,037,339 )     52,334,389  
Large Cap Value     53,203,054       (4,287,077 )     48,915,977  
Large Cap Growth     101,697,123       (2,214,947 )     99,482,176  
Mid Cap     75,381,558       (1,705,404 )     73,676,154  
International Stock     4,099,955       (775,005 )     3,324,950  

The differences between the book unrealized amounts reflected in the Statement of Assets and Liabilities and tax unrealized amounts (shown above) are due to the tax deferral of losses on wash sales.

10. CONCENTRATION OF RISKS

Investing in certain financial instruments, including forward foreign currency contracts, involves certain risks. Risks associated with these instruments include potential for an illiquid secondary market for the instruments or inability of counterparties to perform under the terms of the contracts, changes in the value of foreign currency relative to the U.S. dollar and 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 International Stock Fund may enter into these contracts primarily to protect the Fund 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 Core Bond Fund is subject to derivatives risk. The risk that loss may result from investments in options, forwards, futures, swaps and other derivatives instruments. These instruments may be illiquid, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the fund. Derivatives are also subject to counterparty risk, which is the risk that the other party to the transaction will not fulfill its contractual obligations. In December 2015, the SEC proposed new regulations relating to a mutual fund’s use of derivatives and related instruments. If

 
56

Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017

these or other regulations are adopted, they could significantly limit or impact a fund’s ability to invest in derivatives or other instruments and adversely affect such fund’s performance and ability to pursue its investment objective.

The High Income Fund invests in securities offering high current income which generally will include bonds in the below investment grade categories of recognized rating 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 net assets in high yield securities.

The Target Allocation Funds are fund of funds, meaning that each invests primarily in 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, the Allocation 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 are subject to asset allocation risk and manager risk. Manager risk (i.e., fund selection risk) is the risk that the Underlying Fund(s) selected to fulfill a particular asset class underperforms their peers. 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 underperform other funds with a similar investment objective.

The Funds may be subject to interest rate risk which is the risk that the value of your investment will fluctuate with changes in interest rates. Typically, a rise in interest rates causes a decline in the market value of income-bearing securities. When interest rates rise, bond prices fall; generally the longer a bond’s maturity, the more sensitive it is to risk. Federal Reserve policy changes may expose fixed-income and related markets to heightened volatility and may reduce liquidity for certain fund investments, which could cause the value of a fund’s investments and share price to decline. The Core Bond may invest in derivatives tied to fixed-income markets and may be more substantially exposed to these risks than a fund that does not invest in derivatives.

The Funds are also subject to cybersecurity risk, which include the risks associated with computer systems, networks and devices to carry out routine business operations. These systems, networks and devices employ a variety of protections that are designed to prevent cyberattacks. Despite the various cyber protections utilized by the Funds, the Investment Adviser, and other service providers, their systems, networks, or devices could potentially be breached. The Funds, their shareholders, and the Investment Adviser could be negatively impacted as a result of a cybersecurity breach. The Funds cannot control the cybersecurity plans and systems put in place by service providers or any other third parties whose operations may affect the Funds. The Funds do monitor this risk closely.

In addition to the other risks described above in the prospectus, you should understand what we refer to as “unknown market risks.” While investments in securities have been keystones in wealth building and management, at times these investments have produced surprises. Those who enjoyed growth and income of their investments generally were rewarded for the risks they took by investing in the markets. Although the Investment Adviser seeks to appropriately address and manage the risks identified and disclosed to you in connection with the management of the securities in the Funds, you should understand that the very nature of the securities markets includes the possibility that there may be additional risks of which we are not aware. We certainly seek to identify all applicable risks and then appropriately address them, take appropriate action to reasonably manage them and to make you aware of them so you can determine if they exceed your risk tolerance. Nevertheless, the often volatile nature of the securities markets and the global economy in which we work suggests that the risk of the unknown is something to consider in connection with an investment in securities. Unforeseen events could under certain circumstances produce a material loss of the value of some or all of the securities we manage for you in the Funds.

 
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Ultra Series Fund | Notes to Financial Statements (unaudited) - concluded | June 30, 2017

11. CAPITAL SHARES AND AFFILIATED OWNERSHIP

All capital shares outstanding at June 30, 2017, are owned by separate investment accounts and/or pension plans of CMFG Life Insurance Company.

The Target Allocation Funds invest in Underlying Funds, of which may be deemed to be under common control because of the same or affiliated investment adviser and membership in a common family of investment companies (the “Affiliated Underlying Funds”). Madison Funds’ historical financial information is available to you at no cost on the Securities and Exchange Commission’s website at www.sec.gov, by calling 1-800-877-6089 or by visiting the Madison Funds’ website at www.madisonfunds.com. A summary of the transactions with each Affiliated Underlying Fund during the period ended June 30, 2017 follows:

      Balance of                     Balance of                        
      Shares                     Shares                        
      Held at       Gross       Gross   Held at   Value at   Realized   Distributions
Fund/Underlying Fund     12/31/16       Additions       Sales   6/30/17   6/30/17   Gain (Loss)   Received1
                                       
Conservative Allocation Fund                                                        
Madison Core Bond Fund Class Y     3,716,264             (206,139 )     3,510,125     $ 35,066,148     $ (51,511 )   $ 456,476  
Madison Corporate Bond Fund Class Y     1,017,856             (131,005 )     886,851       10,260,870       37,991       163,548  
Madison Dividend Income Fund Class Y     532,539       2,104       (127,853 )     406,790       10,015,167       212,367       94,789  
Madison Investors Fund Class Y     512,889             (47,687 )     465,202       10,173,959       26,252        
Madison Large Cap Value Fund Class Y     47,728             (47,728 )                 (487 )      
Madison Mid Cap Fund Class Y     468,217             (156,884 )     311,333       2,907,847       162,571        
                                                   
Totals                                   $ 68,423,991     $ 387,183     $ 714,813  
Moderate Allocation Fund                                                        
Madison Core Bond Fund Class Y     4,549,746             (231,389 )     4,318,357     $ 43,140,391     $ (62,238 )   $ 562,360  
Madison Corporate Bond Fund Class Y     481,207             (43,668 )     437,539       5,062,324       (3,453 )     78,878  
Madison Dividend Income Fund Class Y     1,221,753       5,582       (101,253 )     1,126,082       27,724,139       68,332       256,618  
Madison Investors Fund Class Y     1,458,799             (177,747 )     1,281,052       28,016,616       12,250        
Madison Large Cap Value Fund Class Y     766,876             (234,983 )     531,893       7,808,191       (60,312 )      
Madison Mid Cap Fund Class Y     1,206,267             (395,821 )     810,446       7,569,563       423,594        
                                                   
Totals                                   $ 119,321,224     $ 378,173     $ 897,856  
Aggressive Allocation Fund                                                        
Madison Core Bond Fund Class Y     881,077       55,499       (95,573 )     841,003     $ 8,401,620     $ (26,690 )   $ 112,754  
Madison Dividend Income Fund Class Y     503,222       2,386       (54,721 )     450,887       11,100,836       94,080       106,358  
Madison Investors Fund Class Y     583,972             (69,475 )     514,497       11,252,054       (10,433 )      
Madison Large Cap Value Fund Class Y     332,277             (41,550 )     290,727       4,267,869       (9,184 )      
Madison Mid Cap Fund Class Y     591,687             (131,825 )     459,862       4,295,108       136,219        
                                                   
Totals                                   $ 39,317,487     $ 183,992     $ 219,112  

1Distributions received include distributions from net investment income and from capital gains from the underlying funds.

12. SUBSEQUENT EVENTS

All Matters

Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available for issue. No other events have taken place that meet the definition of subsequent event that require adjustment to, or disclosure in the financial statements.

 
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Ultra Series Fund | June 30, 2017
 
 
 Other Information (unaudited)

FUND EXPENSES PAID BY SHAREHOLDERS

As a shareholder of the Funds, you pay no transaction costs, but do incur ongoing costs which include management fees; disinterested trustee fees and expenses; brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments; costs of borrowing money; expenses for independent audits, taxes, and extraordinary expenses as approved by a majority of the disinterested trustees. The examples in the table that follows are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples below are based on an investment of $1,000 invested for the six-month period ended June 30, 2017. Expenses paid during the period in the table below are equal to each Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half fiscal year period).

Actual Expenses

The table below provides information about actual account values using actual expenses and actual returns for the Funds. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table for the Fund you own under the heading entitled “Actual” to estimate the expenses you paid on your account during this period.

            CLASS I     CLASS II
                   
    Beginning   Ending   Annual   Expenses     Ending   Annual   Expenses
    Account   Account   Expense   Paid During     Account   Expense   Paid During
Fund   Value   Value   Ratio   Period     Value   Ratio   Period
                               
Conservative Allocation*   $ 1,000     $ 1,051.90       0.22 %   $ 1.12       $ 1,050.60       0.47 %   $ 2.39  
Moderate Allocation*     1,000       1,072.20       0.22 %     1.13         1,070.90       0.47 %     2.41  
Aggressive Allocation*     1,000       1,088.20       0.22 %     1.14         1,086.90       0.47 %     2.43  
Core Bond     1,000       1,020.60       0.57 %     2.86         1,019.30       0.82 %     4.11  
High Income     1,000       1,042.90       0.77 %     3.90         1,041.60       1.02 %     5.16  
Diversified Income     1,000       1,051.40       0.72 %     3.66         1,050.10       0.97 %     4.93  
Large Cap Value     1,000       1,046.00       0.62 %     3.15         1,044.70       0.87 %     4.41  
Large Cap Growth     1,000       1,109.90       0.82 %     4.29         1,108.50       1.07 %     5.59  
Mid Cap     1,000       1,054.50       0.92 %     4.69         1,053.20       1.17 %     5.96  
International Stock     1,000       1,118.20       1.17 %     6.14         1,116.80       1.42 %     7.45  

* The annual expense ratio does not include the expenses of the underlying funds.

 
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Ultra Series Fund | Other Information (unaudited) - continued | June 30, 2017

Hypothetical Example for Comparison Purposes

The table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds’ actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare the 5% hypothetical example of the Funds you own with the 5% hypothetical examples that appear in the shareholder reports of other similar funds.

            CLASS I   CLASS II
                 
    Beginning   Ending   Annual   Expenses   Ending   Annual   Expenses
    Account   Account   Expense   Paid During   Account   Expense   Paid During
Fund   Value   Value   Ratio   Period   Value   Ratio   Period
                             
Conservative Allocation*   $ 1,000     $ 1,023.70       0.22 %   $ 1.10     $ 1,022.46       0.47 %   $ 2.36  
Moderate Allocation*     1,000       1,023.70       0.22 %     1.10       1,022.46       0.47 %     2.36  
Aggressive Allocation*     1,000       1,023.70       0.22 %     1.10       1,022.46       0.47 %     2.36  
Core Bond     1,000       1,021.97       0.57 %     2.86       1,020.73       0.82 %     4.11  
High Income     1,000       1,020.98       0.77 %     3.86       1,019.74       1.02 %     5.11  
Diversified Income     1,000       1,021.22       0.72 %     3.61       1,019.98       0.97 %     4.86  
Large Cap Value     1,000       1,021.72       0.62 %     3.11       1,020.48       0.87 %     4.36  
Large Cap Growth     1,000       1,020.73       0.82 %     4.11       1,019.49       1.07 %     5.36  
Mid Cap     1,000       1,020.23       0.92 %     4.61       1,018.99       1.17 %     5.86  
International Stock     1,000       1,018.99       1.17 %     5.86       1,017.75       1.42 %     7.10  

* The annual expense ratio does not include the expenses of the underlying funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any separate account fees, charges, or expenses imposed by the variable annuity or variable life insurance contracts, or retirement and pension plans that use the Funds. The information provided in the hypothetical example table is useful in comparing ongoing Fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these fees, charges or expenses were included, your costs would have been higher.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available to shareholders at no cost on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. More information on the operation of the Public Reference Room may be obtained by calling 1-202-551-8090. Form N-Q and other information about the Trust are available on the EDGAR database on the SEC’s Internet site at www.sec.gov. Copies of this information may also be obtained, upon payment of a duplicating fee, by electronic request at the following email address: publicinfo@sec.gov, or by writing the SEC’s Public Reference Section, Washington, DC 20549-0102

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 and is also located in the Funds’ Statement of Additional Information. 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.

 
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Ultra Series Fund | Other Information (unaudited) - concluded | June 30, 2017

FORWARD-LOOKING STATEMENT DISCLOSURE

One of our most important responsibilities as investment company managers is to communicate with shareholders in an open and direct manner. Some of our comments in the Economic Overview and Market Outlook are based on current management expectations and are considered “forward-looking statements.” Actual future results, however, may prove to be different from our expectations. You can identify forward-looking statements by words such as “estimate,” “may,” “will,” “expect,” “believe,” “plan” and other similar terms. We cannot promise future returns. Our opinions are a reflection of our best judgment at the time this report is compiled, and we disclaim any obligation to update or after forward-looking statements as a result of new information, future events, or otherwise.

SEC File Number: 811-04815

 
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Semi-annual Report  
June 30, 2017  








 

Ultra Series Madison Target Retirement 2020 Fund
Ultra Series Madison Target Retirement 2030 Fund
Ultra Series Madison Target Retirement 2040 Fund
Ultra Series Madison Target Retirement 2050 Fund

 


Ultra Series Fund | June 30, 2017

Table of Contents

 

  Page
Economic Overview and Market Outlook 2
Review of Period 2
Madison Target Retirement 2020 Fund 2
Madison Target Retirement 2030 Fund 2
Madison Target Retirement 2040 Fund 3
Madison Target Retirement 2050 Fund 3
Benchmark Descriptions 4
Portfolios of Investments  
Madison Target Retirement 2020 Fund 5
Madison Target Retirement 2030 Fund 5
Madison Target Retirement 2040 Fund 5
Madison Target Retirement 2050 Fund 5
Financial Statements  
Statements of Assets and Liabilities 6
Statements of Operations 7
Statements of Changes in Net Assets 8
Financial Highlights for a Share of Beneficial Interest Outstanding 9
Notes to Financial Statements 11
Other Information 15

 

Nondeposit investment products are not federally insured, involve investment risk, may lose value and are not obligations of or guaranteed by any financial institution. For more complete information about Ultra Series Fund, including charges and expenses, request a prospectus from your plan administrator or call CUNA Mutual Retirement Solutions at 1-800-999-8786. Consider the investment objectives, risks, and charges and expenses of any fund carefully before investing. The prospectus contains this and other information about the investment company. For more current Ultra Series Fund performance information, please call 1-800-670-3600. Current performance may be lower or higher than the performance data quoted within. Past performance does not guarantee future results. Nothing in this report represents a recommendation of a security by the investment adviser. Portfolio holdings may have changed since the date of this report.


1

Ultra Series Fund | June 30, 2017

Economic Overview and Market Outlook

The six-month period end marked the tenth anniversary of the beginning of the Financial Crisis, which ended with risk assets advancing to record levels. The S&P 500® returned 9.34%, the Russell Midcap® returned 7.99% and the MSCI EAFE® advanced 13.81% during the six-month period. Although the Federal Reserve (Fed) again voted to raise short-term interest rates, bond indices advanced as longer-term interest rates fell, and coupled with interest income, produced strong returns. The BofA Merrill Lynch U.S. High Yield Constrained Index advanced 4.90% and the Bloomberg Barclays Aggregate Index gained 2.27% for the six-month period.

June 2007 marked the beginning of events that led to what is now known as the Great Recession, an event that triggered great economic chaos and led to unprecedented central bank intervention. The collapse of two Bear Stearns hedge funds (exposed to sub-prime credit derivatives) in June 2007 marked the start of trouble. By August 2007, the Fed reversed its tightening course as contagion led to disarray in the money-markets and equity markets. By March 2008, Bear Stearns was forced to merge with JP Morgan, and Lehman Brothers was bankrupt by September 2008. Equity markets reached their low point in March 2009 as central-banks engaged in unprecedented monetary stimulus which included not only cutting interest rates (in some cases to negative levels) but also the buying of financial assets (better known as quantitative easing or QE).

Ten years later, investors are happily counting their regained fortunes as central banks now weigh options on how to withdraw the “morphine drip” from the financial markets - which have seemingly become addicted to easy central bank policies (low interest rates, along with unprecedented asset purchases by the central banks). Make no mistake, many of these policies likely prevented a complete collapse of the economic system and a depression-like scenario from occurring. Meanwhile, as investors are feeling no pain, the economy continues to limp along with modest growth (first quarter GDP up 1.4%) and high optimism as asset values continue to stretch. Perhaps, nowhere has this optimism been more apparent than in the Technology sector, with the “Fab Five” (Facebook, Amazon, Apple, Microsoft and Google parent, Alphabet) contributing an outsized portion of the S&P 500 Index’s return during the first half of 2017.

On the economic front, the most positive economic news seems to be “soft” data – sentiment, consumer confidence and other surveys which ask about future intention to spend. Actual “hard” economic data – measureable data based upon actions – has been harder to come by and, in-fact, has been well below expectations. Similar to the past eight years, the data hasn’t been extremely weak, it’s just been weak relative to expectations and presumably what’s priced in the equity market. Although the equity market has been signaling optimism, the bond market has been pricing a very different scenario. Despite the Fed raising short-term interest rates in March and June, the 10-year Treasury yield reached a low of 2.13% in June, its lowest level since November 10, 2016. This flattening of the yield curve (the declining difference between short and long-term interest rates) typically implies that economic expansion is slowing and the “hard” data seems to be confirming it. One plausible explanation for this disconnect is that if we remain in a stable, low-growth, low-inflation environment for an extended period of time, interest rates will remain low and in-turn risk assets (even with lower expected returns) will look attractive compared to bond yields.

This conundrum between the bond and stock market (and between “soft” and “hard” economic data) leads us to believe that the low levels of volatility in the market may not persist. Elevated stock valuations and weakening economic data along with high expectations and high optimism create a recipe for higher volatility in the future. Although lofty valuations (along with stock prices) may continue longer than justified, we believe investors should prepare for more modest returns. With this backdrop we believe stocks of lower-risk, higher-quality companies along with shorter-duration, higher-quality bonds will allow investors to continue to participate in the market, while providing some shelter should volatility return to more typical levels.

Review of Period (unaudited)

MADISON TARGET RETIREMENT 2020 FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Madison Target Retirement 2020 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Fund’s investment adviser for investors planning to retire in or within a few years of 2020. Over time, the Fund’s asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.


PERFORMANCE

The Ultra Series Madison Target Retirement 2020 Fund returned 4.32% for the period, lagging the S&P Target Date® To 2020 Index return of 5.65%. The Fund underperformed its peers as measured by the Morningstar Target-Date 2020 category, which advanced 7.05% for the period.

GOLDMAN SACHS: TARGET DATE 2020 PORTFOLIO - UNDERLYING TARGET DATE FUND    
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17    
Alternative Funds 1.5 %
Bond Funds 60.8 %
Foreign Stock Funds 10.3 %
Stock Funds 18.3 %
Investment Companies 4.5 %
Other Assets in Excess of Liabilities 4.6 %

MADISON TARGET RETIREMENT 2030 FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Madison Target Retirement 2030 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Fund’s investment adviser for investors planning to retire in or within a few years of 2030. Over time, the Fund’s asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.


PERFORMANCE

The Ultra Series Madison Target Retirement 2030 Fund returned 6.58% for the period, compared to the S&P Target Date® To 2030 Index return of 7.00%. The Fund underperformed its peers as measured by the Morningstar Target-Date 2030 category, which advanced 8.81% for the period.

GOLDMAN SACHS: TARGET DATE 2030 PORTFOLIO - UNDERLYING TARGET DATE FUND    
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17    
Alternative Funds 2.0 %
Bond Funds 34.6 %
Foreign Stock Funds 20.1 %
Stock Funds 36.0 %
Investment Companies 2.5 %
Other Assets in Excess of Liabilities 4.8 %

 


2

Ultra Series Fund | Review of Period (unaudited) - concluded | June 30, 2017

MADISON TARGET RETIREMENT 2040 FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Madison Target Retirement 2040 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Fund’s investment adviser for investors planning to retire in or within a few years of 2040. Over time, the Fund’s asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.


PERFORMANCE

The Ultra Series Madison Target Retirement 2040 Fund returned 7.43% for the period, compared to the S&P Target Date® To 2040 Index return of 8.00%. The Fund underperformed its peers as measured by the Morningstar Target-Date 2040 category, which advanced 9.54% for the period.

GOLDMAN SACHS: TARGET DATE 2040 PORTFOLIO - UNDERLYING TARGET DATE FUND    
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17    
Alternative Funds 2.0 %
Bond Funds 25.6 %
Foreign Stock Funds 23.6 %
Stock Funds 42.7 %
Investment Companies 1.5 %
Other Assets in Excess of Liabilities 4.6 %

 

MADISON TARGET RETIREMENT 2050 FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Madison Target Retirement 2050 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Fund’s investment adviser for investors planning to retire in or within a few years of 2050. Over time, the Fund’s asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.


PERFORMANCE

The Ultra Series Madison Target Retirement 2050 Fund returned 8.11% for the period, compared to the S&P Target Date® To 2050 Index return of 8.67%. The Fund lagged its peers as measured by the Morningstar Target-Date 2050 category, which advanced 10.11% for the period.

GOLDMAN SACHS: TARGET DATE 2050 PORTFOLIO - UNDERLYING TARGET DATE FUND    
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17    
Alternative Funds 2.0 %
Bond Funds 16.6 %
Foreign Stock Funds 27.3 %
Stock Funds 49.4 %
Investment Companies 0.5 %
Other Assets in Excess of Liabilities 4.2 %

 


3

Ultra Series Fund | June 30, 2017

BENCHMARK DESCRIPTIONS

The S&P Target Date® To Index Series

The S&P Target Date® “To” Index Series consists of multi-asset class indices, and corresponds to specific target retirement dates. The series reflects the consensus asset allocation and glide path of a subset of target date funds that generally pursue investment policies characterized by static total equity exposure after retirement and a relatively conservative total equity exposure near retirement. As the overall universe becomes more conservative with the approach of each target date year, so will the index. The asset allocation is based on market observations through an annual survey of “to” target date fund managers, and is categorized by S&P Dow Jones Indices.

• The S&P Target Date® To 2020 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2020.

• The S&P Target Date® To 2030 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2030.

• The S&P Target Date® To 2040 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2040.

• The S&P Target Date® To 2050 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2050.

MARKET INDEXES

The Bank of America Merrill Lynch U.S. High Yield 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%.

The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, mortgage backed securities, asset backed securities and commercial mortgage-backed securities.

The MSCI EAFE (Europe, Australasia & Far East) Index (net) 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 EAFE Index (net) is calculated on a total return basis with dividends reinvested after the deduction of withholding taxes.

The Russell Midcap® Index is a mid-cap market index which measures the performance of the mid-cap segment of the U.S. equity universe.

The S&P 500® Index is a large-cap market index which measures the performance of a representative sample of 500 leading companies in leading industries in the U.S.

© Morningstar, Inc. All rights reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete, or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Past performance is no guarantee of future results.

Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Russell Investment Group.


4

Ultra Series Fund | June 30, 2017

Madison Target Retirement 2020 Fund Portfolio of Investments (unaudited)

 

  Shares   Value (Note 2)
INVESTMENT COMPANIES - 98.8%      
Target Date Fund - 98.8%*      
Goldman Sachs Target Date 2020 Portfolio,      
Class R6 4,919,885   $           48,264,074
       
TOTAL INVESTMENTS - 98.8% (Cost $44,573,087**)   48,264,074
NET OTHER ASSETS AND LIABILITIES - 1.2%   603,043
TOTAL NET ASSETS - 100.0%   $           48,867,117

 

* See Appendix A for a complete listing of holdings of the Underlying Target Date Fund.
** Aggregate cost for Federal tax purposes was $44,573,087.

 

Madison Target Retirement 2030 Fund Portfolio of Investments (unaudited)

 

  Shares Value (Note 2)
INVESTMENT COMPANIES - 98.1%      
Target Date Fund - 98.1%*      
Goldman Sachs Target Date 2030 Portfolio,      
Class R6 7,199,015   $           72,566,073
TOTAL INVESTMENTS - 98.1% (Cost $61,935,116**)   72,566,073
NET OTHER ASSETS AND LIABILITIES - 1.9%   1,429,964
TOTAL NET ASSETS - 100.0%   $           73,996,037

 

* See Appendix A for a complete listing of holdings of the Underlying Target Date Fund.
** Aggregate cost for Federal tax purposes was $61,935,116.

 

Madison Target Retirement 2040 Fund Portfolio of Investments (unaudited)

 

  Shares Value (Note 2)
INVESTMENT COMPANIES - 98.5%      
Target Date Fund - 98.5%*      
Goldman Sachs Target Date 2040 Portfolio,      
Class R6 4,978,711   $           49,438,599

 

TOTAL INVESTMENTS - 98.5% (Cost $41,493,737**)   49,438,599
NET OTHER ASSETS AND LIABILITIES - 1.5%   764,862
TOTAL NET ASSETS - 100.0% $           50,203,461

 

* See Appendix A for a complete listing of holdings of the Underlying Target Date Fund.
** Aggregate cost for Federal tax purposes was $41,493,737.

 

Madison Target Retirement 2050 Fund Portfolio of Investments (unaudited)

 

  Shares Value (Note 2)
INVESTMENT COMPANIES - 96.3%      
Target Date Fund - 96.3%*      
Goldman Sachs Target Date 2050 Portfolio,      
Class R6 2,419,764   $           25,044,562

 

TOTAL INVESTMENTS - 96.3% (Cost $21,096,679**)   25,044,562
NET OTHER ASSETS AND LIABILITIES - 3.7%   952,346
TOTAL NET ASSETS - 100.0%   $           25,996,908

 

* See Appendix A for a complete listing of holdings of the Underlying Target Date Fund.
** Aggregate cost for Federal tax purposes was $21,096,679.

 

See accompanying Notes to Financial Statements.
  5

Ultra Series Fund | June 30, 2017

Statements of Assets and Liabilities as of June 30, 2017 (unaudited)

 

    Madison
Target
Retirement
2020 Fund
    Madison
Target
Retirement
2030 Fund
    Madison
Target
Retirement
2040 Fund
    Madison
Target
Retirement
2050 Fund
 
                 
                 
         
Assets:                        
Investments in securities, at cost                        
Unaffiliated issuers $ 44,573,087   $ 61,935,116   $ 41,493,737   $ 21,096,679  
Net unrealized appreciation                        
Unaffiliated issuers   3,690,987     10,630,957     7,944,862     3,947,883  
Total investments, at value   48,264,074     72,566,073     49,438,599     25,044,562  
Cash   515,531     1,398,851     672,333     881,838  
Receivables:                        
Fund shares sold   87,512     31,113     92,529     70,508  
Total assets   48,867,117     73,996,037     50,203,461     25,996,908  
Liabilities:                        
Total liabilities                
Net assets applicable to outstanding capital stock $ 48,867,117   $ 73,996,037   $ 50,203,461   $ 25,996,908  
Net assets consist of:                        
Paid-in capital in excess of par $ 45,101,927   $ 63,121,353   $ 42,186,724   $ 22,037,903  
Accumulated net realized gain on investments sold   74,203     243,727     71,875     11,122  
Net unrealized appreciation of investments   3,690,987     10,630,957     7,944,862     3,947,883  
Net Assets $ 48,867,117   $ 73,996,037   $ 50,203,461   $ 25,996,908  
Net Assets $ 48,867,117   $ 73,996,037   $ 50,203,461   $ 25,996,908  
Shares of beneficial interest outstanding   5,821,388     8,414,753     6,104,085     1,915,225  
Net Asset Value and redemption price per share $ 8.39   $ 8.79   $ 8.22   $ 13.57  

 

See accompanying Notes to Financial Statements.
6  

Ultra Series Fund | June 30, 2017

Statements of Operations for the Six-Months Ended June 30, 2017 (unaudited)

 

    Madison
Target
Retirement
2020 Fund
    Madison
Target
Retirement
2030 Fund
    Madison
Target
Retirement
2040 Fund
    Madison
Target
Retirement
2050 Fund
 
                 
                 
         
Investment Income                        
Total investment income $  –   $  –    $    $  
Expenses1                        
Total expenses.                
Net Investment Income                
Net Realized and Unrealized Gain (Loss) on Investments                        
Net realized gain on investments                        
Unaffiliated issuers   74,205     243,747     71,918     11,125  
Net change in unrealized appreciation on investments                        
Unaffiliated issuers   2,039,579     4,495,339     3,529,520     1,921,252  
Net Realized and Unrealized Gain on Investments.   2,113,784     4,739,086     3,601,438     1,932,377  
Net Increase in Net Assets from Operations $ 2,113,784   $ 4,739,086   $ 3,601,438   $ 1,932,377  
1 See Note 3 for information on expenses.                        

 

See accompanying Notes to Financial Statements.

7

Ultra Series Fund | June 30, 2017

Statements of Changes in Net Assets

 

    Madison Target
Retirement 2020 Fund
    Madison Target
Retirement 2030 Fund
    Madison Target
Retirement 2040 Fund
    Madison Target
Retirement 2050 Fund
 
                 
    (unaudited)
Six-Months
Ended
6/30/17
          (unaudited)
Six-Months
Ended
6/30/17
    Year Ended
12/31/16
    (unaudited)
Six-Months
Ended
6/30/17
          (unaudited)
Six-Months
Ended
6/30/17
       
                                       
        Year Ended
12/31/16
                Year Ended
12/31/16
        Year Ended
12/31/16
 
                                 
Net Assets at beginning of period $ 51,485,211   $ 52,858,479   $ 75,564,099   $ 74,258,209   $ 49,514,964   $ 49,576,290   $ 23,441,816   $ 21,173,170  
Increase in net assets from operations:                                                
Net investment income       931,717         1,467,504         1,009,845         462,710  
Net realized gain   74,205     2,126,576     243,747     2,710,502     71,918     2,438,131     11,125     902,167  
Net change in unrealized appreciation (depreciation)   2,039,579     (158,228 )   4,495,339     1,253,403     3,529,520     562,321     1,921,252     598,267  
Net increase in net assets from operations   2,113,784     2,900,065     4,739,086     5,431,409     3,601,438     4,010,297     1,932,377     1,963,144  
Distributions to shareholders from:                                                
Net investment income   (21,163 )   (1,061,413 )   (30,271 )   (1,511,801 )   (23,264 )   (1,162,210 )   (10,950 )   (545,783 )
Net realized gains   (31,658 )   (1,599,588 )   (42,184 )   (2,146,522 )   (36,965 )   (1,867,444 )   (14,306 )   (713,406 )
Total distributions   (52,821 )   (2,661,001 )   (72,455 )   (3,658,323 )   (60,229 )   (3,029,654 )   (25,256 )   (1,259,189 )
Capital Stock transactions:                                                
Shares sold   5,880,815     18,107,940     10,490,773     20,505,495     7,699,261     13,688,202     5,377,001     10,091,461  
Issued to shareholders in reinvestment of distributions   52,821     2,661,001     72,455     3,658,323     60,229     3,029,655     25,256     1,259,189  
Shares redeemed   (10,612,693 )   (22,381,273 )   (16,797,921 )   (24,631,014 )   (10,612,202 )   (17,759,826 )   (4,754,286 )   (9,785,959 )
Total increase (decrease) from capital stock transactions   (4,679,057 )   (1,612,332 )   (6,234,693 )   (467,196 )   (2,852,712 )   (1,041,969 )   647,971     1,564,691  
Total increase (decrease) in net assets   (2,618,094 )   (1,373,268 )   (1,568,062 )   1,305,890     688,497     (61,326 )   2,555,092     2,268,646  
Net Assets at end of period $ 48,867,117   $ 51,485,211   $ 73,996,037   $ 75,564,099   $ 50,203,461   $ 49,514,964   $ 25,996,908   $ 23,441,816  
Undistributed net investment income included in net assets $   $ 21,163   $   $ 30,271   $   $ 23,264   $   $ 10,950  
Capital Share transactions:                                                
Shares sold   717,470     2,186,104     1,237,863     2,477,424     975,113     1,771,037     412,593     808,845  
Issued to shareholders in reinvestment of distributions   6,280     330,038     8,232     442,869     7,323     395,172     1,861     100,210  
Shares redeemed   (1,293,445 )   (2,699,257 )   (1,980,857 )   (2,957,998 )   (1,338,394 )   (2,285,451 )   (364,512 )   (781,090 )
Net increase (decrease) from capital share transactions   (569,695 )   (183,115 )   (734,762 )   (37,705 )   (355,958 )   (119,242 )   49,942     127,965  


See accompanying Notes to Financial Statements.

8

Ultra Series Fund | June 30, 2017

Financial Highlights for a Share of Beneficial Interest Outstanding

 

MADISON TARGET RETIREMENT 2020 FUND
    (unaudited)
Six-Months
Ended 6/30/17
    Year Ended December 31,
                                   
        2016     2015     2014     2013     2012  
Net Asset Value at beginning of period $ 8.06   $ 8.04   $ 8.67   $ 8.76   $ 8.31   $ 7.82  
Income from Investment Operations:                                    
Net investment income1   0.00     0.15     0.13     0.19     0.21     0.24  
Net realized and unrealized gain (loss) on investments   0.34     0.32     (0.15 )   0.42     0.70     0.53  
Total from investment operations   0.34     0.47     (0.02 )   0.61     0.91     0.77  
Less Distributions From:                                    
Net investment income   (0.00 )2   (0.18 )   (0.20 )   (0.24 )   (0.22 )   (0.25 )
Capital gains   (0.01 )   (0.27 )   (0.41 )   (0.46 )   (0.24 )   (0.03 )
Total distributions   (0.01 )   (0.45 )   (0.61 )   (0.70 )   (0.46 )   (0.28 )
Net increase (decrease) in net asset value   0.33     0.02     (0.63 )   (0.09 )   0.45     0.49  
Net Asset Value at end of period $ 8.39   $ 8.06   $ 8.04   $ 8.67   $ 8.76   $ 8.31  
Total Return (%)3   4.32 4   5.68     (0.34 )   7.11     10.94     9.98  
Ratios/Supplemental Data:                                    
Net Assets at end of period (in 000’s) $ 48,867   $ 51,485   $ 52,858   $ 62,087   $ 70,472   $ 56,607  
Ratios of expenses to average net assets:                                    
Before reimbursement of expenses by adviser (%)   0.00 5,6   0.00 6   0.00 6,7   0.30     0.30     0.30  
After reimbursement of expenses by adviser (%)   0.00 5,6   0.00 6   0.00 6,7   0.21 8   0.30     0.30  
Ratio of net investment income to average net assets (%)   0.00 5,6   1.80 6   1.51 6   2.08     2.37     2.96  
Portfolio turnover (%)   0 4   7     7     142     167     90  
 
 
 
MADISON TARGET RETIREMENT 2030 FUND                    
    (unaudited)
Six-Months
Ended 6/30/17
    Year Ended December 31,
                                   
        2016     2015     2014     2013     2012  
Net Asset Value at beginning of period $ 8.26   $ 8.08   $ 8.77   $ 8.92   $ 8.04   $ 7.49  
Income from Investment Operations:                                    
Net investment income1   0.00     0.16     0.13     0.18     0.19     0.23  
Net realized and unrealized gain (loss) on investments   0.54     0.44     (0.21 )   0.54     1.13     0.60  
Total from investment operations   0.54     0.60     (0.08 )   0.72     1.32     0.83  
Less Distributions From:                                    
Net investment income   (0.00 )2   (0.17 )   (0.18 )   (0.22 )   (0.18 )   (0.22 )
Capital gains   (0.01 )   (0.25 )   (0.43 )   (0.65 )   (0.26 )   (0.06 )
Total distributions   (0.01 )   (0.42 )   (0.61 )   (0.87 )   (0.44 )   (0.28 )
Net increase (decrease) in net asset value   0.53     0.18     (0.69 )   (0.15 )   0.88     0.55  
Net Asset Value at end of period $ 8.79   $ 8.26   $ 8.08   $ 8.77   $ 8.92   $ 8.04  
Total Return (%)3   6.58 4   7.35     (0.86 )   8.06     16.56     11.05  
Ratios/Supplemental Data:                                    
Net Assets at end of period (in 000’s) $ 73,996   $ 75,564   $ 74,258   $ 84,935   $ 93,187   $ 68,009  
Ratios of expenses to average net assets:                                    
Before reimbursement of expenses by adviser (%)   0.00 5,6   0.00 6,7   0.00 6,7   0.30     0.30     0.30  
After reimbursement of expenses by adviser (%)   0.00 5,6   0.00 6,7   0.00 6,7   0.21 8   0.30     0.30  
Ratio of net investment income to average net assets (%)   0.00 5,6   1.95 6   1.51 6   1.98     2.16     2.84  
Portfolio turnover (%)   04     6     7     103     136     86  
 
1 Based on average shares outstanding during the year.
2 Amounts represent less than $0.005 per share.
3 These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year.  
 
4 Not annualized.                                    
5 Annualized.                                    
6 Amount does not include income or expenses of the underlying Target Date Fund, nor the underlying expenses of the funds held by the Target Date Fund. See Note 1 for an explanation of the Fund organizational structure and current prospectus for more complete information regarding the charges and expenses for the Fund.
7 Amounts represent less than 0.01%.
8 Amount includes fees waived by adviser (see Note 3).

 

See accompanying Notes to Financial Statements.
  9

Ultra Series Fund | June 30, 2017

Financial Highlights for a Share of Beneficial Interest Outstanding

 

MADISON TARGET RETIREMENT 2040 FUND                    
    (unaudited)
Six-Months
Ended 6/30/17
    Year Ended December 31,
                                   
        2016     2015     2014     2013     2012  
Net Asset Value at beginning of period $ 7.66   $ 7.54   $ 8.37   $ 8.68   $ 7.61   $ 7.06  
Income from Investment Operations:                                    
Net investment income1   0.00     0.16     0.13     0.17     0.17     0.20  
Net realized and unrealized gain (loss) on investments   0.57     0.46     (0.20 )   0.55     1.32     0.61  
Total from investment operations   0.57     0.62     (0.07 )   0.72     1.49     0.81  
Less Distributions From:                                    
Net investment income   (0.00 )2   (0.19 )   (0.19 )   (0.22 )   (0.16 )   (0.19 )
Capital gains   (0.01 )   (0.31 )   (0.57 )   (0.81 )   (0.26 )   (0.07 )
Total distributions   (0.01 )   (0.50 )   (0.76 )   (1.03 )   (0.42 )   (0.26 )
Net increase (decrease) in net asset value   0.56     0.12     (0.83 )   (0.31 )   1.07     0.55  
Net Asset Value at end of period $ 8.22   $ 7.66   $ 7.54   $ 8.37   $ 8.68   $ 7.61  
Total Return (%)3   7.43 4   8.31     (1.01 )   8.27     19.63     11.42  
Ratios/Supplemental Data:                                    
Net Assets at end of period (in 000’s) $ 50,203   $ 49,515   $ 49,576   $ 59,499   $ 68,917   $ 49,269  
Ratios of expenses to average net assets:                                    
Before reimbursement of expenses by adviser (%)   0.00 5,6   0.00 6,7   0.00 6,7   0.30     0.30     0.30  
After reimbursement of expenses by adviser (%)   0.00 5,6   0.00 6,7   0.00 6,7   0.21 8   0.30     0.30  
Ratio of net investment income to average net assets (%)   0.00 5,6   2.01 6   1.52 6   1.95     2.01     2.65  
Portfolio turnover (%)   3 4   7     8     108     151     101  
 
 
 
MADISON TARGET RETIREMENT 2050 FUND                    
    (unaudited)
Six Months
Ended 6/30/17
    Year Ended December 31,
                                   
        2016     2015     2014     2013     2012  
Net Asset Value at beginning of period $ 12.57   $ 12.19   $ 12.97   $ 12.78   $ 10.69   $ 9.75  
Income from Investment Operations:                                    
Net investment income1   0.00     0.26     0.21     0.27     0.24     0.30  
Net realized and unrealized gain (loss) on investments   1.02     0.84     (0.33 )   0.82     2.19     0.89  
Total from investment operations   1.02     1.10     (0.12 )   1.09     2.43     1.19  
Less Distributions From:                                    
Net investment income   (0.01 )   (0.31 )   (0.28 )   (0.27 )   (0.18 )   (0.21 )
Capital gains   (0.01 )   (0.41 )   (0.38 )   (0.63 )   (0.16 )   (0.04 )
Total distributions   (0.02 )   (0.72 )   (0.66 )   (0.90 )   (0.34 )   (0.25 )
Net increase (decrease) in net asset value   1.00     0.38     (0.78 )   0.19     2.09     0.94  
Net Asset Value at end of period $ 13.57   $ 12.57   $ 12.19   $ 12.97   $ 12.78   $ 10.69  
Total Return (%)3   8.11 4   8.97     (0.91 )   8.51     22.78     12.12  
Ratios/Supplemental Data:                                    
Net Assets at end of period (in 000’s) $ 25,997   $ 23,442   $ 21,173   $ 22,799   $ 18,123   $ 7,160  
Ratios of expenses to average net assets:                                    
Before reimbursement of expenses by adviser (%)   0.00 5   0.00 6,7   0.00 6,7   0.30     0.30     0.30  
After reimbursement of expenses by adviser (%)   0.00 5   0.00 6,7   0.00 6,7   0.20 8   0.30     0.30  
Ratio of net investment income to average net assets (%)   0.00 5   2.08 6   1.57 6   2.02     1.98     2.90  
Portfolio turnover (%)   5 4   6     13     133     215     86  
 
1 Based on average shares outstanding during the year.
2 Amounts represent less than $0.005 per share.
3 These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year.
4 Not annualized.                                    
5 Annualized.                                    
6 Amount does not include income or expenses of the underlying Target Date Fund, nor the underlying expenses of the funds held by the Target Date Fund. See Note 1 for an explanation of the Fund organizational structure and current prospectus for more complete information regarding the charges and expenses for the Fund.
 
 
7 Amounts represent less than 0.01%.
8 Amount includes fees waived by adviser (see Note 3).

 

See accompanying Notes to Financial Statements.

10

Ultra Series Fund | June 30, 2017

Notes to Financial Statements (unaudited)

1. ORGANIZATION

The Ultra Series Fund (the “Trust”), a Massachusetts business trust, is registered under the investment company Act of 1940 (the “1940 Act”), as amended, as a diversified, open-end management investment company. The Trust is a series trust with, at the end of the period covered by this report, 14 investment portfolios (individually, a “Fund,” and collectively, the “Funds”), each with different investment objectives and policies. The Funds currently reporting within this book at the end of the period were the Madison Target Retirement 2020 Fund, Madison Target Retirement 2030 Fund, Madison Target Retirement 2040 Fund, and Madison Target Retirement 2050 Fund, (collectively, the “Target Date Funds” or “Ultra Series Madison Target Retirement Funds” or “USF 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. The Target Date Funds only offer a single class of shares, Class I shares. The shares represent an interest in the assets of the respective Fund and identical voting, dividend, liquidation and other rights, and its proportional share of Fund level expenses. Shares are offered to the Group Variable Annuity Separate Accounts (“GVA Separate Accounts”) of CMFG Life Insurance Company (“CMFG Life”). The purchase of shares of the USF Target Date Funds is limited to separate accounts of insurance companies that exclusively support variable contracts that qualify as pension plan contracts under section 818(a) of the Internal Revenue Code (the “Code”). The Trust does not offer shares directly to the general public.

The Trust has entered into a Management Agreement with Madison Asset Management, LLC (the “Investment Adviser” or “Madison”).

Previously, the Ultra Series Madison Target Retirement Funds aimed to achieve their investment objectives by investing in the shares of the corresponding Madison Funds Target Retirement Fund series, other than cash required to process shareholder transactions. As of August 22, 2016, the Madison Funds Target Retirement Fund series were reorganized into the Goldman Sachs Target Date 2020 Portfolio, the Goldman Sachs Target Date 2030 Portfolio, the Goldman Sachs Target Date 2040 Portfolio and the Goldman Sachs Target Date 2050 Portfolio, respectively (collectively, the “GS Target Date Portfolios”), each which was a newly formed “shell” series of the Goldman Sachs Trust II.

The GS Target Date Portfolios’ principal investment objectives and strategies are substantially similar to those of the corresponding predecessor Madison Funds Target Retirement Fund. Goldman Sachs Asset Management, L.P. serves as the investment adviser of the GS Target Date Portfolios, and Madison Asset Management, LLC, serves as the subadvisor of the GS Target Date Portfolios. The predecessor Madison Funds Target Retirement Funds’ portfolio managers continue to manage the GS Target Date Portfolios.

As of June 30, 2017, the Ultra Series Madison Target Retirement 2020 Fund owned approximately 91.76% of the respective Goldman Sachs Target Date 2020 Portfolio, the Ultra Series Madison Target Retirement 2030 Fund owned approximately 95.07% of the respective Goldman Sachs Target Date 2030 Portfolio, the Ultra Series Madison Target Retirement 2040 Fund owned approximately 98.23% of the respective Goldman Sachs Target Date 2040 Portfolio, and the Ultra Series Madison Target Retirement 2050 Fund owned approximately 97.76% of the respective Goldman Sachs Target Date 2050 Portfolio. See also Appendix A, page 16 for the Portfolio of Investments, and Appendix B, page 18 for the Statements of Assets and Liabilities for the respective GS Target Date Portfolios.

2. SIGNIFICANT ACCOUNTING POLICIES

The Funds are investment companies that apply the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services-Investment Companies (ASC 946). The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Portfolio Valuation: Equity securities, including 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 (“NOCP”)). If no sale occurs, equities traded on a U.S. exchange, foreign exchange or on NASDAQ are valued at the bid price.

Investments in shares of open-end mutual funds are valued at their daily net asset value (“NAV”) which is calculated as of the close of regular trading on the New York Stock Exchange ((the “NYSE”), usually 4:00 p.m. Eastern Standard Time), on each day on which the NYSE is open for business. NAV per share is determined by dividing each Fund’s total net assets by the number of shares of such Fund outstanding at the time of calculation. Because the assets of each Target Date Fund consist primarily of shares of other registered investment companies (the “Underlying Funds”), the NAV of each Fund is determined based on the NAVs 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.

Over-the-counter securities not listed or traded on NASDAQ are valued at the last sale price on the valuation day. If no sale occurs on the valuation day, an over-the-counter security is valued at the last bid price. Exchange traded options are valued at the mean of the best bid and ask prices across all option exchanges. Financial futures contracts generally are valued at the settlement price established by the exchange(s) on which the contracts are primarily traded. Overnight repurchase agreements are valued at cost, and term repurchase agreements (i.e., those whose maturity exceeds seven days), swaps, caps, collars and floors, if any, are valued at the average of the closing bids obtained daily from at least one dealer.

Through the end of this reporting period, the value of all assets and liabilities expressed in foreign currencies was converted into U.S. dollar values using the then-current exchange rate at the close of regular trading on the NYSE.

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 Pricing Committee (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 NOCP. Because the Target Date Funds primarily invest in Underlying Funds, 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 Date Fund to do the same because of delays in obtaining the Underlying Fund’s NAV.

A Fund’s investments (or Underlying Fund) will be valued at fair value if, in the judgment of the Committee, an event impacting the value of an investment occurred between the closing time of a security’s primary market or exchange (for example, a foreign exchange or market) and the time the Fund’s share price is calculated as of the close of regular trading on the NYSE. 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


11

Ultra Series Fund | Notes to the Financial Statements (unaudited) - continued | June 30, 2017

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.

In addition to independent fair value decisions made by the Committee noted above, the Committee also engages 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. Such adjustments to the valuation of foreign securities are applied automatically upon market close if the parameters established are exceeded. A foreign security is also automatically fair valued if the exchange it is traded in is on holiday.

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, except that certain dividends from foreign securities may be recorded after the ex-dividend date based on when the Fund is informed of the dividend. Interest income is recorded on an accrual basis and is increased by the accretion of discount and decreased by the amortization of premium. Amortization and accretion are recorded on the effective yield method.

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 seven 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 members of the Federal Reserve System and with “primary dealers” in U.S. Government securities.

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 each repurchase agreement is fully collateralized at all times. In the event of bankruptcy or other default by a seller of a repurchase agreement, a Fund could experience one of the following: delays in liquidating the underlying securities during the period in which the Fund seeks to enforce its rights thereto, possible decreased 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. As of June 30, 2017, none of the Funds held open repurchase agreements.

Foreign Currency Transactions: The Trust’s books and records are maintained in U.S. dollars. Foreign currency denominated transactions (i.e., market value of investment securities, assets and liabilities, purchases and sales of investment securities, and income and expenses) are translated into U.S. dollars at the current rate of exchange. The Funds enter into contracts on the trade date to settle any securities transactions denominated in foreign currencies on behalf of the Funds at the spot rate at settlement.

Each 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 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.

Cash Concentration: At times, the Funds maintain cash balances at financial institutions in excess of federally insured limits. The Funds monitor this credit risk and have not experienced any losses related to this risk.

Indemnifications: Under the Funds’ organizational documents, the Funds’ officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In the normal course of business, the Funds enter into contracts that contain a variety of representations and provide general indemnifications. The Funds’ maximum liability exposure under these arrangements is unknown, as future claims that have not yet occurred may be made against the Funds. However, based on experience, management expects the risk of loss to be remote.

Fair Value Measurements: Each Fund has adopted Financial Accounting Standards Board (the “FASB”) guidance on fair value measurements. 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. A three-tier hierarchy is used 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 used in 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:

• Level 1 - unadjusted quoted prices in active markets for identical investments

• Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rate volatilities, prepayment speeds, credit risk, benchmark yields, transactions, bids, offers, new issues, spreads and other relationships observed in the markets among comparable securities, underlying equity of the issuer; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data, etc.)

• 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, 2017 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 valuation. As of June 30, 2017, none of the Funds held securities deemed as a Level 3, and there were no transfers between classification levels.

The following is a summary of the inputs used as of June 30, 2017 in valuing the Funds’ investments carried at fair value (please see the Portfolio of Investments for each Fund for a listing of all securities within each category):


12

Ultra Series Fund | Notes to the Financial Statements (unaudited) - continued | June 30, 2017

  Quoted Prices in
Active Markets
for Identical
Investments
(Level 1)
Significant Other
Observable
Inputs
(Level 2)
Significant
Unobservable
Inputs
(Level 3)
Value at
6/30/17
 
Fund
Ultra Series Madison Target                         
Retirement 2020: Goldman            
Sachs Target Date 2020            
Portfolio1 $ 48,264,074 $ – $ – $ 48,264,074
Ultra Series Madison Target            
Retirement 2030: Goldman            
Sachs Target Date 2030            
Portfolio1 $ 72,566,073 $ – $ – $ 72,566,073
Ultra Series Madison Target            
Retirement 2040: Goldman            
Sachs Target Date 2040            
Portfolio1 $ 49,438,599 $ – $ – $ 49,438,599
Ultra Series Madison Target            
Retirement 2050: Goldman            
Sachs Target Date 2050            
Portfolio1 $ 25,044,562 $ – $ – $ 25,044,562
1 Please refer to Appendix A of this report (page 16) for a list of underlying holdings of the GS Target Date Portfolio held by each respective Ultra Series Target Date Fund. For additional information on the underlying funds held by each respective GS Target Date Fund, including shareholder prospectuses and financial reports, please visit the GSAM website at www.GSAMFUNDS.com or visit the Securities and Exchange Commission’s website at http://www.sec.gov.

 

Recently Issued Accounting Pronouncements. In October 2016, the U.S. Securities and Exchange Commission adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is reporting periods occurring after August 1, 2017. Management has evaluated the impact of the amendments and expects the adoption of final rules will be limited to additional financial statement disclosures.

3. MANAGEMENT AND SERVICES AGREEMENTS AND OTHER EXPENSES

Management Agreement: For services under the Management Agreement, the Investment Adviser is entitled to receive a management fee, which is calculated daily and paid monthly, at an annual rate of 0.25% of each Fund’s average daily net assets. Effective with the launch of the Madison Funds Madison Target Date Funds (see Note 1), the Funds invested substantially all of their assets in these Madison Funds. In order to avoid charging duplicate fees, from August 30, 2014 through December 31, 2014, these fees were waived by the Investment Adviser. The Investment Adviser does not have the right to recoup any of these waived fees. In that same regard, effective January 1, 2015 through August 21, 2016, while each USF Target Date Fund invested substantially all of its assets in the underlying Madison Target Date Fund discussed above, the USF Target Date Funds did not pay any management fees to the Investment Adviser in recognition of the fees paid to the Adviser by the corresponding Madison Funds Madison Target Date Funds to avoid charging duplicate fees. Effective August 22, 2016, Goldman Sachs Asset Management L.P. (“GSAM”), the Investment Adviser of the GS Target Date Portfolios, charges 0.25% of each GS Target Date Portfolios average daily net assets. In order to avoid charging duplicate fees to the USF Target Date Funds, for as long as the USF Target Date Funds invest substantially all of their assets in the corresponding GS Target Date Portfolio, series of Goldman Sachs Trust II, sub-advised by Madison, no management fees will be paid by the USF Target Date Funds. This arrangement will remain in effect through at least August 22, 2018, and prior to such date, GSAM may not terminate the arrangements without the approval of the Board of Trustees of the GS Target Date Portfolios.

Services Agreement: The Investment Adviser provides or arranges for each Fund to have all of the necessary operational and support services it needs for a fee, which is calculated daily and paid monthly, at an annual rate of 0.05% of each Fund’s average daily net assets. Effective with the launch of the Goldman Sachs Target Date Portfolios (See Note 1), the Funds invested substantially all of their assets in these Goldman Sachs Target Date Portfolios. Prior to August 21, 2016, the funds invested substantially all their assets in the Madison Funds Madison Target Date Funds. In order to avoid charging duplicate fees, from August 30, 2014 through December 31, 2014, these fees were waived by the Investment Adviser. The Investment Adviser does not have the right to recoup any of these waived fees. In that same regard, effective January 1, 2015 through August 21, 2016, while each USF Target Date Fund invested substantially all of its assets in the underlying Madison Target Date Fund discussed above, the USF Target Date Funds did not pay any service fees to the Investment Adviser in recognition of the fees paid to the Adviser by the corresponding Madison Funds Madison Target Date Funds to avoid charging duplicate fees. GSAM has agreed to limit its fees and expenses (excluding acquired (underlying) fund fees and expenses, transfer agency fees and expenses, taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses) to 0.024% of each GS Target Date Portfolio’s average daily net assets until February 28, 2018.

Other Expenses: In addition to the fees described above, the Trust is responsible for brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments, overdrafts, any potential taxes owed and extraordinary expenses as approved by a majority of independent trustees.

Certain officers and trustees of the Trust are also officers of the Investment Adviser. The Funds do not compensate their officers or affiliated trustees. The Nominating and Governance Committee of the Board may change trustee fees paid at any time.

4. DIVIDENDS FROM NET INCOME AND DISTRIBUTIONS OF CAPITAL GAINS

The Funds declare dividends from net investment income and net realized gains from investment transactions, if any, annually, which are reinvested in additional full and fractional shares of the respective Funds.

Income and capital gain distributions, if any, are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. Taxable distributions from income and realized capital gains of the Funds may differ from book amounts earned during the period due to differences in the timing of capital gains recognition, and due to the reclassification of certain gains or losses from capital to income.

5. SECURITIES TRANSACTIONS

For the period ended June 30, 2017, aggregate cost of purchases and proceeds from sales of securities, other than short-term investment, were as follows:

Fund Purchases Sales
Ultra Series Madison Target Retirement 2020 $  – $ 4,397,695
Ultra Series Madison Target Retirement 2030   6,009,172
Ultra Series Madison Target Retirement 2040 1,284,435   3,450,325
Ultra Series Madison Target Retirement 2050 1,962,644   1,175,326

 

6. FEDERAL INCOME TAX INFORMATION

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 all its taxable income to its shareholders. Accordingly, no provisions for federal income taxes are recorded in the accompanying statements.

The Funds have not recorded any liabilities for material unrecognized tax benefits as of June 30, 2017. It is each Fund’s 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 tax years ended December 31, 2013 through December 31, 2016.


13

Ultra Series Fund | Notes to the Financial Statements (unaudited) - concluded | June 30, 2017

For the period ended December 31, 2016, there were no capital losses utilized for the Target Date Funds.

At June 30, 2017, 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
Ultra Series Madison Target Retirement 2020 $ 3,690,987 $ – $ 3,690,987
Ultra Series Madison Target Retirement 2030   10,630,957    –   10,630,957
Ultra Series Madison Target Retirement 2040   7,944,862    –   7,944,862
Ultra Series Madison Target Retirement 2050   3,947,883    –   3,947,883

 

7. INVESTMENT RISKS

Investing in certain financial instruments, including forward foreign currency contracts, involves certain risks. Risks associated with these instruments include potential for an illiquid secondary market for the instruments or inability of counterparties to perform under the terms of the contracts, changes in the value of foreign currency relative to the U.S. dollar and 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.

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 Target Date Funds are fund of funds, meaning that they invest primarily in the shares of the GS Target Date Portfolios, including exchange traded funds (“ETFs”). Thus, each Fund’s investment performance and its ability to achieve its investment goal are directly related to the performance of the GS Target Date Portfolios in which it invests; and the GS Target Date Portfolio’s performance, in turn, depends on the particular securities in which that Fund invests and the expenses of that Fund. Accordingly, these Funds are subject to the risks of the GS Target Date Portfolios in direct proportion to the allocation of their respective assets among the Funds.

Additionally, the Target Date Funds are subject to asset allocation risk and manager risk. Manager risk (i.e., fund selection risk) is the risk that the underlying fund selected to fulfill a particular asset class underperforms their peers. 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 underperform other funds with a similar investment objective.

The Funds are also subject to cybersecurity risk, which include the risks associated with computer systems, networks and devices to carry out routine business operations. These system, networks and devices employ a variety of protections that are designed to prevent cyberattacks. Despite the various cyber protections utilized by the Funds, the Investment Adviser, and other service providers, their systems, networks, or devices could potentially be breached. The Funds, their shareholders, and the Investment Adviser could be negatively impacted as a result of a cyber security breach. The Funds cannot control the cybersecurity plans and systems put in place by service providers or any other third parties whose operations may affect the Funds. The Funds do monitor this risk closely.

In addition to the other risks described above in the prospectus, you should understand what we refer to as “unknown market risks.”While investments in securities have been keystones in wealth building and management, at times these investments have produced surprises. Those who enjoyed growth and income of their investments generally were rewarded for the risks they took by investing in the markets. Although the Investment Adviser seeks to appropriately address and manage the risks identified and disclosed to you in connection with the management of the securities in the Funds, you should understand that the very nature of the securities markets includes the possibility that there may be additional risks of which we are not aware. We certainly seek to identify all applicable risks and then appropriately address them, take appropriate action to reasonably manage them and to make you aware of them so you can determine if they exceed your risk tolerance. Nevertheless, the often volatile nature of the securities markets and the global economy in which we work suggests that the risk of the unknown is something to consider in connection with an investment in securities. Unforeseen events could under certain circumstances produce a material loss of the value of some or all of the securities we manage for you in the Funds.

8. CAPITAL SHARES AND AFFILIATED OWNERSHIP

All capital shares outstanding at June 30, 2017 are owned by separate investment accounts and/or pension plans of CMFG Life Insurance Company. There were no affiliate’s investment for the period ended June 30, 2017.

9. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available for issue. No other events have taken place that meet the definition of subsequent event that require adjustment to, or disclosure in the financial statements.


14

Ultra Series Fund | June 30, 2017

Other Information (unaudited)

FUND EXPENSES PAID BY SHAREHOLDERS

As a shareholder of the Funds, you pay no transaction costs, but may indirectly (see Note 3) incur ongoing costs which include management fees; disinterested trustee fees; brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments; costs of borrowing money; expenses for independent audits, taxes, and extraordinary expenses as approved by a majority of the disinterested trustees. The examples in the table that follows are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples below are based on an investment of $1,000 invested for the six-month period ended June 30, 2017. Expenses paid during the period in the table below are equal to each Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half fiscal year period).

Actual Expenses

The table below provides information about actual account values using actual expenses and actual returns for the Funds. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table for the Fund you own under the heading entitled “Actual” to estimate the expenses you paid on your account during this period.

Fund Beginning
Account Value
Ending
Account Value
Annual
Expense Ratio1
Expenses Paid
During Period1
Ultra Series Target Retirement                
2020 Fund $ 1,000 $ 1,043.20 0.31 % $ 1.57
Ultra Series Target Retirement                
2030 Fund   1,000   1,065.80 0.31 % $ 1.59
Ultra Series Target Retirement                
2040 Fund   1,000   1,074.30 0.31 % $ 1.60
Ultra Series Target Retirement                
2050 Fund   1,000   1,081.10 0.31 % $ 1.61

 

Hypothetical Example for Comparison Purposes

The table below 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.

  Beginning
Account Value
Ending
Account Value
Annual
Expense Ratio1
Expenses Paid
During Period1
Fund
Ultra Series Target Retirement                
2020 Fund $ 1,000 $ 1,024.79 0.31 % $ 1.56
Ultra Series Target Retirement                
2030 Fund   1,000   1,024.79 0.31 % $ 1.56
Ultra Series Target Retirement                
2040 Fund   1,000   1,024.79 0.31 % $ 1.56
Ultra Series Target Retirement                
2050 Fund   1,000   1,024.79 0.31 % $ 1.56
 
1Amounts include expenses of the underlying Target Date Fund, and the underlying expense of the funds held by the Target Date Fund. See Note 1 for an explanation of the Fund organizational structure, Note 3 for a description of the expense structure, and the current prospectus for more complete information regarding the charges and expenses of the Target Date Funds.

 

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any separate account fees, charges, or expenses imposed by the group variable annuity contracts, or retirement and pension plans that use the Funds. The information provided in the hypothetical example table is useful in comparing ongoing Fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these fees, charges or expenses were included, your costs would have been higher.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available to shareholders at no cost on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. More information on the operation of the Public Reference Room may be obtained by calling 1-202-551-8090. Form N-Q and other information about the Trust are available on the EDGAR database on the SEC’s Internet site at www.sec.gov. Copies of this information may also be obtained, upon payment of a duplicating fee, by electronic request at the following email address: publicinfo@sec.gov, or by writing the SEC’s Public Reference Section, Washington, DC 20549-0102.

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 and is also located in the Funds’ Statement of Additional Information. 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.

FORWARD-LOOKING STATEMENT DISCLOSURE

One of our most important responsibilities as investment company managers is to communicate with shareholders in an open and direct manner. Some of our comments in the Management’s Economic Overview are based on current management expectations and are considered “forward-looking statements.” Actual future results, however, may prove to be different from our expectations. You can identify forward-looking statements by words such as “estimate,” “may,” “will,” “expect,” “believe,” “plan” and other similar terms. We cannot promise future returns. Our opinions are a reflection of our best judgment at the time this report is compiled, and we disclaim any obligation to update or alter forward-looking statements as a result of new information, future events, or otherwise.


15

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Ultra Series Fund | Other Information (unaudited) - continued | June 30, 2017

APPENDIX A: GOLDMAN SACHS FUNDS: GOLDMAN SACHS TARGET DATE PORTFOLIOS SCHEDULES OF INVESTMENTS - Target Date Funds (unaudited) – June 30, 2017

Goldman Sachs Target Date 2020 Portfolio Schedule of Investments1    
 
    Shares Value
EXCHANGE TRADED FUNDS - 90.9%      
Alternative Funds – 1.5%      
PowerShares DB Gold Fund* 13,290 $ 526,683
PowerShares Optimum Yield Diversified Commodity Strategy No K-1 Portfolio 16,849   265,877
        792,560
Bond Funds – 60.8%      
iShares 20+ Year Treasury Bond ETF 12,665   1,584,645
iShares 7-10 Year Treasury Bond ETF 44,579   4,752,567
Schwab Intermediate-Term U.S. Treasury ETF 176,122   9,505,304
Schwab U.S. TIPS ETF 71,855   3,956,336
Vanguard Long-Term Corporate Bond ETF 25,445   2,374,019
Vanguard Short-Term Corporate Bond ETF 118,762   9,505,711
Vanguard Short-Term Inflation-Protected Securities ETF 5,374   264,562
        31,943,144
Foreign Stock Funds – 10.3%      
iShares Edge MSCI Minimum Volatility EAFE ETF 15,273   1,057,503
iShares Edge MSCI Minimum Volatility Emerging Markets ETF 9,515   527,131
Vanguard FTSE All-World ex-U.S. ETF 42,248   2,113,667
Vanguard FTSE Europe ETF 23,971   1,321,761
WisdomTree Japan Hedged Equity Fund 7,633   396,916
        5,416,978
Stock Funds – 18.3%      
iShares Core S&P 500 ETF 21,654   5,270,800
iShares Core S&P Mid-Cap ETF 9,080   1,579,466
PowerShares S&P 500 Quality Portfolio 18,987   530,877
Schwab U.S. Dividend Equity ETF 8,801   396,925
Vanguard Financials ETF 12,659   791,820
Vanguard Growth ETF 4,162   528,741
Vanguard Health Care ETF 1,779   262,171
Vanguard Information Technology ETF 1,880   264,779
        9,625,579
TOTAL EXCHANGE TRADED FUNDS (Cost $45,423,792)     47,778,261
INVESTMENT COMPANIES – 4.5%      
RidgeWorth Seix Floating Rate High Income Fund 242,652   2,113,502
Schwab Fundamental U.S. Large Company Index Fund Institutional Shares 16,534   263,549
TOTAL INVESTMENT COMPANIES (Cost $2,385,613)     2,377,051
TOTAL INVESTMENTS – 95.4% (Cost $47,809,405)     50,155,312
OTHER ASSETS IN EXCESS OF LIABILITIES – 4.6%     2,443,015
NET ASSETS – 100.0%   $ 52,598,327
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
1 Reported on a cash basis and therefore may not include unsettled shareholder trades from the feeder
fund. For additional information on the underlying funds, including shareholder prospectuses and
financial reports, please visit each underlying fund’s website or visit the Securities and Exchange
Commission’s website at http://www.sec.gov
* Non-income producing security.      
Investment Abbreviations:      
ETF Exchange Traded Fund.      
TIPS Treasury Inflation Protected Securities      

 

Goldman Sachs Target Date 2030 Portfolio Schedule of Investments1    
 
    Shares   Value
EXCHANGE TRADED FUNDS – 92.7%      
Alternative Funds – 2.0%      
PowerShares DB Gold Fund* 28,959 $ 1,147,645
PowerShares Optimum Yield Diversified Commodity Strategy No K-1 Portfolio 24,625   388,583
        1,536,228
Bond Funds – 34.6%      
iShares 20+ Year Treasury Bond ETF 18,357   2,296,828
iShares 7-10 Year Treasury Bond ETF 50,257   5,357,899
Schwab Intermediate-Term U.S. Treasury ETF 148,914   8,036,889
Schwab U.S. TIPS ETF 55,547   3,058,418
Vanguard Long-Term Corporate Bond ETF 12,280   1,145,724
Vanguard Short-Term Corporate Bond ETF 81,288   6,506,291
        26,402,049
Foreign Stock Funds – 20.1%      
iShares Edge MSCI Minimum Volatility EAFE ETF 44,274   3,065,532
iShares Edge MSCI Minimum Volatility Emerging Markets ETF 31,032   1,719,173
Vanguard FTSE All-World ex-U.S. ETF 114,810   5,743,944
Vanguard FTSE Europe ETF 66,032   3,641,004
WisdomTree Japan Hedged Equity Fund 22,126   1,150,552
        15,320,205
Stock Funds - 36.0%      
iShares Core S&P 500 ETF 69,121   16,824,743
iShares Core S&P Mid-Cap ETF 26,323   4,578,886
PowerShares S&P 500 Quality Portfolio 41,193   1,151,756
Schwab U.S. Dividend Equity ETF 29,703   1,339,605
SPDR S&P Homebuilders ETF 9,992   384,992
Vanguard Financials ETF 21,361   1,336,131
Vanguard Growth ETF 7,525   955,976
Vanguard Health Care ETF 3,868   570,027
Vanguard Information Technology ETF 2,697   379,845
        27,521,961
TOTAL EXCHANGE TRADED FUNDS (Cost $65,173,042)     70,780,443
INVESTMENT COMPANIES - 2.5%      
RidgeWorth Seix Floating Rate High Income Fund 175,857   1,531,713
Schwab Fundamental U.S. Large Company Index Fund Institutional Shares 24,037   383,152
TOTAL INVESTMENT COMPANIES (Cost $1,861,203)     1,914,865
TOTAL INVESTMENTS - 95.2% (Cost $67,034,245)     72,695,308
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.8%     3,632,987
NET ASSETS - 100.0%   $ 76,328,295
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
1 Reported on a cash basis and therefore may not include unsettled shareholder trades from the feeder fund. For additional information on the underlying funds, including shareholder prospectuses and financial reports, please visit each underlying fund’s website or visit the Securities and Exchange Commission’s website at http://www.sec.gov
* Non-income producing security.      
Investment Abbreviations:      
ETF Exchange Traded Fund.      
TIPS Treasury Inflation Protected Securities      

 


16

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Ultra Series Fund | Other Information (unaudited) - continued | June 30, 2017

APPENDIX A: MADISON FUNDS: MADISON TARGET DATE FUNDS PORTFOLIOS OF INVESTMENTS - Master Funds (unaudited) - June 30, 2017 - continued

Goldman Sachs Target Date 2040 Portfolio Schedule of Investments1    
 
    Shares   Value
EXCHANGE TRADED FUNDS - 93.9%      
Alternative Funds - 2.0%      
PowerShares DB Gold Fund* 19,122 $ 757,805
PowerShares Optimum Yield Diversified Commodity Strategy No K-1 Portfolio 16,126   254,468
        1,012,273
Bond Funds - 25.6%      
iShares 20+ Year Treasury Bond ETF 12,122   1,516,705
iShares 7-10 Year Treasury Bond ETF 28,445   3,032,522
Schwab Intermediate-Term U.S. Treasury ETF 79,602   4,296,120
Schwab U.S. TIPS ETF 18,340   1,009,800
Vanguard Long-Term Corporate Bond ETF 2,703   252,190
Vanguard Short-Term Corporate Bond ETF 34,732   2,779,949
        12,887,286
Foreign Stock Funds - 23.6%      
iShares Edge MSCI Minimum Volatility EAFE ETF 29,235   2,024,231
iShares Edge MSCI Minimum Volatility Emerging Markets ETF 25,045   1,387,493
Vanguard FTSE All-World ex-U.S. ETF 85,920   4,298,578
Vanguard FTSE Europe ETF 57,372   3,163,492
WisdomTree Japan Hedged Equity Fund 19,481   1,013,012
        11,886,806
Stock Funds - 42.7%      
iShares Core S&P 500 ETF † 51,866   12,624,703
iShares Core S&P Mid-Cap ETF 20,279   3,527,532
PowerShares S&P 500 Quality Portfolio 36,238   1,013,214
Schwab U.S. Dividend Equity ETF 25,197   1,136,385
SPDR S&P Homebuilders ETF 6,601   254,337
Vanguard Financials ETF 16,170   1,011,433
Vanguard Growth ETF 6,940   881,658
Vanguard Health Care ETF 4,287   631,775
Vanguard Information Technology ETF 2,691   379,000
        21,460,037
TOTAL EXCHANGE TRADED FUNDS (Cost $42,885,634)     47,246,402
INVESTMENT COMPANIES - 1.5%      
RidgeWorth Seix Floating Rate High Income Fund 57,790   503,351
Schwab Fundamental U.S. Large Company Index Fund Institutional Shares 15,720   250,575
TOTAL INVESTMENT COMPANIES (Cost $649,779)     753,926
TOTAL INVESTMENTS - 95.4% (Cost $43,535,413)     48,000,328
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.6%     2,327,898
NET ASSETS - 100.0%   $ 50,328,226
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
     
1 Reported on a cash basis and therefore may not include unsettled shareholder trades from the feeder fund. For additional information on the underlying funds, including shareholder prospectuses and financial reports, please visit each underlying fund’s website or visit the Securities and Exchange Commission’s website at http://www.sec.gov
* Non-income producing security.      
The annual report and prospectus for the iShares Core S&P 500 ETF Trust can be found at https://www.ishares.com/us/library
Investment Abbreviations:      
ETF Exchange Traded Fund.      
TIPS Treasury Inflation Protected Securities      

 

Goldman Sachs Target Date 2050 Portfolio Schedule of Investments1    
 
    Shares   Value
EXCHANGE TRADED FUNDS - 95.3%      
Alternative Funds - 2.0%      
PowerShares DB Gold Fund* 9,765 $ 386,987
PowerShares Optimum Yield Diversified Commodity Strategy No K-1 Portfolio 8,243   130,074
        517,061
Bond Funds - 16.6%      
iShares 20+ Year Treasury Bond ETF 6,196   775,244
iShares 7-10 Year Treasury Bond ETF 6,058   645,843
Schwab Intermediate-Term U.S. Treasury ETF 38,296   2,066,835
Schwab U.S. TIPS ETF 2,330   128,290
Vanguard Short-Term Corporate Bond ETF 8,070   645,923
        4,262,135
Foreign Stock Funds - 27.3%      
iShares Edge MSCI Minimum Volatility EAFE ETF 14,944   1,034,723
iShares Edge MSCI Minimum Volatility Emerging Markets ETF 15,129   838,147
Vanguard FTSE All-World ex-U.S. ETF 49,085   2,455,722
Vanguard FTSE Europe ETF 36,364   2,005,111
WisdomTree Japan Hedged Equity Fund 12,447   647,244
        6,980,947
Stock Funds - 49.4%      
iShares Core S&P 500 ETF† 29,693   7,227,573
iShares Core S&P Mid-Cap ETF 12,587   2,189,508
PowerShares Buyback Achievers Portfolio 2,425   130,150
PowerShares S&P 500 Quality Portfolio 18,508   517,484
Schwab U.S. Dividend Equity ETF 15,728   709,333
SPDR S&P Homebuilders ETF 3,372   129,923
Vanguard Financials ETF 9,296   581,465
Vanguard Growth ETF 4,057   515,401
Vanguard Health Care ETF 2,630   387,583
Vanguard Information Technology ETF 1,832   258,019
        12,646,439
TOTAL EXCHANGE TRADED FUNDS (Cost $21,796,768)     24,406,582
INVESTMENT COMPANY - 0.5%      
Schwab Fundamental U.S. Large Company Index Fund Institutional Shares (Cost $76,318) 8,063   128,526
 
TOTAL INVESTMENTS - 95.8% (Cost $21,873,086)     24,535,108
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.2%     1,083,509
NET ASSETS - 100.0%   $ 25,618,617
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
1 Reported on a cash basis and therefore may not include unsettled shareholder trades from the feeder fund. For additional information on the underlying funds, including shareholder prospectuses and financial reports, please visit each underlying fund’s website or visit the Securities and Exchange Commission’s website at http://www.sec.gov
* Non-income producing security.      
The annual report and prospectus for the iShares Core S&P 500 ETF Trust can be found at https://www.ishares.com/us/library
Investment Abbreviations:      
ETF Exchange Traded Fund.      
TIPS Treasury Inflation Protected Securities      

 


17

tdf2017saedgarize.htm - Generated by SEC Publisher for SEC Filing

Ultra Series Funds | Other Information (unaudited) - concluded | June 30, 2017

APPENDIX B: GOLDMAN SACHS FUNDS: GOLDMAN SACHS TARGET DATE FUNDS STATEMENTS OF ASSETS AND LIABILITIES (unaudited) - June 30, 2017

  Target Date
2020 Portfolio
Target Date
2030 Portfolio
Target Date
2040 Portfolio
Target Date
2050 Portfolio
 
Assets:                
Investments, at value (cost $47,809,405, $67,034,245, $43,535,413 and $21,873,086) $ 50,155,312 $ 72,695,308 $ 48,000,328 $ 24,535,108
Cash   2,687,397   3,949,891   2,624,500   1,345,190
Receivables:                
Investments sold   1,428,983   831,586   787,481   759,779
Dividends and interest   13,852   17,140   11,588   4,862
Fund shares sold   1,090   1,012   2,297   1,753
Reimbursement from investment adviser   1,082      
Other assets   3,470   4,839   3,148   1,531
Total assets   54,291,186   77,499,776   51,429,342   26,648,223
Liabilities:                
Payables:                
Investments purchased   1,472,591   952,925   883,421   813,459
Management fees   10,948   15,709   10,361   5,274
Distribution and Service fees and Transfer Agency fees   893   1,349   853   451
Accrued expenses   208,427   201,498   206,481   210,422
Total liabilities   1,692,859   1,171,481   1,101,116   1,029,606
Net Assets:                
Paid-in capital   47,835,991   64,125,687   40,952,211   21,613,841
Undistributed net investment income   395,018   612,293   412,208   210,030
Accumulated net realized gain   2,021,411   5,929,252   4,498,892   1,132,724
Net unrealized gain   2,345,907   5,661,063   4,464,915   2,662,022
NET ASSETS $ 52,598,327 $ 76,328,295 $ 50,328,226 $ 25,618,617
Net Assets:                
Class A $ 15,893 $ 209,226 $ 12,449 $ 47,569
Institutional   10,338   10,698   10,849   11,005
Service   10,293   10,651   10,801   10,957
Class IR   10,324   47,053   31,519   20,073
Class R   10,280   21,698   22,799   10,968
Class R6   52,541,199   76,028,969   50,239,809   25,518,045
Total Net Assets. $ 52,598,327 $ 76,328,295 $ 50,328,226 $ 25,618,617
Shares Outstanding $0.001 par value (unlimited number of shares authorized):                
Class A   1,623   20,819   1,257   4,605
Institutional   1,054   1,061   1,094   1,063
Service   1,052   1,059   1,092   1,062
Class IR   1,053   4,671   3,179   1,941
Class R   1,051   2,159   2,306   1,064
Class R6   5,353,688   7,544,258   5,061,485   2,465,891
Net asset value, offering and redemption price per share:(a)                
Class A $ 9.79 $ 10.05 $ 9.90 $ 10.33
Institutional   9.81   10.08   9.92   10.35
Service   9.79   10.06   9.90   10.32
Class IR   9.80   10.07   9.92   10.34
Class R   9.78   10.05   9.89   10.31
Class R6   9.81   10.08   9.93   10.35
(a) Maximum public offering price per share for Class A Shares of the Target Date 2020, Target Date 2030, Target Date 2040, and Target Date 2050 Portfolios is $10.36, $10.63, $10.48 and $10.93, respectively.

 

SEC File Number: 811-04815


18

                Goldman Sachs Funds
           
           
           
    Semi-Annual Report          April 30, 2017
           
           
           
           
           
          Target Date Portfolios
          Target Date 2020
          Target Date 2025
          Target Date 2030
          Target Date 2035
          Target Date 2040
          Target Date 2045
          Target Date 2050
          Target Date 2055
           
           
           
           
           
           
           
           
         
           
           

Goldman Sachs Target Date Portfolios

TARGET DATE 2020

TARGET DATE 2025

TARGET DATE 2030

TARGET DATE 2035

TARGET DATE 2040

TARGET DATE 2045

TARGET DATE 2050

TARGET DATE 2055

TABLE OF CONTENTS  
Market Review 1
Portfolio Management Discussions and Performance Summaries 6
Schedules of Investments 30
Financial Statements 38
Financial Highlights 48
Notes to Financial Statements 64
Other Information 78

 

  NOT FDIC-INSURED   May Lose Value   No Bank Guarantee

 



tdf2017saedgarize.htm - Generated by SEC Publisher for SEC Filing
  MARKET REVIEW
Target Date Portfolios  

 

Market Review

U.S., international and emerging markets equities posted solid gains during the six-month period ended April 30, 2017 (the “Reporting Period”). Although the broad U.S. fixed income market produced slightly negative returns, spread, or non-government bond, sectors generally advanced.

U.S. Equities

When the Reporting Period began in November 2016, U.S. equities sold off ahead of the presidential election but surged higher after the surprise result on anticipation of a potentially pro-growth effect from the incoming Administration’s fiscal stimulus plan. In December 2016, the Federal Reserve (“Fed”) raised interest rates 0.25% as had largely been anticipated, and set a more hawkish hike path for 2017, causing equities to decline, albeit modestly, following the announcement. (Hawkish implies higher interest rates; opposite of dovish.)

In January 2017, U.S. equities rallied to new highs on the prospect of deregulation following executive orders on oil pipelines and on optimism around infrastructure spending after a $1 trillion proposal from Senate Democrats made headlines. Despite political uncertainty and concerns about protectionism, U.S. equities continued to advance in February 2017 amid “risk on” sentiment due to potential U.S. tax reform and deregulation as well as stronger economic data. In March 2017, the Fed raised interest rates another 0.25%, while maintaining its projections for three rate hikes in 2017. However, a seemingly cautious stance on the future path of monetary tightening from the Fed chair and the presence of a dissenter on the Fed’s policy-making committee led to a dovish market reaction. Political risks subsequently drove U.S. equities lower as Republicans in the House of Representatives struggled to schedule a vote on health care legislation.

The U.S. equity market initially fell in April 2017 as minutes from the Fed’s March meeting indicated policymakers were worried that stocks were overvalued. Economic activity and inflation data also appeared to be moderating. The U.S. gross domestic product (“GDP”) grew at an annualized rate of just 0.7% during the first calendar quarter, while in April 2017, the Institute for Supply Management manufacturing index edged lower and the Core Personal Consumption Expenditures (“PCE”) Index (which excludes food and energy expenditures) decreased. However, the unemployment rate fell to 4.4%, while the Employment Cost Index (“ECI”) reached its highest level since 2007. (The ECI is a quarterly report from the U.S. Department of Labor that details changes in the costs of labor, such as wages and benefits.) On the political front, a setback suffered by the House Republicans in their first attempt to pass health care legislation tempered optimism about fiscal policy, but an ambitious tax reform proposal from the White House lifted market sentiment. In addition, first-round results in France’s presidential election, which were widely interpreted by investors as pro-market, buoyed global equities broadly. Strong first quarter 2017 corporate earnings results also supported equity performance.

For the Reporting Period overall, the broad U.S. equity market, as represented by the S&P 500® Index, returned 13.32%, with all its 11 sectors generating positive returns. Financials, industrials and materials were the best performing sectors in the S&P 500® Index during the Reporting Period. The weakest performing sectors in the S&P 500® Index during the Reporting Period were energy, consumer staples and telecommunication services.

In terms of market capitalization, small-cap stocks outperformed large-cap stocks. The Russell 2000® Index, which measures the small-cap universe, returned 18.37% during the Reporting Period. In the style arena, growth stocks outperformed value stocks overall. The Russell 1000®

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MARKET REVIEW

Growth Index, representing large-cap growth stocks, rose 15.23% during the Reporting Period, while the Russell 1000® Value Index, representing large-cap value stocks, returned 11.69%.

Internationial Equities

Soon after the Reporting Period began in early November 2016, international equities rallied on the unexpected outcome of the U.S. presidential election. Investors appeared optimistic about the potential pro-growth effect of the incoming Administration’s fiscal stimulus plan. That said, U.S. dollar appreciation against local currencies detracted from their U.S. dollar performance. International equities then saw a strong advance during an eventful December 2016, with the resignation of Italy’s prime minister after voters’ rejection of its constitutional referendum, the Fed’s interest rate hike, and the European Central Bank’s (“ECB”) decision to slow its monthly pace of quantitative easing while extending its program to the end of 2017.

International equities continued their rally in early January 2017 on the prospect of deregulation following executive orders on oil pipelines and optimism around infrastructure spending. However, international equity markets subsequently retreated on political uncertainty and protectionism concerns. In February 2017, international equities were buoyed by “risk on” sentiment owing to potential U.S. tax reform and deregulation as well as on strong economic data. In March 2017, the Fed raised U.S. interest rates for the third time since the 2008 global financial crisis. However, a seemingly cautious stance on the future path of monetary tightening from the Fed chair and the presence of a dissenter on the Fed’s policy-making committee led to a dovish market reaction and the appreciation of the Japanese yen, despite the Bank of Japan (“BoJ”) maintaining its policy rate. Meanwhile, the ECB kept its monetary policy unchanged at its March 2017 meeting but revised its economic growth and inflation forecasts upwards. Equity markets interpreted the positive economic assessment as hawkish, sparking concerns around the sequencing of the ECB’s policy steps — namely, whether interest rates might rise before quantitative easing ends.

In April 2017, first-round results in France’s presidential election, which were widely interpreted by investors as pro-market, buoyed global equities broadly. Strong first quarter 2017 corporate earnings results and a firm economic backdrop were also supportive for equity markets. A health care bill setback tempered U.S. policy optimism, but an ambitious tax reform proposal from the White House subsequently lifted market sentiment. Japanese equities were initially hurt by a strong yen, which rose amid the political uncertainty and geopolitical tensions around the world. Various geopolitical events, such as a North Korean ballistic missile launch, a U.S. airstrike in Syria and terrorism in Russia all contributed negatively to investor sentiment. However, Japanese equities bounced back as yen strength faded with recovering global risk appetite.

For the Reporting Period as a whole, international equities, as measured by the MSCI Europe, Australasia, Far East (“EAFE”) Index (Net, USD, Unhedged) (the “MSCI EAFE Index”), posted a return of 11.47%.* Financials, information technology and industrials were the best performing sectors in the MSCI EAFE Index. The weakest performing sectors in the MSCI EAFE Index during the Reporting Period were telecommunication services, utilities and real estate.

From a country perspective, China, Austria and Sweden were the best performing individual constituents of the MSCI EAFE Index during the Reporting Period. New Zealand was the weakest individual country constituent in the MSCI EAFE Index during the Reporting Period and the only one to post a negative return, followed by Israel, Japan and Norway.

*All index returns are expressed in U.S. dollar terms.

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MARKET REVIEW

 

Emerging Markets Equities

In early November 2016, soon after the Reporting Period started, emerging markets equities fell sharply following the unexpected outcome of the U.S. presidential election due to headwinds from the resulting rise in U.S. Treasury rates and the U.S. dollar. Concerns of protectionist U.S. trade and immigration policies also weighed on emerging markets equities. In December 2016, emerging markets equities remained weak, as the Fed hiked interest rates 0.25% and set a more hawkish tone for its 2017 hike path.

Despite the political uncertainty and protectionism concerns arising from the new U.S. Administration in January 2017, emerging markets equities were buoyed by optimism about economic growth, owing to strong economic data and rising metal and soft commodity prices. February 2017 was another month of positive performance for emerging markets equities, as investors continued to assess the outlook for potential tax reform, deregulation and other fiscal policies out of the new U.S. Administration. Indian equities were a standout performer, as a pragmatic Union Budget and a strong third quarter 2016 GDP number were supportive of risk sentiment, particularly following India’s November 2016 demonetization move. (On November 8, 2016, India’s prime minister announced that 86% of the country’s currency would be rendered null and void in 50 days. It was posited as a move to crackdown on corruption and the country’s booming under-regulated and virtually untaxed grassroots economy, but was also being used as a driver to get millions of Indians onto the country’s official economic grid — many for the first time. The crackdown saw all 500 and 1,000 rupee notes — the country’s most popular currency denominations — removed from circulation, while a new 2,000 rupee note was added. Five hundred rupees is roughly the equivalent of $7.50.)

In March 2017, the Fed raised interest rates for the third time since the 2008 global financial crisis. However, a seemingly cautious stance on its future path of monetary tightening from the Fed chair and the presence of a dissenter on the Fed’s policy-making committee led to a dovish market reaction. Mexico was the best performing country within emerging markets equities in March 2017, buoyed by peso appreciation following a fourth consecutive rate hike by its central bank, Banxico.

In April 2017, emerging markets equities rallied, as global risk sentiment was buoyed by the results of the first round in the French presidential election, which were widely interpreted as pro-market by investors. Emerging markets equities were also driven by a weak U.S. dollar during the month. Despite tighter regulation in its banking sector, Chinese equities were buoyed by a strong first quarter 2017 GDP growth rate, which came in at 6.9% year over year and beat consensus expectations. Turkish equities saw a strong rally, as the Turkish lira strengthened on the back of a successful constitutional reform referendum. Russian equities fell with a depreciating Russian ruble, as the country’s central bank cut its policy rate 0.50%. Latin American equity markets were the underperformers among emerging markets stocks despite continued easing from their central banks, as they faced headwinds from declining commodity prices.

Emerging markets equities, as represented by the MSCI Emerging Markets Index (Net, USD, Unhedged) (the “MSCI EM Index”), generated a return of 8.88%* during the Reporting Period. The best performing sectors in the MSCI EM Index were information technology, materials and financials. Health care, utilities and consumer staples were the weakest sectors in the MSCI EM Index during the Reporting Period, with health care the only sector in the MSCI EM Index to post a negative return.

*All index returns are expressed in U.S. dollar terms.

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MARKET REVIEW

From a country perspective, Poland, Greece and South Korea were the best performing individual constituents of the MSCI EM Index for the Reporting Period. Conversely, Egypt was by far the weakest individual country constituent of the MSCI EM Index, followed at some distance by the Philippines, Indonesia and the Czech Republic, which also significantly lagged the MSCI EM Index during the Reporting Period.

Fixed Income Markets

During November 2016, when the Reporting Period began, spread sectors were volatile. Investor sentiment was dominated by the results of the U.S. presidential election, which appeared to change expectations for future fiscal and regulatory policy. More specifically, investors appeared to anticipate fiscal stimulus, a looser regulatory agenda and a faster pace of Fed monetary policy tightening. Global interest rates rose, and the U.S. dollar appreciated versus other developed markets and emerging markets currencies. Meanwhile, the U.S. economy continued to strengthen, with strong jobs growth and increased consumer spending reported. In December 2016, spread sectors advanced, outpacing U.S. Treasury securities. Mid-month, the Fed hiked short-term interest rates, which resulted in a further rise in U.S. Treasury yields, with a notable increase in shorter-term yields and additional appreciation in the U.S. dollar. In Europe, the ECB announced it would reduce its monthly pace of asset purchases starting in April 2017 but stated it would extend its quantitative easing program to the end of 2017. On the political front, Italy voted to reject its constitutional reforms, while the outcome of Austria’s election defied the populist tide that had claimed victories in the U.K. and U.S. during 2016. In the fourth calendar quarter overall, the Japanese economy expanded by 1.2%, annualized, from the previous calendar quarter.

During the first quarter of 2017, government bond sectors sold off and spread sectors generally posted gains. Investors focused on the prospect of pro-growth policies from the new U.S. Administration, which helped boost business and consumer sentiment to near record levels, and also on the positive impact of earlier fiscal stimulus in China. Global purchasing managers’ indices pointed to solid expansion across the largest global economies, the U.S. in particular. In Europe, economic data strengthened and political risk remained contained, as markets weathered the official start of Brexit negotiations. (Brexit refers to the U.K.’s efforts to exit the European Union.) The far right lost to centrists in the Netherlands’ election. In France, polls reflected a relatively low chance of victory for the far-right candidate in its then-upcoming presidential vote. Monetary policy presented few surprises during the first calendar quarter, as the ECB, BoJ and Bank of England kept policy unchanged. In March 2017, the ECB raised its economic growth and inflation forecast. The same month, Fed policymakers hiked interest rates. Minutes from the meeting suggested the Fed might start reducing its balance sheet near the end of 2017. The U.S. dollar weakened versus many global currencies during the first calendar quarter.

In April 2017, spread sectors generated positive returns. Investor sentiment was buoyed by the results of the first round of voting in France’s presidential election, a strong start to the corporate earnings season and optimism about the potential of fiscal expansion in the U.S. Although U.S. economic activity and inflation data moderated during the month, the labor market remained strong, with employment gains and steady wage growth. In Europe, positive economic data partly offset the impact on the European credit markets of reduced ECB asset purchases. Meanwhile, U.K. markets showed little reaction to the commencement of the Brexit process. The U.S. dollar weakened versus other developed markets and emerging markets currencies during April 2017.

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MARKET REVIEW

 

The broad U.S. fixed income market, as represented by the Bloomberg Barclays U.S. Aggregate Bond Index, produced a return of -0.67% for the Reporting Period overall. However, spreads sectors generally advanced. High yield corporate bonds and sovereign emerging markets debt recorded solid gains, outperforming U.S. Treasuries. Investment grade corporate bonds also outpaced U.S. Treasuries. In addition, agency securities, commercial mortgage-backed securities, asset-backed securities and mortgage-backed securities outperformed U.S. Treasuries, though more modestly. The U.S. Treasury yield curve flattened slightly during the Reporting Period, as yields on longer- and intermediate-term maturities rose less than yields on shorter-term maturities. The yield on the bellwether 10-year U.S. Treasury rose approximately 16 basis points to end the Reporting Period at 1.99%. (A basis point is 1/100th of a percentage point. A flattening yield curve is one wherein the differential in yields between longer-term and shorter-term maturities narrows.)

Looking Ahead

At the end of the Reporting Period, we believed the macro environment remained supportive of fixed income assets geared to economic growth. In our view, developed markets are leading a synchronized global expansion, and financial conditions overall are easy, as evidenced by the strong performance of the equities markets and the accessibility of credit. That said, at the end of the Reporting Period, we thought investors might have become complacent. In the U.S., sentiment is running ahead of hard data, while interest rates are, in our view, too low and financial conditions too loose for the Fed’s projected policy tightening. In addition, we did not see much risk premium overall in the fixed income markets at the end of the Reporting Period that would reflect the potential impact of central bank tapering of quantitative easing measures, political strains in Europe or risks in China’s financial sector. Nevertheless, we do not anticipate an upheaval in the markets in the near term.

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PORTFOLIO RESULTS
Goldman Sachs Target Date 2020 Portfolio,
Goldman Sachs Target Date 2025 Portfolio,
Goldman Sachs Target Date 2030 Portfolio,
Goldman Sachs Target Date 2035 Portfolio,
Goldman Sachs Target Date 2040 Portfolio,
Goldman Sachs Target Date 2045 Portfolio,
Goldman Sachs Target Date 2050 Portfolio and
Goldman Sachs Target Date 2055 Portfolio

 

Investment Process and Principal Strategies
The Goldman Sachs Target Date 2020 Portfolio, the Goldman Sachs Target Date 2025 Portfolio, the Goldman Sachs Target

Date 2030 Portfolio, the Goldman Sachs Target Date 2035 Portfolio, the Goldman Sachs Target Date 2040 Portfolio, the
Goldman Sachs Target Date 2045 Portfolio, the Goldman Sachs Target Date 2050 Portfolio and the Goldman Sachs Target
Date 2055 Portfolio (collectively, the “Portfolios” or individually, a “Portfolio”) seek to provide capital appreciation and
current income consistent with each respective Portfolio’s current asset allocation. The Portfolios employ asset allocation
strategies designed for investors who plan to retire and to begin gradually withdrawing their investment beginning in
approximately 2020, 2025, 2030, 2035, 2040, 2045, 2050 and 2055 (respectively, the “Target Dates”). The Portfolios
generally seek to achieve their investment objective by investing in shares of exchange-traded funds (“ETFs”) and other
registered investment companies (collectively, the “Underlying Funds”), according to an asset allocation strategy developed
by Madison Asset Management, LLC, the sub-adviser, which is unaffiliated with Goldman Sachs Asset Management, L.P.,
the investment adviser for the Portfolios.

 

Portfolio Management Discussion and Analysis

Below, the Madison Asset Management, LLC portfolio management team, the Portfolios’ sub-adviser, discusses the Portfolios’ performance and positioning for the six-month period ended April 30, 2017 (the “Reporting Period”).

Q How did the Portfolios perform during the Reporting Period?
A Goldman Sachs Target Date 2020 Portfolio — During the Reporting Period, the Target Date 2020 Portfolio’s Class A, Institutional, Service, IR, R and R6 Shares generated cumulative total returns of 3.60%, 3.75%, 3.46%, 3.69%, 3.41% and 3.75%, respectively. These returns compare to the 5.83% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2020 Index (Total Return, Unhedged, USD) during the same period.

Goldman Sachs Target Date 2025 Portfolio — During the Reporting Period, the Target Date 2025 Portfolio’s Class A, Institutional, Service, IR, R and R6 Shares generated cumulative total returns of 5.69%, 5.94%, 5.75%, 5.88%, 5.60% and 6.04%, respectively. These returns compare to the 6.85% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2025 Index (Total Return, Unhedged, USD) during the same period.

Goldman Sachs Target Date 2030 Portfolio — During the Reporting Period, the Target Date 2030 Portfolio’s Class A, Institutional, Service, IR, R and R6 Shares generated cumulative total returns of 7.01%, 7.20%, 7.01%, 7.14%, 6.85% and 7.21%, respectively. These returns compare to the 7.79% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2030 Index (Total Return, Unhedged, USD) during the same period.
Goldman Sachs Target Date 2035 Portfolio — During the Reporting Period, the Target Date 2035 Portfolio’s Class A, Institutional, Service, IR, R and R6 Shares generated cumulative total returns of 7.59%, 7.95%, 7.66%, 7.79%, 7.50% and 7.95%, respectively. These returns compare to the 8.56% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2035 Index (Total Return, Unhedged, USD) during the same period.
Goldman Sachs Target Date 2040 Portfolio — During the Reporting Period, the Target Date 2040 Portfolio’s Class A,

 

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PORTFOLIO RESULTS

 

Institutional, Service, IR, R and R6 Shares generated cumulative total returns of 8.36%, 8.72%, 8.31%, 8.55%, 8.26% and 8.61%, respectively. These returns compare to the 9.42% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2040 Index (Total Return, Unhedged, USD) during the same period.
Goldman Sachs Target Date 2045 Portfolio — During the Reporting Period, the Target Date 2045 Portfolio’s Class A, Institutional, Service, IR, R and R6 Shares generated cumulative total returns of 8.95%, 9.20%, 8.92%, 9.15%, 8.87% and 9.31%, respectively. These returns compare to the 10.04% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2045 Index (Total Return, Unhedged, USD) during the same period.

Goldman Sachs Target Date 2050 Portfolio — During the Reporting Period, the Target Date 2050 Portfolio’s Class A ,Institutional, Service, IR, R and R6 Shares generated cumulative total returns of 9.77%, 10.03%, 9.74%, 9.97%, 9.68% and 10.03%, respectively. These returns compare to the 10.57% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2050 Index (Total Return, Unhedged, USD) during the same period.

Goldman Sachs Target Date 2055 Portfolio — During the Reporting Period, the Target Date 2055 Portfolio’s Class A, Institutional, Service, IR, R and R6 Shares generated cumulative total returns of 10.26%, 10.48%, 10.30%, 10.43%, 10.14% and 10.48%, respectively. These returns compare to the 11.02% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2055 Index (Total Return, Unhedged, USD) during the same period.
 
Q What key factors affected the Portfolios’ performance during the Reporting Period?
A During the Reporting Period, the Portfolios benefited from our asset allocation decisions to favor certain asset classes through the Underlying Funds. Security selection produced mixed results during the Reporting Period.

 

Q  How did the Portfolios’ asset allocations affect performance during the Reporting Period?
A  Within the Portfolios’ strategic allocations, our preference for U.S. equities over international equities added to returns, as U.S. stocks outperformed international stocks during the Reporting Period. Within U.S. equities, the Portfolios benefited from our decision to modestly increase tactical exposure to U.S. small-cap stocks. Tactical overweights to the regional banking and homebuilders industries and a tactical overweight to companies in the industrials sector also contributed positively to performance. Conversely, the Portfolios’ allocations to dividend-paying stocks, which tend to be interest-rate sensitive, detracted from results, as interest rates rose during the Reporting Period.
Within international equities, our slight preference for the developed markets versus the emerging markets helped the Portfolios’ performance. More specifically, the Portfolios benefited from their overweighted exposure to European equities. On the other hand, allocations to exchange-traded funds (“ETFs”) that emphasize lower volatility detracted from performance.
Within fixed income, the Portfolios’ bias toward U.S. Treasury securities, especially those of longer duration, hindered results. However, tactical allocations to high yield loans and an overweight in corporate credit added to returns as spreads (or yield differentials) narrowed between U.S. Treasury securities and corporate bonds of comparable maturity. Corporate bond prices held up better than U.S. Treasury prices as interest rates rose during the Reporting Period, while high yield loans tend to be less sensitive than other asset classes to rising interest rates.
Our tactical allocation to commodities versus U.S. equities detracted slightly from the Portfolios’ performance during the Reporting Period.

 

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PORTFOLIO RESULTS

 

Q Did the Underlying Funds help or hurt the Portfolios’ performance during the Reporting Period?
A  During the Reporting Period, the Portfolios’ Underlying Funds generated mixed results.
Within the Portfolios’ equity-related Underlying Funds, tactical overweights to certain sectors added to overall performance. More specifically, the SPDR® S&P® Regional Banking ETF, the SPDR® S&P® Homebuilders ETF and the Industrial Select Sector SPDR® Fund made the largest positive contributions to the Portfolios’ overall performance. In addition, the Portfolios benefited from iShares Core® S&P Mid-Cap ETF’s approximately 40% weighting in U.S. small-cap stocks. Within international equities, the Vanguard FTSE Europe ETF and the WisdomTree Europe Hedge Equity Fund added to returns. Detractors included the Schwab U.S. Dividend Equity ETF. The decision to manage downside risk by purchasing low volatility ETFs rather than pure broad market ETFs detracted slightly from performance amid strong “risk on” market sentiment during the Reporting Period. ETFs that emphasized lower volatility were iShares® Edge MSCI Min Vol EAFE ETF and iShares® Edge MSC IMin Vol Emerging Markets ETF.
Of the Portfolios’ fixed income-related Underlying Funds, the PowerShares Senior Loan ETF and the Vanguard Short-Term Corporate Bond ETF bolstered returns. Conversely, exposures to the iShares® 7-10 Year Treasury Bond ETF and the iShares® 20+ Year Treasury Bond ETF hurt performance.
The PowerShares DB Gold ETF, representing the Portfolios’ tactical allocation to commodities, generated negative returns, as interest rates rose and gold prices fell during the Reporting Period.

 

Q  How did the Portfolios use derivatives and similar instruments during the Reporting Period?
A The Portfolios do not directly invest in derivatives. However, during the Reporting Period, some of the Underlying Funds may have used derivatives to allow them to track their respective benchmark indices with more precision. These included options, forwards, futures, swaps, structured securities and other derivative instruments.
Q  What changes did you make to the Portfolios’ strategic allocations during the Reporting Period?
A During the Reporting Period, we decided to increase the Portfolios’ strategic allocations to international equities and to reduce their strategic allocations to U.S. equities. As uncertainty about Brexit eased during the Reporting Period, we believed international equities had become more attractive than U.S. equities. (Brexit refers to the U.K.’s efforts to exit the European Union.)
Q What is the Portfolios’ tactical view and strategy for the months ahead?
A In the near term, we expect to see low returns from virtually all asset classes. Therefore, we believe managing risk is likely to be of greater importance going forward. We plan to maintain a defensive posture in the Portfolios, with a continued emphasis on seeking to generate strong risk-adjusted returns. Overall, at the end of the Reporting Period, the Portfolios’ strategic allocations were generally closer to neutral relative to the glide paths of their respective Target Dates than they were at the beginning of the Reporting Period. (Glide path refers to a formula that defines the asset allocation mix of a target date portfolio, based on the number of years to the target date. The glide path creates an asset allocation that becomes more conservative the closer a portfolio gets to the target date.)

 

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FUND BASICS

 

Target Date 2020 Portfolio

as of April 30, 2017


PERFORMANCE REVIEW        
 
      S&P Target Date To
2020 (Total Return,
Unhedged, USD)2
  Portfolio Total Return
(based on NAV)1
November 1, 2016–April 30, 2017
 
Class A 3.60 % 5.83 %
Institutional 3.75   5.83  
Service 3.46   5.83  
Class IR 3.69   5.83  
Class R 3.41   5.83  
Class R6 3.75   5.83  
 
1 The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges.
2 The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target risk and target date funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon.
       
 
 
Effective August 22, 2016, the Madison Target Retirement 2020 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2020 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur.
 
 
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects fee waivers and/or expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

 

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FUND BASICS

 

STANDARDIZED TOTAL RETURNS3        
 
For the period ended 3/31/17 One Year Five Years Since Inception Inception Date  
 
Class A N/A N/A -4.31 % 8/22/16  
Institutional N/A N/A 1.46   8/22/16  
Service N/A N/A 1.18   8/22/16  
Class IR N/A N/A 1.41   8/22/16  
Class R N/A N/A 1.02   8/22/16  
Class R6 5.45% 6.08% 2.64   10/01/07  
 
3 The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
 
Effective August 22, 2016, the Madison Target Retirement 2020 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2020 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur.
 
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.
 
EXPENSE RATIOS 4            
 
  Net Expense Ratio (Current)                            Gross Expense Ratio (Before Waivers)
 
Class A      0.91%      1.43%  
Institutional   0.51   1.03  
Service   1.01   1.53  
Class IR   0.66   1.18  
Class R   1.16   1.68  
Class R6   0.49   0.97  
 
4The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least February 28, 2018, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

10

FUND BASICS

 

TOP TEN HOLDINGS AS OF 4/30/175      
 
Holding % of Net Assets Line of Business  
 
Vanguard Short-Term Corporate Bond ETF 15.6 % Exchange Traded Funds  
iShares 7-10 Year Treasury Bond ETF 12.6   Exchange Traded Funds  
iShares Core S&P 500 ETF 12.1   Exchange Traded Funds  
iShares 3-7 Year Treasury Bond ETF 10.6   Exchange Traded Funds  
Schwab U.S. TIPs ETF 7.0   Exchange Traded Funds  
RidgeWorth Seix Floating Rate High Income 5.5   Investment Company       
Fund        
Vanguard Long-Term Corporate Bond ETF 5.0   Exchange Traded Funds  
Vanguard Short-Term Inflation-Protected 4.5   Exchange Traded Funds  
Securities        
ETF        
Vanguard FTSE All-World ex-U.S. ETF 4.0   Exchange Traded Funds  
iShares 20+ Year Treasury Bond ETF 3.0   Exchange Traded Funds  
5 The top 10 holdings may not be representative of the Portfolio’s future investments.  
 
 
PORTFOLIO COMPOSITION 6        
 
Holding As of April 30, 2017 As of October 31, 2016
Bond Funds 63.9 % 60.6 %
Stock Funds 20.8   27.4  
Foreign Stock Funds 9.8   7.4  
Alternative Funds 2.0   2.5  
Investment Companies 0.0   2.0  
6 The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.

 

11



FUND BASICS

 

Target Date 2025 Portfolio

as of April 30, 2017


PERFORMANCE REVIEW        
November 1, 2016–April 30, 2017 Portfolio Total Return
(based on NAV)1
  S&P Target Date To
2025 (Total Return,
Unhedged, USD)2
 
 
Class A     5.69%     6.85%  
Institutional 5.94   6.85  
Service 5.75   6.85  
Class IR 5.88   6.85  
Class R 5.60   6.85  
Class R6 6.04   6.85  

1 The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges.

2 The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target risk and target date funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon.

 
STANDARDIZED TOTAL RETURNS3
 
For the period ended 3/31/17   Since Inception   Inception Date
 
Class A     -2.75% 8/22/16
Institutional   3.23   8/22/16
Service   2.84   8/22/16
Class IR   3.07   8/22/16
Class R   2.79   8/22/16
Class R6   3.23   8/22/16

3 The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

 

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

12


FUND BASICS

 

EXPENSE RATIOS 4
 
    Net Expense Ratio (Current)   Gross Expense Ratio (Before Waivers)  
 
Class A      0.91%     3.20%
Institutional   0.51   2.80  
Service   1.01   3.30  
Class IR   0.66   2.95  
Class R   1.16   3.45  
Class R6   0.49   2.80  

 

4 The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least February 28, 2018, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

TOP TEN HOLDINGS AS OF 4/30/175    
 
Holding % of Net Assets   Line of Business
 
iShares Core S&P 500 ETF    19.5% Exchange Traded Funds
Vanguard Short-Term Corporate Bond ETF 11.0   Exchange Traded Funds
iShares 7-10 Year Treasury Bond ETF 10.6   Exchange Traded Funds
Vanguard FTSE All-World ex-U.S. ETF   6.5   Exchange Traded Funds
iShares 3-7 Year Treasury Bond ETF   6.0   Exchange Traded Funds
Schwab U.S. TIPs ETF   6.0   Exchange Traded Funds
RidgeWorth Seix Floating Rate High Income Fund   5.0   Investment Company
iShares Core S&P Mid-Cap ETF  4.5   Exchange Traded Funds
iShares 20+ Year Treasury Bond ETF  3.0   Exchange Traded Funds
Vanguard FTSE Europe ETF  3.0   Exchange Traded Funds

 

5 The top 10 holdings may not be representative of the Portfolio’s future investments.

PORTFOLIO C OMPOSITION 6        
 
Holding As of April 30, 2017   As of October 31, 2016  
 
Bond Funds    46.1%    42.2%
Stock Funds 32.3   37.9  
Foreign Stock Funds 15.3   12.3  
Alternative Funds 2.0   2.5  
Investment Companies 0.5   0.5  

 

6 The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.

13

FUND BASICS

 

Target Date 2030 Portfolio

as of April 30, 2017


PERFORMANCE REVIEW
 
November 1, 2016–April 30, 2017 Portfolio Total Return
(based on NAV)1
  S&P Target Date To
2030 (Total Return,
Unhedged, USD)2
 
   
   
 
Class A    7.01%    7.79%
Institutional 7.20   7.79  
Service 7.01   7.79  
Class IR 7.14   7.79  
Class R 6.85   7.79  
Class R6 7.21   7.79  

 

1 The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges.

2 The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target risk and target date funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon.

Effective August 22, 2016, the Madison Target Retirement 2030 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2030 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects fee waivers and/or expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

















14


FUND BASICS

 

STANDARDIZED TOTAL RETURNS3
 
For the period ended 3/31/17 One Year Five Years   Since Inception   Inception Date
 
Class A N/A N/A     -1.83% 8/22/16
Institutional N/A N/A   4.19   8/22/16
Service N/A N/A   3.91   8/22/16
Class IR N/A N/A   4.14   8/22/16
Class R N/A N/A   3.85   8/22/16
Class R6 9.15%    7.82%   3.21      10/01/07

 

3 The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

Effective August 22, 2016, the Madison Target Retirement 2030 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2030 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

EXPENSERATIOS 4
 
    Net Expense Ratio (Current)   Gross Expense Ratio (Before Waivers)  
 
Class A      0.91%    1.16%
Institutional   0.51   0.76  
Service   1.01   1.26  
Class IR   0.66   0.91  
Class R   1.16   1.41  
Class R6   0.49   0.83  
4 The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least February 28, 2018, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

15


FUND BASICS

 

TOP TEN HOLDINGS AS OF 4/30/175
 
Holding % of Net Assets   Line of Business  
 
iShares Core S&P 500 ETF  23.1% Exchange Traded Funds  
iShares 7-10 Year Treasury Bond ETF 8.5   Exchange Traded Funds  
Vanguard Short-Term Corporate Bond ETF 8.5   Exchange Traded Funds  
Vanguard FTSE All-World ex-U.S. ETF 7.5   Exchange Traded Funds  
iShares 3-7 Year Treasury Bond ETF 5.5   Exchange Traded Funds  
Schwab U.S. TIPs ETF 5.5   Exchange Traded Funds  
iShares Core S&P Mid-Cap ETF 5.0   Exchange Traded Funds  
RidgeWorth Seix Floating Rate High Income Fund 4.0   Investment Company  
Vanguard FTSE Europe ETF 4.0   Exchange Traded Funds  
iShares Edge MSCI Minimum Volatility 3.5   Exchange Traded Funds  
EAFE ETF        
 
5 The top 10 holdings may not be representative of the Portfolio’s future investments.  
 
 
PORTFOLIO COMPOSITION6        
 
Holding As of April 30, 2017   As of October 31, 2016  
 
Stock Funds    39.1%    43.5%
Bond Funds 36.2   35.0  
Foreign Stock Funds 18.6   14.3  
Alternative Funds 2.0   2.5  
Investment Companies 0.5   0.8  
6 The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.

 

16

FUND BASICS

 

Target Date 2035 Portfolio

as of April 30, 2017


PERFORMANCE REVIEW        
 
November 1, 2016–April 30, 2017 Portfolio Total Return
(based on NAV)1
  S&P Target Date To
2035 (Total Return,
Unhedged, USD)2
 
   
   
Class A    7.59%     8.56%
Institutional 7.95   8.56  
Service 7.66   8.56  
Class IR 7.79   8.56  
Class R 7.50   8.56  
Class R6 7.95   8.56  

1 The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges.

2 The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target risk and target date funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon.

 
STANDARDIZED TOTAL RETURNS3
 
For the period ended 3/31/17   Since Inception   Inception Date
 
Class A     -1.19% 8/22/16
Institutional   4.69   8/22/16
Service   4.40   8/22/16
Class IR   4.63   8/22/16
Class R   4.35   8/22/16
Class R6   4.69   8/22/16

3 The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.


The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

17


FUND BASICS

 

EXPENSERATIOS 4
 
    Net Expense Ratio (Current)   Gross Expense Ratio (Before Waivers)  
Class A      0.91%     3.20%
Institutional   0.51   2.81  
Service   1.01   3.30  
Class IR   0.66   2.95  
Class R   1.16   3.45  
Class R6   0.49   2.80  
4 The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least February 28, 2018, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

TOP TEN HOLDINGS AS OF 4/30/175    
 
Holding % of Net Assets   Line of Business
 
iShares Core S&P 500 ETF  24.5% Exchange Traded Funds
iShares 7-10 Year Treasury Bond ETF 8.1   Exchange Traded Funds
Vanguard FTSE All-World ex-U.S. ETF 8.0   Exchange Traded Funds
Vanguard Short-Term Corporate Bond ETF 6.5   Exchange Traded Funds
iShares Core S&P Mid-Cap ETF 5.5   Exchange Traded Funds
iShares 3-7 Year Treasury Bond ETF 5.0   Exchange Traded Funds
Schwab U.S. TIPs ETF 4.5   Exchange Traded Funds
Vanguard FTSE Europe ETF 4.5   Exchange Traded Funds
RidgeWorth Seix Floating Rate High Income Fund 3.5   Investment Company
iShares Edge MSCI Minimum Volatility 3.5   Exchange Traded Funds
EAFE ETF      

5 The top 10 holdings may not be representative of the Portfolio’s future investments.


PORTFOLIO COMPOSITION6        
 
Holding As of April 30, 2017   As of October 31, 2016  
 
Stock Funds    42.6%    46.7%
Bond Funds 31.1   29.8  
Foreign Stock Funds 20.0   15.4  
Alternative Funds 2.0   2.5  
Investment Companies 0.5   1.0  

6 The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.

18


FUND BASICS

 

Target Date 2040 Portfolio

as of April 30, 2017


PERFORMANCE REVIEW
 
November 1, 2016–April 30, 2017 Portfolio Total Return
(based on NAV)1
  S&P Target Date To
2040 (Total Return,
Unhedged, USD)2
 
   
   
Class A    8.36%    9.42%
Institutional 8.72   9.42  
Service 8.31   9.42  
Class IR 8.55   9.42  
Class R 8.26   9.42  
Class R6 8.61   9.42  
1 The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges.
2 The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target risk and target date funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon.


Effective August 22, 2016, the Madison Target Retirement 2040 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2040 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur.


The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects fee waivers and/or expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

19


FUND BASICS

 

STANDARDIZED TOTAL RETURNS3
 
For the period ended 3/31/17 One Year     Five Years Since Inception   Inception Date
 
Class A N/A N/A     -0.74% 8/22/16
Institutional N/A N/A   5.40   8/22/16
Service N/A N/A   5.00   8/22/16
Class IR N/A N/A   5.24   8/22/16
Class R N/A N/A   4.95   8/22/16
Class R6 10.97% 8.62 % 3.08   10/01/07

3 The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.


Effective August 22, 2016, the Madison Target Retirement 2040 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2040 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur.


The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.


EXPENSERATIOS 4
    Net Expense Ratio (Current)   Gross Expense Ratio (Before Waivers)  
Class A      0.91%    1.49%
Institutional   0.51   1.01  
Service   1.01   1.51  
Class IR   0.66   1.16  
Class R   1.16   1.66  
Class R6   0.49   1.01  

4 The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least February 28, 2018, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

20


FUND BASICS

 

TOP TEN HOLDINGS AS OF 4/30/175      
 
Holding % of Net Assets     Line of Business       
iShares Core S&P 500 ETF   26.2% Exchange Traded Funds  
Vanguard FTSE All-World ex-U.S. ETF 8.6   Exchange Traded Funds  
iShares 7-10 Year Treasury Bond ETF 7.0   Exchange Traded Funds  
iShares Core S&P Mid-Cap ETF 6.0   Exchange Traded Funds  
Vanguard FTSE Europe ETF 5.0   Exchange Traded Funds  
iShares 3-7 Year Treasury Bond ETF 4.5   Exchange Traded Funds  
Vanguard Short-Term Corporate Bond ETF 4.5   Exchange Traded Funds  
iShares Edge MSCI Minimum Volatility 3.8   Exchange Traded Funds  
EAFE ETF        
Vanguard Growth ETF 3.5   Exchange Traded Funds  
Schwab U.S. TIPs ETF 3.5   Exchange Traded Funds  
5 The top 10 holdings may not be representative of the Portfolio’s future investments.  
 
PORTFOLIO COMPOSITION 6        
 
Holding As of April 30, 2017   As of October 31, 2016  
 
Stock Funds     46.0%    50.5%
Bond Funds 26.2   25.0  
Foreign Stock Funds 21.6   16.8  
Alternative Funds 2.0   2.5  
Investment Companies 0.8   1.3  
 
6 The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.

 

21

FUND BASICS

 

Target Date 2045 Portfolio

as of April 30, 2017


PERFORMANCE REVIEW
 
November 1, 2016–April 30, 2017 Portfolio Total Return
(based on NAV)1
  S&P Target Date To
2045 (Total Return,
Unhedged, USD)2
 
   
   
Class A     8.95%     10.04%
Institutional 9.20   10.04  
Service 8.92   10.04  
Class IR 9.15   10.04  
Class R 8.87   10.04  
Class R6 9.31   10.04  

1 The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges.
2 The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target risk and target date funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon.


STANDARDIZED TOTAL RETURNS3
For the period ended 3/31/17   Since Inception   Inception Date
Class A      -0.22% 8/22/16
Institutional   5.82   8/22/16
Service   5.53   8/22/16
Class IR   5.76   8/22/16
Class R   5.47   8/22/16
Class R6   5.82   8/22/16

3 The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.


The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

22


FUND BASICS

 

EXPENSE RATIOS4
 
    Net Expense Ratio (Current)   Gross Expense Ratio (Before Waivers)  
 
Class A      0.91%     3.21%
Institutional   0.51   2.81  
Service   1.01   3.31  
Class IR   0.66   2.95  
Class R   1.16   3.46  
Class R6   0.49   2.80  

4 The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least February 28, 2018, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.


TOP TEN HOLDINGS AS OF 4/30/175    
 
Holding % of Net Assets   Line of Business
 
iShares Core S&P 500 ETF   27.5% Exchange Traded Funds
Vanguard FTSE All-World ex-U.S. ETF 9.0   Exchange Traded Funds
iShares Core S&P Mid-Cap ETF 6.5   Exchange Traded Funds
iShares 7-10 Year Treasury Bond ETF 6.0   Exchange Traded Funds
Vanguard FTSE Europe ETF 5.5   Exchange Traded Funds
iShares 3-7 Year Treasury Bond ETF 4.1   Exchange Traded Funds
Vanguard Growth ETF 4.0   Exchange Traded Funds
iShares Edge MSCI Minimum Volatility 3.8   Exchange Traded Funds
EAFE ETF      
iShares 20+ Year Treasury Bond ETF 3.0   Exchange Traded Funds
Vanguard Short-Term Corporate Bond ETF 3.0   Exchange Traded Funds

5 The top 10 holdings may not be representative of the Portfolio’s future investments.


PORTFOLIO COMPOSITION 6
Holding As of April 30, 2017   As of October 31, 2016  
Stock Funds    49.0%    53.9%
Foreign Stock Funds 23.1   17.8  
Bond Funds 21.1   19.9  
Alternative Funds 2.0   2.5  
Investment Companies 1.0   1.3  

6 The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.

23


FUND BASICS

 

Target Date 2050 Portfolio

as of April 30, 2017


PERFORMANCE REVIEW
 
      S&P Target Date To
2050 (Total Return,
Unhedged, USD)2
 
November 1, 2016–April 30,
2017
Portfolio Total Return
(based on NAV)1
   
   
Class A      9.77%     10.57%
Institutional 10.03   10.57  
Service  9.74   10.57  
Class IR  9.97   10.57  
Class R  9.68   10.57  
Class R6 10.03   10.57  
1 The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges.
2 The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target risk and target date funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon.

Effective August 22, 2016, the Madison Target Retirement 2050 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2050 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects fee waivers and/or expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

24


FUND BASICS

 

STANDARDIZED TOTAL RETURNS3
 
For the period ended 3/31/17 One Year Five Years   Since Inception   Inception Date
 
Class A N/A N/A       0.47% 8/22/16
Institutional N/A N/A   6.55   8/22/16
Service N/A N/A   6.27   8/22/16
Class IR N/A N/A   6.50   8/22/16
Class R N/A N/A   6.11   8/22/16
Class R6 12.76%    9.46% 8.64   1/3/11

3 The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.


Effective August 22, 2016, the Madison Target Retirement 2050 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2050 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur.


The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

EXPENSE RATIOS 4
 
    Net Expense Ratio (Current)   Gross Expense Ratio (Before Waivers)  
Class A      0.91%    2.19%
Institutional   0.51   1.79  
Service   1.01   2.29  
Class IR   0.66   1.94  
Class R   1.16   2.44  
Class R6   0.49   1.65  

4 The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least February 28, 2018, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

25


FUND BASICS

 

TOP TEN HOLDINGS AS OF 4/30/175      
 
Holding % of Net Assets                Line of Business  
 
iShares Core S&P 500 ETF  29.3% Exchange Traded Funds  
Vanguard FTSE All-World ex-U.S. ETF 9.6   Exchange Traded Funds  
iShares Core S&P Mid-Cap ETF 7.1   Exchange Traded Funds  
Vanguard FTSE Europe ETF 6.1   Exchange Traded Funds  
Vanguard Growth ETF 4.6   Exchange Traded Funds  
iShares 7-10 Year Treasury Bond ETF 4.1   Exchange Traded Funds  
iShares Edge MSCI Minimum Volatility 3.8   Exchange Traded Funds  
EAFE ETF        
iShares 3-7 Year Treasury Bond ETF 3.5   Exchange Traded Funds  
iShares 20+ Year Treasury Bond ETF 3.1   Exchange Traded Funds  
Schwab U.S. Dividend Equity ETF 3.1   Exchange Traded Funds  
5 The top 10 holdings may not be representative of the Portfolio’s future investments.
 
PORTFOLIO COMPOSITION 6        
 
Holding As of April 30, 2017   As of October 31, 2016  
 
Stock Funds    53.1%    58.0%
Foreign Stock Funds 24.8   19.3  
Bond Funds 16.2   15.0  
Alternative Funds 2.0   2.5  
Investment Companies 1.0   1.3  
6 The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.

 

26

FUND BASICS

 

Target Date 2055 Portfolio

as of April 30, 2017


PERFORMANCE REVIEW        
 
November 1, 2016–April 30, 2017 Portfolio Total Return
(based on NAV)1
  S&P Target Date To
2055 (Total Return,
Unhedged, USD)2
 
   
   
Class A     10.26%    11.02%
Institutional 10.48   11.02  
Service 10.30   11.02  
Class IR 10.43   11.02  
Class R 10.14   11.02  
Class R6 10.48   11.02  

1The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges.
2 The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target risk and target date funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon.

STANDARDIZED TOTAL RETURNS3
For the period ended 3/31/17   Since Inception   Inception Date
Class A      0.89% 8/22/16
Institutional   6.96   8/22/16
Service   6.67   8/22/16
Class IR   6.91   8/22/16
Class R   6.62   8/22/16
Class R6   6.96   8/22/16

3 The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.


The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.

27


FUND BASICS

 

EXPENSE RATIOS4          
 
    Net Expense Ratio (Current)   Gross Expense Ratio (Before Waivers)  
Class A      0.91%     3.21%
Institutional   0.51   2.81  
Service   1.01   3.31  
Class IR   0.66   2.96  
Class R   1.16   3.46  
Class R6   0.49   2.81  

4 The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least February 28, 2018, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

TOP TEN HOLDINGS AS OF 4/30/175    
 
Holding % of Net Assets   Line of Business
iShares Core S&P 500 ETF    30.6% Exchange Traded Funds
Vanguard FTSE All-World ex-U.S. ETF 10.0   Exchange Traded Funds
iShares Core S&P Mid-Cap ETF  7.5   Exchange Traded Funds
Vanguard FTSE Europe ETF  6.5   Exchange Traded Funds
Vanguard Growth ETF  4.5   Exchange Traded Funds
iShares Edge MSCI Minimum Volatility EAFE  4.0   Exchange Traded Funds
ETF      
iShares 20+ Year Treasury Bond ETF  3.0   Exchange Traded Funds
Schwab U.S. Dividend Equity ETF  3.0   Exchange Traded Funds
Vanguard Information Technology ETF  3.0   Exchange Traded Funds
iShares 3-7 Year Treasury Bond ETF  3.0   Exchange Traded Funds

5 The top 10 holdings may not be representative of the Portfolio’s future investments.

 

PORTFOLIO COMPOSITION 6        
Holding As of April 30, 2017   As of October 31, 2016  
Stock Funds    56.1%    61.4%
Foreign Stock Funds 26.1   20.3  
Bond Funds 11.0   9.9  
Alternative Funds 2.0   2.5  
Investment Companies 1.0   1.3  

6 The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.

28


FUND BASICS

 

Index Definitions

The S&P 500® Index is the Standard & Poor’s 500 composite index of 500 stocks, an unmanaged index of common stock prices.

The MSCI EAFE Index is an equity index that captures large-cap and mid-cap representation across 21 developed markets countries around the world, excluding the U.S. and Canada. The index covers approximately 85% of the free float-adjusted market capitalization in each country. Developed markets countries in the index include Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the U.K.

The MSCI Emerging Markets Index captures large-cap and mid-cap representation across 23 emerging markets countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country. Emerging markets countries in the index include Brazil, Chile, China, Colombia, the Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Peru, the Philippines, Poland, Russia, Qatar, South Africa, Taiwan, Thailand, Turkey and the United Arab Emirates.

The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged, broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. The index includes U.S. Treasury, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-through securities), asset-backed securities and commercial mortgage-backed securities (agency and non-agency).

The Russell 1000® Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000® Index represents approximately 92% of the U.S. market.

The Russell 1000® Growth Index is an unmanaged index of common stock prices that measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.

The Russell 1000® Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® Index companies with lower price-to-book ratios and lower expected growth values.

The Russell 2000® Index is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000 Index.

The Russell 2000® Growth Index is an unmanaged index of common stock prices that measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.

The Russell 2000® Value Index measures the performance of small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. The index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set and that the represented companies continue to reflect value characteristics.

29

GOLDMAN SACHS TARGET DATE 2020 PORTFOLIO

Schedule of Investments

April 30, 2017 (Unaudited)

Shares Description   Value
 
Exchange Traded Funds – 91.0%    
 
Alternative Funds* – 2.0%    
26,161   PowerShares DB Gold Fund $ 1,062,660
 
Bond Funds – 58.4%    
13,046   iShares 20+ Year Treasury Bond ETF   1,596,178
45,011   iShares 3-7 Year Treasury Bond ETF   5,568,761
62,227   iShares 7-10 Year Treasury Bond ETF   6,633,398
66,594   Schwab U.S. TIPS ETF   3,709,286
29,329   Vanguard Long-Term Corporate Bond ETF   2,658,674
102,820   Vanguard Short-Term Corporate Bond ETF   8,217,374
48,223   Vanguard Short-Term Inflation-Protected Securities ETF   2,385,110
      30,768,781
 
Foreign Stock Funds – 9.8%    
15,761   iShares Edge MSCI Minimum Volatility EAFE ETF   1,060,085
9,796   iShares Edge MSCI Minimum Volatility Emerging Markets ETF   531,629
43,431   Vanguard FTSE All-World ex-U.S. ETF   2,120,736
19,766   Vanguard FTSE Europe ETF   1,059,062
7,783   WisdomTree Japan Hedged Equity Fund   397,478
      5,168,990
 
Stock Funds – 20.8%    
26,548   iShares Core S&P 500 ETF   6,359,839
9,185   iShares Core S&P Mid-Cap ETF   1,585,239
10,162   PowerShares Buyback Achievers Portfolio   530,151
17,820   Schwab U.S. Dividend Equity ETF   796,376
4,877   SPDR S&P Regional Banking ETF   263,602
4,383   Vanguard Financials ETF   263,243
6,390   Vanguard Growth ETF   795,108
2,865   Vanguard Information Technology ETF   397,662
      10,991,220
 
TOTAL EXCHANGE TRADED FUNDS    
(Cost $45,568,784) $ 47,991,651
 
 
Investment Company – 5.5%    
 
332,850 RidgeWorth Seix Floating Rate High Income Fund   2,919,092
(Cost $2,909,119)    
 
TOTAL INVESTMENTS – 96.5%    
(Cost $48,477,903) $ 50,910,743
 
OTHER ASSETS IN EXCESS OF    
LIABILITIES – 3.5%   1,831,683
 
NET ASSETS – 100.0% $ 52,742,426
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
* Non-income producing security.    
Investment Abbreviations:    
ETF — Exchange Traded Fund    
TIPS—Treasury Inflation Protected Securites    

 

30     The accompanying notes are an integral part of these financial statements.


GOLDMAN SACHS TARGET DATE 2025 PORTFOLIO

Schedule of Investments

April 30, 2017 (Unaudited)

Shares Description Value
Exchange Traded Funds – 90.7%    
Alternative Funds* – 2.0%    
5,187 PowerShares DB Gold Fund $ 210,696
Bond Funds – 41.1%    
2,579 iShares 20+ Year Treasury Bond ETF   315,541
5,085 iShares 3-7 Year Treasury Bond ETF   629,116
10,333 iShares 7-10 Year Treasury Bond ETF   1,101,498
11,284 Schwab U.S. TIPS ETF   628,519
2,899 Vanguard Long-Term Corporate Bond ETF   262,794
14,429 Vanguard Short-Term Corporate Bond ETF   1,153,166
4,222 Vanguard Short-Term Inflation-Protected Securities ETF   208,820
      4,299,454
Foreign Stock Funds – 15.3%    
4,286 iShares Edge MSCI Minimum Volatility EAFE ETF   288,276
3,381 iShares Edge MSCI Minimum Volatility Emerging Markets ETF   183,487
13,957 Vanguard FTSE All-World ex-U.S. ETF   681,520
5,861 Vanguard FTSE Europe ETF   314,032
2,563 WisdomTree Japan Hedged Equity Fund   130,893
      1,598,208
Stock Funds – 32.3%    
8,528 iShares Core S&P 500 ETF   2,042,968
2,726 iShares Core S&P Mid-Cap ETF   470,481
2,502 PowerShares Buyback Achievers Portfolio   130,529
4,110 Schwab U.S. Dividend Equity ETF   183,676
1,446 SPDR S&P Regional Banking ETF   78,156
1,295 Vanguard Financials ETF   77,778
1,686 Vanguard Growth ETF   209,789
378 Vanguard Health Care ETF   52,969
944 Vanguard Information Technology ETF   131,027
      3,377,373
TOTAL EXCHANGE TRADED FUNDS    
(Cost $9,074,467) $ 9,485,731
 
Investment Company – 5.5%    
3,333 Schwab Fundamental U.S. Large Company Index Fund Institutional Shares   52,654
59,764 RidgeWorth Seix Floating Rate High Income Fund   524,130
TOTAL INVESTMENT COMPANY    
(Cost $574,108) $ 576,784
TOTAL INVESTMENTS – 96.2%    
(Cost $9,648,575) $ 10,062,515
OTHER ASSETS IN EXCESS OF LIABILITIES – 3.8%   399,560
NET ASSETS – 100.0% $ 10,462,075
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
* Non-income producing security.    
       
Investment Abbreviations:    
ETF —Exchange Traded Fund    
TIPS—Treasury Inflation Protected Securities    

The accompanying notes are an integral part of these financial statements.    31

GOLDMAN SACHS TARGET DATE 2030 PORTFOLIO

Schedule of Investments

April 30, 2017 (Unaudited)

Shares Description Value
Exchange Traded Funds – 91.9%    
Alternative Funds* – 2.0%    
37,096 PowerShares DB Gold Fund $ 1,506,840
Bond Funds – 32.2%    
18,499 iShares 20+ Year Treasury Bond ETF   2,263,352
33,433 iShares 3-7 Year Treasury Bond ETF   4,136,331
60,003 iShares 7-10 Year Treasury Bond ETF   6,396,320
74,196 Schwab U.S. TIPs ETF   4,132,717
8,318 Vanguard Long-Term Corporate Bond ETF   754,027
79,979 Vanguard Short-Term Corporate Bond ETF   6,391,922
      24,074,669
Foreign Stock Funds – 18.6%    
39,101 iShares Edge MSCI Minimum Volatility EAFE ETF   2,629,933
27,737 iShares Edge MSCI Minimum Volatility Emerging Markets ETF   1,505,287
115,474 Vanguard FTSE All-World ex-U.S. ETF   5,638,596
56,057 Vanguard FTSE Europe ETF   3,003,534
22,073 WisdomTree Japan Hedged Equity Fund   1,127,268
      13,904,618
Stock Funds – 39.1%    
6,783 Consumer Staples Select Sector SPDR Fund   374,286
72,154 iShares Core S&P 500 ETF   17,285,212
21,727 iShares Core S&P Mid-Cap ETF   3,749,863
21,636 PowerShares Buyback Achievers Portfolio   1,128,750
33,672 Schwab U.S. Dividend Equity ETF   1,504,802
9,983 SPDR S&P Homebuilders ETF   377,457
13,833 SPDR S&P Regional Banking ETF   747,673
9,331 Vanguard Financials ETF   560,420
15,102 Vanguard Growth ETF   1,879,142
4,036 Vanguard Health Care ETF   565,565
8,126 Vanguard Information Technology ETF   1,127,889
      29,301,059
TOTAL EXCHANGE TRADED FUNDS    
(Cost $62,833,431) $ 68,787,186
 
Investment Company – 4.5%    
23,706 Schwab Fundamental U.S. Large Company Index Fund Institutional Shares   374,547
342,960 RidgeWorth Seix Floating Rate High Income Fund   3,007,756
TOTAL INVESTMENT COMPANY    
(Cost $3,316,547) $ 3,382,303
TOTAL INVESTMENTS – 96.4%    
(Cost $66,149,978) $ 72,169,489
OTHER ASSETS IN EXCESS OF LIABILITIES – 3.6%   2,717,211
NET ASSETS – 100.0% $ 74,886,700
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
* Non-income producing security.    
       
Investment Abbreviations:    
ETF —Exchange Traded Fund    
TIPS—Treasury Inflation Protected Securities    

 

32     The accompanying notes are an integral part of these financial statements.


GOLDMAN SACHS TARGET DATE 2035 PORTFOLIO

Schedule of Investments
 
April 30, 2017 (Unaudited)    
 
 
 
 
Shares Description Value
Exchange Traded Funds – 92.2%    
Alternative Funds* – 2.0%    
5,248 PowerShares DB Gold Fund $ 213,174
Bond Funds – 27.6%    
2,617 iShares 20+ Year Treasury Bond ETF   320,190
4,300 iShares 3-7 Year Treasury Bond ETF   531,996
7,989 iShares 7-10 Year Treasury Bond ETF   851,627
8,588 Schwab U.S. TIPs ETF   478,352
586 Vanguard Long-Term Corporate Bond ETF   53,121
8,652 Vanguard Short-Term Corporate Bond ETF   691,468
      2,926,754
Foreign Stock Funds – 20.0%    
5,535 iShares Edge MSCI Minimum Volatility EAFE ETF   372,284
4,403 iShares Edge MSCI Minimum Volatility Emerging Markets ETF   238,951
17,419 Vanguard FTSE All-World ex-U.S. ETF   850,570
8,922 Vanguard FTSE Europe ETF   478,040
3,685 WisdomTree Japan Hedged Equity Fund   188,193
      2,128,038
Stock Funds – 42.6%    
957 Consumer Staples Select Sector SPDR Fund   52,807
10,873 iShares Core S&P 500 ETF   2,604,736
3,381 iShares Core S&P Mid-Cap ETF   583,527
3,552 PowerShares Buyback Achievers Portfolio   185,308
5,345 Schwab U.S. Dividend Equity ETF   238,868
1,405 SPDR S&P Homebuilders ETF   53,123
1,957 SPDR S&P Regional Banking ETF   105,776
1,334 Vanguard Financials ETF   80,120
2,568 Vanguard Growth ETF   319,536
763 Vanguard Health Care ETF   106,919
1,341 Vanguard Information Technology ETF   186,130
      4,516,850
TOTAL EXCHANGE TRADED FUNDS    
(Cost $9,253,700) $ 9,784,816
 
Investment Company – 4.0%    
3,342 Schwab Fundamental U.S. Large Company Index Fund Institutional Shares   52,806
42,454 RidgeWorth Seix Floating Rate High Income Fund   372,320
TOTAL INVESTMENT COMPANY    
(Cost $422,399) $ 425,126
TOTAL INVESTMENTS – 96.2%    
(Cost $9,676,099) $   10,209,942 
OTHER ASSETS IN EXCESS OF LIABILITIES – 3.8%   406,027
NET ASSETS – 100.0% $ 10,615,969 
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
* Non-income producing security.    
       
Investment Abbreviations:    
ETF —Exchange Traded Fund    
TIPS—Treasury Inflation Protected Securities    

 

The accompanying notes are an integral part of these financial statements.    33


GOLDMAN SACHS TARGET DATE 2040 PORTFOLIO

Schedule of Investments

April 30, 2017 (Unaudited)

Shares Description Value
Exchange Traded Funds – 92.8%    
Alternative Funds* – 2.0%    
24,744 PowerShares DB Gold Fund $ 1,005,101
 
Bond Funds – 23.2%    
12,339 iShares 20+ Year Treasury Bond ETF   1,509,677
18,246 iShares 3-7 Year Treasury Bond ETF   2,257,395
32,960 iShares 7-10 Year Treasury Bond ETF   3,513,536
31,480 Schwab U.S. TIPs ETF   1,753,436
2,748 Vanguard Long-Term Corporate Bond ETF   249,106
28,242 Vanguard Short-Term Corporate Bond ETF   2,257,101
      11,540,251
Foreign Stock Funds – 21.6%    
27,959 iShares Edge MSCI Minimum Volatility EAFE ETF   1,880,522
16,180 iShares Edge MSCI Minimum Volatility Emerging Markets ETF   878,089
87,292 Vanguard FTSE All-World ex-U.S. ETF   4,262,468
6,185 Vanguard FTSE Emerging Markets ETF   249,503
46,739 Vanguard FTSE Europe ETF   2,504,276
19,728 WisdomTree Japan Hedged Equity Fund   1,007,509
      10,782,367
Stock Funds – 46.0%    
4,551 Consumer Staples Select Sector SPDR Fund   251,124
54,426 iShares Core S&P 500 ETF   13,038,293
17,391 iShares Core S&P Mid-Cap ETF   3,001,513
19,181 PowerShares Buyback Achievers Portfolio   1,000,673
28,092 Schwab U.S. Dividend Equity ETF   1,255,431
6,637 SPDR S&P Homebuilders ETF   250,945
9,226 SPDR S&P Regional Banking ETF   498,665
6,205 Vanguard Financials ETF   372,672
14,103 Vanguard Growth ETF   1,754,836
3,589 Vanguard Health Care ETF   502,927
7,227 Vanguard Information Technology ETF   1,003,108
      22,930,187
TOTAL EXCHANGE TRADED FUNDS    
(Cost $41,586,677) $ 46,257,906
 
Investment Company – 3.8%    
23,718 Schwab Fundamental U.S. Large Company Index Fund Institutional Shares   374,741
171,345 RidgeWorth Seix Floating Rate High Income Fund   1,502,698
TOTAL INVESTMENT COMPANY    
(Cost $1,767,584) $ 1,877,439
TOTAL INVESTMENTS – 96.6%    
(Cost $43,354,261) $ 48,135,345
OTHER ASSETS IN EXCESS OF LIABILITIES – 3.4%   1,711,069
NET ASSETS – 100.0% $ 49,846,414
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
* Non-income producing security.    
       
Investment Abbreviations:    
ETF —Exchange Traded Fund    
TIPS—Treasury Inflation Protected Securities    

 

34     The accompanying notes are an integral part of these financial statements.


GOLDMAN SACHS TARGET DATE 2045 PORTFOLIO

Schedule of Investments

April 30, 2017 (Unaudited)

Shares Description Value
Exchange Traded Funds – 92.7%    
Alternative Funds* – 2.0%    
5,335 PowerShares DB Gold Fund $ 216,708
 
Bond Funds – 18.6%    
2,648 iShares 20+ Year Treasury Bond ETF   323,983
3,489 iShares 3-7 Year Treasury Bond ETF   431,659
6,063 iShares 7-10 Year Treasury Bond ETF   646,316
4,822 Schwab U.S. TIPs ETF   268,585
4,052 Vanguard Short-Term Corporate Bond ETF   323,836
      1,994,379
Foreign Stock Funds – 23.1%    
6,011 iShares Edge MSCI Minimum Volatility EAFE ETF   404,300
3,985 iShares Edge MSCI Minimum Volatility Emerging Markets ETF   216,266
19,855 Vanguard FTSE All-World ex-U.S. ETF   969,520
1,334 Vanguard FTSE Emerging Markets ETF   53,813
11,061 Vanguard FTSE Europe ETF   592,648
4,744 WisdomTree Japan Hedged Equity Fund   242,276
      2,478,823
Stock Funds – 49.0%    
963 Consumer Staples Select Sector SPDR Fund   53,138
12,362 iShares Core S&P 500 ETF   2,961,441
4,035 iShares Core S&P Mid-Cap ETF   696,401
4,643 PowerShares Buyback Achievers Portfolio   242,225
6,638 Schwab U.S. Dividend Equity ETF   296,652
1,415 SPDR S&P Homebuilders ETF   53,501
1,982 SPDR S&P Regional Banking ETF   107,127
1,333 Vanguard Financials ETF   80,060
3,469 Vanguard Growth ETF   431,648
769 Vanguard Health Care ETF   107,760
1,747 Vanguard Information Technology ETF   242,484
      5,272,437
TOTAL EXCHANGE TRADED FUNDS    
(Cost $9,333,545) $ 9,962,347
 
Investment Company – 3.5%    
6,802 Schwab Fundamental U.S. Large Company Index Fund Institutional Shares   107,476
30,773 RidgeWorth Seix Floating Rate High Income Fund   269,881
TOTAL INVESTMENT COMPANY    
(Cost $374,027) $ 377,357
TOTAL INVESTMENTS – 96.2%    
(Cost $9,707,572) $ 10,339,704
OTHER ASSETS IN EXCESS OF LIABILITIES – 3.8%   410,617
NET ASSETS – 100.0% $ 10,750,321
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
* Non-income producing security.    
       
Investment Abbreviations:    
ETF —Exchange Traded Fund    
TIPS—Treasury Inflation Protected Securities    

 

The accompanying notes are an integral part of these financial statements.     35


GOLDMAN SACHS TARGET DATE 2050 PORTFOLIO

Schedule of Investments

April 30, 2017 (Unaudited)

Shares Description Value
Exchange Traded Funds – 94.1%    
Alternative Funds* – 2.0%    
12,507 PowerShares DB Gold Fund $ 508,034
Bond Funds – 14.2%    
6,237 iShares 20+ Year Treasury Bond ETF   763,097
7,173 iShares 3-7 Year Treasury Bond ETF   887,443
9,520 iShares 7-10 Year Treasury Bond ETF   1,014,832
6,817 Schwab U.S. TIPs ETF   379,707
6,345 Vanguard Short-Term Corporate Bond ETF   507,092
      3,552,171
Foreign Stock Funds – 24.8%    
14,133 iShares Edge MSCI Minimum Volatility EAFE ETF   950,586
10,510 iShares Edge MSCI Minimum Volatility Emerging Markets ETF   570,378
49,315 Vanguard FTSE All-World ex-U.S. ETF   2,408,051
3,117 Vanguard FTSE Emerging Markets ETF   125,740
28,350 Vanguard FTSE Europe ETF   1,518,993
12,503 WisdomTree Japan Hedged Equity Fund   638,528
      6,212,276
Stock Funds – 53.1%    
2,301 Consumer Staples Select Sector SPDR Fund   126,969
30,674 iShares Core S&P 500 ETF   7,348,264
10,256 iShares Core S&P Mid-Cap ETF   1,770,083
12,114 PowerShares Buyback Achievers Portfolio   631,987
17,040 Schwab U.S. Dividend Equity ETF   761,518
3,353 SPDR S&P Homebuilders ETF   126,777
4,664 SPDR S&P Regional Banking ETF   252,089
4,206 Vanguard Financials ETF   252,612
9,165 Vanguard Growth ETF   1,140,401
1,814 Vanguard Health Care ETF   254,196
4,566 Vanguard Information Technology ETF   633,761
      13,298,657
TOTAL EXCHANGE TRADED FUNDS    
(Cost $20,839,834) $ 23,571,138
 
Investment Company – 3.0%      
15,985 Schwab Fundamental U.S. Large Company Index Fund Institutional Shares     252,564
57,715 RidgeWorth Seix Floating Rate High Income Fund     506,159
TOTAL INVESTMENT COMPANY      
(Cost $684,874) $   758,723
TOTAL INVESTMENTS – 97.1%      
(Cost $21,524,708) $   24,329,861
OTHER ASSETS IN EXCESS OF LIABILITIES – 2.9%     718,320
NET ASSETS – 100.0% $   25,048,181
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
* Non-income producing security.      
         
Investment Abbreviations:      
ETF —Exchange Traded Fund      
TIPS—Treasury Inflation Protected Securities      

 

36     The accompanying notes are an integral part of these financial statements.


GOLDMAN SACHS TARGET DATE 2055 PORTFOLIO

Schedule of Investments

April 30, 2017 (Unaudited)

Shares Description Value
Exchange Traded Funds – 93.7%    
Alternative Funds* – 2.0%    
5,396 PowerShares DB Gold Fund $ 219,186
 
Bond Funds – 9.5%    
2,691 iShares 20+ Year Treasury Bond ETF   329,244
2,652 iShares 3-7 Year Treasury Bond ETF   328,105
1,540 iShares 7-10 Year Treasury Bond ETF   164,164
1,962 Schwab U.S. TIPs ETF   109,283
1,369 Vanguard Short-Term Corporate Bond ETF   109,411
      1,040,207
Foreign Stock Funds – 26.1%    
6,503 iShares Edge MSCI Minimum Volatility EAFE ETF   437,392
5,043 iShares Edge MSCI Minimum Volatility Emerging Markets ETF   273,684
22,394 Vanguard FTSE All-World ex-U.S. ETF   1,093,499
1,356 Vanguard FTSE Emerging Markets ETF   54,701
13,266 Vanguard FTSE Europe ETF   710,792
5,351 WisdomTree Japan Hedged Equity Fund   273,275
      2,843,343
Stock Funds – 56.1%    
975 Consumer Staples Select Sector SPDR Fund   53,800
13,917 iShares Core S&P 500 ETF   3,333,956
4,740 iShares Core S&P Mid-Cap ETF   818,077
6,284 PowerShares Buyback Achievers Portfolio   327,836
7,351 Schwab U.S. Dividend Equity ETF   328,516
2,157 SPDR S&P Homebuilders ETF   81,556
2,012 SPDR S&P Regional Banking ETF   108,749
1,815 Vanguard Financials ETF   109,009
3,962 Vanguard Growth ETF   492,992
974 Vanguard Health Care ETF   136,487
2,364 Vanguard Information Technology ETF   328,123
      6,119,101
TOTAL EXCHANGE TRADED FUNDS    
(Cost $9,466,749) $ 10,221,837
 
Investment Company – 2.5%      
6,896 Schwab Fundamental U.S. Large Company Index Fund Institutional Shares     108,964
18,706 RidgeWorth Seix Floating Rate High Income Fund     164,054
TOTAL INVESTMENT COMPANY      
(Cost $269,782) $   273,018
TOTAL INVESTMENTS – 96.2%      
(Cost $9,736,531)   $   10,494,855
OTHER ASSETS IN EXCESS OF LIABILITIES – 3.8%     417,618
NET ASSETS – 100.0% $   10,912,473
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
* Non-income producing security.      
         
Investment Abbreviations:      
ETF —Exchange Traded Fund      
TIPS—Treasury Inflation Protected Securities      

 

The accompanying notes are an integral part of these financial statements.     37


Statements of Assets and Liabilities

April 30, 2017 (Unaudited)

Target Date 2020
Portfolio
   
   
Assets:    
Investments, at value (cost $48,477,903, $9,648,575, $66,149,978, $9,676,099, $43,354,261, $9,707,572, $21,524,708 and $9,736,531) $ 50,910,743
Cash   1,919,873
Deferred offering costs  
Receivables:    
Investments sold   644,545
Dividends   12,413
Fund shares sold   1,090
Reimbursement from investment adviser  
Other assets   5,669
Total assets   53,494,333
 
Liabilities:    
Payables:    
Investments purchased   442,067
Management fees   10,860
Distribution and Service fees and Transfer Agency fees   885
Fund shares redeemed  
Offering expense  
Accrued expenses   298,095
Total liabilities   751,907
 
Net Assets:    
Paid-in capital   48,528,614
Undistributed net investment income   186,934
Accumulated net realized gain (loss)   1,594,038
Net unrealized gain   2,432,840
NET ASSETS $ 52,742,426

Net Assets:    
Class A $ 15,741
Institutional   10,232
Service   10,196
Class IR   10,221
Class R   10,185
Class R6   52,685,851
Total Net Assets $ 52,742,426
 
Shares Outstanding $0.001 par value (unlimited number of shares authorized):    
Class A   1,623
Institutional   1,054
Service   1,052
Class IR   1,053
Class R   1,051
Class R6   5,424,205
 
Net asset value, offering and redemption price per share:(a)    
Class A $ 9.70
Institutional   9.71
Service   9.69
Class IR   9.71
Class R   9.69
Class R6   9.71

(a) Maximum public offering price per share for Class A Shares of the Target Date 2020, Target Date 2025, Target Date 2030, Target Date 2035, Target Date 2040, Target Date 2045, Target Date 2050, and Target Date 2055 Portfolios is $10.26, $10.91, $10.48, $11.09, $10.30, $11.22, $10.72 and $11.33, respectively.
(b) Net asset value may not recalculate due to rounding of fractional shares.

 

38     The accompanying notes are an integral part of these financial statements.


  Target Date 2025
Portfolio
    Target Date 2030
Portfolio
  Target Date 2035
Portfolio
    Target Date 2040
Portfolio
  Target Date 2045
Portfolio
    Target Date 2050
Portfolio
  Target Date 2055
Portfolio
 
                     
 
$ 10,062,515   $ 72,169,489 $ 10,209,942   $ 48,135,345 $ 10,339,704   $ 24,329,861 $ 10,494,855  
  439,448     2,788,426   445,326     1,982,585   449,887     998,033   457,106  
  38,032       38,032       38,032       37,760  
 
  138,885     704,260   84,312     585,235   120,871     304,551   146,813  
  2,150     13,613   1,644     6,724   1,234     2,214   876  
      319   922     1,614       1,729   376  
  26,028       25,921       25,871       25,901  
  1,251     7,925   13,599     5,160   1,262     2,509   13,814  
  10,708,309     75,684,032   10,819,698     50,716,663   10,976,861     25,638,897   11,177,501  
 
  159,211     482,203   104,199     561,013   139,379     289,331   166,334  
  2,134     15,581   2,161     10,221   2,186     5,119   2,215  
  370     1,332   365     840   380     426   392  
  18                    
  43,395       43,396       43,397       42,850  
  41,106     298,216   53,608     298,175   41,198     295,840   53,237  
  246,234     797,332   203,729     870,249   226,540     590,716   265,028  
 
  10,122,047     63,886,306   10,114,419     41,365,291   10,127,377     21,555,614   10,170,878  
  31,287     227,643   28,262     143,196   27,130     64,730   24,519  
  (105,199 )   4,753,240   (60,555 )   3,556,843   (36,318 )   622,684   (41,248 )
  413,940     6,019,511   533,843     4,781,084   632,132     2,805,153   758,324  
$ 10,462,075   $ 74,886,700 $ 10,615,969   $ 49,846,414 $ 10,750,321   $ 25,048,181 $ 10,912,473  

$ 54,165   $ 203,118 $ 27,809   $ 14,381 $ 36,377   $ 10,754 $ 81,223  
  10,366,328     10,530   10,532,454     10,656   10,656,136     10,785   10,777,337  
  10,383     10,493   10,549     10,619   10,674     10,747   10,795  
  10,408     10,518   10,575     10,645   10,699     10,773   10,821  
  10,372     20,597   10,606     21,575   25,725     10,761   10,783  
  10,419     74,631,444   23,976     49,778,538   10,710     24,994,361   21,514  
 
$ 10,462,075   $ 74,886,700 $ 10,615,969   $ 49,846,414 $ 10,750,321   $ 25,048,181 $ 10,912,473  
 
  5,254     20,521   2,652     1,478   3,431     1,062   7,581  
  1,003,051     1,061   1,003,493     1,094   1,003,690     1,063   1,004,014  
  1,006     1,059   1,007     1,092   1,007     1,062   1,007  
  1,008     1,061   1,008     1,093   1,008     1,063   1,009  
  1,006     2,080   1,013     2,219   2,428     1,064   1,007  
  1,008     7,524,325   2,284     5,105,755   1,009     2,464,652   2,005  
 
$ 10.31   $ 9.90 $ 10.48   $ 9.73 $ 10.60   $ 10.13 $ 10.71  
  10.33     9.92   10.50     9.75   10.62     10.14   10.73  
  10.32     9.91   10.48     9.73   10.60     10.12   10.72  
  10.33     9.92   10.49     9.74   10.61     10.14   10.73 (b)
  10.31     9.90   10.47     9.72   10.59     10.12   10.71  
  10.34     9.92   10.50     9.75   10.62     10.14   10.73  

 

The accompanying notes are an integral part of these financial statements.     39


Statements of Operations

For the Six Months Ended April 30, 2017 (Unaudited)

    Target Date 2020
Portfolio
 
     
Investment income:      
Dividends $ 528,870  
Total investment income   528,870  
 
Expenses:      
Professional fees   147,364  
Management fees   66,626  
Printing and mailing costs   38,377  
Registration fees   32,546  
Custody, accounting and administrative services   24,304  
Trustee fees   23,407  
Transfer Agency fees(a)   5,356  
Distribution and Service fees(a)   63  
Amortization of offering costs    
Other   5,693  
Total expenses   343,736  
Less — expense reductions   (260,727 )
Net expenses   83,009  
NET INVESTMENT INCOME   445,861  
 
Realized and unrealized gain (loss):      
Capital gain distributions from Underlying Funds    
Net realized gain (loss) from investments   2,101,487  
Net change in unrealized gain (loss) on investments   (552,174 )
Net realized and unrealized gain   1,549,313  
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 1,995,174  
(a) Class specific Distribution and Service and Transfer Agency fees were as follows:      

 

    Distribution and Service Fees Transfer Agency Fees
Portfolio Class A   Service    Class R  Class A   Institutional   Service     Class IR Class R Class R6
Target Date 2020 $ 13 $ 25 $ 25 $ 10 $ 2 $ 2 $ 9 $ 9 $ 5,324
Target Date 2025   52   25   25   39   1,997   2   9   9   2
Target Date 2030   154   25   31   117   2   2   9   11   7,611
Target Date 2035   26   25   25   19   2,017   2   9   9   1
Target Date 2040   17   25   32   13   2   2   9   12   4,928
Target Date 2045   18   25   35   14   2,033   2   9   12   2
Target Date 2050   13   26   26   10   2   2   10   10   2,357
Target Date 2055   30   26   26   23   2,048   2   10   10   2

 

40     The accompanying notes are an integral part of these financial statements.


  Target Date 2025
Portfolio
    Target Date 2030
Portfolio
    Target Date 2035
Portfolio
    Target Date 2040
Portfolio
    Target Date 2045
Portfolio
    Target Date 2050
Portfolio
    Target Date 2055
Portfolio
 
                           
 
$ 100,931   $ 767,759   $ 102,226   $ 504,932   $ 103,903   $ 239,339   $ 105,483  
  100,931     767,759     102,226     504,932     103,903     239,339     105,483  
 
 
  20,620     147,364     20,620     147,364     20,620     147,364     20,620  
  12,584     95,348     12,686     61,688     12,779     29,550     12,890  
  17,108     38,377     17,108     38,377     17,108     38,377     17,106  
  9,230     32,539     9,230     32,539     9,230     32,552     9,230  
  17,834     23,787     17,595     23,485     17,486     18,312     17,557  
  21,914     24,204     21,914     23,288     21,915     22,321     21,916  
  2,058     7,752     2,057     4,966     2,072     2,391     2,095  
  102     210     76     74     78     65     82  
  82,019         82,019         82,019         82,019  
  3,102     5,666     3,102     5,656     3,103     5,645     3,102  
  186,571     375,247     186,407     337,437     186,410     296,577     186,617  
  (169,943 )   (256,277 )   (169,692 )   (260,620 )   (169,572 )   (259,782 )   (169,630 )
  16,628     118,970     16,715     76,817     16,838     36,795     16,987  
  84,303     648,789     85,511     428,115     87,065     202,544     88,496  
 
 
  4,000     34,942     5,746     28,049     5,796     12,983     5,840  
  (51,689 )   5,887,135     (9,964 )   4,480,475     15,213     1,112,140     17,255  
  550,941     (1,211,022 )   691,108     (851,755 )   796,436     907,602     923,504  
  503,252     4,711,055     686,890     3,656,769     817,445     2,032,725     946,599  
$ 587,555   $ 5,359,844   $ 772,401   $ 4,084,884   $ 904,510   $ 2,235,269   $ 1,035,095  

 

The accompanying notes are an integral part of these financial statements.     41

Statements of Changes in Net Assets

    Target Date 2020 Portfolio  
    For the
Six Months Ended
April 30, 2017
(Unaudited)
       
        For the Fiscal
Year Ended
October 31, 2016
From operations:            
Net investment income $ 445,861   $ 969,310  
Net realized gain (loss)   2,101,487     2,304,750  
Net change in unrealized gain (loss)   (552,174 )   (1,317,333 )
Net increase (decrease) in net assets resulting from operations   1,995,174     1,956,727  
 
Distributions to shareholders:            
From net investment income            
Class A Shares   (167 )    
Institutional Shares   (182 )    
Service Shares   (164 )    
Class IR Shares   (177 )    
Class R Shares   (159 )    
Class R6 Shares   (1,005,896 )   (899,589 )
From net realized gains            
Class A Shares   (374 )    
Institutional Shares   (373 )    
Service Shares   (374 )    
Class IR Shares   (373 )    
Class R Shares   (373 )    
Class R6 Shares   (2,022,264 )   (1,764,331 )
Total distributions to shareholders   (3,030,876 )   (2,663,920 )
 
From share transactions:            
Proceeds from sales of shares   1,402,403     5,445,589  
Reinvestment of distributions   3,030,875     2,663,920  
Cost of shares redeemed   (4,375,733 )   (7,300,343 )
Net increase (decrease) in net assets resulting from share transactions   57,545     809,166  
TOTAL INCREASE (DECREASE)   (978,157 )   101,973  
 
Net assets:            
Beginning of period   53,720,583     53,618,610  
End of period $ 52,742,426   $ 53,720,583  
Undistributed net investment income $ 186,934   $ 747,818  
(a) Commenced operations on August 22, 2016.            

 

42     The accompanying notes are an integral part of these financial statements.


Target Date 2025 Portfolio     Target Date 2030 Portfolio
  For the
Six Months Ended
April 30, 2017
(Unaudited)
      For the Fiscal
Year Ended
October 31, 2016(a)
    For the
Six Months Ended
April 30, 2017
(Unaudited)
      For the Fiscal
Year Ended
October 31, 2016
 
                   
                   
 
$ 84,303     $ 26,825   $ 648,789     $ 1,461,869  
  (47,689 )     (57,510 )   5,922,077       2,737,159  
  550,941       (137,001 )   (1,211,022 )     (1,710,529 )
  587,555       (167,686 )   5,359,844       2,488,499  
 
 
  (375 )         (306 )      
  (79,700 )         (198 )      
  (62 )         (181 )      
  (75 )         (193 )      
  (57 )         (175 )      
  (80 )         (1,529,883 )     (1,258,551 )
 
            (318 )      
            (317 )      
            (318 )      
            (317 )      
            (317 )      
            (2,407,010 )     (2,672,152 )
  (80,349 )         (3,939,533 )     (3,930,703 )
 
 
  42,246       10,000,066     2,224,671       2,761,285  
  80,349           3,939,531       3,930,703  
  (41 )     (65 )   (6,970,954 )     (9,983,568 )
  122,554       10,000,001     (806,752 )     (3,291,580 )
  629,760       9,832,315     613,559       (4,733,784 )
 
  9,832,315           74,273,141       79,006,925  
$ 10,462,075     $ 9,832,315   $ 74,886,700     $ 74,273,141  
$ 31,287     $ 27,333   $ 227,643     $ 1,109,790  

 

The accompanying notes are an integral part of these financial statements.     43


Statements of Changes in Net Assets (continued)

    Target Date 2035 Portfolio  
    For the
Six Months Ended
April 30, 2017
(Unaudited)
    For the Fiscal
Year Ended
October 31, 2016(a)
 
         
         
From operations:            
Net investment income $ 85,511   $ 27,283  
Net realized gain (loss)   (4,218 )   (56,337 )
Net change in unrealized gain (loss)   691,108     (157,265 )
Net increase (decrease) in net assets resulting from operations   772,401     (186,319 )
 
Distributions to shareholders:            
From net investment income            
Class A Shares   (71 )    
Institutional Shares   (84,675 )    
Service Shares   (67 )    
Class IR Shares   (80 )    
Class R Shares   (62 )    
Class R6 Shares   (85 )    
From net realized gains            
Class A Shares        
Institutional Shares        
Service Shares        
Class IR Shares        
Class R Shares        
Class R6 Shares        
Total distributions to shareholders   (85,040 )    
 
From share transactions:            
Proceeds from sales of shares   29,891     10,000,066  
Reinvestment of distributions   85,040      
Cost of shares redeemed   (5 )   (65 )
Net increase (decrease) in net assets resulting from share transactions   114,926     10,000,001  
TOTAL INCREASE (DECREASE)   802,287     9,813,682  
 
Net assets:            
Beginning of period   9,813,682      
End of period $ 10,615,969   $ 9,813,682  
Undistributed net investment income $ 28,262   $ 27,791  
(a) Commenced operations on August 22, 2016.            

 

44     The accompanying notes are an integral part of these financial statements.


  Target Date 2040 Portfolio     Target Date 2045 Portfolio
  For the
Six Months Ended
April 30, 2017
(Unaudited)
      For the Fiscal
Year Ended
October 31, 2016
    For the
Six Months Ended
April 30, 2017
(Unaudited)
      For the Fiscal
Year Ended
October 31, 2016(a)
 
                   
 
$ 428,115     $ 983,035   $ 87,065     $ 27,097  
  4,508,524       2,200,742     21,009       (57,327 )
  (851,755 )     (1,495,190 )   796,436       (164,304 )
  4,084,884       1,688,587     904,510       (194,534 )
 
 
  (256 )         (73 )      
  (211 )         (87,162 )      
  (193 )         (70 )      
  (206 )         (82 )      
  (188 )         (65 )      
  (1,022,650 )     (839,070 )   (88 )      
 
  (571 )                
  (442 )                
  (442 )                
  (442 )                
  (442 )                
  (2,134,309 )     (2,209,026 )          
  (3,160,352 )     (3,048,096 )   (87,540 )      
 
 
  1,719,052       1,187,738     40,349       10,000,066  
  3,160,351       3,048,096     87,540        
  (3,349,241 )     (5,514,019 )   (5 )     (65 )
  1,530,162       (1,278,185 )   127,884       10,000,001  
  2,454,694       (2,637,694 )   944,854       9,805,467  
 
 
  47,391,720       50,029,414     9,805,467        
$ 49,846,414     $ 47,391,720   $ 10,750,321     $ 9,805,467  
$ 143,196     $ 738,785   $ 27,130     $ 27,605  

 

The accompanying notes are an integral part of these financial statements.     45



Statements of Changes in Net Assets (continued)

    Target Date 2050 Portfolio  
    For the
Six Months Ended
April 30, 2017
(Unaudited)
    For the Fiscal
Year Ended
October 31, 2016
 
         
From operations:            
Net investment income $ 202,544   $ 446,501  
Net realized gain (loss)   1,125,123     844,921  
Net change in unrealized gain (loss)   907,602     (529,507 )
Net increase (decrease) in net assets resulting from operations   2,235,269     761,915  
 
Distributions to shareholders:            
From net investment income            
Class A Shares   (196 )    
Institutional Shares   (210 )    
Service Shares   (192 )    
Class IR Shares   (205 )    
Class R Shares   (187 )    
Class R6 Shares   (470,084 )   (348,249 )
From net realized gains            
Class A Shares   (404 )    
Institutional Shares   (404 )    
Service Shares   (404 )    
Class IR Shares   (404 )    
Class R Shares   (404 )    
Class R6 Shares   (892,169 )   (629,298 )
Total distributions to shareholders   (1,365,263 )   (977,547 )
 
From share transactions:            
Proceeds from sales of shares   2,330,588     1,728,932  
Reinvestment of distributions   1,365,263     977,547  
Cost of shares redeemed   (1,223,381 )   (1,267,315 )
Net increase in net assets resulting from share transactions   2,472,470     1,439,164  
TOTAL INCREASE   3,342,476     1,223,532  
 
Net assets:            
 
Beginning of period   21,705,705     20,482,173  
End of period $ 25,048,181   $ 21,705,705  
Undistributed net investment income $ 64,730   $ 333,260  
(a) Commenced operations on August 22, 2016.            

 

46     The accompanying notes are an integral part of these financial statements.



Target Date 2055 Portfolio
  For the
Six Months Ended
April 30, 2017
(Unaudited)
    For the Fiscal
Year Ended
October 31, 2016(a)
 
       
 
$ 88,496     $ 26,977  
  23,095       (64,343 )
  923,504       (165,180 )
  1,035,095       (202,546 )
 
 
  (98 )      
  (91,043 )      
  (74 )      
  (86 )      
  (69 )      
  (92 )      
 
         
         
         
         
         
         
  (91,462 )      
 
 
  79,941       10,000,066  
  91,462        
  (18 )     (65 )
  171,385       10,000,001  
  1,115,018       9,797,455  
 
 
  9,797,455        
$ 10,912,473     $ 9,797,455  
$ 24,519     $ 27,485  

 

The accompanying notes are an integral part of these financial statements.     47



GOLDMAN SACHS TARGET DATE 2020 PORTFOLIO

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

Year - Share Class
      Income (loss) from
Investment Operations
    Distributions
to shareholders
         
 
  Net asset
value,
beginning
of period
  Net
investment
income(a)
  Net realized
and unrealized
gain (loss)
    Total from
investment
operations
    From net
investment
income
    From net
realized
gains
    Total
distributions
 
                       
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)              
2017 - A $ 9.90 $ 0.05 $ 0.29   $ 0.34   $ (0.16 ) $ (0.38 ) $ (0.54 )
2017 - Institutional   9.91   0.08   0.28     0.36     (0.18 )   (0.38 )   (0.56 )
2017 - Service   9.90   0.05   0.28     0.33     (0.16 )   (0.38 )   (0.54 )
2017 - IR   9.91   0.07   0.28     0.35     (0.17 )   (0.38 )   (0.55 )
2017 - R   9.90   0.05   0.27     0.32     (0.15 )   (0.38 )   (0.53 )
2017 - R6   9.91   0.08   0.28     0.36     (0.18 )   (0.38 )   (0.56 )
FOR THE FISCAL YEARS ENDED OCTOBER 31,              
2016 - A (Commenced August 22, 2016)   10.05   0.02   (0.17 )   (0.15 )            
2016 - Institutional (Commenced August 22, 2016)   10.05   0.03   (0.17 )   (0.14 )            
2016 - Service (Commenced August 22, 2016)   10.05   0.02   (0.17 )   (0.15 )            
2016 - IR (Commenced August 22, 2016)   10.05   0.02   (0.16 )   (0.14 )            
2016 - R (Commenced August 22, 2016)   10.05   0.01   (0.16 )   (0.15 )            
2016 - R6 10.07     0.18     0.16     0.34     (0.17 )     (0.33 )     (0.50 )
2015 - R6   10.00   0.16   0.10     0.26     (0.09 )   (0.10 )   (0.19 )
FOR THE PERIOD ENDED OCTOBER 31,                    
2014 - R6 (Commenced August 29, 2014)   10.00     0.03     (0.03 )                    
(a) Calculated based on the average shares outstanding methodology.
(b) Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholder relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. The Goldman Sachs Target Date 2020 Portfolio’s predecessor was the Madison Target Retirement 2020 Fund (the “Predecessor Fund”). On August 22, 2016, the Predecessor Fund was reorganized as a new series of Goldman Sachs Trust II. Performance prior to August 22, 2016 is that of the Predecessor Fund. Total return information of the Predecessor Fund is included in the above table because the Predecessor Fund is considered the accounting survivor of the reorganization.
(c) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.
(d) Annualized.

48     The accompanying notes are an integral part of these financial statements.



GOLDMAN SACHS TARGET DATE 2020 PORTFOLIO

  Net asset
value, end
of period
  Total
return(b)
  Net assets,
end of
period
(in 000s)
  Ratio of
net expenses
to average
net assets
  Ratio of
total expenses
to average
net assets
  Ratio of
net investment
income
to average
net assets
  Portfolio
turnover
rate(c)
 
     
     
 
$ 9.70   3.60 %   $ 16   0.73 %(d)   1.65 %(d)   1.14 %(d)   119 %
  9.71   3.75       10   0.33 (d)   1.31 (d)   1.64 (d)   119  
  9.69   3.46       10   0.83 (d)   1.81 (d)   1.14 (d)   119  
  9.71   3.69       10   0.48 (d)   1.46 (d)   1.49 (d)   119  
  9.69   3.41       10   0.98 (d)   1.96 (d)   0.99 (d)   119  
  9.71   3.75       52,686   0.31 (d)   1.29 (d)   1.67 (d)   119  
 
  9.90   (1.49 )     10   0.74 (d)   3.01 (d)   0.94 (d)   204  
  9.91   (1.39 )     10   0.34 (d)   2.61 (d)   1.34 (d)   204  
  9.90   (1.49 )     10   0.84 (d)   3.11 (d)   0.84 (d)   204  
  9.91   (1.39 )     10   0.48 (d)   2.75 (d)   1.19 (d)   204  
  9.90   (1.49 )     10   0.98 (d)   3.25 (d)   0.69 (d)   204  
  9.91   3.65       53,671   0.31     0.76     1.79     204  
  10.07   2.61       53,619   0.30     0.30     1.46     207  
 
  10.00         61,964   0.32 (d)   0.32 (d)   1.82 (d)   48  

 

The accompanying notes are an integral part of these financial statements.     49



GOLDMAN SACHS TARGET DATE 2025 PORTFOLIO

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

            From
investment operations
         
                     
      Net asset
value,
beginning
of period
  Net
investment
income(a)
  Net realized
and unrealized
gain (loss)
    Total from
investment
operations
    Distributions
to shareholders
from net
investment
income
 
                   
Year - Share Class                  
 
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)                
2017 - A $ 9.82   $ 0.07   $ 0.50     $ 0.57     $ (0.08 )
2017 - Institutional   9.83     0.08     0.50       0.58       (0.08 )
2017 - Service   9.82     0.06     0.50       0.56       (0.06 )
2017 - IR   9.83     0.08     0.49       0.57       (0.07 )
2017 - R   9.82     0.05     0.50       0.55       (0.06 )
2017 - R6   9.83     0.08     0.51       0.59       (0.08 )
 
FOR THE PERIOD ENDED OCTOBER 31,                        
2016 - A (Commenced August 22, 2016)   10.00     0.02     (0.20 )     (0.18 )      
2016 - Institutional (Commenced August 22, 2016)   10.00     0.03     (0.20 )     (0.17 )      
2016 - Service (Commenced August 22, 2016)   10.00     0.02     (0.20 )     (0.18 )      
2016 - IR (Commenced August 22, 2016)   10.00     0.02     (0.19 )     (0.17 )      
2016 - R (Commenced August 22, 2016)   10.00     0.01     (0.19 )     (0.18 )      
2016 - R6 (Commenced August 22, 2016)   10.00     0.03     (0.20 )     (0.17 )      
(a) Calculated based on the average shares outstanding methodology.
(b) Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholder relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized.
(c) Annualized.
(d) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.

 

50     The accompanying notes are an integral part of these financial statements.



GOLDMAN SACHS TARGET DATE 2025 PORTFOLIO

  Net asset
value, end
of period
Total
return(b)
  Net assets,
end of
period
(in 000s)
Ratio of
net expenses
to average
net assets(c)
Ratio of
total expenses
to average
net assets(c)
Ratio of
net investment
income
to average
net assets(c)
Portfolio
turnover
rate(d)
   
   
   
   
 
$ 10.31   5.69 %   $ 54   0.73 %   3.22 %   1.45 %   110 %
  10.33   5.94       10,366   0.33     2.88     1.68     110  
  10.32   5.75       10   0.83     3.38     1.18     110  
  10.33   5.88       10   0.47     3.02     1.54     110  
  10.31   5.60       10   0.97     3.52     1.03     110  
  10.34   6.04       10   0.32     2.89     1.68     110  
 
  9.82   (1.70 )     10   0.75     4.23     1.01     33  
  9.83   (1.70 )     9,783   0.34     3.85     1.42     33  
  9.82   (1.80 )     10   0.84     4.32     0.91     33  
  9.83   (1.70 )     10   0.49     3.97     1.27     33  
  9.82   (1.80 )     10   0.99     4.47     0.77     33  
  9.83   (1.70 )     10   0.33     3.92     1.43     33  

The accompanying notes are an integral part of these financial statements.    51



GOLDMAN SACHS TARGET DATE 2030 PORTFOLIO

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

        From
investment operations
    Distributions
to shareholders
           
      Net asset
value,
beginning
of period
Net
investment
income(a)
Net realized
and unrealized
gain (loss)
  Total from
investment
operations
  From net
investment
income
  From net
realized
gains
  Total
distributions
 
Year - Share Class              
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)                                  
2017 - A $ 9.74   $ 0.03   $ 0.63     $ 0.66     $ (0.18 )   $ (0.32 )   $ (0.50 )
2017 - Institutional   9.75     0.08     0.60       0.68       (0.19 )     (0.32 )     (0.51 )
2017 - Service   9.74     0.06     0.60       0.66       (0.17 )     (0.32 )     (0.49 )
2017 - IR   9.75     0.07     0.61       0.68       (0.19 )     (0.32 )     (0.51 )
2017 - R   9.74     0.05     0.60       0.65       (0.17 )     (0.32 )     (0.49 )
2017 - R6   9.75     0.08     0.60       0.68       (0.19 )     (0.32 )     (0.51 )
FOR THE FISCAL YEARS ENDED OCTOBER 31,                          
2016 - A (Commenced August 22, 2016)   9.93     0.02     (0.21 )     (0.19 )                  
2016 - Institutional (Commenced August 22, 2016)   9.93     0.03     (0.21 )     (0.18 )                  
2016 - Service (Commenced August 22, 2016)   9.93     0.02     (0.21 )     (0.19 )                  
2016 - IR (Commenced August 22, 2016)   9.93     0.02     (0.20 )     (0.18 )                  
2016 - R (Commenced August 22, 2016)   9.93     0.02     (0.21 )     (0.19 )                  
2016 - R6   9.97     0.19     0.11       0.30       (0.17 )     (0.35 )     (0.52 )
2015 - R6   9.99     0.15     0.12       0.27       (0.09 )     (0.20 )     (0.29 )
FOR THE PERIOD ENDED OCTOBER 31,                                  
2014 - R6 (Commenced August 29, 2014)   10.00     0.03     (0.04 )     (0.01 )                  
(a) Calculated based on the average shares outstanding methodology.
(b) Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. The Goldman Sachs Target Date 2030 Portfolio’s predecessor was the Madison Target Retirement 2030 Fund (the “Predecessor Fund”). On August 22, 2016, the Predecessor Fund was reorganized as a new series of Goldman Sachs Trust II. Performance prior to August 22, 2016 is that of the Predecessor Fund. Total return information of the Predecessor Fund is included in the above table because the Predecessor Fund is considered the accounting survivor of the reorganization.
(c) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.
(d) Annualized.

52     The accompanying notes are an integral part of these financial statements.


GOLDMAN SACHS TARGET DATE 2030 PORTFOLIO

Net asset
value, end
of period
Total
return(b)
  Net assets,
end of
period
(in 000s)
Ratio of
net expenses
to average
net assets
Ratio of
total expenses
to average
net assets
Ratio of
net investment
income
to average
net assets
Portfolio
turnover
rate(c)
 
 
 
$ 9.90   7.01 %   $ 203   0.74 %(d)   1.16 %(d)   0.60 %(d)   92 %
  9.92   7.20     11   0.33 (d)   0.99 (d)   1.67 (d)   92  
  9.91   7.01     10   0.83 (d)   1.49 (d)   1.17 (d)   92  
  9.92   7.14     11   0.47 (d)   1.13 (d)   1.53 (d)   92  
  9.90   6.85     21   0.97 (d)   1.49 (d)   1.06 (d)   92  
  9.92   7.21     74,631   0.31 (d)   0.98 (d)   1.70 (d)   92  
 
  9.74   (1.91 )   10   0.74 (d)   2.33 (d)   1.01 (d)   176  
  9.75   (1.81 )   10   0.34 (d)   1.93 (d)   1.41 (d)   176  
  9.74   (1.91 )   10   0.83 (d)   2.43 (d)   0.92 (d)   176  
  9.75   (1.81 )   10   0.48 (d)   2.08 (d)   1.27 (d)   176  
  9.74   (1.91 )   10   0.98 (d)   2.57 (d)   0.77 (d)   176  
  9.75   3.23       74,224   0.31     0.62     1.91     176  
  9.97   2.76     79,007   0.30     0.30     1.49     156  
                               
  9.99   (0.10 )     82,852   0.32 (d)   0.32 (d)   1.87 (d)   44  

 

The accompanying notes are an integral part of these financial statements.     53



GOLDMAN SACHS TARGET DATE 2035 PORTFOLIO

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

          From
investment operations
       
                 
    Net asset
value,
beginning
of period
Net
investment
income(a)
Net realized
and unrealized
gain (loss)
Total from
investment
operations
Distributions
to shareholders
from net
investment
income
   
Year - Share Class  
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)                  
2017 - A $ 9.81   $ 0.05   $ 0.69     $ 0.74     $ (0.07 )
2017 - Institutional   9.81     0.09     0.69       0.78       (0.09 )
2017 - Service   9.80     0.06     0.69       0.75       (0.07 )
2017 - IR   9.81     0.08     0.68       0.76       (0.08 )
2017 - R   9.80     0.05     0.68       0.73       (0.06 )
2017 - R6   9.81     0.08     0.70       0.78       (0.09 )
FOR THE PERIOD ENDED OCTOBER 31,          
2016 - A (Commenced August 22, 2016)   10.00     0.02     (0.21 )     (0.19 )      
2016 - Institutional (Commenced August 22, 2016)   10.00     0.03     (0.22 )     (0.19 )      
2016 - Service (Commenced August 22, 2016)   10.00     0.02     (0.22 )     (0.20 )      
2016 - IR (Commenced August 22, 2016)   10.00     0.02     (0.21 )     (0.19 )      
2016 - R (Commenced August 22, 2016)   10.00     0.02     (0.22 )     (0.20 )      
2016 - R6 (Commenced August 22, 2016)   10.00     0.03     (0.22 )     (0.19 )      
(a) Calculated based on the average shares outstanding methodology.
(b) Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholder relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized.
(c) Annualized.
(d) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.

54     The accompanying notes are an integral part of these financial statements.



GOLDMAN SACHS TARGET DATE 2035 PORTFOLIO

                    Ratio of
net investment
income
to average
net assets(c)
Portfolio
turnover
rate(d)
Net asset
value, end
of period
Total
return(b)
Net assets,
end of
period
(in 000s)
Ratio of
net expenses
to average
net assets(c)
Ratio of
total expenses
to average
net assets(c)
 
$ 10.48   7.59 %   $ 28   0.73 %   3.17 %   0.92 %   89 %
  10.50   7.95       10,532   0.33     2.86     1.69     89  
  10.48   7.66       11   0.82     3.34     1.19     89  
  10.49   7.79       11   0.47     2.98     1.55     89  
  10.47   7.50       11   0.97     3.48     1.05     89  
  10.50   7.95       24   0.29     2.77     1.62     89  
 
  9.81   (1.90 )     10   0.75     4.23     1.03     29  
  9.81   (1.90 )     9,765   0.34     3.85     1.44     29  
  9.80   (2.00 )     10   0.84     4.33     0.94     29  
  9.81   (1.90 )     10   0.49     3.97     1.29     29  
  9.80   (2.00 )     10   0.99     4.47     0.79     29  
  9.81   (1.90 )     10   0.32     3.93     1.46     29  

 

The accompanying notes are an integral part of these financial statements.     55



GOLDMAN SACHS TARGET DATE 2040 PORTFOLIO

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

              From
investment operations
    Distributions
to shareholders
                 
      Net asset
value,
beginning
of period
Net
investment
income(a)
Net realized
and unrealized
gain (loss)
  Total from
investment
operations
  From net
investment
income
From net
realized
gains
Total
distributions
Year - Share Class    
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)
2017 - A   $ 9.58   $ 0.06   $ 0.71   $ 0.77   $ (0.19 )   $ (0.43 )   $ (0.62 )
2017 - Institutional     9.58     0.08     0.72     0.80     (0.20 )     (0.43 )     (0.63 )
2017 - Service     9.58     0.06     0.70     0.76     (0.18 )     (0.43 )     (0.61 )
2017 - IR     9.58     0.07     0.71     0.78     (0.19 )     (0.43 )     (0.62 )
2017 - R     9.57     0.05     0.71     0.76     (0.18 )     (0.43 )     (0.61 )
2017 - R6     9.59     0.08     0.71     0.79     (0.20 )     (0.43 )     (0.63 )
FOR FISCAL YEARS ENDED OCTOBER 31,
2016 - A (Commenced August 22, 2016)   9.77     0.02     (0.21 )   (0.19 )                
2016 - Institutional (Commenced August 22, 2016)   9.77     0.03     (0.22 )   (0.19 )                
2016 - Service (Commenced August 22, 2016)   9.77     0.02     (0.21 )   (0.19 )                
2016 - IR (Commenced August 22, 2016)   9.77     0.02     (0.21 )   (0.19 )                
2016 - R (Commenced August 22, 2016)   9.77     0.01     (0.21 )   (0.20 )                
2016 - R6   9.90     0.19     0.11     0.30     (0.17 )     (0.44 )     (0.61 )
2015 - R6   9.98     0.15     0.13     0.28     (0.10 )     (0.26 )     (0.36 )
FOR THE PERIOD ENDED OCTOBER 31,
2014 - R6 (Commenced August 29, 2016)   10.00     0.03     (0.05 )   (0.02 )                
(a) Calculated based on the average shares outstanding methodology.
(b) Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. The Goldman Sachs Target Date 2040 Portfolio’s predecessor was the Madison Target Retirement 2040 Fund (the “Predecessor Fund”). On August 22, 2016, the Predecessor Fund was reorganized as a new series of Goldman Sachs Trust II. Performance prior to August 22, 2016 is that of the Predecessor Fund. Total return information of the Predecessor Fund is included in the above table because the Predecessor Fund is considered the accounting survivor of the reorganization.
(c) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.
(d) Annualized.

 

56     The accompanying notes are an integral part of these financial statements.



GOLDMAN SACHS TARGET DATE 2040 PORTFOLIO

 

 

 

Net asset
value, end
of period
Total
return(b)
Net assets,
end of
period
(in 000s)
Ratio of
net expenses
to average
net assets
Ratio of
total expenses
to average
net assets
Ratio of
net investment
income
to average
net assets
Portfolio
turnover
rate(c)
 
$ 9.73   8.36 %   $ 14   0.73 %(d)   1.77 %(d)   1.29 %(d)   90 %
  9.75   8.72       11   0.33 (d)   1.38 (d)   1.71 (d)   90  
  9.73   8.31       11   0.83 (d)   1.88 (d)   1.21 (d)   90  
  9.74   8.55       11   0.47 (d)   1.53 (d)   1.57 (d)   90  
  9.72   8.26       22   0.98 (d)   1.80 (d)   1.11 (d)   90  
  9.75   8.61       49,779   0.31 (d)   1.37 (d)   1.74 (d)   90  
 
  9.58   (1.94 )     13   0.74 (d)   3.23 (d)   0.98 (d)   174  
  9.58   (1.94 )     10   0.34 (d)   2.82 (d)   1.41 (d)   174  
  9.58   (1.94 )     10   0.83 (d)   3.31 (d)   0.92 (d)   174  
  9.58   (1.94 )     10   0.48 (d)   2.96 (d)   1.27 (d)   174  
  9.57   (2.05 )     10   0.98 (d)   3.46 (d)   0.77 (d)   174  
  9.59   3.33       47,340   0.31 (d)   0.80 (d)   1.97 (d)   174  
  9.90   2.86       50,029   0.30     0.30     1.50     160  
 
  9.98   (0.20 )     58,903   0.32 (d)   0.32 (d)   1.84 (d)   46  

 

The accompanying notes are an integral part of these financial statements.    57


GOLDMAN SACHS TARGET DATE 2045 PORTFOLIO

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

            From
investment operations
       
                   
        Net asset
value,
beginning
of period
Net
investment
income(a)
Net realized
and unrealized
gain (loss)
Total from
investment
operations
Distributions
to shareholders
from net
investment
income
       
Year - Share Class    
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)
2017 - A   $ 9.80   $ 0.04   $ 0.83     $ 0.87     $ (0.07 )
2017 - Institutional     9.81     0.09     0.81       0.90       (0.09 )
2017 - Service     9.80     0.06     0.81       0.87       (0.07 )
2017 - IR     9.80     0.08     0.81       0.89       (0.08 )
2017 - R     9.79     0.06     0.80       0.86       (0.06 )
2017 - R6     9.81     0.09     0.81       0.90       (0.09 )
FOR THE PERIOD ENDED OCTOBER 31,
2016 - A (Commenced August 22,2016)     10.00     0.02     (0.22 )     (0.20 )      
2016 - Institutional (Commenced August 22, 2016)     10.00     0.03     (0.22 )     (0.19 )      
2016 - Service (Commenced August 22, 2016)     10.00     0.02     (0.22 )     (0.20 )      
2016 - IR (Commenced August 22, 2016)     10.00     0.02     (0.22 )     (0.20 )      
2016 - R (Commenced August 22, 2016)     10.00     0.01     (0.22 )     (0.21 )      
2016 - R6 (Commenced August 22, 2016)     10.00     0.03     (0.22 )     (0.19 )      
 
(a) Calculated based on the average shares outstanding methodology.
(b) Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholder relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized.
(c) Annualized.
(d) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.

 

58     The accompanying notes are an integral part of these financial statements.



GOLDMAN SACHS TARGET DATE 2045 PORTFOLIO

Net asset
value, end
of period
Total
return(b)
  Net assets,
end of
period
(in 000s)
Ratio of
net expenses
to average
net assets(c)
Ratio of
total expenses
to average
net assets(c)
Ratio of
net investment
income
to average
net assets(c)
Portfolio
turnover
rate(d)
 
 
 
 
 
$ 10.60   8.95 %   $ 36   0.72 %   3.12 %   0.84 %   92 %
  10.62   9.20       10,656   0.33     2.83     1.70     92  
  10.60   8.92       11   0.82     3.31     1.21     92  
  10.61   9.15       11   0.47     2.96     1.56     92  
  10.59   8.87       26   0.96     3.38     1.15     92  
  10.62   9.31       11   0.32     2.88     1.71     92  
 
  9.80   (2.00 )     10   0.75     4.23     1.02     29  
  9.81   (1.90 )     9,756   0.34     3.85     1.43     29  
  9.80   (2.00 )     10   0.84     4.33     0.93     29  
  9.80   (2.00 )     10   0.49     3.97     1.28     29  
  9.79   (2.10 )     10   0.99     4.48     0.78     29  
  9.81   (2.00 )     10   0.32     3.93     1.45     29  

 

The accompanying notes are an integral part of these financial statements.     59



GOLDMAN SACHS TARGET DATE 2050 PORTFOLIO

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

            From
investment operations
  Distributions
to shareholders
      Net asset
value,
beginning
of period
Net
investment
income(a)
Net realized and
unrealized
gain (loss)
  Total from
investment
operations
  From net
investment
income
  From net
realized
gains
  Total
distributions
             
Year - Share Class          
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)
2017 - A   $ 9.80   $ 0.06   $ 0.86     $ 0.92     $ (0.19 )   $ (0.40 )   $ (0.59 )
2017 - Institutional     9.80     0.08     0.86       0.94       (0.20 )     (0.40 )     (0.60 )
2017 - Service     9.79     0.06     0.85       0.91       (0.18 )     (0.40 )     (0.58 )
2017 - IR     9.80     0.08     0.86       0.94       (0.20 )     (0.40 )     (0.60 )
2017 - R     9.79     0.05     0.86       0.91       (0.18 )     (0.40 )     (0.58 )
2017 - R6     9.80     0.08     0.86       0.94       (0.20 )     (0.40 )     (0.60 )
FOR THE FISCAL YEARS ENDED OCTOBER 31,
2016 - A (Commenced August 22, 2016)     10.00     0.02     (0.22 )     (0.20 )                  
2016 - Institutional (Commenced August 22, 2016)     10.00     0.03     (0.23 )     (0.20 )                  
2016 - Service (Commenced August 22, 2016)     10.00     0.02     (0.23 )     (0.21 )                  
2016 - IR (Commenced August 22, 2016)     10.00     0.02     (0.22 )     (0.20 )                  
2016 - R (Commenced August 22, 2016)     10.00     0.02     (0.23 )     (0.21 )                  
2016 - R6     9.95     0.20     0.11       0.31       (0.16 )     (0.30 )     (0.46 )
2015 - R6     9.98     0.15     0.13       0.28       (0.10 )     (0.21 )     (0.31 )
2014 - R6 (Commenced August 29, 2014)     10.00     0.03     (0.05 )     (0.02 )                  
 
(a) Calculated based on the average shares outstanding methodology.
(b) Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. The Goldman Sachs Target Date 2050 Portfolio’s predecessor was the Madison Target Retirement 2050 Fund (the “Predecessor Fund”). On August 22, 2016, the Predecessor Fund was reorganized as a new series of Goldman Sachs Trust II. Performance prior to August 22, 2016 is that of the Predecessor Fund. Total return information of the Predecessor Fund is included in the above table because the Predecessor Fund is considered the accounting survivor of the reorganization.
(c) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.
(d) Annualized.

 

60     The accompanying notes are an integral part of these financial statements.



GOLDMAN SACHS TARGET DATE 2050 PORTFOLIO

Net asset
value, end
of period
Total
return(b)
Net assets,
end of
period
(in 000s)
Ratio of
net expenses
to average
net assets
Ratio of
total expenses
to average
net assets
Ratio of
net investment
income
to average
net assets
Portfolio
turnover
rate(c)
 
$ 10.13   9.77 %   $ 11   0.72 %(d)   2.99 %(d)   1.31 %(d)   81 %
  10.14   10.03       11   0.32 (d)   2.58 (d)   1.71 (d)   81  
  10.12   9.74       11   0.83 (d)   3.09 (d)   1.21 (d)   81  
  10.14   9.97       11   0.48 (d)   2.74 (d)   1.56 (d)   81  
  10.12   9.68       11   0.98 (d)   3.24 (d)   1.06 (d)   81  
  10.14   10.03       24,994   0.31 (d)   2.51 (d)   1.71 (d)   81  
 
  9.80   (2.00 )     10   0.74 (d)   6.30 (d)   1.04 (d)   191  
  9.80   (2.00 )     10   0.34 (d)   5.90 (d)   1.44 (d)   191  
  9.79   (2.10 )     10   0.83 (d)   6.40 (d)   0.95 (d)   191  
  9.80   (2.00 )     10   0.48 (d)   6.04 (d)   1.30 (d)   191  
  9.79   (2.10 )     10   0.98 (d)   6.54 (d)   0.80 (d)   191  
  9.80   3.37       21,657   0.31     1.45     2.07     191  
  9.95   2.87       20,482   0.30     0.30     1.51     204  
  9.98   (0.20 )     21,266   0.32 (d)   0.32 (d)   1.72 (d)   52  

 

The accompanying notes are an integral part of these financial statements.     61



GOLDMAN SACHS TARGET DATE 2055 PORTFOLIO

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

            From
investment operations
       
                   
      Net asset
value,
beginning
of period
Net
investment
income(a)
Net realized
and unrealized
gain (loss)
Total from
investment
operations
Distributions
to shareholders
from net
investment
income
     
Year - Share Class  
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)
2017 - A   $ 9.79   $ 0.02   $ 0.98     $ 1.00     $ (0.08 )
2017 - Institutional     9.80     0.09     0.93       1.02       (0.09 )
2017 - Service     9.79     0.06     0.94       1.00       (0.07 )
2017 - IR     9.79     0.08     0.95       1.03       (0.09 )
2017 - R     9.79     0.05     0.94       0.99       (0.07 )
2017 - R6     9.80     0.09     0.93       1.02       (0.09 )
FOR THE PERIOD ENDED OCTOBER 31,
2016 - A (Commenced August 22, 2016)       10.00     0.02     (0.23 )     (0.21 )      
2016 - Institutional (Commenced August 22, 2016)       10.00     0.03     (0.23 )     (0.20 )      
2016 - Service (Commenced August 22, 2016)       10.00     0.02     (0.23 )     (0.21 )      
2016 - IR (Commenced August 22, 2016)       10.00     0.02     (0.23 )     (0.21 )      
2016 - R (Commenced August 22, 2016)       10.00     0.01     (0.22 )     (0.21 )      
2016 - R6 (Commenced August 22, 2016)       10.00     0.03     (0.23 )     (0.20 )      
 
(a) Calculated based on the average shares outstanding methodology.
(b) Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholder relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized.
(c) Annualized.
(d) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.
(e) Amount is less than 0.005% per share.

 

62     The accompanying notes are an integral part of these financial statements.



GOLDMAN SACHS TARGET DATE 2055 PORTFOLIO

Net asset
value, end
of period
Total
return(b)
Net assets,
end of
period
(in 000s)
Ratio of
net expenses
to average
net assets(c)
Ratio of
total expenses
to average
net assets(c)
Ratio of
net investment
income
to average
net assets(c)
Portfolio
turnover
rate(d)
 
$ 10.71   10.26 %   $ 81   0.72 %   3.03 %   0.41 %   115 %
  10.73   10.48       10,777   0.33     2.81     1.72     115  
  10.72   10.30       11   0.82     3.30     1.22     115  
  10.73   10.43       11   0.48     2.95     1.57     115  
  10.71   10.14       11   0.98     3.46     1.07     115  
  10.73   10.48       22   0.31     2.76     1.69     115  
 
  9.79   (2.10 )     10   0.75     4.23     1.02     34  
  9.80   (2.00 )     9,748   0.34     3.85     1.43     34  
  9.79   (2.10 )     10   0.84     4.33     0.92     34  
  9.79   (2.00 )     10   0.49     3.97     1.28     34  
  9.79   (2.10 )     10   0.99     4.48     0.77     34  
  9.80   (2.00 )     10   0.32     3.92     1.45     34  

 

The accompanying notes are an integral part of these financial statements.     63


Notes to Financial Statements
April 30, 2017 (Unaudited)

1. ORGANIZATION

Goldman Sachs Trust II (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Portfolios” or individually a “Portfolio”), along with their corresponding share classes and respective diversification status under the Act:

Portfolio   Share Classes Offered   Diversified/
Non-diversified
 
All Portfolios   A, Institutional, Service, IR, R, R6   Diversified
 

    Class A Shares are sold with a front-end sales charge of up to 5.50%. Institutional, Service, Class IR, Class R and Class R6 Shares are not subject to a sales charge.
    Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (formerly Goldman, Sachs &Co. (“Goldman Sachs”), serves as investment adviser to the Portfolios pursuant to a management agreement (each, an “Agreement”) with the Trust. Madison Asset Management, LLC, (the “Sub Adviser”) serves as the subadviser to the Portfolios. GSAM compensates the Sub Adviser directly in accordance with the terms of the Sub-Advisory Agreement. The Portfolios are not charged any separate or additional investment advisory fees by the Sub Adviser.

2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.

A. Investment Valuation The Portfolios’ valuation policy is to value investments at fair value.

B. Investment Income and Investments Investment income includes interest income, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, and securities lending income. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Income distributions are recognized as capital gains or income in the financial statements in accordance with the character that is distributed.

C. Class Allocations and Expenses Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Portfolio are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Portfolio are charged to that Portfolio, while such expenses incurred by the Trust are allocated across the applicable Portfolios on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.
    Expenses included in the accompanying financial statements reflect the expenses of each Portfolio and do not include any expenses associated with the Underlying Funds (“Underlying Funds”). Because the Underlying Funds have varied expense and fee levels and the Portfolios may own different proportions of the Underlying Funds at different times, the amount of fees and expenses incurred indirectly by each Portfolio will vary.

D. Offering Costs Offering costs paid in connection with the initial offering of shares of Target Date 2025, Target Date 2035, Target Date 2045 and Target Date 2055 are being amortized on a straight-line basis over 12 months from the date of commencement of operations.

64


2. SIGNIFICANT ACCOUNTING POLICIES (continued)
E. Federal Taxes and Distributions to Shareholders — It is each Portfolio’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Portfolios are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually.
    Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
    The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Portfolio’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Portfolios’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

  Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
  Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
  Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Portfolios’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.
    The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Portfolios, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Portfolios’ portfolio investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.

A. Level 1 and Level 2 Fair Value InvestmentsThe valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:

Underlying FundsUnderlying Funds include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Portfolios invest in Underlying Funds that fluctuate in value, the Portfolios’ shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy,

65


Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)


3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.

B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Portfolios’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Portfolio’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.

C. Fair Value Hierarchy — The following is a summary of the Portfolios’ investments classified in the fair value hierarchy as of April 30, 2017:

TARGET DATE 2020 PORTFOLIO

Investment Type   Level 1   Level 2   Level 3
 
Assets                  
Exchange Traded Funds   $ 47,991,651   $   $
Investment Company     2,919,092        
 
Total   $ 50,910,743   $   $
 
                   
TARGET DATE 2025 PORTFOLIO                  
                   
Investment Type   Level 1   Level 2   Level 3
 
Assets                  
Exchange Traded Funds   $ 9,485,731   $   $
Investment Company     576,784        
 
Total   $ 10,062,515   $   $
 
                   
TARGET DATE 2030 PORTFOLIO                  
                   
Investment Type   Level 1   Level 2   Level 3
 
Assets                  
Exchange Traded Funds   $ 68,787,186   $   $
Investment Company     3,382,303        
 
Total   $ 72,169,489   $   $
 

66


3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

TARGET DATE 2035 PORTFOLIO

Investment Type   Level 1   Level 2   Level 3
 
Assets            
Exchange Traded Funds   $ 9,784,816   $   $
Investment Company     425,126        
 
Total   $ 10,209,942   $   $
 
                   
TARGET DATE 2040 PORTFOLIO                  
                   
Investment Type   Level 1   Level 2   Level 3
 
Assets                  
Exchange Traded Funds   $ 46,257,906   $   $
Investment Company     1,877,439        
 
Total   $ 48,135,345   $   $
 
                   
TARGET DATE 2045 PORTFOLIO                  
                   
Investment Type   Level 1   Level 2   Level 3
 
Assets                  
Exchange Traded Funds   $ 9,962,347   $   $
Investment Company     377,357        
 
Total   $ 10,339,704   $   $
 
                   
TARGET DATE 2050 PORTFOLIO                  
                   
Investment Type   Level 1   Level 2   Level 3
 
Assets                  
Exchange Traded Funds   $ 23,571,138   $   $
Investment Company     758,723        
 
Total   $ 24,329,861   $   $
 
                   
TARGET DATE 2055 PORTFOLIO                  
                   
Investment Type   Level 1   Level 2   Level 3
 
Assets                  
Exchange Traded Funds   $ 10,221,837   $   $
Investment Company     273,018        
 
Total   $ 10,494,855   $   $
 

For further information regarding security characteristics, see the Schedules of Investments.

67


Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)

4. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management AgreementUnder the Agreement, GSAM manages the Portfolios, subject to the general supervision of the Trustees.
    As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Portfolios’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Portfolio’s average daily net assets.
    For the six months ended April 30, 2017, contractual and effective net management fees with GSAM were at the following rates:

        Contractual Management Rate           Effective
         
  First
$2 billion
    Next
$3 billion
    Over
$5 billion
    Management Fee
Annual Rate
 
  0.25%     0.23%     0.21%     0.25%
 

B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of each applicable Portfolio, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Portfolios, as applicable.
    The Trust, on behalf of Services Shares of each applicable Portfolio, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal account maintenance to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Services Shares of the Portfolios.

      Distribution and Service Plan Rates  
       
    Class A*   Class R*   Service
 
Distribution Plan     0.25%       0.50%       —%  
 
Service Plan                 0.25  
 
* With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution and Service Plans to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority.

C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Portfolios pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge. For the six months ended April 30, 2017, Goldman Sachs did not retain any of the Class A Shares’ front end sales charges.

D. Shareholder Administration PlanThe Trust, on behalf of the Portfolios, has adopted a Shareholder Administration Plan to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing varying levels of shareholder administration services to their customers who are beneficial owners of such shares. The Shareholder Administration Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Portfolios.

E. Transfer Agency AgreementGoldman Sachs also serves as the transfer agent of the Portfolios for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.19% of the average daily net assets of Class A, Class IR and Class R Shares; 0.02% of the average daily net assets of Class R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares.

68


4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
F. Other Expense Agreements and Affiliated TransactionsGSAM has agreed to limit certain “Other Expenses” of the Portfolios (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Portfolio. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Portfolios are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for Target Date 2020, Target Date 2030, Target Date 2040, and Target Date 2050 Portfolios are each 0.024% and Target Date 2025, Target Date 2035, Target Date 2045 and Target Date 2055, are each 0.014%, respectively. These Other Expense limitations will remain in place through at least February 28, 2018, and prior to such date, GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Portfolios have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Portfolios’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the six months ended April 30, 2017, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

Portfolio   Other
Expense
Reimbursements
 
Target Date 2020   $ 260,727  
 
Target Date 2025     169,943  
 
Target Date 2030     256,277  
 
Target Date 2035     169,692  
 
Target Date 2040     260,620  
 
Target Date 2045     169,572  
 
Target Date 2050     259,782  
 
Target Date 2055     169,630  
 

As of April 30, 2017, The Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of total outstanding shares of the following Portfolios:

    Class A   Institutional   Service   Class IR   Class R   Class R6
 
Target Date 2020     65 %     100 %     100 %     100 %     100 %     %
 
Target Date 2025     19       100       100       100       100       100  
 
Target Date 2030     5       100       100       100       51        
 
Target Date 2035     38       100       100       100       99       44  
 
Target Date 2040     74       100       100       100       49        
 
Target Date 2045     29       100       100       100       41       100  
 
Target Date 2050     100       100       100       100       100        
 
Target Date 2055     13       100       100       100       100       50  
 

69


Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)

5. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2017, were:

       Fund     Purchases   Sales and Maturities
 
Target Date 2020     $ 61,985,239     $ 64,227,590  
 
Target Date 2025       10,874,034       10,689,264  
 
Target Date 2030       67,509,746       71,359,434  
 
Target Date 2035       8,889,961       8,721,242  
 
Target Date 2040       43,189,425       44,207,398  
 
Target Date 2045       9,277,008       9,100,727  
 
Target Date 2050       20,025,067       18,570,080  
 
Target Date 2055       11,628,309       11,418,362  
 

6 . TAX INFORMATION

As of the Portfolios’ most recent fiscal year end, October 31, 2016, the Portfolios’ capital loss carryforwards and certain timing differences on a tax basis were as follows:

    Target Date
2020
  Target Date
2025
  Target Date
2030
  Target Date
2035
  Target Date
2040
  Target Date
2045
  Target Date
2050
  Target Date
2055
 
Capital loss carryforwards:
  Perpetual Short-Term
  $     $ (42,018 )   $     $ (43,545 )   $     $ (42,812 )   $     $ (42,112 )
 
Total capital loss carryforwards   $     $ (42,018 )   $     $ (43,545 )   $     $ (42,812 )   $     $ (42,112 )
 

    As of April 30, 2017, the Portfolios’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

    Target Date
2020
  Target Date
2025
    Target Date
2030
      Target Date
2035
    Target Date
2040
  Target Date
2045
  Target Date
2050
  Target Date
2055
 
Tax Cost   $ 48,985,297     $ 9,664,067     $ 67,317,668     $ 9,688,891     $ 44,305,052     $ 9,722,087     $ 22,027,045     $ 9,758,762  
 
Gross unrealized gain
Gross unrealized loss
    2,450,947 (525,501 )     434,363 (35,915 )     6,139,615 (1,287,794 )     558,674 (37,623 )     4,849,432 (1,019,139 )     649,454 (31,837 )     2,821,809 (518,993 )     758,496 (22,403 )
 
Net unrealized gains (losses)   $ 1,925,446     $ 398,448     $ 4,851,821     $ 521,051     $ 3,830,293     $ 617,617     $ 2,302,816     $ 736,093  
 

    The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales. GSAM has reviewed the Portfolios’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Portfolios’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.

70


7. OTHER RISKS
The Portfolios’ risks include, but are not limited to, the following:

Investments in Other Investment CompaniesAs a shareholder of another investment company, including an exchangetraded fund (“ETF”), a Portfolio will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Portfolio. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
    The Portfolios may be indirectly exposed to the following risks through their investments in the Underlying Funds. For more information regarding the risks of an Underlying Fund, please see the Underlying Fund’s shareholder report.

Liquidity RiskA Portfolio may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Portfolio will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Portfolio may be forced to sell investments at an unfavorable time and/or under unfavorable conditions.

Market and Credit RisksIn the normal course of business, the Portfolios trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Portfolios may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolios have unsettled or open transactions defaults.

8. INDEMNIFICATIONS
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Portfolios. Additionally, in the course of business, the Portfolios enter into contracts that contain a variety of indemnification clauses. The Portfolios’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.

9. OTHER MATTERS
Change in Fiscal Year EndOn May 9, 2017, the Trustees approved a change of the Portfolios’ fiscal year end from October 31 to August 31, effective August 1, 2017.

10. SUBSEQUENT EVENTS
Subsequent events after the Statements of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.

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tdf2017saedgarize.htm - Generated by SEC Publisher for SEC Filing
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)

11. SUMMARY OF SHARE TRANSACTIONS                        
    Target Date 2020 Portfolio
    For the Six Months Ended                
    April 30, 2017     For the Fiscal Year Ended  
    (Unaudited)     October 31, 2016  
    Shares     Dollars     Shares     Dollars
Class A Shares(a)                            
Shares sold   571     $ 5,507     996     $ 10,010  
Reinvestment of distributions   57       541            
Shares redeemed             (1 )     (11 )
    628       6,048     995       9,999  
Institutional Shares(a)                            
Shares sold   1       5     996       10,010  
Reinvestment of distributions   59       555            
Shares redeemed   (1 )     (5 )   (1 )     (10 )
    59       555     995       10,000  
Service Shares(a)                            
Shares sold             996       10,010  
Reinvestment of distributions   57       538            
Shares redeemed             (1 )     (11 )
    57       538     995       9,999  
Class IR Shares(a)                            
Shares sold             996       10,010  
Reinvestment of distributions   58       550            
Shares redeemed             (1 )     (11 )
    58       550     995       9,999  
Class R Shares(a)                            
Shares sold             996       10,010  
Reinvestment of distributions   56       532            
Shares redeemed             (1 )     (11 )
    56       532     995       9,999  
Class R6 Shares                            
Shares sold   145,799       1,396,891     556,157       5,395,539  
Reinvestment of distributions   319,101       3,028,159     282,195       2,663,920  
Shares redeemed   (456,088 )     (4,375,728 )   (745,292 )     (7,300,289 )
    8,812       49,322     93,060       759,170  
NET INCREASE   9,670     $ 57,545     98,035     $ 809,166  
 
(a) Commenced operations on August 22, 2016.                          

 

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Target Date 2025 Portfolio       Target Date 2030 Portfolio  
For the Six Months Ended                     For the Six Months Ended                  
April 30, 2017     For the Fiscal Year Ended       April 30, 2017       For the Fiscal Year Ended  
(Unaudited)       October 31, 2016(a)       (Unaudited)       October 31, 2016  
Shares       Dollars       Shares       Dollars       Shares       Dollars       Shares       Dollars  
 
4,216     $ 42,205       1,001     $ 10,011       19,448     $ 184,655       1,008     $ 10,010  
38       375                   66       623              
            (1 )     (11 )                 (1 )     (11 )
4,254       42,580       1,000       10,000       19,514       185,278       1,007       9,999  
 
1       5       995,001       9,950,011       1       5       1,008       10,010  
8,051       79,700                   54       515              
(1 )     (5 )     (1 )     (10 )     (1 )     (5 )     (1 )     (10 )
8,051       79,700       995,000       9,950,001       54       515       1,007       10,000  
 
            1,001       10,011                   1,008       10,010  
6       62                   52       498              
            (1 )     (11 )                 (1 )     (11 )
6       62       1,000       10,000       52       498       1,007       9,999  
 
            1,001       10,011                   1,008       10,010  
8       75                   54       510              
            (1 )     (11 )                 (1 )     (11 )
8       75       1,000       10,000       54       510       1,007       9,999  
 
3       36       1,001       10,011       1,021       10,020       1,008       10,010  
6       57                   52       492              
(3 )     (36 )     (1 )     (11 )                 (1 )     (11 )
6       57       1,000       10,000       1,073       10,512       1,007       9,999  
 
            1,001       10,011       209,429       2,029,991       284,587       2,711,235  
8       80                   412,273       3,936,893       422,202       3,930,703  
            (1 )     (11 )     (713,129 )     (6,970,949 )     (1,015,250 )     (9,983,514 )
8       80       1,000       10,000       (91,427 )     (1,004,065 )     (308,461 )     (3,341,576 )
12,333     $ 122,554       1,000,000     $ 10,000,001       (70,680 )   $ (806,752 )     (303,426 )   $ (3,291,580 )

 

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tdf2017saedgarize.htm - Generated by SEC Publisher for SEC Filing
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)

11. SUMMARY OF SHARE TRANSACTIONS (continued)                            
    Target Date 2035 Portfolio
    For the Six Months Ended                  
    April 30, 2017       For the Fiscal Year Ended  
    (Unaudited)       October 31, 2016(a)  
    Shares       Dollars       Shares       Dollars  
Class A Shares(a)                              
Shares sold   1,645     $ 16,616       1,001     $ 10,011  
Reinvestment of distributions   7       71              
Shares redeemed               (1 )     (11 )
    1,652       16,687       1,000       10,000  
Institutional Shares(a)                              
Shares sold   1       5       995,001       9,950,011  
Reinvestment of distributions   8,493       84,675              
Shares redeemed   (1 )     (5 )     (1 )     (10 )
    8,493       84,675       995,000       9,950,001  
Service Shares(a)                              
Shares sold               1,001       10,011  
Reinvestment of distributions   7       67              
Shares redeemed               (1 )     (11 )
    7       67       1,000       10,000  
Class IR Shares(a)                              
Shares sold               1,001       10,011  
Reinvestment of distributions   8       80              
Shares redeemed               (1 )     (11 )
    8       80       1,000       10,000  
Class R Shares(a)                              
Shares sold   7       67       1,001       10,011  
Reinvestment of distributions   6       62              
Shares redeemed               (1 )     (11 )
    13       129       1,000       10,000  
Class R6 Shares                              
Shares sold   1,275       13,203       1,001       10,011  
Reinvestment of distributions   9       85              
Shares redeemed               (1 )     (11 )
    1,284       13,288       1,000       10,000  
NET INCREASE   11,457     $ 114,926       1,000,000     $ 10,000,001  
 
(a) Commenced operations on August 22, 2016.                              

 

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Target Date 2040 Portfolio       Target Date 2045 Portfolio  
For the Six Months Ended                       For the Six Months Ended                  
April 30, 2017       For the Fiscal Year Ended       April 30, 2017       For the Fiscal Year Ended  
(Unaudited)       October 31, 2016       (Unaudited)       October 31, 2016(a)  
Shares       Dollars       Shares       Dollars       Shares       Dollars       Shares       Dollars  
 
68     $ 653       1,323     $ 12,879       2,424     $ 25,418       1,001     $ 10,011  
89       827                   7       73              
(1 )     (10 )     (1 )     (11 )                 (1 )     (11 )
156       1,470       1,322       12,868       2,431       25,491       1,000       10,000  
1       5       1,025       10,010       1       5       995,001       9,950,011  
70       653                   8,690       87,162              
(1 )     (5 )     (1 )     (10 )     (1 )     (5 )     (1 )     (10 )
70       653       1,024       10,000       8,690       87,162       995,000       9,950,001  
 
            1,025       10,010                   1,001       10,011  
68       635                   7       70              
            (1 )     (11 )                 (1 )     (11 )
68       635       1,024       9,999       7       70       1,000       10,000  
 
            1,025       10,010                   1,001       10,011  
69       648                   8       82              
            (1 )     (11 )                 (1 )     (11 )
69       648       1,024       9,999       8       82       1,000       10,000  
 
1,128       10,867       1,025       10,010       1,422       14,926       1,001       10,011  
67       630                   6       65              
            (1 )     (11 )                 (1 )     (11 )
1,195       11,497       1,024       9,999       1,428       14,991       1,000       10,000  
 
180,182       1,707,527       121,810       1,134,819                   1,001       10,011  
337,128       3,156,958       333,125       3,048,096       9       88              
(348,502 )     (3,349,226 )     (572,414 )     (5,513,965 )                 (1 )     (11 )
168,808       1,515,259       (117,479 )     (1,331,050 )     9       88       1,000       10,000  
170,366     $ 1,530,162       (112,061 )   $ (1,278,185 )     12,573     $ 127,884       1,000,000     $ 10,000,001  

 

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tdf2017saedgarize.htm - Generated by SEC Publisher for SEC Filing
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)

11. SUMMARY OF SHARE TRANSACTIONS (continued)                            
    Target Date 2050 Portfolio
    For the Six Months Ended                  
    April 30, 2017       For the Fiscal Year Ended  
    (Unaudited)       October 31, 2016  
    Shares       Dollars       Shares       Dollars  
Class A Shares(a)                              
Shares sold       $       1,001     $ 10,010  
Reinvestment of distributions   62       600              
Shares redeemed               (1 )     (11 )
    62       600       1,000       9,999  
Institutional Shares(a)                              
Shares sold   1       5       1,001       10,010  
Reinvestment of distributions   63       614              
Shares redeemed   (1 )     (5 )     (1 )     (10 )
    63       614       1,000       10,000  
Service Shares(a)                              
Shares sold               1,001       10,010  
Reinvestment of distributions   62       596              
Shares redeemed               (1 )     (11 )
    62       596       1,000       9,999  
Class IR Shares(a)                              
Shares sold               1,001       10,010  
Reinvestment of distributions   63       609              
Shares redeemed               (1 )     (11 )
    63       609       1,000       9,999  
Class R Shares(a)                              
Shares sold   3       25       1,001       10,010  
Reinvestment of distributions   61       591              
Shares redeemed               (1 )     (11 )
    64       616       1,000       9,999  
Class R6 Shares                              
Shares sold   237,197       2,330,558       175,129       1,678,882  
Reinvestment of distributions   140,583       1,362,253       104,550       977,547  
Shares redeemed   (122,264 )     (1,223,376 )     (128,796 )     (1,267,261 )
    255,516       2,469,435       150,883       1,389,168  
NET INCREASE   255,830     $ 2,472,470       155,883     $ 1,439,164  
(a) Commenced operations on August 22, 2016.                              

 

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tdf2017saedgarize.htm - Generated by SEC Publisher for SEC Filing
                         
Target Date 2055 Portfolio  
For the Six Months Ended
April 30, 2017
(Unaudited)
    For the Fiscal Year Ended
October 31, 2016(a)
 
     
     
Shares     Dollars     Shares     Dollars  
 
6,572     $ 69,476     1,001     $ 10,011  
10       98            
(1 )     (10 )   (1 )     (11 )
6,581       69,564     1,000       10,000  
 
      5     995,001       9,950,011  
9,014       91,043            
      (5 )   (1 )     (10 )
9,014       91,043     995,000       9,950,001  
 
          1,001       10,011  
7       74            
          (1 )     (11 )
7       74     1,000       10,000  
 
          1,001       10,011  
9       86            
          (1 )     (11 )
9       86     1,000       10,000  
 
          1,001       10,011  
7       69            
          (1 )     (11 )
7       69     1,000       10,000  
 
996       10,460     1,001       10,011  
9       92            
      (3 )   (1 )     (11 )
1,005       10,549     1,000       10,000  
16,623     $ 171,385     1,000,000     $ 10,000,001  

 

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tdf2017saedgarize.htm - Generated by SEC Publisher for SEC Filing

Fund Expenses Period Ended April 30, 2017 (Unaudited)

     As a shareholder of Class A, Institutional, Service, Class IR, Class R, and Class R6 Shares of the Portfolios, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares), and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A, Service and Class R Shares); and other Portfolio expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Institutional, Service, Class IR, Class R or Class R6 Shares of the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds.

     The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from November 1, 2016 through April 30, 2017, which represents a period of 181 days of a 365 day year.

     Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.

     Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolios’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Portfolios’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolios and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

     Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

      Target Date 2020 Portfolio       Target Date 2025 Portfolio       Target Date 2030 Portfolio  
      Beginning     Ending       Expenses       Beginning     Ending       Expenses       Beginning     Ending       Expenses  
      Account     Account       Paid for the       Account     Account       Paid for the       Account     Account       Paid for the  
      Value     Value       6 months ended       Value     Value       6 months ended       Value     Value       6 months ended  
Share Class     11/1/16     4/30/17       4/30/17*       11/1/16     4/30/17       4/30/17*       11/1/16     4/30/17       4/30/17*  
Class A                                                                  
Actual   $ 1,000.00   $ 1,036.00     $ 3.69     $ 1,000.00   $ 1,056.90     $ 3.72     $ 1,000.00   $ 1,070.10     $ 3.80  
Hypothetical 5% return     1,000.00     1,021.17 +     3.66       1,000.00     1,021.17 +     3.66       1,000.00     1,021.12 +     3.71  
Institutional                                                                  
Actual     1,000.00     1,037.50       1.67       1,000.00     1,059.40       1.69       1,000.00     1,072.00       1.70  
Hypothetical 5% return     1,000.00     1,023.16 +     1.66       1,000.00     1,023.16 +     1.66       1,000.00     1,023.16 +     1.66  
Service                                                                  
Actual     1,000.00     1,034.60       4.19       1,000.00     1,057.50       4.23       1,000.00     1,070.10       4.26  
Hypothetical 5% return     1,000.00     1,020.68 +     4.16       1,000.00     1,020.68 +     4.16       1,000.00     1,020.68 +     4.16  
Class IR                                                                  
Actual     1,000.00     1,036.90       2.42       1,000.00     1,058.80       2.40       1,000.00     1,071.40       2.41  
Hypothetical 5% return     1,000.00     1,022.41 +     2.41       1,000.00     1,022.46 +     2.36       1,000.00     1,022.46 +     2.36  
Class R                                                                  
Actual     1,000.00     1,034.10       4.94       1,000.00     1,056.00       4.94       1,000.00     1,068.50       4.97  
Hypothetical 5% return     1,000.00     1,019.94 +     4.91       1,000.00     1,019.98 +     4.86       1,000.00     1,019.98 +     4.86  
Class R6                                                                  
Actual     1,000.00     1,037.50       1.57       1,000.00     1,060.40       1.63       1,000.00     1,072.10       1.59  
Hypothetical 5% return     1,000.00     1,023.26 +     1.56       1,000.00     1,023.21 +     1.61       1,000.00     1,023.26 +     1.56  

 

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Fund Expenses — Period Ended April 30, 2017 (Unaudited) (continued)

      Target Date 2035 Portfolio       Target Date 2040 Portfolio       Target Date 2045 Portfolio  
      Beginning   Ending     Expenses     Beginning   Ending     Expenses     Beginning   Ending     Expenses  
      Account   Account     Paid for the     Account   Account     Paid for the     Account   Account     Paid for the  
      Value   Value     6 months ended     Value   Value     6 months ended     Value   Value     6 months ended  
Share Class     11/1/16     4/30/17       4/30/17*       11/1/16     4/30/17       4/30/17*       11/1/16     4/30/17       4/30/17*  
Class A                                                                  
Actual   $ 1,000.00   $ 1,075.90     $ 3.76     $ 1,000.00   $ 1,083.60     $ 3.77     $ 1,000.00   $ 1,089.50     $ 3.73  
Hypothetical 5% return     1,000.00     1,021.17 +     3.66       1,000.00     1,021.17 +     3.66       1,000.00     1,021.22 +     3.61  
Institutional                                                                  
Actual     1,000.00     1,079.50       1.70       1,000.00     1,087.20       1.71       1,000.00     1,092.00       1.71  
Hypothetical 5% return     1,000.00     1,023.16 +     1.66       1,000.00     1,023.16 +     1.66       1,000.00     1,023.16 +     1.66  
Service                                                                  
Actual     1,000.00     1,076.60       4.22       1,000.00     1,083.10       4.29       1,000.00     1,089.20       4.25  
Hypothetical 5% return     1,000.00     1,020.73 +     4.11       1,000.00     1,020.68 +     4.16       1,000.00     1,020.73 +     4.11  
Class IR                                                                  
Actual     1,000.00     1,077.90       2.42       1,000.00     1,085.50       2.43       1,000.00     1,091.50       2.44  
Hypothetical 5% return     1,000.00     1,022.46 +     2.36       1,000.00     1,022.46 +     2.36       1,000.00     1,022.46 +     2.36  
Class R                                                                  
Actual     1,000.00     1,075.00       4.99       1,000.00     1,082.60       5.06       1,000.00     1,088.70       4.97  
Hypothetical 5% return     1,000.00     1,019.98 +     4.86       1,000.00     1,019.94 +     4.91       1,000.00     1,020.03 +     4.81  
Class R6                                                                  
Actual     1,000.00     1,079.50       1.50       1,000.00     1,086.10       1.60       1,000.00     1,093.10       1.66  
Hypothetical 5% return     1,000.00     1,023.36 +     1.45       1,000.00     1,023.26 +     1.56       1,000.00     1,023.21 +     1.61  

 

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Fund Expenses — Period Ended April 30, 2017 (Unaudited) (continued)

      Target Date 2050 Portfolio     Target Date 2055 Portfolio  
      Beginning   Ending     Expenses     Beginning   Ending     Expenses  
      Account   Account     Paid for the     Account   Account     Paid for the  
      Value   Value     6 months ended     Value   Value     6 months ended  
Share Class     11/1/16     4/30/17       4/30/17*       11/1/16     4/30/17       4/30/17*  
Class A                                            
Actual   $ 1,000.00   $ 1,097.70     $ 3.74     $ 1,000.00   $ 1,102.60     $ 3.75  
Hypothetical 5% return     1,000.00     1,021.22 +     3.61       1,000.00     1,021.22 +     3.61  
Institutional                                            
Actual     1,000.00     1,100.30       1.67       1,000.00     1,104.80       1.72  
Hypothetical 5% return     1,000.00     1,023.21 +     1.61       1,000.00     1,023.16 +     1.66  
Service                                            
Actual     1,000.00     1,097.40       4.32       1,000.00     1,103.00       4.28  
Hypothetical 5% return     1,000.00     1,020.68 +     4.16       1,000.00     1,020.73 +     4.11  
Class IR                                            
Actual     1,000.00     1,099.70       2.50       1,000.00     1,104.30       2.50  
Hypothetical 5% return     1,000.00     1,022.41 +     2.41       1,000.00     1,022.41 +     2.41  
Class R                                            
Actual     1,000.00     1,096.80       5.09       1,000.00     1,101.40       5.11  
Hypothetical 5% return     1,000.00     1,019.94 +     4.91       1,000.00     1,019.94 +     4.91  
Class R6                                            
Actual     1,000.00     1,100.30       1.61       1,000.00     1,104.80       1.62  
Hypothetical 5% return     1,000.00     1,023.26 +     1.56       1,000.00     1,023.26 +     1.56  
                                             
* Expenses for each share class are calculated using each Portfolio’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended April 30, 2017. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:  

 

      
   Portfolio Class A     Institutional   Service     Class IR     Class R     Class R6  
Target Date 2020 0.73 %   0.33 %   0.83 %   0.48 %   0.98 %   0.31 %
Target Date 2025 0.73     0.33     0.83     0.47     0.97     0.32  
Target Date 2030 0.74     0.33     0.83     0.47     0.97     0.31  
Target Date 2035 0.73     0.33     0.82     0.47     0.97     0.29  
Target Date 2040 0.73     0.33     0.83     0.47     0.98     0.31  
Target Date 2045 0.72     0.33     0.82     0.47     0.96     0.32  
Target Date 2050 0.72     0.32     0.83     0.48     0.98     0.31  
Target Date 2055 0.72     0.33     0.82     0.48     0.98     0.31  
+ Hypothetical expenses are based on each Portfolio’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses.  

 

80

 


tdf2017saedgarize.htm - Generated by SEC Publisher for SEC Filing
FUNDS PROFILE

 

Goldman Sachs Funds

 

Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.

Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.17 trillion in assets under supervision as of March 31, 2017, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.

Money Market   Single Sector   International Equity Dividend and   Total Portfolio Solutions
Financial Square FundsSM   Investment Grade Credit Fund     Premium Fund   Global Managed Beta Fund
Financial Square Treasury Solutions Fund1   U.S. Mortgages Fund       Multi-Manager Non-Core Fixed Income
Financial Square Government Fund1   High Yield Fund   Equity Insights     Fund
Financial Square Money Market Fund2   High Yield Floating Rate Fund   Small Cap Equity Insights Fund   Multi-Manager U.S. Dynamic Equity
Financial Square Prime Obligations Fund2   Emerging Markets Debt Fund   U.S. Equity Insights Fund     Fund
Financial Square Treasury Instruments   Local Emerging Markets Debt Fund   Small Cap Growth Insights Fund   Multi-Manager Global Equity Fund
  Fund1   Dynamic Emerging Markets Debt Fund   Large Cap Growth Insights Fund   Multi-Manager International Equity Fund
Financial Square Treasury Obligations   Fixed Income Alternatives   Large Cap Value Insights Fund   Tactical Tilt Overlay Fund
  Fund1   Long Short Credit Strategies Fund   Small Cap Value Insights Fund   Balanced Strategy Portfolio
Financial Square Federal Instruments Fund1   Strategic Macro Fund5   International Small Cap Insights Fund   Multi-Manager U.S. Small Cap Equity
Financial Square Tax-Exempt Money       International Equity Insights Fund     Fund
  Market Fund2   Fundamental Equity   Multi-Manager U.S. Small Cap Equity   Multi-Manager Real Assets Strategy
Investor FundsSM   Equity Income Fund6   Emerging Markets Equity Insights Fund     Fund
Investor Money Market Fund3   Small Cap Value Fund       Growth and Income Strategy Portfolio
Investor Tax-Exempt Money Market   Small/Mid Cap Value Fund   Fundamental Equity International   Growth Strategy Portfolio
  Fund3   Mid Cap Value Fund   Strategic International Equity Fund   Equity Growth Strategy Portfolio
    Large Cap Value Fund   Focused International Equity Fund   Satellite Strategies Portfolio
Fixed Income   Focused Value Fund   Asia Equity Fund   Enhanced Dividend Global Equity
Short Duration and Government   Capital Growth Fund   Emerging Markets Equity Fund     Portfolio
Enhanced Income Fund   Strategic Growth Fund   N-11 Equity Fund   Tax-Advantaged Global Equity Portfolio
High Quality Floating Rate Fund   Focused Growth Fund       Strategic Factor Allocation Fund
Short-Term Conservative Income Fund4   Small/Mid Cap Growth Fund   Select Satellite   Target Date 2020 Portfolio
Short Duration Government Fund   Flexible Cap Growth Fund   Real Estate Securities Fund   Target Date 2025 Portfolio
Short Duration Income Fund   Concentrated Growth Fund   International Real Estate Securities Fund   Target Date 2030 Portfolio
Government Income Fund   Technology Opportunities Fund   Commodity Strategy Fund   Target Date 2035 Portfolio
Inflation Protected Securities Fund   Growth Opportunities Fund   Global Real Estate Securities Fund   Target Date 2040 Portfolio
Multi-Sector   Rising Dividend Growth Fund   Dynamic Allocation Fund   Target Date 2045 Portfolio
Bond Fund   Dynamic U.S. Equity Fund   Absolute Return Tracker Fund   Target Date 2050 Portfolio
Core Fixed Income Fund_   Income Builder Fund   Long Short Fund   Target Date 2055 Portfolio
Global Income Fund       Managed Futures Strategy Fund   GQG Partners International
Strategic Income Fund   Tax-Advantaged Equity   MLP Energy Infrastructure Fund     Opportunities Fund
Municipal and Tax-Free   U.S. Tax-Managed Equity Fund   Multi-Manager Alternatives Fund    
High Yield Municipal Fund   International Tax-Managed Equity Fund   Absolute Return Multi-Asset Fund    
Dynamic Municipal Income Fund   U.S. Equity Dividend and Premium Fund   Global Infrastructure Fund    
Short Duration Tax-Free Fund            

 

1 You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
2 You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
3 You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
4 Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund.
5 Effective on June 20, 2017, the Goldman Sachs Fixed Income Macro Strategies Fund was renamed the Goldman Sachs Strategic Macro Fund.
6 Effective on June 20, 2017, the Goldman Sachs Growth and Income Fund was renamed the Goldman Sachs Equity Income Fund.
  Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC.
  *This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.

 


tdf2017saedgarize.htm - Generated by SEC Publisher for SEC Filing

TRUSTEES OFFICERS
Cheryl K. Beebe, Chair James A. McNamara, President
Lawrence Hughes Scott M. McHugh, Treasurer, Senior Vice President and
John F. Killian Principal Financial Officer
James A. McNamara Joseph F. DiMaria, Assistant Treasurer and Principal
Westley V. Thompson Accounting Officer
  Caroline L. Kraus, Secretary
 
GOLDMAN SACHS & CO. LLC GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Distributor and Transfer Agent Investment Adviser
 
 
 
 
Visit our Web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

 

Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282

 

The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
   
The reports concerning the Portfolios included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Portfolios in the future. These statements are based on Portfolio management’s predictions and expectations concerning certain future events and their expected impact on the Portfolios, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Portfolios. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
   
Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change, they should not be construed as investment advice.
   
A description of the policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities and information regarding how a Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission
(“SEC”) web site at http://www.sec.gov.
   
References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark.
   
The Portfolios file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Qs. The Portfolios’ Form N-Qs are available on the SEC’s website at http://www.sec.gov within 60 days after the Portfolios’ first and third fiscal quarters. The Portfolios’ Form N-Qs may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Form N-Qs may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
   
Economic and market forecasts presented herein reflect a series of assumptions and judgments as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, land are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.
   
Portfolio holdings and allocations shown are as of April 30, 2017 and may not be representative of future investments. Portfolio holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
   
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary
prospectus, if applicable. Investors should consider a Portfolio’s objective, risks, and charges and expenses, and read the summary
prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the
Prospectus contain this and other information about a Portfolio and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
   
© 2017 Goldman Sachs. All rights reserved. 94974-TMPL-06/2017-553952 TARGDATESAR-17/186

 



Item 2.   Code of Ethics.

Not applicable in semi-annual report.

Item 3.   Audit Committee Financial Expert.

Not applicable in semi-annual report.

Item 4.   Principal Accountant Fees and Services.

Not applicable in semi-annual report.

Item 5.   Audit Committee of Listed Registrants.

Not applicable.

Item 6.   Schedule of Investments

Included in report to shareholders (Item 1) above.

Item 7.   Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8.   Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9.   Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10.  Submission of Matters to a Vote of Security Holders.

Included in report to shareholders (Item 1) above. Otherwise, no changes. The Trust does not normally hold shareholder meetings.

Item 11.  Controls and Procedures.

(a) The Trust’s principal executive officer and principal financial officers determined that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) are effective, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 within 90 days of the date of this report. There were no significant changes in the Trust’s internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation. The officers identified no significant deficiencies or material weaknesses.

(b) There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.


Item 12. Exhibits.

(a)(1) Not applicable in semi-annual report.

(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Act.

(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Act.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.

Ultra Series Fund

/s/ Kevin S. Thompson
Kevin S. Thompson, Chief Legal Officer
Date: September 1, 2017

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.

/s/ Katherine L. Frank
Katherine L. Frank, Principal Executive Officer
Date: September 1, 2017

/s/ Greg Hoppe
Greg Hoppe, Principal Financial Officer
Date: September 1, 2017

EX-99.CERT 2 e133130_ex99.htm

Financial Statement Certifications

I, Greg Hoppe, certify that:

1. I have reviewed this report on Form N-CSRS 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 schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer(s) 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 registrant’s most recent fiscal quarter 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(s) 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: September 1, 2017

/s/ Greg Hoppe
Greg Hoppe
Principal Financial Officer


I, Katherine L. Frank, certify that:

1. I have reviewed this report on Form N-CSRS 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 schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer(s) 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 registrant’s most recent fiscal quarter 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(s) 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: September 1, 2017

/s/ Katherine L. Frank
Katherine L. Frank
Principal Executive Officer

EX-99.906 CERT 3 e133130_ex906.htm
Certification under Section 906 of Sarbanes Oxley (18 USC 1350)
     
Ultra Series Fund
Semi-Annual Report dated June 30, 2017
     
The undersigned certify that this periodic report containing the financial statements fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C 78m or 78o(d)) and the information contained in this periodic report fairly presents, in all material respects, the financial condition and results of operations of the issuer.
     
/s/ Katherine L. Frank        /s/ Greg Hoppe
Katherine L. Frank   Greg Hoppe
Principal Executive Officer   Principal Accounting Officer
     
Dated this 1st day of September, 2017
     
     
A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to Ultra Series Fund and will be retained by Ultra Series Fund and furnished to the SEC or its staff upon request.
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