-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Q0u/sdjujjiWk759Ljo5NB8Pjs38mbUlHcFDO2XSpZ6tMFc5rzJi54BtDXE4WfeW SzDM1Lp23CBLPYGczkGZ0Q== 0000770906-07-000021.txt : 20070907 0000770906-07-000021.hdr.sgml : 20070907 20070907135605 ACCESSION NUMBER: 0000770906-07-000021 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20070630 FILED AS OF DATE: 20070907 DATE AS OF CHANGE: 20070907 EFFECTIVENESS DATE: 20070907 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIRST INVESTORS LIFE SERIES FUNDS CENTRAL INDEX KEY: 0000770906 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-04325 FILM NUMBER: 071105432 BUSINESS ADDRESS: STREET 1: 110 WALL ST CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 1-212-858-8000 MAIL ADDRESS: STREET 1: RARITAN PLAZA 1 STREET 2: 9TH FLOOR CITY: EDISON STATE: NJ ZIP: 08837-3620 FORMER COMPANY: FORMER CONFORMED NAME: FIRST INVESTORS LIFE SERIES FUND DATE OF NAME CHANGE: 19920703 0000770906 S000010189 FIRST INVESTORS LIFE SERIES BLUE CHIP FUND C000028229 FIRST INVESTORS LIFE SERIES BLUE CHIP FUND 0000770906 S000010190 FIRST INVESTORS LIFE SERIES DISCOVERY FUND C000028230 FIRST INVESTORS LIFE SERIES DISCOVERY FUND 0000770906 S000010191 FIRST INVESTORS LIFE SERIES GOVERNMENT FUND C000028231 FIRST INVESTORS LIFE SERIES GOVERNMENT FUND 0000770906 S000010192 FIRST INVESTORS LIFE SERIES INVESTMENT GRADE FUND C000028232 FIRST INVESTORS LIFE SERIES INVESTMENT GRADE FUND 0000770906 S000010193 FIRST INVESTORS LIFE SERIES VALUE FUND C000028233 FIRST INVESTORS LIFE SERIES VALUE FUND 0000770906 S000010194 FIRST INVESTORS LIFE SERIES TARGET MATURITY 2007 FUND C000028234 FIRST INVESTORS LIFE SERIES TARGET MATURITY 2007 FUND 0000770906 S000010195 FIRST INVESTORS LIFE SERIES TARGET MATURITY 2010 FUND C000028235 FIRST INVESTORS LIFE SERIES TARGET MATURITY 2010 FUND 0000770906 S000010196 FIRST INVESTORS LIFE SERIES TARGET MATURITY 2015 FUND C000028236 FIRST INVESTORS LIFE SERIES TARGET MATURITY 2015 FUND 0000770906 S000010197 FIRST INVESTORS LIFE SERIES SELECT GROWTH FUND C000028237 FIRST INVESTORS LIFE SERIES SELECT GROWTH FUND 0000770906 S000010198 FIRST INVESTORS LIFE SERIES HIGH YIELD FUND C000028238 FIRST INVESTORS LIFE SERIES HIGH YIELD FUND 0000770906 S000010199 FIRST INVESTORS LIFE SERIES CASH MANAGEMENT FUND C000028239 FIRST INVESTORS LIFE SERIES CASH MANAGEMENT FUND 0000770906 S000010200 FIRST INVESTORS LIFE SERIES INTERNATIONAL FUND C000028240 FIRST INVESTORS LIFE SERIES INTERNATIONAL FUND 0000770906 S000010201 FIRST INVESTORS LIFE SERIES GROWTH & INCOME FUND C000028241 FIRST INVESTORS LIFE SERIES GROWTH & INCOME FUND 0000770906 S000011413 First Investors Special Bond Fund C000031586 First Investors Special Bond Fund N-CSRS 1 life063007ncsr.txt FIRST INVESTORS LIFE SERIES FUNDS UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 -------- FORM N-CSR -------- CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES INVESTMENT COMPANY ACT FILE NUMBER 811-4325 FIRST INVESTORS LIFE SERIES FUNDS (Exact name of registrant as specified in charter) 110 Wall Street New York, NY 10005 (Address of principal executive offices) (Zip code) Joseph I. Benedek First Investors Management Company, Inc. Raritan Plaza I Edison, NJ 08837-3620 1-732-855-2712 (Name and address of agent for service) REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-212-858-8000 DATE OF FISCAL YEAR END: DECEMBER 31, 2007 DATE OF REPORTING PERIOD: JUNE 30, 2007 Item 1. Reports to Stockholders The Semi-Annual Report to Stockholders follows [Logo: "FIRST INVESTORS"] The words "LIFE SERIES FUND" in a rectangular blue box across the top of the page. BLUE CHIP CASH MANAGEMENT DISCOVERY GOVERNMENT GROWTH & INCOME HIGH YIELD INTERNATIONAL INVESTMENT GRADE SELECT GROWTH TARGET MATURITY 2007 TARGET MATURITY 2010 TARGET MATURITY 2015 VALUE SPECIAL BOND SEMI-ANNUAL REPORT June 30, 2007 Equity and Bond Markets Overview FIRST INVESTORS LIFE SERIES FUNDS Dear Investor: The Economy The first half of 2007 was characterized by two very different quarters. In the first quarter, the U.S. economy grew at only .6%, the slowest pace since 2002, due in part to the recession in housing. In the second quarter, in contrast, economic growth exceeded 3%. Throughout the reporting period, corporate profits were robust, consumer spending was solid, the rate of unemployment remained low and foreign growth was very strong, contributing to a high level of exports. The rate of inflation, however, was an issue. Despite an improvement in "core" inflation (i.e., inflation excluding food and energy), the Federal Reserve (the "Fed") noted at its June meeting that "moderation in inflation pressures has yet to be convincingly demonstrated." In addition, concerns about the subprime mortgage market and the problems facing two Bear Stearns hedge funds put a damper on investor sentiment late in the period. The Equity Market The stock market posted solid results for the first half of 2007. Among market-cap sectors, mid-cap stocks produced the best results by a wide margin, followed by large caps and small caps. Stocks struggled in the first quarter, dragged down by worries over the sustainability of economic growth, the persistent rate of inflation, emerging difficulties in the subprime lending market and a sudden plunge in Chinese stocks. The market rebounded sharply in the second quarter, thanks to positive economic signals, optimism about corporate earnings and surging merger and acquisition activity. The hot streak pushed the S&P 500 Index to a record close, topping the previous high that was hit in March 2000. The Bond Market Interest rates moved higher during the reporting period. Investors became convinced that the Fed was less likely to lower interest rates this year. This view reflected the Fed's continued stated concern about inflation, as well as the fact that the economy rebounded in the second quarter. In addition, foreign interest rates moved higher due to strong foreign economic growth and central bank tightening of monetary policy, which put pressure on U.S. rates. Given the U.S.'s dependence on foreign capital to fund its trade deficit, higher foreign rates compete directly with U.S. rates for investment dollars and therefore contributed to higher U.S. rates. Ten-year U.S. Treasury yields rose to a five-year high in mid-June. Returns among fixed income classes were remarkably similar, with the exception of high yield bonds. Investment grade corporate, government and municipal bonds all had slightly positive returns, according to Merrill Lynch's fixed income indexes. High yield corporate bonds were the best performing sector of the fixed income market, returning over 3% according to Merrill Lynch, despite a difficult second quarter. Equity and Bond Markets Overview (continued) FIRST INVESTORS LIFE SERIES FUNDS Thank you for placing your trust in First Investors. As always, we appreciate the opportunity to serve your investment needs. /s/ EDWIN D. MISKA /s/ CLARK D. WAGNER Edwin D. Miska Clark D. Wagner Director of Equities Director of Fixed Income First Investors Management First Investors Management Company, Inc. Company, Inc. August 1, 2007 The Funds are only available through the purchase of variable life insurance policies and variable annuity contracts issued by First Investors Life Insurance Company. The reports do not reflect the additional expenses and charges that are applicable to variable life insurance policies and variable annuity contracts. This Market Overview is not part of the Funds' financial report and is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds, unless preceded or accompanied by an effective prospectus. The Market Overview reflects conditions through the end of the period as stated on the cover. Market conditions are subject to change. This Market Overview may not be relied upon as investment advice or an indication of current or future trading intent on behalf of any Fund. There are a variety of risks associated with investing in variable life and annuity subaccounts. For stock subaccounts, the risks include market risk (the risk that the entire stock market will decline because of an event such as a deterioration in the economy or a rise in interest rates), as well as special risks associated with investing in certain types of stock subaccounts, such as small-cap, global and international funds. For bond subaccounts, the risks include interest rate risk and credit risk. Interest rate risk is the risk that bonds will decrease in value as interest rates rise. As a general matter, longer-term bonds fluctuate more than shorter-term bonds in reaction to changes in interest rates. Credit risk is the risk that bonds will decline in value as the result of a decline in the credit rating of the bonds or the economy as a whole, or that the issuer will be unable to pay interest and/or principal when due. You should consult your prospectus for a precise explanation of the risks associated with your subaccounts. On July 26, 2007, Smith Asset Management Group, L.P. ("Smith") replaced Wellington Management Company, LLP, the former subadviser to First Investors Life Series Focused Equity Fund (the "Fund"), and assumed responsibility for the day-to-day management of the investments of the Fund. Due to Smith's appointment, the Fund's name changed to First Investors Life Series Select Growth Fund and the Fund changed its objective and investment strategies to correspond with the investment style used by Smith. These changes were previously approved by the Board of Trustees. Although these changes occurred subsequent to the end of the reporting period, for purposes of simplicity and clarity we have decided to refer to the Fund as Select Growth Fund to the extent possible throughout this report. Understanding Your Fund's Expenses FIRST INVESTORS LIFE SERIES FUNDS As a mutual fund shareholder, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory fees and other expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 in each Fund at the beginning of the period, January 1, 2007, and held for the entire six-month period ended June 30, 2007. The calculations assume that no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. Actual Expense Example: These amounts help you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid during the period. To estimate the expenses you paid on your account during this period simply divide your ending account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.60), then multiply the result by the number given for your Fund under the heading "Expenses Paid During Period". Hypothetical Expense Example: These amounts provide information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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 Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight and help you compare your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical expense example 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. Fund Expenses BLUE CHIP FUND The examples below show the ongoing costs (in dollars) of investing in your Fund and will help you in comparing these costs with costs of other mutual funds. Please refer to page 3 for a detailed explanation of the information presented in these examples.
- ---------------------------------------------------------------------------------------------- Beginning Ending Account Account Expenses Paid Value Value During Period Expense Examples (1/1/07) (6/30/07) (1/1/07-6/30/07)* - ---------------------------------------------------------------------------------------------- Actual $1,000.00 $1,063.47 $4.14 Hypothetical (5% annual return before expenses) $1,000.00 $1,020.77 $4.06 - ---------------------------------------------------------------------------------------------- * Expenses are equal to the annualized expense ratio of .81%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Portfolio Composition TOP TEN SECTORS (BAR CHART DATA:) Financials 19.6% Information Technology 16.7% Health Care 12.1% Consumer Staples 11.8% Industrials 11.8% Energy 10.9% Consumer Discretionary 10.0% Telecommunication Services 3.0% Materials 2.6% Utilities 0.9% Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2007, and are based on the total value of investments.
Portfolio of Investments BLUE CHIP FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--99.2% Consumer Discretionary--10.0% 13,300 Best Buy Company, Inc. $620,711 $34 14,900 Carnival Corporation 726,673 39 29,700 CBS Corporation - Class "B" 989,604 54 3,709 Citadel Broadcasting Corporation 23,923 1 20,200 Clear Channel Communications, Inc. 763,964 41 16,971 * Comcast Corporation - Class "A" 477,225 26 27,150 * Comcast Corporation - Special Class "A" 759,114 41 20,800 H&R Block, Inc. 486,096 26 9,700 Hilton Hotels Corporation 324,659 18 49,900 Home Depot, Inc. 1,963,565 107 5,300 * Kohl's Corporation 376,459 20 32,600 Lowe's Companies, Inc. 1,000,494 54 27,500 McDonald's Corporation 1,395,900 76 53,600 News Corporation - Class "A" 1,136,856 62 12,000 NIKE, Inc. - Class "B" 699,480 38 26,200 Target Corporation 1,666,320 90 89,700 Time Warner, Inc. 1,887,288 102 6,216 Tribune Company 182,750 10 22,400 * Viacom, Inc. - Class "B" 932,512 51 48,300 Walt Disney Company 1,648,962 89 11,280 * Wyndham Worldwide Corporation 409,013 22 - -------------------------------------------------------------------------------------------------------------------- 18,471,568 1,001 - -------------------------------------------------------------------------------------------------------------------- Consumer Staples--11.8% 27,400 Altria Group, Inc. 1,921,836 104 25,200 Anheuser-Busch Companies, Inc. 1,314,432 71 28,400 Avon Products, Inc. 1,043,700 57 50,900 Coca-Cola Company 2,662,579 144 10,000 Colgate-Palmolive Company 648,500 35 13,200 Costco Wholesale Corporation 772,464 42 32,300 CVS Corporation 1,177,335 64 12,100 General Mills, Inc. 706,882 38 9,200 Hershey Foods Corporation 465,704 25 19,900 Kimberly-Clark Corporation 1,331,111 72 38,761 Kraft Foods, Inc. - Class "A" 1,366,325 74 35,000 PepsiCo, Inc. 2,269,750 123 46,335 Procter & Gamble Company 2,835,239 154 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) BLUE CHIP FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Consumer Staples (continued) 17,200 Walgreen Company $748,888 $41 52,900 Wal-Mart Stores, Inc. 2,545,019 138 - -------------------------------------------------------------------------------------------------------------------- 21,809,764 1,182 - -------------------------------------------------------------------------------------------------------------------- Energy--10.9% 6,200 BP PLC (ADR) 447,268 24 50,000 Chevron Corporation 4,212,000 228 25,771 ConocoPhillips 2,023,024 110 77,500 ExxonMobil Corporation 6,500,700 352 27,400 Halliburton Company 945,300 51 5,500 Hess Corporation 324,280 18 29,800 Schlumberger, Ltd. 2,531,212 137 29,150 Spectra Energy Corporation 756,734 41 14,900 * Transocean, Inc. 1,579,102 86 10,800 Valero Energy Corporation 797,688 43 - -------------------------------------------------------------------------------------------------------------------- 20,117,308 1,090 - -------------------------------------------------------------------------------------------------------------------- Financials--19.5% 16,000 ACE, Ltd. 1,000,320 54 10,100 Allstate Corporation 621,251 34 32,500 American Express Company 1,988,350 108 51,400 American International Group, Inc. 3,599,542 195 6,500 Ameriprise Financial, Inc. 413,205 22 66,514 Bank of America Corporation 3,251,869 176 42,300 Bank of New York Company, Inc. 1,752,912 95 250 * Berkshire Hathaway, Inc. - Class "B" 901,250 49 15,900 Capital One Financial Corporation 1,247,196 67 12,200 Chubb Corporation 660,508 36 89,500 Citigroup, Inc. 4,590,455 249 10,400 Fannie Mae 679,432 37 14,500 Freddie Mac 880,150 48 60,132 JPMorgan Chase & Company 2,913,395 158 7,000 Lehman Brothers Holdings, Inc. 521,640 28 14,500 Marsh & McLennan Companies, Inc. 447,760 24 13,400 Mellon Financial Corporation 589,600 32 17,400 Merrill Lynch & Company, Inc. 1,454,292 79 23,600 Morgan Stanley 1,979,568 107 19,800 Progressive Corporation 473,814 26 7,500 SunTrust Banks, Inc. 643,050 35 15,000 Travelers Companies, Inc. 802,500 43 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Financials (continued) 20,500 U.S. Bancorp $675,475 $37 27,400 Wachovia Corporation 1,404,250 76 22,400 Washington Mutual, Inc. 955,136 52 45,800 Wells Fargo & Company 1,610,786 87 - -------------------------------------------------------------------------------------------------------------------- 36,057,706 1,954 - -------------------------------------------------------------------------------------------------------------------- Health Care--12.0% 33,500 Abbott Laboratories 1,793,925 97 11,800 Aetna, Inc. 582,920 32 27,700 * Amgen, Inc. 1,531,533 83 12,400 Baxter International, Inc. 698,616 38 34,300 * Boston Scientific Corporation 526,162 28 46,200 Bristol-Myers Squibb Company 1,458,072 79 60,800 Johnson & Johnson 3,746,496 203 29,300 Medtronic, Inc. 1,519,498 82 22,800 Merck & Company, Inc. 1,135,440 62 28,700 Novartis AG (ADR) 1,609,209 87 129,640 Pfizer, Inc. 3,314,895 180 11,300 * St. Jude Medical, Inc. 468,837 25 13,200 Teva Pharmaceutical Industries, Ltd. (ADR) 544,500 30 9,600 * Triad Hospitals, Inc. 516,096 28 29,200 UnitedHealth Group, Inc. 1,493,288 81 21,900 Wyeth 1,255,746 68 - -------------------------------------------------------------------------------------------------------------------- 22,195,233 1,203 - -------------------------------------------------------------------------------------------------------------------- Industrials--11.8% 18,500 3M Company 1,605,615 87 10,600 Boeing Company 1,019,296 55 16,300 Caterpillar, Inc. 1,276,290 69 12,000 Dover Corporation 613,800 33 27,200 Emerson Electric Company 1,272,960 69 145,500 General Electric Company 5,569,740 302 14,400 Honeywell International, Inc. 810,432 44 10,600 Illinois Tool Works, Inc. 574,414 31 9,200 ITT Corporation 628,176 34 11,900 Lockheed Martin Corporation 1,120,147 61 24,300 Masco Corporation 691,821 37 12,500 Northrop Grumman Corporation 973,375 53 60,100 Tyco International, Ltd. 2,030,779 110 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) BLUE CHIP FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Industrials (continued) 15,300 United Parcel Service, Inc. - Class "B" $1,116,900 $61 33,700 United Technologies Corporation 2,390,341 130 - -------------------------------------------------------------------------------------------------------------------- 21,694,086 1,176 - -------------------------------------------------------------------------------------------------------------------- Information Technology--16.7% 11,600 Accenture, Ltd. - Class "A" 497,524 27 12,500 Analog Devices, Inc. 470,500 25 5,600 * Apple, Inc. 683,424 37 27,900 Applied Materials, Inc. 554,373 30 10,000 Automatic Data Processing, Inc. 484,700 26 2,500 Broadridge Financial Solutions, Inc. 47,800 3 84,800 * Cisco Systems, Inc. 2,361,680 128 37,300 * Corning, Inc. 953,015 52 60,800 * Dell, Inc. 1,735,840 94 13,500 * eBay, Inc. 434,430 23 74,300 * EMC Corporation 1,344,830 73 33,800 First Data Corporation 1,104,246 60 31,400 Hewlett-Packard Company 1,401,068 76 114,800 Intel Corporation 2,727,648 148 22,900 International Business Machines Corporation 2,410,225 131 13,400 Maxim Integrated Products, Inc. 447,694 24 180,600 Microsoft Corporation 5,322,282 288 51,900 Motorola, Inc. 918,630 50 63,700 Nokia Corporation - Class "A" (ADR) 1,790,607 97 65,700 * Oracle Corporation 1,294,947 70 16,400 QUALCOMM, Inc. 711,596 39 39,300 Texas Instruments, Inc. 1,478,859 80 33,800 Western Union Company 704,054 38 19,700 * Xerox Corporation 364,056 20 19,700 * Yahoo!, Inc. 534,461 29 - -------------------------------------------------------------------------------------------------------------------- 30,778,489 1,668 - -------------------------------------------------------------------------------------------------------------------- Materials--2.6% 19,400 Alcoa, Inc. 786,282 43 14,010 * Cemex SA de CV (ADR) 516,969 28 32,100 Dow Chemical Company 1,419,462 77 18,100 DuPont (E.I.) de Nemours & Company 920,204 50 23,800 International Paper Company 929,390 50 6,700 Newmont Mining Corporation 261,702 14 - -------------------------------------------------------------------------------------------------------------------- 4,834,009 262 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested Shares or For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Telecommunication Services--3.0% 53,200 AT&T, Inc. $2,207,800 $120 74,222 Sprint Nextel Corporation 1,537,138 83 42,300 Verizon Communications, Inc. 1,741,491 94 - -------------------------------------------------------------------------------------------------------------------- 5,486,429 297 - -------------------------------------------------------------------------------------------------------------------- Utilities--.9% 58,300 Duke Energy Corporation 1,066,890 58 10,300 FPL Group, Inc. 584,422 32 - -------------------------------------------------------------------------------------------------------------------- 1,651,312 90 - -------------------------------------------------------------------------------------------------------------------- Total Value of Common Stocks (cost $117,749,073) 183,095,904 9,923 - -------------------------------------------------------------------------------------------------------------------- SHORT-TERM CORPORATE NOTES--.6% $1,100M American General Finance Corp., 5.29%, 7/11/07 (cost $1,098,221) 1,098,221 59 - -------------------------------------------------------------------------------------------------------------------- Total Value of Investments (cost $118,847,294) 99.8% 184,194,125 9,982 Other Assets, Less Liabilities .2 325,722 18 - -------------------------------------------------------------------------------------------------------------------- Net Assets 100.0% $184,519,847 $10,000 ====================================================================================================================
* Non-income producing Summary of Abbreviations: ADR American Depositary Receipts See notes to financial statements Fund Expenses CASH MANAGEMENT FUND The examples below show the ongoing costs (in dollars) of investing in your Fund and will help you in comparing these costs with costs of other mutual funds. Please refer to page 3 for a detailed explanation of the information presented in these examples.
- ---------------------------------------------------------------------------------------------- Beginning Ending Account Account Expenses Paid Value Value During Period Expense Examples (1/1/07) (6/30/07) (1/1/07-6/30/07)* - ---------------------------------------------------------------------------------------------- Actual $1,000.00 $1,023.26 $3.51 Hypothetical (5% annual return before expenses) $1,000.00 $1,021.32 $3.51 - ---------------------------------------------------------------------------------------------- * Expenses are equal to the annualized expense ratio of .70%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses paid during the period are net of expenses waived.
Portfolio Composition By Sector (BAR CHART DATA:) Corporate Notes 45.2% U.S. Government Agency Obligations 31.7% Floating Rate Notes 14.3% Certificates of Deposit 4.8% Bankers' Acceptances 4.0% Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2007, and are based on the total value of investments.
Portfolio of Investments CASH MANAGEMENT FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal Effective $10,000 of Amount Security Yield+ Value Net Assets - -------------------------------------------------------------------------------------------------------------------- CORPORATE NOTES--43.9% $300M Abbott Laboratories, 7/11/07 + 5.24% $299,519 $463 250M Anheuser-Busch Cos., Inc., 8/16/07 + 5.20 248,299 384 250M Brown-Forman Corp., 7/13/07 + 5.28 249,522 386 250M Chevron Funding Corp., 8/6/07 5.23 248,655 385 300M Coca Cola Co., 7/11/07 + 5.19 299,521 463 300M General Electric Capital Corp., 7/26/07 5.22 298,858 462 300M Merrill Lynch & Co., Inc., 8/30/07 5.22 297,336 460 200M Paccar Financial Corp., 7/17/07 5.18 199,507 308 250M Procter & Gamble Co., 9/7/07 + 5.21 247,495 383 150M Prudential Funding Corp., 7/5/07 5.20 149,891 232 300M Toyota Motor Credit Corp., 7/13/07 5.22 299,431 463 - -------------------------------------------------------------------------------------------------------------------- Total Value of Corporate Notes (cost $2,838,034) 2,838,034 4,389 - -------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS--30.7% Fannie Mae: 289M 7/15/07 5.23 288,851 447 275M 8/10/07 5.15 273,383 423 125M Federal Farm Credit Bank, 12/3/07 5.36 123,658 191 Federal Home Loan Bank: 250M 8/13/07 5.25 249,447 386 125M 8/24/07 5.34 124,931 193 100M 10/10/07 5.35 100,223 155 250M 12/17/07 5.00 249,530 386 180M 1/23/08 5.31 179,950 278 200M 1/28/08 5.25 198,570 307 200M Freddie Mac, 9/10/07 5.15 197,941 306 - -------------------------------------------------------------------------------------------------------------------- Total Value of U.S. Government Agency Obligations (cost $1,986,484) 1,986,484 3,072 - -------------------------------------------------------------------------------------------------------------------- FLOATING RATE NOTES--13.8% 100M Advanced Packaging Corp., 10/1/36 (LOC; Fifth Third Bank) 5.35 100,000 155 250M Bank of New York, 11/19/07 5.31 249,989 386 110M Freddie Mac, 7/6/07 5.22 109,999 170 135M Genesys Medsports, LLC, 1/1/27 (LOC; Fifth Third Bank) 5.35 135,000 209 300M Wachovia Bank, NA, 11/30/07 5.31 300,050 464 - -------------------------------------------------------------------------------------------------------------------- Total Value of Floating Rate Notes (cost $895,038) 895,038 1,384 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) CASH MANAGEMENT FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal Effective $10,000 of Amount Security Yield+ Value Net Assets - -------------------------------------------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT--4.6% $300M Citibank, NA, 8/16/07 (cost $300,000) 5.30% $300,000 $464 - -------------------------------------------------------------------------------------------------------------------- BANKERS' ACCEPTANCES--3.9% 250M Bank of America, NA, 7/19/07 (cost $249,311) 5.18 249,311 385 - -------------------------------------------------------------------------------------------------------------------- Total Value of Investments (cost $6,268,867)++ 96.9% 6,268,867 9,694 Other Assets, Less Liabilities 3.1 198,037 306 - -------------------------------------------------------------------------------------------------------------------- Net Assets 100.0% $6,466,904 $10,000 ====================================================================================================================
* The interest rates shown are the effective rates at the time of purchase by the Fund. The interest rates shown on the floating rate notes are adjusted periodically; the rates shown are the rates in effect on June 30, 2007. + Security exempt from registration under Section 4(2) of the Securities Act of 1933 (see Note 5). ++ Aggregate cost for federal income tax purposes is the same. See notes to financial statements Fund Expenses DISCOVERY FUND The examples below show the ongoing costs (in dollars) of investing in your Fund and will help you in comparing these costs with costs of other mutual funds. Please refer to page 3 for a detailed explanation of the information presented in these examples.
- ---------------------------------------------------------------------------------------------- Beginning Ending Account Account Expenses Paid Value Value During Period Expense Examples (1/1/07) (6/30/07) (1/1/07-6/30/07)* - ---------------------------------------------------------------------------------------------- Actual $1,000.00 $1,102.55 $4.27 Hypothetical (5% annual return before expenses) $1,000.00 $1,020.72 $4.11 - ---------------------------------------------------------------------------------------------- * Expenses are equal to the annualized expense ratio of .82%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Portfolio Composition TOP TEN SECTORS (BAR CHART DATA:) Industrials 24.3% Information Technology 15.9% Consumer Discretionary 11.8% Financials 10.6% Health Care 8.0% Consumer Staples 7.0% Utilities 6.1% Materials 5.3% Telecommunication Services 5.1% Energy 4.6% Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2007, and are based on the total value of investments.
Portfolio of Investments DISCOVERY FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--98.5% Consumer Discretionary--11.8% 73,900 Brunswick Corporation $2,411,357 $141 51,200 Catalina Marketing Corporation 1,612,800 94 91,700 Interactive Data Corporation 2,455,726 143 110,300 Jackson Hewitt Tax Service, Inc. 3,100,533 181 126,200 Journal Communications, Inc. 1,641,862 96 98,200 * Rent-A-Center, Inc. 2,575,786 150 118,000 Tempur-Pedic International, Inc. 3,056,200 179 417,800 * Visteon Corporation 3,384,180 198 - -------------------------------------------------------------------------------------------------------------------- 20,238,444 1,182 - -------------------------------------------------------------------------------------------------------------------- Consumer Staples--7.0% 57,175 Church & Dwight Company, Inc. 2,770,701 162 94,800 Flowers Foods, Inc. 3,162,528 185 69,200 Hormel Foods Corporation 2,584,620 151 29,600 Lancaster Colony Corporation 1,239,944 72 82,285 Tootsie Roll Industries, Inc. 2,280,117 133 - -------------------------------------------------------------------------------------------------------------------- 12,037,910 703 - -------------------------------------------------------------------------------------------------------------------- Energy--4.6% 88,300 * Denbury Resources, Inc. 3,311,250 193 186,000 * Parker Drilling Company 1,960,440 115 63,000 * Whiting Petroleum Corporation 2,552,760 149 - -------------------------------------------------------------------------------------------------------------------- 7,824,450 457 - -------------------------------------------------------------------------------------------------------------------- Financials--10.6% 8,262 * Alleghany Corporation 3,358,503 196 90,700 Arthur J. Gallagher & Company 2,528,716 148 128,600 FirstMerit Corporation 2,691,598 157 80,200 Harleysville Group, Inc. 2,675,472 156 33,800 Midland Company 1,586,572 93 179,800 Phoenix Companies, Inc. 2,698,798 157 61,500 Wilmington Trust Corporation 2,552,865 149 - -------------------------------------------------------------------------------------------------------------------- 18,092,524 1,056 - -------------------------------------------------------------------------------------------------------------------- Health Care--7.9% 44,500 Hillenbrand Industries, Inc. 2,892,500 169 37,200 * Invitrogen Corporation 2,743,500 160 72,900 * Lincare Holdings, Inc. 2,905,065 170 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Health Care (continued) 54,800 * Magellan Health Services, Inc. $2,546,556 $149 52,800 West Pharmaceutical Services, Inc. 2,489,520 145 - -------------------------------------------------------------------------------------------------------------------- 13,577,141 793 - -------------------------------------------------------------------------------------------------------------------- Industrials--24.3% 49,100 Alexander & Baldwin, Inc. 2,607,701 152 71,300 Carlisle Companies, Inc. 3,316,163 194 93,700 CLARCOR, Inc. 3,507,191 205 71,900 Curtiss-Wright Corporation 3,351,259 196 56,300 Deluxe Corporation 2,286,343 133 58,100 HNI Corporation 2,382,100 139 72,200 * Kansas City Southern, Inc. 2,710,388 158 148,200 * Labor Ready, Inc. 3,424,902 200 172,900 Mueller Water Products, Inc. - Class "B" 2,593,500 151 54,000 * NCI Building Systems, Inc. 2,663,820 156 92,100 Pentair, Inc. 3,552,297 207 60,900 Robbins & Myers, Inc. 3,235,617 189 46,600 United Industrial Corporation 2,795,068 163 58,600 Woodward Governor Company 3,145,062 184 - -------------------------------------------------------------------------------------------------------------------- 41,571,411 2,427 - -------------------------------------------------------------------------------------------------------------------- Information Technology--15.8% 68,400 * Avnet, Inc. 2,711,376 158 166,900 AVX Corporation 2,793,906 163 78,500 * Cabot Microelectronics Corporation 2,785,965 163 39,400 * CDW Corporation 3,347,818 195 114,200 * Checkpoint Systems, Inc. 2,883,550 168 118,100 * Convergys Corporation 2,862,744 167 96,400 MoneyGram International, Inc. 2,694,380 157 49,900 * Rogers Corporation 1,846,300 108 173,400 * Tyler Technologies, Inc. 2,151,894 126 76,875 * Varian Semiconductor Equipment Associates, Inc. 3,079,613 180 - -------------------------------------------------------------------------------------------------------------------- 27,157,546 1,585 - -------------------------------------------------------------------------------------------------------------------- Materials--5.3% 85,800 AptarGroup, Inc. 3,051,048 178 80,500 Commercial Metals Company 2,718,485 159 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) DISCOVERY FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested Shares or For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Materials (continued) 63,400 Eagle Materials, Inc. $3,109,770 $182 3,500 Neenah Paper, Inc. 144,410 8 - -------------------------------------------------------------------------------------------------------------------- 9,023,713 527 - -------------------------------------------------------------------------------------------------------------------- Telecommunication Services--5.1% 150,200 * Premiere Global Services, Inc. 1,955,604 114 57,875 Telephone & Data Systems, Inc. - Special Shares 3,330,706 195 126,900 USA Mobility, Inc. 3,395,844 198 - -------------------------------------------------------------------------------------------------------------------- 8,682,154 507 Utilities--6.1% 140,500 CMS Energy Corporation 2,416,600 141 329,700 * Dynegy, Inc. - Class "A" 3,112,368 182 94,000 Energy East Corporation 2,452,460 143 91,300 Portland General Electric Company 2,505,272 146 - -------------------------------------------------------------------------------------------------------------------- 10,486,700 612 - -------------------------------------------------------------------------------------------------------------------- Total Value of Common Stocks (cost $134,605,695) 168,691,993 9,849 - -------------------------------------------------------------------------------------------------------------------- SHORT-TERM CORPORATE NOTES--1.3% $2,300M Citigroup Funding, Inc., 5.13%, 7/2/07 (cost $2,299,344) 2,299,344 134 - -------------------------------------------------------------------------------------------------------------------- Total Value of Investments (cost $136,905,039) 99.8% 170,991,337 9,983 Other Assets, Less Liabilities .2 287,731 17 - -------------------------------------------------------------------------------------------------------------------- Net Assets 100.0% $171,279,068 $10,000 ====================================================================================================================
* Non-income producing See notes to financial statements Fund Expenses GOVERNMENT FUND The examples below show the ongoing costs (in dollars) of investing in your Fund and will help you in comparing these costs with costs of other mutual funds. Please refer to page 3 for a detailed explanation of the information presented in these examples.
- ---------------------------------------------------------------------------------------------- Beginning Ending Account Account Expenses Paid Value Value During Period Expense Examples (1/1/07) (6/30/07) (1/1/07-6/30/07)* - ---------------------------------------------------------------------------------------------- Actual $1,000.00 $1,010.50 $3.99 Hypothetical (5% annual return before expenses) $1,000.00 $1,020.82 $4.01 - ---------------------------------------------------------------------------------------------- * Expenses are equal to the annualized expense ratio of .80%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses paid during the period are net of expenses waived.
Portfolio Composition By Sector (BAR CHART DATA:) Government National Mortgage Association 53.0% Fannie Mae 16.5% U.S. Government Agency Obligations 10.1% Freddie Mac 9.1% U.S. Government Obligations 4.6% Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2007, and are based on the total value of investments.
Portfolio of Investments GOVERNMENT FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED CERTIFICATES--78.1% Fannie Mae--16.4% $625M 5%, 1/1/2035-7/1/2035 $587,796 $300 1,073M 5.5%, 10/1/2032-7/1/2034 1,039,689 530 504M 6%, 2/1/2036 499,453 255 119M 7%, 5/1/2031 124,693 64 530M 9%, 6/1/2015-11/1/2026 571,729 291 351M 11%, 10/1/2015 393,369 200 - -------------------------------------------------------------------------------------------------------------------- 3,216,729 1,640 - -------------------------------------------------------------------------------------------------------------------- Freddie Mac--9.0% 1,465M 6%, 8/1/2032-10/1/2035 1,456,649 743 307M 6.5%, 7/1/2032-12/1/2032 313,155 159 - -------------------------------------------------------------------------------------------------------------------- 1,769,804 902 - -------------------------------------------------------------------------------------------------------------------- Government National Mortgage Association I Program--52.7% 1,905M 5%, 3/15/2033-1/15/2037 1,806,015 921 3,720M 5.5%, 2/15/2033-5/15/2037 3,615,959 1,844 2,485M 6%, 11/15/2032-5/15/2036 2,478,347 1,264 982M 6.5%, 7/15/2032-8/15/2036 1,005,266 513 1,193M 7%, 1/15/2030-10/15/2032 1,253,802 639 154M 10%, 5/15/2019-8/15/2019 174,465 89 - -------------------------------------------------------------------------------------------------------------------- 10,333,854 5,270 - -------------------------------------------------------------------------------------------------------------------- Total Value of Mortgage-Backed Certificates (cost $15,720,867) 15,320,387 7,812 - -------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS--10.0% 1,000M Federal Farm Credit Bank, 5.5%, 2015 980,075 500 1,000M Federal Home Loan Bank, 5%, 2012 981,971 500 - -------------------------------------------------------------------------------------------------------------------- Total Value of U.S. Government Agency Obligations (cost $1,982,574) 1,962,046 1,000 - -------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--4.6% 848M FDA Queens LP, 6.99%, 2017 (cost $963,890)+ 900,308 459 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- SHORT-TERM U.S. GOVERNMENT OBLIGATIONS--6.6% U.S. Treasury Bills: $900M 4.18%, 7/19/07 $898,013 $458 400M 4.3%, 7/19/07 399,091 203 - -------------------------------------------------------------------------------------------------------------------- Total Value of Short-Term U.S. Government Obligations (cost $1,297,104) 1,297,104 661 - -------------------------------------------------------------------------------------------------------------------- Total Value of Investments (cost $19,964,435) 99.3% 19,479,845 9,932 Other Assets, Less Liabilities .7 132,561 68 - -------------------------------------------------------------------------------------------------------------------- Net Assets 100.0% $19,612,406 $10,000 ====================================================================================================================
+ Security exempt from registration under Rule 144A of the Securities Act of 1933 (See Note 5). See notes to financial statements Fund Expenses GROWTH & INCOME FUND The examples below show the ongoing costs (in dollars) of investing in your Fund and will help you in comparing these costs with costs of other mutual funds. Please refer to page 3 for a detailed explanation of the information presented in these examples.
- ---------------------------------------------------------------------------------------------- Beginning Ending Account Account Expenses Paid Value Value During Period Expense Examples (1/1/07) (6/30/07) (1/1/07-6/30/07)* - ---------------------------------------------------------------------------------------------- Actual $1,000.00 $1,091.61 $4.20 Hypothetical (5% annual return before expenses) $1,000.00 $1,020.77 $4.06 - ---------------------------------------------------------------------------------------------- * Expenses are equal to the annualized expense ratio of .81%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Portfolio Composition TOP TEN SECTORS (BAR CHART DATA:) Industrials 19.6% Consumer Discretionary 17.5% Information Technology 15.6% Financials 15.4% Health Care 10.2% Energy 8.5% Consumer Staples 6.7% Materials 5.4% Telecommunication Services 0.8% Utilities 0.3% Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2007, and are based on the total value of investments.
Portfolio of Investments GROWTH & INCOME FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--99.7% Consumer Discretionary--17.4% 90,000 bebe stores, inc. $1,440,900 $51 16,300 Brown Shoe Company, Inc. 396,416 14 55,800 * Carter's, Inc. 1,447,452 51 65,000 CBS Corporation - Class "B" 2,165,800 76 39,000 * CEC Entertainment, Inc. 1,372,800 48 12,300 * Cinemark Holdings, Inc. 220,047 8 64,600 Clear Channel Communications, Inc. 2,443,172 86 66,200 * Cost Plus, Inc. 561,376 20 95,000 Dollar General Corporation 2,082,400 73 10,900 Dow Jones & Company, Inc. 626,205 22 82,800 * Eddie Bauer Holdings, Inc. 1,063,980 37 66,900 Foot Locker, Inc. 1,458,420 51 82,000 H&R Block, Inc. 1,916,340 67 72,000 Home Depot, Inc. 2,833,200 100 18,100 J.C. Penney Company, Inc. 1,310,078 46 16,700 Jones Apparel Group, Inc. 471,775 17 48,900 Journal Register Company 219,072 8 38,600 Kenneth Cole Productions, Inc. - Class "A" 953,420 34 52,000 Leggett & Platt, Inc. 1,146,600 40 65,800 * Lincoln Educational Services Corporation 977,788 34 69,400 McDonald's Corporation 3,522,744 124 95,800 * Morgans Hotel Group Company 2,335,604 82 74,800 Movado Group, Inc. 2,523,752 89 74,500 Newell Rubbermaid, Inc. 2,192,535 77 56,200 Orient-Express Hotels, Ltd. 3,001,080 106 93,000 * Quiksilver, Inc. 1,314,090 46 22,400 Sherwin-Williams Company 1,488,928 52 57,400 Staples, Inc. 1,362,102 48 32,800 * Steiner Leisure Ltd. 1,611,136 57 36,950 * Viacom, Inc. - Class "B" 1,538,229 54 165,000 Westwood One, Inc. 1,186,350 42 63,200 * Wyndham Worldwide Corporation 2,291,632 81 - -------------------------------------------------------------------------------------------------------------------- 49,475,423 1,741 - -------------------------------------------------------------------------------------------------------------------- Consumer Staples--6.7% 53,100 Altria Group, Inc. 3,724,434 131 44,200 Avon Products, Inc. 1,624,350 57 23,300 * Chattem, Inc. 1,476,754 52 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) GROWTH & INCOME FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Consumer Staples (continued) 20,100 Coca-Cola Company $1,051,431 $37 73,100 CVS Corporation 2,664,495 94 36,746 Kraft Foods, Inc. - Class "A" 1,295,297 45 138,900 Nu Skin Enterprises, Inc. - Class "A" 2,291,850 81 16,500 PepsiCo, Inc. 1,070,025 38 25,400 Procter & Gamble Company 1,554,226 55 3,475 Tootsie Roll Industries, Inc. 96,292 3 30,000 Wal-Mart Stores, Inc. 1,443,300 51 20,400 WD-40 Company 670,548 24 - -------------------------------------------------------------------------------------------------------------------- 18,963,002 668 - -------------------------------------------------------------------------------------------------------------------- Energy--8.5% 63,400 * Cal Dive International, Inc. 1,054,342 37 17,400 Chesapeake Energy Corporation 602,040 21 29,000 ConocoPhillips 2,276,500 80 39,700 ExxonMobil Corporation 3,330,036 117 10,000 * National-Oilwell Varco, Inc. 1,042,400 37 27,000 Noble Corporation 2,633,040 93 25,000 * North American Energy Partners, Inc. 506,500 18 42,800 Sasol, Ltd. (ADR) 1,606,712 57 20,000 Schlumberger, Ltd. 1,698,800 60 50,000 Suncor Energy, Inc. 4,496,000 158 23,500 * Swift Energy Company 1,004,860 35 19,900 World Fuel Services Corporation 836,994 29 50,000 XTO Energy, Inc. 3,005,000 106 - -------------------------------------------------------------------------------------------------------------------- 24,093,224 848 - -------------------------------------------------------------------------------------------------------------------- Financials--15.4% 17,500 American Express Company 1,070,650 38 35,774 American International Group, Inc. 2,505,253 88 43,100 Astoria Financial Corporation 1,079,224 38 49,000 Bank of America Corporation 2,395,610 84 50,500 Brookline Bancorp, Inc. 581,255 21 18,700 Capital One Financial Corporation 1,466,828 52 44,000 Citigroup, Inc. 2,256,760 79 67,400 Colonial BancGroup, Inc. 1,682,978 59 81,200 * First Mercury Financial Corporation 1,702,764 60 13,000 * Flagstone Reinsurance Holdings, Ltd. 173,160 6 16,400 Hartford Financial Services Group, Inc. 1,615,564 57 60,000 JPMorgan Chase & Company 2,907,000 102 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Financials (continued) 21,500 Lehman Brothers Holdings, Inc. $1,602,180 $56 22,300 Merrill Lynch & Company, Inc. 1,863,834 66 24,800 Morgan Stanley 2,080,224 73 63,300 * NASDAQ Stock Market, Inc. 1,880,643 66 89,800 NewAlliance Bancshares, Inc. 1,321,856 47 43,300 South Financial Group, Inc. 980,312 35 71,800 Sovereign Bancorp, Inc. 1,517,852 53 49,500 Sunstone Hotel Investors, Inc. 1,405,305 50 24,600 SunTrust Banks, Inc. 2,109,204 74 65,000 U.S. Bancorp 2,141,750 75 65,400 U.S.B. Holding Company, Inc. 1,246,524 44 34,000 Wachovia Corporation 1,742,500 61 42,500 Washington Mutual, Inc. 1,812,200 64 19,900 Webster Financial Corporation 849,133 30 46,400 Wells Fargo & Company 1,631,888 57 - -------------------------------------------------------------------------------------------------------------------- 43,622,451 1,535 - -------------------------------------------------------------------------------------------------------------------- Health Care--10.2% 53,900 Abbott Laboratories 2,886,345 102 39,300 * Amgen, Inc. 2,172,897 77 7,600 Baxter International, Inc. 428,184 15 36,200 Biomet, Inc. 1,655,064 58 33,700 * Boston Scientific Corporation 516,958 18 1,000 * Insulet Corporation 14,200 1 51,300 Johnson & Johnson 3,161,106 111 16,800 * Laboratory Corporation of America Holdings 1,314,768 46 24,300 Medtronic, Inc. 1,260,198 44 27,000 Merck & Company, Inc. 1,344,600 47 141,500 Pfizer, Inc. 3,618,155 127 47,000 Sanofi-Aventis (ADR) 1,892,690 67 42,400 * St. Jude Medical, Inc. 1,759,176 62 26,900 * Triad Hospitals, Inc. 1,446,144 51 29,500 * TriZetto Group, Inc. 571,120 20 18,500 UnitedHealth Group, Inc. 946,090 33 11,700 * Waters Corporation 694,512 25 57,500 Wyeth 3,297,050 116 - -------------------------------------------------------------------------------------------------------------------- 28,979,257 1,020 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) GROWTH & INCOME FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Industrials--19.5% 52,700 3M Company $4,573,833 $161 28,500 Alexander & Baldwin, Inc. 1,513,635 53 117,400 * Altra Holdings, Inc. 2,028,672 71 40,100 * Armstrong World Industries, Inc. 2,011,015 71 70,400 Barnes Group, Inc. 2,230,272 79 32,100 * BE Aerospace, Inc. 1,325,730 47 27,000 Burlington Northern Santa Fe Corporation 2,298,780 81 33,100 Caterpillar, Inc. 2,591,730 91 46,000 * Gardner Denver, Inc. 1,957,300 69 130,000 General Electric Company 4,976,400 175 13,700 * Genlyte Group, Inc. 1,075,998 38 49,100 Harsco Corporation 2,553,200 90 40,000 Honeywell International, Inc. 2,251,200 79 13,700 Hubbell, Inc. - Class "B" 742,814 26 40,500 Illinois Tool Works, Inc. 2,194,695 77 91,500 Knoll, Inc. 2,049,600 72 20,700 Lockheed Martin Corporation 1,948,491 69 16,500 * Mobile Mini, Inc. 481,800 17 47,700 * Navigant Consulting, Inc. 885,312 31 30,300 Northrop Grumman Corporation 2,359,461 83 50,900 * PGT, Inc. 556,337 20 34,500 Precision Castparts Corporation 4,186,920 147 16,900 Steelcase, Inc. - Class "A" 312,650 11 71,400 TAL International Group, Inc. 2,121,294 75 65,700 Tyco International, Ltd. 2,220,003 78 57,400 United Technologies Corporation 4,071,382 143 - -------------------------------------------------------------------------------------------------------------------- 55,518,524 1,954 - -------------------------------------------------------------------------------------------------------------------- Information Technology--15.5% 60,700 * Arris Group, Inc. 1,067,713 38 10,000 * CACI International, Inc. - Class "A" 488,500 17 133,800 * Cisco Systems, Inc. 3,726,330 131 30,000 * Corning, Inc. 766,500 27 48,386 * Electronics for Imaging, Inc. 1,365,453 48 121,100 * EMC Corporation 2,191,910 77 85,000 * Entrust, Inc. 345,100 12 40,000 First Data Corporation 1,306,800 46 50,500 Harris Corporation 2,754,775 97 55,600 Hewlett-Packard Company 2,480,872 87 61,900 Intel Corporation 1,470,744 52 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Information Technology (continued) 39,000 International Business Machines Corporation $4,104,750 $144 10,600 * International Rectifier Corporation 394,956 14 128,100 Microsoft Corporation 3,775,107 133 92,700 Motorola, Inc. 1,640,790 58 65,800 * NCI, Inc. - Class "A" 1,103,466 39 25,000 Nokia Corporation - Class "A" (ADR) 702,750 25 61,500 Openwave Systems, Inc. 384,990 14 93,986 * Parametric Technology Corporation 2,031,037 72 45,500 QUALCOMM, Inc. 1,974,245 70 172,400 * Silicon Image, Inc. 1,479,192 52 122,600 * Smart Modular Technologies (WWH), Inc. 1,686,976 59 1,000 * Starent Networks Corporation 14,700 1 67,900 * Symantec Corporation 1,371,580 48 130,000 * TIBCO Software, Inc. 1,176,500 41 48,300 * Varian Semiconductor Equipment Associates, Inc. 1,934,898 68 40,200 Western Union Company 837,366 29 56,500 Xilinx, Inc. 1,512,505 53 - -------------------------------------------------------------------------------------------------------------------- 44,090,505 1,552 - -------------------------------------------------------------------------------------------------------------------- Materials--5.4% 64,700 Celanese Corporation - Series "A" 2,509,066 88 21,200 Dow Chemical Company 937,464 33 26,500 Freeport-McMoRan Copper & Gold, Inc. - Class "B" 2,194,730 77 42,200 Lubrizol Corporation 2,724,010 96 14,800 PPG Industries, Inc. 1,126,428 40 21,600 Praxair, Inc. 1,554,984 55 65,000 RPM International, Inc. 1,502,150 53 16,700 Scotts Miracle-Gro Company - Class "A" 717,098 25 35,000 Temple-Inland, Inc. 2,153,550 76 - -------------------------------------------------------------------------------------------------------------------- 15,419,480 543 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) GROWTH & INCOME FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Telecommunication Services--.8% 56,400 AT&T, Inc. $2,340,600 $82 - -------------------------------------------------------------------------------------------------------------------- Utilities--.3% 25,000 Atmos Energy Corporation 751,500 27 - -------------------------------------------------------------------------------------------------------------------- Total Value of Common Stocks (cost $231,910,051) 99.7% 283,253,966 9,970 Other Assets, Less Liabilities .3 847,847 30 - -------------------------------------------------------------------------------------------------------------------- Net Assets 100.0% $284,101,813 $10,000 ====================================================================================================================
* Non-income producing Summary of Abbreviations: ADR American Depositary Receipts See notes to financial statements Fund Expenses HIGH YIELD FUND The examples below show the ongoing costs (in dollars) of investing in your Fund and will help you in comparing these costs with costs of other mutual funds. Please refer to page 3 for a detailed explanation of the information presented in these examples.
- ---------------------------------------------------------------------------------------------- Beginning Ending Account Account Expenses Paid Value Value During Period Expense Examples (1/1/07) (6/30/07) (1/1/07-6/30/07)* - ---------------------------------------------------------------------------------------------- Actual $1,000.00 $1,037.14 $4.24 Hypothetical (5% annual return before expenses) $1,000.00 $1,020.62 $4.21 - ---------------------------------------------------------------------------------------------- * Expenses are equal to the annualized expense ratio of .84%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Portfolio Composition TOP TEN SECTORS (BAR CHART DATA:) Consumer Staples 29.5% Consumer Discretionary 20.9% Energy 13.4% Materials 8.1% Health Care 7.8% Industrials 6.0% Information Technology 4.1% Financials 3.9% Telecommunication Services 2.0% Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2007, and are based on the total value of investments.
Portfolio of Investments HIGH YIELD FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS--90.7% Aerospace/Defense--3.1% $550M Alliant Techsystems, Inc., 6.75%, 2016 + $536,250 $78 600M DRS Technologies, Inc., 6.875%, 2013 585,000 85 374M DynCorp International, LLC, 9.5%, 2013 399,712 58 190M GenCorp, Inc., 9.5%, 2013 204,250 29 400M L-3 Communications Corp., 7.625%, 2012 411,500 60 - -------------------------------------------------------------------------------------------------------------------- 2,136,712 310 - -------------------------------------------------------------------------------------------------------------------- Automotive--7.0% 200M Accuride Corp., 8.5%, 2015 198,500 29 Asbury Automotive Group, Inc.: 600M 8%, 2014 609,000 88 175M 7.625%, 2017 + 173,250 25 500M Avis Budget Car Rental, LLC, 7.75%, 2016 512,500 74 750M Cooper Standard Automotive, Inc., 8.375%, 2014 703,125 102 575M Dana Corp., 9%, 2011 ++ 598,000 87 13M Goodyear Tire & Rubber Co., 9%, 2015 14,426 2 750M Tenneco Automotive, Inc., 8.625%, 2014 776,250 113 800M United Auto Group, Inc., 7.75%, 2016 800,000 116 400M United Components, Inc., 9.375%, 2013 415,000 60 - -------------------------------------------------------------------------------------------------------------------- 4,800,051 696 - -------------------------------------------------------------------------------------------------------------------- Chemicals--5.2% Equistar Chemicals LP: 12M 10.125%, 2008 12,881 2 350M 10.625%, 2011 370,125 54 50M Huntsman International, LLC, 7.375%, 2015 52,750 8 Huntsman, LLC: 183M 11.625%, 2010 197,182 29 319M 11.5%, 2012 355,685 52 700M Innophos, Inc., 8.875%, 2014 728,000 105 400M Nell AF S.a.r.l., 8.375%, 2015 + 385,000 56 550M Newmarket Corp., 7.125%, 2016 534,875 77 500M Terra Capital, Inc., 7%, 2017 485,000 70 450M Tronox Worldwide, LLC, 9.5%, 2012 471,375 68 - -------------------------------------------------------------------------------------------------------------------- 3,592,873 521 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Consumer Non-Durables--1.8% $200M Broder Brothers Co., 11.25%, 2010 $198,250 $29 500M GFSI, Inc., 11.5%, 2011 +*** 517,500 75 400M Levi Strauss & Co., 9.75%, 2015 430,000 62 100M Remington Arms Co., 10.5%, 2011 101,875 15 - -------------------------------------------------------------------------------------------------------------------- 1,247,625 181 - -------------------------------------------------------------------------------------------------------------------- Energy--13.1% 600M Basic Energy Services, Inc., 7.125%, 2016 576,000 84 700M Bluewater Finance, Ltd., 10.25%, 2012 733,250 106 100M Calfrac Holdings, 7.75%, 2015 + 96,250 14 Chesapeake Energy Corp.: 200M 7.5%, 2014 203,500 30 1,000M 6.625%, 2016 967,500 140 500M Compagnie Generale de Geophysique, 7.5%, 2015 502,500 73 500M Complete Production Services, Inc., 8%, 2016 + 507,500 74 1,000M Delta Petroleum Corp., 7%, 2015 872,500 127 Giant Industries, Inc.: 650M 11%, 2012 685,750 99 450M 8%, 2014 487,035 71 150M Hilcorp Energy I, LP, 9%, 2016 + 156,000 23 400M Pacific Energy Partners LP, 7.125%, 2014 414,276 60 Petroplus Finance, Ltd.: 100M 6.75%, 2014 + 96,750 14 100M 7%, 2017 + 96,750 14 POGO Producing Co.: 50M 7.875%, 2013 51,250 7 750M 6.875%, 2017 748,125 108 400M Stallion Oilfield Services, Ltd., 9.75%, 2015 + 410,000 59 300M Stewart & Stevenson, LLC, 10%, 2014 + 315,000 46 Stone Energy Corp.: 600M 8.106%, 2010 +*** 603,000 87 100M 6.75%, 2014 92,500 13 400M Tesoro Corp., 6.25%, 2012 399,000 58 - -------------------------------------------------------------------------------------------------------------------- 9,014,436 1,307 - -------------------------------------------------------------------------------------------------------------------- Financials--.7% 500M General Motors Acceptance Corp., 6.75%, 2014 479,510 70 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) HIGH YIELD FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Financial Services--2.4% $1,682M Targeted Return Index Securities Trust, 7.548%, 2016 + $1,655,860 $240 - -------------------------------------------------------------------------------------------------------------------- Food/Beverage/Tobacco--2.5% 1,000M Constellation Brands, Inc. , 7.25%, 2016 980,000 142 Land O'Lakes, Inc.: 200M 9%, 2010 211,000 31 33M 8.75%, 2011 34,238 5 200M Pierre Foods, Inc., 9.875%, 2012 204,000 30 250M Southern States Cooperative, Inc., 10.5%, 2010 + 265,000 38 - -------------------------------------------------------------------------------------------------------------------- 1,694,238 246 - -------------------------------------------------------------------------------------------------------------------- Food/Drug--1.1% 750M Ingles Markets, Inc., 8.875%, 2011 780,938 113 - -------------------------------------------------------------------------------------------------------------------- Forest Products/Containers--1.8% 250M Jefferson Smurfit Corp., 8.25%, 2012 249,375 36 250M Packaging Dynamics Finance Corp., 10%, 2016 + 252,500 37 370M Tekni-Plex, Inc., 8.75%, 2013 368,150 53 375M Verso Paper Holdings, LLC, 9.106%, 2014 +*** 384,375 56 - -------------------------------------------------------------------------------------------------------------------- 1,254,400 182 - -------------------------------------------------------------------------------------------------------------------- Gaming/Leisure--7.1% 500M Circus & Eldorado/Silver Legacy, 10.125%, 2012 525,625 76 250M Herbst Gaming, Inc., 8.125%, 2012 253,750 37 500M Isle of Capri Casinos, Inc., 7%, 2014 475,625 69 600M Mandalay Resort Group, 6.375%, 2011 604,500 88 800M MGM Mirage, Inc., 6.625%, 2015 731,000 106 500M Park Place Entertainment Corp., 7%, 2013 524,372 76 200M Pinnacle Entertainment, Inc., 7.5%, 2015 + 194,000 28 1,000M Speedway Motorsports, Inc., 6.75%, 2013 980,000 142 500M Station Casinos, Inc., 6.875%, 2016 443,750 64 200M Wimar Opco, LLC, (Tropicana Entertainment), 9.625%, 2014 + 193,500 28 - -------------------------------------------------------------------------------------------------------------------- 4,926,122 714 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Health Care--7.6% $260M Alliance Imaging, Inc., 7.25%, 2012 $253,500 $37 500M Cooper Companies, Inc., 7.125%, 2015 + 497,500 72 500M DaVita, Inc., 7.25%, 2015 496,250 72 400M Fisher Scientific International, Inc., 6.125%, 2015 393,375 57 600M Genesis Health Ventures, Inc., 9.75%, 2008 ++** 375 -- HCA, Inc.: 500M 6.95%, 2012 482,500 70 200M 6.75%, 2013 182,500 26 140M MedQuest, Inc., 11.875%, 2012 113,400 16 1,000M Omnicare, Inc., 6.875%, 2015 955,000 139 343M Res-Care, Inc., 7.75%, 2013 353,290 51 Tenet Healthcare Corp.: 600M 6.375%, 2011 551,250 80 250M 9.25%, 2015 238,750 35 620M Triad Hospitals, Inc., 7%, 2013 652,767 95 100M Universal Hospital Services, Inc., 8.759%, 2015 +*** 100,500 14 - -------------------------------------------------------------------------------------------------------------------- 5,270,957 764 - -------------------------------------------------------------------------------------------------------------------- Housing--4.0% 500M Beazer Homes USA, Inc., 6.875%, 2015 432,500 63 700M Builders FirstSource, Inc., 9.61%, 2012*** 712,250 103 100M NTK Holdings, Inc., 0% - 10.75%, 2014# 73,000 11 500M Ply Gem Industries, Inc., 9%, 2012 451,875 66 400M Realogy Corp., 12.375%, 2015 + 366,000 53 William Lyon Homes, Inc.: 500M 7.625%, 2012 430,000 62 300M 10.75%, 2013 283,500 41 - -------------------------------------------------------------------------------------------------------------------- 2,749,125 399 - -------------------------------------------------------------------------------------------------------------------- Information Technology--4.0% 850M Belden CDT, Inc., 7%, 2017 + 841,500 122 350M Exodus Communications, Inc., 10.75%, 2009 ++** 219 -- Freescale Semiconductor, Inc.: 600M 9.125%, 2014 + 567,000 82 100M 10.125%, 2016 + 94,500 14 1,000M Iron Mountain, Inc., 8.25%, 2011 1,000,000 145 Sanmina - SCI Corp.: 100M 8.11%, 2014 +*** 100,500 15 150M 8.125%, 2016 140,250 20 - -------------------------------------------------------------------------------------------------------------------- 2,743,969 398 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) HIGH YIELD FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Investment/Finance Companies--.8% $500M LaBranche & Co., Inc., 11%, 2012 $532,500 $77 - -------------------------------------------------------------------------------------------------------------------- Manufacturing--.3% 200M Case New Holland, Inc., 7.125%, 2014 203,500 30 - -------------------------------------------------------------------------------------------------------------------- Media-Broadcasting--3.3% 1,250M Block Communications, Inc., 8.25%, 2015 + 1,268,750 184 50M Nexstar Finance, Inc., 7%, 2014 49,750 7 159M Sinclair Broadcasting Group, Inc., 8%, 2012 163,335 24 Young Broadcasting, Inc.: 340M 10%, 2011 340,000 49 500M 8.75%, 2014 475,000 69 - -------------------------------------------------------------------------------------------------------------------- 2,296,835 333 - -------------------------------------------------------------------------------------------------------------------- Media-Cable TV--7.9% 900M Adelphia Communications Escrow Bond, 2011 ++ 294,750 43 715M Atlantic Broadband Finance, LLC, 9.375%, 2014 725,725 105 400M Cablevision Systems Corp., 8%, 2012 397,000 58 Charter Communications Holdings, LLC: 1,500M 10%, 2009 1,539,375 223 250M 0% - 11.75%, 2011# 256,250 37 250M CSC Holdings, Inc., 8.125%, 2009 255,625 37 1,000M Echostar DBS Corp., 6.375%, 2011 982,500 143 1,000M Mediacom LLC/Mediacom Capital Corp., 7.875%, 2011 1,000,000 145 - -------------------------------------------------------------------------------------------------------------------- 5,451,225 791 - -------------------------------------------------------------------------------------------------------------------- Media-Diversified--3.9% 500M Cenveo, Inc., 7.875%, 2013 492,500 71 100M Deluxe Corp., 7.375%, 2015 + 100,000 15 600M Idearc, Inc., 8%, 2016 609,000 88 MediaNews Group, Inc.: 300M 6.875%, 2013 259,500 38 350M 6.375%, 2014 293,125 43 Six Flags, Inc.: 350M 8.875%, 2010 347,375 50 150M 9.625%, 2014 139,875 20 400M Universal City Development Partners, Ltd., 11.75%, 2010 425,000 62 - -------------------------------------------------------------------------------------------------------------------- 2,666,375 387 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Metals/Mining--.9% $200M Metals USA, Inc., 11.125%, 2015 $219,000 $32 450M Russell Metals, Inc., 6.375%, 2014 434,250 63 - -------------------------------------------------------------------------------------------------------------------- 653,250 95 - -------------------------------------------------------------------------------------------------------------------- Retail-General Merchandise--4.7% 500M Claire's Stores, Inc., 9.625%, 2015, PIK 465,000 67 1,000M Gregg Appliances, Inc., 9%, 2013 1,070,000 155 GSC Holdings Corp.: 200M 9.224%, 2011*** 205,860 30 200M 8%, 2012 210,000 31 700M Neiman Marcus Group, Inc., 10.375%, 2015 773,500 112 500M Yankee Acquisition Corp., 9.75%, 2017 486,250 71 - -------------------------------------------------------------------------------------------------------------------- 3,210,610 466 - -------------------------------------------------------------------------------------------------------------------- Services--5.5% Allied Waste NA, Inc.: 200M 7.875%, 2013 203,250 29 700M 7.375%, 2014 694,750 101 600M 6.875%, 2017 583,500 85 250M Ashtead Capital, Inc., 9%, 2016 + 263,125 38 220M Hydrochem Industrial Services, Inc., 9.25%, 2013 + 227,700 33 United Rentals, Inc.: 300M 6.5%, 2012 296,250 43 500M 7%, 2014 490,000 71 1,000M Waste Services, Inc., 9.5%, 2014 1,056,250 153 - -------------------------------------------------------------------------------------------------------------------- 3,814,825 553 - -------------------------------------------------------------------------------------------------------------------- Telecommunications--.0% 950M E. Spire Communications, Inc., 13%, 2010 ++** 95 -- - -------------------------------------------------------------------------------------------------------------------- Wireless Communications--2.0% 800M Nextel Communications, Inc., 5.95%, 2014 762,993 111 600M Rogers Wireless, Inc., 6.375%, 2014 607,221 88 - -------------------------------------------------------------------------------------------------------------------- 1,370,214 199 - -------------------------------------------------------------------------------------------------------------------- Total Value of Corporate Bonds (cost $64,264,874) 62,546,245 9,072 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) HIGH YIELD FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--3.1% Consumer Staples--.7% 32,500 Sinclair Broadcasting Group, Inc. $462,150 $67 - -------------------------------------------------------------------------------------------------------------------- Food/Drug--.3% 6,400 Ingles Markets, Inc. 220,480 32 - -------------------------------------------------------------------------------------------------------------------- Media-Broadcasting--.7% 12,000 Clear Channel Communications, Inc. 453,840 66 - -------------------------------------------------------------------------------------------------------------------- Media-Cable TV--1.1% 898,613 * Adelphia Recovery Trust 92,108 13 16,740 * Time Warner Cable, Inc. - Class "A" 655,706 95 - -------------------------------------------------------------------------------------------------------------------- 747,814 108 - -------------------------------------------------------------------------------------------------------------------- Media-Diversified--.3% 1,000 * MediaNews Group, Inc. - Class "A"** 225,000 33 - -------------------------------------------------------------------------------------------------------------------- Telecommunications--.0% 690 * Viatel Holding (Bermuda), Ltd.** 8 -- 4,399 * World Access, Inc. 4 -- - -------------------------------------------------------------------------------------------------------------------- 12 -- - -------------------------------------------------------------------------------------------------------------------- Total Value of Common Stocks (cost $1,638,580) 2,109,296 306 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--1.5% $1,000M U.S. Treasury Notes, 6.125%, 2007 (cost $1,092,969) $1,001,641 $145 - -------------------------------------------------------------------------------------------------------------------- SHORT-TERM CORPORATE NOTES--2.7% 350M Chevron Funding Corp., 5.23%, 7/16/07 349,185 51 250M General Electric Capital Corp., 5.25%, 7/16/07 249,416 36 1,300M Toyota Motor Credit Corp., 5.24%, 7/6/07 1,298,863 188 - -------------------------------------------------------------------------------------------------------------------- Total Value of Short-Term Corporate Notes (cost $1,897,464) 1,897,464 275 - -------------------------------------------------------------------------------------------------------------------- Total Value of Investments (cost $68,893,887) 98.0% 67,554,646 9,798 Other Assets, Less Liabilities 2.0 1,392,806 202 - -------------------------------------------------------------------------------------------------------------------- Net Assets 100.0% $68,947,452 $10,000 ====================================================================================================================
+ Security exempt from registration under Rule 144A of the Securities Act of 1933 (see Note 5). ++ In default as to principal and/or interest payment * Non-income producing ** Security valued at fair value (see Note 1A) *** Interest rates on adjustable rate bonds are determined and reset quarterly by the indentures. The interest rates shown are the rates in effect on June 30, 2007. # Denotes a step bond (a zero coupon bond that converts to a fixed interest rate at a designated date). See notes to financial statements Fund Expenses INTERNATIONAL FUND The examples below show the ongoing costs (in dollars) of investing in your Fund and will help you in comparing these costs with costs of other mutual funds. Please refer to page 3 for a detailed explanation of the information presented in these examples.
- ---------------------------------------------------------------------------------------------- Beginning Ending Account Account Expenses Paid Value Value During Period Expense Examples (1/1/07) (6/30/07) (1/1/07-6/30/07)* - ---------------------------------------------------------------------------------------------- Actual $1,000.00 $1,102.63 $4.59 Hypothetical (5% annual return before expenses) $1,000.00 $1,020.43 $4.41 - ---------------------------------------------------------------------------------------------- * Expenses are equal to the annualized expense ratio of .88%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Portfolio Composition TOP TEN COUNTRIES (BAR CHART DATA:) United Kingdom 22.4% Switzerland 13.6% India 9.8% Spain 9.0% Japan 6.7% Australia 5.8% Mexico 5.3% Ireland 4.8% Belguim 4.1% France 3.7% Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2007, and are based on the total value of investments.
Portfolio of Investments INTERNATIONAL FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--91.3% United Kingdom--22.0% 240,973 British American Tobacco PLC $8,209,385 $577 192,597 Diageo PLC 4,007,124 282 85,910 Imperial Tobacco Group PLC 3,976,453 280 55,671 Reckitt Benckiser PLC 3,054,857 215 158,200 Rolls-Royce Group PLC 1,709,215 120 258,125 Royal Bank of Scotland Group PLC 3,278,222 230 88,700 SABMiller PLC 2,253,003 158 575,882 Tesco PLC 4,835,412 340 - -------------------------------------------------------------------------------------------------------------------- 31,323,671 2,202 - -------------------------------------------------------------------------------------------------------------------- Switzerland--13.0% 5,362 EFG International - Registered 246,750 17 41,279 Kuehne & Nagel International AG - Registered 3,799,177 267 397 Lindt & Spruengli AG 1,078,340 76 9,375 Nestle SA - Registered 3,564,581 251 3,500 Novartis AG - Registered 197,046 14 71,500 Novartis AG (ADR) 4,009,005 282 31,560 Roche Holding AG - Genusscheine 5,598,192 393 - -------------------------------------------------------------------------------------------------------------------- 18,493,091 1,300 - -------------------------------------------------------------------------------------------------------------------- Spain--8.9% 233,829 Banco Bilbao Vizcaya Argentaria SA 5,747,512 404 57,000 Banco Santander Central Hispano SA 1,053,873 74 30,400 Bolsas y Mercados Espanoles 1,783,912 125 98,792 Enagas 2,445,650 172 34,461 Red Electrica de Espana 1,618,705 114 - -------------------------------------------------------------------------------------------------------------------- 12,649,652 889 - -------------------------------------------------------------------------------------------------------------------- Japan--6.6% 107,900 Millea Holdings, Inc. 4,421,021 311 142,700 Park24 Company, Ltd. 1,432,835 101 54,700 Toyota Motor Corporation 3,454,877 243 - -------------------------------------------------------------------------------------------------------------------- 9,308,733 655 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) INTERNATIONAL FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Australia--5.7% 193,397 Aristocrat Leisure, Ltd. $2,357,800 $166 131,597 Australia & New Zealand Banking Group, Ltd. 3,236,642 227 111,558 Woolworths, Ltd. 2,555,435 180 - -------------------------------------------------------------------------------------------------------------------- 8,149,877 573 - -------------------------------------------------------------------------------------------------------------------- Mexico--5.2% 70,000 America Movil SAB de CV (ADR) - Series "L" 4,335,100 305 559,600 Grupo Modelo SA de CV - Series "C" 3,051,576 214 - -------------------------------------------------------------------------------------------------------------------- 7,386,676 519 - -------------------------------------------------------------------------------------------------------------------- Ireland--4.7% 324,328 Anglo Irish Bank Corporation PLC 6,657,914 468 - -------------------------------------------------------------------------------------------------------------------- Belgium--4.0% 8,092 Colruyt NV 1,693,829 119 50,380 InBev NV 4,002,830 282 - -------------------------------------------------------------------------------------------------------------------- 5,696,659 401 - -------------------------------------------------------------------------------------------------------------------- India--3.9% 65,000 HDFC Bank, Ltd. (ADR) 5,476,900 385 - -------------------------------------------------------------------------------------------------------------------- France--3.7% 11,790 Air Liquide SA 1,551,534 109 33,782 M6 Metropole Television 1,100,913 77 31,449 Total SA 2,559,447 180 - -------------------------------------------------------------------------------------------------------------------- 5,211,894 366 - -------------------------------------------------------------------------------------------------------------------- Brazil--3.3% 47,900 Banco Itau Holding Financeira SA (ADR) 2,128,676 149 33,800 Companhia Vale do Rio Doce (ADR) 1,505,790 106 45,200 Souza Cruz SA 1,091,512 77 - -------------------------------------------------------------------------------------------------------------------- 4,725,978 332 - -------------------------------------------------------------------------------------------------------------------- Norway--3.2% 241,500 Orkla ASA 4,579,478 322 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Shares, Invested Warrants, For Each Options $10,000 of or Rights Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- South Africa--2.1% 70,200 Massmart Holdings, Ltd. $859,084 $60 80,721 Remgro, Ltd. 2,162,251 152 - -------------------------------------------------------------------------------------------------------------------- 3,021,335 212 - -------------------------------------------------------------------------------------------------------------------- Netherlands--2.1% 65,343 TNT NV 2,950,160 207 - -------------------------------------------------------------------------------------------------------------------- Singapore--1.5% 87,800 Jardine Matheson Holdings, Ltd. 2,089,640 147 - -------------------------------------------------------------------------------------------------------------------- Taiwan--1.2% 158,991 Taiwan Semiconductor Manufacturing Company, Ltd. (ADR) 1,769,570 124 - -------------------------------------------------------------------------------------------------------------------- Sweden--.2% 20,300 Atlas Copco AB 319,722 23 - -------------------------------------------------------------------------------------------------------------------- Total Value of Common Stocks (cost $100,679,510) 129,810,950 9,125 - -------------------------------------------------------------------------------------------------------------------- WARRANTS--5.8% India 248,100 * Bharti Tele-Ventures, Ltd. (expiring 5/31/10) + 5,092,253 358 4,665 HDFC Bank, Ltd. (expiring 6/28/10) + 131,352 9 60,900 * Housing Development Finance Corp. (expiring 5/25/09) + 3,035,743 214 - -------------------------------------------------------------------------------------------------------------------- Total Value of Warrants (cost $5,508,643) 8,259,348 581 - -------------------------------------------------------------------------------------------------------------------- OPTIONS--.3% Switzerland 107 * Novartis AG - Registered (exercise price 50 CHF, expiring 12/18/09) 182,815 13 52 * Roche Holding AG - Genusscheine (exercise price 160 CHF, expiring 12/18/09) 282,614 20 - -------------------------------------------------------------------------------------------------------------------- Total Value of Options (cost $476,453) 465,429 33 - -------------------------------------------------------------------------------------------------------------------- RIGHTS--.0% Australia 275 * Westfield Group (expiring 7/6/07) (cost $0) + 107 -- - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) INTERNATIONAL FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- SHORT-TERM CORPORATE NOTES--.8% United States $1,200M General Electric Capital Corp., 5.25%, 7/10/07 (cost $1,198,250) $1,198,250 $84 - -------------------------------------------------------------------------------------------------------------------- Total Value of Investments (cost $107,862,856) 98.2% 139,734,084 9,823 Other Assets, Less Liabilities 1.8 2,524,840 177 - -------------------------------------------------------------------------------------------------------------------- Net Assets 100.0% $142,258,924 $10,000 ====================================================================================================================
* Non-income producing + Securities valued at Fair Value (see Note 1A) Summary of Abbreviations: ADR American Depositary Receipts See notes to financial statements
Sector diversification of the portfolio was as follows: - --------------------------------------------------------------------------------------------------------------- Percentage Sector of Net Assets Value - --------------------------------------------------------------------------------------------------------------- Food, Beverage & Tobacco 22.0% $31,234,804 Banks 19.5 27,711,091 Pharmaceuticals, Biotechnology & Life Sciences 7.2 10,269,672 Food & Staples Retailing 7.0 9,943,760 Diversified Financials 6.5 9,318,296 Transportation 4.7 6,749,337 Capital Goods 4.6 6,608,415 Media 4.4 6,193,166 Insurance . 3.1 4,421,021 Telecommunication Services 3.0 4,335,100 Utilities 2.9 4,064,355 Automobiles & Components 2.4 3,454,877 Materials 2.2 3,057,324 Household & Personal Products 2.2 3,054,857 Energy 1.8 2,559,447 Consumer Services 1.7 2,357,800 Semiconductors & Semiconductor Equipment 1.2 1,769,570 Commercial Services & Supply 1.0 1,432,835 Real Estate 0.0 107 Short-term Corporate Notes 0.8 1,198,250 - --------------------------------------------------------------------------------------------------------------- Total Value of Investments 98.2 139,734,084 Other Assets, Less Liabilities 1.8 2,524,840 - --------------------------------------------------------------------------------------------------------------- Net Assets 100.0% $142,258,924 =============================================================================================================== See notes to financial statements
Fund Expenses INVESTMENT GRADE FUND The examples below show the ongoing costs (in dollars) of investing in your Fund and will help you in comparing these costs with costs of other mutual funds. Please refer to page 3 for a detailed explanation of the information presented in these examples.
- ---------------------------------------------------------------------------------------------- Beginning Ending Account Account Expenses Paid Value Value During Period Expense Examples (1/1/07) (6/30/07) (1/1/07-6/30/07)* - ---------------------------------------------------------------------------------------------- Actual $1,000.00 $1,009.78 $3.59 Hypothetical (5% annual return before expenses) $1,000.00 $1,021.22 $3.61 - ---------------------------------------------------------------------------------------------- * Expenses are equal to the annualized expense ratio of .72%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses paid during the period are net of expenses waived.
Portfolio Composition TOP TEN SECTORS (BAR CHART DATA:) Financials 24.0% Industrials 11.1% Consumer Discretionary 10.4% Consumer Staples 7.1% Mortgage-Backed Securities 6.4% Materials 6.2% U.S. Government Agency Obligations 5.5% Utilities 5.0% Telecommunication Services 4.4% Energy 3.7% Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2007, and are based on the total value of investments.
Portfolio of Investments INVESTMENT GRADE FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS--76.2% Aerospace/Defense--2.1% $300M Boeing Co., 7.25%, 2025 $346,086 $94 Honeywell International, Inc.: 100M 7.5%, 2010 105,160 28 125M 6.125%, 2011 128,030 35 100M Precision Castparts Corp., 5.6%, 2013 98,760 27 100M TRW, Inc., 7.125%, 2009 101,811 27 - -------------------------------------------------------------------------------------------------------------------- 779,847 211 - -------------------------------------------------------------------------------------------------------------------- Automotive--.8% 300M Daimler Chrysler NA Holdings Corp., 5.75%, 2009 300,914 81 - -------------------------------------------------------------------------------------------------------------------- Chemicals--3.6% 300M Air Products & Chemicals, Inc., 4.125%, 2010 287,715 78 300M Cabot Corp., 5.25%, 2013 + 289,146 78 500M DuPont (E.I.) de Nemours & Co., 5.6%, 2036 454,915 123 300M Praxair, Inc., 5.375%, 2016 292,048 79 - -------------------------------------------------------------------------------------------------------------------- 1,323,824 358 - -------------------------------------------------------------------------------------------------------------------- Consumer Durables--.9% 350M Black & Decker Corp., 5.75%, 2016 339,996 92 - -------------------------------------------------------------------------------------------------------------------- Consumer Non-Durables--1.8% 200M Colgate-Palmolive Co., 5.98%, 2012 204,582 55 300M Newell Rubbermaid, Inc., 6.75%, 2012 312,094 84 150M Procter & Gamble Co., 4.85%, 2015 142,802 39 - -------------------------------------------------------------------------------------------------------------------- 659,478 178 - -------------------------------------------------------------------------------------------------------------------- Energy--3.7% 300M Anadarko Petroleum Corp., 5.95%, 2016 293,438 79 150M Kinder Morgan Finance Co., 5.35%, 2011 146,847 40 300M Nexen, Inc., 5.05%, 2013 285,980 77 300M Northern Border Pipeline Co., 7.1%, 2011 313,730 85 325M Phillips Petroleum Co., 7.125%, 2028 330,149 89 - -------------------------------------------------------------------------------------------------------------------- 1,370,144 370 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) INVESTMENT GRADE FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Financials--6.9% $125M American General Finance Corp., 8.125%, 2009 $131,679 $36 100M Caterpillar Financial Services Corp., 4.6%, 2014 94,153 25 ERAC USA Finance Enterprise Co.: 100M 7.35%, 2008 + 101,391 27 355M 8%, 2011 + 379,151 103 252M Ford Motor Credit Co., 9.75%, 2010 263,314 71 General Electric Capital Corp.: 144M 8.5%, 2008 148,069 40 400M 5.45%, 2013 396,295 107 375M General Motors Acceptance Corp., 7.75%, 2010 379,841 103 175M Health Care Property Investors, Inc., 6%, 2017 171,644 46 200M Household Finance Corp., 6.5%, 2008 202,874 55 300M International Lease Finance Corp., 5.625%, 2013 299,718 81 - -------------------------------------------------------------------------------------------------------------------- 2,568,129 694 - -------------------------------------------------------------------------------------------------------------------- Financial Services--13.8% 300M Bank of America Corp., 7.4%, 2011 317,857 86 300M Citigroup, Inc., 6%, 2033 289,781 78 300M Endurance Specialty Holdings, Ltd., 7%, 2034 293,746 79 250M First Union National Bank, 7.8%, 2010 265,554 72 300M Fleet Capital Trust II, 7.92%, 2026 311,724 84 90M GATX Financial Corp., 5.5%, 2012 87,735 24 300M Goldman Sachs Group, Inc., 6.45%, 2036 295,526 80 300M Hibernia Corp., 5.35%, 2014 284,668 77 360M Independence Community Bank Corp., 4.9%, 2010 352,490 95 300M JPMorgan Chase & Co., 5.25%, 2015 289,495 78 300M Lehman Brothers Holdings, Inc., 5.75%, 2011 300,284 81 375M MetLife, Inc., 6.4%, 2036 348,480 94 100M National City Bank of Pennsylvania, 7.25%, 2011 106,234 29 350M Nationsbank Corp., 7.8%, 2016 396,302 107 384M Republic NY Corp., 7.75%, 2009 398,993 108 400M Royal Bank of Scotland Group PLC, 5%, 2014 383,188 104 400M Washington Mutual Bank, 5.95%, 2013 399,827 108 - -------------------------------------------------------------------------------------------------------------------- 5,121,884 1,384 - -------------------------------------------------------------------------------------------------------------------- Food/Beverage/Tobacco--4.6% 440M Altria Group, Inc., 7%, 2013 467,282 126 190M Bottling Group, LLC , 5%, 2013 183,583 50 350M Bunge Limited Finance Corp., 5.875%, 2013 344,431 93 150M Coca-Cola Enterprises, Inc., 7.125%, 2017 164,094 44 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Food/Beverage/Tobacco (continued) $150M ConAgra Foods, Inc., 6.75%, 2011 $155,928 $42 200M Pepsi Bottling Group, Inc., 7%, 2029 220,302 60 175M UST, Inc., 7.25%, 2009 180,139 49 - -------------------------------------------------------------------------------------------------------------------- 1,715,759 464 - -------------------------------------------------------------------------------------------------------------------- Food/Drug--1.4% 300M Kroger Co., 6.75%, 2012 310,133 84 200M Safeway, Inc., 6.5%, 2011 205,261 55 - -------------------------------------------------------------------------------------------------------------------- 515,394 139 - -------------------------------------------------------------------------------------------------------------------- Forest Products/Containers--.7% 275M Sappi Papier Holding AG, 6.75%, 2012 + 272,040 74 - -------------------------------------------------------------------------------------------------------------------- Gaming/Leisure--1.6% 175M Hilton Hotels Corp., 7.2%, 2009 180,687 49 300M International Speedway Corp., 4.2%, 2009 292,682 79 125M MGM Mirage, Inc., 8.5%, 2010 131,406 35 - -------------------------------------------------------------------------------------------------------------------- 604,775 163 - -------------------------------------------------------------------------------------------------------------------- Health Care--3.7% 300M Abbott Laboratories, 5.875%, 2016 300,590 81 100M Baxter International, Inc., 5.9%, 2016 100,166 27 200M Becton, Dickinson & Co., 7.15%, 2009 207,179 56 350M Fisher Scientific International, Inc., 6.75%, 2014 351,591 95 200M Tenet Healthcare Corp., 6.375%, 2011 183,750 50 200M Wyeth, 6.95%, 2011 209,475 57 - -------------------------------------------------------------------------------------------------------------------- 1,352,751 366 - -------------------------------------------------------------------------------------------------------------------- Housing--.7% 250M D.R. Horton, Inc., 8%, 2009 257,117 70 - -------------------------------------------------------------------------------------------------------------------- Information Technology--2.7% 405M International Business Machines Corp., 7%, 2025 448,878 121 300M Oracle Corp., 5.25%, 2016 288,140 78 250M Xerox Corp., 6.875%, 2011 259,620 70 - -------------------------------------------------------------------------------------------------------------------- 996,638 269 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) INVESTMENT GRADE FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Manufacturing--4.2% $250M Briggs & Stratton Corp., 8.875%, 2011 $267,218 $72 300M Caterpillar, Inc., 6.05%, 2036 296,135 80 300M Crane Co., 6.55%, 2036 290,301 78 123M Hanson Australia Funding, Ltd., 5.25%, 2013 120,388 32 100M Hanson PLC, 7.875%, 2010 106,818 29 125M Ingersoll-Rand Co., 9%, 2021 154,160 42 United Technologies Corp.: 100M 6.5%, 2009 101,997 28 200M 7.125%, 2010 210,615 57 - -------------------------------------------------------------------------------------------------------------------- 1,547,632 418 - -------------------------------------------------------------------------------------------------------------------- Media-Broadcasting--2.3% 250M Comcast Cable Communications, Inc., 7.125%, 2013 265,285 72 300M Cox Communications, Inc., 4.625%, 2013 281,335 76 300M PanAmSat Corp., 6.375%, 2008 300,750 81 - -------------------------------------------------------------------------------------------------------------------- 847,370 229 - -------------------------------------------------------------------------------------------------------------------- Media-Diversified--2.8% 225M AOL Time Warner, Inc., 6.875%, 2012 234,976 64 200M News America, Inc., 5.3%, 2014 193,494 52 Viacom, Inc.: 200M 5.75%, 2011 199,880 54 75M 8.875%, 2014 84,027 23 300M Walt Disney Co., 5.7%, 2011 302,943 82 - -------------------------------------------------------------------------------------------------------------------- 1,015,320 275 - -------------------------------------------------------------------------------------------------------------------- Metals/Mining--1.2% 200M Alcoa, Inc., 6%, 2012 200,662 54 250M Vale Overseas, Ltd., 6.25%, 2017 249,205 68 - -------------------------------------------------------------------------------------------------------------------- 449,867 122 - -------------------------------------------------------------------------------------------------------------------- Real Estate Investment Trusts--2.9% 142M Archstone-Smith Trust, 7.9%, 2016 157,103 42 270M AvalonBay Communities, Inc., 7.5%, 2010 286,607 78 185M Duke Weeks Realty Corp., 7.75%, 2009 194,155 53 400M Mack-Cali Realty LP, 7.75%, 2011 425,909 115 - -------------------------------------------------------------------------------------------------------------------- 1,063,774 288 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Retail-General Merchandise--.3% $100M Lowe's Cos., Inc., 8.25%, 2010 $107,409 $29 - -------------------------------------------------------------------------------------------------------------------- Telecommunications--4.4% 300M Deutsche Telekom AG, 8%, 2010 319,967 87 250M GTE Corp., 6.84%, 2018 263,214 71 300M SBC Communications, Inc., 6.25%, 2011 306,747 83 250M Sprint Capital Corp., 6.375%, 2009 253,180 68 200M Verizon New York, Inc., 6.875%, 2012 208,731 56 250M Vodafone AirTouch PLC, 7.75%, 2010 262,756 71 - -------------------------------------------------------------------------------------------------------------------- 1,614,595 436 - -------------------------------------------------------------------------------------------------------------------- Transportation--3.0% 300M Burlington Northern Santa Fe Corp., 4.3%, 2013 277,568 75 300M Canadian National Railway Co., 6.25%, 2034 298,508 81 100M FedEx Corp., 5.5%, 2009 100,136 27 100M Norfolk Southern Corp., 7.7%, 2017 110,330 30 300M Union Pacific Corp., 7.375%, 2009 313,213 84 - -------------------------------------------------------------------------------------------------------------------- 1,099,755 297 - -------------------------------------------------------------------------------------------------------------------- Utilities--5.0% 150M Carolina Power & Light, Inc., 5.15%, 2015 144,066 39 250M Dominion Resources, Inc., 5%, 2013 240,630 65 400M Entergy Gulf States, Inc., 5.25%, 2015 373,164 101 250M Florida Power & Light Co., 5.85%, 2033 242,952 65 250M Great River Energy Co., 5.829%, 2017 + 250,992 68 75M Jersey Central Power & Light Co., 5.625%, 2016 73,038 20 100M OGE Energy Corp., 5%, 2014 93,209 25 305M Public Service Electric & Gas Co., 6.75%, 2016 325,047 88 100M South Carolina Electric & Gas Co., 6.7%, 2011 103,921 28 - -------------------------------------------------------------------------------------------------------------------- 1,847,019 499 - -------------------------------------------------------------------------------------------------------------------- Waste Management--1.1% 100M Allied Waste NA, Inc., 5.75%, 2011 95,625 26 300M Waste Management, Inc., 6.875%, 2009 306,950 83 - -------------------------------------------------------------------------------------------------------------------- 402,575 109 - -------------------------------------------------------------------------------------------------------------------- Total Value of Corporate Bonds (cost $28,512,714) 28,174,006 7,615 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) INVESTMENT GRADE FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED CERTIFICATES--6.3% Fannie Mae: $905M 5%, 12/1/2036 $848,408 $229 591M 5%, 1/1/2037 554,155 150 964M 5.5%, 1/1/2037 929,962 251 - -------------------------------------------------------------------------------------------------------------------- Total Value of Mortgage-Backed Certificates (cost $2,400,500) 2,332,525 630 - -------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--5.4% 271M FDA Queens LP, 6.99%, 2017 + 288,099 78 U.S. Treasury Notes: 800M 4.875%, 2009 799,188 216 275M 4.625%, 2011 271,670 73 340M 4.875%, 2016 335,936 91 300M 5.125%, 2016 301,781 82 - -------------------------------------------------------------------------------------------------------------------- Total Value of U.S. Government Obligations (cost $2,015,106) 1,996,674 540 - -------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS--3.1% Fannie Mae: 375M 5.25%, 2010 374,249 101 400M 6%, 2016 396,850 108 375M Federal Home Loan Bank, 5.815%, 2013 374,176 101 - -------------------------------------------------------------------------------------------------------------------- Total Value of U.S. Government Agency Obligations (cost $1,149,832) 1,145,275 310 - -------------------------------------------------------------------------------------------------------------------- PASS THROUGH CERTIFICATES--1.2% 58M American Airlines, Inc., 7.377%, 2019 55,672 15 161M Continental Airlines, Inc., 8.388%, 2020 166,721 45 202M FedEx Corp., 7.5%, 2018 219,922 60 - -------------------------------------------------------------------------------------------------------------------- Total Value of Pass Through Certificates (cost $439,879) 442,315 120 - -------------------------------------------------------------------------------------------------------------------- MUNICIPAL BONDS--.7% 250M Tobacco Settlement Fin. Auth., West Virginia - Series "A", 7.467%, 2047 (Cost $250,000) 254,110 69 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- SHORT-TERM CORPORATE NOTES--5.9% $600M American General Finance Corp., 5.29%, 7/11/07 $599,030 $162 850M Paccar Financial Corp., 5.23%, 7/31/07 846,171 229 750M Toyota Motor Credit Corp., 5.24%, 7/6/07 749,344 202 - -------------------------------------------------------------------------------------------------------------------- Total Value of Short-Term Corporate Notes (cost $2,194,545) 2,194,545 593 - -------------------------------------------------------------------------------------------------------------------- Total Value of Investments (cost $36,962,576) 98.8% 36,539,450 9,877 Other Assets, Less Liabilities 1.2 456,347 123 - -------------------------------------------------------------------------------------------------------------------- Net Assets 100.0% $36,995,797 $10,000 ====================================================================================================================
+ Security exempt from registration under Rule 144A of the Securities Act of 1933 (see Note 5). See notes to financial statements Fund Expenses SELECT GROWTH FUND The examples below show the ongoing costs (in dollars) of investing in your Fund and will help you in comparing these costs with costs of other mutual funds. Please refer to page 3 for a detailed explanation of the information presented in these examples.
- ---------------------------------------------------------------------------------------------- Beginning Ending Account Account Expenses Paid Value Value During Period Expense Examples (1/1/07) (6/30/07) (1/1/07-6/30/07)* - ---------------------------------------------------------------------------------------------- Actual $1,000.00 $1,073.72 $4.68 Hypothetical (5% annual return before expenses) $1,000.00 $1,020.28 $4.56 - ---------------------------------------------------------------------------------------------- * Expenses are equal to the annualized expense ratio of .91%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Portfolio Composition TOP SECTORS (BAR CHART DATA:) Information Technology 22.6% Financials 17.3% Health Care 15.0% Industrials 12.7% Energy 12.7% Consumer Staples 6.5% Consumer Discretionary 6.4% Utilities 2.2% Materials 1.8% Telecommunication Services 1.7% Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2007, and are based on the total value of investments.
Portfolio of Investments SELECT GROWTH FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--98.9% Consumer Discretionary--6.4% 4,585 CBS Corporation - Class "B" $152,772 $126 3,565 Macy's, Inc. 141,816 117 8,990 Staples, Inc. 213,333 176 6,390 * Viacom, Inc. - Class "B" 266,016 220 - -------------------------------------------------------------------------------------------------------------------- 773,937 639 - -------------------------------------------------------------------------------------------------------------------- Consumer Staples--6.5% 2,555 Altria Group, Inc. 179,208 148 4,250 PepsiCo, Inc. 275,613 228 2,600 Procter & Gamble Company 159,094 131 3,585 Wal-Mart Stores, Inc. 172,474 142 - -------------------------------------------------------------------------------------------------------------------- 786,389 649 - -------------------------------------------------------------------------------------------------------------------- Energy--12.7% 3,200 Apache Corporation 261,088 215 5,290 ConocoPhillips 415,265 343 4,725 GlobalSantaFe Corporation 341,381 282 7,290 Halliburton Company 251,505 208 8,500 Williams Companies, Inc. 268,770 222 - -------------------------------------------------------------------------------------------------------------------- 1,538,009 1,270 - -------------------------------------------------------------------------------------------------------------------- Financials--17.3% 5,210 ACE, Ltd. 325,729 269 7,200 Bank of America Corporation 352,008 291 7,055 Citigroup, Inc. 361,851 299 3,340 Merrill Lynch & Company, Inc. 279,157 230 3,230 PNC Financial Services Group, Inc. 231,203 191 4,280 State Street Corporation 292,752 242 4,170 UBS AG - Registered 250,242 206 - -------------------------------------------------------------------------------------------------------------------- 2,092,942 1,728 - -------------------------------------------------------------------------------------------------------------------- Health Care--15.0% 3,230 Abbott Laboratories 172,966 143 1,600 * Amgen, Inc. 88,464 73 4,010 Eli Lilly & Company 224,079 185 2,770 * Genentech, Inc. 209,578 173 5,280 Medtronic, Inc. 273,821 226 8,445 Schering-Plough Corporation 257,066 212 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) SELECT GROWTH FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Health Care (continued) 6,400 Teva Pharmaceutical Industries, Ltd. (ADR) $264,000 $218 4,180 * WellPoint, Inc. 333,689 276 - -------------------------------------------------------------------------------------------------------------------- 1,823,663 1,506 - -------------------------------------------------------------------------------------------------------------------- Industrials--12.7% 2,555 Boeing Company 245,689 203 3,020 Caterpillar, Inc. 236,466 195 2,900 Dover Corporation 148,335 123 3,455 General Dynamics Corporation 270,250 223 10,200 General Electric Company 390,456 322 3,440 United Technologies Corporation 243,999 201 - -------------------------------------------------------------------------------------------------------------------- 1,535,195 1,267 - -------------------------------------------------------------------------------------------------------------------- Information Technology--22.6% 6,100 Accenture, Ltd. - Class "A" 261,629 216 5,580 * Adobe Systems, Inc. 224,037 185 8,600 * Cisco Systems, Inc. 239,510 198 9,340 * Corning, Inc. 238,637 197 13,220 * EMC Corporation 239,282 198 555 * Google, Inc. - Class "A" 290,476 240 3,065 Hewlett-Packard Company 136,760 113 3,800 * Lam Research Corporation 195,320 161 7,175 Maxim Integrated Products, Inc. 239,717 198 7,920 Microsoft Corporation 233,402 193 2,935 QUALCOMM, Inc. 127,350 105 1,570 * Research in Motion, Ltd. 313,984 259 - -------------------------------------------------------------------------------------------------------------------- 2,740,104 2,263 - -------------------------------------------------------------------------------------------------------------------- Materials--1.8% 4,885 Companhia Vale do Rio Doce (ADR) 217,627 180 - -------------------------------------------------------------------------------------------------------------------- Telecommunication Services--1.7% 4,900 AT&T, Inc. 203,350 168 - -------------------------------------------------------------------------------------------------------------------- Utilities--2.2% 3,060 Dominion Resources, Inc. 264,109 218 - -------------------------------------------------------------------------------------------------------------------- Total Value of Common Stocks (cost $9,863,199) 11,975,325 9,888 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- REPURCHASE AGREEMENT--1.1% $132M UBS Securities, 4.4%, dated 6/29/07, to be repurchased at $132,048 on 7/2/07 (collateralized by U.S. Treasury Bonds, 8.125%, 8/15/21, valued at $137,239) (cost $132,000) $132,000 $109 - -------------------------------------------------------------------------------------------------------------------- Total Value of Investments (cost $9,995,199) 100.0% 12,107,325 9,997 Other Assets, Less Liabilities .0 3,510 3 - -------------------------------------------------------------------------------------------------------------------- Net Assets 100.0% $12,110,835 $10,000 ====================================================================================================================
* Non-income producing Summary of Abbreviations: ADR American Depositary Receipts See notes to financial statements Fund Expenses TARGET MATURITY 2007 FUND The examples below show the ongoing costs (in dollars) of investing in your Fund and will help you in comparing these costs with costs of other mutual funds. Please refer to page 3 for a detailed explanation of the information presented in these examples.
- ---------------------------------------------------------------------------------------------- Beginning Ending Account Account Expenses Paid Value Value During Period Expense Examples (1/1/07) (6/30/07) (1/1/07-6/30/07)* - ---------------------------------------------------------------------------------------------- Actual $1,000.00 $1,022.08 $3.86 Hypothetical (5% annual return before expenses) $1,000.00 $1,020.97 $3.86 - ---------------------------------------------------------------------------------------------- * Expenses are equal to the annualized expense ratio of .77%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses paid during the period are net of expenses waived.
Portfolio Composition BY SECTOR (BAR CHART DATA:) U.S. Government Agency Zero-Coupon Obligations 68.4% U.S. Government Zero-Coupon Obligations 31.6% Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2007, and are based on the total value of investments.
Portfolio of Investments TARGET MATURITY 2007 FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal Effective $10,000 of Amount Security Yield+ Value Net Assets - -------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY ZERO COUPON OBLIGATIONS--68.2% Agency For International Development - Israel: $913M 8/15/2007 4.40% $907,893 $558 750M 11/15/2007 4.75 736,771 452 3,104M Government Trust Certificate - Israel Trust, 11/15/07 4.78 3,048,994 1,873 586M International Bank for Reconstruction & Development, 8/15/2007 4.71 582,493 358 4,116M Resolution Funding Corporation, 10/15/07 4.61 4,060,932 2,494 1,800M Tennessee Valley Authority, 11/1/2007 4.80 1,771,211 1,088 - -------------------------------------------------------------------------------------------------------------------- Total Value of U.S. Government Agency Zero Coupon Obligations (cost $11,038,077) 11,108,294 6,823 - -------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT ZERO COUPON OBLIGATIONS--31.5% 5,210M U.S. Treasury Strips, 11/15/2007 (cost $5,078,871) 4.58 5,121,451 3,145 - -------------------------------------------------------------------------------------------------------------------- Total Value of Investments (cost $16,116,948) 99.7% 16,229,745 9,968 Other Assets, Less Liabilities .3 51,923 32 - -------------------------------------------------------------------------------------------------------------------- Net Assets 100.0% $16,281,668 $10,000 ====================================================================================================================
+ The effective yields shown for the zero coupon obligations are the effective yields at June 30, 2007. See notes to financial statements Fund Expenses TARGET MATURITY 2010 FUND The examples below show the ongoing costs (in dollars) of investing in your Fund and will help you in comparing these costs with costs of other mutual funds. Please refer to page 3 for a detailed explanation of the information presented in these examples.
- ---------------------------------------------------------------------------------------------- Beginning Ending Account Account Expenses Paid Value Value During Period Expense Examples (1/1/07) (6/30/07) (1/1/07-6/30/07)* - ---------------------------------------------------------------------------------------------- Actual $1,000.00 $1,013.53 $3.74 Hypothetical (5% annual return before expenses) $1,000.00 $1,021.07 $3.76 - ---------------------------------------------------------------------------------------------- * Expenses are equal to the annualized expense ratio of .75, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses paid during the period are net of expenses waived.
Portfolio Composition BY SECTOR (BAR CHART DATA:) U.S. Government Agency Zero-Coupon Obligations 61.8% U.S. Government Zero-Coupon Obligations 38.2% Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2007, and are based on the total value of investments.
Portfolio of Investments TARGET MATURITY 2010 FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal Effective $10,000 of Amount Security Yield+ Value Net Assets - -------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY ZERO COUPON OBLIGATIONS--62.0% Agency For International Development - Israel: $1,303M 8/15/2010 5.00% $1,116,496 $849 495M 9/15/2010 5.00 422,443 321 Fannie Mae: 1,260M 8/7/2010 5.12 1,076,995 818 700M 10/8/2010 5.11 593,444 451 1,100M Freddie Mac, 9/15/2010 5.12 935,319 711 200M Government Trust Certificate - Israel Trust, 11/15/2010 5.04 169,077 128 1,700M Government Trust Certificate - Turkey Trust, 11/15/2010 5.04 1,437,151 1,092 1,600M Resolution Funding Corporation, 1/15/11 4.91 1,347,184 1,024 1,250M Tennessee Valley Authority, 11/1/2010 5.07 1,057,535 804 - -------------------------------------------------------------------------------------------------------------------- Total Value of U.S. Government Agency Zero Coupon Obligations (cost $7,709,444) 8,155,644 6,198 - -------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT ZERO COUPON OBLIGATIONS--38.4% 5,930M U.S. Treasury Strips, 11/15/2010 (cost $4,757,775) 4.81 5,050,783 3,839 - -------------------------------------------------------------------------------------------------------------------- Total Value of Investments (cost $12,467,219) 100.4% 13,206,427 10,037 Excess of Liabilities Over Other Assets (.4) (48,504) (37) - -------------------------------------------------------------------------------------------------------------------- Net Assets 100.0% $13,157,923 $10,000 ====================================================================================================================
+ The effective yields shown for the zero coupon obligations are the effective yields at June 30, 2007. See notes to financial statements Fund Expenses TARGET MATURITY 2015 FUND The examples below show the ongoing costs (in dollars) of investing in your Fund and will help you in comparing these costs with costs of other mutual funds. Please refer to page 3 for a detailed explanation of the information presented in these examples.
- ---------------------------------------------------------------------------------------------- Beginning Ending Account Account Expenses Paid Value Value During Period Expense Examples (1/1/07) (6/30/07) (1/1/07-6/30/07)* - ---------------------------------------------------------------------------------------------- Actual $1,000.00 $992.73 $3.46 Hypothetical (5% annual return before expenses) $1,000.00 $1,021.32 $3.51 - ---------------------------------------------------------------------------------------------- * Expenses are equal to the annualized expense ratio of .70%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses paid during the period are net of expenses waived.
Portfolio Composition BY SECTOR (BAR CHART DATA:) U.S. Government Agency Zero-Coupon Obligations 50.9% U.S. Government Zero-Coupon Obligations 49.1% Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2007, and are based on the total value of investments.
Portfolio of Investments TARGET MATURITY 2015 FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal Effective $10,000 of Amount Security Yield+ Value Net Assets - -------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY ZERO COUPON OBLIGATIONS--50.7% Agency For International Development - Israel: $698M 9/15/2015 5.27% $455,446 $193 2,784M 11/15/2015 5.28 1,798,879 763 300M 3/15/2016 5.28 190,601 81 Fannie Mae: 243M 8/12/2015 5.37 158,100 67 600M 9/23/2015 5.43 386,081 164 4,643M 11/15/2015 5.39 2,974,928 1,261 650M Federal Judiciary Office Building, 2/15/2015 5.26 437,303 185 Freddie Mac: 550M 3/15/2015 5.36 365,671 155 1,760M 9/15/2015 5.37 1,138,906 483 625M 1/15/2016 5.38 397,143 168 210M Government Trust Certificate - Turkey Trust, 5/15/2015 5.34 138,617 59 200M International Bank for Reconstruction & Development, 2/15/2015 5.57 131,496 56 Resolution Funding Corporation: 2,927M 10/15/2015 5.22 1,908,375 809 320M 1/15/2016 5.23 205,874 87 2,000M Tennessee Valley Authority, 11/1/2015 5.37 1,285,302 545 - -------------------------------------------------------------------------------------------------------------------- Total Value of U.S. Government Agency Zero Coupon Obligations (cost $11,790,909) 11,972,722 5,076 - -------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT ZERO COUPON OBLIGATIONS--48.9% 17,575M U.S. Treasury Strips, 11/15/2015 (cost $11,388,897) 5.10 11,530,395 4,888 - -------------------------------------------------------------------------------------------------------------------- Total Value of Investments (cost $23,179,806) 99.6% 23,503,117 9,964 Other Assets, Less Liabilities .4 84,362 36 - -------------------------------------------------------------------------------------------------------------------- Net Assets 100.0% $23,587,479 $10,000 ====================================================================================================================
+ The effective yields shown for the zero coupon obligations are the effective yields at June 30, 2007. See notes to financial statements Fund Expenses VALUE FUND The examples below show the ongoing costs (in dollars) of investing in your Fund and will help you in comparing these costs with costs of other mutual funds. Please refer to page 3 for a detailed explanation of the information presented in these examples.
- ---------------------------------------------------------------------------------------------- Beginning Ending Account Account Expenses Paid Value Value During Period Expense Examples (1/1/07) (6/30/07) (1/1/07-6/30/07)* - ---------------------------------------------------------------------------------------------- Actual $1,000.00 $1,070.15 $4.26 Hypothetical (5% annual return before expenses) $1,000.00 $1,020.67 $4.16 - ---------------------------------------------------------------------------------------------- * Expenses are equal to the annualized expense ratio of .83%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Portfolio Composition TOP TEN SECTORS (BAR CHART DATA:) Financials 26.3% Consumer Discretionary 16.6% Consumer Staples 10.5% Industrials 8.8% Materials 8.2% Energy 8.1% Information Technology 6.0% Health Care 5.0% Telecommunication Services 4.6% Utilities 4.4% Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2007, and are based on the total value of investments.
Portfolio of Investments VALUE FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--97.1% Consumer Discretionary--16.6% 2,500 Autoliv, Inc. $142,175 $14 13,300 Bob Evans Farms, Inc. 490,105 49 11,100 Carnival Corporation 541,347 54 8,700 CBS Corporation - Class "B" 289,884 29 16,200 * Cinemark Holdings, Inc. 289,818 29 2,365 Citadel Broadcasting Corporation 15,254 2 23,500 Clear Channel Communications, Inc. 888,770 89 41,700 Dollar General Corporation 914,064 91 25,900 Family Dollar Stores, Inc. 888,888 89 7,300 Gannett Company, Inc. 401,135 40 10,900 Genuine Parts Company 540,640 54 14,000 H&R Block, Inc. 327,180 33 4,625 * Hanesbrands, Inc. 125,014 12 19,200 Haverty Furniture Companies, Inc. 224,064 22 19,400 Home Depot, Inc. 763,390 76 6,100 J.C. Penney Company, Inc. 441,518 44 13,100 Jones Apparel Group, Inc. 370,075 37 13,600 Kenneth Cole Productions, Inc. - Class "A" 335,920 34 23,600 Lee Enterprises, Inc. 492,296 49 26,700 Leggett & Platt, Inc. 588,735 59 7,200 Liz Claiborne, Inc. 268,560 27 3,800 Magna International, Inc. - Class "A" 345,762 34 16,900 Marine Products Corporation 139,087 14 23,400 McDonald's Corporation 1,187,784 118 25,700 Modine Manufacturing Company 580,820 58 22,300 New York Times Company - Class "A" 566,420 56 11,000 Newell Rubbermaid, Inc. 323,730 32 24,800 Pearson PLC (ADR) 417,632 42 26,900 Talbots, Inc. 673,307 67 13,500 Tiffany & Company 716,310 71 34,500 Time Warner, Inc. 725,880 72 8,119 Tribune Company 238,699 24 30,800 Walt Disney Company 1,051,512 105 7,880 * Wyndham Worldwide Corporation 285,729 29 - -------------------------------------------------------------------------------------------------------------------- 16,591,504 1,655 - -------------------------------------------------------------------------------------------------------------------- Consumer Staples--10.5% 20,200 Anheuser-Busch Companies, Inc. 1,053,632 105 17,600 Avon Products, Inc. 646,800 64 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) VALUE FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Consumer Staples (continued) 15,000 B&G Foods, Inc. - Class "A" $198,000 $20 20,100 Coca-Cola Company 1,051,431 105 13,400 ConAgra Foods, Inc. 359,924 36 8,295 Del Monte Foods Company 100,867 10 10,200 Diageo PLC (ADR) 849,762 85 7,900 Estee Lauder Companies, Inc. - Class "A" 359,529 36 9,600 Fomento Economico Mexicano SA de CV (ADR) 377,472 38 12,100 H.J. Heinz Company 574,387 57 10,600 Kimberly-Clark Corporation 709,034 71 30,300 Kraft Foods, Inc. - Class "A" 1,068,075 107 4,600 Pepsi Bottling Group, Inc. 154,928 15 13,600 Ruddick Corporation 409,632 41 37,000 Sara Lee Corporation 643,800 64 14,200 Tasty Baking Company 148,532 15 27,300 Topps Company, Inc. 286,923 29 9,000 UST, Inc. 483,390 48 21,000 Wal-Mart Stores, Inc. 1,010,310 101 - -------------------------------------------------------------------------------------------------------------------- 10,486,428 1,047 - -------------------------------------------------------------------------------------------------------------------- Energy--8.1% 12,900 Anadarko Petroleum Corporation 670,671 67 10,700 BP PLC (ADR) 771,898 77 15,312 Chevron Corporation 1,289,883 129 12,800 ConocoPhillips 1,004,800 100 8,300 Diamond Offshore Drilling, Inc. 842,948 84 1,900 Hess Corporation 112,024 11 23,400 Marathon Oil Corporation 1,403,064 140 12,700 Royal Dutch Shell PLC - Class "A" (ADR) 1,031,240 103 13,900 Tidewater, Inc. 985,232 98 - -------------------------------------------------------------------------------------------------------------------- 8,111,760 809 - -------------------------------------------------------------------------------------------------------------------- Financials--25.6% 10,300 A.G. Edwards, Inc. 870,865 87 4,400 ACE, Ltd. 275,088 27 4,100 Allstate Corporation 252,191 25 7,000 American International Group, Inc. 490,210 49 15,200 Aon Corporation 647,672 65 24,700 Aspen Insurance Holdings, Ltd. 693,329 69 8,800 Assured Guaranty, Ltd. 260,128 26 37,800 Bank Mutual Corporation 435,834 43 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Financials (continued) 21,655 Bank of America Corporation $1,058,713 $106 25,200 Bank of New York Company, Inc. 1,044,288 104 34,462 Brookfield Asset Management, Inc. - Class "A" 1,375,034 137 20,800 Brookline Bancorp, Inc. 239,408 24 6,094 Capital One Financial Corporation 478,013 48 9,622 Chubb Corporation 520,935 52 12,422 Cincinnati Financial Corporation 539,115 54 17,900 Citigroup, Inc. 918,091 92 9,900 Comerica, Inc. 588,753 59 34,100 Eagle Hospitality Properties Trust, Inc. (REIT) 448,756 45 6,300 EMC Insurance Group, Inc. 156,366 16 10,100 Erie Indemnity Company - Class "A" 545,804 54 5,200 FBL Financial Group, Inc. - Class "A" 204,464 20 12,900 First Potomac Realty Trust (REIT) 300,441 30 21,700 Hudson City Bancorp, Inc. 265,174 26 24,800 Invesco PLC (ADR) 641,080 64 6,000 IPC Holdings, Ltd. 193,740 19 22,900 JPMorgan Chase & Company 1,109,505 111 13,300 KeyCorp 456,589 46 10,632 Lincoln National Corporation 754,340 75 10,100 Merrill Lynch & Company, Inc. 844,158 84 12,900 Morgan Stanley 1,082,052 108 29,800 NewAlliance Bancshares, Inc. 438,656 44 7,700 One Liberty Properties, Inc. (REIT) 175,252 17 16,300 People's United Financial, Inc. 288,999 29 13,800 Plum Creek Timber Company, Inc. (REIT) 574,908 57 7,500 PMI Group, Inc. 335,025 33 8,700 PNC Financial Services Group, Inc. 622,746 62 17,600 Progressive Corporation 421,168 42 12,000 Protective Life Corporation 573,720 57 25,328 Regions Financial Corporation 838,357 84 4,700 St. Joe Company 217,798 22 9,582 State Street Corporation 655,409 65 8,600 SunTrust Banks, Inc. 737,364 74 24,200 U-Store-It Trust (REIT) 396,638 40 6,800 Wachovia Corporation 348,500 35 14,000 Waddell & Reed Financial, Inc. - Class "A" 364,140 36 2,000 Washington Mutual, Inc. 85,280 8 20,300 Wells Fargo & Company 713,951 71 17,800 Westfield Financial, Inc. 177,466 18 - -------------------------------------------------------------------------------------------------------------------- 25,655,513 2,559 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) VALUE FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Health Care--5.0% 17,700 Abbott Laboratories $947,835 $94 10,300 Biomet, Inc. 470,916 47 11,600 GlaxoSmithKline PLC (ADR) 607,492 61 16,800 Johnson & Johnson 1,035,216 103 7,500 Novartis AG (ADR) 420,525 42 38,300 Pfizer, Inc. 979,331 98 18,900 Schering-Plough Corporation 575,316 57 - -------------------------------------------------------------------------------------------------------------------- 5,036,631 502 - -------------------------------------------------------------------------------------------------------------------- Industrials--8.7% 6,000 3M Company 520,740 52 900 Alexander & Baldwin, Inc. 47,799 5 7,200 Avery Dennison Corporation 478,656 48 2,940 * Avis Budget Group, Inc. 83,584 8 13,100 Dover Corporation 670,065 67 19,800 Federal Signal Corporation 314,028 31 9,500 General Dynamics Corporation 743,090 74 15,800 Honeywell International, Inc. 889,224 89 4,200 Hubbell, Inc. - Class "B" 227,724 23 5,000 Illinois Tool Works, Inc. 270,950 27 7,100 Lawson Products, Inc. 274,770 27 19,800 Masco Corporation 563,706 56 9,500 Norfolk Southern Corporation 499,415 50 13,800 Pitney Bowes, Inc. 646,116 64 3,200 SPX Corporation 280,992 28 24,500 Tyco International, Ltd. 827,855 83 10,600 United Parcel Service, Inc. - Class "B" 773,800 77 31,400 Werner Enterprises, Inc. 632,710 63 - -------------------------------------------------------------------------------------------------------------------- 8,745,224 872 - -------------------------------------------------------------------------------------------------------------------- Information Technology--6.0% 25,600 * Agile Software Corporation 206,336 21 12,000 Automatic Data Processing, Inc. 581,640 58 11,200 AVX Corporation 187,488 19 7,600 Bel Fuse, Inc. - Class "B" 258,628 26 3,000 Broadridge Financial Solutions, Inc. 57,360 6 6,800 Fair Isaac Corporation 272,816 27 18,400 Hewlett-Packard Company 821,008 82 16,000 Intel Corporation 380,160 38 2,800 International Business Machines Corporation 294,700 29 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Information Technology (continued) 39,800 Methode Electronics, Inc. - Class "A" $622,870 $62 26,500 Microsoft Corporation 780,955 78 7,250 Molex, Inc. 217,573 22 16,700 Motorola, Inc. 295,590 29 19,300 Nokia Corporation - Class "A" (ADR) 542,523 54 20,700 * Planar Systems, Inc. 155,043 15 8,000 Texas Instruments, Inc. 301,040 30 - -------------------------------------------------------------------------------------------------------------------- 5,975,730 596 - -------------------------------------------------------------------------------------------------------------------- Materials--8.1% 9,000 Air Products & Chemicals, Inc. 723,330 72 11,600 Albemarle Corporation 446,948 45 13,800 Alcoa, Inc. 559,314 56 28,167 Chemtura Corporation 312,935 31 13,500 Compass Minerals International, Inc. 467,910 47 22,700 Dow Chemical Company 1,003,794 100 18,200 DuPont (E.I.) de Nemours & Company 925,288 92 3,700 Glatfelter 50,283 5 21,100 Louisiana-Pacific Corporation 399,212 40 14,500 Lubrizol Corporation 935,975 93 14,500 MeadWestvaco Corporation 512,140 51 18,270 Myers Industries, Inc. 403,950 40 33,200 Sappi, Ltd. (ADR) 609,220 61 15,400 Sonoco Products Company 659,274 66 10,811 Tronox, Inc. - Class "B" 151,895 15 - -------------------------------------------------------------------------------------------------------------------- 8,161,468 814 - -------------------------------------------------------------------------------------------------------------------- Telecommunication Services--4.3% 2,745 ALLTEL Corporation 185,425 19 33,010 AT&T, Inc. 1,369,915 137 1,800 CT Communications, Inc. 54,918 5 12,732 D&E Communications, Inc. 233,505 23 1,030 Embarq Corporation 65,271 7 8,400 Nippon Telegraph and Telephone Corporation (ADR) 186,228 19 33,400 Sprint Nextel Corporation 691,714 69 6,600 Telephone & Data Systems, Inc. 412,962 41 6,600 Telephone & Data Systems, Inc. - Special Shares 379,830 38 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) VALUE FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each $10,000 of Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Telecommunication Services (continued) 17,118 Verizon Communications, Inc. $704,748 $70 2,838 Windstream Corporation 41,889 4 - -------------------------------------------------------------------------------------------------------------------- 4,326,405 432 - -------------------------------------------------------------------------------------------------------------------- Utilities--4.2% 8,050 American States Water Company 286,339 29 9,600 FPL Group, Inc. 544,704 54 9,300 KeySpan Corporation 390,414 39 19,300 MDU Resources Group, Inc. 541,172 54 20,100 NiSource, Inc. 416,271 42 12,300 Northwest Natural Gas Company 568,137 57 9,200 ONEOK, Inc. 463,772 46 11,800 Southwest Gas Corporation 398,957 40 11,100 United Utilities PLC (ADR) 316,016 31 11,700 Vectren Corporation 315,080 31 - -------------------------------------------------------------------------------------------------------------------- 4,240,862 423 - -------------------------------------------------------------------------------------------------------------------- Total Value of Common Stocks (cost $67,136,756) 97,331,525 9,709 - -------------------------------------------------------------------------------------------------------------------- PREFERRED STOCKS--.7% Financials--.2% 10,000 Citigroup Capital XVI, 6.45%, 2066 - Series "W" 243,900 24 - -------------------------------------------------------------------------------------------------------------------- Telecommunication Services--.3% 10,200 AT&T, Inc., 6.375%, 2056 251,226 25 - -------------------------------------------------------------------------------------------------------------------- Utilities--.2% 7,400 Entergy Louisiana, LLC, 7.6%, 2032 185,148 19 - -------------------------------------------------------------------------------------------------------------------- Total Value of Preferred Stocks (cost $693,082) 680,274 68 - -------------------------------------------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCKS--.4% Financials 15,100 Lehman Brothers Holdings, Inc., 6.25%, 2007 - Series "GIS" (cost $383,537) 413,363 41 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- SHORT-TERM CORPORATE NOTES--1.5% $1,500M American General Finance Corp., 5.29%, 7/11/07 (cost $1,497,575) $1,497,575 $149 - -------------------------------------------------------------------------------------------------------------------- Total Value of Investments (cost $69,710,950) 99.7% 99,922,737 9,967 Other Assets, Less Liabilities .3 328,570 33 - -------------------------------------------------------------------------------------------------------------------- Net Assets 100.0% $100,251,307 $10,000 ====================================================================================================================
* Non-income producing Summary of Abbreviations: ADR American Depositary Receipts REIT Real Estate Investment Trust See notes to financial statements Fund Expenses SPECIAL BOND FUND The examples below show the ongoing costs (in dollars) of investing in your Fund and will help you in comparing these costs with costs of other mutual funds. Please refer to page 3 for a detailed explanation of the information presented in these examples.
- ---------------------------------------------------------------------------------------------- Beginning Ending Account Account Expenses Paid Value Value During Period Expense Examples (1/1/07) (6/30/07) (1/1/07-6/30/07)* - ---------------------------------------------------------------------------------------------- Actual $1,000.00 $1,044.23 $4.97 Hypothetical (5% annual return before expenses) $1,000.00 $1,019.93 $4.91 - ---------------------------------------------------------------------------------------------- * Expenses are equal to the annualized expense ratio of .98%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Portfolio Composition TOP SECTORS (BAR CHART DATA:) Consumer Staples 23.4% Consumer Discretionary 19.1% Energy 17.4% Materials 11.8% Industrials 8.4% Health Care 7.8% Financials 3.3% Telecommunication Services 2.6% Information Technology 1.6% Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2007, and are based on the total value of investments.
Portfolio of Investments SPECIAL BOND FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS--87.6% Aerospace/Defense--2.6% $175M Alliant Techsystems, Inc., 6.75%, 2016 $170,625 $110 150M DRS Technologies, Inc., 6.875%, 2013 146,250 95 86M DynCorp International, LLC, 9.5%, 2013 91,913 59 - -------------------------------------------------------------------------------------------------------------------- 408,788 264 - -------------------------------------------------------------------------------------------------------------------- Automotive--5.8% 100M Accuride Corp., 8.5%, 2015 99,250 64 75M Asbury Automotive Group, Inc., 7.625%, 2017 + 74,250 48 125M Avis Budget Car Rental, LLC, 7.75%, 2016 128,125 82 594M Cambridge Industries Liquidating Trust, 2007 ++ ** 371 -- 250M Cooper Standard Automotive, Inc., 8.375%, 2014 234,375 151 225M Dana Corp., 9%, 2011 ++ 234,000 151 3M Goodyear Tire & Rubber Co., 9%, 2015 3,144 2 125M United Auto Group, Inc., 7.75%, 2016 125,000 81 - -------------------------------------------------------------------------------------------------------------------- 898,515 579 - -------------------------------------------------------------------------------------------------------------------- Chemicals--6.6% Equistar Chemicals LP: 3M 10.125%, 2008 2,807 2 150M 10.625%, 2011 158,625 102 100M Huntsman International, LLC, 7.375%, 2015 105,500 68 67M Huntsman, LLC, 11.625%, 2010 72,193 47 300M Innophos, Inc., 8.875%, 2014 312,000 201 100M Nell AF S.a.r.l., 8.375%, 2015 + 96,250 62 150M Newmarket Corp., 7.125%, 2016 145,875 94 125M Tronox Worldwide, LLC, 9.5%, 2012 130,938 84 - -------------------------------------------------------------------------------------------------------------------- 1,024,188 660 - -------------------------------------------------------------------------------------------------------------------- Consumer Non-Durables--1.3% 100M Broder Brothers Co., 11.25%, 2010 99,125 64 100M Levi Strauss & Co., 9.75%, 2015 107,500 69 - -------------------------------------------------------------------------------------------------------------------- 206,625 133 - -------------------------------------------------------------------------------------------------------------------- Energy--17.7% 125M Basic Energy Services, Inc., 7.125%, 2016 120,000 77 250M Belden & Blake Corp., 8.75%, 2012 257,500 166 300M Bluewater Finance, Ltd., 10.25%, 2012 314,250 202 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) SPECIAL BOND FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Energy (continued) Chesapeake Energy Corp.: $500M 6.375%, 2015 $479,375 $309 150M 6.625%, 2016 145,125 93 150M Compagnie Generale de Geophysique, 7.5%, 2015 150,750 97 125M Complete Production Services, Inc., 8%, 2016 + 126,875 82 644M Giant Industries, Inc., 11%, 2012 679,420 438 100M Pacific Energy Partners LP, 7.125%, 2014 103,569 67 100M POGO Producing Co., 6.875%, 2017 99,750 64 100M Stewart & Stevenson, LLC, 10%, 2014 + 105,000 68 60M Stone Energy Corp., 8.106%, 2010 +*** 60,300 39 110M Tesoro Corp., 6.25%, 2012 109,725 71 - -------------------------------------------------------------------------------------------------------------------- 2,751,639 1,773 - -------------------------------------------------------------------------------------------------------------------- Financials--.9% 150M General Motors Acceptance Corp., 6.75%, 2014 143,853 93 - -------------------------------------------------------------------------------------------------------------------- Financial Services--2.3% 367M Targeted Return Index Securities Trust, 7.548%, 2016 + 361,037 233 - -------------------------------------------------------------------------------------------------------------------- Food/Beverage/Tobacco--.1% 9M Land O'Lakes, Inc., 8.75%, 2011 9,338 6 - -------------------------------------------------------------------------------------------------------------------- Forest Products/Containers--3.8% 100M Jefferson Smurfit Corp., 8.25%, 2012 99,750 64 250M Packaging Dynamics Finance Corp., 10%, 2016 + 252,500 163 130M Tekni-Plex, Inc., 8.75%, 2013 129,350 83 100M Verso Paper Holdings, LLC, 9.106%, 2014 +*** 102,500 66 - -------------------------------------------------------------------------------------------------------------------- 584,100 376 - -------------------------------------------------------------------------------------------------------------------- Gaming/Leisure--6.2% 250M Circus & Eldorado/Silver Legacy, 10.125%, 2012 262,813 169 50M Herbst Gaming, Inc., 8.125%, 2012 50,750 33 180M Mandalay Resort Group, 6.375%, 2011 181,350 117 240M MGM Mirage, Inc., 6.625%, 2015 219,300 141 255M Speedway Motorsports, Inc., 6.75%, 2013 249,900 161 - -------------------------------------------------------------------------------------------------------------------- 964,113 621 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Health Care--7.7% $90M Alliance Imaging, Inc., 7.25%, 2012 $87,750 $57 400M DaVita, Inc., 7.25%, 2015 397,000 256 120M Fisher Scientific International, Inc., 6.125%, 2015 118,013 76 HCA, Inc.: 100M 6.95%, 2012 96,500 62 70M 6.75%, 2013 63,875 41 60M MedQuest, Inc., 11.875%, 2012 48,600 31 200M Tenet Healthcare Corp., 6.375%, 2011 183,750 119 184M Triad Hospitals, Inc., 7%, 2013 194,144 125 - -------------------------------------------------------------------------------------------------------------------- 1,189,632 767 - -------------------------------------------------------------------------------------------------------------------- Housing--2.7% 140M Beazer Homes USA, Inc., 6.875%, 2015 121,100 78 200M Builders FirstSource, Inc., 9.61%, 2012*** 203,500 131 100M Realogy Corp., 12.375%, 2015 + 91,500 59 - -------------------------------------------------------------------------------------------------------------------- 416,100 268 - -------------------------------------------------------------------------------------------------------------------- Information Technology--1.5% 150M Exodus Communications, Inc., 10.75%, 2009 ++ ** 93 -- Freescale Semiconductor, Inc.: 150M 9.125%, 2014 + 141,750 92 25M 10.125%, 2016 + 23,625 15 Sanmina - SCI Corp.: 25M 8.11%, 2014 +*** 25,125 16 50M 8.125%, 2016 46,750 30 - -------------------------------------------------------------------------------------------------------------------- 237,343 153 - -------------------------------------------------------------------------------------------------------------------- Manufacturing--.4% 60M Case New Holland, Inc., 7.125%, 2014 61,050 39 - -------------------------------------------------------------------------------------------------------------------- Media-Broadcasting--1.9% 67M Sinclair Broadcasting Group, Inc., 8%, 2012 68,876 44 Young Broadcasting, Inc.: 136M 10%, 2011 136,000 88 100M 8.75%, 2014 95,000 61 - -------------------------------------------------------------------------------------------------------------------- 299,876 193 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) SPECIAL BOND FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Media-Cable TV--9.0% $355M Adelphia Communications Escrow Bond, 2011 ++ $116,263 $75 135M Atlantic Broadband Finance, LLC, 9.375%, 2014 137,025 88 200M Cablevision Systems Corp., 8%, 2012 198,500 128 500M Charter Communications Holdings, LLC, 10%, 2009 513,125 331 125M CSC Holdings, Inc., 8.125%, 2009 127,813 82 310M Echostar DBS Corp., 6.375%, 2011 304,575 196 - -------------------------------------------------------------------------------------------------------------------- 1,397,301 900 - -------------------------------------------------------------------------------------------------------------------- Media-Diversified--6.2% 300M Cenveo, Inc., 7.875%, 2013 295,500 190 150M Idearc, Inc., 8%, 2016 152,250 98 MediaNews Group, Inc.: 75M 6.875%, 2013 64,875 42 50M 6.375%, 2014 41,875 27 Six Flags, Inc.: 150M 8.875%, 2010 148,875 96 50M 9.625%, 2014 46,625 30 200M Universal City Development Partners, Ltd., 11.75%, 2010 212,500 137 - -------------------------------------------------------------------------------------------------------------------- 962,500 620 - -------------------------------------------------------------------------------------------------------------------- Metals/Mining--1.2% 50M Metals USA, Inc., 11.125%, 2015 54,750 35 130M Russell Metals, Inc., 6.375%, 2014 125,450 81 - -------------------------------------------------------------------------------------------------------------------- 180,200 116 - -------------------------------------------------------------------------------------------------------------------- Retail-General Merchandise--2.7% 100M Claire's Stores, Inc., 9.625%, 2015, PIK 93,000 60 100M GSC Holdings Corp., 8%, 2012 105,000 68 200M Neiman Marcus Group, Inc., 10.375%, 2015 221,000 142 - -------------------------------------------------------------------------------------------------------------------- 419,000 270 - -------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------- Amount Invested Principal For Each Amount $10,000 of or Shares Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- Services--4.5% Allied Waste NA, Inc.: $300M 7.375%, 2014 $297,750 $192 150M 6.875%, 2017 145,875 94 100M Hydrochem Industrial Services, Inc., 9.25%, 2013 + 103,500 66 150M United Rentals, Inc., 7%, 2014 147,000 95 - -------------------------------------------------------------------------------------------------------------------- 694,125 447 - -------------------------------------------------------------------------------------------------------------------- Telecommunications--.0% 600M ICG Services, Inc., 10%, 2008 ++** 375 -- - -------------------------------------------------------------------------------------------------------------------- Wireless Communications--2.5% 200M Nextel Communications, Inc., 5.95%, 2014 190,748 123 200M Rogers Wireless, Inc., 6.375%, 2014 202,407 131 - -------------------------------------------------------------------------------------------------------------------- 393,155 254 - -------------------------------------------------------------------------------------------------------------------- Total Value of Corporate Bonds (cost $14,278,449) 13,602,853 8,765 - -------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--5.7% Food/Drug--.6% 2,750 Ingles Markets, Inc. 94,737 61 - -------------------------------------------------------------------------------------------------------------------- Media-Broadcasting--1.0% 4,000 Clear Channel Communications, Inc. 151,280 97 - -------------------------------------------------------------------------------------------------------------------- Media-Cable TV--1.9% 354,453 * Adelphia Recovery Trust 36,331 23 6,602 * Time Warner Cable, Inc. - Class "A" 258,600 167 - -------------------------------------------------------------------------------------------------------------------- 294,931 190 - -------------------------------------------------------------------------------------------------------------------- Media-Diversified--2.2% 1,500 * MediaNews Group, Inc. - Class "A"** 337,500 218 - -------------------------------------------------------------------------------------------------------------------- Telecommunications--.0% 230 * Viatel Holding (Bermuda), Ltd.** 2 -- 1,571 * World Access, Inc. 2 -- - -------------------------------------------------------------------------------------------------------------------- 4 -- - -------------------------------------------------------------------------------------------------------------------- Total Value of Common Stocks (cost $457,495) 878,452 566 - -------------------------------------------------------------------------------------------------------------------- Portfolio of Investments (continued) SPECIAL BOND FUND June 30, 2007 - -------------------------------------------------------------------------------------------------------------------- Amount Invested Warrants or For Each Principal $10,000 of Amount Security Value Net Assets - -------------------------------------------------------------------------------------------------------------------- WARRANTS--.0% Telecommunication Services 250 * GT Group Telecom, Inc. (expiring 2/1/10) (cost $22,587) +** $-- $-- - -------------------------------------------------------------------------------------------------------------------- SHORT-TERM CORPORATE NOTES--4.5% $150M Chevron Funding Corp., 5.23%, 7/16/07 149,650 96 Toyota Motor Credit Corp.: 350M 5.24%, 7/6/07 349,694 225 200M 5.27%, 7/11/07 199,678 129 - -------------------------------------------------------------------------------------------------------------------- Total Value of Short-Term Corporate Notes (cost $699,022) 699,022 450 - -------------------------------------------------------------------------------------------------------------------- Total Value of Investments (cost $15,457,553) 97.8% 15,180,327 9,781 Other Assets, Less Liabilities 2.2 339,271 219 - -------------------------------------------------------------------------------------------------------------------- Net Assets 100.0% $15,519,598 $10,000 ====================================================================================================================
+ Security exempt from registration under Rule 144A of the Securities Act of 1933 (see Note 5). ++ In default as to principal and/or interest payment * Non-income producing ** Security valued at fair value (see Note 1A) *** Interest rates on adjustable rate bonds are determined and reset quarterly by the indentures. The interest rates shown are the rates in effect on June 30, 2007. # Denotes a step bond (a zero-coupon bond that coverts to a fixed interest rate at a designated future date). See notes to financial statements This page intentionally left blank.
Statements of Assets and Liabilities FIRST INVESTORS LIFE SERIES FUNDS June 30, 2007 - ---------------------------------------------------------------------------------------------------------------------------- CASH BLUE CHIP MANAGEMENT DISCOVERY GOVERNMENT - ---------------------------------------------------------------------------------------------------------------------------- Assets Investments in securities: At identified cost $118,847,294 $6,268,867 $136,905,039 $19,964,435 ============== ============== ============== ============== At value (Note 1A) $184,194,125 $6,268,867 $170,991,337 $19,479,845 Cash 437,473 75,474 184,841 36,894 Receivables: Investment securities sold -- -- 432,701 -- Interest and dividends 173,958 28,770 123,377 106,412 Trust shares sold 28,719 99,685 66,840 7,953 Foreign exchange contracts (Note 6) -- -- -- -- Other assets 15,163 1,253 13,592 1,737 -------------- -------------- -------------- -------------- Total Assets 184,849,438 6,474,049 171,812,688 19,632,841 -------------- -------------- -------------- -------------- Liabilities Payables: Investment securities purchased 91,996 -- 318,705 -- Trust shares redeemed 96,837 118 81,225 5,804 Accrued advisory fees 111,148 3,596 102,727 9,365 Accrued expenses 29,610 3,431 30,963 5,266 -------------- -------------- -------------- -------------- Total Liabilities 329,591 7,145 533,620 20,435 -------------- -------------- -------------- -------------- Net Assets $184,519,847 $6,466,904 $171,279,068 $19,612,406 ============== ============== ============== ============== Net Assets Consist of: Capital paid in $149,391,915 $6,466,904 $130,266,905 $20,631,284 Undistributed net investment income (loss) 1,045,883 -- 270,744 470,734 Accumulated net realized gain (loss) on investments and foreign currency transactions (31,264,782) -- 6,655,121 (1,005,022) Net unrealized appreciation (depreciation) of investments and foreign currency transactions 65,346,831 -- 34,086,298 (484,590) -------------- -------------- -------------- -------------- Total $184,519,847 $6,466,904 $171,279,068 $19,612,406 ============== ============== ============== ============== Shares of beneficial interest outstanding (Note 2) 7,420,849 6,466,904 5,377,753 2,053,149 ============== ============== ============== ============== Net asset value, offering and redemption price per share (Net assets divided by shares outstanding) $24.87 $1.00 $31.85 $9.55 ============== ============== ============== ============== Statements of Assets and Liabilities (continued) FIRST INVESTORS LIFE SERIES FUNDS June 30, 2007 - ---------------------------------------------------------------------------------------------------------- GROWTH & INCOME HIGH YIELD INTERNATIONAL - ---------------------------------------------------------------------------------------------------------- Assets Investments in securities: At identified cost $231,910,051 $68,893,887 $107,862,856 ============== ============== ============== At value (Note 1A) $283,253,966 $67,554,646 $139,734,084 Cash 391,107 243,008 610,656 Receivables: Investment securities sold 418,075 -- 2,212,855 Interest and dividends 380,577 1,223,828 403,172 Trust shares sold 74,826 22,040 39,382 Foreign exchange contracts (Note 6) -- -- 89,468 Other assets 23,306 6,475 10,525 -------------- -------------- -------------- Total Assets 284,541,857 69,049,997 143,100,142 -------------- -------------- -------------- Liabilities Payables: Investment securities purchased 135,331 -- 659,168 Trust shares redeemed 101,389 43,192 66,137 Accrued advisory fees 170,063 41,549 84,890 Accrued expenses 33,261 17,804 31,023 -------------- -------------- -------------- Total Liabilities 440,044 102,545 841,218 -------------- -------------- -------------- Net Assets $284,101,813 $68,947,452 $142,258,924 ============== ============== ============== Net Assets Consist of: Capital paid in $216,724,200 $86,402,554 $106,969,318 Undistributed net investment income (loss) 1,273,214 2,326,164 (68,944) Accumulated net realized gain (loss) on investments and foreign currency transactions 14,760,484 (18,442,025) 3,385,223 Net unrealized appreciation (depreciation) of investments and foreign currency transactions 51,343,915 (1,339,241) 31,973,327 -------------- -------------- -------------- Total $284,101,813 $68,947,452 $142,258,924 ============== ============== ============== Shares of beneficial interest outstanding (Note 2) 7,950,237 8,833,209 6,319,171 ============== ============== ============== Net asset value, offering and redemption price per share (Net assets divided by shares outstanding) $35.74 $7.81 $22.51 ============== ============== ============== See notes to financial statements
Statements of Assets and Liabilities FIRST INVESTORS LIFE SERIES FUNDS June 30, 2007 - ---------------------------------------------------------------------------------------------------------------------------- TARGET TARGET INVESTMENT SELECT MATURITY MATURITY GRADE GROWTH 2007 2010 - ---------------------------------------------------------------------------------------------------------------------------- Assets Investments in securities: At identified cost $36,962,576 $9,995,199 $16,116,948 $12,467,219 ============== ============== ============== ============== At value (Note 1A) $36,539,450 $12,107,325 $16,229,745 $13,206,427 Cash (overdraft) 177,918 2,253 94,575 (38,576) Receivables: Investment securities sold -- -- -- -- Interest and dividends 520,689 9,764 -- -- Trust shares sold 37,422 7,382 1,032 214 Other assets 3,180 995 1,554 1,258 -------------- -------------- -------------- -------------- Total Assets 37,278,659 12,127,719 16,326,906 13,169,323 -------------- -------------- -------------- -------------- Liabilities Payables: Investment securities purchased 250,000 -- -- -- Trust shares redeemed 6,643 3,918 33,287 764 Accrued advisory fees 17,559 7,247 7,774 6,308 Accrued expenses 8,660 5,719 4,177 4,328 -------------- -------------- -------------- -------------- Total Liabilities 282,862 16,884 45,238 11,400 -------------- -------------- -------------- -------------- Net Assets $36,995,797 $12,110,835 $16,281,668 $13,157,923 ============== ============== ============== ============== Net Assets Consist of: Capital paid in $38,685,914 $11,086,167 $15,681,231 $12,052,482 Undistributed net investment income 508,220 45,362 496,411 368,611 Accumulated net realized loss on investments (1,775,211) (1,132,820) (8,771) (2,378) Net unrealized appreciation (depreciation) of investments (423,126) 2,112,126 112,797 739,208 -------------- -------------- -------------- -------------- Total $36,995,797 $12,110,835 $16,281,668 $13,157,923 ============== ============== ============== ============== Shares of beneficial interest outstanding (Note 2) 3,539,496 1,200,081 1,466,504 998,075 ============== ============== ============== ============== Net asset value, offering and redemption price per share (Net assets divided by shares outstanding) $10.45 $10.09 $11.10 $13.18 ============== ============== ============== ============== Statements of Assets and Liabilities (continued) FIRST INVESTORS LIFE SERIES FUNDS June 30, 2007 - ---------------------------------------------------------------------------------------------------------- TARGET MATURITY SPECIAL 2015 VALUE BOND - ---------------------------------------------------------------------------------------------------------- Assets Investments in securities: At identified cost $23,179,806 $69,710,950 $15,457,553 ============== ============== ============== At value (Note 1A) $23,503,117 $99,922,737 $15,180,327 Cash (overdraft) 142,223 400,427 105,196 Receivables: Investment securities sold -- 53,009 -- Interest and dividends -- 165,255 254,242 Trust shares sold 360 48,940 -- Other assets 2,025 7,586 5,783 -------------- -------------- -------------- Total Assets 23,647,725 100,597,954 15,545,548 -------------- -------------- -------------- Liabilities Payables: Investment securities purchased -- 244,171 -- Trust shares redeemed 37,724 29,809 2,000 Accrued advisory fees 11,171 60,284 9,371 Accrued expenses 11,351 12,383 14,579 -------------- -------------- -------------- Total Liabilities 60,246 346,647 25,950 -------------- -------------- -------------- Net Assets $23,587,479 $100,251,307 $15,519,598 ============== ============== ============== Net Assets Consist of: Capital paid in $22,826,232 $77,545,398 $23,057,279 Undistributed net investment income 526,614 795,301 488,623 Accumulated net realized loss on investments (88,678) (8,301,179) (7,749,078) Net unrealized appreciation (depreciation) of investments 323,311 30,211,787 (277,226) -------------- -------------- -------------- Total $23,587,479 $100,251,307 $15,519,598 ============== ============== ============== Shares of beneficial interest outstanding (Note 2) 1,745,164 5,574,051 1,664,909 ============== ============== ============== Net asset value, offering and redemption price per share (Net assets divided by shares outstanding) $13.52 $17.99 $9.32 ============== ============== ============== See notes to financial statements
Statements of Operations FIRST INVESTORS LIFE SERIES FUNDS Six Months Ended June 30, 2007 - ---------------------------------------------------------------------------------------------------------------------------- CASH BLUE CHIP MANAGEMENT DISCOVERY GOVERNMENT - ---------------------------------------------------------------------------------------------------------------------------- Investment Income Income: Interest $8,170 $176,391 $115,300 $546,914 Dividends 1,767,623(a) -- 822,886 -- -------------- -------------- -------------- -------------- Total income 1,775,793 176,391 938,186 546,914 -------------- -------------- -------------- -------------- Expenses (Notes 1 and 4): Advisory fees 681,995 24,630 616,132 73,994 Professional fees 14,988 4,736 14,627 6,135 Custodian fees and expenses 5,908 2,785 13,852 6,263 Reports and notices to shareholders 13,232 374 8,316 1,327 Registration fees 177 149 121 152 Trustees' fees 4,436 161 3,867 479 Other expenses 17,171 1,364 15,297 5,423 -------------- -------------- -------------- -------------- Total expenses 737,907 34,199 672,212 93,773 Less: Expenses waived -- (10,754) -- (14,799) Expenses paid indirectly (8,046) (330) (4,812) (2,802) -------------- -------------- -------------- -------------- Net expenses 729,861 23,115 667,400 76,172 -------------- -------------- -------------- -------------- Net investment income 1,045,932 153,276 270,786 470,742 -------------- -------------- -------------- -------------- Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions (Note 3): Net realized gain (loss) on: Investments 2,750,150 -- 6,879,263 (13,514) Foreign currency transactions -- -- -- -- -------------- -------------- -------------- -------------- Net realized gain (loss) on investments and foreign currency transactions 2,750,150 -- 6,879,263 (13,514) -------------- -------------- -------------- -------------- Net unrealized apprection (depreciation) of: Investments 7,437,107 -- 8,934,637 (250,701) Foreign currency transactions -- -- -- -- -------------- -------------- -------------- -------------- Net unrealized appreciation (depreciation) on investments and foreign currency transactions 7,437,107 -- 8,934,637 (250,701) -------------- -------------- -------------- -------------- Net gain (loss) on investments and foreign currency transactions 10,187,257 -- 15,813,900 (264,215) -------------- -------------- -------------- -------------- Net Increase in Net Assets Resulting from Operations $11,233,189 $153,276 $16,084,686 $206,527 ============== ============== ============== ============== Statements of Operations (continued) FIRST INVESTORS LIFE SERIES FUNDS Six Months Ended June 30, 2007 - ---------------------------------------------------------------------------------------------------------- GROWTH & INCOME HIGH YIELD INTERNATIONAL - ---------------------------------------------------------------------------------------------------------- Investment Income Income: Interest $7,057 $2,719,738 $54,919 Dividends 2,367,538(b) 51,897 2,049,801(c) -------------- -------------- -------------- Total income 2,374,595 2,771,635 2,104,720 -------------- -------------- -------------- Expenses (Notes 1 and 4): Advisory fees 1,027,287 260,023 508,879 Professional fees 20,072 7,787 16,669 Custodian fees and expenses 9,034 5,259 43,037 Reports and notices to shareholders 19,368 5,350 10,291 Registration fees 156 153 154 Trustees' fees 6,331 950 3,094 Other expenses 25,503 11,376 16,915 -------------- -------------- -------------- Total expenses 1,107,751 290,898 599,039 Less: Expenses waived -- -- -- Expenses paid indirectly (6,420) (5,533) (622) -------------- -------------- -------------- Net expenses 1,101,331 285,365 598,417 -------------- -------------- -------------- Net investment income 1,273,264 2,486,270 1,506,303 -------------- -------------- -------------- Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions (Note 3): Net realized gain (loss) on: Investments 15,099,253 (294,584) 3,594,412 Foreign currency transactions -- -- (189,166) -------------- -------------- -------------- Net realized gain (loss) on investments and foreign currency transactions 15,099,253 (294,584) 3,405,246 -------------- -------------- -------------- Net unrealized apprection (depreciation) of: Investments 7,743,491 278,549 8,089,288 Foreign currency transactions -- -- 294,393 -------------- -------------- -------------- Net unrealized appreciation (depreciation) on investments and foreign currency transactions 7,743,491 278,549 8,383,681 -------------- -------------- -------------- Net gain (loss) on investments and foreign currency transactions 22,842,744 (16,035) 11,788,927 -------------- -------------- -------------- Net Increase in Net Assets Resulting from Operations $24,116,008 $2,470,235 $13,295,230 ============== ============== ============== (a) Net of $11,674 foreign taxes withheld (b) Net of $11,598 foreign taxes withheld (c) Net of $274,789 foreign taxes withheld See notes to financial statements
Statements of Operations FIRST INVESTORS LIFE SERIES FUNDS Six Months Ended June 30, 2007 - ---------------------------------------------------------------------------------------------------------------------------- TARGET TARGET INVESTMENT SELECT MATURITY MATURITY GRADE GROWTH 2007 2010 - ---------------------------------------------------------------------------------------------------------------------------- Investment Income Income: Interest $1,061,764 $6,454 $560,023 $418,545 Dividends -- 92,569(d) -- -- -------------- -------------- -------------- -------------- Total income 1,061,764 99,023 560,023 418,545 -------------- -------------- -------------- -------------- Expenses (Notes 1 and 4): Advisory fees 138,841 44,239 62,963 51,101 Professional fees 8,568 5,116 7,756 5,576 Custodian fees and expenses 3,840 504 1,187 1,207 Reports and notices to shareholders 488 528 1,055 233 Registration fees 149 76 1,354 149 Trustees' fees 869 272 431 306 Other expenses 8,541 3,075 2,410 2,692 -------------- -------------- -------------- -------------- Total expenses 161,296 53,810 77,156 61,264 Less: Expenses waived (27,768) -- (12,593) (10,220) Expenses paid indirectly (3,713) (151) (957) (1,111) -------------- -------------- -------------- -------------- Net expenses 129,815 53,659 63,606 49,933 -------------- -------------- -------------- -------------- Net investment income 931,949 45,364 496,417 368,612 -------------- -------------- -------------- -------------- Realized and Unrealized Gain (Loss) on Investments (Note 3): Net realized gain (loss) on investments 98,888 409,608 12,897 (290) Net unrealized appreciation (depreciation) of investments (677,342) 388,609 (135,462) (180,109) -------------- -------------- -------------- -------------- Net gain (loss) on investments (578,454) 798,217 (122,565) (180,399) -------------- -------------- -------------- -------------- Net Increase (Decrease) in Net Assets Resulting from Operations $353,495 $843,581 $373,852 $188,213 ============== ============== ============== ============== Statements of Operations (continued) FIRST INVESTORS LIFE SERIES FUNDS Six Months Ended June 30, 2007 - ---------------------------------------------------------------------------------------------------------- TARGET MATURITY SPECIAL 2015 VALUE BOND - ---------------------------------------------------------------------------------------------------------- Investment Income Income: Interest $609,358 $77,168 $595,970 Dividends -- 1,113,962(e) 29,607 -------------- -------------- -------------- Total income 609,358 1,191,130 625,577 -------------- -------------- -------------- Expenses (Notes 1 and 4): Advisory fees 89,692 364,843 59,305 Professional fees 4,875 10,332 9,694 Custodian fees and expenses 711 6,659 1,351 Reports and notices to shareholders 1,875 7,553 1,159 Registration fees 154 151 177 Trustees' fees 476 2,194 376 Other expenses 3,691 11,187 5,764 -------------- -------------- -------------- Total expenses 101,474 402,919 77,826 Less: Expenses waived (17,939) -- -- Expenses paid indirectly (806) (7,110) (1,414) -------------- -------------- -------------- Net expenses 82,729 395,809 76,412 -------------- -------------- -------------- Net investment income 526,629 795,321 549,165 -------------- -------------- -------------- Realized and Unrealized Gain (Loss) on Investments (Note 3): Net realized gain (loss) on investments (13,869) 1,583,400 (9,748) Net unrealized appreciation (depreciation) of investments (685,206) 4,205,481 152,172 -------------- -------------- -------------- Net gain (loss) on investments (699,075) 5,788,881 142,424 -------------- -------------- -------------- Net Increase (Decrease) in Net Assets Resulting from Operations $(172,446) $6,584,202 $691,589 ============== ============== ============== (d) Net of $1,291 foreign taxes withheld (e) Net of $7,464 foreign taxes withheld See notes to financial statements
Statements of Changes in Net Assets FIRST INVESTORS LIFE SERIES FUNDS - ------------------------------------------------------------------------------------------------------------------------------------ BLUE CHIP CASH MANAGEMENT ------------------------------ ------------------------------ 1/1/07 to 1/1/06 to 1/1/07 to 1/1/06 to 6/30/07 12/31/06 6/30/07 12/31/06 - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets From Operations Net investment income $1,045,932 $1,975,731 $153,276 $291,599 Net realized gain (loss) on investments 2,750,150 4,106,251 -- -- Net unrealized appreciation (depreciation) of investments 7,437,107 17,579,683 -- -- -------------- -------------- -------------- -------------- Net increase in net assets resulting from operations 11,233,189 23,661,665 153,276 291,599 -------------- -------------- -------------- -------------- Distributions to Shareholders Net investment income (1,975,764) (1,631,700) (153,276) (291,599) Net realized gains -- -- -- -- -------------- -------------- -------------- -------------- Total distributions (1,975,764) (1,631,700) (153,276) (291,599) -------------- -------------- -------------- -------------- Trust Share Transactions* Proceeds from shares sold 1,264,921 3,125,426 2,834,824 7,337,066 Reinvestment of distributions 1,975,764 1,631,700 153,276 291,599 Cost of shares redeemed (9,100,408) (19,870,148) (3,454,751) (7,071,622) -------------- -------------- -------------- -------------- Net increase (decrease) from trust share transactions (5,859,723) (15,113,022) (466,651) 557,043 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets 3,397,702 6,916,943 (466,651) 557,043 Net Assets Beginning of period 181,122,145 174,205,202 6,933,555 6,376,512 -------------- -------------- -------------- -------------- End of period+ $184,519,847 $181,122,145 $6,466,904 $6,933,555 ============== ============== ============== ============== +Includes undistributed net investment income of $1,045,883 $1,975,715 $-- $-- ============== ============== ============== ============== *Trust Shares Issued and Redeemed Sold 52,991 144,406 2,834,824 7,337,066 Issued for distributions reinvested 85,642 76,894 153,276 291,599 Redeemed (376,887) (915,936) (3,454,751) (7,071,622) -------------- -------------- -------------- -------------- Net increase (decrease) in trust shares outstanding (238,254) (694,636) (466,651) 557,043 ============== ============== ============== ============== Statements of Changes in Net Assets (continued) FIRST INVESTORS LIFE SERIES FUNDS - ---------------------------------------------------------------------------------------------------------------------------------- DISCOVERY GOVERNMENT ------------------------------ ------------------------------ 1/1/07 to 1/1/06 to 1/1/07 to 1/1/06 to 6/30/07 12/31/06 6/30/07 12/31/06 - ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets From Operations Net investment income $270,786 $280,458 $470,742 $905,793 Net realized gain (loss) on investments 6,879,263 16,378,282 (13,514) (67,290) Net unrealized appreciation (depreciation) of investments 8,934,637 13,222,001 (250,701) (103,391) -------------- -------------- -------------- -------------- Net increase in net assets resulting from operations 16,084,686 29,880,741 206,527 735,112 -------------- -------------- -------------- -------------- Distributions to Shareholders Net investment income (280,470) (208,603) (1,016,156) (1,018,037) Net realized gains (13,314,932) -- -- -- -------------- -------------- -------------- -------------- Total distributions (13,595,402) (208,603) (1,016,156) (1,018,037) -------------- -------------- -------------- -------------- Trust Share Transactions* Proceeds from shares sold 1,909,744 3,957,764 902,511 1,817,492 Reinvestment of distributions 13,595,402 208,603 1,016,156 1,018,037 Cost of shares redeemed (5,161,382) (12,065,753) (1,476,620) (3,029,846) -------------- -------------- -------------- -------------- Net increase (decrease) from trust share transactions 10,343,764 (7,899,386) 442,047 (194,317) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets 12,833,048 21,772,752 (367,582) (477,242) Net Assets Beginning of period 158,446,020 136,673,268 19,979,988 20,457,230 -------------- -------------- -------------- -------------- End of period+ $171,279,068 $158,446,020 $19,612,406 $19,979,988 ============== ============== ============== ============== +Includes undistributed net investment income of $270,744 $280,428 $470,734 $1,016,148 ============== ============== ============== ============== *Trust Shares Issued and Redeemed Sold 61,401 138,637 93,529 185,449 Issued for distributions reinvested 460,862 7,501 106,181 105,605 Redeemed (166,317) (422,971) (152,142) (310,747) -------------- -------------- -------------- -------------- Net increase (decrease) in trust shares outstanding 355,946 (276,833) 47,568 (19,693) ============== ============== ============== ============== See notes to financial statements
Statements of Changes in Net Assets FIRST INVESTORS LIFE SERIES FUNDS - ------------------------------------------------------------------------------------------------------------------------------------ GROWTH & INCOME HIGH YIELD ------------------------------ ------------------------------ 1/1/07 to 1/1/06 to 1/1/07 to 1/1/06 to 6/30/07 12/31/06 6/30/07 12/31/06 - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets From Operations Net investment income $1,273,264 $1,392,436 $2,486,270 $5,149,740 Net realized gain (loss) on investments and foreign currency transactions 15,099,253 38,358,887 (294,584) (1,809,651) Net unrealized appreciation (depreciation) of investments and foreign currency transactions 7,743,491 (5,433,213) 278,549 2,928,634 -------------- -------------- -------------- -------------- Net increase in net assets resulting from operations 24,116,008 34,318,110 2,470,235 6,268,723 -------------- -------------- -------------- -------------- Distributions to Shareholders Net investment income (1,392,478) (1,106,509) (5,214,980) (5,591,784) Net realized gains (37,602,922) (15,617,669) -- -- -------------- -------------- -------------- -------------- Total distributions (38,995,400) (16,724,178) (5,214,980) (5,591,784) -------------- -------------- -------------- -------------- Trust Share Transactions Proceeds from shares sold 2,805,909 7,263,655 1,280,494 2,071,984 Reinvestment of distributions 38,995,400 16,724,178 5,214,980 5,591,784 Cost of shares redeemed (10,503,151) (22,850,672) (3,181,178) (8,551,415) -------------- -------------- -------------- -------------- Net increase (decrease) from trust share transactions 31,298,158 1,137,161 3,314,296 (887,647) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets 16,418,766 18,731,093 569,551 (210,708) Net Assets Beginning of period 267,683,047 248,951,954 68,377,901 68,588,609 -------------- -------------- -------------- -------------- End of period+ $284,101,813 $267,683,047 $68,947,452 $68,377,901 ============== ============== ============== ============== +Includes undistributed net investment income (loss) of $1,273,214 $1,392,428 $2,326,164 $5,054,874 ============== ============== ============== ============== *Trust Shares Issued and Redeemed Sold 78,499 203,445 161,120 264,249 Issued for distributions reinvested 1,188,884 484,900 675,515 738,677 Redeemed (294,791) (642,540) (401,410) (1,098,910) -------------- -------------- -------------- -------------- Net increase (decrease) in trust shares outstanding 972,592 45,805 435,225 (95,984) ============== ============== ============== ============== Statements of Changes in Net Assets (continued) FIRST INVESTORS LIFE SERIES FUNDS - ---------------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL INVESTMENT GRADE ------------------------------ ------------------------------ 1/1/07 to 1/1/06 to 1/1/07 to 1/1/06 to 6/30/07 12/31/06 6/30/07 12/31/06 - ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets From Operations Net investment income $1,506,303 $1,427,694 $931,949 $1,779,059 Net realized gain (loss) on investments and foreign currency transactions 3,405,246 19,347,268 98,888 (205,692) Net unrealized appreciation (depreciation) of investments and foreign currency transactions 8,383,681 7,729,386 (677,342) (153,393) -------------- -------------- -------------- -------------- Net increase in net assets resulting from operations 13,295,230 28,504,348 353,495 1,419,974 -------------- -------------- -------------- -------------- Distributions to Shareholders Net investment income (4,361,060) (802,343) (2,023,888) (2,116,649) Net realized gains (17,736,172) (3,322,771) -- -- -------------- -------------- -------------- -------------- Total distributions (22,097,232) (4,125,114) (2,023,888) (2,116,649) -------------- -------------- -------------- -------------- Trust Share Transactions Proceeds from shares sold 2,985,794 4,636,767 1,733,401 2,620,239 Reinvestment of distributions 22,097,232 4,125,114 2,023,888 2,116,649 Cost of shares redeemed (3,428,839) (8,568,552) (2,122,088) (5,239,553) -------------- -------------- -------------- -------------- Net increase (decrease) from trust share transactions 21,654,187 193,329 1,635,201 (502,665) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets 12,852,185 24,572,563 (35,192) (1,199,340) Net Assets Beginning of period 129,406,739 104,834,176 37,030,989 38,230,329 -------------- -------------- -------------- -------------- End of period+ $142,258,924 $129,406,739 $36,995,797 $37,030,989 ============== ============== ============== ============== +Includes undistributed net investment income (loss) of $(68,944) $2,785,813 $508,220 $1,600,159 ============== ============== ============== ============== *Trust Shares Issued and Redeemed Sold 131,290 214,213 162,969 243,980 Issued for distributions reinvested 1,078,440 205,127 192,020 200,820 Redeemed (153,009) (398,649) (199,054) (491,929) -------------- -------------- -------------- -------------- Net increase (decrease) in trust shares outstanding 1,056,721 20,691 155,935 (47,129) ============== ============== ============== ============== See notes to financial statements
Statements of Changes in Net Assets FIRST INVESTORS LIFE SERIES FUNDS - ------------------------------------------------------------------------------------------------------------------------------------ SELECT GROWTH TARGET MATURITY 2007 ------------------------------ ------------------------------ 1/1/07 to 1/1/06 to 1/1/07 to 1/1/06 to 6/30/07 12/31/06 6/30/07 12/31/06 - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets From Operations Net investment income $45,364 $87,655 $496,417 $1,086,649 Net realized gain (loss) on investments 409,608 520,942 12,897 69,244 Net unrealized appreciation (depreciation) of investments 388,609 432,625 (135,462) (571,249) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations 843,581 1,041,222 373,852 584,644 -------------- -------------- -------------- -------------- Distributions to Shareholders Net investment income (87,642) (63,598) (1,086,648) (1,203,940) Net realized gains -- -- (69,228) (140,667) -------------- -------------- -------------- -------------- Total distributions (87,642) (63,598) (1,155,876) (1,344,607) -------------- -------------- -------------- -------------- Trust Share Transactions Proceeds from shares sold 312,931 879,602 20,052 137,881 Reinvestment of distributions 87,642 63,598 1,155,876 1,344,607 Cost of shares redeemed (781,104) (1,540,060) (1,516,330) (3,903,422) -------------- -------------- -------------- -------------- Net increase (decrease) from trust share transactions (380,531) (596,860) (340,402) (2,420,934) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets 375,408 380,764 (1,122,426) (3,180,897) Net Assets Beginning of period 11,735,427 11,354,663 17,404,094 20,584,991 -------------- -------------- -------------- -------------- End of period+ $12,110,835 $11,735,427 $16,281,668 $17,404,094 ============== ============== ============== ============== +Includes undistributed net investment income of $45,362 $87,640 $496,411 $1,086,642 ============== ============== ============== ============== *Trust Shares Issued and Redeemed Sold 32,453 98,777 1,824 11,834 Issued for distributions reinvested 9,444 7,227 105,656 118,992 Redeemed (80,615) (172,568) (135,139) (337,221) -------------- -------------- -------------- -------------- Net increase (decrease) in trust shares outstanding (38,718) (66,564) (27,659) (206,395) ============== ============== ============== ============== Statements of Changes in Net Assets (continued) FIRST INVESTORS LIFE SERIES FUNDS - ----------------------------------------------------------------------------------------------------------------------------------- TARGET MATURITY 2010 TARGET MATURITY 2015 ------------------------------ ------------------------------ 1/1/07 to 1/1/06 to 1/1/07 to 1/1/06 to 6/30/07 12/31/06 6/30/07 12/31/06 - ----------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets From Operations Net investment income $368,612 $761,235 $526,629 $978,165 Net realized gain (loss) on investments (290) (1,561) (13,869) (12,679) Net unrealized appreciation (depreciation) of investments (180,109) (491,313) (685,206) (543,835) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations 188,213 268,361 (172,446) 421,651 -------------- -------------- -------------- -------------- Distributions to Shareholders Net investment income (761,230) (794,711) (978,165) (806,540) Net realized gains -- (135,821) -- -- -------------- -------------- -------------- -------------- Total distributions (761,230) (930,532) (978,165) (806,540) -------------- -------------- -------------- -------------- Trust Share Transactions Proceeds from shares sold 115,504 584,897 1,380,879 3,847,573 Reinvestment of distributions 761,230 930,532 978,165 806,540 Cost of shares redeemed (1,291,314) (2,740,084) (1,464,951) (2,174,377) -------------- -------------- -------------- -------------- Net increase (decrease) from trust share transactions (414,580) (1,224,655) 894,093 2,479,736 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets (987,597) (1,886,826) (256,518) 2,094,847 Net Assets Beginning of period 14,145,520 16,032,346 23,843,997 21,749,150 -------------- -------------- -------------- -------------- End of period+ $13,157,923 $14,145,520 $23,587,479 $23,843,997 ============== ============== ============== ============== +Includes undistributed net investment income of $368,611 $761,229 $526,614 $978,150 ============== ============== ============== ============== *Trust Shares Issued and Redeemed Sold 8,734 43,099 99,303 274,751 Issued for distributions reinvested 57,756 69,339 70,473 58,276 Redeemed (96,401) (202,284) (105,294) (156,076) -------------- -------------- -------------- -------------- Net increase (decrease) in trust shares outstanding (29,911) (89,846) 64,482 176,951 ============== ============== ============== ============== See notes to financial statements
Statements of Changes in Net Assets FIRST INVESTORS LIFE SERIES FUNDS - -------------------------------------------------------------------------------------------------------------------------- VALUE SPECIAL BOND ------------------------------ ------------------------------ 1/1/07 to 1/1/06 to 1/1/07 to 1/1/06 to 6/30/07 12/31/06 6/30/07 12/31/06 - -------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets From Operations Net investment income $795,321 $1,493,900 $549,165 $1,248,908 Net realized gain (loss) on investments 1,583,400 3,911,723 (9,748) (472,326) Net unrealized appreciation of investments 4,205,481 11,384,117 152,172 714,440 -------------- -------------- -------------- -------------- Net increase in net assets resulting from operations 6,584,202 16,789,740 691,589 1,491,022 -------------- -------------- -------------- -------------- Dividends to Shareholders Net investment income (1,493,871) (1,422,321) (995,185) (491,959) -------------- -------------- -------------- -------------- Trust Share Transactions Proceeds from shares sold 2,828,787 6,018,723 11,539 8,663 Reinvestment of dividends 1,493,871 1,422,321 995,185 491,959 Cost of shares redeemed (3,395,074) (7,586,935) (1,138,945) (4,747,100) -------------- -------------- -------------- -------------- Net increase (decrease) from trust share transactions 927,584 (145,891) (132,221) (4,246,478) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets 6,017,915 15,221,528 (435,817) (3,247,415) Net Assets Beginning of period 94,233,392 79,011,864 15,955,415 19,202,830 -------------- -------------- -------------- -------------- End of period+ $100,251,307 $94,233,392 $15,519,598 $15,955,415 ============== ============== ============== ============== +Includes undistributed net investment income of $795,301 $1,493,851 $488,623 $934,643 ============== ============== ============== ============== *Trust Shares Issued and Redeemed Sold 161,774 391,206 1,200 972 Issued for dividends 88,552 96,038 108,645 55,245 Redeemed (193,362) (492,908) (120,835) (525,916) -------------- -------------- -------------- -------------- Net increase (decrease) in trust shares outstanding 56,964 (5,664) (10,990) (469,699) ============== ============== ============== ============== See notes to financial statements
Notes to Financial Statements FIRST INVESTORS LIFE SERIES FUNDS June 30, 2007 1. Significant Accounting Policies--First Investors Life Series Funds, a Delaware statutory trust ("the Trust"), is registered under the Investment Company Act of 1940 ("the 1940 Act") as a diversified, open-end management investment company. The Trust operates as a series fund, issuing shares of beneficial interest in the Blue Chip Fund, Cash Management Fund, Discovery Fund, Government Fund, Growth & Income Fund, High Yield Fund, International Fund, Investment Grade Fund, Select Growth Fund (formerly Focused Equity Fund), Target Maturity 2007 Fund, Target Maturity 2010 Fund, Target Maturity 2015 Fund and Special Bond Fund (each a "Fund", collectively, "the Funds"), and accounts separately for the assets, liabilities and operations of each Fund. The objective of each Fund is as follows: Blue Chip Fund seeks high total investment return. Cash Management Fund seeks to earn a high rate of current income consistent with the preservation of capital and maintenance of liquidity. Discovery Fund seeks long-term growth of capital. Government Fund seeks to achieve a significant level of current income which is consistent with security and liquidity of principal. Growth & Income Fund seeks long-term growth of capital and current income. High Yield Fund primarily seeks high current income and, secondarily, seeks capital appreciation. International Fund primarily seeks long-term capital growth. Investment Grade Fund seeks to generate a maximum level of income consistent with investment in investment grade debt securities. Select Growth Fund seeks long-term growth of capital. Target Maturity 2007, Target Maturity 2010 and Target Maturity 2015 Funds seek a predictable compounded investment return for investors who hold their Fund shares until the Fund's maturity, consistent with the preservation of capital. Value Fund seeks total return. Special Bond Fund seeks high current income without undue risk to principal and, secondarily, seeks growth of capital. A. Security Valuation--Except as provided below, a security listed or traded on an exchange or the Nasdaq Stock Market is valued at its last sale price on the exchange or market where the security is principally traded, and lacking any sales, the security is valued at the mean between the closing bid and asked prices. Securities traded in the over-the-counter ("OTC") market (including securities listed on exchanges whose primary market is believed to be OTC) are valued at the mean between the last bid and asked prices based on quotes furnished by a market maker for such securities. Securities may also be priced by a pricing service approved by the Trust's Board of Trustees (the "Board"). The pricing service considers security type, rating, market condition and yield data as well as market quotations, prices provided by market makers and other available information in determining value. The Funds also rely on a pricing service in circumstances where the U.S. securities markets exceed a predetermined threshold to value foreign securities held in the Funds' portfolios. The pricing service, its methodology or the threshold may change from time to time. Short-term debt securities that mature in 60 days or less are valued at amortized cost. The Cash Management Fund values its portfolio securities in accordance with the amortized cost method of valuation under Rule 2a-7 under the 1940 Act. Amortized cost is an approximation of market value of an instrument, whereby the difference between its acquisition cost and market value at maturity is amortized on a straight-line basis over the remaining life of the instrument. The effect of changes in the market value of a security as a result of fluctuating interest rates is not taken into account and thus the amortized cost method of valuation may result in the value of a security being higher or lower than its actual market value. The Funds monitor for significant events occurring after the close of foreign markets but prior to the close of trading on the New York Stock Exchange that could have a material impact on the value of any foreign securities that are held by the Funds. Examples of such events include natural disasters, political events and issuer-specific developments. If the Valuation Committee decides that such events warrant using fair value estimates for foreign securities, it will take such events into consideration in determining the fair values of such securities. If market quotations or prices are not readily available or determined to be unreliable, the securities will be valued at fair value as determined in good faith pursuant to procedures adopted by the Board. The Board has also approved the Fund's use of a pricing service to fair value foreign securities in the event of a significant fluctuation in U.S. securities markets. At June 30, 2007, the High Yield Fund held five securities that were fair valued by the Valuation Committee with an aggregate value of $225,697 representing 0.3% of the Fund's net assets, the International Fund held four securities that were fair valued by the Valuation Committee with an aggregate value of $8,259,455 representing 5.8% of the Fund's net assets and the Special Bond Fund held six securities that were fair valued by the Valuation Committee with an aggregate value of $338,341 representing 2.2% of the Fund's net assets. For valuation purposes, where applicable, quotations Notes to Financial Statements (continued) FIRST INVESTORS LIFE SERIES FUNDS June 30, 2007 of foreign securities in foreign currencies are translated to U.S. dollar equivalents using the foreign exchange quotation in effect. B. Federal Income Tax--No provision has been made for federal income taxes on net income or capital gains since it is the policy of each Fund to continue to comply with the special provisions of the Internal Revenue Code applicable to investment companies, and to make sufficient distributions of income and capital gains (in excess of any available capital loss carryovers), to relieve each Fund from all, or substantially all, federal income taxes. At December 31, 2006, capital loss carryovers were as follows:
Year Capital Loss Carryovers Expire ------------------------------------------------------------------------------------------------------ Fund Total 2007 2008 2009 2010 2011 2012 2013 2014 - ---- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- Blue Chip $30,745,282 $ -- $ -- $4,143,677 $22,469,579 $4,132,026 $ -- $ -- $ -- Govern- ment 991,508 140,904 133,450 -- -- 272,546 51,149 193,688 199,771 High Yield 18,146,221 566,369 1,503,018 3,751,289 4,221,351 4,736,272 790,779 632,307 1,944,836 Investment Grade 1,873,161 -- 626,718 37,096 17,173 517,182 -- 108,453 566,539 Select Growth 1,498,254 -- -- 64,524 1,083,303 350,427 -- -- -- Target Maturity 2010 1,561 -- -- -- -- -- -- -- 1,561 Target Maturity 2015 61,044 -- -- 2,287 4,285 14,833 26,960 -- 12,679 Value 9,877,356 -- -- -- 8,605,056 1,272,300 -- -- -- Special Bond 7,739,331 636,995 365,853 1,284,606 2,764,915 1,656,953 212,617 153,691 663,701
C. Foreign Currency Translations--The accounting records of the International Fund are maintained in U.S. dollars. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the date of valuation. Purchases and sales of investment securities, dividend income and certain expenses are translated to U.S. dollars at the rates of exchange prevailing on the respective dates of such transactions. The International Fund does not isolate that portion of gains and losses on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains and losses from investments. Net realized and unrealized gains and losses on foreign currency transactions include gains and losses from the sales of foreign currency and gains and losses on accrued foreign dividends and related withholding taxes. D. Distributions to Shareholders--Distributions to shareholders from net investment income and net realized capital gains are generally declared and paid annually on all Funds, except for the Cash Management Fund which declares dividends from the total of net investment income (plus or minus all realized short-term gains and losses on investments) daily and pays monthly. Dividends from net investment income and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for foreign currency transactions, capital loss carryforwards and deferral of wash sales. E. Expense Allocation--Expenses directly charged or attributable to a Fund are paid from the assets of that Fund. General expenses of the Trust are allocated among and charged to the assets of each Fund on a fair and equitable basis, which may be based on the relative assets of each Fund or the nature of the services performed and relative applicability to each Fund. F. Repurchase Agreements--Securities pledged as collateral for repurchase agreements entered into by the Select Growth Fund are held by the Fund's custodian until maturity of the repurchase agreement. The agreements provide that the Fund will receive, as collateral, securities with a market value which will at all times be at least equal to 100% of the amount invested by the Fund. G. Use of Estimates--The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenue and expense during the reporting period. Actual results could differ from those estimates. H. Other--Security transactions are generally accounted for on the first business day following the date the securities are purchased or sold. Cost is determined and gains and losses are based, on the identified cost basis for securities, for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date. Shares of stock received in lieu of cash dividends on certain preferred stock holdings of the High Yield and Special Bond Funds are recognized as dividend income and recorded at the market value of the shares received. For the six months ended June 30, 2007, the High Yield and Special Bond Fund recognized $23,161 and $15,581, respectively, from these taxable "payment-in-kind" distributions. Interest Notes to Financial Statements (continued) FIRST INVESTORS LIFE SERIES FUNDS June 30, 2007 income and estimated expenses are accrued daily. Bond premiums and discounts are accreted or amortized using the interest method. Interest income on zero-coupon bonds and stepbonds is accrued daily at the effective interest rate. For the six months ended June 30, 2007, the Bank of New York, custodian for all the Funds, except the International Fund, has provided credits in the amount of $38,972 against custodian charges based on the uninvested cash balances of the Funds. The Funds also reduced expenses through brokerage service arrangements. For the six months ended June 30, 2007, the Funds' expenses were reduced by $4,855 under these arrangements. 2. Trust Shares--The Trust is authorized to issue an unlimited number of shares of beneficial interest without par value. The Trust consists of the Funds listed on the cover page, each of which is a separate and distinct series of the Trust. Shares in the Funds are acquired through the purchase of variable annuity or variable life insurance contracts sold by First Investors Life Insurance Company. 3. Security Transactions--For the six months ended June 30, 2007, purchases and sales (including pay-downs on Government Fund) of securities and long-term U.S. Government obligations (excluding short-term U.S. Government obligations, repurchase agreements, foreign currencies and short-term securities), were as follows:
Long-Term U.S. Securities Government Obligations ---------------------------- ---------------------------- Cost of Proceeds Cost of Proceeds Fund Purchases of Sales Purchases of Sales - ---- ------------ ------------ ------------ ------------ Blue Chip $ 2,788,511 $ 9,085,147 $ -- $ -- Discovery 45,186,955 46,480,750 -- -- Government -- -- 1,229,392 2,090,760 Growth & Income 69,491,863 76,564,214 -- -- High Yield 11,182,218 8,361,734 -- -- International 34,680,201 32,909,345 -- -- Investment Grade 5,757,654 6,541,481 3,392,918 3,835,821 Select Growth 4,374,314 4,667,152 -- -- Target Maturity 2007 -- -- -- 1,601,222 Target Maturity 2010 -- -- -- 1,080,978 Target Maturity 2015 -- -- 201,246 489,165 Value 7,035,179 5,381,652 -- -- Special Bond 1,082,340 2,281,024 -- --
At June 30, 2007, aggregate cost and net unrealized appreciation (depreciation) of securities for federal income tax purposes were as follows:
Net Gross Gross Unrealized Aggregate Unrealized Unrealized Appreciation Fund Cost Appreciation Depreciation (Depreciation) - ---- ------------ ------------ ------------ ------------ Blue Chip $122,116,943 $64,494,022 $2,416,840 $62,077,182 Discovery 137,048,155 35,416,290 1,554,108 33,862,182 Government 19,964,435 15,940 500,530 (484,590) Growth & Income 232,248,772 57,305,704 6,300,510 51,005,194 High Yield 69,063,377 1,890,115 3,398,846 (1,508,731) International* 109,642,991 30,727,215 636,122 30,091,093 Investment Grade 37,424,307 113,377 998,234 (884,857) Select Growth 10,039,373 2,157,624 89,672 2,067,952 Target Maturity 2007 16,138,613 91,132 -- 91,132 Target Maturity 2010 12,467,747 738,680 -- 738,680 Target Maturity 2015 23,193,572 498,023 188,478 309,545 Value 69,718,173 31,247,986 1,043,422 30,204,564 Special Bond 15,477,976 772,474 1,070,123 (297,649) *Aggregate Tax Cost includes PFIC income of $1,767,489.
4. Advisory Fee and Other Transactions With Affiliates--Certain officers and trustees of the Trust are officers and trustees of its investment adviser, First Investors Management Company, Inc. ("FIMCO") and/or its transfer agent, Administrative Data Management Corp. Trustees of the Trust who are not "interested persons" of the Trust as defined in the 1940 Act are remunerated by the Funds. For the six months ended June 30, 2007, total trustee fees accrued by the Funds amounted to $24,242. The Investment Advisory Agreement provides as compensation to FIMCO an annual fee, payable monthly, at the rate of .75% on the first $250 million of each Fund's average daily net assets, .72% on the next $250 million, ..69% on the next $250 million, .66% on the next $500 million, declining by ..02% on each $500 million thereafter, down to .60% on average daily net assets over $2.25 billion. For the six months ended June 30, 2007, FIMCO has voluntarily waived 20% of the .75% annual fee on the first $250 million of average daily net assets of the Government, Investment Grade, Target Maturity 2007, Target Maturity 2010 and Target Maturity 2015 Funds. In addition, FIMCO has voluntarily waived $10,754 in advisory fees on the Cash Management Fund to limit the Fund's overall expense ratio to .70%. For the six months ended June 30, 2007, total advisory fees accrued to FIMCO were $4,003,924 of which $94,073 was waived as noted above. Notes to Financial Statements (continued) FIRST INVESTORS LIFE SERIES FUNDS June 30, 2007 Paradigm Capital Management, Inc. serves as investment subadviser to the Discovery Fund. Vontobel Asset Management, Inc. serves as investment subadviser to the International Fund. Wellington Management Company, LLP served as investment subadviser to the Focused Equity Fund through July 25, 2007. Effective July 26, 2007, Smith Asset Management Group, L.P. serves as investment subadviser to Select Growth Fund. The subadvisers are paid by FIMCO and not by the Funds. 5. Restricted Securities--Certain restricted securities are exempt from the registration requirements under Rule 144A of the Securities Act of 1933 and may only be sold to qualified institutional investors. At June 30, 2007, the Government Fund held one 144A security with a value of $900,308 representing 4.6% of the Fund's net assets, the High Yield Fund held twenty-eight 144A securities with an aggregate value of $10,729,310 representing 15.6% of the Fund's net assets, the Investment Grade Fund held six 144A securities with an aggregate value of $1,580,819 representing 4.3% of the Fund's net assets and the Special Bond Fund held fourteen 144A securities with an aggregate value of $1,564,212 representing 10.1% of the Fund's net assets. Certain restricted securities are exempt from the registration requirements under Section 4(2) of the Securities Act of 1933 and may only be sold to qualified investors. At June 30, 2007, the Cash Management Fund held five Section 4(2) securities with an aggregate value of $1,344,356 representing 20.8% of the Fund's net assets. These securities are valued as set forth in Note 1A. 6. Forward Currency Contracts, Foreign Exchange Contracts and Future Contracts--Forward currency contracts and foreign exchange contracts are obligations to purchase or sell a specific currency for an agreed-upon price at a future date. When the International Fund purchases or sells foreign securities, it may enter into a forward currency contract to minimize the foreign exchange risk between the trade date and the settlement date of such transactions. The International Fund could be exposed to risk if counter parties to the contracts are unable to meet the terms of their contracts or if the value of the foreign currency changes unfavorably. Forward currency contracts and foreign exchange contracts are "marked-to-market" daily at the applicable translation rate and the resulting unrealized gains or losses are reflected in the Fund's assets. The International Fund had the following foreign exchange contracts open at June 30, 2007:
Unrealized Contracts to Buy Foreign Currency In Exchange for Settlement Date Gain (Loss) - --------------------------------- --------------- --------------- ------------ 12,126,000 Euro US $16,080,289 7/9/07 US $ 296,460 6,500,000 British Pound 12,565,150 7/9/07 476,060 14,575,000 Swiss Franc 12,094,379 7/9/07 (202,245) 21,823,000 South African Rand 2,959,587 3/5/08 134,997 --------------- ------------ $43,699,405 $ 705,272 =============== ------------ Unrealized Contracts to Sell Foreign Currency In Exchange for Settlement Date Gain (Loss) - ---------------------------------- --------------- --------------- ------------ 12,126,000 Euro US $15,849,083 7/9/07 US $(527,666) 6,500,000 British Pound 12,539,930 7/9/07 (501,280) 14,575,000 Swiss Franc 11,929,299 7/9/07 37,164 9,700,000 Euro 13,120,705 8/27/07 20,386 9,140,000 British Pound 18,025,542 11/19/07 (312,406) 21,823,000 South African Rand 2,865,832 3/5/08 (228,751) 720,800,000 Japanese Yen 6,272,103 5/12/08 435,430 17,508,000 Swiss Franc 14,746,567 5/13/08 461,319 --------------- ------------ $95,349,061 (615,804) =============== ------------ Net Unrealized Gain on Forward Exchange Contracts US $ 89,468 ============
The International Fund may purchase or sell stock index futures contracts as a hedge against changes in market conditions. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash, and/or by securing a standby letter of credit from a major commercial bank, as collateral, for the account of the broker (the Fund's agent in acquiring the futures position). During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by "marking-to-market" on a daily basis to reflect the market value of the contract at the end of each day's trading. Variation margin payments are made or received depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund's basis in the contract. Risk includes the possibility of an illiquid market and that a change in the value of the contract may not correlate with changes in the securities being hedged. At June 30, 2007, the International Fund had no open futures contracts. 7. High Yield Credit Risk--The High Yield Fund's investment in high yield securities, whether rated or unrated, may be considered speculative and subject to greater market fluctuations and risks of loss of income and principal than lower yielding, higher-rated, fixed-income securities. The risk of loss due to default by the issuer may be significantly greater for the holders of high yielding securities, because such securities are generally unsecured and are often subordinated to other creditors of the issuer. 8. New Accounting Pronouncement--Effective June 29, 2007, the Funds adopted Financial Accounting Standards Board ("FASB") Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" ("FIN 48"). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Funds' tax returns to determine whether tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The adoption of FIN 48 had no impact on the financial statements of the Funds. In September 2006, the FASB issued Statement on Financial Accounting Standards ("SFAS") No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles for the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of June 30, 2007, FIMCO does not believe the adoption of SFAS No. 157 will impact the financial statement amounts of the Funds, however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements on changes in net assets for the period. This page intentionally left blank. Financial Highlights FIRST INVESTORS LIFE SERIES FUND The following table sets forth the per share operating performance data for a trust share outstanding, total return, ratios to average net assets and other supplemental data for each period indicated.
- ----------------------------------------------------------------------------------------------------- P E R S H A R E D A T A ---------------------------------------------------------------------------------------- Less Distributions Investment Operations from ------------------------------------- ---------------------- Net Asset Net Net Realized Value, Investment and Unrealized Total from Net Net Beginning Income Gain (Loss) on Investment Investment Realized Total of Period (Loss) Investments Operations Income Gain Distributions - ----------------------------------------------------------------------------------------------------- BLUE CHIP FUND - -------------- 2002 $20.44 $ .11 $(5.36) $(5.25) $ .09 -- $ .09 2003 15.10 .12 3.80 3.92 .11 -- .11 2004 18.91 .19 1.20 1.39 .12 -- .12 2005 20.18 .20 .67 .87 .20 -- .20 2006 20.85 .26 2.74 3.00 .20 -- .20 2007(a) 23.65 .14 1.34 1.48 .26 -- .26 - ---------------------------------------------------------------------------------------------------- CASH MANAGEMENT FUND - -------------------- 2002 $ 1.00 $.012 -- $ .012 $.012 -- $.012 2003 1.00 .005 -- .005 .005 -- .005 2004 1.00 .007 -- .007 .007 -- .007 2005 1.00 .024 -- .024 .024 -- .024 2006 1.00 .043 -- .043 .043 -- .043 2007(a) 1.00 .023 -- .023 .023 -- .023 - ---------------------------------------------------------------------------------------------------- DISCOVERY FUND - -------------- 2002 $21.43 $(.08) $(5.73) $(5.81) $ -- $ -- $ -- 2003 15.62 (.06) 6.19 6.13 -- -- -- 2004 21.75 (.04) 2.82 2.78 -- -- -- 2005 24.53 .08 1.18 1.26 -- -- -- 2006 25.79 .06 5.74 5.80 .04 -- .04 2007(a) 31.55 .05 2.97 3.02 .06 2.66 2.72 - ---------------------------------------------------------------------------------------------------- GOVERNMENT FUND - --------------- 2002 $10.45 $ .45 $ .33 $ .78 $ .52 -- $ .52 2003 10.71 .55 (.22) .33 .45 -- .45 2004 10.59 .54 (.17) .37 .58 -- .58 2005 10.38 .51 (.26) .25 .53 -- .53 2006 10.10 .51 (.14) .37 .51 -- .51 2007(a) 9.96 .25 (.14) .11 .52 -- .52 - ---------------------------------------------------------------------------------------------------- GROWTH & INCOME FUND++ - -------------------- 2002 $30.71 $ .12 $(6.94) $(6.82) $ .06 $ -- $ .06 2003 23.83 .16 6.75 6.91 .12 -- .12 2004 30.62 .25 3.04 3.29 .16 -- .16 2005 33.75 .16 2.25 2.41 .25 -- .25 2006 35.91 .20 4.68 4.88 .16 2.27 2.43 2007(a) 38.36 .16 2.85 3.01 .20 5.43 5.63 - ---------------------------------------------------------------------------------------------------- HIGH YIELD FUND - --------------- 2002 $ 8.13 $ .70 $ (.54) $ .16 $ .89 -- $ .89 2003 7.40 .63 1.16 1.79 .69 -- .69 2004 8.50 .62 .17 .79 .63 -- .63 2005 8.66 .65 (.61) .04 .63 -- .63 2006 8.07 .62 .12 .74 .67 -- .67 2007(a) 8.14 .29 .01 .30 .63 -- .63 - ---------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------- R A T I O S / S U P P L E M E N T A L D A T A - ------------------------ -------------------------------------------------------------------------------- Ratio to Average Net Ratio to Average Net Assets Before Expenses Assets** Waived or Assumed -------------------- ---------------------- Net Asset Net Value, Net Assets Investment Net Portfolio End of Total End of Period Income Investment Turnover Period Return* (in millions) Expenses (Loss) Expenses Income Rate - ----------------------------------------------------------------------------------------------------------- BLUE CHIP FUND - -------------- 2002 $15.10 (25.80)% $148 .81% .58% N/A N/A 138% 2003 18.91 26.19 179 .83 .71 N/A N/A 96 2004 20.18 7.37 181 .83 .99 N/A N/A 100 2005 20.85 4.34 174 .85 .93 N/A N/A 34 2006 23.65 14.49 181 .82 1.13 N/A N/A 4 2007(a) 24.87 6.35 185 .81+ 1.14+ N/A N/A 2 - ----------------------------------------------------------------------------------------------------------- CASH MANAGEMENT FUND - -------------------- 2002 $ 1.00 1.22% $ 14 .70% 1.20% .98% .92% N/A 2003 1.00 .54 10 .70 .55 .95 .30 N/A 2004 1.00 .71 7 .70 .69 1.04 .35 N/A 2005 1.00 2.44 6 .70 2.38 1.09 1.99 N/A 2006 1.00 4.35 7 .70 4.26 1.09 3.87 N/A 2007(a) 1.00 2.33 6 .70+ 4.66+ 1.04+ 4.32+ N/A - ----------------------------------------------------------------------------------------------------------- DISCOVERY FUND - -------------- 2002 $15.62 (27.11)% $ 89 .83% (.43)% N/A N/A 130% 2003 21.75 39.24 122 .85 (.35) N/A N/A 111 2004 24.53 12.78 134 .83 (.18) N/A N/A 93 2005 25.79 5.14 137 .90 .15 N/A N/A 111 2006 31.55 22.51 158 .82 .19 N/A N/A 58 2007(a) 31.85 10.26 171 .82+ .32+ N/A N/A 28 - ----------------------------------------------------------------------------------------------------------- GOVERNMENT FUND - --------------- 2002 $10.71 7.79% $ 25 .78% 5.39% .93% 5.24% 101% 2003 10.59 3.18 24 .75 4.98 .90 4.83 83 2004 10.38 3.62 21 .76 4.81 .91 4.66 62 2005 10.10 2.54 20 .81 4.85 .96 4.70 52 2006 9.96 3.80 20 .78 5.10 .93 4.95 28 2007(a) 9.55 1.05 20 .80+ 4.74+ .95+ 4.59+ 7 - ----------------------------------------------------------------------------------------------------------- GROWTH & INCOME FUND++ - -------------------- 2002 $23.83 (22.24)% $176 .82% .43% N/A N/A 69% 2003 30.62 29.18 222 .83 .60 N/A N/A 74 2004 33.75 10.77 239 .83 .79 N/A N/A 76 2005 35.91 7.20 249 .85 .46 N/A N/A 93 2006 38.36 14.35 268 .82 .55 N/A N/A 127 2007(a) 35.74 9.16 284 .81+ .92+ N/A N/A 25 - ----------------------------------------------------------------------------------------------------------- HIGH YIELD FUND - --------------- 2002 $ 7.40 2.25% $ 50 .86% 9.34% N/A N/A 13% 2003 8.50 26.14 64 .85 8.34 N/A N/A 30 2004 8.66 9.94 70 .85 7.55 N/A N/A 33 2005 8.07 .41 69 .87 8.01 N/A N/A 35 2006 8.14 9.77 68 .85 7.63 N/A N/A 31 2007(a) 7.81 3.71 69 .84+ 7.16+ N/A N/A 13 - 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Financial Highlights (continued) FIRST INVESTORS LIFE SERIES FUND
- ----------------------------------------------------------------------------------------------------- P E R S H A R E D A T A ---------------------------------------------------------------------------------------- Less Distributions Investment Operations from ------------------------------------- ---------------------- Net Asset Net Realized Value, Net and Unrealized Total from Net Net Beginning Investment Gain (Loss) on Investment Investment Realized Total of Period Income Investments Operations Income Gain Distributions - ----------------------------------------------------------------------------------------------------- INTERNATIONAL FUND+++ - ------------------ 2002 $15.41 $ .08 $(2.91) $(2.83) $ .08 $ -- $ .08 2003 12.50 .10 3.91 4.01 .13 -- .13 2004 16.38 .09 2.28 2.37 .20 -- .20 2005 18.55 .28 1.41 1.69 .24 -- .24 2006 20.00 .29 5.09 5.38 .15 .64 .79 2007(a) 24.59 .29 1.82 2.11 .83 3.36 4.19 - ---------------------------------------------------------------------------------------------------- INVESTMENT GRADE FUND - --------------------- 2002 $11.36 $ .63 $ .22 $ .85 $ .64 -- $ .64 2003 11.57 .61 .34 .95 .65 -- .65 2004 11.87 .59 (.12) .47 .67 -- .67 2005 11.67 .56 (.42) .14 .67 -- .67 2006 11.14 .53 (.11) .42 .62 -- .62 2007(a) 10.94 .27 (.16) .11 .60 -- .60 - ---------------------------------------------------------------------------------------------------- SELECT GROWTH FUND++++ - ------------------- 2002 $ 8.66 $ .01 $(2.44) $(2.43) $ .02 -- $.02 2003 6.21 .04 1.68 1.72 .01 -- .01 2004 7.92 .10 .36 .46 .04 -- .04 2005 8.34 .05 .41 .46 .10 -- .10 2006 8.70 .07 .75 .82 .05 -- .05 2007(a) 9.47 .04 .65 .69 .07 -- .07 - ---------------------------------------------------------------------------------------------------- TARGET MATURITY 2007 FUND - ------------------------- 2002 $13.43 $ .74 $ 1.20 $1.94 $ .69 $ -- $ .69 2003 14.68 .77 (.50) .27 .74 .14 .88 2004 14.07 .77 (.61) .16 .80 .38 1.18 2005 13.05 .72 (.65) .07 .74 .28 1.02 2006 12.10 .76 (.38) .38 .74 .09 .83 2007(a) 11.65 .36 (.11) .25 .75 .05 .80 - ---------------------------------------------------------------------------------------------------- TARGET MATURITY 2010 FUND - ------------------------- 2002 $13.59 $ .65 $ 1.82 $ 2.47 $ .65 $ -- $ .65 2003 15.41 .72 (.28) .44 .67 -- .67 2004 15.18 .72 (.13) .59 .73 .06 .79 2005 14.98 .70 (.50) .20 .70 .14 .84 2006 14.34 .75 (.49) .26 .72 .12 .84 2007(a) 13.76 .40 (.21) .19 .77 -- .77 - ---------------------------------------------------------------------------------------------------- TARGET MATURITY 2015 FUND - ------------------------- 2002 $11.57 $ .38 $ 2.23 $ 2.61 $.47 -- $ .47 2003 13.71 .50 (.06) .44 .41 -- .41 2004 13.74 .53 .61 1.14 .51 -- .51 2005 14.37 .53 .08 .61 .52 -- .52 2006 14.46 .57 (.32) .25 .52 -- .52 2007(a) 14.19 .30 (.39) (.09) .58 -- .58 - ---------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------- R A T I O S / S U P P L E M E N T A L D A T A - ------------------------ -------------------------------------------------------------------------------- Ratio to Average Net Ratio to Average Net Assets Before Expenses Assets** Waived or Assumed Net Asset -------------------- ---------------------- Value, Net Assets Net Net Portfolio End of Total End of Period Investment Investment Turnover Period Return* (in millions) Expenses Income Expenses Income Rate - ----------------------------------------------------------------------------------------------------------- INTERNATIONAL FUND+++ - ------------------ 2002 $12.50 (18.43)% $ 72 1.09% .63% N/A N/A 129% 2003 16.38 32.52 90 1.08 .74 N/A N/A 119 2004 18.55 14.58 99 1.02 .94 N/A N/A 114 2005 20.00 9.22 105 .99 .80 N/A N/A 104 2006 24.59 27.79 129 .97 1.24 N/A N/A 157 2007(a) 22.51 10.26 142 .88+ 2.22+ N/A N/A 25 - ----------------------------------------------------------------------------------------------------------- INVESTMENT GRADE FUND - --------------------- 2002 $11.57 7.86% $ 34 .74% 6.02% .89% 5.87% 14% 2003 11.87 8.60 37 .73 5.29 .88 5.14 14 2004 11.67 4.04 38 .72 5.03 .87 4.88 16 2005 11.14 1.31 38 .75 4.91 .90 4.76 24 2006 10.94 3.99 37 .74 4.82 .89 4.67 86 2007(a) 10.45 .98 37 .72+ 5.01+ .87+ 4.86+ 26 - ----------------------------------------------------------------------------------------------------------- SELECT GROWTH FUND++++ - ------------------- 2002 $ 6.21 (28.09)% $ 7 1.04% .13% N/A N/A 127% 2003 7.92 27.73 10 .95 .67 N/A N/A 43 2004 8.34 5.87 11 .96 1.23 N/A N/A 50 2005 8.70 5.55 11 .99 .57 N/A N/A 66 2006 9.47 9.47 12 .92 .77 N/A N/A 80 2007(a) 10.09 7.37 12 .91+ .77+ N/A N/A 38 - ----------------------------------------------------------------------------------------------------------- TARGET MATURITY 2007 FUND - ------------------------- 2002 $14.68 15.09% $ 33 .73% 5.02% .88% 4.87% 1% 2003 14.07 1.90 28 .72 4.89 .87 4.74 0 2004 13.05 1.12 23 .73 5.14 .88 4.99 0 2005 12.10 .65 21 .75 5.46 .90 5.31 0 2006 11.65 3.29 17 .76 5.81 .91 5.66 0 2007(a) 11.10 2.21 16 .77+ 5.90+ .92+ 5.75+ 0 - ----------------------------------------------------------------------------------------------------------- TARGET MATURITY 2010 FUND - ------------------------- 2002 $15.41 18.88% $ 18 .78% 4.82% .93% 4.67% 3% 2003 15.18 2.84 17 .74 4.54 .89 4.39 1 2004 14.98 3.96 17 .75 4.70 .90 4.55 4 2005 14.34 1.46 16 .76 4.74 .91 4.59 3 2006 13.76 2.02 14 .76 5.13 .91 4.98 3 2007(a) 13.18 1.35 13 .75+ 5.39+ .90+ 5.24+ 0 - ----------------------------------------------------------------------------------------------------------- TARGET MATURITY 2015 FUND - ------------------------- 2002 $13.71 23.36% $ 9 .88% 4.70% 1.03% 4.55% 1% 2003 13.74 3.24 12 .80 4.27 .95 4.12 3 2004 14.37 8.47 17 .75 4.34 .90 4.19 2 2005 14.46 4.39 22 .73 4.14 .88 3.99 0 2006 14.19 1.85 24 .70 4.38 .85 4.23 2 2007(a) 13.52 (.73) 24 .70+ 4.40+ .85+ 4.25+ 1 - -----------------------------------------------------------------------------------------------------------
Financial Highlights (continued) FIRST INVESTORS LIFE SERIES FUND
- ----------------------------------------------------------------------------------------------------- P E R S H A R E D A T A ---------------------------------------------------------------------------------------- Less Distributions Investment Operations from ------------------------------------- ---------------------- Net Asset Net Realized Value, Net and Unrealized Total from Net Net Beginning Investment Gain (Loss) on Investment Investment Realized Total of Period Income Investments Operations Income Gain Distributions - ----------------------------------------------------------------------------------------------------- VALUE FUND+++++ - ---------- 2002 $12.71 $ .32 $(3.02) $(2.70) $ .27 -- $ .27 2003 9.74 .22 2.35 2.57 .32 -- .32 2004 11.99 .23 1.71 1.94 .22 -- .22 2005 13.71 .25 .57 .82 .22 -- .22 2006 14.31 .27 2.76 3.03 .26 -- .26 2007(a) 17.08 .14 1.04 1.18 .27 -- .27 - ----------------------------------------------------------------------------------------------------- SPECIAL BOND FUND - ----------------- 2002 $ 8.53 $ .80 $ (.62) $ .18 $ .81 -- $ .81 2003 7.90 .76 1.41 2.17 .78 -- .78 2004 9.29 .73 .20 .93 .72 -- .72 2005 9.50 .73 (.58) .15 .70 -- .70 2006 8.95 .69 .11 .80 .23 -- .23 2007(a) 9.52 .35 .06 .41 .61 -- .61 - ----------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------- R A T I O S / S U P P L E M E N T A L D A T A - ------------------------ -------------------------------------------------------------------------------- Ratio to Average Net Ratio to Average Net Assets Before Expenses Assets** Waived or Assumed Net Asset -------------------- ---------------------- Value, Net Assets Net Net Portfolio End of Total End of Period Investment Investment Turnover Period Return* (in millions) Expenses Income Expenses Income Rate - ----------------------------------------------------------------------------------------------------------- VALUE FUND+++++ - ---------- 2002 $ 9.74 (21.60)% $ 45 .97% 2.72% N/A N/A 71% 2003 11.99 27.59 58 .83 2.19 N/A N/A 33 2004 13.71 16.39 69 .84 1.87 N/A N/A 20 2005 14.31 6.09 79 .87 1.89 N/A N/A 21 2006 17.08 21.43 94 .83 1.73 N/A N/A 15 2007(a) 17.99 7.02 100 .83+ 1.62+ N/A N/A 6 - ----------------------------------------------------------------------------------------------------------- SPECIAL BOND FUND - ----------------- 2002 $ 7.90 2.20% $ 19 .93% 9.77% N/A N/A 18% 2003 9.29 28.31 22 .93 8.84 N/A N/A 23 2004 9.50 10.38 21 .93 7.79 N/A N/A 31 2005 8.95 1.69 19 .97 8.05 N/A N/A 28 2006 9.52 9.18 16 .98 7.16 N/A N/A 31 2007(a) 9.32 4.42 16 .98+ 6.93+ N/A N/A 7 - ----------------------------------------------------------------------------------------------------------- * The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. ** Net of expenses waived or assumed by the investment adviser (Note 4). + Annualized ++ Prior to October 18, 2006, known as Growth Fund. +++ Prior to June 27, 2006, known as International Securities Fund. ++++ Prior to July 26, 2007, known as Focused Equity Fund. +++++ Prior to December 31, 2002, known as Utilities Income Fund. (a) For the period January 1, 2007 to June 30, 2007.
See notes to financial statements. Report of Independent Registered Public Accounting Firm To the Shareholders and Trustees of First Investors Life Series Funds We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of the fourteen Funds comprising First Investors Life Series Funds, as of June 30, 2007, the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the periods indicated thereon. These financial statements and financial highlights are the responsibility of the Life Series Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of the Funds' internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2007, by correspondence with the custodian and brokers. Where brokers have not replied to our confirmation requests, we have carried out other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the fourteen Funds comprising First Investors Life Series Funds, as of June 30, 2007, and the results of their operations, changes in their net assets, and their financial highlights for the periods presented, in conformity with accounting principles generally accepted in the United States of America. Tait, Weller & Baker LLP Philadelphia, Pennsylvania August 15, 2007 Board Considerations of Advisory Contracts and Fees (Unaudited) FIRST INVESTORS LIFE SERIES FUNDS I. Annual Consideration of the Investment Advisory Agreements and the Sub-Advisory Agreements with Wellington Management Company, LLP, Paradigm Capital Management, Inc. and Vontobel Asset Management, Inc. At a meeting held on May 17, 2007 ("May Meeting"), the Board of Trustees ("Board"), including a majority of the non-interested or independent Trustees (hereinafter, "Trustees"), approved the renewal of the investment advisory agreement (the "Advisory Agreement") between First Investors Management Company, Inc. ("FIMCO") and each of the following funds (each a "Fund" and collectively the "Funds"): Blue Chip Fund, Value Fund, Discovery Fund, Growth & Income Fund, Focused Equity Fund, International Fund, Government Fund, Investment Grade Fund, High Yield Fund, Special Bond Fund, Cash Management Fund, Target Maturity 2007 Fund, Target Maturity 2010 Fund and Target Maturity 2015 Fund. In addition, at the May Meeting, the Board, including a majority of the independent Trustees, approved the renewal of the sub-advisory agreements (each a "Sub-Advisory Agreement" and collectively the "Sub-Advisory Agreements") with: (1) Paradigm Capital Management, Inc. ("Paradigm") with respect to the Discovery Fund; and (2) Vontobel Asset Management, Inc. ("Vontobel") with respect to the International Fund. The Discovery Fund and International Fund are collectively referred to as the "Sub-Advised Funds." At the May Meeting, the Board, including a majority of the independent Trustees, also approved the employment of Smith Asset Management Group, L.P. ("Smith Group") as the new sub-adviser for the Focused Equity Fund and the continuance of the sub-advisory agreement with Wellington Management Company, LLP ("WMC") with respect to the Focused Equity Fund on an interim basis until the new sub-adviser assumed management of the Fund. At that meeting, FIMCO also recommended, and the Board approved, a change in the Focused Equity Fund's name to First Investors Life Series Select Growth Fund and investment strategies to be effective upon Smith Group assuming management of the Fund. Smith Group is expected to assume portfolio management of the Focused Equity Fund in August 2007. In reaching its decisions to approve the continuation of the Advisory Agreement for each Fund and the Sub-Advisory Agreements with Paradigm and Vontobel, the Board considered information furnished and discussed throughout the year at regularly scheduled Board meetings and Investment Committee meetings as well as information provided specifically in relation to the renewal of the Advisory Agreement and Sub-Advisory Agreements for the May Meeting. Information furnished at Board meetings and/or Investment Committee meetings throughout the year included FIMCO's analysis of each Fund's investment performance, presentations given by representatives of FIMCO, Paradigm and Vontobel and various reports on compliance Board Considerations of Advisory Contracts and Fees (continued) (Unaudited) FIRST INVESTORS LIFE SERIES FUNDS and other services provided by FIMCO. In preparation for the May Meeting, the independent Trustees requested and received information compiled by Lipper, Inc. ("Lipper"), an independent provider of investment company data, on the investment performance over various time periods and the fees and expenses of each Fund as compared to a comparable group of funds as determined by Lipper ("Peer Group"). Additionally, in response to specific requests from the independent Trustees in connection with the May Meeting, FIMCO furnished, and the Board considered, information concerning aspects of its operations, including: (1) the nature, extent and quality of services provided by FIMCO to the Funds, including investment advisory and administrative services to the Funds; (2) the actual management fees paid by each Fund to FIMCO; (3) the costs of providing services to each Fund and the profitability of FIMCO from the relationship with each Fund; and (4) any "fall out" or ancillary benefits accruing to FIMCO as a result of the relationship with each Fund. FIMCO also provided, and the Board considered, an analysis of the overall profitability of the First Investors mutual fund business that included various entities affiliated with FIMCO as well as comparative profitability information based on analysis performed by FIMCO of the financial statements of certain publicly-traded mutual fund asset managers. In addition to evaluating, among other things, the written information provided by FIMCO, the Board also evaluated the answers to questions posed by the Board to representatives of FIMCO at the May Meeting. In addition, in response to specific requests from the independent Trustees in connection with the May Meeting, Paradigm and Vontobel furnished, and the Board reviewed, information concerning aspects of their respective operations, including: (1) the nature, extent and quality of services provided by Paradigm and Vontobel to the applicable Sub-Advised Funds; (2) the sub-advisory fee rates charged by Paradigm and Vontobel and a comparison of those fee rates to the fee rates charged by Paradigm and Vontobel for providing sub-advisory services to other investment companies or accounts, as applicable, with objectives similar to the applicable Sub-Advised Funds; (3) profitability information provided by Paradigm and Vontobel; and (4) any "fall out" or ancillary benefits accruing to Paradigm and Vontobel as a result of the relationship with each applicable Sub-Advised Fund. In considering the information and materials described above, the independent Trustees received assistance from and met separately with independent legal counsel and were provided with a written description of their statutory responsibilities and the legal standards that are applicable to approvals of advisory agreements. Although the Advisory Agreement for all of the Funds and the Sub-Advisory Agreements for the Sub-Advised Funds were considered at the same Board meeting, the Trustees addressed each Fund separately during the May Meeting. Based on all of the information presented, the Board, including a majority of its independent Trustees, determined on a Fund-by-Fund basis that the fees charged under the Advisory Agreement and each Sub-Advisory Agreement are reasonable in relation to the services that are provided under each Agreement. In view of the broad scope and variety of factors and information, the Trustees did not find it practicable to, and did not, assign relative weights to the specific factors considered in reaching their conclusions and determinations to approve the continuance of the Advisory Agreement for each Fund and Sub-Advisory Agreements. Rather, the approval determinations were made on the basis of each Trustee's business judgment after consideration of all of the factors taken in their entirety. Although not meant to be all-inclusive, the following discusses some of the factors relevant to the Board's decisions to approve the continuance of the Advisory Agreement for each Fund and Sub-Advisory Agreements with Paradigm and Vontobel. Nature, Extent and Quality of Services In examining the nature, extent and quality of the services provided by FIMCO, the Board recognized that FIMCO is dedicated to providing investment management services exclusively to the Funds and the other funds in the First Investors fund complex and that, unlike many other mutual fund managers, FIMCO is not in the business of providing management services to hedge funds, pension funds or separately managed accounts. As a result, the Trustees considered that FIMCO's personnel devote substantially all of their time to serving the funds in the First Investors fund complex. The Board noted that FIMCO has undertaken extensive responsibilities as manager of the Funds, including: (1) the provision of investment advice to the Funds; (2) implementing policies and procedures designed to ensure compliance with each Fund's investment objectives and policies; (3) the review of brokerage arrangements; (4) oversight of general portfolio compliance with applicable laws; (5) the provision of certain administrative services to the Funds, including fund accounting; (6) the implementation of Board directives as they relate to the Funds; and (7) evaluating and monitoring sub-advisers. The Trustees noted that under the Advisory Agreement with FIMCO, FIMCO provides not only advisory services but certain administrative services, such as fund accounting services, that many other advisers do not provide under their advisory agreements. The Board also noted the steps that FIMCO has taken to encourage strong performance, including making changes to portfolio managers and/or sub-advisers of Funds that have had significant periods of underperformance, adding to its in-house research and analytical capabilities when necessary, providing significant compensation incentives to portfolio managers and analysts for above-the-median Fund performance. Board Considerations of Advisory Contracts and Fees (continued) (Unaudited) FIRST INVESTORS LIFE SERIES FUNDS Furthermore, the Board considered the nature, extent and quality of the investment management services provided by Paradigm and Vontobel to the applicable Sub-Advised Funds. The Trustees considered Paradigm's and Vontobel's investment management process in managing the applicable Sub-Advised Funds and the experience and capability of their respective personnel responsible for the portfolio management of the applicable Sub-Advised Funds. Based on the information considered, the Board concluded that the nature, extent and quality of FIMCO's, Paradigm's and Vontobel's services, as applicable, supported approval of the Advisory Agreement and each Sub-Advisory Agreement. Investment Performance The Board placed significant emphasis on the investment performance of each of the Funds. While consideration was given to performance reports and discussions held at prior Board meetings, particular attention was given to the performance information compiled by Lipper. In particular, the Trustees reviewed the performance of the Funds over the most recent calendar year ("1-year period") and, to the extent provided by Lipper, the annualized performance over the most recent three calendar year period ("3-year period") and five calendar year period ("5-year period"). In this regard, the Board considered the performance of each Fund on a percentile and quintile basis as compared to its Peer Group. For purposes of the performance data provided by Lipper, the first quintile is defined as 20% of the funds in the applicable Peer Group with the highest performance and the fifth quintile is defined as 20% of the funds in the applicable Peer Group with the lowest performance. On a Fund-by-Fund basis, the performance reports indicated, and the Board noted, that each Fund, except for Focused Equity Fund and Cash Management Fund, fell within the top three quintiles for at least one of the performance periods provided by Lipper. With regard to Focused Equity Fund, the Board considered and approved FIMCO's recommendation that Smith Group be appointed as a sub-adviser to the Fund and that the Fund's sub-advisory agreement with WMC be terminated upon the assumption by Smith Group of the portfolio management of the Fund. See separate discussion below regarding the approval of the sub-advisory agreement with Smith Group. With regard to Cash Management Fund, the Board considered information provided by FIMCO concerning the impact of the Cash Management Fund's investment parameters, which FIMCO described as generally more conservative than those employed by advisers of many other money market funds, on relative performance. For example, as described by FIMCO, unlike many other money market funds, the Cash Management Fund holds a significant portion of its assets in U.S. Government securities in an effort to mitigate credit risk. This could impact relative performance in certain market conditions. Fund Expenses, Costs of Services, Economies of Scale and Related Benefits Management Fees and Expenses. The Board also gave substantial consideration to the fees payable under each Fund's Advisory Agreement as well as under the Sub-Advisory Agreements for the Sub-Advised Funds. The Board reviewed the information compiled by Lipper comparing each Fund's contractual management fee rate (at common asset levels) and actual management fee rate (which included the effect of any fee waivers) as a percentage of average net assets -- these fee rates include advisory and administrative service fees -- to other funds in its Peer Group. The Board also reviewed the information compiled by Lipper comparing each Fund's total expense ratio, taking into account FIMCO's expense waivers (as applicable), and the ratio of the sum of actual management and other non-management fees (i.e., fees other than management fees) to other funds in its Peer Group. In this regard, the Board considered the management fees and expense ratios of each Fund (other than the Target Maturity 2007 Fund, Target Maturity 2010 Fund and Target Maturity 2015 Fund) on a quintile basis as compared to its Peer Group. For purposes of the data provided by Lipper, the first quintile is defined as 20% of the funds in the applicable Peer Group with the lowest fee or ratio and the fifth quintile is defined as 20% of the funds in the applicable Peer Group with the highest fee or ratio. Based on the comparative data provided, on a Fund-by-Fund basis, the Board noted that: (1) the contractual management fee rate and actual management fee rate (after taking into account any applicable fee waivers) for each Fund, except the Cash Management Fund (contractual fee only), Government Fund, Investment Grade Fund, High Yield Fund and Special Bond Fund, was in the first three quintiles of its respective Peer Group; and (2) the total expense ratio and ratio of actual management and other non-management fees for each Fund, except the Government Fund, Investment Grade Fund, Cash Management Fund and Special Bond Fund (actual management and other non-management fees only), was in the top three quintiles of its respective Peer Group. The Board further considered that, effective July 1, 2007 through the 2008 fiscal year, FIMCO proposed the continuation of the total expense cap agreement for the Cash Management Fund and the management fee waiver agreements for the Government Fund and Investment Grade Fund. The Board expressed its intention to continue to evaluate, through its Investment Committee, the fees for these Funds. Board Considerations of Advisory Contracts and Fees (continued) (Unaudited) FIRST INVESTORS LIFE SERIES FUNDS With regard to the Target Maturity 2007 Fund, Target Maturity 2010 Fund and Target Maturity 2015 Fund, the Board noted that Lipper did not provide data comparing each Fund's management fee, total expense ratio or ratio of management and other non-management fees to other funds in its Peer Group on a quintile and percentile basis due to the limited number of funds in the Target Maturity underlying variable insurance products classification. However, the Board reviewed data provided by Lipper showing each Target Maturity Fund's rank among the other funds in its Peer Group as it relates to management fees and expense ratios. Based on this information, the Board noted that although each Target Maturity Fund was ranked last in its Peer Group for contractual management fees, it ranked first (i.e., lowest management fee) for actual management fees due to fee waivers. In addition, the Board noted that each Target Maturity Fund ranked in the middle of its Peer Group as it relates to the total expense ratio and ratio of management and other non-management fees. The Board further noted that, effective July 1, 2007 through the 2008 fiscal year, FIMCO proposed the continuation of the management fee waiver agreement for each Target Maturity Fund. In considering the sub-advisory fee rates charged by and costs and profitability of Paradigm and Vontobel with regard to the respective Sub-Advised Funds, the Board noted that FIMCO pays Paradigm or Vontobel, as the case may be, a sub-advisory fee from its own advisory fee rather than each Fund paying Paradigm or Vontobel a fee directly. Paradigm and Vontobel provided, and the Board reviewed, information comparing the fees charged by Paradigm and Vontobel for services to the respective Sub-Advised Funds versus the fees charged by Paradigm and Vontobel to other comparable investment companies or accounts, as applicable. Based on a review of this information, the Board noted that the fees charged by Paradigm and Vontobel for services to each applicable Sub-Advised Fund appeared competitive to the fees Paradigm and Vontobel charge to such other comparable investment companies or accounts. The foregoing comparisons assisted the Trustees by providing them with a basis for evaluating each Fund's management fee and expense ratio on a relative basis. Profitability. The Board reviewed the materials it received from FIMCO regarding its revenues and costs in providing investment management and certain administrative services to the Funds. In particular, the Board considered the analysis of FIMCO's profitability with respect to each Fund, calculated for the year ended December 31, 2006, as well as overall profitability information relating to the past five calendar years. The Board also considered the information provided by FIMCO comparing the profitability of certain other publicly-traded mutual fund asset managers as analyzed by FIMCO based on publicly available financial statements. In reviewing the profitability information, the Trustees also considered the "fall-out" or ancillary benefits that may accrue to FIMCO as a result of its relationship with the Funds, which are discussed below. The Trustees acknowledged that, as a business matter, FIMCO was entitled to earn reasonable profits for its services to the Funds. Economies of Scale. With respect to whether economies of scale are realized by FIMCO as a Fund's assets increase and the extent to which any economies of scale are reflected in the level of management fee rates charged, the Board considered that the Advisory Agreement fee schedule for each Fund includes breakpoints to account for management economies of scale. The Board noted that the Growth & Income Fund has reached an asset size at which the Fund and its shareholders are benefiting from reduced management fee rates due to breakpoints in its fee schedule. With regard to all of the other Funds, the Board recognized that, although the Funds have not reached a size at which they can take advantage of the breakpoints contained in their fee schedule, each schedule is structured so that when the assets of the Funds grow, economies of scale may be shared for the benefit of shareholders. "Fall Out" or Ancillary Benefits. The Board considered the "fall-out" or ancillary benefits that may accrue to FIMCO, Paradigm and Vontobel as a result of their relationship with the Funds. In that regard, the Board considered the fact that FIMCO and Vontobel receive research from broker-dealers that execute brokerage transactions for the funds in the First Investors fund complex. However, the Board noted that FIMCO and the subadvisers must select brokers based on each Fund's requirements for seeking best execution. The Board also considered that Paradigm executes brokerage transactions for the Discovery Fund through the use of an affiliated broker-dealer and that this also provides a source of fall-out benefits to Paradigm. * * * In summary, after evaluation of the comparative performance, fee and expense information and the profitability, ancillary benefits and other considerations as described above, and in light of the nature, extent and quality of services to be provided by FIMCO, Paradigm and Vontobel, the Board concluded that the level of fees paid to FIMCO with respect to each Fund, and Paradigm and Vontobel with respect to each applicable Sub-Advised Fund, is reasonable. As a result, the Board, including a majority of the independent Trustees, approved the Advisory Agreement and each Sub-Advisory Agreement. Board Considerations of Advisory Contracts and Fees (continued) (Unaudited) FIRST INVESTORS LIFE SERIES FUNDS II. Initial Consideration of the Sub-Advisory Agreement with Smith Asset Management Group, L.P. for the Focused Equity Fund At the May Meeting, the Board, including a majority of the non-interested or independent Trustees, also approved an initial sub-advisory agreement (the "Proposed Agreement") with Smith Asset Management Group, L.P. ("Smith Group") with respect to the Focused Equity Fund. In reaching its decision, the Board considered several factors when evaluating Smith Group and in approving the Proposed Agreement, including Smith Group's experience in managing multi-cap growth stocks, the past performance of accounts managed by Smith Group with a similar investment mandate, its overall capabilities to perform the services under the Agreement and its willingness to perform those services for the Focused Equity Fund. A discussion of the factors relating to the Board's appointment of Smith Group as sub-adviser to the Focused Equity Fund and approval of the Proposed Agreement and sub-advisory fee to be paid by FIMCO to Smith Group follows. Nature, extent, and quality of the services to be provided by Smith Group The Board considered Smith Group's investment process, its experience in managing portfolios using its growth strategy, and the experience and capabilities of the personnel who will be responsible for the management of the Focused Equity Fund. In addition, the Board considered the differences between Smith Group's investment strategy compared to that of the previous sub-adviser to the Focused Equity Fund. The Board also took into consideration FIMCO's belief that Smith Group's approach to investing in multi-cap growth stocks may increase the potential for positive returns for Focused Equity Fund shareholders. In addition, the Board considered Smith Group's investment resources, infrastructure and the adequacy of its compliance program. Based on this information, the Board concluded that the nature, extent and quality of the sub-advisory services to be provided by Smith Group were appropriate for the Focused Equity Fund in light of its investment objective, and, thus, supported a decision to approve the Proposed Agreement. Performance of Smith Group The Board evaluated Smith Group's historical investment performance record in managing assets utilizing a multi-cap growth mandate. In this regard, the Board evaluated the performance of the Smith Group Large Cap Core/Growth Composite with: (i) the performance of the S&P 500 Index for the period January 1, 1996 to December 31, 2006 as well as the performance for the period January 1, 2007 to March 31, 2007; (ii) the average performance of the Lipper Multi-Cap Growth peer group for the period January 1, 2001 to December 31, 2006; and (iii) the performance of the Russell 3000 Growth Index over various time periods ending December 31, 2006. The Board noted that the performance of the Smith Group Large Cap Core/Growth Composite was better than the performance of the S&P 500 Index and the Lipper Multi-Cap Growth peer group average for most of the periods presented and was better than the performance of the Russell 3000 Growth Index for all of the periods presented. The Trustees concluded that the historical investment performance record of Smith Group supported approval of the Proposed Agreement. Sub-advisory Fees In evaluating the Proposed Agreement, the Board reviewed Smith Group's proposed sub-advisory fee schedule. The Board considered that Smith Group represented to FIMCO that the fee to be paid by FIMCO under the Proposed Agreement is lower than the fee Smith Group charges to the other accounts it manages with a similar investment mandate. The Board noted that the proposed sub-advisory fee to be paid to Smith Group is lower than the fee currently charged by WMC, which will result in an economic benefit to FIMCO. The Trustees concluded that Smith Group's sub-advisory fees under the Proposed Agreement appeared to be within a reasonable range for the services to be provided to the Focused Equity Fund. Costs of the services to be provided and profits to be realized by Smith Group and its affiliates from the relationship with the Fund Since the sub-advisory relationship with Smith Group as it relates to the Focused Equity Fund is new, the Board did not consider the costs of the services to be provided and profits to be realized by Smith Group and its affiliates from the relationship with the Fund. Extent to which economies of scale would be realized as the Fund grows and whether fee levels reflect these economies of scale for the benefit of Fund investors The Board considered that the fees to be paid to Smith Group under the Proposed Agreement are to be paid by FIMCO and not the Focused Equity Fund, and noted that FIMCO negotiated "breakpoints" in Smith Group's fees based on the levels of assets in the Focused Equity Fund as well as the assets in the First Investors Select Growth Fund. The Board also considered that the investment management agreement fee schedule with FIMCO for the Focused Equity Fund includes breakpoints so that when assets of the Fund grow, economies of scale may be shared for the benefit of shareholders. Board Considerations of Advisory Contracts and Fees (continued) (Unaudited) FIRST INVESTORS LIFE SERIES FUNDS Benefits to be derived by Smith Group from the relationship with the Fund The Board considered the "fall-out" or ancillary benefits that may accrue to Smith Group as a result of the sub-advisory relationship with the Fund, including greater exposure in the marketplace with respect to the sub-adviser's investment process, expanding the level of assets under management by Smith Group and potentially increased opportunities for soft dollar arrangements. With regard to these arrangements, the Board noted that Smith Group may direct the Focused Equity Fund's brokerage transactions to certain brokers to obtain research and other services, which may be used in servicing other clients of Smith Group. However, the Board noted that Smith Group must select brokers based on the Focused Equity Fund's requirements for seeking best execution. After review of this information, the Trustees concluded that the potential benefits accruing to Smith Group by virtue of its relationship with the Focused Equity Fund are fair and reasonable. * * * The Board did not identify any single factor as being of paramount importance. In summary, based on the various considerations described above, the Trustees, including a majority of the independent Trustees, concluded that the proposed sub-advisory fee is reasonable and that the approval of the Proposed Agreement is in the best interests of the Focused Equity Fund and its shareholders, and as a result approved the Proposed Agreement. FIRST INVESTORS LIFE SERIES FUNDS Trustees Officers - ----------------------- ----------------------- Kathryn S. Head Charles R. Barton, III President Stefan L. Geiringer Larry R. Lavoie Chief Compliance Officer Robert M. Grohol Joseph I. Benedek Kathryn S. Head Treasurer Arthur M. Scutro, Jr. Mark S. Spencer Assistant Treasurer James M. Srygley Carol Lerner Brown Robert F. Wentworth Assistant Secretary Shareholder Information - ----------------------- Investment Adviser Custodian First Investors Management Company, Inc. The Bank of New York 110 Wall Street One Wall Street New York, NY 10005 New York, NY 10286 Subadviser Custodian (Discovery Fund) (International Fund) Paradigm Capital Management, Inc. Brown Brothers Harriman & Co. Nine Elk Street 40 Water Street Albany, NY 12207 Boston, MA 02109 Subadviser Transfer Agent (Select Growth Fund) Administrative Data Management Corp. Smith Asset Management Group, L.P. Raritan Plaza I - 8th Floor 100 Crescent Court Edison, NJ 08837-3620 Dallas, TX 75201 Independent Registered Subadviser Public Accounting Firm (International Fund) Tait, Weller & Baker LLP Vontobel Asset Management, Inc. 1818 Market Street 450 Park Avenue Philadelphia, PA 19103 New York, NY 10022 Legal Counsel Kirkpatrick & Lockhart Preston Gates Ellis LLP 1601 K Street, N.W. Washington, DC 20006 FIRST INVESTORS LIFE SERIES FUNDS Shareholder Information - ----------------------- The Cash Management Fund is a money market fund and seeks to maintain a stable net asset value of $1.00 per share. However, there can be no assurance that the Fund will be able to do so or achieve its investment objective. An investment in the Fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. It is the Trust's practice to mail only one copy of its annual and semi-annual reports to all family members who reside in the same household. Additional copies of the reports will be mailed if requested by any shareholder in writing or by calling 800-423-4026. The Trust will ensure that separate reports are sent to any shareholder who subsequently changes his or her mailing address. This report is authorized for distribution only to existing shareholders, and, if given to prospective shareholders, must be accompanied or preceded by the Trust's prospectus. The Statement of Additional Information includes additional information about the Trust's trustees and is available, without charge, upon request in writing or by calling 800-423-4026. A description of the policies and procedures that the Funds use to vote proxies relating to a portfolio's securities is available, without charge, upon request by calling toll free 800-423-4026 or can be viewed online or downloaded from the EDGAR database on the Securities and Exchange Commission's ("SEC") internet website at http://www.sec.gov. In addition, information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available, without charge, upon request in writing or by calling 800-423-4026 and on the SEC's internet website at http://www.sec.gov. The Funds file their complete schedule of portfolio holdings with the SEC on Form N-Q, for the first and third quarters of each fiscal year. The Fund's Form N-Q will be available on the SEC's website at http://www.sec.gov; and may also be reviewed and copied at the SEC's Public Reference Room in Washington D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. The schedule of portfolio holdings is available, without charge, upon request in writing or by calling 800-423-4026. Item 2. Code of Ethics Not applicable Item 3. Audit Committee Financial Expert Not applicable Item 4. Principal Accountant Fees and Services Not applicable Item 5. Audit Committee of Listed Registrants Not applicable Item 6. Schedule of Investments Schedule is included as part of the report to stockholders filed under Item 1 of this Form. Item 7. Disclosure of Proxy Voting Policies & 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 Companies and Affiliated Purchasers Not applicable Item 10. Submission of Matters to a Vote of Security Holders There were no material changes to the procedure by which shareholders may recommend nominees to the Registrant's Board of Trustees. Item 11. Controls and Procedures (a) The Registrant's Principal Executive Officer and Principal Financial Officer have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective, based on their evaluation of these disclosure controls and procedures as of a date within 90 days of the filing date of this report. (b) There were no changes in the Registrant's internal controls over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. Item 12. Exhibits (a)(1) Code of Ethics - Not applicable (a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 - Filed herewith (b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 - Filed herewith 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. First Investors Life Series Funds (Registrant) By /S/ KATHRYN S. HEAD Kathryn S. Head President and Principal Executive Officer Date: September 7, 2007 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. First Investors Life Series Funds (Registrant) By /S/ JOSEPH I. BENEDEK Joseph I. Benedek Treasurer and Principal Financial Officer Date: September 7, 2007 EX-99.302 CERT 2 life302.txt CERTIFICATIONS SECTION 302 CERTIFICATIONS I, Kathryn S. Head, certify that: 1. I have reviewed this report on Form N-CSR of First Investors Life Series Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer(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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officer(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. By: /S/ KATHRYN S. HEAD Kathryn S. Head President and Principal Executive Officer Date: September 7, 2007 CERTIFICATIONS I, Joseph I. Benedek, certify that: 1. I have reviewed this report on Form N-CSR of First Investors Life Series Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer(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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officer(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. By: /S/ JOSEPH I. BENEDEK Joseph I. Benedek Treasurer and Principal Financial Officer Date: September 7, 2007 EX-99.906 CERT 3 life906.txt CERTIFICATIONS SECTION 906 CERTIFICATION CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350 AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 I, Kathryn S. Head, President and Principal Executive Officer of the First Investors Life Series Funds (the "Registrant"), certify, pursuant to 18 U.S.C. Section 1350 as enacted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to my knowledge: 1. The Registrant's periodic report on Form N-CSR of the First Investors Life Series Funds for the six months ended June 30, 2007, fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Dated: September 7, 2007 /S/ KATHRYN S. HEAD Kathryn S. Head President and Principal Executive Officer, First Investors Life Series Funds A signed original of this written statement required by Section 906 has been provided to First Investors Life Series Funds and will be retained by First Investors Life Series Funds and furnished to the Securities and Exchange Commission or its staff upon request. CERTIFICATION CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350 AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 I, Joseph I. Benedek, Treasurer and Principal Financial Officer of the First Investors Life Series Funds (the "Registrant"), certify, pursuant to 18 U.S.C. Section 1350 as enacted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to my knowledge: 1. The Registrant's periodic report on Form N-CSR of the First Investors Life Series Funds for the six months ended June 30, 2007, fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Dated: September 7, 2007 /S/ JOSEPH I. BENEDEK Joseph I. Benedek Treasurer and Principal Financial Officer, First Investors Life Series Funds A signed original of this written statement required by Section 906 has been provided to First Investors Life Series Funds and will be retained by First Investors Life Series Funds and furnished to the Securities and Exchange Commission or its staff upon request. -----END PRIVACY-ENHANCED MESSAGE-----