N-CSRS

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			811-5857
CMG Fund Trust
(Exact name of registrant as specified in charter)
One Financial Center, Boston, Massachusetts					02111
(Address of principal executive offices)					(Zip code)
James R. Bordewick, Jr., Esq. Columbia Management Advisors, LLC One Financial Center Boston, MA 02111
(Name and address of agent for service)
Registrant’s telephone number, including area code:				1-617-426-3750
Date of fiscal year end:	July 31, 2006
Date of reporting period:		January 31, 2006

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

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

Item 1. Reports to Stockholders.

CMG CORE BOND FUND
CMG SHORT TERM BOND FUND
CMG ULTRA SHORT TERM BOND FUND
CMG HIGH YIELD FUND
PORTFOLIOS OF CMG FUND TRUST

Semiannual Report
January 31, 2006

Advised by Columbia Management Advisors, LLC.

Not FDIC
Insured

May Lose Value

No Bank Guarantee

Columbia Management is the primary investment management division of Bank of America Corporation. Columbia Management entities furnish investment management services and advise institutional and mutual fund portfolios. CMG Funds are distributed by Columbia Management Distributors, Inc., member of NASD, SIPC, part of Columbia Management and an affiliate of Bank of America Corporation.

Columbia Management Advisors, Inc. combined with Banc of America Capital Management, LLC on September 30, 2005. At that time, the newly combined advisor underwent a name change to Columbia Management Advisors, LLC and continues to operate as a SEC-registered investment advisor, wholly owned subsidiary of Bank of America, N.A. and is part of Columbia Management.

Table of Contents

Management Discussion of Fund Performance

CMG Core Bond Fund	1
CMG Short Term Bond Fund	6
CMG Ultra Short Term Bond Fund	11
CMG High Yield Fund	16

Financial Statements

Financial Highlights	21
Schedule of Investments	25
Statements of Assets and Liabilities	59
Statements of Operations	60
Statements of Changes in Net Assets	61
Notes to Financial Statements	63
Board Consideration and Approval of Investment Advisory Agreements	71
Summary of Management Fee Evaluation by Independent Fee Consultant	74

The views expressed in the portfolio commentaries reflect the current views of the Portfolio Managers. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to predict so actual outcomes and results may differ significantly from the views expressed. These views are subject to change at any time based upon economic, market or other conditions and the Portfolio Managers disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a CMG Fund are based on numerous factors, may not be reliedon as an indication of trading intent on behalf of any particular CMG Fund. References to specific company securities should not be constructed as a recommendation or investment advice.

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE

For the six-month period ended January 31, 2006, the CMG Core Bond Fund returned 0.84%. The fund matched the Lehman Brothers Aggregate Bond Index,¹ which also returned 0.84%. It outperformed the average return of its peer group, the Lipper Corporate Debt Funds A-Rated Category, which was 0.49% over the same period.² The fund's decision to keep a relatively short duration compared to its benchmark aided its ability to produce competitive performance during the period.

During the six-month reporting period, the yield curve flattened as the spread between short- and long-term rates narrowed markedly. The Federal Reserve Board (the Fed) raised the federal funds rate to 4.50%, acting with quarter-point increases on five separate occasions. Meanwhile, the yield on two-year Treasury notes rose 50 basis points to 4.50%, while 10-year Treasury note yields rose just 21 basis points to 4.52%.

Against this backdrop, we took a barbell approach to the fund's positioning, concentrating the fund's investments at both the short and long end of the yield curve. The fund's short-term investments helped preserve the flexibility to reinvest at higher rates as securities matured. The fund's long-term investments performed relatively well because long-term interest rates rose less than short-term interest rates. This strategy aided overall performance.

A sizeable position in mortgage-backed securities—53% of the portfolio's holdings—also aided the fund's relative performance as mortgage-backed securities outperformed Treasury securities of comparable maturities during the period. We generally maintained this weight throughout the period, making slight adjustments to the type of mortgage holdings in the fund. As the period wore on, we moved money into commercial mortgage-backed securities, which are secured by commercial properties and tend to be less sensitive to changing interest rates than residential mortgages.

The fund was also overweight in corporate bonds, which detracted somewhat from performance relative to the benchmark. Overall, corporate bonds underperformed comparable Treasury securities by 36 basis points during the reporting period. We trimmed our corporate holdings by two percentage point, from 28% to 26% during the reporting period.

As we look ahead, we believe that one of the developments of the past six months could have enduring significance on the fixed income markets: the ascension of Ben Bernanke to chairman of the Fed, replacing longstanding chairman Alan Greenspan. The introduction of a new chairman along with the removal of the word "measured" in the Fed's stated policy toward further interest-rate increases adds additional uncertainty to the market. In response, we have adopted a more neutral stance relative to the fund's benchmark. Most notably, we decided late in the period to extend the duration of the fund to match the duration of the fund's benchmark. However, we have maintained the fund's net overweight in mortgages and corporate bonds. The fund also has a position in Treasury Inflation Protected Securities, which has the potential to provide an element of stability to the portfolio in the event that inflation exceeds current expectations.

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The fund's top ten holdings (as a percentage of net assets) as of January 31, 2006 were (%):

U.S. Treasury Bonds, 6.250% 08/15/2023	9.7
Federal National Mortgage Association, 5.500% 11/01/2035	4.0
Federal Home Loan Mortgage Corp., 5.500% 08/01/2035	3.3
Federal Home Loan Mortgage Corp., 4.500% 03/15/2018	3.2
Federal Home Loan Mortgage Corp., 5.000% 06/01/2020	2.6
Washington Mutual Mortgage Securities Corp., 5.500% 10/25/2035	2.5
Federal Home Loan Banks, 4.375% 09/11/2009	2.4
Structured Asset Securities Corp., 5.500% 07/25/2033	2.3
Countrywide Alternative Loan Trust, 5.250% 03/25/2035	2.1
Federal Home Loan Mortgage Corp., 4.000% 07/15/2014	2.1

We appreciate your continued confidence in the CMG Core Bond Fund.

Leonard A. Aplet has co-managed the CMG Core Bond Fund since September 2000 and has been with the advisor or its predecessors or affiliate organizations since 1987.

Richard R. Cutts has co-managed the fund since November 2000 and has been with the advisor or its predecessors or affiliate organizations since 1994.

Investing in fixed-income securities may involve certain risks, including the credit quality of individual issuers, possible prepayments, market or economic developments and yields and share price fluctuations due to changes in interest rates. When interest rates go up, bond prices typically drop, and vice versa.

Holdings are calculated as a percentage of net assets, and are subject to change. Because the fund is actively managed, there is no guarantee the fund will continue to maintain the holdings breakdown listed. The fund's holdings and their weights within the portfolio may change as market conditions change.

¹ The Lehman Brothers Aggregate Bond Index is a market value-weighted index that tracks the daily price, coupon, pay-downs, and total return performance of fixed-rate, publicly placed, dollar-denominated non-convertible investment grade debt issues with at least $250 million par amount outstanding and with at least one year to final maturity. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

² Lipper Inc., a widely respected data provider in the industry, calculates an average total return (assuming reinvestment of distributions) for mutual funds with investment objectives similar to those of the fund. Lipper makes no adjustment for the effect of sales loads.

2

Average annual total return as of January 31, 2006 (%)

	Inception		6-month (cumulative)		1-year		5-year		Life
CMG Core Bond Fund		9/1/00		0.84		1.98		5.05		5.93
Lehman Brothers Aggregate Bond Index				0.84		1.80		5.53		6.34

Average annual total return as of December 31, 2005 (%)

	Inception		6-month (cumulative)		1-year		5-year		Life
CMG Core Bond Fund		9/1/00		0.01		2.56		5.36		6.02
Lehman Brothers Aggregate Bond Index				-0.08		2.43		5.87		6.44

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

Performance results may reflect any voluntary waivers or reimbursement of fund expenses by the advisor or its affiliates. Absent these waivers or reimbursement arrangements, performance results would have been lower. All results shown assume reinvestment of distributions.

Growth of a $10,000 investment, September 1, 2000 to January 31, 2006

The chart above shows the growth in value of a hypothetical $10,000 investment in the fund compared to the index during the stated time period, and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

Index performance is from September 1, 2000.

The Lehman Brothers Aggregate Bond Index is a market value-weighted index that tracks the daily price, coupon, pay-downs, and total return performance of fixed-rate, publicly placed, dollar-denominated non-convertible investment grade debt issues with at least $250 million par amount outstanding and with at least one year to final maturity. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

3

UNDERSTANDING YOUR EXPENSES – CMG Core Bond Fund

As a fund shareholder, you incur two types of costs. There are transaction costs and also ongoing costs, which generally include investment advisory fees and other fund expenses. The information on this page is intended to help you understand your ongoing costs of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.

Analyzing your fund's expenses

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors during the reporting period. The information in the following table is based on an initial investment of $1,000, which is invested at the beginning of the reporting period and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the "actual" column is calculated using the fund's actual operating expenses and total return for the period. The amount listed in the "hypothetical" column assumes that the return each year is 5% before expenses and includes the fund's actual expense ratio. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during this reporting period.

Estimating your actual expenses

To estimate the expenses that you paid over the period, first you will need your account balance at the end of the period:

1.  Divide your ending account balance by $1,000. For example, if an account balance was $8,600 at the end of the period, the result would be 8.6.

2.  In the section of the table below titled "Expenses paid during the period," locate the amount under "actual." Multiply this number by the result from step 1. Your answer is an estimate of the expenses you paid on your account during the period.

August 1, 2005 – January 31, 2006

Account value at the beginning of the period ($)				Account value at the end of the period ($)				Expenses paid during the period ($)				Fund's annualized expense ratio (%)
Actual		Hypothetical		Actual		Hypothetical		Actual		Hypothetical
	1,000.00		1,000.00		1,008.47		1,023.95		1.27		1.28		0.25

Expenses paid during the period are equal to the annualized expense ratio of 0.25%, multiplied by the average account value over the period, then multiplied by the number of days in the fund's most recent fiscal half- year and divided by 365.

Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

It is important to note that the expense amounts shown in the table are meant to highlight only ongoing costs of investing in the fund and do not reflect any transaction costs, such as sales charges, redemption or exchange fees. Therefore, the hypothetical examples provided may not help you determine the relative total costs of owning shares of different funds. If these transaction costs were included, your costs would have been higher.

4

Compare with other funds

Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the fund with other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the continuing costs of investing in a fund and do not reflect any transaction costs, such as sales charges or redemption or exchange fees.

5

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE

CMG Short Term Bond Fund returned 1.46% for the six-month period ended January 31, 2006. The fund outperformed  the Merrill Lynch 1-3 Year Treasury Index,¹ which returned 1.24% during the period. The fund also outperformed the average return of its peer group, the Lipper Short Investment Grade Debt Funds Category, which was 1.17%.² Floating-rate notes and a relatively short duration aided the fund's performance during the period.

During the six-month reporting period, the yield curve flattened as the spread between short- and long-term rates narrowed markedly. The Federal Reserve Board (the Fed) raised the federal funds rate to 4.50% in five quarter-point increments. Meanwhile, the yield on two-year Treasury notes rose 50 basis points to 4.50%, while 10-year Treasury yields rose just 21 basis points to 4.52%.

We were well positioned for this move with a barbell strategy, concentrating the fund's investments at both the short and long ends of the fund's maturity range. The fund's short-term investments gave us the flexibility to reinvest at higher rates as securities matured. The fund's longer-term investments performed relatively well because longer-term interest rates rose less than short-term interest rates. By underweighting two-year securities, we avoided the maturity range that struggled most to retain value as interest rates rose. This strategy, plus the use of floating-rate securities, aided performance.

The fund's sizeable position in mortgage-backed securities—52% of the portfolio's holdings—also aided the fund's relative performance as mortgage-backed securities outperformed Treasury securities of comparable maturities during the period. We generally maintained this weight throughout the period, making slight adjustments to the type of mortgage holdings in the fund. Toward the end of the period, we moved money into areas of the mortgage market that historically have been less sensitive to changing interest rates, including short-term Planned Amortization Classes and pass-through securities with maturities of 15 years or less. The fund also benefited from its position in asset-backed securities.

A slight overweight in corporate bonds detracted somewhat from performance relative to the fund's benchmark. Overall, corporate bonds underperformed comparable Treasury securities by 36 basis points during the reporting period. However, the impact of this performance shortfall had limited impact on the fund's overall performance because it focused on short-term corporate securities, which outperformed longer-term bonds, and because we trimmed the fund's corporate holdings.

As we look ahead, we believe that one of the developments of the past six months could have enduring significance: the ascension of Ben Bernanke to chairman of the Fed, where he replaces longstanding chairman Alan Greenspan. The introduction of a new chairman along with the removal of the word "measured" in the Fed's stated policy toward further interest rate increases adds additional uncertainty to the market. In response, we have adopted a more neutral stance

6

relative to the fund's benchmark. Most notably, we decided late in the period to extend the fund's duration to match its benchmark. We also have maintained a position in Treasury Inflation Protected Securities, which have the potential to provide an element of stability to the portfolio in the event that inflation exceeds current expectations.

The fund's top ten holdings (as a percentage of net assets) as of January 31, 2006 were (%):

SLM Student Loan Trust, 5.090% 01/25/2013	4.7
U.S. Treasury Notes, 3.375% 10/15/2009	4.3
U.S. Treasury Notes, 3.875% 01/15/2009	3.3
Federal National Mortgage Association, 4.000% 10/16/2006	2.9
Prudential Securities Secured Financing Corp., 6.480% 11/01/2031	2.5
Federal National Mortgage Association, 4.500% 01/01/2020	2.5
Long Beach Auto Receivables Trust, 4.050% 04/15/2011	2.4
Federal Home Loan Mortgage Corp., 5.500% 07/01/2019	2.3
Federal Home Loan Mortgage Corp., 4.000% 05/01/2011	2.3
Countrywide Alternative Loan Trust, 5.500% 02/25/2036	2.2

We appreciate your continued confidence in the CMG Short Term Bond Fund.

Leonard A. Aplet has co-managed the CMG Short Term Bond Fund since February 1998 and has been with the advisor or its predecessors or affiliate organizations since 1987.

Richard R. Cutts has co-managed the fund since November 2000 and has been with the advisor or its predecessors or affiliate organizations since 1994.

Investing in fixed-income securities may involves certain risks, including the credit quality of individual issuers, possible prepayments, market or economic developments and yields and share price fluctuations due to changes in interest rates. When interest rates go up, bond prices typically drop, and vice versa.

Holdings are calculated as a percentage of net assets, and are subject to change. Because the fund is actively managed, there is no guarantee the fund will continue to maintain the holdings breakdown listed. The fund's holdings and their weights within the portfolio may change as market conditions change.

¹ The Merrill Lynch 1-3 Year Treasury Index measures the return of Treasury bills with maturities of 1-3 years. Unlike the fund, indices are not investments, do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

² Lipper Inc., a widely respected data provider in the industry, calculates an average total return (assuming reinvestment of distributions) for mutual funds with investment objectives similar to those of the fund. Lipper makes no adjustment for the effect of sales loads.

7

Average annual total return as of January 31, 2006 (%)

	Inception		6-month (cumulative)		1-year		5-year		Life
CMG Short Term Bond Fund		2/2/98		1.46		2.57		3.90		4.89
Merrill Lynch 1-3 Year Treasury Index				1.24		1.87		3.44		4.43

Average annual total return as of December 31, 2005 (%)

	Inception		6-month (cumulative)		1-year		5-year		Life
CMG Short Term Bond Fund		2/2/98		1.01		2.35		4.13		4.91
Merrill Lynch 1-3 Year Treasury Index				0.78		1.67		3.67		4.46

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

Performance results may reflect any voluntary waivers or reimbursement of fund expenses by the advisor or its affiliates. Absent these waivers or reimbursement arrangements, performance results would have been lower. All results shown assume reinvestment of distributions.

Growth of a $10,000 investment, February 2, 1998 to January 31, 2006

The chart above shows the growth in value of a hypothetical $10,000 investment in the fund compared to the index during the stated time period, and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

Index performance is from February 2, 1998.

The Merrill Lynch 1-3 Year Treasury Index measures the return of Treasury bills with maturities of 1-3 years. Unlike the fund, indices are not investments, do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

8

UNDERSTANDING YOUR EXPENSES – CMG Short Term Bond Fund

As a fund shareholder, you incur two types of costs. There are transaction costs and also ongoing costs, which generally include investment advisory fees and other fund expenses. The information on this page is intended to help you understand your ongoing costs of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.

Analyzing your fund's expenses

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors during the reporting period. The information in the following table is based on an initial investment of $1,000, which is invested at the beginning of the reporting period and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the "actual" column is calculated using the fund's actual operating expenses and total return for the period. The amount listed in the "hypothetical" column assumes that the return each year is 5% before expenses and includes the fund's actual expense ratio. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during this reporting period.

Estimating your actual expenses

To estimate the expenses that you paid over the period, first you will need your account balance at the end of the period:

1.  Divide your ending account balance by $1,000. For example, if an account balance was $8,600 at the end of the period, the result would be 8.6.

2.  In the section of the table below titled "Expenses paid during the period," locate the amount under "actual." Multiply this number by the result from step 1. Your answer is an estimate of the expenses you paid on your account during the period.

August 1, 2005 – January 31, 2006

Account value at the beginning of the period ($)				Account value at the end of the period ($)				Expenses paid during the period ($)				Fund's annualized expense ratio (%)
Actual		Hypothetical		Actual		Hypothetical		Actual		Hypothetical
	1,000.00		1,000.00		1,014.57		1,023.95		1.27		1.28		0.25

Expenses paid during the period are equal to the annualized expense ratio of 0.25%, multiplied by the average account value over the period, then multiplied by the number of days in the fund's most recent fiscal half-year and divided by 365.

Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

It is important to note that the expense amounts shown in the table are meant to highlight only ongoing costs of investing in the fund and do not reflect any transaction costs, such as sales charges, redemption or exchange fees. Therefore, the hypothetical examples provided may not help you determine the relative total costs of owning shares of different funds. If these transaction costs were included, your costs would have been higher.

9

Compare with other funds

Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the fund with other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the continuing costs of investing in a fund and do not reflect any transaction costs, such as sales charges or redemption or exchange fees.

10

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

CMG ULTRA SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE

CMG Ultra Short Term Bond Fund returned 1.75% for the six-month period ended January 31, 2006. The fund outperformed the Citigroup One-Year U.S. Treasury Bill Index¹ and the average return of the Lipper Short Investment Grade Debt Funds Category.² Both returned 1.51% for the period. We believe that the fund's return was aided by positive performance from higher quality issues in the asset-backed, finance and government agency sectors as well as from floating-rate corporate notes.

The six-month period ended January 31, 2006, proved to be a challenging environment for short-term and ultra short-term bonds. In five of the six months, the Federal Reserve Board raised short-term interest rates by a quarter of a percentage point (for a total of 1.25 percentage points) and the federal funds rate finished the period at 4.50%. The continued cycle of interest rate increases had a negative impact on bond prices, particularly those on the short end of the maturity spectrum. The US Treasury yield curve also continued to flatten during the period, which reduced the appetite for risk among bond investors. As a result, the fund's continued emphasis on higher quality issues, particularly asset-backed securities, helped performance.

A large position in floating rate notes also aided performance as it helped cushion the fund against rising rates. Government agency bonds and corporate bonds in the financial sector, which outperformed Treasuries during the six-month period, also contributed to the fund's positive return. The fund's emphasis on higher quality corporate issues also helped buffer the portfolio from a period of general market malaise during the fourth quarter of 2005, which hurt bonds that trade on their spread to Treasuries, in general, and lower-rated bonds in particular.

The spread between short- and long-term yields narrowed to the point where the yield curve neared inversion at the end of the period. While this phenomenon has historically signaled an impending economic slowdown, we do not envision an economic recession unfolding even if the economy experiences a slowdown later in 2006. However, we will continue to maintain the fund's quality focus in this uncertain environment. We plan to continue to seek opportunities to add to the fund's high quality mortgage-backed position as well as to the fund's asset-backed holdings. We plan to scale back the fund's corporate exposure to help build these positions.

11

The fund's top ten holdings (as a percentage of net assets) as of January 31, 2006 were (%):

Federal Home Loan Mortgage Corp., 4.125% 04/02/2007	2.4
Federal Home Loan Mortgage Corp., 2.875% 12/15/2006	2.3
Federal Home Loan Mortgage Corp., 5.500% 04/15/2027	2.3
Federal Home Loan Mortgage Corp., 5.000% 12/01/2019	2.0
SLM Corp., 4.691% 09/15/2006	1.8
Goldman Sachs Group Inc., 4.255% 01/09/2007	1.8
Morgan Stanley, 4.540% 11/24/2006	1.8
Federal Home Loan Mortgage Corp., 2.750% 10/15/2006	1.8
Providian Gateway Master Trust, 3.350% 09/15/2011	1.7
Federal National Mortgage Association 6.000% 09/01/2019	1.7

We appreciate your continued confidence in the CMG Ultra Short Term Bond Fund.

Guy C. Holbrook has managed the fund since its inception and has been with the advisor or its predecessors or affiliate organizations since 1998.

Investing in fixed-income securities offers the potential for attractive current income and total returns, but also involves certain risks. The value and return of your investment may fluctuate as a result of changes in interest rates, the financial strength of issuers of lower-rated bonds or political and economic developments.

Holdings are calculated as a percentage of net assets, and are subject to change. Because the fund is actively managed, there is no guarantee the fund will continue to maintain the holdings breakdown listed. The fund's holdings and their weights within the portfolio may change as market conditions change.

¹ The Citigroup One-Year U.S. Treasury Bill Index consists of a single 1-year US Treasury Bill whose return is tracked until its maturity. Unlike the fund, indices are not investments, do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

² Lipper Inc., a widely respected data provider in the industry, calculates an average total return (assuming reinvestment of distributions) for mutual funds with similar investment objectives as those of the fund. Lipper makes no adjustments for the effect of sales loads.

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Average annual total return as of January 31, 2006 (%)

	Inception		6-month (cumulative)		1-year		Life
CMG Ultra Short Term Bond Fund		03/08/04		1.75		2.83		1.83
Citigroup One-Year U.S. Treasury Bill Index				1.51		2.49		1.53

Average annual total return as of December 31, 2005 (%)

	Inception		6-month (cumulative)		1-year		Life
CMG Ultra Short Term Bond Fund		03/08/04		1.39		2.34		1.72
Citigroup One-Year U.S. Treasury Bill Index				1.25		2.31		1.46

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

Performance results may reflect any voluntary waivers or reimbursement of fund expenses by the advisor or its affiliates. Absent these waivers or reimbursement arrangements, performance results would have been lower. All results shown assume reinvestment of distributions.

Growth of a $10,000 investment, March 8, 2004 to January 31, 2006

The chart above shows the growth in value of a hypothetical $10,000 investment in the fund compared to the index during the stated time period, and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

Index performance is from March 8, 2004.

The Citigroup One-Year U.S. Treasury Bill Index consists of a single 1-year US Treasury Bill whose return is tracked until its maturity. Unlike the fund, indices are not investments, do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

13

UNDERSTANDING YOUR EXPENSES – CMG Ultra Short Term Bond Fund

As a fund shareholder, you incur two types of costs. There are transaction costs and also ongoing costs, which generally include investment advisory fees and other fund expenses. The information on this page is intended to help you understand your ongoing costs of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.

Analyzing your fund's expenses

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors during the reporting period. The information in the following table is based on an initial investment of $1,000, which is invested at the beginning of the reporting period and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the "actual" column is calculated using the fund's actual operating expenses and total return for the period. The amount listed in the "hypothetical" column assumes that the return each year is 5% before expenses and includes the fund's actual expense ratio. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during this reporting period.

Estimating your actual expenses

To estimate the expenses that you paid over the period, first you will need your account balance at the end of the period:

1.  Divide your ending account balance by $1,000. For example, if an account balance was $8,600 at the end of the period, the result would be 8.6.

2.  In the section of the table below titled "Expenses paid during the period," locate the amount under "actual." Multiply this number by the result from step 1. Your answer is an estimate of the expenses you paid on your account during the period.

August 1, 2005 – January 31, 2006

Account value at the beginning of the period ($)				Account value at the end of the period ($)				Expenses paid during the period ($)				Fund's annualized expense ratio (%)
Actual		Hypothetical		Actual		Hypothetical		Actual		Hypothetical
	1,000.00		1,000.00		1,017.49		1,023.95		1.27		1.28		0.25

Expenses paid during the period are equal to the annualized expense ratio of 0.25%, multiplied by the average account value over the period, then multiplied by the number of days in the fund's most recent fiscal half-year and divided by 365.

Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

It is important to note that the expense amounts shown in the table are meant to highlight only ongoing costs of investing in the fund and do not reflect any transaction costs, such as sales charges, redemption or exchange fees. Therefore, the hypothetical examples provided may not help you determine the relative total costs of owning shares of different funds. If these transaction costs were included, your costs would have been higher.

14

Compare with other funds

Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the fund with other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the continuing costs of investing in a fund and do not reflect any transaction costs, such as sales charges or redemption or exchange fees.

15

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for most recent daily and month-end performance updates.

CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE

For the six-month period ended January 31, 2006, the CMG High Yield Fund returned 1.73%. It outperformed the Merrill Lynch U.S. High Yield, Cash Pay Index and JPMorgan Chase Developed BB High Yield Index¹, which returned 1.63% and 1.65%, respectively. However, it felt short of the Merrill Lynch Intermediate BB Index² and the Lipper High Current Yields Category average³, which returned 1.87% and 1.83%, respectively for the period.

For most of the six-month period, investors demonstrated caution about the prospects for high-yield investments and returns were nearly flat going into 2006. However, a rally in January, which historically has been a strong month for high yield, pushed the sector higher and accounted for most of its positive performance for the period.

Concerns about the deteriorating financial positions of Ford and General Motors dominated investor thinking as the period began, and this caution translated into outright avoidance of the lower quality segments of the market. Securities with "CCC" ratings returned just 0.3% for the six months, whereas the remainder of the high-yield market returned just under 2.0%.

The fund benefited from its very low exposure to CCC-rated securities—2.0% versus 20% for the benchmark. However, the advantage gained by its high-quality orientation was partially offset by below-benchmark exposure to the wireline and wireless telecommunications industries, which were the strongest performers for the period.

The fund was significantly underweight in the auto/transportation sector at a time when concerns about future pension and health care costs and weak operating results led to negative returns. Our decision to underweight the auto industry produced positive relative results.

During the fourth quarter of 2005, we began to restructure the fund's industry weights to bring them more in line with its benchmarks. We also took steps to broaden the fund's diversification. We established 20+ new positions, bringing the total number of fund holdings to 139 by the end of the six-month period. We also trimmed holdings in print media companies R.H. Donnelley Finance Corp. and Dex Media West LLC after the two companies reached a merger agreement. The merger, which was completed in January, brought the portfolio weight of the combined companies above our comfort level and we brought it down to a level that was more in line with fund risk tolerance.

While we broadened the fund's holdings, we also preserved the fund's conservative orientation and with it a significant underweight of CCC-rated investments versus its benchmark and competitive universe. We believe this positioning is prudent in light of the fund's conservative nature and our assessment that the high-yield market is currently fairly valued.

16

The fund's top ten issuers (as a percentage of net assets) as of January 31, 2006 were (%):

Teekay Shipping Corp., 8.875% 07/15/2011	2.3
Cott Beverages, Inc., 8.000% 12/15/2011	1.7
AES Corp., 7.750% 03/01/2014	1.6
Texas Genco LLC, 6.875% 12/15/2014	1.6
MGM Mirage, 6.000% 10/01/2009	1.5
Williams Companies, Inc., 8.125% 03/15/2012	1.5
AutoNation, Inc., 9.000% 08/01/2008	1.5
Chesapeake Energy Corp., 6.375% 06/15/2015	1.5
Coventry Health Care, Inc., 5.875% 01/15/2012	1.5
Fisher Scientific International, Inc., 6.750% 08/15/2014	1.4

We appreciate your continued confidence in the CMG High Yield Fund.

Stephen Peacher, lead manager for CMG High Yield Fund, has co-managed the fund since September 2005. He has been with the advisor or its predecessors since April 2005.

Kevin L. Cronk has co-managed the fund since September 2005. He has been with the advisor or its predecessors or affiliate organizations since August 1999.

Thomas A. LaPointe has co-managed the fund since September 2005. He has been with the advisor or its predecessors or affiliate organizations since February 1999.

Investing in fixed-income securities may involves certain risks, including the credit quality of individual issuers, possible prepayments, market or economic developments and yields and share price fluctuations due to changes in interest rates. When interest rates go up, bond prices typically drop, and vice versa.

Investments in high yield or "junk" bonds offer the potential for higher income than investments in investment-grade bonds but they also have a higher degree of risk. Changes in economic conditions or other circumstances may adversely affect a high-yield bond issuer's ability to make timely principal and interest payments.

Holdings are calculated as a percentage of net assets, and are subject to change. Because the fund is actively managed, there is no guarantee the fund will continue to maintain the holdings breakdown listed. The fund's holdings and their weights within the portfolio may change as market conditions change.

¹ The Merrill Lynch U.S. High Yield, Cash Pay Index is an unmanaged index that tracks the performance of non-investment-grade corporate bonds. The JPMorgan Chase Developed BB High Yield Index is an index that is designed to mirror the investable universe of the US dollar developed, BB-rated, high yield corporate debt market.

² The Merrill Lynch Intermediate BB Index is a market-weighted index, consisting of BB cash pay bonds, which are US dollar denominated bonds issued in the US domestic market with maturities between 1 and 10 years. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

³ Lipper Inc., a widely respected data provider in the industry, calculates an average total return (assuming reinvestment of distributions) for mutual funds with investment objectives similar to those of the fund. Lipper makes no adjustment for the effect of sales loads.

⁴ Holdings are disclosed as a percentage of net assets on January 31, 2006, and are subject to change: R.H.Donnelley Finance Corp. (1.0%) and Dex Media West LLC (0.8%).

17

Average annual total return as of January 31, 2006 (%)

	Inception	6-month (cumulative)		1-year		5-year		10-year
CMG High Yield Fund	7/6/94		1.73		4.01		6.14		6.98
JPMorgan Chase Developed BB High Yield Index			1.65		3.57		8.68		8.23
Merrill Lynch U.S. High Yield, Cash Pay Index			1.63		4.55		7.84		6.80
Merrill Lynch Intermediate BB Index			1.87		4.64		6.52		6.49

Average annual total return as of December 31, 2005 (%)

	Inception	6-month (cumulative)		1-year		5-year		10-year
CMG High Yield Fund	7/6/94		1.62		2.98		6.75		7.04
JPMorgan Chase Developed BB High Yield Index			0.98		2.58		9.34		8.24
Merrill Lynch U.S. High Yield, Cash Pay Index			1.59		2.83		8.76		6.80
Merrill Lynch Intermediate BB Index			1.23		2.98		6.99		6.46

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

Performance results may reflect any voluntary waivers or reimbursement of fund expenses by the advisor or its affiliates. Absent these waivers or reimbursement arrangements, performance results would have been lower. All results shown assume reinvestment of distributions.

Growth of a $10,000 investment, February 1, 1996 to January 31, 2006

The chart above shows the growth in value of a hypothetical $10,000 investment in the fund compared to the indices during the stated time period, and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

Beginning in 2005, the Fund's benchmark was changed to the JPMorgan Chase Developed BB High Yield Index, an index that is designed to mirror the investable universe of the US dollar developed, BB-rated, high yield corporate debt market.

The Merrill Lynch Intermediate BB Index is a market-weighted index, consisting of BB cash pay bonds, which are US dollar denominated bonds issued in the US domestic market with maturities between 1 and 10 years. The Merrill Lynch U.S. High Yield, Cash Pay Index is an unmanaged index that tracks the performance of non-investment-grade corporate bonds. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

18

UNDERSTANDING YOUR EXPENSES – CMG High Yield Fund

As a fund shareholder, you incur two types of costs. There are transaction costs and also ongoing costs, which generally include investment advisory fees and other fund expenses. The information on this page is intended to help you understand your ongoing costs of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.

Analyzing your fund's expenses

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors during the reporting period. The information in the following table is based on an initial investment of $1,000, which is invested at the beginning of the reporting period and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the "actual" column is calculated using the fund's actual operating expenses and total return for the period. The amount listed in the "hypothetical" column assumes that the return each year is 5% before expenses and includes the fund's actual expense ratio. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during this reporting period.

Estimating your actual expenses

To estimate the expenses that you paid over the period, first you will need your account balance at the end of the period:

1.  Divide your ending account balance by $1,000. For example, if an account balance was $8,600 at the end of the period, the result would be 8.6.

2.  In the section of the table below titled "Expenses paid during the period," locate the amount under "actual." Multiply this number by the result from step 1. Your answer is an estimate of the expenses you paid on your account during the period.

August 1, 2005 – January 31, 2006

Account value at the beginning of the period ($)				Account value at the end of the period ($)				Expenses paid during the period ($)				Fund's annualized expense ratio (%)
Actual		Hypothetical		Actual		Hypothetical		Actual		Hypothetical
	1,000.00		1,000.00		1,017.29		1,023.19		2.03		2.04		0.40

Expenses paid during the period are equal to the annualized expense ratio of 0.40%, multiplied by the average account value over the period, then multiplied by the number of days in the fund's most recent fiscal half-year and divided by 365.

Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

It is important to note that the expense amounts shown in the table are meant to highlight only ongoing costs of investing in the fund and do not reflect any transaction costs, such as sales charges, redemption or exchange fees. Therefore, the hypothetical examples provided may not help you determine the relative total costs of owning shares of different funds. If these transaction costs were included, your costs would have been higher.

19

Compare with other funds

Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the fund with other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the continuing costs of investing in a fund and do not reflect any transaction costs, such as sales charges or redemption or exchange fees.

20

CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS

(For a Fund Share Outstanding Throughout Each Period)

	(Unaudited) Six Months Ended January 31,			Year Ended July 31,						Period Ended July 31,			Year Ended October 31,						Period Ended October 31,
	2006			2005			2004			2003 (a)			2002			2001			2000 (b)
Net asset value, beginning of period	$	10.42		$	10.36		$	10.38		$	10.52		$	10.83		$	10.02		$	10.00
Income from investment operations:
Net investment income		0.23	(c)		0.42	(c)		0.37	(c)		0.31	(c)		0.56	(c)(d)		0.65			0.11
Net realized and unrealized gain (loss) on investments   and futures contracts		(0.14	)		0.09			0.11			(0.12	)		(0.15	) (d)		0.81			0.02
Total from investment operations		0.09			0.51			0.48			0.19			0.41			1.46			0.13
Less distributions declared to shareholders:
From net investment income		(0.25	)		(0.45	)		(0.41	)		(0.33	)		(0.58	)		(0.65	)		(0.11	)
From net realized gains		(0.01	)		-			(0.09	)		-			(0.14	)		-	(e)		-
Total distributions		(0.26	)		(0.45	)		(0.50	)		(0.33	)		(0.72	)		(0.65	)		(0.11	)
Net asset value, end of period	$	10.25		$	10.42		$	10.36		$	10.38		$	10.52		$	10.83		$	10.02
Total return (f)(g)		0.84	%(h)		4.98	%		4.67	%		1.76	%(h)		3.97	%		15.01	%		1.31	%(h)
Ratios/Supplemental data:
Net assets, end of period (000's)	$	48,609		$	79,102		$	32,810		$	30,512		$	27,412		$	28,774		$	10,866
Ratio of net expenses to average net assets (i)		0.25	%(j)		0.25	%		0.35	%		0.40	%(j)		0.40	%		0.40	%		0.40	%(j)
Ratio of investment income to average net assets (i)		4.48	%(j)		4.01	%		3.54	%		3.95	%(j)		5.34	%(d)		6.14	%		6.57	%(j)
Waiver/reimbursement		0.07	%(j)		0.06	%		0.25	%		0.29	%(j)		0.16	%		0.25	%		1.06	%(j)
Portfolio turnover rate		77	%(h)		130	%		231	%		181	%(h)		147	%		140	%		103	%(h)

(a)  The Fund changed its fiscal year end from October 31 to July 31.

(b)  The Fund commenced investment operations on September 1, 2000. Per share data, total return and portfolio turnover rate reflect activity from that date.

(c)  Per share data was calculated using average shares outstanding during the period.

(d)  Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and accreting discount on all debt securities. The effect of this change for the year ended October 31, 2002, was to decrease net investment income per share by $0.02, decrease net realized and unrealized loss per share by $0.02 and decrease the ratio of net investment income to average net assets from 5.53% to 5.34%. Per share data and ratios for periods prior to October 31, 2002 have not been restated to reflect this change in presentation.

(e)  Rounds to less than $0.01 per share.

(f)  Total return at net asset value assuming all distributions reinvested.

(g)  Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

(h)  Not annualized.

(i)  The benefits derived from custody credits had an impact of less than 0.01%.

(j)  Annualized.

See Accompanying Notes to Financial Statements.

21

CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS

(For a Fund Share Outstanding Throughout Each Period)

	(Unaudited) Six Months Ended January 31,			Year Ended July 31,						Period Ended July 31,			Year Ended October 31,
	2006			2005			2004			2003 (a)			2002			2001			2000
Net asset value, beginning of period	$	11.79		$	11.95		$	12.01		$	12.15		$	12.41		$	11.73		$	11.72
Income from investment operations:
Net investment income		0.24	(b)		0.40	(b)		0.35	(b)		0.34	(b)		0.59	(b)(c)		0.76			0.77
Net realized and unrealized gain (loss) on investments,  foreign currency  transactions and futures  contracts		(0.07	)		(0.11	)		(0.03	)		(0.11	)		(0.22	) (c)		0.68			0.01
Total from investment operations		0.17			0.29			0.32			0.23			0.37			1.44			0.78
Less distributions declared to shareholders:
From net investment income		(0.26	)		(0.45	)		(0.38	)		(0.37	)		(0.63	)		(0.76	)		(0.77	)
Net asset value, end of period	$	11.70		$	11.79		$	11.95		$	12.01		$	12.15		$	12.41		$	11.73
Total return (d)(e)		1.46	%(f)		2.47	%		2.72	%		1.91	%(f)		3.12	%		12.62	%		6.92	%
Ratios/Supplemental data:
Net assets, end of period (000's)	$	68,987		$	95,842		$	119,125		$	113,193		$	140,757		$	89,791		$	82,809
Ratio of net expenses to average net assets (g)		0.25	%(h)		0.25	%		0.25	%		0.25	%(h)		0.25	%		0.25	%		0.25	%
Ratio of interest expense to average net assets		-	(h)		-			-			-	(h)(i)		-			-			-
Ratio of net investment income to average net assets (g)		4.01	%(h)		3.38	%		2.91	%		3.79	%(h)		4.73	%(c)		6.27	%		6.56	%
Waiver/reimbursement		0.06	%(h)		0.04	%		0.10	%		0.08	%(h)		0.05	%		0.08	%		0.08	%
Portfolio turnover rate		63	%(f)		51	%		79	%		93	%(f)		132	%		82	%		86	%

(a)  The Fund changed its fiscal year end from October 31 to July 31.

(b)  Per share data was calculated using average shares outstanding during the period.

(c)  Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and accreting discount on all debt securities. The effect of this change for the year ended October 31, 2002, was to decrease net investment income per share by $0.04, decrease net realized and unrealized loss per share by $0.04 and decrease the ratio of net investment income to average net assets from 5.08% to 4.73%. Per share data and ratios for periods prior to October 31, 2002 have not been restated to reflect this change in presentation.

(d)  Total return at net asset value assuming all distributions reinvested.

(e)  Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

(f)  Not annualized.

(g)  The benefits derived from custody credits had an impact of less than 0.01%.

(h)  Annualized.

(i)  Rounds to less than 0.01%.

See Accompanying Notes to Financial Statements.

22

CMG ULTRA SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS

(For a Fund Share Outstanding Throughout the Period)

	(Unaudited) Six Months Ended January 31, 2006			Year Ended July 31, 2005			Period Ended July 31, 2004 (a)
Net asset value, beginning of period	$	9.67		$	9.88		$	10.00
Income from investment operations:
Net investment income (b)		0.17			0.24			0.07
Net realized and unrealized loss on investments		-	(c)		(0.06	)		(0.08	)
Total from investment operations		0.17			0.18			(0.01	)
Less distributions declared to shareholders:
From net investment income		(0.20	)		(0.36	)		(0.11	)
Return of capital		-			(0.03	)		-
Total distributions		(0.20	)		(0.39	)		(0.11	)
Net asset value, end of period	$	9.64		$	9.67		$	9.88
Total return (d)(e)		1.75	%(f)		1.83	%		(0.08	)%(f)
Ratios/Supplemental data:
Net assets, end of period (000's)	$	83,949		$	81,575		$	67,235
Ratio of net expenses to average net assets		0.25	%(g)		0.25	%		0.25	%(g)
Ratio of net investment income to average net assets		3.54	%(g)		2.44	%		1.69	%(g)
Waiver/reimbursement		0.06	%(g)		0.05	%		0.22	%(g)
Portfolio turnover rate		30	%(f)		75	%		12	%(f)

(a)  The Fund commenced investment operations on March 8, 2004. Per share data, total return and portfolio turnover reflect activity from that date.

(b)  Per share data was calculated using average shares outstanding during the period.

(c)  Rounds to less than $0.01 per share.

(d)  Total return at net asset value assuming all distributions reinvested.

(e)  Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

(f)  Not annualized.

(g)  Annualized.

See Accompanying Notes to Financial Statements.

23

CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS

(For a Fund Share Outstanding Throughout Each Period)

	(Unaudited) Six Months Ended January 31,			Year Ended July 31,						Period Ended July 31,			Year Ended October 31,
	2006			2005			2004			2003 (a)			2002			2001			2000
Net asset value, beginning of period	$	8.08		$	8.00		$	7.90		$	7.55		$	8.14		$	8.30		$	8.54
Income from investment operations:
Net investment income		0.25	(b)		0.51	(b)		0.53	(b)		0.43	(b)		0.64	(b)(c)		0.72			0.73
Net realized and unrealized gain (loss)   on investments		(0.11	)		0.11			0.14			0.37			(0.58	) (c)		(0.16	)		(0.24	)
Total from investment operations		0.14			0.62			0.67			0.80			0.06			0.56			0.49
Less distributions declared to shareholders:
From net investment income		(0.27	)		(0.54	)		(0.57	)		(0.45	)		(0.65	)		(0.72	)		(0.73	)
Net asset value, end of period	$	7.95		$	8.08		$	8.00		$	7.90		$	7.55		$	8.14		$	8.30
Total return (d)		1.73	%(e)(f)		7.98	%(e)		8.60	%(e)		10.67	%(e)(f)		0.60	%		6.92	%		6.01	%
Ratios/Supplemental data:
Net assets, end of period (000's)	$	196,697		$	269,243		$	382,157		$	429,042		$	286,228		$	348,979		$	319,985
Ratio of net expenses to average net assets (g)		0.40	%(h)		0.40	%		0.40	%		0.42	%(h)		0.42	%		0.44	%		0.43	%
Ratio of investment income to average net assets (g)		6.22	%(h)		6.26	%		6.64	%		7.32	%(h)		7.98	%(c)		8.63	%		8.70	%
Waiver/reimbursement		0.03	%(h)		0.02	%		0.02	%		0.01	%(h)		-			-			-
Portfolio turnover rate		18	%(f)		39	%		47	%		47	%(f)		62	%		59	%		56	%

(a)  The Fund changed its fiscal year end from October 31 to July 31.

(b)  Per share data was calculated using average shares outstanding during the period.

(c)  Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and accreting discount on all debt securities. The effect of this change for the year ended October 31, 2002, was to decrease net investment income per share by $0.01, decrease net realized and unrealized loss per share by $0.01 and decrease the ratio of net investment income to average net assets from 8.11% to 7.98%. Per share data and ratios for periods prior to October 31, 2002 have not been restated to reflect this change in presentation.

(d)  Total return at net asset value assuming all distributions reinvested.

(e)  Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

(f)  Not annualized.

(g)  The benefits derived from custody credits had an impact of less than 0.01%.

(h)  Annualized.

See Accompanying Notes to Financial Statements.

24

CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

January 31, 2006 (Unaudited)

	Par		Value
Collateralized Mortgage Obligations (26.9%)
Agency (15.1%)
Federal Home Loan Mortgage Corp.
4.000% 07/15/14	$	1,020,000	$	998,807
4.000% 09/15/15		860,000		832,986
4.000% 10/15/26		925,000		902,786
4.500% 03/15/18		1,580,000		1,541,913
4.500% 10/15/18		220,000		216,933
4.500% 02/15/27		900,000		879,866
6.500% 10/15/23		100,000		103,749
Federal National Mortgage Association
4.500% 11/25/14		900,000		885,345
6.500% 07/25/30		5,110		5,100
Government National Mortgage Association
4.500% 04/16/28		1,000,000		981,496
				7,348,981
Non-Agency (11.8%)
Bear Stearns Asset Backed Securities, Inc.
5.000% 01/25/34		304,727		300,497
Countrywide Alternative Loan Trust
4.930% 03/25/34 (a)		187,110		187,632
5.250% 03/25/35		1,021,821		1,001,803
5.250% 08/25/35		883,473		879,321
5.500% 10/25/35		802,720		801,853
Countrywide Home Loan Mortgage Pass Through Trust
4.590% 12/19/33 (a)		257,025		246,530
Structured Asset Securities Corp.
5.500% 07/25/33		1,145,555		1,137,045
Washington Mutual Mortgage Securities Corp.
5.500% 10/25/35		1,200,000		1,198,308
				5,752,989
Total Collateralized Mortgage Obligations (Cost of $13,286,093)				13,101,970
Corporate Fixed-Income Bonds & Notes (25.9%)
Basic Materials (0.7%)
Forest Products & Paper (0.4%)
International Paper Co.
4.250% 01/15/09		175,000		169,748
Metals & Mining (0.3%)
Alcan, Inc.
4.500% 05/15/13		175,000		165,130
				334,878
Communications (2.7%)
Media (0.8%)
Jones Intercable, Inc.
7.625% 04/15/08		200,000		209,356

See Accompanying Notes to Financial Statements.

25

CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Media (continued)
Time Warner, Inc.
6.625% 05/15/29	$	200,000	$	200,214
				409,570
Telecommunication Services (1.9%)
Deutsche Telekom International Finance
8.000% 06/15/10		150,000		166,127
Sprint Capital Corp.
6.875% 11/15/28		200,000		217,238
Verizon Global Funding Corp.
7.250% 12/01/10		300,000		323,772
Vodafone Group PLC
7.750% 02/15/10		200,000		218,240
				925,377
				1,334,947
Consumer Cyclical (1.4%)
Auto Manufacturers (0.4%)
DaimlerChrysler NA Holding Corp.
8.500% 01/18/31		150,000		181,363
Retail (1.0%)
Lowe's Companies, Inc.
6.500% 03/15/29		175,000		191,305
Wal-Mart Stores, Inc.
4.000% 01/15/10		300,000		289,749
				481,054
				662,417
Consumer Non-Cyclical (2.9%)
Beverages (0.1%)
Anheuser-Busch Companies, Inc.
5.750% 04/01/10		50,000		51,271
Food (1.1%)
General Mills, Inc.
2.625% 10/24/06		200,000		196,714
Kroger Co.
6.200% 06/15/12		185,000		189,245
Safeway, Inc.
4.950% 08/16/10		170,000		165,342
				551,301
Healthcare Products (0.6%)
Baxter FinCo BV
4.750% 10/15/10 (b)		275,000		269,173
Healthcare Services (0.6%)
UnitedHealth Group, Inc.
3.375% 08/15/07		200,000		195,280

See Accompanying Notes to Financial Statements.

26

CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Healthcare Services (continued)
WellPoint, Inc.
6.800% 08/01/12	$	100,000	$	107,986
				303,266
Household Products/Wares (0.5%)
Fortune Brands, Inc.
5.375% 01/15/16		250,000		245,945
				1,420,956
Energy (1.7%)
Oil & Gas (1.3%)
ChevronTexaco Capital Co.
3.500% 09/17/07		200,000		195,722
Devon Energy Corp.
7.950% 04/15/32		175,000		222,951
Marathon Oil Corp.
6.800% 03/15/32		175,000		198,256
				616,929
Pipelines (0.4%)
Kinder Morgan Energy Partners LP
7.300% 08/15/33		175,000		199,378
				816,307
Financials (12.9%)
Banks (2.2%)
U.S. Bank NA
6.375% 08/01/11		275,000		291,288
Wachovia Corp.
4.875% 02/15/14		400,000		387,232
Wells Fargo & Co.
4.520% 03/10/08 (a)		380,000		380,145
				1,058,665
Diversified Financial Services (8.3%)
American Express Credit Corp.
3.000% 05/16/08		300,000		287,253
American General Finance Corp.
5.375% 09/01/09		50,000		50,325
Bear Stearns Co., Inc.
6.500% 05/01/06		200,000		200,810
Capital One Financial Corp.
5.500% 06/01/15		210,000		207,287
CIT Group, Inc.
4.125% 02/21/06		150,000		149,951
Citigroup, Inc.
5.000% 09/15/14		430,000		421,753
Countrywide Home Loans, Inc.
2.875% 02/15/07		200,000		195,550
General Electric Capital Corp.
5.000% 01/08/16		500,000		490,815

See Accompanying Notes to Financial Statements.

27

CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Diversified Financial Services (continued)
Goldman Sachs Group, Inc.
6.345% 02/15/34	$	325,000	$	337,642
HSBC Finance Corp.
5.000% 06/30/15		350,000		336,787
JPMorgan Chase Capital XV
5.875% 03/15/35		325,000		318,766
Lehman Brothers Holdings, Inc.
5.000% 01/14/11		225,000		223,978
Merrill Lynch & Co., Inc.
4.125% 01/15/09		200,000		194,982
Morgan Stanley
4.750% 04/01/14		200,000		189,862
SLM Corp.
5.125% 08/27/12		425,000		423,168
				4,028,929
Insurance (1.3%)
Allstate Financial Global Funding II
2.625% 10/22/06 (b)		150,000		147,216
American International Group, Inc.
2.875% 05/15/08		325,000		310,141
Genworth Financial, Inc.
4.750% 06/15/09		200,000		197,710
				655,067
Real Estate Investment Trusts (0.3%)
Health Care Property Investors, Inc.
6.450% 06/25/12		150,000		156,252
Savings & Loans (0.8%)
Washington Mutual, Inc.
4.200% 01/15/10		400,000		386,528
				6,285,441
Industrials (1.5%)
Aerospace & Defense (0.7%)
Lockheed Martin Corp.
8.500% 12/01/29		160,000		215,266
United Technologies Corp.
7.125% 11/15/10		100,000		108,610
				323,876
Environmental Control (0.3%)
Waste Management, Inc.
7.375% 08/01/10		150,000		162,100
Transportation (0.5%)
Canadian National Railway Co.
7.195% 01/02/16		74,295		84,392

See Accompanying Notes to Financial Statements.

28

CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Transportation (continued)
Union Pacific Corp.
3.875% 02/15/09	$	185,000	$	178,514
				262,906
				748,882
Technology (0.6%)
Computers (0.6%)
International Business Machines Corp.
6.220% 08/01/27		250,000		267,773
Utilities (1.5%)
Electric (1.3%)
CenterPoint Energy Houston Electric
5.750% 01/15/14		175,000		178,580
Exelon Generation Co.
6.950% 06/15/11		175,000		187,791
Scottish Power PLC
5.375% 03/15/15		250,000		248,665
				615,036
Gas (0.2%)
Sempra Energy
4.750% 05/15/09		100,000		98,688
				713,724
Total Corporate Fixed-Income Bonds & Notes (Cost of $12,728,376)				12,585,325
Mortgage-Backed Securities (20.6%)
Federal Home Loan Mortgage Corp.
3.500% 10/01/18		305,653		282,894
4.000% 11/01/20		275,973		262,202
5.000% 01/01/19		734,966		727,351
5.000% 07/01/19		579,447		572,854
5.000% 06/01/20		1,300,161		1,284,617
5.500% 11/01/17		115,128		115,842
5.500% 03/01/18		95,113		95,703
5.500% 08/01/35		1,611,441		1,595,722
6.000% 05/01/17		167,791		171,020
Federal National Mortgage Association
5.000% 02/01/20		504,161		498,123
5.500% 09/01/35		516,691		511,328
5.500% 10/01/35		984,542		974,322
5.500% 11/01/35		1,976,259		1,955,744
5.500% 12/01/35		908,991		899,555
Government National Mortgage Association
7.000% 01/15/32		11,086		11,644
7.000% 03/15/32		41,940		44,047
Total Mortgage-Backed Securities (Cost of $10,105,621)				10,002,968

See Accompanying Notes to Financial Statements.

29

CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Government & Agency Obligations (19.0%)
Foreign Government Obligations (2.4%)
Province of Ontario
3.500% 09/17/07	$	350,000	$	343,140
Province of Quebec
7.000% 01/30/07		275,000		280,761
Republic of Italy
2.500% 03/31/06		300,000		298,917
United Mexican States
7.500% 04/08/33		205,000		239,338
				1,162,156
U.S. Government Agencies (2.6%)
Federal Home Loan Bank
3.000% 05/15/06 (c)		100,000		99,527
4.375% 09/11/09		1,210,000		1,190,302
				1,289,829
U.S. Government Obligations (14.0%)
U.S. Treasury Bonds
6.250% 08/15/23		3,995,000		4,702,866
7.250% 05/15/16		715,000		868,390
U.S. Treasury Notes
3.375% 10/15/09		300,000		288,586
3.875% 01/15/09		876,389		927,055
				6,786,897
Total Government & Agency Obligations (Cost of $9,234,960)				9,238,882
Commercial Mortgage-Backed Securities (4.9%)
Asset Securitization Corp.
7.400% 10/13/26		504,828		511,649
CS First Boston Mortgage Securities Corp.
4.512% 07/15/37		500,000		488,340
LB-UBS Commercial Mortgage Trust
5.103% 11/15/30		600,000		599,886
Merrill Lynch Mortgage Trust
5.240% 11/12/37		720,000		721,123
Nationslink Funding Corp.
6.888% 11/10/30		90,000		91,887
Total Commercial Mortgage-Backed Securities (Cost of $2,443,592)				2,412,885
Asset-Backed Securities (0.8%)
ABFS Mortgage Loan Trust
4.430% 12/15/33		205,119		199,745
IMC Home Equity Loan Trust
7.310% 11/20/28		64,202		64,115
7.520% 08/20/28		34,617		34,542
New Century Home Equity Loan Trust
7.320% 07/25/29		3,253		3,257

See Accompanying Notes to Financial Statements.

30

CMG CORE BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Asset-Backed Securities (continued)
Wilshire Mortgage Loan Trust
7.255% 05/25/28	$	71,725	$	71,450
Total Asset-Backed Securities (Cost of $385,623)				373,109
Short-Term Obligation (1.5%)
Repurchase agreement with State Street Bank & Trust Co., dated 01/31/06, due 02/01/06 at 4.270%, collateralized by a U.S. Treasury Bond maturing 05/15/15, market value of $736,988 (repurchase proceeds $721,086)		721,000		721,000
Total Short-Term Obligation (Cost of $721,000)				721,000
Total Investments (99.6%) (Cost of $48,905,265) (d)				48,436,139
Other Assets & Liabilities, Net (0.4%)				172,555
Net Assets (100.0%)			$	48,608,694

Notes to Schedule of Investments:

(a)  The interest rate shown on floating rate or variable rate securities reflects the rate at January 31, 2006.

(b)  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2006, these securities, which are not Illiquid, amount to $416,389, which represents 0.9% of net assets.

(c)  Security pledged as collateral for open futures contracts.

(d)  Cost for federal income tax purposes is $48,993,367.

At January 31, 2006, the Fund held the following open short future contracts:

Type	Number of Contracts		Value		Aggregate Face Value		Expiration Date	Unrealized Appreciation
2 Year U. S. Treasury Note		15	$	3,072,656	$	3,078,281	Mar-2006	$	5,625

At January 31, 2006, the asset allocation of the Fund is as follows:

Asset allocation	% of Net Assets
Collateralized Mortgage Obligations		26.9	%
Corporate Fixed-Income Bonds & Notes		25.9
Mortgage-Backed Securities		20.6
Government & Agency Obligations		19.0
Commercial Mortgage-Backed Securities		4.9
Asset-Backed Securities		0.8
Short-Term Obligation		1.5
Other Assets & Liabilities, Net		0.4
		100.0	%

See Accompanying Notes to Financial Statements.

31

CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

January 31, 2006 (Unaudited)

	Par		Value
Corporate Fixed-Income Bonds & Notes (32.2%)
Basic Materials (0.3%)
Forest Products & Paper (0.3%)
International Paper Co.
4.250% 01/15/09	$	200,000	$	193,998
Communications (3.5%)
Media (0.7%)
Jones Intercable, Inc.
7.625% 04/15/08		110,000		115,146
Time Warner, Inc.
6.125% 04/15/06		400,000		400,780
				515,926
Telecommunication Services (2.8%)
Deutsche Telekom International Finance BV
8.500% 06/15/10		250,000		276,878
New Cingular Wireless Services, Inc
7.500% 05/01/07		300,000		308,961
SBC Communications, Inc.
5.750% 05/02/06		325,000		325,676
Sprint Capital Corp.
6.375% 05/01/09		245,000		252,972
Verizon Global Funding Corp.
7.600% 03/15/07		575,000		590,772
Vodafone Group PLC
7.750% 02/15/10		150,000		163,680
				1,918,939
				2,434,865
Consumer Cyclical (1.2%)
Auto Manufacturers (0.3%)
DaimlerChrysler NA Holding Corp.
4.750% 01/15/08		200,000		197,890
Retail (0.9%)
Costco Wholesale Corp.
5.500% 03/15/07		275,000		276,502
Wal-Mart Stores, Inc.
4.000% 01/15/10		375,000		362,186
				638,688
				836,578
Consumer Non-Cyclical (4.7%)
Beverages (1.6%)
Bottling Group LLC
2.450% 10/16/06		375,000		368,692
Coca-Cola Enterprises, Inc.
5.750% 11/01/08		325,000		331,757

See Accompanying Notes to Financial Statements.

32

CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Beverages (continued)
Diageo Capital PLC
3.375% 03/20/08	$	400,000	$	386,624
				1,087,073
Food (1.4%)
General Mills, Inc.
2.625% 10/24/06		450,000		442,606
Kroger Co.
7.650% 04/15/07		275,000		282,508
Safeway, Inc.
4.950% 08/16/10		280,000		272,328
				997,442
Healthcare Products (0.3%)
Baxter FinCo BV
4.750% 10/15/10 (a)		250,000		244,703
Healthcare Services (0.9%)
UnitedHealth Group, Inc.
3.375% 08/15/07		350,000		341,740
WellPoint, Inc.
6.375% 06/15/06		250,000		251,350
				593,090
Household Products/Wares (0.5%)
Fortune Brands, Inc.
5.125% 01/15/11		325,000		323,346
				3,245,654
Energy (1.6%)
Oil & Gas (1.6%)
ChevronTexaco Capital Co.
3.500% 09/17/07		375,000		366,979
Devon Energy Corp.
2.750% 08/01/06		400,000		395,640
Marathon Oil Corp.
5.375% 06/01/07		350,000		351,452
				1,114,071
Financials (15.2%)
Banks (3.2%)
Marshall & Ilsley Corp.
4.375% 08/01/09		425,000		416,810
U.S. Bancorp
3.125% 03/15/08		450,000		433,872
Wachovia Corp.
3.500% 08/15/08		600,000		580,518
Wells Fargo & Co.
4.520% 03/10/08 (b)		750,000		750,285
				2,181,485

See Accompanying Notes to Financial Statements.

33

CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Diversified Financial Services (8.7%)
American Express Credit Corp.
3.000% 05/16/08	$	350,000	$	335,128
American General Finance Corp.
3.000% 11/15/06		175,000		172,379
Bear Stearns Co. Inc.
6.500% 05/01/06		225,000		225,911
Capital One Bank
4.875% 05/15/08		150,000		148,961
Caterpillar Financial Services Corp.
3.625% 11/15/07		425,000		415,017
CIT Group, Inc.
4.125% 02/21/06		250,000		249,917
Citigroup, Inc.
4.250% 07/29/09		450,000		439,839
Countrywide Home Loans, Inc.
2.875% 02/15/07		350,000		342,212
Credit Suisse First Boston USA, Inc.
4.875% 08/15/10		250,000		247,320
General Electric Capital Corp.
4.250% 01/15/08		500,000		493,600
Goldman Sachs Group, Inc.
5.000% 01/15/11		375,000		372,679
HSBC Finance Corp.
6.400% 06/17/08		350,000		360,276
JPMorgan Chase & Co.
3.800% 10/02/09		550,000		526,834
Lehman Brothers Holdings, Inc.
5.000% 01/14/11		350,000		348,411
Merrill Lynch & Co., Inc.
4.125% 01/15/09		325,000		316,846
Morgan Stanley
3.875% 01/15/09		475,000		459,524
Pitney Bowes Credit Corp.
5.750% 08/15/08		250,000		254,540
USA Education, Inc.
5.625% 04/10/07		300,000		302,274
				6,011,668
Insurance (1.7%)
Allstate Financial Global Funding II
2.625% 10/22/06 (a)		350,000		343,504
American International Group, Inc.
2.875% 05/15/08		500,000		477,140
Genworth Financial, Inc.
4.750% 06/15/09		350,000		345,993
				1,166,637
Real Estate Investment Trusts (0.6%)
American Health Properties
7.500% 01/15/07		400,000		408,208

See Accompanying Notes to Financial Statements.

34

CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Savings & Loans (1.0%)
Washington Mutual, Inc.
4.200% 01/15/10	$	475,000	$	459,002
World Savings Bank
4.125% 03/10/08		250,000		245,980
				704,982
				10,472,980
Industrials (3.4%)
Aerospace & Defense (1.1%)
Boeing Co.
8.100% 11/15/06		375,000		383,985
United Technologies Corp.
4.875% 11/01/06		400,000		399,728
				783,713
Environmental Control (0.5%)
USA Waste Services, Inc.
7.125% 10/01/07		300,000		309,978
Machinery (0.4%)
John Deere Capital Corp.
4.625% 04/15/09		300,000		296,451
Transportation (1.4%)
Canadian National Railway Co.
6.450% 07/15/06 (b)		425,000		427,890
CSX Corp.
6.750% 03/15/11		225,000		239,618
Union Pacific Corp.
3.875% 02/15/09		325,000		313,606
				981,114
				2,371,256
Technology (0.6%)
Computers (0.6%)
International Business Machines Corp.
4.250% 09/15/09		400,000		391,036
Utilities (1.7%)
Electric (0.9%)
Exelon Generation Co. LLC
6.950% 06/15/11		350,000		375,581
Scottish Power PLC
4.910% 03/15/10		275,000		271,538
				647,119
Gas (0.8%)
Kinder Morgan Energy Partners LP
6.750% 03/15/11		275,000		291,646

See Accompanying Notes to Financial Statements.

35

CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Gas (continued)
Sempra Energy
4.750% 05/15/09	$	250,000	$	246,720
				538,366
				1,185,485
Total Corporate Fixed-Income Bonds & Notes (Cost of $22,563,813)				22,245,923
Asset-Backed Securities (16.8%)
Ameriquest Mortgage Securities, Inc.
4.730% 05/25/33 (b)		60,856		60,856
Bear Stearns Asset Backed Securities, Inc.
4.490% 06/25/35 (b)		605,555		605,749
CIT Equipment Collateral
2.200% 03/20/08		85,741		84,526
Cityscape Home Equity Loan Trust
7.410% 05/25/28		63,597		63,429
7.650% 09/25/25		332,102		331,030
Countrywide Asset-Backed Certificates
4.470% 08/25/35 (b)		317,166		317,192
IMC Home Equity Loan Trust
7.500% 04/25/26		457,013		458,139
7.520% 08/20/28		82,549		82,369
KeyCorp Student Loan Trust
4.400% 08/27/25 (b)		673,115		675,764
4.940% 01/27/23 (a)(b)		866,033		872,399
Long Beach Auto Receivables Trust
4.050% 04/15/11		1,700,000		1,667,462
Mastr Asset Backed Securities Trust
4.530% 11/25/35 (b)		1,075,656		1,076,204
New Century Home Equity Loan Trust
4.750% 01/25/34 (b)		204,267		204,961
Novastar Home Equity Loan
4.510% 01/25/36 (b)		600,679		600,932
SLM Student Loan Trust
5.090% 01/25/13 (b)		3,140,000		3,225,785
UCFC Home Equity Loan
6.315% 04/15/30		294,833		295,004
WFS Financial Owner Trust
2.810% 08/22/11		1,000,000		979,630
Total Asset-Backed Securities (Cost of $11,560,211)				11,601,431

See Accompanying Notes to Financial Statements.

36

CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Collateralized Mortgage Obligations (16.4%)
Agency (4.4%)
Federal Home Loan Mortgage Corp.
3.000% 06/15/09	$	890,657	$	886,544
4.000% 09/15/15		640,000		623,563
4.500% 02/15/15		1,300,000		1,282,518
6.500% 11/15/30		45,304		45,431
Federal National Mortgage Association
4.930% 09/25/18 (b)		205,827		205,105
				3,043,161
Non-Agency (12.0%)
Bear Stearns Adjustable Rate Mortgage Trust
3.512% 06/25/34 (b)		1,000,000		978,000
Bear Stearns Asset Backed Securities, Inc.
5.000% 01/25/34 (b)		989,836		976,097
Countrywide Alternative Loan Trust
5.250% 08/25/35		1,325,210		1,318,981
5.500% 02/25/36		1,495,127		1,491,255
Countrywide Home Loan Mortgage Pass Through Trust
5.000% 02/25/33		1,300,000		1,283,282
IMPAC CMB Trust
4.760% 12/25/33 (b)		287,439		287,913
Ocwen Residential MBS Corp.
7.000% 10/25/40 (a)(b)		20,406		20,340
PNC Mortgage Securities Corp.
1.000% 04/28/27 (b)		6,933		6,344
SACO I, Inc.
4.580% 04/25/35 (a)(b)		918,406		918,001
7.000% 08/25/36 (a)		201,565		199,650
Structured Asset Securities Corp.
5.750% 04/25/33		791,044		782,931
				8,262,794
Total Collateralized Mortgage Obligations (Cost of $11,372,049)				11,305,955
Mortgage-Backed Securities (13.6%)
Federal Home Loan Mortgage Corp.
4.000% 05/01/11		1,607,740		1,561,916
4.500% 11/01/07		565,963		562,758
5.000% 11/01/20		986,288		974,496
5.500% 07/01/19		1,559,775		1,568,569
5.500% 01/01/21		800,000		804,570
Federal National Mortgage Association
4.500% 01/01/20		1,798,980		1,751,017
5.000% 08/01/19		749,694		741,166
5.000% 05/01/20		229,087		226,343
6.000% 03/01/09		26,246		26,360
6.000% 05/01/09		276,806		277,999

See Accompanying Notes to Financial Statements.

37

CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Mortgage-Backed Securities (continued)
Small Business Administration
4.875% 10/25/21 (b)	$	15,976	$	15,982
4.875% 03/25/22 (b)		122,208		122,257
4.875% 06/25/22 (b)		406,355		406,535
5.000% 07/25/21 (b)		54,213		53,306
5.000% 11/25/21 (b)		52,807		52,850
5.375% 01/25/17 (b)		221,927		220,140
Total Mortgage-Backed Securities (Cost of $9,493,688)				9,366,264
Government & Agency Obligations (13.2%)
Foreign Government Obligations (2.5%)
Morocco Government AID Bond
2.464% 05/01/23 (b)		350,000		348,250
Province of Ontario
6.000% 02/21/06		250,000		250,173
Province of Quebec
7.000% 01/30/07		450,000		459,427
Republic of Italy
2.500% 03/31/06		400,000		398,556
United Mexican States
4.625% 10/08/08		275,000		273,075
				1,729,481
U.S. Government Agencies (3.1%)
Federal Home Loan Bank
3.000% 05/15/06		125,000		124,409
Federal National Mortgage Association
4.000% 10/16/06		2,000,000		1,988,604
				2,113,013
U.S. Government Obligations (7.6%)
U.S. Treasury Notes
3.375% 10/15/09		3,110,000		2,991,674
3.875% 01/15/09		2,145,239		2,269,259
				5,260,933
Total Government & Agency Obligations (Cost of $9,211,111)				9,103,427
Commercial Mortgage-Backed Securities (5.2%)
LB-UBS Commercial Mortgage Trust
5.642% 12/15/25		777,590		783,056
Nationslink Funding Corp.
6.888% 11/10/30		500,000		510,485
Nomura Asset Securities Corp.
7.120% 04/13/39		530,000		530,991
Prudential Securities Secured Financing Corp.
6.480% 11/01/31		1,719,646		1,757,719
Total Commercial Mortgage-Backed Securities (Cost of $3,710,234)				3,582,251

See Accompanying Notes to Financial Statements.

38

CMG SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Short-Term Obligation (2.4%)
Repurchase agreement with State Street Bank & Trust Co., dated 01/31/06, due 02/01/06 at 4.270%, collateralized by a U.S. Government Agency Obligation maturing 05/15/15, market value of $1,654,744 (repurchase proceeds $1,621,192)	$	1,621,000	$	1,621,000
Total Short-Term Obligation (Cost of $1,621,000)				1,621,000
Total Investments (99.8%) (Cost of $69,532,106) (c)				68,826,251
Other Assets & Liabilities, Net (0.2%)				160,825
Net Assets (100.0%)			$	68,987,076

Notes to Schedule of Investments:

(a)  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2006, these securities, which are not illiquid, amounted to $2,598,597, which represents 3.8% of net assets.

(b)  The interest rate shown on floating rate or variable rate securities reflects the rate at January 31, 2006.

(c)  Cost for federal income tax purposes is $69,890,501.

At January 31,2006, the Fund held the following open short futures contract:

Type	Contracts		Value		Aggregate Face Value		Expiration Date	Unrealized Appreciation
2-Year U.S. Treasury Note		30	$	6,145,313	$	6,156,563	Mar-2006	$	11,250

On January 31, 2006, cash of $10,500 was pledged as collateral for open futures contracts and was being held by the broker of the futures contracts.

At January 31, 2006, the asset allocation of the Fund is as follows:

Asset Allocation	% of Net Assets
Corporate Fixed-Income Bonds & Notes		32.2	%
Asset-Backed Securities		16.8
Collateralized Mortgage Obligations		16.4
Mortgage-Backed Securities		13.6
Government & Agency Obligations		13.2
Commercial Mortgage-Backed Securities		5.2
Short-Term Obligation		2.4
Other Assets & Liabilities, Net		0.2
		100.0	%

See Accompanying Notes to Financial Statements.

39

CMG ULTRA SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

January 31, 2006 (Unaudited)

	Par		Value
Corporate Fixed-Income Bonds & Notes (34.5%)
Communications (1.2%)
Telecommunications (1.2%)
France Telecom SA
7.200% 03/01/06	$	400,000	$	400,732
Sprint Capital Corp.
4.780% 08/17/06		600,000		599,478
				1,000,210
Consumer Cyclical (5.4%)
Apparel (1.5%)
Jones Apparel Group, Inc.
7.875% 06/15/06		500,000		504,815
Nike, Inc.
5.500% 08/15/06		750,000		752,355
				1,257,170
Auto Manufacturers (1.2%)
DaimlerChrysler North America Holding Corp.
4.990% 05/24/06 (a)		600,000		600,300
6.400% 05/15/06		455,000		456,574
				1,056,874
Retail (1.8%)
McDonald's Corp.
5.375% 04/30/07		610,000		612,074
Target Corp.
5.950% 05/15/06		885,000		887,823
				1,499,897
Textiles (0.9%)
Cintas Corp.
5.125% 06/01/07		750,000		751,568
				4,565,509
Consumer Non-Cyclical (5.2%)
Agriculture (0.8%)
Altria Group, Inc.
6.375% 02/01/06		200,000		199,972
Cargill, Inc.
6.250% 05/01/06 (b)		500,000		501,625
				701,597
Beverages (1.5%)
Bottling Group LLC
2.450% 10/16/06		700,000		688,226
Coca-Cola Enterprises, Inc.
5.375% 08/15/06		550,000		551,546
				1,239,772
Food (1.8%)
Campbell Soup Co.
6.900% 10/15/06		750,000		759,615

See Accompanying Notes to Financial Statements.

40

CMG ULTRA SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Food (continued)
Sysco Corp.
7.000% 05/01/06	$	750,000	$	753,967
				1,513,582
Healthcare Services (0.6%)
WellPoint, Inc.
3.750% 12/14/07		500,000		488,100
Pharmaceuticals (0.5%)
Abbott Laboratories
5.625% 07/01/06		400,000		401,264
				4,344,315
Energy (0.5%)
Oil & Gas (0.5%)
Ras Laffan Liquefied Natural Gas Co., Ltd.
3.437% 09/15/09 (b)		409,750		394,454
Financials (18.7%)
Banks (0.6%)
Bank One Corp.
4.590% 02/27/06 (a)		545,000		544,896
Diversified Financial Services (15.3%)
American Honda Finance Corp.
4.400% 08/23/07 (a)(b)		500,000		500,130
Capital One Bank
6.875% 02/01/06		925,000		925,055
CIT Group, Inc.
4.540% 02/15/07 (a)		1,000,000		1,001,800
6.500% 02/07/06		360,000		360,065
Countrywide Home Loans, Inc.
3.250% 05/21/08		500,000		479,280
Credit Suisse First Boston USA, Inc.
4.840% 02/15/07 (a)		1,000,000		1,004,850
4.875% 08/15/10		200,000		197,856
Ford Motor Credit Co.
6.875% 02/01/06		150,000		149,975
General Electric Capital Corp.
5.350% 03/30/06		500,000		500,535
6.500% 12/10/07		500,000		513,475
Goldman Sachs Group, Inc.
4.255% 01/09/07 (a)		1,500,000		1,501,530
Household Financial Corp.
7.650% 05/15/07		650,000		671,067
John Deere Capital Corp.
3.625% 05/25/07		500,000		491,570
Merrill Lynch & Co.
3.000% 04/30/07		200,000		195,378
4.697% 06/06/06 (a)		700,000		700,497
4.773% 05/22/06 (a)		600,000		603,728

See Accompanying Notes to Financial Statements.

41

CMG ULTRA SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Diversified Financial Services (continued)
Morgan Stanley
4.540% 11/24/06 (a)	$	1,500,000	$	1,500,660
SLM Corp.
4.691% 09/15/06 (a)		1,510,000		1,510,317
				12,807,768
Insurance (2.2%)
Berkshire Hathaway Finance Corp.
4.400% 05/16/08 (a)		500,000		499,930
Genworth Financial, Inc.
4.641% 06/15/07 (a)		1,100,000		1,101,485
Prudential Financial, Inc.
4.104% 11/15/06		225,000		223,601
				1,825,016
Savings & Loans (0.6%)
World Savings Bank FSB
4.125% 03/10/08		500,000		491,960
				15,669,640
Industrials (1.0%)
Aerospace & Defense (0.6%)
United Technologies Corp.
7.000% 09/15/06		500,000		506,765
Transportation (0.4%)
CSX Corp.
4.561% 08/03/06 (a)		387,000		387,000
				893,765
Information Technology (0.3%)
IT Services (0.3%)
First Data Corp.
4.700% 11/01/06		300,000		299,244
Utilities (2.2%)
Electric (2.2%)
Alabama Power Co.
2.650% 02/15/06		400,000		399,604
2.800% 12/01/06		400,000		392,824
Georgia Power Co.
6.200% 02/01/06		300,000		299,958
Wisconsin Electric Power Co.
3.500% 12/01/07		750,000		730,095
				1,822,481
Total Corporate Fixed-Income Bonds & Notes (Cost of $29,100,398)				28,989,618

See Accompanying Notes to Financial Statements.

42

CMG ULTRA SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Asset-Backed Securities (27.7%)
AmeriCredit Automobile Receivables Trust
3.930% 10/06/11	$	500,000	$	485,890
4.310% 09/08/08		1,100,000		1,097,481
Ameriquest Mortgage Securities, Inc.
5.000% 06/25/06 I.O. (c)		4,412,500		82,337
Capital One Auto Finance Trust
4.790% 05/15/09		1,000,000		999,140
Centex Home Equity
4.490% 10/25/35 (a)		855,102		855,512
6.540% 01/25/32		289,728		288,033
Chase Credit Card Master Trust
4.490% 02/15/10 (a)		1,000,000		1,003,040
Chase Funding Mortgage Loan Asset-Backed Certificates
7.140% 09/25/28		181,403		180,977
Chase Manhattan Auto Owner Trust
4.770% 03/15/08		800,000		799,512
DaimlerChrysler Auto Trust
3.090% 01/08/08		212,304		211,358
Franklin Auto Trust
3.130% 11/15/11		500,000		489,835
4.910% 04/20/10		1,000,000		999,500
Gracechurch Card Funding PLC
4.480% 03/15/10 (a)		1,000,000		1,002,330
GS Auto Loan Trust
4.320% 05/15/08		750,000		748,073
Harley-Davidson Motorcycle Trust
2.630% 11/15/10		195,290		191,290
Honda Auto Receivables Owner Trust
4.850% 06/18/08		750,000		749,723
Household Automotive Trust
2.220% 11/17/09		750,000		738,548
Long Beach Auto Receivables Trust
4.050% 04/15/11		800,000		784,688
4.080% 06/15/10		700,000		692,153
4.325% 06/15/09		850,000		847,169
Long Beach Mortgage Loan Trust
4.500% 12/25/06 I.O. (c)		3,663,688		101,704
MBNA Credit Card Master Note Trust
5.750% 10/15/08 (d)		439,000		440,357
Nissan Auto Lease Trust
2.570% 06/15/09		298,291		295,758
4.271% 11/15/06		638,751		638,087
Onyx Acceptance Grantor Trust
2.400% 12/15/07		39,417		39,346
3.090% 09/15/08		307,638		304,977
Ownit Mortgage Loan Asset Backed Certificates
5.424% 12/25/36 (a)		726,000		725,492
Providian Gateway Master Trust
3.350% 09/15/11 (b)		1,500,000		1,462,815

See Accompanying Notes to Financial Statements.

43

CMG ULTRA SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Asset-Backed Securities (continued)
Residential Asset Mortgage Products, Inc.
3.420% 10/25/27 (a)	$	1,056,447	$	1,046,929
3.810% 01/25/26		456,444		453,495
Residential Funding Mortgage Securities II, Inc.
4.500% 09/25/35 (a)		866,365		866,729
Soundview Home Equity Loan Trust
4.550% 04/25/35 (a)		260,852		260,933
USAA Auto Owner Trust
2.930% 07/16/07		116,149		115,762
Volkswagen Auto Loan Enhanced Trust
2.270% 10/22/07		95,916		95,239
WFS Financial Owner Trust
1.760% 01/21/08		10,742		10,728
2.850% 09/22/08		489,599		486,602
3.020% 05/20/11		739,122		727,806
3.150% 05/20/11		1,000,000		985,270
3.250% 05/20/11		1,000,000		985,230
Total Asset-Backed Securities (Cost of $23,394,055)				23,289,848
Government & Agency Obligations (14.8%)
Foreign Government Bonds (1.2%)
Italy Government International Bond
4.000% 06/16/08		1,000,000		982,700
U.S. Government Agencies (11.5%)
Federal Home Loan Bank
2.625% 02/16/07		500,000		488,793
5.375% 02/15/07		1,250,000		1,256,458
Federal Home Loan Mortgage Corp.
2.750% 10/15/06		1,500,000		1,479,172
2.810% 02/02/06		1,000,000		999,948
2.875% 12/15/06		2,000,000		1,967,112
3.750% 11/15/06		1,000,000		991,985
4.125% 04/02/07		2,000,000		1,983,704
Federal National Mortgage Association
4.325% 09/07/06 (a)		500,000		499,920
				9,667,092
U.S. Government Obligations (2.1%)
U.S. Treasury Notes
2.500% 10/31/06		1,300,000		1,280,297
3.125% 01/31/07		500,000		492,832
				1,773,129
Total Government & Agency Obligations (Cost of $12,528,835)				12,422,921

See Accompanying Notes to Financial Statements.

44

CMG ULTRA SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Collateralized Mortgage Obligations (9.5%)
Agency (6.6%)
Federal Home Loan Mortgage Corp.
4.000% 05/15/14	$	100,000	$	97,763
4.000% 07/15/24		551,491		542,629
4.250% 03/15/17		913,926		906,649
5.000% 11/15/15		299,676		298,721
5.000% 02/15/16		1,003,187		999,650
5.500% 04/15/27		1,937,586		1,949,871
Federal National Mortgage Association
5.000% 01/25/23		761,160		757,961
				5,553,244
Non-Agency (2.9%)
Opteum Mortgage Acceptance Corp.
5.470% 12/25/35		792,928		792,167
Paragon Mortgages PLC
4.370% 06/15/41 (a)(b)		500,000		500,000
Washington Mutual
3.624% 04/25/35 (a)		300,155		299,089
4.843% 10/25/35 (a)		799,736		792,706
				2,383,962
Total Collateralized Mortgage Obligations (Cost of $8,010,383)				7,937,206
Municipal Bonds (5.0%)
CA El Dorado Irrigation District Certificates of Participation
Series 2004 B,
2.950% 03/01/34 (a)(e)		500,000		499,820
KS Wyandotte County Kansas City Unified Government Special Obligation Revenue,
1 st Lien,
Series 2005,
4.670% 12/01/09 (a)(e)		500,000		495,650
NJ Camden County Improvement Authority
Series 2005,
4.220% 08/03/06 (a)(e)		500,000		498,160
NY City
Series 2005 L,
4.000% 12/01/06 (a)(e)		300,000		297,576
NY Urban Development Corp. Revenue
Series 2004 B-3,
3.580% 12/15/07 (a)(e)		800,000		781,000
OH Knowledge Works Foundation Student Loan Revenue
Series 2000 A-3,
4.181% 11/01/35 (a)(e)		500,000		500,000
OK Student Loan Authority
Series 2000 A-1,
4.320% 06/01/30 (a)(e)		500,000		500,000

See Accompanying Notes to Financial Statements.

45

CMG ULTRA SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Municipal Bonds (continued)
PA Convention Center Authority Revenue
Series A,
4.380% 03/01/06 (a)(e)	$	625,000	$	625,000
Total Municipal Bonds (Cost of $4,225,888)				4,197,206
Mortgage-Backed Securities (4.1%)
Federal Home Loan Mortgage Corp.
5.000% 12/01/19		1,719,694		1,700,128
Federal National Mortgage Association
6.000% 09/01/19		1,381,596		1,411,917
6.500% 07/01/34		281,668		289,221
Total Mortgage-Backed Obligations (Cost of $3,484,730)				3,401,266
Short-Term Obligation (4.2%)
Repurchase agreement with State Street Bank & Trust Co., dated 01/31/06, due 02/01/06 at 4.270%, collateralized by a U.S. Treasury Bond maturing 02/15/26, market value of $3,604,920 (repurchase proceeds $3,532,419).		3,532,000		3,532,000
Total Short-Term Obligation (Cost of $3,532,000)				3,532,000
Total Investments (99.8%) (Cost of $84,276,289) (f)				83,770,065
Other Assets & Liabilities, Net (0.2%)				179,245
Net Assets (100.0%)			$	83,949,310
Notes to Schedule of Investments:

(a)  The interest rate shown on floating rate or variable rate securities reflects the rate at January 31, 2006.

(b)  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2006, these securities, which are not illiquid, amounted to $3,359,024, which represents 4.0% of net assets.

(c)  Accrued interest accumulates in the value of this security and is payable at redemption.

(d)  Investments in affiliates during the six months ended January 31, 2006:
Security name: MBNA Credit Card Master Note Trust, 5.750% 10/15/08

Par as of 07/31/05:	$	439,000
Par purchased:		-
Par sold:		-
Par as of 01/31/06:	$	439,000
Net realized gain:	$	-
Interest income earned:	$	2,104
Value at end of period:	$	440,357

(e)  Auction rate security. A debt security in which the interest rate is reset periodically, at intervals established at the time of issuance.

(f)  Cost for federal income tax purposes is $84,540,977.

See Accompanying Notes to Financial Statements.

46

CMG ULTRA SHORT TERM BOND FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

At January 31, 2006, the asset allocation of the Fund is as follows:

Asset Allocation	% of Net Assets
Corporate Fixed-Income Bonds & Notes		34.5	%
Asset-Backed Securities		27.7
Government & Agency Obligations		14.8
Collateralized Mortgage Obligations		9.5
Municipal Bonds		5.0
Mortgage-Backed Securities		4.1
Short-Term Obligation		4.2
Other Assets & Liabilities, Net		0.2
		100.0	%

Acronym	Name
I.O.	Interest only security

See Accompanying Notes to Financial Statements.

47

CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

January 31, 2006 (Unaudited)

	Par		Value
Corporate Fixed-Income Bonds & Notes (95.3%)
Basic Materials (5.3%)
Chemicals (3.0%)
Chemicals-Diversified (1.5%)
EquiStar Chemicals LP
10.125% 09/01/08	$	950,000	$	1,030,750
10.625% 05/01/11		585,000		643,500
NOVA Chemicals Corp.
6.500% 01/15/12		855,000		822,937
7.561% 11/15/13 (a)(b)		380,000		383,800
				2,880,987
Chemicals-Specialty (0.7%)
Nalco Co.
7.750% 11/15/11		1,385,000		1,416,163
Industrial-Gases (0.8%)
Airgas, Inc.
9.125% 10/01/11		1,545,000		1,645,425
				5,942,575
Forest Products & Paper (1.3%)
Paper & Related Products (1.3%)
Boise Cascade LLC
7.125% 10/15/14		2,660,000		2,467,150
Iron/Steel (1.0%)
Steel-Producers (1.0%)
Russel Metals, Inc.
6.375% 03/01/14		1,260,000		1,231,650
United States Steel Corp.
9.750% 05/15/10		750,000		818,438
				2,050,088
				10,459,813
Communications (10.3%)
Media (6.4%)
Cable TV (2.3%)
DirecTV Holdings LLC
8.375% 03/15/13		909,000		978,311
EchoStar DBS Corp.
5.750% 10/01/08		250,000		246,875
6.625% 10/01/14		1,270,000		1,235,075
Rogers Cable, Inc.
7.875% 05/01/12		1,880,000		2,030,400
				4,490,661
Multimedia (1.5%)
Emmis Operating Co.
6.875% 05/15/12		1,495,000		1,453,888

See Accompanying Notes to Financial Statements.

48

CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Media (continued)
Lamar Media Corp.
7.250% 01/01/13	$	1,475,000	$	1,534,000
				2,987,888
Publishing-Periodicals (1.9%)
Dex Media West LLC
5.875% 11/15/11		245,000		246,837
9.875% 08/15/13		1,260,000		1,392,300
R.H. Donnelley Finance Corp.
10.875% 12/15/12 (a)		1,820,000		2,047,500
				3,686,637
Television (0.7%)
LIN Television Corp.
6.500% 05/15/13		1,350,000		1,275,750
				12,440,936
Telecommunication Services (3.9%)
Cellular Telecommunications (2.2%)
Nextel Communications, Inc.
7.375% 08/01/15		1,835,000		1,936,916
Rogers Wireless, Inc.
7.500% 03/15/15		850,000		924,375
8.000% 12/15/12		1,485,000		1,577,812
				4,439,103
Telephone-Integrated (1.7%)
Citizens Communications Co.
9.000% 08/15/31		1,150,000		1,184,500
Qwest Corp.
8.875% 03/15/12		1,890,000		2,090,813
				3,275,313
				7,714,416
				20,155,352
Consumer Cyclical (22.7%)
Apparel (0.5%)
Apparel Manufacturers (0.5%)
Phillips-Van Heusen Corp.
7.250% 02/15/11		900,000		929,250
Auto Manufacturers (0.4%)
Auto-Medium & Heavy Duty Trucks (0.4%)
Navistar International Corp.
7.500% 06/15/11		840,000		831,600
Auto Parts & Equipment (1.0%)
Auto/Truck Parts & Equipment-Original (1.0%)
Accuride Corp.
8.500% 02/01/15		1,075,000		1,069,625

See Accompanying Notes to Financial Statements.

49

CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Auto/Truck Parts & Equipment-Original (continued)
TRW Automotive, Inc.
9.375% 02/15/13	$	750,000	$	817,500
				1,887,125
Entertainment (3.1%)
Music (1.0%)
Warner Music Group
7.375% 04/15/14		2,035,000		2,024,825
Racetracks (1.2%)
Speedway Motorsports, Inc.
6.750% 06/01/13		2,340,000		2,386,800
Theaters (0.9%)
Cinemark USA, Inc.
9.000% 02/01/13		1,695,000		1,779,750
				6,191,375
Home Builders (3.3%)
Building-Residential/Commercial (3.3%)
Beazer Homes USA, Inc.
6.875% 07/15/15 (a)		1,350,000		1,316,250
K. Hovnanian Enterprises, Inc.
6.000% 01/15/10		875,000		846,562
6.375% 12/15/14		750,000		716,250
6.500% 01/15/14		1,050,000		1,017,187
KB Home
7.750% 02/01/10		225,000		233,438
8.625% 12/15/08		2,160,000		2,268,000
				6,397,687
Home Furnishings (0.7%)
Sealy Mattress Co.
8.250% 06/15/14		1,365,000		1,409,363
Leisure Time (2.1%)
Cruise Lines (1.3%)
Royal Caribbean Cruises Ltd.
6.875% 12/01/13		1,300,000		1,386,125
8.750% 02/02/11		1,030,000		1,163,900
				2,550,025
Leisure & Recreational Products (0.8%)
Leslie's Poolmart
7.750% 02/01/13		1,605,000		1,621,050
				4,171,075

See Accompanying Notes to Financial Statements.

50

CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Lodging (7.5%)
Casino Hotels (5.9%)
CCM Merger, Inc.
8.000% 08/01/13 (a)	$	1,240,000	$	1,209,000
Chukchansi Economic Development Authority
8.000% 11/15/13 (a)		710,000		730,413
Kerzner International Ltd.
6.750% 10/01/15 (a)		1,270,000		1,235,075
MGM Mirage
6.000% 10/01/09		3,010,000		2,998,712
8.500% 09/15/10		740,000		804,750
Station Casinos, Inc.
6.875% 03/01/16		2,465,000		2,495,812
Wynn Las Vegas LLC
6.625% 12/01/14		2,105,000		2,052,375
				11,526,137
Hotels & Motels (1.6%)
Hilton Hotels Corp.
7.500% 12/15/17		500,000		542,190
Starwood Hotels & Resorts Worldwide, Inc.
7.875% 05/01/12		2,360,000		2,590,100
				3,132,290
				14,658,427
Retail (4.1%)
Retail-Automobiles (2.2%)
AutoNation, Inc.
9.000% 08/01/08		2,745,000		2,950,875
Group 1 Automotive, Inc.
8.250% 08/15/13		1,390,000		1,355,250
				4,306,125
Retail-Convenience Store (1.0%)
Couche-Tard
7.500% 12/15/13		1,855,000		1,919,925
Retail-Propane Distributors (0.2%)
AmeriGas Partners LP.
7.125% 05/20/16		480,000		478,200
Retail-Restaurants (0.7%)
Domino's, Inc.
8.250% 07/01/11		1,300,000		1,352,000
				8,056,250
				44,532,152

See Accompanying Notes to Financial Statements.

51

CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Consumer Non-Cyclical (17.5%)
Beverages (3.0%)
Beverages-Non-Alcoholic (1.7%)
Cott Beverages, Inc.
8.000% 12/15/11	$	3,185,000	$	3,264,625
Beverages-Wine/Spirits (1.3%)
Constellation Brands, Inc.
8.125% 01/15/12		2,455,000		2,571,612
				5,836,237
Commercial Services (5.0%)
Commercial Services (2.2%)
Iron Mountain, Inc.
7.750% 01/15/15		1,850,000		1,882,375
8.625% 04/01/13		1,175,000		1,227,875
Mac-Gray Corp.
7.625% 08/15/15 (a)		1,340,000		1,360,100
				4,470,350
Funeral Services & Related Items (0.7%)
Stewart Enterprises, Inc.
7.250% 02/15/13 (a)		1,395,000		1,353,150
Private Corrections (1.1%)
Corrections Corp. of America
6.250% 03/15/13		765,000		753,525
7.500% 05/01/11		1,330,000		1,371,562
				2,125,087
Rental Auto/Equipment (1.0%)
NationsRent Companies, Inc.
9.500% 10/15/10		620,000		678,900
United Rentals, Inc.
7.000% 02/15/14		600,000		567,000
7.750% 11/15/13		725,000		715,938
				1,961,838
				9,910,425
Food (0.7%)
Food-Miscellaneous/Diversified (0.7%)
Del Monte Corp.
6.750% 02/15/15 (a)		1,325,000		1,321,688
Healthcare Services (6.8%)
Medical-HMO (1.5%)
Coventry Health Care, Inc.
5.875% 01/15/12		2,925,000		2,943,281

See Accompanying Notes to Financial Statements.

52

CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Healthcare Services (continued)
Medical-Hospitals (2.9%)
Community Health Systems
6.500% 12/15/12	$	450,000	$	442,125
HCA, Inc.
6.950% 05/01/12		2,480,000		2,550,358
Triad Hospitals, Inc.
7.000% 05/15/12		2,700,000		2,767,500
				5,759,983
Medical-Nursing Homes (0.7%)
Extendicare Health Services, Inc.
6.875% 05/01/14		1,200,000		1,170,000
9.500% 07/01/10		255,000		269,662
				1,439,662
Medical-Outpatient/Home Medical (0.2%)
Select Medical Corp.
7.625% 02/01/15		410,000		364,900
Medical Products (1.5%)
Fisher Scientific International, Inc.
6.750% 08/15/14		2,730,000		2,846,025
				13,353,851
Household Products/Wares (0.6%)
Consumer Products-Miscellaneous (0.6%)
Scotts Co.
6.625% 11/15/13		1,180,000		1,203,600
Pharmaceuticals (1.4%)
Medical-Generic Drugs (0.5%)
Mylan Laboratories, Inc.
6.375% 08/15/15 (a)		1,020,000		1,030,200
Medical-Wholesale Drug Distribution (0.7%)
AmerisourceBergen Corp.
5.625% 09/15/12 (a)		1,330,000		1,326,675
Pharmacy Services (0.2%)
Omnicare, Inc.
6.750% 12/15/13		510,000		510,000
				2,866,875
				34,492,676
Energy (13.5%)
Coal (3.0%)
Arch Western Finance LLC
6.750% 07/01/13		2,130,000		2,161,950

See Accompanying Notes to Financial Statements.

53

CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Coal (continued)
Massey Energy Co.
6.875% 12/15/13 (a)	$	1,115,000	$	1,128,937
Peabody Energy Corp.
6.875% 03/15/13		2,435,000		2,532,400
				5,823,287
Oil & Gas (5.8%)
Oil & Gas Drilling (0.8%)
Pride International, Inc.
7.375% 07/15/14		1,410,000		1,519,275
Oil Companies-Exploration & Production (4.7%)
Chesapeake Energy Corp.
6.375% 06/15/15		2,960,000		2,945,200
Compton Petroleum Corp.
7.625% 12/01/13 (a)		620,000		626,200
Newfield Exploration Co.
6.625% 09/01/14		1,580,000		1,631,350
Plains Exploration & Production Co.
7.125% 06/15/14		2,035,000		2,136,750
Pogo Producing Co.
6.625% 03/15/15 (a)		2,025,000		1,994,625
				9,334,125
Oil Refining & Marketing (0.3%)
Tesoro Corp.
6.625% 11/01/15 (a)		665,000		667,494
				11,520,894
Oil & Gas Services (2.1%)
Oil-Field Services (1.6%)
Compagnie Generale de Geophysique SA
7.500% 05/15/15 (a)		100,000		103,531
Hornbeck Offshore Services, Inc.
6.125% 12/01/14		1,480,000		1,480,000
Universal Compression, Inc.
7.250% 05/15/10		1,615,000		1,667,488
				3,251,019
Oil Field Machinery & Equipment (0.5%)
Grant Prideco, Inc.
6.125% 08/15/15 (a)		890,000		892,225
				4,143,244
Pipelines (2.6%)
Atlas Pipeline Partners LP
8.125% 12/15/15 (a)		475,000		488,656
MarkWest Energy Partners LP
6.875% 11/01/14 (a)		1,560,000		1,427,400

See Accompanying Notes to Financial Statements.

54

CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Pipelines (continued)
Williams Companies, Inc.
6.375% 10/01/10 (a)	$	190,000	$	190,950
8.125% 03/15/12		2,740,000		2,993,450
				5,100,456
				26,587,881
Financials (1.5%)
Diversified Financial Services (0.7%)
Finance-Investment Banker/Broker (0.7%)
E*Trade Financial Corp.
7.375% 09/15/13 (a)		1,290,000		1,319,025
LaBranche & Co., Inc.
11.000% 05/15/12		125,000		138,438
				1,457,463
Real Estate Investment Trusts (0.8%)
REITs-Hotels (0.8%)
Host Marriott LP
6.375% 03/15/15		1,515,000		1,503,637
				2,961,100
Industrials (16.0%)
Aerospace & Defense (1.9%)
Aerospace/Defense-Equipment (1.2%)
DRS Technologies, Inc.
6.625% 02/01/16		700,000		701,750
Sequa Corp.
9.000% 08/01/09		715,000		777,563
TransDigm, Inc.
8.375% 07/15/11		840,000		884,100
				2,363,413
Electronics-Military (0.7%)
L-3 Communications Corp.
6.375% 10/15/15 (a)		1,460,000		1,452,700
				3,816,113
Environmental Control (1.4%)
Non-Hazardous Waste Disposal (1.4%)
Allied Waste North America, Inc.
5.750% 02/15/11		10,000		9,550
6.375% 04/15/11		2,725,000		2,684,125
6.500% 11/15/10		20,000		19,975
				2,713,650
Machinery-Diversified (2.0%)
Machinery-General Industry (2.0%)
Manitowoc Co., Inc.
7.125% 11/01/13		1,195,000		1,230,850
Westinghouse Air Brake Technologies, Inc.
6.875% 07/31/13		2,590,000		2,654,750
				3,885,600

See Accompanying Notes to Financial Statements.

55

CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Miscellaneous Manufacturing (0.7%)
Diversified Manufacturing Operators (0.7%)
Bombardier, Inc.
6.300% 05/01/14 (a)	$	1,000,000	$	910,000
Trinity Industries, Inc.
6.500% 03/15/14		435,000		437,175
				1,347,175
Packaging & Containers (4.9%)
Containers-Metal/Glass (4.1%)
Ball Corp.
6.875% 12/15/12		1,945,000		1,983,900
Crown Americas
7.750% 11/15/15 (a)		775,000		802,125
Owens-Brockway Glass Container, Inc.
8.875% 02/15/09		1,115,000		1,163,782
Owens-Illinois, Inc.
7.500% 05/15/10		1,900,000		1,928,500
Silgan Holdings, Inc.
6.750% 11/15/13		2,180,000		2,174,550
				8,052,857
Containers-Paper/Plastic (0.8%)
Smurfit-Stone Container Corp.
8.375% 07/01/12		1,555,000		1,483,081
Stone Container Finance
7.375% 07/15/14		75,000		67,500
				1,550,581
				9,603,438
Transportation (5.1%)
Transportation-Marine (4.2%)
Overseas Shipholding Group
8.250% 03/15/13		1,855,000		1,989,487
Stena AB
7.500% 11/01/13		1,765,000		1,742,938
Teekay Shipping Corp.
8.875% 07/15/11		4,030,000		4,503,525
				8,235,950
Transportation-Services (0.9%)
Offshore Logistics, Inc.
6.125% 06/15/13		1,935,000		1,843,087
				10,079,037
				31,445,013
Technology (1.0%)
Office/Business Equipment (0.3%)
Office Automation & Equipment (0.3%)
Xerox Corp.
7.125% 06/15/10		600,000		624,750

See Accompanying Notes to Financial Statements.

56

CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Corporate Fixed-Income Bonds & Notes (continued)
Semiconductors (0.7%)
Electronic Components - Semiconductors (0.7%)
Freescale Semiconductor, Inc.
6.875% 07/15/11	$	1,330,000	$	1,389,850
				2,014,600
Utilities (7.5%)
Electric (7.0%)
Electric-Generation (3.5%)
AES Corp.
7.750% 03/01/14		3,035,000		3,201,925
Edison Mission Energy
7.730% 06/15/09		490,000		506,537
Texas Genco LLC
6.875% 12/15/14 (a)		2,885,000		3,133,110
				6,841,572
Electric-Integrated (2.3%)
CMS Energy Corp.
6.875% 12/15/15		410,000		416,150
8.500% 04/15/11		260,000		282,425
Nevada Power Co.
5.875% 01/15/15		705,000		709,406
6.500% 04/15/12		735,000		763,481
NorthWestern Corp.
5.875% 11/01/14		175,000		174,563
TECO Energy, Inc.
6.750% 05/01/15		1,280,000		1,347,200
7.000% 05/01/12		840,000		886,200
				4,579,425
Independent Power Producer (1.2%)
Mirant North America LLC
7.375% 12/31/13 (a)		935,000		951,363
MSW Energy Holdings LLC
7.375% 09/01/10		540,000		556,200
NRG Energy, Inc.
7.250% 02/01/14		380,000		386,175
7.375% 02/01/16		380,000		387,125
				2,280,863
				13,701,860
Gas (0.5%)
Gas-Distribution (0.5%)
Colorado Interstate Gas Co.
6.800% 11/15/15 (a)		1,055,000		1,103,794
				14,805,654
Total Corporate Fixed-Income Bonds & Notes (Cost of $188,222,795)				187,454,241

See Accompanying Notes to Financial Statements.

57

CMG HIGH YIELD FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Short-Term Obligation (2.8%)
Repurchase agreement with State Street Bank & Trust Co., dated 01/31/06, due 02/01/06 at 4.270%, collateralized by a U.S. Treasury Bond maturing 05/15/15, market value of $5,584,150 (repurchase proceeds $5,473,649)	$	5,473,000	$	5,473,000
Total Short-Term Obligation (Cost of $5,473,000)				5,473,000
Total Investments (98.1%) (Cost of $193,695,795) (c)				192,927,241
Other Assets & Liabilities, Net (1.9%)				3,769,955
Net Assets (100.0%)			$	196,697,196
Notes to Schedule of Investments:

(a)  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2006, these securities, which are not illiquid, amounted to $30,505,986, which represents 15.5% of net assets.

(b)  The interest rate shown on floating rate or variable rate securities reflects the rate at January 31, 2006.

(c)  Cost for federal income tax purposes is $194,815,500.

At January 31, 2006, the asset allocation of the Fund is as follows:

Asset allocation	% of Net Assets
Consumer Cyclical		22.7	%
Consumer Non-Cyclical		17.5
Industrials		16.0
Energy		13.5
Communications		10.3
Utilities		7.5
Basic Materials		5.3
Financials		1.5
Technology		1.0
Short-Term Obligation		2.8
Other Assets & Liabilities, Net		1.9
		100.0	%

See Accompanying Notes to Financial Statements.

58

STATEMENTS OF ASSETS AND LIABILITIES

January 31, 2006 (Unaudited)

	CMG Core Bond Fund			CMG Short Term Bond Fund			CMG Ultra Short Term Bond Fund			CMG High Yield Fund
ASSETS:
Investments, at identified cost (including repurchase agreements)	$	48,905,265		$	69,532,106		$	83,816,779		$	193,695,795
Affiliated investments, at cost		-			-			459,510			-
Investments, at value	$	47,715,139		$	67,205,251		$	79,797,708		$	187,454,241
Affiliated investments, at value		-			-			440,357			-
Repurchase agreement		721,000			1,621,000			3,532,000			5,473,000
Cash		983			-			648			297
Cash at broker		-			10,500			-			-
Receivable for:											-
Investments sold		238,724			-			980,951			1,457,053
Fund shares sold		-			-			62,000			173,363
Interest		453,778			469,846			654,574			3,498,884
Foreign tax reclaim		-			-			822			-
Futures variation margin		703			1,406			-			-
Expense reimbursement due from Investment Advisor		6,545			4,938			6,853			6,569
Deferred Trustees' compensation plan		2,746			3,880			1,883			6,039
Other assets		1,253			-			1,377			3,782
Total Assets		49,140,871			69,316,821			85,479,173			198,073,228
LIABILITIES:
Payable for:
Payable to custodian bank		-			9,670			-			-
Investments purchased		338,490			-			1,299,308			864,875
Fund shares repurchased		-			163,414			-			114,417
Distributions		163,394			117,646			194,771			303,025
Investment advisory fee		11,751			17,253			17,290			69,054
Audit fee		15,304			15,457			16,111			18,347
Trustee legal council fees		492			580			500			275
Deferred Trustees' fees		2,746			3,880			1,883			6,039
Other liabilities		-			1,845			-			-
Total liabilities		532,177			329,745			1,529,863			1,376,032
NET ASSETS	$	48,608,694		$	68,987,076		$	83,949,310		$	196,697,196
NET ASSETS consist of:
Paid-in capital	$	50,249,507		$	73,992,790		$	85,922,629		$	244,403,910
Overdistributed net investment income		(248,250	)		(548,262	)		(814,815	)		(1,830,586	)
Accumulated net realized gain (loss)		(929,062	)		(3,762,847	)		(652,280	)		(45,107,574	)
Net unrealized appreciation (depreciation) on:
Investments		(469,126	)		(705,855	)		(506,224	)		(768,554	)
Futures contracts		5,625			11,250			-			-
NET ASSETS	$	48,608,694		$	68,987,076		$	83,949,310		$	196,697,196
Shares of capital stock outstanding		4,744,027			5,898,800			8,712,078			24,751,508
Net asset value, offering and redemption price per share	$	10.25		$	11.70		$	9.64		$	7.95

See Accompanying Notes to Financial Statements.

59

STATEMENTS OF OPERATIONS

For the Six Months Ended January 31, 2006 (Unaudited)

	CMG Core Bond Fund			CMG Short Term Bond Fund			CMG Ultra Short Term Bond Fund			CMG High Yield Fund
NET INVESTMENT INCOME:
Income:
Interest	$	1,597,867		$	1,672,467		$	1,592,347		$	7,832,178
Interest from affiliates		-			-			2,104			-
Total investment income		1,597,867			1,672,467			1,594,451			7,832,178
Expenses:
Investment advisory fee		84,791			98,313			105,121			474,794
Trustees' fees		5,314			5,065			5,240			8,132
Audit fee		16,796			17,024			16,111			18,864
Trustee legal counsel fees		1,929			2,283			2,270			7,060
Non-recurring costs (See Note 8)		519			591			642			1,800
Total expenses		109,349			123,276			129,384			510,650
Fees and expenses waived or reimbursed by   Investment Advisor		(24,039	)		(24,372	)		(23,621	)		(34,056	)
Non-recurring costs assumed by Investment Advisor (See Note 8)		(519	)		(591	)		(642	)		(1,800	)
Net expenses		84,791			98,313			105,121			474,794
Net investment income		1,513,076			1,574,154			1,489,330			7,357,384
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS:
Net realized gain (loss) on:
Investments		(927,229	)		(292,430	)		(107,090	)		306,912
Foreign currency transactions		-			(3,646	)		-			-
Futures contracts		68,186			74,749			-			-
Net realized gain (loss)		(859,043	)		(221,327	)		(107,090	)		306,912
Net change in unrealized appreciation (depreciation) on:
Investments		(188,476	)		(169,378	)		28,314			(4,489,627	)
Futures contracts		(44,063	)		(38,437	)		-			-
Net change in unrealized appreciation (depreciation)		(232,539	)		(207,815	)		28,314			(4,489,627	)
Net gain (loss)		(1,091,582	)		(429,142	)		(78,776	)		(4,182,715	)
NET INCREASE IN NET ASSETS FROM OPERATIONS	$	421,494		$	1,145,012		$	1,410,554		$	3,174,669

See Accompanying Notes to Financial Statements.

60

STATEMENTS OF CHANGES IN NET ASSETS

	CMG Core Bond Fund						CMG Short Term Bond Fund
	(Unaudited) Six Months Ended January 31, 2006			Year Ended July 31, 2005			(Unaudited) Six Months Ended January 31, 2006			Year Ended July 31, 2005
Operations:
Net investment income	$	1,513,076		$	2,383,988		$	1,574,154		$	3,601,627
Net realized gain (loss) on investments, foreign   currency transactions and   futures contracts		(859,043	)		176,270			(221,327	)		(176,900	)
Net change in unrealized appreciation (depreciation) on   investments, foreign currency  transactions and futures  contracts		(232,539	)		(216,570	)		(207,815	)		(877,571	)
Net increase from operations		421,494			2,343,688			1,145,012			2,547,156
Distributions declared to shareholders:
From net investment income		(1,631,717	)		(2,560,924	)		(1,719,845	)		(4,015,551	)
From net realized gains		(21,839	)		-			-			-
Total distributions declared to shareholders		(1,653,556	)		(2,560,924	)		(1,719,845	)		(4,015,551	)
Share transactions:
Subscriptions		1,593,316			58,926,891			11,247,614			26,264,611
Distributions reinvested		308,187			329,461			975,876			2,577,783
Redemptions		(31,163,211	)		(12,746,687	)		(38,503,625	)		(50,657,075	)
Net increase (decrease) in share transactions		(29,261,708	)		46,509,665			(26,280,135	)		(21,814,681	)
Net increase (decrease) in net assets		(30,493,770	)		46,292,429			(26,854,968	)		(23,283,076	)
NET ASSETS:
Beginning of period		79,102,464			32,810,035			95,842,044			119,125,120
End of period	$	48,608,694		$	79,102,464		$	68,987,076		$	95,842,044
Overdistributed net investment income	$	(248,250	)	$	(129,609	)	$	(548,262	)	$	(402,571	)
Changes in shares:
Subscriptions		154,080			5,606,416			957,850			2,196,838
Issued for distributions reinvested		29,852			31,434			83,102			216,646
Redemptions		(3,031,432	)		(1,214,434	)		(3,274,537	)		(4,251,192	)
Net increase (decrease)		(2,847,500	)		4,423,416			(2,233,585	)		(1,837,708	)

See Accompanying Notes to Financial Statements.

61

STATEMENTS OF CHANGES IN NET ASSETS

	CMG Ultra Short Term Bond Fund						CMG High Yield Fund
	(Unaudited) Six Months Ended January 31, 2006			Year Ended July 31, 2005			(Unaudited) Six Months Ended January 31, 2006			Year Ended July 31, 2005
Operations:
Net investment income	$	1,489,330		$	1,798,336		$	7,357,384		$	21,282,171
Net realized gain (loss) on investments		(107,090	)		(23,356	)		306,912			8,588,241
Net change in unrealized appreciation (depreciation)   on investments		28,314			(366,837	)		(4,489,627	)		(3,213,339	)
Net increase from operations		1,410,554			1,408,143			3,174,669			26,657,073
Distributions declared to shareholders:
From net investment income		(1,707,445	)		(2,717,420	)		(7,841,505	)		(22,727,424	)
Return of capital		-			(206,594	)		-			-
Total distributions declared to shareholders		(1,707,445	)		(2,924,014	)		(7,841,505	)		(22,727,424	)
Share transactions:
Subscriptions		15,473,913			36,802,190			6,208,509			32,168,726
Distributions reinvested		688,106			1,256,886			5,786,557			17,597,737
Redemptions		(13,491,021	)		(22,203,245	)		(79,873,645	)		(166,610,851	)
Net increase (decrease) in share transactions		2,670,998			15,855,831			(67,878,579	)		(116,844,388	)
Net increase (decrease) in net assets		2,374,107			14,339,960			(72,545,415	)		(112,914,739	)
NET ASSETS:
Beginning of period		81,575,203			67,235,243			269,242,611			382,157,350
End of period	$	83,949,310		$	81,575,203		$	196,697,196		$	269,242,611
Overdistributed net investment income	$	(814,815	)	$	(596,700	)	$	(1,830,586	)	$	(1,346,465	)
Changes in shares:
Subscriptions		1,603,668			3,774,819			781,012			3,950,673
Issued for distributions reinvested		71,290			128,653			728,266			2,166,477
Redemptions		(1,397,755	)		(2,274,518	)		(10,087,609	)		(20,573,327	)
Net increase (decrease)		277,203			1,628,954			(8,578,331	)		(14,456,177	)

See Accompanying Notes to Financial Statements.

62

NOTES TO FINANCIAL STATEMENTS

January 31, 2006 (Unaudited)

Note 1.  Organization

CMG Fund Trust (the "Trust") is an Oregon business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. Information presented in these financial statements pertains to the following diversified funds (individually referred to as a "Fund", collectively referred to as the "Funds"):

  CMG Core Bond Fund
  CMG Short Term Bond Fund
  CMG Ultra Short Term Bond Fund
  CMG High Yield Fund

Investment goals. The CMG Core Bond Fund seeks a high level of current income consistent with capital preservation. The CMG Short Term Bond Fund seeks a high level of current income consistent with a high degree of stability of principal. The CMG Ultra Short Term Bond Fund seeks a high level of current income consistent with the maintenance of liquidity and the preservation of capital. The CMG High Yield Fund seeks a high level of current income. Capital appreciation is a secondary objective when consistent with a high level of current income.

Fund shares. Each Fund may issue an unlimited number of shares of no par value capital stock, which are offered continuously at net asset value.

Note 2.  Significant accounting policies

Use of estimates. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America ("GAAP") requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements.

Security valuation. Debt securities generally are valued by pricing services approved by the Trust's Board of Trustees, based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as broker quotes. Debt securities for which quotations are readily available are valued at an over-the-counter or exchange bid quotation. Certain debt securities, which tend to be more thinly traded and of lesser quality, are priced based on fundamental analysis of the financial condition of the issuer and the estimated value of any collateral. Valuations developed through pricing techniques may vary from the actual amounts realized upon sale of the securities, and the potential variation may be greater for those securities valued using fundamental analysis.

Short-term debt obligations maturing within 60 days are valued at amortized cost, which approximates market value.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

63

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2006 (Unaudited)

Investments for which market quotations are not readily available, or that have quotations which management believes are not appropriate, are valued at fair value as determined in good faith under consistently applied procedures established by and under the general supervision of the Board of Trustees. If a security is valued at a "fair value", such value is likely to be different from the last quoted market price for the security.

Security transactions. Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.

Futures contracts. Each Fund may invest in municipal and U.S. Treasury futures contracts. The Funds will invest in these instruments to hedge against the effects of changes in the value of portfolio securities due to anticipated changes in interest rates and/or market conditions, for duration management, or when the transactions are economically appropriate to the reduction of risk inherent in the management of the Funds and not for trading purposes. The use of futures contracts involves certain risks, which include: (1) imperfect correlation between the price movement of the instruments and the underlying securities, (2) inability to close out positions due to differing trading hours, or the temporary absence of a liquid market, for either the instrument or the underlying securities, or (3) an inaccurate prediction by Columbia Management Advisors, Inc. of t he future direction of interest rates. Any of these risks may involve amounts exceeding the variation margin recorded in the Funds' Statement of Assets and Liabilities at any given time.

Upon entering into a futures contract, each Fund deposits cash or securities with the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Funds equal to the daily change in the contract value and are recorded as variation margin receivable or payable and offset in unrealized gains or losses. Each Fund also identifies portfolio securities as segregated with the custodian in a separate account in an amount equal to the futures contract. The Funds recognize a realized gain or loss when the contract is closed or expires.

Repurchase agreements. Each Fund may engage in repurchase agreement transactions with institutions that the Funds' investment advisor has determined are creditworthy. Each Fund, through its custodian, receives delivery of underlying securities collateralizing a repurchase agreement. Collateral is at least equal, at all times, to the value of the repurchase obligation including interest. A repurchase agreement transaction involves certain risks in the event of default or insolvency of the counterparty. These risks include possible delays or restrictions upon each Fund's ability to dispose of the underlying securities and a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights.

Delayed delivery securities. The Funds may trade securities on other than normal settlement terms, including securities purchased or sold on a "when-issued" basis. This may increase the risk if the other party to the transaction fails to deliver and causes the Funds to subsequently invest at less advantageous prices. The Funds identify cash or liquid portfolio securities as segregated with the custodian in an amount equal to the delayed delivery commitment.

Treasury Inflation Indexed Securities. The Fund may invest in Treasury Inflation-Indexed Securities ("TIPS"). The principal amount of TIPS is adjusted periodically for inflation based on a monthly published index. Interest payments are based on the inflation-adjusted principal at the time the interest is paid.

Interest Only Securities. The Fund may invest in Interest Only Securities ("IO"). Interest Only securities are stripped mortgage backed securities entitled to receive all of the security's interest, but none of its principal. Interest is accrued daily. The daily accrual factor is adjusted each month to reflect the pay down of principal.

Income recognition. Interest income is recorded on the accrual basis and includes accretion of discounts, amortization of premiums and paydown gains and losses, net of any non-reclaimable tax witholdings of foreign securities.

64

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2006 (Unaudited)

Federal income tax status. Each Fund intends to qualify each year as a "regulated investment company" under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its taxable income, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, each Fund intends to distribute in each calendar year substantially all of its net investment income, capital gains and certain other amounts, if any, such that each Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.

Distributions to shareholders. Dividends from net investment income, if any, are generally declared daily and paid monthly. Net realized capital gains, if any, are distributed at least annually.

Note 3.  Federal tax information

The tax character of distributions paid during the years ended July 31, 2005 and July 31, 2004 was as follows:

	July 31, 2005
	Ordinary Income*		Long-term Capital Gains		Tax Return of Capital
CMG Core Bond Fund	$	2,560,924	$	-	$	-
CMG Short Term Bond Fund		4,015,551		-		-
CMG Ultra Short Term Bond Fund		2,717,420		-		206,594
CMG High Yield Fund		22,727,424		-		-
	July 31, 2004
	Ordinary Income*		Long-term Capital Gains		Tax Return of Capital
CMG Core Bond Fund	$	1,801,868	$	241,107	$	-
CMG Short Term Bond Fund		3,965,886		-		-
CMG Ultra Short Term Bond Fund		387,092		-		-
CMG High Yield Fund		30,204,485		-		-

*For tax purposes short-term capital gains distributions, if any, are considered ordinary income distributions.

Unrealized appreciation and depreciation, at January 31, 2006, based on cost of investments for federal income tax purposes, was:

	Unrealized Appreciation		Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
CMG Core Bond Fund	$	200,091	$	(757,319	)	$	(557,228	)
CMG Short Term Bond Fund		111,356		(1,175,606	)		(1,064,250	)
CMG Ultra Short Term Bond Fund		35,954		(806,866	)		(770,912	)
CMG High Yield Fund		1,857,569		(3,745,828	)		(1,888,259	)

65

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2006 (Unaudited)

The following capital loss carryforwards, determined as of July 31, 2005, may be available to reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code:

	2008		2009		2010		2012		2013		Total
CMG Short Term Bond Fund	$	537,548	$	-	$	2,365,257	$	19,156	$	25,391	$	2,947,352
CMG Ultra Short Term Bond Fund		-		-		-		29,640		47,961		77,601
CMG High Yield Fund				-		20,199,377		25,194,365		-		45,393,742

Capital loss carryforwards of $6,361,581, for CMG High Yield Fund, were utilized during the year ended July 31, 2005. Any capital loss carryforwards acquired as part of a merger that are permanently lost due to provisions under Internal Revenue Code are included as being expired. Expired capital loss carryforwards are recorded as a reduction of paid-in capital.

Utilization of these losses could be subject to limitations imposed by the Internal Revenue Code.

Under current tax rules, certain capital losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. As of July 31, 2005, post-October capital losses of $532,109 and 467,588 attributed to security transactions were deferred to August 1, 2005 for the CMG Short Term Bond Fund and CMG Ultra Short Term Bond Fund, respectively.

Note 4.  Fees and compensation paid to affiliates

Investment advisory fee. Columbia Management Advisors, LLC ("Columbia"), an indirect, wholly-owned subsidiary of Bank of America Corporation ("BOA"), is the investment advisor to the Funds. Prior to September 30, 2005, Columbia Management Advisors, Inc. was investment advisor to the Funds under the same fee structure. On September 30, 2005, Columbia Management Advisors, Inc. merged into Banc of America Capital Management, LLC. At that time, the investment advisor was then renamed Columbia Management Advisors, LLC.

Each Fund's investment advisory fee is a unified fee. Columbia, out of the unified fee it receives from the Funds, pays all accounting fees, legal fees, pricing & bookkeeping fees, transfer agent fees, custody fees, expenses of the Chief Compliance Officer, fees for Sarbanes-Oxley compliance, the commitment fee for the line of credit and miscellaneous expenses of the Funds. The unified fee does not include brokerage fees, taxes, Trustees' fees, Trustee legal counsel fees, audit fees, interest expense associated with any borrowings by the Funds or extraordinary expenses, if any. The unified fees are paid monthly to Columbia based on each Fund's average daily net assets at the following annual rates:

  CMG Core Bond Fund  0.25%
  CMG Short Term Bond Fund  0.25%
  CMG Ultra Short Term Bond Fund  0.25%
  CMG High Yield Fund  0.40%

Pricing & bookkeeping fees. Columbia is responsible for providing pricing and bookkeeping services to each Fund under a pricing, bookkeeping and fund administration agreement. Under a separate agreement (the "Outsourcing Agreement"), Columbia has delegated certain of those functions to State Street Bank and Trust Company ("State Street"). As a result, Columbia pays fees to State Street under the Outsourcing Agreement. The pricing and bookkeeping fees for the Funds are paid by Columbia.

Transfer agent fee. Columbia Management Services, Inc. (formerly Columbia Funds Services, Inc.) (the "Transfer Agent"), an affiliate of Columbia and an indirect, wholly-owned subsidiary of BOA, provides shareholder services to the Fund and has contracted with Boston Financial Data Services ("BFDS") to serve as sub-transfer agent. The transfer

66

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2006 (Unaudited)

agent fees for the Funds are paid by Columbia. The Transfer Agent may also retain, as additional compensation for its services, fees for wire, telephone and redemption orders, IRA trustee agent fees and account transcript fees due the Transfer Agent from shareholders of the Funds and credits (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Funds.

Fee waivers. Columbia has contractually agreed to reimburse the Funds through March 1, 2009 for certain expenses so that the expenses incurred by the Funds, including the investment advisory fees, will not exceed the following annual rates based on each Fund's average daily net assets:

CMG Core Bond Fund	0.25	%
CMG Short Term Bond Fund	0.25	%
CMG Ultra Short Term Bond Fund	0.25	%
CMG High Yield Fund	0.40	%

Fees paid to officers and trustees. All officers of the Funds, with the exception of the Fund's Chief Compliance Officer, are employees of Columbia, or its affiliates and receive no compensation from the Funds. The Board of Trustees has appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. The expenses of the Chief Compliance Officer are paid by Columbia.

The Funds' Trustees may participate in a deferred compensation plan which may be terminated at any time. Obligations of the plan will be paid solely out of the Funds' assets.

Other. Columbia provides certain services to the Funds related to Sarbanes-Oxley compliance. The fees for such services are paid by Columbia.

Note 5.  Portfolio information

For the six months ended January 31, 2006, the cost of purchases and proceeds from sales of securities, excluding short-term obligations, were as follows:

	U.S. Government Securities				Other Investment Securities
	Purchases		Sales		Purchases		Sales
CMG Core Bond Fund	$	42,952,009	$	59,256,377	$	6,899,114	$	15,302,117
CMG Short Term Bond Fund		33,389,841		36,189,945		13,446,013		37,069,606
CMG Ultra Short Term Bond Fund		12,313,019		9,092,124		12,816,961		13,104,865
CMG High Yield Fund		-		-		38,464,306		90,672,865

Note 6. Line of credit

The Funds and other affiliated funds participate in a $350,000,000 committed unsecured revolving line of credit provided by State Street Bank and Trust Company. Borrowings are used for temporary or emergency purposes to facilitate portfolio liquidity. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the Federal Funds rate plus 0.50%. In addition, a commitment fee of 0.10% per annum is accrued and apportioned among the participating funds based on their pro-rata portion of the unutilized line of credit.

For the six months ended January 31, 2006, the Funds did not borrow under this arrangement.

67

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2006 (Unaudited)

Note 7. Shares of Beneficial Interest

As of January 31, 2006, the Funds had shareholders whose shares were beneficially owned by participant accounts over which Bank of America and/or its affiliates had either sole or joint investment discretion. Subscription and redemption activity of these accounts may have a significant effect on the operations of the Funds. The numbers of accounts and the percentages of shares of beneficial interest outstanding held therein are as follows:

	Number of Shareholders		% of Shares Outstanding Held
CMG Core Bond Fund		1		99.9	%
CMG Short Term Bond Fund		1		85.9	%
CMG Ultra Short Term Bond Fund		1		99.8	%
CMG High Yield Fund		1		36.3	%

As of January 31, 2006, two of the Funds had shareholders that held greater than 5% of the shares outstanding and Bank of America and/or its affiliates did not have investment discretion. Subscription and redemption activity of these shareholders may have a material effect on the Funds. The numbers of accounts and the percentages of shares of beneficial interest outstanding held therein are as follows:

	Number of Shareholders		% of Shares Outstanding Held
CMG Short Term Bond Fund		1		6.4	%
CMG High Yield Fund		4		43.1	%

Note 8. Disclosure of significant risks and contingencies

High-yield securities. Investing in high-yield securities may involve greater credit risk and considerations not typically associated with investing in U.S. government bonds and other higher quality fixed income securities. These securities are non-investment grade securities, often referred to as "junk bonds." Economic downturns may disrupt the high yield market and impair the ability of issuers to repay principal and interest. Also, an increase in interest rates would likely have an adverse impact on the value of such obligations. Moreover, high-yield securities may be less liquid to the extent that there is no established secondary market.

Industry focus. The Funds may focus their investments in certain industries, subjecting them to greater risk than a fund that is more diversified.

Legal proceedings. On February 9, 2005, Columbia Management Advisors, Inc. (which has since merged into Banc of America Capital Management, LLC (now named Columbia Management Advisors, LLC)) ("Columbia") and Columbia Funds Distributor, Inc. (which has been renamed Columbia Management Distributors, Inc.) (the "Distributor") (collectively, the "Columbia Group") entered into an Assurance of Discontinuance with the New York Attorney General ("NYAG") (the "NYAG Settlement") and consented to the entry of a cease-and-desist order by the Securities and Exchange Commission ("SEC") (the "SEC Order"). The SEC Order and the NYAG Settlement are referred to collectively as the "Settlements". The Settlements contain substantially the same terms and conditions as outlined in the agreements in principle which Columbia Group entered into with the SEC and NYAG in March 2004.

68

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2006 (Unaudited)

Under the terms of the SEC Order, the Columbia Group has agreed among other things, to: pay $70 million in disgorgement and $70 million in civil money penalties; cease and desist from violations of the antifraud provisions and certain other provisions of the federal securities laws; maintain certain compliance and ethics oversight structures; retain an independent consultant to review the Columbia Group's applicable supervisory, compliance, control and other policies and procedures; and retain an independent distribution consultant (see below). The Columbia Funds have also voluntarily undertaken to implement certain governance measures designed to maintain the independence of their boards of trustees. The NYAG Settlement also, among other things, requires Columbia and its affiliates to reduce certain Columbia Funds (including the former Nations Funds) and other mutual funds management fees collectively by $32 million per year fo r five years, for a projected total of $160 million in management fee reductions.

Pursuant to the procedures set forth in the SEC order, the $140 million in settlement amounts described above will be distributed in accordance with a distribution plan developed by an independent distribution consultant and agreed to by the staff of the SEC. The independent distribution consultant has been in consultation with the Staff, and has submitted a draft proposed plan of distribution, but has not yet submitted a final proposed plan of distribution.

As a result of these matters or any adverse publicity or other developments resulting from them, there may be increased redemptions or reduced sales of fund shares, which could increase transaction costs or operating expenses, or have other adverse consequences for the funds.

A copy of the SEC Order is available on the SEC website at http://www.sec.gov. A copy of the NYAG Settlement is available as part of the Bank of America Corporation Form 8-K filing on February 10, 2005.

In connection with the events described in detail above, various parties have filed suit against certain funds, the Trustees of the Columbia Funds, FleetBoston Financial Corporation and its affiliated entities and/or Bank of America and its affiliated entities.

On February 20, 2004, the Judicial Panel on Multidistrict Litigation transferred these cases and cases against several other mutual fund companies based on similar allegations to the United States District Court in Maryland for consolidated or coordinated pretrial proceedings (the "MDL"). Subsequently, additional related cases were transferred to the MDL. On September 29, 2004, the plaintiffs in the MDL filed amended and consolidated complaints. One of these amended complaints is a putative class action that includes claims under the federal securities laws and state common law, and that names Columbia, the Distributor, the Trustees of the Columbia Funds, Bank of America Corporation and others as defendants. Another of the amended complaints is a derivative action purportedly on behalf of the Columbia Funds that asserts claims under federal securities laws and state common law.

On February 25, 2005, Columbia and other defendants filed motions to dismiss the claims in the pending cases. On March 1, 2006, for reasons stated in the court's memoranda dated November 3, 2005, the U.S. District Court for the District of Maryland granted in part and denied in part the defendants' motions to dismiss. The court dismissed all of the class action claims pending against the Columbia Funds. As to Columbia, the Distributor and the Trustees of the Columbia Funds, the claims under the Securities Act of 1933, the claims under Sections 34(b) and 36(a) of the Investment Company Act of 1940 (ICA) and the state law claims were dismissed. The claims under Sections 10(b) and 20(a) of the Securities Exchange Act of 1934 and claims under Section 36(b) of the ICA along with related claims under Section 48(a) of the ICA were not dismissed.

69

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2006 (Unaudited)

On March 21, 2005 purported class action plaintiffs filed suit in Massachusetts state court alleging that the conduct, including market timing, entitles Class B shareholders in certain Columbia funds to an exemption from contingent deferred sales charges upon early redemption ("the CDSC Lawsuit"). The CDSC Lawsuit has been removed to federal court in Massachusetts and the federal Judicial Panel has transferred the CDSC Lawsuit to the MDL.

The MDL is ongoing. Accordingly, an estimate of the financial impact of this litigation on any fund, if any, cannot currently be made.

In 2004, certain Columbia funds, the Trustees of the Columbia Funds, advisers and affiliated entities were named as defendants in certain purported shareholder class and derivative actions making claims, including claims under the Investment Company and the Investment Advisers Acts of 1940 and state law. The suits allege, inter alia, that the fees and expenses paid by the funds are excessive and that the advisers and their affiliates inappropriately used fund assets to distribute the funds and for other improper purpose. On March 2, 2005, the actions were consolidated in the Massachusetts federal court as In re Columbia Entities Litigation. The plaintiffs filed a consolidated amended complaint on June 9, 2005. On November 30, 2005, the judge dismissed all claims by plaintiffs and ordered that the case be closed. The plaintiffs filed a notice of appeal on December 30, 2005 and this appeal is pending.

For the six months ended January 31, 2006, Columbia has assumed legal, consulting services and Trustees' fees incurred by the Fund in connection with these matters as follows:

CMG Core Bond Fund	$	519
CMG Short Term Bond Fund		591
CMG Ultra Short Term Bond Fund		642
CMG High Yield Fund		1,800

Note 9. Subsequent events

On March 27, 2006, each Fund will be re-domiciled into a new series of Columbia Funds Institutional Trust. Columbia Funds Institutional Trust is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.

70

Board Consideration and Approval of Investment Advisory Agreements

The Advisory Fees and Expenses Committee of the Board of Trustees meets one or more times annually, usually in late summer, to review the advisory agreements (collectively, the "Agreements") of the funds for which the Trustees serve as trustees or directors (each a "fund") and determine whether to recommend that the full Board approve the continuation of the Agreements for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements. In addition, the Board, including the Independent Trustees, considers matters bearing on the Agreements at most of its other meetings throughout the year and meets regularly with the heads of each investment area within Columbia. The Trustees also meet with selected fund portfolio managers at various times throughout the year.

The Trustees receive and review all materials that they, their legal counsel or Columbia, the funds' investment adviser, believe to be reasonably necessary for the Trustees to evaluate the Agreements and determine whether to approve the continuation of the Agreements. Those materials generally include, among other items, (i) information on the investment performance of each fund relative to the performance of peer groups of mutual funds and the fund's performance benchmarks, (ii) information on each fund's advisory fees and other expenses, including information comparing the fund's expenses to those of peer groups of mutual funds and information about any applicable expense caps and fee "breakpoints," (iii) sales and redemption data, (iv) information about the profitability of the Agreements to Columbia, and potential "fall-out" or ancillary benefits that Columbia and its affiliates may receive as a result of their relationships with the funds and (v) information obtained through Columbia's response to a questionnaire prepared at the request of the Trustees by counsel to the funds and independent legal counsel to the Independent Trustees. The Trustees also consider other information such as (vi) Columbia's financial results and financial condition, (vii) each fund's investment objective and strategies and the size, education and experience of Columbia's investment staffs and their use of technology, external research and trading cost measurement tools, (viii) the allocation of the funds' brokerage, if any, including allocations to brokers affiliated with Columbia and the use of "soft" commission dollars to pay fund expenses and to pay for research products and services, (ix) Columbia's resources devoted to, and its record of compliance with, the funds' investment policies and restrictions, policies on personal securities transactions and other compliance policies, (x) Columbia's response to various legal and regulatory proceedings since 2003 and (xi) the economic outlook generally and for the mutual fund industry in particular. In addition, the Trustees confer with their independent fee consultant and review materials relating to the Agreements that the independent fee consultant provides. Throughout the process, the Trustees have the opportunity to ask questions of and request additional materials from Columbia and to consult independent legal counsel to the Independent Trustees.

The Board of Trustees most recently approved the continuation of the Agreements at its October, 2005 meeting, following meetings of the Advisory Fees and Expenses Committee held in August, September, and October, 2005. In considering whether to approve the continuation of the Agreements, the Trustees, including the Independent Trustees, did not identify any single factor as determinative, and each weighed various factors as he or she deemed appropriate. The Trustees considered the following matters in connection with their approval of the continuation of the Agreements:

The nature, extent and quality of the services provided to the funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by Columbia and its affiliates to the funds and the resources dedicated to the funds by Columbia and its affiliates. Among other things, the Trustees considered (i) Columbia's ability, including its resources, compensation programs for personnel involved in fund management, reputation and other attributes, to attract and retain highly qualified research, advisory and supervisory investment professionals; (ii) the portfolio management services provided by those investment professionals; and (iii) the trade execution services provided on behalf of the funds. For each fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family o f funds offering exposure to a variety of asset classes and investment disciplines and providing for a variety of fund and shareholder services. After reviewing those and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the continuation of the Agreements.

Investment performance of the funds and Columbia. The Trustees reviewed information about the performance of each fund over various time periods, including information prepared by an independent third party that compared the performance of each fund to the performance of peer groups of mutual funds and performance benchmarks. The Trustees also reviewed a description of the third party's methodology for identifying each fund's peer group for

71

Board Consideration and Approval of Investment Advisory Agreements (continued)

purposes of performance and expense comparisons. The Trustees also considered additional information that the Advisory Fees and Expenses Committee requested from Columbia relating to funds that presented relatively weaker performance and/or relatively higher expenses.

In the case of each fund that had performance that lagged that of a relevant peer group for certain (although not necessarily all) periods, the Trustees concluded that other factors relevant to performance were sufficient, in light of other considerations, to warrant continuation of the fund's Agreements. Those factors varied from fund to fund, but included one or more of the following: (i) that the fund's performance, although lagging in certain recent periods, was stronger over the longer term; (ii) that the underperformance was attributable, to a significant extent, to investment decisions that were reasonable and consistent with the fund's investment strategy and policies and that the fund was performing as expected, given market conditions and the fund's investment strategy; (iii) that the fund's performance was competitive when compared to other relevant performance benchmarks or peer groups; (iv) that Columbia had taken o r was taking steps designed to help improve the fund's investment performance, including, but not limited to, replacing portfolio managers or modifying investment strategies; (v) that the fund's advisory fee had recently been, or was proposed to be, reduced, with the goal of helping the fund's net return to shareholders become more competitive; and (vi) that other fund expenses, such as transfer agency or fund accounting fees, have recently been reduced, with the goal of helping the fund's net return to shareholders become more competitive.

The Trustees also considered Columbia's performance and reputation generally, the funds' performance as a fund family generally, and Columbia's historical responsiveness to Trustee concerns about performance and Columbia's willingness to take steps intended to improve performance.

After reviewing those and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of each fund and Columbia was sufficient, in light of other considerations, to warrant the continuation of the Agreements.

The costs of the services provided and profits realized by Columbia and its affiliates from their relationships with the funds. The Trustees considered the fees charged to the funds for advisory services as well as the total expense levels of the funds. That information included comparisons (provided both by management and by an independent third party) of the funds' advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by Columbia to comparable accounts. In considering the fees charged to comparable accounts, the Trustees took into account, among other things, management's representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual funds and distribute mutual fund share s. In evaluating each fund's advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of the fund. The Trustees considered reductions in advisory fee rates, implementation of advisory fee breakpoints, institution of advisory fee waivers, and changes to expense caps, which benefited a number of the funds. Furthermore, the Trustees considered the projected impact on expenses resulting from the overall cost reductions that management anticipated would result from the shift to a common group of service providers for transfer agency, fund accounting and custody services for mutual funds advised by Bank of America affiliates. The Trustees also noted management's stated justification for the fees charged to the funds, which included information about the performance of the funds, the services provided to the funds and management's view as to why it was appropriate that some funds bear advisory fees or total expenses greater than their peer group medians.

The Trustees also considered the compensation directly or indirectly received by Columbia and its affiliates from their relationships with the funds. The Trustees reviewed information provided by management as to the profitability to Columbia and its affiliates of their relationships with the funds, and information about the allocation of expenses used to calculate profitability. When reviewing profitability, the Trustees also considered court cases in which adviser profitability was an issue in whole or in part, the performance of the relevant funds, the expense levels of the funds, and whether Columbia had implemented breakpoints and/or expense caps with respect to the funds.

After reviewing those and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the funds were fair and reasonable, and that the costs of the advisory services generally, and the related profitability to Columbia and its affiliates of their relationships with the funds, supported the continuation of the Agreements.

72

Board Consideration and Approval of Investment Advisory Agreements (continued)

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by Columbia to each fund and whether those economies were shared with the fund through breakpoints in the investment advisory fees or other means, such as expense waivers. The Trustees noted that many of the funds benefited from breakpoints, expense caps, or both. In considering those issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to Columbia and its affiliates of their relationships with the funds, as discussed above.

After reviewing those and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the funds supported the continuation of the Agreements.

Other Factors. The Trustees also considered other factors, which included but were not limited to the following:

  •  the extent to which each fund had operated in accordance with its investment objective and its record of compliance with its investment restrictions, and the compliance programs of the funds and Columbia. They also considered the compliance-related resources that Columbia and its affiliates were providing to the funds.

  •  the nature, quality, cost and extent of administrative and shareholder services performed by Columbia and its affiliates, both under the Agreements and under separate agreements for the provision of transfer agency and administrative services.

  •  so-called "fall-out benefits" to Columbia, such as the engagement of its affiliates to provide distribution, brokerage and transfer agency services to the funds, and the benefits of research made available to Columbia by reason of brokerage commissions generated by the funds' securities transactions, as well as possible conflicts of interest associated with those fall-out and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor those possible conflicts of interest.

  •  the draft report provided by the independent fee consultant, which included information about and analysis of the funds' fees, expenses and performance.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel and the independent fee consultant, the Trustees, including the Independent Trustees, approved the continuance of each of the Agreements through October 31, 2006.

73

Summary of Management Fee Evaluation by Independent Fee Consultant

Prepared Pursuant to the February 9, 2005 Assurance of Discontinuance between the Office of
Attorney General of New York State and Columbia Management Advisors, Inc. and
Columbia Funds Distributor, Inc. October 11, 2005

I. Overview

Columbia Management Advisors, Inc. ("CMA") and Columbia Funds Distributors, Inc. ("CFD") (CFD together with CMA referred to herein as Columbia Management Group or "CMG¹"), entered into an agreement with the New York Attorney General's Office in the form of an Assurance of Discontinuance (the "AOD"). The AOD stipulated that CMA would be permitted to manage or advise the Columbia Funds only if the Independent Members (as such term is defined in the AOD) of the Columbia Funds' Board of Trustees/Directors (collectively the "Trustees") appointed a Senior Officer or an Independent Fee Consultant ("IFC") who, among other things, is to manage the process by which management fees are negotiated. On May 15, 2005, the Independent Members of the Board appointed me as the IFC for the Columbia Funds. This report is the annual written evaluation of the Columbia Funds for 2005 that I have prepared in my capacity as IFC, as required b y the AOD.

A. Duties of the Independent Fee Consultant

As part of the AOD, the Independent Members of the Columbia Funds' Board of Trustees/Directors agreed to retain an independent fee consultant who was to participate in the management fee negotiation process. The IFC is charged with "... duties and responsibilities [that] include managing the process by which proposed management fees (including, but not limited to, advisory fees) to be charged the Columbia Fund[s] are negotiated so that they are negotiated in a manner which is at arms length and reasonable and consistent with this Assurance of Discontinuance." However, the IFC does not replace the Trustees in their role of negotiating management and other fees with CMG and its affiliates. In particular, the AOD states that "Columbia Advisors may manage or advise a Columbia Fund only if the reasonableness of the proposed management fees is determined by the Board of Trustees of the Columbia Fund using ... an annual independent wri tten evaluation prepared by or under the direction of the ... Independent Fee Consultant...." This report, pursuant to the AOD, constitutes the "annual independent written evaluation prepared by or under the direction of the... Independent Fee Consultant."

The AOD requires the IFC report to consider at least the following:

  a)  Management fees (including any components thereof) charged by other mutual fund companies for like services;

  b)  Management fees (including any components thereof) charged to institutional and other clients of CMA for like services;

  c)  Costs to CMA and its affiliates of supplying services pursuant to the management fee agreements, excluding any intra-corporate profit;

  d)  Profit margins of CMA and its affiliates from supplying such services;

  e)  Possible economies of scale as the CMA fund grows larger; and

  f)  The nature and quality of CMA services, including Columbia Funds' performance.

This report is designed to assist the Board in evaluating the 2005 contract renewal for Columbia Funds. In addition, this report points out areas where the Board may deem additional information and analysis to be appropriate over time.

¹  Prior to the date of this report, CMA merged into an affiliated entity, Banc of America Capital Management, LLC ("BACAP"), and BACAP then changed its name to Columbia Management Advisors, LLC which carries on the business of CMA, and CFD changed its name to Columbia Management Distributors, Inc.

74

Summary of Management Fee Evaluation by Independent Fee Consultant (continued)

B. Sources of information used in my evaluation

I have requested data from CMG and various third party industry data sources or independent research companies that work in the mutual fund arena. The following list generally describes the types of information I requested.

  1.  I collected data on performance, management fees, and expense ratios of both Columbia Funds and comparable non-Columbia Funds. The sources of this information were CMG, Lipper Inc. ("Lipper") and Morningstar Inc. ("Morningstar"). While Lipper and Morningstar each selected a different group of peer funds it deemed appropriate against which to measure the relative performance and fees of Columbia Funds, I conducted an independent review of the appropriateness of each peer group.

  2.  I reviewed data on CMG's expense and profitability that I obtained from CMA directly.

  3.  I have reviewed data on the organizational structure of CMG in general.

  4.  I collected information on profitability from Strategic Insight Mutual Fund Research and Consulting, LLC ("Strategic Insight"). I used this third-party independent research as an additional method to gauge the accuracy of the data collected in (2) above.

  5.  I conducted interviews with various CMG staff, including members of the senior management team, legal staff, heads of affiliates, portfolio managers, and financial personnel.

  6.  I reviewed current 2005 Section 15(c) material provided to the Board and material presented to the Board in the 2004 fee and performance evaluation.

  7.  I have reviewed various academic research papers, industry publications, and other available literature dealing with mutual fund operations, profitability, and other issues. In addition, I have reviewed SEC releases and studies of mutual fund expenses.

  8.  I have reviewed documents pertaining to recent mutual fund litigation in general and publicly available information about litigation where CMG has been involved.

In addition, I have engaged NERA Economic Consulting ("NERA") and independent consultant Dr. John Rea to assist me in data management and analysis. Both NERA and Dr. Rea have extensive experience in the mutual fund industry through consulting, government positions, or industry trade groups that provide unique insights and special knowledge pertaining to my independent analysis of fees, performance, and profitability. I have also retained Shearman & Sterling LLP as outside counsel to advise me in connection with my review.

C. Qualifications and independence

I am the Walter H. Carpenter Chair and Professor of Finance at Babson College. Before this I was the Chief Economist of the U.S. Securities and Exchange Commission. I have no material relationship with Bank of America or CMG aside from acting as IFC, and am aware of no relationship with any of their affiliates. [Resume omitted]

II. Evaluation of the general process used to negotiate the advisory contract

A. General considerations

My analysis considered all factors and information I reviewed on the finances and operations of Columbia Funds. I gave each factor an appropriate weight in my overall findings, and no single factor was in itself the sole criterion for a finding or conclusion. My objective was to assess all of the information provided and conduct a robust evaluation of Columbia Funds' operations, fees, and performance.

My analysis and thought processes will and, I believe, should, differ in certain ways from the processes used by Trustees in their evaluation of the management agreements. In particular, because of my technical and quantitative background, I may use techniques and data that Trustees have not previously felt would be useful. I view this supplemental analysis as appropriate because my role is to assist Trustees in their decisions, and to the extent that I bring new ideas or analysis to the evaluation, I believe this improves the process by which management fees for the Columbia Funds may be negotiated in accordance with the AOD.

75

Summary of Management Fee Evaluation by Independent Fee Consultant (continued)

Finally, as part of my role as IFC, I have, from time to time, sent to Trustees additional papers and reports produced by third parties that I felt had bearing on the fee negotiation process. I viewed these materials as educational in nature and felt they would aid Trustees in placing their work in context.

B. CMG management interviews

As a starting point of my analysis, I have met with members of CMG staff to gain an understanding of the organizational structure and personnel involved in running the Columbia fund family.

I have had general discussions and have received information about the management structure of CMG. My conversations with management have been informative. In addition, I have participated in Board meetings where Trustees and management have discussed issues relating to management agreements and performance of Columbia Funds. When I felt it was appropriate, I added my opinions on particular matters, such as fund performance or fee levels, to the discussion.

C. Trustees' Fee and Performance Evaluation Process

After making initial requests for information, members of the Trustees of the Columbia Funds met in advance of the October Section 15(c) contract approval meeting to review certain fee, performance and other data for the Columbia Funds and to ask questions and make requests of management. Trustees have developed a process to evaluate the fee and expense levels and performance of Columbia Funds. This process is used to highlight those funds that have been performing poorly, may have had higher management fees or expense ratios, or both.

The process involves providing instructions to Lipper to prepare specific data analyses tailored to the Trustees review framework. These instructions include highlighting funds that hit one or more fee performance "screens." The six screens the Trustees use are as follows:

  a.  5th Lipper quintile in actual management fee;

  b.  5th Lipper quintile in total expense ratio;

  c.  Three or more 5th Lipper quintile rankings in the 1-, 3-, 5- or 10-year performance rankings;

  d.  Sum of the Lipper Quintile Rank (1-year performance) and the Lipper Quintile Rank (actual management fee) totals a number equal to or higher than 8;

  e.  Sum of the Lipper Quintile Rank (1-year performance) and the Lipper Quintile Rank (total expense ratio) totals a number equal to or higher than 8; and

  f.  Sum of the Lipper Quintile Rank (3-year performance) and the Lipper Quintile Rank (total expense ratio) totals a number equal to or higher than 8.

If a fund hits one or more of these screens, it is highlighted for additional review by the Trustees. This method is only used as an aid for Trustees to highlight funds and is not the sole test of whether the Board will determine to take particular actions concerning fees or performance. Funds that have not been flagged by this screen also may be singled out for fee and performance reasons, and the Trustees may determine not to take action with respect to the fees or performance of funds that have been flagged by the screen. These screens contribute to the basis for discussions on Trustees' views on the Columbia Funds.

III. Findings

My findings based on my work as IFC are as follows:

  1.  The Trustees have the relevant information necessary to form an opinion on the reasonableness of fees and evaluate the performance of the Columbia Funds. The process the Trustees used in preparing to reach their determination has been open and informative. In my view, the 2005 process by which the management fees of the Columbia Funds have been negotiated thus far has been, to the extent practicable, at arm's length and reasonable and consistent with the AOD.

76

Summary of Management Fee Evaluation by Independent Fee Consultant (continued)

  2.  Columbia Funds demonstrated a range of performance relative to their peers. I find that across the fund complex, 54.26 percent of Columbia Funds have performance higher than the median of their respective Lipper performance universe, and 42.55 percent of Columbia Funds have performance higher than the median of their respective Lipper performance group. In addition, Lipper performance universe and group comparison showed that Columbia Funds were distributed roughly evenly across these quintiles. The Trustees have worked with management to address issues of funds that have demonstrated consistent or significant underperformance.

  3.  Columbia Funds demonstrate a range of management fees and expense ratios relative to their peers. I find that across the fund complex, 58.51 percent of Columbia Funds have expenses below the median of their Lipper expense universe, and 53.19 percent of Columbia Funds have expenses below the median of their Lipper expense group. In addition, Lipper expense universe and group comparisons show that Columbia Funds are distributed roughly evenly across these quintiles. The Trustees have taken steps to limit shareholder expenses for certain funds having management fees significantly above their peers, often though the use of fee waivers to which CMG has agreed. Consolidation of various funds and fund families managed by CMG has resulted in substantial savings in non-advisory expenses.

  4.  Profitability to CMG of the individual funds ranges widely, but the overall profitability to CMG of its relationship with the Columbia Funds appears to fall within a reasonable range. The method of cost allocation to funds is addressed in the material provided by CMG to the Trustees, but additional information may be necessary to make a judgment on fund level profitability. My review of profitability and cost allocation is ongoing, and I plan to continue to develop my views with regard to fund level profitability.

  5.  Columbia Funds have instituted fee schedules with breakpoints designed to enable investors to benefit from fund economies of scale, although 71% of the funds have not yet reached their first breakpoint. My analysis of the appropriateness of the breakpoint levels, which I expect will take into account the cost and profitability of the individual funds, is ongoing.

My work is ongoing and my views may develop over time in light of new information and analysis.

Respectfully submitted,
Erik R. Sirri

77

CMG FUND TRUST

1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201

- INVESTMENT ADVISOR -

COLUMBIA MANAGEMENT ADVISORS, LLC
100 FEDERAL STREET
BOSTON, MASSACHUSETTS 02110-2624

- LEGAL COUNSEL -

ROPES & GRAY LLP
ONE INTERNATIONAL PLACE
BOSTON, MASSACHUSETTS 02110-2624

- TRANSFER AGENT -

COLUMBIA MANAGEMENT SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081

SHC-44/106205-0106 (03/06) 06/10286

A description of the funds' proxy voting policies and procedures is available (i) on the funds' website, www.columbiamanagement.com; (ii) on the Securities and Exchange Commission's website at www.sec.gov, and (iii) without charge, upon request, by calling 800-368-0346. Information regarding how the funds voted proxies relating to portfolio securities during the 12-month period ended June 30 is available from the SEC's website. Information regarding how the funds voted proxies relating to portfolio securities is also available from the funds' website.

Each fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Each fund's Form N-Q is available on the SEC's website at www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

The CMG funds are offered by prospectus through Columbia Management Distributors, Inc. Please consider the investment objectives, risks, charges and expenses of a mutual fund carefully before investing. Contact your Columbia Management representative or visit www.columbiamanagement.com for a prospectus, which contains this and other important information about the fund. Read it carefully before you invest.

Fund distributed by Columbia Management Distributors, Inc., One Financial Center, Boston, MA 02111-2621

CMG ENHANCED S&P 500^® INDEX FUND
CMG LARGE CAP GROWTH FUND
CMG LARGE CAP VALUE FUND
CMG MID CAP GROWTH FUND
CMG MID CAP VALUE FUND
CMG SMALL CAP GROWTH FUND
CMG SMALL CAP VALUE FUND
CMG SMALL/MID CAP FUND
CMG INTERNATIONAL STOCK FUND
PORTFOLIOS OF CMG FUND TRUST

Semiannual Report
January 31, 2006

Advised by Columbia Management Advisors, LLC.

Not FDIC
Insured

May Lose Value

No Bank Guarantee

Columbia Management is the primary investment management division of Bank of America Corporation. Columbia Management entities furnish investment management services and advise institutional and mutual fund portfolios. CMG Funds are distributed by Columbia Management Distributors, Inc., member of NASD, SIPC, part of Columbia Management and an affiliate of Bank of America Corporation.

Columbia Management Advisors, Inc. combined with Banc of America Capital Management, LLC on September 30, 2005. At that time, the newly combined advisor underwent a name change to Columbia Management Advisors, LLC and continues to operate as a SEC-registered investment advisor, wholly owned subsidiary of Bank of America, N.A. and is part of Columbia Management.

Table of Contents

Management Discussion of Fund Performance
CMG Enhanced S&P 500® Index Fund	1
CMG Large Cap Growth Fund	6
CMG Large Cap Value Fund	12
CMG Mid Cap Growth Fund	18
CMG Mid Cap Value Fund	23
CMG Small Cap Growth Fund	29
CMG Small Cap Value Fund	34
CMG Small/Mid Cap Fund	40
CMG International Stock Fund	45
Financial Statements
Financial Highlights	51
Schedules of Investments	60
Statements of Assets and Liabilities	124
Statements of Operations	126
Statements of Changes in Net Assets	128
Notes to Financial Statements	133
Board Consideration and Approval of Investment Advisory Agreements	142
Summary of Management Fee Evaluation by Independent Fee Consultant	145

The views expressed in the portfolio commentaries reflect the current views of the Portfolio Managers. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to predict so actual outcomes and results may differ significantly from the views expressed. These views are subject to change at any time based upon economic, market or other conditions and the Portfolio Managers disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a CMG Fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any particular CMG Fund. References to specific company securities should not be constructed as a recommendation or investment advice.

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

CMG ENHANCED S&P 500^® INDEX FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE

CMG Enhanced S&P 500^® Index Fund returned 6.44% for the six-month period ended January 31, 2006. The fund's return was higher than that of the S&P 500 Index,¹ which was 4.68% for the same period. The fund also outperformed the 5.09% average return for the Lipper Large Cap Core Funds Category.² Stock selection accounted for the fund's strong performance during the period.

The US stock market delivered solid, positive returns despite rising energy prices, higher borrowing costs and the after effects of two hurricanes, which devastated the Gulf Coast states. The pace of economic growth slowed, but positive factors outweighed negative factors as the job market remained resilient and corporate profits experienced double-digit growth.

With the exception of telecommunications, which was flat for the period, all sectors made positive contributions to the fund's return. The fund's investments in the consumer discretionary, materials and health care sectors were particularly strong. Darden Restaurants, Inc. and McDonald's Corp. gained significant ground as did Harley-Davidson, Inc., Sherwin-Williams Co., and AutoZone, Inc.³ In the materials sector, Freeport-McMoRan Copper & Gold, Inc. and Phelps Dodge Corp. benefited from a surge in the price of gold and other metals. Nucor Corp., a steel producer, was the beneficiary of solid global economic expansion. In health care, solid performance from a range of sub-sectors contributed to the fund's above-benchmark return. UnitedHealth Group, Inc., a health care insurer; Gilead Sciences, Inc., a biotech company; Cardinal Health, Inc., a pharmaceuticals distributor; and Express Scripts, Inc., a leading pharma cy benefits manager, all generated double-digit gains. Their returns helped offset weak performance among major pharmaceutical manufacturers.

Although the fund owned many strong performers in both the industrials and technology sectors, overall return was dragged down by weak showings from selected companies. In the industrials sector, Deere & Co., a farm equipment manufacturer, and Cendant Corp., a hotel, entertainment and travel services holding company, detracted from performance. Deere announced that it would incur charges associated with a major plant closing. We sold the stock. Cendant reported significantly higher earnings for the fourth quarter of 2005 but reduced its forecast for first quarter 2006, and the stock suffered a 20% decline.

The fund's technology holdings also produced some solid winners, such as Hewlett-Packard Co. and Apple Computer, Inc. However, positions in Dell, Inc. and Intel Corp. cut into these gains and detracted from performance during a period that was generally weak for the technology sector.

Looking ahead, we believe that the US economy is positioned for another year of growth, especially if energy prices decline and monthly job gains continue to ease the unemployment rate. However, the dollar is poised to move lower against both the euro and the yen in 2006 and that could have a negative impact on corporate profits. In this environment, we believe the outlook for large cap stocks is positive. Large, proven companies have the potential to hold up better than smaller, less established companies in a slowing economy. And because many of

1

these companies also participate in multiple global markets, they may be better positioned than smaller companies to weather a declining dollar.

The fund's top ten holdings (as a percentage of net assets) as of January 31, 2006 were:

	(%)
Exxon Mobil		3.6
Microsoft		2.1
General Electric		2.1
Intel		1.9
Cisco Systems		1.9
Pfizer		1.8
Citigroup		1.8
Procter & Gamble		1.7
Johnson & Johnson		1.6
American International Group		1.5

We appreciate your continued confidence in CMG Enhanced S&P 500^® Index Fund.

Vikram Kuriyan has managed the CMG Enhanced S&P 500^® Index Fund since June 2005 and has been with the advisor or its predecessors or affiliate organizations since 2000.

Equity investments are affected by stock market fluctuations that occur in response to economic and business developments.

Investing in the fund also includes market risk and tracking error risk. Unlike the S&P 500 Index, the fund incurs administrative expenses and transaction costs in trading stocks. The composition of the S&P 500 Index and the stocks held by the fund may occasionally diverge.

¹ The Standard & Poor's (S&P) 500 Index tracks the performance of 500 widely held, large-capitalization US stocks. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

² Lipper Inc., a widely respected data provider in the industry, calculates an average total return (assuming reinvestment of distributions) for mutual funds with investment objectives similar to those of the fund. Lipper makes no adjustment for the effect of sales loads.

³ Holdings are calculated as a percentage of net assets on January 31, 2006, and are subject to change: Darden Restaurants, Inc. (0.7%), McDonald's Corp. (1.0%), Harley-Davidson, Inc. (0.9%), Sherwin-Williams Co. (0.4%), and AutoZone, Inc. (0.2%), Freeport-McMoRan Copper & Gold, Inc. (0.5%), Phelps Dodge Corp. (0.7%), Nucor Corp. (1.2%), UnitedHealth Group, Inc. (1.0%), Gilead Sciences, Inc. (0.7%), Cardinal Health, Inc. (0.4%), Express Scripts, Inc. (0.2%), Cendant Corp. (0.7%), Hewlett-Packard Co. (1.2%), Apple Computer, Inc. (0.1%), Dell, Inc. (0.8%), Intel Corp. (1.9%).

Holdings are calculated as a percentage of net assets and are subject to change. Because the fund is actively managed, there is no guarantee the fund will continue to maintain the holdings breakdown listed. The fund's holdings and their weights within the portfolio may change as market conditions change.

2

Average annual total return as of January 31, 2006 (%)

	Inception		6-month (cumulative)		1-year		Life
CMG Enhanced S&P 500® Index Fund		05/05/03		6.44		12.36		15.26
S&P 500 Index				4.68		10.38		14.52

Average annual total return as of December 31, 2005 (%)

	Inception		6-month (cumulative)		1-year		Life
CMG Enhanced S&P 500® Index Fund		05/05/03		7.40		6.83		14.64
S&P 500 Index				5.77		4.91		13.89

Index performance is from May 5, 2003.

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

Performance results may reflect any voluntary waivers or reimbursement of fund expenses by the advisor or its affiliates. Absent these waivers or reimbursement arrangements, performance results would have been lower. All results shown assume reinvestment of distributions.

Growth of a $10,000 investment, May 5, 2003 to January 31, 2006

The Standard & Poor's (S&P) 500 Index tracks the performance of 500 widely held, large-capitalization US stocks. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

The chart above shows the growth in value of a hypothetical $10,000 investment in the fund compared to the index during the stated time period, and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

3

UNDERSTANDING YOUR EXPENSES – CMG Enhanced S&P 500^® Index Fund

As a fund shareholder, you incur two types of costs. There are transaction costs and also ongoing costs, which generally include investment advisory fees and other fund expenses. The information on this page is intended to help you understand your ongoing costs of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.

Analyzing your fund's expenses

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors during the reporting period. The information in the following table is based on an initial investment of $1,000, which is invested at the beginning of the reporting period and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the "actual" column is calculated using the fund's actual operating expenses and total return for the period. The amount listed in the "hypothetical" column assumes that the return each year is 5% before expenses and includes the fund's actual expense ratio. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during this reporting period.

Estimating your actual expenses

To estimate the expenses that you paid over the period, first you will need your account balance at the end of the period:

1.  Divide your ending account balance by $1,000. For example, if an account balance was $8,600 at the end of the period, the result would be 8.6.

2.  In the section of the table below titled "Expenses paid during the period," locate the amount under "actual." Multiply this number by the result from step 1. Your answer is an estimate of the expenses you paid on your account during the period.

August 1, 2005 – January 31, 2006

Account value at the beginning of the period ($)				Account value at the end of the period ($)				Expenses paid during the period ($)				Fund's annualized expense ratio (%)
Actual		Hypothetical		Actual		Hypothetical		Actual		Hypothetical
	1,000.00		1,000.00		1,064.43		1,023.95		1.30		1.28		0.25

Expenses paid during the period are equal to the fund's annualized expense ratio of 0.25%, multiplied by the average account value over the period, then multiplied by the number of days in the fund's most recent fiscal half-year and divided by 365.

Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

It is important to note that the expense amounts shown in the table are meant to highlight only ongoing costs of investing in the fund and do not reflect any transaction costs, such as sales charges, redemption or exchange fees. Therefore, the hypothetical examples provided may not help you determine the relative total costs of owning shares of different funds. If these transaction costs were included, your costs would have been higher.

4

Compare with other funds

Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the fund with other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the continuing costs of investing in a fund and do not reflect any transaction costs, such as sales charges or redemption or exchange fees.

5

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for most recent daily and month-end performance updates.

CMG LARGE CAP GROWTH FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE

CMG Large Cap Growth Fund returned 7.20% for the six-month period ended January 31, 2006. The fund outperformed the Russell 1000 Growth Index¹ and the Morningstar Large Growth Category average, which returned 3.91% and 6.96%, respectively, over the same period.² We found attractive growth stocks in most sectors, but particularly in health care and technology. We focused on large companies with strong competitive positions; high, sustainable profits; good balance sheets and above-average earnings growth. In fact, the fund outperformed its peer group even though it stayed relatively close to the market cap range of the index during a period dominated by the smallest of large cap stocks, which we believe were favored by many competing funds.

In health care, the fund's focus on companies that could benefit from newer technologies paid off. Varian Medical Systems, Inc., which develops radiation and imaging systems, rallied sharply in the midst of a favorable new product cycle (1.4% of net assets). Amylin Pharmaceuticals, Inc., a biotechnology company developing advanced therapies for diabetes, also produced very strong gains. We took profits and sold the stock. A decision to bypass large US pharmaceutical companies also benefited performance as these companies faced headwinds from maturing product lines and pending patent expirations. We focused, instead, on non-US pharmaceutical companies, such as Teva Pharmaceutical Industries Ltd. (1.4% of net assets). An Israeli-based generics manufacturer, Teva rallied following the announcement that it would merge with IVAX Corp. (0.8% of net assets).

Stock selection across an array of technology subsectors further bolstered returns. Among the standouts were Google, Inc., which is the fastest growing Internet advertiser; Broadcom Corp., which makes specialized integrated circuits for a variety of products, including the new video i-pods; and MEMC Electronic Materials, Inc., which supplies the silicon used in semiconductor chips and solar cells (2.6% and 1.4% of net assets, respectively). We took profits and eliminated MEMC from the portfolio. Although these and other winners dominated returns, the fund had a few detractors, including McAfee, Inc., best known for its anti-virus software, and Dell,Inc. We sold both stocks.

Investments in the financials and energy sectors further aided performance. Within financials, we focused on companies that could benefit from strong capital markets activity or from a rebound in insurance pricing. In this regard, broker Merrill Lynch & Co., Inc. and insurer American International Group, Inc. were both positive contributors (1.0% and 0.9% of net assets, respectively). Energy stocks rallied sharply as growing global demand kept commodity prices at historically high levels. The fund benefited from an above-average stake in the sector coupled with good stock selection.

Consumer discretionary stock selection detracted from returns. Although we did well to hold a relatively small stake in what was a weak sector, many of the stocks in the portfolio lost ground. In particular, Bed, Bath & Beyond, Inc. suffered as operating and revenue results fell short of expectations, and CVS Corp. lost momentum as it completed the Eckerd acquisition. We sold both names. Office Depot, Inc. was one of the few bright spots, benefiting from a turnaround in its business (1.6% of net assets).

6

Looking ahead, we believe the outlook for large-cap growth stocks is positive. Valuations remain attractive, plus large-cap stocks have the potential to hold up well if economic growth slows. With consumers no longer able to bank on the multi-year bull market in housing to fuel the economy, we plan to seek opportunities within industrial and infrastructure-related sectors, as well as sectors that are not directly tied to the economic cycle, such as health care. We also may add to investments in financial stocks, which could stand to benefit as the Federal Reserve's efforts to boost short-term interest rates wind down.

The fund's top ten holdings (as a percentage of net assets) as of January 31, 2006 were:

	(%)
Microsoft		5.0
General Electric		3.1
Google		2.6
Wal-Mart Stores		1.9
Novartis		1.9
International Business Machines		1.8
Medtronic		1.7
Yahoo!		1.7
Office Depot		1.6
SAP		1.6

Thank you for investing in CMG Large Cap Growth Fund.

Paul J. Berlinguet, lead manager for CMG Large Cap Growth Fund, has managed or co-managed the fund since October 2003 and has been with the advisor or its predecessors or affiliate organizations since 2003.

Edward Hickey has co-managed the fund since June 2005 and has been with the advisor or its predecessors or affiliate organizations since 1998.

7

Mary-Ann Ward has co-managed the fund since June 2005 and has been with the advisor or its predecessors or affiliate organizations since 1997.

Roger Sullivan has co-managed the fund since June 2005 and has been with the advisor or its predecessors or affiliate organizations since January 2005.

John T. Wilson has co-managed the fund since August 2005 and has been with the advisor or its predecessors since July 2005.

Equity investments are affected by stock market fluctuations that occur in response to economic and business developments.

Investing in growth stocks incurs the possibility of losses because their prices are sensitive to changes in current or expected earnings.

¹ The Russell 1000 Growth Index measures the performance of those Russell 1000 Index companies with higher price-to-book ratios and higher forecasted growth values. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

² ©2006 by Morningstar, Inc. All rights reserved. The information contained herein is the proprietary information of Morningstar, Inc., may not be copied or redistributed for any purpose and may only be used for noncommercial, personal purposes. The information contained herein is not represented or warranted to be accurate, correct, complete or timely. Morningstar, Inc. shall not be responsible for investment decisions, damages or other losses resulting from the use of this information. Past performance is no guarantee of future performance. Morningstar, Inc. has not granted consent for it to be considered or deemed an "expert" under the Securities Act of 1933.

Morningstar Categories compare the performance of funds with similar investment objectives and strategies.

Holdings are calculated as a percentage of net assets, and are subject to change. Because the fund is actively managed, there is no guarantee the fund will continue to maintain the holdings breakdown listed. The fund's holdings and their weights within the portfolio may change as market conditions change.

8

Average annual total return as of January 31, 2006 (%)

	Inception		6-month (cumulative)		1-year		Life
CMG Large Cap Growth Fund		09/10/03		7.20		12.11		10.12
Russell 1000 Growth Index				3.91		10.81		8.62

Average annual total return as of December 31, 2005 (%)

	Inception		6-month (cumulative)		1-year		Life
CMG Large Cap Growth Fund		09/10/03		7.32		5.82		8.90
Russell 1000 Growth Index				7.11		5.26		8.13

Index performance is from September 10, 2003.

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

Performance results may reflect any voluntary waivers or reimbursement of fund expenses by the advisor or its affiliates. Absent these waivers or reimbursement arrangements, performance results would have been lower. All results shown assume reinvestment of distributions.

Growth of a $10,000 investment, September 10, 2003 to January 31, 2006

The Russell 1000 Growth Index measures the performance of those Russell 1000 Index companies with higher price-to-book ratios and higher forecasted growth values. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

The chart above shows the growth in value of a hypothetical $10,000 investment in the fund compared to the index during the stated time period, and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

9

UNDERSTANDING YOUR EXPENSES – CMG Large Cap Growth Fund

As a fund shareholder, you incur two types of costs. There are transaction costs and also ongoing costs, which generally include investment advisory fees and other fund expenses. The information on this page is intended to help you understand your ongoing costs of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.

Analyzing your fund's expenses

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors during the reporting period. The information in the following table is based on an initial investment of $1,000, which is invested at the beginning of the reporting period and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the "actual" column is calculated using the fund's actual operating expenses and total return for the period. The amount listed in the "hypothetical" column assumes that the return each year is 5% before expenses and includes the fund's actual expense ratio. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during this reporting period.

Estimating your actual expenses

To estimate the expenses that you paid over the period, first you will need your account balance at the end of the period:

1.  Divide your ending account balance by $1,000. For example, if an account balance was $8,600 at the end of the period, the result would be 8.6.

2.  In the section of the table below titled "Expenses paid during the period," locate the amount under "actual." Multiply this number by the result from step 1. Your answer is an estimate of the expenses you paid on your account during the period.

August 1, 2005 – January 31, 2006

Account value at the beginning of the period ($)				Account value at the end of the period ($)				Expenses paid during the period ($)				Fund's annualized expense ratio (%)
Actual		Hypothetical		Actual		Hypothetical		Actual		Hypothetical
	1,000.00		1,000.00		1,072.04		1,022.68		2.61		2.55		0.50

Expenses paid during the period are equal to the fund's annualized expense ratio of 0.50%, multiplied by the average account value over the period, then multiplied by the number of days in the fund's most recent fiscal half-year and divided by 365.

Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

It is important to note that the expense amounts shown in the table are meant to highlight only ongoing costs of investing in the fund and do not reflect any transaction costs, such as sales charges, redemption or exchange fees. Therefore, the hypothetical examples provided may not help you determine the relative total costs of owning shares of different funds. If these transaction costs were included, your costs would have been higher.

10

Compare with other funds

Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the fund with other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the continuing costs of investing in a fund and do not reflect any transaction costs, such as sales charges or redemption or exchange fees.

11

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

CMG LARGE CAP VALUE FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE

CMG Large Cap Value Fund returned 7.54% for the six-month period ended January 31, 2006. The Russell 1000 Value Index¹ returned 6.21%, and the average return of the Morningstar Large Value Category was 5.26%.² During the period, we experienced strong stock selection in energy, financials and health care. Strong gains from these areas overshadowed some weakness from investments in retailing, technology and capital goods sectors.

The energy sector was the fund's strongest performer during the period, despite some weakness at the end of the year. Shares of Halliburton Co. and Schlumberger Ltd. rose nicely (1.1% and 0.9% of net assets, respectively). Halliburton experienced strong growth on the back of increased global demand for many of its operations, higher drilling activity and improved pricing. Schlumberger also benefited from high demand for oilfield service, with strong pricing and accelerating technology delivery. The fund also enjoyed gains from Occidental Petroleum Corp. and Marathon Oil Corp., both beneficiaries of rising oil prices as continued strong demand outstripped tight supply (2.2% and 1.0% of net assets, respectively).

A decision to maintain an underweight in financial stocks aided relative return as rising interest rates and a flattening yield curve had a negative impact on operating margins, most notably, among consumer credit companies, banks and thrifts. However, the sector was not without its winners. Good performance was garnered from our investments in Merrill Lynch & Co., Inc., Goldman Sachs Group, Inc. and Wachovia Corp.—all companies that are less sensitive to interest-rate changes (2.2%, 1.0% and 2.5% of net assets, respectively). That said, we believe that the Federal Reserve Board may be at or near the end of its cycle of short-term interest rates increases, which could make the banking sector more attractive. We plan to look for companies that could experience net interest margin expansion in an environment of stable to lower interest rates.

Solid stock selection in health care and a decision to largely avoid domestic large-cap pharmaceutical stocks, which declined through most of the period, also aided the fund's overall performance. We focused on European pharmaceutical stocks, including AstraZeneca PLC and Novartis AG, which we believe are less vulnerable to competition from generic drug manufacturers than US companies and better positioned given their product pipelines (1.0% and 1.0% of net assets, respectively). Additionally, service and supply companies such as CIGNA Corp. and Aetna, Inc. benefited from rising margins and contributed to the fund's positive performance (1.1% and 0.7% of net assets, respectively).

On the negative side, stock selection in retail and technology detracted from performance. The fund's two largest retail positions, J.C. Penney Co., Inc. and Federated Department Stores, Inc., suffered a mid-period correction as investors expressed their fears that rising energy prices would keep their target customers away (1.4% and 1.2% of net assets, respectively). In

12

technology, disappointing performance from International Business Machines Corp. and Dell, Inc., both of which failed to meet the market's earnings expectations, more than offset strong gains from Taiwan Semiconductor Manufacturing Co., Ltd. and Agilent Technologies, Inc. (0.8%, 0.2%, 0.8% and 0.5% of net assets, respectively).

Looking ahead, we plan to continue our focus on attractively-valued companies that have demonstrated the potential to increase their earnings through margin expansion and sales growth. Additionally, we plan to continue seeking companies that we believe have the potential to produce rising returns on capital and return that capital to shareholders through dividends and share repurchase. We also plan to take advantage of the strength we see in commodity-related industries, if demand for copper, iron ore and aluminum continues to increase. In the capital goods sector, we foresee increased prospects for commercial aerospace fueled by new aircraft demand resulting from growth in emerging market and developed foreign market air traffic.

The fund's top ten holdings (as a percentage of net assets) as of January 31, 2006 were:

	(%)
Exxon Mobil		3.4
Wachovia		2.5
Citigroup		2.3
Merrill Lynch & Co.		2.2
Wells Fargo		2.2
Occidental Petroleum		2.2
U.S. Bancorp		2.2
Altria Group		2.1
Exelon		1.7
Burlington Northern Santa Fe		1.5

Thank you for investing in CMG Large Cap Value Fund.

Lori J. Ensinger is the lead manager for CMG Large Cap Value Fund and has managed the fund since August 2005. She has been with the advisor or its predecessors or affiliate organizations since 2001.

David I. Hoffman has co-managed the fund since August 2005 and has been with the advisor or its predecessors or affiliate organizations since 2001.

13

Noah J. Petrucci has co-managed the fund since August 2005 and has been with the advisor or its predecessors or affiliate organizations since 2002.

Diane L. Sobin has co-managed the fund since August 2005 and has been with the advisor or its predecessors or affiliate organizations since 2001.

Equity investments are affected by stock market fluctuations that occur in response to economic and business developments.

Value stocks are stocks of companies that may have experienced adverse business or industry developments or may be subject to special risks that have caused the stocks to be out of favor and, in the advisor's opinion, undervalued. If the advisor's assessment of a company's prospects is wrong, the price of the company's stock may not approach the value the advisor has placed on it.

¹ The Russell 1000 Value Index measures the performance of those Russell 1000 Index companies with lower price-to-book ratios and lower forecasted growth values. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

² ©2006 by Morningstar, Inc. All rights reserved. The information contained herein is the proprietary information of Morningstar, Inc., may not be copied or redistributed for any purpose and may only be used for noncommercial, personal purposes. The information contained herein is not represented or warranted to be accurate, correct, complete or timely. Morningstar, Inc. shall not be responsible for investment decisions, damages or other losses resulting from the use of this information. Past performance is no guarantee of future performance. Morningstar, Inc. has not granted consent for it to be considered or deemed an "expert" under the Securities Act of 1933.

Morningstar Categories compare the performance of funds with similar investment objectives and strategies.

Holdings are calculated as a percentage of net assets and are subject to change. Because the fund is actively managed, there is no guarantee the fund will continue to maintain the holdings breakdown listed. The fund's holdings and their weights within the portfolio may change as market conditions change.

14

Average annual total return as of January 31, 2006 (%)

	Inception		6-month (cumulative)		1-year		Life
CMG Large Cap Value Fund		09/10/03		7.54		13.23		14.38
Russell 1000 Value Index				6.21		13.22		16.69

Average annual total return as of December 31, 2005 (%)

	Inception		6-month (cumulative)		1-year		Life
CMG Large Cap Value Fund		09/10/03		6.10		7.24		13.04
Russell 1000 Value Index				5.20		7.05		15.43

Index performance is from September 10, 2003.

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

Performance results may reflect any voluntary waivers or reimbursement of fund expenses by the advisor or its affiliates. Absent these waivers or reimbursement arrangements, performance results would have been lower. All results shown assume reinvestment of distributions.

Growth of a $10,000 investment, September 10, 2003 to January 31, 2006

The Russell 1000 Value Index measures the performance of those Russell 1000 Index companies with lower price-to-book ratios and lower forecasted growth values. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

The chart above shows the growth in value of a hypothetical $10,000 investment in the fund compared to the index during the stated time period, and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

15

UNDERSTANDING YOUR EXPENSES – CMG Large Cap Value Fund

As a fund shareholder, you incur two types of costs. There are transaction costs and also ongoing costs, which generally include investment advisory fees and other fund expenses. The information on this page is intended to help you understand your ongoing costs of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.

Analyzing your fund's expenses

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors during the reporting period. The information in the following table is based on an initial investment of $1,000, which is invested at the beginning of the reporting period and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the "actual" column is calculated using the fund's actual operating expenses and total return for the period. The amount listed in the "hypothetical" column assumes that the return each year is 5% before expenses and includes the fund's actual expense ratio. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during this reporting period.

Estimating your actual expenses

To estimate the expenses that you paid over the period, first you will need your account balance at the end of the period:

1.  Divide your ending account balance by $1,000. For example, if an account balance was $8,600 at the end of the period, the result would be 8.6.

2.  In the section of the table below titled "Expenses paid during the period," locate the amount under "actual." Multiply this number by the result from step 1. Your answer is an estimate of the expenses you paid on your account during the period.

August 1, 2005 – January 31, 2006

Account value at the beginning of the period ($)				Account value at the end of the period ($)				Expenses paid during the period ($)				Fund's annualized expense ratio (%)
Actual		Hypothetical		Actual		Hypothetical		Actual		Hypothetical
	1,000.00		1,000.00		1,075.41		1,022.68		2.62		2.55		0.50

Expenses paid during the period are equal to the fund's annualized expense ratio of 0.50%, multiplied by the average account value over the period, then multiplied by the number of days in the fund's most recent fiscal half-year and divided by 365.

Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

It is important to note that the expense amounts shown in the table are meant to highlight only ongoing costs of investing in the fund and do not reflect any transaction costs, such as sales charges, redemption or exchange fees. Therefore, the hypothetical examples provided may not help you determine the relative total costs of owning shares of different funds. If these transaction costs were included, your costs would have been higher.

16

Compare with other funds

Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the fund with other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the continuing costs of investing in a fund and do not reflect any transaction costs, such as sales charges or redemption or exchange fees.

17

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE

CMG Mid Cap Growth Fund returned 17.04% for the six-month period ended January 31, 2006. The fund surpassed the 10.38% return of the Russell Midcap Growth Index¹ and the 10.59% average of the Morningstar Mid-Cap Growth Category for the same period.²

In an environment that was generally favorable for mid-cap stocks, strong stock selection across a variety of sectors led to the fund's outperformance for the six-month period. Within information technology, Broadcom Corp. benefited from several design wins in high volume markets and an ability to maintain higher-than-expected gross margins that translated into strong profit growth (2.9% of net assets). Broadcom makes integrated circuits, which are used for digital set-top boxes, cable modems, servers, and local-area and home networking gear. Semiconductor designer Marvell Technology Group Ltd. continued to dominate its market and grow at a rate that exceeded investor expectations (1.4% of net assets).

Participation in the energy sector also had a positive impact on fund performance. Southwestern Energy Co., EOG Resources, Inc. and XTO Energy, Inc. were among the portfolio's top contributors, benefiting from high natural gas prices (1.2%, 1.3% and 1.2% of net assets, respectively). One disappointment was Teekay Shipping Corp., which was sold from the portfolio on concerns about future incremental supply of tankers.

The fund's health care holdings outperformed the index and made a solid contribution to returns. Amylin Pharmaceuticals, Inc. surged as Byetta, a new drug treating patients with type-2 diabetes, experienced strong initial demand (0.7% of net assets). Varian Medical Systems, Inc., a provider of medical equipment for cancer treatment, also gained during the period (1.0% of net assets). The fund was hurt by not owning Express Scripts, Inc., a pharmacy benefits manager that gained approximately 75% in the period.

The fund outperformed the index in the industrials, telecommunication services and financial sectors. A constructive outlook on machinery stocks warranted the fund's sizeable positions in Terex Corp. and Joy Global, Inc., both of which benefited from exposure to mining and construction customers (1.0% and 1.4% of net assets, respectively). In financials, Lazard Ltd. rose 51%, benefiting from increased activity in mergers and acquisitions (1.0% of net assets). Finally, Millicom International Cellular SA, which provides cellular phone service to emerging markets, gained 81% during the period and attracted numerous unsolicited acquisition offers by larger firms seeking entry to its markets (0.9% of net assets).

The consumer staples and consumer discretionary sectors were two areas of weakness for the fund, as both sectors declined. Among consumer staples stocks, Tyson Foods, Inc. struggled to improve margins (0.2% of net assets). Corn Products International, Inc. suffered from reduced profit expectations and the position was eliminated. Among consumer discretionary names, XM Satellite Radio Holdings, Inc. (1.2% of net assets) declined as investors worried about the competitive impact from Sirius Satellite Radio, Inc. We sold Tempur-Pedic International, Inc. from the portfolio due to concerns that competitive pricing could lead to slower profit growth.

We continue to believe that the economy is growing at a healthy rate and that inflation is relatively contained. We remain bullish on the energy and materials sectors for long-term structural reasons and continue to hold a number of later-cycle positions in the industrial sector. Accordingly, we are watchful for signs of decelerating growth that could provoke a reassessment of the strength and duration of the current economic expansion. Finally, we

18

believe that the interest rate environment and valuations are supportive of traditional growth stocks relative to value stocks, and we continue to seek candidates with strong earnings prospects and attractive valuations.

The fund's top ten holdings (as a percentage of net assets) as of January 31, 2006 were:

	(%)
Broadcom		2.9
Chico's FAS		1.8
Potash Corp. of Saskatchewan		1.5
American Tower		1.5
Joy Global		1.4
Marvell Technology Group		1.4
Coach		1.3
Corporate Executive Board		1.3
EOG Resources		1.3
XTO Energy		1.2

Thank you for investing in CMG Mid Cap Growth Fund.

Kenneth A. Korngiebel has managed the CMG Mid Cap Growth Fund since June 2004 and has been with the advisor or its predecessors or affiliate organizations since 1996.

Equity investments are affected by stock market fluctuations that occur in response to economic and business developments.

Investing in growth stocks incurs the possibility of losses because their prices are sensitive to changes in current or expected earnings.

Investing in mid-cap stocks may present special risks, including possible illiquidity and greater price volatility than stocks of larger, more established companies.

¹ The Russell Midcap Growth Index measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

² ©2006 by Morningstar, Inc. All rights reserved. The information contained herein is the proprietary information of Morningstar, Inc., may not be copied or redistributed for any purpose and may only be used for noncommercial, personal purposes. The information contained herein is not represented or warranted to be accurate, correct, complete or timely. Morningstar, Inc. shall not be responsible for investment decisions, damages or other losses resulting from the use of this information. Past performance is no guarantee of future performance. Morningstar, Inc. has not granted consent for it to be considered or deemed an "expert" under the Securities Act of 1933.

Morningstar Categories compare the performance of funds with similar investment objectives and strategies.

Holdings are calculated as a percentage of net assets and are subject to change. Because the fund is actively managed, there is no guarantee the fund will continue to maintain the holdings breakdown listed. The fund's holdings and their weights within the portfolio may change as market conditions change.

19

Average annual total return as of January 31, 2006 (%)

	Inception		6-month (cumulative)		1-year		Life
CMG Mid Cap Growth Fund		05/05/03		17.04		28.99		20.22
Russell Midcap Growth Index				10.38		22.08		23.54

Average annual total return as of December 31, 2005 (%)

	Inception		6-month (cumulative)		1-year		Life
CMG Mid Cap Growth Fund		05/05/03		14.73		16.93		17.26
Russell Midcap Growth Index				10.22		12.10		21.68

Index performance is from May 5, 2003.

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

Performance results may reflect any voluntary waivers or reimbursement of fund expenses by the advisor or its affiliates. Absent these reimbursement arrangements, performance results would have been lower. All results shown assume reinvestment of distributions.

Growth of a $10,000 investment, May 5, 2003 to January 31, 2006

The Russell Midcap Growth Index measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index

The chart above shows the growth in value of a hypothetical $10,000 investment in the fund compared to the index during the stated time period, and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

20

UNDERSTANDING YOUR EXPENSES – CMG Mid Cap Growth Fund

As a fund shareholder, you incur two types of costs. There are transaction costs and also ongoing costs, which generally include investment advisory fees and other fund expenses. The information on this page is intended to help you understand your ongoing costs of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.

Analyzing your fund's expenses

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors during the reporting period. The information in the following table is based on an initial investment of $1,000, which is invested at the beginning of the reporting period and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the "actual" column is calculated using the fund's actual operating expenses and total return for the period. The amount listed in the "hypothetical" column assumes that the return each year is 5% before expenses and includes the fund's actual expense ratio. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during this reporting period.

Estimating your actual expenses

To estimate the expenses that you paid over the period, first you will need your account balance at the end of the period:

1.  Divide your ending account balance by $1,000. For example, if an account balance was $8,600 at the end of the period, the result would be 8.6.

2.  In the section of the table below titled "Expenses paid during the period," locate the amount under "actual." Multiply this number by the result from step 1. Your answer is an estimate of the expenses you paid on your account during the period.

August 1, 2005 – January 31, 2006

Account value at the beginning of the period ($)				Account value at the end of the period ($)				Expenses paid during the period ($)				Fund's annualized expense ratio (%)
Actual		Hypothetical		Actual		Hypothetical		Actual		Hypothetical
	1,000.00		1,000.00		1,170.44		1,021.68		3.83		3.57		0.70

Expenses paid during the period are equal to the fund's annualized expense ratio of 0.70%, multiplied by the average account value over the period, then multiplied by the number of days in the fund's most recent fiscal half-year and divided by 365.

Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

It is important to note that the expense amounts shown in the table are meant to highlight only ongoing costs of investing in the fund and do not reflect any transaction costs, such as sales charges, redemption or exchange fees. Therefore, the hypothetical examples provided may not help you determine the relative total costs of owning shares of different funds. If these transaction costs were included, your costs would have been higher.

21

Compare with other funds

Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the fund with other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the continuing costs of investing in a fund and do not reflect any transaction costs, such as sales charges or redemption or exchange fees.

22

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE

CMG Mid Cap Value Fund returned 8.84% for the six-month period ended January 31, 2006. The fund outperformed the 6.32% return of the Russell Midcap Value Index¹ for the same period. The fund's investments in commercial services, diversified manufacturing and basic industries all contributed to the fund's above-benchmark performance, as did its energy holdings.

Domestic equity markets ended the year on a positive note, despite the negative impact of hurricanes Katrina and Rita. A late-year market rally was broad based, covering multiple capitalization and style categories. The stock market benefited from a robust economic environment, heightened capital expenditures and strengthening of consumer confidence. However, mid-cap stocks got the biggest boost from these positive factors.

The fund was positioned to take advantage of opportunities in the commercial services and diversified manufacturing industries, and both market segments contributed positively to the fund's performance. In the commercial services industry, solid returns were posted by Jacobs Engineering Group, Inc., Fluor Corp. and Technip SA–all global engineering companies (0.7%, 0.6% and 0.6% of net assets, respectively). Heavy machinery companies also did well, including United Rentals, Inc., Parker Hannifin Corp. and Dover Corp. (0.7%, 0.9% and 1.0% of net assets, respectively).

Basic industries companies fared well and Peabody Energy Corp. and Freeport-McMoRan Copper & Gold, Inc. posted strong returns (0.6% and 0.6% of net assets, respectively). Peabody, a coal producer and supplier, benefited as the global supply-demand balance for coal remained extremely tight. Demand continues to be driven by strong economic growth in the United States and China, and increasing demand for electricity generation and steel production in the Pacific Rim. Global and US coal-fueled power generation is expected to reach record levels in 2006. Additionally, Freeport-McMoRan advanced on strong copper and gold prices.

In the energy sector, oilfield service companies Weatherford International Ltd. and National-Oilwell Varco, Inc. were each up roughly 40% over the period and significant contributors to the fund's performance (0.9% and 0.6% of net assets, respectively). Energy prices have been quite volatile and much discussion has centered on the balance between global demand and supply. As a result of increased global demand, National-Oilwell Varco and Weatherford benefited from an increase in driller activity levels.

By contrast, the fund's holdings in the finance, technology and, to a lesser extent, health care sectors provided less positive performance. In the finance sector, Endurance Specialty Holdings Ltd., an insurance company, suffered a significant decline as the company released preliminary estimates of losses from the hurricanes (0.8% of net assets). Although the stock rebounded in

23

the days that followed this announcement, it did not fully recover. In technology, Flextronics International Ltd., an electronics services company, fell sharply during the period as it posted worse-than-expected earnings and management lowered its guidance on future earnings. We sold the stock because we did not believe that the company was likely to achieve significant operating leverage due to weak end-market demand.

Looking ahead, we plan to maintain the fund's exposure to cyclical sectors and industries and to focus on attractively-valued companies that provide reasonable opportunities for earnings growth driven by sales growth and profit margin expansion. We believe that the Federal Reserve Board may be near the end of its cycle of short-term interest rate hikes. As such, we will keep an eye on the banking sector, looking for companies that could experience net margin expansion in an environment of stable to lower interest rates.

We also plan to take advantage of the strength we see in commodity-related industries, if demand for copper, iron ore and aluminum continues to increase. In the capital goods sector, we foresee increased prospects for commercial aerospace fueled by new aircraft demand resulting from growth in emerging market and developed foreign market air traffic.

The fund's top ten holdings (as a percentage of net assets) as of January 31, 2006 were:

	(%)
CIGNA		1.3
PG&E		1.2
J.C. Penney Co.		1.2
Marshall & Illsley		1.1
Office Depot		1.1
Zions Bancorporation		1.1
Williams Companies		1.1
Bear Stearns Companies		1.1
TJX Companies		1.1
Exelon		1.1

Diane L. Sobin has co-managed the CMG Mid Cap Value Fund since September 2004 and has been with the advisor or its predecessors or affiliate organizations since 2001.

David I. Hoffman has co-managed the fund since September 2004 and has been with the advisor or its predecessors or affiliate organizations since 2001.

24

Lori J. Ensinger has co-managed the fund since September 2004 and has been with the advisor or its predecessors or affiliate organizations since 2001.

Noah J. Petrucci has co-managed the fund since September 2004 and has been with the advisor or its predecessors or affiliate organizations since 2002.

Equity investments are affected by stock market fluctuations that occur in response to economic and business developments.

Investing in mid-cap stocks may present special risks, including possible illiquidity and greater price volatility than stocks of larger, more established companies.

Value stocks are stocks of companies that may have experienced adverse business or industry developments or may be subject to special risks that have caused the stocks to be out of favor and, in the advisor's opinion, undervalued. If the advisor's assessment of a company's prospects is wrong, the price of the company's stock may not approach the value the advisor has placed on it.

¹ The Russell Midcap Value Index measures the performance of those Russell Midcap Index companies with lower price-to-book ratios and lower forecasted growth values. The stocks are also members of the Russell 1000 Value index. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in indices. Securities in the fund may not match those in an index.

Holdings are calculated as a percentage of net assets, and are subject to change. Because the fund is actively managed, there is no guarantee the fund will continue to maintain the holdings breakdown listed. The fund's holdings and their weights within the portfolio may change as market conditions change.

25

Average annual total return as of January 31, 2006 (%)

	Inception		6-month (cumulative)		1-year		Life
CMG Mid Cap Value Fund		05/05/03		8.84		20.51		20.71
Russell Midcap Value Index				6.32		20.33		26.75

Average annual total return as of December 31, 2005 (%)

	Inception		6-month (cumulative)		1-year		Life
CMG Mid Cap Value Fund		05/05/03		8.40		12.67		19.21
Russell Midcap Value Index				6.76		12.65		25.69

Index performance is from May 5, 2003.

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

Performance results may reflect any voluntary waivers or reimbursement of fund expenses by the advisor or its affiliates. Absent these reimbursement arrangements, performance results would have been lower. All results shown assume reinvestment of distributions.

Growth of a $10,000 investment, May 5, 2003 to January 31, 2006

The Russell Midcap Value Index measures the performance of those Russell Midcap Index companies with lower price-to-book ratios and lower forecasted growth values. The stocks are also members of the Russell 1000 Value Index. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in indices. Securities in the fund may not match those in an index.

The chart above shows the growth in value of a hypothetical $10,000 investment in the fund compared to the index during the stated time period, and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

26

UNDERSTANDING YOUR EXPENSES – CMG Mid Cap Value Fund

As a fund shareholder, you incur two types of costs. There are transaction costs and also ongoing costs, which generally include investment advisory fees and other fund expenses. The information on this page is intended to help you understand your ongoing costs of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.

Analyzing your fund's expenses

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors during the reporting period. The information in the following table is based on an initial investment of $1,000, which is invested at the beginning of the reporting period and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the "actual" column is calculated using the fund's actual operating expenses and total return for the period. The amount listed in the "hypothetical" column assumes that the return each year is 5% before expenses and includes the fund's actual expense ratio. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during this reporting period.

Estimating your actual expenses

To estimate the expenses that you paid over the period, first you will need your account balance at the end of the period:

1.  Divide your ending account balance by $1,000. For example, if an account balance was $8,600 at the end of the period, the result would be 8.6.

2.  In the section of the table below titled "Expenses paid during the period," locate the amount under "actual." Multiply this number by the result from step 1. Your answer is an estimate of the expenses you paid on your account during the period.

August 1, 2005 – January 31, 2006

Account value at the beginning of the period ($)				Account value at the end of the period ($)				Expenses paid during the period ($)				Fund's annualized expense ratio (%)
Actual		Hypothetical		Actual		Hypothetical		Actual		Hypothetical
	1,000.00		1,000.00		1,088.37		1,021.68		3.68		3.57		0.70

Expenses paid during the period are equal to the fund's annualized expense ratio of 0.70%, multiplied by the average account value over the period, then multiplied by the number of days in the fund's most recent fiscal half-year and divided by 365.

Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

It is important to note that the expense amounts shown in the table are meant to highlight only ongoing costs of investing in the fund and do not reflect any transaction costs, such as sales charges, redemption or exchange fees. Therefore, the hypothetical examples provided may not help you determine the relative total costs of owning shares of different funds. If these transaction costs were included, your costs would have been higher.

27

Compare with other funds

Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the fund with other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the continuing costs of investing in a fund and do not reflect any transaction costs, such as sales charges or redemption or exchange fees.

28

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com most recent daily and month-end performance updates.

CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE

CMG Small Cap Growth Fund returned 14.74% for the six-month period ended January 31, 2006. For the same period, the Russell 2000 Growth Index¹ and the Morningstar Small Growth Category average, returned 10.71% and 9.78%, respectively.² A new management team took the helm in September and restructured the portfolio. The team's strong stock decisions helped the fund outperform its benchmark and peer group for the period.

In an environment that was generally favorable for small-cap stocks, solid stock picking and an overweight position in the industrials sector enhanced performance. A constructive outlook on machinery stocks warranted the fund's sizeable positions in Terex Corp. and Joy Global, Inc., which benefited from their exposure to mining and construction customers (1.3% and 1.5% of net assets, respectively). Ceradyne, Inc., which develops ceramic products and components, benefited from a ramp up in military orders for body and vehicle armor (1.9% of net assets). On the downside, LECG Corp. fell short of expected productivity and we reduced the fund's position (0.5% of net assets).

Participation in the energy sector—particularly in the energy service group—had a positive impact on fund performance. Atwood Oceanics, Inc., which engages in offshore drilling, and Veritas DGC, Inc., which provides seismic surveying, benefited from healthy spending by exploration and production customers (1.0% and 1.0% of net assets, respectively). A holdover from previous management, Spinnaker Exploration Co., made the greatest contribution in the sector, and we locked in gains and sold the stock from the portfolio.

The information technology sector was strong during the period. F5 Networks, Inc. reported strong results and continued to take share in the Layer 4-7 networking market (1.0% of net assets). In addition, Global Payments, Inc. appreciated on entering into an agreement with another company to access the Asian market (1.3% of net assets). SiRF Technology Holdings, Inc., a supplier of chipsets for global positioning systems for consumer and business applications, also performed well (1.6% of net assets). A setback was Ultratech, Inc., which was inherited from previous management and was sold from the portfolio.

The telecommunications and consumer discretionary sectors provided some standout performers. Millicom International Cellular SA which provides cellular phone service to emerging markets, rose 106% during the period and attracted numerous unsolicited acquisition offers by larger firms seeking entry to its markets (0.9% of net assets). VistaPrint Ltd., which supplies customized printed products for consumers and small businesses and leverages the Internet for delivery, soared 98%, and we remain optimistic about the potential size of its market (1.3% of net assets).

Consumer staples stocks posted a slight decline during the period. Elizabeth Arden, Inc. was sold from the portfolio as excitement around the Britney Spears product line waned and competitors gained market share. USANA Health Sciences, Inc. struggled with concerns about growth rates as its entry to a new foreign market was delayed (0.7% of net assets). The fund also experienced relative weakness in the health care sector, where stocks underperformed. Pharmaceutical companies Nabi Biopharmaceuticals, Rigel Pharmaceuticals, Inc. and Alexion Pharmaceuticals, Inc. suffered from disappointments in clinical development and were sold from the portfolio.

29

We believe that the economy is growing at a healthy rate and that inflation is relatively contained. We are bullish on the energy and materials sectors for long-term structural reasons and continue to hold a number of later-cycle positions in the industrial sector. Accordingly, we are watchful for signs of decelerating growth that could provoke a reassessment of the strength and duration of the current economic expansion. Finally, we believe that the interest rate environment and valuations are supportive of traditional growth stocks relative to value stocks, and we are seeking candidates with strong earnings prospects and attractive valuations.

The fund's top ten holdings (as a percentage of net assets) as of January 31, 2006 were:

	(%)
Affiliated Managers Group		2.0
Wabtec		2.0
Ceradyne		1.9
HealthExtras		1.6
SiRF Technology Holdings		1.6
Corporate Executive Board		1.5
Joy Global		1.5
VistaPrint		1.3
Terex		1.3
Scientific Games		1.3

Thank you for investing in CMG Small Cap Growth Fund.

Kenneth A. Korngiebel has managed the CMG Small Cap Growth Fund since September 2005 and has been with the advisor or its predecessors of affiliate organizations since 1996.

Equity investments are affected by stock market fluctuations that occur in response to economic and business developments.

Investing in growth stocks incurs the possibility of losses because their prices are sensitive to changes in current or expected earnings.

Investments in small-cap stocks may be subject to greater volatility and price fluctuations because they may be thinly traded and less liquid than investments in larger companies.

¹ The Russell 2000 Growth Index measures the performance of those Russell 2000 Index companies with higher price-to-book ratios and higher forecasted growth values. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

² ©2006 by Morningstar, Inc. All rights reserved. The information contained herein is the proprietary information of Morningstar, Inc., may not be copied or redistributed for any purpose and may only be used for noncommercial, personal purposes. The information contained herein is not represented or warranted to be accurate, correct, complete or timely. Morningstar, Inc. shall not be responsible for investment decisions, damages or other losses resulting from the use of this information. Past performance is no guarantee of future performance. Morningstar, Inc. has not granted consent for it to be considered or deemed an "expert" under the Securities Act of 1933.

Morningstar Categories compare the performance of funds with similar investment objectives and strategies.

Holdings are calculated as a percentage of net assets, and are subject to change. Because the fund is actively managed, there is no guarantee the fund will continue to maintain the holdings breakdown listed. The fund's holdings and their weights within the portfolio may change as market conditions change.

30

Average annual total return as of January 31, 2006 (%)

	Inception		6-month (cumulative)		1-year		Life
CMG Small Cap Growth Fund		05/05/03		14.74		24.27		22.65
Russell 2000 Growth Index				10.71		19.59		23.52

Average annual total return as of December 31, 2005 (%)

	Inception		6-month (cumulative)		1-year		Life
CMG Small Cap Growth Fund		05/05/03		10.10		6.02		18.76
Russell 2000 Growth Index				8.02		4.15		20.12

Index performance is from May 5, 2003.

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

Performance results may reflect any voluntary waivers or reimbursement of fund expenses by the advisor or its affiliates. Absent these reimbursement arrangements, performance results would have been lower. All results shown assume reinvestment of distributions.

Growth of a $10,000 investment, May 5, 2003 to January 31, 2006

The Russell 2000 Growth Index measures the performance of those Russell 2000 Index companies with higher price-to-book ratios and higher forecasted growth values. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

The chart above shows the growth in value of a hypothetical $10,000 investment in the fund compared to the index during the stated time period, and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

31

UNDERSTANDING YOUR EXPENSES — CMG Small Cap Growth Fund

As a fund shareholder, you incur two types of costs. There are transaction costs and also ongoing costs, which generally include investment advisory fees and other fund expenses. The information on this page is intended to help you understand your ongoing costs of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.

Analyzing your fund's expenses

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors during the reporting period. The information in the following table is based on an initial investment of $1,000, which is invested at the beginning of the reporting period and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the "actual" column is calculated using the fund's actual operating expenses and total return for the period. The amount listed in the "hypothetical" column assumes that the return each year is 5% before expenses and includes the fund's actual expense ratio. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during this reporting period.

Estimating your actual expenses

To estimate the expenses that you paid over the period, first you will need your account balance at the end of the period:

1.  Divide your ending account balance by $1,000. For example, if an account balance was $8,600 at the end of the period, the result would be 8.6.

2.  In the section of the table below titled "Expenses paid during the period," locate the amount under "actual." Multiply this number by the result from step 1. Your answer is an estimate of the expenses you paid on your account during the period.

August 1, 2005 – January 31, 2006

Account value at the beginning of the period ($)				Account value at the end of the period ($)				Expenses paid during the period ($)				Fund's annualized expense ratio (%)
Actual		Hypothetical		Actual		Hypothetical		Actual		Hypothetical
	1,000.00		1,000.00		1,147.40		1,021.17		4.33		4.08		0.80

Expenses paid during the period are equal to the fund's annualized expense ratio of 0.80%, multiplied by the average account value over the period, then multiplied by the number of days in the fund's most recent fiscal half-year and divided by 365.

Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

It is important to note that the expense amounts shown in the table are meant to highlight only ongoing costs of investing in the fund and do not reflect any transaction costs, such as sales charges, redemption or exchange fees. Therefore, the hypothetical examples provided may not help you determine the relative total costs of owning shares of different funds. If these transaction costs were included, your costs would have been higher.

32

Compare with other funds

Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the fund with other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the continuing costs of investing in a fund and do not reflect any transaction costs, such as sales charges or redemption or exchange fees.

33

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE

CMG Small Cap Value Fund returned 9.38% for the six-month period ended January 31, 2006. The fund outperformed its benchmark, the Russell 2000 Value Index¹, which returned 6.31%. Its return was also higher than the average return of the Morningstar Small Value Category, which was 6.64% over the same period.² Strong stock selection among financials, technology and energy aided performance relative to these competitive measures.

Small-cap stocks gained momentum during the six-month reporting period, as relatively low interest rates, a pickup in capital markets activity and sustained economic growth instilled investor confidence in the small-cap portion of the market. The fund's solid performance was indicative of these trends.

Stock selection within the financials sector aided relative performance. Standouts for the period included Argonaut Group, Inc., a little known Texas-based property and casualty insurer, which rallied amid expectations of improved industry pricing following the Gulf Coast hurricanes (0.4% of net assets). In the banking sector, the fund benefited from focusing on commercial lenders, which tend to be less vulnerable to rising interest rates than thrifts or more retail-oriented banks. The group's top performer for the period was KHD Humboldt Wedag International Ltd., a Hong-Kong based financial institution that specializes in corporate banking services (0.9% of net assets). The fund also did well to underweight real estate investment trusts, which faltered as short-term interest rates rose.

The fund's technology holdings also contributed to its above-index return. Winners included Brightpoint, Inc., a leading distributor of cell phones, which rose sharply as strong revenues and earnings gains attracted growing investor attention (1.0% of net assets). The fund also profited from its overweight in semiconductor chip and semiconductor capital stocks, which posted sizable gains fueled by dwindling inventories, accelerating production and improved pricing. Among chip makers, MEMC Electronic Materials, Inc. and Standard Microsystems Corp. were the fund's top performers (0.4% and 0.7% of net assets, respectively). MEMC supplies silicon wafers to some of the world's leading semiconductor makers and Standard Microsystems makes input/output chips used by leading computer manufacturers.

The energy sector was another source of strong performance for the fund. We had more exposure than the index to energy, which was one of the market's strongest performers throughout 2005. Strong stock selection within energy also aided return. As record commodity prices fueled sharp sector gains, we shifted away from exploration and production companies and toward energy service companies that we believed could benefit as capital spending increases. Lufkin Industries, Inc., which sells a diversified line of pumps and components, did particularly well (1.1% of net assets). In addition, the fund had a bias toward coal producers whose stock valuations seemed attractive and which did well during the period.

34

The fund gave up some ground relative to the index with its health care holdings. It did not have as much exposure as the index to biotechnology and specialty pharmaceutical stocks, which climbed sharply on new product announcements. We avoided both industries as a matter of policy. Neither met our investment criteria, which emphasizes earnings growth potential. In that regard, the fund owned less volatile stocks, which did not fare as well as the higher-risk segments of the sector. However, we believe our approach to health care is a more prudent strategy over the long term.

Going forward, we believe that small-cap stocks have the potential to keep pace with the overall stock market even though they may no longer have a valuation advantage over large-cap stocks. We have positioned the fund with a bias toward technology and capital goods companies and away from sectors that have historically been vulnerable to a slowdown in consumer spending. Within those sectors, we plan to stay focused on higher quality companies with the potential to grow their businesses and earnings in any market environment.

The fund's top ten holdings (as a percentage of net assets) as of January 31, 2006 were:

	(%)
Watsco		1.3
Lufkin Industries		1.1
Harsco		1.0
Eagle Materials		1.0
Brightpoint		1.0
Precision Castparts		1.0
Pediatrix Medical Group		0.9
KHD Humboldt Wedag International		0.9
MPS Group		0.9
Range Resources		0.9

Thank you for investing in CMG Small Cap Value Fund.

Stephen Barbaro has managed or co-managed the CMG Small Cap Value Fund since the fund's inception and has been with the advisor or its predecessors or affiliate organizations since 1976.

Jeremy Javidi has co-managed the fund since August 2005 and has been with the advisor or its predecessors or affiliate organizations since January 2000.

35

Equity investments are affected by stock market fluctuations that occur in response to economic and business developments.

Investments in small-cap stocks may be subject to greater volatility and price fluctuations because they may be thinly traded and less liquid than investments in larger companies.

Value stocks are stocks of companies that may have experienced adverse business or industry developments or may be subject to special risks that have caused the stocks to be out of favor and, in the advisor's opinion, undervalued. If the advisor's assessment of a company's prospects is wrong, the price of the company's stock may not approach the value the advisor has placed on it.

¹ The Russell 2000 Value Index tracks the performance of those Russell 2000 Index companies with lower price-to-book ratios and lower forecasted growth values. The Russell 2000 Index is an unmanaged index that tracks the performance of the 2,000 smallest of the 3,000 largest U.S. companies based on market capitalization. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in indices. Securities in the fund may not match those in an index.

² ©2006 by Morningstar, Inc. All rights reserved. The information contained herein is the proprietary information of Morningstar, Inc., may not be copied or redistributed for any purpose and may only be used for noncommercial, personal purposes. The information contained herein is not represented or warranted to be accurate, correct, complete or timely. Morningstar, Inc. shall not be responsible for investment decisions, damages or other losses resulting from the use of this information. Past performance is no guarantee of future performance. Morningstar, Inc. has not granted consent for it to be considered or deemed an "expert" under the Securities Act of 1933.

Morningstar Categories compare the performance of funds with similar investment objectives and strategies.

Holdings are calculated as a percentage of net assets, and are subject to change. Because the fund is actively managed, there is no guarantee the fund will continue to maintain the holdings breakdown listed. The fund's holdings and their weights within the portfolio may change as market conditions change.

36

Average annual total return as of January 31, 2006 (%)

	Inception	6-month (cumulative)		1-year		Life
CMG Small Cap Value Fund	05/05/03		9.38		18.86		26.84
Russell 2000 Value Index			6.31		17.93		26.42
Russell 2000 Index			8.50		18.89		25.07

Average annual total return as of December 31, 2005 (%)

	Inception	6-month (cumulative)		1-year		Life
CMG Small Cap Value Fund	05/05/03		6.78		5.80		24.00
Russell 2000 Value Index			3.78		4.71		23.62
Russell 2000 Index			5.88		4.55		21.96

Index performance is from May 5, 2003.

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

Performance results may reflect any voluntary waivers or reimbursement of fund expenses by the advisor or its affiliates. Absent these waivers or reimbursement arrangements, performance results would have been lower. All results shown assume reinvestment of distributions.

Growth of a $10,000 investment, May 5, 2003 to January 31, 2006

The Russell 2000 Value index tracks the performance of those Russell 2000 Index companies with lower price-to-book ratios and lower forecasted growth values. The Russell 2000 Index tracks the performance of the 2000 smallest of the 3,000 largest U.S. companies based on market capitalization. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in indices. Securities in the fund may not match those in an index.

The chart above shows the growth in value of a hypothetical $10,000 investment in the fund compared to the indices during the stated time period, and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

37

UNDERSTANDING YOUR EXPENSES — CMG Small Cap Value Fund

As a fund shareholder, you incur two types of costs. There are transaction costs and also ongoing costs, which generally include investment advisory fees and other fund expenses. The information on this page is intended to help you understand your ongoing costs of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.

Analyzing your fund's expenses

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors during the reporting period. The information in the following table is based on an initial investment of $1,000, which is invested at the beginning of the reporting period and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the "actual" column is calculated using the fund's actual operating expenses and total return for the period. The amount listed in the "hypothetical" column assumes that the return each year is 5% before expenses and includes the fund's actual expense ratio. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during this reporting period.

Estimating your actual expenses

To estimate the expenses that you paid over the period, first you will need your account balance at the end of the period:

1.  Divide your ending account balance by $1,000. For example, if an account balance was $8,600 at the end of the period, the result would be 8.6.

2.  In the section of the table below titled "Expenses paid during the period," locate the amount under "actual." Multiply this number by the result from step 1. Your answer is an estimate of the expenses you paid on your account during the period.

August 1, 2005 – January 31, 2006

Account value at the beginning of the period ($)				Account value at the end of the period ($)				Expenses paid during the period ($)				Fund's annualized expense ratio (%)
Actual		Hypothetical		Actual		Hypothetical		Actual		Hypothetical
	1,000.00		1,000.00		1,093.81		1,021.17		4.22		4.08		0.80

Expenses paid during the period are equal to the fund's annualized expense ratio of 0.80%, multiplied by the average account value over the period, then multiplied by the number of days in the fund's most recent fiscal half-year and divided by 365.

Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

It is important to note that the expense amounts shown in the table are meant to highlight only ongoing costs of investing in the fund and do not reflect any transaction costs, such as sales charges, redemption or exchange fees. Therefore, the hypothetical examples provided may not help you determine the relative total costs of owning shares of different funds. If these transaction costs were included, your costs would have been higher.

38

Compare with other funds

Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the fund with other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the continuing costs of investing in a fund and do not reflect any transaction costs, such as sales charges or redemption or exchange fees.

39

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE

CMG Small/Mid Cap Fund returned 16.65% for the six-month period ended January 31, 2006, outpacing both the Russell 2500 Growth Index and the Russell 2500 Index¹, which returned 10.29% and 7.96%, respectively. The fund also surpassed the average return of the Morningstar Mid-Cap Growth Category, which was 10.59%² for the same period.

In an environment that was generally favorable for small- and mid-cap stocks, stock selection across a variety of sectors aided returns. Within information technology, Micromuse, Inc. advanced 75% during the period on news of its acquisition. Broadcom Corp. benefited from several design wins in high volume markets and an ability to maintain higher-than-expected gross margins that translated into strong profit growth (1.2% of net assets). Broadcom makes integrated circuits, which are used for digital set-top boxes, cable modems, servers and local-area and home networking gear. Semiconductor designer Marvell Technology Group Ltd. continued to dominate its markets and grow at rates that surpassed investor expectations (1.0% of net assets). SiRF Technology Holdings Inc., a supplier of chipsets for global positioning systems for consumer and business applications, also performed well (1.0% of net assets). Ixia was a disappointment, f alling 36% as orders slipped (0.5% of net assets). We used this opportunity to add to the fund's position in the stock because we believe that long-term prospects remain compelling.

Stock selection and an overweight position in the industrials sector also enhanced performance. A constructive outlook on machinery stocks warranted the fund's sizeable positions in Terex Corp. and Joy Global, Inc., which benefited from their exposure to mining and construction customers (1.5% and 1.5% of net assets, respectively). Ceradyne, Inc., which develops ceramic products and components, benefited from a ramp up in military orders for body and vehicle armor (1.9% of net assets).

The health care sector was another area of outperformance. Amylin Pharmaceuticals, Inc., surged as Byetta, a new drug treating patients with type-2 diabetes, experienced strong initial demand (0.7% of net assets). HealthExtras, Inc., a pharmacy benefits manager, continued to win new business from its larger competitors (1.6% of net assets). On the downside, we sold Kinetic Concepts, Inc. as litigation issues, slower growth and higher expenses took a toll on profit growth.

Participation in the energy sector had a positive impact on fund performance. Southwestern Energy Co. benefited from high natural gas prices, and Arch Coal, Inc.'s performance received a boost from its production out of the Powder River Basin (0.9% and 0.7% of net assets, respectively). We sold Teekay Shipping Corp. from the portfolio on concerns about future incremental supply of tankers.

The fund experienced losses in the consumer staples and consumer discretionary sectors. Corn Products International, Inc. suffered from reduced profit expectations and was sold from the portfolio, and Tyson Foods, Inc. struggled to improve margins (0.2% of net assets). XM Satellite Radio Holdings, Inc. (0.8% of net assets) declined as investors worried about the competitive impact from Sirius Satellite Radio, Inc. We sold Tempur-Pedic International, Inc. from the portfolio due to concerns about competitive pricing that could lead to slower profit growth. A bright spot was VistaPrint Ltd., a supplier of customized printed products for consumers and small businesses (0.9% of net assets). The stock soared 98%, and we are optimistic about the size of its potential market.

We continue to believe that the economy is growing at a healthy rate and that inflation is relatively contained. We remain bullish on the energy and materials sectors for long-term

40

structural reasons and continue to hold a number of later-cycle positions in the industrial sector. Accordingly, we are watchful for signs of decelerating growth that could provoke a reassessment of the strength and duration of the current economic expansion. Finally, we believe that the interest rate environment and valuations are supportive of traditional growth stocks relative to value stocks, and we continue to seek candidates with strong earnings prospects and attractive valuations.

The fund's top ten holdings (as a percentage of net assets) as of January 31, 2006 were:

	(%)
Ceradyne		1.9
Affiliated Managers Group		1.7
HealthExtras		1.6
Joy Global		1.5
Terex		1.5
Wabtec		1.4
Potash Corp. of Saskatchewan		1.3
Broadcom		1.2
Euronet Worldwide		1.2
Chico's FAS		1.1

We appreciate your continued confidence in the CMG Small/Mid Cap Fund.

Kenneth A. Korngiebel has managed the CMG Small/Mid Cap Fund since June 2004 and has been with the advisor or its predecessors or affiliate organizations since 1996.

Equity investments are affected by stock market fluctuations that occur in response to economic and business developments.

Investing in growth stocks incurs the possibility of losses because their prices are sensitive to changes in current or expected earnings.

Investments in small- and mid-cap stocks may present special risks. They tend to be more volatile and may be less liquid than the stocks of larger companies. Small-cap stocks often have narrower markets, limited financial resources and tend to be more thinly traded than stocks of larger companies.

¹ The Russell 2500 Growth Index measures the performance of those Russell 2500 Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell 2500 Index tracks the performance of the 2,500 smallest companies of the Russell 3000 Index. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

² ©2006 by Morningstar, Inc. All rights reserved. The information contained herein is the proprietary information of Morningstar, Inc., may not be copied or redistributed for any purpose and may only be used for noncommercial, personal purposes. The information contained herein is not represented or warranted to be accurate, correct, complete or timely. Morningstar, Inc. shall not be responsible for investment decisions, damages or other losses resulting from the use of this information. Past performance is no guarantee of future performance. Morningstar, Inc. has not granted consent for it to be considered or deemed an "expert" under the Securities Act of 1933.

Morningstar Categories compare the performance of funds with similar investment objectives and strategies.

Holdings are calculated as a percentage of net assets, and are subject to change. Because the fund is actively managed, there is no guarantee the fund will continue to maintain the holdings breakdown listed. The fund's holdings and their weights within the portfolio may change as market conditions change.

41

Average annual total return as of January 31, 2006 (%)

	Inception	6-month (cumulative)		1-year		5-year		Life
CMG Small/Mid Cap Fund	12/01/00		16.65		31.54		4.45		5.83
Russell 2500 Growth Index			10.29		20.62		2.99		5.36
Russell 2500 Index			7.96		19.78		9.93		12.05

Average annual total return as of December 31, 2005 (%)

	Inception	6-month (cumulative)		1-year		5-year		Life
CMG Small/Mid Cap Fund	12/01/00		12.43		15.76		2.30		3.87
Russell 2500 Growth Index			9.18		8.17		2.78		3.95
Russell 2500 Index			6.78		8.11		9.14		10.76

Index performance is from December 1, 2000.

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

Performance results may reflect any reimbursement of fund expenses by the advisor or its affiliates. Absent these reimbursement arrangements, performance results would have been lower. All results shown assume reinvestment of distributions.

Growth of a $10,000 investment, December 1, 2000 to January 31, 2006

The Russell 2500 Growth Index measures the performance of those Russell 2500 Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell 2500 Index tracks the performance of the 2,500 smallest companies of the Russell 3000 Index. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in indices. Securities in the fund may not match those in an index.

The chart above shows the growth in value of a hypothetical $10,000 investment in the fund compared to the indices during the stated time period, and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

42

UNDERSTANDING YOUR EXPENSES — CMG Small/Mid Cap Fund

As a fund shareholder, you incur two types of costs. There are transaction costs and also ongoing costs, which generally include investment advisory fees and other fund expenses. The information on this page is intended to help you understand your ongoing costs of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.

Analyzing your fund's expenses

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors during the reporting period. The information in the following table is based on an initial investment of $1,000, which is invested at the beginning of the reporting period and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the "actual" column is calculated using the fund's actual operating expenses and total return for the period. The amount listed in the "hypothetical" column assumes that the return each year is 5% before expenses and includes the fund's actual expense ratio. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during this reporting period.

Estimating your actual expenses

To estimate the expenses that you paid over the period, first you will need your account balance at the end of the period:

1.  Divide your ending account balance by $1,000. For example, if an account balance was $8,600 at the end of the period, the result would be 8.6.

2.  In the section of the table below titled "Expenses paid during the period," locate the amount under "actual." Multiply this number by the result from step 1. Your answer is an estimate of the expenses you paid on your account during the period.

August 1, 2005 – January 31, 2006

Account value at the beginning of the period ($)				Account value at the end of the period ($)				Expenses paid during the period ($)				Fund's annualized expense ratio (%)
Actual		Hypothetical		Actual		Hypothetical		Actual		Hypothetical
	1,000.00		1,000.00		1,166.56		1,021.42		4.10		3.82		0.75

Expenses paid during the period are equal to the fund's annualized expense ratio of 0.75%, multiplied by the average account value over the period, then multiplied by the number of days in the fund's most recent fiscal half-year and divided by 365.

Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

It is important to note that the expense amounts shown in the table are meant to highlight only ongoing costs of investing in the fund and do not reflect any transaction costs, such as sales charges, redemption or exchange fees. Therefore, the hypothetical examples provided may not help you determine the relative total costs of owning shares of different funds. If these transaction costs were included, your costs would have been higher.

43

Compare with other funds

Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the fund with other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the continuing costs of investing in a fund and do not reflect any transaction costs, such as sales charges or redemption or exchange fees.

44

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for most recent daily and month-end performance updates.

CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE

For the six-month period ended January 31, 2006, CMG International Stock Fund returned 19.30%. It outperformed the MSCI EAFE Index¹, which posted an 18.31% return during the period, but underperformed the average return of the Morningstar Foreign Large Blend Category, which was 19.43%.² The fund's out-of-benchmark weight in emerging markets aided relative performance, as emerging markets outperformed all other global markets during the six months. The portfolio also benefited from an above-index weight in Japan, the best-performing developed market.

Throughout 2005, we saw a marked improvement in investor sentiment toward Japan, as the re-election of Prime Minister Koizumi lifted hopes for economic reforms. The portfolio's two top performers were Japanese stocks Komatsu Ltd., a manufacturer of heavy equipment, and Yamada Denki Co., Ltd. a consumer electronics retailer (0.9% and 0.6% of net assets, respectively). We invested in Komatsu because we believed that the market had underestimated the company's growth potential from a recovery in infrastructure spending from incremental orders for US highway construction projects. We were drawn to Yamada Denki because of its good brand recognition, superior business model and industry bargaining power. We also believed that the company's potential for cash-flow generation was underappreciated by themarket.

The fund's performance was also aided by a decision to underweight the United Kingdom (UK). A relatively tight monetary policy had a negative impact on UK stocks and the UK was one of the worst-performing markets for the period.

As international markets moved higher, prices on certain stocks were bid up well beyond what we believed they deserved on the basis of their earnings potential. As a result, our focus on stocks with attractive valuations, which is a key component of the fund's investment strategy, kept us out of some big performers. Softbank Corp., a Japanese Internet incubator company, is an example of a stock that looked expensive, but which had tremendous performance for the index. We did not own steel companies, which rallied because of strong demand from China. An underweight in materials also held back return, as did stock selection within the sector.

On a more positive note, paring back the energy position and locking in gains before energy prices began to decline boosted performance. EnCana Corp., one of the largest oil and gas exploration companies in North America was particularly strong through September, but then sold off sharply for the remainder of the period (0.5% of net assets). The company's annual production growth and operating margins were substantially above its industry peers, and it was rewarded with a significantly higher return.

45

Other individual contributors included CapitaLand Ltd., a Singapore-based real estate company, which benefited from property price inflation throughout Asia, and Atlas Copco AB, a Swedish industrial company, which was buoyed by strong global demand for machinery and mining equipment (0.7% and 0.7% of net assets, respectively).

We believe that relatively low global interest rates, modest inflation and continued global economic growth has the potential to support the equity markets over the next several months. We think that the emerging markets may continue to have some of the best opportunities for growth and we plan to maintain the fund's out-of-benchmark weight in that sector. After the dollar's strong run-up in 2005, we believe that it could decline over the next several months. A lower dollar should be positive for US-based investors, because the value of their investments would be enhanced when converted back to a weaker currency.

The fund's top ten holdings and countries (as a percentage of net assets) as of January 31, 2006 were:

Holdings	(%)		Countries	(%)
Nestle		1.9	Japan		27.2
BP		1.8	United Kingdom		16.8
Toyota Motor		1.8	France		9.0
Total		1.7	Germany		8.9
E.ON		1.6	Switzerland		7.5
ENI		1.6	Spain		3.1
Banco Bilbao Vizcaya Argentaria		1.5	Sweden		2.9
Barclays		1.5	Finland		2.9
Nokia		1.4	Norway		2.7
BASF		1.4	Singapore		2.4

We appreciate your continued confidence in the CMG International Stock Fund.

Fred Copper has managed or co-managed the CMG International Stock Fund since October 2005 and has been with the advisor or its predecessors since 2005.

Equity investments are affected by stock market fluctuations that occur in response to economic and business developments.

International investing involves special risks, including foreign taxation, currency fluctuation, risks associated with possible differences in financial standards and other monetary and political risks.

A concentration of investments in a specific sector, such as the technology sector, may cause the fund to experience increased volatility.

46

¹ The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the US and Canada. The Morgan Stanley Capital International (MSCI) All Country (AC) World ex U.S. Index is an unmanaged index of global stock market performance that includes developed and emerging markets but excludes the U.S. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

² ©2006 by Morningstar, Inc. All rights reserved. The information contained herein is the proprietary information of Morningstar, Inc., may not be copied or redistributed for any purpose and may only be used for noncommercial, personal purposes. The information contained herein is not represented or warranted to be accurate, correct, complete or timely. Morningstar, Inc. shall not be responsible for investment decisions, damages or other losses resulting from the use of this information. Past performance is no guarantee of future performance. Morningstar, Inc. has not granted consent for it to be considered or deemed an "expert" under the Securities Act of 1933.

Morningstar Categories compare the performance of funds with similar investment objectives and strategies.

Holdings and country breakdowns are disclosed as a percentage of net assets, and are subject to change. Because the fund is actively managed, there is no guarantee the fund will continue to maintain the holdings and country breakdown listed. The fund's holdings and their weights within the portfolio may change as market conditions change.

47

Average annual total return as of January 31, 2006 (%)

	Inception	6-month (cumulative)		1-year		5-year		10-year
CMG International Stock Fund	02/01/94		19.30		23.15		5.13		8.12
MSCI EAFE Index			18.31		22.76		5.82		6.43
MSCI All Country World ex US Index			20.44		27.47		7.79		7.27

Average annual total return as of December 31, 2005 (%)

	Inception	6-month (cumulative)		1-year		5-year		10-year
CMG International Stock Fund	02/01/94		15.61		12.82		3.61		7.64
MSCI EAFE Index			14.88		13.54		4.55		5.84
MSCI All Country World ex US Index			16.74		17.11		6.66		6.70

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

Performance results may reflect any voluntary waivers or reimbursement of fund expenses by the advisor or its affiliates. Absent these waivers or reimbursement arrangements, performance results would have been lower. All results shown assume reinvestment of distributions.

Growth of a $10,000 investment, February 1, 1996 to January 31, 2006

The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the US and Canada. The Morgan Stanley Capital International (MSCI) All Country (AC) World ex U.S. Index is an unmanaged index of global stock market performance that includes developed and emerging markets but excludes the U.S. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

The chart above shows the growth in value of a hypothetical $10,000 investment in the fund compared to the indices during the stated time period, and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

48

UNDERSTANDING YOUR EXPENSES — CMG International Stock Fund

As a fund shareholder, you incur two types of costs. There are transaction costs and also ongoing costs, which generally include investment advisory fees and other fund expenses. The information on this page is intended to help you understand your ongoing costs of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.

Analyzing your fund's expenses

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors during the reporting period. The information in the following table is based on an initial investment of $1,000, which is invested at the beginning of the reporting period and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the "actual" column is calculated using the fund's actual operating expenses and total return for the period. The amount listed in the "hypothetical" column assumes that the return each year is 5% before expenses and includes the fund's actual expense ratio. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during this reporting period.

Estimating your actual expenses

To estimate the expenses that you paid over the period, first you will need your account balance at the end of the period:

1.  Divide your ending account balance by $1,000. For example, if an account balance was $8,600 at the end of the period, the result would be 8.6.

2.  In the section of the table below titled "Expenses paid during the period," locate the amount under "actual." Multiply this number by the result from step 1. Your answer is an estimate of the expenses you paid on your account during the period.

August 1, 2005 – January 31, 2006

Account value at the beginning of the period ($)			Account value at the end of the period ($)				Expenses paid during the period ($)				Fund's annualized expense ratio (%)
Actual		Hypothetical	Actual		Hypothetical		Actual		Hypothetical
	1,000.00	1,000.00		1,193.02		1,021.42		4.15		3.82		0.75

Expenses paid during the period are equal to the fund's annualized expense ratio of 0.75%, multiplied by the average account value over the period, then multiplied by the number of days in the fund's most recent fiscal half-year and divided by 365.

Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

It is important to note that the expense amounts shown in the table are meant to highlight only ongoing costs of investing in the fund and do not reflect any transaction costs, such as sales charges, redemption or exchange fees. Therefore, the hypothetical examples provided may not help you determine the relative total costs of owning shares of different funds. If these transaction costs were included, your costs would have been higher.

49

Compare with other funds

Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the fund with other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the continuing costs of investing in a fund and do not reflect any transaction costs, such as sales charges or redemption or exchange fees.

50

CMG ENHANCED S&P 500^® INDEX FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS

(For a Fund Share Outstanding Throughout Each Period)

	(Unaudited) Six Months Ended									Period Ended
	January 31,			Year Ended July 31,						July 31,
	2006			2005			2004			2003 (a)
Net asset value, beginning of period	$	13.49		$	11.97		$	10.73		$	10.00
Income from investment operations:
Net investment income (b)		0.11			0.24	(c)		0.17			0.04
Net realized and unrealized gain on investments		0.74			1.58			1.13			0.69
Total from investment operations		0.85			1.82			1.30			0.73
Less distributions declared to shareholders:
From net investment income		(0.25	)		(0.20	)		(0.05	)		-
From net realized gains		(0.71	)		(0.10	)		(0.01	)		-
Total distributions declared to shareholders		(0.96	)		(0.30	)		(0.06	)		-
Net asset value, end of period	$	13.38		$	13.49		$	11.97		$	10.73
Total return (d)(e)		6.44	%(f)		15.32	%		12.08	%		7.30	%(f)
Ratios/Supplemental data:
Net assets, end of period (000's)	$	86,919		$	91,633		$	98,247		$	9,134
Ratio of operating expenses to average net assets		0.25	%(g)		0.25	%		0.25	%		0.25	%(g)
Ratio of interest expense to average net assets		-	%(g)(h)		-			-			-
Ratio of net expenses to average net assets		0.25	%(g)		0.25	%		0.25	%		0.25	%(g)
Ratio of net investment income to average net assets		1.68	%(g)		1.91	%		1.43	%		1.50	%(g)
Reimbursement		0.05	%(g)		0.04	%		0.05	%		1.37	%(g)
Portfolio turnover rate		28	%(f)		49	%		60	%		2	%(f)

(a)  The Fund commenced investment operations on May 5, 2003. Per share data, total return and portfolio turnover rate reflect activity from that date.

(b)  Per share data was calculated using average shares outstanding during the period.

(c)  Net investment income per share reflects a special dividend. The effect of this dividend amounted to $0.04 per share.

(d)  Total return at net asset value assuming all distributions reinvested.

(e)  Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

(f)  Not annualized.

(g)  Annualized.

(h) Rounds to less than 0.01%.

See Accompanying Notes to Financial Statements.

51

CMG LARGE CAP GROWTH FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS

(For a Fund Share Outstanding Throughout Each Period)

	(Unaudited) Six Months Ended January 31, 2006			Year Ended July 31, 2005			Period Ended July 31, 2004 (a)
Net asset value, beginning of period	$	11.65		$	10.25		$	10.00
Income from investment operations:
Net investment income (b)		0.03			0.12	(c)		0.03
Net realized and unrealized gain on investments		0.79			1.37			0.23
Total from investment operations		0.82			1.49			0.26
Less distributions declared to shareholders:
From net investment income		(0.08	)		(0.09	)		(0.01	)
From net realized gains		(0.66	)		-			-
Total distributions declared to shareholders		(0.74	)		(0.09	)		(0.01	)
Net asset value, end of period	$	11.73		$	11.65		$	10.25
Total return (d)(e)		7.20	%(f)		14.55	%		2.57	%(f)
Ratios/Supplemental data:
Net assets, end of period (000's)	$	38,255		$	40,312		$	40,684
Ratio of operating expenses to average net assets		0.50	%(g)		0.50	%		0.50	%(g)
Ratio of interest expense to average net assets		-	%(g)(h)		-			-
Ratio of net expenses to average net assets		0.50	%(g)		0.50	%		0.50	%(g)
Ratio of net investment income to average net assets		0.49	%(g)		1.07	%		0.31	%(g)
Reimbursement		0.12	%(g)		0.07	%		0.14	%(g)
Portfolio turnover rate		65	%(f)		120	%		114	%(f)

(a)  The Fund commenced investment operations on September 10, 2003. Per share data, total return and portfolio turnover rate reflect activity from that date.

(b)  Per share data was calculated using average shares outstanding during the period.

(c)  Net investment income per share reflects a special dividend. The effect of this dividend amounted to $0.05 per share.

(d)  Total return at net asset value assuming all distributions reinvested.

(e)  Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

(f) Not annualized.

(g) Annualized.

(h) Rounds to less than 0.01%.

See Accompanying Notes to Financial Statements.

52

CMG LARGE CAP VALUE FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS

(For a Fund Share Outstanding Throughout Each Period)

	(Unaudited) Six Months Ended January 31, 2006			Year Ended July 31, 2005			Period Ended July 31, 2004 (a)
Net asset value, beginning of period	$	12.54		$	11.09		$	10.00
Income from investment operations:
Net investment income (b)		0.11			0.24			0.18
Net realized and unrealized gain on investments		0.78			1.46			0.93
Total from investment operations		0.89			1.70			1.11
Less distributions declared to shareholders:
From net investment income		(0.28	)		(0.22	)		(0.02	)
From net realized gains		(1.51	)		(0.03	)		-
Total distributions declared to shareholders		(1.79	)		(0.25	)		(0.02	)
Net asset value, end of period	$	11.64		$	12.54		$	11.09
Total return (c)(d)		7.54	%(e)(f)		15.41	%(g)		11.15	%(e)
Ratios/Supplemental data:
Net assets, end of period (000's)	$	36,722		$	38,731		$	47,855
Ratio of net expenses to average net assets		0.50	%(h)		0.50	%		0.50	%(h)
Ratio of net investment income to average net assets		1.69	%(h)		1.99	%		1.86	%(h)
Reimbursement		0.12	%(h)		0.07	%		0.14	%(h)
Portfolio turnover rate		62	%(e)		45	%		46	%(e)

(a)  The Fund commenced investment operations on September 10, 2003. Per share data, total return and portfolio turnover rate reflect activity from that date.

(b)  Per share data was calculated using average shares outstanding during the period.

(c)  Total return at net asset value assuming all distributions reinvested.

(d)  Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

(e)  Not annualized.

(f)  Total return includes a voluntary reimbursement by the Investment Advisor for a realized investment loss due to a trading error. This reimbursement had an impact of less than 0.01% on the Fund's total return.

(g)  Total return includes a reimbursement of loss experienced by the Fund due to a compliance violation. The reimbursement had an impact of less than 0.01% on the Fund's total return.

(h)  Annualized.

See Accompanying Notes to Financial Statements.

53

CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS

(For a Fund Share Outstanding Throughout Each Period)

	(Unaudited) Six Months Ended									Period Ended
	January 31,			Year Ended July 31,						July 31,
	2006			2005			2004			2003 (a)
Net asset value, beginning of period	$	14.15		$	11.04		$	10.93		$	10.00
Income from investment operations:
Net investment loss (b)		-	(c)		(0.03	)		(0.05	)		(0.01	)
Net realized and unrealized gain on investments		2.38			3.14			0.17			0.94
Total from investment operations		2.38			3.11			0.12			0.93
Less distributions declared to shareholders:
From net realized gains		(0.38	)		-			(0.01	)		-
Net asset value, end of period	$	16.15		$	14.15		$	11.04		$	10.93
Total return (d)(e)		17.04	% (f)		28.17	%		1.06	%		9.30	% (f)
Ratios/Supplemental data:
Net assets, end of period (000's)	$	26,227		$	24,881		$	19,284		$	2,161
Ratio of net expenses to average net assets		0.70	% (g)		0.70	%		0.70	%		0.70	% (g)
Ratio of net investment loss to average net assets		(0.06	)%(g)		(0.21	)%		(0.38	)%		(0.44	)%(g)
Reimbursement		0.18	% (g)		0.21	%		0.22	%		3.85	% (g)
Portfolio turnover rate		25	% (f)		141	%		169	%		23	% (f)

(a)  The Fund commenced investment operations on May 5, 2003. Per share data, total return and portfolio turnover rate reflect activity from that date.

(b)  Per share data was calculated using average shares outstanding during the period.

(c)  Rounds to less than $0.01 per share.

(d)  Total return at net asset value assuming all distributions reinvested.

(e)  Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

(f)  Not annualized.

(g)  Annualized.

See Accompanying Notes to Financial Statements.

54

CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS

(For a Fund Share Outstanding Throughout Each Period)

	(Unaudited) Six Months Ended									Period Ended
	January 31,			Year Ended July 31,						July 31,
	2006			2005			2004			2003 (a)
Net asset value, beginning of period	$	15.17		$	12.58		$	10.69		$	10.00
Income from investment operations:
Net investment income (b)		0.08			0.11			0.07			0.01
Net realized and unrealized gain on investments		1.15			2.66			1.84			0.68
Total from investment operations		1.23			2.77			1.91			0.69
Less distributions declared to shareholders:
From net investment income		(0.16	)		(0.09	)		(0.02	)		-
From net realized gains		(2.28	)		(0.09	)		-	(c)		-
Total distributions declared to shareholders		(2.44	)		(0.18	)		(0.02	)		-
Net asset value, end of period	$	13.96		$	15.17		$	12.58		$	10.69
Total return (d)(e)		8.84	%(f)		22.14	%		17.91	%		6.90	%(f)
Ratios/Supplemental data:
Net assets, end of period (000's)	$	18,422		$	21,277		$	21,994		$	2,651
Ratio of net expenses to average net assets		0.70	%(g)		0.70	%		0.70	%		0.70	%(g)
Ratio of net investment income to average net assets		1.08	%(g)		0.78	%		0.54	%		0.49	%(g)
Reimbursement		0.23	%(g)		0.19	%		0.20	%		3.61	%(g)
Portfolio turnover rate		26	%(f)		59	%		9	%		2	%(f)

(a)  The Fund commenced investment operations on May 5, 2003. Per share data, total return and portfolio turnover rate reflect activity from that date.

(b)  Per share data was calculated using average shares outstanding during the period.

(c)  Rounds to less than $0.01 per share.

(d)  Total return at net asset value assuming all distributions reinvested.

(e)  Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

(f)  Not annualized.

(g)  Annualized.

See Accompanying Notes to Financial Statements.

55

CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS

(For a Fund Share Outstanding Throughout Each Period)

	(Unaudited) Six Months Ended									Period Ended
	January 31,			Year Ended July 31,						July 31,
	2006			2005			2004			2003 (a)
Net asset value, beginning of period	$	13.56		$	11.99		$	11.53		$	10.00
Income from investment operations:
Net investment loss (b)		(0.04	)		(0.07	)		(0.08	)		(0.02	)
Net realized and unrealized gain on investments		1.85			2.38			1.35			1.55
Total from investment operations		1.81			2.31			1.27			1.53
Less distributions declared to shareholders:
From net realized gains		(1.77	)		(0.74	)		(0.81	)		-
Net asset value, end of period	$	13.60		$	13.56		$	11.99		$	11.53
Total return (c)(d)		14.74	% (e)		19.47	%		10.74	%		15.30	% (e)
Ratios/Supplemental data:
Net assets, end of period (000's)	$	41,190		$	38,645		$	35,727		$	21,006
Ratio of operating expenses to average net assets		0.80	% (f)		0.80	%		0.80	%		0.80	% (f)
Ratio of interest expense to average net assets		-	% (f)(g)		-			-			-
Ratio of net expenses to average net assets		0.80	% (f)		0.80	%		0.80	%		0.80	% (f)
Ratio of net investment loss to average net assets		(0.60	)%(f)		(0.56	)%		(0.60	)%		(0.62	)%(f)
Reimbursement		0.12	% (f)		0.12	%		0.10	%		0.35	% (f)
Portfolio turnover rate		141	% (e)		48	%		66	%		37	% (e)

(a)  The Fund commenced investment operations on May 5, 2003. Per share data, total return and portfolio turnover rate reflect activity from that date.

(b)  Per share data was calculated using average shares outstanding during the period.

(c)  Total return at net asset value assuming all distributions reinvested.

(d)  Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

(e)  Not annualized.

(f)  Annualized.

(g)  Rounds to less than 0.01%.

See Accompanying Notes to Financial Statements.

56

CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS

(For a Fund Share Outstanding Throughout Each Period)

	(Unaudited) Six Months Ended									Period Ended
	January 31,			Year Ended July 31,						July 31,
	2006			2005			2004			2003 (a)
Net asset value, beginning of period	$	16.06		$	13.91		$	11.29		$	10.00
Income from investment operations:
Net investment income (b)		0.04			0.11			0.11			0.02
Net realized and unrealized gain on investments		1.32			3.11			2.79			1.27
Total from investment operations		1.36			3.22			2.90			1.29
Less distributions declared to shareholders:
From net investment income		(0.13	)		(0.10	)		(0.06	)		-
From net realized gains		(1.77	)		(0.97	)		(0.22	)		-
Total distributions declared to shareholders		(1.90	)		(1.07	)		(0.28	)		-
Net asset value, end of period	$	15.52		$	16.06		$	13.91		$	11.29
Total return (c)(d)		9.38	%(e)(f)		23.57	%		25.79	%		12.90	%(e)
Ratios/Supplemental data:
Net assets, end of period (000's)	$	37,661		$	36,989		$	40,356		$	21,356
Ratio of operating expenses to average net assets		0.80	%(g)		0.80	%		0.80	%		0.80	%(g)
Ratio of interest expense to average net assets		-	%(g)(h)		-			-			-
Ratio of net expenses to average net assets		0.80	%(g)		0.80	%		0.80	%		0.80	%(g)
Ratio of net investment income to average net assets		0.56	%(g)		0.77	%		0.82	%		0.66	%(g)
Reimbursement		0.12	%(g)		0.12	%		0.09	%		0.36	%(g)
Portfolio turnover rate		17	%(e)		41	%		53	%		5	%(e)

(a)  The Fund commenced investment operations on May 5, 2003. Per share data, total return and portfolio turnover rate reflect activity from that date.

(b)  Per share data was calculated using average shares outstanding during the period.

(c)  Total return at net asset value assuming all distributions reinvested.

(d)  Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

(e)  Not annualized.

(f)  Total return includes a voluntary reimbursement by the Investment Advisor for a realized investment loss due to a trading error. This reimbursement had an impact of less than 0.01% on the Fund's total return.

(g)  Annualized.

(h)  Rounds to less than 0.01%.

See Accompanying Notes to Financial Statements.

57

CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS

(For a Fund Share Outstanding Throughout Each Period)

	(Unaudited) Six Months Ended									Period Ended			Year Ended			Period Ended
	January 31,			Year Ended July 31,						July 31,			October 31,			October 31,
	2006			2005			2004			2003 (a)			2002			2001 (b)
Net asset value, beginning of period	$	11.49		$	8.77		$	8.30		$	6.96		$	8.00		$	10.00
Income from investment operations:
Net investment loss		(0.03	)(c)		(0.04	)(c)		(0.05	)(c)		(0.03	)(c)		(0.04	)(c)		(0.02	)
Net realized and unrealized gain (loss) on investments		1.82			2.76			0.52			1.37			(1.00	)		(1.98	)
Total from investment operations		1.79			2.72			0.47			1.34			(1.04	)		(2.00	)
Less distributions declared to shareholders:
From net realized gains		(1.27	)		-			-			-			-			-
Net asset value, end of period	$	12.01		$	11.49		$	8.77		$	8.30		$	6.96		$	8.00
Total return (d)(e)		16.65	% (f)		31.01	%		5.66	%		19.25	% (f)		(13.00	)%		(20.00	)%(f)
Ratios/Supplemental data:
Net assets, end of period (000's)	$	15,290		$	38,755		$	50,662		$	73,926		$	54,769		$	49,391
Ratio of net expenses to average net assets		0.75	% (g)		0.75	%		0.75	%		0.78	% (g)(h)		0.80	% (h)		0.80	% (g)(h)
Ratio of net investment loss to average net assets		(0.47	)%(g)		(0.37	)%		(0.49	)%		(0.50	)%(g)(h)		(0.45	)%(h)		(0.23	)%(g)(h)
Reimbursement		0.14	% (g)		0.09	%		0.06	%		0.06	% (g)		0.06	%		0.17	% (g)
Portfolio turnover rate		59	% (f)		170	%		91	%		84	% (f)		125	%		167	% (f)

(a)  The Fund changed its fiscal year end from October 31 to July 31.

(b)  The Fund commenced investment operations on December 1, 2000. Per share data, total return and portfolio turnover rate reflect activity from that date.

(c)  Per share data was calculated using average shares outstanding during the period.

(d)  Total return at net asset value assuming all distributions reinvested.

(e)  Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

(f)  Not annualized.

(g)  Annualized.

(h)  The benefits derived from custody credits had an impact of less than 0.01%.

See Accompanying Notes to Financial Statements.

58

CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS

(For a Fund Share Outstanding Throughout Each Period)

	(Unaudited) Six Months Ended									Period Ended
	January 31,			Year Ended July 31,						July 31,			Year Ended October 31,
	2006			2005			2004			2003 (a)			2002			2001			2000
Net asset value, beginning of period	$	13.76		$	12.17		$	10.33		$	9.32		$	10.42		$	16.20		$	17.86
Income from investment operations:
Net investment income		0.06	(b)		0.19	(b)		0.14	(b)		0.11	(b)		0.02	(b)		0.03			0.04
Net realized and unrealized gain (loss) on investments,   foreign currency and   foreign capital gains tax		2.46			1.79			1.76			0.95			(1.09	)		(3.09	)		(0.36	)
Total from investment operations		2.52			1.98			1.90			1.06			(1.07	)		(3.06	)		(0.32	)
Less distributions declared to shareholders:
From net investment income.		(0.27	)		(0.10	)		(0.06	)		(0.05	)		(0.03	)		-			-
From net realized gains.		(1.97	)		(0.29	)		-			-			-			(2.72	)		(1.34	)
Total distributions declared to shareholders		(2.24	)		(0.39	)		(0.06	)		(0.05	)		(0.03	)		(2.72	)		(1.34	)
Net asset value, end of period	$	14.04		$	13.76		$	12.17		$	10.33		$	9.32		$	10.42		$	16.20
Total return (c)		19.30	%(d)(e)		16.31	%(d)		18.40	%(d)		11.39	%(d)(e)		(10.28	)%		(22.46	)%		(3.58	)%
Ratios/Supplemental data:
Net assets, end of period (000's)	$	115,281		$	136,144		$	152,251		$	58,488		$	20,616		$	20,553		$	22,975
Ratio of operating expenses to average net assets		0.75	%(f)		0.75	%		0.75	%		0.93	%(f)(g)		1.31	%(g)		1.26	%(g)		1.11	%(g)
Ratio of interest expense to average net assets		0.01	%(f)		-			-			-			-			-			-
Ratio of net expenses to average net assets		0.76	%(f)		0.75	%		0.75	%		0.93	%(f)(g)		1.31	%(g)		1.26	%(g)		1.11	%(g)
Ratio of net investment income to average net assets		0.82	%(f)		1.47	%		1.16	%		1.50	%(f)(g)		0.21	%(g)		0.29	%(g)		0.12	%(g)
Reimbursement		0.04	%(f)		0.03	%		0.05	%		0.06	%(f)		-			-			-
Portfolio turnover rate		47	%(e)		68	%		91	%		59	%(e)		111	%		117	%		140	%

(a)  The Fund changed its fiscal year end from October 31 to July 31.

(b)  Per share data was calculated using average shares outstanding during the period.

(c)  Total return at net asset value assuming all distributions reinvested.

(d)  Had the Investment Advisor not reimbursed a portion of expenses, total return would have been reduced.

(e)  Not annualized.

(f)  Annualized.

(g)  The benefits derived from custody credits had an impact of less than 0.01%.

See Accompanying Notes to Financial Statements.

59

CMG ENHANCED S&P 500^® INDEX FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

January 31, 2006 (Unaudited)

	Shares		Value
Common Stocks (96.0%)
Consumer Discretionary (10.3%)
Automobiles (0.9%)
Harley-Davidson, Inc.		14,800	$	792,244
Distributors (0.1%)
Genuine Parts Co.		2,300		97,819
Hotels, Restaurants & Leisure (2.1%)
Darden Restaurants, Inc.		14,100		573,306
Hilton Hotels Corp.		3,900		97,227
International Game Technology		3,700		132,386
McDonald's Corp.		25,100		878,751
Starwood Hotels & Resorts Worldwide, Inc.		400		24,324
Yum! Brands, Inc.		2,700		133,569
				1,839,563
Household Durables (0.4%)
Pulte Homes, Inc.		8,400		335,160
Media (2.6%)
CBS Corp.		24,600		642,798
McGraw-Hill Companies, Inc.		7,000		357,280
Time Warner, Inc.		47,300		829,169
Viacom, Inc.,Class B (a)		8,400		348,432
Walt Disney Co.		4,400		111,364
				2,289,043
Multiline Retail (0.9%)
Dollar General Corp.		19,100		322,790
J.C. Penney Co., Inc.		3,500		195,300
Nordstrom, Inc.		5,600		233,632
				751,722
Specialty Retail (3.2%)
Autonation, Inc. (a)		33,200		740,028
AutoZone, Inc. (a)		1,400		136,850
Barnes & Noble, Inc.		6,000		254,520
Gap, Inc.		4,700		85,023
Home Depot, Inc.		23,200		940,760
Limited Brands, Inc.		4,800		113,568
Lowe's Companies, Inc.		300		19,065
Sherwin-Williams Co.		6,100		322,690
Staples, Inc.		7,700		182,567
				2,795,071
Textiles, Apparel & Luxury Goods (0.1%)
Coach, Inc. (a)		1,300		46,735
NIKE, Inc., Class B		500		40,475
				87,210

See Accompanying Notes to Financial Statements.

60

CMG ENHANCED S&P 500^® INDEX FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Consumer Staples (8.9%)
Beverages (2.1%)
Coca-Cola Co.		28,200	$	1,166,916
PepsiCo, Inc.		12,200		697,596
				1,864,512
Food & Staples Retailing (1.4%)
Kroger Co. (a)		13,700		252,080
Safeway, Inc.		8,600		201,584
SUPERVALU, Inc.		3,700		118,141
Sysco Corp.		1,100		33,748
Wal-Mart Stores, Inc.		12,900		594,819
				1,200,372
Food Products (1.3%)
Archer-Daniels-Midland Co.		6,100		192,150
General Mills, Inc.		3,300		160,413
H.J. Heinz Co.		14,700		498,918
Kellogg Co.		2,300		98,670
Tyson Foods, Inc., Class A		12,400		177,692
				1,127,843
Household Products (2.3%)
Clorox Co.		3,800		227,430
Colgate-Palmolive Co.		1,100		60,379
Kimberly-Clark Corp.		4,200		239,904
Procter & Gamble Co.		24,700		1,462,981
				1,990,694
Tobacco (1.8%)
Altria Group, Inc.		10,500		759,570
Reynolds American, Inc.		7,600		768,588
				1,528,158
Energy (10.0%)
Energy Equipment & Services (0.9%)
Baker Hughes, Inc.		2,000		154,880
BJ Services Co.		1,800		72,882
Schlumberger Ltd.		4,200		535,290
				763,052
Oil, Gas & Consumable Fuels (9.1%)
Amerada Hess Corp.		2,200		340,560
Apache Corp.		1,300		98,189
Burlington Resources, Inc.		5,300		483,678
Chevron Corp.		20,300		1,205,414
ConocoPhillips		12,600		815,220
Devon Energy Corp.		7,200		491,112
Exxon Mobil Corp.		50,000		3,137,500
Kerr-McGee Corp.		900		99,351
Marathon Oil Corp.		4,300		330,541

See Accompanying Notes to Financial Statements.

61

CMG ENHANCED S&P 500^® INDEX FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Oil, Gas & Consumable Fuels (continued)
Occidental Petroleum Corp.		1,200	$	117,252
Sunoco, Inc.		3,500		333,200
Valero Energy Corp.		7,300		455,739
				7,907,756
Financials (20.1%)
Capital Markets (4.9%)
Ameriprise Financial, Inc.		1,500		61,035
Bank of New York Co., Inc.		12,600		400,806
Charles Schwab Corp.		13,300		196,707
E*TRADE Financial Corp. (a)		3,900		92,781
Federated Investors, Inc., Class B		5,800		223,938
Franklin Resources, Inc.		3,000		295,500
Goldman Sachs Group, Inc.		2,500		353,125
Lehman Brothers Holdings, Inc.		2,700		379,215
Mellon Financial Corp.		5,000		176,350
Merrill Lynch & Co., Inc.		7,600		570,532
Morgan Stanley		10,200		626,790
Northern Trust Corp.		4,900		255,829
State Street Corp.		8,100		489,726
T. Rowe Price Group, Inc.		1,900		145,217
				4,267,551
Commercial Banks (2.4%)
BB&T Corp.		2,400		93,696
KeyCorp		2,900		102,631
M&T Bank Corp.		1,000		108,300
National City Corp.		4,500		153,810
U.S. Bancorp		22,800		681,948
UnionBanCal Corp.		600		40,254
Wachovia Corp.		9,300		509,919
Wells Fargo & Co.		7,100		442,756
				2,133,314
Consumer Finance (0.6%)
American Express Co.		5,300		277,985
Capital One Financial Corp.		2,600		216,580
				494,565
Diversified Financial Services (3.2%)
Citigroup, Inc.		33,600		1,565,088
JPMorgan Chase & Co.		29,900		1,188,525
				2,753,613
Insurance (7.7%)
Ace Ltd.		5,000		273,750
AFLAC, Inc.		5,600		262,920
Allstate Corp.		13,200		687,060
American International Group, Inc.		20,200		1,322,292
Aon Corp.		2,300		78,706
Chubb Corp.		1,900		179,265
First American Corp.		5,000		234,100

See Accompanying Notes to Financial Statements.

62

CMG ENHANCED S&P 500^® INDEX FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Insurance (continued)
Hartford Financial Services Group, Inc.		6,900	$	567,387
Lincoln National Corp.		3,900		212,667
MBIA, Inc.		3,700		227,772
MetLife, Inc.		6,800		341,088
Principal Financial Group, Inc.		13,600		641,376
Prudential Financial, Inc.		11,300		851,342
SAFECO Corp.		9,100		475,475
St. Paul Travelers Companies, Inc.		5,400		245,052
XL Capital Ltd., Class A		1,300		87,958
				6,688,210
Real Estate (0.1%)
Public Storage, Inc., REIT		1,200		87,084
Thrifts & Mortgage Finance (1.2%)
Countrywide Financial Corp.		16,000		535,040
Fannie Mae		4,200		243,348
Freddie Mac		2,000		135,720
Washington Mutual, Inc.		2,300		97,336
				1,011,444
Health Care (12.8%)
Biotechnology (1.9%)
Amgen, Inc. (a)		14,500		1,056,905
Applera Corp.-Applied Biosystems Group		800		22,672
Gilead Sciences, Inc. (a)		9,800		596,526
				1,676,103
Health Care Equipment & Supplies (1.3%)
Becton, Dickinson & Co.		1,200		77,760
Boston Scientific Corp. (a)		16,400		358,668
Fisher Scientific International, Inc. (a)		3,200		213,984
Medtronic, Inc.		8,200		463,054
				1,113,466
Health Care Providers & Services (4.6%)
Aetna, Inc.		300		29,040
AmerisourceBergen Corp.		8,200		357,848
Cardinal Health, Inc.		4,600		331,384
Caremark Rx, Inc. (a)		8,400		414,120
CIGNA Corp.		7,100		863,360
Express Scripts, Inc. (a)		1,800		164,322
HCA, Inc.		3,500		171,780
Humana, Inc. (a)		2,600		145,002
McKesson Corp.		6,100		323,300
UnitedHealth Group, Inc.		14,700		873,474
WellPoint, Inc. (a)		3,800		291,840
				3,965,470

See Accompanying Notes to Financial Statements.

63

CMG ENHANCED S&P 500^® INDEX FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Pharmaceuticals (5.0%)
Abbott Laboratories		11,400	$	491,910
Forest Laboratories, Inc. (a)		600		27,768
Johnson & Johnson		24,900		1,432,746
King Pharmaceuticals, Inc. (a)		1,600		30,000
Merck & Co., Inc.		7,200		248,400
Pfizer, Inc.		61,100		1,569,048
Watson Pharmaceuticals, Inc. (a)		2,600		86,034
Wyeth		10,400		481,000
				4,366,906
Industrials (10.3%)
Aerospace & Defense (2.9%)
Boeing Co.		13,000		888,030
General Dynamics Corp.		3,600		418,896
Lockheed Martin Corp.		6,400		432,960
Raytheon Co.		7,300		299,081
Rockwell Collins, Inc.		3,900		182,988
United Technologies Corp.		6,100		356,057
				2,578,012
Air Freight & Logistics (1.0%)
FedEx Corp.		1,200		121,380
United Parcel Service, Inc., Class B		10,200		764,082
				885,462
Building Products (0.2%)
American Standard Companies, Inc.		1,500		54,000
Masco Corp.		3,400		100,810
				154,810
Commercial Services & Supplies (1.2%)
Cendant Corp.		36,400		609,336
Equifax, Inc.		3,700		141,784
Monster Worldwide, Inc. (a)		2,400		102,384
R.R. Donnelley & Sons Co.		2,800		91,280
Robert Half International, Inc.		2,600		94,978
				1,039,762
Electrical Equipment (0.5%)
Emerson Electric Co.		3,100		240,095
Rockwell Automation, Inc.		2,800		184,996
				425,091
Industrial Conglomerates (3.4%)
3M Co.		10,900		792,975
General Electric Co.		54,700		1,791,425
Tyco International Ltd.		15,000		390,750
				2,975,150
Machinery (0.6%)
Cummins, Inc.		500		48,650
Eaton Corp.		400		26,480
Illinois Tool Works, Inc.		2,400		202,296

See Accompanying Notes to Financial Statements.

64

CMG ENHANCED S&P 500^® INDEX FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Machinery (continued)
Ingersoll-Rand Co., Ltd., Class A		2,400	$	94,248
Parker Hannifin Corp.		1,600		121,232
				492,906
Road & Rail (0.4%)
Burlington Northern Santa Fe Corp.		1,700		136,204
CSX Corp.		1,700		91,001
Norfolk Southern Corp.		2,200		109,648
				336,853
Trading Companies & Distributors (0.1%)
W.W. Grainger, Inc.		1,600		113,488
Information Technology (14.6%)
Communications Equipment (3.2%)
Cisco Systems, Inc. (a)		87,900		1,632,303
Motorola, Inc.		28,700		651,777
QUALCOMM, Inc.		10,100		484,396
				2,768,476
Computers & Peripherals (3.3%)
Apple Computer, Inc. (a)		1,100		83,061
Dell, Inc. (a)		23,900		700,509
EMC Corp. (a)		8,300		111,220
Hewlett-Packard Co.		33,500		1,044,530
International Business Machines Corp.		11,400		926,820
				2,866,140
Internet Software & Services (0.3%)
eBay, Inc. (a)		4,400		189,640
Yahoo!, Inc. (a)		2,000		68,680
				258,320
IT Services (0.2%)
Computer Sciences Corp. (a)		2,200		111,540
Fiserv, Inc. (a)		2,300		101,154
				212,694
Semiconductors & Semiconductor Equipment (3.9%)
Freescale Semiconductor, Inc., Class B (a)		6,200		156,550
Intel Corp.		78,500		1,669,695
Linear Technology Corp.		7,900		293,959
LSI Logic Corp. (a)		3,000		27,450
National Semiconductor Corp.		5,500		155,155
NVIDIA Corp. (a)		1,700		76,432
Texas Instruments, Inc.		35,000		1,023,050
				3,402,291
Software (3.7%)
Adobe Systems, Inc.		5,300		210,516
Autodesk, Inc.		5,300		215,127
CA, Inc.		700		19,110
Intuit, Inc. (a)		4,700		245,951

See Accompanying Notes to Financial Statements.

65

CMG ENHANCED S&P 500^® INDEX FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Software (continued)
Microsoft Corp. (b)		63,800	$	1,795,970
Oracle Corp. (a)		54,700		687,579
Symantec Corp. (a)		200		3,676
				3,177,929
Materials (3.0%)
Chemicals (0.5%)
Dow Chemical Co.		4,800		203,040
Eastman Chemical Co.		2,400		115,704
PPG Industries, Inc.		1,500		89,250
				407,994
Containers & Packaging (0.1%)
Ball Corp.		1,600		64,800
Metals & Mining (2.3%)
Freeport-McMoRan Copper & Gold, Inc., Class B		7,000		449,750
Nucor Corp.		11,900		1,002,337
Phelps Dodge Corp.		3,600		577,800
				2,029,887
Paper & Forest Products (0.1%)
MeadWestvaco Corp.		4,000		106,760
Weyerhaeuser Co.		100		6,976
				113,736
Telecommunication Services (2.9%)
Diversified Telecommunication Services (2.4%)
AT&T, Inc.		24,100		625,395
BellSouth Corp.		28,000		805,560
CenturyTel, Inc.		1,200		39,960
Verizon Communications, Inc.		18,900		598,374
				2,069,289
Wireless Telecommunication Services (0.5%)
Sprint Nextel Corp.		19,000		434,910
Utilities (3.1%)
Electric Utilities (1.1%)
American Electric Power Co., Inc.		15,800		589,656
FirstEnergy Corp.		7,900		395,790
Progress Energy, Inc.		200		8,724
				994,170
Independent Power Producers & Energy Traders (1.0%)
Constellation Energy Group, Inc.		100		5,827
Duke Energy Corp.		18,300		518,805
TXU Corp.		6,400		324,096
				848,728

See Accompanying Notes to Financial Statements.

66

CMG ENHANCED S&P 500^® INDEX FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Multi-Utilities (1.0%)
CenterPoint Energy, Inc.		38,500	$	492,030
PG&E Corp.		9,800		365,638
				857,668
Total Common Stocks (Cost of $71,118,420)				83,436,511
	Par
Short-Term Obligations (3.8%)
U.S. Government Obligations (0.3%)
U.S Treasury Bills 3.790% 03/16/06 (b)(c)	$	167,000		165,400
3.850% 03/16/06 (b)(c)		75,000		74,310
				239,710
Repurchase Agreement (3.5%)
Repurchase agreement with State Street Bank & Trust Co., dated 01/31/06, due 02/01/06 at 4.270%, collateralized by a U.S. Treasury Bond maturing 02/15/26, market value of $3,136,518 (repurchase proceeds $3,070,364)		3,070,000		3,070,000
Total Short-Term Obligations (Cost of $3,309,710)				3,309,710
Total Investments (99.8%) (Cost of $74,428,130) (d)				86,746,221
Other Assets & Liabilities, Net (0.2%)				173,100
Net Assets (100.0%)			$	86,919,321

Notes to Schedule of Investments:

(a)  Non-income producing security.

(b)  The security or a portion of the security is pledged as collateral for open futures contracts. At January 31, 2006, the total market value of securities pledged amounted to $207,214.

(c)  The rate shown represents the annualized yield at the date of purchase.

(d)  Cost for federal income tax purposes is $74,428,130.

At January 31, 2006, the Fund held the following open long futures contracts:

Type	Number of Contracts		Value		Aggregate Face Value		Expiration Date	Unrealized Appreciation
S&P 500® Index		10	$	3,209,000	$	3,175,029	Mar-2006	$	33,971

See Accompanying Notes to Financial Statements.

67

CMG ENHANCED S&P 500^® INDEX FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

At January 31, 2006, the Fund held investments in the following sectors:

Sector	% of Net Assets
Financials		20.1	%
Information Technology		14.6
Health Care		12.8
Industrials		10.3
Consumer Discretionary		10.3
Energy		10.0
Consumer Staples		8.9
Utilities		3.1
Materials		3.0
Telecommunication Services		2.9
Short-Term Obligations		3.8
Other Assets & Liabilities, Net		0.2
		100.0	%

Acronym	Name
REIT	Real Estate Investment Trust

See Accompanying Notes to Financial Statements.

68

CMG LARGE CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

January 31, 2006 (Unaudited)

	Shares		Value
Common Stocks (95.7%)
Consumer Discretionary (12.2%)
Hotels, Restaurants & Leisure (1.1%)
Marriott International, Inc., Class A		3,130	$	208,583
Starbucks Corp. (a)		6,400		202,880
				411,463
Internet & Catalog Retail (2.2%)
eBay, Inc. (a)		13,200		568,920
Expedia, Inc. (a)		11,000		286,220
				855,140
Media (0.8%)
Getty Images, Inc. (a)		3,700		302,105
Multiline Retail (0.8%)
Target Corp.		5,600		306,600
Specialty Retail (6.3%)
Best Buy Co., Inc.		2,800		141,848
Chico's FAS, Inc. (a)		4,700		204,732
Home Depot, Inc.		10,970		444,834
Lowe's Companies, Inc.		8,670		550,978
Office Depot, Inc. (a)		18,300		606,645
Tiffany & Co.		12,700		478,790
				2,427,827
Textiles, Apparel & Luxury Goods (1.0%)
Coach, Inc. (a)		2,860		102,817
NIKE, Inc., Class B		3,370		272,802
				375,619
Consumer Staples (6.3%)
Beverages (1.4%)
PepsiCo, Inc.		9,360		535,205
Food & Staples Retailing (1.9%)
Wal-Mart Stores, Inc.		16,100		742,371
Food Products (0.1%)
Kellogg Co.		1,220		52,338
Household Products (2.9%)
Colgate-Palmolive Co.		9,300		510,477
Procter & Gamble Co.		9,793		580,039
				1,090,516
Energy (4.6%)
Energy Equipment & Services (0.9%)
Halliburton Co.		4,300		342,065

See Accompanying Notes to Financial Statements.

69

CMG LARGE CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Oil, Gas & Consumable Fuels (3.7%)
Anadarko Petroleum Corp.		4,900	$	528,318
EOG Resources, Inc.		5,500		464,970
XTO Energy, Inc.		8,200		402,456
				1,395,744
Financials (8.9%)
Capital Markets (4.0%)
Bank of New York Co., Inc.		15,800		502,598
Franklin Resources, Inc.		3,200		315,200
Merrill Lynch & Co., Inc.		5,000		375,350
State Street Corp.		5,650		341,599
				1,534,747
Commercial Banks (1.9%)
Wells Fargo & Co.		6,490		404,716
Zions Bancorporation		3,800		300,466
				705,182
Consumer Finance (1.4%)
American Express Co.		10,500		550,725
Insurance (1.6%)
American International Group, Inc.		5,380		352,175
XL Capital Ltd., Class A		4,000		270,640
				622,815
Health Care (19.6%)
Biotechnology (2.7%)
Amgen, Inc. (a)		7,210		525,537
Genentech, Inc. (a)		2,900		249,168
Protein Design Labs, Inc. (a)		9,100		265,265
				1,039,970
Health Care Equipment & Supplies (6.5%)
Alcon, Inc.		820		104,895
Baxter International, Inc.		7,400		272,690
Medtronic, Inc.		11,760		664,087
PerkinElmer, Inc.		8,100		184,194
Thermo Electron Corp. (a)		16,130		542,613
Varian Medical Systems, Inc. (a)		8,830		531,654
Zimmer Holdings, Inc. (a)		2,700		186,165
				2,486,298
Health Care Providers & Services (3.4%)
Aetna, Inc.		4,500		435,600
Caremark Rx, Inc. (a)		7,410		365,313
UnitedHealth Group, Inc.		8,500		505,070
				1,305,983
Pharmaceuticals (7.0%)
IVAX Corp. (a)(b)		10,190		317,113
Johnson & Johnson		8,940		514,408

See Accompanying Notes to Financial Statements.

70

CMG LARGE CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Pharmaceuticals (continued)
Novartis AG, ADR		13,080	$	721,493
Roche Holdings Ltd., ADR		7,100		560,900
Teva Pharmaceutical Industries Ltd., ADR		12,950		552,058
				2,665,972
Industrials (13.4%)
Aerospace & Defense (1.3%)
United Technologies Corp.		8,600		501,982
Air Freight & Logistics (1.2%)
United Parcel Service, Inc., Class B		6,100		456,951
Commercial Services & Supplies (0.7%)
Waste Management, Inc.		8,200		258,956
Construction & Engineering (1.2%)
Foster Wheeler Ltd. (a)		8,900		438,325
Electrical Equipment (2.5%)
Emerson Electric Co.		4,900		379,505
Rockwell Automation, Inc.		8,680		573,487
				952,992
Industrial Conglomerates (3.1%)
General Electric Co.		36,600		1,198,650
Machinery (1.8%)
Caterpillar, Inc.		7,400		502,460
ITT Industries, Inc.		1,670		171,175
				673,635
Road & Rail (1.6%)
Burlington Northern Santa Fe Corp.		3,700		296,444
Canadian National Railway Co.		3,600		325,404
				621,848
Information Technology (28.1%)
Communications Equipment (4.5%)
Cisco Systems, Inc. (a)		24,380		452,737
Corning, Inc. (a)		13,200		321,420
F5 Networks, Inc. (a)		1,800		116,460
Motorola, Inc.		16,500		374,715
QUALCOMM, Inc.		9,600		460,416
				1,725,748
Computers & Peripherals (4.4%)
Apple Computer, Inc. (a)		4,700		354,897
EMC Corp. (a)		32,660		437,644

See Accompanying Notes to Financial Statements.

71

CMG LARGE CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Computers & Peripherals (continued)
Hewlett-Packard Co.		6,700	$	208,906
International Business Machines Corp.		8,500		691,050
				1,692,497
Internet Software & Services (4.8%)
Akamai Technologies, Inc. (a)		9,200		200,836
Google, Inc., Class A (a)		2,300		996,475
Yahoo!, Inc. (a)		19,020		653,147
				1,850,458
Semiconductors & Semiconductor Equipment (6.8%)
Advanced Micro Devices, Inc. (a)		4,700		196,742
Broadcom Corp., Class A (a)		7,700		525,140
Intel Corp.		10,910		232,056
Lam Research Corp. (a)		12,700		589,661
Microchip Technology, Inc.		7,650		286,951
National Semiconductor Corp.		3,300		93,093
Novellus Systems, Inc. (a)		7,100		201,285
Samsung Electronics Co., Ltd., GDR (c)		500		191,500
Texas Instruments, Inc.		9,110		266,285
				2,582,713
Software (7.6%)
Adobe Systems, Inc.		4,700		186,684
Autodesk, Inc.		4,520		183,467
Microsoft Corp.		68,620		1,931,653
SAP AG, ADR		11,600		595,892
				2,897,696
Materials (1.7%)
Chemicals (0.9%)
Monsanto Co.		4,194		354,854
Metals & Mining (0.8%)
Phelps Dodge Corp.		1,900		304,950
Telecommunication Services (0.9%)
Wireless Telecommunication Services (0.9%)
American Tower Corp., Class A (a)		11,600		358,904
Total Common Stocks (Cost of $31,630,588)				36,619,844

See Accompanying Notes to Financial Statements.

72

CMG LARGE CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Short-Term Obligation (3.0%)
Repurchase agreement with State Street Bank & Trust Co., dated 01/31/06, due 02/01/06 at 4.270%, collateralized by a U.S. Treasury Note maturing 11/15/08, market value of $1,174,098 (repurchase proceeds $1,149,136)	$	1,149,000	$	1,149,000
Total Short-Term Obligation (Cost of $1,149,000)				1,149,000
Total Investments (98.7%) (Cost of $32,779,588) (d)				37,768,844
Other Assets & Liabilities, Net (1.3%)				486,281
Net Assets (100.0%)			$	38,255,125

Notes to Schedule of Investments:

(a)  Non-income producing security.

(b)  Represents fair value as determined in good faith under procedures approved by the Board of Trustees.

(c)  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2006, the value of this security, which is not illiquid, represents 0.5% of net assets.

(d)  Cost for federal income tax purposes is $32,779,588.

At January 31, 2006, the Fund held investments in the following sectors:

Sector	% of Net Assets
Information Technology		28.1	%
Health Care		19.6
Industrials		13.4
Consumer Discretionary		12.2
Financials		8.9
Consumer Staples		6.3
Energy		4.6
Materials		1.7
Telecommunication Services		0.9
Short-Term Obligation		3.0
Other Assets & Liabilities, Net		1.3
		100.0	%

Acronym	Name
ADR	American Depositary Receipt
GDR	Global Depositary Receipt

See Accompanying Notes to Financial Statements.

73

CMG LARGE CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

January 31, 2006 (Unaudited)

	Shares		Value
Common Stocks (97.4%)
Consumer Discretionary (8.1%)
Auto Components (0.7%)
Johnson Controls, Inc.		3,700	$	256,188
Hotels, Restaurants & Leisure (3.0%)
Carnival Corp.		3,500		181,160
McDonald's Corp.		12,266		429,433
Starwood Hotels & Resorts Worldwide, Inc.		7,900		480,399
				1,090,992
Media (0.4%)
CBS Corp., Class A		2,217		58,085
Viacom, Inc., Class A (a)		2,217		92,006
				150,091
Multiline Retail (2.6%)
Federated Department Stores, Inc.		6,716		447,487
J.C. Penney Co., Inc.		9,176		512,021
				959,508
Specialty Retail (1.4%)
Office Depot, Inc. (a)		7,200		238,680
Staples, Inc.		12,100		286,891
				525,571
Consumer Staples (4.9%)
Beverages (1.9%)
Diageo PLC, ADR		5,999		360,060
PepsiCo, Inc.		6,058		346,396
				706,456
Food Products (0.9%)
Cadbury Schweppes PLC, ADR		8,600		342,538
Tobacco (2.1%)
Altria Group, Inc.		10,429		754,434
Energy (14.3%)
Energy Equipment & Services (3.4%)
Halliburton Co.		5,277		419,785
Nabors Industries Ltd. (a)		3,200		260,000
National-Oilwell Varco, Inc. (a)		3,300		251,031
Schlumberger Ltd.		2,625		334,556
				1,265,372
Oil & Gas Services (10.9%)
Chevron Corp.		5,685		337,575
ConocoPhillips		4,032		260,871
Exxon Mobil Corp.		19,835		1,244,646
Marathon Oil Corp.		4,664		358,522
Murphy Oil Corp.		2,700		153,900

See Accompanying Notes to Financial Statements.

74

CMG LARGE CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Oil & Gas Services (continued)
Occidental Petroleum Corp.		8,300	$	810,993
Valero Energy Corp.		6,100		380,823
Williams Companies, Inc.		18,700		445,808
				3,993,138
Financials (34.7%)
Capital Markets (7.2%)
Bank of New York Co., Inc.		11,995		381,561
Deutsche Bank AG, Registered Shares		1,000		107,430
Franklin Resources, Inc.		2,419		238,271
Goldman Sachs Group, Inc.		2,655		375,019
Lehman Brothers Holdings, Inc.		1,700		238,765
Merrill Lynch & Co., Inc.		10,880		816,762
Morgan Stanley		4,580		281,441
Nuveen Investments, Class A		5,000		226,850
				2,666,099
Commercial Banks (11.8%)
Marshall & Ilsley Corp.		9,820		411,851
Mitsubishi UFJ Financial Group, Inc., ADR		15,400		222,530
North Fork Bancorporation, Inc.		14,522		373,506
PNC Financial Services Group, Inc.		5,500		356,730
SunTrust Banks, Inc.		2,400		171,480
U.S. Bancorp		26,546		793,991
UnionBanCal Corp.		4,000		268,360
Wachovia Corp.		16,586		909,410
Wells Fargo & Co.		13,028		812,426
				4,320,284
Diversified Financial Services (3.9%)
CIT Group, Inc.		4,700		250,698
Citigroup, Inc.		18,085		842,399
JPMorgan Chase & Co.		8,500		337,875
				1,430,972
Insurance (7.5%)
ACE Ltd.		3,300		180,675
Allstate Corp.		6,314		328,644
Ambac Financial Group, Inc.		4,635		356,014
American International Group, Inc.		8,351		546,656
Genworth Financial, Inc., Class A		9,500		311,220
Hartford Financial Services Group, Inc.		4,055		333,443
St. Paul Travelers Companies, Inc.		7,100		322,198
UnumProvident Corp.		9,166		186,345
XL Capital Ltd., Class A		2,741		185,456
				2,750,651

See Accompanying Notes to Financial Statements.

75

CMG LARGE CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Real Estate (3.1%)
Archstone-Smith Trust, REIT		6,055	$	283,738
Host Marriott Corp., REIT		15,900		317,205
Kimco Realty Corp., REIT		8,836		310,055
ProLogis Trust, REIT		4,400		225,368
				1,136,366
Thrifts & Mortgage Finance (1.2%)
Golden West Financial Corp.		6,400		451,968
Health Care (8.0%)
Health Care Equipment & Supplies (0.8%)
Baxter International, Inc.		7,700		283,745
Health Care Providers & Services (1.8%)
Aetna, Inc.		2,772		268,330
CIGNA Corp.		3,252		395,443
				663,773
Pharmaceuticals (5.4%)
AstraZeneca PLC, ADR		7,400		359,936
GlaxoSmithKline PLC, ADR		6,965		356,886
Novartis AG, ADR		6,848		377,736
Pfizer, Inc.		19,362		497,216
Sanofi-Aventis, ADR		8,300		381,800
				1,973,574
Industrials (10.1%)
Aerospace & Defense (3.4%)
General Dynamics Corp.		3,187		370,839
Goodrich Corp.		8,400		330,708
United Technologies Corp.		9,496		554,282
				1,255,829
Building Products (0.7%)
American Standard Companies, Inc.		6,400		230,400
Industrial Conglomerates (0.9%)
General Electric Co.		10,092		330,513
Machinery (3.0%)
Caterpillar, Inc.		8,200		556,780
Eaton Corp.		3,791		250,964
Ingersoll-Rand Co., Ltd., Class A		7,700		302,379
				1,110,123
Road & Rail (2.1%)
Burlington Northern Santa Fe Corp.		7,100		568,852
Norfolk Southern Corp.		3,900		194,376
				763,228

See Accompanying Notes to Financial Statements.

76

CMG LARGE CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Information Technology (5.4%)
Communications Equipment (1.2%)
Motorola, Inc.		8,700	$	197,577
Nokia Oyj, ADR		12,600		231,588
				429,165
Computers & Peripherals (2.6%)
Dell, Inc. (a)		2,700		79,137
Hewlett-Packard Co.		18,000		561,240
International Business Machines Corp.		3,736		303,737
				944,114
Electronic Equipment & Instruments (0.5%)
Agilent Technologies, Inc. (a)		5,300		179,723
Semiconductors & Semiconductor Equipment (1.1%)
Intel Corp.		6,353		135,128
Taiwan Semiconductor Manufacturing Co., Ltd., ADR		26,500		286,200
				421,328
Materials (4.0%)
Chemicals (0.7%)
Rohm and Haas Co.		5,500		279,950
Containers & Packaging (0.5%)
Crown Holdings, Inc. (a)		9,500		177,745
Metals & Mining (2.8%)
Freeport-McMoRan Copper & Gold, Inc., Class B		4,200		269,850
Nucor Corp.		2,200		185,306
Rio Tinto PLC, ADR		1,800		369,018
United States Steel Corp.		3,200		191,200
				1,015,374
Telecommunication Services (2.3%)
Diversified Telecommunication Services (2.3%)
AT&T, Inc.		15,957		414,084
Verizon Communications, Inc.		13,470		426,460
				840,544
Utilities (5.6%)
Electric Utilities (4.7%)
Edison International		7,600		333,032
Entergy Corp.		5,873		408,232
Exelon Corp.		10,851		623,065
FPL Group, Inc.		8,900		371,931
				1,736,260

See Accompanying Notes to Financial Statements.

77

CMG LARGE CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Multi-Utilities (0.9%)
PG&E Corp.		8,833	$	329,559
Total Common Stocks (Cost of $30,984,168)				35,765,575
Convertible Preferred Stock (0.5%)
Financials (0.5%)
Insurance (0.5%)
XL Capital Ltd., Class A, 7.000%		7,160		181,435
Total Convertible Preferred Stock (Cost of $180,200)				181,435
	Par
Short-Term Obligation (1.0%)
Repurchase agreement with State Street Bank & Trust Co., dated 01/31/06, due 02/01/06 at 4.270%, collateralized by a U.S. Treasury Note maturing 10/15/09, market value of $388,781 (repurchase proceeds $381,045)	$	381,000		381,000
Total Short-Term Obligation (Cost of $381,000)				381,000
Total Investments (98.9%) (Cost of $31,545,368) (b)				36,328,010
Other Assets & Liabilities, Net (1.1%)				393,713
Net Assets (100.0%)			$	36,721,723

Notes to Schedule of Investments:

(a)  Non-income producing security.

(b)  Cost for federal income tax purposes is $31,545,368.

See Accompanying Notes to Financial Statements.

78

CMG LARGE CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

At January 31, 2006, the Fund held investments in the following sectors:

Sector	% of Net Assets
Financials		35.2	%
Energy		14.3
Industrials		10.1
Consumer Discretionary		8.1
Health Care		8.0
Utilities		5.6
Information Technology		5.4
Consumer Staples		4.9
Materials		4.0
Telecommunication Services		2.3
Short-Term Obligation		1.0
Other Assets & Liabilities, Net		1.1
		100.0	%

Acronym	Name
ADR	American Depositary Receipt
REIT	Real Estate Investment Trust

See Accompanying Notes to Financial Statements.

79

CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

January 31, 2006 (Unaudited)

	Shares		Value
Common Stocks (96.0%)
Consumer Discretionary (17.3%)
Auto Components (0.5%)
Autoliv, Inc.		2,570	$	125,904
Diversified Consumer Services (0.3%)
Education Management Corp. (a)		2,680		82,062
Hotels, Restaurants & Leisure (5.4%)
Applebee's International, Inc.		4,310		103,311
Brinker International, Inc.		2,400		97,680
Cheesecake Factory, Inc. (a)		5,800		213,730
Harrah's Entertainment, Inc.		1,555		114,448
Hilton Hotels Corp.		8,270		206,171
Marriott International, Inc., Class A		1,990		132,614
Scientific Games Corp., Class A (a)		3,290		105,445
Starwood Hotels & Resorts Worldwide, Inc.		1,830		111,282
Wendy's International, Inc.		1,850		109,057
Yum! Brands, Inc.		4,460		220,636
				1,414,374
Household Durables (1.0%)
Centex Corp.		790		56,398
D.R. Horton, Inc.		2,633		98,263
Fortune Brands, Inc.		1,510		113,190
				267,851
Internet & Catalog Retail (0.6%)
NetFlix, Inc. (a)		6,110		168,331
Leisure Equipment & Products (0.5%)
SCP Pool Corp.		3,010		120,039
Media (2.9%)
Cablevision Systems Corp. (a)		2,500		61,500
Getty Images, Inc. (a)		1,440		117,576
Grupo Televisa SA, ADR		2,160		180,468
Lamar Advertising Co., Class A (a)		1,870		85,870
XM Satellite Radio Holdings, Inc., Class A (a)		11,670		305,521
				750,935
Specialty Retail (4.8%)
Abercrombie & Fitch Co., Class A		4,130		274,191
Chico's FAS, Inc. (a)		11,030		480,467
Children's Place Retail Stores, Inc. (a)		1,890		82,763
GameStop Corp., Class A (a)		4,310		173,736
PETsMART, Inc.		4,550		114,023
Urban Outfitters, Inc. (a)		4,420		120,710
				1,245,890

See Accompanying Notes to Financial Statements.

80

CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Textiles, Apparel & Luxury Goods (1.3%)
Coach, Inc. (a)		9,790	$	351,950
Consumer Staples (1.7%)
Food & Staples Retailing (0.5%)
Whole Foods Market, Inc.		1,860		137,398
Food Products (0.5%)
H.J. Heinz Co.		2,510		85,189
Tyson Foods, Inc., Class A		3,590		51,445
				136,634
Personal Products (0.5%)
Alberto-Culver Co., Class B		1,780		78,854
Estee Lauder Companies, Inc., Class A		1,710		62,364
				141,218
Tobacco (0.2%)
UST, Inc.		1,070		41,666
Energy (11.3%)
Energy Equipment & Services (5.4%)
BJ Services Co.		3,300		133,617
Diamond Offshore Drilling, Inc.		2,180		185,017
ENSCO International, Inc.		2,830		144,670
FMC Technologies, Inc. (a)		4,730		245,108
Grant Prideco, Inc. (a)		3,820		191,344
Nabors Industries Ltd. (a)		1,840		149,500
National-Oilwell Varco, Inc. (a)		1,770		134,644
Smith International, Inc.		5,260		236,700
				1,420,600
Oil, Gas & Consumable Fuels (5.9%)
Chesapeake Energy Corp.		3,010		105,470
EOG Resources, Inc.		3,930		332,242
Massey Energy Co.		3,070		126,638
Peabody Energy Corp.		2,240		222,902
Southwestern Energy Co. (a)		7,170		309,314
Tesoro Petroleum Corp.		1,740		126,098
XTO Energy, Inc.		6,314		309,891
				1,532,555
Financials (6.7%)
Capital Markets (4.0%)
Affiliated Managers Group, Inc. (a)		2,470		229,216
E*TRADE Financial Corp. (a)		7,590		180,566
Lazard Ltd., Class A		7,400		265,364
Legg Mason, Inc.		1,300		168,610
T. Rowe Price Group, Inc.		2,660		203,304
				1,047,060

See Accompanying Notes to Financial Statements.

81

CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Commercial Banks (1.4%)
East West Bancorp, Inc.		4,730	$	174,584
Zions Bancorporation		2,330		184,233
				358,817
Diversified Financial Services (0.8%)
Chicago Mercantile Exchange		510		215,857
Insurance (0.5%)
Ambac Financial Group, Inc.		1,865		143,251
Health Care (17.6%)
Biotechnology (2.6%)
Amylin Pharmaceuticals, Inc. (a)		4,330		183,592
Celgene Corp. (a)		1,100		78,265
Invitrogen Corp. (a)		730		50,282
MedImmune, Inc. (a)		3,300		112,596
Nektar Therapeutics (a)		5,610		111,078
Neurocrine Biosciences, Inc. (a)		2,380		144,633
				680,446
Health Care Equipment & Supplies (4.5%)
Biomet, Inc.		4,800		181,488
DENTSPLY International, Inc.		1,620		86,994
Gen-Probe, Inc. (a)		3,790		191,130
ResMed, Inc. (a)		3,972		156,656
Thermo Electron Corp. (a)		5,430		182,665
Varian Medical Systems, Inc. (a)		4,460		268,536
Waters Corp. (a)		2,660		111,587
				1,179,056
Health Care Providers & Services (6.9%)
Cerner Corp. (a)		2,920		131,400
Community Health Systems, Inc. (a)		3,175		115,538
Coventry Health Care, Inc. (a)		5,050		300,829
DaVita, Inc. (a)		4,767		260,993
Health Management Associates, Inc., Class A		3,820		80,296
Henry Schein, Inc. (a)		2,250		104,940
Humana, Inc. (a)		3,760		209,695
Laboratory Corp. of America Holdings (a)		3,350		196,478
Lincare Holdings, Inc. (a)		1,280		54,093
Medco Health Solutions, Inc. (a)		1,730		93,593
Quest Diagnostics, Inc.		1,880		92,929
United Surgical Partners International, Inc. (a)		4,120		159,691
				1,800,475
Pharmaceuticals (3.6%)
Allergan, Inc.		1,980		230,472
Endo Pharmaceuticals Holdings, Inc. (a)		4,307		123,611
Forest Laboratories, Inc. (a)		2,140		99,039
Medicis Pharmaceutical Corp., Class A		3,770		116,531

See Accompanying Notes to Financial Statements.

82

CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Pharmaceuticals (continued)
Shire Pharmaceuticals Group PLC, ADR		3,640	$	177,450
Teva Pharmaceutical Industries Ltd., ADR		4,820		205,476
				952,579
Industrials (11.7%)
Aerospace & Defense (1.7%)
Armor Holdings, Inc. (a)		2,490		118,698
BE Aerospace, Inc. (a)		4,740		99,635
Rockwell Collins, Inc.		4,640		217,709
				436,042
Air Freight & Logistics (1.4%)
C.H. Robinson Worldwide, Inc.		5,150		208,369
UTI Worldwide, Inc.		1,630		170,710
				379,079
Airlines (0.5%)
Southwest Airlines Co.		8,610		141,721
Commercial Services & Supplies (3.5%)
ChoicePoint, Inc. (a)		4,955		203,750
Cintas Corp.		2,040		86,904
Corporate Executive Board Co.		4,015		337,822
Robert Half International, Inc.		8,180		298,815
				927,291
Construction & Engineering (0.5%)
Jacobs Engineering Group, Inc. (a)		1,500		125,055
Electrical Equipment (1.1%)
Rockwell Automation, Inc.		3,520		232,566
Roper Industries, Inc.		1,190		48,017
				280,583
Machinery (2.5%)
Joy Global, Inc.		6,965		376,388
Terex Corp. (a)		3,770		265,785
				642,173
Road & Rail (0.5%)
Landstar System, Inc.		3,150		133,245
Information Technology (19.0%)
Communications Equipment (2.6%)
Comverse Technology, Inc. (a)		9,250		253,358
CSR PLC (a)		13,690		272,770
F5 Networks, Inc. (a)		1,380		89,286
Harris Corp.		1,570		72,895
				688,309

See Accompanying Notes to Financial Statements.

83

CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Computers & Peripherals (0.3%)
Sun Microsystems, Inc. (a)		15,340	$	69,030
Electronic Equipment & Instruments (0.6%)
Trimble Navigation Ltd. (a)		3,760		150,475
Internet Software & Services (0.5%)
VeriSign, Inc. (a)		6,150		146,062
IT Services (3.8%)
Affiliated Computer Services, Inc., Class A (a)		1,640		102,664
Alliance Data Systems Corp. (a)		5,750		242,937
Cognizant Technology Solutions Corp., Class A (a)		4,470		234,094
Fiserv, Inc. (a)		2,020		88,840
Global Payments, Inc.		3,490		177,746
Paychex, Inc.		4,430		161,030
				1,007,311
Semiconductors & Semiconductor Equipment (7.0%)
Advanced Micro Devices, Inc. (a)		3,030		126,836
Broadcom Corp., Class A (a)		11,330		772,706
Intersil Corp., Class A		5,140		149,368
Marvell Technology Group Ltd. (a)		5,370		367,416
MEMC Electronic Materials, Inc. (a)		5,190		148,330
National Semiconductor Corp.		4,690		132,305
NVIDIA Corp. (a)		2,880		129,485
				1,826,446
Software (4.2%)
Amdocs Ltd. (a)		4,170		134,274
Autodesk, Inc.		3,017		122,460
Check Point Software Technologies Ltd. (a)		5,580		120,751
Citrix Systems, Inc. (a)		7,040		217,114
Hyperion Solutions Corp. (a)		3,840		132,135
McAfee, Inc. (a)		2,160		50,090
Mercury Interactive Corp. (a)		3,095		107,551
NAVTEQ Corp. (a)		4,680		210,179
				1,094,554
Materials (5.5%)
Chemicals (1.9%)
Ecolab, Inc.		2,750		98,477
Potash Corp. of Saskatchewan, Inc.		4,410		396,856
				495,333
Construction Materials (1.1%)
Cemex SA de CV, ADR		2,110		139,218
Eagle Materials, Inc.		1,010		164,519
				303,737

See Accompanying Notes to Financial Statements.

84

CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Metals & Mining (2.5%)
Allegheny Technologies, Inc.		1,560	$	80,886
Freeport-McMoRan Copper & Gold, Inc., Class B		3,570		229,373
Inco Ltd.		2,040		104,611
Phelps Dodge Corp.		1,450		232,725
				647,595
Telecommunication Services (4.2%)
Wireless Telecommunication Services (4.2%)
American Tower Corp., Class A (a)		12,356		382,295
Crown Castle International Corp. (a)		6,880		217,614
Millicom International Cellular SA (a)		5,810		223,685
NII Holdings, Inc. (a)		4,060		200,807
VimpelCom, ADR (a)		1,860		87,048
				1,111,449
Utilities (1.0%)
Independent Power Producers & Energy Traders (1.0%)
AES Corp. (a)		14,580		248,443
Total Common Stocks (Cost of $17,961,140)				25,168,881
	Par
Short-Term Obligation (3.7%)
Repurchase agreement with State Street Bank & Trust Co., dated 01/31/06, due 02/01/06 at 4.270%, collateralized by a U.S. Treasury Note maturing 11/15/08, market value of $1,001,287 (repurchase proceeds $981,116)	$	981,000		981,000
Total Short-Term Obligation (Cost of $981,000)				981,000
Total Investments (99.7%) (Cost of $18,942,140) (b)				26,149,881
Other Assets & Liabilities, Net (0.3%)				77,565
Net Assets (100.0%)			$	26,227,446

Notes to Schedule of Investments:

(a)  Non-income producing security.

(b)  Cost for federal income tax purposes is $18,942,140.

See Accompanying Notes to Financial Statements.

85

CMG MID CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

At January 31, 2006, the Fund held investments in the following sectors:

Sector	% of Net Assets
Information Technology		19.0	%
Health Care		17.6
Consumer Discretionary		17.3
Industrials		11.7
Energy		11.3
Financials		6.7
Materials		5.5
Telecommunication Services		4.2
Consumer Staples		1.7
Utilities		1.0
Short -Term Obligation		3.7
Other Assets & Liabilities, Net		0.3
		100.0	%

Acronym	Name
ADR	American Depositary Receipt

See Accompanying Notes to Financial Statements.

86

CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

January 31, 2006 (Unaudited)

	Shares		Value
Common Stocks (95.0%)
Consumer Discretionary (10.2%)
Auto Components (1.5%)
BorgWarner, Inc.		2,000	$	110,260
Johnson Controls, Inc.		2,500		173,100
				283,360
Hotels, Restaurants & Leisure (2.3%)
Harrah's Entertainment, Inc.		1,300		95,680
Outback Steakhouse, Inc.		3,200		147,936
Starwood Hotels & Resorts Worldwide, Inc.		2,900		176,349
				419,965
Media (1.0%)
Dow Jones & Co., Inc.		4,800		182,448
Multiline Retail (1.9%)
Federated Department Stores, Inc.		2,108		140,456
J.C. Penney Co., Inc.		3,800		212,040
				352,496
Specialty Retail (3.5%)
Office Depot, Inc. (a)		6,300		208,845
Pacific Sunwear of California, Inc. (a)		3,900		95,589
Sherwin-Williams Co.		2,700		142,830
TJX Companies, Inc.		7,900		201,687
				648,951
Consumer Staples (4.9%)
Beverages (0.8%)
Fomento Economico Mexicano SA de CV, ADR		800		62,671
Pepsi Bottling Group, Inc.		3,100		89,900
				152,571
Food & Staples Retailing (1.7%)
Kroger Co. (a)		6,600		121,440
SUPERVALU, Inc.		5,900		188,387
				309,827
Food Products (2.1%)
Corn Products International, Inc.		4,849		132,232
Dean Foods Co. (a)		4,600		174,478
Tyson Foods, Inc., Class A		6,200		88,846
				395,556
Tobacco (0.3%)
UST, Inc.		1,200		46,728
Energy (7.1%)
Energy Equipment & Services (2.5%)
Dresser-Rand Group, Inc. (a)		2,800		75,404
National-Oilwell Varco, Inc. (a)		1,525		116,007

See Accompanying Notes to Financial Statements.

87

CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Energy Equipment & Services (continued)
Technip SA, ADR		1,500	$	102,255
Weatherford International Ltd. (a)		3,800		170,164
				463,830
Oil, Gas & Consumable Fuels (4.6%)
Amerada Hess Corp.		700		108,360
EOG Resources, Inc.		700		59,178
Kerr-McGee Corp.		1,300		143,507
Marathon Oil Corp.		614		47,198
Murphy Oil Corp.		1,200		68,400
Peabody Energy Corp.		1,200		119,412
Williams Companies, Inc.		8,500		202,640
XTO Energy, Inc.		1,966		96,491
				845,186
Financials (26.5%)
Capital Markets (1.8%)
Bear Stearns Companies, Inc.		1,600		202,336
Nuveen Investments, Class A		2,000		90,740
Waddell & Reed Financial, Inc., Class A		2,000		44,560
				337,636
Commercial Banks (9.8%)
Bank of Hawaii Corp.		3,800		198,398
City National Corp.		1,850		138,695
Comerica, Inc.		3,100		171,957
Cullen/Frost Bankers, Inc.		3,250		174,655
Marshall & Ilsley Corp.		5,000		209,700
Mercantile Bankshares Corp.		4,350		165,082
North Fork Bancorporation, Inc.		6,950		178,754
SVB Financial Group (a)		1,900		94,012
UnionBanCal Corp.		2,300		154,307
Whitney Holding Corp.		3,300		108,570
Zions Bancorporation		2,600		205,582
				1,799,712
Diversified Financial Services (0.9%)
CIT Group, Inc.		3,200		170,688
Insurance (6.6%)
Ambac Financial Group, Inc.		2,550		195,866
Conseco, Inc. (a)		3,800		92,606
Endurance Specialty Holdings Ltd.		4,500		148,185
Genworth Financial, Inc., Class A		3,700		121,212
Lincoln National Corp.		2,500		136,325
Loews Corp.		1,400		138,166
Old Republic International Corp.		7,625		163,556
Willis Group Holdings Ltd.		4,100		142,311
XL Capital Ltd., Class A		1,200		81,192
				1,219,419

See Accompanying Notes to Financial Statements.

88

CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Real Estate (4.6%)
Archstone-Smith Trust, REIT		2,900	$	135,894
Boston Properties, Inc., REIT		2,400		187,824
Equity Office Properties Trust, REIT		4,600		146,372
Host Marriott Corp., REIT		9,200		183,540
ProLogis Trust, REIT		3,700		189,514
				843,144
Thrifts & Mortgage Finance (2.8%)
Golden West Financial Corp.		2,600		183,612
PMI Group, Inc.		4,600		198,858
Sovereign Bancorp, Inc.		6,100		132,980
				515,450
Health Care (5.8%)
Biotechnology (0.8%)
Charles River Laboratories International, Inc. (a)		1,400		64,582
PDL BioPharma Inc. (a)		3,100		90,365
				154,947
Health Care Equipment & Supplies (1.5%)
Hospira, Inc. (a)		2,800		125,300
Millipore Corp. (a)		2,100		144,438
				269,738
Health Care Providers & Services (2.0%)
CIGNA Corp.		2,000		243,200
Community Health Systems, Inc. (a)		3,400		123,726
				366,926
Pharmaceuticals (1.5%)
IVAX Corp. (a)(b)		4,000		124,480
Shire Pharmaceuticals Group PLC, ADR		3,100		151,125
				275,605
Industrials (14.5%)
Aerospace & Defense (1.0%)
Goodrich Corp.		4,700		185,039
Building Products (0.7%)
American Standard Companies, Inc.		3,800		136,800
Commercial Services & Supplies (1.8%)
ARAMARK Corp., Class B		3,700		98,605
Avery Dennison Corp.		1,800		107,532
Manpower, Inc.		2,400		129,192
				335,329

See Accompanying Notes to Financial Statements.

89

CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Construction & Engineering (1.3%)
Fluor Corp.		1,200	$	105,540
Jacobs Engineering Group, Inc. (a)		1,625		135,476
				241,016
Electrical Equipment (0.8%)
Cooper Industries Ltd., Class A		1,700		138,805
Industrial Conglomerates (1.1%)
Textron, Inc.		2,300		194,258
Machinery (5.2%)
Dover Corp.		4,150		190,609
Eaton Corp.		2,300		152,260
Harsco Corp.		1,400		110,908
Ingersoll-Rand Co., Ltd., Class A		3,700		145,299
Kennametal, Inc.		3,200		187,200
Parker Hannifin Corp.		2,250		170,483
				956,759
Marine (0.5%)
Alexander & Baldwin, Inc.		1,700		89,369
Road & Rail (1.4%)
Burlington Northern Santa Fe Corp.		1,400		112,168
Norfolk Southern Corp.		2,975		148,274
				260,442
Trading Companies & Distributors (0.7%)
United Rentals, Inc. (a)		4,700		137,757
Information Technology (7.2%)
Electronic Equipment & Instruments (3.2%)
Agilent Technologies, Inc. (a)		4,100		139,031
Arrow Electronics, Inc. (a)		5,400		185,544
Mettler-Toledo International, Inc. (a)		2,300		133,147
Tektronix, Inc.		4,500		132,750
				590,472
IT Services (0.7%)
Ingram Micro, Inc., Class A (a)		6,800		131,580
Semiconductors & Semiconductor Equipment (2.2%)
ATI Technologies, Inc. (a)		2,800		49,980
Cypress Semiconductor Corp. (a)		2,600		44,018
Fairchild Semiconductor International, Inc. (a)		2,700		53,865
KLA-Tencor Corp.		1,700		88,366
Lam Research Corp. (a)		1,200		55,716
MEMC Electronic Materials, Inc. (a)		1,800		51,444
Novellus Systems, Inc. (a)		1,800		51,030
				394,419

See Accompanying Notes to Financial Statements.

90

CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Software (1.1%)
Activision, Inc. (a)		3,733	$	53,531
Cadence Design Systems, Inc. (a)		3,500		61,810
Electronic Arts, Inc. (a)		800		43,664
Synopsys, Inc. (a)		2,100		46,431
				205,436
Materials (9.1%)
Chemicals (5.6%)
Air Products & Chemicals, Inc.		2,400		148,056
Ashland, Inc.		1,575		103,824
Celanese Corp., Series A		5,200		106,444
Cytec Industries, Inc.		2,100		104,160
Lubrizol Corp.		3,200		146,368
Nalco Holding Co. (a)		7,000		129,150
PPG Industries, Inc.		1,750		104,125
Rohm and Haas Co.		3,700		188,330
				1,030,457
Construction Materials (0.6%)
Martin Marietta Materials, Inc.		1,400		118,692
Containers & Packaging (1.0%)
Crown Holdings, Inc. (a)		9,500		177,745
Metals & Mining (1.9%)
Alumina Ltd., ADR		4,100		94,710
Freeport-McMoRan Copper & Gold, Inc., Class B		1,600		102,800
Nucor Corp.		1,750		147,403
				344,913
Utilities (9.7%)
Electric Utilities (5.1%)
Edison International		3,800		166,516
Entergy Corp.		2,450		170,300
Exelon Corp.		3,500		200,970
FPL Group, Inc.		3,700		154,623
Hawaiian Electric Industries, Inc.		3,500		91,805
PPL Corp.		4,700		141,611
				925,825
Gas Utilities (0.5%)
AGL Resources, Inc.		2,700		96,606
Independent Power Producers & Energy Traders (1.3%)
AES Corp. (a)		6,300		107,352
Constellation Energy Group, Inc.		2,300		134,021
				241,373

See Accompanying Notes to Financial Statements.

91

CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Multi-Utilities (2.8%)
Energy East Corp.		6,300	$	156,555
PG&E Corp.		5,800		216,398
Sempra Energy		3,000		144,150
				517,103
Total Common Stocks (Cost of $13,898,158)				17,504,378
	Par
Convertible Bond (0.5%)
Communications (0.5%)
Telecommunication Services (0.5%)
Lucent Technologies, Inc. 2.750% 06/15/25	$	81,000		83,227
Total Convertible Bond (Cost of $92,304)				83,227
	Shares
Convertible Preferred Stocks (0.3%)
Financials (0.2%)
Insurance (0.2%)
XL Capital Ltd., Class A, 7.000%		1,700		43,078
Materials (0.1%)
Chemicals (0.1%)
Celanese Corp., 4.250%		700		20,563
Total Convertible Preferred Stocks (Cost of $62,854)				63,641

See Accompanying Notes to Financial Statements.

92

CMG MID CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Par		Value
Short-Term Obligation (4.1%)
Repurchase agreement with State Street Bank & Trust Co., dated 01/31/06, due 02/01/06 at 4.270%, collateralized by a U.S. Treasury Bond maturing 08/15/19, market value of $777,033 (repurchase proceeds $757,090)	$	757,000	$	757,000
Total Short-Term Obligation (Cost of $757,000)				757,000
Total Investments (99.9%) (Cost of $14,810,316) (c)				18,408,246
Other Assets & Liabilities, Net (0.1%)				14,186
Net Assets (100.0%)			$	18,422,432

Notes to Schedule of Investments:

(a)  Non-income producing security.

(b)  Represents fair value as determined in good faith under procedures approved by the Board of Trustees.

(c)  Cost for federal income tax purposes is $14,810,316.

At January 31, 2006, the Fund held investments in the following sectors:

Sector	% of Net Assets
Financials		26.7	%
Industrials		14.5
Consumer Discretionary		10.2
Utilities		9.7
Materials		9.2
Information Technology		7.2
Energy		7.1
Health Care		5.8
Consumer Staples		4.9
Telecommunication Services		0.5
Short-Term Obligation		4.1
Other Assets & Liabilities, Net		0.1
		100.0	%

Acronym	Name
ADR	American Depositary Receipt
REIT	Real Estate Investment Trust

See Accompanying Notes to Financial Statements.

93

CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

January 31, 2006 (Unaudited)

	Shares		Value
Common Stocks (98.1%)
Consumer Discretionary (12.2%)
Diversified Consumer Services (0.4%)
Laureate Education, Inc. (a)		2,940	$	153,174
Hotels, Restaurants & Leisure (5.2%)
Cosi, Inc. (a)		21,500		209,625
Pinnacle Entertainment, Inc. (a)		11,910		343,246
RARE Hospitality International, Inc. (a)		6,810		214,856
Red Robin Gourmet Burgers, Inc. (a)		4,860		192,893
Ruby Tuesday, Inc.		4,250		121,593
Scientific Games Corp., Class A (a)		16,950		543,247
Shuffle Master, Inc. (a)		8,080		205,232
Trump Entertainment Resorts, Inc. (a)		15,340		300,664
				2,131,356
Household Durables (0.2%)
Tupperware Brands Corp.		3,140		69,708
Internet & Catalog Retail (2.6%)
NetFlix, Inc. (a)		9,670		266,408
Nutri/System, Inc. (a)		5,220		255,258
VistaPrint Ltd. (a)		18,291		552,937
				1,074,603
Leisure Equipment & Products (0.6%)
SCP Pool Corp.		6,760		269,589
Media (0.4%)
Radio One, Inc., Class D (a)		14,430		158,153
Specialty Retail (2.8%)
Aaron Rents, Inc.		7,090		170,514
Children's Place Retail Stores, Inc. (a)		7,530		329,739
GameStop Corp., Class A (a)		7,013		282,694
Genesco, Inc. (a)		1,900		74,005
Gymboree Corp. (a)		8,283		204,093
Tractor Supply Co. (a)		2,160		110,333
				1,171,378
Consumer Staples (2.2%)
Beverages (0.3%)
Hansen Natural Corp. (a)		1,310		115,018
Household Products (0.8%)
Central Garden & Pet Co. (a)		6,840		339,127

See Accompanying Notes to Financial Statements.

94

CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Personal Products (1.1%)
Playtex Products, Inc. (a)		11,320	$	151,915
USANA Health Sciences, Inc. (a)		7,410		297,215
				449,130
Energy (9.4%)
Energy Equipment & Services (6.5%)
Atwood Oceanics, Inc. (a)		4,160		404,061
CAL Dive International, Inc. (a)		9,650		405,107
Core Laboratories NV (a)		7,460		332,567
Grey Wolf, Inc. (a)		45,520		400,576
Oil States International, Inc. (a)		5,190		212,271
Tetra Technologies, Inc. (a)		8,948		355,056
Todco, Class A		3,420		152,532
Veritas DGC, Inc. (a)		9,430		424,916
				2,687,086
Oil, Gas & Consumable Fuels (2.9%)
Carrizo Oil & Gas, Inc. (a)		11,775		339,827
Cheniere Energy, Inc. (a)		5,190		201,787
Foundation Coal Holdings, Inc.		4,420		196,513
Frontier Oil Corp.		3,790		179,608
Holly Corp.		3,680		270,848
				1,188,583
Financials (6.3%)
Capital Markets (2.0%)
Affiliated Managers Group, Inc. (a)		8,680		805,504
Commercial Banks (1.8%)
Signature Bank (a)		9,480		288,666
Sterling Financial Corp.		6,010		168,400
UCBH Holdings, Inc.		9,100		157,885
Wintrust Financial Corp.		2,270		121,899
				736,850
Diversified Financial Services (0.6%)
IntercontinentalExchange, Inc. (a)		2,076		105,502
Nasdaq Stock Market, Inc. (a)		3,880		162,611
				268,113
Insurance (1.9%)
Hanover Insurance Group, Inc.		5,360		259,692
ProAssurance Corp. (a)		9,880		505,758
				765,450

See Accompanying Notes to Financial Statements.

95

CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Health Care (19.0%)
Biotechnology (3.9%)
Alkermes, Inc. (a)		6,760	$	164,538
Amylin Pharmaceuticals, Inc. (a)		5,510		233,624
Digene Corp. (a)		11,680		387,776
ICOS Corp. (a)		5,450		135,433
Nektar Therapeutics (a)		10,730		212,454
Neurocrine Biosciences, Inc. (a)		4,390		266,780
United Therapeutics Corp. (a)		3,250		210,178
				1,610,783
Health Care Equipment & Supplies (5.9%)
ArthroCare Corp. (a)		4,860		217,679
Foxhollow Technologies, Inc. (a)		3,370		90,552
Haemonetics Corp. (a)		5,720		297,440
Hologic, Inc. (a)		3,013		155,049
Intuitive Surgical, Inc. (a)		1,610		221,617
Iris International, Inc. (a)		6,142		140,406
Kyphon, Inc. (a)		7,430		308,865
OraSure Technologies, Inc. (a)		31,130		339,628
Possis Medical, Inc. (a)		2,683		26,293
ResMed, Inc. (a)		13,620		537,173
Thoratec Corp. (a)		3,310		83,743
				2,418,445
Health Care Providers & Services (7.3%)
Allscripts Healthcare Solutions, Inc. (a)		11,540		203,220
Cerner Corp. (a)		6,000		270,000
DaVita, Inc. (a)		5,000		273,750
HealthExtras, Inc. (a)		20,370		670,173
ICON PLC, ADR (a)		11,283		496,226
LHC Group, Inc. (a)		7,638		121,444
Matria Healthcare, Inc. (a)		6,550		279,489
Pediatrix Medical Group, Inc. (a)		1,310		114,861
Psychiatric Solutions, Inc. (a)		3,860		127,341
United Surgical Partners International, Inc. (a)		11,700		453,492
				3,009,996
Pharmaceuticals (1.9%)
Medicis Pharmaceutical Corp., Class A		9,050		279,735
Salix Pharmaceuticals Ltd. (a)		29,100		506,049
				785,784
Industrials (21.2%)
Aerospace & Defense (3.7%)
Armor Holdings, Inc. (a)		4,710		224,526
BE Aerospace, Inc. (a)		24,207		508,831
Ceradyne, Inc. (a)		13,942		798,040
				1,531,397

See Accompanying Notes to Financial Statements.

96

CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Air Freight & Logistics (1.0%)
Forward Air Corp.		4,247	$	165,633
UTI Worldwide, Inc.		2,380		249,258
				414,891
Building Products (0.6%)
ElkCorp.		7,390		259,906
Commercial Services & Supplies (5.6%)
Corporate Executive Board Co.		7,400		622,636
Global Cash Access, Inc. (a)		13,117		202,789
Huron Consulting Group, Inc. (a)		9,610		270,714
Kenexa Corp. (a)		17,911		430,760
LECG Corp. (a)		12,548		210,555
Resources Connection, Inc. (a)		14,550		395,615
Waste Connections, Inc. (a)		4,260		148,844
				2,281,913
Construction & Engineering (1.7%)
Perini Corp. (a)		10,820		297,875
URS Corp. (a)		9,580		409,832
				707,707
Electrical Equipment (1.3%)
Evergreen Solar, Inc. (a)		9,160		141,339
General Cable Corp. (a)		9,290		227,605
Roper Industries, Inc.		4,410		177,943
				546,887
Machinery (6.3%)
ESCO Technologies, Inc. (a)		7,481		367,616
Joy Global, Inc.		11,300		610,652
RBC Bearings, Inc. (a)		14,223		263,694
Terex Corp. (a)		7,710		543,555
Wabtec Corp.		25,450		803,457
				2,588,974
Road & Rail (1.0%)
Landstar System, Inc.		4,170		176,391
Old Dominion Freight Line, Inc. (a)		7,534		215,020
				391,411
Information Technology (23.1%)
Communications Equipment (3.0%)
CSR PLC (a)		21,750		433,364
F5 Networks, Inc. (a)		6,490		419,903
Ixia (a)		29,894		376,665
				1,229,932
Computers & Peripherals (2.4%)
Electronics for Imaging, Inc. (a)		8,670		239,726
M-Systems Flash Disk Pioneers Ltd. (a)		6,327		183,356

See Accompanying Notes to Financial Statements.

97

CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Computers & Peripherals (continued)
Presstek, Inc. (a)		17,356	$	180,502
Rackable Systems, Inc. (a)		5,331		160,197
Synaptics, Inc. (a)		8,670		238,598
				1,002,379
Internet Software & Services (1.1%)
aQuantive, Inc. (a)		9,130		237,471
Equinix, Inc. (a)		4,970		233,242
				470,713
IT Services (3.9%)
Acxiom Corp.		10,080		238,594
CACI International, Inc., Class A (a)		4,007		228,800
Euronet Worldwide, Inc. (a)		15,916		513,609
Global Payments, Inc.		10,120		515,412
Heartland Payment Systems, Inc. (a)		4,650		114,436
				1,610,851
Semiconductors & Semiconductor Equipment (7.2%)
Atheros Communications, Inc. (a)		12,470		245,036
ATMI, Inc. (a)		12,910		433,776
Hittite Microwave Corp. (a)		16,770		469,560
Microsemi Corp. (a)		7,910		240,780
Silicon Laboratories, Inc. (a)		1,900		93,537
SiRF Technology Holdings, Inc. (a)		19,399		653,552
Tessera Technologies, Inc. (a)		10,820		349,270
Trident Microsystems, Inc. (a)		17,698		462,272
				2,947,783
Software (5.5%)
Embarcadero Technologies, Inc. (a)		46,669		350,018
Epicor Software Corp. (a)		20,850		277,305
Hyperion Solutions Corp. (a)		5,845		201,126
Informatica Corp. (a)		19,570		288,070
Kronos, Inc. (a)		3,060		120,258
Micros Systems, Inc. (a)		4,380		202,137
Quest Software, Inc. (a)		15,600		247,104
Transaction Systems Architects, Inc. (a)		7,260		239,507
Wind River Systems, Inc. (a)		24,620		329,416
				2,254,941
Materials (2.6%)
Construction Materials (0.8%)
Eagle Materials, Inc.		1,920		312,749
Metals & Mining (1.8%)
Allegheny Technologies, Inc.		6,600		342,210
Century Aluminum Co. (a)		7,010		238,901
Cleveland-Cliffs, Inc.		1,630		175,795
				756,906

See Accompanying Notes to Financial Statements.

98

CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Telecommunication Services (2.1%)
Wireless Telecommunication Services (2.1%)
Dobson Communications Corp., Class A (a)		26,810	$	198,930
Millicom International Cellular SA (a)		9,290		357,665
SBA Communications Corp., Class A (a)		15,080		329,498
				886,093
Total Common Stocks (Cost of $33,623,114)				40,403,263
	Par
Short-Term Obligation (2.0%)
Repurchase agreement with State Street Bank & Trust Co., dated 01/31/06, due 02/01/06 at 4.270%, collateralized by a U.S. Treasury Note maturing 10/15/09, market value of $855,318 (repurchase proceeds $837,099)	$	837,000		837,000
Total Short-Term Obligation (Cost of $837,000)				837,000
Total Investments (100.1%) (Cost of $34,460,114) (b)				41,240,263
Other Assets & Liabilities, Net (-0.1%)				(50,573	)
Net Assets (100.0%)			$	41,189,690

Notes to Schedule of Investments:

(a)  Non-income producing security.

(b)  Cost for federal income tax purposes is $34,460,114.

See Accompanying Notes to Financial Statements.

99

CMG SMALL CAP GROWTH FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

At January 31, 2006, the Fund held investments in the following sectors:

Sector	% of Net Assets
Information Technology		23.1	%
Industrials		21.2
Health Care		19.0
Consumer Discretionary		12.2
Energy		9.4
Financials		6.3
Materials		2.6
Consumer Staples		2.2
Telecommunication Services		2.1
Short-Term Obligation		2.0
Other Assets & Liabilities, Net		(0.1	)
		100.0	%

Acronym	Name
ADR	American Depositary Receipt

See Accompanying Notes to Financial Statements.

100

CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

January 31, 2006 (Unaudited)

	Shares		Value
Common Stocks (99.5%)
Consumer Discretionary (10.4%)
Auto Components (0.9%)
BorgWarner, Inc.		3,600	$	198,468
Modine Manufacturing Co.		5,640		152,844
				351,312
Distributors (0.5%)
Building Material Holding Corp.		2,430		192,383
Hotels, Restaurants & Leisure (2.7%)
Bob Evans Farms, Inc.		3,361		89,739
Dave & Buster's, Inc. (a)		2,450		43,929
Landry's Restaurants, Inc.		6,000		183,840
Lone Star Steakhouse & Saloon, Inc.		8,000		216,720
Marcus Corp.		3,750		90,262
Scientific Games Corp., Class A (a)		8,170		261,848
Vail Resorts, Inc. (a)		3,600		109,404
				995,742
Household Durables (1.3%)
American Greetings Corp., Class A		13,100		267,371
CSS Industries, Inc.		3,700		96,200
Kimball International, Inc., Class B		8,000		112,480
				476,051
Media (1.1%)
4Kids Entertainment, Inc. (a)		7,100		121,907
Journal Communications, Inc., Class A		6,560		78,458
Media General, Inc., Class A		1,370		65,554
Reader's Digest Association, Inc.		5,000		79,450
Scholastic Corp. (a)		2,200		66,110
				411,479
Specialty Retail (2.1%)
GameStop Corp., Class A (a)		6,739		271,649
Monro Muffler, Inc.		6,120		207,897
Movie Gallery, Inc.		5,500		29,975
Payless Shoesource, Inc. (a)		3,340		81,362
Pier 1 Imports, Inc.		5,900		63,838
Rent-A-Center, Inc. (a)		2,121		43,481
Zale Corp. (a)		4,100		100,491
				798,693
Textiles, Apparel & Luxury Goods (1.8%)
Delta Apparel, Inc.		4,500		87,570
Hampshire Group Ltd. (a)		8,300		185,920
Hartmarx Corp. (a)		11,129		94,819
Stride Rite Corp.		7,400		107,078
Wolverine World Wide, Inc.		8,700		209,235
				684,622

See Accompanying Notes to Financial Statements.

101

CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Consumer Staples (3.0%)
Food & Staples Retailing (1.1%)
BJ's Wholesale Club, Inc. (a)		3,200	$	102,848
Weis Markets, Inc.		7,270		304,976
				407,824
Food Products (1.9%)
Flowers Foods, Inc.		9,139		251,414
J & J Snack Foods Corp.		3,990		120,817
Lancaster Colony Corp.		2,712		112,467
Lance, Inc.		5,800		125,628
Maui Land & Pineapple Co., Inc. (a)		2,550		99,195
				709,521
Energy (6.8%)
Energy Equipment & Services (3.1%)
Dresser-Rand Group, Inc. (a)		1,425		38,375
Grey Wolf, Inc. (a)		22,510		198,088
Lone Star Technologies, Inc. (a)		1,350		76,815
Lufkin Industries, Inc.		5,992		403,861
Maverick Tube Corp. (a)		2,800		133,980
NS Group, Inc. (a)		1,790		80,908
Superior Well Services, Inc. (a)		1,700		47,617
Trico Marine Services, Inc. (a)		5,623		188,146
				1,167,790
Oil, Gas & Consumable Fuels (3.7%)
Alpha Natural Resources, Inc. (a)		5,330		125,415
Bill Barrett Corp. (a)		1,448		55,603
Bois d'Arc Energy, Inc. (a)		5,328		100,273
Comstock Resources, Inc. (a)		2,320		74,240
Harvest Natural Resources, Inc. (a)		10,400		99,112
InterOil Corp. (a)		3,000		55,500
Peabody Energy Corp.		2,606		259,323
Range Resources Corp.		11,050		330,063
Western Gas Resources, Inc.		6,100		289,750
				1,389,279
Financials (25.7%)
Capital Markets (0.4%)
Piper Jaffray Companies, Inc. (a)		3,440		154,215
Commercial Banks (11.1%)
BancFirst Corp.		1,310		108,940
BancorpSouth, Inc.		7,200		165,888
BancTrust Financial Group, Inc.		5,222		108,095
Bank of Granite Corp.		6,274		128,805
Bryn Mawr Bank Corp.		6,276		132,863
Capitol Bancorp Ltd.		5,856		260,007
Chemical Financial Corp.		5,925		186,341
Chittenden Corp.		7,000		198,590

See Accompanying Notes to Financial Statements.

102

CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Commercial Banks (continued)
Citizens Banking Corp.		4,090	$	113,784
City Holding Co.		2,940		109,544
Columbia Banking System, Inc.		4,750		153,188
Community Trust Bancorp, Inc.		4,676		164,502
Corus Bankshares, Inc.		3,600		231,156
First Citizens BancShares, Inc., Class A		800		153,648
First Financial Bankshares, Inc.		4,045		148,168
First Financial Corp.		4,650		130,200
Greater Bay Bancorp		5,050		130,997
Hancock Holding Co.		3,173		130,093
Mass Financial Corp., Class A (a)(b)(c)		13,100		—
Merchants Bancshares, Inc.		4,442		107,274
Mid-State Bancshares		7,600		212,648
Northrim BanCorp, Inc.		3,900		89,856
Signature Bank (a)		892		27,161
Sterling Bancshares, Inc.		11,912		199,526
TriCo Bancshares		7,880		191,327
TrustCo Bank Corp. NY		9,790		124,137
UMB Financial Corp.		3,500		235,760
Whitney Holding Corp.		7,180		236,222
				4,178,720
Consumer Finance (1.2%)
Advance America Cash Advance Centers, Inc.		13,550		193,088
Cash America International, Inc.		9,900		262,251
				455,339
Insurance (6.7%)
AmerUs Group Co.		2,900		177,973
Argonaut Group, Inc. (a)		3,940		140,067
Baldwin & Lyons, Inc., Class B		5,401		135,565
CNA Surety Corp. (a)		9,820		158,004
Commerce Group, Inc.		1,500		80,850
Delphi Financial Group, Inc., Class A		4,800		228,768
Harleysville Group, Inc.		6,450		177,762
Horace Mann Educators Corp.		7,480		146,533
KMG America Corp. (a)		12,379		111,411
National Western Life Insurance Co., Class A (a)		369		79,704
Navigators Group, Inc. (a)		6,794		303,488
Phoenix Companies, Inc.		13,600		205,224
ProCentury Corp.		12,051		135,815
Quanta Capital Holdings Ltd. (a)		13,930		75,083
RLI Corp.		3,522		192,477
United America Indemnity Ltd., Class A (a)		8,470		179,140
				2,527,864
Real Estate (6.3%)
Alexandria Real Estate Equities, Inc., REIT		1,680		148,260
Bedford Property Investors, Inc., REIT		6,372		147,830
Brandywine Realty Trust, REIT		5,230		164,483
Cousins Properties, Inc., REIT		4,290		133,934

See Accompanying Notes to Financial Statements.

103

CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Real Estate (continued)
EastGroup Properties, Inc., REIT		4,900	$	231,378
Equity One, Inc., REIT		6,400		153,408
Franklin Street Properties Corp., REIT		7,066		146,549
Getty Realty Corp., REIT		5,200		148,356
Healthcare Realty Trust, Inc.		3,720		130,349
Lexington Corporate Properties Trust, REIT		6,000		133,200
Mid-America Apartment Communities, Inc., REIT		5,400		275,670
PS Business Parks, Inc., REIT		5,600		307,160
Universal Health Realty Income Trust, REIT		3,680		128,469
Urstadt Biddle Properties, Inc., Class A, REIT		7,320		127,807
				2,376,853
Health Care (9.5%)
Health Care Equipment & Supplies (4.3%)
Analogic Corp.		2,150		119,325
Bio-Rad Laboratories, Inc., Class A (a)		2,600		175,240
DJ Orthopedics, Inc. (a)		2,840		93,237
Greatbatch, Inc. (a)		4,010		104,420
Haemonetics Corp. (a)		4,350		226,200
Invacare Corp.		4,103		141,923
STERIS Corp.		10,090		272,430
Sybron Dental Specialties, Inc. (a)		5,160		219,816
Varian, Inc. (a)		2,110		80,961
Viasys Healthcare, Inc. (a)		3,500		99,120
Vital Signs, Inc.		1,700		87,227
				1,619,899
Health Care Providers & Services (5.2%)
Cross Country Healthcare, Inc. (a)		9,350		184,756
Genesis HealthCare Corp. (a)		4,800		175,920
Gentiva Health Services, Inc. (a)		9,880		187,621
Hooper Holmes, Inc.		16,100		56,350
Kindred Healthcare, Inc. (a)		8,600		196,940
Owens & Minor, Inc.		4,300		134,590
PAREXEL International Corp. (a)		7,900		192,602
Pediatrix Medical Group, Inc. (a)		4,000		350,720
Res-Care, Inc. (a)		8,680		166,569
Symbion, Inc. (a)		5,500		127,050
United Surgical Partners International, Inc. (a)		4,350		168,606
				1,941,724
Industrials (17.0%)
Aerospace & Defense (2.6%)
AAR Corp. (a)		9,035		215,304
Esterline Technologies Corp. (a)		6,200		256,494
Kaman Corp., Class A		3,850		81,120
Moog, Inc., Class A (a)		2,140		71,711
Precision Castparts Corp.		7,400		369,630
				994,259

See Accompanying Notes to Financial Statements.

104

CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Air Freight & Logistics (0.4%)
Ryder System, Inc.		2,900	$	129,630
Airlines (1.0%)
JetBlue Airways Corp. (a)		6,015		78,436
Republic Airways Holdings, Inc. (a)		5,310		78,747
Skywest, Inc.		6,800		198,424
				355,607
Building Products (1.1%)
Lennox International, Inc.		4,200		134,190
NCI Building Systems, Inc. (a)		5,650		286,455
				420,645
Commercial Services & Supplies (4.2%)
ABM Industries, Inc.		6,700		128,037
Casella Waste Systems, Inc., Class A (a)		14,100		188,376
CBIZ, Inc. (a)		8,542		51,167
Consolidated Graphics, Inc. (a)		6,300		323,568
Healthcare Services Group, Inc.		7,889		154,388
Interpool, Inc.		1,267		25,327
Korn/Ferry International (a)		5,600		110,656
Nam Tai Electronics, Inc.		2,830		66,137
NCO Group, Inc. (a)		5,900		100,477
Sourcecorp, Inc. (a)		4,300		113,176
TeleTech Holdings, Inc. (a)		13,375		155,952
United Stationers, Inc. (a)		2,970		148,589
				1,565,850
Construction & Engineering (2.0%)
EMCOR Group, Inc. (a)		2,100		172,242
KHD Humboldt Wedag International Ltd. (a)		13,100		346,364
Washington Group International, Inc. (a)		4,100		243,335
				761,941
Electrical Equipment (1.3%)
Genlyte Group, Inc. (a)		4,800		277,632
Woodward Governor Co.		2,400		224,520
				502,152
Machinery (1.9%)
Briggs & Stratton Corp.		2,250		78,278
EnPro Industries, Inc. (a)		6,800		208,624
Harsco Corp.		4,900		388,178
Kadant, Inc. (a)		2,963		57,008
				732,088
Road & Rail (1.2%)
Dollar Thrifty Automotive Group, Inc. (a)		2,100		79,653
Swift Transportation Co., Inc. (a)		2,900		68,527
Werner Enterprises, Inc.		13,480		290,494
				438,674

See Accompanying Notes to Financial Statements.

105

CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Trading Companies & Distributors (1.3%)
Watsco, Inc.		7,073	$	500,344
Information Technology (15.2%)
Communications Equipment (1.9%)
Anaren, Inc. (a)		11,100		194,028
Belden CDT, Inc.		4,150		112,465
Black Box Corp.		2,600		131,638
Dycom Industries, Inc. (a)		8,150		200,979
Tollgrade Communications, Inc. (a)		6,800		79,288
				718,398
Computers & Peripherals (1.6%)
Electronics for Imaging, Inc. (a)		6,640		183,596
Hutchinson Technology, Inc. (a)		4,970		137,569
Imation Corp.		3,400		154,122
Intergraph Corp. (a)		3,256		124,412
				599,699
Electronic Equipment & Instruments (3.5%)
Agilysys, Inc.		5,300		112,360
Anixter International, Inc.		3,550		164,330
Benchmark Electronics, Inc. (a)		5,300		193,609
Brightpoint, Inc. (a)		17,158		387,599
Coherent, Inc. (a)		2,090		64,706
MTS Systems Corp.		4,800		175,920
Vishay Intertechnology, Inc. (a)		14,300		226,369
				1,324,893
Internet Software & Services (0.3%)
Digitas, Inc. (a)		5,420		70,948
Keynote Systems, Inc. (a)		3,091		39,101
				110,049
IT Services (1.8%)
Acxiom Corp.		9,460		223,919
MAXIMUS, Inc.		2,910		113,839
MPS Group, Inc. (a)		23,500		333,935
				671,693
Semiconductors & Semiconductor Equipment (3.1%)
Actel Corp. (a)		1,439		21,844
Advanced Energy Industries, Inc. (a)		5,550		87,080
Asyst Technologies, Inc. (a)		2,064		14,778
ATMI, Inc. (a)		4,360		146,496
Brooks Automation, Inc. (a)		5,650		95,259
Exar Corp. (a)		8,100		109,107
Fairchild Semiconductor International, Inc. (a)		9,330		186,133
MEMC Electronic Materials, Inc. (a)		5,150		147,187
Sigmatel, Inc. (a)		3,410		43,580
Standard Microsystems Corp. (a)		7,200		247,968
Varian Semiconductor Equipment Associates, Inc. (a)		1,360		67,361
				1,166,793

See Accompanying Notes to Financial Statements.

106

CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Software (3.0%)
Captaris, Inc. (a)		16,700	$	64,629
Internet Security Systems, Inc. (a)		7,600		162,032
Lawson Software, Inc. (a)		19,800		145,728
MSC.Software Corp. (a)		10,600		196,630
Phoenix Technologies Ltd. (a)		11,440		78,364
PLATO Learning, Inc. (a)		6,500		53,560
SeaChange International, Inc. (a)		3,300		27,456
Sybase, Inc. (a)		6,800		146,812
Transaction Systems Architects, Inc. (a)		8,000		263,920
				1,139,131
Materials (8.1%)
Chemicals (2.5%)
Cytec Industries, Inc.		3,800		188,480
H.B. Fuller Co.		5,600		211,624
Minerals Technologies, Inc.		2,900		162,023
Schulman (A.), Inc.		7,500		184,875
Sensient Technologies Corp.		4,900		92,904
Stepan Co.		4,100		108,650
				948,556
Construction Materials (1.0%)
Eagle Materials, Inc.		2,380		387,678
Containers & Packaging (1.2%)
AptarGroup, Inc.		2,800		158,032
Greif, Inc., Class A		4,700		306,064
				464,096
Metals & Mining (2.6%)
AMCOL International Corp.		4,400		118,712
Carpenter Technology Corp.		3,000		271,680
Metal Management, Inc.		6,100		170,373
RTI International Metals, Inc. (a)		4,200		190,050
Worthington Industries, Inc.		11,190		230,850
				981,665
Paper & Forest Products (0.8%)
Glatfelter		11,150		158,553
Mercer International, Inc. (a)		14,500		118,900
				277,453
Telecommunication Services (0.4%)
Diversified Telecommunication Services (0.4%)
North Pittsburgh Systems, Inc.		5,100		101,643
TALK America Holdings, Inc. (a)		5,122		49,274
				150,917

See Accompanying Notes to Financial Statements.

107

CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Utilities (3.4%)
Electric Utilities (2.2%)
ALLETE, Inc.		2,900	$	128,441
Central Vermont Public Service Corp.		7,100		137,385
El Paso Electric Co. (a)		8,000		163,840
Maine & Maritimes Corp.		1,600		27,040
MGE Energy, Inc.		2,800		96,628
Otter Tail Corp.		4,100		125,460
Puget Energy, Inc.		6,900		145,521
				824,315
Gas Utilities (0.6%)
Cascade Natural Gas Corp.		3,815		76,834
Northwest Natural Gas Co.		2,300		81,857
WGL Holdings, Inc.		2,500		77,950
				236,641
Multi-Utilities (0.6%)
CH Energy Group, Inc.		4,800		225,120
Total Common Stocks (Cost of $25,412,849)				37,467,597
	Par
Short-Term Obligation (0.5%)
Repurchase agreement with State Street Bank & Trust Co., dated 01/31/06, due 02/01/06 at 4.270%, collateralized by a U.S. Treasury Note maturing 10/15/09, market value of $213,829 (repurchase proceeds $206,024)	$	206,000		206,000
Total Short-Term Obligation (Cost of $206,000)				206,000
Total Investments (100.0%) (Cost of $25,618,849) (d)				37,673,597
Other Assets & Liabilities, Net (-0.0%)				(12,962	)
Net Assets (100.0%)			$	37,660,635

See Accompanying Notes to Financial Statements.

108

CMG SMALL CAP VALUE FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

Notes to Schedule of Investments:

(a)  Non-income producing security.

(b)  Represents fair value as determined in good faith under procedures approved by the Board of Trustees.

(c)  Security has no value.

(d)  Cost for federal income tax purposes is $25,618,849.

At January 31, 2006, the Fund held investments in the following sectors:

Sector	% of Net Assets
Financials		25.7	%
Industrials		17.0
Information Technology		15.2
Consumer Discretionary		10.4
Health Care		9.5
Materials		8.1
Energy		6.8
Utilities		3.4
Consumer Staples		3.0
Telecommunication Services		0.4
Short-Term Obligation		0.5
Other Assets & Liabilities, Net		(0.0	)*
		100.0	%

*Rounds to less than 0.1%.

Acronym	Name
REIT	Real Estate Investment Trust

See Accompanying Notes to Financial Statements.

109

CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

January 31, 2006 (Unaudited)

	Shares		Value
Common Stocks (98.6%)
Consumer Discretionary (14.2%)
Diversified Consumer Services (0.4%)
Education Management Corp. (a)		1,830	$	56,035
Hotels, Restaurants & Leisure (4.9%)
Brinker International, Inc.		2,060		83,842
Cheesecake Factory, Inc. (a)		2,440		89,914
Hilton Hotels Corp.		4,650		115,924
Pinnacle Entertainment, Inc. (a)		4,040		116,433
RARE Hospitality International, Inc. (a)		2,510		79,191
Red Robin Gourmet Burgers, Inc. (a)		1,760		69,854
Scientific Games Corp., Class A (a)		3,800		121,790
Trump Entertainment Resorts, Inc. (a)		4,150		81,340
				758,288
Household Durables (0.4%)
M.D.C. Holdings, Inc.		510		32,359
Ryland Group, Inc.		360		26,050
				58,409
Internet & Catalog Retail (1.6%)
NetFlix, Inc. (a)		3,490		96,149
VistaPrint Ltd. (a)		4,768		144,137
				240,286
Leisure Equipment & Products (0.6%)
SCP Pool Corp.		2,410		96,111
Media (1.9%)
Getty Images, Inc. (a)		750		61,237
Grupo Televisa SA, ADR		1,310		109,450
XM Satellite Radio Holdings, Inc., Class A (a)		4,570		119,643
				290,330
Specialty Retail (4.0%)
Abercrombie & Fitch Co., Class A		1,940		128,797
Chico's FAS, Inc. (a)		3,990		173,804
Children's Place Retail Stores, Inc. (a)		1,760		77,070
GameStop Corp., Class A (a)		2,470		99,566
Gymboree Corp. (a)		2,960		72,934
Urban Outfitters, Inc. (a)		2,511		68,576
				620,747
Textiles, Apparel & Luxury Goods (0.4%)
Coach, Inc. (a)		1,600		57,520
Consumer Staples (1.9%)
Food Products (0.2%)
Tyson Foods, Inc., Class A		2,040		29,233
Household Products (0.6%)
Central Garden & Pet Co. (a)		2,000		99,160

See Accompanying Notes to Financial Statements.

110

CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Personal Products (1.1%)
Elizabeth Arden, Inc. (a)		2,850	$	60,249
USANA Health Sciences, Inc. (a)		2,680		107,495
				167,744
Energy (8.9%)
Energy Equipment & Services (4.9%)
CAL Dive International, Inc. (a)		2,470		103,690
FMC Technologies, Inc. (a)		1,300		67,366
Grant Prideco, Inc. (a)		2,430		121,719
Nabors Industries Ltd. (a)		1,380		112,125
Patterson-UTI Energy, Inc.		1,930		72,607
Rowan Companies, Inc.		1,740		78,004
Tetra Technologies, Inc. (a)		2,735		108,525
Veritas DGC, Inc. (a)		1,920		86,515
				750,551
Oil, Gas & Consumable Fuels (4.0%)
Arch Coal, Inc.		1,200		104,064
CONSOL Energy, Inc.		610		44,469
EOG Resources, Inc.		880		74,395
Frontier Oil Corp.		1,700		80,563
Massey Energy Co.		2,120		87,450
Southwestern Energy Co. (a)		3,210		138,480
Tesoro Petroleum Corp.		1,040		75,369
				604,790
Financials (7.0%)
Capital Markets (3.2%)
Affiliated Managers Group, Inc. (a)		2,760		256,128
E*TRADE Financial Corp. (a)		4,060		96,588
Lazard Ltd., Class A		3,700		132,682
				485,398
Commercial Banks (1.4%)
East West Bancorp, Inc.		2,870		105,932
Signature Bank (a)		3,620		110,229
				216,161
Insurance (2.4%)
Ambac Financial Group, Inc.		870		66,825
Hanover Insurance Group, Inc.		3,240		156,978
ProAssurance Corp. (a)		2,840		145,379
				369,182
Health Care (18.9%)
Biotechnology (3.5%)
Amylin Pharmaceuticals, Inc. (a)		2,620		111,088
Digene Corp. (a)		3,500		116,200
Invitrogen Corp. (a)		390		26,863
Nektar Therapeutics (a)		5,080		100,584

See Accompanying Notes to Financial Statements.

111

CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Biotechnology (continued)
Neurocrine Biosciences, Inc. (a)		1,770	$	107,563
PDL BioPharma Inc. (a)		2,380		69,377
				531,675
Health Care Equipment & Supplies (5.5%)
Biomet, Inc.		1,850		69,948
Gen-Probe, Inc. (a)		2,240		112,963
Haemonetics Corp. (a)		2,560		133,120
OraSure Technologies, Inc. (a)		10,970		119,683
Possis Medical, Inc. (a)		3,530		34,594
ResMed, Inc. (a)		3,758		148,216
Thermo Electron Corp. (a)		2,680		90,155
Varian Medical Systems, Inc. (a)		2,160		130,054
				838,733
Health Care Providers & Services (7.1%)
Allscripts Healthcare Solutions, Inc. (a)		3,053		53,763
Cerner Corp. (a)		1,640		73,800
Community Health Systems, Inc. (a)		1,330		48,399
DaVita, Inc. (a)		3,077		168,466
HealthExtras, Inc. (a)		7,585		249,546
ICON PLC, ADR (a)		3,068		134,931
Laboratory Corp. of America Holdings (a)		1,620		95,013
Lincare Holdings, Inc. (a)		1,740		73,532
Matria Healthcare, Inc. (a)		1,540		65,712
United Surgical Partners International, Inc. (a)		3,175		123,063
				1,086,225
Pharmaceuticals (2.8%)
Endo Pharmaceuticals Holdings, Inc. (a)		1,964		56,367
Medicis Pharmaceutical Corp., Class A		3,260		100,767
Salix Pharmaceuticals Ltd. (a)		8,650		150,423
Shire Pharmaceuticals Group PLC, ADR		2,490		121,387
				428,944
Industrials (16.9%)
Aerospace & Defense (3.7%)
Armor Holdings, Inc. (a)		1,580		75,319
BE Aerospace, Inc. (a)		6,800		142,936
Ceradyne, Inc. (a)		4,990		285,627
Rockwell Collins, Inc.		1,360		63,811
				567,693
Air Freight & Logistics (1.7%)
C.H. Robinson Worldwide, Inc.		2,930		118,548
UTI Worldwide, Inc.		1,270		133,007
				251,555
Commercial Services & Supplies (3.8%)
ChoicePoint, Inc. (a)		2,376		97,701
Global Cash Access, Inc. (a)		4,751		73,450
Huron Consulting Group, Inc. (a)		5,706		160,738
Kenexa Corp. (a)		1,377		33,117

See Accompanying Notes to Financial Statements.

112

CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Commercial Services & Supplies (continued)
Resources Connection, Inc. (a)		4,380	$	119,092
Robert Half International, Inc.		2,750		100,458
				584,556
Construction & Engineering (1.0%)
Jacobs Engineering Group, Inc. (a)		1,070		89,206
Perini Corp. (a)		2,320		63,870
				153,076
Electrical Equipment (1.2%)
Evergreen Solar, Inc. (a)		3,240		49,993
Rockwell Automation, Inc.		1,230		81,266
Roper Industries, Inc.		1,330		53,666
				184,925
Machinery (4.7%)
ESCO Technologies, Inc. (a)		1,040		51,106
Joy Global, Inc.		4,310		232,912
Terex Corp. (a)		3,180		224,190
Wabtec Corp.		6,740		212,782
				720,990
Road & Rail (0.8%)
Landstar System, Inc.		1,800		76,140
Old Dominion Freight Line, Inc. (a)		1,710		48,803
				124,943
Information Technology (23.8%)
Communications Equipment (3.6%)
Avocent Corp. (a)		1,470		48,907
Comverse Technology, Inc. (a)		2,530		69,297
CSR PLC (a)		7,890		157,207
F5 Networks, Inc. (a)		1,800		116,460
Harris Corp.		1,650		76,609
Ixia (a)		6,547		82,492
				550,972
Computers & Peripherals (2.1%)
Electronics for Imaging, Inc. (a)		3,090		85,438
M-Systems Flash Disk Pioneers Ltd. (a)		1,470		42,601
Presstek, Inc. (a)		6,969		72,478
Rackable Systems, Inc. (a)		1,978		59,439
Synaptics, Inc. (a)		2,350		64,672
				324,628
Electronic Equipment & Instruments (0.6%)
Trimble Navigation Ltd. (a)		2,120		84,842
Internet Software & Services (1.2%)
aQuantive, Inc. (a)		3,310		86,093
Digital River, Inc. (a)		2,690		90,330
				176,423
IT Services (4.3%)
Alliance Data Systems Corp. (a)		3,310		139,847
CACI International, Inc., Class A (a)		1,270		72,517

See Accompanying Notes to Financial Statements.

113

CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
IT Services (continued)
Cognizant Technology Solutions Corp., Class A (a)		1,730	$	90,600
Euronet Worldwide, Inc. (a)		5,630		181,680
Global Payments, Inc.		1,720		87,600
Heartland Payment Systems, Inc. (a)		3,260		80,229
				652,473
Semiconductors & Semiconductor Equipment (7.0%)
Broadcom Corp., Class A (a)		2,670		182,094
Hittite Microwave Corp. (a)		6,130		171,640
Intersil Corp., Class A		2,900		84,274
Marvell Technology Group Ltd. (a)		2,290		156,682
MEMC Electronic Materials, Inc. (a)		3,100		88,598
Silicon Laboratories, Inc. (a)		700		34,461
SiRF Technology Holdings, Inc. (a)		4,630		155,984
Tessera Technologies, Inc. (a)		2,260		72,953
Trident Microsystems, Inc. (a)		4,990		130,339
				1,077,025
Software (5.0%)
Adobe Systems, Inc. (b)		1,161		46,115
Amdocs Ltd. (a)		3,630		116,886
Autodesk, Inc.		1,050		42,620
Embarcadero Technologies, Inc. (a)		8,880		66,600
Hyperion Solutions Corp. (a)		1,905		65,551
Informatica Corp. (a)		8,400		123,648
Mercury Interactive Corp. (a)		1,490		51,777
NAVTEQ Corp. (a)		2,390		107,335
Quest Software, Inc. (a)		6,550		103,752
Wind River Systems, Inc. (a)		3,460		46,295
				770,579
Materials (3.4%)
Chemicals (1.7%)
OM Group, Inc. (a)		2,861		61,540
Potash Corp. of Saskatchewan, Inc.		2,270		204,277
				265,817
Construction Materials (0.6%)
Eagle Materials, Inc.		510		83,074
Metals & Mining (1.1%)
Century Aluminum Co. (a)		2,600		88,608
Freeport-McMoRan Copper & Gold, Inc., Class B		660		42,405
Inco Ltd.		720		36,922
				167,935
Telecommunication Services (3.6%)
Wireless Telecommunication Services (3.6%)
American Tower Corp., Class A (a)		2,109		65,252
Crown Castle International Corp. (a)		2,110		66,739
Dobson Communications Corp., Class A (a)		9,580		71,084
Millicom International Cellular SA (a)		3,380		130,130

See Accompanying Notes to Financial Statements.

114

CMG SMALL/MID CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Wireless Telecommunication Services (continued)
NII Holdings, Inc. (a)		2,900	$	143,434
VimpelCom, ADR (a)		1,540		72,072
				548,711
Total Common Stocks (Cost of $10,845,877)				15,075,739
	Par
Short-Term Obligation (2.0%)
Repurchase agreement with State Street Bank & Trust Co., dated 01/31/06, due 02/01/06 at 4.270%, collateralized by a U.S. Treasury Bond maturing 05/15/15, market value of $307,519 (repurchase proceeds $300,036)	$	300,000		300,000
Total Short-Term Obligation (Cost of $300,000)				300,000
Total Investments (100.6%) (Cost of $11,145,877) (b)				15,375,739
Other Assets & Liabilities, Net (-0.6%)				(86,214	)
Net Assets (100.0%)			$	15,289,525

Notes to Schedule of Investments:

(a)  Non-income producing security.

(b)  Cost for federal income tax purposes is $11,145,877.

At January 31, 2006, the Fund held investments in the following sectors:

Sector	% of Net Assets
Information Technology		23.8	%
Health Care		18.9
Industrials		16.9
Consumer Discretionary		14.2
Energy		8.9
Financials		7.0
Telecommunication Services		3.6
Materials		3.4
Consumer Staples		1.9
Short-Term Obligation		2.0
Other Assets & Liabilities, Net		(0.6	)
		100.0	%

Acronym	Name
ADR	American Depositary Receipt

See Accompanying Notes to Financial Statements.

115

CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

January 31, 2006 (Unaudited)

	Shares		Value
Common Stocks (97.9%)
Consumer Discretionary (10.3%)
Auto Components (2.2%)
Compagnie Generale des Etablissements Michelin, Class B		15,336	$	915,936
Continental AG		8,057		784,216
Denso Corp.		24,100		848,498
				2,548,650
Automobiles (2.2%)
Renault SA		4,999		471,991
Toyota Motor Corp.		39,400		2,042,129
				2,514,120
Household Durables (3.7%)
Daiwa House Industry Co., Ltd.		37,000		621,372
JM AB		9,300		476,995
Makita Corp.		17,000		494,182
Matsushita Electric Industrial Co., Ltd.		42,000		913,004
Sharp Corp.		19,000		347,428
Sony Corp.		11,200		544,222
Taylor Woodrow PLC		129,782		900,440
				4,297,643
Leisure Equipment & Products (0.3%)
Sega Sammy Holdings, Inc.		10,800		387,605
Media (1.3%)
Vivendi Universal SA		46,487		1,456,277
Specialty Retail (0.6%)
Yamada Denki Co., Ltd.		5,600		721,811
Consumer Staples (6.2%)
Beverages (0.7%)
Diageo PLC		53,993		803,487
Food & Staples Retailing (0.3%)
FamilyMart Co., Ltd.		10,900		365,176
Food Products (2.8%)
Nestle SA, Registered Shares		7,644		2,242,168
Unilever PLC		93,057		978,391
				3,220,559
Household Products (0.5%)
Kao Corp.		21,000		605,089
Tobacco (1.9%)
British American Tobacco PLC		43,361		977,353
Imperial Tobacco Group PLC		24,080		716,256
Japan Tobacco, Inc.		32		496,484
				2,190,093

See Accompanying Notes to Financial Statements.

116

CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Energy (10.5%)
Energy Equipment & Services (0.7%)
Saipem S.p.A.		37,424	$	745,348
Oil, Gas & Consumable Fuels (9.8%)
BP PLC, ADR		29,080		2,102,775
CNOOC Ltd.		479,000		407,008
EnCana Corp.		10,800		538,080
ENI S.p.A.		59,740		1,806,115
LUKOIL, ADR		3,899		298,273
Norsk Hydro ASA		11,200		1,374,620
PetroChina Co., Ltd., Class H		458,000		454,242
Royal Dutch Shell PLC, Class A		26,268		893,959
Royal Dutch Shell PLC, Class B		20,585		738,273
Statoil ASA		28,100		772,976
Total SA		7,082		1,955,213
				11,341,534
Financials (31.0%)
Capital Markets (4.5%)
Credit Suisse Group, Registered Shares		19,405		1,133,078
Daiwa Securities Group, Inc.		42,000		493,022
Deutsche Bank AG, Registered Shares		12,494		1,341,792
Nomura Holdings, Inc.		56,300		1,099,075
UBS AG, Registered Shares		10,309		1,120,850
				5,187,817
Commercial Banks (16.7%)
Australia & New Zealand Banking Group Ltd.		33,353		629,719
Banco Bilbao Vizcaya Argentaria SA		86,213		1,741,139
Banco Santander Central Hispano SA		73,635		1,059,414
Barclays PLC		160,737		1,718,565
BNP Paribas SA		18,224		1,625,434
ForeningsSparbanken AB		23,700		675,663
HBOS PLC		92,091		1,619,457
HSBC Holdings PLC		98,844		1,642,377
Industrial Bank of Korea		40,700		723,584
Mitsubishi UFJ Financial Group, Inc.		110		1,584,758
Mizuho Financial Group, Inc.		174		1,423,980
Societe Generale		10,817		1,428,782
Sumitomo Mitsui Financial Group, Inc.		77		899,280
Sumitomo Trust & Banking Co., Ltd.		58,000		638,319
United Overseas Bank Ltd.		87,000		780,690
Westpac Banking Corp.		56,725		1,000,883
				19,192,044
Consumer Finance (1.1%)
Aiful Corp.		9,550		644,781
ORIX Corp.		2,400		620,945
				1,265,726

See Accompanying Notes to Financial Statements.

117

CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Diversified Financial Services (2.0%)
Fortis		30,346	$	1,055,729
ING Groep NV		34,245		1,222,168
				2,277,897
Insurance (5.0%)
Allianz AG, Registered Shares		8,128		1,310,149
Aviva PLC		75,368		966,043
AXA		37,684		1,277,589
Muenchener Rueckversicherungs-Gesellschaft AG, Registered Shares		5,019		681,423
Sampo Oyj, Class A		56,300		1,097,343
Storebrand ASA		45,200		460,316
				5,792,863
Real Estate (1.7%)
CapitaLand Ltd.		320,000		781,372
Sun Hung Kai Properties Ltd.		41,000		424,151
Swire Pacific Ltd., Class A		81,500		759,451
				1,964,974
Health Care (8.7%)
Health Care Equipment & Supplies (0.6%)
GN Store Nord A/S		48,400		691,423
Pharmaceuticals (8.1%)
Altana AG		12,500		698,255
Astellas Pharma, Inc.		8,400		347,300
AstraZeneca PLC		31,526		1,526,626
Eisai Co., Ltd.		10,800		461,259
GlaxoSmithKline PLC		51,226		1,310,464
H Lundbeck A/S		30,400		678,025
Novartis AG, Registered Shares		21,966		1,206,158
Roche Holding AG, Genusschein Shares		6,030		952,763
Sanofi-Aventis		13,482		1,236,071
Takeda Pharmaceutical Co., Ltd.		15,800		894,352
				9,311,273
Industrials (10.1%)
Aerospace & Defense (0.4%)
Singapore Technologies Engineering Ltd.		266,000		491,335
Air Freight & Logistics (0.4%)
Deutsche Post AG, Registered Shares		14,467		407,670
Construction & Engineering (0.8%)
Shimizu Corp.		111,000		876,228
Electrical Equipment (1.9%)
ABB Ltd. (a)		68,524		745,030
Mitsubishi Electric Corp.		123,000		1,001,364
Shanghai Electric Group Co., Ltd., Class H (a)		1,266,000		502,404
				2,248,798

See Accompanying Notes to Financial Statements.

118

CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Industrial Conglomerates (0.8%)
Hutchison Whampoa Ltd.		46,000	$	470,622
SembCorp Industries Ltd.		217,040		396,122
				866,744
Machinery (3.5%)
Atlas Copco AB, Class B		39,500		837,427
Komatsu Ltd.		58,000		1,070,457
Saurer AG, Registered Shares		6,500		459,111
Stork NV		18,400		820,566
THK Co., Ltd.		10,200		322,595
Volvo AB, Class B		11,900		582,926
				4,093,082
Road & Rail (1.0%)
Central Japan Railway Co.		81		828,609
ComfortDelGro Corp., Ltd.		289,000		303,042
				1,131,651
Trading Companies & Distributors (1.3%)
Hitachi High-Technologies Corp.		13,400		376,966
Mitsubishi Corp.		47,100		1,100,158
				1,477,124
Information Technology (6.6%)
Communications Equipment (2.1%)
Nokia Oyj		91,100		1,666,037
Telefonaktiebolaget LM Ericsson, ADR		21,500		784,320
				2,450,357
Computers & Peripherals (0.7%)
FUJITSU Ltd.		27,000		237,995
Toshiba Corp.		85,000		544,179
				782,174
Electronic Equipment & Instruments (0.5%)
Hoya Corp.		16,000		641,064
IT Services (0.5%)
CGI Group, Inc. (a)		68,200		532,883
Office Electronics (0.9%)
Canon, Inc.		16,800		1,013,972
Semiconductors & Semiconductor Equipment (1.4%)
Advantest Corp.		3,800		466,477
Samsung Electronics Co., Ltd.		1,014		777,857
Taiwan Semiconductor Manufacturing Co., Ltd., ADR		35,664		385,171
				1,629,505
Software (0.5%)
Cognos, Inc. (a)		15,300		582,930

See Accompanying Notes to Financial Statements.

119

CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Materials (6.8%)
Chemicals (5.0%)
BASF AG		20,951	$	1,651,245
Bayer AG		11,146		465,509
Shin-Etsu Chemical Co., Ltd.		13,300		756,242
Sumitomo Chemical Co., Ltd.		126,000		971,007
Syngenta AG (a)		5,744		730,103
Teijin Ltd.		90,000		613,785
Yara International ASA		36,600		541,908
				5,729,799
Metals & Mining (1.8%)
Anglo American PLC		15,249		585,964
Kobe Steel Ltd.		173,000		592,865
Rio Tinto PLC		16,892		861,557
				2,040,386
Telecommunication Services (3.7%)
Diversified Telecommunication Services (2.1%)
Deutsche Telekom AG, Registered Shares		66,554		1,053,776
Nippon Telegraph & Telephone Corp.		140		649,247
Telekom Austria AG		31,533		763,281
				2,466,304
Wireless Telecommunication Services (1.6%)
China Mobile Hong Kong Ltd.		79,500		387,387
NTT DoCoMo, Inc.		232		375,772
Vodafone Group PLC		506,425		1,063,097
				1,826,256
Utilities (4.0%)
Electric Utilities (2.7%)
E.ON AG		16,760		1,872,238
Endesa SA		27,700		797,733
Fortum Oyj		24,800		554,196
				3,224,167
Gas Utilities (0.5%)
Tokyo Gas Co., Ltd.		117,000		543,583
Independent Power Producers & Energy Traders (0.8%)
Electric Power Development Co.		25,200		889,374
Total Common Stocks (Cost of $87,597,648)				112,826,795

See Accompanying Notes to Financial Statements.

120

CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Investment Companies (1.4%)
iShares MSCI EAFE Index Fund		7,663	$	481,696
iShares MSCI South Korea Index Fund		12,129		586,922
iShares MSCI Taiwan Index Fund		40,431		545,819
Total Investment Companies (Cost of $1,376,763)				1,614,437
	Units
Rights (0.0%)
Telecommunication Services (0.0%)
Wireless Telecommunication Services (0.0%)
3 Italia S.p.A. (a)(b)(c)		46		-
Total Rights (Cost of $-)				-
	Par
Short-Term Obligation (1.4%)
Repurchase agreement with State Street Bank & Trust Co., dated 01/31/06, due 02/01/06 at 4.270%, collateralized by a U.S. Treasury Note maturing 11/15/08, market value of $1,636,621 (repurchase proceeds $1,604,190)	$	1,604,000		1,604,000
Total Short-Term Obligation (Cost of $1,604,000)				1,604,000
Total Investments (100.7%) (Cost of $90,578,411) (d)				116,045,232
Other Assets & Liabilities, Net (-0.7%)				(764,028	)
Net Assets (100.0%)			$	115,281,204

Notes to Schedule of Investments:

(a)  Non-income producing security.

(b)  Represents fair value as determined in good faith under procedures approved by the Board of Trustees.

(c)  Security has no value.

(d)  Cost for federal income tax purposes is $90,578,411.

See Accompanying Notes to Financial Statements.

121

CMG INTERNATIONAL STOCK FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

The Fund invested in the following countries at January 31, 2006:

Summary of Securities by Country	Value		% of Total Investments
Japan	$	31,366,010		27.0	%
United Kingdom		19,405,084		16.7
France		10,367,293		8.9
Germany		10,266,273		8.8
Switzerland		8,589,261		7.4
Spain		3,598,286		3.1
Sweden		3,357,331		2.9
Finland		3,317,576		2.9
Norway		3,149,820		2.7
Singapore		2,752,561		2.4
Italy		2,551,463		2.2
Hong Kong		2,448,619		2.1
South Korea		2,088,363		1.8
United States*		2,085,696		1.8
Netherlands		2,042,734		1.8
Canada		1,653,893		1.4
Australia		1,630,602		1.4
Denmark		1,369,448		1.2
Belgium		1,055,729		0.9
China		956,646		0.8
Taiwan		930,990		0.8
Austria		763,281		0.7
Russian Federation		298,273		0.3
	$	116,045,232		100.0	%

*Includes short-term obligation.

Certain securities are listed by country of underlying exposure but may trade predominately on other exchanges.

Acronym	Name
ADR	American Depositary Receipt

See Accompanying Notes to Financial Statements.

122

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  STATEMENTS OF ASSETS AND LIABILITIES

January 31, 2006 (Unaudited)

	CMG Enhanced S&P 500® Index Fund		CMG Large Cap Growth Fund			CMG Large Cap Value Fund		CMG Mid Cap Growth Fund			CMG Mid Cap Value Fund
ASSETS:
Investments, at identified cost	$	74,428,130	$	32,779,588		$	31,545,368	$	18,942,140		$	14,810,316
Investments, at value	$	86,746,221	$	37,768,844		$	36,328,010	$	26,149,881		$	18,408,246
Cash		58		125			331		576			116
Receivable for:
Investments sold		140,000		1,066,786			531,380		96,311			179,709
Capital stock sold		-		-			-		-			-
Interest		1,129		136			45		116			375
Dividends		64,179		11,497			30,306		4,122			11,970
Foreign tax reclaims		-		-			-		-			138
Expense reimbursement due from Investment Advisor		9,072		6,257			6,597		5,784			7,018
Deferred Trustees' compensation plan		2,977		2,483			2,542		2,351			2,340
Other assets		2,380		1,678			2,744		1,585			1,585
Total assets		86,966,016		38,857,806			36,901,955		26,260,726			18,611,497
LIABILITIES:
Payable to custodian bank		-		-			-		-			-
Payable for:
Investments purchased		-		568,209			146,321		-			159,892
Futures variation margin		12,250		-			-		-			-
Investment advisory fee		17,496		15,891			15,280		14,905			10,799
Trustee legal counsel fees		424		214			205		140			150
Audit fee		13,548		15,884			15,884		15,884			15,884
Deferred Trustees' fees		2,977		2,483			2,542		2,351			2,340
Total liabilities		46,695		602,681			180,232		33,280			189,065
NET ASSETS	$	86,919,321	$	38,255,125		$	36,721,723	$	26,227,446		$	18,422,432
NET ASSETS consist of:
Paid-in-capital	$	72,171,926	$	32,843,748		$	30,466,810	$	18,698,859		$	13,864,932
Undistributed (overdistributed) net investment income		20,027		(7,476	)		15,910		-			(1,166	)
Accumulated net investment loss		-		-			-		(9,136	)		-
Accumulated net realized gain		2,375,306		429,597			1,456,361		329,982			960,736
Net unrealized appreciation (depreciation) on:
Investments		12,318,091		4,989,256			4,782,642		7,207,741			3,597,930
Foreign currency translations		-		-			-		-			-
Futures contracts		33,971		-			-		-			-
NET ASSETS	$	86,919,321	$	38,255,125		$	36,721,723	$	26,227,446		$	18,422,432
Shares of capital stock outstanding		6,495,503		3,261,526			3,153,811		1,624,209			1,320,124
Net asset value, offering and redemption price per share	$	13.38	$	11.73		$	11.64	$	16.15		$	13.96

	CMG Small Cap Growth Fund			CMG Small Cap Value Fund			CMG Small/Mid Cap Fund			CMG International Stock Fund
ASSETS:
Investments, at identified cost	$	34,460,114		$	25,618,849		$	11,145,877		$	90,578,411
Investments, at value	$	41,240,263		$	37,673,597		$	15,375,739		$	116,045,232
Cash		764			627			666			-
Receivable for:
Investments sold		391,669			259,597			56,588			381,617
Capital stock sold		-			-			-			95,115
Interest		99			24			36			190
Dividends		96			24,358			499			97,486
Foreign tax reclaims		-			-			-			18,785
Expense reimbursement due from Investment Advisor		6,264			6,931			3,575			5,739
Deferred Trustees' compensation plan		2,494			2,560			2,779			5,183
Other assets		1,663			3,875			1,038			1,559
Total assets		41,643,312			37,971,569			15,440,920			116,650,906
LIABILITIES:
Payable to custodian bank		-			-			-			379,066
Payable for:
Investments purchased		409,100			267,076			122,083			899,503
Futures variation margin		-			-			-			-
Investment advisory fee		25,878			23,631			9,745			71,529
Trustee legal counsel fees		266			179			2,283			1,235
Audit fee		15,884			17,488			14,505			13,186
Deferred Trustees' fees		2,494			2,560			2,779			5,183
Total liabilities		453,622			310,934			151,395			1,369,702
NET ASSETS	$	41,189,690		$	37,660,635		$	15,289,525		$	115,281,204
NET ASSETS consist of:
Paid-in-capital	$	33,973,084		$	24,635,407		$	7,177,620		$	83,551,116
Undistributed (overdistributed) net investment income		-			(7,381	)		-			(5,729	)
Accumulated net investment loss		(117,378	)		-			(73,701	)		-
Accumulated net realized gain		553,835			977,861			3,955,744			6,274,418
Net unrealized appreciation (depreciation) on:
Investments		6,780,149			12,054,748			4,229,862			25,466,821
Foreign currency translations		-			-			-			(5,422	)
Futures contracts		-			-			-			-
NET ASSETS	$	41,189,690		$	37,660,635		$	15,289,525		$	115,281,204
Shares of capital stock outstanding		3,029,275			2,426,119			1,273,023			8,213,373
Net asset value, offering and redemption price per share	$	13.60		$	15.52		$	12.01		$	14.04

See Accompanying Notes to Financial Statements.

124

	CMG Small Cap Growth Fund			CMG Small Cap Value Fund			CMG Small/Mid Cap Fund			CMG International Stock Fund
ASSETS:
Investments, at identified cost	$	34,460,114		$	25,618,849		$	11,145,877		$	90,578,411
Investments, at value	$	41,240,263		$	37,673,597		$	15,375,739		$	116,045,232
Cash		764			627			666			-
Receivable for:
Investments sold		391,669			259,597			56,588			381,617
Capital stock sold		-			-			-			95,115
Interest		99			24			36			190
Dividends		96			24,358			499			97,486
Foreign tax reclaims		-			-			-			18,785
Expense reimbursement due from Investment Advisor		6,264			6,931			3,575			5,739
Deferred Trustees' compensation plan		2,494			2,560			2,779			5,183
Other assets		1,663			3,875			1,038			1,559
Total assets		41,643,312			37,971,569			15,440,920			116,650,906
LIABILITIES:
Payable to custodian bank		-			-			-			379,066
Payable for:
Investments purchased		409,100			267,076			122,083			899,503
Futures variation margin		-			-			-			-
Investment advisory fee		25,878			23,631			9,745			71,529
Trustee legal counsel fees		266			179			2,283			1,235
Audit fee		15,884			17,488			14,505			13,186
Deferred Trustees' fees		2,494			2,560			2,779			5,183
Total liabilities		453,622			310,934			151,395			1,369,702
NET ASSETS	$	41,189,690		$	37,660,635		$	15,289,525		$	115,281,204
NET ASSETS consist of:
Paid-in-capital	$	33,973,084		$	24,635,407		$	7,177,620		$	83,551,116
Undistributed (overdistributed) net investment income		-			(7,381	)		-			(5,729	)
Accumulated net investment loss		(117,378	)		-			(73,701	)		-
Accumulated net realized gain		553,835			977,861			3,955,744			6,274,418
Net unrealized appreciation (depreciation) on:
Investments		6,780,149			12,054,748			4,229,862			25,466,821
Foreign currency translations		-			-			-			(5,422	)
Futures contracts		-			-			-			-
NET ASSETS	$	41,189,690		$	37,660,635		$	15,289,525		$	115,281,204
Shares of capital stock outstanding		3,029,275			2,426,119			1,273,023			8,213,373
Net asset value, offering and redemption price per share	$	13.60		$	15.52		$	12.01		$	14.04

See Accompanying Notes to Financial Statements.

125

    
  STATEMENTS OF OPERATIONS

For the Six Months Ended January 31, 2006 (Unaudited)

	CMG Enhanced S&P 500® Index Fund			CMG Large Cap Growth Fund			CMG Large Cap Value Fund			CMG Mid Cap Growth Fund			CMG Mid Cap Value Fund
NET INVESTMENT INCOME:
Income:
Dividends	$	828,970		$	180,129		$	400,902		$	70,014		$	168,497
Interest		28,714			16,886			12,814			10,383			5,766
Foreign withholding tax		-			(618	)		(258	)		-			-
Total income		857,684			196,397			413,458			80,397			174,263
Expenses:
Investment advisory fee		110,997			98,616			94,278			87,801			68,603
Trustees' fees		4,892			4,101			4,126			3,838			3,841
Audit fee		15,348			17,684			17,684			17,684			17,684
Trustee legal counsel fees		2,550			1,094			1,125			628			594
Non-recurring costs (See Note 9)		675			301			287			191			150
Total operating expenses		134,462			121,796			117,500			110,142			90,872
Interest expense		935			795			-			-			-
Total expenses		135,397			122,591			117,500			110,142			90,872
Expense reimbursement from Investment Advisor		(22,790	)		(22,879	)		(22,935	)		(22,150	)		(22,119	)
Non-recurring costs assumed by Investment Advisor (See Note 9)		(675	)		(301	)		(287	)		(191	)		(150	)
Net expenses		111,932			99,411			94,278			87,801			68,603
Net investment income (loss)		745,752			96,986			319,180			(7,404	)		105,660
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCY AND FUTURES CONTRACTS:
Net realized gain (loss) on:
Investments		4,320,997			1,355,804			2,934,524			903,363			1,806,978
Foreign currency transactions		-			(7	)		-			(528	)		21
Futures contracts		34,986			-			-			-			-
Net realized loss on the disposal of investments purchased/sold in error (See Note 8)		-			-			-			-			-
Net realized gain		4,355,983			1,355,797			2,934,524			902,835			1,806,999
Net change in unrealized appreciation (depreciation) on:
Investments		218,462			1,236,106			(562,209	)		3,102,251			(367,374	)
Foreign currency translations		-			-			-			-			(12	)
Futures contracts		33,971			-			-			-			-
Net change in unrealized appreciation (depreciation)		252,433			1,236,106			(562,209	)		3,102,251			(367,386	)
Net gain		4,608,416			2,591,903			2,372,315			4,005,086			1,439,613
NET INCREASE IN NET ASSETS FROM OPERATIONS	$	5,354,168		$	2,688,889		$	2,691,495		$	3,997,682		$	1,545,273

See Accompanying Notes to Financial Statements.

126

	CMG Small Cap Growth Fund			CMG Small Cap Value Fund			CMG Small/Mid Cap Fund			CMG International Stock Fund
NET INVESTMENT INCOME:
Income:
Dividends	$	24,386		$	244,737		$	33,994		$	1,002,166
Interest		15,348			3,297			10,061			25,092
Foreign withholding tax		-			-			(263	)		(46,755	)
Total income		39,734			248,034			43,792			980,503
Expenses:
Investment advisory fee		154,481			145,304			115,386			464,406
Trustees' fees		4,051			4,466			3,996			6,280
Audit fee		17,683			16,050			15,163			16,796
Trustee legal counsel fees		1,070			1,170			2,062			3,584
Non-recurring costs (See Note 9)		294			276			239			946
Total operating expenses		177,579			167,266			136,846			492,012
Interest expense		662			134			-			5,951
Total expenses		178,241			167,400			136,846			497,963
Expense reimbursement from Investment Advisor		(22,804	)		(21,686	)		(21,221	)		(26,660	)
Non-recurring costs assumed by Investment Advisor (See Note 9)		(294	)		(276	)		(239	)		(946	)
Net expenses		155,143			145,438			115,386			470,357
Net investment income (loss)		(115,409	)		102,596			(71,594	)		510,146
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCY AND FUTURES CONTRACTS:
Net realized gain (loss) on:
Investments		3,837,977			2,137,669			5,102,783			12,659,911
Foreign currency transactions		(1,881	)		-			(697	)		(108,522	)
Futures contracts		-			-			-			-
Net realized loss on the disposal of investments purchased/sold in error (See Note 8)		-			-			-			-
Net realized gain		3,836,096			2,137,669			5,102,086			12,551,389
Net change in unrealized appreciation (depreciation) on:
Investments		1,677,294			981,635			(1,997,945	)		8,398,547
Foreign currency translations		-			-			-			1,061
Futures contracts		-			-			-			-
Net change in unrealized appreciation (depreciation)		1,677,294			981,635			(1,997,945	)		8,399,608
Net gain		5,513,390			3,119,304			3,104,141			20,950,997
NET INCREASE IN NET ASSETS FROM OPERATIONS	$	5,397,981		$	3,221,900		$	3,032,547		$	21,461,143

See Accompanying Notes to Financial Statements.

127

STATEMENTS OF CHANGES IN NET ASSETS

	CMG Enhanced S&P 500® Index Fund
	(Unaudited) Six Months Ended January 31, 2006			Year Ended July 31, 2005
Operations:
Net investment income	$	745,752		$	1,901,574
Net realized gain on investments and futures contracts		4,355,983			2,731,812
Net change in unrealized appreciation (depreciation) on investments and futures contracts		252,433			9,378,890
Net increase from operations		5,354,168			14,012,276
Distributions declared to shareholders:
From net investment income		(1,547,386	)		(1,713,416	)
From net realized gains		(4,395,562	)		(896,196	)
Total distributions declared to shareholders		(5,942,948	)		(2,609,612	)
Share transactions:
Subscriptions		8,059,337			17,245,602
Distributions reinvested		1,192,965			408,128
Redemptions		(13,377,268	)		(35,670,610	)
Net decrease in share transactions		(4,124,966	)		(18,016,880	)
Net decrease in net assets		(4,713,746	)		(6,614,216	)
NET ASSETS:
Beginning of period		91,633,067			98,247,283
End of period	$	86,919,321		$	91,633,067
Undistributed net investment income, at end of period	$	20,027		$	821,661
Change in shares:
Subscriptions		599,755			1,353,553
Issued for distributions reinvested		90,582			31,274
Redemptions		(985,744	)		(2,804,223	)
Net decrease		(295,407	)		(1,419,396	)

See Accompanying Notes to Financial Statements.

128

STATEMENTS OF CHANGES IN NET ASSETS

	CMG Large Cap Growth Fund						CMG Large Cap Value Fund
	(Unaudited) Six Months Ended January 31, 2006			Year Ended July 31, 2005			(Unaudited) Six Months Ended January 31, 2006			Year Ended July 31, 2005
Operations:
Net investment income	$	96,986		$	430,830		$	319,180		$	917,233
Net realized gain on investments and foreign   currency transactions		1,355,797			2,173,562			2,934,524			2,822,819
Net change in unrealized appreciation (depreciation)   on investments		1,236,106			2,991,580			(562,209	)		2,693,045
Net increase from operations		2,688,889			5,595,972			2,691,495			6,433,097
Distributions declared to shareholders:
From net investment income		(244,682	)		(349,571	)		(786,000	)		(908,008	)
From net realized gains		(2,107,614	)		-			(4,217,978	)		(142,837	)
Total distributions declared to shareholders		(2,352,296	)		(349,571	)		(5,003,978	)		(1,050,845	)
Share transactions:
Subscriptions		507,997			4,995,496			2,030,070			2,725,323
Distributions reinvested		1,081,857			60,880			2,230,353			327,447
Redemptions		(3,982,843	)		(10,674,833	)		(3,957,442	)		(17,558,515	)
Net increase (decrease) in share transactions		(2,392,989	)		(5,618,457	)		302,981			(14,505,745	)
Net decrease in net assets		(2,056,396	)		(372,056	)		(2,009,502	)		(9,123,493	)
NET ASSETS:
Beginning of period		40,311,521			40,683,577			38,731,225			47,854,718
End of period	$	38,255,125		$	40,311,521		$	36,721,723		$	38,731,225
Undistributed (overdistributed) net investment income,   at end of period	$	(7,476	)	$	140,220		$	15,910		$	482,730
Change in shares:
Subscriptions		42,719			458,901			178,813			227,396
Issued for distributions reinvested		94,074			5,349			197,377			27,061
Redemptions		(334,198	)		(974,348	)		(311,049	)		(1,480,049	)
Net increase (decrease)		(197,405	)		(510,098	)		65,141			(1,225,592	)

See Accompanying Notes to Financial Statements.

129

STATEMENTS OF CHANGES IN NET ASSETS

	CMG Mid Cap Growth Fund						CMG Mid Cap Value Fund
	(Unaudited) Six Months Ended January 31, 2006			Year Ended July 31, 2005			(Unaudited) Six Months Ended January 31, 2006			Year Ended July 31, 2005
Operations:
Net investment income (loss)	$	(7,404	)	$	(42,193	)	$	105,660		$	177,527
Net realized gain on investments and foreign   currency transactions		902,835			1,198,457			1,806,999			2,034,357
Net change in unrealized appreciation (depreciation)   on investments and foreign   currency translations		3,102,251			3,842,377			(367,386	)		2,345,276
Net increase from operations		3,997,682			4,998,641			1,545,273			4,557,160
Distributions declared to shareholders:
From net investment income		-			-			(193,534	)		(147,310	)
From net realized gains		(596,195	)		-			(2,793,995	)		(163,069	)
Total distributions declared to shareholders		(596,195	)		-			(2,987,529	)		(310,379	)
Share transactions:
Subscriptions		1,096,068			6,916,364			379,374			1,333,206
Distributions reinvested		256,151			-			1,221,997			93,631
Redemptions		(3,406,968	)		(6,317,811	)		(3,013,978	)		(6,390,522	)
Net increase (decrease) in share transactions		(2,054,749	)		598,553			(1,412,607	)		(4,963,685	)
Net increase (decrease) in net assets		1,346,738			5,597,194			(2,854,863	)		(716,904	)
NET ASSETS:
Beginning of period		24,880,708			19,283,514			21,277,295			21,994,199
End of period	$	26,227,446		$	24,880,708		$	18,422,432		$	21,277,295
Undistributed (overdistributed) net investment income,   at end of period	$	-		$	-		$	(1,166	)	$	86,708
Accumulated net investment loss, at end of period	$	(9,136	)	$	(1,732	)	$	-		$	-
Change in shares:
Subscriptions		73,925			523,196			25,218			99,662
Issued for distributions reinvested		17,122			-			91,535			6,769
Redemptions		(224,835	)		(511,129	)		(198,792	)		(452,689	)
Net increase (decrease)		(133,788	)		12,067			(82,039	)		(346,258	)

See Accompanying Notes to Financial Statements.

130

STATEMENTS OF CHANGES IN NET ASSETS

	CMG Small Cap Growth Fund						CMG Small Cap Value Fund
	(Unaudited) Six Months Ended January 31, 2006			Year Ended July 31, 2005			(Unaudited) Six Months Ended January 31, 2006			Year Ended July 31, 2005
Operations:
Net investment income (loss)	$	(115,409	)	$	(210,173	)	$	102,596		$	314,346
Net realized gain on investments and foreign currency transactions		3,836,096			2,188,414			2,137,669			3,348,725
Net change in unrealized appreciation (depreciation)   on investments		1,677,294			4,715,850			981,635			5,239,285
Net increase from operations		5,397,981			6,694,091			3,221,900			8,902,356
Distributions declared to shareholders:
From net investment income		-			-			(279,581	)		(284,580	)
From net realized gains		(4,969,355	)		(2,288,048	)		(3,938,120	)		(2,878,862	)
Total distributions declared to shareholders		(4,969,355	)		(2,288,048	)		(4,217,701	)		(3,163,442	)
Share transactions:
Subscriptions		1,189,315			7,038,718			1,241,753			4,687,869
Distributions reinvested		3,547,179			1,423,106			2,926,706			1,901,545
Redemptions		(2,620,262	)		(9,950,497	)		(2,501,300	)		(15,695,410	)
Net increase (decrease) in share transactions		2,116,232			(1,488,673	)		1,667,159			(9,105,996	)
Net increase (decrease) in net assets		2,544,858			2,917,370			671,358			(3,367,082	)
NET ASSETS:
Beginning of period		38,644,832			35,727,462			36,989,277			40,356,359
End of period	$	41,189,690		$	38,644,832		$	37,660,635		$	36,989,277
Undistributed (overdistributed) net investment income,  at end of period	$	-		$	-		$	(7,381	)	$	169,604
Accumulated net investment loss, at end of period	$	(117,378	)	$	(1,969	)	$	-		$	-
Change in shares:
Subscriptions		88,298			556,247			79,121			322,487
Issued for distributions reinvested		287,921			108,303			203,244			124,773
Redemptions		(197,016	)		(793,968	)		(158,831	)		(1,045,818	)
Net increase (decrease)		179,203			(129,418	)		123,534			(598,558	)

See Accompanying Notes to Financial Statements.

131

STATEMENTS OF CHANGES IN NET ASSETS

	CMG Small/Mid Cap Fund						CMG International Stock Fund
	(Unaudited) Six Months Ended January 31, 2006			Year Ended July 31, 2005			(Unaudited) Six Months Ended January 31, 2006			Year Ended July 31, 2005
Operations:
Net investment income (loss)	$	(71,594	)	$	(162,021	)	$	510,146		$	2,249,362
Net realized gain on investments and foreign currency transactions		5,102,086			12,002,485			12,551,389			12,958,426
Net change in unrealized appreciation (depreciation) on   investments, foreign currency   translations and foreign capital   gains tax		(1,997,945	)		(736,986	)		8,399,608			9,070,617
Net increase from operations		3,032,547			11,103,478			21,461,143			24,278,405
Distributions declared to shareholders:
From net investment income		-			-			(2,041,359	)		(1,284,092	)
From net realized gains		(1,443,974	)		-			(14,728,493	)		(3,640,598	)
Total distributions declared to shareholders		(1,443,974	)		-			(16,769,852	)		(4,924,690	)
Share transactions:
Subscriptions		-			4,646,441			3,539,305			15,229,078
Distributions reinvested		1,443,974			-			10,430,452			2,823,586
Redemptions		(26,497,901	)		(27,656,623	)		(39,524,072	)		(53,513,076	)
Net decrease in share transactions		(25,053,927	)		(23,010,182	)		(25,554,315	)		(35,460,412	)
Net decrease in net assets		(23,465,354	)		(11,906,704	)		(20,863,024	)		(16,106,697	)
NET ASSETS:
Beginning of period		38,754,879			50,661,583			136,144,228			152,250,925
End of period	$	15,289,525		$	38,754,879		$	115,281,204		$	136,144,228
Undistributed (overdistributed) net investment income,   at end of period	$	-		$	-		$	(5,729	)	$	1,525,484
Accumulated net investment loss, at end of period	$	(73,701	)	$	(2,107	)	$	-		$	-
Change in shares:
Subscriptions		-			439,948			247,493			1,177,932
Issued for distributions reinvested		132,353			-			788,394			209,932
Redemptions		(2,231,586	)		(2,842,595	)		(2,718,127	)		(3,998,529	)
Net decrease		(2,099,233	)		(2,402,647	)		(1,682,240	)		(2,610,665	)

See Accompanying Notes to Financial Statements.

132

NOTES TO FINANCIAL STATEMENTS

January 31, 2006 (Unaudited)

Note 1.  Organization:

CMG Fund Trust (the "Trust") is an Oregon business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. Information presented in these financial statements pertains to the following diversified funds (individually referred to as a "Fund", collectively referred to as the "Funds"):

  CMG Enhanced S&P 500^® Index Fund
  CMG Large Cap Growth Fund
  CMG Large Cap Value Fund
  CMG Mid Cap Growth Fund
  CMG Mid Cap Value Fund
  CMG Small Cap Growth Fund
  CMG Small Cap Value Fund
  CMG Small/Mid Cap Fund
  CMG International Stock Fund

Investment goals. The CMG Enhanced S&P 500^® Index Fund seeks to outperform the total return, over the long run, of the Standard & Poor's 500 Composite Stock Index (the "S&P 500^®"). The CMG Large Cap Growth Fund and CMG Large Cap Value Fund seek long-term growth by investing primarily in large capitalization equities. The CMG Mid Cap Growth Fund and CMG Mid Cap Value Fund seek long-term growth by investing primarily in middle capitalization equities. The CMG Small Cap Growth Fund and CMG Small Cap Value Fund seek long-term growth by investing primarily in small capitalization equities. The CMG Small/Mid Cap Fund seeks long-term capital appreciation by investing in small and middle capitalization equities. The CMG International Stock Fund seeks long-term capital appreciation.

Fund shares. Each Fund may issue an unlimited number of shares of no par value capital stock, which are offered continuously at net asset value.

Note 2.  Significant accounting policies:

Use of estimates. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America ("GAAP") requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements.

Security valuation. Equity securities and exchange traded funds are valued at the last sale price on the principal exchange on which they trade, except for securities traded on the NASDAQ, which are valued at the NASDAQ official close price. Investments in open-end investment companies are valued at net asset value. Unlisted securities or listed securities for which there were no sales during the day are valued at the closing bid price on such exchanges or over-the-counter markets.

Short-term debt obligations maturing within 60 days are valued at amortized cost, which approximates market value.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

133

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2006 (Unaudited)

Foreign securities are generally valued at the last sale price on the foreign exchange or market on which they trade. If any foreign share prices are not readily available as a result of limited share activity, the securities are valued at the last sale price of the local shares in the principal market in which such securities are normally traded.

Generally, trading in foreign securities is substantially completed each day at various times prior to the close of the New York Stock Exchange ("NYSE"). The values of such securities used in computing the net asset value of the Funds' shares are determined as of such times. Foreign currency exchange rates are generally determined at 4:00 p.m. Eastern (U.S.) time. Events affecting the values of such foreign securities and such exchange rates may occur between the times at which they are determined and the close of the customary trading session of the NYSE, which would not be reflected in the computation of the Funds' net asset value. If events materially affecting the values of such foreign securities occur and it is determined that market quotations are not reliable, then these foreign securities will be valued at their fair value using procedures approved by the Board of Trustees. The CMG International Stock Fund may use a sys tematic fair valuation model provided by an independent third party to value securities principally traded in foreign markets in order to adjust for possible stale pricing that may occur between the close of the foreign exchanges and the time for valuation. If a security is valued at a "fair value", such value is likely to be different from the last quoted market price for the security.

Investments for which market quotations are not readily available, or that have quotations which management believes are not appropriate, are valued at fair value as determined in good faith under consistently applied procedures established by and under the general supervision of the Board of Trustees.

Security transactions. Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.

Repurchase agreements. Each Fund may engage in repurchase agreement transactions with institutions that the Funds' investment advisor has determined are creditworthy. Each Fund, through its custodian, receives delivery of underlying securities collateralizing a repurchase agreement. Collateral is at least equal, at all times, to the value of the repurchase obligation including interest. A repurchase agreement transaction involves certain risks in the event of default or insolvency of the counterparty. These risks include possible delays or restrictions upon each Fund's ability to dispose of the underlying securities and a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights.

Futures contracts. Certain Funds may invest in interest rate, index and foreign currency futures contracts. The Funds will invest in these instruments to hedge against the effects of changes in the value of portfolio securities due to anticipated changes in interest rates and/or market conditions, for duration management, or when the transactions are economically appropriate to the reduction of risk inherent in the management of the Funds and not for trading purposes. The use of futures contracts involves certain risks, which include: (1) imperfect correlation between the price movement of the instruments and the underlying securities, (2) inability to close out positions due to differing trading hours, or the temporary absence of a liquid market, for either the instrument or the underlying securities, or (3) an inaccurate prediction by Columbia Management A dvisors, LLC of the future direction of interest rates. Any of these risks may involve amounts exceeding the variation margin recorded in the Fund's Statement of Assets and Liabilities at any given time.

Income recognition. Interest income is recorded on the accrual basis. Corporate actions and dividend income are recorded on the ex-date, except for certain foreign securities which are recorded as soon after ex-date as the Funds become aware of such, net of non-reclaimable tax withholdings. Distributions paid by real estate investment trusts (REITs) in excess of their income are recorded as a reduction of the cost of the related investments. If the Funds no longer own the applicable securities, any distributions received in excess of income are recorded as realized gains.

Foreign currency transactions. The values of all assets and liabilities quoted in foreign currencies are translated into U.S. dollars at that day's exchange rates. Net realized and unrealized gains (losses) on foreign currency transactions include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.

134

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2006 (Unaudited)

For financial statement purposes, the Funds do not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments.

Federal income tax status. Each Fund intends to qualify each year as a "regulated investment company" under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its taxable income, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, each Fund intends to distribute in each calendar year substantially all of its net investment income, capital gains and certain other amounts, if any, such that each Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.

Distributions to shareholders. Distributions to shareholders are recorded on ex-date. Net realized capital gains, if any, are distributed at least annually.

Note 3.  Federal tax information:

The tax character of distributions paid during the year ended July 31, 2005 was as follows:

	Ordinary Income*		Long-Term Capital Gains
CMG Enhanced S&P 500® Index Fund	$	2,576,992	$	32,620
CMG Large Cap Growth Fund		349,571		—
CMG Large Cap Value Fund		1,050,685		160
CMG Mid Cap Growth Fund		—		—
CMG Mid Cap Value Fund		303,737		6,642
CMG Small Cap Growth Fund		1,856,510		431,538
CMG Small Cap Value Fund		2,640,925		522,517
CMG Small/Mid Cap Fund		—		—
CMG International Stock Fund		1,263,220		3,661,470

*  For tax purposes short-term capital gains distributions, if any, are considered ordinary income distributions.

Unrealized appreciation and depreciation at January 31, 2006, based on cost of investments for federal income tax purposes, excluding any unrealized appreciation and depreciation from changes in the value of other assets and liabilities resulting from changes in exchange rates, was:

	Unrealized Appreciation		Unrealized Depreciation			Net Unrealized Appreciation
CMG Enhanced S&P 500® Index Fund	$	14,013,647	$	(1,695,556	)	$	12,318,091
CMG Large Cap Growth Fund		5,229,042		(239,786	)		4,989,256
CMG Large Cap Value Fund		5,210,410		(427,768	)		4,782,642
CMG Mid Cap Growth Fund		7,397,430		(189,689	)		7,207,741
CMG Mid Cap Value Fund		3,702,516		(104,586	)		3,597,930
CMG Small Cap Growth Fund		7,382,041		(601,892	)		6,780,149
CMG Small Cap Value Fund		12,770,258		(715,510	)		12,054,748
CMG Small/Mid Cap Fund		4,287,463		(57,601	)		4,229,862
CMG International Stock Fund		25,867,488		(400,667	)		25,466,821

135

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2006 (Unaudited)

The following capital loss carryforwards, determined as of July 31, 2005, may be available to reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code:

	Year of Expiration
	2010		2011		Total
CMG International Stock Fund	$	2,719,144	$	420,427	$	3,139,571

Note 4.  Fees and compensation paid to affiliates:

Investment advisory fee. Columbia Management Advisors, LLC ("Columbia"), an indirect, wholly-owned subsidiary of Bank of America Corporation ("BOA"), is the investment advisor to the Funds. Prior to September 30, 2005, Columbia Management Advisors, Inc. was the investment advisor to the Funds under the same fee structure. On September 30, 2005, Columbia Management Advisors, Inc. merged into Banc of America Capital Management, LLC. At that time, the investment advisor was then renamed Columbia Management Advisors, LLC.

Each Fund's investment advisory fee is a unified fee. Columbia, out of the unified fee it receives from the Funds, pays all accounting fees, legal fees, pricing and bookkeeping fees, transfer agent fees, custody fees, expenses of the Chief Compliance Officer, fees for Sarbanes-Oxley compliance, the commitment fee for the line of credit and miscellaneous expenses of the Funds. The unified fee does not include brokerage fees, taxes, Trustees' fees, Trustee legal counsel fees, audit fees, interest expense associated with any borrowings by the Funds or extraordinary expenses, if any. The unified fees are paid monthly to Columbia based on each Fund's average daily net assets at the following annual rates:

CMG Enhanced S&P 500® Index Fund	0.25	%
CMG Large Cap Growth Fund	0.50	%
CMG Large Cap Value Fund	0.50	%
CMG Mid Cap Growth Fund	0.70	%
CMG Mid Cap Value Fund	0.70	%
CMG Small Cap Growth Fund	0.80	%
CMG Small Cap Value Fund	0.80	%
CMG Small/Mid Cap Fund	0.75	%
CMG International Stock Fund	0.75	%

Pricing & bookkeeping fees. Columbia is responsible for providing pricing and bookkeeping services to each Fund under a pricing, bookkeeping and fund administration agreement. Under a separate agreement (the "Outsourcing Agreement"), Columbia has delegated certain of those functions to State Street Bank and Trust Company ("State Street"). As a result, Columbia pays fees to State Street under the Outsourcing Agreement. The pricing and bookkeeping fees for the Funds are paid by Columbia.

Transfer agent fee. Columbia Management Services, Inc. (formerly Columbia Funds Services, Inc.) (the "Transfer Agent"), an affiliate of Columbia and an indirect, wholly-owned subsidiary of BOA, provides shareholder services to the Funds and has contracted with Boston Financial Data Services ("BFDS") to serve as sub-transfer agent. The transfer agent fees for the Funds are paid by Columbia. The Transfer Agent may also retain, as additional compensation for its services, fees for wire, telephone and redemption orders, IRA trustee agent fees and account transcript fees due the Transfer Agent from shareholders of the Funds and credits (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Funds.

Expense limits and fee waivers. Columbia has contractually agreed to reimburse the Funds through March 1, 2009 for certain expenses so that the expenses incurred by the Funds, including the investment advisory fees, will not exceed the following annual rates based on each Fund's average daily net assets:

CMG Enhanced S&P 500® Index Fund	0.25	%
CMG Large Cap Growth Fund	0.50	%

136

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2006 (Unaudited)

CMG Large Cap Value Fund	0.50	%
CMG Mid Cap Growth Fund	0.70	%
CMG Mid Cap Value Fund	0.70	%
CMG Small Cap Growth Fund	0.80	%
CMG Small Cap Value Fund	0.80	%
CMG Small/Mid Cap Fund	0.75	%
CMG International Stock Fund	0.75	%

Fees paid to officers and trustees. All officers of the Funds, with the exception of the Fund's Chief Compliance Officer, are employees of Columbia, or its affiliates and receive no compensation from the Funds. The Board of Trustees has appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. The expenses of the Chief Compliance Officer are paid by Columbia.

The Funds' Trustees may participate in a deferred compensation plan which may be terminated at any time. Obligations of the plan will be paid solely out of the Funds' assets.

Other. Columbia provides certain services to the Funds related to Sarbanes-Oxley compliance. The fees for such services are paid by Columbia.

Note 5.  Portfolio information:

For the six months ended January 31, 2006, the cost of purchases and proceeds from sales of securities, excluding short-term obligations, were as follows:

	Purchases		Sales
CMG Enhanced S&P 500® Index Fund	$	29,910,231	$	36,096,034
CMG Large Cap Growth Fund		24,667,567		29,023,271
CMG Large Cap Value Fund		22,843,926		27,619,317
CMG Mid Cap Growth Fund		6,062,276		9,609,583
CMG Mid Cap Value Fund		4,877,012		9,521,196
CMG Small Cap Growth Fund		52,792,853		54,951,533
CMG Small Cap Value Fund		6,183,029		8,717,867
CMG Small/Mid Cap Fund		17,504,366		43,964,798
CMG International Stock Fund		56,236,520		96,369,296

Note 6.  Line of credit:

The Funds and other affiliated funds participate in a $350,000,000 committed unsecured revolving line of credit provided by State Street Bank and Trust Company. Borrowings are used for temporary or emergency purposes to facilitate portfolio liquidity. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the Federal Funds rate plus 0.50%. In addition, a commitment fee of 0.10% per annum is accrued and apportioned among the participating funds based on their pro-rata portion of the unutilized line of credit. The commitment fee is paid by Columbia.

137

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2006 (Unaudited)

For the six months ended January 31, 2006, the average daily loan balance outstanding on days where borrowings existed and the weighted average interest rates for Funds that participated in this arrangement are as follows:

	Average Borrowings		Weighted Average Interest Rates
CMG Enhanced S&P 500® Index Fund	$	2,000,000		4.27	%
CMG Large Cap Growth Fund		1,000,000		4.77	%
CMG Small Cap Growth Fund		1,000,000		4.76	%
CMG Small Cap Value Fund		1,000,000		4.81	%
CMG International Stock Fund		6,428,571		4.77	%

Note 7.  Shares of beneficial interest:

As of January 31, 2006, the Funds had shareholders whose shares were beneficially owned by participant accounts over which BOA and/or its affiliates had either sole or joint investment discretion. Subscription and redemption activity of these accounts may have a significant effect on the operations of the Funds. The numbers of accounts and the percentages of shares of beneficial interest outstanding held therein are as follows:

	Number of Shareholders		% of Shares Outstanding Held
CMG Enhanced S&P 500® Index Fund		1		100.0	%
CMG Large Cap Growth Fund		1		100.0	%
CMG Large Cap Value Fund		1		100.0	%
CMG Mid Cap Growth Fund		1		100.0	%
CMG Mid Cap Value Fund		1		100.0	%
CMG Small Cap Growth Fund		1		97.6	%
CMG Small Cap Value Fund		1		97.4	%
CMG International Stock Fund		1		96.1	%

As of January 31, 2006, one of the Funds had shareholders that held greater than 5% of the shares outstanding and Bank of America and/or its affiliates did not have investment discretion. Subscription and redemption activity of these shareholders may have a material effect on the Fund. The number of accounts and the percentage of shares of beneficial interest outstanding held therein are as follows:

	Number of Shareholders		% of Shares Outstanding Held
CMG Small/Mid Cap Fund		3		100.0	%

Note 8.  Other:

During the six months ended January 31, 2006, CMG Large Cap Value Fund and CMG Small Cap Value Fund each had a realized loss due to a trading error. The losses of $1,748 and $474, respectively, were reimbursed by Columbia.

138

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2006 (Unaudited)

Note 9.  Disclosure of significant risks and contingencies:

Foreign securities. There are certain additional risks involved when investing in foreign securities that are not inherent with investments in domestic securities. These risks may involve foreign currency exchange rate fluctuations, adverse political and economic developments and the possible prevention of currency exchange or other foreign governmental laws or restrictions. In addition, the liquidity of foreign securities may be more limited than that of domestic securities.

Investments in emerging market countries are subject to additional risk. The risk of foreign investments is typically increased in less developed countries. These countries are also more likely to experience high levels of inflation, deflation or currency devaluation which could hurt their economies and securities markets.

Industry focus. The Funds may focus their investments in certain industries, subjecting them to greater risk than a fund that is more diversified.

Legal proceedings. On February 9, 2005, Columbia Management Advisors, Inc. (which has since merged into Banc of America Capital Management, LLC (now named Columbia Management Advisors, LLC)) ("Columbia") and Columbia Funds Distributor, Inc. (which has been renamed Columbia Management Distributors, Inc.) (the "Distributor") (collectively, the "Columbia Group") entered into an Assurance of Discontinuance with the New York Attorney General ("NYAG") (the "NYAG Settlement") and consented to the entry of a cease-and-desist order by the Securities and Exchange Commission ("SEC") (the "SEC Order"). The SEC Order and the NYAG Settlement are referred to collectively as the "Settlements". The Settlements contain substantially the same terms and conditions as outlined in the agreements in principle which Columbia Group entered into with the SEC and NYAG in March 2004.

Under the terms of the SEC Order, the Columbia Group has agreed among other things, to: pay $70 million in disgorgement and $70 million in civil money penalties; cease and desist from violations of the antifraud provisions and certain other provisions of the federal securities laws; maintain certain compliance and ethics oversight structures; retain an independent consultant to review the Columbia Group's applicable supervisory, compliance, control and other policies and procedures; and retain an independent distribution consultant (see below). The Columbia Funds have also voluntarily undertaken to implement certain governance measures designed to maintain the independence of their boards of trustees. The NYAG Settlement also, among other things, requires Columbia and its affiliates to reduce certain Columbia Funds (including the former Nations Funds) and other mutual funds management fees collectively by $32 million per year fo r five years, for a projected total of $160 million in management fee reductions.

Pursuant to the procedures set forth in the SEC order, the $140 million in settlement amounts described above will be distributed in accordance with a distribution plan developed by an independent distribution consultant and agreed to by the staff of the SEC. The independent distribution consultant has been in consultation with the Staff, and has submitted a draft proposed plan of distribution, but has not yet submitted a final proposed plan of distribution.

As a result of these matters or any adverse publicity or other developments resulting from them, there may be increased redemptions or reduced sales of fund shares, which could increase transaction costs or operating expenses, or have other adverse consequences for the funds.

A copy of the SEC Order is available on the SEC website at http://www.sec.gov. A copy of the NYAG Settlement is available as part of the Bank of America Corporation Form 8-K filing on February 10, 2005.

In connection with the events described in detail above, various parties have filed suit against certain funds, the Trustees of the Columbia Funds, FleetBoston Financial Corporation and its affiliated entities and/or Bank of America and its affiliated entities.

139

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2006 (Unaudited)

On February 20, 2004, the Judicial Panel on Multidistrict Litigation transferred these cases and cases against several other mutual fund companies based on similar allegations to the United States District Court in Maryland for consolidated or coordinated pretrial proceedings (the "MDL"). Subsequently, additional related cases were transferred to the MDL. On September 29, 2004, the plaintiffs in the MDL filed amended and consolidated complaints. One of these amended complaints is a putative class action that includes claims under the federal securities laws and state common law, and that names Columbia, the Distributor, the Trustees of the Columbia Funds, Bank of America Corporation and others as defendants. Another of the amended complaints is a derivative action purportedly on behalf of the Columbia Funds that asserts claims under federal securities laws and state common law.

On February 25, 2005, Columbia and other defendants filed motions to dismiss the claims in the pending cases. On March 1, 2006, for reasons stated in the court's memoranda dated November 3, 2005, the U.S. District Court for the District of Maryland granted in part and denied in part the defendants' motions to dismiss. The court dismissed all of the class action claims pending against the Columbia Funds. As to Columbia, the Distributor and the Trustees of the Columbia Funds, the claims under the Securities Act of 1933, the claims under Sections 34(b) and 36(a) of the Investment Company Act of 1940 (ICA) and the state law claims were dismissed. The claims under Sections 10(b) and 20(a) of the Securities Exchange Act of 1934 and claims under Section 36(b) of the ICA along with related claims under Section 48(a) of the ICA were not dismissed.

On March 21, 2005 purported class action plaintiffs filed suit in Massachusetts state court alleging that the conduct, including market timing, entitles Class B shareholders in certain Columbia funds to an exemption from contingent deferred sales charges upon early redemption ("the CDSC Lawsuit"). The CDSC Lawsuit has been removed to federal court in Massachusetts and the federal Judicial Panel has transferred the CDSC Lawsuit to the MDL.

The MDL is ongoing. Accordingly, an estimate of the financial impact of this litigation on any fund, if any, cannot currently be made.

In 2004, certain Columbia funds, the Trustees of the Columbia Funds, advisers and affiliated entities were named as defendants in certain purported shareholder class and derivative actions making claims, including claims under the Investment Company and the Investment Advisers Acts of 1940 and state law. The suits allege, inter alia, that the fees and expenses paid by the funds are excessive and that the advisers and their affiliates inappropriately used fund assets to distribute the funds and for other improper purpose. On March 2, 2005, the actions were consolidated in the Massachusetts federal court as In re Columbia Entities Litigation. The plaintiffs filed a consolidated amended complaint on June 9, 2005. On November 30, 2005, the judge dismissed all claims by plaintiffs and ordered that the case be closed. The plaintiffs filed a notice of appeal on December 30, 2005 and this appeal is pending.

For the six months ended January 31, 2006, Columbia has assumed legal, consulting services and Trustees' fees incurred by the Funds in connection with these matters as follows:

CMG Enhanced S&P 500® Index Fund	$	675
CMG Large Cap Growth Fund		301
CMG Large Cap Value Fund		287
CMG Mid Cap Growth Fund		191
CMG Mid Cap Value Fund		150
CMG Small Cap Growth Fund		294
CMG Small Cap Value Fund		276
CMG Small/Mid Cap Fund		239
CMG International Stock Fund		946

140

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2006 (Unaudited)

Note 10.  Subsequent event:

On March 27, 2006, each Fund will be re-domiciled into a new series of Columbia Funds Institutional Trust. Columbia Funds Institutional Trust is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.

Immediately following the re-domiciling, CMG Small Cap Growth Fund will be reorganized into CMG Small Cap Fund. CMG Small Cap Fund will then change its name to CMG Small Cap Growth Fund.

141

Board Consideration and Approval of Investment Advisory Agreements

The Advisory Fees and Expenses Committee of the Board of Trustees meets one or more times annually, usually in late summer, to review the advisory agreements (collectively, the "Agreements") of the funds for which the Trustees serve as trustees or directors (each a "fund") and determine whether to recommend that the full Board approve the continuation of the Agreements for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements. In addition, the Board, including the Independent Trustees, considers matters bearing on the Agreements at most of its other meetings throughout the year and meets regularly with the heads of each investment area within Columbia. The Trustees also meet with selected fund portfolio managers at various times throughout the year.

The Trustees receive and review all materials that they, their legal counsel or Columbia, the funds' investment adviser, believe to be reasonably necessary for the Trustees to evaluate the Agreements and determine whether to approve the continuation of the Agreements. Those materials generally include, among other items, (i) information on the investment performance of each fund relative to the performance of peer groups of mutual funds and the fund's performance benchmarks, (ii) information on each fund's advisory fees and other expenses, including information comparing the fund's expenses to those of peer groups of mutual funds and information about any applicable expense caps and fee "breakpoints," (iii) sales and redemption data, (iv) information about the profitability of the Agreements to Columbia, and potential "fall-out" or ancillary benefits that Columbia and its affiliates may receive as a result of their relationships with the funds and (v) information obtained through Columbia's response to a questionnaire prepared at the request of the Trustees by counsel to the funds and independent legal counsel to the Independent Trustees. The Trustees also consider other information such as (vi) Columbia's financial results and financial condition, (vii) each fund's investment objective and strategies and the size, education and experience of Columbia's investment staffs and their use of technology, external research and trading cost measurement tools, (viii) the allocation of the funds' brokerage, if any, including allocations to brokers affiliated with Columbia and the use of "soft" commission dollars to pay fund expenses and to pay for research products and services, (ix) Columbia's resources devoted to, and its record of compliance with, the funds' investment policies and restrictions, policies on personal securities transactions and other compliance policies, (x) Columbia's response to various legal and regulatory proceedings since 2003 and (xi) the economic outlook generally and for the mutual fund industry in particular. In addition, the Trustees confer with their independent fee consultant and review materials relating to the Agreements that the independent fee consultant provides. Throughout the process, the Trustees have the opportunity to ask questions of and request additional materials from Columbia and to consult independent legal counsel to the Independent Trustees.

The Board of Trustees most recently approved the continuation of the Agreements at its October, 2005 meeting, following meetings of the Advisory Fees and Expenses Committee held in August, September, and October, 2005. In considering whether to approve the continuation of the Agreements, the Trustees, including the Independent Trustees, did not identify any single factor as determinative, and each weighed various factors as he or she deemed appropriate. The Trustees considered the following matters in connection with their approval of the continuation of the Agreements:

The nature, extent and quality of the services provided to the funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by Columbia and its affiliates to the funds and the resources dedicated to the funds by Columbia and its affiliates. Among other things, the Trustees considered (i) Columbia's ability, including its resources, compensation programs for personnel involved in fund management, reputation and other attributes, to attract and retain highly qualified research, advisory and supervisory investment professionals; (ii) the portfolio management services provided by those investment professionals; and (iii) the trade execution services provided on behalf of the funds. For each fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family o f funds offering exposure to a variety of asset classes and investment disciplines and providing for a variety of fund and shareholder services. After reviewing those and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the continuation of the Agreements.

Investment performance of the funds and Columbia. The Trustees reviewed information about the performance of each fund over various time periods, including information prepared by an independent third party that compared the performance of each fund to the performance of peer groups of mutual funds and performance benchmarks. The

142

Board Consideration and Approval of Investment Advisory Agreements (continued)

Trustees also reviewed a description of the third party's methodology for identifying each fund's peer group for purposes of performance and expense comparisons. The Trustees also considered additional information that the Advisory Fees and Expenses Committee requested from Columbia relating to funds that presented relatively weaker performance and/or relatively higher expenses.

In the case of each fund that had performance that lagged that of a relevant peer group for certain (although not necessarily all) periods, the Trustees concluded that other factors relevant to performance were sufficient, in light of other considerations, to warrant continuation of the fund's Agreements. Those factors varied from fund to fund, but included one or more of the following: (i) that the fund's performance, although lagging in certain recent periods, was stronger over the longer term; (ii) that the underperformance was attributable, to a significant extent, to investment decisions that were reasonable and consistent with the fund's investment strategy and policies and that the fund was performing as expected, given market conditions and the fund's investment strategy; (iii) that the fund's performance was competitive when compared to other relevant performance benchmarks or peer groups; (iv) that Columbia had taken o r was taking steps designed to help improve the fund's investment performance, including, but not limited to, replacing portfolio managers or modifying investment strategies; (v) that the fund's advisory fee had recently been, or was proposed to be, reduced, with the goal of helping the fund's net return to shareholders become more competitive; and (vi) that other fund expenses, such as transfer agency or fund accounting fees, have recently been reduced, with the goal of helping the fund's net return to shareholders become more competitive. The Trustees also considered Columbia's performance and reputation generally, the funds' performance as a fund family generally, and Columbia's historical responsiveness to Trustee concerns about performance and Columbia's willingness to take steps intended to improve performance. After reviewing those and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of each fund and Columbi a was sufficient, in light of other considerations, to warrant the continuation of the Agreements.

The costs of the services provided and profits realized by Columbia and its affiliates from their relationships with the funds. The Trustees considered the fees charged to the funds for advisory services as well as the total expense levels of the funds. That information included comparisons (provided both by management and by an independent third party) of the funds' advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by Columbia to comparable accounts. In considering the fees charged to comparable accounts, the Trustees took into account, among other things, management's representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual funds and distribute mutual fund share s. In evaluating each fund's advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of the fund. The Trustees considered reductions in advisory fee rates, implementation of advisory fee breakpoints, institution of advisory fee waivers, and reductions of expense caps, which benefited a number of the funds. Furthermore, the Trustees considered the projected impact on expenses resulting from the overall cost reductions that management anticipated would result from the shift to a common group of service providers for transfer agency, fund accounting and custody services for mutual funds advised by Bank of America affiliates. The Trustees also noted management's stated justification for the fees charged to the funds, which included information about the performance of the funds, the services provided to the funds and management's view as to why it was appropriate that some funds bear advisory fees or total expenses greater than their peer group medians.

The Trustees also considered the compensation directly or indirectly received by Columbia and its affiliates from their relationships with the funds. The Trustees reviewed information provided by management as to the profitability to Columbia and its affiliates of their relationships with the funds, and information about the allocation of expenses used to calculate profitability. When reviewing profitability, the Trustees also considered court cases in which adviser profitability was an issue in whole or in part, the performance of the relevant funds, the expense levels of the funds, and whether Columbia had implemented breakpoints and/or expense caps with respect to the funds.

After reviewing those and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the funds were fair and reasonable, and that the costs of the advisory services generally, and the related profitability to Columbia and its affiliates of their relationships with the funds, supported the continuation of the Agreements.

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Board Consideration and Approval of Investment Advisory Agreements (continued)

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by Columbia to each fund and whether those economies were shared with the fund through breakpoints in the investment advisory fees or other means, such as expense waivers. The Trustees noted that many of the funds benefited from breakpoints, expense caps, or both. In considering those issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to Columbia and its affiliates of their relationships with the funds, as discussed above.

After reviewing those and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the funds supported the continuation of the Agreements.

Other Factors. The Trustees also considered other factors, which included but were not limited to the following:

  •  the extent to which each fund had operated in accordance with its investment objective and its record of compliance with its investment restrictions, and the compliance programs of the funds and Columbia. They also considered the compliance-related resources that Columbia and its affiliates were providing to the funds.

  •  the nature, quality, cost and extent of administrative and shareholder services performed by Columbia and its affiliates, both under the Agreements and under separate agreements for the provision of transfer agency and administrative services.

  •  so-called "fall-out benefits" to Columbia, such as the engagement of its affiliates to provide distribution, brokerage and transfer agency services to the funds, and the benefits of research made available to Columbia by reason of brokerage commissions generated by the funds' securities transactions, as well as possible conflicts of interest associated with those fall-out and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor those possible conflicts of interest.

  •  the draft report provided by the independent fee consultant, which included information about and analysis of the funds' fees, expenses and performance.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel and the independent fee consultant, the Trustees, including the Independent Trustees, approved the continuance of each of the Agreements through October 31, 2006.

144

Summary of Management Fee Evaluation by Independent Fee Consultant

Prepared Pursuant to the February 9, 2005 Assurance of Discontinuance between the Office of
Attorney General of New York State and Columbia Management Advisors, Inc. and
Columbia Funds Distributor, Inc. October 11, 2005

I. Overview

Columbia Management Advisors, Inc. ("CMA") and Columbia Funds Distributors, Inc. ("CFD") (CFD together with CMA referred to herein as Columbia Management Group or "CMG¹"), entered into an agreement with the New York Attorney General's Office in the form of an Assurance of Discontinuance (the "AOD"). The AOD stipulated that CMA would be permitted to manage or advise the Columbia Funds only if the Independent Members (as such term is defined in the AOD) of the Columbia Funds' Board of Trustees/Directors (collectively the "Trustees") appointed a Senior Officer or an Independent Fee Consultant ("IFC") who, among other things, is to manage the process by which management fees are negotiated. On May 15, 2005, the Independent Members of the Board appointed me as the IFC for the Columbia Funds. This report is the annual written evaluation of the Columbia Funds for 2005 that I have prepared in my capacity as IFC, as required b y the AOD.

A. Duties of the Independent Fee Consultant

As part of the AOD, the Independent Members of the Columbia Funds' Board of Trustees/Directors agreed to retain an independent fee consultant who was to participate in the management fee negotiation process. The IFC is charged with "... duties and responsibilities [that] include managing the process by which proposed management fees (including, but not limited to, advisory fees) to be charged the Columbia Fund[s] are negotiated so that they are negotiated in a manner which is at arms length and reasonable and consistent with this Assurance of Discontinuance." However, the IFC does not replace the Trustees in their role of negotiating management and other fees with CMG and its affiliates. In particular, the AOD states that "Columbia Advisors may manage or advise a Columbia Fund only if the reasonableness of the proposed management fees is determined by the Board of Trustees of the Columbia Fund using ... an annual independent wri tten evaluation prepared by or under the direction of the ... Independent Fee Consultant...." This report, pursuant to the AOD, constitutes the "annual independent written evaluation prepared by or under the direction of the... Independent Fee Consultant."

The AOD requires the IFC report to consider at least the following:

  a)  Management fees (including any components thereof) charged by other mutual fund companies for like services;

  b)  Management fees (including any components thereof) charged to institutional and other clients of CMA for like services;

  c)  Costs to CMA and its affiliates of supplying services pursuant to the management fee agreements, excluding any intra-corporate profit;

  d)  Profit margins of CMA and its affiliates from supplying such services;

  e)  Possible economies of scale as the CMA fund grows larger; and

  f)  The nature and quality of CMA services, including Columbia Funds' performance.

This report is designed to assist the Board in evaluating the 2005 contract renewal for Columbia Funds. In addition, this report points out areas where the Board may deem additional information and analysis to be appropriate over time.

¹  Prior to the date of this report, CMA merged into an affiliated entity, Banc of America Capital Management, LLC ("BACAP"), and BACAP then changed its name to Columbia Management Advisors, LLC which carries on the business of CMA, and CFD changed its name to Columbia Management Distributors, Inc.

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Summary of Management Fee Evaluation by Independent Fee Consultant (continued)

B. Sources of Information Used in My Evaluation

I have requested data from CMG and various third party industry data sources or independent research companies that work in the mutual fund arena. The following list generally describes the types of information I requested.

  1.  I collected data on performance, management fees, and expense ratios of both Columbia Funds and comparable non-Columbia Funds. The sources of this information were CMG, Lipper Inc. ("Lipper") and Morningstar Inc. ("Morningstar"). While Lipper and Morningstar each selected a different group of peer funds it deemed appropriate against which to measure the relative performance and fees of Columbia Funds, I conducted an independent review of the appropriateness of each peer group.

  2.  I reviewed data on CMG's expense and profitability that I obtained from CMA directly.

  3.  I have reviewed data on the organizational structure of CMG in general.

  4.  I collected information on profitability from Strategic Insight Mutual Fund Research and Consulting, LLC ("Strategic Insight"). I used this third-party independent research as an additional method to gauge the accuracy of the data collected in (2) above.

  5.  I conducted interviews with various CMG staff, including members of the senior management team, legal staff, heads of affiliates, portfolio managers, and financial personnel.

  6.  I reviewed current 2005 Section 15(c) material provided to the Board and material presented to the Board in the 2004 fee and performance evaluation.

  7.  I have reviewed various academic research papers, industry publications, and other available literature dealing with mutual fund operations, profitability, and other issues. In addition, I have reviewed SEC releases and studies of mutual fund expenses.

  8.  I have reviewed documents pertaining to recent mutual fund litigation in general and publicly available information about litigation where CMG has been involved.

In addition, I have engaged NERA Economic Consulting ("NERA") and independent consultant Dr. John Rea to assist me in data management and analysis. Both NERA and Dr. Rea have extensive experience in the mutual fund industry through consulting, government positions, or industry trade groups that provide unique insights and special knowledge pertaining to my independent analysis of fees, performance, and profitability. I have also retained Shearman & Sterling LLP as outside counsel to advise me in connection with my review.

C. Qualifications and Independence

I am the Walter H. Carpenter Chair and Professor of Finance at Babson College. Before this I was the Chief Economist of the U.S. Securities and Exchange Commission. I have no material relationship with Bank of America or CMG aside from acting as IFC, and am aware of no relationship with any of their affiliates.

[Resume omitted]

II. Evaluation of the general process used to negotiate the advisory contract

A. General Considerations

My analysis considered all factors and information I reviewed on the finances and operations of Columbia Funds. I gave each factor an appropriate weight in my overall findings, and no single factor was in itself the sole criterion for a finding or conclusion. My objective was to assess all of the information provided and conduct a robust evaluation of Columbia Funds' operations, fees, and performance.

My analysis and thought processes will and, I believe, should, differ in certain ways from the processes used by Trustees in their evaluation of the management agreements. In particular, because of my technical and quantitative background, I may use techniques and data that Trustees have not previously felt would be useful. I view this supplemental analysis as appropriate because my role is to assist Trustees in their decisions, and to the extent that I bring new ideas or

146

Summary of Management Fee Evaluation by Independent Fee Consultant (continued)

analysis to the evaluation, I believe this improves the process by which management fees for the Columbia Funds may be negotiated in accordance with the AOD.

Finally, as part of my role as IFC, I have, from time to time, sent to Trustees additional papers and reports produced by third parties that I felt had bearing on the fee negotiation process. I viewed these materials as educational in nature and felt they would aid Trustees in placing their work in context.

B. CMG Management Interviews

As a starting point of my analysis, I have met with members of CMG staff to gain an understanding of the organizational structure and personnel involved in running the Columbia fund family.

I have had general discussions and have received information about the management structure of CMG. My conversations with management have been informative. In addition, I have participated in Board meetings where Trustees and management have discussed issues relating to management agreements and performance of Columbia Funds. When I felt it was appropriate, I added my opinions on particular matters, such as fund performance or fee levels, to the discussion.

C. Trustees' Fee and Performance Evaluation Process

After making initial requests for information, members of the Trustees of the Columbia Funds met in advance of the October Section 15(c) contract approval meeting to review certain fee, performance and other data for the Columbia Funds and to ask questions and make requests of management. Trustees have developed a process to evaluate the fee and expense levels and performance of Columbia Funds. This process is used to highlight those funds that have been performing poorly, may have had higher management fees or expense ratios, or both.

The process involves providing instructions to Lipper to prepare specific data analyses tailored to the Trustees review framework. These instructions include highlighting funds that hit one or more fee performance "screens." The six screens the Trustees use are as follows:

  a.  5th Lipper quintile in actual management fee;

  b.  5th Lipper quintile in total expense ratio;

  c.  Three or more 5th Lipper quintile rankings in the 1-, 3-, 5- or 10-year performance rankings;

  d.  Sum of the Lipper Quintile Rank (1-year performance) and the Lipper Quintile Rank (actual management fee) totals a number equal to or higher than 8;

  e.  Sum of the Lipper Quintile Rank (1-year performance) and the Lipper Quintile Rank (total expense ratio) totals a number equal to or higher than 8; and

  f.  Sum of the Lipper Quintile Rank (3-year performance) and the Lipper Quintile Rank (total expense ratio) totals a number equal to or higher than 8.

If a fund hits one or more of these screens, it is highlighted for additional review by the Trustees. This method is only used as an aid for Trustees to highlight funds and is not the sole test of whether the Board will determine to take particular actions concerning fees or performance. Funds that have not been flagged by this screen also may be singled out for fee and performance reasons, and the Trustees may determine not to take action with respect to the fees or performance of funds that have been flagged by the screen. These screens contribute to the basis for discussions on Trustees' views on the Columbia Funds.

III. Findings

My findings based on my work as IFC are as follows:

  1.  The Trustees have the relevant information necessary to form an opinion on the reasonableness of fees and evaluate the performance of the Columbia Funds. The process the Trustees used in preparing to reach their determination has been open and informative. In my view, the 2005 process by which the management fees of

147

Summary of Management Fee Evaluation by Independent Fee Consultant (continued)

the Columbia Funds have been negotiated thus far has been, to the extent practicable, at arm's length and reasonable and consistent with the AOD.

  2.  Columbia Funds demonstrated a range of performance relative to their peers. I find that across the fund complex, 54.26 percent of Columbia Funds have performance higher than the median of their respective Lipper performance universe, and 42.55 percent of Columbia Funds have performance higher than the median of their respective Lipper performance group. In addition, Lipper performance universe and group comparison showed that Columbia Funds were distributed roughly evenly across these quintiles. The Trustees have worked with management to address issues of funds that have demonstrated consistent or significant underperformance.

  3.  Columbia Funds demonstrate a range of management fees and expense ratios relative to their peers. I find that across the fund complex, 58.51 percent of Columbia Funds have expenses below the median of their Lipper expense universe, and 53.19 percent of Columbia Funds have expenses below the median of their Lipper expense group. In addition, Lipper expense universe and group comparisons show that Columbia Funds are distributed roughly evenly across these quintiles. The Trustees have taken steps to limit shareholder expenses for certain funds having management fees significantly above their peers, often though the use of fee waivers to which CMG has agreed. Consolidation of various funds and fund families managed by CMG has resulted in substantial savings in non-advisory expenses.

  4.  Profitability to CMG of the individual funds ranges widely, but the overall profitability to CMG of its relationship with the Columbia Funds appears to fall within a reasonable range. The method of cost allocation to funds is addressed in the material provided by CMG to the Trustees, but additional information may be necessary to make a judgment on fund level profitability. My review of profitability and cost allocation is ongoing, and I plan to continue to develop my views with regard to fund level profitability.

  5.  Columbia Funds have instituted fee schedules with breakpoints designed to enable investors to benefit from fund economies of scale, although 71% of the funds have not yet reached their first breakpoint. My analysis of the appropriateness of the breakpoint levels, which I expect will take into account the cost and profitability of the individual funds, is ongoing.

My work is ongoing and my views may develop over time in light of new information and analysis.

Respectfully submitted,

Erik R. Sirri

148

CMG FUND TRUST

1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201

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P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081

SHC-44/106109-0106 (03/06) 06/10225

A description of the funds' proxy voting policies and procedures is available (i) on the funds' website, www.columbiamanagement.com; (ii) on the Securities and Exchange Commission's website at www.sec.gov, and (iii) without charge, upon request, by calling 800-368-0346. Information regarding how the funds voted proxies relating to portfolio securities during the 12-month period ended June 30 is available from the SEC's website. Information regarding how the funds voted proxies relating to portfolio securities is also available from the funds' website.

Each fund files file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Each fund's Form N-Q is available on the SEC's website at www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

The CMG funds are offered by prospectus through Columbia Management Distributors, Inc. Please consider the investment objectives, risks, charges and expenses of a mutual fund carefully before investing. Contact your Columbia Management representative or visit www.columbiamanagement.com for a prospectus, which contains this and other important information about the fund. Read it carefully before you invest.

Fund distributed by Columbia Management Distributors, Inc., One Financial Center, Boston, MA 02111-2621

CMG SMALL CAP FUND
A PORTFOLIO OF CMG FUND TRUST

Semiannual Report
January 31, 2006

Advised by Columbia Management Advisors, LLC

Not FDIC
Insured

May Lose Value

No Bank Guarantee

Columbia Management is the primary investment management division of Bank of America Corporation. Columbia Management entities furnish investment management services and advise institutional and mutual fund portfolios. CMG Funds are distributed by Columbia Management Distributors, Inc., member of NASD, SIPC, part of Columbia Management and an affiliate of Bank of America Corporation.

Columbia Management Advisors, Inc. combined with Banc of America Capital Management, LLC on September 30, 2005. At that time, the newly combined advisor underwent a name change to Columbia Management Advisors, LLC and continues to operate as a SEC-registered investment advisor, wholly owned subsidiary of Bank of America, N.A. and is part of Columbia Management.

The views expressed in the portfolio commentary reflect the current views of the Portfolio Manager. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to predict so actual outcomes and results may differ significantly from the views expressed. These views are subject to change at any time based upon economic, market or other conditions and the Portfolio Manager disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a CMG Fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any particular CMG Fund. References to specific company securities should not be construed as a recommendation or investment advice.

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE

CMG Small Cap Fund returned 17.54% for the six-month period ended January 31, 2006. The fund surpassed the Russell 2000 Growth Index¹ and the Russell 2000 Index¹, which returned 10.71% and 8.50%, respectively, for the same period. The fund also beat the Morningstar Small Growth Category average of 9.78% for the period.² Strong stock selection drove the fund's performance relative to its benchmarks and peer group.

In an environment that was generally favorable for small-cap stocks, solid stock picking and an overweight position in the industrials sector enhanced performance. A constructive outlook on machinery stocks warranted the fund's sizeable positions in Terex Corp. and Joy Global, Inc., which benefited from their exposure to mining and construction customers (1.3% and 1.5% of net assets, respectively). Ceradyne, Inc., which develops ceramic products and components, benefited from a ramp up in military orders for body and vehicle armor (1.9% of net assets). On the downside, LECG Corp. fell short of our expectations and we reduced the fund's position in the stock (0.5% of net assets).

The information technology sector was strong during the period, and three long-held stocks were among the top performers. F5 Networks, Inc. reported strong results and continued to take share in the Layer 4-7 networking market, and Global Payments, Inc. appreciated on entering into an agreement with another company to access the Asian market (1.0% and 1.2% of net assets, respectively). SiRF Technology Holdings, Inc., a supplier of chipsets for global positioning systems for consumer and business applications, also performed well (1.6% of net assets). A setback was Ixia, which fell 36% in the period as orders slipped; we used this opportunity to add to the fund's position in the stock because we believe its long-term prospects remained compelling (0.9% of net assets).

Participation in the energy sector—particularly in the energy service group—had a positive impact on fund performance. Atwood Oceanics, Inc., which engages in offshore drilling, and Veritas DGC, Inc., which provides seismic surveying, benefited from healthy spending by exploration and production customers (1.0% and 1.0% of net assets, respectively).

The telecommunications and consumer discretionary sectors provided some standout performers. Millicom International Cellular SA, which provides cellular phone service to emerging markets, rose 81% in the period and attracted numerous unsolicited acquisition offers by larger firms seeking entry to its markets (0.9% of net assets). VistaPrint Ltd., which supplies customized printed products for consumers and small businesses and leverages the Internet for delivery, soared 98%, and we remain optimistic about the potential size of its market (1.3% of net assets).

Consumer staples stocks detracted from results. Elizabeth Arden, Inc. was sold from the portfolio as excitement around the Britney Spears product line waned and competitors gained market share. USANA Health Sciences, Inc. struggled with concerns about growth rates as its entry to another foreign market was delayed (0.7% of net assets). The fund also experienced relative weakness in the materials and health care sectors, where stocks underperformed. OM Group, Inc. fell victim to deteriorating pricing in the nickel market and was sold. Pharmaceutical companies Nabi Biopharmaceuticals, Rigel Pharmaceuticals, Inc. and Alexion Pharmaceuticals, Inc., suffered from disappointments in clinical development and were sold from the portfolio.

1

We continue to believe that the economy is growing at a healthy rate and that inflation is relatively contained. We remain bullish on the energy and materials sectors for long-term structural reasons and continue to hold a number of later-cycle positions in the industrial sector. Accordingly, we are watchful for signs of decelerating growth that could provoke a reassessment of the strength and duration of the current economic expansion. Finally, we believe that the interest rate environment and valuations are supportive of traditional growth stocks relative to value stocks, and we continue to seek candidates with strong earnings prospects and attractive valuations.

The fund's top ten holdings (as a percentage of net assets) as of January 31, 2006 were:

	(%)
Wabtec		2.0
Affiliated Managers Group		1.9
Ceradyne		1.9
HealthExtras		1.6
SiRF Technology Holdings		1.6
Corporate Executive Board		1.5
Joy Global		1.5
VistaPrint		1.3
Terex		1.3
Scientific Games		1.3

We appreciate your continued confidence in the CMG Small Cap Fund.

Kenneth A. Korngiebel has managed the CMG Small Cap Fund since July 2004 and has been with the advisor or its predecessors or affiliate organizations since 1996.

Equity investments are affected by stock market fluctuations that occur in response to economic and business developments.

Investing in growth stocks incurs the possibility of losses because their prices are sensitive to changes in current or expected earnings.

Investments in small-cap stocks may be subject to greater volatility and price fluctuations because small companies often have narrower markets and limited financial resources and their stocks tend to be thinly traded and less liquid than investments in larger companies.

¹ The Russell 2000 Index tracks the performance of the 2,000 smallest of the 3,000 largest U.S. companies based on market capitalization. The Russell 2000 Growth Index measures the performance of those Russell 2000 Index companies with higher price-to-book ratios and higher forecasted growth values. Unlike the fund, indexes are not investments, do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

^{2 ©}2006 by Morningstar, Inc. All rights reserved. The information contained herein is the proprietary information of Morningstar, Inc., may not be copied or redistributed for any purpose and may only be used for noncommercial, personal purposes. The information contained herein is not represented or warranted to be accurate, correct, complete or timely. Morningstar, Inc. shall not be responsible for investment decisions, damages or other losses resulting from the use of this information. Past performance is no guarantee of future performance. Morningstar, Inc. has not granted consent for it to be considered or deemed an "expert" under the Securities Act of 1933.

Morningstar Categories compare the performance of funds with similar investment objectives and strategies.

Holdings are calculated as a percentage of net assets and are subject to change. Because the fund is actively managed, there is no guarantee that the fund will continue to maintain the holdings breakdown listed. The fund's holdings and their weights within the portfolio may change as market conditions change.

2

Average annual total return as of January 31, 2006 (%)

	Inception	6-month (cumulative)		1-year		5-year		10-year
CMG Small Cap Fund	08/30/89		17.54		37.65		5.39		12.42
Russell 2000 Index			8.50		18.89		8.99		10.22
Russell 2000 Growth Index			10.71		19.59		2.57		5.74

Average annual total return as of December 31, 2005 (%)

	Inception	6-month (cumulative)		1-year		5-year		10-year
CMG Small Cap Fund	08/30/89		12.26		18.16		3.54		11.28
Russell 2000 Index			5.88		4.55		8.22		9.26
Russell 2000 Growth Index			8.02		4.15		2.28		4.69

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

Performance results may reflect any voluntary waivers or reimbursement of fund expenses by the advisor or its affiliates. Absent these waivers or reimbursement arrangements, performance results would have been lower. All results shown assume reinvestment of distributions.

Growth of a $10,000 investment, February 1, 1996 to January 31, 2006

The Russell 2000 Index tracks the performance of the 2,000 smallest of the 3,000 largest U.S. companies based on market capitalization. The Russell 2000 Growth Index measures the performance of those Russell 2000 Index companies with higher price-to-book ratios and higher forecasted growth values. Unlike the fund, indices are not investments, do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

The chart above shows the growth in value of a hypothetical $10,000 investment in the fund compared to the indices during the period, and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

3

UNDERSTANDING YOUR EXPENSES – CMG Small Cap Fund

As a fund shareholder, you incur two types of costs. There are transaction costs and also ongoing costs, which generally include investment advisory fees and other fund expenses. The information on this page is intended to help you understand your ongoing costs of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.

Analyzing your fund's expenses

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors during the reporting period. The information in the following table is based on an initial investment of $1,000, which is invested at the beginning of the reporting period and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the "actual" column is calculated using the fund's actual operating expenses and total return for the period. The amount listed in the "hypothetical" column assumes that the return each year is 5% before expenses and includes the fund's actual expense ratio. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during this reporting period.

Estimating your actual expenses

To estimate the expenses that you paid over the period, first you will need your account balance at the end of the period:

1.  Divide your ending account balance by $1,000. For example, if an account balance was $8,600 at the end of the period, the result would be 8.6.

2.  In the section of the table below titled "Expenses paid during the period," locate the amount under "actual." Multiply this number by the result from step 1. Your answer is an estimate of the expenses you paid on your account during the period.

August 1, 2005 – January 31, 2006

Account value at the beginning of the period ($)			Account value at the end of the period ($)			Expenses paid during the period ($)			Fund's annualized expense ratio (%)
	Actual	Hypothetical		Actual	Hypothetical		Actual	Hypothetical
	1,000.00	1,000.00		1,175.38	1,018.90		6.85	6.36		1.25

Expenses paid during the period are equal to the fund's annualized expense ratio of 1.25%, multiplied by the average account value over the period, then multiplied by the number of days in the fund's most recent fiscal half-year and divided by 365.

It is important to note that the expense amounts shown in the table are meant to highlight only ongoing costs of investing in the fund and do not reflect any transaction costs, such as sales charges, redemption or exchange fees. Therefore, the hypothetical examples provided may not help you determine the relative total costs of owning shares of different funds. If these transaction costs were included, your costs would have been higher.

4

Compare with other funds

Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the fund with other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the continuing costs of investing in a fund and do not reflect any transaction costs, such as sales charges or redemption or exchange fees.

5

CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS

(For a Fund Share Outstanding Throughout Each Period)

	(Unaudited) Six Months Ended January 31,			Year Ended July 31,						Period Ended July 31,
	2006			2005			2004			2003(a)
Net asset value, beginning of period	$	6.57		$	5.07		$	4.62		$	3.67
Income from investment operations:
Net investment loss		(0.03	) (b)		(0.03	) (b)		(0.03	) (b)		(0.02	) (b)
Net realized and unrealized gain (loss) on investments		0.67			1.53			0.48			0.97
Total from investment operations		0.64			1.50			0.45			0.95
Less distributions declared to shareholders:
From net realized gains		(5.05	)		-			-			-
Net asset value, end of period	$	2.16		$	6.57		$	5.07		$	4.62
Total return (d)		17.54	%(e)(f)		29.59	%		9.74	%		25.89	%(e)
Ratios/Supplemental data:
Net assets, end of period (000's)	$	12,994		$	30,317		$	292,028		$	293,924
Ratio of net expenses to average net assets (g)		1.25	%(h)		0.85	%		0.79	%		0.81	%(h)
Waiver/reimbursement		-	%(h)(i)		-			-			-
Ratio of net investment loss to average net assets (g)		(1.05	)%(h)		(0.61	)%		(0.62	)%		(0.55	)%(h)
Portfolio turnover rate		71	%(e)		119	%		123	%		89	%(e)

	Year Ended October 31,
	2002			2001			2000
Net asset value, beginning of period	$	4.41		$	18.78		$	13.59
Income from investment operations:
Net investment loss		(0.02	) (b)		(0.01	)		(0.09	)
Net realized and unrealized gain (loss) on investments		(0.72	)		(2.18	)		6.80
Total from investment operations		(0.74	)		(2.19	)		6.71
Less distributions declared to shareholders:
From net realized gains		-	(c)		(12.18	)		(1.52	)
Net asset value, end of period	$	3.67		$	4.41		$	18.78
Total return (d)		(16.76	)%		(28.84	)%		50.49	%
Ratios/Supplemental data:
Net assets, end of period (000's)	$	227,874		$	283,521		$	258,480
Ratio of net expenses to average net assets (g)		0.79	%		0.82	%		0.79	%
Waiver/reimbursement		-			-			-
Ratio of net investment loss to average net assets (g)		(0.49	)%		(0.22	)%		(0.39	)%
Portfolio turnover rate		120	%		160	%		163	%

(a)  The Fund changed its fiscal year end from October 31 to July 31.

(b)  Per share data was calculated using average shares outstanding during the period.

(c)  Rounds to less than $0.01 per share.

(d)  Total return at net asset value assuming all distributions reinvested.

(e)  Not annualized.

(f)  Had the Transfer Agent not waived or reimbursed a portion of expenses, total return would have been reduced.

(g)  The benefits derived from custody credits had an impact of less than 0.01%.

(h)  Annualized.

(i)  Rounds to less than 0.01%.

See Accompanying Notes to Financial Statements.

6

CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

January 31, 2006 (Unaudited)

	Shares		Value
Common Stocks (97.1%)
Consumer Discretionary (12.1%)
Diversified Consumer Services (0.4%)
Laureate Education, Inc. (a)		920	$	47,932
Hotels, Restaurants & Leisure (5.1%)
Cosi, Inc. (a)		6,770		66,008
Pinnacle Entertainment, Inc. (a)		3,720		107,210
RARE Hospitality International, Inc. (a)		2,130		67,201
Red Robin Gourmet Burgers, Inc. (a)		1,520		60,329
Ruby Tuesday, Inc.		1,330		38,051
Scientific Games Corp., Class A (a)		5,320		170,506
Shuffle Master, Inc. (a)		2,540		64,516
Trump Entertainment Resorts, Inc. (a)		4,800		94,080
				667,901
Household Durables (0.2%)
Tupperware Brands Corp.		970		21,534
Internet & Catalog Retail (2.5%)
NetFlix, Inc. (a)		3,010		82,926
Nutri/System, Inc. (a)		1,470		71,883
VistaPrint Ltd. (a)		5,715		172,765
				327,574
Leisure Equipment & Products (0.6%)
SCP Pool Corp.		2,110		84,147
Media (0.4%)
Radio One, Inc., Class D (a)		4,510		49,430
Specialty Retail (2.9%)
Aaron Rents, Inc.		2,210		53,151
Children's Place Retail Stores, Inc. (a)		2,350		102,906
GameStop Corp., Class A (a)		2,180		87,876
Genesco, Inc. (a)		590		22,981
Gymboree Corp. (a)		2,780		68,499
Tractor Supply Co. (a)		680		34,734
				370,147
Consumer Staples (2.2%)
Beverages (0.3%)
Hansen Natural Corp. (a)		410		35,998
Household Products (0.8%)
Central Garden & Pet Co. (a)		2,140		106,101

See Accompanying Notes to Financial Statements.

7

CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Personal Products (1.1%)
Playtex Products, Inc. (a)		3,540	$	47,507
USANA Health Sciences, Inc. (a)		2,310		92,654
				140,161
Energy (9.4%)
Energy Equipment & Services (6.5%)
Atwood Oceanics, Inc. (a)		1,300		126,269
CAL Dive International, Inc. (a)		3,014		126,528
Core Laboratories NV (a)		2,340		104,317
Grey Wolf, Inc. (a)		14,210		125,048
Oil States International, Inc. (a)		1,640		67,076
Tetra Technologies, Inc. (a)		2,795		110,906
Todco, Class A		1,070		47,722
Veritas DGC, Inc. (a)		2,960		133,377
				841,243
Oil, Gas & Consumable Fuels (2.9%)
Carrizo Oil & Gas, Inc. (a)		3,705		106,927
Cheniere Energy, Inc. (a)		1,640		63,763
Foundation Coal Holdings, Inc.		1,380		61,355
Frontier Oil Corp.		1,190		56,394
Holly Corp.		1,160		85,376
				373,815
Financials (6.2%)
Capital Markets (2.0%)
Affiliated Managers Group, Inc. (a)		2,720		252,416
Commercial Banks (1.8%)
Signature Bank (a)		2,970		90,436
Sterling Financial Corp.		1,880		52,678
UCBH Holdings, Inc.		2,840		49,274
Wintrust Financial Corp.		710		38,127
				230,515
Diversified Financial Services (0.6%)
IntercontinentalExchange, Inc. (a)		643		32,677
Nasdaq Stock Market, Inc. (a)		1,210		50,711
				83,388
Insurance (1.8%)
Hanover Insurance Group, Inc.		1,670		80,912
ProAssurance Corp. (a)		3,090		158,177
				239,089

See Accompanying Notes to Financial Statements.

8

CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Health Care (18.7%)
Biotechnology (3.9%)
Alkermes, Inc. (a)		2,090	$	50,871
Amylin Pharmaceuticals, Inc. (a)		1,720		72,928
Digene Corp. (a)		3,650		121,180
ICOS Corp. (a)		1,710		42,494
Nektar Therapeutics (a)		3,350		66,330
Neurocrine Biosciences, Inc. (a)		1,370		83,255
United Therapeutics Corp. (a)		1,020		65,963
				503,021
Health Care Equipment & Supplies (5.7%)
ArthroCare Corp. (a)		1,520		68,081
Foxhollow Technologies, Inc. (a)		1,050		28,213
Haemonetics Corp. (a)		1,786		92,872
Hologic, Inc. (a)		940		48,372
Intuitive Surgical, Inc. (a)		500		68,825
Iris International, Inc. (a)		1,924		43,983
Kyphon, Inc. (a)		2,282		94,863
OraSure Technologies, Inc. (a)		8,890		96,990
Possis Medical, Inc. (a)		845		8,281
ResMed, Inc. (a)		4,252		167,699
Thoratec Corp. (a)		1,040		26,312
				744,491
Health Care Providers & Services (7.2%)
Allscripts Healthcare Solutions, Inc. (a)		3,622		63,783
Cerner Corp. (a)		1,860		83,700
DaVita, Inc. (a)		1,559		85,355
HealthExtras, Inc. (a)		6,365		209,409
ICON PLC, ADR (a)		3,552		156,217
LHC Group, Inc. (a)		2,380		37,842
Matria Healthcare, Inc. (a)		2,060		87,900
Pediatrix Medical Group, Inc. (a)		410		35,949
Psychiatric Solutions, Inc. (a)		1,180		38,928
United Surgical Partners International, Inc. (a)		3,625		140,505
				939,588
Pharmaceuticals (1.9%)
Medicis Pharmaceutical Corp., Class A		2,830		87,475
Salix Pharmaceuticals Ltd. (a)		9,095		158,162
				245,637
Industrials (21.0%)
Aerospace & Defense (3.7%)
Armor Holdings, Inc. (a)		1,470		70,075
BE Aerospace, Inc. (a)		7,590		159,542
Ceradyne, Inc. (a)		4,360		249,566
				479,183

See Accompanying Notes to Financial Statements.

9

CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Air Freight & Logistics (1.0%)
Forward Air Corp.		1,329	$	51,831
UTI Worldwide, Inc.		750		78,548
				130,379
Building Products (0.6%)
ElkCorp.		2,310		81,243
Commercial Services & Supplies (5.5%)
Corporate Executive Board Co.		2,313		194,616
Global Cash Access, Inc. (a)		4,097		63,340
Huron Consulting Group, Inc. (a)		3,025		85,214
Kenexa Corp. (a)		5,477		131,722
LECG Corp. (a)		3,932		65,979
Resources Connection, Inc. (a)		4,540		123,442
Waste Connections, Inc. (a)		1,330		46,470
				710,783
Construction & Engineering (1.7%)
Perini Corp. (a)		3,380		93,051
URS Corp. (a)		3,000		128,340
				221,391
Electrical Equipment (1.3%)
Evergreen Solar, Inc. (a)		2,900		44,747
General Cable Corp. (a)		2,900		71,050
Roper Industries, Inc.		1,370		55,279
				171,076
Machinery (6.3%)
ESCO Technologies, Inc. (a)		2,342		115,086
Joy Global, Inc.		3,545		191,572
RBC Bearings, Inc. (a)		4,404		81,650
Terex Corp. (a)		2,420		170,610
Wabtec Corp.		8,060		254,454
				813,372
Road & Rail (0.9%)
Landstar System, Inc.		1,310		55,413
Old Dominion Freight Line, Inc. (a)		2,357		67,269
				122,682
Information Technology (22.9%)
Communications Equipment (3.0%)
CSR PLC (a)		6,810		135,688
F5 Networks, Inc. (a)		2,020		130,694
Ixia (a)		9,353		117,848
				384,230

See Accompanying Notes to Financial Statements.

10

CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Computers & Peripherals (2.4%)
Electronics for Imaging, Inc. (a)		2,784	$	76,978
M-Systems Flash Disk Pioneers Ltd. (a)		1,980		57,380
Presstek, Inc. (a)		5,409		56,254
Rackable Systems, Inc. (a)		1,665		50,033
Synaptics, Inc. (a)		2,710		74,579
				315,224
Internet Software & Services (1.1%)
aQuantive, Inc. (a)		2,850		74,128
Equinix, Inc. (a)		1,550		72,742
				146,870
IT Services (3.9%)
Acxiom Corp.		3,160		74,797
CACI International, Inc., Class A (a)		1,252		71,489
Euronet Worldwide, Inc. (a)		4,990		161,027
Global Payments, Inc.		3,188		162,365
Heartland Payment Systems, Inc. (a)		1,450		35,685
				505,363
Semiconductors & Semiconductor Equipment (7.1%)
Atheros Communications, Inc. (a)		3,900		76,635
ATMI, Inc. (a)		4,040		135,744
Hittite Microwave Corp. (a)		5,240		146,720
Microsemi Corp. (a)		2,460		74,882
Silicon Laboratories, Inc. (a)		590		29,046
SiRF Technology Holdings, Inc. (a)		6,060		204,161
Tessera Technologies, Inc. (a)		3,370		108,784
Trident Microsystems, Inc. (a)		5,532		144,496
				920,468
Software (5.4%)
Embarcadero Technologies, Inc. (a)		14,560		109,200
Epicor Software Corp. (a)		6,510		86,583
Hyperion Solutions Corp. (a)		1,850		63,659
Informatica Corp. (a)		6,120		90,086
Kronos, Inc. (a)		940		36,942
Micros Systems, Inc. (a)		1,369		63,179
Quest Software, Inc. (a)		4,920		77,933
Transaction Systems Architects, Inc. (a)		2,270		74,887
Wind River Systems, Inc. (a)		7,690		102,892
				705,361
Materials (2.5%)
Construction Materials (0.7%)
Eagle Materials, Inc.		590		96,105

See Accompanying Notes to Financial Statements.

11

CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Metals & Mining (1.8%)
Allegheny Technologies, Inc.		2,030	$	105,255
Century Aluminum Co. (a)		2,190		74,635
Cleveland-Cliffs, Inc.		510		55,004
				234,894
Telecommunication Services (2.1%)
Wireless Telecommunication Services (2.1%)
Dobson Communications Corp., Class A (a)		8,410		62,402
Millicom International Cellular SA (a)		2,900		111,650
SBA Communications Corp., Class A (a)		4,720		103,132
				277,184
Total Common Stocks (Cost of $9,479,894)				12,619,936
	Par
Short-Term Obligation (3.3%)
Repurchase agreement with State Street Bank & Trust Co., dated 01/31/06, due 02/01/06 at 4.270%, collateralized by a U.S. Treasury Note maturing 05/15/15, market value of $434,431 (repurchase proceeds $422,050)	$	422,000		422,000
Total Short-Term Obligation (Cost of $422,000)				422,000
Total Investments (100.4%) (Cost of $9,901,894) (b)				13,041,936
Other Assets & Liabilities, Net (-0.4%)				(47,737	)
Net Assets (100.0%)			$	12,994,199
Notes to Schedule of Investments:

(a)  Non-income producing security.

(b)  Cost for federal income tax purposes is $9,901,894.

See Accompanying Notes to Financial Statements.

12

CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

At January 31, 2006, the Fund held investment in the following sectors:

Sector	% of Net Assets
Information Technology		22.9	%
Industrials		21.0
Health Care		18.7
Consumer Discretionary		12.1
Energy		9.4
Financials		6.2
Materials		2.5
Consumer Staples		2.2
Telecommunication Services		2.1
Short-Term Obligation		3.3
Other Assets & Liabilities, Net		(0.4	)
		100.0	%

Acronym	Name
ADR	American Depositary Receipt

See Accompanying Notes to Financial Statements.

13

CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
STATEMENT OF ASSETS AND LIABILITIES

January 31, 2006 (Unaudited)

ASSETS:
Investments, at identified cost	$	9,901,894
Investments, at value	$	13,041,936
Cash		94
Receivable for:
Investments sold		123,626
Interest		50
Dividends		30
Deferred Trustees' compensation plan		6,357
Total assets		13,172,093
LIABILITIES:
Payable for:
Investments purchased		127,324
Investment advisory fee		10,012
Transfer agent fee		101
Trustees' fees		310
Audit fee		13,812
Custody fee		1,703
Reports to shareholders		13,956
Chief compliance officer expenses		318
Deferred Trustees' fees		6,357
Other liabilities		4,001
Total liabilities		177,894
NET ASSETS	$	12,994,199
NET ASSETS consist of:
Paid-in capital	$	6,123,451
Accumulated net investment loss		(119,452	)
Accumulated net realized gain		3,850,158
Net unrealized appreciation on investments		3,140,042
NET ASSETS	$	12,994,199
Shares of capital stock outstanding		6,024,904
Net asset value, offering and redemption price per share	$	2.16

See Accompanying Notes to Financial Statements.

14

CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
STATEMENT OF OPERATIONS

For the Six Months Ended January 31, 2006 (Unaudited)

NET INVESTMENT INCOME:
Income:
Dividends	$	9,447
Interest		13,038
Total income		22,485
Expenses:
Investment advisory fee		82,307
Transfer agent fee		189
Trustees' fees		5,307
Custody fee		13,362
Audit fee		16,080
Reports to shareholders		7,220
Chief compliance officer expenses (See Note 4)		2,255
Non-recurring costs (See Note 8)		164
Other expenses		10,384
Total expenses		137,268
Fees and expenses waived or reimbursed by Transfer Agent		(23	)
Non-recurring costs assumed by Investment Advisor (See Note 8)		(164	)
Custody earnings credit		(166	)
Net expenses		136,915
Net investment loss		(114,430	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on:
Investments		5,623,320
Foreign currency transactions		(589	)
Net realized gain		5,622,731
Net change in unrealized appreciation (depreciation) on investments		(3,512,046	)
Net gain		2,110,685
NET INCREASE IN NET ASSETS FROM OPERATIONS	$	1,996,255

See Accompanying Notes to Financial Statements.

15

CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
STATEMENT OF CHANGES IN NET ASSETS

Increase (Decrease) in Net Assets:	(Unaudited) Six Months Ended January 31, 2006			Year Ended July 31, 2005
Operations:
Net investment loss	$	(114,430	)	$	(677,591	)
Net realized gain on investments and foreign currency transactions		5,622,731			46,457,512
Net change in unrealized appreciation (depreciation) on investments		(3,512,046	)		(25,488,632	)
Net increase from operations		1,996,255			20,291,289
Distributions Declared to Shareholders:
From net realized gains		(8,639,807	)		-
Share Transactions:
Subscriptions		3,300,000			4,562,259
Distributions reinvested		5,234,864			-
Redemptions		(19,213,943	)		(286,564,984	)
Net decrease from share transactions		(10,679,079	)		(282,002,725	)
Total decrease in net assets		(17,322,631	)		(261,711,436	)
NET ASSETS:
Beginning of period		30,316,830			292,028,266
End of period	$	12,994,199		$	30,316,830
Accumulated net investment loss	$	(119,452	)	$	(5,022	)
Changes in Shares:
Subscriptions		1,683,674			801,259
Issued for distributions reinvested		2,670,849			-
Redemptions		(2,944,114	)		(53,836,059	)
Net increase (decrease)		1,410,409			(53,034,800	)

See Accompanying Notes to Financial Statements.

16

CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS

January 31, 2006 (Unaudited)

Note 1.  Organization:

CMG Small Cap Fund (the "Fund"), a series of CMG Fund Trust (the "Trust"), is a diversified portfolio. The Trust is an Oregon business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.

Investment goal. The Fund seeks to provide investors with long-term capital appreciation, by investing primarily in smaller capitalization companies.

Fund shares. The Fund may issue an unlimited number of shares of no par value capital stock, which are offered continuously at net asset value.

Note 2.  Significant accounting policies:

Use of estimates. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America ("GAAP") requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.

Security valuation. Equity securities are valued at the last sale price on the principal exchange on which they trade, except for securities traded on the NASDAQ, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the closing bid price on such exchanges or over-the-counter markets.

Short-term debt obligations maturing within 60 days are valued at amortized cost, which approximates market value.

Investments for which market quotations are not readily available, or that have quotations which management believes are not appropriate, are valued at fair value as determined in good faith under consistently applied procedures established by and under the general supervision of the Board of Trustees. If a security is valued at a "fair value", such value is likely to be different from the last quoted market price for the security.

Security transactions. Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.

Repurchase agreements. The Fund may engage in repurchase agreement transactions with institutions that the Fund's investment advisor has determined are creditworthy. The Fund, through its custodian, receives delivery of underlying securities collateralizing a repurchase agreement. Collateral is at least equal, at all times, to the value of the repurchase obligation including interest. A repurchase agreement transaction involves certain risks in the event of default or insolvency of the counterparty. These risks include possible delays or restrictions upon the Fund's ability to dispose of the underlying securities and a possible decline in the value of the underlying securities during the period while the Fund seeks to assert its rights.

17

CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS

January 31, 2006 (Unaudited)

Income recognition. Interest income is recorded on the accrual basis. Corporate actions and dividend income are recorded on the ex-date. Awards from class action litigation are recorded as a reduction of cost if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.

Foreign currency transactions. The values of all assets and liabilities quoted in foreign currencies are translated into U.S. dollars at that day's exchange rates. Net realized and unrealized gains (losses) on foreign currency transactions include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.

For financial statement purposes, the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments.

Federal income tax status. The Fund intends to qualify each year as a "regulated investment company" under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its taxable income, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its net investment income, capital gains and certain other amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.

Distributions to shareholders. Distributions to shareholders are recorded on ex-date. Net realized capital gains, if any, are distributed at least annually.

Note 3.  Federal Tax Information:

Unrealized appreciation and depreciation at January 31, 2006, based on cost of investments for federal income tax purposes was:

Unrealized appreciation	$	3,258,795
Unrealized depreciation		(118,753	)
Net unrealized appreciation	$	3,140,042

Note 4.  Fees and Compensation Paid to Affiliates:

Investment advisory fee. Columbia Management Advisors, LLC ("Columbia"), an indirect, wholly-owned subsidiary of Bank of America Corporation ("BOA"), is the investment advisor to the Fund and provides administrative and other services to the Fund. Prior to September 30, 2005, Columbia Management Advisors, Inc. was the investment advisor to the Fund under the same fee structure. On September 30, 2005, Columbia Management Advisors, Inc. merged into Banc of America Capital Management, LLC. At that time, the investment advisor was then renamed Columbia Management Advisors, LLC. Columbia receives a monthly investment advisory fee at the annual rate of 0.75% of the Fund's average daily net assets.

Pricing & bookkeeping fees. Columbia is responsible for providing services to the Fund under a pricing, bookkeeping and fund administration agreement. Under a separate agreement (the "Outsourcing Agreement"), Columbia has

18

CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS

January 31, 2006 (Unaudited)

delegated certain of those functions to State Street Corporation ("State Street"). As a result, Columbia pays fees to State Street under the Outsourcing Agreement. The Fund is not charged a fee for pricing and bookkeeping services.

Transfer agent fee. Columbia Management Services, Inc. (formerly Columbia Funds Services, Inc.) (the "Transfer Agent"), an affiliate of Columbia and an indirect, wholly-owned subsidiary of BOA, provides shareholder services to the Fund and has contracted with Boston Financial Data Services ("BFDS") to serve as sub-transfer agent. The Transfer Agent is entitled to receive a fee for its services, paid monthly, at the annual rate of $15.23 per open account. Prior to November 1, 2005, the Transfer Agent received a fee at the annual rate of $28.00 per open account. The Transfer Agent may also retain, as additional compensation for its services, fees for wire, telephone and redemption orders, IRA trustee agent fees and account transcript fees due the Transfer Agent from shareholders of the Fund and credits (net of bank charges) earned with respect to balances in a ccounts the Transfer Agent maintains in connection with its services to the Fund.

For the period from September 1, 2005 through October 31, 2005, the Transfer Agent voluntarily waived a portion of its fees to reflect the reduced contractual fees charged to the Fund effective November 1, 2005. For the six months ended January 31, 2006, the Transfer Agent waived fees of $23 for the Fund.

For the six months ended January 31, 2006, the Fund's annualized effective transfer agent fee rate, net of fee waivers, was less than 0.01% of the Fund's average daily net assets.

Custody credits. The Fund has an agreement with its custodian bank under which custody fees may be reduced by balance credits. These credits are recorded as a reduction of total expenses on the Statement of Operations. The Fund could have invested a portion of the assets utilized in connection with the expense offset arrangement in an income-producing asset if it had not entered into such an agreement.

Fees paid to officers and trustees. All officers, with the exception of the Fund's Chief Compliance Officer, are employees of Columbia or its affiliates and receive no compensation from the Fund. The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. The Fund, along with other affiliated funds, pays its pro-rata share of the expenses associated with the Chief Compliance Officer. The Fund's expenses for the Chief Compliance Officer will not exceed $15,000 per year.

The Fund's Trustees may participate in a deferred compensation plan which may be terminated at any time. Obligations of the plan will be paid solely out of the Fund's assets.

Other. Columbia provides certain services to the Fund related to Sarbanes-Oxley compliance. For the six months ended January 31, 2006, the Fund paid $806 to Columbia for such services. This amount is included in "Other expenses" on the Statement of Operations.

Note 5.  Portfolio Information:

For the six months ended January 31, 2006, the cost of purchases and proceeds from sales of securities, excluding short-term obligations, were $15,538,370 and $34,394,956, respectively.

Note 6.  Line of Credit:

The Fund and other affiliated funds participate in a $350,000,000 committed unsecured revolving line of credit provided by State Street Bank and Trust Company. Borrowings are used for temporary or emergency purposes to facilitate portfolio liquidity. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the Federal Funds rate plus 0.50%. In addition, a commitment fee of 0.10% per annum is accrued and

19

CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS

January 31, 2006 (Unaudited)

apportioned among the participating funds based on their pro-rata portion of the unutilized line of credit. The commitment fee is included in "Other expenses" on the Statement of Operations.

For the six months ended January 31, 2006, the Fund did not borrow under this arrangement.

Note 7.  Shares of Beneficial Interest:

As of January 31, 2006, the Fund had shareholders whose shares were beneficially owned by participant accounts over which Bank of America and/or its affiliates had either sole or joint investment discretion. Subscription and redemption activity of these accounts may have a significant effect on the operations of the Fund. The number of such accounts and the percentage of shares of beneficial interest outstanding held therein are as follows:

Number of Shareholders		% of Shares Outstanding Held
	1		40.9	%

As of January 31, 2006, the Fund also had other shareholders that held greater than 5% of the shares outstanding. Subscription and redemption activity of these accounts may have a significant effect on the operations of the Fund. The number of such accounts and the percentage of shares of beneficial interest outstanding held therein are as follows:

Number of Shareholders		% of Shares Outstanding Held
	3		59.1	%

Note 8.  Disclosure of Significant Risks and Contingencies:

Industry Focus. The Fund may focus its investments in certain industries, subjecting it to greater risk than a fund that is more diversified.

Legal Proceedings. On February 9, 2005, Columbia Management Advisors, Inc. (which has since merged into Banc of America Capital Management, LLC (now named Columbia Management Advisors, LLC)) ("Columbia") and Columbia Funds Distributor, Inc. (which has been renamed Columbia Management Distributors, Inc.) (the "Distributor") (collectively, the "Columbia Group") entered into an Assurance of Discontinuance with the New York Attorney General ("NYAG") (the "NYAG Settlement") and consented to the entry of a cease-and-desist order by the Securities and Exchange Commission ("SEC") (the "SEC Order"). The SEC Order and the NYAG Settlement are referred to collectively as the "Settlements". The Settlements contain substantially the same terms and conditions as outlined in the agreements in principle which Columbia Group entered into with the SEC and NYAG in March 2004.

Under the terms of the SEC Order, the Columbia Group has agreed among other things, to: pay $70 million in disgorgement and $70 million in civil money penalties; cease and desist from violations of the antifraud provisions and certain other provisions of the federal securities laws; maintain certain compliance and ethics oversight structures; retain an independent consultant to review the Columbia Group's applicable supervisory, compliance, control and other policies and procedures; and retain an independent distribution consultant (see below). The Columbia Funds have also voluntarily undertaken to implement certain governance measures designed to maintain the independence of their boards of trustees. The NYAG Settlement also, among other things, requires Columbia and its affiliates to reduce certain Columbia Funds (including the former Nations Funds) and other mutual funds management fees collectively by $32 million per year fo r five years, for a projected total of $160 million in management fee reductions.

20

CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS

January 31, 2006 (Unaudited)

Pursuant to the procedures set forth in the SEC order, the $140 million in settlement amounts described above will be distributed in accordance with a distribution plan developed by an independent distribution consultant and agreed to by the staff of the SEC. The independent distribution consultant has been in consultation with the Staff, and has submitted a draft proposed plan of distribution, but has not yet submitted a final proposed plan of distribution.

As a result of these matters or any adverse publicity or other developments resulting from them, there may be increased redemptions or reduced sales of fund shares, which could increase transaction costs or operating expenses, or have other adverse consequences for the funds.

A copy of the SEC Order is available on the SEC website at http://www.sec.gov. A copy of the NYAG Settlement is available as part of the Bank of America Corporation Form 8-K filing on February 10, 2005.

In connection with the events described in detail above, various parties have filed suit against certain funds, the Trustees of the Columbia Funds, FleetBoston Financial Corporation and its affiliated entities and/or Bank of America and its affiliated entities.

On February 20, 2004, the Judicial Panel on Multidistrict Litigation transferred these cases and cases against several other mutual fund companies based on similar allegations to the United States District Court in Maryland for consolidated or coordinated pretrial proceedings (the "MDL"). Subsequently, additional related cases were transferred to the MDL. On September 29, 2004, the plaintiffs in the MDL filed amended and consolidated complaints. One of these amended complaints is a putative class action that includes claims under the federal securities laws and state common law, and that names Columbia, the Distributor, the Trustees of the Columbia Funds, Bank of America Corporation and others as defendants. Another of the amended complaints is a derivative action purportedly on behalf of the Columbia Funds that asserts claims under federal securities laws and state common law.

On February 25, 2005, Columbia and other defendants filed motions to dismiss the claims in the pending cases. On March 1, 2006, for reasons stated in the court's memoranda dated November 3, 2005, the U.S. District Court for the District of Maryland granted in part and denied in part the defendants' motions to dismiss. The court dismissed all of the class action claims pending against the Columbia Funds. As to Columbia, the Distributor and the Trustees of the Columbia Funds, the claims under the Securities Act of 1933, the claims under Sections 34(b) and 36(a) of the Investment Company Act of 1940 (ICA) and the state law claims were dismissed. The claims under Sections 10(b) and 20(a) of the Securities Exchange Act of 1934 and claims under Section 36(b) of the ICA along with related claims under Section 48(a) of the ICA were not dismissed.

On March 21, 2005 purported class action plaintiffs filed suit in Massachusetts state court alleging that the conduct, including market timing, entitles Class B shareholders in certain Columbia funds to an exemption from contingent deferred sales charges upon early redemption ("the CDSC Lawsuit"). The CDSC Lawsuit has been removed to federal court in Massachusetts and the federal Judicial Panel has transferred the CDSC Lawsuit to the MDL.

The MDL is ongoing. Accordingly, an estimate of the financial impact of this litigation on any fund, if any, cannot currently be made.

In 2004, certain Columbia funds, the Trustees of the Columbia Funds, advisers and affiliated entities were named as defendants in certain purported shareholder class and derivative actions making claims, including claims under the Investment Company and the Investment Advisers Acts of 1940 and state law. The suits allege, inter alia, that the fees and expenses paid by the funds are excessive and that the advisers and their affiliates inappropriately used fund assets to distribute the funds and for other improper purpose. On March 2, 2005, the actions were consolidated in the Massachusetts federal court as In re Columbia Entities Litigation. The plaintiffs filed a consolidated amended complaint on June 9, 2005. On November 30, 2005, the judge dismissed all claims by plaintiffs and ordered that the case be closed. The plaintiffs filed a notice of appeal on December 30, 2005 and this appeal is pending.

21

CMG SMALL CAP FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS

January 31, 2006 (Unaudited)

For the six months ended January 31, 2006, Columbia has assumed $164 of legal, consulting services and Trustees' feesincurred by the Fund in connection with these matters.

Note 9.  Subsequent event

On March 27, 2006, the Fund will be re-domiciled into a new series of Columbia Funds Institutional Trust. Columbia Funds Institutional Trust is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.

Immediately following the re-domiciling, CMG Small Cap Growth Fund will be reorganized into the Fund. The Fund will then change its name to CMG Small Cap Growth Fund.

22

Board Consideration and Approval of Investment Advisory Agreements

The Advisory Fees and Expenses Committee of the Board of Trustees meets one or more times annually, usually in late summer, to review the advisory agreements (collectively, the "Agreements") of the funds for which the Trustees serve as trustees or directors (each a "fund") and determine whether to recommend that the full Board approve the continuation of the Agreements for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements. In addition, the Board, including the Independent Trustees, considers matters bearing on the Agreements at most of its other meetings throughout the year and meets regularly with the heads of each investment area within Columbia. The Trustees also meet with selected fund portfolio managers at various times throughout the year.

The Trustees receive and review all materials that they, their legal counsel or Columbia, the funds' investment adviser, believe to be reasonably necessary for the Trustees to evaluate the Agreements and determine whether to approve the continuation of the Agreements. Those materials generally include, among other items, (i) information on the investment performance of each fund relative to the performance of peer groups of mutual funds and the fund's performance benchmarks, (ii) information on each fund's advisory fees and other expenses, including information comparing the fund's expenses to those of peer groups of mutual funds and information about any applicable expense caps and fee "breakpoints," (iii) sales and redemption data, (iv) information about the profitability of the Agreements to Columbia, and potential "fall-out" or ancillary benefits that Columbia and its affiliates may receive as a result of their relationships with the funds and (v) information obtained through Columbia's response to a questionnaire prepared at the request of the Trustees by counsel to the funds and independent legal counsel to the Independent Trustees. The Trustees also consider other information such as (vi) Columbia's financial results and financial condition, (vii) each fund's investment objective and strategies and the size, education and experience of Columbia's investment staffs and their use of technology, external research and trading cost measurement tools, (viii) the allocation of the funds' brokerage, if any, including allocations to brokers affiliated with Columbia and the use of "soft" commission dollars to pay fund expenses and to pay for research products and services, (ix) Columbia's resources devoted to, and its record of compliance with, the funds' investment policies and restrictions, policies on personal securities transactions and other compliance policies, (x) Columbia's response to various legal and regulatory proceedings since 2003 and (xi) the economic outlook generally and for the mutual fund industry in particular. In addition, the Trustees confer with their independent fee consultant and review materials relating to the Agreements that the independent fee consultant provides. Throughout the process, the Trustees have the opportunity to ask questions of and request additional materials from Columbia and to consult independent legal counsel to the Independent Trustees.

The Board of Trustees most recently approved the continuation of the Agreements at its October, 2005 meeting, following meetings of the Advisory Fees and Expenses Committee held in August, September, and October, 2005. In considering whether to approve the continuation of the Agreements, the Trustees, including the Independent Trustees, did not identify any single factor as determinative, and each weighed various factors as he or she deemed appropriate. The Trustees considered the following matters in connection with their approval of the continuation of the Agreements:

The nature, extent and quality of the services provided to the funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by Columbia and its affiliates to the funds and the resources dedicated to the funds by Columbia and its affiliates. Among other things, the Trustees considered (i) Columbia's ability, including its resources, compensation programs for personnel involved in fund management, reputation and other attributes, to attract and retain highly qualified research, advisory and supervisory investment professionals; (ii) the portfolio management services provided by those investment professionals; and (iii) the trade execution services provided on behalf of the funds. For each fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family o f funds offering exposure to a variety of asset classes and investment disciplines and providing for a variety of fund and shareholder services. After reviewing those and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the continuation of the Agreements.

Investment performance of the funds and Columbia. The Trustees reviewed information about the performance of each fund over various time periods, including information prepared by an independent third party that compared the performance of each fund to the performance of peer groups of mutual funds and performance benchmarks. The Trustees also reviewed a description of the third party's methodology for identifying each fund's peer group for purposes of performance and expense comparisons. The Trustees also considered additional information that the

23

Board Consideration and Approval of Investment Advisory Agreements (continued)

Advisory Fees and Expenses Committee requested from Columbia relating to funds that presented relatively weaker performance and/or relatively higher expenses.

In the case of each fund that had performance that lagged that of a relevant peer group for certain (although not necessarily all) periods, the Trustees concluded that other factors relevant to performance were sufficient, in light of other considerations, to warrant continuation of the fund's Agreements. Those factors varied from fund to fund, but included one or more of the following: (i) that the fund's performance, although lagging in certain recent periods, was stronger over the longer term; (ii) that the underperformance was attributable, to a significant extent, to investment decisions that were reasonable and consistent with the fund's investment strategy and policies and that the fund was performing as expected, given market conditions and the fund's investment strategy; (iii) that the fund's performance was competitive when compared to other relevant performance benchmarks or peer groups; (iv) that Columbia had taken o r was taking steps designed to help improve the fund's investment performance, including, but not limited to, replacing portfolio managers or modifying investment strategies; (v) that the fund's advisory fee had recently been, or was proposed to be, reduced, with the goal of helping the fund's net return to shareholders become more competitive; and (vi) that other fund expenses, such as transfer agency or fund accounting fees, have recently been reduced, with the goal of helping the fund's net return to shareholders become more competitive. The Trustees also considered Columbia's performance and reputation generally, the funds' performance as a fund family generally, and Columbia's historical responsiveness to Trustee concerns about performance and Columbia's willingness to take steps intended to improve performance. After reviewing those and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of each fund and Columbi a was sufficient, in light of other considerations, to warrant the continuation of the Agreements.

The costs of the services provided and profits realized by Columbia and its affiliates from their relationships with the funds. The Trustees considered the fees charged to the funds for advisory services as well as the total expense levels of the funds. That information included comparisons (provided both by management and by an independent third party) of the funds' advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by Columbia to comparable accounts. In considering the fees charged to comparable accounts, the Trustees took into account, among other things, management's representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual funds and distribute mutual fund share s. In evaluating each fund's advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of the fund. The Trustees considered reductions in advisory fee rates, implementation of advisory fee breakpoints, institution of advisory fee waivers, and changes to expense caps, which benefited a number of the funds. Furthermore, the Trustees considered the projected impact on expenses resulting from the overall cost reductions that management anticipated would result from the shift to a common group of service providers for transfer agency, fund accounting and custody services for mutual funds advised by Bank of America affiliates. The Trustees also noted management's stated justification for the fees charged to the funds, which included information about the performance of the funds, the services provided to the funds and management's view as to why it was appropriate that some funds bear advisory fees or total expenses greater than their peer group medians.

The Trustees also considered the compensation directly or indirectly received by Columbia and its affiliates from their relationships with the funds. The Trustees reviewed information provided by management as to the profitability to Columbia and its affiliates of their relationships with the funds, and information about the allocation of expenses used to calculate profitability. When reviewing profitability, the Trustees also considered court cases in which adviser profitability was an issue in whole or in part, the performance of the relevant funds, the expense levels of the funds, and whether Columbia had implemented breakpoints and/or expense caps with respect to the funds.

After reviewing those and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the funds were fair and reasonable, and that the costs of the advisory services generally, and the related profitability to Columbia and its affiliates of their relationships with the funds, supported the continuation of the Agreements.

24

Board Consideration and Approval of Investment Advisory Agreements (continued)

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by Columbia to each fund and whether those economies were shared with the fund through breakpoints in the investment advisory fees or other means, such as expense waivers. The Trustees noted that many of the funds benefited from breakpoints, expense caps, or both. In considering those issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to Columbia and its affiliates of their relationships with the funds, as discussed above.

After reviewing those and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the funds supported the continuation of the Agreements.

Other Factors. The Trustees also considered other factors, which included but were not limited to the following:

  •  the extent to which each fund had operated in accordance with its investment objective and its record of compliance with its investment restrictions, and the compliance programs of the funds and Columbia. They also considered the compliance-related resources that Columbia and its affiliates were providing to the funds.

  •  the nature, quality, cost and extent of administrative and shareholder services performed by Columbia and its affiliates, both under the Agreements and under separate agreements for the provision of transfer agency and administrative services.

  •  so-called "fall-out benefits" to Columbia, such as the engagement of its affiliates to provide distribution, brokerage and transfer agency services to the funds, and the benefits of research made available to Columbia by reason of brokerage commissions generated by the funds' securities transactions, as well as possible conflicts of interest associated with those fall-out and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor those possible conflicts of interest.

  •  the draft report provided by the independent fee consultant, which included information about and analysis of the funds' fees, expenses and performance.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel and the independent fee consultant, the Trustees, including the Independent Trustees, approved the continuance of each of the Agreements through October 31, 2006.

25

Summary of Management Fee Evaluation by Independent Fee Consultant

Prepared Pursuant to the February 9, 2005 Assurance of Discontinuance between the Office of
Attorney General of New York State and Columbia Management Advisors, Inc. and
Columbia Funds Distributor, Inc. October 11, 2005

I. Overview

Columbia Management Advisors, Inc. ("CMA") and Columbia Funds Distributors, Inc. ("CFD") (CFD together with CMA referred to herein as Columbia Management Group or "CMG¹"), entered into an agreement with the New York Attorney General's Office in the form of an Assurance of Discontinuance (the "AOD"). The AOD stipulated that CMA would be permitted to manage or advise the Columbia Funds only if the Independent Members (as such term is defined in the AOD) of the Columbia Funds' Board of Trustees/Directors (collectively the "Trustees") appointed a Senior Officer or an Independent Fee Consultant ("IFC") who, among other things, is to manage the process by which management fees are negotiated. On May 15, 2005, the Independent Members of the Board appointed me as the IFC for the Columbia Funds. This report is the annual written evaluation of the Columbia Funds for 2005 that I have prepared in my capacity as IFC, as required b y the AOD.

A. Duties of the Independent Fee Consultant

As part of the AOD, the Independent Members of the Columbia Funds' Board of Trustees/Directors agreed to retain an independent fee consultant who was to participate in the management fee negotiation process. The IFC is charged with "... duties and responsibilities [that] include managing the process by which proposed management fees (including, but not limited to, advisory fees) to be charged the Columbia Fund[s] are negotiated so that they are negotiated in a manner which is at arms length and reasonable and consistent with this Assurance of Discontinuance." However, the IFC does not replace the Trustees in their role of negotiating management and other fees with CMG and its affiliates. In particular, the AOD states that "Columbia Advisors may manage or advise a Columbia Fund only if the reasonableness of the proposed management fees is determined by the Board of Trustees of the Columbia Fund using ... an annual independent written evaluation prepared by or under the direction of the ... Independent Fee Consultant...." This report, pursuant to the AOD, constitutes the "annual independent written evaluation prepared by or under the direction of the... Independent Fee Consultant."

The AOD requires the IFC report to consider at least the following:

  a)  Management fees (including any components thereof) charged by other mutual fund companies for like services;

  b)  Management fees (including any components thereof) charged to institutional and other clients of CMA for like services;

  c)  Costs to CMA and its affiliates of supplying services pursuant to the management fee agreements, excluding any intra-corporate profit;

  d)  Profit margins of CMA and its affiliates from supplying such services;

  e)  Possible economies of scale as the CMA fund grows larger; and

  f)  The nature and quality of CMA services, including Columbia Funds' performance.

This report is designed to assist the Board in evaluating the 2005 contract renewal for Columbia Funds. In addition, this report points out areas where the Board may deem additional information and analysis to be appropriate over time.

¹  Prior to the date of this report, CMA merged into an affiliated entity, Banc of America Capital Management, LLC ("BACAP"), and BACAP then changed its name to Columbia Management Advisors, LLC which carries on the business of CMA, and CFD changed its name to Columbia Management Distributors, Inc.

26

Summary of Management Fee Evaluation by Independent Fee Consultant (continued)

B. Sources of Information Used in My Evaluation

I have requested data from CMG and various third party industry data sources or independent research companies that work in the mutual fund arena. The following list generally describes the types of information I requested.

  1.  I collected data on performance, management fees, and expense ratios of both Columbia Funds and comparable non-Columbia Funds. The sources of this information were CMG, Lipper Inc. ("Lipper") and Morningstar Inc. ("Morningstar"). While Lipper and Morningstar each selected a different group of peer funds it deemed appropriate against which to measure the relative performance and fees of Columbia Funds, I conducted an independent review of the appropriateness of each peer group.

  2.  I reviewed data on CMG's expense and profitability that I obtained from CMA directly.

  3.  I have reviewed data on the organizational structure of CMG in general.

  4.  I collected information on profitability from Strategic Insight Mutual Fund Research and Consulting, LLC ("Strategic Insight"). I used this third-party independent research as an additional method to gauge the accuracy of the data collected in (2) above.

  5.  I conducted interviews with various CMG staff, including members of the senior management team, legal staff, heads of affiliates, portfolio managers, and financial personnel.

  6.  I reviewed current 2005 Section 15(c) material provided to the Board and material presented to the Board in the 2004 fee and performance evaluation.

  7.  I have reviewed various academic research papers, industry publications, and other available literature dealing with mutual fund operations, profitability, and other issues. In addition, I have reviewed SEC releases and studies of mutual fund expenses.

  8.  I have reviewed documents pertaining to recent mutual fund litigation in general and publicly available information about litigation where CMG has been involved.

In addition, I have engaged NERA Economic Consulting ("NERA") and independent consultant Dr. John Rea to assist me in data management and analysis. Both NERA and Dr. Rea have extensive experience in the mutual fund industry through consulting, government positions, or industry trade groups that provide unique insights and special knowledge pertaining to my independent analysis of fees, performance, and profitability. I have also retained Shearman & Sterling LLP as outside counsel to advise me in connection with my review.

C. Qualifications and Independence

I am the Walter H. Carpenter Chair and Professor of Finance at Babson College. Before this I was the Chief Economist of the U.S. Securities and Exchange Commission. I have no material relationship with Bank of America or CMG aside from acting as IFC, and am aware of no relationship with any of their affiliates.

[Resume omitted]

II. Evaluation of the general process used to negotiate the advisory contract

A. General Considerations

My analysis considered all factors and information I reviewed on the finances and operations of Columbia Funds. I gave each factor an appropriate weight in my overall findings, and no single factor was in itself the sole criterion for a finding or conclusion. My objective was to assess all of the information provided and conduct a robust evaluation of Columbia Funds' operations, fees, and performance.

My analysis and thought processes will and, I believe, should, differ in certain ways from the processes used by Trustees in their evaluation of the management agreements. In particular, because of my technical and quantitative background, I may use techniques and data that Trustees have not previously felt would be useful. I view this supplemental analysis as appropriate because my role is to assist Trustees in their decisions, and to the extent that I bring new ideas or analysis to the evaluation, I believe this improves the process by which management fees for the Columbia Funds may be negotiated in accordance with the AOD.

27

Summary of Management Fee Evaluation by Independent Fee Consultant (continued)

Finally, as part of my role as IFC, I have, from time to time, sent to Trustees additional papers and reports produced by third parties that I felt had bearing on the fee negotiation process. I viewed these materials as educational in nature and felt they would aid Trustees in placing their work in context.

B. CMG Management Interviews

As a starting point of my analysis, I have met with members of CMG staff to gain an understanding of the organizational structure and personnel involved in running the Columbia fund family.

I have had general discussions and have received information about the management structure of CMG. My conversations with management have been informative. In addition, I have participated in Board meetings where Trustees and management have discussed issues relating to management agreements and performance of Columbia Funds. When I felt it was appropriate, I added my opinions on particular matters, such as fund performance or fee levels, to the discussion.

C. Trustees' Fee and Performance Evaluation Process

After making initial requests for information, members of the Trustees of the Columbia Funds met in advance of the October Section 15(c) contract approval meeting to review certain fee, performance and other data for the Columbia Funds and to ask questions and make requests of management. Trustees have developed a process to evaluate the fee and expense levels and performance of Columbia Funds. This process is used to highlight those funds that have been performing poorly, may have had higher management fees or expense ratios, or both.

The process involves providing instructions to Lipper to prepare specific data analyses tailored to the Trustees review framework. These instructions include highlighting funds that hit one or more fee performance "screens." The six screens the Trustees use are as follows:

  a.  5th Lipper quintile in actual management fee;

  b.  5th Lipper quintile in total expense ratio;

  c.  Three or more 5th Lipper quintile rankings in the 1-, 3-, 5- or 10-year performance rankings;

  d.  Sum of the Lipper Quintile Rank (1-year performance) and the Lipper Quintile Rank (actual management fee) totals a number equal to or higher than 8;

  e.  Sum of the Lipper Quintile Rank (1-year performance) and the Lipper Quintile Rank (total expense ratio) totals a number equal to or higher than 8; and

  f.  Sum of the Lipper Quintile Rank (3-year performance) and the Lipper Quintile Rank (total expense ratio) totals a number equal to or higher than 8.

If a fund hits one or more of these screens, it is highlighted for additional review by the Trustees. This method is only used as an aid for Trustees to highlight funds and is not the sole test of whether the Board will determine to take particular actions concerning fees or performance. Funds that have not been flagged by this screen also may be singled out for fee and performance reasons, and the Trustees may determine not to take action with respect to the fees or performance of funds that have been flagged by the screen. These screens contribute to the basis for discussions on Trustees' views on the Columbia Funds.

III. FINDINGS

My findings based on my work as IFC are as follows:

  1.  The Trustees have the relevant information necessary to form an opinion on the reasonableness of fees and evaluate the performance of the Columbia Funds. The process the Trustees used in preparing to reach their determination has been open and informative. In my view, the 2005 process by which the management fees of the Columbia Funds have been negotiated thus far has been, to the extent practicable, at arm's length and reasonable and consistent with the AOD.

28

Summary of Management Fee Evaluation by Independent Fee Consultant (continued)

  2.  Columbia Funds demonstrated a range of performance relative to their peers. I find that across the fund complex, 54.26 percent of Columbia Funds have performance higher than the median of their respective Lipper performance universe, and 42.55 percent of Columbia Funds have performance higher than the median of their respective Lipper performance group. In addition, Lipper performance universe and group comparison showed that Columbia Funds were distributed roughly evenly across these quintiles. The Trustees have worked with management to address issues of funds that have demonstrated consistent or significant underperformance.

  3.  Columbia Funds demonstrate a range of management fees and expense ratios relative to their peers. I find that across the fund complex, 58.51 percent of Columbia Funds have expenses below the median of their Lipper expense universe, and 53.19 percent of Columbia Funds have expenses below the median of their Lipper expense group. In addition, Lipper expense universe and group comparisons show that Columbia Funds are distributed roughly evenly across these quintiles. The Trustees have taken steps to limit shareholder expenses for certain funds having management fees significantly above their peers, often though the use of fee waivers to which CMG has agreed. Consolidation of various funds and fund families managed by CMG has resulted in substantial savings in non-advisory expenses.

  4.  Profitability to CMG of the individual funds ranges widely, but the overall profitability to CMG of its relationship with the Columbia Funds appears to fall within a reasonable range. The method of cost allocation to funds is addressed in the material provided by CMG to the Trustees, but additional information may be necessary to make a judgment on fund level profitability. My review of profitability and cost allocation is ongoing, and I plan to continue to develop my views with regard to fund level profitability.

  5.  Columbia Funds have instituted fee schedules with breakpoints designed to enable investors to benefit from fund economies of scale, although 71% of the funds have not yet reached their first breakpoint. My analysis of the appropriateness of the breakpoint levels, which I expect will take into account the cost and profitability of the individual funds, is ongoing.

My work is ongoing and my views may develop over time in light of new information and analysis.

Respectfully submitted,

Erik R. Sirri

29

CMG FUND TRUST

1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201

- INVESTMENT ADVISOR -

COLUMBIA MANAGEMENT ADVISORS, LLC
100 FEDERAL STREET
BOSTON, MASSACHUSETTS 02110-2624

- LEGAL COUNSEL -

ROPES & GRAY LLP
ONE INTERNATIONAL PLACE
BOSTON, MA 02110-2624

- TRANSFER AGENT -

COLUMBIA MANAGEMENT SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081

SHC-44/106106-0106 (03/06) 06/10062

A description of the fund's proxy voting policies and procedures is available (i) on the fund's website, www.columbiamanagement.com; (ii) on the Securities and Exchange Commission's website at www.sec.gov, and (iii) without charge, upon request, by calling 800-368-0346. Information regarding how the fund voted proxies relating to portfolio securities during the 12-month period ended June 30 is available from the SEC's website. Information regarding how the fund voted proxies relating to portfolio securities is also available from the fund's website.

The fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The fund's Form N-Q is available on the SEC's website at www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

The CMG funds are offered by prospectus through Columbia Management Distributors, Inc. Please consider the investment objectives, risks, charges and expenses of a mutual fund carefully before investing. Contact your Columbia Management representative or visit www.columbiamanagement.com for a prospectus, which contains this and other important information about the fund. Read it carefully before you invest.

Fund distributed by Columbia Management Distributors, Inc., One Financial Center, Boston, Massachusetts 02111-2621

CMG STRATEGIC EQUITY FUND
A PORTFOLIO OF CMG FUND TRUST

Semiannual Report
January 31, 2006

Advised by Columbia Management Advisors, LLC.

Not FDIC
Insured

May Lose Value

No Bank Guarantee

Columbia Management is the primary investment management division of Bank of America Corporation. Columbia Management entities furnish investment management services and advise institutional and mutual fund portfolios. CMG Funds are distributed by Columbia Management Distributors, Inc., member of NASD, SIPC, part of Columbia Management and an affiliate of Bank of America Corporation.

Columbia Management Advisors, Inc. combined with Banc of America Capital Management, LLC on September 30, 2005. At that time, the newly combined advisor underwent a name change to Columbia Management Advisors, LLC and continues to operate as a SEC-registered investment advisor, wholly owned subsidiary of Bank of America, N.A. and is part of Columbia Management.

The views expressed in the portfolio commentary reflect the current views of the Portfolio Manager. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to predict so actual outcomes and results may differ significantly from the views expressed. These views are subject to change at any time based upon economic, market or other conditions and the Portfolio Manager disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a CMG Fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any particular CMG Fund. References to specific company securities should not be construed as a recommendation or investment advice.

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
MANAGEMENT DISCUSSION OF FUND PERFORMANCE

CMG Strategic Equity Fund returned 8.23% for the six-month period ended January 31, 2006. The fund performed better than the S&P 500 Index¹ and the Morningstar Large Blend Category average², which returned 4.68% and 5.78%, respectively. Shrewd stock picking—particularly in the information technology, financial and industrials sectors—resulted in the fund's solid performance during the period.

The financial sector was an area of relative strength for the fund. The portfolio's financial holdings in the Japanese market were particular standouts. Mizuho Financial Group, Inc. made the most significant positive impact in the sector, followed by Mitsubishi UFJ Financial Group, Inc., Mitsubishi Estate Co., Ltd. and Nomura Holdings, Inc.³ On the domestic front, LazardLtd. and Morgan Stanley made steady gains throughout the period.

The information technology sector proved to be another area of relative strength. Advanced Micro Devices, Inc. gained 108% in the period and helped performance, while Samsung Electronics Co., Ltd. was the sector's strongest contributor. Palm, Inc. and Corning, Inc. also made sizable contributions to the portfolio's return. Disappointments included Tandberg ASA and Plantronics, Inc., which were sold from the portfolio during the period.

In recent periods, the fund has benefited from targeting companies positioned to benefit from a strong commodities market. In the industrials sector, Hitachi Construction Machinery Co., Ltd. and Caterpillar, Inc. advanced during the reporting period. However, in the materials sector, several stocks performed worse than expected. The largest detractor was a previous performance leader: Potash Corp. of Saskatchewan, Inc.

The fund benefited from exposure to the energy sector, where its stocks performed better than the index. Oil service and offshore exploration holdings were particularly strong. Schlumberger Ltd., an oilfield services company, was the top contributor in the sector, followed by Transocean, Inc. and TGS Nopec Geophysical Co. Alpha Natural Resources, Inc., a coal producer, was a disappointment, and we eliminated this stock from the portfolio.

The fund experienced weakness in the consumer discretionary and consumer staples sectors, both of which declined during the period. In the consumer discretionary sector, tire manufacturer Nokian Renkaat Oyj slipped and detracted from returns, as did Media General, Inc. and Kohl's Corp. One bright spot in this sector was Finnish retailer Stockmann Oyj Abp. In the consumer staples sector, Walgreen Co., Wrigley (Wm.) Jr. Co. and Wal-Mart Stores, Inc. were disappointments and had a negative impact on fund performance. However, Altria Group, Inc. was a standout performer among consumer staples stocks.

At present, we believe that recent interest-rate increases could result in some slowing in the economy in 2006. As this economic cycle matures, we are currently seeking companies with less sensitivity to the economic cycles and an ability to maintain stable growth. In addition, we

1

will continue to evaluate investment opportunities overseas, considering areas with compelling growth trends and reasonable prices.

The fund's top ten holdings (as a percentage of net assets) as of January 31, 2006 were (%):

Samsung Electronics Co., Ltd.	2.2
Schlumberger Ltd.	1.8
Exxon Mobil Corp.	1.7
Mizuho Financial Group, Inc.	1.6
Wal-Mart Stores, Inc.	1.5
General Electric Co.	1.5
Berkshire Hathaway, Inc.	1.4
Microsoft Corp.	1.4
Transocean, Inc.	1.2
Coca-Cola Co.	1.2

We appreciate your continued confidence in CMG Strategic Equity Fund.

Emil A. Gjester has managed or co-managed the fund since January 2004 and has been with the advisor or its predecessors or affiliate organizations since 1996.

Equity investments are affected by stock market fluctuations that occur in response to economic and business developments.

International investing may involve certain risks, including foreign taxation, currency fluctuations, risks associated with possible differences in financial standards and other monetary and political risks.

Holdings are calculated as a percentage of net assets, and are subject to change. Because the fund is actively managed, there is no guarantee the fund will continue to maintain the holdings breakdown listed. The fund's holdings and their weighting within the portfolio may change as market conditions change.

¹ The Standard & Poor's (S&P) 500 Index tracks the performance of 500 widely held, large-capitalization US stocks. Unlike the fund, indices are not investments, do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

² ©2006 by Morningstar, Inc. All rights reserved. The information contained herein is the proprietary information of Morningstar, Inc., may not be copied or redistributed for any purpose and may only be used for noncommercial, personal purposes. The information contained herein is not represented or warranted to be accurate, correct, complete or timely. Morningstar, Inc. shall not be responsible for investment decisions, damages or other losses resulting from the use of this information. Past performance is no guarantee of future performance. Morningstar, Inc. has not granted consent for it to be considered or deemed an "expert" under the SecuritiesActof 1933.

Morningstar Categories compare the performance of funds with similar investment objectives and strategies.

³ Holdings are disclosed as a percentage of net assets on January 31, 2006, and are subject to change: Mizuho Financial Group, Inc. (1.6%), Mitsubishi UFJ Financial Group, Inc. (1.0%), Mitsubishi Estate Co., Ltd. (0.4%), Nomura Holdings, Inc. (0.6%), Lazard Ltd. (0.5%), Morgan Stanley (1.1%), Advanced Micro Devices, Inc. (0.6%), Samsung Electronics Co., Ltd. (2.2%), Palm, Inc. (0.9%), Corning, Inc. (0.7%), Hitachi Construction Machinery Co., Ltd. (0.7%), Caterpillar, Inc. (0.8%), Potash Corp. of Saskatchewan, Inc. (0.7%), Schlumberger Ltd. (1.8%), Transocean, Inc. (1.2%), TGS Nopec Geophysical Co. (0.5%), Nokian Renkaat Oyj (0.2%), Media General, Inc. (0.3%), Kohl's Corp. (0.6%), Stockmann Oyj Abp (0.9%), Walgreen Co. (1.1%), Wrigley (Wm.) Jr. Co. (1.0%), Wal-Mart Stores, Inc. (1.5%) and Altria Group, Inc. (1.1%).

2

Average annual total return as of January 31, 2006 (%)

	Inception		6-month (cumulative)		1-year		Life
CMG Strategic Equity Fund		10/09/01		8.23		14.95		14.46
S&P 500 Index				4.68		10.38		6.36

Average annual total return as of December 31, 2005 (%)

	Inception		6-month (cumulative)		1-year		Life
CMG Strategic Equity Fund		10/09/01		8.39		7.87		13.72
S&P 500 Index				5.77		4.91		5.83

Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. Please visit www.columbiamanagement.com for daily and most recent month-end performance updates.

Performance results may reflect any voluntary waivers or reimbursement of fund expenses by the advisor or its affiliates. Absent these waivers or reimbursement arrangements, performance results would have been lower. All results shown assume reinvestment of distributions.

Growth of a $10,000 investment, October 9, 2001 to January 31, 2006

The chart above shows the growth in value of a hypothetical $10,000 investment in the fund compared to the index during the period, and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

Index performance is from October 9, 2001.

The Standard & Poor's (S&P) 500 Index tracks the performance of 500 widely held, large-capitalization US stocks. Unlike the fund, indices are not investments, they do not incur fees or expenses and are not professionally managed. It is not possible to invest directly in an index. Securities in the fund may not match those in an index.

3

UNDERSTANDING YOUR EXPENSES – CMG Strategic Equity Fund

As a fund shareholder, you incur two types of costs. There are transaction costs and also ongoing costs, which generally include investment advisory fees and other fund expenses. The information on this page is intended to help you understand your ongoing costs of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.

Analyzing your fund's expenses

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors during the reporting period. The information in the following table is based on an initial investment of $1,000, which is invested at the beginning of the reporting period and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the "actual" column is calculated using the fund's actual operating expenses and total return for the period. The amount listed in the "hypothetical" column assumes that the return each year is 5% before expenses and includes the fund's actual expense ratio. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during this reporting period.

Estimating your actual expenses

To estimate the expenses that you paid over the period, first you will need your account balance at the end of the period:

1.  Divide your ending account balance by $1,000. For example, if an account balance was $8,600 at the end of the period, the result would be 8.6.

2.  In the section of the table below titled "Expenses paid during the period," locate the amount under "actual." Multiply this number by the result from step 1. Your answer is an estimate of the expenses you paid on your account during the period.

August 1, 2005 — January 31, 2006

Account value at the beginning of the period ($)		Account value at the end of the period ($)			Expenses paid during the period ($)			Fund's annualized expense ratio (%)
Actual	Hypothetical		Actual	Hypothetical		Actual	Hypothetical
1,000.00	1,000.00		1,082.27	1,023.19		2.10	2.04		0.40

Expenses paid during the period are equal to the annualized expense ratio of 0.40%, multiplied by the average account value over the period, then multiplied by the number of days in the fund's most recent fiscal half-year and divided by 365.

Had the Investment Advisor and/or Transfer Agent not reimbursed a portion of expenses, total return would have been reduced.

It is important to note that the expense amounts shown in the table are meant to highlight only ongoing costs of investing in the fund and do not reflect any transaction costs, such as sales charges, redemption or exchange fees. Therefore, the hypothetical examples provided may not help you determine the relative total costs of owning shares of different funds. If these transaction costs were included, your costs would have been higher.

Compare with other funds

Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the fund with other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the continuing costs of investing in a fund and do not reflect any transaction costs, such as sales charges or redemption or exchange fees.

4

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
FINANCIAL HIGHLIGHTS

(For a Fund Share Outstanding Throughout Each Period)

	(Unaudited) Six Months Ended January 31,			Year Ended July 31,						Period Ended July 31,			Year Ended October 31,			Period Ended October 31,
	2006			2005			2004			2003 (a)			2002			2001 (b)
Net asset value, beginning of period	$	15.22		$	13.80		$	12.06		$	10.14		$	10.10		$	10.00
Income from investment operations:
Net investment income		0.08	(c)		0.19	(c)(d)		0.12	(c)		0.10	(c)		0.11	(c)		-	(e)
Net realized and unrealized gain (loss) on investments and foreign   currency		1.00			2.09			1.87			1.88			(0.05	)		0.10
Total from investment operations		1.08			2.28			1.99			1.98			0.06			0.10
Less distributions declared to shareholders:
From net investment income		(0.57	)		(0.14	)		(0.09	)		(0.06	)		(0.02	)		-
From net realized gains		(4.41	)		(0.72	)		(0.16	)		-			-			-
Total distributions declared to shareholders		(4.98	)		(0.86	)		(0.25	)		(0.06	)		(0.02	)		-
Net asset value, end of period	$	11.32		$	15.22		$	13.80		$	12.06		$	10.14		$	10.10
Total return (f)(g)		8.23	%(h)		16.77	%		16.58	%		19.66	%(h)		0.53	%		1.00	%(h)
Ratios/Supplemental data:
Net assets, end of period (000's)	$	183,346		$	755,860		$	618,714		$	370,620		$	188,179		$	36,942
Ratio of net expenses to average net assets (i)		0.40	%(j)		0.40	%		0.40	%		0.40	%(j)		0.40	%		0.40	%(j)
Ratio of net investment income to average net assets (i)		1.07	%(j)		1.31	%		0.88	%		1.22	%(j)		1.01	%		0.04	%(j)
Waiver/reimbursement		0.06	%(j)		0.03	%		0.05	%		0.05	%(j)		0.07	%		0.80	%(j)
Portfolio turnover rate		19	%(h)		64	%		81	%		78	%(h)		172	%		14	%(h)

(a)  The Fund changed its fiscal year end from October 31 to July 31.

(b)  The Fund commenced investment operations on October 9, 2001. Per share data, total return and portfolio turnover rate reflect activity from that date.

(c)  Per share data was calculated using average shares outstanding during the period.

(d)  Net investment income per share reflects a special dividend. The effect of this dividend amount to $0.02 per share.

(e)  Rounds to less than $0.01 per share.

(f)  Total return at net asset value assuming all distributions reinvested.

(g)  Had the Investment Advisor and or Transfer Agent not waived or reimbursed a portion of expenses, total return would have been reduced.

(h)  Not annualized.

(i)  The benefits derived from custody credits had an impact of less than 0.01%.

(j)  Annualized.

See Accompanying Notes to Financial Statements.

5

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

January 31, 2006 (Unaudited)

	Shares		Value
Common Stocks (96.1%)
Consumer Discretionary (8.2%)
Auto Components (0.2%)
Nokian Renkaat Oyj		22,690	$	350,713
Hotels, Restaurants & Leisure (0.7%)
Yum! Brands, Inc.		24,800		1,226,856
Internet & Catalog Retail (0.2%)
IAC/InterActiveCorp (a)		14,370		417,017
Media (2.9%)
Cablevision Systems Corp. (a)		22,440		552,024
CBS Corp.		14,135		369,347
Comcast Corp., Class A (a)		46,490		1,288,703
Media General, Inc., Class A		12,660		605,781
News Corp., Class A		47,548		749,356
Time Warner, Inc.		70,330		1,232,885
Viacom, Inc., Class B (a)		14,135		586,320
				5,384,416
Multiline Retail (2.2%)
Federated Department Stores, Inc.		9,128		608,199
Kohl's Corp. (a)		23,770		1,055,150
Saks, Inc. (a)		34,270		661,754
Stockmann Oyj Abp, Class B		37,430		1,593,726
				3,918,829
Specialty Retail (1.3%)
Bed Bath & Beyond, Inc. (a)		22,000		823,020
Gap, Inc.		33,880		612,889
Home Depot, Inc.		6,710		272,091
TJX Companies, Inc.		28,340		723,520
				2,431,520
Textiles, Apparel & Luxury Goods (0.7%)
NIKE, Inc., Class B		15,520		1,256,344
				14,985,695
Consumer Staples (11.0%)
Beverages (1.7%)
Coca-Cola Co.		52,930		2,190,243
PepsiCo, Inc.		17,510		1,001,222
				3,191,465
Food & Staples Retailing (3.1%)
United Natural Foods, Inc. (a)		26,500		856,745

See Accompanying Notes to Financial Statements.

6

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Food & Staples Retailing (continued)
Wal-Mart Stores, Inc.		61,080	$	2,816,399
Walgreen Co.		48,370		2,093,454
				5,766,598
Food Products (3.6%)
ConAgra Foods, Inc.		20,610		427,245
General Mills, Inc.		13,790		670,332
Nestle SA, Registered Shares		7,140		2,094,333
Unilever NV, NY Registered Shares		21,930		1,539,486
Wrigley (Wm.) Jr. Co.		28,230		1,805,591
				6,536,987
Household Products (1.1%)
Procter & Gamble Co.		35,400		2,096,742
Personal Products (0.3%)
Avon Products, Inc.		17,550		497,016
Tobacco (1.2%)
Altria Group, Inc.		29,110		2,105,817
				20,194,625
Energy (10.6%)
Energy Equipment & Services (5.1%)
Cooper Cameron Corp. (a)		25,140		1,216,525
Dril-Quip, Inc. (a)		9,400		591,918
Schlumberger Ltd.		25,890		3,299,680
TGS Nopec Geophysical Co., ASA (a)		16,800		873,764
Transocean, Inc. (a)		27,230		2,209,715
Willbros Group, Inc. (a)		53,140		1,089,370
				9,280,972
Oil, Gas & Consumable Fuels (5.5%)
BP PLC, ADR		16,590		1,199,623
Chevron Corp.		21,000		1,246,980
ConocoPhillips		24,570		1,589,679
Exxon Mobil Corp.		50,750		3,184,562
Newfield Exploration Co. (a)		40,600		2,127,440
Williams Companies, Inc.		34,820		830,109
				10,178,393
				19,459,365
Financials (16.5%)
Capital Markets (3.0%)
Ameriprise Financial, Inc.		17,600		716,144
Charles Schwab Corp.		52,250		772,778

See Accompanying Notes to Financial Statements.

7

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Capital Markets (continued)
Lazard Ltd., Class A		25,840	$	926,622
Morgan Stanley		32,330		1,986,679
Nomura Holdings, Inc., ADR		52,620		1,026,616
				5,428,839
Commercial Banks (5.4%)
HSBC Holdings PLC, ADR		14,840		1,234,391
ICICI Bank Ltd., ADR		32,000		1,005,440
Mitsubishi UFJ Financial Group, Inc., ADR		130,840		1,890,638
Mizuho Financial Group, Inc.		360		2,946,166
Raiffeisen International Bank Holding AG (a)		10,600		766,910
SunTrust Banks, Inc.		11,500		821,675
U.S. Bancorp		25,240		754,928
Wachovia Corp.		7,130		390,938
				9,811,086
Consumer Finance (1.5%)
American Express Co.		26,600		1,395,170
SLM Corp.		23,500		1,315,060
				2,710,230
Diversified Financial Services (2.0%)
Citigroup, Inc.		36,013		1,677,486
JPMorgan Chase & Co.		51,386		2,042,593
				3,720,079
Insurance (4.2%)
American International Group, Inc.		25,504		1,669,492
Berkshire Hathaway, Inc., Class B (a)		880		2,580,160
Chubb Corp.		7,100		669,885
Hannover Rueckversicherung AG, Registered Shares		32,570		1,230,066
Marsh & McLennan Companies, Inc.		13,810		419,686
St. Paul Travelers Companies, Inc.		25,400		1,152,652
				7,721,941
Real Estate (0.4%)
Mitsubishi Estate Co., Ltd.		34,870		810,032
				30,202,207
Health Care (15.2%)
Biotechnology (2.7%)
Amgen, Inc. (a)		17,760		1,294,526
Applera Corp. - Applied Biosystems Group		43,520		1,233,357
Biogen Idec, Inc. (a)		31,390		1,404,703
MedImmune, Inc. (a)		16,680		569,122
Qiagen NV (a)		34,410		407,414
				4,909,122

See Accompanying Notes to Financial Statements.

8

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Health Care Equipment & Supplies (4.7%)
Alcon, Inc.		7,130	$	912,070
Baxter International, Inc.		42,000		1,547,700
Dentsply International, Inc.		9,940		533,778
Hospira, Inc. (a)		40,710		1,821,772
Medtronic, Inc.		35,840		2,023,885
Viasys Healthcare, Inc. (a)		21,010		595,003
Zimmer Holdings, Inc. (a)		16,350		1,127,332
				8,561,540
Health Care Providers & Services (2.9%)
Community Health Systems, Inc. (a)		27,190		989,444
Henry Schein, Inc. (a)		15,590		727,118
LifePoint Hospitals, Inc. (a)		25,000		771,250
McKesson Corp.		27,000		1,431,000
Omnicare, Inc.		13,960		693,812
Patterson Companies, Inc. (a)		22,530		777,961
				5,390,585
Pharmaceuticals (4.9%)
Abbott Laboratories		21,140		912,191
Andrx Corp. (a)		43,400		761,670
Gedeon Richter Ltd.		3,720		778,069
Johnson & Johnson		34,030		1,958,086
Novartis AG, ADR		26,480		1,460,637
Novo-Nordisk A/S, Class B		10,680		598,110
Pfizer, Inc.		24,580		631,214
Sanofi-Aventis, ADR		11,600		533,600
Valeant Pharmaceuticals International		34,380		617,465
Wyeth		16,500		763,125
				9,014,167
				27,875,414
Industrials (8.9%)
Air Freight & Logistics (1.6%)
United Parcel Service, Inc., Class B		26,740		2,003,094
Yamato Transport Co., Ltd.		56,310		972,062
				2,975,156
Commercial Services & Supplies (0.9%)
Avery Dennison Corp.		16,890		1,009,008
ChoicePoint, Inc. (a)		13,840		569,101
				1,578,109
Electrical Equipment (0.4%)
Thomas & Betts Corp. (a)		18,000		803,700

See Accompanying Notes to Financial Statements.

9

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Industrial Conglomerates (2.0%)
General Electric Co.		84,450	$	2,765,737
Siemens AG, ADR		8,800		806,080
				3,571,817
Machinery (2.7%)
Caterpillar, Inc.		20,780		1,410,962
Deere & Co.		10,290		738,411
Eaton Corp.		8,430		558,066
Hitachi Construction Machinery Co., Ltd.		43,700		1,207,007
OSG Corp.		17,340		358,463
Pall Corp.		25,960		747,648
				5,020,557
Marine (0.9%)
A.P. Moller - Maersk A/S		120		1,195,595
Finnlines Oyj		22,690		410,543
				1,606,138
Trading Companies & Distributors (0.4%)
GATX Corp.		17,890		710,412
				16,265,889
Information Technology (18.4%)
Communications Equipment (3.4%)
Cisco Systems, Inc. (a)		79,050		1,467,959
Corning, Inc. (a)		52,000		1,266,200
CSR PLC (a)		35,000		697,367
Motorola, Inc.		17,350		394,019
Nokia Oyj, ADR		61,150		1,123,937
QUALCOMM, Inc.		27,320		1,310,267
				6,259,749
Computers & Peripherals (2.3%)
EMC Corp. (a)		52,390		702,026
Hewlett-Packard Co.		36,510		1,138,382
International Business Machines Corp.		9,400		764,220
Palm, Inc. (a)		40,600		1,602,888
				4,207,516
Electronic Equipment & Instruments (0.3%)
Murata Manufacturing Co., Ltd.		8,400		608,670
Internet Software & Services (1.1%)
eBay, Inc. (a)		21,770		938,287
Yahoo!, Inc. (a)		28,610		982,467
				1,920,754

See Accompanying Notes to Financial Statements.

10

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
IT Services (2.1%)
Automatic Data Processing, Inc.		17,730	$	779,056
DST Systems, Inc. (a)		18,000		1,019,880
First Data Corp.		27,760		1,251,976
Paychex, Inc.		22,020		800,427
				3,851,339
Office Electronics (0.6%)
Zebra Technologies Corp., Class A (a)		23,025		1,036,816
Semiconductors & Semiconductor Equipment (5.8%)
Advanced Micro Devices, Inc. (a)		27,080		1,133,569
Analog Devices, Inc.		24,060		956,866
Applied Materials, Inc.		34,850		663,892
ASML Holding N.V., N.Y. Registered Shares (a)		16,000		361,440
Intel Corp.		32,890		699,570
Intersil Corp., Class A		17,170		498,960
Micron Technology, Inc. (a)		36,310		533,031
Samsung Electronics Co., Ltd., GDR (b)		10,500		4,021,500
Sanken Electric Co. Ltd.		32,500		567,964
Texas Instruments, Inc.		42,160		1,232,337
				10,669,129
Software (2.8%)
Check Point Software Technologies Ltd. (a)		17,160		371,342
Microsoft Corp.		91,210		2,567,562
Novell, Inc. (a)		34,500		336,030
Oracle Corp. (a)		66,220		832,385
Quest Software, Inc. (a)		34,640		548,698
Wind River Systems, Inc. (a)		34,580		462,680
				5,118,697
				33,672,670
Materials (3.5%)
Chemicals (1.5%)
Air Products & Chemicals, Inc.		13,880		856,257
International Flavors & Fragrances, Inc.		21,240		700,071
Potash Corp. of Saskatchewan, Inc.		13,880		1,249,061
				2,805,389
Metals & Mining (1.6%)
Companhia Vale do Rio Doce, ADR		17,480		896,200
Inco Ltd.		19,960		1,023,549
Mittal Steel Co. NV, Class A		29,000		1,049,800
				2,969,549

See Accompanying Notes to Financial Statements.

11

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

	Shares		Value
Common Stocks (continued)
Paper & Forest Products (0.4%)
Votorantim Celulose e Papel SA, ADR		56,090	$	699,442
				6,474,380
Telecommunication Services (1.6%)
Diversified Telecommunication Services (1.6%)
BellSouth Corp.		23,740		683,000
Chunghwa Telecom Co. Ltd.		33,000		614,460
Telekomunikasi Indonesia, ADR		39,000		1,079,520
Verizon Communications, Inc.		17,670		559,432
				2,936,412
Utilities (2.2%)
Electric Utilities (1.3%)
Edison International		35,430		1,552,542
Exelon Corp.		13,980		802,732
				2,355,274
Independent Power Producers & Energy Traders (0.2%)
Duke Energy Corp.		13,890		393,781
Multi-Utilities (0.7%)
Dominion Resources, Inc.		8,470		639,739
TECO Energy, Inc.		44,670		762,964
				1,402,703
				4,151,758
Total Common Stocks (Cost of $122,725,830)				176,218,415
Investment Company (0.7%)
iShares MSCI Japan Index Fund (Cost of $629,412)		88,900		1,246,378
	Par
Short-Term Obligation (3.3%)
Repurchase agreement with State Street Bank & Trust Co., dated 01/31/06, due 02/01/06 at 4.270%, collateralized by a U.S. Treasury Bond maturing 05/15/15, market value of $6,135,731 (repurchase proceeds $6,013,713) (Cost of $6,013,000)	$	6,013,000		6,013,000
Total Investments (100.1%) (Cost of $129,368,242) (c)				183,477,793
Other Assets & Liabilities, Net (-0.1%)				(132,045	)
Net Assets (100.0%)			$	183,345,748

See Accompanying Notes to Financial Statements.

12

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
SCHEDULE OF INVESTMENTS

Notes to Schedule of Investments:

(a)  Non-income producing security.

(b)  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. This security, which is not illiquid, may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2006, the value of this security, which is not illiquid, represents 2.2% of net assets.

(c)  Cost for federal income tax purposes is $129,368,242.

At January 31, 2006, the Fund held investments in the following sectors:

Sector	% of Net Assets
Information Technology		18.4	%
Financials		16.5
Health Care		15.2
Consumer Staples		11.0
Energy		10.6
Industrials		8.9
Consumer Discretionary		8.2
Materials		3.5
Utilities		2.2
Telecommunication Services		1.6
Investment Company		0.7
Short Term Obligation		3.3
Other Assets & Liabilities, Net		(0.1	)
		100.0	%

Acronym	Name
ADR	American Depositary Receipt
GDR	Global Depositary Receipt

See Accompanying Notes to Financial Statements.

13

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
STATEMENT OF ASSETS AND LIABILITIES

January 31, 2006 (Unaudited)

ASSETS:
Investments, at identified cost	$	129,368,242
Investments, at value	$	183,477,793
Cash		241
Receivable for:
Fund shares sold		84,377
Interest		683
Dividends		136,565
Foreign tax reclaims		3,368
Expense reimbursement due from Investment Advisor		30,630
Deferred Trustees' compensation plan		8,577
Total Assets		183,742,234
LIABILITIES:
Payable for:
Investments purchased		91,641
Fund shares repurchased		197,692
Investment advisory fee		69,394
Transfer agent fee		394
Custody fee		5,920
Reports to shareholders		14,912
Chief compliance officer expenses		507
Deferred Trustees' fees		8,577
Other liabilities		7,449
Total Liabilities		396,486
NET ASSETS	$	183,345,748
NET ASSETS consist of:
Paid-in capital	$	55,822,991
Accumulated net investment loss		(360,118	)
Accumulated net realized gain		73,773,088
Net unrealized appreciation (depreciation) on:
Investments		54,109,551
Foreign currency translations		236
NET ASSETS	$	183,345,748
Shares of capital stock outstanding		16,189,496
Net asset value, offering and redemption price per share	$	11.32

See Accompanying Notes to Financial Statements.

14

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
STATEMENT OF OPERATIONS

For the Six Months Ended January 31, 2006 (Unaudited)
NET INVESTMENT INCOME:
Income:
Dividends	$	2,616,799
Interest		1,052,043
Foreign withholding tax		(20,085	)
Total Investment Income		3,648,757
Expenses:
Investment advisory fee		997,118
Transfer agent fee		959
Trustees' fees		13,581
Custody fee		37,666
Chief compliance officer expenses (See Note 4)		5,242
Non-recurring costs (See Note 8)		3,746
Other expenses		97,080
Total Expenses		1,155,392
Fees and expenses waived or reimbursed by Investment Advisor		(153,716	)
Fees and expenses waived or reimbursed by Transfer Agent		(146	)
Non-recurring costs assumed by Investment Advisor (See Note 8)		(3,746	)
Custody earnings credit		(667	)
Net Expenses		997,117
Net Investment Income		2,651,640
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on:
Investments		109,776,969
Foreign currency transactions		(147,398	)
Net realized gain		109,629,571
Net change in unrealized appreciation (depreciation) on:
Investments		(90,903,605	)
Foreign currency translations		1,912
Net change in unrealized appreciation (depreciation)		(90,901,693	)
Net Gain		18,727,878
NET INCREASE IN NET ASSETS FROM OPERATIONS	$	21,379,518

See Accompanying Notes to Financial Statements.

15

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
STATEMENT OF CHANGES IN NET ASSETS

Increase (Decrease) in Net Assets:	(Unaudited) Six Months Ended January 31, 2006			Year Ended July 31, 2005
Operations:
Net investment income	$	2,651,640		$	9,248,695
Net realized gain on investments and foreign currency transactions		109,629,571			34,789,566
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		(90,901,693	)		62,844,592
Net increase from operations		21,379,518			106,882,853
Distributions declared to shareholders:
From net investment income		(8,532,614	)		(6,517,434	)
From net realized gains		(65,479,568	)		(33,081,757	)
Total distributions declared to shareholders		(74,012,182	)		(39,599,191	)
Share Transactions:
Subscriptions		42,553,512			107,867,251
Distributions reinvested		63,962,151			38,913,285
Redemptions		(626,396,999	)		(76,918,698	)
Net increase (decrease) from share transactions		(519,881,336	)		69,861,838
Total increase (decrease) in net assets		(572,514,000	)		137,145,500
NET ASSETS:
Beginning of period		755,859,748			618,714,248
End of period	$	183,345,748		$	755,859,748
Undistributed (overdistributed) net investment income	$	(360,118	)	$	5,520,856
Changes in Shares:
Subscriptions		3,139,401			7,444,993
Issued for distributions reinvested		5,841,292			2,670,781
Redemptions		(42,455,246	)		(5,281,801	)
Net increase (decrease)		(33,474,553	)		4,833,973

See Accompanying Notes to Financial Statements.

16

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS

January 31, 2006 (Unaudited)

Note 1.  Organization

CMG Strategic Equity Fund (the "Fund"), a series of CMG Fund Trust (the "Trust"), is a diversified portfolio. The Trust is an Oregon business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.

Investment goal. The Fund seeks long-term growth of capital and total returns greater than those of the market over time.

Fund shares. The Fund may issue an unlimited number of shares of no par value capital stock, which are offered continuously at net asset value.

Note 2.  Significant accounting policies

Use of estimates. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America ("GAAP") requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.

Equity securities and certain investment companies are valued at the last sale price on the principal exchange on which they trade, except for securities traded on the NASDAQ, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the closing bid price on such exchanges or over-the-counter markets.

Short-term debt obligations maturing within 60 days are valued at amortized cost, which approximates market value.

Foreign securities are generally valued at the last sale price on the foreign exchange or market on which they trade. If any foreign share prices are not readily available as a result of limited share activity, the securities are valued at the last sale price of the local shares in the principal market in which such securities are normally traded.

Generally, trading in foreign securities is substantially completed each day at various times prior to the close of the New York Stock Exchange ("NYSE"). The values of such securities used in computing the net asset value of the Fund's shares are determined as of such times. Foreign currency exchange rates are generally determined at 4:00 p.m. Eastern (U.S.) time. Events affecting the values of such foreign securities and such exchange rates may occur between the times at which they are determined and the close of the customary trading session of the NYSE, which would not be reflected in the computation of the Fund's net asset value. If events materially affecting the values of such foreign securities occur and it is determined that market quotations are not reliable, then these foreign securities will be valued at their fair value using procedures approved by the Board of Trustees.

Investments for which market quotations are not readily available, or that have quotations which management believes are not appropriate, are valued at fair value as determined in good faith under consistently applied procedures established by and under the general supervision of the Board of Trustees. If a security is valued at a "fair value", such value is likely to be different from the last quoted market price for the security.

17

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS

January 31, 2006 (Unaudited)

Security transactions. Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.

Repurchase agreements. The Fund may engage in repurchase agreement transactions with institutions that the Fund's investment advisor has determined are creditworthy. The Fund, through its custodian, receives delivery of underlying securities collateralizing a repurchase agreement. Collateral is at least equal, at all times, to the value of the repurchase obligation including interest. A repurchase agreement transaction involves certain risks in the event of default or insolvency of the counterparty. These risks include possible delays or restrictions upon the Fund's ability to dispose of the underlying securities and a possible decline in the value of the underlying securities during the period while the Fund seeks to assert its rights.

Income recognition. Interest income is recorded on the accrual basis. Corporate actions and dividend income are recorded on the ex-date, except for certain foreign securities which are recorded as soon after ex-date as the Fund becomes aware of such, net of non-reclaimable tax withholdings. Distributions paid by real estate investment trusts (REITs) in excess of their income are recorded as a reduction of the cost of the related investments. If the Fund no longer owns the applicable securities, any distributions received in excess of income are recorded as realized gains.

Foreign currency transactions. The values of all assets and liabilities quoted in foreign currencies are translated into U.S. dollars at that day's exchange rates. Net realized and unrealized gains (losses) on foreign currency transactions include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.

For financial statement purposes, the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments.

Federal income tax status. The Fund intends to qualify each year as a "regulated investment company" under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its taxable income, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its net investment income, capital gains and certain other amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.

Distributions to shareholders. Distributions to shareholders are recorded on ex-date. Net realized capital gains, if any, are distributed at least annually.

Note 3.  Federal tax information

The tax character of distributions paid during the years ended July 31, 2005 was as follows:

	July 31, 2005
Distributions paid from:
Ordinary Income*	$	20,070,000
Long-Term Capital Gains		19,529,191

*For tax purposes short-term capital gains distributions, if any, are considered ordinary income distributions.

18

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS

January 31, 2006 (Unaudited)

Unrealized appreciation and depreciation at January 31, 2006, based on cost of investments for federal income tax purposes was:

Unrealized appreciation	$	55,215,120
Unrealized depreciation		(1,105,569	)
Net unrealized appreciation	$	54,109,551

Note 4.  Fees and compensation paid to affiliates

Investment advisory fee. Columbia Management Advisors, LLC ("Columbia"), an indirect, wholly-owned subsidiary of Bank of America Corporation ("BOA"), is the investment advisor to the Fund and provides administrative and other services to the Fund. Prior to September 30, 2005, Columbia Management Advisors, Inc. was investment advisor to the Fund under the same fee structure. On September 30, 2005, Columbia Management Advisors, Inc. merged into Banc of America Capital Management, LLC. At that time, the investment advisor was then renamed Columbia Management Advisors, LLC. Columbia receives a monthly investment advisory fee at the annual rate of 0.40% of the Fund's average daily net assets.

In addition to the investment advisory fee, each shareholder pays an annual fee calculated as a percentage of the shareholder's net assets in the Fund. The annual fee ranges between 0.20% on the first $25 million of the shareholder's net assets in the Fund, to 0.00% on the shareholder's net assets in the Fund in excess of $25 million.

Pricing & bookkeeping fees. Columbia is responsible for providing services to the Fund under a pricing, bookkeeping and fund administration agreement. Under a separate agreement (the "Outsourcing Agreement"), Columbia has delegated certain of those functions to State Street Corporation ("State Street"). As a result, Columbia pays fees to State Street under the Outsourcing Agreement. The Fund is not charged a fee for pricing and bookkeeping services.

Transfer agent fee. Columbia Management Services, Inc. (formerly Columbia Funds Services, Inc.) (the "Transfer Agent"), an affiliate of Columbia and an indirect, wholly-owned subsidiary of BOA, provides shareholder services to the Fund and has contracted with Boston Financial Data Services ("BFDS") to serve as sub-transfer agent. The Transfer Agent is entitled to receive a fee for its services, paid monthly, at the annual rate of $15.23 per open account. Prior to November 1, 2005, the Transfer Agent received a fee at the annual rate of $28.00 per open account. The Transfer Agent may also retain, as additional compensation for its services, fees for wire, telephone and redemption orders, IRA trustee agent fees and account transcript fees due the Transfer Agent from shareholders of the Fund and credits (net of bank charges) earned with respect to balances in a ccounts the Transfer Agent maintains in connection with its services to the Fund.

For the period from September 1, 2005 through October 31, 2005, the Transfer Agent voluntarily waived a portion of its fees to reflect the reduced contractual fees charged to the Fund effective November 1, 2005. For the six months ended January 31, 2006, the Transfer Agent waived fees of $146 for the Fund.

For the six months ended January 31, 2006, the Fund's annualized effective transfer agent fee rate, net of fee waivers, was less than 0.01% of the Fund's average daily net assets.

Expense limits and fee reimbursements. Columbia has contractually agreed to reimburse the Fund through November 30, 2006 for certain expenses so that the expenses incurred by the Fund exclusive of interest, taxes and extraordinary expenses will not exceed 0.40% of the Fund's average daily net assets.

19

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS

January 31, 2006 (Unaudited)

Custody credits. The Fund has an agreement with its custodian bank under which custody fees may be reduced by balance credits. These credits are recorded as a reduction of total expenses on the Statement of Operations. The Fund could have invested a portion of the assets utilized in connection with the expense offset arrangement in an income-producing asset if it had not entered into such an agreement.

Fees paid to officers and trustees. All officers of the Fund, with the exception of the Fund's Chief Compliance Officer, are employees of Columbia, or its affiliates and receive no compensation from the Fund. The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. The Fund, along with other affiliated funds, pays its pro-rata share of the expenses associated with the Chief Compliance Officer. The Fund's expenses for the Chief Compliance Officer will not exceed $15,000 per year.

The Fund's Trustees may participate in a deferred compensation plan which may be terminated at any time. Obligations of the plan will be paid solely out of the Fund's assets.

Other. Columbia provides certain services to the Fund related to Sarbanes-Oxley compliance. For the six months ended January 31, 2006, the Fund paid $1,108 to Columbia for such services. This amount is included in "Other expenses" on the Statement of Operations.

Note 5.  Portfolio information

For the six months ended January 31, 2006, the cost of purchases and proceeds from sales of securities, excluding short-term obligations, were $81,338,756 and $547,088,707, respectively.

Note 6.  Line of credit

The Fund and other affiliated funds participate in a $350,000,000 committed unsecured revolving line of credit provided by State Street Bank and Trust Company. Borrowings are used for temporary or emergency purposes to facilitate portfolio liquidity. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the Federal Funds rate plus 0.50%. In addition, a commitment fee of 0.10% per annum is accrued and apportioned among the participating funds based on their pro-rata portion of the unutilized line of credit. The commitment fee is included in "Other expenses" on the Statement of Operations.

For the six months ended January 31, 2006, the Fund did not borrow under this arrangement.

Note 7.  Shares of beneficial interest

As of January 31, 2006, the Fund had shareholders whose shares were beneficially owned by participant accounts over which Bank of America and/or its affiliates had either sole or joint investment discretion. Subscription and redemption activity of these accounts may have a significant effect on the operations of the Fund. The number of such accounts and the percentage of shares of beneficial interest outstanding held therein are as follows:

Number of Shareholders		% of Shares Outstanding Held
	1		54.5	%

20

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS

January 31, 2006 (Unaudited)

As of January 31, 2006, the Fund also had other shareholders that held greater than 5% of the shares outstanding. Subscription and redemption activity of these accounts may have a significant effect on the operations of the Fund. The number of such accounts and the percentage of shares of beneficial interest outstanding held therein are as follows:

Number of Shareholders		% of Shares Outstanding Held
	4		38.1	%

Note 8.  Disclosure of significant risks and contingencies

Industry focus. The Fund may focus its investments in certain industries, subjecting it to greater risk than a fund that is more diversified.

Foreign securities. There are certain additional risks involved when investing in foreign securities that are not inherent with investments in domestic securities. These risks may involve foreign currency exchange rate fluctuations, adverse political and economic developments and the possible prevention of currency exchange or other foreign governmental laws or restrictions. In addition, the liquidity of foreign securities may be more limited than that of domestic securities.

Legal Proceedings  On February 9, 2005, Columbia Management Advisors, Inc. (which has since merged into Banc of America Capital Management, LLC (now named Columbia Management Advisors, LLC)) ("Columbia") and Columbia Funds Distributor, Inc. (which has been renamed Columbia Management Distributors, Inc.) (the "Distributor") (collectively, the "Columbia Group") entered into an Assurance of Discontinuance with the New York Attorney General ("NYAG") (the "NYAG Settlement") and consented to the entry of a cease-and-desist order by the Securities and Exchange Commission ("SEC") (the "SEC Order"). The SEC Order and the NYAG Settlement are referred to collectively as the "Settlements". The Settlements contain substantially the same terms and conditions as outlined in the agreements in principle which Columbia Group entered into with the SEC and NYAG in March 20 04.

Under the terms of the SEC Order, the Columbia Group has agreed among other things, to: pay $70 million in disgorgement and $70 million in civil money penalties; cease and desist from violations of the antifraud provisions and certain other provisions of the federal securities laws; maintain certain compliance and ethics oversight structures; retain an independent consultant to review the Columbia Group's applicable supervisory, compliance, control and other policies and procedures; and retain an independent distribution consultant (see below). The Columbia Funds have also voluntarily undertaken to implement certain governance measures designed to maintain the independence of their boards of trustees. The NYAG Settlement also, among other things, requires Columbia and its affiliates to reduce certain Columbia Funds (including the former Nations Funds) and other mutual funds management fees collectively by $32 million per year fo r five years, for a projected total of $160 million in management fee reductions.

Pursuant to the procedures set forth in the SEC order, the $140 million in settlement amounts described above will be distributed in accordance with a distribution plan developed by an independent distribution consultant and agreed to by the staff of the SEC. The independent distribution consultant has been in consultation with the Staff, and has submitted a draft proposed plan of distribution, but has not yet submitted a final proposed plan of distribution.

As a result of these matters or any adverse publicity or other developments resulting from them, there may be increased redemptions or reduced sales of fund shares, which could increase transaction costs or operating expenses, or have other adverse consequences for the funds.

A copy of the SEC Order is available on the SEC website at http://www.sec.gov. A copy of the NYAG Settlement is available as part of the Bank of America Corporation Form 8-K filing on February 10, 2005.

21

CMG STRATEGIC EQUITY FUND
A Portfolio of CMG Fund Trust
NOTES TO FINANCIAL STATEMENTS

January 31, 2006 (Unaudited)

In connection with the events described in detail above, various parties have filed suit against certain funds, the Trustees of the Columbia Funds, FleetBoston Financial Corporation and its affiliated entities and/or Bank of America and its affiliated entities.

On February 20, 2004, the Judicial Panel on Multidistrict Litigation transferred these cases and cases against several other mutual fund companies based on similar allegations to the United States District Court in Maryland for consolidated or coordinated pretrial proceedings (the "MDL"). Subsequently, additional related cases were transferred to the MDL. On September 29, 2004, the plaintiffs in the MDL filed amended and consolidated complaints. One of these amended complaints is a putative class action that includes claims under the federal securities laws and state common law, and that names Columbia, the Distributor, the Trustees of the Columbia Funds, Bank of America Corporation and others as defendants. Another of the amended complaints is a derivative action purportedly on behalf of the Columbia Funds that asserts claims under federal securities laws and state common law.

On February 25, 2005, Columbia and other defendants filed motions to dismiss the claims in the pending cases. On March 1, 2006, for reasons stated in the court's memoranda dated November 3, 2005, the U.S. District Court for the District of Maryland granted in part and denied in part the defendants' motions to dismiss. The court dismissed all of the class action claims pending against the Columbia Funds. As to Columbia, the Distributor and the Trustees of the Columbia Funds, the claims under the Securities Act of 1933, the claims under Sections 34(b) and 36(a) of the Investment Company Act of 1940 (ICA) and the state law claims were dismissed. The claims under Sections 10(b) and 20(a) of the Securities Exchange Act of 1934 and claims under Section 36(b) of the ICA along with related claims under Section 48(a) of the ICA were not dismissed.

On March 21, 2005 purported class action plaintiffs filed suit in Massachusetts state court alleging that the conduct, including market timing, entitles Class B shareholders in certain Columbia funds to an exemption from contingent deferred sales charges upon early redemption ("the CDSC Lawsuit"). The CDSC Lawsuit has been removed to federal court in Massachusetts and the federal Judicial Panel has transferred the CDSC Lawsuit to the MDL.

The MDL is ongoing. Accordingly, an estimate of the financial impact of this litigation on any fund, if any, cannot currently be made.

In 2004, certain Columbia funds, the Trustees of the Columbia Funds, advisers and affiliated entities were named as defendants in certain purported shareholder class and derivative actions making claims, including claims under the Investment Company and the Investment Advisers Acts of 1940 and state law. The suits allege, inter alia, that the fees and expenses paid by the funds are excessive and that the advisers and their affiliates inappropriately used fund assets to distribute the funds and for other improper purpose. On March 2, 2005, the actions were consolidated in the Massachusetts federal court as In re Columbia Entities Litigation. The plaintiffs filed a consolidated amended complaint on June 9, 2005. On November 30, 2005, the judge dismissed all claims by plaintiffs and ordered that the case be closed. The plaintiffs filed a notice of appeal on December 30, 2005 and this appeal is pending.

For the six months ended January 31, 2006, Columbia has assumed $3,746 of legal, consulting services and Trustees' fees incurred by the Fund in connection with these matters.

Note 9.  Subsequent event

On March 27, 2006, the Fund will be re-domiciled into a new series of Columbia Funds Institutional Trust. Columbia Funds Institutional Trust is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.

22

Summary of Management Fee Evaluation by Independent Fee Consultant

Prepared Pursuant to the February 9, 2005 Assurance of Discontinuance between the Office of
Attorney General of New York State and Columbia Management Advisors, Inc. and
Columbia Funds Distributor, Inc. October 11, 2005

I. Overview

Columbia Management Advisors, Inc. ("CMA") and Columbia Funds Distributors, Inc. ("CFD") (CFD together with CMA referred to herein as Columbia Management Group or "CMG¹"), entered into an agreement with the New York Attorney General's Office in the form of an Assurance of Discontinuance (the "AOD"). The AOD stipulated that CMA would be permitted to manage or advise the Columbia Funds only if the Independent Members (as such term is defined in the AOD) of the Columbia Funds' Board of Trustees/Directors (collectively the "Trustees") appointed a Senior Officer or an Independent Fee Consultant ("IFC") who, among other things, is to manage the process by which management fees are negotiated. On May 15, 2005, the Independent Members of the Board appointed me as the IFC for the Columbia Funds. This report is the annual written evaluation of the Columbia Funds for 2005 that I have prepared in my capacity as IFC, as required b y the AOD.

A. Duties of the Independent Fee Consultant

As part of the AOD, the Independent Members of the Columbia Funds' Board of Trustees/Directors agreed to retain an independent fee consultant who was to participate in the management fee negotiation process. The IFC is charged with "... duties and responsibilities [that] include managing the process by which proposed management fees (including, but not limited to, advisory fees) to be charged the Columbia Fund[s] are negotiated so that they are negotiated in a manner which is at arms length and reasonable and consistent with this Assurance of Discontinuance." However, the IFC does not replace the Trustees in their role of negotiating management and other fees with CMG and its affiliates. In particular, the AOD states that "Columbia Advisors may manage or advise a Columbia Fund only if the reasonableness of the proposed management fees is determined by the Board of Trustees of the Columbia Fund using ... an annual independent wri tten evaluation prepared by or under the direction of the ... Independent Fee Consultant...." This report, pursuant to the AOD, constitutes the "annual independent written evaluation prepared by or under the direction of the... Independent Fee Consultant."

The AOD requires the IFC report to consider at least the following:

  a)  Management fees (including any components thereof) charged by other mutual fund companies for like services;

  b)  Management fees (including any components thereof) charged to institutional and other clients of CMA for like services;

  c)  Costs to CMA and its affiliates of supplying services pursuant to the management fee agreements, excluding any intra-corporate profit;

  d)  Profit margins of CMA and its affiliates from supplying such services;

  e)  Possible economies of scale as the CMA fund grows larger; and

  f)  The nature and quality of CMA services, including Columbia Funds' performance.

This report is designed to assist the Board in evaluating the 2005 contract renewal for Columbia Funds. In addition, this report points out areas where the Board may deem additional information and analysis to be appropriate over time.

¹  Prior to the date of this report, CMA merged into an affiliated entity, Banc of America Capital Management, LLC ("BACAP"), and BACAP then changed its name to Columbia Management Advisors, LLC which carries on the business of CMA, and CFD changed its name to Columbia Management Distributors, Inc.

23

Summary of Management Fee Evaluation by Independent Fee Consultant (continued)

B. Sources of information used in my evaluation

I have requested data from CMG and various third party industry data sources or independent research companies that work in the mutual fund arena. The following list generally describes the types of information I requested.

  1.  I collected data on performance, management fees, and expense ratios of both Columbia Funds and comparable non-Columbia Funds. The sources of this information were CMG, Lipper Inc. ("Lipper") and Morningstar Inc. ("Morningstar"). While Lipper and Morningstar each selected a different group of peer funds it deemed appropriate against which to measure the relative performance and fees of Columbia Funds, I conducted an independent review of the appropriateness of each peer group.

  2.  I reviewed data on CMG's expense and profitability that I obtained from CMA directly.

  3.  I have reviewed data on the organizational structure of CMG in general.

  4.  I collected information on profitability from Strategic Insight Mutual Fund Research and Consulting, LLC ("Strategic Insight"). I used this third-party independent research as an additional method to gauge the accuracy of the data collected in (2) above.

  5.  I conducted interviews with various CMG staff, including members of the senior management team, legal staff, heads of affiliates, portfolio managers, and financial personnel.

  6.  I reviewed current 2005 Section 15(c) material provided to the Board and material presented to the Board in the 2004 fee and performance evaluation.

  7.  I have reviewed various academic research papers, industry publications, and other available literature dealing with mutual fund operations, profitability, and other issues. In addition, I have reviewed SEC releases and studies of mutual fund expenses.

  8.  I have reviewed documents pertaining to recent mutual fund litigation in general and publicly available information about litigation where CMG has been involved.

In addition, I have engaged NERA Economic Consulting ("NERA") and independent consultant Dr. John Rea to assist me in data management and analysis. Both NERA and Dr. Rea have extensive experience in the mutual fund industry through consulting, government positions, or industry trade groups that provide unique insights and special knowledge pertaining to my independent analysis of fees, performance, and profitability. I have also retained Shearman & Sterling LLP as outside counsel to advise me in connection with my review.

C. Qualifications and independence

I am the Walter H. Carpenter Chair and Professor of Finance at Babson College. Before this I was the Chief Economist of the U.S. Securities and Exchange Commission. I have no material relationship with Bank of America or CMG aside from acting as IFC, and am aware of no relationship with any of their affiliates. [Resume omitted]

II. Evaluation of the general process used to negotiate the advisory contract

A. General considerations

My analysis considered all factors and information I reviewed on the finances and operations of Columbia Funds. I gave each factor an appropriate weight in my overall findings, and no single factor was in itself the sole criterion for a finding or conclusion. My objective was to assess all of the information provided and conduct a robust evaluation of Columbia Funds' operations, fees, and performance.

My analysis and thought processes will and, I believe, should, differ in certain ways from the processes used by Trustees in their evaluation of the management agreements. In particular, because of my technical and quantitative background, I may use techniques and data that Trustees have not previously felt would be useful. I view this supplemental analysis as appropriate because my role is to assist Trustees in their decisions, and to the extent that I bring new ideas or analysis to the evaluation, I believe this improves the process by which management fees for the Columbia Funds may be negotiated in accordance with the AOD.

24

Summary of Management Fee Evaluation by Independent Fee Consultant (continued)

Finally, as part of my role as IFC, I have, from time to time, sent to Trustees additional papers and reports produced by third parties that I felt had bearing on the fee negotiation process. I viewed these materials as educational in nature and felt they would aid Trustees in placing their work in context.

B. CMG management interviews

As a starting point of my analysis, I have met with members of CMG staff to gain an understanding of the organizational structure and personnel involved in running the Columbia fund family.

I have had general discussions and have received information about the management structure of CMG. My conversations with management have been informative. In addition, I have participated in Board meetings where Trustees and management have discussed issues relating to management agreements and performance of Columbia Funds. When I felt it was appropriate, I added my opinions on particular matters, such as fund performance or fee levels, to the discussion.

C. Trustees' Fee and Performance Evaluation Process

After making initial requests for information, members of the Trustees of the Columbia Funds met in advance of the October Section 15(c) contract approval meeting to review certain fee, performance and other data for the Columbia Funds and to ask questions and make requests of management. Trustees have developed a process to evaluate the fee and expense levels and performance of Columbia Funds. This process is used to highlight those funds that have been performing poorly, may have had higher management fees or expense ratios, or both.

The process involves providing instructions to Lipper to prepare specific data analyses tailored to the Trustees review framework. These instructions include highlighting funds that hit one or more fee performance "screens." The six screens the Trustees use are as follows:

  a.  5th Lipper quintile in actual management fee;

  b.  5th Lipper quintile in total expense ratio;

  c.  Three or more 5th Lipper quintile rankings in the 1-, 3-, 5- or 10-year performance rankings;

  d.  Sum of the Lipper Quintile Rank (1-year performance) and the Lipper Quintile Rank (actual management fee) totals a number equal to or higher than 8;

  e.  Sum of the Lipper Quintile Rank (1-year performance) and the Lipper Quintile Rank (total expense ratio) totals a number equal to or higher than 8; and

  f.  Sum of the Lipper Quintile Rank (3-year performance) and the Lipper Quintile Rank (total expense ratio) totals a number equal to or higher than 8.

If a fund hits one or more of these screens, it is highlighted for additional review by the Trustees. This method is only used as an aid for Trustees to highlight funds and is not the sole test of whether the Board will determine to take particular actions concerning fees or performance. Funds that have not been flagged by this screen also may be singled out for fee and performance reasons, and the Trustees may determine not to take action with respect to the fees or performance of funds that have been flagged by the screen. These screens contribute to the basis for discussions on Trustees' views on the Columbia Funds.

III. Findings

My findings based on my work as IFC are as follows:

  1.  The Trustees have the relevant information necessary to form an opinion on the reasonableness of fees and evaluate the performance of the Columbia Funds. The process the Trustees used in preparing to reach their determination has been open and informative. In my view, the 2005 process by which the management fees of the Columbia Funds have been negotiated thus far has been, to the extent practicable, at arm's length and reasonable and consistent with the AOD.

25

Summary of Management Fee Evaluation by Independent Fee Consultant (continued)

  2.  Columbia Funds demonstrated a range of performance relative to their peers. I find that across the fund complex, 54.26 percent of Columbia Funds have performance higher than the median of their respective Lipper performance universe, and 42.55 percent of Columbia Funds have performance higher than the median of their respective Lipper performance group. In addition, Lipper performance universe and group comparison showed that Columbia Funds were distributed roughly evenly across these quintiles. The Trustees have worked with management to address issues of funds that have demonstrated consistent or significant underperformance.

  3.  Columbia Funds demonstrate a range of management fees and expense ratios relative to their peers. I find that across the fund complex, 58.51 percent of Columbia Funds have expenses below the median of their Lipper expense universe, and 53.19 percent of Columbia Funds have expenses below the median of their Lipper expense group. In addition, Lipper expense universe and group comparisons show that Columbia Funds are distributed roughly evenly across these quintiles. The Trustees have taken steps to limit shareholder expenses for certain funds having management fees significantly above their peers, often though the use of fee waivers to which CMG has agreed. Consolidation of various funds and fund families managed by CMG has resulted in substantial savings in non-advisory expenses.

  4.  Profitability to CMG of the individual funds ranges widely, but the overall profitability to CMG of its relationship with the Columbia Funds appears to fall within a reasonable range. The method of cost allocation to funds is addressed in the material provided by CMG to the Trustees, but additional information may be necessary to make a judgment on fund level profitability. My review of profitability and cost allocation is ongoing, and I plan to continue to develop my views with regard to fund level profitability.

  5.  Columbia Funds have instituted fee schedules with breakpoints designed to enable investors to benefit from fund economies of scale, although 71% of the funds have not yet reached their first breakpoint. My analysis of the appropriateness of the breakpoint levels, which I expect will take into account the cost and profitability of the individual funds, is ongoing.

My work is ongoing and my views may develop over time in light of new information and analysis.

Respectfully submitted,

Erik R. Sirri

26

Board Consideration and Approval of Investment Advisory Agreements

The Advisory Fees and Expenses Committee of the Board of Trustees meets one or more times annually, usually in late summer, to review the advisory agreements (collectively, the "Agreements") of the funds for which the Trustees serve as trustees or directors (each a "fund") and determine whether to recommend that the full Board approve the continuation of the Agreements for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements. In addition, the Board, including the Independent Trustees, considers matters bearing on the Agreements at most of its other meetings throughout the year and meets regularly with the heads of each investment area within Columbia. The Trustees also meet with selected fund portfolio managers at various times throughout the year.

The Trustees receive and review all materials that they, their legal counsel or Columbia, the funds' investment adviser, believe to be reasonably necessary for the Trustees to evaluate the Agreements and determine whether to approve the continuation of the Agreements. Those materials generally include, among other items, (i) information on the investment performance of each fund relative to the performance of peer groups of mutual funds and the fund's performance benchmarks, (ii) information on each fund's advisory fees and other expenses, including information comparing the fund's expenses to those of peer groups of mutual funds and information about any applicable expense caps and fee "breakpoints," (iii) sales and redemption data, (iv) information about the profitability of the Agreements to Columbia, and potential "fall-out" or ancillary benefits that Columbia and its affiliates may receive as a result of their relationships with the funds and (v) information obtained through Columbia's response to a questionnaire prepared at the request of the Trustees by counsel to the funds and independent legal counsel to the Independent Trustees. The Trustees also consider other information such as (vi) Columbia's financial results and financial condition, (vii) each fund's investment objective and strategies and the size, education and experience of Columbia's investment staffs and their use of technology, external research and trading cost measurement tools, (viii) the allocation of the funds' brokerage, if any, including allocations to brokers affiliated with Columbia and the use of "soft" commission dollars to pay fund expenses and to pay for research products and services, (ix) Columbia's resources devoted to, and its record of compliance with, the funds' investment policies and restrictions, policies on personal securities transactions and other compliance policies, (x) Columbia's response to various legal and regulatory proceedings since 2003 and (xi) the economic outlook generally and for the mutual fund industry in particular. In addition, the Trustees confer with their independent fee consultant and review materials relating to the Agreements that the independent fee consultant provides. Throughout the process, the Trustees have the opportunity to ask questions of and request additional materials from Columbia and to consult independent legal counsel to the Independent Trustees.

The Board of Trustees most recently approved the continuation of the Agreements at its October, 2005 meeting, following meetings of the Advisory Fees and Expenses Committee held in August, September, and October, 2005. In considering whether to approve the continuation of the Agreements, the Trustees, including the Independent Trustees, did not identify any single factor as determinative, and each weighed various factors as he or she deemed appropriate. The Trustees considered the following matters in connection with their approval of the continuation of the Agreements:

The nature, extent and quality of the services provided to the funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by Columbia and its affiliates to the funds and the resources dedicated to the funds by Columbia and its affiliates. Among other things, the Trustees considered (i) Columbia's ability, including its resources, compensation programs for personnel involved in fund management, reputation and other attributes, to attract and retain highly qualified research, advisory and supervisory investment professionals; (ii) the portfolio management services provided by those investment professionals; and (iii) the trade execution services provided on behalf of the funds. For each fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family o f funds offering exposure to a variety of asset classes and investment disciplines and providing for a variety of fund and shareholder services. After reviewing those and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the continuation of the Agreements.

Investment performance of the funds and Columbia. The Trustees reviewed information about the performance of each fund over various time periods, including information prepared by an independent third party that compared the performance of each fund to the performance of peer groups of mutual funds and performance benchmarks. The Trustees also reviewed a description of the third party's methodology for identifying each fund's peer group for

27

Board Consideration and Approval of Investment Advisory Agreements (continued)

purposes of performance and expense comparisons. The Trustees also considered additional information that the Advisory Fees and Expenses Committee requested from Columbia relating to funds that presented relatively weaker performance and/or relatively higher expenses.

In the case of each fund that had performance that lagged that of a relevant peer group for certain (although not necessarily all) periods, the Trustees concluded that other factors relevant to performance were sufficient, in light of other considerations, to warrant continuation of the fund's Agreements. Those factors varied from fund to fund, but included one or more of the following: (i) that the fund's performance, although lagging in certain recent periods, was stronger over the longer term; (ii) that the underperformance was attributable, to a significant extent, to investment decisions that were reasonable and consistent with the fund's investment strategy and policies and that the fund was performing as expected, given market conditions and the fund's investment strategy; (iii) that the fund's performance was competitive when compared to other relevant performance benchmarks or peer groups; (iv) that Columbia had taken o r was taking steps designed to help improve the fund's investment performance, including, but not limited to, replacing portfolio managers or modifying investment strategies; (v) that the fund's advisory fee had recently been, or was proposed to be, reduced, with the goal of helping the fund's net return to shareholders become more competitive; and (vi) that other fund expenses, such as transfer agency or fund accounting fees, have recently been reduced, with the goal of helping the fund's net return to shareholders become more competitive.

The Trustees also considered Columbia's performance and reputation generally, the funds' performance as a fund family generally, and Columbia's historical responsiveness to Trustee concerns about performance and Columbia's willingness to take steps intended to improve performance.

After reviewing those and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of each fund and Columbia was sufficient, in light of other considerations, to warrant the continuation of the Agreements.

The costs of the services provided and profits realized by Columbia and its affiliates from their relationships with the funds. The Trustees considered the fees charged to the funds for advisory services as well as the total expense levels of the funds. That information included comparisons (provided both by management and by an independent third party) of the funds' advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by Columbia to comparable accounts. In considering the fees charged to comparable accounts, the Trustees took into account, among other things, management's representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual funds and distribute mutual fund share s. In evaluating each fund's advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of the fund. The Trustees considered reductions in advisory fee rates, implementation of advisory fee breakpoints, institution of advisory fee waivers, and changes to expense caps, which benefited a number of the funds. Furthermore, the Trustees considered the projected impact on expenses resulting from the overall cost reductions that management anticipated would result from the shift to a common group of service providers for transfer agency, fund accounting and custody services for mutual funds advised by Bank of America affiliates. The Trustees also noted management's stated justification for the fees charged to the funds, which included information about the performance of the funds, the services provided to the funds and management's view as to why it was appropriate that some funds bear advisory fees or total expenses greater than their peer group medians.

The Trustees also considered the compensation directly or indirectly received by Columbia and its affiliates from their relationships with the funds. The Trustees reviewed information provided by management as to the profitability to Columbia and its affiliates of their relationships with the funds, and information about the allocation of expenses used to calculate profitability. When reviewing profitability, the Trustees also considered court cases in which adviser profitability was an issue in whole or in part, the performance of the relevant funds, the expense levels of the funds, and whether Columbia had implemented breakpoints and/or expense caps with respect to the funds.

After reviewing those and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the funds were fair and reasonable, and that the costs of the advisory services generally, and the related profitability to Columbia and its affiliates of their relationships with the funds, supported the continuation of the Agreements.

28

Board Consideration and Approval of Investment Advisory Agreements (continued)

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by Columbia to each fund and whether those economies were shared with the fund through breakpoints in the investment advisory fees or other means, such as expense waivers. The Trustees noted that many of the funds benefited from breakpoints, expense caps, or both. In considering those issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to Columbia and its affiliates of their relationships with the funds, as discussed above.

After reviewing those and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the funds supported the continuation of the Agreements.

Other Factors. The Trustees also considered other factors, which included but were not limited to the following:

  •  the extent to which each fund had operated in accordance with its investment objective and its record of compliance with its investment restrictions, and the compliance programs of the funds and Columbia. They also considered the compliance-related resources that Columbia and its affiliates were providing to the funds.

  •  the nature, quality, cost and extent of administrative and shareholder services performed by Columbia and its affiliates, both under the Agreements and under separate agreements for the provision of transfer agency and administrative services.

  •  so-called "fall-out benefits" to Columbia, such as the engagement of its affiliates to provide distribution, brokerage and transfer agency services to the funds, and the benefits of research made available to Columbia by reason of brokerage commissions generated by the funds' securities transactions, as well as possible conflicts of interest associated with those fall-out and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor those possible conflicts of interest.

  •  the draft report provided by the independent fee consultant, which included information about and analysis of the funds' fees, expenses and performance.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel and the independent fee consultant, the Trustees, including the Independent Trustees, approved the continuance of each of the Agreements through October 31, 2006.

29

CMG FUND TRUST

1300 S.W. SIXTH AVENUE, PORTLAND, OREGON 97201

- INVESTMENT ADVISOR -

COLUMBIA MANAGEMENT ADVISORS, LLC
100 FEDERAL STREET
BOSTON, MASSACHUSETTS 02110-2624

- LEGAL COUNSEL -

ROPES & GRAY LLP
ONE INTERNATIONAL PLACE
BOSTON, MASSACHUSETTS 02110-2624

- TRANSFER AGENT -

COLUMBIA MANAGEMENT SERVICES, INC.
P.O. BOX 8081
BOSTON, MASSACHUSETTS 02266-8081

SHC-44/106304-0106 (03/06) 06/9983

A description of the fund's proxy voting policies and procedures is available (i) on the fund's website, www.columbiamanagement.com; (ii) on the Securities and Exchange Commission's website at www.sec.gov, and (iii) without charge, upon request, by calling 800-368-0346. Information regarding how the fund voted proxies relating to portfolio securities during the 12-month period ended June 30 is available from the SEC's website. Information regarding how the fund voted proxies relating to portfolio securities is also available from the fund's website.

The fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The fund's Form N-Q is available on the SEC's website at www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

The CMG funds are offered by prospectus through Columbia Management Distributors, Inc. Please consider the investment objectives, risks, charges and expenses of a mutual fund carefully before investing. Contact your Columbia Management representative or visit www.columbiamanagement.com for a prospectus, which contains this and other important information about the fund. Read it carefully before you invest.

Fund distributed by Columbia Management Distributors, Inc., One Financial Center, Boston, MA 02111-2621

Item 2. Code of Ethics.

Not applicable at this time.

Item 3. Audit Committee Financial Expert.

Not applicable at this time.

Item 4. Principal Accountant Fees and Services.

Not applicable at this time.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments

The registrant’s “Schedule I – Investments in securities of unaffiliated issuers” (as set forth in 17 CFR 210.12-12) is included in
Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have not been any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, since those procedures were last disclosed in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A or this Item.

Item 11. Controls and Procedures.

(a)The registrant’s principal executive officer and principal financial officers, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-CSR is accumulated and communicated to the registrant’s management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure.

(b)There were no changes in the registrant’s internal control over financial reporting 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) Code of ethics required to be disclosed under Item 2 of Form N-CSR: Not applicable at this time.

(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.

(a)(3) Not applicable.

(b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) attached hereto as Exhibit 99.906CERT.

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.

(registrant)	CMG Fund Trust
By (Signature and Title)	/s/ Christopher L. Wilson
	Christopher L. Wilson, President
Date	March 27, 2006

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)	/s/ Christopher L. Wilson
	Christopher L. Wilson, President
Date	March 27, 2006
By (Signature and Title)	/s/ J. Kevin Connaughton
	J. Kevin Connaughton, Treasurer
Date	March 27, 2006

EX-99.CERT

Exhibit 99.CERT

I, Christopher L. Wilson, certify that:

1.I have reviewed this report on Form N-CSR of CMG Fund Trust;

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.The registrant’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a)designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d)disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.The registrant’s other certifying officers and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a)all significant deficiencies and material weaknesses  in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b)any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:	March 27, 2006	/S/ Christopher L. Wilson
		Christopher L. Wilson, President

I, J. Kevin Connaughton, certify that:

1.I have reviewed this report on Form N-CSR of CMG Fund Trust;

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.The registrant’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a)designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d)disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.The registrant’s other certifying officers and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a)all significant deficiencies and material weaknesses  in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b)any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:	March 27, 2006	/S/ J. Kevin Connaughton
		J. Kevin Connaughton, Treasurer

EX-99.906CERT

Exhibit 99.906 CERT

CERTIFICATION PURSUANT TO SECTION 906 OF
THE SARBANES-OXLEY ACT OF 2002

In connection with the Certified Shareholder Report of CMG Fund Trust (the “Trust”) on Form N-CSR for the period ending January 31, 2006, as filed with the Securities and Exchange Commission on the date hereof (“the Report”), the undersigned hereby certifies that, to his knowledge:

1.The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2.The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust.

Date:	March 27, 2006	/S/ Christopher L. Wilson
		Christopher L. Wilson, President
Date:	March 27, 2006	/S/ J. Kevin Connaughton
		J. Kevin Connaughton, Treasurer

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission (the “Commission”) or its staff upon request.

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. §1350 and is not being filed as part of the Form N-CSR with the Commission.