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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 811-10263
GuideStone Funds
(Exact name of registrant as specified in charter)
2401 Cedar Springs Road Dallas, TX | 75201-1407 | |
| ||
(Address of principal executive offices) | (Zip code) |
Rodney R. Miller, Esq.
GuideStone Financial Resources of the Southern Baptist Convention
2401 Cedar Springs Road
Dallas, TX 75201-1407
(Name and address of agent for service)
registrant’s telephone number, including area code: 214-720-2142
Date of fiscal year end: December 31
Date of reporting period: June 30, 2006
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
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Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
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![]() | ![]() | |
SEMI-ANNUAL REPORT | ||
![]() | JUNE 30, 2006 (UNAUDITED)
Blended Funds:
• Flexible Income Fund • Growth & Income Fund • Capital Opportunities Fund • Global Equity Fund • Flexible Income Fund I • Growth & Income Fund I • Capital Opportunities Fund I • Global Equity Fund I
Select Funds:
• Money Market Fund • Low-Duration Bond Fund • Medium-Duration Bond Fund • Extended-Duration Bond Fund • Equity Index Fund • Value Equity Fund • Growth Equity Fund • Small Cap Equity Fund • International Equity Fund |
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GuideStone Funds
GuideStone Financial Resources of the Southern Baptist Convention (“GuideStone Financial Resources”)
GuideStone Capital Management (“GSCM”)
GuideStone Financial Services (“GSFS”)
PFPC Distributors, Inc. (“PFPC”)
NOTICE CONCERNING YOUR PRIVACY RIGHTS
This notice will provide you with information concerning our policies with respect to nonpublic personal information that we collect about you in connection with the following financial products and services provided and/or serviced by the entities listed above: individual retirement accounts (“IRAs”) and/or personal mutual fund accounts.
The confidentiality of your information is important to us as we recognize that you depend on us to keep your information confidential, as described in this notice.
We collect nonpublic personal information about you with regard to your IRA and/or personal mutual fund accounts from the following sources:
• | Information we receive from you on applications or other forms; |
• | Information about your transactions with us, our affiliates or others (including our third-party service providers); |
• | Information we receive from others such as service providers, broker-dealers and your personal agents or representatives; and |
• | Information you and others provide to us in correspondence sent to us, whether written, electronic or by telephone. |
We may disclose such nonpublic personal financial information about you to one or more of our affiliates. An affiliate of an organization means any entity that controls, is controlled by, or is under common control with that organization. For example, GuideStone Financial Resources, GSCM and GSFS are affiliates of one another. GuideStone Funds, GuideStone Financial Resources, GSCM, GSFS and PFPC do not sell your personal information to nonaffiliated third parties.
We may also disclose any of the personal information that we collect about you to nonaffiliated third parties as permitted by law. For example, we may provide your information to nonaffiliated companies that provide account services or that perform marketing services on our behalf and to other financial institutions with whom we have joint marketing agreements. We restrict access to nonpublic personal information about you to those of our employees who need to know that information in order for us to provide and/or service products or services to you. We also maintain physical, electronic, and procedural safeguards to guard your personal information.
These procedures will continue to remain in effect after you cease to receive financial products and services from us.
If you have any questions concerning our customer information policy, please contact a customer service representative at 1-888-98-GUIDE.
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3 | ||
4 | ||
Blended Funds: | ||
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14 | ||
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28 | ||
30 | ||
Select Funds: | ||
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38 | ||
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63 | ||
68 | ||
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81 | ||
89 | ||
97 | ||
98 | ||
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127 |
This report has been prepared for shareholders of GuideStone Funds. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current prospectus, which contains more complete information about the Funds. Investors are reminded to read the prospectus carefully before investing. Past performance is no guarantee of future results. Share prices will fluctuate and there may be a gain or loss when shares are redeemed.
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We are pleased to present you with the GuideStone Funds semi-annual report for the six months ended June 30, 2006. GuideStone Funds will soon celebrate their five year anniversary on August 27, 2006. We are thrilled that you have chosen to partner with us during this exciting five years journey.
Prior to the effective date of launching GuideStone Funds we had approximately $6.8 billion in assets. Our shareholders have benefited from the positive investment performance of our funds which now exceed $8.5 billion and include 3,800 IRA and personal investment accounts.
As we look ahead to the next five years and beyond, we will continue to provide an unwavering commitment to our investors to provide the highest quality investment management services and products in the industry. In a continually changing mutual fund environment, we stand ready to adapt and expand our product base so that you, our shareholders, benefit from one of the best the industry has to offer.
We appreciate your continued confidence in GuideStone Funds and will continue to work to improve all aspects of the products and services delivered to you – our shareholders.
We hope you find the information in this report valuable. If you have any questions concerning the report, do not hesitate to call us at 1-888-98-GUIDE or visit our new website designed to better serve your needs at www.GuideStoneFunds.org. It has been a pleasure serving you these last five years. Thank you for choosing to invest in GuideStone Funds.
Sincerely,
John R. Jones
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FROM THE CHIEF INVESTMENT OFFICER
Rodric E. Cummins, CFA
At the halfway mark in the year, investors have encountered anything but the benign, quiet period that might otherwise be indicated by capital market returns. Despite the S&P 500® Index returning a modest 2.71% through June 30 and bonds posting mixed results, a return in market volatility took investors through the roller coaster experience of multi-year equity market highs as well as significant market corrections in the first six months of the year.
After posting strong returns early in 2006, mounting signs of a slowing U.S. economy and rising inflationary fears resulted in a sharp reversal in global capital market returns in the second quarter. The Federal Reserve’s ongoing tightening monetary policy is striking an increasingly higher degree of uncertainty and volatility in the financial markets as investors digest the impending risks associated with higher interest rates. High-beta, growth sensitive asset classes such as small cap and emerging markets stocks, which have excelled in a non-inflationary, pro-growth economic environment for years, proved especially vulnerable to indications of economic deceleration and rising inflation.
Global equity markets continued to be led by the performance of stocks in developed international markets which posted a return of 0.70% during the second quarter, as represented by the MSCI EAFE® (Morgan Stanley Capital International Europe, Australasia, Far East) Index (Net), bringing the year-to-date return to 10.16%. Despite a strong late period rally, second quarter returns were generally negative in U.S. equity markets as the S&P 500® Index returned -1.44%. Large capitalization stocks outperformed the more economically sensitive small cap stocks in the second quarter as the Russell 1000® Index posted a return of -1.66%, compared to the Russell 2000® Index of -5.02%. Even with the poor performance in the quarter, year-to-date returns for small stocks remain solid at 8.21% for the six months ended June 30.
With interest rates rising across the entire maturity spectrum, shorter duration securities continued to post the highest returns in the bond market. The strongest performance year-to-date in fixed income securities is found in money market securities where short maturities enable a rapid adjustment to rising interest rates. The Citigroup 3-Month Treasury Bill Index posted returns of 1.16% for the second quarter and 2.19% year-to-date through June 30. By comparison, the Lehman Brothers Aggregate Bond Index returned -0.08% and -0.72% for the two periods, respectively.
While 2006 thus far has represented a period of transition for economic growth and the financial markets, the fundamental underpinnings for continued growth appear strong and we believe our funds remain well-positioned to take advantage of attractive investment opportunities on the domestic and international fronts across both stock and bond markets.
Asset Class Performance Comparison
The following graph illustrates the performance of the major assets classes during 2006.
Index
1 | The S&P 500® Index includes 500 of the largest stocks (in terms of market value) in the United States. |
2 | The Russell 2000® Index is a small-cap index consisting of the smallest 2000 companies in the Russell 3000® index, representing approximately 8% of the Russell 3000® Index total market capitalization. |
3 | The MSCI ACWI® (All Country World Index) Ex-U.S. is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets excluding the U.S. |
4 | The Lehman Brothers Aggregate Bond Index includes fixed rate debt issues rated investment grade or higher by Moody’s Investor’s Service, Standard and Poor’s Corporation, or Fitch Investor’s Service, in that order. |
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About Your Expenses (Unaudited)
As a shareholder of the Funds, you incur ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) fees and/or shareholder services fees, as well as other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2006 to June 30, 2006.
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you incurred during the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses attributable to your investment during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
ACTUAL | ||||||||||||||
Fund | Class | Beginning Account Value 1/1/2006 | Ending Account Value 6/30/2006 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||
Flexible Income | GS4 | $ | 1,000.00 | $ | 1,013.14 | 0.13 | % | $ | 0.65 | |||||
GS6 | 1,000.00 | 1,012.15 | 0.50 | 2.49 | ||||||||||
GS8 | 1,000.00 | 1,009.94 | 0.80 | 3.99 | ||||||||||
Growth & Income | GS4 | 1,000.00 | 1,009.87 | 0.13 | 0.65 | |||||||||
GS6 | 1,000.00 | 1,006.41 | 0.60 | 2.98 | ||||||||||
GS8 | 1,000.00 | 1,006.42 | 0.90 | 4.48 | ||||||||||
Capital Opportunities | GS4 | 1,000.00 | 1,017.48 | 0.13 | 0.65 | |||||||||
GS6 | 1,000.00 | 1,014.12 | 0.70 | 3.50 | ||||||||||
GS8 | 1,000.00 | 1,014.16 | 0.90 | 4.49 | ||||||||||
Global Equity | GS4 | 1,000.00 | 1,024.57 | 0.13 | 0.65 | |||||||||
GS6 | 1,000.00 | 1,022.28 | 0.57 | 2.86 | ||||||||||
GS8 | 1,000.00 | 1,020.58 | 0.87 | 4.36 | ||||||||||
Flexible Income I | GS2 | 1,000.00 | 1,014.78 | 0.17 | 0.85 | |||||||||
Growth & Income I | GS2 | 1,000.00 | 1,009.71 | 0.17 | 0.85 | |||||||||
Capital Opportunities I | GS2 | 1,000.00 | 1,018.22 | 0.17 | 0.85 | |||||||||
Global Equity I | GS2 | 1,000.00 | 1,024.99 | 0.17 | 0.85 | |||||||||
Money Market | GS2 | 1,000.00 | 1,021.66 | 0.27 | 1.35 | |||||||||
GS4 | 1,000.00 | 1,022.63 | 0.46 | 2.31 | ||||||||||
GS6 | 1,000.00 | 1,019.59 | 0.87 | 4.36 | ||||||||||
GS8 | 1,000.00 | 1,018.06 | 1.17 | 5.85 |
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ACTUAL | ||||||||||||||
Fund | Class | Beginning Account Value | Ending Account Value 6/30/2006 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||
Low-Duration Bond | GS2 | $ | 1,000.00 | $ | 1,010.10 | 0.45 | % | $ | 2.24 | |||||
GS4 | 1,000.00 | 1,010.79 | 0.61 | 3.04 | ||||||||||
GS6 | 1,000.00 | 1,009.22 | 1.00 | 4.98 | ||||||||||
GS8 | 1,000.00 | 1,006.69 | 1.30 | 6.47 | ||||||||||
Medium-Duration Bond | GS2 | 1,000.00 | 993.49 | 0.50 | 2.47 | |||||||||
GS4 | 1,000.00 | 994.34 | 0.62 | 3.07 | ||||||||||
GS6 | 1,000.00 | 990.62 | 1.05 | 5.18 | ||||||||||
GS8 | 1,000.00 | 990.38 | 1.35 | 6.66 | ||||||||||
Extended-Duration Bond | GS2 | 1,000.00 | 966.26 | 0.58 | 2.83 | |||||||||
GS4 | 1,000.00 | 968.17 | 0.73 | 3.56 | ||||||||||
GS6 | 1,000.00 | 964.25 | 1.17 | 5.70 | ||||||||||
GS8 | 1,000.00 | 962.77 | 1.50 | 7.30 | ||||||||||
Equity Index | GS2 | 1,000.00 | 1,025.22 | 0.23 | 1.15 | |||||||||
GS4 | 1,000.00 | 1,026.39 | 0.40 | 2.01 | ||||||||||
GS6 | 1,000.00 | 1,024.38 | 0.60 | 3.01 | ||||||||||
GS8 | 1,000.00 | 1,022.89 | 0.90 | 4.51 | ||||||||||
Value Equity | GS2 | 1,000.00 | 1,049.00 | 0.72 | 3.66 | |||||||||
GS4 | 1,000.00 | 1,049.70 | 0.90 | 4.57 | ||||||||||
GS6 | 1,000.00 | 1,047.10 | 1.29 | 6.55 | ||||||||||
GS8 | 1,000.00 | 1,044.61 | 1.60 | 8.11 | ||||||||||
Growth Equity | GS2 | 1,000.00 | 950.87 | 0.87 | 4.21 | |||||||||
GS4 | 1,000.00 | 951.69 | 0.99 | 4.79 | ||||||||||
GS6 | 1,000.00 | 949.05 | 1.39 | 6.72 | ||||||||||
GS8 | 1,000.00 | 947.03 | 1.69 | 8.16 | ||||||||||
Small Cap Equity | GS2 | 1,000.00 | 1,049.32 | 1.09 | 5.54 | |||||||||
GS4 | 1,000.00 | 1,050.00 | 1.21 | 6.15 | ||||||||||
GS6 | 1,000.00 | 1,046.60 | 1.61 | 8.17 | ||||||||||
GS8 | 1,000.00 | 1,045.00 | 1.91 | 9.68 | ||||||||||
International Equity | GS2 | 1,000.00 | 1,077.15 | 0.97 | 5.00 | |||||||||
GS4 | 1,000.00 | 1,078.18 | 1.15 | 5.93 | ||||||||||
GS6 | 1,000.00 | 1,074.86 | 1.50 | 7.72 | ||||||||||
GS8 | 1,000.00 | 1,072.91 | 1.80 | 9.25 | ||||||||||
HYPOTHETICAL (assuming a 5% return before expenses) | ||||||||||||||
Fund | Class | Beginning Account Value 1/1/2006 | Ending Account Value 6/30/2006 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||
Flexible Income | GS4 | $ | 1,000.00 | $ | 1,024.15 | 0.13 | % | $ | 0.65 | |||||
GS6 | 1,000.00 | 1,022.32 | 0.50 | 2.51 | ||||||||||
GS8 | 1,000.00 | 1,020.83 | 0.80 | 4.01 | ||||||||||
Growth & Income | GS4 | 1,000.00 | 1,024.15 | 0.13 | 0.65 | |||||||||
GS6 | 1,000.00 | 1,021.82 | 0.60 | 3.01 | ||||||||||
GS8 | 1,000.00 | 1,020.33 | 0.90 | 4.51 | ||||||||||
Capital Opportunities | GS4 | 1,000.00 | 1,024.15 | 0.13 | 0.65 | |||||||||
GS6 | 1,000.00 | 1,021.32 | 0.70 | 3.51 | ||||||||||
GS8 | 1,000.00 | 1,020.33 | 0.90 | 4.51 |
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About Your Expenses (Unaudited) (Continued)
HYPOTHETICAL (assuming a 5% return before expenses) | ||||||||||||||
Fund | Class | Beginning Account Value 1/1/2006 | Ending Account Value 6/30/2006 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||
Global Equity | GS4 | $ | 1,000.00 | $ | 1,024.15 | 0.13 | % | $ | 0.65 | |||||
GS6 | 1,000.00 | 1,021.97 | 0.57 | 2.86 | ||||||||||
GS8 | 1,000.00 | 1,020.48 | 0.87 | 4.36 | ||||||||||
Flexible Income I | GS2 | 1,000.00 | 1,023.95 | 0.17 | 0.85 | |||||||||
Growth & Income I | GS2 | 1,000.00 | 1,023.95 | 0.17 | 0.85 | |||||||||
Capital Opportunities I | GS2 | 1,000.00 | 1,023.95 | 0.17 | 0.85 | |||||||||
Global Equity I | GS2 | 1,000.00 | 1,023.95 | 0.17 | 0.85 | |||||||||
Money Market | GS2 | 1,000.00 | 1,023.46 | 0.27 | 1.35 | |||||||||
GS4 | 1,000.00 | 1,022.51 | 0.46 | 2.31 | ||||||||||
GS6 | 1,000.00 | 1,020.48 | 0.87 | 4.36 | ||||||||||
GS8 | 1,000.00 | 1,018.99 | 1.17 | 5.86 | ||||||||||
Low-Duration Bond | GS2 | 1,000.00 | 1,022.56 | 0.45 | 2.26 | |||||||||
GS4 | 1,000.00 | 1,021.77 | 0.61 | 3.06 | ||||||||||
GS6 | 1,000.00 | 1,019.84 | 1.00 | 5.01 | ||||||||||
GS8 | 1,000.00 | 1,018.35 | 1.30 | 6.51 | ||||||||||
Medium-Duration Bond | GS2 | 1,000.00 | 1,022.32 | 0.50 | 2.51 | |||||||||
GS4 | 1,000.00 | 1,021.72 | 0.62 | 3.11 | ||||||||||
GS6 | 1,000.00 | 1,019.59 | 1.05 | 5.26 | ||||||||||
GS8 | 1,000.00 | 1,018.10 | 1.35 | 6.76 | ||||||||||
Extended-Duration Bond | GS2 | 1,000.00 | 1,021.92 | 0.58 | 2.91 | |||||||||
GS4 | 1,000.00 | 1,021.17 | 0.73 | 3.66 | ||||||||||
GS6 | 1,000.00 | 1,018.99 | 1.17 | 5.86 | ||||||||||
GS8 | 1,000.00 | 1,017.36 | 1.50 | 7.50 | ||||||||||
Equity Index | GS2 | 1,000.00 | 1,023.65 | 0.23 | 1.15 | |||||||||
GS4 | 1,000.00 | 1,022.81 | 0.40 | 2.01 | ||||||||||
GS6 | 1,000.00 | 1,021.82 | 0.60 | 3.01 | ||||||||||
GS8 | 1,000.00 | 1,020.33 | 0.90 | 4.51 | ||||||||||
Value Equity | GS2 | 1,000.00 | 1,021.22 | 0.72 | 3.61 | |||||||||
GS4 | 1,000.00 | 1,020.33 | 0.90 | 4.51 | ||||||||||
GS6 | 1,000.00 | 1,018.40 | 1.29 | 6.46 | ||||||||||
GS8 | 1,000.00 | 1,016.86 | 1.60 | 8.00 | ||||||||||
Growth Equity | GS2 | 1,000.00 | 1,020.48 | 0.87 | 4.36 | |||||||||
GS4 | 1,000.00 | 1,019.89 | 0.99 | 4.96 | ||||||||||
GS6 | 1,000.00 | 1,017.90 | 1.39 | 6.95 | ||||||||||
GS8 | 1,000.00 | 1,016.41 | 1.69 | 8.45 | ||||||||||
Small Cap Equity | GS2 | 1,000.00 | 1,019.39 | 1.09 | 5.46 | |||||||||
GS4 | 1,000.00 | 1,018.79 | 1.21 | 6.06 | ||||||||||
GS6 | 1,000.00 | 1,016.81 | 1.61 | 8.05 | ||||||||||
GS8 | 1,000.00 | 1,015.32 | 1.91 | 9.54 | ||||||||||
International Equity | GS2 | 1,000.00 | 1,019.98 | 0.97 | 4.86 | |||||||||
GS4 | 1,000.00 | 1,019.09 | 1.15 | 5.76 | ||||||||||
GS6 | 1,000.00 | 1,017.36 | 1.50 | 7.50 | ||||||||||
GS8 | 1,000.00 | 1,015.87 | 1.80 | 9.00 |
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Because the expense caps for each Class of the Growth Equity Fund were changed during the six-month period ended June 30, 2006 (see Note 3c in the Notes to Financial Statements), the following table reflects the expenses that would have been incurred assuming the new expense cap was in effect for the entire period.
ACTUAL | ||||||||||||||
Fund | Class | Beginning Account Value 1/1/2006 | Ending Account Value 6/30/2006 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||
Growth Equity | GS2 Class | $ | 1,000.00 | $ | 951.47 | 0.90 | % | $ | 4.35 | |||||
GS4 Class | 1,000.00 | 950.67 | 1.02 | % | 4.93 | |||||||||
GS6 Class | 1,000.00 | 948.77 | 1.42 | % | 6.86 | |||||||||
GS8 Class | 1,000.00 | 946.77 | 1.72 | % | 8.30 | |||||||||
HYPOTHETICAL (assuming a 5% return before expenses) | ||||||||||||||
Fund | Class | Beginning Account Value 1/1/2006 | Ending Account Value 6/30/2006 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||||||
Growth Equity | GS2 Class | $ | 1,000.00 | $ | 1,020.33 | 0.90 | % | $ | 4.51 | |||||
GS4 Class | 1,000.00 | 1,019.74 | 1.02 | % | 5.11 | |||||||||
GS6 Class | 1,000.00 | 1,017.75 | 1.42 | % | 7.10 | |||||||||
GS8 Class | 1,000.00 | 1,016.27 | 1.72 | % | 8.60 |
(1) | Expenses include the effect of contractual waivers by GuideStone Capital Management. The Blended Funds’ proportionate share of the operating expenses of the Select Funds is not reflected in the tables above. |
(2) | Expenses are equal to the Fund’s annualized expense ratios for the period January 1, 2006 through June 30, 2006, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
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Average Annual Total Returns as of 6/30/2006 | ||||||||||
GS4 Class* | GS6 Class* | Benchmark** | GS8 Class* | GS8 Class Benchmark** | ||||||
One Year | 4.19% | 3.82% | 4.76% | 3.42% | 4.76% | |||||
Since Inception | 3.74% | 3.49% | 3.93% | 3.17% | 4.23% | |||||
Inception Date | 08/27/01 | 08/27/01 | 08/27/01 | 11/08/04 | 11/08/04 |
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.GuideStoneFunds.org. 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.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
* | These returns reflect expense waivers by the Fund’s investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
** | Represents a weighted composite benchmark index consisting of the Russell 3000® Index, the MSCI ACWI® Ex-U.S. and the Merrill Lynch 1-3 Year Treasury Index. |
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
The MSCI ACWI® Ex-U.S. is a market-capitalization weighted index composed of companies representative of the market structure of developed and emerging market countries in the Americas (excluding the U.S.), Europe/Middle East, and Asia/ Pacific Regions. It excludes closed markets and those shares in otherwise free markets that are not purchasable by foreigners.
The Merrill Lynch 1-3 Year Treasury Index is composed of all U.S. Treasury Notes and Bonds with maturities greater than or equal to one year and less than three years.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
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Flexible Income Fund | ||
SCHEDULE OF INVESTMENTS | June 30, 2006 (Unaudited) |
Shares | Value | |||||
AFFILIATED MUTUAL FUNDS — 98.9% | ||||||
GuideStone Funds Money Market Fund (GS4 Class)¥ | 2,759,146 | $ | 2,759,146 | |||
GuideStone Funds Low-Duration Bond Fund (GS4 Class)¥ | 17,977,850 | 226,700,691 | ||||
GuideStone Funds Equity Index Fund (GS4 Class)¥ | 295,429 | 5,105,017 | ||||
GuideStone Funds Value Equity Fund (GS4 Class)¥ | 1,327,525 | 23,922,008 | ||||
GuideStone Funds Growth Equity Fund (GS4 Class)¥ | 1,409,752 | 23,740,229 | ||||
GuideStone Funds Small Cap Equity Fund (GS4 Class)¥ | 366,122 | 5,997,070 | ||||
GuideStone Funds International Equity Fund (GS4 Class)¥ | 1,022,364 | 19,128,427 | ||||
Total Affiliated Mutual Funds | 307,352,588 | |||||
Par | ||||||
U.S. TREASURY OBLIGATIONS — 1.0% | ||||||
U.S. Treasury Bill | ||||||
4.66%, 09/21/06‡‡ | $ | 135,000 | 133,568 | |||
U.S. Treasury Note | ||||||
4.63%, 03/31/08 | 2,925,000 | 2,898,265 | ||||
Total U.S. Treasury Obligations | 3,031,833 | |||||
TOTAL INVESTMENTS — 99.9% | 310,384,421 | |||||
Other Assets in Excess of Liabilities — 0.1% | 297,439 | |||||
NET ASSETS — 100.0% | $ | 310,681,860 | ||||
PORTFOLIO SUMMARY+ | ||
% | ||
Bond Fund | 73.0 | |
Domestic Equity Funds | 18.9 | |
International Equity Fund | 6.1 | |
U.S. Treasury Obligations | 1.0 | |
Money Market Fund | 0.9 | |
Futures Contracts | 0.3 | |
100.2 | ||
+ | Based on net assets. |
See Notes to Financial Statements.
9
Table of Contents
Average Annual Total Returns as of 6/30/06 | ||||||||||
GS4 Class* | GS6 Class* | Benchmark** | GS8 Class* | GS8 Class Benchmark** | ||||||
One Year | 5.88% | 5.44% | 6.53% | 5.09% | 6.53% | |||||
Since Inception | 5.70% | 5.36% | 5.81% | 5.85% | 6.79% | |||||
Inception Date | 08/27/01 | 08/27/01 | 08/27/01 | 11/08/04 | 11/08/04 |
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.GuideStoneFunds.org. 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.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
* | These returns reflect expense waivers by the Fund’s investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
** | Represents a weighted composite benchmark index consisting of the Russell 3000® Index, the MSCI ACWI® Ex-U.S. and the Lehman Brothers Aggregate Bond Index. |
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
The MSCI ACWI® Ex-U.S. is a market-capitalization weighted index composed of companies representative of the market structure of developed and emerging market countries in the Americas (excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It excludes closed markets and those shares in otherwise free markets that are not purchased by foreigners.
The Lehman Brothers Aggregate Bond Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
10
Table of Contents
Growth & Income Fund | ||
SCHEDULE OF INVESTMENTS | June 30, 2006 (Unaudited) |
Shares | Value | |||||
AFFILIATED MUTUAL FUNDS — 99.2% | ||||||
GuideStone Funds Money Market Fund (GS4 Class)¥ | 14,861,239 | $ | 14,861,239 | |||
GuideStone Funds Low-Duration Bond Fund (GS4 Class)¥ | 15,162,611 | 191,200,520 | ||||
GuideStone Funds Medium-Duration Bond Fund (GS4 Class)¥ | 24,696,122 | 323,025,275 | ||||
GuideStone Funds Extended-Duration Bond Fund (GS4 Class) ¥ | 9,417,732 | 132,036,610 | ||||
GuideStone Funds Equity Index Fund (GS4 Class)¥ | 2,476,817 | 42,799,392 | ||||
GuideStone Funds Value Equity Fund (GS4 Class)¥ | 10,816,690 | 194,916,753 | ||||
GuideStone Funds Growth Equity Fund (GS4 Class)¥ | 11,063,792 | 186,314,265 | ||||
GuideStone Funds Small Cap Equity Fund (GS4 Class)¥ | 2,757,941 | 45,175,076 | ||||
GuideStone Funds International Equity Fund (GS4 Class)¥ | 9,442,323 | 176,665,862 | ||||
Total Affiliated Mutual Funds | 1,306,994,992 | |||||
Par | ||||||
U.S. TREASURY OBLIGATIONS — 0.8% | ||||||
U.S. Treasury Bill | ||||||
4.66%, 09/21/06‡‡ | $ | 805,000 | 796,460 | |||
U.S. Treasury Note | ||||||
4.88%, 02/15/12 | 9,850,000 | 9,745,354 | ||||
Total U.S. Treasury Obligations | 10,541,814 | |||||
TOTAL INVESTMENTS — 100.0% | 1,317,536,806 | |||||
Other Assets in Excess of Liabilities — 0.0% | 152,897 | |||||
NET ASSETS — 100.0% | $ | 1,317,689,703 | ||||
PORTFOLIO SUMMARY+ | ||
% | ||
Bond Funds | 49.1 | |
Domestic Equity Funds | 35.6 | |
International Equity Fund | 13.4 | |
Money Market Fund | 1.1 | |
U.S. Treasury Obligations | 0.8 | |
Futures Contracts | 0.7 | |
100.7 | ||
+ | Based on net assets. |
See Notes to Financial Statements.
11
Table of Contents
Average Annual Total Returns as of 6/30/06 | ||||||||||
GS4 Class* | GS6 Class* | Benchmark** | GS8 Class* | GS8 Class Benchmark** | ||||||
One Year | 9.18% | 8.64% | 10.22% | 8.42% | 10.22% | |||||
Since Inception | 5.98% | 5.57% | 6.18% | 8.18% | 9.44% | |||||
Inception Date | 08/27/01 | 08/27/01 | 08/27/01 | 11/08/04 | 11/08/04 |
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.GuideStoneFunds.org. 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.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
* | These returns reflect expense waivers by the Fund’s investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
** | Represents a weighted composite benchmark index consisting of the Russell 3000® Index, the MSCI ACWI® Ex-U.S. and the Lehman Brothers Aggregate Bond Index. |
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
The MSCI ACWI® Ex-U.S. is a market-capitalization weighted index composed of companies representative of the market structure of developed and emerging market countries in the Americas (excluding the U.S.), Europe/Middle East, and Asia/ Pacific Regions. It excludes closed markets and those shares in otherwise free markets that are not purchasable by foreigners.
The Lehman Brothers Aggregate Bond Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
12
Table of Contents
Capital Opportunities Fund | ||
SCHEDULE OF INVESTMENTS | June 30, 2006 (Unaudited) |
Shares | Value | |||||
AFFILIATED MUTUAL FUNDS — 99.6% | ||||||
GuideStone Funds Money Market Fund (GS4 Class)¥ | 15,287,989 | $ | 15,287,989 | |||
GuideStone Funds Low-Duration Bond Fund (GS4 Class)¥ | 6,152,940 | 77,588,572 | ||||
GuideStone Funds Medium-Duration Bond Fund (GS4 Class)¥ | 9,939,954 | 130,014,603 | ||||
GuideStone Funds Extended-Duration Bond Fund (GS4 Class) ¥ | 3,919,914 | 54,957,198 | ||||
GuideStone Funds Equity Index Fund (GS4 Class)¥ | 2,866,585 | 49,534,588 | ||||
GuideStone Funds Value Equity Fund (GS4 Class)¥ | 13,272,959 | 239,178,713 | ||||
GuideStone Funds Growth Equity Fund (GS4 Class)¥ | 13,804,058 | 232,460,339 | ||||
GuideStone Funds Small Cap Equity Fund (GS4 Class)¥ | 3,457,558 | 56,634,794 | ||||
GuideStone Funds International Equity Fund (GS4 Class)¥ | 11,075,831 | 207,228,790 | ||||
Total Affiliated Mutual Funds | 1,062,885,586 | |||||
Par | ||||||
U.S. TREASURY OBLIGATIONS — 0.4% | ||||||
U.S. Treasury Bill | ||||||
4.66%, 09/21/06‡‡ | $ | 910,000 | 900,346 | |||
U.S. Treasury Note | ||||||
4.88%, 02/15/12 | 3,840,000 | 3,799,204 | ||||
Total U.S. Treasury Obligations | 4,699,550 | |||||
TOTAL INVESTMENTS — 100.0% | 1,067,585,136 | |||||
Other Assets in Excess of Liabilities — 0.0% | 57,720 | |||||
NET ASSETS — 100.0% | $ | 1,067,642,856 | ||||
PORTFOLIO SUMMARY+ | ||
% | ||
Domestic Equity Funds | 54.1 | |
Bond Funds | 24.6 | |
International Equity Fund | 19.4 | |
Money Market Fund | 1.4 | |
Futures Contracts | 1.1 | |
U.S. Treasury Obligations | 0.5 | |
101.1 | ||
+ | Based on net assets. |
See Notes to Financial Statements.
13
Table of Contents
Average Annual Total Returns as of 6/30/06 | ||||||||||
GS4 Class* | GS6 Class* | Benchmark** | GS8 Class* | GS8 Class Benchmark** | ||||||
One Year | 12.38% | 12.03% | 13.97% | 11.50% | 13.97% | |||||
Since Inception | 6.06% | 5.80% | 6.39% | 10.50% | 12.30% | |||||
Inception Date | 08/27/01 | 08/27/01 | 08/27/01 | 11/08/04 | 11/08/04 |
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.GuideStoneFunds.org. 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.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
* | These returns reflect expense waivers by the Fund’s investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
** | Represents a weighted composite benchmark index consisting of the Russell 3000® Index and the MSCI ACWI® Ex-U.S. |
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
The MSCI ACWI® Ex-U.S. is a market-capitalization weighted index composed of companies representative of the market structure of developed and emerging market countries in the Americas (excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It excludes closed markets and those shares in otherwise free markets that are not purchasable by foreigners.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
14
Table of Contents
Global Equity Fund | ||
SCHEDULE OF INVESTMENTS | June 30, 2006 (Unaudited) |
Shares | Value | ||||||
AFFILIATED MUTUAL FUNDS — 99.9% | |||||||
GuideStone Funds Money Market Fund (GS4 Class)¥ | 11,457,573 | $ | 11,457,573 | ||||
GuideStone Funds Equity Index Fund (GS4 Class)¥ | 3,625,305 | 62,645,270 | |||||
GuideStone Funds Value Equity Fund (GS4 Class)¥ | 16,242,261 | 292,685,552 | |||||
GuideStone Funds Growth Equity Fund (GS4 Class)¥ | 17,246,797 | 290,436,063 | |||||
GuideStone Funds Small Cap Equity Fund (GS4 Class)¥ | 4,463,296 | 73,108,780 | |||||
GuideStone Funds International Equity Fund (GS4 Class)¥ | 13,209,973 | 247,158,602 | |||||
Total Affiliated Mutual Funds | 977,491,840 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATION — 0.1% | |||||||
U.S. Treasury Bill | |||||||
4.66%, 09/21/06‡‡ | |||||||
(Cost $1,281,260) | $ | 1,295,000 | 1,281,263 | ||||
TOTAL INVESTMENTS — 100.0% | 978,773,103 | ||||||
Liabilities in Excess of Other Assets — 0.0% | (476,510 | ) | |||||
NET ASSETS — 100.0% | $ | 978,296,593 | |||||
PORTFOLIO SUMMARY+ | ||
% | ||
Domestic Equity Funds | 73.5 | |
International Equity Fund | 25.2 | |
Money Market Fund | 1.2 | |
Futures Contracts | 0.8 | |
U.S. Treasury Obligation | 0.1 | |
100.8 | ||
+ | Based on net assets. |
See Notes to Financial Statements.
15
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2006 (Unaudited)
Flexible Income Fund | Growth & Income Fund | Capital Opportunities Fund | Global Equity Fund | |||||||||
Assets | ||||||||||||
Investments in securities of affiliated issuers, at value | $ | 307,352,588 | $ | 1,306,994,992 | $ | 1,062,885,586 | $ | 977,491,840 | ||||
Investments in securities of unaffiliated issuers, at value | 3,031,833 | 10,541,814 | 4,699,550 | 1,281,263 | ||||||||
Total investments (1) | 310,384,421 | 1,317,536,806 | 1,067,585,136 | 978,773,103 | ||||||||
Receivables: | ||||||||||||
Dividends | 11,742 | 57,878 | 54,708 | 51,711 | ||||||||
Interest | 34,005 | 180,341 | 70,322 | — | ||||||||
Fund shares sold | 342,157 | 133,814 | 143,750 | 16,914 | ||||||||
Prepaid expenses and other assets | 10,508 | 13,479 | 12,343 | 11,178 | ||||||||
Total Assets | 310,782,833 | 1,317,922,318 | 1,067,866,259 | 978,852,906 | ||||||||
Liabilities | ||||||||||||
Payables: | ||||||||||||
Fund shares redeemed | 29,380 | — | 21,872 | 379,164 | ||||||||
Variation margin | 2,400 | 23,200 | 28,800 | 20,000 | ||||||||
Accrued expenses: | ||||||||||||
Advisory fees | 13,758 | 108,219 | 85,511 | 76,422 | ||||||||
Distribution (12b-1) fees | 2,321 | 2,651 | 2,286 | 2,675 | ||||||||
Shareholder servicing fees | 2,031 | 2,320 | 1,857 | 2,354 | ||||||||
Other expenses | 51,083 | 96,225 | 83,077 | 75,698 | ||||||||
Total Liabilities | 100,973 | 232,615 | 223,403 | 556,313 | ||||||||
Net Assets | $ | 310,681,860 | $ | 1,317,689,703 | $ | 1,067,642,856 | $ | 978,296,593 | ||||
Net Assets Consist of: | ||||||||||||
Paid-in capital | $ | 261,232,056 | $ | 1,070,898,841 | $ | 816,210,184 | $ | 705,090,147 | ||||
Undistributed net investment income | 3,262,492 | 12,298,072 | 6,276,138 | 2,297,803 | ||||||||
Undistributed net realized gain on investments | 2,538,445 | 32,195,881 | 43,998,357 | 45,257,532 | ||||||||
Net unrealized appreciation (depreciation) on investments and futures | 43,648,867 | 202,296,909 | 201,158,177 | 225,651,111 | ||||||||
Net Assets | $ | 310,681,860 | $ | 1,317,689,703 | $ | 1,067,642,856 | $ | 978,296,593 | ||||
Net Asset Value: ($0.001 par value, unlimited shares authorized) | ||||||||||||
Net assets applicable to the GS4 Class | $ | 292,992,547 | $ | 1,297,469,745 | $ | 1,053,026,954 | $ | 957,324,909 | ||||
GS4 shares outstanding | 22,341,071 | 90,475,719 | 67,000,105 | 57,392,864 | ||||||||
Net asset value, offering and redemption price per GS4 share | $ | 13.11 | $ | 14.34 | $ | 15.72 | $ | 16.68 | ||||
Net assets applicable to the GS6 Class | $ | 12,301,610 | $ | 13,990,113 | $ | 7,681,500 | $ | 14,760,100 | ||||
GS6 shares outstanding | 1,343,552 | 1,484,456 | 713,235 | 1,237,621 | ||||||||
Net asset value, offering and redemption price per GS6 share | $ | 9.16 | $ | 9.42 | $ | 10.77 | $ | 11.93 | ||||
Net assets applicable to the GS8 Class | $ | 5,387,703 | $ | 6,229,845 | $ | 6,934,402 | $ | 6,211,584 | ||||
GS8 shares outstanding | 589,167 | 662,314 | 645,340 | 521,922 | ||||||||
Net asset value, offering and redemption price per GS8 share | $ | 9.14 | $ | 9.41 | $ | 10.75 | $ | 11.90 | ||||
______________ | ||||||||||||
(1) Investments in securities of affiliated issuers, at cost | $ | 263,714,648 | $ | 1,104,709,969 | $ | 861,776,713 | $ | 751,980,325 | ||||
Investments in securities of unaffiliated issuers, at cost | 3,036,530 | 10,585,353 | 4,710,913 | 1,281,260 | ||||||||
Total investments at cost | $ | 266,751,178 | $ | 1,115,295,322 | $ | 866,487,626 | $ | 753,261,585 | ||||
See Notes to Financial Statements.
16
Table of Contents
STATEMENTS OF OPERATIONS
For the Six Months Ended June 30, 2006 (Unaudited)
Flexible Income Fund | Growth & Income Fund | Capital Opportunities Fund | Global Equity Fund | |||||||||||||
Investment Income | ||||||||||||||||
Income dividends received from affiliated funds | $ | 3,416,537 | $ | 12,943,707 | $ | 6,906,196 | $ | 2,965,330 | ||||||||
Interest | 82,111 | 258,554 | 112,749 | 27,866 | ||||||||||||
Total Investment Income | 3,498,648 | 13,202,261 | 7,018,945 | 2,993,196 | ||||||||||||
Expenses | ||||||||||||||||
Investment advisory fees | 153,899 | 663,315 | 544,121 | 500,304 | ||||||||||||
Transfer agent fees | ||||||||||||||||
GS4 shares | 17,117 | 30,829 | 26,987 | 23,686 | ||||||||||||
GS6 shares | 3,156 | 2,808 | 3,023 | 3,113 | ||||||||||||
GS8 shares | 3,193 | 3,134 | 3,166 | 3,172 | ||||||||||||
Custodian fees | 6,145 | 14,092 | 10,418 | 10,628 | ||||||||||||
Distribution (12b-1) fees: | ||||||||||||||||
GS6 shares | 6,100 | 6,995 | 3,848 | 7,405 | ||||||||||||
GS8 shares | 7,993 | 9,162 | 9,992 | 9,251 | ||||||||||||
Shareholder servicing fees: | ||||||||||||||||
GS6 shares | 6,710 | 7,695 | 4,232 | 8,145 | ||||||||||||
GS8 shares | 5,594 | 6,409 | 6,986 | 6,473 | ||||||||||||
Accounting and administration fees | 44,733 | 105,417 | 93,565 | 89,051 | ||||||||||||
Professional fees | 23,777 | 23,776 | 23,777 | 23,777 | ||||||||||||
Blue sky fees | ||||||||||||||||
GS4 shares | 2,804 | 2,843 | 2,559 | 2,684 | ||||||||||||
GS6 shares | 11,159 | 11,461 | 10,867 | 11,586 | ||||||||||||
GS8 shares | 5,443 | 5,635 | 5,149 | 4,853 | ||||||||||||
Shareholder reporting fees | ||||||||||||||||
GS4 shares | 9,607 | 27,335 | 18,902 | 16,912 | ||||||||||||
GS6 shares | (131 | ) | (319 | ) | (197 | ) | (158 | ) | ||||||||
GS8 shares | 15 | 50 | 43 | 23 | ||||||||||||
Trustee fees | 2,496 | 11,032 | 9,098 | 8,241 | ||||||||||||
Line of credit facility fees | 647 | 2,757 | 2,304 | 2,056 | ||||||||||||
Other expenses | 8,277 | 9,077 | 8,777 | 8,777 | ||||||||||||
Total Expenses | 318,734 | 943,503 | 787,617 | 739,979 | ||||||||||||
Expenses waived (See Footnote 3a and 3c) | (80,439 | ) | (35,097 | ) | (40,624 | ) | (41,113 | ) | ||||||||
Fees paid indirectly | (282 | ) | (330 | ) | (518 | ) | (324 | ) | ||||||||
Net Expenses | 238,013 | 908,076 | 746,475 | 698,542 | ||||||||||||
Net Investment Income | 3,260,635 | 12,294,185 | 6,272,470 | 2,294,654 | ||||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Capital gain distributions received from affiliated funds | 254,239 | 2,168,486 | 2,614,590 | 3,165,119 | ||||||||||||
Net realized gain on investment securities of affiliated issuers | 843,675 | 10,730,021 | 16,696,367 | 15,634,158 | ||||||||||||
Net realized loss on investment securities of unaffiliated issuers | (38,012 | ) | (246,607 | ) | (93,723 | ) | — | |||||||||
Net realized loss on futures transactions | (24,002 | ) | (26,119 | ) | (157,374 | ) | (423,794 | ) | ||||||||
Net realized gain | 1,035,900 | 12,625,781 | 19,059,860 | 18,375,483 | ||||||||||||
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | (332,838 | ) | (12,699,626 | ) | (7,067,121 | ) | 2,059,685 | |||||||||
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | (7,706 | ) | (99,049 | ) | (33,019 | ) | (122 | ) | ||||||||
Change in unrealized appreciation (depreciation) on futures | 25,953 | 220,750 | 251,290 | 306,080 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (314,591 | ) | (12,577,925 | ) | (6,848,850 | ) | 2,365,643 | |||||||||
Net Realized and Unrealized Gain | 721,309 | 47,856 | 12,211,010 | 20,741,126 | ||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 3,981,944 | $ | 12,342,041 | $ | 18,483,480 | $ | 23,035,780 | ||||||||
See Notes to Financial Statements.
17
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Flexible Income Fund | Growth & Income Fund | |||||||||||||||
For the Six Months Ended 06/30/06 (Unaudited) | For the Year Ended 12/31/05 | For the Six Months Ended 06/30/06 (Unaudited) | For the Year Ended 12/31/05 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 3,260,635 | $ | 6,710,228 | $ | 12,294,185 | $ | 26,617,634 | ||||||||
Net realized gain on investment securities and futures transactions | 1,035,900 | 8,806,341 | 12,625,781 | 67,104,253 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (314,591 | ) | (6,564,844 | ) | (12,577,925 | ) | (18,769,800 | ) | ||||||||
Net increase in net assets resulting from operations | 3,981,944 | 8,951,725 | 12,342,041 | 74,952,087 | ||||||||||||
Dividends and Distributions to Shareholders: | �� | |||||||||||||||
Dividends from net investment income | ||||||||||||||||
GS4 shares | — | (6,681,233 | ) | (686 | ) | (31,655,255 | ) | |||||||||
GS6 shares | — | (368,835 | ) | — | (472,113 | ) | ||||||||||
GS8 shares | — | (145,933 | ) | — | (178,317 | ) | ||||||||||
Distributions from net realized capital gains | ||||||||||||||||
GS4 shares | — | (7,416,359 | ) | — | (50,654,356 | ) | ||||||||||
GS6 shares | — | (453,084 | ) | — | (813,928 | ) | ||||||||||
GS8 shares | — | (197,762 | ) | — | (339,052 | ) | ||||||||||
Total dividends and distributions | — | (15,263,206 | ) | (686 | ) | (84,113,021 | ) | |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold | ||||||||||||||||
GS4 shares | 28,006,679 | 51,005,980 | 50,628,308 | 111,946,233 | ||||||||||||
GS8 shares | 43,996 | 80,457 | 422,169 | 375,343 | ||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||
GS4 shares | 101 | 14,088,998 | 686 | 82,297,754 | ||||||||||||
GS6 shares | — | 821,918 | — | 1,286,043 | ||||||||||||
GS8 shares | — | 343,695 | — | 517,368 | ||||||||||||
Total proceeds from shares sold and reinvested | 28,050,776 | 66,341,048 | 51,051,163 | 196,422,741 | ||||||||||||
Value of shares redeemed | ||||||||||||||||
GS4 shares | (19,118,845 | ) | (50,125,060 | ) | (39,223,044 | ) | (195,957,184 | ) | ||||||||
GS8 shares | (4,121 | ) | — | (58,291 | ) | (93 | ) | |||||||||
Total value of shares redeemed | (19,122,966 | ) | (50,125,060 | ) | (39,281,335 | ) | (195,957,277 | ) | ||||||||
Net increase (decrease) from capital share transactions (See Footnote 6) | 8,927,810 | 16,215,988 | 11,769,828 | 465,464 | ||||||||||||
Total increase (decrease) in net assets | 12,909,754 | 9,904,507 | 24,111,183 | (8,695,470 | ) | |||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 297,712,106 | 287,807,599 | 1,293,578,520 | 1,302,273,990 | ||||||||||||
End of Period* | $ | 310,621,860 | $ | 297,712,106 | $ | 1,317,689,703 | $ | 1,293,578,520 | ||||||||
_______________ | ||||||||||||||||
* Including undistributed net investment income | $ | 3,262,492 | $ | 1,857 | $ | 12,298,072 | $ | 4,573 | ||||||||
See Notes to Financial Statements.
18
Table of Contents
Capital Opportunities Fund | Global Equity Fund | |||||||||||||||
For the Six Months Ended 06/30/06 (Unaudited) | For the Year Ended 12/31/05 | For the Six Months Ended 06/30/06 (Unaudited) | For the Year Ended 12/31/05 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 6,272,470 | $ | 14,963,030 | $ | 2,294,654 | $ | 7,527,757 | ||||||||
Net realized gain on investment securities and futures transactions | 19,059,860 | 56,530,883 | 18,375,483 | 61,273,033 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (6,848,850 | ) | 6,915,250 | 2,365,643 | 16,984,803 | |||||||||||
Net increase in net assets resulting from operations | 18,483,480 | 78,409,163 | 23,035,780 | 85,785,593 | ||||||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Dividends from net investment income | ||||||||||||||||
GS4 shares | — | (20,445,230 | ) | (109 | ) | (13,392,673 | ) | |||||||||
GS6 shares | — | (179,258 | ) | — | (236,192 | ) | ||||||||||
GS8 shares | — | (131,752 | ) | — | (77,886 | ) | ||||||||||
Distributions from net realized capital gains | ||||||||||||||||
GS4 shares | — | (31,761,906 | ) | — | (30,910,635 | ) | ||||||||||
GS6 shares | — | (328,938 | ) | — | (651,282 | ) | ||||||||||
GS8 shares | — | (264,881 | ) | — | (268,175 | ) | ||||||||||
Total dividends and distributions | — | (53,111,965 | ) | (109 | ) | (45,536,843 | ) | |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold | ||||||||||||||||
GS4 shares | 24,077,886 | 50,580,207 | 39,989,468 | 62,443,657 | ||||||||||||
GS8 shares | 789,240 | 513,587 | 193,036 | 151,657 | ||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||
GS4 shares | 16 | 52,206,192 | 1,314 | 44,301,986 | ||||||||||||
GS6 shares | — | 508,197 | — | 887,475 | ||||||||||||
GS8 shares | — | 396,633 | — | 346,061 | ||||||||||||
Total proceeds from shares sold and reinvested | 24,867,142 | 104,204,816 | 40,183,818 | 108,130,836 | ||||||||||||
Value of shares redeemed | ||||||||||||||||
GS4 shares | (35,411,124 | ) | (125,641,164 | ) | (46,029,734 | ) | (142,475,893 | ) | ||||||||
GS8 shares | (58,943 | ) | (30 | ) | (28,635 | ) | — | |||||||||
Total value of shares redeemed | (35,470,067 | ) | (125,641,194 | ) | (46,058,369 | ) | (142,475,893 | ) | ||||||||
Net increase (decrease) from capital share transactions (See Footnote 6) | (10,602,925 | ) | (21,436,378 | ) | (5,874,551 | ) | (34,345,057 | ) | ||||||||
Total increase (decrease) in net assets | 7,880,555 | 3,860,820 | 17,161,120 | 5,903,693 | ||||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 1,059,762,301 | 1,055,901,481 | 961,135,473 | 955,231,780 | ||||||||||||
End of Period* | $ | 1,067,642,856 | $ | 1,059,762,301 | $ | 978,296,593 | $ | 961,135,473 | ||||||||
_______________ | ||||||||||||||||
* Including undistributed net investment income | $ | 6,276,138 | $ | 3,668 | $ | 2,297,803 | $ | 3,258 | ||||||||
See Notes to Financial Statements.
19
Table of Contents
FINANCIAL HIGHLIGHTS (Unaudited)
For a Share Outstanding For the Six Months Ended June 30, 2006 and For the Years Ended December 31, unless otherwise indicated | Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (1) | Capital Gain Distributions Received from Affiliated Funds | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income (2) | Distributions from Net Realized Capital Gains | Net Asset Value, End of Period | Total Return (3) | Net Assets, End of Period (000) | Expenses, Net (4)(5) | Expenses, Including Expense Reduction (4)(5) | Expenses, Before Waivers and Expense Reduction (4)(5) | Investment Income, Net (1)(4) | Investment Income/ (Loss), Excluding Waivers and Expense Reduction (1)(4) | Portfolio Turnover Rate (3) | |||||||||||||||||||||||||||||||||||
Flexible Income Fund | |||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class | |||||||||||||||||||||||||||||||||||||||||||||||||
2006 (6) | $ | 12.94 | $ | 0.14 | # | $ | 0.01 | $ | 0.02 | $ | — | $ | — | $ | 13.11 | 1.31 | % | $ | 292,993 | 0.13 | % | 0.13 | % | 0.18 | % | 2.17 | % | 2.12 | % | 4 | % | ||||||||||||||||||
2005 | 13.18 | 0.33 | # | 0.09 | 0.02 | (0.32 | ) | (0.36 | ) | 12.94 | 3.31 | 280,256 | 0.13 | 0.13 | 0.19 | 2.51 | 2.45 | 20 | |||||||||||||||||||||||||||||||
2004 | 13.00 | 0.21 | # | 0.04 | 0.37 | (0.31 | ) | (0.13 | ) | 13.18 | 4.76 | 270,913 | 0.13 | 0.13 | 0.17 | 1.60 | 1.56 | 11 | |||||||||||||||||||||||||||||||
2003 | 12.40 | 0.31 | 0.02 | 0.82 | (0.22 | ) | (0.33 | ) | 13.00 | 9.33 | 253,828 | 0.13 | 0.13 | 0.20 | 2.01 | 1.94 | 13 | ||||||||||||||||||||||||||||||||
2002 | 13.15 | 0.38 | 0.10 | (0.62 | ) | (0.44 | ) | (0.17 | ) | 12.40 | (1.10 | ) | 263,646 | 0.13 | 0.13 | 0.17 | 2.86 | 2.82 | 14 | ||||||||||||||||||||||||||||||
2001 (7) | 13.29 | 0.17 | 0.06 | (0.12 | ) | (0.22 | ) | (0.03 | ) | 13.15 | 0.79 | 286,628 | 0.13 | 0.13 | 0.18 | 3.67 | 3.62 | 4 | |||||||||||||||||||||||||||||||
GS6 Class | |||||||||||||||||||||||||||||||||||||||||||||||||
2006 (6) | $ | 9.05 | $ | 0.08 | # | $ | 0.01 | $ | 0.02 | $ | — | $ | — | $ | 9.16 | 1.22 | % | $ | 12,302 | 0.50 | % | 0.50 | % | 0.60 | % | 1.79 | % | 1.69 | % | 4 | % | ||||||||||||||||||
2005 | 9.42 | 0.20 | # | 0.09 | (0.02 | ) | (0.28 | ) | (0.36 | ) | 9.05 | 2.90 | 12,161 | 0.50 | 0.50 | 0.56 | 2.10 | 2.04 | 20 | ||||||||||||||||||||||||||||||
2004 | 9.41 | 0.11 | # | 0.04 | 0.27 | (0.28 | ) | (0.13 | ) | 9.42 | 4.52 | 11,815 | 0.36 | 0.36 | 0.45 | 1.14 | 1.05 | 11 | |||||||||||||||||||||||||||||||
2003 | 9.12 | 0.21 | 0.02 | 0.59 | (0.20 | ) | (0.33 | ) | 9.41 | 9.06 | 19,674 | 0.35 | 0.35 | 0.46 | 1.90 | 1.79 | 13 | ||||||||||||||||||||||||||||||||
2002 | 9.83 | 0.23 | 0.10 | (0.45 | ) | (0.42 | ) | (0.17 | ) | 9.12 | (1.27 | ) | 16,234 | 0.32 | 0.32 | 0.43 | 2.82 | 2.71 | 14 | ||||||||||||||||||||||||||||||
2001 (7) | 10.00 | 0.10 | 0.06 | (0.08 | ) | (0.22 | ) | (0.03 | ) | 9.83 | 0.72 | 325 | 0.48 | 0.48 | 66.47 | 6.69 | (59.30 | ) | 4 | ||||||||||||||||||||||||||||||
GS8 Class | |||||||||||||||||||||||||||||||||||||||||||||||||
2006 (6) | $ | 9.05 | $ | 0.07 | # | $ | 0.01 | $ | 0.01 | $ | — | $ | — | $ | 9.14 | 0.99 | % | $ | 5,388 | 0.80 | % | 0.80 | % | 0.99 | % | 1.49 | % | 1.30 | % | 4 | % | ||||||||||||||||||
2005 | 9.42 | 0.17 | # | 0.09 | (0.01 | ) | (0.26 | ) | (0.36 | ) | 9.05 | 2.61 | 5,295 | 0.80 | 0.80 | 0.97 | 1.81 | 1.64 | 20 | ||||||||||||||||||||||||||||||
2004 (8) | 9.53 | 0.06 | # | 0.04 | 0.05 | (0.13 | ) | (0.13 | ) | 9.42 | 1.56 | 5,080 | 0.45 | 0.45 | 1.03 | 4.43 | 3.85 | 11 | |||||||||||||||||||||||||||||||
Growth & Income Fund | |||||||||||||||||||||||||||||||||||||||||||||||||
GS4 Class | |||||||||||||||||||||||||||||||||||||||||||||||||
2006 (6) | $ | 14.20 | $ | 0.13 | # | $ | 0.02 | $ | (0.01 | ) | $ | — | $ | — | $ | 14.34 | 0.99 | % | $ | 1,297,470 | 0.13 | % | 0.13 | % | 0.14 | % | 1.88 | % | 1.87 | % | 4 | % | |||||||||||||||||
2005 | 14.27 | 0.32 | # | 0.21 | 0.36 | (0.36 | ) | (0.60 | ) | 14.20 | 6.24 | 1,273,855 | 0.13 | 0.13 | 0.14 | 2.18 | 2.17 | 10 | |||||||||||||||||||||||||||||||
2004 | 13.41 | 0.26 | # | 0.11 | 0.99 | (0.30 | ) | (0.20 | ) | 14.27 | 10.13 | 1,283,982 | 0.13 | 0.13 | 0.13 | 1.90 | 1.90 | 6 | |||||||||||||||||||||||||||||||
2003 | 11.82 | 0.29 | 0.15 | 1.78 | (0.36 | ) | (0.27 | ) | 13.41 | 18.79 | 1,120,080 | 0.13 | 0.13 | 0.13 | 2.22 | 2.22 | 10 | ||||||||||||||||||||||||||||||||
2002 | 13.44 | 0.36 | 0.12 | (1.33 | ) | (0.42 | ) | (0.35 | ) | 11.82 | (6.37 | ) | 1,019,700 | 0.13 | 0.13 | 0.13 | 2.68 | 2.68 | 12 | ||||||||||||||||||||||||||||||
2001 (7) | 13.74 | 0.14 | 0.06 | (0.27 | ) | (0.19 | ) | (0.04 | ) | 13.44 | (0.47 | ) | 1,156,044 | 0.13 | 0.13 | 0.17 | 2.87 | 2.83 | 4 | ||||||||||||||||||||||||||||||
GS6 Class | |||||||||||||||||||||||||||||||||||||||||||||||||
2006 (6) | $ | 9.36 | $ | 0.07 | # | $ | — | $ | (0.01 | ) | $ | — | $ | — | $ | 9.42 | 0.64 | % | $ | 13,990 | 0.60 | % | 0.60 | % | 0.54 | % | 1.41 | % | 1.47 | % | 4 | % | |||||||||||||||||
2005 | 9.71 | 0.18 | # | 0.21 | 0.19 | (0.33 | ) | (0.60 | ) | 9.36 | 5.96 | 13,888 | 0.48 | 0.48 | 0.48 | 1.82 | 1.82 | 10 | |||||||||||||||||||||||||||||||
2004 | 9.28 | 0.12 | # | 0.11 | 0.66 | (0.26 | ) | (0.20 | ) | 9.71 | 9.66 | 13,118 | 0.46 | 0.46 | 0.52 | 1.28 | 1.22 | 6 | |||||||||||||||||||||||||||||||
2003 | 8.34 | 0.16 | 0.15 | 1.23 | (0.33 | ) | (0.27 | ) | 9.28 | 18.52 | 22,650 | 0.45 | 0.45 | 0.54 | 2.00 | 1.91 | 10 | ||||||||||||||||||||||||||||||||
2002 | 9.72 | 0.21 | 0.12 | (0.96 | ) | (0.40 | ) | (0.35 | ) | 8.34 | (6.59 | ) | 17,009 | 0.37 | 0.37 | 0.45 | 2.64 | 2.56 | 12 | ||||||||||||||||||||||||||||||
2001 (7) | 10.00 | 0.07 | 0.06 | (0.18 | ) | (0.19 | ) | (0.04 | ) | 9.72 | (0.52 | ) | 1,334 | 0.48 | 0.48 | 6.53 | 4.44 | (1.61 | ) | 4 | |||||||||||||||||||||||||||||
GS8 Class | |||||||||||||||||||||||||||||||||||||||||||||||||
2006 (6) | $ | 9.35 | $ | 0.05 | # | $ | — | $ | 0.01 | $ | — | $ | — | $ | 9.41 | 0.64 | % | $ | 6,230 | 0.90 | % | 0.90 | % | 0.93 | % | 1.13 | % | 1.10 | % | 4 | % | ||||||||||||||||||
2005 | 9.72 | 0.14 | # | 0.21 | 0.17 | (0.29 | ) | (0.60 | ) | 9.35 | 5.39 | 5,836 | 0.90 | 0.90 | 0.92 | 1.44 | 1.42 | 10 | |||||||||||||||||||||||||||||||
2004 (8) | 9.74 | 0.07 | # | 0.11 | 0.16 | (0.16 | ) | (0.20 | ) | 9.72 | 3.50 | 5,174 | 0.61 | 0.61 | 1.13 | 4.84 | 4.32 | 6 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Does not include expenses of the investment companies in which the Fund invests. |
(6) | For the six months ended June 30, 2006. |
(7) | Inception date was August 27, 2001. |
(8) | Inception date was November 8, 2004. |
See Notes to Financial Statements.
20
Table of Contents
Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income/ (Loss) (1) | Capital Gain Distributions Received from Affiliated | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income (2) | Distributions from Net Realized Capital Gains | Net Asset Value, End of Period | Total Return (3) | Net End of Period | Expenses, Net (4)(5) | Expenses, Including Expense Reduction (4)(5) | Expenses, Before Waivers and Expense Reduction (4)(5) | Investment Income/ (Loss), Net (1)(4) | Investment Income/ (Loss), Excluding Waivers and Expense Reduction (1)(4) | Portfolio Turnover Rate (3) | ||||||||||||||||||||||||||||||||||||
Capital Opportunities Fund |
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GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006 (6) | $ | 15.45 | $ | 0.09 | # | $ | 0.03 | $ | 0.15 | $ | — | $ | — | $ | 15.72 | 1.75 | % | $ | 1,053,027 | 0.13 | % | 0.13 | % | 0.14 | % | 1.17 | % | 1.16 | % | 4 | % | |||||||||||||||||||
2005 | 15.03 | 0.23 | # | 0.31 | 0.68 | (0.31 | ) | (0.49 | ) | 15.45 | 8.09 | 1,046,061 | 0.13 | 0.13 | 0.14 | 1.50 | 1.49 | 5 | ||||||||||||||||||||||||||||||||
2004 | 13.62 | 0.19 | # | 0.08 | 1.47 | (0.21 | ) | (0.12 | ) | 15.03 | 12.80 | 1,043,625 | 0.13 | 0.13 | 0.13 | 1.33 | 1.33 | 3 | ||||||||||||||||||||||||||||||||
2003 | 11.17 | 0.19 | 0.07 | 2.56 | (0.23 | ) | (0.14 | ) | 13.62 | 25.23 | 900,021 | 0.13 | 0.13 | 0.14 | 1.54 | 1.53 | 8 | |||||||||||||||||||||||||||||||||
2002 | 13.37 | 0.22 | 0.06 | (2.05 | ) | (0.24 | ) | (0.19 | ) | 11.17 | (13.25 | ) | 745,968 | 0.13 | 0.13 | 0.14 | 1.72 | 1.71 | 10 | |||||||||||||||||||||||||||||||
2001 (7) | 13.71 | 0.08 | 0.03 | (0.34 | ) | (0.11 | ) | — | † | 13.37 | (1.68 | ) | 883,648 | 0.13 | 0.13 | 0.17 | 1.76 | 1.72 | 3 | |||||||||||||||||||||||||||||||
GS6 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006 (6) | $ | 10.61 | $ | 0.03 | # | $ | 0.03 | $ | 0.10 | $ | — | $ | — | $ | 10.77 | 1.41 | % | $ | 7,682 | 0.70 | % | 0.70 | % | 0.69 | % | 0.61 | % | 0.62 | % | 4 | % | |||||||||||||||||||
2005 | 10.57 | 0.11 | # | 0.31 | 0.37 | (0.26 | ) | (0.49 | ) | 10.61 | 7.43 | 7,571 | 0.62 | 0.62 | 0.62 | 1.01 | 1.01 | 5 | ||||||||||||||||||||||||||||||||
2004 | 9.67 | 0.07 | # | 0.08 | 1.03 | (0.16 | ) | (0.12 | ) | 10.57 | 12.28 | 7,042 | 0.56 | 0.56 | 0.61 | 0.66 | 0.61 | 3 | ||||||||||||||||||||||||||||||||
2003 | 8.01 | 0.11 | 0.07 | 1.82 | (0.20 | ) | (0.14 | ) | 9.67 | 24.93 | 13,585 | 0.52 | 0.52 | 0.62 | 1.20 | 1.10 | 8 | |||||||||||||||||||||||||||||||||
2002 | 9.73 | 0.12 | 0.06 | (1.50 | ) | (0.21 | ) | (0.19 | ) | 8.01 | (13.56 | ) | 9,859 | 0.42 | 0.42 | 0.55 | 1.54 | 1.41 | 10 | |||||||||||||||||||||||||||||||
2001 (7) | 10.00 | 0.03 | 0.03 | (0.22 | ) | (0.11 | ) | — | † | 9.73 | (1.64 | ) | 331 | 0.48 | 0.48 | 43.03 | 3.87 | (38.68 | ) | 3 | ||||||||||||||||||||||||||||||
GS8 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006 (6) | $ | 10.60 | $ | 0.02 | # | $ | 0.03 | $ | 0.10 | $ | — | $ | — | $ | 10.75 | 1.42 | % | $ | 6,934 | 0.90 | % | 0.90 | % | 0.89 | % | 0.43 | % | 0.44 | % | 4 | % | |||||||||||||||||||
2005 | 10.56 | 0.08 | # | 0.31 | 0.37 | (0.23 | ) | (0.49 | ) | 10.60 | 7.21 | 6,131 | 0.92 | 0.92 | 0.92 | 0.76 | 0.76 | 5 | ||||||||||||||||||||||||||||||||
2004 (8) | 10.31 | 0.04 | # | 0.08 | 0.35 | (0.10 | ) | (0.12 | ) | 10.56 | 4.63 | 5,234 | 1.00 | 1.00 | 1.06 | 2.93 | 2.87 | 3 | ||||||||||||||||||||||||||||||||
Global Equity Fund |
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GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006 (6) | $ | 16.28 | $ | 0.04 | # | $ | 0.04 | $ | 0.32 | $ | — | $ | — | $ | 16.68 | 2.46 | % | $ | 957,325 | 0.13 | % | 0.13 | % | 0.14 | % | 0.47 | % | 0.46 | % | 4 | % | |||||||||||||||||||
2005 | 15.55 | 0.13 | # | 0.41 | 0.98 | (0.23 | ) | (0.56 | ) | 16.28 | 9.75 | 940,769 | 0.13 | 0.13 | 0.14 | 0.85 | 0.84 | 4 | ||||||||||||||||||||||||||||||||
2004 | 13.64 | 0.11 | # | 0.04 | 1.96 | (0.12 | ) | (0.08 | ) | 15.55 | 15.47 | 936,734 | 0.13 | 0.13 | 0.13 | 0.77 | 0.77 | 2 | ||||||||||||||||||||||||||||||||
2003 | 10.40 | 0.10 | — | 3.23 | (0.09 | ) | — | 13.64 | 31.99 | 801,407 | 0.13 | 0.13 | 0.14 | 0.82 | 0.81 | 4 | ||||||||||||||||||||||||||||||||||
2002 | 13.14 | 0.08 | — | † | (2.71 | ) | (0.08 | ) | (0.03 | ) | 10.40 | (20.04 | ) | 616,043 | 0.13 | 0.13 | 0.14 | 0.68 | 0.67 | 6 | ||||||||||||||||||||||||||||||
2001 (7) | 13.57 | 0.03 | — | (0.43 | ) | (0.03 | ) | — | † | 13.14 | (2.96 | ) | 810,507 | 0.13 | 0.13 | 0.17 | 0.61 | 0.57 | 3 | |||||||||||||||||||||||||||||||
GS6 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006 (6) | $ | 11.67 | $ | — | # | $ | 0.04 | $ | 0.22 | $ | — | $ | — | $ | 11.93 | 2.23 | % | $ | 14,760 | 0.57 | % | 0.57 | % | 0.54 | % | 0.03 | % | 0.06 | % | 4 | % | |||||||||||||||||||
2005 | 11.35 | 0.06 | # | 0.41 | 0.60 | (0.19 | ) | (0.56 | ) | 11.67 | 9.40 | 14,441 | 0.50 | 0.50 | 0.50 | 0.48 | 0.48 | 4 | ||||||||||||||||||||||||||||||||
2004 | 10.00 | 0.04 | # | 0.04 | 1.43 | (0.08 | ) | (0.08 | ) | 11.35 | 15.17 | 13,202 | 0.44 | 0.44 | 0.50 | 0.37 | 0.31 | 2 | ||||||||||||||||||||||||||||||||
2003 | 7.65 | 0.05 | — | 2.36 | (0.06 | ) | — | 10.00 | 31.53 | 17,973 | 0.43 | 0.43 | 0.48 | 0.53 | 0.48 | 4 | ||||||||||||||||||||||||||||||||||
2002 | 9.70 | 0.04 | — | † | (2.00 | ) | (0.06 | ) | (0.03 | ) | 7.65 | (20.25 | ) | 12,805 | 0.35 | 0.35 | 0.44 | 0.53 | 0.44 | 6 | ||||||||||||||||||||||||||||||
2001 (7) | 10.00 | 0.02 | — | (0.29 | ) | (0.03 | ) | — | † | 9.70 | (2.75 | ) | 207 | 0.48 | 0.48 | 66.34 | 1.57 | (64.29 | ) | 3 | ||||||||||||||||||||||||||||||
GS8 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006 (6) | $ | 11.66 | $ | (0.02 | )# | $ | 0.04 | $ | 0.22 | $ | — | $ | — | $ | 11.90 | 2.06 | % | $ | 6,212 | 0.87 | % | 0.87 | % | 0.90 | % | (0.26 | )% | (0.29 | )% | 4 | % | |||||||||||||||||||
2005 | 11.35 | 0.01 | # | 0.41 | 0.61 | (0.16 | ) | (0.56 | ) | 11.66 | 8.97 | 5,926 | 0.87 | 0.87 | 0.92 | 0.13 | 0.08 | 4 | ||||||||||||||||||||||||||||||||
2004 (8) | 10.83 | 0.03 | # | 0.04 | 0.57 | (0.04 | ) | (0.08 | ) | 11.35 | 5.94 | 5,296 | 0.87 | 0.87 | 1.04 | 1.64 | 1.47 | 2 |
See Notes to Financial Statements.
21
Table of Contents
Average Annual Total Returns as of 6/30/06 | ||||
GS2 Class* | Benchmark** | |||
One Year | 4.39% | 4.76% | ||
Since Inception | 4.72% | 4.85% | ||
Inception Date | 07/01/03 | 07/01/03 |
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.GuideStoneFunds.org. 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.
The graph compares the results of a hypothetical $10,000 investment in the GS2 Class of the Fund since July 1, 2003 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
* | These returns reflect expense waivers by the Fund’s investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
** | Represents a weighted composite benchmark index consisting of the Russell 3000® Index, the MSCI ACWI® Ex-U.S. and the Merrill Lynch 1-3 Year Treasury Index. |
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
The MSCI ACWI® Ex-U.S. is a market-capitalization weighted index composed of companies representative of the market structure of developed and emerging market countries in the Americas (excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It excludes closed markets and those shares in otherwise free markets that are not purchasable by foreigners.
The Merrill Lynch 1-3 Year Treasury Index is composed of all U.S. Treasury Notes and Bonds with maturities greater than or equal to one year and less than three years.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
22
Table of Contents
Flexible Income Fund I | ||
SCHEDULE OF INVESTMENTS | June 30, 2006 (Unaudited) |
Shares | Value | |||||
AFFILIATED MUTUAL FUNDS — 98.7% | ||||||
GuideStone Funds Money Market Fund (GS2 Class)¥ | 539,725 | $ | 539,724 | |||
GuideStone Funds Low-Duration Bond Fund (GS2 Class)¥ | 4,530,104 | 40,635,035 | ||||
GuideStone Funds Equity Index Fund (GS2 Class)¥ | 90,703 | 915,190 | ||||
GuideStone Funds Value Equity Fund (GS2 Class)¥ | 392,138 | 4,286,069 | ||||
GuideStone Funds Growth Equity Fund (GS2 Class)¥ | 399,890 | 4,254,830 | ||||
GuideStone Funds Small Cap Equity Fund (GS2 Class)¥ | 89,714 | 1,073,878 | ||||
GuideStone Funds International Equity Fund (GS2 Class)¥ | 216,080 | 3,427,023 | ||||
Total Affiliated Mutual Funds | 55,131,749 | |||||
Par | ||||||
U.S. TREASURY OBLIGATIONS — 1.2% | ||||||
U.S. Treasury Bill | ||||||
4.66%, 09/21/06‡‡ | $ | 20,000 | 19,788 | |||
U.S. Treasury Note | ||||||
4.63%, 03/31/08 | 670,000 | 663,876 | ||||
Total U.S. Treasury Obligations | 683,664 | |||||
TOTAL INVESTMENTS — 99.9% | 55,815,413 | |||||
Other Assets in Excess of Liabilities — 0.1% | 30,358 | |||||
NET ASSETS — 100.0% | $ | 55,845,771 | ||||
PORTFOLIO SUMMARY+ | ||
% | ||
Bond Fund | 72.8 | |
Domestic Equity Funds | 18.8 | |
International Equity Fund | 6.1 | |
U.S. Treasury Obligations | 1.2 | |
Money Market Fund | 1.0 | |
Futures Contracts | 0.3 | |
100.2 | ||
+ | Based on net assets. |
See Notes to Financial Statements.
23
Table of Contents
Average Annual Total Returns as of 6/30/06 | ||||
GS2 Class* | Benchmark** | |||
One Year | 5.95% | 6.53% | ||
Since Inception | 8.88% | 8.85% | ||
Inception Date | 07/01/03 | 07/01/03 |
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.GuideStoneFunds.org. 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.
The graph compares the results of a hypothetical $10,000 investment in the GS2 Class of the Fund since July 1, 2003 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
* | These returns reflect expense waivers by the Fund’s investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
** | Represents a weighted composite benchmark index consisting of the Russell 3000® Index, the MSCI ACWI® Ex-U.S. and the Lehman Brothers Aggregate Bond Index. |
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
The MSCI ACWI® Ex-U.S. is a market-capitalization weighted index composed of companies representative of the market structure of developed and emerging market countries in the Americas (excluding the U.S.), Europe/Middle East, and Asia/ Pacific Regions. It excludes closed markets and those shares in otherwise free markets that are not purchased by foreigners.
The Lehman Brothers Aggregate Bond Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
24
Table of Contents
Growth & Income Fund I | ||
SCHEDULE OF INVESTMENTS | June 30, 2006 (Unaudited) |
Shares | Value | ||||||
AFFILIATED MUTUAL FUNDS — 99.2% | |||||||
GuideStone Funds Money Market Fund (GS2 Class)¥ | 3,107,597 | $ | 3,107,597 | ||||
GuideStone Funds Low-Duration Bond Fund (GS2 Class)¥ | 3,923,124 | 35,190,426 | |||||
GuideStone Funds Medium-Duration Bond Fund (GS2 Class)¥ | 7,055,361 | 59,406,142 | |||||
GuideStone Funds Extended-Duration Bond Fund (GS2 Class) ¥ | 3,094,416 | 24,322,112 | |||||
GuideStone Funds Equity Index Fund (GS2 Class)¥ | 780,649 | 7,876,748 | |||||
GuideStone Funds Value Equity Fund (GS2 Class)¥ | 3,281,292 | 35,864,520 | |||||
GuideStone Funds Growth Equity Fund (GS2 Class)¥ | 3,222,655 | 34,289,052 | |||||
GuideStone Funds Small Cap Equity Fund (GS2 Class)¥ | 694,298 | 8,310,745 | |||||
GuideStone Funds International Equity Fund (GS2 Class)¥ | 2,049,402 | 32,503,509 | |||||
Total Affiliated Mutual Funds | 240,870,851 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATIONS — 0.9% | |||||||
U.S. Treasury Bill | |||||||
4.66%, 09/21/06‡‡ | $ | 130,000 | 128,621 | ||||
U.S. Treasury Note | |||||||
4.88%, 02/15/12 | 2,030,000 | 2,008,433 | |||||
Total U.S. Treasury Obligations | 2,137,054 | ||||||
TOTAL INVESTMENTS — 100.1% | 243,007,905 | ||||||
Liabilities in Excess of Other Assets — (0.1)% | (186,290 | ) | |||||
NET ASSETS — 100.0% | $ | 242,821,615 | |||||
PORTFOLIO SUMMARY+ | ||
% | ||
Bond Funds | 49.0 | |
Domestic Equity Funds | 35.5 | |
International Equity Fund | 13.4 | |
Money Market Fund | 1.3 | |
U.S. Treasury Obligations | 0.9 | |
Futures Contracts | 0.8 | |
100.9 | ||
+ | Based on net assets. |
See Notes to Financial Statements.
25
Table of Contents
Average Annual Total Returns as of 6/30/06 | ||||
GS2 Class* | Benchmark** | |||
One Year | 9.27% | 10.22% | ||
Since Inception | 12.02% | 12.24% | ||
Inception Date | 07/01/03 | 07/01/03 |
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.GuideStoneFunds.org. 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.
The graph compares the results of a hypothetical $10,000 investment in the GS2 Class of the Fund since July 1, 2003 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
* | These returns reflect expense waivers by the Fund’s investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
** | Represents a weighted composite benchmark index consisting of the Russell 3000® Index, the MSCI ACWI® Ex-U.S. and the Lehman Brothers Aggregate Bond Index. |
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
The MSCI ACWI® Ex-U.S. is a market-capitalization weighted index composed of companies representative of the market structure of developed and emerging market countries in the Americas (excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It excludes closed markets and those shares in otherwise free markets that are not purchasable by foreigners.
The Lehman Brothers Aggregate Bond Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
26
Table of Contents
Capital Opportunities Fund I | ||
SCHEDULE OF INVESTMENTS | June 30, 2006 (Unaudited) |
Shares | Value | |||||
AFFILIATED MUTUAL FUNDS — 99.4% | ||||||
GuideStone Funds Money Market Fund (GS2 Class)¥ | 2,673,967 | $ | 2,673,967 | |||
GuideStone Funds Low-Duration Bond Fund (GS2 Class)¥ | 1,353,982 | 12,145,218 | ||||
GuideStone Funds Medium-Duration Bond Fund (GS2 Class)¥ | 2,416,754 | 20,349,067 | ||||
GuideStone Funds Extended-Duration Bond Fund (GS2 Class) ¥ | 1,098,340 | 8,632,956 | ||||
GuideStone Funds Equity Index Fund (GS2 Class)¥ | 769,129 | 7,760,507 | ||||
GuideStone Funds Value Equity Fund (GS2 Class)¥ | 3,429,174 | 37,480,871 | ||||
GuideStone Funds Growth Equity Fund (GS2 Class)¥ | 3,427,250 | 36,465,936 | ||||
GuideStone Funds Small Cap Equity Fund (GS2 Class)¥ | 740,961 | 8,869,298 | ||||
GuideStone Funds International Equity Fund (GS2 Class)¥ | 2,048,683 | 32,492,118 | ||||
Total Affiliated Mutual Funds | 166,869,938 | |||||
Par | ||||||
U.S. TREASURY OBLIGATIONS — 0.5% | ||||||
U.S. Treasury Bill | ||||||
4.66%, 09/21/06‡‡ | $ | 130,000 | 128,621 | |||
U.S. Treasury Note | ||||||
4.88%, 02/15/12 | 645,000 | 638,148 | ||||
Total U.S. Treasury Obligations | 766,769 | |||||
TOTAL INVESTMENTS — 99.9% | 167,636,707 | |||||
Other Assets in Excess of Liabilities — 0.1% | 158,488 | |||||
NET ASSETS — 100.0% | $ | 167,795,195 | ||||
PORTFOLIO SUMMARY+ | ||
% | ||
Domestic Equity Funds | 54.0 | |
Bond Funds | 24.5 | |
International Equity Fund | 19.4 | |
Money Market Fund | 1.6 | |
Futures Contracts | 1.2 | |
U.S. Treasury Obligations | 0.4 | |
101.1 | ||
+ | Based on net assets. |
See Notes to Financial Statements.
27
Table of Contents
Average Annual Total Returns as of 6/30/06 | ||||
GS2 Class* | Benchmark** | |||
One year | 12.47% | 13.97% | ||
Since Inception | 15.11% | 15.67% | ||
Inception Date | 07/01/03 | 07/01/03 |
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.GuideStoneFunds.org. 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.
The graph compares the results of a hypothetical $10,000 investment in the GS2 Class of the Fund since July 1, 2003 (commencement of operations), with all dividends and capital gains reinvested, with the Fund’s weighted composite benchmark index.
* | These returns reflect expense waivers by the Fund’s investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
** | Represents a weighted composite benchmark index consisting of the Russell 3000® Index and the MSCI ACWI® Ex-U.S. |
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
The MSCI ACWI® Ex-U.S. is a market-capitalization weighted index composed of companies representative of the market structure of developed and emerging market countries in the Americas (excluding the U.S.), Europe/Middle East, and Asia/ Pacific Regions. It excludes closed markets and those shares in otherwise free markets that are not purchasable by foreigners.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
28
Table of Contents
Global Equity Fund I | ||
SCHEDULE OF INVESTMENTS | June 30, 2006 (Unaudited) |
Shares | Value | ||||||
AFFILIATED MUTUAL FUNDS — 100.1% | |||||||
GuideStone Funds Money Market Fund (GS2 Class)¥ | 2,395,602 | $ | 2,395,602 | ||||
GuideStone Funds Equity Index Fund (GS2 Class)¥ | 821,172 | 8,285,625 | |||||
GuideStone Funds Value Equity Fund (GS2 Class)¥ | 3,537,435 | 38,664,161 | |||||
GuideStone Funds Growth Equity Fund (GS2 Class)¥ | 3,606,034 | 38,368,197 | |||||
GuideStone Funds Small Cap Equity Fund (GS2 Class)¥ | 806,754 | 9,656,843 | |||||
GuideStone Funds International Equity Fund (GS2 Class)¥ | 2,059,159 | 32,658,258 | |||||
Total Affiliated Mutual Funds | 130,028,686 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATION — 0.1% | |||||||
U.S. Treasury Bill | |||||||
4.66%, 09/21/06‡‡ | $ | 140,000 | 138,515 | ||||
TOTAL INVESTMENTS — 100.2% | 130,167,201 | ||||||
Liabilities in Excess of Other Assets — (0.2)% | (212,748 | ) | |||||
NET ASSETS — 100.0% | $ | 129,954,453 | |||||
PORTFOLIO SUMMARY+ | ||
% | ||
Domestic Equity Funds | 73.1 | |
International Equity Fund | 25.1 | |
Money Market Fund | 1.9 | |
Futures Contracts | 1.5 | |
U.S. Treasury Obligation | 0.1 | |
101.7 | ||
+ | Based on net assets. |
See Notes to Financial Statements.
29
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2006 (Unaudited)
Flexible Income Fund I | Growth & Income Fund I | Capital Opportunities Fund I | Global Equity Fund I | |||||||||||||
Assets | ||||||||||||||||
Investments in securities of affiliated issuers, at value | $ | 55,131,749 | $ | 240,870,851 | $ | 166,869,938 | $ | 130,028,686 | ||||||||
Investments in securities of unaffiliated issuers, at value | 683,664 | 2,137,054 | 766,769 | 138,515 | ||||||||||||
Total investments (1) | 55,815,413 | 243,007,905 | 167,636,707 | 130,167,201 | ||||||||||||
Receivables: | ||||||||||||||||
Dividends | 2,461 | 12,084 | 10,641 | 8,705 | ||||||||||||
Interest | 7,775 | 37,179 | 11,813 | — | ||||||||||||
Fund shares sold | 48,786 | 2,544 | 187,245 | — | ||||||||||||
Prepaid expenses and other assets | (1,122 | ) | (1,122 | ) | (1,122 | ) | (1,122 | ) | ||||||||
Total Assets | 55,873,313 | 243,058,590 | 167,845,284 | 130,174,784 | ||||||||||||
Liabilities | ||||||||||||||||
Payables: | ||||||||||||||||
Fund shares redeemed | — | 176,013 | — | 176,896 | ||||||||||||
Variation margin | 480 | 5,120 | 4,960 | 4,800 | ||||||||||||
Accrued expenses: | ||||||||||||||||
Advisory fees | 209 | 19,919 | 11,715 | 8,331 | ||||||||||||
Other expenses | 26,853 | 35,923 | 33,414 | 30,304 | ||||||||||||
Total Liabilities | 27,542 | 236,975 | 50,089 | 220,331 | ||||||||||||
Net Assets | $ | 55,845,771 | $ | 242,821,615 | $ | 167,795,195 | $ | 129,954,453 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in capital | $ | 55,049,581 | $ | 229,134,533 | $ | 147,969,478 | $ | 111,877,830 | ||||||||
Undistributed net investment income | 880,462 | 3,741,096 | 1,658,246 | 575,649 | ||||||||||||
Undistributed net realized gain on investments | 833,588 | 8,097,925 | 7,716,213 | 7,627,455 | ||||||||||||
Net unrealized appreciation (depreciation) on investments and futures | (917,860 | ) | 1,848,061 | 10,451,258 | 9,873,519 | |||||||||||
Net Assets | $ | 55,845,771 | $ | 242,821,615 | $ | 167,795,195 | $ | 129,954,453 | ||||||||
Net Asset Value: | ||||||||||||||||
Net assets applicable to the GS2 Class | $ | 55,845,771 | $ | 242,821,615 | $ | 167,795,195 | $ | 129,954,453 | ||||||||
GS2 shares outstanding | 5,423,446 | 21,237,930 | 13,055,260 | 9,048,412 | ||||||||||||
Net asset value, offering and redemption price per GS2 share | $ | 10.30 | $ | 11.43 | $ | 12.85 | $ | 14.36 | ||||||||
_______________ | ||||||||||||||||
(1) Investments in securities of affiliated issuers, at cost | $ | 56,051,445 | $ | 239,035,992 | $ | 156,428,178 | $ | 120,179,379 | ||||||||
Investments in securities of unaffiliated issuers, at cost | 684,776 | 2,144,115 | 769,616 | 138,515 | ||||||||||||
Total investments at cost | $ | 56,736,221 | $ | 241,180,107 | $ | 157,197,794 | $ | 120,317,894 | ||||||||
See Notes to Financial Statements.
30
Table of Contents
STATEMENTS OF OPERATIONS
For the Six Months Ended June 30, 2006 (Unaudited)
Flexible Income Fund I | Growth & Income Fund I | Capital Opportunities Fund I | Global Equity Fund I | |||||||||||||
Investment Income | ||||||||||||||||
Income dividends received from affiliated funds | $ | 912,513 | $ | 3,898,635 | $ | 1,779,661 | $ | 683,148 | ||||||||
Interest | 14,111 | 47,293 | 18,336 | 3,013 | ||||||||||||
Total Investment Income | 926,624 | 3,945,928 | 1,797,997 | 686,161 | ||||||||||||
Expenses | ||||||||||||||||
Investment advisory fees | 27,493 | 122,023 | 83,622 | 65,952 | ||||||||||||
Transfer agent fees | 3,265 | 6,562 | 6,671 | 3,247 | ||||||||||||
Custodian fees | 2,940 | 5,425 | 4,930 | 4,084 | ||||||||||||
Accounting and administration fees | 9,842 | 38,042 | 26,499 | 21,249 | ||||||||||||
Professional fees | 23,776 | 23,776 | 23,776 | 23,776 | ||||||||||||
Shareholder reporting fees | 182 | 202 | 186 | 198 | ||||||||||||
Trustee fees | 469 | 2,049 | 1,369 | 1,072 | ||||||||||||
Line of credit facility fees | 118 | 537 | 350 | 292 | ||||||||||||
Other expenses | 7,318 | 7,319 | 7,320 | 7,320 | ||||||||||||
Total Expenses | 75,403 | 205,935 | 154,723 | 127,190 | ||||||||||||
Expenses waived and reimbursed (See Footnote 3a and 3c) | (28,963 | ) | (746 | ) | (14,095 | ) | (16,156 | ) | ||||||||
Fees paid indirectly | (278 | ) | (357 | ) | (338 | ) | (352 | ) | ||||||||
Net expenses | 46,162 | 204,832 | 140,290 | 110,682 | ||||||||||||
Net Investment Income | 880,462 | 3,741,096 | 1,657,707 | 575,479 | ||||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Capital gain distributions received from affiliated funds | 74,104 | 651,433 | 665,280 | 678,813 | ||||||||||||
Net realized gain on investment securities of affiliated issuers | 210,024 | 2,094,400 | 2,012,916 | 2,198,263 | ||||||||||||
Net realized loss on investment securities of unaffiliated issuers | (5,732 | ) | (49,859 | ) | (15,392 | ) | — | |||||||||
Net realized loss on futures transactions | (2,712 | ) | (20,040 | ) | (20,631 | ) | (28,387 | ) | ||||||||
Net realized gain | 275,684 | 2,675,934 | 2,642,173 | 2,848,689 | ||||||||||||
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | (389,929 | ) | (3,967,041 | ) | (1,522,094 | ) | (381,177 | ) | ||||||||
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | (1,493 | ) | (12,381 | ) | (6,723 | ) | (14 | ) | ||||||||
Change in unrealized appreciation (depreciation) on futures | 4,637 | 45,362 | 44,840 | 59,097 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (386,785 | ) | (3,934,060 | ) | (1,483,977 | ) | (322,094 | ) | ||||||||
Net Realized and Unrealized Gain (Loss) | (111,101 | ) | (1,258,126 | ) | 1,158,196 | 2,526,595 | ||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 769,361 | $ | 2,482,970 | $ | 2,815,903 | $ | 3,102,074 | ||||||||
See Notes to Financial Statements.
31
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Flexible Income Fund I | Growth & Income Fund I | |||||||||||||||
For the Six Months Ended 06/30/06 (Unaudited) | For the Year Ended 12/31/05 | For the Six Months Ended 06/30/06 (Unaudited) | For the Year Ended 12/31/05 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 880,462 | $ | 1,830,186 | $ | 3,741,096 | $ | 7,773,603 | ||||||||
Net realized gain on investment securities and futures transactions | 275,684 | 1,213,257 | 2,675,934 | 9,148,867 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (386,785 | ) | (1,198,806 | ) | (3,934,060 | ) | (2,317,487 | ) | ||||||||
Net increase in net assets resulting from operations | 769,361 | 1,844,637 | 2,482,970 | 14,604,983 | ||||||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Dividends from net investment income | — | (1,960,531 | ) | — | (9,389,155 | ) | ||||||||||
Distributions from net realized capital gains | — | (695,374 | ) | — | (3,407,754 | ) | ||||||||||
Total dividends and distributions | — | (2,655,905 | ) | — | (12,796,909 | ) | ||||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from GS2 shares sold | 3,752,601 | 26,280,249 | 8,865,699 | 115,223,447 | ||||||||||||
Reinvestment of dividends and distributions into GS2 shares | — | 2,655,905 | — | 12,765,942 | ||||||||||||
Value of GS2 shares redeemed | (2,907,621 | ) | (5,340,931 | ) | (7,770,666 | ) | (12,719,755 | ) | ||||||||
Net increase from capital share transactions (See Footnote 6) | 844,980 | 23,595,223 | 1,095,033 | 115,269,634 | ||||||||||||
Total increase in net assets | 1,614,341 | 22,783,955 | 3,578,003 | 117,077,708 | ||||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 54,231,430 | 31,447,475 | 239,243,612 | 122,165,904 | ||||||||||||
End of Period* | $ | 55,845,771 | $ | 54,231,430 | $ | 242,821,615 | $ | 239,243,612 | ||||||||
_______________ | ||||||||||||||||
* Including undistributed net investment income | $ | 880,462 | $ | — | $ | 3,741,096 | $ | — | ||||||||
See Notes to Financial Statements.
32
Table of Contents
Capital Opportunities Fund I | Global Equity Fund I | |||||||||||||||
For the Six Months Ended 06/30/06 (Unaudited) | For the Year Ended 12/31/05 | For the Six Months Ended 06/30/06 (Unaudited) | For the Year Ended 12/31/05 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 1,657,707 | $ | 3,555,535 | $ | 575,479 | $ | 1,566,580 | ||||||||
Net realized gain on investment securities and futures Transactions | 2,642,173 | 7,661,333 | 2,848,689 | 7,058,840 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (1,483,977 | ) | 1,249,654 | (322,094 | ) | 3,271,382 | ||||||||||
Net increase in net assets resulting from operations | 2,815,903 | 12,466,522 | 3,102,074 | 11,896,802 | ||||||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Dividends from net investment income | — | (4,846,404 | ) | — | (2,745,940 | ) | ||||||||||
Distributions from net realized capital gains | — | (1,893,666 | ) | — | (1,346,880 | ) | ||||||||||
Total dividends and distributions | — | (6,740,070 | ) | — | (4,092,820 | ) | ||||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from GS2 shares sold | 9,304,841 | 85,516,600 | 6,663,246 | 87,397,534 | ||||||||||||
Reinvestment of dividends and distributions into GS2 shares | — | 6,740,071 | — | 4,092,820 | ||||||||||||
Value of GS2 shares redeemed | (4,174,373 | ) | (8,741,940 | ) | (5,636,566 | ) | (7,011,778 | ) | ||||||||
Net increase from capital share transactions (See Footnote 6) | 5,130,468 | 83,514,731 | 1,026,680 | 84,478,576 | ||||||||||||
Total increase in net assets | 7,946,371 | 89,241,183 | 4,128,754 | 92,282,558 | ||||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 159,848,824 | 70,607,641 | 125,825,699 | 33,543,141 | ||||||||||||
End of Period* | $ | 167,795,195 | $ | 159,848,824 | $ | 129,954,453 | $ | 125,825,699 | ||||||||
_______________ | ||||||||||||||||
* Including undistributed net investment income | $ | 1,658,246 | $ | 539 | $ | 575,649 | $ | 170 | ||||||||
See Notes to Financial Statements.
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FINANCIAL HIGHLIGHTS (Unaudited)
For a Share Outstanding For the Six Months Ended June 30, 2006 and For the Years Ended December 31, unless otherwise indicated | Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (1) | Capital Gain Distributions Received from Affiliated Funds | Realized (Loss) on | Dividends from Net Investment Income (2) | Distributions from Net Realized Capital Gains | Net Asset Value, End of Period | Total Return (3) | Net Assets, End of Period (000) | Expenses, Net (4)(5) | Expenses, Including Expense Reduction (4)(5) | Expenses, Before | Investment Income, Net (1)(4) | Investment Income, | Portfolio Turnover Rate (3) | |||||||||||||||||||||||||||||||||||
Flexible Income Fund I | |||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class | |||||||||||||||||||||||||||||||||||||||||||||||||
2006 (6) | $ | 10.15 | $ | 0.16 | $ | 0.01 | $ | (0.02 | ) | $ | — | $ | — | $ | 10.30 | 1.48 | % | $ | 55,846 | 0.17 | % | 0.17 | % | 0.28 | % | 3.24 | % | 3.13 | % | 9 | % | ||||||||||||||||||
2005 | 10.31 | 0.36 | 0.10 | (0.10 | ) | (0.38 | ) | (0.14 | ) | 10.15 | 3.46 | 54,231 | 0.17 | 0.17 | 0.30 | 3.52 | 3.39 | 16 | |||||||||||||||||||||||||||||||
2004 | 10.31 | 0.25 | 0.05 | 0.19 | (0.36 | ) | (0.13 | ) | 10.31 | 4.77 | 31,447 | 0.17 | 0.17 | 0.39 | 2.42 | 2.20 | 23 | ||||||||||||||||||||||||||||||||
2003 (7) | 10.00 | 0.18 | 0.10 | 0.16 | (0.12 | ) | (0.01 | ) | 10.31 | 4.40 | 28,636 | 0.17 | 0.17 | 0.51 | 4.16 | 3.82 | 8 | ||||||||||||||||||||||||||||||||
Growth & Income Fund I | |||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class | |||||||||||||||||||||||||||||||||||||||||||||||||
2006 (6) | $ | 11.32 | $ | 0.18 | # | $ | 0.02 | $ | (0.09 | ) | $ | — | $ | — | $ | 11.43 | 0.97 | % | $ | 242,822 | 0.17 | % | 0.17 | % | 0.17 | % | 3.10 | % | 3.10 | % | 9 | % | |||||||||||||||||
2005 | 11.23 | 0.40 | # | 0.25 | 0.07 | (0.46 | ) | (0.17 | ) | 11.32 | 6.42 | 239,244 | 0.17 | 0.17 | 0.18 | 3.49 | 3.48 | 11 | |||||||||||||||||||||||||||||||
2004 | 10.62 | 0.34 | # | 0.14 | 0.60 | (0.36 | ) | (0.11 | ) | 11.23 | 10.26 | 122,166 | 0.17 | 0.17 | 0.22 | 3.07 | 3.02 | 10 | |||||||||||||||||||||||||||||||
2003 (7) | 10.00 | 0.21 | 0.17 | 0.51 | (0.26 | ) | (0.01 | ) | 10.62 | 8.94 | 71,982 | 0.17 | 0.17 | 0.28 | 4.76 | 4.65 | 5 | ||||||||||||||||||||||||||||||||
Capital Opportunities Fund I | |||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class | |||||||||||||||||||||||||||||||||||||||||||||||||
2006 (6) | $ | 12.62 | $ | 0.13 | $ | 0.04 | $ | 0.06 | $ | — | $ | — | $ | 12.85 | 1.82 | % | $ | 167,795 | 0.17 | % | 0.17 | % | 0.19 | % | 2.01 | % | 1.99 | % | 6 | % | |||||||||||||||||||
2005 | 12.17 | 0.29 | 0.38 | 0.33 | (0.39 | ) | (0.16 | ) | 12.62 | 8.20 | 159,849 | 0.17 | 0.17 | 0.20 | 2.42 | 2.39 | 8 | ||||||||||||||||||||||||||||||||
2004 | 11.11 | 0.24 | 0.09 | 1.09 | (0.26 | ) | (0.10 | ) | 12.17 | 12.88 | 70,608 | 0.17 | 0.17 | 0.27 | 2.13 | 2.03 | 7 | ||||||||||||||||||||||||||||||||
2003 (7) | 10.00 | 0.15 | 0.09 | 1.07 | (0.18 | ) | (0.02 | ) | 11.11 | 13.02 | 57,489 | 0.17 | 0.17 | 0.31 | 3.24 | 3.10 | 3 | ||||||||||||||||||||||||||||||||
Global Equity Fund I | |||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class | |||||||||||||||||||||||||||||||||||||||||||||||||
2006 (6) | $ | 14.01 | $ | 0.06 | $ | 0.06 | $ | 0.23 | $ | — | $ | — | $ | 14.36 | 2.50 | % | $ | 129,954 | 0.17 | % | 0.17 | % | 0.20 | % | 0.88 | % | 0.85 | % | 5 | % | |||||||||||||||||||
2005 | 13.16 | 0.18 | 0.52 | 0.62 | (0.31 | ) | (0.16 | ) | 14.01 | 9.98 | 125,826 | 0.17 | 0.17 | 0.21 | 1.38 | 1.34 | 5 | ||||||||||||||||||||||||||||||||
2004 | 11.62 | 0.15 | 0.05 | 1.60 | (0.15 | ) | (0.11 | ) | 13.16 | 15.48 | 33,543 | 0.17 | 0.17 | 0.41 | 1.29 | 1.05 | 7 | ||||||||||||||||||||||||||||||||
2003 (7) | 10.00 | 0.09 | — | 1.63 | (0.09 | ) | (0.01 | ) | 11.62 | 17.16 | 25,678 | 0.17 | 0.17 | 0.50 | 1.69 | 1.36 | 1 |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Does not include expenses of the investment companies in which the Fund invests. |
(6) | For the six months ended June 30, 2006. |
(7) | Inception date was July 1, 2003. |
See Notes to Financial Statements.
34
Table of Contents
Average Annual Total Returns as of 6/30/06 | ||||||||||||
GS2 Class* | GS4 Class* | GS6 Class* | Benchmark** | GS8 Class* | GS8 Class Benchmark** | |||||||
One Year | 4.10% | 3.90% | 3.48% | 3.95% | 3.17% | 3.95% | ||||||
Since Inception | 2.07% | 1.94% | 1.64% | 2.11% | 2.50% | 3.34% | ||||||
Inception Date | 08/27/01 | 08/27/01 | 08/27/01 | 08/27/01 | 11/08/04 | 11/08/04 |
7-Day Annualized Yield as of 6/30/06 | ||||||||
GS2 Class* | GS4 Class* | GS6 Class* | GS8 Class* | |||||
4.98% | 4.79% | 4.37% | 4.07% |
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.GuideStoneFunds.org. Investment return will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The yield for the Money Market Fund represents annualization of the Fund’s declared dividends over the period indicated, excluding capital gains distributions. The 7-day annualized yield more closely reflects the current earnings of the Fund than the total return.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Citigroup 3-Month Index.
* | These performance figures reflect expense waivers by the Fund’s investment advisor. Without these waivers, performance would have been lower. Performance figures shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
** | The Citigroup 3-Month Index is composed of the monthly return equivalents of yield averages that are not marked to market. The 3-Month Treasury Bill Index consists of the last three 3-month Treasury bill issues. |
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
An investment in the Fund is not insured or guaranteed by the FDIC or any other governmental agency. Although the Fund seeks to maintain a value of $1.00 per share, it is possible to lose money.
35
Table of Contents
Money Market Fund | ||
SCHEDULE OF INVESTMENTS | June 30, 2006 (Unaudited) |
Par | Value | |||||
CERTIFICATES OF DEPOSIT — 13.9% | ||||||
Banque Nationale de Paris | ||||||
4.51%, 10/19/06 | $ | 10,000,000 | $ | 10,000,000 | ||
Citizens Bank of Massachusetts | ||||||
5.20%, 08/08/06 | 6,700,000 | 6,700,000 | ||||
Credit Suisse NY | ||||||
5.30%, 07/26/06 | 9,000,000 | 9,000,000 | ||||
First Tennessee Bank NA | ||||||
5.30%, 07/28/06 | 25,000,000 | 25,000,000 | ||||
Royal Bank of Scotland NY | ||||||
4.81%, 01/16/07 | 8,540,000 | 8,540,000 | ||||
4.87%, 02/02/07 | 17,000,000 | 17,000,000 | ||||
Societe Generale NY | ||||||
4.78%, 12/06/06 | 9,000,000 | 9,000,000 | ||||
Sumitomo Mitsui Banking Corporation NY | ||||||
5.13%, 07/06/06 | 3,500,000 | 3,500,000 | ||||
5.33%, 07/27/06 | 3,200,000 | 3,200,000 | ||||
Washington Mutual Bank FA | ||||||
5.31%, 08/03/06 | 26,900,000 | 26,900,000 | ||||
Total Certificates of Deposit | 118,840,000 | |||||
COMMERCIAL PAPER — 58.8% | ||||||
Alliance & Leicester PLC | ||||||
4.55%, 07/17/06 | 30,000,000 | 29,939,333 | ||||
Amstel Funding Corporation | ||||||
5.32%, 09/15/06 | 12,358,000 | 12,219,206 | ||||
BASF AG | ||||||
5.25%, 07/21/06 | 12,000,000 | 11,965,000 | ||||
5.26%, 07/21/06 | 15,000,000 | 14,956,167 | ||||
5.16%, 08/07/06 | 13,000,000 | 12,931,057 | ||||
Bear Stearns Co., Inc. | ||||||
5.24%, 07/24/06 | 8,000,000 | 7,973,218 | ||||
5.28%, 07/24/06 | 11,000,000 | 10,962,893 | ||||
5.30%, 08/04/06 | 9,000,000 | 8,954,950 | ||||
Beethoven Funding Corporation | ||||||
5.19%, 08/07/06 | 10,000,000 | 9,946,658 | ||||
Brahms Funding Corporation | ||||||
5.13%, 07/11/06 | 3,800,000 | 3,794,585 | ||||
Cancara Asset Securitization, Ltd. | ||||||
5.16%, 08/11/06 | 3,858,000 | 3,835,328 | ||||
CIT Group, Inc. | ||||||
5.31%, 09/07/06 | 20,000,000 | 19,799,400 | ||||
Citibank Credit Card Issuance Trust | ||||||
5.30%, 07/26/06 | 3,600,000 | 3,586,750 | ||||
5.28%, 08/01/06 | 20,000,000 | 19,909,067 | ||||
Citigroup Funding, Inc. | ||||||
5.28%, 07/31/06 | 26,000,000 | 25,885,600 | ||||
Corporate Asset Funding Co., Inc. | ||||||
5.15%, 08/08/06 | 22,850,000 | 22,725,785 | ||||
Countrywide Financial Corporation | ||||||
5.31%, 07/17/06 | 15,000,000 | 14,964,600 | ||||
Giro Funding U.S. Corporation | ||||||
5.31%, 07/27/06 | 1,000,000 | 996,165 | ||||
Grampian Funding LLC | ||||||
5.30%, 08/07/06 | 5,000,000 | 4,972,764 | ||||
Greenwich Capital Holdings, Inc. | ||||||
5.31%, 09/29/06 | 10,000,000 | 10,000,000 | ||||
Lehman Brothers Holdings, Inc. | ||||||
5.36%, 10/12/06 | 1,700,000 | 1,700,000 | ||||
Lexington Parker Capital | ||||||
5.28%, 07/17/06 | 41,000,000 | 40,903,787 | ||||
Lockhart Funding LLC | ||||||
5.20%, 08/08/06 | 20,000,000 | 19,890,222 | ||||
Merrill Lynch & Co., Inc. | ||||||
5.32%, 07/05/06 | 24,000,000 | 23,985,813 | ||||
MetLife, Inc. | ||||||
5.29%, 07/12/06 | 7,000,000 | 6,988,685 | ||||
5.29%, 07/27/06 | 21,000,000 | 20,919,768 | ||||
Morgan Stanley | ||||||
5.28%, 07/13/06 | 35,000,000 | 34,938,400 | ||||
5.36%, 10/11/06 | 1,000,000 | 1,000,000 | ||||
National Rural Utilities Cooperative Finance Corporation | ||||||
5.26%, 07/27/06 | 20,072,000 | 19,995,749 | ||||
Nestle Capital Corporation | ||||||
5.25%, 07/03/06 | 21,908,000 | 21,901,610 | ||||
Nordeutsche Landesbank Luxembourg SA | ||||||
5.31%, 09/15/06 | 20,000,000 | 19,775,800 | ||||
Spintab AB | ||||||
5.15%, 08/01/06 | 8,373,000 | 8,335,868 | ||||
Sydney Capital Corporation | ||||||
5.08%, 07/05/06 | 10,000,000 | 9,994,356 | ||||
Thunder Bay Funding LLC | ||||||
5.31%, 09/14/06 | 20,683,000 | 20,454,194 | ||||
Total Commercial Paper | 501,102,778 | |||||
CORPORATE BOND — 1.5% | ||||||
Toyota Motor Credit Corporation | ||||||
3.85%, 11/02/06 | 13,000,000 | 12,972,039 | ||||
MASTER NOTES — 3.0% | ||||||
Citigroup Global Markets, Inc. | ||||||
5.38%, 08/25/06† | 15,000,000 | 15,000,000 | ||||
Merrill Lynch Mortgage Capital, Inc. | ||||||
5.41%, 07/03/06 | 7,250,000 | 7,250,000 | ||||
Morgan Stanley Mortgage Capital | ||||||
5.48%, 06/30/07† | 3,650,000 | 3,650,000 | ||||
Total Master Notes | 25,900,000 | |||||
MUNICIPAL BOND — 1.2% | ||||||
Bergen County, New Jersey Improvement Authority, Series D Revenue Bond (Wachovia Bank NA Insured) | ||||||
5.40%, 04/01/25† | 10,000,000 | 10,000,000 | ||||
VARIABLE RATE OBLIGATIONS — 21.5% | ||||||
Allstate Life Global Funding II | ||||||
5.35%, 07/27/07 144A† | 20,000,000 | 20,000,000 | ||||
Bear Stearns Co., Inc. | ||||||
5.12%, 07/28/07† | 10,000,000 | 10,000,000 | ||||
Cullinan Finance Corporation | ||||||
5.29%, 09/15/06 144A† | 25,000,000 | 24,999,227 |
See Notes to Financial Statements.
36
Table of Contents
Par | Value | |||||
General Electric Capital Corporation | ||||||
5.35%, 07/17/07† | $ | 2,240,000 | $ | 2,241,444 | ||
Lehman Brothers Holdings, Inc. | ||||||
5.32%, 02/23/07† | 15,000,000 | 15,015,437 | ||||
Merrill Lynch & Co., Inc. | ||||||
5.18%, 05/29/07† | 10,000,000 | 10,000,000 | ||||
Metropolitan Life Global Funding I | ||||||
5.44%, 07/28/07 144A† | 10,000,000 | 10,000,000 | ||||
National City Bank | ||||||
5.08%, 07/07/06† | 25,000,000 | 24,999,961 | ||||
Racers Trust | ||||||
5.21%, 08/21/06 144A† | 23,000,000 | 23,000,000 | ||||
5.31%, 12/22/06 144A† | 8,600,000 | 8,600,000 | ||||
SDB Capital LLC | ||||||
5.35%, 02/01/46† | 9,415,000 | 9,415,000 | ||||
Shipley Group LP | ||||||
5.47%, 10/01/14† | 1,400,000 | 1,400,000 | ||||
U.S. Bank NA | ||||||
5.28%, 09/29/06† | 15,000,000 | 14,999,170 | ||||
Westpac Banking Corporation | ||||||
5.34%, 10/11/07† | 8,250,000 | 8,250,000 | ||||
Total Variable Rate Obligations | 182,920,239 | |||||
TOTAL INVESTMENTS — 99.9% | 851,735,056 | |||||
Other Assets in Excess of Liabilities — 0.1% | 637,526 | |||||
NET ASSETS — 100.0% | $ | 852,372,582 | ||||
PORTFOLIO SUMMARY+ | ||
% | ||
Commercial Paper | 58.8 | |
Variable Rate Obligations | 21.5 | |
Certificates of Deposit | 13.9 | |
Master Notes | 3.0 | |
Corporate Bond | 1.5 | |
Municipal Bond | 1.2 | |
99.9 | ||
+ | Based on net assets. |
See Notes to Financial Statements.
37
Table of Contents
Average Annual Total Returns as of 6/30/06 | ||||||||||||
GS2 Class* | GS4 Class* | GS6 Class* | Benchmark** | GS8 Class* | GS8 Class Benchmark** | |||||||
One Year | 1.88% | 1.74% | 1.31% | 1.83% | 0.99% | 1.83% | ||||||
Since Inception | 2.92% | 2.86% | 2.57% | 2.87% | 0.89% | 1.67% | ||||||
Inception Date | 08/27/01 | 08/27/01 | 08/27/01 | 08/27/01 | 11/08/04 | 11/08/04 |
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.GuideStoneFunds.org. 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.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Merrill Lynch 1-3 Year Treasury Index.
* | These returns reflect expense waivers by the Fund’s investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
** | The Merrill Lynch 1-3 Year Treasury Index is composed of all U.S. Treasury Notes and Bonds with maturities greater than or equal to one year and less than three years. |
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
38
Table of Contents
Low-Duration Bond Fund | ||
SCHEDULE OF INVESTMENTS | June 30, 2006 (Unaudited) |
Par | Value | |||||
AGENCY OBLIGATIONS — 7.3% | ||||||
Federal Home Loan Bank | ||||||
4.96%, 07/10/06 | $ | 5,000,000 | $ | 4,995,015 | ||
5.18%, 07/26/06 | 7,000,000 | 6,974,819 | ||||
4.38%, 10/03/08 | 3,500,000 | 3,421,670 | ||||
Federal Home Loan Mortgage Corporation | ||||||
4.83%, 08/01/06 | 8,900,000 | 8,861,641 | ||||
3.37%, 04/28/08D | 3,980,000 | 3,837,488 | ||||
3.75%, 03/03/09 | 2,060,000 | 1,975,721 | ||||
Federal National Mortgage Association | ||||||
4.75%, 07/17/06 | 28,800,000 | 28,736,963 | ||||
2.77%, 12/29/06D | 1,505,000 | 1,485,130 | ||||
2.71%, 01/30/07 | 7,500,000 | 7,381,118 | ||||
Small Business Administration | ||||||
6.95%, 11/10/16 | 1,219,149 | 1,250,460 | ||||
Total Agency Obligations | 68,920,025 | |||||
ASSET-BACKED SECURITIES — 27.4% | ||||||
Accredited Mortgage Loan Trust | ||||||
5.42%, 09/25/35 STEP† | 1,431,295 | 1,431,440 | ||||
ACE Securities Corporation | ||||||
5.17%, 06/27/36† | 3,400,000 | 3,400,000 | ||||
Amresco Independence Funding, Inc. | ||||||
5.75%, 06/15/26 144A† | 811,432 | 808,765 | ||||
Argent Securities, Inc. | ||||||
5.42%, 11/25/35† | 922,822 | 922,972 | ||||
Bank One Issuance Trust | ||||||
5.01%, 12/15/10† | 3,050,000 | 3,057,498 | ||||
Bayview Financial Acquisition Trust | ||||||
7.01%, 05/25/29 144A | 211,348 | 209,887 | ||||
Bear Stearns Asset-Backed Securities, Inc. | ||||||
5.40%, 02/25/29† | 1,749,207 | 1,749,533 | ||||
5.41%, 11/25/35† | 2,232,321 | 2,232,787 | ||||
5.40%, 01/25/36† | 4,669,926 | 4,670,247 | ||||
BMW Vehicle Owner Trust | ||||||
4.04%, 02/25/09 | 2,775,000 | 2,744,113 | ||||
Business Loan Express | ||||||
6.75%, 01/01/25 144A† | 443,488 | 431,641 | ||||
Capital Auto Receivables Asset Trust | ||||||
2.00%, 11/15/07‡‡ | 1,011,967 | 1,002,682 | ||||
3.35%, 02/15/08 | 3,225,000 | 3,195,775 | ||||
1.96%, 01/15/09 | 2,233,256 | 2,219,516 | ||||
4.05%, 07/15/09 | 2,575,000 | 2,536,401 | ||||
Carrington Mortgage Loan Trust | ||||||
5.40%, 06/25/35† | 309,195 | 309,195 | ||||
5.15%, 04/25/36† | 2,619,983 | 2,620,785 | ||||
Chase Credit Card Master Trust | ||||||
5.50%, 11/17/08 | 3,040,000 | 3,040,830 | ||||
5.20%, 02/15/10† | 4,100,000 | 4,105,934 | ||||
Chase Issuance Trust | ||||||
3.22%, 06/15/10 | 6,525,000 | 6,336,442 | ||||
5.10%, 02/15/12† | 3,725,000 | 3,726,795 | ||||
Chase Manhattan Auto Owner Trust | ||||||
2.08%, 05/15/08 | 1,227,571 | 1,218,712 | ||||
Citibank Credit Card Issuance Trust | ||||||
2.55%, 01/20/09 | 7,725,000 | 7,601,800 | ||||
Citigroup Mortgage Loan Trust, Inc. | ||||||
5.38%, 04/25/36 STEP† | 2,904,767 | 2,905,373 | ||||
CNH Equipment Trust | ||||||
3.48%, 09/15/11 | 1,350,000 | 1,303,049 | ||||
Conseco Finance Securitizations Corporation | ||||||
5.57%, 12/15/29† | 154,705 | 154,693 | ||||
Countrywide Asset-Backed Certificates | ||||||
5.47%, 03/25/25† | 2,024,641 | 2,025,032 | ||||
5.41%, 02/01/27† | 2,964,933 | 2,965,454 | ||||
5.44%, 11/25/28† | 1,943,861 | 1,944,269 | ||||
5.42%, 01/25/35† | 2,329,301 | 2,329,881 | ||||
5.40%, 07/25/35† | 412,280 | 412,246 | ||||
DaimlerChrysler Auto Trust | ||||||
3.09%, 01/08/08 | 1,504,421 | 1,503,762 | ||||
3.49%, 12/08/08 | 1,630,000 | 1,612,389 | ||||
3.28%, 12/08/09 | 4,300,000 | 4,161,473 | ||||
5.33%, 08/08/10 | 2,825,000 | 2,814,845 | ||||
Discover Card Master Trust I | ||||||
5.09%, 09/16/10† | 2,425,000 | 2,425,676 | ||||
Encore Credit Receivables Trust | ||||||
5.42%, 01/01/36† | 1,326,958 | 1,327,201 | ||||
Fannie Mae Grantor Trust | ||||||
5.12%, 07/25/35 STEP† | 208,545 | 208,553 | ||||
FHLMC Structured Pass-Through Securities | ||||||
5.58%, 08/25/31† | 2,377,193 | 2,388,068 | ||||
Fieldstone Mortgage Investment Corporation | ||||||
5.44%, 02/25/36 STEP† | 2,028,963 | 2,029,302 | ||||
First Franklin Mortgage Loan Asset-Backed Certificates | ||||||
5.43%, 03/25/25† | 510,581 | 510,604 | ||||
Ford Credit Auto Owner Trust | ||||||
4.24%, 03/15/08 | 1,783,924 | 1,775,643 | ||||
Green Tree Financial Corporation | ||||||
6.04%, 11/01/29 | 41,702 | 40,397 | ||||
GSAA Trust | ||||||
5.64%, 12/25/34† | 1,383,704 | 1,385,835 | ||||
GSAMP Trust | ||||||
5.43%, 09/25/35† | 748,482 | 748,579 | ||||
5.39%, 01/25/36† | 776,990 | 776,943 | ||||
Hertz Vehicle Financing LLC | ||||||
2.85%, 05/25/09 144A | 5,500,000 | 5,263,783 | ||||
Home Equity Asset Trust | ||||||
5.20%, 01/25/36† | 2,211,209 | 2,211,665 | ||||
5.43%, 02/25/36† | 1,205,720 | 1,206,064 | ||||
Home Equity Mortgage Trust | ||||||
5.44%, 07/25/35 STEP† | 22,248 | 22,245 | ||||
Honda Auto Receivables Owner Trust | ||||||
2.30%, 10/18/07 | 652,708 | 649,542 | ||||
3.30%, 06/15/08 | 2,232,935 | 2,211,412 | ||||
5.10%, 09/18/08 | 3,700,000 | 3,686,702 | ||||
2.91%, 10/20/08 | 2,451,669 | 2,412,443 | ||||
3.53%, 10/21/08 | 2,830,907 | 2,797,534 | ||||
2.79%, 03/16/09 | 4,320,330 | 4,243,252 | ||||
4.46%, 05/20/09 | 2,425,000 | 2,392,410 |
See Notes to Financial Statements.
39
Table of Contents
Low-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||
Hyundai Auto Receivables Trust | ||||||
5.13%, 02/16/09 | $ | 800,000 | $ | 798,875 | ||
Indymac Residential Asset-Backed Trust | ||||||
5.14%, 06/25/36† | 2,146,838 | 2,147,360 | ||||
JP Morgan Mortgage Acquisition Corporation | ||||||
5.16%, 05/25/25 STEP† | 1,853,144 | 1,853,560 | ||||
Long Beach Mortgage Loan Trust | ||||||
5.15%, 03/25/36 STEP† | 3,234,816 | 3,235,428 | ||||
Master Asset-Backed Securities Trust | ||||||
5.15%, 12/25/35† | 2,595,436 | 2,596,110 | ||||
MBNA Credit Card Master Note Trust | ||||||
5.70%, 03/15/10† | 1,800,000 | 1,809,195 | ||||
MBNA Master Credit Card Trust USA | ||||||
5.38%, 12/15/08† | 5,610,000 | 5,610,152 | ||||
Merrill Auto Trust Securitization | ||||||
4.10%, 08/25/09 | 2,000,000 | 1,967,522 | ||||
Morgan Stanley ABS Capital I | ||||||
5.42%, 05/25/32 STEP† | 1,780,378 | 1,780,862 | ||||
5.33%, 06/25/36† | 3,650,000 | 3,649,431 | ||||
Nelnet Student Loan Trust | ||||||
5.05%, 10/27/14† | 7,400,000 | 7,395,375 | ||||
5.19%, 07/25/16† | 900,000 | 901,430 | ||||
5.19%, 10/25/16† | 2,400,000 | 2,400,203 | ||||
New Century Home Equity Loan Trust | ||||||
5.43%, 03/25/35 STEP† | 691,928 | 691,915 | ||||
5.40%, 01/25/36 STEP† | 2,129,588 | 2,130,026 | ||||
Nissan Auto Receivables Owner Trust | ||||||
2.01%, 11/15/07 | 981,652 | 975,626 | ||||
2.70%, 12/17/07 | 1,806,385 | 1,793,716 | ||||
5.18%, 08/15/08 | 3,700,000 | 3,687,860 | ||||
Nomura Home Equity Loan, Inc. | ||||||
5.33%, 03/25/36† | 3,575,000 | 3,575,000 | ||||
Novastar Home Equity Loan | ||||||
5.19%, 06/25/36† | 2,975,000 | 2,974,536 | ||||
Option One Mortgage Loan Trust | ||||||
5.42%, 11/25/35 STEP† | 2,140,725 | 2,141,098 | ||||
Ownit Mortgage Loan Asset-Backed Certificates | ||||||
5.44%, 08/25/36† | 2,356,638 | 2,357,015 | ||||
Park Place Securities, Inc. | ||||||
5.43%, 08/25/35† | 1,363,800 | 1,364,012 | ||||
PBG Equipment Trust | ||||||
6.27%, 01/20/12 144A | 330,339 | 330,541 | ||||
People’s Choice Home Loan Securities Trust | ||||||
5.20%, 08/25/35 STEP† | 1,742,309 | 1,742,617 | ||||
Popular ABS Mortgage Pass-Through Trust | ||||||
5.57%, 09/25/34† | 2,290,133 | 2,291,578 | ||||
Quest Trust | ||||||
5.88%, 06/25/34 144A† | 244,863 | 245,636 | ||||
Renaissance Home Equity Loan Trust | ||||||
5.40%, 05/25/36† | 2,462,277 | 2,462,902 | ||||
Residential Asset Mortgage Products, Inc. | ||||||
5.43%, 05/25/25 STEP† | 1,440,083 | 1,440,315 | ||||
5.23%, 07/25/36† | 3,475,000 | 3,475,000 | ||||
Residential Asset Securities Corporation | ||||||
5.39%, 04/25/36 STEP† | 1,178,646 | 1,178,995 | ||||
SACO I, Inc. | ||||||
5.43%, 11/25/35† | 1,538,687 | 1,538,659 | ||||
Saxon Asset Securities Trust | ||||||
5.14%, 03/25/36 STEP† | 3,539,441 | 3,539,373 | ||||
SG Mortgage Securities Trust | ||||||
5.18%, 09/25/35† | 951,952 | 952,072 | ||||
SLC Student Loan Trust | ||||||
5.43%, 07/15/36† | 3,700,000 | 3,702,316 | ||||
SLM Student Loan Trust | ||||||
5.07%, 01/25/13† | 2,735,330 | 2,734,482 | ||||
5.28%, 01/25/13† | 3,706,155 | 3,712,632 | ||||
5.41%, 07/25/13† | 10,300,000 | 10,307,790 | ||||
5.13%, 04/25/14† | 495,978 | 496,213 | ||||
4.96%, 06/15/18† | 3,502,323 | 3,504,875 | ||||
Soundview Home Equity Loan Trust | ||||||
5.39%, 04/25/36† | 1,927,046 | 1,927,308 | ||||
Specialty Underwriting & Residential Finance | ||||||
5.44%, 06/25/36† | 1,782,424 | 1,782,671 | ||||
Structured Asset Investment Loan Trust | ||||||
5.15%, 03/25/36 STEP† | 2,169,883 | 2,169,989 | ||||
Structured Asset Securities Corporation | ||||||
4.90%, 04/25/35† | 2,205,865 | 2,116,343 | ||||
SVO Timeshare Mortgage Corporation | ||||||
5.47%, 10/20/13 144A | 914,521 | 909,341 | ||||
TMS SBA Loan Trust | ||||||
5.75%, 01/15/25† | 320,246 | 311,368 | ||||
6.23%, 01/25/25† | 192,147 | 187,513 | ||||
USAA Auto Owner Trust | ||||||
3.55%, 09/17/07 | 158,475 | 158,382 | ||||
2.06%, 04/15/08 | 876,549 | 869,809 | ||||
3.03%, 06/16/08 | 1,659,833 | 1,646,781 | ||||
3.16%, 02/17/09 | 2,610,478 | 2,578,700 | ||||
5.31%, 03/16/09 | 3,700,000 | 3,691,862 | ||||
3.90%, 07/15/09 | 3,200,000 | 3,160,056 | ||||
4.00%, 12/15/09 | 4,175,000 | 4,108,823 | ||||
4.89%, 08/15/12 | 2,500,000 | 2,457,791 | ||||
Wachovia Student Loan Trust | ||||||
5.43%, 10/25/13 144A† | 1,500,000 | 1,499,064 | ||||
Whole Auto Loan Trust | ||||||
3.26%, 03/15/11 | 4,000,000 | 3,883,238 | ||||
Total Asset-Backed Securities | 259,371,411 | |||||
CORPORATE BONDS — 10.9% | ||||||
Abbott Laboratories | ||||||
5.38%, 05/15/09 | 690,000 | 688,185 | ||||
American International Group, Inc. | ||||||
2.88%, 05/15/08 | 1,410,000 | 1,344,266 | ||||
ASIF Global Financing XXIII | ||||||
3.90%, 10/22/08 144A | 420,000 | 404,545 | ||||
Bank One Corporation | ||||||
2.63%, 06/30/08 | 360,000 | 339,996 |
See Notes to Financial Statements.
40
Table of Contents
Par | Value | |||||
6.00%, 08/01/08 | $ | 550,000 | $ | 553,549 | ||
BellSouth Corporation | ||||||
4.20%, 09/15/09 | 2,217,000 | 2,115,140 | ||||
Caterpillar Financial Services Corporation | ||||||
5.20%, 10/28/08† | 5,500,000 | 5,506,606 | ||||
Citigroup, Inc. | ||||||
3.50%, 02/01/08 | 1,600,000 | 1,549,998 | ||||
3.63%, 02/09/09 | 2,750,000 | 2,620,629 | ||||
Clorox Co. | ||||||
5.44%, 12/14/07† | 1,500,000 | 1,502,286 | ||||
ConocoPhillips Australia Funding Co. | ||||||
5.13%, 04/09/09† | 1,100,000 | 1,101,837 | ||||
Countrywide Home Loans, Inc. | ||||||
3.25%, 05/21/08D | 1,800,000 | 1,722,985 | ||||
Credit Suisse First Boston USA, Inc. | ||||||
4.63%, 01/15/08D | 2,160,000 | 2,130,406 | ||||
CSX Corporation | ||||||
6.25%, 10/15/08 | 1,710,000 | 1,729,352 | ||||
DaimlerChrysler NA Holding Corporation | ||||||
6.16%, 08/08/06† | 400,000 | 400,168 | ||||
5.49%, 03/07/07† | 3,100,000 | 3,101,150 | ||||
4.75%, 01/15/08 | 850,000 | 836,404 | ||||
4.05%, 06/04/08 | 1,130,000 | 1,093,042 | ||||
Dominion Resources, Inc. | ||||||
5.79%, 09/28/07† | 3,500,000 | 3,503,346 | ||||
Federated Department Stores, Inc. | ||||||
6.63%, 09/01/08 | 150,000 | 152,472 | ||||
Fred Meyer, Inc. | ||||||
7.45%, 03/01/08 | 1,440,000 | 1,475,909 | ||||
Gannett Co., Inc. | ||||||
4.13%, 06/15/08D | 2,390,000 | 2,319,146 | ||||
General Electric Capital Corporation | ||||||
1.40%, 11/02/06(J) | 405,000,000 | 3,551,412 | ||||
8.75%, 05/21/07 | 610,000 | 625,847 | ||||
3.45%, 07/16/07 | 1,300,000 | 1,272,210 | ||||
3.45%, 01/15/08† | 5,275,000 | 5,271,513 | ||||
4.25%, 01/15/08 | 1,940,000 | 1,903,390 | ||||
5.31%, 03/04/08† | 2,900,000 | 2,902,604 | ||||
9.83%, 12/15/08 | 350,000 | 383,785 | ||||
Golden West Financial Corporation | ||||||
4.13%, 08/15/07 | 310,000 | 304,383 | ||||
HSBC Bank USA NA | ||||||
5.49%, 09/21/07† | 400,000 | 400,482 | ||||
HSBC Finance Corporation | ||||||
6.40%, 06/17/08 | 2,390,000 | 2,422,889 | ||||
4.13%, 12/15/08D | 700,000 | 676,880 | ||||
4.13%, 11/16/09 | 700,000 | 666,750 | ||||
John Deere Capital Corporation | ||||||
3.90%, 01/15/08D | 1,970,000 | 1,921,150 | ||||
Kellogg Co. | ||||||
2.88%, 06/01/08 | 1,950,000 | 1,853,506 | ||||
Lenfest Communications, Inc. | ||||||
7.63%, 02/15/08 | 725,000 | 743,320 | ||||
May Department Stores Co. (The) | ||||||
3.95%, 07/15/07 | 945,000 | 926,753 | ||||
Merck & Co., Inc. | ||||||
5.25%, 07/01/06 | 300,000 | 300,000 | ||||
Merrill Lynch & Co., Inc. | ||||||
4.83%, 10/27/08 | 1,720,000 | 1,689,439 | ||||
MidAmerican Energy Holdings Co. | ||||||
3.50%, 05/15/08 | 1,236,000 | 1,186,363 | ||||
Morgan Stanley Warehouse Facility | ||||||
5.58%, 09/29/06†@ | 9,900,000 | 9,900,000 | ||||
Motorola, Inc. | ||||||
4.61%, 11/16/07 | 1,489,000 | 1,468,050 | ||||
Northrop Grumman Corporation | ||||||
4.08%, 11/16/06 | 450,000 | 447,471 | ||||
Oracle Corporation and Ozark Holding, Inc. | ||||||
5.00%, 01/15/11 144A | 450,000 | 434,717 | ||||
Prudential Financial, Inc. | ||||||
4.10%, 11/15/06 STEP | 1,600,000 | 1,592,200 | ||||
Prudential Insurance Co. of America | ||||||
6.38%, 07/23/06 144A | 650,000 | 650,265 | ||||
PSEG Funding Trust I | ||||||
5.38%, 11/16/07 | 275,000 | 273,109 | ||||
SLM Corporation | ||||||
4.00%, 01/15/09 | 2,151,000 | 2,068,064 | ||||
Southern California Edison Co. | ||||||
5.39%, 12/13/07† | 3,500,000 | 3,501,138 | ||||
Sprint Capital Corporation | ||||||
6.38%, 05/01/09 | 1,080,000 | 1,097,620 | ||||
Time Warner, Inc. | ||||||
6.15%, 05/01/07 | 2,290,000 | 2,298,310 | ||||
U.S. Bancorp | ||||||
5.37%, 04/28/09† | 3,700,000 | 3,702,594 | ||||
U.S. Bank National Association | ||||||
6.50%, 02/01/08 | 580,000 | 588,391 | ||||
U.S. Central Credit Union | ||||||
2.75%, 05/30/08 | 610,000 | 579,194 | ||||
Union Pacific Corporation | ||||||
5.75%, 10/15/07 | 375,000 | 375,117 | ||||
6.79%, 11/09/07 | 650,000 | 658,608 | ||||
Verizon Global Funding Corporation | ||||||
6.13%, 06/15/07D | 875,000 | 878,420 | ||||
5.30%, 08/15/07† | 5,400,000 | 5,402,565 | ||||
Verizon Wireless Capital LLC | ||||||
5.38%, 12/15/06 | 1,070,000 | 1,068,936 | ||||
Wachovia Corporation | ||||||
3.50%, 08/15/08 | 540,000 | 517,129 | ||||
Total Corporate Bonds | 102,695,991 | |||||
FOREIGN BONDS — 8.7% | ||||||
Belgium — 1.8% | ||||||
Belgium Treasury Bill | ||||||
1.90%, 07/13/06(E)W | 13,000,000 | 16,616,282 | ||||
Bermuda — 0.0% | ||||||
Tyco International Group SA | ||||||
5.80%, 08/01/06 | 425,000 | 425,054 | ||||
Canada — 0.9% | ||||||
Canadian National Railway Co. | ||||||
6.45%, 07/15/06 | 750,000 | 750,587 | ||||
Canadian Treasury Bill | ||||||
4.89%, 09/20/06 | 7,600,000 | 7,510,541 | ||||
8,261,128 | ||||||
See Notes to Financial Statements.
41
Table of Contents
Low-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||
Cayman Islands — 0.3% | ||||||
Petroleum Export, Ltd. | ||||||
4.62%, 06/15/10 144A | $ | 1,511,111 | $ | 1,478,529 | ||
4.63%, 06/15/10 144A | 1,511,111 | 1,478,528 | ||||
2,957,057 | ||||||
France — 2.8% | ||||||
French Treasury Bill | ||||||
2.22%, 07/13/06(E)W | 400,000 | 511,211 | ||||
2.34%, 07/20/06(E)W | 600,000 | 766,433 | ||||
2.72%, 09/14/06(E)W | 940,000 | 1,195,454 | ||||
2.71%, 09/21/06(E)W | 1,000,000 | 1,271,120 | ||||
2.74%, 09/28/06(E)W | 4,580,000 | 5,818,216 | ||||
2.87%, 11/23/06(E)W | 13,300,000 | 16,815,740 | ||||
26,378,174 | ||||||
Germany — 1.8% | ||||||
German Treasury Bill | ||||||
1.95%, 07/12/06(E)W | 800,000 | 1,022,575 | ||||
2.50%, 08/16/06(E)W | 700,000 | 892,426 | ||||
2.68%, 09/13/06(E)W | 11,890,000 | 15,123,506 | ||||
2.96%, 12/13/06(E)W | 200,000 | 252,369 | ||||
17,290,876 | ||||||
Italy — 0.4% | ||||||
Republic of Italy | ||||||
2.75%, 12/15/06 | 2,375,000 | 2,346,737 | ||||
Telecom Italia Capital SA | ||||||
4.00%, 11/15/08 | 2,000,000 | 1,919,638 | ||||
4,266,375 | ||||||
Netherlands — 0.2% | ||||||
Deutsche Telekom International Finance BV | ||||||
3.88%, 07/22/08 | 1,770,000 | 1,711,548 | ||||
New Zealand — 0.1% | ||||||
General Electric Capital Corporation | ||||||
6.50%, 09/28/15(Z) | 1,595,000 | 946,589 | ||||
Norway — 0.2% | ||||||
Eksportfinans | ||||||
3.38%, 01/15/08 | 1,630,000 | 1,580,202 | ||||
Spain — 0.1% | ||||||
Spain Letras del Tesoro | ||||||
2.78%, 12/22/06(E)W | 800,000 | 1,009,580 | ||||
United Kingdom — 0.1% | ||||||
Nationwide Building Society | ||||||
3.50%, 07/31/07 144A | 325,000 | 317,907 | ||||
Vodafone Group PLC | ||||||
3.95%, 01/30/08 | 230,000 | 224,081 | ||||
541,988 | ||||||
Total Foreign Bonds | 81,984,853 | |||||
MORTGAGE-BACKED SECURITIES — 32.6% | ||||||
Adjustable Rate Mortgage Trust | ||||||
5.59%, 11/25/35 STEP† | 2,119,080 | 2,123,089 | ||||
American Home Mortgage Assets | ||||||
5.59%, 11/25/35† | 3,002,530 | 3,004,120 | ||||
American Home Mortgage Investment Trust | ||||||
4.29%, 10/25/34† | 2,229,695 | 2,167,647 | ||||
Banc of America Commercial Mortgage, Inc. | ||||||
3.88%, 09/11/36 | 2,384,393 | 2,260,429 | ||||
Bank of America Mortgage Securities | ||||||
6.50%, 10/01/19 | 798,694 | 803,781 | ||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||
3.31%, 12/01/33† | 2,047,304 | 2,002,862 | ||||
4.66%, 01/25/34† | 986,196 | 970,455 | ||||
4.01%, 07/25/34† | 2,460,655 | 2,372,459 | ||||
Bear Stearns Alt-A Trust | ||||||
5.69%, 06/25/34† | 1,925,276 | 1,930,461 | ||||
6.25%, 05/25/36† | 3,312,371 | 3,314,830 | ||||
Bear Stearns Commercial Mortgage Securities | ||||||
5.40%, 03/15/19 144A† | 1,900,000 | 1,897,037 | ||||
3.87%, 02/11/41 | 2,040,000 | 1,939,538 | ||||
Chase Commercial Mortgage Securities Corporation | ||||||
7.76%, 04/15/32 | 2,026,095 | 2,126,366 | ||||
Citigroup Commercial Mortgage Trust | ||||||
4.15%, 09/20/49 144A | 1,336,970 | 1,299,146 | ||||
Commercial Mortgage Acceptance Corporation | ||||||
6.03%, 09/15/30 | 1,369,988 | 1,374,643 | ||||
Commercial Mortgage Pass-Through Certificates | ||||||
5.38%, 03/15/20 144A† | 3,400,000 | 3,400,494 | ||||
7.42%, 08/15/33 | 2,180,000 | 2,275,436 | ||||
Countrywide Alternative Loan Trust | ||||||
6.00%, 10/25/32 | 431,620 | 418,887 | ||||
5.50%, 05/31/35 | 1,731,412 | 1,707,947 | ||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||
5.59%, 01/25/35 STEP† | 941,403 | 942,025 | ||||
CS First Boston Mortgage Securities Corporation | ||||||
4.30%, 07/15/36 | 1,000,000 | 962,214 | ||||
Deutsche ALT-A Securities, Inc. | ||||||
5.40%, 03/30/36† | 2,354,422 | 2,355,120 | ||||
DLJ Commercial Mortgage Corporation | ||||||
7.18%, 11/10/33 | 2,265,655 | 2,368,585 | ||||
Federal Home Loan Mortgage Corporation | ||||||
8.50%, 12/01/07 | 3,689 | 3,722 | ||||
8.50%, 01/01/08 | 2,951 | 2,977 | ||||
8.00%, 05/01/08 | 7,744 | 7,815 | ||||
8.75%, 07/01/08 | 4,106 | 4,191 | ||||
8.00%, 01/01/09 | 1,904 | 1,920 | ||||
7.50%, 03/01/09 | 22,188 | 22,303 | ||||
3.50%, 10/15/10 | 5,256,191 | 5,208,736 | ||||
16.25%, 07/01/11 | 270 | 296 | ||||
15.25%, 08/01/11 | 1,611 | 1,818 | ||||
5.13%, 10/15/15 | 2,978,948 | 2,950,117 | ||||
5.00%, 11/15/16 | 2,534,458 | 2,497,878 | ||||
3.50%, 12/01/18 | 3,645,425 | 3,286,945 | ||||
10.75%, 02/01/19 | 89,280 | 95,026 | ||||
4.25%, 06/15/24 | 2,518,679 | 2,461,277 | ||||
6.41%, 07/01/27† | 60,000 | 60,815 | ||||
4.66%, 06/01/28† | 410,328 | 406,934 | ||||
5.55%, 12/15/30† | 1,494,332 | 1,497,283 |
See Notes to Financial Statements.
42
Table of Contents
Par | Value | |||||
6.00%, 04/01/33 | $ | 1,820,297 | $ | 1,800,055 | ||
4.56%, 06/01/33† | 5,208,714 | 5,107,001 | ||||
4.40%, 10/01/34† | 1,210,235 | 1,171,279 | ||||
5.50%, 05/15/35 | 2,368,801 | 2,340,960 | ||||
4.72%, 08/01/35† | 3,179,677 | 3,103,661 | ||||
4.81%, 08/01/35† | 2,935,209 | 2,894,481 | ||||
8.92%, 08/01/35 IOW | 4,580,556 | 1,214,142 | ||||
9.80%, 08/01/35 IOW | 2,738,402 | 742,152 | ||||
4.82%, 10/01/35† | 1,659,547 | 1,634,085 | ||||
5.25%, 02/01/36† | 5,122,539 | 5,027,674 | ||||
5.92%, 04/01/36† | 5,371,772 | 5,401,496 | ||||
6.32%, 05/25/43† | 2,535,572 | 2,585,463 | ||||
5.02%, 07/25/44† | 6,076,212 | 6,054,717 | ||||
Federal Housing Authority | ||||||
7.43%, 09/01/22 | 1,753 | 1,735 | ||||
Federal National Mortgage Association | ||||||
6.00%, 08/01/08 | 146,831 | 146,577 | ||||
6.50%, 11/01/08 | 188,469 | 188,909 | ||||
4.00%, 07/01/18 | 230,514 | 213,080 | ||||
4.00%, 08/01/18 | 920,963 | 851,310 | ||||
4.00%, 05/01/19 | 4,968,746 | 4,590,172 | ||||
4.00%, 06/01/19 | 8,221,462 | 7,595,060 | ||||
4.00%, 08/01/19 | 449,940 | 415,658 | ||||
4.00%, 10/01/19 | 1,535,446 | 1,418,459 | ||||
4.00%, 11/25/19 | 746,040 | 663,507 | ||||
4.00%, 12/01/19 | 1,086,380 | 1,003,608 | ||||
4.00%, 01/01/20 | 232,515 | 214,543 | ||||
4.00%, 07/01/20 | 59,046 | 54,482 | ||||
5.75%, 08/25/23 | 1,919,562 | 1,914,284 | ||||
5.82%, 12/01/24† | 206,215 | 204,676 | ||||
9.00%, 05/01/25 | 94,004 | 101,572 | ||||
9.00%, 07/01/25 | 115,366 | 124,454 | ||||
5.68%, 05/25/30† | 2,877,094 | 2,886,178 | ||||
5.97%, 05/25/30† | 2,920,035 | 2,908,526 | ||||
5.57%, 09/25/30† | 210,212 | 210,308 | ||||
6.14%, 09/01/31† | 159,847 | 163,181 | ||||
3.31%, 03/25/32 | 537,113 | 494,187 | ||||
4.27%, 04/01/33† | 1,024,530 | 1,015,156 | ||||
4.16%, 06/01/33† | 322,510 | 316,845 | ||||
5.50%, 06/01/33 | 28,885 | 27,865 | ||||
5.50%, 07/01/33 | 28,359 | 27,358 | ||||
5.50%, 07/14/33 TBA | 200,000 | 192,062 | ||||
4.24%, 10/01/33† | 1,988,703 | 1,941,810 | ||||
5.50%, 10/01/33 | 152,302 | 146,926 | ||||
4.28%, 12/01/33† | 662,549 | 646,564 | ||||
5.75%, 08/25/34 | 1,907,616 | 1,899,933 | ||||
4.94%, 09/01/34† | 1,632,647 | 1,611,602 | ||||
5.10%, 09/01/34† | 1,086,071 | 1,073,058 | ||||
4.78%, 10/01/34† | 1,664,410 | 1,645,250 | ||||
5.11%, 10/01/34† | 1,924,637 | 1,901,256 | ||||
10.18%, 11/01/34 IOW | 2,338,476 | 622,930 | ||||
4.87%, 06/01/35† | 2,556,066 | 2,490,227 | ||||
4.70%, 08/01/35† | 6,637,919 | 6,452,255 | ||||
4.43%, 09/01/35† | 3,214,078 | 3,105,700 | ||||
4.64%, 09/01/35† | 4,005,080 | 3,851,531 | ||||
5.02%, 10/01/35† | 51,264 | 50,115 | ||||
5.33%, 10/01/35† | 2,468,155 | 2,390,840 | ||||
6.00%, 11/01/35 | 366,775 | 361,282 | ||||
4.88%, 12/01/35† | 355,895 | 350,433 | ||||
6.00%, 01/01/36 | 399,999 | 393,762 | ||||
6.00%, 05/01/36 | 1,796,980 | 1,768,958 | ||||
6.00%, 06/01/36 | 1,836,344 | 1,807,708 | ||||
6.17%, 04/01/40† | 503,523 | 503,403 | ||||
6.50%, 12/31/49 | 3,380,000 | 3,414,856 | ||||
First Horizon Alternative Mortgage Securities | ||||||
4.75%, 06/25/34† | 1,271,319 | 1,245,722 | ||||
First Horizon Asset Securities, Inc. | ||||||
5.34%, 10/25/35† | 3,738,741 | 3,677,240 | ||||
General Electric Capital Commercial Mortgage Corporation | ||||||
5.56%, 06/10/38 | 1,341,716 | 1,338,503 | ||||
GMAC Commercial Mortgage Securities, Inc. | ||||||
7.72%, 03/15/33 | 2,120,000 | 2,239,381 | ||||
7.18%, 08/15/36 | 1,324,228 | 1,370,495 | ||||
Government National Mortgage Association | ||||||
6.00%, 12/15/08 | 177,504 | 177,512 | ||||
6.00%, 02/15/11 | 293,274 | 293,430 | ||||
4.38%, 06/20/17† | 29,616 | 29,525 | ||||
4.38%, 06/20/21† | 15,673 | 15,679 | ||||
5.13%, 10/20/27† | 106,553 | 107,124 | ||||
8.50%, 10/15/29 | 89,223 | 95,780 | ||||
8.50%, 01/15/30 | 42,612 | 45,760 | ||||
5.81%, 02/16/30† | 400,561 | 405,334 | ||||
8.50%, 03/15/30 | 5,765 | 6,191 | ||||
8.50%, 04/15/30 | 15,288 | 16,417 | ||||
8.50%, 05/15/30 | 162,646 | 174,660 | ||||
8.50%, 06/15/30 | 54,216 | 58,223 | ||||
8.50%, 07/15/30 | 174,712 | 187,614 | ||||
8.50%, 08/15/30 | 31,256 | 33,565 | ||||
8.50%, 09/15/30 | 5,149 | 5,529 | ||||
8.50%, 10/15/30 | 46,752 | 50,205 | ||||
8.50%, 11/15/30 | 104,684 | 112,417 | ||||
8.50%, 12/15/30 | 80,693 | 86,654 | ||||
8.50%, 02/15/31 | 76,312 | 81,792 | ||||
3.75%, 05/20/34†D | 2,035,285 | 1,977,206 | ||||
3.75%, 06/20/34† | 2,790,412 | 2,710,792 | ||||
6.00%, 07/20/36 TBA | 1,000,000 | 991,562 | ||||
Granite Master Issuer PLC | ||||||
5.01%, 12/20/24 STEP† | 3,000,000 | 3,003,270 | ||||
Greenpoint Mortgage Funding Trust | ||||||
5.59%, 11/25/45 STEP† | 1,069,689 | 1,071,294 | ||||
GS Mortgage Securities Corporation II | ||||||
6.04%, 08/15/18 144A | 426,614 | 430,204 | ||||
6.14%, 10/18/30 | 2,288,698 | 2,302,201 | ||||
6.34%, 01/10/40 IO 144AW† | 37,862,776 | 822,853 | ||||
GSR Mortgage Loan Trust | ||||||
3.69%, 06/01/34† | 2,600,305 | 2,548,488 | ||||
4.21%, 09/25/34† | 3,555,887 | 3,533,802 | ||||
4.79%, 09/25/34† | 2,599,373 | 2,543,718 | ||||
4.55%, 09/25/35† | 3,582,781 | 3,525,954 | ||||
4.55%, 09/25/35† | 2,950,526 | 2,903,727 | ||||
4.54%, 10/25/35† | 5,289,908 | 5,146,508 | ||||
4.62%, 10/25/35† | 2,903,824 | 2,861,221 | ||||
HarborView Mortgage Loan Trust | ||||||
5.56%, 11/19/35 STEP† | 3,255,799 | 3,266,257 | ||||
5.32%, 12/19/35† | 4,730,525 | 4,655,908 | ||||
IFC SBA Loan-Backed Adjustable Rate Certificate | ||||||
6.00%, 01/15/24 144A† | 474,318 | 474,555 |
See Notes to Financial Statements.
43
Table of Contents
Low-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
�� | Par | Value | ||||
Impac Secured Assets CMN Owner Trust | ||||||
5.44%, 05/25/36† | $ | 2,993,980 | $ | 2,992,802 | ||
JP Morgan Mortgage Trust | ||||||
3.89%, 08/25/34† | 3,657,038 | 3,521,450 | ||||
LB-UBS Commercial Mortgage Trust | ||||||
3.33%, 09/15/27 | 2,687,048 | 2,590,547 | ||||
4.46%, 08/15/33 IO 144AW† | 36,085,312 | 674,900 | ||||
Luminent Mortgage Trust | ||||||
5.34%, 11/26/35 STEP† | 3,565,971 | 3,570,273 | ||||
MLCC Mortgage Investors, Inc. | ||||||
5.58%, 03/15/25 STEP† | 928,329 | 932,505 | ||||
4.74%, 12/25/34† | 2,540,114 | 2,484,657 | ||||
5.41%, 03/28/36† | 5,311,000 | 5,240,816 | ||||
Morgan Stanley Capital I | ||||||
6.53%, 03/15/31 | 2,940,324 | 2,983,107 | ||||
NationsLink Funding Corporation | ||||||
6.32%, 01/20/31 | 2,005,116 | 2,025,074 | ||||
Nomura Asset Acceptance Corporation | ||||||
5.05%, 06/25/10† | 2,968,750 | 2,905,569 | ||||
Nomura Asset Securities Corporation | ||||||
6.59%, 03/15/30 | 3,300,000 | 3,345,222 | ||||
Opteum Mortgage Acceptance Corporation | ||||||
5.41%, 12/25/35 STEP† | 2,597,850 | 2,595,925 | ||||
5.22%, 12/31/49† | 2,700,000 | 2,700,000 | ||||
PNC Mortgage Acceptance Corporation | ||||||
5.91%, 03/12/34 | 2,479,621 | 2,483,146 | ||||
Residential Accredit Loans, Inc. | ||||||
6.00%, 12/25/16 | 113,655 | 113,332 | ||||
5.72%, 01/25/33† | 896,311 | 899,107 | ||||
Residential Asset Securitization Trust | ||||||
5.48%, 05/25/33† | 5,714 | 5,734 | ||||
Residential Funding Mortgage Securities I | ||||||
6.50%, 03/25/32 | 181,832 | 180,959 | ||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||
4.92%, 03/25/34† | 1,631,453 | 1,604,429 | ||||
5.35%, 08/25/34† | 2,044,165 | 2,032,704 | ||||
5.62%, 09/25/34† | 689,543 | 691,062 | ||||
5.41%, 05/25/35† | 3,523,259 | 3,483,870 | ||||
Structured Asset Mortgage Investments, Inc. | ||||||
6.55%, 10/19/34† | 853,590 | 866,478 | ||||
5.60%, 05/25/35 STEP† | 1,654,161 | 1,653,925 | ||||
Wachovia Bank Commercial Mortgage Trust | ||||||
4.04%, 02/15/34 | 2,579,286 | 2,470,855 | ||||
Washington Mutual Asset Securities Corporation | ||||||
4.24%, 05/25/36 144A | 2,201,150 | 2,146,034 | ||||
Washington Mutual Mortgage Securities Corporation | ||||||
6.39%, 03/25/32† | 364,205 | 362,747 | ||||
Washington Mutual, Inc. | ||||||
5.35%, 12/25/27 STEP† | 4,313,890 | 4,311,749 | ||||
4.68%, 05/25/35† | 3,550,000 | 3,427,623 | ||||
5.54%, 06/25/42† | 217,663 | 218,226 | ||||
5.63%, 01/25/45 STEP† | 3,065,705 | 3,080,304 | ||||
5.51%, 04/25/45† | 764,129 | 764,071 | ||||
5.64%, 08/25/45† | 1,511,286 | 1,515,443 | ||||
5.61%, 10/25/45 STEP† | 1,441,933 | 1,450,346 | ||||
4.99%, 06/25/46† | 3,667,134 | 3,667,160 | ||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||
3.99%, 01/25/35† | 2,921,000 | 2,831,809 | ||||
4.55%, 02/25/35† | 4,734,954 | 4,591,653 | ||||
Total Mortgage-Backed Securities | 308,018,826 | |||||
MUNICIPAL BOND — 0.0% | ||||||
Sales Tax Asset Receivable Corporation, New York, Series B Revenue Bond (FSA Insured) | ||||||
3.60%, 10/15/08 | 425,000 | 407,575 | ||||
Number of Contracts | ||||||
PURCHASED OPTIONS — 0.0% | ||||||
Call Swaptions — 0.0% | ||||||
3-Month LIBOR, Strike Price | ||||||
$4.50, Expires 01/22/07 | 440 | 1,804 | ||||
3-Month LIBOR, Strike Price | ||||||
$4.50, Expires 10/06/06 | 345 | — | ||||
3-Month LIBOR, Strike Price | ||||||
$4.75, Expires 08/10/06 | 570 | — | ||||
3-Month LIBOR, Strike Price | ||||||
$5.00, Expires 03/08/07 | 2,640 | 22,572 | ||||
3-Month LIBOR, Strike Price | ||||||
$5.13, Expires 10/25/06 | 890 | 2,670 | ||||
3-Month LIBOR, Strike Price | ||||||
$5.25, Expires 06/07/07 | 1,600 | 43,920 | ||||
70,966 | ||||||
Put Options — 0.0% | ||||||
90-Day Eurodollar Futures, Strike Price $90.50, Expires 09/17/07 | 618 | 3,862 | ||||
90-Day Eurodollar Futures, Strike Price $91.25, Expires 06/18/07 | 702 | 4,387 | ||||
90-Day Eurodollar Futures, Strike Price $92.00, Expires 03/19/07 | 87 | 544 | ||||
90-Day Eurodollar Futures, Strike Price $93.00, Expires 09/18/06 | 118 | 738 | ||||
9,531 | ||||||
Total Purchased Options | 80,497 | |||||
Shares | ||||||
MONEY MARKET FUNDS — 11.3% | ||||||
GuideStone Funds Money Market Fund (GS4 Class)¥ | 32,645,664 | 32,645,664 | ||||
Northern Institutional Liquid Assets Portfolio§ | 73,820,194 | 73,820,194 | ||||
Total Money Market Funds | 106,465,858 | |||||
See Notes to Financial Statements.
44
Table of Contents
Par | Value | |||||||
U.S. TREASURY OBLIGATIONS — 7.0% | ||||||||
U.S. Treasury Bills | ||||||||
4.72%, 09/14/06‡‡ | $ | 230,000 | $ | 227,795 | ||||
4.79%, 09/14/06‡‡ | 20,000 | 19,808 | ||||||
4.80%, 09/14/06‡‡ | 100,000 | 99,041 | ||||||
4.81%, 09/14/06‡‡ | 925,000 | 916,129 | ||||||
1,262,773 | ||||||||
U.S. Treasury Bond | ||||||||
10.38%, 11/15/12D | 2,535,000 | 2,706,313 | ||||||
U.S. Treasury Inflationary Index Bonds | ||||||||
3.38%, 01/15/07D | 10,900,000 | 13,899,411 | ||||||
0.88%, 04/15/10D | 2,800,000 | 2,809,501 | ||||||
16,708,912 | ||||||||
U.S. Treasury Notes | ||||||||
2.75%, 07/31/06D | 2,670,000 | 2,666,558 | ||||||
2.38%, 08/31/06D‡‡ | 1,030,000 | 1,025,937 | ||||||
3.50%, 05/31/07D | 17,210,000 | 16,942,453 | ||||||
4.25%, 10/31/07D | 1,500,000 | 1,481,778 | ||||||
4.38%, 12/31/07D | 5,800,000 | 5,732,714 | ||||||
4.38%, 01/31/08D | 3,800,000 | 3,753,838 | ||||||
4.50%, 02/15/09D | 886,000 | 872,261 | ||||||
4.25%, 10/15/10D | 180,000 | 174,263 | ||||||
4.38%, 12/15/10D | 12,500,000 | 12,145,512 | ||||||
4.50%, 11/15/15D | 400,000 | 381,125 | ||||||
45,176,439 | ||||||||
Total U.S. Treasury Obligations | 65,854,437 | |||||||
TOTAL INVESTMENTS — 105.2% | 993,799,473 | |||||||
Number of Contracts | ||||||||
WRITTEN OPTIONS — 0.0% | ||||||||
Call Swaptions — 0.0% | ||||||||
3-Month LIBOR, Strike Price | ||||||||
$4.54, Expires 10/06/06 | (149 | ) | (15 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$4.56, Expires 01/22/07 | (189 | ) | (2,476 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$4.78, Expires 08/10/06 | (250 | ) | — | |||||
3-Month LIBOR, Strike Price | ||||||||
$5.04, Expires 03/08/07 | (113 | ) | (22,916 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$5.21, Expires 10/25/06 | (380 | ) | (4,161 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$5.34, Expires 06/07/07 | (700 | ) | (47,971 | ) | ||||
(77,539 | ) | |||||||
Total Written Options | (77,539 | ) | ||||||
Liabilities in Excess of Other | (49,095,841 | ) | ||||||
NET ASSETS — 100.0% | $ | 944,626,093 | ||||||
Swap agreements outstanding at June 30, 2006:
Description | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | |||||||
British Pounds | ||||||||||
Receive fixed rate payments of 5.00% and pay variable rate payments on the six month LIBOR floating rate (d) | 09/15/10 | 8,600,000 | $ | (102,104 | ) | |||||
Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 4.00% (k) | 12/15/35 | (100,000 | ) | 3,399 | ||||||
Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 4.00% (d) | 12/15/35 | (5,000,000 | ) | 169,934 | ||||||
71,229 | ||||||||||
Euros | ||||||||||
Receive fixed rate payments of 2.09% and pay variable rate payments on the France CPI Ex Tobacco (j) | 10/15/10 | 1,500,000 | (3,123 | ) | ||||||
(3,123 | ) | |||||||||
Japanese Yen | ||||||||||
Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 2.00% (h) | 12/15/15 | (200,000,000 | ) | 27,121 | ||||||
Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 2.00% (d) | 12/15/15 | (80,000,000 | ) | 10,848 | ||||||
37,969 | ||||||||||
U.S. Dollars | ||||||||||
Receive fixed rate payments of 0.39% and pay floating par in the event of default on Russian Federation, 5.00% due 03/31/2030 (i) | 09/20/06 | $ | 2,400,000 | 1,334 | ||||||
Receive fixed rate payments of 0.61% and pay floating par in the event of default on Russian Federation, 5.00% due 3/31/2030 (h) | 03/20/07 | 1,300,000 | 1,824 | |||||||
Receive fixed rate payments of 0.70% and pay floating par in the event of default on Russian Federation, 5.00% due 3/31/2030 (a) | 03/20/07 | 3,700,000 | 7,560 |
See Notes to Financial Statements.
45
Table of Contents
Low-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
Description | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | |||||||
Receive fixed rate payments of 0.77% and pay floating par in the event of default on Russian Federation, 5.00% due 3/31/2030 (g) | 05/20/07 | $ | 200,000 | $ | 610 | |||||
Receive fixed rate payments of 5.00% and pay variable rate payments on the three month LIBOR floating rate (d) | 12/20/08 | 24,300,000 | (275,364 | ) | ||||||
Receive fixed rate payments of 5.00% and pay variable rate payments on the three month LIBOR floating rate (c) | 12/20/11 | 2,000,000 | (55,203 | ) | ||||||
Receive variable rate payments on the three month LIBOR floating rate and pay fixed rate payments of 5.00% (a) | 12/20/13 | (100,000 | ) | 3,873 | ||||||
Receive variable rate payments on the three month LIBOR floating rate and pay fixed rate payments of 5.00% (a) | 12/20/16 | (9,000,000 | ) | 491,427 | ||||||
Receive floating par in the event of default on Asset Backed Funding Certificates, 8.8225% due 11/25/2032 and pay fixed rate payments of 2.35% (b) | 11/25/32 | (1,000,000 | ) | 2,350 | ||||||
Receive floating par in the event of default on Morgan Stanley ABS Capital I, 7.0225% due 12/27/2033 and pay fixed rate payments of 0.54% (h) | 12/27/33 | (2,400,000 | ) | 2,867 | ||||||
Receive floating par in the event of default on Long Beach Mortgage Trust, 6.7225% due 02/25/2034 and pay fixed rate payments of 0.49% (d) | 02/25/34 | (2,400,000 | ) | — | ||||||
Receive floating par in the event of default on Specialty Underwriting & Residential Finance, 6.6225% due 02/25/2035 and pay fixed rate payments of 0.59% (d) | 02/25/35 | (2,400,000 | ) | — | ||||||
Receive floating par in the event of default on Structured Asset Investment Loan Trust, 6.1425% due 02/25/2035 and pay fixed rate payments of 0.61% (d) | 02/25/35 | (2,400,000 | ) | — | ||||||
Receive variable rate payments on the ABX.HE.A.06-1 Index and pay fixed rate payments of 0.54% (a) | 07/25/45 | (1,000,000 | ) | (2,904 | ) | |||||
Receive variable rate payments on the ABX.HE.A.06-1 Index and pay fixed rate payments of 0.54% (h) | 07/25/45 | (8,000,000 | ) | (23,234 | ) | |||||
155,140 | ||||||||||
$ | 261,215 | |||||||||
PORTFOLIO SUMMARY+
% | |||
Futures Contracts | 91.2 | ||
Mortgage-Backed Securities | 32.6 | ||
Asset-Backed Securities | 27.4 | ||
Money Market Funds | 11.3 | ||
Corporate Bonds | 10.9 | ||
Foreign Bonds | 8.7 | ||
Agency Obligations | 7.3 | ||
U.S. Treasury Obligations | 7.0 | ||
Municipal Bond | — | ** | |
Purchased Options | — | ** | |
Written Options | — | ** | |
Swap Agreements | — | ** | |
Forward Foreign Currency Contracts | (4.6 | ) | |
191.8 | |||
+ | Based on net assets. |
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
46
Table of Contents
Average Annual Total Returns as of 6/30/06 | ||||||||||||
GS2 Class* | GS4 Class* | GS6 Class* | Benchmark** | GS8 Class* | GS8 Class Benchmark** | |||||||
One Year | (0.54)% | (0.70)% | (1.10)% | (0.81)% | (1.39)% | (0.81)% | ||||||
Since Inception | 4.98% | 4.98% | 4.63% | 4.53% | 0.99% | 1.40% | ||||||
Inception Date | 08/27/01 | 08/27/01 | 08/27/01 | 08/27/01 | 11/08/04 | 11/08/04 |
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.GuideStoneFunds.org. 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.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Lehman Brothers Aggregate Bond Index.
* | These returns reflect expense waivers by the Fund’s investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
** | The Lehman Brothers Aggregate Bond Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. |
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
47
Table of Contents
Medium-Duration Bond Fund | ||
SCHEDULE OF INVESTMENTS | June 30, 2006 (Unaudited) |
Par | Value | |||||
AGENCY OBLIGATIONS — 4.6% | ||||||
Federal Farm Credit Bank | ||||||
4.85%, 12/16/09 | $ | 2,700,000 | $ | 2,646,656 | ||
4.50%, 08/08/11 | 3,000,000 | 2,839,866 | ||||
4.80%, 10/19/15 | 1,500,000 | 1,423,111 | ||||
Federal Home Loan Bank | ||||||
4.25%, 09/12/08 | 3,000,000 | 2,927,403 | ||||
3.50%, 02/13/09 | 1,000,000 | 953,968 | ||||
4.38%, 09/11/09 | 3,000,000 | 2,910,726 | ||||
4.08%, 04/26/10 | 1,500,000 | 1,431,123 | ||||
7.38%, 02/13/15 | 2,500,000 | 2,819,048 | ||||
Federal Home Loan Mortgage Corporation | ||||||
4.50%, 08/04/08 | 6,000,000 | 5,889,930 | ||||
4.48%, 09/19/08 | 10,000,000 | 9,762,490 | ||||
6.88%, 09/15/10 | 554,000 | 582,858 | ||||
5.63%, 11/23/35 | 1,260,000 | 1,151,791 | ||||
Federal National Mortgage Association | ||||||
4.96%, 09/25/06‡‡ | 260,000 | 256,842 | ||||
3.86%, 02/22/08D | 9,000,000 | 8,776,206 | ||||
3.13%, 03/16/09 | 7,250,000 | 6,826,941 | ||||
Total Agency Obligations | 51,198,959 | |||||
ASSET-BACKED SECURITIES — 3.5% | ||||||
Amortizing Residential Collateral Trust | ||||||
5.60%, 04/25/32† | 94,457 | 94,396 | ||||
AQ Finance NIM Trust | ||||||
5.54%, 01/25/09 144A† | 15,371 | 15,369 | ||||
Argent Securities, Inc. | ||||||
5.42%, 11/25/35† | 977,105 | 977,265 | ||||
Bayview Financial Acquisition Trust | ||||||
5.54%, 02/28/44† | 1,489,923 | 1,493,166 | ||||
Citibank Credit Card Issuance Trust | ||||||
6.15%, 02/09/09† | 670,000 | 672,961 | ||||
Conseco Finance Securitizations Corporation | ||||||
6.77%, 09/01/32 | 28,225 | 28,226 | ||||
7.00%, 02/01/33 IOW@ | 10,548,000 | 214,256 | ||||
Countrywide Home Equity Loan Trust | ||||||
5.46%, 04/15/28† | 140,499 | 140,475 | ||||
5.55%, 03/15/29† | 1,635,780 | 1,640,277 | ||||
5.49%, 05/15/29† | 1,246,133 | 1,249,967 | ||||
5.44%, 12/15/35† | 4,818,957 | 4,820,854 | ||||
5.42%, 02/15/36† | 2,340,532 | 2,335,046 | ||||
5.35%, 08/15/36† | 4,400,000 | 4,400,000 | ||||
Credit-Based Asset Servicing and Securitization | ||||||
5.61%, 08/25/33† | 163,813 | 163,869 | ||||
CS First Boston Mortgage Securities Corporation | ||||||
5.46%, 05/25/35 STEP† | 1,252,289 | 1,252,553 | ||||
EMC Mortgage Loan Trust | ||||||
5.87%, 11/25/41 144A† | 589,926 | 592,684 | ||||
EQCC Trust | ||||||
5.62%, 10/25/31† | 125,224 | 125,309 | ||||
Fannie Mae Grantor Trust | ||||||
5.12%, 07/25/35 STEP† | 12,267 | 12,268 | ||||
First Horizon Asset Back Trust | ||||||
5.61%, 10/25/34† | 710,134 | 712,465 | ||||
Fleet Home Equity Loan Trust | ||||||
5.29%, 05/30/31† | 753,335 | 753,444 | ||||
GSAMP Trust | ||||||
5.43%, 09/25/35† | 616,397 | 616,477 | ||||
Honda Auto Receivables Owner Trust | ||||||
5.10%, 09/18/08 | 3,900,000 | 3,885,983 | ||||
Madison Avenue Manufactured Housing Contract | ||||||
5.67%, 09/25/08† | 1,402,347 | 1,407,223 | ||||
Master Asset-Backed Securities Trust | ||||||
5.51%, 03/25/35 STEP† | 2,000,000 | 2,000,971 | ||||
MBNA Credit Card Master Note Trust | ||||||
5.70%, 03/15/10† | 1,900,000 | 1,909,706 | ||||
Morgan Stanley Dean Witter Credit Corporation HELOC Trust | ||||||
5.51%, 07/25/17 STEP† | 306,657 | 306,848 | ||||
NextCard Credit Card Master Note Trust | ||||||
11.97%, 12/15/06 144A† | 910,000 | 80,154 | ||||
Nissan Auto Receivables Owner Trust | ||||||
5.18%, 08/15/08 | 3,800,000 | 3,787,532 | ||||
Provident Bank Home Equity Loan Trust | ||||||
5.59%, 08/25/31† | 260,264 | 260,544 | ||||
Quest Trust | ||||||
5.88%, 06/25/34 144A† | 214,255 | 214,931 | ||||
Residential Asset Mortgage Products, Inc. | ||||||
5.56%, 03/25/34 STEP† | 897,282 | 897,263 | ||||
Salomon Brothers Mortgage Securities VII | ||||||
5.80%, 03/30/28 STEP† | 122,956 | 122,970 | ||||
SG Mortgage Securities Trust | ||||||
5.18%, 09/25/35† | 1,007,950 | 1,008,076 | ||||
SLM Student Loan Trust | ||||||
5.07%, 01/25/13† | 1,063,740 | 1,063,410 | ||||
SVO Timeshare Mortgage Corporation | ||||||
5.47%, 10/20/13 144A | 159,304 | 158,402 | ||||
Total Asset-Backed Securities | 39,415,340 | |||||
CORPORATE BONDS — 11.7% | ||||||
ACE Capital Trust II | ||||||
9.70%, 04/01/30 | 60,000 | 74,099 | ||||
ACE INA Holdings, Inc. | ||||||
8.30%, 08/15/06 | 550,000 | 551,543 | ||||
AES Corporation (The) | ||||||
9.50%, 06/01/09D | 42,000 | 44,730 | ||||
9.38%, 09/15/10 | 30,000 | 32,250 | ||||
8.75%, 05/15/13 144A | 520,000 | 559,000 | ||||
9.00%, 05/15/15 144A | 760,000 | 820,800 | ||||
Allied Waste North America, Inc. | ||||||
7.13%, 05/15/16 144A@ | 375,000 | 355,313 | ||||
Alltel Corporation | ||||||
4.66%, 05/17/07 | 350,000 | 347,494 | ||||
American Achievement Corporation | ||||||
8.25%, 04/01/12 | 30,000 | 29,700 |
See Notes to Financial Statements.
48
Table of Contents
Par | Value | |||||
Amerigas Partners LP | ||||||
7.25%, 05/20/15D | $ | 80,000 | $ | 76,000 | ||
AmerisourceBergen Corporation | ||||||
5.88%, 09/15/15 144A | 130,000 | 123,175 | ||||
Ameritech Capital Funding Corporation | ||||||
6.25%, 05/18/09D | 100,000 | 100,590 | ||||
AMFM, Inc. | ||||||
8.00%, 11/01/08 | 1,075,000 | 1,118,269 | ||||
ANZ Capital Trust I | ||||||
4.48%, 01/29/49 144A | 125,000 | 118,131 | ||||
5.36%, 12/29/49 144A | 800,000 | 748,885 | ||||
Apache Corporation | ||||||
6.25%, 04/15/12 | 300,000 | 307,590 | ||||
ASIF Global Financing XIX | ||||||
4.90%, 01/17/13 144A | 380,000 | 360,605 | ||||
Astoria Financial Corporation | ||||||
5.75%, 10/15/12 | 450,000 | 443,917 | ||||
AT&T, Inc. | ||||||
4.13%, 09/15/09D | 250,000 | 237,688 | ||||
5.30%, 11/15/10D | 175,000 | 170,904 | ||||
5.10%, 09/15/14 | 550,000 | 511,076 | ||||
Bank of America Corporation | ||||||
3.88%, 01/15/08 | 690,000 | 673,096 | ||||
Bank One Corporation | ||||||
4.13%, 09/01/07D | 1,100,000 | 1,079,466 | ||||
Bank United Corporation | ||||||
8.88%, 05/01/07 | 125,000 | 128,100 | ||||
Beazer Homes USA, Inc. | ||||||
8.63%, 05/15/11D | 10,000 | 10,125 | ||||
BellSouth Capital Funding | ||||||
7.88%, 02/15/30D | 460,000 | 504,757 | ||||
BellSouth Corporation | ||||||
4.75%, 11/15/12D | 40,000 | 37,138 | ||||
6.88%, 10/15/31 | 10,000 | 9,893 | ||||
Boeing Co. | ||||||
6.63%, 02/15/38 | 210,000 | 224,271 | ||||
CA, Inc. | ||||||
4.75%, 12/01/09 144A@ | 700,000 | 667,550 | ||||
Cendant Corporation | ||||||
6.25%, 01/15/08 | 150,000 | 151,402 | ||||
CenterPoint Energy Resources Corporation | ||||||
5.95%, 01/15/14 | 525,000 | 513,680 | ||||
Charter Communications Operating LLC | ||||||
8.00%, 04/30/12 144A@ | 250,000 | 250,000 | ||||
Chesapeake Energy Corporation | ||||||
6.25%, 01/15/18D | 140,000 | 128,450 | ||||
ChevronTexaco Capital Co. | ||||||
3.50%, 09/17/07 | 690,000 | 673,338 | ||||
Cincinnati Bell, Inc. | ||||||
7.00%, 02/15/15D | 130,000 | 123,175 | ||||
Citigroup, Inc. | ||||||
5.00%, 03/06/07 | 2,200,000 | 2,190,879 | ||||
Citizens Communications Co. | ||||||
9.25%, 05/15/11D | 40,000 | 43,200 | ||||
Clear Channel Communications, Inc. | ||||||
4.63%, 01/15/08 | 20,000 | 19,594 | ||||
4.25%, 05/15/09 | 250,000 | 237,229 | ||||
5.50%, 09/15/14D | 765,000 | 693,665 | ||||
Cleveland Electric Illuminating Co. (The) | ||||||
5.65%, 12/15/13 | 60,000 | 58,248 | ||||
7.88%, 11/01/17 | 2,050,000 | 2,306,590 | ||||
Clorox Co. | ||||||
5.44%, 12/14/07† | 1,500,000 | 1,502,286 | ||||
CNA Financial Corporation | ||||||
6.75%, 11/15/06 | 180,000 | 180,573 | ||||
Comcast Cable Communications Holdings, Inc. | ||||||
6.75%, 01/30/11 | 740,000 | 764,373 | ||||
8.38%, 03/15/13 | 225,000 | 250,218 | ||||
9.46%, 11/15/22D | 275,000 | 342,465 | ||||
ConocoPhillips | ||||||
5.03%, 04/11/07† | 4,000,000 | 4,000,496 | ||||
8.75%, 05/25/10 | 230,000 | 254,400 | ||||
ConocoPhillips Holding Co. | ||||||
6.95%, 04/15/29 | 1,670,000 | 1,822,590 | ||||
Cox Communications, Inc. | ||||||
4.63%, 01/15/10 | 800,000 | 763,693 | ||||
Cox Enterprises, Inc. | ||||||
4.38%, 05/01/08 144A | 600,000 | 580,972 | ||||
CSC Holdings, Inc. | ||||||
7.63%, 04/01/11D | 590,000 | 592,950 | ||||
6.75%, 04/15/12 144A | 60,000 | 58,200 | ||||
7.63%, 07/15/18 | 45,000 | 44,775 | ||||
D.R. Horton, Inc. | ||||||
8.50%, 04/15/12 | 10,000 | 10,528 | ||||
DaimlerChrysler NA Holding Corporation | ||||||
6.16%, 08/08/06† | 2,200,000 | 2,200,926 | ||||
5.88%, 03/15/11 | 590,000 | 580,941 | ||||
7.30%, 01/15/12 | 550,000 | 572,990 | ||||
6.50%, 11/15/13D | 210,000 | 210,189 | ||||
DaVita, Inc. | ||||||
7.25%, 03/15/15D | 80,000 | 77,200 | ||||
Dean Foods Co. | ||||||
7.00%, 06/01/16D | 375,000 | 364,688 | ||||
Devon Energy Corporation | ||||||
7.95%, 04/15/32 | 1,305,000 | 1,508,174 | ||||
DirecTV Holdings LLC | ||||||
6.38%, 06/15/15 | 155,000 | 143,762 | ||||
Dominion Resources, Inc. | ||||||
4.13%, 02/15/08 | 70,000 | 68,264 | ||||
5.13%, 12/15/09 | 230,000 | 224,470 | ||||
4.75%, 12/15/10 | 70,000 | 66,879 | ||||
5.70%, 09/17/12D | 770,000 | 754,455 | ||||
DRS Technologies, Inc. | ||||||
6.63%, 02/01/16 | 65,000 | 63,212 | ||||
Dryden Investor Trust | ||||||
7.16%, 07/23/08 | 1,081,738 | 1,092,983 | ||||
Duke Energy Corporation | ||||||
5.63%, 11/30/12D | 1,300,000 | 1,286,258 | ||||
Dynegy Holdings, Inc. | ||||||
8.75%, 02/15/12D | 910,000 | 928,200 | ||||
E*Trade Financial Corporation | ||||||
7.38%, 09/15/13 | 40,000 | 40,200 | ||||
Eastman Kodak Co. | ||||||
7.25%, 11/15/13D | 490,000 | 474,361 | ||||
Echostar DBS Corporation | ||||||
5.75%, 10/01/08 | 500,000 | 490,000 | ||||
6.63%, 10/01/14 | 30,000 | 28,275 | ||||
7.13%, 02/01/16 144A | 230,000 | 222,525 |
See Notes to Financial Statements.
49
Table of Contents
Medium-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||
El Paso Corporation | ||||||
8.05%, 10/15/30D | $ | 600,000 | $ | 604,500 | ||
7.80%, 08/01/31D | 950,000 | 927,438 | ||||
7.75%, 01/15/32D | 530,000 | 518,738 | ||||
El Paso Natural Gas Co. | ||||||
8.38%, 06/15/32 | 210,000 | 224,411 | ||||
Electronic Data Systems Corporation | ||||||
7.13%, 10/15/09 | 1,000,000 | 1,033,499 | ||||
Embarq Corporation | ||||||
8.00%, 06/01/36 | 425,000 | 428,384 | ||||
Entergy Gulf States, Inc. | ||||||
6.02%, 12/08/08 144A† | 1,900,000 | 1,902,907 | ||||
EOP Operating LP | ||||||
7.75%, 11/15/07 | 100,000 | 102,508 | ||||
Exelon Corporation | ||||||
5.63%, 06/15/35D | 1,190,000 | 1,047,358 | ||||
Firstar Bank NA | ||||||
7.13%, 12/01/09 | 170,000 | 177,363 | ||||
FirstEnergy Corporation | ||||||
5.50%, 11/15/06 | 600,000 | 599,341 | ||||
6.45%, 11/15/11 | 70,000 | 71,306 | ||||
7.38%, 11/15/31 | 1,700,000 | 1,829,263 | ||||
Ford Motor Co. | ||||||
7.45%, 07/16/31D | 550,000 | 400,125 | ||||
Ford Motor Credit Co. | ||||||
6.63%, 06/16/08 | 350,000 | 333,276 | ||||
7.38%, 10/28/09 | 3,050,000 | 2,821,845 | ||||
5.70%, 01/15/10 | 125,000 | 109,576 | ||||
7.88%, 06/15/10 | 500,000 | 461,624 | ||||
7.38%, 02/01/11D | 680,000 | 609,453 | ||||
10.49%, 06/15/11 144A† | 607,000 | 609,777 | ||||
7.25%, 10/25/11 | 50,000 | 44,401 | ||||
Forest City Enterprises, Inc. | ||||||
7.63%, 06/01/15 | 20,000 | 20,250 | ||||
6.50%, 02/01/17 | 70,000 | 65,800 | ||||
Fresenius Medical Care Capital Trust II | ||||||
7.88%, 02/01/08 | 169,000 | 171,958 | ||||
General Electric Capital Corporation | ||||||
4.13%, 09/01/09 | 740,000 | 709,321 | ||||
5.45%, 01/15/13 | 460,000 | 452,759 | ||||
General Electric Co. | ||||||
5.00%, 02/01/13 | 1,070,000 | 1,026,298 | ||||
General Motors Acceptance Corporation | ||||||
6.13%, 08/28/07D | 1,740,000 | 1,722,269 | ||||
5.13%, 05/09/08D | 220,000 | 210,852 | ||||
5.85%, 01/14/09D | 220,000 | 211,014 | ||||
5.63%, 05/15/09 | 1,490,000 | 1,418,142 | ||||
7.75%, 01/19/10 | 500,000 | 497,800 | ||||
6.88%, 09/15/11 | 575,000 | 549,227 | ||||
General Motors Corporation | ||||||
8.25%, 07/15/23D | 210,000 | 166,425 | ||||
8.38%, 07/05/33(E) | 170,000 | 169,810 | ||||
Georgia-Pacific Corporation | ||||||
8.13%, 05/15/11 | 4,000 | 4,000 | ||||
Goldman Sachs Group LP | ||||||
4.50%, 06/15/10 | 930,000 | 889,933 | ||||
Greenpoint Financial Corporation | ||||||
3.20%, 06/06/08 | 300,000 | 285,919 | ||||
HCA, Inc. | ||||||
6.50%, 02/15/16D | 750,000 | 697,220 | ||||
7.69%, 06/15/25 | 250,000 | 237,497 | ||||
Hertz Corporation | ||||||
8.88%, 01/01/14 144A | 95,000 | 97,850 | ||||
Hess Corporation | ||||||
7.30%, 08/15/31 | 1,320,000 | 1,402,950 | ||||
Hexion US Finance Corporation | ||||||
9.00%, 07/15/14D | 30,000 | 30,525 | ||||
Host Marriott LP | ||||||
9.50%, 01/15/07D | 550,000 | 566,500 | ||||
9.25%, 10/01/07 | 32,000 | 33,160 | ||||
6.75%, 06/01/16 144A | 30,000 | 28,762 | ||||
HSBC Bank USA NA | ||||||
5.49%, 09/21/07† | 300,000 | 300,361 | ||||
HSBC Finance Corporation | ||||||
4.63%, 01/15/08 | 1,130,000 | 1,114,261 | ||||
8.00%, 07/15/10D | 440,000 | 474,727 | ||||
7.00%, 05/15/12 | 390,000 | 410,900 | ||||
6.38%, 11/27/12 | 70,000 | 71,785 | ||||
IMC Global, Inc. | ||||||
10.88%, 06/01/08 | 49,000 | 52,430 | ||||
10.88%, 08/01/13 | 50,000 | 55,875 | ||||
iStar Financial, Inc. | ||||||
8.75%, 08/15/08 | 200,000 | 210,651 | ||||
5.13%, 04/01/11D | 175,000 | 167,726 | ||||
5.65%, 09/15/11 | 250,000 | 244,733 | ||||
6.50%, 12/15/13D | 125,000 | 124,387 | ||||
JC Penny Co., Inc. | ||||||
7.40%, 04/01/37 | 50,000 | 52,537 | ||||
JPM Capital Trust II | ||||||
7.95%, 02/01/27D | 700,000 | 734,012 | ||||
JPMorgan Chase & Co. | ||||||
5.75%, 01/02/13 | 320,000 | 317,182 | ||||
5.15%, 10/01/15 | 1,890,000 | 1,767,297 | ||||
Kansas City Southern Railway | ||||||
9.50%, 10/01/08 | 119,000 | 125,248 | ||||
Kerr-McGee Corporation | ||||||
7.88%, 09/15/31 | 1,880,000 | 2,131,420 | ||||
Kinder Morgan Energy Partners LP | ||||||
6.30%, 02/01/09 | 150,000 | 150,759 | ||||
6.75%, 03/15/11 | 150,000 | 153,388 | ||||
5.00%, 12/15/13 | 90,000 | 82,607 | ||||
Koch Forest Products, Inc. | ||||||
6.56%, 12/20/12@ | 3,809,524 | 3,806,994 | ||||
6.98%, 12/20/12@ | 180,476 | 180,356 | ||||
L-3 Communications Corporation | ||||||
7.63%, 06/15/12 | 250,000 | 255,000 | ||||
6.38%, 10/15/15 144A | 250,000 | 240,000 | ||||
6.38%, 10/15/15 | 120,000 | 115,200 | ||||
Lamar Media Corporation | ||||||
7.25%, 01/01/13 | 110,000 | 108,075 | ||||
Land O’ Lakes, Inc. | ||||||
9.00%, 12/15/10 | 125,000 | 130,625 | ||||
Lehman Brothers Holdings, Inc. | ||||||
4.00%, 01/22/08 | 1,120,000 | 1,091,142 | ||||
Liberty Media Corporation | ||||||
7.88%, 07/15/09 | 10,000 | 10,403 | ||||
5.70%, 05/15/13D | 25,000 | 22,828 | ||||
3.75%, 02/15/30 CONVD | 40,000 | 22,700 | ||||
Liberty Mutual Group | ||||||
5.75%, 03/15/14 144AD | 250,000 | 235,174 | ||||
7.00%, 03/15/34 144AD | 75,000 | 69,453 |
See Notes to Financial Statements.
50
Table of Contents
Par | Value | |||||
Lincoln National Corporation | ||||||
7.00%, 05/17/49†D | $ | 525,000 | $ | 521,844 | ||
Lockheed Martin Corporation | ||||||
8.50%, 12/01/29D | 190,000 | 239,827 | ||||
Lyondell Chemical Co. | ||||||
9.63%, 05/01/07 | 48,000 | 48,960 | ||||
MacDermid, Inc. | ||||||
9.13%, 07/15/11 | 111,000 | 116,550 | ||||
Merrill Lynch & Co., Inc. | ||||||
3.38%, 09/14/07 | 420,000 | 409,961 | ||||
MidAmerican Energy Holdings Co. | ||||||
6.13%, 04/01/36 144AD | 350,000 | 328,248 | ||||
Midwest Generation LLC | ||||||
8.75%, 05/01/34 | 250,000 | 266,250 | ||||
Mizuho JGB Investment LLC | ||||||
9.87%, 12/31/49 144A†@ | 250,000 | 267,806 | ||||
Morgan Stanley | ||||||
3.63%, 04/01/08 | 690,000 | 668,041 | ||||
NationsRent Cos., Inc. | ||||||
9.50%, 10/15/10 | 22,000 | 23,540 | ||||
New Cingular Wireless Services, Inc. | ||||||
7.88%, 03/01/11 | 100,000 | 107,817 | ||||
8.13%, 05/01/12 | 135,000 | 148,732 | ||||
Nextel Communications, Inc. | ||||||
5.95%, 03/15/14D | 294,000 | 282,857 | ||||
7.38%, 08/01/15 | 130,000 | 132,414 | ||||
Niagara Mohawk Power Corporation | ||||||
7.75%, 10/01/08 | 1,340,000 | 1,395,137 | ||||
Nortek, Inc. | ||||||
8.50%, 09/01/14D | 62,000 | 60,295 | ||||
Northrop Grumman Corporation | ||||||
4.08%, 11/16/06 | 280,000 | 278,426 | ||||
NRG Energy, Inc. | ||||||
7.25%, 02/01/14 | 210,000 | 205,275 | ||||
Omnicare, Inc. | ||||||
6.88%, 12/15/15 | 239,000 | 228,245 | ||||
Oncor Electric Delivery Co. | ||||||
6.38%, 01/15/15D | 80,000 | 80,316 | ||||
Oxford Industries, Inc. | ||||||
8.88%, 06/01/11 | 60,000 | 60,300 | ||||
Pacific Energy Partners LP | ||||||
7.13%, 06/15/14 | 60,000 | 60,900 | ||||
Pacific Gas & Electric Co. | ||||||
6.05%, 03/01/34 | 710,000 | 672,284 | ||||
Patrons’ Legacy | ||||||
5.65%, 01/17/17 144A | 640,000 | 625,633 | ||||
Peabody Energy Corporation | ||||||
6.88%, 03/15/13 | 145,000 | 143,188 | ||||
Pemex Project Funding Master Trust | ||||||
9.13%, 10/13/10 | 1,075,000 | 1,179,812 | ||||
6.63%, 06/15/35 144A | 60,000 | 54,375 | ||||
PHH Corporation | ||||||
6.00%, 03/01/08D | 1,075,000 | 1,073,931 | ||||
Phoenix Life Insurance Co. | ||||||
7.15%, 12/15/34 144A | 275,000 | 270,228 | ||||
Plains Exploration & Production Co. | ||||||
7.13%, 06/15/14 | 100,000 | 99,000 | ||||
Pogo Producing Co. | ||||||
6.88%, 10/01/17D | 130,000 | 121,062 | ||||
Popular North America, Inc. | ||||||
6.13%, 10/15/06 | 200,000 | 200,239 | ||||
5.20%, 12/12/07D | 400,000 | 395,567 | ||||
4.25%, 04/01/08 | 300,000 | 291,902 | ||||
5.65%, 04/15/09 | 250,000 | 248,140 | ||||
Pride International, Inc. | ||||||
7.38%, 07/15/14 | 130,000 | 131,300 | ||||
Progress Energy, Inc. | ||||||
7.75%, 03/01/31 | 425,000 | 475,428 | ||||
Prudential Funding LLC | ||||||
6.60%, 05/15/08 144A | 600,000 | 609,338 | ||||
PVNGS II Funding Corporation, Inc. | ||||||
8.00%, 12/30/15 | 1,677,000 | 1,829,443 | ||||
Qwest Capital Funding, Inc. | ||||||
7.25%, 02/15/11D | 200,000 | 195,500 | ||||
Qwest Corporation | ||||||
5.63%, 11/15/08 | 600,000 | 588,000 | ||||
8.88%, 03/15/12 | 200,000 | 212,000 | ||||
7.50%, 06/15/23D | 500,000 | 471,250 | ||||
Rabobank Capital Funding II | ||||||
5.26%, 12/29/13 144A†D | 50,000 | 46,984 | ||||
Rabobank Capital Funding Trust III | ||||||
5.25%, 10/31/49 144A† | 350,000 | 321,250 | ||||
Raytheon Co. | ||||||
6.00%, 12/15/10 | 5,000 | 5,040 | ||||
5.50%, 11/15/12 | 10,000 | 9,809 | ||||
5.38%, 04/01/13D | 115,000 | 111,808 | ||||
Reader’s Digest Association, Inc. | ||||||
6.50%, 03/01/11 | 50,000 | 48,500 | ||||
Russell Corporation | ||||||
9.25%, 05/01/10 | 71,000 | 74,639 | ||||
Safeco Corporation | ||||||
4.20%, 02/01/08 | 450,000 | 438,398 | ||||
SemGroup LP | ||||||
8.75%, 11/15/15 144AD | 10,000 | 10,000 | ||||
Sinclair Broadcast Group, Inc. | ||||||
8.00%, 03/15/12 | 20,000 | 20,400 | ||||
SLM Corporation | ||||||
4.49%, 04/01/09† | 1,130,000 | 1,086,687 | ||||
Sonat, Inc. | ||||||
7.63%, 07/15/11 | 460,000 | 466,900 | ||||
Southern Natural Gas Co. | ||||||
8.88%, 03/15/10 | 130,000 | 137,963 | ||||
8.00%, 03/01/32 | 400,000 | 415,322 | ||||
Sovereign Bancorp, Inc. | ||||||
5.54%, 08/25/06† | 300,000 | 300,082 | ||||
Sovereign Bank | ||||||
4.38%, 08/01/13† | 525,000 | 509,770 | ||||
Sprint Capital Corporation | ||||||
4.78%, 08/17/06 STEP | 710,000 | 709,249 | ||||
6.00%, 01/15/07D | 290,000 | 290,426 | ||||
6.13%, 11/15/08 | 310,000 | 312,598 | ||||
7.63%, 01/30/11 | 250,000 | 266,362 | ||||
8.38%, 03/15/12 | 340,000 | 376,094 | ||||
6.88%, 11/15/28 | 550,000 | 555,654 | ||||
Suburban Propane Partners LP | ||||||
6.88%, 12/15/13 | 195,000 | 183,300 | ||||
Sungard Data Systems, Inc. | ||||||
9.13%, 08/15/13 144AD | 120,000 | 125,100 |
See Notes to Financial Statements.
51
Table of Contents
Medium-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||
TCI Communications Financing III | ||||||
9.65%, 03/31/27 | $ | 2,610,000 | $ | 2,783,416 | ||
Tenet Healthcare Corporation | ||||||
9.88%, 07/01/14D | 170,000 | 170,850 | ||||
9.25%, 02/01/15 144A | 1,655,000 | 1,630,175 | ||||
Tennessee Valley Authority | ||||||
5.38%, 04/01/46 | 1,800,000 | 1,708,002 | ||||
Terex Corporation | ||||||
7.38%, 01/15/14 | 20,000 | 20,000 | ||||
Time Warner Entertainment Co. LP | ||||||
8.38%, 07/15/33 | 590,000 | 669,402 | ||||
Time Warner, Inc. | ||||||
6.88%, 05/01/12 | 110,000 | 113,817 | ||||
7.70%, 05/01/32 | 1,310,000 | 1,427,946 | ||||
Transcontinental Gas Pipe Line Corporation | ||||||
6.35%, 04/15/08 144A† | 1,500,000 | 1,488,750 | ||||
TXU Corporation | ||||||
4.80%, 11/15/09 | 500,000 | 478,178 | ||||
5.55%, 11/15/14 | 60,000 | 54,721 | ||||
6.55%, 11/15/34 | 1,080,000 | 954,163 | ||||
TXU Energy Co. LLC | ||||||
7.00%, 03/15/13 | 150,000 | 153,314 | ||||
Tyco International Group SA Participation Certificate Trust | ||||||
4.44%, 06/15/07 144A@ | 400,000 | 392,934 | ||||
Tyson Foods, Inc. | ||||||
7.25%, 10/01/06 | 100,000 | 100,306 | ||||
8.25%, 10/01/11 | 500,000 | 529,892 | ||||
Unilever Capital Corporation | ||||||
7.13%, 11/01/10 | 285,000 | 299,514 | ||||
Union Pacific Corporation | ||||||
6.65%, 01/15/11 | 260,000 | 269,111 | ||||
United Air Lines, Inc. | ||||||
9.21%, 01/21/17@ | 130,306 | 16,298 | ||||
9.56%, 10/19/18@# | 262,152 | 153,195 | ||||
United Telephone Co. of Kansas | ||||||
6.89%, 07/01/08@ | 500,000 | 498,785 | ||||
Ventas Realty LP | ||||||
8.75%, 05/01/09 | 70,000 | 73,850 | ||||
9.00%, 05/01/12 | 30,000 | 33,000 | ||||
6.50%, 06/01/16 | 70,000 | 67,462 | ||||
Verizon Communications, Inc. | ||||||
5.55%, 02/15/16D | 2,100,000 | 1,972,622 | ||||
Verizon Global Funding Corporation | ||||||
7.38%, 09/01/12 | 290,000 | 308,639 | ||||
4.38%, 06/01/13D | 140,000 | 126,596 | ||||
5.85%, 09/15/35 | 600,000 | 523,653 | ||||
Vintage Petroleum, Inc. | ||||||
8.25%, 05/01/12 | 250,000 | 264,547 | ||||
Visteon Corporation | ||||||
8.25%, 08/01/10D | 145,000 | 136,300 | ||||
Wachovia Bank NA | ||||||
5.49%, 03/23/09† | 750,000 | 750,032 | ||||
Wachovia Capital Trust III | ||||||
5.80%, 08/29/49† | 580,000 | 563,402 | ||||
Wachovia Corporation | ||||||
5.25%, 08/01/14D | 1,850,000 | 1,767,303 | ||||
Washington Mutual, Inc. | ||||||
8.25%, 04/01/10 | 250,000 | 268,283 | ||||
Waste Management, Inc. | ||||||
7.75%, 05/15/32 | 980,000 | 1,108,807 | ||||
Westlake Chemical Corporation | ||||||
6.63%, 01/15/16 | 80,000 | 74,300 | ||||
Weyerhaeuser Co. | ||||||
6.75%, 03/15/12 | 1,885,000 | 1,928,089 | ||||
Williams Cos., Inc. | ||||||
7.50%, 01/15/31D | 270,000 | 261,900 | ||||
7.75%, 06/15/31D | 200,000 | 198,000 | ||||
8.75%, 03/15/32 | 1,130,000 | 1,234,525 | ||||
Windstream Corporation | ||||||
8.63%, 08/01/16 144A@ | 300,000 | 308,250 | ||||
Xerox Corporation | ||||||
7.13%, 06/15/10 | 250,000 | 253,125 | ||||
XTO Energy, Inc. | ||||||
7.50%, 04/15/12 | 43,000 | 45,765 | ||||
6.25%, 04/15/13D | 695,000 | 696,404 | ||||
ZFS Finance USA Trust I | ||||||
6.15%, 12/15/49 144A†D | 500,000 | 479,491 | ||||
Total Corporate Bonds | 131,975,456 | |||||
FOREIGN BONDS — 10.2% | ||||||
Argentina — 0.1% | ||||||
Argentina Bonos | ||||||
2.00%, 02/04/18(R)† | 670,000 | 274,540 | ||||
Republic of Argentina | ||||||
2.00%, 01/03/16(R)† | 660,000 | 362,237 | ||||
636,777 | ||||||
Australia — 0.2% | ||||||
QBE Insurance Group, Ltd. | ||||||
5.65%, 07/01/23 144A† | 525,000 | 498,360 | ||||
Queensland Treasury Corporation | ||||||
6.00%, 06/14/11(A) | 2,430,000 | 1,812,502 | ||||
2,310,862 | ||||||
Belgium — 0.7% | ||||||
Belgium Treasury Bill | ||||||
1.90%, 07/13/06(E)W | 1,090,000 | 1,393,211 | ||||
2.76%, 09/14/06(E) | 5,010,000 | 6,372,126 | ||||
2.75%, 10/12/06(E) | 140,000 | 177,651 | ||||
7,942,988 | ||||||
Bermuda — 0.5% | ||||||
ACE, Ltd. | ||||||
6.00%, 04/01/07 | 350,000 | 350,394 | ||||
Arch Capital Group, Ltd. | ||||||
7.35%, 05/01/34 | 475,000 | 474,703 | ||||
Aspen Insurance Holdings, Ltd. | ||||||
6.00%, 08/15/14 | 325,000 | 302,505 | ||||
Endurance Specialty Holdings, Ltd. | ||||||
6.15%, 10/15/15D | 525,000 | 492,293 | ||||
Intelsat Bermuda, Ltd. | ||||||
9.25%, 06/15/16 144A | 60,000 | 62,250 | ||||
Intelsat, Ltd. | ||||||
6.50%, 11/01/13D | 110,000 | 84,150 | ||||
Tyco International Group SA | ||||||
5.80%, 08/01/06 | 800,000 | 800,102 | ||||
6.13%, 11/01/08 | 90,000 | 90,589 | ||||
6.00%, 11/15/13D | 2,920,000 | 2,897,081 | ||||
5,554,067 | ||||||
See Notes to Financial Statements.
52
Table of Contents
Par | Value | |||||
Brazil — 0.6% | ||||||
Federal Republic of Brazil | ||||||
7.88%, 03/07/15D | $ | 25,000 | $ | 26,238 | ||
8.00%, 01/15/18D | 1,680,000 | 1,776,600 | ||||
8.88%, 10/14/19 | 50,000 | 55,825 | ||||
8.88%, 04/15/24 | 149,000 | 165,614 | ||||
10.13%, 05/15/27 | 821,000 | 1,022,145 | ||||
12.25%, 03/06/30 | 122,000 | 179,340 | ||||
7.13%, 01/20/37D | 100,000 | 95,000 | ||||
11.00%, 08/17/40D | 2,250,000 | 2,792,812 | ||||
6,113,574 | ||||||
Bulgaria — 0.0% | ||||||
Republic of Bulgaria | ||||||
8.25%, 01/15/15 | 178,000 | 201,834 | ||||
Canada — 0.5% | ||||||
Anadarko Finance Co. | ||||||
7.50%, 05/01/31 | 400,000 | 431,016 | ||||
Bombardier Capital Funding LP | ||||||
6.13%, 05/14/07(E) | 250,000 | 323,760 | ||||
Canadian Government Inflationary Index | ||||||
4.00%, 12/01/31(C) | 770,000 | 1,176,084 | ||||
Canadian Treasury Bill | ||||||
4.89%, 09/20/06 | 530,000 | 523,761 | ||||
Conoco Funding Co. | ||||||
7.25%, 10/15/31 | 315,000 | 356,246 | ||||
General Motors Nova Scotia Finance Co. | ||||||
6.85%, 10/15/08D | 1,670,000 | 1,590,675 | ||||
Hydro Quebec | ||||||
6.30%, 05/11/11 | 305,000 | 314,122 | ||||
Quebecor Media, Inc. | ||||||
7.75%, 03/15/16 144A | 40,000 | 39,400 | ||||
Rogers Cable, Inc. | ||||||
5.50%, 03/15/14D | 350,000 | 312,375 | ||||
6.75%, 03/15/15 | 10,000 | 9,575 | ||||
Rogers Wireless, Inc. | ||||||
8.45%, 12/15/10† | 250,000 | 258,438 | ||||
6.38%, 03/01/14 144A | 100,000 | 95,750 | ||||
6.38%, 03/01/14 | 30,000 | 28,725 | ||||
Sun Media Corporation | ||||||
7.63%, 02/15/13 | 50,000 | 50,563 | ||||
Western Oil Sands, Inc. | ||||||
8.38%, 05/01/12 | 95,000 | 101,412 | ||||
5,611,902 | ||||||
Cayman Islands — 0.4% | ||||||
MUFG Capital Finance 1, Ltd. | ||||||
6.35%, 07/25/25† | 450,000 | 429,613 | ||||
Petroleum Export, Ltd. | ||||||
4.62%, 06/15/10 144A | 800,000 | 782,750 | ||||
4.63%, 06/15/10 144A | 1,066,667 | 1,043,667 | ||||
Resona Preferred Global Securities Cayman, Ltd. | ||||||
7.19%, 07/30/15 144A†D | 690,000 | 693,257 | ||||
Shinsei Finance Cayman, Ltd. | ||||||
6.42%, 07/20/48 144A†D | 830,000 | 780,909 | ||||
Systems 2001 Asset Trust LLC | ||||||
6.66%, 09/15/13 144A | 876,761 | 903,366 | ||||
4,633,562 | ||||||
Chile — 0.0% | ||||||
Codelco, Inc. | ||||||
4.75%, 10/15/14 144A | 210,000 | 192,298 | ||||
Colombia — 0.0% | ||||||
Republic of Colombia | ||||||
11.75%, 02/25/20 | 382,000 | 504,240 | ||||
8.13%, 05/21/24D | 32,000 | 32,560 | ||||
536,800 | ||||||
Denmark — 0.0% | ||||||
Nordic Telephone Co. Holdings ApS | ||||||
8.35%, 05/01/16 144A(E)†@ | 125,000 | 166,676 | ||||
Egypt — 0.2% | ||||||
Egypt Government AID Bonds | ||||||
4.45%, 09/15/15 | 2,600,000 | 2,411,102 | ||||
France — 1.0% | ||||||
Compagnie Generale de Geophysique SA | ||||||
7.50%, 05/15/15 144A | 70,000 | 68,775 | ||||
French Treasury Bill | ||||||
2.22%, 07/13/06(E)W | 400,000 | 511,211 | ||||
2.34%, 07/20/06(E)W | 6,850,000 | 8,750,105 | ||||
2.74%, 09/28/06(E)W | 910,000 | 1,156,021 | ||||
2.87%, 11/23/06(E)W | 500,000 | 632,171 | ||||
Legrand SA | ||||||
8.50%, 02/15/25 | 250,000 | 286,875 | ||||
11,405,158 | ||||||
Germany — 2.1% | ||||||
Deutsche Bundesrepublik | ||||||
6.50%, 07/04/27(E) | 2,000,000 | 3,324,058 | ||||
German Treasury Bill | ||||||
1.95%, 07/12/06(E)W | 3,000,000 | 3,834,657 | ||||
2.50%, 08/16/06 | 5,570,000 | 7,101,157 | ||||
2.68%, 09/13/06(E)W | 6,770,000 | 8,611,113 | ||||
Kabel Deutschland GmbH | ||||||
10.63%, 07/01/14 144A | 145,000 | 153,700 | ||||
23,024,685 | ||||||
Iceland — 0.3% | ||||||
Glitnir Banki HF | ||||||
6.69%, 06/15/16 144A† | 1,000,000 | 995,308 | ||||
Kaupthing Bank HF | ||||||
6.67%, 04/12/11 | 1,630,000 | 1,632,575 | ||||
7.13%, 05/19/16 144A | 350,000 | 350,719 | ||||
2,978,602 | ||||||
Ireland — 0.0% | ||||||
Eircom Funding | ||||||
8.25%, 08/15/13 | 130,000 | 138,450 | ||||
Italy — 0.2% | ||||||
Republic of Italy | ||||||
3.80%, 03/27/08(J)D | 156,000,000 | 1,435,067 | ||||
Telecom Italia Capital SA | ||||||
4.00%, 01/15/10 | 225,000 | 210,719 | ||||
5.25%, 11/15/13 | 165,000 | 152,764 | ||||
4.95%, 09/30/14 | 835,000 | 748,765 | ||||
5.25%, 10/01/15 | 130,000 | 117,875 | ||||
2,665,190 | ||||||
Japan — 0.2% | ||||||
Aiful Corporation | ||||||
5.00%, 08/10/10 144A | 600,000 | 571,055 | ||||
Resona Bank, Ltd. | ||||||
4.13%, 06/27/49 144A(E)† | 500,000 | 609,036 |
See Notes to Financial Statements.
53
Table of Contents
Medium-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||
5.85%, 07/15/49 144A†@ | $ | 475,000 | $ | 442,728 | ||
1,622,819 | ||||||
Luxembourg — 0.1% | ||||||
GazInvest Luxemburg SA for Gazprombank | ||||||
7.25%, 10/30/08 | 700,000 | 709,800 | ||||
Malaysia — 0.0% | ||||||
Petronas Capital, Ltd. | ||||||
7.88%, 05/22/22 144AD | 430,000 | 493,586 | ||||
Marshall Islands — 0.0% | ||||||
Teekay Shipping Corporation | ||||||
8.88%, 07/15/11 | 176,000 | 185,240 | ||||
Mexico — 0.9% | ||||||
America Movil SA de CV | ||||||
5.50%, 03/01/14D | 300,000 | 277,933 | ||||
6.38%, 03/01/35 | 150,000 | 131,133 | ||||
United Mexican States | ||||||
7.50%, 01/14/12 | 435,000 | 462,188 | ||||
8.00%, 12/19/13(M) | 43,750,000 | 3,656,611 | ||||
11.50%, 05/15/26D | 1,070,000 | 1,580,925 | ||||
8.30%, 08/15/31 | 660,000 | 763,950 | ||||
7.50%, 04/08/33D | 2,853,000 | 3,038,445 | ||||
9,911,185 | ||||||
Netherlands — 0.2% | ||||||
Deutsche Telekom International Finance BV | ||||||
5.75%, 03/23/16 | 510,000 | 482,218 | ||||
8.25%, 06/15/30D | 600,000 | 694,681 | ||||
Royal KPN NV | ||||||
8.00%, 10/01/10 | 780,000 | 828,069 | ||||
TPSA Finance BV | ||||||
7.75%, 12/10/08 144A | 375,000 | 390,444 | ||||
2,395,412 | ||||||
Panama — 0.1% | ||||||
Republic of Panama | ||||||
9.63%, 08/08/11 | 1,000 | 1,115 | ||||
7.13%, 01/29/26D | 538,000 | 521,860 | ||||
8.88%, 09/30/27 | 30,000 | 34,125 | ||||
6.70%, 01/26/36D | 549,000 | 505,080 | ||||
1,062,180 | ||||||
Puerto Rico — 0.0% | ||||||
Telecomunicaciones de Puerto Rico, Inc. | ||||||
6.80%, 05/15/09 | 350,000 | 355,333 | ||||
Russia — 0.8% | ||||||
Ministry Finance of Russia | ||||||
3.00%, 05/14/08 | 750,000 | 709,575 | ||||
Russian Federation | ||||||
8.25%, 03/31/10D | 2,577,796 | 2,683,743 | ||||
5.00%, 03/31/30 STEP | 4,700,000 | 5,012,837 | ||||
8,406,155 | ||||||
South Korea — 0.0% | ||||||
Export-Import Bank of Korea | ||||||
5.25%, 02/10/14 144A | 235,000 | 223,962 | ||||
Supranational — 0.8% | ||||||
Inter-American Development Bank | ||||||
1.00%, 03/24/15 | 13,000,000 | 8,831,160 | ||||
United Kingdom — 0.3% | ||||||
BP Capital Markets PLC | ||||||
2.75%, 12/29/06 | 740,000 | 730,928 | ||||
HBOS Capital Funding LP | ||||||
6.07%, 12/31/49 144A†D | 600,000 | 585,463 | ||||
HSBC Capital Funding LP | ||||||
4.61%, 12/29/49 144A†D | 960,000 | 864,908 | ||||
Royal & Sun Alliance Insurance Group | ||||||
8.50%, 12/08/14(U)† | 150,000 | 314,884 | ||||
Royal Bank of Scotland Group PLC | ||||||
5.42%, 12/21/07 144A† | 1,100,000 | 1,100,853 | ||||
3,597,036 | ||||||
Venezuela — 0.0% | ||||||
Petrozuata Finance, Inc. | ||||||
8.22%, 04/01/17 144A | 140,000 | 131,600 | ||||
Total Foreign Bonds | 114,449,995 | |||||
MORTGAGE-BACKED SECURITIES — 56.8% | ||||||
ABN AMRO Mortgage Corporation | ||||||
11.85%, 06/25/33 IOW@ | 773,442 | 88,305 | ||||
Banc of America Commercial Mortgage, Inc. | ||||||
5.12%, 10/10/45† | 3,000,000 | 2,836,308 | ||||
5.35%, 09/10/47† | 3,000,000 | 2,866,593 | ||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||
5.62%, 02/25/33† | 413,053 | 407,046 | ||||
3.51%, 06/25/34† | 1,300,000 | 1,231,774 | ||||
Bear Stearns Alt-A Trust | ||||||
5.64%, 02/25/34 STEP† | 271,341 | 271,507 | ||||
5.41%, 05/25/35† | 1,202,071 | 1,187,237 | ||||
Bear Stearns Commercial Mortgage Securities | ||||||
5.71%, 09/11/38† | 1,500,000 | 1,482,609 | ||||
CC Mortgage Funding Corporation | ||||||
5.67%, 07/25/34 144A† | 774,276 | 775,194 | ||||
Commercial Mortgage Pass-Through Certificates | ||||||
5.38%, 03/15/20 144A† | 1,800,000 | 1,800,262 | ||||
Commercial Mortgage Asset Trust | ||||||
7.55%, 01/17/10† | 440,000 | 460,003 | ||||
Countrywide Alternative Loan Trust | ||||||
5.67%, 09/25/35† | 5,708,623 | 5,741,505 | ||||
5.65%, 10/25/35 STEP† | 4,020,877 | 4,030,433 | ||||
5.57%, 11/20/35† | 1,970,238 | 1,978,884 | ||||
5.59%, 11/20/35† | 3,207,313 | 3,222,956 | ||||
5.60%, 11/20/35† | 5,012,950 | 5,031,362 | ||||
5.65%, 11/20/35† | 1,446,043 | 1,450,856 | ||||
5.59%, 12/25/35† | 1,883,988 | 1,885,876 | ||||
5.62%, 12/25/35 STEP† | 2,392,912 | 2,392,836 | ||||
5.59%, 02/25/36 STEP† | 2,577,960 | 2,581,625 | ||||
5.58%, 03/20/46† | 958,472 | 960,388 | ||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||
5.56%, 03/25/36† | 1,321,700 | 1,323,780 | ||||
CS First Boston Mortgage Securities Corporation | ||||||
10.30%, 04/25/33 IOW@ | 83,278 | 4,329 |
See Notes to Financial Statements.
54
Table of Contents
Par | Value | |||||
9.42%, 05/25/33 IOW@ | $ | 80,683 | $ | 4,605 | ||
10.36%, 06/25/33 IOW@ | 62,242 | 4,212 | ||||
8.80%, 07/25/33 IOW†@ | 616,047 | 5,139 | ||||
12.01%, 07/25/33 IOW@ | 863,412 | 135,691 | ||||
8.84%, 08/25/33 IOW†@ | 698,947 | 5,370 | ||||
6.53%, 06/15/34 | 1,500,000 | 1,543,596 | ||||
Federal Home Loan Mortgage Corporation | ||||||
8.00%, 10/01/07 | 397 | 398 | ||||
7.00%, 11/01/14 | 134,471 | 137,916 | ||||
7.00%, 04/01/15 | 93,733 | 96,135 | ||||
8.00%, 06/01/15 | 3,972 | 4,011 | ||||
7.00%, 12/01/15 | 78,897 | 80,911 | ||||
6.00%, 04/15/16 | 190,769 | 190,662 | ||||
8.50%, 06/01/16 | 16,231 | 17,209 | ||||
8.50%, 06/01/18 | 13,002 | 13,786 | ||||
4.50%, 12/01/18 | 534,875 | 505,908 | ||||
4.00%, 02/01/19 | 643,427 | 594,191 | ||||
4.00%, 04/01/19 | 831,537 | 767,510 | ||||
4.00%, 05/01/19 | 1,328,519 | 1,226,226 | ||||
4.00%, 06/01/19 | 2,192,937 | 2,024,159 | ||||
4.50%, 06/01/19 | 2,310,787 | 2,185,645 | ||||
5.00%, 07/18/21 TBA | 4,000,000 | 3,848,752 | ||||
0.29%, 04/15/22 POW@ | 52,289 | 51,910 | ||||
8.00%, 08/01/24 | 8,641 | 9,137 | ||||
7.50%, 11/01/29 | 28,662 | 29,727 | ||||
6.50%, 12/01/29 | 577,631 | 583,809 | ||||
7.50%, 12/01/29 | 44,586 | 46,243 | ||||
7.50%, 02/01/31 | 53,808 | 55,695 | ||||
5.61%, 07/01/31† | 85,154 | 86,193 | ||||
5.67%, 08/01/31† | 70,045 | 71,750 | ||||
7.50%, 11/01/31 | 49,326 | 51,051 | ||||
5.37%, 04/01/32† | 28,114 | 28,081 | ||||
4.27%, 03/01/34† | 23,375 | 22,722 | ||||
5.00%, 07/01/34 TBA | 2,200,000 | 2,054,250 | ||||
5.50%, 05/01/35 | 2,898,298 | 2,785,601 | ||||
5.00%, 09/01/35 | 2,300,654 | 2,150,254 | ||||
5.00%, 10/01/35 | 889,347 | 831,208 | ||||
5.00%, 12/01/35 | 4,144,453 | 3,873,520 | ||||
4.89%, 02/01/36 POW@ | 1,369,451 | 928,541 | ||||
6.00%, 02/01/36 | 2,687,649 | 2,646,579 | ||||
5.02%, 07/25/44† | 5,708,215 | 5,688,021 | ||||
Federal Housing Administration | ||||||
7.43%, 10/01/18 | 391,971 | 387,998 | ||||
Federal National Mortgage Association | ||||||
6.50%, 05/25/08 | 175,910 | 176,274 | ||||
47.77%, 10/25/08 IOW†@ | 277,483 | 10,312 | ||||
4.00%, 06/01/13 | 125,226 | 118,889 | ||||
4.00%, 07/01/13 | 167,621 | 159,053 | ||||
4.00%, 08/01/13 | 232,157 | 220,307 | ||||
4.00%, 09/01/13 | 434,553 | 411,958 | ||||
4.00%, 10/01/13 | 902,115 | 855,190 | ||||
8.00%, 06/01/15 | 63,152 | 66,470 | ||||
8.00%, 06/15/15 | 15,099 | 15,892 | ||||
8.00%, 07/01/15 | 63,375 | 66,705 | ||||
8.00%, 09/01/15 | 98,224 | 101,602 | ||||
6.00%, 10/25/15 | 28,419 | 28,334 | ||||
5.00%, 12/25/15 | 381,144 | 377,066 | ||||
6.00%, 05/01/16 | 234,597 | 235,448 | ||||
6.00%, 07/01/16 | 31,472 | 31,587 | ||||
5.50%, 07/19/16 TBA | 10,800,000 | 10,597,500 | ||||
5.00%, 11/01/17 | 309,565 | 298,824 | ||||
5.00%, 12/01/17 | 2,376,525 | 2,293,701 | ||||
5.00%, 01/01/18 | 3,743,086 | 3,613,174 | ||||
5.00%, 02/01/18 | 654,910 | 632,181 | ||||
5.50%, 02/01/18 | 274,609 | 269,555 | ||||
5.00%, 04/01/18 | 188,599 | 182,046 | ||||
5.00%, 05/01/18 | 1,233,715 | 1,190,851 | ||||
5.00%, 06/01/18 | 157,515 | 151,712 | ||||
6.00%, 08/01/18 TBA | 550,000 | 551,375 | ||||
4.00%, 09/01/18 | 5,000,000 | 4,621,848 | ||||
5.00%, 11/01/18 | 643,307 | 620,956 | ||||
5.00%, 04/01/19 | 1,058,700 | 1,021,917 | ||||
4.00%, 05/01/19 | 13,209,799 | 12,207,767 | ||||
5.00%, 07/01/19 | 953,460 | 919,699 | ||||
5.00%, 07/01/19 TBA | 7,500,000 | 7,221,090 | ||||
4.50%, 08/01/20 TBA | 33,000,000 | 31,174,704 | ||||
5.99%, 08/25/21 IOW@ | 375 | 9,796 | ||||
7.31%, 10/25/21 IOW@ | 707 | 15,973 | ||||
17.26%, 01/25/22† | 241,869 | 281,523 | ||||
4.60%, 03/25/22† | 265,323 | 261,630 | ||||
9.50%, 05/01/22 | 9,075 | 9,857 | ||||
4.60%, 07/01/22† | 45,008 | 44,940 | ||||
6.00%, 01/01/23 | 216,591 | 215,757 | ||||
9.50%, 07/01/24 | 17,505 | 18,948 | ||||
5.01%, 07/01/27† | 67,136 | 67,149 | ||||
5.91%, 08/01/27† | 192,270 | 195,210 | ||||
5.01%, 11/01/27† | 112,947 | 112,970 | ||||
6.50%, 12/25/28 | 60,216 | 60,357 | ||||
7.39%, 02/01/30† | 196,971 | 197,024 | ||||
5.68%, 05/25/30† | 3,048,861 | 3,058,487 | ||||
5.89%, 06/01/30† | 134,100 | 136,530 | ||||
8.00%, 10/01/30 | 97,116 | 102,493 | ||||
5.53%, 10/18/30† | 95,898 | 96,713 | ||||
5.88%, 12/01/30† | 29,870 | 30,276 | ||||
4.87%, 01/01/31† | 18,236 | 18,262 | ||||
5.66%, 04/01/31† | 42,750 | 43,227 | ||||
6.95%, 05/01/31† | 19,989 | 19,810 | ||||
5.33%, 06/01/31† | 14,245 | 14,382 | ||||
5.36%, 06/01/31† | 41,459 | 41,833 | ||||
5.38%, 06/01/31† | 74,467 | 75,125 | ||||
6.00%, 01/01/32 | 140,288 | 138,618 | ||||
6.00%, 03/01/32 | 464,825 | 459,387 | ||||
6.50%, 03/01/32 | 480,808 | 486,884 | ||||
6.00%, 04/01/32 | 1,036,963 | 1,024,467 | ||||
5.01%, 06/01/32† | 31,796 | 31,833 | ||||
6.50%, 07/01/32 TBA | 3,700,000 | 3,718,500 | ||||
4.85%, 08/01/32† | 46,293 | 46,336 | ||||
5.64%, 02/01/33† | 36,176 | 36,660 | ||||
4.60%, 05/01/33† | 119,527 | 119,613 | ||||
5.50%, 05/01/33 | 22,336,249 | 21,547,789 | ||||
4.50%, 07/01/33 TBA | 1,800,000 | 1,630,688 | ||||
0.01%, 07/25/33 IOW†@ | 536,197 | 27,800 | ||||
3.85%, 10/01/33† | 1,861,079 | 1,814,951 | ||||
5.50%, 04/01/34 | 18,221,642 | 17,583,555 | ||||
0.00%, 04/25/34 IOW†@ | 752,475 | 51,519 | ||||
0.01%, 06/25/34 IOW†@ | 1,200,169 | 57,401 | ||||
6.00%, 07/01/34 TBA | 10,100,000 | 9,939,026 | ||||
5.50%, 07/14/34 TBA | 5,000,000 | 4,801,560 | ||||
5.50%, 09/01/34 | 17,494,826 | 16,848,434 | ||||
4.50%, 10/01/34 | 336,462 | 306,669 | ||||
6.00%, 10/01/34 | 287,738 | 283,774 | ||||
4.50%, 11/01/34 | 1,453,730 | 1,322,569 | ||||
5.50%, 11/01/34 | 22,342,956 | 21,517,437 | ||||
4.50%, 12/01/34 | 472,904 | 429,795 | ||||
4.63%, 12/01/34† | 1,063,841 | 1,042,014 | ||||
6.50%, 12/01/34 | 431,683 | 435,620 |
See Notes to Financial Statements.
55
Table of Contents
Medium-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | |||||
6.00%, 01/01/35 | $ | 2,979,821 | $ | 2,938,778 | ||
4.50%, 02/01/35 | 502,964 | 457,115 | ||||
5.50%, 02/01/35 | 28,998,689 | 27,927,257 | ||||
4.50%, 03/01/35 | 2,009,045 | 1,822,487 | ||||
4.50%, 04/01/35 | 1,027,468 | 931,486 | ||||
4.50%, 05/01/35 | 861,343 | 780,879 | ||||
6.00%, 05/01/35 | 4,060,638 | 3,999,830 | ||||
5.00%, 07/01/35 TBA | 60,200,000 | 56,268,218 | ||||
5.50%, 07/01/35 TBA | 28,400,000 | 27,272,861 | ||||
6.00%, 07/01/35 | 1,212,288 | 1,194,134 | ||||
5.50%, 07/13/35 TBA | 53,100,000 | 50,992,567 | ||||
5.00%, 08/01/35 TBA | 11,000,000 | 10,274,688 | ||||
5.50%, 08/01/35 TBA | 1,000,000 | 959,688 | ||||
5.50%, 09/01/35 | 1,932,498 | 1,857,464 | ||||
6.00%, 10/01/35 | 371,538 | 365,973 | ||||
4.93%, 11/01/35 POW@ | 1,524,556 | 1,037,313 | ||||
5.01%, 11/01/35† | 55,437 | 55,489 | ||||
6.00%, 11/01/35 | 1,960,163 | 1,930,810 | ||||
6.03%, 11/01/35† | 3,184,359 | 3,266,935 | ||||
6.16%, 11/01/35† | 771,114 | 791,101 | ||||
4.69%, 05/01/36† | 690,121 | 690,803 | ||||
6.00%, 07/20/36 TBA | 1,000,000 | 991,562 | ||||
5.01%, 12/01/37† | 241,641 | 241,874 | ||||
5.01%, 01/01/38† | 102,886 | 102,987 | ||||
5.15%, 06/01/40† | 246,850 | 242,861 | ||||
5.15%, 10/01/40† | 616,643 | 621,321 | ||||
5.01%, 11/01/40† | 83,741 | 83,826 | ||||
FFCA Secured Lending Corporation | ||||||
9.50%, 07/18/20 IO 144AW†@ | 1,696,019 | 72,590 | ||||
First Horizon Alternative Mortgage Securities | ||||||
4.75%, 06/25/34† | 1,356,074 | 1,328,770 | ||||
First Union Commercial Mortgage Securities, Inc. | ||||||
7.38%, 04/18/07 | 1,574,663 | 1,582,358 | ||||
First Union National Bank Commercial Mortgage Trust | ||||||
7.20%, 10/01/32 | 1,500,000 | 1,577,505 | ||||
GE Capital Commercial Mortgage Corporation | ||||||
5.51%, 11/10/45† | 1,230,000 | 1,187,104 | ||||
GMAC Commercial Mortgage Securities, Inc. | ||||||
6.87%, 08/15/07 | 269,067 | 271,212 | ||||
6.28%, 11/15/39 | 2,000,000 | 2,043,060 | ||||
Government National Mortgage Association | ||||||
7.00%, 10/15/25 | 69,129 | 71,360 | ||||
7.00%, 01/15/26 | 33,924 | 35,032 | ||||
7.00%, 07/15/27 | 269,375 | 278,257 | ||||
7.00%, 12/15/27 | 4,159 | 4,297 | ||||
7.00%, 01/15/28 | 33,745 | 34,815 | ||||
7.00%, 03/15/28 | 326,565 | 337,325 | ||||
7.00%, 07/15/28 | 34,733 | 35,835 | ||||
7.50%, 07/15/28 | 15,920 | 16,659 | ||||
6.50%, 08/15/28 | 42,887 | 43,550 | ||||
7.00%, 08/15/28 | 55,244 | 56,997 | ||||
7.50%, 08/15/28 | 38,650 | 40,443 | ||||
6.50%, 09/15/28 | 195,178 | 198,195 | ||||
7.00%, 10/15/28 | 81,525 | 84,111 | ||||
7.50%, 03/15/29 | 84,165 | 88,177 | ||||
7.50%, 11/15/29 | 43,757 | 45,764 | ||||
5.13%, 11/20/29† | 208,560 | 209,811 | ||||
8.50%, 08/15/30 | 6,780 | 7,281 | ||||
8.50%, 11/20/30 | 54,613 | 58,428 | ||||
6.50%, 08/15/31 | 295,929 | 299,650 | ||||
7.50%, 08/15/31 | 103,395 | 108,064 | ||||
6.50%, 10/15/31 | 525,806 | 532,623 | ||||
6.00%, 11/15/31 | 1,181,472 | 1,172,191 | ||||
6.50%, 11/15/31 | 464,746 | 470,590 | ||||
6.00%, 12/15/31 | 384,623 | 381,602 | ||||
6.00%, 01/15/32 | 711,582 | 706,925 | ||||
6.00%, 02/15/32 | 853,784 | 847,077 | ||||
6.50%, 02/15/32 | 796,302 | 806,679 | ||||
7.50%, 02/15/32 | 46,856 | 48,970 | ||||
13.26%, 02/16/32† | 297,785 | 347,946 | ||||
6.00%, 04/15/32 | 660,278 | 655,958 | ||||
6.50%, 04/15/32 | 591,841 | 599,283 | ||||
7.50%, 04/15/32 | 123,498 | 129,069 | ||||
6.50%, 06/15/32 | 1,809,779 | 1,833,469 | ||||
6.50%, 07/15/32 | 264,668 | 267,996 | ||||
6.50%, 08/15/32 | 883,577 | 894,688 | ||||
6.50%, 09/15/32 | 860,345 | 871,163 | ||||
6.00%, 10/15/32 | 776,631 | 770,529 | ||||
6.00%, 11/15/32 | 741,364 | 735,790 | ||||
6.00%, 12/15/32 | 376,823 | 373,863 | ||||
6.50%, 12/15/32 | 50,212 | 50,844 | ||||
6.00%, 01/15/33 | 361,421 | 358,582 | ||||
6.00%, 02/15/33D | 289,575 | 287,300 | ||||
6.50%, 03/15/33 | 167,740 | 169,850 | ||||
5.00%, 04/15/33 | 370,536 | 351,033 | ||||
6.50%, 04/15/33 | 2,135,693 | 2,162,549 | ||||
5.00%, 05/15/33 | 2,811,899 | 2,664,420 | ||||
6.00%, 05/15/33 | 2,602,893 | 2,582,445 | ||||
5.00%, 06/15/33 | 414,045 | 392,252 | ||||
6.00%, 06/15/33 | 238,470 | 236,597 | ||||
5.00%, 07/15/33 | 887,594 | 840,876 | ||||
5.00%, 08/15/33 | 1,574,630 | 1,490,632 | ||||
5.00%, 09/15/33 | 1,292,235 | 1,223,029 | ||||
5.00%, 10/15/33 | 686,357 | 649,818 | ||||
6.00%, 10/15/33 | 1,162,506 | 1,153,373 | ||||
6.50%, 10/15/33 | 412,758 | 417,948 | ||||
5.00%, 11/15/33 | 84,411 | 79,984 | ||||
6.00%, 12/15/33 | 1,192,381 | 1,183,014 | ||||
5.00%, 01/15/34 | 562,314 | 532,818 | ||||
5.00%, 03/15/34 | 715,187 | 677,672 | ||||
5.00%, 04/15/34 | 261,739 | 248,010 | ||||
5.00%, 05/15/34 | 164,535 | 155,905 | ||||
5.00%, 06/15/34 | 1,070,692 | 1,014,531 | ||||
5.00%, 07/01/34 TBA | 500,000 | 473,125 | ||||
5.00%, 08/15/34 | 676,962 | 641,453 | ||||
5.00%, 11/15/34 | 1,630,990 | 1,545,437 | ||||
5.00%, 12/15/34 | 1,556,964 | 1,475,294 | ||||
5.00%, 01/15/35 | 637,508 | 603,543 | ||||
GS Mortgage Securities Corporation II | ||||||
4.68%, 07/10/39 | 1,300,000 | 1,225,346 | ||||
GSMPS Mortgage Loan Trust | ||||||
5.55%, 02/25/35 144A† | 1,114,393 | 1,114,103 | ||||
5.67%, 09/25/35† | 3,391,597 | 3,397,248 | ||||
GSR Mortgage Loan Trust | ||||||
4.54%, 10/25/35† | 1,586,972 | 1,543,952 | ||||
HarborView Mortgage Loan Trust | ||||||
5.56%, 11/19/35 STEP† | 930,228 | 933,216 | ||||
5.49%, 01/19/36 STEP† | 742,503 | 744,253 | ||||
5.50%, 01/19/36 STEP† | 2,947,793 | 2,956,623 |
See Notes to Financial Statements.
56
Table of Contents
Par | Value | |||||
Impac CMB Trust | ||||||
5.68%, 10/25/34† | $ | 689,757 | $ | 690,831 | ||
5.58%, 11/25/35 STEP† | 2,651,720 | 2,654,921 | ||||
Impac Secured Assets CMN Owner Trust | ||||||
5.57%, 05/25/35† | 2,301,722 | 2,307,246 | ||||
Indymac ARM Trust | ||||||
5.17%, 09/28/31† | 65,861 | 65,467 | ||||
Indymac Index Mortgage Loan Trust | ||||||
5.10%, 09/25/35† | 813,755 | 770,274 | ||||
5.54%, 04/25/46† | 1,945,758 | 1,947,321 | ||||
JP Morgan Chase Commercial Mortgage Securities Corporation | ||||||
4.90%, 09/12/37 | 2,900,000 | 2,700,429 | ||||
4.92%, 10/15/42† | 200,000 | 186,296 | ||||
LB-UBS Commercial Mortgage Trust | ||||||
4.66%, 07/15/30 | 1,000,000 | 939,826 | ||||
4.74%, 07/15/30 | 830,000 | 765,579 | ||||
5.16%, 02/15/31 | 2,000,000 | 1,891,994 | ||||
7.28%, 06/15/36 IO 144AW†@ | 5,024,336 | 200,286 | ||||
4.95%, 09/15/40 | 900,000 | 842,812 | ||||
Lehman XS Trust | ||||||
5.38%, 11/25/35† | 3,288,256 | 3,298,289 | ||||
5.62%, 11/25/35† | 2,195,827 | 2,197,656 | ||||
5.59%, 01/30/40† | 2,407,119 | 2,410,128 | ||||
Luminent Mortgage Trust | ||||||
5.52%, 02/25/46† | 1,963,011 | 1,964,737 | ||||
Master Adjustable Rate Mortgages Trust | ||||||
5.19%, 05/25/34† | 816,291 | 806,389 | ||||
Master Reperforming Loan Trust | ||||||
7.00%, 08/25/34 144A | 1,392,595 | 1,414,516 | ||||
MLCC Mortgage Investors, Inc. | ||||||
5.44%, 09/25/27 STEP† | 1,430,285 | 1,429,303 | ||||
Morgan Stanley Capital I | ||||||
5.16%, 10/12/42† | 3,000,000 | 2,846,535 | ||||
Nomura Asset Acceptance Corporation | ||||||
5.05%, 06/25/10† | 3,138,393 | 3,071,602 | ||||
Opteum Mortgage Acceptance Corporation | ||||||
5.49%, 08/25/35 STEP† | 2,607,715 | 2,608,559 | ||||
Residential Asset Mortgage Products, Inc. | ||||||
4.56%, 07/25/41 144A† | 1,341,575 | 1,344,904 | ||||
Sequoia Mortgage Trust | ||||||
5.05%, 07/20/33† | 631,872 | 631,843 | ||||
5.42%, 11/20/34 STEP† | 784,290 | 784,612 | ||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||
5.42%, 08/25/35† | 2,552,325 | 2,560,604 | ||||
Structured Asset Mortgage Investments, Inc. | ||||||
5.63%, 12/25/35 STEP† | 2,752,648 | 2,758,929 | ||||
5.55%, 02/25/36† | 1,875,612 | 1,877,993 | ||||
Thornburg Mortgage Securities Trust | ||||||
5.29%, 06/25/09† | 4,400,000 | 4,399,477 | ||||
5.49%, 01/25/36† | 6,376,526 | 6,363,896 | ||||
Wachovia Bank Commercial Mortgage Trust | ||||||
5.37%, 10/15/44† | 3,000,000 | 2,869,993 | ||||
Washington Mutual, Inc. | ||||||
8.78%, 01/25/08 IOW†@ | 847,051 | 11,610 | ||||
8.76%, 05/25/08 IOW@ | 1,829,743 | 9,676 | ||||
8.81%, 06/25/08 IOW†@ | 2,890,960 | 37,281 | ||||
5.35%, 12/25/27 STEP† | 3,934,647 | 3,932,694 | ||||
4.68%, 02/25/33† | 162,641 | 160,308 | ||||
5.54%, 06/25/42† | 190,448 | 190,940 | ||||
5.61%, 07/25/45 STEP† | 4,190,473 | 4,196,733 | ||||
5.64%, 07/25/45† | 2,872,919 | 2,875,901 | ||||
5.64%, 08/25/45† | 8,916,590 | 8,941,115 | ||||
5.61%, 10/25/45 STEP† | 7,421,712 | 7,465,017 | ||||
5.58%, 11/25/45† | 2,816,683 | 2,824,111 | ||||
5.59%, 12/25/45† | 2,264,027 | 2,270,230 | ||||
5.61%, 12/25/45† | 4,799,737 | 4,818,488 | ||||
9.15%, 01/01/49 IOW†@ | 2,169,074 | 17,928 | ||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||
3.54%, 09/25/34† | 2,440,000 | 2,320,770 | ||||
4.98%, 10/25/35† | 2,376,315 | 2,346,141 | ||||
5.09%, 03/25/36† | 3,846,290 | 3,767,406 | ||||
Zuni Mortgage Loan Trust | ||||||
5.41%, 07/25/36† | 4,400,000 | 4,400,000 | ||||
Total Mortgage-Backed Securities | 639,491,187 | |||||
MUNICIPAL BONDS — 0.4% | ||||||
Minnesota State General Obligation Bond | ||||||
5.00%, 10/01/20 | 200,000 | 207,820 | ||||
South Carolina Transportation Infrastructure Bank, Series A Revenue Bond (AMBAC Insured) | ||||||
5.00%, 10/01/23 | 2,700,000 | 2,763,423 | ||||
Virginia State Housing Development Authority, Commonwealth Mortgage, Series H Revenue Bond (MBIA Insured) | ||||||
5.38%, 07/01/36 | 1,000,000 | 1,041,360 | ||||
Total Municipal Bonds | 4,012,603 | |||||
Number of Contracts | ||||||
PURCHASED OPTIONS — 0.0% | ||||||
Call Options — 0.0% | ||||||
10-Year U.S. Treasury Note Futures, Strike Price $111.00, Expires 08/25/06 | 316 | 4,938 | ||||
90-Day Eurodollar Futures, Strike Price $94.75, Expires 09/18/06 | 21 | 52 | ||||
4,990 | ||||||
Call Swaptions — 0.0% | ||||||
3-Month LIBOR, Strike Price | ||||||
$4.50, Expires 01/22/07 | 5,500 | 2,255 | ||||
3-Month LIBOR, Strike Price | ||||||
$4.50, Expires 10/18/06 | 2,250 | 22 | ||||
3-Month LIBOR, Strike Price | ||||||
$4.75, Expires 08/10/06 | 450 | — |
See Notes to Financial Statements.
57
Table of Contents
Medium-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
Number of Contracts | Value | |||||
3-Month LIBOR, Strike Price | ||||||
$5.00, Expires 03/08/07 | 2,780 | $ | 23,769 | |||
3-Month LIBOR, Strike Price | ||||||
$5.08, Expires 04/19/07 | 1,010 | 14,605 | ||||
3-Month LIBOR, Strike Price | ||||||
$5.13, Expires 10/25/06 | 940 | 2,820 | ||||
3-Month LIBOR, Strike Price | ||||||
$5.25, Expires 06/07/07 | 1,700 | 46,665 | ||||
3-Month LIBOR, Strike Price | ||||||
$5.63, Expires 09/22/06 | 400 | 34,156 | ||||
3-Month LIBOR, Strike Price | ||||||
$5.75, Expires 04/27/09 | 280 | 163,024 | ||||
287,316 | ||||||
Put Options — 0.0% | ||||||
5-Year U.S. Treasury Note Futures, Strike Price $100.50, Expires 08/25/06 | 314 | 4,906 | ||||
90-Day Eurodollar Futures, Strike Price $91.25, Expires 06/18/07 | 180 | 1,125 | ||||
90-Day Eurodollar Futures, Strike Price $91.75, Expires 12/18/06 | 199 | 1,244 | ||||
7,275 | ||||||
Put Swaption — 0.0% | ||||||
3-Month LIBOR, Strike Price $6.25, Expires 04/27/09 | 280 | 118,877 | ||||
Total Purchased Options | 418,458 | |||||
Shares | ||||||
PREFERRED STOCKS — 0.1% | ||||||
CORTS Trust for Ford Motor Co. | 9,100 | 162,435 | ||||
General Motors Corporation CONV | 51,150 | 946,275 | ||||
Total Preferred Stocks | 1,108,710 | |||||
RIGHTS — 0.0% | ||||||
United Mexican States Recovery Rights Series E, 06/30/07† (Cost $0) | 1,100,000 | 29,150 | ||||
MONEY MARKET FUNDS — 32.1% | ||||||
GuideStone Funds Money Market Fund (GS4 Class)¥ | 46,741,100 | 46,741,100 | ||||
Northern Institutional Liquid Assets Portfolio§ | 313,903,270 | 313,903,270 | ||||
Total Money Market Funds | 360,644,370 | |||||
Par | ||||||
U.S. TREASURY OBLIGATIONS — 26.5% | ||||||
U.S. Treasury Bills | ||||||
4.72%, 09/14/06 | $ | 200,000 | 198,082 | |||
4.80%, 09/14/06 | 250,000 | 247,603 | ||||
4.80%, 09/14/06 | 40,000 | 39,616 | ||||
4.81%, 09/14/06 | 325,000 | 321,883 | ||||
807,184 | ||||||
Par | Value | |||||
U.S. Treasury Bonds | ||||||
6.25%, 08/15/23D | $ | 870,000 | $ | 959,787 | ||
6.75%, 08/15/26 | 1,100,000 | 1,294,391 | ||||
5.50%, 08/15/28D | 8,300,000 | 8,530,201 | ||||
5.25%, 02/15/29D | 520,000 | 517,888 | ||||
6.13%, 08/15/29D | 1,400,000 | 1,557,063 | ||||
4.50%, 02/15/36D | 1,012,000 | 907,717 | ||||
13,767,047 | ||||||
U.S. Treasury Inflationary Index Bonds | ||||||
3.38%, 01/15/07D | 11,400,000 | 14,536,999 | ||||
3.38%, 01/15/12 | 60,000 | 71,323 | ||||
2.00%, 07/15/14D | 1,800,000 | 1,853,068 | ||||
1.88%, 07/15/15D | 12,700,000 | 12,484,332 | ||||
2.38%, 01/15/25D | 1,140,000 | 1,186,125 | ||||
2.00%, 01/15/26D | 2,660,000 | 2,472,584 | ||||
3.88%, 04/15/29D | 4,468,000 | 6,776,114 | ||||
39,380,545 | ||||||
U.S. Treasury Notes | ||||||
2.50%, 09/30/06D | 27,680,000 | 27,510,266 | ||||
2.25%, 02/15/07D | 22,000,000 | 21,598,676 | ||||
3.38%, 02/15/08D | 850,000 | 826,426 | ||||
3.13%, 09/15/08D | 6,600,000 | 6,326,206 | ||||
2.63%, 03/15/09D | 480,000 | 450,169 | ||||
4.88%, 05/15/09D | 3,600,000 | 3,576,658 | ||||
4.00%, 06/15/09D | 3,240,000 | 3,141,410 | ||||
3.63%, 07/15/09D | 200,000 | 191,711 | ||||
3.38%, 10/15/09D | 1,400,000 | 1,327,595 | ||||
3.50%, 12/15/09D | 8,000,000 | 7,598,440 | ||||
3.63%, 01/15/10D | 1,300,000 | 1,238,149 | ||||
3.50%, 02/15/10D | 700,000 | 663,195 | ||||
3.88%, 05/15/10D | 2,300,000 | 2,201,801 | ||||
3.88%, 09/15/10D | 12,540,000 | 11,969,831 | ||||
4.25%, 10/15/10D | 5,160,000 | 4,995,530 | ||||
4.50%, 11/15/10D | 25,915,000 | 25,321,806 | ||||
4.38%, 12/15/10D | 15,380,000 | 14,943,839 | ||||
4.25%, 01/15/11 | 15,800,000 | 15,261,204 | ||||
4.50%, 02/28/11D | 26,770,000 | 26,111,217 | ||||
4.75%, 03/31/11D | 2,500,000 | 2,463,185 | ||||
2.38%, 04/15/11D | 1,400,000 | 1,415,699 | ||||
4.88%, 04/30/11D | 10,400,000 | 10,297,227 | ||||
4.25%, 08/15/13D | 10,200,000 | 9,680,443 | ||||
2.00%, 01/15/14D | 900,000 | 947,384 | ||||
4.25%, 11/15/14D | 7,660,000 | 7,206,390 | ||||
4.25%, 08/15/15D | 2,890,000 | 2,704,973 | ||||
4.50%, 11/15/15D | 6,890,000 | 6,564,882 | ||||
2.00%, 01/15/16D | 1,750,000 | 1,696,705 | ||||
4.50%, 02/15/16D | 2,820,000 | 2,683,848 | ||||
220,914,865 | ||||||
U.S. Treasury STRIPS | ||||||
5.39%, 11/15/21WD | 13,480,000 | 5,961,988 | ||||
5.86%, 08/15/24WD | 19,700,000 | 7,529,439 | ||||
5.36%, 11/15/24W | 3,800,000 | 1,440,941 | ||||
5.36%, 02/15/25W | 5,700,000 | 2,129,207 | ||||
5.35%, 08/15/25WD | 3,100,000 | 1,131,974 | ||||
5.34%, 05/15/26WD | 1,500,000 | 526,503 | ||||
5.33%, 08/15/26WD | 5,800,000 | 2,013,105 | ||||
5.33%, 11/15/26WD | 3,700,000 | 1,269,962 | ||||
5.33%, 11/15/26WD | 3,600,000 | 1,233,187 |
See Notes to Financial Statements.
58
Table of Contents
Par | Value | |||||||
5.31%, 08/15/27WD | $ | 1,050,000 | $ | 347,192 | ||||
23,583,498 | ||||||||
Total U.S. Treasury Obligations | 298,453,139 | |||||||
TOTAL INVESTMENTS — 145.9% | 1,641,197,367 | |||||||
Number of Contracts | ||||||||
WRITTEN OPTIONS — 0.0% | ||||||||
Call Swaptions — 0.0% | ||||||||
3-Month LIBOR, Strike Price | ||||||||
$4.00, Expires 07/03/06 | (1,380 | ) | (138 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$4.56, Expires 01/22/07 | (2,370 | ) | (3,105 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$4.56, Expires 10/18/06 | (970 | ) | (48 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$4.78, Expires 08/10/06 | (190 | ) | — | |||||
3-Month LIBOR, Strike Price | ||||||||
$5.04, Expires 03/08/07 | (1,200 | ) | (24,336 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$5.21, Expires 10/25/06 | (400 | ) | (4,380 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$5.22, Expires 04/19/07 | (440 | ) | (19,202 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$5.34, Expires 06/07/07 | (700 | ) | (47,971 | ) | ||||
3-Month LIBOR, Strike Price | ||||||||
$5.48, Expires 09/22/06 | (1,340 | ) | (36,006 | ) | ||||
(135,186 | ) | |||||||
Put Swaption — 0.0% | ||||||||
3-Month LIBOR, Strike Price | ||||||||
$6.00, Expires 07/03/06 | (1,380 | ) | (138 | ) | ||||
Total Written Options | ||||||||
(Premiums received $(1,436,668)) | (135,324 | ) | ||||||
Par | ||||||||
SECURITY SOLD SHORT — (0.1)% | ||||||||
Federal National Mortgage Association TBA 4.50%, 07/13/36 | ||||||||
(Cost $(918,438)) | $ | (1,000,000 | ) | (905,938 | ) | |||
Liabilities in Excess of Other Assets — (45.8)% | (515,116,480 | ) | ||||||
NET ASSETS — 100.0% | $ | 1,125,039,625 | ||||||
See Notes to Financial Statements.
59
Table of Contents
Medium-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
Swap agreements outstanding at June 30, 2006:
Description | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | |||||||
British Pounds | ||||||||||
Receive fixed rate payments of 5.00% and pay variable rate payments on the six month LIBOR floating rate (d) | 09/15/10 | 6,600,000 | $ | (78,359 | ) | |||||
Receive fixed rate payments of 5.00% and pay variable rate payments on the six month LIBOR floating rate (f) | 09/15/15 | 2,500,000 | (22,857 | ) | ||||||
Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 4.00% (d) | 12/15/35 | (3,700,000 | ) | 125,751 | ||||||
Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 4.00% (k) | 12/15/35 | (100,000 | ) | 3,399 | ||||||
27,934 | ||||||||||
Euros | ||||||||||
Receive fixed rate payments of 2.1455% and pay variable rate payments on the France CPI Ex Tobacco (b) | 10/15/10 | 300,000 | (392 | ) | ||||||
Receive fixed rate payments of 4.00% and pay variable rate payments on the six month LIBOR floating rate (c) | 12/15/14 | 5,500,000 | (84,777 | ) | ||||||
(85,169 | ) | |||||||||
Japanese Yen | ||||||||||
Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 2.00% (h) | 12/15/15 | (210,000,000 | ) | 28,477 | ||||||
Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 2.00% (d) | 12/15/15 | (80,000,000 | ) | 10,848 | ||||||
39,325 | ||||||||||
U.S. Dollars | ||||||||||
Receive fixed rate payments of 0.39% and pay floating par in the event of default on Russian Federation, 5.00% due 3/31/2030 (i) | 09/20/06 | $ | 2,700,000 | 1,501 | ||||||
Receive fixed rate payments of 2.00% and pay floating par in the event of default on General Motors Acceptance Corporation, 6.875% due 8/28/2012 (b) | 12/20/06 | $ | 1,600,000 | $ | — | |||||
Receive fixed rate payments of 0.61% and pay floating par in the event of default on Russian Federation, 5.00% due 3/31/2030 (h) | 03/20/07 | 1,300,000 | 1,824 | |||||||
Receive fixed rate payments of 0.77% and pay floating par in the event of default on Russian Federation, 5.00% due 3/31/2030 (g) | 05/20/07 | 100,000 | 305 | |||||||
Receive floating par in the event of default on Republic of Philippines, 8.25% due 1/15/2014 and pay fixed rate of 2.47% (e) | 09/20/08 | (1,000,000 | ) | (25,766 | ) | |||||
Receive fixed rate payments of 5.00% and pay variable rate payments on the three month LIBOR floating rate (b) | 12/20/08 | 10,000,000 | (113,319 | ) | ||||||
Receive floating par in the event of default on Radioshack Corporation, 7.375% due 5/15/2011 and pay fixed rate payments of .37% (b) | 12/20/08 | (300,000 | ) | 1,090 | ||||||
Receive floating par in event of default on Emerson Electric Co., 4.625% due 10/15/2012 and pay fixed rate payments of .22% (c) | 12/20/08 | (300,000 | ) | (937 | ) | |||||
Receive floating par in event of default on Devon Financing Corporation, 6.875% due 9/30/2011 and pay fixed rate payments of .35% (h) | 12/20/08 | (500,000 | ) | (1,750 | ) | |||||
Receive floating par in event of default on Anadarko Petroleum Corporation, 5.000% due 10/01/2012 and pay fixed rate payments of .27% (h) | 12/20/08 | (300,000 | ) | (246 | ) |
See Notes to Financial Statements.
60
Table of Contents
Description | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | |||||||
Receive floating par in event of default on Carnival Corporation, 6.150% due 4/15/2008 and pay fixed rate payments of .44% (b) | 12/20/08 | $ | (300,000 | ) | $ | (2,242 | ) | |||
Receive floating par in event of default on Countrywide Home Loan, 6.250% due 4/15/2009 and pay fixed rate payments of .42% (c) | 12/20/08 | (300,000 | ) | (754 | ) | |||||
Receive floating par in event of default on Occidental Petroleum, 6.750% due 1/15/2012 and pay fixed rate payments of .28% (h) | 09/20/08 | (300,000 | ) | (1,007 | ) | |||||
Receive floating par in event of default on Kroger Co. 6.750% due 4/15/2012 and pay fixed rate payments of .53% (c) | 12/20/08 | (300,000 | ) | (2,450 | ) | |||||
Receive floating par in the event of default on Republic of Turkey, 11.875 due 1/15/2030 and pay fixed rate of 2.70% (c) | 09/20/10 | (800,000 | ) | 2,940 | ||||||
Receive floating par in the event of default on Republic of Turkey, 11.875 due 1/15/2030 and pay fixed rate of 2.25% (c) | 09/20/10 | (1,000,000 | ) | 19,661 | ||||||
Receive fixed rate payments of 5.00% and pay variable rate payments on the three month LIBOR floating rate (e) | 12/20/11 | 9,000,000 | (248,411 | ) | ||||||
Receive fixed rate payments of 5.00% and pay variable rate payments on the three month LIBOR floating rate (d) | 12/20/11 | 14,500,000 | (400,219 | ) | ||||||
Receive fixed rate payments of 5.00% and pay variable rate payments on the three month LIBOR floating rate (c) | 12/20/11 | 7,900,000 | (218,051 | ) | ||||||
Receive fixed rate payments of 5.00% and pay variable rate payments on the three month LIBOR floating rate (h) | 12/20/11 | 9,800,000 | (270,492 | ) | ||||||
Receive variable rate payments on the three month LIBOR floating rate and pay fixed rate payments of 5.00% (d) | 12/20/16 | $ | (2,200,000 | ) | $ | 120,126 | ||||
Receive floating par in the event of default on Republic of Hungary, 4.75% due 2/3/2015 and pay fixed rate of 0.535% (c) | 05/20/16 | (1,600,000 | ) | 28,536 | ||||||
Receive floating par in the event of default on Republic of Hungary, 4.75% due 2/3/2015 and pay fixed rate of 0.54% (g) | 05/20/16 | (1,400,000 | ) | 24,462 | ||||||
Receive floating par in the event of default on Republic of Hungary, 4.75% due 2/3/2015 and pay fixed rate of .545% (k) | 05/20/16 | (2,800,000 | ) | 47,910 | ||||||
Receive floating par in the event of default on Asset Backed Funding Certificates, 8.8225% due 11/25/2032 and pay fixed rate of 2.35% (b) | 11/25/32 | (1,000,000 | ) | 2,350 | ||||||
Receive fixed rate payments of 5.00% and pay variable rate payments on the three month LIBOR floating rate (f) | 12/20/36 | 1,600,000 | (178,000 | ) | ||||||
Receive variable rate payments on the ABX.HE.A.06-1 Index and pay fixed rate payments of 0.54% (e) | 07/25/45 | (7,700,000 | ) | (22,363 | ) | |||||
(1,235,302 | ) | |||||||||
$ | (1,253,212 | ) | ||||||||
See Notes to Financial Statements.
61
Table of Contents
Medium-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
PORTFOLIO SUMMARY+
% | |||
Mortgage-Backed Securities | 56.8 | ||
Futures Contracts | 39.0 | ||
Money Market Funds | 32.1 | ||
U.S. Treasury Obligations | 26.5 | ||
Corporate Bonds | 11.7 | ||
Foreign Bonds | 10.2 | ||
Agency Obligations | 4.6 | ||
Asset-Backed Securities | 3.5 | ||
Municipal Bonds | 0.4 | ||
Preferred Stocks | 0.1 | ||
Purchased Options | — | ** | |
Rights/Warrants | — | ** | |
Written Options | — | ** | |
Security Sold Short | (0.1 | ) | |
Swap Agreements | (0.1 | ) | |
Forward Foreign Currency Contracts | (4.5 | ) | |
180.2 | |||
+ | Based on net assets. |
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
62
Table of Contents
Average Annual Total Returns as of 6/30/06 | ||||||||||||
GS2 Class* | GS4 Class* | GS6 Class* | Benchmark** | GS8 Class* | GS8 Class Benchmark** | |||||||
One Year | (3.80)% | (4.00)% | (4.36)% | (6.48)% | (4.71)% | (6.48)% | ||||||
Since Inception | 7.05% | 6.96% | 6.59% | 6.13% | 1.71% | 1.28% | ||||||
Inception Date | 08/27/01 | 08/27/01 | 08/27/01 | 08/27/01 | 11/08/04 | 11/08/04 |
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.GuideStoneFunds.org. 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.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the weighted composite benchmark index.
* | These returns reflect expense waivers by the Fund’s investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
** | Represents a weighted composite benchmark index consisting of the Lehman Brothers Long-Term Government Bond Index and the Lehman Brothers Long-Term Credit Bond Index. |
The Lehman Brothers Long-Term Government Bond Index is composed of all bonds covered by the Lehman Brothers Government Bond Index with maturities of 10 years or greater.
The Lehman Brothers Long-Term Credit Index is composed of a subset of the Lehman Brothers Credit Bond Index covering all corporate, publicly issued, fixed-rate, nonconvertible U.S. debt issues rated at least Baa with at least $50 million principal outstanding and maturity greater than 10 years.
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
63
Table of Contents
Extended-Duration Bond Fund
SCHEDULE OF INVESTMENTS | June 30, 2006 (Unaudited) |
Par | Value | |||||
AGENCY OBLIGATIONS — 0.4% | ||||||
Federal National Mortgage Association | ||||||
5.25%, 01/15/09D | $ | 250,000 | $ | 248,972 | ||
2.29%, 02/19/09(G) | 2,500,000 | 1,520,668 | ||||
Total Agency Obligations | 1,769,640 | |||||
ASSET-BACKED SECURITY — 0.4% | ||||||
Community Program Loan Trust | ||||||
4.50%, 04/01/29 | 1,950,000 | 1,749,355 | ||||
CORPORATE BONDS — 16.9% | ||||||
Agilysys, Inc. | ||||||
9.50%, 08/01/06 | 500,000 | 503,076 | ||||
Alberton’s, Inc. | ||||||
6.63%, 06/01/28 | 105,000 | 83,930 | ||||
7.45%, 08/01/29D | 985,000 | 850,964 | ||||
8.00%, 05/01/31D | 110,000 | 99,690 | ||||
Arrow Electronics, Inc. | ||||||
6.88%, 07/01/13 | 250,000 | 255,966 | ||||
ASIF Global Financing XXVII | ||||||
2.38%, 02/26/09 144A(G) | 6,700,000 | 4,071,688 | ||||
Atlas Air, Inc. | ||||||
7.20%, 01/02/19 | 125,001 | 123,829 | ||||
Avnet, Inc. | ||||||
6.00%, 09/01/15D | 775,000 | 734,948 | ||||
Barclays Financial LLC | ||||||
4.16%, 02/22/10 144A(T) | 25,000,000 | 615,438 | ||||
4.10%, 03/22/10 144A(T) | 30,000,000 | 735,858 | ||||
4.06%, 09/16/10 144A(W) | 730,000,000 | 751,960 | ||||
Borden, Inc. | ||||||
7.88%, 02/15/23D | 1,200,000 | 981,000 | ||||
Bristol-Myers Squibb Co. | ||||||
4.83%, 09/15/23 CONV†D | 1,950,000 | 1,956,103 | ||||
Chesapeake Energy Corporation | ||||||
6.88%, 01/15/16 | 610,000 | 579,500 | ||||
6.50%, 08/15/17 | 45,000 | 41,287 | ||||
6.88%, 11/15/20 144AD | 320,000 | 296,000 | ||||
CIT Group, Inc. | ||||||
5.50%, 12/01/14(U) | 600,000 | 1,097,082 | ||||
Comcast Corporation | ||||||
5.50%, 03/15/11D | 500,000 | 491,558 | ||||
5.65%, 06/15/35D | 570,000 | 485,342 | ||||
6.50%, 11/15/35 | 555,000 | 525,559 | ||||
6.45%, 03/15/37 | 2,480,000 | 2,336,906 | ||||
Commonwealth Edison Co. | ||||||
4.75%, 12/01/11@ | 401,782 | 381,641 | ||||
Constellation Energy Group, Inc. | ||||||
4.55%, 06/15/15 | 750,000 | 665,336 | ||||
Continental Airlines, Inc. | ||||||
6.95%, 02/02/11 | 324,802 | 310,672 | ||||
8.31%, 04/02/18D | 485,891 | 466,251 | ||||
7.57%, 03/15/20 | 423,208 | 412,216 | ||||
Corning, Inc. | ||||||
6.20%, 03/15/16 | 230,000 | 228,900 | ||||
Cox Communications, Inc. | ||||||
6.75%, 03/15/11D | 250,000 | 254,833 | ||||
Cummins, Inc. | ||||||
7.13%, 03/01/28 | 425,000 | 420,325 | ||||
Devon Energy Corporation | ||||||
4.95%, 08/15/08 CONV | 963,000 | 1,173,656 | ||||
Dillard’s, Inc. | ||||||
7.75%, 07/15/26 | 890,000 | 847,725 | ||||
7.00%, 12/01/28 | 500,000 | 445,000 | ||||
El Paso Corporation | ||||||
7.00%, 05/15/11D | 400,000 | 396,500 | ||||
EOP Operating LP | ||||||
7.25%, 06/15/28 | 500,000 | 512,462 | ||||
First Industrial LP | ||||||
7.60%, 07/15/28 | 1,000,000 | 1,037,528 | ||||
Foot Locker, Inc. | ||||||
8.50%, 01/15/22 | 1,000,000 | 1,013,750 | ||||
Ford Motor Co. | ||||||
6.63%, 10/01/28 | 680,000 | 472,600 | ||||
6.38%, 02/01/29 | 1,255,000 | 872,225 | ||||
Ford Motor Credit Co. | ||||||
5.70%, 01/15/10 | 135,000 | 118,342 | ||||
7.00%, 10/01/13D | 315,000 | 271,468 | ||||
General Motors Acceptance Corporation | ||||||
6.88%, 08/28/12 | 250,000 | 235,830 | ||||
Georgia-Pacific Corporation | ||||||
8.00%, 01/15/24 | 30,000 | 28,500 | ||||
7.38%, 12/01/25D | 240,000 | 218,400 | ||||
7.25%, 06/01/28 | 300,000 | 267,000 | ||||
7.75%, 11/15/29D | 3,700,000 | 3,404,000 | ||||
8.88%, 05/15/31 | 60,000 | 60,000 | ||||
GTE Corporation | ||||||
6.94%, 04/15/28D | 10,000 | 9,796 | ||||
HCA, Inc. | ||||||
6.30%, 10/01/12 | 1,500,000 | 1,418,282 | ||||
7.58%, 09/15/25 | 1,000,000 | 936,376 | ||||
7.05%, 12/01/27 | 500,000 | 440,398 | ||||
Health Care Property Investors, Inc. | ||||||
6.00%, 03/01/15D | 1,500,000 | 1,461,256 | ||||
Highwoods Properties, Inc. | ||||||
7.50%, 04/15/18 | 1,500,000 | 1,582,826 | ||||
Historic TW, Inc. | ||||||
6.63%, 05/15/29 | 60,000 | 57,816 | ||||
HSBC Bank USA NA | ||||||
3.31%, 08/25/10 144A | 700,000 | 689,990 | ||||
IMC Global, Inc. | ||||||
7.38%, 08/01/18 | 500,000 | 472,500 | ||||
7.30%, 01/15/28 | 690,000 | 624,450 | ||||
International Paper Co. | ||||||
6.88%, 11/01/23 | 300,000 | 292,273 | ||||
iStar Financial, Inc. | ||||||
5.70%, 03/01/14 | 1,171,000 | 1,130,686 | ||||
Kinder Morgan Energy Partners LP | ||||||
5.80%, 03/15/35 | 280,000 | 239,701 | ||||
Kinder Morgan, Inc. | ||||||
7.25%, 03/01/28 | 500,000 | 453,376 | ||||
Lennar Corporation | ||||||
5.60%, 05/31/15D | 935,000 | 850,798 | ||||
6.50%, 04/15/16 144A | 625,000 | 606,748 | ||||
MidAmerican Energy Holdings Co. | ||||||
5.88%, 10/01/12 | 1,000,000 | 993,263 | ||||
Motorola, Inc. | ||||||
7.63%, 11/15/10D | 80,000 | 85,750 | ||||
6.50%, 11/15/28D | 500,000 | 501,472 | ||||
NiSource Finance Corporation | ||||||
6.15%, 03/01/13 | 1,000,000 | 1,004,638 |
See Notes to Financial Statements.
64
Table of Contents
Par | Value | |||||
Northern Telecom Capital | ||||||
7.88%, 06/15/26D | $ | 450,000 | $ | 371,250 | ||
Pemex Project Funding Master Trust | ||||||
8.63%, 02/01/22 | 1,000,000 | 1,120,500 | ||||
8.63%, 12/01/23 144A | 1,000,000 | 1,096,500 | ||||
Pioneer Natural Resources Co. | ||||||
7.20%, 01/15/28D | 2,500,000 | 2,357,400 | ||||
Preston Corporation | ||||||
7.00%, 05/01/11 CONV | 250,000 | 228,125 | ||||
Pulte Homes, Inc. | ||||||
7.88%, 06/15/32 | 1,500,000 | 1,545,735 | ||||
6.38%, 05/15/33 | 1,000,000 | 866,538 | ||||
Qwest Corporation | ||||||
7.25%, 09/15/25 | 1,000,000 | 940,000 | ||||
6.88%, 09/15/33D | 2,250,000 | 1,957,500 | ||||
Raytheon Co. | ||||||
6.40%, 12/15/18 | 2,600,000 | 2,660,817 | ||||
7.20%, 08/15/27D | 250,000 | 276,125 | ||||
7.00%, 11/01/28 | 750,000 | 810,006 | ||||
Southern Natural Gas Co. | ||||||
7.35%, 02/15/31D | 1,750,000 | 1,687,859 | ||||
Sprint Capital Corporation | ||||||
6.88%, 11/15/28 | 3,450,000 | 3,485,466 | ||||
Swift Energy Co. | ||||||
7.63%, 07/15/11 | 150,000 | 150,000 | ||||
Tennessee Gas Pipeline Co. | ||||||
7.00%, 10/15/28D | 750,000 | 698,190 | ||||
Time Warner, Inc. | ||||||
7.63%, 04/15/31 | 35,000 | 37,794 | ||||
Toll Brothers Finance Corporation | ||||||
5.15%, 05/15/15 144A | 1,270,000 | 1,110,226 | ||||
5.15%, 05/15/15D | 15,000 | 13,113 | ||||
Union Pacific Resources Group | ||||||
7.15%, 05/15/28 | 250,000 | 257,975 | ||||
Verizon Global Funding Corporation | ||||||
5.85%, 09/15/35D | 2,420,000 | 2,112,067 | ||||
Verizon Maryland, Inc. | ||||||
5.13%, 06/15/33D | 50,000 | 38,339 | ||||
Verizon New York, Inc. | ||||||
7.38%, 04/01/32D | 385,000 | 380,607 | ||||
Viacom, Inc. | ||||||
6.88%, 04/30/36 144AD | 1,915,000 | 1,853,808 | ||||
Weyerhaeuser Co. | ||||||
7.13%, 07/15/23D | 500,000 | 492,730 | ||||
7.38%, 03/15/32D | 250,000 | 253,836 | ||||
Williams Cos, Inc. | ||||||
7.50%, 01/15/31 | 1,250,000 | 1,212,500 | ||||
Xerox Capital Trust I | ||||||
8.00%, 02/01/27 | 1,500,000 | 1,513,125 | ||||
XTO Energy, Inc. | ||||||
6.10%, 04/01/36 | 50,000 | 45,404 | ||||
Total Corporate Bonds | 75,558,774 | |||||
FOREIGN BONDS — 12.6% | ||||||
Argentina — 0.1% | ||||||
Republic of Argentina | ||||||
4.01%, 08/03/12† | 385,000 | 320,320 | ||||
Brazil — 1.1% | ||||||
Federal Republic of Brazil | ||||||
8.25%, 01/20/34D | 4,750,000 | 4,999,375 | ||||
Canada — 4.5% | ||||||
British Columbia Generic Residual | ||||||
4.80%, 06/09/14 STRIP(C)W | $ | 10,230,000 | $ | 6,261,900 | ||
Canada Generic Residual | ||||||
4.74%, 06/01/25 STRIP(C)W | 4,110,000 | 1,511,381 | ||||
Canadian Government | ||||||
4.50%, 09/01/07(C) | 2,205,000 | 1,975,809 | ||||
Kinder Morgan Finance Co. | ||||||
5.70%, 01/05/16 | 125,000 | 108,725 | ||||
6.40%, 01/05/36 | 665,000 | 545,532 | ||||
Macmillan Bloedel, Ltd. | ||||||
7.70%, 02/15/26 | 500,000 | 524,694 | ||||
Ontario Generic Residual | ||||||
5.24%, 07/13/22 STRIP(C)W | 3,900,000 | 1,519,753 | ||||
5.21%, 03/08/29 STRIP(C)W | 7,000,000 | 1,937,651 | ||||
Saskatchewan Residual | ||||||
4.81%, 04/10/14 STRIP(C)W | 7,500,000 | 4,622,413 | ||||
5.17%, 02/04/22 STRIP(C)W | 3,000,000 | 1,199,140 | ||||
20,206,998 | ||||||
Cayman Islands — 0.2% | ||||||
Enersis SA | ||||||
7.40%, 12/01/16 | 625,000 | 636,772 | ||||
Vale Overseas, Ltd. | ||||||
8.25%, 01/17/34 | 100,000 | 108,375 | ||||
745,147 | ||||||
Egypt — 2.3% | ||||||
Egypt Government AID Bonds | ||||||
4.45%, 09/15/15 | 10,915,000 | 10,121,992 | ||||
Malaysia — 0.0% | ||||||
Telekom Malaysia BHD | ||||||
7.88%, 08/01/25 144A | 225,000 | 258,013 | ||||
Mexico — 0.7% | ||||||
Mexican Bonos | ||||||
9.00%, 12/20/12(M) | 23,000,000 | 2,051,722 | ||||
8.00%, 12/07/23(M) | 17,000,000 | 1,309,466 | ||||
3,361,188 | ||||||
Philippines — 0.2% | ||||||
Philippine Long Distance Telephone Co. | ||||||
8.35%, 03/06/17 | 500,000 | 525,000 | ||||
Quezon Power (Philippines), Ltd. | ||||||
8.86%, 06/15/17 | 435,000 | 432,825 | ||||
957,825 | ||||||
Spain — 0.7% | ||||||
Telefonica Emisones SAU | ||||||
7.05%, 06/20/36D | 3,105,000 | 3,112,958 | ||||
Supranational — 2.1% | ||||||
Inter-American Development Bank | ||||||
15.10%, 05/11/09(B)W | 7,500,000 | 2,278,499 | ||||
6.00%, 12/15/17(Z) | 12,250,000 | 7,218,044 | ||||
9,496,543 | ||||||
Sweden — 0.5% | ||||||
Swedish Government | ||||||
6.50%, 05/05/08(K) | 14,640,000 | 2,149,797 | ||||
See Notes to Financial Statements.
65
Table of Contents
Extended-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
Par | Value | ||||||
Venezuela — 0.2% | |||||||
Cerro Negro Finance, Ltd. | |||||||
7.90%, 12/01/20 144A | $ | 500,000 | $ | 450,000 | |||
Petrozuata Finance, Inc. | |||||||
8.37%, 10/01/22 144AD | 450,000 | 407,250 | |||||
857,250 | |||||||
Total Foreign Bonds | 56,587,406 | ||||||
MORTGAGE-BACKED SECURITIES — 0.2% | |||||||
Federal Home Loan Mortgage Corporation | |||||||
5.00%, 12/01/31 | 204,761 | 191,664 | |||||
Federal National Mortgage Association | |||||||
5.00%, 07/25/23 | 822,355 | 814,507 | |||||
Total Mortgage-Backed Securities | 1,006,171 | ||||||
MUNICIPAL BONDS — 4.1% | |||||||
Chicago, Illinois Wastewater Transmission, Series A Revenue Bond (MBIA Insured) | |||||||
4.96%, 01/01/22W | 5,000,000 | 2,348,350 | |||||
Cook County, Illinois Community Consolidated School District, General Obligation Bond (FGIC Insured) | |||||||
4.89%, 12/01/19W | 3,890,000 | 2,068,041 | |||||
Coppell, Texas Independent School District, General Obligation Bond (PSF-GTD Insured) | |||||||
5.00%, 08/15/23W | 2,195,000 | 946,133 | |||||
De Soto, Texas Independent School District, General Obligation Bond (PSF-GTD Insured) | |||||||
4.84%, 08/15/18W | 2,275,000 | 1,281,007 | |||||
4.88%, 08/15/19W | 2,590,000 | 1,381,946 | |||||
Galveston County, Texas, General Obligation Bond (FGIC Insured) | |||||||
5.07%, 02/01/26W | 2,500,000 | 940,250 | |||||
Granbury, Texas Independent School District, General Obligation Bond (PSF-GTD Insured) | |||||||
4.91%, 08/01/20W | 1,000,000 | 505,370 | |||||
Houston, Texas Water & Sewer System, Series JR-A Revenue Bond (FSA Insured) | |||||||
4.88%, 12/01/24W | 7,190,000 | 2,923,670 | |||||
5.03%, 12/01/24W | 2,810,000 | 1,132,430 | |||||
Indianapolis, Indiana Local Public Improvement Bond Bank, Series E Revenue Bond (AMBAC Insured) | |||||||
5.01%, 02/01/24W | 1,400,000 | 600,124 | |||||
Rocklin, California Unified School District, General Obligation Bond (FGIC Insured) | |||||||
5.02%, 08/01/24W | 2,375,000 | 986,836 | |||||
San Jose, California Unified School District, Santa Clara County, Series A General Obligation Bond (FGIC Insured) | |||||||
4.83%, 08/01/18W | 2,055,000 | 1,188,324 | |||||
Union Elementary School District, California, Series A General Obligation Bond (FGIC Insured) | |||||||
4.88%, 09/01/19W | 1,750,000 | 936,565 | |||||
Washington State Capital Appreciation, Series F General Obligation Bond (MBIA Insured) | |||||||
5.12%, 12/01/27W | 1,340,000 | 457,945 | |||||
West Virginia University, Series A Revenue Bond (AMBAC Insured) | |||||||
4.99%, 04/01/23W | 1,665,000 | 738,144 | |||||
Total Municipal Bonds | 18,435,135 | ||||||
Shares | |||||||
PREFERRED STOCK — 0.2% | |||||||
Travelers Property Casualty Corporation 4.50%, 04/15/32 CONV | |||||||
(Cost $989,021) | 44,125 | 1,081,945 | |||||
MONEY MARKET FUNDS — 29.8% | |||||||
GuideStone Funds Money Market Fund (GS4 Class)¥ | 6,400,857 | 6,400,857 | |||||
Northern Institutional Liquid Assets Portfolio§ | 127,007,615 | 127,007,615 | |||||
Total Money Market Funds | 133,408,472 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATIONS — 62.6% | |||||||
U.S. Treasury Bonds | |||||||
8.13%, 08/15/19D | $ | 18,720,000 | 23,705,679 | ||||
8.00%, 11/15/21D | 134,482,000 | 172,031,929 | |||||
6.38%, 08/15/27D | 21,000,000 | 23,843,211 | |||||
5.38%, 02/15/31D | 36,915,000 | 37,563,929 | |||||
4.50%, 02/15/36D | 25,745,000 | 23,092,081 | |||||
280,236,829 | |||||||
Total U.S. Treasury Obligations | 280,236,829 | ||||||
TOTAL INVESTMENTS — 127.2% | 569,833,727 | ||||||
Liabilities in Excess of Other Assets — (27.2)% | (121,762,858 | ) | |||||
NET ASSETS — 100.0% | $ | 448,070,869 | |||||
See Notes to Financial Statements.
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PORTFOLIO SUMMARY+
% | ||
U.S. Treasury Obligations | 62.6 | |
Money Market Funds | 29.8 | |
Corporate Bonds | 16.9 | |
Foreign Bonds | 12.6 | |
Municipal Bonds | 4.1 | |
Agency Obligations | 0.4 | |
Asset-Backed Security | 0.4 | |
Mortgage-Backed Securities | 0.2 | |
Preferred Stock | 0.2 | |
127.2 | ||
+ | Based on net assets. |
See Notes to Financial Statements.
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Table of Contents
Average Annual Total Returns as of 6/30/06
GS2 Class* | GS4 Class* | GS6 Class* | Benchmark** | GS8 Class* | GS8 Class Benchmark** | |||||||
One Year | 8.41% | 8.17% | 7.96% | 8.63% | 7.64% | 8.63% | ||||||
Since Inception | 2.84% | 2.85% | 2.73% | 3.23% | 6.47% | 7.31% | ||||||
Inception Date | 08/27/01 | 08/27/01 | 08/27/01 | 08/27/01 | 11/08/04 | 11/08/04 |
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.GuideStoneFunds.org. 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.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the S&P 500® Index.
* | These returns reflect expense waivers by the Fund’s investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
** | The S&P 500® Index is an unmanaged index (with no defined investment objective) of common stocks, includes reinvestment of dividends, and is a registered trademark of McGraw-Hill Co., Inc. The S&P 500® Index includes 500 of the largest stocks (in terms of market value) in the United States. |
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
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Table of Contents
Equity Index Fund | ||
SCHEDULE OF INVESTMENTS | June 30, 2006 (Unaudited) |
Shares | Value | ||||
COMMON STOCKS — 97.2% | |||||
Auto & Transportation — 2.6% | |||||
Burlington Northern Santa Fe Corporation | 16,400 | $ | 1,299,700 | ||
Cooper Tire & Rubber Co.D | 3,100 | 34,534 | |||
CSX Corporation | 9,200 | 648,048 | |||
FedEx Corporation | 13,200 | 1,542,552 | |||
Ford Motor Co.D | 83,027 | 575,377 | |||
General Motors CorporationD | 25,100 | 747,729 | |||
Genuine Parts Co.D | 7,300 | 304,118 | |||
Goodyear Tire & Rubber Co. (The)D* | 8,100 | 89,910 | |||
Harley-Davidson, Inc. | 11,700 | 642,213 | |||
Navistar International CorporationD* | 2,600 | 63,986 | |||
Norfolk Southern Corporation | 17,600 | 936,672 | |||
PACCAR, Inc. | 7,575 | 624,029 | |||
Southwest Airlines Co. | 31,200 | 510,744 | |||
Union Pacific Corporation | 11,700 | 1,087,632 | |||
United Parcel Service, Inc. Class B | 47,900 | 3,943,607 | |||
13,050,851 | |||||
Consumer Discretionary — 11.6% | |||||
Alberto-Culver Co.D* | 3,550 | 172,956 | |||
Allied Waste Industries, Inc.D* | 9,400 | 106,784 | |||
Amazon.com, Inc.D* | 13,284 | 513,825 | |||
Apollo Group, Inc. Class A* | 6,321 | 326,606 | |||
AutoNation, Inc.D* | 7,725 | 165,624 | |||
AutoZone, Inc.* | 2,400 | 211,680 | |||
Avon Products, Inc. | 19,400 | 601,400 | |||
Bed Bath & Beyond, Inc.* | 12,700 | 421,259 | |||
Best Buy Co., Inc. | 17,425 | 955,587 | |||
Big Lots, Inc.D* | 4,800 | 81,984 | |||
Black & Decker CorporationD | 3,300 | 278,718 | |||
Carnival Corporation | 19,400 | 809,756 | |||
CBS Corporation Class B | 34,300 | 927,815 | |||
Cendant Corporation | 44,400 | 723,276 | |||
Cintas Corporation | 6,400 | 254,464 | |||
Circuit City Stores, Inc. | 7,300 | 198,706 | |||
Clear Channel Communi- cations, Inc.* | 22,300 | 690,185 | |||
Coach, Inc.* | 16,200 | 484,380 | |||
Convergys Corporation* | 6,000 | 117,000 | |||
Costco Wholesale Corporation | 20,400 | 1,165,452 | |||
Darden Restaurants, Inc. | 5,950 | 234,430 | |||
Dillard’s, Inc. Class AD | 3,300 | 105,105 | |||
Dollar General Corporation | 13,600 | 190,128 | |||
Donnelley (R.R.) & Sons Co. | 9,100 | 290,745 | |||
Eastman Kodak Co.D | 13,000 | 309,140 | |||
eBay, Inc.* | 49,600 | 1,452,784 | |||
Electronic Arts, Inc.* | 13,600 | 585,344 | |||
Estee Lauder Cos., Inc. Class A | 5,200 | 201,084 | |||
Family Dollar Stores, Inc. | 6,700 | 163,681 | |||
Federated Department Stores, Inc. | 24,312 | 889,819 | |||
Gannett Co., Inc. | 10,500 | 587,265 | |||
Gap, Inc. (The) | 24,700 | 429,780 | |||
Google, Inc.* | 8,959 | 3,756,777 | |||
Harman International Industries, Inc. | 2,800 | 239,036 | |||
Hasbro, Inc. | 7,400 | 134,014 | |||
Hilton Hotels Corporation | 14,200 | 401,576 | |||
Home Depot, Inc. (The)D | 89,850 | 3,215,732 | |||
International Flavors & Fragrances, Inc.D | 3,900 | 137,436 | |||
Interpublic Group Cos., Inc.D* | 17,500 | 146,125 | |||
Jones Apparel Group, Inc. | 5,100 | 162,129 | |||
Kimberly-Clark Corporation | 19,800 | 1,221,660 | |||
Kohl’s Corporation* | 14,600 | 863,152 | |||
Leggett & Platt, Inc. | 8,000 | 199,840 | |||
Limited Brands | 15,000 | 383,850 | |||
Liz Claiborne, Inc.D | 4,608 | 170,773 | |||
Lowe’s Cos., Inc. | 33,700 | 2,044,579 | |||
Marriott International, Inc. Class AD | 14,000 | 533,680 | |||
Mattel, Inc. | 17,400 | 287,274 | |||
McClatchy Co. Class A | — | 8 | |||
McDonald’s Corporation | 54,400 | 1,827,840 | |||
McGraw-Hill Co., Inc. (The) | 16,300 | 818,749 | |||
Meredith CorporationD | 1,900 | 94,126 | |||
Monster Worldwide, Inc.* | 5,300 | 226,098 | |||
New York Times Co. Class AD | 6,000 | 147,240 | |||
Newell Rubbermaid, Inc. | 11,500 | 297,045 | |||
Nike, Inc. Class B | 8,200 | 664,200 | |||
Nordstrom, Inc. | 9,400 | 343,100 | |||
Office Depot, Inc.* | 13,100 | 497,800 | |||
OfficeMax, Inc. | 3,000 | 122,250 | |||
Omnicom Group, Inc. | 7,900 | 703,811 | |||
Penney (JC) Co., Inc.D | 10,100 | 681,851 | |||
RadioShack CorporationD | 5,800 | 81,200 | |||
Robert Half International, Inc.D | 7,000 | 294,000 | |||
Sabre Holdings Corporation | 6,400 | 140,800 | |||
Scripps Co. (E.W.) Class A | 3,700 | 159,618 | |||
Sears Holdings Corporation* | 4,489 | 695,077 | |||
Snap-On, Inc.D | 2,400 | 97,008 | |||
Stanley Works (The) | 3,200 | 151,104 | |||
Staples, Inc. | 31,200 | 758,784 | |||
Starbucks Corporation* | 33,800 | 1,276,288 | |||
Starwood Hotels & Resorts Worldwide, Inc. | 9,600 | 579,264 | |||
Target Corporation | 38,300 | 1,871,721 | |||
Tiffany & Co.D | 6,100 | 201,422 | |||
Time Warner, Inc. | 186,200 | 3,221,260 | |||
TJX Cos., Inc. | 20,000 | 457,200 | |||
Tribune Co.D | 11,300 | 366,459 | |||
Univision Communications, Inc. Class A* | 9,600 | 321,600 | |||
VeriSign, Inc.D* | 10,500 | 243,285 | |||
VF Corporation | 4,000 | 271,680 | |||
Wal-Mart Stores, Inc. | 107,900 | 5,197,543 | |||
Walt Disney Co. (The) | 95,802 | 2,874,060 | |||
Waste Management, Inc. | 24,800 | 889,824 | |||
Wendy’s International, Inc. | 4,800 | 279,792 | |||
Whirlpool CorporationD | 3,295 | 272,305 | |||
Yahoo!, Inc.* | 54,300 | 1,791,900 | |||
Yum! Brands, Inc. | 11,900 | 598,213 | |||
58,059,920 | |||||
Consumer Staples — 5.7% | |||||
Campbell Soup Co. | 7,900 | 293,169 | |||
Clorox Co. | 6,400 | 390,208 | |||
Coca-Cola Co. (The) | 89,900 | 3,867,498 | |||
Coca-Cola Enterprises, Inc. | 14,400 | 293,328 | |||
Colgate-Palmolive Co. | 22,600 | 1,353,740 | |||
ConAgra Foods, Inc.D | 22,000 | 486,420 | |||
CVS Corporation | 34,800 | 1,068,360 | |||
Dean Foods Co.D* | 5,900 | 219,421 | |||
General Mills, Inc. | 15,200 | 785,232 | |||
Heinz (H.J.) Co. | 14,500 | 597,690 | |||
Hershey Co. (The) | 7,800 | 429,546 |
See Notes to Financial Statements.
69
Table of Contents
Equity Index Fund
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | ||||
Kellogg Co. | 10,900 | $ | 527,887 | ||
Kroger Co. | 31,000 | 677,660 | |||
McCormick & Co., Inc. | 5,700 | 191,235 | |||
Pepsi Bottling Group, Inc. | 6,700 | 215,405 | |||
PepsiCo, Inc. | 71,840 | 4,313,273 | |||
Procter & Gamble Co. | 143,617 | 7,985,105 | |||
Safeway, Inc. | 20,000 | 520,000 | |||
Sara Lee Corporation | 32,700 | 523,854 | |||
SUPERVALU, Inc. | 8,548 | 262,424 | |||
SYSCO Corporation | 26,700 | 815,952 | |||
Tyson Foods, Inc. Class A | 12,100 | 179,806 | |||
Walgreen Co. | 43,700 | 1,959,508 | |||
Whole Foods Market, Inc. | 6,000 | 387,840 | |||
Wrigley (W.M.), Jr. Co. | 9,625 | 436,590 | |||
28,781,151 | |||||
Financial Services — 22.4% | |||||
ACE, Ltd.D | 13,600 | 688,024 | |||
AFLAC, Inc. | 21,100 | 977,985 | |||
Allstate Corporation (The) | 27,752 | 1,518,867 | |||
AMBAC Financial Group, Inc. | 4,700 | 381,170 | |||
American Express Co. | 53,900 | 2,868,558 | |||
American International Group, Inc. | 112,292 | 6,630,843 | |||
Ameriprise Financial, Inc. | 10,640 | 475,289 | |||
AmSouth Bancorporation | 14,700 | 388,815 | |||
AON Corporation | 14,100 | 490,962 | |||
Apartment Investment & Management Co. Class A REIT | 4,300 | 186,835 | |||
Archstone-Smith Trust REIT | 8,400 | 427,308 | |||
Automatic Data Processing, Inc. | 24,500 | 1,111,075 | |||
Bank of America Corporation | 198,363 | 9,541,260 | |||
Bank of New York Co., Inc. (The) | 34,600 | 1,114,120 | |||
BB&T Corporation | 23,700 | 985,683 | |||
Bear Stearns Cos., Inc. (The) | 5,010 | 701,801 | |||
Block (H&R), Inc.D | 13,800 | 329,268 | |||
Boston Properties, Inc. REITD | 3,900 | 352,560 | |||
Capital One Financial Corporation | 12,900 | 1,102,305 | |||
Chubb Corporation | 16,700 | 833,330 | |||
CIGNA Corporation | 5,200 | 512,252 | |||
Cincinnati Financial Corporation | 7,386 | 347,216 | |||
CIT Group, Inc. | 9,000 | 470,610 | |||
Citigroup, Inc. | 216,330 | 10,435,759 | |||
Comerica, Inc. | 7,200 | 374,328 | |||
Commerce Bancorp, Inc.D | 8,000 | 285,360 | |||
Compass Bancshares, Inc. | 4,700 | 261,320 | |||
Countrywide Financial Corporation | 26,008 | 990,385 | |||
Dow Jones & Co., Inc.D | 2,954 | 103,419 | |||
E*TRADE Financial Corporation* | 18,600 | 424,452 | |||
Equifax, Inc. | 5,900 | 202,606 | |||
Equity Office Properties Trust REITD | 17,800 | 649,878 | |||
Equity Residential Properties Trust REITD | 11,900 | 532,287 | |||
Fannie Mae | 42,500 | 2,044,250 | |||
Federated Investors, Inc. Class BD | 4,500 | 141,750 | |||
Fifth Third BancorpD | 23,294 | 860,713 | |||
First Data Corporation | 33,017 | 1,487,086 | |||
First Horizon National Corporation | 5,200 | 209,040 | |||
Fiserv, Inc.* | 8,500 | 385,560 | |||
Franklin Resources, Inc. | 6,600 | 572,946 | |||
Freddie Mac | 30,200 | 1,721,702 | |||
Genworth Financial, Inc. Class AD | 16,200 | 564,408 | |||
Golden West Financial Corporation | 11,000 | 816,200 | |||
Goldman Sachs Group, Inc. | 19,112 | 2,875,018 | |||
Hartford Financial Services Group, Inc. | 13,200 | 1,116,720 | |||
Huntington Bancshares, Inc.D | 12,100 | 285,318 | |||
Janus Capital Group, Inc. | 10,000 | 179,000 | |||
JPMorgan Chase & Co. | 152,430 | 6,402,060 | |||
KeyCorp | 17,200 | 613,696 | |||
Kimco Realty Corporation REITD | 8,700 | 317,463 | |||
Legg Mason, Inc. | 5,740 | 571,245 | |||
Lehman Brothers Holdings, Inc. | 23,200 | 1,511,480 | |||
Lincoln National Corporation | 13,019 | 734,766 | |||
Loews Corporation | 17,400 | 616,830 | |||
M & T Bank Corporation | 3,800 | 448,096 | |||
Marsh & McLennan Cos., Inc. | 23,200 | 623,848 | |||
Marshall & Ilsley Corporation | 9,300 | 425,382 | |||
MBIA, Inc.D | 6,300 | 368,865 | |||
Mellon Financial Corporation | 17,800 | 612,854 | |||
Merrill Lynch & Co., Inc. | 39,980 | 2,781,009 | |||
MetLife, Inc. | 32,300 | 1,654,083 | |||
MGIC Investment Corporation | 4,100 | 266,500 | |||
Moody’s Corporation | 10,500 | 571,830 | |||
Morgan Stanley | 46,400 | 2,932,944 | |||
National City Corporation | 24,800 | 897,512 | |||
North Fork Bancorporation, Inc. | 21,750 | 656,197 | |||
Northern Trust CorporationD | 8,100 | 447,930 | |||
Paychex, Inc. | 14,900 | 580,802 | |||
Plum Creek Timber Co., Inc. REIT | 7,700 | 273,350 | |||
PNC Financial Services Group, Inc.D | 12,200 | 856,074 | |||
Principal Financial GroupD | 12,600 | 701,190 | |||
Progressive Corporation (The) | 34,796 | 894,605 | |||
Prologis Trust REIT | 10,500 | 547,260 | |||
Prudential Financial, Inc. | 21,600 | 1,678,320 | |||
Public Storage, Inc. REIT | 4,100 | 311,190 | |||
Regions Financial Corporation | 20,308 | 672,601 | |||
Ryder System, Inc.D | 2,700 | 157,761 | |||
Safeco Corporation | 5,400 | 304,290 | |||
Schwab (Charles) Corporation (The) | 45,850 | 732,683 | |||
Simon Property Group, Inc. REIT | 8,100 | 671,814 | |||
SLM Corporation | 18,100 | 957,852 | |||
Sovereign Bancorp, Inc.D | 16,065 | 326,280 | |||
St. Paul Travelers Cos., Inc. | 30,656 | 1,366,644 | |||
State Street Corporation | 14,000 | 813,260 | |||
SunTrust Banks, Inc. | 15,600 | 1,189,656 | |||
Synovus Financial CorporationD | 12,700 | 340,106 | |||
T Rowe Price Group, Inc. | 10,800 | 408,348 | |||
Torchmark Corporation | 4,600 | 279,312 | |||
UnumProvident CorporationD | 12,400 | 224,812 | |||
US Bancorp | 78,900 | 2,436,432 | |||
Vornado Realty Trust REIT | 5,000 | 487,750 | |||
Wachovia Corporation | 70,582 | 3,817,075 | |||
Washington Mutual, Inc. | 41,746 | 1,902,783 |
See Notes to Financial Statements.
70
Table of Contents
Shares | Value | ||||
Wells Fargo & Co. | 73,430 | $ | 4,925,684 | ||
XL Capital, Ltd. Class A | 7,700 | 472,010 | |||
Zions Bancorporation | 4,100 | 319,554 | |||
112,059,729 | |||||
Healthcare — 12.0% | |||||
Abbott Laboratories | 67,400 | 2,939,314 | |||
Aetna, Inc. | 24,400 | 974,292 | |||
Allergan, Inc. | 6,615 | 709,525 | |||
AmerisourceBergen Corporation | 8,944 | 374,933 | |||
Amgen, Inc.* | 51,265 | 3,344,016 | |||
Bard (C.R.), Inc. | 4,400 | 322,344 | |||
Bausch & Lomb, Inc.D | 2,200 | 107,888 | |||
Baxter International, Inc. | 27,600 | 1,014,576 | |||
Becton Dickinson & Co. | 10,600 | 647,978 | |||
Biogen Idec, Inc.* | 15,330 | 710,239 | |||
Biomet, Inc.D | 10,900 | 341,061 | |||
Boston Scientific Corporation* | 52,800 | 889,152 | |||
Bristol-Myers Squibb Co. | 86,100 | 2,226,546 | |||
Cardinal Health, Inc. | 18,200 | 1,170,806 | |||
Caremark Rx, Inc. | 20,000 | 997,400 | |||
Conventry Health Care, Inc.* | 6,630 | 364,252 | |||
Eli Lilly & Co. | 49,600 | 2,741,392 | |||
Express Scripts, Inc.* | 6,400 | 459,136 | |||
Fisher Scientific International, Inc.* | 5,100 | 372,555 | |||
Forest Laboratories, Inc.* | 14,000 | 541,660 | |||
Genzyme Corporation* | 11,600 | 708,180 | |||
Gilead Sciences, Inc.* | 19,900 | 1,177,284 | |||
HCA, Inc. | 17,900 | 772,385 | |||
Health Management Associates, Inc. Class AD | 10,200 | 201,042 | |||
Hospira, Inc* | 6,550 | 281,257 | |||
Humana, Inc.* | 7,000 | 375,900 | |||
IMS Health, Inc. | 8,600 | 230,910 | |||
Johnson & Johnson | 129,990 | 7,789,001 | |||
King Pharmaceuticals, Inc.* | 10,100 | 171,700 | |||
Laboratory Corporation of America Holdings* | 5,600 | 348,488 | |||
Manor Care, Inc.D | 3,700 | 173,604 | |||
McKesson Corporation | 12,900 | 609,912 | |||
Medco Health Solutions, Inc.* | 13,176 | 754,721 | |||
Medimmune, Inc.D* | 10,600 | 287,260 | |||
Medtronic, Inc. | 53,000 | 2,486,760 | |||
Merck & Co., Inc. | 94,900 | 3,457,207 | |||
Millipore CorporationD* | 2,100 | 132,279 | |||
Mylan Laboratories, Inc.D | 9,300 | 186,000 | |||
Patterson Cos., Inc.D* | 6,000 | 209,580 | |||
Pfizer, Inc. | 320,783 | 7,528,777 | |||
Quest Diagnostics, Inc.D | 7,200 | 431,424 | |||
Schering-Plough Corporation | 63,100 | 1,200,793 | |||
St. Jude Medical, Inc.* | 16,400 | 531,688 | |||
Stryker Corporation | 12,700 | 534,797 | |||
Tenet Healthcare CorporationD* | 19,450 | 135,761 | |||
UnitedHealth Group, Inc. | 59,400 | 2,659,932 | |||
Watson Pharmaceuticals, Inc.* | 4,600 | 107,088 | |||
WellPoint, Inc.* | 27,712 | 2,016,602 | |||
Wyeth | 58,300 | 2,589,103 | |||
Zimmer Holdings, Inc.* | 11,120 | 630,726 | |||
59,969,226 | |||||
Integrated Oils — 6.2% | |||||
Chevron Corporation | 96,541 | 5,991,347 | |||
ConocoPhillips | 71,958 | 4,715,408 | |||
ExxonMobil Corporation | 263,044 | 16,137,749 | |||
Hess CorporationD | 10,800 | 570,780 | |||
Marathon Oil Corporation | 16,092 | 1,340,464 | |||
Murphy Oil CorporationD | 7,100 | 396,606 | |||
Occidental Petroleum Corporation | 18,800 | 1,927,940 | |||
31,080,294 | |||||
Materials & Processing — 3.6% | |||||
Air Products & Chemicals, Inc. | 9,500 | 607,240 | |||
Alcoa, Inc. | 37,200 | 1,203,792 | |||
Allegheny Technologies, Inc. | 3,700 | 256,188 | |||
American Standard Cos., Inc. | 7,700 | 333,179 | |||
Archer-Daniels-Midland Co. | 28,627 | 1,181,722 | |||
Ashland, Inc. | 2,900 | 193,430 | |||
Avery Dennison Corporation | 4,600 | 267,076 | |||
Ball CorporationD | 4,592 | 170,088 | |||
Bemis Co. | 4,500 | 137,790 | |||
Dow Chemical Co. (The) | 42,600 | 1,662,678 | |||
duPont (E.I.) de Nemours & Co. | 39,555 | 1,645,488 | |||
Eastman Chemical Co. | 3,500 | 189,000 | |||
Ecolab, Inc.D | 8,100 | 328,698 | |||
Fluor Corporation | 3,600 | 334,548 | |||
Freeport-McMoRan Copper & Gold, Inc. Class BD | 8,100 | 448,821 | |||
Hercules, Inc.D* | 4,600 | 70,196 | |||
International Paper Co. | 21,300 | 687,990 | |||
Louisiana-Pacific Corporation | 4,500 | 98,550 | |||
Masco Corporation | 18,600 | 551,304 | |||
MeadWestvaco Corporation | 8,045 | 224,697 | |||
Monsanto Co. | 11,960 | 1,006,912 | |||
Newmont Mining Corporation | 19,300 | 1,021,549 | |||
Nucor CorporationD | 13,400 | 726,950 | |||
Pactiv Corporation* | 7,000 | 173,250 | |||
Phelps Dodge Corporation | 9,000 | 739,440 | |||
PPG Industries, Inc. | 7,100 | 468,600 | |||
Praxair, Inc. | 13,580 | 733,320 | |||
Rohm & Haas Co.D | 6,700 | 335,804 | |||
Sealed Air CorporationD | 3,500 | 182,280 | |||
Sherwin-Williams Co. | 4,800 | 227,904 | |||
Sigma-Aldrich CorporationD | 2,900 | 210,656 | |||
Temple-Inland, Inc. | 4,800 | 205,776 | |||
United States Steel Corporation | 4,700 | 329,564 | |||
Vulcan Materials Co. | 4,300 | 335,400 | |||
Weyerhaeuser Co. | 10,600 | 659,850 | |||
17,949,730 | |||||
Other — 4.3% | |||||
3M Co. | 33,300 | 2,689,641 | |||
Brunswick Corporation | 4,000 | 133,000 | |||
Eaton Corporation | 6,300 | 475,020 | |||
General Electric Co. | 453,600 | 14,950,656 | |||
Honeywell International, Inc. | 35,800 | 1,442,740 | |||
ITT Industries, Inc. | 7,800 | 386,100 | |||
Johnson Controls, Inc. | 8,192 | 673,546 | |||
Textron, Inc. | 5,800 | 534,644 | |||
21,285,347 | |||||
Other Energy — 3.9% | |||||
Anadarko Petroleum Corporation | 19,800 | 944,262 | |||
Apache Corporation | 14,748 | 1,006,551 | |||
Baker Hughes, Inc. | 15,200 | 1,244,120 | |||
BJ Services Co. | 13,900 | 517,914 | |||
Chesapeake Energy CorporationD | 16,100 | 487,025 | |||
Consol Energy, Inc.D | 4,257 | 198,887 |
See Notes to Financial Statements.
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Table of Contents
Equity Index Fund
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | ||||
Devon Energy Corporation | 19,000 | $ | 1,147,790 | ||
Dynegy, Inc. Class AD* | 14,500 | 79,315 | |||
El Paso Corporation | 27,400 | 411,000 | |||
EOG Resources, Inc. | 10,300 | 714,202 | |||
Halliburton Co. | 22,600 | 1,677,146 | |||
Kerr-McGee Corporation | 9,930 | 688,645 | |||
Nabors Industries, Ltd.D* | 13,200 | 446,028 | |||
National Oilwell Varco, Inc.D* | 7,300 | 462,236 | |||
Noble Corporation | 5,700 | 424,194 | |||
Rowan Cos., Inc.D | 5,200 | 185,068 | |||
Schlumberger, Ltd. | 51,000 | 3,320,610 | |||
Sunoco, Inc. | 6,000 | 415,740 | |||
TransOcean, Inc.* | 14,000 | 1,124,480 | |||
Valero Energy Corporation | 27,100 | 1,802,692 | |||
Weatherford International, Ltd.* | 15,498 | 769,011 | |||
Williams Cos., Inc. | 25,100 | 586,336 | |||
XTO Energy, Inc. | 15,966 | 706,815 | |||
19,360,067 | |||||
Producer Durables — 5.0% | |||||
Agilent Technologies, Inc.* | 19,000 | 599,640 | |||
American Power Conversion | |||||
CorporationD | 7,400 | 144,226 | |||
Andrew Corporation* | 8,000 | 70,880 | |||
Applied Materials, Inc. | 68,300 | 1,111,924 | |||
Boeing Co. (The) | 34,500 | 2,825,895 | |||
Caterpillar, Inc. | 28,900 | 2,152,472 | |||
Centex Corporation | 5,300 | 266,590 | |||
Cooper Industries, Ltd. Class A | 3,900 | 362,388 | |||
Cummins, Inc.D | 1,900 | 232,275 | |||
Danaher CorporationD | 10,200 | 656,064 | |||
Deere & Co.D | 10,400 | 868,296 | |||
Dover Corporation | 9,000 | 444,870 | |||
DR Horton, Inc.D | 11,700 | 278,694 | |||
Emerson Electric Co. | 17,800 | 1,491,818 | |||
Goodrich Corporation | 5,500 | 221,595 | |||
Grainger (W.W.), Inc. | 3,700 | 278,351 | |||
Illinois Tool Works, Inc. | 18,000 | 855,000 | |||
Ingersoll-Rand Co., Ltd. Class A | 14,600 | 624,588 | |||
KB HOME | 3,300 | 151,305 | |||
KLA-Tencor Corporation | 8,700 | 361,659 | |||
Lennar Corporation Class A | 6,200 | 275,094 | |||
Lexmark International, Inc.* | 4,700 | 262,401 | |||
Lockheed Martin Corporation | 15,900 | 1,140,666 | |||
Molex, Inc.D | 6,950 | 233,312 | |||
Northrop Grumman Corporation | 15,556 | 996,517 | |||
Novellus Systems, Inc.* | 6,400 | 158,080 | |||
Pall CorporationD | 5,200 | 145,600 | |||
Parker Hannifin Corporation | 5,000 | 388,000 | |||
Pitney Bowes, Inc. | 9,700 | 400,610 | |||
Pulte Homes, Inc. | 9,308 | 267,977 | |||
Rockwell Collins, Inc. | 7,900 | 441,373 | |||
Tektronix, Inc. | 3,500 | 102,970 | |||
Teradyne, Inc.* | 8,100 | 112,833 | |||
Thermo Electron Corporation* | 6,710 | 243,171 | |||
Tyco International, Ltd. | 86,884 | 2,389,310 | |||
United Technologies Corporation | 44,700 | 2,834,874 | |||
Waters Corporation* | 4,500 | 199,800 | |||
Xerox Corporation* | 41,800 | 581,438 | |||
25,172,556 | |||||
Technology — 12.5% | |||||
ADC Telecommunications, Inc.* | 4,828 | 81,400 | |||
Adobe Systems, Inc.* | 26,200 | 795,432 | |||
Advanced Micro Devices, Inc.D* | 21,200 | 517,704 | |||
Affiliated Computer Services, Inc. Class AD* | 5,000 | 258,050 | |||
Altera Corporation* | 15,500 | 272,025 | |||
Analog Devices, Inc. | 15,700 | 504,598 | |||
Apple Computer, Inc.* | 36,800 | 2,102,016 | |||
Applera Corporation-Applied Biosystems Group | 8,400 | 271,740 | |||
Autodesk, Inc.* | 10,360 | 357,006 | |||
Avaya, Inc.* | 17,948 | 204,966 | |||
BMC Software, Inc.* | 9,300 | 222,270 | |||
Broadcom Corporation Class A* | 19,450 | 584,472 | |||
CA, Inc. | 20,170 | 414,494 | |||
CIENA CorporationD* | 23,700 | 113,997 | |||
Cisco Systems, Inc.* | 266,500 | 5,204,745 | |||
Citrix Systems, Inc.* | 7,300 | 293,022 | |||
Computer Sciences Corporation* | 8,400 | 406,896 | |||
Compuware Corporation* | 16,100 | 107,870 | |||
Comverse Technology, Inc.* | 8,400 | 166,068 | |||
Corning, Inc.* | 67,000 | 1,620,730 | |||
Dell, Inc.* | 98,800 | 2,411,708 | |||
Electronic Data Systems CorporationD | 21,900 | 526,914 | |||
EMC Corporation* | 102,300 | 1,122,231 | |||
Freescale Semiconductor, Inc. Series B* | 18,411 | 541,283 | |||
Gateway, Inc.D* | 12,700 | 24,130 | |||
General Dynamics Corporation | 17,100 | 1,119,366 | |||
Hewlett-Packard Co. | 121,302 | 3,842,847 | |||
Intel Corporation | 254,700 | 4,826,565 | |||
International Business Machines Corporation | 67,900 | 5,216,078 | |||
Intuit, Inc.* | 8,000 | 483,120 | |||
Jabil Circuit, Inc.D | 8,000 | 204,800 | |||
JDS Uniphase CorporationD* | 71,000 | 179,630 | |||
Juniper Networks, Inc.D* | 24,600 | 393,354 | |||
L-3 Communications Holdings, Inc. | 5,000 | 377,100 | |||
Linear Technology CorporationD | 13,000 | 435,370 | |||
LSI Logic CorporationD* | 16,000 | 143,200 | |||
Lucent Technologies, Inc.D* | 198,476 | 480,312 | |||
Maxim Integrated Products, Inc. | 14,500 | 465,595 | |||
Micron Technology, Inc.* | 28,300 | 426,198 | |||
Microsoft Corporation | 381,400 | 8,886,620 | |||
Motorola, Inc. | 109,200 | 2,200,380 | |||
National Semiconductor Corporation | 15,000 | 357,750 | |||
NCR Corporation* | 7,800 | 285,792 | |||
Network Appliance, Inc.* | 16,600 | 585,980 | |||
Novell, Inc.D* | 15,900 | 105,417 | |||
Nvidia Corporation* | 15,300 | 325,737 | |||
Oracle Corporation* | 169,300 | 2,453,157 | |||
Parametric Technology CorporationD* | 4,480 | 56,941 | |||
PerkinElmer, Inc. | 5,300 | 110,770 | |||
PMC-Sierra, Inc.D* | 7,500 | 70,500 | |||
QLogic Corporation* | 7,000 | 120,680 | |||
Qualcomm, Inc. | 72,500 | 2,905,075 |
See Notes to Financial Statements.
72
Table of Contents
Shares | Value | ||||||
Raytheon Co. | 19,100 | $ | 851,287 | ||||
Rockwell Automation, Inc. | 7,600 | 547,276 | |||||
Sandisk CorporationD* | 8,200 | 418,036 | |||||
Sanmina-SCI Corporation* | 24,900 | 114,540 | |||||
Solectron Corporation* | 40,200 | 137,484 | |||||
Sun Microsystems, Inc.* | 152,900 | 634,535 | |||||
Symantec Corporation* | 44,870 | 697,280 | |||||
Symbol Technologies, Inc.D | 10,457 | 112,831 | |||||
Tellabs, Inc.* | 20,400 | 271,524 | |||||
Texas Instruments, Inc. | 69,000 | 2,090,010 | |||||
Unisys CorporationD* | 13,900 | 87,292 | |||||
Xilinx, Inc. | 15,700 | 355,605 | |||||
62,501,801 | |||||||
Utilities — 7.4% | |||||||
AES Corporation (The)* | 27,500 | 507,375 | |||||
Allegheny Energy, Inc.* | 6,600 | 244,662 | |||||
Alltel Corporation | 16,400 | 1,046,812 | |||||
Ameren CorporationD | 9,200 | 464,600 | |||||
American Electric Power Co., Inc. | 17,800 | 609,650 | |||||
AT&T, Inc.D | 168,700 | 4,705,043 | |||||
BellSouth CorporationD | 77,400 | 2,801,880 | |||||
Centerpoint Energy, Inc.D | 12,800 | 160,000 | |||||
CenturyTel, Inc. | 6,000 | 222,900 | |||||
Citizens Communications Co. | 14,500 | 189,225 | |||||
CMS Energy CorporationD* | 8,600 | 111,284 | |||||
Comcast Corporation Class A* | 92,615 | 3,032,215 | |||||
Consolidated Edison, Inc.D | 10,100 | 448,844 | |||||
Constellation Energy Group, Inc. | 7,300 | 397,996 | |||||
Dominion Resources, Inc. | 15,600 | 1,166,724 | |||||
DTE Energy Co.D | 7,300 | 297,402 | |||||
Duke Energy Corporation | 52,668 | 1,546,859 | |||||
Edison International | 14,500 | 565,500 | |||||
Embarq Corporation* | 6,444 | 264,140 | |||||
Entergy Corporation | 9,352 | 661,654 | |||||
Exelon CorporationD | 29,424 | 1,672,166 | |||||
FirstEnergy Corporation | 13,784 | 747,231 | |||||
FPL Group, Inc.D | 18,500 | 765,530 | |||||
KeySpan Corporation | 7,500 | 303,000 | |||||
Kinder Morgan, Inc.D | 4,500 | 449,505 | |||||
Nicor, Inc.D | 1,800 | 74,700 | |||||
NiSource, Inc.D | 11,000 | 240,240 | |||||
Peoples Energy CorporationD | 1,235 | 44,349 | |||||
PG&E Corporation | 15,800 | 620,624 | |||||
Pinnacle West Capital CorporationD | 3,800 | 151,658 | |||||
PPL Corporation | 15,600 | 503,880 | |||||
Progress Energy, Inc. | 11,200 | 480,144 | |||||
Public Service Enterprise Group, Inc. | 10,900 | 720,708 | |||||
Qwest Communications International, Inc.D* | 68,400 | 553,356 | |||||
Sempra Energy | 10,900 | 495,732 | |||||
Southern Co. (The) | 32,300 | 1,035,215 | |||||
Sprint Nextel Corporation | 128,893 | 2,576,571 | |||||
TECO Energy, Inc.D | 10,000 | 149,400 | |||||
TXU Corporation | 20,700 | 1,237,653 | |||||
Verizon Communications, Inc.D | 127,674 | 4,275,802 | |||||
Xcel Energy Inc.D | 16,700 | 320,306 | |||||
36,862,535 | |||||||
Total Common Stocks | 486,133,207 | ||||||
MONEY MARKET FUNDS — 8.2% | |||||||
GuideStone Funds Money Market Fund (GS4 Class)¥ | 12,743,613 | 12,743,613 | |||||
Northern Institutional Liquid Assets Portfolio§ | 28,095,055 | 28,095,055 | |||||
Total Money Market Funds | 40,838,668 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATION — 0.1% | |||||||
U.S. Treasury Bill | |||||||
4.66%, 09/21/06‡‡ | |||||||
(Cost $613,422) | $ | 620,000 | 613,423 | ||||
TOTAL INVESTMENTS — 105.5% | |||||||
(Cost $440,135,417) | 527,585,298 | ||||||
Liabilities in Excess of Other Assets — (5.5)% | (27,606,589 | ) | |||||
NET ASSETS — 100.0% | $ | 499,978,709 | |||||
PORTFOLIO SUMMARY+ | ||
% | ||
Financial Services | 22.4 | |
Technology | 12.5 | |
Healthcare | 12.0 | |
Consumer Discretionary | 11.6 | |
Money Market Funds | 8.2 | |
Utilities | 7.4 | |
Integrated Oils | 6.2 | |
Consumer Staples | 5.7 | |
Producer Durables | 5.0 | |
Other | 4.3 | |
Other Energy | 3.9 | |
Materials & Processing | 3.6 | |
Auto & Transportation | 2.6 | |
Futures Contracts | 1.7 | |
U.S. Treasury Obligation | 0.1 | |
107.2 | ||
+ | Based on net assets. |
See Notes to Financial Statements.
73
Table of Contents
Average Annual Total Returns as of 6/30/06 | ||||||||||||
GS2 Class* | GS4 Class* | GS6 Class* | Benchmark** | GS8 Class* | GS8 Class Benchmark** | |||||||
One Year | 10.58% | 10.39% | 9.95% | 12.10% | 9.54% | 12.10% | ||||||
Since Inception | 7.19% | 6.81% | 6.66% | 7.41% | 10.04% | 11.81% | ||||||
Inception Date | 08/27/01 | 08/27/01 | 08/27/01 | 08/27/01 | 11/08/04 | 11/08/04 |
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.GuideStoneFunds.org. 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.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Russell 1000® Value Index.
* | These returns reflect expense waivers by the Fund’s investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
** | The Russell 1000® Value Index is a large-cap index consisting of those Russell 1000® index securities with a less-than-average growth orientation. Companies in this index tend to exhibit lower price-to-book and price-earnings-ratios, higher dividend yields and lower forecasted growth values than the growth universe. |
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
74
Table of Contents
Value Equity Fund | ||
SCHEDULE OF INVESTMENTS | June 30, 2006 (Unaudited) |
Shares | Value | ||||
COMMON STOCKS — 95.7% | |||||
Auto & Transportation — 2.8% | |||||
Autoliv, Inc.D | 57,800 | $ | 3,269,746 | ||
Burlington Northern Santa Fe Corporation | 144,200 | 11,427,850 | |||
Con-Way, Inc. | 48,000 | 2,780,640 | |||
CSX Corporation | 181,000 | 12,749,640 | |||
General Motors CorporationD | 187,200 | 5,576,688 | |||
Norfolk Southern Corporation | 7,400 | 393,828 | |||
Union Pacific Corporation | 57,400 | 5,335,904 | |||
41,534,296 | |||||
Consumer Discretionary — 10.8% | |||||
AnnTaylor Stores Corporation* | 64,800 | 2,811,024 | |||
Avon Products, Inc. | 88,000 | 2,728,000 | |||
Brinker International, Inc. | 78,200 | 2,838,660 | |||
Carnival Corporation | 99,900 | 4,169,826 | |||
CBS Corporation Class B | 28,200 | 762,810 | |||
Cendant Corporation | 489,900 | 7,980,471 | |||
Clear Channel Communications, Inc.* | 202,700 | 6,273,565 | |||
Costco Wholesale Corporation | 6,400 | 365,632 | |||
Dillard’s, Inc. Class A | 53,500 | 1,703,975 | |||
DIRECTV Group, Inc. (The)* | 159,000 | 2,623,500 | |||
Eastman Kodak Co.D | 220,300 | 5,238,734 | |||
Federated Department Stores, Inc. | 218,100 | 7,982,460 | |||
Gannett Co., Inc.D | 128,500 | 7,187,005 | |||
Gap, Inc. (The) | 10,700 | 186,180 | |||
Home Depot, Inc. (The) | 6,700 | 239,793 | |||
Kimberly-Clark Corporation | 135,900 | 8,385,030 | |||
Mattel, Inc. | 626,100 | 10,336,911 | |||
McDonald’s Corporation | 418,500 | 14,061,600 | |||
Newell Rubbermaid, Inc. | 167,200 | 4,318,776 | |||
Office Depot, Inc.D* | 190,400 | 7,235,200 | |||
Penney (JC) Co., Inc.D | 54,100 | 3,652,291 | |||
RadioShack CorporationD | 128,050 | 1,792,700 | |||
Reader’s Digest AssociationD | 100,000 | 1,396,000 | |||
Sears Holdings Corporation* | 39,500 | 6,116,180 | |||
Sony Corporation ADRD | 152,000 | 6,694,080 | |||
Stanley Works (The)D | 187,500 | 8,853,750 | |||
Time Warner, Inc. | 950,900 | 16,450,570 | |||
Wal-Mart Stores, Inc. | 126,200 | 6,079,054 | |||
Walt Disney Co. (The) | 146,100 | 4,383,000 | |||
Waste Management, Inc.D | 184,357 | 6,614,729 | |||
159,461,506 | |||||
Consumer Staples — 3.7% | |||||
Campbell Soup Co.D | 92,300 | 3,425,253 | |||
Coca-Cola Co. (The) | 28,800 | 1,238,976 | |||
Colgate-Palmolive Co. | 2,500 | 149,750 | |||
ConAgra Foods, Inc. | 425,200 | 9,401,172 | |||
CVS Corporation | 3,600 | 110,520 | |||
General Mills, Inc. | 92,000 | 4,752,720 | |||
Heinz (H.J.) Co. | 178,800 | 7,370,136 | |||
Kellogg Co. | 2,800 | 135,604 | |||
Kraft Foods, Inc. Class AD | 224,800 | 6,946,320 | |||
Kroger Co.D | 204,300 | 4,465,998 | |||
Pepsi Bottling Group, Inc.D | 102,300 | 3,288,945 | |||
Procter & Gamble Co. | 108,500 | 6,032,600 | |||
Safeway, Inc. | 250,100 | 6,502,600 | |||
Sara Lee Corporation | 74,600 | 1,195,092 | |||
55,015,686 | |||||
Financial Services — 29.9% | |||||
A.G. Edwards, Inc.D | 29,600 | 1,637,472 | |||
ACE, Ltd. | 60,000 | 3,035,400 | |||
Allstate Corporation (The) | 314,100 | 17,190,693 | |||
AMBAC Financial Group, Inc.D | 43,800 | 3,552,180 | |||
American Express Co. | 76,000 | 4,044,720 | |||
American International Group, Inc. | 254,800 | 15,045,940 | |||
Bank of America Corporation | 587,490 | 28,258,269 | |||
Bank of New York Co., Inc. (The) | 30,600 | 985,320 | |||
BB&T Corporation | 22,900 | 952,411 | |||
Bear Stearns Cos., Inc. (The) | 5,100 | 714,408 | |||
Brascan CorporationD | 79,600 | 3,233,352 | |||
Capital One Financial Corporation | 144,500 | 12,347,525 | |||
CB Richard Ellis Group, Inc. Class AD* | 125,300 | 3,119,970 | |||
Chubb CorporationD | 242,900 | 12,120,710 | |||
CIGNA Corporation | 35,600 | 3,506,956 | |||
Citigroup, Inc. | 948,233 | 45,742,760 | |||
Comerica, Inc. | 116,100 | 6,036,039 | |||
Countrywide Financial CorporationD | 145,500 | 5,540,640 | |||
Crescent Real Estate Equities Co. REITD | 238,400 | 4,424,704 | |||
Fannie Mae | 114,600 | 5,512,260 | |||
Fifth Third Bancorp | 19,500 | 720,525 | |||
First American CorporationD | 45,800 | 1,935,966 | |||
Fiserv, Inc.D* | 69,500 | 3,152,520 | |||
Freddie Mac | 86,900 | 4,954,169 | |||
Fulton Financial Corporation | — | 8 | |||
Genworth Financial, Inc. Class A | 19,000 | 661,960 | |||
Golden West Financial Corporation | 4,900 | 363,580 | |||
Goldman Sachs Group, Inc. | 33,900 | 5,099,577 | |||
Hanover Insurance Group, Inc.D | 53,600 | 2,543,856 | |||
Hartford Financial Services Group, Inc. | 162,700 | 13,764,420 | |||
IndyMac Bancorp, Inc. | 65,800 | 3,016,930 | |||
Jones Lang LaSalle, Inc. | 14,400 | 1,260,720 | |||
JPMorgan Chase & Co. | 993,812 | 41,740,104 | |||
KeyCorp | 181,650 | 6,481,272 | |||
Lehman Brothers Holdings, Inc. | 105,300 | 6,860,295 | |||
Lincoln National Corporation | 12,000 | 677,280 | |||
Loews Corporation | 140,300 | 4,973,635 | |||
Marsh & McLennan Cos., Inc. | 23,100 | 621,159 | |||
Mellon Financial Corporation | 1,300 | 44,759 | |||
Merrill Lynch & Co., Inc. | 280,267 | 19,495,372 | |||
MetLife, Inc. | 19,000 | 972,990 | |||
MGIC Investment Corporation | 81,800 | 5,317,000 | |||
Morgan Stanley | 249,300 | 15,758,253 | |||
National City Corporation | 121,100 | 4,382,609 | |||
PMI Group, Inc. (The)D | 69,000 | 3,076,020 |
See Notes to Financial Statements.
75
Table of Contents
Value Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | ||||
PNC Financial Services Group, Inc. | 12,100 | $ | 849,057 | ||
Principal Financial GroupD | 86,200 | 4,797,030 | |||
Progressive Corporation (The) | 23,700 | 609,327 | |||
Prudential Financial, Inc. | 17,600 | 1,367,520 | |||
Radian Group, Inc.D | 53,800 | 3,323,764 | |||
Regions Financial Corporation | 19,100 | 632,592 | |||
Ryder System, Inc. | 54,200 | 3,166,906 | |||
Safeco CorporationD | 61,100 | 3,442,985 | |||
Simon Property Group, Inc. REIT | 4,100 | 340,054 | |||
SLM Corporation | 166,300 | 8,800,596 | |||
St. Paul Travelers Cos., Inc.D | 290,300 | 12,941,574 | |||
State Street Corporation | 1,100 | 63,899 | |||
SunTrust Banks, Inc. | 79,200 | 6,039,792 | |||
UnionBanCal Corporation | 28,300 | 1,827,897 | |||
UnumProvident CorporationD | 264,100 | 4,788,133 | |||
US Bancorp | 287,700 | 8,884,176 | |||
Wachovia Corporation | 202,000 | 10,924,160 | |||
Washington Mutual, Inc. | 582,600 | 26,554,908 | |||
Wells Fargo & Co. | 152,000 | 10,196,160 | |||
XL Capital, Ltd. Class AD | 115,200 | 7,061,760 | |||
441,488,998 | |||||
Healthcare — 9.7% | |||||
Abbott Laboratories | 12,400 | 540,764 | |||
Aetna, Inc. | 160,500 | 6,408,765 | |||
AmerisourceBergen CorporationD | 85,600 | 3,588,352 | |||
Baxter International, Inc. | 201,500 | 7,407,140 | |||
Biogen Idec, Inc.* | 7,400 | 342,842 | |||
Boston Scientific Corporation* | 153,900 | 2,591,676 | |||
Bristol-Myers Squibb Co. | 327,200 | 8,461,392 | |||
Cardinal Health, Inc.D | 45,100 | 2,901,283 | |||
Caremark Rx, Inc.D | 30,500 | 1,521,035 | |||
Community Health Systems, Inc.D* | 112,100 | 4,119,675 | |||
Eli Lilly & Co. | 9,800 | 541,646 | |||
HCA, Inc. | 113,000 | 4,875,950 | |||
Johnson & Johnson | 98,200 | 5,884,144 | |||
Kindred Healthcare, Inc.D* | 135,489 | 3,522,714 | |||
McKesson Corporation | 84,000 | 3,971,520 | |||
Medco Health Solutions, Inc.* | 107,700 | 6,169,056 | |||
Merck & Co., Inc. | 201,200 | 7,329,716 | |||
Millennium Pharmeceuticals, Inc.* | 422,000 | 4,207,340 | |||
Mylan Laboratories, Inc.D | 126,000 | 2,520,000 | |||
Pfizer, Inc. | 1,116,900 | 26,213,643 | |||
Schering-Plough Corporation | 398,700 | 7,587,261 | |||
Tenet Healthcare Corporation* | 485,600 | 3,389,488 | |||
Teva Pharmaceutical Industries, Ltd. ADR | 54,652 | 1,726,457 | |||
Triad Hospitals, Inc.* | 61,614 | 2,438,682 | |||
Watson Pharmaceuticals, Inc.* | 137,000 | 3,189,360 | |||
WellPoint, Inc.* | 112,200 | 8,164,794 | |||
Wyeth | 303,700 | 13,487,317 | |||
143,102,012 | |||||
Integrated Oils — 9.5% | |||||
BP PLC ADRD | 157,868 | 10,989,192 | |||
Chevron Corporation | 522,870 | 32,449,312 | |||
ConocoPhillips | 549,000 | 35,975,970 | |||
ExxonMobil Corporation | 631,900 | 38,767,065 | |||
Hess Corporation | 40,100 | 2,119,285 | |||
Marathon Oil Corporation | 81,900 | 6,822,270 | |||
Occidental Petroleum Corporation | 135,900 | 13,936,545 | |||
141,059,639 | |||||
Materials & Processing — 4.3% | |||||
Alcoa, Inc. | 269,500 | 8,721,020 | |||
Archer-Daniels-Midland Co. | 27,200 | 1,122,816 | |||
Dow Chemical Co. (The) | 157,900 | 6,162,837 | |||
duPont (E.I.) de Nemours & Co.D | 137,300 | 5,711,680 | |||
Eagle Materials, Inc. | 63,700 | 3,025,750 | |||
International Paper Co. | 20,600 | 665,380 | |||
IPSCO, Inc.D | 24,700 | 2,363,543 | |||
Lyondell Chemical Co.D | 282,600 | 6,403,716 | |||
Martin Marietta Materials, Inc. | 36,100 | 3,290,515 | |||
MeadWestvaco CorporationD | 383,000 | 10,697,190 | |||
Newmont Mining Corporation | 900 | 47,637 | |||
Nucor Corporation | 13,000 | 705,250 | |||
Owens-Illinois, Inc.D* | 81,200 | 1,360,912 | |||
Pactiv Corporation* | 264,300 | 6,541,425 | |||
Phelps Dodge Corporation | 8,400 | 690,144 | |||
United States Steel CorporationD | 74,000 | 5,188,880 | |||
Weyerhaeuser Co. | 10,300 | 641,175 | |||
63,339,870 | |||||
Other — 1.7% | |||||
3M Co. | 51,400 | 4,151,578 | |||
General Electric Co. | 376,300 | 12,402,848 | |||
Honeywell International, Inc. | 197,800 | 7,971,340 | |||
Johnson Controls, Inc. | 3,500 | 287,770 | |||
24,813,536 | |||||
Other Energy — 1.9% | |||||
Anadarko Petroleum Corporation | 163,400 | 7,792,546 | |||
Apache Corporation | 13,800 | 941,850 | |||
Devon Energy Corporation | 18,400 | 1,111,544 | |||
EOG Resources, Inc. | 5,500 | 381,370 | |||
Holly CorporationD | 70,800 | 3,412,560 | |||
PanCanadian Energy CorporationD | 74,500 | 3,921,680 | |||
Unit CorporationD* | 51,100 | 2,907,079 | |||
Valero Energy Corporation | 25,800 | 1,716,216 | |||
Williams Cos., Inc.D | 140,700 | 3,286,752 | |||
XTO Energy, Inc. | 78,700 | 3,484,049 | |||
28,955,646 | |||||
Producer Durables — 4.2% | |||||
AGCO Corporation* | 30,900 | 813,288 | |||
American Power Conversion CorporationD | 250,200 | 4,876,398 | |||
Boeing Co. (The) | 32,600 | 2,670,266 | |||
Centex Corporation | 37,600 | 1,891,280 | |||
Cummins, Inc.D | 29,900 | 3,655,275 | |||
Deere & Co. | 9,700 | 809,853 | |||
Emerson Electric Co. | 91,900 | 7,702,139 |
See Notes to Financial Statements.
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Table of Contents
Shares | Value | ||||||
Illinois Tool Works, Inc.D | 93,700 | $ | 4,450,750 | ||||
Lennar Corporation Class A | 51,800 | 2,298,366 | |||||
Lexmark International, Inc.* | 115,600 | 6,453,948 | |||||
Northrop Grumman CorporationD | 178,500 | 11,434,710 | |||||
Pitney Bowes, Inc. | 86,100 | 3,555,930 | |||||
Tyco International, Ltd. | 207,000 | 5,692,500 | |||||
United Technologies Corporation | 81,900 | 5,194,098 | |||||
61,498,801 | |||||||
Technology — 6.3% | |||||||
Avnet, Inc.* | 140,300 | 2,808,806 | |||||
Computer Sciences Corporation* | 30,600 | 1,482,264 | |||||
Electronic Data Systems CorporationD | 409,900 | 9,862,194 | |||||
EMC Corporation* | 11,600 | 127,252 | |||||
General Dynamics Corporation | 16,900 | 1,106,274 | |||||
Hewlett-Packard Co. | 519,600 | 16,460,928 | |||||
Intel CorporationD | 279,000 | 5,287,050 | |||||
International Business Machines Corporation | 159,500 | 12,252,790 | |||||
Intersil Corporation Class A | 177,000 | 4,115,250 | |||||
Lucent Technologies, Inc.D* | 2,020,000 | 4,888,400 | |||||
Microsoft Corporation | 74,000 | 1,724,200 | |||||
Motorola, Inc. | 244,100 | 4,918,615 | |||||
Nokia Corporation ADRD | 580,400 | 11,758,904 | |||||
Nortel Networks CorporationD* | 467,500 | 1,047,200 | |||||
Raytheon Co.D | 105,400 | 4,697,678 | |||||
Seagate Technology, Inc.+ | 4,600 | — | |||||
Solectron CorporationD* | 1,043,000 | 3,567,060 | |||||
Sun Microsystems, Inc.* | 1,489,200 | 6,180,180 | |||||
Symantec Corporation* | 24,300 | 377,622 | |||||
92,662,667 | |||||||
Utilities — 10.9% | |||||||
Alltel Corporation | 16,000 | 1,021,280 | |||||
American Electric Power Co., Inc.D | 444,100 | 15,210,425 | |||||
AT&T, Inc. | 687,509 | 19,174,626 | |||||
BCE, Inc.D* | 132,300 | 3,128,895 | |||||
BellSouth Corporation | 305,000 | 11,041,000 | |||||
CenturyTel, Inc. | 86,300 | 3,206,045 | |||||
Citizens Communications Co. | 114,500 | 1,494,225 | |||||
Comcast Corporation Class AD* | 400,600 | 13,115,644 | |||||
Dominion Resources, Inc.D | 67,400 | 5,040,846 | |||||
Duke Energy Corporation | 255,600 | 7,506,972 | |||||
Edison InternationalD | 80,500 | 3,139,500 | |||||
Entergy Corporation | 217,900 | 15,416,425 | |||||
Exelon Corporation | 4,400 | 250,052 | |||||
FirstEnergy CorporationD | 91,900 | 4,981,899 | |||||
FPL Group, Inc. | 16,700 | 691,046 | |||||
PG&E CorporationD | 98,200 | 3,857,296 | |||||
PPL CorporationD | 242,700 | 7,839,210 | |||||
Progress Energy, Inc. Contingent Value Obligation+* | 3,100 | 1,209 | |||||
Public Service Enterprise Group, Inc. | 10,800 | 714,096 | |||||
Qwest Communications International, Inc.* | 1,241,000 | 10,039,690 | |||||
Southern Co. (The) | 31,000 | 993,550 | |||||
Sprint Nextel Corporation | 92,900 | 1,857,071 | |||||
Verizon Communications, Inc. | 931,424 | 31,193,390 | |||||
160,914,392 | |||||||
Total Common Stocks | 1,413,847,049 | ||||||
EXCHANGE TRADED FUND — 1.0% | |||||||
iShares Russell 1000 | 205,700 | 15,038,084 | |||||
MONEY MARKET FUNDS — 10.2% | |||||||
GuideStone Funds Money Market Fund (GS4 Class)¥ | 42,418,637 | 42,418,637 | |||||
Northern Institutional Liquid Assets Portfolio§ | 107,988,959 | 107,988,959 | |||||
Total Money Market Funds | 150,407,596 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATION — 0.3% | |||||||
U.S. Treasury Bill | |||||||
4.66%, 09/21/06‡‡ | |||||||
(Cost $4,798,542) | $ | 4,850,000 | 4,798,551 | ||||
TOTAL INVESTMENTS — 107.2% | 1,584,091,280 | ||||||
Liabilities in Excess of Other Assets — (7.2)% | (106,629,739 | ) | |||||
NET ASSETS — 100.0% | $ | 1,477,461,541 | |||||
PORTFOLIO SUMMARY+ | ||
% | ||
Financial Services | 29.9 | |
Utilities | 10.9 | |
Consumer Discretionary | 10.8 | |
Money Market Funds | 10.2 | |
Healthcare | 9.7 | |
Integrated Oils | 9.5 | |
Technology | 6.3 | |
Materials & Processing | 4.3 | |
Producer Durables | 4.2 | |
Consumer Staples | 3.7 | |
Auto & Transportation | 2.8 | |
Futures Contracts | 2.2 | |
Other Energy | 1.9 | |
Other | 1.7 | |
Exchange Traded Fund | 1.0 | |
U.S. Treasury Obligation | 0.3 | |
109.4 | ||
+ | Based on net assets. |
See Notes to Financial Statements.
77
Table of Contents
Average Annual Total Returns as of 6/30/06 | ||||||||||||
GS2 Class* | GS4 Class* | GS6 Class* | Benchmark** | GS8 Class* | GS8 Class Benchmark** | |||||||
One Year | 4.52% | 4.40% | 3.99% | 6.12% | 3.60% | 6.12% | ||||||
Since Inception | 1.29% | 1.15% | 0.87% | 0.40% | 4.88% | 5.34% | ||||||
Inception Date | 08/27/01 | 08/27/01 | 08/27/01 | 08/27/01 | 11/08/04 | 11/08/04 |
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.GuideStoneFunds.org. 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.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Russell 1000® Growth Index.
* | These returns reflect expense waivers by the Fund’s investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
** | The Russell 1000® Growth Index is a large-cap index consisting of those Russell 1000® Index securities with greater-than-average growth orientation. Companies in this index tend to exhibit higher price-to-book and price-earnings-ratios, lower dividend yields and higher forecasted growth values than the value universe. |
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
78
Table of Contents
Growth Equity Fund | ||
SCHEDULE OF INVESTMENTS | June 30, 2006 (Unaudited) |
Shares | Value | ||||
COMMON STOCKS — 94.6% | |||||
Auto & Transportation — 4.4% | |||||
Burlington Northern Santa Fe Corporation | 228,307 | $ | 18,093,330 | ||
Expeditors International Washington,, Inc.. | 160,790 | 9,005,848 | |||
FedEx Corporation | 211,252 | 24,686,909 | |||
Toyota Motor Corporation ADRD | 35,596 | 3,722,985 | |||
Union Pacific Corporation | 99,004 | 9,203,412 | |||
64,712,484 | |||||
Consumer Discretionary — 21.8% | |||||
Amazon.com, Inc.D* | 371,200 | 14,358,016 | |||
Apollo Group, Inc. Class AD* | 293,400 | 15,159,978 | |||
Bed Bath & Beyond, Inc.D* | 206,500 | 6,849,605 | |||
Coach, Inc.* | 168,025 | 5,023,948 | |||
eBay, Inc.* | 1,210,600 | 35,458,474 | |||
Electronic Arts, Inc.* | 92,200 | 3,968,288 | |||
Federated Department Stores, Inc. | 155,000 | 5,673,000 | |||
Getty Images, Inc.D* | 67,700 | 4,299,627 | |||
Google, Inc.D* | 146,800 | 61,557,644 | |||
Home Depot, Inc. (The)D | 110,682 | 3,961,309 | |||
Iron Mountain, Inc.D* | 110,600 | 4,134,228 | |||
Lowe’s Cos., Inc.D | 426,418 | 25,870,780 | |||
Marriott International, Inc. Class AD | 218,650 | 8,334,938 | |||
Penney (JC) Co., Inc. | 113,000 | 7,628,630 | |||
Starbucks CorporationD* | 1,187,476 | 44,839,094 | |||
Target Corporation | 245,801 | 12,012,295 | |||
Univision Communications, Inc. Class AD* | 206,875 | 6,930,312 | |||
Wal-Mart Stores, Inc. | 47,383 | 2,282,439 | |||
Walt Disney Co. (The) | 463,520 | 13,905,600 | |||
Yahoo!, Inc.D* | 884,200 | 29,178,600 | |||
Yum! Brands, Inc. | 166,235 | 8,356,633 | |||
319,783,438 | |||||
Consumer Staples — 5.4% | |||||
Colgate-Palmolive Co. | 129,825 | 7,776,517 | |||
PepsiCo, Inc. | 238,775 | 14,336,051 | |||
Procter & Gamble Co. | 480,500 | 26,715,800 | |||
Walgreen Co.D | 693,552 | 31,098,872 | |||
79,927,240 | |||||
Financial Services — 15.5% | |||||
AFLAC, Inc. | 236,625 | 10,967,569 | |||
American International Group, Inc. | 190,175 | 11,229,834 | |||
CB Richard Ellis Group, Inc. Class AD* | 52,894 | 1,317,061 | |||
Chicago Mercantile Exchange Holdings, Inc.D | 52,377 | 25,724,963 | |||
Citigroup, Inc. | 211,450 | 10,200,348 | |||
Commerce Bancorp, Inc.D | 272,545 | 9,721,680 | |||
Countrywide Financial Corporation | 363,300 | 13,834,464 | |||
Franklin Resources, Inc. | 84,750 | 7,357,147 | |||
Genworth Financial, Inc. Class A | 202,996 | 7,072,381 | |||
Goldman Sachs Group, Inc. | 79,985 | 12,032,144 | |||
IntercontinentalExchange, Inc.D* | 82,600 | 4,785,844 | |||
Legg Mason, Inc.D | 43,500 | 4,329,120 | |||
Lehman Brothers Holdings, Inc. | 177,110 | 11,538,716 | |||
Merrill Lynch & Co., Inc. | 130,000 | 9,042,800 | |||
Moody’s Corporation | 213,800 | 11,643,548 | |||
Progressive Corporation (The) | 1,050,984 | 27,020,799 | |||
SLM Corporation | 374,680 | 19,828,066 | |||
UBS AGD | 126,495 | 13,876,501 | |||
US Bancorp | 111,425 | 3,440,804 | |||
Wells Fargo & Co. | 46,023 | 3,087,223 | |||
Zions Bancorporation | 118,500 | 9,235,890 | |||
227,286,902 | |||||
Healthcare — 18.9% | |||||
Abraxis BioScience, Inc.D* | 149,900 | 3,573,616 | |||
Aetna, Inc. | 143,000 | 5,709,990 | |||
Allergan, Inc.D | 188,850 | 20,256,051 | |||
Amgen, Inc.D* | 163,575 | 10,669,997 | |||
Amylin Pharmaceuticals, Inc.D* | 252,685 | 12,475,058 | |||
Genentech, Inc.D* | 779,342 | 63,750,176 | |||
Genzyme CorporationD* | 462,156 | 28,214,624 | |||
Gilead Sciences, Inc.D* | 148,000 | 8,755,680 | |||
Intuitive Surgical, Inc.D* | 48,300 | 5,697,951 | |||
Medtronic, Inc. | 148,500 | 6,967,620 | |||
Novartis AG ADRD | 130,225 | 7,021,732 | |||
Patterson Cos., Inc.D* | 133,600 | 4,666,648 | |||
Pfizer, Inc. | 192,000 | 4,506,240 | |||
Quest Diagnostics, Inc.D | 35,127 | 2,104,810 | |||
Shire PLC ADRD | 126,550 | 5,597,307 | |||
Stryker CorporationD | 192,500 | 8,106,175 | |||
Teva Pharmaceutical Industries, Ltd. ADRD | 614,438 | 19,410,096 | |||
UnitedHealth Group, Inc. | 614,127 | 27,500,607 | |||
Varian Medical Systems, Inc.D* | 345,600 | 16,364,160 | |||
Wyeth | 155,275 | 6,895,763 | |||
Zimmer Holdings, Inc.D* | 164,875 | 9,351,710 | |||
277,596,011 | |||||
Materials & Processing — 1.2% | |||||
Air Products & Chemicals, Inc. | 9,719 | 621,239 | |||
Archer-Daniels-Midland Co.D | 154,844 | 6,391,960 | |||
Fluor Corporation | 75,000 | 6,969,750 | |||
Monsanto Co. | 15,327 | 1,290,380 | |||
St. Joe Co.D | 49,943 | 2,324,347 | |||
17,597,676 | |||||
Other — 1.2% | |||||
General Electric Co. | 547,975 | 18,061,256 | |||
Other Energy — 6.0% | |||||
Baker Hughes, Inc. | 52,275 | 4,278,709 | |||
Canadian Natural Resources, Ltd.D | 123,875 | 6,860,197 | |||
Halliburton Co. | 121,934 | 9,048,722 | |||
Peabody Energy Corporation | 97,937 | 5,459,988 | |||
Schlumberger, Ltd. | 667,944 | 43,489,834 | |||
TransOcean, Inc.* | 82,800 | 6,650,496 | |||
Valero Energy Corporation | 96,775 | 6,437,473 | |||
Weatherford International, Ltd.* | 119,825 | 5,945,716 | |||
88,171,135 | |||||
See Notes to Financial Statements.
79
Table of Contents
Growth Equity Fund | ||
SCHEDULE OF INVESTMENTS (Continued) |
Shares | Value | ||||||
Producer Durables — 4.2% | |||||||
Boeing Co. (The) | 125,000 | $ | 10,238,750 | ||||
Caterpillar, Inc. | 148,070 | 11,028,254 | |||||
Deere & Co. | 55,761 | 4,655,486 | |||||
KB HOME | 90,490 | 4,148,966 | |||||
Lennar Corporation Class A | 107,713 | 4,779,226 | |||||
Lockheed Martin Corporation | 88,708 | 6,363,912 | |||||
Toll Brothers, Inc.* | 54,390 | 1,390,752 | |||||
United Technologies Corporation | 289,557 | 18,363,705 | |||||
60,969,051 | |||||||
Technology — 13.8% | |||||||
Adobe Systems, Inc.* | 204,190 | 6,199,208 | |||||
Apple Computer, Inc.* | 298,250 | 17,036,040 | |||||
Autodesk, Inc.* | 165,050 | 5,687,623 | |||||
Cisco Systems, Inc.* | 806,022 | 15,741,610 | |||||
Cognizant Technology Solutions Corporation Class AD* | 78,400 | 5,281,808 | |||||
Corning, Inc.* | 272,000 | 6,579,680 | |||||
Dell, Inc.* | 300,200 | 7,327,882 | |||||
General Dynamics Corporation | 141,022 | 9,231,300 | |||||
Hewlett-Packard Co. | 374,725 | 11,871,288 | |||||
Marvell Technology Group, Ltd.D* | 83,200 | 3,688,256 | |||||
Maxim Integrated Products, Inc. | 83,680 | 2,686,965 | |||||
Microsoft Corporation | 258,000 | 6,011,400 | |||||
Motorola, Inc. | 738,735 | 14,885,510 | |||||
Network Appliance, Inc.D* | 472,225 | 16,669,543 | |||||
Qualcomm, Inc. | 1,003,131 | 40,195,459 | |||||
Red Hat, Inc.D* | 357,700 | 8,370,180 | |||||
Salesforce.com, Inc.D* | 265,400 | 7,075,564 | |||||
Sandisk CorporationD* | 85,900 | 4,379,182 | |||||
Seagate TechnologyD | 144,500 | 3,271,480 | |||||
Seagate Technology, Inc.+ | 5,600 | — | |||||
Texas Instruments, Inc. | 336,454 | 10,191,192 | |||||
202,381,170 | |||||||
Utilities — 2.2% | |||||||
America Movil SA de CV ADR Series LD | 386,971 | 12,870,655 | |||||
AT&T, Inc. | 331,000 | 9,231,590 | |||||
Comcast Corporation Class A* | 301,541 | 9,872,452 | |||||
31,974,697 | |||||||
Total Common Stocks | 1,388,461,060 | ||||||
MONEY MARKET FUNDS — 14.9% | |||||||
GuideStone Funds Money Market Fund (GS4 Class)¥ | 62,416,731 | 62,416,731 | |||||
Northern Institutional Liquid Assets Portfolio§ | 157,001,689 | 157,001,689 | |||||
Total Money Market Funds | 219,418,420 | ||||||
Par | |||||||
U.S. TREASURY OBLIGATION — 0.3% | |||||||
U.S. Treasury Bill | |||||||
4.66%, 09/21/06‡‡ | |||||||
(Cost $4,155,438) | $ | 4,200,000 | 4,155,446 | ||||
TOTAL INVESTMENTS — 109.8% | 1,612,034,926 | ||||||
Liabilities in Excess of Other Assets — (9.8)% | (143,734,234 | ) | |||||
NET ASSETS — 100.0% | $ | 1,468,300,692 | |||||
PORTFOLIO SUMMARY+ | ||
% | ||
Consumer Discretionary | 21.8 | |
Healthcare | 18.9 | |
Financial Services | 15.5 | |
Money Market Funds | 14.9 | |
Technology | 13.8 | |
Other Energy | 6.0 | |
Consumer Staples | 5.4 | |
Auto & Transportation | 4.4 | |
Producer Durables | 4.2 | |
Futures Contracts | 3.7 | |
Utilities | 2.2 | |
Materials & Processing | 1.2 | |
Other | 1.2 | |
U.S. Treasury Obligation | 0.3 | |
113.5 | ||
+ | Based on net assets. |
See Notes to Financial Statements.
80
Table of Contents
Average Annual Total Returns as of 6/30/06 | ||||||||||||
GS2 Class* | GS4 Class* | GS6 Class* | Benchmark** | GS8 Class* | GS8 Class Benchmark** | |||||||
One Year | 11.63% | 11.49% | 10.94% | 14.58% | 10.63% | 14.58% | ||||||
Since Inception | 8.46% | 8.29% | 7.99% | 10.21% | 11.14% | 13.26% | ||||||
Inception Date | 08/27/01 | 08/27/01 | 08/27/01 | 08/27/01 | 11/08/04 | 11/08/04 |
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.GuideStoneFunds.org. 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.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Russell 2000® Index.
* | These returns reflect expense waivers by the Fund’s investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
** | The Russell 2000® Index is a small-cap equity index comprised of the 2,000 smallest companies in the Russell 3000® Index, which represents approximately 8% of the total market capitalization of the Russell 3000® Index. |
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
Small company stocks are generally riskier than large company stocks due to greater volatility and less liquidity.
81
Table of Contents
Small Cap Equity Fund | ||
SCHEDULE OF INVESTMENTS | June 30, 2006 (Unaudited) |
Shares | Value | ||||
COMMON STOCKS — 95.5% | |||||
Auto & Transportation — 4.1% | |||||
Accuride CorporationD* | 63,000 | $ | 785,610 | ||
AirTran Holdings, Inc.D* | 88,600 | 1,316,596 | |||
American Commercial Lines, Inc.D* | 10,400 | 626,600 | |||
American Railcar Industries, Inc.D | 19,500 | 645,645 | |||
Arkansas Best Corporation | 25,800 | 1,295,418 | |||
Autoliv, Inc. | 31,600 | 1,787,612 | |||
Commercial Vehicle Group, Inc.D* | 59,600 | 1,232,528 | |||
ExpressJet Holdings, Inc.D* | 77,600 | 536,216 | |||
Freightcar America, Inc. | 8,100 | 449,631 | |||
Genesee & Wyoming, Inc. Class AD* | 23,400 | 829,998 | |||
Horizon Lines, Inc. Class AD | 17,200 | 275,544 | |||
JB Hunt Transport Services, Inc.D | 62,100 | 1,546,911 | |||
Laidlaw International, Inc. | 32,200 | 811,440 | |||
Marten Transport, Ltd.D* | 41,400 | 900,036 | |||
Noble International, Ltd.D | 28,550 | 408,836 | |||
Old Dominion Freight Line, Inc.* | 17,212 | 646,999 | |||
OMI CorporationD | 150,600 | 3,260,490 | |||
Pacer International, Inc.D | 24,800 | 807,984 | |||
Republic Airways Holdings, Inc.D* | 22,748 | 387,171 | |||
Sea Containers, Ltd. Class AD | 50,000 | 237,500 | |||
Thor Industries, Inc.D | 20,300 | 983,535 | |||
TRW Automotive Holdings Corporation* | 30,900 | 842,952 | |||
Tsakos Energy Navigation, Ltd.D | 16,500 | 687,720 | |||
UTI Worldwide, Inc. | 35,600 | 898,188 | |||
Wabash National CorporationD | 60,392 | 927,621 | |||
Wabtec Corporation | 9,500 | 355,300 | |||
23,484,081 | |||||
Consumer Discretionary — 18.1% | |||||
Aaron Rents, Inc.D | 46,650 | 1,253,952 | |||
Advance Auto Parts, Inc. | 16,350 | 472,515 | |||
Advisory Board Co. (The)D* | 18,300 | 880,047 | |||
Advo, Inc.D | 21,300 | 524,193 | |||
AMERCO, Inc.D* | 7,300 | 734,818 | |||
American Woodmark CorporationD | 31,500 | 1,103,760 | |||
America’s Car-Mart, Inc.D* | 41,000 | 832,710 | |||
Barrett Business Services, Inc.D* | 20,800 | 381,680 | |||
BJ’s Wholesale Club, Inc.* | 43,400 | 1,230,390 | |||
Brown Shoe Co., Inc. | 18,800 | 640,704 | |||
Cato Corporation Class A | 28,300 | 731,555 | |||
Central Garden & Pet Co.D* | 33,900 | 1,459,395 | |||
Cenveo, Inc.* | 52,800 | 947,760 | |||
Charlotte Russe Holding, Inc.D* | 62,200 | 1,489,068 | |||
Chemed CorporationD | 22,400 | 1,221,472 | |||
Computer Learning Centers* | 24,439 | 2 | |||
Convergys Corporation* | 64,100 | 1,249,950 | |||
Corporate Executive Board Co. | 19,100 | 1,913,820 | |||
CoStar Group, Inc.D* | 31,050 | 1,857,721 | |||
CRA International, Inc.D* | 8,100 | 365,634 | |||
CROCS, Inc.D* | 26,800 | 674,020 | |||
Ctrip.com International, Ltd. ADRD | 17,600 | 898,480 | |||
Deckers Outdoor CorporationD* | 43,700 | 1,685,072 | |||
Dillard’s, Inc. Class AD | 49,800 | 1,586,130 | |||
DTS, Inc.* | 13,450 | 262,006 | |||
EarthLink, Inc.* | 103,100 | 892,846 | |||
Educate, Inc.D* | 9,600 | 73,536 | |||
Entravision Communications Corporation Class A* | 223,058 | 1,911,607 | |||
EZCORP, Inc. Class AD* | 39,500 | 1,488,755 | |||
FirstService CorporationD* | 24,300 | 647,352 | |||
Furniture Brands International, Inc.D | 57,100 | 1,189,964 | |||
GameStop Corporation Class AD* | 11,900 | 499,800 | |||
Group 1 Automotive, Inc.D | 24,100 | 1,357,794 | |||
Guitar Center, Inc.D* | 8,300 | 369,101 | |||
Gymboree CorporationD* | 19,900 | 691,724 | |||
Harris Interactive, Inc.* | 209,644 | 1,194,971 | |||
Helen of Troy, Ltd.D* | 47,500 | 874,000 | |||
Herbalife, Ltd.* | 41,900 | 1,671,810 | |||
Hibbett Sporting Goods, Inc.D* | 35,800 | 855,620 | |||
Iconix Brand Group, Inc.D* | 30,300 | 495,102 | |||
Insight Enterprises, Inc.D* | 76,300 | 1,453,515 | |||
Inter Parfums, Inc.D | 30,900 | 532,098 | |||
inVentiv Health, Inc.D* | 19,000 | 546,820 | |||
Jack in the Box, Inc.* | 16,500 | 646,800 | |||
Jackson Hewitt Tax Service, Inc. | 67,200 | 2,106,720 | |||
Jakks Pacific, Inc.D* | 41,400 | 831,726 | |||
JOS. A. Bank Clothiers, Inc.D* | 3,800 | 91,048 | |||
Kellwood Co. | 25,900 | 758,093 | |||
Kenexa CorporationD* | 18,100 | 576,485 | |||
Life Time Fitness, Inc.D* | 23,200 | 1,073,464 | |||
LoJack CorporationD* | 28,900 | 545,054 | |||
Manpower, Inc. | 12,800 | 826,880 | |||
Marchex, Inc. Class BD* | 24,400 | 400,892 | |||
Marvel Entertainment, Inc.D* | 35,400 | 708,000 | |||
Monro Muffler Brake, Inc.D | 21,500 | 700,040 | |||
MPS Group, Inc.D* | 65,700 | 989,442 | |||
MSC Industrial Direct Co., Inc. Class A | 5,900 | 280,663 | |||
MWI Veterinary Supply, Inc.D* | 22,200 | 808,746 | |||
Navigant Consulting, Inc.D* | 26,600 | 602,490 | |||
OfficeMax, Inc. | 17,300 | 704,975 | |||
On Assignment, Inc.* | 67,000 | 615,730 | |||
Orient-Express Hotels, Ltd. Class AD | 24,700 | 959,348 | |||
Outdoor Channel Holdings, Inc.D* | 37,900 | 391,128 | |||
Parlux Fragrance, Inc.D* | 99,000 | 959,310 | |||
Perry Ellis International, Inc.D* | 41,300 | 1,045,303 | |||
Pool CorporationD | 86,525 | 3,775,086 | |||
Rare Hospitality International, Inc.* | 11,150 | 320,674 | |||
Red Robin Gourmet Burgers, Inc.D* | 13,000 | 553,280 | |||
Rent-A-Center, Inc.* | 51,100 | 1,270,346 | |||
Resources Connection, Inc.D* | 87,000 | 2,176,740 | |||
Rocky Brands, Inc.D* | 44,000 | 935,000 |
See Notes to Financial Statements.
82
Table of Contents
Shares | Value | ||||
Ruby Tuesday, Inc.D | 42,400 | $ | 1,034,984 | ||
Rush Enterprises, Inc. Class AD* | 51,681 | 939,044 | |||
Ruth’s Chris Steak HouseD* | 21,300 | 434,946 | |||
Schawk, Inc.D | 59,000 | 1,032,500 | |||
Select Comfort CorporationD* | 236,035 | 5,421,724 | |||
Shaw Communications, Inc. Class B | 56,900 | 1,609,701 | |||
Source Interlink Cos., Inc.D* | 54,900 | 653,310 | |||
Sportsman’s Guide, Inc.D* | 6,500 | 198,250 | |||
Stamps.com, Inc.D* | 18,800 | 523,016 | |||
Stanley Furniture Co., Inc.D | 31,700 | 759,849 | |||
Steiner Leisure, Ltd.D* | 45,700 | 1,806,521 | |||
Strayer Education, Inc.D | 25,700 | 2,495,984 | |||
Tech Data Corporation* | 36,000 | 1,379,160 | |||
TeleTech Holdings, Inc.D* | 34,200 | 432,972 | |||
THQ, Inc.D* | 36,800 | 794,880 | |||
Too, Inc.D* | 36,000 | 1,382,040 | |||
Toro Co. | 31,200 | 1,457,040 | |||
Tractor Supply Co.* | 16,500 | 911,955 | |||
True Religion Apparel, Inc.D* | 24,800 | 438,960 | |||
United Natural Foods, Inc.D* | 36,400 | 1,201,928 | |||
United Online, Inc.D | 71,700 | 860,400 | |||
Universal Electronics, Inc.* | 73,785 | 1,306,732 | |||
USANA Health Sciences, Inc.D* | 45,100 | 1,709,290 | |||
ValueClick, Inc.D* | 45,900 | 704,565 | |||
VistaPrint, Ltd.D* | 25,900 | 692,566 | |||
Warnaco Group, Inc. (The)D* | 42,620 | 796,142 | |||
WESCO International, Inc.* | 24,500 | 1,690,500 | |||
West Corporation* | 42,500 | 2,036,175 | |||
Wolverine World Wide, Inc. | 37,600 | 877,208 | |||
World Fuel Services Corporation | 6,400 | 292,416 | |||
102,671,490 | |||||
Consumer Staples — 0.8% | |||||
Hormel Foods Corporation | 20,800 | 772,512 | |||
J & J Snack Foods Corporation | 64,652 | 2,138,042 | |||
John B. Sanfillippo & SonD* | 33,200 | 439,900 | |||
NBTY, Inc.D* | 28,400 | 679,044 | |||
Pilgrim’s Pride Corporation | 28,500 | 735,300 | |||
4,764,798 | |||||
Financial Services — 21.8% | |||||
A.G. Edwards, Inc. | 35,800 | 1,980,456 | |||
Accredited Home Lenders Holding Co.D* | 44,500 | 2,127,545 | |||
Affiliated Managers Group, Inc.D* | 16,300 | 1,416,307 | |||
Alliance Data Systems Corporation* | 84,800 | 4,987,936 | |||
American Equity Investment Life Holding Co.D | 70,600 | 752,596 | |||
American Financial Group, Inc. | 25,000 | 1,072,500 | |||
American Home Mortgage Investment Corporation REITD | 35,700 | 1,315,902 | |||
AmeriCredit CorporationD* | 22,800 | 636,576 | |||
Arch Capital Group, Ltd.* | 18,300 | 1,088,118 | |||
Argonaut Group, Inc.D* | 30,100 | 904,204 | |||
Assurant, Inc. | 23,900 | 1,156,760 | |||
Assured Guaranty, Ltd. | 30,100 | 763,637 | |||
Asta Funding, Inc.D | 69,500 | 2,602,775 | |||
Banco Latinoamericano de Exportaciones SAD | 53,400 | 834,642 | |||
Bancshares of Florida, Inc.D* | 19,700 | 433,400 | |||
BankUnited Financial Corporation Class AD | 39,500 | 1,205,540 | |||
Brookline Bancorp, Inc.D | 83,723 | 1,152,866 | |||
CB Richard Ellis Group, Inc. Class A* | 61,500 | 1,531,350 | |||
Central Pacific Financial CorporationD | 24,600 | 952,020 | |||
Cohen & Steers, Inc.D | 21,200 | 500,320 | |||
Colonial BancGroup, Inc. | 36,000 | 924,480 | |||
Commerce Bancshares, Inc. | 22,811 | 1,141,691 | |||
Commerce Group, Inc. | 50,800 | 1,500,632 | |||
CompuCredit CorporationD* | 27,200 | 1,045,568 | |||
Corus Bankshares, Inc.D | 49,700 | 1,301,146 | |||
Covanta Holding CorporationD* | 35,700 | 630,105 | |||
CVB Financial CorporationD | 48,682 | 762,360 | |||
Cybersource CorporationD* | 40,000 | 468,000 | |||
Digital Insight Corporation* | 12,600 | 432,054 | |||
Direct General CorporationD | 30,900 | 522,828 | |||
Doral Financial CorporationD | 129,100 | 827,531 | |||
Downey Financial CorporationD | 27,200 | 1,845,520 | |||
Euronet Worldwide, Inc.D* | 25,400 | 974,598 | |||
Fieldstone Investment Corporation REITD | 22,800 | 208,848 | |||
First Acceptance CorporationD* | 31,611 | 372,378 | |||
First American Corporation | 33,900 | 1,432,953 | |||
First Bancorp Puerto RicoD | 140,500 | 1,306,650 | |||
First Cash Financial Services, Inc.D* | 50,100 | 989,475 | |||
First Community Bancorp, Inc.D | 8,700 | 513,996 | |||
First Regional BancorpD* | 9,300 | 818,400 | |||
FirstFed Financial CorporationD* | 37,500 | 2,162,625 | |||
Fremont General CorporationD | 113,400 | 2,104,704 | |||
Global Payments, Inc. | 32,600 | 1,582,730 | |||
Greenhill & Co., Inc.D | 20,400 | 1,239,504 | |||
Hanmi Financial CorporationD | 32,059 | 623,227 | |||
Hanover Insurance Group, Inc. | 33,600 | 1,594,656 | |||
HCC Insurance Holdings, Inc. | 120,835 | 3,557,382 | |||
HealthExtras, Inc.D* | 34,700 | 1,048,634 | |||
Heartland Payment Systems, Inc.D* | 10,500 | 292,740 | |||
Hilb, Rogal & Hobbs Co.D | 110,882 | 4,132,572 | |||
Huron Consulting Group, Inc.* | 35,200 | 1,235,168 | |||
IndyMac Bancorp, Inc. | 36,900 | 1,691,865 | |||
Infinity Property & Casualty CorporationD | 30,300 | 1,242,300 | |||
Investment Technology Group, Inc.D* | 15,400 | 783,244 | |||
Investors Financial Services CorporationD | 67,400 | 3,026,260 |
See Notes to Financial Statements.
83
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Small Cap Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | ||||
Jack Henry & Associates, Inc.D | 112,900 | $ | 2,219,614 | ||
Jefferies Group, Inc.D | 38,400 | 1,137,792 | |||
John H. Harland Co. | 24,700 | 1,074,450 | |||
Jones Lang LaSalle, Inc.D | 29,300 | 2,565,215 | |||
Kingsway Financial Services, Inc.D | 37,100 | 671,139 | |||
Knight Capital Group, Inc. Class AD* | 112,700 | 1,716,421 | |||
LandAmerica Financial Group, Inc.D | 22,100 | 1,427,660 | |||
Markel Corporation* | 4,700 | 1,630,900 | |||
Max Re Capital, Ltd. | 50,200 | 1,096,368 | |||
Mercury General Corporation | 20,600 | 1,161,222 | |||
Midwest Banc Holdings, Inc.D | 23,100 | 513,975 | |||
Municipal Mortgage & Equity LLCD | 13,200 | 358,512 | |||
National Financial Partners CorporationD | 10,800 | 478,548 | |||
National Interstate CorporationD | 15,500 | 420,360 | |||
New Century Financial Corporation REITD | 7,400 | 338,550 | |||
Ohio Casualty CorporationD | 106,871 | 3,177,275 | |||
optionsXpress Holdings, Inc.D | 75,200 | 1,752,912 | |||
Piper Jaffray Cos., Inc.D* | 20,300 | 1,242,563 | |||
PMI Group, Inc. (The)D | 44,500 | 1,983,810 | |||
Portfolio Recovery Associates, Inc.D* | 33,400 | 1,526,380 | |||
Primus Guaranty, Ltd.D* | 66,200 | 734,820 | |||
PrivateBancorp, Inc.D | 38,361 | 1,588,529 | |||
Quanta Capital Holdings, Ltd.* | 49,400 | 127,946 | |||
Radian Group, Inc. | 35,800 | 2,211,724 | |||
Reinsurance Group of America, Inc. | 13,700 | 673,355 | |||
Ryder System, Inc. | 28,500 | 1,665,255 | |||
Safety Insurance Group, Inc.D | 28,900 | 1,374,195 | |||
Saxon Capital, Inc. REITD | 59,900 | 685,256 | |||
Sotheby’s Holdings Class AD* | 25,400 | 666,750 | |||
Texas Capital Bancshares, Inc.D* | 43,300 | 1,008,890 | |||
TierOne Corporation | 39,900 | 1,347,423 | |||
Triad Guaranty, Inc.D* | 23,900 | 1,168,232 | |||
UCBH Holdings, Inc.D | 27,000 | 446,580 | |||
USI Holdings CorporationD* | 170,887 | 2,291,595 | |||
W.R. Berkley Corporation | 42,150 | 1,438,579 | |||
Waddell & Reed Financial, Inc. Class A | 19,300 | 396,808 | |||
Webster Financial Corporation | 26,900 | 1,276,136 | |||
Whitney Holding Corporation | 20,400 | 721,548 | |||
Williams Scotsman International, Inc.D* | 79,245 | 1,730,711 | |||
Wilmington Trust Corporation | 16,900 | 712,842 | |||
World Acceptance Corporation* | 18,900 | 671,328 | |||
Wright Express CorporationD* | 48,000 | 1,379,520 | |||
Zenith National Insurance Corporation | 28,350 | 1,124,644 | |||
123,688,606 | |||||
Healthcare — 12.0% | |||||
Adeza Biomedical Corporation* | 39,400 | 552,388 | |||
Allion Healthcare, Inc.D* | 36,600 | 318,054 | |||
Alphatec Holdings, Inc.D* | 35,000 | 219,800 | |||
Amedisys, Inc.D* | 106,000 | 4,017,400 | |||
American Dental Partners, Inc.D* | 42,600 | 650,076 | |||
Analogic CorporationD | 20,700 | 964,827 | |||
Arqule, Inc.D* | 116,000 | 654,240 | |||
Arthrocare CorporationD* | 9,350 | 392,793 | |||
Aspreva Pharmaceuticals CorporationD* | 29,200 | 792,488 | |||
AtriCure, Inc.D* | 42,500 | 319,600 | |||
BioMarin Pharmaceuticals, Inc.D* | 69,700 | 1,001,589 | |||
Bio-Rad Laboratories, Inc. Class A* | 12,400 | 805,256 | |||
Cardiome Pharma CorporationD* | 12,900 | 114,036 | |||
Centene CorporationD* | 35,700 | 840,021 | |||
Charles River Laboratories International, Inc.D* | 11,600 | 426,880 | |||
Chattem, Inc.D* | 36,100 | 1,096,357 | |||
Connetics CorporationD* | 50,200 | 590,352 | |||
Conor Medsystems, Inc.D* | 31,500 | 869,085 | |||
Curis, Inc.D* | 129,600 | 174,960 | |||
CV Therapeutics, Inc.D* | 34,400 | 480,568 | |||
Dade Behring Holdings, Inc. | 39,000 | 1,623,960 | |||
Digene CorporationD* | 40,400 | 1,565,096 | |||
DJO, Inc.D* | 16,000 | 589,280 | |||
Eclipsys CorporationD* | 31,300 | 568,408 | |||
Five Star Quality Care, Inc.+ | 2,086 | — | |||
Genesis HealthCare Corporation* | 15,200 | 720,024 | |||
Haemonetics Corporation* | 17,800 | 827,878 | |||
Healthways, Inc.D* | 13,700 | 721,168 | |||
Icon PLC ADRD* | 48,675 | 2,691,728 | |||
ICU Medical, Inc.D* | 22,000 | 929,280 | |||
Integra LifeSciences Holdings CorporationD* | 20,100 | 780,081 | |||
Intuitive Surgical, Inc.* | 3,500 | 412,895 | |||
Kensey Nash CorporationD* | 26,300 | 775,850 | |||
King Pharmaceuticals, Inc.* | 107,600 | 1,829,200 | |||
KV Pharmaceutical Co. Class AD* | 30,200 | 563,532 | |||
Kyphon, Inc.* | 55,900 | 2,144,324 | |||
LCA-Vision, Inc.D | 57,310 | 3,032,272 | |||
Magellan Health Services, Inc.* | 40,600 | 1,839,586 | |||
Matria Healthcare, Inc.D* | 22,800 | 488,376 | |||
Medarex, Inc.D* | 148,000 | 1,422,280 | |||
Medicines Co.D* | 39,300 | 768,315 | |||
Mentor CorporationD | 21,800 | 948,300 | |||
MGI Pharma, Inc.D* | 30,880 | 663,920 | |||
Mylan Laboratories, Inc. | 32,300 | 646,000 | |||
Nektar TherapeuticsD* | 61,200 | 1,122,408 | |||
Onyx Pharmaceuticals, Inc.D* | 28,700 | 483,021 | |||
Option Care, Inc.D | 122,791 | 1,471,036 | |||
Orthofix International NV* | 24,300 | 926,559 | |||
Owens & Minor, Inc. | 22,600 | 646,360 |
See Notes to Financial Statements.
84
Table of Contents
Shares | Value | ||||
Panacos Pharmaceuticals, Inc.D* | 67,000 | $ | 369,840 | ||
Par Pharmaceutical Cos., Inc.D* | 60,822 | 1,122,774 | |||
PDL BioPharma, Inc.D* | 21,900 | 403,179 | |||
Pediatrix Medical Group, Inc.* | 45,300 | 2,052,090 | |||
Pharmion CorporationD* | 31,900 | 543,257 | |||
PolyMedica CorporationD | 25,805 | 927,948 | |||
Psychiatric Solutions, Inc.D* | 10,400 | 298,064 | |||
Quality Systems, Inc.D | 9,600 | 353,472 | |||
Radiation Therapy Services, Inc.D* | 15,900 | 427,869 | |||
Respironics, Inc.* | 41,900 | 1,433,818 | |||
Salix Pharmaceuticals, Ltd.D* | 42,200 | 519,060 | |||
Sierra Health Services, Inc.* | 13,100 | 589,893 | |||
Sirna Therapeutics, Inc.D* | 76,900 | 438,330 | |||
Stereotaxis, Inc.D* | 67,200 | 725,088 | |||
Stericycle, Inc.D* | 15,200 | 989,520 | |||
Symmetry Medical, Inc.D* | 86,300 | 1,329,020 | |||
Syneron Medical, Ltd.D* | 66,900 | 1,396,872 | |||
Taro Pharmaceuticals IndustriesD* | 57,500 | 610,075 | |||
TriPath Imaging, Inc.D* | 119,889 | 793,665 | |||
United Surgical Partners International, Inc.* | 52,500 | 1,578,675 | |||
VCA Antech, Inc.D* | 73,300 | 2,340,469 | |||
Ventana Medical Systems* | 26,400 | 1,245,552 | |||
WellCare Health Plans, Inc.D* | 24,700 | 1,211,535 | |||
68,181,972 | |||||
Integrated Oils — 0.3% | |||||
Giant Industries, Inc.D* | 14,500 | 964,975 | |||
Petrocorp, Inc. Escrow Shares+ | 500 | — | |||
Vaalco Energy, Inc.D* | 101,200 | 987,712 | |||
1,952,687 | |||||
Materials & Processing — 10.3% | |||||
Aleris International, Inc.D* | 19,800 | 907,830 | |||
AptarGroup, Inc. | 15,700 | 778,877 | |||
Beacon Roofing Supply, Inc.D* | 197,567 | 4,348,450 | |||
Bemis Co.D | 22,700 | 695,074 | |||
BlueLinx Holdings, Inc.D | 83,000 | 1,081,490 | |||
Building Materials Holding CorporationD | 17,800 | 496,086 | |||
Carpenter Technology CorporationD | 12,800 | 1,478,400 | |||
Century Aluminum Co.D* | 24,600 | 877,974 | |||
Clarcor, Inc. | 9,400 | 280,026 | |||
Cleveland-Cliffs, Inc.D | 4,100 | 325,089 | |||
Commercial Metals Co.D | 96,572 | 2,481,900 | |||
DHB Industries, Inc.+D* | 50,300 | 78,971 | |||
Eagle Materials, Inc. | 44,300 | 2,104,250 | |||
EMCOR Group, Inc.D* | 32,300 | 1,572,041 | |||
Encore Wire CorporationD* | 45,300 | 1,628,082 | |||
Energizer Holdings, Inc.D* | 29,300 | 1,716,101 | |||
Florida Rock Industries, Inc. | 11,200 | 556,304 | |||
Forest City Enterprises, Inc. Class AD | 26,600 | 1,327,606 | |||
Gibraltar Industries, Inc.D | 38,172 | 1,106,988 | |||
Granite Construction, Inc.D | 17,300 | 783,171 | |||
H.B. Fuller Co. | 20,700 | 901,899 | |||
Hexcel CorporationD* | 137,272 | 2,156,543 | |||
Houston Wire & Cable Co.D* | 36,800 | 632,960 | |||
Infrasource Services, Inc.* | 27,400 | 498,954 | |||
Interline Brands, Inc.* | 13,900 | 324,982 | |||
IPSCO, Inc. | 15,300 | 1,464,057 | |||
Lamson & Sessions Co.D* | 69,300 | 1,965,348 | |||
Lone Star Technologies, Inc.D* | 18,200 | 983,164 | |||
Louisiana-Pacific Corporation | 48,600 | 1,064,340 | |||
Martin Marietta Materials, Inc. | 12,900 | 1,175,835 | |||
Methanex CorporationD | 104,900 | 2,221,782 | |||
Mobile Mini, Inc.D* | 52,700 | 1,542,002 | |||
Mueller Industries, Inc.D | 40,500 | 1,337,715 | |||
Mueller Water Products, Inc. Class AD* | 29,100 | 506,631 | |||
NCI Building Systems, Inc.D* | 25,200 | 1,339,884 | |||
Nuco2, Inc.D* | 18,900 | 454,356 | |||
OM Group, Inc.* | 38,100 | 1,175,385 | |||
Pactiv Corporation* | 64,700 | 1,601,325 | |||
PolyOne CorporationD* | 80,200 | 704,156 | |||
RBC Bearings, Inc.* | 45,100 | 1,023,770 | |||
Resource Capital CorporationD | 39,000 | 501,930 | |||
Rogers CorporationD* | 13,900 | 783,126 | |||
RTI International Metals, Inc.D* | 10,200 | 569,568 | |||
Ryerson, Inc.D | 7,300 | 197,100 | |||
Senomyx, Inc.D* | 19,000 | 274,170 | |||
Silgan Holdings, Inc. | 13,800 | 510,738 | |||
Steel Dynamics, Inc.D | 37,100 | 2,438,954 | |||
Symyx Technologies* | 14,100 | 340,515 | |||
Texas Industries, Inc.D | 11,300 | 600,030 | |||
Trammell Crow Co.D* | 97,900 | 3,443,143 | |||
Valmont Industries, Inc.D | 13,400 | 622,966 | |||
Westlake Chemical Corporation | 20,100 | 598,980 | |||
58,581,018 | |||||
Other — 0.2% | |||||
Lancaster Colony Corporation | 17,200 | 678,884 | |||
Ritchie Bros. Auctioneers, Inc.D | 13,200 | 701,976 | |||
1,380,860 | |||||
Other Energy — 4.9% | |||||
Alon USA Energy, Inc. | 13,300 | 418,551 | |||
ATP Oil & Gas CorporationD* | 21,800 | 914,074 | |||
Basic Energy Services, Inc.D* | 19,400 | 593,058 | |||
Brigham Exploration Co.D* | 84,600 | 669,186 | |||
Bronco Drilling Co., Inc.D* | 24,100 | 503,449 | |||
Denbury Resources, Inc.* | 69,700 | 2,207,399 | |||
Encore Acquisition Co.D* | 31,850 | 854,536 | |||
EXCO Resources, Inc.* | 134,500 | 1,533,300 | |||
Foundation Coal Holdings, Inc. | 12,300 | 577,239 | |||
Hercules Offshore, Inc.D* | 13,600 | 476,000 | |||
Holly CorporationD | 49,000 | 2,361,800 | |||
Hydril Co.D* | 13,000 | 1,020,760 | |||
KFX, Inc.D* | 36,200 | 553,136 | |||
Massey Energy Co.D | 43,426 | 1,563,336 |
See Notes to Financial Statements.
85
Table of Contents
Small Cap Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | ||||
Oil States International, Inc.D* | 24,200 | $ | 829,576 | ||
Petroquest Energy, Inc.D* | 74,682 | 917,095 | |||
Pioneer Drilling Co.D* | 34,100 | 526,504 | |||
Quicksilver Resources, Inc.D* | 20,900 | 769,329 | |||
St. Mary Land & Exploration Co.D | 17,800 | 716,450 | |||
TODCO Class A | 30,200 | 1,233,670 | |||
Toreador Resources CorporationD* | 15,800 | 444,454 | |||
Trico Marine Services, Inc.* | 7,800 | 265,200 | |||
Unit Corporation* | 34,250 | 1,948,482 | |||
Universal Compression Holdings, Inc.D* | 31,300 | 1,970,961 | |||
Veritas DGC, Inc.D* | 26,700 | 1,377,186 | |||
Warrior Energy Service CorporationD* | 6,400 | 155,712 | |||
Western Refining, Inc.D | 17,200 | 371,176 | |||
W-H Energy Services, Inc.* | 15,200 | 772,616 | |||
Whiting Petroleum CorporationD* | 24,500 | 1,025,815 | |||
27,570,050 | |||||
Producer Durables — 7.9% | |||||
Actuant Corporation Class AD | 55,434 | 2,768,928 | |||
AGCO CorporationD* | 21,700 | 571,144 | |||
Allied Defense Group, Inc. (The)D* | 25,100 | 551,949 | |||
Argon ST, Inc.D* | 19,000 | 505,970 | |||
Astec Industries, Inc.D* | 11,750 | 400,910 | |||
ATMI, Inc.* | 26,200 | 645,044 | |||
Beazer Homes USA, Inc.D | 22,500 | 1,032,075 | |||
Belden CDT, Inc.D | 46,600 | 1,540,130 | |||
Bucyrus International, Inc. Class AD | 11,800 | 595,900 | |||
Cascade CorporationD | 14,800 | 585,340 | |||
Centex Corporation | 26,848 | 1,350,454 | |||
Cognex Corporation | 32,700 | 851,181 | |||
Cummins, Inc.D | 12,600 | 1,540,350 | |||
Curtiss-Wright CorporationD | 41,800 | 1,290,784 | |||
Cymer, Inc.D* | 30,200 | 1,403,092 | |||
Dionex Corporation* | 17,200 | 940,152 | |||
ESCO Technologies, Inc.D* | 12,300 | 657,435 | |||
Flow International CorporationD* | 26,000 | 365,820 | |||
Gardner Denver, Inc.D* | 16,000 | 616,000 | |||
Gehl Co.D* | 20,600 | 525,918 | |||
Genlyte Group, Inc.D* | 24,076 | 1,743,825 | |||
Graco, Inc.D | 23,300 | 1,071,334 | |||
Headwaters, Inc.D* | 36,400 | 930,384 | |||
Hovnanian Enterprises, Inc. Class AD* | 28,700 | 863,296 | |||
Itron, Inc.* | 13,650 | 808,899 | |||
Ladish Co., Inc.* | 14,500 | 543,315 | |||
Lexmark International, Inc.* | 23,000 | 1,284,090 | |||
Littelfuse, Inc.* | 25,000 | 859,500 | |||
Measurement Specialties, Inc.D* | 95,300 | 2,122,331 | |||
Meritage Homes CorporationD* | 39,000 | 1,842,750 | |||
Middleby CorporationD* | 3,700 | 320,272 | |||
MKS Instruments, Inc.* | 37,600 | 756,512 | |||
MTC Technologies, Inc.D* | 19,900 | 470,237 | |||
Orbital Sciences CorporationD* | 54,700 | 882,858 | |||
Polycom, Inc.* | 56,700 | 1,242,864 | |||
Regal-Beloit Corporation | 8,400 | 370,860 | |||
Rofin-Sinar Technologies, Inc.* | 11,900 | 683,893 | |||
Rudolph Technologies, Inc.D* | 36,100 | 523,450 | |||
Ryland Group, Inc.D | 52,332 | 2,280,105 | |||
SBA Communications Corporation Class AD* | 28,600 | 747,604 | |||
Spectralink CorporationD | 84,800 | 747,936 | |||
Technical Olympic USA, Inc.D | 77,100 | 1,107,156 | |||
United Industrial CorporationD | 19,200 | 868,800 | |||
Varian Semiconductor Equipment Associates, Inc.* | 58,950 | 1,922,360 | |||
X-Rite, Inc.D | 89,955 | 988,606 | |||
44,721,813 | |||||
Technology — 11.5% | |||||
Aeroflex, Inc.* | 54,300 | 633,681 | |||
Alvarion, Ltd.D* | 69,500 | 426,730 | |||
American Reprographics Co.* | 34,200 | 1,239,750 | |||
Anaren, Inc.* | 13,900 | 284,811 | |||
Ansys, Inc.* | 14,400 | 688,608 | |||
Arrow Electronics, Inc.* | 11,800 | 379,960 | |||
Atheros Communications, Inc.D* | 24,400 | 462,624 | |||
Avid Technology, Inc.D* | 22,800 | 759,924 | |||
Avnet, Inc.* | 28,200 | 564,564 | |||
Avocent Corporation* | 17,000 | 446,250 | |||
BMC Software, Inc.* | 48,200 | 1,151,980 | |||
Bottomline Technologies, Inc.D* | 30,900 | 251,526 | |||
CACI International, Inc. Class AD* | 43,457 | 2,534,847 | |||
Click Commerce, Inc.D* | 19,900 | 392,627 | |||
Comtech TelecommunicationsD* | 81,000 | 2,370,870 | |||
CPI International, Inc.* | 30,800 | 446,600 | |||
Cryptologic, Inc.D | 60,900 | 1,474,998 | |||
CSG Systems International, Inc.* | 21,100 | 522,014 | |||
DealerTrack Holdings, Inc.D* | 21,800 | 481,998 | |||
Digitas, Inc.D* | 43,500 | 505,470 | |||
Emageon, Inc.D* | 44,900 | 655,091 | |||
Epicor Software CorporationD* | 179,900 | 1,894,347 | |||
Equinix, Inc.D* | 24,950 | 1,368,757 | |||
Exar CorporationD* | 30,500 | 404,735 | |||
F5 Networks, Inc.D* | 9,600 | 513,408 | |||
Filenet CorporationD* | 7,800 | 210,054 | |||
FLIR Systems, Inc.D* | 15,800 | 348,548 | |||
FormFactor, Inc.D* | 16,500 | 736,395 | |||
Foundry Networks, Inc.* | 114,600 | 1,221,636 | |||
Herley Industries, Inc.D* | 62,000 | 695,020 | |||
i2 Technologies, Inc.D* | 43,800 | 554,946 | |||
Informatica CorporationD* | 37,600 | 494,816 | |||
Ingram Micro, Inc. Class A* | 74,400 | 1,348,872 | |||
j2 Global Communications, Inc.D* | 66,500 | 2,076,130 | |||
Kanbay International, Inc.D* | 55,000 | 799,700 | |||
Keane, Inc.D* | 85,700 | 1,071,250 | |||
Komag, Inc.D* | 17,900 | 826,622 |
See Notes to Financial Statements.
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Shares | Value | ||||||
Lionbridge Technologies, Inc.D* | 115,000 | $ | 635,950 | ||||
Merge Technologies, Inc.D* | 87,400 | 1,075,894 | |||||
Micros Systems, Inc.D* | 24,400 | 1,065,792 | |||||
Microsemi CorporationD* | 75,500 | 1,840,690 | |||||
MicroStrategy, Inc. Class AD* | 12,000 | 1,170,240 | |||||
M-Systems Flash Disk PioneersD* | 40,500 | 1,200,015 | |||||
Multi-Fineline Electronix, Inc.D* | 19,700 | 653,843 | |||||
NAM TAI Electronics, Inc.D | 26,100 | 583,857 | |||||
Neoware, Inc.D* | 37,600 | 462,104 | |||||
Netgear, Inc.D* | 38,000 | 822,700 | |||||
NovAtel, Inc.* | 21,700 | 741,272 | |||||
Omnivision Technologies, Inc.D* | 26,700 | 563,904 | |||||
Openwave Systems, Inc.D* | 48,000 | 553,920 | |||||
Park Electrochemical CorporationD | 13,800 | 355,350 | |||||
PDF Solutions, Inc.D* | 50,000 | 620,500 | |||||
Power Intergrations, Inc.D* | 36,000 | 629,280 | |||||
Rackable Systems, Inc.D* | 6,600 | 260,634 | |||||
Radisys CorporationD* | 64,977 | 1,426,895 | |||||
RADVision, Ltd.D* | 35,400 | 564,276 | |||||
RF Micro Devices, Inc.* | 62,600 | 373,722 | |||||
SafeNet, Inc.D* | 48,800 | 864,736 | |||||
Semtech Corporation* | 40,600 | 586,670 | |||||
SI International, Inc.D* | 24,200 | 741,972 | |||||
Silicon Motion Technology Corporation ADR* | 28,100 | 402,954 | |||||
Stratasys, Inc.D* | 62,096 | 1,829,348 | |||||
Supertex, Inc.D* | 17,300 | 690,962 | |||||
Synaptics, Inc.D* | 15,600 | 333,840 | |||||
Talx CorporationD | 20,300 | 443,961 | |||||
Tessera Technologies, Inc.D* | 20,000 | 550,000 | |||||
Transaction Systems Architects, Inc.D* | 25,000 | 1,042,250 | |||||
Trident Microsystems, Inc.* | 22,500 | 427,050 | |||||
Trimble Navigation, Ltd.* | 6,400 | 285,696 | |||||
TRX, Inc.* | 61,600 | 555,016 | |||||
VeriFone Holdings, Inc.D* | 30,300 | 923,544 | |||||
Verint Systems, Inc.* | 16,000 | 467,040 | |||||
Viasat, Inc.* | 21,700 | 557,256 | |||||
Volterra Semiconductor CorporationD* | 56,900 | 868,294 | |||||
WebEx Communications, Inc.D* | 40,300 | 1,432,262 | |||||
Websense, Inc.D* | 102,802 | 2,111,553 | |||||
Wind River Systems, Inc.D* | 61,000 | 542,900 | |||||
Witness Systems, Inc.D* | 46,100 | 929,837 | |||||
Xyratex, Ltd.D* | 29,400 | 777,630 | |||||
Zoran CorporationD* | 35,200 | 856,768 | |||||
65,062,536 | |||||||
Utilities — 3.6% | |||||||
AGL Resources, Inc. | 18,700 | 712,844 | |||||
Allegheny Energy, Inc.* | 20,700 | 767,349 | |||||
Alliant Energy Corporation | 49,800 | 1,708,140 | |||||
Avista Corporation | 18,200 | 415,506 | |||||
CenturyTel, Inc. | 54,400 | 2,020,960 | |||||
Dobson Communications Corporation Class AD* | 80,500 | 622,265 | |||||
El Paso Electric Co.D* | 28,500 | 574,560 | |||||
Energen Corporation | 40,200 | 1,544,082 | |||||
Energy East Corporation | 76,900 | 1,840,217 | |||||
Golden Telecom, Inc. | 8,400 | 212,940 | |||||
Laclede Group, Inc.D | 37,900 | 1,302,244 | |||||
MDU Resources Group, Inc. | 21,100 | 772,471 | |||||
NeuStar, Inc. Class AD* | 23,000 | 776,250 | |||||
NiSource, Inc.D | 51,200 | 1,118,208 | |||||
Pinnacle West Capital Corporation | 42,100 | 1,680,211 | |||||
Southern Co. (The) | 10 | 320 | |||||
UGI CorporationD | 47,000 | 1,157,140 | |||||
Unisource Energy CorporationD | 33,400 | 1,040,410 | |||||
Wisconsin Energy CorporationD | 48,800 | 1,966,640 | |||||
20,232,757 | |||||||
Total Common Stocks | 542,292,668 | ||||||
EXCHANGE TRADED FUND — 0.1% | |||||||
iShares Russell 2000D | 4,750 | 341,525 | |||||
MONEY MARKET FUNDS — 50.7% | |||||||
GuideStone Funds Money Market Fund (GS4 Class)¥ | 25,571,309 | 25,571,309 | |||||
Northern Institutional Liquid Assets Portfolio§ | 262,610,326 | 262,610,326 | |||||
TotalMoney Market Funds | 288,181,635 | ||||||
Par | |||||||
CORPORATE BOND — 0.0% | |||||||
TIMCO Aviation Services, Inc. | |||||||
PIK | |||||||
8.00%, 01/01/07+* | |||||||
(Cost $0) | $ | 1,214 | — | ||||
U.S. TREASURY OBLIGATION — 0.3% | |||||||
U.S. Treasury Bill | |||||||
4.66%, 09/21/06‡‡ | |||||||
(Cost $1,543,449) | 1,560,000 | 1,543,452 | |||||
TOTAL INVESTMENTS — 146.6% | 832,359,280 | ||||||
Liabilities in Excess of Other Assets — (46.6)% | (264,546,382 | ) | |||||
NET ASSETS — 100.0% | $ | 567,812,898 | |||||
See Notes to Financial Statements.
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Small Cap Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
PORTFOLIO SUMMARY+ | |||
% | |||
Money Market Funds | 50.7 | ||
Financial Services | 21.8 | ||
Consumer Discretionary | 18.1 | ||
Healthcare | 12.0 | ||
Technology | 11.5 | ||
Materials & Processing | 10.3 | ||
Producer Durables | 7.9 | ||
Other Energy | 4.9 | ||
Auto & Transportation | 4.1 | ||
Futures Contracts | 3.7 | ||
Utilities | 3.6 | ||
Consumer Staples | 0.8 | ||
U.S. Treasury Obligation | 0.3 | ||
Integrated Oils | 0.3 | ||
Other | 0.2 | ||
Exchange Traded Fund | 0.1 | ||
Coporate Bond | — | ** | |
150.3 | |||
+ | Based on net assets. |
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
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Table of Contents
Average Annual Total Returns as of 6/30/06 | ||||||||||||
GS2 Class* | GS4 Class* | GS6 Class* | Benchmark** | GS8 Class* | GS8 Class Benchmark** | |||||||
One Year | 26.95% | 26.70% | 26.31% | 27.90% | 25.87% | 27.90% | ||||||
Since Inception | 11.94% | 11.76% | 11.30% | 12.24% | 19.45% | 21.48% | ||||||
Inception Date | 08/27/01 | 08/27/01 | 08/27/01 | 08/27/01 | 11/08/04 | 11/08/04 |
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.GuideStoneFunds.org. 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.
The graph compares the results of a hypothetical $10,000 investment in the GS4 Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the MSCI ACWI® Ex-U.S.
* | These returns reflect expense waivers by the Fund’s investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
** | The MSCI ACWI® Ex-U.S. is a market-capitalization weighted index composed of companies representative of the market structure of developed and emerging market countries in the Americas (excluding the U.S.), Europe/Middle East, and Asia/ Pacific Regions. It excludes closed markets and those shares in otherwise free markets that are not purchasable by foreigners. |
Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.
Foreign securities may involve additional risks, social and political instability, reduced market liquidity and currency volatility.
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International Equity Fund | ||
SCHEDULE OF INVESTMENTS | June 30, 2006 (Unaudited) |
Shares | Value | ||||
FOREIGN COMMON STOCKS — 96.4% | |||||
Argentina — 0.0% | |||||
Banco Macro Bansud SA ADRD | 16,400 | $ | 333,904 | ||
Australia — 3.2% | |||||
Amcor, Ltd.D | 785,696 | 3,900,133 | |||
Brambles Industries, Ltd.D | 42,740 | 349,362 | |||
Coca-Cola Amatil, Ltd.D | 659,905 | 3,476,771 | |||
Goodman Fielder, Ltd.D* | 293,000 | 465,940 | |||
Insurance Australia Group, Ltd.D | 200,899 | 798,693 | |||
John Fairfax Holdings, Ltd.D | 495,000 | 1,379,383 | |||
Lend Lease Corporation, Ltd. | 414,209 | 4,306,115 | |||
Macquarie Bank, Ltd.D | 18,341 | 940,417 | |||
National Australia Bank, Ltd.D | 279,655 | 7,306,677 | |||
Promina Group, Ltd.D | 78,500 | 327,834 | |||
QBE Insurance Group, Ltd.D | 38,781 | 590,774 | |||
Quantas Airways, Ltd. | 841,443 | 1,850,823 | |||
Rinker Group, Ltd. | 131,218 | 1,598,162 | |||
Telstra Corporation, Ltd. | 1,475,239 | 4,034,211 | |||
Wesfarmers, Ltd.D | 88,726 | 2,329,394 | |||
Woodside Petroleum, Ltd.D | 278,257 | 9,098,027 | |||
Woolworths, Ltd.D | 75,498 | 1,130,470 | |||
43,883,186 | |||||
Austria — 0.1% | |||||
Erste Bank Der Oesterre-ichischen Sparkassen AG | 11,600 | 652,827 | |||
Raiffeisen International Bank Holding AGD | 3,400 | 295,282 | |||
Telekom Austria AG | 8,054 | 179,349 | |||
1,127,458 | |||||
Belgium — 0.9% | |||||
Colruyt SAD* | 40,100 | 6,262,500 | |||
Fortis | 163,291 | 5,570,227 | |||
UCB SAD | 16,500 | 892,713 | |||
12,725,440 | |||||
Brazil — 1.0% | |||||
All America Latina Logistica SA | 4,400 | 298,426 | |||
Aracruz Celulose SA ADR | 4,700 | 246,374 | |||
Arcelor Brasil SA | 33,374 | 516,504 | |||
Banco do Brasil SA | 55,300 | 1,275,840 | |||
Brasil Telecom Participacoes SA ADRD | 28,900 | 941,273 | |||
Centrais Eletricas Brasileiras SA | 13,535,400 | 290,406 | |||
Companhia Brasileira de Distribuicao Grupo Pao de Acucar ADRD | 32,600 | 1,015,164 | |||
Companhia Vale do Rio Doce ADRD | 205,000 | 4,218,900 | |||
CPFL Energia SA ADRD | 7,500 | 274,125 | |||
Localiza Rent A Car SA | 7,400 | 140,080 | |||
Lojas Renner SA | 7,100 | 376,979 | |||
Petroleo Brasileiro SA ADR ADR | 25,500 | 2,035,920 | |||
Tele Norte Leste Participacoes SA ADRD | 103,300 | 1,317,075 | |||
Tim Participacoes SA ADRD | 17,500 | 482,125 | |||
Unibanco ADR | 11,300 | 750,207 | |||
14,179,398 | |||||
Canada — 2.3% | |||||
Abitibi-Consolidated, Inc.D | 76,300 | 205,736 | |||
Alcan, Inc. | 94,500 | 4,426,592 | |||
Barrick Gold Corporation | 69,300 | 2,051,280 | |||
Cameco Corporation | 69,200 | 2,756,718 | |||
Canadian Natural Resources, Ltd. | 47,200 | 2,609,678 | |||
CGI Group, Inc.* | 86,400 | 538,694 | |||
Finning International, Inc. | 17,000 | 566,514 | |||
First Quantum Minerals, Ltd. | 28,600 | 1,282,043 | |||
Inco, Ltd.* | 22,400 | 1,476,160 | |||
Manulife Financial Corporation | 20,400 | 646,375 | |||
Methanex Corporation | 28,600 | 602,847 | |||
Potash Corporation of SaskatchewanD | 35,264 | 3,024,189 | |||
Rogers Communications, Inc. Class B | 8,400 | 337,941 | |||
Suncor Energy, Inc. | 95,400 | 7,720,538 | |||
Talisman Energy, Inc. | 137,100 | 2,392,464 | |||
TELUS Corporation | 10,400 | 428,838 | |||
TELUS Corporation (Non-Voting) | 4,300 | 173,533 | |||
Toronto-Dominion Bank | 11,600 | 588,989 | |||
31,829,129 | |||||
Chile — 0.2% | |||||
AFP Provida SA ADRD | 15,300 | 369,495 | |||
Banco de Credito e Inversiones | 23,100 | 608,289 | |||
Banco Santander Chile SA ADRD | 10,700 | 431,638 | |||
Centros Comerciales Sudamericanos SA | 108,838 | 266,419 | |||
Embotelladora Andina SA ADR Class A | 30,100 | 404,243 | |||
Embotelladora Andina SA ADR Class B | 36,500 | 537,280 | |||
Empresas CMPC SA | 6,700 | 183,264 | |||
Enersis SA ADRD | 35,800 | 402,750 | |||
Masisa SA ADR | 10,700 | 85,279 | |||
3,288,657 | |||||
China — 0.7% | |||||
China Construction Bank Class H 144AD | 3,892,000 | 1,779,045 | |||
China Shenhua Energy Co., Ltd. Class HD | 1,925,500 | 3,557,798 | |||
China Telecom Corporation, Ltd. Class H | 3,024,000 | 973,436 | |||
Jiangsu Expressway Co., Ltd. Class HD | 1,691,700 | 952,988 | |||
PetroChina Co., Ltd. Class HD | 1,400,000 | 1,496,208 | |||
Sina CorporationD* | 18,200 | 454,636 | |||
9,214,111 | |||||
Colombia — 0.1% | |||||
BanColombia SA | 76,200 | 396,729 | |||
BanColombia SA ADR | 13,900 | 334,990 | |||
731,719 | |||||
Denmark — 1.2% | |||||
Danske Bank A/SD | 60,186 | 2,291,090 | |||
H Lundbeck A/S | 78,000 | 1,778,852 | |||
Novo-Nordisk AS Class BD | 200,082 | 12,745,606 | |||
16,815,548 | |||||
Ecuador — 0.1% | |||||
Holcim Ecuador SA GDR* | 26,250 | 1,106,438 | |||
See Notes to Financial Statements.
90
Table of Contents
Shares | Value | ||||
Egypt — 0.3% | |||||
Commercial International Bank, Ltd. | 1,000 | $ | 10,250 | ||
Commercial International Bank, Ltd. GDRD | 6,500 | 66,626 | |||
El Sewedy Cables Holding Co.* | 19,130 | 118,869 | |||
MobiNil - Egyptian Mobile Services | 41,471 | 937,151 | |||
Orascom Construction Industries | 79,186 | 2,413,143 | |||
Orascom Construction Industries GDR 144A | 2,658 | 162,002 | |||
Orascom Telecom Holding SAE | 8,358 | 346,621 | |||
Orascom Telecom Holding SAE GDRD | 3,042 | 126,157 | |||
Vodafone Egypt Telecommunications SAE | 4,660 | 63,564 | |||
4,244,383 | |||||
Estonia — 0.0% | |||||
Tallink Group, Ltd.* | 33,200 | 148,626 | |||
Finland — 0.9% | |||||
Neste Oil OYJD | 15,700 | 553,033 | |||
Nokia Corporation ADRD | 38,000 | 769,880 | |||
Nokia OYJD | 293,000 | 5,981,198 | |||
UPM-Kymmene OYJ | 234,600 | 5,056,099 | |||
12,360,210 | |||||
France — 8.7% | |||||
Accor SAD | 21,200 | 1,290,444 | |||
Air France-KLMD | 22,000 | 517,197 | |||
Air LiquideD | 14,945 | 2,911,199 | |||
Arkema* | 3,064 | 119,569 | |||
Assurances Generales de France | 23,100 | 2,725,625 | |||
AXA SAD | 82,700 | 2,714,250 | |||
BNP Paribas SA | 64,240 | 6,150,140 | |||
Bouygues SA | 65,363 | 3,360,823 | |||
Carrefour SA | 111,206 | 6,520,194 | |||
Casino Guichard Perrachon SAD | 24,300 | 1,847,761 | |||
Compagnie de Saint-GobainD | 111,057 | 7,940,455 | |||
Compagnie Generale des Etablissements Michelin Class BD | 9,100 | 547,050 | |||
Dassault Systemes SAD | 9,500 | 509,126 | |||
Essilor International SA Compagnie Generale D’Optique | 6,400 | 644,232 | |||
France Telecom SA | 196,815 | 4,231,687 | |||
Groupe Danone | 8,700 | 1,105,541 | |||
Lafarge SAD | 29,200 | 3,665,733 | |||
L’Oreal SA | 78,100 | 7,377,160 | |||
PagesJaunes Groupe SAD | 17,972 | 564,333 | |||
PPR SAD | 6,482 | 826,593 | |||
Renault SAD | 34,855 | 3,744,829 | |||
Safran SA | 25,800 | 561,652 | |||
Sanofi-Aventis | 134,796 | 13,154,950 | |||
Schneider Electric SA | 27,100 | 2,824,975 | |||
Societe BIC SAD | 14,600 | 944,911 | |||
Societe Generale Class A | 53,526 | 7,873,182 | |||
Societe Television Francaise 1 | 166,400 | 5,427,267 | |||
Thales SAD | 14,700 | 574,214 | |||
Total SA | 338,172 | 22,254,134 | |||
Veolia EnvironnementD | 116,978 | 6,046,175 | |||
Vivendi SA | 27,000 | 946,242 | |||
119,921,643 | |||||
Germany — 5.2% | |||||
Adidas-Salomon AG | 111,404 | 5,326,326 | |||
Allianz AG | 31,000 | 4,897,638 | |||
Altana AG | 6,900 | 384,437 | |||
BASF AG | 29,393 | 2,360,222 | |||
Bayer AG | 205,407 | 9,442,369 | |||
Bayerische Motoren Werke AG | 58,600 | 2,927,639 | |||
Commerzbank AG | 21,000 | 763,900 | |||
Continental AGD | 27,000 | 2,759,986 | |||
DaimlerChrysler AG | 20,900 | 1,032,663 | |||
Deutsche Bank AGD | 42,344 | 4,766,090 | |||
Deutsche Post AG | 32,000 | 857,885 | |||
E.ON AG | 35,200 | 4,052,932 | |||
Hannover Rueckversicherung AGD | 47,600 | 1,665,145 | |||
Infineon Technologies AG* | 57,300 | 638,352 | |||
Metro AG | 27,700 | 1,570,244 | |||
RWE AG | 87,163 | 7,252,156 | |||
SAP AGD | 9,200 | 1,941,599 | |||
SAP AG ADRD | 4,500 | 236,340 | |||
Siemens AGD | 132,524 | 11,531,417 | |||
Volkswagen AGD | 99,386 | 6,969,973 | |||
71,377,313 | |||||
Greece — 0.3% | |||||
National Bank of Greece SA | 36,428 | 1,438,800 | |||
Public Power Corporation | 102,000 | 2,416,177 | |||
3,854,977 | |||||
Hong Kong — 4.4% | |||||
Bank of East Asia, Ltd.D | 191,800 | 789,051 | |||
China Mengniu Dairy Co., Ltd. | 678,000 | 851,178 | |||
China Mobile, Ltd.D | 1,172,500 | 6,703,192 | |||
China Resources Power Holdings Co.D | 1,236,900 | 1,035,223 | |||
China Yurun Food Group, Ltd. | 358,000 | 271,970 | |||
Citic Pacific, Ltd.D | 153,000 | 451,141 | |||
CLP Holdings, Ltd.D | 1,150,000 | 6,730,039 | |||
CNOOC, Ltd.D | 9,265,000 | 7,396,444 | |||
Denway Motors, Ltd.D | 4,776,000 | 1,598,908 | |||
Global Bio-Chem Technology Group Co., Ltd.D | 749,000 | 318,260 | |||
GOME Electrical Appliances Holdings, Ltd.D | 166,000 | 140,002 | |||
Hang Lung Group, Ltd. | 200,000 | 432,638 | |||
Hang Lung Properties, Ltd.D | 296,000 | 529,776 | |||
Hong Kong & China Gas Co., Ltd.D | 3,684,000 | 8,087,790 | |||
Hong Kong Electric Holdings, Ltd. | 754,000 | 3,412,577 | |||
HSBC Holdings PLCD | 186,156 | 3,262,278 | |||
Hutchison Whampoa, Ltd.D | 556,000 | 5,075,828 | |||
Jardine Matheson Holdings, Ltd. | 124,000 | 2,182,400 | |||
Johnson Electric Holdings, Ltd.D | 446,500 | 324,830 | |||
Li & Fung, Ltd. | 573,000 | 1,158,351 | |||
Solomon Systech International, Ltd. | 1,697,600 | 428,427 | |||
Sun Hung Kai Properties, Ltd.D | 62,000 | 632,270 | |||
Swire Pacific, Ltd. Class AD | 494,500 | 5,103,354 | |||
Techtronic Industries Co.D | 1,214,000 | 1,641,322 | |||
Wharf Holdings, Ltd. | 682,000 | 2,423,702 | |||
60,980,951 | |||||
See Notes to Financial Statements.
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SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | ||||
Hungary — 0.2% | |||||
MOL Hungarian Oil and Gas PLC | 8,524 | $ | 876,324 | ||
MOL Hungarian Oil and Gas PLC ADR | 14,081 | 1,443,302 | |||
2,319,626 | |||||
India — 1.0% | |||||
Andhra Bank, Ltd. | 830,784 | 1,127,802 | |||
Asian Paints, Ltd. | 61,700 | 800,130 | |||
Bharat Heavy Electricals, Ltd. | 16,446 | 696,365 | |||
Bharti Airtel, Ltd.* | 119,262 | 958,448 | |||
Container Corporation of India, Ltd. | 37,600 | 1,175,939 | |||
GAIL India, Ltd. GDRD | 30,900 | 1,035,150 | |||
Gujarat Ambuja Cements, Ltd. | 802,900 | 1,734,327 | |||
Hero Honda Motors, Ltd. | 14,960 | 257,885 | |||
Hindustan Petroleum Corporation, Ltd. | 21,728 | 111,118 | |||
ICICI Bank, Ltd. | 33,889 | 359,132 | |||
ICICI Bank, Ltd. ADR | 7,000 | 165,550 | |||
Infosys Technologies, Ltd. ADRD | 18,623 | 1,422,983 | |||
Oil & Natural Gas Corporation, Ltd. | 12,808 | 308,252 | |||
Ranbaxy Laboratories, Ltd. | 116,254 | 899,807 | |||
Ranbaxy Laboratories, Ltd. GDRD | 157,100 | 1,242,551 | |||
Sesa GOA, Ltd. | 22,920 | 556,024 | |||
Sun Pharmaceuticals Industries, Ltd.* | 52,600 | 899,935 | |||
Tata Motors, Ltd. | 24,954 | 430,814 | |||
14,182,212 | |||||
Indonesia — 0.8% | |||||
Bank Rakyat Indonesia | 6,980,500 | 3,089,717 | |||
PT Bank Mandiri Persero TBK | 6,674,723 | 1,239,396 | |||
PT Panin Life TBK | 26,999,000 | 466,354 | |||
PT Ramayana Lestari Sentosa TBK | 6,439,500 | 521,389 | |||
PT Telekomunikasi Indonesia TBK | 7,609,500 | 6,037,982 | |||
11,354,838 | |||||
Ireland — 0.8% | |||||
Allied Irish Banks PLC | 98,500 | 2,374,845 | |||
CRH PLC | 161,003 | 5,241,566 | |||
DEPFA Bank PLC | 41,600 | 689,582 | |||
Irish Life & Permanent PLC | 35,300 | 839,799 | |||
Kingspan Group PLC | 77,395 | 1,351,242 | |||
10,497,034 | |||||
Israel — 0.4% | |||||
Bank Hapoalim, Ltd. | 119,700 | 510,864 | |||
Bank Leumi Le-Israel BM | 49,800 | 177,192 | |||
Check Point Software Technologies, Ltd.D* | 108,400 | 1,905,672 | |||
Syneron Medical, Ltd.D* | 9,900 | 206,712 | |||
Teva Pharmaceutical Industries, Ltd. ADRD | 77,900 | 2,460,861 | |||
5,261,301 | |||||
Italy — 2.6% | |||||
Banca Intesa SpA | 1,357,558 | 7,952,644 | |||
Banca Popolare di MilanoD | 246,585 | 3,142,908 | |||
ENI SpAD | 160,223 | 4,719,614 | |||
FastWebD | 45,171 | 1,963,228 | |||
Mediaset SpA | 397,359 | 4,685,993 | |||
Mediolanum SpAD | 425,471 | 2,987,652 | |||
UniCredito Italiano SpA | 1,300,116 | 10,177,033 | |||
35,629,072 | |||||
Japan — 25.0% | |||||
Advantest CorporationD | 49,800 | 5,073,995 | |||
Aeon Co., Ltd. | 91,700 | 2,011,246 | |||
Aiful Corporation | 6,900 | 368,394 | |||
Ajinomoto Co., Inc. | 154,000 | 1,704,981 | |||
Astellas Pharma, Inc. | 149,100 | 5,472,038 | |||
Bridgestone Corporation | 150,400 | 2,897,868 | |||
Canon, Inc. | 301,050 | 14,757,869 | |||
Credit Saison Co., Ltd. | 40,100 | 1,899,179 | |||
Daiichi Sankyo Co., Ltd. | 27,600 | 759,699 | |||
Daikin Industries, Ltd. | 176,000 | 6,105,557 | |||
Daito Trust Construction Co., Ltd. | 37,000 | 2,049,808 | |||
Daiwa House Industry Co., Ltd. | 47,000 | 751,573 | |||
Denso Corporation | 201,400 | 6,581,929 | |||
Eisai Co., Ltd. | 140,100 | 6,304,745 | |||
FamilyMart Co., Ltd. | 68,000 | 1,960,853 | |||
Fanuc, Ltd. | 135,700 | 12,189,759 | |||
Fast Retailing Co., Ltd.D | 28,700 | 2,344,853 | |||
Funai Electric Co., Ltd.D | 10,100 | 979,640 | |||
Hirose Electric Co., Ltd. | 41,000 | 4,979,902 | |||
Hitachi, Ltd. | 425,000 | 2,807,585 | |||
Honda Motor Co., Ltd. | 195,200 | 6,191,681 | |||
Hoya Corporation | 22,000 | 782,419 | |||
JS Group Corporation | 127,000 | 2,668,953 | |||
JSR CorporationD | 84,300 | 2,128,862 | |||
Kansai Electric Power Co., Inc. (The) | 59,800 | 1,337,714 | |||
Kao Corporation | 301,000 | 7,877,447 | |||
KDDI Corporation | 947 | 5,817,380 | |||
Keyence CorporationD | 32,120 | 8,201,209 | |||
Kuraray Co., Ltd. | 151,000 | 1,688,920 | |||
Marubeni CorporationD | 402,000 | 2,142,782 | |||
Matsushita Electric Industrial Co., Ltd. | 119,686 | 2,525,705 | |||
Millea Holdings, Inc. | 770 | 14,331,527 | |||
Mitsubishi Corporation | 78,300 | 1,563,400 | |||
Mitsubishi Estate Co., Ltd. | 783,100 | 16,628,216 | |||
Mitsubishi Heavy Industries, Ltd. | 859,000 | 3,708,022 | |||
Mitsubishi UFJ Financial Group, Inc. | 1,008 | 14,092,974 | |||
Mitsui & Co., Ltd.D | 35,000 | 494,233 | |||
Mitsui Sumitomo Insurance Co., Ltd. | 42,000 | 527,386 | |||
Mizuho Financial Group, Inc. | 503 | 4,259,062 | |||
Murata Manufacturing Co., Ltd. | 7,200 | 467,459 | |||
NGK Spark Plug Co., Ltd.D | 38,000 | 763,719 | |||
Nidec Corporation | 8,600 | 616,218 | |||
Nikko Cordial Corporation | 235,000 | 3,006,292 | |||
Nintendo Co., Ltd. | 16,000 | 2,684,376 | |||
Nippon Electric Glass Co., Ltd. | 69,000 | 1,383,738 | |||
Nippon Telegraph & Telephone Corporation | 766 | 3,755,033 | |||
Nissan Motor Co., Ltd. | 208,200 | 2,274,117 | |||
Nitto Denko CorporationD | 95,000 | 6,765,554 | |||
NTT Data Corporation | 759 | 3,282,987 | |||
NTT DoCoMo, Inc. | 3,740 | 5,490,388 | |||
Odakyu Electric Railway Co., Ltd.D | 93,000 | 599,738 | |||
ORIX Corporation | 46,290 | 11,305,536 |
See Notes to Financial Statements.
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Shares | Value | ||||
Pioneer Corporation | 109,400 | $ | 1,764,701 | ||
Ricoh Co., Ltd.D | 190,000 | 3,727,281 | |||
Rohm Co., Ltd. | 54,700 | 4,889,733 | |||
Secom Co., Ltd. | 105,000 | 4,963,736 | |||
Sekisui Chemical Co., Ltd. | 286,000 | 2,469,137 | |||
Sharp Corporation | 118,000 | 1,864,243 | |||
Shimamura Co., Ltd. | 38,500 | 4,218,717 | |||
Shin-Etsu Chemical Co., Ltd. | 139,000 | 7,554,876 | |||
SMC Corporation | 16,400 | 2,320,133 | |||
Softbank CorporationD | 193,600 | 4,339,252 | |||
Sompo Japan Insurance, Inc. | 82,900 | 1,159,035 | |||
Sony Corporation | 120,000 | 5,295,351 | |||
Square Enix Co., Ltd.D | 64,000 | 1,331,003 | |||
Sumitomo Chemical Co., Ltd. | 312,000 | 2,600,909 | |||
Sumitomo Corporation | 161,000 | 2,122,938 | |||
Sumitomo Metal Industries, Ltd. | 219,000 | 903,251 | |||
Sumitomo Mitsui Financial Group, Inc. | 743 | 7,855,907 | |||
Sumitomo Realty & Development Co., Ltd. | 32,000 | 788,535 | |||
Sumitomo Trust & Banking Co., Ltd. | 310,000 | 3,386,054 | |||
Suzuki Motor Corporation | 121,300 | 2,623,362 | |||
T&D Holdings, Inc. | 58,750 | 4,748,667 | |||
Takeda Pharmaceutical Co., Ltd. | 285,100 | 17,737,784 | |||
Takefuji CorporationD | 28,800 | 1,716,323 | |||
TIS, Inc. | 34,200 | 956,309 | |||
Tokyo Electric Power Company, Inc. | 22,100 | 610,241 | |||
Tokyo Electron, Ltd. | 44,300 | 3,096,819 | |||
Tokyo Gas Co., Ltd.D | 604,000 | 2,844,775 | |||
Tokyu CorporationD | 553,000 | 3,227,927 | |||
Toshiba CorporationD | 185,000 | 1,207,576 | |||
Toyota Motor Corporation | 218,900 | 11,457,628 | |||
Trend Micro, Inc. | 34,000 | 1,146,802 | |||
Ushio, Inc.D | 26,000 | 548,672 | |||
West Japan Railway Co. | 483 | 2,004,762 | |||
Yahoo! Japan Corporation | 2,402 | 1,271,943 | |||
Yamada Denki Co., Ltd. | 15,700 | 1,601,005 | |||
Yamato Transport Co., Ltd. | 98,500 | 1,747,247 | |||
343,467,154 | |||||
Luxembourg — 0.1% | |||||
ArcelorD | 15,800 | 762,687 | |||
SES Global | 47,700 | 677,219 | |||
1,439,906 | |||||
Malaysia — 0.2% | |||||
AirAsia BHD* | 1,209,200 | 493,618 | |||
Bumiputra-Commerce Holdings BHD | 922,900 | 1,494,422 | |||
IOI Corporation BHD | 258,300 | 1,005,223 | |||
MK Land Holdings BHD | 841,300 | 153,401 | |||
Titan Chemicals Corporation BHD | 299,500 | 103,515 | |||
3,250,179 | |||||
Mexico — 0.6% | |||||
America Movil SA de CV ADR Series L | 48,100 | 1,599,806 | |||
Cemex SA de CV* | 348,349 | 1,985,739 | |||
Corporacion Moctezuma SA de CV | 177,000 | 358,955 | |||
Grupo Mexico SA de CV Series B | 51,300 | 146,555 | |||
Grupo Televisa SA ADR | 99,811 | 1,927,351 | |||
Kimberly-Clark de Mexico SA de CV Class A | 22,900 | 72,529 | |||
Urbi Desarrollos Urbanos SA* | 110,300 | 255,782 | |||
Wal-Mart de Mexico SA de CV Series V | 608,377 | 1,700,478 | |||
8,047,195 | |||||
Netherlands — 4.6% | |||||
ABN AMRO Holding NV | 71,456 | 1,954,948 | |||
Aegon NV | 93,328 | 1,595,993 | |||
Akzo Nobel NV | 41,000 | 2,210,915 | |||
ING Groep NV | 357,914 | 14,067,888 | |||
Koninklijke Numico NV | 149,913 | 6,728,377 | |||
Koninklijke Philips Electronics NV | 60,200 | 1,881,082 | |||
Reed Elsevier NV | 544,638 | 8,192,245 | |||
Royal Dutch Shell PLC Class A | 544,861 | 18,328,594 | |||
Royal Dutch Shell PLC Class B | 12,441 | 435,045 | |||
Royal KPN NV | 195,900 | 2,202,475 | |||
TNT NV | 81,600 | 2,920,287 | |||
Trader Media East, Ltd. GDRD* | 30,400 | 285,760 | |||
Unilever NV | 99,000 | 2,245,079 | |||
63,048,688 | |||||
New Zealand — 0.2% | |||||
Telecom Corporation of New Zealand, Ltd. | 1,335,696 | 3,287,907 | |||
Norway — 0.5% | |||||
DNB NOR ASAD | 48,400 | 600,636 | |||
Norsk Hydro ASA | 99,000 | 2,624,139 | |||
Norske Skogindustrier ASAD | 27,284 | 399,953 | |||
Telenor ASA | 226,413 | 2,737,004 | |||
Yara International ASA | 28,000 | 373,339 | |||
6,735,071 | |||||
Peru — 0.1% | |||||
Compania de Minas Buenaventura SA ADRD | 5,700 | 155,496 | |||
Credicorp, Ltd.D | 30,900 | 925,764 | |||
1,081,260 | |||||
Philippines — 0.2% | |||||
Globe Telecom, Inc. | 38,800 | 679,196 | |||
SM Prime Holdings, Inc. | 8,867,200 | 1,301,853 | |||
1,981,049 | |||||
Poland — 0.1% | |||||
Powszechna Kasa Oszczednosci Bank Polski SA | 119,432 | 1,390,645 | |||
Portugal — 0.1% | |||||
Portugal Telecom SGPS SA | 148,110 | 1,788,315 | |||
Romania — 0.0% | |||||
SNP Petrom SA | 1,991,000 | 363,341 | |||
Russia — 0.9% | |||||
Comstar United Telesystems GDR 144A | 43,397 | 259,948 | |||
CTC Media, Inc.D* | 11,000 | 200,860 | |||
LUKOIL ADRD | 52,861 | 4,419,180 | |||
Mechel OAO ADRD | 8,500 | 190,315 | |||
Mining and Metallurgical Co. Norilsk Nickel ADRD | 4,003 | 520,390 | |||
Mobile Telesystems ADR | 110,300 | 3,247,232 | |||
OAO Gazprom ADRD | 21,856 | 919,045 |
See Notes to Financial Statements.
93
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International Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | ||||
Polyus Gold Mining Co. ADR+ | 4,003 | $ | 200,150 | ||
Pyaterochka Holding NV GDR* | 43,122 | 717,981 | |||
Vimpel-Communications ADRD* | 10,800 | 494,856 | |||
Wimm-Bill-Dann Foods OJSC ADRD | 18,100 | 708,615 | |||
11,878,572 | |||||
Singapore — 0.6% | |||||
DBS Group Holdings, Ltd. | 54,000 | 617,494 | |||
Neptune Orient Lines, Ltd. | 273,000 | 312,177 | |||
Oversea-Chinese Banking Corporation | 628,800 | 2,621,903 | |||
Singapore Telecommunications, Ltd. | 2,819,571 | 4,524,567 | |||
United Overseas Bank, Ltd. | 47,000 | 463,215 | |||
8,539,356 | |||||
South Africa — 1.6% | |||||
ABSA Group, Ltd. | 42,913 | 600,303 | |||
African Bank Investments, Ltd. | 86,020 | 335,802 | |||
Alexander Forbes, Ltd. | 375,700 | 765,024 | |||
Anglo American PLC | 97,640 | 3,993,027 | |||
AngloGold Ashanti, Ltd. ADRD | 24,289 | 1,168,787 | |||
Aspen Pharmacare Holdings, Ltd. | 57,041 | 290,376 | |||
Barloworld, Ltd. | 15,664 | 264,344 | |||
BHP Billiton PLC | 7,007 | 135,596 | |||
FirstRand, Ltd. | 250,467 | 590,362 | |||
Gold Fields, Ltd. | 35,494 | 801,956 | |||
Impala Platinum Holdings, Ltd. | 3,179 | 585,175 | |||
Imperial Holdings, Ltd. | 14,819 | 279,019 | |||
JD Group, Ltd. | 16,985 | 157,247 | |||
MTN Group, Ltd. | 362,285 | 2,672,926 | |||
Murray & Roberts Holdings, Ltd. | 52,966 | 187,634 | |||
Naspers, Ltd. | 39,718 | 675,095 | |||
Pick’n Pay Stores, Ltd. | 49,700 | 201,711 | |||
Sasol, Ltd. | 94,459 | 3,622,904 | |||
Standard Bank Group, Ltd. | 300,712 | 3,229,404 | |||
Telkom SA, Ltd.D | 16,242 | 298,993 | |||
Tiger Brands, Ltd. | 19,511 | 390,492 | |||
21,246,177 | |||||
South Korea — 3.0% | |||||
Amorepacific Corporation* | 980 | 323,743 | |||
Daelim Industrial Co., Ltd. | 8,570 | 538,363 | |||
Hankook Tire Co., Ltd. | 80,295 | 943,651 | |||
Honam Petrochemical Corporation | 17,000 | 829,618 | |||
Hynix Semiconductor, Inc.* | 23,140 | 749,992 | |||
Hyundai Mobis | 15,450 | 1,307,652 | |||
Hyundai Motor Co. | 32,660 | 2,774,594 | |||
Kookmin Bank | 48,091 | 3,953,727 | |||
Kookmin Bank ADRD | 30,225 | 2,510,488 | |||
Korea Electric Power Corporation | 84,410 | 3,127,285 | |||
LG.Philips LCD Co., Ltd.* | 29,360 | 1,092,393 | |||
LG.Philips LCD Co., Ltd. ADRD* | 9,400 | 170,328 | |||
Lotte Shopping Co., Ltd. | 1,430 | 556,174 | |||
Lotte Shopping Co., Ltd. GDR 144A* | 5 | 97 | |||
NCSoft Corporation* | 12,040 | 691,626 | |||
POSCO | 1,707 | 457,899 | |||
Samsung Electronics Co., Ltd. | 7,680 | 4,881,202 | |||
Samsung Electronics Co., Ltd. (Non-Voting Shares) GDR 144AD | 9,909 | 2,417,975 | |||
Samsung Electronics Co., Ltd. GDR 144AD | 10,355 | 3,288,366 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 5,800 | 779,447 | |||
Samsung Securities Co., Ltd. | 39,140 | 2,108,094 | |||
Shinhan Financial Group Co., Ltd. | 25,120 | 1,178,224 | |||
Shinsegae Co., Ltd. | 6,350 | 3,179,183 | |||
SK Telecom Co., Ltd. | 6,000 | 1,290,119 | |||
SK Telecom Co., Ltd. ADR | 22,700 | 531,634 | |||
S-Oil Corporation | 10,340 | 731,293 | |||
STX Pan Ocean Co., Ltd. | 300,000 | 123,195 | |||
Tae Young Corporation | 9,700 | 607,304 | |||
41,143,666 | |||||
Spain — 3.5% | |||||
Banco Bilbao Vizcaya Argentaria SA | 130,600 | 2,686,067 | |||
Banco Santander Central Hispano SA | 690,784 | 10,090,113 | |||
Iberdrola SA | 232,085 | 7,994,128 | |||
Inditex SAD | 185,623 | 7,830,150 | |||
Repsol YPF SA | 189,563 | 5,428,694 | |||
Telefonica SA | 803,612 | 13,382,741 | |||
47,411,893 | |||||
Sri Lanka — 0.0% | |||||
Dialog Telekom, Ltd. | 240,400 | 45,668 | |||
Sweden — 1.2% | |||||
Assa Abloy AB Class B | 174,067 | 2,926,614 | |||
Atlas Copco AB Class A | 34,000 | 944,871 | |||
Hennes & Mauritz AB Class B | 115,000 | 4,458,262 | |||
Nordea Bank ABD | 218,000 | 2,597,975 | |||
Scania AB Class B | 18,600 | 845,131 | |||
Telefonaktiebolaget LM Ericsson Class B | 1,428,500 | 4,724,119 | |||
16,496,972 | |||||
Switzerland — 4.0% | |||||
Adecco SAD | 8,276 | 489,432 | |||
Compagnie Financiere Richemont AG Class A* | 74,974 | 3,434,251 | |||
Credit Suisse Group | 30,785 | 1,722,379 | |||
Givaudan SA | 750 | 590,467 | |||
Holcim, Ltd. | 33,567 | 2,572,678 | |||
Nestle SA | 40,334 | 12,668,812 | |||
Nobel Biocare Holding AG | 9,191 | 2,182,068 | |||
Novartis AG | 291,435 | 15,780,947 | |||
Roche Holding AG | 49,221 | 8,136,734 | |||
Swiss Reinsurance | 40,152 | 2,806,420 | |||
Swisscom AG | 3,101 | 1,020,942 | |||
UBS AG | 4,871 | 533,895 | |||
Xstrata PLC | 12,800 | 485,234 | |||
Zurich Financial Services AG | 11,900 | 2,608,646 | |||
55,032,905 | |||||
Taiwan — 1.6% | |||||
Advanced Semiconductor Engineering, Inc. | 744,000 | 735,325 | |||
Advantech Co., Ltd. | 146,544 | 420,023 | |||
AU Optronics Corporation | 1,181,284 | 1,667,352 | |||
Basso Industry Corporation* | 209,060 | 293,146 | |||
Cathay Financial Holding Co., Ltd. | 397,510 | 869,237 |
See Notes to Financial Statements.
94
Table of Contents
Shares | Value | ||||
Chang Hwa Commercial Bank | 538,000 | $ | 381,348 | ||
Chinatrust Financial Holding Co. | 417,000 | 345,810 | |||
Chunghwa Telecom Co., Ltd.* | 60,000 | 108,409 | |||
Faraday Technology Corporation | 291,934 | 503,125 | |||
Foxconn Technology Co., Ltd.* | 123,700 | 993,344 | |||
High Tech Computer Corporation | 96,000 | 2,638,869 | |||
Largan Precision Co., Ltd.* | 35,000 | 749,131 | |||
Lite-On Technology Corporation* | 367,000 | 543,515 | |||
MediaTek, Inc. | 100,000 | 926,569 | |||
Phoenixtec Power Co., Ltd. | 405,605 | 413,403 | |||
Shin Kong Financial Holding Co., Ltd. | 335,000 | 368,342 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 4,069,925 | 7,341,011 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 10,918 | 100,226 | |||
United Microelectronics Corporation | 3,134,000 | 1,877,835 | |||
Vanguard International Semiconductor Corporation | 1,024,395 | 691,314 | |||
Wistron Corporation | 137,000 | 160,791 | |||
Yuanta Core Pacific Securities Co.* | 428,000 | 282,888 | |||
22,411,013 | |||||
Thailand — 0.3% | |||||
Airports of Thailand Public Co., Ltd. | 627,800 | 922,267 | |||
PTT Public Co., Ltd. | 348,700 | 2,067,319 | |||
Siam City Cement Public Co., Ltd. | 23,600 | 137,440 | |||
Thai Oil Public Co., Ltd. | 563,600 | 938,840 | |||
4,065,866 | |||||
Turkey — 0.2% | |||||
Arcelik AS | 35,990 | 205,819 | |||
Coca-Cola Icecek Uretim AS* | 33,750 | 154,621 | |||
Ford Otomotiv Sanayi AS | 16,960 | 113,602 | |||
Migros Turk TAS* | 126,874 | 1,018,197 | |||
Türkiye Garanti Bankasi AS | 182,074 | 453,316 | |||
Türkiye Is Bankasi | 111,653 | 550,327 | |||
Yapi ve Kredi Bankasi* | 423,258 | 639,234 | |||
3,135,116 | |||||
United Kingdom — 12.4% | |||||
ARM Holdings PLC | 110,000 | 230,366 | |||
AstraZeneca PLCD | 134,389 | 8,112,870 | |||
Aviva PLC | 349,563 | 4,948,323 | |||
BAE Systems PLC | 261,000 | 1,784,580 | |||
BG Group PLC | 1,300,489 | 17,375,285 | |||
BHP Billiton PLC | 41,863 | 812,070 | |||
BOC Group PLC | 39,762 | 1,162,485 | |||
Boots Group PLC | 266,735 | 3,795,562 | |||
BP PLC | 1,092,183 | 12,734,090 | |||
Brambles Industries PLC | 294,259 | 2,339,837 | |||
British Land Co. PLC | 30,400 | 710,010 | |||
Cadbury Schweppes PLC | 50,083 | 482,983 | |||
Capita Group PLC | 184,324 | 1,573,044 | |||
Carnival PLC | 77,382 | 3,152,404 | |||
Cattles PLC | 237,000 | 1,442,984 | |||
Centrica PLC | 409,500 | 2,160,066 | |||
Compass Group PLC | 149,101 | 723,075 | |||
GKN PLC | 479,201 | 2,419,178 | |||
GlaxoSmithKline PLC | 404,637 | 11,306,221 | |||
HBOS PLC | 622,835 | 10,826,505 | |||
HSBC Holdings PLC | 65,300 | 1,148,972 | |||
Johnston Press PLC | 42,300 | 324,229 | |||
Kingfisher PLC | 1,648,313 | 7,269,683 | |||
Lloyds TSB Group PLC | 652,360 | 6,411,771 | |||
Misys PLC | 341,100 | 1,356,150 | |||
Northern Rock PLC | 31,400 | 580,654 | |||
Pearson PLC | 45,600 | 621,048 | |||
Prudential PLC | 287,000 | 3,242,728 | |||
Reckitt Benckiser PLC | 150,720 | 5,630,016 | |||
Reed Elsevier PLC | 218,400 | 2,205,122 | |||
Rexam PLC | 188,400 | 1,839,510 | |||
Rio Tinto PLC | 112,700 | 5,958,343 | |||
Royal Bank of Scotland Group PLC | 473,279 | 15,560,960 | |||
Scottish & Southern Energy PLC | 51,000 | 1,085,508 | |||
Smith & Nephew PLC | 67,400 | 519,113 | |||
Smiths Group PLC | 100,644 | 1,658,261 | |||
Standard Chartered PLC | 84,200 | 2,055,292 | |||
Tesco PLC | 130,100 | 803,547 | |||
Travis Perkins PLC | 56,100 | 1,569,601 | |||
Unilever PLC | 298,919 | 6,721,628 | |||
Vodafone Group PLC | 4,964,350 | 10,580,123 | |||
Wm Morrison Supermarkets PLC | 1,225,000 | 4,405,986 | |||
Wolseley PLC | 30,000 | 661,834 | |||
Yell Group PLC | 65,700 | 621,439 | |||
170,923,456 | |||||
Total Foreign Common Stocks | 1,325,578,544 | ||||
FOREIGN PREFERRED STOCKS — 0.4% | |||||
Brazil — 0.3% | |||||
Centrais Eletricas Brasileiras SA Class B | 47,867,800 | 979,722 | |||
Cia Vale do Rio Doce Class A | 12,266 | 249,749 | |||
Companhia de Tecidos do Norte de Minas – Coteminas | 2,595,260 | 242,044 | |||
Investimentos Itau SA | 435,607 | 1,747,737 | |||
3,219,252 | |||||
South Korea — 0.1% | |||||
Samsung Electronics Co., Ltd. | 3,713 | 1,811,983 | |||
Total Foreign Preferred Stocks | 5,031,235 | ||||
MONEY MARKET FUNDS — 16.7% | |||||
GuideStone Funds Money Market Fund (GS4 Class)¥ | 38,861,161 | 38,861,161 | |||
Northern Institutional Liquid Assets Portfolio§ | 190,364,029 | 190,364,029 | |||
Total Money Market Funds | 229,225,190 | ||||
Number of Contracts | |||||
PURCHASED OPTION — 0.0% | |||||
Put Option — 0.0% | |||||
1-Year Euro, Strike Price $1.19, Expires 07/05/06 (Cost $933,648) | 29,360,000 | 2,936 | |||
See Notes to Financial Statements.
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International Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
Value | ||||
TOTAL INVESTMENTS — 113.5% | $ | 1,559,837,905 | ||
Liabilities in Excess of Other Assets — (13.5)% | (185,612,495 | ) | ||
NET ASSETS — 100.0% | $ | 1,374,225,410 | ||
PORTFOLIO SUMMARY+ | |||
% | |||
Japan | 25.0 | ||
Money Market Funds | 16.7 | ||
United Kingdom | 12.4 | ||
France | 8.7 | ||
Germany | 5.2 | ||
Netherlands | 4.6 | ||
Hong Kong | 4.4 | ||
Switzerland | 4.0 | ||
Spain | 3.5 | ||
Australia | 3.2 | ||
South Korea | 3.1 | ||
Italy | 2.6 | ||
Canada | 2.3 | ||
South Africa | 1.6 | ||
Taiwan | 1.6 | ||
Brazil | 1.3 | ||
Denmark | 1.2 | ||
Sweden | 1.2 | ||
India | 1.0 | ||
Belgium | 0.9 | ||
Finland | 0.9 | ||
Russia | 0.9 | ||
Indonesia | 0.8 | ||
Ireland | 0.8 | ||
China | 0.7 | ||
Mexico | 0.6 | ||
Singapore | 0.6 | ||
Norway | 0.5 | ||
Israel | 0.4 | ||
Egypt | 0.3 | ||
Greece | 0.3 | ||
Thailand | 0.3 | ||
Chile | 0.2 | ||
Hungary | 0.2 | ||
Malaysia | 0.2 | ||
New Zealand | 0.2 | ||
Philippines | 0.2 | ||
Turkey | 0.2 | ||
Austria | 0.1 | ||
Colombia | 0.1 | ||
Ecuador | 0.1 | ||
Luxembourg | 0.1 | ||
Peru | 0.1 | ||
Poland | 0.1 | ||
Portugal | 0.1 | ||
Argentina | — | ** | |
Estonia | — | ** | |
Purchased Option | — | ** | |
Romania | — | ** | |
Sri Lanka | — | ** | |
Forward Foreign Currency Contracts | (1.1 | ) | |
112.4 | |||
+ | Based on net assets. |
** | Rounds to less than 0.005%. |
See Notes to Financial Statements.
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Table of Contents
SCHEDULE OF INVESTMENTS – ABBREVIATIONS AND FOOTNOTES
INVESTMENT ABBREVIATIONS: | ||
ADR | — American Depository Receipt | |
CONV | — Convertible | |
GDR | — Global Depository Receipt | |
IO | — Interest Only (Principal amount shown is notional) | |
PIK | — Payment-in-Kind Bonds | |
PO | — Principal Only | |
REIT | — Real Estate Investment Trust | |
STEP | — Stepped Coupon Bonds (1) | |
STRIP | — Stripped Security | |
TBA | — To be announced. | |
144A | — Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. | |
INVESTMENT FOOTNOTES: | ||
‡‡ | — All or a portion of the security was held as collateral for open futures, options and/or swap contracts. | |
@ | — Illiquid. | |
* | — Non-income producing security. | |
# | — Security in default. | |
+ | — Security is valued at fair value. | |
§ | — Security purchased with the cash proceeds from securities loaned. | |
† | — Variable rate security (1). | |
W | — Interest rates shown reflect the effective yields as of June 30, 2006. | |
¥ | — Affiliated fund. | |
D | — Security either partially or fully on loan. | |
FOREIGN BOND FOOTNOTES: | ||
(A) | — Par is denominated in Australian Dollars. | |
(B) | — Par is denominated in Brazilian Reals. | |
(C) | — Par is denominated in Canadian Dollars. | |
(E) | — Par is denominated in Euros. | |
(G) | — Par is denominated in Singapore Dollars. | |
(J) | — Par is denominated in Japanese Yen. | |
(K) | — Par is denominated in Swedish Kronas. | |
(M) | — Par is denominated in Mexican Pesos. | |
(R) | — Par is denominated in Argentinian Pesos. | |
(T) | — Par is denominated in Thailand Bahts. | |
(U) | — Par is denominated in British Pounds. | |
(W) | — Par is denominated in South Korean Won. | |
(Z) | — Par is denominated in New Zealand Dollars. | |
SWAP AGREEMENT FOOTNOTES: | ||
(a) | — Counterparty to contract is Goldman Sachs Capital Markets, LP. | |
(b) | — Counterparty to contract is UBS AG. | |
(c) | — Counterparty to contract is Morgan Stanley Capital Services. | |
(d) | — Counterparty to contract is Barclays Capital. | |
(e) | — Counterparty to contract is Lehman Brothers Special Financing, Inc. | |
(f) | — Counterparty to contract is Citibank NA London. | |
(g) | — Counterparty to contract is JPMorgan Chase Bank. | |
(h) | — Counterparty to contract is Merrill Lynch Capital Services, Inc. | |
(i) | — Counterparty to contract is HSBC Bank USA, N.A. | |
(j) | — Counterparty to contract is BNP Paribas. | |
(k) | — Counterparty to contract is Deutsche Bank AG. |
(1) | Interest rates shown reflect the rates currently in effect. Maturity date for money market instruments is the date of the next interest rate reset. |
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STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2006 (Unaudited)
Money Market Fund | Low-Duration Bond Fund | Medium-Duration Bond Fund | ||||||||||
Assets | ||||||||||||
Investments in securities of unaffiliated issuers, at value | $ | 851,735,056 | $ | 961,153,809 | $ | 1,594,456,267 | ||||||
Investments in securities of affiliated issuers, at value | — | 32,645,664 | 46,741,100 | |||||||||
Total investments (1)(2) | 851,735,056 | 993,799,473 | 1,641,197,367 | |||||||||
Cash | 831 | 23,685,204 | 22,310,108 | |||||||||
Cash collateral for futures | — | — | 75,250 | |||||||||
Foreign currency (3) | — | 775,617 | 18,439,843 | |||||||||
Receivables: | ||||||||||||
Dividends and reclaims | — | 87,224 | 206,916 | |||||||||
Interest | 1,969,653 | 4,030,983 | 8,295,621 | |||||||||
Interest on swaps | — | 10,993 | 8,498 | |||||||||
Investment securities sold | — | 2,498,233 | 66,709,302 | |||||||||
Maturities | — | 454,382 | 65,212 | |||||||||
Fund shares sold | 8,906,396 | 5,012 | 52,375 | |||||||||
Variation margin | — | 332,092 | 58,744 | |||||||||
Securities lending | — | 2,388 | 18,850 | |||||||||
Unrealized appreciation on foreign currency exchange contracts | — | 125,372 | 93,411 | |||||||||
Unrealized appreciation on swap agreements | — | 723,147 | 419,180 | |||||||||
Prepaid expenses and other assets | 7,511 | 19,151 | 20,168 | |||||||||
Total Assets | 862,619,447 | 1,026,549,271 | 1,757,970,845 | |||||||||
Liabilities | ||||||||||||
Securities sold short, at value (proceeds $ 948,906) | — | — | 905,938 | |||||||||
Options written at value (4) | — | 77,539 | 135,323 | |||||||||
Unrealized depreciation on foreign currency exchange contracts | — | 1,142,796 | 1,794,923 | |||||||||
Unrealized depreciation on swap agreements | — | 461,932 | 1,672,392 | |||||||||
Collateral held for securities on loan at value | — | 73,820,194 | 313,903,270 | |||||||||
Payables: | ||||||||||||
Investment securities purchased | — | 5,741,169 | 313,562,975 | |||||||||
Fund shares redeemed | 8,800,432 | 104,525 | 125,161 | |||||||||
Interest on swaps | — | 9,145 | 21,269 | |||||||||
Variation margin | — | 35,868 | 97,525 | |||||||||
Distributions | 1,098,103 | — | — | |||||||||
Securities lending | — | 716 | 5,654 | |||||||||
Deferred foreign capital gains taxes | — | — | — | |||||||||
Accrued expenses | ||||||||||||
Advisory fees | 92,703 | 112,877 | 150,318 | |||||||||
Distribution (12b-1) fees | 1,678 | 2,190 | 2,321 | |||||||||
Shareholder servicing fees | 118,308 | 132,312 | 161,484 | |||||||||
Other expenses | 135,641 | 281,915 | 392,667 | |||||||||
Total Liabilities | 10,246,865 | 81,923,178 | 632,931,220 | |||||||||
Net Assets | $ | 852,372,582 | $ | 944,626,093 | $ | 1,125,039,625 | ||||||
Net Assets Consist of: | ||||||||||||
Paid-in capital | $ | 852,381,550 | $ | 969,609,306 | $ | 1,155,720,669 | ||||||
Undistributed (distributions in excess of) net investment income | (72 | ) | 4,288,241 | 3,534,950 | ||||||||
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency transactions and derivative transactions | (8,896 | ) | (18,790,818 | ) | (14,801,317 | ) | ||||||
Net unrealized appreciation (depreciation) on investments, foreign currency translations and derivative transactions | — | (10,480,636 | ) | (19,414,677 | ) | |||||||
Net Assets | $ | 852,372,582 | $ | 944,626,093 | $ | 1,125,039,625 | ||||||
Net Asset Value: | ||||||||||||
($0.001 par value, unlimited shares authorized) | ||||||||||||
Net assets applicable to the GS2 Class | $ | 94,681,814 | $ | 107,648,196 | $ | 104,792,949 | ||||||
GS2 shares outstanding | 94,681,722 | 11,998,515 | 12,445,064 | |||||||||
Net asset value, offering and redemption price per GS2 share | $ | 1.00 | $ | 8.97 | $ | 8.42 | ||||||
Net assets applicable to the GS4 Class | $ | 747,726,233 | $ | 820,417,570 | $ | 1,002,083,373 | ||||||
GS4 shares outstanding | 747,698,672 | 65,041,320 | 76,583,501 | |||||||||
Net asset value, offering and redemption price per GS4 share | $ | 1.00 | $ | 12.61 | $ | 13.08 | ||||||
Net assets applicable to the GS6 class | $ | 4,678,166 | $ | 11,476,219 | $ | 13,081,051 | ||||||
GS6 shares outstanding | 4,680,313 | 1,273,919 | 1,541,884 | |||||||||
Net asset value, offering and redemption price per GS6 share | $ | 1.00 | $ | 9.01 | $ | 8.48 | ||||||
Net assets applicable to the GS8 class | $ | 5,286,369 | $ | 5,084,108 | $ | 5,082,252 | ||||||
GS8 shares outstanding | 5,286,337 | 564,171 | 598,776 | |||||||||
Net asset value, offering and redemption price per GS8 share | $ | 1.00 | $ | 9.01 | $ | 8.49 | ||||||
__________ | ||||||||||||
(1) Investments in securities of unaffiliated issuers, at cost | $ | 851,735,056 | $ | 968,791,249 | $ | 1,612,246,907 | ||||||
Investments in securities of affiliated issuers, at cost | — | 32,645,664 | 46,741,100 | |||||||||
Total investments at cost | $ | 851,735,056 | $ | 1,001,436,913 | $ | 1,658,988,007 | ||||||
(2) Includes securities loaned of: | $ | — | $ | 77,634,003 | $ | 316,188,177 | ||||||
(3) Foreign currency at cost | $ | — | $ | 761,931 | $ | 18,177,094 | ||||||
(4) Premiums received on options written | $ | — | $ | (591,598 | ) | $ | (1,436,668 | ) | ||||
(5) Net of ($9,618) accrued foreign capital gains taxes on appreciated securities |
See Notes to Financial Statements.
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Extended-Duration Bond Fund | Equity Index Fund | Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Fund | ||||||||||||||||||
Assets | |||||||||||||||||||||||
Investments in securities of unaffiliated issuers, at value | $ | 563,432,870 | $ | 514,841,685 | $ | 1,541,672,643 | $ | 1,549,618,195 | $ | 806,787,971 | $ | 1,520,976,744 | |||||||||||
Investments in securities of affiliated issuers, at value | 6,400,857 | 12,743,613 | 42,418,637 | 62,416,731 | 25,571,309 | 38,861,161 | |||||||||||||||||
Total investments (1)(2) | 569,833,727 | 527,585,298 | 1,584,091,280 | 1,612,034,926 | 832,359,280 | 1,559,837,905 | |||||||||||||||||
Cash | 769 | — | — | — | — | 61,052 | |||||||||||||||||
Cash collateral for futures | — | — | — | — | — | — | |||||||||||||||||
Foreign currency (3) | 92,274 | — | — | — | — | 2,838,891 | |||||||||||||||||
Receivables: | |||||||||||||||||||||||
Dividends and reclaims | 42,380 | 532,001 | 1,751,408 | 765,012 | 349,843 | 2,899,456 | |||||||||||||||||
Interest | 5,654,700 | — | — | — | 49 | — | |||||||||||||||||
Interest on swaps | — | — | — | — | — | — | |||||||||||||||||
Investment securities sold | — | 215,104 | 37,301,437 | 18,231,892 | 2,532,605 | 2,873,150 | |||||||||||||||||
Maturities | — | — | — | — | — | — | |||||||||||||||||
Fund shares sold | 183 | 32,623 | 306,215 | 26,145 | 12,094 | 116,075 | |||||||||||||||||
Variation margin | — | — | — | — | 292,900 | — | |||||||||||||||||
Securities lending | 19,748 | 4,550 | 4,461 | 15,250 | 46,642 | 32,573 | |||||||||||||||||
Unrealized appreciation on foreign currency exchange contracts | — | — | — | — | — | 17,050 | |||||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | — | — | |||||||||||||||||
Prepaid expenses and other assets | 17,145 | 13,539 | 23,119 | 23,857 | 20,282 | 30,627 | |||||||||||||||||
Total Assets | 575,660,926 | 528,383,115 | 1,623,477,920 | 1,631,097,082 | 835,613,695 | 1,568,706,779 | |||||||||||||||||
Liabilities | |||||||||||||||||||||||
Securities sold short, at value (proceeds $ 948,906) | — | — | — | — | — | — | |||||||||||||||||
Options written at value (4) | — | — | — | — | — | — | |||||||||||||||||
Unrealized depreciation on foreign currency exchange contracts | — | — | — | — | — | 564,203 | |||||||||||||||||
Unrealized depreciation on swap agreements | — | — | — | — | — | — | |||||||||||||||||
Collateral held for securities on loan at value | 127,007,615 | 28,095,055 | 107,988,959 | 157,001,689 | 262,610,326 | 190,364,029 | |||||||||||||||||
Payables: | |||||||||||||||||||||||
Investment securities purchased | — | 3,158 | 36,683,703 | 4,308,760 | 4,231,775 | 1,613,091 | |||||||||||||||||
Fund shares redeemed | 266,049 | 79,769 | 129,400 | 79,236 | 345,171 | 314,485 | |||||||||||||||||
Interest on swaps | — | — | — | — | — | — | |||||||||||||||||
Variation margin | — | 21,600 | 78,493 | 137,238 | — | — | |||||||||||||||||
Distributions | — | — | — | — | — | — | |||||||||||||||||
Securities lending | 5,921 | 1,364 | 1,338 | 4,574 | 13,963 | 9,772 | |||||||||||||||||
Deferred foreign capital gains taxes | — | — | — | — | — | 9,618 | |||||||||||||||||
Accrued expenses | |||||||||||||||||||||||
Advisory fees | 90,405 | 43,007 | 541,721 | 475,862 | 94,741 | 349,951 | |||||||||||||||||
Distribution (12b-1) fees | 2,458 | 2,347 | 2,677 | 2,199 | 2,735 | 3,222 | |||||||||||||||||
Shareholder servicing fees | 64,098 | 68,869 | 206,088 | 202,348 | 79,159 | 183,188 | |||||||||||||||||
Other expenses | 153,511 | 89,237 | 384,000 | 584,484 | 422,927 | 1,069,810 | |||||||||||||||||
Total Liabilities | 127,590,057 | 28,404,406 | 146,016,379 | 162,796,390 | 267,800,797 | 194,481,369 | |||||||||||||||||
Net Assets | $ | 448,070,869 | $ | 499,978,709 | $ | 1,477,461,541 | $ | 1,468,300,692 | $ | 567,812,898 | $ | 1,374,225,410 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||||||
Paid-in capital | $ | 451,047,607 | $ | 413,720,671 | $ | 1,197,056,717 | $ | 1,430,522,043 | $ | 470,396,285 | $ | 897,011,577 | |||||||||||
Undistributed (distributions in excess of) net investment income | 433,388 | 93,337 | 143,922 | (1,366,989 | ) | (833,165 | ) | 7,457,251 | |||||||||||||||
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency transactions and derivative transactions | 1,065,112 | (1,358,852 | ) | 100,602,676 | (182,450,809 | ) | 36,537,074 | 100,350,182 | |||||||||||||||
Net unrealized appreciation (depreciation) on investments, foreign currency translations and derivative transactions | (4,475,238 | ) | 87,523,553 | 179,658,226 | 221,596,447 | 61,712,704 | 369,406,400 | (5) | |||||||||||||||
Net Assets | $ | 448,070,869 | $ | 499,978,709 | $ | 1,477,461,541 | $ | 1,468,300,692 | $ | 567,812,898 | $ | 1,374,225,410 | |||||||||||
Net Asset Value: | |||||||||||||||||||||||
($0.001 par value, unlimited shares authorized) | |||||||||||||||||||||||
Net assets applicable to the GS2 Class | $ | 56,392,782 | $ | 65,905,542 | $ | 162,402,604 | $ | 168,320,161 | $ | 64,059,074 | $ | 181,266,904 | |||||||||||
GS2 shares outstanding | 7,179,008 | 6,534,139 | 14,861,668 | 15,826,469 | 5,353,836 | 11,432,254 | |||||||||||||||||
Net asset value, offering and redemption price per GS2 share | $ | 7.86 | $ | 10.09 | $ | 10.93 | $ | 10.64 | $ | 11.97 | $ | 15.86 | |||||||||||
Net assets applicable to the GS4 Class | $ | 371,976,002 | $ | 416,209,202 | $ | 1,293,465,974 | $ | 1,283,737,280 | $ | 481,474,856 | $ | 1,165,667,950 | |||||||||||
GS4 shares outstanding | 26,526,205 | 24,087,720 | 71,783,775 | 76,233,225 | 29,402,118 | 62,314,906 | |||||||||||||||||
Net asset value, offering and redemption price per GS4 share | $ | 14.02 | $ | 17.28 | $ | 18.02 | $ | 16.84 | $ | 16.38 | $ | 18.71 | |||||||||||
Net assets applicable to the GS6 class | $ | 14,560,501 | $ | 12,307,123 | $ | 15,704,136 | $ | 10,825,012 | $ | 16,310,179 | $ | 20,555,484 | |||||||||||
GS6 shares outstanding | 1,854,724 | 1,213,108 | 1,445,147 | 1,037,875 | 1,395,974 | 1,313,741 | |||||||||||||||||
Net asset value, offering and redemption price per GS6 share | $ | 7.85 | $ | 10.15 | $ | 10.87 | $ | 10.43 | $ | 11.68 | $ | 15.65 | |||||||||||
Net assets applicable to the GS8 class | $ | 5,141,584 | $ | 5,556,842 | $ | 5,888,827 | $ | 5,418,239 | $ | 5,968,789 | $ | 6,735,072 | |||||||||||
GS8 shares outstanding | 655,298 | 547,567 | 542,513 | 522,344 | 514,065 | 431,642 | |||||||||||||||||
Net asset value, offering and redemption price per GS8 share | $ | 7.85 | $ | 10.15 | $ | 10.85 | $ | 10.37 | $ | 11.61 | $ | 15.60 | |||||||||||
__________ | |||||||||||||||||||||||
(1) Investments in securities of unaffiliated issuers, at cost | $ | 567,909,611 | $ | 427,391,804 | $ | 1,362,301,038 | $ | 1,328,275,148 | $ | 745,819,473 | $ | 1,151,068,873 | |||||||||||
Investments in securities of affiliated issuers, at cost | 6,400,857 | 12,743,613 | 42,418,637 | 62,416,731 | 25,571,309 | 38,861,161 | |||||||||||||||||
Total investments at cost | $ | 574,310,468 | $ | 440,135,417 | $ | 1,404,719,675 | $ | 1,390,691,879 | $ | 771,390,782 | $ | 1,189,930,034 | |||||||||||
(2) Includes securities loaned of: | $ | 224,552,272 | $ | 39,117,706 | $ | 106,681,354 | $ | 170,011,172 | $ | 261,161,006 | $ | 187,436,976 | |||||||||||
(3) Foreign currency at cost | $ | 92,568 | $ | — | $ | — | $ | — | $ | — | $ | 2,808,009 | |||||||||||
(4) Premiums received on options written | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||
(5) Net of ($9,618) accrued foreign capital gains taxes on appreciated securities |
See Notes to Financial Statements.
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STATEMENTS OF OPERATIONS
For the Six Months Ended June 30, 2006 (Unaudited)
Money Market Fund | Low-Duration Bond Fund | Medium-Duration Bond Fund | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | — | $ | — | $ | 59,167 | ||||||
Income dividends received from affiliated funds | — | 579,103 | 1,028,751 | |||||||||
Interest | 20,007,286 | 19,991,536 | 26,769,891 | |||||||||
Securities Lending | — | 34,881 | 129,194 | |||||||||
Less foreign taxes withheld | — | — | — | |||||||||
Total Investment Income | 20,007,286 | 20,605,520 | 27,987,003 | |||||||||
Expenses | ||||||||||||
Investment advisory fees | 857,094 | 1,860,899 | 2,366,705 | |||||||||
Transfer agent fees: | ||||||||||||
GS2 shares | 2,335 | 1,619 | 1,500 | |||||||||
GS4 shares | 22,274 | 13,442 | 15,952 | |||||||||
GS6 shares | 3,135 | 3,148 | 3,095 | |||||||||
GS8 shares | 3,212 | 3,242 | 3,228 | |||||||||
Custodian fees | 9,963 | 49,815 | 107,282 | |||||||||
Distribution fees: | ||||||||||||
GS6 shares | 2,294 | 5,666 | 6,521 | |||||||||
GS8 shares | 7,730 | 7,527 | 7,605 | |||||||||
Shareholder servicing fees: | ||||||||||||
GS4 shares | 698,703 | 759,146 | 933,893 | |||||||||
GS6 shares | 6,877 | 16,996 | 19,558 | |||||||||
GS8 shares | 10,304 | 10,033 | 10,138 | |||||||||
Accounting and administration fees | 159,336 | 198,068 | 255,377 | |||||||||
Professional fees | 28,261 | 30,071 | 32,673 | |||||||||
Blue sky fees: | ||||||||||||
GS2 shares | 882 | 886 | 772 | |||||||||
GS4 shares | 3,214 | 1,252 | 800 | |||||||||
GS6 shares | 20,212 | 11,667 | 12,094 | |||||||||
GS8 shares | 4,990 | 4,460 | 3,609 | |||||||||
Shareholder reporting fees: | ||||||||||||
GS2 shares | 248 | 236 | 226 | |||||||||
GS4 shares | 10,410 | 3,928 | 6,525 | |||||||||
GS6 shares | (65 | ) | (29 | ) | (64 | ) | ||||||
GS8 shares | 28 | 28 | 27 | |||||||||
Trustee fees | 7,964 | 7,831 | 9,365 | |||||||||
Line of credit facility fees | 1,899 | 2,114 | 2,448 | |||||||||
Other expenses | 15,553 | 21,108 | 28,757 | |||||||||
Total expenses | 1,876,853 | 3,013,153 | 3,828,086 | |||||||||
Expenses waived net of amount recaptured (See Footnote 3a and 3c) | (21,212 | ) | (250,341 | ) | (422,627 | ) | ||||||
Fees paid indirectly | (5,060 | ) | (152,838 | ) | (109,628 | ) | ||||||
Net expenses | 1,850,581 | 2,609,974 | 3,295,831 | |||||||||
Net Investment Income (Loss) | 18,156,705 | 17,995,546 | 24,691,172 | |||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investment securities (net of capital gains taxes of $52,593 for International Equity) | (522 | ) | (3,168,611 | ) | (6,327,703 | ) | ||||||
Futures transactions | — | (2,803,778 | ) | (1,740,927 | ) | |||||||
Swap agreements | — | (29,428 | ) | (1,092,616 | ) | |||||||
Foreign currency transactions | — | (794,332 | ) | (95,737 | ) | |||||||
Net realized gain (loss) | (522 | ) | (6,796,149 | ) | (9,256,983 | ) | ||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investment securities (net of estimated deferred capital gains taxes of $119,710 for International Equity) | — | 1,497,885 | (20,932,142 | ) | ||||||||
Futures | — | (2,160,703 | ) | (773,056 | ) | |||||||
Swap agreements | — | 34,375 | (117,183 | ) | ||||||||
Option contracts written | — | 380,536 | 506,460 | |||||||||
Option contracts purchased | — | (379,659 | ) | (618,540 | ) | |||||||
Foreign currency translations | — | (888,139 | ) | (701,658 | ) | |||||||
Net change in unrealized appreciation (depreciation) | — | (1,515,705 | ) | (22,636,119 | ) | |||||||
Net Realized and Unrealized Gain (Loss) | (522 | ) | (8,311,854 | ) | (31,893,102 | ) | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 18,156,183 | $ | 9,683,692 | $ | (7,201,930 | ) | |||||
See Notes to Financial Statements.
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Extended-Duration Bond Fund | Equity Index Fund | Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Fund | |||||||||||||||||||
Investment Income | ||||||||||||||||||||||||
Dividends | $ | 24,820 | $ | 4,503,128 | $ | 17,175,725 | $ | 4,836,011 | $ | 1,903,836 | $ | 23,185,008 | ||||||||||||
Income dividends received from affiliated funds | 153,815 | 245,248 | 1,268,441 | 1,184,124 | 538,976 | 925,169 | ||||||||||||||||||
Interest | 12,191,206 | 18,987 | 104,346 | 90,370 | 33,605 | 15,732 | ||||||||||||||||||
Securities Lending | 204,020 | 18,886 | 53,342 | 66,435 | 196,050 | 162,680 | ||||||||||||||||||
Less foreign taxes withheld | — | — | (55,159 | ) | (74,973 | ) | (4,931 | ) | (1,798,309 | ) | ||||||||||||||
Total Investment Income | 12,573,861 | 4,786,249 | 18,546,695 | 6,101,967 | 2,667,536 | 22,490,280 | ||||||||||||||||||
Expenses | ||||||||||||||||||||||||
Investment advisory fees | 1,117,698 | 387,842 | 4,938,824 | 6,356,902 | 2,952,841 | 6,617,108 | ||||||||||||||||||
Transfer agent fees: | ||||||||||||||||||||||||
GS2 shares | 6,390 | 1,503 | 1,623 | 1,638 | 1,465 | 1,530 | ||||||||||||||||||
GS4 shares | 15,506 | 16,415 | 19,045 | 17,348 | 18,716 | 19,226 | ||||||||||||||||||
GS6 shares | 3,079 | 3,098 | 2,812 | 2,797 | 2,605 | 2,943 | ||||||||||||||||||
GS8 shares | 3,246 | 3,245 | 3,251 | 3,156 | 3,131 | 3,190 | ||||||||||||||||||
Custodian fees | 11,873 | 14,762 | 52,831 | 39,673 | 48,285 | 531,112 | ||||||||||||||||||
Distribution fees: | ||||||||||||||||||||||||
GS6 shares | 7,354 | 6,145 | 7,739 | 5,603 | 8,264 | 10,150 | ||||||||||||||||||
GS8 shares | 7,793 | 8,315 | 8,677 | 8,412 | 9,067 | 9,949 | ||||||||||||||||||
Shareholder servicing fees: | ||||||||||||||||||||||||
GS4 shares | 363,123 | 392,867 | 1,241,978 | 1,263,659 | 466,980 | 1,115,959 | ||||||||||||||||||
GS6 shares | 22,053 | 18,432 | 23,213 | 16,814 | 24,785 | 30,437 | ||||||||||||||||||
GS8 shares | 10,389 | 11,085 | 11,567 | 11,219 | 12,086 | 13,260 | ||||||||||||||||||
Accounting and administration fees | 94,318 | 100,895 | 291,135 | 292,377 | 103,127 | 336,258 | ||||||||||||||||||
Professional fees | 29,378 | 27,730 | 27,750 | 27,729 | 29,047 | 30,366 | ||||||||||||||||||
Blue sky fees: | ||||||||||||||||||||||||
GS2 shares | 885 | 886 | 886 | 886 | 886 | 886 | ||||||||||||||||||
GS4 shares | 671 | 2,252 | 1,131 | 1,171 | 990 | 1,631 | ||||||||||||||||||
GS6 shares | 12,704 | 11,298 | 10,556 | 11,340 | 10,710 | 11,206 | ||||||||||||||||||
GS8 shares | 3,832 | 4,816 | 3,919 | 4,025 | 4,663 | 4,755 | ||||||||||||||||||
Shareholder reporting fees: | ||||||||||||||||||||||||
GS2 shares | 188 | 227 | 227 | 215 | 207 | 261 | ||||||||||||||||||
GS4 shares | 7,205 | 8,095 | 11,852 | 9,561 | 12,525 | 10,027 | ||||||||||||||||||
GS6 shares | (62 | ) | (65 | ) | (100 | ) | (88 | ) | (137 | ) | (44 | ) | ||||||||||||
GS8 shares | 25 | 24 | 51 | 28 | 45 | 49 | ||||||||||||||||||
Trustee fees | 4,075 | 4,195 | 12,692 | 13,425 | 4,771 | 11,180 | ||||||||||||||||||
Line of credit facility fees | 974 | 1,054 | 3,193 | 3,398 | 1,230 | 2,901 | ||||||||||||||||||
Other expenses | 12,350 | 19,686 | 21,300 | 21,843 | 14,850 | 56,944 | ||||||||||||||||||
Total expenses | 1,735,047 | 1,044,802 | 6,696,152 | 8,113,131 | 3,731,139 | 8,821,284 | ||||||||||||||||||
Expenses waived net of amount recaptured (See Footnote 3a and 3c) | (53,525 | ) | (81,815 | ) | (90,918 | ) | (603,311 | ) | (210,564 | ) | (969,349 | ) | ||||||||||||
Fees paid indirectly | (3,608 | ) | (644 | ) | (48,551 | ) | (40,864 | ) | (19,874 | ) | (46,639 | ) | ||||||||||||
Net expenses | 1,677,914 | 962,343 | 6,556,683 | 7,468,956 | 3,500,701 | 7,805,296 | ||||||||||||||||||
Net Investment Income (Loss) | 10,895,947 | 3,823,906 | 11,990,012 | (1,366,989 | ) | (833,165 | ) | 14,684,984 | ||||||||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||||||
Investment securities (net of capital gains taxes of $52,593 for International Equity) | 1,932,042 | 1,496,908 | 113,317,085 | 59,185,940 | 31,749,346 | 90,311,078 | ||||||||||||||||||
Futures transactions | — | (82,400 | ) | (1,061,882 | ) | (906,056 | ) | (448,482 | ) | — | ||||||||||||||
Swap agreements | — | — | — | — | — | — | ||||||||||||||||||
Foreign currency transactions | 612,427 | — | — | — | — | (371,532 | ) | |||||||||||||||||
Net realized gain (loss) | 2,544,469 | 1,414,508 | 112,255,203 | 58,279,884 | 31,300,864 | 89,939,546 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||
Investment securities (net of estimated deferred capital gains taxes of $119,710 for International Equity) | (29,255,182 | ) | 6,636,763 | (54,160,229 | ) | (132,663,259 | ) | (4,028,418 | ) | (1,773,558 | ) | |||||||||||||
Futures | — | 152,539 | 975,063 | 630,547 | 949,241 | — | ||||||||||||||||||
Swap agreements | — | — | — | — | — | — | ||||||||||||||||||
Option contracts written | — | — | — | — | — | — | ||||||||||||||||||
Option contracts purchased | — | — | — | — | — | (739,871 | ) | |||||||||||||||||
Foreign currency translations | 6,422 | — | — | — | — | (933,544 | ) | |||||||||||||||||
Net change in unrealized appreciation (depreciation) | (29,248,760 | ) | 6,789,302 | (53,185,166 | ) | (132,032,712 | ) | (3,079,177 | ) | (3,446,973 | ) | |||||||||||||
Net Realized and Unrealized Gain (Loss) | (26,704,291 | ) | 8,203,810 | 59,070,037 | (73,752,828 | ) | 28,221,687 | 86,492,573 | ||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (15,808,344 | ) | $ | 12,027,716 | $ | 71,060,049 | $ | (75,119,817 | ) | $ | 27,388,522 | $ | 101,177,557 | ||||||||||
See Notes to Financial Statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Money Market Fund | ||||||||
For the Six Months Ended 06/30/06 (Unaudited) | For the Year Ended 12/31/05 | |||||||
Operations: | ||||||||
Net investment income | $ | 18,156,705 | $ | 25,691,987 | ||||
Net realized gain (loss) on investment securities, foreign currency transactions and futures transactions | (522 | ) | (5,430 | ) | ||||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations, and futures contracts | — | — | ||||||
Net increase (decrease) in net assets resulting from operations | 18,156,183 | 25,686,557 | ||||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income | ||||||||
GS2 shares | (2,057,405 | ) | (2,748,269 | ) | ||||
GS4 shares | (15,916,260 | ) | (22,725,193 | ) | ||||
GS6 shares | (89,881 | ) | (111,774 | ) | ||||
GS8 shares | (93,231 | ) | (107,373 | ) | ||||
Distributions from net realized capital gains | ||||||||
GS2 shares | — | — | ||||||
GS4 shares | — | — | ||||||
GS6 shares | — | — | ||||||
GS8 shares | — | — | ||||||
Total dividends and distributions | (18,156,777 | ) | (25,692,609 | ) | ||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | ||||||||
GS2 shares | 38,680,424 | 97,579,053 | ||||||
GS4 shares | 1,257,710,860 | 2,495,446,536 | ||||||
GS6 shares | 3 | 43,984 | ||||||
GS8 shares | 62,883 | 54,568 | ||||||
Reinvestment of dividends and distributions | ||||||||
GS2 shares | 1,879,942 | 2,495,133 | ||||||
GS4 shares | 8,847,650 | 11,467,878 | ||||||
GS6 shares | 91,011 | 111,760 | ||||||
GS8 shares | 94,422 | 107,373 | ||||||
Total proceeds from shares sold and reinvested | 1,307,367,195 | 2,607,306,285 | ||||||
Value of shares redeemed | ||||||||
GS2 shares | (38,982,257 | ) | (68,344,589 | ) | ||||
GS4 shares | (1,285,152,906 | ) | (2,578,673,372 | ) | ||||
GS6 shares | — | (44,371 | ) | |||||
GS8 shares | (16,277 | ) | (23,730 | ) | ||||
Total value of shares redeemed | (1,324,151,440 | ) | (2,647,086,062 | ) | ||||
Net increase (decrease) from capital share transactions (See Footnote 6) | (16,784,245 | ) | (39,779,777 | ) | ||||
Total increase (decrease) in net assets | (16,784,839 | ) | (39,785,829 | ) | ||||
Net Assets: | ||||||||
Beginning of Period | 869,157,421 | 908,943,250 | ||||||
End of Period* | $ | 852,372,582 | $ | 869,157,421 | ||||
$ | (72 | ) | $ | — | ||||
* | Including undistributed (distributions in excess of) net investment income |
See Notes to Financial Statements.
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Low-Duration Bond Fund | Medium-Duration Bond Fund | Extended-Duration Bond Fund | ||||||||||||||||||||||
For the Six Months Ended 06/30/06 (Unaudited) | For the Year Ended 12/31/05 | For the Six Months Ended 06/30/06 (Unaudited) | For the Year Ended 12/31/05 | For the Six Months Ended 06/30/06 (Unaudited) | For the Year Ended 12/31/05 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 17,995,546 | $ | 27,489,857 | $ | 24,691,172 | $ | 37,575,293 | $ | 10,895,947 | $ | 22,113,407 | ||||||||||||
Net realized gain (loss) on investment securities, foreign currency transactions and futures transactions | (6,796,149 | ) | (10,659,334 | ) | (9,256,983 | ) | (1,097,926 | ) | 2,544,469 | 5,519,087 | ||||||||||||||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations, and futures contracts | (1,515,705 | ) | (4,406,789 | ) | (22,636,119 | ) | (11,782,137 | ) | (29,248,760 | ) | (1,883,245 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | 9,683,692 | 12,423,734 | (7,201,930 | ) | 24,695,230 | (15,808,344 | ) | 25,749,249 | ||||||||||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | ||||||||||||||||||||||||
GS2 shares | (2,196,712 | ) | (4,479,831 | ) | (2,908,131 | ) | (5,612,463 | ) | (2,105,817 | ) | (4,268,161 | ) | ||||||||||||
GS4 shares | (11,313,898 | ) | (22,992,157 | ) | (17,482,305 | ) | (34,648,385 | ) | (7,818,832 | ) | (17,074,698 | ) | ||||||||||||
GS6 shares | (205,758 | ) | (466,469 | ) | (331,954 | ) | (721,610 | ) | (512,690 | ) | (1,179,267 | ) | ||||||||||||
GS8 shares | (83,917 | ) | (177,594 | ) | (121,795 | ) | (253,597 | ) | (173,050 | ) | (357,326 | ) | ||||||||||||
Distributions from net realized capital gains | ||||||||||||||||||||||||
GS2 shares | — | (1,147 | ) | — | (645,746 | ) | (74,866 | ) | (1,712,320 | ) | ||||||||||||||
GS4 shares | — | (6,206 | ) | — | (4,143,819 | ) | (292,707 | ) | (6,850,285 | ) | ||||||||||||||
GS6 shares | — | (124 | ) | — | (84,242 | ) | (19,853 | ) | (452,529 | ) | ||||||||||||||
GS8 shares | — | (55 | ) | — | (32,762 | ) | (7,020 | ) | (160,140 | ) | ||||||||||||||
Total dividends and distributions | (13,800,285 | ) | (28,123,583 | ) | (20,844,185 | ) | (46,142,624 | ) | (11,004,835 | ) | (32,054,726 | ) | ||||||||||||
Capital Share Transactions: | ||||||||||||||||||||||||
Proceeds from shares sold | ||||||||||||||||||||||||
GS2 shares | 6,531,045 | 48,785,555 | 8,956,564 | 49,692,680 | 5,169,929 | 29,365,042 | ||||||||||||||||||
GS4 shares | 48,441,230 | 106,691,749 | 76,965,818 | 194,463,337 | 28,563,140 | 83,231,124 | ||||||||||||||||||
GS6 shares | 74 | 474,994 | — | 565,914 | — | 915,722 | ||||||||||||||||||
GS8 shares | 8,908 | 1,242 | 2,916 | 642 | 2,089 | 597 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
GS2 shares | 2,156,290 | 4,405,558 | 2,816,631 | 6,068,879 | 2,131,888 | 5,855,155 | ||||||||||||||||||
GS4 shares | 11,313,086 | 22,996,558 | 17,481,388 | 38,787,840 | 8,111,277 | 24,555,600 | ||||||||||||||||||
GS6 shares | 205,758 | 466,593 | 331,954 | 805,854 | 532,543 | 1,631,795 | ||||||||||||||||||
GS8 shares | 83,917 | 177,649 | 121,795 | 286,358 | 180,070 | 517,466 | ||||||||||||||||||
Total proceeds from shares sold and reinvested | 68,740,308 | 183,999,898 | 106,677,066 | 290,671,504 | 44,690,936 | 146,072,501 | ||||||||||||||||||
Value of shares redeemed | ||||||||||||||||||||||||
GS2 shares | (4,709,088 | ) | (5,405,010 | ) | (4,260,236 | ) | (4,002,381 | ) | (4,224,477 | ) | (7,220,381 | ) | ||||||||||||
GS4 shares | (25,465,535 | ) | (118,147,765 | ) | (50,391,542 | ) | (87,788,179 | ) | (37,243,230 | ) | (111,075,009 | ) | ||||||||||||
GS6 shares | — | (5,304,186 | ) | — | (4,180,127 | ) | — | (10,716,919 | ) | |||||||||||||||
GS8 shares | (3 | ) | (57 | ) | (1,333 | ) | — | (3 | ) | — | ||||||||||||||
Total value of shares redeemed | (30,174,626 | ) | (128,857,018 | ) | (54,653,111 | ) | (95,970,687 | ) | (41,467,710 | ) | (129,012,309 | ) | ||||||||||||
Net increase (decrease) from capital share transactions (See Footnote 6) | 38,565,682 | 55,142,880 | 52,023,955 | 194,700,817 | 3,223,226 | 17,060,192 | ||||||||||||||||||
Total increase (decrease) in net assets | 34,449,089 | 39,443,031 | 23,977,840 | 173,253,423 | (23,589,953 | ) | 10,754,715 | |||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Period | 910,177,004 | 870,733,973 | 1,101,061,785 | 927,808,362 | 471,660,822 | 460,906,107 | ||||||||||||||||||
End of Period* | $ | 944,626,093 | $ | 910,177,004 | $ | 1,125,039,625 | $ | 1,101,061,785 | $ | 448,070,869 | $ | 471,660,822 | ||||||||||||
$ | 4,288,241 | $ | 92,980 | $ | 3,534,950 | $ | (312,037 | ) | $ | 433,388 | $ | 147,830 | ||||||||||||
* | Including undistributed (distributions in excess of) net investment income |
See Notes to Financial Statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Equity Index Fund | Value Equity Fund | |||||||||||||||
For the Six Months Ended 06/30/06 (Unaudited) | For the Year Ended 12/31/05 | For the Six Months Ended 06/30/06 (Unaudited) | For the Year Ended 12/31/05 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 3,823,906 | $ | 6,839,477 | $ | 11,990,012 | $ | 21,726,574 | ||||||||
Net realized gain on investment securities, foreign currency transactions and futures transactions | 1,414,508 | 5,134,962 | 112,255,203 | 103,688,872 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations, and futures contracts | 6,789,302 | 9,385,998 | (53,185,166 | ) | (27,125,867 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 12,027,716 | 21,360,437 | 71,060,049 | 98,289,579 | ||||||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Dividends from net investment income | ||||||||||||||||
GS2 shares | (835,350 | ) | (1,447,323 | ) | (2,178,227 | ) | (3,776,410 | ) | ||||||||
GS4 shares | (2,757,292 | ) | (5,001,471 | ) | (9,551,501 | ) | (17,465,290 | ) | ||||||||
GS6 shares | (134,235 | ) | (247,026 | ) | (168,966 | ) | (286,556 | ) | ||||||||
GS8 shares | (52,694 | ) | (93,751 | ) | (54,686 | ) | (91,028 | ) | ||||||||
Distributions from net realized capital gains | ||||||||||||||||
GS2 shares | — | (264,015 | ) | (2,831,260 | ) | (16,300,818 | ) | |||||||||
GS4 shares | — | (1,007,668 | ) | (13,917,086 | ) | (85,737,706 | ) | |||||||||
GS6 shares | — | (50,704 | ) | (273,799 | ) | (1,574,230 | ) | |||||||||
GS8 shares | — | (22,896 | ) | (102,687 | ) | (589,222 | ) | |||||||||
Total dividends and distributions | (3,779,571 | ) | (8,134,854 | ) | (29,078,212 | ) | (125,821,260 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold | ||||||||||||||||
GS2 shares | 5,217,681 | 28,530,125 | 6,142,744 | 82,260,741 | ||||||||||||
GS4 shares | 26,759,356 | 42,657,409 | 18,547,918 | 69,243,699 | ||||||||||||
GS6 shares | 477 | — | — | 659,974 | ||||||||||||
GS8 shares | 14,574 | 1,205 | 34,073 | 3,181 | ||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||
GS2 shares | 826,992 | 1,693,048 | 4,961,636 | 19,689,834 | ||||||||||||
GS4 shares | 2,757,292 | 6,008,602 | 23,467,614 | 103,197,880 | ||||||||||||
GS6 shares | 134,236 | 297,730 | 442,765 | 1,860,786 | ||||||||||||
GS8 shares | 52,694 | 116,700 | 157,373 | 680,250 | ||||||||||||
Total proceeds from shares sold and reinvested | 35,763,302 | 79,304,819 | 53,754,123 | 277,596,345 | ||||||||||||
Value of shares redeemed | ||||||||||||||||
GS2 shares | (3,115,508 | ) | (5,429,955 | ) | (7,713,202 | ) | (12,032,159 | ) | ||||||||
GS4 shares | (23,436,016 | ) | (75,399,007 | ) | (67,385,886 | ) | (180,802,337 | ) | ||||||||
GS6 shares | — | — | — | (4,427,418 | ) | |||||||||||
GS8 shares | (34 | ) | — | (1,334 | ) | (4 | ) | |||||||||
Total value of shares redeemed | (26,551,558 | ) | (80,828,962 | ) | (75,100,422 | ) | (197,261,918 | ) | ||||||||
Net increase (decrease) from capital share transactions (See Footnote 6) | 9,211,744 | (1,524,143 | ) | (21,346,299 | ) | 80,334,427 | ||||||||||
Total increase (decrease) in net assets | 17,459,889 | 11,701,440 | 20,635,538 | 52,802,746 | ||||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 482,518,820 | 470,817,380 | 1,456,826,003 | 1,404,023,257 | ||||||||||||
End of Period* | $ | 499,978,709 | $ | 482,518,820 | $ | 1,477,461,541 | $ | 1,456,826,003 | ||||||||
_______________ | ||||||||||||||||
* Including undistributed (distributions in excess of) net investment income | $ | 93,337 | $ | 49,002 | $ | 143,922 | $ | 107,290 | ||||||||
See Notes to Financial Statements.
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Growth Equity Fund | Small Cap Equity Fund | International Equity Fund | ||||||||||||||||||||||
For the Six Months Ended 06/30/06 (Unaudited) | For the Year Ended 12/31/05 | For the Six Months Ended 06/30/06 (Unaudited) | For the Year Ended 12/31/05 | For the Six Months Ended 06/30/06 (Unaudited) | For the Year Ended 12/31/05 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | (1,366,989 | ) | $ | (3,158,666 | ) | $ | (833,165 | ) | $ | (997,229 | ) | $ | 14,684,984 | $ | 17,340,082 | ||||||||
Net realized gain on investment securities, foreign currency transactions and futures transactions | 58,279,884 | 65,893,593 | 31,300,864 | 58,732,966 | 89,939,546 | 93,816,550 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations, and futures contracts | (132,032,712 | ) | 60,393,513 | (3,079,177 | ) | (23,098,045 | ) | (3,446,973 | ) | 88,506,831 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (75,119,817 | ) | 123,128,440 | 27,388,522 | 34,637,692 | 101,177,557 | 199,663,463 | |||||||||||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | ||||||||||||||||||||||||
GS2 shares | — | — | — | — | — | (3,522,540 | ) | |||||||||||||||||
GS4 shares | — | — | — | — | — | (17,131,295 | ) | |||||||||||||||||
GS6 shares | — | — | — | — | — | (298,613 | ) | |||||||||||||||||
GS8 shares | — | — | — | — | — | (80,453 | ) | |||||||||||||||||
Distributions from net realized capital gains | ||||||||||||||||||||||||
GS2 shares | — | — | — | (9,061,949 | ) | — | (2,372,854 | ) | ||||||||||||||||
GS4 shares | — | — | — | (51,308,587 | ) | — | (12,803,717 | ) | ||||||||||||||||
GS6 shares | — | — | — | (2,313,815 | ) | — | (260,237 | ) | ||||||||||||||||
GS8 shares | — | — | — | (848,678 | ) | — | (85,266 | ) | ||||||||||||||||
Total dividends and distributions | — | — | — | (63,533,029 | ) | — | (36,554,975 | ) | ||||||||||||||||
Capital Share Transactions: | ||||||||||||||||||||||||
Proceeds from shares sold | ||||||||||||||||||||||||
GS2 shares | 11,455,595 | 87,716,607 | 4,737,604 | 36,479,492 | 9,756,654 | 77,135,236 | ||||||||||||||||||
GS4 shares | 49,251,503 | 56,539,195 | 39,192,067 | 92,602,096 | 56,372,479 | 92,232,819 | ||||||||||||||||||
GS6 shares | — | 325,805 | — | 414,999 | 11 | 1,580,532 | ||||||||||||||||||
GS8 shares | 9,896 | 1,057 | 19,728 | 5,651 | 36,861 | 5,310 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
GS2 shares | — | — | — | 8,955,618 | — | 5,807,372 | ||||||||||||||||||
GS4 shares | — | — | — | 51,300,141 | — | 29,934,318 | ||||||||||||||||||
GS6 shares | — | — | — | 2,313,815 | — | 558,850 | ||||||||||||||||||
GS8 shares | — | — | — | 848,679 | — | 165,719 | ||||||||||||||||||
Total proceeds from shares sold and reinvested | 60,716,994 | 144,582,664 | 43,949,399 | 192,920,491 | 66,166,005 | 207,420,156 | ||||||||||||||||||
Value of shares redeemed | ||||||||||||||||||||||||
GS2 shares | (6,728,352 | ) | (14,078,107 | ) | (5,845,681 | ) | (7,311,452 | ) | (19,016,156 | ) | (14,569,008 | ) | ||||||||||||
GS4 shares | (62,398,722 | ) | (207,536,437 | ) | (44,322,094 | ) | (91,442,536 | ) | (96,518,972 | ) | (213,587,734 | ) | ||||||||||||
GS6 shares | — | (3,275,639 | ) | — | (3,287,987 | ) | — | (4,705,492 | ) | |||||||||||||||
GS8 shares | (471 | ) | — | (3,197 | ) | (3 | ) | (1,907 | ) | (1 | ) | |||||||||||||
Total value of shares redeemed | (69,127,545 | ) | (224,890,183 | ) | (50,170,972 | ) | (102,041,978 | ) | (115,537,035 | ) | (232,862,235 | ) | ||||||||||||
Net increase (decrease) from capital share transactions (See Footnote 6) | (8,410,551 | ) | (80,307,519 | ) | (6,221,573 | ) | 90,878,513 | (49,371,030 | ) | (25,442,079 | ) | |||||||||||||
Total increase (decrease) in net assets | (83,530,368 | ) | 42,820,921 | 21,166,949 | 61,983,176 | 51,806,527 | 137,666,409 | |||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Period | 1,551,831,060 | 1,509,010,139 | 546,645,949 | 484,662,773 | 1,322,418,883 | 1,184,752,474 | ||||||||||||||||||
End of Period* | $ | 1,468,300,692 | $ | 1,551,831,060 | $ | 567,812,898 | $ | 546,645,949 | $ | 1,374,225,410 | $ | 1,322,418,883 | ||||||||||||
_______________ | ||||||||||||||||||||||||
* Including undistributed (distributions in excess of) net investment income | $ | (1,366,989 | ) | $ | — | $ | (833,165 | ) | $ | — | $ | 7,457,251 | $ | (7,227,733 | ) | |||||||||
See Notes to Financial Statements.
105
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FINANCIAL HIGHLIGHTS (Unaudited)
For a Share Outstanding For the Six Months Ended June 30, 2006 and For the Years Ended December 31, unless otherwise indicated | Ratios to Average Net Assets (1) | |||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Net Asset Value, End of Period | Total Return (2) | Net Assets, End of Period (000) | Expenses, Net | Expenses, Including Expense Reduction | Expenses, Before Waivers and Expense Reduction | Investment Income, Net | Investment Income/ (Loss), Excluding Waivers and Expense Reduction | Portfolio Turnover Rate (2) | |||||||||||||||||||||||||||||||||
Money Market Fund |
| |||||||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 1.00 | $ | — | † | $ | — | † | $ | — | † | $ | — | $ | 1.00 | 2.26 | % | $ | 94,682 | 0.27 | % | 0.27 | % | 0.27 | % | 4.53 | % | 4.53 | % | N/A | ||||||||||||||||
2005 | 1.00 | — | † | — | † | — | † | — | 1.00 | 3.07 | 93,103 | 0.27 | 0.27 | 0.26 | 3.03 | 3.04 | N/A | |||||||||||||||||||||||||||||
2004 | 1.00 | 0.01 | — | † | (0.01 | ) | — | 1.00 | 1.19 | 61,374 | 0.27 | 0.27 | 0.27 | 1.17 | 1.17 | N/A | ||||||||||||||||||||||||||||||
2003 | 1.00 | 0.01 | — | † | (0.01 | ) | — | † | 1.00 | 1.04 | 63,373 | 0.27 | 0.27 | 0.28 | 0.91 | 0.90 | N/A | |||||||||||||||||||||||||||||
2002 | 1.00 | 0.02 | — | (0.02 | ) | — | † | 1.00 | 1.80 | 5,493 | 0.25 | 0.25 | 0.55 | 1.75 | 1.45 | N/A | ||||||||||||||||||||||||||||||
2001 (4) | 1.00 | 0.01 | — | (0.01 | ) | — | 1.00 | 0.66 | 25 | 0.25 | 0.25 | 90.37 | 2.60 | (87.52 | ) | N/A | ||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 1.00 | $ | — | † | $ | — | † | $ | — | † | $ | — | $ | 1.00 | 2.17 | % | $ | 747,726 | 0.46 | % | 0.46 | % | 0.46 | % | 4.33 | % | 4.33 | % | N/A | ||||||||||||||||
2005 | 1.00 | — | † | — | † | — | † | — | 1.00 | 2.88 | 766,322 | 0.46 | 0.46 | 0.46 | 2.84 | 2.84 | N/A | |||||||||||||||||||||||||||||
2004 | 1.00 | 0.01 | — | † | (0.01 | ) | — | 1.00 | 0.99 | 838,087 | 0.46 | 0.46 | 0.45 | 0.98 | 0.99 | N/A | ||||||||||||||||||||||||||||||
2003 | 1.00 | 0.01 | — | † | (0.01 | ) | — | † | 1.00 | 0.85 | 853,062 | 0.45 | 0.45 | 0.45 | 0.84 | 0.84 | N/A | |||||||||||||||||||||||||||||
2002 | 1.00 | 0.02 | — | (0.02 | ) | — | † | 1.00 | 1.60 | 906,302 | 0.45 | 0.44 | 0.50 | 1.58 | 1.52 | N/A | ||||||||||||||||||||||||||||||
2001 (4) | 1.00 | 0.01 | — | (0.01 | ) | — | 1.00 | 0.94 | 996,380 | 0.44 | 0.44 | 0.49 | 2.72 | 2.67 | N/A | |||||||||||||||||||||||||||||||
GS6 Class | ||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 1.00 | $ | — | † | $ | — | † | $ | — | † | $ | — | $ | 1.00 | 1.96 | % | $ | 4,678 | 0.87 | % | 0.87 | % | 1.67 | % | 3.92 | % | 3.12 | % | N/A | ||||||||||||||||
2005 | 1.00 | — | † | — | † | — | † | — | 1.00 | 2.50 | 4,587 | 0.83 | 0.83 | 1.43 | 2.47 | 1.87 | N/A | |||||||||||||||||||||||||||||
2004 | 1.00 | 0.01 | — | † | (0.01 | ) | — | 1.00 | 0.73 | 4,476 | 0.72 | 0.72 | 1.09 | 0.68 | 0.31 | N/A | ||||||||||||||||||||||||||||||
2003 | 1.00 | 0.01 | — | † | (0.01 | ) | — | † | 1.00 | 0.57 | 8,035 | 0.73 | 0.73 | 0.91 | 0.61 | 0.43 | N/A | |||||||||||||||||||||||||||||
2002 | 1.00 | 0.01 | — | (0.01 | ) | — | † | 1.00 | 1.38 | 16,538 | 0.65 | 0.65 | 0.77 | 1.35 | 1.23 | N/A | ||||||||||||||||||||||||||||||
2001 (4) | 1.00 | 0.01 | — | (0.01 | ) | — | 1.00 | 0.81 | 788 | 0.75 | 0.75 | 16.37 | 1.98 | (13.64 | ) | N/A | ||||||||||||||||||||||||||||||
GS8 Class | ||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 1.00 | $ | — | † | $ | — | † | $ | — | † | $ | — | $ | 1.00 | 1.81 | % | $ | 5,286 | 1.17 | % | 1.17 | % | 1.28 | % | 3.62 | % | 3.51 | % | N/A | ||||||||||||||||
2005 | 1.00 | — | † | — | † | — | † | — | 1.00 | 2.15 | 5,145 | 1.17 | 1.17 | 1.25 | 2.13 | 2.05 | N/A | |||||||||||||||||||||||||||||
2004 (5) | 1.00 | — | † | — | † | — | † | — | 1.00 | 0.14 | 5,007 | 1.17 | 1.17 | 1.31 | 0.94 | 0.80 | N/A | |||||||||||||||||||||||||||||
Low-Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 9.06 | $ | 0.18 | # | $ | (0.08 | ) | $ | (0.19 | ) | $ | — | $ | 8.97 | 1.08 | % | $ | 107,648 | 0.45 | % | 0.45 | % | 0.47 | % | 4.06 | % | 4.04 | % | 71 | % | |||||||||||||||
2005 | 9.32 | 0.30 | # | (0.15 | ) | (0.41 | ) | — | † | 9.06 | 1.60 | 104,681 | 0.45 | 0.45 | 0.48 | 3.30 | 3.27 | 196 | ||||||||||||||||||||||||||||
2004 | 9.51 | 0.21 | # | (0.07 | ) | (0.28 | ) | (0.05 | ) | 9.32 | 1.47 | 59,777 | 0.45 | 0.45 | 0.49 | 2.22 | 2.18 | 289 | ||||||||||||||||||||||||||||
2003 | 9.76 | 0.22 | # | 0.03 | (0.37 | ) | (0.13 | ) | 9.51 | 2.61 | 53,726 | 0.45 | 0.45 | 0.50 | 2.30 | 2.25 | 179 | |||||||||||||||||||||||||||||
2002 | 9.85 | 0.37 | # | 0.19 | (0.50 | ) | (0.15 | ) | 9.76 | 5.89 | 6,320 | 0.46 | 0.45 | 0.78 | 3.71 | 3.38 | 182 | |||||||||||||||||||||||||||||
2001 (4) | 10.00 | 0.15 | — | (0.22 | ) | (0.08 | ) | 9.85 | 1.54 | 25 | 0.45 | 0.45 | 57.60 | 4.73 | (52.42 | ) | 80 | |||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 12.66 | $ | 0.24 | # | $ | (0.11 | ) | $ | (0.18 | ) | $ | — | $ | 12.61 | 1.01 | % | $ | 820,418 | 0.61 | % | 0.61 | % | 0.66 | % | 3.90 | % | 3.85 | % | 71 | % | |||||||||||||||
2005 | 12.87 | 0.40 | # | (0.22 | ) | (0.39 | ) | — | † | 12.66 | 1.39 | 789,077 | 0.61 | 0.61 | 0.67 | 3.13 | 3.07 | 196 | ||||||||||||||||||||||||||||
2004 | 13.00 | 0.27 | # | (0.09 | ) | (0.26 | ) | (0.05 | ) | 12.87 | 1.38 | 789,866 | 0.61 | 0.61 | 0.67 | 2.06 | 2.00 | 289 | ||||||||||||||||||||||||||||
2003 | 13.16 | 0.32 | # | — | (0.35 | ) | (0.13 | ) | 13.00 | 2.45 | 727,265 | 0.61 | 0.61 | 0.67 | 2.43 | 2.37 | 179 | |||||||||||||||||||||||||||||
2002 | 13.06 | 0.46 | # | 0.27 | (0.48 | ) | (0.15 | ) | 13.16 | 5.71 | 763,987 | 0.62 | 0.61 | 0.72 | 3.50 | 3.39 | 182 | |||||||||||||||||||||||||||||
2001 (4) | 13.10 | 0.21 | 0.05 | (0.22 | ) | (0.08 | ) | 13.06 | 1.96 | 812,387 | 0.61 | 0.61 | 0.72 | 4.47 | 4.36 | 80 | ||||||||||||||||||||||||||||||
GS6 Class | ||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 9.09 | $ | 0.16 | # | $ | (0.08 | ) | $ | (0.16 | ) | $ | — | $ | 9.01 | 0.92 | % | $ | 11,476 | 1.00 | % | 1.00 | % | 1.13 | % | 3.51 | % | 3.38 | % | 71 | % | |||||||||||||||
2005 | 9.36 | 0.25 | # | (0.16 | ) | (0.36 | ) | — | † | 9.09 | 0.96 | 11,380 | 0.94 | 0.94 | 1.05 | 2.74 | 2.63 | 196 | ||||||||||||||||||||||||||||
2004 | 9.54 | 0.17 | # | (0.06 | ) | (0.24 | ) | (0.05 | ) | 9.36 | 1.17 | 16,087 | 0.85 | 0.85 | 0.90 | 1.82 | 1.77 | 289 | ||||||||||||||||||||||||||||
2003 | 9.79 | 0.21 | # | — | (0.33 | ) | (0.13 | ) | 9.54 | 2.20 | 22,452 | 0.85 | 0.84 | 0.87 | 2.18 | 2.15 | 179 | |||||||||||||||||||||||||||||
2002 | 9.86 | 0.33 | # | 0.22 | (0.47 | ) | (0.15 | ) | 9.79 | 5.70 | 20,985 | 0.79 | 0.79 | 0.93 | 3.35 | 3.21 | 182 | |||||||||||||||||||||||||||||
2001 (4) | 10.00 | 0.22 | (0.06 | ) | (0.22 | ) | (0.08 | ) | 9.86 | 1.54 | 3,458 | 0.85 | 0.85 | 74.57 | 4.18 | (69.54 | ) | 80 | ||||||||||||||||||||||||||||
GS8 Class | ||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 9.10 | $ | 0.14 | # | $ | (0.08 | ) | $ | (0.15 | ) | $ | — | $ | 9.01 | 0.67 | % | $ | 5,084 | 1.30 | % | 1.30 | % | 1.47 | % | 3.21 | % | 3.04 | % | 71 | % | |||||||||||||||
2005 | 9.36 | 0.23 | # | (0.16 | ) | (0.33 | ) | — | † | 9.10 | 0.73 | 5,040 | 1.30 | 1.30 | 1.50 | 2.44 | 2.24 | 196 | ||||||||||||||||||||||||||||
2004 (5) | 9.50 | 0.02 | # | (0.01 | ) | (0.10 | ) | (0.05 | ) | 9.36 | 0.05 | 5,004 | 1.30 | 1.30 | 1.53 | 1.35 | 1.12 | 289 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | Annualized. |
(2) | Not annualized. |
(3) | For the six months ended June 30, 2006. |
(4) | Inception date was August 27, 2001. |
(5) | Inception date was November 8, 2004. |
See Notes to Financial Statements.
106
Table of Contents
Ratios to Average Net Assets (1) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment | Realized and Unrealized Gain (Loss) on Investments | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Return of Capital | Net Asset Value, End of Period | Total Return (2) | Net Assets, End of Period (000) | Expenses, Net | Expenses, Including Expense Reduction | Expenses, Before Waivers and Expense Reduction | Investment Income, Net | Investment and | Portfolio Turnover Rate (2) | ||||||||||||||||||||||||||||||||||||
Medium-Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 8.71 | $ | 0.20 | # | $ | (0.25 | ) | $ | (0.24 | ) | $ | — | $ | — | $ | 8.42 | (0.57 | )% | $ | 104,793 | 0.50 | % | 0.50 | % | 0.50 | % | 4.60 | % | 4.60 | % | 230 | % | |||||||||||||||||
2005 | 9.06 | 0.34 | # | (0.10 | ) | (0.53 | ) | (0.06 | ) | — | 8.71 | 2.62 | 100,800 | 0.50 | 0.50 | 0.53 | 3.84 | 3.81 | 465 | |||||||||||||||||||||||||||||||
2004 | 9.24 | 0.28 | # | 0.21 | (0.45 | ) | (0.22 | ) | — | 9.06 | 5.34 | 52,865 | 0.50 | 0.50 | 0.53 | 2.97 | 2.94 | 372 | ||||||||||||||||||||||||||||||||
2003 | 9.47 | 0.28 | # | 0.36 | (0.58 | ) | (0.29 | ) | — | 9.24 | 6.80 | 46,521 | 0.50 | 0.50 | 0.55 | 2.96 | 2.91 | 458 | ||||||||||||||||||||||||||||||||
2002 | 9.65 | 0.46 | # | 0.40 | (0.67 | ) | (0.37 | ) | — | 9.47 | 9.25 | 7,218 | 0.51 | 0.50 | 0.82 | 4.77 | 4.45 | 543 | ||||||||||||||||||||||||||||||||
2001 (4) | 10.00 | 0.16 | (0.08 | ) | (0.23 | ) | (0.20 | ) | — | † | 9.65 | 0.89 | 25 | 0.52 | 0.50 | 92.28 | 4.99 | (86.79 | ) | 247 | ||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 13.40 | $ | 0.29 | # | $ | (0.38 | ) | $ | (0.23 | ) | $ | — | $ | — | $ | 13.08 | (0.65 | )% | $ | 1,002,083 | 1.00 | % | 0.62 | % | 0.69 | % | 4.47 | % | 4.40 | % | 230 | % | |||||||||||||||||
2005 | 13.63 | 0.50 | # | (0.16 | ) | (0.51 | ) | (0.06 | ) | — | 13.40 | 2.50 | 981,935 | 0.62 | 0.62 | 0.71 | 3.71 | 3.62 | 465 | |||||||||||||||||||||||||||||||
2004 | 13.58 | 0.39 | # | 0.31 | (0.43 | ) | (0.22 | ) | — | 13.63 | 5.20 | 853,377 | 0.62 | 0.62 | 0.72 | 2.85 | 2.75 | 372 | ||||||||||||||||||||||||||||||||
2003 | 13.54 | 0.46 | # | 0.43 | (0.56 | ) | (0.29 | ) | — | 13.58 | 6.62 | 741,743 | 0.62 | 0.62 | 0.71 | 3.37 | 3.28 | 458 | ||||||||||||||||||||||||||||||||
2002 | 13.37 | 0.62 | # | 0.57 | (0.65 | ) | (0.37 | ) | — | 13.54 | 9.15 | 767,926 | 0.63 | 0.62 | 0.77 | 4.62 | 4.47 | 543 | ||||||||||||||||||||||||||||||||
2001 (4) | 13.60 | 0.22 | (0.02 | ) | (0.23 | ) | (0.20 | ) | — | † | 13.37 | 1.49 | 827,774 | 0.64 | 0.62 | 0.77 | 4.62 | 4.47 | 247 | |||||||||||||||||||||||||||||||
GS6 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 8.78 | $ | 0.17 | # | $ | (0.25 | ) | $ | (0.22 | ) | $ | — | $ | — | $ | 8.48 | (0.94 | )% | $ | 13,081 | 1.05 | % | 1.05 | % | 1.13 | % | 4.04 | % | 3.96 | % | 230 | % | |||||||||||||||||
2005 | 9.12 | 0.29 | # | (0.09 | ) | (0.48 | ) | (0.06 | ) | — | 8.78 | 2.18 | 13,195 | 1.00 | 1.00 | 1.06 | 3.29 | 3.21 | 465 | |||||||||||||||||||||||||||||||
2004 | 9.30 | 0.24 | # | 0.21 | (0.41 | ) | (0.22 | ) | — | 9.12 | 4.88 | 16,524 | 0.90 | 0.90 | 0.95 | 2.61 | 2.56 | 372 | ||||||||||||||||||||||||||||||||
2003 | 9.53 | 0.29 | # | 0.31 | (0.54 | ) | (0.29 | ) | — | 9.30 | 6.33 | 22,640 | 0.90 | 0.90 | 0.96 | 3.03 | 2.97 | 458 | ||||||||||||||||||||||||||||||||
2002 | 9.70 | 0.42 | # | 0.41 | (0.63 | ) | (0.37 | ) | — | 9.53 | 8.90 | 19,289 | 0.90 | 0.90 | 1.03 | 4.37 | 4.24 | 543 | ||||||||||||||||||||||||||||||||
2001 (4) | 10.00 | 0.17 | (0.04 | ) | (0.23 | ) | (0.20 | ) | — | † | 9.70 | 1.30 | 123 | 0.92 | 0.90 | 58.64 | 4.49 | (53.25 | ) | 247 | ||||||||||||||||||||||||||||||
GS8 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 8.78 | $ | 0.16 | # | $ | (0.24 | ) | $ | (0.21 | ) | $ | — | $ | — | $ | 8.49 | (0.96 | )% | $ | 5,082 | 1.35 | % | 1.35 | % | 1.47 | % | 3.74 | % | 3.62 | % | 230 | % | |||||||||||||||||
2005 | 9.13 | 0.27 | # | (0.11 | ) | (0.45 | ) | (0.06 | ) | — | 8.78 | 1.73 | 5,132 | 1.35 | 1.35 | 1.52 | 2.96 | 2.81 | 465 | |||||||||||||||||||||||||||||||
2004 (5) | 9.46 | 0.02 | # | 0.07 | (0.20 | ) | (0.22 | ) | — | 9.13 | 0.87 | 5,043 | 1.35 | 1.35 | 1.59 | 1.41 | 1.17 | 372 | ||||||||||||||||||||||||||||||||
Extended-Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 8.44 | $ | 0.20 | # | $ | (0.46 | ) | $ | (0.31 | ) | $ | (0.01 | ) | $ | — | $ | 7.86 | (3.18 | )% | $ | 56,393 | 0.58 | % | 0.58 | % | 0.58 | % | 4.92 | % | 4.92 | % | 39 | % | ||||||||||||||||
2005 | 8.90 | 0.44 | # | 0.04 | (0.68 | ) | (0.26 | ) | — | 8.44 | 5.65 | 57,372 | 0.56 | 0.56 | 0.57 | 4.90 | 4.89 | 38 | ||||||||||||||||||||||||||||||||
2004 | 9.23 | 0.47 | # | 0.27 | (0.76 | ) | (0.31 | ) | — | 8.90 | 8.49 | 32,309 | 0.57 | 0.57 | 0.57 | 5.17 | 5.17 | 66 | ||||||||||||||||||||||||||||||||
2003 | 9.64 | 0.54 | # | 0.51 | (0.79 | ) | (0.67 | ) | — | 9.23 | 11.32 | 29,004 | 0.59 | 0.59 | 0.60 | 5.49 | 5.48 | 121 | ||||||||||||||||||||||||||||||||
2002 | 9.84 | 0.65 | 0.29 | (0.90 | ) | (0.24 | ) | — | 9.64 | 10.27 | 6,506 | 0.64 | 0.64 | 0.88 | 6.47 | 6.23 | 45 | |||||||||||||||||||||||||||||||||
2001 (4) | 10.00 | 0.24 | (0.03 | ) | (0.33 | ) | (0.04 | ) | — | 9.84 | 2.13 | 26 | 0.66 | 0.65 | 90.75 | 6.62 | (83.48 | ) | 22 | |||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 14.82 | $ | 0.34 | # | $ | (0.84 | ) | $ | (0.29 | ) | $ | (0.01 | ) | $ | — | $ | 14.02 | (3.37 | )% | $ | 371,976 | 0.73 | % | 0.73 | % | 0.75 | % | 4.76 | % | 4.74 | % | 39 | % | ||||||||||||||||
2005 | 14.93 | 0.71 | # | 0.10 | (0.66 | ) | (0.26 | ) | — | 14.82 | 5.54 | 393,851 | 0.73 | 0.73 | 0.76 | 4.72 | 4.69 | 38 | ||||||||||||||||||||||||||||||||
2004 | 14.78 | 0.75 | # | 0.45 | (0.74 | ) | (0.31 | ) | — | 14.93 | 8.37 | 399,459 | 0.73 | 0.73 | 0.75 | 5.01 | 4.99 | 66 | ||||||||||||||||||||||||||||||||
2003 | 14.62 | 0.83 | # | 0.77 | (0.77 | ) | (0.67 | ) | — | 14.78 | 11.19 | 385,110 | 0.73 | 0.73 | 0.75 | 5.46 | 5.44 | 121 | ||||||||||||||||||||||||||||||||
2002 | 14.37 | 0.90 | 0.47 | (0.88 | ) | (0.24 | ) | — | 14.62 | 10.03 | 401,198 | 0.73 | 0.73 | 0.82 | 6.29 | 6.20 | 45 | |||||||||||||||||||||||||||||||||
2001 (4) | 14.38 | 0.32 | 0.03 | (0.32 | ) | (0.04 | ) | — | 14.37 | 2.48 | 404,278 | 0.74 | 0.73 | 0.84 | 6.32 | 6.21 | 22 | |||||||||||||||||||||||||||||||||
GS6 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 8.44 | $ | 0.18 | # | $ | (0.48 | ) | $ | (0.28 | ) | $ | (0.01 | ) | $ | — | $ | 7.85 | (3.58 | )% | $ | 14,561 | 1.17 | % | 1.17 | % | 1.17 | % | 4.33 | % | 4.33 | % | 39 | % | ||||||||||||||||
2005 | 8.89 | 0.39 | # | 0.05 | (0.63 | ) | (0.26 | ) | — | 8.44 | 5.19 | 15,100 | 1.09 | 1.09 | 1.09 | 4.37 | 4.37 | 38 | ||||||||||||||||||||||||||||||||
2004 | 9.22 | 0.44 | # | 0.27 | (0.73 | ) | (0.31 | ) | — | 8.89 | 8.05 | 24,043 | 0.98 | 0.98 | 0.96 | 4.76 | 4.78 | 66 | ||||||||||||||||||||||||||||||||
2003 | 9.63 | 0.52 | # | 0.50 | (0.76 | ) | (0.67 | ) | — | 9.22 | 10.95 | 27,978 | 0.93 | 0.93 | 0.94 | 5.25 | 5.24 | 121 | ||||||||||||||||||||||||||||||||
2002 | 9.83 | 0.62 | 0.29 | (0.87 | ) | (0.24 | ) | — | 9.63 | 9.93 | 24,812 | 0.91 | 0.91 | 1.03 | 6.18 | 6.06 | 45 | |||||||||||||||||||||||||||||||||
2001 (4) | 10.00 | 0.32 | (0.13 | ) | (0.32 | ) | (0.04 | ) | — | 9.83 | 1.91 | 8,553 | 1.06 | 1.05 | 28.96 | 6.14 | (21.77 | ) | 22 | |||||||||||||||||||||||||||||||
GS8 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 8.44 | $ | 0.16 | # | $ | (0.47 | ) | $ | (0.27 | ) | $ | (0.01 | ) | $ | — | $ | 7.85 | (3.72 | )% | $ | 5,142 | 1.50 | % | 1.50 | % | 1.53 | % | 4.00 | % | 3.97 | % | 39 | % | ||||||||||||||||
2005 | 8.89 | 0.35 | # | 0.06 | (0.60 | ) | (0.26 | ) | — | 8.44 | 4.81 | 5,339 | 1.50 | 1.50 | 1.56 | 3.95 | 3.89 | 38 | ||||||||||||||||||||||||||||||||
2004 (5) | 9.23 | 0.06 | # | 0.11 | (0.20 | ) | (0.31 | ) | — | 8.89 | 1.91 | 5,096 | 1.50 | 1.50 | 1.61 | 4.31 | 4.20 | 66 |
See Notes to Financial Statements.
107
Table of Contents
FINANCIAL HIGHLIGHTS (Unaudited) (Continued)
For a Share Outstanding For the Six Months Ended June 30, 2006 and For the Years Ended December 31, unless otherwise indicated | Ratios to Average Net Assets (1) | |||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment | Realized (Loss) on | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Excess Distribution/ Return of Capital | Net Asset Value, End of Period | Total Return (2) | Net Assets, Period (000) | Expenses, Net | Expenses, Including Expense Reduction | Expenses, Before Waivers and Expense Reduction | Investment Income, Net | Investment Income/ (Loss), Excluding Waivers and Expense Reduction | Portfolio Turnover Rate (2) | ||||||||||||||||||||||||||||||||||||
Equity Index Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006 (3) | $ | 9.96 | $ | 0.09 | # | $ | 0.17 | $ | (0.13 | ) | $ | — | $ | — | $ | 10.09 | 2.64 | % | $ | 65,906 | 0.23 | % | 0.23 | % | 0.23 | % | 1.70 | % | 1.70 | % | 3 | % | ||||||||||||||||||
2005 | 9.78 | 0.16 | # | 0.30 | (0.24 | ) | (0.04 | ) | — | 9.96 | 4.80 | 62,214 | 0.23 | 0.23 | 0.24 | 1.63 | 1.62 | 6 | ||||||||||||||||||||||||||||||||
2004 | 9.08 | 0.16 | # | 0.81 | (0.27 | ) | — | — | † | 9.78 | 10.77 | 36,148 | 0.25 | 0.25 | 0.23 | 1.75 | 1.77 | 2 | ||||||||||||||||||||||||||||||||
2003 | 7.22 | 0.12 | # | 1.91 | (0.17 | ) | — | — | 9.08 | 28.19 | 33,009 | 0.25 | 0.25 | 0.28 | 1.46 | 1.43 | 2 | |||||||||||||||||||||||||||||||||
2002 | 9.58 | 0.14 | (2.29 | ) | (0.18 | ) | (0.03 | ) | — | 7.22 | (22.57 | ) | 4,737 | 0.25 | 0.25 | 0.60 | 1.40 | 1.05 | 3 | |||||||||||||||||||||||||||||||
2001 (4) | 10.00 | 0.03 | (0.34 | ) | (0.06 | ) | (0.05 | ) | — | 9.58 | (3.14 | ) | 28 | 0.25 | 0.25 | 86.25 | 1.19 | (84.81 | ) | 3 | ||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006 (3) | $ | 16.97 | $ | 0.13 | # | $ | 0.30 | $ | (0.12 | ) | $ | — | $ | — | $ | 17.28 | 2.52 | % | $ | 416,209 | 0.40 | % | 0.40 | % | 0.42 | % | 1.53 | % | 1.51 | % | 3 | % | ||||||||||||||||||
2005 | 16.47 | 0.24 | # | 0.51 | (0.21 | ) | (0.04 | ) | — | 16.97 | 4.61 | 402,865 | 0.40 | 0.40 | 0.43 | 1.46 | 1.43 | 6 | ||||||||||||||||||||||||||||||||
2004 | 15.12 | 0.25 | # | 1.35 | (0.25 | ) | — | — | 16.47 | 10.60 | 417,962 | 0.40 | 0.40 | 0.41 | 1.60 | 1.59 | 2 | |||||||||||||||||||||||||||||||||
2003 | 11.93 | 0.18 | # | 3.16 | (0.15 | ) | — | — | 15.12 | 28.03 | 382,067 | 0.40 | 0.40 | 0.44 | 1.33 | 1.29 | 2 | |||||||||||||||||||||||||||||||||
2002 | 15.64 | 0.17 | (3.69 | ) | (0.16 | ) | (0.03 | ) | — | 11.93 | (22.59 | ) | 295,261 | 0.40 | 0.40 | 0.51 | 1.21 | 1.10 | 3 | |||||||||||||||||||||||||||||||
2001 (4) | 16.15 | 0.05 | (0.46 | ) | (0.05 | ) | (0.05 | ) | — | 15.64 | (2.55 | ) | 401,471 | 0.40 | 0.40 | 0.53 | 0.98 | 0.85 | 3 | |||||||||||||||||||||||||||||||
GS6 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006 (3) | $ | 10.02 | $ | 0.07 | # | $ | 0.17 | $ | (0.11 | ) | $ | — | $ | — | $ | 10.15 | 2.44 | % | $ | 12,307 | 0.60 | % | 0.60 | % | 0.85 | % | 1.33 | % | 1.08 | % | 3 | % | ||||||||||||||||||
2005 | 9.83 | 0.13 | # | 0.31 | (0.21 | ) | (0.04 | ) | — | 10.02 | 4.54 | 12,019 | 0.56 | 0.56 | 0.82 | 1.30 | 1.04 | 6 | ||||||||||||||||||||||||||||||||
2004 | 9.14 | 0.13 | # | 0.81 | (0.25 | ) | — | — | 9.83 | 10.37 | 11,502 | 0.45 | 0.45 | 0.72 | 1.41 | 1.14 | 2 | |||||||||||||||||||||||||||||||||
2003 | 7.26 | 0.10 | # | 1.93 | (0.15 | ) | — | — | 9.14 | 28.09 | 17,395 | 0.45 | 0.45 | 0.73 | 1.28 | 1.00 | 2 | |||||||||||||||||||||||||||||||||
2002 | 9.63 | 0.13 | (2.31 | ) | (0.16 | ) | (0.03 | ) | — | 7.26 | (22.71 | ) | 12,890 | 0.45 | 0.45 | 0.81 | 1.21 | 0.85 | 3 | |||||||||||||||||||||||||||||||
2001 (4) | 10.00 | 0.02 | (0.28 | ) | (0.06 | ) | (0.05 | ) | — | 9.63 | (2.65 | ) | 367 | 0.45 | 0.45 | 28.52 | 0.95 | (27.12 | ) | 3 | ||||||||||||||||||||||||||||||
GS8 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006 (3) | $ | 10.02 | $ | 0.05 | # | $ | 0.18 | $ | (0.10 | ) | $ | — | $ | — | $ | 10.15 | 2.29 | % | $ | 5,557 | 0.90 | % | 0.90 | % | 1.21 | % | 1.03 | % | 0.72 | % | 3 | % | ||||||||||||||||||
2005 | 9.84 | 0.09 | # | 0.31 | (0.18 | ) | (0.04 | ) | — | 10.02 | 4.09 | 5,421 | 0.90 | 0.90 | 1.19 | 0.96 | 0.67 | 6 | ||||||||||||||||||||||||||||||||
2004 (5) | 9.55 | 0.04 | # | 0.35 | (0.10 | ) | — | — | 9.84 | 4.11 | 5,205 | 0.90 | 0.90 | 1.27 | 3.18 | 2.81 | 2 | |||||||||||||||||||||||||||||||||
Value Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006 (3) | $ | 10.75 | $ | 0.10 | # | $ | 0.43 | $ | (0.15 | ) | $ | (0.20 | ) | $ | — | $ | 10.93 | 4.97 | % | $ | 162,403 | 0.72 | % | 0.71 | % | 0.72 | % | 1.78 | % | 1.77 | % | 58 | % | |||||||||||||||||
2005 | 11.44 | 0.20 | # | 0.65 | (0.28 | ) | (1.26 | ) | — | 10.75 | 7.40 | 156,279 | 0.73 | 0.72 | 0.73 | 1.72 | 1.71 | 54 | ||||||||||||||||||||||||||||||||
2004 | 9.94 | 0.17 | # | 1.59 | (0.26 | ) | — | † | — | 11.44 | 17.83 | 75,123 | 0.75 | 0.74 | 0.74 | 1.64 | 1.64 | 56 | ||||||||||||||||||||||||||||||||
2003 | 7.77 | 0.14 | # | 2.26 | (0.23 | ) | — | — | 9.94 | 31.09 | 69,991 | 0.76 | 0.75 | 0.78 | 1.62 | 1.59 | 54 | |||||||||||||||||||||||||||||||||
2002 | 9.64 | 0.16 | (1.80 | ) | (0.23 | ) | — | — | † | 7.77 | (17.22 | ) | 5,265 | 0.76 | 0.72 | 1.06 | 1.77 | 1.43 | 70 | |||||||||||||||||||||||||||||||
2001 (4) | 10.00 | 0.06 | (0.35 | ) | (0.07 | ) | — | — | 9.64 | (2.88 | ) | 77 | 0.76 | 0.76 | 81.37 | 1.60 | (79.01 | ) | 21 | |||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006 (3) | $ | 17.50 | $ | 0.14 | # | $ | 0.71 | $ | (0.13 | ) | $ | (0.20 | ) | $ | — | $ | 18.02 | 4.90 | % | $ | 1,293,466 | 0.90 | % | 0.89 | % | 0.91 | % | 1.60 | % | 1.58 | % | 58 | % | |||||||||||||||||
2005 | 17.74 | 0.28 | # | 0.99 | (0.25 | ) | (1.26 | ) | — | 17.50 | 7.13 | 1,279,940 | 0.90 | 0.89 | 0.93 | 1.53 | 1.49 | 54 | ||||||||||||||||||||||||||||||||
2004 | 15.28 | 0.24 | # | 2.45 | (0.23 | ) | — | — | 17.74 | 17.71 | 1,305,669 | 0.90 | 0.89 | 0.92 | 1.49 | 1.46 | 56 | |||||||||||||||||||||||||||||||||
2003 | 11.85 | 0.21 | # | 3.43 | (0.21 | ) | — | — | 15.28 | 30.84 | 1,152,116 | 0.90 | 0.88 | 0.94 | 1.59 | 1.53 | 54 | |||||||||||||||||||||||||||||||||
2002 | 14.57 | 0.21 | (2.73 | ) | (0.20 | ) | — | — | † | 11.85 | (17.37 | ) | 938,583 | 0.90 | 0.87 | 0.98 | 1.57 | 1.46 | 70 | |||||||||||||||||||||||||||||||
2001 (4) | 15.21 | 0.06 | (0.64 | ) | (0.06 | ) | — | — | 14.57 | (3.79 | ) | 1,159,209 | 0.90 | 0.90 | 1.00 | 1.29 | 1.19 | 21 | ||||||||||||||||||||||||||||||||
GS6 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006 (3) | $ | 10.69 | $ | 0.07 | # | $ | 0.43 | $ | (0.12 | ) | $ | (0.20 | ) | $ | — | $ | 10.87 | 4.71 | % | $ | 15,704 | 1.29 | % | 1.28 | % | 1.29 | % | 1.21 | % | 1.20 | % | 58 | % | |||||||||||||||||
2005 | 11.39 | 0.14 | # | 0.64 | (0.22 | ) | (1.26 | ) | — | 10.69 | 6.78 | 15,003 | 1.25 | 1.24 | 1.27 | 1.17 | 1.14 | 54 | ||||||||||||||||||||||||||||||||
2004 | 9.90 | 0.12 | # | 1.59 | (0.22 | ) | — | — | 11.39 | 17.35 | 17,968 | 1.15 | 1.14 | 1.22 | 1.20 | 1.12 | 56 | |||||||||||||||||||||||||||||||||
2003 | 7.75 | 0.11 | # | 2.23 | (0.19 | ) | — | — | 9.90 | 30.46 | 19,680 | 1.15 | 1.13 | 1.20 | 1.33 | 1.26 | 54 | |||||||||||||||||||||||||||||||||
2002 | 9.61 | 0.15 | (1.82 | ) | (0.19 | ) | — | — | † | 7.75 | (17.48 | ) | 13,987 | 1.15 | 1.11 | 1.29 | 1.38 | 1.20 | 70 | |||||||||||||||||||||||||||||||
2001 (4) | 10.00 | 0.03 | (0.35 | ) | (0.07 | ) | — | — | 9.61 | (3.23 | ) | 168 | 1.15 | 1.15 | 65.50 | 1.12 | (63.23 | ) | 21 | |||||||||||||||||||||||||||||||
GS8 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006 (3) | $ | 10.68 | $ | 0.05 | # | $ | 0.42 | $ | (0.10 | ) | $ | (0.20 | ) | $ | — | $ | 10.85 | 4.46 | % | $ | 5,889 | 1.60 | % | 1.59 | % | 1.66 | % | 0.90 | % | 0.83 | % | 58 | % | |||||||||||||||||
2005 | 11.39 | 0.10 | # | 0.63 | (0.18 | ) | (1.26 | ) | — | 10.68 | 6.39 | 5,603 | 1.60 | 1.59 | 1.71 | 0.83 | 0.71 | 54 | ||||||||||||||||||||||||||||||||
2004 (5) | 10.89 | 0.03 | # | 0.54 | (0.07 | ) | — | — | 11.39 | 5.28 | 5,262 | 1.60 | 1.59 | 1.79 | 1.71 | 1.51 | 56 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | Annualized. |
(2) | Not annualized. |
(3) | For the six months ended June 30, 2006. |
(4) | Inception date was August 27, 2001. |
(5) | Inception date was November 8, 2004. |
See Notes to Financial Statements.
108
Table of Contents
Ratios to Average Net Assets (1) | ||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment | Realized and Unrealized Gain (Loss) on Investments | Distributions from Net Realized Capital Gains | Net Asset Value, End of Period | Total Return (2) | Net Assets, Period (000) | Expenses, Net | Expenses, Including Expense Reduction | Expenses, Before Waivers and Expense Reduction | Investment Net | Investment Income/ (Loss), Excluding Waivers and Expense Reduction | Portfolio Turnover Rate (2) | ||||||||||||||||||||||||||||||
Growth Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||
2006 (3) | $ | 11.18 | $ | (0.01 | ) | $ | (0.53 | ) | $ | — | $ | 10.64 | (4.83 | )% | $ | 168,320 | 0.87 | % | 0.87 | % | 0.88 | % | (0.07 | )% | (0.08 | )% | 26 | % | ||||||||||||||
2005 | 10.29 | (0.03 | ) | 0.92 | — | 11.18 | 8.65 | 172,118 | 0.87 | 0.86 | 0.89 | (0.10 | ) | (0.13 | ) | 49 | ||||||||||||||||||||||||||
2004 | 9.16 | — | 1.13 | — | 10.29 | 12.34 | 84,177 | 0.87 | 0.86 | 0.89 | 0.01 | (0.02 | ) | 56 | ||||||||||||||||||||||||||||
2003 | 7.07 | (0.01 | ) | 2.10 | — | 9.16 | 29.56 | 79,547 | 0.81 | 0.79 | 0.85 | (0.03 | ) | (0.09 | ) | 77 | ||||||||||||||||||||||||||
2002 | 9.83 | 0.01 | (2.77 | ) | — | 7.07 | (28.08 | ) | 4,553 | 0.78 | 0.75 | 1.14 | 0.09 | (0.30 | ) | 41 | ||||||||||||||||||||||||||
2001 (4) | 10.00 | — | † | (0.17 | ) | — | 9.83 | (1.70 | ) | 29 | 0.78 | 0.78 | 83.19 | 0.02 | (82.39 | ) | 9 | |||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||
2006 (3) | $ | 17.71 | $ | (0.02 | ) | $ | (0.85 | ) | $ | — | $ | 16.84 | (4.91 | )% | $ | 1,283,737 | 0.99 | % | 0.99 | % | 1.07 | % | (0.19 | )% | (0.27 | )% | 26 | % | ||||||||||||||
2005 | 16.33 | (0.04 | ) | 1.42 | — | 17.71 | 8.45 | 1,362,599 | 0.99 | 0.99 | 1.08 | (0.22 | ) | (0.32 | ) | 49 | ||||||||||||||||||||||||||
2004 | 14.55 | (0.02 | ) | 1.80 | — | 16.33 | 12.23 | 1,405,754 | 0.99 | 0.98 | 1.08 | (0.11 | ) | (0.21 | ) | 56 | ||||||||||||||||||||||||||
2003 | 11.23 | (0.01 | ) | 3.33 | — | 14.55 | 29.56 | 1,285,223 | 0.92 | 0.90 | 1.01 | (0.07 | ) | (0.18 | ) | 77 | ||||||||||||||||||||||||||
2002 | 15.63 | (0.01 | ) | (4.39 | ) | — | 11.23 | (28.15 | ) | 1,049,709 | 0.90 | 0.88 | 1.02 | (0.05 | ) | (0.19 | ) | 41 | ||||||||||||||||||||||||
2001 (4) | 15.93 | (0.01 | ) | (0.29 | ) | — | 15.63 | (1.88 | ) | 1,354,301 | 0.90 | 0.90 | 1.05 | (0.11 | ) | (0.26 | ) | 9 | ||||||||||||||||||||||||
GS6 Class | ||||||||||||||||||||||||||||||||||||||||||
2006 (3) | $ | 10.99 | $ | (0.03 | ) | $ | (0.53 | ) | $ | — | $ | 10.43 | (5.10 | )% | $ | 10,825 | 1.39 | % | 1.39 | % | 1.53 | % | (0.59 | )% | (0.73 | )% | 26 | % | ||||||||||||||
2005 | 10.17 | (0.09 | ) | 0.91 | — | 10.99 | 8.06 | 11,406 | 1.34 | 1.33 | 1.47 | (0.57 | ) | (0.71 | ) | 49 | ||||||||||||||||||||||||||
2004 | 9.08 | (0.07 | ) | 1.16 | — | 10.17 | 12.00 | 13,780 | 1.24 | 1.23 | 1.44 | (0.42 | ) | (0.63 | ) | 56 | ||||||||||||||||||||||||||
2003 | 7.03 | (0.02 | ) | 2.07 | — | 9.08 | 29.16 | 18,099 | 1.17 | 1.15 | 1.33 | (0.33 | ) | (0.51 | ) | 77 | ||||||||||||||||||||||||||
2002 | 9.81 | (0.02 | ) | (2.76 | ) | — | 7.03 | (28.34 | ) | 12,503 | 1.15 | 1.12 | 1.36 | (0.28 | ) | (0.52 | ) | 41 | ||||||||||||||||||||||||
2001 (4) | 10.00 | — | † | (0.19 | ) | — | 9.81 | (1.90 | ) | 309 | 1.15 | 1.15 | 47.77 | (0.32 | ) | (46.94 | ) | 9 | ||||||||||||||||||||||||
GS8 Class | ||||||||||||||||||||||||||||||||||||||||||
2006 (3) | $ | 10.95 | $ | (0.05 | ) | $ | (0.53 | ) | $ | — | $ | 10.37 | (5.30 | )% | $ | 5,418 | 1.69 | % | 1.69 | % | 1.84 | % | (0.89 | )% | (1.04 | )% | 26 | % | ||||||||||||||
2005 | 10.16 | (0.09 | ) | 0.88 | — | 10.95 | 7.78 | 5,708 | 1.69 | 1.68 | 1.88 | (0.92 | ) | (1.12 | ) | 49 | ||||||||||||||||||||||||||
2004 (5) | 9.59 | — | † | 0.57 | — | 10.16 | 5.94 | 5,299 | 1.69 | 1.67 | 1.97 | 0.30 | — | 56 | ||||||||||||||||||||||||||||
Small Cap Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||
2006 (3) | $ | 11.40 | $ | (0.01 | )# | $ | 0.58 | $ | — | $ | 11.97 | 5.00 | % | $ | 64,059 | 1.09 | % | 1.08 | % | 1.09 | % | (0.16 | )% | (0.17 | )% | 47 | % | |||||||||||||||
2005 | 12.51 | (0.01 | )# | 0.84 | (1.94 | ) | 11.40 | 6.48 | 62,009 | 1.10 | 1.09 | 1.07 | (0.06 | ) | (0.04 | ) | 97 | |||||||||||||||||||||||||
2004 | 11.52 | (0.01 | ) | 1.74 | (0.74 | ) | 12.51 | 15.04 | 28,639 | 1.18 | 1.15 | 1.20 | (0.10 | ) | (0.15 | ) | 148 | |||||||||||||||||||||||||
2003 | 7.88 | (0.03 | ) | 3.67 | — | 11.52 | 46.19 | 25,415 | 1.18 | 1.12 | 1.27 | (0.26 | ) | (0.41 | ) | 131 | ||||||||||||||||||||||||||
2002 | 10.12 | (0.01 | ) | (2.23 | ) | — | 7.88 | (22.13 | ) | 4,869 | 1.18 | 1.11 | 1.60 | (0.12 | ) | (0.61 | ) | 160 | ||||||||||||||||||||||||
2001 (4) | 10.00 | — | † | 0.12 | — | 10.12 | 1.20 | 81 | 1.18 | 1.18 | 76.30 | 0.12 | (75.00 | ) | 92 | |||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||
2006 (3) | $ | 15.61 | $ | (0.02 | )# | $ | 0.79 | $ | — | $ | 16.38 | 4.93 | % | $ | 481,475 | 1.21 | % | 1.20 | % | 1.29 | % | (0.28 | )% | (0.37 | )% | 47 | % | |||||||||||||||
2005 | 16.48 | (0.03 | )# | 1.10 | (1.94 | ) | 15.61 | 6.37 | 463,367 | 1.22 | 1.21 | 1.27 | (0.19 | ) | (0.26 | ) | 97 | |||||||||||||||||||||||||
2004 | 14.99 | (0.02 | ) | 2.25 | (0.74 | ) | 16.48 | 14.89 | 432,763 | 1.25 | 1.22 | 1.37 | (0.16 | ) | (0.31 | ) | 148 | |||||||||||||||||||||||||
2003 | 10.25 | (0.04 | ) | 4.78 | — | 14.99 | 46.24 | 357,703 | 1.25 | 1.19 | 1.43 | (0.34 | ) | (0.58 | ) | 131 | ||||||||||||||||||||||||||
2002 | 13.18 | (0.02 | ) | (2.91 | ) | — | 10.25 | (22.23 | ) | 232,992 | 1.25 | 1.19 | 1.51 | (0.19 | ) | (0.51 | ) | 160 | ||||||||||||||||||||||||
2001 (4) | 13.07 | (0.01 | ) | 0.12 | — | 13.18 | 0.84 | 321,743 | 1.25 | 1.25 | 1.52 | (0.13 | ) | (0.40 | ) | 92 | ||||||||||||||||||||||||||
GS6 Class | ||||||||||||||||||||||||||||||||||||||||||
2006 (3) | $ | 11.16 | $ | (0.04 | )# | $ | 0.56 | $ | — | $ | 11.68 | 4.66 | % | $ | 16,310 | 1.61 | % | 1.60 | % | 1.64 | % | (0.68 | )% | (0.72 | )% | 47 | % | |||||||||||||||
2005 | 12.34 | (0.06 | )# | 0.82 | (1.94 | ) | 11.16 | 6.00 | 15,577 | 1.57 | 1.56 | 1.59 | (0.53 | ) | (0.56 | ) | 97 | |||||||||||||||||||||||||
2004 | 11.41 | (0.08 | ) | 1.75 | (0.74 | ) | 12.34 | 14.66 | 17,875 | 1.50 | 1.47 | 1.69 | (0.43 | ) | (0.65 | ) | 148 | |||||||||||||||||||||||||
2003 | 7.83 | (0.04 | ) | 3.62 | — | 11.41 | 45.72 | 22,520 | 1.50 | 1.44 | 1.70 | (0.59 | ) | (0.85 | ) | 131 | ||||||||||||||||||||||||||
2002 | 10.09 | (0.04 | ) | (2.22 | ) | — | 7.83 | (22.40 | ) | 12,878 | 1.50 | 1.43 | 1.82 | (0.44 | ) | (0.83 | ) | 160 | ||||||||||||||||||||||||
2001 (4) | 10.00 | — | † | 0.09 | — | 10.09 | 0.90 | 115 | 1.50 | 1.50 | 123.38 | (0.28 | ) | (122.16 | ) | 92 | ||||||||||||||||||||||||||
GS8 Class | ||||||||||||||||||||||||||||||||||||||||||
2006 (3) | $ | 11.11 | $ | (0.06 | )# | $ | 0.56 | $ | — | $ | 11.61 | 4.50 | % | $ | 5,969 | 1.91 | % | 1.90 | % | 2.04 | % | (0.98 | )% | (1.12 | )% | 47 | % | |||||||||||||||
2005 | 12.34 | (0.11 | )# | 0.82 | (1.94 | ) | 11.11 | 5.61 | 5,694 | 1.92 | 1.91 | 2.07 | (0.88 | ) | (1.04 | ) | 97 | |||||||||||||||||||||||||
2004 (5) | 12.14 | (0.01 | ) | 0.95 | (0.74 | ) | 12.34 | 7.77 | 5,386 | 1.95 | 1.91 | 2.19 | (0.68 | ) | (0.96 | ) | 148 |
See Notes to Financial Statements.
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FINANCIAL HIGHLIGHTS (Unaudited) (Continued)
For a Share Outstanding For the Six Months Ended June 30, 2006 and For the Years Ended December 31, unless otherwise indicated | Ratios to Average Net Assets (1) | |||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment | Realized (Loss) on | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Return of Capital | Net Asset Value, End of Period | Total Return (2) | Net Assets, Period (000) | Expenses, Net | Expenses, Including Expense Reduction | Expenses, Before Waivers and Expense Reduction | Investment Net | Investment Income/ (Loss), Excluding Waivers and Expense Reduction | Portfolio Turnover Rate (2) | ||||||||||||||||||||||||||||||||||||
International Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||
GS2 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 14.71 | $ | 0.18 | $ | 0.97 | $ | — | $ | — | $ | — | $ | 15.86 | 7.82 | % | $ | 181,267 | 0.97 | % | 0.96 | % | 1.10 | % | 2.27 | % | 2.13 | % | 16 | % | ||||||||||||||||||||
2005 | 12.93 | 0.29 | 1.99 | (0.30 | ) | (0.20 | ) | — | 14.71 | 17.66 | 176,819 | 0.97 | 0.95 | 1.12 | 1.59 | 1.43 | 30 | |||||||||||||||||||||||||||||||||
2004 | 11.06 | 0.16 | 1.93 | (0.22 | ) | — | — | 12.93 | 18.93 | 87,300 | 0.97 | 0.95 | 1.13 | 1.32 | 1.14 | 33 | ||||||||||||||||||||||||||||||||||
2003 | 8.26 | 0.08 | # | 2.90 | (0.18 | ) | — | — | 11.06 | 36.06 | 50,390 | 0.97 | 0.95 | 1.14 | 0.86 | 0.67 | 33 | |||||||||||||||||||||||||||||||||
2002 | 9.50 | 0.11 | (1.22 | ) | (0.13 | ) | — | — | † | 8.26 | (11.72 | ) | 5,416 | 0.96 | 0.93 | 1.43 | 1.29 | 0.79 | 30 | |||||||||||||||||||||||||||||||
2001 (4) | 10.00 | — | † | (0.47 | ) | (0.03 | ) | — | — | 9.50 | (4.69 | ) | 27 | 0.96 | 0.96 | 88.97 | 0.11 | (87.90 | ) | 20 | ||||||||||||||||||||||||||||||
GS4 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 17.37 | $ | 0.19 | $ | 1.15 | $ | — | $ | — | $ | — | $ | 18.71 | 7.72 | % | $ | 1,165,668 | 1.15 | % | 1.14 | % | 1.29 | % | 2.10 | % | 1.95 | % | 16 | % | ||||||||||||||||||||
2005 | 15.20 | 0.23 | 2.41 | (0.27 | ) | (0.20 | ) | — | 17.37 | 17.39 | 1,120,234 | 1.15 | 1.13 | 1.31 | 1.42 | 1.24 | 30 | |||||||||||||||||||||||||||||||||
2004 | 12.96 | 0.17 | 2.26 | (0.19 | ) | — | — | 15.20 | 18.80 | 1,072,556 | 1.15 | 1.13 | 1.31 | 1.22 | 1.04 | 33 | ||||||||||||||||||||||||||||||||||
2003 | 9.66 | 0.15 | # | 3.31 | (0.16 | ) | — | — | 12.96 | 35.81 | 920,664 | 1.15 | 1.13 | 1.31 | 1.39 | 1.21 | 33 | |||||||||||||||||||||||||||||||||
2002 | 11.09 | 0.11 | (1.43 | ) | (0.11 | ) | — | — | † | 9.66 | (11.94 | ) | 698,704 | 1.15 | 1.12 | 1.35 | 1.00 | 0.77 | 30 | |||||||||||||||||||||||||||||||
2001 (4) | 11.66 | 0.01 | (0.55 | ) | (0.03 | ) | — | — | 11.09 | (4.61 | ) | 795,363 | 1.15 | 1.15 | 1.37 | 0.28 | 0.06 | 20 | ||||||||||||||||||||||||||||||||
GS6 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 14.56 | $ | 0.14 | $ | 0.95 | $ | — | $ | — | $ | — | $ | 15.65 | 7.49 | % | $ | 20,555 | 1.50 | % | 1.49 | % | 1.63 | % | 1.75 | % | 1.61 | % | 16 | % | ||||||||||||||||||||
2005 | 12.80 | 0.13 | 2.06 | (0.23 | ) | (0.20 | ) | — | 14.56 | 17.15 | 19,123 | 1.45 | 1.43 | 1.64 | 1.11 | 0.91 | 30 | |||||||||||||||||||||||||||||||||
2004 | 10.95 | 0.12 | 1.90 | (0.17 | ) | — | — | 12.80 | 18.52 | 19,551 | 1.35 | 1.33 | 1.58 | 1.06 | 0.81 | 33 | ||||||||||||||||||||||||||||||||||
2003 | 8.19 | 0.10 | # | 2.80 | (0.14 | ) | — | — | 10.95 | 35.47 | 20,434 | 1.36 | 1.34 | 1.50 | 1.14 | 0.98 | 33 | |||||||||||||||||||||||||||||||||
2002 | 9.43 | 0.06 | (1.21 | ) | (0.09 | ) | — | — | † | 8.19 | (12.18 | ) | 14,078 | 1.37 | 1.34 | 1.64 | 0.88 | 0.58 | 30 | |||||||||||||||||||||||||||||||
2001 (4) | 10.00 | (0.01 | )# | (0.53 | ) | (0.03 | ) | — | — | 9.43 | (5.40 | ) | 51 | 1.45 | 1.45 | 256.83 | (0.32 | ) | (255.70 | ) | 20 | |||||||||||||||||||||||||||||
GS8 Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
2006(3) | $ | 14.54 | $ | 0.11 | $ | 0.95 | $ | — | $ | — | $ | — | $ | 15.60 | 7.29 | % | $ | 6,735 | 1.80 | % | 1.79 | % | 2.03 | % | 1.45 | % | 1.21 | % | 16 | % | ||||||||||||||||||||
2005 | 12.80 | 0.11 | 2.02 | (0.19 | ) | (0.20 | ) | — | 14.54 | 16.67 | 6,243 | 1.80 | 1.78 | 2.11 | 0.76 | 0.43 | 30 | |||||||||||||||||||||||||||||||||
2004 (5) | 12.05 | — | † | 0.84 | (0.09 | ) | — | — | 12.80 | 6.93 | 5,346 | 1.80 | 1.78 | 2.16 | (0.37 | ) | (0.75 | ) | 33 |
† | Amount represents less than $0.005 per share. |
# | Calculated using the average shares outstanding method. |
(1) | Annualized. |
(2) | Not annualized. |
(3) | For the six months ended June 30, 2006. |
(4) | Inception date was August 27, 2001. |
(5) | Inception date was November 8, 2004. |
See Notes to Financial Statements.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. DESCRIPTION OF THE FUNDS
GuideStone Funds (the “Trust”) was organized as a Delaware statutory trust on March 2, 2000. The Trust has established seventeen series (each a “Fund” and together, the “Funds”). Each Fund is a diversified, open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”).
The Flexible Income Fund, Growth & Income Fund, Capital Opportunities Fund, Global Equity Fund, Flexible Income Fund I, Growth & Income Fund I, Capital Opportunities Fund I and Global Equity Fund I are each referred to as a “Blended Fund” and together are referred to as the “Blended Funds.” The remaining Funds are each referred to as a “Select Fund” and are together referred to as the “Select Funds.” The Low-Duration Bond Fund, Medium-Duration Bond Fund and Extended-Duration Bond Fund are together referred to as the “Bond Funds.” The Equity Index Fund, Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund, and International Equity Fund are together referred to as the “Equity Funds.” The Money Market Fund is referred to as the “Money Market Fund.”
There are four classes of shares issued by the Funds — the GS2 Class, the GS4 Class, the GS6 Class and the GS8 Class. All classes of shares have identical voting, dividend and liquidation rights. The distribution fee (class specific expense) differs among classes. Income, expenses (other than class specific expenses) and realized and unrealized gains or losses on investments are allocated to each class of shares based upon its relative net assets.
Each Fund is a separate mutual fund with its own investment objective, strategies and risks. The Select Funds invest directly in particular types of fixed income obligations, stocks and other investments. The Blended Funds primarily invest in a different mix of the Select Funds to meet a specified investment strategy. The Blended Funds are commonly referred to as “Fund of Funds”.
2. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are in conformity with generally accepted accounting principles in the United States of America which requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
a. Valuation of Securities
The Funds (except the Money Market Fund) each value securities traded on national securities exchanges or included in national market systems at the last quoted sale price, or official close price, on the principal exchange on which they were traded, or, in the absence of any sale, or official close price, at the closing bid price. Securities which are primarily traded on foreign exchanges are generally valued at the closing values of such securities on their respective exchanges, except that when an occurrence subsequent to the time when the foreign security is valued is likely to have changed such value, then the fair value of those securities will be determined through procedures established by or under the direction of the Board of Trustees. Non-exchange traded securities for which an over-the-counter quotation is readily available are valued at the last quoted bid price. Debt securities, excluding asset-backed and mortgage-backed securities, are valued at the mean of the last bid and asked prices available. Asset-backed and mortgage-backed securities are valued at the last bid price. Options and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price. Short-term securities maturing in more than 60 days from the valuation date are valued at the mean of the last bid and asked prices; those maturing in 60 days or less are valued at amortized cost. Futures contracts are valued at the closing settlement price on the exchange on which they are primarily
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traded. Forward foreign exchange contracts are valued based upon closing exchange rates from each respective foreign market. Swap agreements are valued daily based upon the terms specific to each agreement with its counterparty. To the extent available, valuations of portfolio securities are provided by independent pricing services approved by the Board of Trustees. Debt securities are valued on the basis of broker quotations or valuations provided by a pricing service which may use a matrix, formula or other objective method that takes into consideration market indices, matrices, yield curves and other specific adjustments. Certain fixed income securities are valued by the sub-adviser using various methodologies. Securities for which market quotations are not readily available are valued at fair value according to methods established in good faith by the Board of Trustees.
For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time the Fund calculates its net asset value if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that the Fund calculates its net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates its net asset value, a Valuation Committee meeting may be called. The Trust uses FT-Interactive Data (“FT”) as a third party fair valuation vendor. FT provides a fair value for foreign equity securities held by the Trust based on certain factors and methodologies applied by FT in the event that there is movement in the U.S. market that exceeds a specific threshold established by the Valuation Committee in consultation with, and approved by, the Trustees. Such methodologies generally involve tracking valuation correlations between the U.S. market and each non-U.S. security. As part of the valuation procedures a “confidence interval” is used, when the threshold is exceeded, to determine the level of correlation between the value of a foreign equity security and movements in the U.S. market before a particular security will be fair valued. In the event that the threshold established by the Committee is exceeded on a specific day, the Trust will typically value non-U.S. equity securities in its portfolio that exceed the applicable confidence interval based upon the fair values provided by FT.
The Money Market Fund uses the amortized cost method, which approximates market value, to determine the value of its portfolio securities.
The Blended Funds value their investments in the underlying Select Funds daily at the closing net asset value of each respective Select Fund.
b. Repurchase Agreements
Each Fund may agree to purchase securities from financial institutions subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. It is the Fund’s policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund’s custodian bank or a bank with which the custodian bank has entered into a subcustodian agreement, or is segregated in the Federal Reserve Book Entry System. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited.
c. Derivative Financial Instruments
The Funds may engage in various portfolio strategies to seek to increase its return by hedging its portfolio against adverse movements in the equity, debt and currency markets. Losses may arise due to changes in the value of the contract if the counterparty does not perform under the contract. The Funds, in their normal course of business, may enter into contracts that contain a variety of representations and warranties, and which provide general indemnifications. The Funds’ exposure may include future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
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Financial Futures Contracts — The Funds (except the Money Market Fund) may purchase or sell financial futures contracts and the options on such futures contracts for the purpose of hedging risk on existing securities, the intended purchase of securities or to gain market exposure on cash balances. Financial futures contracts are contracts for the delivery of securities at a specified future date at an agreed upon price or yield. Upon entering into a contract, the Funds deposit and maintain as collateral such initial margin as required by the exchange on which the transaction is effected.
Pursuant to the contract, the Funds agree to pay to or receive from the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such payments or receipts are known as variation margin and are recorded by the Funds as unrealized gains or losses until the contract is closed or settled.
Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a futures position prior to its maturity date. Third, the purchase of a futures contract involves the risk that a fund could lose more than the original margin deposit required to initiate a futures transaction.
Options — Certain Funds are authorized to write and purchase put and call options. The risk in writing a call option is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Funds may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Funds pay a premium whether or not the option is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Funds also may write over-the-counter options where completing the obligation depends upon the credit standing of the other party and this party’s ability to perform. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.
Options purchased are recorded as an asset and written options are recorded as liabilities to the extent of premiums paid or received. Each Fund will realize a gain or loss when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option or the cost of a security for a purchased put or call option is adjusted by the amount of the premium received or paid.
Certain Funds may write swaption contracts to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a previously agreed upon swap contract on a future date. If a written call swaption is exercised, the writer will enter a swap and is obligated to pay the fixed rate and receive a floating rate in exchange. If a written put swaption is exercised, the writer will enter a swap and is obligated to pay the floating rate and receive a fixed rate in exchange. Swaptions are marked to market daily based upon quotations from market makers. When a Fund writes a swaption, the premium received is recorded as a liability and is subsequently adjusted to the current market value of the swaption.
Entering into a swaption contract involves, to varying degrees, the elements of credit, market and interest rate risk in excess of the amounts reported in the Statement of Assets and Liabilities, associated with both option contracts and swap contracts. The Funds bear the market risk arising from any change in index values or interest rates.
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Forward Foreign Exchange Contracts — Certain Funds may enter into forward foreign currency exchange contracts to hedge against adverse exchange rate fluctuation to the U.S. dollar or between different foreign currencies in connection with either specific security transactions or portfolio positions. Each contract is valued daily and the change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the opening value and the closing value of the contract. The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
Foreign Currency Options and Futures — The International Equity Fund and the Bond Funds may also enter into futures contracts on foreign currencies and related options on transactions as a short or long hedge against possible variations in foreign exchange rates.
TBAs — The Bond Funds may enter into “TBA” (to be announced) purchase commitments to purchase securities for a fixed price at a future date, typically not exceeding 45 days. TBAs may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to settlement date. This risk is in addition to the risk of decline in each Fund’s other assets. Unsettled TBAs are valued at the current market value of the underlying securities, according to the procedures described under “Valuation of Securities” above.
Dollar Rolls — During the year ended December 31, 2005, GuideStone Funds entered into dollar roll transactions, pursuant to which they sell a mortgage-backed TBA or security and simultaneously purchase a similar, but not identical, TBA with the same issuer, rate and terms. The Funds may execute a “roll” to obtain better underlying mortgage securities or to increase yield. The Funds account for dollar roll transactions as purchases and sales, which has the effect of increasing their portfolio turnover rates. Risks associated with dollar rolls are that actual mortgages received by the Funds may be less favorable than those anticipated or that counterparties may fail to perform under the terms of the contracts.
Swap Agreements — Each Select Fund may enter into swap agreements. The Equity Funds may enter into equity swap contracts, the Bond Funds may enter into interest rate and credit default swaps, the International Equity and Bond Funds may enter into currency swaps and each Select Fund may enter into total return swaps.
Swap agreements are the exchange of one security or asset for another. A swap may be entered into in order to, among other things, change the maturity of a fund’s portfolio, to protect a fund’s value from changes in interest rates, to expose a fund to a different security or market, or to help a fund achieve a strategy relative to an index or other benchmark. By entering into a swap agreement, a fund is exposed to the risk of unanticipated movements in interest rates or in the value of an underlying security or index, or that the counterparty will not fulfill its obligation under the agreement. Credit default swaps involve the payment of amounts based on a specified rate multiplied by a notional amount as well as upon an event of default. In connection with these agreements, securities may be set aside as collateral by the Fund’s custodian.
d. Foreign Currency Translations
Securities and other assets and liabilities denominated in foreign currencies are translated daily into U.S. dollars. Foreign currency amounts related to the purchase or sale of securities and income and expenses are translated at the exchange rate on the transaction date. The effect of changes in foreign exchange rates on realized and unrealized security gains or losses is reflected as a component of such gains or losses. In the statement of operations, net realized gains or losses from foreign currency transactions, if any, may arise from sales of foreign currency, closed forward contracts, exchange gains or losses realized between the trade date and
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settlement date on securities transactions, and other translation gains or losses on dividends, interest income and foreign withholding taxes.
e. Dividends and Distributions to Shareholders
Dividends from net investment income for the Money Market Fund are declared daily and paid monthly. Dividends from net investment income for the Bond Funds are declared and paid monthly. Dividends from net investment income, if any, for the Equity Index Fund, Growth Equity Fund and Value Equity Fund are declared and paid semi-annually. Dividends from net investment income, if any, for the Small Cap Equity Fund, International Equity Fund and the Blended Funds are declared and paid annually. Net realized capital gains, if any, will be distributed at least annually by each of the Funds. Dividends and distributions to shareholders are recorded on the ex-dividend date.
f. Security Transactions, Income and Realized Gains and Losses
Security transactions are accounted for on the date securities are purchased or sold (the trade date). Dividend income is recognized on the ex-dividend date and interest income is accrued daily, including the amortization of market premium and the accretion of market discount. Realized gains and losses from security transactions are identified on an identified cost basis.
g. Expenses
Expenses arising in connection with a Fund are charged directly to that Fund. Expenses common to all Funds of the Trust are generally allocated to each Fund in proportion to their relative net assets. Each class of shares bears its pro-rata portion of expenses attributable to its class, except that each class separately bears expenses related specifically to that class, such as printing, transfer agent, service and distribution fees.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
a. Investment Advisory Fees
Pursuant to a separate investment advisory agreement, GuideStone Capital Management (“GSCM” or “Investment Advisor”) acts as the Investment Advisor to the Funds. As Investment Advisor it supervises the investments of the Funds and for such services is paid a fee.
GSCM and the Trust have entered into sub-advisory agreements with various sub-advisers to manage each Select Fund’s investments. Under the general supervision of GSCM, the sub-advisers make the day-to-day investment decisions for the Select Funds and for such services each sub-adviser receives a fee from the Funds.
The advisory fees paid to GSCM and aggregate sub-advisory fees paid to the sub-advisers, listed at the end of this report, are computed daily based upon the net assets of each Fund. The actual advisory and sub-advisory fees accrued during the six months ended June 30, 2006, based upon average daily net assets, were as follows:
Fund | Advisory Fees | Sub-Adviser Fees | ||||
Flexible Income | 0.10 | % | — | |||
Growth & Income | 0.10 | % | — | |||
Capital Opportunities | 0.10 | % | — | |||
Global Equity | 0.10 | % | — | |||
Flexible Income I | 0.10 | % | — | |||
Growth & Income I | 0.10 | % | — | |||
Capital Opportunities I | 0.10 | % | — | |||
Global Equity I | 0.10 | % | — | |||
Money Market | 0.14 | % | 0.07 | % | ||
Low-Duration Bond | 0.20 | % | 0.20 | % | ||
Medium-Duration Bond | 0.23 | % | 0.20 | % | ||
Extended-Duration Bond | 0.27 | % | 0.22 | % | ||
Equity Index | 0.14 | % | 0.02 | % | ||
Value Equity | 0.43 | % | 0.23 | % | ||
Growth Equity | 0.48 | % | 0.36 | % | ||
Small Cap Equity | 0.30 | % | 0.72 | % | ||
International Equity | 0.47 | % | 0.49 | % |
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For the six months ended June 30, 2006, advisory fees and waivers for each Fund were as follows:
Gross Advisory Fee | Waivers | Net Advisory Fee (Reimbursement) | |||||||||
Flexible Income | $ | 152,211 | $ | (80,439 | ) | $ | 71,772 | ||||
Growth & Income | 655,408 | (35,097 | ) | 620,311 | |||||||
Capital Opportunities | 537,980 | (40,624 | ) | 497,356 | |||||||
Global Equity | 494,981 | (41,113 | ) | 453,868 | |||||||
Flexible Income I | 27,209 | (28,963 | ) | (1,754 | ) | ||||||
Growth & Income I | 120,578 | (746 | ) | 119,832 | |||||||
Capital Opportunities I | 82,611 | (14,095 | ) | 68,516 | |||||||
Global Equity I | 65,195 | (16,156 | ) | 49,039 | |||||||
Money Market | 585,332 | (21,212 | ) | 564,120 | |||||||
Low-Duration Bond | 920,468 | (250,341 | ) | 670,127 | |||||||
Medium-Duration Bond | 1,268,787 | (422,627 | ) | 846,160 | |||||||
Extended-Duration Bond | 618,277 | (53,525 | ) | 564,752 | |||||||
Equity Index | 347,488 | (81,815 | ) | 265,673 | |||||||
Value Equity | 3,203,849 | (90,918 | ) | 3,112,931 | |||||||
Growth Equity | 3,644,598 | (603,311 | ) | 3,041,287 | |||||||
Small Cap Equity | 869,342 | (210,564 | ) | 658,778 | |||||||
International Equity | 3,252,897 | (969,349 | ) | 2,283,548 |
b. Distribution and Shareholder Servicing Fees
The Board of Trustees has adopted Shareholder Service Plans for the GS4, GS6 and GS8 Class of each Select Fund and the GS6 and GS8 Class of each Blended Fund (“Service Plans”) and a separate Plan of Distribution for the GS6 and GS8 Class of each Select Fund and Blended Fund pursuant to Rule 12b-1 under the 1940 Act (“ 12b-1 Plan”).
Under the Service Plans, the GS4, GS6 and GS8 Class of each Select Fund and the GS6 and GS8 Class of each applicable Blended Fund are authorized to pay fees to parties that provide services for and maintain shareholder accounts. The GS4, GS6 and GS8 Class of each Select Fund are authorized to pay service fees of 0.19%, 0.30% and 0.40% of average daily net assets, respectively. The GS6 and GS8 Class of each applicable Blended Fund are authorized to pay service fees of 0.11% and 0.21% of average daily net assets, respectively.
Under the 12b-1 Plan, the assets of each Select Fund and Blended Fund may be used to compensate GuideStone Financial Resources, the Distributor or others for certain expenses relating to the distribution of shares of the Funds to investors. Under the 12b-1 Plan, the maximum amount payable as a percentage of average daily net assets on an annual basis is 0.10% by the GS6 Class of each Select Fund and applicable Blended Fund and 0.30% by the GS8 Class of each Select Fund and applicable Blended Fund.
c. Expense Limitation
GSCM has agreed, through April 30, 2007, to waive fees and reimburse expenses of the GS2 Class, GS4 Class, GS6 Class and the GS8 Class of each Fund (excluding interest, taxes, brokerage commissions and extraordinary expenses) which exceed, in the aggregate, the annual percentage rate of each class’s average daily net assets as follows:
Fund | GS2 Class | GS4 Class | GS6 Class | GS8 Class | ||||||||
Flexible Income | — | 0.13 | % | 0.50 | % | 0.80 | % | |||||
Growth & Income | — | 0.13 | % | 0.60 | % | 0.90 | % | |||||
Capital Opportunities | — | 0.13 | % | 0.70 | % | 1.00 | % | |||||
Global Equity | — | 0.13 | % | 0.57 | % | 0.87 | % | |||||
Flexible Income I | 0.17 | % | — | — | — | |||||||
Growth & Income I | 0.17 | % | — | — | — | |||||||
Capital Opportunities I | 0.17 | % | — | — | — | |||||||
Global Equity I | 0.17 | % | — | — | — | |||||||
Money Market | 0.27 | % | 0.46 | % | 0.87 | % | 1.17 | % | ||||
Low-Duration Bond | 0.45 | % | 0.61 | % | 1.00 | % | 1.30 | % | ||||
Medium-Duration Bond | 0.50 | % | 0.62 | % | 1.05 | % | 1.35 | % | ||||
Extended-Duration Bond | 0.65 | % | 0.73 | % | 1.20 | % | 1.50 | % | ||||
Equity Index | 0.25 | % | 0.40 | % | 0.60 | % | 0.90 | % | ||||
Value Equity | 0.76 | % | 0.90 | % | 1.30 | % | 1.60 | % | ||||
Growth Equity | 0.90 | % | 1.02 | % | 1.42 | % | 1.72 | % | ||||
Small Cap Equity | 1.14 | % | 1.21 | % | 1.61 | % | 1.91 | % | ||||
International Equity | 0.97 | % | 1.15 | % | 1.50 | % | 1.80 | % |
During the period January 1, 2006 through May 16, 2006, the expense caps for the Growth Equity Fund GS2 Class, GS4 Class, GS6 Class and GS8 Class were 0.87%, 0.99%, 1.39% and 1.69%, respectively.
Each Fund in turn agrees to reimburse GSCM for any operating expenses in excess of the expense limitation paid, waived or assumed by GSCM for that Fund during the limitation period, provided GSCM would not be entitled to reimbursement for any amount that would cause operating expenses to exceed the expense limitation during the year in which the reimbursement would be made, and provided further that no amount will be reimbursed by the Fund more than three years after the year in which it was incurred or waived by GSCM.
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At June 30, 2006, the amounts subject to possible future reimbursement under the expense limitation agreement are as follows:
GS2 Class | GS4 Class | GS6 Class | GS8 Class | |||||||||
Flexible Income | NA | $ | 406,058 | $ | 44,624 | $ | 18,107 | |||||
Growth & Income | NA | 113,331 | 26,772 | 5,737 | ||||||||
Capital Opportunities | NA | 189,870 | 18,194 | 2 | ||||||||
Global Equity | NA | 228,211 | 17,363 | 4,843 | ||||||||
Flexible Income I | $ | 196,297 | NA | NA | NA | |||||||
Growth & Income I | 114,296 | NA | NA | NA | ||||||||
Capital Opportunities I | 164,875 | NA | NA | NA | ||||||||
Global Equity I | 171,665 | NA | NA | NA | ||||||||
Money Market | — | — | 96,111 | 7,799 | ||||||||
Low-Duration Bond | 69,785 | 1,420,555 | 34,602 | 15,751 | ||||||||
Medium-Duration Bond | 19,579 | 2,129,959 | 28,631 | 12,226 | ||||||||
Extended-Duration Bond | — | 285,546 | — | 4,435 | ||||||||
Equity Index | — | 284,015 | 130,146 | 26,291 | ||||||||
Value Equity | — | 817,576 | 21,891 | 8,368 | ||||||||
Growth Equity | 47,431 | 3,608,270 | 79,027 | 15,575 | ||||||||
Small Cap Equity | — | 1,216,968 | 74,491 | 12,898 | ||||||||
International Equity | 470,536 | 4,975,345 | 116,451 | 27,130 |
During the six months ended June 30, 2006, GSCM recaptured the following amounts:
GS2 Class | GS6 Class | GS8 Class | |||||||
Growth & Income | — | $ | 4,478 | — | |||||
Capital Opportunities | — | 207 | $ | 398 | |||||
Global Equity | — | 2,496 | — | ||||||
Flexible Income I | $ | 1,754 | — | — | |||||
Value Equity | — | 46 | — |
d. Brokerage Service and Other Arrangements
The Investment Advisor directs the sub-advisers to place security trades with designated brokers who have agreed to pay certain custody, transfer agency or other operating expenses through the use of Brokerage Service Arrangements on behalf of the Equity Funds. The amount of expenses paid through Brokerage Service Arrangements for the six months ended June 30, 2006, were as follows:
Fund | Expenses Paid Through Brokerage Service Arrangements | ||
Value Equity | $ | 44,500 | |
Growth Equity | 37,515 | ||
Small Cap Equity | 18,896 | ||
International Equity | 44,264 |
In addition, the Funds have entered into arrangements with its custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of each Fund’s custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. During the six months ended June 30, 2006, expenses reduced were as follows:
Fund | Reduction to Expenses | ||
Flexible Income | $ | 282 | |
Growth & Income | 330 | ||
Capital Opportunities | 518 | ||
Global Equity | 324 | ||
Flexible Income I | 278 | ||
Growth & Income I | 357 | ||
Capital Opportunities I | 338 | ||
Global Equity I | 352 | ||
Money Market | 5,060 | ||
Low-Duration Bond | 152,838 | ||
Medium-Duration Bond | 109,628 | ||
Extended-Duration Bond | 3,608 | ||
Equity Index | 644 | ||
Value Equity | 4,051 | ||
Growth Equity | 3,349 | ||
Small Cap Equity | 978 | ||
International Equity | 2,375 |
e. Administrator, Transfer Agent and Distributor
Certain employees of PFPC Inc. (“PFPC”), an indirect, wholly-owned subsidiary of The PNC Financial Services Group, Inc. (“PNC”), are officers of the Funds. PFPC serves as Administrator and Transfer agent of the Funds.
For its services as Administrator, PFPC is entitled to receive fees, computed daily and paid monthly, based upon the average daily net assets of each Fund. The fees, excluding out of pocket expenses, currently range between .008% and .0375% of average daily net assets. For its services as Transfer Agent, PFPC receives a fee based mainly upon the number of accounts serviced. Certain minimum fees and transaction charges may apply. For the six months ended June 30, 2006, PFPC received $2,676,841 in aggregate fees and expenses for services rendered under the various agreements described above.
PFPC Distributors, Inc. (“PDI”), also an indirect, wholly owned subsidiary of PNC, serves as the Distributor for the Funds. The Funds do not pay any fees to PDI in its capacity as Distributor.
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4. SECURITIES LENDING
Through an agreement with Northern Trust (the Funds’ custodian) the Select Funds may lend portfolio securities to certain brokers, dealers and other financial institutions that pay the Select Funds a negotiated fee. The Select Funds receive cash, letters of credit or U.S. Government securities as collateral against the loaned securities in an amount at least equal to the market value of the loaned Securities. The Funds continue to own the loaned securities and the securities remain in the investment portfolio. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. Cash collateral has been invested in a short-term money market fund of Northern Trust. At June 30, 2006, the market values of loaned securities and collateral received were as follows:
Fund | Market Value of Securities Loaned | Market Value of Collateral | ||||
Low-Duration Bond | $ | 77,634,003 | $ | 79,269,594 | ||
Medium-Duration Bond | 316,188,177 | 321,136,139 | ||||
Extended-Duration Bond | 224,552,272 | 226,916,524 | ||||
Equity Index | 39,117,706 | 39,852,896 | ||||
Value Equity | 106,681,354 | 108,352,585 | ||||
Growth Equity | 170,011,172 | 173,539,707 | ||||
Small Cap Equity | 261,161,006 | 266,037,229 | ||||
International Equity | 187,436,976 | 192,117,479 |
5. INVESTMENT TRANSACTIONS
For the six months ended June 30, 2006, the cost of purchases and proceeds from sales and maturities (other than short-term and U.S. Government obligations) for each Fund were as follows:
Purchases | Sale and Maturity Proceeds | |||||
Flexible Income | $ | 11,850,000 | $ | 2,500,000 | ||
Growth & Income | 43,050,000 | 25,050,000 | ||||
Capital Opportunities | 36,150,000 | 42,550,000 | ||||
Global Equity | 36,200,000 | 37,000,000 | ||||
Flexible Income I | 2,564,000 | 1,898,000 | ||||
Growth & Income I | 14,888,000 | 13,377,000 | ||||
Capital Opportunities I | 12,963,000 | 7,433,000 | ||||
Global Equity I | 8,108,000 | 6,349,000 | ||||
Low-Duration Bond | 357,949,702 | 225,735,902 | ||||
Medium-Duration Bond | 229,875,553 | 1,200,197,320 | ||||
Extended-Duration Bond | 22,505,740 | 56,061,729 | ||||
Equity Index | 19,915,499 | 14,158,503 | ||||
Value Equity | 836,504,272 | 861,547,428 | ||||
Growth Equity | 387,014,489 | 434,609,399 | ||||
Small Cap Equity | 261,655,876 | 270,573,445 | ||||
International Equity | 211,646,068 | 248,085,873 |
For the six months ended June 30, 2006, the cost of purchases and proceeds from sales and maturities of long-term U.S. Government obligations for each Fund were as follows:
Purchases | Sale and Maturity Proceeds | |||||
Flexible Income | $ | 10,659,568 | $ | 11,010,823 | ||
Growth & Income | 29,747,251 | 32,578,567 | ||||
Capital Opportunities | 10,237,756 | 11,092,554 | ||||
Flexible Income I | 3,016,022 | 2,894,326 | ||||
Growth & Income I | 7,683,068 | 7,742,996 | ||||
Capital Opportunities I | 2,528,776 | 2,666,263 | ||||
Low-Duration Bond | 255,882,085 | 347,107,827 | ||||
Medium-Duration Bond | 2,680,780,034 | 1,636,804,864 | ||||
Extended-Duration Bond | 156,468,576 | 119,724,789 |
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Futures Contracts
Investments in securities as of June 30, 2006 included securities that were valued and pledged as collateral to cover initial margin deposits. The market value of this collateral and open futures contracts is as follows:
Market Value of Collateral | Open Purchase (Sale) Contracts | Notional Market Value on Futures | Net Unrealized Gain (Loss) on Futures | ||||||||||
Flexible Income Fund | |||||||||||||
June 2006 S&P 500® | $ | 133,568 | 3 | $ | 959,550 | $ | 15,624 | ||||||
Growth & Income Fund | |||||||||||||
June 2006 S&P 500® | 796,460 | 29 | 9,275,650 | $ | 55,425 | ||||||||
Capital Opportunities Fund | |||||||||||||
June 2006 S&P 500® | 900,346 | 36 | 11,514,600 | $ | 60,667 | ||||||||
Global Equity Fund | |||||||||||||
June 2006 S&P 500® | 1,281,263 | 25 | 7,996,250 | $ | 139,593 | ||||||||
Flexible Income Fund I | |||||||||||||
June 2006 S&P 500® E-Mini | 19,788 | 3 | 191,910 | $ | 2,948 | ||||||||
Growth & Income Fund I | |||||||||||||
June 2006 S&P 500® E-Mini | 128,621 | 32 | 2,047,040 | $ | 20,263 | ||||||||
Capital Opportunities Fund I | |||||||||||||
June 2006 S&P 500® E-Mini | 128,621 | 31 | 1,983,070 | $ | 12,345 | ||||||||
Global Equity Fund I | |||||||||||||
June 2006 S&P 500® E-Mini | 138,515 | 30 | 1,919,100 | $ | 24,212 | ||||||||
Low-Duration Bond Fund | |||||||||||||
July 2006 90-Day Euro | 6,005 | 14 | 3,307,763 | $ | 1,663 | ||||||||
December 2006 90-Day Euro | 332,350 | 617 | 145,619,712 | (400,235 | ) | ||||||||
March 2007 90-Day Euro | 357,871 | 835 | 197,143,500 | (251,763 | ) | ||||||||
June 2007 90-Day Euro | 159,948 | 373 | 88,111,925 | (205,150 | ) | ||||||||
September 2007 90-Day Euro | 21,450 | 50 | 11,816,250 | (58,125 | ) | ||||||||
December 2007 90-Day Euro | 8,581 | 20 | 4,727,250 | (5,250 | ) | ||||||||
March 2008 90-Day Euro | 109,417 | 255 | 60,275,625 | (87,650 | ) | ||||||||
December 2008 90-Day Euro | 187,791 | 438 | 103,450,125 | (697,875 | ) | ||||||||
September 2006 2-Year U.S. Treasury Note | 907,242 | 982 | 199,131,188 | (697,517 | ) | ||||||||
September 2006 5-Year U.S. Treasury Note | 110,731 | (374 | ) | 38,673,937 | 132,566 | ||||||||
September 2006 10-Year U.S. Treasury Note | 40,351 | (45 | ) | 4,718,672 | 26,663 | ||||||||
September 2006 U.S. Long Treasury Bond | 8,325 | (43 | ) | 4,586,219 | 9,070 | ||||||||
September 2006 Euro Bund | 536 | 2 | 295,000 | (1,241 | ) | ||||||||
$ | (2,234,844 | ) | |||||||||||
Medium-Duration Bond Fund | |||||||||||||
July 2006 90-Day Euro | 4,282 | 14 | 3,307,762 | $ | 1,662 | ||||||||
September 2006 90-Day Euro | 24,261 | 10 | 2,360,500 | (18,925 | ) | ||||||||
December 2006 90-Day Euro | 275,478 | 624 | 147,271,800 | (442,800 | ) | ||||||||
March 2007 90-Day Euro | 245,450 | 574 | 135,521,400 | (199,027 | ) | ||||||||
September 2007 90-Day Euro | 32,301 | 57 | 13,470,525 | (66,135 | ) | ||||||||
December 2007 90-Day Euro | 3,672 | 12 | 2,836,350 | (10,950 | ) | ||||||||
March 2008 90-Day Euro | 81,712 | 267 | 63,112,125 | (91,775 | ) | ||||||||
September 2006 5-Year U.S. Treasury Note | 114,432 | 61 | 16,441,594 | (53,721 | ) | ||||||||
September 2006 10-Year U.S. Treasury Note | 85,508 | (310 | ) | 45,718,687 | 28,472 | ||||||||
September 2006 U.S. Long Treasury Bond | 14,674 | (79 | ) | 8,852,469 | 13,437 | ||||||||
$ | (839,762 | ) | |||||||||||
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Market Value of Collateral | Open Purchase (Sale) Contracts | Notional Market Value on Futures | Net Unrealized Gain (Loss) on Futures | |||||||||
Equity Index Fund | ||||||||||||
June 2006 S&P 500® | $ | 613,423 | 27 | $ | 8,635,950 | $ | 73,672 | |||||
Value Equity Fund | ||||||||||||
June 2006 S&P 500® | 4,536,362 | 97 | 31,025,450 | $ | 287,514 | |||||||
June 2006 S&P 500® E-Mini | 262,189 | 20 | 1,279,400 | (893 | ) | |||||||
$ | 286,621 | |||||||||||
Growth Equity Fund | ||||||||||||
June 2006 S&P 500® | 4,155,446 | 171 | 54,694,350 | $ | 253,400 | |||||||
Small Cap Equity Fund | ||||||||||||
June 2006 Russell 2000® IMM-Mini | 1,543,452 | 290 | 21,213,500 | $ | 744,206 | |||||||
Forward Foreign Currency Contracts
As of June 30, 2006, the following Funds have forward foreign currency exchange contracts that obligate it to deliver currencies at specified future dates. The unrealized appreciation and/or depreciation on these contracts is included in the accompanying financial statements. The terms of the open contracts are as follows:
Fund/Expiration Date | Currency to be Delivered | Amount of Currency to be Delivered | Currency to be Received | Amount of Currency to be Received | Net Unrealized Appreciation (Depreciation) | |||||||
Low-Duration Bond Fund | ||||||||||||
7/5/2006 | US Dollars | 602,876 | British Pounds | 332,880 | $ | 12,761 | ||||||
7/20/2006 | New Zealand Dollars | 1,319,951 | US Dollars | 821,010 | 17,740 | |||||||
7/20/2006 | Euros | 3,617,573 | US Dollars | 4,590,523 | (43,430 | ) | ||||||
7/20/2006 | US Dollars | 5,960,843 | European Euros | 4,718,573 | 83,443 | |||||||
7/21/2006 | US Dollars | 3,669,178 | Singapore Dollars | 5,845,000 | 27,344 | |||||||
7/27/2006 | British Pounds | 333,000 | US Dollars | 603,369 | (12,799 | ) | ||||||
7/27/2006 | US Dollars | 346,558 | British Pounds | 188,000 | 1,308 | |||||||
7/31/2006 | Euros | 480,000 | US Dollars | 617,244 | 1,887 | |||||||
7/31/2006 | US Dollars | 1,378,958 | European Euros | 1,100,000 | 31,235 | |||||||
8/15/2006 | US Dollars | 8,534,774 | Japanese Yen | 943,524,000 | (233,289 | ) | ||||||
8/31/2006 | Euros | 10,774,000 | US Dollars | 13,589,032 | (250,758 | ) | ||||||
9/29/2006 | Euros | 35,000,000 | US Dollars | 44,404,083 | (639,095 | ) | ||||||
3/16/2007 | US Dollars | 1,700,000 | Chinese Yuan | 13,128,000 | (13,771 | ) | ||||||
$ | (1,017,424 | ) | ||||||||||
Medium-Duration Bond Fund | ||||||||||||
7/5/2006 | US Dollars | 450,725 | British Pounds | 248,869 | $ | 9,488 | ||||||
7/12/2006 | Mexican Pesos | 38,801,757 | US Dollars | 3,470,019 | 51,046 | |||||||
7/20/2006 | US Dollars | 1,200,054 | European Euros | 954,000 | 21,979 | |||||||
7/27/2006 | Canadian Dollars | 70,000 | US Dollars | 63,479 | 718 | |||||||
7/27/2006 | British Pounds | 42,000 | US Dollars | 76,101 | (1,614 | ) | ||||||
7/28/2006 | Euros | 852,805 | US Dollars | 1,073,980 | (19,078 | ) | ||||||
7/31/2006 | Euros | 46,334,000 | US Dollars | 58,003,430 | (1,396,484 | ) | ||||||
8/8/2006 | Australian Dollars | 2,406,065 | US Dollars | 1,787,706 | 740 | |||||||
8/8/2006 | Canadian Dollars | 1,186,818 | US Dollars | 1,051,571 | (12,893 | ) | ||||||
8/15/2006 | US Dollars | 13,554,707 | Japanese Yen | 1,501,856,000 | (340,805 | ) | ||||||
3/16/2007 | US Dollars | 1,800,000 | Chinese Yuan | 13,900,000 | (14,611 | ) | ||||||
$ | (1,701,514 | ) | ||||||||||
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Fund/Expiration Date | Currency to be Delivered | Amount of Currency to be Delivered | Currency to be Received | Amount of Currency to be Received | Net Unrealized Appreciation (Depreciation) | |||||||
International Equity | ||||||||||||
7/21/2006 | Euros | 869,307 | Australian Dollars | 1,449,743 | $ | (36,661 | ) | |||||
7/31/2006 | British Pounds | 7,943,500 | US Dollars | 14,195,114 | (504,523 | ) | ||||||
9/26/2006 | Swiss Francs | 1,524,156 | British Pounds | 676,200 | (5,969 | ) | ||||||
$ | (547,153 | ) | ||||||||||
Options Written
Transactions in options written during the six months ended June 30, 2006 were as follows:
Low-Duration Bond Fund | Number of Contracts | Premiums Received | |||||
Options written, 12/31/05 | 1,074 | $ | 379,043 | ||||
Options written | 5,182 | 423,571 | |||||
Options expired | (4,268 | ) | (100,077 | ) | |||
Options closed | (207 | ) | (110,939 | ) | |||
Options written, 6/30/06 | 1,781 | $ | 591,598 | ||||
Medium-Duration Bond Fund | Number of Contracts | Premiums Received | |||||
Options written, 12/31/05 | 5,636 | $ | 1,021,660 | ||||
Options written | 11,050 | 612,228 | |||||
Options expired | (5,086 | ) | (108,815 | ) | |||
Options closed | (1,230 | ) | (88,405 | ) | |||
Options written, 6/30/06 | 10,370 | $ | 1,436,668 | ||||
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6. CAPITAL SHARE TRANSACTIONS
Transactions in shares of capital stock were as follows:
Six Months Ended June 30, 2006 | Year Ended December 31, 2005 | |||||||||||||||
GS4 | GS6 | GS8 | GS4 | GS6 | GS8 | |||||||||||
Flexible Income Fund | ||||||||||||||||
Shares sold | 2,144,136 | — | 4,810 | 3,824,308 | — | 8,453 | ||||||||||
Shares reinvested | 8 | — | — | 1,073,334 | 89,168 | 37,286 | ||||||||||
Shares redeemed | (1,459,355 | ) | — | (450 | ) | (3,795,558 | ) | — | — | |||||||
Net increase | 684,789 | — | 4,360 | 1,102,084 | 89,168 | 45,739 | ||||||||||
Growth & Income Fund | ||||||||||||||||
Shares sold | 3,507,219 | ��� | 44,446 | 7,705,632 | — | 37,621 | ||||||||||
Shares reinvested | 47 | — | — | 5,682,960 | 133,984 | 54,000 | ||||||||||
Shares redeemed | (2,719,832 | ) | — | (6,171 | ) | (13,663,368 | ) | — | (9 | ) | ||||||
Net increase (decrease) | 787,434 | — | 38,275 | (274,776 | ) | 133,984 | 91,612 | |||||||||
Capital Opportunities Fund | ||||||||||||||||
Shares sold | 1,515,241 | — | 72,484 | 3,308,317 | — | 46,234 | ||||||||||
Shares reinvested | 1 | — | — | 3,318,258 | 46,828 | 36,627 | ||||||||||
Shares redeemed | (2,236,729 | ) | — | (5,430 | ) | (8,321,585 | ) | — | (3 | ) | ||||||
Net increase (decrease) | (721,487 | ) | — | 67,054 | (1,695,010 | ) | 46,828 | 82,858 | ||||||||
Global Equity Fund | ||||||||||||||||
Shares sold | 2,368,603 | — | 16,117 | 3,985,734 | — | 12,413 | ||||||||||
Shares reinvested | 79 | — | — | 2,666,766 | 74,409 | 29,063 | ||||||||||
Shares redeemed | (2,748,984 | ) | — | (2,354 | ) | (9,133,897 | ) | — | — | |||||||
Net increase (decrease) | (380,302 | ) | — | 13,763 | (2,481,397 | ) | 74,409 | 41,476 | ||||||||
GS2 | GS2 | |||||||||||||||
Flexible Income Fund I | ||||||||||||||||
Shares sold | 365,135 | 2,547,905 | ||||||||||||||
Shares reinvested | — | 258,626 | ||||||||||||||
Shares redeemed | (282,297 | ) | (515,007 | ) | ||||||||||||
Net increase | 82,838 | 2,291,524 | ||||||||||||||
Growth & Income Fund I | ||||||||||||||||
Shares sold | 769,767 | 10,263,212 | ||||||||||||||
Shares reinvested | — | 1,112,570 | ||||||||||||||
Shares redeemed | (674,582 | ) | (1,110,745 | ) | ||||||||||||
Net increase | 95,185 | 10,265,037 | ||||||||||||||
Capital Opportunities Fund I | ||||||||||||||||
Shares sold | 714,472 | 7,039,835 | ||||||||||||||
Shares reinvested | — | 526,433 | ||||||||||||||
Shares redeemed | (322,222 | ) | (704,572 | ) | ||||||||||||
Net increase | 392,250 | 6,861,696 | ||||||||||||||
Global Equity Fund I | ||||||||||||||||
Shares sold | 457,707 | 6,666,685 | ||||||||||||||
Shares reinvested | — | 287,774 | ||||||||||||||
Shares redeemed | (388,462 | ) | (523,621 | ) | ||||||||||||
Net increase | 69,245 | 6,430,838 | ||||||||||||||
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Six Months Ended June 30, 2006 | Year Ended December 31, 2005 | ||||||||||||||||||||||
GS2 | GS4 | GS6 | GS8 | GS2 | GS4 | GS6 | GS8 | ||||||||||||||||
Money Market Fund | |||||||||||||||||||||||
Shares sold | 38,680,423 | 1,257,710,860 | 3 | 62,883 | 97,579,053 | 2,495,446,536 | 43,983 | 54,568 | |||||||||||||||
Shares reinvested | 1,879,942 | 8,847,650 | 91,012 | 94,422 | 2,495,133 | 11,467,878 | 111,760 | 107,373 | |||||||||||||||
Shares redeemed | (38,982,257 | ) | (1,285,152,906 | ) | — | (16,277 | ) | (68,344,589 | ) | (2,578,673,372 | ) | (44,371 | ) | (23,730 | ) | ||||||||
Net increase (decrease) | 1,578,108 | (18,594,396 | ) | 91,015 | 141,028 | 31,729,597 | (71,758,958 | ) | 111,372 | 138,211 | |||||||||||||
Low-Duration Bond Fund | |||||||||||||||||||||||
Shares sold | 722,937 | 3,826,624 | 8 | 988 | 5,248,419 | 8,353,061 | 51,030 | 135 | |||||||||||||||
Shares reinvested | 239,594 | 895,858 | 22,768 | 9,278 | 480,713 | 1,805,474 | 50,668 | 19,301 | |||||||||||||||
Shares redeemed | (521,006 | ) | (2,011,501 | ) | — | — | (585,221 | ) | (9,214,663 | ) | (569,745 | ) | (6 | ) | |||||||||
Net increase (decrease) | 441,525 | 2,710,981 | 22,776 | 10,266 | 5,143,911 | 943,872 | (468,047 | ) | 19,430 | ||||||||||||||
Medium-Duration Bond Fund | |||||||||||||||||||||||
Shares sold | 1,041,772 | 5,806,541 | — | 337 | 5,497,788 | 14,239,642 | 62,271 | 73 | |||||||||||||||
Shares reinvested | 329,859 | 1,322,700 | 38,577 | 14,152 | 682,179 | 2,861,364 | 89,901 | 31,950 | |||||||||||||||
Shares redeemed | (496,204 | ) | (3,798,588 | ) | — | (152 | ) | (444,179 | ) | (6,447,573 | ) | (459,868 | ) | — | |||||||||
Net increase (decrease) | 875,427 | 3,330,653 | 38,577 | 14,337 | 5,735,788 | 10,653,433 | (307,696 | ) | 32,023 | ||||||||||||||
Exended-Duration Bond Fund | |||||||||||||||||||||||
Shares sold | 636,776 | 1,980,125 | — | 259 | 3,301,097 | 5,503,394 | 102,426 | 68 | |||||||||||||||
Shares reinvested | 263,128 | 564,376 | 65,731 | 22,240 | 672,556 | 1,637,275 | 187,340 | 59,570 | |||||||||||||||
Shares redeemed | (515,235 | ) | (2,591,699 | ) | — | — | (810,810 | ) | (7,325,967 | ) | (1,204,900 | ) | — | ||||||||||
Net increase (decrease) | 384,669 | (47,198 | ) | 65,731 | 22,499 | 3,162,843 | (185,298 | ) | (915,134 | ) | 59,638 | ||||||||||||
Equity Index Fund | |||||||||||||||||||||||
Shares sold | 507,093 | 1,526,602 | — | 1,405 | 2,936,130 | 2,592,192 | — | 120 | |||||||||||||||
Shares reinvested | 83,704 | 162,864 | 13,505 | 5,301 | 171,170 | 357,906 | 29,955 | 11,720 | |||||||||||||||
Shares redeemed | (302,062 | ) | (1,338,487 | ) | — | (3 | ) | (558,730 | ) | (4,595,480 | ) | — | — | ||||||||||
Net increase (decrease) | 288,735 | 350,979 | 13,505 | 6,703 | 2,548,570 | (1,645,382 | ) | 29,955 | 11,840 | ||||||||||||||
Value Equity Fund | |||||||||||||||||||||||
Shares sold | 547,190 | 1,018,801 | — | 3,091 | 7,236,109 | 3,861,126 | 58,317 | 273 | |||||||||||||||
Shares reinvested | 465,881 | 1,335,664 | 41,770 | 14,861 | 1,782,966 | 5,787,541 | 169,839 | 62,261 | |||||||||||||||
Shares redeemed | (691,473 | ) | (3,694,552 | ) | — | (120 | ) | (1,044,581 | ) | (10,142,136 | ) | (402,264 | ) | — | |||||||||
Net increase (decrease) | 321,598 | (1,340,087 | ) | 41,770 | 17,832 | 7,974,494 | (493,469 | ) | (174,108 | ) | 62,534 | ||||||||||||
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Six Months Ended June 30, 2006 | Year Ended December 31, 2005 | |||||||||||||||||||||
GS2 | GS4 | GS6 | GS8 | GS2 | GS4 | GS6 | GS8 | |||||||||||||||
Growth Equity Fund | ||||||||||||||||||||||
Shares sold | 1,034,315 | 2,828,576 | — | 912 | 8,581,238 | 3,451,460 | 33,645 | 99 | ||||||||||||||
Shares reinvested | — | — | — | — | — | — | — | |||||||||||||||
Shares redeemed | (607,147 | ) | (3,543,571 | ) | — | (43 | ) | (1,360,673 | ) | (12,607,943 | ) | (350,859 | ) | — | ||||||||
Net increase (decrease) | 427,168 | (714,995 | ) | — | 869 | 7,220,565 | (9,156,483 | ) | (317,214 | ) | 99 | |||||||||||
Small Cap Equity Fund | ||||||||||||||||||||||
Shares sold | 388,025 | 2,341,815 | — | 1,644 | 2,961,871 | 5,734,325 | 34,416 | 453 | ||||||||||||||
Shares reinvested | — | — | — | — | 776,723 | 3,248,901 | 204,944 | 75,572 | ||||||||||||||
Shares redeemed | (474,686 | ) | (2,626,920 | ) | — | (261 | ) | (587,859 | ) | (5,552,728 | ) | (291,639 | ) | — | ||||||||
Net increase (decrease) | (86,661 | ) | (285,105 | ) | — | 1,383 | 3,150,735 | 3,430,498 | (52,279 | ) | 76,025 | |||||||||||
International Equity Fund | ||||||||||||||||||||||
Shares sold | 613,518 | 3,002,023 | — | 2,358 | 5,946,070 | 5,799,684 | 123,176 | 371 | ||||||||||||||
Shares reinvested | — | — | — | — | 391,556 | 1,711,897 | 38,117 | 11,325 | ||||||||||||||
Shares redeemed | (1,199,495 | ) | (5,170,510 | ) | — | (128 | ) | (1,070,163 | ) | (13,605,130 | ) | (374,414 | ) | — | ||||||||
Net increase (decrease) | (585,977 | ) | (2,168,487 | ) | — | 2,230 | 5,267,463 | (6,093,549 | ) | (213,121 | ) | 11,696 | ||||||||||
7. BANK BORROWINGS
The Trust, on behalf of and for the benefit of the Funds, has a credit agreement with Bank of America, N.A., dated December 1, 2005, whereby each Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions. The agreement permits borrowings up to $50 million, collectively. Interest is charged to each Fund based on its borrowings at a rate equal to the Bank prime rate minus two percent or the Wall Street Journal LIBOR One Month Floating Rate plus 0.50%. Each Fund also pays a facility fee equal to its pro rata share of the amount of the credit facility at a rate of 0.12% per annum. None of the Funds had any outstanding borrowings during the six months ended June 30, 2006.
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8. FEDERAL INCOME TAXES
Income dividends and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments for futures and options transactions, foreign currency transactions, paydowns, losses deferred due to wash sales, investments in Passive Foreign Investment Companies (“PFIC’s”) and excise tax regulations. Distributions during the years ended December 31, 2005 were characterized as follows for tax purposes:
Fund | Ordinary Income | Long-Term Capital Gain | Total Distribution | ||||||
Flexible Income | $ | 7,202,701 | $ | 8,060,505 | $ | 15,263,206 | |||
Growth & Income | 32,658,116 | 51,454,905 | 84,113,021 | ||||||
Capital Opportunities | 21,044,662 | 32,067,303 | 53,111,965 | ||||||
Global Equity | 14,036,479 | 31,500,364 | 45,536,843 | ||||||
Flexible Income I | 1,960,483 | 695,422 | 2,655,905 | ||||||
Growth & Income I | 9,387,903 | 3,409,006 | 12,796,909 | ||||||
Capital Opportunities I | 4,868,226 | 1,871,844 | 6,740,070 | ||||||
Global Equity I | 2,761,080 | 1,331,740 | 4,092,820 | ||||||
Money Market | 25,692,609 | — | 25,692,609 | ||||||
Low-Duration Bond | 28,121,329 | 2,254 | 28,123,583 | ||||||
Medium-Duration Bond | 44,837,310 | 1,305,314 | 46,142,624 | ||||||
Extended-Duration Bond | 25,266,825 | 6,787,901 | 32,054,726 | ||||||
Equity Index | 6,790,475 | 1,344,379 | 8,134,854 | ||||||
Value Equity | 43,128,602 | 82,692,658 | 125,821,260 | ||||||
Small Cap Equity | 18,650,756 | 44,882,273 | 63,533,029 | ||||||
International Equity | 21,032,901 | 15,522,074 | 36,554,975 |
At December 31, 2005, the components of distributable earnings on a tax basis were as follows:
Fund | Undistributed Ordinary Income | Undistributed Gain/ (Capital | Unrealized Appreciation (Depreciation) on Investments | ||||||||
Flexible Income | $ | 1,857 | $ | 1,809,484 | $ | 43,656,519 | |||||
Growth & Income | 4,573 | 20,451,669 | 213,993,265 | ||||||||
Capital Opportunities | 35,519 | 24,716,023 | 208,197,650 | ||||||||
Global Equity | 138,197 | 26,715,186 | 223,317,391 | ||||||||
Flexible Income I | — | 693,802 | (666,974 | ) | |||||||
Growth & Income I | — | 5,741,188 | 5,462,925 | ||||||||
Capital Opportunities I | 1,428 | 5,130,709 | 11,877,677 | ||||||||
Global Equity I | 22,930 | 4,721,121 | 10,230,498 | ||||||||
Money Market | — | (7,398 | ) | — | |||||||
Low-Duration Bond | — | (9,988,046 | ) | (8,911,875 | ) | ||||||
Medium-Duration Bond | 166,538 | (1,264,463 | ) | 2,321,719 | |||||||
Extended-Duration Bond | 260,756 | 390,996 | 23,184,690 | ||||||||
Equity Index | 49,002 | — | 78,122,888 |
Fund | Undistributed Ordinary Income | Undistributed Gain/ (Capital | Unrealized Appreciation (Depreciation) on Investments | |||||||
Value Equity | $ | 4,520,903 | $ | 12,707,825 | $ | 221,194,258 | ||||
Growth Equity | — | (235,809,401 | ) | 348,707,867 | ||||||
Small Cap Equity | 1,736,793 | 4,374,939 | 63,916,359 | |||||||
International Equity | 6,264,885 | 15,465,877 | 355,008,365 |
Post-October loss deferrals have been included in undistributed ordinary income and undistributed long-term capital gains, depending upon the character of the loss deferral.
For federal income tax purposes, capital loss carryovers and their expiration dates, were as follows as of December 31, 2005:
Expiring 12/31/2010 | Expiring 12/31/2011 | Expiring 12/31/2013 | Total | |||||||||
Money Market | — | $ | 2,028 | $ | 5,370 | $ | 7,398 | |||||
Low- Duration Bond | — | — | 9,988,046 | 9,988,046 | ||||||||
Medium- Duration Bond | — | — | 1,264,463 | 1,264,463 | ||||||||
Growth Equity | $ | 112,512,894 | 123,296,507 | — | 235,809,401 |
For federal income tax purposes, post-October loss deferrals, which will reverse in 2006, were as follows as of December 31, 2005:
Capital | FX and PFIC | Total | |||||||
Money Market | $ | 976 | — | $ | 976 | ||||
Low-Duration Bond | 1,966,698 | — | 1,966,698 | ||||||
Medium-Duration Bond | 3,338,183 | $ | 520,541 | 3,858,724 | |||||
Equity Index | 161,998 | — | 161,998 | ||||||
International Equity | — | 702,852 | 702,852 |
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At June 30, 2006, the net unrealized appreciation from investments for those securities having an excess of value over cost and net unrealized depreciation from investments for those securities having an excess of cost over value (based on cost for federal income tax purposes) was as follows:
Fund | Net Unrealized Appreciation (Depreciation) | Appreciated Securities | Depreciated Securities | ||||||||
Flexible Income | $ | 43,315,975 | $ | 46,176,859 | $ | (2,860,884 | ) | ||||
Growth & Income | 201,194,589 | 218,010,631 | (16,816,042 | ) | |||||||
Capital Opportunities | 201,097,510 | 211,961,059 | (10,863,549 | ) | |||||||
Global Equity | 225,376,953 | 231,147,519 | (5,770,566 | ) | |||||||
Flexible Income I | (1,058,397 | ) | 1,565,858 | (2,624,255 | ) | ||||||
Growth & Income I | 1,483,503 | 13,386,572 | (11,903,069 | ) | |||||||
Capital Opportunities I | 10,348,860 | 15,253,014 | (4,904,154 | ) | |||||||
Global Equity I | 9,849,307 | 11,280,151 | (1,430,844 | ) | |||||||
Low-Duration Bond | (7,787,816 | ) | 3,046,376 | (10,834,192 | ) | ||||||
Medium-Duration Bond | (18,336,722 | ) | 6,871,707 | (25,208,429 | ) | ||||||
Extended-Duration Bond | (5,953,342 | ) | 13,291,873 | (19,245,215 | ) | ||||||
Equity Index | 84,759,649 | 135,237,008 | (50,477,359 | ) | |||||||
Value Equity | 167,034,029 | 212,826,870 | (45,792,841 | ) | |||||||
Growth Equity | 216,044,609 | 276,894,636 | (60,850,027 | ) | |||||||
Small Cap Equity | 59,887,941 | 92,250,547 | (32,362,606 | ) | |||||||
International Equity | 352,330,325 | 383,910,363 | (31,580,038 | ) |
The differences between book basis and tax-basis unrealized appreciation is attributable primarily to the tax deferral of losses on wash sales and on investments in PFIC’s.
At June 30, 2006, the aggregate cost of investment securities for federal income tax purposes was as follows (excluding foreign currency and derivative related items):
Fund | Federal Tax Cost | ||
Flexible Income | $ | 267,068,446 | |
Growth & Income | 1,116,342,217 | ||
Capital Opportunities | 866,487,626 | ||
Global Equity | 753,396,150 | ||
Flexible Income I | 56,873,810 | ||
Growth & Income I | 241,524,402 | ||
Capital Opportunities I | 157,287,847 | ||
Global Equity I | 120,317,894 | ||
Money Market | 851,735,056 | ||
Low-Duration Bond | 1,001,587,294 | ||
Medium-Duration Bond | 1,659,534,090 | ||
Extended-Duration Bond | 575,787,067 | ||
Equity Index | 442,825,648 | ||
Value Equity | 1,417,057,251 | ||
Growth Equity | 1,395,990,318 | ||
Small Cap Equity | 772,471,339 | ||
International Equity | 1,207,507,580 |
At December 31, 2005, capital contributions, accumulated undistributed net investment income and accumulated net realized gain (loss) from investments have been adjusted for current period permanent book/tax differences which arose principally from differing book/tax treatments of paydown gains, net operating losses and foreign currency transactions. The following amounts were reclassified within the capital accounts:
Fund | Paid in Capital | Accumulated Undistributed Income | Accumulated Net Realized Gain (Loss) on | |||||||||
Flexible Income | — | $ | 485,761 | $ | (485,761 | ) | ||||||
Growth & Income | — | 5,692,454 | (5,692,454 | ) | ||||||||
Capital Opportunities | — | 5,897,468 | (5,897,468 | ) | ||||||||
Global Equity | — | 6,177,724 | (6,177,724 | ) | ||||||||
Flexible Income I | — | 130,492 | (130,492 | ) | ||||||||
Growth & Income I | — | 1,615,641 | (1,615,641 | ) | ||||||||
Capital Opportunities I | — | 1,291,156 | (1,291,156 | ) | ||||||||
Global Equity I | — | 1,179,503 | (1,179,503 | ) | ||||||||
Low-Duration Bond | $ | (112,051 | ) | 295,973 | (183,922 | ) | ||||||
Medium-Duration Bond | — | 4,017,442 | (4,017,442 | ) | ||||||||
Extended-Duration Bond | — | 903,987 | (903,987 | ) | ||||||||
Equity Index | — | (904 | ) | 904 | ||||||||
Growth Equity | (3,160,622 | ) | 3,159,499 | 1,123 | ||||||||
Small Cap Equity | — | 997,229 | (997,229 | ) | ||||||||
International Equity | — | (634 | ) | 634 |
Net investment income, net realized gain (loss) on investments and net assets were not affected by these reclassifications.
9. NEW ACCOUNTING PRONOUNCEMENTS
In July 2006, the Financial Accounting Standards Board (FASB) issued FASB Intepretation No. 48 (FIN 48), “Accounting for Uncertainty in Income Taxes.” This pronouncement provides guidance on the recognition, measurement, classification, and disclosures related to uncertain tax positions, along with any related interest and penalties.
FIN 48 is effective for fiscal years beginning after December 15, 2006.
The Portfolios are in the process of evaluating the effect of the adoption of FIN 48 on the financial statements.
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Information pertaining to the Trustees and officers of the Trust is set forth below. The statement of additional information (SAI) includes additional information about the Trustees and is available without charge, upon request, by calling 1-888-98-GUIDE.
Name, (DOB), Address and Position(s) with Trust | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Trusteeships/ Directorships Held by Trustee | ||||
DISINTERESTED TRUSTEES | ||||||||
Michael R. Buster (11/18/57) 3656 Bridle Road Prosper, TX 75078 Trustee | Since 2002 | Executive Pastor, Prestonwood Baptist Church, 1989 - present. | 17 | None | ||||
William Craig George (7/8/58) 617 Glen Eden Drive Raleigh, NC 27612 Trustee | Since 2004 | Regional loan administrator, SunTrust Bank, 1995 - present. | 17 | None | ||||
Joseph A. Mack (11/22/39) 186 Preserve Lane Columbia, SC 29209 Trustee | Since 2002 | Director, Office of Public Policy, South Carolina Baptist Convention, 1999 - Present; Deputy Director, SC Retirement Systems. | 17 | None | ||||
Kevin P. Mahoney (7/26/57) First Baptist Church 1101 South Flagler Drive West Palm Beach, FL 33401 Trustee | Since 2004 | Executive Pastor, FBC West Palm Beach, FL, July 2000 - present; Administrative Pastor, FBC Merritt Island, FL, June 1995 - June 2000. | 17 | None | ||||
Franklin Raymond Morgan (6/1/43) 23914 Seven Winds San Antonio, TX 78258 Trustee | Since 2005 | Retired - Senior Vice President, Director of International Adminis- tration, Prudential Securities, Inc., January 1962 - May 2003. | 17 | None | ||||
James Ray Taylor (10/19/33) 3009 Tanglewood Park West Fort Worth, Texas 76109 Trustee | Since 2002 | Retired since 1994. | 17 | None | ||||
INTERESTED TRUSTEES2 | ||||||||
Barry Hartis (10/6/45) 12 Waxwing Cove Greensboro, NC 27455-1373 Trustee | Since 2005 | Certified Public Accountant 1976 - Present, Vice President for Business and Finance, Greensboro College, January 1998 - June 30, 2005. | 17 | None | ||||
Gerald B. Jones (5/24/32) Jones Motorcars, Inc. 3535 N. College Avenue Fayetteville, AR 72703-5108 Trustee | Since 2000 | Owner, Jones Motorcars, Inc. 1957 - present. | 17 | Bank of Arkansas — Director | ||||
OFFICERS WHO ARE NOT TRUSTEES | ||||||||
Jeffrey P. Billinger (12/5/46) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President and Treasurer | Since 2000 | Executive Officer and Treasurer, GuideStone Financial Resources of the Southern Baptist Convention, 1995 - present. | N/A | N/A |
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FUND MANAGEMENT (Continued)
Name, (DOB), Address and Position(s) with Trust | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Trusteeships/ Directorships Held by Trustee | ||||
Rodric E. Cummins (6/28/57) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President and Investment Officer | Since 2000 | Executive Officer and Chief Investment Officer, GuideStone Financial Resources of the Southern Baptist Convention, 1998 - present. | N/A | N/A | ||||
John R. Jones (12/6/53) 2401 Cedar Springs Road Dallas, TX 75201-1407 President | Since 2000 | Executive Vice President and Chief Operating Officer, GuideStone Financial Resources of the Southern Baptist Convention, 1995 - present. | N/A | N/A | ||||
Rodney R. Miller (5/23/53) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President, Secretary and Chief Legal Officer | Since 2000 | General Counsel, Legal and Compliance, GuideStone Financial Resources of the Southern Baptist Convention, 1995 - present. | N/A | N/A | ||||
Curtis D. Sharp (10/30/47) 2401 Cedar Springs Road Dallas, TX 75201-1407 Chief Compliance Officer and AML Officer | Since 2006 | Executive Officer, Denominational and Public Relations Services, GuideStone Financial Resources of the Southern Baptist Convention, 1985 - present. | N/A | N/A | ||||
Patricia A. Weiland (8/25/59) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President — Fund Operations and Sales | Since 2000 | Executive Officer, Financial Solutions and Services, GuideStone Financial Resources of the Southern Baptist Convention, 2006 - present; Director, Mutual Funds, GuideStone Financial Resources of the Southern Baptist Convention, 2000 - 2006. | N/A | N/A |
1 | Each Trustee and officer serves for an indefinite term, until his/her successor is elected. Officers serve at the pleasure of the Board of Trustees. |
2 | Messrs. Jones and Hartis serve as trustees and are to be “interested persons” of the Trust as the term is defined in the Investment Company Act of 1940, as amended, due to their positions on the Board of Trustees of GuideStone Financial Resources of the Southern Baptist Convention. |
PROXY VOTING
A description of the policies and procedures that GuideStone Funds uses to determine how to vote proxies relating to their portfolio securities as well as information regarding how GuideStone Funds voted proxies during the most recent 12-month period ended June 30 is available without charge by calling 1-888-98-GUIDE, by visiting our website at www.GuideStoneFunds.org or by visiting the SEC’s website at www.sec.gov.
QUARTERLY SCHEDULES OF INVESTMENTS
In addition to the semi-annual and annual reports that GuideStone Funds delivers to shareholders and makes available through its website, GuideStone Funds files a complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for each Fund’s first and third fiscal quarters on Form N-Q. GuideStone Funds does not deliver the schedule for the first and third fiscal quarters to shareholders, however the schedule is posted to our website, www.GuideStoneFunds.org. You may also obtain the Form N-Q filings by accessing the SEC’s website at www.sec.gov or copy them at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling the SEC at (800) 732-0330. You can also request copies of this information, upon payment of a fee for duplication, at the SEC’s email address (publicinfo@sec.gov) or by writing the Public Reference section of the SEC, Washington, DC 20549-0102.
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BOARD REVIEW OF ADVISORY AGREEMENTS
As required by the Investment Company Act of 1940, as amended (the “1940 Act”), the Board of Trustees (the “Board”) of GuideStone Funds (the “Trust”), including all of the Trustees who are not “interested persons” of the Trust, as that term is defined in the 1940 Act (the “Independent Trustees”), recently considered the renewal of (i) the investment advisory agreement between GuideStone Capital Management (the “Adviser” or “GCM”) and the Trust on behalf of the Blended and Select Funds that comprise the Trust (the “Advisory Agreement”); and (ii) the sub-advisory agreements among the Adviser, each sub-adviser and the Trust on behalf of each Select Fund (the “Sub-Advisory Agreements”). The Advisory Agreement and each Sub-Advisory Agreement (the “Agreements”) were approved for an additional one-year term at a meeting of the Board held on May 22-23, 2006. The Board’s decision to approve the Agreements reflects the exercise of its business judgment to continue each existing arrangement. In approving the Agreements, the Board considered information provided by the Adviser, each sub-adviser and a consulting firm engaged by the Adviser with the assistance and advice of counsel to the Independent Trustees and counsel to the Trust.
The Board’s consideration of various factors and its conclusions with respect to such factors formed the basis for the Board’s determination to continue the Advisory and Sub-Advisory Agreements. The factors considered by the Board included, but were not limited to: (i) the resources of the adviser; (ii) the experience and expertise of the adviser; (iii) the financial capability of the adviser; (iv) the compliance procedures and history of the adviser; (v) the performance of the fund in comparison to relevant benchmarks, similarly managed funds and the adviser’s other clients; (vi) the amount of the contractual advisory fee in comparison to similarly managed funds and the adviser’s other clients and the effect of any fee waiver and expense reimbursement arrangement; (vii) the total expenses of the fund in comparison to similarly managed funds and the use of past and anticipated expense caps; (viii) the profitability of the adviser with respect to the fund and its overall business; (ix) the extent of any economies of scale and whether the fee structure reflects such economies of scale; (x) the existence of any collateral benefits realized by the adviser; and (xi) the existence of any collateral benefits realized by the fund. In its decision to renew each Agreement, the Board was also mindful of the potential disruptions of the Trust’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew an Agreement. No one factor was determinative in the Board’s consideration of the Advisory and Sub-Advisory Agreements.
The Board undertook a review of the terms of each Advisory and Sub-Advisory Agreement and the nature and quality of the services provided by the Adviser and each sub-adviser. The Board conducted its analysis on a fund-by-fund basis with respect to the Adviser and each Sub-adviser. Management provided the Board with substantial detailed information in the form of reports about each of the nine Select Funds, eight Blended Funds, twenty-nine sub-advisory firms and the Adviser prior to and during the meeting, which information addressed most, if not all, of the factors listed above. Management also provided additional information about the Adviser and each Sub-adviser in presentations made during the meeting and responded to questions from the Trustees. In addition, the Independent Trustees met separately in executive session with counsel to the Independent Trustees to discuss and consider information presented in connection with the continuation of the Advisory and Sub-Advisory Agreements as well as the Trustees’ responsibilities and duties in approving the Agreements.
APPROVAL OF CONTINUATION OF INVESTMENT ADVISORY AGREEMENT
In considering the renewal of the existing advisory agreement with the Adviser, the Trustees took into account all the materials provided prior to and during the meeting, the presentations made during the meeting, and the extensive discussions during the meeting, including the discussions the Independent Trustees had during their executive session with their independent legal counsel. More specifically, the Trustees examined the nature, extent and quality of the services to be provided by the Adviser to the Funds. The Trustees evaluated the Adviser’s experience in serving as an investment adviser, including overseeing and managing the allocation of Fund assets among the sub-advisers. The Trustees noted the experience of key personnel at the Adviser in providing investment management and administrative services and the systems used by such persons and the ability of the Adviser to attract and retain capable personnel. The Trustees noted the reputation, compliance history, compliance program, and financial condition of the Adviser. The Trustees also noted the terms of the advisory and sub-advisory agreements and the responsibilities that the Adviser
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has as investment adviser to the Funds, including oversight of sub-adviser compliance with each Fund’s policies and objectives, oversight of general Fund compliance, including compliance with social restrictions, and the implementation of Board of Trustees directives as they relate to the Funds. The Trustees concluded that each Fund is likely to benefit from the extent and quality of these services as a result of the Adviser’s experience, personnel, operations and resources.
The Trustees also reviewed a memorandum prepared by a consulting firm engaged by the Adviser for, among other things, supplying research on expense comparisons and investment performance of other similar funds. The memorandum compared each Select Fund with other funds having the same investment style or objective, and compared the share class of each Fund (other than the GS8 class) with other funds in the same broad distribution channel, the GS2 class against other institutional share classes and the GS4 and GS6 classes against a broad set of retail share classes. The Board analyzed the comparative expense and performance information in the memorandum, including comparative expense information for each Fund based on a sampling of funds similar in asset size. The Trustees considered the comparative performance, fee and expense information that had been provided in their evaluation of the management fees charged to each Select Fund. The Board evaluated the annualized performance results comparing the Funds against their peers, noting that most of the Funds provided above average returns with below average net expenses. The Board also considered data provided by management that analyzed the performance of the Blended Funds.
The Trustees examined fee and expense information for the Select Funds, as compared to other funds in the Funds’ asset-stratified peer groups for the GS4 class, provided by the consulting firm, as of February 28, 2006. The Trustees determined that the management fees (combined advisory and sub-advisory fees) for each Select Fund was lower than the median management fees for other mutual funds in the Fund’s asset-stratified peer group, except for the Growth Equity Fund, the Small Cap Equity Fund and the International Equity Fund. The Trustees noted that the Adviser was currently reimbursing the expenses of most Funds, including the Growth Equity Fund, the Small Cap Equity Fund and the International Equity Fund, and the management fees of each Fund net of any fee waiver or expense reimbursement was below the median fees for other similar funds at the same asset levels, except for the Growth Equity Fund and the Small Cap Equity Fund. The Trustees also noted that the management fees net of any fee waiver or expense reimbursement for the Growth Equity Fund and the Small Cap Equity Fund ranked in the third quartile among other similar funds at the same asset levels, with the management fees net of any fee waiver or expense reimbursement for the Growth Equity Fund only slightly above the median. The Trustees also evaluated the expense ratios for other funds in the Funds’ asset-stratified peer groups and determined that each Fund’s expense ratio was significantly lower than the median expense ratio for such other funds. The Trustees further noted that the compensation to be received by the Adviser for each Fund under the advisory agreement remained the same. The Trustees concluded that the level of each Fund’s management fees was reasonable and compared fairly to that of comparable mutual funds.
The Trustees examined the performance information for the Select Funds (GS4 class) compared to Morningstar peers for the one and three-year periods ended December 31, 2005. The Trustees noted that the average annual total returns for the Select Funds generally ranked in the first and second quartile among the Morningstar peers, except for the Low-Duration Bond Fund and Small Cap Equity Fund. The average annual total returns for the Low-Duration Bond Fund and Small Cap Equity Fund ranked in the third quartile among the Morningstar peers for the one and three year periods, with the average annual total return for each Fund for the one year period only slightly underperforming the median for the peer group. The Trustees also noted that the average annual total returns for the Blended Funds for the three-year period ended December 31, 2005 were above those of unaffiliated funds in the Funds’ Lipper peer groups for the same time period. The Trustees acknowledged that changes had been made to the sub-adviser line-up for the Small Cap Equity Fund within the last year for the purpose of improving Fund performance. In addition, inconsistencies in the classification of low-duration bond funds in the market made difficult the construction of an appropriate peer group for the Low-Duration Bond Fund. The Trustees noted that 23 out of 29 sub-advisers to the Funds with a three-year performance history outperformed their respective benchmarks for the three-year period ended December 31, 2005 and that the Adviser added economic value to the Funds through the selection of sub-advisers.
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The Trustees considered the costs to the Adviser of serving as the investment adviser to the Funds, including the costs associated with the personnel, systems and equipment necessary to manage the Funds in accordance with the existing advisory agreement. The Trustees considered the anticipated revenues that the Adviser expected to receive for serving as the investment manager to the Funds, the fact that the Adviser was currently reimbursing the expenses of most Funds and the fact that any profit realized by the Adviser is forwarded to GuideStone Financial Resources which currently operates and historically has operated at a deficit with respect to the Trust. The Trustees considered the profitability estimates for the Adviser, first without taking into account sub-advisory fee expenses borne by the Fund, second taking into account sub-advisory fee expenses, and the third taking into account expenses associated with distribution and shareholder servicing fees. The Trustees also considered whether any direct or indirect collateral benefits inured to either the Adviser or the Trust as a result of their affiliation with one another. In light of these considerations, the Trustees concluded that any profits realized in connection with the Adviser’s services appeared reasonable.
The Trustees considered the extent to which the advisory fee to be paid to the Adviser reflected economies of scale. In this connection, the Trustees again noted that the Adviser was currently reimbursing the expenses of most Funds and the management fees for each Fund net of any fee waiver or expense reimbursement was below the median fee for other similar funds at the same asset levels, except for the Growth Equity Fund and the Small Cap Equity Fund. Based on their review, the Trustees concluded that each Fund’s advisory fee was reasonable.
Based on all of the information presented to the Board and its consideration of relevant factors, the Board concluded that the fee paid to the Adviser by each Fund was reasonable, and in the exercise of its business judgment, determined to approve the continuation of the Advisory Agreement for each Fund.
APPROVAL OF CONTINUATION OF SUB-ADVISORY AGREEMENTS
In considering the existing sub-advisory agreements with each sub-adviser, the Trustees took into account the materials provided prior to and during the meeting, the presentations made during the meeting; and the extensive discussions during the meeting, including the discussions the Independent Trustees had during their executive session with their independent legal counsel. More specifically, the Trustees examined the nature, extent and quality of the services to be provided by each of the sub-advisers to the Select Funds. The Trustees evaluated each sub-adviser’s experience in serving as a sub-adviser to a Select Fund and noted that each sub-adviser currently provides investment advice to various clients, including other pooled investment vehicles. The Trustees noted the experience of key personnel at each sub-adviser in providing investment management services and the systems used by such persons, and the ability of each sub-adviser to attract and retain capable personnel. The Trustees noted the reputation, compliance history, compliance program and financial condition of each sub-adviser. The Trustees also noted the terms of the existing sub-advisory agreements and the responsibilities that each has as a sub-adviser to a Select Fund, including the responsibility of the day-to-day management of the investment portfolio of the Fund, compliance with each Fund’s policies and objectives, and the implementation of Board of Trustees directives as they relate to the Funds. The Trustees concluded that each Fund is likely to benefit from the extent and quality of these services as a result of each sub-adviser’s experience, personnel, operations and resources.
The Board considered standardized reports for each sub-adviser to each Select Fund. The standardized reports compiled by management included, among other things, a summary of investment performance of the Fund and sub-adviser, including comparisons with relevant benchmarks, composite performance for the sub-adviser and the peer universe of similarly managed funds, information regarding management style, services provided, risk versus return analysis, organizational structures, investment management experience, investment philosophies, personnel, changes in personnel, compliance procedures and policies, brokerage and soft dollar practices, compliance history, financial information, including profitability analysis, and economies of scale realized.
The Trustees examined performance information for each segment of a Select Fund managed by a sub-adviser. The Trustees noted that, for the majority of sub-advisers, the performance record of the segment of the Select Fund managed by the sub-adviser compared favorably to the relevant Fund benchmark, the composite performance for the sub-adviser’s clients (on a gross fee basis) and the peer
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universe of similarly managed funds for the period of time the sub-adviser performed advisory services on behalf of the Select Fund. Four sub-advisers did underperform the relevant Fund benchmark over the three-year period ended December 31, 2005 and two recently hired sub-advisers underperformed the relevant Fund benchmark for the period May 1, 2005 through December 31, 2005. The Trustees noted, however, that one sub-adviser that had underperformed the relevant Fund benchmark over the three-year period ended December 31, 2005, had either outperformed the benchmark or performed in line with the benchmark for other time periods. The Trustees also noted that, in certain cases, market trends, changes in personnel, and in the case of the two recently hired sub-advisers, the relatively short history of managing Fund assets, may have contributed to the underperformance and each of the sub-advisers had or was in the process of taking action to address such underperformance and that each sub-adviser fulfilled a particular investment mandate for the Select Fund it advised. The Trustees concluded that, although past performance is no guarantee of future performance, the performance of each Select Fund was satisfactory and the Funds were likely to benefit from each sub-adviser continuing to serve as sub-adviser to the Fund.
The Trustees examined the fee schedule for each sub-adviser, noting how the fee levels charged to the Trust compared with available information about fees charged by the sub-advisers to their other similarly situated clients, as well as how the sub-adviser fee levels for each Select Fund compared to the median sub-advisory fee for the peer universe of similarly managed funds.
The Trustees also examined the profitability and the financial capability of each sub-adviser. In considering the information, the Trustees took into account the limited relevance of profitability information with respect to the sub-advisers given that each Sub-Advisory Agreement had been the subject of arms-length negotiation and that the cost of providing advisory services on a fund-specific basis would be difficult for most, if not all, sub-advisers to estimate accurately. The Trustees reviewed the profitability questionnaires completed by all but three of the sub-advisers, supplemental profitability information provided by certain sub-advisers and representations of the Adviser with respect to the level of assets and shareholder’s equity for all the sub-advisers who made their most recent year end financial statements available to the Adviser for review. All sub-advisers that completed the questionnaire represented they were profitable either with respect to their relationship with the Fund or more generally with respect to their overall business where the sub-adviser was unable to accurately allocate expenses among its clients, with one exception. One sub-adviser indicated that its relationship with a Fixed-Income Select Fund was slightly unprofitable, but when viewed together with the relationship of its affiliate, a sub-adviser to another Fixed-Income Select Fund, the overall relationship with the Trust was profitable. Except for a sub-adviser to the Small Cap Equity Fund, the profitability estimates for the sub-advisers that completed the questionnaire generally fell within industry norms. With regard to the sub-adviser to the Small Cap Equity Fund, it was noted that the sub-adviser consistently outperformed the relevant benchmark for the Fund and the median for the peer universe of similarly managed funds as well as other sub-advisers to the Small Cap Equity Fund. In light of these considerations, the Trustees concluded that profits realized by each sub-adviser who completed a profitability questionnaire appeared reasonable. For those three sub-advisers that did not provide profitability information, the Trustees relied upon the other relevant information, particularly the independent negotiation of the fee schedules, the level of the fees, and the sub-adviser’s performance history. The Trustees noted that, based on the Adviser’s representations, the financial statements of the sub-advisers did not appear to raise any concerns regarding the financial capability of those sub-advisers.
The Trustees considered the extent to which sub-adviser fees to be paid to each sub-adviser reflected economies of scale. The Trustees noted that each sub-adviser fee schedule either reflected economies of scale by reducing the fee on assets in excess of certain stated breakpoints, or the fee level negotiated was below or on par with the standard fee level for the sub-adviser. The Trustees noted, however, based on the amount of assets a sub-adviser currently manages for the International Equity Fund, that the applicable fee rate in the sub-adviser’s standard fee schedule is lower than the negotiated fee rate currently in place and that the Adviser will begin negotiations with the sub-adviser to review the current negotiated fee rate based on the current asset levels in relation to the standard stated fee schedule.
In evaluating the benefits that are expected to accrue to each sub-adviser through its relationship as sub-adviser to a Select Fund, the Trustees noted that certain sub-advisers allocate
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portfolio brokerage to affiliated broker-dealers that receive commissions from the execution of Fund trades. The Trustees also noted that certain sub-advisers expect to benefit from “soft dollar” arrangements by which brokers will provide research and other services to the sub-adviser in exchange for commissions on trades of the portfolio securities of the Select Fund. The Trustees considered whether any direct or indirect collateral benefits inured to the Trust as a result of its affiliation with each sub-adviser.
Based on all of the information presented to the Board and its consideration of relevant factors, the Board, in the exercise of its reasonable business judgment, determined to approve the continuation of each Sub-Advisory Agreement.
BOARD REVIEW OF NEW SUB-ADVISORY AGREEMENTS FOR VALUE EQUITY FUND
As required by the 1940 Act, the Board, including all of the Trustees who are not “interested persons” of the Trust, considered the approval of (i) the sub-advisory agreement among GuideStone Capital Management, Aronson+Johnson+Ortiz LLP (“AJO”) and the Trust on behalf of the Value Equity Fund (the “AJO Sub-Advisory Agreement”); and (ii) the sub-advisory agreement among GuideStone Capital Management, TCW Investment Management Company (“TCW”) and the Trust on behalf of the Value Equity Fund (the “TCW Sub-Advisory Agreement”). The AJO Sub-Advisory Agreement and the TCW Sub-Advisory Agreement (together, the “New Sub-Advisory Agreements”) were each approved for a term expiring on June 30, 2007 at the meeting of the Board held on May 22-23, 2006. The Board’s decision to approve the New Sub-Advisory Agreements reflects the exercise of its business judgment to enter into each new sub-advisory arrangement. In approving the New Sub-Advisory Agreements, the Board considered information provided by the Adviser, each sub-adviser and an independent consulting firm engaged by the Adviser with the assistance and advice of counsel to the Independent Trustees and counsel to the Trust.
The Board’s consideration of various factors and its conclusions with respect to such factors formed the basis for the Board’s determination to approve the New Sub-Advisory Agreements. The factors considered by the Board included, but were not limited to: (i) the resources of the sub-adviser; (ii) the experience and expertise of the sub-adviser; (iii) the financial capability of the sub-adviser; (iv) the compliance procedures and history of the sub-adviser; (v) the performance of the sub-adviser’s other value equity client accounts and portfolios in comparison to relevant benchmarks and other similarly managed funds; (vi) the amount of the contractual sub-advisory fee in comparison to similarly managed funds and the sub-adviser’s other clients; (vii) the extent of any economies of scale and whether the fee structure reflects such economies of scale; (viii) the existence of any collateral benefits realized by the sub-adviser; and (ix) the existence of any collateral benefits realized by the fund. No one factor was determinative in the Board’s consideration of the New Sub-Advisory Agreements.
The Board undertook a review of the terms of each New Sub-Advisory Agreement and the nature and quality of the services to be provided by each sub-adviser. Management provided the Board with substantial detailed information in the form of reports about each sub-adviser prior to the meeting which information addressed most, if not all, of the factors listed above. Management also provided additional information about each sub-adviser in presentations made during the meeting, discussed the comprehensive screening process used to recommend each new sub-adviser and responded to questions from the Trustees. In addition, the Independent Trustees met separately in executive session with counsel to the Independent Trustees to discuss and consider information presented in connection with the approval of the New Sub-Advisory Agreements as well as the Trustees’ responsibilities and duties in approving the Agreements.
APPROVAL OF NEW SUB-ADVISORY AGREEMENTS
In considering the approval of the New Sub-Advisory Agreements, the Trustees took into account the materials provided prior to and during the meeting, and the extensive discussions during the meeting, including the discussions the Independent Trustees had during their executive session with their independent legal counsel. More specifically, the Trustees examined the nature, extent and quality of the services to be provided by AJO and TCW to the Value Equity Fund. The Trustees evaluated each sub-adviser’s experience in serving as a sub-adviser to value equity client accounts and portfolios and noted that each sub-adviser currently provides investment advice to various clients, including to other series of the Trust. The Trustees considered the experience of key personnel at each sub-adviser in providing investment management services and the systems used by such persons, and the ability of each sub-adviser to attract and retain capable personnel. The Trustees also considered
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the reputation, compliance history, compliance program and financial condition of each sub-adviser. The Trustees noted the terms of the New Sub-Advisory Agreements and the responsibilities that each would have as a sub-adviser to the Value Equity Fund, including the responsibility of the day-to-day management of the investment portfolio of the Fund, compliance with the Fund’s policies and objectives, and the implementation of Board of Trustees directives as they relate to the Fund. The Trustees concluded that the Value Equity Fund is likely to benefit from the extent and quality of these services as a result of each sub-adviser’s experience, personnel, operations and resources.
The Board considered reports for each sub-adviser. The reports compiled by management included, among other things, a summary of the composite investment performance of the sub-adviser’s value equity client accounts and portfolios, including a comparison with the relevant benchmark for the Value Equity Fund and the peer universe of similarly managed value equity funds, information regarding management style, risk versus return analysis, organizational structures, investment management experience, investment philosophies and personnel. Management also provided additional information regarding compliance procedures and policies, brokerage and soft dollar practices, compliance history, financial information and potential economies of scale.
The Trustees examined composite performance information for the value equity client accounts and portfolios managed by each sub-adviser. For each sub-adviser, the composite performance record compared favorably to the relevant benchmark for the Value Equity Fund and the peer universe of similarly managed value equity funds for the period of time each sub-adviser performed advisory services on behalf of value equity client accounts and portfolios. In that regard, the composite performance of the value equity client accounts and portfolios managed by AJO outperformed the benchmark for the Value Equity Fund for nine out of the ten previous calendar years and ranked in the top quartile among its peers for three, five, seven and ten year periods. The composite performance of the value equity client accounts and portfolios managed by TCW also outperformed the relevant benchmark for the Value Equity Fund for seven out of the ten previous calendar years and ranked in the top quartile among its peers for three, five, seven and ten year periods.
The Trustees examined the investment philosophy and process of each sub-adviser and noted that each sub-adviser would fulfill a particular investment mandate for the Value Equity Fund. The Trustees concluded that, although past performance is no guarantee of future performance, the composite performance record for the value equity client accounts and portfolios managed by each sub-adviser was favorable and that the Value Equity Fund was likely to benefit from the investment management expertise of each sub-adviser.
The Trustees also examined the fee schedule for each sub-adviser, noting how the fee levels to be charged to the Value Equity Fund compared with available information about fees charged by the sub-advisers to their other similarly situated clients, as well as how the sub-advisory fee to be charged the Value Equity Fund by each sub-adviser compared to fees generally charged by other sub-advisers to similarly managed funds. The Trustees noted that the sub-advisory fee for AJO compared favorably to the median sub-advisory fee for similarly managed funds with the sub-advisory fee for TCW being slightly above the median. It was noted that the aggregate management fees for the Value Equity Fund would remain the same after the hiring of AJO and TCW given the Adviser’s proposed allocation of Fund assets among the sub-advisers to the Value Equity Fund based on both current Fund assets and projected asset growth in the near term.
The Trustees considered the extent to which the fees to be paid to each sub-adviser reflected economies of scale. The Trustees noted that the proposed sub-advisory fees include breakpoints at various asset levels.
The Trustees also considered information related to the financial capability of each sub-adviser. Specifically, the Trustees considered the representations of the Adviser with respect to the level of assets and shareholder’s equity for the sub-advisers who made their most recent year-end financial statements available to the Adviser for review. The Trustees also relied upon other relevant information, particularly the independent negotiation of the fee schedules, the level of the fees, and the sub-adviser’s performance history. The Trustees noted that, based on the Adviser’s representations and the other information provided, no concerns appeared to be raised regarding the financial capability of the sub-advisers.
The Trustees noted that there is no historical profitability information with regard to the sub-advisers’ arrangements with the Value Equity Fund. The Trustees also noted the
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limited relevance of profitability information with respect to the sub-advisers given that each New Sub-Advisory Agreement had been the subject of arms-length negotiation and that the cost of providing advisory services on a fund-specific basis would be difficult for the sub-advisers to estimate accurately.
The Trustees reviewed information regarding the compliance history and compliance program of each firm, noting that AJO and TCW had no significant compliance or regulatory issues based on available information. The Trustees also considered that the Trust currently employs each sub-adviser to manage the assets of another Fund of the Trust and the Adviser’s and their familiarity with each sub-adviser’s organization generally.
Based on all of the information presented to the Board and its consideration of relevant factors, the Board, in the exercise of its reasonable business judgment, determined to approve each New Sub-Advisory Agreement.
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INVESTMENT SUB-ADVISERS (Assets under management as of 6/30/2006)
GuideStone Funds employs a broad array of proven investment managers for the benefit of their investors. Each manager is distinctive in their investment management process and business approach.
Fund | Sub-Adviser | Firm Established | Total Assets Managed | ||||
Money Market | BlackRock Institutional Management Corporation | 1988 | $ | 464.1B | |||
Low-Duration Bond | BlackRock Advisors, Inc. | 1988 | 464.1B | ||||
Payden & Rygel | 1983 | 51.7B | |||||
PIMCO (Pacific Investment Management Company LLC) | 1971 | 617.4B | |||||
Medium-Duration Bond | Goldman Sachs Asset Management, L.P. | 1984 | 549.4B | ||||
PIMCO (Pacific Investment Management Company LLC) | 1971 | 617.4B | |||||
Western Asset Management Company | 1971 | 513.3B | |||||
Extended-Duration Bond | Loomis, Sayles & Company, L.P. | 1926 | 82.2B | ||||
STW Fixed Income Management Ltd. | 1977 | 10.0B | |||||
Equity Index | Northern Trust Investments, N.A. | 1889 | 640.1B | ||||
Value Equity | Aronson+Johnson+Ortiz, LP | 1984 | 25.8B | ||||
Barrow, Hanley Mewhinney & Strauss, Inc. | 1979 | 57.8B | |||||
Equinox Capital Management, LLC | 1989 | 6.1B | |||||
Northern Trust Investments, N.A. | 1889 | 640.1B | |||||
TCW Investment Management Company | 1971 | 130.0B | |||||
Growth Equity | Marsico Capital Management, LLC | 1997 | 70.7B | ||||
RCM Capital Management LLC | 1970 | 128.2B | |||||
Sands Capital Management, LLC | 1992 | 18.0B | |||||
TCW Investment Management Company | 1971 | 130.0B | |||||
Small Cap Equity | Aronson+Johnson+Ortiz, LP | 1984 | 25.8B | ||||
Lord, Abbett & Co. LLC | 1929 | 104.1B | |||||
Lotsoff Capital Management | 1981 | 5.6B | |||||
Provident Investment Council, Inc. | 1951 | 3.5B | |||||
TimesSquare Capital Management, LLC | 2000 | 7.4B | |||||
International Equity | AllianceBernstein, L.P. | 1962 | 625.0B | ||||
Capital Guardian Trust Company | 1968 | 158.0B | |||||
Genesis Asset Managers, LLP | 1990 | 16.1B | |||||
Mondrian Investment Partners Ltd. | 1990 | 46.0B | |||||
Oechsle International Advisors, LLC | 1998 | 15.0B | |||||
Philadelphia International Advisors, L.P. | 1956 | 7.2B | |||||
Walter Scott & Partners Limited | 1983 | 27.5B | |||||
Custodian for GuideStone Funds Assets | The Northern Trust Company | 1889 | 3.2Tr |
You should consider the investment objectives, risks, charges and expenses of each investment fund carefully before investing. To obtain a prospectus with this and other information about GuideStone Funds call 1-888-98-GUIDE, visit www.GuideStoneFunds.org or write to GuideStone Funds, 2401 Cedar Springs, Dallas, TX 75201-1498. Read it carefully before you invest. Shares of GuideStone Funds are distributed by PFPC Distributors, Inc., 760 Moore Road, King of Prussia, PA 19406.
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2401 Cedar Springs Road, Dallas, TX 75201-1498 1.888.98.GUIDE • www.GuideStoneFunds.org | Funds distributed by PFPC Distributors, Inc. 760 Moore Road, King of Prussia, PA 19406 | |||
Serving Those Who Serve the Lord “…with the integrity of our hearts and the skillfulness of our hands.” Psalm 78:72 |
Table of Contents
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.
Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
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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.
Not applicable.
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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) | 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(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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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) GuideStone Funds
By (Signature and Title)* | /s/ John R. Jones | |
John R. Jones, President | ||
(principal executive officer) |
Date August 24, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ John R. Jones | |
John R. Jones, President | ||
(principal executive officer) |
Date August 24, 2006
By (Signature and Title)* | /s/ Jeffrey P. Billinger | |
Jeffrey P. Billinger, Vice President and Treasurer | ||
(principal financial officer) |
Date August 24, 2006
* | Print the name and title of each signing officer under his or her signature. |