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

Date of reporting period: September 30, 2004

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

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

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

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, 2004

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 – M-Class (MWATX)

Metropolitan West Strategic Income Fund – M-Class (MWSTX), I-Class (MWSIX)

Metropolitan West Ultra Short Bond Fund – M-Class (MWUSX), I-Class (MWUIX)

Market Environment and Review

No sooner than the employment statistics in March, April, and May finally reflected what had been a year-long accumulation of broad-based strength in the economy, a “soft patch” was revealed in the consumer sector in the late Spring that fueled misgivings on the sustainability of the recovery. First, optimism waned in the Summer as job growth eased in June and July (though it did pick up modestly in August, albeit not at the loftier levels of the Spring). As a further challenge to consumer psychology since our last Semi-Annual report, one needed to look no further than surging oil prices, which climbed to near $50 at quarter-end, from a $30 level at 2003 year-end. Doubtlessly, global economic recovery – a good thing – contributed to heightened demand, accounting for some of the hike. However, the real premium – put as high as $20 a barrel – has come from concern over potential supply disruptions as a result of geopolitical conditions in the Middle East, Russia, and, closer to home, Venezuela. The bottom line is that second quarter GDP growth was adjusted to 3.3%, a respectable result on the heels of four straight quarterly postings in excess of 4% annualized growth (including Q3 2003’s torrid 7.4% pace).

While the Fed acknowledged the lull in the pace of economic activity, it nonetheless maintained its commitment to return the Fed Funds rate to a higher level from a generational low that has been negative on a real basis for several quarters. Acting on that commitment, the Fed has ratcheted up its monetary policy gauge to 1.75% with three straight 25 basis point increases starting with the June 30 meeting of the Federal Open Market Committee. And why not? The GDP figures alone suggested that the “emergency” level of monetary accommodation afforded by a 1% Fed Funds rate was no longer necessary. Moreover, even the “beleaguered” manufacturing sector has posted 17 straight months of expansionary readings as reported by the Institute for Supply Management, with the last eleven months as high or considerably higher than any month in the buoyant 1990s. Corporate profitability, a barometer of productivity and precursor to enhanced job creation, continues to pick up out of the 2000-2001 slowdown. Also, even though the Fed is inclined to claim that inflationary pressures are under control, and admittedly, the most recent Consumer Price Index (CPI) reports support the Fed perspective, commodity prices and the Producer Price Index (PPI) have trended higher, sharply in the case of commodities over the course of the recovery.

The yield curve revealed the seemingly contrary indicators, manifest in substantial flattening over the past six months. The 2-Year Treasury, closely associated with Fed activity, rose more than 100 basis points in yield between March 31 and September 30. Meanwhile, the 10-Year Treasury, which raced 120 basis points higher to 4.9% between March and June on the stronger employment indicators, settled to near 4% as the third quarter came to a close, less than 30 basis points higher than March 31. Overall, the twist to the yield curve betrayed a “half empty” skepticism of the economic momentum and an assumption that commodity and producer prices will somehow be absorbed before reaching consumers.

A flood of liquidity and declining yields delivered solidly positive returns across the bond market in the third quarter, reversing the price losses associated with the Spring run-up in rates. Unlike Treasury rallies of recent vintage, the Summer rally was accompanied by strength in the broad corporate sector, which saw yield spreads narrow during the quarter, leading to favorable returns. Among the quality sectors of investment grade corporate issuers (AAA through BBB), duration-adjusted performance was fairly uniform, indicating a benign credit environment – unsurprising given the laser-like focus on balance sheet strength and liquidity in the past two years. Mortgage- and asset-backed issues also performed well when adjusted for duration. ABS backed by manufactured housing (MH) receivables continued to pace the consumer debt markets, as an ongoing improvement in fundamentals combined with strong demand for investment grade MH ABS drove outperformance over the six-month period. Commercial MBS earned solid returns through the period as the search for high quality and premium spread, even if slight, rewarded those issues.

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Fund Results

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

	Performance Through September 30, 2004
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		Since Inception (Annualized)
MWTRX (Inception: March 31, 1997)	0.06	%	6.31	%	5.00	%	6.98	%	7.72	%
Lehman Bros. Aggregate Index*	0.68	%	3.68	%	5.87	%	7.47	%	7.38	%
MWTIX (Inception: March 31, 2000)	0.16	%	6.53	%	5.25	%	—		7.38	%
Lehman Bros. Aggregate Index*	0.68	%	3.68	%	5.87	%	—		7.84	%

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

	Performance Through September 30, 2004
	6 Months (Cumulative)		1 Year (Annualized)		Since Inception (Annualized)
MWIMX (Inception: June 30, 2003)	0.97	%	5.04	%	4.90	%
Lehman Bros. Intermediate Gov’t. Credit Index*	0.11	%	2.66	%	2.10	%
MWIIX (Inception: June 28, 2002)	1.17	%	5.26	%	9.79	%
Lehman Bros. Intermediate Gov’t. Credit Index*	0.11	%	2.66	%	5.87	%

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

	Performance Through September 30, 2004
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		Since Inception (Annualized)
MWLDX (Inception: March 31, 1997)	0.16	%	3.20	%	2.56	%	4.68	%	5.58	%
Merrill Lynch 1-3 Year US Treasury Index*	-0.11	%	1.04	%	3.08	%	5.04	%	5.42	%
MWLIX (Inception: March 31, 2000)	0.25	%	3.40	%	2.72	%	—		4.74	%
Merrill Lynch 1-3 Year US Treasury Index*	-0.11	%	1.04	%	3.08	%	—		5.19	%

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

	Performance Through September 30, 2004
	6 Months (Cumulative)		1 Year (Annualized)		Since Inception (Annualized)
MWHYX (Inception: September 30, 2002)	3.34	%	10.65	%	22.39	%
Merrill Lynch US Corp. High Yield Index*	3.84	%	12.56	%	20.92	%
MWHIX (Inception: March 31, 2003)	3.47	%	10.93	%	17.03	%
Merrill Lynch US Corp. High Yield Index*	3.84	%	12.56	%	17.44	%

Metropolitan West AlphaTrak 500 Fund – M-Class (MWATX)

	Performance Through September 30, 2004
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		Since Inception (Annualized)
MWATX (Inception: June 29, 1998)	-0.13	%	14.85	%	3.53	%	-1.05	%	1.81	%
Standard & Poor’s 500 Equity Index*	-0.18	%	13.88	%	4.05	%	-1.29	%	1.15	%

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.mwamllc.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

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Metropolitan West Strategic Income Fund – M-Class (MWSTX), I-Class (MWSIX)

	Performance Through September 30, 2004
	6 Months (Cumulative)		1 Year (Annualized)		Since Inception (Annualized)
MWSTX (Inception: June 30, 2003)	1.63	%	9.43	%	14.22	%
Merrill Lynch 3-Month US Treasury Index* + 2%	1.61	%	3.13	%	3.11	%
MWSIX (Inception: March 31, 2004)	1.76	%	—		1.76	%†
Merrill Lynch 3-Month US Treasury Index* + 2%	1.61	%	—		1.61	%†

Metropolitan West Ultra Short Bond Fund – M-Class (MWUSX), I-Class (MWUIX)

	Performance Through September 30, 2004
	6 Months (Cumulative)		1 Year (Annualized)		Since Inception (Annualized)
MWUSX (Inception: June 30, 2003)	1.24	%	5.33	%	6.19	%
Merrill Lynch 1-Year US Treasury Index*	0.19	%	0.90	%	0.97	%
MWUIX (Inception: July 31, 2004)	—		—		0.39	%†
Merrill Lynch 1-Year US Treasury Index*	—		—		0.26	%†

^† Cumulative performance

The Market Ahead

Management focus across the Funds remains anchored by an expectation for heightened pressure on interest rates and further flattening in the Treasury yield curve. With the ongoing potential for higher interest rates, Treasury and mortgage issues remain susceptible to interest rate and mortgage extension risks. In response, the Funds hold a variety of issues designed to provide protection and flexibility. Included among the types of issues held across the Funds are: Treasury Inflation-Protected Securities (TIPS), callable short-term agency issues, and well-structured mortgage-backed securities (PAC CMOs and IOs) and asset-backed securities (AAA- and AA-rated senior tranche home mortgage loans).

Given the strong rally in the corporate and high yield sectors through the early part of 2004, exposure in those areas now primarily emphasizes yield capture, with expectations for relatively stable spreads as the “virtuous” part of the credit cycle plays out into 2005. Continuation of the virtuous cycle should keep opportunities available, though escalating the importance of credit selection as yield spreads narrow toward historical averages. A component of this protective strategy has been to move up in the capital structure of issuers with a benefit of stronger creditor protection. As a result, the Funds have increased holdings in bank debt (much of it floating rate) and other secured debt such as airline enhanced equipment trust certificates (EETCs) supported by attractive – and improving – loan-to-value ratios on the aircraft collateral.

A Consistent Long-Term Value Orientation

In closing, MWAM remains committed to a philosophy rooted in a value with a long-term perspective. As such, the investment team continues to target consistent 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.

3

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.mwamllc.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

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, Principal Executive Officer and Chairman of the Board of Trustees

Performance data quoted represents past performance and is no guarantee of future results. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. One-year returns are due in part to market conditions that might not be repeated in the future. 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 ratings, such as “AAA/AA,” refer to the credit risk of individual securities, and not to the Fund. Investment by certain Funds in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities.

The High Yield Bond Fund purchases more speculative bonds, which are subject to greater risks than higher-rated bonds. The Strategic Income Fund engages in sophisticated investment strategies. These Funds may not be suitable for all investors.

The views and forecasts expressed here are as of September 2004, are subject to change without notice and may not come to pass. Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision-making, economic or market conditions or other unanticipated factors.

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

Funds are distributed by PFPC Distributors, Inc.

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

To be preceded or accompanied by a prospectus. DFU 11/04

4

Metropolitan West Funds

Disclosure of Fund Expenses

For the Six Months Ended September 30, 2004 (Unaudited)

We believe it is important for you to understand the impact of fees regarding your investment. All mutual funds have operating expenses. As a shareholder of a mutual fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

This table illustrates your fund’s costs in two ways:

Actual Fund Return: This section helps you to estimate the actual expenses, after any applicable fee waivers, that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return for the past six month period, the “Expense Ratio” column shows the period’s annualized expense ratio, and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund at the beginning of the period.

You may use the information here, together with your account value, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund in the first line under the heading entitled “Expenses Paid During Period.”

Hypothetical 5% Return: This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. This example is useful in making comparisons to other mutual funds because the Securities and Exchange Commission requires all mutual funds to provide examples of expenses calculated and based on an assumed 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Please note that the expense shown in the table are meant to highlight and help you compare your ongoing costs only and do not reflect any transactional costs such as sales charges (loads), redemption fees, or exchange fees. The Metropolitan West Funds do not charge any sales loads or exchange fees, but these fees may be present in other funds to which you compare our funds. Therefore, the hypothetical portions of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

	Beginning Account Value 04/01/04		Ending Account Value 09/30/04		Expense Ratio1		Expenses Paid During Period2
Ultra Short Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	1,012.40	0.50	%	$	2.52
Class I	$	1,000.00	$	1,011.70	0.34	%	$	1.71
Hypothetical 5% Return
Class M	$	1,000.00	$	1,022.56	0.50	%	$	2.54
Class I	$	1,000.00	$	1,023.36	0.34	%	$	1.72
Low Duration Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	1,001.60	0.58	%	$	2.91
Class I	$	1,000.00	$	1,002.50	0.39	%	$	1.96
Hypothetical 5% Return
Class M	$	1,000.00	$	1,022.16	0.58	%	$	2.94
Class I	$	1,000.00	$	1,023.11	0.39	%	$	1.98

¹ Annualized, based on the Portfolio’s most recent fiscal half-year expenses.

² Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365.

5

	Beginning Account Value 04/01/04		Ending Account Value 09/30/04		Expense Ratio1		Expenses Paid During Period2
Intermediate Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	1,009.70	0.65	%	$	3.27
Class I	$	1,000.00	$	1,011.70	0.44	%	$	2.22
Hypothetical 5% Return
Class M	$	1,000.00	$	1,021.81	0.65	%	$	3.29
Class I	$	1,000.00	$	1,022.86	0.44	%	$	2.23
Total Return Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	1,000.60	0.65	%	$	3.26
Class I	$	1,000.00	$	1,001.60	0.44	%	$	2.21
Hypothetical 5% Return
Class M	$	1,000.00	$	1,021.81	0.65	%	$	3.29
Class I	$	1,000.00	$	1,022.86	0.44	%	$	2.23
High Yield Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	1,033.40	0.80	%	$	4.08
Class I	$	1,000.00	$	1,034.70	0.55	%	$	2.81
Hypothetical 5% Return
Class M	$	1,000.00	$	1,021.06	0.80	%	$	4.05
Class I	$	1,000.00	$	1,022.31	0.55	%	$	2.79
Strategic Income Fund
Actual Fund Return
Class M	$	1,000.00	$	1,016.30	2.29	%	$	11.57
Class I	$	1,000.00	$	1,017.60	2.03	%	$	10.27
Hypothetical 5% Return
Class M	$	1,000.00	$	1,013.29	2.29	%	$	11.56
Class I	$	1,000.00	$	1,014.54	2.03	%	$	10.25
AlphaTrak 500 Fund
Actual Fund Return	$	1,000.00	$	998.70	0.41	%	$	2.05
Hypothetical 5% Return	$	1,000.00	$	1,023.01	0.41	%	$	2.08

¹ Annualized, based on the Portfolio’s most recent fiscal half-year expenses.

² Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365.

6

Metropolitan West Funds

Summary of Portfolio Holdings

These tables are provided to give you a quick reference to the composition of each Funds’ portfolio holdings. We hope that this information enhances your understanding of the different kinds of investments in the Funds.

Ultra Short Bond Fund

Sector Diversification:
Asset-Backed Securities	31.06	%
U.S. Agency Discount Notes	19.80	%
U.S. Agency Mortgage-Backed	18.68	%
Non-Agency Mortgage-Backed	16.78	%
Corporate Bonds	12.31	%
U.S. Agency Securities	1.00	%
Money Market RIC	0.25	%
Other	0.07	%
Commercial Mortgage-Backed	0.05	%
Total	100.00	%

Distribution by Quality Rating:
US Treasury	2.18	%
Agency	37.30	%
AAA	35.33	%
AA	5.03	%
A	6.36	%
BBB	10.95	%
BB or below	2.85	%
Total	100.00	%

Distribution by Maturity:
0 to 1 years	36.70	%
1 year to 3 years	54.50	%
3 years to 5 years	7.40	%
5 years to 10 years	0.40	%
10 years to 20 years	0.20	%
20 years +	0.80	%
Total	100.00	%

Low Duration Bond Fund

Sector Diversification:
Asset-Backed Securities	28.45	%
Corporate Bonds	25.34	%
U.S. Agency Discount Notes	16.93	%
Non-Agency Mortgage-Backed	13.39	%
U.S. Agency Mortgage-Backed	8.43	%
U.S. Agency Securities	2.77	%
Common Stock	1.63	%
U.S. Treasury Securities	1.35	%
Commercial Mortgage-Backed	0.93	%
Other	0.58	%
Money Market RIC	0.20	%
Total	100.00	%

Distribution by Quality Rating:
US Treasury	3.19	%
Agency	26.29	%
AAA	23.13	%
AA	9.01	%
A	15.17	%
BBB	13.91	%
BB or below	9.30	%
Total	100.00	%

Distribution by Maturity:
0 to 1 years	29.10	%
1 year to 3 years	38.90	%
3 years to 5 years	17.20	%
5 years to 10 years	11.10	%
10 years to 20 years	3.70	%
20 years +	0.00	%
Total	100.00	%

Intermediate Bond Fund

Sector Diversification:
Corporate Bonds	24.64	%
Asset-Backed Securities	17.31	%
U.S. Agency Mortgage-Backed	14.05	%
Non-Agency Mortgage-Backed	13.20	%
U.S. Agency Discount Notes	13.11	%
U.S. Treasury Securities	12.87	%
U.S. Agency Securities	2.22	%
Other	1.69	%
Money Market RIC	0.91	%
Total	100.00	%

Distribution by Quality Rating:
US Treasury	14.48	%
Agency	27.77	%
AAA	17.84	%
AA	8.28	%
A	10.26	%
BBB	11.99	%
BB	9.38	%
Total	100.00	%

Distribution by Maturity:
0 to 1 years	18.80	%
1 year to 3 years	27.00	%
3 years to 5 years	13.30	%
5 years to 10 years	29.80	%
10 years to 20 years	6.30	%
20 years +	4.80	%
Total	100.00	%

7

Total Return Bond Fund

Sector Diversification:
Corporate Bonds	29.17	%
Asset-Backed Securities	24.09	%
U.S. Agency Discount Notes	13.17	%
U.S. Treasury Securities	11.09	%
U.S. Agency Mortgage-Backed	10.79	%
Commercial Mortgage-Backed	3.61	%
Common Stock	2.56	%
Non-Agency Mortgage-Backed	2.40	%
U.S. Agency Securities	2.21	%
Other	0.91	%
Total	100.00	%

Distribution by Quality Rating:
US Treasury	11.54	%
Agency	25.71	%
AAA	7.67	%
AA	9.89	%
A	8.48	%
BBB	17.16	%
BB	19.55	%
Total	100.00	%

Distribution by Maturity:
0 to 1 years	21.00	%
1 year to 3 years	17.80	%
3 years to 5 years	8.10	%
5 years to 10 years	32.20	%
10 years to 20 years	10.00	%
20 years +	10.90	%
Total	100.00	%

High Yield Bond Fund

Sector Diversification:
Corporate Bonds	91.57	%
Asset-Backed Securities	2.24	%
Common Stock	2.12	%
U.S. Agency Mortgage-Backed	1.79	%
Other	1.33	%
Non-Agency Mortgage-Backed	0.95	%
Total	100.00	%

Distribution by Quality Rating:
US Treasury	0.08	%
Agency	1.71	%
AAA	-0.99	%
AA	2.31	%
A	0.00	%
BBB	0.00	%
BB	18.62	%
B	66.67	%
CCC	10.64	%
CC or below	0.96	%
Total	100.00	%

Distribution by Maturity:
0 to 1 years	45.50	%
1 year to 3 years	44.30	%
3 years to 5 years	7.60	%
5 years to 10 years	1.50	%
10 years to 20 years	0.50	%
20 years +	0.60	%
Total	100.00	%

Strategic Income Fund

Sector Diversification:
Asset-Backed Securities	35.01	%
Corporate Bonds	27.56	%
Money Market RIC	9.87	%
Other	9.33	%
U.S. Agency Mortgage-Backed	8.85	%
U.S. Agency Discount Notes	4.04	%
Non-Agency Mortgage-Backed	2.69	%
Equities	1.66	%
Commercial Mortgage-Backed	0.99	%
Total	100.00	%

Distribution by Quality Rating:
US Treasury	1.85	%
Agy	11.09	%
AAA	33.62	%
AA	14.11	%
A	5.35	%
BBB	13.06	%
BB	20.92	%
Total	100.00	%

Distribution by Maturity:
0 to 1 years	25.90	%
1 year to 3 years	19.70	%
3 years to 5 years	18.90	%
5 years to 10 years	27.60	%
10 years to 20 years	2.40	%
20 years +	5.50	%
Total	100.00	%

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AlphaTrak^SM 500 Fund

Sector Diversification:
Corporate Bonds	29.76	%
Asset-Backed Securities	25.85	%
U.S. Agency Discount Notes	23.76	%
Non-Agency Mortgage-Backed	9.69	%
U.S. Agency Mortgage-Backed	6.30	%
Common Stock	2.40	%
Other	1.07	%
U.S. Agency Securities	1.03	%
Money Market RIC	0.14	%
Total	100.00	%

Distribution by Quality Rating:
US Treasury	1.64	%
Agy	29.44	%
AAA	22.95	%
AA	6.61	%
A	12.27	%
BBB	14.97	%
BB	12.12	%
Total	100.00	%

Distribution by Maturity:
0 to 1 years	44.50	%
1 year to 3 years	31.50	%
3 years to 5 years	15.40	%
5 years to 10 years	5.50	%
10 years to 20 years	2.20	%
20 years +	0.90	%
Total	100.00	%

All figures presented as percentages of total net assets. Credit rating for each fund was determined by giving each fixed income security the highest rating assigned by a nationally recognized statistical rating organization. If a security is not rated, the Adviser has assigned a credit rating based upon the credit rating of comparable quality rated securities.

The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The first Form N-Q will be filed for the quarter ending December 31, 2004. The Funds’ Form N-Q will be available on the SEC’s website at www.sec.gov and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders also may obtain this information at www.mwamllc.com or by calling the Funds at 1-800-241-4671.

9

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
BONDS 79.88%
ASSET-BACKED SECURITIES—31.06%3
	Aames Mortgage Trust 1999-2 AF, 7.59%, 10/15/29	$	60,931	$	62,947
	Aames Mortgage Trust 2000-2 A5F, 7.68%, 12/25/28		955,000		976,818
	Aames Mortgage Trust 2002-1 A3, 6.90%, 06/25/32		150,000		158,971
	ABFS Mortgage Loan Trust 2002-1 A5, 6.51%, 12/15/32		100,000		105,904
	ABFS Mortgage Loan Trust 2002-2
	A5, 6.41%, 07/15/33		115,000		118,353
	A7, 5.22%, 07/15/33		261,477		259,233
	ABFS Mortgage Loan Trust 2002-3, 4.26%, 09/15/33		1,210,773		1,225,328
	ABFS Mortgage Loan Trust 2002-4 A, 4.43%, 12/15/33		745,579		751,621
	Ameriquest Mortgage Securities, Inc. 2003-10 AF3, 3.23%, 12/25/33		900,000		899,839
	Amortizing Residential Collateral Trust 2002-BC3 AIO (IO), 6.00%, 05/25/056		233,636		5,622
	ARG Funding Corp. 2003-1A A1, 2.26%, 03/20/074,7		1,410,000		1,411,666
	Bear Stearns Asset Backed Securities, Inc. 2000-2 M1, 8.04%, 08/25/30		2,500,000		2,642,838
	Bear Stearns Asset Backed Securities, Inc. 2003-2 AIO (IO), 5.00%, 12/25/056		1,327,000		74,644
	Chase Funding Mortgage Loan Asset-Backed Certificates 2001-1 2M2, 2.77%, 12/25/307		1,366,961		1,372,034
	CIT Group Home Equity Loan Trust 1998-1 A7, 6.30%, 01/15/13		175,340		180,195
	CIT Group Home Equity Loan Trust 2002-1 MV2, 3.09%, 08/25/307		1,200,000		1,207,104
	Conseco Finance 2000-B AF6, 7.80%, 05/15/20		23,102		24,098
	Conseco Finance 2000-C B2, 3.81%, 07/15/29		137,794		130,918
	Conseco Finance 2000-D A5, 8.41%, 12/15/25		660,000		688,402
	Conseco Finance 2000-F MF1, 8.30%, 05/15/27		491,734		502,564
	Conseco Finance 2001-A
	IA5, 7.06%, 03/15/32		1,000,000		1,009,889
	IIB1, 10.30%, 03/15/32		1,100,000		1,185,267
	IM2, 8.02%, 03/15/32		413,397		418,617
	Conseco Finance 2001-C A4, 6.19%, 03/15/30		125,788		132,206
	Conseco Finance 2002-C
	AF3, 4.58%, 06/15/32		47,024		47,119
	AF4, 5.97%, 06/15/32		850,000		867,816
	Conseco Finance Securitizations Corp. 2000-1 A4, 7.62%, 05/01/31		1,067,417		1,096,693
	Conseco Finance Securitizations Corp. 2000-5 A4, 7.47%, 02/01/32		27,431		28,216

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Conseco Finance Securitizations Corp. 2000-6 A4, 6.77%, 09/01/32	$	601,050	$	615,834
	Conseco Finance Securitizations Corp. 2001-3 A2, 5.16%, 05/01/33		1,010,640		1,018,820
	Conseco Finance Securitizations Corp. 2001-4 A2, 5.15%, 09/01/33		1,039,852		1,049,977
	Contimortgage Home Equity Loan Trust 1998-1 A7, 6.87%, 12/15/22		47,935		48,068
	Contimortgage Home Equity Loan Trust 1999-1 A6, 6.85%, 10/25/29		30,447		31,058
	Contimortgage Home Equity Loan Trust 1999-3 A6, 7.68%, 12/25/29		47,168		48,577
	CS First Boston Mortgage Securities Corp. 2001-HE25 M2, 3.54%, 03/25/327		1,432,000		1,451,729
	CS First Boston Mortgage Securities Corp. 2001-MH29 A, 5.60%, 09/25/31		442,410		445,068
	Deutshe Financial Capital Securitization 1997-I A3, 6.75%, 09/15/27		619,085		642,702
	Empire Funding Home Loan Owner Trust 1997-5 M1, 7.91%, 04/25/24		69,721		69,624
	EQCC Home Equity Loan Trust 1998-1 A5F, 6.85%, 01/15/28		130,552		131,305
	EQCC Home Equity Loan Trust 1999-1 A4F, 6.13%, 07/20/28		105,261		107,739
	EQCC Home Equity Loan Trust 1999-2 A4F, 6.75%, 08/25/27		1,020,970		1,049,794
	Equity One ABS, Inc. 2000-1 A5, 8.02%, 02/25/32		1,005,000		1,051,584
	First Alliance Mortgage Loan Trust 1994-3 A1, 7.83%, 10/25/25		76,500		76,370
	GE Capital Mortgage Services, Inc. 1998-HE1 A7, 6.47%, 06/25/28		34,224		34,519
	GMAC Mortgage Corporation Loan Trust 1999-2 A4, 8.02%, 11/25/29		56,927		56,889
	GMAC Mortgage Corporation Loan Trust 2000-CL1 B, 9.00%, 06/25/26		104,676		107,330
	GMAC Mortgage Corporation Loan Trust 2003-GH1 A5, 5.60%, 07/25/34		125,000		129,105
	Green Tree Financial Corp. 1993-1 A3, 6.90%, 04/15/18		3,592		3,592
	Green Tree Financial Corp. 1994-1 A5, 7.65%, 04/15/19		29,980		31,562
	Green Tree Financial Corp. 1996-8 A6, 7.60%, 10/15/27		78,339		84,758
	Green Tree Financial Corp. 1998-6 A6, 6.27%, 06/01/30		200,000		200,868
	Green Tree Financial Corp. 1999-1 A4, 5.76%, 11/01/18		432,410		438,221
	Green Tree Financial Corp. 1999-3 A5, 6.16%, 02/01/31		589,763		605,822

See accompanying notes to financial statements.

10

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Green Tree Financial Corp. 1999-4 A5, 6.97%, 05/01/31	$	711,068	$	736,647
	Green Tree Home Improvement Loan Trust 1995-C B2, 7.60%, 07/15/20		1,162,341		1,165,049
	Green Tree Home Improvement Loan Trust 1995-F B2, 7.10%, 01/15/21		305,659		306,183
	Green Tree Home Improvement Loan Trust 1997-C HIM2, 7.35%, 06/15/28		181,776		182,300
	Green Tree Home Improvement Loan Trust 1997-E
	HEM1, 7.28%, 01/15/29		6,506		6,524
	HEM2, 7.48%, 01/15/29		150,000		150,379
	Green Tree Home Improvement Loan Trust 1998-D HEM1, 6.71%, 08/15/29		366,541		369,409
	Green Tree Home Improvement Loan Trust 1999-B M2, 10.54%, 07/15/26		859,406		895,767
	Greenpoint Manufactured Housing 1999-3 1A4, 6.53%, 12/15/19		37,343		38,325
	IMC Home Equity Loan Trust 1997-7 A8, 6.65%, 02/20/29		166,203		166,185
	IMC Home Equity Loan Trust 1998-3 A8, 6.34%, 08/20/29		932,166		942,954
	IMPAC Secured Assets Corp. 2001-2 A4, 7.37%, 04/25/32		44,480		44,822
	IndyMac Manufactured Housing Contract 1998-2 A4, 6.64%, 12/25/27		763,280		783,483
	Irwin Acquisition Trust 2000-A1A M1, 8.85%, 07/25/104		159,852		166,070
	Irwin Home Equity 1999-3 A2, 7.69%, 10/25/09		142,906		145,615
	Irwin Home Equity 2001-2 M2, 3.09%, 07/25/267		20,000		20,085
	Irwin Home Equity 2002-A 2A3, 6.45%, 07/25/32		843,754		853,120
	Keystone Owner Trust 1998-P1 M2, 7.93%, 05/25/254		143,677		146,675
	Master Financial Asset Securitization Trust 1997-1 A8, 8.00%, 01/20/29		49,334		49,317
	Mellon Residential Funding Corp. 2001-HEIL A4, 6.62%, 02/25/21		174,175		178,847
	Mid-State Trust 6 A4, 7.79%, 07/01/35		89,055		96,614
	Mortgage Lenders Network Home Equity Loan 1998-2 A1, 6.61%, 07/25/29		224,364		232,658
	New South Home Equity Trust 1999-1 A4, 6.75%, 03/25/26		556,502		564,742
	Oakwood Mortgage Investors, Inc. 1998-A A4, 6.20%, 05/15/28		15,985		15,730
	Oakwood Mortgage Investors, Inc. 1998-B
	A3, 6.20%, 01/15/15		22,498		22,206
	A4, 6.35%, 03/15/17		1,126,332		1,158,777

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Oakwood Mortgage Investors, Inc. 2000-D A2, 6.74%, 07/15/18	$	275,873	$	279,310
	Oakwood Mortgage Investors, Inc. 2002-B AIO (IO), 6.00%, 05/15/106		126,941		23,669
	Option One Mortgage Loan Trust 1999-2 A5, 6.76%, 05/25/29		200,000		203,078
	Residential Asset Mortgage Products, Inc. 2000-RS1 A1, 8.00%, 03/25/30		151,597		155,874
	Residential Asset Mortgage Products, Inc. 2001-RS1 AI4, 7.01%, 03/25/31		1,297,649		1,330,521
	Residential Asset Mortgage Products, Inc. 2002-RS1 AI4, 6.58%, 01/25/32		188,793		188,622
	Residential Asset Mortgage Products, Inc. 2002-RS3 AI4, 6.14%, 06/25/32		498,023		500,444
	Residential Asset Mortgage Products, Inc. 2002-RS5 AI5, 5.41%, 09/25/32		200,000		205,566
	Residential Asset Mortgage Products, Inc. 2002-RS6 AI4, 4.66%, 02/25/31		1,200,000		1,211,049
	Residential Asset Mortgage Products, Inc. 2002-RZ1 A4, 5.77%, 06/25/29		18,021		18,008
	Residential Asset Mortgage Products, Inc. 2002-RZ3
	A4, 4.73%, 12/25/31		124,955		125,706
	A5, 5.59%, 08/25/32		700,000		719,534
	Residential Asset Mortgage Products, Inc. 2003-RS1 AI4, 4.50%, 03/25/31		1,400,000		1,414,232
	Residential Asset Mortgage Products, Inc. 2003-RS2 AI3, 3.24%, 01/25/29		88,962		88,999
	Residential Asset Securities Corp. 1999-KS2 AI9, 7.15%, 07/25/30		179,931		184,060
	Residential Asset Securities Corp. 2002-KS1 AI4, 5.86%, 11/25/29		1,002,184		1,019,245
	Residential Asset Securities Corp. 2002-KS4 AI3, 4.59%, 10/25/26		3,943		3,955
	Residential Funding Mortgage Securities I 1999-HI6 AI7, 8.10%, 09/25/29		1,115,437		1,144,780
	Residential Funding Mortgage Securities I 2000-HI1 AI7, 8.29%, 02/25/25		122,649		127,633
	Residential Funding Mortgage Securities I 2002-HI2 AI5, 5.98%, 11/25/15		72,886		73,152
	Saxon Asset Securities Trust 1999-3 AF6, 7.53%, 06/25/14		31,367		32,473
	Southern Pacific Secured Assets Corp. 1998-H1 A5, 7.63%, 01/25/29		91,636		91,552

See accompanying notes to financial statements.

11

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Structured Asset Investment Loan Trust 2003-BC6 AIO (IO), 6.00%, 01/25/056	$	524,181	$	4,423
	Structured Asset Investment Loan Trust 2003-BC10 AIO (IO), 6.00%, 03/25/056		195,333		5,677
	Terwin Mortgage Trust 2003-3SL AX (IO), 12.00%, 10/25/334,6		132,000		17,860
	Terwin Mortgage Trust 2003-5SL AX (IO), 10.00%, 10/25/346		340,345		42,366
	Terwin Mortgage Trust 2003-7SL AX (IO), 14.50%, 12/25/334,6		996,667		185,380
	Terwin Mortgage Trust 2004-2SL AX (IO), 10.25%, 02/25/344,6		4,950,001		706,860
	Terwin Mortgage Trust 2004-6SL AX (IO), 8.00%, 06/25/344,6		6,283,333		791,072
	The Money Store Home Equity Trust 1998-B AF8, 6.11%, 05/15/10		17,616		17,705
	UCFC Home Equity Loan 1998-A A7, 6.87%, 07/15/29		560,000		569,493
	UCFC Home Equity Loan 1998-D BF1, 8.97%, 04/15/30		36,133		38,631
	Vanderbilt Acquisition Loan Trust 2002-1 A2, 4.77%, 10/07/18		480,000		485,748
	Vanderbilt Mortgage Finance 1999-B 1A4, 6.55%, 04/07/18		72,486		74,315
	Vanderbilt Mortgage Finance 1999-D IA3, 7.06%, 10/07/17		50,990		52,208
	Total Asset-Backed Securities (Cost $48,897,347)				48,687,520
CORPORATES—12.31%2
Automotive —1.83%	Ford Motor Credit Co.,
	7.50%, 03/15/05		70,000		71,551
	7.60%, 08/01/05		175,000		181,760
	2.79%, 09/28/077 (MTN)		1,190,000		1,189,594
	General Motors Acceptance Corp. (MTN), 3.08%, 09/23/087		1,438,000		1,435,124
					2,878,029
Capital Goods —0.51%	Tyco International Group SA,
	5.88%, 11/01/04		761,000		763,027
	6.38%, 06/15/05		30,000		30,775
					793,802
Communications —0.46%	Sprint Capital Corp.,
	7.90%, 03/15/05		255,000		261,269
	4.78%, 08/17/06		450,000		462,837
					724,106
Electric —2.66%	CenterPoint Energy Resources Corp., 8.13%, 07/15/05		965,000		1,004,633
	Duke Capital LLC, 7.25%, 10/01/04		1,250,000		1,250,000
	Enterprise Capital Trust II, 3.20%, 06/30/287		1,000,000		950,337
	Power Contract Financing LLC, 5.20%, 02/01/064		698,229		708,410
	Virginia Electric & Power Co., 8.25%, 03/01/25		250,000		263,872
					4,177,252

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued)	Chesapeake Energy Corp., 8.38%, 11/01/08	$	1,190,000	$	1,303,050
Energy —0.83%
Finance —0.07%	Capital One Bank, 8.25%, 06/15/05		100,000		103,829
Health Care —0.39%	HCA, Inc., 6.91%, 06/15/05		600,000		613,712
Homebuilding —2.11%	Centex Corp., 9.75%, 06/15/05		565,000		590,491
	Ryland Group, Inc., 9.75%, 09/01/10		1,250,000		1,392,188
	Schuler Homes, Inc., 9.38%, 07/15/09		1,200,000		1,320,000
					3,302,679
Real Estate Investment Trust (REIT)—1.15%	Colonial Realty LP (MTN), 8.82%, 02/07/05		530,000		540,650
	Developers Diversified Realty Corp. (MTN), 6.84%, 12/16/04		1,250,000		1,260,275
					1,800,925
Technology —1.34%	Electronic Data Systems Corp., 7.13%, 05/15/054		1,250,000		1,277,694
	Ingram Micro, Inc., 9.88%, 08/15/08		750,000		824,063
					2,101,757
Transportation —0.96%	Air 2 US A, 8.03%, 10/01/194		761,527		636,503
	Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08		945,485		866,310
					1,502,813
	Total Corporates (Cost $19,295,237)				19,301,954
MORTGAGE-BACKED—35.51%3
Commercial Mortgage-Backed —0.05%	Structured Asset Securities Corp. 1995-C4 G, 9.11%, 06/25/26		75,000		74,477
Non-Agency Mortgage-Backed —16.78%	ABN Amro Mortgage Corp. 2002-1A 1A1, 5.85%, 06/25/32		119,965		120,831
	Banc of America Funding Corp. 2001-1 1A12, 6.75%, 11/20/32		11,552		11,601
	Banc of America Funding Corp. 2003-2 1A1, 6.50%, 06/25/32		320,274		330,683
	Bank of America Mortgage Securities 2002-9 3A1, 6.00%, 10/25/17		53,417		53,733
	Bank of America Mortgage Securities 2003-A 2A2, 4.57%, 02/25/33		95,802		96,391
	Citicorp Mortgage Securities, Inc. 2001-10M, 6.41%, 07/25/31		1,867,407		1,869,741
	Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2, 6.50%, 10/25/33		473,504		481,165

See accompanying notes to financial statements.

12

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) Non-Agency Mortgage-Backed (continued)	Citigroup Mortgage Loan Trust, Inc. 2003-UST1 A1, 5.50%, 12/25/18	$	1,549,123	$	1,578,095
	Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41, 5.20%, 02/25/347		1,318,103		1,330,691
	Countrywide Alternative Loan Trust 2001-12 A7, 6.50%, 01/25/32		53,162		53,205
	Countrywide Home Loans 2003-18 A5, 07/25/336,7		3,207		3,220
	CS First Boston Mortgage Securities Corp. 2002-29 2A3, 7.00%, 10/25/32		1,000,000		1,040,383
	CS First Boston Mortgage Securities Corp. 2002-AR31 4A2, 5.37%, 11/25/327		200,000		200,286
	Fifth Third Mortgage Loan Trust 2002-FTB1 5A1, 4.96%, 11/19/327		441,747		449,496
	First Horizon Mortgage Pass-Through Trust 2003-AR2 1A1, 4.45%, 07/25/337		1,121,956		1,119,421
	Mastr Asset Securitization Trust 2002-6 B1, 6.13%, 10/25/32		1,448,751		1,472,039
	Mastr Seasoned Securities Trust 2004-1 4A1, 5.26%, 10/25/32		2,500,000		2,547,532
	Mellon Residential Funding Corp. 1998-TBC1 A3, 3.57%, 10/25/287		801,981		814,334
	Residential Accredit Loans, Inc. 2002-QS17 NB1, 6.00%, 11/25/32		554,594		565,671
	Residential Asset Mortgage Products, Inc. 2004-SL1
	A2, 8.50%, 11/25/31		1,035,437		1,102,898
	A7, 7.00%, 11/25/31		283,116		296,743
	A8, 6.50%, 11/25/31		1,816,232		1,886,478
	Residential Funding Mortgage Securities I 2002-S19 A2, 6.00%, 12/25/32		36,490		36,617
	Structured Asset Securities Corp. 1996-A A1, 8.58%, 04/25/277		112,478		112,907
	Structured Asset Securities Corp. 2001-15A 4A1, 6.00%, 10/25/31		82,774		87,555
	Structured Asset Securities Corp. 2002-8A 6A, 6.87%, 05/25/327		28,087		28,875
	Terwin Mortgage Trust 2004-13AL 2PX (IO), 0.34%, 08/25/344,6		22,424,804		470,921
	Washington Mutual 2002-AR10 A6, 4.82%, 10/25/32		471,283		474,356
	Washington Mutual 2002-AR15 A5, 4.38%, 12/25/32		983,123		986,738
	Washington Mutual 2002-AR18 A, 4.16%, 01/25/33		770,375		769,095
	Washington Mutual 2003-AR1 A4, 4.13%, 03/25/33		675,468		676,851

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) Non-Agency Mortgage-Backed (continued)	Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 4A7, 5.50%, 02/25/33	$	446,053	$	448,270
	Washington Mutual MSC Mortgage Pass-Through Certificates 2001-MS12 CB1, 6.60%, 11/25/31		117,460		117,145
	Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS1 1A, 5.00%, 02/25/18		1,046,004		1,037,471
	Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A, 7.00%, 12/25/33		1,111,566		1,165,426
	Washington Mutual MSC Mortgage Pass-Through Certificates 2004-RA1 2A, 7.00%, 03/25/34		1,045,564		1,068,261
	Wells Fargo Mortgage Backed Securities Trust 2002-18 1A8, 6.00%, 12/25/32		444,165		464,607
	Wells Fargo Mortgage Backed Securities Trust 2002-D
	1A2, 5.69%, 08/25/327		137,740		138,943
	2A3, 5.65%, 08/25/32		791,976		799,022
					26,307,697
U.S. Agency Mortgage-Backed —18.68%	Fannie Mae 1988-12 A, 6.19%, 02/25/187		391,761		442,531
	Fannie Mae 1992-50 F, 2.34%, 04/25/077		256,475		257,559
	Fannie Mae 1992-53 G, 7.00%, 04/25/07		138,724		143,298
	Fannie Mae 1993-50 PY, 5.50%, 10/25/22		28,392		28,437
	Fannie Mae 1993-80 S, 8.62%, 05/25/237		33,996		34,011
	Fannie Mae 1994-10 H, 6.50%, 08/25/22		8,581		8,574
	Fannie Mae 1994-55 S, 13.73%, 12/25/237		42,327		47,304
	Fannie Mae 1997-23 PB, 6.63%, 01/25/22		218,170		227,429
	Fannie Mae 1999-19 TD, 6.50%, 04/25/13		153,879		155,688
	Fannie Mae 1999-41 PD, 6.50%, 08/25/13		85,056		86,300
	Fannie Mae 2000-27 AN, 6.00%, 08/25/30		52,962		54,452
	Fannie Mae 2001-42 SB, 8.50%, 09/25/31		19,753		20,571
	Fannie Mae 2002-9 PB, 6.00%, 11/25/14		63,296		63,610
	Fannie Mae 2002-97 PD, 5.00%, 03/25/22		1,215,000		1,233,020
	Fannie Mae 2003-124 IO (IO), 5.25%, 03/25/31		1,715,887		192,039
	Fannie Mae 2003-124 TS, 9.80%, 01/25/34		518,652		552,032
	Fannie Mae 2003-13 GI (IO), 5.50%, 06/25/32		705,677		38,475

See accompanying notes to financial statements.

13

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed (continued)	Fannie Mae 2003-16 KA, 6.00%, 04/25/30	$	13,076	$	13,167
	Fannie Mae 2003-37 IG (IO), 5.50%, 05/25/32		1,045,306		139,980
	Fannie Mae 2003-6 UH (IO), 5.50%, 07/25/22		892,302		148,874
	Fannie Mae 2003-85 IE (IO), 5.50%, 06/25/29		329,938		44,180
	Fannie Mae 342 2 (IO), 6.00%, 09/01/33		626,683		128,481
	Fannie Mae Pool 111643, 4.52%, 09/01/207		51,045		51,277
	Fannie Mae Pool 190656, 6.50%, 02/01/14		867,077		917,080
	Fannie Mae Pool 303683, 6.50%, 08/01/25		36,636		38,676
	Fannie Mae Pool 523829, 8.00%, 11/01/19		1,133,302		1,234,869
	Fannie Mae Pool 555098, 5.14%, 11/01/327		746,629		758,147
	Fannie Mae Pool 555177, 4.89%, 01/01/337		874,143		893,082
	Fannie Mae Pool 555207, 7.00%, 11/01/17		306,337		320,380
	Fannie Mae Pool 567002, 8.00%, 05/01/23		396,362		432,245
	Fannie Mae Pool 582521, 7.00%, 05/01/31		138,002		146,479
	Fannie Mae Pool 630599, 7.00%, 05/01/32		759,621		806,059
	Fannie Mae Pool 646884, 5.59%, 05/01/327		74,241		76,792
	Fannie Mae Pool 647903, 2.73%, 04/01/277		567,702		581,037
	Fannie Mae Pool 655127, 7.00%, 07/01/32		361,841		384,361
	Fannie Mae Pool 655133, 7.00%, 08/01/32		315,804		335,500
	Fannie Mae Pool 655151, 7.00%, 08/01/32		451,298		478,926
	Fannie Mae Pool 655928, 7.00%, 08/01/32		99,378		105,453
	Fannie Mae Pool 762525, 6.50%, 11/01/33		374,193		393,356
	Freddie Mac 1214 KA, 2.64%, 02/15/227		51,322		51,880
	Freddie Mac 1526 L, 6.50%, 06/15/23		101,989		107,076
	Freddie Mac 1610 PM, 6.25%, 04/15/22		181,525		183,877
	Freddie Mac 1625 FC, 2.72%, 12/15/087		59,064		58,423
	Freddie Mac 1660 HB, 6.50%, 07/15/08		1,224,050		1,235,076
	Freddie Mac 1662 L, 3.69%, 01/15/197		30,827		31,187
	Freddie Mac 1695 EA, 7.00%, 12/15/23		53,117		54,378
	Freddie Mac 1702 TJ, 7.00%, 04/15/13		350,000		373,503
	Freddie Mac 2043 CJ, 6.50%, 04/15/28		230,775		243,087
	Freddie Mac 2161 PG, 6.00%, 04/15/28		82,415		84,319

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed (continued)	Freddie Mac 2419 VG, 6.50%, 12/15/12	$	111,376	$	114,466
	Freddie Mac 2451 SP, 13.07%, 05/15/097		23,377		26,058
	Freddie Mac 2527 TI (IO), 6.00%, 02/15/32		1,598,618		254,076
	Freddie Mac 2535 LI (IO), 5.50%, 08/15/26		170,000		15,857
	Freddie Mac 2561 BX (IO), 5.00%, 05/15/17		1,336,441		191,377
	Freddie Mac 2587 IH (IO), 5.00%, 08/15/25		2,000,000		322,339
	Freddie Mac 2588 IG (IO), 5.50%, 03/15/32		1,730,048		233,226
	Freddie Mac 2594 VK, 5.00%, 02/15/23		1,515,007		1,547,089
	Freddie Mac 2625 IO (IO), 5.00%, 12/15/31		139,327		19,529
	Freddie Mac 2631 IJ (IO), 5.00%, 10/15/26		515,000		96,173
	Freddie Mac 2642 BW (IO), 5.00%, 06/15/23		137,361		25,665
	Freddie Mac 2657 LX (IO), 6.00%, 05/15/18		984,413		163,469
	Freddie Mac 2775 OZ, 4.50%, 04/15/19		830,851		829,921
	Freddie Mac 2793 GZ, 5.50%, 02/15/33		869,296		868,834
	Freddie Mac 2809 HX (IO), 6.00%, 10/15/24		1,468,446		169,751
	Freddie Mac 2840 ZQ, 5.00%, 05/15/32		1,632,433		1,627,307
	Freddie Mac Gold C90237, 6.50%, 11/01/18		506,412		534,513
	Freddie Mac Gold C90474, 7.00%, 08/01/21		797,473		848,029
	Freddie Mac Gold D93410, 6.50%, 04/01/19		629,259		663,809
	Freddie Mac Gold G10616, 5.50%, 07/01/09		713,748		737,388
	Freddie Mac Gold P20295, 7.00%, 10/01/29		1,179,033		1,251,401
	Freddie Mac Gold P50019, 7.00%, 07/01/24		42,911		45,180
	Freddie Mac Pool 390381, 3.01%, 02/01/377		809,363		809,310
	Freddie Mac Pool 775554, 4.16%, 10/01/187		19,459		19,626
	Freddie Mac Pool 865369, 5.61%, 06/01/22		14,042		14,570
	Government National Mortgage Association 1999-38 SP (IO), 0.25%, 05/16/267		2,852,656		4,489
	Government National Mortgage Association 2001-15 AN, 6.38%, 10/20/29		17,215		17,211
	Government National Mortgage Association 2003-18 PI (IO), 5.50%, 10/20/26		470,000		31,107
	Government National Mortgage Association 2003-28 LI (IO), 5.50%, 02/20/32		1,733,247		206,882

See accompanying notes to financial statements.

14

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed (continued)	Government National Mortgage Association 2003-40 IW (IO), 5.50%, 07/20/29	$	235,000	$	42,044
	Government National Mortgage Association 2003-58 IG (IO), 5.50%, 05/17/29		100,000		23,249
	Government National Mortgage Association 2003-75 CI (IO), 5.50%, 01/20/21		570,000		52,034
	Government National Mortgage Association Pool 80546, 3.00%, 10/20/317		366,343		367,577
	Government National Mortgage Association Pool 80614, 3.00%, 07/20/327		563,921		566,490
	Government National Mortgage Association Pool 8339, 4.63%, 12/20/237		266,002		269,950
	Government National Mortgage Association Pool 8684, 4.75%, 08/20/257		417,420		422,794
	Government National Mortgage Association Pool 81018, 4.00%, 08/20/347		1,396,381		1,417,436
					29,286,763
	Total Mortgage-Backed (Cost $55,458,019)				55,668,937
U.S. AGENCY SECURITIES—1.00%
U.S. Agency Securities —1.00%	Freddie Mac, 2.29%, 06/02/097		1,560,000		1,559,900
	Total U.S. Agency Securities (Cost $1,563,891)				1,559,900
	Total Bonds (Cost $125,214,494)				125,218,311
SHORT TERM INVESTMENTS 20.05%
Money Market RIC —0.25%	J.P. Morgan Prime Money Market Fund		391,000		391,000
U.S. Agency Discount Notes —19.80%	Fannie Mae,
	1.68%5, 10/15/04		15,200,000		15,190,069
	1.70%5, 10/15/04		1,500,000		1,499,009
	1.68%5, 10/18/04		3,500,000		3,497,223
	Freddie Mac,
	1.61%5, 10/05/04		5,650,000		5,648,989
	1.63%5, 10/05/04		1,000,000		999,819
	1.74%5, 10/26/04		4,215,000		4,209,922
					31,045,031
	Total Short Term Investments (Cost $31,436,030)				31,436,031
	Total Investments—99.93% (Cost $156,650,524)1				156,654,342
	Cash and Other Assets, Less Liabilities—0.07%				117,231
	Net Assets—100.00%			$	156,771,573

Notes:

¹ Cost for Federal income tax purposes is $156,650,524 and net unrealized appreciation consists of:

	Unrealized Appreciation
Gross unrealized appreciation	$	1,541,907
Gross unrealized depreciation		(1,538,089	)
Net unrealized appreciation	$	3,818

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 Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2004 was $6,519,111 representing 4.16% 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	Amortized Cost		Value		% of TNA
12/03/03	Amortizing Residential Collateral Trust 2002-BC3 AIO (IO), 6.00%, 05/25/05	$	5,488	$	5,622	0.00%
12/17/03	Bear Stearns Asset Backed Securities, Inc. 2003-2 AIO (IO), 5.00%, 12/25/05		73,933		74,644	0.05%
06/30/03	Countrywide Home Loans 2003-18 A5, 07/25/33		3,263		3,220	0.00%
08/07/03	Oakwood Mortgage Investors, Inc. 2002-B AIO (IO), 6.00%, 05/15/10		21,636		23,669	0.02%
12/03/03	Structured Asset Investment Loan Trust 2003-BC6 AIO (IO), 6.00%, 01/25/05		9,888		4,423	0.00%
12/03/03	Structured Asset Investment Loan Trust 2003-BC10 AIO (IO), 6.00%, 03/25/05		4,135		5,677	0.00%
08/26/03	Terwin Mortgage Trust 2003-3SL AX (IO), 12.00%, 10/25/33		16,480		17,860	0.01%
10/07/03	Terwin Mortgage Trust 2003-5SL AX (IO), 10.00%, 10/25/34		35,776		42,366	0.03%
12/11/03	Terwin Mortgage Trust 2003-7SL AX (IO), 14.50%, 12/25/33		178,995		185,380	0.12%
02/12/04	Terwin Mortgage Trust 2004-2SL AX (IO), 10.25%, 02/25/34		675,749		706,860	0.45%
06/24/04	Terwin Mortgage Trust 2004-6SL AX (IO), 8.00%, 06/25/34		774,108		791,072	0.51%
07/16/04	Terwin Mortgage Trust 2004-13AL 2PX (IO), 0.34%, 08/25/34		434,075		470,921	0.30%
		$	2,233,526	$	2,331,714	1.49%

⁷ Floating rate security. The rate disclosed is that in effect at September 30, 2004.

(IO): Interest only

(MTN): Medium term note

See accompanying notes to financial statements.

15

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
BONDS 80.66%			��
ASSET-BACKED SECURITIES—28.45%3
	Aames Mortgage Trust 2000-2 A4F, 7.32%, 03/25/27	$	38,312	$	38,287
	ABFS Mortgage Loan Trust 2002-2 A7, 5.22%, 07/15/33		5,309,178		5,263,625
	Advanta Mortgage Loan Trust 1998-2 A17, 6.05%, 09/25/18		2,296		2,300
	Aerofreighter Finance Trust A A, 7.85%, 12/15/094		555,617		533,226
	Aircraft Lease Portfolio Securitization Ltd. 1996-1 CX, 3.61%, 06/15/066,7		948,593		110,630
	AMRESCO Residential Securities Mortgage Loan Trust 1998-2 B1F, 7.72%, 06/25/28		433,703		424,402
	ARC Net Interest Margin Trust 2002-2 A, 7.75%, 05/27/324		330,246		330,194
	ARG Funding Corp. 2003-1AB, 3.56%, 03/20/074,7		7,000,000		7,012,163
	Bear Stearns Asset Backed Securities, Inc. 2000-2 M2, 8.28%, 08/25/30		5,995,000		6,502,643
	Castle Trust 2003-1AW A1, 2.51%, 05/15/274,7		5,190,310		5,193,035
	Conseco Finance 1999-H BF1, 10.00%, 11/15/29		6,891,919		7,157,533
	Conseco Finance 2000-B BF1, 9.44%, 02/15/31		1,840,813		1,837,177
	Conseco Finance 2001-A IM2, 8.02%, 03/15/32		2,480,380		2,511,700
	Conseco Finance 2001-D A5, 6.19%, 11/15/32		1,500,000		1,599,077
	Conseco Finance 2002-A A4, 6.32%, 04/15/32		4,680,827		4,707,740
	Conseco Finance Securitizations Corp. 2000-1 A4, 7.62%, 05/01/31		1,140,574		1,171,855
	Conseco Finance Securitizations Corp. 2000-4 A4, 7.73%, 04/01/31		1,569,315		1,582,622
	Conseco Finance Securitizations Corp. 2000-5 A4, 7.47%, 02/01/32		5,721,335		5,884,981
	Conseco Finance Securitizations Corp. 2000-6 A4, 6.77%, 09/01/32		1,722,756		1,765,130
	Conseco Finance Securitizations Corp. 2001-3 AIO (IO), 2.50%, 05/01/336		22,025,000		1,142,679
	Credit-Based Asset Servicing and Securitization LLC 2004-CB4 A2, 4.10%, 05/25/35		6,000,000		6,015,751
	Delta Funding Home Equity Loan Trust 1996-2 A5, 8.01%, 10/25/27		1,406,668		1,449,067
	Empire Funding Home Loan Owner Trust 1999-1 M2, 9.00%, 05/25/30		3,069,024		3,156,655
	Equity One ABS, Inc. 2002-2 AF3, 5.77%, 10/25/32		5,437,801		5,581,720

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	First Alliance Mortgage Loan Trust 1994-3 A1, 7.83%, 10/25/25	$	22,950	$	22,911
	First Union Home Equity Loan Trust 1997-3 B, 7.39%, 03/25/29		215,889		146,956
	First City Capital Home Equity Funding Corp. 1998-1 A4, 7.47%, 06/25/284		502,741		502,341
	GMAC Mortgage Corporation Loan Trust 2002-HE2 A4, 6.00%, 06/25/27		1,314,740		1,330,221
	Green Tree Financial Corp. 1994-1 A5, 7.65%, 04/15/19		1,768,818		1,862,159
	Green Tree Financial Corp. 1995-10
	A6, 7.05%, 02/15/27		2,662,161		2,773,719
	B1, 7.05%, 02/15/276		3,526,781		2,709,009
	Green Tree Home Equity Loan Trust 1998-C B2, 8.06%, 07/15/296		6,893,853		3,933,805
	Green Tree Home Improvement Loan Trust 1997-E HEM2, 7.48%, 01/15/29		4,000,000		4,010,101
	Green Tree Home Improvement Loan Trust 1998-B
	HEB2, 8.49%, 11/15/29		4,965,028		3,835,660
	HEM2, 7.33%, 11/15/29		6,036,928		6,052,245
	Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS, 7.24%, 12/15/22		1,855,628		1,859,911
	Irwin Acquisition Trust 2000-A1A M1, 8.85%, 07/25/104		4,989,052		5,183,126
	Lehman ABS Manufactured Housing Contract 2001-B
	AIO2 (IO), 1.10%, 10/15/056		335,000,000		3,245,480
	AIOC (IO), 0.17%, 05/15/416,7		527,236,488		8,238,597
	Mellon Residential Funding Corp. 2001-HEIL A4, 6.62%, 02/25/21		3,135,153		3,219,249
	Metris Master Trust 2000-3 A, 2.07%, 09/21/097		8,970,000		8,949,906
	Newbury Funding CBO Ltd. 2000-1 A3, 4.46%, 02/15/304,7		6,800,000		5,576,680
	North Street 2000-1A C, 3.43%, 04/28/114,6,7		3,500,000		1,575,350
	Novastar NIM Trust 2003-N1, 7.39%, 09/28/334		698,406		698,380
	Oakwood Mortgage Investors, Inc. 2000-D A2, 6.74%, 07/15/18		245,641		248,700
	Oakwood Mortgage Investors, Inc. 2002-B
	A1, 1.99%, 05/15/137		1,486,954		1,378,739
	A2, 5.19%, 09/15/19		754,266		668,822
	AIO (IO), 6.00%, 05/15/106		18,667,763		3,480,773

See accompanying notes to financial statements.

16

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Pegasus Aviation Lease Securitization 2000-1 B1, 8.08%, 03/25/304,6	$	8,806,150	$	1,417,790
	Residential Asset Mortgage Products, Inc. 2001-RS1 AI4, 7.01%, 03/25/31		1,523,658		1,562,256
	Residential Asset Mortgage Products, Inc. 2003-RS1 AI3, 3.50%, 05/25/28		669,392		669,825
	Structured Asset Receivables Trust 2003-1, 2.13%, 01/21/104		5,578,339		5,580,571
	Structured Asset Receivables Trust 2003-2, 2.03%, 01/21/094		2,381,925		2,375,778
	Structured Settlements Fund 1999-A A, 7.25%, 12/20/154		2,111,130		2,191,948
	Terwin Mortgage Trust 2003-3SL AX (IO), 12.00%, 10/25/334,6		5,753,600		778,462
	Terwin Mortgage Trust 2003-5SL AX (IO), 10.00%, 10/25/346		10,583,103		1,317,395
	Terwin Mortgage Trust 2004-1HE A1, 2.35%, 02/25/344,7		3,325,647		3,333,961
	Terwin Mortgage Trust 2004-7HE A1, 2.39%, 07/25/344,7		3,244,951		3,246,976
	Total Asset-Backed Securities (Cost $177,335,783)				164,951,994
CORPORATES—25.34%2
Automotive —4.83%	Ford Motor Credit Co., 6.50%, 02/15/06
			6,050,000		6,275,623
	6.50%, 01/25/07		1,000,000		1,059,749
	2.79%, 09/28/077 (MTN)		6,670,000		6,667,726
	General Motors Acceptance Corp.,
	4.38%, 12/10/07 (MTN)		4,560,000		4,600,716
	3.08%, 09/23/087 (MTN)		8,363,000		8,346,274
	5.85%, 01/14/09		1,020,000		1,055,491
					28,005,579
Banking—0.88%	Citicorp Lease, 7.22%, 06/15/054		3,637,596		3,750,653
	J.P. Morgan Chase & Co. (MTN), 8.55%, 07/23/13		1,500,000		1,360,875
					5,111,528
Communications —2.65%	CSC Holdings Inc., 7.25%, 07/15/08		3,775,000		3,944,875
	Qwest Capital Funding Inc., 7.75%, 08/15/06		7,250,000		7,313,438
	Qwest Corp., 6.63%, 09/15/05		1,000,000		1,032,500
	Sprint Capital Corp., 4.78%, 08/17/06		3,000,000		3,085,578
					15,376,391
Electric—5.11%	CenterPoint Energy Resources Corp., 7.88%, 04/01/13		3,600,000		4,250,340
	Georgia Power Capital Trust VI, 4.88%, 11/01/426		10,860,000		11,196,486

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Electric (continued)	Pinnacle West Capital Corp., 2.49%, 11/01/057	$	5,560,000	$	5,561,596
	Power Contract Financing LLC, 5.20%, 02/01/064		3,792,436		3,847,737
	Tristate Generation & Transmission Association, 6.04%, 01/31/184		4,525,000		4,748,105
					29,604,264
Finance—0.82%	Capital One Bank, 8.25%, 06/15/05		2,350,000		2,439,991
	CIT Group Inc. (MTN), 5.13%, 09/30/14		88,000		88,065
	FINOVA Group Inc., 7.50%, 11/15/09		4,391,820		2,212,379
					4,740,435
Health Care —0.83%	HCA, Inc., 6.91%, 06/15/05		4,690,000		4,797,185
Industrial—0.33%	Deluxe Corp., 3.50%, 10/01/074		1,900,000		1,895,974
Insurance—1.16%	Farmers Exchange Capital, 6.00%, 08/01/144		1,900,000		1,935,838
	Odyssey Re Holdings Corp., 7.65%, 11/01/13		4,400,000		4,807,022
					6,742,860
Real Estate Investment Trust (REIT)—2.45%	Colonial Realty LP, 7.00%, 07/14/07		4,964,000		5,416,692
	JDN Realty Corp., 6.95%, 08/01/07		5,000,000		5,418,885
	Simon Property Group, LP, 4.88%, 08/15/104		3,330,000		3,379,494
					14,215,071
Secured Assets —1.02%	Ingress I Ltd. B-A, 7.38%, 03/30/404		6,000,000		5,905,314
Transportation —5.26%	Air 2 US A, 8.03%, 10/01/204		9,433,033		7,884,365
	American Airlines, Inc. 2001-2 A2, 7.86%, 04/01/13		1,296,000		1,288,963
	Continental Airlines, Inc. 1997-4 A, 6.90%, 07/02/19		3,432,360		3,306,957
	Continental Airlines, Inc. 1999-1 A, 6.55%, 08/02/20		4,984,080		4,813,177
	Continental Airlines, Inc. 2001-1 A1, 6.70%, 12/15/22		670,772		625,528
	Continental Airlines, Inc. 2002-1 G2, 6.56%, 08/15/13		2,105,000		2,260,757
	Delta Air Lines, Inc. 2001-1
	A1, 6.62%, 09/18/12		486,608		442,920
	A2, 7.11%, 03/18/13		1,430,000		1,285,154
	Northwest Airlines Inc. 2001-1 A1, 7.04%, 10/01/23		2,247,200		2,202,036
	United Air Lines, Inc. 1997-1 1A, 2.02%, 12/02/147		7,748,649		6,357,573
					30,467,430
	Total Corporates (Cost $148,490,127)				146,862,031

See accompanying notes to financial statements.

17

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
BONDS (continued)
MORTGAGE-BACKED SECURITIES—22.75%3
Commercial Mortgage-Backed—0.93%	Beckman Coulter, Inc. 2000-A A, 7.50%, 12/15/184	$	3,000,000	$	3,002,814
	Structured Asset Securities Corp. 1995-C4 G, 9.11%, 06/25/267		2,424,755		2,407,842
					5,410,656
Non-Agency Mortgage-Backed—13.39%	Banco De Credito y Securitization SA 2001-1 AF, 8.00%, 05/31/104,6		4,108,847		1,446,725
	BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/114,6		4,285,098		1,508,783
	Blackrock Capital Finance LP 1997-R2 AP, 8.67%, 12/25/354,7		51,195		51,195
	Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2, 6.50%, 10/25/33		218,540		222,076
	Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41, 5.20%, 02/25/347		659,052		665,345
	Commercial Mortgage Asset Trust 1999-C1 A1, 6.25%, 01/17/32		6,315,530		6,491,422
	Countrywide Home Loans 2003-18 A5, 11.29%, 07/25/336,7		449,031		450,734
	DLJ Mortgage Acceptance Corp. 1994-Q8 IIS (IO), 1.92%, 05/25/246,7		1,604,943		3,946
	DLJ Mortgage Acceptance Corp. 1996-Q5 SA (IO), 6.28%, 06/25/266,7		433,292		1,088
	DLJ Mortgage Acceptance Corp. 1996-QA S (IO), 3.05%, 01/25/264,6,7		1,990,578		4,718
	DLJ Mortgage Acceptance Corp. 1997-CF1 A1B, 7.60%, 05/15/304		2,049,699		2,200,945
	IndyMac INDX Mortgage Loan Trust 2004-AR7 A2, 2.27%, 09/25/347		7,030,136		7,030,839
	IndyMac INDX Mortgage Loan Trust 2004-AR8 2A2A, 2.23%, 11/25/347		8,040,000		8,045,628
	Mastr Asset Securitization Trust 2002-6 B1, 6.13%, 10/25/32		8,296,514		8,429,878
	Mastr Seasoned Securities Trust 2004-1 4A1, 5.26%, 10/25/32		10,000,000		10,190,130
	Prudential Home Mortgage Securities 1995-A 2B, 8.73%, 03/28/25		79,859		79,859
	Residential Asset Mortgage Products, Inc. 2004-SL1 A7, 7.00%, 11/25/31		6,352,837		6,658,634
	Residential Asset Securitization Trust 2002-A15 A3, 5.50%, 01/25/33		1,815,376		1,826,184
	Ryland Acceptance Corp. IV 28 1, 11.50%, 12/25/16		122,823		126,603

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed Securities (continued) Non-Agency Mortgage-Backed (continued)	SLH Mortgage Trust 1990-1 G, 9.60%, 03/25/21	$	14,454	$	14,443
	Washington Mutual 2002-AR18 A, 4.16%, 01/25/337		5,478,220		5,469,123
	Washington Mutual 2004-AR10 A2A, 2.09%, 07/25/447		8,571,880		8,556,383
	Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1, 5.00%, 03/25/18		8,222,067		8,169,611
					77,644,292
U.S. Agency Mortgage-Backed—8.43%	Fannie Mae 1993-95 SB, 15.05%, 06/25/08		149,086		172,283
	Fannie Mae 1997-44 SB (IO), 5.18%, 06/25/087		1,870,987		107,836
	Fannie Mae 1997-76 FS, 2.26%, 09/17/277		238,559		240,087
	Fannie Mae 2001-60 JZ, 6.00%, 03/25/31		1,558,337		1,576,619
	Fannie Mae 2002-65 TP, 7.00%, 03/25/31		2,359,039		2,408,050
	Fannie Mae 2003-90 UD (IO), 5.50%, 10/25/26		6,731,818		1,261,449
	Fannie Mae 342 2 (IO), 6.00%, 09/01/33		1,952,708		400,341
	Fannie Mae Pool 555177, 4.89%, 01/01/337		372,967		381,048
	Fannie Mae Pool 567002, 8.00%, 05/01/23		415,238		452,829
	Fannie Mae TBA,
	5.00%, 10/15/19		8,690,000		8,828,501
	6.50%, 10/15/34		5,190,000		5,444,632
	Freddie Mac 1164 O (IO), 9.74%, 11/15/06		59,115		1,276
	Freddie Mac 2544 PI (IO), 5.50%, 08/15/16		7,473,198		134,280
	Freddie Mac 2561 BX (IO), 5.00%, 05/15/17		2,577,284		369,064
	Freddie Mac 2603 LI (IO), 5.50%, 09/15/28		8,315,933		1,174,868
	Freddie Mac 2625 IO (IO), 5.00%, 12/15/31		8,731,161		1,223,822
	Freddie Mac Gold C46104, 6.50%, 09/01/29		141,609		148,972
	Freddie Mac Gold E96701, 5.00%, 05/01/18		383,958		390,907
	Freddie Mac Gold P50019, 7.00%, 07/01/24		353,918		372,629
	Freddie Mac Gold TBA, 5.50%, 10/15/19		12,000,000		12,393,744
	Freddie Mac Pool 390381, 3.07%, 02/01/377		346,870		346,847
	Freddie Mac Pool 786781, 4.25%, 08/01/297		603,966		620,795
	Government National Mortgage Association 2003-28 LI (IO), 5.50%, 02/20/32		7,186,636		857,803
	Government National Mortgage Association 2003-40 IW (IO), 5.50%, 07/20/29		6,047,273		1,081,910

See accompanying notes to financial statements.

18

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed Securities (continued) U.S. Agency Mortgage-Backed (continued)	Government National Mortgage Association 2003-75 CI (IO), 5.50%, 01/20/21	$	4,729,727	$	431,767
	Government National Mortgage Association Pool 1849, 8.50%, 08/20/24		5,596		6,165
	Government National Mortgage Association Pool 2020, 8.50%, 06/20/25		24,166		26,549
	Government National Mortgage Association Pool 2286, 8.50%, 09/20/26		14,552		15,975
	Government National Mortgage Association Pool 2487, 8.50%, 09/20/27		59,494		65,296
	Government National Mortgage Association Pool 422972, 6.50%, 07/15/29		125,991		133,292
	Government National Mortgage Association Pool 80589, 4.00%, 03/20/327		841,094		854,026
	Government National Mortgage Association Pool 80968, 4.00%, 07/20/347		6,841,871		6,945,033
					48,868,695
	Total Mortgage-Backed (Cost $137,383,842)				131,923,643
U.S. AGENCY SECURITIES—2.77%
U.S. Agency Securities—2.77%	Fannie Mae, 3.25%, 06/28/06		5,747,000		5,759,615
	Freddie Mac,
	2.00%, 11/18/05 (MTN)		2,691,000		2,689,248
	2.00%, 11/28/05 (MTN)		7,638,000		7,634,739
					16,083,602
	Total U.S. Agency Securities (Cost $16,109,433)				16,083,602
U.S. TREASURY SECURITIES—1.35%
U.S. Treasury Notes—1.35%	U.S. Treasury Notes, 3.63%, 07/15/09		7,719,000		7,814,885
	Total U.S. Treasury Securities (Cost $7,826,825)				7,814,885
	Total Bonds (Cost $487,146,010)				467,636,155
		Shares
COMMON STOCK 1.63%
Communications —1.63%	MCI Inc.		563,508		9,438,759
	Total Common Stock (Cost $36,553,403)				9,438,759

	Issues	Principal Amount		Value
SHORT TERM INVESTMENTS 21.97%
Commercial Paper—4.84%	CIT Group Inc., 1.75%, 11/29/04	$	6,000,000	$	5,982,093
	DaimlerChrysler NA Holding Corp.,
	1.84%5, 12/20/04		8,000,000		7,962,169
	1.97%5, 01/10/05		4,170,000		4,144,449
	General Electric Capital Corp., 1.68%, 11/17/04		10,000,000		9,977,178
					28,065,889
Money Market RIC—0.20%	J.P. Morgan Prime Money Market Fund		1,198,000		1,198,000
U.S. Agency Discount Notes —16.93%	Fannie Mae,
	1.45%5, 11/17/04		16,390,000		16,353,303
	1.63%5, 11/22/04		4,000,000		3,989,919
	1.67%5, 12/20/04		7,000,000		6,972,077
	Freddie Mac,
	1.57%5, 11/30/04		10,000,000		9,970,250
	1.61%5, 12/06/04		1,500,000		1,495,063
	1.67%5, 12/13/04		8,925,000		8,892,513
	1.67%5, 12/20/04		6,000,000		5,976,066
	1.68%5, 12/15/04		4,259,000		4,243,071
	1.68%5, 12/20/04		7,960,000		7,928,248
	1.69%5, 12/20/04		10,066,000		10,025,847
	1.71%5, 12/13/04		2,595,000		2,585,554
	1.73%5, 12/27/04		5,000,000		4,978,310
	1.78%5, 12/27/04		8,000,000		7,965,296
	1.82%5, 12/27/04		6,800,000		6,770,502
					98,146,019
	Total Short Term Investments (Cost $127,442,321)				127,409,908
	Total Investments—104.26% (Cost $651,141,735)1				604,484,822
	Liabilities Less Cash and Other Assets—(4.26)%				(24,710,209	)
	Net Assets—100.00%			$	579,774,613

Notes:

¹ Cost for Federal income tax purposes is $651,141,735 and net unrealized depreciation consists of:

	Unrealized Depreciation
Gross unrealized appreciation	$	24,522,463
Gross unrealized depreciation		(71,179,376	)
Net unrealized depreciation	$	(46,656,913	)

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 Securities that are restricted private placements or exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30,2004 was $87,092,641 representing 15.02% of total net assets.

⁵ Represents annualized yield at date of purchase.

See accompanying notes to financial statements.

19

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

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	Amortized Cost		Value		% of TNA
08/22/01	Aircraft Lease Portfolio Securitization Ltd. 1996-1 CX, 3.61%, 06/15/06	$	943,755	$	110,630	0.02%
01/23/01	Banco De Credito y Securitizacion SA 2001-1 AF, 8.00%, 05/31/10		4,045,789		1,446,725	0.25%
04/05/00	BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/11		4,126,007		1,508,783	0.26%
06/26/03	Countrywide Home Loans 2003-18 A5, 11.29%, 07/25/33		456,830		450,734	0.08%
08/17/01	Conseco Finance Securitizations Corp. 2001-3 AIO (IO), 2.50%, 05/01/33		1,149,081		1,142,679	0.20%
06/19/97	DLJ Mortgage Acceptance Corp. 1994-Q8 IIS (IO), 1.92%, 05/25/24		190,230		3,946	0.00%
01/04/99	DLJ Mortgage Acceptance Corp. 1996-Q5 SA (IO), 6.28%, 06/25/26		0		1,088	0.00%
10/20/98	DLJ Mortgage Acceptance Corp. 1996-QA S (IO), 3.05%, 01/25/26		0		4,718	0.00%
03/14/02	Green Tree Financial Corp. 1995-10B1, 7.05%, 02/15/27		3,222,134		2,709,009	0.47%
04/19/99	Green Tree Home Equity Loan Trust 1998-C B2, 8.06%, 07/15/29		6,311,367		3,933,805	0.68%
05/01/02	Lehman ABS Manufactured Housing Contract 2001-B AIO2 (IO), 1.10%, 10/15/05		3,018,559		3,245,480	0.56%
05/03/02	Lehman ABS Manufactured Housing Contract 2001-B AIOC (IO), 0.17%, 05/15/41		6,762,972		8,238,597	1.42%
03/14/02	North Street 2000-1A C, 3.43%, 04/28/11		3,486,206		1,575,350	0.27%
05/17/02	Oakwood Mortgage Investors, Inc. 2002-B AIO (IO), 6.00%, 05/15/10		3,541,363		3,480,773	0.60%
03/08/00	Pegasus Aviation Lease Securitization 2000-1 B1, 8.08%, 03/25/30		8,408,777		1,417,790	0.24%
08/26/03	Terwin Mortgage Trust 2003-3SL AX (IO), 12.00%, 10/25/33		731,734		778,462	0.13%
10/07/03	Terwin Mortgage Trust 2003-5SL AX (IO), 10.00%, 10/25/34		1,111,216		1,317,395	0.23%
		$	47,506,020	$	31,365,964	5.41%

⁷ Floating rate security. The rate disclosed is that in effect at September 30, 2004.

(IO): Interest only

(MTN): Medium term note

See accompanying notes to financial statements.

20

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
BONDS 84.29%
ASSET-BACKED SECURITIES—17.31%3
	ABFS Mortgage Loan Trust 2002-2 A7, 5.22%, 07/15/33	$	345,097	$	342,136
	Ameriquest Mortgage Securities, Inc. 2002-3 S (IO), 6.00%, 08/25/326		1,468,750		36,719
	Bear Stearns Asset Backed Securities, Inc. 2001-A AI4, 6.82%, 02/15/31		336,068		342,448
	Centex Home Equity 2002-D AIO (IO), 4.44%, 11/25/056,7		792,643		23,050
	Conseco Finance 2001-A IIM2, 8.81%, 03/15/32		300,000		320,296
	Conseco Finance 2001-D A5, 6.19%, 11/15/32		500,000		533,026
	Conseco Finance 2002-A A5, 7.05%, 04/15/32		500,000		541,123
	Conseco Finance 2002-C BF2, 8.00%, 06/15/324		383,917		360,383
	GMAC Mortgage Corporation Loan Trust 2000-CL1 B, 9.00%, 06/25/26		368,306		377,642
	Green Tree Financial Corp. 1996-10 M1, 7.24%, 11/15/28		3,000		2,723
	Green Tree Financial Corp. 1997-6 B1, 7.17%, 01/15/29		800,000		160,500
	Green Tree Home Improvement Loan Trust 1995-C B2, 7.60%, 07/15/20		473		474
	HPSC Equipment Receivables LLC 2003-1A F, 13.95%, 07/20/114		167,064		170,573
	Keystone Owner Trust 1998-P1 M2, 7.93%, 05/25/254		268,198		273,794
	Metris Master Trust 2000-3 A, 2.07%, 09/21/097		300,000		299,328
	Metris Master Trust 2001-2 A, 2.13%, 11/20/097		100,000		99,767
	Oakwood Mortgage Investors, Inc. 1997-A A5, 7.13%, 05/15/27		275,398		286,074
	Oakwood Mortgage Investors, Inc. 2001-D
	A2, 5.26%, 01/15/19		353,778		281,654
	A3, 5.90%, 09/15/22		397,277		314,066
	Oakwood Mortgage Investors, Inc. 2002-B A1, 1.99%, 05/15/137		165,217		153,193
	Residential Asset Mortgage Products, Inc. 2002-RS5 AI5, 5.41%, 09/25/32		500,000		513,914
	Residential Asset Mortgage Products, Inc. 2003-RS2 AI5, 5.49%, 03/25/33		600,000		618,479
	Residential Asset Mortgage Products, Inc. 2003-RS4 AI2, 2.30%, 07/25/24		159,933		159,844
	Structured Asset Receivables Trust 2003-1, 2.13%, 01/21/104		498,066		498,265
	Terwin Mortgage Trust 2004-1HE A1, 2.35%, 02/25/344,7		263,708		264,367

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	UCFC Home Equity Loan 1998-D
	BF1, 8.97%, 04/15/30	$	106,274	$	113,622
	MF1, 6.91%, 04/15/30		500,000		517,291
	Total Asset-Backed Securities (Cost $7,684,457)				7,604,751
CORPORATE BONDS—24.64%2
Automotive —4.89%	Ford Motor Co., 7.45%, 07/16/31		232,000		228,133
	Ford Motor Credit Co.,
	7.38%, 02/01/11		300,000		326,668
	7.25%, 10/25/11		479,000		519,063
	General Motors Acceptance Corp.,
	6.88%, 09/15/11		700,000		735,328
	8.00%, 11/01/31		1,000		1,038
	General Motors Corp., 8.38%, 07/15/33		316,000		336,467
					2,146,697
Banking—0.89%	Danske Bank A/S, 5.91%, 12/29/494,7		120,000		126,451
	Greenpoint Capital Trust I, 9.10%, 06/01/27		227,000		265,808
					392,259
Capital Goods —0.46%	Tyco International Group SA, 5.88%, 11/01/04		200,000		200,533
Communications —3.19%	CSC Holdings Inc.,
	7.25%, 07/15/08		125,000		130,625
	7.63%, 04/01/11		312,000		330,330
	Qwest Corp.,
	5.63%, 11/15/08		489,000		481,665
	7.88%, 09/01/114		175,000		182,437
	Sprint Capital Corp., 4.78%, 08/17/06		270,000		277,702
					1,402,759
Electric—4.02%	Calpine Corp., 7.35%, 07/15/074,7		693,000		608,107
	CenterPoint Energy Resources Corp., 7.88%, 04/01/13		318,000		375,447
	Power Contract Financing LLC, 5.20%, 02/01/064		244,051		247,610
	Southern Cal Edison Co., 8.00%, 02/15/07		150,000		166,124
	Tristate Generation & Transmission Association, 6.04%, 01/31/184		350,000		367,257
					1,764,545
Finance—0.99%	CIT Group Inc. (MTN), 5.13%, 09/30/14		187,000		187,138
	Goldman Sachs Group, LP, 5.00%, 10/01/14		250,000		246,200
					433,338
Health Care—0.93%	HCA, Inc., 5.25%, 11/06/08		400,000		409,942
Insurance—2.71%	Fairfax Financial Holdings Ltd., 7.75%, 04/26/12		300,000		273,000

See accompanying notes to financial statements.

21

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Corporate Bonds (continued) Insurance (continued)	Farmers Exchance Capital,
	7.05%, 07/15/284	$	410,000	$	417,842
	7.20%, 07/15/484		115,000		116,770
	Odyssey Re Holdings Corp., 7.65%, 11/01/13		350,000		382,377
					1,189,989
Natural Gas—0.66%	El Paso Corp., 7.00%, 05/15/11		300,000		291,000
Real Estate Investment Trust (REIT)—1.89%	Developers Diversified Realty Corp. (MTN), 6.84%, 12/16/04		280,000		282,302
	Prime Property Funding, 5.60%, 06/15/114		206,000		214,795
	Simon Property Group LP, 4.88%, 08/15/104		330,000		334,905
					832,002
Transportation —4.01%	Air 2 US A, 8.03%, 10/01/194		712,028		595,130
	American Airlines, Inc. 1999-1 A2, 7.02%, 04/15/11		110,000		108,207
	American Airlines, Inc. 2001-2 A2, 7.86%, 04/01/13		20,000		19,891
	Continental Airlines, Inc. 1997-1 A, 7.46%, 10/01/16		15,468		14,347
	Continental Airlines, Inc. 1997-2 A, 7.15%, 12/30/08		91,496		81,635
	Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08		285,768		261,838
	Continental Airlines, Inc. 2000-1 A1, 8.05%, 05/01/22		254,410		248,270
	Continental Airlines, Inc. 2001-1 A1, 6.70%, 12/15/22		86,775		80,922
	Delta Air Lines, Inc. 2000-1 A1, 7.38%, 11/18/11		146,789		135,696
	Delta Air Lines, Inc. 2001-1 A2, 7.11%, 03/18/13		10,000		8,987
	Northwest Airlines Inc. 2001-1 A1, 7.04%, 10/01/23		165,630		162,301
	United Air Lines, Inc. 2000-2
	A1, 7.03%, 04/01/12		31,361		26,422
	A2, 7.19%, 10/01/12		19,632		16,638
					1,760,284
	Total Corporates (Cost $10,519,661)				10,823,348
MORTGAGE-BACKED—27.25%3
Non-Agency Mortgage-Backed —13.20%	ABN Amro Mortgage Corp. 2002-1A 1A1, 5.85%, 06/25/32		63,511		63,969
	Bank Of America Mortgage Securities 2003-1 2A4, 5.00%, 02/25/18		456,378		456,569
	Countrywide Alternative Loan Trust 2001-12 A7, 6.50%, 01/25/32		292,393		292,629
	First Horizon Mortgage Pass-Through Trust 2002-7 2A2, 5.25%, 12/25/17		683,111		692,958
	IndyMac INDX Mortgage Loan Trust 2004-AR7 A2, 2.27%, 09/25/347		627,780		627,842
	IndyMac INDX Mortgage Loan Trust 2004-AR8 2A 2A, 2.23%, 11/25/347		615,000		615,431

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) Non-Agency Mortgage-Backed (continued)	Residential Asset Mortgage Products, Inc. 2003-SL1 A41, 8.00%, 04/25/31	$	429,650	$	446,701
	Residential Asset Mortgage Products, Inc. 2004-SL1 A7, 7.00%, 11/25/31		466,105		488,541
	Washington Mutual 2002-AR18 A, 4.16%, 01/25/337		312,430		311,911
	Washington Mutual 2004-AR10 A2A, 2.09%, 07/25/447		669,986		668,775
	Washington Mutual MSC Mortgage Pass-Through Certificates 2004-RA1 2A, 7.00%, 03/25/34		441,097		450,672
	Wells Fargo Mortgage Backed Securities Trust 2004-I 1A1, 3.40%, 07/25/34		678,844		680,197
					5,796,195
U.S. Agency Mortgage-Backed —14.05%	Fannie Mae 1993-225 SG, 19.72%, 12/25/137		381,581		445,260
	Fannie Mae 1993-80 S, 8.62%, 05/25/237		106,237		106,286
	Fannie Mae 1994-55 S, 13.73%, 12/25/237		169,307		189,215
	Fannie Mae 2002-85 MI (IO), 5.50%, 01/25/22		324,989		9,881
	Fannie Mae 2003-13 GI (IO), 5.50%, 06/25/32		664,167		36,212
	Fannie Mae 2003-53 IA (IO), 5.50%, 10/25/28		588,324		79,864
	Fannie Mae 342 2 (IO), 6.00%, 09/01/33		378,432		77,585
	Fannie Mae Pool 253974, 7.00%, 08/01/31		192,115		203,696
	Fannie Mae Pool 527247, 7.00%, 09/01/26		539		574
	Fannie Mae Pool 545646, 7.00%, 09/01/26		366		390
	Fannie Mae Pool 549740, 6.50%, 10/01/27		228,678		241,454
	Fannie Mae Pool 725232, 5.00%, 03/01/34		386,906		383,945
	Fannie Mae Pool 764388, 5.00%, 03/01/347		734,956		743,622
	Fannie Mae TBA,
	5.00%, 10/15/19		1,120,000		1,137,851
	5.00%, 10/15/34		1,029,000		1,018,389
	6.50%, 10/15/34		188,000		197,224
	Freddie Mac 1602 SN, 10.09%, 10/15/237		14,590		15,106
	Freddie Mac 2451 SP, 13.07%, 05/15/097		168,315		187,615
	Freddie Mac 2561 BX (IO), 5.00%, 05/15/17		601,398		86,120
	Freddie Mac 2571 MI (IO), 5.50%, 10/15/23		418,406		21,420
	Freddie Mac 2845 PI, 5.50%, 02/15/32		475,131		59,599
	Freddie Mac Gold G01673, 5.50%, 04/01/34		146,287		148,519
	Freddie Mac Gold P50019, 7.00%, 07/01/24		71,928		75,731

See accompanying notes to financial statements.

22

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed (continued)	Government National Mortgage Association 2003-28 LI (IO), 5.50%, 02/20/32	$	811,667	$	96,881
	Government National Mortgage Association 2004-34 IA (IO), 5.50%, 12/20/31		440,000		65,992
	Government National Mortgage Association Pool 80968, 4.00%, 07/20/34		535,451		543,524
					6,171,955
	Total Mortgage-Backed (Cost $11,894,301)				11,968,150
U.S. AGENCY SECURITIES—2.22%
U.S. Agency Securities—2.22%	Freddie Mac
	2.00%, 11/18/05 (MTN)		530,000		529,655
	3.75%, 08/03/07		440,000		443,105
	Total U.S. Agency Securities (Cost $973,424)				972,760
U.S. TREASURY SECURITIES—12.87%
U.S. Inflation Index Notes—2.64%	U.S. Treasury Notes, 3.00%, 07/15/12		992,000		1,157,486
U.S. Treasury Bonds—5.29%	U.S. Treasury Bonds,
	8.75%, 05/15/17		948,000		1,337,828
	5.38%, 02/15/31		921,000		986,909
					2,324,737
U.S. Treasury Notes—4.94%	U.S. Treasury Notes, 4.25%, 08/15/13		2,137,000		2,169,641
	Total U.S. Treasury Securities (Cost $5,550,003)				5,651,864
	Total Bonds (Cost $36,621,846)				37,020,873
SHORT TERM INVESTMENTS 20.54%
Commercial Paper —6.52%	CIT Group Inc., 1.75%5, 11/29/04		1,000,000		997,016
	DaimlerChrysler NA Holding Corp.,
	1.90%5, 12/23/04		500,000		497,538
	2.01%5, 01/10/05		420,000		417,426
	General Electric Capital Corp., 1.45%5, 11/04/04		955,000		953,505
					2,865,485
Money Market RIC —0.91%	J.P. Morgan Prime Money Market Fund		399,000		399,000
U.S. Agency Discount Notes —13.11%	Fannie Mae,
	1.45%5, 11/17/04		1,395,000		1,391,877
	1.70%5, 12/20/04		500,000		498,005
	Federal Home Loan Bank, 1.34%5, 10/20/04		3,000,000		2,997,554

	Issues	Principal Amount		Value
Short Term Investments (continued) U.S. Agency Discount Notes (continued)	Freddie Mac,
	1.30%5, 12/06/04	$	125,000	$	124,589
	1.72%5, 12/20/04		300,000		298,803
	1.82%5, 12/27/04		450,000		448,048
					5,758,876
	Total Short Term Investments (Cost $9,025,215)				9,023,361
	Total Investments—104.83% (Cost $45,647,061)1				46,044,234
	Liabilities Less Cash and Other Assets—(4.83)%				(2,122,076	)
	Net Assets—100.00%			$	43,922,158

Notes:

¹ Cost for Federal income tax purposes is $45,647,061 and net unrealized appreciation consists of:

	Unrealized Appreciation
Gross unrealized appreciation	$	1,205,224
Gross unrealized depreciation		(808,051	)
Net unrealized appreciation	$	397,173

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 Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2004 was $4,778,686 representing 10.88% 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	Amortized Cost		Value		% of TNA
08/13/02	Ameriquest Mortgage Securities, Inc. 2002-3 S (IO), 6.00%, 08/25/32	$	27,323	$	36,719	0.08%
02/01/03	Centex Home Equity 2002-D AIO (IO), 4.47%, 11/25/05		26,485		23,050	0.05%
		$	53,808	$	59,769	0.14%

⁷ Floating rate security. The rate disclosed is that in effect at September 30, 2004.

(IO): Interest only

(MTN): Medium term note

See accompanying notes to financial statements.

23

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
BONDS 83.36%
Asset-Backed Securities—24.09%3
	ABFS Mortgage Loan Trust 2002-1 A5, 6.51%, 12/15/32	$	9,891,000	$	10,474,923
	ABFS Mortgage Loan Trust 2002-2 AIO (IO), 10.00%, 06/15/336		12,300,000		197,292
	AMRESCO Residential Securities Mortgage Loan Trust 1998-2 B1F, 7.72%, 06/25/28		578,271		565,870
	BankAmerica Manufactured Housing Contract Trust V 1998-2 B1, 7.93%, 12/10/256		3,000,000		2,433,000
	Centex Home Equity 2002-D AIO (IO), 4.44%, 11/25/056		19,273,340		560,469
	Conseco Finance 1999-F M2, 9.30%, 10/15/30		5,000,000		5,100,500
	Conseco Finance 1999-H MV2, 3.16%, 11/15/297		413,871		414,506
	Conseco Finance 2000-B MF1, 8.14%, 02/15/31		3,916,623		4,174,852
	Conseco Finance 2000-D A5, 8.41%, 12/15/25		520,000		542,377
	Conseco Finance 2001-A,
	IA5, 7.06%, 03/15/32		3,040,000		3,070,063
	IIA3, 7.20%, 03/15/32		920,907		929,176
	IM2, 8.02%, 03/15/32		3,307,173		3,348,933
	Conseco Finance 2001-C,
	A4, 6.19%, 03/15/30		2,358,530		2,478,858
	A5, 6.79%, 08/15/33		7,848,000		8,562,699
	Conseco Finance 2002-C AF4, 5.97%, 06/15/32		3,200,000		3,267,073
	Conseco Finance Securitizations Corp. 2000-4
	A4, 7.73%, 04/01/31		8,560,315		8,632,905
	A5, 7.97%, 05/01/32		6,500,000		5,457,661
	Conseco Finance Securitizations Corp. 2000-5 A4, 7.47%, 02/01/32		15,831,640		16,284,468
	Credit-Based Asset Servicing and Securitization LLC. 2004-CB4 A2, 4.10%, 05/25/35		3,325,000		3,333,728
	Duke Funding I, Ltd. 1A B1, 8.27%, 11/10/354		17,000,000		17,183,277
	Embarcadero Aircraft Securitization Trust 2000-A A1, 2.24%, 08/15/254,7		1,700,000		800,700
	Empire Funding Home Loan Owner Trust 1997-4 A5, 8.16%, 01/25/24		4,449,267		4,447,104
	Empire Funding Home Loan Owner Trust 1999-1 M2, 9.00%, 05/25/30		348,753		358,711
	First Union Home Equity Loan Trust 1997-3 B, 7.39%, 03/25/29		496,546		337,999
	FMAC Loan Receivables Trust 1998-A A3, 6.69%, 09/15/204		9,537,607		6,673,340

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)
	FMAC Loan Receivables Trust 1998-BA A2, 6.74%, 11/15/204	$	22,282,548	$	16,503,012
	FMAC Loan Receivables Trust 1998-CA A2, 6.66%, 01/15/124		5,292,352		4,386,208
	Green Tree Financial Corp. 1995-10 B1, 7.05%, 02/15/276		806,780		619,708
	Green Tree Financial Corp. 1999-3 A7, 6.74%, 02/01/31		4,000,000		3,768,609
	Green Tree Home Equity Loan Trust 1998-C B2, 8.06%, 07/15/29		4,185,554		2,388,382
	Green Tree Home Improvement Loan Trust 1997-E HEB2, 7.77%, 01/15/29		2,000,000		1,682,000
	Green Tree Home Improvement Loan Trust 1998-B
	HEB2, 8.49%, 11/15/29		2,979,017		2,301,396
	HEM2, 7.33%, 11/15/29		4,471,798		4,483,145
	Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS, 7.24%, 12/15/22		2,409,997		2,415,560
	HPSC Equipment Receivables LLC. 2000-1A F, 12.91%, 12/22/084		1,175,801		1,185,795
	IMPAC Secured Assets Corp. 2001-2 A4, 7.37%, 04/25/32		13,900		14,007
	Irwin Home Equity 1999-3 A2, 7.69%, 10/25/09		95,271		97,077
	Keystone Owner Trust 1998-P2 A5, 7.40%, 01/25/294		5,289,058		5,341,068
	Metris Master Trust 2000-1 A, 2.11%, 08/20/084,7		17,275,000		17,240,585
	Metris Master Trust 2000-3 A, 2.07%, 09/21/097		15,135,000		15,101,096
	Newbury Funding CBO Ltd. (IO), 17.63%, 02/15/064,6		6,000,000		540,000
	Newbury Funding CBO Ltd. 2000-1 A3, 4.46%, 02/15/304,7		12,750,000		10,456,275
	North Street 2000-1A,
	C, 3.43%, 04/28/114,6,7		5,500,000		2,475,550
	D1, 4.28%, 04/28/114,6,7		9,000,000		2,621,700
	Novastar NIM Trust 2003-N1, 7.39%, 09/28/334		349,203		349,190
	Oakwood Mortgage Investors, Inc. 2000-A M1, 8.30%, 04/15/30		7,500,000		1,575,000
	Oakwood Mortgage Investors, Inc. 2001-D
	A3, 5.90%, 09/15/22		576,052		455,396
	A4, 6.93%, 09/15/31		2,176,000		1,691,789
	Oakwood Mortgage Investors, Inc. 2002-B A2, 5.19%, 09/15/19		2,206,229		1,956,305
	Pamco CLO 1998-1A B2, 3.04%, 05/01/104,7		5,250,000		4,124,400

See accompanying notes to financial statements.

24

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities	Pegasus Aviation Lease Securitization 2000-1 C1, 7.83%, 03/25/304,6,8	$	3,913,845	$	62,625
(continued)	Provident Bank Home Equity Loan Trust 1997-4 A3, 6.91%, 01/25/29		588,159		609,841
	Prudential Structured Finance CBO 1A B2, 13.13%, 11/15/354		2,500,000		1,301,947
	Prudential Structured Finance CBO 2000-1, 20.00%, 10/15/35		2,903,461		1,475,774
	Residential Asset Mortgage Products, Inc. 2000-RS1 A1, 8.00%, 03/25/30		94,013		96,666
	Residential Asset Mortgage Products, Inc. 2000-RZ1 A3, 8.27%, 10/25/29		1,702,813		1,751,720
	Residential Asset Mortgage Products, Inc. 2002-RS5 AI5, 5.41%, 09/25/32		9,539,000		9,804,453
	Residential Asset Mortgage Products, Inc. 2002-RZ1 A5, 6.60%, 03/25/32		14,825,000		15,322,250
	Residential Asset Mortgage Products, Inc. 2003-RS4 AI2 2.30% 07/25/24		25,589		25,575
	Residential Funding Mortgage Securities I 1999-HI6 AI7, 8.10%, 09/25/29		3,526,751		3,619,524
	Residential Funding Mortgage Securities I 2000-HI1 A17, 8.29%, 02/25/25		2,044,143		2,127,211
	Signature 1 CBO, 7.33%%, 10/15/097		2,000,000		1,922,000
	Signature 5 Ltd. 5A B2, 8.41%, 10/27/124		3,000,000		2,924,064
	Structured Asset Receivables Trust 2003-1, 2.13%, 01/21/104,7		13,675,896		13,681,367
	Structured Asset Receivables Trust 2003-2, 2.03%, 01/21/094,7		6,361,647		6,345,227
	Terwin Mortgage Trust 2004-1HE A1, 2.35%, 02/25/344,7		7,325,213		7,343,526
	Terwin Mortgage Trust 2004-7HE A1, 2.39%, 07/25/344,7		7,602,456		7,607,200
	Triton CBO III, Ltd. 1A B, 8.53%, 04/17/114,6		11,967,893		4,469,254
	Van Kampen CLO II Ltd. 2A A2, 3.06%, 07/15/084,6,7		11,394,503		8,412,356

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed	Vanderbilt Acquisition Loan Trust 2002-1 A4,
Securities	6.57%, 05/07/27	$	5,280,000	$	5,599,466
(continued)
	Total Asset-Backed Securities (Cost $334,769,325)				307,905,783
CORPORATES—29.17%2
Automotive —4.89%	Ford Motor Co.,
	7.45%, 07/16/31		15,907,000		15,641,846
	7.70%, 05/15/97		150,000		143,374
	Ford Motor Credit Co., 7.25%, 10/25/11		14,379,000		15,581,660
	General Motors Acceptance Corp.,
	6.88%, 09/15/11		11,186,000		11,750,546
	8.00%, 11/01/31		7,000		7,265
	General Motors Corp.,
	8.38%, 07/15/33		14,958,000		15,926,800
	2.92%5, 03/15/36		8,180,000		3,439,952
					62,491,443
Banking—0.58%	BT Institutional Capital Trust Bank, 7.75%, 12/01/264		500,000		549,878
	Crestar Capital Trust I, 8.16%, 12/15/26		1,500,000		1,767,267
	First Chicago NBD Institutional Capital A, 7.95%, 12/01/264		2,100,000		2,344,054
	J.P. Morgan Chase & Co. (MTN), 8.55%, 07/23/137		2,500,000		2,268,125
	Wachovia Bank NA, 7.70%, 08/01/10		500,000		518,318
					7,447,642
Communications —2.36%	Qwest Capital Funding, Inc.,
	7.75%, 08/15/06		12,080,000		12,185,700
	6.38%, 07/15/08		17,590,000		16,314,725
	Qwest Corp., 6.88%, 09/15/33		2,000,000		1,695,000
					30,195,425
Electric—4.50%	Calpine CCFC I Term Loan, 7.50%, 08/26/094		7,727,074		8,331,331
	Calpine Corp., 7.35%, 07/15/074,7		9,285,210		8,147,772
	Calpine Generating Co., 7.76%, 04/01/104,7		16,200,000		15,471,000
	CenterPoint Energy Term Loan, 12.75%, 11/11/054		10,500,000		11,622,975
	East Coast Power LLC,
	7.07%, 03/31/12		1,304,424		1,338,754
	7.54%, 06/30/17		2,814,510		2,927,008
	El Paso Electric Co., 9.40%, 05/01/11		1,300,000		1,460,393
	GWF Energy LLC, 6.13%, 12/30/114		6,485,656		6,556,998
	Indianapolis Power & Light Co., 8.00%, 10/15/06		964,000		1,038,180
	Potomac Electric Power Co., 5.88%, 10/15/08		125,000		133,902
	Southern California Edison Co., 8.00%, 02/05/07		500,000		553,745
					57,582,058

See accompanying notes to financial statements.

25

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Finance—1.26%	Capital One Bank, 6.50%, 06/13/13	$	3,069,000	$	3,361,660
	CIT Group Inc. (MTN), 5.13%, 09/30/14		4,561,000		4,564,380
	FINOVA Group Inc., 7.50%, 11/15/09		16,270,470		8,196,249
					16,122,289
Health Care —0.53%	HCA, Inc., 5.25%, 11/06/08		6,600,000		6,764,050
Insurance—3.61%	Arch Capital Group Ltd., 7.35%, 05/01/34		6,000,000		6,232,644
	Corp-Backed Trust Certificates (IO), 1.25%, 10/15/296		60,000,000		8,205,000
	Fairfax Financial Holdings Ltd., 7.75%, 04/26/12		3,615,000		3,289,650
	Farmers Exchange Capital,
	7.05%, 07/15/284		3,926,000		4,001,089
	7.20%, 07/15/484		1,392,000		1,413,424
	Farmers Insurance Exchange, 8.63%, 05/01/244		11,970,000		14,173,928
	Odyssey Re Holdings Corp., 7.65%, 11/01/13		4,200,000		4,588,521
	TIG Holdings, Inc., 8.60%, 01/15/274		5,440,000		4,297,600
					46,201,856
Real Estate Investment Trust (REIT)—0.87%	Developers Diversified Realty Corp. (MTN), 6.84%, 12/16/04		500,000		504,110
	Highwoods Realty LP, 7.50%, 04/15/18		7,267,000		7,687,425
	United Dominion Realty Trust, Inc. (MTN), 7.73%, 04/05/05		2,800,000		2,871,512
					11,063,047
Secured Assets —1.97%	Century Funding Ltd. 1A C, 10.00%, 02/15/114,6		2,565,644		201,403
	Ingress I Ltd.,
	B-A, 7.38%, 03/30/404		16,895,000		16,628,380
	C-A, 8.01%, 03/30/404		12,178,556		6,762,752
	Magnus Funding Ltd. 1A,
	B, 3.06%, 06/15/114,6,7		4,442,996		492,284
	C, 10.28%, 06/15/114,6		7,150,931		1,059,232
					25,144,051
Transportation —8.60%	Air 2 US,
	A, 8.03%, 10/01/204		25,613,953		21,408,782
	B, 8.63%, 10/01/204,6		11,736,637		6,700,270
	American Airlines, Inc. 1994 A4, 9.78%, 11/26/11		6,173,626		5,075,431
	American Airlines, Inc. 1999-1 A2, 7.02%, 04/15/11		7,720,000		7,594,164
	American Airlines, Inc. 2001-1 A2, 6.82%, 11/23/12		9,173,000		8,141,489
	American Airlines, Inc. 2001-2 A2, 7.86%, 04/01/13		3,000,000		2,983,712
	Continental Airlines, Inc. 1997-1 A, 7.46%, 10/01/16		1,508,518		1,399,208
	Continental Airlines, Inc. 1997-4 A, 6.90%, 07/02/19		1,895,853		1,826,586
	Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08		1,347,193		1,234,380

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Transportation (continued)
	Continental Airlines, Inc. 1999-2 A1, 7.26%, 09/15/21	$	11,031,274	$	10,894,885
	Continental Airlines, Inc. 2000-1,
	A1, 8.05%, 05/01/22		3,222,524		3,144,748
	A2, 7.92%, 11/01/11		2,000,000		1,966,090
	Continental Airlines, Inc. 2000-2 A2, 7.49%, 04/02/12		2,000,000		1,950,804
	Continental Airlines, Inc. 2001-1 A1, 6.70%, 12/15/22		1,735,503		1,618,442
	Delta Air Lines, Inc. 2000-1,
	A1, 7.38%, 11/18/11		6,025,674		5,570,326
	A2, 7.57%, 05/18/12		4,575,000		4,111,539
	Delta Air Lines, Inc. 2001-1 A2, 7.11%, 03/18/13		1,530,000		1,375,025
	Northwest Airlines Corp. 1999-2 A, 7.58%, 09/01/20		8,539		8,508
	United Air Lines, Inc., 2.02%, 12/02/144,7		3,719,352		3,031,272
	United Air Lines, Inc. 1997-1 1A, 2.02%, 12/02/147		14,335,001		11,761,510
	United Air Lines, Inc. 2000-2 A1, 7.03%, 04/01/12		7,840		6,605
	United Air Lines, Inc. 2001-1 A1, 6.07%, 09/01/14		9,759,880		8,110,922
					109,914,698
	Total Corporates (Cost $382,246,087)				372,926,559
MORTGAGE-BACKED—16.80%3
Commercial Mortgage-Backed —3.61%	Beckman Coulter, Inc. 2000-A A, 7.50%, 12/15/184		22,250,000		22,270,871
	GMAC Commercial Mortgage Securities Inc. 1998-C2 X (IO), 0.77%, 05/15/356,7		252,821,755		6,356,975
	LB-UBS Commercial Mortgage Trust 2000-C4 A2, 7.37%, 08/15/26		15,155,000		17,537,586
					46,165,432
Non-Agency Mortgage-Backed —2.40%	Banco De Credito y Securitizacion 2001-1 AF, 8.00%, 05/31/104,6		4,695,825		1,653,400
	Bear Stearns Structured Products, Inc. 1999-1,
	C, 6.44%, 11/30/134		190,269		193,832
	D, 6.44%, 11/30/134		111,346		104,387
	E, 6.44%, 11/30/134		55,207		51,756
	BHN Mortgage Fund 1997-2
	A1, 3.12%, 05/31/174,6,7,8		3,576,332		1,125,114
	A2, 7.54%, 05/31/174,6,8		6,586,077		2,071,980
	BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/114,6		2,856,732		1,005,855
	Blackrock Capital Finance LP 1997-R2 AP, 8.67%, 12/25/354,7		12,799		12,799
	Citigroup Mortgage Loan Trust, Inc. 2004-RR2 A2, 4.78%, 05/25/344		19,094,440		18,641,902

See accompanying notes to financial statements.

26

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) Non-Agency Mortgage-Backed (continued)	Countrywide Alternative Loan Trust 1999-2 B2, 7.50%, 01/25/29	$	3,543,702	$	3,744,361
	Countrywide Home Loans 2003-18 A5, 11.29%, 07/25/336,7		947,339		950,931
	DLJ Mortgage Acceptance Corp. 1994-Q8 IIS (IO), 1.92%, 05/25/246,7		258,309		635
	DLJ Mortgage Acceptance Corp. 1994-QE1 S (IO), 3.76%, 04/25/244,6,7		867,817		972
	DLJ Mortgage Acceptance Corp. 1994-QE2 S (IO), 3.77%, 06/25/244,6		228,655		256
	DLJ Mortgage Acceptance Corp. 1995-Q7 SA (IO), 2.92%, 11/25/256,7		1,783,348		1,997
	DLJ Mortgage Acceptance Corp. 1996-Q5 SA (IO), 6.28%, 06/25/266,7		1,201,814		3,017
	DLJ Mortgage Acceptance Corp. 1996-QA S (IO), 3.05%, 01/25/264,6,7		1,727,366		4,094
	IMPAC Secured Assets Corp. 1999-2 A9 (IO), 9.00%, 01/25/306		508,191		7,855
	Ocwen Residential MBS Corp. 1998-R2 AP, 6.57%, 11/25/344		156,234		160,140
	Residential Accredit Loans, Inc. 1998-QS16 B1, 6.50%, 11/25/13		224,196		225,109
	Residential Funding Mortgage Securities I 1993-S42 A10, 8.30%, 10/25/087		10,749		10,801
	Ryland Mortgage Securities Corp. 1994-5 M3, 3.69%, 10/25/237		613,266		545,550
	Structured Asset Securities Corp. 1997-2 2A4, 7.25%, 03/28/30		184,760		185,785
	Structured Asset Securities Corp. 2001-15A 4A1, 6.00%, 10/25/31		8,764		9,270
	Structured Mortgage Asset Residential Trust 1991-7 I (IO), 16.21%, 12/25/226		16,180		3,427
					30,715,225
U.S. Agency Mortgage-Backed—10.79%	Collateralized Mortgage Obligation Trust 57 D, 9.90%, 02/01/19		16,877		17,087
	Fannie Mae 1989-27 Y, 6.90%, 06/25/19		4,625		4,844
	Fannie Mae 1989-69 G, 7.60%, 10/25/19		2,813		3,036
	Fannie Mae 1992-123 Z, 7.50%, 07/25/22		17,417		18,771
	Fannie Mae 1992-83 Z, 7.00%, 06/25/22		144,893		151,413
	Fannie Mae 1993-29 PK, 7.00%, 03/25/23		202,000		218,681

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed (continued)	Fannie Mae 1993-132 D (PO), 6.42%5, 10/25/22	$	974,659	$	873,370
	Fannie Mae 1993-199 SD (IO), 0.88%, 10/25/23		2,904,067		69,430
	Fannie Mae 1994-55 H, 7.00%, 03/25/24		130,000		140,408
	Fannie Mae 1997-34 SA, 10.06%, 10/25/23		81,733		110,967
	Fannie Mae 1997-44 SB (IO), 5.18%, 06/25/087		654,846		37,743
	Fannie Mae 2002-65 TP, 7.00%, 03/25/31		29,488		30,101
	Fannie Mae 2003-52 SV, 13.58%, 05/25/317		7,188,235		7,684,061
	Fannie Mae 2003-53 IA (IO), 5.50%, 10/25/28		17,658,825		2,397,150
	Fannie Mae 2003-91 IQ (IO), 5.50%, 06/25/26		20,925,605		2,395,760
	Fannie Mae 342 2 (IO), 6.00%, 09/01/33		4,480,632		918,612
	Fannie Mae G92-36 Z, 7.00%, 07/25/22		3,175		3,387
	Fannie Mae Pool 233672, 4.08%, 09/01/237		37,559		38,934
	Fannie Mae Pool 254232, 6.50%, 03/01/22		35,923		37,843
	Fannie Mae Pool 308798, 3.53%, 04/01/257		21,986		22,730
	Fannie Mae Pool 312155, 3.30%, 03/01/257		41,595		42,686
	Fannie Mae Pool 633698, 7.50%, 02/01/31		34,159		36,633
	Fannie Mae Pool 655928, 7.00%, 08/01/32		52,304		55,502
	Fannie Mae Pool 725232, 5.00%, 03/01/34		15,051,016		14,935,843
	Fannie Mae TBA,
	5.00%, 10/15/19		36,900,000		37,488,112
	5.00%, 10/15/34		33,060,000		32,719,085
	6.50%, 10/15/34		6,839,000		7,174,535
	Freddie Mac 1004 H, 7.95%, 10/15/20		4,061		4,061
	Freddie Mac 1073 G, 7.00%, 05/15/21		10,887		10,929
	Freddie Mac 1164 O (IO), 9.74%, 11/15/067		59,115		1,276
	Freddie Mac 1311 K, 7.00%, 07/15/22		25,493		25,897
	Freddie Mac 1515 SA, 8.61%, 05/15/08		53,103		56,853
	Freddie Mac 1611 I, 6.00%, 02/15/23		16,499		16,619
	Freddie Mac 165 K, 6.50%, 09/15/21		2,459		2,460
	Freddie Mac 1980 Z, 7.00%, 07/15/27		1,461,866		1,542,931
	Freddie Mac 2098 TZ, 6.00%, 01/15/28		724,000		750,826
	Freddie Mac 2312 JA, 6.50%, 02/15/30		176,278		177,848
	Freddie Mac 2316 PB, 6.50%, 09/15/30		2,354,075		2,387,419
	Freddie Mac 2448 D, 5.50%, 05/15/12		2,779		2,778

See accompanying notes to financial statements.

27

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed (continued)	Freddie Mac 2539 IG (IO), 5.50%, 03/15/21	$	7,335,265	$	169,499
	Freddie Mac 2543 IE (IO), 5.50%, 08/15/21		6,334,042		216,634
	Freddie Mac 2603 LI (IO), 5.50%, 09/15/28		22,184,762		3,134,243
	Freddie Mac 2625 IO (IO), 5.00%, 12/15/31		23,778,482		3,332,961
	Freddie Mac 2627 NI (IO), 5.00%, 04/15/29		16,965,737		2,114,871
	Freddie Mac Gold C46104, 6.50%, 09/01/29		306,524		322,463
	Freddie Mac Gold C90573, 6.50%, 08/01/22		1,525,985		1,607,932
	Freddie Mac Gold G01601, 4.00%, 09/01/33		46,434		42,591
	Freddie Mac Gold G01673, 5.50%, 04/01/34		5,255,436		5,335,626
	Freddie Mac Gold P50019, 7.00%, 07/01/24		2,955,989		3,112,269
	Government National Mortgage Association 2000-22 SG (IO), 9.02%, 05/16/307		7,876,337		1,340,709
	Government National Mortgage Association 2001-2 PB, 7.00%, 07/20/30		1,311,171		1,338,886
	Government National Mortgage Association 2002-69 SB (IO), 4.84%, 06/20/287		17,342,781		759,773
	Government National Mortgage Association 2003-1 SG (IO), 5.84%, 03/20/297		7,393,446		141,100
	Government National Mortgage Association 2003-28 LI (IO), 5.50%, 02/20/32		19,134,898		2,283,958
					137,860,136
	Total Mortgage-Backed (Cost $216,781,958)				214,740,793
U.S. AGENCY SECURITIES—2.21%
Foreign Sovereign —1.18%	Indonesia Aid, 9.30%, 07/01/20		11,720,000		15,190,655
U.S. Agency Securities—1.03%	Freddie Mac, 3.75%, 08/03/07		13,023,000		13,114,916
	Total U.S. Agency Securities (Cost $28,755,894)				28,305,571
U.S. TREASURY SECURITIES—11.09%
U.S. Inflation Index Notes—2.60%	U.S. Treasury Notes, 3.00%, 07/15/12		28,455,000		33,201,868
U.S. Treasury Bonds—8.49%	U.S. Principal Strip,
	5.86%5, 08/15/28		3,439,000		1,000,381
	5.41%5, 11/15/28		9,862,000		2,845,276
	U.S. Treasury Bonds,
	4.25%, 08/15/13		5,160,000		5,238,814
	8.75%, 05/15/17		18,505,000		26,114,460
	5.38%, 02/15/31		68,394,000		73,288,480
					108,487,411

	Issues	Principal Amount		Value
Bonds (continued) U.S. Treasury Securities (continued) U.S. Treasury Bonds (continued)	Total U.S. Treasury Securities (Cost $139,597,256)			$	141,689,279
	Total Bonds (Cost $1,102,150,520)				1,065,567,985
		Shares
COMMON STOCK 2.56%
Communications —2.56%	MCI Inc.		1,952,502		32,704,408
	Total common Stock (Cost $82,127,585)				32,704,408
		Principal Amount
SHORT TERM INVESTMENTS 19.37%
Commercial Paper—4.62%	CIT Group Inc.,
	1.75%5, 11/29/04	$	17,000,000		16,949,265
	2.02%5, 03/02/05		13,705,000		13,586,201
	DaimlerChrysler NA Holding Corp.,
	1.89%5, 12/20/04		10,000,000		9,952,711
	1.95%5, 01/13/05		12,735,000		12,654,319
	General Electric Capital Corp., 1.68%, 11/17/04		6,000,000		5,986,307
					59,128,803
Money Market RIC—1.58%	J.P. Morgan Prime Money Market Fund		20,181,000		20,181,000
U.S. Agency Discount Notes —13.17%	Fannie Mae,
	1.68%5, 10/15/04		15,000,000		14,990,200
	1.67%5, 12/20/04		15,000,000		14,940,165
	1.69%5, 12/20/04		20,000,000		19,920,220
	1.88%5, 12/22/04		11,000,000		10,955,021
	Freddie Mac,
	1.31%5, 10/15/04		11,500,000		11,493,270
	1.57%5, 11/30/04		20,031,000		19,971,408
	1.63%5, 12/06/04		11,435,000		11,397,367
	1.67%5, 12/06/04		5,000,000		4,983,545
	1.67%5, 12/20/04		12,800,000		12,753,478
	1.68%5, 12/20/04		5,000,000		4,980,055
	1.69%5, 12/20/04		9,100,000		9,063,700
	1.78%5, 12/27/04		10,000,000		9,956,620
	1.80%5, 12/27/04		8,000,000		7,965,296
	1.82%5, 12/27/04		15,000,000		14,934,930
					168,305,275
	Total Short Term Investments (Cost $247,659,338)				247,615,078
	Total Investments—105.29% (Cost $1,431,937,443)				1,345,887,471
	Liabilities Less Cash and Other Assets—(5.29)%				(67,627,378	)
	Net Assets—100.00%			$	1,278,260,093

See accompanying notes to financial statements.

28

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

Notes:

¹ Cost for Federal income tax purposes is $1,431,937,443 and net unrealized depreciation consists of:

	Unrealized (Depreciation)
Gross unrealized appreciation	$	66,287,977
Gross unrealized depreciation		(152,337,949	)
Net unrealized depreciation	$	(86,049,972	)

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 Securities that are restricted private placements or exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2004 was $322,520,449 representing 25.23% 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	Amortized Cost		Value		% of TNA
06/07/02	ABFS Mortgage Loan Trust 2002-2 AIO (IO), 10.00%, 06/15/33	$	178,120	$	197,292	0.02%
04/18/02	Air 2 US B, 8.63%, 10/01/20		10,030,379		6,700,270	0.52%
01/23/01	Banco De Credito y Securitizacion SA 2001-1 AF, 8.00%, 05/31/10		4,623,759		1,653,400	0.13%
09/18/02	BankAmerica Manufactured Housing Contract Trust V 1998-2 B1, 7.93%, 12/10/25		1,016,259		2,433,000	0.19%
08/20/00	BHN Mortgage Fund 1997-2 A1, 3.12%, 05/31/17		3,451,474		1,125,114	0.09%
09/18/00	BHN Mortgage Fund 1997-2 A2, 7.54%, 05/31/17		6,277,051		2,071,980	0.16%
04/05/00	BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/11		2,803,765		1,005,855	0.08%
02/01/03	Centex Home Equity 2002-D AIO (IO), 4.44%, 11/25/05		621,706		560,469	0.04%
10/06/00	Century Funding, Ltd., 1A C, 10.00%, 02/15/11		2,248,928		201,403	0.02%
06/15/01	Corp-Backed Trust Certificates (IO), 1.25%, 10/15/29		7,310,400		8,205,000	0.64%
06/26/03	Countrywide Home Loans 2003-18 A5, 11.29%, 07/25/33		963,793		950,931	0.07%
06/19/97	DLJ Mortgage Acceptance Corp. 1994-Q8 IIS (IO), 1.92%, 05/25/24		33,555		635	0.00%
01/06/99	DLJ Mortgage Acceptance Corp. 1994-QE1 S (IO), 3.76%, 04/25/04		0		972	0.00%
01/06/99	DLJ Mortgage Acceptance Corp. 1994-QE2 S (IO), 3.77%, 06/25/24		35,131		256	0.00%
10/20/98	DLJ Mortgage Acceptance Corp. 1995-Q7 SA (IO), 2.92%, 11/25/25		0		1,997	0.00%

Date of Purchase	Security	Amortized Cost		Value		% of TNA
11/02/98	DLJ Mortgage Acceptance Corp. 1996-Q5 SA (IO), 6.28%, 06/25/26	$	0	$	3,017	0.00%
10/20/98	DLJ Mortgage Acceptance Corp. 1996-QA S (IO), 3.05%, 01/25/26		0		4,094	0.00%
02/07/01	GMAC Commercial Mortgage Securities, Inc. 1998-C2 X (IO), 0.77%, 05/15/35		5,698,640		6,356,975	0.50%
01/22/04	Green Tree Financial Corp. 1995-10 B1, 7.05%, 02/15/27		712,022		619,708	0.05%
04/19/99	Green Tree Home Equity Loan Trust 1998-C B2, 8.06%, 07/15/29		3,912,999		2,388,382	0.19%
01/07/00	IMPAC Secured Assets Corp. 1999-2 A9 (IO), 9.00%, 01/25/30		446,297		7,855	0.00%
04/11/00	Magnus Funding, Ltd., 1A B, 3.06%, 06/15/11		4,146,365		492,284	0.04%
11/29/00	Magnus Funding, Ltd., 1A C, 10.28%, 06/15/11		6,393,770		1,059,232	0.08%
02/09/00	Newbury Funding CBO Ltd. (IO), 17.63%, 02/15/06		1,138,439		540,000	0.04%
05/30/00	North Street 2000-1A C, 3.43%, 04/28/11		4,070,843		2,475,550	0.19%
12/30/03	North Street 2000-1A D1, 4.28%, 04/28/11		3,749,738		2,621,700	0.21%
09/20/00	Pegasus Aviation Lease Securitization 2000-1 C1, 7.83%, 03/25/30		3,358,640		62,625	0.00%
06/25/97	Structured Mortgage Asset Residential Trust 1991-7 I (IO), 16.21%, 12/25/22		51,307		3,427	0.00%
07/12/00	Triton CBO III, Ltd., 1A B, 8.53%, 04/17/11		11,551,589		4,469,254	0.35%
05/01/00	Van Kampen CLO II Ltd. 2A A2, 3.06%, 07/15/08		10,362,792		8,412,356	0.66%
		$	95,187,761	$	54,625,033	4.27%

⁷ Floating rate security. The rate disclosed is that in effect at September 30, 2004.

⁸ Non-income producing security.

(IO) : Interest only

(MTN): Medium term note

(PO): Principal only

See accompanying notes to financial statements.

29

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
BONDS 96.55%
ASSET-BACKED SECURITIES—2.24%3
	HPSC Equipment Receivables LLC 2000-1A F, 12.91%, 12/22/084	$	58,213	$	58,708
	HPSC Equipment Receivables LLC 2003-1A F, 13.95%, 07/20/114,6		668,257		682,290
	Pamco CLO 1998-1A B2, 3.04%, 05/01/104		525,000		412,440
	Total Asset-Backed Securities (Cost $1,136,733)				1,153,438
CORPORATES—91.57%2
Automotive —1.84%	Delco Remy International, Inc., 5.60%, 04/15/096		140,000		141,400
	Navistar International Corp., 7.50%, 06/15/11		750,000		804,375
					945,775
Basic Industry —13.40%	BCP Caylux 2nd Lien Bank Loan, 6.69%, 12/15/114		1,000,000		1,019,450
	Borden US Finance Corp./Nova Scotia Finance ULC, 6.43%, 07/15/104,6		627,000		637,972
	Equistar Chemicals LP/Equistar Funding Corp., 10.63%, 05/01/11		750,000		858,750
	Foundation Coal Corp Bank Loan Tranche B, 3.68%, 06/23/114		500,000		504,725
	Freeport–McMoran Copper & Gold, 10.13%, 02/01/10		500,000		568,125
	Huntsman Advanced Materials LLC, 11.00%, 07/15/104		500,000		582,500
	Huntsman LLC, 8.80%, 07/15/114,6		500,000		530,000
	Ispat Inland ULC,
	8.76%, 04/01/106		500,000		535,000
	9.75%, 04/01/14		275,000		304,563
	Nalco Co., 8.88%, 11/15/13		650,000		702,000
	Oregon Steel Mills, Inc., 10.00%, 07/15/09		350,000		384,125
	Polypore, Inc., 8.75%, 05/15/124		250,000		260,625
					6,887,835
Capital Goods —9.91%	Aearo Co. I, 8.25%, 04/15/12		315,000		322,875
	Ainsworth Lumber Co. Ltd., 5.67%, 10/01/104,6		450,000		456,750
	Allied Waste North America Inc., 6.38%, 04/15/11		590,000		576,725
	Anchor Glass Container Corp., 11.00%, 02/15/13		1,000,000		1,145,000
	BE Aerospace, Inc., 9.50%, 11/01/08		725,000		754,000
	Crown Cork & Seal Finance PLC, 7.00%, 12/15/06		500,000		517,500
	Mueller Group Inc., 6.44%, 11/01/114		560,000		579,600
	United Components Inc., 9.38%, 06/15/13		250,000		270,625
	United Rentals North America Inc., 7.75%, 11/15/13		500,000		471,250
					5,094,325

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Communications —16.92%	Cablevision Systems New York Group, 6.67%, 04/01/094,6	$	1,250,000	$	1,306,250
	CCO Holdings LLC/CCO Holdings Capital Corp., 8.75%, 11/15/13		500,000		493,125
	Centennial Communications Corp., 8.13%, 02/01/144		1,250,000		1,198,437
	Charter Communications Holdings II, 10.25%, 09/15/10		500,000		513,125
	Citizens Communications Co., 7.63%, 08/15/08		250,000		263,750
	FairPoint Communications, Inc., 11.88%, 03/01/10		1,000,000		1,145,000
	MCI Inc., 5.91%, 05/01/07		500,000		496,875
	PanAmSat Corp., 9.00%, 08/15/144		250,000		261,250
	Qwest Capital Funding, Inc., 7.75%, 08/15/06		500,000		504,375
	Qwest Communications International Inc., 5.21%, 02/15/094,6		300,000		287,250
	Qwest Corp., 7.86%, 09/01/114		125,000		130,313
	RH Donnelly Financial Corp. I, 10.88%, 12/15/124		250,000		304,375
	Rural Cellular Corp.,
	6.38%, 03/15/104,6		675,000		681,750
	8.25%, 03/15/124		500,000		516,250
	XM Satellite Radio Inc., 7.19%, 05/01/09		580,000		591,600
					8,693,725
Electric—14.11%	Calpine CCFC I Term Loan, 7.50%, 08/26/094		663,300		715,170
	Calpine Corp., 7.35%, 07/15/074,6		1,237,500		1,085,906
	Dynegy 1st Lien Term Loan, 5.31%, 05/27/104		997,500		1,018,148
	Dynegy Holdings Inc., 8.02%, 07/15/084,6		500,000		537,500
	KGen Partners LLC 2nd Lien Term Loan, 13.24%, 05/25/114		1,011,895		1,037,294
	Midwest Generation LLC, 8.75%, 05/01/34		559,000		612,105
	NRG Energy, Inc., 8.00%, 12/15/134		700,000		753,375
	TECO Energy, Inc., 10.50%, 12/01/07		400,000		466,000
	UtiliCorp Canada Finance, 7.75%, 06/15/11		1,000,000		1,025,000
					7,250,498
Energy—3.69%	Belden & Blake Corp., 8.75%, 07/15/124		250,000		267,500
	Chesapeake Energy Corp., 7.00%, 08/15/144		250,000		265,625
	Hilcorp Energy I LP/Hilcorp Finance Co., 10.50%, 09/01/104		1,000,000		1,112,500
	Parker Drilling Co., 6.54%, 09/01/104,6		250,000		251,875
					1,897,500
Entertainment —1.62%	Intrawest Corp., 7.50%, 10/15/134		300,000		312,375
	LCE Acquisition Corp., 9.00%, 08/01/144		500,000		518,750
					831,125

See accompanying notes to financial statements.

30

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Finance—2.84%	FINOVA Group Inc., 7.50%, 11/15/09	$	819,720	$	412,934
	Metris Companies, Inc. Bank Loan, 10.60%, 05/06/074		1,000,000		1,046,950
					1,459,884
Gaming—1.51%	MGM Mirage Inc., 6.75%, 09/01/124		250,000		260,000
	Station Casinos, Inc., 6.88%, 03/01/16		500,000		516,250
					776,250
Health Care —3.54%	Fisher Scientific International Inc., 6.75%, 08/15/144		250,000		263,750
	Tenet Healthcare Corp., 9.88%, 07/01/144		877,000		920,850
	VWR International, Inc.,
	6.88%, 04/15/124		300,000		315,000
	8.00%, 04/15/144		300,000		318,750
					1,818,350
Insurance—2.01%	Crum & Forster Holdings Corp., 10.38%, 06/15/13		750,000		804,375
	Fairfax Financial Holdings Ltd., 7.75%, 04/26/12		250,000		227,500
					1,031,875
Natural Gas —4.93%	El Paso CGP Co., 7.63%, 09/01/08		700,000		708,750
	Southern Star Central Corp., 8.50%, 08/01/10		1,000,000		1,095,000
	Williams Co. Inc. Credit Linked Certificate Trust, 4.94%, 05/01/094,6		700,000		729,750
					2,533,500
Restaurant —3.58%	Denny’s Corp., 11.25%, 01/15/08		800,000		834,000
	Denny’s 2nd Lien Term Loan, 6.91%, 08/17/10		1,000,000		1,006,325
					1,840,325
Retail—0.49%	Buhrmann US, Inc., 8.25%, 07/01/144		250,000		251,250
Services—1.08%	Interline Brands Inc., 11.50%, 05/15/11		500,000		557,500
Technology —2.78%	Lucent Technologies Inc., 6.45%, 03/15/29		900,000		733,500
	Xerox Capital Trust I, 8.00%, 02/01/27		700,000		693,000
					1,426,500
Textile—1.74%	Guilford Mills 1st Lien Term Loan, 5.28%, 05/26/104		904,348		893,677
Transportation —5.58%	Air 2 US A, 8.03%, 10/01/204		761,527		636,503
	Continental Airlines, Inc., 8.00%, 12/15/05		625,000		575,000
	Delta Air Lines, Inc. 2000-1 A2, 7.57%, 05/18/12		250,000		224,674
	Delta Air Lines, Inc. 2001-1 A2, 7.11%, 03/18/13		750,000		674,032

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Transportation (continued)	Horizon Lines, LLC, 9.00%, 11/01/124	$	250,000	$	265,000
	Northwest Airlines Inc., 7.63%, 03/15/05		500,000		495,000
					2,870,209
	Total Corporates (Cost $45,317,239)				47,060,103
MORTGAGE-BACKED—2.74%3
Non-Agency Mortgage Backed —0.95%	BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/114,5		1,388,982		489,061
U.S. Agency Mortgage Backed —1.79%	Fannie Mae 342 2 (IO), 6.00%, 09/01/33		847,687		173,791
	Fannie Mae 1993-225 SG, 19.72%, 12/25/136		169,154		197,383
	Freddie Mac 2603 LI (IO), 5.50%, 09/15/28		2,235,466		315,825
	Freddie Mac 2696 NI (IO), 5.50%, 03/15/23		2,402,014		191,565
	Government National Mortgage Association 2003-28 LI (IO), 5.50%, 02/20/32		338,195		40,367
					918,931
	Total Mortgage-Backed (Cost $1,253,005)				1,407,992
	Total Bonds (Cost $47,706,977)				49,621,533
		Shares
COMMON STOCK 2.12%
Communications —2.12%	MCI Inc.		65,081		1,090,106
	Total Common Stock (Cost $1,230,242)				1,090,106
		Principal Amount
SHORT TERM INVESTMENTS 2.37%
Money Market RIC —2.37%	J.P. Morgan Prime Money Market Fund	$	1,215,000		1,215,000
	Total Short Term Investments (Cost $1,215,000)				1,215,000
	Total Investments—101.04% (Cost $50,152,219)1				51,926,639
	Liabilities Less Cash and Other Assets—(1.04)%				(534,570	)
	Net Assets—100.00%			$	51,392,069

See accompanying notes to financial statements.

31

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

SWAPS: CREDIT DEFAULT (WRITTEN)

Notional Amount (000’s)		Unrealized Appreciation
1,000	Receive a fixed rate equal to 2.00% and the Fund will pay to the counterparty at par in the event of default of the Saks Inc., 8.25% due 11/15/08. Counterparty: Morgan Stanley Dean Witter & Co. Expire 06/20/09	$	(5,761	)
1,000	Receive a fixed rate equal to 3.35% and the Fund will pay to the counterparty at par in the event of default of the American Tower Corp., 7.50% due 05/01/12. Counterparty: Credit Suisse First Boston Inc. Expire 09/20/09		16,726
1,000	Receive a fixed rate equal to 1.40% and the Fund will pay to the counterparty at par in the event of default of the Maytag Corp., 5.00% due 05/15/15. Counterparty: Deutsche Bank AG Expire 09/20/09		7,232
	Net unrealized appreciation	$	18,197

SWAPS: CREDIT DEFAULT (PURCHASED)

Notional Amount (000’s)		Unrealized (Depreciation)
1,000	Pay a fixed rate equal to 1.10% and the Fund will receive from the counterparty at par in the event of default of the Sears, Roebuck Acceptance Co. Ltd., 7.00% due 02/01/11. Counterparty: J.P. Morgan Chase & Co. Expire 06/20/09	$	(9,826	)
1,000	Pay a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par in the event of default of the Viacom Inc., 5.63% due 08/15/12. Counterparty: Merrill Lynch & Co. Expire 09/20/09		700
1,000	Pay a fixed rate equal to 1.70% and the Fund will receive from the counterparty at par in the event of default of the Maytag Corp., 5.00% due 05/15/15. Counterparty: Deutsche Bank AG Expire 12/20/14		(17,110	)
	Net unrealized depreciation	$	(26,236	)

Notes:

¹ Cost for Federal income tax purposes is $50,152,219 and net unrealized appreciation consists of:

	Unrealized Appreciation
Gross unrealized appreciation	$	2,270,377
Gross unrealized depreciation		(495,957	)
Net unrealized appreciation	$	1,774,420

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 Securities that are restricted private placements or exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2004 was $25,683,819 representing 49.98% of total net assets.

⁵ 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	Amortized Cost		Value		% of TNA
08/11/03	BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/11	$	377,481	$	489,061	0.95%
		$	377,481	$	489,061	0.95%

⁶ Floating rate security. The rate disclosed is that in effect at September 30, 2004.

(IO): Interest only

See accompanying notes to financial statements.

32

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
BONDS 75.10%
Asset-Backed Securities—35.01%3
	ABFS Mortgage Loan Trust 2002-1 A5, 6.51%, 12/15/32	$	610,000	$	646,012
	ABFS Mortgage Loan Trust 2002-2
	A5, 6.41%, 07/15/33		145,000		149,227
	A7, 5.22%, 07/15/33		245,549		243,443
	Amortizing Residential Collateral Trust 2002-BC9 AIO (IO), 6.00%, 11/25/046		777,818		7,292
	Bear Stearns Asset Backed Securities, Inc. 2003-2 AIO (IO), 5.00%, 12/25/056		500,000		28,125
	Chase Funding Net Interest Margin 2003-5A, 5.75%, 11/27/344		22,506		22,509
	CIT Group Home Equity Loan Trust 2002-1 MV2, 3.09%, 08/25/307		1,500,000		1,508,880
	Conseco Finance 2000-B BF1, 9.44%, 02/15/31		1,809,480		1,805,906
	Conseco Finance 2001-A IIB1, 10.30%, 03/15/32		530,000		571,083
	Conseco Finance 2002-C
	AF3, 4.58%, 06/15/32		51,726		51,831
	BF2, 8.00%, 06/15/324		321,759		302,035
	Conseco Finance Securitizations Corp. 2000-1 A4, 7.62%, 05/01/31		798,069		819,957
	Conseco Finance Securitizations Corp. 2000-4 A4, 7.73%, 04/01/31		91,505		92,281
	Conseco Finance Securitizations Corp. 2000-6 A4, 6.77%, 09/01/32		727,386		745,277
	Conseco Finance Securitizations Corp. 2001-1 AIO (IO), 2.50%, 07/01/326		1,104,000		49,750
	Conseco Finance Securitizations Corp. 2001-3
	A2, 5.16%, 05/01/33		723,245		729,099
	A3, 5.79%, 05/01/33		654,000		672,783
	Conseco Finance Securitizations Corp. 2001-4
	A2, 5.15%, 09/01/33		920,703		929,667
	AIO (IO), 2.50%, 09/01/336		1,200,000		56,700
	Conseco Finance Securitizations Corp. 2002-1 A, 6.68%, 12/01/33		493,488		519,738
	Conseco Finance Securitizations Corp. 2002-2 AIO (IO), 8.50%, 03/01/336		320,153		89,643
	CS First Boston Mortgage Securities Corp. 2001-HE25 M2, 3.54%, 03/25/327		1,595,000		1,616,975
	Deutshe Financial Capital Securitization 1997-I A3, 6.75%, 09/15/27		249,806		259,336
	Empire Funding Home Loan Owner Trust 1997-5 M1, 7.91%, 04/25/24		43,576		43,515

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Finance America Mortgage Loan Trust 2004-1 2A2, 2.33%, 06/25/347	$	10,000,000	$	10,006,231
	First Franklin Mortgage Loan Asset Backed Certificates 2004-FFH3, 2.30%, 10/25/347		4,000,000		4,004,000
	FMAC Loan Receivables Trust 1998-CA A2, 6.66%, 01/15/124		113,021		93,670
	GGP Mall Properties Trust 2001-C1A D3, 4.01%, 02/15/144,7		34,991		36,133
	Green Tree Financial Corp. 1996-8 A6, 7.60%, 10/15/27		173,464		187,678
	Green Tree Financial Corp. 1998-2 A5, 6.24%, 11/01/16		180,588		186,230
	Green Tree Financial Corp. 1998-4 A7, 6.87%, 02/01/30		1,561,934		1,640,123
	Green Tree Financial Corp. 1998-6 A6, 6.27%, 06/01/30		40,000		40,174
	Green Tree Financial Corp. 1999-1 A5, 6.11%, 09/01/23		95,000		98,193
	Green Tree Financial Corp. 1999-3
	A5, 6.16%, 02/01/31		6,553		6,731
	A7, 6.74%, 02/01/31		2,000,000		1,884,305
	Green Tree Financial Corp. 1999-4 A5, 6.97%, 05/01/31		330,647		342,541
	Green Tree Financial Corp. 1999-5
	A4, 7.33%, 03/01/30		149,798		155,530
	A5, 7.86%, 03/01/30		202,000		188,426
	Green Tree Home Improvement Loan Trust 1995-C B2, 7.60%, 07/15/20		566,995		568,316
	Green Tree Home Improvement Loan Trust 1995-D B2, 7.45%, 09/15/25		1,010,918		1,013,565
	Green Tree Home Improvement Loan Trust 1995-F B2, 7.10%, 01/15/21		161,647		161,924
	Green Tree Home Improvement Loan Trust 1997-C HIM2, 7.35%, 06/15/28		35,232		35,333
	Green Tree Home Improvement Loan Trust 1998-D HEM1, 6.71%, 08/15/29		183,270		184,704
	Green Tree Recreational, Equipment & Consumer Trust 1996-C CTFS, 7.65%, 10/15/17		145,209		136,101
	Home Equity Asset Trust 2003-6N A, 6.50%, 03/27/344		294,277		294,093
	Household Home Equity Loan Trust 2004-1 A, 2.16%, 09/20/337		4,524,111		4,526,861
	IMC Home Equity Loan Trust 1998-3 A8, 6.34%, 08/20/29		377,305		381,672
	Indymac Manufactured Housing Contract 1997-1 A3, 6.61%, 02/25/28		1,949,203		1,912,071
	Indymac Manufactured Housing Contract 1998-2
	A2, 6.17%, 12/25/11		575,693		582,541
	A4, 6.64%, 12/25/27		1,225,488		1,257,926

See accompanying notes to financial statements.

33

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Metris Master Trust 2000-1 A, 2.11%, 08/20/084,7	$	580,000	$	578,844
	Metris Master Trust 2000-3 A, 2.07%, 09/21/097		535,000		533,802
	Mid-State Trust 11 B, 8.22%, 07/15/38		30,926		32,011
	Mid-State Trust 6 A4, 7.79%, 07/01/35		103,116		111,868
	Morgan Stanley ABS Capital I 2004-HE5 A4, 2.37%, 06/25/347		7,000,000		7,012,433
	New South Home Equity Trust 1999-1 A4, 6.75%, 03/25/26		278,251		282,371
	Oakwood Mortgage Investors, Inc. 1998-A A4, 6.20%, 05/15/28		11,418		11,236
	Oakwood Mortgage Investors, Inc. 1998-B A4, 6.35%, 03/15/17		614,363		632,060
	Oakwood Mortgage Investors, Inc. 1999-A A2, 5.89%, 04/15/29		144,161		140,949
	Oakwood Mortgage Investors, Inc. 2000-D
	A2, 6.74%, 07/15/18		277,763		281,223
	A4, 7.40%, 07/15/30		160,000		96,667
	Oakwood Mortgage Investors, Inc. 2001-D
	A2, 5.26%, 01/15/19		353,784		281,659
	A3, 5.90%, 09/15/22		19,864		15,703
	A4, 6.93%, 09/15/31		900,000		699,729
	Oakwood Mortgage Investors, Inc. 2002-A AIO (IO), 6.00%, 02/15/106		373,563		75,997
	Oakwood Mortgage Investors, Inc. 2002-B AIO (IO), 6.00%, 05/15/106		4,132,870		770,611
	Pamco CLO 1998-1A B2, 3.04%, 05/01/104,7		1,000,000		785,600
	Residential Asset Mortgage Products, Inc. 2000-RS1 A1, 8.00%, 03/25/30		96,364		99,083
	Residential Asset Mortgage Products, Inc. 2002-RS3 AI4, 6.14%, 06/25/32		282,213		283,585
	Residential Asset Securities Corp. 2002-KS6 AIO (IO), 4.50%, 03/25/056		103,091		1,546
	Structured Asset Investment Loan Trust 2003-BC4 AIO (IO), 6.00%, 11/25/046		153,455		336
	Terwin Mortgage Trust 2003-3SL AX (IO), 12.00%, 10/25/234,6		508,000		68,732
	Terwin Mortgage Trust 2003-5SL AX (IO), 10.00%, 10/25/346		214,741		26,731
	Terwin Mortgage Trust 2003-7SL AX (IO), 14.50%, 12/25/334,6		3,206,667		596,440
	Terwin Mortgage Trust 2004-1HE A1, 2.35%, 02/25/344,7		670,257		671,933

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Terwin Mortgage Trust 2004-2SL AX (IO), 10.25%, 02/25/344,6	$	2,700,000	$	385,560
	Terwin Mortgage Trust 2004-6SL AX (IO), 8.00%, 06/25/344,6		16,881,093		2,125,330
	Terwin Mortgage Trust 2004-7HE A1, 2.39%, 07/25/344,7		2,781,386		2,783,122
	UCFC Home Equity Loan 1998-D BF1, 8.97%, 04/15/30		17,004		18,180
	Total Asset-Backed Securities (Cost $60,807,491)				61,289,477
CORPORATES—27.56%2
Automotive —4.54%	Ford Motor Co., 7.45%, 07/16/31		3,000,000		2,949,993
	Ford Motor Credit Co., 7.00%, 10/01/13		1,000,000		1,059,056
	General Motors Acceptance Corp., 8.00%, 11/01/31		750,000		778,431
	General Motors Corp.,
	8.38%, 07/15/33		2,640,000		2,810,988
	7.76%5, 03/15/36		820,000		344,836
					7,943,304
Banking—0.47%	Danske Bank A/S, 5.91%, 12/29/494		790,000		832,468
Basic Industry —0.06%	Nalco Co., 8.88%, 11/15/13		100,000		108,000
Capital Goods —0.04%	Tyco International Group SA, 5.88%, 11/01/0410		64,000		64,170
Communications —7.26%	Cablevision Systems Corp., 6.67%, 04/01/094,7		1,000,000		1,045,000
	CCO Holdings, LLC/CCO Holdings Capital Corp., 8.75%, 11/15/1310		1,300,000		1,282,125
	Centennial Communications Corp., 8.13%, 02/01/144		650,000		623,188
	Charter Communications Holdings LLC/Charter Capital Corp., 10.00%, 05/15/1110		205,000		158,875
	CSC Holdings, Inc., 8.13%, 07/15/09		1,250,000		1,334,375
	MCI Inc., 5.91%, 05/01/07		3,400,000		3,378,750
	Qwest Communications International Inc., 5.21%, 02/15/094,7		2,000,000		1,915,000
	Qwest Corp.,
	7.88%, 09/01/114		575,000		599,438
	6.88%, 09/15/33		800,000		678,000
	Rural Cellular Corp., 6.38%, 03/15/104,7		750,000		757,500
	XM Satellite Radio Inc., 7.19%, 05/01/097		920,000		938,400
					12,710,651
Electric—5.49%	Calpine Corp., 7.35%, 07/15/074,7		5,504,400		4,830,111
	Calpine Generating Co., 5.76%, 04/01/094,7		3,000,000		3,015,000

See accompanying notes to financial statements.

34

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Electric (continued)	Consumer Energy Co., 7.38%, 09/15/23	$	75,000	$	77,698
	Enterprise Capital Trust II, 3.20%, 06/30/287,10		260,000		247,088
	Power Contract Financing LLC, 5.20%, 02/01/064		1,416,428		1,437,082
					9,606,979
Finance—1.54%	FINOVA Group Inc., 7.50%, 11/15/09		1,215,000		612,056
	Metris Companies Inc. Bank Loan, 10.60%, 05/06/074		2,000,000		2,093,900
					2,705,956
Health Care —0.44%	HCA, Inc., 6.91%, 06/15/05		750,000		767,141
Insurance—0.82%	Fairfax Financial Holdings Ltd., 7.75%, 04/26/12		1,440,000		1,310,400
	Odyssey Re Holdings Corp., 7.65%, 11/01/1310		120,000		131,101
					1,441,501
Transportation —6.90%	Air 2 US
	A, 8.03%, 10/01/204		1,433,955		1,198,535
	C, 10.13%, 10/01/204		1,949,412		243,676
	American Airlines, Inc. 1999-1
	A1, 6.86%, 10/15/10		57,599		56,913
	A2, 7.02%, 04/15/1110		10,000		9,837
	American Airlines, Inc. 2001-1 A2, 6.82%, 11/23/12		5,172,000		4,590,404
	American Airlines, Inc. 2001-2
	A1, 6.98%, 10/01/12		151,435		149,710
	A2, 7.86%, 04/01/13		370,000		367,991
	Continental Airlines, Inc. 1997-2 A, 7.15%, 12/30/08		2,051,620		1,830,507
	Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08		1,863,209		1,707,185
	Continental Airlines, Inc. 1999-2 A1, 7.26%, 09/15/21		758,059		748,686
	Delta Air Lines, Inc. 2000-1
	A1, 7.38%, 11/18/11		20,017		18,504
	A2, 7.11%, 03/18/13		50,000		44,935
	A2, 7.57%, 05/18/12		100,000		89,870
	Delta Air Lines, Inc. 2001-1 A1, 6.62%, 09/18/12		15,596		14,196
	Northwest Airlines, Corp. 1999-2A, 7.58%, 09/01/20		8,539		8,508
	Northwest Airlines Corp. 2001-1 A1, 7.04%, 10/01/23		805,769		789,575
	NWA Trust,
	8.26%, 03/10/06		61,620		58,077
	9.25%, 12/21/12		152,154		154,436
					12,081,545
	Total Corporates (Cost $48,789,886)				48,261,715
MORTGAGE-BACKED—12.53%3
Commercial Mortgage-Backed —0.99%	Structured Asset Securities Corp. 1995-C4 G, 9.11%, 06/25/26		1,165,000		1,156,874
	Structured Asset Securities Corp. 1996-CFL H, 7.75%, 02/25/28		500,000		573,639
					1,730,513

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) Non-Agency Mortgage-Backed —2.69%	BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/114,6	$	52,868	$	18,615
	DLJ Mortgage Acceptance Corp. 1995-Q7 SA (IO), 2.92%, 11/25/256,7		606,696		679
	IndyMac INDX Mortgage Loan Trust 2004-AR5 2A1B, 2.24%, 08/25/347		4,000,000		4,004,000
	Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A, 7.00%, 12/25/33		653,862		685,545
					4,708,839
U.S. Agency Mortgage-Backed —8.85%	Fannie Mae 1993-80 S, 8.62%, 05/25/237		61,618		61,646
	Fannie Mae 1997-44 SB (IO), 5.18%, 06/25/087		467,747		26,959
	Fannie Mae 2001-42 SB, 8.50%, 09/25/317		7,277		7,579
	Fannie Mae 2003-107 SQ (IO), 5.81%, 05/25/337		1,772,202		152,788
	Fannie Mae 2003-124 (IO), 5.25%, 03/25/31		3,971,671		444,503
	Fannie Mae 2003-124 TS, 9.80%, 01/25/34		177,534		188,959
	Fannie Mae 2003-13 GI (IO), 5.50%, 06/25/32		498,125		27,159
	Fannie Mae 2003-37 IG (IO), 5.50%, 05/25/32		6,857,209		918,267
	Fannie Mae 2003-67 IH (IO), 5.00%, 01/25/25		2,000,000		256,368
	Fannie Mae 2003-85 IP (IO), 5.50%, 12/25/28		135,000		27,291
	Fannie Mae 342 2 (IO), 6.00%, 09/01/33		1,347,217		276,204
	Freddie Mac 1602 SN, 10.09%, 10/15/237		14,590		15,105
	Freddie Mac 2451 SP, 13.07%, 05/15/097		30,858		34,396
	Freddie Mac 2527 TI (IO), 6.00%, 02/15/32		2,477,401		393,745
	Freddie Mac 2561 BX (IO), 5.00%, 05/15/17		4,176,378		598,052
	Freddie Mac 2587 IH (IO), 5.00%, 08/15/25		2,058,130		331,708
	Freddie Mac 2595 HY (IO), 5.50%, 03/15/23		310,430		57,924
	Freddie Mac 2603 LI (IO), 5.50%, 09/15/28		2,682,559		378,989
	Freddie Mac 2621 IJ (IO), 5.50%, 12/15/26		2,086,125		250,815
	Freddie Mac 2625 IO (IO), 5.00%, 12/15/31		394,760		55,332
	Freddie Mac 2631 IJ (IO), 5.00%, 10/15/26		570,000		106,444
	Freddie Mac 2642 BW (IO), 5.00%, 06/15/23		329,666		61,597
	Freddie Mac 2657 LX (IO), 6.00%, 05/15/18		2,870,111		476,603
	Freddie Mac 2692 EI (IO), 5.50%, 08/15/33		434,927		86,061
	Freddie Mac 2764
	CT, 7.50%, 03/15/347		1,157,223		1,112,563
	SH, 7.50%, 03/15/347		1,280,819		1,274,917

See accompanying notes to financial statements.

35

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed (continued)	Freddie Mac 2793 GZ, 5.50%, 02/15/33	$	779,023	$	778,609
	Freddie Mac 2807 ST, 8.50%, 07/15/307		909,883		921,712
	Freddie Mac 2825 HS, 8.50%, 10/15/327		1,502,222		1,524,755
	Freddie Mac 2827 JT, 8.50%, 12/15/327		936,877		1,003,856
	Freddie Mac Pool 390381, 3.01%, 02/01/377		416,244		416,216
	Government National Mortgage Association 1999-38 SP (IO), 0.25%, 05/16/267		1,401,659		2,206
	Government National Mortgage Association 2001-31 SJ, 21.66%, 02/20/317		400,000		481,418
	Government National Mortgage Association 2003-28 LI (IO), 5.50%, 02/20/32		938,490		112,019
	Government National Mortgage Association 2003-58 IG (IO), 5.50%, 05/17/29		200,000		46,498
	Government National Mortgage Association 2004-34 IA (IO), 5.50%, 12/20/31		1,088,090		163,193
	Government National Mortgage Association 2004-69 SG, 7.00%, 08/16/337		1,468,510		1,465,986
	Government National Mortgage Association 2004-8 SE, 10.62%, 11/26/237		950,000		958,684
					15,497,126
	Total Mortgage-Backed (Cost $21,396,398)				21,936,478
	Total Bonds (Cost $130,993,776)				131,487,670
		Shares
EQUITIES 1.66%
Automotive —0.15%	Corts Trust for Ford Motor Co. (PFD), 8.00%, 07/16/31		700		18,249
	Preferred Plus Trust Ford Motor Co. (PFD), 8.25%, 07/16/31		8,100		218,457
	Saturns-Hertz Corp. 2003-10 (PFD), 7.75%, 01/15/28		1,000		25,830
					262,536
Banking—0.06%	Corp-Backed Trust Certificates (PFD), 8.25%, 12/15/26		3,647		97,375
Communications —1.35%	Corts Trust US West Communications (PFD), 7.50%, 11/15/43		7,500		156,825
	MCI Inc.		70,743		1,184,945
	Preferred Plus Trust (PFD),
	7.63%, 12/01/30		6,100		164,090
	7.75%, 02/15/31		9,450		179,834
	8.00%, 02/15/31		19,500		374,985
	8.38%, 10/01/46		12,100		306,009
					2,366,688

	Issues	Shares		Value
Equities (continued) Insurance—0.10%	Corp-Backed Trust Certificates (PFD), 8.80%, 12/01/26		6,425	$	170,263
	Total Equities (Cost $3,242,547)				2,896,862
		Principal Amount
SHORT TERM INVESTMENTS 13.91%
Money Market RIC —9.87%	Dreyfus Cash Management	$	8,644,000		8,644,000
	J.P. Morgan Prime Money Market Fund		8,644,000		8,644,000
					17,288,000
U.S. Agency Discount Notes —4.04%	Fannie Mae,
	1.57%5, 10/04/04		2,000,000		1,999,742
	1.62%5, 11/12/04		2,000,000		1,996,045
	1.75%5, 12/08/049		73,000		72,752
	Freddie Mac,
	1.61%5, 10/05/04		1,000,000		999,821
	1.76%5, 12/03/049		5,000		4,984
	1.71%5, 12/13/04		535,000		533,052
	1.67%5, 12/20/04		1,000,000		996,011
	1.69%5, 12/20/04		467,000		465,137
					7,067,544
	Total Short Term Investments (Cost $24,356,255)				24,355,544
	Total Investments—90.67% (Cost $158,592,577)1				158,740,076
	Cash and Other Assets, Less Liabilities—9.33%				16,334,910
	Net Assets—100.00%			$	175,074,986

SECURITIES SOLD SHORT

		Shares	Proceeds		Market Value
Equities —(0.23)%	AMR Corp.8	11,100	$	131,557	$	81,363
	Carnival Corp.	4,200		190,676		198,618
	Continental Airlines, Inc., Cl. B8	15,000		156,323		127,800
	Total Securities Sold Short		$	478,556	$	407,781

SWAPS: CREDIT DEFAULT (PURCHASED)

Notional Amount (000’s)		Unrealized Appreciation
5,000	Pay a fixed rate equal to 5.00% and the Fund will receive from the counterparty at par in the event of default of the Calpine Corp., 8.50% due 02/15/11. Counterparty: Morgan Stanley Dean Witter & Co. Expire 06/20/07	$	200,000
1,000	Pay a fixed rate equal to 5.00% and the Fund will receive from the counterparty at par in the event of default of the Calpine Corp., 8.50% due 02/15/11. Counterparty: Morgan Stanley Dean Witter & Co. Expire 09/20/08		50,000

See accompanying notes to financial statements.

36

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

Notional Amount (000’s)		Unrealized Appreciation
2,500	Pay a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par in the event of default of the Sears, Roebuck and Co., 7.00% due 02/01/11. Counterparty: Deutsche Bank AG Expire 03/20/09	$	47,133
3,000	Pay a fixed rate equal to 0.67% and the Fund will receive from the counterparty at par in the event of default of the Southwest Airlines, Co., 6.50% due 03/01/12. Counterparty: Merrill Lynch & Co., Inc. Expire 06/20/09		(32,230	)
5,000	Pay a fixed rate equal to 0.69% and the Fund will receive from the counterparty at par in the event of default of the Southwest Airlines, Co., 6.50% due 03/01/12. Counterparty: Merrill Lynch & Co., Inc. Expire 06/20/09		(55,056	)
1,000	Pay a fixed rate equal to 1.29% and the Fund will receive from the counterparty at par in the event of default of the Sears, Roebuck and Co., 7.00% due 02/01/11. CounterParty: Deutsche Bank AG Expire 09/20/09		(17,197	)
5,000	Pay a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par in the event of default of the Viacom Inc., 5.63% due 08/15/12. Counterparty: Merrill Lynch & Co., Inc. Expire 09/20/09		3,500
5,000	Pay a fixed rate equal to 0.60% and the Fund will receive from the counterparty at par in the event of default of the AmeriQuest Mortgage Securities, Inc. 2004-R7 M1 2.45% due 08/25/34. Counterparty: Deutsche Bank AG Expire 07/25/34		0
5,000	Pay a fixed rate equal to 0.55% and the Fund will receive from the counterparty at par in the event of default of the Fremont Home Loan Trust 2004-B M1, 2.41% due 05/25/34. Counterparty: Deutsche Bank AG Expire 07/25/34		0
5,000	Pay a fixed rate equal to 0.55% and the Fund will receive from the counterparty at par in the event of default of the Long Beach Mortgage Loan Trust 2004-3 M1, 2.50% due 09/25/34. Counterparty: Deutsche Bank AG Expire 07/25/34		0
	Net unrealized appreciation	$	196,150

SWAPS: CREDIT DEFAULT (WRITTEN)

Notional Amount (000’s)		Unrealized Appreciation
10,000	Receive a fixed rate equal to 0.50% and the Fund will pay to the counterparty at par in the event of default of the AmeriQuest Mortgage Securities, Inc. 2004-R7 A4, 2.45% due 08/25/34. Counterparty: Deutsche Bank AG Expire 07/25/34	$	0

Notional Amount (000’s)		Unrealized Appreciation
10,000	Receive a fixed rate equal to 0.45% and the Fund will pay to the counterparty at par in the event of default of the Fremont Home Loan Trust 2004-B 2A3, 2.41% due 05/25/24. Counterparty: Deutsche Bank AG Expire 07/25/34	$	0
10,000	Receive a fixed rate equal to 0.45% and the Fund will pay to the counterparty at par in the event of default of the Long Beach Mortgage Loan Trust 2004-3 A4, 2.50% due 09/25/34. Counterparty: Deutsche Bank AG Expire 07/25/34		0
	Net unrealized appreciation	$	0

FUTURES CONTRACTS: SHORT POSITIONS

Contracts		Unrealized (Depreciation)
95	U.S. Treasury Five Year Note, December 2004	$	(34,531	)
16	U.S. Treasury Ten Year Note, December 2004		12,527
	Net unrealized depreciation	$	(22,004	)

Notes:

¹ Cost for Federal income tax purposes is $158,592,577 and net unrealized appreciation consists of:

	Unrealized Appreciation
Gross unrealized appreciation	$	3,250,438
Gross unrealized depreciation		(3,102,939	)
Net unrealized appreciation	$	147,499

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 Securities that are restricted private placements or exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2004 was $27,353,514 representing 15.62% 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	Amortized Cost		Value		% of TNA
12/03/03	Amortizing Residential Collateral Trust 2002-BC9 AIO (IO), 6.00%, 11/25/04	$	7,075	$	7,292	0.01%
12/17/03	Bear Stearns Asset Backed Securities, Inc. 2003-2 AIO (IO), 5.00%, 12/25/05		27,866		28,125	0.02%
08/11/03	BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/11		14,833		18,615	0.01%
12/01/03	Conseco Finance Securitizations Corp. 2001-1 AIO (IO), 2.50%, 07/01/32		47,772		49,750	0.03%

See accompanying notes to financial statements.

37

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

Date of Purchase	Security	Amortized Cost		Value		% of TNA
12/01/03	Conseco Finance Securitizations Corp. 2001-4 AIO (IO), 2.50%, 09/01/33	$	54,498	$	56,700	0.03%
12/01/03	Conseco Finance Securitizations Corp. 2002-2 AIO (IO), 8.50%, 03/01/33		86,656		89,643	0.05%
08/11/03	DLJ Mortgage Acceptance Corp. 1995-Q7 SA (IO), 2.92%, 11/25/25		0		680	0.00%
11/19/03	Oakwood Mortgage Investors, Inc. 2002-A AIO (IO), 6.00%, 02/15/10		72,441		75,997	0.04%
08/07/03	Oakwood Mortgage Investors, Inc. 2002-B AIO (IO), 6.00%, 05/15/10		736,107		770,611	0.44%
11/25/03	Residential Asset Securities Corp. 2002-KS6 AIO (IO), 4.50%, 03/25/05		1,708		1,546	0.00%
12/03/03	Structured Asset Investment Loan Trust 2003-BC4 AIO (IO), 6.00%, 11/25/04		1,384		336	0.00%
08/26/03	Terwin Mortgage Trust 2003-3SL AX (IO), 12.00%, 10/25/23		63,334		68,732	0.04%
10/07/03	Terwin Mortgage Trust 2003-5SL AX (IO), 10.00%, 10/25/34		22,507		26,731	0.02%
12/11/03	Terwin Mortgage Trust 2003-7SL AX (IO), 14.50%, 12/25/33		549,744		596,440	0.34%
02/12/04	Terwin Mortgage Trust 2004-2SL AX (IO), 10.25%, 02/25/34		367,438		385,560	0.22%
06/24/04	Terwin Mortgage Trust 2004-6SL AX (IO), 8.00%, 06/25/34		2,080,878		2,125,330	1.21%
		$	4,134,241	$	4,302,088	2.46%

⁷ Floating rate security. The rate disclosed is that in effect at September 30, 2004.

⁸ Non-income producing.

⁹ Securities, or a portion there of, pledged as collateral with a value of $77,736 on 111 short U.S. Treasury Note futures contracts expiring December 2004.

¹⁰ Securities, or a portion there of, pledged as collateral with a value of $857,534 for stocks sold short.

(IO): Interest only

(PFD): Preferred Stock

See accompanying notes to financial statements.

38

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
BONDS 72.63%
ASSET-BACKED SECURITIES—25.85%3
	ARG Funding Corp. 2003-1A B, 3.56%, 03/20/074,8	$	1,800,000	$	1,803,128
	Bear Stearns Asset Backed Securities, Inc. 2000-2 M1, 8.04%, 08/25/30		1,900,000		2,008,557
	Capitalsource Commercial Loan Trust 2003-1A A, 2.29%, 10/20/124,8		458,604		459,101
	Castle Trust 2003-1AW A1, 2.51%, 05/15/274,8		992,929		993,450
	Centex Home Equity 1999-1 A4, 6.39%, 10/25/27		609,148		615,131
	Centex Home Equity 2003-C AF1, 2.14%, 07/25/18		614,216		613,599
	Chase Funding Mortgage Loan 2001-2 1A4, 6.61%, 11/25/26		238,191		239,487
	CIT Group Home Equity Loan Trust 2002-1 MV2, 3.09%, 08/25/308		1,240,000		1,247,341
	Conseco Finance 2000-C B2, 3.81%, 07/15/298		493,763		469,124
	Conseco Finance 2001-A IIM2, 8.81%, 03/15/32		700,000		747,358
	Conseco Finance 2002-B A2, 5.31%, 05/15/33		178,827		179,292
	Conseco Finance 2002-C BF2, 8.00%, 06/15/324		658,143		617,799
	Conseco Finance Securitizations Corp. 2000-5 A4, 7.47%, 02/01/32		1,410,740		1,451,091
	Conseco Finance Securitizations Corp. 2000-6 A4, 6.77%, 09/01/32		206,731		211,816
	Conseco Finance Securitizations Corp. 2001-3 A2, 5.16%, 05/01/33		418,721		422,110
	Contimortgage Home Equity Loan Trust 1998-2 A7, 6.57%, 03/15/23		1,673,732		1,672,705
	CS First Boston Mortgage Securities Corp. 2001-HE25 M2, 3.54%, 03/25/328		1,299,000		1,316,897
	Embarcadero Aircraft Securitization Trust 2000-A A1, 2.24%, 08/15/254,8		1,700,000		800,700
	Equity One ABS, Inc. 2002-3 AF3, 5.50%, 11/25/32		916,094		918,284
	First Alliance Mortgage Loan Trust 1994-4 A1, 9.28%, 02/25/26		10,871		10,843
	GMAC Mortgage Corporation Loan Trust 2001-HLT2 AII, 5.55%, 04/27/27		691,918		712,149
	GMAC Mortgage Corporation Loan Trust 2002-HE2 A4, 6.00%, 06/25/27		346,686		350,768
	Green Tree Financial Corp. 1997-6 B1, 7.17%, 01/15/29		1,700,000		341,062

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Green Tree Financial Corp. 1999-3 A5, 6.16%, 02/01/31	$	589,763	$	605,822
	Green Tree Home Improvement Loan Trust 1995-C B2, 7.60%, 07/15/20		377,339		378,218
	Green Tree Home Improvement Loan Trust 1995-F B2, 7.10%, 01/15/21		708,307		709,520
	Green Tree Home Improvement Loan Trust 1996-B A, 6.45%, 10/15/15		18,914		19,043
	Green Tree Home Improvement Loan Trust 1998-B HEM2, 7.33%, 11/15/29		223,590		224,157
	Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS, 7.24%, 12/15/22		463,907		464,978
	HPSC Equipment Receivables LLC 2003-1A F, 13.95%, 07/20/114		233,890		238,802
	Keystone Home Improvement Loan Trust 1997-P2 IB, 7.94%, 04/15/184		208,770		208,621
	Mego Mortgage Home Loan Trust 1997-4 M1, 7.50%, 09/25/23		541,002		540,301
	Mellon Residential Funding Corp. 2001-HEIL A4, 6.62%, 02/25/21		1,741,752		1,788,472
	Metris Master Trust 2000-1 A, 2.11%, 08/20/084,8		375,000		374,253
	Metris Master Trust 2000-3 A, 2.07%, 09/21/098		1,515,000		1,511,606
	Nationscredit Grantor Trust 1997-1 A, 6.75%, 08/15/13		2,060		2,107
	Newbury Funding CBO Ltd. 2000-1 A3, 4.46%, 02/15/304,8		500,000		410,050
	Novastar NIM Trust 2003 -N1, 7.39%, 09/28/334		116,401		116,396
	Oakwood Mortgage Investors, Inc. 2002-B A1, 1.99%, 05/15/138		495,651		459,579
	Option One Mortgage Loan Trust 2003-2 A2, 2.14%, 04/25/338		801,279		802,418
	Pamco CLO 1998-1A B2, 3.04%, 05/01/104,8		1,300,000		1,021,280
	Residential Asset Mortgage Products, Inc. 2002-RZ1 A4, 5.77%, 06/25/29		126,145		126,056
	Residential Asset Mortgage Products, Inc. 2002-RZ3 A4, 4.73%, 12/25/31		1,561,937		1,571,321
	Structured Asset Receivables Trust 2003-1, 2.13%, 01/21/104,8		1,309,914		1,310,438
	Structured Asset Receivables Trust 2003-2, 2.03%, 01/21/094,8		762,216		760,249
	Structured Settlements Fund 1999-A A, 7.25%, 12/20/154		221,009		229,470

See accompanying notes to financial statements.

39

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Terwin Mortgage Trust 2003-7SL AX (IO), 14.50%, 12/25/334,6	$	2,383,334	$	443,300
	UCFC Home Equity Loan 1998-D MF1, 6.91%, 04/15/30		1,100,000		1,138,041
	Total Asset-Backed Securities (Cost $34,775,001)				33,656,290
CORPORATES—29.76%2
Automotive —6.07%	Daimlerchrysler NA Holding Corp.,
	2.43%, 07/07/058 (MTN)		530,000		532,511
	2.75%, 09/26/058 (MTN)		630,000		633,279
	2.71%, 08/08/068 (MTN)		233,000		235,371
	Ford Motor Credit Co, (MTN)., 2.79%, 09/28/078		3,255,000		3,253,890
	General Motors Acceptance Corp. (MTN), 3.08%, 09/23/088		3,257,000		3,250,486
					7,905,537
Banking—1.21%	Citicorp Lease, 7.22%, 06/15/054		854,835		881,403
	Societe Generale (EMTN), 2.26%, 10/29/498		700,000		696,758
					1,578,161
Capital Goods —0.88%	Tyco International Group SA, 5.88%, 11/01/04		1,140,000		1,143,036
Communications —5.19%	Comcast Corp., 7.63%, 02/15/08		1,000,000		1,104,432
	CSC Holdings, Inc.,
	7.88%, 12/15/07		1,000,000		1,066,250
	7.25%, 07/15/08		250,000		261,250
	Qwest Capital Funding, Inc., 7.75%, 08/15/06		700,000		706,125
	Qwest Corp. Bank Loan, 6.50%, 06/30/074		1,500,000		1,559,175
	Sprint Capital Corp., 4.78%, 08/17/06		2,000,000		2,057,052
					6,754,284
Electric—6.76%	Calpine Corp., 7.35%, 07/15/074,8		1,980,000		1,737,450
	CenterPoint Energy Resources Corp., 8.13%, 07/15/05		1,300,000		1,353,391
	CenterPoint Energy Term Loan, 12.75%, 11/11/054		1,500,000		1,660,425
	Enterprise Capital Trust II, 3.20%, 06/30/288		1,200,000		1,140,404
	Pinnacle West Capital Corp., 2.49%, 11/01/058		1,400,000		1,400,402
	Power Contract Financing LLC, 5.20%, 02/01/064		1,479,602		1,501,179
					8,793,251
Finance—2.29%	Capital One Bank, 8.25%, 06/15/05		1,300,000		1,349,782
	FINOVA Group Inc., 7.50%, 11/15/09		861,840		434,152
	Goldman Sachs Group, LP, 2.57%, 09/29/148		1,200,000		1,203,097
					2,987,031

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Health Care —0.92%	HCA, Inc., 6.91%, 06/15/05 7.13%, 06/01/06	$	600,000 550,000	$	613,712 580,472
					1,194,184
Real Estate Investment Trust (REIT)—0.31%	HRPT Properties Trust, 6.70%, 02/23/05		400,000		406,261
Secured Assets —0.49%	Magnus Funding Ltd. 1A B, 3.06%, 06/15/114,6,8		1,110,749		123,071
	Zermatt CBO Ltd. 1A A, 2.49%, 09/01/104,8		542,260		515,690
					638,761
Transportation —5.64%	Air 2 US A, 8.03%, 10/01/204		1,962,454		1,640,268
	American Airlines, Inc. 2002-1 G, 2.55%, 03/23/098		856,647		861,523
	Continental Airlines, Inc. 1997-1 A, 7.46%, 10/01/16		188,056		174,429
	Continental Airlines, Inc. 1997-2 A, 7.15%, 12/30/08		496,189		442,713
	Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08		1,439,728		1,319,166
	Delta Air Lines, Inc. 2003-1 G, 2.41%, 07/25/098		997,963		1,004,864
	United Air Lines, Inc. 1997-1 1A, 2.02%, 12/02/148		1,084,810		890,059
	United Air Lines, Inc. Term Loan, 6.79%, 06/30/054,8		1,000,000		1,013,200
					7,346,222
	Total Corporates (Cost $40,035,595)				38,746,728
MORTGAGE-BACKED—15.99%3
Non-Agency Mortgage-Backed —9.69%	Banc of America Funding Corp. 2000-1 1A12, 6.75%, 11/20/32		207,942		208,820
	Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41, 5.20%, 02/25/348		1,647,629		1,663,363
	Commercial Mortgage Asset Trust 1999-C1 A1, 6.25%, 01/17/32		1,927,916		1,981,610
	DLJ Mortgage Acceptance Corp. 1992-Q4 A2, 5.65%, 07/25/228		46,034		46,003
	DLJ Mortgage Acceptance Corp. 1994-QE2 S (IO), 3.77%, 06/25/244,6		352,617		395
	IMPAC Secured Assets Corp. 1999-2 A9 (IO), 9.00%, 01/25/306		33,090		511
	IndyMac Indx Mortgage Loan Trust 2004-AR7 A2, 2.27%, 09/25/348		1,793,656		1,793,836
	Mastr Seasoned Securities Trust 2004-1 4A1, 5.26%, 10/25/32		2,250,000		2,292,779
	Residential Accredit Loans, Inc. 2002-QS17 NB1, 6.00%, 11/25/32		721,641		736,053

See accompanying notes to financial statements.

40

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) Non-Agency Mortgage-Backed (continued)	Residential Funding Mortgage Securities I 2002-S19 A2, 6.00%, 12/25/32	$	409,091	$	410,517
	Ryland Acceptance Corp. IV 28 1, 11.50%, 12/25/16		5,849		6,029
	Structured Asset Securities Corp. 2002-5A 6A, 6.48%, 04/25/32		100,487		104,419
	Summit Mortgage Trust 2000-1 B5, 5.90%, 12/28/124,8		5,098		5,070
	Terwin Mortgage Trust 2004-13AL 2PX (IO), 0.34%, 08/25/344,6		32,335,119		679,038
	Washington Mutual 2002-AR18 A, 4.16%, 01/25/33		1,112,764		1,110,916
	Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A, 7.00%, 12/25/33		1,503,883		1,576,753
					12,616,112
U.S. Agency Mortgage-Backed—6.30%	Fannie Mae 1993-95 SB, 15.05%, 06/25/088		5,323		6,151
	Fannie Mae 1994-10 H, 6.50%, 08/25/22		67,769		67,718
	Fannie Mae 1997-91 SL (IO), 7.50%, 11/25/238		996,362		179,877
	Fannie Mae 2001-60 JZ, 6.00% 03/25/31		254,750		257,738
	Fannie Mae 2002-97 PD, 5.00%, 03/25/22		1,900,000		1,928,179
	Fannie Mae 2003-37 IG (IO), 5.50%, 05/25/32		1,672,490		223,967
	Fannie Mae 2003-62 IG (IO), 5.00%, 10/25/31		1,000,000		339,935
	Fannie Mae 2003-91 IQ (IO), 5.50%, 06/25/26		1,643,807		188,199
	Fannie Mae 342 2 (IO), 6.00%, 09/01/33		708,424		145,240
	Fannie Mae G-36 ZB, 7.00%, 11/25/21		10,264		10,968
	Fannie Mae Pool 646884, 5.59%, 05/01/328		816,655		844,715
	Freddie Mac 2 L, 8.00%, 11/25/22		64,226		70,179
	Freddie Mac 2080 PJ, 6.50%, 08/15/28		1,468,145		1,535,568
	Freddie Mac 2535 LI (IO), 5.50%, 08/15/26		800,000		74,623
	Freddie Mac 2557 IM (IO), 5.50%, 03/15/22		1,324,318		96,691
	Freddie Mac 2845 PI (IO), 5.50%, 02/15/32		1,420,494		178,184
	Government National Mortgage Association 2003-75 CI (IO), 5.50%, 01/20/21		2,700,000		246,477
	Government National Mortgage Association 2004-34 IA (IO), 5.50%, 12/20/31		1,300,000		194,975
	Government National Mortgage Association Pool 80968, 4.00%, 07/20/348		1,586,521		1,610,443
					8,199,827
	Total Mortgage-Backed (Cost $20,965,403)				20,815,939

		Issues	Principal Amount		Value
BONDS (continued)
U.S. AGENCY SECURITIES—1.03%
U.S. Agency Securities—1.03%		Fannie Mae, 3.25%, 06/28/06	$	1,331,000	$	1,333,922
		Total U.S. Agency Securities (Cost $1,338,743)				1,333,922
		Total Bonds (Cost $97,114,742)				94,552,879
			Shares
COMMON STOCK 2.40%
Communications —0.90%		MCI Inc.		69,802		1,169,183
Index Funds —1.50%		S & P 500 Depository Receipt		17,485		1,954,124
		Total Common Stock (Cost $6,224,326)				3,123,307
			Principal Amount
SHORT TERM INVESTMENTS 25.24%
Commercial Paper—1.34%		CIT Group Inc., 1.80%5, 12/02/04	$	350,000		348,894
		DaimlerChrysler NA Holding Corp., 1.84%5, 12/20/04		1,400,000		1,393,380
						1,742,274
Money Market RIC—0.14%		J.P. Morgan Prime Money Market Fund		189,000		189,000
U.S. Agency Discount Notes —23.76%		Federal Home Loan Bank, 1.44%, 11/26/047		3,313,000		3,303,903
		Freddie Mac,
		1.75%5, 11/29/047		30,000		29,912
		1.47%5, 11/30/047		4,550,000		4,536,464
		1.67%5, 12/13/04		6,631,000		6,606,863
		1.68%5, 12/15/04		985,000		981,316
		1.67%5, 12/20/04		1,275,000		1,269,914
		1.69%5, 12/20/04		4,809,000		4,789,817
		1.70%5, 12/20/04		1,000,000		996,011
		1.78%5, 12/27/04		1,500,000		1,493,493
		1.82%5, 12/27/04		1,900,000		1,891,758
		Fannie Mae,
		1.41%5, 11/17/04		350,000		349,216
		1.67%5, 12/20/04		4,000,000		3,984,044
		1.71%5, 12/20/04		700,000		697,208
						30,929,919
		Total Short Term Investments (Cost $32,871,159)				32,861,193
		Total Investments—100.27% (Cost $136,210,227)1				130,537,379
	��	Liabilities Less Cash and Other Assets—(0.27)%				(346,304	)
		Net Assets—100.00%			$	130,191,075

See accompanying notes to financial statements.

41

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

September 30, 2004 (Unaudited)

SWAPS: TOTAL RETURN

Notional Amount (000’s)		Unrealized Appreciation
20,000	S&P 500 Total Return issued by CS First Boston,-1.91%8, Expire 09/30/05	$	0

FUTURES CONTRACTS: LONG POSITIONS

Contracts		Unrealized Appreciation
463	S&P 500 Index, December 2004	$	2,142,969
3	S&P Mini, December 2004		(870	)
	Net unrealized appreciation	$	2,142,099

Notes:

¹ Cost for Federal income tax purposes is $136,210,227 and net unrealized depreciation consists of:

	Unrealized (Depreciation)
Gross unrealized appreciation	$	1,972,721
Gross unrealized depreciation		(7,645,569	)
Net unrealized depreciation	$	(5,672,848	)

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 Securities that are restricted private placements or exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2004 was $21,103,401 representing 16.21% 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	Amortized Cost		Value		% of TNA
01/28/99	DLJ Mortgage Acceptance Corp. 1994-QE2 S (IO), 3.77%, 06/25/24	$	54,119	$	395	0.00%
01/12/00	IMPAC Secured Assets Corp. 1999-2 A9 (IO), 9.00%, 01/25/30		29,237		511	0.00%
04/11/00	Magnus Funding Ltd. 1A B, 3.06%, 06/15/11		1,033,061		123,071	0.10%
12/11/03	Terwin Mortgage Trust 2003-7SL AX (IO), 14.50%, 12/25/33		431,453		443,300	0.34%
07/16/04	Terwin Mortgage Trust 2004-13AL 2PX (IO), 0.34%, 08/25/34		633,770		679,038	0.52%
		$	2,181,640	$	1,246,315	0.96%

⁷ Securities, or a portion there of, pledged as collateral with a value of $7,870,279 on 463 long S&P Index futures contracts and 3 S&P Mini futures contacts expiring December 2004.

⁸ Floating rate security. The rate disclosed is that in effect at September 30, 2004.

(EMTN): Euro Medium term note

(IO): Interest only

(MTN): Medium term note

See accompanying notes to financial statements.

42

Metropolitan West Funds

Statements of Assets and Liabilities

September 30, 2004 (Unaudited)

	Ultra Short Bond Fund*			Low Duration Bond Fund			Intermediate Bond Fund		Total Return Bond Fund
Assets:
Investments, at value (Cost $156,650,524, $651,141,735, $45,647,061, and $1,431,937,443, respectively) (Note 2)	$	156,654,342		$	604,484,822		$	46,044,234	$	1,345,887,471
Cash and cash equivalents (Note 2)		65,196			303,113			20,957		2,281,468
Dividends and interest receivable		1,041,981			5,179,665			407,414		16,398,270
Receivable for securities sold		8,348,292			10,630,217			82,483		11,712,233
Receivable for capital stock sold		1,754,133			1,240,096			0		1,912,926
Other assets		46,729			90,751			4,154		187,539
Total assets		167,910,673			621,928,664			46,559,242		1,378,379,907
Liabilities:
Payable for securities purchased		10,283,651			40,008,383			2,441,341		91,936,747
Payable for capital stock redeemed		415,638			344,186			0		621,669
Due to Adviser (Note 5)		20,980			126,710			262		356,116
Accrued expenses		5,751			149,262			22,692		312,530
Accrued 12b-1 expenses		17,148			48,707			22		80,786
Distributions payable		395,932			1,476,803			172,767		6,811,966
Total liabilities		11,139,100			42,154,051			2,637,084		100,119,814
Net assets	$	156,771,573		$	579,774,613		$	43,922,158	$	1,278,260,093
Class M Shares:
Net assets (Applicable to 26,135,115, 33,371,304, 12,031, and 48,315,259 shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	134,362,084		$	313,017,471		$	127,152	$	471,201,925
Net asset value, offering and redemption price per Class M share	$	5.14		$	9.38		$	10.57	$	9.75
Class I Shares:
Net assets (Applicable to 4,361,469, 28,432,317, 4,144,619, and 82,775,173 shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	22,409,489		$	266,757,142		$	43,795,006	$	807,058,168
Net asset value, offering and redemption price per Class I share	$	5.14		$	9.38		$	10.57	$	9.75
Net Assets Consist of:
Capital paid-in	$	156,815,443		$	634,575,785		$	43,036,196	$	1,387,435,258
Accumulated undistributed net investment income/(loss)		0			(320,708	)		0		(520,091	)
Accumulated undistributed net realized (loss)/gain on investments and futures contracts		(47,688	)		(7,823,551	)		488,789		(22,605,102	)
Net unrealized appreciation/(depreciation) on investments and futures contracts		3,818			(46,656,913	)		397,173		(86,049,972	)
	$	156,771,573		$	579,774,613		$	43,922,158	$	1,278,260,093

* The Ultra Short Bond Fund Class I Shares commenced operations on July 30, 2004.

See accompanying notes to financial statements.

43

Metropolitan West Funds

Statements of Assets and Liabilities

September 30, 2004 (Unaudited)

	High Yield Bond Fund			Strategic Income Fund*			AlphaTrak 500 Fund
Assets:
Investments, at value (Cost $50,152,219, $158,592,577, and $136,210,227 respectively) (Note 2)	$	51,926,639		$	158,740,076		$	130,537,379
Swap contracts, at value (Cost $1,835,000) (Note 3)		0			2,031,150			0
Cash and cash equivalents (Note 2)		440,523			14,760,068			1,077,877
Interest receivable on swap contracts (Note 3)		1,208			28,577			0
Dividends and interest receivable		890,037			1,723,383			781,799
Receivable for securities sold		2,926,552			2,094,467			1,767,659
Receivable for capital stock sold		1,808			1,191,643			4,597
Due from Adviser (Note 5)		0			114,734			39,340
Variation Margin (Note 3)		0			50,164			583,610
Other assets		21,656			20,120			2,086
Total assets		56,208,423			180,754,382			134,794,347
Liabilities:
Swap contracts, at value (Cost $0) (Note 3)		8,039			0			0
Securities sold short (Proceeds $478,556) (Note 3)		0			407,781			0
Payable for securities purchased		3,027,534			4,701,981			3,353,817
Payable for capital stock redeemed		1,344,774			46,918			62,775
Due to Adviser (Note 5)		25,252			0			0
Accrued expenses		42,710			10,901			44,399
Accrued 12b-1 expenses		6,752			23,808			0
Distributions payable		361,293			488,007			1,142,281
Total liabilities		4,816,354			5,679,396			4,603,272
Net assets	$	51,392,069		$	175,074,986		$	130,191,075
Class M Shares:
Net assets (Applicable to 2,554,014, 10,461,807 and 18,082,558 shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	31,655,716		$	118,145,568		$	130,191,075
Net asset value, offering and redemption price per Class M share	$	12.39		$	11.29		$	7.20
Class I Shares:
Net assets (Applicable to 1,591,552 and 5,041,256 shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	19,736,353		$	56,929,418			N/A
Net asset value, offering and redemption price per Class I share	$	12.40		$	11.29			N/A
Net Assets Consist of:
Capital paid-in	$	40,604,094		$	173,525,365		$	156,944,347
Accumulated undistributed net investment income		0			337,929			20,980
Accumulated undistributed net realized gain/(loss) on investments and futures contracts		8,558,886			(254,924	)		(23,243,503	)
Accumulated undistributed net realized gain on swap contracts, options, and securities sold short		462,708			1,074,196			0
Net unrealized appreciation/(depreciation) on investments and futures contracts		1,774,420			125,495			(3,530,749	)
Net unrealized (depreciation)/appreciation on swap contracts, options, and securities sold short		(8,039	)		266,925			0
	$	51,392,069		$	175,074,986		$	130,191,075

* The Strategic Income Fund Class I Shares commenced operations on March 31, 2004.

N/A — Not Applicable

See accompanying notes to financial statements.

44

Metropolitan West Funds

Statements of Operations

For the Period Ended September 30, 2004 (Unaudited)

	Ultra Short Bond Fund			Low Duration Bond Fund			Intermediate Bond Fund			Total Return Bond Fund
Investment Income:
Interest	$	2,679,239		$	12,255,882		$	1,177,442		$	45,074,795
Total investment income		2,679,239			12,255,882			1,177,442			45,074,795
Expenses:
Investment advisory fees (Note 5)		179,657			844,476			76,619			2,279,730
Administration fees		54,017			189,640			34,980			457,422
Auditing and tax consulting fees		2,312			12,720			9,490			16,452
Custodian fees		13,860			23,821			4,738			53,740
Distribution fees		110,949			302,173			115			488,615
Insurance expenses		1,436			7,615			559			20,256
Legal fees		2,228			9,016			298			21,037
Miscellaneous expenses		3,494			20,816			1,297			37,452
Registration and filing fees		19,920			20,322			10,638			15,857
Reports to shareholders		1,795			19,816			602			35,656
Transfer agent fees		30,136			51,615			22,444			78,165
Trustees’ fees and expenses		1,422			11,883			823			30,440
Total operating expenses		421,226			1,513,913			162,603			3,534,822
Expenses waived and reimbursed (Note 5)		(65,943	)		(113,920	)		(66,167	)		(180,261	)
Net expenses		355,283			1,399,993			96,436			3,354,561
Net investment income		2,323,956			10,855,889			1,081,006			41,720,234
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts:
Net realized (loss)/gain on investments and futures contracts		(59,325	)		2,630,180			265,310			(1,690,682	)
Net change in unrealized (depreciation) on investments		(608,808	)		(12,451,668	)		(838,199	)		(41,275,976	)
Net realized and unrealized (loss) on investments and futures contracts		(668,133	)		(9,821,488	)		(572,889	)		(42,966,658	)
Net Increase/(Decrease) in Net Assets from Operations	$	1,655,823		$	1,034,401		$	508,117		$	(1,246,424	)

See accompanying notes to financial statements.

45

Metropolitan West Funds

Statements of Operations

For the Period Ended September 30, 2004 (Unaudited)

	High Yield Bond Fund			Strategic Income Fund			AlphaTrak 500 Fund
Investment Income:
Interest	$	2,478,638		$	4,045,756		$	2,463,279
Interest income on swap contracts (Note 3)		5,639			0			0
Dividends		0			76,453			14,579
Total investment income		2,484,277			4,122,209			2,477,858
Expenses:
Investment advisory fees (Note 5)		136,175			1,328,481			135,830
Interest expense on swap contracts (Note 3)		0			41,671			0
Administration fees		46,458			58,850			53,845
Auditing and tax consulting fees		8,176			4,837			8,909
Custodian fees		9,062			8,756			11,425
Distribution fees		43,948			133,166			0
Insurance expenses		1,191			1,414			1,766
Legal fees		678			1,495			1,668
Miscellaneous expenses		1,703			2,499			1,770
Registration and filing fees		12,064			16,674			7,514
Reports to shareholders		3,153			1,481			2,553
Transfer agent fees		21,791			25,963			17,131
Trustees’ fees and expenses		1,513			1,589			2,582
Repayment of reimbursed expenses		0			21,263			21,012
Total operating expenses		285,912			1,648,139			266,005
Expenses waived and reimbursed (Note 5)		(92,172	)		0			0
Net expenses		193,740			1,648,139			266,005
Net investment income		2,290,537			2,474,070			2,211,853
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts, Swap Contracts, and Securities Sold Short:
Net realized gain/(loss) on investments and futures contracts		814,673			(507,381	)		(7,066,746	)
Net realized gain on swap contracts, options, and securities sold short		59,509			1,041,610			0
Net change in unrealized (depreciation)/appreciation on investments		(1,409,898	)		(345,723	)		449,056
Net change in unrealized (depreciation)/appreciation on futures contracts		0			(22,145	)		4,291,765
Net change in unrealized (depreciation)/appreciation on swap contracts, options, and securities sold short		(8,039	)		206,231			0
Net realized and unrealized (loss)/gain on investments, futures contracts, swap contracts, and securities sold short		(543,755	)		372,592			(2,325,925	)
Net Increase/(Decrease) in Net Assets from Operations	$	1,746,782		$	2,846,662		$	(114,072	)

See accompanying notes to financial statements.

46

Metropolitan West Funds

Statements of Changes in Net Assets

	Ultra Short Bond Fund*
	Six Months Ended September 30, 2004 (Unaudited)			Period Ended March 31, 2004
Operations:
Net investment income	$	2,323,956		$	1,037,109
Net realized (loss)/gain on investments		(59,325	)		14,293
Net change in unrealized (depreciation)/appreciation on investments		(608,808	)		612,626
Net increase in net assets resulting from operations		1,655,823			1,664,028
Dividends and Distributions to Shareholders from:
Net investment income:
Class M		(2,236,664	)		(1,037,109	)
Class I		(88,318	)		0
Realized gains on investments:
Class M		0			(2,656	)
Class I		0			0
Net (decrease) in net assets resulting from dividends and distributions		(2,324,982	)		(1,039,765	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		94,090,898			153,131,880
Shares issued in reinvestment of dividends and distributions		1,813,603			1,022,903
Cost of shares redeemed		(106,502,818	)		(9,197,739	)
Total class M capital share transactions		(10,598,317	)		147,957,044
Class I:
Proceeds from sale of shares		32,077,381			0
Shares issued in reinvestment of dividends and distributions		22,389			0
Cost of shares redeemed		(9,642,028	)		0
Total class I capital share transactions		22,457,742			0
Net increase in net assets resulting from capital share transactions		11,859,425			144,957,044
Net increase in net assets		11,190,266			145,581,307
Net assets at beginning of period		145,581,307			0
Net assets at end of period (including undistributed net investment income of $0 and $1,026, respectively)	$	156,771,573		$	145,581,307

* The Ultra Short Bond Fund Class M and Class I Shares commenced operations on June 30, 2003 and July 30, 2004, respectively

See accompanying notes to financial statements.

47

Metropolitan West Funds

Statements of Changes in Net Assets

	Low Duration Bond Fund
	Six Months Ended September 30, 2004 (Unaudited)			Year Ended March 31, 2004
Operations:
Net investment income	$	10,855,889		$	23,568,055
Net realized gain on investments and futures contracts		2,630,180			5,835,561
Net change in unrealized (depreciation)/appreciation on investments		(12,451,668	)		4,816,333
Net change in unrealized appreciation on futures contracts		0			89,062
Net increase in net assets resulting from operations		1,034,401			34,309,011
Dividends and Distributions to Shareholders from:
Net investment income:
Class M		(6,183,247	)		(14,509,014	)
Class I		(4,993,350	)		(9,783,216	)
Net (decrease) in net assets resulting from dividends and distributions		(11,176,597	)		(24,292,230	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		73,348,076			149,448,816
Shares issued in reinvestment of dividends and distributions		5,297,446			14,210,489
Cost of shares redeemed		(95,092,034	)		(139,818,210	)
Total class M capital share transactions		(16,446,512	)		23,841,095
Class I:
Proceeds from sale of shares		84,791,373			194,300,402
Shares issued in reinvestment of dividends and distributions		3,531,195			7,719,120
Cost of shares redeemed		(40,453,138	)		(189,115,862	)
Total class I capital share transactions		47,869,430			12,903,660
Net increase in net assets resulting from capital share transactions		31,422,918			36,744,755
Net increase in net assets		21,280,722			46,761,536
Net assets at beginning of period		558,493,891			511,732,355
Net assets at end of period (including undistributed net investment (loss) of ($320,708) and $0, respectively)	$	579,774,613		$	558,493,891

See accompanying notes to financial statements.

48

Metropolitan West Funds

Statements of Changes in Net Assets

	Intermediate Bond Fund*
	Six Months Ended September 30, 2004 (Unaudited)			Year Ended March 31, 2004
Operations:
Net investment income	$	1,081,006		$	1,766,047
Net realized gain on investments and futures contracts		265,310			1,106,082
Net change in unrealized (depreciation)/appreciation on investments		(838,199	)		427,722
Net increase in net assets resulting from operations		508,117			3,299,851
Dividends and Distributions to Shareholders from:
Net investment income:
Class M		(2,592	)		(771	)
Class I		(1,078,414	)		(1,840,628	)
Realized gains on investments:
Class M		0			(277	)
Class I		0			(968,454	)
Net (decrease) in net assets resulting from dividends and distributions		(1,081,006	)		(2,810,130	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		51,243			74,481
Shares issued in reinvestment of dividends and distributions		1,778			885
Cost of shares redeemed		(96	)		0
Total class M capital share transactions		52,925			75,366
Class I:
Proceeds from sale of shares		8,286,643			33,374,973
Shares issued in reinvestment of dividends and distributions		906,081			2,714,403
Cost of shares redeemed		(4,553,360	)		(25,010,729	)
Total class I capital share transactions		4,639,364			11,078,647
Net increase in net assets resulting from capital share transactions		4,692,289			11,154,013
Net increase in net assets		4,119,400			11,643,734
Net assets at beginning of period		39,802,758			28,159,024
Net assets at end of period (including undistributed net investment income of $0 and $0, respectively)	$	43,922,158		$	39,802,758

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

See accompanying notes to financial statements.

49

Metropolitan West Funds

Statements of Changes in Net Assets

	Total Return Bond Fund
	Six Months Ended September 30, 2004 (Unaudited)			Year Ended March 31, 2004
Operations:
Net investment income	$	41,720,234		$	83,517,593
Net realized (loss)/gain on investments and futures contracts		(1,690,682	)		62,033,000
Net change in unrealized (depreciation)/appreciation on investments		(41,275,976	)		63,799,410
Net (decrease)/increase in net assets resulting from operations		(1,246,424	)		209,350,003
Dividends and Distributions to Shareholders from:
Net investment income:
Class M		(14,771,393	)		(30,739,385	)
Class I		(27,468,932	)		(59,289,054	)
Realized gains on investments:
Class M		0			0
Class I		0			0
Net (decrease) in net assets resulting from dividends and distributions		(42,240,325	)		(90,028,439	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		59,501,159			164,728,345
Shares issued in reinvestment of dividends and distributions		11,624,185			28,554,405
Cost of shares redeemed		(82,626,986	)		(288,509,720	)
Total class M capital share transactions		(11,501,642	)		(95,226,970	)
Class I:
Proceeds from sale of shares		44,771,369			153,365,000
Shares issued in reinvestment of dividends and distributions		21,815,559			56,698,336
Cost of shares redeemed		(130,901,132	)		(331,957,508	)
Total class I capital share transactions		(64,314,204	)		(121,894,172	)
Net (decrease) in net assets resulting from capital share transactions		(75,815,846	)		(217,121,142	)
Net (decrease) in net assets		(119,302,595	)		(97,799,578	)
Net assets at beginning of period		1,397,562,688			1,495,362,266
Net assets at end of period (including undistributed net investment (loss) of ($520,091) and $0, respectively)	$	1,278,260,093		$	1,397,562,688

See accompanying notes to financial statements.

50

Metropolitan West Funds

Statements of Changes in Net Assets

	High Yield Bond Fund
	Six Months Ended September 30, 2004 (Unaudited)			Year Ended March 31, 2004
Operations:
Net investment income	$	2,290,537		$	8,337,820
Net realized gain on investments and futures contracts		814,673			11,276,803
Net realized gain on swap contracts and securities sold short		59,509			403,199
Net change in unrealized (depreciation)/appreciation on investments		(1,409,898	)		922,913
Net change in unrealized (depreciation) on swap contracts and securities sold short		(8,039	)		0
Net increase in net assets resulting from operations		1,746,782			20,940,735
Dividends and Distributions to Shareholders from:
Net investment income:
Class M		(1,461,597	)		(6,839,208	)
Class I		(829,099	)		(1,385,369	)
Realized gains on investments:
Class M		0			(3,939,442	)
Class I		0			(579,539	)
Net (decrease) in net assets resulting from dividends and distributions		(2,290,696	)		(12,743,558	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		19,329,606			155,112,906
Shares issued in reinvestment of dividends and distributions		1,167,089			10,511,828
Cost of shares redeemed		(38,364,864	)		(171,677,591	)
Total class M capital share transactions		(17,868,169	)		(6,052,857	)
Class I:
Proceeds from sale of shares		500,977			21,442,246
Shares issued in reinvestment of dividends and distributions		647,213			1,867,768
Cost of shares redeemed		(396,500	)		(5,404,454	)
Total class I capital share transactions		751,690			17,905,560
Net (decrease)/increase in net assets resulting from capital share transactions		(17,116,479	)		11,852,703
Net (decrease)/increase in net assets		(17,660,393	)		20,049,880
Redemption fees		6,755			0
Net assets at beginning of period		69,045,707			48,995,827
Net assets at end of period (including undistributed net investment income of $0 and $159, respectively)	$	51,392,069		$	69,045,707

See accompanying notes to financial statements.

51

Metropolitan West Funds

Statements of Changes in Net Assets

	Strategic Income Fund*
	Six Months Ended September 30, 2004 (Unaudited)			Period Ended March 31, 2004
Operations:
Net investment income	$	2,474,070		$	536,327
Net realized (loss)/gain on investments		(507,381	)		271,757
Net realized gain on swap contracts and securities sold short		1,041,610			32,586
Net change in unrealized (depreciation)/appreciation on investments		(345,723	)		493,222
Net change in unrealized (depreciation)/appreciation on futures contracts		(22,145	)		141
Net change in unrealized appreciation on swap contracts and securities sold short		206,231			60,694
Net increase in net assets resulting from operations		2,846,662			1,394,727
Dividends and Distributions to Shareholders from:
Net investment income:
Class M		(1,531,794	)		(547,584	)
Class I		(605,411	)		0
Realized gains on investments
Class M		0			(8,043	)
Class I		0			0
Net (decrease) in net assets resulting from dividends and distributions		(2,137,205	)		(555,627	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		69,194,148			103,737,015
Shares issued in reinvestment of dividends and distributions		1,197,872			552,302
Cost of shares redeemed		(49,434,152	)		(8,326,575	)
Total class M capital share transactions		20,957,868			95,962,742
Class I:
Proceeds from sale of shares		57,587,406			0
Shares issued in reinvestment of dividends and distributions		350,378			0
Cost of shares redeemed		(1,331,965	)		0
Total class I capital share transactions		56,605,819			0
Net increase in net assets resulting from capital share transactions		77,563,687			95,962,742
Net increase in net assets		78,273,144			96,801,842
Net assets at beginning of period		96,801,842			0
Net assets at end of period (including undistributed net investment income of $337,929 and $1,064, respectively)	$	175,074,986		$	96,801,842

* The Strategic Income Fund Class M and Class I Shares commenced operations on June 30, 2003 and March 31, 2004, respectively

See accompanying notes to financial statements.

52

Metropolitan West Funds

Statements of Changes in Net Assets

	AlphaTrak 500 Fund
	Six Months Ended September 30, 2004 (Unaudited)			Year Ended March 31, 2004
Operations:
Net investment income	$	2,211,853		$	3,631,060
Net realized (loss)/gain on investments and futures contracts		(7,066,746	)		34,093,503
Net change in unrealized appreciation/(depreciation) on investments		449,056			(199,582	)
Net change in unrealized appreciation/(depreciation) on futures contracts		4,291,765			(2,900,592	)
Net (decrease)/increase in net assets resulting from operations		(114,072	)		34,624,389
Dividends and Distributions to Shareholders from:
Net investment income		(2,190,873	)		(3,926,008	)
Net (decrease) in net assets resulting from dividends and distributions		(2,190,873	)		(3,926,008	)
Capital Share Transactions:
Proceeds from sale of shares		18,518,157			25,682,992
Shares issued in reinvestment of dividends and distributions		944,295			3,505,148
Cost of shares redeemed		(12,014,491	)		(23,191,428	)
Net increase in net assets resulting from capital share transactions		7,447,961			5,996,712
Net increase in net assets		5,143,016			36,695,093
Net assets at beginning of period		125,048,059			88,352,966
Net assets at end of period (including undistributed net investment income of $20,980 and $0, respectively)	$	130,191,075		$	125,048,059

See accompanying notes to financial statements.

53

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*
	Class M			Class M
	Six Months Ended September 30, 2004# (Unaudited)			Period Ended March 31, 2004#
Net Asset Value, Beginning of Period	$	5.16		$	5.00
Income from Investment Operations:
Net investment income		0.08			0.16
Net realized and unrealized (loss)/gain on investments		(0.02	)		0.16
Total from Investment Operations		0.06			0.32
Less Distributions:
Dividends from net investment income		(0.08	)		(0.16	)
Distributions from net capital gains on investments		0.00			0.003
Total Distributions		(0.08	)		(0.16	)
Net Asset Value, End of Period	$	5.14		$	5.16
Total Return		1.24	%2		6.48	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	134,362		$	145,581
Ratio of Expenses to Average Net Assets
Before expense reimbursement		0.59	%1		0.76	%1
After expense reimbursement		0.50	%1		0.50	%1
Ratio of Net Income to Average Net Assets
Before expense reimbursement		3.13	%1		3.36	%1
After expense reimbursement		3.22	%1		3.62	%1
Portfolio Turnover Rate		20	%2		6	%2

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

¹ Annualized

² Non-annualized

³ Distributions were less than $.005

# 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.

54

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*
	Class I
	Period Ended September 30, 2004# (Unaudited)
Net Asset Value, Beginning of Period	$	5.15
Income from Investment Operations:
Net investment income		0.03
Net realized and unrealized (loss) on investments		(0.01	)
Total from Investment Operations		0.02
Less Distributions:
Dividends from net investment income		(0.03	)
Total Distributions		(0.03	)
Net Asset Value, End of Period	$	5.14
Total Return		0.39	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	22,409
Ratio of Expenses to Average Net Assets
Before expense reimbursement		0.52	%1
After expense reimbursement		0.34	%1
Ratio of Net Income to Average Net Assets
Before expense reimbursement		3.27	%1
After expense reimbursement		3.45	%1
Portfolio Turnover Rate		20	%2

* The Ultra Short Bond Fund Class I Shares commenced operations on July 30, 2004.

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.

55

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, 2004# (Unaudited)			Year Ended March 31, 2004#			Year Ended March 31, 2003#			Year Ended March 31, 2002#			Year Ended March 31, 2001#			Year Ended March 31, 2000#
Net Asset Value, Beginning of Period	$	9.55		$	9.36		$	9.87		$	10.03		$	9.99		$	10.15
Income from Investment Operations:
Net investment income		0.18			0.42			0.51	†		0.65	†		0.80			0.72
Net realized and unrealized (loss)/gain on investments and futures		(0.17	)		0.20			(0.51	)†		(0.18	)†		0.04			(0.11	)
Total from Investment Operations		0.01			0.62			0.00			0.47			0.84			0.61
Less Distributions:
Dividends from net investment income		(0.18	)		(0.43	)		(0.51	)		(0.63	)		(0.80	)		(0.72	)
Distributions from net capital gains on investments		0.00			0.00			0.00			0.00			0.00			(0.05	)
Total Distributions		(0.18	)		(0.43	)		(0.51	)		(0.63	)		(0.80	)		(0.77	)
Net Asset Value, End of Period	$	9.38		$	9.55		$	9.36		$	9.87		$	10.03		$	9.99
Total Return		0.16	%2		6.81	%		0.10	%		4.74	%		8.89	%		6.22	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	313,017		$	335,686		$	305,726		$	424,441		$	166,246		$	367,943
Ratio of Expenses to Average Net Assets
Before expense reimbursement		0.62	%1		0.64	%		0.62	%		0.64	%		0.65	%		0.66	%
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		3.74	%1		4.41	%		5.35	%†		6.24	%†		8.01	%		7.14	%
After expense reimbursement		3.78	%1		4.47	%		5.39	%†		6.30	%†		8.08	%		7.22	%
Portfolio Turnover Rate		56	%2		94	%		65	%		26	%		53	%		126	%

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.

^† Prior years’ data updated due to reclassification of paydown from capital gain/(loss) to net investment income. Due to this reclassification, net investment income increased and net realized and unrealized loss increased by $0.02 per share for the fiscal year ended March 31, 2002. The impact due to this reclassification was less than $0.005 per share for the fiscal year ended March 31, 2003.

See accompanying notes to financial statements.

56

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			Class I
	Six Months Ended September 30, 2004# (Unaudited)			Year Ended March 31, 2004#			Year Ended March 31, 2003#			Year Ended March 31, 2002#			Year Ended March 31, 2001#
Net Asset Value, Beginning of Period	$	9.55		$	9.36		$	9.87		$	10.03		$	9.99
Income from Investment Operations:
Net investment income		0.19			0.43			0.53	†		0.67	†		0.82
Net realized and unrealized (loss)/gain on investments and futures		(0.16	)		0.21			(0.51	)†		(0.18	)†		0.04
Total from Investment Operations		0.02			0.64			0.02			0.49			0.86
Less Distributions:
Dividends from net investment income		(0.19	)		(0.45	)		(0.53	)		(0.65	)		(0.82	)
Total Distributions		(0.19	)		(0.45	)		(0.53	)		(0.65	)		(0.82	)
Net Asset Value, End of Period	$	9.38		$	9.55		$	9.36		$	9.87		$	10.03
Total Return		0.25	%2		7.01	%		0.29	%		4.94	%		9.10	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	266,757		$	222,808		$	206,006		$	327,473		$	257,021
Ratio of Expenses to Average Net Assets
Before expense reimbursement		0.43	%1		0.45	%		0.43	%		0.45	%		0.46	%
After expense reimbursement		0.39	%1		0.39	%		0.39	%		0.39	%		0.39	%
Ratio of Net Income to Average Net Assets
Before expense reimbursement		3.91	%1		4.52	%		5.54	%†		6.43	%†		8.20	%
After expense reimbursement		3.95	%1		4.58	%		5.58	%†		6.49	%†		8.27	%
Portfolio Turnover Rate		56	%2		94	%		65	%		26	%		53	%

¹ Annualized

² Non-Annualized

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

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

^† Prior years’ data updated due to reclassification of paydown from capital gain/(loss) to net investment income. Due to this reclassification, net investment income increased and net realized and unrealized loss increased by $0.02 per share for the fiscal year ended March 31, 2002. The impact due to this reclassification was less than $0.005 per share for the fiscal year ended March 31, 2003.

See accompanying notes to financial statements.

57

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			Class M
	Six Months Ended September 30, 2004# (Unaudited)			Period Ended March 31, 2004#
Net Asset Value, Beginning of Period	$	10.72		$	10.88
Income from Investment Operations:
Net investment income		0.25			0.32
Net realized and unrealized (loss)/gain on investments		(0.15	)		0.22
Total from Investment Operations		0.10			0.54
Less Distributions:
Dividends from net investment income		(0.25	)		(0.40	)
Distributions from net capital gains on investments		0.00			(0.29	)
Total Distributions		(0.25	)		(0.70	)
Net Asset Value, End of Period	$	10.57		$	10.72
Total Return		0.97	%2		5.12	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	127		$	75
Ratio of Expenses to Average Net Assets
Before expense reimbursement		0.96	%1		1.05	%1
After expense reimbursement		0.65	%1		0.65	%1
Ratio of Net Income to Average Net Assets
Before expense reimbursement		4.42	%1		3.53	%1
After expense reimbursement		4.73	%1		3.93	%1
Portfolio Turnover Rate		101	%2		165	%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.

58

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			Class I
	Six Months Ended September 30, 2004# (Unaudited)			Year Ended March 31, 2004#			Period Ended March 31, 2003#
Net Asset Value, Beginning of Period	$	10.71		$	10.49		$	10.00
Income from Investment Operations:
Net investment income		0.26			0.56			0.35	†
Net realized and unrealized gain on investments		(0.14	)		0.54			0.64	†
Total from Investment Operations		0.12			1.10			0.99
Less Distributions:
Dividends from net investment income		(0.26	)		(0.59	)		(0.40	)
Distributions from net capital gains on investments		0.00			(0.29	)		(0.10	)
Total Distributions		(0.26	)		(0.88	)		(0.50	)
Net Asset Value, End of Period	$	10.57		$	10.71		$	10.49
Total Return		1.17	%2		10.86	%		10.07	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	43,795		$	39,727		$	28,159
Ratio of Expenses to Average Net Assets				��
Before expense reimbursement		0.74	%1		0.79	%		0.64	%1
After expense reimbursement		0.44	%1		0.44	%		0.44	%1
Ratio of Net Income to Average Net Assets
Before expense reimbursement		4.64	%1†		4.88	%		4.25	%1†
After expense reimbursement		4.94	%1†		5.23	%		4.45	%1†
Portfolio Turnover Rate		101	%2		165	%		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.

^† Prior years’ data updated due to reclassification of paydown from capital gain/(loss) to net investment income. Due to this reclassification, net investment income decreased and net realized and unrealized gain increased by $0.05 per share for the fiscal year ended March 31, 2003.

See accompanying notes to financial statements.

59

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, 2004# (Unaudited)			Year Ended March 31, 2004#			Year Ended March 31, 2003#			Year Ended March 31, 2002#			Year Ended March 31, 2001#			Year Ended March 31, 2000#
Net Asset Value, Beginning of Period	$	10.06		$	9.28		$	9.95		$	10.34		$	10.08		$	10.53
Income from Investment Operations:
Net investment income		0.31			0.55			0.70	†		0.74	†		0.92			0.78
Net realized and unrealized (loss)/gain on investments and futures contracts		(0.31	)		0.82			(0.63	)†		(0.30	)†		0.26			(0.44	)
Total from Investment Operations		(0.00	)		1.37			0.07			0.44			1.18			0.34
Less Distributions:
Dividends from net investment income		(0.31	)		(0.59	)		(0.70	)		(0.73	)		(0.92	)		(0.78	)
Distributions from net capital gains on investments		0.00			0.00			(0.04	)		(0.10	)		0.00			(0.01	)
Total Distributions		(0.31	)		(0.59	)		(0.74	)		(0.83	)		(0.92	)		(0.79	)
Net Asset Value, End of Period	$	9.75		$	10.06		$	9.28		$	9.95		$	10.34		$	10.08
Total Return		0.06	%2		15.15	%		0.91	%		4.39	%		12.46	%		3.39	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	471,202		$	498,299		$	550,891		$	692,279		$	426,467		$	250,794
Ratio of Expenses to Average Net Assets
Before expense reimbursement	��	0.68	%1		0.67	%		0.67	%		0.68	%		0.71	%		0.77	%
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		6.24	%1		5.60	%		7.42	%		7.16	%†		9.10	%		7.56	%
After expense reimbursement		6.27	%1		5.62	%		7.44	%		7.19	%†		9.16	%		7.68	%
Portfolio Turnover Rate		93	%2		165	%		90	%		78	%		205	%		128	%

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.

^† Prior years’ data updated due to reclassification of paydown from capital gain/(loss) to net investment income. Due to this reclassification, net investment income increased and net realized and unrealized loss increased by $0.01 per share for the fiscal year ended March 31, 2002. The impact due to this reclassification was less than $0.005 per share for the fiscal year ended March 31, 2003.

See accompanying notes to financial statements.

60

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			Class I
	Six Months Ended September 30, 2004# (Unaudited)			Year Ended March 31, 2004#			Year Ended March 31, 2003#			Year Ended March 31, 2002#			Year Ended March 31, 2001#
Net Asset Value, Beginning of Period	$	10.06		$	9.27		$	9.94		$	10.34		$	10.08
Income from Investment Operations:
Net investment income		0.32			0.57			0.72	†		0.76	†		0.94
Net realized and unrealized (loss)/gain on investments and futures contracts		(0.31	)		0.83			(0.63	)†		(0.31	)†		0.26
Total from Investment Operations		0.01			1.40			0.09			0.45			1.20
Less Distributions:
Dividends from net investment income		(0.32	)		(0.61	)		(0.72	)		(0.75	)		(0.94	)
Distributions from net capital gains on investments		0.00			0.00			(0.04	)		(0.10	)		0.00
Total Distributions		(0.32	)		(0.61	)		(0.76	)		(0.85	)		(0.94	)
Net Asset Value, End of Period	$	9.75		$	10.06		$	9.27		$	9.94		$	10.34
Total Return		0.16	%2		15.51	%		1.11	%		4.51	%		12.70	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	807,058		$	899,263		$	944,471		$	1,106,907		$	605,159
Ratio of Expenses to Average Net Assets
Before expense reimbursement		0.47	%1		0.46	%		0.46	%		0.47	%		0.50	%
After expense reimbursement		0.44	%1		0.44	%		0.44	%		0.44	%		0.44	%
Ratio of Net Income to Average Net Assets
Before expense reimbursement		6.45	%1		5.81	%		7.63	%		7.37	%†		9.31	%
After expense reimbursement		6.48	%1		5.83	%		7.65	%		7.40	%†		9.37	%
Portfolio Turnover Rate		93	%2		165	%		90	%		78	%		205	%

¹ Annualized

² Non-Annualized

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

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

^† Prior years’ data updated due to reclassification of paydown from capital gain/(loss) to net investment income. Due to this reclassification, net investment income increased and net realized and unrealized loss increased by $0.01 per share for the fiscal year ended March 31, 2002. The impact due to this reclassification was less than $0.005 per share for the fiscal year ended March 31, 2003.

See accompanying notes to financial statements.

61

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 M			Class M			Class M
	Six Months Ended September 30, 2004# (Unaudited)			Year Ended March 31, 2004#			Period Ended March 31, 2003#
Net Asset Value, Beginning of Period	$	12.50		$	11.38		$	10.00
Income from Investment Operations:
Net investment income		0.51			0.93			0.47	†
Net realized and unrealized (loss)/gain on investments and futures contracts		(0.11	)		1.50			1.38	†
Total from Investment Operations		0.40			2.43			1.85
Less Distributions:
Dividends from net investment income		(0.51	)		(0.92	)		(0.47	)
Distributions from net capital gains on investments		0.00			(0.39	)		0.00
Total Distributions		(0.51	)		(1.31	)		(0.47	)
Redemption fees added to paid in capital (Note 7)		0.00	+		0.00			0.00
Net Asset Value, End of Period	$	12.39		$	12.50		$	11.38
Total Return		3.34	%2		21.99	%		18.79	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	31,656		$	49,917		$	48,996
Ratio of Expenses to Average Net Assets
Before expense reimbursement		1.14	%1		1.09	%3		1.20	%1
After expense reimbursement		0.80	%1		0.80	%3		0.80	%1
Ratio of Net Income to Average Net Assets
Before expense reimbursement		7.97	%1		7.19	%		8.90	%1†
After expense reimbursement		8.31	%1		7.48	%		9.30	%1†
Portfolio Turnover Rate		89	%2		268	%		200	%2

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

¹ Annualized

² Non-annualized

³ The Fund incurred interest expense on swap contracts during the fiscal year ended March 31, 2004. If interest expense had been included, the ratio of expenses before and after reimbursement to average net assets would have been 1.10% and 0.81%, respectively.

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

^† Prior years’ data updated due to reclassification of paydown from capital gain/(loss) to net investment income. The impact due to this reclassification was less than $0.005 per share for the fiscal year ended March 31, 2003.

⁺ Amount represents less than $0.005 per share

See accompanying notes to financial statements.

62

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			Class I
	Six Months Ended September 30, 2004# (Unaudited)			Year Ended March 31, 2004#
Net Asset Value, Beginning of Period	$	12.51		$	11.38
Income from Investment Operations:
Net investment income		0.53			0.98
Net realized and unrealized (loss)/gain on investments and futures contracts		(0.11	)		1.49
Total from Investment Operations		0.42			2.47
Less Distributions:
Dividends from net investment income		(0.53	)		(0.95	)
Distributions from net capital gains on investments		0.00			(0.39	)
Total Distributions		(0.53	)		(1.34	)
Redemption fees added to paid in capital (Note 7)		0.00	†		0.00
Net Asset Value, End of Period	$	12.40		$	12.51
Total Return		3.47	%2		22.35	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	19,736		$	19,129
Ratio of Expenses to Average Net Assets
Before expense reimbursement		0.89	%1		0.84	%3
After expense reimbursement		0.55	%1		0.55	%3
Ratio of Net Income to Average Net Assets
Before expense reimbursement		8.25	%1		7.57	%
After expense reimbursement		8.59	%1		7.86	%
Portfolio Turnover Rate		89	%2		268	%

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

¹ Annualized

² Non-annualized

³ The Fund incurred interest expense on swap contracts during the fiscal year ended March 31, 2004. If interest expense had been included, the ratio of expenses before and after reimbursement to average net assets would have been 0.86% and 0.59%, respectively.

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

^† Amount represents less than $0.005 per share

See accompanying notes to financial statements.

63

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*
	Class M			Class M
	Six Months Ended September 30, 2004# (Unaudited)			Period Ended March 31, 2004#
Net Asset Value, Beginning of Period	$	11.27		$	10.00
Income from Investment Operations:
Net investment income		0.19			0.28
Net realized and unrealized (loss)/gain on investments, futures contracts, swap contracts, options, and securities sold short		(0.01	)		1.33
Total from Investment Operations		0.18			1.61
Less Distributions:
Dividends from net investment income		(0.16	)		(0.33	)
Distributions from net capital gains on investments		0.00			(0.01	)
Total Distributions		(0.16	)		(0.34	)
Net Asset Value, End of Period	$	11.29		$	11.27
Total Return		1.63	%2		16.27	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	118,146		$	96,802
Ratio of Expenses to Average Net Assets
Before expense reimbursement		2.29	%1,3		2.62	%1,3
After expense reimbursement		2.29	%1,3		2.35	%1,3
Ratio of Net Income to Average Net Assets
Before expense reimbursement		3.31	%1		3.10	%1
After expense reimbursement		3.31	%1		3.37	%1
Portfolio Turnover Rate		36	%2		96	%2

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

¹ Annualized

² Non-annualized

³ The Fund incurred interest expense on swap contracts during the six months ended September 30, 2004 and the fiscal year ended March 31, 2004. If interest expense had been included, the ratio of expenses before reimbursement would have been 2.35% and 2.70%, respectively, and the ratio of expenses after reimbursement would have been 2.35% and 2.43%, respectively.

# 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.

64

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*
		Class I
		Period Ended September 30, 2004# (Unaudited)
Net Asset Value, Beginning of Period		$	11.27
Income from Investment Operations:
Net investment income			0.21
Net realized and unrealized (loss) on investments, futures contracts, swap contracts, and securities sold short			(0.01	)
Total from Investment Operations			0.20
Less Distributions:
Dividends from net investment income			(0.18	)
Total Distributions	��		(0.18	)
Net Asset Value, End of Period		$	11.29
Total Return			1.76	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	56,929
Ratio of Expenses to Average Net Assets
Before expense reimbursement			2.03	%1,3
After expense reimbursement			2.03	%1,3
Ratio of Net Income to Average Net Assets
Before expense reimbursement			3.73	%1
After expense reimbursement			3.73	%1
Portfolio Turnover Rate			36	%2

* The Strategic Income Fund Class I Shares commenced operations on March 31, 2004.

¹ Annualized

² Non-annualized

³ The Fund incurred interest expense on swap contracts during the six months ended September 30, 2004. If interest expense had been included, the ratio of expenses before and after reimbursement to average net assets would have been 2.08% and 2.08%, respectively.

# 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.

65

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, 2004# (Unaudited)			Year Ended March 31, 2004#			Year Ended March 31, 2003#			Year Ended March 31, 2002#			Year Ended March 31, 2001#			Year Ended March 31, 2000#
Net Asset Value, Beginning of Period	$	7.33		$	5.49		$	8.20		$	8.47		$	11.90		$	11.40
Income from Investment Operations:
Net investment income		0.12			0.22			0.32	†		0.48	†		0.75			0.63
Net realized and unrealized (loss)/gain on investments and futures contracts		(0.13	)		1.85			(2.61	)†		(0.27	)†		(3.12	)		1.43
Total from Investment Operations		(0.01	)		2.07			(2.29	)		0.21			(2.37	)		2.06
Less Distributions:
Dividends from net investment income		(0.12	)		(0.23	)		(0.42	)		(0.48	)		(0.74	)		(0.70	)
Distributions from net capital gains on investments		0.00			0.00			0.00			0.00			(0.32	)		(0.86	)
Total Distributions		(0.12	)		(0.23	)		(0.42	)		(0.48	)		(1.06	)		(1.56	)
Net Asset Value, End of Period	$	7.20		$	7.33		$	5.49		$	8.20		$	8.47		$	11.90
Total Return		(0.13	)%2		38.16	%		(28.35	)%		2.66	%		(21.20	)%		19.28	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	130,191		$	107,551		$	88,353		$	86,749		$	54,367		$	26,931
Ratio of Expenses to Average Net Assets
Before expense reimbursement		0.41	%1		0.88	%		0.55	%		0.89	%		0.88	%		1.59	%
After expense reimbursement		0.41	%1		0.88	%		0.55	%		0.80	%		0.63	%		0.66	%
Ratio of Net Income to Average Net Assets
Before expense reimbursement		3.37	%1		3.25	%		5.10	%†		5.70	%†		7.31	%		5.56	%
After expense reimbursement		3.37	%1		3.25	%		5.10	%†		5.79	%†		7.56	%		6.49	%
Portfolio Turnover Rate		40	%2		67	%		72	%		23	%		82	%		280	%

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.

^† Prior years’ data updated due to reclassification of paydown from capital gain/(loss) to net investment income. Due to this reclassification, net investment income decreased and net realized and unrealized loss decreased by $0.01 per share for the fiscal year ended March 31, 2003. The impact due to this reclassification was less than $0.005 per share for the fiscal year ended March 31, 2002.

See accompanying notes to financial statements.

66

Metropolitan West Funds

Notes to Financial Statements

September 30, 2004

(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^SM 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 March 31, 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 Strategic Income Fund – Class I commenced operations on March 31, 2004 and the Ultra Short Bond Fund – Class I commenced operations on July 30, 2004.

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 and swaps 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.

67

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. The Funds receive pricing information from independent pricing vendors (approved by the Board of Trustees) which also use information provided by market makers or estimates of values obtained from yield data relating to investments of securities with similar characteristics. 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 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. At least once a 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, which mature in less than 60 days are valued at amortized cost if their original maturity was 60 days or less. If their original term to maturity exceeded 60 days, they are valued by amortizing the value as of the 61^st day prior to maturity (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. EST on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange that 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.

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.

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.

68

Notes to Financial Statements (continued)

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, 2004, 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 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 also sell a debt or equity security short that is, without owning it and borrow the same security from a broker or other institution to complete the sale. The Adviser may use short sales when it believes a security is overvalued or as a partial hedge against a position in a related security of the same issuer held by a Fund. The Ultra Short Bond Fund, Low Duration Bond Fund, Intermediate Bond Fund, and Total Return Bond Fund, will not make total short sales exceeding 25% of the value of that Fund’s assets. The High Yield Bond Fund and Strategic Income

69

Notes to Financial Statements (continued)

Fund will not make total short sales exceeding 33 ¹/3% of the Fund’s assets. If the value of the security sold short increases, a Fund would lose money because it would need to replace the borrowed security by purchasing it at a higher price. The potential loss is unlimited. (If the short sale was intended as a hedge against another investment, the loss on the short sale may be fully or partially offset by gains in that other investment.)

A lender may request that the borrowed securities be returned on short notice; if that occurs at a time when other short sellers of the subject security are receiving similar requests, a “short squeeze” can occur. This means that the Fund might be compelled, at the most disadvantageous time, to replace borrowed securities previously sold short, with purchases on the open market at prices significantly greater than those at which the securities were sold short. Short selling also may produce higher than normal portfolio turnover and result in increased transaction costs to the Fund. The Funds also may make short sales “against-the-box”, in which the Funds sell short securities they own. The Funds will incur transaction costs, including interest expenses, in connection with opening, maintaining and closing short sales against-the-box, which result in a “constructive sale”, requiring the Fund to recognize any taxable gain from the transaction.

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 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.

The Strategic Income Fund and High Yield Bond Fund may invest in swap agreements. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than a year. In a standard swap transaction, two parties agree to exchange the returns earned on specific assets, such as the return on, or increase in value of, a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index. A swap contract may not be assigned without the consent of the counter-party (and in certain circumstances may not be assignable), and may result in losses in the event of a default or bankruptcy of the counter-party. The Funds may enter into credit default swap agreements. The “buyer” in a credit default contract is obligated to pay the “seller” a periodic, stream of payments over the term of the contract provided no event of default has occurred. In the event of default, the seller must pay the buyer the “par value” (full notional value) of the reference obligation in exchange for the reference obligation. The Funds may be either the buyer or seller in the transaction. If the fund is a buyer and no event of default occurs, the fund loses its investment and recovers nothing. However, if an event of default occurs, the buyer receives full notional value for a reference obligation that may have little or no value. As a seller, the Fund receives a fixed rate of income throughout the term of the contract, provided there is no default event. If an event of default occurs, the seller may pay the notional value of the reference obligation. The value of the reference obligation received by the seller, coupled with the periodic payments previously received may be less than the full notional value it pays to the buyer, resulting in a loss of value to the Fund. Credit default swaps involve greater risks than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps are subject to illiquidity risk, counter-party risk and credit risk.

70

Notes to Financial Statements (continued)

4. SECURITIES TRANSACTIONS

Investment transactions for the period ended September 30, 2004, excluding short-term investments, were as follows:

	Purchases		Sales
Ultra Short Bond Fund	$	79,717,226	$	23,940,048
Low Duration Bond Fund		362,704,878		274,824,381
Intermediate Bond Fund		45,078,685		38,345,119
Total Return Bond Fund		1,106,828,895		1,117,259,735
High Yield Bond Fund		47,331,951		61,715,739
Strategic Income Fund		117,522,096		39,896,152
AlphaTrak 500 Fund		63,835,480		40,355,879

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 before management fees, for the relevant performance period, exceeds or is exceeded by, the performance of the S&P 500 Index plus a margin of 1.00% over the same period. Under this agreement, the basic fee was decreased by 0.14% resulting in $135,830 of total management fees for the period ended September 30, 2004. 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 before management fees, for the relevant performance period, exceeds or is exceeded by, the performance of the Merrill Lynch 3 month U.S. Treasury Bill Index plus a margin of 2.00% over the same period. Under this agreement, the basic fee was increased by 0.63% resulting in $1,328,481 of total management fees for the period ended September 30, 2004. 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 and other transactions with affiliates, for the period ended September 30, 2004, were as follows:

	Investment Advisory Fee Rate		Voluntary Expense Limitation
	Class M	Class I	Class M	Class I
Ultra Short Bond Fund	0.25%	0.25%	0.50%	0.50%
Low Duration Bond Fund	0.30	0.30%	0.50	0.39%
Intermediate Bond Fund	0.35	0.35	0.58	0.44
Total Return Bond Fund	0.35	0.35	0.65	0.44
High Yield Bond Fund	0.50	0.50	0.65	0.55
Strategic Income Fund	0.50 - 1.90	0.50 - 1.90	0.95 - 2.35	0.70 - 2.10
AlphaTrak 500 Fund	0.00 - 0.70	N/A	0.20 - 0.90	N/A

The Adviser plans to send proxy materials to shareholders of the AlphaTrak 500 Fund and the Strategic Income Fund to seek approval of an amendment to the Investment Management Agreement with respect to those two funds. The proposed amendment will, among other things, specify that the performance adjustment to the basic fee described above will be applied to the average daily net assets over the performance period applicable to the relevant fund rather than to more current average daily net assets. In addition, as will be described in more detail in those proxy materials, the financial statements for those funds reflect a correction made by the Adviser, effective as of September 30, 2004, to credit those funds for the excess advisory fees paid by those funds as a result of the prior application of the performance adjustment to the basic fee. As a result of this correction, the Adviser reimbursed the AlphaTrak 500 Fund and Strategic Income Fund in the amounts of $99,696 and $337,217, which included interest.

71

Notes to Financial Statements (continued)

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, 2005. 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
	Class M		Class M*		Class I**
	Period Ended September, 30 2004 (Unaudited)		Period Ended March 31, 2004		Period Ended September, 30 2004 (Unaudited)
Change in Fund shares:
Shares outstanding at beginning of period	28,214,896		0		0
Shares sold	18,259,247		29,801,598		6,230,407
Shares issued through reinvestment of dividends	352,293		198,631		4,356
Shares redeemed	(20,691,321	)	(1,785,333	)	(1,873,294	)
Net (decrease)/increase in fund shares	(2,079,781	)	28,214,896		4,361,469
Shares outstanding at end of period	26,135,115		28,214,896		4,361,469

	Low Duration Bond Fund
	Class M		Class M		Class I		Class I
	Period Ended September, 30 2004 (Unaudited)		Year Ended March 31, 2004		Period Ended September, 30 2004 (Unaudited)		Year Ended March 31, 2004
Change in Fund shares:
Shares outstanding at beginning of period	35,154,159		32,663,697		23,327,361		22,003,239
Shares sold	7,790,207		15,738,456		9,010,797		20,446,811
Shares issued through reinvestment of dividends	564,864		1,498,295		376,575		813,730
Shares redeemed	(10,137,926	)	(14,746,289	)	(4,282,416	)	(19,936,419	)
Net (decrease)/increase in fund shares	(1,782,855	)	2,490,462		5,104,956		1,324,122
Shares outstanding at end of period	33,371,304		35,154,159		28,432,317		23,327,361

* Class M Shares commenced operations on June 30, 2003

** Class I Shares commenced operations on July 30, 2004

72

Notes to Financial Statements (continued)

	Intermediate Bond Fund
	Class M		Class M*	Class I		Class I
	Period Ended September, 30 2004 (Unaudited)		Period Ended March 31, 2004	Period Ended September, 30 2004 (Unaudited)		Year Ended March 31, 2004
Change in Fund shares:
Shares outstanding at beginning of period	7,024		0	3,708,508		2,685,416
Shares sold	4,847		6,941	784,917		3,064,280
Shares issued through reinvestment of dividends	169		83	86,173		253,978
Shares redeemed	(9	)	0	(434,979	)	(2,295,166	)
Net increase in fund shares	5,007		7,024	436,111		1,023,092
Shares outstanding at end of period	12,031		7,024	4,144,619		3,708,508

	Total Return Bond Fund
	Class M		Class M		Class I		Class I
	Period Ended September, 30 2004 (Unaudited)		Year Ended March 31, 2004		Period Ended September, 30 2004 (Unaudited)		Year Ended March 31, 2004
Change in Fund shares:
Shares outstanding at beginning of period	49,509,294		59,384,577		89,366,290		101,834,535
Shares sold	6,105,831		16,833,203		4,600,250		15,676,102
Shares issued through reinvestment of dividends	1,198,696		2,927,114		2,250,329		5,812,836
Shares redeemed	(8,498,562	)	(29,635,600	)	(13,441,696	)	(33,957,183	)
Net (decrease) in fund shares	(1,194,035	)	(9,875,283	)	(6,591,117	)	(12,468,245	)
Shares outstanding at end of period	48,315,259		49,509,294		82,775,173		89,366,290

	High Yield Bond Fund
	Class M		Class M		Class I		Class I
	Period Ended September, 30 2004 (Unaudited)		Year Ended March 31, 2004		Period Ended September, 30 2004 (Unaudited)		Year Ended March 31, 2004
Change in Fund shares:
Shares outstanding at beginning of period	3,993,289		4,306,807		1,529,528		0
Shares sold	1,563,946		12,455,774		41,486		1,811,612
Shares issued through reinvestment of dividends	95,497		839,333		52,938		149,533
Shares redeemed	(3,098,718	)	(13,608,625	)	(32,400	)	(431,617	)
Net (decrease)/increase in fund shares	(1,439,275	)	(313,518	)	62,024		1,529,528
Shares outstanding at end of period	2,554,014		3,993,289		1,591,552		1,529,528

* Class M Shares commenced operations on June 30, 2003

73

Notes to Financial Statements (continued)

	Strategic Income Fund						AlphaTrak 500 Fund
	Class M		Class M*		Class I***
	Period Ended September, 30 2004 (Unaudited)		Period Ended March 31, 2004		Period Ended September, 30, 2004 (Unaudited)		Period Ended September, 30 2004 (Unaudited)		Year Ended March 31, 2004
Change in Fund shares:
Shares outstanding at beginning of period	8,586,557		0		0		17,058,513		16,093,923
Shares sold	6,178,084		9,278,858		5,128,581		2,540,022		3,860,621
Shares issued through reinvestment of dividends	106,952		49,295		31,270		128,127		512,649
Shares redeemed	(4,409,786	)	(741,596	)	(118,595	)	(1,644,104	)	(3,408,680	)
Net increase in fund shares	1,875,250		8,586,557		5,041,256		1,024,045		964,590
Shares outstanding at end of period	10,461,807		8,586,557		5,041,256		18,082,558		17,058,513

* Class M Shares commenced operations on June 30, 2003

*** Class I Shares commenced operations on March 31, 2004

Redemption Fee:

The High Yield Bond Fund charges a 1.00% redemption fee when shares are redeemed (either by selling or by exchanging into another fund) within 6 months of purchase. The redemption fee will be assessed on the net asset value of the shares redeemed or exchanged, will be withheld from the redemption proceeds and paid directly to the Fund.

8. FEDERAL TAX INFORMATION

Capital Loss Carryforwards:

At March 31, 2004 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
Low Duration Bond Fund	$	1,753,013	$	7,389,225	$	1,278,315
Total Return Bond Fund		0		0		19,394,109
AlphaTrak 500 Fund		0		0		18,311,413

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, 2004, none of the Funds had deferred capital losses.

9. INDEMNIFICATIONS

Under the Funds’ organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Funds. In addition, in normal course of business, the Funds enter into contracts with their vendors and others that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown, as this would involve further claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.

74

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

Scott Sale

Officers

Scott B. Dubchansky

Chairman of the Board, President, and

Principal Executive Officer

Joseph D. Hattesohl

Treasurer and Principal Financial Officer

James E. Menvielle

Assistant Treasurer and Principal Accounting Officer

Lara E. Mulpagano

Secretary

Keith T. Kirk

Chief Compliance Officer

Adviser:	Auditors:
Metropolitan West Asset Management, LLC	Deloitte & Touche LLP
11766 Wilshire Boulevard, Suite 1580	1700 Market Street
Los Angeles, CA 90025	Philadelphia, PA 19103
Custodian:	Distributor:
The Bank of New York	PFPC Distributors, Inc.
One Wall Street	760 Moore Road
New York, NY 10286	King of Prussia, PA 19406
Transfer Agent:	Legal Counsel:
PFPC Inc.	Paul, Hastings, Janofsky & Walker LLP
760 Moore Road	55 Second Street, 24th Floor
King of Prussia, PA 19406	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, procedures, and how the Funds’ voted proxies relating to portfolio’s securities during the most recent 12 month period ending September 30, 2004 are 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.

METSAR2004

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed registrants.

Not applicable.

Item 6. Schedule of Investments

Not yet applicable.

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

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not yet applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.

Item 11. 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 Securities Exchange Act of 1934, as amended (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 12. Exhibits.

(a)(1)     Not applicable.

(a)(2)     Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3)     Not applicable.

(b)          Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

SIGNATURES

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

(Registrant)                 Metropolitan West Funds                                                                                              

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

                                                     Scott B. Dubchansky, Chairman and President

                                                     Principal Executive Officer

Date     November 30, 2004                                                                                                                                                                            

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     November 30, 2004                                                                                                                                                                            

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

                                                     Joseph D. Hattesohl, Treasurer

                                                     Principal Financial Officer

Date     November 30, 2004                                                                                                                                                                            

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