-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, MXGmATY81gpwFG9tWY+Jm00wq9p7wbnej18DtHZQO2EpKsaJckGf9BajIqW+xdTO 581pUVAgEem3YZLrvHgzSA== 0001068800-04-000538.txt : 20040902 0001068800-04-000538.hdr.sgml : 20040902 20040901174100 ACCESSION NUMBER: 0001068800-04-000538 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20040630 FILED AS OF DATE: 20040902 DATE AS OF CHANGE: 20040901 EFFECTIVENESS DATE: 20040902 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WM VARIABLE TRUST CENTRAL INDEX KEY: 0000897020 IRS NUMBER: 954411959 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-07462 FILM NUMBER: 041011914 BUSINESS ADDRESS: STREET 1: WM GROUP OF FUNDS STREET 2: 1201 THIRD AVENUE, 22ND FLOOR CITY: SEATTLE STATE: WA ZIP: 98101 BUSINESS PHONE: 206-461-2413 MAIL ADDRESS: STREET 1: WM GROUP OF FUNDS STREET 2: 1201 THIRD AVENUE, 22ND FLOOR CITY: SEATTLE STATE: WA ZIP: 98101 FORMER COMPANY: FORMER CONFORMED NAME: SIERRA VARIABLE TRUST DATE OF NAME CHANGE: 19930714 N-CSR 1 ncsr.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-07462 WM Variable Trust (Exact name of registrant as specified in charter) 1201 Third Avenue, 22nd Floor, Seattle, WA 98101 (Address of principal executive offices) (Zip code) Jeffrey L. Lunzer 1201 Third Avenue, 22nd Floor, Seattle, WA 98101 (Name and address of agent for service) Registrant's telephone number, including area code: (206) 461-3800 Date of fiscal year end: December 31, 2004 Date of reporting period: June 30, 2004 Item 1. Reports to Stockholders [wm Variable Trust logo] W M V A R I A B L E T R U S T * Equity Funds * Fixed-Income Funds Common sense. Uncommon solutions. [Picture] Semi-Annual Report June 30, 2004 Equity Funds REIT Fund Equity Income Fund Growth & Income Fund West Coast Equity Fund Mid Cap Stock Fund Growth Fund Small Cap Value Fund Small Cap Growth Fund International Growth Fund Fixed-Income Funds Short Term Income Fund U.S. Government Securities Fund Income Fund Money Market Fund Table of Contents Message from the President 1 Portfolio of Investments 2 Statements of Assets and Liabilities 34 Statements of Operations 38 Statements of Changes in Net Assets 40 Statements of Changes in Net Assets - Capital Stock Activity 44 Financial Highlights 46 Notes to Financial Statements 54 - --------------------------------------------------------- Not FDIC or NCUA/NCUSIF Insured - --------------------------------------------------------- May Lose Value * Not a Deposit* No Bank or Credit Union Guarantee * Not Insured by any federal government agency - --------------------------------------------------------- [Picture] Dear Investor: Since our last shareholder report, the U.S. economy has regained its economic foothold. Corporate profits have improved in an ongoing environment of low inflation and slowly rising interest rates. Corporations are showing renewed confidence, which is evident in increased capital spending and hiring, accompanied by higher worker productivity. The creation of more jobs in the service and manufacturing sectors is a welcome sign that can have a growing positive impact on the economy. We are also seeing the development of more favorable factors outside the U.S. that can drive stronger economic growth. These developments were reflected in the performance of the stock market, which gained 3% for the six-month period ended June 30, 2004.(1) Among the best-performing equity sectors were energy (+13%), industrials (+7%), consumer staples (+6%), and telecommunication services (+4%).(2) Fixed-income instruments gave back gains earned in the first quarter and finished the period in negative territory. In this rising interest rate environment, shorter maturity corporate bonds generally performed better than those with longer maturities, while lower-rated issues in financial institutions, consumer cyclicals, and energy were the better-performing fixed-income sectors. During the first half of the year, 10-year Treasuries returned - -0.4%,(3) which included second quarter performance that ranked as the worst quarterly decline since the first quarter of 1994.(4) Yields, which move inversely to prices, rose slightly. Asset Allocation Shows Its Benefits What makes the investment business so challenging is that we continually see new positive trends that are invariably accompanied by negative news. This combination of events can rapidly alter our well-researched projections. As a result, we continue to embrace asset allocation, which studies have estimated accounts for over 90% of an investment's return.(5) In our judgment, this is the most appropriate and time-tested investment philosophy. Our approach to investing is reflected in such variables as portfolio allocations, bond maturities, corporate sector and asset class exposures, equity styles, and capitalizations. As evidence of how important asset allocation is to our investment approach, we launched the WM VT Small Cap Value Fund, which invests in smaller-sized, undervalued firms, on May 3 of this year. With this new fund, we can now invest in up to 13 separate asset classes within our Strategic Asset Management (SAM) Portfolios. It also provides us with greater investment opportunities and strengthens our ability to spread assets across more well-researched and widely traded investment styles. Celebrating 65 Years of Shared Values This year marks the 65th anniversary of our WM Equity Income Fund, which traces its origins back to 1939 when it was launched as the Composite Bond Fund, one of the first 50 mutual funds in the United States. Much has changed since then. Today there are over 8,000 U.S. mutual funds,(6) but few can claim a similar heritage and institutional dedication to shareholder interests. I am honored to be only the fourth president of WM Advisors during its 65-year history. My mentor, Lee Sahlin, upheld the corporate culture developed under his predecessor, George Yancey, who worked alongside the founder of the Composite Research & Management Company, R. M. "Pete" Williams. My predecessors had long tenures because they took the values of long-term investing, consistency of purpose, trust, and integrity very seriously. I am proud that these values are still at work today at our staff, management, and board levels. The WM Group of Funds Board of Trustees is comprised of 11 experienced individuals, eight of whom are independent of fund management. The remaining three trustees (myself included) are termed "interested persons" of fund management or Washington Mutual, Inc. Acting together, the board members represent shareholder interests by striving to ensure that the funds' managers, distributor, transfer agent, and other service providers meet their fiduciary responsibilities. A Time-Tested Investment Approach As the mutual fund industry approaches its 80th anniversary, we note that over a history with nearly the same longevity, WM Advisors has built a venerable record of successful investment management. Our investment philosophy has been tested over decades that have included some extraordinary historic and economic events. We have persevered while also achieving some exceptional results and recognition for our achievements from national publications, such as Barron's. I believe the key to this success can be distilled from our investment process, consistent approach, and teamwork. Our overall approach is aligned with the goals of our shareholders, so we operate with a common purpose. This process has worked exceptionally well for the past 65 years, and we are confident it can produce mutual benefits in the years ahead. Sincerely, /s/ William G. Papesh William G. Papesh President (1) As measured by the S&P 500 Index. Indices are unmanaged, and individuals cannot invest directly in an index. (2) Source: Ibbotson Associates. (3) Source: Lehman Brothers. (4) Source: Aaron Lucchetti, "Bond Rally Ends as Economy, Job Market Spur Fed to Move," Wall Street Journal, 1 July 2004. (5) Source: G.P. Brinson, L.R. Hood, and G.L. Beebower, "Determinants of Portfolio Performance," Financial Analysts Journal (January/February 1995). (6) Source: Investment Company Institute. 1 portfolio of investments REIT FUND June 30, 2004 (unaudited) Value Shares (000s) ------ ------ REAL ESTATE INVESTMENT TRUSTS - 88.5% Diversified - 5.1% 26,500 iStar Financial Inc. $ 1,060 20,000 Vornado Realty Trust 1,142 -------- Total Diversified 2,202 -------- Health Care - 4.3% 41,400 Health Care Property Investors, Inc. 995 22,000 Healthcare Realty Trust, Inc. 825 -------- Total Health Care 1,820 -------- Industrial/Office - 27.0% Industrial - 6.7% 26,500 AMB Property Corporation 918 7,000 CenterPoint Properties Trust 537 43,000 ProLogis 1,416 -------- 2,871 -------- Mixed - 2.2% 29,000 Duke Realty Corporation 922 -------- Office - 18.1% 15,700 Alexandria Real Estate Equities, Inc. 892 17,500 Arden Realty, Inc. 515 19,000 Boston Properties, Inc. 952 28,000 CarrAmerica Realty Corporation 846 71,000 Corporate Office Properties Trust 1,764 69,500 Equity Office Properties Trust 1,890 19,000 SL Green Realty Corporation** 889 -------- 7,748 -------- Total Industrial/Office 11,541 -------- Lodging/Resorts - 5.7% 38,300 FelCor Lodging Trust, Inc.+ 463 32,000 Hospitality Properties Trust 1,354 51,300 Host Marriott Corporation+ 634 -------- Total Lodging/Resorts 2,451 -------- Mortgage/Financial - 2.3% 34,600 Annaly Mortgage Management, Inc. 587 19,500 Friedman, Billings, Ramsey Group, Inc., Class A 386 -------- Total Mortgage/Financial 973 -------- Residential - 12.6% Apartments - 12.6% 42,000 Apartment Investment & Management Company, Class A 1,308 22,000 AvalonBay Communities, Inc. 1,243 64,000 Equity Residential 1,903 48,000 United Dominion Realty Trust, Inc. 949 -------- Total Residential 5,403 -------- Retail - 22.7% Regional Malls - 16.4% 72,000 General Growth Properties, Inc. 2,129 34,000 Macerich Company 1,628 30,200 Mills Corporation 1,410 35,500 Simon Property Group, Inc. 1,825 -------- 6,992 -------- Value Shares (000s) ------ ------ Shopping Centers - 6.3% 38,200 Developers Diversified Realty Corporation $ 1,351 30,000 Kimco Realty Corporation 1,365 -------- 2,716 -------- Total Retail 9,708 -------- Self Storage - 3.0% 19,000 Public Storage, Inc. 874 11,000 Shurgard Storage Centers, Inc., Class A 412 -------- Total Self Storage 1,286 -------- Specialty - 5.8% 47,500 Capital Automotive REIT 1,393 33,000 Plum Creek Timber Company, Inc. 1,075 -------- Total Specialty 2,468 -------- Total Real Estate Investment Trusts (Cost $29,947) 37,852 -------- COMMON STOCKS - 6.8% Consumer Discretionary - 4.8% Consumer Durables & Apparel - 2.5% 37,500 D.R. Horton, Inc. 1,065 -------- Hotels, Restaurants & Leisure - 2.3% 14,500 Mandalay Resort Group** 995 -------- Total Consumer Discretionary 2,060 -------- Financials - 2.0% Insurance - 2.0% 23,000 Fidelity National Financial, Inc. 859 -------- Total Common Stocks (Cost $1,832) 2,919 -------- Principal Amount (000s) --------- REPURCHASE AGREEMENT - 4.3% (Cost $1,853) $ 1,853 Agreement with Morgan Stanley, 1.290% dated 06/30/2004, to be repurchased at $1,853,000 on 07/01/2004 (Collateralized by U.S. Treasury Notes, having various interest rates and maturities, market value $1,883,000) 1,853 -------- SHORT-TERM INVESTMENT - 4.0% (Cost $1,691) 1,691 Mellon GSL DBT II Collateral Fund++ 1,691 -------- Total Investments (Cost $35,323*) 103.6% 44,315 Other Assets And Liabilities (Net) (3.6) (1,558) ----- -------- Net Assets 100.0% $ 42,757 ===== ======== ================== * Aggregate cost for federal tax purposes. ** Some or all of these securities are on loan at June 30, 2004, and have an aggregate market value of $1,661,000, representing 3.9% of the net assets of the Fund (Collateral Value $1,691,000). + Non-income producing security. ++ Represents investment purchased with cash collateral for securities loaned. See Notes to Financial Statements. 2 portfolio of investments EQUITY INCOME FUND June 30, 2004 (unaudited) Value Shares (000s) ------ ------ COMMON STOCKS - 85.0% Consumer Discretionary - 15.0% Automobiles & Components - 4.5% 60,200 General Motors Corporation** $ 2,805 43,000 Genuine Parts Company 1,706 43,000 Magna International Inc., Class A 3,662 -------- 8,173 -------- Consumer Durables & Apparel - 3.5% 72,000 D.R. Horton, Inc. 2,045 129,000 Mattel, Inc. 2,354 27,000 NIKE Inc., Class B 2,045 -------- 6,444 -------- Hotels, Restaurants & Leisure - 3.7% 35,000 Carnival Corporation** 1,645 50,000 Mandalay Resort Group 3,432 67,500 McDonald's Corporation 1,755 -------- 6,832 -------- Retailing - 3.3% 54,000 May Department Stores Company 1,484 56,800 Neiman Marcus Group Inc., Class A 3,161 39,500 Sears, Roebuck & Company 1,492 -------- 6,137 -------- Total Consumer Discretionary 27,586 -------- Consumer Staples - 7.6% Food & Staples Retailing - 2.4% 51,000 Supervalu Inc. 1,561 94,500 Wal-Mart de Mexico SA de CV, ADR 2,786 -------- 4,347 -------- Food, Beverage & Tobacco - 4.6% 41,000 Altria Group, Inc. 2,052 64,500 ConAgra Foods, Inc. 1,747 55,500 Diageo PLC, Sponsored ADR 3,038 36,000 Hershey Foods Corporation 1,666 -------- 8,503 -------- Household & Personal Products - 0.6% 21,000 Procter & Gamble Company 1,143 -------- Total Consumer Staples 13,993 -------- Energy - 7.7% 66,000 Baker Hughes Inc. 2,485 35,000 BP PLC, Sponsored ADR 1,875 16,742 ChevronTexaco Corporation 1,575 25,280 ConocoPhillips Company 1,929 27,100 Royal Dutch Petroleum Company (F) 1,400 26,500 Schlumberger Ltd. 1,683 44,697 Valero Energy Corporation 3,297 -------- Total Energy 14,244 -------- Value Shares (000s) ------ ------ Financials - 22.5% Banks - 6.5% 46,301 Bank of America Corporation $ 3,918 31,999 Countrywide Financial Corporation 2,248 42,100 TCF Financial Corporation 2,444 39,700 U.S. Bancorp 1,094 40,500 Wells Fargo & Company 2,318 -------- 12,022 -------- Diversified Financials - 7.5% 57,000 Allied Capital Corporation** 1,392 69,500 Citigroup Inc. 3,232 32,500 Fannie Mae 2,319 27,000 Franklin Resources, Inc. 1,352 55,000 J.P. Morgan Chase & Company 2,132 39,500 Morgan Stanley 2,085 25,600 T. Rowe Price Group, Inc. 1,290 -------- 13,802 -------- Insurance - 8.5% 85,000 ACE Ltd. 3,594 57,000 AFLAC Inc. 2,326 50,000 Allstate Corporation 2,328 55,500 Fidelity National Financial, Inc. 2,072 59,000 HCC Insurance Holdings, Inc. 1,971 43,000 XL Capital Ltd., Class A 3,245 -------- 15,536 -------- Total Financials 41,360 -------- Health Care - 6.1% Health Care Equipment & Services - 0.8% 30,500 Becton Dickinson & Company 1,580 -------- Pharmaceuticals & Biotechnology - 5.3% 34,000 Abbott Laboratories 1,386 53,000 Bristol-Myers Squibb Company 1,298 34,500 Johnson & Johnson 1,922 23,500 Merck & Company, Inc. 1,116 114,500 Mylan Laboratories Inc. 2,319 50,000 Pfizer Inc. 1,714 -------- 9,755 -------- Total Health Care 11,335 -------- Industrials - 8.0% Capital Goods - 6.9% 46,500 Boeing Company 2,376 18,000 Emerson Electric Company 1,144 28,800 General Dynamics Corporation 2,860 69,000 General Electric Company 2,236 40,000 Honeywell International Inc. 1,465 36,000 Northrop Grumman Corporation 1,933 24,000 Tyco International Ltd. 795 -------- 12,809 -------- See Notes to Financial Statements. 3 portfolio of investments (continued) EQUITY INCOME FUND June 30, 2004 (unaudited) Value Shares (000s) ------ ------ Common Stock - (continued) Industrials - (continued) Transportation - 1.1% 26,000 United Parcel Service, Inc., Class B $ 1,954 -------- Total Industrials 14,763 -------- Information Technology - 7.9% Communications Equipment - 1.8% 65,000 Harris Corporation 3,299 -------- Computers & Peripherals - 1.5% 64,300 Hewlett-Packard Company 1,357 16,000 International Business Machines Corporation 1,410 -------- 2,767 -------- Electronic Equipment & Instruments - 3.3% 196,350 AU Optronics Corporation, ADR** 3,208 53,000 Diebold, Inc. 2,802 -------- 6,010 -------- Semiconductors & Semiconductor Equipment - 0.9% 52,000 Microchip Technology Inc. 1,640 -------- Software - 0.4% 28,000 Computer Associates International, Inc. 786 -------- Total Information Technology 14,502 -------- Materials - 4.3% 38,000 Alcoa Inc. 1,255 52,000 Cemex SA de CV, Sponsored ADR 1,513 36,000 Dow Chemical Company 1,465 11,700 E.I. du Pont de Nemours & Company 520 65,000 Monsanto Company 2,502 9,500 PPG Industries, Inc. 594 -------- Total Materials 7,849 -------- Telecommunication Services - 2.7% 44,000 Alltel Corporation 2,227 3,000 Metromedia Fiber Network, Inc., Class A+ 0*** 36,800 SBC Communications Inc. 892 49,500 Verizon Communications Inc. 1,792 -------- Total Telecommunication Services 4,911 -------- Utilities - 3.2% 48,000 FPL Group, Inc. 3,070 36,500 Pinnacle West Capital Corporation 1,474 47,000 Southern Company 1,370 -------- Total Utilities 5,914 -------- Total Common Stocks (Cost $127,068) 156,457 -------- Value Shares (000s) ------ ------ REAL ESTATE INVESTMENT TRUSTS - 7.1% 27,800 AMB Property Corporation $ 963 25,000 Apartment Investment & Management Company, Class A 778 12,900 Arden Realty, Inc. 379 7,600 CarrAmerica Realty Corporation 230 26,500 Corporate Office Properties Trust 659 8,000 Developers Diversified Realty Corporation 283 12,200 Duke Realty Corporation 388 36,000 Equity Office Properties Trust 979 39,500 Equity Residential 1,174 51,000 General Growth Properties, Inc. 1,508 32,200 Health Care Property Investors, Inc. 774 18,000 Hospitality Properties Trust 762 6,500 Kimco Realty Corporation 296 14,000 Macerich Company 670 28,500 Plum Creek Timber Company, Inc. 929 15,200 ProLogis 500 17,000 Shurgard Storage Centers, Inc., Class A 636 22,000 Simon Property Group, Inc. 1,131 -------- Total Real Estate Investment Trusts (Cost $9,527) 13,039 -------- Principal Amount (000s) --------- CONVERTIBLE SECURITIES - 2.2% Convertible Bonds and Notes - 2.2% $ 850 RadiSys Corporation, Conv. Sub. Note, 5.500% due 08/15/2007 817 1,750 TriQuint Semiconductor, Inc., Conv. Sub. Note, 4.000% due 03/01/2007 1,685 1,500 Vitesse Semiconductor Corporation, Conv. Sub. Deb., 4.000% due 03/15/2005 1,509 -------- Total Convertible Securities (Cost $3,554) 4,011 -------- FIXED INCOME SECURITIES - 2.0% Corporate Bonds and Notes - 1.9% 100 Aetna Inc., Company Guarantee, 7.125% due 08/15/2006 108 500 Aetna Inc., Sr. Note, 7.875% due 03/01/2011 577 45 Baxter International Inc., Note, 7.125% due 02/01/2007 49 300 CBS Corporation, Sr. Note, 7.150% due 05/20/2005 312 1,000 ERAC USA Finance Company, Note, 7.350% due 06/15/2008++ 1,106 100 Raytheon Company, Sr. Note, 6.150% due 11/01/2008 107 1,000 TELUS Corporation, Note, 8.000% due 06/01/2011 1,138 100 Texas-New Mexico Power Company, Sr. Note, 6.250% due 01/15/2009 100 -------- Total Corporate Bonds and Notes (Cost $3,181) 3,497 -------- See Notes to Financial Statements. 4 portfolio of investments (continued) EQUITY INCOME FUND June 30, 2004 (unaudited) Principal Amount Value (000s) (000s) --------- ------ FIXED INCOME SECURITIES - (continued) U.S. Government Agency Mortgage-Backed Securities - 0.1% Federal Home Loan Mortgage Corporation (FHLMC) - 0.1% $ 81 6.500% due 09/01/2030 $ 85 43 7.000% due 09/01/2030 46 -------- Total U.S. Government Agency Mortgage-Backed Securities (Cost $121) 131 -------- Total Fixed Income Securities (Cost $3,302) 3,628 -------- Shares ------ Warrants - 0.0% +++ (Cost $0) 250 V2 Music Holdings PLC, Expires 05/07/2008+,++ 0*** -------- Principal Amount Value (000s) (000s) --------- ------ REPURCHASE AGREEMENT - 3.6% (Cost $6,678) $ 6,678 Agreement with Morgan Stanley, 1.290% dated 06/30/2004, to be repurchased at $6,678,000 on 07/01/2004 (Collateralized by U.S. Treasury Notes, having various interest rates and maturities, market value $6,785,000) $ 6,678 -------- SHORT-TERM INVESTMENT - 5.0% (Cost $9,231) 9,231 Mellon GSL DBT II Collateral Fund++++ 9,231 -------- Total Investments (Cost $159,360*) 104.9% 193,044 Other Assets And Liabilities (Net) (4.9) (8,991) ----- -------- Net Assets 100.0% $184,053 ===== ======== ================== * Aggregate cost for federal tax purposes. ** Some or all of these securities are on loan at June 30, 2004, and have an aggregate market value of $8,897,000, representing 4.8% of the net assets of the Fund (Collateral Value $9,231,000). *** Value of security is less than $500. + Non-income producing security. ++ Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. +++ Amount represents less than 0.1% of the net assets. ++++ Represents investment purchased with cash collateral for securities loaned. - ---------------------------------------------- GLOSSARY OF TERMS ADR - American Depository Receipt (F) - Foreign Shares - ---------------------------------------------- See Notes to Financial Statements. 5 portfolio of investments GROWTH & INCOME FUND Value Shares (000s) ------ ------ COMMON STOCKS - 99.6% Consumer Discretionary - 11.2% Consumer Durables & Apparel - 1.5% 212,000 Mattel, Inc. $ 3,869 -------- Hotels, Restaurants & Leisure - 4.0% 223,000 Carnival Corporation** 10,481 -------- Media - 5.7% 114,000 Comcast Corporation, Class A+ 3,195 108,000 Comcast Corporation, Special Class A+ 2,982 350,000 Liberty Media Corporation, Class A+ 3,147 17,500 Liberty Media International, Inc., Class A+ 649 135,000 Viacom Inc., Class B 4,822 -------- 14,795 -------- Total Consumer Discretionary 29,145 -------- Consumer Staples - 11.5% Food & Staples Retailing - 3.5% 79,000 Costco Wholesale Corporation 3,244 329,000 Kroger Company+ 5,988 -------- 9,232 -------- Food, Beverage & Tobacco - 1.8% 85,000 PepsiCo Inc. 4,580 -------- Household & Personal Products - 6.2% 184,000 Avon Products, Inc. 8,490 69,000 Kimberly-Clark Corporation 4,546 56,000 Procter & Gamble Company 3,048 -------- 16,084 -------- Total Consumer Staples 29,896 -------- Energy - 7.7% 94,000 BP PLC, Sponsored ADR 5,036 91,000 Exxon Mobil Corporation 4,041 83,000 Royal Dutch Petroleum Company (F) 4,289 50,000 Schlumberger Ltd. 3,175 87,000 Unocal Corporation 3,306 -------- Total Energy 19,847 -------- Financials - 24.1% Banks - 10.3% 126,640 Bank of America Corporation 10,716 93,000 PNC Financial Services Group, Inc. 4,936 107,000 Wachovia Corporation 4,762 109,000 Wells Fargo & Company 6,238 -------- 26,652 -------- Diversified Financials - 7.8% 124,000 Citigroup Inc. 5,766 111,000 Freddie Mac 7,027 195,000 J.P. Morgan Chase & Company 7,560 -------- 20,353 -------- Value Shares (000s) ------ ------ Insurance - 6.0% 67,000 ACE Ltd. $ 2,833 155,000 Allstate Corporation 7,215 79,000 American International Group Inc. 5,631 -------- 15,679 -------- Total Financials 62,684 -------- Health Care - 15.3% Health Care Equipment & Services - 5.2% 101,000 Baxter International Inc. 3,485 96,000 Cardinal Health Inc. 6,725 66,000 Medtronic, Inc. 3,216 -------- 13,426 -------- Pharmaceuticals & Biotechnology - 10.1% 130,000 Bristol-Myers Squibb Company 3,185 76,000 Johnson & Johnson 4,233 68,000 Merck & Company, Inc. 3,230 345,000 Mylan Laboratories Inc. 6,986 175,000 Pfizer Inc. 5,999 40,000 Teva Pharmaceutical Industries Ltd., Sponsored ADR 2,692 -------- 26,325 -------- Total Health Care 39,751 -------- Industrials - 9.8% Capital Goods - 9.8% 135,000 Boeing Company 6,897 110,000 General Electric Company 3,564 193,000 Honeywell International Inc. 7,069 241,000 Tyco International Ltd.** 7,987 -------- Total Industrials 25,517 -------- Information Technology - 14.6% Communications Equipment - 2.1% 301,000 Motorola, Inc.** 5,493 -------- Computers & Peripherals - 3.7% 180,000 Hewlett-Packard Company 3,798 65,000 International Business Machines Corporation 5,730 -------- 9,528 -------- IT Services - 2.7% 157,000 First Data Corporation 6,990 -------- Semiconductors & Semiconductor Equipment - 1.5% 139,000 Intel Corporation 3,836 -------- Software - 4.6% 185,000 Computer Associates International, Inc. 5,191 240,000 Microsoft Corporation** 6,855 -------- 12,046 -------- Total Information Technology 37,893 -------- See Notes to Financial Statements. 6 portfolio of investments (continued) GROWTH & INCOME FUND June 30, 2004 (unaudited) Value Shares (000s) ------ ------ COMMON STOCKS - (continued) Materials - 0.5% 37,000 Alcoa Inc. $ 1,222 -------- Telecommunication Services - 1.3% 136,000 SBC Communications Inc. 3,298 -------- Utilities - 3.6% 64,000 FPL Group, Inc. 4,093 106,000 NiSource Inc. 2,186 78,000 Pinnacle West Capital Corporation 3,150 -------- Total Utilities 9,429 -------- Total Common Stocks (Cost $203,630) 258,682 -------- Principal Amount (000s) --------- REPURCHASE AGREEMENT - 0.4% (Cost $1,102) $ 1,102 Agreement with Morgan Stanley, 1.290% dated 06/30/2004, to be repurchased at $1,102,000 on 07/01/2004 (Collateralized by U.S. Treasury Notes, having various interest rates and maturities, market value $1,120,000) 1,102 -------- SHORT-TERM INVESTMENT - 8.0% (Cost $20,897) 20,897 Mellon GSL DBT II Collateral Fund++ 20,897 -------- TOTAL INVESTMENTS (Cost $225,629*) 108.0% 280,681 OTHER ASSETS AND LIABILITIES (Net) (8.0) (20,848) ----- -------- NET ASSETS 100.0% $259,833 ===== ======== ================== * Aggregate cost for federal tax purposes. ** Some or all of these securities are on loan at June 30, 2004, and have an aggregate market value of $20,132,000, representing 7.7% of the net assets of the Fund (Collateral Value $20,897,000). + Non-income producing security. ++ Represents investment purchased with cash collateral for securities loaned. - ----------------------------------------- GLOSSARY OF TERMS ADR - American Depository Receipt (F) - Foreign Shares - ----------------------------------------- See Notes to Financial Statements. 7 portfolio of investments WEST COAST EQUITY FUND June 30, 2004 (unaudited) Value Shares (000s) ------ ------ COMMON STOCKS - 93.4% Consumer Discretionary - 15.8% Automobiles & Components - 1.9% 69,300 Monaco Coach Corporation $ 1,952 8,900 Superior Industries International, Inc. 298 -------- 2,250 -------- Consumer Durables & Apparel - 3.9% 17,524 Columbia Sportswear Company+ 957 16,500 KB Home 1,132 53,000 Mattel, Inc. 967 19,125 NIKE Inc., Class B 1,449 -------- 4,505 -------- Hotels, Restaurants & Leisure - 3.6% 84,300 Hilton Hotels Corporation 1,573 6,000 Jack in the Box Inc.+ 178 39,070 Starbucks Corporation+ 1,699 129,460 WestCoast Hospitality Corporation+ 693 -------- 4,143 -------- Media - 5.0% 30,000 Getty Images, Inc.+** 1,800 22,300 Knight-Ridder, Inc. 1,606 1,800 McClatchy Company, Class A 126 45,700 Univision Communications Inc., Class A+** 1,459 33,200 Walt Disney Company 846 -------- 5,837 -------- Retailing - 1.4% 62,985 Building Materials Holding Corporation 1,192 27,200 Hollywood Entertainment Corporation+ 364 10,400 Restoration Hardware, Inc.+ 76 -------- 1,632 -------- Total Consumer Discretionary 18,367 -------- Consumer Staples - 3.3% Food & Staples Retailing - 2.9% 46,320 Costco Wholesale Corporation 1,902 83,790 Kroger Company+ 1,525 -------- 3,427 -------- Household/Personal Care Products - 0.4% 9,000 Estee Lauder Companies Inc., Class A 439 -------- Total Consumer Staples 3,866 -------- Energy - 5.5% 36,500 Apache Corporation 1,590 28,100 ChevronTexaco Corporation 2,644 37,300 Nabors Industries Ltd.+ 1,687 9,000 Occidental Petroleum Corporation 436 -------- Total Energy 6,357 -------- Value Shares (000s) ------ ------ Financials - 18.5% Banks - 13.5% 25,250 Bank of America Corporation $ 2,137 34,300 Banner Corporation 997 11,600 City National Corporation 762 38,000 East West Bancorp, Inc. 1,167 34,400 Greater Bay Bancorp 994 11,800 KeyCorp 353 8,400 Pacific Capital Bancorp 236 92,500 U.S. Bancorp 2,549 2,900 United PanAm Financial Corporation+ 49 83,498 Washington Federal, Inc. 2,004 77,623 Wells Fargo & Company 4,442 -------- 15,690 -------- Diversified Financials - 2.7% 95,500 Charles Schwab Corporation 918 23,100 Citigroup Inc. 1,074 2,550 Countrywide Financial Corporation 179 17,000 Franklin Resources, Inc. 851 1,955 Piper Jaffray Companies, Inc.+ 89 -------- 3,111 -------- Insurance - 2.3% 15,400 RenaissanceRe Holdings Ltd. 831 26,600 StanCorp Financial Group, Inc. 1,782 -------- 2,613 -------- Total Financials 21,414 -------- Health Care - 12.2% Health Care Equipment & Services - 4.8% 18,800 Applera Corporation-Applied Biosystems Group 409 12,700 Caremark Rx, Inc.+ 418 8,680 Health Net, Inc.+ 230 135,400 OraSure Technologies, Inc.+ 1,318 8,500 ResMed Inc.+ 433 71,225 SonoSite, Inc.+ 1,703 14,000 Varian Medical Systems, Inc.+ 1,111 -------- 5,622 -------- Pharmaceuticals & Biotechnology - 7.4% 20,400 Allergan, Inc.** 1,826 23,307 Amgen, Inc.+ 1,272 2,400 Amylin Pharmaceuticals, Inc.+ 55 132,155 Corixa Corporation+ 617 34,000 Dendreon Corporation+ 416 43,325 EDEN Bioscience Corporation+ 37 20,000 Genentech, Inc.+ 1,124 22,755 ICOS Corporation+** 679 8,400 Neurocrine Biosciences, Inc.+ 436 43,100 Pfizer Inc. 1,477 22,200 Watson Pharmaceuticals, Inc.+ 597 -------- 8,536 -------- Total Health Care 14,158 -------- See Notes to Financial Statements. 8 portfolio of investments (continued) WEST COAST EQUITY FUND June 30, 2004 (unaudited) Value Shares (000s) ------ ------ COMMON STOCK - (continued) Industrials - 15.0% Capital Goods - 11.4% 57,511 Boeing Company $ 2,938 17,200 Cascade Corporation 538 18,200 Dionex Corporation+ 1,004 42,740 Electro Scientific Industries, Inc.+ 1,210 76,300 Greenbrier Companies, Inc.+ 1,454 24,700 Northrop Grumman Corporation 1,326 48,300 PACCAR Inc. 2,801 21,200 Precision Castparts Corporation 1,159 13,100 Simpson Manufacturing Company, Inc. 735 -------- 13,165 -------- Commercial Services & Supplies - 1.1% 41,800 Robert Half International Inc. 1,245 -------- Transportation - 2.5% 34,960 Alaska Air Group, Inc.+ 834 43,000 Expeditors International of Washington, Inc.** 2,125 -------- 2,959 -------- Total Industrials 17,369 -------- Information Technology - 19.1% Communications Equipment - 1.2% 57,600 Cisco Systems, Inc.+ 1,365 -------- Computers & Peripherals - 2.2% 115,100 Advanced Digital Information Corporation+ 1,117 60,900 Hewlett-Packard Company 1,285 11,100 InFocus Corporation+ 94 -------- 2,496 -------- Electronic Equipment & Instruments - 1.7% 39,590 Microvision, Inc.+** 333 49,120 Tektronix, Inc. 1,671 -------- 2,004 -------- Internet Software & Services - 1.0% 295,600 Primus Knowledge Solutions, Inc.+ 544 81,900 WatchGuard Technologies, Inc.+ 591 -------- 1,135 -------- Semiconductors & Semiconductor Equipment - 5.8% 22,725 Applied Materials, Inc.+ 446 31,000 Credence Systems Corporation+ 428 30,790 FEI Company+ 736 73,830 Intel Corporation 2,038 9,000 KLA-Tencor Corporation+** 444 74,780 Lattice Semiconductor Corporation+ 524 46,800 LSI Logic Corporation+ 357 100,000 Pixelworks, Inc.+ 1,532 45,600 TriQuint Semiconductor, Inc.+ 249 -------- 6,754 -------- Value Shares (000s) ------ ------ Software - 7.2% 31,800 Actuate Corporation+ $ 126 31,000 Adobe Systems Inc. 1,441 7,500 Electronic Arts Inc.+ 409 34,200 Fair Isaac Corporation 1,142 115,530 Microsoft Corporation 3,300 34,662 ONYX Software Corporation+ 144 26,700 Quest Software, Inc.+** 344 36,090 RadiSys Corporation+ 670 29,500 Siebel Systems, Inc.+ 315 24,000 Sybase, Inc.+ 432 -------- 8,323 -------- Total Information Technology 22,077 -------- Materials - 4.0% 64,300 Oregon Steel Mills, Inc.+ 948 57,930 Schnitzer Steel Industries, Inc., Class A 1,967 27,835 Weyerhaeuser Company 1,757 -------- Total Materials 4,672 -------- Total Common Stocks (Cost $85,127) 108,280 -------- REAL ESTATE INVESTMENT TRUSTS - 2.1% 15,600 AMB Property Corporation 540 51,900 Plum Creek Timber Company, Inc. 1,691 6,000 Shurgard Storage Centers, Inc., Class A 224 -------- Total Real Estate Investment Trusts (Cost $2,000) 2,455 -------- Principal Amount (000s) --------- REPURCHASE AGREEMENT - 4.4% (Cost $5,092) $ 5,092 Agreement with Morgan Stanley, 1.290% dated 06/30/2004, to be repurchased at $5,092,000 on 07/01/2004 (Collateralized by U.S. Treasury Notes, having various interest rates and maturities, market value $5,174,000) 5,092 -------- SHORT-TERM INVESTMENT - 5.8% (Cost $6,702) 6,702 Mellon GSL DBT II Collateral Fund++ 6,702 -------- TOTAL INVESTMENTS (Cost $98,921*) 105.7% 122,529 OTHER ASSETS AND LIABILITIES (Net) (5.7) (6,618) ----- -------- NET ASSETS 100.0% $115,911 ===== ======== ================== * Aggregate cost for federal tax purposes. ** Some or all of these securities are on loan at June 30, 2004, and have an aggregate market value of $6,527,000, representing 5.6% of the net assets of the Fund (Collateral Value $6,702,000). + Non-income producing security. ++ Represents investment purchased with cash collateral for securities loaned. See Notes to Financial Statements. 9 portfolio of investments MID CAP STOCK FUND June 30, 2004 (unaudited) Value Shares (000s) ------ ------ COMMON STOCKS - 91.6% Consumer Discretionary - 14.8% Automobiles & Components - 1.6% 15,400 Magna International Inc., Class A $ 1,312 10,300 Superior Industries International, Inc.** 344 -------- 1,656 -------- Consumer Durables & Apparel - 4.7% 69,800 Jones Apparel Group, Inc. 2,756 116,400 Mattel, Inc. 2,124 -------- 4,880 -------- Hotels, Restaurants & Leisure - 3.0% 7,900 Mandalay Resort Group 542 19,600 Papa John's International, Inc.+ 579 54,700 Yum! Brands, Inc.+ 2,036 -------- 3,157 -------- Retailing - 5.5% 46,700 Neiman Marcus Group Inc., Class A** 2,599 71,400 Tiffany & Company 2,631 11,500 Weight Watchers International, Inc.+** 450 -------- 5,680 -------- Total Consumer Discretionary 15,373 -------- Consumer Staples - 4.5% Food, Beverage & Tobacco - 3.2% 49,600 Dean Foods Company+ 1,851 31,600 Hershey Foods Corporation 1,462 -------- 3,313 -------- Household & Personal Products - 1.3% 27,600 Estee Lauder Companies Inc., Class A 1,346 -------- Total Consumer Staples 4,659 -------- Energy - 7.4% 49,600 Baker Hughes Inc. 1,867 28,999 Devon Energy Corporation 1,914 47,900 Nabors Industries Ltd.+ 2,166 36,500 Tidewater Inc. 1,088 17,400 Unocal Corporation 661 -------- Total Energy 7,696 -------- Financials - 18.0% Banks - 5.4% 50,800 GreenPoint Financial Corporation 2,017 16,400 North Fork Bancorporation, Inc.** 624 39,100 TCF Financial Corporation** 2,270 26,200 Washington Federal, Inc. 629 -------- 5,540 -------- Value Shares (000s) ------ ------ Diversified Financials - 5.4% 59,900 A.G. Edwards, Inc. $ 2,038 27,700 Ambac Financial Group, Inc. 2,034 22,299 Countrywide Financial Corporation 1,567 -------- 5,639 -------- Insurance - 7.2% 57,887 Fidelity National Financial, Inc. 2,161 81,200 HCC Insurance Holdings, Inc. 2,713 21,100 MGIC Investment Corporation 1,601 23,691 PMI Group, Inc. 1,031 -------- 7,506 -------- Total Financials 18,685 -------- Health Care - 10.8% Health Care Equipment & Services - 9.1% 33,300 AmerisourceBergen Corporation** 1,991 40,100 Covance Inc.+ 1,547 28,800 Express Scripts, Inc., Class A+ 2,282 86,302 IMS Health Inc. 2,023 34,200 Universal Health Services, Inc., Class B** 1,569 -------- 9,412 -------- Pharmaceuticals & Biotechnology - 1.7% 87,625 Mylan Laboratories Inc. 1,774 -------- Total Health Care 11,186 -------- Industrials - 10.4% Capital Goods - 6.7% 74,100 Federal Signal Corporation 1,379 51,400 Lincoln Electric Holdings, Inc. 1,752 10,200 Lockheed Martin Corporation 531 22,400 PACCAR Inc. 1,299 39,600 Teleflex Inc. 1,986 -------- 6,947 -------- Commercial Services & Supplies - 2.4% 8,600 HNI Corporation 364 74,000 Republic Services, Inc. 2,142 -------- 2,506 -------- Transportation - 1.3% 56,400 Alaska Air Group, Inc.+ 1,346 -------- Total Industrials 10,799 -------- Information Technology - 15.9% Computers & Peripherals - 1.7% 64,300 Electronics for Imaging, Inc.+ 1,817 -------- Electronic Equipment & Instruments - 1.8% 26,100 Arrow Electronics, Inc.+ 700 22,300 Diebold, Inc. 1,179 -------- 1,879 -------- See Notes to Financial Statements. 10 portfolio of investments (continued) MID CAP STOCK FUND June 30, 2004 (unaudited) Value Shares (000s) ------ ------ COMMON STOCK - (continued) Information Technology - (continued) IT Services - 2.0% 62,400 Acxiom Corporation $ 1,550 34,700 Convergys Corporation+ 534 -------- 2,084 -------- Semiconductors & Semiconductor Equipment - 2.7% 88,250 Microchip Technology Inc. 2,783 -------- Software - 7.7% 29,600 Adobe Systems Inc. 1,376 108,400 BMC Software Inc.+ 2,005 99,900 PeopleSoft Inc.+ 1,848 86,200 Siebel Systems, Inc.+ 921 65,300 Synopsys, Inc.+** 1,857 -------- 8,007 -------- Total Information Technology 16,570 -------- Materials - 3.9% 52,400 Cabot Corporation 2,133 39,000 Valspar Corporation 1,967 -------- Total Materials 4,100 -------- Telecommunication Services - 0.6% 15,100 United States Cellular Corporation+ 582 -------- Utilities - 5.3% 31,100 FPL Group, Inc. 1,989 71,600 NiSource Inc. 1,477 51,800 Pinnacle West Capital Corporation 2,092 -------- Total Utilities 5,558 -------- Total Common Stocks (Cost $70,818) 95,208 -------- REAL ESTATE INVESTMENT TRUST - 1.6% (Cost $1,502) 55,900 General Growth Properties, Inc. 1,653 -------- Principal Amount Value (000s) (000s) --------- ------ REPURCHASE AGREEMENT - 6.9% (Cost $7,126) $ 7,126 Agreement with Morgan Stanley, 1.290% dated 06/30/2004, to be repurchased at $7,126,000 on 07/01/2004 (Collateralized by U.S. Treasury Notes, having various interest rates and maturities, market value $7,241,000) $ 7,126 -------- SHORT-TERM INVESTMENT - 7.3% (Cost $7,597) 7,597 Mellon GSL DBT II Collateral Fund++ 7,597 -------- TOTAL INVESTMENTS (Cost $87,043*) 107.4% 111,584 OTHER ASSETS AND LIABILITIES (Net) (7.4) (7,695) ----- -------- NET ASSETS 100.0% $103,889 ===== ======== ================== * Aggregate cost for federal tax purposes. ** Some or all of these securities are on loan at June 30, 2004, and have an aggregate market value of $7,449,000, representing 7.2% of the net assets of the Fund (Collateral Value $7,597,000). + Non-income producing security. ++ Represents investment purchased with cash collateral for securities loaned. See Notes to Financial Statements. 11 portfolio of investments GROWTH FUND June 30, 2004 (unaudited) Value Shares (000s) ------ ------ Common Stocks - 95.4% Consumer Discretionary - 15.4% Consumer Durables & Apparel - 0.4% 6,350 Coach, Inc.+ $ 287 9,645 NIKE Inc., Class B 731 -------- 1,018 -------- Hotels, Restaurants & Leisure - 2.1% 32,100 Carnival Corporation** 1,509 44,185 Hilton Hotels Corporation 825 7,300 Marriott International, Inc., Class A 364 22,205 McDonald's Corporation 577 35,480 Royal Caribbean Cruises Ltd. 1,540 -------- 4,815 -------- Media - 8.1% 6,123 Cablevision Systems Corporation- New York Group, Class A+** 120 38,700 Clear Channel Communications, Inc. 1,430 130,100 Comcast Corporation, Special Class A+** 3,592 11,100 Cox Communications Inc., Class A+ 309 58,850 Gemstar-TV Guide International, Inc.+ 283 62,091 Liberty Media Corporation, Class A+ 558 11,400 New York Times Company, Class A 510 48,600 News Corporation Ltd., Sponsored ADR** 1,721 11,600 Omnicom Group Inc. 880 232,312 Time Warner Inc.+ 4,084 32,770 Univision Communications Inc., Class A+** 1,046 110,935 Viacom Inc., Class B 3,963 17,600 XM Satellite Radio Holdings Inc., Class A+** 480 -------- 18,976 -------- Retailing - 4.8% 9,150 Bed Bath & Beyond Inc.+ 352 8,900 Best Buy Company, Inc. 451 7,100 Chico's FAS, Inc.+** 321 5,500 eBay Inc.+ 506 15,900 Federated Department Stores, Inc. 781 7,000 Foot Locker, Inc. 170 56,100 Gap, Inc.** 1,360 37,065 Home Depot, Inc. 1,305 10,200 J.C. Penney Company, Inc. (Holding Company) 385 8,400 Limited Brands, Inc. 157 11,400 Lowe's Companies, Inc. 599 2,300 PETCO Animal Supplies, Inc.+ 74 17,200 PETsMART, Inc. 558 53,740 Staples, Inc. 1,575 62,200 Target Corporation 2,642 -------- 11,236 -------- Total Consumer Discretionary 36,045 -------- Value Shares (000s) ------ ------ Consumer Staples - 7.5% Food & Staples Retailing - 1.9% 49,395 Costco Wholesale Corporation $ 2,029 9,400 Sysco Corporation 337 27,900 Wal-Mart Stores Inc. 1,472 18,000 Walgreen Company 652 -------- 4,490 -------- Food, Beverage & Tobacco - 3.3% 9,800 Altria Group, Inc. 491 45,000 Anheuser-Busch Companies, Inc. 2,430 6,400 Bunge Ltd. 249 23,900 Coca-Cola Company 1,206 8,000 Hershey Foods Corporation 370 53,650 PepsiCo Inc. 2,891 -------- 7,637 -------- Household & Personal Products - 2.3% 12,050 Alberto-Culver Company, Class B 604 8,400 Avon Products, Inc. 387 14,800 Clorox Company 796 21,300 Estee Lauder Companies Inc., Class A 1,039 5,300 Kimberly-Clark Corporation 349 42,500 Procter & Gamble Company 2,314 -------- 5,489 -------- Total Consumer Staples 17,616 -------- Energy - 4.9% 12,100 Amerada Hess Corporation 958 18,800 BJ Services Company+ 862 18,100 Burlington Resources Inc. 655 17,100 EnCana Corporation** 735 3,100 EOG Resources, Inc. 185 85,805 Exxon Mobil Corporation 3,811 35,585 Halliburton Company 1,077 20,516 Kinder Morgan Management LLC+ 754 5,200 Murphy Oil Corporation 383 16,600 Schlumberger Ltd. 1,054 9,600 Total SA, Sponsored ADR 922 -------- Total Energy 11,396 -------- Financials - 8.8% Banks - 0.6% 27,300 Bank One Corporation 1,392 -------- Diversified Financials - 6.4% 75,745 American Express Company 3,892 8,300 Bear Stearns Companies Inc. 700 96,051 Citigroup Inc. 4,466 6,930 Fannie Mae 495 21,400 J.P. Morgan Chase & Company 830 10,200 MBNA Corporation 263 4,900 Merrill Lynch & Company, Inc. 264 64,130 Morgan Stanley 3,384 12,800 SLM Corporation 518 -------- 14,812 -------- See Notes to Financial Statements. 12 portfolio of investments (continued) GROWTH FUND June 30, 2004 (unaudited) Value Shares (000s) ------ ------ COMMON STOCKS - (continued) Financials - (continued) Insurance - 1.8% 12,925 Allstate Corporation $ 602 32,300 American International Group Inc. 2,302 2,000 Progressive Corporation 171 18,300 Prudential Financial, Inc. 850 4,900 XL Capital Ltd., Class A 370 -------- 4,295 -------- Total Financials 20,499 -------- Health Care - 17.8% Health Care Equipment & Services - 6.4% 16,200 Aetna Inc. 1,377 8,100 Alcon, Inc. 637 10,150 Anthem, Inc.+** 909 18,800 Applera Corporation-Applied Biosystems Group 409 11,620 Biomet, Inc. 516 7,300 Boston Scientific Corporation+ 312 39,270 Caremark Rx, Inc.+ 1,293 7,390 Guidant Corporation 413 7,500 Invitrogen Corporation+ 540 3,500 Kinetic Concepts, Inc.+ 175 84,010 Medtronic, Inc. 4,093 27,200 Millipore Corporation+ 1,533 6,500 St. Jude Medical, Inc.+ 492 19,255 UnitedHealth Group Inc. 1,199 6,200 Varian Medical Systems, Inc.+ 492 6,900 Zimmer Holdings, Inc.+ 609 -------- 14,999 -------- Pharmaceuticals & Biotechnology - 11.4% 62,995 Amgen, Inc.+ 3,438 21,600 Biogen Idec Inc.+ 1,366 9,000 Digene Corporation+ 329 10,300 Dr. Reddy's Laboratories Ltd., ADR 179 33,125 Eli Lilly & Company 2,316 34,330 Genentech, Inc.+ 1,929 16,300 Gilead Sciences, Inc.+ 1,092 51,500 Johnson & Johnson 2,869 1,300 Martek Biosciences Corporation+ 73 9,000 Medimmune, Inc.+ 211 28,617 Merck & Company, Inc. 1,359 37,578 Novartis AG 1,658 192,620 Pfizer Inc. 6,603 10,300 Pharmaceutical Product Development, Inc.+ 327 5,923 Roche Holding AG-Genusschein 586 32,301 Teva Pharmaceutical Industries Ltd., Sponsored ADR 2,173 -------- 26,508 -------- Total Health Care 41,507 -------- Value Shares (000s) ------ ------ Industrials - 11.6% Capital Goods - 8.6% 7,200 3M Company $ 648 283,795 General Electric Company 9,195 25,500 Honeywell International Inc. 934 14,200 Ingersoll-Rand Company, Class A 970 7,500 ITT Industries, Inc. 623 20,900 Lockheed Martin Corporation 1,089 13,800 Northrop Grumman Corporation 741 106,980 Tyco International Ltd. 3,545 25,015 United Technologies Corporation 2,288 -------- 20,033 -------- Commercial Services & Supplies - 1.1% 20,400 Cendant Corporation 499 7,100 Manpower Inc. 361 10,000 Paychex, Inc. 339 40,400 Waste Management Inc. 1,238 -------- 2,437 -------- Transportation - 1.9% 7,250 Canadian National Railway Company 316 13,200 Expeditors International of Washington, Inc.** 652 25,180 FedEx Corporation 2,057 19,000 Norfolk Southern Corporation 504 12,900 United Parcel Service, Inc., Class B 970 -------- 4,499 -------- Total Industrials 26,969 -------- Information Technology - 26.6% Communications Equipment - 4.8% 252,960 Cisco Systems, Inc.+ 5,995 7,220 Crown Castle International Corporation+ 107 5,300 Juniper Networks, Inc.+ 130 97,200 Lucent Technologies Inc.+ 367 129,270 Motorola, Inc. 2,359 112,809 Nokia Oyj, Sponsored ADR 1,640 7,200 QUALCOMM Inc. 526 -------- 11,124 -------- Computers & Peripherals - 3.9% 90,990 Dell Computer Corporation+ 3,259 53,800 EMC Corporation+ 614 38,900 International Business Machines Corporation** 3,429 18,595 Lexmark International, Inc.+ 1,795 -------- 9,097 -------- Electronic Equipment & Instruments - 2.1% 37,100 Agilent Technologies, Inc.+ 1,086 50,550 Flextronics International Ltd.+ 806 10,500 L-3 Communications Holdings, Inc. 702 25,800 PerkinElmer, Inc. 517 26,700 Tektronix, Inc. 908 12,000 Thermo Electron Corporation+ 369 31,000 Vishay Intertechnology, Inc.+ 576 -------- 4,964 -------- See Notes to Financial Statements. 13 portfolio of investments (continued) GROWTH FUND June 30, 2004 (unaudited) Value Shares (000s) ------ ------ COMMON STOCKS - (continued) Information Technology - (continued) Internet Software & Services - 2.2% 14,460 Symantec Corporation+ $ 633 122,820 Yahoo! Inc.+ 4,462 -------- 5,095 -------- IT Services - 0.1% 13,200 Cognizant Technology Solutions Corporation+ 335 -------- Semiconductors & Semiconductor Equipment - 5.5% 13,800 Analog Devices, Inc. 650 65,475 Applied Materials, Inc.+ 1,285 3,800 Broadcom Corporation, Class A+ 178 36,500 Cypress Semiconductor Corporation+ 518 165,550 Intel Corporation 4,569 2,800 Linear Technology Corporation 110 8,400 Marvell Technology Group Ltd.+** 224 6,200 Microchip Technology Inc. 196 7,950 Samsung Electronics Company Ltd., GDR** 1,641 5,600 Silicon Laboratories Inc.+ 260 71,601 Taiwan Semiconductor Manufacturing Company Ltd., Sponsored ADR 595 97,785 Texas Instruments Inc. 2,364 5,600 Xilinx, Inc. 186 -------- 12,776 -------- Software - 8.0% 37,900 Adobe Systems Inc. 1,762 10,600 Amdocs Ltd.+** 248 38,600 Cadence Design Systems, Inc.+** 565 32,000 Citrix Systems, Inc.+ 652 27,355 Electronic Arts Inc.+ 1,492 12,740 Intuit Inc.+** 492 4,300 Mercury Interactive Corporation+** 214 348,430 Microsoft Corporation 9,951 20,500 Novell, Inc.+ 172 30,500 Oracle Corporation+ 364 9,700 Red Hat, Inc.+** 223 37,000 SAP AG, Sponsored ADR 1,547 34,300 VERITAS Software Corporation+ 950 -------- 18,632 -------- Total Information Technology 62,023 -------- Materials - 2.4% 15,100 Air Products & Chemicals, Inc. 792 13,600 Alcoa Inc. 449 9,900 Dow Chemical Company 403 11,200 E.I. du Pont de Nemours & Company 498 4,500 Monsanto Company 173 4,440 Phelps Dodge Corporation+** 344 53,800 Praxair, Inc. 2,147 7,545 Rio Tinto PLC, Sponsored ADR** 740 -------- Total Materials 5,546 -------- Value Shares (000s) ------ ------ Telecommunication Services - 0.4% 900 Mobile Telesystems OJSC, Sponsored ADR $ 110 21,700 Telefonos de Mexico SA de CV, Class L, Sponsored ADR 722 1,100 VimpelCom, Sponsored ADR+ 106 -------- Total Telecommunication Services 938 -------- Total Common Stocks (Cost $199,280) 222,539 -------- PREFERRED STOCK - 0.2% (Cost $350) 10,600 News Corporation Ltd., Sponsored ADR 348 -------- Principal Amount (000s) --------- REPURCHASE AGREEMENT - 3.9% (Cost $9,043) $ 9,043 Agreement with Morgan Stanley, 1.290% dated 06/30/2004, to be repurchased at $9,043,000 on 07/01/2004 (Collateralized by U.S. Treasury Notes, having various interest rates and maturities, market value $9,188,000) 9,043 -------- SHORT-TERM INVESTMENT - 6.9% (Cost $16,157) 16,157 Mellon GSL DBT II Collateral Fund++ 16,157 -------- TOTAL INVESTMENTS (Cost $224,830*) 106.4% 248,087 OTHER ASSETS AND LIABILITIES (Net) (6.4) (14,932) ----- -------- NET ASSETS 100.0% $233,155 ===== ======== ================== * Aggregate cost for federal tax purposes. ** Some or all of these securities are on loan at June 30, 2004, and have an aggregate market value of $13,959,000, representing 6.0% of the net assets of the Fund (Collateral Value $16,157,000). + Non-income producing security. ++ Represents investment purchased with cash collateral for securities loaned. SCHEDULE OF FORWARD FOREIGN CURRENCY CONTRACTS Forward Foreign Currency Contracts to Sell Contracts to Deliver (000s) ------------------------------------- Net Unrealized Expiration Local Value in In Exchange Appreciation Date Currency U.S. $ for U.S. $ of Contracts - ---------- -------- -------- ------------ ------------ 08/06/2004 EUR 240 292 300 $ 8 09/27/2004 EUR 140 170 170 -*** ------ Net Unrealized Appreciation of Forward Foreign Currency Contracts $ 8 ====== ================== *** Amount represents less than $500. - --------------------------------------------- GLOSSARY OF TERMS - --------------------------------------------- ADR - American Depository Receipt EUR - EURO GDR - Global Depository Receipt - --------------------------------------------- See Notes to Financial Statements. 14 portfolio of investments SMALL CAP VALUE FUND June 30, 2004 (unaudited) Value Shares (000s) ------ ------ COMMON STOCKS - 72.5% Consumer Discretionary - 7.5% Automobiles & Components - 1.1% 14,300 Tesma International Inc., Class A (F) $ 377 -------- Consumer Durables & Apparel - 2.3% 9,000 Kellwood Company 392 12,500 RC2 Corporation+ 443 -------- 835 -------- Media - 2.6% 13,800 Carmike Cinemas, Inc.+ 545 23,600 Reader's Digest Association, Inc. 377 -------- 922 -------- Retailing - 1.5% 27,200 Movie Gallery, Inc. 532 -------- Total Consumer Discretionary 2,666 -------- Consumer Staples - 7.0% Food & Staples Retailing - 1.4% 20,300 Fresh Del Monte Produce Inc. (F)** 513 -------- Food, Beverage & Tobacco - 1.1% 39,000 National Beverage Corporation 387 -------- Household & Personal Products - 4.5% 9,500 Central Garden & Pet Company+ 340 10,000 CSS Industries, Inc. 350 14,400 Del Laboratories, Inc.+ 447 12,800 Jarden Corporation+** 461 -------- 1,598 -------- Total Consumer Staples 2,498 -------- Energy - 10.2% 14,000 Berry Petroleum Company, Class A 412 18,300 Cimarex Energy Company+ 553 27,300 Comstock Resources, Inc.+ 531 18,400 Patina Oil & Gas Corporation 550 24,800 Plains Exploration & Production Company+ 455 15,800 St. Mary Land & Exploration Company 563 12,100 Stone Energy Corporation+ 553 -------- Total Energy 3,617 -------- Financials - 10.4% Banks - 6.8% 25,300 Dime Community Bancshares 442 22,600 Flagstar Bancorp, Inc.** 449 18,600 Harbor Florida Bancshares, Inc. 512 19,600 Oriental Financial Group Inc. 531 21,400 U.S.B. Holding Company, Inc. 490 -------- 2,424 -------- Value Shares (000s) ------ ------ Insurance - 3.6% 12,900 Navigators Group, Inc.+ $ 373 16,300 Stewart Information Services Corporation 550 30,500 Universal American Financial Corporation+ 335 -------- 1,258 -------- Total Financials 3,682 -------- Health Care - 3.4% Health Care Equipment & Services - 3.4% 10,600 Biosite Inc.+** 476 47,800 Gene Logic Inc.+ 194 20,600 Owens & Minor, Inc. 533 -------- Total Health Care 1,203 -------- Industrials - 17.6% Capital Goods - 6.6% 15,900 Cubic Corporation 333 17,900 DRS Technologies, Inc.+ 571 7,000 Esterline Technologies Corporation+ 207 23,000 Griffon Corporation+ 512 20,600 Lennox International Inc. 373 11,000 Triumph Group, Inc.+ 351 -------- 2,347 -------- Commercial Services & Supplies - 3.8% 26,200 Duratek Inc.+ 396 7,700 ESCO Technologies Inc.+ 411 102,000 PRG-Schultz International, Inc.+ 558 -------- 1,365 -------- Transportation - 7.2% 20,200 Alaska Air Group, Inc.+ 482 88,500 Atlantic Coast Airlines Holdings, Inc.+** 508 21,500 Dampskibsselskabet Torm A/S, ADR** 522 15,100 Genesee & Wyoming Inc., Class A+ 358 32,600 OMI Corporation 388 9,000 Stelmar Shipping Ltd. (F) 298 -------- 2,556 -------- Total Industrials 6,268 -------- Information Technology - 5.9% Computers & Peripherals - 1.8% 26,400 Hutchinson Technology Inc.+** 649 -------- Semiconductors & Semiconductor Equipment - 1.0% 16,400 DuPont Photomasks, Inc.+ 334 -------- Software - 3.1% 216,900 Atari, Inc.+ 523 85,300 Geac Computer Corporation Ltd. (F)+ 583 -------- 1,106 -------- Total Information Technology 2,089 -------- See Notes to Financial Statements. 15 portfolio of investments (continued) SMALL CAP VALUE FUND June 30, 2004 (unaudited) Value Shares (000s) ------ ------ COMMON STOCKS - (continued) Materials - 6.9% 17,300 Albemarle Corporation $ 548 16,600 Headwaters Inc.+ 431 18,900 Metal Management, Inc.+ 374 13,300 Quaker Chemical Corporation 367 62,400 Randgold Resources Ltd., ADR+ 550 11,300 Stillwater Mining Company+ 170 -------- Total Materials 2,440 -------- Telecommunication Services - 1.4% 29,300 Asia Satellite Telecommunications Holdings Ltd., Sponsored ADR 494 -------- Utilities - 2.2% 8,500 Energen Corporation 408 11,400 Suburban Propane Partners LP** 367 -------- Total Utilities 775 -------- Total Common Stocks (Cost $24,776) 25,732 -------- CANADIAN INCOME TRUSTS - 10.5% 32,300 Bonavista Energy Trust 555 51,500 Clean Power Income Fund 344 43,500 Connors Brothers Income Fund 535 11,200 Fording Canadian Coal Trust 472 40,000 Labrador Iron Ore Royalty Trust 515 19,700 Peyto Energy Trust** 441 34,500 TimberWest Forest Corporation 345 39,600 Vermilion Energy Trust 530 -------- Total Canadian Income Trusts (Cost $3,610) 3,737 -------- REAL ESTATE INVESTMENT TRUSTS - 6.6% 6,100 Alexandria Real Estate Equities, Inc. 346 23,400 Cedar Shopping Centers Inc. 269 14,300 Entertainment Properties Trust 511 58,400 Equity Inns Inc. 542 8,900 Sovran Self Storage, Inc. 340 33,000 Winston Hotels, Inc. 342 -------- Total Real Estate Investment Trusts (Cost $2,239) 2,350 -------- Contracts --------- PURCHASED PUT OPTIONS - 2.6% 1,100 iShares Russell 2000 Index, Expires January 2006 @ $95 506 3,100 Nasdaq 100 Index, Expires January 2006 @ $29 395 -------- Total Purchased Put Options (Cost $1,334) 901 -------- Principal Amount Value (000s) (000s) --------- ------ REPURCHASE AGREEMENT - 8.3% (Cost $2,926) $ 2,926 Agreement with Morgan Stanley, 1.290% dated 06/30/2004, to be repurchased at $2,926,000 on 07/01/2004 (Collateralized by U.S. Treasury Notes, having various interest rates and maturities, market value $2,973,000) $ 2,926 -------- SHORT-TERM INVESTMENT - 10.8% (Cost $3,841) 3,841 Mellon GLS DBT II Collateral Fund++ 3,841 -------- TOTAL INVESTMENTS (Cost $38,726*) 111.3% 39,487 OTHER ASSETS AND LIABILITIES (Net) (11.3) (4,001) ----- -------- NET ASSETS 100.0% $ 35,486 ===== ======== ================== * Aggregate cost for federal tax purposes. ** Some or all of these securities are on loan at June 30, 2004, and have an aggregate market value of $3,706,000, representing 10.4% of the total net assets of the Fund (Collateral Value $3,841,000). + Non-income producing security. ++ Represents investment purchased with cash collateral for securities loaned. - --------------------------------------------- GLOSSARY OF TERMS ADR - American Depository Receipt (F) - Foreign Shares - --------------------------------------------- 16 See Notes to Financial Statements. portfolio of investments SMALL CAP GROWTH FUND June 30, 2004 (unaudited) Value Shares (000s) ------ ----- COMMON STOCKS - 99.7% Consumer Discretionary - 13.9% Consumer Durables & Apparel - 1.1% 24,700 Quiksilver, Inc.+ $ 588 -------- Hotels, Restaurants & Leisure - 2.1% 70,100 Intrawest Corporation 1,118 -------- Media - 3.8% 112,000 aQuantive, Inc.+ 1,107 9,200 Getty Images, Inc.+** 552 121,500 NTN Communications, Inc.+ 381 -------- 2,040 -------- Retailing - 6.9% 33,700 AnnTaylor Stores Corporation+ 977 49,500 Building Materials Holding Corporation 937 33,600 Pacific Sunwear of California, Inc.+ 658 40,000 West Marine, Inc.+ 1,074 -------- 3,646 -------- Total Consumer Discretionary 7,392 -------- Consumer Staples - 4.3% Food & Staples Retailing - 4.3% 137,500 SunOpta Inc.+ 1,174 37,900 United Natural Foods, Inc.+ 1,096 -------- Total Consumer Staples 2,270 -------- Energy - 2.8% 121,800 Hydrogenics Corporation+ 595 144,600 Quantum Fuel Systems Technologies Worldwide, Inc.+ 879 -------- Total Energy 1,474 -------- Financials - 8.0% Banks - 1.2% 1,500 First Mutual Bancshares, Inc. 38 16,700 Frontier Financial Corporation 584 900 Pacific Continental Corporation 14 -------- 636 -------- Diversified Financials - 6.8% 20,650 Affiliated Managers Group, Inc.+** 1,040 38,808 American Capital Strategies Ltd. 1,087 46,200 First Albany Companies Inc. 464 24,300 Investors Financial Services Corporation** 1,059 -------- 3,650 -------- Total Financials 4,286 -------- Health Care - 22.3% Health Care Equipment & Services - 7.9% 26,700 Accredo Health, Inc.+ 1,040 Value Shares (000s) ------ ------ 30,300 Advanced Neuromodulation Systems, Inc.+ $ 994 31,600 Affymetrix, Inc.+** 1,034 48,200 SonoSite, Inc.+ 1,152 -------- 4,220 -------- Pharmaceuticals & Biotechnology - 14.4% 70,800 Antigenics Inc.+** 606 64,300 Cell Genesys, Inc.+ 668 139,800 Corixa Corporation+** 653 71,700 Dendreon Corporation+ 878 112,000 Emisphere Technologies, Inc.+ 459 22,200 Medicis Pharmaceutical Corporation, Class A 887 40,200 Myriad Genetics, Inc.+ 600 76,500 Neose Technologies, Inc.+ 637 76,000 Pain Therapeutics, Inc.+ 613 67,900 Pharmacyclics, Inc.+ 690 23,200 Sangamo BioSciences, Inc.+ 140 44,300 Zymogenetics, Inc.+ 842 -------- 7,673 -------- Total Health Care 11,893 -------- Industrials - 11.6% Commercial Services & Supplies - 11.6% 126,000 Digimarc Corporation+ 1,682 44,800 Euronet Worldwide, Inc.+ 1,036 219,400 Exult Inc.+** 1,180 48,577 First Consulting Group, Inc.+ 268 38,700 Gevity HR, Inc. 1,014 100,700 Wireless Facilities, Inc.+ 990 -------- Total Industrials 6,170 -------- Information Technology - 32.7% ++ Communications Equipment - 4.8% 52,900 InterDigital Communications Corporation+ 995 89,800 REMEC, Inc.+ 568 39,700 ViaSat, Inc.+ 990 -------- 2,553 -------- Computers & Peripherals - 0.8% 86,100 Immersion Corporation+ 411 -------- Electronic Equipment & Instruments - 3.8% 41,300 Microvision, Inc.+** 347 15,400 Photon Dynamics, Inc+ 540 41,600 Trimble Navigation Ltd.+ 1,156 -------- 2,043 -------- See Notes to Financial Statements. 17 portfolio of investments (continued) SMALL CAP GROWTH FUND June 30, 2004 (unaudited) Value Shares (000s) ------ ------ COMMON STOCKS - (continued) Information Technology - (continued) Internet Software & Services - 8.0% 39,200 Ariba, Inc.+** $ 78 164,600 Corillian Corporation+ 830 605,313 Intraware, Inc.+** 1,089 124,900 Online Resources Corporation+ 847 137,200 Primus Knowledge Solutions, Inc.+ 252 177,792 SumTotal Systems, Inc.+** 1,156 -------- 4,252 -------- IT Services - 1.8% 124,900 Lionbridge Technologies, Inc.+ 955 -------- Semiconductors & Semiconductor Equipment - 2.8% 20,420 FEI Company+ 488 39,800 Pixelworks, Inc.+** 610 15,800 Power Integrations, Inc.+ 393 -------- 1,491 -------- Software - 10.7% 12,400 ANSYS, Inc.+ 583 569,800 BSQUARE Corporation+ 570 55,842 NetIQ Corporation+ 737 110,500 Nuance Communications Inc.+ 504 207,100 ONYX Software Corporation+ 860 90,100 PDF Solutions, Inc.+ 763 233,400 ScanSoft, Inc.+ 1,155 66,500 SkillSoft PLC, ADR+ 505 -------- 5,677 -------- Total Information Technology 17,382 -------- Materials - 2.9% 45,500 Headwaters Inc.+ 1,180 249,000 Liquidmetal Technologies Inc.+** 353 -------- Total Materials 1,533 -------- Telecommunication Services - 1.2% 18,870 Gilat Satellite Networks Ltd.+ 109 104,600 Primus Telecommunications Group, Inc.+ 531 -------- Total Telecommunication Services 640 -------- Total Common Stocks (Cost $45,909) 53,040 -------- Principal Amount Value (000s) (000s) --------- ------ REPURCHASE AGREEMENT - 0.7% (Cost $343) $ 343 Agreement with Morgan Stanley, 1.290% dated 06/30/2004, to be repurchased at $343,000 on 07/01/2004 (Collateralized by U.S. Treasury Notes, having various interest rates and maturities, market value $349,000) $ 343 -------- SHORT-TERM INVESTMENT - 13.4% (Cost $7,129) 7,129 Mellon GLS DBT II Collateral Fund+++ 7,129 -------- TOTAL INVESTMENTS (Cost $53,381*) 113.8% 60,512 OTHER ASSETS AND LIABILITIES (Net) (13.8) (7,335) ----- -------- NET ASSETS 100.0% $ 53,177 ===== ======== ================== * Aggregate cost for federal tax purposes. ** Some or all of these securities are on loan at June 30, 2004, and have an aggregate market value of $6,456,000 representing 12.1% of the net assets of the Fund (Collateral Value $7,129,000). + Non-income producing security. ++ Investments in the Information Technology sector as of June 30, 2004 are 32.7% of the net assets of the Fund. +++ Represents investment purchased with cash collateral for securities loaned. - --------------------------------------------- GLOSSARY OF TERMS ADR - American Depository Receipt - --------------------------------------------- See Notes to Financial Statements. 18 portfolio of investments INTERNATIONAL GROWTH FUND June 30, 2004 (unaudited) Value Shares (000s) ------ ------ COMMON STOCKS - 95.4% Japan - 22.7% +++ 2,400 ACOM Company, Ltd. $ 156 3,500 Advantest Corporation 234 19,500 AEON Company Ltd. 783 1,230 Aiful Corporation 128 5,000 Canon Inc. 263 10,000 Dai Nippon Printing Company Ltd. 160 15,000 Daiwa House Industry Company Ltd. 174 31 East Japan Railway Company 174 5,700 FANUC Ltd. 340 38,000 Furukawa Electric Company Ltd.+ 162 2,900 Hirose Electric Company Ltd. 319 2,600 Honda Motor Company Ltd. 125 2,800 Hoya Corporation 293 25,000 Japan Airlines System Corporation+** 80 16,900 Kansai Electric Power Company Inc. 308 600 Keyence Corporation 137 25,000 Konica Minolta Holdings Inc. 345 2,000 Kyocera Corporation 170 43 Millea Holdings, Inc. 638 25,000 Mitsubishi Corporation 243 67,000 Mitsubishi Estate Company Ltd. 831 44,000 Mitsubishi Heavy Industries Ltd. 119 14,000 Mitsubishi Motors Corporation+** 23 59 Mitsubishi Tokyo Financial Group, Inc. 546 23,000 Mitsui Fudosan Company Ltd. 276 66,000 Mitsui Sumitomo Insurance Company Ltd. 620 3,300 Murata Manufacturing Company Ltd. 188 108,000 NEC Corporation 760 1,500 Nidec Corporation 154 27,000 Nikko Cordial Corporation 131 18,000 Nikon Corporation 203 2,900 Nintendo Company Ltd. 336 68,000 Nissan Motor Company Ltd. 756 5,800 Nitto Denko Corporation 297 13,000 Nomura Securities Company Ltd. 192 7,000 OMRON Corporation 164 5,500 ORIX Corporation 630 8,000 Ricoh Company, Ltd. 170 2,700 Rohm Company Ltd. 323 15,000 Sankyo Company Ltd. 325 31,000 Sekisui House Ltd. 344 1,600 Shimamura Company Ltd. 139 24,000 Shionogi & Company Ltd. 413 3,400 SMC Corporation 368 22,000 Sompo Japan Insurance Inc. 225 4,442 Sony Corporation 167 64,000 Sumitomo Chemical Company Ltd. 299 87 Sumitomo Mitsui Financial Group, Inc. 596 31,000 Suzuki Motor Corporation 546 6,800 Takeda Chemical Industries Ltd. 298 Value Shares (000s) ------ ------ 2,300 TDK Corporation $ 174 10,500 Tokyo Electron Ltd. 589 56,000 TOKYO GAS Company Ltd. 199 15,600 Toyota Motor Corporation 632 79 UFJ Holdings, Inc. 349 3,100 Unicharm Corporation 155 12 Yahoo! Japan Corporation+ 117 19,000 Yamato Transport Company Ltd. 310 -------- 18,196 -------- United Kingdom - 19.0% 7,400 Anglo American PLC 151 31,000 ARM Holdings PLC 68 38,600 AstraZeneca PLC 1,732 16,100 AstraZeneca PLC (F) 731 42,410 BAE SYSTEMS PLC 169 16,800 Barclays PLC 143 177,600 BG Group PLC 1,094 69,237 BHP Billiton PLC 601 12,900 Brambles Industries PLC** 50 58,800 Centrica PLC 239 30,300 Diageo PLC 409 4,400 GlaxoSmithKline PLC 89 43,600 HBOS PLC 540 51,400 HSBC Holdings PLC 764 15,600 Johnston Press PLC 160 20,200 Lloyds TSB Group PLC 158 65,900 National Grid Group PLC 509 49,000 Pearson PLC 595 17,300 Prudential PLC 149 5,500 Reckitt Benckiser PLC 156 45,500 Reed Elsevier PLC 442 10,500 Rio Tinto PLC 253 39,800 Royal Bank of Scotland Group PLC 1,146 23,900 Shell Transport & Trading Company PLC 175 45,180 Smiths Group PLC 612 31,000 Standard Chartered PLC 505 63,000 TI Automotive Ltd., Class A+ 0*** 52,700 Unilever PLC 517 1,203,498 Vodafone Group PLC 2,635 10,600 Wolseley PLC 164 20,000 Xstrata PLC** 267 -------- 15,223 -------- Netherlands - 10.1% 47,402 ABN AMRO Holding NV 1,037 76,193 AEGON NV 919 6,250 Heineken Holding NV, Class A 183 27,700 Heineken NV 910 24,631 ING Groep NV 581 125,800 Koninklijke (Royal) KPN NV 958 6,000 Koninklijke (Royal) Philips Electronics NV 162 5,300 Koninklijke Numico NV+ 170 See Notes to Financial Statements. 19 portfolio of investments (continued) INTERNATIONAL GROWTH FUND June 30, 2004 (unaudited) Value Shares (000s) ------ ------ COMMON STOCKS - (continued) Netherlands - (continued) 8,500 Reed Elsevier NV $ 119 39,300 Royal Dutch Petroleum Company 2,017 2,900 Royal Dutch Petroleum Company (F) 150 10,200 TPG NV 233 5,700 Unilever NV 389 8,449 VNU NV 246 -------- 8,074 -------- Switzerland - 9.8% 22,961 ABB Ltd.+ 125 2,862 Adecco SA 143 33,094 Compagnie Financiere Richemont AG, A Units 864 8,448 Credit Suisse Group+ 300 16,012 Holcim Ltd. 871 4,425 Nestle SA 1,180 33,065 Novartis AG 1,459 2,992 Roche Holding AG-Genusschein 296 245 Serono SA 154 13,603 Swiss Reinsurance Company 884 2,425 Swisscom AG 802 815 Syngenta AG+ 68 1,700 Synthes, Inc. 194 6,953 UBS AG 490 -------- 7,830 -------- France - 9.6% 8,800 Accor SA 371 1,600 Aventis SA 121 18,100 BNP Paribas SA 1,113 20,400 Bouygues SA++ 683 2,500 Carrefour SA 121 800 Compagnie Generale des Etablissements Michelin, Class B 44 4,100 Essilor International SA 268 1,600 France Telecom SA 42 6,600 Groupe Danone** 576 3,341 L'Air Liquide SA 552 3,900 L'Oreal SA 312 4,800 Renault SA 366 30,900 Sanofi-Synthelabo SA 1,959 4,900 Schneider Electric SA 334 2,500 Societe Generale Group 213 10,000 STMicroelectronics NV 219 1,300 STMicroelectronics NV (F) 29 14,400 Vivendi Universal SA+ 399 -------- 7,722 -------- Germany - 5.2% 4,400 Allianz AG 477 18,100 Bayerische Hypo-und Vereinsbank AG+ 322 5,600 Bayerische Motoren Werke (BMW) AG** 248 16,800 DaimlerChrysler AG 785 Value Shares (000s) ------ ------ 1,700 Deutsche Bank AG $ 134 5,546 Deutsche Boerse AG** 282 2,900 E.ON AG 209 17,900 Infineon Technologies AG+ 240 2,500 Metro AG 118 2,957 Muenchener Rueckversicherungs- Gesellschaft AG++ 321 1,600 SAP AG** 265 1,200 SAP AG, Sponsored ADR 50 7,300 Siemens AG 525 9,400 ThyssenKrupp AG 160 -------- 4,136 -------- Canada - 3.0% 16,200 Abitibi-Consolidated Inc. 111 8,500 Alcan Inc.** 350 92,600 Bombardier Inc., Class B++** 278 400 Great-West Lifeco Inc. 14 10,600 Inco Ltd. (F)+** 366 4,500 Manulife Financial Corporation 181 4,200 National Bank of Canada 135 6,500 Suncor Energy Inc. 165 9,700 TELUS Corporation** 146 20,900 Thomson Corporation** 694 -------- 2,440 -------- Spain - 2.6% 71,100 Banco Bilbao Vizcaya Argentaria SA 950 1,500 Iberdrola SA 32 23,700 Industria de Diseno Textil SA (Inditex) 544 39,990 Telefonica SA 591 -------- 2,117 -------- Australia - 2.0% +++ 26,000 Alumina Ltd. 96 27,700 Amcor Ltd. 135 18,545 Australia & New Zealand Banking Group Ltd. 236 12,772 BHP Billiton Ltd. 111 27,800 Brambles Industries Ltd. 116 37,212 Foster's Group Ltd. 122 23,600 Insurance Australia Group Ltd. 82 7,500 National Australia Bank Ltd. 156 28,800 Promina Group Ltd. 80 24,114 QBE Insurance Group Ltd. 215 3,600 Wesfarmers Ltd. 74 26,000 WMC Resources Ltd. 89 16,200 Woolworths Ltd. 129 -------- 1,641 -------- Hong Kong - 1.7% +++ 19,000 Cheung Kong Holdings Ltd. 140 29,000 Esprit Holdings Ltd.++ 130 176,500 Hang Lung Properties Ltd. 227 10,600 Hang Seng Bank Ltd. 136 See Notes to Financial Statements. 20 portfolio of investments (continued) INTERNATIONAL GROWTH FUND June 30, 2004 (unaudited) Value Shares (000s) ------ ------ COMMON STOCKS - (continued) Hong Kong - (continued) 31,000 Hongkong Land Holdings Ltd. $ 48 144,000 Johnson Electric Holdings Ltd. 147 170,000 Li & Fung Ltd. 248 18,000 Sung Hung Kai Properties Ltd. 148 20,500 Swire Pacific Ltd., Class A 133 -------- 1,357 -------- Singapore - 1.5% +++ 19,000 DBS Group Holdings Ltd. 159 15,500 Singapore Press Holdings Ltd. 38 669,000 Singapore Telecommunications Ltd. (F)++ 876 21,000 United Overseas Bank Ltd. 163 -------- 1,236 -------- Norway - 1.3% 20,700 DnB Holding ASA 141 4,000 Norsk Hydro ASA** 260 5,100 Norske Skogindustrier ASA 91 39,300 Statoil ASA 499 9,200 Yara International ASA+ 74 -------- 1,065 -------- Sweden - 1.1% 24,700 Assa Abloy AB, B Shares** 316 20,000 ForeningsSparbanken AB** 382 5,200 Scania AB, Class B 177 -------- 875 -------- Italy - 0.9% 22,950 Eni SpA** 456 55,000 UniCredito Italiano SpA** 271 -------- 727 -------- South Korea - 0.8% +++ 1,565 Samsung Electronics Company Ltd. 646 -------- Finland - 0.8% 28,100 Nokia Oyj 405 12,600 UPM-Kymmene Oyj 240 -------- 645 -------- Denmark - 0.7% 6,300 Novo Nordisk A/S, Class B 324 7,200 TDC A/S 234 -------- 558 -------- Mexico - 0.6% 8,100 America Movil SA de CV, Series L, ADR 295 4,700 Telefonos de Mexico SA de CV, Class L, Sponsored ADR 156 -------- 451 -------- Value Shares (000s) ------ ------ Taiwan - 0.5% +++ 51,396 Taiwan Semiconductor Manufacturing Company Ltd., Sponsored ADR $ 427 -------- Ireland - 0.3% 12,585 CRH PLC 266 -------- Russia - 0.3% 6,200 YUKOS, ADR 197 -------- Brazil - 0.2% 5,000 Companhia Vale do Rio Doce, Sponsored ADR 196 -------- India - 0.2% 1,900 Infosys Technologies Ltd., Sponsored ADR 176 -------- Austria - 0.2% 1,000 Erste Bank der oesterreichischen Sparkassen AG 157 -------- Belgium - 0.2% 13,600 SES GLOBAL, FDR 115 600 UCB Group SA 28 -------- 143 -------- South Africa - 0.1% 2,400 Sasol Ltd. 37 -------- Total Common Stocks (Cost $65,496) 76,538 -------- CONVERTIBLE PREFERRED STOCKS - 0.8% Japan - 0.8% +++ 6,000,000 Sumitomo Mitsui Finance Group Inc. (F), Conv. Pfd., 2.250% due 07/11/2005 132 24,000,000 Sumitomo Mitsui Finance Group Inc. (F), Conv. Pfd., 2.250% due 07/11/2005++ 530 -------- Total Convertible Preferred Stocks (Cost $279) 662 -------- PREFERRED STOCKS - 0.2% Australia - 0.1% +++ 15,864 News Corporation Ltd. 130 -------- South Korea - 0.1% +++ 210 Samsung Electronics Company Ltd. 55 -------- Total Preferred Stocks (Cost $140) 185 -------- See Notes to Financial Statements. 21 portfolio of investments (continued) INTERNATIONAL GROWTH FUND June 30, 2004 (unaudited) Principal Amount Value (000s) (000s) --------- ------ CONVERTIBLE BONDS - 0.1% (Cost $66) Switzerland - 0.1% $ 95 Credit Suisse Group Financial, Conv. Jr. Bond, 6.000% due 12/23/2005 $ 100 -------- REPURCHASE AGREEMENT - 3.5% (Cost $2,762) 2,762 Agreement with Morgan Stanley, 1.290% dated 06/30/2004, to be repurchased at $2,762,000 on 07/01/2004 (Collateralized by U.S. Treasury Notes, having various interest rates and maturities, market value $2,806,000) 2,762 -------- SHORT-TERM INVESTMENT - 5.1% (Cost $4,105) 4,105 Mellon GSL DBT II Collateral Fund++++ 4,105 -------- TOTAL INVESTMENTS (Cost $72,848*) 105.1% 84,352 OTHER ASSETS AND LIABILITIES (Net) (5.1) (4,085) ----- -------- NET ASSETS 100.0% $ 80,267 ===== ======== ================== * Aggregate cost for federal tax purposes. ** Some or all of these securities are on loan at June 30, 2004, and have an aggregate market value of $3,814,000, representing 4.8% of the net assets of the Fund (Collateral Value $4,105,000). *** Value of security is $0. + Non-income producing security. ++ Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. +++ Investments in the areas of the Pacific Rim as of June 30, 2004 are 30.3% of the net assets of the Fund. ++++ Represents investment purchased with cash collateral for securities loaned. As of June 30, 2004, sector diversification is as follows: % of Value Sector Diversification Net Assets (000s) ---------------------- ---------- ------ COMMON STOCKS: Banks 13.9% $ 11,242 Pharmaceuticals & Biotechnology 9.9 7,929 Telecommunication Services 9.2 7,418 Materials 6.7 5,352 Energy 6.3 5,050 Insurance 6.0 4,805 Food, Beverage & Tobacco 5.6 4,456 Capital Goods 4.9 3,915 Automobiles & Components 4.4 3,525 Semiconductors & Semiconductor Equipment 3.9 3,142 Media 3.5 2,808 Consumer Durables & Apparel 3.1 2,522 Diversified Financials 2.8 2,233 Retailing 2.5 1,996 Real Estate Investment Trusts 2.1 1,670 Utilities 1.9 1,496 Electronic Equipment & Instruments 1.8 1,435 Commercial Services & Supplies 1.1 902 Transportation 1.0 797 Other 4.8 3,845 ----- -------- TOTAL COMMON STOCKS 95.4 76,538 CONVERTIBLE PREFERRED STOCKS 0.8 662 PREFERRED STOCKS 0.2 185 CONVERTIBLE BONDS 0.1 100 REPURCHASE AGREEMENT 3.5 2,762 SHORT-TERM INVESTMENTS 5.1 4,105 ----- -------- TOTAL INVESTMENTS 105.1 84,352 OTHER ASSETS AND LIABILITIES (Net) (5.1) (4,085) ----- -------- NET ASSETS 100.0% $ 80,267 ===== ======== See Notes to Financial Statements. 22 portfolio of investments (continued) INTERNATIONAL GROWTH FUND June 30, 2004 (unaudited) SCHEDULE OF FORWARD FOREIGN CURRENCY CONTRACTS Forward Foreign Currency Contracts To Buy Contracts to Receive (000s) -------------------------------- Net Unrealized Expiration Local Value in In Exchange Appreciation Date Currency U.S. $ for U.S. $ of Contracts - ---------- --------- -------- ----------- ------------ 07/01/2004 EUR 78 95 95 $ -**** 07/02/2004 EUR 9 10 10 -**** 07/02/2004 EUR 48 59 59 -**** 07/20/2004 CAD 657 490 485 5 -------- $ 5 -------- Forward Foreign Currency Contracts To Sell Contracts to Deliver (000s) --------------------------------------- Net Unrealized Appreciation/ Expiration Local Value in In Exchange (Depreciation) Date Currency U.S. $ for U.S. $ of Contracts - ---------- --------------- -------- ------------ -------------- 07/01/2004 JPY 1,639 15 15 $ -**** 07/02/2004 JPY 10,435 95 96 - 07/06/2004 JPY 3,307 30 30 -**** 07/20/2004 JPY 52,664 483 485 2 08/06/2004 CAD 652 486 475 (11) 08/12/2004 CHF 169 135 130 (5) 08/25/2004 CHF 707 566 555 (11) 09/07/2004 CHF 881 705 706 1 09/07/2004 JPY 28,563 263 258 (5) ---------- $ (28) ---------- Net Unrealized Depreciation of Forward Foreign Currency Contracts $ (23) ========== ================== **** Amount represents less than $500. - ------------------------------------------------- GLOSSARY OF TERMS ADR - American Depository Receipt CAD - Canadian Dollar CHF - Swiss Franc EUR - EURO (F) - Foreign Shares FDR - Fiduciary Depository Receipt JPY - Japanese Yen - ------------------------------------------------- See Notes to Financial Statements. 23 portfolio of investments SHORT TERM INCOME FUND Principal Amount Value (000s) (000s) --------- ------ CORPORATE BONDS AND NOTES - 66.6% Financial Services - 12.0% $ 1,000 Berkshire Hathaway Inc. Note, 3.375% due 10/15/2008 $ 972 CIT Group Inc., Sr. Note: 1,000 7.375% due 04/02/2007 1,095 500 7.625% due 08/16/2005 527 500 Goldman Sachs Group, Inc., Note, 4.125% due 01/15/2008 502 Household Finance Corporation, Note: 1,500 5.750% due 01/30/2007 1,577 250 7.875% due 03/01/2007 276 1,500 Rollins Truck Leasing Corporation, Deb., 8.375% due 02/15/2007 1,676 -------- 6,625 -------- Real Estate Investment Trusts/Property - 9.9% 1,000 CPG Partners LP, Note, 3.500% due 03/15/2009 943 750 Developers Diversified Realty Corporation, Sr. Note, 6.625% due 01/15/2008 801 800 Duke-Weeks Realty Corporation, Note, 7.375% due 08/01/2007 885 600 EOP Operating LP, Note, 7.750% due 11/15/2007 666 1,000 Health Care Property Investors Inc., Note, 6.875% due 06/08/2005 1,034 1,000 Nationwide Health Properties Inc., Note, 9.750% due 03/20/2008 1,141 -------- 5,470 -------- Banks - 9.8% 750 Capital One Bank, Sr. Note, 8.250% due 06/15/2005 786 1,000 Fifth Third Bank, Note, 2.700% due 01/30/2007 986 1,000 J.P. Morgan Chase & Company, Note, 5.350% due 03/01/2007 1,049 1,500 MBNA America Bank N.A., Note, 6.500% due 06/20/2006 1,589 1,000 U.S. Bank N.A., Note, 2.850% due 11/15/2006 999 -------- 5,409 -------- Consumer Products/Services - 4.6% 1,000 Carnival Corporation, Company Guarantee, 3.750% due 11/15/2007 990 1,000 PHH Corporation, Note, 6.000% due 03/01/2008 1,057 500 Sealed Air Corporation, Conv. Sr. Note, 3.000% due 06/30/2033** 513 -------- 2,560 -------- Utilities - 4.5% 1,000 Constellation Energy Group, Inc., Note, 6.350% due 04/01/2007 1,064 Principal Amount Value (000s) (000s) --------- ------ $ 350 Pacific Gas & Electric Company, First Mortgage, 3.600% due 03/01/2009 $ 337 350 Sempra Energy, Note, 4.750% due 05/15/2009 353 750 Texas-New Mexico Power Company, Sr. Note, 6.250% due 01/15/2009 753 -------- 2,507 -------- Telecommunications - 4.2% 750 Deutsche Telekom International Finance BV, Company Guarantee, 8.250% due 06/15/2005 789 500 TELUS Corporation, Note, 7.500% due 06/01/2007 545 1,000 Verizon Global Funding Corporation, Note, 4.000% due 01/15/2008 1,002 -------- 2,336 -------- Cable TV - 4.2% 1,250 AOL Time Warner Inc., Note, 6.150% due 05/01/2007 1,325 1,000 Cox Enterprises, Inc., Note, 4.375% due 05/01/2008** 997 -------- 2,322 -------- Food - 3.8% 1,000 ConAgra Inc., Sr. Note, 9.875% due 11/15/2005 1,087 1,000 Safeway Inc., Sr. Note, 6.150% due 03/01/2006 1,046 -------- 2,133 -------- Auto Manufacturing & Parts - 3.8% 1,000 Ford Motor Credit Company, Note, 6.500% due 01/25/2007 1,051 1,000 Toyota Motor Credit Corporation, Note, 5.650% due 01/15/2007 1,053 -------- 2,104 -------- Airlines - 3.7% 2,000 Southwest Airlines Company, Pass-thru Certificates, 5.496% due 11/01/2006 2,074 -------- Information Technology - 1.9% 1,000 Computer Science Corporation, Note, 6.750% due 06/15/2006 1,066 -------- Gaming - 1.8% 1,000 Harrah's Operating Company, Inc., Note, 5.500% due 07/01/2010** 1,006 -------- Paper/Forest Products - 1.0% 500 Weyerhaeuser Company, Note, 6.000% due 08/01/2006 526 -------- See Notes to Financial Statements. 24 portfolio of investments (continued) SHORT TERM INCOME FUND June 30, 2004 (unaudited) Principal Amount Value (000s) (000s) --------- ------ CORPORATE BONDS AND NOTES - (continued) Aerospace/Defense - 0.9% $ 500 Boeing Capital Corporation, Sr. Note, 5.650% due 05/15/2006 $ 526 -------- Retail - 0.5% 250 Federated Department Stores Inc., Bond, 6.790% due 07/15/2027 256 -------- Total Corporate Bonds and Notes (Cost $35,900) 36,920 -------- ASSET-BACKED SECURITIES - 4.1% 750 Atlantic City Electric Transition Funding LLC, Series 2003-1, Class A, 2.890% due 07/20/2011 740 1,000 Capital One Multi-Asset Execution Trust, Series 2003-A6, Class A6, 2.950% due 08/17/2009 994 160 FFCA Secured Lending Corporation, Series 1999-2, Class WA1A, 7.130% due 05/18/2026** 162 Green Tree Financial Corporation: 250 Series 1995-1, Class B2, (in default), 9.200% due 06/15/2025 46 80 Series 1995-6, Class B1, 7.700% due 09/15/2026 51 101 Green Tree Home Improvement, Series 1995-D, Class B2, 7.450% due 09/15/2025 102 150 Mid-State Trust, Series 4, Class A, 8.330% due 04/01/2030 162 -------- Total Asset-Backed Securities (Cost $2,507) 2,257 -------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 3.8% Federal National Mortgage Association (FNMA) - 1.3% 359 6.500% due 01/01/2014 381 284 8.000% due 05/01/2027 312 36 8.500% due 11/01/2017 40 -------- Total FNMA (Cost $683) 733 -------- Adjustable Rate Mortgage-Backed Securities (ARMS) - 1.1% 25 Federal Home Loan Mortgage Corporation (FHLMC), 3.302% due 11/01/2021+ Federal National Mortgage Association (FNMA): 2 3.211% due 11/01/2022+ 2 10 3.250% due 11/01/2021+ 10 13 4.491% due 01/01/2019+ 13 499 4.643% due 11/01/2032+ 501 28 4.681% due 11/01/2035+ 29 11 5.575% due 04/01/2019+ 11 -------- Total ARMS (Cost $607) 591 -------- Principal Amount Value (000s) (000s) --------- ------ Federal Home Loan Mortgage Corporation (FHLMC) - 0.8% $ 387 6.000% due 05/01/2017 $ 404 28 9.500% due 08/01/2016 32 -------- Total FHLMC (Cost $421) 436 -------- Government National Mortgage Association (GNMA) - 0.6% 44 8.000% due 06/15/2009-08/15/2012 47 37 9.000% due 12/15/2020-04/20/2025 42 216 10.000% due 12/15/2017-04/15/2025 243 18 11.000% due 12/15/2015 19 -------- Total GNMA (Cost $335) 351 -------- Total U.S. Government Agency Mortgage-Backed Securities (Cost $2,046) 2,111 -------- U.S. GOVERNMENT AGENCY OBLIGATION - 1.8% (Cost $997) 1,000 Federal Home Loan Mortgage Corporation, Bond, 3.250% due 02/25/2008 980 -------- U.S. TREASURY NOTES - 2.7% 1,000 2.000% due 05/15/2006 989 500 6.000% due 08/15/2004 503 -------- Total U.S. Treasury Notes (Cost $1,501) 1,492 -------- COLLATERALIZED MORTGAGE OBLIGATIONS (CMO) - 4.6% Federal Home Loan Mortgage Corporation: 226 Series 2541, Class LU, 4.000% due 12/15/2027 227 1,000 Series 2552, Class KB, 4.250% due 06/15/2027 997 1,380 Government National Mortgage Association, Series 2002-70, Class PA, 4.500% due 08/20/2032 1,339 -------- Total CMO (Cost $2,613) 2,563 -------- COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) - 0.8% (Cost $433) 434 GMAC Commercial Mortgage Securities Inc., Series 1999-CTL1, Class A, 7.151% due 02/15/2008** 461 -------- See Notes to Financial Statements. 25 portfolio of investments (continued) SHORT TERM INCOME FUND June 30, 2004 (unaudited) Principal Amount Value (000s) (000s) --------- ------ REPURCHASE AGREEMENT - 14.7% (Cost $8,119) $ 8,119 Agreement with Morgan Stanley, 1.290% dated 06/30/2004, to be repurchased at $8,119,000 on 07/01/2004 (Collateralized by U.S. Treasury Notes, having various interest rates and maturities, market value $8,250,000) $ 8,119 -------- TOTAL INVESTMENTS++ (Cost $54,116*) 99.1% 54,903 OTHER ASSETS AND LIABILITIES (Net) 0.9 525 ----- -------- NET ASSETS 100.0% $ 55,428 ===== ======== ================== * Aggregate cost for federal tax purposes. ** Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. + Variable rate security. The interest rate shown reflects the rate in effect at June 30, 2004. ++ All securities segregated as collateral for futures contracts. Unrealized Number of Value Depreciation Contracts (000s) (000s) --------- ------ ------------ Futures Contracts-Short Position 35 U.S. 5 Year Treasury Note, September 2004 $ 3,804 $ (28) ======== See Notes to Financial Statements. 26 portfolio of investments U.S. GOVERNMENT SECURITIES FUND June 30, 2004 (unaudited) Principal Amount Value (000s) (000s) --------- ------ U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 62.1% Federal Home Loan Mortgage Corporation (FHLMC) - 31.8% $ 3,741 4.000% due 08/01/2018 $ 3,571 7,519 4.500% due 04/01/2018-08/01/2033 7,271 23,497 5.000% due 04/01/2018-05/01/2034 22,830 24,323 5.500% due 12/01/2008-01/01/2034 24,360 15,912 6.000% due 01/01/2013-05/01/2034 16,369 6,754 6.500% due 11/01/2016-01/01/2032 7,089 3,123 7.000% due 04/01/2008-04/01/2032 3,305 202 7.500% due 02/01/2031 218 184 8.000% due 07/01/2007-12/01/2030 196 172 8.500% due 07/01/2029 188 85 8.750% due 01/01/2013 90 -------- Total FHLMC (Cost $86,360) 85,487 -------- Federal National Mortgage Association (FNMA) - 22.4% 3,260 4.500% due 12/01/2018 3,197 11,062 5.000% due 04/01/2018-02/01/2019 11,117 15,811 5.500% due 01/01/2017-04/01/2034 15,951 10,828 6.000% due 12/01/2016-02/01/2034 11,156 13,762 6.500% due 09/01/2024-02/01/2033** 14,390 2,238 7.000% due 08/01/2028-11/01/2031 2,370 336 7.500% due 11/01/2029 364 786 8.000% due 05/01/2022-09/01/2027 860 544 8.500% due 02/01/2023-10/01/2027 598 273 9.000% due 09/01/2030 300 -------- Total FNMA (Cost $60,541) 60,303 -------- Government National Mortgage Association (GNMA) - 7.9% 10,817 5.500% due 07/20/2033-03/20/2034 10,814 5,030 6.000% due 02/20/2029-07/20/2033 5,168 3,028 6.500% due 03/20/2031-04/20/2034 3,164 819 7.000% due 01/15/2028-06/20/2031 873 783 7.500% due 01/15/2023-11/15/2023 852 134 7.750% due 12/15/2029 146 288 8.000% due 07/15/2026-06/20/2030 315 -------- Total GNMA (Cost $21,286) 21,332 -------- Total U.S. Government Agency Mortgage-Backed Securities (Cost $168,187) 167,122 -------- COLLATERALIZED MORTGAGE OBLIGATIONS (CMO) - 16.2% 1,951 Banc of America Mortgage Securities, Inc., Pass-through Certificates, Series 2004-4, Class 2A1, 5.500% due 05/25/2034 1,941 Credit Suisse First Boston Mortgage Securities Corporation, Pass-through Certificates: 3,656 Series 2003-08, Class 1A1, 5.750% due 04/25/2033 3,634 4,000 Series 2003-11, Class 1A3, 4.500% due 06/25/2033 4,059 Principal Amount Value (000s) (000s) --------- ------ Federal Home Loan Mortgage Corporation: $ 4,500 Series 2449, Class ND, 6.500% due 05/15/2030 $ 4,743 1,382 Series 2551, Class QK, 5.500% due 01/15/2033 1,351 2,692 Series 2575, Class LM, 4.500% due 05/15/2032 2,657 Federal National Mortgage Association: 3,000 Grantor Trust, Series 2000-T5, Class B, 7.300% due 05/25/2010 3,395 3,500 Series 2002-16, Class TM, 7.000% due 04/25/2032 3,665 Federal National Mortgage Association, REMIC, Pass-through Certificates: 61 Series 1989-90, Class E, 8.700% due 12/25/2019 66 1,302 Series 1992-55, Class DZ, 8.000% due 04/25/2022 1,387 454 Government National Mortgage Association, Series 2000-16, Class PB, 7.500% due 02/16/2028 465 4,000 GSR Mortgage Loan Trust, Pass-through Certificates, Series 2003-4F, Class 2A3, 5.000% due 05/25/2033 4,045 3,000 Residential Funding Mortgage Security, Series 2003-S20, Class 1A4, 5.500% due 12/25/2033 2,938 Vendee Mortgage Trust: 3,853 Series 2000-2, Class G, 7.500% due 10/15/2009 3,999 5,000 Series 2000-3, Class 2H, 7.500% due 11/15/2014 5,260 -------- Total CMO (Cost $43,573) 43,605 -------- U.S. GOVERNMENT AGENCY OBLIGATIONS - 4.6% Federal Home Loan Bank, Bond: 2,000 4.500% due 09/16/2013 1,918 2,000 5.125% due 03/06/2006 2,077 2,500 6.500% due 08/14/2009 2,763 3,000 7.375% due 02/12/2010 3,445 2,000 Housing Urban Development, Government Guarantee, Series 99-A, 6.160% due 08/01/2011 2,098 -------- Total U.S. Government Agency Obligations (Cost $11,771) 12,301 -------- U.S. TREASURY OBLIGATIONS - 8.4% U.S. Treasury Notes - 7.7% 3,000 4.000% due 02/15/2014 2,860 2,000 4.250% due 11/15/2013 1,947 3,000 4.375% due 05/15/2007 3,102 5,000 4.750% due 05/15/2014 5,054 3,000 5.000% due 08/15/2011 3,133 2,000 5.750% due 08/15/2010 2,181 2,000 5.875% due 11/15/2004 2,032 350 6.250% due 02/15/2007 378 -------- 20,687 -------- See Notes to Financial Statements. 27 portfolio of investments (continued) U.S. GOVERNMENT SECURITIES FUND June 30, 2004 (unaudited) Principal Amount Value (000s) (000s) --------- ------ U.S. TREASURY OBLIGATIONS - (continued) U.S. Treasury Bonds - 0.7% $ 1,300 6.250% due 08/15/2023 $ 1,440 300 12.750% due 11/15/2010 342 -------- 1,782 -------- Total U.S. Treasury Obligations (Cost $22,358) 22,469 -------- Principal Amount Value (000s) (000s) --------- ------ REPURCHASE AGREEMENT - 9.7% (Cost $26,078) $ 26,078 Agreement with Morgan Stanley, 1.290% dated 06/30/2004, to be repurchased at $26,079,000 on 07/01/2004 (Collateralized by U.S. Treasury Notes, having various interest rates and maturities, market value $26,497,000) $ 26,078 -------- TOTAL INVESTMENTS+ (Cost $271,967*) 101.0% 271,575 OTHER ASSETS AND LIABILITIES (Net) (1.0) (2,574) ----- -------- NET ASSETS 100.0% $269,001 ===== ======== ================== * Aggregate cost for federal tax purposes. ** A portion of these securities has been purchased on a when-issued basis. + All securities segregated as collateral for when-issued securities. - -------------------------------------------------------- GLOSSARY OF TERMS REMIC - Real Estate Mortgage Investment Conduit - -------------------------------------------------------- See Notes to Financial Statements. 28 portfolio of investments INCOME FUND June 30, 2004 (unaudited) Principal Amount Value (000s) (000s) --------- ------ CORPORATE BONDS AND NOTES - 70.1% Financial Services/Banks - 10.6% $ 1,000 Abbey National PLC, Sub. Note, 6.690% due 10/17/2005 $ 1,050 500 American General Corporation, Note, 7.500% due 07/15/2025 581 400 Banc One Corporation, Sub. Note, 10.000% due 08/15/2010 505 1,000 Bank of America Corporation, Sub. Note, 7.800% due 02/15/2010 1,151 500 CIT Group Inc., Sr. Note, 7.750% due 04/02/2012 571 3,000 Citigroup, Inc., Note, 6.500% due 01/18/2011 3,278 2,500 Goldman Sachs Group, Inc., Bond, 6.875% due 01/15/2011 2,748 1,000 Hartford Life Insurance Company, Deb., 7.650% due 06/15/2027 1,170 1,500 Jefferies Group, Inc., Sr. Note, 7.750% due 03/15/2012 1,702 1,000 Legg Mason, Inc., Sr. Note, 6.750% due 07/02/2008 1,085 2,000 Merrill Lynch & Company Inc., Note, 6.000% due 02/17/2009 2,128 1,500 Morgan Stanley Dean Witter & Company, Note, 6.750% due 04/15/2011 1,646 1,100 NCNB Corporation, Sub. Note, 9.375% due 09/15/2009 1,342 2,250 Wells Fargo & Company, Sub. Note, 4.625% due 04/15/2014 2,123 -------- 21,080 -------- Oil & Gas - 9.0% 1,200 ANR Pipeline Company, Deb., 9.625% due 11/01/2021 1,350 1,750 Consolidated Natural Gas Company, Sr. Note, 6.850% due 04/15/2011 1,919 2,500 El Paso Natural Gas Company, Deb., 7.500% due 11/15/2026 2,300 1,000 Enterprise Products Partners LP, Company Guarantee, 6.375% due 02/01/2013 992 1,423 Express Pipeline LP, Sub. Note, 7.390% due 12/31/2017** 1,430 2,000 PDVSA Finance Ltd., Note, 8.500% due 11/16/2012 2,090 Petro-Canada: 500 Deb., 9.250% due 10/15/2021 648 1,000 Note, 4.000% due 07/15/2013 895 2,500 Petrobras International Finance Company, Sr. Note, 9.750% due 07/06/2011 2,725 1,000 Southern Natural Gas Company, Sr. Note, 8.000% due 03/01/2032 945 500 Tesoro Petroleum Corporation, Note, 8.000% due 04/15/2008 537 Principal Amount Value (000s) (000s) --------- ------ $ 500 Trans-Canada Pipeline Corporation, Deb., 8.500% due 03/20/2023 $ 518 1,500 XTO Energy Inc., Sr. Note, 6.250% due 04/15/2013 1,563 -------- 17,912 -------- Transportation/Auto - 7.5% 2,000 Burlington Northern Santa Fe Corporation, Deb., 8.125% due 04/15/2020 2,379 1,000 Consolidated Rail Corporation, Deb., 9.750% due 06/15/2020 1,345 346 Continental Airlines Inc., Pass-through Certificates, Series 1997-4C, 6.800% due 07/02/2007 295 400 Ford Holdings Inc., Company Guarantee, 9.300% due 03/01/2030 442 250 Ford Motor Company, Deb., 8.900% due 01/15/2032 273 2,000 Ford Motor Credit Company, Note, 7.375% due 10/28/2009 2,137 1,000 General Motors Corporation, Deb., 9.400% due 07/15/2021 1,127 Norfolk Southern Corporation: 1,000 Bond, 7.800% due 05/15/2027 1,162 2,500 Sr. Note, 6.200% due 04/15/2009 2,679 2,000 Southwest Airlines Company, Pass-through Certificates, Series A-4, 9.150% due 07/01/2016 2,370 1,300 United Air Lines Inc., Pass-through Certificates, (in default), 9.560% due 10/19/2018 666 -------- 14,875 -------- Consumer Products/Services - 7.3% 1,750 Carnival Corporation, Deb., 7.200% due 10/01/2023 1,856 1,000 Cendant Corporation, Note, 6.875% due 08/15/2006 1,069 2,500 ConAgra, Inc., Sr. Note, 7.125% due 10/01/2026 2,764 Mattel, Inc., Note: 500 6.125% due 07/15/2005 513 1,000 7.300% due 06/13/2011 1,105 1,500 Reed Elsevier Capital Inc., Company Guarantee, 6.750% due 08/01/2011 1,661 1,000 Royal Caribbean Cruises Ltd., Sr. Note, 8.000% due 05/15/2010 1,083 Sealed Air Corporation: 1,000 Company Guarantee, 8.750% due 07/01/2008** 1,146 1,500 Conv. Sr. Note, 3.000% due 06/30/2033** 1,539 1,500 Waste Management Inc., Sr. Note, 7.375% due 08/01/2010 1,688 -------- 14,424 -------- See Notes to Financial Statements. 29 portfolio of investments (continued) INCOME FUND June 30, 2004 (unaudited) Principal Amount Value (000s) (000s) --------- ------ CORPORATE BONDS AND NOTES - (continued) Telecommunications - 6.4% $ 4,000 Deutsche Telekom International Finance BV, Company Guarantee, 8.500% due 06/15/2010 $ 4,680 1,700 Northern Telecom Capital Inc., Company Guarantee, 7.400% due 06/15/2006 1,742 2,000 Qwest Corporation, Note, 8.875% due 03/15/2012** 2,170 500 Tele-Communications, Inc., Sr. Deb., 7.875% due 08/01/2013 571 1,000 TELUS Corporation, Note, 8.000% due 06/01/2011 1,138 2,000 Vodafone Group PLC, Note, 7.750% due 02/15/2010 2,296 -------- 12,597 -------- Utilities - 5.1% 1,500 Arizona Public Service Company, Note, 6.500% due 03/01/2012 1,605 1,850 Illinois Power Company, First Mortgage, 7.500% due 06/15/2009 2,030 1,000 Metropolitan Edison Company, Sr. Note, 4.950% due 03/15/2013 954 2,250 Pacific Gas & Electric Company, First Mortgage, 4.200% due 03/01/2011 2,146 500 Public Service Company of New Mexico, Sr. Note, 4.400% due 09/15/2008 499 1,500 Southwestern Electric Power Company, Note, 5.375% due 04/15/2015 1,457 1,500 Texas-New Mexico Power Company, Sr. Note, 6.250% due 01/15/2009 1,507 -------- 10,198 -------- Health Care - 5.0% 1,500 Aetna Inc., Sr. Note, 7.375% due 03/01/2006 1,599 2,000 Cardinal Health, Inc., Note, 6.750% due 02/15/2011 2,209 DVI, Inc., Sr. Note, (in default): 400 9.875% due 02/01/2004++ 78 900 9.875% due 02/01/2004++ 176 2,000 HCA Inc., Sr. Note, 8.750% due 09/01/2010 2,287 250 HIH Capital Ltd., Conv. Note, 7.500% due 09/25/2006 220 750 IVAX Corporation, Conv. Sr. Sub. Note, 4.500% due 05/15/2008 746 3,000 Tenet Healthcare Corporation, Sr., Note 6.375% due 12/01/2011 2,640 -------- 9,955 -------- Principal Amount Value (000s) (000s) --------- ------ REAL ESTATE INVESTMENT TRUSTS - 4.9% $ 1,000 Developers Diversified Realty Corporation, Note, 4.625% due 08/01/2010 $ 961 2,000 Health Care Property Investors, Inc., Note, 6.000% due 03/01/2015 2,012 2,500 Healthcare Realty Trust, Inc., Sr. Note, 8.125% due 05/01/2011 2,878 Nationwide Health Properties Inc., Note: 1,000 7.060% due 12/05/2006 1,061 2,500 9.750% due 03/20/2008 2,851 -------- 9,763 -------- Media - 3.2% 1,500 Comcast Cable Communications Inc., Sr. Note, 7.125% due 06/15/2013 1,642 2,500 Cox Communications Inc., Note, 7.875% due 08/15/2009 2,838 1,200 News America Holdings Inc., Sr. Deb., 8.000% due 10/17/2016 1,421 300 Time Warner Inc., Deb., 9.150% due 02/01/2023 372 -------- 6,273 -------- Information Technology - 2.7% 1,000 BEA Systems Inc., Conv. Sub. Note, 4.000% due 12/15/2006 989 2,500 Conexant Systems Inc., Conv. Sub. Note, 4.000% due 02/01/2007 2,406 1,000 Extreme Networks, Inc., Conv. Sub. Note, 3.500% due 12/01/2006 966 1,000 TriQuint Semiconductor, Inc., Conv. Sub. Note, 4.000% due 03/01/2007 963 -------- 5,324 -------- Gaming - 2.5% 500 Harrah's Operating Company Inc., Company Guarantee, 8.000% due 02/01/2011 565 2,000 Park Place Entertainment Corporation, Sr. Note, 7.500% due 09/01/2009 2,115 2,000 Riviera Holdings Corporation, Company Guarantee, 11.000% due 06/15/2010 2,195 -------- 4,875 -------- Retail - 2.3% 1,000 Fred Meyer Inc., Company Guarantee, 7.450% due 03/01/2008 1,111 600 May Department Stores Company, Deb., 8.375% due 08/01/2004 629 2,500 Safeway Inc., Note, 7.500% due 09/15/2009 2,794 -------- 4,534 -------- See Notes to Financial Statements. 30 portfolio of investments (continued) INCOME FUND June 30, 2004 (unaudited) Principal Amount Value (000s) (000s) --------- ------ CORPORATE BONDS AND NOTES - (continued) Aerospace/Defense - 1.8% $ 1,000 Boeing Company, Deb., 8.750% due 08/15/2021 $ 1,269 2,000 Lockheed Martin Corporation, Note, 8.200% due 12/01/2009 2,346 -------- 3,615 -------- Foreign Government (U.S. Dollar Denominated) - 1.2% 1,173 Federative Republic of Brazil, C-Bond, 8.000% due 04/15/2014 1,077 1,000 United Mexican States, Bond, 9.875% due 02/01/2010 1,204 -------- 2,281 -------- Industrial Products - 0.6% Covanta Energy Corporation: 104 Sr. Sec. Note, 8.250% due 03/15/2011 90 29 Term Loan, (Partial payment-in- kind), 10.500% due 03/15/2007 26 Weyerhaeuser Company: 500 Deb., 7.375% due 03/15/2032 545 500 Note, 6.750% due 03/15/2012 542 -------- 1,203 -------- Total Corporate Bonds and Notes (Cost $129,854) 138,909 -------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 20.6% Federal National Mortgage Association (FNMA) - 11.6% 8,531 4.000% due 09/01/2018-10/01/2018 8,149 2,270 5.000% due 01/01/2018 2,279 6,482 5.500% due 03/01/2033-06/01/2033 6,478 1,309 6.000% due 04/01/2032 1,339 2,226 6.500% due 05/01/2031-05/01/2032 2,321 99 7.000% due 01/01/2030 105 2,000 7.630% due 02/01/2010 2,240 -------- Total FNMA (Cost $23,041) 22,911 -------- Federal Home Loan Mortgage Corporation (FHLMC) - 8.0% 3,615 4.500% due 08/01/2033 3,383 6,361 5.000% due 04/01/2018-05/01/2033 6,228 2,900 5.500% due 11/01/2017-05/01/2031 2,958 2,018 6.000% due 03/01/2031-05/01/2032 2,065 669 6.500% due 06/01/2029-08/01/2029 699 548 7.000% due 01/01/2032 579 34 9.000% due 01/01/2025 38 -------- Total FHLMC (Cost $16,160) 15,950 -------- Principal Amount Value (000s) (000s) --------- ------ Government National Mortgage Association (GNMA) - 1.0% $ 985 6.000% due 05/20/2032 $ 1,010 830 7.000% due 06/20/2031 881 61 9.000% due 02/15/2025 69 -------- Total GNMA (Cost $1,879) 1,960 -------- Total U.S. Government Agency Mortgage-Backed Securities (Cost $41,080) 40,821 -------- U.S. TREASURY NOTES - 6.7% 7,500 4.000% due 11/15/2012 7,263 6,000 4.375% due 08/15/2012 5,974 -------- Total U.S. Treasury Notes (Cost $13,702) 13,237 -------- Shares ------ RIGHTS - 0.0% *** (Cost $18) 5,250 Danielson Holding Corporation- Rights+ 27 -------- Principal Amount (000s) --------- REPURCHASE AGREEMENT - 1.2% (Cost $2,432) $ 2,432 Agreement with Morgan Stanley, 1.290% dated 06/30/2004, to be repurchased at $2,432,000 on 07/01/2004 (Collateralized by U.S. Treasury Notes, having various interest rates and maturities, market value $2,471,000) 2,432 -------- TOTAL INVESTMENTS (Cost $187,086*) 98.6% 195,426 OTHER ASSETS AND LIABILITIES (Net) 1.4 2,729 ----- -------- NET ASSETS 100.0% $198,155 ===== ======== ================== * Aggregate cost for federal tax purposes. ** Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. *** Amount represents less than 0.1% of the net assets. + Non-income producing security. ++ Defaulted security is past maturity but continues to be valued by an independent pricing service in recognition of future potential worth. See Notes to Financial Statements. 31 portfolio of investments MONEY MARKET FUND Principal Amount Value (000s) (000s) --------- ------ COMMERCIAL PAPER (DOMESTIC) - 16.2% $ 750 Coca-Cola Company, 1.100% due 08/27/2004+++ $ 749 585 Cooperative Association of Tractor Dealers Inc., Series B, (AMBAC Insured), 1.200% due 09/28/2004+++ 583 700 General Electric Capital Corporation, 1.370% due 09/03/2004+++ 699 600 Goldman Sachs Group, Inc., 1.100% due 08/18/2004+++ 599 570 PACCAR Financial Corporation, 1.110% due 10/14/2004+++ 568 -------- Total Commercial Paper (Domestic) (Cost $3,198) 3,198 -------- COMMERCIAL PAPER (YANKEE) - 12.9% 600 ABN AMRO North America, Inc., 1.060% due 09/20/2004+++ 599 600 ING America Insurance Holdings, Inc., 1.070% due 08/10/2004+++ 599 700 Royal Bank of Scotland PLC, 1.250% due 09/13/2004+++ 698 650 Toronto Dominion Holdings, Inc., 1.050% due 07/07/2004+++ 650 -------- Total Commercial Paper (Yankee) (Cost $2,546) 2,546 -------- CERTIFICATES OF DEPOSIT (YANKEE) - 17.2% 1,300 Bayerische Landesbank NY, 1.260% due 08/25/2004++ 1,300 1,000 Canadian Imperial Bank of Commerce, 1.293% due 01/31/2005++ 1,000 1,100 Royal Bank of Canada, 1.216% due 01/24/2005++ 1,100 -------- Total Certificates of Deposit (Yankee) (Cost $3,400) 3,400 -------- MEDIUM TERM NOTES - 6.1% 700 Caterpillar Financial Services Corporation, 4.500% due 12/15/2004 710 500 Salomon Smith Barney Holdings Inc., Series K, 1.410% due 11/18/2004++ 500 -------- Total Medium Term Notes (Cost $1,210) 1,210 -------- CORPORATE BONDS AND NOTES - 18.3% 619 Bank of America Corporation, Note, 7.875% due 05/16/2005 650 769 Everett Clinic, P.S., Bond, (LOC: Bank of America), 1.170% due 05/01/2022+ 769 955 Lauren Company LLC, Bond, (LOC: Wells Fargo Bank), 1.200% due 07/01/2033+** 955 500 SunTrust Banks, Inc., Deposit Note, Series CD, 1.210% due 10/25/2004++ 500 Principal Amount Value (000s) (000s) --------- ------ $ 740 Wells Fargo & Company, Sr. Note, 6.625% due 07/15/2004 $ 741 -------- Total Corporate Bonds and Notes (Cost $3,615) 3,615 -------- TAXABLE MUNICIPAL BONDS - 17.5% 750 California Statewide Communities Development Authority, MFHR, (Hallmark House Apartments), Series ZZ-T, (FNMA Collateral), 1.380% due 12/15/2036+ 750 975 Connecticut State Housing Finance Authority, Housing Revenue, (Housing Mortgage Finance Program), Series F-1, (AMBAC Insured), 1.120% due 11/15/2016+ 975 500 New York State Housing Finance Agency, Housing Revenue, (West 20th Street Project), Series B, (FNMA Collateral), 1.130% due 05/15/2033+ 500 500 Shelby County, Tennessee, Health, Educational & Housing Facilities Board, MFHR, Series A-T, (LOC: Bank of America), 1.250% due 07/01/2022+ 500 400 Washington State Housing Finance Commission, MFHR, (Bremerton Project), Series B, (FNMA Collateral), 1.330% due 05/15/2033+ 400 340 Washington State Housing Finance Commission, Nonprofit Revenue, (Pioneer Human Services Projects), Series B, (LOC: U.S. Bank), 1.300% due 08/01/2019+ 340 -------- Total Taxable Municipal Bonds (Cost $3,465) 3,465 -------- FUNDING AGREEMENT - 5.0% (Cost $1,000) 1,000 New York Life Insurance, 1.210% due 08/04/2004++*** 1,000 -------- See Notes to Financial Statements. 32 portfolio of investments (continued) MONEY MARKET FUND Principal Amount Value (000s) (000s) --------- ------ REPURCHASE AGREEMENT - 6.7% (Cost $1,325) $ 1,325 Agreement with Morgan Stanley, 1.290% dated 06/30/2004, to be repurchased at $1,325,000 on 07/01/2004 (Collateralized by U.S. Treasury Notes, having various interest rates and maturities, market value $1,346,000 $ 1,325 -------- TOTAL INVESTMENTS (Cost $19,759*) 99.9% 19,759 OTHER ASSETS AND LIABILITIES (Net) 0.1 17 ----- -------- NET ASSETS 100.0% $ 19,776 ===== ======== ================== * Aggregate cost for federal tax purposes. ** Security acquired in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. *** Security is restricted and illiquid. It was acquired on August 5, 2003, and has a value of $0.05 per share to the Fund. + Variable rate securities payable upon demand with not more that five business days' notice, and secured by bank letters of credit or guarantees by certain corporations. The interest rate shown reflects the rate in effect at June 30, 2004. ++ Floating rate security whose interest rate is reset periodically based on an index. +++ Rate represents discount rate on purchase date. - ---------------------------------------------------------------- GLOSSARY OF TERMS AMBAC - American Municipal Bond Assurance Corporation FNMA - Federal National Mortgage Association LOC - Letter of Credit MFHR - Multi-family Housing Revenue - ---------------------------------------------------------------- See Notes to Financial Statements. 33 statements of assets and liabilities WM VARIABLE TRUST June 30, 2004 (unaudited) (In thousands)
Equity Growth & West Coast Mid Cap REIT Income Income Equity Stock Growth Fund Fund Fund Fund Fund Fund ------- -------- -------- ---------- -------- -------- ASSETS: Investments, at value: Securities $40,771 $177,135 $258,682 $110,735 $ 96,861 $222,887 Repurchase agreements 1,853 6,678 1,102 5,092 7,126 9,043 Investments held as collateral for securities loaned 1,691 9,231 20,897 6,702 7,597 16,157 ------- -------- -------- -------- -------- -------- Total Investments (a) 44,315 193,044 280,681 122,529 111,584 248,087 Cash -* 1 -* 1 1 1,545 Unrealized appreciation of forward foreign currency contracts - - - - - 8 Dividends and/or interest receivable 189 441 244 60 54 143 Receivable for Fund shares sold - 43 - 200 31 60 Receivable for investment securities sold - - 1,340 13 335 1,235 Prepaid expenses 1 2 4 2 1 4 ------- -------- -------- -------- -------- -------- Total Assets 44,505 193,531 282,269 122,805 112,006 251,082 ------- -------- -------- -------- -------- -------- LIABILITIES: Payable upon return of securities loaned 1,691 9,231 20,897 6,702 7,597 16,157 Unrealized depreciation of forward foreign currency contracts - - - - - - Payable for Fund shares redeemed -* 98 40 91 5 39 Payable for when-issued securities purchased - - - - - - Payable for investment securities purchased - - 1,267 - 421 1,500 Investment advisory fee payable 28 93 161 58 62 165 Distribution fees payable -* 3 1 1 1 -* Variation margin - - - - - - Accrued legal and audit fees 20 19 20 18 15 19 Accrued printing and postage expenses 8 30 46 19 14 31 Accrued expenses and other payables 1 4 4 5 2 16 ------- -------- -------- -------- -------- -------- Total Liabilities 1,748 9,478 22,436 6,894 8,117 17,927 ------- -------- -------- -------- -------- -------- NET ASSETS $42,757 $184,053 $259,833 $115,911 $103,889 $233,155 ======= ======== ======== ======== ======== ======== (a) Investments, at cost $35,323 $159,360 $225,629 $ 98,921 $ 87,043 $224,830 ======= ======== ======== ======== ======== ======== - -------- * Amount represents less than $500. 34 See Notes to Financial Statements. U.S. Small Cap Small Cap International Short Term Government Money Value Growth Growth Income Securities Income Market Fund Fund Fund Fund Fund Fund Fund --------- --------- ------------- ---------- ---------- -------- ------- ASSETS: Investments, at value: Securities $32,720 $53,040 $77,485 $46,784 $245,497 $192,994 $18,434 Repurchase agreements 2,926 343 2,762 8,119 26,078 2,432 1,325 Investments held as collateral for securities loaned 3,841 7,129 4,105 - - - - ------- ------- ------- ------- -------- -------- ------- Total Investments (a) 39,487 60,512 84,352 54,903 271,575 195,426 19,759 Cash -* -* 28 -* 1 -* 9 Unrealized appreciation of forward foreign currency contracts - - 9 - - - - Dividends and/or interest receivable 78 36 204 576 1,502 2,775 40 Receivable for Fund shares sold 8 21 18 23 162 97 - Receivable for investment securities sold 97 145 160 -* - 3 - Prepaid expenses - 2 1 1 4 4 1 ------- ------- ------- ------- -------- -------- ------- Total Assets 39,670 60,716 84,772 55,503 273,244 198,305 19,809 ------- ------- ------- ------- -------- -------- ------- LIABILITIES: Payable upon return of securities loaned 3,841 7,129 4,105 - - - - Unrealized depreciation of forward foreign currency contracts - - 32 - - - - Payable for Fund shares redeemed - 6 -* 5 65 1 2 Payable for when-issued securities purchased - - - - 4,005 - - Payable for investment securities purchased 306 324 191 - - - - Investment advisory fee payable 24 37 118 23 106 83 7 Distribution fees payable - 1 -* 2 3 4 1 Variation margin - - - 18 - - - Accrued legal and audit fees 8 18 19 17 19 18 16 Accrued printing and postage expenses 3 14 11 8 35 38 5 Accrued expenses and other payables 2 10 29 2 10 6 2 ------- ------- ------- ------- -------- -------- ------- Total Liabilities 4,184 7,539 4,505 75 4,243 150 33 ------- ------- ------- ------- -------- -------- ------- NET ASSETS $35,486 $53,177 $80,267 $55,428 $269,001 $198,155 $19,776 ======= ======= ======= ======= ======== ======== ======= (a) Investments, at cost $38,726 $53,381 $72,848 $54,116 $271,967 $187,086 $19,759 ======= ======= ======= ======= ======== ======== =======
See Notes to Financial Statements. 35 statements of assets and liabilities (continued) WM VARIABLE TRUST June 30, 2004 (unaudited) (In thousands)
Equity Growth & West Coast Mid Cap REIT Income Income Equity Stock Growth Fund Fund Fund Fund Fund Fund ------- -------- -------- ---------- -------- -------- NET ASSETS consist of: Undistributed net investment income/ (accumulated net investment loss) $ 790 $ 1,970 $ 1,248 $ 181 $ 155 $ 146 Accumulated net realized gain/(loss) on investment transactions 333 (4,934) (36,200) (3,768) 4,232 (108,818) Net unrealized appreciation/(depreciation) of investments 8,992 33,684 55,052 23,608 24,541 23,265 Paid-in capital 32,642 153,333 239,733 95,890 74,961 318,562 ------- -------- -------- -------- -------- --------- Total Net Assets $42,757 $184,053 $259,833 $115,911 $103,889 $ 233,155 ======= ======== ======== ======== ======== ========= NET ASSETS: Class 1 Shares $42,690 $167,322 $256,649 $108,757 $ 99,031 $ 231,746 ======= ======== ======== ======== ======== ========= Class 2 Shares $ 67 $ 16,731 $ 3,184 $ 7,154 $ 4,858 $ 1,409 ======= ======== ======== ======== ======== ========= SHARES OUTSTANDING: Class 1 Shares 3,139 11,493 14,700 5,782 6,378 18,714 ======= ======== ======== ======== ======== ========= Class 2 Shares 5 1,154 183 382 314 114 ======= ======== ======== ======== ======== ========= CLASS 1 SHARES:** Net asset value, offering and redemption price per share of beneficial interest outstanding $ 13.60 $ 14.56 $ 17.46 $ 18.81 $ 15.53 $ 12.38 ======= ======== ======== ======== ======== ========= CLASS 2 SHARES:** Net asset value, offering and redemption price per share of beneficial interest outstanding $ 13.57 $ 14.50 $ 17.39 $ 18.74 $ 15.47 $ 12.31 ======= ======== ======== ======== ======== ========= - -------- * Amount represents less $500. ** Net asset value is not shown in thousands. 36 See Notes to Financial Statements. U.S. Small Cap Small Cap International Short Term Government Money Value Growth Growth Income Securities Income Market Fund Fund Fund Fund Fund Fund Fund --------- --------- ------------- ---------- ---------- -------- ------- NET ASSETS consist of: Undistributed net investment income/ (accumulated net investment loss) $ 65 $ (176) $ 362 $ 1,011 $ 4,982 $ 5,811 $ - Accumulated net realized gain/(loss) on investment transactions 137 (24,903) (13,471) (697) (2,225) (1,804) -* Net unrealized appreciation/(depreciation) of investments 761 7,131 11,477 759 (392) 8,340 - Paid-in capital 34,523 71,125 81,899 54,355 266,636 185,808 19,776 ------- -------- -------- ------- -------- -------- ------- Total Net Assets $35,486 $ 53,177 $ 80,267 $55,428 $269,001 $198,155 $19,776 ======= ======== ======== ======= ======== ======== ======= NET ASSETS: Class 1 Shares $35,486 $ 50,053 $ 80,035 $47,555 $255,204 $175,745 $16,326 ======= ======== ======== ======= ======== ======== ======= Class 2 Shares - $ 3,124 $ 232 $ 7,873 $ 13,797 $ 22,410 $ 3,450 ======== ======== ======= ======== ======== ======= SHARES OUTSTANDING: Class 1 Shares 3,458 5,304 7,032 18,812 24,619 16,727 16,341 ======= ======== ======== ======= ======== ======== ======= Class 2 Shares - 334 20 3,128 1,335 2,143 3,452 ======== ======== ======= ======== ======== ======= CLASS 1 SHARES:** Net asset value, offering and redemption price per share of beneficial interest outstanding $ 10.26 $ 9.44 $ 11.38 $ 2.53 $ 10.37 $ 10.51 $ 1.00 ======= ======== ======== ======= ======== ======== ======= CLASS 2 SHARES:** Net asset value, offering and redemption price per share of beneficial interest outstanding - $ 9.36 $ 11.34 $ 2.52 $ 10.34 $ 10.46 $ 1.00 ======== ======== ======= ======== ======== =======
See Notes to Financial Statements. 37 statements of operations WM VARIABLE TRUST For the Six Months Ended June 30, 2004 (unaudited) (In thousands)
Equity Growth & West Coast Mid Cap REIT Income Income Equity Stock Growth Fund Fund Fund Fund Fund Fund ------ ------- -------- ---------- -------- ------- INVESTMENT INCOME: Dividends $ 820 $ 2,084 $ 2,251 $ 544 $ 516 $ 1,060 Interest 8 349 41 25 34 48 Foreign withholding taxes - - (21) - (1) (25) Securities lending income 1 84 11 7 4 23 ------ ------- ------- ------ ------ ------- Total investment income 829 2,517 2,282 576 553 1,106 ------ ------- ------- ------ ------ ------- EXPENSES: Investment advisory fee 165 543 973 357 360 936 Class 2 Shares distribution fees -* 18 4 8 5 2 Custodian fees 2 4 5 6 4 29 Legal and audit fees 11 17 20 17 14 19 Other 5 20 28 15 11 20 ------ ------- ------- ------ ------ ------- Total expenses 183 602 1,030 403 394 1,006 Fees reduced by custodian credits -* -* -* -* -* (1) ------ ------- ------- ------ ------ ------- Net expenses 183 602 1,030 403 394 1,005 ------ ------- ------- ------ ------ ------- NET INVESTMENT INCOME/(LOSS) 646 1,915 1,252 173 159 101 ------ ------- ------- ------ ------ ------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) on investment transactions 452 2,538 679 2,915 4,889 7,722 Net change in unrealized appreciation/ depreciation of investments 1,527 6,641 9,735 1,134 2,611 (2,147) ------ ------- ------- ------ ------ ------- Net realized and unrealized gain/(loss) on investments 1,979 9,179 10,414 4,049 7,500 5,575 ------ ------- ------- ------ ------ ------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $2,625 $11,094 $11,666 $4,222 $7,659 $ 5,676 ====== ======= ======= ====== ====== ======= - -------- * Amount represents less than $500. ** The Small Cap Value Fund commenced operations on May 3, 2004. 38 See Notes to Financial Statements. U.S. Small Cap Small Cap International Short Term Government Money Value Growth Growth Income Securities Income Market Fund** Fund Fund Fund Fund Fund Fund --------- --------- ------------- ---------- ---------- -------- ------- INVESTMENT INCOME: Dividends $120 $ 97 $1,127 $ - $ - $ - $ - Interest 8 2 18 1,189 5,682 6,441 120 Foreign withholding taxes (10) (1) (138) - - - - Securities lending income 4 24 28 - - - - ---- ------- ------ ------ ------- ------- ---- Total investment income 122 122 1,035 1,189 5,682 6,441 120 ---- ------- ------ ------ ------- ------- ---- EXPENSES: Investment advisory fee 45 258 357 136 602 535 46 Class 2 Shares distribution fees - 4 -* 9 19 28 4 Custodian fees 2 11 48 4 8 5 1 Legal and audit fees 8 16 18 17 19 19 14 Other 2 9 27 10 34 31 4 ---- ------- ------ ------ ------- ------- ---- Total expenses 57 298 450 176 682 618 69 Fees reduced by custodian credits -* -* -* -* (1) -* -* ---- ------- ------ ------ ------- ------- ---- Net expenses 57 298 450 176 681 618 69 ---- ------- ------ ------ ------- ------- ---- NET INVESTMENT INCOME/(LOSS) 65 (176) 585 1,013 5,001 5,823 51 ---- ------- ------ ------ ------- ------- ---- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) on investment transactions 137 8,574 547 (29) 219 20 1 Net change in unrealized appreciation/ depreciation of investments 761 (6,602) (189) (912) (4,088) (5,818) - ---- ------- ------ ------ ------- ------- ---- Net realized and unrealized gain/(loss) on investments 898 1,972 358 (941) (3,869) (5,798) 1 ---- ------- ------ ------ ------- ------- ---- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $963 $ 1,796 $ 943 $ 72 $ 1,132 $ 25 $ 52 ==== ======= ====== ====== ======= ======= ====
See Notes to Financial Statements. 39 statements of changes in net assets WM VARIABLE TRUST For the Six Months Ended June 30, 2004 (unaudited) (In thousands)
Equity Growth & West Coast Mid Cap REIT Income Income Equity Stock Growth Fund Fund Fund Fund Fund Fund ------- -------- -------- ---------- -------- -------- Net investment income/(loss) $ 646 $ 1,915 $ 1,252 $ 173 $ 159 $ 101 Net realized gain on investment transactions 452 2,538 679 2,915 4,889 7,722 Net change in unrealized appreciation/depreciation of investments 1,527 6,641 9,735 1,134 2,611 (2,147) ------- -------- -------- -------- -------- -------- Net increase in net assets resulting from operations 2,625 11,094 11,666 4,222 7,659 5,676 Distributions to shareholders from: Net investment income: Class 1 Shares (624) (2,972) (2,661) (277) (318) - Class 2 Shares (1) (274) (29) (10) (9) - Net realized gains on investments: Class 1 Shares (322) - - - (1,559) - Class 2 Shares (1) - - - (76) - Net increase/(decrease) in net assets from Fund share transactions: Class 1 Shares 2,418 10,504 1,956 (125) 9,181 36,269 Class 2 Shares 68 3,479 369 1,739 878 99 ------- -------- -------- -------- -------- -------- Net increase/(decrease) in net assets 4,163 21,831 11,301 5,549 15,756 42,044 NET ASSETS: Beginning of period 38,594 162,222 248,532 110,362 88,133 191,111 ------- -------- -------- -------- -------- -------- End of period $42,757 $184,053 $259,833 $115,911 $103,889 $233,155 ======= ======== ======== ======== ======== ======== Undistributed net investment income/ (accumulated net investment loss) at end of period $ 790 $ 1,970 $ 1,248 $ 181 $ 155 $ 146 ======= ======== ======== ======== ======== ======== - -------- ** The Small Cap Value Fund commenced operations on May 3, 2004. 40 See Notes to Financial Statements. U.S. Small Cap Small Cap International Short Term Government Money Value Growth Growth Income Securities Income Market Fund** Fund Fund Fund Fund Fund Fund --------- --------- ------------- ---------- ---------- -------- ------- Net investment income/(loss) $ 65 $ (176) $ 585 $ 1,013 $ 5,001 $ 5,823 $ 51 Net realized gain on investment transactions 137 8,574 547 (29) 219 20 1 Net change in unrealized appreciation/depreciation of investments 761 (6,602) (189) (912) (4,088) (5,818) - ------- -------- ------- ------- -------- -------- ------- Net increase in net assets resulting from operations 963 1,796 943 72 1,132 25 52 Distributions to shareholders from: Net investment income: Class 1 Shares - - (969) (1,841) (9,806) (11,009) (47) Class 2 Shares - - (2) (296) (519) (1,314) (4) Net realized gains on investments: Class 1 Shares - - - - - - - Class 2 Shares - - - - - - - Net increase/(decrease) in net assets from Fund share transactions: Class 1 Shares 34,523 (22,575) 5,925 2,690 59,743 (7,254) (3,872) Class 2 Shares - 440 50 2,018 (2,065) 2,566 381 ------- -------- ------- ------- -------- -------- ------- Net increase/(decrease) in net assets 35,486 (20,339) 5,947 2,643 48,485 (16,986) (3,490) NET ASSETS: Beginning of period - 73,516 74,320 52,785 220,516 215,141 23,266 ------- -------- ------- ------- -------- -------- ------- End of period $35,486 $ 53,177 $80,267 $55,428 $269,001 $198,155 $19,776 ======= ======== ======= ======= ======== ======== ======= Undistributed net investment income/ (accumulated net investment loss) at end of period $ 65 $ (176) $ 362 $ 1,011 $ 4,982 $ 5,811 $ - ======= ======== ======= ======= ======== ======== =======
See Notes to Financial Statements. 41 statements of changes in net assets (continued) WM VARIABLE TRUST For the Year Ended December 31, 2003 (In thousands)
Equity Growth & West Coast Mid Cap REIT Income Income Equity Stock Growth Fund** Fund Fund Fund Fund Fund ------- -------- -------- ---------- -------- -------- Net investment income/(loss) $ 905 $ 3,414 $ 2,690 $ 341 $ 326 $ (67) Net realized gain/(loss) on investment transactions 68 (7,316) (12,089) (1,579) 2,422 (2,956) Net change in unrealized appreciation/ depreciation of investments 7,465 39,347 59,580 32,401 15,142 44,951 ------- -------- -------- -------- ------- -------- Net increase in net assets resulting from operations 8,438 35,445 50,181 31,163 17,890 41,928 Distributions to shareholders from: Net investment income: Class 1 Shares - (3,038) (2,491) (224) (210) - Class 2 Shares - (197) (20) (5) (4) - Net realized gains on investments: Class 1 Shares - (545) - - - - Class 2 Shares - (37) - - - - Net increase/(decrease) in net assets from Fund share transactions: Class 1 Shares 30,156 7,840 (10,738) 7,200 4,304 12,725 Class 2 Shares -* 3,990 962 1,688 1,071 414 ------- -------- -------- -------- ------- -------- Net increase/(decrease) in net assets 38,594 43,458 37,894 39,822 23,051 55,067 NET ASSETS: Beginning of year - 118,764 210,638 70,540 65,082 136,044 ------- -------- -------- -------- ------- -------- End of year $38,594 $162,222 $248,532 $110,362 $88,133 $191,111 ======= ======== ======== ======== ======= ======== Undistributed net investment income at end of year $ 769 $ 3,301 $ 2,686 $ 295 $ 323 $ 45 ======= ======== ======== ======== ======= ======== - -------- * Amount represents less than $500. ** The REIT Fund commenced operations on May 1, 2003. *** Formerly the Small Cap Stock Fund. 42 See Notes to Financial Statements. U.S. Small Cap International Short Term Government Money Growth Growth Income Securities Income Market Fund** Fund Fund Fund Fund Fund --------- ------------- ---------- ---------- -------- -------- Net investment income/(loss) $ (191) $ 534 $ 1,994 $ 8,526 $ 11,471 $ 190 Net realized gain/(loss) on investment transactions (17,773) (1,832) (29) (21) 422 - Net change in unrealized appreciation/ depreciation of investments 52,475 19,869 433 (4,385) 6,477 - -------- -------- ------- -------- -------- -------- Net increase in net assets resulting from operations 34,511 18,571 2,398 4,120 18,370 190 Distributions to shareholders from: Net investment income: Class 1 Shares - (748) (2,610) (8,731) (10,778) (175) Class 2 Shares - (1) (129) (855) (925) (15) Net realized gains on investments: Class 1 Shares - - - - - - Class 2 Shares - - - - - - Net increase/(decrease) in net assets from Fund share transactions: Class 1 Shares (2,281) 5,729 5,370 35,286 7,807 (13,568) Class 2 Shares 742 51 4,976 4,662 12,637 (1,610) -------- -------- ------- -------- -------- -------- Net increase/(decrease) in net assets 32,972 23,602 10,005 34,482 27,111 (15,178) NET ASSETS: Beginning of year 40,544 50,718 42,780 186,034 188,030 38,444 -------- -------- ------- -------- -------- -------- End of year $ 73,516 $ 74,320 $52,785 $220,516 $215,141 $ 23,266 ======== ======== ======= ======== ======== ======== Undistributed net investment income at end of year $ - $ 748 $ 2,135 $ 10,306 $ 12,311 $ - ======== ======== ======= ======== ======== ========
See Notes to Financial Statements. 43 statements of changes in net assets - capital stock activity WM VARIABLE TRUST (In thousands)
REIT Fund+ Equity Income Fund Growth & Income Fund ------------------------ ------------------------- ------------------------- Six Months Six Months Six Months Ended Ended Ended 06/30/04 Year Ended 06/30/04 Year Ended 06/30/04 Year Ended (unaudited) 12/31/03 (unaudited) 12/31/03 (unaudited) 12/31/03 ----------- ---------- ----------- ---------- ----------- ---------- AMOUNT Class 1: Sold $2,174 $30,249 $10,891 $ 19,128 $ 9,810 $ 24,465 Issued as reinvestment of dividends 946 - 2,972 3,583 2,661 2,491 Redeemed (702) (93) (3,359) (14,871) (10,515) (37,694) ------ ------- ------- -------- -------- -------- Net increase/(decrease) $2,418 $30,156 $10,504 $ 7,840 $ 1,956 $(10,738) ====== ======= ======= ======== ======== ======== Class 2: Sold $ 67 $ 5 $3,947 $ 4,300 $ 600 $ 1,060 Issued as reinvestment of dividends 2 - 274 234 29 20 Redeemed (1) (5) (742) (544) (260) (118) ------ ------- ------- -------- -------- -------- Net increase $ 68 $ * $3,479 $ 3,990 $ 369 $ 962 ====== ======= ======= ======== ======== ======== SHARES Class 1: Sold 163 2,967 757 1,576 571 1,618 Issued as reinvestment of dividends 71 - 206 295 153 164 Redeemed (54) (8) (233) (1,305) (610) (2,755) ------ ------- ------- -------- -------- -------- Net increase/(decrease) 180 2,959 730 566 114 (973) ====== ======= ======= ======== ======== ======== Class 2: Sold 5 -** 276 352 34 71 Issued as reinvestment of dividends -** - 19 19 2 1 Redeemed -** -** (52) (47) (15) (8) ------ ------- ------- -------- -------- -------- Net increase 5 -** 243 324 21 64 ====== ======= ======= ======== ======== ======== Small Cap Growth Fund+++ International Growth Fund Short Term Income Fund ------------------------ ------------------------- ------------------------- Six Months Six Months Six Months Ended Ended Ended 06/30/04 Year Ended 06/30/04 Year Ended 06/30/04 Year Ended (unaudited) 12/31/03 (unaudited) 12/31/03 (unaudited) 12/31/03 ----------- ---------- ----------- ---------- ----------- ---------- AMOUNT Class 1: Sold $ 2,227 $ 13,819 $5,819 $ 8,003 $ 3,231 $10,800 Issued as reinvestment of dividends - - 969 748 1,841 2,610 Redeemed (24,802) (16,100) (863) (3,022) (2,382) (8,040) -------- -------- ------ ------- ------- ------- Net increase/(decrease) $(22,575) $ (2,281) $5,925 $ 5,729 $ 2,690 $ 5,370 ======== ======== ====== ======= ======= ======= Class 2: Sold $ 851 $ 968 $ 53 $ 63 $ 2,554 $ 5,547 Issued as reinvestment of dividends - - 2 1 296 129 Redeemed (411) (226) (5) (13) (832) (700) -------- -------- ------ ------- ------- ------- Net increase/(decrease) $ 440 $ 742 $ 50 $ 51 $ 2,018 $ 4,976 ======== ======== ====== ======= ======= ======= SHARES Class 1: Sold 231 2,306 504 828 1,225 4,081 Issued as reinvestment of dividends - - 86 80 731 1,000 Redeemed (2,450) (1,971) (75) (340) (903) (3,032) -------- -------- ------ ------- ------- ------- Net increase/(decrease) (2,219) 335 515 568 1,053 2,049 ======== ======== ====== ======= ======= ======= Class 2: Sold 87 125 4 7 973 2,120 Issued as reinvestment of dividends - - -** -** 118 50 Redeemed (43) (30) -** (2) (317) (265) -------- -------- ------ ------- ------- ------- Net increase/(decrease) 44 95 4 5 774 1,905 ======== ======== ====== ======= ======= ======= - -------- * Amount represents less than $500. ** Amount represents less than 500 shares. + The REIT Fund commenced operations on May 1, 2003. ++ The Small Cap Value Fund commenced operations on May 3, 2004. +++ Formerly the Small Cap Stock Fund. 44 See Notes to Financial Statements. West Coast Equity Fund Mid Cap Stock Fund ------------------------ ------------------------- Six Months Six Months Ended Ended 06/30/04 Year Ended 06/30/04 Year Ended (unaudited) 12/31/03 (unaudited) 12/31/03 ----------- ---------- ----------- ---------- AMOUNT Class 1: Sold $ 5,704 $12,538 $ 8,387 $10,754 Issued as reinvestment of dividends 277 224 1,877 210 Redeemed (6,106) (5,562) (1,083) (6,660) ------- ------- ------- ------- Net increase/(decrease) $ (125) $ 7,200 $ 9,181 $ 4,304 ======= ======= ======= ======= Class 2: Sold $ 2,229 $ 2,076 $ 907 $ 1,196 Issued as reinvestment of dividends 10 5 85 4 Redeemed (500) (393) (114) (129) ------- ------- ------- ------- Net increase $ 1,739 $ 1,688 $ 878 $ 1,071 ======= ======= ======= ======= SHARES Class 1: Sold 308 820 557 832 Issued as reinvestment of dividends 15 15 123 16 Redeemed (338) (413) (71) (574) ------- ------- ------- ------- Net increase/(decrease) (15) 422 609 274 ======= ======= ======= ======= Class 2: Sold 121 133 60 95 Issued as reinvestment of dividends 1 -** 6 -** Redeemed (28) (28) (8) (11) ------- ------- ------- ------- Net increase 94 105 58 84 ======= ======= ======= ======= U.S. Government Securities Fund Income Fund ------------------------ ------------------------- Six Months Six Months Ended Ended 06/30/04 Year Ended 06/30/04 Year Ended (unaudited) 12/31/03 (unaudited) 12/31/03 ----------- ---------- ----------- ---------- AMOUNT Class 1: Sold $ 63,242 $ 53,760 $ 4,904 $ 18,940 Issued as reinvestment of dividends 9,806 8,731 11,009 10,778 Redeemed (13,305) (27,205) (23,167) (21,911) -------- -------- -------- -------- Net increase/(decrease) $ 59,743 $ 35,286 $ (7,254) $ 7,807 ======== ======== ======== ======== Class 2: Sold $ 951 $ 9,784 $ 3,372 $ 15,366 Issued as reinvestment of dividends 519 855 1,314 925 Redeemed (3,535) (5,977) (2,120) (3,654) -------- -------- -------- -------- Net increase/(decrease) $ (2,065) $ 4,662 $ 2,566 $ 12,637 ======== ======== ======== ======== SHARES Class 1: Sold 5,897 4,980 442 1,704 Issued as reinvestment of dividends 953 815 1,057 971 Redeemed (1,234) (2,518) (2,124) (1,988) -------- -------- -------- -------- Net increase/(decrease) 5,616 3,277 (625) 687 ======== ======== ======== ======== Class 2: Sold 88 896 303 1,397 Issued as reinvestment of dividends 51 80 127 84 Redeemed (330) (563) (192) (337) -------- -------- -------- -------- Net increase/(decrease) (191) 413 238 1,144 ======== ======== ======== ======== Growth Fund Small Cap Value Fund++ ------------------------- ---------------------- Six Months Period Ended Ended 06/30/04 Year Ended 06/30/04 (unaudited) 12/31/03 (unaudited) ----------- ---------- ----------- AMOUNT Class 1: Sold $42,108 $ 27,111 $35,373 Issued as reinvestment of dividends - - - Redeemed (5,839) (14,386) (850) ------- -------- ------- Net increase/(decrease) $36,269 $ 12,725 $34,523 ======= ======== ======= Class 2: Sold $ 391 $ 507 - Issued as reinvestment of dividends - - - Redeemed (292) (93) - ------- -------- Net increase $ 99 $ 414 - ======= ======== SHARES Class 1: Sold 3,420 2,706 3,546 Issued as reinvestment of dividends - - - Redeemed (478) (1,462) (88) ------- -------- ------- Net increase/(decrease) 2,942 1,244 3,458 ======= ======== ======= Class 2: Sold 32 48 - Issued as reinvestment of dividends - - - Redeemed (24) (9) - ------- -------- Net increase 8 39 - ======= ======== Money Market Fund ------------------------- Six Months Ended 06/30/04 Year Ended (unaudited) 12/31/03 ----------- ---------- AMOUNT Class 1: Sold $ 2,887 $ 11,839 Issued as reinvestment of dividends 47 175 Redeemed (6,806) (25,582) ------- -------- Net increase/(decrease) $(3,872) $(13,568) ======= ======== Class 2: Sold $ 1,032 $3,108 Issued as reinvestment of dividends 4 15 Redeemed (655) (4,733) ------- -------- Net increase/(decrease) $ 381 $ (1,610) ======= ======== SHARES Class 1: Sold 2,887 11,839 Issued as reinvestment of dividends 47 175 Redeemed (6,806) (25,582) ------- -------- Net increase/(decrease) (3,872) (13,568) ======= ======== Class 2: Sold 1,032 3,108 Issued as reinvestment of dividends 4 15 Redeemed (655) (4,733) ------- -------- Net increase/(decrease) 381 (1,610) ======= ========
See Notes to Financial Statements. 45 financial highlights For a Fund share outstanding throughout each period.
Income from Investment Operations --------------------------------------------- Net Realized Net Asset Value, and Unrealized Total from Beginning of Net Investment Gain/(Loss) on Investment Period Income/(Loss) Investments Operations ---------------- -------------- -------------- ---------- REIT FUND Class 1 06/30/04 (unaudited) $13.04 $ 0.21(6) $ 0.66 $ 0.87 12/31/03(3) 10.00 0.36(6) 2.68 3.04 Class 2 06/30/04 (unaudited) 13.03 0.20(6) 0.65 0.85 12/31/03(4) 11.20 0.28(6) 1.55 1.83 EQUITY INCOME FUND Class 1 06/30/04 (unaudited) $13.90 $ 0.16(6) $ 0.76 $ 0.92 12/31/03 11.01 0.31(6) 2.95 3.26 12/31/02 12.87 0.36(6) (1.95) (1.59) 12/31/01 12.11 0.42(6) 0.54 0.96 12/31/00 10.50 0.36(6) 1.42 1.78 12/31/99 10.27 0.33(6) (0.07)(8) 0.26 Class 2 06/30/04 (unaudited) 13.85 0.14(6) 0.76 0.90 12/31/03 10.99 0.29(6) 2.93 3.22 12/31/02 12.87 0.32(6) (1.93) (1.61) 12/31/01(5) 12.64 0.22(6) 0.21 0.43 GROWTH & INCOME FUND Class 1 06/30/04 (unaudited) $16.85 $ 0.08(6) $ 0.71 $ 0.79 12/31/03 13.45 0.19(6) 3.39 3.58 12/31/02 17.18 0.15(6) (3.77) (3.62) 12/31/01 18.23 0.09 (0.70) (0.61) 12/31/00 18.58 0.07(6) 0.37 0.44 12/31/99 16.97 0.06(6) 2.93 2.99 Class 2 06/30/04 (unaudited) 16.79 0.06(6) 0.70 0.76 12/31/03 13.42 0.15(6) 3.39 3.54 12/31/02 17.18 0.11(6) (3.76) (3.65) 12/31/01(5) 16.59 0.00(7) 0.59(8) 0.59 WEST COAST EQUITY FUND Class 1 06/30/04 (unaudited) $18.14 $ 0.03(6) $ 0.69 $ 0.72 12/31/03 12.69 0.06(6) 5.43 5.49 12/31/02 16.70 0.06(6) (3.79) (3.73) 12/31/01 16.01 0.10(6) 1.03 1.13 12/31/00 15.14 0.13(6) 0.84 0.97 12/31/99 10.94 (0.00)(7) 4.37 4.37 Class 2 06/30/04 (unaudited) 18.08 0.01(6) 0.68 0.69 12/31/03 12.67 0.02(6) 5.41 5.43 12/31/02 16.70 0.02(6) (3.77) (3.75) 12/31/01(5) 15.52 0.01(6) 1.17 1.18 Less Distributions ----------------------------------------------- Distributions Dividends from from Net Investment Net Realized Total Net Asset Value, Income Capital Gains Distributions End of Period -------------- ------------- ------------- ---------------- REIT FUND Class 1 06/30/04 (unaudited) $(0.20) $(0.11) $(0.31) $13.60 12/31/03(3) - - - 13.04 Class 2 06/30/04 (unaudited) (0.20) (0.11) (0.31) 13.57 12/31/03(4) - - - 13.03 EQUITY INCOME FUND Class 1 06/30/04 (unaudited) $(0.26) $ - $(0.26) $14.56 12/31/03 (0.31) (0.06) (0.37) 13.90 12/31/02 (0.25) (0.02) (0.27) 11.01 12/31/01 (0.12) (0.08) (0.20) 12.87 12/31/00 (0.17) - (0.17) 12.11 12/31/99 (0.03) - (0.03) 10.50 Class 2 06/30/04 (unaudited) (0.25) - (0.25) 14.50 12/31/03 (0.30) (0.06) (0.36) 13.85 12/31/02 (0.25) (0.02) (0.27) 10.99 12/31/01(5) (0.12) (0.08) (0.20) 12.87 GROWTH & INCOME FUND Class 1 06/30/04 (unaudited) $(0.18) $ - $(0.18) $17.46 12/31/03 (0.18) - (0.18) 16.85 12/31/02 (0.11) - (0.11) 13.45 12/31/01 (0.06) (0.38) (0.44) 17.18 12/31/00 (0.04) (0.75) (0.79) 18.23 12/31/99 (0.04) (1.34) (1.38) 18.58 Class 2 06/30/04 (unaudited) (0.16) - (0.16) 17.39 12/31/03 (0.17) - (0.17) 16.79 12/31/02 (0.11) - (0.11) 13.42 12/31/01(5) - - - 17.18 WEST COAST EQUITY FUND Class 1 06/30/04 (unaudited) $(0.05) $ - $(0.05) $18.81 12/31/03 (0.04) - (0.04) 18.14 12/31/02 (0.08) (0.20) (0.28) 12.69 12/31/01 (0.09) (0.35) (0.44) 16.70 12/31/00 - (0.10) (0.10) 16.01 12/31/99 (0.00)(7) (0.17) (0.17) 15.14 Class 2 06/30/04 (unaudited) (0.03) - (0.03) 18.74 12/31/03 (0.02) - (0.02) 18.08 12/31/02 (0.08) (0.20) (0.28) 12.67 12/31/01(5) - - - 16.70 46 See Notes to Financial Statements. Total Return(1) --------------- REIT FUND Class 1 06/30/04 (unaudited) 6.71% 12/31/03(3) 30.40% Class 2 06/30/04 (unaudited) 6.57% 12/31/03(4) 16.34% EQUITY INCOME FUND Class 1 06/30/04 (unaudited) 6.67% 12/31/03 30.10% 12/31/02 (12.51)% 12/31/01 7.92% 12/31/00 17.19% 12/31/99 2.49% Class 2 06/30/04 (unaudited) 6.48% 12/31/03 29.73% 12/31/02 (12.67)% 12/31/01(5) 3.40% GROWTH & INCOME FUND Class 1 06/30/04 (unaudited) 4.70% 12/31/03 26.80% 12/31/02 (21.16)% 12/31/01 (3.51)% 12/31/00 2.36% 12/31/99 18.11% Class 2 06/30/04 (unaudited) 4.51% 12/31/03 26.49% 12/31/02 (21.33)% 12/31/01(5) 3.56% WEST COAST EQUITY FUND Class 1 06/30/04 (unaudited) 3.97% 12/31/03 43.35% 12/31/02 (22.55)% 12/31/01 6.88% 12/31/00 6.30% 12/31/99 40.37% Class 2 06/30/04 (unaudited) 3.80% 12/31/03 42.93% 12/31/02 (22.67)% 12/31/01(5) 7.60% Ratios to Average Net Assets/Supplemental Data -------------------------------------------------------------------------------------------------------- Ratio of Operating Expenses to Average Net Assets Without Fee Waivers, Expenses Reimbursed and/or Fees Net Assets, Ratio of Ratio of Net Reduced by Credits End of Period Operating Expenses Investment Income/(Loss) to Portfolio Allowed by the (in 000's) to Average Net Assets Average Net Assets Turnover Rate Custodian(2) ------------- --------------------- --------------------------- ------------- ---------------------- REIT FUND Class 1 06/30/04 (unaudited) $ 42,690 0.89%(9) 3.14%(9) 5% 0.89%(9) 12/31/03(3) 38,593 1.00%(9) 4.21%(9) 3% 1.00%(9) Class 2 06/30/04 (unaudited) 67 1.14%(9) 2.89%(9) 5% 1.14%(9) 12/31/03(4) 1 1.25%(9) 3.96%(9) 3% 1.25%(9) EQUITY INCOME FUND Class 1 06/30/04 (unaudited) $167,322 0.67%(9) 2.22%(9) 9% 0.67%(9) 12/31/03 149,603 0.70% 2.63% 23% 0.70% 12/31/02 112,304 0.70% 3.04% 16% 0.70% 12/31/01 97,982 0.70% 3.29% 15% 0.70% 12/31/00 46,744 0.98% 3.31% 40% 0.99% 12/31/99 11,797 1.17% 3.22% 25% 1.19% Class 2 06/30/04 (unaudited) 16,731 0.92%(9) 1.97%(9) 9% 0.92%(9) 12/31/03 12,619 0.95% 2.38% 23% 0.95% 12/31/02 6,460 0.95% 2.79% 16% 0.95% 12/31/01(5) 658 0.94%(9) 3.05%(9) 15% 0.94%(9) GROWTH & INCOME FUND Class 1 06/30/04 (unaudited) $256,649 0.80%(9) 0.98%(9) 2% 0.80%(9) 12/31/03 245,820 0.83% 1.28% 16% 0.83% 12/31/02 209,337 0.81% 1.01% 20% 0.81% 12/31/01 319,171 0.78% 0.54% 25% 0.78% 12/31/00 309,992 0.97% 0.39% 31% 0.97% 12/31/99 205,960 1.05% 0.34% 38% 1.05% Class 2 06/30/04 (unaudited) 3,184 1.05%(9) 0.73%(9) 2% 1.05%(9) 12/31/03 2,712 1.08% 1.03% 16% 1.08% 12/31/02 1,301 1.06% 0.76% 20% 1.06% 12/31/01(5) 112 1.03%(9) 0.29%(9) 25% 1.03%(9) WEST COAST EQUITY FUND Class 1 06/30/04 (unaudited) $108,757 0.69%(9) 0.32%(9) 11% 0.69%(9) 12/31/03 105,160 0.71% 0.42% 16% 0.71% 12/31/02 68,227 0.71% 0.42% 20% 0.71% 12/31/01 83,835 0.70% 0.59% 19% 0.70% 12/31/00 71,307 0.91% 0.76% 33% 0.91% 12/31/99 20,429 1.27% (0.02)% 36% 1.28% Class 2 06/30/04 (unaudited) 7,154 0.94%(9) 0.07%(9) 11% 0.94%(9) 12/31/03 5,202 0.96% 0.17% 16% 0.96% 12/31/02 2,313 0.96% 0.17% 20% 0.96% 12/31/01(5) 58 0.95%(9) 0.34%(9) 19% 0.95%(9)
See Notes to Financial Statements. 47 financial highlights For a Fund share outstanding throughout each period.
Income from Investment Operations --------------------------------------------- Net Realized Net Asset Value, and Unrealized Total from Beginning of Net Investment Gain/(Loss) on Investment Period Income/(Loss) Investments Operations ---------------- -------------- -------------- ---------- MID CAP STOCK FUND Class 1 06/30/04 (unaudited) $14.63 $ 0.03(6) $ 1.17 $ 1.20 12/31/03 11.49 0.06(6) 3.12 3.18 12/31/02 13.14 0.04(6) (1.36) (1.32) 12/31/01 11.74 0.03(6) 1.38 1.41 12/31/00(10) 10.00 0.01(6) 1.73 1.74 Class 2 06/30/04 (unaudited) 14.58 0.01(6) 1.16 1.17 12/31/03 11.46 0.03(6) 3.11 3.14 12/31/02 13.13 0.01(6) (1.36) (1.35) 12/31/01(5) 12.35 (0.00)(6)(7) 0.79 0.79 GROWTH FUND Class 1 06/30/04 (unaudited) $12.04 $ 0.01 $ 0.33 $ 0.34 12/31/03 9.32 (0.00)(7) 2.72 2.72 12/31/02 13.51 (0.01)(6) (4.18) (4.19) 12/31/01 22.99 0.02(6) (6.24) (6.22) 12/31/00 38.54 (0.03)(6) (6.61) (6.64) 12/31/99 22.36 (0.19) 19.89 19.70 Class 2 06/30/04 (unaudited) 11.98 (0.01) 0.34 0.33 12/31/03 9.30 (0.03) 2.71 2.68 12/31/02 13.51 (0.03)(6) (4.18) (4.21) 12/31/01(5) 12.81 (0.00)(6)(7) 0.70(8) 0.70 SMALL CAP VALUE FUND Class 1 06/30/04(11) (unaudited) $10.00 $ 0.02 $ 0.24 $ 0.26 SMALL CAP GROWTH FUND(12) Class 1 06/30/04 (unaudited) $ 9.41 $(0.03) $ 0.06 $ 0.03 12/31/03 5.49 (0.02)(6) 3.94 3.92 12/31/02 11.37 (0.02)(6) (5.27) (5.29) 12/31/01 16.03 (0.06)(6) (1.69) (1.75) 12/31/00 19.13 (0.10) (1.65) (1.75) 12/31/99 14.59 (0.10)(6) 8.07 7.97 Class 2 06/30/04 (unaudited) 9.35 (0.04) 0.05 0.01 12/31/03 5.47 (0.04)(6) 3.92 3.88 12/31/02 11.36 (0.03)(6) (5.27) (5.30) 12/31/01(5) 14.41 (0.05)(6) (0.09) (0.14) Less Distributions ----------------------------------------------- Distributions Dividends from from Net Investment Net Realized Total Net Asset Value, Income Capital Gains Distributions End of Period -------------- ------------- ------------- ---------------- MID CAP STOCK FUND Class 1 06/30/04 (unaudited) $(0.05) $(0.25) $(0.30) $15.53 12/31/03 (0.04) - (0.04) 14.63 12/31/02 (0.03) (0.30) (0.33) 11.49 12/31/01 (0.01) - (0.01) 13.14 12/31/00(10) - - - 11.74 Class 2 06/30/04 (unaudited) (0.03) (0.25) (0.28) 15.47 12/31/03 (0.02) - (0.02) 14.58 12/31/02 (0.02) (0.30) (0.32) 11.46 12/31/01(5) (0.01) - (0.01) 13.13 GROWTH FUND Class 1 06/30/04 (unaudited) $ - $ - $ - $12.38 12/31/03 - - - 12.04 12/31/02 - - - 9.32 12/31/01 (0.37) (2.89) (3.26) 13.51 12/31/00 (0.02) (8.89) (8.91) 22.99 12/31/99 - (3.52) (3.52) 38.54 Class 2 06/30/04 (unaudited) - - - 12.31 12/31/03 - - - 11.98 12/31/02 - - - 9.30 12/31/01(5) - - - 13.51 SMALL CAP VALUE FUND Class 1 06/30/04(11) (unaudited) $ - $ - $ - $10.26 SMALL CAP GROWTH FUND(12) Class 1 06/30/04 (unaudited) $ - $ - $ - $ 9.44 12/31/03 - - - 9.41 12/31/02 - (0.59) (0.59) 5.49 12/31/01 - (2.91) (2.91) 11.37 12/31/00 - (1.35) (1.35) 16.03 12/31/99 - (3.43) (3.43) 19.13 Class 2 06/30/04 (unaudited) - - - 9.36 12/31/03 - - - 9.35 12/31/02 - (0.59) (0.59) 5.47 12/31/01(5) - (2.91) (2.91) 11.36 48 See Notes to Financial Statements. Total Return(1) --------------- MID CAP STOCK FUND Class 1 06/30/04 (unaudited) 8.25% 12/31/03 27.73% 12/31/02 (10.35)% 12/31/01 11.99% 12/31/00(10) 17.40% Class 2 06/30/04 (unaudited) 8.06% 12/31/03 27.45% 12/31/02 (10.54)% 12/31/01(5) 6.38% GROWTH FUND Class 1 06/30/04 (unaudited) 2.82% 12/31/03 29.18% 12/31/02 (31.01)% 12/31/01 (29.05)% 12/31/00 (22.04)% 12/31/99 97.09% Class 2 06/30/04 (unaudited) 2.75% 12/31/03 28.82% 12/31/02 (31.16)% 12/31/01(5) 5.46% SMALL CAP VALUE FUND Class 1 06/30/04(11) (unaudited) 4.27% SMALL CAP GROWTH FUND(12) Class 1 06/30/04 (unaudited) 0.32% 12/31/03 71.40% 12/31/02 (47.15)% 12/31/01 (12.73)% 12/31/00 (10.58)% 12/31/99 71.09% Class 2 06/30/04 (unaudited) 0.11% 12/31/03 70.93% 12/31/02 (47.28)% 12/31/01(5) (3.00)% Ratios to Average Net Assets/Supplemental Data -------------------------------------------------------------------------------------------------------- Ratio of Operating Expenses to Average Net Assets Without Fee Waivers, Expenses Reimbursed and/or Fees Net Assets, Ratio of Ratio of Net Reduced by Credits End of Period Operating Expenses Investment Income/(Loss) to Portfolio Allowed by the (in 000's) to Average Net Assets Average Net Assets Turnover Rate Custodian(2) ------------- --------------------- --------------------------- ------------- ---------------------- MID CAP STOCK FUND Class 1 06/30/04 (unaudited) $99,031 0.81%(9) 0.34%(9) 16% 0.81%(9) 12/31/03 84,408 0.83% 0.47% 37% 0.83% 12/31/02 63,119 0.84% 0.32% 28% 0.84% 12/31/01 71,988 0.82% 0.21% 30% 0.82% 12/31/00(10) 56,717 1.04%(9) 0.14%(9) 13% 1.04%(9) Class 2 06/30/04 (unaudited) 4,858 1.06%(9) 0.09%(9) 16% 1.06%(9) 12/31/03 3,725 1.08% 0.22% 37% 1.08% 12/31/02 1,962 1.09% 0.07% 28% 1.09% 12/31/01(5) 668 1.07%(9) (0.04)%(9) 30% 1.07%(9) GROWTH FUND Class 1 06/30/04 (unaudited) $231,746 0.95%(9) 0.10%(9) 34% 0.95%(9) 12/31/03 189,837 0.98% (0.04)% 75% 0.98% 12/31/02 135,422 1.00% (0.05)% 171% 1.00% 12/31/01 167,483 0.94% 0.11% 92% 0.94% 12/31/00 306,551 1.10% (0.10)% 83% 1.11% 12/31/99 369,952 1.15% (0.78)% 129% 1.15% Class 2 06/30/04 (unaudited) 1,409 1.20%(9) (0.15)%(9) 34% 1.20%(9) 12/31/03 1,274 1.23% (0.29)% 75% 1.23% 12/31/02 622 1.25% (0.30)% 171% 1.25% 12/31/01(5) 31 1.19%(9) (0.14)%(9) 92% 1.19%(9) SMALL CAP VALUE FUND Class 1 06/30/04(11) (unaudited) $35,486 1.09%(9) 1.23%(9) 7% 1.09%(9) SMALL CAP GROWTH FUND(12) Class 1 06/30/04 (unaudited) $50,053 0.99%(9) (0.58)%(9) 23% 0.99%(9) 12/31/03 70,806 1.00% (0.31)% 67% 1.00% 12/31/02 39,476 1.00% (0.31)% 29% 1.00% 12/31/01 73,367 0.95% (0.44)% 46% 0.95% 12/31/00 82,288 1.11% (0.61)% 49% 1.11% 12/31/99 53,616 1.19% (0.75)% 52% 1.19% Class 2 06/30/04 (unaudited) 3,124 1.24%(9) (0.83)%(9) 23% 1.24%(9) 12/31/03 2,710 1.25% (0.56)% 67% 1.25% 12/31/02 1,068 1.25% (0.56)% 29% 1.25% 12/31/01(5) 440 1.20%(9) (0.69)%(9) 46% 1.20%(9)
See Notes to Financial Statements. 49 financial highlights For a Fund share outstanding throughout each period.
Income from Investment Operations --------------------------------------------- Net Realized Net Asset Value, and Unrealized Total from Beginning of Net Investment Gain/(Loss) on Investment Period Income Investments Operations ---------------- -------------- -------------- ---------- INTERNATIONAL GROWTH FUND Class 1 06/30/04 (unaudited) $11.38 $ 0.09(6) $ 0.05 $ 0.14 12/31/03 8.51 0.09(6) 2.91 3.00 12/31/02 10.21 0.04(6) (1.63) (1.59) 12/31/01 13.65 0.04 (2.39) (2.35) 12/31/00 17.63 0.02(6) (3.42) (3.40) 12/31/99 11.61 0.12 5.91 6.03 Class 2 06/30/04 (unaudited) 11.34 0.07(6) 0.06 0.13 12/31/03 8.49 0.06(6) 2.90 2.96 12/31/02 10.21 0.02(6) (1.63) (1.61) 12/31/01(5) 9.78 0.00(7) 0.43(8) 0.43 SHORT TERM INCOME FUND Class 1 06/30/04 (unaudited) $ 2.63 $ 0.05(6) $ (0.05) $ 0.00(7) 12/31/03 2.65 0.11(6) 0.04 0.15 12/31/02 2.60 0.14(6) 0.02 0.16 12/31/01 2.44 0.15(6) 0.05 0.20 12/31/00 2.39 0.14 0.05 0.19 12/31/99 2.44 0.12 (0.05) 0.07 Class 2 06/30/04 (unaudited) 2.62 0.05(6) (0.05) $ 0.00(7) 12/31/03 2.64 0.10(6) 0.04 0.14 12/31/02 2.60 0.13(6) 0.02 0.15 12/31/01(5) 2.60 0.02(6) (0.02)(8) 0.00(7) U.S. GOVERNMENT SECURITIES FUND Class 1 06/30/04 (unaudited) $10.75 $ 0.22(6) $ (0.17) $ 0.05 12/31/03 11.05 0.46(6) (0.23) 0.23 12/31/02 10.55 0.59(6) 0.33 0.92 12/31/01 9.93 0.61(6) 0.16 0.77 12/31/00 9.62 0.62(6) 0.29 0.91 12/31/99 10.11 0.54 (0.49) 0.05 Class 2 06/30/04 (unaudited) 10.70 0.21(6) (0.17) 0.04 12/31/03 11.02 0.44(6) (0.23) 0.21 12/31/02 10.55 0.56(6) 0.33 0.89 12/31/01(5) 10.70 0.09(6) (0.24)(8) (0.15) Less Distributions ----------------------------------------------- Distributions Dividends from from Net Investment Net Realized Total Net Asset Value, Income Capital Gains Distributions End of Period -------------- ------------- ------------- ---------------- INTERNATIONAL GROWTH FUND Class 1 06/30/04 (unaudited) $(0.14) $ - $(0.14) $11.38 12/31/03 (0.13) - (0.13) 11.38 12/31/02 (0.11) - (0.11) 8.51 12/31/01 (0.09) (1.00) (1.09) 10.21 12/31/00 (0.43) (0.15) (0.58) 13.65 12/31/99 (0.01) - (0.01) 17.63 Class 2 06/30/04 (unaudited) (0.13) - (0.13) 11.34 12/31/03 (0.11) - (0.11) 11.34 12/31/02 (0.11) - (0.11) 8.49 12/31/01(5) - - - 10.21 SHORT TERM INCOME FUND Class 1 06/30/04 (unaudited) $(0.10) $ - $(0.10) $2.53 12/31/03 (0.17) - (0.17) 2.63 12/31/02 (0.11) - (0.11) 2.65 12/31/01 (0.04) - (0.04) 2.60 12/31/00 (0.14) - (0.14) 2.44 12/31/99 (0.12) - (0.12) 2.39 Class 2 06/30/04 (unaudited) (0.10) - (0.10) 2.52 12/31/03 (0.16) - (0.16) 2.62 12/31/02 (0.11) - (0.11) 2.64 12/31/01(5) - - - 2.60 U.S. GOVERNMENT SECURITIES FUND Class 1 06/30/04 (unaudited) $(0.43) $ - $(0.43) $10.37 12/31/03 (0.53) - (0.53) 10.75 12/31/02 (0.42) - (0.42) 11.05 12/31/01 (0.15) - (0.15) 10.55 12/31/00 (0.60) - (0.60) 9.93 12/31/99 (0.54) - (0.54) 9.62 Class 2 06/30/04 (unaudited) (0.40) - (0.40) 10.34 12/31/03 (0.53) - (0.53) 10.70 12/31/02 (0.42) - (0.42) 11.02 12/31/01(5) - - - 10.55 50 See Notes to Financial Statements. Total Return(1) --------------- INTERNATIONAL GROWTH FUND Class 1 06/30/04 (unaudited) 1.24% 12/31/03 35.51% 12/31/02 (15.71)% 12/31/01 (17.78)% 12/31/00 (19.84)% 12/31/99 51.96% 06/30/04 (unaudited) 1.20% 12/31/03 35.10% 12/31/02 (15.91)% 12/31/01(5) 4.40% SHORT TERM INCOME FUND Class 1 06/30/04 (unaudited) 0.09% 12/31/03 5.52% 12/31/02 6.26% 12/31/01 8.15% 12/31/00 8.23% 12/31/99 2.89% Class 2 06/30/04 (unaudited) 0.02% 12/31/03 5.46% 12/31/02 5.86% 12/31/01(5) 0.00% U.S. GOVERNMENT SECURITIES FUND Class 1 06/30/04 (unaudited) 0.49% 12/31/03 2.14% 12/31/02 8.87% 12/31/01 7.79% 12/31/00 9.73% 12/31/99 0.51% Class 2 06/30/04 (unaudited) 0.39% 12/31/03 1.87% 12/31/02 8.57% 12/31/01(5) (1.40)% Ratios to Average Net Assets/Supplemental Data ------------------------------------------------------------------------------------------------- Ratio of Operating Expenses to Average Net Assets Without Fee Waivers, Expenses Reimbursed and/or Fees Net Assets, Ratio of Ratio of Net Reduced by Credits End of Period Operating Expenses Investment Income Portfolio Allowed by the (in 000's) to Average Net Assets to Average Net Assets Turnover Rate Custodian(2) ------------- --------------------- --------------------- ------------- ---------------------- INTERNATIONAL GROWTH FUND Class 1 06/30/04 (unaudited) $80,035 1.15%(9) 1.50%(9) 12% 1.15%(9) 12/31/03 74,138 1.21% 0.94% 22% 1.21% 12/31/02 50,625 1.26% 0.49% 30% 1.26% 12/31/01 49,178 1.19% 0.33% 34% 1.19% 12/31/00 67,227 1.31% 0.11% 40% 1.31% 12/31/99 86,632 1.39% 0.87% 161% 1.40% Class 2 06/30/04 (unaudited) 232 1.40%(9) 1.25%(9) 12% 1.40%(9) 12/31/03 182 1.46% 0.69% 22% 1.46% 12/31/02 93 1.51% 0.24% 30% 1.51% 12/31/01(5) 0(13) 1.40%(9) 0.12%(9) 34% 1.40%(9) SHORT TERM INCOME FUND Class 1 06/30/04 (unaudited) $47,555 0.61%(9) 3.76%(9) 10% 0.61%(9) 12/31/03 46,628 0.63% 4.31% 38% 0.63% 12/31/02 41,592 0.62% 5.42% 41% 0.62% 12/31/01 50,343 0.60% 5.77% 44% 0.60% 12/31/00 43,479 0.80% 5.66% 17% 0.81% 12/31/99 53,144 0.80% 5.26% 42% 0.81% Class 2 06/30/04 (unaudited) 7,873 0.86%(9) 3.51%(9) 10% 0.86%(9) 12/31/03 6,157 0.88% 4.06% 38% 0.88% 12/31/02 1,188 0.87% 5.17% 41% 0.87% 12/31/01(5) 20 0.85%(9) 5.52%(9) 44% 0.85%(9) U.S. GOVERNMENT SECURITIES FUND Class 1 06/30/04 (unaudited) $255,204 0.55%(9) 4.17%(9) 17% 0.55%(9) 12/31/03 204,193 0.56% 4.26% 46% 0.56% 12/31/02 173,770 0.56% 5.45% 41% 0.56% 12/31/01 136,904 0.56% 5.89% 31% 0.56% 12/31/00 108,848 0.76% 6.35% 10% 0.76% 12/31/99 80,015 0.83% 6.02% 15% 0.83% Class 2 06/30/04 (unaudited) 13,797 0.80%(9) 3.92%(9) 17% 0.80%(9) 12/31/03 16,323 0.81% 4.01% 46% 0.81% 12/31/02 12,264 0.81% 5.20% 41% 0.81% 12/31/01(5) 753 0.81%(9) 5.64%(9) 31% 0.81%(9)
See Notes to Financial Statements. 51 financial highlights For a Fund share outstanding throughout each period.
Income from Investment Operations --------------------------------------------- Net Realized Net Asset Value, and Unrealized Total from Dividends from Beginning of Net Investment Gain/(Loss) on Investment Net Investment Net Asset Value, Period Income Investments Operations Income End of Period ---------------- -------------- -------------- ---------- -------------- ---------------- INCOME FUND Class 1 06/30/04 (unaudited) $11.18 $0.30(6) $ (0.29) $ 0.01 $(0.68) $10.51 12/31/03 10.79 0.63(6) 0.42 1.05 (0.66) 11.18 12/31/02 10.31 0.69(6) 0.27 0.96 (0.48) 10.79 12/31/01 9.70 0.67(6) 0.11 0.78 (0.17) 10.31 12/31/00 9.35 0.65(6) 0.30 0.95 (0.60) 9.70 12/31/99 10.24 0.67 (0.89) (0.22) (0.67) 9.35 Class 2 06/30/04 (unaudited) 11.12 0.29(6) (0.29) (0.00)(7) (0.66) 10.46 12/31/03 10.77 0.60(6) 0.41 1.01 (0.66) 11.12 12/31/02 10.31 0.65(6) 0.29 0.94 (0.48) 10.77 12/31/01(5) 10.45 0.10(6) (0.24)(8) (0.14) - 10.31 MONEY MARKET FUND Class 1 06/30/04 (unaudited) $ 1.00 $0.003 $ - $0.003 $(0.003) $ 1.00 12/31/03 1.00 0.006 - 0.006 (0.006) 1.00 12/31/02 1.00 0.014(6) - 0.014 (0.014) 1.00 12/31/01 1.00 0.036 (0.000)(14) 0.036 (0.036) 1.00 12/31/00 1.00 0.056 - 0.056 (0.056) 1.00 12/31/99 1.00 0.045 (0.000)(14) 0.045 (0.045) 1.00 Class 2 06/30/04 (unaudited) 1.00 0.001 - 0.001 (0.001) 1.00 12/31/03 1.00 0.004 - 0.004 (0.004) 1.00 12/31/02 1.00 0.011(6) - 0.011 (0.011) 1.00 12/31/01(5) 1.00 0.002 (0.000)(14) 0.002 (0.002) 1.00 Notes to Financial Highlights (1) Total return is not annualized for periods less than one year. The total return would have been lower if certain fees had not been waived and/or expenses reimbursed by the investment advisor or if fees had not been reduced by credits allowed by the custodian. (2) Ratio of operating expenses to average net assets includes expenses paid indirectly. (3) The REIT Fund commenced operations on May 1, 2003. (4) The REIT Fund commenced selling Class 2 shares on August 5, 2003. (5) The Fund commenced selling Class 2 shares on November 6, 2001, with the exception of the Equity Income, Mid Cap Stock and Small Cap Stock Funds which commenced selling Class 2 shares on May 1, 2001. (6) Per share numbers have been calculated using the average shares method. (7) Amount represents less than $0.01 per share. (8) The amount shown may not agree with the change in the aggregate gains and losses of portfolio securities due to the timing of sales and redemptions of Fund shares. (9) Annualized. (10) The Mid Cap Stock Fund commenced operations on May 1, 2000. (11) The Small Cap Value Fund commenced operations on May 3, 2004. (12) Formerly the Small Cap Stock Fund. (13) Amount represents less than $500. (14) Amount represents less than $0.001 per share. 52 See Notes to Financial Statements. Ratios to Average Net Assets/Supplemental Data ----------------------------------------------------------------------------------------------- Ratio of Operating Expenses to Average Net Assets Without Fee Waivers, Expenses Reimbursed and/or Fees Net Assets, Ratio of Ratio of Net Reduced by Credits End of Period Operating Expenses Investment Income to Portfolio Allowed by the Total Return (in 000's) to Average Net Assets Average Net Assets Turnover Rate Custodian(2) ------------ ------------- --------------------- -------------------- ------------- ---------------------- INCOME FUND Class 1 06/30/04 (unaudited) 0.13% $175,745 0.55%(9) 5.47%(9) 6% 0.55%(9) 12/31/03 9.78% 193,953 0.56% 5.74% 24% 0.56% 12/31/02 9.61% 179,844 0.56% 6.64% 21% 0.56% 12/31/01 8.08% 154,826 0.55% 6.69% 33% 0.55% 12/31/00 10.45% 127,505 0.74% 6.81% 2% 0.75% 12/31/99 (2.16)% 55,556 0.85% 6.84% 12% 0.85% Class 2 06/30/04 (unaudited) (0.04)% 22,410 0.80%(9) 5.22%(9) 6% 0.80%(9) 12/31/03 9.47% 21,188 0.81% 5.49% 24% 0.81% 12/31/02 9.40% 8,186 0.81% 6.39% 21% 0.81% 12/31/01(5) (1.34)% 362 0.80%(9) 6.44%(9) 33% 0.80%(9) MONEY MARKET FUND Class 1 06/30/04 (unaudited) 0.27% $ 16,326 0.64%(9) 0.53%(9) - 0.64%(9) 12/31/03 0.65% 20,198 0.60% 0.67% - 0.60% 12/31/02 1.39% 33,766 0.57% 1.32% - 0.57% 12/31/01 3.68% 28,563 0.62% 3.41% - 0.62% 12/31/00 5.79% 18,265 0.76% 5.57% - 0.78% 12/31/99 4.56% 31,105 0.71% 4.47% - 0.78% Class 2 06/30/04 (unaudited) 0.14% 3,450 0.89%(9) 0.28%(9) - 0.89%(9) 12/31/03 0.40% 3,068 0.85% 0.42% - 0.85% 12/31/02 1.13% 4,679 0.82% 1.07% - 0.82% 12/31/01(5) 0.22% 189 0.87%(9) 3.16%(9) - 0.87%(9)
See Notes to Financial Statements. 53 notes to financial statements (unaudited) WM VARIABLE TRUST 1. Organization and Business WM Variable Trust (the "Trust") was organized as a Massachusetts business trust on January 29, 1993. The Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. The Trust consists of 13 funds ("Funds") and 5 portfolios ("Portfolios"). The REIT, Equity Income, Growth & Income, West Coast Equity, Mid Cap Stock, Growth, Small Cap Value, Small Cap Growth (formerly, Small Cap Stock), International Growth, Short Term Income, U.S. Government Securities, Income and Money Market Funds are included in this report. The Small Cap Value Fund commenced operations on May 3, 2004. WM Advisors, Inc. (the "Advisor" or "WM Advisors") serves as investment advisor to the Trust. The Advisor is a wholly-owned subsidiary of Washington Mutual, Inc. ("Washington Mutual"), a publicly owned financial services company. The Trust is authorized to issue an unlimited number of shares of beneficial interest, each without par value. Each Fund may offer two classes of shares: Class 1 shares and Class 2 shares. These shares are issued and redeemed only in connection with investments in, and payments under, variable annuity and variable life insurance contracts (collectively "Variable Insurance Contracts"), as well as certain qualified retirement plans. The Small Cap Value Fund is not currently offering Class 2 shares. 2. Significant Accounting Policies The following is a summary of significant accounting policies, in conformity with accounting principles generally accepted in the United States of America ("generally accepted accounting principles"), which are consistently followed by the Funds in the preparation of their financial statements. Portfolio valuation: Securities that are primarily traded on a U.S. exchange (excluding securities traded through the Nasdaq National Market System, which are valued at the Nasdaq official closing price) are valued at the last sale price on that exchange or, if there were no sales during the day (and no official closing price on such day), at the mean of the current day's bid and asked prices. Securities traded only on over-the-counter markets (other than the Nasdaq National Market System and the U.S. Government Securities System) are valued at the mean of the current day's bid and asked prices. The value of a foreign security is determined in its functional currency as of the close of trading on the foreign exchange on which it is traded or at the close of the New York Stock Exchange, if that is earlier, or if there has been movement in the U.S. market and/or other economic indicators that exceed a specified threshold, the foreign security is fair valued. The value is then converted into its U.S. dollar equivalent using prevailing exchange rates on the day the value of the foreign security is determined. Options are generally valued at the last sale price or, in the absence of a last sale price, at the mean of the current day's bid and asked prices. The value of a futures contract equals the unrealized gain or loss on the contract, which is determined by marking the contract to the current settlement price for a like contract acquired on the day on which the futures contract is being valued. Debt securities of U.S. issuers (other than short-term investments), including municipal securities, are valued by one or more independent pricing services (each a "Pricing Service") retained by the Trusts. When, in the judgment of a Pricing Service, market quotations for these securities are readily available, they are valued at the mean between the quoted bid and asked prices. Short-term debt securities that mature in 60 days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined by or under the direction of the Board of Trustees. The investments of the Money Market Fund are valued on the basis of amortized cost in accordance with Rule 2a-7 of the 1940 Act, which approximates market value. Amortized cost valuation involves initially valuing an instrument at its cost and thereafter assuming a constant amortization to maturity of any discount or premium, as long as the amortized cost fairly reflects the market-based net asset value per share. Certain other assets may be valued by the Advisor under the supervision of the Board of Trustees. 54 notes to financial statements (unaudited) (continued) WM VARIABLE TRUST Repurchase agreements: Each Fund may enter into repurchase agreement transactions. A repurchase agreement is a purchase of an underlying debt obligation subject to an agreement by the seller to repurchase the obligation at an agreed upon price and time. The value of the collateral is at all times at least equal to the total amount of the repurchase obligation. In the event of counterparty default, the Fund would seek to use the collateral to offset losses incurred. There is potential loss to the Fund in the event the Fund is delayed or prevented from exercising its right to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Fund seeks to assert its rights. WM Advisors, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the creditworthiness of those banks and broker-dealers with whom each Fund enters into repurchase agreements. Futures contracts: Certain Funds may enter into futures transactions. The underlying value of a futures contract is incorporated within the unrealized appreciation/ (depreciation) shown in the Portfolio of Investments under the caption "Futures Contracts." Upon entering into a futures contract, the Fund is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount (known as an initial margin deposit). Subsequent payments (known as variation margins) are made or received by the Fund each day, depending on the daily fluctuation of the value of the contract. The daily changes in contract value are recorded as unrealized gains or losses and the Fund recognizes a realized gain or loss when the contract is closed. Should market conditions change unexpectedly, the Funds may not achieve the anticipated benefits of the futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Purchased option contracts: Certain Funds may enter into put and call option contracts. These Funds may use option contracts to manage their exposure to the stock and bond markets and to fluctuations in interest rates and currency values. Upon entering into a put or call option, the premium paid is recorded as an investment. The daily changes in contract value are recorded as unrealized gains or losses. When a purchased option expires, the Fund will realize a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, the Fund will realize a gain or loss depending on whether the sales proceeds from the closing sale transaction are greater or less than the cost of the option plus related transaction costs. When the Fund exercises a put option, the Fund will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security, which the Fund purchases upon exercise, will be increased by the premium originally paid. The risk associated with purchasing options is limited to the premium originally paid. Foreign currency: The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars on a daily basis using prevailing exchange rates. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions. Unrealized gains and losses, not relating to securities, which result from changes in foreign currency exchange rates have been included in unrealized appreciation/(depreciation) of investments. Unrealized gains and losses of securities, which result from changes in foreign currency exchange rates as well as changes in market prices of securities, have been included in unrealized appreciation/(depreciation) of investments. Net realized foreign currency gains and losses, which result from changes in exchange rates between trade date and settlement date on investment transactions as well as the difference between the amounts of interest and dividends recorded on the books of the Funds and the amount actually received, have been included in realized gains/(losses) on investment transactions. Foreign currency gains and losses, which result from fluctuations in exchange rates between the initial purchase trade date and subsequent sale trade date, have been included in realized gains/(losses) on investment transactions. Forward foreign currency contracts: Certain Funds may enter into forward foreign currency contracts. Forward foreign currency contracts are agreements to exchange one currency for another at a future date and at a specified price. These Funds may use forward foreign currency contracts to facilitate transactions in foreign securities and to manage the Funds' foreign currency exposure. These contracts are 55 notes to financial statements (unaudited) (continued) WM VARIABLE TRUST valued daily, and a Fund's net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the "Statements of Assets and Liabilities". Realized and unrealized gains and losses are included in the "Statements of Operations". Due to the risks, the Funds could incur losses up to the entire contract amount, which may exceed the net unrealized value shown in the "Statements of Assets and Liabilities". Illiquid investments: Each Fund may invest a portion of its net assets in securities that are not readily marketable, including: (1) repurchase agreements with maturities greater than seven calendar days; (2) time deposits maturing in more than seven calendar days; (3) certain futures contracts and options; (4) certain variable rate demand notes having a demand period of more than seven calendar days; and (5) securities, the disposition of which are restricted under Federal securities laws, excluding certain Rule 144A securities, as defined in the following paragraph. Illiquid securities generally cannot be sold or disposed of in the ordinary course of business (within seven calendar days) at approximately the value at which the Funds have valued the investments. This may have an adverse effect on the Fund's ability to dispose of particular illiquid securities at fair market value and may limit the Fund's ability to obtain accurate market quotations for purposes of valuing the securities and calculating the net asset value of shares of the Fund. The Funds may also purchase securities that are not registered under the Securities Act of 1933, as amended (the "Act"), but that can be sold to qualified institutional buyers in accordance with Rule 144A under the Act ("Rule 144A Securities"). Rule 144A Securities generally must be sold only to other qualified institutional buyers. If a particular investment in Rule 144A Securities is not determined to be liquid under the guidelines established by the Board of Trustees, that investment will be subject to a Fund's limitation on investment in illiquid securities. Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities sold are recorded on the identified cost basis. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date; interest income is not accrued until settlement date. Each Fund instructs the custodian to segregate assets of the Fund with a current value at least equal to the amount of its when-issued purchase commitments. Interest income on debt securities is accrued daily. Premiums and discounts are amortized using the interest method. Paydown gains and losses on mortgage-backed and asset-backed securities are presented as an adjustment to interest income. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities are recorded as soon as the Funds are informed of the ex-dividend date. Each Fund's investment income and realized and unrealized gains and losses are allocated among the classes of that Fund based upon the relative average net assets of each class. Dividends and distributions to shareholders: Dividends from net investment income and distributions of any net capital gains earned by a Fund are declared and paid annually, with the exception of the Money Market Fund from which dividends from net investment income are declared daily and paid monthly. Distributions from income and capital gains are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Funds, redesignated distributions and differing characterization of distributions made by each Fund. Federal income taxes: It is each Fund's policy to qualify as a regulated investment company by complying with the requirements of the Internal Revenue Code of 1986, as amended (the "Code"), applicable to regulated investment companies and by distributing substantially all of its earnings to its shareholders. Therefore, no federal income or excise tax provision is required. It is each Fund's policy to meet the diversification requirements of the Code so that variable annuity and variable life contracts funded by the Trust will not fail to qualify as annuities and life insurance contracts for tax purposes. 56 notes to financial statements (unaudited) (continued) WM VARIABLE TRUST Expenses: General expenses of the Trust are allocated to all the Funds and Portfolios of the Trust based upon the relative average net assets of each Fund and Portfolio. Operating expenses directly attributable to a class of shares are charged to the operations of that class of shares. Expenses of each Fund not directly attributable to the operations of any class of shares are prorated among the classes to which the expenses relate based on the relative average net assets of each class of shares. Use of estimates: The preparation of financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. 3. Investment Advisory and Other Transactions WM Advisors serves as investment advisor to the Trust. The Advisor is entitled to a monthly fee at an annual rate based upon a percentage of the average daily net assets of each Fund at the following rates:
From $0 From $25 From $50 From $100 From $125 From $200 From $250 From $400 From $500 From $2 to $25 to $50 to $100 to $125 to $200 to $250 to $400 to $500 million to to Name of Fund million million million million million million million million $2 billion $3 billion - ------------ ----------------------------------------------------------------------------------------------------------- REIT Fund 0.800% 0.800% 0.800% 0.800% 0.800% 0.800% 0.800% 0.800% 0.750% 0.700% Equity Income Fund 0.625% 0.625% 0.625% 0.625% 0.625% 0.625% 0.625% 0.625% 0.500% 0.500% Growth & Income Fund 0.800% 0.800% 0.800% 0.750% 0.750% 0.700% 0.700% 0.650% 0.575% 0.575% West Coast Equity Fund 0.625% 0.625% 0.625% 0.625% 0.625% 0.625% 0.625% 0.625% 0.500% 0.500% Mid Cap Stock Fund 0.750% 0.750% 0.750% 0.750% 0.750% 0.750% 0.750% 0.750% 0.750% 0.750% Growth Fund 0.950% 0.875% 0.875% 0.875% 0.875% 0.875% 0.825% 0.825% 0.750% 0.700% Small Cap Value Fund 0.850% 0.850% 0.850% 0.850% 0.850% 0.850% 0.850% 0.850% 0.850% 0.850% Small Cap Growth Fund 0.900% 0.850% 0.850% 0.850% 0.850% 0.850% 0.850% 0.850% 0.750% 0.750% International Growth Fund 0.950% 0.950% 0.850% 0.850% 0.750% 0.750% 0.750% 0.750% 0.750% 0.750% Short Term Income Fund 0.500% 0.500% 0.500% 0.500% 0.500% 0.450% 0.450% 0.450% 0.400% 0.400% U.S. Government Securities Fund 0.500% 0.500% 0.500% 0.500% 0.500% 0.500% 0.500% 0.500% 0.500% 0.500% Income Fund 0.500% 0.500% 0.500% 0.500% 0.500% 0.500% 0.500% 0.500% 0.500% 0.500% Money Market Fund 0.450% 0.450% 0.450% 0.450% 0.450% 0.450% 0.450% 0.450% 0.450% 0.450% Over Name of Fund $3 billion - ------------ ---------- REIT Fund 0.650% Equity Income Fund 0.500% Growth & Income Fund 0.575% West Coast Equity Fund 0.500% Mid Cap Stock Fund 0.700% Growth Fund 0.650% Small Cap Value Fund 0.850% Small Cap Growth Fund 0.750% International Growth Fund 0.700% Short Term Income Fund 0.400% U.S. Government Securities Fund 0.450% Income Fund 0.450% Money Market Fund 0.450%
Custodian fees for certain Funds have been reduced by credits allowed by the Funds' custodian for uninvested cash balances. The Funds could have invested this cash in income producing securities. Fees reduced by credits allowed by the custodian for the six months ended June 30, 2004 are shown separately in the "Statements of Operations". 4. Trustees' Fees No officer or employee of Washington Mutual or its subsidiaries receives any compensation from the Trust for serving as an officer or Trustee of the Trust. The Trust, together with other mutual funds advised by WM Advisors, pay each Trustee who is not an officer or employee of Washington Mutual or its subsidiaries, a per annum retainer plus attendance fees for each meeting at which they are present. The Lead Trustee, Committee Chairs and Committee Members receive additional remuneration for these services to the Trust. Trustees are also reimbursed for travel and out-of-pocket expenses. Each Trustee serves in the same capacity for all 42 funds within the WM Group of Funds. 57 notes to financial statements (unaudited) (continued) WM VARIABLE TRUST 5. Distribution Plans Each of the Funds has adopted a distribution plan, pursuant to Rule 12b-1 under the 1940 Act, applicable to Class 2 shares of the Funds (a "Rule 12b-1 Plan"). Under the Rule 12b-1 Plan, WM Funds Distributor, Inc. (the "Distributor"), a registered broker-dealer and a wholly-owned subsidiary of Washington Mutual, may receive a fee at an annual rate of 0.25% of the average daily net assets attributable to Class 2 shares. This fee may be used to cover the expenses of the Distributor primarily intended to result in the sale of such shares, including payments to the Distributor's representatives or others for selling shares. The Rule 12b-1 Plan shall remain in effect from year to year, provided such continuance is approved annually by vote of the Board of Trustees, including a majority of those Trustees who are not "interested persons" of the Trust, as defined in the 1940 Act, and who have no direct or indirect financial interest in the operation of the distribution plan or any agreements related to the plan. 6. Purchases and Sales of Securities The aggregate cost of purchases and proceeds from sales of securities, excluding U.S. Government and short-term investments, for the six months ended June 30, 2004, are as follows: Purchases Sales Name of Fund (000s) (000s) - ------------ --------- -------- REIT Fund $ 3,758 $ 1,946 Equity Income Fund 27,219 15,923 Growth & Income Fund 15,870 5,187 West Coast Equity Fund 13,015 11,769 Mid Cap Stock Fund 22,744 14,684 Growth Fund 103,618 68,509 Small Cap Value Fund* 32,745 2,257 Small Cap Growth Fund 13,879 33,881 International Growth Fund 15,398 9,327 Short Term Income Fund 4,201 2,752 U.S. Government Securities Fund 17,132 606 Income Fund 7,895 1,162 *The Small Cap Value Fund commenced operations on May 3, 2004. The aggregate cost of purchases and proceeds from sales of U.S. Government securities, excluding short-term investments, for the six months ended June 30, 2004, are as follows: Purchases Sales Name of Fund (000s) (000s) - ------------ --------- -------- Short Term Income Fund $ 1,685 $ 2,108 U.S. Government Securities Fund 64,163 37,734 Income Fund 5,169 15,977 7. Lending of Securities Certain Funds may lend securities to brokers, dealers and other financial organizations to earn additional income. Each security loan is collateralized with assets in an amount equal to or greater than the current market value of the loaned securities. There is a risk of delay in receiving collateral, that the collateral could lose value or become valueless, or in recovering the securities loaned or even a loss of rights in collateral should the borrower fail financially. At June 30, 2004, each of the Funds with outstanding loans of securities to certain brokers, dealers or other financial institutions has segregated cash and/or securities at least equal to the market value of securities loaned with the Funds' custodian. 58 notes to financial statements (unaudited) (continued) WM VARIABLE TRUST 8. Transactions with Affiliates At June 30, 2004, the WM Variable Trust Portfolios hold investments in a number of the Funds. The figures presented below represent the percentage of shares outstanding of each Fund owned by the Portfolios:
Portfolios ------------------------------------------------------------------ Flexible Conservative Conservative Strategic Income Balanced Balanced Growth Growth Name of Fund Portfolio Portfolio Portfolio Portfolio Portfolio - ------------ --------- --------- --------- --------- --------- REIT Fund 4.8% 2.7% 43.2% 34.8% 13.6% Equity Income Fund 3.8% 1.8% 31.1% 23.2% 9.3% Growth & Income Fund 5.4% 1.8% 31.0% 26.5% 12.6% West Coast Equity Fund 1.8% 1.4% 26.0% 22.1% 11.2% Mid Cap Stock Fund 5.8% 2.0% 33.9% 27.6% 15.4% Growth Fund 4.7% 1.9% 32.8% 26.7% 11.6% Small Cap Value Fund 5.7% 2.2% 40.7% 35.2% 16.2% Small Cap Growth Fund 3.7% 1.4% 26.9% 23.2% 10.5% International Growth Fund - 2.5% 38.5% 32.5% 15.7% Short Term Income Fund 42.5% 5.5% 12.5% - - U.S. Government Securities Fund 24.1% 5.4% 37.8% 11.7% - Income Fund 24.9% 5.2% 34.8% 7.2% -
9. Unrealized Appreciation/(Depreciation) At June 30, 2004, the aggregate gross unrealized appreciation/(depreciation) on a tax basis are as follows:
(In thousands) ------------------------------------------------------------------------- Equity Growth & West Coast Mid Cap Small Cap REIT Income Income Equity Stock Growth Value Fund Fund Fund Fund Fund Fund Fund ------- -------- -------- ---------- -------- -------- --------- Tax basis unrealized appreciation $ 9,293 $ 37,003 $ 62,647 $ 29,808 $ 25,375 $ 27,693 $ 1,686 Tax basis unrealized depreciation (301) (3,319) (7,595) (6,200) (834) (4,436) (925) ------- -------- -------- -------- -------- -------- ------- Net tax unrealized appreciation $ 8,992 $ 33,684 $ 55,052 $ 23,608 $ 24,541 $ 23,257 $ 761 ======= ======== ======== ======== ======== ======== ======= U.S. Small Cap International Short Term Government Money Growth Growth Income Securities Income Market Fund Fund Fund Fund Fund Fund --------- ------------- ---------- ---------- -------- ------ Tax basis unrealized appreciation $ 14,185 $ 14,163 $ 1,304 $ 3,048 $ 12,452 $ - Tax basis unrealized depreciation (7,054) (2,659) (517) (3,440) (4,112) - -------- -------- ------- ------- -------- ------ Net tax unrealized appreciation/ (depreciation) $ 7,131 $ 11,504 $ 787 $ (392) $ 8,340 $ - ======== ======== ======= ======= ======== ======
10. Industry and Geographic Concentration and Other Risk Factors While no individual fund is intended as a complete investment program, this is especially true for funds that concentrate their investments such as those investing in particular industries or regions. The REIT Fund concentrates its investments in real estate investment trust ("REIT") securities or debt securities of issuers that are principally engaged in the U.S. real estate or related industries. The REIT Fund could be adversely impacted by economic trends within this industry. 59 notes to financial statements (unaudited) (continued) WM VARIABLE TRUST The West Coast Equity Fund concentrates its investments in companies located or doing business in Alaska, California, Idaho, Montana, Oregon and Washington. The West Coast Equity Fund could be adversely impacted by economic trends within this region. Certain Funds may invest a portion of their assets in foreign securities of developing or emerging markets countries; enter into forward foreign currency transactions; lend their portfolio securities; enter into a stock index, interest rate and currency futures contracts, and options on such contracts; enter into interest rate swaps or purchase or sell interest rate caps or floors; enter into other types of options transactions; make short sales; purchase zero coupon and payment-in-kind bonds; enter into repurchase or reverse repurchase agreements; purchase and sell "when-issued" securities and engage in "delayed-delivery" transactions; and enter into various other investment practices, each with inherent risks. The risks involved in investing in foreign securities include those resulting from future adverse political and economic developments and the possible imposition of currency exchange restrictions or other foreign laws or restrictions. The risks involved in investing in a high concentration of a single sector include those resulting from future adverse political and economic developments or regulatory occurrences and the potential for adverse effects to the financial conditions of the industries within the sector due to market fluctuations. From time to time, one or more of the Funds used for investment by a Portfolio may experience relatively large investments or redemptions due to reallocations or rebalancings by the Portfolios. These transactions will affect the Funds, since the Funds that experience redemptions as a result of the reallocations or rebalancings may have to sell portfolio securities and the Funds that receive additional cash will have to invest such cash. While it is impossible to predict the overall impact of these transactions over time, there could be adverse effects on portfolio management to the extent that the Funds may be required to sell securities or invest cash at times when they would not otherwise do so. These transactions could also have tax consequences if sales of securities resulted in gains and could also increase transaction costs. The Advisor is committed to minimizing such impact on the Funds to the extent it is consistent with pursuing the investment objectives of the Portfolios. The Advisor may nevertheless face conflicts in fulfilling its responsibilities. The Advisor will, at all times, monitor the impact on the Funds of transactions by the Portfolios. 11. Proxy Voting Information The policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities held by the Fund are included in the Trust's Statement of Additional Information which is available, without charge and upon request, by calling 1-800-222-5852. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30, 2004 is available at http://www.groupoffunds.com. This information is also available at http://www.sec.gov. 60 Before investing, you should carefully consider a fund's investment objectives, risks, charges, and expenses. Contact your Investment Representative or call 800-222-5852 to obtain a prospectus containing this and other information. Read the prospectus carefully before investing. This Semi-Annual Report is published for the general information of the shareholders of the WM Variable Trust. It is authorized for distribution to prospective investors only when preceded or accompanied by a current prospectus. Share prices and investment return will vary with market conditions, and the principal value of an investment when you sell your shares may be more or less than the original cost. Shares of the WM Variable Trust are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, National Credit Union Association (NCUA), National Credit Union Share Insurance Fund (NCUSIF), or any other federal government agency. The purchase of WM Variable Trust shares is not required for and is not a term of the provision of any banking service or activity. They are not deposits or obligations of, nor are they guaranteed by, any bank. These securities are subject to investment risk, including possible loss of principal amount invested. Distributed by: WM Funds Distributor, Inc. Member NASD - ---------------------------------------------------------------------------- [wm Variable Trust logo] P R S R T S T D U.S. POSTAGE PAID HAZELWOOD, MO P E R MI T # 1 4 WM Funds Distributor, Inc. 12009 Foundation Place, Suite 350 Gold River, CA 95670 VTSAR (8/27/04) [wm Variable Trust logo] W M V A R I A B L E T R U S T * Strategic Asset Management Portfolios Common sense. Uncommon solutions. [Picture] Semi-Annual Report June 30, 2004 WM Strategic Asset Management Portfolios Flexible Income Portfolio Conservative Balanced Portfolio Balanced Portfolio Conservative Growth Portfolio Strategic Growth Portfolio Table of Contents Message from the President 1 Portfolios of Investments 2 Statements of Assets and Liabilities 5 Statements of Operations 6 Statements of Changes in Net Assets 7 Statements of Changes in Net Assets - Capital Stock Activity 9 Financial Highlights 10 Notes to Financial Statements 14 - ---------------------------------------------------------- Not FDIC or NCUA/NCUSIF Insured - ---------------------------------------------------------- May Lose Value * Not a Deposit* No Bank or Credit Union Guarantee * Not Insured by any federal government agency - ---------------------------------------------------------- [Picture] Dear Investor: Since our last shareholder report, the U.S. economy has regained its economic foothold. Corporate profits have improved in an ongoing environment of low inflation and slowly rising interest rates. Corporations are showing renewed confidence, which is evident in increased capital spending and hiring, accompanied by higher worker productivity. The creation of more jobs in the service and manufacturing sectors is a welcome sign that can have a growing positive impact on the economy. We are also seeing the development of more favorable factors outside the U.S. that can drive stronger economic growth. These developments were reflected in the performance of the stock market, which gained 3% for the six-month period ended June 30, 2004.(1) Among the best-performing equity sectors were energy (+13%), industrials (+7%), consumer staples (+6%), and telecommunication services (+4%).(2) Fixed-income instruments gave back gains earned in the first quarter and finished the period in negative territory. In this rising interest rate environment, shorter maturity corporate bonds generally performed better than those with longer maturities, while lower-rated issues in financial institutions, consumer cyclicals, and energy were the better-performing fixed-income sectors. During the first half of the year, 10-year Treasuries returned - -0.4%,(3) which included second quarter performance that ranked as the worst quarterly decline since the first quarter of 1994.(4) Yields, which move inversely to prices, rose slightly. Asset Allocation Shows Its Benefits What makes the investment business so challenging is that we continually see new positive trends that are invariably accompanied by negative news. This combination of events can rapidly alter our well-researched projections. As a result, we continue to embrace asset allocation, which studies have estimated accounts for over 90% of an investment's return.(5) In our judgment, this is the most appropriate and time-tested investment philosophy. Our approach to investing is reflected in such variables as portfolio allocations, bond maturities, corporate sector and asset class exposures, equity styles, and capitalizations. As evidence of how important asset allocation is to our investment approach, we launched the WM VT Small Cap Value Fund, which invests in smaller-sized, undervalued firms, on May 3 of this year. With this new fund, we can now invest in up to 13 separate asset classes within our Strategic Asset Management (SAM) Portfolios. It also provides us with greater investment opportunities and strengthens our ability to spread assets across more well-researched and widely traded investment styles. Celebrating 65 Years of Shared Values This year marks the 65th anniversary of our WM Equity Income Fund, which traces its origins back to 1939 when it was launched as the Composite Bond Fund, one of the first 50 mutual funds in the United States. Much has changed since then. Today there are over 8,000 U.S. mutual funds,(6) but few can claim a similar heritage and institutional dedication to shareholder interests. I am honored to be only the fourth president of WM Advisors during its 65-year history. My mentor, Lee Sahlin, upheld the corporate culture developed under his predecessor, George Yancey, who worked alongside the founder of the Composite Research & Management Company, R. M. "Pete" Williams. My predecessors had long tenures because they took the values of long-term investing, consistency of purpose, trust, and integrity very seriously. I am proud that these values are still at work today at our staff, management, and board levels. The WM Group of Funds Board of Trustees is comprised of 11 experienced individuals, eight of whom are independent of fund management. The remaining three trustees (myself included) are termed "interested persons" of fund management or Washington Mutual, Inc. Acting together, the board members represent shareholder interests by striving to ensure that the funds' managers, distributor, transfer agent, and other service providers meet their fiduciary responsibilities. A Time-Tested Investment Approach As the mutual fund industry approaches its 80th anniversary, we note that over a history with nearly the same longevity, WM Advisors has built a venerable record of successful investment management. Our investment philosophy has been tested over decades that have included some extraordinary historic and economic events. We have persevered while also achieving some exceptional results and recognition for our achievements from national publications, such as Barron's. I believe the key to this success can be distilled from our investment process, consistent approach, and teamwork. Our overall approach is aligned with the goals of our shareholders, so we operate with a common purpose. This process has worked exceptionally well for the past 65 years, and we are confident it can produce mutual benefits in the years ahead. Sincerely, /s/ William G. Papesh William G. Papesh President (1) As measured by the S&P 500 Index. Indices are unmanaged, and individuals cannot invest directly in an index. (2) Source: Ibbotson Associates. (3) Source: Lehman Brothers. (4) Source: Aaron Lucchetti, "Bond Rally Ends as Economy, Job Market Spur Fed to Move," Wall Street Journal, 1 July 2004. (5) Source: G.P. Brinson, L.R. Hood, and G.L. Beebower, "Determinants of Portfolio Performance," Financial Analysts Journal (January/February 1995). (6) Source: Investment Company Institute. 1 portfolios of investments FLEXIBLE INCOME PORTFOLIO June 30, 2004 (unaudited) Value Shares (000s) ------ ------ INVESTMENT COMPANY SECURITIES -- 99.6% 479,320 WM VT Equity Income Fund $ 6,979 796,513 WM VT Growth & Income Fund 13,907 880,169 WM VT Growth Fund 10,896 1,770,935 WM High Yield Fund 14,079 4,690,719 WM VT Income Fund 49,299 389,001 WM VT Mid Cap Stock Fund 6,041 151,807 WM VT REIT Fund 2,065 9,314,032 WM VT Short Term Income Fund 23,565 208,882 WM VT Small Cap Growth Fund 1,972 196,129 WM VT Small Cap Value Fund 2,012 6,242,209 WM VT U.S. Government Securities Fund 64,732 111,961 WM VT West Coast Equity Fund 2,106 ---------- Total Investment Company Securities (Cost $187,504) 197,653 ---------- TOTAL INVESTMENTS (Cost $187,504*) 99.6% 197,653 OTHER ASSETS AND LIABILITIES (Net) 0.4 863 ----- ---------- NET ASSETS 100.0% $ 198,516 ===== ========== ================== * Aggregate cost for federal tax purposes. CONSERVATIVE BALANCED PORTFOLIO June 30, 2004 (unaudited) Value Shares (000s) ------ ------ INVESTMENT COMPANY SECURITIES -- 98.7% 233,766 WM VT Equity Income Fund $ 3,404 267,082 WM VT Growth & Income Fund 4,663 358,038 WM VT Growth Fund 4,433 399,791 WM High Yield Fund 3,178 983,671 WM VT Income Fund 10,338 178,630 WM VT International Growth Fund 2,033 134,485 WM VT Mid Cap Stock Fund 2,089 84,286 WM VT REIT Fund 1,146 1,215,578 WM VT Short Term Income Fund 3,076 78,511 WM VT Small Cap Growth Fund 741 75,368 WM VT Small Cap Value Fund 773 1,389,876 WM VT U.S. Government Securities Fund 14,413 86,829 WM VT West Coast Equity Fund 1,633 ---------- Total Investment Company Securities (Cost $49,049) 51,920 ---------- Principal Amount (000s) --------- REPURCHASE AGREEMENT -- 0.9% (Cost $472) $ 472 Agreement with Morgan Stanley, 1.290% dated 06/30/2004, to be repurchased at $472,000 on 07/01/2004 (Collateralized by U.S. Treasury Notes, having various interest rates and maturities, market value $480,000) 472 ---------- TOTAL INVESTMENTS (Cost $49,521*) 99.6% 52,392 OTHER ASSETS AND LIABILITIES (Net) 0.4 188 ----- ---------- NET ASSETS 100.0% $ 52,580 ===== ========== ================== * Aggregate cost for federal tax purposes. See Notes to Financial Statements. 2 portfolios of investments BALANCED PORTFOLIO June 30, 2004 (unaudited) Value Shares (000s) ------ ------ INVESTMENT COMPANY SECURITIES -- 98.0% 3,926,987 WM VT Equity Income Fund $ 57,177 4,621,015 WM VT Growth & Income Fund 80,683 6,180,563 WM VT Growth Fund 76,515 3,542,593 WM High Yield Fund 28,164 6,558,548 WM VT Income Fund 68,930 2,712,101 WM VT International Growth Fund 30,864 2,268,205 WM VT Mid Cap Stock Fund 35,225 1,359,111 WM VT REIT Fund 18,484 2,752,526 WM VT Short Term Income Fund 6,964 1,515,238 WM VT Small Cap Growth Fund 14,304 1,408,686 WM VT Small Cap Value Fund 14,453 9,803,088 WM VT U.S. Government Securities Fund 101,658 1,600,431 WM VT West Coast Equity Fund 30,104 ---------- Total Investment Company Securities (Cost $512,414) 563,525 ---------- Principal Amount (000s) --------- REPURCHASE AGREEMENT -- 2.0% (Cost $11,315) $ 11,315 Agreement with Morgan Stanley, 1.290% dated 06/30/2004, to be repurchased at $11,315,000 on 07/01/2004 (Collateralized by U.S. Treasury Notes, having various interest rates and maturities, market value $11,497,000) 11,315 ---------- TOTAL INVESTMENTS (Cost $523,729*) 100.0% 574,840 OTHER ASSETS AND LIABILITIES (Net) 0.0 66 ----- ---------- NET ASSETS 100.0% $ 574,906 ===== ========== ================== * Aggregate cost for federal tax purposes. CONSERVATIVE GROWTH PORTFOLIO June 30, 2004 (unaudited) Value Shares (000s) ------ ------ INVESTMENT COMPANY SECURITIES -- 99.8% 2,937,298 WM VT Equity Income Fund $ 42,767 3,937,931 WM VT Growth & Income Fund 68,756 5,022,548 WM VT Growth Fund 62,179 1,796,004 WM High Yield Fund 14,278 1,350,051 WM VT Income Fund 14,189 2,293,211 WM VT International Growth Fund 26,097 1,844,270 WM VT Mid Cap Stock Fund 28,641 1,095,783 WM VT REIT Fund 14,903 1,309,749 WM VT Small Cap Growth Fund 12,364 1,217,739 WM VT Small Cap Value Fund 12,494 3,026,389 WM VT U.S. Government Securities Fund 31,384 1,362,500 WM VT West Coast Equity Fund 25,629 ---------- Total Investment Company Securities (Cost $342,595) 353,681 ---------- Principal Amount (000s) --------- REPURCHASE AGREEMENT -- 0.1% (Cost $514) $ 514 Agreement with Morgan Stanley, 1.290% dated 06/30/2004, to be repurchased at $514,000 on 07/01/2004 (Collateralized by U.S. Treasury Notes, having various interest rates and maturities, market value $522,000) 514 ---------- TOTAL INVESTMENTS (Cost $343,109*) 99.9% 354,195 OTHER ASSETS AND LIABILITIES (Net) 0.1 229 ----- ---------- NET ASSETS 100.0% $ 354,424 ===== ========== ================== * Aggregate cost for federal tax purposes. See Notes to Financial Statements. 3 portfolio of investments STRATEGIC GROWTH PORTFOLIO June 30, 2004 (unaudited) Value Shares (000s) ------ ------ INVESTMENT COMPANY SECURITIES -- 99.3% 1,179,068 WM VT Equity Income Fund $ 17,167 1,872,574 WM VT Growth & Income Fund 32,695 2,192,134 WM VT Growth Fund 27,139 888,208 WM High Yield Fund 7,061 1,109,174 WM VT International Growth Fund 12,622 1,028,317 WM VT Mid Cap Stock Fund 15,970 427,194 WM VT REIT Fund 5,810 591,447 WM VT Small Cap Growth Fund 5,583 560,098 WM VT Small Cap Value Fund 5,747 690,121 WM VT West Coast Equity Fund 12,981 ---------- Total Investment Company Securities (Cost $136,169) 142,775 ---------- Principal Amount (000s) --------- REPURCHASE AGREEMENT -- 0.4% (Cost $575) $ 575 Agreement with Morgan Stanley, 1.290% dated 06/30/2004, to be repurchased at $575,000 on 07/01/2004 (Collateralized by U.S. Treasury Notes, having various interest rates and maturities, market value $584,000) 575 ---------- TOTAL INVESTMENTS (Cost $136,744*) 99.7% 143,350 OTHER ASSETS AND LIABILITIES (Net) 0.3 443 ----- ---------- NET ASSETS 100.0% $ 143,793 ===== ========== ================== * Aggregate cost for federal tax purposes. See Notes to Financial Statements. 4 statements of assets and liabilities WM VARIABLE TRUST STRATEGIC ASSET MANAGEMENT PORTFOLIOS June 30, 2004 (unaudited) (In thousands)
Flexible Conservative Conservative Strategic Income Balanced Balanced Growth Growth Portfolio Portfolio Portfolio Portfolio Portfolio --------- --------- --------- --------- --------- ASSETS: Investments, at value (a) $197,653 $ 52,392 $574,840 $354,195 $143,350 Cash 99 1 --* 101 --* Receivable for Portfolio shares sold 871 220 731 589 572 Prepaid expenses and other assets 2 --* 7 4 2 -------- -------- -------- -------- -------- Total Assets 198,625 52,613 575,578 354,889 143,924 -------- -------- -------- -------- -------- LIABILITIES: Payable for Portfolio shares redeemed 10 1 100 194 60 Payable for investment securities purchased -- -- 315 101 -- Investment advisory fee payable 16 4 46 29 11 Administration fee payable 24 6 70 43 17 Distribution fees payable 10 3 25 11 5 Accrued legal and audit fees 15 14 17 16 14 Accrued printing and postage expenses 33 4 97 70 23 Accrued expenses and other payables 1 1 2 1 1 -------- -------- -------- -------- -------- Total Liabilities 109 33 672 465 131 -------- -------- -------- -------- -------- NET ASSETS $198,516 $ 52,580 $574,906 $354,424 $143,793 ======== ======== ======== ======== ======== (a) Investments, at cost $187,504 $ 49,521 $523,729 $343,109 $136,744 ======== ======== ======== ======== ======== NET ASSETS consist of: Undistributed net investment income $ 6,956 $ 1,490 $ 11,533 $ 4,577 $ 1,020 Accumulated net realized loss on investment transactions (543) (738) (30,414) (30,092) (14,032) Net unrealized appreciation of investments 10,149 2,871 51,111 11,086 6,606 Paid-in capital 181,954 48,957 542,676 368,853 150,199 -------- -------- -------- -------- -------- Total Net Assets $198,516 $ 52,580 $574,906 $354,424 $143,793 ======== ======== ======== ======== ======== NET ASSETS: Class 1 Shares $145,687 $ 36,799 $444,464 $294,374 $119,960 ======== ======== ======== ======== ======== Class 2 Shares $ 52,829 $ 15,781 $130,442 $ 60,050 $ 23,833 ======== ======== ======== ======== ======== SHARES OUTSTANDING: Class 1 Shares 10,847 3,300 29,567 18,782 7,032 ======== ======== ======== ======== ======== Class 2 Shares 3,952 1,422 8,714 3,848 1,401 ======== ======== ======== ======== ======== CLASS 1 SHARES:** Net asset value, offering and redemption price per share of beneficial interest outstanding $ 13.43 $ 11.15 $ 15.03 $ 15.67 $ 17.06 ======== ======== ======== ======== ======== CLASS 2 SHARES:** Net asset value, offering and redemption price per share of beneficial interest outstanding $ 13.37 $ 11.10 $ 14.97 $ 15.60 $ 17.01 ======== ======== ======== ======== ======== ================== * Amount represents less than $500. ** Net asset value is not shown in thousands. See Notes to Financial Statements.
5 statements of operations WM VARIABLE TRUST STRATEGIC ASSET MANAGEMENT PORTFOLIOS For the Six Months Ended June 30, 2004 (unaudited) (In thousands)
Flexible Conservative Conservative Strategic Income Balanced Balanced Growth Growth Portfolio Portfolio Portfolio Portfolio Portfolio --------- --------- --------- --------- --------- INVESTMENT INCOME: Dividends from investment company securities $ 7,293 $1,583 $12,394 $ 5,128 $1,235 Interest 3 2 70 10 6 -------- ------ ------- ------- ------ Total investment income 7,296 1,585 12,464 5,138 1,241 -------- ------ ------- ------- ------ EXPENSES: Investment advisory fee 95 23 272 170 66 Administration fee 142 35 408 255 100 Class 2 Shares distribution fees 55 15 137 62 24 Custodian fees 1 1 1 1 1 Legal and audit fees 14 13 21 17 13 Printing and postage expenses 16 2 46 30 11 Other 6 3 17 12 5 -------- ------ ------- ------- ------ Total expenses 329 92 902 547 220 Fees reduced by custodian credits --* --* --* --* --* -------- ------ ------- ------- ------ Net expenses 329 92 902 547 220 -------- ------ ------- ------- ------ NET INVESTMENT INCOME 6,967 1,493 11,562 4,591 1,021 -------- ------ ------- ------- ------ NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) on investment transactions 1,112 101 (1,817) (3,693) (3,316) Capital gain distributions received 113 41 692 564 294 Net change in unrealized appreciation/depreciation of investments (5,743) (756) 4,831 10,743 7,446 -------- ------ ------- ------- ------ Net realized and unrealized gain/(loss) on investments (4,518) (614) 3,706 7,614 4,424 -------- ------ ------- ------- ------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 2,449 $ 879 $15,268 $12,205 $5,445 ======== ====== ======= ======= ====== ================== * Amount represents less than $500. See Notes to Financial Statements.
6 statements of changes in net assets WM VARIABLE TRUST STRATEGIC ASSET MANAGEMENT PORTFOLIOS For the Six Months Ended June 30, 2004 (unaudited) (In thousands)
Flexible Conservative Conservative Strategic Income Balanced Balanced Growth Growth Portfolio Portfolio Portfolio Portfolio Portfolio --------- --------- --------- --------- --------- Net investment income $ 6,967 $ 1,493 $ 11,562 $ 4,591 $ 1,021 Net realized gain/(loss) on investment transactions 1,112 101 (1,817) (3,693) (3,316) Capital gain distributions received 113 41 692 564 294 Net change in unrealized appreciation/depreciation of investments (5,743) (756) 4,831 10,743 7,446 -------- -------- -------- -------- -------- Net increase in net assets resulting from operations 2,449 879 15,268 12,205 5,445 Distributions to shareholders from net investment income: Class 1 Shares (4,929) (737) (8,194) (3,986) (773) Class 2 Shares (1,693) (297) (2,224) (737) (137) Net increase in net assets from Portfolio share transactions: Class 1 Shares 5,321 5,271 21,029 3,683 10,990 Class 2 Shares 19,584 6,736 38,123 18,518 8,425 -------- -------- -------- -------- -------- Net increase in net assets 20,732 11,852 64,002 29,683 23,950 NET ASSETS: Beginning of period 177,784 40,728 510,904 324,741 119,843 -------- -------- -------- -------- -------- End of period $198,516 $ 52,580 $574,906 $354,424 $143,793 ======== ======== ======== ======== ======== Undistributed net investment income at end of period $ 6,956 $ 1,490 $ 11,533 $ 4,577 $ 1,020 ======== ======== ======== ======== ======== See Notes to Financial Statements.
7 statements of changes in net assets (continued) WM VARIABLE TRUST STRATEGIC ASSET MANAGEMENT PORTFOLIOS For the Year Ended December 31, 2003 (In thousands)
Flexible Conservative Conservative Strategic Income Balanced Balanced Growth Growth Portfolio Portfolio Portfolio Portfolio Portfolio --------- --------- --------- --------- --------- Net investment income $ 6,603 $ 1,027 $ 10,283 $ 4,628 $ 881 Net realized loss on investment transactions (1,044) (369) (13,373) (13,354) (4,837) Capital gain distributions received 24 8 178 144 49 Net change in unrealized appreciation/depreciation of investments 13,783 4,168 90,583 77,616 30,938 -------- -------- -------- -------- -------- Net increase in net assets resulting from operations 19,366 4,834 87,671 69,034 27,031 Distributions to shareholders from net investment income: Class 1 Shares (3,460) (518) (8,745) (5,270) (1,233) Class 2 Shares (438) (92) (1,167) (480) (70) Net increase/(decrease) in net assets from Portfolio share transactions: Class 1 Shares 3,941 7,355 17,869 (2,482) 7,462 Class 2 Shares 22,967 6,146 49,336 19,765 10,041 -------- -------- -------- -------- -------- Net increase in net assets 42,376 17,725 144,964 80,567 43,231 NET ASSETS: Beginning of year 135,408 23,003 365,940 244,174 76,612 -------- -------- -------- -------- -------- End of year $177,784 $ 40,728 $510,904 $324,741 $119,843 ======== ======== ======== ======== ======== Undistributed net investment income at end of year $ 6,611 $ 1,031 $ 10,389 $ 4,709 $ 909 ======== ======== ======== ======== ======== See Notes to Financial Statements.
8 statements of changes in net assets -- capital stock activity WM VARIABLE TRUST STRATEGIC ASSET MANAGEMENT PORTFOLIOS (In thousands)
Flexible Income Portfolio Conservative Balanced Portfolio Balanced Portfolio ------------------------- ------------------------------- ----------------------- Six Months Six Months Six Months Ended Ended Ended 06/30/04 Year Ended 06/30/04 Year Ended 06/30/04 Year Ended (unaudited) 12/31/03 (unaudited) 12/31/03 (unaudited) 12/31/03 ----------- ---------- ----------- ---------- ----------- ---------- AMOUNT Class 1: Sold $ 14,225 $ 28,141 $ 8,103 $ 11,763 $ 36,804 $ 64,152 Issued as reinvestment of dividends 4,929 3,460 737 518 8,194 8,745 Redeemed (13,833) (27,660) (3,569) (4,926) (23,969) (55,028) -------- -------- -------- -------- -------- -------- Net increase $ 5,321 $ 3,941 $ 5,271 $ 7,355 $ 21,029 $ 17,869 ======== ======== ======== ======== ======== ======== Class 2: Sold $ 18,354 $ 23,497 $ 6,853 $ 6,847 $ 37,973 $ 51,752 Issued as reinvestment of dividends 1,693 438 297 92 2,224 1,167 Redeemed (463) (968) (414) (793) (2,074) (3,583) -------- -------- -------- -------- -------- -------- Net increase $ 19,584 $ 22,967 $ 6,736 $ 6,146 $ 38,123 $ 49,336 ======== ======== ======== ======== ======== ======== SHARES Class 1: Sold 1,025 2,179 716 1,136 2,424 4,804 Issued as reinvestment of dividends 370 264 67 50 551 648 Redeemed (1,002) (2,143) (316) (485) (1,583) (4,227) -------- -------- -------- -------- -------- -------- Net increase 393 300 467 701 1,392 1,225 ======== ======== ======== ======== ======== ======== Class 2: Sold 1,330 1,809 610 656 2,519 3,834 Issued as reinvestment of dividends 128 33 27 9 150 87 Redeemed (34) (75) (37) (74) (138) (268) -------- -------- -------- -------- -------- -------- Net increase 1,424 1,767 600 591 2,531 3,653 ======== ======== ======== ======== ======== ======== Conservative Growth Portfolio Strategic Growth Portfolio ----------------------- -------------------------- Six Months Six Months Ended Ended 06/30/04 Year Ended 06/30/04 Year Ended (unaudited) 12/31/03 (unaudited) 12/31/03 ----------- ---------- ----------- ---------- AMOUNT Class 1: Sold $ 18,405 $ 38,262 $ 18,148 $ 21,723 Issued as reinvestment of dividends 3,987 5,270 773 1,233 Redeemed (18,709) (46,014) (7,931) (15,494) -------- -------- -------- -------- Net increase/(decrease) $ 3,683 $ (2,482) $ 10,990 $ 7,462 ======== ======== ======== ======== Class 2: Sold $ 18,629 $ 22,137 $ 9,127 $ 10,877 Issued as reinvestment of dividends 737 480 137 70 Redeemed (848) (2,852) (839) (906) -------- -------- -------- -------- Net increase $ 18,518 $ 19,765 $ 8,425 $ 10,041 ======== ======== ======== ======== SHARES Class 1: Sold 1,172 2,872 1,073 1,563 Issued as reinvestment of dividends 257 390 46 87 Redeemed (1,198) (3,586) (472) (1,157) -------- -------- -------- -------- Net increase/(decrease) 231 (324) 647 493 ======== ======== ======== ======== Class 2: Sold 1,195 1,632 544 741 Issued as reinvestment of dividends 48 36 8 5 Redeemed (55) (212) (50) (60) -------- -------- -------- -------- Net increase 1,188 1,456 502 686 ======== ======== ======== ======== See Notes to Financial Statements.
9 financial highlights For a Portfolio share outstanding throughout each period.
Income from Investment Operations ----------------------------------------------------------- Net Realized Net Asset Value, and Unrealized Total from Beginning of Net Investment Gain/(Loss) on Investment Period Income Investments Operations ---------------- -------------- -------------- ---------- FLEXIBLE INCOME PORTFOLIO Class 1 06/30/04 (unaudited) $13.71 $0.51 (6) $(0.32) $ 0.19 12/31/03 12.41 0.56 (6) 1.08 1.64 12/31/02 12.23 0.41 (6) (0.15) 0.26 12/31/01 11.90 0.17 (6) 0.40 0.57 12/31/00 11.86 0.58 (6) 0.10 0.68 12/31/99 11.38 0.58 (6) 0.41 0.99 Class 2 06/30/04 (unaudited) 13.65 0.49 (6) (0.31) 0.18 12/31/03 12.38 0.53 (6) 1.07 1.60 12/31/02 12.23 0.38 (6) (0.15) 0.23 12/31/01(5) 12.18 0.02 (6) 0.03 0.05 CONSERVATIVE BALANCED PORTFOLIO Class 1 06/30/04 (unaudited) $11.15 $0.37 (6) $(0.14) $ 0.23 12/31/03 9.73 0.36 (6) 1.29 1.65 12/31/02 10.04 0.31 (6) (0.54) (0.23) 12/31/01 9.90 0.13 0.10 0.23 12/31/00 9.90 0.49 (6) (0.00)(7) 0.49 12/31/99 10.42 0.71 (6) (0.52) 0.19 Class 2 06/30/04 (unaudited) 11.11 0.36 (6) (0.15) 0.21 12/31/03 9.71 0.33 (6) 1.29 1.62 12/31/02 10.04 0.29 (6) (0.54) (0.25) 12/31/01(5) 9.92 0.01 0.11 0.12 BALANCED PORTFOLIO Class 1 06/30/04 (unaudited) $14.88 $0.32 (6) $ 0.11 $ 0.43 12/31/03 12.42 0.33 (6) 2.46 2.79 12/31/02 13.91 0.32 (6) (1.53) (1.21) 12/31/01 14.50 0.17 (6) (0.15) 0.02 12/31/00 14.92 0.41 (6) (0.32) 0.09 12/31/99 12.20 0.34 (6) 2.95 3.29 Class 2 06/30/04 (unaudited) 14.82 0.30 (6) 0.12 0.42 12/31/03 12.39 0.30 (6) 2.45 2.75 12/31/02 13.91 0.29 (6) (1.53) (1.24) 12/31/01(5) 13.52 0.02 (6) 0.37 (8) 0.39 Less Distributions -------------------------------------------------------------- Distributions Dividends from from Net Investment Net Realized Total Net Asset Value, Income(1) Capital Gains Distributions End of Period -------------- -------------- ------------- ---------------- FLEXIBLE INCOME PORTFOLIO Class 1 06/30/04 (unaudited) $(0.47) $ -- $(0.47) $13.43 12/31/03 (0.34) -- (0.34) 13.71 12/31/02 (0.08) -- (0.08) 12.41 12/31/01 (0.15) (0.09) (0.24) 12.23 12/31/00 (0.58) (0.06) (0.64) 11.90 12/31/99 (0.50) (0.01) (0.51) 11.86 Class 2 06/30/04 (unaudited) (0.46) -- (0.46) 13.37 12/31/03 (0.33) -- (0.33) 13.65 12/31/02 (0.08) -- (0.08) 12.38 12/31/01(5) -- -- -- 12.23 CONSERVATIVE BALANCED PORTFOLIO Class 1 06/30/04 (unaudited) $(0.23) $ -- $(0.23) $11.15 12/31/03 (0.23) -- (0.23) 11.15 12/31/02 (0.07) (0.01) (0.08) 9.73 12/31/01 (0.09) -- (0.09) 10.04 12/31/00 (0.49) (0.00)(7) (0.49) 9.90 12/31/99 (0.70) (0.01) (0.71) 9.90 Class 2 06/30/04 (unaudited) (0.22) -- (0.22) 11.10 12/31/03 0.22) -- (0.22) 11.11 12/31/02 (0.07) (0.01) (0.08) 9.71 12/31/01(5) -- -- -- 10.04 BALANCED PORTFOLIO Class 1 06/30/04 (unaudited) $(0.28) $ -- $(0.28) $15.03 12/31/03 (0.33) -- (0.33) 14.88 12/31/02 (0.28) -- (0.28) 12.42 12/31/01 (0.25) (0.36) (0.61) 13.91 12/31/00 (0.43) (0.08) (0.51) 14.50 12/31/99 (0.48) (0.09) (0.57) 14.92 Class 2 06/30/04 (unaudited) (0.27) -- (0.27) 14.97 12/31/03 (0.32) -- (0.32) 14.82 12/31/02 (0.28) -- (0.28) 12.39 12/31/01(5) -- -- -- 13.91 See Notes to Financial Statements. 10 Ratios to Average Net Assets/Supplemental Data ---------------------------------------------- Net Assets, Ratio of End of Period Operating Expenses Total Return(2) (in 000's) to Average Net Assets(3) --------------- ------------- ------------------------ FLEXIBLE INCOME PORTFOLIO Class 1 06/30/04 (unaudited) 1.41% $145,687 0.29%(9) 12/31/03 13.30% 143,283 0.30% 12/31/02 2.14% 125,992 0.30% 12/31/01 4.84% 90,860 0.33% 12/31/00 5.79% 40,049 0.31% 12/31/99 8.58% 25,846 0.35% Class 2 06/30/04 (unaudited) 1.31% 52,829 0.54%(9) 12/31/03 13.02% 34,501 0.55% 12/31/02 1.89% 9,416 0.55% 12/31/01(5) 0.41% 182 0.58%(9) CONSERVATIVE BALANCED PORTFOLIO Class 1 06/30/04 (unaudited) 2.08% $ 36,799 0.33%(9) 12/31/03 17.09% 31,600 0.31% 12/31/02 (2.26)% 20,759 0.30% 12/31/01 2.40% 14,221 0.41% 12/31/00 5.03% 8,736 0.37% 12/31/99 1.88% 7,206 0.35% Class 2 06/30/04 (unaudited) 1.91% 15,781 0.58%(9) 12/31/03 16.83% 9,128 0.56% 12/31/02 (2.47)% 2,244 0.55% 12/31/01(5) 1.21% 205 0.66%(9) BALANCED PORTFOLIO Class 1 06/30/04 (unaudited) 2.93% $444,464 0.28%(9) 12/31/03 22.74% 419,273 0.29% 12/31/02 (8.78)% 334,605 0.29% 12/31/01 0.13% 354,082 0.28% 12/31/00 0.49% 305,399 0.29% 12/31/99 27.71% 170,527 0.35% Class 2 06/30/04 (unaudited) 2.83% 130,442 0.53%(9) 12/31/03 22.46% 91,631 0.54% 12/31/02 (9.00)% 31,335 0.54% 12/31/01(5) 2.88% 1,452 0.53%(9) Ratios to Average Net Assets/Supplemental Data ------------------------------------------------------------- Ratio of Operating Expenses to Average Net Assets Without Fee Waivers, Expenses Reimbursed and/or Fees Ratio of Net Reduced by Credits Investment Income to Portfolio Allowed by the Average Net Assets Turnover Rate Custodian(3)(4) ------------------ ------------- --------------- FLEXIBLE INCOME PORTFOLIO Class 1 06/30/04 (unaudited) 7.41%(9) 4% 0.29%(9) 12/31/03 4.33% 4% 0.30% 12/31/02 3.37% 9% 0.30% 12/31/01 1.43% 1% 0.33% 12/31/00 4.84% 14% 0.31% 12/31/99 5.09% 4% 0.41% Class 2 06/30/04 (unaudited) 7.16%(9) 4% 0.54%(9) 12/31/03 4.08% 4% 0.55% 12/31/02 3.12% 9% 0.55% 12/31/01(5) 1.18%(9) 1% 0.58%(9) CONSERVATIVE BALANCED PORTFOLIO Class 1 06/30/04 (unaudited) 6.55%(9) 1% 0.33%(9) 12/31/03 3.48% 6% 0.36% 12/31/02 3.20% 9% 0.41% 12/31/01 1.36% 2% 0.53% 12/31/00 4.99% 67% 0.44% 12/31/99 7.07% 17% 0.59% Class 2 06/30/04 (unaudited) 6.30%(9) 1% 0.58%(9) 12/31/03 3.23% 6% 0.61% 12/31/02 2.95% 9% 0.66% 12/31/01(5) 1.11%(9) 2% 0.78%(9) BALANCED PORTFOLIO Class 1 06/30/04 (unaudited) 4.30%(9) 4% 0.28%(9) 12/31/03 2.50% 7% 0.29% 12/31/02 2.52% 22% 0.29% 12/31/01 1.22% 8% 0.28% 12/31/00 2.76% 15% 0.29% 12/31/99 2.70% 13% 0.35% Class 2 06/30/04 (unaudited) 4.05%(9) 4% 0.53%(9) 12/31/03 2.25% 7% 0.54% 12/31/02 2.27% 22% 0.54% 12/31/01(5) 0.97%(9) 8% 0.53%(9) See Notes to Financial Statements.
11 financial highlights For a Portfolio share outstanding throughout each period.
Income from Investment Operations ------------------------------------------------- Net Realized Net Asset Value, and Unrealized Total from Beginning of Net Investment Gain/(Loss) on Investment Period Income Investments Operations ---------------- -------------- -------------- ---------- CONSERVATIVE GROWTH PORTFOLIO Class 1 06/30/04 (unaudited) $15.32 $0.21(6) $ 0.36 $ 0.57 12/31/03 12.16 0.23(6) 3.23 3.46 12/31/02 14.87 0.23(6) (2.51) (2.28) 12/31/01 16.46 0.17(6) (0.72) (0.55) 12/31/00 17.10 0.27(6) (0.69) (0.42) 12/31/99 12.54 0.12(6) 4.76 4.88 Class 2 06/30/04 (unaudited) 15.25 0.19(6) 0.36 0.55 12/31/03 12.13 0.20(6) 3.20 3.40 12/31/02 14.87 0.19(6) (2.50) (2.31) 12/31/01(5) 14.24 0.01(6) 0.62 (8) 0.63 STRATEGIC GROWTH PORTFOLIO Class 1 06/30/04 (unaudited) $16.46 $0.13(6) $ 0.58 $ 0.71 12/31/03 12.55 0.14(6) 3.98 4.12 12/31/02 16.45 0.15(6) (3.47) (3.32) 12/31/01 18.61 0.16(6) (1.27) (1.11) 12/31/00 19.59 0.13(6) (0.84) (0.71) 12/31/99 13.46 0.05(6) 6.35 6.40 Class 2 06/30/04 (unaudited) 16.42 0.11(6) 0.58 0.69 12/31/03 12.54 0.10(6) 3.98 4.08 12/31/02 16.45 0.11(6) (3.44) (3.33) 12/31/01(5) 15.54 0.01(6) 0.90 (8) 0.91 Less Distributions --------------------------------------------- Distributions Dividends from from Net Investment Net Realized Total Net Asset Value, Income(1) Capital Gains Distributions End of Period -------------- ------------- ------------- ---------------- CONSERVATIVE GROWTH PORTFOLIO Class 1 06/30/04 (unaudited) $(0.22) $ -- $(0.22) $15.67 12/31/03 (0.30) -- (0.30) 15.32 12/31/02 (0.41) (0.02) (0.43) 12.16 12/31/01 (0.61) (0.43) (1.04) 14.87 12/31/00 (0.07) (0.15) (0.22) 16.46 12/31/99 (0.16) (0.16) (0.32) 17.10 Class 2 06/30/04 (unaudited) (0.20) -- (0.20) 15.60 12/31/03 (0.28) -- (0.28) 15.25 12/31/02 (0.41) (0.02) (0.43) 12.13 12/31/01(5) -- -- -- 14.87 STRATEGIC GROWTH PORTFOLIO Class 1 06/30/04 (unaudited) $(0.11) $ -- $(0.11) $17.06 12/31/03 (0.21) -- (0.21) 16.46 12/31/02 (0.54) (0.04) (0.58) 12.55 12/31/01 (0.57) (0.48) (1.05) 16.45 12/31/00 (0.11) (0.16) (0.27) 18.61 12/31/99 (0.16) (0.11) (0.27) 19.59 Class 2 06/30/04 (unaudited) (0.10) -- (0.10) 17.01 12/31/03 (0.20) -- (0.20) 16.42 12/31/02 (0.54) (0.04) (0.58) 12.54 12/31/01(5) -- -- -- 16.45 ================== (1) Includes dividends paid from the short-term portion of capital gain distributions received from the Underlying Funds. (2) Total return is not annualized for periods less than one year. The total return would have been lower if certain fees had not been waived and/or expenses reimbursed by the investment advisor or if fees had not been reduced by credits allowed by the custodian. (3) The Portfolio will indirectly bear its prorated share of expenses of the Underlying Funds. (4) Ratio of operating expenses to average net assets includes expenses paid indirectly. (5) The Portfolio commenced selling Class 2 shares on November 6, 2001. (6) Per share numbers have been calculated using the average shares method. (7) Amount represents less than $0.01 per share. (8) The amount shown may not agree with the change in the aggregate gains and losses of portfolio securities due to the timing of sales and redemptions of Portfolio shares. (9) Annualized. See Notes to Financial Statements. 12 Ratios to Average Net Assets/Supplemental Data ---------------------------------------------- Net Assets, Ratio of End of Period Operating Expenses Total Return(2) (in 000's) to Average Net Assets(3) --------------- ------------- ------------------------ CONSERVATIVE GROWTH PORTFOLIO Class 1 06/30/04 (unaudited) 3.70% $294,374 0.28%(9) 12/31/03 28.74% 284,165 0.30% 12/31/02 (15.52)% 229,564 0.29% 12/31/01 (3.56)% 309,608 0.28% 12/31/00 (2.49)% 293,442 0.28% 12/31/99 39.36% 155,790 0.35% Class 2 06/30/04 (unaudited) 3.61% 60,050 0.53%(9) 12/31/03 28.36% 40,576 0.55% 12/31/02 (15.72)% 14,610 0.54% 12/31/01(5) 4.42% 1,127 0.53%(9) STRATEGIC GROWTH PORTFOLIO Class 1 06/30/04 (unaudited) 4.33% $119,960 0.30%(9) 12/31/03 33.07% 105,077 0.31% 12/31/02 (20.53)% 73,936 0.32% 12/31/01 (6.25)% 97,401 0.31% 12/31/00 (3.73)% 98,431 0.30% 12/31/99 47.95% 35,500 0.35% Class 2 06/30/04 (unaudited) 4.21% 23,833 0.55%(9) 12/31/03 32.76% 14,766 0.56% 12/31/02 (20.59)% 2,676 0.57% 12/31/01(5) 5.86% 319 0.56%(9) Ratios to Average Net Assets/Supplemental Data ----------------------------------------------------------------- Ratio of Operating Expenses to Average Net Assets Without Fee Waivers, Expenses Reimbursed and/or Fees Ratio of Net Reduced by Credits Investment Income to Portfolio Allowed by the Average Net Assets Turnover Rate Custodian(3)(4) -------------------- ------------- ---------------------- CONSERVATIVE GROWTH PORTFOLIO Class 1 06/30/04 (unaudited) 2.73%(9) 8% 0.28%(9) 12/31/03 1.75% 11% 0.30% 12/31/02 1.77% 19% 0.29% 12/31/01 1.11% 7% 0.28% 12/31/00 1.59% 13% 0.28% 12/31/99 0.85% 12% 0.36% Class 2 06/30/04 (unaudited) 2.48%(9) 8% 0.53%(9) 12/31/03 1.50% 11% 0.55% 12/31/02 1.52% 19% 0.54% 12/31/01(5) 0.86%(9) 7% 0.53%(9) STRATEGIC GROWTH PORTFOLIO Class 1 06/30/04 (unaudited) 1.58%(9) 4% 0.30%(9) 12/31/03 0.99% 9% 0.31% 12/31/02 1.06% 16% 0.32% 12/31/01 0.95% 5% 0.31% 12/31/00 0.67% 12% 0.30% 12/31/99 0.35% 7% 0.43% Class 2 06/30/04 (unaudited) 1.33%(9) 4% 0.55%(9) 12/31/03 0.74% 9% 0.56% 12/31/02 0.81% 16% 0.57% 12/31/01(5) 0.70%(9) 5% 0.56%(9) See Notes to Financial Statements.
13 notes to financial statements (unaudited) WM VARIABLE TRUST STRATEGIC ASSET MANAGEMENT PORTFOLIOS 1. Organization and Business WM Variable Trust (the "Trust") was organized as a Massachusetts business trust on January 29, 1993. The Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. The Trust consists of 13 funds and 5 portfolios. The Flexible Income, Conservative Balanced, Balanced, Conservative Growth and Strategic Growth Portfolios (each a "Portfolio" and collectively, the "Portfolios") are included in this report. The Trust is authorized to issue an unlimited number of shares of beneficial interest, each without par value. Each Portfolio may offer two classes of shares: Class 1 shares and Class 2 shares. These shares are issued and redeemed only in connection with investments in, and payments under, variable annuity and variable life insurance contracts (collectively "Variable Insurance Contracts"), as well as certain qualified retirement plans including affiliated plans of Washington Mutual, Inc. ("Washington Mutual"), a publicly owned financial services company. At June 30, 2004, "The Washington Mutual Retirement Savings and Investment Plan" held approximately 40%, 27%, 9%, 10% and 33% of the outstanding shares in the Flexible Income, Conservative Balanced, Balanced, Conservative Growth and Strategic Growth Portfolios, respectively. Each of the Portfolios invests, within certain percentage ranges, in Class 1 shares of various funds in the Trust and Class I shares of WM High Yield Fund (collectively, the "Underlying Funds"). WM Advisors, Inc. (the "Advisor" or "WM Advisors"), a wholly-owned subsidiary of Washington Mutual, serves as investment advisor to the Portfolios. The assets of each Portfolio will be allocated among the Underlying Funds in accordance with its investment objective based on the Advisor's outlook for the economy, the financial markets and the relative market valuations of the Underlying Funds. In addition, in order to meet liquidity needs or for temporary defensive purposes, each Portfolio may invest its assets directly in cash, stock or bond index futures, options, money market securities and certain short-term debt instruments, including repurchase agreements. 2. Significant Accounting Policies The following is a summary of significant accounting policies, in conformity with accounting principles generally accepted in the United States of America ("generally accepted accounting principles"), which are consistently followed by the Portfolios in the preparation of their financial statements. Portfolio valuation: Investments in the Underlying Funds are valued at net asset value per Class 1 or Class I share of the respective Underlying Funds determined as of the close of the New York Stock Exchange on each valuation date. Short-term debt securities that mature in 60 days or less are valued at amortized cost which approximates market value. Repurchase agreements: Each Portfolio may enter into repurchase agreement transactions. A repurchase agreement is a purchase of an underlying debt obligation subject to an agreement by the seller to repurchase the obligation at an agreed upon price and time. The value of the collateral is at all times at least equal to the total amount of the repurchase obligation. In the event of counterparty default, the Portfolio would seek to use the collateral to offset losses incurred. There is potential loss to the Portfolio in the event the Portfolio is delayed or prevented from exercising its right to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Portfolio seeks to assert its rights. WM Advisors, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the creditworthiness of those banks and broker-dealers with whom each Portfolio enters into repurchase agreements. Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities sold are recorded on the identified cost basis. Interest income on debt securities is accrued daily. Dividend income is recorded on the ex-dividend date. Each Portfolio's investment income and realized and unrealized gains and losses are allocated among the classes of that Portfolio based upon the relative average net assets of each class. Dividends and distributions to shareholders: Dividends from net investment income and distributions of any net capital gains earned by a Portfolio are declared and paid annually. Distributions from income and capital gains are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Portfolios, redesignated distributions and differing characterization of distributions made by each Portfolio. 14 notes to financial statements (unaudited) (continued) WM VARIABLE TRUST STRATEGIC ASSET MANAGEMENT PORTFOLIOS Federal income taxes: It is each Portfolio's policy to qualify as a regulated investment company by complying with the requirements of the Internal Revenue Code of 1986, as amended (the "Code"), applicable to regulated investment companies and by distributing substantially all of its earnings to its shareholders. Therefore, no federal income or excise tax provision is required. It is each Portfolio's policy to meet the diversification requirements of the Code so that variable annuity and variable life contracts funded by the Trust will not fail to qualify as annuities and life insurance contracts for tax purposes. Expenses: General expenses of the Trust are allocated to all the Funds and Portfolios of the Trust based upon the relative average net assets of each Fund and Portfolio. In addition, the Portfolios will indirectly bear their prorated share of the expenses of the Underlying Funds. Operating expenses directly attributable to a class of shares are charged to the operations of that class of shares. Expenses of each Portfolio not directly attributable to the operations of any class of shares are prorated among the classes to which the expenses relate based on the relative average net assets of each class of shares. Use of estimates: The preparation of financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. 3. Investment Advisory and Other Transactions WM Advisors serves as investment advisor to the Trust. As such, WM Advisors provides its proprietary asset allocation services to the Portfolios, formulates the Portfolios' investment policies, analyzes economic and market trends, exercises investment discretion over the assets of the Portfolios and monitors the allocation of each Portfolio's assets and each Portfolio's performance. For its investment advisory services to the Portfolios, WM Advisors is entitled to a monthly fee at an annual rate of 0.10% of each Portfolio's average daily net assets. WM Shareholder Services, Inc. (the "Administrator"), a wholly-owned subsidiary of Washington Mutual, serves as administrator of the Portfolios. For its administrative services to the Portfolios, the Administrator is entitled to a monthly fee at an annual rate of 0.15% of each Portfolio's average daily net assets. Custodian fees for certain Portfolios have been reduced by credits allowed by the Portfolio's custodian for uninvested cash balances. The Portfolios could have invested this cash in income producing investments. Fees reduced by credits allowed by the custodian for the six months ended June 30, 2004 are shown separately in the "Statements of Operations". 4. Trustees' Fees No officer or employee of Washington Mutual or its subsidiaries receives any compensation from the Trust for serving as an officer or Trustee of the Trust. The Trust, together with other mutual funds advised by WM Advisors, pays each Trustee who is not an officer or employee of Washington Mutual or its subsidiaries, a per annum retainer plus attendance fees for each meeting at which they are present. The Lead Trustee, Committee Chairs and Committee Members receive additional remuneration for these services to the Trust. Trustees are also reimbursed for travel and out-of-pocket expenses. Each Trustee serves in the same capacity for all 42 funds within the WM Group of Funds. 5. Distribution Plans Each of the Portfolios has adopted a distribution plan, pursuant to Rule 12b-1 under the 1940 Act, applicable to Class 2 shares of the Portfolios (a "Rule 12b-1 Plan"). Under the Rule 12b-1 Plan, WM Funds Distributor, Inc. (the "Distributor"), a registered broker-dealer and a wholly-owned subsidiary of Washington Mutual, may receive a fee at an annual rate of 0.25% of the average daily net assets attributable to Class 2 shares. This fee may be used to cover the expenses of the Distributor primarily intended to result in the sale of such shares, including payments to the Distributor's representatives or others for selling shares. The Rule 12b-1 Plan shall remain in effect from year to year, provided such continuance is approved annually by vote of the Board of Trustees, including a majority of those Trustees who are not "interested persons" of the Trust, as defined in the 1940 Act, and who have no direct or indirect financial interest in the operation of the distribution plan or any agreements related to the plan. 15 notes to financial statements (unaudited) (continued) WM VARIABLE TRUST STRATEGIC ASSET MANAGEMENT PORTFOLIOS 6. Purchases and Sales of Investments The aggregate cost of purchases and proceeds from sales of Underlying Funds for the six months ended June 30, 2004, are as follows: Purchases Sales Name of Portfolio (000s) (000s) - ----------------- --------- ------ Flexible Income Portfolio $33,064 $ 7,565 Conservative Balanced Portfolio 12,689 500 Balanced Portfolio 87,866 23,135 Conservative Growth Portfolio 50,432 28,025 Strategic Growth Portfolio 25,448 5,800 7. Unrealized Appreciation/(Depreciation) At June 30, 2004, the aggregate gross unrealized appreciation on a tax basis are as follows:
(In thousands) ---------------------------------------------------------------------------- Flexible Conservative Conservative Strategic Income Balanced Balanced Growth Growth Portfolio Portfolio Portfolio Portfolio Portfolio --------- --------- --------- --------- --------- Tax basis unrealized appreciation $11,260 $3,171 $51,111 $34,330 $13,910 Tax basis unrealized depreciation (1,111) (300) -- (23,244) (7,304) ------- ------ ------- ------- ------- Net tax basis unrealized appreciation $10,149 $2,871 $51,111 $11,086 $ 6,606 ======= ====== ======= ======= =======
8. Risk Factors of the Portfolios Investing in the Underlying Funds through the Portfolios involves certain additional expenses and tax results that would not be present in a direct investment in the Underlying Funds. For example, under certain circumstances, an Underlying Fund may determine to make payment of a redemption request by a Portfolio wholly or partly by a distribution in kind of securities from its portfolio, instead of cash, in accordance with the rules of the Securities and Exchange Commission. In such cases, the Portfolios may hold securities distributed by an Underlying Fund until the Advisor determines that it is appropriate to dispose of such securities. Certain Underlying Funds may invest a portion of their assets in foreign securities; enter into forward foreign currency transactions; lend their portfolio securities; enter into stock index, interest rate and currency futures contracts, and options on such contracts; enter into interest rate swaps or purchase or sell interest rate caps or floors; enter into other types of options transactions; make short sales; purchase zero coupon and payment-in-kind bonds; enter into repurchase or reverse repurchase agreements; purchase and sell "when-issued" securities and enter into "delayed-delivery" transactions; and enter into various other investment practices, each with inherent risks. In addition, the REIT Fund could be adversely impacted by economic trends in the real estate industry; the West Coast Equity Fund by economic trends in the West Coast region; and the High Yield Fund by the conditions affecting issuers of lower rated securities. The officers and Trustees, the Advisor, the Distributor and Transfer Agent of the Portfolios serve in the same capacity for the Underlying Funds. Conflicts may arise as these persons and companies seek to fulfill their fiduciary responsibilities to both the Portfolios and the Underlying Funds. From time to time, one or more of the Underlying Funds used for investment by a Portfolio may experience relatively large investments or redemptions due to reallocations or rebalancings by the Portfolios. These transactions will affect the Underlying Funds, since the Underlying Funds that experience redemptions as a result of the reallocations or rebalancings may have to sell portfolio securities and the Underlying Funds that receive additional cash will have to invest such cash. While it is impossible to predict the overall impact of these transactions over time, there could be adverse effects on portfolio management to the extent that the Underlying Funds may be required to sell securities or invest cash at times when they would not otherwise do so. These transactions could also have tax consequences if sales of securities resulted in gains and could also increase transaction costs. The Advisor is committed to minimizing such impact on the Underlying Funds to the extent it is consistent with pursuing the investment objectives of the Portfolios. The Advisor may nevertheless face conflicts in fulfilling its responsibilities. The Advisor will, at all times, monitor the impact on the Underlying Funds of transactions by the Portfolios. 9. Proxy Voting Information The policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities held by the Portfolio are included in the Trust's Statement of Additional Information which is available, without charge and upon request, by calling 1-800-222-5852. Information regarding how the Portfolio voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30, 2004 is available at http://www.wmgroupoffunds.com. This information is also available at http://www.sec.gov. 16 Before investing, you should carefully consider a fund's investment objectives, risks, charges, and expenses. Contact your Investment Representative or call 800-222-5852 to obtain a prospectus containing this and other information. Read the prospectus carefully before investing. This Semi-Annual Report is published for the general information of the shareholders of the WM Variable Trust. It is authorized for distribution to prospective investors only when preceded or accompanied by a current prospectus. Share prices and investment return will vary with market conditions, and the principal value of an investment when you sell your shares may be more or less than the original cost. Shares of the WM Variable Trust are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, National Credit Union Association (NCUA), National Credit Union Share Insurance Fund (NCUSIF), or any other federal government agency. The purchase of WM Variable Trust shares is not required for and is not a term of the provision of any banking service or activity. They are not deposits or obligations of, nor are they guaranteed by, any bank. These securities are subject to investment risk, including possible loss of principal amount invested. Distributed by: WM Funds Distributor, Inc. Member NASD - ---------------------------------------------------------------------------- [wm Variable Trust logo] PRSRT STD U.S. Postage PAID HAZELWOOD, MO PERMIT #14 WM Funds Distributor, Inc. 12009 Foundation Place, Suite 350 Gold River, CA 95670 VTSAMSAR (8/27/04) Item 2. Code of Ethics. Not applicable for this filing. Item 3. Audit Committee Financial Expert. Not applicable for this filing. Item 4. Principal Accountant Fees and Services. Not applicable for this filing. Item 5. Audit Committee of Listed Registrants Not applicable for this filing. Item 6. Schedule of Investments. Not applicable. Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. Not applicable. Item 8. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable. Item 9. Submission of Matters to a Vote of Security Holders. None. Item 10. Controls and Procedures: (a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report on Form N-CSR, that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant in the reports that it files or submits on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the SEC's rules and forms. (b) There have been no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. 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. WM Variable Trust By: /s/ William G. Papesh William G. Papesh President and Chief Executive Officer September 2, 2004 SIGNATURES 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. WM Variable Trust By: /s/ Jeffrey L. Lunzer Jeffrey L. Lunzer Treasurer and Chief Financial Officer September 2, 2004 By: /s/ William G. Papesh William G. Papesh President and Chief Executive Officer September 2, 2004 EX-99.906 CERT 2 ex99p906.txt Exhibit 99.906 CERTIFICATION PURSUANT TO SECTION 1350, CHAPTER 63 OF TITLE 18, UNITED STATES CODE, AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 I, William G. Papesh, President and Chief Executive Officer of the WM Variable Trust (the "Funds"), certify that to my knowledge: 1. The Form N-CSR of the Funds for the period ended June 30, 2004 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 Form N-CSR of the Funds for the period ended June 30, 2004 fairly presents, in all material respects, the financial condition and results of operations of the Funds. Date: September 2, 2004 By: /s/ William G. Papesh William G. Papesh President and Chief Executive Officer CERTIFICATION PURSUANT TO SECTION 1350, CHAPTER 63 OF TITLE 18, UNITED STATES CODE, AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 I, Jeffrey L. Lunzer, Treasurer and Chief Financial Officer of WM Variable Trust (the "Funds"), certify that to my knowledge: 1. The Form N-CSR of the Funds for the period ended June 30, 2004 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 Form N-CSR of the Funds for the period ended June 30, 2004 fairly presents, in all material respects, the financial condition and results of operations of the Funds. Date: September 2, 2004 By: /s/ Jeffrey L. Lunzer Jeffrey L. Lunzer Treasurer and Chief Financial Officer EX-99.CERT 3 ex99cert.txt Exhibit 99.CERT CERTIFICATIONS -------------- I, William G. Papesh, certify that: 1. I have reviewed this report on Form N-CSR of WM Variable 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 officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940) 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) 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 c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 2, 2004 /s/ William G. Papesh President and Chief Executive Officer CERTIFICATIONS -------------- I, Jeffrey L. Lunzer, certify that: 1. I have reviewed this report on Form N-CSR of WM Variable 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 officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940) 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) 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 c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 2, 2004 /s/ Jeffrey L. Lunzer Treasurer and Chief Financial Officer -----END PRIVACY-ENHANCED MESSAGE-----