N-CSR 1 e75773.txt 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: 811-5669 _____________________________________________________ FIFTH THIRD FUNDS (Exact Name of Registrant as Specified in Charter) _____________________________________________________ 38 Fountain Square Plaza Cincinnati, Ohio 45263 (Address of Principal Executive Office) (Zip Code) ________________________________________________________ Registrant's Telephone Number, including area code: (800) 282-5706 (Name and Address of Agent for Service) E. Keith Wirtz with a copy to: President David A. Sturms Fifth Third Funds Vedder Price P.C. 38 Fountain Square Plaza 222 North LaSalle Street Cincinnati, Ohio 45263 Chicago, IL 60601-1003 Date of fiscal year end: July 31 Date of reporting period: July 31, 2010 ITEM 1. REPORT TO STOCKHOLDERS. FIFTH THIRD FUNDS [GRAPHIC OF FIFTH THIRD FUNDS] 2010 STOCK AND BOND MUTUAL FUNDS Annual Report to Shareholders July 31, 2010 Advised by: [LOGO OF FTAM] FIFTH THIRD ASSET MANAGEMENT NOTICE OF DELIVERY OF PROSPECTUSES, SEMI-ANNUAL REPORTS AND ANNUAL REPORTS In order to reduce expenses of the Fifth Third Funds incurred in connection with the mailing of prospectuses, prospectus supplements, semi-annual reports and annual reports to multiple shareholders at the same address, Fifth Third Funds may in the future deliver one copy of a prospectus, prospectus supplement, semi-annual report or annual report to a single investor sharing a street address or post office box with other investors, provided that all such investors have the same last name or are believed to be members of the same family. If you share an address with another investor and wish to receive your own prospectus, prospectus supplements, semi-annual reports and annual reports, please call the Trust toll-free at 1-800-282-5706. This report is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the Funds, which contains facts concerning the objectives and policies, management fees, expenses and other information. A description of the policies and procedures that the Funds use to determine how to vote proxies relating to the portfolio securities and information regarding how the Funds voted relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, on the Funds' website at www.fifththirdfunds.com or by calling 1-800-282-5706 and on the Securities and Exchange Commission's website at http://www.sec.gov. Schedules of Investments for periods ending April 30 and October 31 are filed on Form NQ and are available, without charge, on the Securities and Exchange Commission's website at http://www.sec.gov. They may be viewed 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). Fifth Third Funds are distributed by FTAM Funds Distributor, Inc., member FINRA. FTAM Funds Distributor, Inc. is not an affiliate of Fifth Third Bank, Fifth Third Funds or Fifth Third Asset Management, Inc. Fifth Third Asset Management, Inc. serves as Investment Advisor to Fifth Third Funds and receives a fee for its services. FIFTH THIRD FUNDS, LIKE ALL MUTUAL FUNDS: O ARE NOT FDIC INSURED O HAVE NO BANK GUARANTEE O MAY LOSE VALUE
TABLE OF CONTENTS Economic Outlook and Commentary Section 1 Management Discussion of Fund Performance Small Cap Growth 4 Mid Cap Growth 6 Quality Growth 8 Dividend Growth 10 Micro Cap Value 12 Small Cap Value 14 All Cap Value 16 Disciplined Large Cap Value 18 Structured Large Cap Plus 20 Equity Index 22 International Equity 24 Strategic Income 26 Fifth Third LifeModel Aggressive(SM) 28 Fifth Third LifeModel Moderately Aggressive(SM) 31 Fifth Third LifeModel Moderate(SM) 34 Fifth Third LifeModel Moderately Conservative(SM) 37 Fifth Third LifeModel Conservative(SM) 40 High Yield Bond 44 Total Return Bond 46 Short Term Bond 48 Schedules of Investments 51 Notes to Schedules of Investments 100 Statements of Assets and Liabilities 102 Statements of Operations 106 Statements of Changes in Net Assets 110 Statement of Cash Flows 127 Financial Highlights 128 Notes to Financial Highlights 150 Notes to Financial Statements 151 Report of Independent Registered Public Accounting Firm 175 Supplemental Information 176
OUR MESSAGE TO YOU -------------------------------------------------------------------------------- Despite a dramatic downturn in investor sentiment during the spring of 2010, U.S. equity and fixed income markets generally posted positive returns during the 12-month period ended July 31, 2010. In turn, most Fifth Third Funds finished the fiscal year with double-digit gains. Within the stock market, results reported during the 12-month period included: o A 13.84% gain for the S&P 500 Index(1) of large cap stocks. o A 22.82% gain for the S&P 400 Index(1) of mid cap stocks. o A 19.17% gain for the S&P 600 Index(1) of small cap stocks. o A 6.26% gain for the MSCI EAFE Index(1) of international stocks. The first eight months of the period featured growing investor enthusiasm as a number of economic indicators firmed, which brightened outlooks and spurred demand for riskier assets. The near-default of sovereign Greek debt and the BP oil spill in the Gulf of Mexico darkened moods in mid-April, however, and prompted a sharp selloff in equity markets. Solid corporate earnings keyed a modest bounce in the period's closing weeks. All told, domestic stocks outperformed fixed income investments during the period, led by small and mid cap equities and value investments. International stocks, on the other hand, produced smaller returns due largely to the overhang from the European debt issue and slowing growth in China. The fixed income market experienced broad-based demand that lifted most asset classes. U.S. Treasury issues extended a lengthy rally, aided by the springtime flight to quality, while structured products such as Mortgage-backed Securities and Asset-backed Securities benefited from extensive government support programs. Corporate bonds gained amid a renewed appreciation for healthy balance sheets, which mostly resulted from multi-quarter cost-cutting and cash-hoarding efforts. Cash investments continued to offer meager returns, while commodities generally performed well during the period. Gauging things domestically going forward, the conclusion is mixed. Statistics related to the domestic economy suggest that the current recovery is well underway and that the risk of a double-dip recession is less likely. Market nerves are frayed, however, and there are numerous things to worry investors on the horizon, including: o A cautionary spending mindset among consumers. o A cautionary mindset among corporate managers, which has led to weak labor market conditions. o A mid-term U.S. election that could generate plenty of distractions and frustrating uncertainties. o The likelihood of higher taxes, more regulation, and government intrusion. On the positive side of the ledger, U.S. companies proved during the recent quarterly earnings period that management generally did a tremendous job during the earlier financial crisis in right-sizing operations. Corporate leaders have also generally situated their companies to make money in a slower growth environment. Furthermore, the term structure of interest rates--following a positively sloped yield curve--has facilitated the convalescence of the banking sector. Within the family of Fifth Third Funds, an unwavering adherence to higher- quality securities led to some underperformance versus relative benchmarks in the wake of the early-period low-quality surge. Yet when macro events rattled the markets, it was the lower-quality investments that fell hardest. Regardless of such near-term 1 variances, we believe robust analysis and stock picking among higher-quality companies that we believe are likely to register above-average earnings remains essential to long-term investing success. Looking ahead, our expectations on the macro front include: MODEST GROWTH IN THE U.S. GROSS DOMESTIC PRODUCT (GDP). Although business spending has recovered to a degree, we believe consumers are still focused on paring debt. In addition, with unemployment likely to hover between 9.0% and 10.0% for the next year, the GDP growth rate will be hard pressed to exceed 2.50%. A GROWING REGULATORY CLIMATE. Through the first half of 2010, we witnessed the passage of monumental industry reform bills that will reshape the healthcare and financial services industries. New regulations on offshore drilling are likely as well. Although no one yet knows what shape the new rules will take, such developments have generally proven to be a drag on U.S. corporations. CLOUDS ON THE TAX HORIZON. If the Obama administration and U.S. Congress fail to address personal income taxes in 2010, the Bush tax cuts will expire on December 31, 2010, and rates on everything from earned income to estates will revert to 2001 levels in 2011. Such higher taxes could crimp consumer consumption and corporate profits. TENSION BUILDING BEHIND INTEREST RATES. Concerns over the economy tend to keep a cap on interest rates, and we may see minimal moves in the fixed income arena for the next few quarters. Especially since it appears as though the Federal Reserve will keep its key rate pegged between 0.00% and 0.25% into 2011. But as soon as the market senses sustainable growth is expanding--even modestly--economy and a massive level of public indebtedness that requires regular refinancing are not the ingredients for an extended decline in yields. A STUBBORNLY TOUGH JOB MARKET. Currently, there are few incentives for companies to resume hiring. Given the uncertainties swirling around Washington and the economy, continued challenges on the employment front appear likely. CONTINUED GROWTH IN CORPORATE EARNINGS. Despite the economic turbulence of late, most U.S. companies managed to generate solid profits during the 12-month period ended July 31, 2010. We believe the trend in profit growth should continue, although margin and earnings growth rates may have peaked for this cycle. Accordingly, we believe more-stable larger cap companies, especially those with exposure to higher-growth international markets, will lead the equity markets in the coming quarters. In closing, the occurrences of the past 12 months demonstrated how quickly preferences can shift in the U.S. financial markets. And the outlook for the next six to 12 months contains plenty of potential headwinds. Through history, however, high-quality companies with solid fundamentals have proven most adept at navigating the financial market's peaks and valleys to produce steady long-term returns. As your Fifth Third Funds portfolio managers regularly seek out such companies, we believe your investments in our family of funds continue to offer the best opportunity for optimal gains into the future. Thank you for your confidence in the Fifth Third Funds. /s/E. Keith Wirtz, CFA E. Keith Wirtz, CFA President ================================================================================ (1)TERMS AND DEFINITIONS ------------------------------------------------------------------------------- ================================================================================ THE S&P 500(R) STOCK INDEX IS AN INDEX OF 500 SELECTED COMMON STOCKS MOST OF WHICH ARE LISTED ON THE NEW YORK STOCK EXCHANGE, AND IS A MEASURE OF THE U.S. STOCK MARKET AS A WHOLE. THE S&P MIDCAP 400 INDEX IS AN INDEX OF 400 SELECTED COMMON STOCKS THAT TRACKS U.S. FIRMS WITH MARKET CAPITALIZATIONS OF $850 MILLION TO $3.8 BILLION. THE S&P SMALLCAP 600 INDEX IS AN INDEX OF 600 SELECTED COMMON STOCKS THAT TRACKS U.S. FIRMS WITH MARKET CAPITALIZATIONS OF $250 MILLION TO $1.2 BILLION. THE MORGAN STANLEY CAPITAL INTERNATIONAL (MSCI)(R) EUROPE, AUSTRALASIA, AND FAR EAST (EAFE)(R) INDEX IS GENERALLY REPRESENTATIVE OF A SAMPLE OF COMPANIES OF THE MARKET STRUCTURE OF 20 EUROPEAN AND PACIFIC BASIN COUNTRIES. THE ABOVE INDICES DO NOT REFLECT THE DEDUCTION OF FEES ASSOCIATED WITH A MUTUAL FUND SUCH AS INVESTMENT MANAGEMENT AND FUND ACCOUNTING FEES. INVESTORS CANNOT INVEST DIRECTLY IN AN INDEX, ALTHOUGH THEY CAN INVEST IN ITS UNDERLYING SECURITIES. THE RECENT GROWTH RATE IN THE STOCK MARKET HAS HELPED TO PRODUCE SHORT-TERM RETURNS FOR SOME ASSET CLASSES THAT ARE NOT TYPICAL AND MAY NOT CONTINUE IN THE FUTURE. BECAUSE OF ONGOING MARKET VOLATILITY, FUND PERFORMANCE MAY BE SUBJECT TO SUBSTANTIAL SHORT-TERM CHANGES. BETA measures a stock's volatility relative to the rest of the stock market. DURATION is the weighted average maturity of a bond's cash flow. SOVEREIGN DEBT is the total amount owed to the holders of bonds issued by a national government. 2 This page intentionally left blank. 3 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- SMALL CAP GROWTH FUND -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third Small Cap Growth Fund (Institutional) advanced 15.79% on a net of fee basis, underperforming its benchmark, the Russell 2000(R) Growth Index, which gained 16.71%. At the start of the fiscal year, stocks were in the midst of a sharp rally off March 2009 lows, boosted by numerous economic indicators pointing toward a recovery from the 2008-09 recession. Midway through the period, however, some leading economic indicators stalled and worries over a government default in Greece sparked a broad selloff of riskier assets. Against this backdrop, small cap growth stocks jumped early on but gave up a portion of the gains during the final three months of the period. Within the Fund, poor stock selection in the Healthcare sector, particularly within the providers and services industry, weighed on relative performance as uncertainties surrounding the U.S. Healthcare Reform Act--before and after its passage--dampened sentiment. A lack of exposure to the airline industry, which climbed as the economy showed signs of a rebound, hurt the Fund's exposure in the Industrials sector, while poor stock selection, including no holdings in the rising personal products industry, further hindered relative returns from the Consumer Staples sector. A positive relative contribution came from the Financials sector, most notably within the consumer finance industry. A significantly underweight stake in the slumping biotechnology industry also boosted relative performance, as did solid stock selection in the communications equipment industry. During the period, the Fund increased its exposure in the Consumer Discretionary sector, reflecting confidence that consumers were shaking their recessionary malaise. By period-end, while the Fund had modestly reduced its exposure to the Industrials and Information Technology sectors, it held greater positions in the more cyclical areas of both sectors as the fundamentals of the economy seemed sound, although the recovery will likely experience fits and starts. Elsewhere, the Fund's weighting in the Health Care sector was also reduced. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Small capitalization funds typically carry additional risk since smaller companies generally have a higher risk of failure. Historically, smaller companies' stocks have experienced a greater degree of market volatility than large company stocks on average. Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- ENDING 1 YEAR 5 YEAR 10 YEAR VALUE(2) ------ ------ ------- -------- Institutional 15.79% -0.67% 0.57% $10,580 ----------------------------------------------------------------------------------------- Class A Shares 9.73% -1.91% -0.20% $9,800 ----------------------------------------------------------------------------------------- Class B Shares 9.76% -1.81% -0.44% $9,567 ----------------------------------------------------------------------------------------- Class C Shares 14.34% -1.71% -0.47% $9,539 ----------------------------------------------------------------------------------------- Russell 2000(R) Growth Index(1) 16.71% 1.07% -0.20% $9,799 -----------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 1.25% (INSTITUTIONAL SHARES), 1.50% (CLASS A) AND 2.25% (CLASSES B & C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. The quoted performance does not reflect the deduction of taxes on Fund distributions or redemption of shares. For the period prior to October 29, 2001, the quoted performance of the Small Cap Growth Fund Institutional Shares reflects the performance of the Kent Small Company Growth Fund Institutional Shares with an inception date of November 2, 1992. Prior to October 29, 2001, the quoted performance for Class A Shares reflects the performance of the Kent Small Company Growth Investment Shares, with an inception date of December 4, 1992, adjusted for the maximum sales charge. The inception date for Class B and Class C Shares is October 29, 2001. For the period prior to October 29, 2001, the performance of Class B and Class C Shares reflects the performance of Institutional Shares of the Kent Small Company Growth Fund, adjusted to reflect expenses and applicable sales charges for Class B and Class C Shares. -------------------------------------------------------------------------------- TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010* ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- Informatica Corp. 1.99% North American Energy Partners, Inc. 1.77% Acme Packet, Inc. 1.74% Ares Capital Corp. 1.64% Atlas Air Worldwide Holdings, Inc. 1.63% Align Technology, Inc. 1.61% GeoEye, Inc. 1.60% Deckers Outdoor Corp. 1.56% Cardtronics, Inc. 1.54% Tenneco, Inc. 1.53%
* Long-term securities. (+) Portfolio composition is subject to change. 4 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- SMALL CAP GROWTH FUND -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
FIFTH THIRD SMALL CAP GROWTH RUSSELL 2000(R) (INSTITUTIONAL SHARES) GROWTH INDEX 7/31/00 $10,000 $10,000 9/00 10,628 10,503 12/00 9,740 8,381 3/01 8,306 7,107 6/01 9,519 8,385 9/01 7,741 6,030 12/01 9,340 7,608 3/02 9,542 7,459 6/02 8,443 6,288 9/02 6,824 4,935 12/02 7,005 5,306 3/03 6,777 5,100 6/03 7,907 6,331 9/03 8,698 6,994 12/03 9,839 7,881 3/04 10,032 8,321 6/04 9,967 8,329 9/04 9,336 7,828 12/04 10,433 9,009 3/05 10,061 8,394 6/05 10,321 8,686 9/05 10,763 9,235 12/05 10,917 9,383 3/06 12,766 10,730 6/06 11,817 9,952 9/06 11,515 9,778 12/06 12,233 10,635 3/07 12,979 10,898 6/07 14,189 11,627 9/07 14,007 11,629 12/07 13,585 11,384 3/08 11,466 9,924 6/08 12,293 10,368 9/08 10,970 9,644 12/08 7,574 6,997 3/09 6,808 6,315 6/09 8,536 7,792 9/09 10,009 9,034 12/09 10,324 9,409 3/10 10,970 10,125 6/10 10,084 9,191 7/31/10 10,580 9,799
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the Russell 2000(R) Growth Index. The Russell 2000(R) Growth Index tracks the performance of common stocks that measure the performance of the securities found in the Russell 2000(R) universe with higher forecasted growth values. The Russell 2000(R) Growth Index is unmanaged and does not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these value-added services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class for the 10-Year period ended July 31, 2010. 5 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- MID CAP GROWTH FUND -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third Mid Cap Growth Fund (Institutional) gained 17.98% on a net of fee basis, underperforming its benchmark, the Russell Midcap(R) Growth Index, which advanced 20.17%. Stocks started the fiscal year in the midst of a sharp rally off March 2009 lows, boosted by numerous economic indicators pointing towards the nation's recovery from the 2008-09 recession. Midway through the period, however, some leading indicators stalled and worries about European instability due to debt woes in Greece sparked a broad selloff of riskier assets. Against this backdrop, mid cap growth stocks surged early on but endured considerable volatility during the final three months of the period. Within the Fund, poor stock selection in the hotels, restaurants, and leisure industry bogged down relative gains from the Consumer Discretionary sector. The Fund's stake in the Industrials sector also hindered relative performance, due in part to laggards in the professional services industry and a lack of exposure to the rising airline industry. Alternatively, solid stock selection in the Information Technology (IT) and Materials sectors boosted relative returns. More specifically, software, IT services, and computer peripheral stocks enhanced gains from the Information Technology sector, and metals and mining stocks aided performance in the Materials sector. In general, more economically sensitive companies did well during the period, and the Fund's overweight positions, relative to the benchmark, in the communications equipment, aerospace and defense, and oil, gas, and consumable fuels industries proved advantageous. During the period, the Fund increased its exposure in the Consumer Discretionary sector, reflecting confidence that consumers' recessionary woes were easing. By period-end, the Fund was also more aggressively positioned in the more cyclical areas of the Industrials sector as the fundamentals of the economy appeared to solidify. Alternatively, Fund weightings in the more defensive Healthcare and Utilities sectors had been reduced. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Mid capitalization funds typically carry additional risk since mid-size companies generally have a higher risk of failure. Historically, mid-size companies' stocks have experienced a greater degree of market volatility than large company stocks on average. Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
ENDING 1 YEAR 5 YEAR 10 YEAR VALUE(2) ------ ------ ------- -------- Institutional 17.98% -0.46% -0.36% $9,641 ----------------------------------------------------------------------------------------- Class A Shares 11.87% -1.72% -1.13% $8,929 ----------------------------------------------------------------------------------------- Class B Shares 11.67% -1.70% -1.36% $8,717 ----------------------------------------------------------------------------------------- Class C Shares 16.84% -1.43% -1.36% $8,716 ----------------------------------------------------------------------------------------- Russell Midcap(R) Growth Index(1) 20.17% 1.57% -0.68% $9,337 -----------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 1.23% (INSTITUTIONAL SHARES), 1.48% (CLASS A) AND 2.23% (CLASSES B & C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. The Fund's performance in the above table does not reflect the deduction of taxes on Fund distributions, or redemption of shares. The inception date for the Class B Shares of the Mid Cap Growth Fund is October 11, 2000. Prior to such date, quoted performance reflects the performance of Class A Shares adjusted to reflect expenses and applicable sales charges for Class B Shares. -------------------------------------------------------------------------------- TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010* ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- Intuit, Inc. 2.35% Salesforce.com, Inc. 1.97% O'Reilly Automotive, Inc. 1.71% F5 Networks, Inc. 1.61% Agilent Technologies, Inc. 1.60% Core Laboratories NV 1.54% Digital Realty Trust, Inc. 1.54% Kansas City Southern 1.52% NetApp, Inc. 1.49% Dresser-Rand Group, Inc. 1.47%
* Long-term securities. (+) Portfolio composition is subject to change. 6 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- MID CAP GROWTH FUND -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
MID CAP GROWTH RUSSELL MIDCAP(R) (INSTITUTIONAL SHARES) GROWTH INDEX 7/31/00 $10,000 $10,000 9/00 10,399 10,946 12/00 9,412 8,401 3/01 7,819 6,294 6/01 9,280 7,312 9/01 7,175 5,279 12/01 8,820 6,708 3/02 8,617 6,590 6/02 7,029 5,386 9/02 5,761 4,461 12/02 6,137 4,870 3/03 5,977 4,869 6/03 7,115 5,782 9/03 7,491 6,196 12/03 8,439 6,950 3/04 8,672 7,286 6/04 8,623 7,362 9/04 8,119 7,043 12/04 9,140 8,025 3/05 8,826 7,891 6/05 9,411 8,162 9/05 9,928 8,697 12/05 10,173 8,996 3/06 11,407 9,681 6/06 10,765 9,226 9/06 10,678 9,308 12/06 11,193 9,955 3/07 11,856 10,349 6/07 12,673 11,047 9/07 12,681 11,284 12/07 12,136 11,092 3/08 10,904 9,878 6/08 11,154 10,337 9/08 9,144 8,502 12/08 6,602 6,176 3/09 6,424 5,968 6/09 7,637 7,202 9/09 8,895 8,468 12/09 9,307 9,035 3/10 9,842 9,728 6/10 8,895 8,735 7/31/10 9,641 9,337
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the Russell Midcap(R) Growth Index. The Russell Midcap(R) Growth Index measures the performance of those Russell midcap companies with higher price-to-book ratios and higher forecasted growth values. The stocks are also members of the Russell 1000(R) Growth Index. The Russell Midcap(R) Growth Index is unmanaged and does not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these value-added services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class for the 10-Year period ended July 31, 2010. 7 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- QUALITY GROWTH FUND -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third Quality Growth Fund (Institutional) gained 8.33% on a net of fee basis, underperforming its benchmark, the Russell 1000(R) Growth Index, which advanced 13.65%. The fiscal year represented an important period of transition from the 2008-09 recession and into an improved economic period. The recovery seemingly solidified during the early part of the period, but the ensuing optimism was overshadowed during the latter months by skepticism regarding the sustainability of the rebound, especially as sovereign debt woes in Greece escalated in April. Encouraging corporate earnings reports in July helped stem the late-period decline, but a high degree of uncertainty relating to the economic outlook remained. Against this backdrop, a defensive bias for much of the period hindered the Fund. It also had limited exposure to higher beta stocks, which posted benchmark-beating returns during the market's broader rally through the fiscal year's first eight months. Digging deeper, the Healthcare sector was by far the single greatest detriment to performance as the Fund's investments performed poorly during the extended debate over healthcare reform. A focus on larger companies within the Information Technology sector also hurt as investors generally preferred mid cap names in the space. Conversely, an underweight position, relative to the benchmark, and effective stock selection in the defensive-oriented Consumer Staples sector, contributed positively to relative gains. Increased exposure within the Industrials sector also exerted a favorable impact on performance. While the Fund added to its Industrials holdings during the period, it cut its exposure to the Healthcare sector and shifted its Information Technology sector emphasis from large cap names to somewhat smaller companies with better growth prospects. Such moves were part of a larger effort to reduce the Fund's defensive posturing and better position it for the potential continuation of healthy earnings and the possibility of a sustained global economic recovery. As such, the Fund ended the period with an overweight position in the Industrial and Consumer Discretionary sectors, and underweight stakes in the Consumer Staples, Energy, Healthcare, and Materials sectors. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
ENDING 1 YEAR 5 YEAR 10 YEAR VALUE(2) ------ ------ ------- -------- Institutional 8.33% 0.30% -2.92% $7,436 ----------------------------------------------------------------------------------------- Class A Shares 2.60% -0.97% -3.66% $6,889 ----------------------------------------------------------------------------------------- Class B Shares 2.19% -1.04% -3.90% $6,720 ----------------------------------------------------------------------------------------- Class C Shares 7.34% -0.71% -3.89% $6,727 ----------------------------------------------------------------------------------------- Russell 1000(R) Growth Index(1) 13.65% 0.80% -4.08% $6,595 -----------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 1.13% (INSTITUTIONAL SHARES), 1.38% (CLASS A) AND 2.13% (CLASSES B & C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. The Fund's performance in the above table does not reflect the deduction of taxes on Fund distributions, or redemption of shares. The inception date for the Class B Shares of the Quality Growth Fund is October 11, 2000. Prior to such date, quoted performance reflects the performance of Class A Shares adjusted to reflect expenses and applicable sales charges for Class B Shares. -------------------------------------------------------------------------------- TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010* ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- Apple, Inc. 4.06% Cisco Systems, Inc. 2.97% Intel Corp. 2.59% Microsoft Corp. 2.49% Oracle Corp. 2.21% International Business Machines Corp. 2.13% McDonald's Corp. 2.02% Estee Lauder Cos , Inc. (The), Class A 1.80% Fastenal Co. 1.74% Goodrich Corp. 1.71%
* Long-term securities. (+) Portfolio composition is subject to change. 8 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- QUALITY GROWTH FUND -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
QUALITY GROWTH RUSSELL 1000(R) (INSTITUTIONAL SHARES) GROWTH INDEX 7/31/00 $10,000 $10,000 9/00 9,977 9,874 12/00 9,281 7,766 3/01 7,717 6,143 6/01 8,154 6,660 9/01 6,712 5,367 12/01 8,004 6,180 3/02 7,794 6,020 6/02 6,256 4,896 9/02 5,098 4,159 12/02 5,402 4,457 3/03 5,219 4,409 6/03 6,046 5,040 9/03 6,359 5,237 12/03 7,097 5,783 3/04 7,119 5,828 6/04 7,025 5,941 9/04 6,475 5,631 12/04 7,034 6,147 3/05 6,685 5,896 6/05 6,941 6,041 9/05 7,246 6,284 12/05 7,474 6,471 3/06 7,757 6,671 6/06 7,322 6,411 9/06 7,479 6,663 12/06 7,844 7,058 3/07 7,941 7,142 6/07 8,567 7,631 9/07 9,212 7,952 12/07 9,525 7,891 3/08 8,585 7,088 6/08 8,803 7,177 9/08 7,778 6,292 12/08 6,020 4,858 3/09 5,717 4,658 6/09 6,467 5,418 9/09 7,212 6,175 12/09 7,790 6,666 3/10 8,028 6,975 6/10 7,082 6,156 7/31/10 7,436 6,595
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the Russell 1000(R) Growth Index. The Russell 1000(R) Growth Index measures the performance of 1,000 securities found in the Russell universe with higher price-to-book ratios and higher forecasted growth values. The Russell 1000(R) Growth Index is unmanaged and does not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these value added services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class for the 10-Year period ended July 31, 2010. 9 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- DIVIDEND GROWTH FUND -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third Dividend Growth Fund (Institutional) gained 10.44% on a net of fee basis, underperforming its benchmark, the S&P 500 Index, which advanced 13.84%. Growing investor confidence surrounding the global economic recovery fueled a rise in stocks through the first eight months of the fiscal year, especially among low-quality stocks, which generally outperformed high-quality names. Conditions changed quickly in mid-April, however, as the European debt crisis and signs of slower growth in China cooled appetites for riskier investments. In turn, more defensive issues led the way through the final three months. With its high-quality bias, the Fund struggled through much of the period, although it rebounded somewhat amid the broader swing away from volatile names in the closing months. An underweight position, relative to the benchmark, and ineffective stock selection in the Financials sector, where dividends had been cut during the 2008-09 credit market meltdown, diminished relative returns as the sector rallied early in the fiscal year. The Fund's Healthcare sector holdings also struggled amid regulatory uncertainties and softening demand trends. Conversely, investments in the Utilities sector enhanced relative returns. Solid stock selection in the Information Technology and Industrials sectors further bolstered performance, most notably in holdings with fundamentals benefiting from reduced expenses and a cyclical recovery in sales. Over the course of the 12-month period, the Fund adopted a slightly more defensive profile. It also increased its exposure in the Industrials sector in order to leverage companies with sound fundamentals that seemed well-positioned for a turn in sentiment toward high-quality names. Similarly, select stocks within the Consumer Discretionary sector remained attractive, allowing for the fact that unemployment levels remained high and problems in the housing market continued, creating a drag on consumer spending as a whole. Meanwhile, the Fund reduced its exposure in the Healthcare sector, where a lack of clarity on the impact of healthcare reforms loomed large, and in the Information Technology sector, where the ranks of appealing dividend growth stocks thinned. The Fund also maintained an underweight position in the Financials sector, where economic and regulatory concerns remain. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- As a non-diversified Fund, the Fund may invest a greater percentage of assets in a particular company or a smaller number of companies as compared to diversified funds. As a result, the value of the Fund's shares may fluctuate more than funds invested in a broader range of companies. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
ENDING 1 YEAR 5 YEAR 10 YEAR VALUE(2) ------ ------ ------- -------- Institutional 10.44% -0.09% -5.25% $5,832 -------------------------------------------------------------------------------- Class A Shares 4.67% -1.33% -5.96% $5,412 -------------------------------------------------------------------------------- Class B Shares 4.38% -1.47% -6.09% $5,336 -------------------------------------------------------------------------------- Class C Shares 9.34% -1.11% -6.20% $5,270 -------------------------------------------------------------------------------- S&P 500 Index(1) 13.84% -0.17% -0.76% $9,263 --------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 2.82% (INSTITUTIONAL SHARES), 3.07% (CLASS A) AND 3.82% (CLASSES B & C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. The Fund's performance in the above table does not reflect the deduction of taxes on Fund distributions, or redemption of shares. The inception date for the Class B Shares of the Fund is October 11, 2000. Prior to such date, quoted performance reflects the performance of Class A Shares adjusted to reflect expenses and applicable sales charges for Class B Shares. -------------------------------------------------------------------------------- TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010* ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- Apple, Inc. 3.24% PepsiCo, Inc. 2.50% International Business Machines Corp. 2.36% MetLife, Inc. 2.33% Procter & Gamble Co. (The) 2.28% Johnson & Johnson 2.19% Cisco Systems, Inc. 2.05% JPMorgan Chase & Co. 1.97% Microsoft Corp. 1.96% Wisconsin Energy Corp. 1.95%
* Long-term securities. (+) Portfolio composition is subject to change. 10 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- DIVIDEND GROWTH FUND -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
DIVIDEND GROWTH S&P 500 (INSTITUTIONAL SHARES) INDEX 7/31/00 $10,000 $10,000 9/00 9,767 10,060 12/00 8,217 9,273 3/01 6,685 8,174 6/01 6,981 8,652 9/01 5,913 7,382 12/01 6,425 8,171 3/02 6,250 8,194 6/02 5,316 7,096 9/02 4,445 5,870 12/02 4,518 6,366 3/03 4,345 6,165 6/03 4,809 7,114 9/03 4,822 7,302 12/03 5,438 8,191 3/04 5,594 8,330 6/04 5,602 8,474 9/04 5,149 8,315 12/04 5,683 9,083 3/05 5,362 8,887 6/05 5,489 9,009 9/05 5,762 9,334 12/05 5,937 9,530 3/06 6,139 9,931 6/06 6,051 9,788 9/06 6,376 10,342 12/06 6,710 11,035 3/07 6,775 11,105 6/07 7,229 11,803 9/07 7,609 12,042 12/07 7,506 11,641 3/08 6,974 10,542 6/08 6,556 10,254 9/08 6,371 9,396 12/08 4,906 7,334 3/09 4,445 6,527 6/09 4,952 7,566 9/09 5,531 8,747 12/09 5,903 9,274 3/10 6,085 9,774 6/10 5,464 8,657 7/31/10 5,832 9,263
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the S&P 500 Index. The S&P 500 Index measures the performance of 500 selected common stocks, most of which are listed on the New York Stock Exchange, and is a measure of the U.S. stock market as a whole. The S&P 500 Index is unmanaged and does not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these value-added services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class for the 10-Year period ended July 31, 2010. 11 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- MICRO CAP VALUE FUND -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third Micro Cap Value Fund (Institutional) gained 20.99% on a net of fee basis, outperforming its benchmark, the Russell Microcap(R) Value Index, which advanced 20.30%. Investors spent the first portion of the period focused on the global economic recovery, which was fueled by a record amount of government stimulus funds worldwide, and stocks rallied in anticipation of future growth. Moods changed rather quickly in late April, however, as the Greek debt crisis stirred worries that other European countries were similarly on the verge of default. Concerns over the considerable U.S. deficit and a stubbornly high unemployment rate further dampened enthusiasm. While navigating the swings in market sentiment, the Fund benefited from an overweight position, relative to the primary benchmark, and solid stock selection in the Energy sector. Early on, equities in both the oilfield equipment and services and exploration and production industries reflected broad skepticism that the price of oil would hold above $70 a barrel. When it did, stock prices climbed. Elsewhere, an underweight stake in the poorly performing Financials sector also boosted relative returns, as did an emphasis on high quality banks. An overweight position in the Information Technology sector, where semiconductor- related holdings did well, also proved beneficial. At the individual stock level, a resurgence in merger and acquisition activity through the second half of the fiscal year enhanced returns as nine portfolio companies received buyout offers. Alternatively, an underweight position in the Consumer Discretionary sector, including minimal exposure in the surging media and auto components industries, hindered relative gains. Furthermore, poor stock selection in the machinery industry and an overweight position in trucking companies translated into negative relative returns from the Industrials sector. The Fund spent much of the period defensively positioned, a strategy that paid off as markets retreated through the closing months. At period-end, the defensive posture remained, with overweight positions in the Consumer Staples and Healthcare sectors, an above-average cash position, and significantly underweight stakes in the Financials and Materials sectors. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Micro capitalization funds typically carry additional risk since micro-cap companies generally have a higher risk of failure. Historically, micro-cap stocks have experienced a greater degree of market volatility than large company stocks on average. Value-based investments are subject to the risk that the broad market may not recognize their intrinsic value. Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
ENDING 1 YEAR 5 YEAR 10 YEAR VALUE(2) ------ ------ ------- -------- Institutional 20.99% 1.20% 9.76% $25,373 ---------------------------------------------------------------------------------------------- Class A Shares 14.51% -0.14% 8.93% $23,532 ---------------------------------------------------------------------------------------------- Class B Shares 14.93% 0.03% 8.81% $23,273 ---------------------------------------------------------------------------------------------- Class C Shares 19.49% 0.14% 8.85% $23,360 ---------------------------------------------------------------------------------------------- Russell 2000(R) Value Index(1) 20.11% -0.24% 7.87% $21,330 ---------------------------------------------------------------------------------------------- Russell Microcap(R) Value Index(1) 20.30% -2.79% 8.33%(3) $22,253 ----------------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 1.82% (INSTITUTIONAL SHARES), 2.07% (CLASS A) AND 2.82% (CLASSES B & C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. The Fund's performance taxes on Fund distributions, or redemption of shares. The inception date for the Class B Shares is October 11, 2000. Prior to such date, quoted performance reflects the performance of Class A Shares adjusted to reflect expenses and applicable sales charges for Class B Shares. -------------------------------------------------------------------------------- TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010* ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- Celadon Group, Inc. 1.87% Meadowbrook Insurance Group, Inc. 1.69% Gulfport Energy Corp. 1.63% Barrett Business Services, Inc. 1.56% BofI Holding, Inc. 1.40% Nash Finch Co. 1.38% Benihana, Inc., Class A 1.37% AXT, Inc. 1.33% Monmouth Real Estate Investment Corp., Class A 1.32% Overhill Farms, Inc. 1.32%
* Long-term securities. (+) Portfolio composition is subject to change. 12 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- MICRO CAP VALUE FUND -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
MICRO CAP VALUE RUSSELL 2000(R) RUSSELL MICROCAP(R) (INSTITUTIONAL SHARES) VALUE INDEX VALUE INDEX 7/31/00 $10,000 $10,000 $10,000 9/00 10,119 10,388 10,318 12/00 9,387 11,230 10,367 3/01 10,236 11,339 11,012 6/01 11,958 12,659 13,253 9/01 10,178 10,971 11,292 12/01 11,537 12,805 13,222 3/02 12,742 14,031 14,438 6/02 12,761 13,734 14,964 9/02 10,121 10,810 11,684 12/02 11,565 11,342 12,456 3/03 11,430 10,766 12,142 6/03 15,015 13,212 15,287 9/03 16,808 14,233 17,311 12/03 19,592 16,562 20,361 3/04 21,301 17,708 22,045 6/04 21,850 17,858 22,012 9/04 21,301 17,885 21,516 12/04 24,144 20,246 24,623 3/05 23,231 19,441 23,339 6/05 22,275 20,428 24,066 9/05 23,731 21,060 25,121 12/05 24,068 21,199 25,397 3/06 26,608 24,063 28,925 6/06 25,336 23,412 27,824 9/06 24,767 24,009 28,091 12/06 27,147 26,177 30,935 3/07 28,123 26,559 31,302 6/07 29,178 27,171 31,935 9/07 27,303 25,471 29,573 12/07 24,517 23,618 26,874 3/08 23,398 22,076 24,895 6/08 22,589 21,293 22,971 9/08 23,594 22,350 24,011 12/08 17,023 16,786 17,490 3/09 14,499 13,490 13,908 6/09 19,288 15,918 16,729 9/09 22,136 19,532 20,592 12/09 22,848 20,240 20,550 3/10 25,502 22,268 23,172 6/10 24,143 19,909 20,936 7/31/10 25,373 21,330 22,253
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmarks, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the Russell 2000(R) Value Index and the Russell Microcap(R) Value Index. The Russell 2000(R) Value Index measures the performance of those Russell 2000(R) companies with a less-than-average growth orientation. The Russell Microcap(R) Value Index measures the performance of those Russell Microcap companies with lower price-to-book ratios and lower forecasted growth values. The Russell 2000(R) Value Index and the Russell Microcap(R) Value Index are unmanaged and do not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these value-added services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class for the 10-year period ended July 31, 2010. (3) The average annual total return for the Russell Microcap(R) Value Index since its inception. 13 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- SMALL CAP VALUE FUND -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third Small Cap Value Fund (Institutional) advanced 22.00% on a net of fee basis, outperforming its benchmark, the Russell 2000(R) Value Index, which gained 20.11%. Through the first part of the fiscal year, positive investor sentiment, fueled by encouraging economic developments such as improving industrial production, boosted the broader stock market. In late April, however, attitudes changed and concerns flared regarding the sustainability of the economic recovery, especially as government stimulus programs wound down, unemployment remained high, and consumers remained lethargic. In turn, equities retreated. Positioned defensively throughout the period, the Fund maintained an underweight position, relative to the benchmark, in the Consumer Discretionary sector, an overweight stake in the Consumer Staples sector, and an above-average cash position. This hindered performance as markets surged, but proved beneficial during the late-period swoon. An underweight stake in the Healthcare sector further aided relative returns as the debate over the health care reform bill cast an air of uncertainty over the industry. Overall, the key to the Fund's outperformance was stock selection, which proved advantageous throughout the year. More specifically, investments in the Industrials, Consumer Discretionary, and Consumer Staples sectors enhanced relative gains. The Industrials sector stake benefited from holdings in the electrical equipment and transportation industries, while specialty retailers boosted the Consumer Discretionary position. Within Consumer Staples, food producers and grocery store operators supplied a lift. Conversely, the Fund's positions in the Materials and Information Technology sectors hindered relative returns, bogged down by laggards in the steel, paper, software, and communications equipment industries. As the period progressed, the Fund cut its exposure to the Information Technology sector from overweight to underweight. A portion of the proceeds was directed into the Materials sector, which finished as an overweight position. And while the Fund's profile remained largely defensive, its primary focus remains bottom-up stock analysis designed to help identify undervalued companies offering solid potential for positive changes going forward. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Small capitalization funds typically carry additional risk since smaller companies generally have a higher risk of failure. Historically, smaller companies' stocks have experienced a greater degree of market volatility than large company stocks on average. Value-based investments are subject to the risk that the broad market may not recognize their intrinsic value. Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
INCEPTION SINCE ENDING DATE 1 YEAR 5 YEAR INCEPTION VALUE(2) --------- ------ ------ --------- -------- Institutional 4/1/03 22.00% 1.51% 8.91% $18,697 ----------------------------------------------------------------------------------------------- Class A Shares 4/1/03 15.62% 0.21% 7.86% $17,418 ----------------------------------------------------------------------------------------------- Class B Shares 4/1/03 15.76% 0.19% 7.81% $17,360 ----------------------------------------------------------------------------------------------- Class C Shares 4/1/03 20.83% 0.48% 7.80% $17,342 ----------------------------------------------------------------------------------------------- Russell 2000(R) Value Index(1) 20.11% -0.24% 9.77% $19,813 -----------------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 1.31% (INSTITUTIONAL SHARES), 1.56% (CLASS A) AND 2.31% (CLASSES B & C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. The Fund's performance in the above table does not reflect the deduction of taxes on Fund distributions, or redemption of shares. -------------------------------------------------------------------------------- TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010* ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- Innophos Holdings, Inc. 2.18% Black Hills Corp. 1.89% Meadowbrook Insurance Group, Inc. 1.85% Endurance Specialty Holdings, Ltd. 1.83% Olin Corp. 1.80% ATC Technology Corp. 1.80% Entertainment Properties Trust 1.66% Glacier Bancorp, Inc. 1.65% Cleco Corp. 1.61% Fresh Del Monte Produce, Inc. 1.61%
* Long-term securities. (+) Portfolio composition is subject to change. 14 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- SMALL CAP VALUE FUND -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
SMALL CAP VALUE RUSSELL 2000(R) (INSTITUTIONAL SHARES) VALUE INDEX 4/1/03 $10,000 $10000 6/03 11,240 12272 9/03 11,860 13220 12/03 13,841 15384 3/04 14,837 16449 6/04 14,732 16588 9/04 14,346 16613 12/04 15,471 18806 3/05 16,041 18058 6/05 16,520 18975 9/05 16,741 19562 12/05 17,326 19692 3/06 18,519 22351 6/06 18,281 21747 9/06 18,460 22302 12/06 19,692 24315 3/07 20,421 24671 6/07 21,092 25238 9/07 20,081 23659 12/07 18,851 21938 3/08 17,859 20506 6/08 18,059 19779 9/08 18,583 20760 12/08 13,472 15593 3/09 10,994 12531 6/09 13,893 14786 9/09 16,996 18143 12/09 18,044 18801 3/10 19,624 20685 6/10 17,873 18493 7/31/10 18,697 19813
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the Russell 2000(R) Value Index. The Russell 2000(R) Value Index measures the performance of those Russell 2000(R) companies with a less-than-average growth orientation. Companies in this index generally have low price-to-book and price-to-earnings ratios. The Russell 2000(R) Value Index is unmanaged and does not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these value-added services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class for the 10-year period ended July 31, 2010. 15 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- ALL CAP VALUE FUND -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third All Cap Value Fund (Institutional) gained 11.30% on a net of fee basis, underperforming its benchmark, the Russell 3000(R) Value Index, which advanced 15.78%. Through much of the fiscal year, positive sentiment contributed to a rising U.S. stock market as the domestic economy emerged from the 2008-09 recession. A number of crosscurrents developed in the final four months of the period, however, resulting in a more negative tone. Most notably, as Europe contended with sovereign debt issues and a massive oil well leak soiled the Gulf of Mexico, concerns grew over U.S. government intervention in the private sector and a renewed interest in business regulations. All told, lower-quality securities outperformed higher-quality investments and investors exhibited a preference for higher-beta stocks--those that tend to outperform the broader market during rallies and underperform during slumps. Moreover, small and mid cap stocks generally outperformed large cap stocks. Within the Fund, an average weighted market cap of $52 billion, compared to the $61 billion average of the Russell 3000 Value Index, proved effective, but poor stock selection led to the Fund's overall underperformance. The weakest sectors, relative to the benchmark, included Energy, where exposure to oilfield services and equipment companies with operations in the Gulf of Mexico impacted performance, and Information Technology. Metals and mining stocks also hindered relative returns from the Materials sector. Alternatively, solid stock selection in the Telecommunication Services sector bolstered relative gains, as did investments in the Financials sector, where smaller regional banks supplied a lift. Solid performers among food producers offset a drag from grocery store operators and led to positive relative returns in the Consumer Staples sector. At period-end, the Fund was skewed with a modestly pro-cyclical orientation, focused on areas most likely to benefit from global economic growth as prospects for U.S. consumer spending remaining tepid. The positioning particularly emphasized capital goods companies and featured overweight stakes in the Industrials, Energy, Information Technology, and Materials sectors. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Small capitalization funds typically carry additional risk since smaller companies generally have a higher risk of failure. Historically, smaller companies' stocks have experienced a greater degree of market volatility than large company stocks on average. Value-based investments are subject to the risk that the broad market may not recognize their intrinsic value. Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
ENDING 1 YEAR 5 YEAR 10 YEAR VALUE(2) ------ ------ ------- -------- Institutional 11.30% -1.62% 4.80% $15,981 -------------------------------------------------------------------------------------- Class A Shares 5.44% -2.85% 3.98% $14,771 -------------------------------------------------------------------------------------- Class B Shares 5.24% -2.83% 3.83% $14,559 -------------------------------------------------------------------------------------- Class C Shares 10.20% -2.60% 3.82% $14,548 -------------------------------------------------------------------------------------- Russell 3000(R) Value Index(1) 15.78% -0.87% 3.28% $13,806 -------------------------------------------------------------------------------------- Russell Midcap(R) Value Index(1) 26.14% 1.22% 8.08% $21,750 --------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 1.42% (INSTITUTIONAL SHARES), 1.67% (CLASS A) AND 2.42% (CLASSES B & C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. The Fund's performance in the above table does not reflect the deduction of taxes on Fund distributions, or redemption of shares. For the period prior to August 13, 2001, the quoted performance of the All Cap Value Fund Institutional Shares reflects the performance of the Fifth Third/Maxus Equity Fund Institutional Shares with an inception date of April 1, 1999. The inception date for the Class A, Class B and Class C Shares is August 13, 2001. Prior to such date, the quoted performance for Class A Shares reflects performance of the Fifth Third/Maxus Equity Fund Investor Shares and is adjusted for the maximum sales charges. The quoted performance of Class B and Class C Shares reflects the performance of the Fifth Third/Maxus Equity Fund Investor Shares and is adjusted to reflect expenses and applicable sales charges for Class B and Class C Shares. -------------------------------------------------------------------------------- TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010* ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- General Electric Co. 3.60% JPMorgan Chase & Co. 2.56% ConocoPhillips 2.20% Merck & Co., Inc. 2.03% Dow Chemical Co. (The) 2.02% Wells Fargo & Co. 2.00% Forest Laboratories, Inc. 1.96% Apache Corp. 1.95% Chevron Corp. 1.90% UnitedHealth Group, Inc. 1.86%
* Long-term securities. (+) Portfolio composition is subject to change. 16 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- ALL CAP VALUE FUND -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
ALL CAP VALUE RUSSELL 3000(R) RUSSELL MIDCAP(R) (INSTITUTIONAL SHARES) VALUE INDEX VALUE INDEX 7/31/00 $10,000 $10,000 $10,000 9/00 10,490 10,635 10,715 12/00 11,054 11,049 11,727 3/01 10,905 10,451 11,313 6/01 11,558 11,011 12,110 9/01 10,047 9,787 10,711 12/01 11,931 10,570 11,999 3/02 11,907 11,044 12,947 6/02 10,915 10,158 12,342 9/02 9,201 8,232 10,126 12/02 10,043 8,965 10,842 3/03 9,394 8,528 10,402 6/03 11,576 10,033 12,264 9/03 12,197 10,281 12,992 12/03 14,126 11,757 14,969 3/04 14,739 12,148 15,770 6/04 14,779 12,254 16,042 9/04 14,582 12,429 16,321 12/04 16,302 13,749 18,518 3/05 16,241 13,712 18,661 6/05 16,579 13,981 19,539 9/05 17,323 14,514 20,585 12/05 17,553 14,690 20,860 3/06 19,009 15,659 22,449 6/06 18,747 15,704 22,324 9/06 19,754 16,627 23,112 12/06 21,170 17,973 25,077 3/07 21,774 18,199 26,295 6/07 23,316 19,053 27,256 9/07 22,870 18,910 26,289 12/07 21,667 17,791 24,720 3/08 19,488 16,270 22,583 6/08 18,474 15,429 22,599 9/08 16,913 14,617 20,898 12/08 12,763 11,342 15,217 3/09 11,033 9,413 12,984 6/09 13,200 10,996 15,703 9/09 15,686 13,039 19,411 12/09 16,182 13,583 20,422 3/10 17,326 14,540 22,385 6/10 14,926 12,927 20,242 7/31/10 15,981 13,806 21,750
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmarks, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the Russell 3000(R) Value Index and the Russell Midcap(R) Value Index. The Russell 3000(R) Value Index measures the performance of those companies in the Russell 3000(R) Index with lower price-to-book ratios and lower forecasted growth values. The Russell Midcap(R) Value Index measures the performance of those Russell mid cap companies with lower price-to-book ratios and lower forecasted growth values. The Russell 3000(R) Value and the Russell Midcap(R) Value Indices are unmanaged and do not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these value-added services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class for the 10-year period ended July 31, 2010. 17 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- DISCIPLINED LARGE CAP VALUE FUND -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third Disciplined Large Cap Value Fund (Institutional) advanced 11.80% on a net of fee basis, underperforming its benchmark, the Russell 1000(R) Value Index, which gained 15.39%. Through much of the fiscal year, positive sentiment contributed to a rising U.S. stock market as the domestic economy emerged from the 2008-09 recession. A number of crosscurrents developed in the final four months of the period, however, resulting in a more negative tone. Most notably, as Europe contended with sovereign debt issues and a massive oil well leak soiled the Gulf of Mexico, concerns grew over U.S. government intervention in the private sector and a renewed interest in business regulations. Although the market experienced a number of significant shifts in sentiment during the period, lower-quality stocks generally outperformed higher-quality equities and small and mid cap stocks generally outgained large capitalization equities. As a result, the Fund's emphasis on higher-quality names hampered relative gains, as did its underweight exposure, relative to the benchmark, to the smallest companies in the benchmark. Concurrently, an underweight position in the largest cap stocks in the benchmark proved advantageous. As the broader economic outlook generally improved during the period, the top performing sectors in the benchmark included the pro-cyclical Consumer Discretionary, Industrial, and Materials sectors. The traditionally defensive Healthcare, Telecommunication Services, Energy, and Utilities sectors ranked among the poorest performers. The Fund suffered from overweight stakes in the Healthcare and Information Technology sectors, as well as an underweight position in Financials. Stock selection in the Energy and Consumer Discretionary sectors further diminished relative gains. Alternatively, underweight positions in the Utilities and Energy sectors contributed positively to relative returns, along with effective stock selection in the Telecommunication Services and Financials sectors. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Value-based investments are subject to the risk that the broad market may not recognize their intrinsic value. Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
ENDING 1 YEAR 5 YEAR 10 YEAR VALUE(2) ------ ------ ------- -------- Institutional 11.80% -1.09% 2.74% $13,107 ------------------------------------------------------------------------------------ Class A Shares 5.96% -2.34% 1.95% $12,130 ------------------------------------------------------------------------------------ Class B Shares 5.61% -2.36% 1.84% $11,998 ------------------------------------------------------------------------------------ Class C Shares 10.66% -2.09% 1.71% $11,849 ------------------------------------------------------------------------------------ Russell 1000(R)Value Index(1) 15.39% -0.91% 2.92% $13,338 ------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 1.07% (INSTITUTIONAL SHARES), 1.32% (CLASS A) AND 2.07% (CLASSES B & C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. The Fund's performance in the above table does not reflect the deduction of taxes on Fund distributions, or redemption of shares. The inception date for the Class B Shares of the Disciplined Large Cap Value Fund is October 11, 2000. Prior to such date, quoted performance reflects performance of Class A Shares and is adjusted to reflect expenses and applicable sales charges of Class B Shares. -------------------------------------------------------------------------------- TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010* ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- JPMorgan Chase & Co. 3.51% General Electric Co. 3.44% Chevron Corp. 3.28% Verizon Communications, Inc. 3.22% ConocoPhillips 3.15% Forest Laboratories, Inc. 3.13% UnitedHealth Group, Inc. 2.85% Wells Fargo & Co. 2.85% Travelers Cos., Inc. (The) 2.57% Apache Corp. 2.53%
* Long-term securities. (+) Portfolio composition is subject to change. 18 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- DISCIPLINED LARGE CAP VALUE FUND -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
DISCIPLINED LARGE CAP VALUE RUSSELL 1000(R) (INSTITUTIONAL SHARES) VALUE INDEX 7/31/00 $10,000 $10,000 9/00 10,755 10,653 12/00 11,358 11,036 3/01 10,138 10,390 6/01 10,363 10,897 9/01 9,420 9,704 12/01 9,955 10,419 3/02 10,122 10,846 6/02 9,127 9,922 9/02 7,862 8,059 12/02 8,590 8,802 3/03 8,135 8,374 6/03 9,687 9,820 9/03 9,996 10,023 12/03 11,522 11,445 3/04 11,854 11,792 6/04 12,143 11,896 9/04 12,241 12,079 12/04 13,103 13,333 3/05 13,155 13,345 6/05 13,307 13,568 9/05 13,986 14,095 12/05 13,887 14,273 3/06 14,701 15,120 6/06 14,899 15,210 9/06 15,753 16,156 12/06 16,808 17,448 3/07 17,002 17,665 6/07 18,007 18,535 9/07 17,999 18,490 12/07 17,074 17,418 3/08 15,826 15,900 6/08 15,015 15,055 9/08 14,033 14,134 12/08 10,863 11,000 3/09 9,382 9,156 6/09 10,846 10,684 9/09 12,629 12,633 12/09 13,195 13,166 3/10 13,991 14,059 6/10 12,133 12,492 7/31/10 13,107 13,338
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the Russell 1000(R) Value Index. The Russell 1000(R) Value Index measures the performance of 1,000 securities found in the Russell universe with a less-than-average growth orientation. Companies in this index generally have low price-to-book and price-to-earning ratios, higher dividend yields and lower forecasted growth values. The Russell 1000(R) Value Index is unmanaged and does not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these valueadded services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class for the 10-year period ended July 31, 2010. 19 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- STRUCTURED LARGE CAP PLUS FUND -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third Structured Large Cap Plus Fund (Institutional) gained 12.35% on a net of fee basis, underperforming its benchmark, the S&P 500 Index, which advanced 13.84%. After posting solid gains through the first eight-plus months of the period, stocks faltered through the closing quarter. The optimism regarding the global economic recovery that buoyed investors through the second half of 2009 and the first few months of 2010 gave way to concerns about the rebound's sustainability starting in April. Major developments feeding the reversal in sentiment included government debt woes in Greece and other European countries and an easing economic expansion in China. Such conditions, in general, were difficult for the quantitative model that drives the Fund's investment strategy. Built to discern longer-term trends, the model struggled amid persistent turbulence in investors' shifting preferences for styles, sectors, and other factors. Moreover, lower-quality stocks led the market for much of the period, which hindered Fund performance. Among the Fund's factor groups, investor sentiment weighed on returns, valuation and earnings quality boosted relative gains, and capital discipline finished flat. As volatility increased through the final four months of the period, the Fund's short positions contributed positively to relative performance. Digging deeper, exposure in the Industrials sector diminished returns, hindered by poor stock selection in the aerospace and defense industry and underweight positions, relative to the primary benchmark in the surging airline and road and rail industries. Investments in the Information Technology and Consumer Discretionary sectors further reduced relative gains. Alternatively, solid stock selection in the oil, gas, and consumable fuels industry generated positive relative returns from the Energy sector. Holdings in the Financials sector, most notably among insurers and capital markets companies, added to gains, as did an underweight stake and effective stock selection in the slumping biotechnology industry. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. The Fund is subject to risks associated with short selling, which may result in the Fund sustaining greater losses or lower returns than if the Fund held only long positions. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
ENDING 1 YEAR 5 YEAR 10 YEAR VALUE(2) ------ ------ ------- -------- Institutional 12.35% -5.67% -4.04% $6,618 -------------------------------------------------------------------------------- Class A Shares 6.37% -6.86% -4.77% $6,135 -------------------------------------------------------------------------------- Class B Shares 6.52% -6.94% -4.99% $5,991 -------------------------------------------------------------------------------- Class C Shares 11.17% -6.61% -5.01% $5,983 -------------------------------------------------------------------------------- S&P 500 Index(1) 13.84% -0.17% -0.76% $9,263 -------------------------------------------------------------------------------- Russell 1000(R) Index(1) 14.51% 0.02% -0.39% $9,616 --------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT DIVIDENDS ON SHORT SALES, EXTRAORDINARY EXPENSES AND INTEREST EXPENSE AS WELL AS THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 2.04% (INSTITUTIONAL SHARES), 2.29% (CLASS A), 3.04% (CLASS B) AND 3.06% (CLASS C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. The Fund's performance in the above table does not reflect the deduction of taxes on Fund distributions, or redemption of shares. For the period prior to October 29, 2001, the quoted performance of the Structured Large Cap Plus Fund Institutional Shares reflects the performance of the Kent Growth and Income Fund Institutional Shares with an inception date of November 2, 1992. Prior to October 29, 2001, the quoted performance for the Class A Shares reflects performance of the Kent Growth and Income Fund Investment Shares, with an inception date of December 1, 1992, adjusted for maximum sales charge. The inception date of Class B and Class C Shares is October 29, 2001. The quoted performance of Class B and Class C Shares reflects the performance of the Institutional Shares and is adjusted to reflect expenses and applicable sales charges for Class B and Class C Shares. -------------------------------------------------------------------------------- TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010* ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- Microsoft Corp. 2.38% International Business Machines Corp. 2.20% General Electric Co. 2.19% AT&T, Inc. 2.15% Intel Corp. 1.84% Bank of America Corp. 1.82% Chevron Corp. 1.74% Procter & Gamble Co. (The) 1.64% ConocoPhillips 1.62% Philip Morris International, Inc. 1.60%
* Long-term securities. (+) Portfolio composition is subject to change. 20 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- STRUCTURED LARGE CAP PLUS FUND -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
STRUCTURED LARGE CAP PLUS S&P 500 RUSSELL 1000(R) (INSTITUTIONAL SHARES) INDEX INDEX 7/31/00 $10,000 $10,000 $10,000 9/00 9,978 10,060 10,242 12/00 9,210 9,273 9,304 3/01 8,113 8,174 8,135 6/01 8,534 8,652 8,648 9/01 7,324 7,382 7,331 12/01 8,029 8,171 8,146 3/02 8,043 8,194 8,206 6/02 6,964 7,096 7,102 9/02 5,700 5,870 5,901 12/02 6,121 6,366 6,382 3/03 5,907 6,165 6,194 6/03 6,731 7,114 7,169 9/03 6,878 7,302 7,384 12/03 7,719 8,191 8,290 3/04 7,909 8,330 8,447 6/04 7,983 8,474 8,566 9/04 7,803 8,315 8,411 12/04 8,540 9,083 9,235 3/05 8,512 8,887 9,059 6/05 8,604 9,009 9,245 9/05 8,831 9,334 9,610 12/05 9,026 9,530 9,814 3/06 9,480 9,931 10,255 6/06 9,308 9,788 10,084 9/06 9,867 10,342 10,594 12/06 10,531 11,035 11,331 3/07 10,643 11,105 11,468 6/07 11,176 11,803 12,144 9/07 11,019 12,042 12,385 12/07 10,775 11,641 11,985 3/08 9,504 10,542 10,848 6/08 9,286 10,254 10,643 9/08 8,577 9,396 9,648 12/08 5,960 7,334 7,479 3/09 4,819 6,527 6,697 6/09 5,487 7,566 7,802 9/09 6,330 8,747 9,056 12/09 6,681 9,274 9,606 3/10 6,993 9,774 10,153 6/10 6,224 8,657 8,991 7/31/10 6,618 9,263 9,616
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmarks, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the Russell 1000(R) Index and the S&P 500 Index. The Russell 1000(R) Index measures the performance of 1,000 largest securities found in the Russell universe. The S&P 500 Index measures the performance of 500 selected common stocks, most of which are listed on the New York Stock Exchange, and is a measure of the U.S. stock market as a whole. The Russell 1000(R) Index and the S&P 500 Index are unmanaged and do not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these value-added services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities (2) The ending value represents the value of a $10,000 investment in the indicated share class for the 10-year period ended July 31, 2010. 21 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- EQUITY INDEX FUND -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third Equity Index Fund (Institutional) gained 13.77% on a net of fee basis, compared to its benchmark, the S&P 500 Index, which advanced 13.84%. The Fund generally seeks to duplicate the returns of the S&P 500 Index, but occasionally, a modest deviation may result from an assortment of technical factors. One area where an advantage or disadvantage may materialize is in the trading processes surrounding Index membership changes. The Fund may implement transactions earlier or later than the Index's official change date, which can generate slightly different returns. Such strategies vary based on the broader market environment and the makeup of the Index changes. During the period, a modest 21 Index changes occurred, including 12 due to merger and acquisition activity. The bulk of the changes (14) occurred between October 2009 and March 2010, and activity slowed considerably during the final four months of the fiscal year. More broadly, after posting solid gains through the first eight-plus months of the period, stocks faltered through the closing quarter. The optimism regarding the global economic recovery that buoyed investors through the second half of 2009 and the first few months of 2010 gave way to concerns about the rebound's sustainability starting in April. Major developments feeding the reversal in sentiment included government debt woes in Greece and other European countries and an easing economic expansion in China. Amid the volatility, all 10 economic sectors within the S&P 500 Index advanced during the 12-month period. The early economic optimism boosted the Industrials sector, especially within the airline and machinery industries, as well as the Consumer Discretionary sector, which was led by the automobile industry, internet and catalog retailers. Additionally, renewed interest in Real Estate Investment Trusts, which suffered significantly during the recession, bolstered the Financials sector. The poorest performing sectors included Healthcare, which contended with persistent uncertainty about the healthcare industry reform act, and Energy, due largely to the massive oil well leak in the Gulf of Mexico. The Telecommunication Services sector also lagged the benchmark. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- The Fund invests substantially all of its assets in common stock of companies that make up the S&P 500(R) Index. The Advisor attempts to track the performance of the S&P 500(R) Index to achieve a correlation of 95% between the performance of the Fund and that of the S&P 500(R) Index without taking into account the Fund's expenses. It is important to remember that there are risks associated with index investing, including the potential risk of market decline, as well as the risks associated with investing in specific companies. Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
ENDING 1 YEAR 5 YEAR 10 YEAR VALUE(2) ------ ------ ------- -------- Institutional 13.77% -0.27% -0.96% $9,084 -------------------------------------------------------------------------------- Class A Shares 7.82% -1.53% -1.71% $8,414 -------------------------------------------------------------------------------- Class B Shares 7.62% -1.64% -1.94% $8,217 -------------------------------------------------------------------------------- Class C Shares 12.43% -1.31% -1.96% $8,205 -------------------------------------------------------------------------------- Select Shares 13.68% -0.35% -1.03% $9,013 -------------------------------------------------------------------------------- Preferred Shares 13.61% -0.42% -1.11% $8,945 -------------------------------------------------------------------------------- Trust Shares 13.49% -0.52% -1.20% $8,861 -------------------------------------------------------------------------------- S&P 500 Index(1) 13.84% -0.17% -0.76% $9,263 --------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 0.61% (INSTITUTIONAL SHARES), 0.86% (CLASS A), 0.69% (SELECT SHARES), 0.76% (PREFERRED SHARES), 0.86% (TRUST SHARES) AND 1.61% (CLASSES B & C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. The Fund's performance in the above table does not reflect the deduction of taxes on Fund distributions, or redemption of shares. For the period prior to October 29, 2001, the quoted performance of the Equity Index Fund Institutional Shares reflects the performance of the Kent Index Equity Fund Institutional Shares with an inception date of November 2, 1992. Prior to October 29, 2001, the quoted performance for the Class A Shares reflects the performance of the Kent Index Equity Fund Investment Shares, with an inception date of November 25, 1992, adjusted for maximum sales charge. The inception date for the Class B and Class C is October 29, 2001. Prior to such date, quoted performance of Class B and Class C reflects performance of the Institutional Shares and is adjusted to reflect expenses and applicable sales charges for Class B and Class C. The inception date for the Select, Preferred and Trust Shares is October 20, 2003. Prior to such date, quoted performance of the Select, Preferred and Trust Shares reflects performance of the Institutional Shares and is adjusted to reflect expenses for Select, Preferred and Trust Shares. -------------------------------------------------------------------------------- TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010* ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- Exxon Mobil Corp. 2.85% Apple, Inc. 2.18% Microsoft Corp. 1.83% Procter & Gamble Co. (The) 1.64% General Electric Co. 1.61% International Business Machines Corp. 1.53% JPMorgan Chase & Co. 1.49% Johnson & Johnson 1.49% Chevron Corp. 1.43% AT&T, Inc. 1.43%
* Long-term securities. (+) Portfolio composition is subject to change. 22 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- EQUITY INDEX FUND -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
EQUITY INDEX S&P 500 (INSTITUTIONAL SHARES) INDEX 7/31/00 $10,000 $10,000 9/00 10,057 10,060 12/00 9,269 9,273 3/01 8,163 8,174 6/01 8,632 8,652 9/01 7,359 7,382 12/01 8,136 8,171 3/02 8,151 8,194 6/02 7,054 7,096 9/02 5,831 5,870 12/02 6,318 6,366 3/03 6,116 6,165 6/03 7,052 7,114 9/03 7,230 7,302 12/03 8,099 8,191 3/04 8,230 8,330 6/04 8,365 8,474 9/04 8,205 8,315 12/04 8,960 9,083 3/05 8,763 8,887 6/05 8,879 9,009 9/05 9,195 9,334 12/05 9,383 9,530 3/06 9,777 9,931 6/06 9,629 9,788 9/06 10,172 10,342 12/06 10,848 11,035 3/07 10,913 11,105 6/07 11,598 11,803 9/07 11,826 12,042 12/07 11,423 11,641 3/08 10,336 10,542 6/08 10,053 10,254 9/08 9,210 9,396 12/08 7,201 7,334 3/09 6,410 6,527 6/09 7,427 7,566 9/09 8,583 8,747 12/09 9,097 9,274 3/10 9,586 9,774 6/10 8,490 8,657 7/31/10 9,084 9,263
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the S&P 500 Index. The S&P 500 Index measures the performance of 500 selected common stocks, most of which are listed on the New York Stock Exchange, and is a measure of the U.S. stock market as a whole. The S&P 500 Index is an unmanaged index and does not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these value added services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class for the 10-year period ended July 31, 2010. 23 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third International Equity Fund (Institutional) gained 4.61% on a net of fee basis, underperforming its benchmark, the MSCI EAFE Index, which advanced 6.26%. International stocks spent the first half of the fiscal year on the rise as the world economy seemed to stabilize and show signs of improvement. Cyclical stocks tended to benefit from such conditions. In early 2010, however, worries surfaced about the ability of countries such as Greece, Portugal, Ireland, Italy, and Spain to manage significant debt loads, and investor sentiment quickly soured. Concerns over the durability of the economic recovery in China also loomed and contributed to declines in most international equity markets. The market's broad swings complicated matters for the Fund's four factor groups--valuation, earnings quality, sentiment, and capital use--which generally perform best during periods of modest volatility. Overall, earnings quality factors diminished relative returns, while valuation factors proved effective, aside from a setback during the broader decline in the second half of the period. Through the final weeks of the fiscal year, however, both earnings quality and valuation staged a modest comeback as corporate earnings consistently topped expectations and bolstered investor confidence. From a geographic standpoint, poor stock selection in the United Kingdom, particularly within the Consumer Discretionary, Materials, and Energy sectors, weighed on relative returns. Additionally, weak stock selection within Germany's Industrials sector and Hong Kong's Financials sector further detracted from performance. Positive contributions came from an overweight position, relative to the benchmark, and effective stock selection, in Australia's Consumer Staples sector. Investments in Australia's Industrials and Financials sectors also proved beneficial. Solid stock selection and effective sector allocations within Japan further enhanced relative returns, as did an overweight stake in Singapore's Industrials sector. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- An investment in this Fund entails the special risks of international investing, including currency exchange fluctuation, government regulations, and the potential for political and economic instability. The Fund's share price is expected to be more volatile than that of a U.S.-only fund. Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
ENDING 1 YEAR 5 YEAR 10 YEAR VALUE(2) ------ ------ ------- -------- Institutional 4.61% 1.08% 0.91% $10,952 ------------------------------------------------------------------------------ Class A Shares -0.87% -0.22% 0.18% $10,181 ------------------------------------------------------------------------------ Class B Shares -1.43% -0.17% 0.01% $10,008 ------------------------------------------------------------------------------ Class C Shares 3.59% 0.07% -0.09% $9,908 ------------------------------------------------------------------------------ MSCI EAFE Index(1) 6.26% 2.10% 1.51% $11,615 ------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT INTEREST EXPENSE AS WELL AS THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 1.34% (INSTITUTIONAL SHARES), 1.59% (CLASS A) AND 2.34% (CLASSES B & C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. The Fund's performance in the above table does not reflect the deduction of taxes on Fund distributions, or redemption of shares. Class B Shares were initially offered on October 11, 2000. The performance figures for Class B Shares for periods prior to such date represent the performance for Class A Shares adjusted to reflect expenses and applicable sales charges for Class B Shares. -------------------------------------------------------------------------------- TOP TEN EQUITY HOLDINGS AS OF JULY 31, 2010* ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- Nestle SA 2.43% AstraZeneca PLC 1.65% Royal Dutch Shell PLC, Class A 1.64% Telefonica SA 1.62% Novartis AG 1.60% BASF SE 1.56% British American Tobacco PLC 1.43% Sanofi-Aventis SA 1.42% Australia & New Zealand Banking Group, Ltd. 1.40% BHP Billiton PLC 1.39%
* Long-term securities. (+) Portfolio composition is subject to change. 24 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
INTERNATIONAL EQUITY MSCI EAFE (INSTITUTIONAL SHARES) INDEX 7/31/00 $10,000 $10,000 9/00 9,693 9,598 12/00 9,433 9,325 3/01 8,367 8,047 6/01 8,321 7,963 9/01 7,474 6,848 12/01 7,745 7,326 3/02 7,865 7,363 6/02 7,763 7,207 9/02 6,369 5,785 12/02 6,678 6,158 3/03 6,121 5,652 6/03 7,106 6,741 9/03 7,626 7,289 12/03 8,900 8,534 3/04 9,041 8,904 6/04 9,173 8,923 9/04 9,041 8,899 12/04 10,320 10,262 3/05 10,205 10,245 6/05 10,090 10,142 9/05 11,225 11,194 12/05 11,762 11,651 3/06 12,834 12,746 6/06 12,724 12,835 9/06 13,145 13,339 12/06 14,385 14,720 3/07 15,044 15,320 6/07 16,321 16,301 9/07 16,815 16,656 12/07 16,509 16,364 3/08 15,209 14,907 6/08 14,463 14,571 9/08 11,308 11,575 12/08 9,069 9,266 3/09 7,639 7,974 6/09 9,531 10,002 9/09 11,264 11,949 12/09 11,443 12,210 3/10 11,682 12,315 6/10 9,953 10,594 7/31/10 10,952 11,615
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the Morgan Stanley Capital International (MSCI) Europe, Australasia and Far East (EAFE) Index. The Morgan Stanley Capital International (MSCI) Europe, Australasia and Far East (EAFE) Index is generally representative of a sample of companies of the market structure of 20 European and Pacific Basin countries. The MSCI EAFE Index does not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these value-added services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class for the 10-year period ended July 31, 2010. 25 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- STRATEGIC INCOME FUND -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third Strategic Income Fund (Institutional) advanced 20.39% on a net of fee basis, outperforming its primary benchmark, the Barclays Capital U.S. Aggregate Bond Index, which gained 8.91%. Credit markets largely enjoyed a resurgence during the fiscal year, boosted by stabilizing global economies, supportive government policies, and a search for higher yields in a low interest rate environment. Within that broader picture, however, two distinct themes emerged. Through the first half of the period, confidence in the economic recovery rose and spurred investors to bid up riskier investments. During the second half of the fiscal year, however, a more pragmatic mindset took hold as fears emerged over European debt, an economic slowdown in China, and a possible double-dip recession in the U.S. Within the Fund, preferred equity holdings bolstered returns, particularly within the Financials sector. High-quality corporate bonds further enhanced performance, especially amid the late-period aversion to risk, as did common stock holdings. Alternatively, a modest stake in Real Estate Investment Trusts detracted from gains during the second half of the fiscal year as the group rallied more impressively than much of the credit market, despite still-shaky fundamentals. Over the course of the period, the Fund steadily boosted its defensive profile as the economic concerns gained traction and investors seemed to express a renewed interest in credit quality. As a result, the Fund trimmed its exposure to the Financials sector, where industry reform is still playing out. Concurrently, as riskier holdings reached price targets, the positions were liquidated and proceeds directed into higher-quality corporate bonds, preferred stocks, and common equities in a variety of sectors. The Fund also added exposure to U.S. Treasury securities and established other positions in anticipation that short-term interest rates would remain low, and these investments performed well through the final six months of the period. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Bonds offer a relatively stable level of income, although bond prices will fluctuate providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
ENDING 1 YEAR 5 YEAR 10 YEAR VALUE(2) ------ ------ ------- -------- Institutional 20.39% 4.21% 6.45% $18,680 ------------------------------------------------------------------------------------------------------------------------ Class A Shares 14.26% 2.92% 5.57% $17,194 ------------------------------------------------------------------------------------------------------------------------ Class B Shares 14.38% 2.91% 5.42% $16,953 ------------------------------------------------------------------------------------------------------------------------ Class C Shares 19.20% 3.21% 5.36% $16,864 ------------------------------------------------------------------------------------------------------------------------ Barclays Capital U.S. Aggregate Bond Index(1) 8.91% 5.96% 6.48% $18,743 ------------------------------------------------------------------------------------------------------------------------ Barclays Capital U.S. Intermediate Credit Bond Index(1) 11.67% 5.97% 6.70% $19,126 ------------------------------------------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 1.40% (INSTITUTIONAL SHARES), 1.65% (CLASS A) AND 2.40% (CLASSES B & C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. For the period prior to October 22, 2001, the quoted performance for the Fifth Third Strategic Income Fund Institutional Shares reflects the performance of the Fifth Third/Maxus Income Fund Institutional Shares with an inception date of September 1, 1998. Class A, Class B and Class C Shares were initially offered on April 1, 2004, April 1, 2004 and October 29, 2001, respectively. The performance figures for Class A, Class B and Class C Shares for periods prior to such dates represent the performance for the Fifth Third/Maxus Income Fund Investor Shares with an inception date of March 10, 1985 and are adjusted to reflect expenses and applicable sales charges for the respective share class. -------------------------------------------------------------------------------- FUND HOLDINGS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- [CHART OF FUND HOLDINGS] Preferred Stocks 35.99% Corporate Bonds 22.12% Investment Companies* 13.84% Common Stocks 6.24% Foreign Bonds 5.07% Investments in Affiliates 4.54% Mortgage-Backed Securities 4.04% Asset-Backed Securities 3.49% U.S. Government Agencies 2.09% U.S. Treasury Obligations 1.66% Convertible Preferred Stock 0.92%
[END CHART] (+) Portfolio composition is subject to change. * Includes State Street Navigator Prime Securities Lending Portfolio. (See Note 2) 26 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- STRATEGIC INCOME FUND -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
STRATEGIC INCOME BARCLAYS CAPITAL U.S. BARCLAYS CAPITAL U.S. (INSTITUTIONAL SHARES) AGGREGATE BOND INDEX INTERMEDIATE CREDIT BOND INDEX 7/31/00 $10,000 $10,000 $10,000 9/00 10,101 10,209 10,226 12/00 10,350 10,638 10,560 3/01 10,913 10,961 10,980 6/01 11,275 11,023 11,091 9/01 11,465 11,531 11,552 12/01 11,709 11,536 11,592 3/02 11,863 11,547 11,572 6/02 12,191 11,974 11,940 9/02 12,432 12,522 12,440 12/02 12,631 12,719 12,767 3/03 12,882 12,896 13,055 6/03 13,577 13,219 13,580 9/03 13,490 13,200 13,596 12/03 13,935 13,241 13,650 3/04 14,460 13,593 14,035 6/04 13,787 13,261 13,639 9/04 14,462 13,685 14,098 12/04 14,902 13,816 14,207 3/05 14,571 13,750 14,041 6/05 15,113 14,163 14,428 9/05 15,135 14,068 14,353 12/05 15,191 14,152 14,409 3/06 15,426 14,060 14,333 6/06 15,322 14,049 14,340 9/06 15,999 14,584 14,867 12/06 16,446 14,765 15,056 3/07 16,697 14,987 15,311 6/07 16,534 14,909 15,249 9/07 16,555 15,333 15,562 12/07 15,906 15,793 15,900 3/08 15,903 16,135 16,105 6/08 15,550 15,971 15,943 9/08 12,664 15,893 15,051 12/08 12,616 16,620 15,461 3/09 11,905 16,640 15,453 6/09 14,536 16,936 16,625 9/09 16,560 17,570 17,640 12/09 17,372 17,606 17,923 3/10 18,323 17,920 18,345 6/10 18,056 18,545 18,786 7/31/10 18,680 18,743 19,126
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmarks, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the Barclays Capital U.S. Intermediate Credit Bond Index and the Barclays Capital U.S. Aggregate Bond Index. The Barclays Capital U.S. Intermediate Credit Bond Index is generally representative of investment grade/ corporate bonds with maturities from one to ten years. The Barclays Capital U.S. Aggregate Bond Index is a market value-weighted performance benchmark for investment-grade fixed-rate taxable SEC-registered debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of at least one year. The Barclays Capital U.S. Intermediate Credit Bond Index and the Barclays Capital U.S. Aggregate Bond Index are unmanaged and do not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these value-added services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class for the 10-year period ended July 31, 2010. 27 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- FIFTH THIRD LIFEMODEL AGGRESSIVE FUND(SM) -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third LifeModel Aggressive Fund(SM) (Institutional) gained 10.25% on a net of fee basis, underperforming its benchmark, a blend of the Wilshire 5000 Index and the Barclays Capital U.S. Intermediate Government/Credit Bond Index, which advanced 14.48%. A wide swath of investments generated solid returns for investors during the fiscal year as the U.S. economy continued to recover from the 2008-09 recession. Domestic equities advanced through the first eight months of the period, extending an impressive rally that started in March 2009, and withstood a retreat during the second quarter of 2010 to end with double-digit gains. Mid and small cap stocks generally outperformed large cap positions as investors favored riskier holdings for much of the period, while value stocks outperformed growth stocks. Undermined by government debt scares in Europe and slowing growth in China, international stocks lagged domestic equities. Fixed income markets enjoyed broad-based gains. While U.S. Treasury issues benefited from a late-period flight to quality, government intervention efforts helped prop up prices on structured products such as Mortgage-Backed Securities and Asset-Backed Securities. Corporate debt grew increasingly popular as well, due largely to the improving conditions of corporate balance sheets, and the increased appetite for risk propelled high yield issues. Within the Fund, an overweight position, relative to the benchmark targets, in large cap growth stocks and an underweight stake in mid and small cap value stocks diminished relative returns. From a broader perspective, the Fund's overweight position in equities and underweight exposure in fixed income investments proved advantageous. By period-end, solid quarterly earnings reports prompted many investors to wade back into the stock market in search of high quality companies with the potential to post above-average profits in the near-term. Such developments reinforced the sentiment that markets have already discounted much of the negative news that could surface in the coming quarters, so the shakeout in equities may already be complete. As such, robust analysis and stock picking returned to the fore for those looking to outperform the broader indexes. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- The Fund invests in underlying funds, so its investment performance is directly related to the performance of those underlying funds. Before investing, investors should assess the risks associated with and types of investments made by each of the underlying funds in which the Fund invests. In particular, please see Note 3 of the Notes to Financial Statements in this report for further details regarding Fifth Third Structured Large Cap Plus Fund, an underlying fund in which the Fund invests. Stocks are more volatile and carry more risk and return potential than other forms of investments. Bonds offer a relatively stable level of income, although bond prices will fluctuate, providing the potential for principal gain or loss. Cash equivalents offer low risk and low return potential. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
INCEPTION SINCE ENDING DATE 1 YEAR 5 YEAR INCEPTION VALUE(2) --------- ------ ------ --------- -------- Institutional 8/1/02 10.25% -1.00% 4.56% $14,288 -------------------------------------------------------------------------------------------------------------------------------- Class A Shares 8/1/02 4.40% -2.28% 3.61% $13,275 -------------------------------------------------------------------------------------------------------------------------------- Class B Shares 8/1/02 4.01% -2.29% 3.49% $13,156 -------------------------------------------------------------------------------------------------------------------------------- Class C Shares 8/1/02 9.14% -2.00% 3.50% $13,170 -------------------------------------------------------------------------------------------------------------------------------- Wilshire 5000 Index(1) 14.86% 0.25% 5.41% $15,244 -------------------------------------------------------------------------------------------------------------------------------- Barclays Capital U.S. Intermediate Government/Credit Bond Index(1) 7.99% 5.67% 5.19% $14,985 -------------------------------------------------------------------------------------------------------------------------------- LifeModel Aggressive Target Neutral Style Class Index Blend(3) 14.48% -5.09% 1.57% $16,672 -------------------------------------------------------------------------------------------------------------------------------- LifeModel Aggressive Target Neutral Asset Class Index Blend(4) 14.30% 0.93% 5.52% $15,372 --------------------------------------------------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 0.54% (INSTITUTIONAL SHARES), 0.79% (CLASS A) AND 1.54% (CLASSES B & C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. The Fund's performance in the above table does not reflect the deduction of taxes on Fund distributions, or redemption of shares. -------------------------------------------------------------------------------- FUND HOLDINGS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- [CHART OF FUND HOLDINGS] Fifth Third International Equity Fund 25.14% Fifth Third Quality Growth Fund 16.05% Fifth Third Structured Large Cap Plus Fund 16.02% Fifth Third Disciplined Large Cap Value Fund 13.41% Fifth Third Mid Cap Growth Fund 9.75% Fifth Third All Cap Value Fund 7.89% Fifth Third Small Cap Growth Fund 4.61% Fifth Third Small Cap Value Fund 3.70% Fifth Third Institutional Money Market Fund 1.44% Fifth Third Short Term Bond Fund 0.93% Fifth Third Total Return Bond Fund 0.92% Fifth Third High Yield Bond Fund 0.14%
[END CHART] (+) Portfolio composition is subject to change. 28 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- FIFTH THIRD LIFEMODEL AGGRESSIVE FUND(SM) -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
LIFEMODEL AGGRESSIVE WILSHIRE 5000 BARCLAYS CAPITAL U.S. LIFEMODEL AGGRESSIVE LIFEMODEL AGGRESSIVE (INSTITUTIONAL SHARES) INDEX INTERMEDIATE GOVERNMENT/CREDIT TARGET NEUTRAL ASSET TARGET NEUTRAL STYLE BOND INDEX CLASS INDEX BLEND CLASS INDEX BLEND 8/1/02 $10,000 $10,000 $10,000 $10,000 $10,000 9/02 9,070 9,050 10,331 9,177 9,145 12/02 9,798 9,758 10,506 9,844 9,800 3/03 9,346 9,457 10,664 9,585 9,460 6/03 10,990 11,018 10,954 11,030 10,990 9/03 11,562 11,426 10,952 11,400 11,517 12/03 13,136 12,846 10,959 12,671 12,944 3/04 13,455 13,182 11,230 12,999 13,374 6/04 13,491 13,359 10,946 13,124 13,489 9/04 13,062 13,113 11,242 12,943 13,341 12/04 14,267 14,450 11,292 14,132 14,793 3/05 14,010 14,129 11,193 13,838 14,563 6/05 14,399 14,456 11,471 14,162 14,869 9/05 15,038 15,039 11,411 14,669 15,621 12/05 15,344 15,372 11,470 14,970 15,981 3/06 16,372 16,208 11,426 15,696 16,984 6/06 15,981 15,890 11,450 15,423 16,737 9/06 16,488 16,600 11,816 16,092 17,384 12/06 17,511 17,797 11,938 17,151 18,650 3/07 17,958 18,047 12,128 17,395 19,087 6/07 19,147 19,142 12,110 18,343 20,085 9/07 19,460 19,421 12,458 18,639 20,319 12/07 19,124 18,795 12,820 18,154 19,781 3/08 17,389 17,006 13,205 16,646 18,146 6/08 17,067 16,742 13,003 16,397 17,975 9/08 15,074 15,291 12,848 15,099 16,124 12/08 11,621 11,797 13,471 12,037 12,779 3/09 10,320 10,551 13,464 10,897 11,474 6/09 12,054 12,322 13,688 12,557 13,523 9/09 13,909 14,308 14,134 14,414 15,747 12/09 14,476 15,136 14,177 15,170 16,478 3/10 15,084 16,049 14,396 16,022 17,340 6/10 13,327 14,254 14,823 14,450 15,603 7/31/2010 14,288 15,244 14,985 15,372 16,672
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmarks, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the Wilshire 5000 Index, and the Barclays Capital U.S. Intermediate Government/Credit Bond Index. The Wilshire 5000 Index measures the performance of all U.S. headquartered equity securities with readily available price data. The Barclays Capital U.S. Intermediate Government/Credit Bond Index is composed of investment grade corporate debt issues as well as debt issues of U.S. government agencies and the U.S. Treasury. The debt issues all maintain maturities within a range of one to ten years. The Wilshire 5000 Index and the Barclays Capital U.S. Intermediate Government/Credit Bond Index are unmanaged and do not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these value-added services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class from its inception to the period ended July 31, 2010. (3) The LifeModel Aggressive Target Neutral Style Class Index Blend is an index-based baseline style class allocation determined by the Advisor to be optimal under static market and economic conditions. The target neutral style class index blend is a hypothetical blend only and does not represent underlying allocations in the Fund. The Advisor will periodically adjust the baseline style class allocation. (4) The LifeModel Aggressive Target Neutral Asset Class Index Blend is an unmanaged custom-blended index, created by Fifth Third Asset Management, Inc., comprised of the Wilshire 5000 Index (90%) and the Barclays Capital U.S. Intermediate Government/Credit Bond Index (10%). The LifeModel Aggressive Target Neutral Asset Class Index Blend is a hypothetical blend only and does not represent underlying allocations in the Fund. 29 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- FIFTH THIRD LIFEMODEL AGGRESSIVE FUND(SM) -------------------------------------------------------------------------------- LIFEMODEL AGGRESSIVE TARGET NEUTRAL STYLE CLASS INDEX BLEND Small Cap Growth Index(5) 4.5% Small Cap Value Index(6) 4.5% International Index(7) 18.0% Mid Cap Growth Index(8) 9.0% Mid Cap Value Index(9) 9.0% Large Cap Growth Index(10) 15.5% Large Cap Value Index(11) 15.5% Large Cap Core Index(12) 14.0% High Yield Bond Index(13) 0.5% Total Return Bond Index(14) 7.0% Short Term Bond Index(15) 2.5%
(5) The Small Cap Growth Index represents the Russell 2000(R) Growth Index. The Russell 2000(R) Growth Index measures the performance of those Russell 2000(R) companies that have higher price-to-book values and higher forecasted growth rates. (6) The Small Cap Value Index represents the Russell 2000(R) Value Index. The Russell 2000(R) Value Index measures the performance of those Russell 2000(R) companies that have lower price-to-book ratios and lower forecasted growth values. (7) The International Index represents the MSCI EAFE Index. The MSCI EAFE Index is a widely recognized, unmanaged index composed of a sample of companies representative of the market structure of 20 European and Pacific Basin countries. (8) The Mid Cap Growth Index represents the Russell Midcap(R) Growth Index. The Russell Midcap(R) Growth Index measures the performance of those Russell Midcap(R) companies with higher price-to-book ratios and higher forecasted growth values. (9) The Mid Cap Value Index represents the Russell Midcap(R) Value Index. The Russell Midcap(R) Value Index measures the performance of those Russell Midcap(R) companies with lower price-to-book ratios and lower forecasted growth values. (10) The Large Cap Growth Index represents the Russell 1000(R) Growth Index. The Russell 1000(R) Growth Index measures the performance of those Russell 1000(R) companies with higher price-to-book ratios and higher forecasted growth values. (11) The Large Cap Value Index represents the Russell 1000(R) Value Index. The Russell 1000(R) Value Index measures the performance of those Russell 1000(R) companies with lower price-to-book ratios and lower forecasted growth values. (12) The Large Cap Core Index represents the S&P 500 Index. The S&P 500 Index is comprised of 500 selected common stocks, most of which are listed on the New York Stock Exchange, and is a measure of the U.S. Stock Market as a whole. (13) The High Yield Bond Index represents the BofA Merrill Lynch U.S. High Yield Cash Pay Master Index. The BofA Merrill Lynch U.S. High Yield Cash Pay Master Index tracks the performance of below investment grade, U.S. dollar-denominated corporate bonds publicly issued in the U.S. domestic market. Qualifying bonds must have at least one year remaining term to maturity, at least $100,000,000 par outstanding, and a fixed coupon schedule. (14) The Total Return Bond Index represents the Barclays Capital U.S. Aggregate Bond Index. The Barclays Capital U.S. Aggregate Bond Index is a market value-weighted performance benchmark for investment-grade fixed-rate taxable SEC-registered debt issues, including government, corporate, asset- backed and mortgage-backed securities with maturities of at least one year. (15) The Short Term Bond Index represents the BofA Merrill Lynch 1-3 Year Government Corporate Bond Index. The BofA Merrill Lynch 1-3 Year Government Corporate Bond Index tracks the trading of short-term U.S. government securities and short-term domestic investment-grade corporate bonds with maturities between 1 and 2.99 years. 30 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- FIFTH THIRD LIFEMODEL MODERATELY AGGRESSIVE FUND(SM) -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third LifeModel Moderately Aggressive Fund(SM) (Institutional) gained 9.56% on a net of fee basis, underperforming its benchmark, a blend of the Wilshire 5000 Index and the Barclays Capital U.S. Intermediate Government/Credit Bond Index, which advanced 13.33%. A wide swath of investments generated solid returns for investors during the fiscal year as the U.S. economy recovered from the 2008-09 recession. Domestic equities advanced through the first eight months of the period, extending an impressive rally that started in March 2009, and withstood a retreat during the second quarter of 2010 to end with double-digit gains. Mid and small cap stocks generally outperformed large cap positions as investors favored riskier holdings for much of the period, while value stocks outperformed growth stocks. Undermined by government debt scares in Europe and slowing growth in China, international stocks lagged domestic equities. Fixed income markets enjoyed broad-based gains. While U.S. Treasury issues benefited from a late-period flight to quality, government intervention efforts helped prop up prices on structured products such as Mortgage-Backed Securities and Asset-Backed Securities. Corporate debt grew increasingly popular as well, due largely to the improving conditions of corporate balance sheets, and the increased appetite for risk propelled high yield issues. Within the Fund, an overweight position, relative to the benchmark targets, in large cap growth stocks and a slightly underweight stake in mid and small cap value stocks diminished relative returns. From a broader perspective, the Fund's overweight position in equities and underweight exposure in fixed income investments proved advantageous. By period-end, solid quarterly earnings reports prompted many investors to wade back into the stock market in search of high quality companies with the potential to post above-average profits in the near-term. Such developments reinforced the sentiment that markets have already discounted much of the negative news that could surface in the coming quarters, so the shakeout in equities may already be complete. As such, robust analysis and stock picking returned to the fore for those looking to outperform the broader indexes. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- The Fund invests in underlying funds, so its investment performance is directly related to the performance of those underlying funds. Before investing, investors should assess the risks associated with and types of investments made by each of the underlying funds in which the Fund invests. In particular, please see Note 3 of the Notes to Financial Statements in this report for further details regarding Fifth Third Structured Large Cap Plus Fund, an underlying fund in which the Fund invests. Stocks are more volatile and carry more risk and return potential than other forms of investments. Bonds offer a relatively stable level of income, although bond prices will fluctuate, providing the potential for principal gain or loss. Cash equivalents offer low risk and low return potential. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
INCEPTION SINCE ENDING DATE 1 YEAR 5 YEAR INCEPTION VALUE(2) --------- ------ ------ --------- -------- Institutional 8/1/02 9.56% 0.09% 4.99% $14,762 --------------------------------------------------------------------------------------------------------------------------------- Class A Shares 8/1/02 3.93% -1.16% 4.07% $13,758 --------------------------------------------------------------------------------------------------------------------------------- Class B Shares 8/1/02 3.57% -1.18% 3.96% $13,644 --------------------------------------------------------------------------------------------------------------------------------- Class C Shares 8/1/02 8.43% -0.90% 3.96% $13,646 --------------------------------------------------------------------------------------------------------------------------------- Wilshire 5000 Index(1) 14.86% 0.25% 5.41% $15,244 --------------------------------------------------------------------------------------------------------------------------------- Barclays Capital U.S. Intermediate Government/Credit Bond Index(1) 7.99% 5.67% 5.19% $14,985 --------------------------------------------------------------------------------------------------------------------------------- LifeModel Moderately Aggressive Target Neutral Style Class Index Blend(3) 13.33% -2.17% 2.72% $16,608 --------------------------------------------------------------------------------------------------------------------------------- LifeModel Moderately Aggressive Target Neutral Asset Class Index Blend(4) 13.10% 2.19% 5.65% $15,524 ---------------------------------------------------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 0.53% (INSTITUTIONAL SHARES), 0.78% (CLASS A) AND 1.53% (CLASSES B & C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. The Fund's performance in the above table does not reflect the deduction of taxes on Fund distributions, or redemption of shares. -------------------------------------------------------------------------------- FUND HOLDINGS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- [CHART OF FUND HOLDINGS] Fifth Third International Equity Fund 20.39% Fifth Third Total Return Bond Fund 13.86% Fifth Third Structured Large Cap Plus Fund 13.03% Fifth Third Quality Growth Fund 12.12% Fifth Third Disciplined Large Cap Value Fund 11.41% Fifth Third Mid Cap Growth Fund 7.61% Fifth Third All Cap Value Fund 6.73% Fifth Third Short Term Bond Fund 6.54% Fifth Third Small Cap Growth Fund 3.63% Fifth Third Small Cap Value Fund 3.42% Fifth Third High Yield Bond Fund 0.92% Fifth Third Institutional Money Market Fund 0.33%
[END CHART] (+) Portfolio composition is subject to change. 31 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- FIFTH THIRD LIFEMODEL MODERATELY AGGRESSIVE FUND(SM) -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
LIFEMODEL MODERATELY BARCLAYS CAPITAL U.S. LIFEMODEL MODERATELY LIFEMODEL MODERATELY AGGRESSIVE WILSHIRE 5000 INTERMEDIATE GOVERNMENT/ AGGRESSIVE TARGET NEUTRAL AGGRESSIVE TARGET NEUTRAL (INSTITUTIONAL SHARES) INDEX CREDIT BOND INDEX ASSET CLASS INDEX BLEND STYLE CLASS INDEX BLEND 8/1/02 $10,000 $10,000 $10,000 $10,000 $10,000 9/02 9,700 9,050 10,331 9,432 9,393 12/02 10,290 9,758 10,506 10,009 9,959 3/03 10,011 9,457 10,664 9,837 9,724 6/03 11,406 11,018 10,954 11,043 10,992 9/03 11,866 11,426 10,952 11,333 11,407 12/03 13,125 12,846 10,959 12,311 12,514 3/04 13,421 13,182 11,230 12,628 12,900 6/04 13,385 13,359 10,946 12,651 12,927 9/04 13,117 13,113 11,242 12,591 12,898 12/04 14,086 14,450 11,292 13,499 14,009 3/05 13,871 14,129 11,193 13,255 13,827 6/05 14,234 14,456 11,471 13,572 14,133 9/05 14,710 15,039 11,411 13,935 14,676 12/05 14,956 15,372 11,470 14,174 14,961 3/06 15,757 16,208 11,426 14,695 15,682 6/06 15,475 15,890 11,450 14,504 15,510 9/06 15,981 16,600 11,816 15,097 16,093 12/06 16,827 17,797 11,938 15,901 17,049 3/07 17,222 18,047 12,128 16,135 17,419 6/07 18,120 19,142 12,110 16,813 18,121 9/07 18,422 19,421 12,458 17,135 18,392 12/07 18,165 18,795 12,820 16,899 18,121 3/08 16,857 17,006 13,205 15,912 17,029 6/08 16,575 16,742 13,003 15,685 16,889 9/08 14,927 15,291 12,848 14,677 15,504 12/08 12,131 11,797 13,471 12,475 13,065 3/09 11,160 10,551 13,464 11,564 12,047 6/09 12,678 12,322 13,688 12,970 13,784 9/09 14,318 14,308 14,134 14,547 15,649 12/09 14,797 15,136 14,177 15,152 16,235 3/10 15,351 16,049 14,396 15,871 16,964 6/10 13,916 14,254 14,823 14,756 15,733 7/31/2010 14,762 15,244 14,985 15,524 16,608
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmarks, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the Wilshire 5000 Index, and the Barclays Capital U.S. Intermediate Government/Credit Bond Index. The Wilshire 5000 Index measures the performance of all U.S. headquartered equity securities with readily available price data. The Barclays Capital U.S. Intermediate Government/Credit Bond Index is composed of investment grade corporate debt issues as well as debt issues of U.S. government agencies and the U.S. Treasury. The debt issues all maintain maturities within a range of one to ten years. The Wilshire 5000 Index and the Barclays Capital U.S. Intermediate Government/Credit Bond Index are unmanaged and do not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these value-added services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class from its inception to the period ended July 31, 2010. (3) The LifeModel Aggressive Target Neutral Style Class Index Blend is an index- based baseline style class allocation determined by the Advisor to be optimal under static market and economic conditions. The target neutral style class index blend is a hypothetical blend only and does not represent underlying allocations in the Fund. The Advisor will periodically adjust the baseline style class allocation. (4) The LifeModel Aggressive Target Neutral Asset Class Index Blend is an unmanaged custom-blended index, created by Fifth Third Asset Management, Inc., comprised of the Wilshire 5000 Index (70%) and the Barclays Capital U.S. Intermediate Government/Credit Bond Index (30%). The LifeModel Aggressive Target Neutral Asset Class Index Blend is a hypothetical blend only and does not represent underlying allocations in the Fund. 32 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- FIFTH THIRD LIFEMODEL MODERATELY AGGRESSIVE FUND(SM) -------------------------------------------------------------------------------- LIFEMODEL MODERATELY AGGRESSIVE TARGET NEUTRAL STYLE CLASS INDEX BLEND Small Cap Growth Index(5) 3.5% Small Cap Value Index(6) 3.5% International Index(7) 14.0% Mid Cap Growth Index(8) 7.0% Mid Cap Value Index(9) 7.0% Large Cap Growth Index(10) 12.0% Large Cap Value Index(11) 12.0% Large Cap Core Index(12) 11.0% High Yield Bond Index(13) 1.5% Total Return Bond Index(14) 21.0% Short Term Bond Index(15) 7.5%
(5) The Small Cap Growth Index represents the Russell 2000(R) Growth Index. The Russell 2000(R) Growth Index measures the performance of those Russell 2000(R) companies that have higher price-to-book values and higher forecasted growth rates. (6) The Small Cap Value Index represents the Russell 2000(R) Value Index. The Russell 2000(R) Value Index measures the performance of those Russell 2000(R) companies that have lower price-to-book ratios and lower forecasted growth values. (7) The International Index represents the MSCI EAFE Index. The MSCI EAFE Index is a widely recognized, unmanaged index composed of a sample of companies representative of the market structure of 20 European and Pacific Basin countries. (8) The Mid Cap Growth Index represents the Russell Midcap(R) Growth Index. The Russell Midcap(R) Growth Index measures the performance of those Russell Midcap(R) companies with higher price-to-book ratios and higher forecasted growth values. (9) The Mid Cap Value Index represents the Russell Midcap(R) Value Index. The Russell Midcap(R) Value Index measures the performance of those Russell Midcap(R) companies with lower price-to-book ratios and lower forecasted growth values. (10) The Large Cap Growth Index represents the Russell 1000(R) Growth Index. The Russell 1000(R) Growth Index measures the performance of those Russell 1000(R) companies with higher price-to-book ratios and higher forecasted growth values. (11) The Large Cap Value Index represents the Russell 1000(R) Value Index. The Russell 1000(R) Value Index measures the performance of those Russell 1000(R) companies with lower price-to-book ratios and lower forecasted growth values. (12) The Large Cap Core Index represents the S&P 500 Index. The S&P 500 Index is comprised of 500 selected common stocks, most of which are listed on the New York Stock Exchange, and is a measure of the U.S. Stock Market as a whole. (13) The High Yield Bond Index represents the BofA Merrill Lynch U.S. High Yield Cash Pay Master Index. The BofA Merrill Lynch U.S. High Yield Cash Pay Master Index tracks the performance of below investment grade, U.S. dollar-denominated corporate bonds publicly issued in the U.S. domestic market. Qualifying bonds must have at least one year remaining term to maturity, at least $100,000,000 par outstanding, and a fixed coupon schedule. (14) The Total Return Bond Index represents the Barclays Capital U.S. Aggregate Bond Index. The Barclays Capital U.S. Aggregate Bond Index is a market value-weighted performance benchmark for investment-grade fixed-rate taxable SEC-registered debt issues, including government, corporate, asset-backed and mortgage-backed securities with maturities of at least one year. (15) The Short Term Bond Index represents the BofA Merrill Lynch 1-3 Year Government Corporate Bond Index. The BofA Merrill Lynch 1-3 Year Government Corporate Bond Index tracks the trading of short-term U.S. government securities and short-term domestic investment-grade corporate bonds with maturities between 1 and 2.99 years. 33 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- FIFTH THIRD LIFEMODEL MODERATE FUND(SM) -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third LifeModel Moderate Fund(SM) (Institutional) gained 9.60% on a net of fee basis, underperforming its benchmark, a blend of the Wilshire 5000 Index and the Barclays Capital U.S. Intermediate Government/Credit Bond Index, which advanced 12.04%. A wide swath of investments generated solid returns for investors during the fiscal year as the U.S. economy recovered from the 2008-09 recession. Domestic equities advanced through the first eight months of the period, extending an impressive rally that started in March 2009, and withstood a retreat during the second quarter of 2010 to end with double-digit gains. Mid and small cap stocks generally outperformed large cap positions as investors favored riskier holdings for much of the period, while value stocks outperformed growth stocks. Undermined by government debt scares in Europe and slowing growth in China, international stocks lagged domestic equities. Fixed income markets enjoyed broad-based gains. While U.S. Treasury issues benefited from a late-period flight to quality, government intervention efforts helped prop up prices on structured products such as Mortgage-Backed Securities and Asset-Backed Securities. Corporate debt grew increasingly popular as well, due largely to the improving conditions of corporate balance sheets, and the increased appetite for risk propelled high yield issues. Within the Fund, an overweight position, relative to the benchmark targets, in large cap growth stocks and a slightly underweight stake in mid and small cap value stocks diminished relative returns. From a broader perspective, the Fund's overweight position in equities and underweight exposure in fixed income investments proved advantageous. By period-end, solid quarterly earnings reports prompted many investors to wade back into the stock market in search of high quality companies with the potential to post above-average profits in the near-term. Such developments reinforced the sentiment that markets have already discounted much of the negative news that could surface in the coming quarters, so the shakeout in equities may already be complete. As such, robust analysis and stock picking returned to the fore for those looking to outperform the broader indexes. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- The Fund invests in underlying funds, so its investment performance is directly related to the performance of those underlying funds. Before investing, investors should assess the risks associated with and types of investments made by each of the underlying funds in which the Fund invests. In particular, please see Note 3 of the Notes to Financial Statements in this report for further details regarding Fifth Third Structured Large Cap Plus Fund, an underlying fund in which the Fund invests. Stocks are more volatile and carry more risk and return potential than other forms of investments. Bonds offer a relatively stable level of income, although bond prices will fluctuate, providing the potential for principal gain or loss. Cash equivalents offer low risk and low return potential. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
INCEPTION SINCE ENDING DATE 1 YEAR 5 YEAR INCEPTION VALUE(2) --------- ------ ------ --------- -------- Institutional 8/1/02 9.60% 1.21% 4.45% $14,171 -------------------------------------------------------------------------------------------------------------------------------- Class A Shares 8/1/02 3.91% -0.06% 3.53% $13,196 -------------------------------------------------------------------------------------------------------------------------------- Class B Shares 8/1/02 3.43% -0.11% 3.42% $13,083 -------------------------------------------------------------------------------------------------------------------------------- Class C Shares 8/1/02 8.57% 0.21% 3.43% $13,093 -------------------------------------------------------------------------------------------------------------------------------- Wilshire 5000 Index(1) 14.86% 0.25% 5.41% $15,244 -------------------------------------------------------------------------------------------------------------------------------- Barclays Capital U.S. Intermediate Government/Credit Bond Index(1) 7.99% 5.67% 5.19% $14,985 -------------------------------------------------------------------------------------------------------------------------------- LifeModel Moderate Target Neutral Style Class Index Blend(3) 12.04% 0.64% 3.74% $16,392 -------------------------------------------------------------------------------------------------------------------------------- LifeModel Moderate Target Neutral Asset Class Index Blend(4) 11.78% 3.33% 5.66% $15,537 --------------------------------------------------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 0.45% (INSTITUTIONAL SHARES), 0.70% (CLASS A) AND 1.45% (CLASSES B & C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. The Fund's performance in the above table does not reflect the deduction of taxes on Fund distributions, or redemption of shares -------------------------------------------------------------------------------- FUND HOLDINGS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- [CHART OF FUND HOLDINGS] Fifth Third Total Return Bond Fund 28.72% Fifth Third International Equity Fund 14.75% Fifth Third Short Term Bond Fund 13.35% Fifth Third Quality Growth Fund 9.62% Fifth Third Structured Large Cap Plus Fund 8.54% Fifth Third Disciplined Large Cap Value Fund 7.85% Fifth Third Mid Cap Growth Fund 5.70% Fifth Third All Cap Value Fund 4.53% Fifth Third Small Cap Growth Fund 2.59% Fifth Third Small Cap Value Fund 2.15% Fifth Third High Yield Bond Fund 1.49% Fifth Third Institutional Money Market Fund 0.71%
[END CHART] (+) Portfolio composition is subject to change. 34 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- FIFTH THIRD LIFEMODEL MODERATE FUND(SM) -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
BARCLAYS CAPITAL U.S. LIFEMODEL MODERATE LIFEMODEL MODERATE LIFEMODEL MODERATE WILSHIRE 5000 INTERMEDIATE GOVERNMENT/ TARGET NEUTRAL TARGET NEUTRAL (INSTITUTIONAL SHARES) INDEX CREDIT BOND INDEX ASSET CLASS INDEX BLEND STYLE CLASS INDEX BLEND 8/1/02 $10,000 $10,000 $10,000 $10,000 $10,000 9/02 9,594 9,050 10,331 9,687 9,643 12/02 10,053 9,758 10,506 10,164 10,110 3/03 9,894 9,457 10,664 10,083 9,983 6/03 10,944 11,018 10,954 11,039 10,978 9/03 11,269 11,426 10,952 11,247 11,280 12/03 12,129 12,846 10,959 11,938 12,075 3/04 12,449 13,182 11,230 12,242 12,419 6/04 12,367 13,359 10,946 12,169 12,365 9/04 12,220 13,113 11,242 12,223 12,443 12/04 12,892 14,450 11,292 12,864 13,237 3/05 12,736 14,129 11,193 12,667 13,098 6/05 13,045 14,456 11,471 12,974 13,401 9/05 13,354 15,039 11,411 13,203 13,754 12/05 13,547 15,372 11,470 13,385 13,969 3/06 14,078 16,208 11,426 13,721 14,441 6/06 13,876 15,890 11,450 13,602 14,334 9/06 14,334 16,600 11,816 14,123 14,857 12/06 14,948 17,797 11,938 14,701 15,542 3/07 15,265 18,047 12,128 14,923 15,852 6/07 15,845 19,142 12,110 15,365 16,300 9/07 16,123 19,421 12,458 15,703 16,597 12/07 15,971 18,795 12,820 15,680 16,546 3/08 15,117 17,006 13,205 15,154 15,925 6/08 14,903 16,742 13,003 14,942 15,805 9/08 13,669 15,291 12,848 14,205 14,842 12/08 11,698 11,797 13,471 12,849 13,272 3/09 11,122 10,551 13,464 12,183 12,555 6/09 12,312 12,322 13,688 13,294 13,939 9/09 13,595 14,308 14,134 14,566 15,425 12/09 13,963 15,136 14,177 15,012 15,862 3/10 14,408 16,049 14,396 15,591 16,454 6/10 13,566 14,254 14,823 14,934 15,721 7/31/2010 14,171 15,244 14,985 15,537 16,392
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmarks, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the Wilshire 5000 Index, and the Barclays Capital U.S. Intermediate Government/Credit Bond Index. The Wilshire 5000 Index measures the performance of all U.S. headquartered equity securities with readily available price data. The Barclays Capital U.S. Intermediate Government/Credit Bond Index is composed of investment grade corporate debt issues as well as debt issues of U.S. government agencies and the U.S. Treasury. The debt issues all maintain maturities within a range of one to ten years. The Wilshire 5000 Index and the Barclays Capital U.S. Intermediate Government/Credit Bond Index are unmanaged and do not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these value-added services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class from its inception to the period ended July 31, 2010. (3) The LifeModel Aggressive Target Neutral Style Class Index Blend is an index-based baseline style class allocation determined by the Advisor to be optimal under static market and economic conditions. The target neutral style class index blend is a hypothetical blend only and does not represent underlying allocations in the Fund. The Advisor will periodically adjust the baseline style class allocation. (4) The LifeModel Aggressive Target Neutral Asset Class Index Blend is an unmanaged custom-blended index, created by Fifth Third Asset Management, Inc., comprised of the Wilshire 5000 Index (50%) and the Barclays Capital U.S. Intermediate Government/Credit Bond Index (50%). The LifeModel Aggressive Target Neutral Asset Class Index Blend is a hypothetical blend only and does not represent underlying allocations in the Fund. 35 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- FIFTH THIRD LIFEMODEL MODERATE FUND(SM) -------------------------------------------------------------------------------- LIFEMODEL MODERATE TARGET NEUTRAL STYLE CLASS INDEX BLEND Small Cap Growth Index(5) 2.5% Small Cap Value Index(6) 2.5% International Index(7) 10.0% Mid Cap Growth Index(8) 5.0% Mid Cap Value Index(9) 5.0% Large Cap Growth Index(10) 8.5% Large Cap Value Index(11) 8.5% Large Cap Core Index(12) 8.0% High Yield Bond Index(13) 2.5% Total Return Bond Index(14) 35.0% Short Term Bond Index(15) 12.5%
(5) The Small Cap Growth Index represents the Russell 2000(R) Growth Index. The Russell 2000(R) Growth Index measures the performance of those Russell 2000(R) companies that have higher price-to-book values and higher forecasted growth rates. (6) The Small Cap Value Index represents the Russell 2000(R) Value Index. The Russell 2000(R) Value Index measures the performance of those Russell 2000(R) companies that have lower price-to-book ratios and lower forecasted growth values. (7) The International Index represents the MSCI EAFE Index. The MSCI EAFE Index is a widely recognized, unmanaged index composed of a sample of companies representative of the market structure of 20 European and Pacific Basin countries. (8) The Mid Cap Growth Index represents the Russell Midcap(R) Growth Index. The Russell Midcap(R) Growth Index measures the performance of those Russell Midcap(R) companies with higher price-to-book ratios and higher forecasted growth values. (9) The Mid Cap Value Index represents the Russell Midcap(R) Value Index. The Russell Midcap(R) Value Index measures the performance of those Russell Midcap(R) companies with lower price-to-book ratios and lower forecasted growth values. (10) The Large Cap Growth Index represents the Russell 1000(R) Growth Index. The Russell 1000(R) Growth Index measures the performance of those Russell 1000(R) companies with higher price-to-book ratios and higher forecasted growth values. (11) The Large Cap Value Index represents the Russell 1000(R) Value Index. The Russell 1000(R) Value Index measures the performance of those Russell 1000(R) companies with lower price-to-book ratios and lower forecasted growth values. (12) The Large Cap Core Index represents the S&P 500 Index. The S&P 500 Index is comprised of 500 selected common stocks, most of which are listed on the New York Stock Exchange, and is a measure of the U.S. Stock Market as a whole. (13) The High Yield Bond Index represents the BofA Merrill Lynch U.S. High Yield Cash Pay Master Index. The BofA Merrill Lynch U.S. High Yield Cash Pay Master Index tracks the performance of below investment grade, U.S. dollar-denominated corporate bonds publicly issued in the U.S. domestic market. Qualifying bonds must have at least one year remaining term to maturity, at least $100,000,000 par outstanding, and a fixed coupon schedule. (14) The Total Return Bond Index represents the Barclays Capital U.S. Aggregate Bond Index. The Barclays Capital U.S. Aggregate Bond Index is a market value-weighted performance benchmark for investment-grade fixed-rate taxable SEC-registered debt issues, including government, corporate, asset-backed and mortgage-backed securities with maturities of at least one year. (15) The Short Term Bond Index represents the BofA Merrill Lynch 1-3 Year Government Corporate Bond Index. The BofA Merrill Lynch 1-3 Year Government Corporate Bond Index tracks the trading of short-term U.S. government securities and short-term domestic investment-grade corporate bonds with maturities between 1 and 2.99 years. 36 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- FIFTH THIRD LIFEMODEL MODERATELY CONSERVATIVE FUND(SM) -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third LifeModel Moderately Conservative Fund(SM) (Institutional) gained 10.07% on a net of fee basis, underperforming its benchmark, a blend of the Wilshire 5000 Index and the Barclays Capital U.S. Intermediate Government/Credit Bond Index, which advanced 11.36%. A wide swath of investments generated solid returns for investors during the fiscal year as the U.S. economy recovered from the 2008-09 recession. Fixed income markets enjoyed broad-based gains, as government intervention efforts helped prop up prices on structured products such as Mortgage-Backed Securities and Asset-Backed Securities. Late in the period, U.S. Treasury issues benefited from a late-period flight to quality. Meanwhile, corporate debt grew increasingly popular, due largely to the improving conditions of corporate balance sheets, and increased investor appetites for risk propelled high yield issues. Domestic equities advanced through the first eight months of the period, extending an impressive rally that started in March 2009, and withstood a retreat during the second quarter of 2010 to end with double-digit gains. Mid and small cap stocks generally outperformed large cap positions as investors turned to riskier holdings for much of the period, while value stocks outperformed growth stocks. Undermined by government debt scares in Europe and slowing growth in China, international stocks lagged domestic equities. Within the Fund, an overweight position, relative to the benchmark targets, in short term bonds and underweight stake in longer term bonds diminished relative returns as issues on the longer end of the yield curve posted better gains. From a broader perspective, the Fund's overweight position in equities and underweight exposure in fixed income investments proved advantageous. By period-end, solid quarterly earnings reports prompted many investors to wade back into the stock market in search of high quality companies with the potential to post above-average profits in the near-term. Meanwhile, with interest rates lingering near record lows, the prospect of rising yields loomed over the fixed income market. As such, robust analysis and security selection returned to the fore for those looking to outperform the broader indexes. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- The Fund invests in underlying funds, so its investment performance is directly related to the performance of those underlying funds. Before investing, investors should assess the risks associated with and types of investments made by each of the underlying funds in which the Fund invests. In particular, please see Note 3 of the Notes to Financial Statements in this report for further details regarding Fifth Third Structured Large Cap Plus Fund, an underlying fund in which the Fund invests. Stocks are more volatile and carry more risk and return potential than other forms of investments. Bonds offer a relatively stable level of income, although bond prices will fluctuate, providing the potential for principal gain or loss. Cash equivalents offer low risk and low return potential. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
INCEPTION SINCE ENDING DATE 1 YEAR 5 YEAR INCEPTION VALUE(2) --------- ------ ------ --------- -------- Institutional 8/1/02 10.07% 1.80% 4.14% $13,839 -------------------------------------------------------------------------------------------------------------------------------- Class A Shares 8/1/02 4.31% 0.49% 3.21% $12,871 -------------------------------------------------------------------------------------------------------------------------------- Class B Shares 8/1/02 4.01% 0.48% 3.11% $12,776 -------------------------------------------------------------------------------------------------------------------------------- Class C Shares 8/1/02 8.98% 0.79% 3.11% $12,777 -------------------------------------------------------------------------------------------------------------------------------- Wilshire 5000 Index(1) 14.86% 0.25% 5.41% $15,244 -------------------------------------------------------------------------------------------------------------------------------- Barclays Capital U.S. Intermediate Government/Credit Bond Index(1) 7.99% 5.67% 5.19% $14,985 -------------------------------------------------------------------------------------------------------------------------------- LifeModel Moderately Conservative Target Neutral Style Class Index Blend(3) 11.36% 1.99% 4.20% $16,231 -------------------------------------------------------------------------------------------------------------------------------- LifeModel Moderately Conservative Target Neutral Asset Class Index Blend(4) 11.08% 3.86% 5.62% $15,492 --------------------------------------------------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 0.59% (INSTITUTIONAL SHARES), 0.84% (CLASS A) AND 1.59% (CLASSES B & C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. The Fund's performance in the above table does not reflect the deduction of taxes on Fund distributions, or redemption of shares. -------------------------------------------------------------------------------- FUND HOLDINGS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- [CHART OF FUND HOLDINGS] Fifth Third Total Return Bond Fund 33.34% Fifth Third Short Term Bond Fund 17.02% Fifth Third International Equity Fund 10.07% Fifth Third Quality Growth Fund 8.96% Fifth Third Structured Large Cap Plus Fund 8.24% Fifth Third Disciplined Large Cap Value Fund 6.91% Fifth Third Mid Cap Growth Fund 4.97% Fifth Third All Cap Value Fund 3.88% Fifth Third Small Cap Growth Fund 2.20% Fifth Third Small Cap Value Fund 2.02% Fifth Third High Yield Bond Fund 1.87% Fifth Third Institutional Money Market Fund 0.51%
[END CHART] (+) Portfolio composition is subject to change. 37 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- FIFTH THIRD LIFEMODEL MODERATELY CONSERVATIVE FUND(SM) -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
LIFEMODEL MODERATELY BARCLAYS CAPITAL U.S. LIFEMODEL MODERATELY LIFEMODEL MODERATELY CONSERVATIVE WILSHIRE 5000 INTERMEDIATE GOVERNMENT/ CONSERVATIVE TARGET NEUTRAL CONSERVATIVE TARGET NEUTRAL (INSTITUTIONAL SHARES) INDEX CREDIT BOND INDEX ASSET CLASS INDEX BLEND STYLE CLASS INDEX BLEND 8/1/02 $10,000 $10,000 $10,000 $10,000 $10,000 9/02 9,517 9,050 10,331 9,816 9,768 12/02 9,958 9,758 10,506 10,237 10,182 3/03 9,844 9,457 10,664 10,203 10,110 6/03 10,726 11,018 10,954 11,030 10,965 9/03 10,988 11,426 10,952 11,197 11,210 12/03 11,674 12,846 10,959 11,747 11,853 3/04 11,925 13,182 11,230 12,045 12,177 6/04 11,817 13,359 10,946 11,926 12,085 9/04 11,751 13,113 11,242 12,033 12,213 12/04 12,291 14,450 11,292 12,547 12,857 3/05 12,158 14,129 11,193 12,371 12,737 6/05 12,437 14,456 11,471 12,673 13,039 9/05 12,673 15,039 11,411 12,839 13,304 12/05 12,822 15,372 11,470 12,995 13,487 3/06 13,217 16,208 11,426 13,245 13,846 6/06 13,073 15,890 11,450 13,159 13,767 9/06 13,507 16,600 11,816 13,646 14,262 12/06 14,009 17,797 11,938 14,120 14,825 3/07 14,294 18,047 12,128 14,336 15,108 6/07 14,725 19,142 12,110 14,672 15,444 9/07 14,982 19,421 12,458 15,015 15,750 12/07 14,856 18,795 12,820 15,085 15,793 3/08 14,207 17,006 13,205 14,768 15,381 6/08 14,048 16,742 13,003 14,561 15,269 9/08 13,020 15,291 12,848 13,953 14,500 12/08 11,361 11,797 13,471 13,009 13,346 3/09 10,927 10,551 13,464 12,472 12,784 6/09 12,000 12,322 13,688 13,421 13,979 9/09 13,198 14,308 14,134 14,533 15,271 12/09 13,529 15,136 14,177 14,898 15,634 3/10 13,941 16,049 14,396 15,405 16,157 6/10 13,327 14,254 14,823 14,975 15,665 7/31/2010 13,839 15,244 14,985 15,492 16,231
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmarks, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the Wilshire 5000 Index, and the Barclays Capital U.S. Intermediate Government/Credit Bond Index. The Wilshire 5000 Index measures the performance of all U.S. headquartered equity securities with readily available price data. The Barclays Capital U.S. Intermediate Government/Credit Bond Index is composed of investment grade corporate debt issues as well as debt issues of U.S. government agencies and the U.S. Treasury. The debt issues all maintain maturities within a range of one to ten years. The Wilshire 5000 Index and the Barclays Capital U.S. Intermediate Government/Credit Bond Index are unmanaged and do not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these value-added services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class from its inception to the period ended July 31, 2010. (3) The LifeModel Aggressive Target Neutral Style Class Index Blend is an index-based baseline style class allocation determined by the Advisor to be optimal under static market and economic conditions. The target neutral style class index blend is a hypothetical blend only and does not represent underlying allocations in the Fund. The Advisor will periodically adjust the baseline style class allocation. (4) The LifeModel Aggressive Target Neutral Asset Class Index Blend is an unmanaged custom-blended index, created by Fifth Third Asset Management, Inc., comprised of the Wilshire 5000 Index (40%) and the Barclays Capital U.S. Intermediate Government/Credit Bond Index (60%). The LifeModel Aggressive Target Neutral Asset Class Index Blend is a hypothetical blend only and does not represent underlying allocations in the Fund. 38 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- FIFTH THIRD LIFEMODEL MODERATELY CONSERVATIVE FUND(SM) -------------------------------------------------------------------------------- LIFEMODEL MODERATELY CONSERVATIVE TARGET NEUTRAL STYLE CLASS INDEX BLEND Small Cap Growth Index(5) 2.0% Small Cap Value Index(6) 2.0% International Index(7) 8.0% Mid Cap Growth Index(8) 4.0% Mid Cap Value Index(9) 4.0% Large Cap Growth Index(10) 7.0% Large Cap Value Index(11) 7.0% Large Cap Core Index(12) 6.0% High Yield Bond Index(13) 3.0% Total Return Bond Index(14) 42.0% Short Term Bond Index(15) 15.0%
(5) The Small Cap Growth Index represents the Russell 2000(R) Growth Index. The Russell 2000(R) Growth Index measures the performance of those Russell 2000(R) companies that have higher price-to-book values and higher forecasted growth rates. (6) The Small Cap Value Index represents the Russell 2000(R) Value Index. The Russell 2000(R) Value Index measures the performance of those Russell 2000(R) companies that have lower price-to-book ratios and lower forecasted growth values. (7) The International Index represents the MSCI EAFE Index. The MSCI EAFE Index is a widely recognized, unmanaged index composed of a sample of companies representative of the market structure of 20 European and Pacific Basin countries. (8) The Mid Cap Growth Index represents the Russell Midcap(R) Growth Index. The Russell Midcap(R) Growth Index measures the performance of those Russell Midcap(R) companies with higher price-to-book ratios and higher forecasted growth values. (9) The Mid Cap Value Index represents the Russell Midcap(R) Value Index. The Russell Midcap(R) Value Index measures the performance of those Russell Midcap(R) companies with lower price-to-book ratios and lower forecasted growth values. (10) The Large Cap Growth Index represents the Russell 1000(R) Growth Index. The Russell 1000(R) Growth Index measures the performance of those Russell 1000(R) companies with higher price-to-book ratios and higher forecasted growth values. (11) The Large Cap Value Index represents the Russell 1000(R) Value Index. The Russell 1000(R) Value Index measures the performance of those Russell 1000(R) companies with lower price-to-book ratios and lower forecasted growth values. (12) The Large Cap Core Index represents the S&P 500 Index. The S&P 500 Index is comprised of 500 selected common stocks, most of which are listed on the New York Stock Exchange, and is a measure of the U.S. Stock Market as a whole. (13) The High Yield Bond Index represents the BofA Merrill Lynch U.S. High Yield Cash Pay Master Index. The BofA Merrill Lynch U.S. High Yield Cash Pay Master Index tracks the performance of below investment grade, U.S. dollar-denominated corporate bonds publicly issued in the U.S. domestic market. Qualifying bonds must have at least one year remaining term to maturity, at least $100,000,000 par outstanding, and a fixed coupon schedule. (14) The Total Return Bond Index represents the Barclays Capital U.S. Aggregate Bond Index. The Barclays Capital U.S. Aggregate Bond Index is a market value-weighted performance benchmark for investment-grade fixed-rate taxable SEC-registered debt issues, including government, corporate, asset-backed and mortgage-backed securities with maturities of at least one year. (15) The Short Term Bond Index represents the BofA Merrill Lynch 1-3 Year Government Corporate Bond Index. The BofA Merrill Lynch 1-3 Year Government Corporate Bond Index tracks the trading of short-term U.S. government securities and short-term domestic investment-grade corporate bonds with maturities between 1 and 2.99 years. 39 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- FIFTH THIRD LIFEMODEL CONSERVATIVE FUND(SM) -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third LifeModel Conservative Fund(SM) (Institutional) gained 9.77% on a net of fee basis, narrowly trailing its benchmark, a blend of the Wilshire 5000 Index and the Barclays Capital U.S. Intermediate Government/Credit Bond Index, which advanced 9.90%. A wide swath of investments generated solid returns for investors during the fiscal year as the U.S. economy recovered from the 2008-09 recession. Fixed income markets enjoyed broad-based gains, as government intervention efforts helped prop up prices on structured products such as Mortgage-Backed Securities and Asset-Backed Securities. Late in the period, U.S. Treasury issues benefited from a late-period flight to quality. Meanwhile, corporate debt grew increasingly popular, due largely to the improving conditions of corporate balance sheets, and increased investor appetites for risk propelled high yield issues. Domestic equities advanced through the first eight months of the period, extending an impressive rally that started in March 2009, and withstood a retreat during the second quarter of 2010 to end with double-digit gains. Mid and small cap stocks generally outperformed large cap positions as investors turned to riskier holdings for much of the period, while value stocks outperformed growth stocks. Undermined by government debt scares in Europe and slowing growth in China, international stocks lagged domestic equities. Within the Fund, an overweight position, relative to the benchmark targets, in equities and underweight exposure in fixed income investments proved advantageous. An overweight stake in high yield bonds further enhanced relative returns. Alternatively, an overweight position in short term bonds and underweight stake in longer term bonds diminished relative returns as issues on the longer end of the yield curve posted better gains. By period-end, solid quarterly earnings reports prompted many investors to wade back into the stock market in search of high quality companies with the potential to post above-average profits in the near-term. Meanwhile, with interest rates lingering near record lows, the prospect of rising yields loomed over the fixed income market. As such, robust analysis and security selection returned to the fore for those looking to outperform the broader indexes. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- The Fund invests in underlying funds, so its investment performance is directly related to the performance of those underlying funds. Before investing, investors should assess the risks associated with and types of investments made by each of the underlying funds in which the Fund invests. In particular, please see Note 3 of the Notes to Financial Statements in this report for further details regarding Fifth Third Structured Large Cap Plus Fund, an underlying fund in which the Fund invests. Stocks are more volatile and carry more risk and return potential than other forms of investments. Bonds offer a relatively stable level of income, although bond prices will fluctuate, providing the potential for principal gain or loss. Cash equivalents offer low risk and low return potential. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
INCEPTION SINCE ENDING DATE 1 YEAR 5 YEAR INCEPTION VALUE(2) --------- ------ ------ --------- -------- Institutional 8/1/02 9.77% 2.41% 3.91% $13,593 ----------------------------------------------------------------------------------------------------------------------------- Class A Shares 8/1/02 3.92% 1.12% 2.98% $12,648 ----------------------------------------------------------------------------------------------------------------------------- Class B Shares 8/1/02 3.58% 1.07% 2.88% $12,550 ----------------------------------------------------------------------------------------------------------------------------- Class C Shares 8/1/02 8.56% 1.37% 2.88% $12,548 ----------------------------------------------------------------------------------------------------------------------------- Wilshire 5000 Index(1) 14.86% 0.25% 5.41% $15,244 ----------------------------------------------------------------------------------------------------------------------------- Barclays Capital U.S. Intermediate Government/Credit Bond Index(1) 7.99% 5.67% 5.19% $14,985 ----------------------------------------------------------------------------------------------------------------------------- LifeModel Conservative Target Neutral Style Class Index Blend(3) 9.90% 4.60% 5.04% $15,804 ----------------------------------------------------------------------------------------------------------------------------- LifeModel Conservative Target Neutral Asset Class Index Blend(4) 9.58% 4.82% 5.46% $15,302 -----------------------------------------------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 0.65% (INSTITUTIONAL SHARES), 0.90% (CLASS A) AND 1.65% (CLASSES B & C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 5.0%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. The Fund's performance in the above table does not reflect the deduction of taxes on Fund distributions, or redemption of shares. -------------------------------------------------------------------------------- FUND HOLDINGS AS OF JULY 31, 2010 ------------------------------------------------------------------------------ AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- [CHART OF FUND HOLDINGS] Fifth Third Total Return Bond Fund 48.69% Fifth Third Short Term Bond Fund 22.79% Fifth Third Quality Growth Fund 5.22% Fifth Third International Equity Fund 4.79% Fifth Third Disciplined Large Cap Value Fund 4.17% Fifth Third Structured Large Cap Plus Fund 3.81% Fifth Third Mid Cap Growth Fund 2.80% Fifth Third High Yield Bond Fund 2.60% Fifth Third All Cap Value Fund 2.19% Fifth Third Small Cap Value Fund 1.25% Fifth Third Small Cap Growth Fund 1.23% Fifth Third Institutional Money Market Fund 0.47%
[END CHART] (+) Portfolio composition is subject to change. 40 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- FIFTH THIRD LIFEMODEL CONSERVATIVE FUND(SM) -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
LIFEMODEL BARCLAYS CAPITAL U.S. LIFEMODEL MODERATELY LIFEMODEL MODERATELY CONSERVATIVE WILSHIRE 5000 INTERMEDIATE GOVERNMENT/ CONSERVATIVE TARGET NEUTRAL CONSERVATIVE TARGET NEUTRAL (INSTITUTIONAL SHARES) INDEX CREDIT BOND INDEX ASSET CLASS INDEX BLEND STYLE CLASS INDEX BLEND 8/1/02 $10,000 $10,000 $10,000 $10,000 $10,000 9/02 9,909 9,050 10,331 10,073 10,019 12/02 10,233 9,758 10,506 10,377 10,320 3/03 10,245 9,457 10,664 10,437 10,362 6/03 10,840 11,018 10,954 11,000 10,928 9/03 10,996 11,426 10,952 11,082 11,058 12/03 11,383 12,846 10,959 11,356 11,405 3/04 11,609 13,182 11,230 11,641 11,689 6/04 11,450 13,359 10,946 11,437 11,527 9/04 11,500 13,113 11,242 11,643 11,746 12/04 11,819 14,450 11,292 11,916 12,108 3/05 11,714 14,129 11,193 11,780 12,024 6/05 11,979 14,456 11,471 12,070 12,320 9/05 12,086 15,039 11,411 12,118 12,420 12/05 12,194 15,372 11,470 12,223 12,545 3/06 12,414 16,208 11,426 12,316 12,699 6/06 12,345 15,890 11,450 12,290 12,670 9/06 12,737 16,600 11,816 12,714 13,112 12/06 13,074 17,797 11,938 12,999 13,457 3/07 13,305 18,047 12,128 13,202 13,690 6/07 13,528 19,142 12,110 13,347 13,830 9/07 13,756 19,421 12,458 13,696 14,148 12/07 13,696 18,795 12,820 13,928 14,351 3/08 13,339 17,006 13,205 13,989 14,308 6/08 13,195 16,742 13,003 13,787 14,204 9/08 12,433 15,291 12,848 13,417 13,791 12/08 11,318 11,797 13,471 13,276 13,433 3/09 11,185 10,551 13,464 13,002 13,182 6/09 11,972 12,322 13,688 13,602 13,975 9/09 12,864 14,308 14,134 14,385 14,875 12/09 13,103 15,136 14,177 14,588 15,091 3/10 13,431 16,049 14,396 14,950 15,476 6/10 13,255 14,254 14,823 14,961 15,446 7/31/2010 13,953 15,244 14,985 15,302 15,804
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmarks, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the Wilshire 5000 Index, and the Barclays Capital U.S. Intermediate Government/Credit Bond Index. The Wilshire 5000 Index measures the performance of all U.S. headquartered equity securities with readily available price data. The Barclays Capital U.S. Intermediate Government/Credit Bond Index is composed of investment grade corporate debt issues as well as debt issues of U.S. government agencies and the U.S. Treasury. The debt issues all maintain maturities within a range of one to ten years. The Wilshire 5000 Index and the Barclays Capital U.S. Intermediate Government/Credit Bond Index are unmanaged and do not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these value-added services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class from its inception to the period ended July 31, 2010. (3) The LifeModel Aggressive Target Neutral Style Class Index Blend is an index-based baseline style class allocation determined by the Advisor to be optimal under static market and economic conditions. The target neutral style class index blend is a hypothetical blend only and does not represent underlying allocations in the Fund. The Advisor will periodically adjust the baseline style class allocation. (4) The LifeModel Aggressive Target Neutral Asset Class Index Blend is an unmanaged custom-blended index, created by Fifth Third Asset Management, Inc., comprised of the Wilshire 5000 Index (20%) and the Barclays Capital U.S. Intermediate Government/Credit Bond Index (80%). The LifeModel Aggressive Target Neutral Asset Class Index Blend is a hypothetical blend only and does not represent underlying allocations in the Fund. 41 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- FIFTH THIRD LIFEMODEL CONSERVATIVE FUND(SM) -------------------------------------------------------------------------------- LIFEMODEL CONSERVATIVE TARGET NEUTRAL STYLE CLASS INDEX BLEND Small Cap Growth Index(5) 1.0% Small Cap Value Index(6) 1.0% International Index(7) 4.0% Mid Cap Growth Index(8) 2.0% Mid Cap Value Index(9) 2.0% Large Cap Growth Index(10) 3.5% Large Cap Value Index(11) 3.5% Large Cap Core Index(12) 3.0% High Yield Bond Index(13) 4.0% Total Return Bond Index(14) 56.0% Short Term Bond Index(15) 20.0%
(5) The Small Cap Growth Index represents the Russell 2000(R) Growth Index. The Russell 2000(R) Growth Index measures the performance of those Russell 2000(R) companies that have higher price-to-book values and higher forecasted growth rates. (6) The Small Cap Value Index represents the Russell 2000(R) Value Index. The Russell 2000(R) Value Index measures the performance of those Russell 2000(R) companies that have lower price-to-book ratios and lower forecasted growth values. (7) The International Index represents the MSCI EAFE Index. The MSCI EAFE Index is a widely recognized, unmanaged index composed of a sample of companies representative of the market structure of 20 European and Pacific Basin countries. (8) The Mid Cap Growth Index represents the Russell Midcap(R) Growth Index. The Russell Midcap(R) Growth Index measures the performance of those Russell Midcap(R) companies with higher price-to-book ratios and higher forecasted growth values. (9) The Mid Cap Value Index represents the Russell Midcap(R) Value Index. The Russell Midcap(R) Value Index measures the performance of those Russell Midcap(R) companies with lower price-to-book ratios and lower forecasted growth values. (10) The Large Cap Growth Index represents the Russell 1000(R) Growth Index. The Russell 1000(R) Growth Index measures the performance of those Russell 1000(R) companies with higher price-to-book ratios and higher forecasted growth values. (11) The Large Cap Value Index represents the Russell 1000(R) Value Index. The Russell 1000(R) Value Index measures the performance of those Russell 1000(R) companies with lower price-to-book ratios and lower forecasted growth values. (12) The Large Cap Core Index represents the S&P 500 Index. The S&P 500 Index is comprised of 500 selected common stocks, most of which are listed on the New York Stock Exchange, and is a measure of the U.S. Stock Market as a whole. (13) The High Yield Bond Index represents the BofA Merrill Lynch U.S. High Yield Cash Pay Master Index. The BofA Merrill Lynch U.S. High Yield Cash Pay Master Index tracks the performance of below investment grade, U.S. dollar-denominated corporate bonds publicly issued in the U.S. domestic market. Qualifying bonds must have at least one year remaining term to maturity, at least $100,000,000 par outstanding, and a fixed coupon schedule. (14) The Total Return Bond Index represents the Barclays Capital U.S. Aggregate Bond Index. The Barclays Capital U.S. Aggregate Bond Index is a market value-weighted performance benchmark for investment-grade fixed-rate taxable SEC-registered debt issues, including government, corporate, asset-backed and mortgage-backed securities with maturities of at least one year. (15) The Short Term Bond Index represents the BofA Merrill Lynch 1-3 Year Government Corporate Bond Index. The BofA Merrill Lynch 1-3 Year Government Corporate Bond Index tracks the trading of short-term U.S. government securities and short-term domestic investment-grade corporate bonds with maturities between 1 and 2.99 years. 42 This page intentionally left blank. 43 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- HIGH YIELD BOND FUND -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third High Yield Bond Fund (Institutional) advanced 19.22% on a net of fee basis, underperforming its benchmark, the BofA Merrill Lynch U.S. High Yield Master, Cash Pay Index, which gained 23.96%. Through the first eight months of the fiscal year, high yield bonds rallied considerably, extending a run that started in early 2009 as economic fundamentals solidified and returns proved enticing compared to the low rates offered on U.S. Treasury issues. Economic uncertainties emerged in Europe during April, however, and tempered risk appetites for the balance of the period. Despite the late-period retreat, the spread between high yield interest rates and yields on Treasuries narrowed during the period. The lowest quality segment (CCC-rated securities) led the way, generating returns nearly twice as large as those recorded by higher-quality bonds (B- and BB-rated securities). Most notably, the Financials sector soared as the memory of the near-meltdown of the world's financial system in 2008 and early 2009 faded. The Fund's performance suffered from a lack of exposure to low-quality issues and an underweight position, relative to the benchmark, in the Financials sector, especially within the banking, finance, and insurance industries. During the latter months of the period, however, the Fund reduced its underweight position in the finance and insurance groups by increasing exposure to higher quality issuers that offered compelling relative values. Although the higher quality Energy, Healthcare, and Utilities sectors lagged the benchmark during the period, the Fund's security selection within the groups proved advantageous. More specifically, positions in oilfield service companies boosted relative returns within the Energy sector, while acute care hospital holdings enhanced Healthcare sector gains. Positions in the homebuilding and automobile retailer industries further aided performance. Looking ahead, prospects for the high yield bond market remain attractive. Low lending rates and fairly open access to capital should aid higher quality issuers, but lower quality borrowers will likely endure bouts of volatility. As the Fund maintains its high quality bias, it continues to seek solid relative values featuring appropriate risk-reward characteristics. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Bonds offer a relatively stable level of income, although bond prices will fluctuate providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. Investors in any bond fund may be subject to fluctuations in price due to issuer and credit quality, rising interest rates, inflation and call risks associated with the underlying bonds owned by the fund. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
INCEPTION SINCE ENDING DATE 1 YEAR INCEPTION VALUE(2) -------- ------ --------- -------- Institutional 11/29/05 19.22% 7.46% $13,994 --------------------------------------------------------------------------------------------------- Class A Shares 11/29/05 13.35% 5.98% $13,118 --------------------------------------------------------------------------------------------------- Class B Shares 11/29/05 13.07% 6.06% $13,162 --------------------------------------------------------------------------------------------------- Class C Shares 11/29/05 18.06% 6.39% $13,356 --------------------------------------------------------------------------------------------------- BofA Merrill Lynch U.S. High Yield, Cash Pay Index(1) 23.96% 8.12% $14,404 ---------------------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 1.20% (INSTITUTIONAL SHARES), 1.42% (CLASS A), 2.21% (CLASS B) AND 2.23% (CLASS C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 4.75%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. The quoted performance does not reflect the deduction of taxes on Fund distributions or redemption of shares. -------------------------------------------------------------------------------- FUND HOLDINGS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- [CHART OF FUND HOLDINGS] Corporate Bonds 78.25% Investment Companies* 11.09% Foreign Bonds 8.30% Investments in Affiliates 2.10% Preferred Stocks 0.26%
[END CHART] (+) Portfolio composition is subject to change. * Includes State Street Navigator Prime Securities Lending Portfolio. (See Note 2) 44 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- HIGH YIELD BOND FUND -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
HIGH YIELD BOND BOFA MERRILL LYNCH U.S. HIGH (INSTITUTIONAL SHARES) YIELD, CASH PAY INDEX 11/29/05 $10,000 $10,000 12/05 10,002 10,092 3/06 10,231 10,380 6/06 10,094 10,396 9/06 10,420 10,817 12/06 10,817 11,267 3/07 11,096 11,569 6/07 11,100 11,605 9/07 11,209 11,645 12/07 11,165 11,512 3/08 10,934 11,169 6/08 11,216 11,369 9/08 10,465 10,292 12/08 8,496 8,494 3/09 9,042 8,941 6/09 11,097 10,957 9/09 12,464 12,543 12/09 13,098 13,274 3/10 13,575 13,918 6/10 13,519 13,916 7/31/2010 13,994 14,404
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the BofA Merrill Lynch U.S. High Yield Cash Pay Index, an unmanaged index which tracks the performance of below investment grade, U.S. dollar-denominated corporate bonds publicly issued in the U.S. domestic market. Qualifying bonds must have at least one year remaining term to maturity, at least $100,000,000 par outstanding, and a fixed coupon schedule. The index does not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class from its inception to the period ended July 31, 2010. 45 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- TOTAL RETURN BOND FUND -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third Total Return Bond Fund (Institutional) gained 11.91% on a net of fee basis, outperforming its benchmark, the Barclays Capital U.S. Aggregate Bond Index, which advanced 8.91%. With some help from the U.S. government, much of the fixed income market enjoyed positive returns during the period. Due in part to initiatives such as the Term Asset-Backed Loan Facility (TALF) and Public Private Investment Program (PPIP), bond prices gained traction and many issues that plummeted between 2008 and early 2009 rallied through the fiscal year. More specifically, TALF provided low-cost financing for buyers of consumer-related Asset-Backed Securities, and PPIP matched privately raised capital with federal funds to support the market for non-U.S. Government Agency Mortgage-Backed Securities (MBS) and Commercial Mortgage-Backed Securities (CMBS). Interestingly, U.S. Treasury securities also performed well during the period, as the yield on five-year Treasuries dropped 92 basis points (yields move in the opposite direction of prices), indicating a broad-based interest in fixed income investments. Within the Fund, non-Agency MBS and CMBS drove outperformance, and rising prices allowed for strategic exit points, especially in the non-Agency MBS space, where fundamentals remained shaky. Some of the proceeds were directed into corporate bonds, where healthy balance sheets proved attractive, although an underweight position, relative to the benchmark, to lower-quality BBB-rated issues hindered relative gains. Fund performance also suffered somewhat from its short duration, which is designed to enhance returns in a rising-rate environment, and a modest exposure to Treasury Inflation Protected Securities, which faltered as inflation was virtually nonexistent. At period-end, the Fund maintained its short duration, as yields likely will rise off historic lows at some point in the coming quarters. Otherwise, the Fund emphasized high-quality corporate bonds and CMBS, where steady fundamentals appear to offer a firm foundation for continued gains going forward. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Bonds offer a relatively stable level of income, although bond prices will fluctuate providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. Investors in any bond fund may be subject to fluctuations in price due to issuer and credit quality, rising interest rates, inflation and call risks associated with the underlying bonds owned by the fund. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
ENDING 1 YEAR 5 YEAR 10 YEAR VALUE(2) ------ ------ ------- -------- Institutional 11.91% 2.98% 4.66% $15,765 ---------------------------------------------------------------------------------------- Class A Shares 6.48% 1.74% 3.90% $14,656 ---------------------------------------------------------------------------------------- Class B Shares 5.90% 1.65% 3.62% $14,274 ---------------------------------------------------------------------------------------- Class C Shares 10.93% 1.97% 3.62% $14,267 ---------------------------------------------------------------------------------------- Barclays Capital U.S. Aggregate Bond Index(1) 8.91% 5.96% 6.48% $18,743 ----------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 0.87% (INSTITUTIONAL SHARES), 1.12% (CLASS A) AND 1.87% (CLASSES B & C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 4.75%. THE TOTAL RETURN FIGURES FOR B SHARES AND C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 5.0% AND 1.0% WITHIN THE FIRST YEAR, RESPECTIVELY. The quoted performance does not reflect the deduction of taxes on Fund distributions or redemption of shares. For the period prior to October 29, 2001, the quoted performance for the Fifth Third Total Return Bond Fund Institutional Shares reflects the performance of the Kent Income Fund Institutional Shares with an inception date of March 20, 1995. Prior to October 29, 2001, the performance figures for the Fifth Third Total Return Bond Fund Class A Shares reflects the performance of the Kent Income Fund Investment Shares with an inception date of March 22, 1995, adjusted for the maximum sales charge. Class B and Class C Shares were initially offered on October 29, 2001. The performance figures for Class B and Class C Shares for periods prior to such date represent the performance for Institutional Shares and are adjusted to reflect expenses and applicable sales charges for Class B and Class C Shares. -------------------------------------------------------------------------------- FUND HOLDINGS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- [CHART OF FUND HOLDINGS] U.S. Government Agencies 39.35% Corporate Bonds 19.84% Mortgage-Backed Securities 17.14% Asset-Backed Securities 5.93% U.S. Treasury Obligations 4.81% Investment Companies* 4.57% Foreign Bonds 4.36% Investments in Affiliates 2.84% Preferred Stocks 1.16%
[END CHART] (+) Portfolio composition is subject to change. * Includes State Street Navigator Prime Securities Lending Portfolio. (See Note 2) 46 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- TOTAL RETURN BOND FUND -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
TOTAL RETURN BOND BARCLAYS CAPITAL U.S. (INSTITUTIONAL SHARES) AGGREGATE BOND INDEX 7/31/00 $10,000 $10,000 9/00 10,220 10,209 12/00 10,692 10,638 3/01 11,049 10,961 6/01 11,064 11,023 9/01 11,644 11,531 12/01 11,467 11,536 3/02 11,350 11,547 6/02 11,832 11,974 9/02 12,392 12,522 12/02 12,547 12,719 3/03 12,712 12,896 6/03 12,964 13,219 9/03 12,924 13,200 12/03 12,949 13,241 3/04 13,260 13,593 6/04 12,919 13,261 9/04 13,306 13,685 12/04 13,425 13,816 3/05 13,386 13,750 6/05 13,756 14,163 9/05 13,645 14,068 12/05 13,708 14,152 3/06 13,627 14,060 6/06 13,593 14,049 9/06 14,095 14,584 12/06 14,250 14,765 3/07 14,459 14,987 6/07 14,351 14,909 9/07 14,604 15,333 12/07 14,880 15,793 3/08 14,756 16,135 6/08 14,496 15,971 9/08 13,753 15,893 12/08 13,034 16,620 3/09 13,098 16,640 6/09 13,682 16,936 9/09 14,567 17,570 12/09 14,750 17,606 3/10 15,091 17,920 6/10 15,575 18,545 7/31/10 15,765 18,743
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the Barclays Capital U.S. Aggregate Bond Index. The Barclays Capital U.S. Aggregate Bond Index is a market value-weighted performance benchmark for investment-grade fixed-rate taxable SEC-registered debt issues, including government, corporate, asset-backed, and mortgage-backed securities, with maturities of at least one year. The Barclays Capital U.S. Aggregate Bond Index is an unmanaged index and does not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these value-added services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class for the 10-year period ended July 31, 2010. 47 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- SHORT TERM BOND FUND -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third Short Term Bond Fund (Institutional) advanced 5.18% on a net of fee basis, outperforming its primary benchmark, the BofA Merrill Lynch 1-3 Year Government/Corporate Bond Index, which gained 3.76%. With some help from the U.S. government, much of the fixed income market enjoyed positive returns during the period. Due in part to initiatives such as the Term Asset-Backed Loan Facility (TALF) and the Public Private Investment Program (PPIP), bond prices gained traction and many issues that plummeted between 2008 and early 2009 rallied through the fiscal year. More specifically, TALF provided low-cost financing for buyers of consumer-related Asset-Backed Securities (ABS), and PPIP matched privately raised capital with federal funds to support the market for non-U.S. Government Agency Mortgage-Backed Securities (MBS) and Commercial Mortgage-Backed Securities (CMBS). Interestingly, U.S. Treasury securities also performed well during the period, as the yield on two-year Treasuries dropped 56 basis points (yields move in the opposite direction of prices), indicating a broad-based interest in fixed income investments. Meanwhile, the Federal Reserve kept its prime lending rate in a range between 0.00% and 0.25%. The Fund's relative performance benefited from a number of ABS, MBS, and CMBS that had fallen in 2008-09, but rallied during the fiscal year. Alternatively, the Fund's short duration position, designed to generate gains as rates rise, proved a drag as yields kept declining. Given the historically low rates throughout the short term bond market, however, the Fund maintained the short duration in anticipation of a future rise in rates. Elsewhere, the Fund increased its exposure to corporate bonds during the period, as valuations remained attractive, considering the robust health of corporate balance sheets. The Fund also added to high quality CMBS, but trimmed back on residential MBS and ABS. Elsewhere, the Fund's exposure to Agency MBS drifted lower, reflecting uncertainties about the long-term future of mortgage backers Fannie Mae and Freddie Mac. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Bonds offer a relatively stable level of income, although bond prices will fluctuate providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. Investors in any bond fund may be subject to fluctuations in price due to issuer and credit quality, rising interest rates, inflation and call risks associated with the underlying bonds owned by the fund. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- --------------------------------------------------------------------------------
ENDING 1 YEAR 5 YEAR 10 YEAR VALUE(2) ------ ------ ------- -------- Institutional 5.18% 4.22% 4.17% $15,039 ------------------------------------------------------------------------------------------------------------- Class A Shares 1.77% 3.33% 3.64% $14,292 ------------------------------------------------------------------------------------------------------------- Class C Shares 4.14% 3.19% 3.13% $13,606 ------------------------------------------------------------------------------------------------------------- BofA Merrill Lynch 1-3 Year Government/Corporate Bond Index(1) 3.76% 4.61% 4.66% $15,774 -------------------------------------------------------------------------------------------------------------
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, VISIT www.fifththirdfunds.com. DURING THE PERIOD SHOWN, THE TOTAL RETURN FIGURES REFLECT THE WAIVER OF A PORTION OF THE FUND'S ADVISORY OR ADMINISTRATIVE FEES. WITHOUT SUCH WAIVER OF FEES, THE TOTAL RETURNS WOULD HAVE BEEN LOWER. AS OF 7/31/10, THE GROSS EXPENSE RATIOS ARE 0.78% (INSTITUTIONAL SHARES), 1.03% (CLASS A) AND 1.78% (CLASS C). THE TOTAL RETURN FIGURES FOR INSTITUTIONAL SHARES REFLECT A SALES CHARGE OF 0.0%. THE TOTAL RETURN FIGURES FOR A SHARES REFLECT THE MAXIMUM SALES CHARGE OF 3.00%. THE TOTAL RETURN FIGURES FOR C SHARES REFLECT THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) OF 1.0% WITHIN THE FIRST YEAR. The quoted performance does not reflect the deduction of taxes on Fund distributions or redemption of shares. For the period prior to October 29, 2001, the quoted performance for the Fifth Third Short Term Bond Fund Institutional Shares reflects the performance of the Kent Short Term Bond Fund Institutional Shares with an inception date of November 2, 1992. Prior to October 29, 2001, the performance for the Fifth Third Short Term Bond Fund Class A Shares reflects the performance of the Kent Short Term Bond Fund Investment Shares with an inception date of December 4, 1992, adjusted for the maximum sales charge. Class C Shares were initially offered on August 1, 2003. The performance figures for Class C Shares for the periods prior to such date represent the performance for Institutional Shares and are adjusted to reflect expenses and applicable sales charges for Class C Shares. -------------------------------------------------------------------------------- FUND HOLDINGS AS OF JULY 31, 2010 ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS(+) -------------------------------------------------------------------------------- [CHART OF FUND HOLDINGS] U.S. Government Agencies 37.89% Corporate Bonds 18.69% Investment Companies* 14.42% Mortgage-Backed Securities 11.30% Asset-Backed Securities 5.78% U.S. Treasury Obligations 5.51% Foreign Bonds 5.17% Investments in Affiliates 1.21% Municipal Bonds 0.03%
[END CHART] (+) Portfolio composition is subject to change. * Includes State Street Navigator Prime Securities Lending Portfolio. (See Note 2) 48 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- SHORT TERM BOND FUND -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT [CHART OF GROWTH OF A $10,000 INVESTMENT]
SHORT TERM BOND BOFA MERRILL LYNCH 1-3 YEAR (INSTITUTIONAL SHARES) GOVERNMENT/CORPORATE BOND INDEX 7/31/00 $10,000 $10,000 9/00 10,177 10,156 12/00 10,451 10,426 3/01 10,747 10,729 6/01 10,867 10,868 9/01 11,213 11,246 12/01 11,277 11,334 3/02 11,227 11,336 6/02 11,460 11,610 9/02 11,694 11,884 12/02 11,822 12,025 3/03 11,921 12,129 6/03 12,013 12,263 9/03 12,063 12,324 12/03 12,062 12,355 3/04 12,169 12,494 6/04 12,037 12,353 9/04 12,142 12,493 12/04 12,151 12,505 3/05 12,120 12,470 6/05 12,260 12,624 9/05 12,279 12,640 12/05 12,352 12,724 3/06 12,408 12,785 6/06 12,485 12,869 9/06 12,727 13,131 12/06 12,856 13,265 3/07 13,038 13,456 6/07 13,121 13,554 9/07 13,347 13,878 12/07 13,573 14,177 3/08 13,711 14,553 6/08 13,747 14,474 9/08 13,645 14,500 12/08 13,368 14,842 3/09 13,596 14,900 6/09 14,133 15,136 9/09 14,490 15,354 12/09 14,627 15,411 3/10 14,796 15,554 6/10 14,964 15,710 7/31/10 15,039 15,774
[END CHART] PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT OUR WEBSITE AT www.fifththirdfunds.com. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains in the Fund. However, the performance does not reflect the deduction of taxes on Fund distributions, or redemption of shares. (1) The Fund's performance is measured against the BofA Merrill Lynch 1-3 Year Government/Corporate Bond Index. The BofA Merrill Lynch 1-3 Year Government/Corporate Bond Index is composed of U.S. Treasury issues and publicly issued debt of U.S. Government agencies with maturities of one to three years. The BofA Merrill Lynch 1-3 Year Government/Corporate Bond Index is unmanaged and does not reflect the deduction of fees associated with a mutual fund such as investment management and fund accounting fees. However, the Fund's performance reflects the deduction of fees for these value-added services. Investors cannot invest directly in an index, although they can invest in its underlying mutual funds or securities. (2) The ending value represents the value of a $10,000 investment in the indicated share class for the 10-year period ended July 31, 2010. 49 This page intentionally left blank. 50 SMALL CAP GROWTH SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
Shares Value -------- ------------ COMMON STOCKS (97.6%) AUTO COMPONENTS (3.6%) Cooper Tire & Rubber Co. (a) 33,300 $ 719,613 Tenneco, Inc. * 31,300 863,880 ------------ 1,583,493 ------------ CAPITAL MARKETS (3.6%) Ares Capital Corp. 66,000 924,660 Stifel Financial Corp. * (a) 13,600 630,224 ------------ 1,554,884 ------------ COMMERCIAL SERVICES (0.8%) SuccessFactors, Inc. * (a) 17,615 357,761 ------------ COMMERCIAL SERVICES & SUPPLIES (3.1%) Envestnet, Inc. * 43,200 434,592 GeoEye, Inc. * 26,100 900,972 ------------ 1,335,564 ------------ COMMUNICATIONS EQUIPMENT (2.3%) Harmonic, Inc. * (a) 39,849 277,747 Netgear, Inc. * (a) 29,878 717,072 ------------ 994,819 ------------ COMPUTERS & PERIPHERALS (0.6%) Xyratex, Ltd. * (a) 21,166 274,946 ------------ CONSTRUCTION & ENGINEERING (1.2%) Orion Marine Group, Inc. * (a) 41,400 514,188 ------------ CONSUMER FINANCE (3.4%) Cardtronics, Inc. * (a) 67,000 867,650 Cash America International, Inc. (a) 17,818 596,903 ------------ 1,464,553 ------------ CONTAINERS & PACKAGING (1.9%) Rock-Tenn Co., Class A 15,500 824,910 ------------ DIVERSIFIED CONSUMER SERVICES (3.4%) American Public Education, Inc. * (a) 16,900 754,754 ChinaCast Education Corp. * (a) 103,600 708,624 ------------ 1,463,378 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES (1.3%) TW Telecom, Inc. * (a) 29,242 553,259 ------------ ELECTRICAL COMPONENTS & EQUIPMENT (1.1%) Polypore International, Inc. * (a) 19,750 485,060 ------------ ENERGY-ALTERNATE SOURCES (0.9%) Comverge, Inc. * (a) 44,000 389,840 ------------ FINANCE-INVESTMENT BANKER / BROKER (1.1%) Evercore Partners, Inc., Class A (a) 19,900 467,252 ------------ FOOD-MISCELLANEOUS / DIVERSIFIED (1.8%) Diamond Foods, Inc. (a) 18,000 801,720 ------------ HEALTHCARE EQUIPMENT & SUPPLIES (6.7%) Align Technology, Inc. * (a) 52,300 907,405 Endologix, Inc. * (a) 104,000 475,280 Neogen Corp. * (a) 28,500 851,010 NuVasive, Inc. * (a) 20,944 686,335 ------------ 2,920,030 ------------ HEALTHCARE PROVIDERS & SERVICES (5.6%) Clarient, Inc. * (a) 260,920 840,162 Emergency Medical Services Corp., Class A * 16,608 743,042 HMS Holdings Corp. * (a) 14,694 827,566 ------------ 2,410,770 ------------ HOTELS RESTAURANTS & LEISURE (1.3%) Bally Technologies, Inc. * (a) 18,000 581,400 ------------ INTERNET (1.3%) Constant Contact, Inc. * (a) 28,477 555,017 ------------ INTERNET SOFTWARE & SERVICES (2.1%) Art Technology Group, Inc. * (a) 110,284 397,022 Perficient, Inc. * (a) 58,644 507,271 ------------ 904,293 ------------ IT SERVICES (2.6%) ExlService Holdings, Inc. * 35,694 664,979 Forrester Research, Inc. * (a) 14,877 480,230 ------------ 1,145,209 ------------ LEISURE EQUIPMENT & PRODUCTS (1.6%) Polaris Industries, Inc. (a) 11,400 680,580 ------------ LEISURE TIME (1.8%) Life Time Fitness, Inc. * (a) 22,000 799,920 ------------ LIFE SCIENCES TOOLS & SERVICES (3.2%) ICON PLC ADR * 32,070 756,852 Luminex Corp. * (a) 38,450 625,966 ------------ 1,382,818 ------------ MEDIA (2.6%) Dolan Co. (The) * (a) 56,300 658,147 Imax Corp. * (a) 31,323 484,567 ------------ 1,142,714 ------------ MEDICAL-DRUGS (1.3%) Akorn, Inc. * (a) 160,500 584,220 ------------ METALS & MINING (1.3%) Carpenter Technology Corp. 16,700 583,665 ------------ NETWORKING PRODUCTS (2.3%) Acme Packet, Inc. * (a) 34,761 982,346 ------------ OIL & GAS SERVICES (1.2%) Global Geophysical Services, Inc. * 72,500 524,900 ------------
Continued 51 SMALL CAP GROWTH SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
Shares Value -------- ------------ COMMON STOCKS, CONTINUED OIL-FIELD SERVICES (2.3%) North American Energy Partners, Inc. * 103,500 $ 999,810 ------------ PROFESSIONAL SERVICES (1.6%) CoStar Group, Inc. * (a) 16,000 701,280 ------------ ROAD & RAIL (1.9%) Knight Transportation, Inc. (a) 38,500 805,420 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (5.0%) Atheros Communications, Inc. * (a) 7,316 193,435 Entegris, Inc. * (a) 81,377 375,148 LTX-Credence Corp. * (a) 199,345 558,166 MKS Instruments, Inc. * (a) 20,943 449,437 Varian Semiconductor Equipment Associates, Inc. * 21,471 606,770 ------------ 2,182,956 ------------ SOFTWARE (6.9%) Informatica Corp. * (a) 37,152 1,119,390 JDA Software Group, Inc. * 28,000 658,000 SolarWinds, Inc. * 23,786 328,723 Solera Holdings, Inc. 11,581 439,846 Ultimate Software Group, Inc. * (a) 13,577 437,994 ------------ 2,983,953 ------------ SPECIALTY RETAIL (2.9%) Monro Muffler Brake, Inc. (a) 20,800 853,632 Ulta Salon Cosmetics & Fragrance, Inc. * (a) 15,482 391,075 ------------ 1,244,707 ------------ TEXTILES APPAREL & LUXURY GOODS (5.1%) Deckers Outdoor Corp. * (a) 17,256 878,158 True Religion Apparel, Inc. * (a) 23,500 577,630 Warnaco Group, Inc. (The) * (a) 18,100 756,037 ------------ 2,211,825 ------------ TRADING COMPANIES & DISTRIBUTORS (1.3%) Beacon Roofing Supply, Inc. * (a) 33,600 573,216 ------------ TRANSPORTATION (3.9%) Aegean Marine Petroleum Network, Inc. 37,000 760,720 Atlas Air Worldwide Holdings, Inc. * (a) 15,700 918,136 ------------ 1,678,856 ------------ WIRELESS EQUIPMENT (1.7%) Aruba Networks, Inc. * (a) 42,236 717,167 ------------ TOTAL COMMON STOCKS 42,362,699 ------------ INVESTMENT COMPANIES (28.8%) State Street Navigator Securities Lending Portfolio (c) 12,511,020 12,511,020 ------------ TOTAL INVESTMENT COMPANIES 12,511,020 ------------ INVESTMENTS IN AFFILIATES (3.4%) Fifth Third Institutional Money Market Fund (b) 1,455,171 1,455,171 ------------ TOTAL INVESTMENTS IN AFFILIATES 1,455,171 ------------ TOTAL INVESTMENTS (COST $48,901,202) - 129.8% 56,328,890 LIABILITIES IN EXCESS OF OTHER ASSETS - (29.8)% (12,916,908) ------------ NET ASSETS - 100.0% $ 43,411,982 ============
NOTES TO SCHEDULE OF INVESTMENTS * Non-income producing security. (a) All or part of this security was on loan. (b) Investment is in Institutional Shares of underlying fund. (c) Represents investments of cash collateral received in connection with securities lending. The following abbreviation is used in the Schedule of Investments: ADR - American Depositary Receipt At July 31, 2010, Small Cap Growth's investments were in the following countries:
COUNTRY -------------------------------------------------------------------------------------- Bermuda 0.5% Canada 2.6% Greece 1.4% Ireland 1.3% United States 94.2% ------ TOTAL 100.0% ======
See notes to schedules of investments and notes to financial statements. 52 MID CAP GROWTH SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
Shares Value -------- ------------ COMMON STOCKS (98.9%) AEROSPACE & DEFENSE (2.6%) BE Aerospace, Inc. * 43,500 $ 1,278,900 Goodrich Corp. 12,250 892,658 ------------ 2,171,558 ------------ AUTO COMPONENTS (4.1%) Autoliv, Inc. * (a) 24,500 1,407,280 BorgWarner, Inc. * (a) 24,500 1,074,570 Wabco Holding, Inc. * 22,000 850,960 ------------ 3,332,810 ------------ BEVERAGES (1.4%) Dr. Pepper Snapple Group, Inc. 30,500 1,145,275 ------------ BIOTECHNOLOGY (1.3%) Alexion Pharmaceuticals, Inc. * 19,750 1,073,610 ------------ CAPITAL MARKETS (2.9%) Affiliated Managers Group, Inc. * 17,000 1,204,110 Ameriprise Financial, Inc. 27,000 1,144,530 ------------ 2,348,640 ------------ CHEMICALS (5.1%) CF Industries Holdings, Inc. 10,750 872,793 FMC Corp. 21,500 1,343,535 Scotts Miracle-Gro Co. (The), Class A 20,500 989,125 Valspar Corp. 31,500 989,415 ------------ 4,194,868 ------------ COMMERCIAL SERVICES & SUPPLIES (1.4%) Stericycle, Inc. * (a) 18,250 1,149,750 ------------ COMMUNICATIONS EQUIPMENT (1.9%) F5 Networks, Inc. * (a) 17,750 1,558,982 ------------ COMPUTERS (1.3%) Netezza Corp. * (a) 69,000 1,069,500 ------------ COMPUTERS & PERIPHERALS (1.7%) NetApp, Inc. * 34,000 1,438,200 ------------ DIVERSIFIED FINANCIAL SERVICES (2.0%) CBOE Holdings, Inc. * (a) 26,000 691,600 IntercontinentalExchange, Inc. * 9,000 950,580 ------------ 1,642,180 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES (1.3%) TW Telecom, Inc. * 57,000 1,078,440 ------------ ELECTRONIC COMPONENTS-SEMICONDUCTORS (1.3%) Rovi Corp. * (a) 24,000 1,068,000 ------------ ELECTRONIC EQUIPMENT & INSTRUMENTS (3.1%) Agilent Technologies, Inc. * 55,500 1,550,115 Mettler-Toledo International, Inc. * (a) 8,750 1,022,000 ------------ 2,572,115 ------------ ENERGY EQUIPMENT & SERVICES (3.0%) Core Laboratories NV (a) 19,250 1,487,062 FMC Technologies, Inc. * 15,750 996,660 ------------ 2,483,722 ------------ FOOD PRODUCTS (1.4%) HJ Heinz Co. 26,500 1,178,720 ------------ HEALTHCARE EQUIPMENT & SUPPLIES (2.5%) Edwards Lifesciences Corp. * 21,500 1,242,700 Zimmer Holdings, Inc. * 14,750 781,602 ------------ 2,024,302 ------------ HEALTHCARE PROVIDERS & SERVICES (3.4%) AmerisourceBergen Corp. 41,500 1,243,755 HMS Holdings Corp. * 14,750 830,720 SXC Health Solutions Corp. * 10,750 729,925 ------------ 2,804,400 ------------ HOTELS RESTAURANTS & LEISURE (5.2%) Panera Bread Co., Class A * (a) 11,750 918,968 Starwood Hotels & Resorts Worldwide, Inc. 26,500 1,283,925 WMS Industries, Inc. * 21,500 827,965 Wynn Resorts, Ltd. 13,750 1,205,600 ------------ 4,236,458 ------------ HOUSEHOLD DURABLES (1.5%) Snap-On, Inc. 27,500 1,228,425 ------------ INDUSTRIAL CONGLOMERATES (1.7%) McDermott International, Inc. * 59,000 1,387,090 ------------ IT SERVICES (1.5%) Cognizant Technology Solutions Corp., Class A * 22,500 1,227,600 ------------ LIFE SCIENCES TOOLS & SERVICES (1.5%) Waters Corp. * 18,750 1,203,000 ------------ MACHINERY (5.3%) CNH Global NV * 34,500 1,061,910 Cummins, Inc. 16,750 1,333,468 Flowserve Corp. 9,250 917,230 Parker Hannifin Corp. 16,250 1,009,450 ------------ 4,322,058 ------------ MEDIA (1.2%) Scripps Networks Interactive, Inc., Class A 23,000 980,490 ------------ METALS & MINING (1.2%) Titanium Metals Corp. * 45,500 1,007,370 ------------ MULTILINE RETAIL (1.7%) Dollar Tree, Inc. * 31,500 1,396,080 ------------ NETWORKING PRODUCTS (0.9%) Acme Packet, Inc. * 27,500 777,150 ------------ OIL & GAS (1.0%) Peabody Energy Corp. 18,250 823,988 ------------ OIL FIELD MACHINERY & EQUIPMENT (1.7%) Dresser-Rand Group, Inc. * 38,250 1,423,282 ------------
Continued 53 MID CAP GROWTH SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
Shares Value ---------- ------------ COMMON STOCKS, CONTINUED OIL GAS & CONSUMABLE FUELS (1.0%) Pioneer Natural Resources Co. 13,750 $ 796,400 ------------ PERSONAL PRODUCTS (1.2%) Estee Lauder Cos., Inc. (The), Class A (a) 16,250 1,011,562 ------------ PHARMACEUTICALS (1.6%) Mead Johnson Nutrition Co. 24,500 1,301,930 ------------ REAL ESTATE INVESTMENT TRUSTS (1.8%) Digital Realty Trust, Inc. (a) 23,500 1,485,670 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT (1.3%) Jones Lang LaSalle, Inc. 13,500 1,045,710 ------------ ROAD & RAIL (3.1%) JB Hunt Transport Services, Inc. 29,500 1,046,955 Kansas City Southern * 40,000 1,468,000 ------------ 2,514,955 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (3.9%) Broadcom Corp., Class A 33,500 1,207,005 Lam Research Corp. * 28,500 1,202,415 Netlogic Microsystems, Inc. * 25,500 753,780 ------------ 3,163,200 ------------ SOFTWARE (9.1%) Citrix Systems, Inc. * 18,750 1,031,625 Informatica Corp. * (a) 40,000 1,205,200 Intuit, Inc. * 57,000 2,265,750 Nuance Communications, Inc. * 63,750 1,052,512 Salesforce.com, Inc. * (a) 19,250 1,904,788 ------------ 7,459,875 ------------ SPECIALTY RETAIL (6.0%) AnnTaylor Stores Corp. * (a) 46,000 806,840 Dick's Sporting Goods, Inc. * 46,500 1,223,415 Limited Brands, Inc. 50,000 1,282,000 O'Reilly Automotive, Inc. * 33,500 1,650,880 ------------ 4,963,135 ------------ TRADING COMPANIES & DISTRIBUTORS (2.4%) Beacon Roofing Supply, Inc. * 43,000 733,580 Fastenal Co. (a) 25,500 1,251,540 ------------ 1,985,120 ------------ WIRELESS EQUIPMENT (1.4%) Aruba Networks, Inc. * (a) 65,500 1,112,190 ------------ TOTAL COMMON STOCKS 81,187,810 ------------ INVESTMENT COMPANIES (18.7%) State Street Navigator Securities Lending Portfolio (c) 15,393,827 15,393,827 ------------ TOTAL INVESTMENT COMPANIES 15,393,827 ------------ INVESTMENTS IN AFFILIATES (0.0%) Fifth Third Institutional Money Market Fund (b) 124 124 ------------ TOTAL INVESTMENTS IN AFFILIATES 124 ------------ TOTAL INVESTMENTS (COST $88,159,525) - 117.6% 96,581,761 LIABILITIES IN EXCESS OF OTHER ASSETS - (17.6)% (14,484,346) ------------ NET ASSETS - 100.0% $ 82,097,415 ============
NOTES TO SCHEDULE OF INVESTMENTS * Non-income producing security. (a) All or part of this security was on loan. (b) Investment is in Institutional Shares of underlying fund. (c) Represents investments of cash collateral received in connection with securities lending. See notes to schedules of investments and notes to financial statements. 54 QUALITY GROWTH SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
Shares Value -------- ------------ COMMON STOCKS (96.6%) AEROSPACE & DEFENSE (1.8%) Goodrich Corp. 73,000 $ 5,319,510 ------------ AUTO COMPONENTS (4.4%) BorgWarner, Inc. * (c) 115,000 5,043,900 Johnson Controls, Inc. 170,000 4,897,700 Wabco Holding, Inc. * 80,000 3,094,400 ------------ 13,036,000 ------------ BEVERAGES (1.7%) Dr. Pepper Snapple Group, Inc. 130,000 4,881,500 ------------ BIOTECHNOLOGY (2.8%) Alexion Pharmaceuticals, Inc. * 95,000 5,164,200 Celgene Corp. * 56,000 3,088,400 ------------ 8,252,600 ------------ CAPITAL MARKETS (1.4%) Ameriprise Financial, Inc. 100,000 4,239,000 ------------ CHEMICALS (0.8%) Monsanto Co. 40,000 2,313,600 ------------ COMMERCIAL SERVICES & SUPPLIES (1.4%) Stericycle, Inc. * (c) 64,500 4,063,500 ------------ COMMERCIAL SERVICES-FINANCE (1.0%) Visa, Inc., Class A 40,000 2,934,000 ------------ COMMUNICATIONS EQUIPMENT (3.1%) Cisco Systems, Inc. * 400,000 9,228,000 ------------ COMPUTERS & PERIPHERALS (8.0%) Apple, Inc. * 49,000 12,605,250 EMC Corp. * 211,000 4,175,690 International Business Machines Corp. 51,500 6,612,600 ------------ 23,393,540 ------------ CONSUMER FINANCE (1.8%) American Express Co. 119,000 5,312,160 ------------ DIVERSIFIED FINANCIAL SERVICES (1.2%) JPMorgan Chase & Co. 90,000 3,625,200 ------------ ELECTRONIC EQUIPMENT & INSTRUMENTS (1.3%) Agilent Technologies, Inc. * 140,000 3,910,200 ------------ ENERGY EQUIPMENT & SERVICES (1.2%) Halliburton Co. 120,000 3,585,600 ------------ FOOD PRODUCTS (3.8%) General Mills, Inc. 126,000 4,309,200 HJ Heinz Co. 93,000 4,136,640 Kellogg Co. 57,000 2,852,850 ------------ 11,298,690 ------------ HEALTHCARE EQUIPMENT & SUPPLIES (2.3%) Covidien PLC 70,000 2,612,400 Hospira, Inc. * 80,000 4,168,000 ------------ 6,780,400 ------------ HEALTHCARE PROVIDERS & SERVICES (3.6%) Express Scripts, Inc. * 100,000 4,518,000 McKesson Corp. 50,000 3,141,000 UnitedHealth Group, Inc. 96,000 2,923,200 ------------ 10,582,200 ------------ HOTELS RESTAURANTS & LEISURE (3.2%) McDonald's Corp. 90,000 6,275,700 Starbucks Corp. 120,000 2,982,000 ------------ 9,257,700 ------------ HOUSEHOLD PRODUCTS (2.7%) Colgate-Palmolive Co. 37,000 2,922,260 Procter & Gamble Co. (The) 80,000 4,892,800 ------------ 7,815,060 ------------ INFORMATION TECHNOLOGY (1.3%) Vmware, Inc., Class A * 50,000 3,876,500 ------------ INTERNET SOFTWARE & SERVICES (2.6%) Baidu, Inc. ADR * 39,000 3,174,990 Google, Inc., Class A * 9,250 4,484,862 ------------ 7,659,852 ------------ IT SERVICES (1.7%) Cognizant Technology Solutions Corp., Class A * 90,000 4,910,400 ------------ LIFE SCIENCES TOOLS & SERVICES (1.6%) Thermo Fisher Scientific, Inc. * 105,000 4,710,300 ------------ MACHINERY (7.5%) Cummins, Inc. 55,500 4,418,355 Danaher Corp. 130,000 4,993,300 Deere & Co. 76,000 5,067,680 Flowserve Corp. 35,000 3,470,600 Parker Hannifin Corp. 65,000 4,037,800 ------------ 21,987,735 ------------ MEDIA (3.2%) Time Warner, Inc. 150,000 4,719,000 Walt Disney Co. (The) 140,000 4,716,600 ------------ 9,435,600 ------------ METALS & MINING (1.1%) Titanium Metals Corp. * 144,000 3,188,160 ------------ MULTI-UTILITIES (1.0%) Wisconsin Energy Corp. 54,000 2,931,120 ------------ OIL & GAS (4.3%) EOG Resources, Inc. 40,000 3,900,000 Occidental Petroleum Corp. 63,000 4,909,590 Peabody Energy Corp. 83,000 3,747,450 ------------ 12,557,040 ------------ OIL COMPANY-EXPLORATION & PRODUCTION (0.9%) Petrohawk Energy Corp. * 170,000 2,680,900 ------------
Continued 55 QUALITY GROWTH SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
Shares Value ---------- ------------ COMMON STOCKS, CONTINUED PERSONAL PRODUCTS (3.2%) Alberto-Culver Co. 130,000 $ 3,805,100 Estee Lauder Cos., Inc. (The), Class A (c) 90,000 5,602,500 ------------ 9,407,600 ------------ ROAD & RAIL (3.1%) JB Hunt Transport Services, Inc. 109,000 3,868,410 Union Pacific Corp. 70,000 5,226,900 ------------ 9,095,310 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (5.5%) Altera Corp. 114,000 3,160,080 Broadcom Corp., Class A 140,000 5,044,200 Intel Corp. 390,000 8,034,000 ------------ 16,238,280 ------------ SOFTWARE (6.2%) Microsoft Corp. 300,000 7,743,000 Oracle Corp. 290,000 6,855,600 Salesforce.com, Inc. * (c) 38,000 3,760,100 ------------ 18,358,700 ------------ SPECIALTY RETAIL (2.5%) Home Depot, Inc. 100,000 2,851,000 O'Reilly Automotive, Inc. * 90,000 4,435,200 ------------ 7,286,200 ------------ TEXTILES APPAREL & LUXURY GOODS (1.6%) Nike, Inc., Class B 65,000 4,786,600 ------------ TRADING COMPANIES & DISTRIBUTORS (1.8%) Fastenal Co. (c) 110,000 5,398,800 ------------ TOTAL COMMON STOCKS 284,337,557 ------------ INVESTMENT COMPANIES (6.8%) State Street Navigator Securities Lending Portfolio (f) 20,050,161 20,050,161 ------------ TOTAL INVESTMENT COMPANIES 20,050,161 ------------ Principal Amount ---------- ASSET-BACKED SECURITIES (0.0%) MANUFACTURED HOUSING ABS OTHER (0.0%) Green Tree Financial Corp., Series 1995-4, Class M1, 7.60%, 6/15/25 (a) $ 83,565 84,776 ------------ OTHER ABS (0.0%) Aerco, Ltd., Series 2A, Class A3, 0.69%, 7/15/25 (a) (b) (e) 60,458 38,693 ------------ TOTAL ASSET-BACKED SECURITIES 123,469 ------------ CORPORATE BONDS (0.1%) COMMERCIAL BANKS-CENTRAL U.S. (0.1%) Bank One Capital III, 8.75%, 9/1/30 165,792 195,466 ------------ TOTAL CORPORATE BONDS 195,466 ------------ MORTGAGE-BACKED SECURITIES (0.3%) WL COLLATERAL CMO OTHER (0.2%) Indymac Index Mortgage Loan Trust, Series 2005-AR9, Class 1A1, 3.26%, 7/25/35 (a) 106,209 64,924 JP Morgan Mortgage Trust, Series 2005-A1, Class 2A1, 4.81%, 2/25/35 (a) 182,734 171,469 Morgan Stanley Mortgage Loan Trust, Series 2004-4, Class 3A, 5.00%, 8/25/19 399,017 405,612 ------------ 642,005 ------------ WL COLLATERAL CMO SEQUENTIAL (0.1%) Countrywide Alternative Loan Trust, Series 2005-J3, Class 3A1, 6.50%, 9/25/34 102,374 98,286 ------------ TOTAL MORTGAGE-BACKED SECURITIES 740,291 ------------ U.S. GOVERNMENT AGENCIES (0.3%) FANNIE MAE (0.2%) 5.50%, 4/25/37 267,388 280,931 6.00%, 8/25/33 (a) 241,788 251,994 ------------ 532,925 ------------ FREDDIE MAC (0.1%) 5.50%, 3/15/35 222,635 229,702 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (0.0%) 0.47%, 4/16/46, IO (a) (e) 3,032,025 76,976 ------------ TOTAL U.S. GOVERNMENT AGENCIES 839,603 ------------ Shares --------- INVESTMENTS IN AFFILIATES (1.4%) Fifth Third Institutional Money Market Fund (d) 4,189,191 4,189,191 ------------ TOTAL INVESTMENTS IN AFFILIATES 4,189,191 ------------ TOTAL INVESTMENTS (COST $273,591,636) - 105.5% 310,475,738 LIABILITIES IN EXCESS OF OTHER ASSETS - (5.5)% (16,231,978) ------------ NET ASSETS - 100.0% $294,243,760 ============
Continued 56 QUALITY GROWTH SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS * Non-income producing security. (a) Variable rate security. Rate presented represents rate in effect at July 31, 2010. (b) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund's advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. (c) All or part of this security was on loan. (d) Investment is in Institutional Shares of underlying fund. (e) Illiquid Securities. (f) Represents investments of cash collateral received in connection with securities lending. The following abbreviations are used in the Schedule of Investments: ABS - Asset-Backed Security ADR - American Depositary Receipt CMO - Collateralized Mortgage Obligation IO - Interest Only WL - Whole Loan See notes to schedules of investments and notes to financial statements. DIVIDEND GROWTH SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
Shares Value -------- ------------ COMMON STOCKS (98.7%) AEROSPACE & DEFENSE (2.3%) United Technologies Corp. 2,364 $ 168,080 ------------ AIR FREIGHT & LOGISTICS (1.8%) United Parcel Service, Inc., Class B 1,991 129,415 ------------ AUTO COMPONENTS (1.0%) Johnson Controls, Inc. 2,473 71,247 ------------ BEVERAGES (3.9%) Diageo PLC ADR 785 54,856 PepsiCo, Inc. (a) 3,585 232,702 ------------ 287,558 ------------ CAPITAL MARKETS (1.4%) Ameriprise Financial, Inc. (a) 2,383 101,015 ------------ CHEMICALS (4.0%) Air Products & Chemicals, Inc. 1,411 102,410 Ecolab, Inc. (a) 1,516 74,148 Praxair, Inc. (a) 1,306 113,387 ------------ 289,945 ------------ COMMERCIAL BANKS (2.9%) Cullen/Frost Bankers, Inc. (a) 1,466 80,938 US Bancorp 5,424 129,633 ------------ 210,571 ------------ COMMUNICATIONS EQUIPMENT (2.6%) Cisco Systems, Inc. * 8,287 191,181 ------------ COMPUTERS & PERIPHERALS (7.1%) Apple, Inc. * 1,174 302,012 International Business Machines Corp. (a) 1,713 219,949 ------------ 521,961 ------------ DIVERSIFIED FINANCIAL SERVICES (5.4%) Bank of America Corp. 8,769 123,117 CME Group, Inc. 330 92,004 JPMorgan Chase & Co. (a) 4,542 182,952 ------------ 398,073 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES (1.7%) AT&T, Inc. 4,877 126,509 ------------ ELECTRICAL COMPONENTS & EQUIPMENT (2.9%) Emerson Electric Co. (a) 2,761 136,780 Roper Industries, Inc. (a) 1,253 78,312 ------------ 215,092 ------------ ENERGY EQUIPMENT & SERVICES (1.9%) Schlumberger, Ltd. (a) 2,335 139,306 ------------ FOOD & STAPLES RETAILING (2.0%) Costco Wholesale Corp. (a) 1,237 70,150 Wal-Mart Stores, Inc. 1,427 73,048 ------------ 143,198 ------------
Continued 57 DIVIDEND GROWTH SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
Shares Value -------- ------------ FOOD PRODUCTS (1.8%) HJ Heinz Co. (a) 1,205 $ 53,599 JM Smucker Co. (The) (a) 1,333 81,886 ------------ 135,485 ------------ HEALTHCARE EQUIPMENT & SUPPLIES (1.1%) Medtronic, Inc. 2,108 77,933 ------------ HEALTHCARE PROVIDERS & SERVICES (2.9%) AmerisourceBergen Corp. 4,130 123,776 UnitedHealth Group, Inc. 2,982 90,802 ------------ 214,578 ------------ HOTELS RESTAURANTS & LEISURE (3.9%) Darden Restaurants, Inc. (a) 1,677 70,250 Marriott International, Inc., Class A (a) 2,330 79,010 McDonald's Corp. (a) 2,000 139,460 ------------ 288,720 ------------ HOUSEHOLD DURABLES (1.2%) Snap-On, Inc. 1,993 89,027 ------------ HOUSEHOLD PRODUCTS (4.3%) Clorox Co. (a) 1,556 100,953 Procter & Gamble Co. (The) 3,473 212,409 ------------ 313,362 ------------ INDUSTRIAL CONGLOMERATES (0.5%) General Electric Co. 2,256 36,367 ------------ INSURANCE (3.0%) MetLife, Inc. 5,154 216,777 ------------ MACHINERY (3.8%) Cummins, Inc. (a) 1,114 88,686 Illinois Tool Works, Inc. (a) 1,236 53,766 Joy Global, Inc. 1,321 78,428 Parker Hannifin Corp. 960 59,635 ------------ 280,515 ------------ MEDIA (1.5%) Walt Disney Co. (The) (a) 3,219 108,448 ------------ MULTILINE RETAIL (2.1%) Target Corp. 2,952 151,497 ------------ MULTI-UTILITIES (2.5%) Wisconsin Energy Corp. 3,346 181,621 ------------ OIL & GAS (8.6%) Apache Corp. (a) 1,718 164,206 Chevron Corp. 1,974 150,439 ConocoPhillips 1,335 73,719 Exxon Mobil Corp. 1,690 100,859 Occidental Petroleum Corp. 1,782 138,871 ------------ 628,094 ------------ PHARMACEUTICALS (6.5%) Abbott Laboratories 2,153 105,669 Johnson & Johnson 3,509 203,838 Novartis AG ADR (a) 2,061 100,453 Teva Pharmaceutical Industries, Ltd. ADR 1,410 68,879 ------------ 478,839 ------------ REAL ESTATE INVESTMENT TRUSTS (0.7%) HCP, Inc. (a) 1,450 51,432 ------------ ROAD & RAIL (0.9%) CSX Corp. (a) 1,218 64,213 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (4.4%) Analog Devices, Inc. (a) 2,232 66,313 Intel Corp. (a) 5,706 117,543 Xilinx, Inc. (a) 4,914 137,199 ------------ 321,055 ------------ SOFTWARE (2.5%) Microsoft Corp. 7,068 182,425 ------------ SPECIALTY RETAIL (1.2%) TJX Cos., Inc. 2,165 89,891 ------------ TEXTILES APPAREL & LUXURY GOODS (3.0%) Nike, Inc., Class B (a) 1,561 114,952 VF Corp. (a) 1,317 104,478 ------------ 219,430 ------------ TRADING COMPANIES & DISTRIBUTORS (1.4%) WW Grainger, Inc. (a) 943 105,625 ------------ TOTAL COMMON STOCKS 7,228,485 ------------ INVESTMENT COMPANIES (28.0%) State Street Navigator Securities Lending Portfolio (c) 2,045,694 2,045,694 ------------ TOTAL INVESTMENT COMPANIES 2,045,694 ------------ INVESTMENTS IN AFFILIATES (0.5%) Fifth Third Institutional Money Market Fund (b) 36,255 36,255 ------------ TOTAL INVESTMENTS IN AFFILIATES 36,255 ------------ TOTAL INVESTMENTS (COST $8,330,263) - 127.2% 9,310,434 LIABILITIES IN EXCESS OF OTHER ASSETS - (27.2)% (1,988,116) ------------ NET ASSETS - 100.0% $ 7,322,318 ============
NOTES TO SCHEDULE OF INVESTMENTS * Non-income producing security. (a) All or part of this security was on loan. (b) Investment is in Institutional Shares of underlying fund. (c) Represents investments of cash collateral received in connection with securities lending. The following abbreviation is used in the Schedule of Investments: ADR - American Depositary Receipt See notes to schedules of investments and notes to financial statements. 58 MICRO CAP VALUE SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
Shares Value -------- ------------ COMMON STOCKS (89.7%) AUTO COMPONENTS (0.9%) Motorcar Parts of America, Inc. * 47,222 $ 315,443 ------------ CAPITAL MARKETS (3.8%) Gladstone Capital Corp. 33,863 410,758 MVC Capital, Inc. 30,862 395,651 Sanders Morris Harris Group, Inc. 51,670 284,185 SWS Group, Inc. 35,521 309,743 ------------ 1,400,337 ------------ COMMERCIAL BANKS (8.2%) Center Bancorp, Inc. 35,413 259,931 Center Financial Corp. * 88,349 456,764 Independent Bank Corp. 16,227 386,365 MainSource Financial Group, Inc. 20,158 151,991 Northrim BanCorp, Inc. 15,236 268,154 Pacific Continental Corp. 16,955 154,969 Renasant Corp. 24,282 370,301 Simmons First National Corp., Class A 11,918 314,039 Sterling Bancorp 28,399 277,174 Washington Trust Bancorp, Inc. 19,083 369,447 ------------ 3,009,135 ------------ COMMERCIAL SERVICES & SUPPLIES (4.3%) Barrett Business Services, Inc. 38,005 568,555 CBIZ, Inc. * 55,451 365,422 Schawk, Inc. 26,009 385,713 SFN Group, Inc. * 32,700 244,923 ------------ 1,564,613 ------------ COMMUNICATIONS EQUIPMENT (1.4%) EXFO, Inc. * 44,100 259,308 Neutral Tandem, Inc. * 25,300 270,710 ------------ 530,018 ------------ DISTRIBUTORS (1.1%) Audiovox Corp., Class A * 56,110 418,019 ------------ DIVERSIFIED CONSUMER SERVICES (1.0%) Stewart Enterprises, Inc., Class A 66,900 359,253 ------------ DIVERSIFIED FINANCIAL SERVICES (0.7%) NGP Capital Resources Co. 35,830 272,308 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES (0.8%) Premiere Global Services, Inc. * 45,419 284,323 ------------ ELECTRIC-INTEGRATED (0.9%) Pike Electric Corp. * 33,196 311,710 ------------ ELECTRONIC EQUIPMENT & INSTRUMENTS (4.7%) CTS Corp. 33,033 308,859 Electro Scientific Industries, Inc. * 22,369 256,796 MTS Systems Corp. 9,686 280,216 OSI Systems, Inc. * 8,144 226,322 PAR Technology Corp. * 45,895 274,452 TTM Technologies, Inc. * 37,913 388,608 ------------ 1,735,253 ------------ ENERGY EQUIPMENT & SERVICES (1.8%) ION Geophysical Corp. * 82,900 363,931 Mitcham Industries, Inc. * 42,177 310,001 ------------ 673,932 ------------ FOOD & STAPLES RETAILING (1.4%) Nash Finch Co. 12,834 504,633 ------------ FOOD PRODUCTS (2.2%) Inventure Foods, Inc. * 105,518 336,602 Overhill Farms, Inc. * 92,840 482,768 ------------ 819,370 ------------ GAS-DISTRIBUTION (0.9%) Chesapeake Utilities Corp. 9,601 319,137 ------------ HEALTHCARE EQUIPMENT & SUPPLIES (3.5%) Angiodynamics, Inc. * 20,241 311,914 Greatbatch, Inc. * 11,856 267,709 Kensey Nash Corp. * 11,990 281,765 Medical Action Industries, Inc. * 31,729 434,687 ------------ 1,296,075 ------------ HEALTHCARE PROVIDERS & SERVICES (2.1%) American Dental Partners, Inc. * 23,323 267,282 Cross Country Healthcare, Inc. * 28,097 249,501 Res-Care, Inc. * 24,112 236,780 ------------ 753,563 ------------ HEALTHCARE TECHNOLOGY (1.0%) Omnicell, Inc. * 28,555 351,798 ------------ HOTELS RESTAURANTS & LEISURE (2.2%) Benihana, Inc., Class A * 80,140 501,677 Frisch's Restaurants, Inc. 16,291 320,118 ------------ 821,795 ------------ HOUSEHOLD PRODUCTS (1.3%) Inter Parfums, Inc. 12,353 215,560 Prestige Brands Holdings, Inc. * 33,499 275,362 ------------ 490,922 ------------ INSURANCE (4.0%) American Equity Investment Life Holding Co. 26,839 289,861 Amerisafe, Inc. * 15,080 270,837 Meadowbrook Insurance Group, Inc. 67,283 616,312 SeaBright Holdings, Inc. 37,608 308,010 ------------ 1,485,020 ------------ INTERNET SOFTWARE & SERVICES (1.7%) Infospace, Inc. * 34,376 269,164 Perficient, Inc. * 40,260 348,249 ------------ 617,413 ------------ IT SERVICES (1.3%) Ciber, Inc. * 65,472 218,022 Ness Technologies, Inc. * 57,425 256,690 ------------ 474,712 ------------
Continued 59 MICRO CAP VALUE SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
Shares Value --------- ------------ COMMON STOCKS, CONTINUED LIFE SCIENCES TOOLS & SERVICES (0.8%) Medtox Scientific, Inc. * 26,537 $ 304,379 ------------ MACHINERY (3.4%) EnPro Industries, Inc. * 11,900 356,405 Federal Signal Corp. 55,447 330,464 Flow International Corp. * 97,352 264,798 Greenbrier Cos., Inc. * 21,818 284,943 ------------ 1,236,610 ------------ MEDIA (0.8%) Dolan Co. (The) * 24,153 282,349 ------------ OIL & GAS (1.6%) Gulfport Energy Corp. * 45,507 594,321 ------------ OIL-FIELD SERVICES (1.1%) North American Energy Partners, Inc. * 40,406 390,322 ------------ PAPER & FOREST PRODUCTS (1.2%) Glatfelter 37,292 426,248 ------------ REAL ESTATE INVESTMENT TRUSTS (4.6%) Cedar Shopping Centers, Inc. 46,314 287,147 Hersha Hospitality Trust 88,981 452,023 MHI Hospitality Corp. * 105,382 242,379 Monmouth Real Estate Investment Corp., Class A 61,406 483,265 U-Store-It Trust 27,660 223,216 ------------ 1,688,030 ------------ RETAIL-APPAREL & SHOES (0.7%) Kenneth Cole Productions, Inc., Class A * 18,465 247,985 ------------ RETAIL-CONVENIENCE STORE (1.2%) Susser Holdings Corp. * 38,021 456,632 ------------ RETAIL-DISCOUNT (0.6%) Fred's, Inc., Class A 21,794 236,247 ------------ ROAD & RAIL (5.1%) Celadon Group, Inc. * 43,720 683,781 Marten Transport, Ltd. * 15,120 343,526 Saia, Inc. * 27,193 410,614 USA Truck, Inc. * 25,527 418,388 ------------ 1,856,309 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (6.1%) AXT, Inc. * 82,800 487,692 IXYS Corp. * 44,849 396,017 Pericom Semiconductor Corp. * 39,612 362,054 Photronics, Inc. * 56,505 255,402 Rudolph Technologies, Inc. * 41,544 358,940 Ultratech, Inc. * 19,947 360,442 ------------ 2,220,547 ------------ SOFTWARE (1.4%) American Software, Inc., Class A 53,579 268,967 Versant Corp. * 21,844 240,939 ------------ 509,906 ------------ SPECIALTY RETAIL (2.8%) Cache, Inc. * 53,933 278,294 Casual Male Retail Group, Inc. * 90,810 314,203 Stage Stores, Inc. * 16,300 179,300 Stein Mart, Inc. * 32,943 254,320 ------------ 1,026,117 ------------ TELECOM SERVICES (0.6%) USA Mobility, Inc. 15,805 234,388 ------------ THRIFTS & MORTGAGE FINANCE (3.8%) Berkshire Hills Bancorp, Inc. 22,995 464,269 BofI Holding, Inc. * 32,750 511,555 WSFS Financial Corp. 11,462 435,556 ------------ 1,411,380 ------------ TRADING COMPANIES & DISTRIBUTORS (2.2%) Aceto Corp. 63,098 430,328 DXP Enterprises, Inc. * 18,518 380,175 ------------ 810,503 ------------ TRANSPORTATION-SERVICES (0.5%) Vitran Corp., Inc. * 16,850 185,350 ------------ TOTAL COMMON STOCKS 32,926,405 ------------ INVESTMENTS IN AFFILIATES (9.9%) Fifth Third Institutional Money Market Fund (a) 3,635,520 3,635,520 ------------ TOTAL INVESTMENTS IN AFFILIATES 3,635,520 ------------ TOTAL INVESTMENTS (COST $32,941,697) - 99.6% 36,561,925 OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4% 156,205 ------------ NET ASSETS - 100.0% $ 36,718,130 ============
NOTES TO SCHEDULE OF INVESTMENTS * Non-income producing security. (a) Investment is in Institutional Shares of underlying fund. See notes to schedules of investments and notes to financial statements. 60 SMALL CAP VALUE SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
Shares Value -------- ------------ COMMON STOCKS (95.9%) AEROSPACE & DEFENSE (4.2%) AAR Corp. * 51,484 $ 864,931 Curtiss-Wright Corp. 31,633 958,164 Orbital Sciences Corp. * 56,639 829,195 ------------ 2,652,290 ------------ AUTO COMPONENTS (1.8%) ATC Technology Corp. * 47,350 1,135,453 ------------ CAPITAL MARKETS (1.2%) SWS Group, Inc. 88,525 771,938 ------------ CHEMICALS (4.0%) Innophos Holdings, Inc. 47,087 1,380,120 Olin Corp. 56,158 1,140,007 ------------ 2,520,127 ------------ COMMERCIAL BANKS (11.3%) Community Bank System, Inc. 33,315 824,546 First Horizon National Corp. * 75,581 866,914 Glacier Bancorp, Inc. 65,322 1,043,846 Old National Bancorp 80,241 844,135 Renasant Corp. 60,220 918,355 TCF Financial Corp. 57,805 915,631 UMB Financial Corp. 24,300 914,166 United Bankshares, Inc. 31,654 808,127 ------------ 7,135,720 ------------ COMMERCIAL SERVICES (1.5%) Navigant Consulting, Inc. * 94,733 932,173 ------------ COMMUNICATIONS EQUIPMENT (2.5%) Comtech Telecommunications Corp. * 29,620 638,903 Harmonic, Inc. * 133,235 928,648 ------------ 1,567,551 ------------ DIVERSIFIED CONSUMER SERVICES (2.7%) Regis Corp. 52,444 798,722 Stewart Enterprises, Inc., Class A 167,337 898,600 ------------ 1,697,322 ------------ ELECTRIC UTILITIES (4.6%) Cleco Corp. 35,607 1,016,580 Black Hills Corp. 37,415 1,194,287 RRI Energy, Inc. * 174,868 690,729 ------------ 2,901,596 ------------ ELECTRICAL COMPONENTS & EQUIPMENT (1.5%) EnerSys * 39,976 968,219 ------------ ELECTRIC-INTEGRATED (1.6%) Pike Electric Corp. * 105,450 990,175 ------------ ELECTRONIC EQUIPMENT & INSTRUMENTS (1.2%) MTS Systems Corp. 26,745 773,733 ------------ ENERGY EQUIPMENT & SERVICES (2.8%) Helix Energy Solutions Group, Inc. * 83,217 781,407 Oil States International, Inc. * 21,722 997,909 ------------ 1,779,316 ------------ FOOD & STAPLES RETAILING (1.2%) Nash Finch Co. 19,704 774,761 ------------ FOOD PRODUCTS (2.8%) Corn Products International, Inc. 22,527 751,050 Fresh Del Monte Produce, Inc. * 48,677 1,014,429 ------------ 1,765,479 ------------ FOOD-RETAIL (1.3%) Winn-Dixie Stores, Inc. * 86,424 847,819 ------------ GAS-DISTRIBUTION (1.4%) Southern Union Co. 39,215 885,082 ------------ HEALTHCARE EQUIPMENT & SUPPLIES (2.6%) Conmed Corp. * 39,481 759,220 Wright Medical Group, Inc. * 55,609 868,056 ------------ 1,627,276 ------------ HOTELS RESTAURANTS & LEISURE (1.3%) Bob Evans Farms, Inc. 32,501 852,176 ------------ HOUSEHOLD PRODUCTS (1.4%) Prestige Brands Holdings, Inc. * 110,758 910,431 ------------ INSURANCE (6.1%) Endurance Specialty Holdings, Ltd. 30,020 1,158,472 Meadowbrook Insurance Group, Inc. 127,405 1,167,030 Platinum Underwriters Holdings, Ltd. 21,734 849,365 SeaBright Holdings, Inc. 80,014 655,314 ------------ 3,830,181 ------------ INTERNET SOFTWARE & SERVICES (3.1%) Earthlink, Inc. 112,202 990,744 United Online, Inc. 148,360 937,635 ------------ 1,928,379 ------------ LEISURE (1.4%) International Speedway Corp., Class A 34,423 891,556 ------------ MACHINERY (2.6%) Albany International Corp., Class A 51,216 939,814 Federal Signal Corp. 116,600 694,936 ------------ 1,634,750 ------------ MACHINERY-ELECTRICAL (1.3%) Baldor Electric Co. 21,059 804,875 ------------ METALS & MINING (3.0%) Coeur d'Alene Mines Corp. * 62,692 954,799 Schnitzer Steel Industries, Inc., Class A 20,030 917,775 ------------ 1,872,574 ------------ MULTI-UTILITIES (1.4%) Vectren Corp. 36,546 905,244 ------------ OIL & GAS (3.9%) Holly Corp. 34,555 923,655 Penn Virginia Corp. 41,813 794,447 Tsakos Energy Navigation, Ltd. 51,527 761,569 ------------ 2,479,671 ------------
Continued 61 SMALL CAP VALUE SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
Shares Value --------- ------------ COMMON STOCKS, CONTINUED OIL-FIELD SERVICES (1.0%) North American Energy Partners, Inc. * 67,925 $ 656,155 ------------ PAPER & FOREST PRODUCTS (1.4%) Glatfelter 76,237 871,389 ------------ REAL ESTATE INVESTMENT TRUSTS (7.5%) Brandywine Realty Trust 83,078 943,766 Entertainment Properties Trust 25,090 1,047,257 First Potomac Realty Trust 57,350 888,925 LaSalle Hotel Properties 41,735 989,954 U-Store-It Trust 112,107 904,704 ------------ 4,774,606 ------------ RETAIL-DISCOUNT (1.6%) Fred's, Inc., Class A 92,083 998,180 ------------ ROAD & RAIL (2.0%) RailAmerica, Inc. * 35,120 390,183 Werner Enterprises, Inc. 36,984 851,741 ------------ 1,241,924 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (1.2%) Cabot Microelectronics Corp. * 23,042 753,243 ------------ SOFTWARE (1.0%) THQ, Inc. * 138,634 632,171 ------------ SPECIALTY RETAIL (1.2%) Jo-Ann Stores, Inc. * 18,327 767,718 ------------ THRIFTS & MORTGAGE FINANCE (1.4%) NewAlliance Bancshares, Inc. 74,439 905,923 ------------ TRANSPORTATION-MARINE (1.3%) Alexander & Baldwin, Inc. 23,827 799,396 ------------ WIRELESS TELECOMMUNICATION SERVICES (0.6%) MetroPCS Communications, Inc. * 43,329 387,795 ------------ TOTAL COMMON STOCKS 60,624,367 ------------ INVESTMENTS IN AFFILIATES (4.0%) Fifth Third Institutional Money Market Fund (a) 2,550,317 2,550,317 ------------ TOTAL INVESTMENTS IN AFFILIATES 2,550,317 ------------ TOTAL INVESTMENTS (COST $58,669,940) - 99.9% 63,174,684 OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% 47,674 ------------ NET ASSETS - 100.0% $ 63,222,358 ============
NOTES TO SCHEDULE OF INVESTMENTS * Non-income producing security. (a) Investment is in Institutional Shares of underlying fund. At July 31, 2010, Small Cap Value's investments were in the following countries:
COUNTRY ------------------------------------------ Bermuda 4.4% Canada 1.0% Cayman Islands 1.6% United States 93.0% ------ TOTAL 100.0% ======
See notes to schedules of investments and notes to financial statements. 62 ALL CAP VALUE SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- COMMON STOCKS (96.7%) AEROSPACE & DEFENSE (2.5%) AAR Corp. * 64,274 $ 1,079,803 General Dynamics Corp. 8,925 546,656 United Technologies Corp. 23,603 1,678,173 ------------- 3,304,632 ------------- BIOTECHNOLOGY (1.8%) Amgen, Inc. * 43,385 2,365,784 ------------- CAPITAL MARKETS (2.9%) Ameriprise Financial, Inc. 50,461 2,139,042 Legg Mason, Inc. 58,273 1,683,507 ------------- 3,822,549 ------------- CHEMICALS (2.2%) Dow Chemical Co. (The) 105,881 2,893,728 ------------- COMMERCIAL BANKS (5.7%) Keycorp 201,709 1,706,458 Marshall & Ilsley Corp. 112,974 794,207 Old National Bancorp (a) 60,691 638,469 United Bankshares, Inc. (a) 12,099 308,888 US Bancorp 48,196 1,151,884 Wells Fargo & Co. 103,339 2,865,591 ------------- 7,465,497 ------------- COMMERCIAL SERVICES & SUPPLIES (1.5%) Manpower, Inc. 20,045 961,759 Pitney Bowes, Inc. (a) 42,841 1,045,749 ------------- 2,007,508 ------------- COMMUNICATIONS EQUIPMENT (1.2%) Neutral Tandem, Inc. * 79,090 846,263 Symmetricom, Inc. * 142,803 761,140 ------------- 1,607,403 ------------- COMPUTERS & PERIPHERALS (1.1%) Hewlett-Packard Co. 30,346 1,397,130 ------------- CONSUMER FINANCE (1.3%) Discover Financial Services 107,553 1,642,334 ------------- DIVERSIFIED FINANCIAL SERVICES (5.8%) Bank of America Corp. 158,868 2,230,507 JPMorgan Chase & Co. 91,394 3,681,350 NYSE Euronext 54,514 1,579,271 ------------- 7,491,128 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES (5.2%) AT&T, Inc. 39,706 1,029,974 CenturyLink, Inc. (a) 32,488 1,157,222 Frontier Communications Corp. 18,210 139,124 Qwest Communications International, Inc. 406,536 2,300,994 Verizon Communications, Inc. 75,864 2,204,608 ------------- 6,831,922 ------------- ELECTRIC UTILITIES (3.4%) Edison International 26,776 887,624 FirstEnergy Corp. (a) 46,076 1,737,065 NextEra Energy, Inc. (a) 17,850 933,555 Pepco Holdings, Inc. 49,981 845,179 ------------- 4,403,423 ------------- ELECTRONIC COMPONENTS-MISCELLANEOUS (0.0%) Vishay Precision Group, Inc. * 3,825 48,386 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS (1.3%) Avnet, Inc. * 48,538 1,220,731 Vishay Intertechnology, Inc. * 53,551 454,648 ------------- 1,675,379 ------------- ENERGY EQUIPMENT & SERVICES (3.6%) Baker Hughes, Inc. 29,002 1,399,927 Nabors Industries, Ltd. * 77,992 1,435,833 National Oilwell Varco, Inc. 30,545 1,196,142 Tidewater, Inc. (a) 15,138 620,355 ------------- 4,652,257 ------------- FOOD & STAPLES RETAILING (1.1%) SUPERVALU, Inc. 128,516 1,449,660 ------------- FOOD PRODUCTS (1.5%) Kraft Foods, Inc., Class A 67,425 1,969,484 ------------- HEALTHCARE EQUIPMENT & SUPPLIES (1.1%) Hologic, Inc. * 98,177 1,388,223 ------------- HEALTHCARE PROVIDERS & SERVICES (3.0%) Omnicare, Inc. (a) 51,799 1,275,809 UnitedHealth Group, Inc. 87,795 2,673,358 ------------- 3,949,167 ------------- HOUSEHOLD DURABLES (0.6%) Snap-On, Inc. 16,065 717,624 ------------- HOUSEHOLD PRODUCTS (1.4%) Energizer Holdings, Inc. * 29,963 1,843,324 ------------- INDUSTRIAL CONGLOMERATES (5.4%) General Electric Co. 320,794 5,171,199 Tyco International, Ltd. 47,471 1,817,190 ------------- 6,988,389 ------------- INSURANCE (6.8%) Allstate Corp. (The) 76,324 2,155,390 Hartford Financial Services Group, Inc. 35,701 835,760 Meadowbrook Insurance Group, Inc. 136,792 1,253,015 MetLife, Inc. 29,259 1,230,634 Prudential Financial, Inc. 29,275 1,677,165 Reinsurance Group of America, Inc. 8,992 431,436 Travelers Cos., Inc. (The) 24,990 1,260,745 ------------- 8,844,145 ------------- LEISURE EQUIPMENT & PRODUCTS (0.6%) Mattel, Inc. 39,271 830,974 -------------
Continued 63 ALL CAP VALUE SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- COMMON STOCKS, CONTINUED MACHINERY (1.9%) Caterpillar, Inc. 10,167 $ 709,148 EnPro Industries, Inc. * (a) 15,241 456,468 Federal Signal Corp. (a) 102,110 608,576 Joy Global, Inc. 12,032 714,340 ------------- 2,488,532 ------------- MEDIA (2.9%) Time Warner, Inc. 66,805 2,101,685 Viacom, Inc., Class B 49,267 1,627,782 ------------- 3,729,467 ------------- METALS & MINING (2.5%) Alcoa, Inc. 88,937 993,426 Coeur d'Alene Mines Corp. * (a) 89,807 1,367,761 Schnitzer Steel Industries, Inc., Class A 19,812 907,786 ------------- 3,268,973 ------------- MULTI-UTILITIES (1.0%) PG&E Corp. 28,561 1,268,108 ------------- OFFICE ELECTRONICS (1.2%) Xerox Corp. 164,140 1,598,724 ------------- OIL & GAS (9.4%) Apache Corp. 29,323 2,802,692 Chevron Corp. 35,701 2,720,773 ConocoPhillips (a) 57,121 3,154,222 Exxon Mobil Corp. 30,703 1,832,355 Holly Corp. (a) 64,841 1,733,200 ------------- 12,243,242 ------------- PHARMACEUTICALS (6.4%) Forest Laboratories, Inc. * 101,346 2,812,352 Johnson & Johnson 37,781 2,194,698 Merck & Co., Inc. 84,489 2,911,491 Pfizer, Inc. 31,173 467,595 ------------- 8,386,136 ------------- REAL ESTATE INVESTMENT TRUSTS (1.2%) Health Care, Inc. 33,287 1,508,234 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (1.6%) Cabot Microelectronics Corp. * 24,276 793,582 Intel Corp. 64,758 1,334,015 ------------- 2,127,597 ------------- SOFTWARE (2.0%) Cadence Design Systems, Inc. * 107,102 745,430 Microsoft Corp. 49,162 1,268,871 THQ, Inc. * (a) 127,066 579,421 ------------- 2,593,722 ------------- SPECIALTY RETAIL (1.8%) American Eagle Outfitters, Inc. 89,355 1,099,960 Best Buy Co., Inc. 37,110 1,286,233 ------------- 2,386,193 ------------- TEXTILES APPAREL & LUXURY GOODS (1.1%) VF Corp. 17,850 1,416,040 ------------- THRIFTS & MORTGAGE FINANCE (1.4%) New York Community Bancorp, Inc. 107,102 1,848,580 ------------- TOBACCO (1.3%) Altria Group, Inc. 78,541 1,740,469 ------------- TOTAL COMMON STOCKS 126,194,067 ------------- INVESTMENT COMPANIES (9.7%) State Street Navigator Securities Lending Portfolio (c) 12,709,262 12,709,262 ------------- TOTAL INVESTMENT COMPANIES 12,709,262 ------------- INVESTMENTS IN AFFILIATES (3.6%) Fifth Third Institutional Money Market Fund (b) 4,657,177 4,657,177 ------------- TOTAL INVESTMENTS IN AFFILIATES 4,657,177 ------------- TOTAL INVESTMENTS (COST $139,604,346) - 110.0% 143,560,506 LIABILITIES IN EXCESS OF OTHER ASSETS - (10.0)% (13,072,898) ------------- NET ASSETS - 100.0% $ 130,487,608 =============
NOTES TO SCHEDULE OF INVESTMENTS * Non-income producing security. (a) All or part of this security was on loan. (b) Investment is in Institutional Shares of underlying fund. (c) Represents investments of cash collateral received in connection with securities lending. See notes to schedules of investments and notes to financial statements. 64 DISCIPLINED LARGE CAP VALUE SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- COMMON STOCKS (99.1%) AEROSPACE & DEFENSE (3.1%) General Dynamics Corp. 83,351 $ 5,105,249 Northrop Grumman Corp. 26,887 1,576,654 United Technologies Corp. 55,657 3,957,212 ------------- 10,639,115 ------------- BIOTECHNOLOGY (1.6%) Amgen, Inc. * 103,785 5,659,396 ------------- CAPITAL MARKETS (3.3%) Ameriprise Financial, Inc. 183,102 7,761,694 Morgan Stanley 129,328 3,490,562 ------------- 11,252,256 ------------- CHEMICALS (2.0%) Dow Chemical Co. (The) 251,127 6,863,301 ------------- COMMERCIAL BANKS (4.8%) US Bancorp 271,561 6,490,308 Wells Fargo & Co. 365,667 10,139,946 ------------- 16,630,254 ------------- COMMERCIAL SERVICES & SUPPLIES (0.7%) Pitney Bowes, Inc. (a) 93,299 2,277,429 ------------- COMPUTERS & PERIPHERALS (1.9%) Hewlett-Packard Co. 138,523 6,377,599 ------------- CONSUMER FINANCE (1.9%) Discover Financial Services 430,196 6,569,093 ------------- DIVERSIFIED FINANCIAL SERVICES (6.1%) Bank of America Corp. 477,249 6,700,576 JPMorgan Chase & Co. 309,741 12,476,368 NYSE Euronext 60,496 1,752,569 ------------- 20,929,513 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES (6.4%) CenturyLink, Inc. (a) 124,219 4,424,681 Frontier Communications Corp. 94,680 723,355 Qwest Communications International, Inc. (a) 965,253 5,463,332 Verizon Communications, Inc. 394,436 11,462,310 ------------- 22,073,678 ------------- ELECTRIC UTILITIES (2.5%) FirstEnergy Corp. (a) 142,503 5,372,363 NextEra Energy, Inc. (a) 61,572 3,220,216 ------------- 8,592,579 ------------- ENERGY EQUIPMENT & SERVICES (3.2%) Baker Hughes, Inc. (a) 89,266 4,308,870 National Oilwell Varco, Inc. 174,767 6,843,875 ------------- 11,152,745 ------------- FOOD & STAPLES RETAILING (0.7%) SUPERVALU, Inc. 223,164 2,517,290 ------------- FOOD PRODUCTS (2.5%) Kraft Foods, Inc., Class A 290,920 8,497,773 ------------- HEALTHCARE EQUIPMENT & SUPPLIES (1.1%) Stryker Corp. 80,662 3,756,429 ------------- HEALTHCARE PROVIDERS & SERVICES (3.0%) UnitedHealth Group, Inc. 333,532 10,156,049 ------------- HOTELS RESTAURANTS & LEISURE (0.7%) Darden Restaurants, Inc. 59,152 2,477,877 ------------- HOUSEHOLD PRODUCTS (1.8%) Energizer Holdings, Inc. * 101,634 6,252,524 ------------- INDUSTRIAL CONGLOMERATES (5.3%) General Electric Co. 758,759 12,231,195 Tyco International, Ltd. 155,946 5,969,613 ------------- 18,200,808 ------------- INSURANCE (7.5%) Allstate Corp. (The) 154,602 4,365,960 Prudential Financial, Inc. 146,536 8,395,047 Reinsurance Group of America, Inc. 81,468 3,908,835 Travelers Cos., Inc. (The) 181,022 9,132,560 ------------- 25,802,402 ------------- LEISURE EQUIPMENT & PRODUCTS (0.6%) Mattel, Inc. 104,860 2,218,838 ------------- MACHINERY (0.7%) Caterpillar, Inc. 33,609 2,344,228 ------------- MEDIA (3.9%) Time Warner, Inc. 238,759 7,511,358 Viacom, Inc., Class B 177,456 5,863,146 ------------- 13,374,504 ------------- METALS & MINING (0.9%) Alcoa, Inc. 280,703 3,135,453 ------------- MULTI-UTILITIES (2.5%) PG&E Corp. 196,277 8,714,699 ------------- OFFICE ELECTRONICS (2.1%) Xerox Corp. 748,004 7,285,559 ------------- OIL & GAS (10.6%) Apache Corp. 94,142 8,998,092 Chevron Corp. 153,257 11,679,716 ConocoPhillips 202,730 11,194,751 Occidental Petroleum Corp. 59,175 4,611,508 ------------- 36,484,067 ------------- PHARMACEUTICALS (7.5%) Forest Laboratories, Inc. * 401,696 11,147,064 Johnson & Johnson 114,271 6,638,002 Merck & Co., Inc. 229,169 7,897,164 ------------- 25,682,230 ------------- REAL ESTATE INVESTMENT TRUSTS (1.8%) Annaly Capital Management, Inc. 188,211 3,274,871 Health Care, Inc. 67,218 3,045,648 ------------- 6,320,519 -------------
Continued 65 DISCIPLINED LARGE CAP VALUE SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- COMMON STOCKS, CONTINUED SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (1.1%) Intel Corp. 177,456 $ 3,655,594 ------------- SOFTWARE (0.4%) Microsoft Corp. 57,808 1,492,024 ------------- SPECIALTY RETAIL (1.4%) Best Buy Co., Inc. 140,352 4,864,600 ------------- TEXTILES APPAREL & LUXURY GOODS (1.4%) VF Corp. 58,614 4,649,849 ------------- THRIFTS & MORTGAGE FINANCE (1.9%) New York Community Bancorp, Inc. 369,700 6,381,022 ------------- TOBACCO (2.2%) Altria Group, Inc. 346,039 7,668,224 ------------- TOTAL COMMON STOCKS 340,949,520 ------------- INVESTMENT COMPANIES (3.3%) State Street Navigator Securities Lending Portfolio (c) 11,535,237 11,535,237 ------------- TOTAL INVESTMENT COMPANIES 11,535,237 ------------- INVESTMENTS IN AFFILIATES (1.0%) Fifth Third Institutional Money Market Fund (b) 3,415,803 3,415,803 ------------- TOTAL INVESTMENTS IN AFFILIATES 3,415,803 ------------- TOTAL INVESTMENTS (COST $320,186,133) - 103.4% 355,900,560 LIABILITIES IN EXCESS OF OTHER ASSETS - (3.4)% (11,825,975) ------------- NET ASSETS - 100.0% $ 344,074,585 =============
NOTES TO SCHEDULE OF INVESTMENTS * Non-income producing security. (a) All or part of this security was on loan. (b) Investment is in Institutional Shares of underlying fund. (c) Represents investments of cash collateral received in connection with securities lending. See notes to schedules of investments and notes to financial statements. STRUCTURED LARGE CAP PLUS SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- COMMON STOCKS (125.4%) AEROSPACE & DEFENSE (4.8%) Honeywell International, Inc. 9,890 $ 423,885 Northrop Grumman Corp. (b) 18,357 1,076,454 Raytheon Co. (b) 19,910 921,236 United Technologies Corp. (b) 21,866 1,554,673 ------------- 3,976,248 ------------- AIR FREIGHT & LOGISTICS (0.0%) United Parcel Service, Inc., Class B (b) 261 16,965 ------------- AUTOMOBILES (0.1%) Ford Motor Co. * 8,122 103,718 ------------- BEVERAGES (2.9%) Coca-Cola Co. (The) (b) 23,713 1,306,823 Dr.Pepper Snapple Group, Inc. 28,769 1,080,276 ------------- 2,387,099 ------------- BIOTECHNOLOGY (3.2%) Amgen, Inc. * 10,307 562,041 Biogen Idec, Inc. * (b) 19,758 1,104,077 Cephalon, Inc. * (b) 17,396 987,223 ------------- 2,653,341 ------------- BUILDING PRODUCTS (0.0%) Masco Corp. (b) 2,958 30,408 ------------- CAPITAL MARKETS (2.7%) Ameriprise Financial, Inc. 27,514 1,166,319 Franklin Resources, Inc. (b) 4,437 446,273 Goldman Sachs Group, Inc. (The) (b) 4,209 634,801 ------------- 2,247,393 ------------- CHEMICALS (1.5%) Dow Chemical Co. (The) (b) 10,242 279,914 E.I. du Pont de Nemours & Co. (b) 11,652 473,887 Eastman Chemical Co. (b) 5,801 363,375 PPG Industries, Inc. (b) 1,792 124,490 ------------- 1,241,666 ------------- COMMERCIAL BANKS (2.6%) Berkshire Hathaway, Inc., Class B* 1,360 106,243 Comerica, Inc. (b) 22,111 848,178 US Bancorp 6,925 165,508 Wells Fargo & Co. (b) 37,922 1,051,577 ------------- 2,171,506 ------------- COMMERCIAL SERVICES & SUPPLIES (1.1%) RR Donnelley & Sons Co. (b) 50,944 859,425 ------------- COMMUNICATIONS EQUIPMENT (2.3%) Cisco Systems, Inc. * (b) 1,650 38,065 Harris Corp. (b) 22,418 998,274 JDS Uniphase Corp. * (b) 82,033 890,058 ------------- 1,926,397 ------------- COMPUTERS & PERIPHERALS (6.8%) Apple, Inc. * (b) 3,640 936,390 Dell, Inc. * (b) 86,053 1,139,342 Hewlett-Packard Co. 2,332 107,365
Continued 66 STRUCTURED LARGE CAP PLUS SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- COMMON STOCKS, CONTINUED COMPUTERS & PERIPHERALS, CONTINUED International Business Machines Corp. (b) 18,028 $ 2,314,795 Teradata Corp. * (b) 31,133 990,030 Western Digital Corp. * 4,657 122,898 ------------- 5,610,820 ------------- CONSUMER FINANCE (1.8%) American Express Co. 8,947 399,394 Capital One Financial Corp. (b) 25,032 1,059,605 ------------- 1,458,999 ------------- CONTAINERS & PACKAGING (0.5%) Ball Corp. (b) 4,698 273,612 Bemis Co., Inc. 2,415 72,353 Sealed Air Corp. 2,370 51,263 ------------- 397,228 ------------- DIVERSIFIED FINANCIAL SERVICES (3.5%) Bank of America Corp. (b) 136,203 1,912,290 JPMorgan Chase & Co. (b) 24,797 998,823 ------------- 2,911,113 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES (2.8%) AT&T, Inc. (b) 87,005 2,256,910 ------------- ELECTRIC UTILITIES (0.9%) Pinnacle West Capital Corp. 19,125 728,471 ------------- ELECTRICAL COMPONENTS & EQUIPMENT (2.0%) Emerson Electric Co. 27,427 1,358,734 Rockwell Automation, Inc. 5,057 273,836 ------------- 1,632,570 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS (1.1%) Jabil Circuit, Inc. (b) 61,009 885,241 ------------- ENERGY EQUIPMENT & SERVICES (2.0%) Halliburton Co. (b) 7,245 216,481 Nabors Industries, Ltd. * 18,537 341,266 National Oilwell Varco, Inc. 15,553 609,056 Rowan Cos., Inc. * (b) 19,248 486,204 ------------- 1,653,007 ------------- FOOD & STAPLES RETAILING (2.1%) SUPERVALU, Inc. 61,170 689,998 Walgreen Co. 4,209 120,167 Wal-Mart Stores, Inc. (b) 17,201 880,519 ------------- 1,690,684 ------------- FOOD PRODUCTS (2.8%) ConAgra Foods, Inc. 21,045 494,137 General Mills, Inc. (b) 31,580 1,080,036 HJ Heinz Co. (b) 17,188 764,522 ------------- 2,338,695 ------------- GAS-DISTRIBUTION (0.2%) Oneok, Inc. 4,043 188,121 ------------- HEALTHCARE EQUIPMENT & SUPPLIES (2.3%) Covidien PLC 18,174 678,254 Intuitive Surgical, Inc. * (b) 3,239 1,063,590 Medtronic, Inc. 4,559 168,546 ------------- 1,910,390 ------------- HEALTHCARE PROVIDERS & SERVICES (4.4%) Cardinal Health, Inc. (b) 31,529 1,017,441 Humana, Inc. * 5,296 249,018 UnitedHealth Group, Inc. (b) 41,193 1,254,327 WellPoint, Inc. * (b) 21,467 1,088,806 ------------- 3,609,592 ------------- HOTELS RESTAURANTS & LEISURE (1.2%) McDonald's Corp. 13,652 951,954 Wyndham Worldwide Corp. (b) 2,186 55,809 ------------- 1,007,763 ------------- HOUSEHOLD DURABLES (1.3%) Snap-On, Inc. 4,545 203,025 Whirlpool Corp. (b) 10,575 880,898 ------------- 1,083,923 ------------- HOUSEHOLD PRODUCTS (2.1%) Procter & Gamble Co. (The) (b) 28,242 1,727,281 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS (1.6%) Constellation Energy Group, Inc. 18,061 570,727 NRG Energy, Inc. * 31,129 706,006 ------------- 1,276,733 ------------- INDUSTRIAL CONGLOMERATES (4.6%) 3M Co. (b) 16,750 1,432,795 General Electric Co. (b) 142,987 2,304,950 ------------- 3,737,745 ------------- INSURANCE (4.6%) Arch Capital Group, Ltd. * 5,382 421,195 Assurant, Inc. 19,340 721,189 Genworth Financial, Inc., Class A * 36,483 495,439 Lincoln National Corp. (b) 14,951 389,324 MetLife, Inc. 7,157 301,024 Prudential Financial, Inc. 7,791 446,346 XL Group PLC 57,689 1,022,826 ------------- 3,797,343 ------------- INTERNET SOFTWARE & SERVICES (3.1%) Google, Inc., Class A * (b) 3,042 1,474,914 VeriSign, Inc. * 37,310 1,050,276 ------------- 2,525,190 ------------- IT SERVICES (1.1%) Computer Sciences Corp. (b) 20,055 909,093 ------------- LEISURE EQUIPMENT & PRODUCTS (1.0%) Eastman Kodak Co. * 47,619 189,047 Mattel, Inc. (b) 30,511 645,613 ------------- 834,660 -------------
Continued 67 STRUCTURED LARGE CAP PLUS SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- COMMON STOCKS, CONTINUED LIFE SCIENCES TOOLS & SERVICES (1.6%) PerkinElmer, Inc. (b) 28,106 $ 546,943 Thermo Fisher Scientific, Inc. * (b) 16,243 728,661 ------------- 1,275,604 ------------- MACHINERY (2.8%) Caterpillar, Inc. (b) 16,007 1,116,488 Eaton Corp. 15,202 1,192,749 ------------- 2,309,237 ------------- MEDIA (2.7%) Gannett Co., Inc. (b) 67,762 893,103 Time Warner, Inc. (b) 41,025 1,290,647 ------------- 2,183,750 ------------- METALS & MINING (0.3%) Reliance Steel & Aluminum Co. 1,839 72,236 Titanium Metals Corp. * 8,575 189,850 ------------- 262,086 ------------- MULTILINE RETAIL (1.8%) Big Lots, Inc. * 5,496 188,568 Sears Holdings Corp. * 926 65,746 Target Corp. 23,913 1,227,215 ------------- 1,481,529 ------------- MULTI-UTILITIES (2.8%) DTE Energy Co. 13,694 632,115 Integrys Energy Group, Inc. (b) 2,152 101,897 NiSource, Inc. (b) 29,670 489,555 PG&E Corp. 1,920 85,248 Public Service Enterprise Group, Inc. 29,579 973,149 ------------- 2,281,964 ------------- OIL & GAS (11.4%) Apache Corp. 9,708 927,891 Chevron Corp. (b) 24,029 1,831,250 ConocoPhillips (b) 30,849 1,703,482 EnCana Corp. 21,486 655,968 Exxon Mobil Corp. (b) 27,967 1,669,070 Marathon Oil Corp. (b) 20,406 682,581 Massey Energy Co. 5,460 166,967 Murphy Oil Corp. (b) 9,296 508,956 Tesoro Corp. (b) 50,364 650,199 Williams Cos., Inc. (The) 28,627 555,650 ------------- 9,352,014 ------------- OIL GAS & CONSUMABLE FUELS (1.1%) Pioneer Natural Resources Co. 15,951 923,882 ------------- PAPER & FOREST PRODUCTS (0.8%) International Paper Co. (b) 27,696 670,243 ------------- PERSONAL PRODUCTS (0.7%) Estee Lauder Cos., Inc. (The), Class A 8,849 550,850 ------------- PHARMACEUTICALS (5.6%) Bristol-Myers Squibb Co. (b) 52,157 1,299,752 Eli Lilly & Co. 1,153 41,047 Forest Laboratories, Inc. * (b) 37,894 1,051,559 Johnson & Johnson (b) 5,993 348,133 Mylan, Inc. * (b) 51,885 902,799 Perrigo Co. 16,553 927,134 ------------- 4,570,424 ------------- REAL ESTATE INVESTMENT TRUSTS (0.9%) Equity Residential 11,177 512,465 Host Hotels & Resorts, Inc. 16,923 242,676 ------------- 755,141 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (3.1%) Intel Corp. (b) 93,720 1,930,632 Linear Technology Corp. 9,181 292,690 Micron Technology, Inc. * 46,436 338,054 ------------- 2,561,376 ------------- SOFTWARE (6.7%) CA, Inc. (b) 47,119 921,648 Intuit, Inc. * 13,928 553,638 Microsoft Corp. (b) 97,125 2,506,796 Oracle Corp. 29,188 690,004 Symantec Corp. * (b) 63,960 829,561 ------------- 5,501,647 ------------- SPECIALTY RETAIL (4.4%) Abercrombie & Fitch Co., Class A 108 3,990 AutoZone, Inc. * 3,391 717,434 Gap, Inc. (The) (b) 45,994 832,951 Home Depot, Inc. 7,606 216,847 Limited Brands, Inc. (b) 40,741 1,044,599 Sherwin-Williams Co. (The) 4,256 294,302 TJX Cos., Inc. 12,895 535,401 ------------- 3,645,524 ------------- TOBACCO (2.7%) Altria Group, Inc. 22,469 497,913 Philip Morris International, Inc. (b) 32,977 1,683,146 ------------- 2,181,059 ------------- WIRELESS TELECOMMUNICATION SERVICES (1.0%) MetroPCS Communications, Inc. * 87,079 779,357 ------------- TOTAL COMMON STOCKS 103,071,425 ------------- INVESTMENTS IN AFFILIATES (2.6%) Fifth Third Institutional Money Market Fund(a) 2,113,332 2,113,332 ------------- TOTAL INVESTMENTS IN AFFILIATES 2,113,332 ------------- TOTAL INVESTMENTS (COST $97,709,348) - 128.0% 105,184,757 ------------- SECURITIES SOLD SHORT (PROCEEDS $25,630,295) - (28.4)% (23,296,036) OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4% 317,517 ------------- NET ASSETS - 100.0% $ 82,206,238 =============
See notes to schedules of investments notes to financial statements. 68 STRUCTURED LARGE CAP PLUS SCHEDULE OF SECURITIES SOLD SHORT JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- COMMON STOCKS (28.4)% AEROSPACE & DEFENSE (1.1)% Alliant Techsystems, Inc. * (13,928) $ (935,404) ------------- AGRICULTURAL OPERATIONS (1.1)% Bunge, Ltd. (18,737) (930,292) ------------- BEVERAGES (1.5)% Coca-Cola Enterprises, Inc. (27,389) (786,064) Constellation Brands, Inc., Class A * (20,364) (347,410) Green Mountain Coffee Roasters, Inc. * (2,034) (62,627) ------------- (1,196,101) ------------- CAPITAL MARKETS (1.5)% JAnus Capital Group, Inc. (72,806) (763,007) Northern Trust Corp. (1,792) (84,206) SCANA Corp. (9,541) (365,516) ------------- (1,212,729) ------------- CASINO HOTELS (0.3)% MGM Resorts International * (22,111) (240,125) ------------- COMMERCIAL SERVICES & SUPPLIES (1.8)% Dun & Bradstreet Corp. (2,108) (144,103) Iron Mountain, Inc. (37,274) (882,275) Monster Worldwide, Inc. * (32,676) (448,315) ------------- (1,474,693) ------------- COMPUTERS-INTEGRATED SYSTEMS (0.6)% Brocade Communications Systems, Inc. * (91,501) (452,930) ------------- DIVERSIFIED FINANCIAL SERVICES (0.3)% Leucadia National Corp. * (12,382) (273,518) ------------- DIVERSIFIED TELECOMMUNICATION SERVICES (0.2)% Windstream Corp. (12,880) (146,832) ------------- ENERGY-ALTERNATE SOURCES (1.1)% First Solar, Inc. * (7,221) (905,874) ------------- FINANCE-INVESTMENT BANKER/BROKER (0.1)% Jefferies Group, Inc. (4,979) (122,931) ------------- FOOD PRODUCTS (0.8)% Archer-Daniels-Midland Co. (25,616) (700,854) ------------- GAS-DISTRIBUTION (1.0)% EQT Corp. (21,396) (784,805) ------------- HEALTHCARE EQUIPMENT & SUPPLIES (1.6)% Boston Scientific Corp. * (122,483) (685,905) St. Jude Medical, Inc. * (17,722) (651,638) ------------- (1,337,543) ------------- HEALTHCARE PROVIDERS & SERVICES (1.4)% CIGNA Corp. (27,493) (845,685) Tenet Healthcare Corp. * (71,281) (327,892) ------------- (1,173,577) ------------- HEALTHCARE-SERVICES (0.3)% Covance, Inc. * (5,922) (229,537) ------------- HOUSEHOLD DURABLES (1.0)% DR Horton, Inc. (20,157) (222,130) Pulte Group, Inc. * (64,213) (563,790) ------------- (785,920) ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS (0.5)% AES Corp. (The) * (36,757) (378,965) ------------- INDUSTRIAL CONGLOMERATES (1.1)% Mcdermott International, Inc. * (38,305) (900,551) ------------- INSURANCE (0.1)% AON Corp. (2,220) (83,627) ------------- INTERNET & CATALOG RETAIL (0.1)% Priceline.com, Inc. * (373) (83,701) ------------- INTERNET SOFTWARE & SERVICES (0.4)% Yahoo!, Inc. * (22,398) (310,884) ------------- IT SERVICES (1.1)% Fidelity National Information Services, Inc. (32,288) (925,697) ------------- MACHINERY (0.1)% PACCAR, Inc. (2,320) (106,302) ------------- MEDICAL-BIOMEDICAL/GENETICS (1.1)% Vertex Pharmaceuticals, Inc. * (27,113) (912,624) ------------- MULTI-UTILITIES (1.3)% Centerpoint Energy, Inc. (69,117) (983,535) Consolidated Edison, Inc. (1,216) (56,082) ------------- (1,039,617) ------------- OFFICE ELECTRONICS (0.1)% Xerox Corp. (7,355) (71,638) ------------- OIL & GAS (1.1)% Denbury Resources, Inc. * (56,520) (895,277) ------------- OIL COMPANY-EXPLORATION & PRODUCTION (1.4)% EXCO Resources, Inc. (16,337) (237,050) Petrohawk Energy Corp. * (36,844) (581,030) Ultra Petroleum Corp. * (7,451) (315,699) ------------- (1,133,779) ------------- PHARMACEUTICALS (0.1)% Merck & Co., Inc. (2,173) (74,882) ------------- PIPELINES (0.0)% 100,000ths kinder Morgan Management LLC * 15,563 (9) ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (0.9)% MEMC Electronic Materials, Inc. * (80,951) (773,892) -------------
Continued 69 STRUCTURED LARGE CAP PLUS SCHEDULE OF SECURITIES SOLD SHORT, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- COMMON STOCKS, CONTINUED SOFTWARE (1.9)% Adobe Systems, Inc. * (26,523) $ (761,741) Electronic Arts, Inc. * (52,438) (835,337) ------------- (1,597,078) ------------- SPECIALTY RETAIL (1.2)% RadioShack Corp. (45,033) (970,011) ------------- WIRELESS TELECOMMUNICATION SERVICES (0.2)% Sprint Nextel Corp. * (29,286) (133,837) ------------- TOTAL COMMON STOCKS (23,296,036) ------------- TOTAL SECURITIES SOLD SHORT (PROCEEDS $25,630,295) - (28.4)% $ (23,296,036) =============
NOTES TO SCHEDULE OF INVESTMENTS * Non-income producing security. (a) Investment is in Institutional Shares of underlying fund. (b) All or part of this security has been designated as collateral for short sales. See notes to schedules of investments and notes to financial statements. EQUITY INDEX SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- COMMON STOCKS (96.3%) AEROSPACE & DEFENSE (2.7%) Boeing Co. (The) 20,155 $ 1,373,362 General Dynamics Corp. 10,183 623,709 Goodrich Corp. 3,304 240,762 Honeywell International, Inc. 20,183 865,043 L-3 Communications Holdings, Inc. 3,051 222,845 Lockheed Martin Corp. 8,193 615,704 Northrop Grumman Corp. 7,993 468,709 Precision Castparts Corp. 3,740 456,991 Raytheon Co. 10,007 463,024 Rockwell Collins, Inc. 4,150 237,214 United Technologies Corp. 24,720 1,757,592 ------------- 7,324,955 ------------- AIR FREIGHT & LOGISTICS (1.1%) CH Robinson Worldwide, Inc. 4,397 286,684 Expeditors International of Washington, Inc. 5,600 238,784 FedEx Corp. 8,261 681,946 United Parcel Service, Inc., Class B 26,210 1,703,650 ------------- 2,911,064 ------------- AIRLINES (0.1%) Southwest Airlines Co. 19,622 236,445 ------------- APPLICATION SOFTWARE (0.1%) Red Hat, Inc. * 4,982 160,171 ------------- AUTO COMPONENTS (0.2%) Goodyear Tire & Rubber Co. (The) * 6,394 68,224 Johnson Controls, Inc. 17,733 510,888 ------------- 579,112 ------------- AUTOMOBILES (0.5%) Ford Motor Co. *(a) 90,326 1,153,463 Harley-Davidson, Inc. 6,185 168,418 ------------- 1,321,881 ------------- BEVERAGES (2.6%) Brown-Forman Corp., Class B 2,869 181,350 Coca-Cola Co. (The) 61,058 3,364,906 Coca-Cola Enterprises, Inc. 8,436 242,113 Constellation Brands, Inc., Class A * 5,273 89,957 Dr.Pepper Snapple Group, Inc. 6,428 241,372 Molson Coors Brewing Co., Class B 4,182 188,232 PepsiCo, Inc. 42,569 2,763,154 ------------- 7,071,084 ------------- BIOTECHNOLOGY (1.4%) Amgen, Inc. * 25,407 1,385,444 Biogen Idec, Inc. * 7,117 397,698 Celgene Corp. * 12,136 669,300 Cephalon, Inc. * 1,978 112,252 Genzyme Corp. *(a) 7,025 488,659 Gilead Sciences, Inc. * 23,550 784,686 ------------- 3,838,039 ------------- BUILDING PRODUCTS (0.1%) Life Technologies Corp. * 4,774 205,234 Masco Corp. 9,471 97,362 ------------- 302,596 -------------
Continued 70 EQUITY INDEX SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- COMMON STOCKS, CONTINUED CABLE TV (0.2%) Time Warner Cable, Inc. 9,307 $ 532,081 ------------- CAPITAL MARKETS (2.5%) Ameriprise Financial, Inc. 6,745 285,921 Bank of New York Mellon Corp. (The) 32,303 809,836 Charles Schwab Corp. (The) 25,808 381,700 E*Trade Financial Corp. * 5,228 76,486 Federated Investors, Inc., Class B 2,338 49,612 Franklin Resources, Inc. 3,916 393,871 Goldman Sachs Group, Inc. (The) 13,613 2,053,113 Invesco, Ltd.(a) 12,135 237,118 Janus Capital Group, Inc. 4,849 50,817 Legg Mason, Inc. 4,292 123,996 Morgan Stanley 36,908 996,147 Northern Trust Corp. 6,380 299,796 SCANA Corp.(a) 2,943 112,746 State Street Corp. 13,363 520,088 T Rowe Price Group, Inc. 6,837 329,749 ------------- 6,720,996 ------------- CHEMICALS (1.9%) Air Products & Chemicals, Inc. 5,601 406,521 Airgas, Inc. 2,184 142,593 CF Industries Holdings, Inc. 1,830 148,578 Dow Chemical Co. (The) 30,769 840,917 E.I. du Pont de Nemours & Co. 23,860 970,386 Eastman Chemical Co. 1,919 120,206 Ecolab, Inc. 6,237 305,052 FMC Corp. 1,914 119,606 International Flavors & Fragrances, Inc. 2,087 94,708 Monsanto Co. 14,405 833,185 PPG Industries, Inc. 4,378 304,140 Praxair, Inc. 8,087 702,113 Sigma-Aldrich Corp. 3,215 180,361 ------------- 5,168,366 ------------- COAL (0.0%) Massey Energy Co. 2,681 81,985 ------------- COMMERCIAL BANKS (4.1%) BB&T Corp. 18,233 452,725 Berkshire Hathaway, Inc., Class B * 43,823 3,423,453 Comerica, Inc. (a) 4,594 176,226 First Horizon National Corp. * 6,022 69,068 Huntington Bancshares, Inc. 18,912 114,607 Keycorp 23,182 196,120 M&T Bank Corp. 2,193 191,536 Marshall & Ilsley Corp. 13,904 97,745 PNC Financial Services Group, Inc. 13,997 831,282 Regions Financial Corp. 31,485 230,785 SunTrust Banks, Inc. 13,182 342,073 US Bancorp 50,511 1,207,213 Wells Fargo & Co. 137,891 3,823,717 Zions Bancorporation 4,232 93,908 ------------- 11,250,458 ------------- COMMERCIAL SERVICES (0.0%) Quanta Services, Inc. * 5,545 119,107 ------------- COMMERCIAL SERVICES & SUPPLIES (0.5%) Avery Dennison Corp. 2,958 106,044 Cintas Corp. 3,471 91,843 Dun & Bradstreet Corp. 1,346 92,012 Equifax, Inc. 3,336 104,550 Iron Mountain, Inc. 4,784 113,237 Monster Worldwide, Inc. *(a) 3,316 45,496 Pitney Bowes, Inc. (a) 5,477 133,694 Republic Services, Inc. 8,549 272,371 Robert Half International, Inc. (a) 3,923 98,781 RR Donnelley & Sons Co. 5,424 91,503 Stericycle, Inc. *(a) 2,238 140,994 ------------- 1,290,525 ------------- COMMERCIAL SERVICES-FINANCE (0.5%) Mastercard, Inc., Class A 2,548 535,182 Visa, Inc., Class A 11,986 879,173 ------------- 1,414,355 ------------- COMMUNICATIONS EQUIPMENT (2.6%) Cisco Systems, Inc. * 151,151 3,487,054 Corning, Inc. 41,153 745,692 Harris Corp. 3,453 153,762 JDS Uniphase Corp. * 5,900 64,015 Juniper Networks, Inc. * 13,871 385,336 Motorola, Inc. * 61,058 457,325 Qualcomm, Inc. 43,384 1,652,063 Tellabs, Inc. 10,147 70,826 ------------- 7,016,073 ------------- COMPUTERS & PERIPHERALS (5.9%) Apple, Inc. * 24,064 6,190,464 Dell, Inc. * 45,455 601,824 EMC Corp. * 54,190 1,072,420 Hewlett-Packard Co. 61,787 2,844,674 International Business Machines Corp. 33,877 4,349,807 Lexmark International, Inc., Class A * 2,062 75,778 NetApp, Inc. * 9,098 384,845 QLogic Corp. * 3,007 47,871 SanDisk Corp. * 6,038 263,861 Teradata Corp. *(a) 4,401 139,952 Western Digital Corp. * 6,036 159,290 ------------- 16,130,786 ------------- CONSTRUCTION & ENGINEERING (0.1%) Fluor Corp. 4,720 227,929 Jacobs Engineering Group, Inc. * 3,289 120,279 ------------- 348,208 ------------- CONSTRUCTION MATERIALS (0.1%) Vulcan Materials Co. 3,335 150,875 ------------- CONSUMER FINANCE (0.8%) American Express Co. 31,847 1,421,650 Capital One Financial Corp. 12,019 508,764 Discover Financial Services 14,351 219,140 SLM Corp. * 12,801 153,612 ------------- 2,303,166 -------------
Continued 71 EQUITY INDEX SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- COMMON STOCKS, CONTINUED CONTAINERS & PACKAGING (0.2%) Ball Corp. 2,484 $ 144,668 Bemis Co., Inc. 2,878 86,225 Owens-Illinois, Inc. * 4,451 123,070 Pactiv Corp. * 3,494 106,287 Sealed Air Corp. 4,196 90,760 ------------- 551,010 ------------- DISTRIBUTORS (0.1%) Genuine Parts Co. 4,190 179,458 ------------- DIVERSIFIED CONSUMER SERVICES (0.1%) Apollo Group, Inc., Class A *(a) 3,394 156,565 DeVry, Inc. 1,634 87,909 H&R Block, Inc. 8,858 138,894 ------------- 383,368 ------------- DIVERSIFIED FINANCIAL SERVICES (4.2%) Bank of America Corp. (c) 265,513 3,727,802 Citigroup, Inc. * (c) 598,007 2,451,829 CME Group, Inc. 1,724 480,651 IntercontinentalExchange, Inc. * 1,943 205,220 JPMorgan Chase & Co. 105,242 4,239,148 Leucadia National Corp. * 5,010 110,671 Moody's Corp.(a) 5,191 122,248 NASDAQ OMX Group, Inc. (The) * 3,907 76,069 NYSE Euronext 6,890 199,603 ------------- 11,613,241 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES (2.6%) AT&T, Inc. (c) 156,228 4,052,554 CenturyLink, Inc. (a) 7,908 281,683 Frontier Communications Corp. 26,214 200,275 Qwest Communications International, Inc. 39,281 222,331 Verizon Communications, Inc. 74,860 2,175,432 Windstream Corp.(a) 12,761 145,475 ------------- 7,077,750 ------------- ELECTRIC UTILITIES (1.9%) Allegheny Energy, Inc. 4,476 102,053 American Electric Power Co., Inc. 12,620 454,068 Duke Energy Corp. 34,565 591,061 Edison International 8,601 285,123 Entergy Corp. 4,995 387,162 Exelon Corp. 17,421 728,720 FirstEnergy Corp.(a) 8,047 303,372 NextEra Energy, Inc. 10,912 570,698 Northeast Utilities 4,632 128,955 Pepco Holdings, Inc. 5,870 99,262 Pinnacle West Capital Corp.(a) 2,836 108,023 PPL Corp. 9,954 271,645 Progress Energy, Inc. 7,781 327,658 Southern Co. 21,972 776,271 ------------- 5,134,071 ------------- ELECTRICAL COMPONENTS & EQUIPMENT (0.5%) Emerson Electric Co. 19,864 984,063 Rockwell Automation, Inc. (a) 3,769 204,091 Roper Industries, Inc. (a) 2,473 154,562 ------------- 1,342,716 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS (0.3%) Agilent Technologies, Inc. * 9,209 257,207 Amphenol Corp., Class A 4,573 204,871 FLIR Systems, Inc. * 4,036 120,111 Jabil Circuit, Inc. 5,097 73,958 Molex, Inc. (a) 3,579 70,542 ------------- 726,689 ------------- ENERGY-ALTERNATE SOURCES (0.1%) First Solar, Inc. *(a) 1,282 160,827 ------------- ENERGY EQUIPMENT & SERVICES (1.7%) Baker Hughes, Inc. 11,336 547,189 Cameron International Corp. * 6,453 255,474 Diamond Offshore Drilling, Inc. (a) 1,835 109,164 FMC Technologies, Inc. * 3,220 203,762 Halliburton Co. 23,893 713,923 Helmerich & Payne, Inc. 2,791 113,119 Nabors Industries, Ltd. * 7,515 138,351 National Oilwell Varco, Inc. 11,047 432,600 Rowan Cos., Inc. * 3,005 75,906 Schlumberger, Ltd.(a) 31,589 1,884,600 Smith International, Inc. 6,558 272,026 ------------- 4,746,114 ------------- FOOD & STAPLES RETAILING (2.4%) Costco Wholesale Corp. 11,598 657,723 CVS Caremark Corp. 36,055 1,106,528 Kroger Co. (The) 17,156 363,364 Safeway, Inc. 10,264 210,823 SUPERVALU, Inc. 5,597 63,134 SYSCO Corp. 15,643 484,464 Walgreen Co. 26,008 742,528 Wal-Mart Stores, Inc. 54,795 2,804,956 Whole Foods Market, Inc. *(a) 4,497 170,751 ------------- 6,604,271 ------------- FOOD PRODUCTS (1.7%) Archer-Daniels-Midland Co. 16,964 464,135 Campbell Soup Co. 4,979 178,746 ConAgra Foods, Inc. 11,705 274,833 Dean Foods Co. * 4,786 54,848 General Mills, Inc. 17,674 604,451 Hershey Co. (The) 4,392 206,424 HJ Heinz Co. 8,348 371,319 Hormel Foods Corp. 1,835 78,758 JM Smucker Co. (The) 3,142 193,013 Kellogg Co. 6,731 336,887 Kraft Foods, Inc., Class A 46,203 1,349,590 McCormick & Co., Inc. (a) 3,488 137,183 Sara Lee Corp. 17,457 258,189 Tyson Foods, Inc., Class A 8,053 141,008 ------------- 4,649,384 ------------- GAS-DISTRIBUTION (0.1%) EQT Corp. 3,797 139,274 Nicor, Inc. 1,194 52,285 Oneok, Inc. 2,785 129,586 ------------- 321,145 -------------
Continued 72 EQUITY INDEX SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- COMMON STOCKS, CONTINUED HEALTHCARE EQUIPMENT & SUPPLIES (1.6%) Baxter International, Inc. 15,658 $ 685,351 Becton Dickinson & Co. 6,222 428,074 Boston Scientific Corp. * 39,899 223,434 CR Bard, Inc. 2,525 198,288 DENTSPLY International, Inc. 3,885 116,628 Hospira, Inc. * 4,326 225,385 Intuitive Surgical, Inc. * 1,028 337,564 Medtronic, Inc. 29,162 1,078,119 St. Jude Medical, Inc. * 8,591 315,891 Stryker Corp. 7,461 347,459 Varian Medical Systems, Inc. * 3,272 180,614 Zimmer Holdings, Inc. * 5,427 287,577 ------------- 4,424,384 ------------- HEALTHCARE PROVIDERS & SERVICES (1.9%) Aetna, Inc. 11,378 316,877 AmerisourceBergen Corp. 7,455 223,426 Cardinal Health, Inc. 9,542 307,920 CIGNA Corp. 7,259 223,287 Coventry Health Care, Inc. * 3,907 77,476 DaVita, Inc. * 2,724 156,140 Express Scripts, Inc. * 14,535 656,691 Humana, Inc. * 4,494 211,308 Laboratory Corp. of America Holdings * 2,764 201,717 McKesson Corp. 7,112 446,776 Medco Health Solutions, Inc. * 12,077 579,696 Patterson Cos., Inc. 2,463 65,713 Quest Diagnostics, Inc. 3,968 186,456 Tenet Healthcare Corp. * 11,432 52,587 UnitedHealth Group, Inc. 30,113 916,941 WellPoint, Inc. * 11,334 574,861 ------------- 5,197,872 ------------- HEALTHCARE TECHNOLOGY (0.1%) Cerner Corp. *(a) 1,794 138,945 ------------- HOTELS RESTAURANTS & LEISURE (1.6%) Carnival Corp. 11,458 397,364 Darden Restaurants, Inc. 3,691 154,616 International Game Technology 7,831 119,344 Marriott International, Inc., Class A(a) 7,024 238,184 McDonald's Corp. 28,404 1,980,611 Starbucks Corp. 19,625 487,681 Starwood Hotels & Resorts Worldwide, Inc. 5,152 249,614 Wyndham Worldwide Corp. 4,721 120,527 Wynn Resorts, Ltd. 1,823 159,841 Yum! Brands, Inc. 12,388 511,624 ------------- 4,419,406 ------------- HOUSEHOLD DURABLES (0.4%) DR Horton, Inc. 7,302 80,468 Fortune Brands, Inc. 4,012 176,047 Harman International Industries, Inc. * 1,833 55,742 Leggett & Platt, Inc. 3,919 81,672 Lennar Corp., Class A 4,295 63,437 Newell Rubbermaid, Inc. 7,334 113,677 Pulte Group, Inc. * 8,376 73,541 Snap-On, Inc. 1,525 68,122 Stanley Black & Decker, Inc. 4,349 252,329 Whirlpool Corp. 1,975 164,517 ------------- 1,129,552 ------------- HOUSEHOLD PRODUCTS (2.4%) Clorox Co. 3,702 240,186 Colgate-Palmolive Co. 13,034 1,029,425 Kimberly-Clark Corp. 10,990 704,679 Procter & Gamble Co. (The) 75,993 4,647,732 ------------- 6,622,022 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS (0.2%) AES Corp. (The) * 17,647 181,941 Constellation Energy Group, Inc. (a) 5,309 167,764 NRG Energy, Inc. *(a) 6,914 156,810 ------------- 506,515 ------------- INDUSTRIAL CONGLOMERATES (2.3%) 3M Co. 18,921 1,618,502 General Electric Co. (c) 282,426 4,552,707 Textron, Inc. (a) 7,197 149,410 ------------- 6,320,619 ------------- INSURANCE (2.6%) ACE, Ltd. 8,896 472,200 Aflac, Inc. 12,385 609,218 Allstate Corp. (The) 14,165 400,020 American International Group, Inc. * 3,562 137,030 AON Corp. (a) 7,045 265,385 Assurant, Inc. 3,075 114,667 Chubb Corp. 8,674 456,513 Cincinnati Financial Corp. (a) 4,301 118,492 Genworth Financial, Inc., Class A * 12,911 175,331 Hartford Financial Services Group, Inc. 11,714 274,225 Lincoln National Corp. 7,979 207,773 Loews Corp. 9,368 348,021 Marsh & McLennan Cos., Inc. 14,511 341,299 MetLife, Inc. 21,624 909,505 Principal Financial Group, Inc. 8,434 215,995 Progressive Corp. (The) 17,729 348,197 Prudential Financial, Inc. 12,276 703,292 Torchmark Corp. 2,187 116,064 Travelers Cos., Inc. (The) 13,096 660,693 Unum Group 8,774 200,223 XL Group PLC 9,031 160,120 ------------- 7,234,263 ------------- INTERNET & CATALOG RETAIL (0.5%) Amazon.com, Inc. * 9,036 1,065,254 Expedia, Inc. 5,582 126,600 priceline.com, Inc. * 1,264 283,641 ------------- 1,475,495 ------------- INTERNET SOFTWARE & SERVICES (1.6%) Akamai Technologies, Inc. * (a) 4,543 174,269 eBay, Inc. * 29,834 623,829 Google, Inc., Class A * 6,401 3,103,525 VeriSign, Inc. * 4,843 136,330 Yahoo!, Inc. * 31,419 436,096 ------------- 4,474,049 -------------
Continued 73 EQUITY INDEX SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- COMMON STOCKS, CONTINUED IT SERVICES (0.9%) Automatic Data Processing, Inc. 13,327 $ 550,005 Cognizant Technology Solutions Corp., Class A * 7,855 428,569 Computer Sciences Corp. 4,055 183,813 Fidelity National Information Services, Inc. 8,710 249,716 Fiserv, Inc. * 4,021 201,452 Paychex, Inc. 8,491 220,681 SAIC, Inc. * 8,048 133,838 Total System Services, Inc. (a) 5,207 77,636 Western Union Co. (The) 18,024 292,530 ------------- 2,338,240 ------------- LEISURE EQUIPMENT & PRODUCTS (0.1%) Eastman Kodak Co. * (a) 7,092 28,155 Hasbro, Inc. 3,456 145,671 Mattel, Inc. 9,600 203,136 ------------- 376,962 ------------- LIFE SCIENCES TOOLS & SERVICES (0.3%) PerkinElmer, Inc. 3,104 60,404 Thermo Fisher Scientific, Inc. * 10,809 484,892 Waters Corp. * 2,471 158,539 ------------- 703,835 ------------- MACHINERY (1.9%) Caterpillar, Inc. 16,707 1,165,313 Cummins, Inc. 5,316 423,207 Danaher Corp. 13,834 531,364 Deere & Co. 11,193 746,349 Dover Corp. 4,918 235,917 Eaton Corp. 4,580 359,347 Flowserve Corp. 1,474 146,162 Illinois Tool Works, Inc. 10,213 444,266 ITT Corp. 4,828 227,495 PACCAR, Inc. 9,614 440,513 Pall Corp. 3,098 118,468 Parker Hannifin Corp. 4,245 263,699 ------------- 5,102,100 ------------- MEDIA (2.9%) CBS Corp., Class B 17,873 264,163 Comcast Corp., Class A 74,909 1,458,478 DIRECTV, Class A * 24,084 894,961 Discovery Communications, Inc., Class A * (a) 7,485 288,996 Gannett Co., Inc. 6,266 82,586 Interpublic Group of Cos., Inc. (The) * 12,826 117,230 McGraw-Hill Cos., Inc. (The) 8,334 255,771 Meredith Corp. (a) 969 30,766 New York Times Co. (The), Class A * (a) 3,071 26,841 News Corp., Class A 59,487 776,305 Omnicom Group, Inc. 8,196 305,383 Scripps Networks Interactive, Inc., Class A 2,365 100,820 Time Warner, Inc. 30,041 945,090 Viacom, Inc., Class B 16,033 529,730 Walt Disney Co. (The) 51,934 1,749,656 Washington Post Co. (The), Class B 161 67,699 ------------- 7,894,475 ------------- MEDICAL-WHOLESALE DRUG DISTRIBUTORS (0.0%) CareFusion Corp. * 4,681 98,629 ------------- METALS & MINING (1.0%) AK Steel Holding Corp. 2,900 40,571 Alcoa, Inc. 26,934 300,853 Allegheny Technologies, Inc. (a) 2,592 123,405 Cliffs Natural Resources, Inc. 3,570 201,955 Freeport-McMoRan Copper & Gold, Inc. 12,602 901,547 Newmont Mining Corp. 12,962 724,576 Nucor Corp. 8,313 325,371 Titanium Metals Corp. * 2,229 49,350 United States Steel Corp. (a) 3,785 167,789 ------------- 2,835,417 ------------- MULTILINE RETAIL (0.8%) Big Lots, Inc. * 2,182 74,864 Family Dollar Stores, Inc. 3,653 151,051 JC Penney Co., Inc. 6,230 153,445 Kohl's Corp. * 8,094 386,003 Macy's, Inc. 11,114 207,276 Nordstrom, Inc. 4,364 148,376 Sears Holdings Corp. * (a) 1,281 90,951 Target Corp. 19,427 996,994 ------------- 2,208,960 ------------- MULTI-UTILITIES (1.3%) Ameren Corp. 6,254 158,664 CenterPoint Energy, Inc. 10,948 155,790 CMS Energy Corp. 6,066 96,571 Consolidated Edison, Inc. 7,427 342,533 Dominion Resources, Inc. 15,842 665,205 DTE Energy Co. 4,785 220,876 Integrys Energy Group, Inc. (a) 2,020 95,647 NiSource, Inc. (a) 7,307 120,566 PG&E Corp. 9,803 435,253 Public Service Enterprise Group, Inc. 13,357 439,445 Sempra Energy 6,521 324,420 TECO Energy, Inc. 5,643 92,207 Wisconsin Energy Corp. 3,086 167,508 Xcel Energy, Inc. 12,055 265,089 ------------- 3,579,774 ------------- NON-HAZARDOUS WASTE DISPOSAL (0.2%) Waste Management, Inc. 12,803 434,662 ------------- OFFICE ELECTRONICS (0.1%) Xerox Corp. 37,091 361,266 ------------- OIL & GAS (8.7%) Anadarko Petroleum Corp. 13,003 639,228 Apache Corp. 8,885 849,228 Cabot Oil & Gas Corp. 2,736 83,366 Chesapeake Energy Corp. 17,208 361,884 Chevron Corp. 53,196 4,054,067 ConocoPhillips 39,532 2,182,957 Consol Energy, Inc. 6,122 229,453 Denbury Resources, Inc. * 10,439 165,354 Devon Energy Corp. 11,795 737,070 El Paso Corp. 18,514 228,093 EOG Resources, Inc. 6,668 650,130 Exxon Mobil Corp. (c) 135,230 8,070,526 Hess Corp. 7,688 412,000
Continued 74 EQUITY INDEX SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- COMMON STOCKS, CONTINUED OIL & GAS, CONTINUED Marathon Oil Corp. 18,689 $ 625,147 Murphy Oil Corp. 5,046 276,269 Noble Energy, Inc. 4,605 308,811 Occidental Petroleum Corp. 21,435 1,670,430 Peabody Energy Corp. 7,095 320,339 QEP Resources, Inc. * 4,610 158,676 Range Resources Corp. 4,201 155,941 Southwestern Energy Co. * 9,136 333,007 Spectra Energy Corp. 17,093 355,363 Sunoco, Inc. 3,087 110,113 Tesoro Corp. 3,711 47,909 Valero Energy Corp. 14,910 253,321 Williams Cos., Inc. (The) 15,406 299,030 ------------- 23,577,712 ------------- OIL GAS & CONSUMABLE FUELS (0.1%) Pioneer Natural Resources Co. (a) 3,050 176,656 ------------- PAPER & FOREST PRODUCTS (0.2%) International Paper Co. 11,433 276,679 MeadWestvaco Corp. 4,522 108,347 Weyerhaeuser Co. 5,580 90,507 ------------- 475,533 ------------- PERSONAL PRODUCTS (0.2%) Avon Products, Inc. 11,285 351,302 Estee Lauder Cos., Inc. (The), Class A (a) 3,120 194,220 ------------- 545,522 ------------- PHARMACEUTICALS (5.8%) Abbott Laboratories 40,768 2,000,893 Allergan, Inc. 8,118 495,685 Bristol-Myers Squibb Co. 45,667 1,138,022 Eli Lilly & Co. 26,789 953,688 Forest Laboratories, Inc. * 7,982 221,500 Johnson & Johnson 72,878 4,233,483 King Pharmaceuticals, Inc. * 6,559 57,457 Mead Johnson Nutrition Co. 5,399 286,903 Merck & Co., Inc. 82,540 2,844,328 Mylan, Inc. * 8,096 140,871 Pfizer, Inc. 213,050 3,195,750 Watson Pharmaceuticals, Inc. * 2,813 113,927 ------------- 15,682,507 ------------- REAL ESTATE INVESTMENT TRUSTS (1.3%) Apartment Investment & Management Co., Class A 3,092 66,385 AvalonBay Communities, Inc. (a) 2,255 236,978 Boston Properties, Inc. 3,669 300,491 Equity Residential 7,441 341,170 HCP, Inc. 7,757 275,141 Health Care REIT, Inc. 3,265 147,937 Host Hotels & Resorts, Inc. 17,243 247,265 Kimco Realty Corp. 10,706 161,339 Plum Creek Timber Co., Inc. 4,298 154,212 ProLogis 12,519 135,956 Public Storage 3,582 351,466 Simon Property Group, Inc. 7,803 696,184 Ventas, Inc. 4,137 209,829 Vornado Realty Trust 4,162 344,530 ------------- 3,668,883 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT (0.0%) CB Richard Ellis Group, Inc., Class A * (a) 7,136 121,312 ------------- RETAIL-AUTOMOTIVE (0.0%) CarMax, Inc. * (a) 5,897 124,427 ------------- ROAD & RAIL (0.8%) CSX Corp. 10,297 542,858 Norfolk Southern Corp. 9,759 549,139 Ryder System, Inc. 1,410 61,575 Union Pacific Corp. 13,339 996,023 ------------- 2,149,595 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (2.4%) Advanced Micro Devices, Inc. * (a) 14,905 111,638 Altera Corp. (a) 7,851 217,630 Analog Devices, Inc. 7,859 233,491 Applied Materials, Inc. 35,457 418,393 Broadcom Corp., Class A 11,383 410,129 Intel Corp. 147,260 3,033,556 KLA-Tencor Corp. 4,543 143,877 Linear Technology Corp. (a) 5,900 188,092 LSI Corp. * 17,332 69,848 MEMC Electronic Materials, Inc. * 6,002 57,379 Microchip Technology, Inc. 4,864 148,109 Micron Technology, Inc. * (a) 22,457 163,487 National Semiconductor Corp. 6,278 86,636 Novellus Systems, Inc. * 2,531 67,603 NVIDIA Corp. * 15,526 142,684 Teradyne, Inc. * 4,679 50,346 Texas Instruments, Inc. 32,365 799,092 Xilinx, Inc. (a) 7,303 203,900 ------------- 6,545,890 ------------- SOFTWARE (3.7%) Adobe Systems, Inc. * 13,836 397,370 Autodesk, Inc. * 6,064 179,131 BMC Software, Inc. * 4,821 171,531 CA, Inc. 10,433 204,070 Citrix Systems, Inc. * 4,853 267,012 Compuware Corp. * 6,003 49,105 Electronic Arts, Inc. * 8,623 137,364 Intuit, Inc. * 8,287 329,408 McAfee, Inc. * 4,189 138,656 Microsoft Corp. (c) 201,432 5,198,960 Novell, Inc. * 9,194 55,532 Oracle Corp. 103,652 2,450,333 Salesforce.com, Inc. * (a) 3,041 300,907 Symantec Corp. * 21,284 276,053 ------------- 10,155,432 ------------- SPECIALTY RETAIL (1.9%) Abercrombie & Fitch Co., Class A (a) 2,323 85,812 AutoNation, Inc. * (a) 2,386 58,290 AutoZone, Inc. * (a) 784 165,871 Bed Bath & Beyond, Inc. * 6,917 262,016 Best Buy Co., Inc. 9,049 313,638 GameStop Corp., Class A * 4,034 80,882 Gap, Inc. (The) 11,959 216,577 Home Depot, Inc. 44,388 1,265,502 Limited Brands, Inc. 7,062 181,070
Continued 75 EQUITY INDEX SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- COMMON STOCKS, CONTINUED SPECIALTY RETAIL, CONTINUED Lowe's Cos., Inc. 37,837 $ 784,739 Office Depot, Inc. * 7,253 31,333 O'Reilly Automotive, Inc. * 3,632 178,985 RadioShack Corp. 3,306 71,211 Ross Stores, Inc. 3,270 172,198 Sherwin-Williams Co. (The) 2,430 168,035 Staples, Inc. 19,245 391,251 Tiffany & Co. 3,530 148,507 TJX Cos., Inc. 10,797 448,291 Urban Outfitters, Inc. * 3,425 110,148 ------------- 5,134,356 ------------- TEXTILES APPAREL & LUXURY GOODS (0.5%) Coach, Inc. 8,047 297,497 Nike, Inc., Class B 10,295 758,124 Polo Ralph Lauren Corp. 1,510 119,305 VF Corp. 2,336 185,315 ------------- 1,360,241 ------------- THRIFTS & MORTGAGE FINANCE (0.1%) Hudson City Bancorp, Inc. 12,509 155,362 People's United Financial, Inc. (a) 9,802 135,659 ------------- 291,021 ------------- TOBACCO (1.6%) Altria Group, Inc. 54,924 1,217,116 Lorillard, Inc. 4,087 311,593 Philip Morris International, Inc. 49,021 2,502,032 Reynolds American, Inc. 4,462 257,992 ------------- 4,288,733 ------------- TRADING COMPANIES & DISTRIBUTORS (0.1%) Fastenal Co. (a) 3,464 170,013 WW Grainger, Inc. 1,625 182,016 ------------- 352,029 ------------- WIRELESS TELECOMMUNICATION SERVICES (0.3%) American Tower Corp., Class A * 10,630 491,531 MetroPCS Communications, Inc. * (a) 6,890 61,666 Sprint Nextel Corp. * 78,599 359,197 ------------- 912,394 ------------- TOTAL COMMON STOCKS 263,202,057 ------------- INVESTMENT COMPANIES (4.0%) State Street Navigator Securities Lending Portfolio (d) 10,846,128 10,846,128 ------------- TOTAL INVESTMENT COMPANIES 10,846,128 ------------- INVESTMENTS IN AFFILIATES (3.5%) COMMERCIAL BANKS (0.1%) Fifth Third Bancorp 20,989 266,770 ------------- FIFTH THIRD FUNDS (3.4%) Fifth Third Institutional Money Market Fund (b) 9,313,712 9,313,712 ------------- TOTAL INVESTMENTS IN AFFILIATES 9,580,482 ------------- TOTAL INVESTMENTS (COST $155,160,198) - 103.8% 283,628,667 LIABILITIES IN EXCESS OF OTHER ASSETS - (3.8)% (10,200,561) ------------- NET ASSETS - 100.0% $ 273,428,106 =============
NOTES TO SCHEDULE OF INVESTMENTS * Non-income producing security. (a) All or part of this security was on loan. (b) Investment is in Institutional Shares of underlying fund. (c) All or part of this security has been designated as collateral for futures contracts. (d) Represents investments of cash collateral received in connection with securities lending. See notes to schedules of investments and notes to financial statements. 76 INTERNATIONAL EQUITY SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- FOREIGN STOCKS (97.4%) AUSTRALIA (9.1%) Australia & New Zealand Banking Group, Ltd. (a) 172,058 $ 3,587,983 Bendigo and Adelaide Bank, Ltd. 62,884 465,939 BHP Billiton, Ltd. 20,000 725,931 Boral, Ltd. 162,298 622,563 Coca-Cola Amatil, Ltd. 88,746 920,909 Commonwealth Bank of Australia 64,544 3,069,133 Leighton Holdings, Ltd. 53,405 1,424,824 MAP Group 500,000 1,338,956 Rio Tinto, Ltd. (a) 38,093 2,433,413 SP AusNet 807,072 584,126 Suncorp-Metway, Ltd. 63,700 482,358 TABCORP Holdings, Ltd. 100,000 620,624 Wesfarmers, Ltd. 95,714 2,698,464 Westpac Banking Corp. 141,023 3,060,728 ------------- 22,035,951 ------------- AUSTRIA (0.8%) IMMOFINANZ AG * (a) 233,725 769,062 Voestalpine AG 36,971 1,182,789 ------------- 1,951,851 ------------- BELGIUM (0.0%) Belgacom SA (a) 679 24,382 Delhaize Group SA 729 53,836 ------------- 78,218 ------------- CYPRUS (0.1%) Bank of Cyprus Public Co., Ltd. 42,620 228,826 ------------- Denmark (1.6%) Coloplast AS, Class B 9,007 935,661 Novo Nordisk AS, Class B (c) 35,420 3,029,691 ------------- 3,965,352 ------------- FINLAND (1.0%) Nokia Oyj 63,244 584,745 UPM-Kymmene Oyj 128,382 1,863,734 ------------- 2,448,479 ------------- FRANCE (9.8%) AXA SA 73,051 1,346,554 BNP Paribas 41,359 2,840,911 Bouygues SA 29,793 1,257,923 Casino Guichard Perrachon SA 28,015 2,439,814 Christian Dior SA 3,172 343,750 CNP Assurances 42,748 882,400 France Telecom SA 24,434 511,688 Neopost SA (a) 12,965 1,002,739 PagesJaunes Groupe (a) 118,878 1,315,856 PPR 7,994 1,069,345 Sanofi-Aventis SA (c) 62,715 3,642,576 Societe Television Francaise 1 7,614 121,100 Total SA 66,024 3,330,578 Vallourec SA 17,566 1,710,197 Vinci SA 39,401 1,907,483 ------------- 23,722,914 ------------- GERMANY (7.8%) Allianz SE 28,614 3,322,392 BASF SE 68,618 4,006,892 Deutsche Bank AG 7,400 516,882 Deutsche Telekom AG 113,253 1,521,609 Hannover Rueckversicherung AG 45,104 2,159,478 Henkel AG & Co., KGaA 19,409 804,818 Hochtief AG 25,699 1,665,943 Linde AG 6,697 785,012 RWE AG 13,442 949,244 SAP AG 12,086 551,876 Siemens AG 24,763 2,413,467 ------------- 18,697,613 ------------- GREAT BRITAIN (21.0%) Anglo American PLC * 30,803 1,220,205 AstraZeneca PLC 83,135 4,224,011 Barclays PLC 258,967 1,352,359 BHP Billiton PLC 116,088 3,554,841 British American Tobacco PLC 106,707 3,673,616 Centrica PLC 64,357 306,896 Compass Group PLC 126,484 1,051,903 GlaxoSmithKline PLC 90,853 1,583,863 HSBC Holdings PLC 194,532 1,971,913 Intercontinental Hotels Group PLC 47,889 828,849 International Power PLC 415,547 2,334,358 Investec PLC 207,228 1,609,600 Kazakhmys PLC 11,656 222,407 Legal & General Group PLC 614,722 863,791 Lloyds Banking Group PLC * 396,097 430,475 London Stock Exchange Group PLC 105,470 1,070,773 Man Group PLC 24,613 83,924 Marks & Spencer Group PLC 310,841 1,679,831 National Grid PLC 74,991 599,539 Next PLC 21,517 725,913 Pearson PLC 105,011 1,630,478 Prudential PLC 93,347 812,206 Reckitt Benckiser Group PLC 25,221 1,236,735 Rio Tinto PLC 42,123 2,184,185 Rolls-Royce Group PLC * 70,105 638,030 Royal Bank of Scotland Group PLC * 718,835 563,529 Royal Dutch Shell PLC, Class A (c) 153,069 4,214,100 Severn Trent PLC 108,131 2,222,725 Smiths Group PLC 48,878 855,937 Standard Chartered PLC 53,160 1,536,522 Tomkins PLC 31,271 158,983 Unilever PLC 6,033 171,442 United Utilities Group PLC 38,823 356,377 Vodafone Group PLC 1,283,011 2,994,688 Whitbread PLC 19,131 422,673 Wolseley PLC * 4,978 112,325 Xstrata PLC 69,454 1,106,729 ------------- 50,606,731 ------------- GREECE (0.2%) Coca Cola Hellenic Bottling Co. SA 10,358 244,314 OPAP SA 4,417 65,331 Public Power Corp. SA 9,974 158,701 ------------- 468,346 -------------
Continued 77 INTERNATIONAL EQUITY SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- FOREIGN STOCKS, CONTINUED HONG KONG (2.2%) ASM Pacific Technology, Ltd. 26,400 $ 240,803 BOC Hong Kong Holdings, Ltd. 410,500 1,053,797 Cathay Pacific Airways, Ltd. 236,000 525,018 New World Development, Ltd. 1,108,000 1,977,069 Sino Land Co., Ltd. 356,000 673,730 Wheelock & Co., Ltd. 201 621 Yue Yuen Industrial Holdings, Ltd. 242,500 783,618 ------------- 5,254,656 ------------- IRELAND (0.3%) Kerry Group PLC, Class A 21,169 673,108 ------------- ISRAEL (0.8%) Delek Group, Ltd. 2,984 696,841 Teva Pharmaceutical Industries, Ltd. 23,000 1,120,477 ------------- 1,817,318 ------------- ITALY (2.8%) Enel SpA 631,517 3,100,509 ENI SpA 89,063 1,821,021 Mediaset SpA 261,587 1,681,426 Snam Rete Gas SpA 47,282 221,970 ------------- 6,824,926 ------------- JAPAN (20.8%) Aeon Co., Ltd. (a) 166,700 1,784,797 Aisin Seiki Co., Ltd. 11,318 316,372 Asahi Glass Co., Ltd. 221,000 2,251,056 Brother Industries, Ltd. 6,000 64,309 Canon, Inc. 39,399 1,716,965 Chubu Electric Power Co., Inc. 67,100 1,663,617 Dai Nippon Printing Co., Ltd. (a) 122,000 1,475,664 Daicel Chemical Industries, Ltd. 183,000 1,296,325 Dainippon Sumitomo Pharma Co., Ltd. (a) 49,300 368,630 Denso Corp. 20,000 573,413 Electric Power Development Co., Ltd. 2,600 80,593 FUJIFILM Holdings Corp. 25,700 803,171 Fujitsu, Ltd. 127,000 904,045 Hino Motors, Ltd. 50,000 219,920 Hitachi, Ltd. * 517,000 2,106,418 Honda Motor Co., Ltd. 53,000 1,661,867 ITOCHU Corp. 111,300 868,293 Japan Petroleum Exploration Co. 2,100 82,887 JFE Holdings, Inc. 5,700 176,486 JX Holdings, Inc. * 330,700 1,791,395 Kuraray Co., Ltd. 65,500 821,830 Kyocera Corp. 3,000 267,724 Kyushu Electric Power Co., Inc. 58,600 1,326,037 Meiji Holdings Co., Ltd. (a) 20,500 881,504 Mitsubishi Corp. 25,400 549,483 Mitsubishi UFJ Financial Group, Inc. 17,662 87,702 Mitsubishi UFJ Lease & Finance Co., Ltd. 24,584 865,043 Mitsui & Co., Ltd. 21,300 273,169 Mizuho Financial Group, Inc. 330,000 538,573 Murata Manufacturing Co., Ltd. 3,000 148,272 Nippon Electric Glass Co., Ltd. 77,000 981,272 Nippon Express Co., Ltd. 103,000 419,654 Nippon Paper Group, Inc. 55,100 1,468,781 Nippon Telegraph & Telephone Corp. 34,700 1,441,901 Nissan Motor Co., Ltd. * 302,232 2,322,843 NKSJ Holdings, Inc. * (a) 102,000 596,215 NTT DoCoMo, Inc. 479 762,342 Ono Pharmaceutical Co., Ltd. 1,800 74,483 ORIX Corp. (a) 31,390 2,470,652 Ricoh Co., Ltd. 28,500 394,867 Sapporo Hokuyo Holdings, Inc. 129,300 613,612 Sharp Corp. 54,000 591,909 Showa Denko KK 518,000 1,025,268 Sojitz Corp. 111,500 176,810 Sony Corp. (a) 87,000 2,723,942 Sumitomo Corp. (a) 112,200 1,192,194 Sumitomo Mitsui Financial Group, Inc. 23,800 737,182 Sumitomo Rubber Industries, Ltd. (a) 100,000 991,956 Sumitomo Trust & Banking Co., Ltd. (The) 34,000 189,293 Suzuken Co., Ltd. 23,500 822,820 Tokyo Tatemono Co., Ltd. 43,000 140,355 Toppan Printing Co., Ltd. (a) 268,000 2,211,748 Tosoh Corp. (a) 244,077 652,605 Toyota Motor Corp. 10,000 353,030 West Japan Railway Co. 236 874,125 ------------- 50,195,419 ------------- JERSEY (0.2%) Petrofac, Ltd. 5,869 115,117 Shire PLC 17,916 409,042 ------------- 524,159 ------------- NETHERLANDS (1.7%) Fugro NV (a) 44,740 2,362,144 Koninklijke Boskalis Westminster NV 6,299 260,088 Koninklijke DSM NV (a) 6,489 307,931 Koninklijke Philips Electronics NV 35,629 1,110,140 ------------- 4,040,303 ------------- NORWAY (0.5%) Aker Solutions ASA 62,147 805,550 DnB NOR ASA 17,891 222,185 Statoil ASA 3,988 80,607 ------------- 1,108,342 ------------- SINGAPORE (1.8%) Jardine Cycle & Carriage, Ltd. 43,194 1,137,186 Keppel Corp., Ltd. 298,000 2,046,860 K-Green Trust * 59,600 50,404 Noble Group, Ltd. 16,908 20,516 SembCorp Industries, Ltd. 321,000 996,191 UOL Group, Ltd. 16,000 46,477 ------------- 4,297,634 ------------- SPAIN (3.7%) Banco Bilbao Vizcaya Argentaria SA 18,165 244,648 Banco Santander SA (a) 143,815 1,868,316 Repsol YPF SA 109,007 2,571,861 Telefonica SA (c) 183,304 4,161,163 ------------- 8,845,988 -------------
Continued 78 INTERNATIONAL EQUITY SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- FOREIGN STOCKS, CONTINUED SWEDEN (3.3%) Assa Abloy AB, Series B 17,529 $ 387,745 Boliden AB 5,135 61,061 Kinnevik Investment AB, Class B 135,907 2,552,615 Nordea Bank AB 23,417 234,181 Svenska Handelsbanken AB, Class A (a) 99,245 2,848,277 Tele2 AB, Class B (a) 102,400 1,815,490 ------------- 7,899,369 ------------- SWITZERLAND (7.9%) Credit Suisse Group AG 45,459 2,070,246 Geberit AG 10,737 1,755,314 Nestle SA (c) 125,852 6,221,924 Novartis AG (c) 84,706 4,110,481 Roche Holding AG 1,849 240,510 Schindler Holding AG 2,945 258,681 Sika AG 663 1,248,097 Swisscom AG 8,079 3,024,681 ------------- 18,929,934 ------------- TOTAL FOREIGN STOCKS 234,615,437 ------------- INVESTMENT COMPANIES (8.1%) UNITED STATES (8.1%) iShares MSCI EAFE Index Fund (a) 64,100 3,328,072 State Street Navigator Securities Lending Portfolio (d) 16,301,024 16,301,024 19,629,096 ------------- TOTAL INVESTMENT COMPANIES 19,629,096 ------------- RIGHTS (0.0%) AUSTRALIA (0.0%) Boral, Ltd. * 32,459 4,111 ------------- TOTAL RIGHTS 4,111 ------------- INVESTMENTS IN AFFILIATES (0.9%) UNITED STATES (0.9%) Fifth Third Institutional Money Market Fund (b) 2,237,129 2,237,129 ------------- TOTAL INVESTMENTS IN AFFILIATES 2,237,129 ------------- TOTAL INVESTMENTS (COST $239,610,184) - 106.4% 256,485,773 LIABILITIES IN EXCESS OF OTHER ASSETS - (6.4)% (15,506,962) ------------- NET ASSETS - 100.0% $ 240,978,811 =============
NOTES TO SCHEDULE OF INVESTMENTS * Non-income producing security. (a) All or part of this security was on loan. (b) Investment is in Institutional Shares of underlying fund. (c) All or part of this security has been designated as collateral for futures contracts. (d) Represents investments of cash collateral received in connection with securities lending. AT JULY 31, 2010, INTERNATIONAL EQUITY'S INDUSTRY INVESTMENT CONCENTRATIONS (UNAUDITED), AS A PERCENTAGE OF NET ASSETS, WERE AS FOLLOWS: Advertising 0.6% Aerospace & Defense 0.3% Airlines 0.2% Airport Development/Maintenance 0.6% Athletic Footwear 0.3% Audio/Video Products 1.1% Auto/Truck Parts & Equipment-Original 0.4% Auto-Cars & Light Trucks 1.8% Auto-Medium & Heavy Duty Trucks 0.1% Beverages-Non Alcoholic 0.5% Building & Construction-Miscellaneous 1.9% Building & Construction Production-Miscellaneous 1.3% Building-Heavy Construction 1.1% Building Products-Cement & Aggregate 0.3% Building Products-Doors & Windows 0.9% Cash & Cash Equivalents 0.9% Cellular Telecom 1.6% Chemicals-Diversified 2.5% Chemicals-Speciality 0.5% Commercial Banks Non-U.S. 11.9% Computers-Integrated Systems 0.4% Construction Materials -^ Cosmetics & Toiletries 0.1% Distribution/Wholesale 0.5% Diversified Financial Services 0.7% Diversified Manufacturing Operations 2.5% Diversified Minerals 2.7% Diversified Operations 0.9% Electric Products-Miscellaneous 1.2% Electric-Distribution 0.2% Electric-Generation -^ Electric-Integrated 4.0% Electric-Transmission 0.3% Electronic Components-Miscellaneous 1.0% Engineering/R&D Services 0.4% Enterprise Software/Services 0.2% Fifth Third Funds 1.4% Finance-Investment Banker/Broker 0.9% Finance-Leasing Company 1.4% Finance-Other Services 0.5% Food 0.4% Food-Miscellaneous/Diversified 3.3% Food-Retail 1.0% Gambling (Non-Hotel) 0.3% Gas-Distribution 0.1% Gas-Transportation 0.1% Hotels & Motels 0.4% Household & Personal Products 0.9% Import/Export 1.3% Industrial Gases 0.3% Investment Companies 8.1% Life & Health Insurance 0.7% Machinery-Electrical 0.1% Medical Products 0.4% Medical-Drugs 7.8% Medical-Wholesale Drug Distributors 0.3% Metal Processors & Fabricators 0.2%
Continued 79 INTERNATIONAL EQUITY SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- AT JULY 31, 2010, INTERNATIONAL EQUITY'S INDUSTRY INVESTMENT CONCENTRATIONS (UNAUDITED), AS A PERCENTAGE OF NET ASSETS, WERE AS FOLLOWS, CONTINUED: Metal-Copper 0.1% Metal-Diversified 1.9% Multi-Line Insurance 2.3% Multimedia 0.7% Office Automation & Equipment 1.3% Oil Company-Exploration & Production -^ Oil Company-Integrated 5.0% Oil Refining & Marketing 0.7% Oil-Field Services 1.0% Paper & Related Products 1.4% Photo Equipment & Supplies 0.3% Printing-Commercial 1.5% Property & Casualty Insurance 0.3% Real Estate Management/Services 0.3% Real Estate Operations/Development 1.2% Reinsurance 0.9% Retail-Apparel & Shoes 0.3% Retail-Major Department Store 1.1% Retail-Miscellaneous/Diversified 0.7% Retail-Restaurants 0.2% Rubber-Tires 0.4% Semiconductor Equipment 0.1% Steel-Producers 1.3% Telecom Services 0.8% Telephone-Integrated 4.4% Television 0.7% Textiles 0.3% Tobacco 1.5% Transportation-Rail 0.4% Transportation-Truck 0.2% Water 1.1% Wireless Equipment 0.2%
-------- ^ Amount is less than 0.05%. See notes to schedules of investments and notes to financial statements. STRATEGIC INCOME SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ----------- ----------- ASSET-BACKED SECURITIES (3.8%) AUTOMOBILES SEQUENTIAL (1.4%) Capital Auto Receivables Asset Trust, Series 2008-CPA, Class A1, 1.19%, 1/15/13 (a) (b) $ 939,068 $ 942,971 Honda Auto Receivables Owner Trust, Series 2009-3, Class A3, 2.31%, 5/15/13 250,000 254,246 Hyundai Auto Receivables Trust, Series 2009-A, Class A3, 2.03%, 8/15/13 415,000 421,586 ----------- 1,618,803 ----------- MANUFACTURED HOUSING ABS OTHER (0.8%) Mid-State Trust, Series 2005-1, Class M2, 7.08%, 1/15/40 1,017,918 925,412 ----------- OTHER ABS (1.6%) Aerco, Ltd., Series 2A, Class A3, 0.80%, 7/15/25 (a) (b) (g) 665,035 425,622 Dunkin Securitization, Series 2006-1, Class A2, 5.78%, 6/20/31 (b) 850,000 830,144 Residential Asset Securities Corp., Series 2006-KS3, Class AI3, 0.50%, 4/25/36 (a) 599,035 570,675 ----------- 1,826,441 ----------- TOTAL ASSET-BACKED SECURITIES 4,370,656 ----------- CORPORATE BONDS (24.4%) AEROSPACE & DEFENSE (0.8%) United Technologies Corp., 4.50%, 4/15/20 850,000 929,344 ----------- AIRLINES (1.0%) Delta Air Lines, Inc., Series A, 7.75%, 6/17/21 (c) 983,610 1,067,216 ----------- CABLE TV (0.9%) COX Communications, Inc., 7.75%, 11/1/10 1,000,000 1,016,085 ----------- CABLE/SATELLITE TV (0.9%) DIRECTV Holdings LLC, 5.20%, 3/15/20 1,000,000 1,061,553 ----------- COMMERCIAL BANKS-CENTRAL U.S. (0.5%) SunTrust Bank, 3.00%, 11/16/11 500,000 515,689 ----------- COMMERCIAL BANKS-EASTERN U.S. (0.3%) Emigrant Capital Trust, 3.20%, 12/10/33, (Callable 8/30/10 @ 100) (a) (b) 1,000,000 347,776 ----------- COMMERCIAL BANKS-SOUTHERN U.S. (0.4%) Union Planters Corp., 4.38%, 12/1/10 (c) 500,000 503,752 ----------- DIVERSIFIED FINANCIAL SERVICES (1.0%) General Electric Capital Corp., 6.88%, 1/10/39 1,000,000 1,127,550 -----------
Continued 80 STRATEGIC INCOME SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ----------- ---------- CORPORATE BONDS, CONTINUED ELECTRIC-INTEGRATED (0.8%) FPL Group Capital, Inc., 6.65%, 6/15/67, (Callable 6/15/17 @ 100) (a) $ 1,000,000 $ 931,250 ----------- ENTERPRISE SOFTWARE/SERVICES (0.8%) CA, Inc., 5.38%, 12/1/19 850,000 902,087 ----------- FINANCE-INVESTMENT BANKER/BROKER (0.7%) JPMorgan Chase & Co., Series 1, 7.90%, 4/30/18 (a) (f) 800,000 835,696 ----------- FINANCE-OTHER SERVICES (0.6%) Cullen/Frost Capital Trust II, 2.09%, 3/1/34, (Callable 8/30/10 @ 100) (a) 1,000,000 633,966 ----------- FINANCIAL GUARANTEE INSURANCE (1.6%) Assured Guaranty Municipal Holdings, Inc., 6.25% 90,350 1,797,965 ----------- FOOD-MISCELLANEOUS/DIVERSIFIED (0.9%) Kraft Foods, Inc., 4.13%, 2/9/16 1,000,000 1,069,536 ----------- INSURANCE BROKERS (0.4%) Marsh & McLennan Cos., Inc., 5.88%, 8/1/33 500,000 469,187 ----------- MACHINERY-CONSTRUCTION & MINING (0.6%) Joy Global, Inc., 6.00%, 11/15/16 625,000 670,024 ----------- MEDICAL INSTRUMENTS (0.7%) Medtronic, Inc., 4.45%, 3/15/20 750,000 807,082 ----------- MONEY CENTER BANKS (0.9%) Deutsche Bank Trust Corp., 7.25%, 10/15/11 1,000,000 1,045,841 ----------- MULTI-LINE INSURANCE (0.4%) American Financial Group, Inc., 9.88%, 6/15/19 375,000 458,779 ----------- NETWORKING PRODUCTS (1.0%) Cisco Systems, Inc., 5.90%, 2/15/39 1,000,000 1,103,475 ----------- REAL ESTATE INVESTMENT TRUSTS (3.3%) HCP, Inc., 6.70%, 1/30/18 850,000 915,542 ProLogis, 5.63%, 11/15/15 1,850,000 1,763,718 Realty Income Corp., 6.75%, 8/15/19 900,000 1,019,610 ----------- 3,698,870 ----------- REINSURANCE (0.6%) Berkshire Hathaway, Inc., 3.20%, 2/11/15 690,000 721,168 ----------- RETAIL-BUILDING PRODUCTS (0.8%) Home Depot, Inc., 5.40%, 3/1/16 850,000 953,560 ----------- RETAIL-DISCOUNT (0.9%) Wal-Mart Stores, Inc., 2.88%, 4/1/15 1,000,000 1,044,505 ----------- RETAIL-DRUG STORE (0.6%) CVS Pass Through Trust, 7.77%, 1/10/12 (b) 601,752 639,362 ----------- RETAIL-OFFICE SUPPLIES (0.9%) Staples, Inc., 9.75%, 1/15/14 850,000 1,047,131 ----------- RETAIL-REGIONAL DEPARTMENT STORE (0.8%) Macy's Retail Holdings, Inc., 5.35%, 3/15/12 850,000 877,625 ----------- SPECIAL PURPOSE ENTITY (0.8%) Capital One Capital V, 10.25%, 8/15/39 400,000 433,000 Capital One Capital VI, 8.88%, 5/15/40 400,000 423,000 ----------- 856,000 ----------- SUPER-REGIONAL BANKS-U.S. (0.5%) PNC Financial Services Group, Inc., 8.25%, 5/21/13 (a) (c) (f) 500,000 518,608 ----------- WIRELESS EQUIPMENT (0.0%) Motorola, Inc., 6.50%, 11/15/28 (c) 47,000 47,109 ----------- TOTAL CORPORATE BONDS 27,697,791 ----------- FOREIGN BONDS (5.6%) BANKS (0.6%) Royal Bank of Scotland Group PLC, 6.40%, 10/21/19 600,000 633,811 ----------- DIVERSIFIED OPERATIONS (0.5%) Hutchison Whampoa International (03/13), Ltd., 6.50%, 2/13/13 (b) 486,000 534,860 ----------- IMPORT/EXPORT (0.4%) Export-Import Bank of Korea, 8.13%, 1/21/14 425,000 497,567 ----------- MULTI-LINE INSURANCE (0.7%) AXA SA, 6.46%, 12/14/18 (a) (b) (f) 1,000,000 790,000 ----------- OIL COMPANY-EXPLORATION & PRODUCTION (0.8%) Gaz Capital SA for Gazprom, 7.51%, 7/31/13 (b) 850,000 930,674 ----------- SOVEREIGN (1.7%) Brazil, Federal Republic, Series F, 10.00%, 1/1/12 BRL 1,660,000 924,520 Brazil, Federal Republic, Series F, 10.00%, 1/1/14 1,870,000 1,002,337 ----------- 1,926,857 ----------- SPECIAL PURPOSE ENTITY (0.9%) AngloGold Ashanti Holdings PLC, 5.38%, 4/15/20 $ 1,000,000 1,038,039 ----------- TOTAL FOREIGN BONDS 6,351,808 -----------
Continued 81 STRATEGIC INCOME SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ----------- ---------- MORTGAGE-BACKED SECURITIES (4.5%) CMBS OTHER (2.0%) Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A7, 5.32%, 6/10/36 (a) $ 875,000 $ 947,725 GS Mortgage Securities Corp. II, Series 2004-GG2, Class A3, 4.60%, 8/10/38 498,904 502,423 Merrill Lynch Mortgage Trust, Series 2002-MW1, Class A4, 5.62%, 7/12/34 750,000 792,405 ----------- 2,242,553 ----------- WL COLLATERAL CMO OTHER (1.4%) Bear Stearns Asset Backed Securities Trust, Series 2003-AC7, Class A2, 5.25%, 1/25/34 424,672 399,106 Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB5, Class 4A1, 3.40%, 4/20/35 (a) 235,284 192,762 Merrill Lynch Mortgage Investors, Inc., Series 2003-A1, Class 2A, 2.83%, 12/25/32 (a) 17,814 18,637 Wells Fargo Mortgage Backed Securities Trust, Series 2004-X, Class 1A5, 4.93%, 11/25/34 (a) 1,000,000 993,259 ----------- 1,603,764 ----------- WL COLLATERAL CMO SEQUENTIAL (0.4%) JP Morgan Mortgage Trust, Series 2007-A2, Class 4A1M, 5.74%, 4/25/37 (a) 406,522 385,667 ----------- WL COLLATERAL PAC (0.7%) Countrywide Alternative Loan Trust, Series 2004-30CB, Class 3A1, 5.00%, 2/25/20 834,055 828,475 ----------- TOTAL MORTGAGE-BACKED SECURITIES 5,060,459 ----------- U.S. GOVERNMENT AGENCIES (2.3%) FANNIE MAE (0.8%) 3.15%, 7/1/18 (a) 170,510 176,486 5.50%, 10/1/35 637,280 688,544 ----------- 865,030 ----------- FREDDIE MAC (1.5%) 3.23%, 10/1/32 (a) 126,845 130,939 4.84%, 1/1/37 (a) (e) 533,146 559,300 6.50%, 9/1/22 (e) 487,705 530,578 6.50%, 8/1/37 480,354 528,011 ----------- 1,748,828 ----------- TOTAL U.S. GOVERNMENT AGENCIES 2,613,858 ----------- U.S. TREASURY OBLIGATIONS (1.8%) U.S. TREASURY NOTES (1.8%) 2.75%, 2/15/19 1,000,000 1,006,875 4.38%, 5/15/40 1,000,000 1,068,910 ----------- TOTAL U.S. TREASURY OBLIGATIONS 2,075,785 ----------- SHARES VALUE ----------- ----------- COMMON STOCKS (6.9%) BEVERAGES (0.3%) Diageo PLC ADR 4,491 $ 313,831 ----------- ELECTRIC UTILITIES (0.9%) Duke Energy Corp. 7,940 135,774 Entergy Corp. (c) 1,470 113,940 Progress Energy, Inc. (c) 13,500 568,485 Southern Co. 4,640 163,931 ----------- 982,130 ----------- ELECTRIC-INTEGRATED (0.3%) CPFL Energia SA ADR (c) 5,500 384,285 ----------- GAS-DISTRIBUTION (0.4%) Oneok, Inc. 10,489 488,053 ----------- HOUSEHOLD PRODUCTS (0.2%) Kimberly-Clark Corp. (c) 3,730 239,168 ----------- INSURANCE (0.4%) Cincinnati Financial Corp. (c) 16,000 440,800 ----------- MULTI-UTILITIES (0.4%) Wisconsin Energy Corp. 8,355 453,509 ----------- OIL & GAS (0.1%) Spectra Energy Corp. 4,000 83,160 ----------- PHARMACEUTICALS (1.0%) Novartis AG ADR (c) 9,919 483,452 Pfizer, Inc. 45,000 675,000 ----------- 1,158,452 ----------- REAL ESTATE INVESTMENT TRUSTS (1.0%) Annaly Capital Management, Inc. (c) 68,601 1,193,657 ----------- TELECOM SERVICES (0.7%) BCE, Inc. 24,542 751,231 ----------- TEXTILES APPAREL & LUXURY GOODS (0.2%) VF Corp. 2,853 226,328 ----------- TOBACCO (1.0%) Altria Group, Inc. 6,850 151,796 Philip Morris International, Inc. (c) 18,415 939,902 ----------- 1,091,698 ----------- TOTAL COMMON STOCKS 7,806,302 ----------- INVESTMENT COMPANIES (15.3%) American Income Fund, Inc. 135,400 1,138,714 Eaton Vance Tax-Advantaged Dividend Income Fund 23,600 354,000 ING Prime Rate Trust (c) 80,000 455,200 Invesco Van Kampen Senior Income Trust 152,000 706,800 State Street Navigator Securities Lending Portfolio (h) 14,046,322 14,046,322 Templeton Global Income Fund (c) 61,374 628,470 ----------- TOTAL INVESTMENT COMPANIES 17,329,506 -----------
Continued 82 STRATEGIC INCOME SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ----------- CONVERTIBLE PREFERRED STOCK (1.0%) AGRICULTURAL OPERATIONS (1.0%) Archer-Daniels-Midland Co., 6.25% (c) 30,000 $ 1,152,300 ----------- TOTAL CONVERTIBLE PREFERRED STOCK 1,152,300 ----------- PREFERRED STOCKS (39.7%) CABLE TV (1.6%) Comcast Corp., 7.00% (c) 20,000 516,400 Comcast Corp., Series B, 7.00% (c) 50,000 1,288,500 ----------- 1,804,900 ----------- CLOSED-END FUNDS (1.1%) Source Capital, Inc., 2.40% 35,600 1,206,840 ----------- COMMERCIAL BANKS-EASTERN U.S. (0.5%) HSBC USA, Inc., Series G, 4.00% (a) 26,500 580,615 ----------- COMMERCIAL BANKS NON-U.S. (2.3%) Barclays Bank PLC, Series 2, 6.63% (c) 36,650 834,887 Barclays Bank PLC, Series 5, 8.13% 36,000 933,480 Lloyds Banking Group PLC, 7.75% (c) 32,000 815,680 ----------- 2,584,047 ----------- COMMERCIAL BANKS-SOUTHERN U.S. (1.7%) BB&T Capital Trust VI, 9.60% (c) 6,000 163,980 BB&T Capital Trust VII. 8.10% 40,000 1,048,400 First Tennessee Bank NA, 3.75% (a) (b) 1,000 701,875 ----------- 1,914,255 ----------- DIVERSIFIED FINANCIAL SERVICES (1.6%) Citigroup Capital VII, 7.13% 74,225 1,809,606 ----------- ELECTRIC-INTEGRATED (4.2%) American Electric Power Co., Inc., 8.75% 16,000 460,320 Constellation Energy Group, Inc., Series A, 8.63% 23,000 601,680 Entergy Arkansas, Inc., 6.0% 45,600 1,170,552 SCANA Corp., 7.70% (c) 6,000 167,100 Southern California Edison Co., 0.50% (a) 15,150 1,507,425 Xcel Energy, Inc., 7.60% (c) 33,000 903,540 ----------- 4,810,617 ----------- FINANCE-CONSUMER LOANS (0.5%) HSBC Finance Corp., 6.88% 23,650 587,702 ----------- FINANCE-CREDIT CARD (0.8%) MBNA Capital, Series D, 8.13% 37,800 955,584 ----------- FINANCE-INVESTMENT BANKER/BROKER (3.7%) Credit Suisse, Ltd., 7.90% 41,000 1,069,280 Goldman Sachs Group, Inc. (The), Series A, 3.75% (a) 67,500 1,335,150 JPMorgan Chase Capital XXIX, 6.70% 32,300 797,810 Merrill Lynch Preferred Capital Trust III, 7.00% (c) 9,800 228,536 Morgan Stanley Capital Trust VIII, 6.45% 33,100 773,878 ----------- 4,204,654 ----------- FINANCE-MORTGAGE LOAN/BANKER (0.5%) Countrywide Capital IV, 6.75% 26,500 621,955 ----------- INVESTMENT MANAGEMENT/ADVISOR SERVICES (1.6%) Ameriprise Financial, Inc., 7.75% (c) 35,000 945,000 Deutsche Bank Contingent Capital Trust III, 7.60% 36,000 900,000 ----------- 1,845,000 ----------- LIFE & HEALTH INSURANCE (0.3%) AAG Holding Co., Inc., 7.25% (c) 15,200 361,760 ----------- MONEY CENTER BANKS (0.4%) Santander Finance Preferred SA Unipersonal, Series 6, 4.00% (a) (c) 25,400 472,440 ----------- MULTI-LINE INSURANCE (3.4%) Aegon NV, Series 1, 4.00% (a) (c) 43,800 838,770 ING Groep NV, 7.20% (c) 20,000 486,400 ING Groep NV, 8.50% 41,200 882,092 MetLife, Inc., Series A, 4.00% (a) (c) 40,000 926,800 MetLife, Inc., Series B, 6.50% 30,000 741,300 ----------- 3,875,362 ----------- MULTIMEDIA (1.4%) Viacom, Inc., 6.85% (c) 60,000 1,517,400 ----------- OFFICE AUTOMATION & EQUIPMENT (0.8%) Pitney Bowes International Holdings, Inc., Series F, 6.13% (a) (b) 850 888,781 ----------- OIL COMPANY-EXPLORATION & PRODUCTION (1.1%) Apache Corp., 6.00% (c) 22,195 1,205,854 ----------- REAL ESTATE (0.2%) Public Storage, Series L, 6.75% (c) 10,000 250,500 ----------- REAL ESTATE INVESTMENT TRUSTS (5.9%) CBL & Associates Properties, Inc., Series D, 7.38% 20,500 458,585 CommonWealth, Series B, 8.75% 13,358 337,290 Duke Realty Corp., Series L, 6.60% (c) 30,000 653,700 Duke Realty Corp., Series M, 6.95% (c) 10,000 227,600 Equity Residential, Series N, 6.48% 50,000 1,229,500 Harris Preferred Capital Corp., Series A, 7.38% 31,800 793,410 Public Storage, Series M, 6.63% (c) 40,000 1,004,400 Vornado Realty L.P., 7.88% (e) 48,775 1,271,564 Wachovia Preferred Funding Corp., Series A, 7.25% (c) 29,400 727,944 ----------- 6,703,993 ----------- REINSURANCE (0.5%) RenaissanceRe Holdings, Ltd., Series D, 6.60% 22,861 546,378 ----------- S&L/THRIFTS-SOUTHERN U.S. (0.3%) BBC Capital Trust II, 8.50% 28,000 307,160 -----------
Continued 83 STRATEGIC INCOME SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- PREFERRED STOCKS, CONTINUED SPECIAL PURPOSE ENTITY (1.2%) Corporate-Backed Trust Certificates, Series AIG, 6.13% 60,000 $ 906,600 Corporate-Backed Trust Certificates, Series HSBC, 6.25% (c) 20,500 481,340 ------------- 1,387,940 ------------- SUPER-REGIONAL BANKS-U.S. (2.4%) National City Capital Trust III, 6.63% (c) 20,000 484,400 US Bancorp, Series B, 3.50% (a) (c) 20,000 431,800 USB Capital XII, 6.30% (c) 40,000 996,000 Wells Fargo Capital XII, 7.88% 30,000 789,600 ------------- 2,701,800 ------------- TELEPHONE-INTEGRATED (1.1%) Telephone and Data Systems, Inc., 7.60% 50,011 1,263,778 ------------- TELEVISION (0.6%) CBS Corp., 7.25% 26,000 649,740 ------------- TOTAL PREFERRED STOCKS 45,058,661 ------------- INVESTMENTS IN AFFILIATES (5.0%) Fifth Third Institutional Money Market Fund (d) 5,679,507 5,679,507 ------------- TOTAL INVESTMENTS IN AFFILIATES 5,679,507 ------------- TOTAL INVESTMENTS (COST $124,190,899) - 110.3% 125,196,633 LIABILITIES IN EXCESS OF OTHER ASSETS - (10.3)% (11,696,061) ------------- NET ASSETS - 100.0% $ 113,500,572 =============
NOTES TO SCHEDULE OF INVESTMENTS (a) Variable rate security. Rate presented represents rate in effect at July 31, 2010. (b) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund's advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. (c) All or part of this security was on loan. (d) Investment is in Institutional Shares of underlying fund. (e) All or part of this security has been designated as collateral for swap contracts and forward currency contracts. (f) Perpetual Maturity. Callable any time after first call date. Maturity date is next call date. (g) Illiquid Securities. (h) Represents investments of cash collateral received in connection with securities lending. The following abbreviations are used in the Schedule of Investments: ABS - Asset-Backed Security ADR - American Depositary Receipt BRL - Brazilian Real CMBS - Commercial Mortgage-Backed Security CMO - Collateralized Mortgage Obligation PAC - Planned Amortization Class WL - Whole Loan At July 31, 2010, Strategic Income's investments were in the following countries:
COUNTRY ------------------------------------------- Bermuda 0.4% Brazil 1.9% Canada 0.6% Cayman Islands 0.4% Great Britain 2.9% Luxembourg 0.7% Netherlands 1.8% South Africa 0.8% South Korea 0.4% Spain 0.4% Switzerland 0.4% United States 89.3% ------ TOTAL 100.0% ======
See notes to schedules of investments and notes to financial statements. 84 LIFEMODEL AGGRESSIVE(SM) SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- INVESTMENTS IN AFFILIATES (a) (100.6%) Fifth Third All Cap Value Fund 626,027 $ 8,632,907 Fifth Third Disciplined Large Cap Value Fund 1,557,633 14,672,898 Fifth Third High Yield Bond Fund 15,852 152,494 Fifth Third Institutional Money Market Fund 1,575,727 1,575,727 Fifth Third International Equity Fund 3,742,862 27,510,035 Fifth Third Mid Cap Growth Fund * 1,231,520 10,664,966 Fifth Third Quality Growth Fund 1,306,999 17,566,072 Fifth Third Short Term Bond Fund 106,010 1,015,572 Fifth Third Small Cap Growth Fund * 716,148 5,041,681 Fifth Third Small Cap Value Fund 247,680 4,047,090 Fifth Third Structured Large Cap Plus Fund 1,740,170 17,523,516 Fifth Third Total Return Bond Fund 111,668 1,007,246 ------------- TOTAL INVESTMENTS IN AFFILIATES 109,410,204 ------------- TOTAL INVESTMENTS (COST $128,586,533) - 100.6% 109,410,204 LIABILITIES IN EXCESS OF OTHER ASSETS - (0.6)% (661,385) ------------- NET ASSETS - 100.0% $ 108,748,819 =============
NOTES TO SCHEDULE OF INVESTMENTS * Non-income producing security. (a) Investment is in Institutional Shares of underlying fund. See notes to schedules of investments and notes to financial statements. LIFEMODEL MODERATELY AGGRESSIVE(SM) SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- INVESTMENTS IN AFFILIATES (a) (100.4%) Fifth Third All Cap Value Fund 909,491 $ 12,541,886 Fifth Third Disciplined Large Cap Value Fund 2,256,180 21,253,219 Fifth Third High Yield Bond Fund 178,211 1,714,385 Fifth Third Institutional Money Market Fund 614,943 614,943 Fifth Third International Equity Fund 5,168,860 37,991,123 Fifth Third Mid Cap Growth Fund * 1,637,022 14,176,609 Fifth Third Quality Growth Fund 1,680,612 22,587,427 Fifth Third Short Term Bond Fund 1,271,908 12,184,880 Fifth Third Small Cap Growth Fund * 959,502 6,754,892 Fifth Third Small Cap Value Fund 390,026 6,373,019 Fifth Third Structured Large Cap Plus Fund 2,410,287 24,271,592 Fifth Third Total Return Bond Fund 2,863,148 25,825,597 ------------- TOTAL INVESTMENTS IN AFFILIATES 186,289,572 ------------- TOTAL INVESTMENTS (COST $206,623,185) - 100.4% 186,289,572 LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4)% (765,305) ------------- NET ASSETS - 100.0% $ 185,524,267 =============
NOTES TO SCHEDULE OF INVESTMENTS * Non-income producing security. (a) Investment is in Institutional Shares of underlying fund. See notes to schedules of investments and notes to financial statements. 85 LIFEMODEL MODERATE(SM) SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- INVESTMENTS IN AFFILIATES (a) (100.0%) Fifth Third All Cap Value Fund 840,359 $ 11,588,553 Fifth Third Disciplined Large Cap Value Fund 2,132,580 20,088,906 Fifth Third High Yield Bond Fund 395,668 3,806,324 Fifth Third Institutional Money Market Fund 1,824,783 1,824,783 Fifth Third International Equity Fund 5,134,693 37,739,995 Fifth Third Mid Cap Growth Fund * 1,684,581 14,588,474 Fifth Third Quality Growth Fund 1,831,075 24,609,640 Fifth Third Short Term Bond Fund 3,564,818 34,150,954 Fifth Third Small Cap Growth Fund * 941,592 6,628,810 Fifth Third Small Cap Value Fund 337,209 5,509,992 Fifth Third Structured Large Cap Plus Fund 2,169,120 21,843,035 Fifth Third Total Return Bond Fund 8,146,171 73,478,464 ------------- TOTAL INVESTMENTS IN AFFILIATES 255,857,930 ------------- TOTAL INVESTMENTS (COST $280,439,653) - 100.0% 255,857,930 LIABILITIES IN EXCESS OF OTHER ASSETS - 0.0% (42,828) ------------- NET ASSETS - 100.0% $ 255,815,102 =============
NOTES TO SCHEDULE OF INVESTMENTS * Non-income producing security. (a) Investment is in Institutional Shares of underlying fund. See notes to schedules of investments and notes to financial statements. LIFEMODEL MODERATELY CONSERVATIVE(SM) SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- INVESTMENTS IN AFFILIATES (a) (100.4%) Fifth Third All Cap Value Fund 159,738 $ 2,202,790 Fifth Third Disciplined Large Cap Value Fund 415,975 3,918,486 Fifth Third High Yield Bond Fund 110,285 1,060,940 Fifth Third Institutional Money Market Fund 290,980 290,980 Fifth Third International Equity Fund 776,759 5,709,181 Fifth Third Mid Cap Growth Fund * 325,605 2,819,742 Fifth Third Quality Growth Fund 377,811 5,077,786 Fifth Third Short Term Bond Fund 1,007,467 9,651,530 Fifth Third Small Cap Growth Fund * 177,556 1,249,993 Fifth Third Small Cap Value Fund 70,179 1,146,721 Fifth Third Structured Large Cap Plus Fund 463,776 4,670,221 Fifth Third Total Return Bond Fund 2,095,659 18,902,840 ------------- TOTAL INVESTMENTS IN AFFILIATES 56,701,210 ------------- TOTAL INVESTMENTS (COST $59,939,924) - 100.4% 56,701,210 LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4)% (222,106) ------------- NET ASSETS - 100.0% $ 56,479,104 =============
NOTES TO SCHEDULE OF INVESTMENTS * Non-income producing security. (a) Investment is in Institutional Shares of underlying fund. See notes to schedules of investments and notes to financial statements. 86 LIFEMODEL CONSERVATIVE(SM) SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ---------- ------------- INVESTMENTS IN AFFILIATES (a) (100.0%) Fifth Third All Cap Value Fund 61,846 $ 852,852 Fifth Third Disciplined Large Cap Value Fund 172,281 1,622,886 Fifth Third High Yield Bond Fund 105,385 1,013,804 Fifth Third Institutional Money Market Fund 182,342 182,342 Fifth Third International Equity Fund 253,780 1,865,284 Fifth Third Mid Cap Growth Fund * 125,941 1,090,650 Fifth Third Quality Growth Fund 151,355 2,034,208 Fifth Third Short Term Bond Fund 926,792 8,878,665 Fifth Third Small Cap Growth Fund * 68,111 479,503 Fifth Third Small Cap Value Fund 29,768 486,406 Fifth Third Structured Large Cap Plus Fund 147,204 1,482,347 Fifth Third Total Return Bond Fund 2,102,506 18,964,602 ------------- TOTAL INVESTMENTS IN AFFILIATES 38,953,549 ------------- TOTAL INVESTMENTS (COST $41,360,133) - 100.0% 38,953,549 OTHER ASSETS IN EXCESS OF LIABILITIES - 0.0% 8,007 ------------- NET ASSETS - 100.0% $ 38,961,556 =============
NOTES TO SCHEDULE OF INVESTMENTS * Non-income producing security. (a) Investment is in Institutional Shares of underlying fund. See notes to schedules of investments and notes to financial statements. HIGH YIELD BOND SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ---------- ------------- CORPORATE BONDS (87.3%) AEROSPACE (1.4%) BE Aerospace, Inc., 8.50%, 7/1/18, (Callable 7/1/13 @ 104.25) $ 446,000 $ 485,025 Spirit Aerosystems, Inc., 7.50%, 10/1/17, (Callable 10/1/13 @ 103.75) 250,000 251,875 TransDigm, Inc., 7.75%, 7/15/14, (Callable 8/30/10 @ 103.875) (b) 38,000 39,140 ------------ 776,040 ------------ AUTOMOTIVE & AUTO PARTS (5.1%) Accuride Corp., 9.50%, 8/1/18, (Callable 8/1/14 @ 104.75) (b) 165,000 168,300 Asbury Automotive Group, Inc., 7.63%, 3/15/17, (Callable 3/15/12 @ 103.813) (e) 18,000 17,145 Asbury Automotive Group, Inc., 8.00%, 3/15/14, (Callable 8/30/10 @ 102.667) (c) 750,000 750,000 Cooper-Standard Automotive, Inc., 8.50%, 5/1/18, (Callable 5/1/14 @ 104.25) (b) (c) 245,000 253,575 Ford Motor Credit Co. LLC, 8.13%, 1/15/20 180,000 192,529 Goodyear Tire & Rubber Co. (The), 10.50%, 5/15/16, (Callable 5/15/12 @ 107.875) (c) 544,000 609,280 Lear Corp., 7.88%, 3/15/18, (Callable 3/15/14 @ 103.938) 89,000 92,560 Navistar International Corp., 8.25%, 11/1/21, (Callable 11/1/14 @ 104.125) (c) 265,000 280,237 Penske Automotive Group, Inc., 7.75%, 12/15/16, (Callable 12/15/11 @ 103.875) 548,000 527,450 ------------ 2,891,076 ------------ BROADCASTING (1.3%) Allbritton Communications Co., 8.00%, 5/15/18, (Callable 5/15/14 @ 104) (b) (c) 120,000 119,700 Entravision Communications Corp., 8.75%, 8/1/17, (Callable 8/1/13 @ 106.563) (b) 120,000 121,200 Fisher Communications, Inc., 8.63%, 9/15/14, (Callable 8/30/10 @ 104.3125) 504,000 501,480 ------------ 742,380 ------------ BUILDING MATERIALS (4.7%) Gibraltar Industries, Inc., Series B, 8.00%, 12/1/15, (Callable 12/1/10 @ 104) 750,000 735,000 Texas Industries, Inc., 7.25%, 7/15/13, (Callable 8/30/10 @ 101.813) 500,000 508,750 Texas Industries, Inc., W/I, 9.25%, 8/15/20, (Callable 8/15/15 @ 104.625) (b) 862,000 866,310 US Concrete, Inc., 8.38%, 4/1/14, (Callable 8/30/10 @ 102.792) (c) (h) 1,000,000 525,000 ------------ 2,635,060 ------------
Continued 87 HIGH YIELD BOND SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ---------- ------------- CORPORATE BONDS, CONTINUED CABLE/SATELLITE TV (3.6%) CCO Holdings LLC/CCO Holdings Capital Corp., 7.88%, 4/30/18, (Callable 4/30/13 @ 105.906) (b) $ 344,000 $ 360,340 CCO Holdings LLC/CCO Holdings Capital Corp., 8.13%, 4/30/20, (Callable 4/30/15 @ 104.063) (b) 215,000 227,362 Cequel Communications Holdings I LLC and Cequel Capital Corp., 8.63%, 11/15/17, (Callable 11/15/12 @ 106.469) (b) 640,000 652,800 CSC Holdings LLC, 8.63%, 2/15/19 366,000 399,855 Insight Communications Co., Inc., 9.38%, 7/15/18, (Callable 7/15/13 @ 107.031) (b) 352,000 372,240 ------------ 2,012,597 ------------ CAPITAL GOODS (3.3%) Amsted Industries, Inc., 8.13%, 3/15/18, (Callable 3/15/14 @ 104.063) (b) 420,000 430,500 Belden, Inc., 7.00%, 3/15/17, (Callable 3/15/12 @ 103.5) 210,000 210,000 Case New Holland, Inc., 7.88%, 12/1/17 (b) (c) 750,000 785,625 General Cable Corp., 7.13%, 4/1/17, (Callable 4/1/12 @ 103.563) (c) 18,000 18,135 Mueller Water Products, Inc., 7.38%, 6/1/17, (Callable 6/1/12 @ 103.688) (c) 460,000 419,175 ------------ 1,863,435 ------------ CHEMICALS (1.0%) Koppers, Inc., 7.88%, 12/1/19, (Callable 12/1/14 @ 103.938) (b) 296,000 306,360 LBI Escrow Corp., 8.00%, 11/1/17, (Callable 5/1/13 @ 106) (b) 222,000 233,378 ------------ 539,738 ------------ CONSUMER PRODUCTS (4.7%) Jarden Corp., 7.50%, 5/1/17, (Callable 5/1/12 @ 103.75) 598,000 614,445 Libbey Glass, Inc., 10.00%, 2/15/15, (Callable 2/15/12 @ 105) (b) 715,000 761,475 Sealy Mattress Co., 8.25%, 6/15/14, (Callable 8/30/10 @ 102.75) 130,000 130,975 Simmons Bedding Co., 11.25%, 7/15/15, (Callable 1/20/12 @ 103) (b) 520,000 560,300 Visant Holding Corp., 8.75%, 12/1/13, (Callable 8/30/10 @ 104.375) 577,000 588,540 ------------ 2,655,735 ------------ CONTAINERS (1.3%) Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, 7.75%, 10/15/16, (Callable 10/15/12 @ 103.875) (b) 60,000 62,700 Solo Cup Co., 8.50%, 2/15/14, (Callable 8/30/10 @ 102.833) 750,000 678,750 ------------ 741,450 ------------ ENERGY (9.8%) Atlas Energy Operating Co. LLC/Atlas Energy Finance Corp., 12.13%, 8/1/17, (Callable 8/1/13 @ 106.063) 98,000 113,190 Basic Energy Services, Inc., 7.13%, 4/15/16, (Callable 4/15/11 @ 103.563) 750,000 678,750 Berry Petroleum Co., 8.25%, 11/1/16, (Callable 11/1/11 @ 104.125) 676,000 681,070 Chesapeake Energy Corp., 6.50%, 8/15/17 527,000 536,222 Chesapeake Energy Corp., 9.50%, 2/15/15 346,000 388,385 Coffeyville Resources LLC/Coffeyville Finance, Inc., 10.88%, 4/1/17, (Callable 4/1/13 @ 108.156) (b) 520,000 525,200 Dresser-Rand Group, Inc., 7.38%, 11/1/14, (Callable 8/30/10 @ 103.688) 350,000 352,625 Helix Energy Solutions Group, Inc., 9.50%, 1/15/16, (Callable 1/15/12 @ 104.75) (b) 356,000 345,320 Hilcorp Energy I L.P./Hilcorp Finance Co., 7.75%, 11/1/15, (Callable 11/1/10 @ 103.875) (b) 506,000 516,120 Hilcorp Energy I L.P./Hilcorp Finance Co., 9.00%, 6/1/16, (Callable 6/1/11 @ 104.5) (b) 87,000 91,785 Petrohawk Energy Corp., 7.88%, 6/1/15, (Callable 6/1/12 @ 103.938) 250,000 258,750 Petrohawk Energy Corp., 10.50%, 8/1/14, (Callable 2/1/12 @ 110.5) 292,000 325,580 United Refining Co., Series 2, 10.50%, 8/15/12, (Callable 8/30/10 @ 100) 814,000 741,758 ------------ 5,554,755 ------------ FINANCIAL SERVICES (3.2%) CIT Group, Inc., 7.00%, 5/1/16, (Callable 9/13/10 @ 103.5) (c) 859,000 818,198 CIT Group, Inc., 7.00%, 5/1/17, (Callable 9/13/10 @ 103.5) (c) 17,000 16,022 International Lease Finance Corp., 8.75%, 3/15/17 (b) 567,000 578,340 SquareTwo Financial Corp., 11.63%, 4/1/17, (Callable 4/1/14 @ 105.813) (b) 403,000 375,294 ------------ 1,787,854 ------------ FOOD/BEVERAGE/TOBACCO (0.1%) TreeHouse Foods, Inc., 7.75%, 3/1/18, (Callable 3/1/14 @ 103.875) 24,000 25,350 ------------ FOOD-RETAIL (0.7%) Ingles Markets, Inc., 8.88%, 5/15/17, (Callable 5/15/13 @ 104.438) 382,000 400,145 ------------ HEALTHCARE (7.9%) Accellent, Inc., 8.38%, 2/1/17, (Callable 2/1/13 @ 106.281) (b) 244,000 247,050 Apria Healthcare Group, Inc., 11.25%, 11/1/14, (Callable 11/1/11 @ 105.625) (b) 564,000 603,480
Continued 88 HIGH YIELD BOND SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ---------- ------------- CORPORATE BONDS, CONTINUED HEALTHCARE, CONTINUED Axcan Intermediate Holdings, Inc., 9.25%, 3/1/15, (Callable 3/1/11 @ 106.938) $ 500,000 $ 512,500 Capella Healthcare, Inc., 9.25%, 7/1/17, (Callable 7/1/13 @ 106.938) (b) 241,000 251,845 CHS/Community Health Systems, Inc., 8.88%, 7/15/15, (Callable 7/15/11 @ 104.438) 258,000 270,255 DaVita, Inc., 6.63%, 3/15/13, (Callable 8/30/10 @ 101.656) 162,000 164,228 DaVita, Inc., 7.25%, 3/15/15, (Callable 8/30/10 @ 103.625) 73,000 74,916 HCA, Inc., 5.75%, 3/15/14 381,000 369,570 HCA, Inc., 9.63%, 11/15/16, (Callable 11/15/11 @ 104.813) (g) 394,000 425,520 Omnicare, Inc., 7.75%, 6/1/20, (Callable 6/1/15 @ 103.875) 49,000 52,185 Service Corp. International, 8.00%, 11/15/21 290,000 302,325 Stewart Enterprises, Inc., 6.25%, 2/15/13, (Callable 8/30/10 @ 101.563) 250,000 250,625 Stonemor Operating LLC/ Cornerstone Family Services/ Osiris Holdings, 10.25%, 12/1/17, (Callable 12/1/13 @ 105.125) (b) 469,000 497,140 Universal Hospital Services, Inc., 4.13%, 6/1/15, (Callable 8/30/10 @ 101) (a) 525,000 448,875 ------------ 4,470,514 ------------ HOMEBUILDERS/REAL ESTATE (1.8%) Beazer Homes USA, Inc., 6.88%, 7/15/15, (Callable 8/16/10 @ 103.438) 750,000 667,500 M/I Homes, Inc., 6.88%, 4/1/12 (c) 350,000 347,375 ------------ 1,014,875 ------------ INSURANCE (1.6%) MetLife, Inc., 10.75%, 8/1/69, (Callable 8/1/34 @ 100) 750,000 926,374 ------------ MEDIA (1.8%) Clear Channel Worldwide Holdings, Inc., 9.25%, 12/15/17, (Callable 12/15/12 @ 106.9375) (b) 306,000 321,180 Lamar Media Corp., 6.63%, 8/15/15, (Callable 8/30/10 @ 103.313) 70,000 69,650 Lamar Media Corp., 9.75%, 4/1/14 49,000 54,635 Lamar Media Corp., Series B, 6.63%, 8/15/15, (Callable 8/30/10 @ 103.313) 209,000 205,865 WMG Acquisition Corp., 7.38%, 4/15/14, (Callable 8/30/10 @ 102.458) 362,000 356,570 ------------ 1,007,900 ------------ METALS & MINING (1.0%) Cloud Peak Energy Resources LLC/ Cloud Peak Energy Finance Corp., 8.50%, 12/15/19, (Callable 12/15/14 @ 104.25) (b) 304,000 319,200 Consol Energy, Inc., 8.00%, 4/1/17, (Callable 4/1/14 @ 104) (b) 106,000 112,625 Consol Energy, Inc., 8.25%, 4/1/20, (Callable 4/1/15 @ 104.125) (b) 106,000 113,950 ------------ 545,775 ------------ PAPER (2.1%) Buckeye Technologies, Inc., 8.50%, 10/1/13, (Callable 8/30/10 @ 102.833) 175,000 177,625 Cellu Tissue Holdings, Inc., 11.50%, 6/1/14, (Callable 6/1/11 @ 111.5) 325,000 353,437 Cenveo Corp., 7.88%, 12/1/13, (Callable 8/30/10 @ 102.625) (c) 362,000 352,950 Cenveo Corp., 8.88%, 2/1/18, (Callable 2/1/14 @ 104.438) (b) 350,000 330,750 ------------ 1,214,762 ------------ REAL ESTATE INVESTMENT TRUSTS (1.3%) PPF Funding, Inc., 5.63%, 1/15/17 (b) 400,000 374,774 PPF Funding, Inc., 5.70%, 4/15/17 (b) 409,000 383,530 ------------ 758,304 ------------ RETAIL (0.8%) QVC, Inc., 7.50%, 10/1/19, (Callable 10/1/14 @ 103.75) (b) 419,000 431,570 ------------ SERVICES (2.0%) ARAMARK Corp., 8.50%, 2/1/15, (Callable 2/1/11 @ 104.25) (c) 512,000 529,280 Ashtead Capital, Inc., 9.00%, 8/15/16, (Callable 8/15/11 @ 104.5) (b) 329,000 332,290 RSC Equipment Rental, Inc./RSC Holdings III LLC, 10.00%, 7/15/17, (Callable 7/15/13 @ 105) (b) (c) 119,000 132,090 United Rentals North America, Inc., 10.88%, 6/15/16, (Callable 6/15/13 @ 105.438) (b) 125,000 138,125 ------------ 1,131,785 ------------ STEEL (0.9%) AK Steel Corp., 7.63%, 5/15/20, (Callable 5/15/15 @ 103.813) (c) 243,000 243,911 Steel Dynamics, Inc., 6.75%, 4/1/15, (Callable 4/1/11 @ 103.375) 250,000 253,750 ------------ 497,661 ------------ TECHNOLOGY (3.2%) First Data Corp., 9.88%, 9/24/15 (b) 87,000 69,600 First Data Corp., 9.88%, 9/24/15, (Callable 9/30/11 @ 104.938) 456,000 367,080 Kemet Corp., 10.50%, 5/1/18, (Callable 5/1/14 @ 105.25) (b) 597,000 608,940 SunGard Data Systems, Inc., 9.13%, 8/15/13, (Callable 8/30/10 @ 102.281) 750,000 766,875 ------------ 1,812,495 ------------
Continued 89 HIGH YIELD BOND SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ---------- ------------- CORPORATE BONDS, CONTINUED TELECOMMUNICATIONS (10.8%) Cricket Communications, Inc., 10.00%, 7/15/15, (Callable 7/15/12 @ 105) (c) $ 360,000 $ 385,200 Crown Castle International Corp., 9.00%, 1/15/15, (Callable 1/15/13 @ 105.625) (c) 262,000 286,890 Equinix, Inc., 8.13%, 3/1/18, (Callable 3/1/14 @ 104.063) 764,000 796,470 Frontier Communications Corp., 8.13%, 10/1/18 (c) 180,000 190,800 Frontier Communications Corp., 8.50%, 4/15/20 (b) 588,000 627,690 GCI, Inc., 7.25%, 2/15/14, (Callable 8/30/10 @ 102.417) 257,000 261,498 MetroPCS Wireless, Inc., 9.25%, 11/1/14, (Callable 11/1/10 @ 104.625) (b) 153,000 159,885 Nextel Communications, Inc., Series E, 6.88%, 10/31/13, (Callable 8/30/10 @ 101.719) 277,000 275,615 NII Capital Corp., 10.00%, 8/15/16, (Callable 8/15/13 @ 105) 500,000 552,500 Qwest Communications International, Inc., 7.50%, 2/15/14, (Callable 8/30/10 @ 102.5) 176,000 180,400 Sprint Capital Corp., 8.75%, 3/15/32 27,000 27,371 Sprint Nextel Corp., 8.38%, 8/15/17 (c) 599,000 625,955 TW Telecom Holdings, Inc., 8.00%, 3/1/18, (Callable 3/1/14 @ 104) 66,000 68,722 Viasat, Inc., 8.88%, 9/15/16, (Callable 9/15/12 @ 106.656) 784,000 840,840 Windstream Corp., 8.13%, 8/1/13 (c) 181,000 192,765 Windstream Corp., 8.63%, 8/1/16, (Callable 8/1/11 @ 104.313) 626,000 652,605 ------------ 6,125,206 ------------ TRANSPORTATION EX AIR/RAIL (0.5%) Overseas Shipholding Group, Inc., 8.75%, 12/1/13 280,000 290,500 ------------ UTILITIES (11.4%) Atlas Pipeline Partners L.P., 8.75%, 6/15/18, (Callable 6/15/13 @ 104.375) 328,000 326,360 Calpine Corp., 7.88%, 7/31/20, (Callable 7/31/15 @ 103.937) (b) 825,000 833,250 Copano Energy LLC/Copano Energy Finance Corp., 8.13%, 3/1/16, (Callable 3/1/11 @ 104.0625) 90,000 92,250 Crosstex Energy L.P./Crosstex Energy Finance Corp., 8.88%, 2/15/18, (Callable 2/15/14 @ 104.438) (c) 100,000 104,500 Enterprise Products Operating LLC, 7.00%, 6/1/67, (Callable 6/1/17 @ 100) (a) 550,000 495,000 Holly Energy Partners L.P./Holly Energy Finance Corp., 6.25%, 3/1/15, (Callable 8/30/10 @ 103.125) 500,000 485,000 MarkWest Energy Partners L.P./MarkWest Energy Finance Corp., Series B, 8.75%, 4/15/18, (Callable 4/15/13 @ 104.375) 83,000 89,329 Martin Midstream Partners L.P./ Martin Midstream Finance Corp., 8.88%, 4/1/18, (Callable 4/1/14 @ 104.438) (b) 506,000 511,060 North American Energy Alliance LLC/North American Energy Alliance Finance Corp., 10.88%, 6/1/16, (Callable 6/1/13 @ 105.438) (b) 101,000 108,575 Penn Virginia Resource Partners L.P./Penn Virginia Resource Finance Corp., 8.25%, 4/15/18, (Callable 4/15/14 @ 104.125) 200,000 203,000 PNM Resources, Inc., 9.25%, 5/15/15 430,000 458,487 Puget Sound Energy, Inc., Series A, 6.97%, 6/1/67, (Callable 6/1/17 @ 100) (a) 175,000 162,978 Regency Energy Partners L.P./Regency Energy Finance Corp., 9.38%, 6/1/16, (Callable 6/1/13 @ 104.688) (b) 950,000 1,035,500 RRI Energy, Inc., 7.63%, 6/15/14 (c) 85,000 85,425 Sabine Pass Liquified Natural Gas L.P., 7.25%, 11/30/13 734,000 684,455 Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 8.25%, 7/1/16, (Callable 7/1/12 @ 104.125) (b) 403,000 421,135 Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 11.25%, 7/15/17, (Callable 7/15/13 @ 105.625) (b) 300,000 343,500 ------------ 6,439,804 ------------ TOTAL CORPORATE BONDS 49,293,140 ------------ FOREIGN BONDS (9.3%) ENERGY (1.6%) Connacher Oil and Gas, Ltd., 10.25%, 12/15/15, (Callable 12/15/11 @ 105.125) (b) 615,000 622,688 Transocean, Inc., 6.00%, 3/15/18 300,000 280,701 ------------ 903,389 ------------ MEDIA (1.3%) Quebecor Media, Inc., 7.75%, 3/15/16, (Callable 3/15/11 @ 103.875) (c) 209,000 212,135 Quebecor Media, Inc., 7.75%, 3/15/16, (Callable 3/15/11 @ 103.875) (e) 502,000 509,530 ------------ 721,665 ------------ METALS & MINING (1.1%) Novelis, Inc., 7.25%, 2/15/15, (Callable 8/30/10 @ 103.625) 600,000 613,500 ------------
Continued 90 HIGH YIELD BOND SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ---------- ------------- FOREIGN BONDS, CONTINUED PAPER (1.1%) Cascades, Inc., 7.75%, 12/15/17, (Callable 12/15/13 @ 103.875) (b) $ 349,000 $ 362,960 Cascades, Inc., 7.88%, 1/15/20, (Callable 1/15/15 @ 103.938) (b) 200,000 207,500 PE Paper Escrow GmbH, 12.00%, 8/1/14, (Callable 8/1/12 @ 106) (b) (c) 24,000 27,000 ------------ 597,460 ------------ SERVICES (0.3%) Ashtead Holdings PLC, 8.63%, 8/1/15, (Callable 8/31/10 @ 104.313) (b) (e) 151,000 152,888 ------------ TELECOMMUNICATIONS (1.2%) Wind Acquisition Finance SA, 11.75%, 7/15/17, (Callable 7/15/13 @ 105.875) (b) 650,000 690,625 ------------ TRANSPORTATION EX AIR/RAIL (0.4%) Stena AB, 7.00%, 12/1/16, (Callable 8/30/10 @ 103.5) (e) 250,000 237,812 ------------ UTILITIES (2.3%) Gibson Energy ULC/GEP Midstream Finance Corp., 11.75%, 5/27/14, (Callable 6/1/12 @ 105.875) 426,000 477,120 Intergen NV, 9.00%, 6/30/17, (Callable 6/30/12 @ 104.5) (b) (e) 800,000 834,000 1,311,120 ------------ TOTAL FOREIGN BONDS 5,228,459 ------------ SHARES ---------- INVESTMENT COMPANIES (12.4%) State Street Navigator Securities Lending Portfolio (f) 6,983,855 6,983,855 ------------ TOTAL INVESTMENT COMPANIES 6,983,855 ------------ PREFERRED STOCKS (0.3%) AUTOMOTIVE & AUTO PARTS (0.3%) Ally Financial, Inc., 7.00% (b) 200 164,244 ------------ TOTAL PREFERRED STOCKS 164,244 ------------ INVESTMENTS IN AFFILIATES (2.3%) Fifth Third Institutional Money Market Fund (d) 1,321,826 1,321,826 ------------ TOTAL INVESTMENTS IN AFFILIATES 1,321,826 ------------ TOTAL INVESTMENTS (COST $61,388,827) - 111.6% 62,991,524 LIABILITIES IN EXCESS OF OTHER ASSETS - (11.6)% (6,565,289) ------------ NET ASSETS - 100.0% $ 56,426,235 ============
NOTES TO SCHEDULE OF INVESTMENTS (a) Variable rate security. Rate presented represents rate in effect at July 31, 2010. (b) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund's advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. (c) All or part of this security was on loan. (d) Investment is in Institutional Shares of underlying fund. (e) All or part of this security has been designated as collateral for when issued securities. (f) Represents investments of cash collateral received in connection with securities lending. (g) PIK (payment-in-kind) security. Bond that pays interest in the form of additional bonds. (h) Defaulted security. The following abbreviation is used in the Schedule of Investments: W/I - When Issued At July 31, 2010, High Yield Bond's Investments were in the following countries:
COUNTRY ----------------------------------------------------------------------------- Austria -^ Canada 4.8% Cayman Islands 0.5% Great Britain 0.2% Luxembourg 1.1% Netherlands 1.3% Sweden 0.4% United States 91.7% ------ TOTAL 100.0% ======
--------- ^ Amount is less than 0.05%. See notes to schedules of investments and notes to financial statements. 91 TOTAL RETURN BOND SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ---------- ------------- ASSET-BACKED SECURITIES (6.1%) AUTOMOBILE ABS OTHER (0.3%) Hyundai Auto Receivables Trust, Series 2006-B, Class C, 5.25%, 5/15/13 (g) $ 974,410 $ 982,896 ------------ AUTOMOBILES SEQUENTIAL (0.2%) Prestige Auto Receivables Trust, Series 2006-1A, Class A2, 5.25%, 6/17/13 (b) 443,336 444,127 ------------ HOME EQUITY OTHER (1.5%) Flagstar Home Equity Loan Trust, Series 2007-1A, Class AF2, 5.77%, 1/25/35 (b) 340,136 333,848 New Century Home Equity Loan Trust, Series 2005-A, Class A5W, 5.29%, 8/25/35 4,000,000 1,986,544 Renaissance Home Equity Loan Trust, Series 2005-2, Class AF4, 4.93%, 8/25/35 2,620,000 2,219,402 ------------ 4,539,794 ------------ HOME EQUITY SEQUENTIAL (0.2%) Residential Funding Mortgage Securities II, Inc., Series 2006-HI3, Class A4, 6.31%, 2/25/36 (i) 1,500,000 458,649 ------------ MANUFACTURED HOUSING ABS OTHER (0.7%) Mid-State Trust, Series 2005-1, Class M2, 7.08%, 1/15/40 2,430,718 2,209,820 ------------ MANUFACTURED HOUSING SEQUENTIAL (1.0%) Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A4, 6.57%, 5/7/27 (a) 2,670,287 2,877,764 ------------ OTHER ABS (2.2%) Aerco, Ltd., Series 2A, Class A3, 0.80%, 7/15/25 (a) (b) (g) (i) 1,372,390 878,329 First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF11, Class 1A2, 0.68%, 1/25/35 (a) 51,824 46,751 First Franklin Mortgage Loan Asset Backed Certificates, Series 2005-FFA, Class M3, 6.02%, 3/25/25 600,000 409,833 Renaissance Home Equity Loan Trust, Series 2006-1, Class AF4, 6.01%, 5/25/36 1,645,000 940,838 Residential Asset Mortgage Products, Inc., Series 2002-RZ3, Class M1, 5.78%, 8/25/32 (a) 116,104 114,624 Residential Asset Mortgage Products, Inc., Series 2003-RZ5, Class A7, 4.97%, 9/25/33 2,238,208 2,240,488 Small Business Administration, Series 2005-P10B, Class 1, 4.94%, 8/10/15 (g) 1,748,056 1,868,565 ------------ 6,499,428 ------------ TOTAL ASSET-BACKED SECURITIES 18,012,478 ------------ CORPORATE BONDS (20.6%) AEROSPACE & DEFENSE (0.5%) Boeing Co. (The), 3.75%, 11/20/16 (c) 1,450,000 1,564,892 ------------ AIRLINES (0.5%) Delta Air Lines, Inc., Series A, 7.75%, 6/17/21 1,386,890 1,504,775 ------------ BEVERAGES-NON ALCOHOLIC (0.5%) Coca-Cola Enterprises, Inc., 7.38%, 3/3/14 (c) 1,275,000 1,531,673 ------------ CABLE TV (0.9%) Comcast Corp., 5.70%, 7/1/19 (c) 1,000,000 1,117,804 Time Warner Cable, Inc., 5.85%, 5/1/17 1,250,000 1,388,735 ------------ 2,506,539 ------------ COMMERCIAL BANKS-CENTRAL U.S. (0.3%) SunTrust Bank, 3.00%, 11/16/11 1,000,000 1,031,378 ------------ COMMERCIAL BANKS-EASTERN U.S. (0.4%) Manufacturers & Traders Trust Co., 2.03%, 4/1/13, (Callable 10/1/10 @ 100) (a) 1,075,000 1,037,512 ------------ COMMERCIAL BANKS NON-U.S. (0.5%) Westpac Capital Trust IV, 5.26%, 3/31/16 (a) (b) (h) (i) 1,445,000 1,338,345 ------------ COMMERCIAL BANKS-SOUTHERN U.S. (0.9%) BB&T Corp., 5.25%, 11/1/19 1,500,000 1,558,815 Wachovia Bank NA, 5.85%, 2/1/37 (g) 1,000,000 1,016,218 ------------ 2,575,033 ------------ COMPUTERS (0.5%) International Business Machines Corp., 5.88%, 11/29/32 (c) 1,250,000 1,414,196 ------------ CONSUMER PRODUCTS-MISCELLANEOUS (0.4%) Clorox Co., 3.55%, 11/1/15 1,215,000 1,288,939 ------------ DIVERSIFIED FINANCIAL SERVICES (1.0%) General Electric Capital Corp., 4.80%, 5/1/13 (c) 2,725,000 2,928,413 ------------ ELECTRIC-INTEGRATED (2.7%) Alabama Power Capital Trust V, 3.63%, 10/1/42, (Callable 10/1/10 @ 100) (a) 874,000 874,000 Duke Energy Indiana, Inc., 3.75%, 7/15/20 1,775,000 1,804,953 Florida Power & Light Co., 5.96%, 4/1/39 (c) 870,000 1,007,126 Southern Power Co., Series B, 6.25%, 7/15/12 (c) 2,260,000 2,469,622 Virginia Electric and Power Co., 6.35%, 11/30/37 1,450,000 1,709,008 ------------ 7,864,709 ------------ ENTERPRISE SOFTWARE/SERVICES (0.4%) CA, Inc., 5.38%, 12/1/19 1,000,000 1,061,279 ------------
Continued 92 TOTAL RETURN BOND SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ---------- ------------- CORPORATE BONDS, CONTINUED FINANCE-INVESTMENT BANKER/BROKER (2.1%) Citigroup, Inc., 6.13%, 11/21/17 (c) $ 2,000,000 $ 2,141,164 Goldman Sachs Group, Inc. (The), 6.13%, 2/15/33 (c) 1,100,000 1,112,757 JPMorgan Chase & Co., 6.00%, 1/15/18 1,265,000 1,427,775 JPMorgan Chase Capital XXI, Series U, 1.29%, 1/15/87, (Callable 2/2/12 @ 100) (a) 1,000,000 738,058 Morgan Stanley, 5.75%, 10/18/16 780,000 833,378 ------------ 6,253,132 ------------ FOOD-MISCELLANEOUS/DIVERSIFIED (0.5%) General Mills, Inc., 5.65%, 2/15/19 (c) 1,250,000 1,430,841 ------------ FOOD-RETAIL (0.4%) Kroger Co. (The), 7.50%, 1/15/14 (c) 1,000,000 1,176,710 ------------ LIFE & HEALTH INSURANCE (0.4%) Prudential Financial, Inc., 3.88%, 1/14/15 1,250,000 1,286,896 ------------ MULTI-LINE INSURANCE (0.4%) MetLife, Inc., 6.75%, 6/1/16 (c) 1,000,000 1,149,725 ------------ MULTIMEDIA (0.7%) Walt Disney Co. (The), 4.70%, 12/1/12 (c) 1,800,000 1,955,365 ------------ NETWORKING PRODUCTS (0.4%) Cisco Systems, Inc., 4.95%, 2/15/19 (c) 1,000,000 1,111,583 ------------ PIPELINES (0.5%) Kinder Morgan Energy Partners L.P., 5.63%, 2/15/15 (c) 1,250,000 1,385,226 ------------ REAL ESTATE INVESTMENT TRUSTS (0.7%) Simon Property Group L.P., 5.63%, 8/15/14 (c) 1,790,000 1,970,688 ------------ REINSURANCE (0.9%) Berkshire Hathaway, Inc., 3.20%, 2/11/15 2,580,000 2,696,541 ------------ RETAIL-DISCOUNT (0.4%) Target Corp., 5.38%, 5/1/17 1,150,000 1,318,263 ------------ RETAIL-DRUG STORE (0.5%) CVS Caremark Corp., 5.75%, 6/1/17 1,275,000 1,434,564 ------------ SUPER-REGIONAL BANKS-U.S. (1.0%) Bank of America Corp., 5.63%, 10/14/16 2,665,000 2,821,950 ------------ TELECOM SERVICES (0.8%) Verizon Communications, Inc., 4.90%, 9/15/15 (c) 2,175,000 2,424,403 ------------ TELEPHONE-INTEGRATED (0.5%) AT&T, Inc., 6.30%, 1/15/38 1,450,000 1,613,944 ------------ TRANSPORTATION-RAIL (0.9%) Burlington Northern Santa Fe LLC, 5.65%, 5/1/17 1,000,000 1,125,261 Union Pacific Corp., 5.45%, 1/31/13 1,380,000 1,513,369 ------------ 2,638,630 ------------ TOTAL CORPORATE BONDS 60,316,144 ------------ FOREIGN BONDS (4.5%) COMMERCIAL BANKS-EASTERN U.S. (0.8%) Credit Suisse, 5.30%, 8/13/19 2,000,000 2,193,316 ------------ OIL COMPANY-EXPLORATION & PRODUCTION (0.7%) Gazprom International SA, 7.20%, 2/1/20 (b) 1,924,833 2,043,788 ------------ OIL COMPANY-INTEGRATED (1.5%) Husky Energy, Inc., 5.90%, 6/15/14 1,360,000 1,527,278 Shell International Finance BV, 4.38%, 3/25/20 2,850,000 3,010,150 ------------ 4,537,428 ------------ SOVEREIGN (1.5%) Brazil, Federal Republic, Series F, 10.00%, 1/1/14 BRL 8,340,000 4,470,317 ------------ TOTAL FOREIGN BONDS 13,244,849 ------------ MORTGAGE-BACKED SECURITIES (17.8%) AGENCY COLLATERAL OTHER (1.2%) Restructured Assets Certificates, Series 2006-9, Class P, 12.07%, 12/31/49 * (b) (e) (i) $ 5,250,000 3,445,575 ------------ CMBS OTHER (5.4%) Bear Stearns Commercial Mortgage Securities, Series 2004-T14, Class A4, 5.20%, 1/12/41 (a) 2,000,000 2,156,015 Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class A4, 5.22%, 7/15/44 (a) 2,960,000 3,217,859 Greenwich Capital Commercial Funding Corp., Series 2002-C1, Class A4, 4.95%, 1/11/35 1,000,000 1,058,487 Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A5, 4.88%, 6/10/36 5,125,000 5,235,564 GS Mortgage Securities Corp. II, Series 2004-GG2, Class A3, 4.60%, 8/10/38 (g) 2,444,631 2,461,874 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A4, 5.20%, 12/15/44 (a) 500,000 542,720 LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A2, 4.55%, 7/15/30 151,639 151,732 Nomura Asset Securities Corp., Series 1998-D6, Class A2, 7.07%, 3/15/30 (a) 1,000,000 1,128,305 ------------ 15,952,556 ------------
Continued 93 TOTAL RETURN BOND SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ---------- ------------- MORTGAGE-BACKED SECURITIES, CONTINUED CMBS SUBORDINATED (2.8%) GS Mortgage Securities Corp. II, Series 2004-C1, Class B, 4.46%, 10/10/28 (a) $ 2,740,000 $ 2,756,862 ------------ GS Mortgage Securities Corp. II, Series 2004-C1, Class C, 4.52%, 10/10/28 (a) 4,093,000 4,123,300 ------------ Salomon Brothers Mortgage Securities VII, Inc., Series 2002-KEY2, Class C, 5.05%, 3/18/36 (a) 1,417,000 1,432,638 ------------ 8,312,800 ------------ WL COLLATERAL CMO MEZZANINE (0.0%) Homebanc Mortgage Trust, Series 2004-1, Class 2M2, 2.05%, 8/25/29 (a) 312,689 83,207 ------------ WL COLLATERAL CMO OTHER (3.7%) Credit Suisse First Boston Mortgage Securities Corp., Series 2004-7, Class 6A1, 5.25%, 10/25/19 938,606 959,229 Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-4, Class A2, 5.05%, 9/25/35 (a) 158,661 157,016 Homebanc Mortgage Trust, Series 2004-2, Class A2, 0.78%, 12/25/34 (a) (g) 1,048,053 671,246 Homebanc Mortgage Trust, Series 2006-1, Class 1A1, 2.64%, 4/25/37 (a) (g) 367,922 236,195 JP Morgan Mortgage Trust, Series 2005-A1, Class 2A1, 4.83%, 2/25/35 (a) 514,356 482,648 JP Morgan Mortgage Trust, Series 2005-A2, Class 3A2, 4.84%, 4/25/35 (a) 2,728,492 2,593,587 JP Morgan Mortgage Trust, Series 2005-A2, Class 7CB1, 4.86%, 4/25/35 (a) 1,779,743 1,684,803 JP Morgan Mortgage Trust, Series 2005-A3, Class 7CA1, 2.92%, 6/25/35 (a) 1,395,531 1,200,704 Morgan Stanley Mortgage Loan Trust, Series 2004-4, Class 3A, 5.00%, 8/25/19 1,193,340 1,213,063 Residential Accredit Loans, Inc., Series 2004-QA1, Class A1, 0.60%, 3/25/34 (a) (g) 821,229 549,687 Structured Asset Securities Corp., Series 2004-21XS, Class 2A6B, 5.15%, 12/25/34 999,607 968,192 ------------ 10,716,370 ------------ WL COLLATERAL CMO SEQUENTIAL (2.1%) Countrywide Alternative Loan Trust, Series 2005-J3, Class 3A1, 6.50%, 9/25/34 253,471 243,349 JP Morgan Alternative Loan Trust, Series 2005-S1, Class 1A2, 5.50%, 12/25/35 1,402,384 1,108,090 JP Morgan Mortgage Trust, Series 2006-A4, Class 2A2, 5.77%, 6/25/36 (a) 379,205 332,764 JP Morgan Mortgage Trust, Series 2006-A7, Class 3A2, 5.91%, 1/25/37 (a) 5,075,000 4,400,030 ------------ 6,084,233 ------------ WL COLLATERAL PAC (0.9%) Countrywide Alternative Loan Trust, Series 2004-2CB, Class 1A1, 4.25%, 3/25/34 601,702 603,339 Countrywide Alternative Loan Trust, Series 2004-30CB, Class 3A1, 5.00%, 2/25/20 2,072,446 2,058,579 ------------ 2,661,918 ------------ WL COLLATERAL SUPPORT (1.7%) Chaseflex Trust, Series 2006-1, Class A6, 6.29%, 6/25/36 (a) 4,884,097 2,801,127 JP Morgan Alternative Loan Trust, Series 2006-S1, Class 1A18, 6.00%, 3/25/36 2,861,142 1,371,248 Nomura Asset Acceptance Corp., Series 2005-AR3, Class 3A2, 3.09%, 7/25/35 (a) 1,354,553 481,959 Nomura Asset Acceptance Corp., Series 2005-AR5, Class 2A2, 4.40%, 10/25/35 (a) 911,384 196,880 ------------ 4,851,214 ------------ TOTAL MORTGAGE-BACKED SECURITIES 52,107,873 ------------ U.S. GOVERNMENT AGENCIES (40.8%) FANNIE MAE (24.7%) 0.58%, 8/25/44 (a) 604,686 596,236 0.63%, 4/25/36 (a) (g) 2,528,628 2,522,548 3.75%, 8/25/18 2,869,507 3,016,754 4.50%, 4/1/20 2,987,249 3,199,591 5.00%, 6/1/23 2,026,003 2,166,470 5.00%, 5/1/25 1,138,206 1,221,457 5.00%, 1/1/34 (g) 7,000,495 7,517,204 5.00%, 6/1/40 859,001 916,391 5.11%, 8/1/34 (a) 56,375 59,293 5.50%, 12/25/20 1,294,814 1,355,046 5.50%, 2/1/25 707,934 766,522 5.50%, 3/1/33 (g) 5,069,050 5,487,902 5.50%, 5/25/34 3,150,000 3,355,734 5.50%, 3/1/35 866,331 936,020 5.50%, 6/1/35 372,504 402,468 5.50%, 11/1/35 751,067 815,384 5.50%, 11/1/36 1,093,899 1,190,137 5.50%, 1/1/37 816,101 886,179 5.50%, 1/1/37 (g) 2,025,286 2,198,667 5.50%, 4/25/37 3,386,007 3,557,503 5.50%, 5/1/37 2,699,330 2,911,678 5.50%, 8/1/37 2,254,588 2,451,682 6.00%, 5/1/17 85,106 92,684 6.00%, 5/1/18 288,849 314,838 6.00%, 2/1/22 1,875,299 2,066,518 6.00%, 1/1/33 228,703 252,648 6.00%, 8/25/33 (a) 1,450,730 1,511,965 6.00%, 7/1/35 2,290,435 2,500,178 6.00%, 9/1/35 1,075,346 1,173,819
Continued 94 TOTAL RETURN BOND SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ---------- ------------- U.S. GOVERNMENT AGENCIES, CONTINUED FANNIE MAE, CONTINUED 6.00%, 1/1/36 (g) $ 2,185,107 $ 2,405,318 6.00%, 12/1/36 624,182 679,780 6.00%, 1/1/37 1,991,154 2,168,513 6.00%, 1/1/38 479,978 522,132 6.00%, 7/1/38 6,007,575 6,531,426 6.00%, 7/1/39 942,763 1,040,776 6.50%, 7/1/16 274,035 298,169 6.50%, 6/1/17 79,370 86,583 6.50%, 8/1/28 86,152 96,262 6.50%, 6/1/29 65,045 72,679 6.50%, 4/1/32 225,381 251,830 6.50%, 6/1/32 348,534 389,436 6.50%, 7/1/32 579,389 647,383 6.50%, 3/1/33 102,657 114,448 6.50%, 8/1/36 237,667 257,498 7.00%, 6/1/32 164,631 189,629 7.00%, 8/1/32 281,632 320,154 7.00%, 9/1/36 590,410 658,761 7.50%, 6/1/28 114,665 130,441 ------------ 72,304,734 ------------ FREDDIE MAC (13.8%) 0.74%, 7/15/36 (a) (g) 741,655 742,084 4.00%, 5/1/19 2,197,717 2,331,996 4.50%, 6/1/34 743,307 783,183 4.50%, 9/1/34 648,775 683,580 5.00%, 12/1/18 793,451 853,545 5.00%, 10/1/21 989,425 1,060,033 5.00%, 2/15/25 3,245,000 3,602,829 5.00%, 8/1/33 286,561 306,691 5.00%, 5/1/34 138,582 148,230 5.00%, 7/1/35 310,638 331,877 5.00%, 8/1/35 717,217 766,255 5.00%, 11/1/35 3,028,127 3,235,168 5.00%, 4/1/36 297,911 318,280 5.00%, 7/1/36 1,212,616 1,293,631 5.00%, 11/1/39 2,194,376 2,340,297 5.21%, 3/1/37 (a) 296,411 315,912 5.60%, 4/1/37 (a) 1,627,468 1,729,841 5.79%, 10/1/36 (a) 1,118,534 1,192,795 5.86%, 3/1/37 (a) (g) 3,302,645 3,559,269 6.00%, 12/15/21 1,326,659 1,372,241 6.00%, 9/1/33 180,502 198,583 6.00%, 2/1/38 3,824,161 4,159,414 6.00%, 5/1/38 783,767 852,477 6.03%, 1/1/37 (a) 3,483,952 3,762,941 6.09%, 2/1/37 (a) 2,707,062 2,921,139 6.50%, 1/1/29 786,756 875,274 6.50%, 7/1/32 110,129 122,520 6.50%, 9/1/32 48,687 54,135 6.86%, 7/15/32, IO (a) (i) 4,534,871 204,104 7.00%, 6/1/26 358,766 400,934 7.00%, 1/1/32 62,564 71,152 ------------ 40,590,410 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (2.3%) 0.42%, 3/16/46, IO (a) (i) 12,559,392 299,594 0.47%, 4/16/46, IO (a) (i) 57,607,672 1,462,515 0.64%, 6/16/49, IO (a) (i) 50,703,242 2,213,480 0.82%, 2/16/48, IO (a) (i) 49,773,974 1,769,923 0.98%, 2/16/48, IO (a) (i) 14,471,689 638,122 1.02%, 6/17/45, IO (a) (i) 10,494,371 320,422 ------------ 6,704,056 ------------ TOTAL U.S. GOVERNMENT AGENCIES 119,599,200 ------------ U.S. TREASURY OBLIGATIONS (5.0%) U.S. TREASURY NOTES (3.7%) 1.25%, 7/15/20 (c) (f) 10,734,507 10,852,758 ------------ U.S. TREASURY STRIPS (1.3%) 8.21%, 11/15/27 ** (g) 7,400,000 3,757,069 ------------ TOTAL U.S. TREASURY OBLIGATIONS 14,609,827 ------------ SHARES ---------- INVESTMENT COMPANIES (4.7%) State Street Navigator Securities Lending Portfolio (j) 13,892,270 13,892,270 ------------ TOTAL INVESTMENT COMPANIES 13,892,270 ------------ PREFERRED STOCKS (1.2%) OFFICE AUTOMATION & EQUIPMENT (0.5%) Pitney Bowes International Holdings, Inc., Series F, 6.13%(a) (b) 1,250 1,307,031 ------------ SOVEREIGN AGENCY (0.0%) Fannie Mae, 8.25% (a) 160,000 54,400 Freddie Mac, 8.38% (a) 161,000 61,985 ------------ 116,385 ------------ SUPER-REGIONAL BANKS-U.S. (0.7%) Wells Fargo Capital XII, 7.88% 80,000 2,105,600 ------------ TOTAL PREFERRED STOCKS 3,529,016 ------------ INVESTMENTS IN AFFILIATES (3.0%) Fifth Third Institutional Money Market Fund (d) 8,631,926 8,631,926 ------------ TOTAL INVESTMENTS IN AFFILIATES 8,631,926 ------------ TOTAL INVESTMENTS (COST $314,143,817) - 103.7% 303,943,583 LIABILITIES IN EXCESS OF OTHER ASSETS - (3.7)% (10,779,951) ------------ NET ASSETS - 100.0% $293,163,632 ============
Continued 95 TOTAL RETURN BOND SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS * Non-income producing security. ** Rate represents the effective yield at purchase. (a) Variable rate security. Rate presented represents rate in effect at July 31, 2010. (b) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund's advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. (c) All or part of this security was on loan. (d) Investment is in Institutional Shares of underlying fund. (e) The Fund's security was fair valued at July 31, 2010 using procedures approved by the Board of Trustees. (f) Treasury Inflation Protected Securities. A U.S. Treasury Note or Bond that offers protection from inflation by paying a fixed rate of interest on principal amount that is adjusted for inflation based on the Consumer Price Index. (g) All or part of this security has been designated as collateral for futures and swap contracts. (h) Perpetual Maturity. Callable any time after first call date. Maturity date is next call date. (i) Illiquid Securities. (j) Represents investments of cash collateral received in connection with securities lending. The following abbreviations are used in the Schedule of Investments: ABS - Asset-Backed Security BRL - Brazilian Real CMBS - Comercial Mortgage-Backed Security CMO - Collateralized Mortgage Obligation IO - Interest Only PAC - Planned Amortization Class WL - Whole Loan See notes to schedules of investments and notes to financial statements. SHORT TERM BOND SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ---------- ------------ ASSET-BACKED SECURITIES (6.7%) AUTOMOBILES SEQUENTIAL (3.3%) BMW Vehicle Lease Trust, Series 2009-1, Class A2, 2.04%, 4/15/11 $ 106,783 $ 106,850 Chrysler Financial Auto Securitization Trust, Series 2009-A, Class A3, 2.82%, 1/15/16 2,500,000 2,553,072 Ford Credit Auto Owner Trust, Series 2009-B, Class A2, 2.10%, 11/15/11 349,232 349,817 Ford Credit Auto Owner Trust, Series 2009-D, Class A3, 2.17%, 10/15/13 800,000 812,518 Honda Auto Receivables Owner Trust, Series 2009-3, Class A3, 2.31%, 5/15/13 1,030,000 1,047,493 Hyundai Auto Receivables Trust, Series 2009-A, Class A4, 3.15%, 3/15/16 3,000,000 3,149,710 Nissan Auto Lease Trust, Series 2009-B, Class A2, 1.22%, 9/15/11 702,576 703,147 Volkswagen Auto Lease Trust, Series 2009-A, Class A2, 2.87%, 7/15/11 275,634 276,622 World Omni Auto Receivables Trust, Series 2009-A, Class A2, 2.88%, 10/17/11 577,278 578,684 ------------ 9,577,913 ------------ CREDIT CARD BULLET (2.6%) Chase Issuance Trust, Series 2005-A10, Class A10, 4.65%, 12/17/12 (e) 3,000,000 3,026,274 Discover Card Master Trust, Series 2010-A1, Class A1, 0.99%, 9/15/15 (a) 2,100,000 2,116,329 GE Capital Credit Card Master Note Trust, Series 2009-3, Class A, 2.54%, 9/15/14 2,300,000 2,339,894 ------------ 7,482,497 ------------ HOME EQUITY SEQUENTIAL (0.6%) GMAC Mortgage Corp. Loan Trust, Series 2006-HE2, Class A2, 6.18%, 5/25/36 (a) 1,731,682 1,599,906 ------------ OTHER ABS (0.2%) SVO VOI Mortgage Corp., Series 2005-AA, Class A, 5.25%, 2/20/21 (b) (f) 565,786 566,610 ------------ TOTAL ASSET-BACKED SECURITIES 19,226,926 ------------ CORPORATE BONDS (21.7%) BREWERY (0.5%) Anheuser-Busch InBev Worldwide, Inc., 2.50%, 3/26/13 (b) 1,500,000 1,524,918 ------------ CABLE TV (0.4%) Comcast Cable Communications LLC, 6.75%, 1/30/11 (c) 1,000,000 1,027,700 ------------
See notes to schedules of investments and notes to financial statements. Continued 96 SHORT TERM BOND SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ---------- ------------- CORPORATE BONDS, CONTINUED CELLULAR TELECOM (0.4%) New Cingular Wireless Services, Inc., 7.88%, 3/1/11 $ 1,250,000 $ 1,301,492 ------------ COMMERCIAL BANKS (0.7%) Ally Financial, Inc., 2.20%, 12/19/12 (c) 2,000,000 2,064,584 ------------ COMMERCIAL BANKS-CENTRAL U.S. (0.5%) US Bank NA, 6.38%, 8/1/11 1,275,000 1,344,490 ------------ COMMERCIAL BANKS-SOUTHERN U.S. (0.5%) BB&T Corp., 3.85%, 7/27/12 1,500,000 1,571,606 ------------ COMMERCIAL BANKS-WESTERN U.S. (0.7%) American Express Bank FSB, Series G, 3.15%, 12/9/11 (c) 2,000,000 2,070,046 ------------ COSMETICS & TOILETRIES (1.0%) Procter & Gamble Co. (The), 1.38%, 8/1/12 2,700,000 2,730,569 ------------ DIVERSIFIED FINANCIAL SERVICES (1.5%) General Electric Capital Corp., 0.51%, 8/15/11 (a) 2,500,000 2,497,930 General Electric Capital Corp., 4.88%, 10/21/10 (c) 438,000 441,977 IBM International Group Capital LLC, 5.05%, 10/22/12 1,250,000 1,363,489 ------------ 4,303,396 ------------ ELECTRIC UTILITIES (0.6%) FPL Group Capital, Inc., 5.35%, 6/15/13 1,515,000 1,661,093 ------------ ELECTRIC-INTEGRATED (1.1%) Duke Energy Ohio, Inc., 2.10%, 6/15/13 2,000,000 2,040,568 PSEG Power LLC, 2.50%, 4/15/13 (b) 1,000,000 1,021,656 ------------ 3,062,224 ------------ FINANCE-CREDIT CARD (0.4%) American Express Credit Corp., 5.00%, 12/2/10 1,100,000 1,113,506 ------------ FINANCE-INVESTMENT BANKER/BROKER (4.2%) Bear Stearns Cos. LLC (The), 5.35%, 2/1/12 (c) 2,000,000 2,121,960 Citigroup Funding, Inc., 1.88%, 10/22/12 2,350,000 2,404,699 Citigroup, Inc., 6.00%, 2/21/12 1,000,000 1,057,357 Credit Suisse USA, Inc., 6.13%, 11/15/11 1,500,000 1,591,069 Goldman Sachs Group, Inc. (The), 3.25%, 6/15/12 (c) 1,500,000 1,572,324 Goldman Sachs Group, Inc. (The), 6.60%, 1/15/12 1,500,000 1,601,168 Morgan Stanley, 6.75%, 4/15/11 1,500,000 1,559,742 ------------ 11,908,319 ------------ FOOD-RETAIL (0.5%) Kroger Co. (The), 6.20%, 6/15/12 1,250,000 1,359,176 ------------ LIFE & HEALTH INSURANCE (0.4%) Prudential Financial, Inc., 2.75%, 1/14/13 1,100,000 1,115,586 ------------ MEDICAL-DRUGS (1.9%) Novartis Capital Corp., 1.90%, 4/24/13 2,300,000 2,354,503 Pfizer, Inc., 4.45%, 3/15/12 3,000,000 3,171,336 ------------ 5,525,839 ------------ NETWORKING PRODUCTS (0.9%) Cisco Systems, Inc., 5.25%, 2/22/11 2,500,000 2,562,490 ------------ OIL COMPANY-INTEGRATED (0.4%) Chevron Corp., 3.45%, 3/3/12 (c) 1,250,000 1,301,705 ------------ REINSURANCE (1.1%) Berkshire Hathaway, Inc., 0.86%, 2/11/13 (a) 3,000,000 3,010,347 ------------ RETAIL-DISCOUNT (1.1%) Wal-Mart Stores, Inc., 4.25%, 4/15/13 3,000,000 3,246,033 ------------ SUPER-REGIONAL BANKS-U.S. (2.5%) Bank of America Corp., 6.25%, 4/15/12 1,150,000 1,224,318 PNC Funding Corp., 1.88%, 6/22/11 2,000,000 2,026,660 SunTrust Banks, Inc., 5.25%, 11/5/12 1,250,000 1,318,766 Wells Fargo & Co., 5.25%, 10/23/12 2,500,000 2,691,552 ------------ 7,261,296 ------------ TRANSPORTATION-RAIL (0.4%) Union Pacific Corp., 5.45%, 1/31/13 1,000,000 1,096,644 ------------ TOTAL CORPORATE BONDS 62,163,059 ------------ FOREIGN BONDS (6.0%) COMMERCIAL BANKS NON-U.S. (2.9%) Bank of Montreal, 2.13%, 6/28/13 2,775,000 2,837,141 Bank of Nova Scotia, 2.25%, 1/22/13 3,200,000 3,288,128 Barclays Bank PLC, 5.45%, 9/12/12 2,000,000 2,143,174 ------------ 8,268,443 ------------ MONEY CENTER BANKS (0.5%) Deutsche Bank AG, 2.38%, 1/11/13 1,500,000 1,518,015 ------------ OIL COMPANY-INTEGRATED (1.3%) Conoco Funding Co., 6.35%, 10/15/11 1,000,000 1,065,309 Shell International Finance BV, 1.30%, 9/22/11 (c) 2,650,000 2,670,795 ------------ 3,736,104 ------------ REGIONAL AUTHORITY (0.9%) Province of Ontario Canada, Series 1, 1.88%, 11/19/12 2,500,000 2,543,482 ------------ SOVEREIGN (0.4%) Brazil, Federal Republic, Series F, 10.00%, 1/1/14 BRL 2,100,000 1,125,619 ------------ TOTAL FOREIGN BONDS 17,191,663 ------------
Continued 97 SHORT TERM BOND SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ---------- ------------- MORTGAGE-BACKED SECURITIES (13.1%) CMBS OTHER (5.1%) Banc of America Commercial Mortgage, Inc., Series 2002-2, Class A3, 5.12%, 7/11/43 $ 2,500,000 $ 2,611,958 Banc of America Commercial Mortgage, Inc., Series 2004-4, Class A3, 4.13%, 7/10/42 (e) 265,995 265,842 Credit Suisse First Boston Mortgage Securities Corp., Series 2003-CK2, Class A4, 4.80%, 3/15/36 2,025,000 2,153,573 Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C3, Class A3, 4.30%, 7/15/36 (e) 578,781 578,300 GE Capital Commercial Mortgage Corp., Series 2005-C1, Class A2, 4.35%, 6/10/48 1,371,425 1,387,333 Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A2, 4.31%, 8/10/42 (e) 1,764,391 1,793,443 GS Mortgage Securities Corp. II, Series 2004-GG2, Class A3, 4.60%, 8/10/38 1,247,261 1,256,058 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2001-C1, Class A3, 5.86%, 10/12/35 1,983,666 2,057,741 LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A2, 4.55%, 7/15/30 808,742 809,238 Morgan Stanley Dean Witter Capital I, Series 2002-IQ2, Class A4, 5.74%, 12/15/35 1,699,872 1,784,693 ------------ 14,698,179 ------------ WL COLLATERAL CMO OTHER (6.0%) Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-1, Class 13A3, 4.73%, 4/25/34 (a) 1,486,121 1,467,424 Bear Stearns Asset Backed Securities Trust, Series 2003-AC7, Class A2, 5.25%, 1/25/34 853,591 802,203 Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB5, Class 4A1, 3.40%, 4/20/35 (a) 1,222,298 1,001,399 Harborview Mortgage Loan Trust, Series 2004-5, Class 2A6, 2.48%, 6/19/34 (a) (e) 5,267,592 4,550,341 Homebanc Mortgage Trust, Series 2004-2, Class A2, 0.78%, 12/25/34 (a) 844,731 541,024 Homebanc Mortgage Trust, Series 2006-1, Class 1A1, 2.64%, 4/25/37 (a) 1,287,726 826,683 JP Morgan Alternative Loan Trust, Series 2006-S2, Class A2, 5.81%, 5/25/36 831,711 814,637 JP Morgan Mortgage Trust, Series 2005-A1, Class 3A3, 4.90%, 2/25/35 (a) 1,117,521 1,132,217 JP Morgan Mortgage Trust, Series 2005-A2, Class 5A1, 4.31%, 4/25/35 (a) 1,253,492 1,226,170 JP Morgan Mortgage Trust, Series 2005-A3, Class 7CA1, 2.92%, 6/25/35 (a) (e) 2,236,339 1,924,128 Merrill Lynch Mortgage Investors, Inc., Series 2003-A1, Class 2A, 2.83%, 12/25/32 (a) 56,648 59,264 Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.80%, 10/25/35 (a) 1,266,590 1,206,446 Residential Funding Mortgage Securities I, Series 2007-SA1, Class 1A1, 3.80%, 2/25/37 (a) (e) 2,387,625 1,453,066 ------------ 17,005,002 ------------ WL COLLATERAL CMO SEQUENTIAL (1.9%) Chase Mortgage Finance Corp., Series 2005-A1, Class 2A2, 5.21%, 12/25/35 (a) 946,564 878,511 JP Morgan Alternative Loan Trust, Series 2006-S3, Class A2A, 5.87%, 8/25/36 (e) 1,684,384 1,527,428 JP Morgan Mortgage Trust, Series 2006-A4, Class 2A2, 5.77%, 6/25/36 (a) 1,194,497 1,048,207 JP Morgan Mortgage Trust, Series 2007-A2, Class 4A1M, 5.74%, 4/25/37 (a) 1,219,566 1,157,002 RAAC Series, Series 2005-SP1, Class 2A2, 5.25%, 9/25/34 889,030 913,547 ------------ 5,524,695 ------------ WL COLLATERAL PAC (0.1%) Countrywide Alternative Loan Trust, Series 2004-2CB, Class 1A1, 4.25%, 3/25/34 342,830 343,763 ------------ TOTAL MORTGAGE-BACKED SECURITIES 37,571,639 ------------ MUNICIPAL BONDS (0.0%) OHIO (0.0%) State of Ohio, Economic Enterprise, Series 3, 4.05%, 3/1/11 115,000 115,796 ------------ TOTAL MUNICIPAL BONDS 115,796 ------------ U.S. GOVERNMENT AGENCIES (44.1%) FANNIE MAE (5.7%) 1.25%, 6/22/12 (c) 4,000,000 4,046,412 1.75%, 5/7/13 (c) 4,000,000 4,088,636 1.80%, 2/8/13 3,225,000 3,261,523 2.00%, 9/28/12 2,250,000 2,255,175 2.65%, 4/1/33 (a) 781,993 810,839 2.96%, 4/1/35 (a) 885,620 922,296 5.27%, 9/1/34 (a) 870,231 914,964 ------------ 16,299,845 ------------ FANNIE MAE PREPAYMENT LINK NOTE, SERIES 2005-4, CLASS 1 (0.6%) 4.65%, 12/25/12 1,621,871 1,695,869 ------------
Continued 98 SHORT TERM BOND SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ---------- ------------- U.S. GOVERNMENT AGENCIES, CONTINUED FEDERAL FARM CREDIT BANK (6.5%) 1.38%, 6/25/13 (c) $ 4,000,000 $ 4,054,532 1.75%, 2/21/13 (c) 3,000,000 3,056,895 1.88%, 12/7/12 6,350,000 6,504,965 2.13%, 6/18/12 (c) 3,000,000 3,083,193 2.25%, 4/24/12 2,000,000 2,056,294 ------------ 18,755,879 ------------ FEDERAL HOME LOAN BANK (19.0%) 1.40%, 7/12/13 3,000,000 3,018,651 1.63%, 7/27/11 4,000,000 4,050,204 1.63%, 3/20/13 (c) 3,000,000 3,056,196 1.63%, 6/14/13 (c) 5,000,000 5,093,755 1.75%, 3/8/13 5,000,000 5,116,030 1.88%, 11/19/12 3,000,000 3,012,912 1.88%, 6/21/13 (c) 2,700,000 2,770,573 2.05%, 8/10/12 2,500,000 2,535,060 3.13%, 12/13/13 3,750,000 3,996,956 3.63%, 7/1/11 (c) 7,000,000 7,216,146 3.63%, 10/18/13 (c) 4,000,000 4,328,428 3.75%, 9/9/11 5,000,000 5,185,920 4.75%, 10/25/10 1,710,977 1,727,830 4.88%, 11/18/11 (c) 3,000,000 3,170,598 ------------ 54,279,259 ------------ FREDDIE MAC (8.5%) 1.63%, 4/15/13 (c) 3,500,000 3,567,928 1.70%, 12/17/12 3,000,000 3,011,952 2.00%, 4/27/12 3,000,000 3,032,052 2.13%, 3/23/12 3,000,000 3,076,146 2.13%, 9/21/12 (c) 4,000,000 4,117,448 2.82%, 3/1/34 (a) 999,359 1,051,092 4.25%, 12/15/19 1,962,065 2,088,093 4.41%, 7/1/35 (a) (e) 1,524,062 1,580,809 4.50%, 7/15/28 (e) 1,145,817 1,156,063 5.60%, 4/1/37 (a) 1,460,262 1,552,117 ------------ 24,233,700 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (3.8%) 2.87%, 2/16/20 (e) 1,590,068 1,605,042 3.72%, 12/16/26 (e) 2,278,115 2,312,245 3.95%, 11/16/30 (e) 2,908,276 3,023,891 4.00%, 5/16/27 1,680,348 1,751,003 4.09%, 8/16/30 1,988,283 2,057,137 ------------ 10,749,318 ------------ TOTAL U.S. GOVERNMENT AGENCIES 126,013,870 ------------ U.S. TREASURY OBLIGATIONS (6.4%) U.S. TREASURY NOTES (6.4%) 1.38%, 2/15/13 6,000,000 6,100,314 1.38%, 3/15/13 6,000,000 6,101,700 1.50%, 7/15/12 (c) 6,000,000 6,115,548 ------------ 18,317,562 ------------ TOTAL U.S. TREASURY OBLIGATIONS 18,317,562 ------------ SHARES ---------- INVESTMENT COMPANIES (16.7%) State Street Navigator Securities Lending Portfolio (g) 47,968,620 47,968,620 ------------ TOTAL INVESTMENT COMPANIES 47,968,620 ------------ INVESTMENTS IN AFFILIATES (1.4%) Fifth Third Institutional Money Market Fund (d) 4,035,053 4,035,053 ------------ TOTAL INVESTMENTS IN AFFILIATES 4,035,053 ------------ TOTAL INVESTMENTS (COST $331,433,897) - 116.1% 332,604,188 LIABILITIES IN EXCESS OF OTHER ASSETS - (16.1)% (46,098,858) ------------ NET ASSETS - 100.0% $286,505,330 ============
NOTES TO SCHEDULE OF INVESTMENTS (a) Variable rate security. Rate presented represents rate in effect at July 31, 2010. (b) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The this security to be liquid based upon procedures approved by the Board of Trustees. (c) All or part of this security was on loan. (d) Investment is in Institutional Shares of underlying fund. (e) All or part of this security has been designated as collateral for futures contracts. (f) Illiquid Securities. (g) Represents investments of cash collateral received in connection with securities lending. The following abbreviations are used in the Schedule of Investments: ABS - Asset-Backed Security BRL - Brazilian Real CMBS - Commercial Mortgage-Backed Security CMO - Collateralized Mortgage Obligation PAC - Planned Amortization Class WL - Whole Loan At July 31, 2010, Short Term Bond's investments were in the following countries:
COUNTRY ----------------------------------------- Brazil 0.3% Canada 2.9% Germany 0.5% Great Britain 0.7% Netherlands 0.8% United States 94.8% ------ TOTAL 100.0% ======
See notes to schedules of investments and notes to financial statements. Continued 99 FIFTH THIRD FUNDS NOTES TO SCHEDULES OF INVESTMENTS JULY 31, 2010 -------------------------------------------------------------------------------- Cost and appreciation (depreciation) of investments for federal income tax purposes at July 31, 2010 is as follows:
COST OF NET INVESTMENTS GROSS GROSS UNREALIZED FOR FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX PURPOSES APPRECIATION (DEPRECIATION) (DEPRECIATION) ------------ ------------ -------------- -------------- Small Cap Growth $ 49,137,516 $ 9,058,188 $ (1,866,814) $ 7,191,374 Mid Cap Growth 89,087,395 10,369,486 (2,875,120) 7,494,366 Quality Growth 274,411,112 42,941,286 (6,876,660) 36,064,626 Dividend Growth 8,372,392 1,091,468 (153,426) 938,042 Micro Cap Value 34,640,666 4,356,849 (2,435,590) 1,921,259 Small Cap Value 59,535,850 7,291,819 (3,652,985) 3,638,834 All Cap Value 143,167,967 11,671,547 (11,279,008) 392,539 Disciplined Large Cap Value 328,544,855 41,292,450 (13,936,745) 27,355,705 Structured Large Cap Plus 72,155,889 14,844,199 (5,111,367) 9,732,832 Equity Index 159,521,858 137,921,481 (13,814,672) 124,106,809 International Equity 239,965,694 24,936,191 (8,416,112) 16,520,079 Strategic Income 124,569,889 5,727,770 (5,101,026) 626,744 LifeModel Aggressive(SM) 135,473,426 1,469,202 (27,532,424) (26,063,222) LifeModel Moderately Aggressive(SM) 212,586,871 3,148,526 (29,445,825) (26,297,299) LifeModel Moderate(SM) 287,705,137 2,878,703 (34,725,910) (31,847,207) LifeModel Moderately Conservative(SM) 62,487,497 986,574 (6,772,861) (5,786,287) LifeModel Conservative(SM) 42,790,914 343,265 (4,180,630) (3,837,365) High Yield 61,582,899 2,414,109 (1,005,484) 1,408,625 Total Return Bond 314,228,717 14,721,060 (25,006,194) (10,285,134) Short Term Bond 331,440,821 4,911,436 (3,748,069) 1,163,367
Futures contracts
UNREALIZED NUMBER OF NOTIONAL APPRECIATION/ MARKET CONTRACTS TYPE DESCRIPTION AMOUNT (DEPRECIATION) VALUE ---------- ---------------------------------------- ------------ -------------- ----------- Structured Large Cap Plus 9 Long S+P 500 Index Futures, 9/16/10 $ 2,441,172 $ 30,003 $ 2,471,175 === =========== ======== =========== Equity Index 36 Long S+P 500 Index Futures, 9/16/10 9,748,139 136,561 9,884,700 === =========== ======== =========== International Equity 3 Long ASX SPI 200 Index Futures, 9/16/10 306,840 (4,014) 302,826 3 Long Australian Dollar Futures, 9/13/10 251,845 17,825 269,670 8 Long British Pound Futures, 9/13/10 735,227 49,423 784,650 DJ EURO STOXX 50 Index 36 Long Futures, 9/17/10 1,246,588 41,185 1,287,773 7 Long Euro Currency Futures, 9/13/10 1,059,211 83,014 1,142,225 10 Long FTSE 100 Index Futures, 9/17/10 804,526 18,493 823,019 6 Long Japanese Yen Futures, 9/13/10 823,258 45,617 868,875 9 Long TOPIX Index Futures, 9/10/10 881,093 1,250 882,343 --- ----------- -------- ----------- 82 6,108,588 252,793 6,361,381 === =========== ======== =========== Total Return Bond 35 Long U.S. Treasury 10--Year Note, 9/21/10 4,211,027 122,411 4,333,438 45 Long U.S. Treasury 30--Year Note, 9/21/10 5,582,224 210,120 5,792,344 --- ----------- -------- ----------- 80 9,793,251 332,531 10,125,782 === =========== ======== =========== Short Term Bond 15 Long U.S. Treasury 2--Year Note, 9/30/10 3,270,038 16,837 3,286,875 === =========== ======== ===========
See notes to financial statements. 100 FIFTH THIRD FUNDS NOTES TO SCHEDULES OF INVESTMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- Foreign currency contracts
NET DELIVERY UNREALIZED UNREALIZED APPRECIATION FUND COUNTERPARTY DATE APPRECIATION (DEPRECIATION) (DEPRECIATION) ------------------------------------------------ -------------- -------- ------------ -------------- -------------- STRATEGIC INCOME ---------------------------------------------------------------------------------- 502,543 Canadian Dollar (buy) vs. 47,125,000 Japanese Yen (sell) UBS Warburg 10/7/10 $ -- $ (57,390) $ (57,390) 3,001,726 Norwegian Krone (buy) vs. 47,125,000 Japanese Yen (sell) UBS Warburg 10/7/10 -- (53,398) (53,398) ----------- --------- --------- $ -- $(110,788) $(110,788) =========== ========= =========
Credit default swaps on credit indices -- sell protection(1)
UPFRONT (PAY)/RECEIVE EXPIRATION NOTIONAL MARKET PREMIUMS UNREALIZED FUND CONTRACT TYPE COUNTERPARTY FIXED RATE DATE AMOUNT(2) VALUE(3) PAID/(RECEIVED) APPRECIATION ------------ --------------- -------------- -------------- ----------- ---------- --------- ---------------- ------------ Strategic Markit CDX N.A. Income Fund IG--14 Index UBS Warburg 0.40% 6/20/15 $2,000,000 $(4,557) $(21,490) $16,934 ---------- -------- ---------- ------- Total Return Markit CDX N.A. Bond IG--14 Index UBS Warburg 0.40% 6/20/15 5,000,000 (11,393) (40,025) 28,632 ========== ======== ========= =======
(1)If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i)pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or(ii)payanet settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. (2)The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. (3)The quoted market prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agrreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. See notes to financial statements. 101 FIFTH THIRD FUNDS STATEMENTS OF ASSETS AND LIABILITIES JULY 31, 2010 --------------------------------------------------------------------------------
SMALL CAP MID CAP QUALITY ASSETS: GROWTH GROWTH GROWTH ------------ ------------ ------------ Investments, at cost $ 47,446,031 $ 88,159,401 $269,402,445 Net unrealized appreciation 7,427,688 8,422,236 36,884,102 ------------ ------------ ------------ Investments, at value 54,873,719 96,581,637 306,286,547 Investment in affiliates, at value (cost $1,455,171, $124, $4,189,191, $36,255, $3,635,520, $2,550,317, $4,657,177, $3,415,803, $2,113,332, and $9,597,999; respectively) 1,455,171 124 4,189,191 ------------ ------------ ------------ Total Investments 56,328,890 96,581,761 310,475,738 Cash 26,838 -- -- Deposit at broker -- -- -- Interest, dividends and other receivables 5,547 17,568 188,815 Receivable for investments sold -- 2,367,474 4,140,826 Receivable for Fund shares sold 5,934 2,612 26,453 Receivable for variation margin on futures contracts -- -- -- Receivable from Advisor and affiliates -- -- -- Prepaid expenses and other assets 24,577 29,916 33,024 ------------ ------------ ------------ Total Assets 56,391,786 98,999,331 314,864,856 ------------ ------------ ------------ LIABILITIES: Securities sold short at value (Proceeds $--, $--, $--, $-- $--, $--, $--, $--, $--, $25,630,295, and $--; respectively) -- -- -- Cash overdraft -- 204,752 -- Payable for investments purchased 408,933 1,198,084 379 Payable upon return of securities loaned 12,511,020 15,393,827 20,050,161 Payable for Fund shares redeemed 12,211 32,167 266,115 Accrued expenses and other payables: Payable to Advisor and affiliates 24,681 38,480 226,216 Distribution and administrative servicing fee 1,828 3,502 15,102 Payable for dividends on securities sold short -- -- -- Other 21,131 31,104 63,123 ------------ ------------ ------------ Total Liabilities 12,979,804 16,901,916 20,621,096 ------------ ------------ ------------ NET ASSETS: Paid-in Capital 50,744,700 122,603,699 302,440,604 Accumulated net investment income (loss) 831 -- 326,830 Accumulated net realized gain/(loss) from investment transactions and futures (14,761,237) (48,928,520) (45,407,776) Net unrealized appreciation on investments and futures 7,427,688 8,422,236 36,884,102 ------------ ------------ ------------ Net Assets $ 43,411,982 $ 82,097,415 $294,243,760 ============ ============ ============ Market value of securities loaned $ 12,190,237 $ 15,048,477 $ 19,618,545 ============ ============ ============ Net Assets: Institutional Shares $ 35,913,839 $ 68,704,755 $232,350,137 Class A Shares 7,035,781 12,084,445 58,197,636 Class B Shares 351,363 1,062,158 2,562,533 Class C Shares 110,999 246,057 1,133,454 Select Shares NA NA NA Preferred Shares NA NA NA Trust Shares NA NA NA ------------ ------------ ------------ Total $ 43,411,982 $ 82,097,415 $294,243,760 ============ ============ ============ Shares of beneficial interest outstanding (Unlimited number of shares authorized, no par value): Institutional Shares 5,098,407 7,934,225 17,293,901 Class A Shares 1,076,080 1,474,426 4,464,421 Class B Shares 59,481 145,831 212,049 Class C Shares 18,825 36,174 96,912 Select Shares NA NA NA Preferred Shares NA NA NA Trust Shares NA NA NA ------------ ------------ ------------ Total 6,252,793 9,590,656 22,067,283 ============ ============ ============ Net Asset Value Institutional Shares $ 7.04 $ 8.66 $ 13.44 ============ ============ ============ Class A Shares-redemption price per share $ 6.54 $ 8.20 $ 13.04 ============ ============ ============ Class B Shares-offering price per share* $ 5.91 $ 7.28 $ 12.08 ============ ============ ============ Class C Shares-offering price per share* $ 5.90 $ 6.80 $ 11.70 ============ ============ ============ Select Shares NA NA NA ============ ============ ============ Preferred Shares NA NA NA ============ ============ ============ Trust Shares NA NA NA ============ ============ ============ Maximum Sales Charge Class A Shares 5.00% 5.00% 5.00% Maximum Offering Price (100%/(100%-Maximum sales charge) of net asset value adjusted to the nearest cent) per share Class A Shares $ 6.88 $ 8.63 $ 13.73 ============ ============ ============
------------------------ * Redemption price per share varies by length of time shares are held. See notes to financial statements. 102 FIFTH THIRD FUNDS STATEMENTS OF ASSETS AND LIABILITIES JULY 31, 2010 --------------------------------------------------------------------------------
DISCIPLINED STRUCTURED DIVIDEND MICRO CAP SMALL CAP ALL CAP LARGE CAP LARGE CAP EQUITY GROWTH VALUE VALUE VALUE VALUE PLUS INDEX ------------ ------------ ------------ ------------ ------------ ------------ ------------ $ 8,294,008 $29,306,177 $ 56,119,623 $134,947,169 $316,770,330 $ 95,596,016 $145,562,199 980,171 3,620,228 4,504,744 3,956,160 35,714,427 7,475,409 128,485,986 ----------- ----------- ------------ ------------ ------------ ------------ ------------ 9,274,179 32,926,405 60,624,367 138,903,329 352,484,757 103,071,425 274,048,185 36,255 3,635,520 2,550,317 4,657,177 3,415,803 2,113,332 9,580,482 ----------- ----------- ------------ ------------ ------------ ------------ ------------ 9,310,434 36,561,925 63,174,684 143,560,506 355,900,560 105,184,757 283,628,667 2,991 137 -- -- -- 32,489 -- -- -- -- -- -- 202,500 -- 7,228 4,657 10,029 124,598 450,267 141,683 470,122 225,837 66,891 -- 1,074,827 -- -- -- 2,772 170,613 118,574 62,944 654,626 -- 489,992 -- -- -- -- -- 2,925 11,700 6,034 -- -- -- -- -- -- 24,158 27,754 32,329 26,892 32,192 18,358 27,338 ----------- ----------- ------------ ------------ ------------ ------------ ------------ 9,579,454 36,831,977 63,335,616 144,849,767 357,037,645 105,582,712 284,627,819 ----------- ----------- ------------ ------------ ------------ ------------ ------------ -- -- -- -- -- 23,296,036 -- -- -- 26,111 -- -- -- -- 189,283 38,623 280 1,406,726 475 217 890 2,045,694 -- -- 12,709,262 11,535,237 -- 10,846,128 4,151 23,735 17,519 99,589 1,113,453 292 276,753 -- 18,815 49,790 87,877 232,537 36,866 15,390 844 5,537 1,626 13,996 42,243 1,964 22,388 -- -- -- -- -- 7,378 -- 17,164 27,137 17,932 44,709 39,115 33,721 38,164 ----------- ----------- ------------ ------------ ------------ ------------ ------------ 2,257,136 113,847 113,258 14,362,159 12,963,060 23,376,474 11,199,713 ----------- ----------- ------------ ------------ ------------ ------------ ------------ 13,274,980 40,566,278 69,313,460 167,260,584 427,864,510 133,991,184 139,521,081 7,144 104,349 23,535 58,666 511,351 (114,577) 515,236 (6,939,977) (7,572,725) (10,619,381) (40,787,802) (120,015,703) (61,508,972) 4,786,763 980,171 3,620,228 4,504,744 3,956,160 35,714,427 9,838,603 128,605,026 ----------- ----------- ------------ ------------ ------------ ------------ ------------ $ 7,322,318 $36,718,130 $ 63,222,358 $130,487,608 $344,074,585 $ 82,206,238 $273,428,106 =========== =========== ============ ============ ============ ============ ============ $ 2,047,894 $ -- $ -- $ 12,397,700 $ 16,448,565 $ -- $ 10,768,643 =========== =========== ============ ============ ============ ============ ============ $ 5,126,728 $21,195,207 $ 59,572,212 $ 86,521,403 $331,331,620 $ 76,896,677 $148,671,427 1,962,915 11,648,897 2,241,600 35,730,458 10,844,957 5,028,172 37,145,922 70,445 998,455 580,937 4,182,173 1,314,536 233,439 1,380,516 162,230 2,875,571 827,609 4,053,574 583,472 47,950 1,031,628 NA NA NA NA NA NA 8,841,354 NA NA NA NA NA NA 44,377,959 NA NA NA NA NA NA 31,979,300 ----------- ----------- ------------ ------------ ------------ ------------ ------------ $ 7,322,318 $36,718,130 $ 63,222,358 $130,487,608 $344,074,585 $ 82,206,238 $273,428,106 =========== =========== ============ ============ ============ ============ ============ 256,275 5,412,026 3,646,265 6,272,614 35,179,345 7,637,262 7,088,922 99,957 3,207,013 138,779 2,638,507 1,155,481 506,156 1,777,586 3,714 307,559 37,665 325,943 138,485 23,621 66,456 8,828 884,673 53,848 316,818 62,920 4,848 49,713 NA NA NA NA NA NA 421,704 NA NA NA NA NA NA 2,117,134 NA NA NA NA NA NA 1,525,116 ----------- ----------- ------------ ------------ ------------ ------------ ------------ 368,774 9,811,271 3,876,557 9,553,882 36,536,231 8,171,887 13,046,631 =========== =========== ============ ============ ============ ============ ============ $ 20.00 $ 3.92 $ 16.34 $ 13.79 $ 9.42 $ 10.07 $ 20.97 =========== =========== ============ ============ ============ ============ ============ $ 19.64 $ 3.63 $ 16.15 $ 13.54 $ 9.39 $ 9.93 $ 20.90 =========== =========== ============ ============ ============ ============ ============ $ 18.97 $ 3.25 $ 15.42 $ 12.83 $ 9.49 $ 9.88 $ 20.77 =========== =========== ============ ============ ============ ============ ============ $ 18.38 $ 3.25 $ 15.37 $ 12.79 $ 9.27 $ 9.89 $ 20.75 =========== =========== ============ ============ ============ ============ ============ NA NA NA NA NA NA $ 20.97 =========== =========== ============ ============ ============ ============ ============ NA NA NA NA NA NA $ 20.96 =========== =========== ============ ============ ============ ============ ============ NA NA NA NA NA NA $ 20.97 =========== =========== ============ ============ ============ ============ ============ 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% $ 20.67 $ 3.82 $ 17.00 $ 14.25 $ 9.88 $ 10.45 $ 22.00 =========== =========== ============ ============ ============ ============ ============
See notes to financial statements. 103 FIFTH THIRD FUNDS STATEMENTS OF ASSETS AND LIABILITIES JULY 31, 2010 --------------------------------------------------------------------------------
INTERNATIONAL STRATEGIC LIFEMODEL ASSETS: EQUITY INCOME AGGRESSIVE(SM) ------------ ------------ -------------- Investments, at cost $237,373,055 $118,511,392 $ -- Net unrealized appreciation/(depreciation) 16,875,589 1,005,734 -- ------------ ------------ ------------ Investments, at value 254,248,644 119,517,126 -- Investment in affiliates, at value (cost $2,237,129, $5,679,507, $128,586,533, $206,623,185, $280,439,653, $59,939,924, $41,360,133, $1,321,826, $8,631,926, and $4,035,053; respectively) 2,237,129 5,679,507 109,410,204 ------------ ------------ ------------ Total Investments 256,485,773 125,196,633 109,410,204 Cash -- 5,896 -- Deposit at broker 275,400 -- -- Foreign currency, at value (cost $110,862, $207, $--, $--, $--, $--, $--, $--, $569,540 and $488,459; respectively) 112,718 353 -- Interest, dividends and other receivables 391,254 688,196 28(+) Receivable for investments sold -- 1,209,591 -- Receivable for Fund shares sold 29,701 1,235,116 81,203 Receivable for variation margin on futures contracts -- -- -- Reclaims receivable 328,544 2,133 -- Receivable from Advisor and affiliates -- -- 10,941 Unrealized appreciation on credit default swap agreements -- 16,934 -- Prepaid expenses and other assets 29,216 27,307 26,314 ------------ ------------ ------------ Total Assets 257,652,606 128,382,159 109,528,690 ------------ ------------ ------------ LIABILITIES: Cash overdraft 732 -- -- Distributions payable -- 362,081 -- Payable for investments purchased 299 406 28(+) Payable upon return of securities loaned 16,301,024 14,046,322 -- Payable for Fund shares redeemed 78,343 242,312 737,809 Unrealized depreciation on forward foreign currency contracts -- 110,788 -- Payable for variation margin on futures contracts 16,902 -- -- Swap premium received -- 21,490 -- Accrued expenses and other payables: Payable to Advisor and affiliates 211,130 55,583 -- Distribution and administrative servicing fee 4,514 14,864 11,742 Other 60,851 27,741 30,292 ------------ ------------ ------------ Total Liabilities 16,673,795 14,881,587 779,871 ------------ ------------ ------------ NET ASSETS: Paid-in Capital 377,665,748 133,152,822 142,175,023 Accumulated net investment income/(loss) 5,203,861 (405,349) -- Accumulated net realized (loss) from investment transactions, futures and foreign currency (159,040,819) (20,161,205) (14,249,875) Net unrealized appreciation/(depreciation) on investments, swaps, futures and foreign currency 17,150,021 914,304 (19,176,329) ------------ ------------ ------------ Net Assets $240,978,811 $113,500,572 $108,748,819 ============ ============ ============ Market value of securities loaned $ 15,771,172 $ 13,728,842 $ -- ============ ============ ============ Net Assets: Institutional Shares $229,887,623 $ 80,806,479 $ 75,905,718 Class A Shares 10,215,884 19,460,919 24,981,883 Class B Shares 565,166 729,071 6,672,112 Class C Shares 310,138 12,504,103 1,189,106 ------------ ------------ ------------ Total $240,978,811 $113,500,572 $108,748,819 ============ ============ ============ Shares of beneficial interest outstanding (Unlimited number of shares authorized, no par value): Institutional Shares 31,285,926 8,063,199 8,103,868 Class A Shares 1,392,809 1,946,531 2,687,478 Class B Shares 79,074 72,950 746,010 Class C Shares 45,352 1,262,761 133,042 ------------ ------------ ------------ Total 32,803,161 11,345,441 11,670,398 ============ ============ ============ Net Asset Value Institutional Shares $ 7.35 $ 10.02 $ 9.37 ============ ============ ============ Class A Shares-redemption price per share $ 7.33 $ 10.00 $ 9.30 ============ ============ ============ Class B Shares-offering price per share* $ 7.15 $ 9.99 $ 8.94 ============ ============ ============ Class C Shares-offering price per share* $ 6.84 $ 9.90 $ 8.94 ============ ============ ============ Maximum Sales Charge Class A Shares 5.00% 5.00% 5.00% Maximum Offering Price (100%/(100%-Maximum sales charge) of net asset value adjusted to the nearest cent) per share Class A Shares $ 7.72 $ 10.53 $ 9.79 ============ ============ ============
---------------------- * Redemption price per share varies by length of time shares are held. + Represents receivable from or payable to affiliates. See notes to financial statements. 104 FIFTH THIRD FUNDS STATEMENTS OF ASSETS AND LIABILITIES JULY 31, 2010 --------------------------------------------------------------------------------
LIFEMODEL LIFEMODEL MODERATELY LIFEMODEL MODERATELY LIFEMODEL HIGH YIELD TOTAL RETURN SHORT TERM AGGRESSIVE(SM) MODERATE(SM) CONSERVATIVE(SM) CONSERVATIVE(SM) BOND BOND BOND -------------- ------------ ---------------- ---------------- ----------- ------------ ------------ $ -- $ -- $ -- $ -- $60,067,001 $305,511,891 $327,398,844 -- -- -- -- 1,602,697 (10,200,234) 1,170,291 ------------ ------------ ------------ ----------- ----------- ------------ ------------ -- -- -- -- 61,669,698 295,311,657 328,569,135 186,289,572 255,857,930 56,701,210 38,953,549 1,321,826 8,631,926 4,035,053 ------------ ------------ ------------ ----------- ----------- ------------ ------------ 186,289,572 255,857,930 56,701,210 38,953,549 62,991,524 303,943,583 332,604,188 -- -- -- -- -- -- -- -- -- -- -- -- 161,500 9,000 -- -- -- -- -- 583,505 515,780 15(+) 31(+) 25(+) 7(+) 1,187,425 1,937,627 1,618,724 -- -- -- -- -- 434,163 373,040 158,841 132,479 55,552 41,267 301,141 125,120 482,858 -- -- -- -- -- 108,125 2,812 -- -- -- -- -- 12,981 -- 24,381 7,340 8,469 8,264 -- -- -- -- -- -- -- -- 28,632 -- 25,808 27,569 24,003 24,266 25,632 36,777 28,877 ------------ ------------ ----------- ----------- ----------- ------------ ------------ 186,498,617 256,025,349 56,789,259 39,027,353 64,505,722 307,372,013 335,635,279 ------------ ------------ ----------- ----------- ----------- ------------ ------------ -- -- -- -- -- -- -- -- -- -- -- -- -- 103 15(+) 31(+) 25(+) 7(+) 1,060,294 544 526 -- -- -- -- 6,983,855 13,892,270 47,968,620 887,384 147,542 281,380 43,665 2,055 99,970 999,197 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 40,025 -- -- -- -- -- 13,724 137,883 115,083 34,559 25,278 10,090 6,670 1,383 4,282 13,607 52,392 37,396 18,660 15,455 18,176 33,407 32,813 ------------ ------------ ------------ ----------- ----------- ------------ ------------ 974,350 210,247 310,155 65,797 8,079,487 14,208,381 49,129,949 ------------ ------------ ------------ ----------- ----------- ------------ ------------ 226,599,385 316,367,862 65,616,880 44,730,379 58,970,888 407,265,141 304,374,437 95,668 362,140 92,062 95,391 48,577 104,203 184,019 (20,837,173) (36,333,177) (5,991,124) (3,457,630) (4,195,927) (104,386,302) (19,267,574) (20,333,613) (24,581,723) (3,238,714) (2,406,584) 1,602,697 (9,819,410) 1,214,448 ------------ ------------ ----------- ----------- ----------- ------------ ------------ $185,524,267 $255,815,102 $56,479,104 $38,961,556 $56,426,235 $293,163,632 $286,505,330 ============ ============ =========== =========== =========== ============ ============ $ -- $ -- $ -- $ -- $ 6,843,665 $ 13,607,089 $ 46,989,341 ============ ============ =========== =========== =========== ============ ============ $100,910,434 $195,479,913 $33,074,096 $23,915,759 $53,780,085 $275,473,361 $254,161,920 57,520,480 40,212,416 15,137,598 9,629,915 1,148,886 15,010,260 22,079,362 24,104,695 17,416,463 7,258,555 4,050,617 93,951 1,820,667 NA 2,988,658 2,706,310 1,008,855 1,365,265 1,403,313 859,344 10,264,048 ------------ ------------ ----------- ----------- ----------- ------------ ------------ $185,524,267 $255,815,102 $56,479,104 $38,961,556 $56,426,235 $293,163,632 $286,505,330 ============ ============ =========== =========== =========== ============ ============ 10,328,501 20,338,065 3,708,298 2,583,980 5,592,422 30,540,650 26,538,507 5,896,143 4,189,792 1,700,163 1,042,692 119,746 1,664,995 2,306,880 2,498,655 1,825,685 818,419 440,406 9,780 201,711 NA 309,662 283,461 113,589 148,245 146,193 95,183 1,074,519 ------------ ------------ ----------- ----------- ----------- ------------ ------------ 19,032,961 26,637,003 6,340,469 4,215,323 5,868,141 32,502,539 29,919,906 ============ ============ =========== =========== =========== ============ ============ $ 9.77 $ 9.61 $ 8.92 $ 9.26 $ 9.62 $ 9.02 $ 9.58 ============ ============ =========== =========== =========== ============ ============ $ 9.76 $ 9.60 $ 8.90 $ 9.24 $ 9.59 $ 9.02 $ 9.57 ============ ============ =========== =========== =========== ============ ============ $ 9.65 $ 9.54 $ 8.87 $ 9.20 $ 9.61 $ 9.03 NA ============ ============ =========== =========== =========== ============ ============ $ 9.65 $ 9.55 $ 8.88 $ 9.21 $ 9.60 $ 9.03 $ 9.55 ============ ============ =========== =========== =========== ============ ============ 5.00% 5.00% 5.00% 5.00% 4.75% 4.75% 3.00% $ 10.27 $ 10.11 $ 9.37 $ 9.73 $ 10.07 $ 9.47 $ 9.87 ============ ============ =========== =========== =========== ============ ============
See notes to financial statements. 105 FIFTH THIRD FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JULY 31, 2010 --------------------------------------------------------------------------------
SMALL CAP MID CAP QUALITY INVESTMENT INCOME: GROWTH GROWTH GROWTH ---------- ------------ ------------ Interest income $ -- $ -- $ 113,587 Dividend income 197,710 561,957 3,730,595 Dividend income from affiliates 1,817 2,565 9,717 Foreign tax withholding (2,114) (2,414) -- Income from securities lending 45,029 9,418 11,052 Other income 14 14 1 ---------- ----------- ----------- Total Investment Income 242,456 571,540 3,864,952 ---------- ----------- ----------- EXPENSES: Investment advisory fees 335,323 722,831 2,549,188 Administration fees 83,350 157,211 554,427 Distribution servicing fees - Class A Shares 17,607 30,765 157,020 Distribution servicing fees - Class B Shares 5,272 15,499 46,502 Distribution servicing fees - Class C Shares 1,128 2,197 10,604 Administrative servicing fees - Class C Shares 376 732 3,535 Administrative servicing fees - Select Shares NA NA NA Administrative servicing fees - Preferred Shares NA NA NA Administrative servicing fees - Trust Shares NA NA NA Accounting fees 65,337 65,273 99,779 Registration and filing fees 33,078 31,950 34,124 Transfer and dividend disbursing agent fees 44,313 91,491 280,014 Custody fees 6,562 7,032 9,196 Trustees' fees and expenses 2,097 3,996 13,094 Professional fees 17,832 19,041 25,863 Printing expense 4,251 9,251 27,855 Interest expense -- -- -- Dividends on securities sold short -- -- -- Other expenses 4,059 7,600 19,794 ---------- ----------- ----------- Total expenses 620,585 1,164,869 3,830,995 ---------- ----------- ----------- Less: Waiver and/or reimbursement from Advisor and/or affiliates (112,378) (308,219) (235,663) Fair Fund reimbursement (26,838) (11,487) (50,642) ---------- ------------ ---------- Net Expenses 481,369 845,163 3,544,690 ---------- ----------- ----------- Net Investment Income/(Loss) (238,913) (273,623) 320,262 ---------- ----------- ----------- REALIZED AND UNREALIZED GAINS/(LOSSES) FROM INVESTMENTS AND FUTURES: Net realized gains/(losses) on investment transactions 1,435,850 1,449,354 (2,576,331) Net realized gains on futures transactions -- -- -- Change in unrealized appreciation/(depreciation) on investments and futures 6,346,409 14,394,397 26,944,780 ---------- ----------- ----------- Net realized and unrealized gains on investments and futures 7,782,259 15,843,751 24,368,449 ---------- ----------- ----------- Change in net assets resulting from operations $7,543,346 $15,570,128 $24,688,711 ========== =========== ===========
------------------------ (+) Includes realized (losses) from investment transactions with affiliates. * Includes unrealized appreciation/(depreciation) on affiliated positions. @ See Note 5. See notes to financial statements. 106 FIFTH THIRD FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JULY 31, 2010 --------------------------------------------------------------------------------
DISCIPLINED STRUCTURED DIVIDEND MICRO CAP SMALL CAP ALL CAP LARGE CAP LARGE CAP EQUITY GROWTH VALUE VALUE VALUE VALUE PLUS INDEX -------- ---------- ----------- ----------- ----------- ----------- ----------- S> $ -- $ -- $ -- $ -- $ -- $ -- $ -- 161,418 396,895 1,193,884 3,036,952 8,667,398 2,218,607 5,786,508 173 3,165 4,399 4,756 10,553 4,140 8,934 (972) -- -- -- -- (2,349) -- 2,368 812 10,209 28,414 8,083 -- 14,643 41 -- -- 19 45 17 129 -------- ---------- ----------- ----------- ----------- ---------- ----------- 163,028 400,872 1,208,492 3,070,141 8,686,079 2,220,415 5,810,214 -------- ---------- ----------- ----------- ----------- ---------- ----------- 63,363 336,502 594,031 1,405,584 2,782,387 585,905 852,560 13,755 58,475 114,842 244,562 605,146 145,635 493,562 5,203 25,433 3,939 91,944 28,552 13,988 102,329 1,197 16,043 6,189 73,723 17,538 3,001 18,710 1,258 15,892 3,868 36,506 5,017 254 8,590 419 5,297 1,289 12,169 1,672 85 2,863 NA NA NA NA NA NA 7,863 NA NA NA NA NA NA 70,204 NA NA NA NA NA NA 80,237 64,974 66,423 65,241 66,268 104,615 69,692 137,877 31,838 32,992 29,614 33,304 34,995 35,461 34,101 24,217 69,063 21,597 179,011 127,573 40,917 84,448 2,815 16,068 12,608 8,906 15,081 9,168 24,269 267 1,241 2,749 5,977 14,084 3,484 11,901 16,808 17,981 18,171 20,563 26,704 298,755 26,152 2,577 10,516 2,554 24,147 12,831 11,600 18,150 -- -- -- -- -- 206,016 -- -- -- -- -- -- 295,791 -- 2,310 3,038 4,903 9,794 20,550 5,429 48,014 -------- ---------- ----------- ----------- ----------- ---------- ----------- 231,001 674,964 881,595 2,212,458 3,796,745 1,725,181 2,021,830 -------- ---------- ----------- ----------- ----------- ---------- ----------- (165,105) (158,021) (98,291) (499,090) (536,043) (298,136) (1,191,080) (2,991) (137) -- (224) (3,951) (32,489) (30,453) -------- ---------- ----------- ----------- ----------- ---------- ----------- 62,905 516,806 783,304 1,713,144 3,256,751 1,394,556 800,297 -------- ---------- ----------- ----------- ----------- ---------- ----------- 100,123 (115,934) 425,188 1,356,997 5,429,328 825,859 5,009,917 -------- ---------- ----------- ----------- ----------- ---------- ----------- 717,816 2,149,642 6,236,559 2,528,833 (5,500,460) (865,762) 11,320,404(+) -- -- -- -- -- 648,758 1,581,425 (5,625) 3,817,425 6,772,595 11,629,827 35,907,658 8,909,224 18,119,289* -------- ---------- ----------- ----------- ----------- ---------- ----------- 712,191 5,967,067 13,009,154 14,158,660 30,407,198 8,692,220 31,021,118 -------- ---------- ----------- ----------- ----------- ---------- ----------- $812,314 $5,851,133 $13,434,342 $15,515,657 $35,836,526 $9,518,079 $36,031,035 ======== ========== =========== =========== =========== ========== ===========
See notes to financial statements. 107 FIFTH THIRD FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JULY 31, 2010 --------------------------------------------------------------------------------
INTERNATIONAL STRATEGIC LIFEMODEL INVESTMENT INCOME: EQUITY INCOME AGGRESSIVE(SM) ------------- ----------- -------------- Interest income $ -- $ 2,207,521 $ -- Dividend income 8,985,137 3,580,360 -- Dividend income from affiliates 5,969 6,598 1,680,592 Foreign tax withholding (795,767) (2,839) -- Income from securities lending 196,058 22,353 -- Other income 27 -- -- ----------- ----------- ----------- Total Investment Income 8,391,424 5,813,993 1,680,592 ----------- ----------- ----------- EXPENSES: Investment advisory fees 2,509,959 909,694 175,518 Administration fees 436,716 158,008 203,214 Distribution servicing fees - Class A Shares 28,448 41,552 69,818 Distribution servicing fees - Class B Shares 8,347 7,756 75,987 Distribution servicing fees - Class C Shares 2,643 77,286 9,420 Administrative servicing fees - Class C Shares 881 25,762 3,140 Accounting fees 105,129 69,869 61,955 Registration and filing fees 35,244 31,276 32,170 Transfer and dividend disbursing agent fees 71,916 54,562 114,058 Custody fees 119,213 8,715 3,412 Trustees' fees and expenses 10,831 3,499 4,835 Professional fees 28,612 24,686 17,338 Printing expense 3,974 7,163 14,106 Interest expense 16,073 953 -- Other expenses 15,906 5,455 7,692 ----------- ----------- ----------- Total expenses 3,393,892 1,426,236 792,663 ----------- ----------- ----------- Less: Waiver and/or reimbursement from Advisor and/or affiliates (393,341) (480,005) (540,687) Fair Fund reimbursement (26,111) (95) -- ----------- ----------- ----------- Net Expenses 2,974,440 946,136 251,976 ----------- ----------- ----------- Net Investment Income 5,416,984 4,867,857 1,428,616 ----------- ----------- ----------- REALIZED AND UNREALIZED GAINS/(LOSSES) FROM INVESTMENTS, FUTURES, SWAPS AND FOREIGN CURRENCY: Net realized gains/(losses) on investment, swap and foreign currency transactions (5,316,159) (10,862,669) (8,176,294)(+) Net realized gains on futures transactions 527,091 381,659 -- Change in unrealized appreciation/(depreciation) on investments, futures, swaps and foreign currency translations 10,115,634 22,108,887 18,039,616* ----------- ----------- ----------- Net realized and unrealized gains on investments, futures, swaps and foreign currency translations 5,326,566 11,627,877 9,863,322 ----------- ----------- ----------- Change in net assets resulting from operations $10,743,550 $16,495,734 $11,291,938 =========== =========== ===========
---------------------------- + Represents realized (losses) from investment transactions with affiliates. * Represents unrealized appreciation/(depreciation) on affiliated positions. @ See Note 5. See notes to financial statements. 108 FIFTH THIRD FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JULY 31, 2010 --------------------------------------------------------------------------------
LIFEMODEL LIFEMODEL MODERATELY LIFEMODEL MODERATELY LIFEMODEL HIGH YIELD TOTAL RETURN SHORT TERM AGGRESSIVE(SM) MODERATE(SM) CONSERVATIVE(SM) CONSERVATIVE(SM) BOND BOND BOND -------------- ------------ ---------------- ---------------- ------------ ------------ ------------ $ -- $ -- $ -- $ -- $4,443,917 $ 15,941,685 $ 7,541,862 -- -- -- -- 14,015 360,455 -- 4,291,608 7,659,535 1,846,317 1,553,748 1,332 10,363 10,207 -- -- -- -- -- -- -- -- -- -- -- 6,916 11,924 26,104 -- -- -- -- -- 718,925 8,198 ------------ ------------ ----------- ----------- ---------- ------------ ----------- 4,291,608 7,659,535 1,846,317 1,553,748 4,466,180 17,043,352 7,586,371 ------------ ------------ ----------- ----------- ---------- ------------ ----------- 313,883 424,326 93,026 64,408 364,455 2,062,992 1,327,709 363,412 491,250 107,705 74,572 90,590 597,061 461,130 167,553 114,021 39,681 24,982 10,766 38,278 39,530 269,328 194,554 78,757 46,329 846 25,699 NA 24,489 20,564 8,284 10,919 6,244 5,697 39,842 8,163 6,855 2,761 3,640 2,081 1,899 13,281 73,903 88,679 61,958 62,014 72,839 116,082 85,089 32,908 33,517 31,613 30,986 32,204 32,832 36,703 243,110 142,586 42,235 23,014 12,783 67,881 82,870 13,076 10,529 2,394 1,248 16,071 26,614 17,746 8,762 12,728 2,594 1,769 2,108 16,531 10,424 20,145 22,946 14,899 14,624 28,376 30,407 26,614 29,794 16,359 5,007 2,659 1,577 3,866 9,043 -- -- -- -- -- -- -- 12,453 18,573 4,439 3,706 4,050 24,070 13,669 ------------ ------------ ----------- ----------- ---------- ------------ ----------- 1,580,979 1,597,487 495,353 364,870 644,990 3,049,909 2,163,650 ------------ ------------ ----------- ----------- ---------- ------------ ----------- (944,041) (1,035,186) (316,255) (244,650) (239,772) (743,434) (555,482) -- -- -- -- -- (54,436) (6,631) ------------ ------------ ----------- ----------- ---------- ------------ ----------- 636,938 562,301 179,098 120,220 405,218 2,252,039 1,601,537 ------------ ------------ ----------- ----------- ---------- ------------ ----------- 3,654,670 7,097,234 1,667,219 1,433,528 4,060,962 14,791,313 5,984,834 ------------ ------------ ----------- ----------- ---------- ------------ ----------- (15,621,783)(+) (28,779,913)(+) (3,442,427)(+) (2,458,751)(+) 847,511 (23,601,658) 402,381 -- -- -- -- -- 1,511,743 101,297 30,860,782* 48,852,320* 7,580,436* 4,894,486* 4,408,684 46,780,186 6,548,875 ------------ ------------ ----------- ----------- ---------- ------------ ----------- 15,238,999 20,072,407 4,138,009 2,435,735 5,256,195 24,690,271 7,052,553 ------------ ------------ ----------- ----------- ---------- ------------ ----------- $ 18,893,669 $ 27,169,641 $ 5,805,228 $ 3,869,263 $9,317,157 $ 39,481,584 $13,037,387 ============ ============ =========== =========== ========== ============ ===========
See notes to financial statements. 109 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
SMALL CAP GROWTH MID CAP GROWTH ---------------------------- ------------------------------ YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED JULY 31, JULY 31, JULY 31, JULY 31, 2010 2009 2010 2009 ------------ ------------ -------------- ------------ CHANGE IN NET ASSETS: OPERATIONS: Net investment income/(loss) $ (238,913) $ (270,799) $ (273,623) $ (233,355) Net realized gains/(losses) on investment transactions 1,435,850 (15,191,493) 1,449,354 (49,912,688) Net change in unrealized appreciation/(depreciation) on investment transactions 6,346,409 (5,469,277) 14,394,397 (17,102,132) ------------ ------------ ------------- ------------ Change in net assets resulting from operations 7,543,346 (20,931,569) 15,570,128 (67,248,175) ------------ ------------ ------------- ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME: Institutional Shares -- -- -- -- Class A Shares -- -- -- -- Class B Shares -- -- -- -- Class C Shares -- -- -- -- DISTRIBUTIONS FROM NET REALIZED GAINS: Institutional Shares -- -- -- (15,799,771) Class A Shares -- -- -- (2,230,945) Class B Shares -- -- -- (484,107) Class C Shares -- -- -- (84,681) ------------ ------------ ------------- ------------ Change in net assets from shareholder distributions -- -- -- (18,599,504) ------------ ------------ ------------- ------------ Change in net assets from Fund share transactions (14,817,804) (7,074,949) (29,446,176) (52,532,002) ------------ ------------ ------------- ------------ Change in net assets (7,274,458) (28,006,518) (13,876,048) (138,379,681) NET ASSETS: Beginning of period 50,686,440 78,692,958 95,973,463 234,353,144 ------------ ------------ ------------- ------------ End of period $ 43,411,982 $ 50,686,440 $ 82,097,415 $ 95,973,463 ============ ============ ============ ============ Accumulated net investment income/(loss) $ 831 $ (4,051) $ -- $ -- ============ ============ ============ ============
See notes to financial statements. 110 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
QUALITY GROWTH DIVIDEND GROWTH MICRO CAP VALUE SMALL CAP VALUE ------------------------------ -------------------------- -------------------------- ---------------------------- YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, 2010 2009 2010 2009 2010 2009 2010 2009 ------------ -------------- ------------ ------------ ------------ ------------ ------------ ------------ $ 320,262 $ 1,717,680 $ 100,123 $ 200,548 $ (115,934) $ 119,980 $ 425,188 $ 1,074,826 (2,576,331) (42,381,346) 717,816 (4,137,371) 2,149,642 (6,300,682) 6,236,559 (15,847,456) 26,944,780 (65,154,751) (5,625) (278,321) 3,817,425 914,167 6,772,595 (3,419,451) ------------ ------------- ----------- ------------ ----------- ----------- ------------ ------------ 24,688,711 (105,818,417) 812,314 (4,215,144) 5,851,133 (5,266,535) 13,434,342 (18,192,081) ------------ ------------- ----------- ------------ ----------- ----------- ------------ ------------ (670,279) (813,653) (72,626) (196,329) -- (82,291) (437,145) (1,120,901) (103,652) (134,733) (22,829) (41,160) -- (16,358) (6,203) (17,872) -- (1,975) (528) (1,763) -- (1,249) (50) (3,667) -- (673) (805) (2,363) -- (717) -- (2,900) -- (10,275,994) -- -- -- (52,897) -- (20,170) -- (2,566,441) -- -- -- (24,130) -- (390) -- (411,586) -- -- -- (7,846) -- (197) -- (84,424) -- -- -- (4,689) -- (125) ------------ ------------- ----------- ------------ ----------- ----------- ------------ ------------ (773,931) (14,289,479) (96,788) (241,615) -- (190,177) (443,398) (1,166,222) ------------ ------------- ----------- ------------ ----------- ----------- ------------ ------------ (35,755,412) (52,407,403) (2,717,142) (6,301,907) 2,593,370 (4,264,592) (17,249,806) (2,523,165) ------------ ------------- ----------- ------------ ----------- ----------- ------------ ------------ (11,840,632) (172,515,299) (2,001,616) (10,758,666) 8,444,503 (9,721,304) (4,258,862) (21,881,468) 306,084,392 478,599,691 9,323,934 20,082,600 28,273,627 37,994,931 67,481,220 89,362,688 ------------ ------------- ----------- ------------ ----------- ----------- ------------ ------------ $294,243,760 $ 306,084,392 $ 7,322,318 $ 9,323,934 $36,718,130 $28,273,627 $ 63,222,358 $ 67,481,220 ============ ============= =========== ============ =========== =========== ============ ============ $ 326,830 $ 773,474 $ 7,144 $ 4,032 $ 104,349 $ 51,271 $ 23,535 $ 297,789 ============ ============= =========== ============ =========== =========== ============ ============
See notes to financial statements. 111 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
DISCIPLINED ALL CAP VALUE LARGE CAP VALUE ------------------------------ ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED JULY 31, JULY 31, JULY 31, JULY 31, 2010 2009 2010 2009 ------------ -------------- ------------ ------------ CHANGE IN NET ASSETS: OPERATIONS: Net investment income $ 1,356,997 $ 2,801,988 $ 5,429,328 $ 8,585,632 Net realized gains/(losses) on investment and foreign currency transactions 2,528,833 (40,793,430) (5,500,460) (111,466,740) Net realized gains/(losses) on futures transactions -- -- -- -- Net change in unrealized appreciation/(depreciation) on investment, futures, swaps and foreign currency transactions 11,629,827 (19,016,994) 35,907,658 (7,681,588) ------------ ------------- ----------- ------------ Change in net assets resulting from operations 15,515,657 (57,008,436) 35,836,526 (110,562,696) ------------ ------------- ----------- ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME: Institutional Shares (968,813) (2,322,599) (4,858,389) (9,528,516) Class A Shares (312,275) (662,989) (137,632) (318,302) Class B Shares (16,412) (141,121) (8,078) (51,229) Class C Shares (10,449) (81,413) (3,354) (20,375) Select Shares NA NA NA NA Preferred Shares NA NA NA NA Trust Shares NA NA NA NA DISTRIBUTIONS FROM NET REALIZED GAINS: Institutional Shares -- (8,541,044) -- (6,120,694) Class A Shares -- (2,608,357) -- (218,916) Class B Shares -- (826,472) -- (49,340) Class C Shares -- (472,165) -- (16,869) Select Shares NA NA NA NA Preferred Shares NA NA NA NA Trust Shares NA NA NA NA ------------ ------------- ----------- ------------ Change in net assets from shareholder distributions (1,307,949) (15,656,160) (5,007,453) (16,324,241) ------------ ------------- ----------- ------------ Change in net assets from Fund share transactions (25,161,788) (28,684,331) (8,892,167) (61,428,189) ------------ ------------- ----------- ------------ Change in net assets (10,954,080) (101,348,927) 21,936,906 (188,315,126) NET ASSETS: Beginning of period 141,441,688 242,790,615 322,137,679 510,452,805 ------------ ------------- ----------- ------------ End of period $130,487,608 $ 141,441,688 $344,074,585 $ 322,137,679 ============ ============= ============ ============= Accumulated net investment income/(loss) $ 58,666 $ 44,064 $ 511,351 $ 115,174 ============ ============= ============ =============
See notes to financial statements. 112 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
STRUCTURED LARGE CAP PLUS EQUITY INDEX INTERNATIONAL EQUITY STRATEGIC INCOME ---------------------------- ---------------------------- ------------------------------ ---------------------------- YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, 2010 2009 2010 2009 2010 2009 2010 2009 ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ $ 825,859 $ 1,505,793 $ 5,009,917 $ 6,039,613 $ 5,416,984 $ 7,531,396 $ 4,867,857 $ 6,036,212 (865,762) (46,428,578) 11,320,404 2,026,937 (5,316,159) (147,743,914) (10,862,669) (8,574,686) 648,758 (324,340) 1,581,425 (1,956,017) 527,091 (1,806,080) 381,659 2,279,929 8,909,224 (6,292,012) 18,119,289 (76,773,100) 10,115,634 23,614,007 22,108,887 (4,038,633) ----------- ------------ ------------ ------------ ------------ ------------- ------------ ------------ 9,518,079 (51,539,137) 36,031,035 (70,662,567) 10,743,550 (118,404,591) 16,495,734 (4,297,178) ----------- ------------ ------------ ------------ ------------ ------------- ------------ ------------ (758,506) (2,087,267) (2,687,145) (3,568,905) (7,370,433) (6,743,508) (4,621,960) (5,089,269) (45,487) (177,656) (620,108) (1,010,745) (347,655) (311,114) (1,188,095) (819,367) (782) (7,622) (14,617) (39,152) (24,568) (15,149) (50,811) (49,786) (49) (736) (8,248) (23,517) (9,905) (7,216) (663,401) (512,601) NA NA (166,212) (230,309) NA NA NA NA NA NA (765,056) (1,092,118) NA NA NA NA NA NA (491,361) (814,295) NA NA NA NA -- -- -- -- -- (41,939,630) -- (72,039) -- -- -- -- -- (2,120,448) -- (11,356) -- -- -- -- -- (208,199) -- (832) -- -- -- -- -- (75,346) -- (8,233) NA NA -- -- NA NA NA NA NA NA -- -- NA NA NA NA NA NA -- -- NA NA NA NA ----------- ------------ ------------ ------------ ------------ ------------- ------------ ------------ (804,824) (2,273,281) (4,752,747) (6,779,041) (7,752,561) (51,420,610) (6,524,267) (6,563,483) ----------- ------------ ------------ ------------ ------------ ------------- ------------ ------------ (5,302,269) (14,200,976) (24,625,372) (7,288,786) (9,089,906) (27,148,779) 21,395,293 (23,171,117) ----------- ------------ ------------ ------------ ------------ ------------- ------------ ------------ 3,410,986 (68,013,394) 6,652,916 (84,730,394) (6,098,917) (196,973,980) 31,366,760 (34,031,778) 78,795,252 146,808,646 266,775,190 351,505,584 247,077,728 444,051,708 82,133,812 116,165,590 ----------- ------------ ------------ ------------ ------------ ------------- ------------ ------------ $82,206,238 $ 78,795,252 $273,428,106 $266,775,190 $240,978,811 $ 247,077,728 $113,500,572 $ 82,133,812 =========== ============ ============ ============ ============ ============= ============ ============ $ (114,577) $ 193,580 $ 515,236 $ 265,527 $ 5,203,861 $ 7,006,886 $ (405,349) $ 1,179,028 =========== ============ ============ ============ ============ ============= ============ ============
See notes to financial statements. 113 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
LIFEMODEL LIFEMODEL AGGRESSIVE(SM) MODERATELY AGGRESSIVE(SM) ------------------------------- --------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED JULY 31, JULY 31, JULY 31, JULY 31, 2010 2009 2010 2009 ------------ ------------ ------------ ------------ CHANGE IN NET ASSETS: OPERATIONS: Net investment income $ 1,428,616 $ 2,332,101 $ 3,654,670 $ 5,735,787 Net realized gains/(losses) on investment transactions (8,176,294)(+) (8,137,540)(+) (15,621,783)(+) (10,157,710)(+) Realized gain distributions from underlying funds -- 7,564,541(+) -- 9,992,074(+) Net change in unrealized appreciation/(depreciation) on investment transactions 18,039,616 (41,114,152) 30,860,782 (57,647,868) ------------ ------------ ------------ ------------ Change in net assets resulting from operations 11,291,938 (39,355,050) 18,893,669 (52,077,717) ------------ ------------ ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME: Institutional Shares (1,097,085) (2,064,758) (2,318,425) (4,255,438) Class A Shares (315,696) (746,554) (1,179,138) (2,548,105) Class B Shares (58,076) (171,246) (291,455) (919,596) Class C Shares (9,260) (30,198) (34,027) (118,789) DISTRIBUTIONS FROM NET REALIZED GAINS: Institutional Shares (1,114,385) (9,245,989) (477,367) (9,790,688) Class A Shares (393,606) (3,829,618) (278,246) (6,315,446) Class B Shares (111,638) (1,160,583) (118,921) (2,821,308) Class C Shares (17,746) (207,309) (14,070) (358,343) ------------ ------------ ------------ ------------ Change in net assets from shareholder distributions (3,117,492) (17,456,255) (4,711,649) (27,127,713) ------------ ------------ ------------ ------------ Change in net assets from Fund share transactions (13,556,789) 2,684,368 (35,239,893) 2,543,244 ------------ ------------ ------------ ------------ Change in net assets (5,382,343) (54,126,937) (21,057,873) (76,662,186) NET ASSETS: Beginning of period 114,131,162 168,258,099 206,582,140 283,244,326 ------------ ------------ ------------ ------------ End of period $108,748,819 $114,131,162 $185,524,267 $206,582,140 ============ ============ ============ ============ Accumulated net investment income/(loss) $ -- $ 38,503 $ 95,668 $ 263,875 ============ ============ ============ ============
---------------------------- (+) Represents realized (losses) from investment transactions with affiliates. See notes to financial statements. 114 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
LIFEMODEL LIFEMODEL LIFEMODEL MODERATE(SM) MODERATELY CONSERVATIVE(SM) CONSERVATIVE(SM) HIGH YIELD BOND ------------------------------ ----------------------------- ------------------------------ -------------------------- YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, 2010 2009 2010 2009 2010 2009 2010 2009 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ $ 7,097,234 $ 12,041,389 $ 1,667,219 $ 2,455,945 $ 1,433,528 $ 1,950,812 $ 4,060,962 $ 4,130,894 (28,779,913)(+) (13,160,528)(+) (3,442,427)(+) (2,836,243)(+) (2,458,751)(+) (724,049)(+) 847,511 (3,918,400) -- 10,871,978(+) -- 1,648,859(+) -- 484,257(+) -- -- 48,852,320 (62,798,838) 7,580,436 (9,655,094) 4,894,486 (4,315,948) 4,408,684 1,908,066 ------------ ------------ ----------- ------------ ----------- ----------- ----------- ----------- 27,169,641 (53,045,999) 5,805,228 (8,386,533) 3,869,263 (2,604,928) 9,317,157 2,120,560 ------------ ------------ ----------- ------------ ----------- ----------- ----------- ----------- (6,032,872) (11,830,593) (1,119,730) (1,749,146) (1,001,360) (1,342,653) (3,662,065) (4,080,098) (1,132,381) (2,274,819) (439,489) (846,815) (341,650) (507,006) (324,434) (80,278) (337,969) (846,042) (157,247) (377,208) (122,335) (250,969) (5,754) (8,144) (47,248) (114,567) (21,559) (58,310) (38,240) (77,632) (59,149) (8,931) -- (14,202,395) -- (2,063,752) -- (477,832) -- -- -- (2,974,781) -- (1,084,025) -- (194,042) -- -- -- (1,341,632) -- (609,553) -- (112,843) -- -- -- (181,300) -- (91,336) -- (33,244) -- -- ------------ ------------ ----------- ------------ ----------- ----------- ----------- ----------- (7,550,470) (33,766,129) (1,738,025) (6,880,145) (1,503,585) (2,996,221) (4,051,402) (4,177,451) ------------ ------------ ----------- ------------ ----------- ----------- ----------- ----------- (93,750,965) (3,351,021) (9,666,107) (6,910,560) (7,061,608) (1,367,609) (864,337) 3,453,354 ------------ ------------ ----------- ------------ ----------- ----------- ----------- ----------- (74,131,794) (90,163,149) (5,598,904) (22,177,238) (4,695,930) (6,968,758) 4,401,418 1,396,463 329,946,896 420,110,045 62,078,008 84,255,246 43,657,486 50,626,244 52,024,817 50,628,354 ------------ ------------ ----------- ------------ ----------- ----------- ----------- ----------- $255,815,102 $329,946,896 $56,479,104 $ 62,078,008 $38,961,556 $43,657,486 $56,426,235 $52,024,817 ============ ============ =========== ============ =========== =========== =========== =========== $ 362,140 $ 814,893 $ 92,062 $ 162,773 $ 95,391 $ 165,388 $ 48,577 $ 28,425 ============ ============ =========== ============ =========== =========== =========== ===========
See notes to financial statements. 115 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
TOTAL RETURN BOND SHORT TERM BOND ------------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED JULY 31, JULY 31, JULY 31, JULY 31, 2010 2009 2010 2009 ------------- ------------- ------------ ------------ CHANGE IN NET ASSETS: OPERATIONS: Net investment income $ 14,791,313 $ 25,025,537 $ 5,984,834 $ 8,207,134 Net realized gains/(losses) on investment and foreign currency transactions (23,601,658) (33,876,658) 402,381 1,245,696 Net realized gains on futures transactions 1,511,743 809,398 101,297 1,213,775 Net change in unrealized appreciation/(depreciation) on investment, futures, swaps and foreign currency transactions 46,780,186 (4,145,602) 6,548,875 (1,986,398) ------------- ------------- ------------ ------------ Change in net assets resulting from operations 39,481,584 (12,187,325) 13,037,387 8,680,207 ------------- ------------- ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME: Institutional Shares (15,991,721) (24,645,395) (5,847,660) (8,194,578) Class A Shares (719,728) (935,295) (346,310) (214,515) Class B Shares (100,475) (152,861) NA NA Class C Shares (30,279) (39,308) (72,659) (10,805) DISTRIBUTIONS FROM NET REALIZED GAINS: Institutional Shares -- -- -- -- Class A Shares -- -- -- -- Class B Shares -- -- NA NA Class C Shares -- -- -- -- ------------- ------------- ------------ ------------ Change in net assets from shareholder distributions (16,842,203) (25,772,859) (6,266,629) (8,419,898) ------------- ------------- ------------ ------------ Change in net assets from Fund share transactions (135,395,426) (141,182,721) 47,594,801 (17,194,626) ------------- ------------- ------------ ------------ Change in net assets (112,756,045) (179,142,905) 54,365,559 (16,934,317) NET ASSETS: Beginning of period 405,919,677 585,062,582 232,139,771 249,074,088 ------------- ------------- ------------ ------------ End of period $ 293,163,632 $ 405,919,677 $286,505,330 $232,139,771 ============= ============= ============ ============ Accumulated net investment income/(loss) $ 104,203 $ (188,156) $ 184,019 $ 130,495 ============= ============= ============ ============
See notes to financial statements. 116 THIS PAGE INTENTIONALLY LEFT BLANK. 117 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS --------------------------------------------------------------------------------
SMALL CAP GROWTH MID CAP GROWTH ---------------------------- ------------------------------ YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED JULY 31, JULY 31, JULY 31, JULY 31, 2010 2009 2010 2009 ------------ ------------ -------------- ------------- CAPITAL TRANSACTIONS: Institutional Shares Shares issued $ 2,072,730 $ 6,418,659 $ 2,205,080 $ 11,115,449 Dividends reinvested -- -- -- 15,715,482 Shares redeemed (15,863,669) (12,100,810) (28,482,222) (77,863,957) ------------ ------------ -------------- ------------ Total Institutional Shares (13,790,939) (5,682,151) (26,277,142) (51,033,026) ------------ ------------ -------------- ------------ Class A Shares Shares issued 541,369 319,591 1,417,554 1,090,004 Dividends reinvested -- -- -- 2,164,827 Shares redeemed (1,145,428) (1,627,560) (3,316,747) (4,055,370) ------------ ------------ -------------- ------------ Total Class A Shares (604,059) (1,307,969) (1,899,193) (800,539) ------------ ------------ -------------- ------------ Class B Shares Shares issued -- 3,610 14,964 7,274 Dividends reinvested -- -- -- 462,901 Shares redeemed (274,056) (113,155) (1,100,283) (1,098,021) ------------ ------------ -------------- ------------ Total Class B Shares (274,056) (109,545) (1,085,319) (627,846) ------------ ------------ -------------- ------------ Class C Shares Shares issued 32,800 37,343 15,469 48,884 Dividends reinvested -- -- -- 80,262 Shares redeemed (181,550) (12,627) (199,991) (199,737) ------------ ------------ -------------- ------------ Total Class C Shares (148,750) 24,716 (184,522) (70,591) ------------ ------------ -------------- ------------ Change from capital transactions $(14,817,804) $ (7,074,949) $ (29,446,176) $(52,532,002) ============ ============ ============== ============ SHARE TRANSACTIONS: Institutional Shares Shares issued 301,372 1,040,498 265,594 1,293,847 Dividends reinvested -- -- -- 2,742,667 Shares redeemed (2,315,606) (2,188,661) (3,465,929) (10,277,404) ------------ ------------ -------------- ------------ Total Institutional Shares (2,014,234) (1,148,163) (3,200,335) (6,240,890) ------------ ------------ -------------- ------------ Class A Shares Shares issued 84,780 63,858 180,019 167,708 Dividends reinvested -- -- -- 397,216 Shares redeemed (179,956) (313,785) (426,984) (605,853) ------------ ------------ -------------- ------------ Total Class A Shares (95,176) (249,927) (246,965) (40,929) ------------ ------------ -------------- ------------ Class B Shares Shares issued -- 705 2,133 1,384 Dividends reinvested -- -- -- 94,470 Shares redeemed (47,120) (23,793) (158,265) (185,976) ------------ ------------ -------------- ------------ Total Class B Shares (47,120) (23,088) (156,132) (90,122) ------------ ------------ -------------- ------------ Class C Shares Shares issued 5,855 8,920 2,444 8,094 Dividends reinvested -- -- -- 17,524 Shares redeemed (32,450) (2,843) (30,802) (31,544) ------------ ------------ -------------- ------------ Total Class C Shares (26,595) 6,077 (28,358) (5,926) ------------ ------------ -------------- ------------ Change from capital transactions (2,183,125) (1,415,101) (3,631,790) (6,377,867) ============ ============ ============== ==========
See notes to financial statements. 118 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS --------------------------------------------------------------------------------
QUALITY GROWTH DIVIDEND GROWTH MICRO CAP VALUE SMALL CAP VALUE ------------------------------ --------------------------- --------------------------- ----------------------------- YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, 2010 2009 2010 2009 2010 2009 2010 2009 ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------- $ 44,658,382 $ 27,073,941 $ 119,826 $ 930,942 $ 7,740,012 $ 4,684,500 $ 8,553,273 $ 14,612,223 514,729 10,804,109 37,528 57,911 -- 122,993 358,893 830,143 (68,160,882) (79,391,844) (2,507,900) (6,926,524) (7,375,958) (6,923,650) (27,173,421) (17,960,522) ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------ (22,987,771) (41,513,794) (2,350,546) (5,937,671) 364,054 (2,116,157) (18,261,255) (2,518,156) ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------ 3,737,753 3,372,392 98,235 126,801 8,166,787 1,749,740 1,342,082 587,156 94,243 2,472,412 20,672 38,242 -- 31,711 4,890 14,466 (11,838,172) (12,207,454) (420,999) (461,655) (5,790,067) (3,322,987) (602,863) (626,936) ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------ (8,006,176) (6,362,650) (302,092) (296,612) 2,376,720 (1,541,536) 744,109 (25,314) ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------ 21,508 20,776 39,672 28,855 15,604 6,174 9,045 21,423 -- 404,610 390 1,364 -- 8,327 43 3,281 (4,151,370) (4,504,541) (97,172) (80,015) (1,288,588) (604,084) (114,657) (92,963) ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------ (4,129,862) (4,079,155) (57,110) (49,796) (1,272,984) (589,583) (105,569) (68,259) ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------ 129,936 112,846 6,040 7,256 1,727,363 345,691 528,529 203,264 -- 80,030 680 2,038 -- 4,119 -- 2,269 (761,539) (644,680) (14,114) (27,122) (601,783) (367,126) (155,620) (116,969) ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------ (631,603) (451,804) (7,394) (17,828) 1,125,580 (17,316) 372,909 88,564 ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------ $(35,755,412) $ (52,407,403) $ (2,717,142) $ (6,301,907) $ 2,593,370 $ (4,264,592) $(17,249,806) $ (2,523,165) ============ ============== ============ ============ =========== ============ ============ ============ 3,196,783 2,219,897 5,901 57,388 2,050,824 1,665,832 528,233 1,124,149 36,096 1,007,311 1,881 3,147 -- 44,842 22,529 73,071 (4,994,965) (6,592,569) (131,438) (377,370) (2,008,471) (2,382,257) (1,744,014) (1,433,005) ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------ (1,762,086) (3,365,361) (123,656) (316,835) 42,353 (671,583) (1,193,252) (235,785) ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------ 283,474 307,814 5,124 7,594 2,398,008 670,372 81,304 44,281 6,800 237,444 1,057 2,109 -- 13,694 310 1,286 (891,015) (1,056,033) (21,495) (26,090) (1,678,691) (1,220,126) (38,431) (49,863) ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------ (600,741) (510,775) (15,314) (16,387) 719,317 (536,060) 43,183 (4,296) ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------ 1,775 1,970 2,221 1,854 5,392 2,095 647 1,820 -- 41,585 21 74 -- 3,993 3 303 (338,462) (427,488) (5,036) (5,371) (411,777) (250,499) (7,779) (9,124) ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------ (336,687) (383,933) (2,794) (3,443) (406,385) (244,411) (7,129) (7,001) ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------ 11,659 9,695 325 496 552,934 140,725 33,001 16,407 -- 8,505 37 118 -- 1,976 -- 210 (64,284) (59,216) (770) (1,793) (200,440) (162,966) (10,503) (9,148) ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------ (52,625) (41,016) (408) (1,179) 352,494 (20,265) 22,498 7,469 ------------ -------------- ------------ ------------ ----------- ------------ ------------ ------------ (2,752,139) (4,301,085) (142,172) (337,844) 707,779 (1,472,319) (1,134,700) (239,613) ============ ============== ============ ============ =========== ============ ============ ============
See notes to financial statements. 119 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS --------------------------------------------------------------------------------
DISCIPLINED ALL CAP VALUE LARGE CAP VALUE ------------------------------ ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED JULY 31, JULY 31, JULY 31, JULY 31, 2010 2009 2010 2009 ------------ -------------- ------------ ------------- CAPITAL TRANSACTIONS: Institutional Shares Shares issued $ 16,121,009 $ 10,237,700 $ 88,159,186 $ 49,717,152 Dividends reinvested 697,602 9,970,038 2,751,348 11,015,883 Shares redeemed (33,553,538) (42,308,602) (97,340,727) (118,271,630) ------------ -------------- ------------ ------------- Total Institutional Shares (16,734,927) (22,100,864) (6,430,193) (57,538,595) ------------ -------------- ------------ ------------- Class A Shares Shares issued 12,330,900 7,821,432 1,828,983 2,372,844 Dividends reinvested 259,198 2,716,384 122,374 474,938 Shares redeemed (13,601,105) (14,520,253) (3,251,984) (5,270,092) ------------ -------------- ------------ ------------- Total Class A Shares (1,011,007) (3,982,437) (1,300,627) (2,422,310) ------------ -------------- ------------ ------------- Class B Shares Shares issued 119,089 34,875 64,868 44,386 Dividends reinvested 15,221 899,625 6,621 84,877 Shares redeemed (5,978,670) (2,722,369) (960,304) (1,004,917) ------------ -------------- ------------ ------------- Total Class B Shares (5,844,360) (1,787,869) (888,815) (875,654) ------------ -------------- ------------ ------------- Class C Shares Shares issued 342,213 1,166,775 73,749 67,881 Dividends reinvested 5,625 247,016 1,820 21,192 Shares redeemed (1,919,332) (2,226,952) (348,101) (680,703) ------------ -------------- ------------ ------------- Total Class C Shares (1,571,494) (813,161) (272,532) (591,630) ------------ -------------- ------------ ------------- Select Shares Shares issued NA NA NA NA Dividends reinvested NA NA NA NA Shares redeemed NA NA NA NA ------------ -------------- ------------ ------------- Total Select Shares NA NA NA NA ------------ -------------- ------------ ------------- Preferred Shares Shares issued NA NA NA NA Dividends reinvested NA NA NA NA Shares redeemed NA NA NA NA ------------ -------------- ------------ ------------- Total Preferred Shares NA NA NA NA ------------ -------------- ------------ ------------- Trust Shares Shares issued NA NA NA NA Dividends reinvested NA NA NA NA Shares redeemed NA NA NA NA ------------ -------------- ------------ ------------- Total Trust Shares NA NA NA NA ------------ -------------- ------------ ------------- Change from capital transactions $(25,161,788) $ (28,684,331) $ (8,892,167) $ (61,428,189) ============ ============== ============ =============
See notes to financial statements. 120 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS --------------------------------------------------------------------------------
STRUCTURED LARGE CAP PLUS EQUITY INDEX INTERNATIONAL EQUITY STRATEGIC INCOME ---------------------------- ---------------------------- ------------------------------ -------------------------- YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, 2010 2009 2010 2009 2010 2009 2010 2009 ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ $ 5,104 $ 67,753 $ 43,266,406 $ 65,565,256 $ 42,020,493 $ 24,506,724 $ 32,416,332 $ 20,533,451 697,372 1,797,417 2,397,386 3,204,806 5,885,297 46,586,794 630,186 638,453 (4,647,856) (13,832,544) (54,940,284) (59,677,149) (54,689,066) (97,228,310) (18,803,382) (42,984,155) ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ (3,945,380) (11,967,374) (9,276,492) 9,092,913 (6,783,276) (26,134,792) 14,243,136 (21,812,251) ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ 88,297 77,435 10,113,396 11,104,896 2,426,126 975,859 9,067,430 3,139,777 42,664 168,301 599,708 977,174 322,237 2,246,616 752,488 576,407 (1,361,156) (2,365,487) (19,979,852) (14,261,713) (4,553,560) (3,788,133) (5,504,354) (4,202,885) ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ (1,230,195) (2,119,751) (9,266,748) (2,179,643) (1,805,197) (565,658) 4,315,564 (486,701) ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ 16,174 -- 37,512 11,404 25,475 24,933 46,809 43,795 552 5,018 12,710 32,917 17,500 159,815 24,830 24,986 (167,800) (101,749) (905,136) (389,563) (470,608) (567,120) (195,295) (211,271) ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ (151,074) (96,731) (854,914) (345,242) (427,633) (382,372) (123,656) (142,490) ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ 38,174 11,299 301,384 721,303 12,974 18,796 4,651,725 1,121,295 16 237 5,964 19,116 8,822 71,937 477,313 381,784 (13,810) (28,656) (885,656) (783,330) (95,596) (156,690) (2,168,789) (2,232,754) ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ 24,380 (17,120) (578,308) (42,911) (73,800) (65,957) 2,960,249 (729,675) ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ NA NA 1,593,996 2,749,243 NA NA NA NA NA NA 135,552 183,033 NA NA NA NA NA NA (3,774,743) (2,040,830) NA NA NA NA ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ NA NA (2,045,195) 891,446 NA NA NA NA ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ NA NA 18,090,698 19,094,649 NA NA NA NA NA NA 734,972 1,045,835 NA NA NA NA NA NA (22,680,902) (20,332,697) NA NA NA NA ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ NA NA (3,855,232) (192,213) NA NA NA NA ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ NA NA 7,603,385 818,301 NA NA NA NA NA NA 167,312 168,050 NA NA NA NA NA NA (6,519,180) (15,499,487) NA NA NA NA ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ NA NA 1,251,517 (14,513,136) NA NA NA NA ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ $ (5,302,269) $(14,200,976) $(24,625,372) $ (7,288,786) $ (9,089,906) $ (27,148,779) $ 21,395,293 $(23,171,117) ============ ============ ============ ============ ============ ============== ============ ============
See notes to financial statements. 121 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS --------------------------------------------------------------------------------
DISCIPLINED ALL CAP VALUE LARGE CAP VALUE ------------------------------ ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED JULY 31, JULY 31, JULY 31, JULY 31, 2010 2009 2010 2009 ------------ -------------- ------------ ------------- SHARE TRANSACTIONS: Institutional Shares Shares issued 1,149,670 774,848 9,159,830 6,216,790 Dividends reinvested 49,823 905,857 290,640 1,354,418 Shares redeemed (2,421,387) (3,401,904) (10,330,448) (13,935,660) ------------ -------------- ------------ ------------ Total Institutional Shares (1,221,894) (1,721,199) (879,978) (6,364,452) ------------ -------------- ------------ ------------ Class A Shares Shares issued 893,487 689,081 194,737 306,746 Dividends reinvested 18,849 249,029 12,958 57,608 Shares redeemed (996,795) (1,211,285) (345,755) (622,456) ------------ -------------- ------------ ------------ Total Class A Shares (84,459) (273,175) (138,060) (258,102) ------------ -------------- ------------ ------------ Class B Shares Shares issued 8,860 3,080 7,007 5,313 Dividends reinvested 1,179 87,524 691 10,164 Shares redeemed (454,862) (233,095) (100,297) (124,246) ------------ -------------- ------------ ------------ Total Class B Shares (444,823) (142,491) (92,599) (108,769) ------------ -------------- ------------ ------------ Class C Shares Shares issued 26,735 98,272 7,907 7,735 Dividends reinvested 434 24,066 195 2,557 Shares redeemed (148,845) (196,851) (37,525) (73,078) ------------ -------------- ------------ ------------ Total Class C Shares (121,676) (74,513) (29,423) (62,786) ------------ -------------- ------------ ------------ Select Shares Shares issued NA NA NA NA Dividends reinvested NA NA NA NA Shares redeemed NA NA NA NA ------------ -------------- ------------ ------------ Total Select Shares NA NA NA NA ------------ -------------- ------------ ------------ Preferred Shares Shares issued NA NA NA NA Dividends reinvested NA NA NA NA Shares redeemed NA NA NA NA ------------ -------------- ------------ ------------ Total Preferred Shares NA NA NA NA ------------ -------------- ------------ ------------ Trust Shares Shares issued NA NA NA NA Dividends reinvested NA NA NA NA Shares redeemed NA NA NA NA ------------ -------------- ------------ ------------ Total Trust Shares NA NA NA NA ------------ -------------- ------------ ------------ Change from capital transactions (1,872,852) (2,211,378) (1,140,060) (6,794,109) ============ ============== ============= ============
See notes to financial statements. 122 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS --------------------------------------------------------------------------------
STRUCTURED LARGE CAP PLUS EQUITY INDEX INTERNATIONAL EQUITY STRATEGIC INCOME ---------------------------- ---------------------------- ------------------------------ -------------------------- YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, 2010 2009 2010 2009 2010 2009 2010 2009 ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ 553 2,021 2,063,306 3,715,164 5,445,236 3,479,441 3,309,056 2,403,301 69,639 178,373 114,010 175,320 761,358 7,729,437 65,176 81,968 (475,947) (1,246,923) (2,632,684) (3,372,663) (7,203,423) (13,322,716) (1,955,096) (5,502,079) ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ (405,755) (1,066,529) (455,368) 517,821 (996,829) (2,113,838) 1,419,136 (3,016,810) ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ 9,141 4,845 484,122 642,151 316,434 137,136 933,700 387,652 4,330 16,498 28,634 53,309 41,687 373,101 78,150 73,496 (139,309) (254,555) (956,235) (795,179) (588,060) (536,206) (566,040) (538,025) ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ (125,838) (233,212) (443,479) (99,719) (229,939) (25,969) 445,810 (76,877) ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ 1,711 -- 1,818 498 3,380 3,766 4,822 6,113 59 479 605 1,775 2,315 27,360 2,587 3,192 (17,264) (11,508) (43,012) (22,246) (64,494) (75,373) (20,278) (28,113) ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ (15,494) (11,029) (40,589) (19,973) (58,799) (44,247) (12,869) (18,808) ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ 3,832 1,088 14,788 42,082 1,817 2,809 482,004 142,340 2 23 286 1,029 1,219 12,797 50,053 49,270 (1,430) (3,851) (43,440) (43,656) (13,383) (22,064) (225,635) (288,533) ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ 2,404 (2,740) (28,366) (545) (10,347) (6,458) 306,422 (96,923) ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ NA NA 77,040 159,659 NA NA NA NA NA NA 6,451 10,055 NA NA NA NA NA NA (180,567) (115,641) NA NA NA NA ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ NA NA (97,076) 54,073 NA NA NA NA ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ NA NA 864,196 1,059,894 NA NA NA NA NA NA 34,899 57,044 NA NA NA NA NA NA (1,079,920) (1,182,985) NA NA NA NA ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ NA NA (180,825) (66,047) NA NA NA NA ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ NA NA 371,468 47,318 NA NA NA NA NA NA 7,884 8,792 NA NA NA NA NA NA (315,311) (837,000) NA NA NA NA ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ NA NA 64,041 (780,890) NA NA NA NA ------------ ------------ ------------ ------------ ------------ -------------- ------------ ------------ (544,683) (1,313,510) (1,181,662) (395,280) (1,295,914) (2,190,512) 2,158,499 (3,209,418) ============ ============ ============ ============ ============ ============== ============ ============
See notes to financial statements. 123 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS --------------------------------------------------------------------------------
LIFEMODEL LIFEMODEL AGGRESSIVE(SM) MODERATELY AGGRESSIVE(SM) ------------------------------ -------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED JULY 31, JULY 31, JULY 31, JULY 31, 2010 2009 2010 2009 ------------ ------------ ------------ ------------ CAPITAL TRANSACTIONS: Institutional Shares Shares issued $ 17,755,836 $ 21,584,414 $ 20,207,462 $ 29,733,716 Dividends reinvested 2,193,392 11,244,980 2,666,135 13,749,962 Shares redeemed (26,309,200) (28,032,959) (39,860,711) (30,309,711) ------------ ------------ ------------ ------------ Total Institutional Shares (6,359,972) 4,796,435 (16,987,114) 13,173,967 ------------ ------------ ------------ ------------ Class A Shares Shares issued 3,052,723 3,481,057 17,824,534 6,082,272 Dividends reinvested 642,542 4,185,747 1,327,800 8,001,053 Shares redeemed (8,868,044) (9,041,044) (31,248,778) (20,599,240) ------------ ------------ ------------ ------------ Total Class A Shares (5,172,779) (1,374,240) (12,096,444) (6,515,915) ------------ ------------ ------------ ------------ Class B Shares Shares issued 15,708 115,932 81,246 383,209 Dividends reinvested 156,117 1,203,777 371,915 3,359,249 Shares redeemed (1,954,170) (1,998,602) (6,000,637) (6,850,571) ------------ ------------ ------------ ------------ Total Class B Shares (1,782,345) (678,893) (5,547,476) (3,108,113) ------------ ------------ ------------ ------------ Class C Shares Shares issued 58,901 143,905 281,007 209,351 Dividends reinvested 22,786 195,006 39,611 393,456 Shares redeemed (323,380) (397,845) (929,477) (1,609,502) ------------ ------------ ------------ ------------ Total Class C Shares (241,693) (58,934) (608,859) (1,006,695) ------------ ------------ ------------ ------------ Change from capital transactions $(13,556,789) $ 2,684,368 $(35,239,893) $ 2,543,244 ============ ============ ============ ============ SHARE TRANSACTIONS: Institutional Shares Shares issued 1,884,239 2,562,091 2,061,211 3,298,709 Dividends reinvested 232,177 1,452,831 272,054 1,659,510 Shares redeemed (2,803,959) (3,176,308) (4,099,714) (3,404,777) ------------ ------------ ------------ ------------ Total Institutional Shares (687,543) 838,614 (1,766,449) 1,553,442 ------------ ------------ ------------ ------------ Class A Shares Shares issued 324,047 414,457 1,796,634 708,697 Dividends reinvested 68,483 544,811 135,429 967,295 Shares redeemed (949,548) (1,042,412) (3,155,917) (2,243,406) ------------ ------------ ------------ ------------ Total Class A Shares (557,018) (83,144) (1,223,854) (567,414) ------------ ------------ ------------ ------------ Class B Shares Shares issued 1,726 15,885 8,444 43,127 Dividends reinvested 17,260 162,756 38,216 412,201 Shares redeemed (215,135) (242,929) (620,721) (766,758) ------------ ------------ ------------ ------------ Total Class B Shares (196,149) (64,288) (574,061) (311,430) ------------ ------------ ------------ ------------ Class C Shares Shares issued 6,531 14,474 28,371 24,117 Dividends reinvested 2,521 26,401 4,067 48,280 Shares redeemed (36,277) (51,233) (96,673) (176,420) ------------ ------------ ------------ ------------ Total Class C Shares (27,225) (10,358) (64,235) (104,023) ------------ ------------ ------------ ------------ Change from capital transactions (1,467,935) 680,824 (3,628,599) 570,575 ============ ============ ============ ============
See notes to financial statements. 124 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS --------------------------------------------------------------------------------
LIFEMODEL LIFEMODEL LIFEMODEL MODERATE(SM) MODERATELY CONSERVATIVE(SM) CONSERVATIVE(SM) HIGH YIELD BOND ----------------------------- ----------------------------- ------------------------------ --------------------------- YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, 2010 2009 2010 2009 2010 2009 2010 2009 ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------ $ 29,308,561 $ 46,521,777 $ 7,311,360 $ 10,419,494 $ 9,312,321 $ 11,051,704 $ 32,102,783 $ 9,054,518 5,918,123 25,775,707 1,064,811 3,692,672 990,752 1,778,305 1,423,518 1,917,597 (112,859,457) (62,264,457) (13,218,920) (13,971,331) (14,685,122) (11,134,755) (31,831,214) (11,403,874) ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------ (77,632,773) 10,033,027 (4,842,749) 140,835 (4,382,049) 1,695,254 1,695,087 (431,759) ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------ 4,057,029 4,328,467 1,582,428 2,291,596 1,277,524 1,943,298 7,635,221 4,515,792 1,027,393 4,788,302 395,547 1,773,109 312,322 645,185 61,323 12,331 (16,620,075) (17,066,319) (4,885,902) (7,811,954) (2,438,919) (4,109,003) (11,505,402) (594,558) ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------ (11,535,653) (7,949,550) (2,907,927) (3,747,249) (849,073) (1,520,520) (3,808,858) 3,933,565 ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------ 187,288 463,146 5,800 243,511 51,805 660,773 43,933 11,331 302,290 1,924,453 137,687 875,634 101,481 302,218 1,402 2,708 (4,899,318) (7,116,870) (1,722,601) (4,012,016) (1,476,725) (2,279,776) (33,541) (67,129) ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------ (4,409,740) (4,729,271) (1,579,114) (2,892,871) (1,323,439) (1,316,785) 11,794 (53,090) ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------ 268,339 99,628 21,004 42,756 23,933 175,194 1,265,315 9,991 39,735 246,826 17,980 112,112 28,552 86,872 33,913 2,507 (480,873) (1,051,681) (375,301) (566,143) (559,532) (487,624) (61,588) (7,860) ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------ (172,799) (705,227) (336,317) (411,275) (507,047) (225,558) 1,237,640 4,638 ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------ $ (93,750,965) $ (3,351,021) $ (9,666,107) $ (6,910,560) $ (7,061,608) $ (1,367,609) $ (864,337) $ 3,453,354 ============= ============ ============ ============ ============ ============ ============ ============ 3,067,058 5,247,730 827,668 1,278,141 1,020,200 1,295,159 3,421,251 1,212,995 621,892 3,095,839 121,022 476,626 109,223 214,300 152,926 256,877 (11,991,192) (7,026,668) (1,502,450) (1,660,866) (1,613,287) (1,295,659) (3,418,401) (1,520,323) ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------ (8,302,242) 1,316,901 (553,760) 93,901 (483,864) 213,800 155,776 (50,451) ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------ 425,461 500,906 178,890 287,646 140,225 220,013 832,629 569,706 107,930 575,526 45,025 229,087 34,488 77,756 6,564 1,634 (1,741,987) (1,923,691) (556,570) (924,852) (266,887) (471,212) (1,230,704) (82,686) ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------ (1,208,596) (847,259) (332,655) (408,119) (92,174) (173,443) (391,511) 488,654 ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------ 19,754 52,159 661 28,682 5,837 78,856 4,699 1,385 31,893 233,412 15,717 113,791 11,253 36,666 150 356 (516,132) (811,344) (196,721) (493,623) (163,020) (266,799) (3,609) (10,205) ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------ (464,485) (525,773) (180,343) (351,150) (145,930) (151,277) 1,240 (8,464) ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------ 27,975 11,388 2,327 5,514 2,622 21,157 136,094 1,202 4,190 29,904 2,051 14,554 3,160 10,533 3,609 337 (51,188) (119,771) (42,839) (69,064) (62,878) (54,920) (6,488) (1,000) ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------ (19,023) (78,479) (38,461) (48,996) (57,096) (23,230) 133,215 539 ------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------ (9,994,346) (134,610) (1,105,219) (714,364) (779,064) (134,150) (101,280) 430,278 ============= ============ ============ ============ ============ ============ ============ ============
See notes to financial statements. 125 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS --------------------------------------------------------------------------------
TOTAL RETURN BOND SHORT TERM BOND ------------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED JULY 31, JULY 31, JULY 31, JULY 31, 2010 2009 2010 2009 ------------- ------------- ------------ ------------ CAPITAL TRANSACTIONS: Institutional Shares Shares issued $ 21,481,489 $ 19,208,925 $105,539,821 $ 48,552,815 Dividends reinvested 11,764,448 17,544,398 2,773,302 4,464,621 Shares redeemed (165,701,764) (173,512,167) (85,375,561) (70,105,875) ------------- ------------- ------------ ------------ Total Institutional Shares (132,455,827) (136,758,844) 22,937,562 (17,088,439) ------------- ------------- ------------ ------------ Class A Shares Shares issued 2,119,658 1,316,714 33,923,197 2,357,106 Dividends reinvested 582,431 752,674 223,449 179,092 Shares redeemed (4,430,450) (5,455,646) (18,764,483) (3,333,529) ------------- ------------- ------------ ------------ Total Class A Shares (1,728,361) (3,386,258) 15,382,163 (797,331) ------------- ------------- ------------ ------------ Class B Shares Shares issued 294,023 833,950 NA NA Dividends reinvested 71,727 112,499 NA NA Shares redeemed (1,642,970) (1,273,235) NA NA ------------- ------------- ------------ ------------ Total Class B Shares (1,277,220) (326,786) NA NA ------------- ------------- ------------ ------------ Class C Shares Shares issued 192,416 50,745 9,642,820 720,627 Dividends reinvested 29,588 36,850 42,593 4,438 Shares redeemed (156,022) (798,428) (410,337) (33,921) ------------- ------------- ------------ ------------ Total Class C Shares 65,982 (710,833) 9,275,076 691,144 ------------- ------------- ------------ ------------ Change from capital transactions $(135,395,426) $(141,182,721) $ 47,594,801 $(17,194,626) ============= ============= ============ ============ SHARE TRANSACTIONS: Institutional Shares Shares issued 2,437,747 2,297,103 11,116,718 5,307,102 Dividends reinvested 1,341,405 2,120,776 292,734 492,093 Shares redeemed (18,916,805) (20,679,055) (8,984,161) (7,703,125) ------------- ------------- ------------ ------------ Total Institutional Shares (15,137,653) (16,261,176) 2,425,291 (1,903,930) ------------- ------------- ------------ ------------ Class A Shares Shares issued 241,518 158,575 3,582,327 257,999 Dividends reinvested 66,366 91,019 23,551 19,746 Shares redeemed (505,394) (657,156) (1,978,057) (366,103) ------------- ------------- ------------ ------------ Total Class A Shares (197,510) (407,562) 1,627,821 (88,358) ------------- ------------- ------------ ------------ Class B Shares Shares issued 33,642 100,422 NA NA Dividends reinvested 8,170 13,605 NA NA Shares redeemed (186,466) (154,043) NA NA ------------- ------------- ------------ ------------ Total Class B Shares (144,654) (40,016) NA NA ------------- ------------- ------------ ------------ Class C Shares Shares issued 21,610 6,026 1,018,756 79,265 Dividends reinvested 3,365 4,449 4,494 487 Shares redeemed (17,765) (91,543) (43,159) (3,746) ------------- ------------- ------------ ------------ Total Class C Shares 7,210 (81,068) 980,091 76,006 ------------- ------------- ------------ ------------ Change from capital transactions (15,472,607) (16,789,822) 5,033,203 (1,916,282) ============= ============= ============ ============
See notes to financial statements. 126 FIFTH THIRD FUNDS STATEMENT OF CASH FLOWS FOR THE YEAR ENDED JULY 31, 2010 --------------------------------------------------------------------------------
STRUCTURED LARGE CAP PLUS ------------- INCREASE (DECREASE) IN CASH: CASH FLOWS FROM OPERATING ACTIVITIES: Net increase in net assets from operations $ 9,518,079 ADJUSTMENTS TO RECONCILE NET INCREASE IN NET ASSETS FROM OPERATIONS TO NET CASH USED IN OPERATING ACTIVITIES: Purchases of long-term securities (100,517,268) Proceeds from sales of long-term securities 97,871,530 Purchase of short-term investment securities, net 868,829 Proceeds from securities sold short 49,762,640 Buys to cover for securities sold short (43,075,229) Decrease in deposits with brokers for futures contracts 112,500 Increase in dividends receivable (36,165) Increase in other assets (1,985) Proceeds from futures transactions 455,915 Decrease in payable for investments purchased (711) Increase in payable to Advisor 1,959 Decrease in distribution and administrative servicing fee payable (198) Decrease dividends payable on securities sold short (27,095) Decrease in other liabilities (10,821) Unrealized depreciation on investments (8,909,224) Net realized loss on investments 216,799 ------------- Net cash received from operating activities 6,229,555 ------------- CASH FLOWS FROM FINANCING ACTIVITIES: Cash distributions paid (64,220) Proceeds from shares sold 147,820 Payment on shares redeemed (6,280,666) ------------- Net cash used for financing activities (6,197,066) ------------- NET INCREASE IN CASH 32,489 CASH AND FOREIGN CURRENCY: Beginning of year -- ------------- End of year $ 32,489 ============= SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION: Interest paid $ 206,016
Noncash financing activities not included herein consist of reinvestment of dividends of $740,604. See notes to financial statements. 127 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND RESULTING FROM OPERATIONS DISTRIBUTIONS FROM ------------------------------- ---------------------- NET REALIZED AND UNREALIZED CHANGE IN NET ASSET GAINS/(LOSSES) NET ASSETS VALUE, NET FROM RESULTING NET NET BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS --------------------------------------------------------------------------------------------------------------------------- SMALL CAP GROWTH INSTITUTIONAL SHARES Year ended 7/31/10 $ 6.08 (0.03)[DELTA] 0.99 0.96 -- -- Year ended 7/31/09 $ 8.09 (0.03)[DELTA] (1.98) (2.01) -- -- Year ended 7/31/08 $13.42 (0.06)[DELTA] (0.77) (0.83) -- (4.50) Year ended 7/31/07 $14.10 (0.08)[DELTA] 2.64 2.56 -- (3.24) Year ended 7/31/06 $15.58 (0.11)[DELTA] 0.50 0.39 -- (1.87) --------------------------------------------------------------------------------------------------------------------------- SMALL CAP GROWTH CLASS A SHARES Year ended 7/31/10 $ 5.66 (0.04)[DELTA] 0.92 0.88 -- -- Year ended 7/31/09 $ 7.54 (0.04)[DELTA] (1.84) (1.88) -- -- Year ended 7/31/08 $12.84 (0.08)[DELTA] (0.72) (0.80) -- (4.50) Year ended 7/31/07 $13.65 (0.11)[DELTA] 2.54 2.43 -- (3.24) Year ended 7/31/06 $15.17 (0.14)[DELTA] 0.49 0.35 -- (1.87) --------------------------------------------------------------------------------------------------------------------------- SMALL CAP GROWTH CLASS B SHARES Year ended 7/31/10 $ 5.15 (0.08)[DELTA] 0.84 0.76 -- -- Year ended 7/31/09 $ 6.92 (0.07)[DELTA] (1.70) (1.77) -- -- Year ended 7/31/08 $12.21 (0.14)[DELTA] (0.65) (0.79) -- (4.50) Year ended 7/31/07 $13.21 (0.20)[DELTA] 2.44 2.24 -- (3.24) Year ended 7/31/06 $14.85 (0.25)[DELTA] 0.48 0.23 -- (1.87) --------------------------------------------------------------------------------------------------------------------------- SMALL CAP GROWTH CLASS C SHARES Year ended 7/31/10 $ 5.16 (0.08)[DELTA] 0.82 0.74 -- -- Year ended 7/31/09 $ 6.93 (0.07)[DELTA] (1.70) (1.77) -- -- Year ended 7/31/08 $12.23 (0.14)[DELTA] (0.66) (0.80) -- (4.50) Year ended 7/31/07 $13.23 (0.20)[DELTA] 2.44 2.24 -- (3.24) Year ended 7/31/06 $14.86 (0.25)[DELTA] 0.49 0.24 -- (1.87) --------------------------------------------------------------------------------------------------------------------------- MID CAP GROWTH INSTITUTIONAL SHARES Year ended 7/31/10 $ 7.34 (0.02)[DELTA] 1.34 1.32 -- -- Year ended 7/31/09 $12.03 (0.01)[DELTA] (3.27) (3.28) -- (1.41) Year ended 7/31/08 $15.70 (0.05)[DELTA] (1.43) (1.48) -- (2.19) Year ended 7/31/07 $16.55 (0.07)[DELTA]@ 2.72 2.65 -- (3.50) Year ended 7/31/06 $16.03 (0.04)[DELTA] 0.77 0.73 (0.02) (0.19) --------------------------------------------------------------------------------------------------------------------------- MID CAP GROWTH CLASS A SHARES Year ended 7/31/10 $ 6.96 (0.04)[DELTA] 1.28 1.24 -- -- Year ended 7/31/09 $11.56 (0.03)[DELTA] (3.16) (3.19) -- (1.41) Year ended 7/31/08 $15.20 (0.08)[DELTA] (1.37) (1.45) -- (2.19) Year ended 7/31/07 $16.17 (0.11)[DELTA]@ 2.64 2.53 -- (3.50) Year ended 7/31/06 $15.69 (0.08)[DELTA] 0.76 0.68 (0.01) (0.19) --------------------------------------------------------------------------------------------------------------------------- MID CAP GROWTH CLASS B SHARES Year ended 7/31/10 $ 6.24 (0.09)[DELTA] 1.13 1.04 -- -- Year ended 7/31/09 $10.68 (0.07)[DELTA] (2.96) (3.03) -- (1.41) Year ended 7/31/08 $14.31 (0.17)[DELTA] (1.27) (1.44) -- (2.19) Year ended 7/31/07 $15.50 (0.21)[DELTA]@ 2.52 2.31 -- (3.50) Year ended 7/31/06 $15.16 (0.20)[DELTA] 0.73 0.53 -- (0.19) --------------------------------------------------------------------------------------------------------------------------- MID CAP GROWTH CLASS C SHARES Year ended 7/31/10 $ 5.82 (0.08)[DELTA] 1.06 0.98 -- -- Year ended 7/31/09 $10.13 (0.07)[DELTA] (2.83) (2.90) -- (1.41) Year ended 7/31/08 $13.65 (0.16)[DELTA] (1.17) (1.33) -- (2.19) Year ended 7/31/07 $14.94 (0.20)[DELTA]@ 2.41 2.21 -- (3.50) Year ended 7/31/06 $14.61 (0.19)[DELTA] 0.71 0.52 -- (0.19) ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 128 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------------- RATIOS OF RATIOS OF RATIOS OF NET TOTAL NET EXPENSES EXPENSES NET TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER DISTRIBUTIONS PERIOD CHARGE) (000'S) ASSETS (a) ASSETS (b) NET ASSETS RATE (d) ------------------------------------------------------------------------------------------------------ -- $ 7.04 15.79% $ 35,914 1.25% 1.01% (0.45)% 86% -- $ 6.08 (24.85)% $ 43,273 1.25% 1.01% (0.48)% 81% (4.50) $ 8.09 (10.17)% $ 66,801 1.09% 1.01% (0.60)% 105% (3.24) $13.42 20.45% $112,591 1.06% 1.01% (0.59)% 90% (1.87) $14.10 2.71% $126,809 1.03% 1.02% (0.75)% 67% ------------------------------------------------------------------------------------------------------ -- $ 6.54 15.55% $ 7,036 1.50% 1.26% (0.69)% 86% -- $ 5.66 (24.93)% $ 6,630 1.50% 1.26% (0.73)% 81% (4.50) $ 7.54 (10.48)% $ 10,722 1.34% 1.26% (0.86)% 105% (3.24) $12.84 20.11% $ 16,036 1.30% 1.26% (0.84)% 90% (1.87) $13.65 2.50% $ 17,783 1.28% 1.27% (0.99)% 67% ------------------------------------------------------------------------------------------------------ -- $ 5.91 14.76% $ 351 2.25% 2.01% (1.46)% 86% -- $ 5.15 (25.58)% $ 549 2.25% 2.01% (1.48)% 81% (4.50) $ 6.92 (11.15)% $ 897 2.09% 2.01% (1.61)% 105% (3.24) $12.21 19.31% $ 1,318 2.06% 2.01% (1.59)% 90% (1.87) $13.21 1.69% $ 1,414 2.03% 2.02% (1.74)% 67% ------------------------------------------------------------------------------------------------------ -- $ 5.90 14.34% $ 111 2.25% 2.01% (1.44)% 86% -- $ 5.16 (25.54)% $ 234 2.26% 2.01% (1.49)% 81% (4.50) $ 6.93 (11.14)% $ 273 2.09% 2.01% (1.61)% 105% (3.24) $12.23 19.18% $ 426 2.05% 2.01% (1.60)% 90% (1.87) $13.23 1.75% $ 384 2.03% 2.02% (1.75)% 67% ------------------------------------------------------------------------------------------------------ -- $ 8.66 17.98% $ 68,705 1.23% 0.89% (0.25)% 92% (1.41) $ 7.34 (23.93)% $ 81,725 1.17% 1.01% (0.15)% 47% (2.19) $12.03 (11.24)% $209,074 1.11% 1.09% (0.38)% 96% (3.50) $15.70 17.32%@ $313,124 1.09% 1.09% (0.48)% 55% (0.21) $16.55 4.56% $318,133 1.08% 1.08% (0.24)% 69% ------------------------------------------------------------------------------------------------------ -- $ 8.20 17.82% $ 12,084 1.48% 1.14% (0.50)% 92% (1.41) $ 6.96 (24.18)% $ 11,989 1.42% 1.24% (0.38)% 47% (2.19) $11.56 (11.43)% $ 20,378 1.36% 1.34% (0.62)% 96% (3.50) $15.20 16.93%@ $ 29,103 1.35% 1.34% (0.73)% 55% (0.20) $16.17 4.34% $ 34,437 1.33% 1.33% (0.49)% 69% ------------------------------------------------------------------------------------------------------ -- $ 7.28 16.67% $ 1,062 2.23% 1.89% (1.25)% 92% (1.41) $ 6.24 (24.72)% $ 1,883 2.17% 2.00% (1.13)% 47% (2.19) $10.68 (12.14)% $ 4,187 2.11% 2.09% (1.38)% 96% (3.50) $14.31 16.14%@ $ 5,707 2.09% 2.09% (1.48)% 55% (0.19) $15.50 3.51% $ 6,507 2.08% 2.08% (1.24)% 69% ------------------------------------------------------------------------------------------------------ -- $ 6.80 16.84% $ 246 2.23% 1.89% (1.24)% 92% (1.41) $ 5.82 (24.82)% $ 376 2.17% 2.00% (1.13)% 47% (2.19) $10.13 (11.88)% $ 714 2.11% 2.09% (1.37)% 96% (3.50) $13.65 16.07%@ $ 802 2.09% 2.09% (1.47)% 55% (0.19) $14.94 3.57% $ 1,122 2.08% 2.08% (1.22)% 69% ------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 129 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND RESULTING FROM OPERATIONS DISTRIBUTIONS FROM ------------------------------- ---------------------- NET REALIZED AND UNREALIZED CHANGE IN NET ASSET GAINS/(LOSSES) NET ASSETS VALUE, NET FROM RESULTING NET NET BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS --------------------------------------------------------------------------------------------------------------------------- QUALITY GROWTH INSTITUTIONAL SHARES Year ended 7/31/10 $12.44 0.02[DELTA] 1.02 1.04 (0.04) -- Year ended 7/31/09 $16.57 0.07[DELTA] (3.66) (3.59) (0.04) (0.50) Year ended 7/31/08 $18.52 0.04[DELTA] 0.72 0.76 (0.04) (2.67) Year ended 7/31/07 $15.67 0.11[DELTA]@ 3.07 3.18 (0.08) (0.25) Year ended 7/31/06 $16.34 (0.03)[DELTA] (0.64) (0.67) -- -- --------------------------------------------------------------------------------------------------------------------------- QUALITY GROWTH CLASS A SHARES Year ended 7/31/10 $12.09 (0.01)[DELTA] 0.98 0.97 (0.02) -- Year ended 7/31/09 $16.14 0.04[DELTA] (3.56) (3.52) (0.03) (0.50) Year ended 7/31/08 $18.12 (0.01)[DELTA] 0.71 0.70 (0.01) (2.67) Year ended 7/31/07 $15.36 0.06[DELTA]@ 3.01 3.07 (0.06) (0.25) Year ended 7/31/06 $16.05 (0.07)[DELTA] (0.62) (0.69) -- -- --------------------------------------------------------------------------------------------------------------------------- QUALITY GROWTH CLASS B SHARES Year ended 7/31/10 $11.27 (0.10)[DELTA] 0.91 0.81 -- -- Year ended 7/31/09 $15.19 (0.04)[DELTA] (3.38) (3.42) -- (0.50) Year ended 7/31/08 $17.30 (0.13)[DELTA] 0.69 0.56 -- (2.67) Year ended 7/31/07 $14.74 (0.06)[DELTA]@ 2.88 2.82 (0.01) (0.25) Year ended 7/31/06 $15.52 (0.18)[DELTA] (0.60) (0.78) -- -- --------------------------------------------------------------------------------------------------------------------------- QUALITY GROWTH CLASS C SHARES Year ended 7/31/10 $10.91 (0.10)[DELTA] 0.89 0.79 -- -- Year ended 7/31/09 $14.72 (0.04)[DELTA] (3.27) (3.31) -- (0.50) Year ended 7/31/08 $16.85 (0.12)[DELTA] 0.66 0.54 -- (2.67) Year ended 7/31/07 $14.36 (0.06)[DELTA]@ 2.81 2.75 (0.01) (0.25) Year ended 7/31/06 $15.12 (0.18)[DELTA] (0.58) (0.76) -- -- --------------------------------------------------------------------------------------------------------------------------- DIVIDEND GROWTH INSTITUTIONAL SHARES Year ended 7/31/10 $18.36 0.27[DELTA] 1.64 1.91 (0.27) -- Year ended 7/31/09 $23.76 0.32[DELTA] (5.34) (5.02) (0.38) -- Year ended 7/31/08 $25.50 0.34[DELTA] (1.77) (1.43) (0.31) -- Year ended 7/31/07 $22.56 0.57[DELTA]@ 2.85 3.42 (0.48) -- Year ended 7/31/06 $21.71 0.28[DELTA] 0.83 1.11 (0.26) -- --------------------------------------------------------------------------------------------------------------------------- DIVIDEND GROWTH CLASS A SHARES Year ended 7/31/10 $18.03 0.22[DELTA] 1.61 1.83 (0.22) -- Year ended 7/31/09 $23.35 0.26[DELTA] (5.24) (4.98) (0.34) -- Year ended 7/31/08 $25.07 0.27[DELTA] (1.74) (1.47) (0.25) -- Year ended 7/31/07 $22.18 0.49[DELTA]@ 2.82 3.31 (0.42) -- Year ended 7/31/06 $21.34 0.23[DELTA] 0.85 1.08 (0.24) -- --------------------------------------------------------------------------------------------------------------------------- DIVIDEND GROWTH CLASS B SHARES Year ended 7/31/10 $17.42 0.07[DELTA] 1.55 1.62 (0.07) -- Year ended 7/31/09 $22.57 0.14[DELTA] (5.08) (4.94) (0.21) -- Year ended 7/31/08 $24.31 0.08[DELTA] (1.67) (1.59) (0.15) -- Year ended 7/31/07 $21.53 0.31[DELTA]@ 2.71 3.02 (0.24) -- Year ended 7/31/06 $20.83 0.06[DELTA] 0.80 0.86 (0.16) -- --------------------------------------------------------------------------------------------------------------------------- DIVIDEND GROWTH CLASS C SHARES Year ended 7/31/10 $16.89 0.06[DELTA] 1.52 1.58 (0.09) -- Year ended 7/31/09 $21.92 0.12[DELTA] (4.92) (4.80) (0.23) -- Year ended 7/31/08 $23.67 0.08[DELTA] (1.68) (1.60) (0.15) -- Year ended 7/31/07 $20.97 0.29[DELTA]@ 2.66 2.95 (0.25) -- Year ended 7/31/06 $20.27 0.07[DELTA] 0.78 0.85 (0.15) -- ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 130 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------------- RATIOS OF RATIOS OF RATIOS OF NET TOTAL NET EXPENSES EXPENSES NET TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER DISTRIBUTIONS PERIOD CHARGE) (000'S) ASSETS (a) ASSETS (b) NET ASSETS RATE (d) ------------------------------------------------------------------------------------------------------ (0.04) $13.44 8.33% $232,350 1.13% 1.06% 0.17% 56% (0.54) $12.44 (21.13)% $237,049 1.13% 1.06% 0.62% 31% (2.71) $16.57 2.79% $371,615 1.11% 1.07% 0.21% 57% (0.33) $18.52 20.51%@ $535,734 1.10% 1.08% 0.52% 98% -- $15.67 (4.10)% $616,737 1.08% 1.08% (0.18)% 108% ------------------------------------------------------------------------------------------------------ (0.02) $13.04 8.03% $ 58,198 1.38% 1.31% (0.08)% 56% (0.53) $12.09 (21.29)% $ 61,219 1.38% 1.31% 0.37% 31% (2.68) $16.14 2.51% $ 90,015 1.36% 1.32% (0.03)% 57% (0.31) $18.12 20.18%@ $ 92,728 1.35% 1.33% 0.27% 98% -- $15.36 (4.30)% $114,828 1.33% 1.33% (0.42)% 108% ------------------------------------------------------------------------------------------------------ -- $12.08 7.19% $ 2,563 2.13% 2.06% (0.81)% 56% (0.50) $11.27 (21.96)% $ 6,185 2.12% 2.06% (0.37)% 31% (2.67) $15.19 1.78% $ 14,165 2.11% 2.07% (0.77)% 57% (0.26) $17.30 19.29%@ $ 11,347 2.10% 2.08% (0.49)% 98% -- $14.74 (5.03)% $ 13,259 2.08% 2.08% (1.18)% 108% ------------------------------------------------------------------------------------------------------ -- $11.70 7.34% $ 1,133 2.13% 2.06% (0.81)% 56% (0.50) $10.91 (21.97)% $ 1,631 2.13% 2.06% (0.38)% 31% (2.67) $14.72 1.70% $ 2,805 2.11% 2.07% (0.77)% 57% (0.26) $16.85 19.30%@ $ 2,275 2.10% 2.08% (0.45)% 98% -- $14.36 (5.03)% $ 3,199 2.08% 2.08% (1.17)% 108% ------------------------------------------------------------------------------------------------------ (0.27) $20.00 10.44% $ 5,127 2.82% 0.73% 1.37% 63% (0.38) $18.36 (21.12)% $ 6,977 2.22% 0.73% 1.76% 102% (0.31) $23.76 (5.69)% $ 16,556 1.76% 0.73% 1.33% 76% (0.48) $25.50 15.22%@ $ 18,875 1.67% 0.73% 2.08% 68% (0.26) $22.56 5.14% $ 15,759 2.72% 0.73% 1.25% 147% ------------------------------------------------------------------------------------------------------ (0.22) $19.64 10.19% $ 1,963 3.07% 0.98% 1.11% 63% (0.34) $18.03 (21.37)% $ 2,078 2.50% 0.98% 1.49% 102% (0.25) $23.35 (5.93)% $ 3,074 2.00% 0.98% 1.08% 76% (0.42) $25.07 14.97%@ $ 3,926 1.92% 0.98% 1.80% 68% (0.24) $22.18 5.05% $ 4,670 2.93% 0.98% 1.08% 147% ------------------------------------------------------------------------------------------------------ (0.07) $18.97 9.38% $ 70 3.82% 1.73% 0.38% 63% (0.21) $17.42 (21.93)% $ 113 3.21% 1.73% 0.79% 102% (0.15) $22.57 (6.62)% $ 225 2.74% 1.73% 0.34% 76% (0.24) $24.31 14.11%@ $ 369 2.66% 1.73% 1.08% 68% (0.16) $21.53 4.13% $ 371 3.70% 1.73% 0.27% 147% ------------------------------------------------------------------------------------------------------ (0.09) $18.38 9.34% $ 162 3.82% 1.73% 0.35% 63% (0.23) $16.89 (21.93)% $ 156 3.26% 1.73% 0.75% 102% (0.15) $21.92 (6.83)% $ 228 2.74% 1.73% 0.34% 76% (0.25) $23.67 14.12%@ $ 356 2.67% 1.73% 1.02% 68% (0.15) $20.97 4.22% $ 389 3.71% 1.73% 0.32% 147% ------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 131 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND RESULTING FROM OPERATIONS DISTRIBUTIONS FROM ------------------------------- ---------------------- NET REALIZED AND UNREALIZED CHANGE IN NET ASSET GAINS/(LOSSES) NET ASSETS VALUE, NET FROM RESULTING NET NET BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS --------------------------------------------------------------------------------------------------------------------------- MICRO CAP VALUE INSTITUTIONAL SHARES Year ended 7/31/10 $ 3.24 (0.01)[DELTA] 0.69 0.68 -- -- Year ended 7/31/09 $ 3.75 0.02[DELTA] (0.51) (0.49) (0.01) (0.01) Year ended 7/31/08 $ 7.02 0.02[DELTA] (0.78) (0.76) (0.01) (2.50) Year ended 7/31/07 $ 8.05 0.01[DELTA] 0.93 0.94 (0.05) (1.92) Year ended 7/31/06 $11.00 0.02[DELTA] 0.17 0.19 (0.01) (3.13) --------------------------------------------------------------------------------------------------------------------------- MICRO CAP VALUE CLASS A SHARES Year ended 7/31/10 $ 3.01 (0.01)[DELTA] 0.63 0.62 -- -- Year ended 7/31/09 $ 3.49 0.01[DELTA] (0.47) (0.46) (0.01) (0.01) Year ended 7/31/08 $ 6.73 0.01[DELTA] (0.75) (0.74) -- (2.50) Year ended 7/31/07 $ 7.80 (0.01)[DELTA] 0.90 0.89 (0.04) (1.92) Year ended 7/31/06 $10.78 --^[DELTA] 0.15 0.15 --^ (3.13) --------------------------------------------------------------------------------------------------------------------------- MICRO CAP VALUE CLASS B SHARES Year ended 7/31/10 $ 2.71 (0.03)[DELTA] 0.57 0.54 -- -- Year ended 7/31/09 $ 3.16 (0.01)[DELTA] (0.43) (0.44) -- (0.01) Year ended 7/31/08 $ 6.39 (0.02)[DELTA] (0.71) (0.73) -- (2.50) Year ended 7/31/07 $ 7.52 (0.06)[DELTA] 0.86 0.80 (0.01) (1.92) Year ended 7/31/06 $10.56 (0.06)[DELTA] 0.15 0.09 -- (3.13) --------------------------------------------------------------------------------------------------------------------------- MICRO CAP VALUE CLASS C SHARES Year ended 7/31/10 $ 2.72 (0.04)[DELTA] 0.57 0.53 -- -- Year ended 7/31/09 $ 3.17 (0.01)[DELTA] (0.43) (0.44) -- (0.01) Year ended 7/31/08 $ 6.39 (0.02)[DELTA] (0.70) (0.72) -- (2.50) Year ended 7/31/07 $ 7.52 (0.05)[DELTA] 0.84 0.79 -- (1.92) Year ended 7/31/06 $10.56 (0.06)[DELTA] 0.15 0.09 -- (3.13) --------------------------------------------------------------------------------------------------------------------------- SMALL CAP VALUE INSTITUTIONAL SHARES Year ended 7/31/10 $13.48 0.11[DELTA] 2.85 2.96 (0.10) -- Year ended 7/31/09 $17.04 0.21[DELTA] (3.55) (3.34) (0.22) -- Year ended 7/31/08 $20.29 0.19[DELTA] (0.91) (0.72) (0.16) (2.37) Year ended 7/31/07 $20.89 0.13[DELTA] 2.12 2.25 (0.08) (2.77) Year ended 7/31/06 $22.82 0.09 0.46 0.55 (0.05) (2.43) --------------------------------------------------------------------------------------------------------------------------- SMALL CAP VALUE CLASS A SHARES Year ended 7/31/10 $13.33 0.06[DELTA] 2.83 2.89 (0.07) -- Year ended 7/31/09 $16.84 0.18[DELTA] (3.51) (3.33) (0.18) -- Year ended 7/31/08 $20.09 0.14[DELTA] (0.90) (0.76) (0.12) (2.37) Year ended 7/31/07 $20.74 0.08[DELTA] 2.11 2.19 (0.07) (2.77) Year ended 7/31/06 $22.68 0.02 0.47 0.49 -- (2.43) --------------------------------------------------------------------------------------------------------------------------- SMALL CAP VALUE CLASS B SHARES Year ended 7/31/10 $12.77 (0.05)[DELTA] 2.70 2.65 -- -- Year ended 7/31/09 $16.11 0.08[DELTA] (3.35) (3.27) (0.07) -- Year ended 7/31/08 $19.34 --^[DELTA] (0.86) (0.86) -- (2.37) Year ended 7/31/07 $20.18 (0.08)[DELTA] 2.05 1.97 (0.04) (2.77) Year ended 7/31/06 $22.29 (0.13) 0.45 0.32 -- (2.43) --------------------------------------------------------------------------------------------------------------------------- SMALL CAP VALUE CLASS C SHARES Year ended 7/31/10 $12.73 (0.06)[DELTA] 2.70 2.64 -- -- Year ended 7/31/09 $16.07 0.08[DELTA] (3.33) (3.25) (0.09) -- Year ended 7/31/08 $19.31 --^[DELTA] (0.87) (0.87) -- (2.37) Year ended 7/31/07 $20.14 (0.08)[DELTA] 2.06 1.98 (0.04) (2.77) Year ended 7/31/06 $22.25 (0.14) 0.46 0.32 -- (2.43) ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 132 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------------- RATIOS OF RATIOS OF RATIOS OF NET TOTAL NET EXPENSES EXPENSES NET TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER DISTRIBUTIONS PERIOD CHARGE) (000'S) ASSETS (a) ASSETS (b) NET ASSETS RATE (d) ------------------------------------------------------------------------------------------------------ -- $ 3.92 20.99% $ 21,195 1.82% 1.35% (0.16)% 56% (0.02) $ 3.24 (12.86)% $ 17,394 1.89% 1.35% 0.64% 46% (2.51) $ 3.75 (12.23)% $ 22,662 1.82% 1.35% 0.37% 49% (1.97) $ 7.02 12.53% $ 51,541 1.52% 1.35% 0.17% 72% (3.14) $ 8.05 1.93% $ 72,981 1.40% 1.37% 0.23% 42% ------------------------------------------------------------------------------------------------------ -- $ 3.63 20.60% $ 11,649 2.07% 1.60% (0.41)% 56% (0.02) $ 3.01 (13.18)% $ 7,497 2.14% 1.60% 0.40% 46% (2.50) $ 3.49 (12.41)% $ 10,552 2.06% 1.60% 0.16% 49% (1.96) $ 6.73 12.24% $ 11,486 1.77% 1.60% (0.08)% 72% (3.13) $ 7.80 1.59% $ 17,759 1.65% 1.62% (0.05)% 42% ------------------------------------------------------------------------------------------------------ -- $ 3.25 19.93% $ 998 2.82% 2.35% (1.15)% 56% (0.01) $ 2.71 (13.80)% $ 1,937 2.89% 2.35% (0.34)% 46% (2.50) $ 3.16 (13.23)% $ 3,032 2.81% 2.35% (0.62)% 49% (1.93) $ 6.39 11.38% $ 5,069 2.53% 2.35% (0.87)% 72% (3.13) $ 7.52 0.86% $ 6,032 2.40% 2.37% (0.73)% 42% ------------------------------------------------------------------------------------------------------ -- $ 3.25 19.49% $ 2,876 2.82% 2.35% (1.17)% 56% (0.01) $ 2.72 (13.75)% $ 1,446 2.88% 2.35% (0.35)% 46% (2.50) $ 3.17 (12.95)% $ 1,749 2.81% 2.35% (0.62)% 49% (1.92) $ 6.39 11.28% $ 2,853 2.51% 2.35% (0.75)% 72% (3.13) $ 7.52 0.86% $ 5,161 2.40% 2.37% (0.71)% 42% ------------------------------------------------------------------------------------------------------ (0.10) $16.34 22.00% $ 59,572 1.31% 1.16% 0.67% 65% (0.22) $13.48 (19.32)% $ 65,235 1.30% 1.20% 1.68% 68% (2.53) $17.04 (3.68)% $ 86,463 1.24% 1.19% 1.05% 60% (2.85) $20.29 10.77% $110,873 1.25% 1.20% 0.61% 46% (2.48) $20.89 2.62% $116,503 1.24% 1.21% 0.39% 99% ------------------------------------------------------------------------------------------------------ (0.07) $16.15 21.69% $ 2,241 1.56% 1.41% 0.39% 65% (0.18) $13.33 (19.56)% $ 1,275 1.55% 1.45% 1.42% 68% (2.49) $16.84 (3.95)% $ 1,682 1.50% 1.45% 0.77% 60% (2.84) $20.09 10.53% $ 2,198 1.50% 1.45% 0.36% 46% (2.43) $20.74 2.36% $ 2,434 1.49% 1.46% 0.11% 99% ------------------------------------------------------------------------------------------------------ -- $15.42 20.76% $ 581 2.31% 2.16% (0.35)% 65% (0.07) $12.77 (20.16)% $ 572 2.30% 2.20% 0.68% 68% (2.37) $16.11 (4.68)% $ 834 2.25% 2.20% 0.03% 60% (2.81) $19.34 9.63% $ 1,104 2.25% 2.20% (0.39)% 46% (2.43) $20.18 1.59% $ 1,221 2.24% 2.21% (0.64)% 99% ------------------------------------------------------------------------------------------------------ -- $15.37 20.83% $ 828 2.31% 2.16% (0.37)% 65% (0.09) $12.73 (20.17)% $ 399 2.30% 2.20% 0.68% 68% (2.37) $16.07 (4.74)% $ 384 2.25% 2.20% 0.01% 60% (2.81) $19.31 9.66% $ 713 2.25% 2.20% (0.39)% 46% (2.43) $20.14 1.59% $ 839 2.24% 2.21% (0.64)% 99% ------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 133 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND RESULTING FROM OPERATIONS DISTRIBUTIONS FROM ------------------------------- ---------------------- NET REALIZED AND UNREALIZED CHANGE IN NET ASSET GAINS/(LOSSES) NET ASSETS VALUE, NET FROM RESULTING NET NET BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS --------------------------------------------------------------------------------------------------------------------------- ALL CAP VALUE INSTITUTIONAL SHARES Year ended 7/31/10 $12.52 0.16[DELTA] 1.26 1.42 (0.15) -- Year ended 7/31/09 $17.98 0.24[DELTA] (4.42) (4.18) (0.27) (1.01) Year ended 7/31/08 $25.65 0.31[DELTA] (4.14) (3.83) (0.28) (3.56) Year ended 7/31/07 $25.68 0.37[DELTA] 4.19 4.56 (0.36) (4.23) Year ended 7/31/06 $26.04 0.26 1.77 2.03 (0.24) (2.15) --------------------------------------------------------------------------------------------------------------------------- ALL CAP VALUE CLASS A SHARES Year ended 7/31/10 $12.30 0.12[DELTA] 1.24 1.36 (0.12) -- Year ended 7/31/09 $17.69 0.21[DELTA] (4.35) (4.14) (0.24) (1.01) Year ended 7/31/08 $25.30 0.25[DELTA] (4.07) (3.82) (0.23) (3.56) Year ended 7/31/07 $25.39 0.30[DELTA] 4.13 4.43 (0.29) (4.23) Year ended 7/31/06 $25.76 0.19 1.77 1.96 (0.18) (2.15) --------------------------------------------------------------------------------------------------------------------------- ALL CAP VALUE CLASS B SHARES Year ended 7/31/10 $11.66 0.02[DELTA] 1.17 1.19 (0.02) -- Year ended 7/31/09 $16.90 0.11[DELTA] (4.18) (4.07) (0.16) (1.01) Year ended 7/31/08 $24.35 0.09[DELTA] (3.89) (3.80) (0.09) (3.56) Year ended 7/31/07 $24.61 0.10[DELTA] 3.99 4.09 (0.12) (4.23) Year ended 7/31/06 $25.11 --^ 1.71 1.71 (0.06) (2.15) --------------------------------------------------------------------------------------------------------------------------- ALL CAP VALUE CLASS C SHARES Year ended 7/31/10 $11.63 0.02[DELTA] 1.17 1.19 (0.03) -- Year ended 7/31/09 $16.86 0.11[DELTA] (4.16) (4.05) (0.17) (1.01) Year ended 7/31/08 $24.32 0.09[DELTA] (3.89) (3.80) (0.10) (3.56) Year ended 7/31/07 $24.59 0.11[DELTA] 3.98 4.09 (0.13) (4.23) Year ended 7/31/06 $25.09 --^ 1.71 1.71 (0.06) (2.15) --------------------------------------------------------------------------------------------------------------------------- DISCIPLINED LARGE CAP VALUE INSTITUTIONAL SHARES Year ended 7/31/10 $ 8.55 0.15[DELTA] 0.86 1.01 (0.14) -- Year ended 7/31/09 $11.48 0.22[DELTA] (2.74) (2.52) (0.25) (0.16) Year ended 7/31/08 $14.39 0.25[DELTA] (2.03) (1.78) (0.23) (0.90) Year ended 7/31/07 $14.72 0.22[DELTA]@ 1.80 2.02 (0.22) (2.13) Year ended 7/31/06 $15.08 0.21 1.07 1.28 (0.20) (1.44) --------------------------------------------------------------------------------------------------------------------------- DISCIPLINED LARGE CAP VALUE CLASS A SHARES Year ended 7/31/10 $ 8.52 0.13[DELTA] 0.85 0.98 (0.11) -- Year ended 7/31/09 $11.44 0.19[DELTA] (2.72) (2.53) (0.23) (0.16) Year ended 7/31/08 $14.35 0.21[DELTA] (2.03) (1.82) (0.19) (0.90) Year ended 7/31/07 $14.69 0.18[DELTA]@ 1.79 1.97 (0.18) (2.13) Year ended 7/31/06 $15.05 0.17 1.07 1.24 (0.16) (1.44) --------------------------------------------------------------------------------------------------------------------------- DISCIPLINED LARGE CAP VALUE CLASS B SHARES Year ended 7/31/10 $ 8.62 0.06[DELTA] 0.85 0.91 (0.04) -- Year ended 7/31/09 $11.57 0.14[DELTA] (2.76) (2.62) (0.17) (0.16) Year ended 7/31/08 $14.49 0.12[DELTA] (2.05) (1.93) (0.09) (0.90) Year ended 7/31/07 $14.81 0.08[DELTA]@ 1.80 1.88 (0.07) (2.13) Year ended 7/31/06 $15.17 0.06 1.08 1.14 (0.06) (1.44) --------------------------------------------------------------------------------------------------------------------------- DISCIPLINED LARGE CAP VALUE CLASS C SHARES Year ended 7/31/10 $ 8.42 0.05[DELTA] 0.85 0.90 (0.05) -- Year ended 7/31/09 $11.32 0.13[DELTA] (2.70) (2.57) (0.17) (0.16) Year ended 7/31/08 $14.21 0.11[DELTA] (2.01) (1.90) (0.09) (0.90) Year ended 7/31/07 $14.56 0.08[DELTA]@ 1.77 1.85 (0.07) (2.13) Year ended 7/31/06 $14.94 0.06 1.06 1.12 (0.06) (1.44) ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 134 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------------- RATIOS OF RATIOS OF RATIOS OF NET TOTAL NET EXPENSES EXPENSES NET TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER DISTRIBUTIONS PERIOD CHARGE) (000'S) ASSETS (a) ASSETS (b) NET ASSETS RATE (d) ------------------------------------------------------------------------------------------------------ (0.15) $13.79 11.30% $ 86,521 1.42% 1.07% 1.12% 37% (1.28) $12.52 (22.15)% $ 93,858 1.40% 1.16% 2.00% 42% (3.84) $17.98 (17.47)% $165,714 1.34% 1.19% 1.43% 43% (4.59) $25.65 18.93% $223,709 1.31% 1.22% 1.40% 23% (2.39) $25.68 8.38% $226,189 1.31% 1.29% 0.99% 40% ------------------------------------------------------------------------------------------------------ (0.12) $13.54 11.01% $ 35,731 1.67% 1.32% 0.86% 37% (1.25) $12.30 (22.29)% $ 33,491 1.65% 1.41% 1.72% 42% (3.79) $17.69 (17.65)% $ 52,999 1.59% 1.44% 1.19% 43% (4.52) $25.30 18.58% $ 44,717 1.56% 1.47% 1.14% 23% (2.33) $25.39 8.16% $ 38,714 1.56% 1.54% 0.74% 40% ------------------------------------------------------------------------------------------------------ (0.02) $12.83 10.24% $ 4,182 2.42% 2.07% 0.14% 37% (1.17) $11.66 (22.98)% $ 8,991 2.40% 2.16% 0.99% 42% (3.65) $16.90 (18.24)% $ 15,431 2.34% 2.19% 0.43% 43% (4.35) $24.35 17.65% $ 23,974 2.31% 2.22% 0.40% 23% (2.21) $24.61 7.33% $ 21,679 2.31% 2.29% (0.01)% 40% ------------------------------------------------------------------------------------------------------ (0.03) $12.79 10.20% $ 4,054 2.42% 2.07% 0.13% 37% (1.18) $11.63 (22.97)% $ 5,102 2.39% 2.16% 0.98% 42% (3.66) $16.86 (18.25)% $ 8,647 2.34% 2.19% 0.43% 43% (4.36) $24.32 17.67% $ 8,150 2.31% 2.22% 0.40% 23% (2.21) $24.59 7.33% $ 4,455 2.31% 2.29% (0.01)% 40% ------------------------------------------------------------------------------------------------------ (0.14) $ 9.42 11.80% $331,332 1.07% 0.92% 1.58% 54% (0.41) $ 8.55 (21.78)% $308,345 1.07% 0.98% 2.58% 58% (1.13) $11.48 (13.52)% $487,006 1.08% 1.01% 1.88% 47% (2.35) $14.39 14.52%@ $649,497 1.07% 1.03% 1.50% 49% (1.64) $14.72 9.29% $581,507 1.07% 1.07% 1.40% 57% ------------------------------------------------------------------------------------------------------ (0.11) $ 9.39 11.56% $ 10,845 1.32% 1.17% 1.33% 54% (0.39) $ 8.52 (22.02)% $ 11,024 1.32% 1.23% 2.32% 58% (1.09) $11.44 (13.67)% $ 17,759 1.33% 1.26% 1.63% 47% (2.31) $14.35 14.13%@ $ 29,725 1.32% 1.27% 1.24% 49% (1.60) $14.69 9.05% $ 22,968 1.32% 1.32% 1.16% 57% ------------------------------------------------------------------------------------------------------ (0.04) $ 9.49 10.61% $ 1,315 2.07% 1.92% 0.58% 54% (0.33) $ 8.62 (22.52)% $ 1,991 2.07% 1.98% 1.61% 58% (0.99) $11.57 (14.40)% $ 3,932 2.08% 2.01% 0.88% 47% (2.20) $14.49 13.38%@ $ 5,872 2.07% 2.03% 0.50% 49% (1.50) $14.81 8.22% $ 5,783 2.07% 2.07% 0.40% 57% ------------------------------------------------------------------------------------------------------ (0.05) $ 9.27 10.66% $ 583 2.07% 1.92% 0.59% 54% (0.33) $ 8.42 (22.55)% $ 778 2.07% 1.98% 1.59% 58% (0.99) $11.32 (14.40)% $ 1,756 2.08% 2.01% 0.88% 47% (2.20) $14.21 13.34%@ $ 2,533 2.07% 2.02% 0.50% 49% (1.50) $14.56 8.21% $ 2,227 2.07% 2.07% 0.41% 57% ------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 135 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND RESULTING FROM OPERATIONS DISTRIBUTIONS FROM ------------------------------- ---------------------- NET REALIZED AND UNREALIZED CHANGE IN NET ASSET GAINS/(LOSSES) NET ASSETS VALUE, NET FROM RESULTING NET NET BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS --------------------------------------------------------------------------------------------------------------------------- STRUCTURED LARGE CAP PLUS INSTITUTIONAL SHARES Year ended 7/31/10 $ 9.05 0.10[DELTA] 1.02 1.12 (0.10) -- Year ended 7/31/09 $14.66 0.17[DELTA] (5.53) (5.36) (0.25) -- Year ended 7/31/08 $16.95 0.14[DELTA] (2.22) (2.08) (0.13) (0.08) Year ended 7/31/07 $15.16 0.17[DELTA] 1.80 1.97 (0.12) (0.06) Year ended 7/31/06 $14.61 0.17 0.72 0.89 (0.16) (0.18) --------------------------------------------------------------------------------------------------------------------------- STRUCTURED LARGE CAP PLUS CLASS A SHARES Year ended 7/31/10 $ 8.94 0.08[DELTA] 0.99 1.07 (0.08) -- Year ended 7/31/09 $14.45 0.15[DELTA] (5.43) (5.28) (0.23) -- Year ended 7/31/08 $16.71 0.10[DELTA] (2.20) (2.10) (0.08) (0.08) Year ended 7/31/07 $14.96 0.12[DELTA] 1.78 1.90 (0.09) (0.06) Year ended 7/31/06 $14.42 0.13 0.71 0.84 (0.12) (0.18) --------------------------------------------------------------------------------------------------------------------------- STRUCTURED LARGE CAP PLUS CLASS B SHARES Year ended 7/31/10 $ 8.88 --^[DELTA] 1.02 1.02 (0.02) -- Year ended 7/31/09 $14.41 0.07[DELTA] (5.44) (5.37) (0.16) -- Year ended 7/31/08 $16.69 (0.02)[DELTA] (2.18) (2.20) -- (0.08) Year ended 7/31/07 $14.98 --[DELTA] 1.78 1.78 (0.01) (0.06) Year ended 7/31/06 $14.46 0.01 0.72 0.73 (0.03) (0.18) --------------------------------------------------------------------------------------------------------------------------- STRUCTURED LARGE CAP PLUS CLASS C SHARES Year ended 7/31/10 $ 8.91 --^[DELTA] 1.00 1.00 (0.02) -- Year ended 7/31/09 $14.41 0.10[DELTA] (5.45) (5.35) (0.15) -- Year ended 7/31/08 $16.70 (0.02)[DELTA] (2.19) (2.21) -- (0.08) Year ended 7/31/07 $14.98 --[DELTA] 1.79 1.79 (0.01) (0.06) Year ended 7/31/06 $14.46 0.01 0.72 0.73 (0.03) (0.18) ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 136 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------------------- RATIOS OF RATIOS OF RATIOS OF NET TOTAL NET EXPENSES EXPENSES NET TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER DISTRIBUTIONS PERIOD CHARGE) (000'S) ASSETS (a) ASSETS (b) NET ASSETS RATE (d) ------------------------------------------------------------------------------------------------------------ (0.10) $10.07 12.35% $ 76,897 2.04%[OMEGA]! 1.68%[OMEGA]! 1.01% 180% (0.25) $ 9.05 (36.73)% $ 72,778 2.08%[OMEGA]! 1.71%[OMEGA]! 1.71% 188% (0.21) $14.66 (12.31)% $133,506 1.76%[OMEGA] 1.51%[OMEGA] 0.89% 147% (0.18) $16.95 12.94% $180,126 1.02%[OMEGA] 0.92%[OMEGA] 0.99% 141% (0.34) $15.16 6.12% $166,510 1.03% 0.92% 1.09% 126% ------------------------------------------------------------------------------------------------------------ (0.08) $ 9.93 11.96% $ 5,028 2.29%[OMEGA]! 1.93%[OMEGA]! 0.77% 180% (0.23) $ 8.94 (36.73)% $ 5,648 2.29%[OMEGA]! 1.93%[OMEGA]! 1.50% 188% (0.16) $14.45 (12.65)% $ 12,505 2.01%[OMEGA] 1.76%[OMEGA] 0.63% 147% (0.15) $16.71 12.70% $ 18,972 1.27%[OMEGA] 1.17%[OMEGA] 0.75% 141% (0.30) $14.96 5.84% $ 20,923 1.27% 1.17% 0.85% 126% ------------------------------------------------------------------------------------------------------------ (0.02) $ 9.88 11.52% $ 233 3.04%[OMEGA]! 2.69%[OMEGA]! 0.02% 180% (0.16) $ 8.88 (37.43)% $ 347 3.05%[OMEGA]! 2.70%[OMEGA]! 0.75% 188% (0.08) $14.41 (13.24)% $ 723 2.76%[OMEGA] 2.51%[OMEGA] (0.11)% 147% (0.07) $16.69 11.86% $ 1,044 2.03%[OMEGA] 1.92%[OMEGA] (0.01)% 141% (0.21) $14.98 5.07% $ 953 2.03% 1.92% 0.09% 126% ------------------------------------------------------------------------------------------------------------ (0.02) $ 9.89 11.17% $ 48 3.06%[OMEGA]! 2.69%[OMEGA]! 0.03% 180% (0.15) $ 8.91 (37.34)% $ 22 2.81%[OMEGA]! 2.50%[OMEGA]! 1.05% 188% (0.08) $14.41 (13.29)% $ 75 2.76%[OMEGA] 2.51%[OMEGA] (0.11)% 147% (0.07) $16.70 11.93% $ 125 2.03%[OMEGA] 1.92%[OMEGA] (0.02)% 141% (0.21) $14.98 5.07% $ 112 2.02% 1.92% 0.13% 126% ------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 137 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND RESULTING FROM OPERATIONS DISTRIBUTIONS FROM ------------------------------- ---------------------- NET REALIZED AND UNREALIZED CHANGE IN NET ASSET GAINS/(LOSSES) NET ASSETS VALUE, NET FROM RESULTING NET NET BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS --------------------------------------------------------------------------------------------------------------------------- EQUITY INDEX INSTITUTIONAL SHARES Year ended 7/31/10 $18.76 0.39[DELTA] 2.19 2.58 (0.37) -- Year ended 7/31/09 $24.05 0.44[DELTA] (5.24) (4.80) (0.49) -- Year ended 7/31/08 $27.60 0.52[DELTA] (3.58) (3.06) (0.49) -- Year ended 7/31/07 $24.24 0.50[DELTA] 3.35 3.85 (0.49) -- Year ended 7/31/06 $23.46 0.42[DELTA] 0.79 1.21 (0.43) -- --------------------------------------------------------------------------------------------------------------------------- EQUITY INDEX CLASS A SHARES Year ended 7/31/10 $18.70 0.34[DELTA] 2.18 2.52 (0.32) -- Year ended 7/31/09 $23.97 0.40[DELTA] (5.22) (4.82) (0.45) -- Year ended 7/31/08 $27.51 0.46[DELTA] (3.58) (3.12) (0.42) -- Year ended 7/31/07 $24.16 0.43[DELTA] 3.34 3.77 (0.42) -- Year ended 7/31/06 $23.38 0.36[DELTA] 0.80 1.16 (0.38) -- --------------------------------------------------------------------------------------------------------------------------- EQUITY INDEX CLASS B SHARES Year ended 7/31/10 $18.58 0.18[DELTA] 2.17 2.35 (0.16) -- Year ended 7/31/09 $23.84 0.26[DELTA] (5.19) (4.93) (0.33) -- Year ended 7/31/08 $27.34 0.26[DELTA] (3.56) (3.30) (0.20) -- Year ended 7/31/07 $24.01 0.22[DELTA] 3.33 3.55 (0.22) -- Year ended 7/31/06 $23.24 0.18[DELTA] 0.79 0.97 (0.20) -- --------------------------------------------------------------------------------------------------------------------------- EQUITY INDEX CLASS C SHARES Year ended 7/31/10 $18.59 0.18[DELTA] 2.13 2.31 (0.15) -- Year ended 7/31/09 $23.86 0.26[DELTA] (5.20) (4.94) (0.33) -- Year ended 7/31/08 $27.37 0.26[DELTA] (3.57) (3.31) (0.20) -- Year ended 7/31/07 $24.03 0.22[DELTA] 3.34 3.56 (0.22) -- Year ended 7/31/06 $23.26 0.18[DELTA] 0.78 0.96 (0.19) -- --------------------------------------------------------------------------------------------------------------------------- EQUITY INDEX SELECT SHARES Year ended 7/31/10 $18.76 0.37[DELTA] 2.20 2.57 (0.36) -- Year ended 7/31/09 $24.05 0.42[DELTA] (5.23) (4.81) (0.48) -- Year ended 7/31/08 $27.59 0.50[DELTA] (3.58) (3.08) (0.46) -- Year ended 7/31/07 $24.23 0.47[DELTA] 3.35 3.82 (0.46) -- Year ended 7/31/06 $23.45 0.40[DELTA] 0.80 1.20 (0.42) -- --------------------------------------------------------------------------------------------------------------------------- EQUITY INDEX PREFERRED SHARES Year ended 7/31/10 $18.76 0.36[DELTA] 2.18 2.54 (0.34) -- Year ended 7/31/09 $24.05 0.42[DELTA] (5.25) (4.83) (0.46) -- Year ended 7/31/08 $27.59 0.48[DELTA] (3.58) (3.10) (0.44) -- Year ended 7/31/07 $24.23 0.45[DELTA] 3.37 3.82 (0.46) -- Year ended 7/31/06 $23.45 0.39[DELTA] 0.79 1.18 (0.40) -- --------------------------------------------------------------------------------------------------------------------------- EQUITY INDEX TRUST SHARES Year ended 7/31/10 $18.76 0.34[DELTA] 2.19 2.53 (0.32) -- Year ended 7/31/09 $24.05 0.41[DELTA] (5.25) (4.84) (0.45) -- Year ended 7/31/08 $27.60 0.46[DELTA] (3.60) (3.14) (0.41) -- Year ended 7/31/07 $24.23 0.43[DELTA] 3.36 3.79 (0.42) -- Year ended 7/31/06 $23.45 0.36[DELTA] 0.79 1.15 (0.37) -- ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 138 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------------- RATIOS OF RATIOS OF RATIOS OF NET TOTAL NET EXPENSES EXPENSES NET TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER DISTRIBUTIONS PERIOD CHARGE) (000'S) ASSETS (a) ASSETS (b) NET ASSETS RATE (d) ------------------------------------------------------------------------------------------------------ (0.37) $20.97 13.77% $148,671 0.61% 0.19% 1.87% 6% (0.49) $18.76 (19.89)% $141,566 0.62% 0.19% 2.47% 7% (0.49) $24.05 (11.27)% $169,016 0.60% 0.19% 1.97% 4% (0.49) $27.60 15.92% $193,180 0.61% 0.19% 1.84% 4% (0.43) $24.24 5.21% $184,177 0.60% 0.19% 1.75% 6% ------------------------------------------------------------------------------------------------------ (0.32) $20.90 13.47% $ 37,146 0.86% 0.44% 1.62% 6% (0.45) $18.70 (20.05)% $ 41,527 0.87% 0.44% 2.22% 7% (0.42) $23.97 (11.51)% $ 55,640 0.85% 0.44% 1.71% 4% (0.42) $27.51 15.65% $ 65,640 0.86% 0.44% 1.59% 4% (0.38) $24.16 4.97% $ 65,204 0.85% 0.44% 1.52% 6% ------------------------------------------------------------------------------------------------------ (0.16) $20.77 12.62% $ 1,381 1.61% 1.19% 0.86% 6% (0.33) $18.58 (20.68)% $ 1,989 1.62% 1.19% 1.49% 7% (0.20) $23.84 (12.15)% $ 3,029 1.60% 1.19% 0.97% 4% (0.22) $27.34 14.79% $ 3,961 1.61% 1.19% 0.84% 4% (0.20) $24.01 4.17% $ 4,229 1.60% 1.19% 0.76% 6% ------------------------------------------------------------------------------------------------------ (0.15) $20.75 12.43% $ 1,032 1.61% 1.19% 0.88% 6% (0.33) $18.59 (20.69)% $ 1,452 1.62% 1.19% 1.46% 7% (0.20) $23.86 (12.17)% $ 1,876 1.60% 1.19% 0.97% 4% (0.22) $27.37 14.81% $ 2,223 1.61% 1.19% 0.83% 4% (0.19) $24.03 4.15% $ 1,998 1.60% 1.19% 0.77% 6% ------------------------------------------------------------------------------------------------------ (0.36) $20.97 13.68% $ 8,841 0.69% 0.27% 1.79% 6% (0.48) $18.76 (19.95)% $ 9,732 0.70% 0.27% 2.38% 7% (0.46) $24.05 (11.32)% $ 11,175 0.68% 0.27% 1.87% 4% (0.46) $27.59 15.83% $ 17,852 0.69% 0.27% 1.76% 4% (0.42) $24.23 5.13% $ 17,558 0.68% 0.27% 1.67% 6% ------------------------------------------------------------------------------------------------------ (0.34) $20.96 13.61% $ 44,378 0.76% 0.34% 1.71% 6% (0.46) $18.76 (20.04)% $ 43,098 0.77% 0.34% 2.33% 7% (0.44) $24.05 (11.38)% $ 56,847 0.75% 0.34% 1.81% 4% (0.46) $27.59 15.76% $ 69,251 0.76% 0.34% 1.68% 4% (0.40) $24.23 5.06% $ 64,939 0.75% 0.34% 1.62% 6% ------------------------------------------------------------------------------------------------------ (0.32) $20.97 13.49% $ 31,979 0.86% 0.44% 1.62% 6% (0.45) $18.76 (20.08)% $ 27,411 0.87% 0.44% 2.24% 7% (0.41) $24.05 (11.51)% $ 53,924 0.85% 0.44% 1.72% 4% (0.42) $27.60 15.69% $ 68,661 0.86% 0.44% 1.59% 4% (0.37) $24.23 4.95% $ 67,747 0.85% 0.44% 1.52% 6% ------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 139 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND RESULTING FROM OPERATIONS DISTRIBUTIONS FROM ------------------------------- ---------------------- NET REALIZED AND UNREALIZED CHANGE IN NET ASSET GAINS/(LOSSES) NET ASSETS VALUE, NET FROM RESULTING NET NET BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS --------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EQUITY INSTITUTIONAL SHARES Year ended 7/31/10 $ 7.25 0.16[DELTA] 0.19 0.35 (0.25) -- Year ended 7/31/09 $12.24 0.22[DELTA] (3.59) (3.37) (0.19) (1.43) Year ended 7/31/08 $15.55 0.45[DELTA] (2.30) (1.85) (0.46) (1.00) Year ended 7/31/07 $12.83 0.18[DELTA]@ 2.92 3.10 (0.11) (0.27) Year ended 7/31/06 $10.79 0.15[DELTA] 2.37 2.52 (0.20) (0.28) --------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EQUITY CLASS A SHARES Year ended 7/31/10 $ 7.24 0.14[DELTA] 0.19 0.33 (0.24) -- Year ended 7/31/09 $12.23 0.20[DELTA] (3.59) (3.39) (0.17) (1.43) Year ended 7/31/08 $15.54 0.40[DELTA] (2.28) (1.88) (0.43) (1.00) Year ended 7/31/07 $12.84 0.15[DELTA]@ 2.92 3.07 (0.10) (0.27) Year ended 7/31/06 $10.80 0.13[DELTA] 2.36 2.49 (0.17) (0.28) --------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EQUITY CLASS B SHARES Year ended 7/31/10 $ 7.09 0.08[DELTA] 0.18 0.26 (0.20) -- Year ended 7/31/09 $11.95 0.14[DELTA] (3.48) (3.34) (0.09) (1.43) Year ended 7/31/08 $15.21 0.29[DELTA] (2.23) (1.94) (0.32) (1.00) Year ended 7/31/07 $12.64 0.04[DELTA]@ 2.86 2.90 (0.06) (0.27) Year ended 7/31/06 $10.66 0.04[DELTA] 2.32 2.36 (0.10) (0.28) --------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EQUITY CLASS C SHARES Year ended 7/31/10 $ 6.79 0.08[DELTA] 0.18 0.26 (0.21) -- Year ended 7/31/09 $11.61 0.14[DELTA] (3.42) (3.28) (0.11) (1.43) Year ended 7/31/08 $14.81 0.30[DELTA] (2.18) (1.88) (0.32) (1.00) Year ended 7/31/07 $12.31 0.02[DELTA]@ 2.81 2.83 (0.06) (0.27) Year ended 7/31/06 $10.39 0.03[DELTA] 2.28 2.31 (0.11) (0.28) --------------------------------------------------------------------------------------------------------------------------- STRATEGIC INCOME INSTITUTIONAL SHARES Year ended 7/31/10 $ 8.95 0.53[DELTA] 1.26 1.79 (0.72) -- Year ended 7/31/09 $ 9.38 0.57[DELTA] (0.38) 0.19 (0.61) (0.01) Year ended 7/31/08 $11.18 0.55[DELTA] (1.41) (0.85) (0.61) (0.33) Year ended 7/31/07 $11.28 0.55[DELTA] 0.01 0.56 (0.55) (0.11) Year ended 7/31/06 $11.54 0.52[DELTA] (0.23) 0.29 (0.52) (0.03) --------------------------------------------------------------------------------------------------------------------------- STRATEGIC INCOME CLASS A SHARES Year ended 7/31/10 $ 8.93 0.51[DELTA] 1.26 1.77 (0.70) -- Year ended 7/31/09 $ 9.36 0.56[DELTA] (0.39) 0.17 (0.59) (0.01) Year ended 7/31/08 $11.15 0.53[DELTA] (1.41) (0.88) (0.58) (0.33) Year ended 7/31/07 $11.25 0.52[DELTA] 0.02 0.54 (0.52) (0.12) Year ended 7/31/06 $11.51 0.48[DELTA] (0.22) 0.26 (0.49) (0.03) --------------------------------------------------------------------------------------------------------------------------- STRATEGIC INCOME CLASS B SHARES Year ended 7/31/10 $ 8.93 0.44[DELTA] 1.25 1.69 (0.63) -- Year ended 7/31/09 $ 9.36 0.50[DELTA] (0.38) 0.12 (0.54) (0.01) Year ended 7/31/08 $11.15 0.45[DELTA] (1.41) (0.96) (0.50) (0.33) Year ended 7/31/07 $11.25 0.43[DELTA] 0.02 0.45 (0.44) (0.11) Year ended 7/31/06 $11.51 0.40[DELTA] (0.23) 0.17 (0.40) (0.03) --------------------------------------------------------------------------------------------------------------------------- STRATEGIC INCOME CLASS C SHARES Year ended 7/31/10 $ 8.85 0.43[DELTA] 1.25 1.68 (0.63) -- Year ended 7/31/09 $ 9.29 0.49[DELTA] (0.38) 0.11 (0.54) (0.01) Year ended 7/31/08 $11.07 0.45[DELTA] (1.40) (0.95) (0.50) (0.33) Year ended 7/31/07 $11.17 0.43[DELTA] 0.02 0.45 (0.44) (0.11) Year ended 7/31/06 $11.43 0.40[DELTA] (0.23) 0.17 (0.40) (0.03) ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 140 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------------- RATIOS OF RATIOS OF RATIOS OF NET TOTAL NET EXPENSES EXPENSES NET TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER DISTRIBUTIONS PERIOD CHARGE) (000'S) ASSETS (a) ASSETS (b) NET ASSETS RATE (d) ------------------------------------------------------------------------------------------------------ (0.25) $ 7.35 4.61% $229,888 1.34% 1.18%~ 2.18% 137% (1.62) $ 7.25 (24.36)% $233,968 1.34% 1.22%~ 3.01% 104% (1.46) $12.24 (13.56)% $420,993 1.36% 1.26% 3.13% 155% (0.38) $15.55 24.57%@ $469,183 1.36% 1.35% 1.29% 20% (0.48) $12.83 23.86% $434,572 1.37% 1.35% 1.24% 23% ------------------------------------------------------------------------------------------------------ (0.24) $ 7.33 4.34% $ 10,216 1.59% 1.43%~ 1.87% 137% (1.60) $ 7.24 (24.64)% $ 11,754 1.59% 1.47%~ 2.74% 104% (1.43) $12.23 (13.81)% $ 20,160 1.60% 1.50% 2.80% 155% (0.37) $15.54 24.35%@ $ 21,533 1.61% 1.60% 1.06% 20% (0.45) $12.84 23.53% $ 27,725 1.62% 1.60% 1.03% 23% ------------------------------------------------------------------------------------------------------ (0.20) $ 7.15 3.57% $ 565 2.34% 2.18%~ 1.02% 137% (1.52) $ 7.09 (25.00)% $ 978 2.34% 2.22%~ 1.99% 104% (1.32) $11.95 (14.45)% $ 2,177 2.36% 2.26% 2.10% 155% (0.33) $15.21 23.36%@ $ 2,677 2.35% 2.35% 0.32% 20% (0.38) $12.64 22.59% $ 2,060 2.37% 2.35% 0.32% 23% ------------------------------------------------------------------------------------------------------ (0.21) $ 6.84 3.59% $ 310 2.34% 2.18%~ 1.11% 137% (1.54) $ 6.79 (25.18)% $ 378 2.34% 2.22%~ 2.01% 104% (1.32) $11.61 (14.43)% $ 721 2.36% 2.26% 2.19% 155% (0.33) $14.81 23.40%@ $ 878 2.35% 2.35% 0.16% 20% (0.39) $12.31 22.61% $ 1,139 2.37% 2.35% 0.29% 23% ------------------------------------------------------------------------------------------------------ (0.72) $10.02 20.39% $ 80,807 1.40% 0.87% 5.51% 31% (0.62) $ 8.95 3.38% $ 59,493 1.40% 0.93% 7.29% 32% (0.94) $ 9.38 (8.30)% $ 90,639 1.35% 0.96% 5.28% 32% (0.66) $11.18 4.97% $116,454 1.34% 1.06% 4.75% 18% (0.55) $11.28 2.61% $107,130 1.34% 1.31% 4.56% 8% ------------------------------------------------------------------------------------------------------ (0.70) $10.00 20.27% $ 19,461 1.65% 1.12% 5.27% 31% (0.60) $ 8.93 3.02% $ 13,406 1.65% 1.18% 7.05% 32% (0.91) $ 9.36 (8.46)% $ 14,768 1.60% 1.21% 5.21% 32% (0.64) $11.15 4.72% $ 4,904 1.59% 1.31% 4.49% 18% (0.52) $11.25 2.36% $ 4,429 1.59% 1.56% 4.30% 8% ------------------------------------------------------------------------------------------------------ (0.63) $ 9.99 19.38% $ 729 2.40% 1.87% 4.56% 31% (0.55) $ 8.93 2.26% $ 767 2.40% 1.93% 6.31% 32% (0.83) $ 9.36 (9.15)% $ 979 2.35% 1.96% 4.27% 32% (0.55) $11.15 3.94% $ 1,528 2.34% 2.05% 3.76% 18% (0.43) $11.25 1.60% $ 1,588 2.34% 2.31% 3.57% 8% ------------------------------------------------------------------------------------------------------ (0.63) $ 9.90 19.20% $ 12,504 2.40% 1.87% 4.53% 31% (0.55) $ 8.85 2.29% $ 8,468 2.40% 1.93% 6.32% 32% (0.83) $ 9.29 (9.12)% $ 9,780 2.35% 1.96% 4.26% 32% (0.55) $11.07 3.98% $ 15,676 2.34% 2.06% 3.75% 18% (0.43) $11.17 1.62% $ 20,019 2.34% 2.32% 3.53% 8% ------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 141 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND RESULTING FROM OPERATIONS DISTRIBUTIONS FROM ------------------------------- ---------------------- NET REALIZED AND UNREALIZED CHANGE IN NET ASSET GAINS/(LOSSES) NET ASSETS VALUE, NET FROM RESULTING NET NET BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL AGGRESSIVE(SM) INSTITUTIONAL SHARES Year ended 7/31/10 $ 8.73 0.13#[DELTA] 0.77# 0.90 (0.13) (0.13) Year ended 7/31/09 $13.57 0.20#[DELTA] (3.55)# (3.35) (0.24) (1.25) Year ended 7/31/08 $16.58 0.20#[DELTA] (1.56)# (1.36) (0.49) (1.16) Year ended 7/31/07 $14.58 0.14#[DELTA] 2.39# 2.53 (0.12) (0.41) Year ended 7/31/06 $14.36 0.21# 0.52# 0.73 (0.20) (0.31) --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL AGGRESSIVE(SM) CLASS A SHARES Year ended 7/31/10 $ 8.67 0.10#[DELTA] 0.76# 0.86 (0.10) (0.13) Year ended 7/31/09 $13.49 0.17#[DELTA] (3.52)# (3.35) (0.22) (1.25) Year ended 7/31/08 $16.51 0.18#[DELTA] (1.58)# (1.40) (0.46) (1.16) Year ended 7/31/07 $14.53 0.10#[DELTA] 2.38# 2.48 (0.09) (0.41) Year ended 7/31/06 $14.32 0.17# 0.51# 0.68 (0.16) (0.31) --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL AGGRESSIVE(SM) CLASS B SHARES Year ended 7/31/10 $ 8.38 0.03#[DELTA] 0.73# 0.76 (0.07) (0.13) Year ended 7/31/09 $13.12 0.11#[DELTA] (3.44)# (3.33) (0.16) (1.25) Year ended 7/31/08 $16.11 0.06#[DELTA] (1.52)# (1.46) (0.37) (1.16) Year ended 7/31/07 $14.24 (0.02)#[DELTA] 2.33# 2.31 (0.02) (0.42) Year ended 7/31/06 $14.08 0.06# 0.51# 0.57 (0.10) (0.31) --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL AGGRESSIVE(SM) CLASS C SHARES Year ended 7/31/10 $ 8.37 0.03#[DELTA] 0.74# 0.77 (0.07) (0.13) Year ended 7/31/09 $13.11 0.11#[DELTA] (3.44)# (3.33) (0.16) (1.25) Year ended 7/31/08 $16.11 0.05#[DELTA] (1.52)# (1.47) (0.37) (1.16) Year ended 7/31/07 $14.24 (0.04)#[DELTA] 2.35# 2.31 (0.03) (0.41) Year ended 7/31/06 $14.08 0.06# 0.51# 0.57 (0.10) (0.31) --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL MODERATELY AGGRESSIVE(SM) INSTITUTIONAL SHARES Year ended 7/31/10 $ 9.14 0.19#[DELTA] 0.68# 0.87 (0.20) (0.04) Year ended 7/31/09 $12.85 0.28#[DELTA] (2.71)# (2.43) (0.37) (0.91) Year ended 7/31/08 $15.44 0.29#[DELTA] (1.32)# (1.03) (0.45) (1.11) Year ended 7/31/07 $13.98 0.25#[DELTA] 1.84# 2.09 (0.26) (0.37) Year ended 7/31/06 $13.91 0.28# 0.34# 0.62 (0.28) (0.27) --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL MODERATELY AGGRESSIVE(SM) CLASS A SHARES Year ended 7/31/10 $ 9.12 0.17#[DELTA] 0.69# 0.86 (0.18) (0.04) Year ended 7/31/09 $12.83 0.26#[DELTA] (2.72)# (2.46) (0.34) (0.91) Year ended 7/31/08 $15.42 0.27#[DELTA] (1.34)# (1.07) (0.41) (1.11) Year ended 7/31/07 $13.96 0.21#[DELTA] 1.83# 2.04 (0.22) (0.36) Year ended 7/31/06 $13.89 0.26# 0.33# 0.59 (0.25) (0.27) --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL MODERATELY AGGRESSIVE(SM) CLASS B SHARES Year ended 7/31/10 $ 9.02 0.10#[DELTA] 0.67# 0.77 (0.10) (0.04) Year ended 7/31/09 $12.72 0.18#[DELTA] (2.69)# (2.51) (0.28) (0.91) Year ended 7/31/08 $15.34 0.17#[DELTA] (1.33)# (1.16) (0.35) (1.11) Year ended 7/31/07 $13.90 0.10#[DELTA] 1.82# 1.92 (0.11) (0.37) Year ended 7/31/06 $13.83 0.15# 0.34# 0.49 (0.15) (0.27) --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL MODERATELY AGGRESSIVE(SM) CLASS C SHARES Year ended 7/31/10 $ 9.03 0.09#[DELTA] 0.67# 0.76 (0.10) (0.04) Year ended 7/31/09 $12.71 0.18#[DELTA] (2.67)# (2.49) (0.28) (0.91) Year ended 7/31/08 $15.34 0.19#[DELTA] (1.36)# (1.17) (0.35) (1.11) Year ended 7/31/07 $13.89 0.10#[DELTA] 1.83# 1.93 (0.11) (0.37) Year ended 7/31/06 $13.83 0.15# 0.33# 0.48 (0.15) (0.27) ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 142 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------------- RATIOS OF RATIOS OF RATIOS OF NET TOTAL NET EXPENSES EXPENSES NET TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER DISTRIBUTIONS PERIOD CHARGE) (000'S) ASSETS (a) ASSETS (b) NET ASSETS RATE (d) ------------------------------------------------------------------------------------------------------ (0.26) $ 9.37 10.25% $ 75,906 0.54% 0.08% 1.36% 11% (1.49) $ 8.73 (22.95)% $ 76,770 0.56% 0.08% 2.21% 9% (1.65) $13.57 (9.45)% $107,929 0.49% 0.08% 1.31% 26% (0.53) $16.58 17.59% $119,437 0.49% 0.08% 0.87% 14% (0.51) $14.58 5.13% $101,365 0.48% 0.08% 1.38% 14% ------------------------------------------------------------------------------------------------------ (0.23) $ 9.30 9.94% $ 24,982 0.79% 0.33% 1.10% 11% (1.47) $ 8.67 (23.12)% $ 28,126 0.81% 0.33% 1.95% 9% (1.62) $13.49 (9.74)% $ 44,892 0.74% 0.33% 1.19% 26% (0.50) $16.51 17.29% $ 57,421 0.73% 0.33% 0.62% 14% (0.47) $14.53 4.80% $ 50,416 0.72% 0.33% 1.15% 14% ------------------------------------------------------------------------------------------------------ (0.20) $ 8.94 9.01% $ 6,672 1.54% 1.08% 0.35% 11% (1.41) $ 8.38 (23.68)% $ 7,893 1.56% 1.08% 1.24% 9% (1.53) $13.12 (10.41)% $ 13,202 1.49% 1.08% 0.39% 26% (0.44) $16.11 16.44% $ 18,547 1.49% 1.08% (0.13)% 14% (0.41) $14.24 4.10% $ 16,926 1.47% 1.08% 0.39% 14% ------------------------------------------------------------------------------------------------------ (0.20) $ 8.94 9.14% $ 1,189 1.54% 1.08% 0.32% 11% (1.41) $ 8.37 (23.70)% $ 1,342 1.55% 1.08% 1.24% 9% (1.53) $13.11 (10.44)% $ 2,236 1.49% 1.08% 0.36% 26% (0.44) $16.11 16.45% $ 3,016 1.49% 1.08% (0.24)% 14% (0.41) $14.24 4.11% $ 2,661 1.47% 1.08% 0.37% 14% ------------------------------------------------------------------------------------------------------ (0.24) $ 9.77 9.56% $100,910 0.53% 0.08% 1.98% 16% (1.28) $ 9.14 (17.50)% $110,522 0.54% 0.08% 3.06% 8% (1.56) $12.85 (7.76)% $135,474 0.48% 0.08% 2.06% 26% (0.63) $15.44 15.16% $146,973 0.47% 0.08% 1.68% 20% (0.55) $13.98 4.60% $135,542 0.45% 0.08% 2.09% 19% ------------------------------------------------------------------------------------------------------ (0.22) $ 9.76 9.40% $ 57,520 0.78% 0.33% 1.70% 16% (1.25) $ 9.12 (17.73)% $ 64,959 0.79% 0.33% 2.77% 8% (1.52) $12.83 (7.95)% $ 98,658 0.73% 0.33% 1.89% 26% (0.58) $15.42 14.82% $127,824 0.72% 0.33% 1.42% 20% (0.52) $13.96 4.36% $128,564 0.70% 0.33% 1.86% 19% ------------------------------------------------------------------------------------------------------ (0.14) $ 9.65 8.57% $ 24,105 1.53% 1.08% 0.99% 16% (1.19) $ 9.02 (18.37)% $ 27,726 1.54% 1.08% 2.03% 8% (1.46) $12.72 (8.65)% $ 43,036 1.48% 1.08% 1.20% 26% (0.48) $15.34 13.97% $ 56,679 1.47% 1.08% 0.68% 20% (0.42) $13.90 3.63% $ 53,395 1.45% 1.08% 1.10% 19% ------------------------------------------------------------------------------------------------------ (0.14) $ 9.65 8.43% $ 2,989 1.53% 1.08% 0.96% 16% (1.19) $ 9.03 (18.28)% $ 3,375 1.54% 1.08% 1.99% 8% (1.46) $12.71 (8.73)% $ 6,077 1.48% 1.08% 1.35% 26% (0.48) $15.34 13.98% $ 9,012 1.47% 1.08% 0.68% 20% (0.42) $13.89 3.53% $ 8,196 1.45% 1.08% 1.11% 19% ------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 143 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND RESULTING FROM OPERATIONS DISTRIBUTIONS FROM ------------------------------- ---------------------- NET REALIZED AND UNREALIZED CHANGE IN NET ASSET GAINS/(LOSSES) NET ASSETS VALUE, NET FROM RESULTING NET NET BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL MODERATE(SM) INSTITUTIONAL SHARES Year ended 7/31/10 $ 9.01 0.25#[DELTA] 0.61# 0.86 (0.26) -- Year ended 7/31/09 $11.43 0.34#[DELTA] (1.81)# (1.47) (0.42) (0.53) Year ended 7/31/08 $13.34 0.36#[DELTA] (1.06)# (0.70) (0.45) (0.76) Year ended 7/31/07 $12.43 0.33#[DELTA] 1.21# 1.54 (0.33) (0.30) Year ended 7/31/06 $12.52 0.33# 0.15# 0.48 (0.33) (0.24) --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL MODERATE(SM) CLASS A SHARES Year ended 7/31/10 $ 9.00 0.23#[DELTA] 0.61# 0.84 (0.24) -- Year ended 7/31/09 $11.42 0.32#[DELTA] (1.81)# (1.49) (0.40) (0.53) Year ended 7/31/08 $13.32 0.33#[DELTA] (1.06)# (0.73) (0.41) (0.76) Year ended 7/31/07 $12.41 0.29#[DELTA] 1.22# 1.51 (0.30) (0.30) Year ended 7/31/06 $12.50 0.30# 0.15# 0.45 (0.30) (0.24) --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL MODERATE(SM) CLASS B SHARES Year ended 7/31/10 $ 8.95 0.15#[DELTA] 0.60# 0.75 (0.16) -- Year ended 7/31/09 $11.37 0.25#[DELTA] (1.80)# (1.55) (0.34) (0.53) Year ended 7/31/08 $13.25 0.24#[DELTA] (1.05)# (0.81) (0.31) (0.76) Year ended 7/31/07 $12.35 0.19#[DELTA] 1.21# 1.40 (0.20) (0.30) Year ended 7/31/06 $12.45 0.21# 0.14# 0.35 (0.21) (0.24) --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL MODERATE(SM) CLASS C SHARES Year ended 7/31/10 $ 8.95 0.15#[DELTA] 0.61# 0.76 (0.16) -- Year ended 7/31/09 $11.37 0.25#[DELTA] (1.80)# (1.55) (0.34) (0.53) Year ended 7/31/08 $13.26 0.24#[DELTA] (1.06)# (0.82) (0.31) (0.76) Year ended 7/31/07 $12.36 0.19#[DELTA] 1.21# 1.40 (0.20) (0.30) Year ended 7/31/06 $12.45 0.21# 0.14# 0.35 (0.20) (0.24) --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL MODERATELY CONSERVATIVE(SM) INSTITUTIONAL SHARES Year ended 7/31/10 $ 8.35 0.26#[DELTA] 0.57# 0.83 (0.26) -- Year ended 7/31/09 $10.34 0.34#[DELTA] (1.40)# (1.06) (0.41) (0.52) Year ended 7/31/08 $11.95 0.37#[DELTA] (0.90)# (0.53) (0.42) (0.66) Year ended 7/31/07 $11.36 0.34#[DELTA] 0.93# 1.27 (0.35) (0.33) Year ended 7/31/06 $11.59 0.34# 0.04# 0.38 (0.34) (0.27) --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL MODERATELY CONSERVATIVE(SM) CLASS A SHARES Year ended 7/31/10 $ 8.33 0.23#[DELTA] 0.58# 0.81 (0.24) -- Year ended 7/31/09 $10.32 0.32#[DELTA] (1.40)# (1.08) (0.39) (0.52) Year ended 7/31/08 $11.93 0.33#[DELTA] (0.89)# (0.56) (0.39) (0.66) Year ended 7/31/07 $11.35 0.31#[DELTA] 0.92# 1.23 (0.32) (0.33) Year ended 7/31/06 $11.58 0.32# 0.03# 0.35 (0.31) (0.27) --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL MODERATELY CONSERVATIVE(SM) CLASS B SHARES Year ended 7/31/10 $ 8.30 0.17#[DELTA] 0.57# 0.74 (0.17) -- Year ended 7/31/09 $10.29 0.25#[DELTA] (1.38)# (1.13) (0.34) (0.52) Year ended 7/31/08 $11.88 0.25#[DELTA] (0.89)# (0.64) (0.29) (0.66) Year ended 7/31/07 $11.30 0.22#[DELTA] 0.92# 1.14 (0.23) (0.33) Year ended 7/31/06 $11.54 0.24# 0.02# 0.26 (0.23) (0.27) --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL MODERATELY CONSERVATIVE(SM) CLASS C SHARES Year ended 7/31/10 $ 8.31 0.16#[DELTA] 0.58# 0.74 (0.17) -- Year ended 7/31/09 $10.30 0.26#[DELTA] (1.39)# (1.13) (0.34) (0.52) Year ended 7/31/08 $11.89 0.25#[DELTA] (0.89)# (0.64) (0.29) (0.66) Year ended 7/31/07 $11.32 0.22#[DELTA] 0.91# 1.13 (0.23) (0.33) Year ended 7/31/06 $11.54 0.24# 0.03# 0.27 (0.22) (0.27) ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 144 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------------- RATIOS OF RATIOS OF RATIOS OF NET TOTAL NET EXPENSES EXPENSES NET TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER DISTRIBUTIONS PERIOD CHARGE) (000'S) ASSETS (a) ASSETS (b) NET ASSETS RATE (d) ------------------------------------------------------------------------------------------------------ (0.26) $ 9.61 9.60% $195,480 0.45% 0.08% 2.63% 9% (0.95) $ 9.01 (11.88)% $258,159 0.44% 0.08% 3.80% 7% (1.21) $11.43 (6.02)% $312,435 0.43% 0.08% 2.85% 23% (0.63) $13.34 12.60% $369,880 0.44% 0.08% 2.48% 18% (0.57) $12.43 3.90% $369,903 0.43% 0.08% 2.70% 30% ------------------------------------------------------------------------------------------------------ (0.24) $ 9.60 9.33% $ 40,212 0.70% 0.33% 2.39% 9% (0.93) $ 9.00 (12.09)% $ 48,590 0.69% 0.33% 3.53% 7% (1.17) $11.42 (6.21)% $ 71,338 0.68% 0.33% 2.67% 23% (0.60) $13.32 12.32% $ 92,719 0.69% 0.33% 2.23% 18% (0.54) $12.41 3.65% $100,588 0.68% 0.33% 2.46% 30% ------------------------------------------------------------------------------------------------------ (0.16) $ 9.54 8.43% $ 17,417 1.45% 1.08% 1.63% 9% (0.87) $ 8.95 (12.76)% $ 20,489 1.44% 1.08% 2.78% 7% (1.07) $11.37 (6.87)% $ 32,003 1.43% 1.08% 1.93% 23% (0.50) $13.25 11.47% $ 43,013 1.44% 1.08% 1.48% 18% (0.45) $12.35 2.82% $ 43,234 1.43% 1.08% 1.70% 30% ------------------------------------------------------------------------------------------------------ (0.16) $ 9.55 8.57% $ 2,706 1.45% 1.08% 1.61% 9% (0.87) $ 8.95 (12.77)% $ 2,709 1.44% 1.08% 2.78% 7% (1.07) $11.37 (6.95)% $ 4,333 1.43% 1.08% 1.92% 23% (0.50) $13.26 11.46% $ 6,158 1.44% 1.08% 1.48% 18% (0.44) $12.36 2.88% $ 6,495 1.43% 1.08% 1.70% 30% ------------------------------------------------------------------------------------------------------ (0.26) $ 8.92 10.07% $ 33,074 0.59% 0.08% 2.90% 14% (0.93) $ 8.35 (9.12)% $ 35,581 0.59% 0.08% 4.11% 8% (1.08) $10.34 (5.03)% $ 43,093 0.53% 0.08% 3.28% 25% (0.68) $11.95 11.24% $ 41,336 0.54% 0.08% 2.89% 30% (0.61) $11.36 3.39% $ 42,683 0.50% 0.08% 3.05% 22% ------------------------------------------------------------------------------------------------------ (0.24) $ 8.90 9.82% $ 15,138 0.84% 0.33% 2.66% 14% (0.91) $ 8.33 (9.36)% $ 16,941 0.84% 0.33% 3.81% 8% (1.05) $10.32 (5.30)% $ 25,200 0.79% 0.33% 2.92% 25% (0.65) $11.93 10.96% $ 35,676 0.79% 0.33% 2.63% 30% (0.58) $11.35 3.14% $ 37,479 0.75% 0.33% 2.80% 22% ------------------------------------------------------------------------------------------------------ (0.17) $ 8.87 9.01% $ 7,258 1.59% 1.08% 1.89% 14% (0.86) $ 8.30 (10.03)% $ 8,292 1.59% 1.08% 3.06% 8% (0.95) $10.29 (5.94)% $ 13,891 1.54% 1.08% 2.25% 25% (0.56) $11.88 10.17% $ 18,839 1.54% 1.08% 1.89% 30% (0.50) $11.30 2.28% $ 20,488 1.50% 1.08% 2.05% 22% ------------------------------------------------------------------------------------------------------ (0.17) $ 8.88 8.98% $ 1,009 1.59% 1.08% 1.87% 14% (0.86) $ 8.31 (10.00)% $ 1,264 1.59% 1.08% 3.09% 8% (0.95) $10.30 (5.93)% $ 2,071 1.54% 1.08% 2.23% 25% (0.56) $11.89 10.08% $ 2,755 1.54% 1.08% 1.88% 30% (0.49) $11.32 2.43% $ 3,058 1.50% 1.08% 2.05% 22% ------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 145 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND RESULTING FROM OPERATIONS DISTRIBUTIONS FROM ------------------------------- ---------------------- NET REALIZED AND UNREALIZED CHANGE IN NET ASSET GAINS/(LOSSES) NET ASSETS VALUE, NET FROM RESULTING NET NET BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME GAINS --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL CONSERVATIVE(SM) INSTITUTIONAL SHARES Year ended 7/31/10 $ 8.75 0.32#[DELTA] 0.52# 0.84 (0.33) -- Year ended 7/31/09 $ 9.89 0.41#[DELTA] (0.92)# (0.51) (0.46) (0.17) Year ended 7/31/08 $10.99 0.43#[DELTA] (0.80)# (0.37) (0.43) (0.30) Year ended 7/31/07 $10.72 0.41#[DELTA] 0.49# 0.90 (0.41) (0.22) Year ended 7/31/06 $10.92 0.40#[DELTA] (0.09)# 0.31 (0.40) (0.11) --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL CONSERVATIVE(SM) CLASS A SHARES Year ended 7/31/10 $ 8.74 0.30#[DELTA] 0.51# 0.81 (0.31) -- Year ended 7/31/09 $ 9.87 0.39#[DELTA] (0.91)# (0.52) (0.44) (0.17) Year ended 7/31/08 $10.97 0.39#[DELTA] (0.79)# (0.40) (0.40) (0.30) Year ended 7/31/07 $10.70 0.38#[DELTA] 0.49# 0.87 (0.38) (0.22) Year ended 7/31/06 $10.90 0.37#[DELTA] (0.09)# 0.28 (0.37) (0.11) --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL CONSERVATIVE(SM) CLASS B SHARES Year ended 7/31/10 $ 8.70 0.23#[DELTA] 0.51# 0.74 (0.24) -- Year ended 7/31/09 $ 9.83 0.32#[DELTA] (0.90)# (0.58) (0.38) (0.17) Year ended 7/31/08 $10.95 0.31#[DELTA] (0.80)# (0.49) (0.33) (0.30) Year ended 7/31/07 $10.67 0.29#[DELTA] 0.50# 0.79 (0.30) (0.21) Year ended 7/31/06 $10.87 0.29#[DELTA] (0.09)# 0.20 (0.29) (0.11) --------------------------------------------------------------------------------------------------------------------------- LIFEMODEL CONSERVATIVE(SM) CLASS C SHARES Year ended 7/31/10 $ 8.71 0.23#[DELTA] 0.51# 0.74 (0.24) -- Year ended 7/31/09 $ 9.84 0.32#[DELTA] (0.90)# (0.58) (0.38) (0.17) Year ended 7/31/08 $10.95 0.31#[DELTA] (0.79)# (0.48) (0.33) (0.30) Year ended 7/31/07 $10.67 0.29#[DELTA] 0.51# 0.80 (0.30) (0.22) Year ended 7/31/06 $10.88 0.29#[DELTA] (0.11)# 0.18 (0.28) (0.11) --------------------------------------------------------------------------------------------------------------------------- HIGH YIELD BOND INSTITUTIONAL SHARES Year ended 7/31/10 $ 8.72 0.73[DELTA] 0.90 1.63 (0.73) -- Year ended 7/31/09 $ 9.14 0.78[DELTA] (0.41) 0.37 (0.79) -- Year ended 7/31/08 $ 9.57 0.73[DELTA] (0.44) 0.29 (0.72) -- Year ended 7/31/07 $ 9.74 0.71[DELTA] (0.14) 0.57 (0.71) (0.03) 11/29/05 (c) to 7/31/06 $10.00 0.44 (0.28) 0.16 (0.42) -- --------------------------------------------------------------------------------------------------------------------------- HIGH YIELD BOND CLASS A SHARES Year ended 7/31/10 $ 8.69 0.71[DELTA] 0.89 1.60 (0.70) -- Year ended 7/31/09 $ 9.12 0.74[DELTA] (0.40) 0.34 (0.77) -- Year ended 7/31/08 $ 9.57 0.69[DELTA] (0.46) 0.23 (0.68) -- Year ended 7/31/07 $ 9.74 0.68[DELTA] (0.13) 0.55 (0.69) (0.03) 11/29/05 (c) to 7/31/06 $10.00 0.41 (0.27) 0.14 (0.40) -- --------------------------------------------------------------------------------------------------------------------------- HIGH YIELD BOND CLASS B SHARES Year ended 7/31/10 $ 8.71 0.64[DELTA] 0.89 1.53 (0.63) -- Year ended 7/31/09 $ 9.13 0.70[DELTA] (0.41) 0.29 (0.71) -- Year ended 7/31/08 $ 9.56 0.64[DELTA] (0.45) 0.19 (0.62) -- Year ended 7/31/07 $ 9.73 0.61[DELTA] (0.13) 0.48 (0.62) (0.03) 11/29/05 (c) to 7/31/06 $10.00 0.33 (0.24) 0.09 (0.36) -- --------------------------------------------------------------------------------------------------------------------------- HIGH YIELD BOND CLASS C SHARES Year ended 7/31/10 $ 8.71 0.63[DELTA] 0.90 1.53 (0.64) -- Year ended 7/31/09 $ 9.13 0.70[DELTA] (0.41) 0.29 (0.71) -- Year ended 7/31/08 $ 9.57 0.64[DELTA] (0.45) 0.19 (0.63) -- Year ended 7/31/07 $ 9.74 0.60[DELTA] (0.12) 0.48 (0.62) (0.03) 11/29/05 (c) to 7/31/06 $10.00 0.35 (0.25) 0.10 (0.36) -- ---------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 146 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------------- RATIOS OF RATIOS OF RATIOS OF NET TOTAL NET EXPENSES EXPENSES NET TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER DISTRIBUTIONS PERIOD CHARGE) (000'S) ASSETS (a) ASSETS (b) NET ASSETS RATE (d) ------------------------------------------------------------------------------------------------------ (0.33) $ 9.26 9.77% $ 23,916 0.65% 0.08% 3.54% 14% (0.63) $ 8.75 (4.64)% $ 26,856 0.65% 0.08% 4.80% 6% (0.73) $ 9.89 (3.67)% $ 28,215 0.62% 0.08% 4.04% 23% (0.63) $10.99 8.58% $ 24,570 0.64% 0.08% 3.69% 24% (0.51) $10.72 2.88% $ 24,385 0.58% 0.08% 3.72% 15% ------------------------------------------------------------------------------------------------------ (0.31) $ 9.24 9.39% $ 9,630 0.90% 0.33% 3.30% 14% (0.61) $ 8.74 (4.77)% $ 9,914 0.90% 0.33% 4.52% 6% (0.70) $ 9.87 (3.93)% $ 12,908 0.88% 0.33% 3.68% 23% (0.60) $10.97 8.33% $ 15,083 0.89% 0.33% 3.44% 24% (0.48) $10.70 2.62% $ 16,138 0.82% 0.33% 3.45% 15% ------------------------------------------------------------------------------------------------------ (0.24) $ 9.20 8.58% $ 4,051 1.65% 1.08% 2.53% 14% (0.55) $ 8.70 (5.45)% $ 5,099 1.65% 1.08% 3.76% 6% (0.63) $ 9.83 (4.78)% $ 7,253 1.63% 1.08% 2.97% 23% (0.51) $10.95 7.53% $ 9,242 1.64% 1.07% 2.69% 24% (0.40) $10.67 1.83% $ 10,208 1.57% 1.08% 2.69% 15% ------------------------------------------------------------------------------------------------------ (0.24) $ 9.21 8.56% $ 1,365 1.65% 1.08% 2.53% 14% (0.55) $ 8.71 (5.45)% $ 1,788 1.65% 1.08% 3.74% 6% (0.63) $ 9.84 (4.70)% $ 2,250 1.63% 1.08% 2.91% 23% (0.52) $10.95 7.59% $ 3,091 1.64% 1.07% 2.67% 24% (0.39) $10.67 1.72% $ 3,816 1.57% 1.08% 2.68% 15% ------------------------------------------------------------------------------------------------------ (0.73) $9.62 19.22% $ 53,780 1.20% 0.74% 7.83% 71% (0.79) $8.72 5.98% $ 47,395 1.19% 0.74% 10.13% 32% (0.72) $9.14 2.98% $ 50,153 1.15% 0.74% 7.65% 36% (0.74) $9.57 5.85% $ 68,193 1.14% 0.74% 7.12% 42% (0.42) $9.74 1.59%* $ 66,033 1.15%** 0.74%** 6.77%** 41% ------------------------------------------------------------------------------------------------------ (0.70) $9.59 18.96% $ 1,149 1.42% 0.99% 7.71% 71% (0.77) $8.69 5.60% $ 4,443 1.38% 0.99% 9.23% 32% (0.68) $9.12 2.38% $ 206 1.40% 0.99% 7.17% 36% (0.72) $9.57 5.47% $ 175 1.39% 0.99% 6.83% 42% (0.40) $9.74 1.44%* $ 227 2.98%** 0.99%** 6.74%** 41% ------------------------------------------------------------------------------------------------------ (0.63) $9.61 18.07% $ 94 2.21% 1.74% 6.83% 71% (0.71) $8.71 4.89% $ 74 2.20% 1.74% 9.10% 32% (0.62) $9.13 1.94% $ 155 2.15% 1.74% 6.67% 36% (0.65) $9.56 4.83% $ 156 2.15% 1.74% 6.12% 42% (0.36) $9.73 0.91%* $ 96 7.16%** 1.74%** 5.98%** 41% ------------------------------------------------------------------------------------------------------ (0.64) $9.60 18.06% $ 1,403 2.23% 1.74% 6.72% 71% (0.71) $8.71 4.93% $ 113 2.19% 1.74% 9.19% 32% (0.63) $9.13 2.00% $ 114 2.15% 1.74% 6.67% 36% (0.65) $9.57 4.72% $ 127 2.15% 1.74% 6.04% 42% (0.36) $9.74 0.94%* $ 55 8.04%** 1.74%** 5.93%** 41% ------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 147 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
CHANGE IN NET ASSETS LESS DIVIDENDS AND RESULTING FROM OPERATIONS DISTRIBUTIONS FROM ------------------------------ ------------------------------- NET REALIZED AND UNREALIZED CHANGE IN NET ASSET GAINS/(LOSSES) NET ASSETS VALUE, NET FROM RESULTING NET NET BEGINNING INVESTMENT INVESTMENTS FROM INVESTMENT PAID-IN REALIZED OF PERIOD INCOME/(LOSS) TRANSACTIONS OPERATIONS INCOME CAPITAL GAINS -------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN BOND INSTITUTIONAL SHARES Year ended 7/31/10 $ 8.46 0.38[DELTA] 0.62 1.00 (0.44) -- -- Year ended 7/31/09 $ 9.03 0.46[DELTA] (0.55) (0.09) (0.48) -- -- Year ended 7/31/08 $ 9.68 0.48[DELTA] (0.64) (0.16) (0.49) -- -- Year ended 7/31/07 $ 9.68 0.45[DELTA]@ 0.01 0.46 (0.46) -- -- Year ended 7/31/06 $10.07 0.42 (0.30) 0.12 (0.45) -- (0.06) -------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN BOND CLASS A SHARES Year ended 7/31/10 $ 8.46 0.36[DELTA] 0.61 0.97 (0.41) -- -- Year ended 7/31/09 $ 9.03 0.44[DELTA] (0.55) (0.11) (0.46) -- -- Year ended 7/31/08 $ 9.67 0.46[DELTA] (0.64) (0.18) (0.46) -- -- Year ended 7/31/07 $ 9.68 0.43[DELTA]@ -- 0.43 (0.44) -- -- Year ended 7/31/06 $10.07 0.39 (0.30) 0.09 (0.42) -- (0.06) -------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN BOND CLASS B SHARES Year ended 7/31/10 $ 8.47 0.29[DELTA] 0.62 0.91 (0.35) -- -- Year ended 7/31/09 $ 9.03 0.38[DELTA] (0.54) (0.16) (0.40) -- -- Year ended 7/31/08 $ 9.68 0.39[DELTA] (0.65) (0.26) (0.39) -- -- Year ended 7/31/07 $ 9.68 0.35[DELTA]@ 0.01 0.36 (0.36) -- -- Year ended 7/31/06 $10.07 0.32 (0.30) 0.02 (0.35) -- (0.06) -------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN BOND CLASS C SHARES Year ended 7/31/10 $ 8.47 0.29[DELTA] 0.62 0.91 (0.35) -- -- Year ended 7/31/09 $ 9.04 0.38[DELTA] (0.55) (0.17) (0.40) -- -- Year ended 7/31/08 $ 9.68 0.39[DELTA] (0.64) (0.25) (0.39) -- -- Year ended 7/31/07 $ 9.69 0.35[DELTA]@ -- 0.35 (0.36) -- -- Year ended 7/31/06 $10.07 0.31 (0.28) 0.03 (0.35) -- (0.06) -------------------------------------------------------------------------------------------------------------------------------- SHORT TERM BOND INSTITUTIONAL SHARES Year ended 7/31/10 $ 9.33 0.22[DELTA] 0.26 0.48 (0.23) -- -- Year ended 7/31/09 $ 9.29 0.33[DELTA] 0.05 0.38 (0.34) -- -- Year ended 7/31/08 $ 9.32 0.38[DELTA] (0.03) 0.35 (0.38) -- -- Year ended 7/31/07 $ 9.25 0.37[DELTA] 0.09 0.46 (0.38) (0.01) -- Year ended 7/31/06 $ 9.37 0.31 (0.06) 0.25 (0.37) -- -- -------------------------------------------------------------------------------------------------------------------------------- SHORT TERM BOND CLASS A SHARES Year ended 7/31/10 $ 9.32 0.19[DELTA] 0.27 0.46 (0.21) -- -- Year ended 7/31/09 $ 9.29 0.31[DELTA] 0.04 0.35 (0.32) -- -- Year ended 7/31/08 $ 9.31 0.35[DELTA] (0.01) 0.34 (0.36) -- -- Year ended 7/31/07 $ 9.25 0.35[DELTA] 0.08 0.43 (0.36) (0.01) -- Year ended 7/31/06 $ 9.36 0.28 (0.04) 0.24 (0.35) -- -- -------------------------------------------------------------------------------------------------------------------------------- SHORT TERM BOND CLASS C SHARES Year ended 7/31/10 $ 9.31 0.10[DELTA] 0.28 0.38 (0.14) -- -- Year ended 7/31/09 $ 9.28 0.22[DELTA] 0.07 0.29 (0.26) -- -- Year ended 7/31/08 $ 9.32 0.28[DELTA] (0.02) 0.26 (0.30) -- -- Year ended 7/31/07 $ 9.25 0.28[DELTA] 0.09 0.37 (0.29) (0.01) -- Year ended 7/31/06 $ 9.36 0.21 (0.04) 0.17 (0.28) -- -- --------------------------------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 148 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------------- RATIOS OF RATIOS OF RATIOS OF NET TOTAL NET EXPENSES EXPENSES NET TOTAL ASSET RETURN ASSETS, TO TO INVESTMENT DIVIDENDS VALUE, (EXCLUDES END OF AVERAGE AVERAGE INCOME PORTFOLIO AND END OF SALES PERIOD NET NET TO AVERAGE TURNOVER DISTRIBUTIONS PERIOD CHARGE) (000'S) ASSETS (a) ASSETS (b) NET ASSETS RATE (d) ------------------------------------------------------------------------------------------------------ (0.44) $9.02 11.91% $275,474 0.87% 0.65% 4.33% 39% (0.48) $8.46 (0.71)% $386,492 0.84% 0.66% 5.54% 15% (0.49) $9.03 (1.86)% $559,548 0.88% 0.69% 5.03% 36% (0.46) $9.68 4.83%@ $230,154 0.91% 0.72% 4.57% 65% (0.51) $9.68 1.21% $252,145 0.90% 0.74% 4.23% 352% ------------------------------------------------------------------------------------------------------ (0.41) $9.02 11.76% $ 15,010 1.12% 0.90% 4.06% 39% (0.46) $8.46 (0.95)% $ 15,751 1.09% 0.91% 5.29% 15% (0.46) $9.03 (1.99)% $ 20,497 1.13% 0.94% 4.78% 36% (0.44) $9.67 4.45%@ $ 8,223 1.16% 0.97% 4.32% 65% (0.48) $9.68 0.97% $ 11,657 1.15% 0.99% 3.97% 352% ------------------------------------------------------------------------------------------------------ (0.35) $9.03 10.90% $ 1,821 1.87% 1.65% 3.30% 39% (0.40) $8.47 (1.58)% $ 2,932 1.84% 1.66% 4.55% 15% (0.39) $9.03 (2.80)% $ 3,490 1.88% 1.69% 4.02% 36% (0.36) $9.68 3.75%@ $ 2,151 1.91% 1.72% 3.57% 65% (0.41) $9.68 0.20% $ 2,655 1.91% 1.74% 3.20% 352% ------------------------------------------------------------------------------------------------------ (0.35) $9.03 10.93% $ 859 1.87% 1.65% 3.30% 39% (0.40) $8.47 (1.71)% $ 745 1.84% 1.66% 4.52% 15% (0.39) $9.04 (2.72)% $ 1,528 1.88% 1.69% 4.07% 36% (0.36) $9.68 3.65%@ $ 225 1.90% 1.72% 3.57% 65% (0.41) $9.69 0.30% $ 315 1.91% 1.74% 3.16% 352% ------------------------------------------------------------------------------------------------------ (0.23) $9.58 5.18% $254,162 0.78% 0.57% 2.30% 78% (0.34) $9.33 4.30% $224,931 0.78% 0.64% 3.67% 63% (0.38) $9.29 3.80% $241,776 0.79% 0.64% 4.01% 33% (0.39) $9.32 5.08% $267,348 0.80% 0.64% 3.99% 75% (0.37) $9.25 2.75% $258,423 0.78% 0.67% 3.33% 53% ------------------------------------------------------------------------------------------------------ (0.21) $9.57 4.94% $ 22,079 1.03% 0.82% 1.98% 78% (0.32) $9.32 3.93% $ 6,330 1.03% 0.89% 3.41% 63% (0.36) $9.29 3.67% $ 7,127 1.04% 0.89% 3.73% 33% (0.37) $9.31 4.70% $ 9,704 1.05% 0.89% 3.72% 75% (0.35) $9.25 2.60% $ 12,362 1.03% 0.92% 3.07% 53% ------------------------------------------------------------------------------------------------------ (0.14) $9.55 4.14% $ 10,264 1.78% 1.57% 1.09% 78% (0.26) $9.31 3.21% $ 879 1.78% 1.64% 2.45% 63% (0.30) $9.28 2.76% $ 171 1.79% 1.64% 2.98% 33% (0.30) $9.32 3.93% $ 160 1.81% 1.64% 2.97% 75% (0.28) $9.25 1.81% $ 205 1.79% 1.67% 2.31% 53% ------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 149 FIFTH THIRD FUNDS NOTES TO FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- (a) Before waivers and reminbursements (b) Net of waivers and reminbursements (c) Reflects date of commencement of operations. (d) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. ^ Amount is less than $0.005 per share. * Not annualized. ** Annualized. # Represents income or gains/(losses) from affiliates. (Delta) Average shares method used in calculation. (Omega) Includes dividend and interest expense for securities sold short. See table below.
INSTITUTIONAL CLASS A CLASS B CLASS C ------------- ------- ------- ------- Year ended 7/31/10 0.60% 0.61% 0.62% 0.56% Year ended 7/31/09 0.39% 0.39% 0.39% 0.33% Year ended 7/31/08 0.59% 0.59% 0.59% 0.59% Year ended 7/31/07 --^ --^ --^ --^
^ Amount is less than 0.005% per share. @ During the year ended July 31, 2007, the Advisor paid money to certain Funds related to an SEC investigation of Citi (formerly BISYS Fund Services), a former service provider to the Funds. See Note 5 in Notes to Financial Statements for further information. See additional information below regarding per share impacts and total return from the year ended July 31, 2007 had this payment not occurred.
AMOUNT PER SHARE FOR PAYMENT TOTAL RETURN EXCLUDING PAYMENT BY THE ADVISOR (EXCLUDES SALES CHARGE) BY THE ADVISOR & --------------------------------------------------------------------- ----------------- INSTITUTIONAL CLASS A CLASS B CLASS C ALL CLASSES ------------- ------- ------- ------- ----------- Mid Cap Growth 17.24% 16.93% 16.06% 16.07% $0.01 Quality Growth 20.38% 20.05% 19.15% 19.15% $0.02 Disciplined Large Cap Value 14.44% 14.13% 13.38% 13.34% $ --^ Dividend Growth 14.90% 14.64% 13.78% 13.79% $0.07 International Equity 24.57% 24.27% 23.36% 23.31% $ --^ Total Return Bond 4.72% 4.45% 3.75% 3.65% $0.01
^ Amount is less than $0.005. & Per share impact of the Payment by the Advisor was recognized by all classes on July 30, 2007. Calculation is based on outstanding shares as of July 30, 2007. Net Investment Income/(Loss) in these Financial Highlights includes the Payment by the Advisor. ~ Includes interest expense relating to settlement of foreign futures. Interest expense was 0.01% for year ended July 31, 2010 and 0.02% for the year ended July 31, 2009. ! Includes extraordinary legal expenses. See table below and Note 3.
INSTITUTIONAL CLASS A CLASS B CLASS C ------------- ------- ------- ------- Year ended 7/31/10 0.32% 0.31% 0.29% 0.39% Year ended 7/31/09 0.39% 0.38% 0.39% 0.25%
See notes to financial statements. 150 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS JULY 31, 2010 -------------------------------------------------------------------------------- (1) ORGANIZATION Fifth Third Funds (the "Trust") is registered under the Investment Company Act of 1940, as amended (the "Act"), as an open-end management investment company established as a Massachusetts business trust. The Trust consists of twenty-four separate investment portfolios. The accompanying financial statements and notes relate only to the series of the Trust (individually a "Fund" and collectively the "Funds") listed below. Each Fund is a diversified investment company for purposes of the Act, except for Fifth Third Dividend Growth Fund, which is a non-diversified investment company. FUND NAME --------- Fifth Third Small Cap Growth Fund ("Small Cap Growth") Fifth Third Mid Cap Growth Fund ("Mid Cap Growth") Fifth Third Quality Growth Fund ("Quality Growth") Fifth Third Dividend Growth Fund ("Dividend Growth") Fifth Third Micro Cap Value Fund ("Micro Cap Value") Fifth Third Small Cap Value Fund ("Small Cap Value") Fifth Third All Cap Value Fund ("All Cap Value") Fifth Third Disciplined Large Cap Value Fund ("Disciplined Large Cap Value") Fifth Third Structured Large Cap Plus Fund ("Structured Large Cap Plus") Fifth Third Equity Index Fund ("Equity Index") Fifth Third International Equity Fund ("International Equity") Fifth Third Strategic Income Fund ("Strategic Income") Fifth Third LifeModel Aggressive Fund(SM) ("LifeModel Aggressive(SM)") Fifth Third LifeModel Moderately Aggressive Fund(SM) ("LifeModel Moderately Aggressive(SM)") Fifth Third LifeModel Moderate Fund(SM) ("LifeModel Moderate(SM)") Fifth Third LifeModel Moderately Conservative Fund(SM) ("LifeModel Moderately Conservative(SM)") Fifth Third LifeModel Conservative Fund(SM) ("LifeModel Conservative(SM)") (the foregoing five funds collectively the "LifeModel Funds(SM)") Fifth Third High Yield Bond Fund ("High Yield Bond") Fifth Third Total Return Bond Fund ("Total Return Bond") Fifth Third Short Term Bond Fund ("Short Term Bond") Short Term Bond has three classes of shares: Institutional, Class A, and Class C shares. Equity Index has seven classes of shares: Institutional, Class A, Class B, Class C, Select, Preferred and Trust shares. The remainder of the Funds each have four classes of shares: Institutional, Class A, Class B, and Class C shares. All Funds' Class B shares are closed to new purchases as of this report date. Class A shares are subject to initial sales charges imposed at the time of purchase, as described in the Funds' prospectuses. Certain redemptions of each of Class A shares made within twelve months of purchase, Class B shares made within six years of purchase and Class C shares made within twelve months of purchase are subject to contingent deferred sales charges, as described in the Funds' prospectuses. Each class of shares for each Fund has identical rights and privileges except with respect to administrative services fees paid by Class C, Select, Preferred and Trust shares, distribution services fees paid by Class A, Class B, and Class C shares, voting rights on matters affecting a single class of shares, and the exchange privileges of each class of shares. The financial statements of the underlying Fifth Third Funds in which the LifeModel Funds(SM) invest should be read in conjunction with the financial statements for the applicable LifeModel Fund(SM). (2) SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"). The preparation of financial statements in conformity 151 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, as well as the reported amounts of increases and decreases in net assets from operations during the period. Actual results could differ from those estimates. SECURITIES VALUATION -- All investments in securities are recorded at their estimated fair value as described in Note 12. SECURITIES TRANSACTIONS AND RELATED INCOME -- Securities transactions are accounted for on the date the security is purchased or sold (trade date). Interest income is recognized on an accrual basis and includes, where applicable, amortization of premium or accretion of discount. Dividend income is recorded on the ex-dividend date. Gains or losses realized on sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds. Paydown gains and losses on mortgage-and asset-backed securities are recorded as adjustments to interest income. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country's tax rules and rates. The Fund may be subject to foreign taxes on income, gains on investments, or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests. FOREIGN CURRENCY TRANSLATION -- The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gains or losses from investments. Realized foreign exchange gains or losses arise from sales and maturities of securities, sales of foreign currencies, currency exchange fluctuations between the trade and settlement dates of securities transactions, and the difference between the amount of assets and liabilities recorded and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities, including investments in securities, resulting from changes in the currency exchange rates. LENDING PORTFOLIO SECURITIES -- Each Fund may lend securities up to 33 1/3% of the Fund's total assets (including the amount of securities out on loan) to qualified borrowers (typically broker-dealers) in order to enhance fund earnings by investing cash collateral received in making such loans. The Funds continue to earn interest and dividends on securities loaned by way of receiving substitute payments (substitute dividend payments are generally not classified as Qualified Dividend Income for federal income tax purposes). Loans will be made only to borrowers deemed by the Lending Agent to be of sufficiently strong financial standing, organizational stability and creditworthiness under guidelines established by the Board of Trustees ("Trustees") and when, in the judgment of the Lending Agent, the consideration that can be earned currently from such securities loans justifies the attendant risks. The Trust has engaged its custodian bank, State Street Bank and Trust Company ("State Street"), to act as Lending Agent and to administer its securities lending program. State Street will earn a portion of program net income for its services. When a Fund makes a security loan, it receives cash collateral as protection against borrower default on the loaned security position and records an asset for the cash/invested collateral and a liability for the return of the collateral. Securities on loan continue to be included in investment securities at market value on the Statements of Assets and Liabilities and remain on the Schedule of Investments. Loans of securities are required at the time the loan is made to be secured by collateral at least equal to 105% of the prior day's market value of loaned equity securities not denominated in U.S. dollars or Canadian dollars or not primarily traded on a U.S. exchange; or 102% of the prior day's market value of the securities on loan (including accrued interest) of any other loaned securities, and not less than 100% thereafter. The Funds may invest cash collateral in short-term money market instruments including: U.S. Treasury Bills, U.S. agency sponsored obligations, commercial paper, money market mutual funds, repurchase agreements and other highly rated, liquid investments. 152 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- During the life of securities loans, the collateral and securities loaned remain subject to fluctuation in market value. State Street marks to market securities loaned and the collateral each business day. If additional collateral is due, State Street collects additional cash collateral from the borrowers. Although securities loaned will be fully collateralized at all times, State Street may experience delays in, or may be prevented from, recovering the collateral on behalf of a Fund. State Street may on behalf of a Fund recall a loaned security position at any time from a borrower, who is obligated to return the security recalled. In the event the borrower fails to return a recalled security in a timely fashion, State Street reserves the right to use the collateral to purchase like securities in the open market. State Street indemnifies the Funds against borrower default by agreeing to fund any shortfall between the collateral held and the cost of obtaining replacement securities. If replacement securities are not available, State Street will credit the equivalent cash value to the Fund(s). As of July 31, 2010 cash collateral received for the Funds engaged in securities lending was invested in the State Street Navigator Prime Securities Lending Portfolio. Additionally, certain Funds received non-cash collateral, which they are not permitted to sell or re-pledge. The non-cash collateral is made up of U.S. Treasury and U.S. agency bonds. The maturities range from August 15, 2010 to July 15, 2017, with interest rates ranging from .45% to 4.125%.
MARKET VALUE OF CASH NON-CASH FUND SECURITIES ON LOAN COLLATERAL COLLATERAL ---- ------------------ ----------- ---------- Small Cap Growth $12,190,237 $12,523,826 $ -- Mid Cap Growth 15,048,477 15,269,298 -- Quality Growth 19,618,545 19,942,940 -- Equity Index 10,768,643 10,875,161 189,372 All Cap Value 12,397,700 12,716,942 -- Disciplined Large Cap Value 16,448,565 11,347,632 5,494,700 Strategic Income 13,728,842 14,049,937 -- Dividend Growth 2,047,894 2,045,480 47,351 International Equity 15,771,172 16,322,217 202,895 High Yield Bond 6,843,665 6,990,498 -- Total Return Bond 13,607,089 13,813,988 -- Short Term Bond 46,989,341 47,889,195 --
OTHER -- Expenses directly attributable to a Fund are charged to the Fund, while expenses which are attributable to more than one Fund of the Trust are allocated among the respective Funds based on their relative net assets or another appropriate basis. Income, expenses, and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets, except that each class separately bears expenses related specifically to that class, such as administrative services and/or distribution fees. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends, if any, from net investment income are generally declared/paid as follows:
DECLARED DAILY/PAID MONTHLY DECLARED/PAID MONTHLY DECLARED/PAID QUARTERLY DECLARED/PAID ANNUALLY --------------------------- --------------------- ----------------------- ---------------------- Strategic Income High Yield Bond Dividend Growth Small Cap Growth Total Return Bond All Cap Value Mid Cap Growth Short Term Bond Disciplined Large Cap Value Quality Growth Structured Large Cap Plus Micro Cap Value Equity Index Small Cap Value The LifeModel Funds(SM) International Equity
Distributable net realized gains, if any, are declared and distributed at least annually. Dividends declared and payable to shareholders are recorded on the ex-dividend date. Dividends from net investment income and from net realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These differences are primarily due to differing treatments for mortgage-backed securities, amortization and/or accretion of securities, foreign currency transactions, expiring capital loss carryforwards and deferrals of certain losses. To the extent distributions would exceed net investment income and net realized gains for tax purposes, they are reported as a return of capital. These "book/tax" differences are either considered temporary or permanent in nature. To 153 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax basis treatment; temporary differences do not require reclassifications. Accordingly, at July 31, 2010, reclassifications were recorded as follows:
INCREASE INCREASE (DECREASE) (DECREASE) ACCUMULATED NET ACCUMULATED INCREASE INVESTMENT NET REALIZED (DECREASE) INCOME (LOSS) GAIN (LOSS) PAID-IN-CAPITAL --------------- ------------ --------------- Small Cap Growth $ 243,795 $ 1,111 $ (244,906) Mid Cap Growth 273,623 592,404 (866,027) Quality Growth 7,025 3,060,388 (3,067,413) Dividend Growth (223) 10,085,085 (10,084,862) Micro Cap Value 169,012 80,633 (249,645) Small Cap Value (256,044) 284,884 (28,840) All Cap Value (34,446) 38,753 (4,307) Disciplined Large Cap Value (25,698) 26,235 (537) Structured Large Cap Plus (329,192) 329,345 (153) Equity Index (7,461) 29,569 (22,108) International Equity 532,552 1,354,497 (1,887,049) Strategic Income 72,033 (71,904) (129) LifeModel Aggressive(SM) 12,998 51 (13,049) LifeModel Moderately Aggressive(SM) 168 145 (313) LifeModel Moderate(SM) 483 -- (483) LifeModel Moderately Conservative(SM) 95 -- (95) LifeModel Conservative(SM) 60 -- (60) High Yield Bond 10,592 (10,537) (55) Total Return Bond 2,343,249 (2,055,047) (288,202) Short Term Bond 335,319 (326,601) (8,718)
FEDERAL TAXES -- It is the intention of each Fund to continue to qualify as a regulated investment company by complying with Subchapter M of the U.S. Internal Revenue Code, and to make distributions of net investment income and net realized capital gains sufficient to relieve a Fund from all, or substantially all, federal income taxes. Accordingly, no provision for federal income or excise taxes has been made. At July 31, 2010, the Funds have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds file U.S. tax returns and returns in various foreign jurisdictions in which they invest. While the statute of limitations remains open to examine the Funds' U.S. tax returns filed for the fiscal years from 2007-2009, no examinations are in progress or anticipated as of this report date. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. (3) SECURITIES AND OTHER INVESTMENTS REPURCHASE AGREEMENTS -- The Funds may enter into repurchase agreements only with banks and other recognized financial institutions, such as broker/dealers, which are deemed by Fifth Third Asset Management, Inc. ("FTAM" or the "Advisor") to be creditworthy. It is the policy of the Funds to require the custodian or sub-custodian bank to take possession or have legally segregated in the Federal Reserve Book Entry System, all securities segregated as collateral under repurchase agreement transactions. Additionally, procedures have been established by the Funds to monitor, on a daily basis, the market value of each repurchase agreement's collateral to ensure that the value of collateral at least equals the repurchase price to be paid under the relevant repurchase agreement transaction. Risks may arise from the potential inability or unwillingness of counterparties to honor the terms of a repurchase agreement. Accordingly, the Funds could receive less than the repurchase price on the sale of collateral securities. SHORT SALES -- Structured Large Cap Plus sells securities short, whereby it sells a security it generally does not own (the security is borrowed) in anticipation of a decline in the security's price. The initial amount of a short 154 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- sale is recorded as a liability, which is marked to market daily. Fluctuations in the value of the short liability are recorded as unrealized gains or losses. The Fund also may short a security when also holding a long position in the security (a "short against the box"), as the security's price declines, the short position increases in value, offsetting the long position's decrease in value. The opposite effect occurs if the security's price rises. The Fund realizes a gain or loss upon closing of the short sale (returning the security to the counterparty by way of purchase or delivery of a long position owned). Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. The Fund is liable to the buyer for any dividends payable on securities while those securities are in a short position. These dividends are an expense of the Fund. The Fund segregates cash and/or securities in a sufficient amount as collateral to the extent of open short positions. See Notes to Schedule of Investments. As described in the Fund's prospectuses, the Fund may sell securities short as part if its investment strategy. Prior to September 19, 2009, Lehman Brothers, Inc. ("LBI") served as the exclusive prime broker for the Fund's short sales. Due to bankruptcy, LBI's business is currently being liquidated under the Securities Investor Protection Act. The trustee for the liquidation proceedings (the "Liquidation Trustee") has taken a position with respect to the valuation date for the Fund's short positions which Fund management believes to be incorrect and materially disadvantageous to the Fund. A partial settlement of this dispute with the Liquidation Trustee was reached on March 13, 2009. Under the partial settlement, the Fund established an escrow account at the Fund's custodian bank with respect to the amount in dispute ($18,179,102) (the "Disputed Amount"). Subsequently, the Fund filed a motion for summary judgment with the U.S. Bankruptcy Court for the Southern District of New York (the "Court") seeking an order that the Fund is entitled to the Disputed Amount and the Liquidation Trustee filed a motion to strike the Fund's summary judgment motion and to uphold the Liquidation Trustee's determination that the Fund is not entitled to the Disputed Amount. On June 1, 2010, the Court granted the Liquidation Trustee's motion to uphold the Liquidation Trustee's determination regarding the Disputed Amount and expunged the Fund's objection to that determination. On June 28, 2010, the Fund filed a notice of appeal. It is unclear whether the Fund will obtain a favorable outcome with respect to this matter. Given the above circumstances, the Fund's per-share net asset value continues to reflect a negative outcome. In accordance with the Fund's prospectuses, the Fund's legal expenses related to these matters, including costs of possible litigation, are considered extraordinary expenses and therefore are borne by the Fund without regard to the Fund's expense limitation agreement. These expenses have been and may continue to be substantial. The Fund had incurred $350,233 and $263,410 of extraordinary legal expenses for the years ended July 31, 2009 and 2010, respectively. Beginning in March 2009, the new prime broker for the Fund's short sales is Pershing, LLC. Pershing, LLC is a subsidiary of the Bank of New York Mellon Corporation. The LifeModel Funds(SM) invest in Structured Large Cap Plus. An increase in the expense ratio of Structured Large Cap Plus also affects the return on investments by the LifeModel Funds(SM). WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS -- The Funds may engage in when-issued or delayed delivery ("TBAs") transactions. The Funds record when-issued securities on the trade date and maintain security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed delivery basis are valued daily and begin earning interest on the settlement date. To the extent the Funds hold these types of securities, a sufficient amount of cash and/or securities is segregated as collateral. See Notes to Schedules of Investments. (4) FINANCIAL DERIVATIVE INSTRUMENTS FOREIGN CURRENCY CONTRACTS -- The Funds may enter into foreign currency contracts to settle planned purchases or sales of securities or to protect against a possible loss resulting from the adverse change in the 155 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- relationship between the U.S. Dollar and a foreign currency involved in an underlying transaction. Foreign currency contracts are agreements between two parties to buy and sell a currency at a set price on a future date. The market value of a foreign currency contract fluctuates with changes in currency exchange rates. Foreign currency contracts are marked-to-market daily and the change in market value is recorded by a Fund as unrealized appreciation or depreciation. When a foreign currency contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. These contracts may involve market risk in excess of the unrealized gain or loss reflected on the Statements of Assets and Liabilities. In addition, a Fund could be exposed to credit risk if a counterparty is unable or unwilling to meet the terms of the contracts or if the value of the currency changes unfavorably. In connection with these contracts, the Funds may segregate cash and/or securities in a sufficient amount as collateral in accordance with the terms of the respective contracts. Foreign currency contracts open as of this report date are listed in the Notes to Schedules of Investments. FUTURES CONTRACTS -- The Funds, with the exception of Dividend Growth, may enter into futures contracts which represent a commitment for the future purchase or sale of an asset at a specified price on a specified date. The Funds may use futures contracts to gain exposure to, or hedge against changes in the value of equities, interest rates or foreign currencies. Cash and/or securities are segregated or delivered to dealers in order to maintain a position ("initial margin"). Subsequent payments made or received by a Fund based on the daily change in the market value of the position ("variation margin") are recorded as receivable or payable. The Funds recognize unrealized appreciation or depreciation until the contract is closed out, at which time the gain or loss is realized. The use of futures contracts involves, to varying degrees, elements of market risk. Risks arise from the possible imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets, and the possible inability of counterparties to meet the terms of their contracts. With futures, there is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities. To the extent these Funds have open futures contracts at period end, a sufficient amount of cash and/or securities, which is restricted as to its use by these Funds, is segregated as collateral. Futures contracts open as of this report date are listed in the Notes to Schedules of Investments. SWAP AGREEMENTS -- The Funds entered into swap transactions, which are privately negotiated agreements between a Fund and a counterparty (usually a broker-dealer) to exchange or swap investment cash flows, assets, or market-linked returns at specified, future intervals. A Fund may enter into interest rate, total return, credit default, and other forms of swap agreements to manage its exposure to interest rates and credit risk. In connection with these agreements, securities may be identified as collateral in accordance with the terms of the respective swap agreements. Credit default swap agreements involve one party making a stream of payments to another party in exchange for the right to receive up to the par amount of the underlying instrument in the event of a default by a third party - typically, a corporate issuer or sovereign issuer of an emerging country - on its obligation. A Fund may use credit default swaps to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the issuer) or to take an active long or short position with respect to the likelihood of a particular issuer's default. When it is a seller of protection, a Fund generally receives an upfront payment or a fixed rate of income throughout the term of the swap, provided that there is no credit event. If a Fund is a seller of protection and a credit event occurs, as defined under the terms of the particular swap agreement, a Fund must pay to the buyer of the protection an amount up to the notional value of the swap and, in certain instances, take delivery of the underlying asset. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap. When it is a buyer of protection, a Fund generally makes an upfront payment or pays a fixed rate throughout the term of the swap. In addition, as a buyer of protection, a Fund generally receives an amount up to the notional value of the swap if a credit event occurs. The treatment 156 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- of credit default swaps and other swap agreements that provide for contingent, non-periodic, "bullet-type" payments as "notional principal contracts" for U.S. federal income tax purposes is uncertain. If the U.S. Internal Revenue Service were to take the position that a credit default swap or other bullet-type swap is not a "notional principal contract" for U.S. federal income tax purposes, payments received by a Fund from such investments may be subject to U.S. excise or income taxes. The Funds' maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk is mitigated by having a master netting arrangement between the Funds and the counterparty and by the posting of collateral by the counterparty to the Funds to cover the Funds' exposure to the counterparty. Swaps are marked to market daily based upon quotations from market makers and the change in value, if any, is recorded as unrealized gain or loss in the Statements of Operations. Payments received or made at the beginning of the measurement period are reflected as such in the Statements of Assets and Liabilities. These upfront payments are recorded as realized gain or loss in the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss in the Statements of Operations. Net periodic payments received or paid by a Fund are included in realized gain or loss in the Statements of Operations. Entering into swap agreements involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or that the parties may disagree as to the meaning of contractual terms in the agreements, and that there may be unfavorable changes in interest rates. Strategic Income and Total Return Bond each held an open swap contract as of the date of this report. See Notes to Schedules of Investments. (5) RELATED PARTY TRANSACTIONS INVESTMENT ADVISORY FEE -- FTAM is the Funds' investment advisor. FTAM, a wholly owned subsidiary of Fifth Third Bank, is an indirect subsidiary of Fifth Third Bancorp, a publicly traded financial services company. For its advisory services to the Funds, FTAM receives an investment advisory fee computed daily based on each Fund's average daily net assets and paid monthly. Pursuant to a sub-advisory arrangement with FTAM, Fort Washington Investment Advisors, Inc. ("Fort Washington") is High Yield Bond's Sub-Advisor. The Advisor compensates Fort Washington monthly at an annual sub-advisory fee of 0.40% of net assets for the initial $50 million in assets and 0.30% of net assets for assets in excess of $150 million. For certain Funds, FTAM has voluntarily agreed to waive a portion of its advisory fee. In addition, FTAM has contractually agreed to waive fees and/or reimburse certain Funds pursuant to an expense limitation agreement. See the table of advisory fees, waivers and expense limitations below. ADMINISTRATION FEE -- FTAM is the Trust's administrator (the "Administrator") and generally assists in all aspects of the Trust's administration and operations, including providing the Funds with certain administrative personnel and services necessary to operate the Funds. FTAM receives administration fees at the annual rates shown below, which are computed daily and paid monthly based on average daily net assets of the Trust; the fees are prorated among the Funds based upon their relative average daily net assets.
ADMINISTRATION FEE TRUST AVERAGE DAILY NET ASSETS ------------------ ------------------------------ 0.20% Up to $1 billion 0.18% In excess of $1 billion up to $2 billion 0.17% In excess of $2 billion
For certain Funds, FTAM has voluntarily agreed to waive a portion of its administration fee. In addition, a $10,000 annual, per class, per Fund fee applies beyond the first four classes per Fund (only Equity Index has more than four classes), and each Fund that commences operations after September 18, 2002 is subject to an annual $20,000 minimum fee. FTAM has contractually agreed to waive fees and/or reimburse certain Funds pursuant to an expense limitation agreement. See the table of advisory fee, waivers and expense limitations below. 157 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- ADVISORY FEE, WAIVERS, EXPENSE LIMITATIONS -- In its capacity as Advisor and Administrator, FTAM has entered into an expense limitation agreement with the Funds. Under the terms of the expense limitation agreement, to the extent that ordinary operating expenses incurred by a Fund in any fiscal year exceed the specified expense limit for the Fund, the excess amount will be borne by FTAM. If the operating expenses are less than the specified expense limit for the Fund, FTAM shall be entitled to reimbursement of the fees waived or reduced to the extent that the operating expenses and the amount reimbursed do not exceed such expense limit for the Fund, under the period of the agreement (currently the period for the 13 or 37 months commencing November 2, 2009). Such reimbursement shall be paid only while the expense limitation agreement is in effect and only if such amount paid, together with all other amounts reimbursed under this agreement in the fiscal year, does not cause the Fund to exceed the expense limitation. All waivers not recovered at the end of the period expire on either November 26, 2010 or November 30, 2012 (see table below). The Funds' various annual fee rates, waivers and expense limitations as of this report date are as follows:
CONTRACTUAL EXPENSE LIMITATION/ REIMBURSEMENT CLASS EXPENSE LIMITATION* ADVISORY ADMINISTRATION RECOVERABLE -------------------------------------------------- ADVISORY FEE FEE EXPIRATION REIMBURSEMENT FUND FEE WAIVER WAIVER DATE INSTITUTIONAL A B C RECOVERABLE** ---- -------- -------- -------------- ------------- --------------------- ----- ----- ------------- Small Cap Growth 0.70% NA NA 11/26/2010 1.01% 1.26% 2.01% 2.01% $ 84,847 Mid Cap Growth* 0.80% 0.10% 0.11% 11/26/2010 0.88% 1.13% 1.88% 1.88% $236,064 Quality Growth 0.80% NA 0.02% 11/26/2010 1.06% 1.31% 2.06% 2.06% $159,021 Dividend Growth 0.80% 0.20% NA 11/26/2010 0.73% 0.98% 1.73% 1.73% $123,002 Micro Cap Value 1.00% NA NA 11/26/2010 1.35% 1.60% 2.35% 2.35% $120,872 Small Cap Value* 0.90% 0.05% NA 11/26/2010 1.15% 1.40% 2.15% 2.15% $ 83,094 All Cap Value* 1.00% 0.20% 0.05% 11/26/2010 1.04% 1.29% 2.04% 2.04% $390,652 Disciplined Large Cap Value* 0.80% 0.10% 0.06% 11/26/2010 0.91% 1.16% 1.91% 1.91% $431,639 StructuredLargeCapPlus*(++) 0.70% 0.10% 0.10% 11/26/2010 0.72% 0.97% 1.72% 1.72% $216,728 Equity Index ^ 0.30% 0.20% 0.065% 11/30/2012 0.19% 0.44% 1.19% 1.19% $895,664 International Equity*(Omega) 1.00% 0.19% NA 11/26/2010 1.16% 1.41% 2.16% 2.16% $322,339 Strategic Income* 1.00% 0.40% 0.05% 11/30/2012 0.86% 1.11% 1.86% 1.86% $374,519 LifeModel Aggressive(SM) 0.15% 0.12% NA 11/30/2012 0.08% 0.33% 1.08% 1.08% $394,346 LifeModel Moderately Aggressive(SM) 0.15% 0.12% NA 11/30/2012 0.08% 0.33% 1.08% 1.08% $685,160 LifeModel Moderate(SM) 0.15% 0.12% NA 11/30/2012 0.08% 0.33% 1.08% 1.08% $734,588 LifeModel Moderately Conservative(SM) 0.15% 0.12% NA 11/30/2012 0.08% 0.33% 1.08% 1.08% $234,083 LifeModel Conservative(SM) 0.15% 0.12% NA 11/30/2012 0.08% 0.33% 1.08% 1.08% $182,130 High Yield Bond 0.70% NA NA 11/26/2010 0.74% 0.99% 1.74% 1.74% $188,981 Total Return Bond 0.60% 0.15% 0.06% 11/26/2010 0.65% 0.90% 1.65% 1.65% $530,221 Short Term Bond* 0.50% 0.10% 0.09% 11/30/2012 0.55% 0.80% NA 1.55% $466,290
* The Funds' expense limitation for each class decreased by the following annual amounts during the period ended. FTAM accompanied these decreases in limitations with a corresponding increase in an advisory or administration waiver.
FUND DECREASE IN LIMITATION EFFECTIVE DATE ---- ---------------------- ----------------- Mid Cap Growth 0.05% November 02, 2009 Small Cap Value 0.05% November 02, 2009 All Cap Value 0.10% November 02, 2009 Disciplined Large Cap Value 0.05% November 02, 2009 Structured Large Cap Plus 0.20% November 02, 2009 International Equity 0.05% November 02, 2009 Strategic Income 0.05% November 02, 2009 Short Term Bond 0.09% November 02, 2009
** The cumulative amounts waived and/or reimbursed which may be potentially recoverable by FTAM under the expense limitation agreements for the period from November 2, 2009 through July 31, 2010. (++) Because dividend expenses on short sales and extraordinary legal expenses are excluded from this fund's expense limitation, Net Expenses are expected to exceed the applicable expense limitation by the amount of these items. ^ The annual limitations shown include 12b-1 or administrative services fees and are net of all waivers, voluntary or contractual. The limitations are 0.27%, 0.34% and 0.44% for Equity Index Select, Preferred and Trust Shares, respectively. (Omega) International Equity's Advisory Fee is 0.85% for net assets in excess of $750 million. 158 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- ACCOUNTING FEES -- FTAM is the Funds' accounting agent. FTAM receives accounting fees at the annual rates shown below which are computed daily and paid monthly based on average daily net assets of each Fund, subject to a $30,000 per Fund annual minimum, plus out-of-pocket expenses.
ACCOUNTING FEE FUND AVERAGE DAILY NET ASSETS -------------- ------------------------------ 0.020% Up to $500 million 0.015% In excess of $500 million up to $1 billion 0.010% In excess of $1 billion
In addition, a $10,000 annual flat per class, per fund fee applies beyond the initial class of shares. DISTRIBUTION AND/OR SERVICING FEES, WAIVERS -- The Trust has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the Act. FTAM Funds Distributor, Inc. is the Trust's distributor/principal underwriter (the "Distributor"). Under the terms of the Plan, the Funds will compensate the Distributor from the net assets of the Funds' Class A, Class B and Class C shares to finance activities intended to result in the sales of each Fund's shares. The Plan provides that the Funds will incur fees accrued daily and paid monthly to the Distributor at annual rates up to or equal to that shown below based on average daily net assets of the respective classes in the Plan.
CLASS DISTRIBUTION/SERVICING FEE -------------- -------------------------- Class A 0.25% Class B 1.00% Class C 0.75%
In addition, the Distributor earned commissions on certain sales of Class A shares (most of which commissions are reallowed to the selling broker-dealer) as well as contingent deferred sales commissions (CDSC) on certain redemptions of Class A, B and C shares (all of which is paid to the finance agent who financed advance commissions, as applicable, on sales of these shares). FTAM is the Class C advance commission finance agent. For the twelve months ended July 31, 2010, FTAM earned $8,601 in CDSC fees from the Trust. Affiliates of FTAM earned reallowed sales commissions of $255,304 and 12b-1 distribution/servicing fees as well as administrative servicing fees (see below) of $1,488,225 from the Trust for the period ended as of the report date. ADMINISTRATIVE SERVICING FEE -- The Trust has a Shareholder Servicing Plan with the Distributor with respect to Class C, Select, Preferred and Trust Shares. Under the Agreement, certain administrative services, including those relating to the maintenance of shareholder accounts, were provided to these shareholders during the year. The Distributor, as well as other financial institutions (which may include affiliates of the Advisor) receives fees computed at rates up to those shown below, based on average daily net assets of the respective classes.
CLASS ADMINISTRATIVE SERVICING FEE -------------- ---------------------------- Class C 0.25% Select 0.08% Preferred 0.15% Trust 0.25%
TRANSFER AND DIVIDEND DISBURSING AGENT -- Pursuant to a Services Agreement with the Trust dated May 14, 2007, FTAM provides certain services on behalf of the Trust. Under this agreement, FTAM's fees are paid monthly and are accrued daily based upon each Fund of the Trust's relative average daily net assets, at the aggregate annual amount of $370,000. FTAM earned $370,000 from the Trust in service fees for the period ended as of this report date. OTHER -- Certain officers of the Trust are also officers of FTAM and/or its affiliates. Certain non-principal officers of the Trust are also employees of State Street. None of these officers are paid any fees by the Trust. The Trust reimbursed FTAM for fees paid to a third party in connection with the negotiation of a new custody agreement. For the year ended July 31, 2010, the fees were $5,082. The fees were allocated to each Fund based on actual expenses incurred by the Fund. PAYMENTS BY AFFILIATES -- Citi (formerly BISYS Fund Services, Inc. ("Citi")), which formerly provided various services to the Trust, reached a settlement and entered into an order (the "Order") with the Securities and Exchange Commission ("SEC") regarding the SEC's investigation of Citi's past payment of certain marketing and other expenses with respect to certain of its mutual fund clients. Neither the Trust nor FTAM was a party to the 159 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- Order, nor is the Trust or FTAM bound by the Order or its findings. It is unclear the extent to which the Trust, FTAM and certain of its former service providers are or may be affected by the SEC's investigation of Citi or by the Order. In response to the SEC's inquiries related to this matter, including those of the Trust's former service arrangements with Citi, FTAM made a one time contribution of money to certain Funds of the Trust during the year ended July 31, 2007. The affected Funds and the amounts paid to such Funds were determined based on various factors such as certain Fund expenses during 1999 through 2001 as well as the applicable Funds' net assets during this time period. The amount credited to each class of the applicable Funds was determined according to the relative net assets of such classes on the date the amounts were recognized. The amounts were allocated among the components of net assets for the fiscal year ended July 31, 2007 for each applicable Fund based upon its character for federal income tax purposes. The total returns for the year ended July 31, 2007 for each class of the applicable Funds would have been lower had the payments not been made; see Notes to Financial Highlights. In July 2010, certain funds received a one-time payment from the BISYS Fair Fund (a fund established pursuant to a settlement between the SEC and BISYS Fund Services, Inc. that requires, among other things, a distribution of settlement monies from the fair fund to benefit affected mutual funds). Receipt of these payments is shown as a reduction of total expenses on the Statement of Operations. The impact of these payments is not reflected in the net expense ratios in the Financial Highlights. The impact to the net expense ratios and total return was not significant. During the year ended July 31, 2009, the Advisor paid the following money to certain funds related to share price reprocessing stemming from the Lehman Brothers, Inc. bankruptcy. For each of the Funds, the payments did not have a significant impact on their respective total returns.
PAYMENT BY FUND ADVISOR ---- ---------- Structured Large Cap Plus $64,452 LifeModel Aggressive(SM) 31,587 LifeModel Moderately Aggressive(SM) 44,610 LifeModel Moderate(SM) 32,554 LifeModel Moderately Conservative(SM) 11,077 LifeModel Conservative(SM) 3,965
(6) INVESTMENT TRANSACTIONS Cost of purchases and proceeds from sales of investments (excluding short-term securities) for the period ended as of this report date were as follows:
NON U.S. GOVERNMENTAL SECURITIES U.S. GOVERNMENT SECURITIES -------------------------------- -------------------------- FUND PURCHASES SALES PURCHASES SALES ---- ------------ ------------ ------------ ------------ Small Cap Growth $ 39,258,957 $ 52,061,893 $ -- $ -- Mid Cap Growth 79,682,181 109,814,531 -- -- Quality Growth 171,514,672 206,438,256 14,277 44,929 Dividend Growth 4,878,784 7,257,425 -- -- Micro Cap Value 17,873,142 17,119,219 -- -- Small Cap Value 40,366,300 57,464,823 -- -- All Cap Value 50,416,533 76,300,582 -- -- Disciplined Large Cap Value 181,473,605 184,263,417 -- -- Structured Large Cap Plus 100,350,031 106,229,233 -- -- Equity Index 15,159,941 41,750,297 -- -- International Equity 331,450,902 340,621,770 -- -- Strategic Income 41,615,217 24,562,753 1,927,494 2,588,499 LifeModel Aggressive(SM) 12,656,116 27,533,859 -- -- LifeModel Moderately Aggressive(SM) 32,167,896 66,435,008 -- -- LifeModel Moderate(SM) 25,774,853 119,781,937 -- -- LifeModel Moderately Conservative(SM) 8,651,934 17,420,496 -- -- LifeModel Conservative(SM) 6,053,821 13,242,833 -- -- High Yield Bond 36,139,746 37,196,726 -- -- Total Return Bond 44,733,427 136,774,055 85,409,654 129,541,578 Short Term Bond 74,759,287 67,129,787 177,675,095 132,669,842
(7) LINE OF CREDIT As of February 1, 2008, the Funds have an uncommitted, unsecured line of credit facility with State Street. Under the terms of the agreement, which is renewable annually, the Funds may borrow up to $100 million in the 160 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- aggregate. The purpose of the facility generally is to borrow funds if necessary to meet temporary or emergency cash needs, including to fund redemption requests that might otherwise require the untimely disposition of securities. Borrowings may not exceed 33 1/3% of a Fund's net assets (except that with respect to Structured Large Cap Plus, borrowings may not exceed 10% of the Fund's net assets) and must be repaid within 60 days. Drawn loans will be priced at a bid rate, though, in any event, not less than a fixed rate plus a spread determined by State Street. There were no borrowings against the line of credit during the fiscal year ended July 31, 2010. (8) FEDERAL TAX INFORMATION The tax character of distributions paid during the fiscal years ended July 31, 2010 and 2009 was as follows:
YEAR ENDED JULY 31, 2010 YEAR ENDED JULY 31, 2009 ----------------------------------------- ----------------------------------------- DISTRIBUTIONS PAID FROM DISTRIBUTIONS PAID FROM ----------------------------------------- ----------------------------------------- NET TOTAL NET TOTAL ORDINARY LONG TERM DISTRIBUTIONS ORDINARY LONG TERM DISTRIBUTIONS FUND INCOME CAPITAL GAINS PAID INCOME CAPITAL GAINS PAID ---- ----------- ------------- ------------- ----------- ------------- ------------- Mid Cap Growth $ -- $ -- $ -- $ -- $18,599,504 $18,599,504 Quality Growth 773,931 -- 773,931 1,785,090 12,504,389 14,289,479 Dividend Growth 96,788 -- 96,788 241,615 -- 241,615 Micro Cap Value -- -- -- 177,688 12,489 190,177 Small Cap Value 443,398 -- 443,398 1,145,372 20,850 1,166,222 All Cap Value 1,307,949 -- 1,307,949 3,208,122 12,448,038 15,656,160 Disciplined Large Cap Value 5,007,453 -- 5,007,453 9,918,790 6,405,451 16,324,241 Structured Large Cap Plus 804,824 -- 804,824 2,273,281 -- 2,273,281 Equity Index 4,752,747 -- 4,752,747 6,779,041 -- 6,779,041 International Equity 7,752,561 -- 7,752,561 8,795,977 42,624,633 51,420,610 Strategic Income 6,524,267 -- 6,524,267 6,471,043 92,440 6,563,483 LifeModel Aggressive(SM) 1,480,168 1,637,324 3,117,492 3,012,756 14,443,499 17,456,255 LifeModel Moderately Aggressive(SM) 3,823,190 888,459 4,711,649 7,841,928 19,285,785 27,127,713 LifeModel Moderate(SM) 7,550,470 -- 7,550,470 15,066,250 18,699,879 33,766,129 LifeModel Moderately Conservative(SM) 1,738,025 -- 1,738,025 3,031,530 3,848,615 6,880,145 LifeModel Conservative(SM) 1,503,585 -- 1,503,585 2,178,274 817,947 2,996,221 High Yield Bond 4,051,402 -- 4,051,402 4,177,451 -- 4,177,451 Total Return Bond 16,842,203 -- 16,842,203 25,772,859 -- 25,772,859 Short Term Bond 6,266,629 -- 6,266,629 8,419,898 -- 8,419,898
As of July 31, 2010, the components of accumulated earnings/(deficit) on a tax basis were as follows:
UNDISTRIBUTED UNDISTRIBUTED ACCUMULATED UNREALIZED TOTAL ORDINARY LONG-TERM CAPITAL AND APPRECIATION/ ACCUMULATED FUND INCOME CAPITAL GAINS OTHER LOSSES (DEPRECIATION)* EARNINGS/(DEFICIT) ---- ------------- ------------- -------------- --------------- ------------------ Small Cap Growth $ -- $ -- $ (14,524,092) $ 7,191,374 $ (7,332,718) Mid Cap Growth -- -- (48,000,650) 7,494,366 (40,506,284) Quality Growth 326,831 -- (44,588,301) 36,064,626 (8,196,844) Dividend Growth 7,144 -- (6,897,848) 938,042 (5,952,662) Micro Cap Value -- -- (5,769,407) 1,921,259 (3,848,148) Small Cap Value -- -- (9,729,936) 3,638,834 (6,091,102) All Cap Value 46,819 -- (37,212,334) 392,539 (36,772,976) Disciplined Large Cap Value 469,905 -- (111,615,535) 27,355,705 (83,789,925) Structured Large Cap Plus 502,140 -- (62,018,850) 9,731,764 (51,784,946) Equity Index 493,565 9,309,390 (2,739) 124,106,809 133,907,025 International Equity 5,415,526 -- (158,682,602) 16,580,139 (136,686,937) Strategic Income (79,508) -- (20,218,543) 645,801 (19,652,250) LifeModel Aggressive(SM) -- -- (7,362,982) (26,063,222) (33,426,204) LifeModel Moderately Aggressive(SM) 95,668 -- (14,873,487) (26,297,299) (41,075,118) LifeModel Moderate(SM) 362,141 -- (29,067,694) (31,847,207) (60,552,760) LifeModel Moderately Conservative(SM) 92,062 -- (3,443,551) (5,786,287) (9,137,776) LifeModel Conservative(SM) 95,391 -- (2,026,849) (3,837,365) (5,768,823) High Yield Bond 117,615 -- (4,070,893) 1,408,625 (2,544,653) Total Return Bond 139,873 -- (104,003,982) (10,237,400) (114,101,509) Short Term Bond 184,614 -- (19,244,408) 1,190,687 (17,869,107)
* The difference between the book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to: tax deferral of losses on wash sales, the difference between book and tax amortization methods for premium and market discounts, passive foreign investment company losses and return of capital distributions. 161 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- As of July 31, 2010 for Federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations:
EXPIRATION YEAR ------------------------------------------------------------------------------------------------- FUND 2011 2012 2013 2014 2015 2016 2017 2018 TOTAL ---- ---------- ---------- ---------- ----------- ---------- ---------- ----------- ----------- ------------ Small Cap Growth $ -- $ -- $ -- $ -- $ -- $ -- $ 4,362,500 $10,110,236 $ 14,472,736 Mid Cap Growth -- -- -- -- -- -- 26,881,243 20,830,375 47,711,618 Quality Growth -- -- -- -- -- -- 2,550,731 42,037,571 44,588,302 Dividend Growth 3,023,983 39,378 -- -- -- -- 1,348,987 2,485,499 6,897,847 Micro Cap Value -- -- -- -- -- -- 2,441,069 3,223,394 5,664,463 Small Cap Value -- -- -- -- -- -- 2,188,201 7,541,733 9,729,934 All Cap Value -- -- -- -- -- -- 11,136,332 26,076,002 37,212,334 Disciplined Large Cap Value -- -- -- -- -- -- 18,715,803 91,966,085 110,681,888 Structured Large Cap Plus -- 793,432 -- -- -- 1,246,518 15,906,985 43,169,507 61,116,442 International Equity 5,161,371 -- -- -- -- -- 67,425,163 70,912,135 143,498,669 Strategic Income -- -- -- -- -- -- 1,379,950 8,478,872 9,858,822 LifeModel Aggressive(SM) -- -- -- -- -- -- -- 586,237 586,237 LifeModel Moderately Aggressive(SM) -- -- -- -- -- -- -- 2,785,698 2,785,698 LifeModel Moderate(SM) -- -- -- -- -- -- 855,404 21,071,864 21,927,268 LifeModel Moderately Conservative(SM) -- -- -- -- -- -- 764,706 563,235 1,327,941 LifeModel Conservative(SM) -- -- -- -- -- -- 180,556 395,728 576,284 High Yield Bond -- -- -- -- 382,634 -- 1,319,442 2,368,816 4,070,892 Total Return Bond 2,967,989 3,490,975 6,705,683 12,507,496 4,893,287 1,172,463 28,880,095 36,422,219 97,040,207 Short Term Bond -- -- 4,755,928 9,778,491 4,709,395 -- -- -- 19,243,814
Net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds' next taxable year. For the year ended July 31, 2010, the following Funds deferred to August 1, 2010 post October capital losses, post October currency losses and post October passive foreign investment company losses of:
CAPITAL LOSSES -------------- Small Cap Growth Fund $ 48,653 Mid Cap Growth 289,033 Micro Cap Value Fund 104,944 Disciplined Large Cap Value 933,643 Structured Large Cap Plus 285,691 International Equity 15,182,007 Strategic Income Fund 10,357,443 LifeModel Aggressive(SM) 6,776,747 LifeModel Moderately Aggressive(SM) 12,087,789 LifeModel Moderate(SM) 7,140,425 LifeModel Moderately Conservative(SM) 2,115,612 LifeModel Conservative(SM) 1,450,565 Total Return Bond 6,961,921
During the year ended July 31, 2010, the funds used/expired capital loss carryforwards in the following amounts:
AMOUNT USED AMOUNT EXPIRED ----------- -------------- Mid Cap Growth $ -- $ 592,404 Quality Growth -- 3,066,910 Dividend Growth -- 10,084,841 Equity Index 3,210,240 -- International Equity -- 1,405,848 Short Term Bond 201,001 --
As of July 31, 2010, the following funds have a current year Investment Company taxable loss:
TAXABLE LOSS ------------ Small Cap Growth $244,824 Mid Cap Growth 273,412 Micro Cap Value 168,851
162 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- (9) RESTRICTED SECURITIES The Funds may own investments that were purchased through private placement transactions or under Rule 144A of the Securities Act of 1933 (the "Securities Act") and which cannot be sold without prior registration under the Securities Act or which may be limited due to certain sale restrictions. These securities are generally deemed to be illiquid and are valued at fair value as determined by FTAM's Pricing Committee, comprised of personnel of the Advisor, subject to oversight by the Trustees, and in accordance with the Trust's Security Valuation Procedures, which have been approved by the Trustees of the Trust. If and when such securities are registered, the costs of registering such securities are paid by the issuer. At July 31, 2010, Quality Growth, Strategic Income, Total Return Bond and Short Term Bond held the following restricted securities:
Value as Acquisition Acquisition % of Security Type Date Cost Fair Value Net Assets ------------- ----------- ----------- ---------- ---------- QUALITY GROWTH Aerco, Ltd., Series 2A, Class 3A Asset-Backed Securities 2/28/07 $ 76,618 $ 38,693 0.01% ========== ========== ==== STRATEGIC INCOME Aerco, Ltd., Series 2A, Class 3A Asset-Backed Securities 2/28/07 $ 922,178 $ 425,622 0.37% ========== ========== ==== TOTAL RETURN BOND Aerco, Ltd., Series 2A, Class 3A Asset-Backed Securities 2/28/07 $1,850,253 $ 878,329 0.30% Westpac Capital Trust IV Corporate Bonds 2/8/07 1,386,386 1,338,345 0.46% Restructured Assets Certificates, Series 2006-9, Class P Mortgage-Backed Securities 8/10/06 5,234,953 3,445,575 1.18% ---------- ---------- ---- $8,471,592 $5,662,249 1.94% ========== ========== ==== SHORT TERM BOND SVO VOI Mortgage Corp., Series 2005-AA, Class A Asset-Backed Securities 11/16/05 $1,289,252 $ 566,610 0.20% ========== ========== ====
(10) PRINCIPAL RISKS CONCENTRATION RISK -- International Equity invests in equity and fixed income securities of non-U.S. issuers. Although the Fund maintains a diversified investment portfolio, political or economic developments within a particular country or region may have an adverse effect on the ability of domiciled issuers to meet their obligations. Additionally, political or economic developments may have an adverse effect on the liquidity and volatility of portfolio securities and currency holdings. MARKET AND CREDIT RISK -- In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an institution or other entity with which the Funds have unsettled or open transactions will default. The potential loss could exceed the value of the financial assets recorded in the financial statements. Financial assets, which potentially expose the Funds to credit risk, consist principally of cash due from counterparties and investments. The extent of the Funds' exposure to credit and counterparty risks in respect to these financial assets approximates their carrying value as recorded in the Funds' Statements of Assets and Liabilities. INTEREST RATE RISK -- Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. A rise in interest rates typically causes a fall in values. Interest rate risk should be modest for shorter-term securities, moderate for intermediate-term securities and high for longer-term securities. Generally, an increase in the average maturity of a Fund will make it more sensitive to interest rate risk. FOREIGN CURRENCY AND MARKET RISK -- If a Fund invests directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in derivatives that provide exposure to foreign currencies, it will be subject to the risk that those currencies will decline in value relative to the U.S. dollar. This also includes 163 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- the risk associated with higher transaction costs, delayed settlements, currency controls and adverse economic developments related to foreign investments. (11) GUARANTEES AND INDEMNIFICATIONS Under the Trust's organizational documents, its Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds may enter into contracts with their vendors and others that provide for the general indemnification of Trustees and Officers. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds. However, based on experience, the Funds expect that risk of loss to be remote. (12) SECURITIES VALUATIONS The Funds use various methods to measure the fair value of most of their investments on a recurring basis. U.S. GAAP established a hierarchy that prioritizes inputs to valuation methods. The three levels of input are: o Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. o Level 2 - Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. The inputs may include quoted prices for the identical investment on an inactive market, prices for similar investments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. o Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds' own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether a security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety, The Funds' policy is to recognize transfers between levels at the end of the reporting period. There were no transfers between level 1 and level 2 during the period. (13) FAIR VALUE MEASUREMENTS A description of the valuation techniques applied to the Funds' major categories of assets and liabilities measured at fair value on a recurring basis follows. EQUITY SECURITIES (COMMON AND PREFERRED STOCK) -- Portfolio securities listed or traded on domestic securities exchanges or in the over-the-counter market are valued at the latest available sales price on the exchange or system where the security is principally traded (except for securities traded on NASDAQ, which are valued at the NASDAQ Official Closing Price) or, absent such a price, by reference to the latest available bid and asked prices in the principal market in which such securities are normally traded. Securities for which the principal market is not a securities exchange or an over-the-counter market are valued at the mean of their latest bid and asked quotations in such principal market. Securities in International Equity listed or traded on non-domestic 164 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- exchanges are valued at the closing mid-market price on the exchanges on which they trade. To the extent that these securities are actively traded and valuations adjustments are not applied, they are categorized in level 1 of the fair value hierarchy. Investments for which such quotations are not readily available, or quotations which appear suspect, are valued at fair value as determined in good faith by the Pricing Committee in accordance with procedures adopted by the Trustees. These securities are categorized in level 3. In addition, if events materially affecting the value of foreign securities occur between the time when the exchange on which such securities are traded closes and the time when the Funds' net asset values are calculated, such securities may be valued using fair value pricing in accordance with procedures adopted by the Trustees. Management identifies possible fluctuations in foreign securities by monitoring the rise or fall in the value of a designated benchmark index. In the event of a rise or fall greater than predetermined levels, International Equity will use a systematic valuation model provided by an independent third party to value its foreign securities. When International Equity uses this fair value pricing method, the value assigned to International Equity's foreign securities may not be the quoted or published prices of the investments on their primary markets or exchanges and the securities are categorized in level 2. CORPORATE DEBT SECURITIES -- Investments are priced using the closing bid as supplied by an independent pricing service based on observable inputs. Observable inputs may include quoted prices for the identical instrument on an active market, valuation provided by dealers, prices for similar instruments, interest rates, credit risk, yield curves, default rates and similar data, etc. Although most corporate bonds are categorized in level 2 of the fair value hierarchy, in instances where observable inputs are not available, they are categorized as level 3. SHORT-TERM NOTES -- Investments maturing in 60 days or less are valued at amortized cost, which approximates market value. To the extent the inputs are observable and timely, the values would be categorized in level 2 of the fair value hierarchy. ASSET-BACKED SECURITIES -- Investments are priced using the closing bid as supplied by an independent pricing service based on observable inputs. Observable inputs may include quoted prices for the identical instrument on an active market, valuation provided by dealers, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data, etc. Although most asset-backed securities are categorized in level 2 of the fair value hierarchy, in instances where observable inputs are not available, they are categorized as level 3. OPEN-END INVESTMENT COMPANIES -- Investments are valued at net asset value as reported by such investment companies and are categorized as level 1. U.S. GOVERNMENT ISSUERS -- Investments are priced using the closing bid as supplied by an independent pricing service based on observable inputs. Observable inputs may include quoted prices for the identical instrument on an active market, prices for similar instruments, interest rates, and similar data, etc. Although most U.S. Government bonds are categorized in level 2 of the fair value hierarchy, in instances where observable inputs are not available, they are categorized as level 3. DERIVATIVE INSTRUMENTS -- Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized in level 1 of the fair value hierarchy. Over the counter (OTC) derivative contracts include swap contracts related to the credit standing of reference entities. Depending on the product and the terms of the transaction, the fair value of the OTC derivative products can be modeled taking in to account the counterparties' creditworthiness and using a series of techniques, including simulation models. The OTC derivative products valued by the Funds using pricing models are categorized within level 2 of the fair value hierarchy. The market value of securities fair valued in accordance with procedures adopted by the Trustees as a percentage of total net assets as of this report date was 1.18% for Total Return Bond. 165 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- The following is a summary of the fair value hierarchy according to the inputs used as of July 31, 2010 in valuing the Funds' assets and liabilities:
QUOTED PRICES SIGNIFICANT OTHER SIGNIFICANT IN ACTIVE MARKETS OBSERVABLE UNOBSERVABLE FOR IDENTICAL INVESTMENTS INPUTS INPUTS VALUE AT (LEVEL 1) (LEVEL 2) (LEVEL 3) 7/31/10 ------------------------- ----------------- ------------ ------------ Small Cap Growth ------------------------------------- Assets Common Stocks* $42,362,699 $ -- $ -- $ 42,362,699 Investment Company 12,511,020 -- -- 12,511,020 Investments in Affiliates 1,455,171 -- -- 1,455,171 ------------------------------------- --------------------------------------------------------------------------- Total $56,328,890 $ -- $ -- $ 56,328,890 =========================================================================== Mid Cap Growth ------------------------------------- Assets Common Stocks* $81,187,810 $ -- $ -- $ 81,187,810 Investment Companies 15,393,827 -- -- 15,393,827 Investments in Affiliates 124 -- -- 124 ------------------------------------- --------------------------------------------------------------------------- Total $96,581,761 $ -- $ -- $ 96,581,761 =========================================================================== Quality Growth ------------------------------------- Assets Common Stocks* $284,337,557 $ -- $ -- $284,337,557 Investment Companies 20,050,161 -- -- 20,050,161 Asset-Backed Securities Manufactured Housing ABS Other -- 84,776 -- 84,776 Other ABS -- -- 38,693 38,693 Corporate Bonds -- 195,466 -- 195,466 Mortgage-Backed Securities -- 740,291 -- 740,291 U.S. Government Agencies -- 839,603 -- 839,603 Investments in Affiliates 4,189,191 -- -- 4,189,191 ------------------------------------- --------------------------------------------------------------------------- Total $308,576,909 $1,860,136 $ 38,693 $310,475,738 =========================================================================== Dividend Growth ------------------------------------- Assets Common Stocks* $ 7,228,485 $ -- $ -- $ 7,228,485 Investment Companies 2,045,694 -- -- 2,045,694 Investments in Affiliates 36,255 -- -- 36,255 ------------------------------------- --------------------------------------------------------------------------- Total $ 9,310,434 $ -- $ -- $ 9,310,434 =========================================================================== Micro Cap Value ------------------------------------- Assets Common Stocks* $ 32,926,405 $ -- $ -- $ 32,926,405 Investments in Affiliates 3,635,520 -- -- 3,635,520 ------------------------------------- --------------------------------------------------------------------------- Total $ 36,561,925 $ -- $ -- $ 36,561,925 =========================================================================== Small Cap Value ------------------------------------- Assets Common Stocks* $ 60,624,367 $ -- $ -- $ 60,624,367 Investments in Affiliates 2,550,317 -- -- 2,550,317 ------------------------------------- --------------------------------------------------------------------------- Total $ 63,174,684 $ -- $ -- $ 63,174,684 =========================================================================== All Cap Value ------------------------------------- Assets Common Stocks* $126,194,067 $ -- $ -- $126,194,067 Investment Companies 12,709,262 -- -- 12,709,262 Investments in Affiliates 4,657,177 -- -- 4,657,177 ------------------------------------- --------------------------------------------------------------------------- Total $143,560,506 $ -- $ -- $143,560,506 ===========================================================================
166 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
QUOTED PRICES SIGNIFICANT OTHER SIGNIFICANT IN ACTIVE MARKETS OBSERVABLE UNOBSERVABLE FOR IDENTICAL INVESTMENTS INPUTS INPUTS VALUE AT (LEVEL 1) (LEVEL 2) (LEVEL 3) 7/31/10 ------------------------- ----------------- ------------ ------------ Disciplined Large Cap Value ------------------------------------- Assets Common Stocks* $340,949,520 $ -- $ -- $340,949,520 Investment Companies 11,535,237 -- -- 11,535,237 Investments in Affiliates 3,415,803 -- -- 3,415,803 ------------------------------------- --------------------------------------------------------------------------- Total $355,900,560 $ -- $ -- $355,900,560 =========================================================================== Structured Large Cap Plus ------------------------------------- Assets Common Stocks* $103,071,425 $ -- $ -- $103,071,425 Investments in Affiliates 2,113,332 -- -- 2,113,332 Other Financial Instruments** 30,003 -- -- 30,003 ------------------------------------- --------------------------------------------------------------------------- Total $105,214,760 $ -- $ -- $105,214,760 =========================================================================== Liabilities Securities Sold Short $(23,296,036) $ -- $ -- $(23,296,036) ------------------------------------- --------------------------------------------------------------------------- Total $(23,296,036) $ -- $ -- $(23,296,036) =========================================================================== Equity Index ------------------------------------- Assets Common Stocks* $263,202,057 $ -- $ -- $263,202,057 Investment Companies 10,846,128 -- -- 10,846,128 Investments in Affiliates 9,580,482 -- -- 9,580,482 Other Financial Instruments** 136,561 -- -- 136,561 ------------------------------------- --------------------------------------------------------------------------- Total $283,765,228 $ -- $ -- $283,765,228 =========================================================================== International Equity ------------------------------------- Assets Foreign Stocks* $234,615,437 $ -- $ -- $234,615,437 Investment Companies 19,629,096 -- -- 19,629,096 Rights 4,111 -- -- 4,111 Investments in Affiliates 2,237,129 -- -- 2,237,129 Other Financial Instruments** 252,793 -- -- 252,793 ------------------------------------- --------------------------------------------------------------------------- Total $256,738,566 $ -- $ -- $256,738,566 =========================================================================== Strategic Income ------------------------------------- Assets Asset-Backed Securities Other ABS $ -- $ 1,400,819 $ 425,622 $ 1,826,441 Other -- 2,544,215 -- 2,544,215 Corporate Bonds Airlines -- -- 1,067,216 1,067,216 Other -- 26,630,575 -- 26,630,575 Foreign Bonds* -- 6,351,808 -- 6,351,808 Mortgage-Backed Securities -- 5,060,459 -- 5,060,459 U.S. Government Agencies -- 2,613,858 -- 2,613,858 U.S. Treasury Obligations -- 2,075,785 -- 2,075,785 Common Stocks* 7,806,302 -- -- 7,806,302 Investment Companies 17,329,506 -- -- 17,329,506 Convertible Preferred Stock 1,152,300 -- -- 1,152,300 Preferred Stock 45,058,661 -- -- 45,058,661 Investments in Affiliates 5,679,507 -- -- 5,679,507 ------------------------------------- ----------------------------------------------------------------------------- Total $ 77,026,276 $ 46,677,519 $1,492,838 $125,196,633 ============================================================================= Liabilities Other Financial Instruments** (110,788) (4,557) -- (115,345) ------------------------------------- ----------------------------------------------------------------------------- Total $ (110,788) $ (4,557) $ -- $ (115,345) =============================================================================
167 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
QUOTED PRICES SIGNIFICANT OTHER SIGNIFICANT IN ACTIVE MARKETS OBSERVABLE UNOBSERVABLE FOR IDENTICAL INVESTMENTS INPUTS INPUTS VALUE AT (LEVEL 1) (LEVEL 2) (LEVEL 3) 7/31/10 ------------------------- ----------------- ------------ ------------ LifeModel Aggressive ------------------------------------- Assets Investments in Affiliates $109,410,204 $ -- $ -- $109,410,204 ------------------------------------- --------------------------------------------------------------------------- Total $109,410,204 $ -- $ -- $109,410,204 =========================================================================== LifeModel Moderately Aggressive ------------------------------------- Assets Investments in Affiliates $186,289,572 $ -- $ -- $186,289,572 ------------------------------------- --------------------------------------------------------------------------- Total $186,289,572 $ -- $ -- $186,289,572 =========================================================================== LifeModel Moderate ------------------------------------- Assets Investments in Affiliates $255,857,930 $ -- $ -- $255,857,930 ------------------------------------- --------------------------------------------------------------------------- Total $255,857,930 $ -- $ -- $255,857,930 =========================================================================== LifeModel Moderately Conservative ------------------------------------- Assets Investments in Affiliates $ 56,701,210 $ -- $ -- $ 56,701,210 ------------------------------------- --------------------------------------------------------------------------- Total $ 56,701,210 $ -- $ -- $ 56,701,210 =========================================================================== LifeModel Conservative ------------------------------------- Assets Investments in Affiliates $38,953,549 $ -- $ -- $ 38,953,549 ------------------------------------- --------------------------------------------------------------------------- Total $38,953,549 $ -- $ -- $ 38,953,549 =========================================================================== High Yield Bond ------------------------------------- Assets Corporate Bonds $ -- $ 49,293,140 $ -- $ 49,293,140 Foreign Bonds* -- 5,228,459 -- 5,228,459 Investment Companies 6,983,855 -- -- 6,983,855 Preferred Stock 164,244 -- -- 164,244 Investment in Affiliates 1,321,826 -- -- 1,321,826 ------------------------------------- --------------------------------------------------------------------------- Total $ 8,469,925 $ 54,521,599 $ -- $ 62,991,524 =========================================================================== Total Return Bond ------------------------------------- Assets Asset-Backed Securities Other ABS $ -- $ 5,621,099 $ 878,329 $ 6,499,428 Other -- 11,513,050 -- 11,513,050 Corporate Bonds Airlines -- -- 1,504,775 1,504,775 Other -- 58,811,369 -- 58,811,369 Foreign Bonds* -- 13,244,849 -- 13,244,849 Mortgage-Backed Securities Agency Collateral Other -- -- 3,445,575 3,445,575 Other -- 48,662,298 -- 48,662,298 U.S. Government Agency -- 119,599,200 -- 119,599,200 U.S. Treasury Obligations -- 14,609,827 -- 14,609,827 Investment Companies 13,892,270 -- -- 13,892,270 Preferred Stocks 3,529,016 -- -- 3,529,016 Investment in Affiliates 8,631,926 -- -- 8,631,926 Other Financial Instruments** 332,531 -- -- 332,531 ------------------------------------- --------------------------------------------------------------------------- Total $26,385,743 $272,061,692 $5,828,679 $304,276,114 =========================================================================== Liabilities Other Financial Instruments** -- (11,393) -- (11,393) ------------------------------------- --------------------------------------------------------------------------- Total $ -- $ (11,393) $ -- $ (11,393) ===========================================================================
168 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
QUOTED PRICES SIGNIFICANT OTHER SIGNIFICANT IN ACTIVE MARKETS OBSERVABLE UNOBSERVABLE FOR IDENTICAL INVESTMENTS INPUTS INPUTS VALUE AT (LEVEL 1) (LEVEL 2) (LEVEL 3) 7/31/10 ------------------------- ----------------- ------------ ------------ Short Term Bond ------------------------------------- Assets Asset-Backed Securities $ -- $ 19,226,926 $ -- $ 19,226,926 Corporate Bonds -- 62,163,059 -- 62,163,059 Foreign Bonds* -- 17,191,663 -- 17,191,663 Mortgage-Backed Securities -- 37,571,639 -- 37,571,639 Municipal Bonds -- 115,796 -- 115,796 U.S. Government Agencies -- 126,013,870 -- 126,013,870 U.S. Treasury Obligations -- 18,317,562 -- 18,317,562 Investment Companies 47,968,620 -- -- 47,968,620 Investment in Affiliates 4,035,053 -- -- 4,035,053 Other Financial Instruments** 16,837 -- -- 16,837 ------------------------------------- --------------------------------------------------------------------------- Total $52,020,510 $280,600,515 $ -- $332,621,025 ===========================================================================
* Refer to Schedules of Investments for further information by industry/type and country. ** Financial derivative instruments may include open futures contracts, swap contracts and foreign currency contracts. The following is a reconciliation of the fair valuation using significant unobservable inputs (level 3) for the Funds' during the year ended July 31, 2010:
NET CHANGE IN UNREALIZED TOTAL APPRECIATION TOTAL CHANGE IN (DEPRECIATION) BEGINNING NET ACCRUED REALIZED UNREALIZED TRANSFERS TRANSFERS ENDING ON INVESTMENTS BALANCE PURCHASES DISCOUNTS GAINS APPRECIATION IN TO OUT OF BALANCE HELD AT QUALITY GROWTH 7/31/2009 (SALES) (PREMIUMS) (LOSSES) (DEPRECIATION) LEVEL 3 LEVEL 3 7/31/2010 7/31/2010 ----------------------------------------------------------------------------------------------------------------------------------- Asset Backed Securities Other ABS $29,963 $(14,449) $(2,245) $434 $24,990 $-- $-- $38,693 $17,128 ----------------------------------------------------------------------------------------------------------------------------------- Total $29,963 $(14,449) $(2,245) $434 $24,990 $-- $-- $38,693 $17,128
NET CHANGE IN UNREALIZED TOTAL APPRECIATION TOTAL CHANGE IN (DEPRECIATION) BEGINNING NET ACCRUED REALIZED UNREALIZED TRANSFERS TRANSFERS ENDING ON INVESTMENTS STRATEGIC BALANCE PURCHASES DISCOUNTS GAINS APPRECIATION IN TO OUT OF BALANCE HELD AT INCOME 7/31/2009 (SALES) (PREMIUMS) (LOSSES) (DEPRECIATION) LEVEL 3 LEVEL 3 7/31/2010 7/31/2010 ----------------------------------------------------------------------------------------------------------------------------------- Asset Backed Securities Other ABS $329,590 $ (158,940) $(61,413) $3,549 $312,836 $-- $-- $ 425,622 $225,720 Corporate Bonds Airlines -- 1,026,653 (430) (704) 41,697 -- -- 1,067,216 41,697 ----------------------------------------------------------------------------------------------------------------------------------- Total $329,590 $ 867,713 $(61,843) $2,845 $354,533 $-- $-- $1,492,838 $267,417
NET CHANGE IN UNREALIZED TOTAL APPRECIATION TOTAL CHANGE IN (DEPRECIATION) BEGINNING NET ACCRUED REALIZED UNREALIZED TRANSFERS TRANSFERS ENDING ON INVESTMENTS TOTAL RETURN BALANCE PURCHASES DISCOUNTS GAINS APPRECIATION IN TO OUT OF BALANCE HELD AT BOND 7/31/2009 (SALES) (PREMIUMS) (LOSSES) (DEPRECIATION) LEVEL 3 LEVEL 3 7/31/2010 7/31/2010 ----------------------------------------------------------------------------------------------------------------------------------- Asset Backed Securities Other ABS $ 680,153 $ (327,994) $(57,570) $8,916 $574,824 $-- $-- 878,329 $395,978 Corporate Bonds Airlines -- 1,447,265 (605) (987) 59,102 -- -- 1,504,775 59,102 Mortgage Backed Securities Agency Collateral Other 2,160,375 -- 2 -- 1,285,198 -- -- 3,445,575 1,285,198 CMBS Other 3,960,000 (4,000,000) -- -- 40,000 -- -- -- -- CMBS Subordinated 4,316,500 (4,450,000) 9 38 133,453 -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------------- Total $11,117,028 $(7,330,729) $(58,164) $7,967 $2,092,577 $-- $-- $5,828,679 $1,740,278
169 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- (14) FAIR VALUE OF DERIVATIVE INSTRUMENTS The following is a summary of the fair valuations of the Funds' derivative instruments categorized by risk exposure: STRUCTURED LARGE CAP PLUS FUND Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of July 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133 ------------------------------------------------------------------------------------ INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL ------------- ---------------- --------- --------- --------- ------- Assets Derivatives ------------------------------------------------------------------------------------ Receivable for variation margin on futures contracts** $-- $-- $-- $30,003 $-- $30,003 ------------------------------------------------------------------------------------ Liabilities Derivatives ------------------------------------------------------------------------------------ Payable for variation margin on futures contracts** $-- $-- $-- $ -- $-- $ -- ====================================================================================
The Effect of Derivative Instruments on the Statement of Operations for the Year Ended July 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133 ------------------------------------------------------------------------------------ INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL ------------- ---------------- --------- --------- --------- --------- Realized Gain/(Loss) on Derivatives Recognized as a Result from Operations ------------------------------------------------------------------------------------ Net realized gains on futures transactions $-- $-- $-- $ 648,758 $-- $ 648,758 ------------------------------------------------------------------------------------ Net Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized as a Result from Operations ------------------------------------------------------------------------------------ Change in unrealized appreciation/(depreciation) on investments and futures $-- $-- $-- $(197,618) $-- $(197,618) ====================================================================================
EQUITY INDEX FUND Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of July 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133 ------------------------------------------------------------------------------------ INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL ------------- ---------------- --------- --------- --------- --------- Assets Derivatives ------------------------------------------------------------------------------------ Receivable for variation margin on futures contracts** $-- $-- $-- $136,561 $-- $136,561 ------------------------------------------------------------------------------------ Liabilities Derivatives ------------------------------------------------------------------------------------ Payable for variation margin on futures contracts** $-- $-- $-- $ -- $-- $ -- ====================================================================================
170 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- EQUITY INDEX FUND, CONTINUED The Effect of Derivative Instruments on the Statement of Operations for the Year Ended July 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133 ------------------------------------------------------------------------------------ INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL ------------- ---------------- --------- --------- --------- --------- Realized Gain/(Loss) on Derivatives Recognized as a Result from Operations ------------------------------------------------------------------------------------ Net realized gains on futures transactions $-- $-- $-- $1,581,425 $-- $1,581,425 ------------------------------------------------------------------------------------ Net Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized as a Result from Operations ------------------------------------------------------------------------------------ Change in unrealized appreciation/(depreciation) on investments and futures $-- $-- $-- $ (291,733) $-- $ (291,733) ====================================================================================
INTERNATIONAL EQUITY FUND Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of July 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133 ------------------------------------------------------------------------------------ INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL ------------- ---------------- --------- --------- --------- --------- Assets Derivatives ------------------------------------------------------------------------------------ Receivable for variation margin on futures contracts** $-- $195,879 $-- $60,928 $-- $256,807 ------------------------------------------------------------------------------------ Liabilities Derivatives ------------------------------------------------------------------------------------ Payable for variation margin on futures contracts** $-- $ -- $-- $(4,014) $-- $ (4,014) ====================================================================================
The Effect of Derivative Instruments on the Statement of Operations for the Year Ended July 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133 ------------------------------------------------------------------------------------ INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL ------------- ---------------- --------- --------- --------- --------- Realized Gain/(Loss) on Derivatives Recognized as a Result from Operations ------------------------------------------------------------------------------------ Net realized gains on futures transactions $-- $(125,229) $-- $ 785,526 $-- $ 660,297 ------------------------------------------------------------------------------------ Net Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized as a Result from Operations ------------------------------------------------------------------------------------ Change in unrealized appreciation/(depreciation) on investments, futures, swaps and foreign currency translations $-- $ 97,202 $-- $(251,884) $-- $(154,682) ====================================================================================
171 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- STRATEGIC INCOME FUND Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of July 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133 ------------------------------------------------------------------------------------ INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL ------------- ---------------- --------- --------- --------- --------- Assets Derivatives ------------------------------------------------------------------------------------ Unrealized appreciation on credit default swap agreements $-- $ -- $16,934 $-- $-- $ 16,934 ------------------------------------------------------------------------------------ Liabilities Derivatives ------------------------------------------------------------------------------------ Payable for forward foreign currency contracts $-- $(110,788) $ -- $-- $-- $(110,788) ====================================================================================
The Effect of Derivative Instruments on the Statement of Operations for the Year Ended July 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133 ------------------------------------------------------------------------------------ INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL ------------- ---------------- --------- --------- --------- --------- Realized Gain/(Loss) on Derivatives Recognized as a Result from Operations ------------------------------------------------------------------------------------ Net realized gains on futures transactions $(95,462) $ 505,317 $ -- $(28,196) $-- $ 381,659 Net realized gains/(losses) on investment and foreign currency transactions -- 18,771 -- -- -- 18,771 ------------------------------------------------------------------------------------ $(95,462) $ 524,088 $ -- $(28,196) $-- $ 400,430 ==================================================================================== Net Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized as a Result from Operations ------------------------------------------------------------------------------------ Change in unrealized appreciation/(depreciation) on investments, futures, swaps and foreign currency translations $ 25,989 $(346,639) $16,933 $ -- $-- $(303,717) ====================================================================================
TOTAL RETURN BOND FUND Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of July 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133 ------------------------------------------------------------------------------------ INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL ------------- ---------------- --------- --------- --------- --------- Assets Derivatives ------------------------------------------------------------------------------------ Receivable for variation margin on futures contracts** $332,531 $-- $ -- $-- $-- $332,531 Unrealized appreciation on credit default swap agreements -- -- 28,632 -- -- 28,632 ------------------------------------------------------------------------------------ $332,531 $-- $28,632 $-- $-- $361,163 ==================================================================================== Liabilities Derivatives ------------------------------------------------------------------------------------ Payable for variation margin on futures contracts** $ -- $-- $ -- $-- $-- $ -- ====================================================================================
172 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- TOTAL RETURN BOND FUND, CONTINUED The Effect of Derivative Instruments on the Statement of Operations for the Year Ended July 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133 ------------------------------------------------------------------------------------- INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL ------------- ---------------- --------- --------- --------- ---------- Realized Gain/(Loss) on Derivatives Recognized as a Result from Operations ------------------------------------------------------------------------------------- Net realized gains on futures transactions $1,511,743 $-- $ -- $-- $-- $1,511,743 Net Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized as a Result from Operations ------------------------------------------------------------------------------------- Change in unrealized appreciation/(depreciation) on investments, futures, swaps and foreign currency translations $ (33,341) $-- $28,632 $-- $-- $ (4,709) =====================================================================================
SHORT TERM BOND FUND Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of July 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133 ------------------------------------------------------------------------------------ INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL ------------- ---------------- --------- --------- --------- --------- Assets Derivatives ------------------------------------------------------------------------------------ Receivable for variation margin on futures contracts** $16,837 $-- $-- $-- $-- $16,837 ------------------------------------------------------------------------------------ Liabilities Derivatives ------------------------------------------------------------------------------------ Payable for variation margin on futures contracts** $ -- $-- $-- $-- $-- $ -- ====================================================================================
The Effect of Derivative Instruments on the Statement of Operations for the Year Ended July 31, 2010:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER STATEMENT 133 ------------------------------------------------------------------------------------ INTEREST RATE FOREIGN EXCHANGE CREDIT EQUITY OTHER CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS TOTAL ------------- ---------------- --------- --------- --------- --------- Realized Gain/(Loss) on Derivatives Recognized as a Result from Operations ------------------------------------------------------------------------------------ Net realized gains on futures transactions $101,297 $-- $-- $-- $-- $101,297 ------------------------------------------------------------------------------------ Net Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized as a Result from Operations ------------------------------------------------------------------------------------ Change in unrealized appreciation/(depreciation) on investments, futures, swaps and foreign currency translations $ 25,231 $-- $-- $-- $-- $ 25,231 ====================================================================================
* See Note 2 - Significant Accounting Policies for additional information. ** The Fair Values of Derivative Instruments may include cumulative appreciation/(depreciation) of futures contracts as reported in the Notes to Schedules of Investments. Only the current day's variation margin is reported in the Statements of Assets and Liabilities. 173 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- For the year ended July 31, 2010, the average quarterly balance of outstanding derivative financial instruments was as follows:
STRUCTURED INTERNATIONAL STRATEGIC TOTAL RETURN SHORT TERM LARGE CAP PLUS EQUITY INDEX EQUITY INCOME BOND BOND -------------- ------------ ------------- --------- ------------ ---------- Forward currency contracts: Average number of contracts - U.S. dollars purchased -- -- -- 1 -- -- Average U.S. dollar amounts purchased -- -- -- 1,588,871 -- -- Futures contracts: Average number of contracts purchased 12 26 79 86 170 11 Average number of contracts sold -- -- -- 13 -- -- Average notional amount of contracts purchased 3,281,821 7,135,082 6,289,056 18,768,080 25,174,794 2,444,091 Average notional amount of contracts sold -- -- -- 754,087 -- --
The swaps shown in the Notes to the Schedules of Investments represent the only swap activity for the year. (15) SUBSEQUENT EVENTS Management has evaluated the possibility of subsequent events and has determined that there are no additional events that would require adjustment to or additional disclosure in the Funds' financial statements. 174 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- To the Board of Trustees and Shareholders of Fifth Third Funds: In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments of Fifth Third Small Cap Growth Fund, Fifth Third Mid Cap Growth Fund, Fifth Third Quality Growth Fund, Fifth Third Dividend Growth Fund, Fifth Third Micro Cap Value Fund, Fifth Third Small Cap Value Fund, Fifth Third All Cap Value Fund, Fifth Third Disciplined Large Cap Value Fund, Fifth Third Equity Index Fund, Fifth Third International Equity Fund, Fifth Third Strategic Income Fund, Fifth Third LifeModel Aggressive FundSM, Fifth Third LifeModel Moderately Aggressive FundSM, Fifth Third LifeModel Moderate FundSM, Fifth Third LifeModel Moderately Conservative FundSM, Fifth Third LifeModel Conservative FundSM, Fifth Third High Yield Bond Fund, Fifth Third Total Return Bond Fund and Fifth Third Short Term Bond Fund and the schedules of investments and of securities sold short of Fifth Third Structured Large Cap Plus Fund (twenty series of Fifth Third Funds, hereafter referred to as the "Funds"), and the related statements of operations, of changes in net assets and of cash flows and the financial highlights present fairly, in all material respects, the financial position of the Funds at July 31, 2010, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, the cash flows for Fifth Third Structured Large Cap Plus Fund for the year then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements 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 are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at July 31, 2010 by correspondence with the custodian, brokers and underlying Funds' transfer agent, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Kansas City, Missouri September 22, 2010 175 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED) -------------------------------------------------------------------------------- FIFTH THIRD FUNDS MANAGEMENT ^ The Trustees and Officers of the Funds, their age, the position they hold with the Funds, their term of office and length of time served, a description of their principal occupations during the past five years, the number of portfolios in the fund complex that the Trustee oversees and any other directorships held by the Trustee are listed in the two tables immediately following. The business address of the persons listed below is 38 Fountain Square Plaza, Cincinnati, Ohio 45202. INDEPENDENT TRUSTEES --------------------
NUMBER OF PORTFOLIOS POSITION(S) TERM OF IN FUND HELD OFFICE AND COMPLEX OTHER WITH THE LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN BY DIRECTORSHIPS NAME AND AGE FUNDS TIME SERVED(1) DURING THE PAST 5 YEARS TRUSTEE HELDBY TRUSTEE ------------ ----- -------------- ----------------------- ------- -------------- Edward Burke Carey Chairman-Board January Carey Realty Investments, Inc. 24 Canisius Age: 65 of Trustees 1989-Present (real estate development and College-Trustee. consulting), President, 1990-Present. David J. Durham Trustee June Chairman of Clipper Products, Inc., 24 None Age: 65 2001-Present a wholesale distributor, 2005-Present. Chairman of Norris Products Corp., a wholesale distributor, 2005-Present. President and Chief Executive Officer of Clipper Products, Inc., 1997-Present. J. Joseph Hale Jr. Trustee March Consultant, Duke Energy, July 24 Trustee for Age: 60 2001-Present 2010-Present. President and CEO of Hanover College. MediLux Health Care, April The Egan Maritime 2008-March 2010. EVP and Managing Institute, The Sconset Director, DHR International Chapel, The Sconset (executive recruiter), April Trust, The March of 2007-2008. President, Cinergy Dimes, The Community Foundation, November 2001-March Foundation for 2006. Nantucket John E. Jaymont Trustee October Business Development Director, 24 None Age: 65 2001-Present Printing Industries of Ohio/North Kentucky (printing industry association) Feb. 2002-Present. David J. Gruber Trustee December President, DJG Financial Consulting 24 CASA of Age: 46 2003-Present (accounting and finance consultant), Delaware County June 2007-Present. Resources Global Professionals, Project Professional, December 2004-June 2007. Ohio Arts & Sports Facilities Commission (state funding oversight agency), CFO, April 2003-December 2004. INTERESTED TRUSTEE ------------------ E. Keith Wirtz(2) President and President April President, Fifth Third Asset 24 None Age: 50 Trustee 2007-Present. Management, Inc. 2003-Present, Trustee March Managing Partner, Paladin Investment 2010-Present Associates, LLC, 2000-2003.
^ Additional disclosure can be found in the Statement of Additional Information, which can be obtained by calling 1-800-282-5706. 176 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED -------------------------------------------------------------------------------- OFFICERS --------
TERM OF POSITION(S) OFFICE AND HELD LENGTH OF WITH THE TIME PRINCIPAL OCCUPATION(S) NAME AND AGE FUNDS SERVED(1) DURING THE PAST 5 YEARS ------------ ----- --------- ----------------------- Matthew A. Ebersbach Vice President March Vice President of Fifth Third Bank Age: 40 2006-Present since 2001. Registered representative of FTAM Funds Distributor, Inc. Richard B. Ille Vice President April Managing Director, Products and Marketing, Age: 45 2007-Present Fifth Third Asset Management, Inc., 2001-Present. Registered representative of FTAM Funds Distributor, Inc. James A. Mautino Anti-Money February Vice President and Chief Compliance Officer, Age: 42 Laundering and 2007-Present Fifth Third Asset Management, Inc. August Chief Compliance 2005-Present, Director of Risk and Officer Compliance, State Street Bank and Trust Company, October 1995-July 2005. Shannon King Treasurer March Vice President, Fifth Third Asset Age: 38 2008-Present Management, Inc. September 2007-Present, Assistant Vice President and Capital Markets Derivative Manager, Fifth Third Bank, 2005- 2007, Capital Markets Accounting Manager, Fifth Third Bank 2001-2005. Registered representative of FTAM Funds Distributor, Inc. Matthew A. Swendiman Secretary April Vice President and Counsel of Fifth Third Age: 37 2007-Present Bank, March 2006 to Present. Attorney, Kirkpatrick & Lockhart Nicholson Graham, LLP, May 2005-March 2006. Counsel, The Phoenix Companies, Inc., July 2002-April 2005. Assistant Vice President and Assistant Counsel, Conseco Capital Management, Inc., December 2000-June 2002. Registered representative of FTAM Funds Distributor, Inc. Ryan Casey Assistant Treasurer April Vice President, State Street Bank and Trust Age: 37 2009-Present Company (a Massachusetts trust company) from 2000 to Present. Tracy Kaufman Assistant Treasurer June Assistant Vice President, State Street Bank Age: 51 2007-Present and Trust Company (a Massachusetts trust company) from 1986 to Present. Francine S. Hayes Assistant Secretary June Vice President and Counsel, State Street Age: 42 2007-Present Bank and Trust Company (a Massachusetts trust company) from 2004 to Present; and Assistant Vice President and Counsel, State Street Bank and Trust Company, from 2001 to 2004.
(1) Each Trustee serves until the election and qualification of a successor, or until death, resignation, retirement or removal as provided in the Trust's Amended and Restated Declaration of Trust. Retirement occurs on the last day of the fiscal year in which a Trustee's 73rd birthday occurs. The Trust's Officers are elected annually by the Trustees. (2) Mr. Wirtz is an interested Trustee of the Trust due to his position with the Advisor. 177 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED -------------------------------------------------------------------------------- ADDITIONAL TAX INFORMATION For the taxable year ended July 31, 2010, the following percentage of income dividends paid by the Funds qualify for the dividends received deduction available to corporations: PERCENTAGE ---------- Quality Growth 100% Dividend Growth 100% Small Cap Value 100% All Cap Value 100% Disciplined Large Cap Value 100% Structured Large Cap Plus 100% Equity Index(SM) 100% Strategic Income 18% LifeModel Aggressive(SM) 41% LifeModel Moderately Aggressive(SM) 21% LifeModel Moderate(SM) 10% LifeModel Moderately Conservative(SM) 8% LifeModel Conservative(SM) 3% For the fiscal year ended July 31, 2010, certain dividends paid by the Funds are subject to a maximum tax rate of 15% as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. To the extent dividends are paid during the calendar year 2010, complete information will be reported on shareholders' 2010 Form 1099-DIV. The Funds hereby designate up to the maximum amount allowable as qualified dividend income for the fiscal year ended July 31, 2010: AMOUNT ------ Quality Growth $773,931 Dividend Growth 96,788 Small Cap Value 443,398 All Cap Value 1,307,949 Disciplined Large Cap Value 5,007,453 Structured Large Cap Plus 804,824 Equity Index 4,752,747 International Equity 8,090,280 Strategic Income 1,598,871 LifeModel Aggressive(SM) 1,368,695 LifeModel Moderately Aggressive(SM) 1,869,822 LifeModel Moderate(SM) 1,752,156 LifeModel Moderately Conservative(SM) 315,390 LifeModel Conservative(SM) 103,582 The Funds designate the following amounts or maximum amounts allowable as long term capital gain distributions qualifying for the maximum 15% income tax rate for individuals. The amounts designated may not agree with the long term capital gains in the tax character of distribution table due to utilization of earnings and profits distributed to shareholders on redemption of shares. AMOUNT ------ LifeModel Aggressive(SM) $1,637,324 LifeModel Moderately Aggressive(SM) 888,459 International Equity may elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. Foreign source income and foreign tax expense per outstanding share on July 31, 2010 are as follows: FOREIGN SOURCE FOREIGN TAX INCOME EXPENSE ------ ------- International Equity $0.27 $0.01 If elected, the pass-through of the foreign tax credit will affect only those persons who are shareholders on the dividend record date in December 2010. These shareholders will receive more detailed information along with their 2010 Form 1099-DIV. 178 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED) -------------------------------------------------------------------------------- EXPENSE EXAMPLE As a shareholder of the Fifth Third Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution and/or service 12b-1 fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fifth Third Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from February 1, 2010 through July 31, 2010. ACTUAL EXPENSES --------------- The table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. The expense ratio may vary period to period because of various factors, as a result of expenses incurred that are outside the cap (such as dividends on securities sold short, extraordinary expenses and interest expense.)
EXPENSE EXPENSE BEGINNING ENDING PAID RATIO ACCOUNT ACCOUNT DURING DURING VALUE VALUE PERIOD* PERIOD 2/1/10 7/31/10 2/1/10 - 7/31/10 2/1/10 - 7/31/10 --------- --------- ---------------- ---------------- Small Cap Growth Institutional Shares $1,000.00 $1,081.40 $5.21 1.01% Class A Shares 1,000.00 1,081.00 6.50 1.26% Class B Shares 1,000.00 1,076.50 10.35 2.01% Class C Shares 1,000.00 1,074.70 10.34 2.01% Mid Cap Growth Institutional Shares 1,000.00 1,092.10 4.56 0.88% Class A Shares 1,000.00 1,091.90 5.86 1.13% Class B Shares 1,000.00 1,086.60 9.73 1.88% Class C Shares 1,000.00 1,086.30 9.73 1.88% Quality Growth Institutional Shares 1,000.00 1,000.00 5.26 1.06% Class A Shares 1,000.00 998.50 6.49 1.31% Class B Shares 1,000.00 994.20 10.19 2.06% Class C Shares 1,000.00 994.90 10.19 2.06% Dividend Growth Institutional Shares 1,000.00 1,034.60 3.68 0.73% Class A Shares 1,000.00 1,032.90 4.94 0.98% Class B Shares 1,000.00 1,029.20 8.70 1.73% Class C Shares 1,000.00 1,029.10 8.70 1.73% Micro Cap Value Institutional Shares 1,000.00 1,132.90 7.14 1.35% Class A Shares 1,000.00 1,127.30 8.44 1.60% Class B Shares 1,000.00 1,124.60 12.38 2.35% Class C Shares 1,000.00 1,124.60 12.38 2.35% Small Cap Value Institutional Shares 1,000.00 1,057.60 5.87 1.15% Class A Shares 1,000.00 1,055.60 7.14 1.40% Class B Shares 1,000.00 1,051.80 10.94 2.15% Class C Shares 1,000.00 1,052.00 10.94 2.15%
-------------------------------- * Expenses are equal to the average account value times the Fund's annualized expense ratio multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year. 179 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED --------------------------------------------------------------------------------
EXPENSE EXPENSE BEGINNING ENDING PAID RATIO ACCOUNT ACCOUNT DURING DURING VALUE VALUE PERIOD* PERIOD 2/1/10 7/31/10 2/1/10 - 7/31/10 2/1/10 - 7/31/10 --------- --------- ---------------- ---------------- All Cap Value Institutional Shares $1,000.00 $1,008.40 $5.18 1.04% Class A Shares 1,000.00 1,007.30 6.42 1.29% Class B Shares 1,000.00 1,003.10 10.13 2.04% Class C Shares 1,000.00 1,003.20 10.13 2.04% Disciplined Large Cap Value Institutional Shares 1,000.00 1,014.60 4.55 0.91% Class A Shares 1,000.00 1,013.30 5.79 1.16% Class B Shares 1,000.00 1,009.00 9.51 1.91% Class C Shares 1,000.00 1,008.50 9.51 1.91% Structured Large Cap Plus Institutional Shares 1,000.00 1,038.50 8.69 1.72% Class A Shares 1,000.00 1,036.30 9.95 1.97% Class B Shares 1,000.00 1,033.60 13.66 2.71% Class C Shares 1,000.00 1,033.10 13.81 2.74% Equity Index Institutional Shares 1,000.00 1,035.70 0.96 0.19% Class A Shares 1,000.00 1,034.50 2.22 0.44% Class B Shares 1,000.00 1,030.60 5.99 1.19% Class C Shares 1,000.00 1,029.30 5.99 1.19% Select shares 1,000.00 1,035.80 1.36 0.27% Preferred Shares 1,000.00 1,034.90 1.72 0.34% Trust Shares 1,000.00 1,034.40 2.22 0.44% International Equity Institutional Shares 1,000.00 1,001.40 5.76 1.16% Class A Shares 1,000.00 998.60 6.99 1.41% Class B Shares 1,000.00 995.80 10.69 2.16% Class C Shares 1,000.00 995.60 10.69 2.16% Strategic Income Institutional Shares 1,000.00 1,062.40 4.40 0.86% Class A Shares 1,000.00 1,062.40 5.68 1.11% Class B Shares 1,000.00 1,058.50 9.49 1.86% Class C Shares 1,000.00 1,058.00 9.49 1.86% LifeModel Aggressive(SM) Institutional Shares 1,000.00 1,025.80 0.40 0.08% Class A Shares 1,000.00 1,024.90 1.66 0.33% Class B Shares 1,000.00 1,020.50 5.41 1.08% Class C Shares 1,000.00 1,020.50 5.41 1.08% LifeModel Moderately Aggressive(SM) Institutional Shares 1,000.00 1,025.70 0.40 0.08% Class A Shares 1,000.00 1,024.40 1.66 0.33% Class B Shares 1,000.00 1,020.80 5.41 1.08% Class C Shares 1,000.00 1,020.80 5.41 1.08% LifeModel Moderate(SM) Institutional Shares 1,000.00 1,031.10 0.40 0.08% Class A Shares 1,000.00 1,030.80 1.66 0.33% Class B Shares 1,000.00 1,026.00 5.43 1.08% Class C Shares 1,000.00 1,026.10 5.43 1.08% LifeModel Moderately Conservative(SM) Institutional Shares 1,000.00 1,033.50 0.40 0.08% Class A Shares 1,000.00 1,031.10 1.66 0.33% Class B Shares 1,000.00 1,028.40 5.43 1.08% Class C Shares 1,000.00 1,028.40 5.43 1.08%
-------------------------------- * Expenses are equal to the average account value times the Fund's annualized expense ratio multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year. 180 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED --------------------------------------------------------------------------------
EXPENSE EXPENSE BEGINNING ENDING PAID RATIO ACCOUNT ACCOUNT DURING DURING VALUE VALUE PERIOD* PERIOD 2/1/10 7/31/10 2/1/10 - 7/31/10 2/1/10 - 7/31/10 --------- --------- ---------------- ---------------- LifeModel Conservative(SM) Institutional Shares $1,000.00 $1,037.30 $0.40 0.08% Class A Shares 1,000.00 1,036.10 1.67 0.33% Class B Shares 1,000.00 1,032.30 5.44 1.08% Class C Shares 1,000.00 1,031.20 5.44 1.08% High Yield Bond Institutional Shares 1,000.00 1,052.10 3.77 0.74% Class A Shares 1,000.00 1,050.60 5.03 0.99% Class B Shares 1,000.00 1,046.90 8.83 1.74% Class C Shares 1,000.00 1,047.10 8.83 1.74% Total Return Bond Institutional Shares 1,000.00 1,050.80 3.31 0.65% Class A Shares 1,000.00 1,049.40 4.57 0.90% Class B Shares 1,000.00 1,045.30 8.37 1.65% Class C Shares 1,000.00 1,045.50 8.37 1.65% Short Term Bond Institutional Shares 1,000.00 1,019.10 2.75 0.55% Class A Shares 1,000.00 1,016.70 4.00 0.80% Class C Shares 1,000.00 1,041.40 7.85 1.55%
------------------------------- * Expenses are equal to the average account value times the Fund's annualized expense ratio multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year. 181 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED -------------------------------------------------------------------------------- HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES -------------------------------------------- The table below provides information about hypothetical account values and hypothetical expenses based on each Fifth Third 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 however use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The expense ratio may vary period to period because of various factors, as a result of expenses incurred that are outside the cap (such as dividends on securities sold short, extraordinary expenses and interest expense.)
EXPENSE EXPENSE BEGINNING ENDING PAID RATIO ACCOUNT ACCOUNT DURING DURING VALUE VALUE PERIOD* PERIOD 2/1/10 7/31/10 2/1/10 - 7/31/10 2/1/10 - 7/31/10 --------- --------- ---------------- ---------------- Small Cap Growth Institutional Shares $1,000.00 $1,019.79 $5.06 1.01% Class A Shares 1,000.00 1,018.55 6.31 1.26% Class B Shares 1,000.00 1,014.83 10.04 2.01% Class C Shares 1,000.00 1,014.83 10.04 2.01% Mid Cap Growth Institutional Shares 1,000.00 1,020.43 4.41 0.88% Class A Shares 1,000.00 1,019.19 5.66 1.13% Class B Shares 1,000.00 1,015.47 9.39 1.88% Class C Shares 1,000.00 1,015.47 9.39 1.88% Quality Growth Institutional Shares 1,000.00 1,019.54 5.31 1.06% Class A Shares 1,000.00 1,018.30 6.56 1.31% Class B Shares 1,000.00 1,014.58 10.29 2.06% Class C Shares 1,000.00 1,014.58 10.29 2.06% Dividend Growth Institutional Shares 1,000.00 1,021.17 3.66 0.73% Class A Shares 1,000.00 1,019.93 4.91 0.98% Class B Shares 1,000.00 1,016.22 8.65 1.73% Class C Shares 1,000.00 1,016.22 8.65 1.73% Micro Cap Value Institutional Shares 1,000.00 1,018.10 6.76 1.35% Class A Shares 1,000.00 1,016.86 8.00 1.60% Class B Shares 1,000.00 1,013.14 11.73 2.35% Class C Shares 1,000.00 1,013.14 11.73 2.35% Small Cap Value Institutional Shares 1,000.00 1,019.09 5.76 1.15% Class A Shares 1,000.00 1,017.85 7.00 1.40% Class B Shares 1,000.00 1,014.13 10.74 2.15% Class C Shares 1,000.00 1,014.13 10.74 2.15% All Cap Value Institutional Shares 1,000.00 1,019.64 5.21 1.04% Class A Shares 1,000.00 1,018.40 6.46 1.29% Class B Shares 1,000.00 1,014.68 10.19 2.04% Class C Shares 1,000.00 1,014.68 10.19 2.04%
-------------------------------- * Expenses are equal to the average account value times the Fund's annualized expense ratio multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year. 182 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED --------------------------------------------------------------------------------
EXPENSE EXPENSE BEGINNING ENDING PAID RATIO ACCOUNT ACCOUNT DURING DURING VALUE VALUE PERIOD* PERIOD 2/1/10 7/31/10 2/1/10 - 7/31/10 2/1/10 - 7/31/10 --------- --------- ---------------- ---------------- Disciplined Large Cap Value Institutional Shares $1,000.00 $1,020.28 $4.56 0.91% Class A Shares 1,000.00 1,019.04 5.81 1.16% Class B Shares 1,000.00 1,015.32 9.54 1.91% Class C Shares 1,000.00 1,015.32 9.54 1.91% Structured Large Cap Plus Institutional Shares 1,000.00 1,016.27 8.60 1.72% Class A Shares 1,000.00 1,015.03 9.84 1.97% Class B Shares 1,000.00 1,011.36 13.51 2.71% Class C Shares 1,000.00 1,011.21 13.66 2.74% Equity Index Institutional Shares 1,000.00 1,023.85 0.95 0.19% Class A Shares 1,000.00 1,022.61 2.21 0.44% Class B Shares 1,000.00 1,018.89 5.96 1.19% Class C Shares 1,000.00 1,018.89 5.96 1.19% Select shares 1,000.00 1,023.46 1.35 0.27% Preferred Shares 1,000.00 1,023.11 1.71 0.34% Trust Shares 1,000.00 1,022.61 2.21 0.44% International Equity Institutional Shares 1,000.00 1,019.04 5.81 1.16% Class A Shares 1,000.00 1,017.80 7.05 1.41% Class B Shares 1,000.00 1,014.08 10.79 2.16% Class C Shares 1,000.00 1,014.08 10.79 2.16% Strategic Income Institutional Shares 1,000.00 1,020.53 4.31 0.86% Class A Shares 1,000.00 1,019.29 5.56 1.11% Class B Shares 1,000.00 1,015.57 9.30 1.86% Class C Shares 1,000.00 1,015.57 9.30 1.86% LifeModel Aggressive(SM) Institutional Shares 1,000.00 1,024.40 0.40 0.08% Class A Shares 1,000.00 1,023.16 1.66 0.33% Class B Shares 1,000.00 1,019.44 5.41 1.08% Class C Shares 1,000.00 1,019.44 5.41 1.08% LifeModel Moderately Aggressive(SM) Institutional Shares 1,000.00 1,024.40 0.40 0.08% Class A Shares 1,000.00 1,023.16 1.66 0.33% Class B Shares 1,000.00 1,019.44 5.41 1.08% Class C Shares 1,000.00 1,019.44 5.41 1.08% LifeModel Moderate(SM) Institutional Shares 1,000.00 1,024.40 0.40 0.08% Class A Shares 1,000.00 1,023.16 1.66 0.33% Class B Shares 1,000.00 1,019.44 5.41 1.08% Class C Shares 1,000.00 1,019.44 5.41 1.08% LifeModel Moderately Conservative(SM) Institutional Shares 1,000.00 1,024.40 0.40 0.08% Class A Shares 1,000.00 1,023.16 1.66 0.33% Class B Shares 1,000.00 1,019.44 5.41 1.08% Class C Shares 1,000.00 1,019.44 5.41 1.08% LifeModel Conservative(SM) Institutional Shares 1,000.00 1,024.40 0.40 0.08% Class A Shares 1,000.00 1,023.16 1.66 0.33% Class B Shares 1,000.00 1,019.44 5.41 1.08% Class C Shares 1,000.00 1,019.44 5.41 1.08%
-------------------------------- * Expenses are equal to the average account value times the Fund's annualized expense ratio multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year. 183 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED --------------------------------------------------------------------------------
EXPENSE EXPENSE BEGINNING ENDING PAID RATIO ACCOUNT ACCOUNT DURING DURING VALUE VALUE PERIOD* PERIOD 2/1/10 7/31/10 2/1/10 - 7/31/10 2/1/10 - 7/31/10 --------- --------- ---------------- ---------------- High Yield Bond Institutional Shares $1,000.00 $1,021.12 $3.71 0.74% Class A Shares 1,000.00 1,019.89 4.96 0.99% Class B Shares 1,000.00 1,016.17 8.70 1.74% Class C Shares 1,000.00 1,016.17 8.70 1.74% Total Return Bond Institutional Shares 1,000.00 1,021.57 3.26 0.65% Class A Shares 1,000.00 1,020.33 4.51 0.90% Class B Shares 1,000.00 1,016.61 8.25 1.65% Class C Shares 1,000.00 1,016.61 8.25 1.65% Short Term Bond Institutional Shares 1,000.00 1,022.07 2.76 0.55% Class A Shares 1,000.00 1,020.83 4.01 0.80% Class C Shares 1,000.00 1,017.11 7.75 1.55%
-------------------------------- * Expenses are equal to the average account value times the Fund's annualized expense ratio multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year. 184 This page intentionally left blank. 185 ================================================================================ Advised by: [LOGO OF FTAM] FIFTH THIRD ASSET MANAGEMENT [GRAPHIC OF BEYOND THE TRADITIONAL] BEYOND THE TRADITIONAL FTF2756073111 1-800-282-5706 AR-STBD-10 ================================================================================ -------------------------------------------------------------------------------- FIFTH THIRD FUNDS [GRAPHIC OF FIFTH THIRD FUNDS] 2010 MONEY MARKET MUTUAL FUNDS Annual Report to Shareholders July 31, 2010 Advised by: [LOGO OF FTAM] FIFTH THIRD ASSET MANAGEMENT -------------------------------------------------------------------------------- NOTICE OF DELIVERY OF PROSPECTUSES, SEMI-ANNUAL REPORTS AND ANNUAL REPORTS In order to reduce expenses of the Fifth Third Funds incurred in connection with the mailing of prospectuses, prospectus supplements, semi-annual reports and annual reports to multiple shareholders at the same address, Fifth Third Funds will deliver one copy of a prospectus, prospectus supplement, semi-annual report or annual report to a single investor sharing a street address or post office box with other investors, provided that all such investors have the same last name or are believed to be members of the same family. If you share an address with another investor and wish to receive your own prospectus, prospectus supplements, semi-annual reports and annual reports, please call the Trust toll-free at 1-800-282-5706. This report is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the Funds, which contains facts concerning the objectives and policies, management fees, expenses and other information. A description of the policies and procedures that the Funds use to determine how to vote proxies relating to the portfolio securities and information regarding how the Funds voted relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, on the Funds' website at www.fifththirdfunds.com or by calling 1-800-282-5706 and on the Securities and Exchange Commission's website at http://www.sec.gov. Schedules of Investments for periods ending April 30 and October 31 are filed on Form N-Q and are available, without charge, on the Securities and Exchange Commission's website at http://www.sec.gov. They may be viewed 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). Fifth Third Funds are distributed by FTAM Funds Distributor, Inc., member FINRA. FTAM Funds Distributor, Inc. is not an affiliate of Fifth Third Bank, Fifth Third Funds or Fifth Third Asset Management, Inc. Fifth Third Asset Management, Inc. serves as Investment Advisor to Fifth Third Funds and receives a fee for its services. FIFTH THIRD FUNDS, LIKE ALL MUTUAL FUNDS: o ARE NOT FDIC INSURED o HAVE NO BANK GUARANTEE o MAY LOSE VALUE This page intentionally left blank.
TABLE OF CONTENTS -------------------------------------------------------------------------------- Economic Outlook and Commentary Section ................................... 1 Manager Commentary ........................................................ 5 Schedules of Investments .................................................. 8 Statements of Assets and Liabilities ...................................... 36 Statements of Operations .................................................. 38 Statements of Changes in Net Assets ....................................... 40 Financial Highlights ...................................................... 44 Notes to Financial Statements ............................................. 53 Report of Independent Registered Public Accounting Firm ................... 67 Supplemental Information .................................................. 68
OUR MESSAGE TO YOU -------------------------------------------------------------------------------- Despite a dramatic downturn in investor sentiment during the spring of 2010, U.S. equity and fixed income markets generally posted positive returns during the 12-month period ended July 31, 2010. In turn, most Fifth Third Funds finished the fiscal year with double-digit gains. Within the stock market, results reported during the 12-month period included: o A 13.83% gain for the S&P 500 Index(1) of large cap stocks. o A 22.82% gain for the S&P 400 Index(1) of mid cap stocks. o A 19.17% gain for the S&P 600 Index(1) of small cap stocks. o A 6.26% gain for the MSCI EAFE Index(1) of international stocks. The first eight months of the period featured growing investor enthusiasm as a number of economic indicators firmed, which brightened outlooks and spurred demand for riskier assets. The near-default of sovereign Greek debt and the BP oil spill in the Gulf of Mexico darkened moods in mid-April, however, and prompted a sharp selloff in equity markets. Solid corporate earnings keyed a modest bounce in the period's closing weeks. All told, domestic stocks outperformed fixed income investments during the period, led by small and mid cap equities and value investments. International stocks, on the other hand, produced smaller returns due largely to the overhang from the European debt issue and slowing growth in China. The fixed income market experienced broad-based demand that lifted most asset classes. U.S. Treasury issues extended a lengthy rally, aided by the springtime flight to quality, while structured products such as Mortgage-backed Securities and Asset-backed Securities benefited from extensive government support programs. Corporate bonds gained amid a renewed appreciation for healthy balance sheets, which mostly resulted from multi-quarter cost-cutting and cash-hoarding efforts. Cash investments continued to offer meager returns, while commodities generally performed well during the period. Gauging things domestically going forward, the conclusion is mixed. Statistics related to the domestic economy suggest that the current recovery is well underway and that the risk of a double-dip recession is less likely. Market nerves are frayed, however, and there are numerous things to worry investors on the horizon, including: o A cautionary spending mindset among consumers. o A cautionary mindset among corporate managers, which has led to weak labor market conditions. 1 o A mid-term U.S. election that could generate plenty of distractions and frustrating uncertainties. o The likelihood of higher taxes, more regulation, and government intrusion. On the positive side of the ledger, U.S. companies proved during the recent quarterly earnings period that management generally did a tremendous job during the earlier financial crisis in right-sizing operations. Corporate leaders have also generally situated their companies to make money in a slower growth environment. Furthermore, the term structure of interest rates--following a positively sloped yield curve--has facilitated the convalescence of the banking sector. Within the family of Fifth Third Funds, an unwavering adherence to higher-quality securities led to some underperformance versus relative benchmarks in the wake of the early-period low-quality surge. Yet when macro events rattled the markets, it was the lower-quality investments that fell hardest. Regardless of such near-term variances, we believe robust analysis and stock picking among higher-quality companies that we believe are likely to register above-average earnings remains essential to long-term investing success. Looking ahead, our expectations on the macro front include: MODEST GROWTH IN THE U.S. GROSS DOMESTIC PRODUCT (GDP). Although business spending has recovered to a degree, we believe consumers are still focused on paring debt. In addition, with unemployment likely to hover between 9.0% and 10.0% for the next year, the GDP growth rate will be hard pressed to exceed 2.50%. A GROWING REGULATORY CLIMATE. Through the first half of 2010, we witnessed the passage of monumental industry reform bills that will reshape the healthcare and financial services industries. New regulations on offshore drilling are likely as well. Although no one yet knows what shape the new rules will take, such developments have generally proven to be a drag on U.S. corporations. CLOUDS ON THE TAX HORIZON. If the Obama administration and U.S. Congress fail to address personal income taxes in 2010, the Bush tax cuts will expire on December 31, 2010, and rates on everything from earned income to estates will revert to 2001 levels in 2011. Such higher taxes could crimp consumer consumption and corporate profits. TENSION BUILDING BEHIND INTEREST RATES. Concerns over the economy tend to keep a cap on interest rates, and we may see minimal moves in 2 the fixed income arena for the next few quarters. Especially since it appears as though the Federal Reserve will keep its key rate pegged between 0.00% and 0.25% into 2011. But as soon as the market senses sustainable growth is imminent, we could be in for a wild ride as an expanding--even modestly--economy and a massive level of public indebtedness that requires regular refinancing are not the ingredients for an extended decline in yields. A STUBBORNLY TOUGH JOB MARKET. Currently, there are few incentives for companies to resume hiring. Given the uncertainties swirling around Washington and the economy, continued challenges on the employment front appear likely. CONTINUED GROWTH IN CORPORATE EARNINGS. Despite the economic turbulence of late, most U.S. companies managed to generate solid profits during the 12-month period ended July 31, 2010. We believe the trend in profit growth should continue, although margin and earnings growth rates may have peaked for this cycle. Accordingly, we believe more-stable larger cap companies, especially those with exposure to higher-growth international markets, will lead the equity markets in the coming quarters. In closing, the occurrences of the past 12 months demonstrated how quickly preferences can shift in the U.S. financial markets. And the outlook for the next six to 12 months contains plenty of potential headwinds. Through history, however, high-quality companies with solid fundamentals have proven most adept at navigating the financial market's peaks and valleys to produce steady long-term returns. As your Fifth Third Funds portfolio managers regularly seek out such companies, we believe your investments in our family of funds continue to offer the best opportunity for optimal gains into the future. Thank you for your confidence in the Fifth Third Funds. /s/ E. Keith Wirtz E. Keith Wirtz, CFA President 3 -------------------------------------------------------------------------------- (1)TERMS AND DEFINITIONS ------------------------------------------------------------------------------ -------------------------------------------------------------------------------- THE S&P 500 STOCK INDEX IS AN INDEX OF 500 SELECTED COMMON STOCKS, MOST OF WHICH ARE LISTED ON THE NEW YORK STOCK EXCHANGE, AND IS A MEASURE OF THE U.S. STOCK MARKET AS A WHOLE. THE S&P MIDCAP 400 INDEX IS AN INDEX OF 400 SELECTED COMMON STOCKS THAT TRACKS U.S. FIRMS WITH MARKET CAPITALIZATIONS OF $1.5 BILLION TO $5.5 BILLION. THE S&P SMALLCAP 600 INDEX IS AN INDEX OF 600 SELECTED COMMON STOCKS THAT TRACKS U.S. FIRMS WITH MARKET CAPITALIZATIONS OF $300 MILLION TO $2 BILLION. THE MORGAN STANLEY CAPITAL INTERNATIONAL (MSCI) EUROPE, AUSTRALASIA AND FAR EAST (EAFE)(R) INDEX IS GENERALLY REPRESENTATIVE OF A SAMPLE OF COMPANIES OF THE MARKET STRUCTURE OF 20 EUROPEAN AND PACIFIC BASIN COUNTRIES. THE ABOVE INDICES DO NOT REFLECT THE DEDUCTION OF FEES ASSOCIATED WITH A MUTUAL FUND SUCH AS INVESTMENT MANAGEMENT AND FUND ACCOUNTING FEES. INVESTORS CANNOT INVEST DIRECTLY IN AN INDEX, ALTHOUGH THEY CAN INVEST IN ITS UNDERLYING SECURITIES. SOVEREIGN DEBT is the total amount owed to the holders of the bonds issued by a national government. 4 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- MONEY MARKET FUNDS -------------------------------------------------------------------------------- For the 12-month period ended July 31, 2010, the Fifth Third Money Market Funds offered historically low yields on an absolute basis. This was the direct result of the continuation of an extremely accommodative monetary policy by the Federal Reserve's Federal Open Market Committee (FOMC). Through the entire fiscal year, the FOMC maintained a generally cautious tone toward economic activity and employment and kept the Federal Funds target rate within a range of 0.00% to 0.25%. Although the economy showed some signs of growth early in the period, the largely government-fueled developments faded later on and stirred fears of a double-dip recession, as well as renewed calls for additional fiscal intervention. As a result, general short-term interest rates remained at historically low levels despite the expiration of quantitative easing measures--which were enacted to keep rates low while the economy firmed--in March 2010. Probably the most notable exception to the persistence of low interest rates was the London Interbank Offer Rate (LIBOR). One of the more recognizable international, risk-based, money market yield measures, LIBOR rates increased during the second half of the fiscal year due primarily to elevated risks in Europe's sovereign debt markets and the European banking industry. At period-end, the chief concerns for most market participants remained global economic conditions and the highly accommodative monetary policies adopted by the world's leading central banks. In the U.S., future rate adjustments by the FOMC ultimately depend upon economic data with a particular emphasis on employment data. The Funds continued to heavily utilize more traditional liquid money market securities such as discount notes issued by the U.S. Treasury and U.S. Government Agencies, commercial paper, and repurchase agreements, particularly in the Fifth Third Treasury Money Market Fund and the Fifth Third Institutional Government Money Market Fund. Higher yields on floating interest rate securities influenced by the rise in LIBOR also enhanced returns and contributed to the Funds' liquidity. The Fifth Third Institutional Money Market and Fifth Third Prime Money Market Funds maintained a conservative investment style with an emphasis on high-quality, highly liquid municipal, U.S. Government, and industrial corporate sector securities. The Funds also held minimal exposure to Asset-Backed commercial paper, brokerage, and European banking sector securities. In the second half of the fiscal year, new U.S. Securities and Exchange Commission regulations aimed at strengthening the financial stability of 5 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) money market funds and reducing the systemic risk to the industry went into effect. The rules require money market funds to hold more liquid assets, reduce credit risk, and increase transparency through administrative and operational enhancements. The measures related to portfolio management were implemented in the Funds by the end of the fiscal year, and the balance must be in place before the end of 2011. Due to the long-standing conservative investment style of Fifth Third Money Market Funds, adherence to the new portfolio management rules should have little impact on the Funds' investment strategies. -------------------------------------------------------------------------------- MATURITY COMPOSITION AS OF JULY 31, 2010 ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Weighted Average Maturity*# --------------------------------------------------------------------------------
------------------------------ DAYS DAYS AS OF 7/31/10 AS OF 7/31/09 ------------------------------ -------------------------------------------------------------------------------- Fifth Third Prime Money Market 41 49 -------------------------------------------------------------------------------- Fifth Third Institutional Money Market 35 54 -------------------------------------------------------------------------------- Fifth Third Institutional Government Money Market 42 50 -------------------------------------------------------------------------------- Fifth Third U.S. Treasury Money Market 43 54 --------------------------------------------------------------------------------
*Based on next reset date. #Portfolio composition is subject to change. -------------------------------------------------------------------------------- INVESTMENT RISK CONSIDERATIONS ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- AN INVESTMENT IN ANY OF THE FUNDS IS NOT INSURED OR GUARANTEED BY THE FDIC OR ANY GOVERNMENT AGENCY. ALTHOUGH EACH MONEY MARKET FUND SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00 PER SHARE, IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN A MONEY MARKET FUND. 6 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED) -------------------------------------------------------------------------------- MONEY MARKET MATURITY SCHEDULES (AS OF JULY 31, 2010) ------------------------------------------------------------------------------- AS A PERCENTAGE OF VALUE OF INVESTMENTS* --------------------------------------------------------------------------------
-------------------------------------------------------------------------------- INSTITUTIONAL U.S. PRIME INSTITUTIONAL GOVERNMENT TREASURY MONEY MONEY MONEY MONEY MARKET MARKET MARKET MARKET -------------------------------------------------------------------------------- Fewer than 8 Days 51.5% 56.1% 49.6% 61.6% -------------------------------------------------------------------------------- 8 to 14 Days 5.2% 4.0% 6.8% 6.9% -------------------------------------------------------------------------------- 15 to 30 Days 3.3% 2.7% 11.8% 5.9% -------------------------------------------------------------------------------- 31 to 180 Days 37.5% 33.5% 25.5% 15.6% -------------------------------------------------------------------------------- 181 to 365 Days 2.5% 3.7% 6.3% 10.0% -------------------------------------------------------------------------------- 366 to 397 Days 0.0% 0.0% 0.0% 0.0% --------------------------------------------------------------------------------
*Based on next reset date. 7 PRIME MONEY MARKET SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ ------------ CORPORATE BONDS (10.3%) COMPUTERS (1.1%) International Business Machines Corp., 1.07%, 7/28/11 (a) $ 10,000,000 $ 10,063,044 ------------ DIVERSIFIED BANKS (1.0%) JPMorgan Chase & Co., 4.50%, 11/15/10 3,550,000 3,590,355 JPMorgan Chase & Co., 5.60%, 6/1/11 5,000,000 5,203,439 ------------ 8,793,794 ------------ DIVERSIFIED FINANCIAL SERVICES (4.2%) General Electric Capital Corp., 0.79%, 2/1/11 (a) 10,337,000 10,359,296 General Electric Capital Corp., 4.88%, 10/21/10 7,078,000 7,146,589 General Electric Capital Corp., 5.00%, 12/1/10 13,970,000 14,179,521 General Electric Capital Corp., Series A, 4.25%, 12/1/10 6,590,000 6,669,562 ------------ 38,354,968 ------------ FINANCE-INVESTMENT BANKER/BROKER (0.9%) Bear Stearns Cos. LLC (The), 4.50%, 10/28/10 7,766,000 7,839,370 ------------ INSURANCE (0.7%) Berkshire Hathaway, Inc., 0.35%, 2/10/11 (a) 5,000,000 5,000,000 Berkshire Hathaway Finance Corp., 4.20%, 12/15/10 1,175,000 1,191,125 ------------ 6,191,125 ------------ MEDICAL INSTRUMENTS (1.2%) Medtronic, Inc., Series B, 4.38%, 9/15/10 10,860,000 10,910,509 ------------ RETAIL-DISCOUNT (0.5%) Wal-Mart Stores, Inc., 4.75%, 8/15/10 5,000,000 5,008,044 ------------ U.S. GOVERNMENT AGENCIES (0.7%) Citibank NA, Series 1, 0.53%, 7/12/11 (a) (d) 5,000,000 5,005,849 Regions Bank, 2.75%, 12/10/10 (d) 2,013,000 2,030,183 ------------ 7,036,032 ------------ TOTAL CORPORATE BONDS 94,196,886 ------------ MUNICIPAL BONDS (0.9%) WASHINGTON (0.9%) State of Washington, Series 2011T, GO, 1.00%, 8/1/11 8,000,000 8,027,920 ------------ TOTAL MUNICIPAL BONDS 8,027,920 ------------ U.S. GOVERNMENT AGENCIES (12.4%) FANNIE MAE (3.4%) 0.34%, 11/15/10 ** 13,090,000 13,077,372 0.46%, 3/1/11 ** 5,000,000 4,986,455 3.25%, 8/12/10 6,980,000 6,985,662
Continued 8 PRIME MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ ------------ U.S. GOVERNMENT AGENCIES, CONTINUED FANNIE MAE, CONTINUED 4.75%, 12/15/10 $ 5,867,000 $ 5,962,027 ------------ 31,011,516 ------------ FEDERAL HOME LOAN BANK (1.1%) 3.38%, 8/13/10 2,230,000 2,232,064 3.38%, 9/10/10 6,110,000 6,129,710 5.13%, 9/10/10 1,800,000 1,808,725 ------------ 10,170,499 ------------ FREDDIE MAC (3.5%) 0.38%, 8/10/10 (a) 14,500,000 14,500,000 1.50%, 1/7/11 5,000,000 5,024,162 3.13%, 10/25/10 7,000,000 7,045,422 6.88%, 9/15/10 5,000,000 5,040,268 ------------ 31,609,852 ------------ STRAIGHT-A FUNDING LLC (4.4%) 0.30%, 10/1/10 (b) 5,000,000 4,997,458 0.35%, 8/24/10 (b) 10,000,000 9,997,764 0.39%, 8/9/10 (b) 10,032,000 10,031,131 0.43%, 9/1/10 (b) 5,200,000 5,198,074 0.45%, 10/13/10 (b) 10,000,000 9,992,903 ------------ 40,217,330 ------------ TOTAL U.S. GOVERNMENT AGENCIES 113,009,197 ------------ U.S. TREASURY OBLIGATIONS (0.5%) U.S. TREASURY NOTES (0.5%) 2.38%, 8/31/10 5,000,000 5,007,683 ------------ TOTAL U.S. TREASURY OBLIGATIONS 5,007,683 ------------ CERTIFICATES OF DEPOSIT (4.4%) COMMERCIAL BANKS (1.1%) Toronto Dominion, 0.33%, 9/20/10 5,000,000 5,000,000 Toronto Dominion, 0.45%, 11/5/10 5,000,000 5,000,000 ------------ 10,000,000 ------------ COMMERCIAL BANKS-EASTERN U.S. (3.3%) Rabobank Nederland, New York Branch, 0.52%, 9/14/10 5,000,000 5,000,724 Rabobank Nederland NV, 0.30%, 9/10/10 10,000,000 10,000,000 Rabobank Nederland NV, 0.44%, 1/28/11 15,000,000 15,000,000 ------------ 30,000,724 ------------ TOTAL CERTIFICATES OF DEPOSIT 40,000,724 ------------
Continued 9 PRIME MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED July 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ ------------ COMMERCIAL PAPER (19.7%) ASSET BACKED COMMERCIAL PAPER (2.3%) Falcon Asset Securitization Co. LLC, 0.35%, 10/22/10 (b) $ 10,000,000 $ 9,992,028 Old Line Funding LLC, 0.45%, 9/20/10 (b) 6,094,000 6,090,191 Old Line Funding LLC, 0.48%, 9/2/10 (b) 5,000,000 4,997,866 ------------ 21,080,085 ------------ BEVERAGES-NON ALCOHOLIC (1.1%) Coca-Cola Co. (The), 0.35%, 10/19/10 ** (b) 5,000,000 4,996,160 Coca-Cola Co. (The), 0.49%, 2/1/11 (b) 5,000,000 4,987,478 ------------ 9,983,638 ------------ COMMERCIAL BANKS NON-U.S. (2.7%) Bank of Nova Scotia, 0.40%, 10/22/10 ** 5,000,000 4,995,445 National Australia Funding, 0.36%, 1/3/11 (b) 10,000,000 9,984,500 National Australia Funding, 0.42%, 9/13/10 (b) 10,000,000 9,994,983 ------------ 24,974,928 ------------ COSMETICS & TOILETRIES (2.7%) Procter & Gamble Co. (The), 0.24%, 10/6/10 (b) 10,000,000 9,995,600 Procter & Gamble Co. (The), 0.27%, 11/17/10 (b) 15,000,000 14,987,850 ------------ 24,983,450 ------------ FIDUCIARY BANKS (1.6%) State Street Corp., 0.48%, 9/27/10 10,000,000 9,992,400 State Street Corp., 0.54%, 9/16/10 5,000,000 4,996,933 ------------ 14,989,333 ------------ FINANCE-AUTO LOANS (3.7%) Toyota Motor Credit Corp., 0.40%, 10/25/10 5,000,000 4,995,278 Toyota Motor Credit Corp., 0.57%, 8/23/10 10,000,000 9,996,517 Toyota Motor Credit Corp., 0.57%, 9/9/10 5,000,000 4,996,912 Toyota Motor Credit Corp., 0.60%, 10/1/10 14,000,000 13,988,139 ------------ 33,976,846 ------------ FOOD-MISCELLANEOUS/DIVERSIFIED (2.2%) Nestle Capital Corp., 0.29%, 11/4/10 (b) 10,000,000 9,992,347 Nestle Capital Corp., 0.38%, 12/6/10 ** (b) 10,000,000 9,986,594 ------------ 19,978,941 ------------ MEDICAL-HOSPITALS (0.5%) Essentia Health, 0.23%, 8/27/10 (LOC: Wells Fargo) 4,805,000 4,803,855 ------------ POLLUTION (0.4%) California Pollution Control Funding Authority, 0.35%, 8/10/10 (LOC: BP PLC) 3,250,000 3,250,000 ------------
Continued 10 PRIME MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ ------------ COMMERCIAL PAPER, CONTINUED SCHOOLS (2.1%) University of Michigan, 0.26%, 9/1/10 $ 7,680,000 $ 7,680,000 University of Michigan, 0.35%, 9/22/10 6,095,000 6,095,000 University of Michigan, 0.37%, 10/4/10 5,000,000 5,000,000 ------------ 18,775,000 ------------ U.S. MUNICIPALS (0.4%) Walnut Energy Center Authority, 0.35%, 9/22/10 (LOC: State Street Corp.) 4,000,000 3,997,978 ------------ TOTAL COMMERCIAL PAPER 180,794,054 ------------ DEMAND NOTES (6.1%) COMMERCIAL SERVICES (1.1%) World Wildlife Fund, 0.32%, 7/1/30, (LOC: JP Morgan, Inc.) (a) 9,650,000 9,650,000 ------------ DIVERSIFIED FINANCIAL SERVICES (0.5%) Harry W. Albright Jr., Series 1996, 0.57%, 5/1/21, (LOC: Bank of America) (a) 4,700,000 4,700,000 ------------ REVENUE BONDS (0.8%) Metrodev Newark LLC, 0.43%, 7/1/33, (LOC: PNC Bank NA) (a) 7,700,000 7,700,000 ------------ SPECIAL PURPOSE ENTITY (3.7%) Capital One Funding Corp., Series 1996-H, 0.42%, 10/1/21, (LOC: JP Morgan, Inc.) (a) (b) 267,000 267,000 Capital One Funding Corp., Series 1997-D, 0.37%, 7/2/18, (LOC: JP Morgan, Inc.) (a) (b) 401,000 401,000 Capital One Funding Corp., Series 2001-C, 0.37%, 1/4/27, (LOC: JP Morgan, Inc.) (a) 1,046,000 1,046,000 Erickson Foundation, Inc. (The), 0.31%, 12/1/17, (LOC: FHLB) (a) 15,000,000 15,000,000 First Church of God Vancouver, 1.31%, 4/1/15, (LOC: US Bancorp) (a) 740,000 740,000 New Belgium Brewing Co., Inc., Series 2000, 0.37%, 7/1/15, (LOC: Wells Fargo & Co.) (a) 1,025,000 1,025,000 Rush Medical Foundation, 0.31%, 12/1/31 (LOC: US Bank) (a) 5,400,000 5,400,000 Saddleback Valley Community Church, 0.31%, 11/1/38, (LOC: FHLB) (a) 9,770,000 9,770,000 SGS Tool Co., Series 1999, 0.48%, 12/1/12, (LOC: JP Morgan, Inc.) (a) 350,000 350,000 ------------ 33,999,000 ------------ TOTAL DEMAND NOTES 56,049,000 ------------
Continued 11 PRIME MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ ------------ MUNICIPAL DEMAND NOTES (28.5%) CALIFORNIA (1.8%) Abag Finance Authority for Nonprofit Corps., YMCA of San Francisco, Series A, 0.45%, 10/1/29, (LOC: Wells Fargo & Co.) (a) $ 8,375,000 $ 8,375,000 County of Riverside, CP, 0.30%, 11/1/20, (LOC: State Street Corp.) (a) 5,900,000 5,900,000 Statewide Communities Development Authority, Broadway Studios, 0.41%, 4/1/50, (LOC: FHLB) (a) 2,300,000 2,300,000 ------------ 16,575,000 ------------ COLORADO (1.3%) Housing & Finance Authority, Single Family Mortgage Bonds, Series A1, 0.33%, 11/1/30, (LOC: FMNA/FHLMC) (a) 3,760,000 3,760,000 Housing & Finance Authority, Single Family Mortgage Bonds, Series I-B1, 0.31%, 5/1/38, (LOC: FMNA/FHLMC) (a) 6,425,000 6,425,000 Pueblo Housing Authority, 0.37%, 12/1/18, (LOC: Wells Fargo & Co.) (a) (b) 1,400,000 1,400,000 ------------ 11,585,000 ------------ DISTRICT OF COLUMBIA (0.2%) District of Columbia, Pew Charitables Trust, Series B, 0.31%, 4/1/38, (LOC: PNC Bank NA) (a) 1,535,000 1,535,000 ------------ FLORIDA (3.7%) Miami-Dade County Industrial Development Authority, Dolphin Stadium Project, 0.30%, 7/1/37, (LOC: Societe Generale) (a) 19,000,000 19,000,000 Miami-Dade County Industrial Development Authority, Miami Stadium Project, 0.35%, 7/1/37, (LOC: TD Bank N.A.) (a) 5,000,000 5,000,000 Municipal Power Agency, All Required Project, Series D, 0.32%, 10/1/25, (LOC: Bank of America) (a) 10,000,000 10,000,000 ------------ 34,000,000 ------------ GEORGIA (1.1%) Savannah College of Art & Design, Inc., Series 2004 BD, 0.35%, 4/1/24, (LOC: Bank of America) (a) 9,838,000 9,838,000 ------------ ILLINOIS (1.9%) County of Will, Exxon Mobil Project, AMT, 0.16%, 4/1/26, (LOC: Exxon Mobil Corp.) (a) 6,815,000 6,815,000 Finance Authority, CHF-Dekalb LLC, Series B, 0.80%, 7/1/13, (LOC: Banco Santander SA) (a) 440,000 440,000
Continued 12 PRIME MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ ------------ MUNICIPAL DEMAND NOTES, CONTINUED ILLINOIS, CONTINUED Finance Authority, Fairview Ministries, Inc., Series D, 0.31%, 8/15/42, (LOC: Bank of America) (a) $ 4,455,000 $ 4,455,000 Finance Authority, Franciscan Communities, Series B, 0.40%, 5/1/36, (LOC: Bank of America) (a) 5,780,000 5,780,000 ------------ 17,490,000 ------------ INDIANA (0.2%) Finance Authority, Hamilton Grove Project, Series B, 0.31%, 4/1/38, (LOC: Bank of America) (a) 2,065,000 2,065,000 ------------ IOWA (0.5%) Dallas County Industrial Development, Sioux City Brick and Tile, Series B, 0.31%, 9/1/21, (LOC: U.S. Bancorp) (a) 4,850,000 4,850,000 ------------ KENTUCKY (2.9%) Louisville & Jefferson County Regional Airport Authority, Series A, AMT, 0.31%, 1/1/29, (LOC: United Parcel Service, Inc.) (a) 26,800,000 26,800,000 ------------ MARYLAND (0.9%) Health & Higher Educational Facilities Authority, Adventist Healthcare, Series B, 0.31%, 1/1/35, (LOC: Deutsche Bank) (a) 7,990,000 7,990,000 ------------ MISSISSIPPI (3.9%) Business Finance Corp., Chevron USA, Inc. Project, Series B, 0.25%, 12/1/30, (LOC: Chevron) (a) 10,000,000 10,000,000 Business Finance Corp., Chevron USA, Inc. Project, Series C, 0.17%, 12/1/30, (LOC: Chevron) (a) 9,900,000 9,900,000 Business Finance Corp., Chevron USA, Inc. Project, Series G, 0.18%, 12/1/30, (LOC: Chevron) (a) 15,800,000 15,800,000 ------------ 35,700,000 ------------ NEW MEXICO (0.1%) City of Portales, CHF-Portales LLC Project at Eastern New Mexico University, Series B, 0.80%, 7/1/13, (LOC: Banco Santander SA) (a) 240,000 240,000 City of Roswell, Series B, 0.80%, 7/1/14, (LOC: Banco Santander SA) (a) 240,000 240,000 ------------ 480,000 ------------ NEW YORK (0.4%) Albany Industrial Development Agency, Living Resources Corp. Project, Series B, 0.46%, 2/1/12, (LOC: HSBC Holdings PLC) (a) 275,000 275,000
Continued 13 PRIME MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ ------------ MUNICIPAL DEMAND NOTES, CONTINUED NEW YORK, CONTINUED New York City Housing Development Corp., Verde Cooperative, Series A, 0.34%, 1/1/16, (LOC: JP Morgan, Inc.) (a) $ 3,710,000 $ 3,710,000 ------------ 3,985,000 ------------ OHIO (1.1%) County of Cuyahoga, Eliza Jennings, Series C, 0.56%, 5/1/42, (LOC: Banco Santander SA) (a) 350,000 350,000 County of Hamilton Hospital Facilities Revenue, Elizabeth Gamble, Series A, 0.29%, 6/1/27, (LOC: Northern Trust Company) (a) 9,600,000 9,600,000 ------------ 9,950,000 ------------ PENNSYLVANIA (2.0%) Blair County Industrial Development Authority, 0.31%, 10/1/28, (LOC: PNC Bank NA) (a) 5,000,000 5,000,000 Delaware County Industrial Development Authority, 0.22%, 12/1/15, (LOC: United Parcel Service, Inc.) (a) 3,200,000 3,200,000 Economic Development Financing Authority, Delancy Corp. Project, Series C, 0.33%, 9/1/14, (LOC: PNC Bank NA) (a) 930,000 930,000 Pittsburgh Water & Sewer Authority, Series B2, 0.25%, 9/1/39, (LOC: PNC Bank NA) (a) 8,745,000 8,745,000 ------------ 17,875,000 ------------ TEXAS (2.6%) Port Corpus Christi Industrial Development Corp., Citgo Petroleum Rmkt, AMT, 0.30%, 11/1/31, (LOC: BNP Paribas) (a) 10,000,000 10,000,000 Port of Port Arthur Navigation District Fina Oil and Chemical Co. Project, AMT, 0.27%, 5/1/33, (LOC: Total SA) (a) 5,025,000 5,025,000 Veterans Housing Assistance Program, Series A, GO, AMT, 0.28%, 12/1/34, (LOC: State Street Corp.) (a) 8,430,000 8,430,000 ------------ 23,455,000 ------------ UTAH (2.7%) Telecommunication Open Infrastructure Agency, 0.33%, 6/1/40, (LOC: FHLB) (a) 25,000,000 25,000,000 ------------ WASHINGTON (1.0%) State Housing Finance Commission, Multi-Family, Country Club Apartments, Series A, AMT, 0.29%, 8/1/32, (LOC: U.S. Bancorp) (a) 5,620,000 5,620,000
Continued 14 PRIME MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ ------------ MUNICIPAL DEMAND NOTES, CONTINUED WASHINGTON, CONTINUED State Housing Finance Commission, Multi-Family, Monticello Park Project, Series B, 0.33%, 9/1/34, (LOC: FNMA) (a) $ 3,395,000 $ 3,395,000 ------------ 9,015,000 ------------ WISCONSIN (0.2%) City of Whitewater, Husco International, Inc. Project, AMT, 0.45%, 12/1/12, (LOC: JP Morgan, Inc.) (a) 2,300,000 2,300,000 ------------ TOTAL MUNICIPAL DEMAND NOTES 260,488,000 ------------ SHARES ------------ MONEY MARKETS (3.5%) AIM STIT Liquid Assets Portfolio (c) 30,737,369 30,737,369 Goldman Sachs Financial Square Prime Obligations Fund (c) 1,110,110 1,110,110 ------------ TOTAL MONEY MARKETS 31,847,479 ------------ PRINCIPAL AMOUNT ------------ REPURCHASE AGREEMENTS (13.1%) Barclays PLC, 0.21%, dated 7/30/10, due 8/2/10, (Repurchase proceeds, $35,000,613, Collateralized by U.S. Treasury Security, 4.25%, 11/15/17, value $35,700,110) $ 35,000,000 35,000,000 Deutsche Bank, 0.20%, dated 7/30/10, due 8/2/10, (Repurchase proceeds, $50,000,833, Collateralized by various U.S. Government Agency Securities, 0.00%-6.25%, 8/10/10-8/7/28, value $51,000,235) 50,000,000 50,000,000 Toronto Dominion, 0.22%, dated 7/30/10, due 8/2/10, (Repurchase proceeds, $30,000,550, Collateralized by U.S. Treasury Security, 3.38%, 11/15/19, value $30,600,016) 30,000,000 30,000,000 UBS Investment Bank, 0.19%, dated 7/30/10, due 8/2/10, (Repurchase proceeds, $4,505,071, Collateralized by Federal Farm Credit Bank, 0.00%, 1/25/13, value $4,599,310) 4,505,000 4,505,000 ------------ TOTAL REPURCHASE AGREEMENTS 119,505,000 ------------ TOTAL INVESTMENTS (COST $908,925,943)(+) - 99.4% 908,925,943 OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6% 5,513,812 ------------ NET ASSETS - 100.0% $914,439,755 ============
Continued 15 PRIME MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS ** Rate represents the effective yield at purchase. (+) Also represents cost for federal income tax purposes. (a) Variable rate security. Rate presented represents rate in effect at July 31, 2010. (b) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund's advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. (c) Investment is in Institutional Shares of underlying fund/portfolio. (d) FDIC guaranteed through Treasury Liquidity Guarantee Program. The following abbreviations are used in the Schedule of Investments: AMT - Alternative Minimum Tax Paper CP - Certificate of Participation FHLB - Federal Home Loan Bank FHLMC - Federal Home Loan Mortgage Corp. FNMA - Federal National Mortgage Association GO - General Obligation LOC - Letter of Credit See notes to schedules of investments and notes to financial statements. 16 INSTITUTIONAL MONEY MARKET SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ -------------- CORPORATE BONDS (7.0%) COMPUTERS (0.3%) International Business Machines Corp., 1.07%, 7/28/11 (a) $ 10,000,000 $ 10,062,909 -------------- DIVERSIFIED BANKS (0.5%) JPMorgan Chase & Co., 5.60%, 6/1/11 15,235,000 15,851,301 -------------- DIVERSIFIED FINANCIAL SERVICES (4.2%) General Electric Capital Corp., 0.51%, 8/15/11 (a) 6,160,000 6,150,721 General Electric Capital Corp., 0.58%, 4/28/11 (a) 10,000,000 9,985,967 General Electric Capital Corp., 4.88%, 10/21/10 16,000,000 16,149,948 General Electric Capital Corp., 5.00%, 12/1/10 10,000,000 10,149,855 General Electric Capital Corp., Series A, 4.25%, 9/13/10 14,600,000 14,659,716 General Electric Capital Corp., Series A, 4.25%, 12/1/10 14,580,000 14,757,412 General Electric Capital Corp., Series A, 6.13%, 2/22/11 49,826,000 51,333,887 General Electric Capital Corp., Series G, 0.35%, 1/26/11 (a) 15,000,000 14,981,505 -------------- 138,169,011 -------------- FINANCE-INVESTMENT BANKER/BROKER (0.9%) Bear Stearns Cos. LLC (The), 0.57%, 1/31/11 (a) 12,426,000 12,438,687 Bear Stearns Cos. LLC (The), 4.50%, 10/28/10 17,000,000 17,155,853 -------------- 29,594,540 -------------- INSURANCE (0.4%) Berkshire Hathaway, Inc., 0.35%, 2/10/11 (a) 10,000,000 10,000,000 Berkshire Hathaway Finance Corp., 4.20%, 12/15/10 4,595,000 4,659,100 -------------- 14,659,100 -------------- MEDICAL INSTRUMENTS (0.1%) Medtronic, Inc., Series B, 4.38%, 9/15/10 2,150,000 2,159,745 -------------- U.S GOVERNMENT AGENCIES (0.6%) Citibank NA, Series 1, 0.53%, 7/12/11 (a) (d) 18,665,000 18,686,833 -------------- TOTAL CORPORATE BONDS 229,183,439 -------------- U.S. GOVERNMENT AGENCIES (11.1%) FANNIE MAE (2.9%) 0.34%, 11/15/10 ** 15,000,000 14,984,983 0.46%, 3/1/11 ** 15,000,000 14,959,367 1.38%, 4/28/11 9,600,000 9,670,727 2.75%, 4/11/11 9,200,000 9,350,728 2.88%, 10/12/10 15,335,000 15,408,582 3.25%, 8/12/10 15,000,000 15,012,168 4.75%, 12/15/10 14,960,000 15,201,790 -------------- 94,588,345 --------------
Continued 17 INSTITUTIONAL MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ -------------- U.S. GOVERNMENT AGENCIES, CONTINUED FEDERAL HOME LOAN BANK (0.3%) 4.13%, 8/13/10 $ 5,025,000 $ 5,030,784 5.13%, 9/10/10 4,600,000 4,622,297 -------------- 9,653,081 -------------- FREDDIE MAC (3.6%) 0.25%, 5/4/11 (a) 15,000,000 14,993,121 0.32%, 11/16/10 ** 25,000,000 24,976,222 0.33%, 1/15/42 (a) 7,328,951 7,328,951 0.38%, 8/10/10 (a) 35,000,000 35,000,000 1.50%, 1/7/11 15,000,000 15,072,487 5.00%, 10/18/10 9,825,000 9,920,977 6.88%, 9/15/10 10,000,000 10,080,536 -------------- 117,372,294 -------------- STRAIGHT-A FUNDING LLC (4.3%) 0.30%, 10/1/10 (b) 30,000,000 29,984,750 0.35%, 8/24/10 (b) 25,661,000 25,655,262 0.39%, 8/12/10 (b) 25,000,000 24,997,021 0.41%, 8/16/10 (b) 17,639,000 17,635,987 0.43%, 9/1/10 (b) 25,000,000 24,990,743 0.45%, 9/1/10 (b) 19,206,000 19,198,888 -------------- 142,462,651 -------------- TOTAL U.S. GOVERNMENT AGENCIES 364,076,371 -------------- U.S. TREASURY OBLIGATIONS (0.3%) U.S. TREASURY NOTES (0.3%) 2.38%, 8/31/10 10,000,000 10,015,365 -------------- TOTAL U.S. TREASURY OBLIGATIONS 10,015,365 -------------- CERTIFICATES OF DEPOSIT (8.9%) COMMERCIAL BANKS (2.7%) Bank of Montreal, 0.37%, 8/6/10 25,000,000 25,000,000 Toronto Dominion, 0.33%, 9/20/10 20,000,000 20,000,000 Toronto Dominion, 0.46%, 11/5/10 20,000,000 20,000,000 Toronto Dominion, 0.50%, 1/4/11 25,000,000 25,000,000 -------------- 90,000,000 -------------- COMMERCIAL BANKS-EASTERN U.S. (5.1%) Rabobank Nederland NV, 0.30%, 9/10/10 25,000,000 25,000,000 Rabobank Nederland NV, 0.44%, 1/28/11 35,000,000 35,000,000 Rabobank Nederland, New York Branch, 0.36%, 9/7/10 25,000,000 25,000,254
Continued 18 INSTITUTIONAL MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ -------------- CERTIFICATES OF DEPOSIT, CONTINUED COMMERCIAL BANKS-EASTERN U.S., CONTINUED Rabobank Nederland, New York Branch, 0.52%, 9/14/10 $ 15,000,000 $ 15,002,172 Societe Generale New York, Inc., 0.35%, 8/4/10 64,600,000 64,600,241 -------------- 164,602,667 -------------- COMMERCIAL BANKS-NON U.S. (1.1%) Societe Generale North America, Inc., 0.23%, 8/2/10 35,000,000 34,999,776 -------------- TOTAL CERTIFICATES OF DEPOSIT 289,602,443 -------------- COMMERCIAL PAPER (21.6%) ASSET BACKED COMMERCIAL PAPER (2.8%) Falcon Asset Securitization Co. LLC, 0.35%, 10/22/10 (b) 25,000,000 24,980,069 Old Line Funding LLC, 0.43%, 10/1/10 (b) 25,000,000 24,981,785 Old Line Funding LLC, 0.45%, 9/20/10 (b) 20,000,000 19,987,500 Old Line Funding LLC, 0.48%, 9/2/10 (b) 20,000,000 19,991,467 -------------- 89,940,821 -------------- BEVERAGES-NON ALCOHOLIC (1.2%) Coca-Cola Co. (The), 0.36%, 10/19/10 ** (b) 20,000,000 19,984,639 Coca-Cola Co. (The), 0.49%, 2/1/11 (b) 20,000,000 19,949,911 -------------- 39,934,550 -------------- COMMERCIAL BANKS NON-U.S. (4.7%) Bank of Nova Scotia, 0.34%, 9/22/10 ** 25,000,000 24,987,722 Bank of Nova Scotia, 0.35%, 9/13/10 25,000,000 24,999,992 Bank of Nova Scotia, 0.40%, 10/22/10 ** 20,000,000 19,981,778 Bank of Nova Scotia, 0.45%, 8/9/10 25,000,000 24,997,500 National Australia Funding, 0.36%, 1/3/11 (b) 35,000,000 34,945,750 National Australia Funding, 0.42%, 9/13/10 (b) 25,000,000 24,987,458 -------------- 154,900,200 -------------- COSMETICS & TOILETRIES (0.8%) Procter & Gamble Co. (The), 0.24%, 10/6/10 (b) 25,000,000 24,989,000 -------------- FIDUCIARY BANKS (2.8%) State Street Corp., 0.48%, 9/27/10 40,000,000 39,969,600 State Street Corp., 0.53%, 9/8/10 25,000,000 24,987,333 State Street Corp., 0.54%, 9/16/10 25,000,000 24,984,667 -------------- 89,941,600 --------------
Continued 19 INSTITUTIONAL MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ -------------- COMMERCIAL PAPER, CONTINUED FINANCE-AUTO LOANS (3.5%) Toyota Motor Credit Corp., 0.40%, 10/25/10 $ 35,000,000 $ 34,966,945 Toyota Motor Credit Corp., 0.50%, 10/1/10 35,000,000 34,970,347 Toyota Motor Credit Corp., 0.57%, 8/23/10 20,000,000 19,993,033 Toyota Motor Credit Corp., 0.57%, 9/9/10 25,000,000 24,984,563 -------------- 114,914,888 -------------- FOOD-MISCELLANEOUS/DIVERSIFIED (1.5%) Nestle Capital Corp., 0.38%, 12/6/10 ** (b) 25,000,000 24,966,486 Nestle Capital Corp., 0.39%, 12/14/10 (b) 25,000,000 24,963,438 -------------- 49,929,924 -------------- MEDICAL-HOSPITALS (0.4%) Essentia Health, 0.23%, 8/27/10 (LOC: Wells Fargo) 14,000,000 13,996,663 -------------- REGIONAL AUTHORITY (0.3%) Texas Public Finance Authority, 0.35%, 8/9/10 8,450,000 8,450,000 -------------- SCHOOLS (1.1%) University of Michigan, 0.26%, 9/1/10 25,000,000 25,000,000 University of Michigan, 0.37%, 10/4/10 12,000,000 12,000,000 -------------- 37,000,000 -------------- U.S. MUNICIPALS (0.6%) Walnut Energy Center Authority, 0.35%, 9/22/10, (LOC: State Street Corp.) 19,980,000 19,969,899 -------------- WATER (1.9%) Massachusetts State Water Resources, 0.30%, 8/5/10 (LOC: Bayerische Landesbank) 63,000,000 63,000,000 -------------- TOTAL COMMERCIAL PAPER 706,967,545 -------------- DEMAND NOTES (3.8%) BUILDING PRODUCTS-CEMENT & AGGREGATE (0.7%) Sioux City Brick & Tile Co., 0.32%, 12/1/36, (LOC: US Bancorp) (a) (b) 23,450,000 23,450,000 -------------- FINANCE-OTHER SERVICES (0.9%) Lexington Financial Services LLC, 0.31%, 1/1/33, (LOC: Bank of America) (a) 29,335,000 29,335,000 -------------- SPECIAL PURPOSE ENTITY (2.2%) Corporate Finance Managers, Inc., 0.32%, 2/2/43, (LOC: Wells Fargo & Co.) (a) 11,945,000 11,945,000 Erickson Foundation, Inc. (The), 0.31%, 12/1/17, (LOC: FHLB) (a) 25,000,000 25,000,000
Continued 20 INSTITUTIONAL MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ -------------- DEMAND NOTES, CONTINUED SPECIAL PURPOSE ENTITY, CONTINUED Gulf Gate Apartments, Series 2003, 0.32%, 9/1/28, (LOC: Wells Fargo & Co.) (a) (b) $ 7,295,000 $ 7,295,000 Pershing Drive Associates L.P., 0.44%, 12/15/28, (LOC: Royal Bank of Canada) (a) 11,090,000 11,090,000 Rush Medical Foundation, 0.31%, 12/1/31, (LOC: US Bank) (a) 5,400,000 5,400,000 Saddleback Valley Community Church, 0.31%, 11/1/38, (LOC: FHLB) (a) 11,090,000 11,090,000 -------------- 71,820,000 -------------- TOTAL DEMAND NOTES 124,605,000 -------------- MUNICIPAL DEMAND NOTES (26.6%) ARIZONA (0.3%) Glendale Industrial Development Authority, Thunderbird, Garvin School, Series B, 0.30%, 7/1/35, (LOC: Bank of New York Co., Inc.) (a) 11,255,000 11,255,000 -------------- CALIFORNIA (0.9%) Sacramento County Housing Authority, Multi-Family, Natomas Park Apartments, Series B, 0.33%, 7/15/35, (LOC: FNMA) (a) 915,000 915,000 Statewide Communities Development Authority, Multi-Family Housing, Series X-T, 0.37%, 10/15/32, (LOC: FNMA) (a) 300,000 300,000 Statewide Communities Development Authority, Multi-Family, Valley Palms Apartments, Series C-T, 0.30%, 5/15/35, (LOC: FNMA) (a) 1,835,000 1,835,000 Economic Recovery Bonds, Series C-11, GO, 0.21%, 7/1/23, (LOC: BNP Paribas) (a) 14,900,000 14,900,000 Housing Finance Agency, Housing Program Bonds, Series B, 0.30%, 8/1/36, (LOC: FMNA/FHLMC) (a) 9,155,000 9,155,000 Kern Water Bank Authority, Series B, 0.32%, 7/1/28, (LOC: Wells Fargo & Co.) (a) 3,716,000 3,716,000 -------------- 30,821,000 -------------- COLORADO (0.6%) Housing & Finance Authority, Single Family Mortgage Bonds, Series I, 0.33%, 11/1/36, (LOC: FMNA/FHLMC) (a) 6,430,000 6,430,000 Housing & Finance Authority, Single Family Mortgage Bonds, Series I-B2, 0.31%, 11/1/33, (LOC: FMNA/FHLMC) (a) 12,405,000 12,405,000 -------------- 18,835,000 -------------- DISTRICT OF COLUMBIA (0.9%) District of Columbia, Georgetown University, Series B-2, 0.22%, 4/1/41, (LOC: JP Morgan, Inc.) (a) 13,280,000 13,280,000
Continued 21 INSTITUTIONAL MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ -------------- MUNICIPAL DEMAND NOTES, CONTINUED DISTRICT OF COLUMBIA, CONTINUED District of Columbia, Georgetown University, Series C, 0.22%, 4/1/42, (LOC: TD Bank N.A.) (a) $ 15,000,000 $ 15,000,000 -------------- 28,280,000 -------------- FLORIDA (2.7%) University South Florida Research Foundation, Inc., Series C, 0.35%, 8/1/34, (LOC: Bank of America) (a) 9,800,000 9,800,000 Miami-Dade County Industrial Development Authority, Dolphin Stadium Project, 0.30%, 7/1/37, (LOC: Societe Generale) (a) 45,000,000 45,000,000 Municipal Power Agency, All Required Project, Series D, 0.32%, 10/1/25, (LOC: Bank of America) (a) 32,295,000 32,295,000 -------------- 87,095,000 -------------- GEORGIA (0.3%) Augusta Housing Authority, Westbury Creek Apartments, Series B, 0.37%, 5/15/33, (LOC: FNMA) (a) 500,000 500,000 Winder-Barrow County Joint Development Authority, Republic Services, Inc. Project, 0.25%, 11/1/34, (LOC: Wells Fargo & Co.) (a) 8,800,000 8,800,000 -------------- 9,300,000 -------------- ILLINOIS (2.0%) City of Chicago Midway Airport Revenue, Series A-2, 0.32%, 1/1/25, (LOC: JP Morgan, Inc.) (a) 16,500,000 16,500,000 County of Will, Exxon Mobil Project, AMT, 0.16%, 4/1/26, (LOC: Exxon Mobil Corp.) (a) 20,000,000 20,000,000 Finance Authority, Commonwealth Edison Co. Project, Series F, 0.24%, 3/1/17, (LOC: JP Morgan, Inc.) (a) 10,100,000 10,100,000 Finance Authority, Fairview Village, Series E, 0.31%, 8/15/42, (LOC: Bank of America) (a) 6,135,000 6,135,000 Finance Authority, Franciscan Communities, Series B, 0.40%, 5/1/36, (LOC: Bank of America) (a) 11,655,000 11,655,000 -------------- 64,390,000 -------------- INDIANA (2.0%) City of Indianapolis Development, Multi-Family Housing, Pedcor Investments, Series B, 0.50%, 11/1/36, (LOC: FHLB) (a) 951,000 951,000 County of Vigo, Republic Services, Inc. Project, AMT, 0.32%, 7/1/33, (LOC: Wells Fargo & Co.) (a) 10,000,000 10,000,000 Health Facility Financing Authority, Community Foundation of Northwest Indiana, Series B, 0.31%, 8/1/25, (LOC: Bank of Montreal) (a) 20,580,000 20,580,000
Continued 22 INSTITUTIONAL MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ -------------- MUNICIPAL DEMAND NOTES, CONTINUED INDIANA, CONTINUED Housing & Community Development Authority, Series A-2, AMT, 0.29%, 1/1/37, (LOC: FNMA/FHLMC) (a) $ 25,000,000 $ 25,000,000 Terre Haute, Westminister Village, Series B, 0.39%, 8/1/36, (LOC: Banco Santander SA) (a) 9,300,000 9,300,000 -------------- 65,831,000 -------------- KENTUCKY (2.5%) County of Boone, Northern Kentucky University Metropolitan Education and Training Services Center Project, 0.47%, 6/1/23, (LOC: U.S. Bancorp) (a) 4,445,000 4,445,000 Louisville & Jefferson County Regional Airport Authority, Series A, AMT, 0.31%, 1/1/29, (LOC: United Parcel Service, Inc.) (a) 37,000,000 37,000,000 Louisville & Jefferson County Regional Airport Authority, Series C, AMT, 0.19%, 1/1/29, (LOC: United Parcel Service, Inc.) (a) 40,500,000 40,500,000 -------------- 81,945,000 -------------- MARYLAND (1.1%) Health & Higher Educational Facilities Authority, Adventist Healthcare, Series B, 0.31%, 1/1/35, (LOC: Deutsche Bank) (a) 21,995,000 21,995,000 Health & Higher Educational Facilities Authority, Charlestown Community, Series B, 0.32%, 1/1/28, (LOC: Bank of America) (a) 14,500,000 14,500,000 -------------- 36,495,000 -------------- MASSACHUSETTS (1.1%) Development Finance Agency, Briarwood, Series B, 0.39%, 1/1/35, (LOC: Banco Santander SA) (a) 8,650,000 8,650,000 Development Finance Agency, Linden Ponds, Inc., Series C, 0.46%, 11/1/42, (LOC: Banco Santander SA) (a) 10,000,000 10,000,000 Simmons College, 0.34%, 10/1/22, (LOC: JP Morgan, Inc.) (a) 17,260,000 17,260,000 -------------- 35,910,000 -------------- MICHIGAN (0.4%) Charter Township of Canton, GO, 2.75%, 3/1/11, (LOC: Comerica Bank) 500,000 500,000 Charter Township of Ypsilanti, Capital Improvements, Series B, GO, 2.75%, 4/1/19, (LOC: Comerica Bank) 2,280,000 2,280,000 University of Michigan Hospital, Series A, 0.21%, 12/1/35, (LOC: University of Michigan) (a) 10,500,000 10,500,000 -------------- 13,280,000 --------------
Continued 23 INSTITUTIONAL MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ -------------- MUNICIPAL DEMAND NOTES, CONTINUED MINNESOTA (0.7%) City of Plymouth, Carlson Center Project, 0.37%, 4/1/12, (LOC: U.S. Bancorp) (a) $ 400,000 $ 400,000 City of St Paul, 0.32%, 11/1/25, (LOC: U.S. Bancorp) (a) 12,100,000 12,100,000 Office of Higher Education, Supplemental Student Loan, Series A, 0.32%, 12/1/43, (LOC: U.S. Bancorp) (a) 10,000,000 10,000,000 -------------- 22,500,000 -------------- MISSISSIPPI (2.5%) Business Finance Corp., Chevron USA, Inc. Project, Series B, 0.25%, 12/1/30, (LOC: Chevron) (a) 20,000,000 20,000,000 Business Finance Corp., Chevron USA, Inc. Project, Series C, 0.17%, 12/1/30, (LOC: Chevron) (a) 35,050,000 35,050,000 Business Finance Corp., Chevron USA, Inc. Project, Series G, 0.18%, 12/1/30, (LOC: Chevron) (a) 26,000,000 26,000,000 -------------- 81,050,000 -------------- NEW MEXICO (0.1%) City of Albuquerque Industrial, KTECH Corp. Project, 0.37%, 11/1/22, (LOC: Wells Fargo & Co.) (a) 3,940,000 3,940,000 City of Albuquerque Industrial, KTECH Corp. Project, 0.37%, 8/1/25, (LOC: Wells Fargo & Co.) (a) 1,400,000 1,400,000 -------------- 5,340,000 -------------- NEW YORK (0.2%) New York City Housing Development Corp., Verde Apartments, Series A, 0.34%, 1/1/16, (LOC: JP Morgan, Inc.) (a) 6,300,000 6,300,000 -------------- OHIO (2.3%) Air Quality Development Authority, AK Steel Project, Series B, 0.35%, 6/1/24, (LOC: Royal Bank of Scotland) (a) 26,000,000 26,000,000 City of Cleveland, Airport System, Series B, 0.34%, 1/1/20, (LOC: U.S. Bancorp) (a) 5,875,000 5,875,000 County of Cuyahoga Health Care Facilities, Franciscan Communities, Series F, 0.40%, 5/15/12, (LOC: Bank of America) (a) 605,000 605,000 County of Hamilton Hospital Facilities Revenue, Elizabeth Gamble, Series A, 0.27%, 6/1/27, (LOC: Northern Trust Company) (a) 35,000,000 35,000,000 Ohio State University (The), 0.20%, 12/1/21, (LOC: Ohio State University) (a) 6,700,000 6,700,000 -------------- 74,180,000 -------------- PENNSYLVANIA (1.4%) Berks County Municipal Authority, Phoebe-Devitt Homes Project, Series C, 0.39%, 5/15/22, (LOC: Banco Santander SA) (a) 2,645,000 2,645,000
Continued 24 INSTITUTIONAL MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ -------------- MUNICIPAL DEMAND NOTES, CONTINUED PENNSYLVANIA, CONTINUED Blair County Industrial Development Authority, 0.31%, 10/1/28, (LOC: PNC Bank NA) (a) $ 9,000,000 $ 9,000,000 Delaware County Industrial Development Authority, 0.22%, 12/1/15, (LOC: United Parcel Service, Inc.) (a) 33,370,000 33,370,000 -------------- 45,015,000 -------------- SOUTH CAROLINA (1.1%) Jobs-Economic Development Authority, Republic Services, Inc. Project, 0.25%, 4/1/34, (LOC: Wells Fargo & Co.) (a) 6,750,000 6,750,000 Jobs-Economic Development Authority, University Medical Associations Refinance Project, 0.25%, 7/1/37, (LOC: Wells Fargo & Co.) (a) (b) 28,100,000 28,100,000 -------------- 34,850,000 -------------- TEXAS (2.7%) Lower Neches Valley Authority Industrial Development Corp., ExxonMobil Project, Series B-4, AMT, 0.16%, 3/1/33, (LOC: Exxon Mobil Corp.) (a) 10,330,000 10,330,000 Port Corpus Christi Industrial Development Corp., Citgo Petroleum Rmkt, AMT, 0.30%, 11/1/31, (LOC: BNP Paribas) (a) 29,200,000 29,200,000 State Veterans Housing Fund, Series A-2, AMT, GO, 0.27%, 12/1/29, (LOC: Wells Fargo & Co.) (a) 14,700,000 14,700,000 Veterns Housing Assistance Program, Series A, GO, AMT, 0.28%, 12/1/34, (LOC: State Street Corp.) (a) 29,110,000 29,110,000 Veterns Housing Assistance Program, Series A-2, GO, 0.30%, 12/1/29, (LOC: JP Morgan, Inc.) (a) 5,000,000 5,000,000 -------------- 88,340,000 -------------- UTAH (0.1%) Telecommunication Open Infrastructure Agency, 0.33%, 6/1/40, (LOC: FHLB) (a) 2,000,000 2,000,000 -------------- VIRGINIA (0.2%) Alexandria Industrial Development Authority, American Academy of Otolaryngology, Series A, 0.32%, 7/1/30, (LOC: Bank of America) (a) 8,450,000 8,450,000 -------------- WASHINGTON (0.2%) State Housing Finance Commission, Multi-Family, Granite Falls Retirement Plaza, Series B, 0.36%, 10/1/27, (LOC: Wells Fargo & Co.) (a) 845,000 845,000
Continued 25 INSTITUTIONAL MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ -------------- MUNICIPAL DEMAND NOTES, CONTINUED WASHINGTON, CONTINUED State Housing Finance Commission, Multi-Family, Sir Summer Ridge Associates, Series B, 0.32%, 12/1/29, (LOC: U.S. Bancorp) (a) $ 405,000 $ 405,000 State Housing Finance Commission, Multi-Family, Vintage At Everett, Series B, 0.33%, 1/15/38, (LOC: FNMA) (a) 1,285,000 1,285,000 State Housing Finance Commission, Rockwood Retirement Communities, Series B, 0.30%, 1/1/30, (LOC: Wells Fargo & Co.) (a) 3,945,000 3,945,000 -------------- 6,480,000 -------------- WEST VIRGINIA (0.3%) Brooke County, Bethany College Project, Series B, 0.33%, 12/1/37, (LOC: PNC Bank NA) (a) 5,000,000 5,000,000 Economic Development Authority, Appalachian Power Co., Series B, 0.20%, 12/1/42, (LOC: U.S. Bancorp) (a) 5,600,000 5,600,000 -------------- 10,600,000 -------------- TOTAL MUNICIPAL DEMAND NOTES 868,542,000 -------------- SHARES ------------ MONEY MARKETS (3.9%) AIM STIT Liquid Assets Portfolio (c) 127,543,835 127,543,835 Goldman Sachs Financial Square Prime Obligations Fund (c) 1,278,143 1,278,143 -------------- TOTAL MONEY MARKETS 128,821,978 -------------- PRINCIPAL AMOUNT ------------ REPURCHASE AGREEMENTS (16.7%) Barclays PLC, 0.21%, dated 7/30/10, due 8/2/10, (Repurchase proceeds, $150,002,625, Collateralized by U.S. Treasury Security, 2.25%, 1/31/15, value $153,000,037) $150,000,000 150,000,000 Deutsche Bank, 0.20%, dated 7/30/10, due 8/2/10, (Repurchase proceeds, $290,004,834, Collateralized by various U.S. Government Agency Securities, 0.00%-6.63%, 9/13/10-10/17/36, value $295,800,631) 290,000,000 290,000,000 Toronto Dominion, 0.22%, dated 7/30/10, due 8/2/10, (Repurchase proceeds, $100,001,833, Collateralized by U.S. Treasury Security, 2.00%, 9/30/10, value $102,000,096) 100,000,000 100,000,000
Continued 26 INSTITUTIONAL MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ -------------- REPURCHASE AGREEMENTS, CONTINUED UBS Investment Bank, 0.19%, dated 7/30/10, due 8/2/10, (Repurchase proceeds, $7,522,119, Collateralized by Federal Farm Credit Banks, 0.00%, 12/8/11-1/25/13, value $7,673,018) $ 7,522,000 $ 7,522,000 -------------- TOTAL REPURCHASE AGREEMENTS 547,522,000 -------------- TOTAL INVESTMENTS (COST $3,269,336,141)(+) - 99.9% 3,269,336,141 OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% 3,342,746 -------------- NET ASSETS - 100.0% $3,272,678,887 ==============
NOTES TO SCHEDULE OF INVESTMENTS ** Rate represents the effective yield at purchase. (+) Also represents cost for federal income tax purposes. (a) Variable rate security. Rate presented represents rate in effect at July 31, 2010. (b) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund's advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. (c) Investment is in Institutional Shares of underlying fund/portfolio. (d) FDIC guaranteed through Treasury Liquidity Guarantee Program The following abbreviations are used in the Schedule of Investments: AMT - Alternative Minimum Tax FHLB - Federal Home Loan Bank FHLMC - Federal Home Loan Mortgage Corporation FNMA - Federal National Mortgage Association GO - General Obligation LOC - Letter of Credit At July 31, 2010, Institutional Money Market's investments were in the following countries:
COUNTRY ------------------------------------------------------------------------------------------------- Canada 3.7% France 2.0% Netherlands 1.8% United States 92.5% -------------- TOTAL 100.0% ==============
See notes to schedules of investments and notes to financial statements. 27 INSTITUTIONAL GOVERNMENT MONEY MARKET SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ -------------- CORPORATE BONDS (2.2%) U.S GOVERNMENT AGENCIES (2.2%) Bank of America NA, 0.72%, 12/23/10 (a) (d) $ 8,025,000 $ 8,038,097 General Electric Capital Corp., Series G, 1.63%, 1/7/11 (d) 17,604,000 17,688,532 Goldman Sachs Group, Inc. (The), 0.62%, 3/15/11 (a) (d) 5,560,000 5,568,635 Morgan Stanley, 2.90%, 12/1/10 (d) 10,000,000 10,080,445 SunTrust Bank, 1.19%, 12/16/10 (a) (d) 5,000,000 5,012,211 -------------- TOTAL CORPORATE BONDS 46,387,920 -------------- MORTGAGE-BACKED SECURITIES (3.3%) CMBS OTHER (3.3%) Freddie Mac, 0.33%, 8/15/21 (a) 2,515,000 2,515,000 Freddie Mac, 0.33%, 1/15/42 (a) 41,225,348 41,225,348 Freddie Mac, 0.33%, 10/15/45 (a) 25,347,365 25,347,365 -------------- TOTAL MORTGAGE-BACKED SECURITIES 69,087,713 -------------- U.S. GOVERNMENT AGENCIES (59.4%) FANNIE MAE (12.8%) 0.12%, 8/2/10 ** 25,000,000 24,999,917 0.15%, 8/18/10 ** 69,848,000 69,843,052 0.23%, 8/11/10 ** 20,000,000 19,998,722 0.23%, 10/18/10 ** 3,865,000 3,863,158 0.25%, 8/12/10 ** 11,910,000 11,909,090 0.28%, 10/20/10 ** 15,000,000 14,990,667 0.30%, 8/5/10 (a) 7,400,000 7,400,044 0.30%, 10/4/10 ** 20,927,000 20,915,661 0.32%, 11/15/10 ** 15,000,000 14,985,867 0.35%, 12/1/10 ** 12,000,000 11,986,173 0.39%, 6/1/11 ** 10,000,000 9,967,066 0.42%, 7/6/11 ** 5,000,000 4,980,225 1.50%, 9/16/10 10,025,000 10,040,502 1.75%, 3/23/11 4,170,000 4,206,258 2.88%, 10/12/10 17,805,000 17,894,011 3.25%, 8/12/10 5,000,000 5,004,056 5.50%, 3/15/11 10,000,000 10,316,483 6.63%, 11/15/10 2,588,000 2,635,296 -------------- 265,936,248 -------------- FEDERAL FARM CREDIT BANK (6.5%) 0.18%, 9/21/10 (a) 50,000,000 50,000,000 0.25%, 1/24/11 (a) 25,000,000 24,998,797 0.37%, 1/28/11 (a) 2,675,000 2,676,607 0.42%, 7/1/11 (a) 5,400,000 5,406,028 0.43%, 5/18/11 (a) 21,500,000 21,524,129 0.70%, 1/4/11 (a) 3,400,000 3,406,300
Continued 28 INSTITUTIONAL GOVERNMENT MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ -------------- U.S. GOVERNMENT AGENCIES, CONTINUED FEDERAL FARM CREDIT BANK, CONTINUED 1.60%, 1/12/11 $ 10,000,000 $ 10,054,917 3.75%, 12/6/10 7,475,000 7,565,672 5.25%, 9/13/10 10,356,000 10,415,261 -------------- 136,047,711 -------------- FEDERAL HOME LOAN BANK (16.2%) 0.20%, 9/29/10 ** 25,000,000 24,992,010 0.24%, 7/11/11 (a) 25,000,000 24,992,948 0.25%, 11/18/10 (a) 25,000,000 25,000,000 0.26%, 11/26/10 (a) 20,000,000 20,000,643 0.28%, 11/5/10 ** 20,000,000 19,985,067 0.30%, 5/13/11 (a) 3,000,000 2,999,980 0.31%, 11/19/10 (a) 26,500,000 26,496,374 0.50%, 10/29/10 9,000,000 9,003,439 0.57%, 4/13/11 16,000,000 16,002,176 0.88%, 1/20/11 1,000,000 1,002,116 0.95% 2/3/11 8,800,000 8,828,357 1.13%, 6/3/11 11,450,000 11,517,254 1.63%, 1/21/11 13,625,000 13,703,257 1.63%, 3/16/11 4,290,000 4,323,343 3.13%, 6/10/11 7,275,000 7,442,582 3.25%, 3/11/11 15,410,000 15,671,125 3.38%, 8/13/10 10,000,000 10,010,090 3.38%, 10/20/10 6,475,000 6,517,835 3.38%, 6/24/11 10,000,000 10,266,706 3.50%, 12/10/10 6,375,000 6,447,569 4.13%, 8/13/10 14,700,000 14,717,611 4.25%, 11/2/10 25,000,000 25,253,657 4.25%, 6/10/11 4,700,000 4,851,927 4.38%, 10/22/10 5,000,000 5,045,746 4.75%, 8/13/10 7,025,000 7,035,169 4.88%, 12/10/10 2,200,000 2,235,528 5.13%, 9/10/10 13,600,000 13,669,028 -------------- 338,011,537 -------------- FREDDIE MAC (13.8%) 0.20%, 2/1/11 (a) 13,842,000 13,838,647 0.24%, 8/20/10 ** 15,000,000 14,998,140 0.25%, 5/4/11 (a) 30,000,000 30,005,900 0.26%, 1/3/11 ** 15,000,000 14,983,208 0.28%, 9/20/10 ** 20,000,000 19,992,222 0.31%, 11/9/10 ** 10,000,000 9,991,389 0.33%, 7/15/43 (a) 7,125,000 7,125,000 0.34%, 12/16/10 ** 5,000,000 4,993,530 0.38%, 8/10/10 (a) 25,000,000 25,000,000 0.51%, 12/30/10 (a) 16,000,000 16,004,930
Continued 29 INSTITUTIONAL GOVERNMENT MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ -------------- U.S. GOVERNMENT AGENCIES, CONTINUED FREDDIE MAC, CONTINUED 0.51%, 1/14/11 (a) $ 1,620,000 $ 1,620,306 0.52%, 9/3/10 (a) 20,000,000 20,001,482 0.61%, 3/9/11 (a) 25,000,000 25,023,120 1.50%, 1/7/11 10,000,000 10,048,324 1.63%, 4/26/11 8,000,000 8,071,438 3.13%, 10/25/10 10,000,000 10,064,888 3.50%, 5/5/11 8,820,000 9,026,590 4.13%, 10/18/10 5,883,000 5,929,604 4.50%, 12/16/10 2,000,000 2,030,649 5.00%, 10/18/10 2,000,000 2,019,406 5.13%, 8/23/10 3,550,000 3,560,106 5.25%, 7/18/11 5,950,000 6,224,439 6.88%, 9/15/10 25,500,000 25,705,023 -------------- 286,258,341 -------------- OVERSEAS PRIVATE INVESTMENT CORP. (5.7%) 0.23%, 12/31/11 (a) 28,840,000 28,840,000 0.23%, 5/15/21 (a) 49,114,000 49,114,000 0.23%, 3/15/24 (a) 9,822,002 9,822,002 0.23%, 3/15/24 (a) 14,473,684 14,473,684 0.23%, 3/15/24 (a) 16,885,965 16,885,965 -------------- 119,135,651 -------------- STRAIGHT-A FUNDING LLC (4.4%) 0.35%, 8/24/10 (b) 15,000,000 14,996,646 0.39%, 8/9/10 (b) 20,000,000 19,998,267 0.43%, 8/16/10 (b) 15,000,000 14,997,375 0.43%, 9/1/10 (b) 12,000,000 11,995,557 0.43%, 9/27/10 (b) 15,000,000 14,991,687 0.45%, 10/13/10 (b) 15,000,000 14,989,354 -------------- 91,968,886 -------------- TOTAL U.S. GOVERNMENT AGENCIES 1,237,358,374 -------------- U.S. TREASURY OBLIGATIONS (0.3%) U.S. TREASURY NOTES (0.3%) 2.38%, 8/31/10 5,000,000 5,007,683 -------------- TOTAL U.S. TREASURY OBLIGATIONS 5,007,683 --------------
Continued 30 INSTITUTIONAL GOVERNMENT MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
SHARES VALUE ------------ -------------- MONEY MARKETS (0.5%) AIM STIT Government & Agency Portfolio (c) 10,122,327 $ 10,122,327 Goldman Sachs Financial Square Government Fund (c) 285,546 285,546 -------------- TOTAL MONEY MARKETS 10,407,873 -------------- PRINCIPAL AMOUNT ------------ REPURCHASE AGREEMENTS (34.1%) Bank of America Securities, LLC, 0.20%, dated 7/30/10, due 8/2/10, (Repurchase proceeds, $180,003,000, Collateralized by U.S. Treasury, 4.88%, 4/30/11, value $183,600,020) $180,000,000 180,000,000 Barclays PLC, 0.21%, dated 7/30/10, due 8/2/10, (Repurchase proceeds, $205,003,588, Collateralized by U.S. Treasury, 3.63%, 8/15/19, value $209,100,001) 205,000,000 205,000,000 Deutsche Bank, 0.20%, dated 7/30/10, due 8/2/10, (Repurchase proceeds, $150,002,500, Collateralized by various U.S. Government Agency Securities, 1.19%-5.63%, 5/24/12-4/19/35, value $153,001,877) 150,000,000 150,000,000 Toronto Dominion, 0.22%, dated 7/30/10, due 8/2/10, (Repurchase proceeds, $150,002,750, Collateralized by U.S. Treasury Security and Federal Home Loan Mortgage, 0.00%-1.38%, 1/12/11-11/15/12, value $153,000,050) 150,000,000 150,000,000 UBS Investment Bank, 0.19%, dated 7/30/10, due 8/2/10, (Repurchase proceeds, $25,067,397, Collateralized by various U.S. Government Agency Securities, 0.00%-4.88%, 11/17/11-11/29/19, value $25,568,776) 25,067,000 25,067,000 -------------- TOTAL REPURCHASE AGREEMENTS 710,067,000 -------------- TOTAL INVESTMENTS (COST $2,078,316,563)(+) - 99.8% 2,078,316,563 OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% 3,658,494 -------------- NET ASSETS - 100.0% $2,081,975,057 ==============
Continued 31 INSTITUTIONAL GOVERNMENT MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS ** Rate represents the effective yield at purchase. (+) Also represents cost for federal income tax purposes. (a) Variable rate security. Rate presented represents rate in effect at July 31, 2010. (b) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund's advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. (c) Investment is in Institutional Shares of underlying fund/portfolio. (d) FDIC guaranteed through Treasury Liquidity Guarantee Program The following abbreviation is used in the Schedule of Investments: CMBS - Commercial Mortgage-Backed Security See notes to schedules of investments and notes to financial statements. 32 U.S. TREASURY MONEY MARKET SCHEDULE OF INVESTMENTS JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ -------------- CORPORATE BONDS (8.8%) U.S. GOVERNMENT AGENCIES (8.8%) American Express Bank FSB, 1.19%, 12/10/10 (a) (c) $ 38,700,000 $ 38,830,302 Bank of America Corp., 1.04%, 12/2/10 (a) (c) 14,825,000 14,854,321 Bank of America NA, 0.57%, 9/13/10 (a) (c) 9,650,000 9,651,081 Citibank NA, 1.5%, 7/12/11 (c) 17,100,000 17,274,897 General Electric Capital Corp., Series G, 1.63%, 1/7/11 (c) 15,000,000 15,081,004 Morgan Stanley, 2.90%, 12/1/10 (c) 14,644,000 14,765,370 SunTrust Bank, 1.19%, 12/16/10 (a) (c) 14,685,000 14,726,536 -------------- TOTAL CORPORATE BONDS 125,183,511 -------------- U.S. GOVERNMENT AGENCIES (2.1%) OVERSEAS PRIVATE INVESTMENT CORP. (2.1%) 0.23%, 12/15/19 (a) 30,000,000 30,000,000 -------------- TOTAL U.S. GOVERNMENT AGENCIES 30,000,000 -------------- U.S. TREASURY BILLS (16.2%) 0.09%, 8/12/10 ** 60,000,000 59,997,974 0.17%, 8/26/10 ** 50,000,000 49,993,000 0.19%, 1/13/11 ** 25,000,000 24,977,943 0.20%, 12/30/10 ** 25,000,000 24,978,503 0.20%, 1/27/11 ** 25,000,000 24,975,512 0.22%, 10/14/10 ** 10,000,000 9,995,478 0.23%, 9/16/10 ** 20,000,000 19,994,237 0.25%, 11/18/10 ** 15,000,000 14,988,646 -------------- TOTAL U.S. TREASURY BILLS 229,901,293 -------------- U.S. TREASURY NOTES (13.8%) 0.88%, 1/31/11 50,000,000 50,142,628 0.88%, 2/28/11 40,000,000 40,112,373 0.88%, 3/31/11 25,000,000 25,080,837 1.00%, 7/31/11 10,000,000 10,064,912 2.38%, 8/31/10 35,000,000 35,057,676 4.25%, 10/15/10 35,000,000 35,277,687 -------------- TOTAL U.S. TREASURY NOTES 195,736,113 -------------- SHARES ------------ MONEY MARKETS (0.1%) AIM STIT Treasury Portfolio (b) 600,971 600,971 Goldman Sachs Financial Square Treasury Obligations Fund (b) 681,106 681,106 -------------- TOTAL MONEY MARKETS 1,282,077 --------------
Continued 33 U.S. TREASURY MONEY MARKET SCHEDULE OF INVESTMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------ -------------- REPURCHASE AGREEMENTS (60.1%) Bank of America Securities, LLC, 0.19%, dated 7/30/10, due 8/2/10, (Repurchase proceeds, $138,701,196, Collateralized by U.S. Treasury Security, 2.63%, 2/29/16, value $141,473,027) $138,699,000 $ 138,699,000 Barclays PLC, 0.21%, dated 7/30/10, due 8/2/10, (Repurchase proceeds, $185,003,238, Collateralized by U.S. Treasury Security, 2.25%, 1/31/15, value $188,700,046) 185,000,000 185,000,000 BMO Nesbitt Burns, 0.20%, dated 7/30/10, due 8/2/10, (Repurchase proceeds, $200,003,333, Collateralized by various U.S. Treasury Securities, 1.00%-3.13%, 8/31/11-10/31/16, value $204,000,015) 200,000,000 200,000,000 Deutsche Bank, 0.19%, dated 7/30/10, due 8/2/10, (Repurchase proceeds, $150,002,375, Collateralized by U.S. Treasury Security, 2.38%, 2/28/15, value $153,000,089) 150,000,000 150,000,000 Toronto Dominion, 0.22%, dated 7/30/10, due 8/2/10, (Repurchase proceeds, $180,003,300, Collateralized by various U.S. Treasury Securities, 1.38%-3.13%, 11/15/12-5/15/19, value $183,600,084) 180,000,000 180,000,000 -------------- TOTAL REPURCHASE AGREEMENTS 853,699,000 -------------- TOTAL INVESTMENTS (COST $1,435,801,994)(+) - 101.1% 1,435,801,994 LIABILITIES IN EXCESS OF OTHER ASSETS - (1.1)% (15,936,609) -------------- NET ASSETS - 100.0% $1,419,865,385 ==============
NOTES TO SCHEDULE OF INVESTMENTS ** Rate represents the effective yield at purchase. (+) Also represents cost for federal income tax purposes. (a) Variable rate security. Rate presented represents rate in effect at July 31, 2010. (b) Investment is in Institutional Shares of underlying fund/portfolio. (c) FDIC guaranteed through Treasury Liquidity Guarantee Program. See notes to schedules of investments and notes to financial statements. 34 This page intentionally left blank. 35 FIFTH THIRD FUNDS STATEMENTS OF ASSETS AND LIABILITIES JULY 31, 2010 --------------------------------------------------------------------------------
PRIME MONEY MARKET -------------- ASSETS: Investments, at amortized cost and value $ 789,420,943 Repurchase agreement, at cost and value 119,505,000 -------------- Total Investments 908,925,943 Cash -- Interest receivable 1,462,246 Receivable for investments sold 12,295,371 Receivable for Fund shares sold 68,031 Receivable from Advisor and affiliates 54,067 Prepaid expenses and other assets 44,779 -------------- Total Assets 922,850,437 -------------- LIABILITIES: Cash overdraft 1,892 Distributions payable 6,117 Payable for investments purchased 8,034,417 Payable for Fund shares redeemed 5,724 ACCRUED EXPENSES AND OTHER PAYABLES: Payable to Advisor and affiliates -- Distribution and administrative servicing fee 281,297 Other 81,235 -------------- Total Liabilities 8,410,682 -------------- NET ASSETS: Paid-in Capital $ 915,592,645 Accumulated net investment income 139,925 Accumulated net realized gain (loss) from investment transactions (1,292,815) -------------- Net Assets $ 914,439,755 ============== NET ASSETS: Institutional Shares $ 483,485,810 Class A Shares 429,678,458 Class B Shares 1,177,850 Class C Shares 97,637 Select Shares NA Preferred Shares NA Trust Shares NA -------------- Total $ 914,439,755 ============== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value): Institutional Shares 484,189,495 Class A Shares 430,301,711 Class B Shares 1,179,647 Class C Shares 97,774 Select Shares NA Preferred Shares NA Trust Shares NA -------------- Total 915,768,627 ============== NET ASSET VALUE Offering and redemption price per share - Institutional Shares, Class A Shares, Class B Shares, Class C Shares, Select Shares, Preferred Shares and Trust Shares(a) $ 1.00 ==============
-------------- (a) Redemption price per share for Class B Shares and Class C Shares varies by length of time shares are held. See notes to financial statements. 36 FIFTH THIRD FUNDS STATEMENTS OF ASSETS AND LIABILITIES JULY 31, 2010 --------------------------------------------------------------------------------
INSTITUTIONAL INSTITUTIONAL GOVERNMENT U.S. TREASURY MONEY MARKET MONEY MARKET MONEY MARKET ------------- -------------- -------------- $2,721,814,141 $1,368,249,563 $ 582,102,994 547,522,000 710,067,000 853,699,000 -------------- -------------- -------------- 3,269,336,141 2,078,316,563 1,435,801,994 -- 801 93,855 4,379,824 3,935,911 1,481,410 -- -- -- 58,580 128,625 9,882 -- -- -- 81,841 76,686 73,381 -------------- -------------- -------------- 3,273,856,386 2,082,458,586 1,437,460,522 -------------- -------------- -------------- 7,045 -- -- 127,493 56,381 18,474 20,026 1,413 17,290,832 351,610 -- 2,316 444,869 196,741 110,261 141,458 166,491 125,451 84,998 62,503 47,803 -------------- -------------- -------------- 1,177,499 483,529 17,595,137 -------------- -------------- -------------- $3,275,279,173 $2,081,958,984 $1,419,818,594 42,757 32,829 46,791 (2,643,043) (16,756) -- -------------- -------------- -------------- $3,272,678,887 $2,081,975,057 $1,419,865,385 ============== ============== ============== $2,826,418,728 $1,654,461,500 $1,144,685,934 NA NA NA NA NA NA NA NA NA 104,437,620 57,800,026 9,203,496 123,711,247 237,627,231 188,149,202 218,111,292 132,086,300 77,826,753 -------------- -------------- -------------- $3,272,678,887 $2,081,975,057 $1,419,865,385 ============== ============== ============== 2,828,677,134 1,654,475,173 1,144,545,203 NA NA NA NA NA NA NA NA NA 104,524,167 57,800,591 9,198,067 123,796,416 237,623,961 188,093,857 218,290,269 132,085,307 77,815,619 -------------- -------------- -------------- 3,275,287,986 2,081,985,032 1,419,652,746 ============== ============== ============== $ 1.00 $ 1.00 $ 1.00 ============== ============== ==============
See notes to financial statements. 37 FIFTH THIRD FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JULY 31, 2010 --------------------------------------------------------------------------------
PRIME MONEY MARKET -------------- INVESTMENT INCOME: Interest income $ 4,033,904 Dividend income 101,951 ------------ Total Income 4,135,855 ------------ EXPENSES: Investment advisory fees 4,176,733 Administration fees 1,813,271 Distribution servicing fees - Class A 1,181,763 Distribution servicing fees - Class B 17,532 Distribution servicing fees - Class C 2,300 Administrative servicing fees - Class C 767 Administrative servicing fees - Select Shares NA Administrative servicing fees - Preferred Shares NA Administrative servicing fees - Trust Shares NA Accounting fees 216,303 Registration and filing fees 35,069 Transfer and dividend disbursing agent fees 84,449 Custody fees 41,386 Trustees' fees and expenses 50,231 Professional fees 48,628 Printing expense 51,441 Treasury Guarantee Program expense 84,374 Other expenses 68,380 ------------ Total expenses 7,872,627 ------------ Less: Waiver and/or reimbursement from Advisor and/or affiliates (2,692,116) Distribution/servicing fees waived (1,191,389) Fair Fund reimbursement* (71,662) ------------ Net Expenses 3,917,460 ------------ NET INVESTMENT INCOME 218,395 ------------ Net realized gains (losses) on investments (1,099,856) ------------ Change in net assets resulting from operations $ (881,461) ============
------ * See Note 4. See notes to financial statements. 38 FIFTH THIRD FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JULY 31, 2010 --------------------------------------------------------------------------------
INSTITUTIONAL INSTITUTIONAL GOVERNMENT U.S. TREASURY MONEY MARKET MONEY MARKET MONEY MARKET ------------- -------------- -------------- $ 10,651,540 $ 6,029,202 $ 3,122,631 241,570 112,569 2,949 ------------ ------------ ------------ 10,893,110 6,141,771 3,125,580 ------------ ------------ ------------ 12,242,870 8,460,755 5,793,805 5,315,597 3,673,176 2,515,392 NA NA NA NA NA NA NA NA NA NA NA NA 84,010 64,822 12,571 189,713 462,749 343,989 605,518 360,098 191,364 421,970 324,161 254,353 28,523 25,679 24,818 121,956 92,285 63,492 88,222 66,223 49,464 132,870 101,387 67,130 109,984 84,963 57,258 7,320 1,230 1,374 140,783 83,396 124,611 210,113 166,529 147,226 ------------ ------------ ------------ 19,699,449 13,967,453 9,646,847 ------------ ------------ ------------ (12,251,918) (8,581,505) (6,241,188) (338,418) (559,021) (532,567) (1,530) (10,637) (32,326) ------------ ------------ ------------ 7,107,583 4,816,290 2,840,766 ------------ ------------ ------------ 3,785,527 1,325,481 284,814 ------------ ------------ ------------ (2,560,615) (10,210) 1,912 ------------ ------------ ------------ $ 1,224,912 $ 1,315,271 $ 286,726 ============ ============ ============
See notes to financial statements. 39 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
PRIME MONEY MARKET -------------------------------- YEAR YEAR ENDED ENDED JULY 31, JULY 31, 2010 2009 -------------- -------------- CHANGE IN NET ASSETS: OPERATIONS: Net investment income $ 218,395 $ 17,667,669 Net realized gains (losses) from investment transactions (1,099,856) 14,024 -------------- -------------- Change in net assets resulting from operations (881,461) 17,681,693 -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME: Institutional Shares (95,432) (10,944,254) Class A Shares (73,523) (6,701,724) Class B Shares (289) (16,233) Class C Shares (66) (5,743) Select Shares NA NA Preferred Shares NA NA Trust Shares NA NA -------------- -------------- Change in net assets from Fund shareholder distributions (169,310) (17,667,954) -------------- -------------- Change in net assets from fund share transactions (348,543,096) (353,716,571) -------------- -------------- Change in net assets (349,593,867) (353,702,832) NET ASSETS: Beginning of period 1,264,033,622 1,617,736,454 -------------- -------------- End of period $ 914,439,755 $1,264,033,622 ============== ============== Accumulated net investment income $ 139,925 $ 88,669 ============== ==============
See notes to financial statements. 40 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
INSTITUTIONAL INSTITUTIONAL GOVERNMENT U.S. TREASURY MONEY MARKET MONEY MARKET MONEY MARKET -------------------------------- -------------------------------- -------------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, 2010 2009 2010 2009 2010 2009 -------------- -------------- -------------- -------------- -------------- -------------- $ 3,785,527 $ 41,332,428 $ 1,325,481 $ 19,690,441 $ 284,814 $ 10,629,044 (2,560,615) 35,809 (10,210) (6,545) 1,912 38,452 -------------- -------------- -------------- -------------- -------------- -------------- 1,224,912 41,368,237 1,315,271 19,683,896 286,726 10,667,496 -------------- -------------- -------------- -------------- -------------- -------------- (3,619,983) (34,052,552) (1,207,219) (14,141,762) (203,455) (8,035,343) NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA (63,824) (1,855,064) (22,877) (639,427) (2,525) (151,465) (33,843) (1,626,668) (45,882) (3,062,459) (33,797) (2,007,705) (35,284) (3,847,827) (20,766) (1,872,559) (11,410) (439,475) -------------- -------------- -------------- -------------- -------------- -------------- (3,752,934) (41,382,111) (1,296,744) (19,716,207) (251,187) (10,633,988) -------------- -------------- -------------- -------------- -------------- -------------- 166,870,309 184,526,242 (624,768,905) 1, 416,187,748 (301,497,587) (141,261,298) -------------- -------------- -------------- -------------- -------------- -------------- 164,342,287 184,512,368 (624,750,378) 1, 416,155,437 (301,462,048) (141,227,790) 3,108,336,600 2,923,824,232 2,706,725,435 1,290,569,998 1,721,327,433 1,862,555,223 -------------- -------------- -------------- -------------- -------------- -------------- $3,272,678,887 $3,108,336,600 $2,081,975,057 $2,706,725,435 $1,419,865,385 $1,721,327,433 ============== ============== ============== ============== ============== ============== $ 42,757 $ 6,520 $ 32,829 $ 1,706 $ 46,791 $ 8,158 ============== ============== ============== ============== ============== ==============
See notes to financial statements. 41 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS --------------------------------------------------------------------------------
PRIME MONEY MARKET -------------------------------- YEAR YEAR ENDED ENDED JULY 31, JULY 31, 2010 2009 -------------- -------------- SHARE TRANSACTIONS:* Institutional Shares Shares issued 735,171,371 1,447,894,942 Dividends reinvested 19,565 1,686,958 Shares redeemed (974,185,002) (1,619,326,625) -------------- -------------- Total Institutional Shares (238,994,066) (169,744,725) -------------- -------------- Class A Shares Shares issued 263,030,812 764,807,283 Dividends reinvested 74,532 6,683,342 Shares redeemed (370,474,843) (955,422,760) -------------- -------------- Total Class A Shares (107,369,499) (183,932,135) -------------- -------------- Class B Shares Shares issued 85,295 2,738,356 Dividends reinvested 106 6,012 Shares redeemed (1,507,739) (2,534,090) -------------- -------------- Total Class B Shares (1,422,338) 210,278 -------------- -------------- Class C Shares Shares issued 263,595 525,511 Dividends reinvested 54 5,421 Shares redeemed (1,020,842) (778,744) -------------- -------------- Total Class C Shares (757,193) (247,812) -------------- -------------- Select Shares Shares issued NA NA Dividends reinvested NA NA Shares redeemed NA NA -------------- -------------- Total Select Shares NA NA -------------- -------------- Preferred Shares Shares issued NA NA Dividends reinvested NA NA Shares redeemed NA NA -------------- -------------- Total Preferred Shares NA NA -------------- -------------- Trust Shares Shares issued NA NA Dividends reinvested NA NA Shares redeemed NA NA -------------- -------------- Total Trust Shares NA NA -------------- --------------
-------------- * Share transactions are at a Net Asset Value of $1.00 per share. See notes to financial statements. 42 FIFTH THIRD FUNDS STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED -- FUND SHARE TRANSACTIONS --------------------------------------------------------------------------------
INSTITUTIONAL INSTITUTIONAL GOVERNMENT U.S. TREASURY MONEY MARKET MONEY MARKET MONEY MARKET -------------------------------- -------------------------------- -------------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, JULY 31, 2010 2009 2010 2009 2010 2009 -------------- -------------- -------------- -------------- -------------- -------------- 10,016,269,183 9,060,498,809 6,096,647,083 7,559,025,399 2,447,810,948 6,355,929,792 2,002,992 17,780,796 334,770 5,501,119 58,606 2,299,091 (9,697,385,018) (8,950,954,448) (6,500,769,886) (6,287,174,892) (2,608,544,405) (6,269,946,880) -------------- -------------- -------------- -------------- -------------- -------------- 320,887,157 127,325,157 (403,788,033) 1,277,351,626 (160,674,851) 88,282,003 -------------- -------------- -------------- -------------- -------------- -------------- NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA -------------- -------------- -------------- -------------- -------------- -------------- NA NA NA NA NA NA -------------- -------------- -------------- -------------- -------------- -------------- NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA -------------- -------------- -------------- -------------- -------------- -------------- NA NA NA NA NA NA -------------- -------------- -------------- -------------- -------------- -------------- NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA -------------- -------------- -------------- -------------- -------------- -------------- NA NA NA NA NA NA -------------- -------------- -------------- -------------- -------------- -------------- 794,136,313 683,983,020 223,015,773 405,884,053 23,183,418 84,816,976 37,747 1,126,119 16,628 527,291 558 18,697 (807,093,921) (678,077,650) (278,607,436) (336,828,569) (38,723,636) (80,625,209) -------------- -------------- -------------- -------------- -------------- -------------- (12,919,861) 7,031,489 (55,575,035) 69,582,775 (15,539,660) 4,210,464 -------------- -------------- -------------- -------------- -------------- -------------- 597,958,321 1,039,110,858 1,416,373,303 1,358,825,001 594,674,314 1,413,978,909 29,525 1,346,050 29,020 2,253,571 11,484 376,100 (639,995,122) (996,138,746) (1,555,576,724) (1,230,271,195) (701,597,658) (1,600,213,299) -------------- -------------- -------------- -------------- -------------- -------------- (42,007,276) 44,318,162 (139,174,401) 130,807,377 (106,911,860) (185,858,290) -------------- -------------- -------------- -------------- -------------- -------------- 260,278,523 374,533,003 212,748,036 331,577,993 300,468,376 381,149,029 4,042 392,015 4,410 279,933 -- 423 (359,372,276) (369,074,072) (238,983,882) (393,411,663) (318,839,592) (429,043,815) -------------- -------------- -------------- -------------- -------------- -------------- (99,089,711) 5,850,946 (26,231,436) (61,553,737) (18,371,216) (47,894,363) -------------- -------------- -------------- -------------- -------------- --------------
See notes to financial statements. 43 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
NET REALIZED AND NET ASSET UNREALIZED LESS VALUE, NET GAINS/ DISTRIBUTIONS BEGINNING INVESTMENT (LOSSES) FROM TO OF PERIOD INCOME INVESTMENTS SHAREHOLDERS ------------------------------------------------------------------------------------------------- PRIME MONEY MARKET INSTITUTIONAL SHARES Year ended 7/31/10 $1.00 --^[DELTA] --^ --^ Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01) Year ended 7/31/08 $1.00 0.04[DELTA] --^ (0.04) Year ended 7/31/07 $1.00 0.05[DELTA]@ --^ (0.05) Year ended 7/31/06 $1.00 0.04 --^ (0.04) ------------------------------------------------------------------------------------------------- PRIME MONEY MARKET CLASS A SHARES Year ended 7/31/10 $1.00 --^[DELTA] --^ --^ Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01) Year ended 7/31/08 $1.00 0.03[DELTA] --^ (0.03) Year ended 7/31/07 $1.00 0.05[DELTA]@ --^ (0.05) Year ended 7/31/06 $1.00 0.04 --^ (0.04) ------------------------------------------------------------------------------------------------- PRIME MONEY MARKET CLASS B SHARES Year ended 7/31/10 $1.00 --^[DELTA] --^ --^ Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01) Year ended 7/31/08 $1.00 0.03[DELTA] --^ (0.03) Year ended 7/31/07 $1.00 0.04[DELTA]@ --^ (0.04) Year ended 7/31/06 $1.00 0.03 --^ (0.03) ------------------------------------------------------------------------------------------------- PRIME MONEY MARKET CLASS C SHARES Year ended 7/31/10 $1.00 --^[DELTA] --^ --^ Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01) Year ended 7/31/08 $1.00 0.03[DELTA] --^ (0.03) Year ended 7/31/07 $1.00 0.04[DELTA]@ --^ (0.04) Year ended 7/31/06 $1.00 0.03 --^ (0.03) -------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 44 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------------- RATIOS OF RATIOS OF RATIOS OF NET EXPENSES EXPENSES NET NET ASSET ASSETS, TO TO INVESTMENT VALUE, END OF AVERAGE AVERAGE INCOME END OF TOTAL PERIOD NET NET TO AVERAGE PERIOD RETURN (000'S) ASSETS (a) ASSETS (b) NET ASSETS --------------------------------------------------------------------------------------------- $1.00 0.02% $ 483,486 0.64%[OMEGA] 0.38%[OMEGA](+) 0.02% $1.00 1.23% $ 723,024 0.66%[OMEGA] 0.58%[OMEGA] 1.29% $1.00 3.65% $ 892,765 0.66% 0.54% 3.44% $1.00 4.94% $ 605,987 0.66% 0.54% 4.82% $1.00 3.97% $ 563,551 0.66% 0.54% 3.81% --------------------------------------------------------------------------------------------- $1.00 0.02% $ 429,678 0.89%[OMEGA] 0.38%[OMEGA](+) 0.02% $1.00 0.99% $ 537,555 0.91%[OMEGA] 0.81%[OMEGA](+) 1.06% $1.00 3.40% $ 721,478 0.91% 0.79% 3.22% $1.00 4.67% $ 625,362 0.91% 0.79% 4.57% $1.00 3.71% $ 455,183 0.91% 0.79% 3.65% --------------------------------------------------------------------------------------------- $1.00 0.02% $ 1,178 1.64%[OMEGA] 0.40%[OMEGA](+) 0.01% $1.00 0.52% $ 2,600 1.67%[OMEGA] 1.29%[OMEGA](+) 0.52% $1.00 2.62% $ 2,390 1.66% 1.54% 2.40% $1.00 3.90% $ 1,468 1.66% 1.54% 3.83% $1.00 2.94% $ 1,216 1.66% 1.54% 2.84% --------------------------------------------------------------------------------------------- $1.00 0.02% $ 98 1.66%[OMEGA] 0.47%[OMEGA](+) 0.01% $1.00 0.52% $ 855 1.66%[OMEGA] 1.31%[OMEGA](+) 0.58% $1.00 2.63% $ 1,103 1.66% 1.54% 2.53% $1.00 3.90% $ 1,066 1.66% 1.54% 3.82% $1.00 2.93% $ 879 1.66% 1.54% 2.80% ---------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 45 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS, CONTINUED (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
NET REALIZED AND NET ASSET UNREALIZED LESS VALUE, NET GAINS/ DISTRIBUTIONS BEGINNING INVESTMENT (LOSSES) FROM TO OF PERIOD INCOME INVESTMENTS SHAREHOLDERS ------------------------------------------------------------------------------------------------------- INSTITUTIONAL MONEY MARKET INSTITUTIONAL SHARES Year ended 7/31/10 $1.00 --^[DELTA] --^ --^ Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01) Year ended 7/31/08 $1.00 0.04[DELTA] --^ (0.04) Year ended 7/31/07 $1.00 0.05[DELTA] --^ (0.05) Year ended 7/31/06 $1.00 0.04 -- (0.04) ------------------------------------------------------------------------------------------------------- INSTITUTIONAL MONEY MARKET SELECT SHARES Year ended 7/31/10 $1.00 --^[DELTA] --^ --^ Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01) Year ended 7/31/08 $1.00 0.04[DELTA] --^ (0.04) Year ended 7/31/07 $1.00 0.05[DELTA] --^ (0.05) Year ended 7/31/06 $1.00 0.04 -- (0.04) ------------------------------------------------------------------------------------------------------- INSTITUTIONAL MONEY MARKET PREFERRED SHARES Year ended 7/31/10 $1.00 --^[DELTA] --^ --^ Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01) Year ended 7/31/08 $1.00 0.04[DELTA] --^ (0.04) Year ended 7/31/07 $1.00 0.05[DELTA] --^ (0.05) Year ended 7/31/06 $1.00 0.04 -- (0.04) ------------------------------------------------------------------------------------------------------- INSTITUTIONAL MONEY MARKET TRUST SHARES Year ended 7/31/10 $1.00 --^[DELTA] --^ --^ Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01) Year ended 7/31/08 $1.00 0.04[DELTA] --^ (0.04) Year ended 7/31/07 $1.00 0.05[DELTA] --^ (0.05) Year ended 7/31/06 $1.00 0.04 -- (0.04) -------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 46 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS, CONTINUED (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------------- RATIOS OF RATIOS OF RATIOS OF NET EXPENSES EXPENSES NET NET ASSET ASSETS, TO TO INVESTMENT VALUE, END OF AVERAGE AVERAGE INCOME END OF TOTAL PERIOD NET NET TO AVERAGE PERIOD RETURN (000'S) ASSETS (a) ASSETS (b) NET ASSETS --------------------------------------------------------------------------------------------- $1.00 0.14% $2,826,419 0.62%[OMEGA] 0.21%[OMEGA] 0.14% $1.00 1.53% $2,507,708 0.64%[OMEGA] 0.24%[OMEGA] 1.45% $1.00 3.96% $2,380,397 0.64% 0.21% 3.82% $1.00 5.27% $1,687,392 0.64% 0.21% 5.14% $1.00 4.30% $1,263,609 0.65% 0.21% 4.25% --------------------------------------------------------------------------------------------- $1.00 0.06% $ 104,438 0.70%[OMEGA] 0.29%[OMEGA](+) 0.06% $1.00 1.45% $ 117,441 0.72%[OMEGA] 0.32%[OMEGA] 1.48% $1.00 3.87% $ 110,410 0.73% 0.29% 3.47% $1.00 5.19% $ 59,901 0.72% 0.28% 5.07% $1.00 4.22% $ 35,579 0.73% 0.29% 4.16% --------------------------------------------------------------------------------------------- $1.00 0.02% $ 123,711 0.77%[OMEGA] 0.33%[OMEGA](+) 0.03% $1.00 1.38% $ 165,806 0.79%[OMEGA] 0.39%[OMEGA] 1.32% $1.00 3.80% $ 121,489 0.79% 0.36% 3.66% $1.00 5.12% $ 87,627 0.79% 0.35% 5.00% $1.00 4.15% $ 98,263 0.81% 0.36% 4.21% --------------------------------------------------------------------------------------------- $1.00 0.01% $ 218,111 0.87%[OMEGA] 0.34%[OMEGA](+) 0.01% $1.00 1.28% $ 317,382 0.89%[OMEGA] 0.49%[OMEGA](+) 1.26% $1.00 3.70% $ 311,528 0.89% 0.46% 3.60% $1.00 5.01% $ 230,909 0.89% 0.45% 4.90% $1.00 4.04% $ 160,782 0.91% 0.46% 4.18% ---------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 47 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS, CONTINUED (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
NET REALIZED AND NET ASSET UNREALIZED LESS VALUE, NET GAINS/ DISTRIBUTIONS BEGINNING INVESTMENT (LOSSES) FROM TO OF PERIOD INCOME INVESTMENTS SHAREHOLDERS ---------------------------------------------------------------------------------------------------------- INSTITUTIONAL GOVERNMENT MONEY MARKET INSTITUTIONAL SHARES Year ended 7/31/10 $1.00 --^[DELTA] --^ --^ Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01) Year ended 7/31/08 $1.00 0.04[DELTA] --^ (0.04) Year ended 7/31/07 $1.00 0.05[DELTA] --^ (0.05) Year ended 7/31/06 $1.00 0.04 -- (0.04) ---------------------------------------------------------------------------------------------------------- INSTITUTIONAL GOVERNMENT MONEY MARKET SELECT SHARES Year ended 7/31/10 $1.00 --^[DELTA] --^ --^ Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01) Year ended 7/31/08 $1.00 0.04[DELTA] --^ (0.04) Year ended 7/31/07 $1.00 0.05[DELTA] --^ (0.05) Year ended 7/31/06 $1.00 0.04 -- (0.04) ---------------------------------------------------------------------------------------------------------- INSTITUTIONAL GOVERNMENT MONEY MARKET PREFERRED SHARES Year ended 7/31/10 $1.00 --^[DELTA] --^ --^ Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01) Year ended 7/31/08 $1.00 0.03[DELTA] --^ (0.03) Year ended 7/31/07 $1.00 0.05[DELTA] --^ (0.05) Year ended 7/31/06 $1.00 0.04 -- (0.04) ---------------------------------------------------------------------------------------------------------- INSTITUTIONAL GOVERNMENT MONEY MARKET TRUST SHARES Year ended 7/31/10 $1.00 --^[DELTA] --^ --^ Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01) Year ended 7/31/08 $1.00 0.03[DELTA] --^ (0.03) Year ended 7/31/07 $1.00 0.05[DELTA] --^ (0.05) Year ended 7/31/06 $1.00 0.04 -- (0.04) ----------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 48 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS, CONTINUED (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------------- RATIOS OF RATIOS OF RATIOS OF NET EXPENSES EXPENSES NET NET ASSET ASSETS, TO TO INVESTMENT VALUE, END OF AVERAGE AVERAGE INCOME END OF TOTAL PERIOD NET NET TO AVERAGE PERIOD RETURN (000'S) ASSETS (a) ASSETS (b) NET ASSETS --------------------------------------------------------------------------------------------- $1.00 0.07% $1,654,462 0.62%[OMEGA] 0.21%[OMEGA](+) 0.08% $1.00 1.06% $2,058,233 0.63%[OMEGA] 0.23%[OMEGA] 0.86% $1.00 3.66% $ 780,910 0.64% 0.21% 3.33% $1.00 5.21% $ 487,057 0.66% 0.21% 5.08% $1.00 4.23% $ 304,332 0.66% 0.21% 4.24% --------------------------------------------------------------------------------------------- $1.00 0.02% $ 57,800 0.70%[OMEGA] 0.26%[OMEGA](+) 0.03% $1.00 0.98% $ 113,374 0.71%[OMEGA] 0.31%[OMEGA] 0.84% $1.00 3.58% $ 43,793 0.72% 0.29% 2.99% $1.00 5.13% $ 13,983 0.74% 0.29% 5.00% $1.00 4.14% $ 6,337 0.75% 0.29% 4.22% --------------------------------------------------------------------------------------------- $1.00 0.01% $ 237,627 0.77%[OMEGA] 0.28%[OMEGA](+) 0.02% $1.00 0.90% $ 376,800 0.78%[OMEGA] 0.38%[OMEGA](+) 0.80% $1.00 3.51% $ 245,995 0.79% 0.36% 3.33% $1.00 5.05% $ 225,141 0.81% 0.36% 4.93% $1.00 4.07% $ 190,260 0.82% 0.36% 3.98% --------------------------------------------------------------------------------------------- $1.00 0.01% $ 132,086 0.87%[OMEGA] 0.27%[OMEGA](+) 0.01% $1.00 0.81% $ 158,318 0.88%[OMEGA] 0.47%[OMEGA](+) 0.83% $1.00 3.41% $ 219,872 0.89% 0.46% 3.17% $1.00 4.95% $ 128,682 0.91% 0.46% 4.83% $1.00 3.97% $ 96,003 0.92% 0.46% 3.85% ---------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 49 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS, CONTINUED (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
NET REALIZED AND NET ASSET UNREALIZED LESS VALUE, NET GAINS/ DISTRIBUTIONS BEGINNING INVESTMENT (LOSSES) FROM TO OF PERIOD INCOME INVESTMENTS SHAREHOLDERS ------------------------------------------------------------------------------------------------------- U.S. TREASURY MONEY MARKET INSTITUTIONAL SHARES Year ended 7/31/10 $1.00 --^[DELTA] --^ --^ Year ended 7/31/09 $1.00 0.01[DELTA] --^ (0.01) Year ended 7/31/08 $1.00 0.03[DELTA] --^ (0.03) Year ended 7/31/07 $1.00 0.05[DELTA]@ --^ (0.05) Year ended 7/31/06 $1.00 0.04 --^ (0.04) ------------------------------------------------------------------------------------------------------- U.S. TREASURY MONEY MARKET SELECT SHARES Year ended 7/31/10 $1.00 --^[DELTA] --^ --^ Year ended 7/31/09 $1.00 --^[DELTA] --^ --^ Year ended 7/31/08 $1.00 0.03[DELTA] --^ (0.03) Year ended 7/31/07 $1.00 0.05[DELTA]@ --^ (0.05) Year ended 7/31/06 $1.00 0.04 --^ (0.04) ------------------------------------------------------------------------------------------------------- U.S. TREASURY MONEY MARKET PREFERRED SHARES Year ended 7/31/10 $1.00 --^[DELTA] --^ --^ Year ended 7/31/09 $1.00 --^[DELTA] --^ --^ Year ended 7/31/08 $1.00 0.03[DELTA] --^ (0.03) Year ended 7/31/07 $1.00 0.05[DELTA]@ --^ (0.05) Year ended 7/31/06 $1.00 0.04 --^ (0.04) ------------------------------------------------------------------------------------------------------- U.S. TREASURY MONEY MARKET TRUST SHARES Year ended 7/31/10 $1.00 --^[DELTA] --^ --^ Year ended 7/31/09 $1.00 --^[DELTA] --^ --^ Year ended 7/31/08 $1.00 0.03[DELTA] --^ (0.03) Year ended 7/31/07 $1.00 0.05[DELTA]@ --^ (0.05) Year ended 7/31/06 $1.00 0.04 --^ (0.04) -------------------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 50 FIFTH THIRD FUNDS FINANCIAL HIGHLIGHTS, CONTINUED (FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------------- RATIOS OF RATIOS OF RATIOS OF NET EXPENSES EXPENSES NET NET ASSET ASSETS, TO TO INVESTMENT VALUE, END OF AVERAGE AVERAGE INCOME END OF TOTAL PERIOD NET NET TO AVERAGE PERIOD RETURN (000'S) ASSETS (a) ASSETS (b) NET ASSETS --------------------------------------------------------------------------------------------- $1.00 0.02% $1,144,686 0.63%[OMEGA] 0.20%[OMEGA]+ 0.02% $1.00 0.53% $1,305,329 0.65%[OMEGA] 0.25%[OMEGA] 0.50% $1.00 3.21% $1,217,028 0.63% 0.21% 2.78% $1.00 5.15% $ 420,260 0.65% 0.21% 5.02% $1.00 4.13% $ 386,757 0.65% 0.21% 4.11% --------------------------------------------------------------------------------------------- $1.00 0.01% $ 9,203 0.71%[OMEGA] 0.21%[OMEGA]+ 0.02% $1.00 0.46% $ 24,743 0.73%[OMEGA] 0.33%[OMEGA]+ 0.34% $1.00 3.10% $ 20,532 0.72% 0.29% 3.74% $1.00 5.06% $ 63,885 0.73% 0.29% 4.93% $1.00 4.05% $ 61,992 0.73% 0.29% 3.95% --------------------------------------------------------------------------------------------- $1.00 0.01% $ 188,149 0.78%[OMEGA] 0.20%[OMEGA]+ 0.02% $1.00 0.39% $ 295,058 0.80%[OMEGA] 0.39%[OMEGA]+ 0.42% $1.00 3.06% $ 480,906 0.79% 0.36% 3.01% $1.00 4.99% $ 472,893 0.80% 0.36% 4.87% $1.00 3.98% $ 625,196 0.80% 0.36% 3.85% --------------------------------------------------------------------------------------------- $1.00 0.01% $ 77,827 0.88%[OMEGA] 0.20%[OMEGA]+ 0.02% $1.00 0.33% $ 96,197 0.90%[OMEGA] 0.46%[OMEGA]+ 0.35% $1.00 2.95% $ 144,089 0.88% 0.46% 2.61% $1.00 4.88% $ 74,548 0.90% 0.46% 4.77% $1.00 3.87% $ 113,124 0.90% 0.46% 3.79% ---------------------------------------------------------------------------------------------
See notes to financial highlights and notes to financial statements. 51 FIFTH THIRD FUNDS NOTES TO FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- (a) Before waivers and reimbursements. (b) Net of waivers and reimbursements. ^ Amount is less than $0.005. [DELTA] Average shares method used in calculation. @ During the year ended July 31, 2007, the Advisor paid money to certain Funds related to an SEC investigation on Citi (formerly BISYS Fund Services), a former service provider to the Funds. See Note 4 in Notes to Financial Statements for further information. Net Investment Income per share in these Financial Highlights includes the impact of this payment however the amount per share is less than $.005. The Funds distributed the income related to this payment after July 31, 2007. This payment into the Funds had no impact on total return for the year ended July 31, 2007. [OMEGA] Includes expense for the U.S. Department of the Treasury's Temporary Guarantee Program for Money Market Funds. This expense was borne by the Funds without regard to any expense limitation then in effect.
Year ended Year ended 7/31/2010 7/31/2009 Prime Money Market 0.01% 0.04% Institutional Money Market --^ 0.03% Institutional Government Money Market --^ 0.02% U.S. Treasury Money Market 0.01% 0.04% ^ Amount is less than 0.005% (+) The Advisor waived additional expenses to maintain a competitive yield as follows: Year ended Year ended 7/31/2010 7/31/2009 Prime Money Market Institutional Shares 0.17% -- Class A Shares 0.42% 0.02% Class B Shares 1.15% 0.29% Class C Shares 1.10% 0.27% Institutional Money Market Select Shares --^ -- Preferred Shares 0.03% -- Trust Shares 0.12% --^ Institutional Government Money Market Institutional Shares --^ -- Select Shares 0.03% -- Preferred Shares 0.08% 0.01% Trust Shares 0.19% 0.01% US Treasury Money Market Institutional Shares 0.02% -- Select Shares 0.09% --^ Preferred Shares 0.17% 0.01% Trust Shares 0.27% 0.04% ^ Amount is less than 0.005%
See notes to financial statements. 52 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS JULY 31, 2010 -------------------------------------------------------------------------------- (1) ORGANIZATION Fifth Third Funds (the "Trust") is registered under the Investment Company Act of 1940, as amended (the "Act"), as an open-end management investment company established as a Massachusetts business trust. The Trust consists of twenty-four separate investment portfolios. The accompanying financial statements and notes relate only to the following series of the Trust, each of which is diversified (individually a "Fund" and collectively the "Funds"). FUND NAME --------- Fifth Third Prime Money Market Fund ("Prime Money Market") Fifth Third Institutional Money Market Fund ("Institutional Money Market") Fifth Third Institutional Government Money Market Fund ("Institutional Government Money Market") Fifth Third U.S. Treasury Money Market Fund ("U.S. Treasury Money Market") Institutional Money Market, Institutional Government Money Market and U.S. Treasury Money Market have four classes of shares: Institutional, Select, Preferred and Trust shares. Prime Money Market has four classes of shares: Institutional, Class A, Class B and Class C shares. Prime Money Market's Class B shares are closed for purchases as of this report date. Each class of shares for each Fund has identical rights and privileges except with respect to administrative services fees paid by Class C, Select, Preferred and Trust shares, distribution services fees paid by Class A, Class B, and Class C shares, voting rights on matters affecting a single class of shares, and the exchange privileges of each class of shares. (2) SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"). The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, as well as the reported 53 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- amounts of increases and decreases in net assets from operations during the period. Actual results could differ from those estimates. SECURITIES VALUATION -- All investments in securities are recorded at their estimated fair value as described in Note 9. SECURITIES TRANSACTIONS AND RELATED INCOME -- Securities transactions are accounted for on the date the security is purchased or sold (trade date). Interest income is recognized on the accrual basis and includes, where applicable, amortization of premium or accretion of discount. Dividend or capital gain distributions from investment company securities are recorded on the ex-dividend date. Gains or losses realized on sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds. OTHER -- Expenses directly attributable to a Fund are charged to the Fund, while expenses attributable to more than one Fund of the Trust are allocated among the respective Funds based on their relative net assets or another appropriate basis. Income, expenses, and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets, except that each class separately bears expenses specifically related to that class, such as administrative services and/or distribution servicing fees. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are declared daily and paid monthly and distributable net realized gains, if any, are declared and distributed at least annually. Dividends from net investment income and from net realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These differences are primarily due to differing treatments for expiring capital loss carryforwards and deferrals of certain losses. To the extent distributions would exceed net investment income and net realized gains for tax purposes, they are reported as a return of capital. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax basis treatment; temporary differences do not 54 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- require reclassifications. Accordingly, at July 31, 2010, reclassifications were recorded as follows:
INCREASE (DECREASE) ACCUMULATED INCREASE (DECREASE) NET INVESTMENT ACCUMULATED NET INCREASE (DECREASE) INCOME (LOSS) REALIZED GAIN (LOSS) PAID-IN-CAPITAL ------------------ ------------------- ------------------ Prime Money Market $2,171 $ -- $(2,171) Institutional Money Market 3,644 -- (3,644) Institutional Government Money Market 2,386 -- (2,386) U.S. Treasury Money Market 5,006 (1,912) (3,094)
FEDERAL TAXES -- It is the intention of each Fund to continue to qualify as a regulated investment company by complying with Subchapter M of the U.S. Internal Revenue Code, and to make distributions of net investment income and net realized capital gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income or excise taxes has been made. At July 31, 2010, the Funds have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds file U.S. tax returns. While the statute of limitations remains open to examine the Funds' U.S. tax returns filed for the fiscal years from 2007-2009, no examinations are in progress or anticipated as of this report date. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. (3) SECURITIES AND OTHER INVESTMENTS REPURCHASE AGREEMENTS -- The Funds may enter into repurchase agreements only with banks and other recognized financial institutions, such as broker/dealers, which are deemed by Fifth Third Asset Management, Inc. ("FTAM" or the "Advisor") to be creditworthy. It is the policy of the Funds to require the custodian or sub-custodian bank to take possession or have legally segregated in the Federal Reserve Book Entry System, all securities segregated as collateral under repurchase agreement transactions. Additionally, procedures have been established by the Funds to monitor, on a daily basis, the market value of each 55 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- repurchase agreement's collateral to ensure that the value of collateral at least equals the repurchase price to be paid under the relevant repurchase agreement transaction. Risks may arise from the potential inability or unwillingness of counterparties to honor the terms of a repurchase agreement. Accordingly, the Funds could receive less than the repurchase price on the sale of collateral securities. See Notes to Schedules of Investments. (4) RELATED PARTY TRANSACTIONS INVESTMENT ADVISORY FEE -- FTAM is the Funds' investment advisor. FTAM, a wholly owned subsidiary of Fifth Third Bank, is an indirect subsidiary of Fifth Third Bancorp, a publicly traded financial services company. The advisory agreement between the Funds and the Advisor provides for an annual fee equal to .40% of each Fund's average daily net assets. The Advisor may voluntarily choose to waive any portion of its fee. The Advisor can modify or terminate the voluntary waiver at any time at its sole discretion. For the twelve months ended July 31, 2010, the Advisor voluntarily waived the following fees:
FUND ADVISOR FEE WAIVER ---- ------------------ Prime Money Market Fund $ 798,243 Instititional Money Market Fund $9,182,153 Instititional Government Money Market Fund $6,346,374 U.S. Treasury Money Market Fund $4,359,028
ADMINISTRATION FEE -- FTAM is the Trust's administrator (the "Administrator") and generally assists in all aspects of the Trust's administration and operations including providing the Funds with certain administrative personnel and services necessary to operate the Funds. The Administrator receives administration fees at the annual rates shown below which are computed daily on average daily net assets of the Trust; the fees are prorated among the Funds based upon their relative average daily net assets.
ADMINISTRATION FEE TRUST AVERAGE DAILY NET ASSETS ------------------ ------------------------------ 0.20% Up to $1 billion 0.18% In excess of $1 billion up to $2 billion 0.17% In excess of $2 billion
56 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- An annual fee of $10,000 per class, per Fund applies beyond the first four classes per Fund. Each Fund that commences operations after September 18, 2002 is subject to an annual $20,000 minimum fee. The Administrator may voluntarily choose to waive any portion of its fee. The Administrator can modify or terminate the voluntary waiver at any time at its sole discretion. For the twelve months ended July 31, 2010, FTAM waived the following administration fees:
FUND ADMINISTRATION FEE WAIVERS ---- -------------------------- Prime Money Market Fund $1,781,916 Institutional Money Market Fund $2,142,502 Institutional Government Money Market Fund $ 978,234 U.S. Treasury Money Market Fund $1,743,402
EXPENSE LIMITATIONS -- In its capacity as Advisor and Administrator, FTAM has entered into a contractual expense limitation agreement with the Funds. Under the terms of the expense limitation agreement, to the extent that ordinary operating expenses incurred by a Fund in any fiscal year exceed the specified expense limit for the Fund, the excess amount will be borne by FTAM. If the operating expenses are less than the specified expense limit for the Fund, FTAM shall be entitled to reimbursement of the fees waived or reduced to the extent that the operating expenses and the amount reimbursed do not exceed such expense limit for the Fund, under the period of the agreement (currently the period for the 13 months commencing November 2, 2009). Such reimbursement shall be paid only while the expense limitation agreement is in effect and only if such amount paid, together with all other amounts reimbursed under this plan in the fiscal year, does not cause the Fund to exceed the contractual expense limitation. Due to the possibility of changes in market conditions and other factors FTAM may voluntarily waive additional expenses beyond its contractual obligation. There can be no assurance that the level of waivers, reimbursements and reduction of Fund expenses reflected in the financial highlights will be maintained in the future. All waivers not recovered at the end of the period expire on November 26, 2010. The 57 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- Funds' contractual class expense limitations and Reimbursement Recoverable as of this report date are as follows:
CLASS EXPENSE LIMITATIONS* --------------------------------------------------------------- REIMBURSEMENT FUND INSTITUTIONAL A B C SELECT PREFERRED TRUST RECOVERABLE** ---- ------------- ----- ----- ----- ------ --------- ----- -------------- Prime Money Market 0.54% 0.79% 1.54% 1.54% NA NA NA $ 635,459 Institutional Money Market 0.21% NA NA NA 0.29% 0.36% 0.46% $9,001,704 Institutional Government Money Market 0.21% NA NA NA 0.29% 0.36% 0.46% $6,002,884 U.S. Treasury Money Market 0.21% NA NA NA 0.29% 0.36% 0.46% $4,254,225
* The annual limitations shown include 12b-1 or administrative services fees and are contractual. ** The cumulative amounts waived and/or reimbursed which may be potentially recoverable by FTAM under the expense limitation agreements for the period from November 2, 2009 through July 31, 2010. The dollar amounts of the other contractual expense reimbursements, excluding accounting and administration waivers discussed separately in this Note, were $111,957 for Prime Money Market, $927,263 for Institutional Money Market, $1,256,897 for Institutional Government Money Market and $138,758 for U.S. Treasury Money Market for the year ended July 31, 2010. ACCOUNTING FEES -- FTAM is the Funds' accounting agent. FTAM receives accounting fees at the annual rates shown below which are computed daily and paid monthly based on average daily net assets of each Fund, subject to a $30,000 per Fund annual minimum, plus out-of-pocket expenses.
ACCOUNTING FEE FUND AVERAGE DAILY NET ASSETS -------------- ----------------------------- 0.020% Up to $500 million 0.015% In excess of $500 million up to $1 billion 0.010% In excess of $1 billion
In addition, a $10,000 annual flat per class, per fund fee applies beyond the initial class of shares. DISTRIBUTION AND/OR SERVICING FEES, WAIVERS -- The Trust has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the Act. FTAM Funds Distributor, Inc. is the Trust's distributor/principal underwriter (the "Distributor"). Under the terms of the Plan, the Funds will compensate the Distributor from the net assets of the Funds' Class A, Class B and Class C shares to finance activities intended to result in the sales of each Fund's shares. The Plan provides that the Funds will incur fees accrued 58 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- daily and paid monthly to the Distributor at annual rates up to or equal to that shown below based on average daily net assets of the respective classes in the Plan.
CLASS DISTRIBUTION/SERVICING FEE ----- -------------------------- Class A 0.25% Class B 1.00% Class C 0.75%
The Distributor may voluntarily choose to waive and/or reimburse a portion of its fee. The Distributor can modify or terminate the voluntary waiver/reimbursement at any time at its sole discretion. The Distributor voluntarily waived fees of $1,190,623 in Prime Money Market during the period. In addition, the Distributor earned contingent deferred sales commissions (CDSC) on certain redemptions of Class A, B and C shares (all of which is paid to the finance agent who financed advance commissions, as applicable, on sales of these shares). FTAM is the Class A and C advance commission finance agent. For the twelve months ended July 31, 2010, FTAM earned $8,601 in CDSC fees for the Trust. Affiliates of FTAM earned reallowed 12b-1 distribution/servicing fees as well as administrative servicing fees (see below) of $1,488,225 from the Trust for the period ended as of the report date. ADMINISTRATIVE SERVICING FEE -- The Trust has a Shareholder Servicing Plan with the Distributor with respect to Class C, Select, Preferred and Trust shares. Under the Agreement, certain administrative services, including those relating to the maintenance of shareholder accounts were provided to these shareholders during the year. The Distributor, as well as other financial institutions (which may include affiliates of the Advisor) receives fees computed at annual rates up to those shown below, based on average daily net assets of the respective classes.
CLASS ADMINISTRATIVE SERVICING FEE ----- ---------------------------- Class C 0.25% Select 0.08% Preferred 0.15% Trust 0.25%
The Distributor may voluntarily choose to waive and/or reimburse a portion of its fee. The Distributor can modify or terminate this voluntary wavier/reimbursement at any time at its sole discretion. 59 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- For the twelve months ended July 31, 2010, the Distributor waived the following administrative servicing fees:
FUND ADMINISTRATIVE SERVICE FEE WAIVERS ---- ---------------------------------- Prime Money Market Fund $ 766 Instititional Money Market Fund $338,418 Instititional Government Money Market Fund $559,021 U.S. Treasury Money Market Fund $532,567
TRANSFER AND DIVIDEND DISBURSING AGENT -- Pursuant to a Services Agreement with the Trust dated May 14, 2007, FTAM provides certain services on behalf of the Trust. Under this agreement, FTAM's fees are paid monthly and are accrued daily based upon each Fund of the Trust's relative average daily net assets, at the aggregate annual amount of $370,000. FTAM earned $370,000 from the Trust in service fees for the period ended as of this report date. OTHER -- Certain officers of the Trust are also officers of FTAM and/or its affiliates. Certain non-principal officers of the Trust are also employees of the Trust's custodian bank, State Street Bank and Trust Company ("State Street"). None of these officers are paid any fees by the Trust. The Trust reimbursed FTAM for fees paid to a third party in connection with the negotiation of a new custody agreement. For the year ended July 31, 2010, the fees were $5,082. The fees were allocated to each Fund based on actual expenses incurred by the Fund. PAYMENTS BY AFFILIATES -- Citi(formerly BISYS Fund Services, Inc. ("Citi")), which formerly provided various services to the Trust, reached a settlement and entered into an order (the "Order") with the Securities and Exchange Commission ("SEC") regarding the SEC's investigation of Citi's past payment of certain marketing and other expenses with respect to certain of its mutual fund clients. Neither the Trust nor FTAM was a party to the Order, nor is the Trust or FTAM bound by the Order or its findings. It is unclear the extent to which the Trust, FTAM and certain of its former service providers are or may be affected by the SEC's investigation of BISYS or by the Order. In response to the SEC's inquiries related to this matter, including those of the Trust's former service arrangements with Citi, FTAM made a one time contribution of money to certain Funds of the Trust during the year ended July 31, 2007. The affected Funds and the amounts paid to such Funds were determined based on various factors such as certain Fund expenses during 1999 through 2001 as well as the applicable Funds' net assets during this time period. The amount credited to each 60 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- class of the applicable Funds was determined according to the relative net assets of such classes on the date the amounts were recognized. The amounts were allocated among the components of net assets for the fiscal year ended July 31, 2007 for each applicable Fund based upon its character for federal income tax purposes. The total returns for the year ended July 31, 2007 for each class of the applicable Funds would not have changed had the payments not been made; see the Notes to Financial Highlights. In July 2010, certain funds received a one-time payment from the BISYS Fair Fund (a fund established pursuant to a settlement between the SEC and BISYS Fund Services, Inc. that requires, among other things, a distribution of settlement monies from the fair fund to benefit affected mutual funds). Receipt of these payments is shown as a reduction of total expenses on the Statement of Operations. The impact of these payments is not reflected in the net expense ratios in the Financial Highlights. The impact to the net expense ratios and total return was not significant. (5) LINE OF CREDIT As of February 1, 2008, the Funds of the Trust have an uncommitted, unsecured line of credit facility with State Street. Under the terms of the agreement, which is renewable annually, the Funds of the Trust may borrow up to $100 million in the aggregate. The purpose of the facility generally is to borrow funds if necessary to meet temporary or emergency cash needs, including to fund redemption requests that might otherwise require the untimely disposition of securities. Borrowings may not exceed 33 1/3% of a Fund's net assets and must be repaid within 60 days. Drawn loans will be priced at a bid rate, though, in any event, not less than a fixed rate plus a spread determined by State Street. There were no borrowings against the line of credit during the fiscal year ended July 31, 2010. (6) FEDERAL TAX INFORMATION The tax character of distributions paid during the fiscal years ended July 31, 2010 and 2009 was as follows:
ORDINARY INCOME DISTRIBUTIONS ----------------------------- JULY 31, 2010 JULY 31, 2009 ------------- ------------- Prime Money Market $ 169,310 $17,667,954 Institutional Money Market 3,752,934 41,382,111 Institutional Government Money Market 1,296,744 19,716,207 U.S. Treasury Money Market 251,187 10,633,988
61 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- As of July 31, 2010, the components of accumulated earnings/(deficit) on a tax basis were as follows:
TOTAL ACCUMULATED ACCUMULATED UNDISTRIBUTED CAPITAL AND EARNINGS/ ORDINARY INCOME OTHER LOSSES (DEFICIT) --------------- ------------ ------------ Prime Money Market $137,676 $(1,290,566) $(1,152,890) Institutional Money Market 42,814 (2,643,100) (2,600,286) Institutional Government Money Market 33,561 (17,488) 16,073 U.S. Treasury Money Market 46,791 -- 46,791
As of July 31, 2010, the following Funds have net capital loss carryforwards to offset future net capital gains, if any, to the extent provided by U.S. Treasury regulations:
EXPIRATION YEAR ------------------------------------------------------------ 2014 2015 2016 2017 2018 TOTAL ------- ------- ------- -------- ------- --------- Prime Money Market $92,314 $-- $-- $100,645 $9,872 $202,831 Institutional Money Market 696 -- -- 81,732 25,057 107,485 Institutional Government Money Market -- -- -- -- 16,755 16,755
Net capital losses incurred after October 31, and within the taxable year, are deemed to arise on the first business day of the Fund's next taxable year. For the year ended July 31, 2010, the following Funds deferred to August 1, 2010 post October capital losses of:
CAPITAL LOSSES -------------- Prime Money Market $1,089,984 Institutional Money Market 2,535,558
(7) MARKET AND CREDIT RISK In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an institution or other entity with which the Funds have unsettled or open transactions will default. The potential loss could exceed the value of the financial assets recorded in the financial statements. Financial assets, which potentially expose the Funds to credit risk, consist principally of cash due from counterparties and investments. The extent of the Funds' exposure to credit and counterparty risks in respect to these financial assets approximates their carrying value as recorded in the Funds' Statements of Assets and Liabilities. 62 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- (8) GUARANTEES AND INDEMNIFICATIONS Under the Trust's organizational documents, its Officers and Board of Trustees ("Trustees") are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds may enter into contracts with their vendors and others that provide for the general indemnification of Trustees and Officers. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds. However, based on experience, the Funds expect that risk of loss to be remote. (9) SECURITIES VALUATIONS As described in Note 2, the Funds use various methods to measure the fair value of most of their investments on a recurring basis. U.S. GAAP established a hierarchy that prioritizes inputs to valuation methods. The three levels of input are: o Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. o Level 2 - Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. The inputs may include quoted prices for the identical investment on an inactive market, prices for similar investments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. o Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds' own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether a security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in level 3. 63 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The Funds' policy is to recognize transfers between levels at the end of the reporting period. (10) FAIR VALUE MEASUREMENTS A description of the valuation techniques applied to the Funds' major categories of assets and liabilities measured at fair value on a recurring basis follows. SHORT TERM NOTES -- Investments of the Funds are valued at amortized cost, which approximates market value. Under the amortized cost method, discount or premium is accreted or amortized on a constant basis to the maturity of the security. To the extent the inputs are observable and timely, the values would be categorized in level 2 of the fair value hierarchy. OPEN-END INVESTMENT COMPANIES -- Investments are valued at net asset value as reported by such investment companies and are categorized as level 1. The following is a summary of the fair value hierarchy according to the inputs used as of July 31, 2010 in valuing the Funds' assets and liabilities:
FAIR VALUE MEASUREMENT AT 7/31/2010 USING ------------------------------------------- QUOTED PRICES IN ACTIVE SIGNIFICANT MARKETS FOR OTHER SIGNIFICANT IDENTICAL OBSERVABLE UNOBSERVABLE INVESTMENTS INPUTS INPUTS VALUE AT (LEVEL 1) (LEVEL 2) (LEVEL 3) 7/31/10 ------------ ------------ ----------- ---------- PRIME MONEY MARKET ------------------------- ASSETS Corporate Bonds $ -- $ 94,196,886 $-- $ 94,196,886 Municipal Bonds -- 8,027,920 -- 8,027,920 U.S. Government Agencies -- 113,009,197 -- 113,009,197 U.S. Treasury Obligations -- 5,007,683 -- 5,007,683 Certificates of Deposit -- 40,000,724 -- 40,000,724 Commercial Paper -- 180,794,054 -- 180,794,054 Demand Notes -- 56,049,000 -- 56,049,000 Municipal Demand Notes -- 260,488,000 -- 260,488,000 Money Markets 31,847,479 -- -- 31,847,479 Repurchase Agreements -- 119,505,000 -- 119,505,000 ------------------------- ---------------------------------------------------------- Total $31,847,479 $877,078,464 $-- $908,925,943 ------------------------- ==========================================================
64 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 --------------------------------------------------------------------------------
FAIR VALUE MEASUREMENT AT 7/31/2010 USING ------------------------------------------- QUOTED PRICES IN ACTIVE SIGNIFICANT MARKETS FOR OTHER SIGNIFICANT IDENTICAL OBSERVABLE UNOBSERVABLE INVESTMENTS INPUTS INPUTS VALUE AT (LEVEL 1) (LEVEL 2) (LEVEL 3) 7/31/10 ------------ -------------- ----------- ------------ INSTITUTIONAL MONEY MARKET -------------------------- ASSETS Corporate Bonds $ -- $ 229,183,439 $-- $ 229,183,439 U.S. Government Agencies -- 364,076,371 -- 364,076,371 U.S. Treasury Obligations -- 10,015,365 -- 10,015,365 Certificates of Deposit -- 289,602,443 -- 289,602,443 Commercial Paper -- 706,967,545 -- 706,967,545 Demand Notes -- 124,605,000 -- 124,605,000 Municipal Demand Notes -- 868,542,000 -- 868,542,000 Money Markets 128,821,978 -- -- 128,821,978 Repurchase Agreements -- 547,522,000 -- 547,522,000 -------------------------- ---------------------------------------------------------- Total $128,821,978 $3,140,514,163 $-- $3,269,336,141 ========================================================== INSTITUTIONAL GOVERNMENT MONEY MARKET ------------------------------------- ASSETS Corporate Bonds $ -- $ 46,387,920 $-- $ 46,387,920 Mortgage-Backed Securities -- 69,087,713 -- 69,087,713 U.S. Government Agencies -- 1,237,358,374 -- 1,237,358,374 U.S. Treasury Obligations -- 5,007,683 -- 5,007,683 Money Markets 10,407,873 -- -- 10,407,873 Repurchase Agreements -- 710,067,000 -- 710,067,000 -------------------------- ---------------------------------------------------------- Total $ 10,407,873 $2,067,908,690 $-- $2,078,316,563 ========================================================== U.S. TREASURY MONEY MARKET -------------------------- ASSETS Corporate Bonds $ -- $ 125,183,511 $-- $ 125,183,511 U.S Government Agencies -- 30,000,000 -- 30,000,000 U.S. Treasury Bills -- 229,901,293 -- 229,901,293 U.S. Treasury Notes -- 195,736,113 -- 195,736,113 Money Markets 1,282,077 -- -- 1,282,077 Repurchase Agreements -- 853,699,000 -- 853,699,000 -------------------------- ---------------------------------------------------------- Total $ 1,282,077 $1,434,519,917 $-- $1,435,801,994 ==========================================================
There were no transfers between level 1 and level 2 during the period. The Funds did not have level 3 holdings at the beginning or end of the period ended July 31, 2010. 65 FIFTH THIRD FUNDS NOTES TO FINANCIAL STATEMENTS, CONTINUED JULY 31, 2010 -------------------------------------------------------------------------------- (11) U.S. DEPARTMENT OF THE TREASURY'S TEMPORARY GUARANTEE PROGRAM FOR MONEY MARKET FUNDS The Funds entered into a Guarantee Agreement with the U.S. Department of the Treasury (the "Treasury") to participate in the Treasury's Temporary Guarantee Program for Money Market Funds (the "Program"). Subject to certain conditions and limitations, in the event that the per share value of a Fund fell below $0.995 and the Fund liquidates its holdings, the Program would provide coverage to Shareholders in the Fund for up to $1.00 per share for the lesser of either the number of shares the investor held in the Fund at the close of business on September 19, 2008 or the number of shares the investor held the date the per share value fell below $0.995. Any increase in the number of shares an investor holds after the close of business on September 19, 2008 will not be covered by the Program. In addition, if an investor closes his or her account with a Fund or broker-dealer, any future investment in the Fund will not be guaranteed. Shares acquired by investors after September 19, 2008 generally are not eligible for protection under the Program. The Program, which was originally set to expire on December 18, 2008, was extended by the Treasury until September 18, 2009. Participation in the initial term and the extended Program required a payment to the Treasury of 0.01% and 0.015%, respectively, multiplied by the number of each Fund's shares outstanding as of September 19, 2008 (valued at $1.00 per share). This expense was borne by the Funds without regard to any expense limitation in effect during the period. (12) SUBSEQUENT EVENTS Management has evaluated the possibility of subsequent events and has determined that there are no additional events that would require adjustment to or additional disclosure in the Funds' financial statements. 66 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF FIFTH THIRD FUNDS: In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fifth Third Prime Money Market Fund, Fifth Third Institutional Money Market Fund, Fifth Third Institutional Government Money Market Fund and Fifth Third U.S. Treasury Money Market Fund (four series of Fifth Third Funds, hereafter referred to as the "Funds") at July 31, 2010, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements 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 are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at July 31, 2010 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Kansas City, Missouri September 22, 2010 67 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED) -------------------------------------------------------------------------------- FIFTH THIRD FUNDS MANAGEMENT ^ The Trustees and Officers of the Funds, their age, the position they hold with the Funds, their term of office and length of time served, a description of their principal occupations during the past five years, the number of portfolios in the fund complex that the Trustee oversees and any other directorships held by the Trustee are listed in the two tables immediately following. The business address of the persons listed below is 38 Fountain Square Plaza, Cincinnati, Ohio 45202. INDEPENDENT TRUSTEES --------------------
POSITION(S) TERM OF OFFICE AND NAME AND AGE HELD WITH THE FUNDS LENGTH OF TIME SERVED(1) ------------ ------------------- ------------------------ Edward Burke Carey Chairman-Board January 1989-Present Age: 65 of Trustees David J. Durham Trustee June 2001-Present Age: 65 J. Joseph Hale Jr. Trustee March 2001-Present Age: 60 John E. Jaymont Trustee October 2001-Present Age: 65
--------------- ^ Additional disclosure can be found in the Statement of Additional Information, which can be obtained by calling 1-800-282-5706. 68 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED --------------------------------------------------------------------------------
NUMBER OF PORTFOLIOS IN FUND OTHER PRINCIPAL OCCUPATION(S) COMPLEX OVERSEEN DIRECTORSHIPS DURING THE PAST 5 YEARS BY TRUSTEE HELD BY TRUSTEE ----------------------- ------------------ --------------- Carey Realty Investments, Inc. 24 Canisius (real estate development and College-Trustee. consulting), President, 1990-Present. Chairman of Clipper Products, Inc., 24 None a wholesale distributor, 2005-Present. Chairman of Norris Products Corp., a wholesale distributor, 2005-Present. President and Chief Executive Officer of Clipper Products, Inc., 1997-Present. Consultant, Duke Energy, July 2010-Present. 24 Trustee for President and CEO of MediLux Health Hanover College, Care, April 2008-March 2010. The Egan Maritime EVP and Managing Director, DHR Institute, The Sconset International (executive recruiter), Chapel, The Sconset April 2007-2008. President, Cinergy Trust, The March of Foundation, November 2001-March 2006. Dimes. The Community Foundation for Nantucket Business Development Director, Printing 24 None Industries of Ohio/North Kentucky (printing industry association) Feb. 2002-Present.
69 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED -------------------------------------------------------------------------------- INDEPENDENT TRUSTEES, CONTINUED -------------------------------
POSITION(S) TERM OF OFFICE AND NAME AND AGE HELD WITH THE FUNDS LENGTH OF TIME SERVED(1) ------------ ------------------- ------------------------ David J. Gruber Trustee December 2003-Present Age: 46 INTERESTED TRUSTEE ------------------ POSITION(S) TERM OF OFFICE AND NAME AND AGE HELD WITH THE FUNDS LENGTH OF TIME SERVED(1) ------------ ------------------- ------------------------ E. Keith Wirtz(2) President and President April 2007- Age: 50 Trustee Present. Trustee March 2010-Present OFFICERS -------- Matthew A. Ebersbach Vice President March 2006-Present Age: 40 Richard B. Ille Vice President April 2007-Present Age: 45 James A. Mautino Anti-Money February 2007-Present Age: 42 Laundering and Chief Compliance Officer
70 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED --------------------------------------------------------------------------------
NUMBER OF PORTFOLIOS IN FUND OTHER PRINCIPAL OCCUPATION(S) COMPLEX OVERSEEN DIRECTORSHIPS DURING THE PAST 5 YEARS BY TRUSTEE HELD BY TRUSTEE ----------------------- ------------------ --------------- President, DJG Financial Consulting 24 CASA of (accounting and finance consultant), Delaware County June 2007-Present. Resources Global Professionals, Project Professional, December 2004-June 2007. Ohio Arts & Sports Facilities Commission (state funding oversight agency), CFO, April 2003-December 2004. PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS ----------------------- President, Fifth Third Asset 24 None Management, Inc. 2003-Present, Managing Partner, Paladin Investment Associates, LLC, 2000-2003. Vice President of Fifth Third Bank since 2001. Registered representative of FTAM Funds Distributor, Inc. Managing Director, Products and Marketing, Fifth Third Asset Management, Inc., 2001-Present. Registered representative of FTAM Funds Distributor, Inc. Vice President and Chief Compliance Officer, Fifth Third Asset Management, Inc. August 2005-Present, Director of Risk and Compliance, State Street Bank and Trust Company, October 1995-July 2005.
71 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED -------------------------------------------------------------------------------- OFFICERS, CONTINUED -------------------
POSITION(S) TERM OF OFFICE AND NAME AND AGE HELD WITH THE FUNDS LENGTH OF TIME SERVED(1) ------------ ------------------- ------------------------ Shannon King Treasurer March 2008-Present Age: 38 Matthew A. Swendiman Secretary April 2007-Present Age: 37 Ryan Casey Assistant Treasurer April 2009-Present Age: 37 Tracy Kaufman Assistant Treasurer June 2007-Present Age: 51 Francine S. Hayes Assistant Secretary June 2007-Present Age: 42
---------- (1) Each Trustee serves until the election and qualification of a successor, or until death, resignation, retirement or removal as provided in the Trust's Amended and Restated Declaration of Trust. Retirement occurs on the last day of the fiscal year in which the Trustee's 73rd birthday occurs. The Trust's Officers are elected annually by the Trustees. (2) Mr. Wirtz is an interested Trustee of the Trust due to his position with the Advisor. 72 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED -------------------------------------------------------------------------------- PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS ----------------------------------------------- Vice President, Fifth Third Asset Management, Inc. September 2007-Present, Assistant Vice President and Capital Markets Derivative Manager, Fifth Third Bank, 2005-2007, Capital Markets Accounting Manager, Fifth Third Bank 2001-2005. Registered representative of FTAM Funds Distributor, Inc. Vice President and Counsel of Fifth Third Bank, March 2006 to Present. Attorney, Kirkpatrick & Lockhart Nicholson Graham, LLP, May 2005-March 2006. Counsel, The Phoenix Companies, Inc., July 2002-April 2005. Assistant Vice President and Assistant Counsel, Conseco Capital Management, Inc., December 2000-June 2002. Registered representative of FTAM Funds Distributor, Inc. Vice President, State Street Bank and Trust Company (a Massachusetts trust company) from 2000 to Present. Assistant Vice President, State Street Bank and Trust Company (a Massachusetts trust company) from 1986 to Present. Vice President and Counsel, State Street Bank and Trust Company (a Massachusetts trust company) from 2004 to Present; and Assistant Vice President and Counsel, State Street Bank and Trust Company, from 2001 to 2004. 73 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED -------------------------------------------------------------------------------- EXPENSE EXAMPLE As a shareholder of the Fifth Third Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution and/or service 12b-1 fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fifth Third Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from February 1, 2010 through July 31, 2010. ACTUAL EXPENSES --------------- The table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. The expense ratio may vary period to period because of various factors, as a result of expenses incurred that are outside the cap (such as extraordinary expenses and interest expense.) 74 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED --------------------------------------------------------------------------------
EXPENSE EXPENSE PAID RATIO BEGINNING ENDING DURING DURING ACCOUNT ACCOUNT PERIOD* PERIOD VALUE VALUE 2/1/10 - 2/1/10 - 2/1/10 7/31/10 7/31/10 7/31/10 --------- --------- --------- --------- PRIME Institutional Shares $1,000.00 $1,000.10 $1.59 0.32% MONEY MARKET Class A Shares 1,000.00 1,000.10 1.64 0.33% Class B Shares 1,000.00 1,000.10 1.59 0.32% Class C Shares 1,000.00 1,000.10 1.59 0.32% INSTITUTIONAL Institutional Shares 1,000.00 1,000.60 1.04 0.21% MONEY MARKET Select Shares 1,000.00 1,000.20 1.44 0.29% Preferred Shares 1,000.00 1,000.10 1.54 0.31% Trust Shares 1,000.00 1,000.00 1.54 0.31% INSTITUTIONAL Institutional Shares 1,000.00 1,000.20 1.04 0.21% GOVERNMENT Select Shares 1,000.00 1,000.00 1.19 0.24% MONEY MARKET Preferred Shares 1,000.00 1,000.00 1.19 0.24% Trust Shares 1,000.00 1,000.00 1.19 0.24% U.S. TREASURY Institutional Shares 1,000.00 1,000.10 0.94 0.19% MONEY MARKET Select Shares 1,000.00 1,000.00 0.99 0.20% Preferred Shares 1,000.00 1,000.00 0.99 0.20% Trust Shares 1,000.00 1,000.00 0.99 0.20%
------------- * Expenses are equal to the average account value times the Fund's annualized expense ratio multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year. 75 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED -------------------------------------------------------------------------------- HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES -------------------------------------------- The table below provides information about hypothetical account values and hypothetical expenses based on each Fifth Third 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 however use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The expense ratio may vary period to period because of various factors, as a result of expenses incurred that are outside the cap (such as extraordinary expenses and interest expense.) 76 FIFTH THIRD FUNDS SUPPLEMENTAL INFORMATION (UNAUDITED), CONTINUED --------------------------------------------------------------------------------
EXPENSE EXPENSE PAID RATIO BEGINNING ENDING DURING DURING ACCOUNT ACCOUNT PERIOD* PERIOD VALUE VALUE 2/1/10 - 2/1/10 - 2/1/10 7/31/10 7/31/10 7/31/10 --------- --------- --------- --------- PRIME Institutional Shares $1,000.00 $1,023.21 $1.61 0.32% MONEY MARKET Class A Shares 1,000.00 1,023.16 1.66 0.33% Class B Shares 1,000.00 1,023.21 1.61 0.32% Class C Shares 1,000.00 1,023.21 1.61 0.32% INSTITUTIONAL Institutional Shares 1,000.00 1,023.75 1.05 0.21% MONEY MARKET Select Shares 1,000.00 1,023.36 1.45 0.29% Preferred Shares 1,000.00 1,023.26 1.56 0.31% Trust Shares 1,000.00 1,023.26 1.56 0.31% INSTITUTIONAL Institutional Shares 1,000.00 1,023.75 1.05 0.21% GOVERNMENT Select Shares 1,000.00 1,023.60 1.20 0.24% MONEY MARKET Preferred Shares 1,000.00 1,023.60 1.20 0.24% Trust Shares 1,000.00 1,023.60 1.20 0.24% U.S. TREASURY Institutional Shares 1,000.00 1,023.85 0.95 0.19% MONEY MARKET Select Shares 1,000.00 1,023.80 1.00 0.20% Preferred Shares 1,000.00 1,023.80 1.00 0.20% Trust Shares 1,000.00 1,023.80 1.00 0.20%
---------- * Expenses are equal to the average account value times the Fund's annualized expense ratio multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year. 77 This page intentionally left blank. 78 ADDRESSES -------------------------------------------------------------------------------- Fifth Third Funds Fifth Third Funds 38 Fountain Square Plaza Cincinnati, Ohio 45202 -------------------------------------------------------------------------------- Investment Advisor, Fifth Third Asset Management, Inc. Administrator and Accountant 38 Fountain Square Plaza Cincinnati, Ohio 45202 -------------------------------------------------------------------------------- Distributor FTAM Funds Distributor, Inc. 1290 Broadway, Suite 1100 Denver, Colorado 80203 -------------------------------------------------------------------------------- Custodian, Sub-Accountant State Street Bank and Trust Company and Sub-Administrator 801 Pennsylvania Avenue Kansas City, Missouri 64105 -------------------------------------------------------------------------------- Transfer and Dividend Boston Financial Data Services, Inc. Disbursing Agent 30 Dan Road Canton, Massachusetts 02021 -------------------------------------------------------------------------------- Independent Registered PricewaterhouseCoopers LLP Public Accounting Firm 1100 Walnut, Suite 1300 Kansas City, Missouri 64106 -------------------------------------------------------------------------------- ================================================================================ Advised by: [LOGO OF FTAM] FIFTH THIRD ASSET MANAGEMENT [GRAPHIC OF BEYOND THE TRADITIONAL] BEYOND THE TRADITIONAL FTF 2757073111 1-800-282-5706 AR-MMF-10 ================================================================================ ITEM 2. CODE OF ETHICS. As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the "Code of Ethics"). There have been no amendments to the Code of Ethics since it was last filed. The Code of Ethics is attached hereto as Exhibit 12(a)(1). There have been no waivers granted by the registrant to individuals covered by the Code of Ethics during the period covered by this report on Form N-CSR. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The Board of Trustees of the registrant has determined that it has one audit committee financial expert serving on the registrant's Audit Committee that possess the attributes identified in Item 3(b) of Form N-CSR. The name of the audit committee financial expert is David J. Gruber and Mr. Gruber is "independent" as that term is defined in Item 3(a)(2) of Form N-CSR. An "audit committee financial expert" is not an "expert" for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as a result of being designated as an "audit committee financial expert." Further, the designation of a person as an "audit committee financial expert" does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the "audit committee financial expert" designation. Similarly, the designation of a person as an "audit committee financial expert" does not affect the duties, obligations, or liability of any other member of the Audit Committee or Board of Trustees. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Audit Fees ---------- The aggregate fees billed for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services normally provided in connection with statutory and regulatory filings and engagements for the last two fiscal years ended July 31, 2009 and July 31, 2010 were $386,238 and $319,624, respectively. (b) Audit Related Fees ------------------ The registrant was not billed any fees by the principal accountant for the fiscal year ended July 31, 2009 or July 31, 2010 for assurance and related services that were reasonably related to the performance of the audit of the registrant's financial statements and not otherwise included under paragraph (a) of this Item 4. (c) Tax Fees -------- The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice and tax planning in the form of preparation of excise filings and income tax returns for the last two fiscal years ended July 31, 2009 and July 31, 2010 were $147,498 and $75,148, respectively. (d) All Other Fees -------------- The aggregate fees billed for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item for the last two fiscal years ended July 31, 2009 and July 31, 2010 were $0 and $0, respectively. (e) Pre-Approval Policies and Procedures ------------------------------------ (1) Audit and Non-Audit Services Pre-Approval Policies and Procedures I. Purpose Under the Sarbanes-Oxley act of 2002 (the "Act"), the audit committee (the "Committee") of the Board of Trustees of Fifth Third Funds (the "Trust") is responsible for the appointment, compensation and oversight of the work of the Trust's independent auditor. As part of this responsibility, the Committee is required to grant approval for audit and non-audit services performed by the independent auditor for the Trust in order assure that they do not impair the auditor's independence from the Trust. To implement these provisions of the Act, the Securities and Exchange Commission (the "SEC") has issued rules specifying the types of services that the Trust's independent auditor may not provide to the Trust, as well as the committee's administration of the engagement of the independent auditor. Under these rules, the SEC has provided that a permissible approval of audit and non-audit services can take the form of either (i) an express approval of a particular engagement, or (ii) a pre-approval (where a specific type of service is authorized, generally subject to a fee maximum). The latter types of approvals are authorized by SEC rules only subject to detailed policies and procedures. Accordingly, the Committee has adopted these audit and non-audit services pre-approval policies and procedures, which set forth the procedures and the conditions pursuant to which services for the Trust may be performed by the independent auditor under pre-approvals. II. General Pre-Approval Policies It is the policy of the committee that audit and non-audit services to be performed by the Trust's independent auditor be pre-approved only when in the best interests of the Trust's shareholders and fully consistent with applicable law and, particularly, the maintenance of the auditor's independence. In granting any pre-approval, consideration shall be given to: 1. The qualifications of the auditor to perform the services involved; 2. The proposed costs (which may be presented as an estimate or based on professional time charges subject to a ceiling) of the services and the reasonableness thereof; 3. The permissibility of the services under applicable rules and guidance of the SEC; 4. The effect, if any, of the performance of the proposed services on the auditor's independence; 5. The effect of the compensation for the proposed services on the auditor's independence; and 6. The effect, if any, of the proposed services on the Trust's ability to manage or control risk or to improve audit quality. While non-audit services may include reviewing and/or validating procedures or work products of the Trust, they may not include the production or modification of such procedures or work products. While non-audit services may include market research and strategic insights, such services shall be limited to factual reports and shall not include recommendations. No pre- approval shall be made in a manner that would constitute a delegation to the Trust's management. III. Procedures for Pre-Approval by the Committee 1. Requests for pre-approval shall be in writing and may be made by either the independent auditors or by management of the Trust. 2. All requests for pre-approval shall be made to the full Committee at regularly scheduled meetings thereof (or at a special meeting of the Committee set to coincide with regular meetings of the Trust's Board of Trustees) whenever practicable. 3. Under normal circumstances, requests for pre-approval should be presented at least 14 days prior (and in no event later than 48 hours prior) to the proposed commencement of the engagement. 4. If consideration of a request for pre-approval on the dates identified in Section III (2) would not be timely, the requesting party shall notify the Committee's chairman. The Committee's chairman shall then determine whether to schedule a special meeting of the Committee (which may be conducted telephonically) on an alternative date or whether the request may appropriately be presented to a delegate of the Committee under procedures set forth in Section IV below. 5. Requests for pre-approval may include, but are not limited to, the following services: A. Audit engagement, particularly for interim periods; B. Preparation of fund tax returns; C. Review and consents with respect to use of reports in post- effective amendments to the registration statements of the Trust; D. Review of its shareholder materials; E. Review and validation of fund procedures (e.g., valuation, interfund lending, etc.), and F. Market research and strategic insights. 6. Requests for pre-approval should identify the nature of the services to be provided in a manner sufficiently specific to allow evaluation of the considerations identified above in Section II. 7. Requests for pre-approval must include an assessment by the independent auditor of their independence should the request be granted and the proposed services rendered. 8. The Committee's action on a request for pre-approval shall be recorded in the Committee's minutes. 9. The Committee's action on a request for pre-approval shall be communicated in writing to the independent auditor and, under normal circumstances, a copy of this communication shall be provided to the Trust's management. 10. The Committee's action on a request for pre-approval shall be reported to the full board of Trustees. 11. Pre-approvals will be granted for a period of no more than one year. IV. Procedures for Pre-Approval by a Delegate of the Committee 1. Where it has been determined by the Committee's chairman that consideration of a request for pre-approval by the full Committee would not be timely, the chairman may determine that the request be presented to a member(s) of the Committee appointed by the Committee as its delegate (the "delegate") for this purpose. (as of the date of the adoption of these guidelines and procedures, John E. Jaymont has been so appointed, and such appointment may be revoked or modified by the Committee at any time.) 2. Requests for pre-approval shall be in writing and may be made by either the independent auditors or by management of the Trust. 3. Under normal circumstances, requests for pre-approval should be presented at least 14 days prior (and in no event later than 48 hours prior) to the proposed commencement of the engagement. 4. Requests for pre-approval may include, but are not limited to, the following services: a. Audit engagement, particularly for interim periods; b. Preparation of fund tax returns; c. Review and consents with respect to use of reports in post- effective amendments to the registration statements of the Trust; d. Review of its shareholder materials; e. Review and validation of fund procedures (e.g., valuation, interfund lending, etc.); and f. Market research and strategic insights. 5. Requests for pre-approval should identify the nature of the services to be provided in a manner sufficiently specific to allow evaluation of the considerations identified above in Section II. 6. Requests for pre-approval must include an assessment by the independent auditor of their independence should the request be granted and the proposed services rendered. 7. The delegate's action on a request for pre-approval shall be communicated in writing to the independent auditor, with a copy to each other member of the Committee and, under normal circumstances, to the Trust's management. 8. Pre-approvals by the delegate shall be reviewed by the Committee at a meeting held no later than the next scheduled meeting of the Board of Trustees or the Committee, whichever occurs sooner. An earlier review shall be conducted upon the written request of one or more Committee members addressed to the Committee's Chairman. 9. Pre-approvals by the delegate may be modified or revoked by the Committee, but will not absolve the Trust of its responsibility to compensate the independent auditor for services rendered prior to such modification or revocation. 10. The results of the Committee's review of the delegate's action on a request for pre- approval shall be recorded in the Committee's minutes and reported to the full board of Trustees. 11. Pre-approvals will be granted by the delegate for a period of no more than one year. V. Procedures For Monitoring Engagements Authorized Under Pre-Approval Procedures The independent auditor shall inform the Committee in writing upon the Commencement of services rendered under a pre-approval. The independent auditor shall thereafter provide the Committee with written quarterly progress reports within one month of the close of each calendar quarter detailing the work done and fees and other charges incurred during said calendar quarter. Should fees and expenses exceed those specified in a pre-approval (or appear likely to do so prior to completion of the work), the independent auditor or management shall so apprise the Committee and an additional express approval or pre-approval must be obtained. VI. Amendment These policies and procedures may be amended or revoked at any time by the Committee and shall be reviewed at least annually in conjunction with review of the Audit Committee charter. (2) None, or 0% of services relating to the Audit-Related Fees, Tax Fees and All Other Fees disclosed above were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) No disclosures are required by this Item 4(f). (g) The aggregate non-audit fees billed for the fiscal year ended July 31, 2009 and July 31, 2010 for services rendered by the principal accountant to the registrant were $147,498 and $75,148, respectively. The aggregate non-audit fees billed for the fiscal year ended July 31, 2009 and July 31, 2010 for services rendered by the principal accountant to the investment adviser were $29,708 and $0, respectively. (h) The Audit Committee has considered that the provision of non-audit services that were rendered to the registrant's investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. SCHEDULE OF INVESTMENTS. (a) A Schedule of Investments is included as a part of the reports to shareholders filed under Item 1 of this Form N-CSR. (b) Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There were no material changes to the procedures by which shareholders may recommend nominees to the registrant's Board of Trustees since the registrant last disclosed its procedures pursuant to Item 22(b)(15) of Schedule 14A or this Item. ITEM 11. CONTROLS AND PROCEDURES. (a) The registrant's principal executive officer and principal financial officer have concluded based on their evaluation of the registrant's disclosure controls and procedures as conducted within 90 days of the filing date of this report, that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the registrant's 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) The Code of Ethics is attached hereto. (a)(2) The certifications required by Rule 30a-2(a) of the Investment Company Act of 1940, as amended, are attached hereto. (a)(3) Not applicable. (b) The certifications required by Rule 30a-2(b) of the Investment Company Act of 1940, as amended, and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. FIFTH THIRD FUNDS /s/ E. Keith Wirtz ------------------ E. Keith Wirtz President Date: September 29, 2010 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. /s/ E. Keith Wirtz ------------------ E. Keith Wirtz President (Principal Executive Officer) Date: September 29, 2010 /s/ Shannon King ---------------- Shannon King Treasurer (Principal Financial and Accounting Officer) Date: September 29, 2010 EXHIBIT 12(a)(1) FIFTH THIRD FUNDS CODE OF ETHICS FOR PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS ----------------------------------------------------------------------- I. COVERED OFFICERS/PURPOSE OF THE CODE The Board of Trustees (the "Board") of the Fifth Third Funds (the "Trust") has established this Code of Ethics ("Code") in accordance with the Sarbanes-Oxley Act of 2002 and the rules promulgated thereunder. This Code applies to the Company's Principal Executive Officer ("President") and Principal Financial Officer ("Treasurer") (the "Covered Officers" each of whom is identified in Exhibit A) for the purpose of promoting: o honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; o full, fair, accurate, timely and understandable disclosure in reports and documents that a registrant files with, or submits to, the Securities and Exchange Commission ("SEC") and in other public communications made by the Company; o compliance with applicable laws and governmental rules and regulations; o the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and o accountability for adherence to the Code. Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to apparent as well as actual conflicts of interest. II. COVERED OFFICERS SHOULD HANDLE ETHICALLY ACTUAL AND APPARENT CONFLICTS OF INTEREST OVERVIEW. A "conflict of interest" occurs when a Covered Officer's private interest interferes with the interests of, or his service to, the Company. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his position in the Company. Under no circumstances should a Covered Officer have any undisclosed or unapproved financial or other business relationship with the Trust or a third party that might impair or might by viewed as impairing the exercise of the Covered Officer's best judgment with respect to matters involving the Trust. Certain conflicts of interest arise out of the relationships between Covered Officers and the Company and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (the "Investment Company Act"). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Company because of their status as "affiliated persons" of the Company. Each Covered Officer is an employee of the Company's investment adviser or its affiliates ("Adviser"). The Company's and the Adviser's compliance programs and procedures are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code. Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Company and the Adviser of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Company or for the Adviser, or for both), be involved in establishing policies and implementing decisions which will have different effects on the Adviser and the Company. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Company and the Adviser and is consistent with the performance by the Covered Officers of their duties as officers of the Company. Thus, if performed in conformity with the provisions of the Investment Company Act, will be deemed to have been handled ethically. In addition, it is recognized by the Board that the Covered Officers may, from time to time, also be officers or employees of one or more other investment companies covered by this or other Codes. Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of the Company. Each Covered Officer must: o not use his personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Company whereby the Covered Officer would benefit personally to the detriment of the Company; o not cause the Company to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than for the benefit of the Company; o not use material non-public knowledge of portfolio transactions made or contemplated for the Company to trade personally or cause others to trade personally in contemplation of the market effect of such transactions; There are some relationships that should always be disclosed to the Chief Compliance Officer of the Trust, including: 1. Any ownership interest in, or any consulting or employment relationship with, any entities doing business with the Trust, other than an affiliated service provider or an affiliate of an affiliated service provider. This disclosure requirement shall not apply to or otherwise limit the ownership of publicly traded securities so long as the Covered Officer's ownership does not exceed more than 1% of the outstanding securities of the relevant class. 2. A direct or indirect financial interest in commissions, transaction charges or spreads paid by the Trust for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer's employment with an affiliated service provider or its affiliates. This disclosure requirement shall not apply to or otherwise limit (i) the ownership of publicly traded securities so long as the Covered Officer's ownership does not exceed more than 1% of a particular class of security outstanding or (ii) the receipt by an affiliated service provider or its affiliates of research or other benefits in exchange for "soft dollars". As a registered investment company, it is of critical importance that the Trust's public communications, reports, and SEC filings contain full, fair, accurate, timely, and understandable disclosure. Accordingly, each Covered Officer is expected to consider it central to his or her duties and responsibilities to the Trust to promote full, fair, accurate, timely, and understandable disclosure in the Trust's public communications and reports, and in the documents that the Trust files with, or submits to, the SEC. In this regard, the Trust has adopted Disclosure Controls and Procedures that, "under the supervision and oversight" of the Covered Officers are designed to ensure that all information the Trust is 2 required to disclose in its annual and semi-annual reports filed with the SEC are recorded, processed, summarized and reported within the time periods specified by the SEC under its rules and regulations. In addition to adhering to the specific requirements set forth in those Disclosure Controls and Procedures and all applicable governmental laws, rules and regulations, each Covered Officer shall exercise a high standard of care in complying with the Trust's system of internal accounting controls, and in preparing and providing all necessary information to make the Trust's public reports, communications, and SEC filings and submissions complete, fair, and understandable. Accordingly, each Covered Officer must not knowingly misrepresent or cause others to misrepresent facts about the Trust. In addition, each Covered Officer must seek to ensure that all of the Trust's books, records, accounts and financial information, as well as reports produced from those materials: 1. Are supported by accurate documentation maintained in reasonable detail; 2. Are recorded in the proper account and in the proper accounting period; 3. Do not contain any false or intentionally misleading entries; 4. Fairly and accurately reflect the transactions or occurrences to which they relate; and 5. Conform to both the Trust's system of internal controls, its Disclosure Controls and Procedures, and to all applicable laws, rules and regulations. III. DISCLOSURE & COMPLIANCE o Each Covered Officer should familiarize himself with the disclosure requirements generally applicable to the Company; o each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about the Company to others, whether within or outside the Company, including to the Company's Trustees and auditors, and to governmental regulators and self-regulatory organizations; o each Covered Officer should, to the extent appropriate within his area of responsibility, consult with other officers and employees of the Company and the Adviser or subadviser, administrator, and sub-administrator with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Company files with, or submits to, the SEC and in other public communications made by the Company; and o it is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations. IV. REPORTING AND ACCOUNTABILITY Each Covered Officer must: o upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Board that he/she has received, read, and understands the Code (pursuant to the form identified as Exhibit B); o annually thereafter affirm to the Board that he/she has complied with the requirements of the Code (pursuant to the form identified as Exhibit C); o not retaliate against any employee or Covered Officer or their affiliated persons for reports of potential violations that are made in good faith; 3 o notify the Chief Legal Officer ("CLO) promptly if he/she knows of any violation of this Code. Failure to do so is itself a violation of this Code; and o report at least annually any change in his/her affiliations from the prior year. The CLO is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation. The Company will follow these procedures in investigating and enforcing this Code: o the CLO will take all appropriate action to investigate any potential violations reported to him/her; o if, after such investigation, the CLO believes that no violation has occurred, the CLO is not required to take any further action; o if the CLO concurs that a violation has occurred, he/she will inform and make a recommendation to the Audit Committee, which will consider appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the Adviser or its board; or a recommendation to dismiss the Covered Officer; and o any changes to this Code will, to the extent required, be disclosed as provided by SEC rules. V. OTHER POLICIES AND PROCEDURES This Code shall be the sole code of ethics adopted by the Trust for purposes of Section 406 of the Sarbanes-Oxley Act of 2002 and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Trust, the Trust's Adviser, principal underwriter, or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Code, they are superceded by this Code to the extent that they overlap or conflict with the provisions of this Code. The Funds', its Adviser's, sub-advisers', principal underwriter's and service providers' codes of ethics under Rule 17j-1 under the Investment Company Act and the Adviser's more detailed policies and procedures are separate requirements applying to the Covered Officers and others, and are not part of this Code. VI. AMENDMENTS Any amendments to this Code, other than amendments to Exhibits A, B, and C, must be approved or ratified by a majority vote of the Company's board, including a majority of independent directors/trustees. VII. RECORDS A copy of this Code, any amendments hereto, and any reports or other records created in relation to waivers of or amendments to provisions of this Code shall be kept as records of the Trust for six years from the end of the fiscal year in which such document was created. All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than to members of the Board, Trust counsel and counsel to the independent directors. Such records shall be furnished to the SEC or its staff upon request. 4 VIII. CONFIDENTIALITY All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the appropriate Board and its counsel, the Adviser and the respective service providers. IX. INTERNAL USE The Code is intended solely for the internal use by the Trust and does not constitute an admission, by or on behalf of the Company, as to any fact, circumstance, or legal conclusion. Date adopted: August 12, 2003 As amended: September 12, 2007, September 24, 2008, and September 23, 2009 5 EXHIBIT A Persons Covered by this Code of Ethics -------------------------------------- Principal Executive Officer and President - E. KEITH WIRTZ Principal Financial Officer and Treasurer - SHANNON KING As amended March 27, 2008 6 EXHIBIT B FIFTH THIRD FUNDS PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS CODE OF ETHICS CERTIFICATION I, _______________, Principal ___________ Officer of Fifth Third Funds (the "Funds") hereby certify that I have received and read the Code of Ethics for Principal Executive and Principal Financial Officers ("Code") of the Funds. I further certify to the Board that I understand and have complied with the requirements of the Code. By: ______________________ Name: Title: Date: 7 EXHIBIT C FIFTH THIRD FUNDS PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS CODE OF ETHICS CERTIFICATION Reference is made to the Code of Ethics (the "Code") pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 adopted by Fifth Third Funds (the "Trust") which applies to the Trust's Principal Executive Officer and Principal Financial Officer (each a "Covered Officer"). The undersigned Covered Officer hereby certifies that he or she has fully complied with the requirements of the Code since his or her last report to the Board. By: ________________________ Name: Title: Date: 8