Metropolitan West Funds N-CSRS Certified semi-annual shareholder report (management investment company)

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       811-07989            

                            Metropolitan West Funds                            

(Exact name of registrant as specified in charter)

11766 Wilshire Boulevard, Suite 1580

                              Los Angeles, CA 90025                              

(Address of principal executive offices) (Zip code)

Metropolitan West Funds

11766 Wilshire Boulevard, Suite 1580

                              Los Angeles, CA 90025                              

(Name and address of agent for service)

Registrant’s telephone number, including area code:       (310) 966-8900      

Date of fiscal year end:       March 31, 2004      

Date of reporting period:       September 30, 2003      

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

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

Item 1. Report to Shareholders

METROPOLITAN WEST FUNDS

ULTRA SHORT BOND FUND

LOW DURATION BOND FUND

INTERMEDIATE BOND FUND

TOTAL RETURN BOND FUND

HIGH YIELD BOND FUND

STRATEGIC INCOME FUND

ALPHATRAK^SM 500 FUND

SEMI-ANNUAL REPORT

(Unaudited)

September 30, 2003

Metropolitan West Funds

Dear Fellow Shareholder,

Thank you for your continued participation in the Metropolitan West Funds. We are pleased to present the enclosed Semi-Annual Report for the Funds, including the following:

Metropolitan West Total Return Bond Fund – M-Class (MWTRX), I-Class (MWTIX)

Metropolitan West Intermediate Bond Fund – M-Class (MWIMX), I-Class (MWIIX)

Metropolitan West Low Duration Bond Fund – M-Class (MWLDX), I-Class (MWLIX)

Metropolitan West High Yield Bond Fund – M-Class (MWHYX), I-Class (MWHIX)

Metropolitan West AlphaTrak 500 Fund (MWATX)

Metropolitan West Strategic Income Fund (MWSTX)

Metropolitan West Ultra Short Bond Fund (MWUSX)

Review

One year ago, in our September 30, 2002 Semi-Annual Report, we observed, with concern, the myriad challenges to the capital markets that had grown out of an accumulation of unwelcome events: a bear market among equities unseen since the late 1930s, a recession and subsequently sluggish recovery, heightened geopolitical fears, and corporate governance failures. Like a great many investors, we found the conditions especially difficult and experienced the disappointment of short-term underperformance. Notwithstanding the poor results of the summer of 2002, in writing last September’s Report, we maintained that adherence to a disciplined, value-oriented portfolio construction process and an appropriately long-term perspective would reward the Funds with substantially improved performance prospects as market conditions began to normalize.

Starting in early October of last year, the pessimism that had been prevailing throughout the capital markets began to subside. Companies that had been denied access to the capital markets for funding found the credit crunch easing, and took advantage of the improvement to enhance balance sheet liquidity and to refinance debt at lower interest rates. Ironically, this reduction in interest expense was a condition that homeowners had already been exploiting for the better part of the previous two years with, in many cases, multiple low- or no-cost refinancings. As a result of the lifting sentiments in Corporate America, the equity markets advanced and corporate bond prices normalized, in some cases from unprecedented and, in our view, unwarranted, lows.

By the time we issued our March 31, 2003 Annual Report, the corporate bond market had enjoyed a healthy, though not yet complete, recovery. However, despite the improving health in much of the capital markets, 50-year lows in Treasury rates held as economic uncertainties persisted, most notably around the employment picture. Notwithstanding the uncertainty, we maintained a view that the two-and-a-half year buildup of monetary and fiscal stimulus would prove to increase the pace of domestic economic activity, contributing to an ongoing improvement in corporate financial health, but also put pressure on Treasury and mortgage rates to rise. When second quarter GDP growth was revised upward to 3.3% and third quarter forecasts were revised sharply higher, the Treasury market reflected the vitality with a modest selloff, and five- and ten-year rates backed up, i.e., increased, some 80 basis points between mid-June and September 30.

With regard to performance, low initial yields and rising rates left Treasury and Treasury/Mortgage-heavy indices challenged from a total return perspective over the past several months, especially during July when the runup in rates was most pronounced. Conversely, corporate indices, especially BBB- and high yield, continued what was started last October, pacing the fixed income sectors with strong returns. High yield indices captured 13% returns in the past six months, and 30% over the last year, while the BBB-rated investment grade corporate indices delivered 7% and 15% over those time frames. By contrast, the broad Treasury index returned just over 3% in the twelve months ended September 30, while the mortgage index posted a similar, 3.5%, return.

1

Fund Results

Metropolitan West Total Return Bond Fund – M-Class (MWTRX), I-Class (MWTIX)

Metropolitan West Intermediate Bond Fund – M-Class (MWIMX), I-Class (MWIIX)

Metropolitan West Low Duration Bond Fund – M-Class (MWLDX), I-Class (MWLIX)

	Performance Through September 30, 2003
	6 Months	1 Year	3 Years	5 Years	Since Inception
	(Cumulative)	(Annualized)	(Annualized)	(Annualized)	(Annualized)
MWTRX (Inception: March 31, 1997)	+8.38%	+15.18%	+6.89%	+6.61%	+7.93%
Lehman Bros. Aggregate Index*	+2.35%	+5.40%	+8.94%	+6.62%	+7.97%
MWTIX (Inception: March 31, 2000)	+8.60%	+15.55%	+7.12%	—	+7.62%
Lehman Bros. Aggregate Index*	+2.35%	+5.40%	+8.94%	—	+9.07%

	Performance Through September 30, 2003
	6 Months	1 Year	Since Inception
	(Cumulative)	(Annualized)	(Annualized)
MWIMX (Inception:June 30, 2003)	—	—	+1.10% (non-annualized)
Lehman Bros. Intermed. Gov’t.Credit Index*	—	—	-0.02% (non-annualized)
MWIIX (Inception: June 28, 2002)	+6.52%	+11.68%	+13.53%
Lehman Bros. Intermed. Gov’t.Credit Index*.	+4.25%	+6.01%	+8.50%

	Performance Through September 30, 2003
	6 Months	1 Year	3 Years	5 Years	Since Inception
	(Cumulative)	(Annualized)	(Annualized)	(Annualized)	(Annualized)
MWLDX (Inception: March 31, 1997)	+3.65%	+7.32%	+4.47%	+5.53%	+5.95%
Merrill Lynch 1-3 Year US Treasury Index*	+1.15%	+2.63%	+6.17%	+5.50%	+6.11%
MWLIX (Inception: March 31, 2000)	+3.75%	+7.53%	+4.67%	—	+5.13%
Merrill Lynch 1-3 Year US Treasury Index*	+1.15%	+2.63%	+6.17%	—	+6.41%

The Funds’ commitment to the ongoing rehabilitation of many of 2002’s most challenged performers in the corporate sector resulted in rewarding performance relative to the benchmark indices over the most recent measurement periods. As fundamentals strengthened across the telecommunications, energy, insurance and airline industries, market skepticism eased and bond prices moved higher, some to a very considerable degree. In addition to the normalization among corporate bonds, the Funds’ defensive positioning against rising interest rates added to the relative performance, as evidence of a more robust economic outlook materialized and pushed rates higher during the summer.

Metropolitan West High Yield Bond Fund – M-Class (MWHYX), I-Class (MWHIX)

	Performance Through September 30, 2003
	6 Months	1 Year	Since Inception
	(Cumulative)	(Annualized)	(Annualized)
MWHYX (Inception: September 30, 2002)	+13.92%	+35.37%	+35.37%
Lehman Bros. High Yield Index*	+13.15%	+29.97%	+29.97%
MWHIX (Inception: March 31, 2003)	+14.12%	—	+14.12% (non-annualized)
Lehman Bros. High Yield Index*	+13.15%	—	+13.15% (non-annualized)

In its inaugural year, the High Yield Fund capitalized on opportunities offered by the early stages of improvement in corporate balance sheets. As companies gained renewed access to the capital markets for funding, interest expenses were substantially reduced. This was particularly beneficial to companies that were downgraded in 2002 from investment grade, known as “fallen angels”, in which the Fund maintained a relative overweight position, thus enabling the outperformance of the benchmark over the past six and twelve month time frames.

Metropolitan West AlphaTrak 500 Fund (MWATX)

	Performance Through September 30, 2003
	6 Months	1 Year	3 Years	5 Years	Since Inception
	(Cumulative)	(Annualized)	(Annualized)	(Annualized)	(Annualized)
MWATX (Inception: June 29, 1998)	+20.14%	+31.31%	-10.31%	+1.57%	-0.50%
Standard & Poor’s 500 Equity Index*	+18.45%	+24.41%	-10.12%	+1.01%	-1.11%

Equity markets broke the three-year grip of the bear market, posting some strong returns over the past 12 months. The AlphaTrak500 Fund captured the stock market trend with its futures positioning, and added value through the continued price improvement of the portfolio’s corporate bond positions.

2

Metropolitan West Strategic Income Fund (MWSTX)

Metropolitan West Ultra Short Bond Fund (MWUSX)

	Performance Through September 30, 2003
	3 Months
	(Cumulative)
MWSTX (Inception: June 30, 2003)	+7.93%
Merrill Lynch 3-Month US Treasury Index* + 2%	+0.76%
MWUSX (Inception: June 30, 2003)	+2.30%
Merrill Lynch 1-Year US Treasury Index*	+0.32%

The newest entries among the Metropolitan West Funds were launched on June 30, 2003. The Strategic Income Fund, co-managed by Laird Landmann, Hahn Kang, and Kristin Galanek, seeks to maximize long-term total return with little to no correlation to broad market indices. It employs an array of short- and long-term fixed income and trading strategies designed to capitalize on market inefficiencies. The Ultra Short Fund, co-managed by Stephen Kane, Mitch Flack and Jamie Farnham, seeks to maximize current income, consistent with preservation of capital. The Fund will invest in primarily (a minimum of 90%) investment grade fixed income securities with an average duration of less than one year.

The Market Ahead

Strategically, the Funds remain positioned to benefit from a pickup in the pace of economic activity. As a result, portfolio durations are established firmly short of the relevant benchmark indices. In MWAM’s ongoing view, the combination of monetary and fiscal stimulus set the stage for improved growth prospects and a potential for increasing inflationary pressure. Inflation-indexed bonds with low breakeven rates, remain a core component of the Treasury allocation.

Among corporate issues, telecommunications, automobile and certain insurance credits continue to represent good relative value and income for the Funds. As valuations have improved substantially from last summer’s price volatility, gains have been taken with proceeds reallocated to better risk-adjusted opportunities. Mortgage positions reflect an ongoing wariness of interest rate risk and the accompanying potential for extension. Thus, the MBS allocation has emphasized structures that mitigate negative convexity, issued off of seasoned collateral such as low loan balance loans, hybrid ARM loans, and small holdings in inverse floaters and interest only issues.

A Consistent Long-Term Value Orientation

With a long-term view, the investment team continues to target outperformance of the Funds’ benchmarks over a market cycle by diversifying the sources of value added in the portfolios. Those value-added strategies include (1) duration management, (2) yield curve positioning, (3) sector allocation, (4) security selection, and (5) opportunistic execution.

Again, we thank you for your continued support of the Metropolitan West Funds and look forward to the ongoing opportunity to meet your investment needs.

Sincerely,

Scott Dubchansky

President and Trustee

Past performance is no guarantee of future results. Share prices will fluctuate, and you may have a gain or loss when you redeem shares. Unlike a mutual fund, the performance of an unmanaged index assumes no transactions costs, taxes, management fees, or other expenses. A direct investment in an index is not possible. U.S. Treasury bonds, unlike mutual funds, are insured direct obligations of the U.S. Government that offer a fixed rate of return when held to maturity. Quality rating, such as “BB,” refer to the credit risk of individual securities, and not to the Fund. Investment by the Fund in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities.

*Are unmanaged indices that are not available for direct investment.

Funds are distributed by PFPC Distributors, Inc.

760 Moore Road,, King of Prussia, PA 19406.

To be preceded or accompanied by a prospectus. DFU 11/03

3

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
BONDS 99.23%
ASSET-BACKED SECURITIES—44.75%3
	Aames Mortgage Trust 1999-2 AF, 7.59%, 10/15/29	$	107,898	$	114,142
	Conseco Finance 2000-B AF6, 7.80%, 05/15/20		34,790		36,995
	Conseco Finance SecuritIzations Corp. 2000-1 A4, 7.62%, 05/01/31		20,000		21,201
	Conseco Finance Securitizations Corp. 2000-5 A4, 7.47%, 02/01/32		35,000		35,604
	Conseco Finance Securitizations Corp. 2000-6 A3, 6.55%, 09/01/32		147,699		149,018
	Conseco Finance Securitizations Corp. 2001-3 A2, 5.16%, 05/01/33		147,022		149,289
	Contimortgage Home Equity Loan Trust 1999-1 A6, 6.85%, 10/25/29		45,000		47,600
	Contimortgage Home Equity Loan Trust 1999-3 A6, 7.68%, 12/25/29		70,000		74,042
	CS First Boston Mortgage Securities Corp. 2002-S12 A1, 5.68%, 07/25/32		59,302		59,932
	Empire Funding Home Loan Owner Trust 1997-5 M1, 7.41%, 04/25/24		133,907		136,710
	Equivantage Home Equity Loan Trust 1997-3 A3, 7.05%, 10/25/28		25,020		25,267
	FHLMC Structured Pass Through Securities T-39 S (IO), 3.50%, 09/25/045		570,000		8,949
	GE Capital Mortgage Services, Inc. 1998-HE1 A7, 6.47%, 06/25/28		54,594		56,652
	GMAC Mortgage Corporation Loan Trust 2003-GH1 A1, 1.27%, 07/25/115		23,861		23,877
	Green Tree Financial Corp. 1993-1 A3, 6.90%, 04/15/18		43,057		43,972
	Green Tree Financial Corp. 1994-1 A5, 7.65%, 04/15/19		40,775		42,927
	Green Tree Financial Corp. 1999-3 A5, 6.16%, 02/01/31		19,379		19,821
	Green Tree Home Improvement Loan Trust 1997-C HIM2, 7.35%, 06/15/28		176,501		177,064
	Green Tree Home Improvement Loan Trust 1997-E HEM1, 7.28%, 01/15/29		32,864		33,950
	Green Tree Recreational, Equipment & Consumer Trust 1999-A A6, 6.84%, 03/15/10		30,726		31,068
	Greenpoint Manufactured Housing 1999-1 A2, 6.01%, 08/15/15		25,061		25,148
	Greenpoint Manufactured Housing 1999-3 1A4, 6.53%, 12/15/19		67,994		68,058
	IMPAC Secured Assets CMN Owner Trust 2001-2 A4, 7.37%, 04/25/32		166,617		168,456
	Irwin Home Equity 2001-2 M2, 2.37%, 07/25/265		20,000		19,732
	Master Financial Asset Securitization Trust 1997-1 A8, 7.50%, 01/20/29		92,660		93,970
	Metris Master Trust 2001-4A A, 1.47%, 08/20/085		50,000		49,109
	Mortgage Lenders Network Home Equity Loan 1998-2 A1, 6.61%, 07/25/29		73,263		76,252
	Oakwood Mortgage Investors, Inc. 1998-A A4, 6.20%, 05/15/28		19,051		19,066

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed	Oakwood Mortgage Investors, Inc. 1998-B A3, 6.20%, 01/15/15	$	26,792	$	26,936
Securities (continued)	Oakwood Mortgage Investors, Inc. 2002-B AIO (IO), 6.00%, 05/15/10		146,793		30,442
	Residential Asset Mortgage Products, Inc. 2000-RS1 A1, 8.00%, 03/25/30		182,028		188,563
	Residential Asset Mortgage Products, Inc. 2001-RS1 AI4, 7.01%, 03/25/31		29,402		30,780
	Residential Asset Mortgage Products, Inc. 2002-RS3 AI2, 4.46%, 10/25/27		22,276		22,355
	Residential Asset Securities Corp. 2002-KSI AI4, 5.86%, 11/25/29		65,000		67,714
	Residential Funding Mortgage Securities I 2000-HI1 A17, 8.29%, 02/25/25		135,000		144,569
	Residential Funding Mortgage Securities I 2001-HI4 A5, 5.94%, 09/25/18		50,000		50,531
	Saxon Asset Securities Trust 1999-3 AF6, 7.53%, 06/25/14		51,239		53,367
	Southern Pacific Secured Assets Corp. 1998-H1 A5, 7.13%, 01/25/29		151,991		153,651
	Terwin Mortgage Trust 2003-3SL AX (IO), 12.00%, 10/25/334		165,000		32,158
	The Money Store Home Equity Trust 1998-B AF8, 6.11%, 05/15/10		59,898		61,438
	Total Asset-Backed Securities				2,670,375
CORPORATES—6.30%2
Basic Industry —0.78%	Fort James Corp., 6.63%, 09/15/04		45,000		46,350
Capital Goods	Tyco International Group SA,
—0.72%	5.88%, 11/01/04		11,000		11,330
	6.38%, 06/15/05		30,000		31,350
					42,680
Communications —0.54%	Sprint Capital Corp., 7.90%, 03/15/05		30,000		32,416
Electric—1.67%	Dayton Power & Light, 8.15%, 01/15/26		10,000		10,491
	National Rural Utilities (MTN), 5.54%, 12/15/05		40,000		42,835
	Westar Energy Inc., 6.88%, 08/01/04		45,000		46,350
					99,676
Energy—0.45%	Pride International, Inc., 10.00%, 06/01/09		25,000		27,125
Finance—2.07%	Capital One Bank, 8.25%, 06/15/05		30,000		32,727
	Ford Motor Credit Co.,
	7.50%, 03/15/05		30,000		31,843
	7.60%, 08/01/05		25,000		26,882
	General Motors Acceptance Corp., 6.75%, 01/15/06		30,000		32,102
					123,554
Transportation	Continental Airlines, Inc. 1998-2
—0.07%	A, 6.41%, 10/15/08		4,883		4,301
	Total Corporates				376,102

See accompanying notes to financial statements.

4

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
MORTGAGE-BACKED—48.18%3
Non-Agency Mortgage-Backed	ABN Amro Mortgage Corp. 2002-1A 1A1, 5.85%, 06/25/32	$	250,134	$	252,577
—25.94%	Banc of America Funding Corp. 2000-1 1A12, 6.75%, 11/20/32		91,969		93,629
	Chase Mortgage Finance Corp. 2002-A1 1A2, 6.00%, 12/25/29		138,396		138,976
	Countrywide Alternative Loan Trust 2001-12 A7, 6.50%, 01/25/32		100,000		102,545
	Countrywide Home Loans 2003-18 A5, 12.61%, 07/25/335		17,814		17,508
	Norwest Asset Securities Corp. 1999-22 A1, 6.50%, 09/25/14		21,631		21,803
	Residential Accredit Loans, Inc. 1997-QS1 A11, 7.50%, 02/25/27		18,972		18,964
	Residential Funding Mortgage Securities I 1998-S3 M1, 6.75%, 02/25/28		196,892		196,791
	Residential Funding Mortgage Securities I 1999-S6 A1, 6.25%, 02/25/14		34,135		34,283
	Structured Asset Securities Corp. 1996-A A1, 8.51%, 04/25/27		184,629		184,322
	Structured Asset Securities Corp. 2001-15A 4A1, 6.00%, 10/25/31		99,442		101,047
	Structured Asset Securities Corp. 2002-26 2A1, 6.00%, 12/25/32		8,874		8,973
	Structured Asset Securities Corp. 2002-8A 6A, 6.97%, 05/25/32		155,571		157,905
	Summit Mortgage Trust 2000-1 B1, 6.05%, 12/28/124		217,076		218,424
					1,547,747
U.S. Agency Mortgage-Backed	Fannie Mae 1992-156 F, 3.13%, 07/25/075		62,244		62,373
—22.24%	Fannie Mae 1993-80 S, 9.50%, 05/25/235		59,937		60,935
	Fannie Mae 2000-27 AN, 6.00%, 08/25/30		137,010		140,542
	Fannie Mae 2001-42 SB, 8.50%, 09/25/315		31,809		33,293
	Fannie Mae Pool 111643, 6.79%, 09/01/205		85,486		85,738
	Fannie Mae Pool 303683, 6.50%, 08/01/25		62,432		65,396
	Fannie Mae Pool 555207, 7.00%, 11/01/17		179,054		184,920
	Fannie Mae Pool 606116, 5.22%, 09/01/315		45,625		46,317
	Fannie Mae Pool 646884, 5.61%, 05/01/325		124,042		127,046
	Freddie Mac 1565 J, 2.87%, 08/15/085		26,689		26,710
	Freddie Mac 1625 FC, 2.92%, 12/15/085		118,321		118,321
	Freddie Mac 2066 PD, 6.25%,
	12/15/26		15,959		16,166
	Freddie Mac 2066 PJ (IO), 6.50%, 12/15/26		679,986		7,787
	Freddie Mac 2419 VG, 6.50%, 12/15/12		121,287		128,962

	Issues	Principal Amount		Value
Bonds (continued)	Freddie Mac 2451 SP, 14.48%,
Mortgage-Backed	05/15/095	$	48,903	$	53,687
(continued) U.S. Agency	Freddie Mac 2590 XS, 8.00%, 10/15/315		1,854		1,859
Mortgage-Backed (continued)	Freddie Mac 2625 (IO), 5.00%, 12/15/31		148,640		22,459
	Freddie Mac Pool 775554, 5.16%, 10/01/185		20,496		20,624
	Freddie Mac Pool 865369, 5.87%, 06/01/225		21,191		21,213
	Government National Mortgage Association 1999-38 SP (IO), 0.25%, 05/16/265		12,819,872		19,666
	Government National Mortgage Association 2002-32 WS (IO), 6.93%, 03/20/305		680,264		13,120
	Government National Mortgage Association 2003-28 LI (IO), 5.50%, 02/20/32		242,968		35,800
	Government National Mortgage Association 2003-34 CI (IO), 6.00%, 02/20/32		198,014		9,576
	Government National Mortgage Association 2003-58 IG (IO), 5.50%, 05/17/29		100,000		24,336
					1,326,846
	Total Mortgage-Backed				2,874,593
	Total Bonds (Cost $5,901,700)				5,921,070
SHORT TERM INVESTMENTS 0.06%
Money Market RIC —0.06%	J.P. Morgan Institutional Prime Money Market		3,600		3,600
	Total Short Term Investments (Cost $3,600)				3,600
	Total Investments—99.29% (Cost $5,905,300)1				5,924,670
	Cash and Other Assets, Less Liabilities—0.71%				42,212
	Net Assets—100.00%			$	5,966,882

Notes:

¹ Cost for Federal income tax purposes is $5,905,300 and net unrealized appreciation consists of:

Gross unrealized appreciation	$	74,136
Gross unrealized depreciation		(54,766	)
Net unrealized appreciation	$	19,370

² Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

³ Securities backed by mortgage or consumer loans where payment is periodically made will have an effective date less than the stated maturity date.

⁴ Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions with qualified institutional buyers. The market value of these securities at September 30, 2003 was $250,582 representing 4.20% of total net assets.

⁵ Floating rate security. The rate disclosed is that in effect at September 30, 2003.

(IO): Interest only

(MTN): Medium term note

See accompanying notes to financial statements.

5

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
BONDS 83.05%
ASSET-BACKED SECURITIES—36.28%3
	Aames Mortgage Trust 2000-2 A4F, 7.32%, 03/25/27	$	2,263,583	$	2,320,781
	Aerofreighter Finance Trust A A, 7.85%, 12/15/094		1,331,627		1,336,609
	Aircraft Lease Portfolio Securitization Ltd. 1996-1 CX, 2.97%, 06/15/066,8		948,593		465,475
	AMRESCO Residential Securities Mortgage Loan Trust 1998-2 B1F, 7.72%, 06/25/28		683,852		681,431
	ARC Net Interest Margin Trust 2002-2 A, 7.75%, 05/27/324		1,469,683		1,460,269
	ARC Net Interest Margin Trust 2002-7A A, 7.75%, 10/27/324		1,094,007		1,092,584
	Atherton Franchisee Loan Funding 1999-A E, 8.25%, 10/15/154		1,205,980		690,234
	Bear Stearns Asset Backed Securities, Inc. 2000-2 M2, 8.28%, 08/25/30		5,995,000		6,334,095
	Chase Funding Loan Acquisition Trust 2001-AD1 1A4, 5.39%, 05/25/28		4,000,000		4,100,200
	CIT Group Home Equity Loan Trust 1997-1 M2, 7.10%, 07/15/27		2,151,425		2,201,917
	CitiFinancial Mortgage Securities, Inc. 2002-1 AF1, 2.47%, 09/25/32		2,125,011		2,133,887
	Conseco Finance 1999-H BF1, 10.00%, 11/15/29		7,054,852		7,570,703
	Conseco Finance 2001-A IM2, 8.02%, 03/15/32		3,000,000		3,162,202
	Conseco Finance 2001-D A5, 6.19%, 11/15/32		1,500,000		1,590,777
	Conseco Finance 2002-A A4, 6.32%, 04/15/32		9,000,000		9,343,877
	Conseco Finance Securitizations Corp. 2001-3 AIO (IO), 2.50%, 05/01/336		24,825,000		1,699,346
	Delta Funding Home Equity Loan Trust 1996-2 A5, 8.01%, 10/25/27		2,000,000		2,154,397
	Empire Funding Home Loan Owner Trust 1999-1 M2, 9.00%, 05/25/30		5,205,665		5,527,630
	Equity One ABS, Inc. 2002-2 AF3, 5.77%, 10/25/32		5,550,000		5,914,816
	Falcon Franchise Loan LLC 1999-1
	D, 8.40%, 07/05/134		437,500		456,914
	E, 6.50%, 01/05/14		1,586,500		937,027
	First Alliance Mortgage Loan Trust 1994-3 A1, 7.83%, 10/25/25		30,006		29,971
	First Union Home Equity
	Loan Trust 1997-3 B, 7.39%, 03/25/29		321,977		325,197

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities	First City Capital Home Equity Funding Corp. 1998-1 A4, 6.72%, 06/25/284	$	809,001	$	812,591
(continued)	Galileo Securities, Inc. 2002-1A A1, 1.45%, 02/03/118		5,717,205		4,402,962
	GMAC Mortgage Corporation Loan Trust 2002-HE2 A4, 6.00%, 06/25/27		3,900,000		3,980,978
	Green Tree Financial Corp. 1994-1 A5, 7.65%, 04/15/19		2,405,702		2,532,689
	Green Tree Financial Corp. 1995-10
	A6, 7.05%, 02/15/27		3,673,294		3,842,112
	B1, 7.05%, 02/15/276		3,526,781		3,141,590
	Green Tree Home Equity Loan Trust 1997-B M1, 7.65%, 04/15/27		772,454		788,853
	Green Tree Home Equity Loan Trust 1998-C B2, 8.06%, 07/15/296		7,000,000		3,994,375
	Green Tree Home Improvement Loan Trust 1997-E HEM2, 7.48%, 01/15/29		4,000,000		4,170,000
	Green Tree Home Improvement Loan Trust 1998-B
	HEB2, 8.49%, 11/15/29		5,000,000		3,416,682
	HEM2, 7.33%, 11/15/29		6,750,000		7,077,915
	Green Tree Recreational, Equipment & Consumer Trust 1996-B CTFS, 7.70%, 07/15/18		2,166,295		2,172,031
	Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS, 7.24%, 12/15/22		2,862,892		2,870,268
	Green Tree Recreational, Equipment & Consumer Trust 1998-A A4H, 8.26%, 05/15/29		831,460		833,020
	IMPAC Secured Assets CMN Owner Trust 1998-1 M2, 7.77%, 07/25/25		812,538		832,362
	Lehman ABS Manufactured Housing Contract 2001-B
	AIO2 (IO), 1.10%, 10/15/056		433,500,000		7,224,711
	AIOC (IO), 0.13%, 05/15/416,8		605,400,589		7,890,186
	Mellon Residential Funding Corp. 2001-HEIL A4, 6.62%, 02/25/21		4,500,000		4,741,676
	Metris Master Trust 2000-3 A, 1.38%, 09/21/098		8,970,000		8,577,732
	Metris Master Trust 2001-3 A, 1.35%, 07/21/088		7,155,000		7,021,702
	MMCA Automobile Trust 2002-1 A3, 4.15%, 05/15/06		5,150,205		5,167,066
	Newbury Funding CB0 Ltd. 2000-1 A3, 4.04%, 02/15/304,8		6,800,000		5,886,760
	North Street 2000-1A C, 2.86%, 07/30/104,6,8		3,500,000		1,574,650
	NovaStar NIM Trust 2003-N1 7.39%, 09/28/334		2,774,037		2,776,534

See accompanying notes to financial statements.

6

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities	Oakwood Mortgage Investors, Inc. 2001-C A1, 5.16%, 10/15/12	$	988,984	$	853,018
(continued)	Oakwood Mortgage Investors, Inc. 2002-B
	AIO (IO), 6.00%, 05/15/10		21,587,171		4,476,812
	A1, 1.35%, 05/15/138		3,962,290		3,935,008
	Pegasus Aviation Lease Securitization 2000-1 B1, 8.08%, 03/25/304,6		8,806,150		4,233,830
	Polaris Securities, Inc. 2001-1 A1 (PO), 6.34%5, 07/17/096		4,958,115		4,305,334
	Residential Asset Mortgage Products, Inc. 2001-RS1 AI4, 7.01%, 03/25/31		2,940,212		3,078,034
	Residential Funding Mortgage Securities I 2000-HI1 AII, 8.11%, 02/25/25		169,519		175,417
	Structured Asset Securities Corp. 1999-BC1 M2, 2.41%, 01/25/298		3,344,580		3,353,154
	Structured Settlements Fund 1999-A A, 7.25%, 12/20/154		2,889,323		3,105,121
	Terwin Mortgage Trust 2003-3SL AX (IO), 12.00%, 10/25/334		7,192,000		1,401,721
	Total Asset-Backed Securities				186,177,233
CORPORATES—27.48%2
Banks—0.37%	Christiana Bank, 1.44%, 11/29/498		500,000		391,478
	JP Morgan Chase & Co. (MTN), 8.55%, 07/23/138		1,500,000		1,490,719
					1,882,197
Capital Goods —1.93%	Tyco International Group Revolver Term Loan Note, 4.24%, 02/06/068		10,000,000		9,900,000
Communications —5.13%	Qwest Capital Funding,
	5.88%, 08/03/04		1,850,000		1,840,750
	7.75%, 08/15/06		7,250,000		7,141,250
	Qwest Communications International, 7.50%, 11/01/08		1,000,000		965,000
	Qwest Corp., 6.63%, 09/15/05		1,000,000		1,027,500
	Sprint Capital Corp., 6.90%, 05/01/19		2,350,000		2,416,183
	Worldcom, Inc.,
	7.88%, 05/15/037		16,700,000		5,552,750
	6.50%, 05/15/047		22,255,000		7,399,787
					26,343,220
Electric—1.06%	DPL, Inc., 8.25%, 03/01/07		5,000,000		5,443,565
Energy—1.23%	Noble Affiliates, Inc./Atlantic Meth, 8.95%, 12/15/044		6,000,000		6,304,650
Finance—9.50%	Capital One Bank, 8.25%, 06/15/05		6,850,000		7,472,699
	Finova Group, Inc., 7.50%, 11/15/09		5,422,000		2,711,000

	Issues	Principal Amount		Value
Bonds (continued)	Ford Motor Credit Co.,
Corporates	1.56%, 07/07/058 (EMTN)	$	6,585,000	$	6,463,171
(continued)	6.50%, 02/15/06		8,450,000		8,921,510
Finance	6.50%, 01/25/07		1,000,000		1,057,595
(continued)	1.34%, 03/13/078 (EMTN)		6,670,000		6,221,436
	General Motors Acceptance Corp.,
	6.75%, 01/15/06		2,400,000		2,568,199
	4.50%, 07/15/06		6,100,000		6,450,141
	6.13%, 08/28/07		4,260,000		4,507,855
	MBNA America Bank NA
	1.55%, 05/12/044,8		900,000		898,781
	1.44%, 06/10/048		1,500,000		1,499,418
					48,771,805
Insurance—1.40%	Fairfax Financial Holdings, 7.38%, 03/15/06		7,000,000		7,035,000
	Royal & Sun Alliance Insurance, 8.95%, 10/15/29		195,000		176,870
					7,211,870
Natural Gas —1.20%	Sempra Energy, 6.93%, 07/01/04		3,000,000		3,116,817
	Williams Companies, Inc., 6.75%, 01/15/06		3,000,000		3,030,000
					6,146,817
Real Estate Investment Trust (REIT)—0.22%	Colonial Realty LP (MTN), 7.05%, 12/15/03		1,100,000		1,111,539
Secured Assets —0.96%	Ingress I Ltd. B-A, 7.38%, 03/30/404		5,000,000		4,938,280
Technology —0.56%	Avnet, Inc., 6.88%, 03/15/04		2,795,000		2,857,887
Transportation —3.92%	Continental Airlines, Inc. 1997-4 A, 6.90%, 07/02/19		3,501,347		3,383,058
	Continental Airlines, Inc. 1999-1 A, 6.55%, 08/02/20		7,971,339		7,809,921
	Delta Air Lines 2001-1
	A1, 6.62%, 03/18/11		584,418		575,863
	A2, 7.11%, 03/18/13		1,010,000		990,603
	Northwest Airlines, Inc. 2001-1 A1, 7.04%, 10/01/23		701,408		686,599
	United Air Lines 1997-1 1A, 1.36%, 03/02/046,8		8,533,709		6,698,961
					20,145,005
	Total Corporates				141,056,835
MORTGAGE-BACKED—17.85%3
Commercial Mortgage-Backed —0.62%	Beckman Coulter, Inc. 2000-A A, 7.50%, 12/15/184		3,000,000		3,177,006
Non-Agency Mortgage-Backed —6.65%	Banco De Credito y Securitizacion SA 2001-1 AF, 8.00%, 05/31/104,6		4,564,358		1,594,330
	BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/114,6		4,809,505		1,679,960
	Blackrock Capital Finance L.P. 1997-R2 AP, 8.05%, 12/25/354		79,757		79,757

See accompanying notes to financial statements.

7

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Mortgaged-Backed	Countrywide Funding Corp. 1994-7 A7, 6.50%, 03/25/24	$	84,355	$	84,343
(continued) Non-Agency Mortgage-Backed	Countrywide Home Loans 2003-18 A5, 12.61%, 07/25/33		2,493,944		2,451,078
(continued)	DLJ Mortgage Acceptance Corp. 1994-Q8 IIS (IO), 1.88%, 05/25/246		1,946,411		1,564
	DLJ Mortgage Acceptance Corp. 1996-QA S (IO), 3.06%, 01/25/264,6		2,868,376		28,712
	DLJ Mortgage Acceptance Corp. 1996-Q5 SA (IO), 6.80%, 06/25/266		607,324		15,232
	Prudential Home Mortgage Securities 1995-A 2B, 8.70%, 03/28/25		130,383		137,874
	Residential Asset Securitization Trust 2002-A15 A3, 5.50%, 01/25/33		8,890,309		9,043,866
	Residential Funding Mortgage Securities I 1997-S12 A17, 7.25%, 08/25/27		888		888
	Ryland Acceptance Corp. IV 28 1, 11.50%, 12/25/16		145,103		149,675
	SLH Mortgage Trust 1990-1 G, 9.60%, 03/25/21		14,789		14,773
	Structured Asset Securities Corp. 1996-6 1A5, 7.50%, 08/25/26		212,545		212,431
	Structured Asset Securities Corp. 2002-26 2A1, 6.00%, 12/25/32		1,484,862		1,501,544
	Summit Mortgage Trust 2000-1 B1, 6.05%, 12/28/124		217,076		218,424
	Washington Mutual 2002-AR18 A, 4.20%, 01/25/338		10,054,918		10,216,907
	Washington Mutual 2002-S6 A2, 6.25%, 10/25/32		6,656,000		6,695,184
					34,126,542
U.S. Agency Mortgage-Backed —10.58%	Fannie Mae 1993-95 SB, 15.05%, 06/25/08		267,547		304,432
	Fannie Mae 1997-44 SB (IO), 4.98%, 06/25/088		3,854,602		115,665
	Fannie Mae 1997-76 FS, 1.58%, 09/17/278		439,475		441,998
	Fannie Mae 1998-40 E, 6.50%, 07/18/06		5,995,694		6,105,634
	Fannie Mae 2001-60 JZ, 6.00%, 03/25/31		3,713,331		3,808,650
	Fannie Mae 2002-65 TP, 7.00%, 03/25/31		7,054,234		7,335,536
	Fannie Mae Pool 567002, 8.00%, 05/01/23		705,142		766,817
	Fannie Mae Pool 635055, 6.00%, 06/01/17		6,646,878		6,940,569
	Fannie Mae TBA, 4.50%, 10/15/18		13,890,000		14,007,204
	Fannie Mae TBA, 6.50%, 11/15/33		5,190,000		5,404,087
	Freddie Mac 1164 O (IO), 9.52%, 11/15/068		123,766		4,691

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed	Freddie Mac 1634 SE, 8.80%, 12/15/23	$	1,241	$	1,241
(continued) U.S. Agency	Freddie Mac 2274 TV, 6.00%, 09/15/28		734,213		739,356
Mortgage-Backed (continued)	Freddie Mac 2544 PI (IO), 5.50%, 08/15/16		14,000,000		618,699
	Freddie Mac 2625 (IO), 5.00%, 12/15/31		9,314,796		1,407,401
	Freddie Mac Gold C46104, 6.50%, 09/01/29		223,420		233,618
	Freddie Mac Gold P50019, 7.00%, 07/01/24		714,826		752,020
	Freddie Mac Pool 786781, 4.93%, 08/01/298		800,992		828,169
	Government National Mortgage Association 2003-28 LI (IO), 5.50%, 02/20/32		8,260,896		1,217,193
	Government National Mortgage Association 2003-40 IW (IO), 5.50%, 07/20/29		6,047,273		1,196,234
	Government National Mortgage Association Pool 1849, 8.50%, 08/20/24		11,990		13,093
	Government National Mortgage Association Pool 2020, 8.50%, 06/20/25		40,251		43,762
	Government National Mortgage Association Pool 2286, 8.50%, 09/20/26		25,937		28,127
	Government National Mortgage Association Pool 2487, 8.50%, 09/20/27		124,075		134,179
	Government National Mortgage Association Pool 422972, 6.50%, 07/15/29		170,264		179,016
	Government National Mortgage Association Pool 80589, 5.00%, 03/20/328		1,641,907		1,689,204
					54,316,595
	Total Mortgage-Backed				91,620,143
U.S. TREASURY SECURITIES—1.44%
U.S. Treasury Notes—1.44%	U.S. Treasury Notes, 3.88%, 01/15/09		5,762,000		7,382,628
	Total Bonds (Cost $462,197,202)				426,236,839
SHORT TERM INVESTMENTS 22.46%
Commercial Paper—8.04%	CIT Group, Inc., 1.08%5, 10/08/03		10,000,000		9,997,797
	Citigroup Global, 1.05%5, 10/28/03		6,180,000		6,174,890
	DaimlerChrysler NA Holdings, 1.24%5,11/05/03		12,460,000		12,444,979
	General Electric Capital Corp., 1.06%5, 10/21/03		12,665,000		12,657,417
					41,275,083
Money Market RIC—3.17%	J.P. Morgan Institutional Prime Money Market		16,269,000		16,269,000

See accompanying notes to financial statements.

8

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount	Value
Short Term	Fannie Mae,
Investments	1.03%5, 10/08/03	4,000,000		3,999,222
(continued)	1.03%5, 10/29/03	4,650,000		4,646,275
U.S. Agency	1.02%5, 11/18/03	20,000,000		19,972,800
Discount Notes	Freddie Mac,
—11.25%	1.04%5, 10/14/03	6,500,000		6,497,559
	0.99%5, 10/15/03	10,000,000		9,996,073
	1.02%5, 10/16/03	10,000,000		9,995,792
	1.00%5, 10/29/03	47,000		46,964
	1.03%5, 11/06/03	2,580,000		2,577,355
				57,732,040
	Total Short Term Investments (Cost $115,276,123)			115,276,123
	Total Investments—105.51% (Cost $577,473,325)1			541,512,962
	Liabilities Less Cash and Other Assets—(5.51)%			(28,286,986	)
	Net Assets—100.00%		$	513,225,976

Notes:

¹ Cost for Federal income tax purposes is $577,473,325 and net unrealized depreciation consists of:

Gross unrealized appreciation	$	21,179,378
Gross unrealized depreciation		(57,139,741	)
Net unrealized depreciation	$	(35,960,363	)

² Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

³ Securities backed by mortgage or consumer loans where payment is periodically made will have an effective date less than the stated maturity date.

⁴ Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions with qualified institutional buyers. The market value of these securities at September 30, 2003 was $43,747,717 representing 8.52% of total net assets.

⁵ Represents annualized yield at date of purchase.

⁶ Securities determined to be illiquid and procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of Purchase	Security	Cost		Value		% of TNA
08/22/01	Aircraft Lease Portfolio Securitizacion Ltd. 1996-1 CX, 2.97%, 06/15/06	$	940,908	$	465,475	0.09%
01/23/01	Banco De Credito y Securitizacion SA 2001-1 AF, 8.00%, 05/31/10		4,481,911		1,594,330	0.31%
04/05/00	BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/11		4,603,393		1,679,960	0.33%
08/17/01	Conseco Finance Securitizations Corp. 2001-3 AIO (IO), 2.50%, 05/01/33		2,781,951		1,699,346	0.33%
06/19/97	DLJ Mortgage Acceptance Corp. 1994-Q8 IIS (IO), 1.88%, 05/25/24		734,907		1,564	0.00%
10/20/98	DLJ Mortgage Acceptance Corp. 1996-QA S (IO), 3.06%, 01/25/26		609,473		28,712	0.01%

Date of Purchase	Security	Cost		Value		% of TNA
01/04/99	DLJ Mortgage Acceptance Corp. 1996-Q5 SA (IO), 6.80%, 06/25/26		159,930		15,232	0.00%
03/14/02	Green Tree Financial Corp. 1995-10 B1, 7.05%, 02/15/27		3,213,095		3,141,590	0.61%
04/19/99	Green Tree Home Equity Loan Trust 1998-C B2, 8.06%, 07/15/29		6,387,774		3,994,375	0.78%
05/01/02	Lehman ABS Manufactured Housing Contract 2001-B AIO2 (IO), 1.10%, 10/15/05		6,792,553		7,224,711	1.41%
05/03/02	Lehman ABS Manufactured Housing Contract 2001-B AIOC (IO), 0.13%, 05/15/41		6,954,319		7,890,186	1.54%
03/14/02	North Street 2000-1A C, 2.86%, 07/30/10		3,483,833		1,574,650	0.31%
03/08/00	Pegasus Aviation Lease Securitization 2000-1 B1, 8.08%, 03/25/30		8,401,310		4,305,334	0.82%
11/01/01	Polaris Trust A1 (PO), 6.34%, 02/17/09		3,393,223		4,305,334	0.84%
11/20/01	United Air Lines 1997-1 1A, 1.36%, 03/02/04		8,533,709		6,698,961	1.30%
		$	61,472,289	$	44,548,256	8.68%

⁷ Non-income producing. Security is in default. Issuing company has filed for reorganization under Chapter 11 of the U.S. Bankruptcy code.

⁸ Floating rate security. The rate disclosed is that in effect at September 30, 2003.

(EMTN): Euro medium term note

(IO): Interest only

(MTN): Medium term note

(PO): Principal only

See accompanying notes to financial statements.

9

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
BONDS 91.39%
ASSET-BACKED SECURITIES—30.79%3
	American Business Financial Services 2002-1 A2, 4.04%, 04/15/19	$	139,704	$	139,879
	Ameriquest Mortgage Securities, Inc. 2002-3 S (IO), 6.00%, 08/25/326		1,835,938		116,468
	Ameriquest Mortgage Securities, Inc. 2003-6 AF1, 1.86%, 11/25/19		431,412		432,014
	ARC Net Interest Margin Trust 2002-7A A, 7.75%, 10/27/324		145,868		145,678
	Bear Stearns Asset Backed Securities, Inc. 2001-A AI4, 6.82%, 02/15/31		400,000		425,725
	Centex Home Equity 2002-D AIO (IO), 4.47%, 11/25/056		919,984		61,812
	Conseco Finance 2001-A IIM2, 8.81%, 03/15/32		300,000		318,161
	Conseco Finance 2001-D A5, 6.19%, 11/15/32		500,000		530,259
	Conseco Finance 2002-A
	A5, 7.05%, 04/15/32		500,000		538,521
	B2, 6.87%, 04/15/324,7		270,000		258,555
	Conseco Finance 2002-C BF2, 8.00%, 06/15/324		412,287		412,287
	Conseco Finance Securitizations Corp. 2001-3 A4, 6.91%, 05/01/33		80,000		76,800
	FHLMC Structured Pass Through Securities T-49 AF1, 2.57%, 12/25/32		95,995		96,073
	GMAC Mortgage Corporation Loan Trust 2000-CL1 B, 9.00%, 06/25/26		950,000		1,009,672
	Green Tree Financial Corp. 1996-10 M1, 7.24%, 11/15/28		3,000		2,447
	Green Tree Financial Corp. 1997-6 B1, 7.17%, 01/15/296		800,000		240,080
	Green Tree Home Improvement Loan Trust 1995-C B2, 7.60%, 07/15/20		793		795
	HPSC Equipment Receivables LLC 2003-1A F, 13.95%, 07/20/114,6		229,878		233,257
	Keystone Owner Trust 1998-P1 M2, 7.93%, 05/25/254		424,781		442,852
	Metris Master Trust 2000-3 A, 1.38%, 09/21/097		300,000		286,881
	Metris Master Trust 2001-4A A, 1.47%, 08/20/087		600,000		589,302
	Oakwood Mortgage Investors, Inc. 1997-A A5, 7.13%, 05/15/27		374,480		396,130
	Oakwood Mortgage Investors, Inc. 2001-D A3, 5.90%, 09/15/22		400,000		341,729
	Oakwood Mortgage Investors, Inc. 2002-B A1, 1.35%, 05/15/137		440,254		437,223
	Residential Asset Mortgage Products, Inc. 2002-RS5 AI5, 5.41%, 09/25/32		500,000		529,467
	Residential Asset Mortgage Products, Inc. 2003-RS2 AI5, 5.49%, 03/25/33		600,000		602,493

	Issues		Principal Amount		Value
Bonds (continued) Asset-Backed Securities	Residential Asset Mortgage Products, Inc. 2003-RS4 AI2, 2.30%, 07/25/24		$	500,000	$	502,577
(continued)	Saxon Asset Securities Trust 2000-3 AF4, 7.63%, 09/25/23			25,031		25,669
	UCFC Home Equity Loan 1998-D
	BF1, 8.97%, 04/15/30			500,000		533,216
	MF1, 6.91%, 04/15/30			500,000		531,053
	Total Asset-Backed Securities					10,257,075
CORPORATES—26.97%2
Automotive	Ford Motor Co., 7.45%, 07/16/31			500,000		462,400
—3.46%	General Motors, 8.38%, 07/15/33			660,000		692,040
						1,154,440
Capital Goods —1.72%	Tyco International Group SA	��
	5.88%, 11/01/04			200,000		206,000
	6.38%, 02/15/06			350,000		368,375
						574,375
Communications —6.74%	AT&T Wireless Services, Inc., 8.13%, 05/01/12			65,000		77,324
	Citizens Communications, 8.50%, 05/15/06			280,000		321,546
	Comcast Corp.,
	5.50%, 03/15/11			125,000		131,703
	5.30%, 01/15/14			63,000		63,742
	CSC Holdings, Inc., 7.63%, 04/01/11			312,000		312,780
	Nextel Communications,
	9.75%, 10/31/07			60,000		62,100
	5.25%, 01/15/10			379,000		355,313
	Qwest Corp., 5.63%, 11/15/08			489,000		479,220
	Sprint Capital Corp., 6.88%, 11/15/28			450,000		440,379
						2,244,107
Electric—2.46%	DPL, Inc., 8.25%, 03/01/07			315,000		342,945
	Southern Cal Edison, 8.00%, 02/15/074			150,000		168,375
	Westar Energy Inc., 7.65%, 04/15/23			303,000		307,924
						819,244
Finance—3.42%	Capital One Bank, 6.50%, 06/13/13			506,000		518,813
	Ford Motor Credit Co.,
	1.55%, 07/18/057 (MTN)			2,000		1,965
	7.38%, 10/28/09			180,000		192,097
	7.88%, 06/15/10			60,000		65,140
	7.38%, 02/01/11			30,000		31,600
	General Motors Acceptance Corp., 8.00%, 11/01/31			320,000		329,629
						1,139,244
Insurance—2.25%	Farmers Exchance Capital, 7.05%, 07/15/284			335,000		314,376
	Nationwide Mutual Insurance,
	8.25%, 12/01/314			100,000		119,576
	7.88%, 04/01/334			273,000		314,216
						748,168

See accompanying notes to financial statements.

10

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued)	El Paso Corp., 7.00%, 05/15/11	$	300,000	$	249,000
Corporates (continued) Natural Gas —1.67%	Williams Companies, Inc., 9.25%, 03/15/04		300,000		307,500
					556,500
Real Estate Investment Trust (Reit)—0.88%	Developers Diversified Realty (MTN), 6.84%, 12/16/04		280,000		293,945
Technology —0.86%	Avnet, Inc., 6.88%, 03/15/04		280,000		286,300
Transportation —3.51%	Air 2 US A, 8.03%, 10/01/204		145,657		112,653
	American Airlines, Inc. 1999-1 A2, 7.02%, 04/15/11		110,000		105,875
	Continental Airlines, Inc. 1997-1 A, 7.46%, 10/01/16		25,063		23,912
	Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08		366,222		322,581
	Continental Airlines, Inc. 1999-1 A, 6.55%, 08/02/20		86,796		85,038
	Continental Airlines, Inc. 2000-1 A1, 8.05%, 05/01/22		270,926		266,590
	Delta Air Lines 2000-1 A1, 7.38%, 11/18/11		168,276		167,924
	Northwest Airlines, Inc. 2001-1 A1, 7.04%, 10/01/23		43,237		42,325
	United Air Lines 2000-2
	A1, 7.03%, 04/01/12		31,361		25,481
	A2, 7.19%, 10/01/12		19,632		15,951
					1,168,330
	Total Corporates				8,984,653
MORTGAGE-BACKED—18.71%3
Non-Agency Mortgage-Backed —6.41%	ABN Amro Mortgage Corp. 2002-1A 1A1, 5.85%, 06/25/32		173,170		174,861
	Countrywide Alternative Loan Trust 2001-12 A7, 6.50%, 01/25/32		550,000		563,999
	Residential Funding Mortgage Securities I, 1998-S3 M1, 6.75%, 02/25/28		291,692		291,542
	Structured Asset Securities Corp. 1996-CFL F, 7.75%, 02/25/284		400,000		403,000
	Structured Asset Securities Corp. 2002-26 2A1, 6.00%, 12/25/32		88,738		89,735
	Washington Mutual 2002-AR18 A, 4.20%, 01/25/337		601,647		611,340
					2,134,477
U.S. Agency Mortgage-Backed —12.30%	Fannie Mae 1993-225 SG, 22.76%, 12/25/137		485,000		544,839
	Fannie Mae 1993-80 S, 9.50%, 05/25/237		187,304		190,421
	Fannie Mae 2002-85 MI (IO), 5.50%, 01/25/22		475,000		25,550
	Fannie Mae 2003-13 GI (IO), 5.50%, 06/25/32		800,000		54,434

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed	Fannie Mae Pool 253974, 7.00%, 08/01/31	$	322,253	$	342,596
(continued) U.S. Agency	Fannie Mae Pool 527247, 7.00%, 09/01/26		881		935
Mortgage-Backed (continued)	Fannie Mae Pool 545646, 7.00%, 09/01/26		750		797
	Fannie Mae Pool 549740, 6.50%, 10/01/27		388,127		406,704
	Fannie Mae TBA,
	4.50%, 10/15/18		130,000		131,097
	5.00%, 10/15/18		590,000		604,566
	6.50%, 11/15/33		155,000		161,394
	Freddie Mac 1602 SN, 10.09%, 10/15/237		192,472		196,046
	Freddie Mac 1710 Z, 6.10%, 03/15/24		10,560		10,573
	Freddie Mac 2451 SP, 14.48%, 05/15/097		352,100		386,543
	Freddie Mac 2571 MI (IO), 5.50%, 10/15/23		482,417		38,266
	Freddie Mac Gold P50019, 7.00%, 07/01/24		145,276		152,836
	Freddie Mac Gold TBA, 4.50%, 10/15/18		400,000		403,625
	Government National Mortgage Association 2003-28 LI (IO), 5.50%, 02/20/32		932,995		137,471
	Government National Mortgage Association TBA, 4.50%, 10/15/33		320,000		309,900
					4,098,593
	Total Mortgage-Backed				6,233,070
U.S. TREASURY SECURITIES—14.92%
U.S. Treasury Notes—10.40%	U.S. Treasury Notes,
	3.00%, 02/15/08		288,000		293,063
	3.88%, 01/15/09		86,000		110,188
	5.00%, 08/15/11		2,795,000		3,058,124
					3,461,375
U.S. Inflation Index Notes —4.52%	U.S. Treasury Notes, 4.25%, 01/15/10	$	1,174,000	$	1,506,550
	Total U.S. Treasury Securities				4,967,925
	Total Bonds (Cost $29,357,636)				30,442,723
SHORT TERM INVESTMENTS 13.98%
Commercial Paper—5.36%	CIT Group, Inc., 1.08%5, 10/08/03		500,000		499,896
	Citigroup Global Markets Holdings, 1.06%5, 10/28/03		500,000		499,536
	General Electric Capital Corp., 1.06%5, 10/21/03		785,000		784,530
					1,783,962
Money Market RIC—0.91%	J.P. Morgan Institutional Prime Money Market		304,000		304,000

See accompanying notes to financial statements.

11

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
Short Term	Fannie Mae, 1.03%5, 10/29/03	$	250,000	$	249,800
Investments	Freddie Mac,
(continued)	1.05%5, 10/14/03		320,000		319,879
U.S. Agency Discount Notes —7.71%	0.99%5, 10/15/03		1,000,000		999,607
	1.05%5, 10/24/03		500,000		499,677
	1.04%5, 11/18/03		500,000		499,307
					2,568,270
	Total Short Term Investments (Cost $4,656,300)				4,656,232
	Total Investments—105.37% (Cost $34,013,936)1				35,098,955
	Liabilities Less Cash and Other Assets—(5.37)%				(1,788,918	)
	Net Assets—100.00%			$	33,310,037

Notes:

¹ Cost for Federal income tax purposes is $34,013,936 and net unrealized appreciation consists of:

Gross unrealized appreciation	$	1,324,387
Gross unrealized depreciation		(239,368	)
Net unrealized appreciation	$	1,085,019

² Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

³ Securities backed by mortgage or consumer loans where payment is periodically made will have an effective date less than the stated maturity date.

⁴ Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions with qualified institutional buyers. The market value of these securities at September 30, 2003 was $2,923,825 representing 8.78% of total net assets.

⁵ Represents annualized yield at date of purchase.

⁶ Securities determined to be illiquid and procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of Purchase	Security	Cost		Value		% of TNA
08/13/02	Ameriquest Mortgage Securities, Inc. 2002-3 S (IO), 6.00%, 08/25/32	$	117,007	$	116,468	0.35%
02/01/03	Centex Home Equity 2002-D AIO (IO), 4.47%, 11/25/05		62,049		61,812	0.19%
11/21/02	Green Tree Financial Corp. 1997-6 B1, 7.17%, 01/15/29		231,136		240,080	0.72%
03/27/03	HPSC Equipment Receivables LLC 2003-1A F, 13.95%, 07/20/11		229,542		233,257	0.70%
		$	639,734	$	651,617	1.96%

⁷ Floating rate security. The rate disclosed is that in effect at September 30, 2003.

(IO): Interest only

(MTN): Medium term note

See accompanying notes to financial statements.

12

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
BONDS 91.91%
ASSET-BACKED SECURITIES—20.70%3
	American Business Financial Services 2002-1 A5, 6.51%, 12/15/32	$	9,891,000	$	10,807,406
	American Business Financial Services 2002-2 AIO (IO), 10.00%, 06/15/336		21,166,667		1,914,948
	AMRESCO Residential Securities Mortgage 1998-2 B1F, 7.72%, 06/25/28		911,803		908,575
	AQ Finance NIM Trust 2002-1 9.50%, 06/25/324		1,188,097		1,187,028
	ARC Net Interest Margin Trust 2002-1 A, 7.75%, 01/27/324		2,356,437		2,341,342
	ARC Net Interest Margin Trust 2002-7A A, 7.75%, 10/27/324		3,683,157		3,678,366
	Atherton Franchisee Loan Funding 1999-A E, 8.25%, 10/15/154		3,000,000		1,717,029
	Bankamerica Manufactured Housing Contract 1998-2 B1, 7.93%, 12/10/256		3,000,000		2,871,030
	Centex Home Equity 2002-D AIO (IO), 4.47%, 11/25/056		22,369,669		1,502,973
	Commercial Mortgage Lease-Backed Certificate 2001-CMLB D, 7.88%, 06/20/314		1,576,000		1,619,094
	Conseco Finance 1999-F M2, 9.30%, 10/15/30		5,000,000		5,220,486
	Conseco Finance 1999-H MV2, 2.52%, 11/15/298		476,762		474,987
	Conseco Finance 2000-B MF1, 8.14%, 02/15/31		3,916,623		4,082,704
	Conseco Finance 2000-C B2, 3.17%, 07/15/298		1,547,543		1,424,978
	Conseco Finance 2001-A
	IA5, 7.06%, 03/15/32		3,040,000		3,199,274
	IIA3, 7.20%, 03/15/32		2,500,000		2,682,867
	IM2, 8.02%, 03/15/32		4,000,000		4,216,269
	Conseco Finance 2001-C
	A4, 6.19%, 03/15/30		7,500,000		7,922,100
	A5, 6.79%, 08/15/33		7,848,000		8,526,628
	Conseco Finance 2002-C
	AF4, 5.97%, 06/15/32		3,200,000		3,400,536
	BF2, 8.00%, 08/15/334		1,163,042		1,162,861
	Conseco Finance Securitizations Corp. 2000-A A5, 7.97%, 05/01/32		1,100,000		1,022,887
	Countrywide Asset-Backed Certificates 2001-1 BF2, 3.32%, 07/25/318		3,000,000		2,983,588
	CS First Boston Mortgage Securities 2002-H1N A, 8.00%, 08/27/324		1,015,671		1,006,149
	Duke Funding I, Ltd. 1A B1, 8.27%, 11/10/354		17,000,000		17,159,375
	Embarcadero Aircraft Securitization Trust 2000-A A1, 1.60%, 08/15/254,8		1,700,000		860,370

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities	Empire Funding Home Loan Owner Trust 1997-4 A5, 7.66%, 01/25/24	$	8,139,873	$	8,354,115
(continued)	Empire Funding Home Loan Owner Trust 1999-1 M2, 9.00%, 05/25/30		591,553		628,140
	Falcon Franchise Loan LLC 1999-1
	D, 8.40%, 07/05/134		1,000,000		1,044,375
	E, 6.50%, 01/05/14		1,000,000		590,625
	First Union Home Equity Loan Trust 1997-3 B, 7.39%, 03/25/29		740,547		747,953
	FMAC Loan Receivables Trust 1998-A A3, 6.69%, 09/15/204		9,915,643		7,032,362
	FMAC Loan Receivables Trust 1998-BA A2, 6.74%, 11/15/204		22,984,709		13,866,238
	FMAC Loan Receivables Trust 1998-CA A2, 6.66%, 01/15/124		3,000,000		1,979,061
	Galileo Securities, Inc. 2002-1A A1, 1.45%, 02/03/118		15,603,885		12,016,942
	Green Tree Financial Corp. 1995-5 B2, 7.65%, 09/15/266		2,305,000		1,009,106
	Green Tree Financial Corp. 1999-4
	A4, 6.64%, 05/01/31		577,700		578,128
	B1, 8.75%, 05/01/31		3,400,000		197,625
	Green Tree Home Equity Loan Trust 1997-B M1, 7.65%, 04/15/27		638,391		651,945
	Green Tree Home Equity Loan Trust 1998-C B2, 8.06%, 07/15/296		4,250,000		2,425,156
	Green Tree Home Improvement Loan Trust 1995-F B2, 7.10%, 01/15/21		1,891,988		1,826,105
	Green Tree Home Improvement Loan Trust 1997-E HEB2, 7.77%, 01/15/29		2,000,000		1,877,780
	Green Tree Home Improvement Loan Trust 1998-B
	HEB2, 8.49%, 11/15/29		3,000,000		2,050,010
	HEM2, 7.33%, 11/15/29		5,000,000		5,242,900
	Green Tree Recreational, Equipment & Consumer Trust 1996-D CFTS, 7.24%, 12/15/22		3,718,181		3,727,761
	Green Tree Recreational, Equipment & Consumer Trust 1998-A
	A1H, 6.71%, 05/15/29		263,120		274,429
	A4H, 8.26%, 05/15/29		526,241		527,228
	HPSC Equipment Receivables LLC 2000-1A F, 12.91%, 12/22/084		1,771,986		1,800,781
	Indymac Home Equity Loan Asset-Backed Trust 2001-B AF5, 7.01%, 04/25/31		3,984,924		4,018,431
	Irwin Home Equity 1999-3 A2, 7.69%, 10/25/09		184,708		196,058

See accompanying notes to financial statements.

13

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed	Keystone Owner Trust 1998-P2 A5, 7.40%, 01/25/294	$	9,248,019	$	9,747,750
Securities (continued)	Merrill Lynch Mortgage Investors, Inc. 2002-NC1N N1, 9.08%, 05/25/334		575,990		577,970
	Metris Master Trust 2000-3 A, 1.38%, 09/21/098		7,700,000		7,363,271
	Metris Master Trust 2001-3 A, 1.35%, 07/21/088		5,671,000		5,565,349
	ML CBO Series 1996-PM-1 B, 7.87%, 12/17/064,6		5,000,000		2,319,000
	NC Finance Trust 2002-1, 9.25%, 03/25/324		1,343,109		1,341,900
	Newbury Funding CBO Ltd. (IO), 17.63%, 02/15/064,6,8		6,000,000		1,500,600
	Newbury Funding CBO Ltd. 2000-1 A3, 4.04%, 02/15/304,8		11,250,000		9,739,125
	North Street 2000-1A C, 2.86%, 07/30/104,6,8		3,000,000		1,349,700
	NovaStar NIM Trust 2003-N1, 7.39%, 09/28/334		1,387,019		1,388,267
	Oakwood Mortgage Investors, Inc. 2000-A M1, 8.30%, 04/15/30		7,500,000		4,572,660
	Oakwood Mortgage Investors, Inc. 2001-D A3, 5.90%, 09/15/22		580,000		495,507
	Option One Mortgage Securities Corp. NIM 2002-2A CFTS, 8.83%, 06/26/324		1,384,717		1,389,044
	Pamco CLO 1998-1A B2, 2.47%, 05/01/104,6,8		5,250,000		2,361,975
	Pegasus Aviation Lease Securitization 2000-1 C1, 7.83%, 03/25/304,6		3,913,845		1,309,913
	Polaris Securities, Inc. 2001-1 A1 (PO), 6.34%5, 07/17/09		12,891,098		11,193,869
	Provident Bank Home Equity Loan Trust 1997-4 A3, 6.91%, 01/25/29		879,371		933,673
	Prudential 2000-1 CBO, 27.11%7, 10/15/35		2,903,461		1,872,279
	Prudential Structured Finance CBO 1A B2, 13.13%, 11/15/354		2,500,000		1,512,110
	Residential Asset Mortgage Products, Inc. 2000-RS1 A1, 8.00%, 03/25/30		182,028		188,563
	Residential Asset Mortgage Products, Inc. 2000-RZ1 A3, 8.27%, 10/25/29		2,583,000		2,788,366
	Residential Asset Mortgage Products, Inc. 2002-RS5 AI5, 5.41%, 09/25/32		9,539,000		10,101,164
	Residential Asset Mortgage Products, Inc. 2002-RZ1 A5, 6.60%, 03/25/32		14,825,000		15,689,644
	Residential Funding Mortgage Securities I 1999-HI6 AI7, 8.10%, 09/25/29		4,300,000		4,597,228
	Residential Funding Mortgage Securities I 2000-HI1 A17, 8.29%, 02/25/25		2,250,000		2,409,482

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed	Signature 1 CBO, 7.33%, 10/15/098	$	2,000,000	$	1,920,200
Securities (continued)	Signature 5 L.P. 5A B2, 8.41%, 10/27/124		3,000,000		3,190,782
	Triton CBO III Ltd. 1A B, 8.53%, 04/17/114,6		11,334,846		6,230,618
	Van Kampen CLO II Ltd., 2.31%, 07/15/084,6,8		11,394,503		7,835,498
	Vanderbilt Acquisition Loan Trust 2002-1 A4, 6.57%, 05/07/27		5,280,000		5,326,148
	Total Asset-Backed Securities				293,368,759
CORPORATES—44.53%2
Automotive —6.59%	Ford Motor Co.,
	6.63%, 10/01/28		9,885,000		8,355,326
	7.45%, 07/16/31		46,305,000		42,822,864
	General Motors Corp., 8.38%, 07/15/33		40,290,000		42,245,878
					93,424,068
Banks—0.55%	BT Institutional Capital Trust Bank, 7.75%, 12/01/264		500,000		539,176
	Crestar Capital Trust I, 8.16%, 12/15/26		1,500,000		1,734,807
	First Chicago NBD Institution Cap A, 7.95%, 12/01/264		2,100,000		2,404,441
	J.P. Morgan Chase & Co. (MTN), 8.55%, 07/23/138		2,500,000		2,484,533
	Popular NA, Inc. (MTN), 2.76%, 10/15/038		50,000		50,016
	Wachovia Bank NA, 7.70%, 08/10/108		500,000		547,616
					7,760,589
Capital Goods —1.69%	Tyco International Group Revolving Term Loan Note, 4.24%, 02/06/068		10,000,000		9,900,000
	Tyco International Group SA,
	5.80%, 08/01/06		3,350,000		3,492,375
	6.38%, 10/15/11		10,250,000		10,621,563
					24,013,938
Communications —8.94%	AT&T Wireless Services, Inc., 8.75%, 03/01/31		3,640,000		4,518,092
	Nextel Communications,
	9.75%, 10/31/07		3,270,000		3,384,450
	7.38%, 08/01/15		3,289,000		3,338,335
	Nextel Finance Co.,
	4.69%, 06/30/088		2,428,854		2,444,034
	4.94%, 12/31/088		3,182,604		3,202,495
	Qwest Capital Funding,
	7.00%, 08/03/09		14,845,000		13,323,388
	7.90%, 08/15/10		5,120,000		4,684,800
	7.25%, 02/15/114		2,700,000		2,382,750
	7.25%, 02/15/11		4,500,000		4,027,500
	Qwest Communications International, 7.50%, 11/01/08		9,053,000		8,736,145
	Sprint Capital Corp., 6.88%, 11/15/28		14,250,000		13,945,349

See accompanying notes to financial statements.

14

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued)	U.S. West Capital Funding,
Corporates	6.25%, 07/15/05	$	2,300,000	$	2,265,500
(continued)	6.38%, 07/15/08		15,000,000		13,350,000
Communications	6.88%, 07/15/28		3,300,000		2,623,500
(continued)	Worldcom, Inc.,
	7.55%, 04/01/047		8,927,000		2,968,228
	6.50%, 05/15/047		39,120,000		13,007,400
	7.88%, 05/15/047		29,000,000		9,642,500
	6.25%, 08/15/047		31,980,000		10,633,350
	7.38%, 01/15/064,7		20,500,000		6,816,250
	7.38%, 01/15/494,7		4,300,000		1,429,750
					126,723,816
Electric—6.11%	Aquila Networks Canada Term Loan, 6.75%, 07/28/048		2,000,000		2,010,000
	Calpine CCFC I Term Loan, 7.50%, 08/26/098		2,780,000		2,877,300
	Calpine CCFC II Revolving Loan, 3.36%, 11/16/046,8		52,500,000		47,250,000
	Calpine Corp., 6.85%, 07/15/074,8		6,559,000		6,173,659
	Centerpoint Energy Term Loan, 12.75%, 11/11/058		12,450,000		14,317,500
	East Coast Power LLC,
	7.07%, 03/31/12		1,233,991		1,271,010
	7.54%, 06/30/17		2,814,510		2,898,945
	El Paso Electric Co., 9.40%, 05/01/11		1,300,000		1,534,042
	GWF Energy LLC, 6.13%, 12/30/114		7,500,000		7,642,710
	Southern Cal Edison, 8.00%, 02/05/074		500,000		561,250
					86,536,416
Energy—0.30%	Noble Affiliates, Inc./Atlantic Meth, 8.95%, 12/15/044		4,000,000		4,203,100
Finance—3.77%	Capital One Bank, 6.50%, 06/13/13		27,755,000		28,457,840
	Finova Group Inc., 7.50%, 11/15/09		20,087,000		10,043,500
	Ford Motor Credit Co.,
	7.88%, 06/15/10		5,080,000		5,515,173
	7.38%, 02/01/11		1,795,000		1,890,733
	General Motors Acceptance Corp.,
	6.88%, 09/15/11		1,400,000		1,455,422
	8.00%, 11/01/31		1,510,000		1,555,439
	MBNA America Bank NA, 1.44%, 06/10/048		4,500,000		4,498,254
					53,416,361
Insurance—4.48%	CNA Financial Corp., 6.25%, 11/15/03		300,000		301,205
	Corporate-Backed Trust Certificates RSA 2001-12 A-2 (IO), 1.25%, 10/15/296		60,000,000		6,808,140
	Farmers Exchance Capital,
	7.05%, 07/15/284		15,540,000		14,583,295
	7.20%, 07/15/484		2,000,000		1,776,416
	Farmers Insurance Exchange, 8.63%, 05/01/244		15,500,000		15,855,927
	Liberty Mutual Insurance Co., 7.70%, 10/15/974		3,000,000		2,240,634

	Issues	Principal Amount		Value
Bonds (continued) Corporates	Nationwide Mutual Insurance, 8.25%, 12/01/314	$	3,900,000	$	4,663,460
(continued) Insurance	Royal & Sun Alliance Insurance, 8.95%, 10/15/29		7,270,000		6,594,079
(continued)	TIG Holdings Inc., 8.60%, 01/15/274		12,500,000		8,625,000
	Zurich Capital Trust I, 8.38%, 06/01/374		1,800,000		2,069,847
					63,518,003
Natural Gas —0.07%	Sempra Energy, 6.80%, 07/01/04		1,000,000		1,038,939
Real Estate Investment Trust	Developers Diversified Realty (MTN), 6.84%, 12/16/04		500,000		524,902
(REIT)—1.76%	Highwoods Exercisable Put Option, 7.19%, 6/15/044		1,700,000		1,729,543
	Highwoods Realty LP,
	6.75%, 12/01/03		3,000,000		3,025,203
	8.00%, 12/01/03		5,000,000		5,052,000
	7.50%, 04/15/18		7,267,000		7,304,570
	JDN Realty Corp., 6.80%, 08/01/04		1,220,000		1,261,825
	Simon Property Group LP, 6.75%, 07/15/04		1,000,000		1,039,270
	United Dominion Realty Trust (MTN),
	7.67%, 01/26/04		2,000,000		2,032,542
	7.73%, 04/05/05		2,800,000		3,012,985
					24,982,840
Secured Assets —2.19%	Aeltus CBO II, 7.98%, 08/06/094,6		6,080,633		3,725,336
	Century Funding Ltd. 1A C, 10.00%, 02/15/114,6		2,443,471		851,396
	Ingress I Ltd. B-A, 7.38%, 03/30/404		11,750,000		11,604,958
	Ingress I Ltd. C-A, 8.01%, 03/30/404		11,250,000		8,323,875
	Magnus Funding Ltd. 1A,
	B, 2.48%, 06/15/114,6,8		4,326,240		1,167,652
	C, 10.28%, 06/15/114,6		6,455,164		1,611,770
	Northstar CBO Ltd. 1997-2 A3, 6.68%, 07/15/094,6		13,750,000		3,762,660
					31,047,647
Transportation —8.08%	Air 2 US A, 8.03%, 10/01/204		24,149,911		18,677,903
	Air 2 US B, 8.63%, 10/01/204,6		11,736,637		4,128,186
	American Airlines 1994 A4, 9.78%, 11/26/11		11,505,873		7,892,304
	American Airlines 1999-1 A2, 7.02%, 04/15/11		7,720,000		7,430,500
	American Airlines 2001-1 A1, 6.98%, 11/23/22		4,065,701		3,513,744
	American Airlines 2001-2 A2, 7.86%, 10/01/11		3,000,000		3,022,050
	Continental Airlines, Inc. 1997-3 A, 7.16%, 09/24/14		753,736		691,094
	Continental Airlines, Inc. 1997-1 A, 7.46%, 10/01/16		2,414,388		2,303,536

See accompanying notes to financial statements.

15

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Corporates	Continental Airlines, Inc. 1997-4 A,
(continued)	6.80%, 01/02/09	$	464,192	$	403,408
Transportation	6.90%, 07/02/19		1,908,677		1,844,194
(continued)	Continental Airlines, Inc. 1998-1 A, 6.65%, 03/15/19		4,984,318		4,757,285
	Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08		1,028,910		906,299
	Continental Airlines, Inc. 1999-2 A1, 7.26%, 09/15/21		11,593,490		11,420,130
	Continental Airlines, Inc. 2000-1 A2, 7.92%, 11/01/11		2,000,000		1,981,090
	Continental Airlines, Inc. 2000-2,
	A1, 7.71%, 10/02/22		1,790,218		1,746,159
	A2, 7.49%, 04/02/12		2,000,000		1,960,449
	Continental Airlines, Inc. 2001-1 A1, 6.70%, 12/15/22		1,862,313		1,811,716
	Delta Air Lines 2000-1,
	A1, 7.38%, 11/18/11		6,900,069		6,885,652
	A2, 7.57%, 05/18/12		4,575,000		4,631,246
	Delta Airlines 2001-1 A2, 7.11%, 03/18/13		7,455,000		7,311,827
	United Air Lines, 1.36%, 03/02/044,6,8		4,096,181		3,215,502
	United Air Lines 1997-1 1A, 1.36%, 03/02/046,8		12,800,563		10,048,442
	United Air Lines 2001-1 A1, 6.07%, 09/01/146		9,759,880		7,874,660
					114,457,376
	Total Corporates				647,478,431
MORTGAGE-BACKED—16.44%3
Commercial Mortgage-Backed	Beckman Coulter, Inc. 2000-A A, 7.50%, 12/15/184		22,250,000		23,562,795
—3.66%	Blaylock Mortgage Capital Corp. 1997-A B1, 6.43%, 10/25/044		3,000,000		3,034,200
	GMAC Commercial Mortgage Securities Inc. 1998-C2 X (IO), 0.80%, 05/15/356		265,155,549		7,309,039
	LB-UBS Commercial Mortgage Trust 2000-C4 A2, 7.37%, 08/15/26		15,155,000		17,932,960
					51,838,994
Non-Agency Mortgage-Backed —2.30%	BA Mortgage Securities, Inc. 1998-2 2B3, 6.50%, 06/25/134		186,594		186,573
	Banco De Credito y Securitizacion SA 2001-1 AF, 8.00%, 05/31/104,6		5,216,409		1,822,092
	Bear Stearns Mortgage Securities, Inc. 1997-7 4B4, 7.00%, 01/25/134		63,899		63,890
	Bear Stearns Mortgage Securities Inc. 1998-5 B4, 6.52%, 12/25/084		67,130		67,518
	Bear Stearns Structured Products, Inc. 1999-1
	C, 6.01%, 11/30/134		2,726,944		2,744,374
	D, 6.01%, 11/30/134		1,607,094		1,613,118
	E, 6.01%, 11/30/134		796,910		745,890

	Issues	Principal Amount		Value
Bonds (continued)	BHN Mortgage Fund 1997-2
Mortgage-Backed	A1, 2.40%, 05/31/174,6,8	$	4,091,329	$	1,275,676
(continued)	A2, 7.54%, 05/31/174,6		7,647,505		2,384,492
Non-Agency Mortgage-Backed	BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/114,6		3,206,337		1,119,973
(Continued)	Blackrock Capital Finance L.P. 1997-R2 AP, 8.05%, 12/25/354		19,939		19,939
	CMC Securities Corporation III 1998-1 2B4, 6.50%, 04/25/134		131,646		133,485
	Countrywide Alternative Loan Trust 1999-2 B2, 7.50%, 01/25/29		3,652,251		3,964,780
	Countrywide Home Loans 1998-14 B3, 6.50%, 09/25/134		392,859		371,164
	Countrywide Home Loans 2003-18 A5, 12.61%, 07/25/338		5,261,573		5,171,137
	DLJ Mortgage Acceptance Corp. 1994-Q8 IIS (IO), 1.88%, 05/25/246		313,267		252
	DLJ Mortgage Acceptance Corp. 1994-QE1 S (IO), 3.50%, 04/25/244,6		1,479,454		1,864
	DLJ Mortgage Acceptance Corp. 1994-QE2 S (IO), 3.69%, 06/25/244,6		281,302		354
	DLJ Mortgage Acceptance Corp. 1995-Q7 SA (IO), 3.04%, 11/25/256		2,419,503		9,097
	DLJ Mortgage Acceptance Corp. 1996-Q5 SA (IO), 6.80%, 06/25/266		1,684,522		42,248
	DLJ Mortgage Acceptance Corp. 1996-QA S (IO), 3.06%, 01/25/264,6		2,489,093		24,916
	DLJ Mortgage Acceptance Corp. 1996-QE3 SA (IO), 3.31%, 03/25/266		1,417,106		5,300
	IMPAC Secured Assets CMN Owner Trust 1999-2 A9 (IO), 9.00%, 01/25/306		886,089		88,669
	Ocwen Residential MBS Corp. 1998-R2 AP, 6.64%, 11/25/344		225,940		214,801
	Residential Accredit Loans, Inc. 1998-QS16 B1, 6.50%, 11/25/13		267,041		267,772
	Residential Accredit Loans, Inc. 2001-QS17 A9A (IO), 6.28%, 11/25/316,8		8,024,576		83,775
	Residential Asset Securitization Trust 1999-A7 B3, 7.50%, 10/25/29		2,145,755		2,198,323
	Residential Funding Mortgage Securities I 1993-S42 A10, 8.30%, 10/25/088		51,649		52,933
	Residential Funding Mortgage Securities I 1997-S16 B1, 6.75%, 10/25/12		461,595		462,135

See accompanying notes to financial statements.

16

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued)	Ryland Mortgage Securities Corp. 1994-5 M3, 4.13%, 10/25/238	$	672,026	$	635,379
Non-Agency Mortgage-Backed (continued)	Structured Asset Securities Corp. 1995-3B 2A1, 6.50%, 01/28/24		52,341		52,343
	Structured Asset Securities Corp. 1996-6 1A5, 7.50%, 08/25/26		90,332		90,283
	Structured Asset Securities Corp. 1997-2 2A4, 7.25%, 03/28/30		935,268		954,728
	Structured Asset Securities Corp. 2000-3 1A7, 8.00%, 07/25/30		489,952		491,669
	Structured Asset Securities Corp. 2002-26 2A1, 6.00%, 12/25/32		4,150,392		4,197,022
	Structured Mortgage Asset Residential Trust 1991-7 I (IO), 16.75%, 12/25/226		33,100		7,057
	Summit Mortgage Trust 2000-1 B1, 6.05%, 12/28/124		976,841		982,908
					32,547,929
U.S. Agency Mortgage-Backed —10.48%	Collateralized Mortgage Obligation Trust 57 D, 9.90%, 02/01/19		22,135		22,344
	Fannie Mae 1993-132 D (PO), 6.42%5, 10/25/22		1,732,774		1,546,405
	Fannie Mae 1993-199 SD (IO), 0.88%, 10/25/238		4,316,127		88,718
	Fannie Mae 1997-34 SA, 11.20%, 10/25/238		145,944		164,309
	Fannie Mae 1997-44 SB (IO), 4.98%, 06/25/088		1,349,111		40,483
	Fannie Mae 2001-82 SA, 31.64%, 07/25/298		1,200,802		1,235,511
	Fannie Mae 2003-52 SV, 15.31%, 05/25/318		7,188,235		7,947,750
	Fannie Mae Pool 233672, 4.19%, 09/01/238		45,601		47,435
	Fannie Mae Pool 308798, 3.78%, 04/01/258		23,006		23,787
	Fannie Mae Pool 312155, 4.05%, 03/01/258		45,076		46,340
	Fannie Mae TBA
	4.50%, 10/25/18		24,010,000		24,212,596
	5.00%, 10/25/18		12,890,000		13,208,228
	6.50%, 10/25/33		14,190,000		14,793,075
	Freddie Mac 1164 0 (IO), 9.52%, 11/15/068		123,766		4,691
	Freddie Mac 1515 SA, 8.61%, 05/15/088		63,792		67,351
	Freddie Mac 1564 SA, 14.15%, 08/15/088		16,251		16,325
	Freddie Mac 1980 Z, 7.00%, 07/15/27		2,306,838		2,495,015
	Freddie Mac 2098 TZ, 6.00%, 01/15/28		724,000		765,509
	Freddie Mac 2265 PB, 7.50%, 12/15/29		10,203,016		10,308,974
	Freddie Mac 2295 PE, 6.50%, 02/15/30		4,592,501		4,686,809

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed	Freddie Mac 2312 JA, 6.50%, 02/15/30	$	574,803	$	589,042
(continued) U.S. Agency Mortgage-Backed (continued)	Freddie Mac 2316 PB, 6.50%, 09/15/30		7,747,294		7,993,513
	Freddie Mac 2474 NS (IO), 6.43%, 01/15/288		16,794,234		199,212
	Freddie Mac 2539 IG (IO), 5.50%, 03/15/21		22,308,591		902,441
	Freddie Mac 2543 IE (IO), 5.50%, 08/15/21		12,109,749		749,600
	Freddie Mac 2625 (IO), 5.00%, 12/15/31		25,367,956		3,832,921
	Freddie Mac 2627 NI (IO), 5.00%, 04/15/29		18,561,533		2,735,265
	Freddie Mac Gold C46104, 6.50%, 09/01/29		483,611		505,685
	Freddie Mac Gold C90573, 6.50%, 08/01/22		2,563,001		2,684,784
	Freddie Mac Gold P50019, 7.00%, 07/01/24		5,970,368		6,281,018
	Government National Mortgage Association 1997-8 PD, 7.50%, 04/16/26		648,417		649,679
	Government National Mortgage Association 2000-22 SG (IO), 9.68%, 05/16/308		11,158,099		2,127,057
	Government National Mortgage Association 2001-2 PB, 7.00%, 07/20/30		3,964,278		4,125,280
	Government National Mortgage Association 2002-69 SB (IO), 5.53%, 06/20/288		29,707,827		1,924,057
	Government National Mortgage Association 2003-1 (IO), 6.53%, 03/20/298		33,634,102		1,581,240
	Government National Mortgage Association 2003-28 LI (IO), 5.50%, 02/20/32		21,995,187		3,240,859
	Government National Mortgage Association TBA, 4.50%, 10/15/33		27,545,000		26,675,625
					148,518,933
	Total Mortgage-Backed				232,905,856
U.S. AGENCY SECURITIES—1.15%
Foreign Sovereign —1.15%	Indonesia Aid, 9.30%, 07/01/20		12,452,500		16,355,338
	Total U.S. Agency Securities				16,355,338
U.S. TREASURY SECURITIES—9.09%
U.S. Treasury Bonds—1.42%	U.S. Treasury Bonds,
	6.75%, 08/15/26		1,485,000		1,847,202
	5.25%, 02/15/29		17,567,000		18,220,282
					20,067,484
U.S. Treasury Notes—3.80%	U.S. Principal Strip,
	5.86%, 08/15/28		3,439,000		920,497
	5.41%, 11/15/28		9,862,000		2,624,160
	U.S. Treasury Notes, 5.00%, 08/15/11		46,004,000		50,334,863
					53,879,520

See accompanying notes to financial statements.

17

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) U.S. Treasury Securities (continued) U.S. Inflation Index Notes —3.87%	U.S. Treasury Notes, 4.25%, 01/15/10	$	42,796,000	$	54,918,506
	Total U.S. Treasury Securities				128,865,510
	Total Bonds (Cost $1,371,487,627)				1,302,618,556
SHORT TERM INVESTMENTS 12.73%
Commercial Paper—5.02%	CIT Group, Inc., 1.06%5, 11/25/03		21,291,000		21,251,862
	DaimlerChrysler NA Holdings, 1.24%5, 11/05/03		14,735,000		14,717,236
	General Electric Capital Corp.,
	1.05%5, 11/13/03		20,000,000		19,974,917
	1.06%5, 11/13/03		14,000,000		13,982,274
	National Rural Utilities, 1.06%5, 10/10/03		1,250,000		1,249,669
					71,175,958
Money Market RIC—4.38%	J.P. Morgan Institutional Prime Money Market		62,109,270		62,109,270
U.S. Agency Discount Notes —3.33%	Fannie Mae,
	1.03%5, 10/08/03		7,355,000		7,344,997
	1.02%5, 11/18/03		10,000,000		9,998,056
	Freddie Mac,
	0.97%5, 10/15/03		3,335,000		3,333,690
	1.02%5, 10/16/03		24,000,000		23,989,902
	1.04%5, 11/18/03		2,560,000		2,556,450
					47,223,095
	Total Short Term Investments (Cost $180,508,323)				180,508,323
	Total Investments—104.64% (Cost $1,551,996,950)1				1,483,126,879
	Liabilities Less Cash and Other Assets—(4.64)%				(65,782,102	)
	Net Assets—100.00%			$	1,417,344,777

Notes:

¹ Cost for Federal income tax purposes is $1,551,966,950 and net unrealized depreciation consists of:

Gross unrealized appreciation	$	88,485,243
Gross unrealized depreciation		(157,355,314	)
Net unrealized depreciation	$	(68,870,071	)

² Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

³ Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

⁴ Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions with qualified institutional buyers. The market value of these securities at September 30, 2003 was $289,385,151 representing 20.42% of total net assets.

⁵ Represents annualized yield at date of purchase.

⁶ Securities determined to be illiquid under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of Purchase	Security	Cost		Value		% of TNA
08/16/00	Aeltus CBO II, 7.98%, 08/06/09	$	4,956,270	$	3,725,336	0.26%
04/18/02	Air 2 US B, 8.63%, 10/01/20		9,996,409		4,128,186	0.29%
06/07/02	American Business Financial Services 2002-2 AIO (IO), 10.00%, 06/15/33		1,697,760		1,914,948	0.14%
01/23/01	Banco De Credito y Securitizacion SA 2001-1 AF, 8.00%, 05/31/10		5,122,184		1,822,092	0.13%
09/18/02	Bankamerica Manufactured Housing Contract 1998-2 B1, 7.93%, 12/10/25		967,429		2,871,030	0.20%
08/20/00	BHN Mortgage Fund 1997-2 A1, 2.40%, 05/31/17		3,937,189		1,275,676	0.09%
09/18/00	BHN Mortgage Fund 1997-2 A2, 7.54%, 05/31/17		7,260,279		2,384,492	0.17%
04/05/00	BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/11		3,137,715		1,119,973	0.08%
07/02/03	Calpine CCFC II Revolving Loan, 3.36%, 11/16/04		48,267,581		47,250,000	3.33%
02/01/03	Centex Home Equity 2002-D AIO (IO), 4.47%, 11/25/05		1,508,743		1,502,973	0.11%
10/06/00	Century Funding, Ltd., 1A C, 10.00%, 02/15/11		2,050,469		851,396	0.06%
06/15/01	Corporate-Backed Trust Certificates RSA 2001-12 A-2 (IO), 1.25%, 10/15/29		7,310,400		6,808,140	0.48%
06/19/97	DLJ Mortgage Acceptance Corp. 1994-Q8 IIS (IO), 1.88%, 05/25/24		36,392		252	0.00%
01/06/99	DLJ Mortgage Acceptance Corp. 1994-QE1 S (IO), 3.50%, 04/25/04		14,877		1,864	0.00%
01/06/99	DLJ Mortgage Acceptance Corp. 1994-QE2 S (IO), 3.69%, 06/25/24		40,034		354	0.00%
10/20/98	DLJ Mortgage Acceptance Corp. 1995-Q7 SA (IO), 3.04%, 11/25/25		0		9,097	0.00%
11/02/98	DLJ Mortgage Acceptance Corp. 1996-Q5 SA (IO), 6.80%, 06/25/26		0		42,248	0.00%
10/20/98	DLJ Mortgage Acceptance Corp. 1996-QA S (IO), 3.06%, 01/25/26		22,948		24,916	0.00%
01/22/99	DLJ Mortgage Acceptance Corp.1996-QE3 SA (IO), 3.31%, 03/25/26		7,364		5,300	0.00%

See accompanying notes to financial statements.

18

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

Date of Purchase	Security	Cost		Value		% of TNA
02/07/01	GMAC Commercial Mortgage Securities, Inc. 1998-C2 X (IO), 0.80%, 08/15/35	$	6,988,046	$	7,309,039	0.52%
01/19/01	Green Tree Financial Corp., 1995-5 B2, 7.65%, 09/15/26		1,611,037		1,009,106	0.07%
04/19/99	Green Tree Home Improvement Loan Trust 1998-C B2, 8.06%, 07/15/29		3,963,437		2,425,156	0.17%
01/07/00	IMPAC Secured Assets CMN Owner Trust 1999-2 A9 (IO), 9.00%, 01/25/30		480,848		88,669	0.01%
04/11/00	Magnus Funding, Ltd., 1A B, 2.48%, 06/15/11		3,985,261		1,167,652	0.08%
11/29/00	Magnus Funding, Ltd., 1A C, 10.28%, 06/15/11		5,517,192		1,611,770	0.11%
05/23/00	ML CBO Series 1996-PM-1, 7.87%, 12/17/06		4,051,763		2,319,000	0.16%
02/09/00	Newbury Funding CBO Ltd. (IO), 17.63%, 02/15/06		2,081,482		1,500,600	0.10%
05/30/00	North Street 2000-1A C, 2.86%, 07/30/10		2,855,042		1,349,700	0.10%
08/01/00	NorthStar CBO Ltd., 1997-2 A3, 6.68%, 07/15/09		10,293,159		3,762,660	0.26%
06/06/00	Pamco CLO 1998-1A B2, 2.47%, 05/01/10		4,183,387		2,361,975	0.17%
09/20/00	Pegasus Aviation Lease Securitization 2000-1 C1, 7.83%, 03/25/30		3,336,805		1,309,913	0.09%
11/01/01	Residential Accredit Loans, Inc. 2001-QS17 A9A (IO), 6.28%, 11/25/31		0		83,775	0.01%
06/25/97	Structured Mortgage Asset Residential Trust 1991-71 (IO), 16.75%, 12/25/22		52,491		7,057	0.00%
07/12/00	Triton CBO III Ltd., 1A B, 8.53%, 04/17/11		10,770,113		6,230,618	0.44%
12/26/01	United Air Lines, 1.36%, 03/02/04		12,800,563		10,048,442	0.71%
11/20/01	United Air Lines 1997-1 1A, 1.36%, 03/02/04		4,096,181		3,215,502	0.23%
12/26/01	United Air Lines 2001-1 A1, 6.07%, 09/01/14		8,917,616		7,874,659	0.56%
05/01/00	Van Kampen CLO II Ltd., 2.31%, 07/15/08		10,089,758		7,835,498	0.55%
		$	192,408,224	$	137,249,064	9.68%

⁷ Non-income producing. Security is in default. Issuing company has filed for reorganization under Chapter 11 of the U.S. Bankruptcy code.

⁸ Floating rate security. The rate disclosed is that in effect at September 30, 2003.

(IO): Interest only

(MTN): Medium term note

(PO): Principal only

See accompanying notes to financial statements.

19

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
BONDS 95.97%
ASSET-BACKED SECURITIES—2.22%3
	Conseco Finance 2002-A B2, 6.87%, 04/15/324,8	$	30,000	$	28,728
	HPSC Equipment Receivables LLC 2000-1A F, 12.91%, 12/22/084		87,729		89,155
	HPSC Equipment Receivables LLC 2003-1A F, 13.95%, 07/20/114,6		919,512		933,029
	Metris Master Trust 2000-3 A, 1.38%, 09/21/098		2,000,000		1,912,538
	Total Assets-Backed Securities				2,963,450
CORPORATES—92.61%2
Automotive —1.23%	Advanced Accessory Systems LLC, 10.75%, 06/15/114		1,000,000		1,080,000
	TRW Automotive, Inc., 9.38%, 02/15/134		500,000		565,000
					1,645,000
Banking—2.52%	Aozora NCP Acquisition LLC Term Loan, 0.37%5, 09/30/078		2,000,000		1,990,000
	Providian Capital I, 9.53%, 02/01/274		1,500,000		1,372,500
					3,362,500
Basic Industry —8.65%	Equistar Chemical/Funding, 10.63%, 05/01/114		500,000		497,500
	FMC Corp., 10.25%, 11/01/09		500,000		572,500
	Fort James Corp., 6.88%, 09/15/07		1,250,000		1,293,750
	Freeport–McMoran C & G, 10.13%, 02/01/10		1,000,000		1,122,500
	Georgia-Pacific Corp.,
	9.38%, 02/01/13		500,000		560,625
	8.13%, 06/15/23		175,000		162,750
	7.25%, 06/01/28		250,000		218,750
	Huntsman Advanced Materials LLC, 11.00%, 07/15/104		500,000		522,500
	Huntsman LLC Term Loan,
	A, 5.64%, 03/31/078		1,342,909		1,262,738
	B, 7.14%, 03/31/078		657,091		617,862
	Lyondell Chemical Co., 9.63%, 05/01/07		500,000		477,500
	Omnova Solutions, Inc., 11.25%, 06/01/104		1,000,000		1,065,000
	Steel Dynamics, Inc., 9.50%, 03/15/09		2,000,000		2,150,000
	Westlake Chemical Corp., 8.75%, 07/15/114		1,000,000		1,042,500
					11,566,475
Capital Goods —10.08%	Allied Waste North America, 10.00%, 08/01/09		695,000		756,681
	Anchor Glass Container,
	11.00%, 02/15/13		1,000,000		1,125,000
	11.00%, 02/15/134		500,000		562,500
	Crown Cork & Seal Co., Inc., 7.38%, 12/15/26		500,000		390,000
	Crown Euro Holdings SA, 10.88%, 03/01/134		1,000,000		1,107,500

	Issues	Principal Amount		Value
Bonds (continued) Corporates	Foamex LP/Capital Corp., 10.75%, 4/01/09	$	1,000,000	$	897,500
(continued) Capital Goods	Graham Packaging/GPC Capital, 10.75%, 01/15/098		1,700,000		1,751,000
(continued)	Graphic Packaging International, 9.50%, 08/15/134		1,000,000		1,102,500
	Hexcel Corp., 9.88%, 10/01/08		250,000		276,875
	Jefferson Smurfit Corp., 7.50%, 06/01/13		1,000,000		1,020,000
	K. Hovanian Enterprises, 8.88%, 04/01/12		500,000		538,750
	Owens-Brockway Glass Container,
	8.75%, 11/15/12		750,000		808,125
	8.25%, 05/15/13		1,000,000		1,025,000
	United Components, Inc., 9.38%, 06/15/134		750,000		783,750
	United Rentals NA, Inc.,
	10.75%, 04/15/08		700,000		778,750
	10.75%, 04/15/084		500,000		556,250
					13,480,181
Communications —20.36%	American Tower Escrow, 10.63%5, 08/01/08		1,750,000		1,172,500
	CBD Media/CBD Finance, 8.63%, 06/01/114		500,000		533,750
	Charter Communications Holdings II, 10.25%, 09/15/104		3,000,000		3,037,500
	Cincinnati Bell, Inc., 7.25%, 07/15/134		1,265,000		1,258,675
	Crown Castle International Corp., 10.75%, 08/01/11		1,050,000		1,170,750
	CSC Holdings, Inc.,
	7.63%, 04/01/11		1,000,000		1,002,500
	7.88%, 02/15/18		1,000,000		980,000
	DIRECTV Holdings/Finance, 8.38%, 03/15/13		500,000		566,250
	Eircom Funding, 8.25%, 08/15/134		2,000,000		2,160,000
	Fairpoint Communications, 11.88%, 03/01/10		1,000,000		1,145,000
	Marconi Corp. PLC, 8.00%, 04/30/08		2,000,000		1,955,000
	Nextel Communications, 5.25%, 01/15/10		1,500,000		1,406,250
	Nextel Communications Term Loan, 4.94%, 12/31/088		1,231,250		1,238,945
	Qwest Communications International, 7.25%, 11/01/08		1,500,000		1,440,000
	Qwest Corp Term Loan, 6.50%, 06/30/078		1,000,000		1,025,000
	Qwest Services Corp., 13.00%, 12/15/074		1,000,000		1,125,000
	RH Donnelly Financial Corp. I, 10.88%, 12/15/124		250,000		296,250
	Sinclair Broadcast Group, 8.00%, 03/15/12		925,000		980,500
	Western Wireless Corp., 9.25%, 07/15/134		1,500,000		1,537,500

See accompanying notes to financial statements.

20

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Communications (continued)	Worldcom, Inc.,
	6.50%, 05/15/047	$	1,250,000	$	415,625
	7.88%, 05/15/047		725,000		241,062
	6.25%, 08/15/047		3,950,000		1,313,375
	6.40%, 08/15/057		3,651,000		1,213,958
					27,215,390
Consumer Products—1.29%	Johnsondiversey Holdings, Inc., 10.67%, 05/15/134,8		1,000,000		700,000
	Levi Strauss & Co. Term Loan, 10.00%, 09/30/098		1,000,000		1,025,000
					1,725,000
Electric—12.21%	AES Red Oak LLC, 8.54%, 11/30/19		486,618		502,433
	Aquila, Inc., 7.00%, 07/15/04		1,000,000		1,000,000
	Calpine CCFC I Term Loan, 7.50%, 08/26/098		670,000		693,450
	Calpine Construction Finance, 9.75%, 08/26/114,8		2,000,000		2,010,000
	Calpine Corp., 6.85%, 07/15/074,8		2,500,000		2,353,125
	Centerpoint Energy Term Loan, 12.75%, 11/11/058		996,000		1,145,400
	East Coast Power LLC, 6.74%, 03/31/08		351,763		362,316
	Elwood Energy LLC, 8.16%, 07/05/26		945,420		907,603
	Illinova Corp., 11.50%, 12/15/10		750,000		903,750
	MSW Energy Holdings/Finance, 8.50%, 09/01/104		1,000,000		1,050,000
	PG&E Corp.,
	6.88%, 07/15/084		1,000,000		1,055,000
	7.25%, 03/01/26		100,000		102,750
	7.25%, 08/01/26		1,000,000		1,042,500
	Westar Energy, Inc.,
	6.88%, 08/01/04		2,000,000		2,060,000
	9.75%, 05/01/07		1,000,000		1,127,500
					16,315,827
Energy—7.30%	Belden & Blake Corp., 9.88%, 06/15/07		1,000,000		950,000
	Denbury Resources, Inc., 7.50%, 04/01/13		1,500,000		1,526,250
	Dynegy Holdings, Inc.,
	7.70%, 07/15/084,8		1,500,000		1,548,532
	9.88%, 07/15/104		1,500,000		1,575,000
	Frontier Escrow Corp., 8.00%, 04/15/134		500,000		510,000
	Premcor Refining Group, 9.50%, 02/01/13		1,625,000		1,795,625
	Pride International, Inc., 10.00%, 06/01/09		975,000		1,057,875
	Vintage Petroleum, 8.63%, 02/01/09		500,000		518,750
	Westport Resources Corp., 8.25%, 11/01/11		250,000		274,375
					9,756,407
Finance—3.96%	Conseco Revolving Loan A, 8.13%5, 12/01/098		2,307,692		2,281,731
	Conseco Revolving Loan B, 8.13%5, 12/01/098		692,308		684,519

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Finance (continued)	Finova Group, Inc., 7.50%, 11/15/09	$	2,492,000	$	1,246,000
	Interline Brands, Inc., 11.50%, 05/15/114		1,000,000		1,080,000
					5,292,250
Food & Beverage —1.94%	Burns Philp Capital Property/US, 10.75%, 02/15/114		1,500,000		1,575,000
	Dole Foods Co., 8.63%, 05/01/098		950,000		1,016,500
					2,591,500
Gaming—0.79%	Aztar Corp., 8.88%, 05/15/07		1,000,000		1,052,500
Health Care —1.20%	Extendicare Health Services,
	9.35%, 12/15/07		500,000		517,500
	9.50%, 07/01/10		1,000,000		1,090,000
					1,607,500
Home Building —0.76%	Standard Pacific Corp., 6.50%, 10/01/08		1,000,000		1,008,750
Insurance —4.17%	Crum & Forster Holding Corp., 10.38%, 06/15/134		1,000,000		1,092,500
	Farmers Insurance Exchange, 8.63%, 05/01/244		500,000		511,482
	Fremont General Corp., 7.88%, 03/17/09		2,650,000		2,583,750
	TIG Holdings, Inc., 8.60%, 01/15/274		2,000,000		1,380,000
					5,567,732
Natural Gas —6.75%	El Paso Natural Gas, 7.63%, 08/01/104		1,000,000		975,000
	El Paso Production Holdings, 7.75%, 06/01/134		3,000,000		2,865,000
	Gemstone Investors Ltd., 7.71%, 10/31/044		1,000,000		985,000
	Hilcorp Energy/Finance, 10.50%, 09/01/104		1,000,000		1,067,500
	Northwest Pipeline Corp., 8.13%, 03/01/10		500,000		545,000
	Southern Star Cent Corp., 8.50%, 08/01/104		1,000,000		1,065,000
	Williams Production RMT Co. Term Loan, 4.90%, 05/30/078		1,500,000		1,515,000
					9,017,500
Retail—0.20%	Amerigas Partner/Eagle Financial, 8.88%, 05/20/11		250,000		269,375
Services—1.88%	Massey Energy Co., 6.95%, 03/01/07		2,000,000		1,985,000
	Wackenhut Corrections, 8.25%, 07/15/134		500,000		523,750
					2,508,750
Technology —2.55%	Avaya, Inc., 11.13%, 04/01/09		1,000,000		1,162,500
	Avnet, Inc., 9.75%, 02/15/08		500,000		551,250
	Xerox Capital Trust I, 8.00%, 02/01/27		2,000,000		1,700,000
					3,413,750
Tobacco—0.80%	Commonwealth Brands, Inc., 10.63%,09/01/084		1,000,000		1,075,000

See accompanying notes to financial statements.

21

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Transportation —3.97%	Continental Airlines, Inc. 1997-3 A, 7.16%, 03/24/13		1,507,472		1,382,189
	Delta Air Lines 2000-1 A2, 7.57%, 11/18/10		2,000,000		2,024,589
	Northwest Airlines, Corp. 8.38%, 03/15/04		1,000,000		975,000
	Northwest Airlines, Corp. 1999-2 A, 7.58%, 09/01/20		909,150		919,854
					5,301,632
	Total Corporates				123,773,019
MORTGAGE-BACKED—1.14%3
Non-Agency Mortgage-Backed —0.40%	BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/114,6		1,544,385		539,454
U.S. Agency Mortgage-Backed —0.74%	Fannie Mae 1993-225 SG, 22.76%, 12/25/138		215,000		241,527
	Freddie Mac 2625 (IO), 5.00%, 12/15/31		4,954,679		748,617
					990,144
	Total Mortgage-Backed				1,529,598
	Total Bonds (Cost $122,160,874)				128,266,067
		Shares
EQUITIES 0.86%
Communications —0.86%	American Tower Warrants, 0.00%, 08/01/084		1,000		123,000
	CSC Holdings, Inc. (PFD), 11.13%, 04/01/08		9,750		1,022,531
					1,145,531
	Total Equities (Cost $915,750)				1,145,531
		Principal Amount
SHORT TERM INVESTMENTS 2.72%
Money Market-RIC —2.72%	J.P. Morgan Institutional Prime Money Market	$	3,632,000		3,632,000
	Total Short Term Investments (Cost $3,632,000)				3,632,000
	Total Investments—99.55% (Cost $126,708,624)1				133,043,598
	Cash and Other Assets, Less Liabilities—0.45%				604,245
	Net Assets—100.00%			$	133,647,843

Notes:

¹ Cost for Federal income tax purposes is $126,708,624 and net unrealized appreciation consists of:

Gross unrealized appreciation	$	6,791,105
Gross unrealized depreciation		(456,131	)
Net unrealized appreciation	$	6,334,974

² Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

³ Securities backed by mortgage or consumer loans where payment is periodically made will have an effective date less than the stated maturity date.

⁴ Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions with qualified institutional buyers. The market value of these securities at September 30, 2003 was $46,916,430 representing 35.10% of total net assets.

⁵ Represents annualized yield at date of purchase.

⁶ Securities determined to be illiquid and procedures approved by the Fund's Board of Trustees. Information related to these securities is as follows:

Date of Purchase	Security	Cost		Value		% of TNA
08/11/03	BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/11	$	254,322	$	539,454	0.40%
03/27/03	HPSC Equipment Receivables LLC 2003-1A F, 13.95%, 07/20/11		918,167		933,029	0.70%
		$	1,172,489	$	1,472,483	1.10%

⁷ Non-income producing. Security is in default. Issuing company has filed for reorganization under Chapter 11 of the U.S. Bankruptcy code.

⁸ Floating rate security. The rate disclosed is that in effect at September 30, 2003.

(IO): Interest only

(PFD): Preferred Stock

See accompanying notes to financial statements.

22

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
BONDS 88.86%
ASSET-BACKED SECURITIES—31.69%3
	Advanta Mortgage Loan Trust 1997-4 M1 , 7.04%, 01/25/29	$	80,030	$	81,599
	Chase Funding Net Interest Margin 2003-5A, 5.75%, 11/27/344		80,000		79,904
	Conseco Finance Securitizations Corp. 2000-4 A4, 7.73%, 04/01/31		100,000		102,955
	Conseco Finance Securitizations Corp. 2000-6 A3, 6.55%, 09/01/32		69,136		69,753
	Empire Funding Home Loan Owner Trust 1997-5 M1, 7.41%, 04/25/24		83,692		85,444
	Equivantage Home Equity Loan Trust 1997-3 A3, 7.05%, 10/25/28		8,601		8,686
	Green Tree Financial Corp. 1997-2 A7, 7.62%, 06/15/28		73,116		78,440
	Green Tree Financial Corp. 1999-3 A5, 6.16%, 02/01/31		9,690		9,911
	Green Tree Financial Corp. 1999-5 A4, 7.33%, 03/01/30		175,000		180,644
	Green Tree Home Improvement Loan Trust 1995-F B2, 7.10%, 01/15/21		14,297		13,799
	Green Tree Home Improvement Loan Trust 1997-A HEB1, 7.87%, 03/15/28		120,000		120,788
	Green Tree Home Improvement Loan Trust 1997-C HIM2, 7.35%, 06/15/28		96,273		96,580
	Metris Master Trust 2000-3 A, 1.38%, 09/21/097		40,000		38,251
	Metris Master Trust 2001-3 A, 1.35%, 07/21/087		36,000		35,329
	Metris Master Trust 2001-4A A, 1.47%, 08/20/087		5,000		4,911
	Oakwood Mortgage Investors, Inc. 1998-A A4, 6.20%, 05/15/28		13,608		13,619
	Oakwood Mortgage Investors, Inc. 2001-D A3, 5.90%, 09/15/22		20,000		17,086
	Oakwood Mortgage Investors, Inc. 2002-B AIO (IO), 6.00%, 05/15/10		73,396		15,221
	Option One Mortgage Securities Corp. NIM 2002-2A CFTS, 8.83%, 06/26/324		65,774		65,979
	Residential Asset Mortgage Products, Inc. 2000-RS1 A1, 8.00%, 03/25/30		72,811		75,425
	Terwin Mortgage Trust 2003-3SL AX (IO), 12.00%, 10/25/334		635,000		123,761
	Total Asset-Backed Securities				1,318,085
CORPORATES—36.80%2
Basic Industry —0.74%	Fort James Corp., 6.63%, 09/15/04		30,000		30,900
Capital Goods —1.59%	Tyco International Group SA, 5.88%, 11/01/04		64,000		65,920
Communications —5.29%	Charter Communication Holdings/Charter Capital, 10.00%, 05/15/11		105,000		80,588
	Qwest Capital Funding, 5.88%, 08/03/04		40,000		39,800

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Communications (continued)	Worldcom, Inc.,
	6.50%, 05/15/046	$	100,000	$	33,250
	8.00%, 05/15/066		200,000		66,500
					220,138
Electric—8.10%	Calpine Corp., 6.85%, 07/15/074,7		85,000		80,006
	Consumers Energy Co., 7.38%, 09/15/23		75,000		77,755
	DPL, Inc., 8.25%, 03/01/07		70,000		76,210
	Westar Energy, Inc., 6.88%, 08/01/04		100,000		103,000
					336,971
Finance—4.17%	Ford Motor Credit Co.,
	1.55%, 07/18/057 (MTN)		80,000		78,616
	1.34%, 03/13/077 (EMTN)		80,000		74,620
	General Motors Acceptance Corp. (MTN), 2.55%, 10/16/037		20,000		20,008
					173,244
Insurance —2.66%	Farmers Exchange Capital, 7.20%, 07/15/484		90,000		79,939
	Farmers Insurance Exchange, 8.63%, 05/01/244		30,000		30,689
					110,628
Natural Gas —1.72%	Williams Companies, Inc., 9.25%, 03/15/04		70,000		71,750
Real Estate Investment Trust (Reit)—1.00%	Developers Diversified Realty (MTN), 6.95%, 07/23/04		40,000		41,515
Transportation —11.53%	American Airlines, Inc. 1999-1
	A1, 6.86%, 10/15/10		40,185		39,382
	A2, 7.02%, 04/15/11		10,000		9,625
	Continental Airlines, Inc. 1997-2 A, 7.15%, 12/30/08		155,958		125,643
	Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08		61,386		54,071
	Continental Airlines, Inc. 2000-2 A1, 7.71%, 10/02/22		17,902		17,462
	Delta Air Lines 2000-1
	A1, 6.62%, 03/18/11		18,731		18,457
	A1, 7.38%, 11/18/11		22,947		22,899
	A2, 7.57%, 05/18/12		100,000		101,229
	Northwest Airlines Corp. 1999-2 A, 7.58%, 09/01/20		8,827		8,931
	NWA Trust, 8.26%, 03/10/06		95,680		81,926
					479,625
	Total Corporates				1,530,691
MORTGAGE-BACKED—20.37%3
Non-Agency Mortgage-Backed —2.99%	BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/114,5		58,783		20,533
	DLJ Mortgage Acceptance Corp. 1995-Q7 SA (IO), 3.03%, 11/25/255		823,116		3,095
	Structured Asset Securities Corp. 1996-CFL F, 7.75%, 02/25/284		100,000		100,750
					124,378

See accompanying notes to financial statements.

23

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed —17.38%	Fannie Mae 1993-80 S, 9.50%, 05/25/237	$	108,636	$	110,444
	Fannie Mae 1997-44 SA (IO), 4.98%, 06/25/087		963,650		28,916
	Fannie Mae 2001-42 SB, 8.50%, 09/25/317		11,719		12,266
	Freddie Mac 1602 SN, 10.09%, 10/15/237		192,472		196,046
	Freddie Mac 2451 SP, 14.48%, 05/15/097		64,552		70,866
	Freddie Mac 2590 XS, 8.00%, 10/15/317		1,854		1,859
	Freddie Mac 2613 ZT, 5.50%, 03/15/33		9,398		9,357
	Freddie Mac 2625 (IO), 5.00%, 12/15/31		421,148		63,632
	Freddie Mac 2631 IJ (IO), 5.00%, 10/15/26		100,000		18,728
	Freddie Mac 2642 BW (IO), 5.00%, 06/15/23		200,000		34,445
	Government National Mortgage Association 1999-38 SP (IO), 0.25%, 05/16/267		6,299,072		9,663
	Government National Mortgage Association 2002-32 WS (IO), 6.93%, 03/20/307		102,040		1,968
	Government National Mortgage Association 2003-28 LI (IO), 5.50%, 02/20/32		787,215		115,991
	Government National Mortgage Association 2003-58 IG (IO), 5.50%, 05/17/29		200,000		48,672
					722,853
	Total Mortgage-Backed				847,231
	Total Bonds (Cost $3,622,246)				3,696,007
		Shares
EQUITIES 6.66%
Communications —5.25%	Corts Trust For Worldcom (PFD), 7.60%, 08/15/285		3,500		30,800
	Corts Trust US West Communications (PFD), 7.50%, 11/15/43		3,000		64,500
	CSC Holdings Inc. (PFD), 11.13%, 04/01/08		112		11,746
	Preferred Plus Trust,
	7.75%, 02/15/31		350		6,611
	8.00%, 02/15/31		700		13,580
	8.38%, 10/01/46		3,500		91,175
					218,412
Insurance —1.41%	Corp-Backed Trust Certs (PFD), 8.80%, 12/01/26		2,225		58,518
	Total Equities (Cost $268,911)				276,930

	Issues	Principal Amount		Value
SHORT TERM INVESTMENTS 6.29%
Money Market	Dreyfus Cash Management	$	57,800	$	57,800
RIC—6.29%	J.P. Morgan Institutional Prime Money Market		203,900		203,900
					261,700
	Total Short Term Investments (Cost $261,700)				261,700
	Total Investments—101.81% (Cost $4,152,857)1				4,234,637
	Liabilities Less Cash and Other Assets—(1.81)%				(75,172	)
	Net Assets—100.00%			$	4,159,465

Notes:

¹ Cost for Federal income tax purposes is $4,152,857 and net unrealized appreciation consists of:

Gross unrealized appreciation	$	105,827
Gross unrealized depreciation		(24,047	)
Net unrealized appreciation	$	81,780

² Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

³ Securities backed by mortgage or consumer loans where payment is periodically made will have an effective date less than the stated maturity date.

⁴ Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions with qualified institutional buyers. The market value of these securities at September 30, 2003 was $581,561 representing 13.98% of total net assets.

⁵ Securities determined to be illiquid and procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of Purchase	Security	Cost		Value		% of TNA
08/11/03	BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/11	$	9,967	$	20,533	0.50	%
07/09/03	Corts Trust For Worldcom (PFD), 7.60%, 08/15/28	$	25,213		30,800	0.74	%
08/11/03	DLJ Mortgage Acceptance Corp. 1995-Q7 SA (IO), 3.03%, 11/25/25		982		3,095	0.07	%
		$	36,162	$	54,428	1.31	%

⁶ Non-income producing. Security is in default. Issuing company has filed for reorganization under Chapter 11 of the U.S. Bankruptcy code.

⁷ Floating rate security. The rate disclosed is that in effect at September 30, 2003.

(EMTN): Euro Medium term note

(IO): Interest only

(MTN): Medium term note

(PFD): Preferred Stock

See accompanying notes to financial statements.

24

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
FIXED INCOME SECURITIES 83.53%
ASSET-BACKED SECURITIES—36.87%3
	Ameriquest Mortgage Securities, Inc. 2003-6 AF1, 1.86% 11/25/19	$	1,725,649	$	1,728,057
	ARC Net Interest Margin Trust 2002-7A A, 7.75%, 10/27/324		547,004		546,292
	CapitalSource Commercial Loan Trust 2003-1A A, 1.60%, 10/20/124,9		1,136,259		1,134,750
	Centex Home Equity 1999-1 A4, 6.39%, 10/25/27		1,890,390		1,968,179
	Centex Home Equity 2003-C AF1, 2.14%, 07/25/18		2,000,000		2,001,122
	Chase Funding Mortgage Loan 2001-2 1A4, 6.61%, 11/25/26		1,400,000		1,443,256
	CitiFinancial Mortgage Securities, Inc. 2002-1 AF1, 2.47%, 09/25/32		412,624		414,347
	Conseco Finance 2000-C B2, 3.17%, 07/15/299		299,525		275,802
	Conseco Finance 2001-A IIM2, 8.81%, 03/15/32		700,000		742,377
	Conseco Finance 2002-B A2, 5.31%, 05/15/33		1,607,619		1,635,752
	Conseco Finance 2002-C BF2, 8.00%, 08/15/334		706,778		706,667
	Conseco Finance Securitizations Corp. 2000-6 A3, 6.55%, 09/01/32		867,341		875,082
	Contimortgage Home Equity Loan Trust 1998-2 A7, 6.57%, 03/15/23		2,000,000		2,076,148
	CS First Boston Mortgage Securities 2001-H30N A, 8.00%, 07/27/32		137,948		136,978
	Embarcadero Aircraft Securitization Trust 2000-A A1, 1.60%, 08/15/254,9		1,700,000		860,370
	Equity One ABS, Inc. 2002-3 AF3, 5.50%, 11/25/32		2,000,000		2,085,180
	Equivantage Home Equity Loan Trust 1997-3 A3, 7.05%, 10/25/28		396,417		400,332
	First Alliance Mortgage Loan Trust 1994-4 A1, 9.28%, 02/25/26		49,385		49,282
	Galileo Securities, Inc. 2002-1A A1, 1.45%, 02/03/119		1,225,115		943,492
	GMAC Mortgage Corporation Loan Trust 2001-HLT2 AII, 5.55%, 04/25/27		1,339,386		1,402,772
	Green Tree Financial Corp. 1995-5 B2, 7.65%, 09/15/266		520,000		227,651
	Green Tree Financial Corp. 1997-6 B1, 7.17%, 01/15/296		1,700,000		510,170
	Green Tree Financial Corp. 1999-3 A5, 6.16%, 02/01/31		872,069		891,964
	Green Tree Home Improvement Loan Trust 1996-B A, 6.45%, 10/15/15		43,601		44,265
	Green Tree Home Improvement Loan Trust 1998-B HEM2, 7.33%, 11/15/29		250,000		262,145
	Green Tree Home Improvement Loan Trust 1999-B M1, 8.38%, 07/15/26		982,680		1,060,911

	Issues	Principal Amount		Value
Fixed Income Securities (continued)	Green Tree Recreational, Equipment & Consumer Trust 1996-B CTFS, 7.70%, 07/15/18	$	570,078	$	571,587
Asset-Backed Securities (continued)	Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS, 7.24%, 12/15/22		715,723		717,567
	HPSC Equipment Receivables LLC 2003-1A F, 13.95%, 07/20/114,6		321,829		326,560
	IMPAC Secured Assets CMN Owner Trust 1998-1 M2, 7.77%, 07/25/25		385,018		394,412
	Keystone Home Improvement Loan Trust 1997-P2 IB, 7.94%, 04/25/184		432,911		432,825
	Mego Mortgage Home Loan Trust 1997-4 M1, 7.50%, 09/25/23		932,918		953,814
	Mellon Residential Funding Corp. 2001-HEIL A4, 6.62%, 02/25/21		1,300,000		1,369,817
	Metris Master Trust 2000-3 A, 1.38%, 09/21/099		1,515,000		1,448,747
	Metris Master Trust 2001-3 A, 1.35%, 07/21/089		1,300,000		1,275,781
	NationsCredit Grantor Trust 1997-1 A, 6.75%, 08/15/13		3,316		3,514
	Newbury Funding CBO Ltd. 2000-1 A3, 4.04%, 02/15/304,9		500,000		432,850
	NovaStar NIM Trust 2003-N1, 7.39%, 09/28/334		462,340		462,756
	Oakwood Mortgage Investors, Inc. 2002-B A1, 1.35%, 05/15/139		1,320,763		1,311,669
	Residential Asset Mortgage Products, Inc. 2002-RZ1 A4, 5.77%, 06/25/29		2,100,000		2,135,445
	Structured Asset Securities Corp. 1998-4 A2, 1.36%, 06/25/289		1,279,873		1,280,988
	Structured Asset Securities Corp. 1999-BC1 M2, 2.42%, 01/25/299		795,652		797,692
	Structured Settlements Fund 1999-A A, 7.25%, 12/20/154		135,437		145,552
	UCFC Home Equity Loan 1998-D MF1, 6.91%, 04/15/30		1,100,000		1,168,318
	Total Asset-Backed Securities				39,653,237
CORPORATES—33.09%2
Banks—0.65%	Societe Generale (EMTN), 1.74%, 10/29/499		700,000		697,372
Capital Goods —1.09%	Tyco International Group SA, 5.88%, 11/01/04		1,140,000		1,174,200
Communications —5.05%	Intermedia Communications (PFD), 13.50%, 03/31/096,7		1,603		200,367
	Nextel Communications, 9.75%, 10/31/07		400,000		414,000
	Qwest Capital Funding, 5.88%, 08/03/04		1,000,000		995,000
	Qwest Corp. Bank Loan, 6.50%, 06/30/079		1,500,000		1,537,500
	U.S. West Capital Funding, 6.25%, 07/15/05		700,000		689,500

See accompanying notes to financial statements.

25

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
Fixed Income	Worldcom, Inc.,
Securities	6.50%, 05/15/047	$	2,000,000	$	665,000
(continued)	7.88%, 05/15/047		1,800,000		598,500
Corporates (continued) Communications (continued)	7.38%, 01/15/494,7		1,000,000		332,500
					5,432,367
Electric—5.27%	Calpine Corp., 6.85%, 07/15/074,9		2,000,000		1,882,500
	Centerpoint Energy Term Loan, 12.75%, 11/11/059		1,494,000		1,718,100
	Enterprise Capital Trust II, 2.36%, 06/30/289		1,200,000		962,590
	Power Contract Financing, 5.20%, 02/01/064		1,100,000		1,099,097
					5,662,287
Finance—5.74%	Capital One Bank, 8.25%, 06/15/05		2,300,000		2,509,081
	Finova Group Inc., 7.50%, 11/15/09		1,064,000		532,000
	Ford Motor Credit Co.,
	1.56%, 07/07/059 (EMTN)		500,000		490,750
	1.55%, 07/18/059 (MTN)		400,000		393,082
	General Motors Acceptance Corp. (MTN), 3.03%, 05/19/059		1,730,000		1,752,116
	MBNA America Bank NA, 1.55%, 05/12/044,9		500,000		499,323
					6,176,352
Insurance—0.75%	Fairfax Financial Holdings, 7.75%, 12/15/03		800,000		808,000
Natural Gas —3.06%	Sempra Energy, 6.80%, 07/01/04		800,000		831,151
	Williams Co. Inc., 9.25%, 03/15/04		2,400,000		2,460,000
					3,291,151
Real Estate Investment Trust (REIT)—3.67%	Colonial Realty LP (MTN), 6.96%, 07/26/04		1,000,000		1,037,320
	JDN Realty Corp., 6.80%, 08/01/04		1,100,000		1,137,711
	New Plan Excel Realty Trust (MTN), 7.33%, 11/20/03		700,000		705,225
	Summit Properties Partnership, 6.63%, 12/15/03		300,000		302,455
	United Dominion Realty Trust (MTN), 7.67%, 01/26/04		750,000		762,203
					3,944,914
Secured Assets —1.04%	Magnus Funding Ltd. 1A B, 2.48%, 06/15/114,6,9		1,081,560		291,913
	Zermatt CBO Ltd. 1A A, 1.71%, 09/01/104,9		915,731		825,348
					1,117,261
Technology —0.76%	Avnet, Inc., 6.88%, 03/15/04		800,000		818,000
Transportation —6.01%	America West Airlines, 6.86%, 01/02/066		109,328		83,950
	American Airlines 2002-1 G, 1.76%, 03/23/099		526,344		527,138
	Continental Airlines, Inc. 1996-2 A, 7.75%, 01/02/16		70,843		65,795
	Continental Airlines, Inc. 1997-1 A, 7.46%, 10/01/16		1,271,522		1,213,143

	Issues	Principal Amount		Value
Fixed Income Securities (continued) Corporates (continued) Transportation (continued)	Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08	$	589,443	$	519,202
	Continental Airlines, Inc. 2000-2 A1, 7.71%, 10/02/22		250,631		244,462
	Delta Air Lines 2003-1 G, 1.86%, 07/25/094,9		1,072,498		1,079,195
	Hertz Corp., 1.66%, 08/13/049		1,800,000		1,790,147
	United Air Lines 1997-A 1A, 1.36%, 03/02/046,9		1,194,719		937,855
					6,460,887
	Total Corporates				35,582,791
MORTGAGE-BACKED—12.79%3
Commercial Mortgage-Backed —1.25%	Blaylock Mortgage Capital Corp. 1997-A B1, 6.43%, 10/25/044		1,329,984		1,345,146
Non-Agency Mortgage-Backed —4.54%	Banc of America Funding Corp. 2001-1 1A12, 6.75%, 11/20/32		1,655,451		1,685,327
	DLJ Mortgage Acceptance Corp. 1992-Q4 A2, 5.59%, 07/25/229		62,490		62,487
	DLJ Mortgage Acceptance Corp. 1994-QE2 S (IO), 3.69%, 06/25/244,6		433,299		546
	IMPAC Secured Assets CMN Owner Trust 1999-2 A9 (IO), 9.00%, 01/25/306		55,209		5,525
	Ryland Acceptance Corp. IV 28 1, 11.50%, 12/25/16		6,910		7,127
	Structured Asset Securities Corp. 1996-CFL F, 7.75%, 02/25/284		500,000		503,750
	Structured Asset Securities Corp. 2002-5A 6A, 6.39%, 04/25/32		321,426		332,236
	Structured Asset Securities Corp. 2002-26 2A1, 6.00%, 12/25/32		60,849		61,532
	Summit Mortgage Trust 2000-1 B5, 6.05%, 12/28/124		23,741		23,615
	Washington Mutual 2002-AR18 A, 4.20%, 01/25/339		2,142,851		2,177,374
	Wells Fargo Mortgage Backed Securities Trust 2000-2 1A7, 7.75%, 06/25/30		20,869		20,849
					4,880,368
U.S. Agency Mortgage-Backed	Fannie Mae 1993-95 SB, 15.05%, 06/25/089		9,552		10,869
—7.00%	Fannie Mae 1994-10 H, 6.50%, 08/25/22		975,688		991,473
	Fannie Mae 1997-91 SL (IO), 7.50%, 11/25/239		1,874,898		193,645
	Fannie Mae 2001-60 JZ, 6.00% 03/25/31		607,038		622,620
	Fannie Mae G-36 ZB, 7.00%, 11/25/21		15,415		16,777
	Fannie Mae Pool 646884, 5.61%, 05/01/329		1,364,459		1,397,505
	Fannie Mae TBA, 5.00%, 10/15/18		2,040,000		2,090,364
	Freddie Mac 1726 Z, 6.75%, 02/15/20		17,599		17,600

See accompanying notes to financial statements.

26

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

	Issues	Principal Amount		Value
Fixed Income Securities (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed (continued)	Freddie Mac 2 L, 8.00%, 11/25/22	$	59,303	$	68,082
	Freddie Mac 2410 MK, 6.50%, 06/15/29		1,800,000		1,835,322
	Freddie Mac 2535 LI (IO), 5.50%, 08/15/26		800,000		82,721
	Freddie Mac 2557 IM (IO), 5.50%, 03/15/22		1,600,000		104,322
	Freddie Mac 2628 ZM, 5.00%, 06/15/33		99,960		99,646
					7,530,946
	Total Mortgage-Backed				13,756,460
U.S. AGENCY SECURITIES—0.78%
U.S. Agency Securities—0.78%	Federal Home Loan Bank, 2.50%, 03/15/06		830,000		841,039
	Total U.S. Agency Securities				841,039
	Total Fixed Income Securities (Cost $95,819,950)				89,833,527
		Shares
COMMON STOCK 0.09%
	S & P 500 Depository Receipt		985		98,451
	Total Common Stock (Cost $100,398)				98,451
		Principal Amount
SHORT TERM INVESTMENTS 19.71%
Commercial Paper—6.39%	Citigroup Global Markets Holdings Inc., 1.06%5, 10/28/03	$	2,020,000		2,018,254
	DaimlerChrysler NA Holdings Corp., 1.24%5 11/05/03		2,690,000		2,686,757
	General Electric Capital Corp., 1.06%5, 10/21/03		2,175,000		2,173,754
					6,878,765
Money Market RIC—0.20%	J.P. Morgan Institutional Prime Money Market		214,000		214,000
U.S. Agency	Fannie Mae,
Discount Notes	1.05%5, 10/02/038		5,000		5,000
—13.12%	0.98%5, 10/15/038		611,000		610,760
	1.04%5, 10/15/038		5,025,000		5,023,027
	1.06%5, 10/15/038		797,000		796,687
	1.03%5, 11/06/03		1,085,000		1,083,882

	Issues	Principal Amount		Value
Short Term Investment (continued) U.S. Agency Discount Notes (continued)	Freddie Mac,
	0.99%5, 10/15/038	$	168,000	$	167,934
	1.05%5, 10/28/03		1,750,000		1,748,622
	1.05%5, 10/30/03		675,000		674,462
	1.03%5, 11/06/03		4,000,000		3,995,900
					14,106,274
	Total Short Term Investments (Cost $21,199,039)				21,199,039
	Total Investments—103.33% (Cost $117,119,387)1				111,131,017
	Liabilities Less Cash and Other Assets—(3.33)%				(3,580,374	)
	Net Assets—100.00%			$	107,550,643

FUTURES CONTRACTS: LONG POSITIONS

Number of Contracts		Unrealized (Depreciation)
435	S & P Index, December 2003	$	(1,923,940	)
3	S & P Mini, December 2003		(5,018	)
	Net unrealized depreciation	$	(1,928,958	)

Notes:

¹ Cost for Federal income tax purposes is $117,119,387 and net unrealized depreciation consists of:

Gross unrealized appreciation	$	1,812,238
Gross unrealized depreciation		(7,800,608	)
Net unrealized depreciation	$	(5,988,370	)

² Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

³ Securities backed by mortgage or consumer loans where payment is periodically made will have an effective date less than the stated maturity date.

⁴ Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions with qualified institutional buyers. The market value of these securities at September 30, 2003 was $12,931,555 representing 12.02% of total net assets.

⁵ Represents annualized yield at date of purchase.

⁶ Securities determined to be illiquid and procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of Purchase	Security	Cost		Value		% of TNA
06/19/01	America West Airlines, 6.86%, 01/02/06	$	108,696	$	83,950	0.08%
01/28/99	DLJ Mortgage Acceptance Corp. 1994-QE2 S (IO), 3.69%, 06/25/24		61,741		546	0.00%
01/22/01	Green Tree Financial Corp. 1995-5 B2, 7.65%, 09/15/26		362,089		227,651	0.21%
11/21/02	Green Tree Financial Corp. 1997-6 B1, 7.17%, 01/15/29		491,164		510,170	0.47%
03/27/03	HPSC Equipment Receivables LLC 2003-1A F, 13.95%, 07/20/11		321,358		326,560	0.30%
01/12/00	IMPAC Secured Assets CMN Owner Trust 1999-2 A9 (IO), 9.00%, 01/25/30		31,352		5,525	0.01%
11/30/01	Intermedia Communications (PFD), 13.50%, 03/31/09		1,704,932		200,367	0.19%

See accompanying notes to financial statements.

27

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

September 30, 2003 (Unaudited)

Date of Purchase	Security		Cost		Value		% of TNA
04/11/00	Magnus Funding Ltd. 1A B, 2.48%, 06/15/11		$	992,257	$	291,913	0.27%
11/20/01	United Air Lines 1997-1 1A, 1.36%, 03/02/04			1,194,719		937,855	0.87%
		��
			$	5,268,308	$	2,584,537	2.40%

⁷ Non-income producing. Security is in default. Issuing company has filed for reorganization under Chapter 11 of the U.S. Bankruptcy code.

⁸ Securities, or a portion there of, pledged as collateral with a value of $6,603,408 on 435 long S&P Index futures contracts and 3 long S&P Mini futures contacts expiring December 2003.

⁹ Floating rate security. The rate disclosed is that in effect at September 30, 2003.

(EMTN): Euro Medium term note

(IO): Interest only

(MTN): Medium term note

(PFD): Preferred Stock

See accompanying notes to financial statements.

28

Metropolitan West Funds

Statements of Assets and Liabilities

September 30, 2003 (Unaudited)

	Ultra Short Bond Fund*		Low Duration Bond Fund			Intermediate Bond Fund**		Total Return Bond Fund
Assets:
Investments, at value (Cost $5,905,300, $577,473,325, $34,013,936, and $1,551,996,950, respectively) (Note 2)	$	5,924,670	$	541,512,962		$	35,098,955	$	1,483,126,879
Cash and cash equivalents (Note 2)		314,877		2,629,860			164,820		54,401,994
Dividends and interest receivable		46,510		3,783,771			324,370		19,970,917
Receivable for securities sold		554,400		8,064,553			834,000		5,297,709
Receivable for capital stock sold		410,000		508,515			0		975,004
Due from Adviser (Note 5)		0		0			4,846		0
Other assets		19,459		66,879			153		120,318
Total assets		7,269,916		556,566,540			36,427,144		1,563,892,821
Liabilities:
Payable for securities purchased		1,263,934		39,322,234			2,967,054		135,966,405
Payable for capital stock redeemed		0		1,787,905			0		2,068,707
Due to Adviser (Note 5)		10,194		102,771			0		350,736
Accrued expenses		12,441		149,842			11,438		390,585
Accrued 12b-1 expenses		583		47,891			2		81,221
Distributions payable		15,882		1,929,921			138,613		7,690,390
Total liabilities		1,303,034		43,340,564			3,117,107		146,548,044
Net assets	$	5,966,882	$	513,225,976		$	33,310,037	$	1,417,344,777
Class M Shares:
Net assets (Applicable to 1,179,802, 33,326,497, 927, and 49,741,512 shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	5,966,882	$	316,003,249		$	10,069	$	484,574,241
Net asset value, offering and redemption price per Class M share	$	5.06	$	9.48		$	10.86	$	9.74
Class I Shares:
Net assets (Applicable to 20,793,329, 3,066,383, and 95,770,412 shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A	$	197,222,727		$	33,299,968	$	932,770,536
Net asset value, offering and redemption price per Class I share		N/A	$	9.48		$	10.86	$	9.74
Net Assets Consist of:
Capital paid-in	$	5,945,808	$	561,359,618		$	31,386,954	$	1,529,698,143
Accumulated undistributed net realized gain/(loss) on investments and futures contracts		1,704		(12,173,279	)		838,064		(43,483,295	)
Net unrealized appreciation/(depreciation) on investments and futures contracts		19,370		(35,960,363	)		1,085,019		(68,870,071	)
	$	5,966,882	$	513,225,976		$	33,310,037	$	1,417,344,777

  * The Ultra Short Bond Fund Class M Shares commenced operations on June 30, 2003.

** The Intermediate Bond Fund Class M Shares commenced operations on June 30, 2003.

N/A — Not Applicable

See accompanying notes to financial statements.

29

Metropolitan West Funds

Statements of Assets and Liabilities

September 30, 2003 (Unaudited)

	High Yield Bond Fund		Strategic Income Fund*		AlphaTrak 500 Fund
Assets:
Investments, at value (Cost $126,708,624, $4,152,857, and $117,119,387, respectively) (Note 2)	$	133,043,598	$	4,234,637	$	111,131,017
Cash and cash equivalents (Note 2)		3,004,857		39,214		0
Dividends and interest receivable		2,214,734		60,558		732,338
Receivable for securities sold		8,129,500		146,100		1,599,382
Receivable for capital stock sold		3,480,244		95,000		0
Other assets		15,756		11,256		407,370
Total assets		149,888,689		4,586,765		113,870,107
Liabilities:
Payable to custodian (Note 2)		0		0		285,477
Payable for securities purchased		9,833,464		384,491		4,775,459
Payable for capital stock redeemed		5,556,532		56		143,381
Variation Margin (Note 3)		0		0		72,409
Due to Adviser (Note 5)		12,778		14,828		30,866
Accrued expenses		12,815		12,419		32,150
Accrued 12b-1 expenses		21,461		702		0
Distributions payable		803,796		14,804		979,722
Total liabilities		16,240,846		427,300		6,319,464
Net assets	$	133,647,843	$	4,159,465	$	107,550,643
Class M Shares:
Net assets (Applicable to 9,324,128, 389,502, and 16,609,025 shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	116,543,498	$	4,159,465	$	107,550,643
Net asset value, offering and redemption price per Class M share	$	12.50	$	10.68	$	6.48
Class I Shares:
Net assets (Applicable to 1,367,688 shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	17,104,345		N/A		N/A
Net asset value, offering and redemption price per Class I share	$	12.51		N/A		N/A
Net Assets Consist of:
Capital paid-in	$	123,413,734	$	4,077,165	$	146,430,325
Accumulated undistributed net realized gain/(loss) on investments and futures contracts		3,899,135		520		(30,962,354	)
Net unrealized appreciation/(depreciation) on investments and futures contracts		6,334,974		81,780		(7,917,328	)
	$	133,647,843	$	4,159,465	$	107,550,643

*  The Strategic Income Fund Class M Shares commenced operations on June 30, 2003.

N/A — Not Applicable

See accompanying notes to financial statements.

30

Metropolitan West Funds

Statements of Operations

For the Period Ended September 30, 2003 (Unaudited)

	Ultra Short Bond Fund*			Low Duration Bond Fund			Intermediate Bond Fund			Total Return Bond Fund
Investment Income:
Interest	$	30,064		$	13,574,541		$	960,119		$	52,064,788
Total investment income		30,064			13,574,541			960,119			52,064,788
Expenses:
Investment advisory fees (Note 5)		1,604			781,261			54,468			2,568,674
Administration fees		2,164			201,616			23,231			515,683
Auditing and tax consulting fees		4,328			11,518			9,696			23,132
Custodian fees		999			28,351			3,225			86,739
Distribution fees		1,026			300,049			5			542,990
Insurance expenses		0			9,941			908			28,480
Legal fees		233			9,014			501			21,032
Miscellaneous expenses		232			27,489			1,845			55,445
Registration and filing fees		4,012			23,272			1,795			19,371
Reports to shareholders		299			10,516			351			25,289
Transfer agent fees		5,992			58,626			12,838			115,163
Trustees’ fees and expenses		166			5,245			303			17,305
Total operating expenses		21,055			1,466,898			109,166			4,019,303
Expenses waived and reimbursed (Note 5)		(17,848	)		(151,209	)		(40,686	)		(247,123	)
Net expenses		3,207			1,315,689			68,480			3,772,180
Net investment income		26,857			12,258,852			891,639			48,292,608
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts:
Net realized gain on investments and futures contracts		1,704			3,391,838			676,584			32,953,279
Net change in unrealized appreciation on investments		19,370			3,061,215			277,369			39,703,335
Net change in unrealized appreciation on futures contracts		0			89,062			0			0
Net realized and unrealized gain on investments and futures contracts		21,074			6,542,115			953,953			72,656,614
Net Increase in Net Assets from Operations	$	47,931		$	18,800,967		$	1,845,592		$	120,949,222

* The Ultra Short Bond Fund commenced operations on June 30, 2003.

See accompanying notes to financial statements.

31

Metropolitan West Funds

Statements of Operations

For the Period Ended September 30, 2003 (Unaudited)

	High Yield Bond Fund			Strategic Income Fund*			AlphaTrak 500 Fund
Investment Income:
Dividends	$	70,484		$	4,575		$	426
Interest		3,670,157			24,002			2,375,630
Total investment income		3,740,641			28,577			2,376,056
Expenses:
Investment advisory fees (Note 5)		229,318			7,921			397,825
Administration fees		36,247			2,164			46,966
Amortization of organizational expenses (Note 2)		0			0			921
Auditing and tax consulting fees		10,462			4,328			9,589
Custodian fees		4,626			999			9,045
Distribution fees		93,277			1,064			0
Insurance expenses		862			0			1,516
Legal fees		921			233			1,202
Miscellaneous expenses		7,548			232			2,052
Registration and filing fees		30,582			4,037			5,967
Reports to shareholders		7,027			300			4,343
Transfer agent fees		54,883			5,992			14,426
Trustees’ fees and expenses		439			166			940
Total operating expenses		476,192			27,436			494,792
Expenses waived and reimbursed (Note 5)		(130,665	)		(17,623	)		0
Net expenses		345,527			9,813			494,792
Net investment income		3,395,114			18,764			1,881,264
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts:
Net realized gain on investments and futures contracts		3,025,828			520			19,023,766
Net change in unrealized appreciation/(depreciation) on investments		4,073,569			81,780			(66,049	)
Net change in unrealized (depreciation) on futures contracts		0			0			(2,679,883	)
Net realized and unrealized gain on investments and futures contracts		7,099,397			82,300			16,277,834
Net Increase in Net Assets from Operations	$	10,494,511		$	101,064		$	18,159,098

* The Strategic Income Fund commenced operations on June 30, 2003.

See accompanying notes to financial statements.

32

Metropolitan West Funds

Statements of Changes in Net Assets

		Ultra Short Bond Fund*
		Period Ended September 30, 2003 (Unaudited)
Operations:
Net investment income	$	26,857
Net realized gain on investments		1,704
Net change in unrealized appreciation on investments		19,370
Net increase in net assets resulting from operations		47,931
Dividends and Distributions to Shareholders from:
Net investment income		(26,857	)
Net (decrease) in net assets resulting from dividends and distributions		(26,857	)
Capital Share Transactions:
Proceeds from sale of shares		5,964,816
Shares issued in reinvestment of dividends and distributions		10,992
Cost of shares redeemed		(30,000	)
Net increase in net assets resulting from capital share transactions		5,945,808
Net increase in net assets		5,966,882
Net assets at beginning of period		0
Net assets at end of period (including undistributed net investment income of $0)	$	5,966,882

* The Ultra Short Bond Fund Class M Shares commenced operations on June 30, 2003.

See accompanying notes to financial statements.

33

Metropolitan West Funds

Statements of Changes in Net Assets

	Low Duration Bond Fund
	Six Months Ended September 30, 2003 (Unaudited)			Year Ended March 31, 2003
Operations:
Net investment income	$	12,258,852		$	34,457,859
Net realized gain/(loss) on investments and futures contracts		3,391,838			(4,141,296	)
Net change in unrealized appreciation/(depreciation) on investments		3,061,215			(35,534,128	)
Net change in unrealized appreciation/(depreciation) on futures contracts		89,062			(549,749	)
Net increase/(decrease) in net assets resulting from operations		18,800,967			(5,767,314	)
Dividends and Distributions to Shareholders from:
Net investment income:
Class M		(7,305,547	)		(20,741,786	)
Class I		(4,953,305	)		(13,716,073	)
Net (decrease) in net assets resulting from dividends and distributions		(12,258,852	)		(34,457,859	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		71,735,046			169,253,482
Shares issued in reinvestment of dividends and distributions		6,008,822			20,166,859
Cost of shares redeemed		(71,391,100	)		(283,665,129	)
Total class M capital share transactions		6,352,768			(94,244,788	)
Class I:
Proceeds from sale of shares		70,308,407			178,002,268
Shares issued in reinvestment of dividends and distributions		3,294,691			11,033,157
Cost of shares redeemed		(85,004,360	)		(294,747,651	)
Total class I capital share transactions		(11,401,262	)		(105,712,226	)
Net (decrease) in net assets resulting from capital share transactions		(5,048,494	)		(199,957,014	)
Net increase/(decrease) in net assets		1,493,621			(240,182,187	)
Net assets at beginning of period		511,732,355			751,914,542
Net assets at end of period (including undistributed net investment income of $0, and $0, respectively)	$	513,225,976		$	511,732,355

See accompanying notes to financial statements.

34

Metropolitan West Funds

Statements of Changes in Net Assets

	Intermediate Bond Fund*
	Six Months Ended September 30, 2003 (Unaudited)			Year Ended March 31, 2003
Operations:
Net investment income	$	891,639		$	960,504
Net realized gain on investments and futures contracts		676,584			420,470
Net change in unrealized appreciation on investments		277,369			807,650
Net increase in net assets resulting from operations		1,845,592			2,188,624
Dividends and Distributions to Shareholders from:
Net investment income:
Class M		(125	)		0
Class I		(891,514	)		(960,504	)
Realized gains on investments:
Class M		0			0
Class I		0			(258,990	)
Net (decrease) in net assets resulting from dividends and distributions		(891,639	)		(1,219,494	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		10,000			0
Shares issued in reinvestment of dividends and distributions		85			0
Cost of shares redeemed		0			0
Total class M capital share transactions		10,085			0
Class I:
Proceeds from sale of shares		28,224,487			26,072,701
Shares issued in reinvestment of dividends and distributions		658,217			1,219,450
Cost of shares redeemed		(24,695,729	)		(102,257	)
Total class I capital share transactions		4,186,975			27,189,894
Net increase in net assets resulting from capital share transactions		4,197,060			27,189,894
Net increase in net assets		5,151,013			28,159,024
Net assets at beginning of period		28,159,024			0
Net assets at end of period (including undistributed net investment income of $0 and $0, respectively)	$	33,310,037		$	28,159,024

* The Intermediate Bond Fund Class M Shares commenced operations on June 30, 2003

See accompanying notes to financial statements.

35

Metropolitan West Funds

Statements of Changes in Net Assets

	Total Return Bond Fund
	Six Months Ended September 30, 2003 (Unaudited)			Year Ended March 31, 2003
Operations:
Net investment income	$	48,292,608		$	129,738,131
Net realized gain/(loss) on investments and futures contracts		32,953,279			(75,591,337	)
Net change in unrealized appreciation/(depreciation) on investments		39,703,335			(59,682,187	)
Net increase/(decrease) in net assets resulting from operations		120,949,222			(5,535,393	)
Dividends and Distributions to Shareholders from:
Net investment income:
Class M		(16,687,629	)		(47,946,324	)
Class I		(31,604,979	)		(81,791,807	)
Realized gains on investments:
Class M		0			(2,563,787	)
Class I		0			(4,414,937	)
Net (decrease) in net assets resulting from dividends and distributions		(48,292,608	)		(136,716,855	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		77,002,089			287,082,332
Shares issued in reinvestment of dividends and distributions		12,799,910			45,119,105
Cost of shares redeemed		(182,612,386	)		(418,562,692	)
Total class M capital share transactions		(92,810,387	)		(86,361,255	)
Class I:
Proceeds from sale of shares		67,739,102			345,157,200
Shares issued in reinvestment of dividends and distributions		25,257,039			79,660,583
Cost of shares redeemed		(150,859,857	)		(500,027,492	)
Total class I capital share transactions		(57,863,716	)		(75,209,709	)
Net (decrease) in net assets resulting from capital share transactions		(150,674,103	)		(161,570,964	)
Net (decrease) in net assets		(78,017,489	)		(303,823,212	)
Net assets at beginning of period		1,495,362,266			1,799,185,478
Net assets at end of period (including undistributed net investment income of $0 and $0, respectively)	$	1,417,344,777		$	1,495,362,266

See accompanying notes to financial statements.

36

Metropolitan West Funds

Statements of Changes in Net Assets

	High Yield Bond Fund
	Six Months Ended September 30, 2003 (Unaudited)			Year Ended March 31, 2003
Operations:
Net investment income	$	3,395,114		$	1,121,494
Net realized gain on investments and futures contracts		3,025,828			873,307
Net change in unrealized appreciation on investments		4,073,569			2,261,405
Net increase in net assets resulting from operations		10,494,511			4,256,206
Dividends and Distributions to Shareholders from:
Net investment income:
Class M		(2,742,703	)		(1,121,494	)
Class I		(652,411	)		0
Net (decrease) in net assets resulting from dividends and distributions		(3,395,114	)		(1,219,494	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		83,155,954			49,132,097
Shares issued in reinvestment of dividends and distributions		2,021,440			1,102,315
Cost of shares redeemed		(23,490,915	)		(4,373,297	)
Total class M capital share transactions		61,686,479			45,861,115
Class I:
Proceeds from sale of shares		20,436,630			0
Shares issued in reinvestment of dividends and distributions		513,964			0
Cost of shares redeemed		(5,084,454	)		0
Total class I capital share transactions		15,866,140			0
Net increase in net assets resulting from capital share transactions		77,552,619			45,861,115
Net increase in net assets		84,652,016			48,995,827
Net assets at beginning of period		48,995,827			0
Net assets at end of period (including undistributed net investment income of $0 and $0, respectively)	$	133,647,843		$	48,995,827

See accompanying notes to financial statements.

37

Metropolitan West Funds

Statements of Changes in Net Assets

		Strategic Income Fund*
		Period Ended September 30, 2003 (Unaudited)
Operations:
Net investment income	$	18,764
Net realized gain on investments		520
Net change in unrealized appreciation on investments		81,780
Net increase in net assets resulting from operations		101,064
Dividends and Distributions to Shareholders from:
Net investment income		(18,764	)
Net (decrease) in net assets resulting from dividends and distributions		(18,764	)
Capital Share Transactions:
Proceeds from sale of shares		4,286,242
Shares issued in reinvestment of dividends and distributions		3,943
Cost of shares redeemed		(213,020	)
Net increase in net assets resulting from capital share transactions		4,077,165
Net increase in net assets		4,159,465
Net assets at beginning of period		0
Net assets at end of period (including undistributed net investment income of $0)	$	4,159,465

* The Strategic Income Fund Class M Shares commenced operations on June 30, 2003.

See accompanying notes to financial statements.

38

Metropolitan West Funds

Statements of Changes in Net Assets

	AlphaTrak 500 Fund
	Six Months Ended September 30, 2003 (Unaudited)			Year Ended March 31, 2003
Operations:
Net investment income	$	1,881,264		$	4,668,571
Net realized gain/(loss) on investments and futures contracts		19,023,766			(31,425,074	)
Net change in unrealized (depreciation)/appreciation on investments		(66,049	)		6,031,386
Net change in unrealized (depreciation) appreciation on futures contracts		(2,679,883	)		659,695
Net increase/(decrease) in net assets resulting from operations		18,159,098			(32,128,194	)
Dividends and Distributions to Shareholders from:
Net investment income		(1,892,072	)		(5,785,057	)
Net (decrease) in net assets resulting from dividends and distributions		(1,892,072	)		(5,785,057	)
Capital Share Transactions:
Proceeds from sale of shares		12,307,869			57,135,392
Shares issued in reinvestment of dividends and distributions		813,606			5,409,801
Cost of shares redeemed		(10,190,824	)		(23,028,215	)
Net increase in net assets resulting from capital share transactions		2,930,651			39,516,978
Net increase in net assets		19,197,677			1,603,727
Net assets at beginning of period		88,352,966			86,749,239
Net assets at end of period (including undistributed net investment income of $0, and $10,808, respectively)	$	107,550,643		$	88,352,966

See accompanying notes to financial statements.

39

Metropolitan West Funds

Financial Highlights

The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.

	Ultra Short Bond Fund*
		Period Ended September 30, 2003# (Unaudited)
Net Asset Value, Beginning of Period	$	5.00
Income from Investment Operations:
Net investment income		0.06
Net realized and unrealized gain on investments and futures contracts		0.06
Total from Investment Operations		0.12
Less Distributions:
Dividends from net investment income		(0.06	)
Total Distributions		(0.06	)
Net Asset Value, End of Period	$	5.06
Total Return		2.30	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	5,967
Ratio of Expenses to Average Net Assets
Before expense reimbursement		3.27	%1
After expense reimbursement		0.50	%1
Ratio of Net Income to Average Net Assets
Before expense reimbursement		1.40	%1
After expense reimbursement		4.18	%1
Portfolio Turnover Rate		7	%2

* The Ultra Short Bond Fund Class M Shares commenced operations on June 30, 2003.

¹ Annualized                                                                                                                                           

² Non-annualized                                                                                                                                       

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

See accompanying notes to financial statements.

40

Metropolitan West Funds

Financial Highlights

The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.

	Low Duration Bond Fund
	Class M			Class M			Class M			Class M			Class M			Class M
	Six Months Ended September 30, 2003# (Unaudited)			Year Ended March 31, 2003#			Year Ended March 31, 2002#			Year Ended March 31, 2001#			Year Ended March 31, 2000#			Year Ended March 31, 1999#
Net Asset Value, Beginning of Period	$	9.36		$	9.87		$	10.03		$	9.99		$	10.15		$	10.18
Income from Investment Operations:
Net investment income		0.22			0.51			0.63			0.80			0.72			0.66
Net realized and unrealized gain/(loss) on investments and futures		0.12			(0.51	)		(0.16	)		0.04			(0.11	)		(0.02	)
Total from Investment Operations		0.34			0.00			0.47			0.84			0.61			0.64
Less Distributions:
Dividends from net investment income		(0.22	)		(0.51	)		(0.63	)		(0.80	)		(0.72	)		(0.66	)
Distributions from net capital gains on investments		0.00			0.00			0.00			0.00			(0.05	)		(0.01	)
Total Distributions		(0.22	)		(0.51	)		(0.63	)		(0.80	)		(0.77	)		(0.67	)
Net Asset Value, End of Period	$	9.48		$	9.36		$	9.87		$	10.03		$	9.99		$	10.15
Total Return		3.65	%2		0.10	%		4.74	%		8.89	%		6.22	%		6.54	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	316,003		$	305,726		$	424,441		$	166,246		$	367,943		$	235,337
Ratio of Expenses to Average Net Assets
Before expense reimbursement		0.64	%1		0.62	%		0.64	%		0.65	%		0.66	%		0.70	%
After expense reimbursement		0.58	%1		0.58	%		0.58	%		0.58	%		0.58	%		0.58	%
Ratio of Net Income to Average Net Assets
Before expense reimbursement		4.56	%1		5.36	%		6.15	%		8.01	%		7.14	%		6.49	%
After expense reimbursement		4.62	%1		5.40	%		6.21	%		8.08	%		7.22	%		6.61	%
Portfolio Turnover Rate		44	%2		65	%		26	%		53	%		126	%		73	%

¹ Annualized                                                                                                              

² Non-annualized                                                                                                                      

^# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

See accompanying notes to financial statements.

41

Metropolitan West Funds

Financial Highlights

The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.

	Low Duration Bond Fund*
	Class I			Class I			Class I			Class I
	Six Months Ended September 30, 2003# (Unaudited)			Year Ended March 31, 2003#			Year Ended March 31, 2002#			Year Ended March 31, 2001#
Net Asset Value, Beginning of Period	$	9.36		$	9.87		$	10.03		$	9.99
Income from Investment Operations:
Net investment income		0.23			0.53			0.65			0.82
Net realized and unrealized gain/(loss) on investments and futures contracts		0.12			(0.51	)		(0.16	)		0.04
Total from Investment Operations		0.35			0.02			0.49			0.86
Less Distributions:
Dividends from net investment income		(0.23	)		(0.53	)		(0.65	)		(0.82	)
Total Distributions		(0.23	)		(0.53	)		(0.65	)		(0.82	)
Net Asset Value, End of Period	$	9.48		$	9.36		$	9.87		$	10.03
Total Return		3.75	%2		0.29	%		4.94	%		9.10	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	197,223		$	206,006		$	327,473		$	257,021
Ratio of Expenses to Average Net Assets
Before expense reimbursement		0.45	%1		0.43	%		0.45	%		0.46	%
After expense reimbursement		0.39	%1		0.39	%		0.39	%		0.39	%
Ratio of Net Income to Average Net Assets
Before expense reimbursement		4.75	%1		5.55	%		6.34	%		8.20	%
After expense reimbursement		4.81	%1		5.59	%		6.40	%		8.27	%
Portfolio Turnover Rate		44	%2		65	%		26	%		53	%

* The Low Duration Bond Fund Class I shares commenced operations on March 31, 2000.

¹ Annualized                                                                                                                                                                                    

² Non-annualized                                                                                                                                                               

^# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

See accompanying notes to financial statements.

42

Metropolitan West Funds

Financial Highlights

The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.

		Intermediate Bond Fund*
		Class M
		Period Ended September 30, 2003# (Unaudited)
Net Asset Value, Beginning of Period	$	10.88
Income from Investment Operations:
Net investment income		0.14
Net realized and unrealized (loss) on investments and futures contracts		(0.02	)
Total from Investment Operations		0.12
Less Distributions:
Dividends from net investment income		(0.14	)
Total Distributions		(0.14	)
Net Asset Value, End of Period	$	10.86
Total Return		1.10	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	10
Ratio of Expenses to Average Net Assets
Before expense reimbursement		0.91	%1
After expense reimbursement		0.65	%1
Ratio of Net Income to Average Net Assets
Before expense reimbursement		5.24	%1
After expense reimbursement		5.50	%1
Portfolio Turnover Rate		103	%2

* The Intermediate Bond Fund Class M shares commenced operations on June 30, 2003.

¹ Annualized                                                                                                                                                                        

² Non-annualized                                                                                                                                                                        

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

See accompanying notes to financial statements.

43

Metropolitan West Funds

Financial Highlights

The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.

	Intermediate Bond Fund*
	Class I			Class I
	Six Months Ended September 30, 2003# (Unaudited)			Period Ended March 31, 2003#
Net Asset Value, Beginning of Period	$	10.49		$	10.00
Income from Investment Operations:
Net investment income		0.31			0.40
Net realized and unrealized gain on investments and futures contracts		0.37			0.59
Total from Investment Operations		0.68			0.99
Less Distributions:
Dividends from net investment income		(0.31	)		(0.40	)
Distributions from net capital gains on investments		0.00			(0.10	)
Total Distributions		(0.31	)		(0.50	)
Net Asset Value, End of Period	$	10.86		$	10.49
Total Return		6.52	%2		10.07	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	33,300		$	28,159
Ratio of Expenses to Average Net Assets
Before expense reimbursement		0.70	%1		0.64	%1
After expense reimbursement		0.44	%1		0.44	%1
Ratio of Net Income to Average Net Assets
Before expense reimbursement		5.45	%1		4.83	%1
After expense reimbursement		5.71	%1		5.03	%1
Portfolio Turnover Rate		103	%2		139	%2

* The Intermediate Bond Fund Class I Shares commenced operations on June 28, 2002.

¹ Annualized                                                                                                                                       

² Non-annualized                                                                                                                                       

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

See accompanying notes to financial statements.

44

Metropolitan West Funds

Financial Highlights

The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.

	Total Return Bond Fund
	Class M			Class M			Class M			Class M			Class M			Class M
	Six Months Ended September 30, 2003# (Unaudited)			Year Ended March 31, 2003#			Year Ended March 31, 2002#			Year Ended March 31, 2001#			Year Ended March 31, 2000#			Year Ended March 31, 1999#
Net Asset Value, Beginning of Period	$	9.28		$	9.95		$	10.34		$	10.08		$	10.53		$	10.49
Income from Investment Operations:
Net investment income		0.31			0.70			0.73			0.92			0.78			0.71
Net realized and unrealized gain/(loss) on investments and futures contracts		0.46			(0.63	)		(0.29	)		0.26			(0.44	)		0.19
Total from Investment Operations		0.77			0.07			0.44			1.18			0.34			0.90
Less Distributions:
Dividends from net investment income		(0.31	)		(0.70	)		(0.73	)		(0.92	)		(0.78	)		(0.71	)
Distributions from net capital gains on investments		0			(0.04	)		(0.10	)		0.00			(0.01	)		(0.15	)
Total Distributions		(0.31	)		(0.74	)		(0.83	)		(0.92	)		(0.79	)		(0.86	)
Net Asset Value, End of Period	$	9.74		$	9.28		$	9.95		$	10.34		$	10.08		$	10.53
Total Return		8.38	%2		0.91	%		4.39	%		12.46	%		3.39	%		8.84	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	484,574		$	550,891		$	692,279		$	426,467		$	250,794		$	115,233
Ratio of Expenses to Average Net Assets
Before expense reimbursement		0.68	%1		0.67	%		0.68	%		0.71	%		0.77	%		0.97	%
After expense reimbursement		0.65	%1		0.65	%		0.65	%		0.65	%		0.65	%		0.65	%
Ratio of Net Income to Average Net Assets
Before expense reimbursement		6.39	%1		7.42	%		7.11	%		9.10	%		7.56	%		6.60	%
After expense reimbursement		6.42	%1		7.44	%		7.14	%		9.16	%		7.68	%		6.92	%
Portfolio Turnover Rate		71	%2		90	%		78	%		205	%		128	%		136	%

¹ Annualized                                                                                                                                                   

² Non-annualized                                                                                                                                           

^# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

See accompanying notes to financial statements.

45

Metropolitan West Funds

Financial Highlights

The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.

	Total Return Bond Fund*
	Class I			Class I			Class I			Class I
	Six Months Ended September 30, 2003# (Unaudited)			Year Ended March 31, 2003#			Year Ended March 31, 2002#			Year Ended March 31, 2001#
Net Asset Value, Beginning of Period	$	9.27		$	9.94		$	10.34		$	10.08
Income from Investment Operations:
Net investment income		0.32			0.72			0.75			0.94
Net realized and unrealized gain/(loss) on investments and futures contracts		0.47			(0.63	)		(0.30	)		0.26
Total from Investment Operations		0.79			0.09			0.45			1.20
Less Distributions:
Dividends from net investment income		(0.32	)		(0.72	)		(0.75	)		(0.94	)
Distributions from net capital gains on investments		0.00			(0.04	)		(0.10	)		0.00
Total Distributions		(0.32	)		(0.76	)		(0.85	)		(0.94	)
Net Asset Value, End of Period	$	9.74		$	9.27		$	9.94		$	10.34
Total Return		8.60	%2		1.11	%		4.51	%		12.70	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	932,771		$	944,471		$	1,106,907		$	605,159
Ratio of Expenses to Average Net Assets
Before expense reimbursement		0.47	%1		0.46	%		0.47	%		0.50	%
After expense reimbursement		0.44	%1		0.44	%		0.44	%		0.44	%
Ratio of Net Income to Average Net Assets
Before expense reimbursement		6.60	%1		7.63	%		7.32	%		9.31	%
After expense reimbursement		6.63	%1		7.65	%		7.35	%		9.37	%
Portfolio Turnover Rate		71	%2		90	%		78	%		205	%

* The Total Return Bond Fund Class I shares commenced operations on March 31, 2000.

¹ Annualized                                                                                                                                                               

² Non-annualized                                                                                                                                                               

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

See accompanying notes to financial statements.

46

Metropolitan West Fund

Financial Highlights

The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.

	High Yield Bond Fund*
	Class M			Class M
	Six Months Ended September 30, 2003# (Unaudited)			Period Ended March 31, 2003#
Net Asset Value, Beginning of Period	$	11.38		$	10.00
Income from Investment Operations:
Net investment income		0.45			0.47
Net realized and unrealized gain on investments and futures contracts		1.12			1.38
Total from Investment Operations		1.57			1.85
Less Distributions:
Dividends from net investment income		(0.45	)		(0.47	)
Total Distributions		(0.45	)		(0.47	)
Net Asset Value, End of Period	$	12.50		$	11.38
Total Return		13.92	%2		18.79	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	116,543		$	48,996
Ratio of Expenses to Average Net Assets
Before expense reimbursement		1.08	%1		1.20	%1
After expense reimbursement		0.80	%1		0.80	%1
Ratio of Net Income to Average Net Assets
Before expense reimbursement		5.69	%1		8.91	%1
After expense reimbursement		5.97	%1		9.31	%1
Portfolio Turnover Rate		113	%2		200	%2

* The High Yield Bond Fund Class M shares commenced operations on September 30, 2002.

¹ Annualized                                                                                                                                   

² Non-annualized                                                                                                                                           

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

See accompanying notes to financial statements.

47

Metropolitan West Funds

Financial Highlights

The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.

		High Yield Bond Fund*
		Class I
		Six Months Ended March 31, 2003# (Unaudited)
Net Asset Value, Beginning of Period	$	11.38
Income from Investment Operations:
Net investment income		0.46
Net realized and unrealized gain on investments and futures contracts		1.13
Total from Investment Operations		1.59
Less Distributions:
Dividends from net investment income		(0.46	)
Total Distributions		(0.46	)
Net Asset Value, End of Period	$	12.51
Total Return		14.12	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	17,104
Ratio of Expenses to Average Net Assets
Before expense reimbursement		0.83	%1
After expense reimbursement		0.55	%1
Ratio of Net Income to Average Net Assets
Before expense reimbursement		5.94	%1
After expense reimbursement		6.22	%1
Portfolio Turnover Rate		113	%2

* The High Yield Bond Fund Class I shares commenced operations on March 31, 2003.

¹ Annualized                                                                                                                               

² Non-annualized                                                                                                                                       

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

See accompanying notes to financial statements.

48

Metropolitan West Funds

Financial Highlights

The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.

		Strategic Income Fund*
		Period Ended September 30, 2003# (Unaudited)
Net Asset Value, Beginning of Period	$	10.00
Income from Investment Operations:
Net investment income		0.11
Net realized and unrealized gain on investments and futures contracts		0.68
Total from Investment Operations		0.79
Less Distributions:
Dividends from net investment income		(0.11	)
Total Distributions		(0.11	)
Net Asset Value, End of Period	$	10.68
Total Return		7.93	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	4,159
Ratio of Expenses to Average Net Assets
Before expense reimbursement		6.43	%1
After expense reimbursement		2.30	%1
Ratio of Net Income to Average Net Assets
Before expense reimbursement		0.27	%1
After expense reimbursement		4.40	%1
Portfolio Turnover Rate		16	%2

* The Strategic Income Fund Class M Shares commenced operations on June 30, 2003.

¹ Annualized                                                                                                                           

² Non-annualized                                                                                                                                   

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

See accompanying notes to financial statements.

49

Metropolitan West Funds

Financial Highlights

The table below sets forth financial data for one share of capital stock outstanding throughout the period presented.

	AlphaTrak 500 Fund*
	Six Months Ended September 30, 2003# (Unaudited)			Year Ended March 31, 2003#			Year Ended March 31, 2002#			Year Ended March 31, 2001#			Year Ended March 31, 2000#			Period Ended March 31, 1999#
Net Asset Value, Beginning of Period	$	5.49		$	8.20		$	8.47		$	11.90		$	11.40		$	10.00
Income from Investment Operations:
Net investment income		0.11			0.33			0.48			0.75			0.63			0.44
Net realized and unrealized gain/(loss) on investments and futures contracts		0.99			(2.62	)		(0.27	)		(3.12	)		1.43			1.22
Total from Investment Operations		1.10			(2.29	)		0.21			(2.37	)		2.06			1.66
Less Distributions:
Dividends from net investment income		(0.11	)		(0.42	)		(0.48	)		(0.74	)		(0.70	)		(0.26	)
Distributions from net capital gains on investments		0.00			0.00			0.00			(0.32	)		(0.86	)		0.00
Total Distributions		(0.11	)		(0.42	)		(0.48	)		(1.06	)		(1.56	)		(0.26	)
Net Asset Value, End of Period	$	6.48		$	5.49		$	8.20		$	8.47		$	11.90		$	11.40
Total Return		20.14	%2		(28.35	)%		2.66	%		(21.20	)%		19.28	%2		17.28	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	107,551		$	88,353		$	86,749		$	54,367		$	26,931		$	8,104
Ratio of Expenses to Average Net Assets
Before expense reimbursement		0.94	%1		0.55	%		0.89	%		0.88	%		1.59	%1		3.39	%1
After expense reimbursement		0.86	%1		0.55	%		0.80	%		0.63	%		0.66	%1		0.72	%1
Ratio of Net Income to Average Net Assets
Before expense reimbursement		3.56	%1		5.32	%		5.64	%		7.31	%		5.56	%1		4.14	%1
After expense reimbursement		3.63	%1		5.32	%		5.73	%		7.56	%		6.49	%1		6.81	%1
Portfolio Turnover Rate		36	%2		72	%		23	%		82	%		280	%2		74	%2

* The AlphaTrak 500 Fund commenced operations on June 29, 1998.

¹ Annualized                                                                                                                           

² Non-annualized                                                                                                                                               

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

See accompanying notes to financial statements.

50

Metropolitan West Funds

Notes to Financial Statements

September 30, 2003

(Unaudited)

1. SUMMARY OF ORGANIZATION

The Metropolitan West Funds (the “Trust”) is an open-end management investment company organized as a Delaware business trust on December 9, 1996 and registered under the Investment Company Act of 1940, as amended. Metropolitan West Asset Management, LLC (the “Adviser”), a registered investment adviser, provides the Funds with investment management services. The Trust currently consists of seven separate portfolios (each a “Fund” and collectively, the “Funds”): Metropolitan West Ultra Short Bond Fund (the “Ultra Short Bond Fund”), Metropolitan West Low Duration Bond Fund (the “Low Duration Bond Fund”), Metropolitan West Intermediate Bond Fund (the “Intermediate Bond Fund”), Metropolitan West Total Return Bond Fund (the “Total Return Bond Fund”), Metropolitan West High Yield Bond Fund (the “High Yield Bond Fund”), Metropolitan West Strategic Income Fund (the “Strategic Income Fund”), and Metropolitan West AlphaTrak 500 Fund (the “AlphaTrak 500 Fund”). The Total Return Bond Fund and Low Duration Bond Fund commenced investment operations on March 31, 1997. Effective March 31, 2000, the Low Duration Bond Fund and the Total Return Bond Fund offered two classes of shares: Class M (existing shares) and Class I shares. The AlphaTrak 500 Fund commenced investment operations on June 29, 1998. The Intermediate Bond Fund – Class I commenced operations on June 28, 2002. The High Yield Bond Fund – Class M commenced operations on September 30, 2002. The High Yield Bond Fund—Class I commenced operations on April 1, 2003. Class M shares of the Intermediate Bond Fund, the Ultra Short Bond Fund, and the Strategic Income Fund commenced operations on June 30, 2003.

The Ultra Short Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a portfolio of fixed-income securities of varying maturities with a portfolio duration of up to one year. The Fund’s dollar-weighted average portfolio maturity will normally exceed one year.

The Low Duration Bond Fund seeks to maximize current income, consistent with preservation of capital. Capital appreciation is a secondary consideration of the Fund. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.

The Intermediate Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of one to six years. The Fund’s dollar-weighted average maturity is expected to range from three to seven years.

The Total Return Bond Fund seeks to maximize long-term total return. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.

The High Yield Bond Fund seeks to maximize long-term total return consistent with preservation of capital. This Fund invests in a portfolio of high yield fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund is non-diversified and may invest a greater percentage of its assets in one or more particular issuers than a diversified fund. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.

The Strategic Income Fund seeks to maximize long-term total return without tracking any particular markets or indices. This fund uses strategies intended to provide absolute (positive) returns in all markets by employing a strategy intended to produce high income while exploiting disparities or inefficiencies in markets. The Fund will focus on inefficiencies related to secured or asset-backed debt compared with unsecured and subordinated debt or equity of companies and issuers. Additionally, the Fund will focus on longer-term cyclical anomalies in the fixed income markets to both enhance yield and realize potential price appreciation. These anomalies include: shifts in the portfolio’s duration, yield curve anomalies, and sector and issue-specific dislocations.

The AlphaTrak 500 Fund seeks to achieve a total return that exceeds the total return of the Standard & Poor’s 500 Index (“S&P 500 Index”). The Fund invests in S&P 500 Index futures contracts backed by a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.

51

Notes to Financial Statements (continued)

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Funds:

Security Valuation:

Fixed-income securities for which market quotations are readily available are valued at the average of the latest bid and asked prices. As appropriate, quotations for high yield bonds may also take additional factors into consideration such as the activity of the underlying equity or sector movements. However, securities with a demand feature exercisable within one to seven days are valued at par. The Funds receive pricing information from independent pricing vendors approved by the Board of Trustees. The Funds also use a benchmark pricing system to the extent vendor’s prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser, in consultation with a market maker, initially selects a proxy comprised of a relevant security (i.e. U.S. Treasury Note) or benchmark (i.e. LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. Once each month the Adviser obtains from one or more dealers an independent review of prices produced by the benchmark system as well as a review of the benchmark selected to adjust the price. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board of Trustees. Debt securities that mature in less than 60 days are valued at amortized cost if their original maturity was 60 days or less or by amortizing the value as of the 61st day prior to maturity, if their original term to maturity exceeded 60 days (unless the Board of Trustees determines that this method does not represent fair value). S&P 500 futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange which it is traded. Equity securities, including depository receipts, are valued at the last reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and asked prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or the over-the-counter market. Securities and other assets that cannot be valued as described above will be valued at their fair value as determined by the Adviser under guidelines established by and under the general supervision and responsibility of the Board of Trustees.

Securities Transactions and Investment Income:

Security transactions are accounted for on the date the securities are purchased or sold (trade date). Cost is determined and gains and losses are based on the first-in first-out method for both financial statement and Federal income tax purposes. Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Discounts and premiums on securities are amortized using the interest method.

Organization Costs:

For the AlphaTrak 500 Fund, organization costs are being amortized on a straight-line basis over five years starting from the date of commencement of operations.

Payable to Custodian:

The amounts payable to custodian represent unsettled interest and paydown payments.

Distributions to Shareholders:

The Funds (except the AlphaTrak 500 Fund) expect to declare dividends daily and pay them monthly to shareholders. The AlphaTrak 500 Fund expects to declare and pay dividends to shareholders quarterly. Distributions of net capital gains, if any, will be made at least annually. The Board of Trustees may determine to declare dividends and make distributions more or less frequently.

Federal Income Taxation:

It is each Fund’s policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gain on investments, to its shareholders. Therefore, no Federal income tax provision is required.

52

Notes to Financial Statements (continued)

Dividends and other distributions to shareholders are recorded on the ex-dividend date. Income and long-term capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are due primarily to timing differences and differing characterization of distributions made by a Fund.

Cash and cash equivalents:

The Funds have defined cash and cash equivalents as cash in interest bearing and non-interest bearing accounts.

Use of estimates:

In preparing financial statements in conformity with accounting principles generally accepted in the United States of America, management makes estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements, as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

3. PORTFOLIO INVESTMENTS

The Funds may invest in mortgage pass-through securities which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates.

Payment of principal and interest on some mortgage-related securities (but not the market value of the securities themselves) may be guaranteed by the full faith and credit of the U.S. Government (in the case of securities guaranteed by GNMA) or by agencies or instrumentalities of the U.S. Government (in the case of securities guaranteed by FNMA or the FHLMC, which are supported only by the discretionary authority of the U.S. Government to purchase the agency’s obligations). Mortgage pass-through securities created by non-governmental issuers (such as commercial banks, savings and loan institutions, private mortgage insurance companies, mortgage bankers and other secondary market issuers) may be supported by various forms of insurance or guarantees, including individual loan, title, pool and hazard insurance, and letters of credit, which may be issued by governmental entities, private insurers or the mortgage poolers.

The Funds may also invest in Collateralized Mortgage Obligations (“CMO”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by GNMA, FHLMC, or FNMA. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit (“REMIC”). CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments.

The Funds may invest in stripped mortgage-backed securities issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). During the period ended September 30, 2003, certain interest only securities were held as part of the overall mortgage portfolio holdings. The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Such securities will be

53

Notes to Financial Statements (continued)

considered liquid only if so determined in accordance with guidelines established by the Trustees. The Funds also may invest in stripped mortgage-backed securities that are privately issued. These securities will be considered illiquid for purposes of each Fund’s limit on illiquid securities.

The Funds may purchase or sell exchange-traded futures contracts, which are contracts that obligate the Fund to make or take delivery of a financial instrument or the cash value of a security index at a specified future date at a specified price. The Funds may use futures contracts to manage exposure to the stock and bond markets or changes in interest rates and currency values, or for gaining exposure to markets. Risks of entering into futures contracts include the possibility that there may be an illiquid market at the time the Adviser to the Fund may be attempting to sell some or all the Fund holdings or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin). Subsequent payments (variation margin) are made or received by the Fund, generally on a daily basis. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed or expires. The statement of operations reflects net realized and net unrealized gains and losses on these contracts.

In addition to the securities listed above, the AlphaTrak 500 Fund may invest in the following equity derivative instruments with a notional or contractual value up to its total assets: S&P 500 Index futures contracts, Mini S&P 500 Index futures contracts, options on the S&P 500 Index and S&P futures, and swap agreements involving the S&P 500 Index. When the above listed S&P Index derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.

4. SECURITIES TRANSACTIONS

Purchases and sales:

Investment transactions for the period ended September 30, 2003, excluding temporary short-term investments, were as follows:

	Purchases		Sales
Ultra Short Bond Fund	$	6,703,751	$	236,144
Low Duration Bond Fund		245,092,397		192,135,512
Intermediate Bond Fund		35,659,479		28,005,255
Total Return Bond Fund		981,757,962		949,916,761
High Yield Bond Fund		179,622,131		98,091,659
Strategic Income Fund		4,287,623		316,682
AlphaTrak 500 Fund		72,903,837		28,242,360

5. INVESTMENT ADVISORY SERVICES

As compensation for advisory services, the Adviser charges the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, and the High Yield Bond Fund a fee, computed daily and payable monthly, at an annual rate of 0.25%, 0.30%, 0.35%, 0.35%, and 0.50%, respectively, of each Fund’s average daily net assets. The Adviser charges the AlphaTrak 500 Fund a basic fee of 0.35% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.35% of the Fund’s average daily net assets), depending on whether, and to what extent, the investment performance of the AlphaTrak 500 Fund, for the relevant performance period, exceeds or is exceeded by, the performance of the S&P 500 Index over the same period. Under this agreement, the basic fee was increased by 0.31% resulting in $397,825 of total management fees for the period ended September 30, 2003. The Adviser charges the Strategic Income Fund a basic fee of 1.20% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.70% of the Fund’s average daily net assets), depending on whether, and to what extent, the investment performance of the Strategic Income Fund, for the relevant performance period, exceeds or is exceeded by, the performance of the Merrill Lynch 3 month U.S. Treasury Bill Index plus 200 basis points over the same period. Under this agreement, the basic fee was increased by 0.66% resulting in $7,921 of total management fees for the period ended September 30, 2003.

54

Notes to Financial Statements (continued)

Certain officers and trustees of the Funds are also officers and directors of the Adviser. Such officers and trustees serve without direct compensation from the Funds. Investment advisory fees for the period ended September 30, 2003, were as follows:

	Investment Advisory Fee Rate		Voluntary Expense Limitation
	Class M	Class I	Class M	Class I
Ultra Short Bond Fund	0.25%	N/A	0.50%	N/A
Low Duration Bond Fund	0.30	0.30%	0.58	0.39%
Intermediate Bond Fund	0.35	0.35	0.65	0.44
Total Return Bond Fund	0.35	0.35	0.65	0.44
High Yield Bond Fund	0.50	0.50	0.80	0.55
Strategic Income Fund	0.50 -1.90	N/A	0.95 - 2.35	N/A
AlphaTrak 500 Fund	0.00 - 0.70	N/A	0.20 - 0.90	N/A

6. SHARE MARKETING (12b-1) Plan

The Trust has a Share Marketing Plan (or “the Plan”) pursuant to Rule 12b-1 of the 1940 Act with respect to AlphaTrak 500 Fund, and Class M shares of the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, the High Yield Bond Fund, and the Strategic Income Fund. The Total Return Bond Fund and Low Duration Bond Fund began accruing for Rule 12b-1 expenses on April 1, 2000. The High Yield Bond Fund began accruing for Rule 12b-1 expenses on October 2, 2002. The Ultra Short Bond Fund, the Intermediate Bond Fund, and the Strategic Income Fund began accruing for Rule 12b-1 expenses on July 2, 2003. Under the Plan, the Trust pays the Distributor, as the Trust’s distribution coordinator, an annual fee up to 0.25% of each Fund’s aggregate average daily net assets to reimburse expenses in connection with the promotion and distribution of shares of the respective Fund. The Adviser has undertaken to limit the Rule 12b-1 expenses to 0.16% for the Ultra Short Bond Fund, 0.19% for the Low Duration Bond Fund, and 0.21% for the Intermediate Bond Fund and the Total Return Bond Fund, for the fiscal year ending March 31, 2004. The AlphaTrak 500 Fund is currently not incurring Rule 12b-1 fees.

7. CAPITAL SHARE TRANSACTIONS

Each Fund is authorized to issue an unlimited number of shares of beneficial interest with a par value of $0.01 per share. Transactions in shares of beneficial interest were as follows:

	Ultra Short Bond Fund		Low Duration Bond Fund
	Class M*		Class M		Class M		Class I		Class I
	Period Ended September 30, 2003 (Unaudited)		Period Ended September 30, 2003 (Unaudited)		Year Ended March 31, 2003		Period Ended September 30, 2003 (Unaudited)		Year Ended March 31, 2003
Change in Fund shares:
Shares outstanding at beginning of period	0		32,663,697		43,014,807		22,003,239		33,176,971
Shares sold	1,183,550		7,587,413		17,605,078		7,438,361		18,614,625
Shares issued through reinvestment of dividends	2,181		636,641		2,134,242		348,931		1,166,519
Shares redeemed	(5,929	)	(7,561,254	)	(30,090,430	)	(8,997,202	)	(30,954,876	)
Net increase/(decrease) in fund shares	1,179,802		662,800		(10,351,110	)	(1,209,910	)	(11,173,732	)
Shares outstanding at end of period	1,179,802		33,326,497		32,663,697		20,793,329		22,003,239

* Class M Shares commenced operations on June 30, 2003

55

Notes to Financial Statements (continued)

	Intermediate Bond Fund
	Class M*	Class I		Class I
	Period Ended September 30, 2003 (Unaudited)	Period Ended September 30, 2003 (Unaudited)		Year Ended March 31, 2003
Change in Fund shares:
Shares outstanding at beginning of period	0	2,685,416		0
Shares sold	919	2,585,268		2,578,009
Shares issued through reinvestment of dividends	8	61,362		117,374
Shares redeemed	0	(2,265,663	)	(9,967	)
Net increase in fund shares	927	380,967		2,685,416
Shares outstanding at end of period	927	3,066,383		2,685,416

	Total Return Bond Fund
	Class M		Class M		Class I		Class I
	Period Ended September 30, 2003 (Unaudited)		Year Ended March 31, 2003		Period Ended September 30, 2003 (Unaudited)		Year Ended March 31, 2003
Change in Fund shares:
Shares outstanding at beginning of period	59,384,577		69,601,095		101,834,535		111,318,380
Shares sold	8,027,671		29,861,300		7,034,280		36,000,938
Shares issued through reinvestment of dividends	1,337,308		4,814,087		2,639,276		8,513,253
Shares redeemed	(19,008,044	)	(44,891,905	)	(15,737,679	)	(53,998,036	)
Net (decrease) in fund shares	(9,643,065	)	(10,216,518	)	(6,064,123	)	(9,483,845	)
Shares outstanding at end of period	49,741,512		59,384,577		95,770,412		101,834,535

	High Yield Bond Fund
	Class M		Class M		Class I
	Period Ended September 30, 2003 (Unaudited)		Year Ended March 31, 2003		Period Ended September 30, 2003 (Unaudited)
Change in Fund shares:
Shares outstanding at beginning of period	4,306,807		0		0
Shares sold	6,789,870		4,605,139		1,732,238
Shares issued through reinvestment of dividends	166,408		100,326		42,261
Shares redeemed	(1,938,957	)	(398,658	)	(406,811	)
Net increase in fund shares	5,017,321		4,306,807		1,367,688
Shares outstanding at end of period	9,324,128		4,306,807		1,367,688

* Class M Shares commenced operations on June 30, 2003

56

Notes to Financial Statements (continued)

	Strategic Income Fund
	Class M*		AlphaTrak 500 Fund
	Period Ended September 30, 2003 (Unaudited)		Period Ended September 30, 2003 (Unaudited)		Year Ended March 31, 2003
Change in Fund shares:
Shares outstanding at beginning of period	0		16,093,923		10,574,517
Shares sold	409,458		1,969,988		8,555,747
Shares issued through reinvestment of dividends	377		128,127		883,916
Shares redeemed	(20,333	)	(1,583,013	)	(3,920,257	)
Net increase in fund shares	389,502		515,102		5,519,406
Shares outstanding at end of period	389,502		16,609,025		16,093,923

* Class M Shares commenced operations on June 30, 2003

8. FEDERAL TAX INFORMATION

Capital Loss Carryforwards:

At March 31, 2003 the following Funds had available for Federal income tax purposes unused capital losses as follows:

Fund	Expiring in 2009		Expiring in 2010		Expiring in 2011
Total Return Bond Fund	$	0	$	0	$	47,640,050
Low Duration Bond Fund		3,331,863		7,389,225		1,278,315
AlphaTrak 500 Fund		2,732,213		15,738,725		25,134,358

Post-October Loss:

Under the current tax law, capital losses realized after October 31 and prior to the Funds’ fiscal year end may be deferred and treated as occurring on the first day of the following fiscal year. For the period ended March 31, 2003, the following Funds had deferred capital losses.

Fund	Losses Deferred
Total Return Bond Fund	$	27,969,131
Low Duration Bond Fund		3,621,598
AlphaTrak 500 Fund		5,614,923

57

Board of Trustees

Scott B. Dubchansky

David H. Edington

Keith T. Holmes

Martin Luther King III

Daniel D. Villanueva

Andrew Tarica

Ronald J. Consiglio

David Lippman

Officers

Scott B. Dubchansky

Chairman of the Board, President, and

Principal Executive Officer

Joseph D. Hattesohl

Treasurer and Principal Financial Officer

Arlana D. Williams

Assistant Treasurer and Principal Accounting Officer

Lara E. Mulpagano

Secretary

James E. Menvielle

Assistant Treasurer

Adviser:	Auditors:
Metropolitan West Asset Management, LLC 11766 Wilshire Boulevard, Suite 1580 Los Angeles, CA 90025	Deloitte & Touche LLP 350 S. Grand Avenue, Suite 200 Los Angeles, CA 90071
Custodian:	Distributor:
The Bank of New York 100 Church Street, 10th Floor New York, NY 10286	PFPC Distributors, Inc. 760 Moore Road King of Prussia, PA 19406
Transfer Agent:	Legal Counsel:
PFPC Inc. 760 Moore Road King of Prussia, PA 19406	Paul, Hastings, Janofsky & Walker LLP 55 Second Street, 24th Floor San Francisco, CA 94105-3441

For Additional Information about the

Metropolitan West Funds call:

(310) 966-8900 or

(800) 241-4671 (toll-free)

A description of the Funds’ proxy voting policies and procedures is available (i) without charge, upon request, by calling (800) 241-4671;  and (ii) on the Securities and Exchange Commission’s website at http://www.sec.gov.

This report is submitted for general information to the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective Prospectus which includes details regarding the Funds’ objectives, policies, expenses and other information.

METSAR-903

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. [Reserved]

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. [Reserved]

Item 9. Controls and Procedures.

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last 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.

Item 10. Exhibits.

(a)(1) Not applicable.

(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)                Metropolitan West Funds                                                          

By (Signature and Title)*       /s/ Scott B. Dubchansky                                                 

                                                     Scott B. Dubchansky, Chairman and President

                                                     Principal Executive Officer

Date                11/26/2003                                                             

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*       /s/ Scott B. Dubchansky                                                 

                                                     Scott B. Dubchansky, Chairman and President

                                                     Principal Executive Officer

Date                11/26/2003                                                             

By (Signature and Title)*       /s/ Joseph D. Hattesohl                                                                                                  

                                                     Joseph D. Hattesohl, Treasurer

                                                     Principal Financial Officer

Date                11/26/2003                                                             

^* Print the name and title of each signing officer under his or her signature.