GuideStone Funds NCSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-10263

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: December 31, 2006

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

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 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.

Item 1.

Reports to Stockholders.

The Report to Shareholders is attached herewith.

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.

TABLE OF CONTENTS


Letter from the President		2

From the Chief Investment Officer		3

About Your Expenses		6

Blended Funds:
Flexible Income Fund		10
Growth & Income Fund		13
Capital Opportunities Fund		16
Global Equity Fund		19

Financial Statements		22

Flexible Income Fund I		28
Growth & Income Fund I		31
Capital Opportunities Fund I		34
Global Equity Fund I		37
Financial Statements		40

Select Funds:
Money Market Fund		45
Low-Duration Bond Fund		49
Medium-Duration Bond Fund		60
Extended-Duration Bond Fund		79
Global Bond Fund		84
Equity Index Fund		90
Real Estate Securities Fund		97
Value Equity Fund		99
Growth Equity Fund		105
Small Cap Equity Fund		109
International Equity Fund		117

Schedule of Investments – Abbreviations and Footnotes 126

Financial Statements		128

Notes to Financial Statements		141

Report of Independent Registered Public Accounting Firm		159

Fund Management (Unaudited)		160

BOARD REVIEW OF ADVISORY AGREEMENTS		162

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.

LETTER FROM THE PRESIDENT

We are pleased to bring you the 2006 Annual Report for GuideStone Funds. Within these pages you will find the results of another successful year of mutual fund performance and investment operations.

During 2006, GuideStone Funds celebrated a milestone event – the five year anniversary of our registered mutual funds! This event highlighted our commitment now and in the future to Christian-based funds with competitive performance.

As we review the year, we can report assets for GuideStone Funds totaled $9.3 billion as of December 31, 2006, representing a 10.46% increase from the prior year. The global economy, including U.S. stocks, rallied in the fourth quarter of 2006 to cap off a year of strong performance. The 2006 year ended on a positive note with lower oil prices, healthy corporate earnings, and generally positive economic data. Overall we are pleased that all of the GuideStone Funds closed the year with positive performance as well as positive returns since their inception on August 27, 2001.

In December, GuideStone Funds increased its fund offerings to include two new funds: the Real Estate Securities Fund and Global Bond Fund. Our goal is to enhance and broaden the availability of funds in multiple asset classes to better meet the needs of our participants. Effective January 3, 2007, the Real Estate Securities Fund will be available to investors through a Personal Investment Account or an Individual Retirement Account. The new Global Bond Fund is not available for direct investment by shareholders, but will be utilized within our new Date Target Funds family.

We are excited to announce that in January 2007, GuideStone Funds will launch five Date Target Funds, known as MyDestination Funds. Each MyDestination Fund invests in pre-selected GuideStone Select Funds so the investor gets a well-rounded portfolio, managed by investment professionals to help meet their objectives.

With date target funds – or life cycle funds – participants choose the fund closest to their retirement date. This gives the investor the opportunity to invest in one fund that is diversified and age appropriate. The funds are targeted to retirement dates in 10-year increments from 2005 to 2045. GuideStone Funds is the nation’s only mutual fund company with Christian-based date target funds.

We look forward to a new year of serving you. We appreciate your business and thank you for the confidence you place in us.

Sincerely,

John R. Jones

The MyDestination Funds attempt to achieve their objectives by investing in the GuideStone Select Funds. By investing in these fund-of-funds, you will incur the expenses of the MyDestination Funds in addition to those of the underlying Select Funds. You may invest in the Select Funds directly, except the Global Bond Fund. The MyDestination Funds are also subject to the risks of the underlying funds they hold.

FROM THE CHIEF INVESTMENT OFFICER

Rodric E. Cummins, CFA

The year 2006 was a year of two halves. With the Federal Reserve, economic growth and inflation in the spotlight, it was a year that under-promised early and over-delivered late. Investors that succeeded did so by embracing the sound investment principles of diversification and patience.

The inflection point for 2006 came at the mid-year peak in oil prices which closely coincided with a pause in the Federal Reserve’s tightening monetary policy. These two factors combined to renew investors confidence that inflationary pressures were easing and that the Federal Reserve was successfully steering the U.S. economy toward continued growth. With corporate profits booming and equity valuations at cyclical lows, equity investors celebrated the prospects for continued economic growth by pushing prices in many major indices to record highs during a strong fourth quarter rally. The S&P 500^{^®}Index gained 6.70% during the fourth quarter, netting a total return for the year of 15.78%.

With financial markets posting a wide range of returns in 2006, risk-oriented investors with well-diversified global portfolios were handsomely rewarded. Strong corporate earnings and continued economic growth favored stocks over bonds and value-oriented stock strategies over historically high growth companies. For the fourth consecutive year, stock markets showed the strongest returns from companies located in foreign countries. The MSCI^{^®}EAFE Index (Net), representative of non-U.S. developed markets, returned 10.35% during the fourth quarter and 26.34% for the year. Emerging market stocks, as represented by the MSCI^{^®}Emerging Market Index (Net), returned 17.60% for the quarter and 32.17% for the year. In contrast, single digit returns were posted for the year in investments such as cash, bonds and certain equity segments. The bond market, as represented by the Lehman Brothers Aggregate Bond Index, posted a return of 4.33% in 2006.

Asset Class Performance Comparison

The following graph illustrates the performance of the major assets classes during 2006.

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^{^®}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.

U.S. Economy — Real Gross Domestic Product

Following a poor showing in the 4th quarter of 2005, the U.S. economy, as measured by the real gross domestic product, rebounded at an annual rate of 5.6% in the 1st quarter of 2006. The acceleration in real GDP growth in the 1st quarter reflected an upturn in expenditures for durable goods, acceleration in exports and an upturn in federal government spending. Second quarter GDP came in at an annual rate of 2.6% reflecting a cooling of the housing market and decelerating spending. Growth slowed further in the third quarter leading to an annual GDP rate of 2.0% reflecting an acceleration in imports, a larger decrease in residential fixed investment, and lower state and local government spending.

Real Gross Domestic Product (“GDP”) is one of the most widely used economic measures for the overall U.S. economy. GDP measures the output of all goods and services produced by labor and property within the U.S. during a specific period. The output is usually expressed as an annualized rate for a quarter. Generally, it is viewed as positive for the equity markets when GDP expands reflecting an environment of economic growth and profitability. The converse is true when GDP is contracting.

Data Source: Bloomberg

S&P 500^{^®}Index Returns

The broad U.S. equity market, as measured by the S&P 500^{^®}Index, posted a positive annual return of 15.78% during 2006, capping a fourth consecutive year in positive territory. Performance for the year came in three distinct phases: markets rallied out of the gate with the S&P 500^{^®}Index gaining 6.9% through early May, stocks then pulled back significantly through mid-June (down 7.5%) on fears that interest rates had risen to a level that would stifle economic growth both here and abroad. The third phase was marked by renewed confidence that inflation and interest rates were at acceptable levels. This confidence drove equity markets sharply higher off their June 13th lows, with the S&P 500^{^®}gaining 17.1% from that point. Value stocks significantly outpaced growth stocks within the index for the year by almost a two-to-one margin.

The S&P 500^{^®}Index includes 500 leading companies in major industries of the U.S. economy. The index represents about 75% of U.S. equity market capitalization. It is a capitalization-weighted index calculated on a total return basis with dividends reinvested. Constituents are selected by a team of Standard & Poor’s^{^®}economists and analysts.

Data Source: Standard & Poor’s^{^®}

S&P 500^{^®}P/E (Excluding Negative Earnings)

The price-to-earnings (P/E) ratio for the S&P 500^{^®}Index ended the year at virtually the same level as the end of 2005. With a 15.78% total return, this shows the “earnings” side of the equation also rose about 15% for the companies within the index. For the fifteen year period show in the graph, the average P/E is just above 24. It is worth noting this valuation measure for the broad market index has consistently declined over the last three years, a testament to strong corporate profitability. While the market may appear to be valued at a discount, longer period historical P/E ratios suggest the market is trading closer to its historical average.

P/E is the ratio of a stock’s price divided by its earnings per share. In this case, the P/E ratio is represented for the entire index. The ratio, or multiple, reflects the price an investor is willing to pay for a dollar of expected earnings per share.

Data Source: Ned Davis Research Group

The Conference Board Consumer Confidence Index

U.S. consumer confidence, as measured by the Conference Board’s Index, generally moved with the fortunes of the stock market and energy prices for most of 2006. The index peaked at 109.8 in April (its highest level since May 2002) just prior to the sharp pullback in the equity markets in May and June. Consumer sentiment dipped accordingly in ensuing months. High oil prices contributed to a year-low reading of 100.2 during August. A subsequent reversal of energy prices to the downside during September eventually trickled through to an improving outlook by Americans. Consumer confidence rebounded strongly in December to 109.0.

The Conference Board Consumer Confidence Index is a based on a monthly survey of a sample of 5000 U.S. households for the purpose of measuring consumer sentiment. The trend in this economic measure is closely monitored given consumers comprise approximately two-thirds of the U.S. Economy. Generally, it is viewed as positive to the economy and equity markets when the index increases. This reflects the fact that consumers are positive regarding their economic outlook and that they are more willing to spend money providing further economic stimulus.

Data Source: Bloomberg

Federal Reserve

January 2006 may have marked a change in leadership at the Federal Reserve (“Fed”) but its tightening campaign, which began in June 2004, continued without pause. Rebounding economic growth and the resulting inflationary concerns forced incoming Fed Chairman Ben Bernanke to raise the Fed Funds Rate by .25% on four separate occasions during the first half of 2006. Such action elevated the key interest rate to 5.25% by June 29th. A slumping housing market, an equity market slump, and fresh geopolitical concerns eventually resulted in the sporadic weakening of economic data during the summer. This was enough to give the Fed “pause” and at its August 8th meeting, interest rates were held steady. No further interest rate hikes occurred over the remainder of the year, but the Fed remained on watch for signs that inflation was not contained.

The Federal Reserve, often referred to as “the Fed,” is the central bank of the United States. It was created by Congress to provide the nation with a safer, more flexible, and more stable monetary and financial system. The federal funds rate is the interest rate at which depository institutions lend balances at the Federal Reserve to other depository institutions overnight. The rate is one tool the Fed can use in their efforts of controlling the supply of money. Changes in the federal funds rate trigger a chain of events that affect other short-term interest rates, foreign exchange rates, long-term interest rates, the amount of money and credit, and, ultimately, a range of economic variables, including employment, output, and prices of goods and services.

Data Source: Bloomberg

U.S. Unemployment

Overall employment levels improved during 2006. The unemployment rate fell from 4.9% at the end of 2005 to 4.5% at the end of 2006. The lowest level occurred in October at 4.4%, a level not seen since the spring of 2001. During 2006, payroll employment rose by 1.8 million jobs. The largest numbers of jobs created occurred in the professional and business services, healthcare, and food service industries. Manufacturing lost 72,000 jobs during 2006. The number of unemployed persons was essentially unchanged in December at 6.8 million; down from 7.3 million a year earlier. While the unemployment rate dropped, the average hourly rate rose slightly above 4% during the year.

The U.S. unemployment rate measures the numbers of persons unemployed as a percentage of the labor force. Typically, unemployment tends to increase during difficult economic periods and declines during expansionary economic times. Additionally, very low unemployment can place inflationary pressure on the economy as labor markets become very competitive and expensive.

Data Source: Bloomberg

U.S. Treasury Yield Curve

Interest rates across the curve rose sharply during the first quarter of 2006 in response to a rebounding economy, record Treasury issuance, and Federal Reserve tightening. The 30- year Treasury Bond came out of retirement to help finance the burgeoning federal deficit. Rates continued higher during the second quarter driven by concerns over rising inflation with the curve slightly inverted from 6-months to 5 years out. On the back of weaker economic data and geopolitical concerns, treasuries rallied and yields fell during the third quarter particularly at the long end. The 2-10 year portion of the curve was inverted at the end of the third quarter. Interest rates were higher in the fourth quarter driven by the realization that the Fed was not likely to ease monetary policy during the first half of 2007. The yield curve continued its slow but steady flattening trend. The yield on the bellwether 30-year Treasury Bond ended the year at 4.81%, up from 4.54% 12 months earlier.

The Treasury yield curve illustrates the relationship between yields on short-term, intermediate-term and long-term Treasury securities. Normally, the shape of the yield curve is upward sloping with rates increasing from the short end of the curve moving higher to the long end. The short end of the curve is impacted more by monetary policy (demand for money) while inflationary expectations and market forces impact the long end of the curve.

Data Source: Bloomberg

About Your Expenses

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 July 1, 2006 to December 31, 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 over 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 7/1/2006		Ending Account Value 12/31/2006		Annualized Expense Ratio (1)		Expenses Paid During Period (2)
Flexible Income	GS4	$	1,000.00	$	1,046.15	0.13	%	$	0.67
	GS6		1,000.00		1,043.86	0.49			2.52
	GS8		1,000.00		1,043.24	0.80			4.12

Growth & Income	GS4		1,000.00		1,077.18	0.13			0.68
	GS6		1,000.00		1,076.06	0.37			1.94
	GS8		1,000.00		1,073.42	0.84			4.39

Capital Opportunities	GS4		1,000.00		1,091.22	0.13			0.69
	GS6		1,000.00		1,089.41	0.49			2.58
	GS8		1,000.00		1,087.02	0.81			4.26

Global Equity	GS4		1,000.00		1,104.89	0.13			0.69
	GS6		1,000.00		1,103.32	0.38			2.01
	GS8		1,000.00		1,100.99	0.83			4.40

Flexible Income I	GS2		1,000.00		1,046.61	0.17			0.88

Growth & Income I	GS2		1,000.00		1,078.02	0.17			0.89

Capital Opportunities I	GS2		1,000.00		1,092.18	0.17			0.90

Global Equity I	GS2		1,000.00		1,105.67	0.17			0.90

Money Market	GS2		1,000.00		1,025.97	0.26			1.33
	GS4		1,000.00		1,024.99	0.46			2.35
	GS6		1,000.00		1,022.85	0.86			4.38
	GS8		1,000.00		1,021.32	1.17			5.96

ACTUAL


Fund	Class	Beginning Account Value 7/1/2006		Ending Account Value 12/31/2006		Annualized Expense Ratio (1)		Expenses Paid During Period (2)
Low-Duration Bond	GS2	$	1,000.00	$	1,028.33	0.45	%	$	2.30
	GS4		1,000.00		1,027.16	0.61			3.12
	GS6		1,000.00		1,024.81	1.00			5.10
	GS8		1,000.00		1,023.54	1.30			6.63

Medium-Duration Bond	GS2		1,000.00		1,050.99	0.50			2.58
	GS4		1,000.00		1,050.48	0.62			3.20
	GS6		1,000.00		1,048.76	1.05			5.42
	GS8		1,000.00		1,045.87	1.35			6.96

Extended-Duration Bond	GS2		1,000.00		1,081.98	0.55			2.89
	GS4		1,000.00		1,082.11	0.73			3.83
	GS6		1,000.00		1,078.06	1.00			5.24
	GS8		1,000.00		1,076.74	1.50			7.85

Global Bond (3)	GS4		1,000.00		1,000.00	1.04			5.24

Equity Index	GS2		1,000.00		1,124.03	0.23			1.23
	GS4		1,000.00		1,123.55	0.40			2.14
	GS6		1,000.00		1,122.33	0.60			3.21
	GS8		1,000.00		1,120.62	0.90			4.81

Real Estate Securities (3)	GS4		1,000.00		1,000.00	1.33			6.70

Value Equity	GS2		1,000.00		1,131.38	0.71			3.81
	GS4		1,000.00		1,130.97	0.89			4.78
	GS6		1,000.00		1,128.93	1.19			6.39
	GS8		1,000.00		1,127.22	1.59			8.53

Growth Equity	GS2		1,000.00		1,055.45	0.89			4.61
	GS4		1,000.00		1,055.22	1.01			5.23
	GS6		1,000.00		1,053.69	1.42			7.35
	GS8		1,000.00		1,052.07	1.71			8.84

Small Cap Equity	GS2		1,000.00		1,060.98	1.01			5.25
	GS4		1,000.00		1,060.43	1.19			6.18
	GS6		1,000.00		1,059.04	1.54			7.99
	GS8		1,000.00		1,056.82	1.89			9.80

International Equity	GS2		1,000.00		1,148.06	0.95			5.14
	GS4		1,000.00		1,147.23	1.13			6.12
	GS6		1,000.00		1,145.65	1.42			7.68
	GS8		1,000.00		1,144.39	1.78			9.62

HYPOTHETICAL (assuming a 5% return before expenses)


Fund	Class	Beginning Account Value 7/1/2006		Ending Account Value 12/31/2006		Annualized Expense Ratio (1)		Expenses Paid During Period (2)
Flexible Income	GS4	$	1,000.00	$	1,024.55	0.13	%	$	0.66
	GS6		1,000.00		1,022.74	0.49			2.50
	GS8		1,000.00		1,021.17	0.80			4.08

Growth & Income	GS4		1,000.00		1,024.55	0.13			0.66
	GS6		1,000.00		1,023.34	0.37			1.89
	GS8		1,000.00		1,020.97	0.84			4.28

About Your Expenses (Continued)

HYPOTHETICAL (assuming a 5% return before expenses)


Fund	Class		Beginning Account Value 7/1/2006		Ending Account Value 12/31/2006		Annualized Expense Ratio (1)		Expenses Paid During Period (2)
Capital Opportunities	GS4		$	1,000.00	$	1,024.55	0.13	%	0.66	%
	GS6			1,000.00		1,022.74	0.49		2.50
	GS8			1,000.00		1,021.12	0.81		4.13

Global Equity	GS4			1,000.00		1,024.55	0.13		0.66
	GS6			1,000.00		1,023.29	0.38		1.94
	GS8			1,000.00		1,021.02	0.83		4.23

Flexible Income I	GS2			1,000.00		1,024.35	0.17		0.87

Growth & Income I	GS2			1,000.00		1,024.35	0.17		0.87

Capital Opportunities I	GS2			1,000.00		1,024.35	0.17		0.87

Global Equity I	GS2	��		1,000.00		1,024.35	0.17		0.87

Money Market	GS2			1,000.00		1,023.89	0.26		1.33
	GS4			1,000.00		1,022.89	0.46		2.35
	GS6			1,000.00		1,020.87	0.86		4.38
	GS8			1,000.00		1,019.31	1.17		5.96

Low-Duration Bond	GS2			1,000.00		1,022.94	0.45		2.29
	GS4			1,000.00		1,022.13	0.61		3.11
	GS6			1,000.00		1,020.16	1.00		5.09
	GS8			1,000.00		1,018.65	1.30		6.61

Medium-Duration Bond	GS2			1,000.00		1,022.68	0.50		2.55
	GS4			1,000.00		1,022.08	0.62		3.16
	GS6			1,000.00		1,019.91	1.05		5.35
	GS8			1,000.00		1,018.40	1.35		6.87

Extended-Duration Bond	GS2			1,000.00		1,022.43	0.55		2.80
	GS4			1,000.00		1,021.53	0.73		3.72
	GS6			1,000.00		1,020.16	1.00		5.09
	GS8			1,000.00		1,017.64	1.50		7.63

Global Bond (3)	GS4			1,000.00		1,019.96	1.04		5.30

Equity Index	GS2			1,000.00		1,024.05	0.23		1.17
	GS4			1,000.00		1,023.19	0.40		2.04
	GS6			1,000.00		1,022.18	0.60		3.06
	GS8			1,000.00		1,020.67	0.90		4.58

Real Estate Securities (3)	GS4			1,000.00		1,018.50	1.33		6.77

Value Equity	GS2			1,000.00		1,021.63	0.71		3.62
	GS4			1,000.00		1,020.72	0.89		4.53
	GS6			1,000.00		1,019.21	1.19		6.06
	GS8			1,000.00		1,017.19	1.59		8.08

Growth Equity	GS2			1,000.00		1,020.72	0.89		4.53
	GS4			1,000.00		1,020.11	1.01		5.14
	GS6			1,000.00		1,018.05	1.42		7.22
	GS8			1,000.00		1,016.59	1.71		8.69

Small Cap Equity	GS2			1,000.00		1,020.11	1.01		5.14
	GS4			1,000.00		1,019.21	1.19		6.06
	GS6			1,000.00		1,017.44	1.54		7.83
	GS8			1,000.00		1,015.68	1.89		9.60

HYPOTHETICAL (assuming a 5% return before expenses)


Fund	Class	Beginning Account Value 7/1/2006		Ending Account Value 12/31/2006		Annualized Expense Ratio (1)		Expenses Paid During Period (2)
International Equity	GS2	$	1,000.00	$	1,020.42	0.95	%	$	4.84
	GS4		1,000.00		1,019.51	1.13			5.75
	GS6		1,000.00		1,018.05	1.42			7.22
	GS8		1,000.00		1,016.23	1.78			9.05

(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 July 1, 2006 through December 31, 2006, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

(3)

The Global Bond Fund and Real Estate Securities Fund commenced operations on 12/29/2006. The expense figures shown reflect the expenses that would have been paid over the time period 07/01/2006-12/31/2006, assuming the Funds were in operation throughout the entire period.

Flexible Income Fund

The Fund is constructed using a blend of seven GuideStone Funds Select Funds GS4. The Fund’s actual asset allocation at quarter-end was 19% U.S. Equity, 6% Non-U.S. Equity, and 75% Fixed Income. The Fund’s returns were positive for the quarter and the year; however it trailed its composite benchmark. The largest component of the Fund, the Low-Duration Bond Fund GS4, generated a positive return for the quarter and the year, with performance slightly trailing its underlying benchmark (Merrill Lynch 1-3 Year Treasury Index). The Fund’s benchmark-relative underperformance for the year was most impacted by its exposure to the Growth Equity Fund GS4. The Growth Equity Fund’s returns were slightly positive for the year but it significantly trailed its underlying benchmark index.

Please see page 12 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.

The Blended Funds attempt to achieve their objectives by investing in the GuideStone Select Funds. By investing in these fund-of-funds, you will incur the expenses of the Blended Funds in addition to those of the underlying funds. You may invest in the Select Funds directly, except the Global Bond Fund. The Blended Funds are also subject to the risks of the underlying funds they hold.

Flexible Income Fund


Average Annual Total Returns as of 12/31/06
	GS4 Class*		GS6 Class*		Benchmark**		GS8 Class*		GS8 Class Benchmark**
One Year	5.99	%	5.66	%	7.43	%	5.36	%	7.43	%
Five Year	4.40	%	4.12	%	4.60	%	N/A		N/A
Since Inception	4.26	%	3.98	%	4.56	%	4.46	%	5.75	%
Inception Date	08/27/01		08/27/01		08/27/01		11/08/04		11/08/04

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 2,959 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.


Flexible Income Fund
SCHEDULE OF INVESTMENTS		December 31, 2006


	Shares	Value
AFFILIATED MUTUAL FUNDS — 98.8%
GuideStone Funds Equity Index Fund (GS4 Class)¥	299,208	$	5,735,827
GuideStone Funds Growth Equity Fund (GS4 Class)¥	1,424,667		25,316,326
GuideStone Funds International Equity Fund (GS4 Class)¥	1,064,551		20,322,280
GuideStone Funds Low-Duration Bond Fund (GS4 Class)¥	18,836,731		237,907,912
GuideStone Funds Money Market Fund (GS4 Class)¥	3,026,183		3,026,183
GuideStone Funds Small Cap Equity Fund (GS4 Class)¥	397,467		6,359,472
GuideStone Funds Value Equity Fund (GS4 Class)¥	1,324,030		24,693,158

Total Affiliated Mutual Funds
(Cost $ 278,212,983)			323,361,158


	Par
U.S. TREASURY OBLIGATIONS — 1.1%
U.S. Treasury Bill 4.85%, 02/22/07‡‡	$	70,000		69,512
U.S. Treasury Note 5.00%, 07/31/08		3,605,000		3,612,044

Total U.S. Treasury Obligations
(Cost $3,687,274)				3,681,556

TOTAL INVESTMENTS — 99.9%
(Cost $281,900,257)				327,042,714

Other Assets in Excess of
Liabilities — 0.1%				363,372

NET ASSETS — 100.0%			$	327,406,086


PORTFOLIO SUMMARY (based on net assets)

		%
Bond Fund		72.7
Domestic Equity Funds		19.0
International Equity Fund		6.2
U.S. Treasury Obligations		1.1
Money Market Fund		0.9
Futures Contracts		0.3

		100.2


12		See Notes to Financial Statements.

Growth & Income Fund

The Fund is constructed using a blend of nine GuideStone Funds Select Funds GS4. The Fund’s asset allocation at quarter-end was 37% U.S. Equity, 13% Non-U.S. Equity, and 50% Fixed Income. The Fund experienced a positive return for the quarter and the year yet underperformed its composite benchmark. For the year, the Fund’s positive performance was primarily due to the Fund’s underlying investment in the International Equity Fund GS4 and the Value Equity Fund GS4. The Fund’s benchmark-relative underperformance for the year was primarily driven by its exposure to the Growth Equity Fund GS4. The largest component of the Fund, the Medium-Duration Bond Fund GS4, posted a return that slightly trailed its underlying benchmark, the Lehman Brothers Aggregate Bond Index, for the year.

Please see page 15 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.

Growth & Income Fund


Average Annual Total Returns as of 12/31/06
	GS4 Class*		GS6 Class*		Benchmark**		GS8 Class*		GS8 Class Benchmark**
One Year	8.78	%	8.30	%	11.29	%	8.03	%	11.29	%
Five Year	7.20	%	6.86	%	7.56	%	N/A		N/A
Since Inception	6.62	%	6.29	%	6.96	%	7.95	%	9.46	%
Inception Date	08/27/01		08/27/01		08/27/01		11/08/04		11/08/04

*	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 2,959 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.

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.


Growth & Income Fund
SCHEDULE OF INVESTMENTS		December 31, 2006


	Shares		Value
AFFILIATED MUTUAL FUNDS — 99.1%
GuideStone Funds Equity Index Fund (GS4 Class)¥		2,455,697	$	47,075,708
GuideStone Funds Extended-Duration Bond Fund (GS4 Class)¥		9,361,180		138,545,465
GuideStone Funds Growth Equity Fund (GS4 Class)¥		11,679,976		207,553,181
GuideStone Funds International Equity Fund (GS4 Class)¥		9,889,904		188,798,274
GuideStone Funds Low-Duration Bond Fund (GS4 Class)¥		16,027,252		202,424,191
GuideStone Funds Medium-Duration Bond Fund (GS4 Class)¥		25,656,028		344,047,334
GuideStone Funds Money Market Fund (GS4 Class)¥		18,010,225		18,010,225
GuideStone Funds Small Cap Equity Fund (GS4 Class)¥		3,335,598		53,369,567
GuideStone Funds Value Equity Fund (GS4 Class)¥		11,374,733		212,138,774

Total Affiliated Mutual Funds
(Cost $1,180,653,781)				1,411,962,719


	Par
U.S. TREASURY OBLIGATIONS — 0.9%
U.S. Treasury Bills
4.82%, 02/22/07‡‡	$	50,000		49,651
4.85%, 02/22/07‡‡		550,000		546,166

				595,817

U.S. Treasury Note
4.88%, 02/15/12		11,790,000		11,901,462

Total U.S. Treasury Obligations
(Cost $12,494,310)				12,497,279

TOTAL INVESTMENTS — 100.0%
(Cost $1,193,148,091)				1,424,459,998

Other Assets in Excess of
Liabilities — 0.0%				64,787

NET ASSETS — 100.0%			$	1,424,524,785

PORTFOLIO SUMMARY (based on net assets)


		%
Bond Funds		48.1
Domestic Equity Funds		36.5
International Equity Fund		13.2
Money Market Fund		1.3
U.S. Treasury Obligations		0.9
Futures Contracts		0.9

		100.9


		See Notes to Financial Statements.		15

Capital Opportunities Fund

The Fund is constructed using a blend of nine GuideStone Funds Select Funds GS4. The Fund’s asset allocation at quarter-end was 56% U.S. Equity, 19% Non-U.S. Equity, and 25% Fixed Income. The Fund posted a positive return for the quarter and the year yet trailed its composite benchmark. Strong overall performance can be attributed to positive returns in domestic and non-U.S. equity markets. For the year, the Fund’s positive performance was primarily driven by its underlying investment in the International Equity Fund GS4 and the Value Equity Fund GS4. The largest detractor to benchmark-relative underperformance was the Fund’s investment in the Growth Equity Fund GS4.

Please see page 18 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.

Capital Opportunities Fund


Average Annual Total Returns as of 12/31/06
	GS4 Class*		GS6 Class*		Benchmark**		GS8 Class*		GS8 Class Benchmark**
One Year	11.03	%	10.58	%	14.81	%	10.24	%	14.81	%
Five Year	8.02	%	7.57	%	8.58	%	N/A		N/A
Since Inception	7.14	%	6.73	%	7.65	%	10.41	%	12.46	%
Inception Date	08/27/01		08/27/01		08/27/01		11/08/04		11/08/04

LOGO

*	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 2,959 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.

Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.


Capital Opportunities Fund
SCHEDULE OF INVESTMENTS		December 31, 2006


	Shares		Value
AFFILIATED MUTUAL FUNDS — 99.5%
GuideStone Funds Equity Index Fund (GS4 Class)¥		2,984,703	$	57,216,752
GuideStone Funds Extended-Duration Bond Fund (GS4 Class)¥		3,799,492		56,232,485
GuideStone Funds Growth Equity Fund (GS4 Class)¥		14,173,212		251,857,978
GuideStone Funds International Equity Fund (GS4 Class)¥		11,555,852		220,601,217
GuideStone Funds Low-Duration Bond Fund (GS4 Class)¥		6,588,117		83,207,921
GuideStone Funds Medium-Duration Bond Fund (GS4 Class)¥		10,327,015		138,485,274
GuideStone Funds Money Market Fund (GS4 Class)¥		19,406,341		19,406,341
GuideStone Funds Small Cap Equity Fund (GS4 Class)¥		3,995,457		63,927,308
GuideStone Funds Value Equity Fund (GS4 Class)¥		13,841,182		258,138,043

Total Affiliated Mutual Funds
(Cost $923,758,612)				1,149,073,319


	Par
U.S. TREASURY OBLIGATIONS — 0.5%
U.S. Treasury Bill 4.85%, 02/22/07‡‡	$	730,000		724,911
U.S. Treasury Note 4.88%, 02/15/12		4,720,000		4,764,623

Total U.S. Treasury Obligations
(Cost $5,467,387)				5,489,534

TOTAL INVESTMENTS — 100.0%
(Cost $929,225,999)				1,154,562,853
Other Assets in Excess of
Liabilities — 0.0%				22,381

NET ASSETS — 100.0%			$	1,154,585,234

PORTFOLIO SUMMARY (based on net assets)


		%
Domestic Equity Funds		54.6
Bond Funds		24.1
International Equity Fund		19.1
Money Market Fund		1.7
Futures Contracts		1.3
U.S. Treasury Obligations		0.5

		101.3


18		See Notes to Financial Statements.

Global Equity Fund

The Fund is constructed using a blend of six GuideStone Funds Select Funds GS4. The Fund’s asset allocation at quarter-end was 74% U.S. Equity, 25% Non-U.S. Equity, and 1% Fixed Income. The Fund posted a positive return for the quarter and the year yet trailed its composite benchmark. Strong overall performance can be attributed to positive returns in the domestic and non-U.S. equity markets. For the year, the Fund’s positive performance was primarily driven by its underlying investment in the International Equity Fund GS4 and the Value Equity Fund GS4. The Fund’s benchmark-relative underperformance was due to exposure to the Growth Equity Fund GS4.

Please see page 21 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.

Global Equity Fund


Average Annual Total Returns as of 12/31/06
	GS4 Class*		GS6 Class*		Benchmark**		GS8 Class*		GS8 Class Benchmark**
One Year	13.20	%	12.79	%	18.40	%	12.36	%	18.40	%
Five Year	8.65	%	8.31	%	9.48	%	N/A		N/A
Since Inception	7.46	%	7.19	%	8.20	%	12.89	%	15.66	%
Inception Date	08/27/01		08/27/01		08/27/01		11/08/04		11/08/04

*	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 2,959 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.

Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.


Global Equity Fund
SCHEDULE OF INVESTMENTS		December 31, 2006


	Shares	Value
AFFILIATED MUTUAL FUNDS — 99.9%
GuideStone Funds Equity Index Fund (GS4 Class)¥	3,649,412	$	69,959,231
GuideStone Funds Growth Equity Fund (GS4 Class)¥	17,395,220		309,113,061
GuideStone Funds International Equity Fund (GS4 Class)¥	13,651,667		260,610,316
GuideStone Funds Money Market Fund (GS4 Class)¥	16,867,592		16,867,592
GuideStone Funds Small Cap Equity Fund (GS4 Class)¥	4,892,517		78,280,279
GuideStone Funds Value Equity Fund (GS4 Class)¥	17,169,248		320,206,476

Total Affiliated Mutual Funds
(Cost $808,464,455)			1,055,036,955


	Par
U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bill 4.85%, 02/22/07‡‡
(Cost $695,096)	$	700,000		695,120

TOTAL INVESTMENTS — 100.0%
(Cost $809,159,551)				1,055,732,075
Other Assets in Excess of Liabilities — 0.0%				311,976

NET ASSETS — 100.0%			$	1,056,044,051


PORTFOLIO SUMMARY (based on net assets)
		%
Domestic Equity Funds		73.6
International Equity Fund		24.7
Money Market Fund		1.6
Futures Contracts		1.1
U.S. Treasury Obligation		0.1

		101.1


		See Notes to Financial Statements.		21

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2006


		Flexible Income Fund		Growth & Income Fund		Capital Opportunities Fund		Global Equity Fund
Assets
Investments in securities of affiliated issuers, at value		$	323,361,158	$	1,411,962,719	$	1,149,073,319	$	1,055,036,955
Investments in securities of unaffiliated issuers, at value			3,681,556		12,497,279		5,489,534		695,120

Total investments (1)			327,042,714		1,424,459,998		1,154,562,853		1,055,732,075
Receivables:
Dividends			12,525		70,673		76,597		76,345
Interest			75,430		217,006		86,913		—
Fund shares sold			374,875		92,504		155,383		388,733
Prepaid expenses and other assets			22,859		32,963		39,848		29,702

Total Assets			327,528,403		1,424,873,144		1,154,921,594		1,056,226,855


Liabilities
Payables:
Fund shares redeemed			53,347		112,065		126,594		1,554
Variation margin			4,050		44,550		55,350		43,200
Distributions payable			—		10,024		—		—
Accrued expenses:
Advisory fees			14,583		94,968		79,960		66,141
Distribution (12b-1) fees			2,540		3,444		2,832		3,195
Shareholder servicing fees			2,218		2,951		2,302		2,805
Other expenses			45,579		80,357		69,322		65,909

Total Liabilities			122,317		348,359		336,360		182,804

Net Assets		$	327,406,086	$	1,424,524,785	$	1,154,585,234	$	1,056,044,051


Net Assets Consist of:
Paid-in-capital		$	277,527,318	$	1,154,997,728	$	882,690,836	$	751,758,456
Undistributed net investment income			233		—		9,400		—
Accumulated net realized gain on investments			4,739,067		38,164,869		46,488,264		57,692,436
Net unrealized appreciation (depreciation) on investments and futures transactions			45,139,468		231,362,188		225,396,734		246,593,159

Net Assets		$	327,406,086	$	1,424,524,785	$	1,154,585,234	$	1,056,044,051


Net Asset Value:
$0.001 par value, unlimited shares authorized
Net assets applicable to the GS4 Class		$	308,801,752	$	1,400,000,742	$	1,137,038,764	$	1,031,998,719

GS4 shares outstanding			23,483,634		95,802,119		70,855,796		59,885,848

Net asset value, offering and redemption price per GS4share		$	13.15	$	14.61	$	16.05	$	17.23

Net assets applicable to the GS6 Class		$	12,859,573	$	16,080,209	$	9,447,752	$	16,886,634

GS6 shares outstanding			1,424,737		1,722,807		885,847		1,407,324

Net asset value, offering and redemption price per GS6share		$	9.03	$	9.33	$	10.67	$	12.00

Net assets applicable to the GS8 Class		$	5,744,761	$	8,443,834	$	8,098,718	$	7,158,698

GS8 shares outstanding			636,481		906,334		760,396		597,403

Net asset value, offering and redemption price per GS8share		$	9.03	$	9.32	$	10.65	$	11.98

(1) Investments in securities of affiliated issuers, at cost		$	278,212,983	$	1,180,653,781	$	923,758,612	$	808,464,455
Investments in securities of unaffiliated issuers, at cost			3,687,274		12,494,310		5,467,387		695,096
	��
Total investments at cost		$	281,900,257	$	1,193,148,091	$	929,225,999	$	809,159,551


22		See Notes to Financial Statements.

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2006


	Flexible Income Fund			Growth & Income Fund			Capital Opportunities Fund			Global Equity Fund
Investment Income
Income dividends received from affiliated funds	$	9,875,173		$	33,936,835		$	19,313,838		$	10,244,008
Interest		169,981			515,887			228,077			51,225

Total Investment Income		10,045,154			34,452,722			19,541,915			10,295,233


Expenses
Investment advisory fees		316,527			1,356,970			1,103,636			1,014,030
Transfer agent fees
GS4 shares		35,839			60,708			48,373			48,620
GS6 shares		7,632			7,750			7,799			7,744
GS8 shares		7,768			7,877			7,858			7,859
Custodian fees		13,688			30,662			24,552			24,057
Distribution (12b-1) fees:
GS6 shares		12,431			14,368			7,991			15,191
GS8 shares		16,400			19,992			21,311			19,159
Shareholder servicing fees:
GS6 shares		13,672			15,799			8,782			16,704
GS8 shares		11,477			13,969			14,898			13,402
Accounting and administration fees		94,484			217,928			192,600			183,452
Professional fees		58,426			58,426			58,426			58,426
Blue sky fees
GS4 shares		8,417			11,084			8,163			8,376
GS6 shares		11,870			12,574			12,125			12,530
GS8 shares		5,957			7,362			6,638			5,403
Shareholder reporting fees
GS4 shares		12,959			41,644			29,602			28,501
GS6 shares		31			31			31			31
GS8 shares		45			105			86			87
Trustee fees		2,445			10,560			8,421			7,742
Line of credit facility fees		1,423			6,181			4,953			4,546
Other expenses		17,576			26,647			21,034			19,573

Total Expenses		649,067			1,920,637			1,587,279			1,495,433
Expenses waived/reimbursed (See Footnote 3a and 3c)		(159,859	)		(77,128	)		(80,467	)		(92,374	)
Fees paid indirectly		(2,153	)		(2,114	)		(2,750	)		(3,574	)

Net Expenses		487,055			1,841,395			1,504,062			1,399,485

Net Investment Income		9,558,099			32,611,327			18,037,853			8,895,748

Realized and Unrealized Gain (Loss)
Capital gain distributions received from affiliated funds		4,675,836			41,573,319			49,657,625			60,913,778
Net realized gain on investment securities of affiliated issuers		2,768,363			22,525,012			29,009,908			30,886,284
Net realized loss on investment securities of unaffiliated issuers		(21,760	)		(122,619	)		(61,582	)		—
Net realized gain on futures transactions		99,134			899,336			883,130			1,041,873

Net realized gain		7,521,573			64,875,048			79,489,081			92,841,935

Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers		1,177,397			16,324,289			17,138,713			23,120,670
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers		(8,727	)		(52,541	)		491			(101	)
Change in unrealized appreciation (depreciation) on futures		7,340			215,606			250,503			187,122

Net change in unrealized appreciation (depreciation)		1,176,010			16,487,354			17,389,707			23,307,691

Net Realized and Unrealized Gain (Loss)		8,697,583			81,362,402			96,878,788			116,149,626

Net Increase in Net Assets Resulting from Operations	$	18,255,682		$	113,973,729		$	114,916,641		$	125,045,374


		See Notes to Financial Statements.		23

STATEMENTS OF CHANGES IN NET ASSETS


	Flexible Income Fund						Growth & Income Fund
	For the Year Ended						For the Year Ended
	12/31/06			12/31/05			12/31/06			12/31/05
Operations:
Net investment income	$	9,558,099		$	6,710,228		$	32,611,327		$	26,617,634
Net realized gain on investment securities and futures transactions		7,521,573			8,806,341			64,875,048			67,104,253
Net change in unrealized appreciation (depreciation) on investment securities and futures		1,176,010			(6,564,844	)		16,487,354			(18,769,800	)

Net increase in net assets resulting from operations		18,255,682			8,951,725			113,973,729			74,952,087


Dividends and Distributions to Shareholders:
Dividends from net investment income⁽¹⁾
GS4 shares		(9,432,798	)		(6,681,233	)		(37,055,835	)		(31,655,255	)
GS6 shares		(521,636	)		(368,835	)		(608,167	)		(472,113	)
GS8 shares		(217,451	)		(145,933	)		(298,157	)		(178,317	)
Distributions from net realized capital gains
GS4 shares		(3,380,204	)		(7,416,359	)		(39,876,138	)		(50,654,356	)
GS6 shares		(202,252	)		(453,084	)		(688,428	)		(813,928	)
GS8 shares		(90,433	)		(197,762	)		(369,454	)		(339,052	)

Total dividends and distributions		(13,844,774	)		(15,263,206	)		(78,896,179	)		(84,113,021	)


Capital Share Transactions:
Proceeds from shares sold
GS4 shares		48,268,169			51,005,980			97,344,717			111,946,233
GS6 shares		18,487			—			1,078,834			—
GS8 shares		190,451			80,457			2,360,849			375,343
Reinvestment of dividends and distributions
GS4 shares		12,806,009			14,088,998			76,917,838			82,297,754
GS6 shares		723,888			821,918			1,296,595			1,286,043
GS8 shares		307,884			343,695			667,611			517,368

Total proceeds from shares sold and reinvested		62,314,888			66,341,048			179,666,444			196,422,741

Value of shares redeemed
GS4 shares		(37,007,976	)		(50,125,060	)		(83,449,394	)		(195,957,184	)
GS6 shares		(34	)		—			(57,598	)		—
GS8 shares		(23,806	)		—			(290,737	)		(93	)

Total value of shares redeemed		(37,031,816	)		(50,125,060	)		(83,797,729	)		(195,957,277	)

Net increase (decrease) from capital share transactions (See Footnote 7)		25,283,072			16,215,988			95,868,715			465,464

Total increase (decrease) in net assets		29,693,980			9,904,507			130,946,265			(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*	$	327,406,086		$	297,712,106		$	1,424,524,785		$	1,293,578,520

* Including undistributed (distributions in excess of) net investment income	$	233		$	1,857		$	—		$	4,573

⁽¹⁾	Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds.


24		See Notes to Financial Statements.


Capital Opportunities Fund						Global Equity Fund
For the Year Ended						For the Year Ended
12/31/06			12/31/05			12/31/06			12/31/05

$	18,037,853		$	14,963,030		$	8,895,748		$	7,527,757
	79,489,081			56,530,883			92,841,935			61,273,033

	17,389,707			6,915,250			23,307,691			16,984,803

	114,916,641			78,409,163			125,045,374			85,785,593



	(23,978,727	)		(20,445,230	)		(16,325,661	)		(13,392,673	)
	(260,944	)		(179,258	)		(330,326	)		(236,192	)
	(205,398	)		(131,752	)		(116,960	)		(77,886	)

	(50,378,326	)		(31,761,906	)		(52,469,226	)		(30,910,635	)
	(611,374	)		(328,938	)		(1,183,298	)		(651,282	)
	(536,666	)		(264,881	)		(505,083	)		(268,175	)

	(75,971,435	)		(53,111,965	)		(70,930,554	)		(45,536,843	)



	50,622,132			50,580,207			75,250,021			62,443,657
	1,063,580			—			648,927			—
	1,966,580			513,587			692,148			151,657
	74,356,367			52,206,192			68,793,854			44,301,986
	872,318			508,197			1,513,624			887,475
	742,063			396,633			622,043			346,061

	129,623,040			104,204,816			147,520,617			108,130,836


	(73,037,809	)		(125,641,164	)		(106,442,575	)		(142,475,893	)
	(144	)		—			(66,258	)		—
	(707,360	)		(30	)		(218,026	)		—

	(73,745,313	)		(125,641,194	)		(106,726,859	)		(142,475,893	)


	55,877,727			(21,436,378	)		40,793,758			(34,345,057	)

	94,822,933			3,860,820			94,908,578			5,903,693


	1,059,762,301			1,055,901,481			961,135,473			955,231,780

$	1,154,585,234		$	1,059,762,301		$	1,056,044,051		$	961,135,473


$	9,400		$	3,668		$	—		$	3,258


		See Notes to Financial Statements.		25

FINANCIAL HIGHLIGHTS


*For a Share Outstanding Throughout the Years Ending 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	$	12.94	$	0.40	#	$	0.17	$	0.20		$	(0.41	)	$	(0.15	)	$	13.15		5.99	%	$	308,802	0.13	%	0.13	%	0.18	%	3.08	%	3.03	%	9	%
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(6)		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	$	9.05	$	0.25	#	$	0.17	$	0.09		$	(0.38	)	$	(0.15	)	$	9.03		5.66	%	$	12,860	0.50	%	0.50	%	0.53	%	2.70	%	2.67	%	9	%
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(6)		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	$	9.05	$	0.22	#	$	0.17	$	0.10		$	(0.36	)	$	(0.15	)	$	9.03		5.36	%	$	5,745	0.80	%	0.80	%	0.92	%	2.40	%	2.28	%	9	%
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(7)		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	$	14.20	$	0.36	#	$	0.39	$	0.50		$	(0.40	)	$	(0.44	)	$	14.61		8.78	%	$	1,400,001	0.13	%	0.13	%	0.14	%	2.44	%	2.43	%	7	%
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(6)		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	$	9.36	$	0.20	#	$	0.39	$	0.19		$	(0.37	)	$	(0.44	)	$	9.33		8.30	%	$	16,080	0.48	%	0.48	%	0.48	%	2.11	%	2.11	%	7	%
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(6)		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	$	9.35	$	0.17	#	$	0.39	$	0.19		$	(0.34	)	$	(0.44	)	$	9.32		8.03	%	$	8,444	0.87	%	0.87	%	0.87	%	1.81	%	1.81	%	7	%
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(7)		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)	Inception date was August 27, 2001.

(7)	Inception date was November 8, 2004.


26		See Notes to Financial Statements.


	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)		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)
Capital Opportunities Fund

GS4 Class
2006	$	15.45	$	0.27	#	$	0.63		$	0.81		$	(0.35	)	$	(0.76	)	$	16.05	11.03	%	$	1,137,039	0.13	%	0.13	%	0.14	%	1.66	%	1.65	%	7	%
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(6)		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	$	10.61	$	0.14	#	$	0.63		$	0.35		$	(0.30	)	$	(0.76	)	$	10.67	10.58	%	$	9,448	0.59	%	0.59	%	0.59	%	1.27	%	1.27	%	7	%
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(6)		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	$	10.60	$	0.11	#	$	0.63		$	0.35		$	(0.28	)	$	(0.76	)	$	10.65	10.24	%	$	8,099	0.85	%	0.85	%	0.85	%	1.00	%	1.00	%	7	%
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(7)		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

GS4 Class
2006	$	16.28	$	0.15	#	$	0.88		$	1.13		$	(0.28	)	$	(0.93	)	$	17.23	13.20	%	$	1,031,999	0.13	%	0.13	%	0.14	%	0.90	%	0.89	%	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(6)		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	$	11.67	$	0.07	#	$	0.88		$	0.55		$	(0.24	)	$	(0.93	)	$	12.00	12.79	%	$	16,887	0.47	%	0.47	%	0.47	%	0.58	%	0.58	%	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(6)		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	$	11.66	$	0.03	#	$	0.88		$	0.54		$	(0.20	)	$	(0.93	)	$	11.98	12.36	%	$	7,159	0.85	%	0.85	%	0.85	%	0.21	%	0.21	%	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(7)		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.		27

Flexible Income Fund I

The Fund is constructed using a blend of seven GuideStone Funds Select Funds GS2. The Fund’s actual asset allocation at quarter-end was 19% U.S. Equity, 6% Non-U.S. Equity, and 75% Fixed Income. The Fund’s returns were positive for the quarter and the year; however it trailed its composite benchmark. The largest component of the Fund, the Low-Duration Bond Fund GS2, generated a positive return for the quarter and the year, with performance slightly trailing its underlying benchmark (Merrill Lynch 1-3 Year Treasury Index). The Fund’s benchmark-relative underperformance for the year was most impacted by its exposure to the Growth Equity Fund GS2. The Growth Equity Fund’s returns were slightly positive for the year but it significantly trailed its underlying benchmark index.

Please see page 30 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.

Flexible Income Fund I


Average Annual Total Returns as of 12/31/06
	GS2 Class*		Benchmark**
One Year	6.21	%	7.43	%
Since Inception	5.40	%	5.70	%
Inception Date	07/01/03		07/01/03

LOGO

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 2,959 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.

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.


Flexible Income Fund I
SCHEDULE OF INVESTMENTS		December 31, 2006


	Shares		Value
AFFILIATED MUTUAL FUNDS — 98.9%
GuideStone Funds Equity Index Fund (GS2 Class)¥		90,381	$	1,001,419
GuideStone Funds Growth Equity Fund (GS2 Class)¥		393,732		4,421,611
GuideStone Funds International Equity Fund (GS2 Class)¥		224,534		3,547,641
GuideStone Funds Low-Duration Bond Fund (GS2 Class)¥		4,675,167		41,562,232
GuideStone Funds Money Market Fund (GS2 Class)¥		621,033		621,033
GuideStone Funds Small Cap Equity Fund (GS2 Class)¥		98,042		1,110,817
GuideStone Funds Value Equity Fund (GS2 Class)¥		405,729		4,308,839

Total Affiliated Mutual Funds
(Cost $57,992,099)				56,573,592


	Par
U.S. TREASURY OBLIGATIONS — 1.1%
U.S. Treasury Bill 4.85%, 02/22/07‡‡	$	20,000		19,860
U.S. Treasury Note 5.00%, 07/31/08		595,000		596,163

Total U.S. Treasury Obligations
(Cost $616,663)				616,023

TOTAL INVESTMENTS — 100.0%
(Cost $58,608,762)				57,189,615

Liabilities in Excess of Other
Assets — 0.0%				(1,430	)

NET ASSETS — 100.0%			$	57,188,185

PORTFOLIO SUMMARY (based on net assets)


		%
Bond Fund		72.7
Domestic Equity Funds		18.9
International Equity Fund		6.2
U.S. Treasury Obligations		1.1
Money Market Fund		1.1
Futures Contracts		0.4

		100.4


30		See Notes to Financial Statements.

Growth & Income Fund I

The Fund is constructed using a blend of nine GuideStone Funds Select Funds GS2. The Fund’s asset allocation at quarter-end was 37% U.S. Equity, 13% Non-U.S. Equity, and 50% Fixed Income. The Fund experienced a positive return for the quarter and the year yet underperformed its composite benchmark. For the year, the Fund’s positive performance was primarily due to the Fund’s underlying investment in the International Equity Fund GS2 and the Value Equity Fund GS2. The Fund’s benchmark-relative underperformance for the year was primarily driven by its exposure to the Growth Equity Fund GS2. The largest component of the Fund, the Medium-Duration Bond Fund GS2, posted a return slightly ahead of its underlying benchmark, the Lehman Brothers Aggregate Bond Index for the year.

Please see page 33 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.

Growth & Income Fund I


Average Annual Total Returns as of 12/31/06
	GS2 Class*		Benchmark**
One Year	8.85	%	11.29	%
Since Inception	9.89	%	10.22	%
Inception Date	07/01/03		07/01/03

*	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 2,959 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.

Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.


Growth & Income Fund I
SCHEDULE OF INVESTMENTS		December 31, 2006


	Shares	Value
AFFILIATED MUTUAL FUNDS — 99.0%
GuideStone Funds Equity Index Fund (GS2 Class)¥	781,759	$	8,661,886
GuideStone Funds Extended-Duration Bond Fund (GS2 Class)¥	3,138,331		25,514,630
GuideStone Funds Growth Equity Fund (GS2 Class)¥	3,400,277		38,185,107
GuideStone Funds International Equity Fund (GS2 Class)¥	2,199,186		34,747,146
GuideStone Funds Low-Duration Bond Fund (GS2 Class)¥	4,190,880		37,256,922
GuideStone Funds Medium-Duration Bond Fund (GS2 Class)¥	7,434,555		63,268,061
GuideStone Funds Money Market Fund (GS2 Class)¥	3,568,611		3,568,611
GuideStone Funds Small Cap Equity Fund (GS2 Class)¥	866,954		9,822,586
GuideStone Funds Value Equity Fund (GS2 Class)¥	3,673,568		39,013,288

Total Affiliated Mutual Funds
(Cost $256,951,987)			260,038,237


	Par
U.S. TREASURY OBLIGATIONS — 1.0%
U.S. Treasury Bill 4.85%, 02/22/07‡‡	$	130,000		129,094
U.S. Treasury Note 4.88%, 02/15/12		2,385,000		2,407,548

Total U.S. Treasury Obligations
(Cost $2,540,297)				2,536,642

TOTAL INVESTMENTS — 100.0%
(Cost $259,492,284)				262,574,879

Liabilities in Excess of Other Assets — 0.0%				(123,664	)

NET ASSETS — 100.0%			$	262,451,215


PORTFOLIO SUMMARY (based on net assets)
		%
Bond Funds		48.0
Domestic Equity Funds		36.4
International Equity Fund		13.2
Money Market Fund		1.4
U.S. Treasury Obligations		1.0
Futures Contracts		0.9

		100.9


		See Notes to Financial Statements.		33

Capital Opportunities Fund I

The Fund is constructed using a blend of nine GuideStone Funds Select Funds GS2. The Fund’s asset allocation at quarter-end was 56% U.S. Equity, 19% Non-U.S. Equity, and 25% Fixed Income. The Fund posted a positive return for the quarter and the year yet trailed its composite benchmark. Strong overall performance can be attributed to positive returns in domestic and non-U.S. equity markets. For the year, the Fund’s positive performance was primarily driven by its underlying investment in the International Equity Fund GS2 and the Value Equity Fund GS2. The largest detractor to benchmark-relative underperformance was the Fund’s investment in the Growth Equity Fund GS2.

Please see page 36 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.

Capital Opportunities Fund I


Average Annual Total Returns as of 12/31/06
	GS2 Class*		Benchmark**
One Year	11.21	%	14.81	%
Since Inception	13.02	%	13.74	%
Inception Date	07/01/03		07/01/03

*	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 2,959 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.

Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.


Capital Opportunities Fund I
SCHEDULE OF INVESTMENTS		December 31, 2006


	Shares		Value
AFFILIATED MUTUAL FUNDS — 99.5%
GuideStone Funds Equity Index Fund (GS2 Class)¥		837,480	$	9,279,277
GuideStone Funds Extended-Duration Bond Fund (GS2 Class)¥		1,122,850		9,128,768
GuideStone Funds Growth Equity Fund (GS2 Class)¥		3,641,168		40,890,312
GuideStone Funds International Equity Fund (GS2 Class)¥		2,265,428		35,793,768
GuideStone Funds Low-Duration Bond Fund (GS2 Class)¥		1,519,955		13,512,404
GuideStone Funds Medium-Duration Bond Fund (GS2 Class)¥		2,637,510		22,445,212
GuideStone Funds Money Market Fund (GS2 Class)¥		3,282,488		3,282,488
GuideStone Funds Small Cap Equity Fund (GS2 Class)¥		915,463		10,372,196
GuideStone Funds Value Equity Fund (GS2 Class)¥		3,942,454		41,868,857

Total Affiliated Mutual Funds
(Cost $175,802,807)				186,573,282


	Par
U.S. TREASURY OBLIGATIONS — 0.5%
U.S. Treasury Bills
4.85%, 02/22/07‡‡	$	130,000		129,094
4.95%, 02/22/07‡‡		50,000		49,651

				178,745

U.S. Treasury Note
4.88%, 02/15/12		815,000		822,705

Total U.S. Treasury Obligations
(Cost $1,004,468)				1,001,450

TOTAL INVESTMENTS — 100.0%
(Cost $176,807,275)				187,574,732

Liabilities in Excess of Other
Assets — 0.0%				(38,383	)

NET ASSETS — 100.0%			$	187,536,349

PORTFOLIO SUMMARY (based on net assets)


		%
Domestic Equity Funds		54.6
Bond Funds		24.0
International Equity Fund		19.1
Money Market Fund		1.8
Futures Contracts		1.3
U.S. Treasury Obligations		0.5

		101.3


36		See Notes to Financial Statements.

Global Equity Fund I

The Fund is constructed using a blend of six GuideStone Funds Select Funds GS2. The Fund’s asset allocation at quarter-end was 73% U.S. Equity, 25% Non-U.S. Equity, and 2% Fixed Income. The Fund posted a positive return for the quarter and the year yet trailed its composite benchmark. Strong overall performance can be attributed to positive returns in the domestic and non-U.S. equity markets. For the year, the Fund’s positive performance was primarily driven by its underlying investment in the International Equity Fund GS2 and the Value Equity Fund GS2. The Fund’s benchmark-relative underperformance was due to exposure to the Growth Equity Fund GS2.

Please see page 39 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.

Global Equity Fund I


Average Annual Total Returns as of 12/31/06
	GS2 Class*		Benchmark**
One year	13.33	%	18.40	%
Since Inception	16.10	%	17.30	%
Inception Date	07/01/03		07/01/03

*	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 2,959 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.

Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.


Global Equity Fund I
SCHEDULE OF INVESTMENTS		December 31, 2006


	Shares		Value
AFFILIATED MUTUAL FUNDS — 100.0%
GuideStone Funds Equity Index Fund (GS2 Class)¥		850,090	$	9,418,997
GuideStone Funds Growth Equity Fund (GS2 Class)¥		3,685,220		41,385,017
GuideStone Funds International Equity Fund (GS2 Class)¥		2,207,513		34,878,703
GuideStone Funds Money Market Fund (GS2 Class)¥		2,900,147		2,900,147
GuideStone Funds Small Cap Equity Fund (GS2 Class)¥		924,371		10,473,129
GuideStone Funds Value Equity Fund (GS2 Class)¥		4,058,956		43,106,116

Total Affiliated Mutual Funds
(Cost $132,777,323)				142,162,109

	Par
U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bill
4.85%, 02/22/07‡‡
(Cost $139,019)	$	140,000		139,024


TOTAL INVESTMENTS — 100.1%
(Cost $132,916,342)				142,301,133

Liabilities in Excess of Other Assets — (0.1)%				(83,254	)

NET ASSETS — 100.0%			$	142,217,879


PORTFOLIO SUMMARY (based on net assets)

			%
Domestic Equity Funds				73.4
International Equity Fund				24.5
Money Market Fund				2.1
Futures Contracts				1.6
U.S. Treasury Obligation				0.1

				101.7


		See Notes to Financial Statements.		39

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2006


	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	$	56,573,592		$	260,038,237	$	186,573,282	$	142,162,109
Investments in securities of unaffiliated issuers, at value		616,023			2,536,642		1,001,450		139,024

Total investments (1)		57,189,615			262,574,879		187,574,732		142,301,133
Receivables:
Dividends		2,023			14,154		12,527		10,460
Interest		12,450			43,917		15,007		—
Fund shares sold		260			—		—		26
Receivable from advisor		3,865			—		—		—
Prepaid expenses and other assets		5,720			5,720		5,720		5,720

Total Assets		57,213,933			262,638,670		187,607,986		142,317,339


Liabilities
Payables:
Fund shares redeemed		—			90,131		21,796		57,394
Variation margin		810			8,910		9,180		8,370
Distributions payable		—			36,512		—		—
Accrued expenses:
Advisory fees		—			19,118		8,814		5,194
Other expenses		24,938			32,784		31,847		28,502

Total Liabilities		25,748			187,455		71,637		99,460

Net Assets	$	57,188,185		$	262,451,215	$	187,536,349	$	142,217,879


Net Assets Consist of:
Paid-in-capital	$	57,773,687		$	251,069,435	$	166,891,485	$	122,621,907
Undistributed net investment income		81			—		—		519
Accumulated net realized gain on investments		833,828			8,298,664		9,878,974		10,213,414
Net unrealized appreciation (depreciation) on investments and futures transactions		(1,419,411	)		3,083,116		10,765,890		9,382,039

Net Assets	$	57,188,185		$	262,451,215	$	187,536,349	$	142,217,879


Net Asset Value:
$0.001 par value, unlimited shares authorized
Net assets applicable to the GS2 Class	$	57,188,185		$	262,451,215	$	187,536,349	$	142,217,879

GS2 shares outstanding		5,692,279			23,124,361		14,474,944		9,768,685

Net asset value, offering and redemption price per GS2 share	$	10.05		$	11.35	$	12.96	$	14.56


(1) Investments in securities of affiliated issuers, at cost	$	57,992,099		$	256,951,987	$	175,802,807	$	132,777,323
Investments in securities of unaffiliated issuers, at cost		616,663			2,540,297		1,004,468		139,019

Total investments at cost	$	58,608,762		$	259,492,284	$	176,807,275	$	132,916,342


40		See Notes to Financial Statements.


STATEMENTS OF OPERATIONS
For the Year Ended December 31, 2006


	Flexible Income Fund I			Growth & Income Fund I			Capital Opportunities Fund I			Global Equity Fund I
Investment Income
Income dividends received from affiliated funds	$	2,577,247		$	10,044,057		$	4,916,285		$	2,173,552
Interest		28,923			96,890			38,730			6,422

Total Investment Income		2,606,170			10,140,947			4,955,015			2,179,974

Expenses
Investment advisory fees		56,076			249,992			172,978			134,214
Transfer agent fees		7,366			14,700			14,680			7,482
Custodian fees		9,006			14,318			12,623			10,851
Accounting and administration fees		22,759			80,402			57,475			45,948
Professional fees		58,426			58,426			58,426			58,546
Shareholder reporting fees		181			232			228			221
Trustee fees		427			1,896			1,330			1,012
Line of credit facility fees		250			1,118			785			597
Other expenses		14,721			15,283			16,467			15,328

Total Expenses		169,212			436,367			334,992			274,199
Expenses waived/reimbursed (See Footnote 3a and 3c)		(74,843	)		(16,300	)		(44,435	)		(48,541	)
Fees paid indirectly		(2,233	)		(1,595	)		(2,081	)		(2,220	)

Net expenses		92,136			418,472			288,476			223,438

Net Investment Income		2,514,034			9,722,475			4,666,539			1,956,536


Realized and Unrealized Gain (Loss)
Capital gain distributions received from affiliated funds		1,167,936			10,843,951			11,403,765			11,517,440
Net realized gain on investment securities of affiliated issuers		520,548			3,304,659			3,194,049			3,832,493
Net realized loss on investment securities of unaffiliated issuers		(3,906	)		(20,999	)		(2,496	)		—
Net realized gain on futures transactions		15,809			169,761			193,351			198,729

Net realized gain		1,700,387			14,297,372			14,788,669			15,548,662

Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers		(888,740	)		(2,715,650	)		(1,193,379	)		(845,698	)
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers		(1,021	)		(8,975	)		(6,894	)		(9	)
Change in unrealized appreciation (depreciation) on futures		1,425			25,620			30,928			32,133

Net change in unrealized appreciation (depreciation)		(888,336	)		(2,699,005	)		(1,169,345	)		(813,574	)

Net Realized and Unrealized Gain (Loss)		812,051			11,598,367			13,619,324			14,735,088

Net Increase in Net Assets Resulting from Operations	$	3,326,085		$	21,320,842		$	18,285,863		$	16,691,624


		See Notes to Financial Statements.		41

STATEMENTS OF CHANGES IN NET ASSETS


	Flexible Income Fund I						Growth & Income Fund I
	For the Year Ended						For the Year Ended
	12/31/06			12/31/05			12/31/06			12/31/05
Operations:
Net investment income	$	2,514,034		$	1,830,186		$	9,722,475		$	7,773,603
Net realized gain on investment securities and futures transactions		1,700,387			1,213,257			14,297,372			9,148,867
Net change in unrealized appreciation (depreciation) on investment securities and futures		(888,336	)		(1,198,806	)		(2,699,005	)		(2,317,487	)

Net increase in net assets resulting from operations		3,326,085			1,844,637			21,320,842			14,604,983


Dividends and Distributions to Shareholders:
Dividends from net investment income⁽¹⁾		(2,664,833	)		(1,960,531	)		(11,094,525	)		(9,389,155	)
Distributions from net realized capital gains		(1,273,583	)		(695,374	)		(10,048,649	)		(3,407,754	)

Total dividends and distributions		(3,938,416	)		(2,655,905	)		(21,143,174	)		(12,796,909	)


Capital Share Transactions:
Proceeds from GS2 shares sold		6,364,329			26,280,249			18,379,727			115,223,447
Reinvestment of dividends and distributions into GS2 shares		3,938,416			2,655,905			21,106,662			12,765,942
Value of GS2 shares redeemed		(6,733,659	)		(5,340,931	)		(16,456,454	)		(12,719,755	)

Net increase from capital share transactions (See Footnote 7)		3,569,086			23,595,223			23,029,935			115,269,634

Total increase in net assets		2,956,755			22,783,955			23,207,603			117,077,708


Net Assets:
Beginning of Period		54,231,430			31,447,475			239,243,612			122,165,904

End of Period*	$	57,188,185		$	54,231,430		$	262,451,215		$	239,243,612

*Including undistributed (distributions in excess of) net investment income	$	81		$	—		$	—		$	—

⁽¹⁾	Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds.


42		See Notes to Financial Statements.


Capital Opportunities Fund I					Global Equity Fund I
For the Year Ended					For the Year Ended
12/31/06		12/31/05			12/31/06			12/31/05
$	4,666,539	$	3,555,535		$	1,956,536		$	1,566,580
	14,788,669		7,661,333			15,548,662			7,058,840
	(1,169,345)		1,249,654			(813,574	)		3,271,382

	18,285,863		12,466,522			16,691,624			11,896,802

	(6,115,489)		(4,846,404	)		(3,422,335	)		(2,745,940	)
	(8,535,324)		(1,893,666	)		(8,647,866	)		(1,346,880	)

	(14,650,813)		(6,740,070	)		(12,070,201	)		(4,092,820	)

	18,830,322		85,516,600			11,000,461			87,397,534
	14,650,813		6,740,071			12,070,201			4,092,820
	(9,428,660)		(8,741,940	)		(11,299,905	)		(7,011,778	)

	24,052,475		83,514,731			11,770,757			84,478,576

	27,687,525		89,241,183			16,392,180			92,282,558

	159,848,824		70,607,641			125,825,699			33,543,141

$	187,536,349	$	159,848,824		$	142,217,879		$	125,825,699

$	—	$	539		$	519		$	170


		See Notes to Financial Statements.		43

FINANCIAL HIGHLIGHTS

For a Share Outstanding Throughout the Years Ending 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, Excluding Waivers and Expense Reduction (1)(4)		Portfolio Turnover Rate (3)
Flexible Income Fund I
GS2 Class
2006	$	10.15	$	0.46		$	0.19	$	(0.02	)	$	(0.49	)	$	(0.24	)	$	10.05	6.21	%	$	57,188	0.17	%	0.17	%	0.30	%	4.53	%	4.40	%	16	%
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(6)		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	$	11.32	$	0.46	#	$	0.45	$	0.09		$	(0.50	)	$	(0.47	)	$	11.35	8.85	%	$	262,451	0.17	%	0.17	%	0.18	%	3.93	%	3.92	%	13	%
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(6)		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	$	12.62	$	0.34		$	0.73	$	0.35		$	(0.44	)	$	(0.64	)	$	12.96	11.21	%	$	187,536	0.17	%	0.17	%	0.20	%	2.73	%	2.70	%	9	%
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(6)		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	$	14.01	$	0.21		$	1.09	$	0.57		$	(0.36	)	$	(0.96	)	$	14.56	13.33	%	$	142,218	0.17	%	0.17	%	0.21	%	1.47	%	1.43	%	8	%
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(6)		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)	Inception date was July 1, 2003.


44		See Notes to Financial Statements.

Money Market Fund

The Fund is comprised of a broad range of high quality, short-term money market instruments. The Fund posted a positive return and performed as expected relative to its benchmark index, the Citigroup 3-month T-bill Index for the fourth quarter and year. The Fund, benefiting from higher short-term interest rates in response to Fed tightenings, generated an annual return of 4.72%, the Fund’s highest calendar year annual return since its inception. The Fund’s 7-day annualized yield also increased materially during the year. As evidence, the Fund’s annualized yield was 4.91% at year-end, compared to 3.92% one year ago. The average weighted maturity of the Fund was 37 days at quarter-end, a slight decrease from 42 days at September 30, 2006. Maturities within the Fund remained fairly concentrated between 15 and 90 days. At year-end, major sector holdings were commercial paper, floating rate corporate/bank notes and certificate and time deposits. During the quarter, the percentage of assets invested in commercial paper decreased while the allocation to floating rate notes increased. At the sub-adviser level, BlackRock utilized several strategies that added incremental excess return relative to the benchmark index. In response to expectations of relatively stable monetary policy, a laddered portfolio structure was maintained throughout the quarter. Available cash was deployed in commercial paper and certificates of deposit in the 30-90 day range at a premium over the federal funds target rate. Securities due in the 90-day range and variable rate obligations were also added during the fourth quarter.

Please see page 48 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.

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.

Money Market Fund


Average Annual Total Returns as of 12/31/06
	GS2 Class*		GS4 Class*		GS6 Class*		Benchmark**		GS8 Class*		GS8 Class Benchmark**
One Year	4.92	%	4.72	%	4.29	%	4.76	%	3.98	%	4.76	%
Five Year	2.39	%	2.20	%	1.88	%	2.35	%	N/A		N/A
Since Inception	2.36	%	2.23	%	1.91	%	2.38	%	2.91	%	3.74	%
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 12/31/06
GS2 Class*		GS4 Class*		GS6 Class*		GS8 Class*
5.11	%	4.91	%	4.50	%	4.20	%

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.GuideStone.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.

*	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.


Money Market Fund
SCHEDULE OF INVESTMENTS		December 31, 2006


	Par		Value
CERTIFICATES OF DEPOSIT — 12.9%
Barclays Bank PLC NY
5.32%, 01/12/07	$	15,000,000	$	15,000,000
5.30%, 03/06/07		35,000,000		35,000,000
Mizuho Corporate Bank NY
5.33%, 02/26/07		9,000,000		9,000,000
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
Washington Mutual Bank FA
5.33%, 02/16/07		50,000,000		50,000,000


Total Certificates of Deposit
(Cost $134,540,000)				134,540,000


COMMERCIAL PAPER — 65.9%
BASF AG
5.25%, 01/17/07		9,825,000		9,802,075
Bear Stearns Co., Inc.
5.24%, 01/30/07		31,000,000		30,869,146
5.25%, 02/09/07		4,000,000		3,977,250
Beethoven Funding Corporation
5.25%, 03/01/07		29,178,000		28,926,948
5.25%, 03/05/07		21,000,000		20,807,062
CIT Group, Inc.
5.25%, 02/20/07		13,279,000		13,182,174
Citigroup Funding, Inc.
5.24%, 01/08/07		5,700,000		5,694,192
5.25%, 01/23/07		32,000,000		31,897,333
Countrywide Financial Corporation
5.40%, 01/02/07		27,223,000		27,218,917
Crown Point Capital Co. LLC
5.26%, 01/16/07		3,000,000		2,993,425
DEPFA Bank PLC
5.26%, 01/25/07		17,000,000		16,940,387
Dorada Finance, Inc.
5.26%, 01/22/07		12,175,000		12,137,643
Erasmus Capital Corporation
5.26%, 03/15/07		25,000,000		24,733,347
5.27%, 03/19/07		13,365,000		13,214,350
Five Finance, Inc.
5.26%, 02/14/07		9,000,000		8,942,140
General Electric Capital Services, Inc.
5.24%, 02/08/07		29,000,000		28,839,598
5.25%, 02/14/07		5,000,000		4,967,917
Grampian Funding LLC
5.25%, 02/06/07		18,000,000		17,905,500
HBOS Treasury Services PLC
5.25%, 01/22/07		35,000,000		34,892,915
Hudson-Thames LLC
5.27%, 03/20/07		8,000,000		7,908,653
Irish Life & Permanent PLC
5.25%, 01/31/07		22,000,000		21,903,750
5.25%, 04/11/07		9,000,000		8,868,750
K2 (USA) LLC
5.26%, 01/18/07		11,400,000		11,371,684
Lake Constance Funding LLC
5.25%, 03/08/07		25,000,000		24,759,375
Lehman Brothers Holdings, Inc.
5.36%, 04/12/07†		23,000,000		23,000,000
Links Finance LLC
5.26%, 01/12/07		22,000,000		21,964,675
Lockhart Funding LLC
5.29%, 02/05/07		11,000,000		10,943,426
Metlife Funding, Inc.
5.24%, 01/17/07		6,000,000		5,986,027
Morgan Stanley
5.37%, 05/16/07		25,000,000		25,000,000
5.37%, 07/09/07		8,000,000		8,000,000
Nationwide Building Society
5.25%, 01/30/07		28,000,000		27,881,583
Nestle Capital Corporation
5.23%, 03/15/07		28,000,000		27,703,052
Societe Generale NA
5.25%, 03/08/07		14,000,000		13,865,250
Solitaire Funding LLC
5.27%, 01/22/07		3,000,000		2,990,778
Surrey Funding Corporation
5.25%, 01/12/07		42,000,000		41,932,625
UBS Finance Delaware LLC
5.24%, 01/24/07		40,000,000		39,866,089
Unicredito Italiano Bank (Ireland) PLC
5.38%, 01/22/07		11,100,000		11,065,164
5.38%, 01/25/07		12,900,000		12,853,732


Total Commercial Paper
(Cost $685,806,932)				685,806,932


MASTER NOTES — 5.2%
Citigroup Global Markets, Inc.
5.38%, 01/02/07†		15,000,000		15,000,000
Goldman Sachs Group
5.37%, 01/24/07†@		21,150,000		21,150,000
Morgan Stanley Mortgage Capital, Inc.
5.48%, 01/02/07†		5,075,000		5,075,000
5.42%, 01/05/07†		12,591,000		12,591,000


Total Master Notes
(Cost $53,816,000)				53,816,000


MUNICIPAL BOND — 0.9%
Bergen County, New Jersey Improvement Authority, Series D Revenue Bond (Wachovia Bank NA Insured)
5.40%, 01/04/07†
(Cost $10,000,000)		10,000,000		10,000,000


VARIABLE RATE OBLIGATIONS — 14.9%
Allstate Life Global Funding II
5.36%, 01/29/07 144A†		20,000,000		20,000,000
American Honda Finance Corporation
5.47%, 03/08/07 144A†		35,000,000		35,009,797
Bear Stearns Co., Inc.
5.41%, 01/29/07†		10,000,000		10,000,000
Bosma Industries for the Blind, Inc.
5.50%, 01/04/07†		785,000		785,000
General Electric Capital Corporation
5.48%, 01/17/07†		2,240,000		2,240,994
5.31%, 01/24/07†		5,500,000		5,500,000
Lehman Brothers Holdings, Inc.
5.50%, 02/15/07†		15,000,000		15,002,258
Merrill Lynch & Co., Inc.
5.34%, 02/28/07†		10,000,000		10,000,000


		See Notes to Financial Statements.		47


Money Market Fund
SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Metropolitan Life Global Funding I
5.45%, 01/29/07 144A†	$	10,000,000	$	10,000,000
Park Street Properties I LLC
5.35%, 01/03/07†		450,000		450,000
Principal Life Income Funding Trusts
5.38%, 03/07/07†		6,400,000		6,403,551
Racers Trust
5.37%, 01/22/07 144A†		8,600,000		8,600,000
SDB Capital LLC
5.35%, 01/04/07†		11,615,000		11,615,000
Shipley Group LP
5.50%, 01/04/07†		1,300,000		1,300,000
Skandinaviska Enskilda Banken AB
5.34%, 03/08/07 144A†		10,000,000		10,000,000
Westpac Banking Corporation
5.39%, 03/12/07†		8,250,000		8,250,000

Total Variable Rate Obligations
(Cost $155,156,600)				155,156,600

TOTAL INVESTMENTS — 99.8%
(Cost $1,039,319,532)				1,039,319,532

Other Assets in Excess of Liabilities — 0.2%				2,062,920

NET ASSETS — 100.0%			$	1,041,382,452


PORTFOLIO SUMMARY (based on net assets)

		%
Commercial Paper		65.9
Variable Rate Obligations		14.9
Certificates of Deposit		12.9
Master Notes		5.2
Municipal Bond		0.9

		99.8


48		See Notes to Financial Statements.

Low-Duration Bond Fund

The Fund is comprised of high quality, fixed income securities primarily with shorter maturities. The Fund posted a positive return but slightly underperformed its benchmark index, the Merrill Lynch 1-3 Year Treasury Index, during the fourth quarter and year. Active management added value during the year but was not quite enough to overcome expenses. 2006 was the best performing year for low-duration bonds since 2002. The Fund’s benchmark relative performance was positively impacted by its underweight to the Treasury sector and significant overweights to higher yielding sectors such as mortgages, corporates and asset-backed securities. Longer-than-benchmark duration positions by several sub-advisers during the quarter negatively impacted performance as interest rates rose, especially during December. Two of the three sub-advisers outpaced the benchmark during the quarter. Payden & Rygel delivered the strongest benchmark relative performance due to allocations to yield-enhancing sectors such as mortgages, corporates and asset-backed securities. This exposure generated higher income relative to the benchmark.

Please see page 59 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.

Low-Duration Bond Fund


Average Annual Total Returns as of 12/31/06
	GS2 Class*		GS4 Class*		GS6 Class*		Benchmark**		GS8 Class*		GS8 Class Benchmark**
One Year	3.94	%	3.75	%	3.43	%	3.96	%	3.04	%	3.96	%
Five Year	3.09	%	2.92	%	2.67	%	2.82	%	N/A		N/A
Since Inception	3.18	%	3.10	%	2.79	%	3.14	%	1.78	%	2.63	%
Inception Date	08/27/01		08/27/01		08/27/01		08/27/01		11/08/04		11/08/04

*	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.


Low-Duration Bond Fund
SCHEDULE OF INVESTMENTS		December 31, 2006


		Par		Value
AGENCY OBLIGATION — 0.1%
Small Business Administration
6.95%, 11/10/16
(Cost $1,067,305)		$	1,051,876	$	1,088,582

ASSET-BACKED SECURITIES — 23.3%
Accredited Mortgage Loan Trust
5.42%, 09/25/35 STEP			378,806		378,840
ACE Securities Corporation
5.55%, 04/25/35†			2,102,799		2,104,049
Amresco Independence Funding, Inc.
6.75%, 06/15/26 144A†			693,749		691,497
Argent Securities, Inc.
5.45%, 11/25/35†			187,286		187,304
Asset-Backed Securities Corporation Home Equity
5.60%, 09/25/34†			371,151		370,952
5.37%, 11/25/36†			1,653,570		1,653,596
BA Credit Card Trust
4.72%, 05/15/13			2,725,000		2,691,789
Bear Stearns Asset-Backed Securities, Inc.
5.43%, 02/25/29†			1,220,359		1,220,532
5.44%, 11/25/35†			1,495,468		1,495,770
5.43%, 01/25/36†			2,942,216		2,942,629
5.37%, 11/25/36†			1,640,131		1,639,620
Business Loan Express
7.25%, 01/01/25 144A†			389,289		378,693
Capital Auto Receivables Asset Trust
2.00%, 11/15/07D			103,305		103,167
3.35%, 02/15/08			1,653,219		1,647,795
4.05%, 07/15/09‡‡			2,575,000		2,557,015
5.31%, 10/20/09 144A			1,900,000		1,900,182
5.32%, 03/20/10 144A			2,300,000		2,302,603
Carrington Mortgage Loan Trust
5.42%, 04/25/36†			1,132,117		1,132,360
Chase Issuance Trust
3.22%, 06/15/10			2,425,000		2,387,379
5.37%, 02/15/12†			1,725,000		1,726,770
Chase Manhattan Auto Owner Trust
5.13%, 05/15/11			1,500,000		1,499,988
5.11%, 04/15/14			1,500,000		1,502,680
Citibank Credit Card Issuance Trust
2.55%, 01/20/09			3,025,000		3,020,755
5.44%, 03/20/09†			1,800,000		1,800,365
Citigroup Mortgage Loan Trust, Inc.
5.41%, 04/25/36 STEP			1,347,915		1,348,165
CNH Equipment Trust
3.48%, 09/15/11			1,350,000		1,321,253
Countrywide Asset-Backed Certificates
5.50%, 03/25/25†			1,085,322		1,085,496
5.44%, 02/01/27†			1,515,538		1,515,788
5.44%, 11/25/28†			782,376		782,502
DaimlerChrysler Auto Trust
3.49%, 12/08/08			921,579		916,599
5.33%, 08/08/10			2,825,000		2,830,733
Discover Card Master Trust I
5.36%, 09/16/10†			2,425,000		2,426,375
Encore Credit Receivables Trust
5.45%, 01/01/36†			311,269		311,301
FHLMC Structured Pass-Through Securities
5.61%, 08/25/31†			1,907,352		1,915,835
Fieldstone Mortgage Investment Corporation
5.47%, 02/25/36 STEP			1,330,280		1,330,468
First Franklin Mortgage Loan Asset-Backed Certificates
5.37%, 11/25/36†			1,845,890		1,845,920
5.37%, 12/25/36†			1,648,919		1,648,794
Ford Credit Auto Owner Trust
4.24%, 03/15/08			447,780		447,353
5.26%, 10/15/10			3,825,000		3,827,630
5.25%, 09/15/11			2,900,000		2,905,559
Fremont Home Loan Trust
5.37%, 10/25/36†			436,198		436,205
GE Capital Credit Card Master Note Trust
5.08%, 09/15/12			2,500,000		2,503,206
Green Tree Financial Corporation
6.04%, 11/01/29			37,975		38,251
GSAA Trust
5.67%, 12/25/34†			1,116,617		1,118,219
GSAMP Trust
5.46%, 09/25/35†			63,346		63,341
5.42%, 01/25/36†			460,455		460,462
Harley-Davidson Motorcycle Trust
5.22%, 06/15/13			2,650,000		2,660,133
Home Equity Asset Trust
5.47%, 01/25/36†			1,101,742		1,101,944
5.46%, 02/25/36†			603,260		603,398
Honda Auto Receivables Owner Trust
2.40%, 02/21/08			571,775		570,085
3.30%, 06/15/08			1,126,035		1,120,006
5.10%, 09/18/08			3,270,466		3,267,401
2.91%, 10/20/08			1,444,767		1,430,584
3.53%, 10/21/08			1,631,920		1,620,704
3.87%, 04/20/09			2,850,374		2,825,479
4.46%, 05/20/09			2,425,000		2,409,476
Hyundai Auto Receivables Trust
5.13%, 02/16/09			440,336		439,992
IFC SBA Loan-Backed Adjustable Rate Certificate
6.25%, 01/15/24 144A†			446,503		446,503
Indymac Residential Asset-Backed Trust
5.41%, 06/25/36†			1,133,112		1,133,324
JP Morgan Mortgage Acquisition Corporation
5.43%, 05/25/25 STEP			673,977		674,069
Long Beach Auto Receivables Trust
5.17%, 08/15/11			4,100,000		4,099,845
Long Beach Mortgage Loan Trust
5.42%, 03/25/36 STEP	��		1,603,232		1,603,490
5.38%, 06/25/36†			369,390		369,433
5.36%, 11/25/36†			1,268,763		1,268,783


See Notes to Financial Statements.		51


Low-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
MASTR Asset-Backed Securities Trust
5.42%, 12/25/35†	$	1,416,045	$	1,416,302
MBNA Credit Card Master Note Trust
5.85%, 03/15/10†		1,800,000		1,806,013
Merrill Lynch Mortgage Investors, Inc.
5.35%, 06/25/37†		1,301,700		1,301,800
Morgan Stanley ABS Capital I
5.45%, 05/25/32 STEP		938,398		938,587
5.38%, 06/25/36†		2,407,380		2,407,420
5.39%, 06/25/36†		137,252		137,255
Nelnet Student Loan Trust
5.35%, 10/27/14†		6,034,902		6,034,902
5.39%, 01/26/15†		4,430,507		4,432,096
5.47%, 07/25/16†		900,000		901,979
5.47%, 10/25/16†		1,808,825		1,808,775
New Century Home Equity Loan Trust
5.43%, 01/25/36 STEP		1,066,499		1,066,678
Nissan Auto Receivables Owner Trust
2.70%, 12/17/07		109,975		109,862
5.18%, 08/15/08		3,700,000		3,697,110
Nomura Home Equity Loan, Inc.
5.43%, 02/25/36†		1,233,761		1,234,021
5.39%, 03/25/36†		2,649,515		2,649,842
Novastar Home Equity Loan
5.40%, 06/25/36†		1,937,890		1,938,023
Option One Mortgage Loan Trust
5.45%, 11/25/35 STEP		933,080		933,197
5.40%, 07/25/36†		991,213		991,289
5.36%, 02/25/37†		1,601,912		1,601,812
Ownit Mortgage Loan Asset-Backed Certificates
5.47%, 08/25/36†		1,352,742		1,352,964
PBG Equipment Trust
6.27%, 01/20/12 144A		254,867		255,024
People’s Choice Home Loan Securities Trust
5.47%, 08/25/35 STEP		397,725		397,766
Popular ABS Mortgage Pass-Through Trust
5.60%, 09/25/34†		1,103,380		1,103,857
Quest Trust
5.88%, 06/25/34 144A†		135,486		135,892
Renaissance Home Equity Loan Trust
5.43%, 05/25/36†		1,496,498		1,496,920
Residential Asset Mortgage Products, Inc.
5.46%, 05/25/25 STEP		496,087		496,142
5.43%, 07/25/36†		2,738,464		2,738,689
Residential Asset Securities Corporation
5.42%, 04/25/36 STEP		752,745		752,937
SACO I, Inc.
5.46%, 11/25/35†		340,007		340,017
Saxon Asset Securities Trust
5.41%, 03/25/36 STEP		1,758,063		1,758,183
Securitized Asset-Backed Receivables LLC Trust
5.37%, 05/25/36†		2,151,573		2,151,764
SG Mortgage Securities Trust
5.42%, 09/25/35†		249,184		249,205
SLC Student Loan Trust
5.33%, 12/15/10†		1,095,533		1,095,036
SLM Student Loan Trust
5.56%, 01/25/13†		2,495,569		2,499,682
5.35%, 07/25/13†		7,878,636		7,877,968
5.37%, 10/25/18†		2,536,443		2,535,650
Soundview Home Equity Loan Trust
5.42%, 04/25/36†		741,444		741,552
Specialty Underwriting & Residential Finance
5.47%, 06/25/36†		866,830		866,933
5.35%, 06/25/37†		541,514		541,557
5.40%, 11/25/37†		1,635,115		1,634,348
Structured Asset Investment Loan Trust
5.42%, 03/25/36 STEP		1,371,278		1,371,371
5.37%, 07/25/36†		585,576		585,585
Structured Asset Receivables Trust
5.11%, 04/21/11 144A†		3,242,274		3,241,261
Structured Asset Securities Corporation
4.90%, 04/25/35†		1,928,078		1,863,203
5.37%, 10/25/36†		1,762,790		1,762,949
USAA Auto Owner Trust
2.06%, 04/15/08		27,774		27,736
3.03%, 06/16/08		486,322		485,097
3.16%, 02/17/09		1,388,651		1,378,857
5.31%, 03/16/09		3,700,000		3,700,055
3.90%, 07/15/09		2,177,636		2,161,201
4.89%, 08/15/12		2,500,000		2,488,340
Wachovia Auto Loan Owner Trust
5.08%, 04/20/12 144A		3,000,000		2,996,718
Wachovia Student Loan Trust
5.36%, 10/25/13 144A†		824,442		824,442
Whole Auto Loan Trust
3.26%, 03/15/11		4,000,000		3,930,976


Total Asset-Backed Securities
(Cost $189,575,715)				189,307,274


CORPORATE BONDS — 11.5%
Abbott Laboratories
5.38%, 05/15/09D		690,000		694,475
American Express Centurion Bank
5.35%, 05/07/08†		1,900,000		1,900,868
American International Group, Inc.
2.88%, 05/15/08		1,410,000		1,364,653
Anadarko Petroleum Corporation
5.76%, 09/15/09†		925,000		929,465
ASIF Global Financing XXIII
3.90%, 10/22/08 144A		420,000		409,903
Bank One Corporation
2.63%, 06/30/08D		360,000		346,312
6.00%, 08/01/08		550,000		557,009


52		See Notes to Financial Statements.


	Par		Value
BellSouth Corporation
4.20%, 09/15/09	$	2,217,000	$	2,156,580
Burlington Northern Santa Fe Corporation
7.88%, 04/15/07		1,900,000		1,912,211
Caterpillar Financial Services Corporation
5.45%, 10/28/08†		5,500,000		5,511,511
Citigroup, Inc.
3.50%, 02/01/08		1,600,000		1,571,618
3.63%, 02/09/09D		2,750,000		2,670,005
Clorox Co.
5.49%, 12/14/07†		1,500,000		1,502,031
Comcast LCI Holdings
7.63%, 02/15/08		725,000		742,117
ConocoPhillips Australia Funding Co.
5.47%, 04/09/09†		1,100,000		1,101,576
Countrywide Home Loans, Inc.
3.25%, 05/21/08D		2,094,000		2,036,377
CSX Corporation
6.25%, 10/15/08		1,710,000		1,734,718
DaimlerChrysler NA Holding Corporation
5.83%, 09/10/07†		3,800,000		3,809,002
4.05%, 06/04/08		1,130,000		1,106,235
Dominion Resources, Inc.
5.66%, 09/28/07†		3,500,000		3,502,146
Federated Department Stores, Inc.
6.63%, 09/01/08		150,000		152,499
FedEx Corporation
5.46%, 08/08/07†		1,800,000		1,802,542
Gannett Co., Inc.
4.13%, 06/15/08D		2,390,000		2,342,972
General Electric Capital Corporation
8.75%, 05/21/07		610,000		617,767
3.45%, 07/16/07		1,300,000		1,287,667
5.42%, 01/15/08†D		5,275,000		5,281,604
9.83%, 12/15/08		350,000		379,816
5.40%, 03/16/09†		3,800,000		3,803,409
Golden West Financial Corporation
4.13%, 08/15/07		310,000		307,574
HSBC Bank USA NA
5.46%, 09/21/07†		400,000		400,437
HSBC Finance Corporation
6.40%, 06/17/08		2,390,000		2,427,456
4.13%, 12/15/08D		700,000		686,416
4.13%, 11/16/09		700,000		681,003
Kellogg Co.
2.88%, 06/01/08		1,950,000		1,882,774
May Department Stores Co. (The)
3.95%, 07/15/07		1,370,000		1,356,852
Merrill Lynch & Co., Inc.
4.83%, 10/27/08		1,720,000		1,709,740
5.46%, 08/14/09†		3,700,000		3,704,111
MidAmerican Energy Holdings Co.
3.50%, 05/15/08D		1,236,000		1,205,534
Oracle Corporation and Ozark Holding, Inc.
5.00%, 01/15/11 144AD		450,000		445,872
PSEG Funding Trust I
5.38%, 11/16/07		275,000		274,481
SLM Corporation
4.00%, 01/15/09		2,151,000		2,104,246
Sprint Capital Corporation
6.38%, 05/01/09D		1,080,000		1,102,213
Time Warner, Inc.
5.61%, 11/13/09†		5,600,000		5,608,058
Transocean, Inc.
5.57%, 09/05/08†		1,900,000		1,902,052
U.S. Bancorp
5.38%, 04/28/09†		3,700,000		3,703,829
U.S. Bank NA
6.50%, 02/01/08		580,000		585,295
U.S. Central Federal Credit Union
2.75%, 05/30/08		610,000		586,709
Union Pacific Corporation
5.75%, 10/15/07		375,000		375,274
6.79%, 11/09/07D		650,000		656,391
Verizon Global Funding Corporation
6.13%, 06/15/07D		875,000		877,306
5.50%, 08/15/07†		5,400,000		5,400,022
Wachovia Corporation
3.50%, 08/15/08D		540,000		525,216
Washington Mutual Bank
5.42%, 11/16/07†D		3,800,000		3,803,808


Total Corporate Bonds
(Cost $93,794,160)				93,539,757


FOREIGN BONDS — 6.4%
Cayman Islands — 0.3%
Petroleum Export, Ltd.
4.62%, 06/15/10 144A		1,322,222		1,302,062
4.63%, 06/15/10 144A		1,322,222		1,302,076

				2,604,138


France — 0.9%
French Treasury Bill
3.08%, 02/08/07(E)		1,380,000		1,815,286
French Treasury Note
2.25%, 03/12/07(E)		3,940,000		5,186,674

				7,001,960


Germany — 3.6%
Bundesobligation
4.00%, 02/16/07(E)		5,450,000		7,197,338
Bundesrepublik Deutschland
6.00%, 01/04/07(E)		13,960,000		18,435,198
German Treasury Bill
2.47%, 01/17/07(E)W		2,700,000		3,559,381

				29,191,917


Italy — 0.2%
Telecom Italia Capital SA
4.00%, 11/15/08D		2,000,000		1,948,566


Luxembourg — 0.6%
Unicredito Luxembourg Finance SA
5.43%, 10/24/08 144A†		3,800,000		3,801,854


		See Notes to Financial Statements.		53


Low-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
VTB Capital SA for Vneshtorgbank
5.97%, 08/01/08 144A†	$	800,000	$	801,400

				4,603,254


Netherlands — 0.2%
Deutsche Telekom International Finance BV
3.88%, 07/22/08		1,770,000		1,732,988


New Zealand — 0.1%
General Electric Capital Corporation
6.50%, 09/28/15(Z)D		1,185,000		807,879


Norway — 0.2%
Eksportfinans
3.38%, 01/15/08		1,630,000		1,598,976


South Korea — 0.2%
Export-Import Bank of Korea
5.59%, 10/04/11 144A†		1,700,000		1,701,744


United Kingdom — 0.1%
Nationwide Building Society
3.50%, 07/31/07 144A		325,000		321,541
Vodafone Group PLC
3.95%, 01/30/08D		230,000		226,621

				548,162


Total Foreign Bonds
(Cost $51,066,010)				51,739,584


MORTGAGE-BACKED SECURITIES — 50.0%
Adjustable Rate Mortgage Trust
5.62%, 11/25/35 STEP		1,654,863		1,657,486
American Home Mortgage Assets
5.62%, 11/25/35†		1,892,166		1,895,529
American Home Mortgage Investment Trust
4.29%, 10/25/34†		1,990,204		1,954,256
Arkle Master Issuer PLC
5.33%, 11/19/07 144A†		1,800,000		1,803,103
Banc of America Commercial Mortgage, Inc.
3.88%, 09/11/36		2,324,349		2,243,503
Banc of America Funding Corporation
4.58%, 12/20/36†		2,993,410		2,948,977
Bank of America Mortgage Securities
6.50%, 10/01/19		697,668		707,040
Bear Stearns Adjustable Rate Mortgage Trust
3.61%, 12/01/33†		1,700,072		1,696,121
4.64%, 01/25/34†		880,478		877,879
4.01%, 07/25/34†		2,254,974		2,203,024
Bear Stearns Alt-A Trust
5.72%, 06/25/34†		1,556,023		1,560,127
6.20%, 05/25/36†		2,530,859		2,548,652
Bear Stearns Commercial Mortgage Securities
5.46%, 03/15/19 144A†		1,900,000		1,900,055
3.87%, 02/11/41		3,650,000		3,551,413
Chase Commercial Mortgage Securities Corporation
7.76%, 04/15/32		1,778,017		1,878,547
Citigroup Commercial Mortgage Trust
4.15%, 09/20/49 144A		1,044,040		1,025,141
Commercial Mortgage Acceptance Corporation
6.03%, 09/15/30		1,041,889		1,045,860
Commercial Mortgage Pass-Through Certificates
7.42%, 08/15/33		2,176,164		2,277,856
Countrywide Alternative Loan Trust
6.00%, 10/25/32		379,998		380,400
5.50%, 05/31/35		1,584,371		1,579,352
Countrywide Home Loan Mortgage Pass-Through Trust
4.25%, 09/25/33†		2,947,411		2,929,721
5.62%, 01/25/35 STEP		531,214		531,997
CS First Boston Mortgage Securities Corporation
4.30%, 07/15/36		1,000,000		976,640
Deutsche ALT-A Securities, Inc.
5.43%, 03/30/36†		1,622,991		1,623,464
DLJ Commercial Mortgage Corporation
7.18%, 11/10/33		2,144,241		2,261,442
Federal Home Loan Mortgage Corporation
8.50%, 12/01/07		1,361		1,368
8.50%, 01/01/08		1,465		1,473
8.00%, 05/01/08		4,807		4,843
8.75%, 07/01/08		1,856		1,890
8.00%, 01/01/09		1,030		1,037
7.50%, 03/01/09		10,030		10,089
3.50%, 10/15/10		2,133,003		2,124,634
16.25%, 07/01/11		211		229
15.25%, 08/01/11		1,490		1,695
5.38%, 09/15/11		5,955,876		5,954,414
4.00%, 08/01/15		2,291,701		2,194,771
5.00%, 11/15/16		2,211,589		2,194,117
3.50%, 12/01/18		3,462,689		3,193,108
10.75%, 02/01/19		85,060		91,005
4.25%, 06/15/24		2,162,487		2,131,648
7.10%, 07/01/27†		47,723		48,776
5.50%, 10/15/27		2,669,580		2,675,926
5.61%, 06/01/28†		347,724		346,272
5.70%, 12/15/30†		1,345,748		1,347,877
6.00%, 04/01/33		1,671,635		1,689,080
4.57%, 06/01/33†		4,336,315		4,312,652
3.98%, 04/01/34†		3,445,269		3,388,449
4.39%, 10/01/34†		1,115,618		1,100,027
5.50%, 05/15/35		2,244,829		2,251,193
4.72%, 08/01/35†		3,025,251		3,003,855
4.78%, 08/01/35†		2,618,538		2,602,621
9.45%, 08/01/35 IOW		2,564,041		596,873
4.82%, 10/01/35†		1,475,571		1,472,517
5.04%, 12/01/35†		7,381,409		7,298,549
5.22%, 02/01/36†		4,574,021		4,555,352
5.88%, 04/01/36†		4,614,093		4,679,868
6.09%, 10/01/36†		3,797,760		3,830,305
6.04%, 11/01/36†		6,750,000		6,818,030
Federal Housing Authority
7.43%, 09/01/22		1,707		1,722
Federal National Mortgage Association
6.00%, 08/01/08		93,429		93,411


54		See Notes to Financial Statements.


	Par		Value
6.50%, 11/01/08	$	122,165	$	122,529
5.50%, 12/01/17		8,227,388		8,247,022
4.00%, 07/01/18		213,372		201,488
4.00%, 08/01/18		856,617		808,904
4.00%, 05/01/19		4,686,194		4,416,468
4.00%, 06/01/19		7,772,595		7,325,223
4.00%, 08/01/19		424,272		399,852
4.00%, 10/01/19		1,480,292		1,395,090
4.00%, 11/25/19		739,037		675,721
4.00%, 12/01/19		1,018,304		959,693
4.00%, 01/01/20		225,390		212,212
4.00%, 07/01/20		55,610		52,359
6.00%, 01/01/22 TBA		9,100,000		9,225,125
5.75%, 08/25/23		1,327,036		1,324,560
6.57%, 12/01/24†		191,915		191,249
9.00%, 05/01/25		91,793		99,202
9.00%, 07/01/25		110,622		119,357
5.92%, 05/25/30†		2,613,903		2,628,919
6.00%, 05/25/30†		2,652,917		2,657,144
5.60%, 09/25/30†		150,763		150,833
5.50%, 01/01/31 TBA		15,600,000		15,414,750
7.10%, 09/01/31†		123,328		124,729
3.31%, 03/25/32		486,908		448,671
4.25%, 04/01/33†		847,984		847,197
4.15%, 06/01/33†		283,578		279,963
5.50%, 06/01/33		27,020		26,744
5.50%, 07/01/33		26,086		25,820
4.24%, 10/01/33†		1,752,747		1,734,403
5.50%, 10/01/33		137,362		135,962
4.28%, 12/01/33†		576,372		571,908
4.50%, 06/01/34		73,420		68,979
5.75%, 08/25/34		1,066,668		1,063,743
4.50%, 09/01/34		278,702		261,546
4.94%, 09/01/34†		1,403,938		1,395,745
5.09%, 09/01/34†		935,177		932,543
4.76%, 10/01/34†		1,482,855		1,467,977
5.11%, 10/01/34†		1,691,260		1,685,797
9.88%, 11/01/34 IOW		2,184,607		504,119
4.50%, 12/01/34		92,222		86,545
4.50%, 02/01/35		3,277,927		3,072,650
4.50%, 03/01/35		1,921,546		1,801,210
4.50%, 04/01/35		3,120,184		2,924,786
4.50%, 05/01/35		1,140,654		1,069,223
4.50%, 06/01/35		66,691		62,514
4.86%, 06/01/35†		2,316,018		2,294,652
4.50%, 08/01/35		1,901,330		1,782,259
4.69%, 08/01/35†		6,262,702		6,186,735
4.40%, 09/01/35†		3,001,928		2,945,866
4.50%, 09/01/35		1,168,442		1,095,270
4.64%, 09/01/35†		3,913,049		3,863,012
7.50%, 09/01/35		2,295,693		2,386,134
4.50%, 10/01/35		838,417		785,912
5.33%, 10/01/35†		2,398,296		2,377,667
4.50%, 11/01/35		717,416		672,488
4.88%, 12/01/35†		324,778		323,839
5.50%, 01/12/36 TBA		200,000		197,625
6.50%, 01/12/36 TBA		6,000,000		6,112,500
6.00%, 02/01/36		973,919		980,727
4.50%, 06/01/36		58,208		54,540
4.50%, 07/01/36		905,775		848,692
6.00%, 07/01/36		2,948,756		2,968,722
6.00%, 08/01/36		1,962,298		1,975,584
5.93%, 09/01/36†		4,280,914		4,317,209
6.00%, 10/01/36		10,866,863		10,940,439
8.84%, 10/01/36 IOW		2,469,574		603,116
5.00%, 01/01/37 TBA		6,000,000		5,791,872
6.00%, 01/11/37 TBA		1,000,000		1,006,562
6.14%, 04/01/40†		444,555		453,016
6.03%, 07/01/44†		742,100		747,431
6.50%, 12/31/49		3,748,000		3,789,195
FHLMC Structured Pass-Through Securities
6.35%, 05/25/43†		2,192,669		2,235,326
6.16%, 07/25/44†		4,615,076		4,637,040
First Horizon Alternative Mortgage Securities
4.75%, 06/25/34†		1,117,891		1,110,069
First Horizon Asset Securities, Inc.
5.34%, 10/25/35†		3,507,263		3,494,756
General Electric Capital Commercial Mortgage Corporation
5.56%, 06/10/38		773,774		778,503
4.35%, 06/10/48		2,870,000		2,799,762
GMAC Commercial Mortgage Securities, Inc.
7.72%, 03/15/33		2,120,000		2,244,122
7.18%, 08/15/36		1,267,314		1,312,582
Government National Mortgage Association
6.00%, 12/15/08		124,368		124,786
6.00%, 02/15/11		215,396		216,464
5.38%, 06/20/17†		26,582		26,707
5.38%, 06/20/21†		13,050		13,162
5.13%, 10/20/27†		94,520		95,744
8.50%, 10/15/29		88,481		94,925
8.50%, 01/15/30		42,343		45,436
5.95%, 02/16/30†		357,647		361,843
8.50%, 03/15/30		5,327		5,717
8.50%, 04/15/30		14,998		16,093
8.50%, 05/15/30		161,642		173,449
8.50%, 06/15/30		45,408		48,724
8.50%, 07/15/30		168,172		180,452
8.50%, 08/15/30		30,357		32,574
8.50%, 09/15/30		5,088		5,460
8.50%, 10/15/30		46,390		49,779
8.50%, 11/15/30		80,645		86,535
8.50%, 12/15/30		79,903		85,738
8.50%, 02/15/31		68,913		73,823
3.75%, 05/20/34†		1,831,485		1,799,833
3.75%, 06/20/34†		2,473,698		2,430,954
6.00%, 06/15/36		954,783		968,096
Greenpoint Mortgage Funding Trust
5.62%, 11/25/45 STEP		824,144		825,400
GS Mortgage Securities Corporation II
6.04%, 08/15/18 144A		393,028		400,354
6.14%, 10/18/30		2,235,298		2,252,064
5.90%, 01/10/40 IO 144AW†		37,862,776		654,818
GSR Mortgage Loan Trust
3.68%, 06/01/34†		2,143,586		2,142,550
4.21%, 09/25/34†		2,988,562		2,983,776
4.78%, 09/25/34†		2,336,569		2,321,027
4.55%, 09/25/35†		5,900,310		5,834,090
4.54%, 10/25/35†		4,960,588		4,872,754
4.58%, 10/25/35†		2,487,162		2,461,651


		See Notes to Financial Statements.		55


Low-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
HarborView Mortgage Loan Trust
5.63%, 11/19/35 STEP	$	2,479,352	$	2,486,121
5.32%, 12/19/35†		4,345,284		4,336,210
Impac Secured Assets CMN Owner Trust
5.47%, 05/25/36†		1,709,480		1,709,267
5.40%, 01/25/37†		1,857,168		1,857,160
JP Morgan Mortgage Trust
3.89%, 08/25/34†		3,438,131		3,367,402
LB-UBS Commercial Mortgage Trust
3.33%, 09/15/27		2,472,000		2,412,386
4.21%, 11/15/27		3,100,000		3,032,516
6.13%, 08/15/33 IO 144AW†		32,786,922		500,135
Luminent Mortgage Trust
5.61%, 11/26/35 STEP		2,959,193		2,963,311
Merrill Lynch Mortgage Investors, Inc.
4.24%, 08/25/34†		3,008,993		2,975,793
MLCC Mortgage Investors, Inc.
5.73%, 03/15/25 STEP		739,101		741,901
4.73%, 12/25/34†		2,387,519		2,357,016
5.40%, 02/25/36†		2,507,626		2,497,355
Morgan Stanley Capital I
6.53%, 03/15/31		2,894,545		2,942,243
NationsLink Funding Corporation
6.32%, 01/20/31		1,924,459		1,947,898
Nomura Asset Acceptance Corporation
5.05%, 06/25/10†		2,666,592		2,645,862
Opteum Mortgage Acceptance Corporation
5.44%, 12/25/35 STEP		1,987,013		1,984,986
5.41%, 12/31/49 STEP		2,204,005		2,202,874
PNC Mortgage Acceptance Corporation
5.91%, 03/12/34		1,783,855		1,796,012
Provident Funding Mortgage Loan Trust
4.05%, 04/25/34†		3,687,847		3,622,677
Residential Accredit Loans, Inc.
6.00%, 12/25/16		57,786		57,571
5.75%, 01/25/33†		807,870		810,725
Residential Funding Mortgage Securities I
6.50%, 03/25/32		167,584		168,531
Structured Adjustable Rate Mortgage Loan Trust
4.92%, 03/25/34†		1,449,028		1,444,765
5.34%, 08/25/34†		1,799,006		1,795,429
5.65%, 09/25/34†		467,772		468,414
5.41%, 05/25/35†		3,148,511		3,155,706
Structured Asset Mortgage Investments, Inc.
7.28%, 10/19/34†		785,540		792,849
5.63%, 05/25/35 STEP		1,494,489		1,492,610
5.42%, 08/25/36†		1,622,571		1,621,985
Structured Asset Securities Corporation
5.40%, 05/25/36†		1,240,287		1,240,306
Thornburg Mortgage Securities Trust
5.47%, 04/25/36†		1,900,000		1,895,269
TIAA Retail Commercial Trust
6.68%, 06/19/31 144A		2,790,000		2,873,227
Wachovia Bank Commercial Mortgage Trust
4.04%, 02/15/34		2,334,002		2,269,686
4.38%, 10/15/41		3,600,000		3,514,600
Washington Mutual Asset Securities Corporation
4.24%, 05/25/36 144A		1,438,175		1,416,344
Washington Mutual Mortgage Securities Corporation
7.22%, 03/25/32†		254,716		253,755
Washington Mutual, Inc.
5.59%, 12/25/27 STEP		3,923,138		3,922,430
4.67%, 05/25/35†		3,550,000		3,537,995
6.16%, 06/25/42†		176,804		176,880
5.63%, 01/25/45 STEP		2,300,186		2,304,308
5.51%, 04/25/45†		435,434		435,817
5.64%, 08/25/45†		1,061,599		1,064,490
5.61%, 10/25/45 STEP		1,088,901		1,090,365
5.74%, 06/25/46†		3,408,917		3,425,923
Wells Fargo Mortgage-Backed Securities Trust
4.75%, 04/25/19		3,414,074		3,297,781
3.99%, 01/25/35†		2,703,694		2,648,236
4.54%, 02/25/35†		4,388,334		4,303,552


Total Mortgage-Backed Securities
(Cost $409,007,777)				406,954,411


MUNICIPAL BOND — 0.0%
Sales Tax Asset Receivable Corporation, New York, Series B Revenue Bond (FSA Insured)
3.60%, 10/15/08
(Cost $425,000)		425,000		413,904


	Number of Contracts
PURCHASED OPTIONS — 0.3%
Call Options — 0.2%
1-Year Eurodollar Mid-CRV Futures, Strike Price $95.00, Expires 09/14/07		234		219,375
1-Year Eurodollar Mid-CRV Futures, Strike Price $95.25, Expires 09/14/07		1,765		1,103,125
90-Day Eurodollar Futures, Strike Price $95.00, Expires 09/17/07		29		13,412

				1,335,912


Call Swaptions — 0.1%
3-Month LIBOR, Strike Price $4.50, Expires 01/22/07		440		1
3-Month LIBOR, Strike Price $4.75, Expires 07/02/07		2,290		16,971
3-Month LIBOR, Strike Price $5.00, Expires 03/08/07		2,640		37,250
3-Month LIBOR, Strike Price $5.00, Expires 12/20/07		2,130		129,941
3-Month LIBOR, Strike Price $5.04, Expires 09/17/07		710		37,784
3-Month LIBOR, Strike Price $5.21, Expires 12/12/11		740		274,451
3-Month LIBOR, Strike Price $5.25, Expires 06/07/07		1,600		93,872


56		See Notes to Financial Statements.


	Number of Contracts			Value
3-Month LIBOR, Strike Price $5.25, Expires 07/02/07		3,350		$	212,658
3-Month LIBOR, Strike Price $5.50, Expires 06/29/07		1,750			168,753

					971,681


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			4,388
90-Day Eurodollar Futures, Strike Price $91.75, Expires 12/17/07		5			31
90-Day Eurodollar Futures, Strike Price $92.00, Expires 03/19/07		87			544

					8,825


Put Swaption — 0.0%
3-Month LIBOR, Strike Price $5.21, Expires 12/12/11		740			351,879


Total Purchased Options
(Cost $3,325,954)					2,668,297


	Shares
MONEY MARKET FUNDS — 10.0%
GuideStone Funds Money Market Fund (GS4 Class)¥		34,658,661			34,658,661
Northern Institutional Liquid Assets Portfolio§		46,899,932			46,899,932


Total Money Market Funds
(Cost $81,558,593)					81,558,593


	Par
U.S. TREASURY OBLIGATIONS — 12.7%
U.S. Treasury Bills
4.80%, 03/15/07‡‡	$	1,350,000			1,337,154
4.81%, 03/15/07‡‡		455,000			450,670

					1,787,824

U.S. Treasury Inflationary Index Bonds
3.38%, 01/15/07		41,300,000			52,557,894
3.63%, 01/15/08		5,900,000			7,454,583
0.88%, 04/15/10D		4,800,000			4,851,567
2.50%, 07/15/16D		5,320,000			5,360,801

					70,224,845

U.S. Treasury Notes
4.88%, 08/15/09D		21,453,000			21,524,245
4.63%, 11/15/09D		9,434,000			9,407,472
5.13%, 06/30/11		400,000			406,875

					31,338,592


Total U.S. Treasury Obligations
(Cost $103,573,771)					103,351,261


TOTAL INVESTMENTS — 114.3%
(Cost $933,394,285)					930,621,663


	Number of Contracts
WRITTEN OPTIONS — (0.1)%
Call Swaptions — (0.1)%
3-Month LIBOR, Strike Price $4.56, Expires 01/22/07		(189	)		(19	)
3-Month LIBOR, Strike Price $4.75, Expires 07/02/07		(500	)		(20,878	)
3-Month LIBOR, Strike Price $5.04, Expires 03/08/07		(113	)		(52,014	)
3-Month LIBOR, Strike Price $5.15, Expires 12/20/07		(930	)		(141,328	)
3-Month LIBOR, Strike Price $5.34, Expires 06/07/07		(700	)		(111,860	)
3-Month LIBOR, Strike Price $5.37, Expires 07/02/07		(1,460	)		(256,843	)
3-Month LIBOR, Strike Price $5.60, Expires 06/29/07		(760	)		(192,257	)


Total Written Options
(Premiums received $(817,243))					(775,199	)


Liabilities in Excess of Other Assets — (14.2)%					(115,996,344	)


NET ASSETS — 100.0%				$	813,850,120


		See Notes to Financial Statements.		57


Low-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)

Swap agreements outstanding at December 31, 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		20,600,000		$	(589,320	)
Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 4.00%(i)	12/15/35		(100,000	)		150
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	)		7,520

						(581,650	)


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			24,061
Receive floating par in the event of default on the DJ ITRAXX6HIVOL Index and pay fixed rate payments of 0.85%(g)	12/20/16		(900,000	)		(5,393	)
Receive floating par in the event of default on the DJ ITRAXX6HI4 Index and pay fixed rate payments of 0.85%(i)	12/20/16		(2,600,000	)		(15,582	)
Receive floating par in the event of default on the DJ ITRAXX6HI4 Index and pay fixed rate payments of 0.85%(d)	12/20/16		(3,100,000	)		(18,579	)
Receive floating par in the event of default on the DJ ITRAXX6HI4 Index and pay fixed rate payments of 0.85%(j)	12/20/16		(2,100,000	)		(12,585	)

						(28,078	)


Japanese Yen
Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 2.00%(h)	06/20/16		(200,000,000	)		(22,770	)
Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 2.00%(d)	06/20/16		(80,000,000	)		(9,108	)

						(31,878	)


U.S. Dollars
Receive fixed rate payments of 0.32% and pay floating par in the event of default on Morgan Stanley (Gazprom), 9.625% due 03/01/13(l)	02/20/07	$	900,000			175
Receive fixed rate payments of 0.61% and pay floating par in the event of default on Russian Federation, 5.00% due 03/31/30(h)	03/20/07		1,300,000			1,365
Receive fixed rate payments of 0.70% and pay floating par in the event of default on Russian Federation, 5.00% due 03/31/30(a)	03/20/07		3,700,000			4,643
Receive fixed rate payments of 0.77% and pay floating par in the event of default on Russian Federation, 5.00% due 03/31/30(g)	05/20/07		200,000			445
Receive fixed rate payments of 0.055% and pay floating par in the event of default on American International Group, 5.60% due 10/18/16(e)	03/20/08		3,000,000			1,260
Receive fixed rate payments of 5.00% and pay variable rate payments on the three month LIBOR floating rate(d)	06/20/09		14,300,000			(14,714	)
Receive floating par in the event of default on the DJ CDX HVOL7 Index and pay fixed rate payments of 0.75%(d)	12/20/11		(9,000,000	)		15,466
Receive variable rate payments on the three month LIBOR floating rate and pay fixed rate payments of 5.00%(a)	06/20/14		(100,000	)		580
Receive floating par in the event of default on the DJ CDX IG7 Index and pay fixed rate payments of 0.65%(c)	12/20/16		(7,300,000	)		(47,054	)
Receive variable rate payments on the three month LIBOR floating rate and pay fixed rate payments of 5.00%(f)	06/20/17		(9,000,000	)		122,558
Receive floating par in the event of default on Asset Backed Funding Certificates, 8.8225% due 11/25/32 and pay fixed rate payments of 2.35%(b)	11/25/32		(1,000,000	)		10,575


58		See Notes to Financial Statements.


Description	Expiration Date	Notional Value			Unrealized Appreciation (Depreciation)
Receive floating par in the event of default on Morgan Stanley ABS Capital I, 7.0225% due 12/27/33 and pay fixed rate payments of 0.54%(c)	12/27/33	$	(2,400,000	)	$	3,225
Receive floating par in the event of default on Long Beach Mortgage Trust, 6.7225% due 02/25/34 and pay fixed rate payments of 0.49%(d)	02/25/34		(2,400,000	)		(763	)
Receive floating par in the event of default on Specialty Underwriting & Residential Finance, 6.6225% due 02/25/35 and pay fixed rate payments of 0.59%(d)	02/25/35		(2,400,000	)		(3,910	)
Receive floating par in the event of default on Structured Asset Investment Loan Trust, 6.1425% due 02/25/35 and pay fixed rate payments of 0.61%(d)	02/25/35		(2,400,000	)		(6,386	)
Receive floating par in the event of default on the ABX.HE.A.06-1 Index and pay fixed rate payments of 0.54%(a)	07/25/45		(1,000,000	)		(3,679	)
Receive floating par in the event of default on the ABX.HE.A.06-1 Index and pay fixed rate payments of 0.54%(h)	07/25/45		(8,000,000	)		(29,431	)
Receive floating par in the event of default on the ABX.HE.A.06-1 Index and pay fixed rate payments of 0.54%(b)	07/25/45		(1,000,000	)		(3,679	)
Receive floating par in the event of default on the ABX.HE.BBB.06-2 Index and pay fixed rate payments of 1.33%(h)	05/25/46	$	(300,000	)	$	10,636

						61,312

					$	(580,294	)

Forward volatility option with premium to be determined on a future date outstanding at December 31, 2006:


Description	Expiration Date	Notional Value		Unrealized Depreciation
Call & Put—OTC U.S. dollar Forward Delta Neutral Straddle vs. Japanese Yen, Strike Price and premium determined on 03/20/07, based upon implied volatility parameter of 8.50% (b)	03/20/08	$	19,100,000	$	(184,888	)

PORTFOLIO SUMMARY (based on net assets)



	%
Futures Contracts	89.1
Mortgage-Backed Securities	50.0
Asset-Backed Securities	23.3
U.S. Treasury Obligations	12.7
Corporate Bonds	11.5
Money Market Funds	10.0
Foreign Bonds	6.4
Purchased Options	0.3
Agency Obligation	0.1
Foreign Exchange Volatility Contract	—	**
Municipal Bond	—	**
Written Options	(0.1	)
Swap Agreements	(0.1	)
Forward Foreign Currency Contracts	(0.6	)

	202.6

**	Rounds to less than 0.005%.


		See Notes to Financial Statements.		59

Medium-Duration Bond Fund

The Fund is primarily comprised of investment grade securities. The GS4 Class posted a positive return and outperformed its benchmark index, the Lehman Brothers Aggregate Bond Index, during the year. Active management added value during the year. The 2006 performance of the broad bond market outpaced 2005, but was below historical norms. The Fund’s benchmark relative performance was positively impacted by several sub-advisers maintaining shorter-than-benchmark duration positions as interest rates increased. Exposure to mortgages and modest allocations to high yield, emerging market and municipal securities also benefited relative returns. A longer-than-benchmark duration position by a sub-adviser during the quarter negatively impacted performance as interest rates rose, especially during December. The Fund’s underweight to the corporate sector was also a drag on performance. Two of the three sub-advisers outpaced their benchmark during the quarter. Western Asset Management Company delivered the strongest benchmark relative performance due to its exposure to the mortgage sector and its tactical duration strategies. Modest exposure to high yield and emerging market securities also benefited their relative returns.

Please see page 78 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.

Medium-Duration Bond Fund


Average Annual Total Returns as of 12/31/06
	GS2 Class*		GS4 Class*		GS6 Class*		Benchmark**		GS8 Class*		GS8 Class Benchmark**
One Year	4.50	%	4.37	%	3.89	%	4.33	%	3.58	%	4.33	%
Five Year	5.68	%	5.54	%	5.21	%	5.06	%	N/A		N/A
Since Inception	5.47	%	5.47	%	5.12	%	5.07	%	2.89	%	3.44	%
Inception Date	08/27/01		08/27/01		08/27/01		08/27/01		11/08/04		11/08/04

*	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.

Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.


Medium-Duration Bond Fund
SCHEDULE OF INVESTMENTS		December 31, 2006


	Par		Value
AGENCY OBLIGATIONS — 5.8%
Federal Farm Credit Bank
4.85%, 12/16/09	$	2,700,000	$	2,685,593
4.50%, 08/08/11		3,000,000		2,914,293
4.80%, 10/19/15		1,500,000		1,482,424
5.20%, 11/28/16		1,400,000		1,422,417
4.95%, 01/03/17		6,200,000		6,177,885
Federal Home Loan Bank
4.25%, 09/12/08		3,000,000		2,961,762
5.40%, 01/02/09		990,000		988,982
3.50%, 02/13/09		1,000,000		970,325
4.38%, 09/11/09		3,000,000		2,956,323
4.08%, 04/26/10		1,500,000		1,461,825
4.38%, 09/17/10		700,000		687,979
4.88%, 11/18/11		1,700,000		1,695,062
5.00%, 03/08/13		5,000,000		5,013,640
5.25%, 09/13/13		5,900,000		5,998,406
7.38%, 02/13/15		2,500,000		2,897,957
Federal Home Loan Mortgage Corporation
4.50%, 08/04/08		3,000,000		2,975,295
4.48%, 09/19/08		10,000,000		9,907,170
5.55%, 12/11/08		660,000		659,881
4.75%, 11/03/09		1,000,000		995,197
6.88%, 09/15/10		1,490,000		1,588,443
5.63%, 03/15/11		1,440,000		1,478,372
5.63%, 11/23/35		1,260,000		1,218,293
Federal National Mortgage Association
5.00%, 06/25/07‡‡		260,000		253,696
5.40%, 04/13/09		230,000		230,077
7.25%, 01/15/10		1,400,000		1,490,467
7.13%, 06/15/10		1,600,000		1,711,869
5.13%, 04/15/11		700,000		705,678
6.00%, 05/15/11		1,700,000		1,771,791
4.38%, 07/17/13		6,200,000		5,980,886


Total Agency Obligations
(Cost $71,689,421)				71,281,988


ASSET-BACKED SECURITIES — 3.8%
Amortizing Residential Collateral Trust
5.63%, 04/25/32†		75,697		75,621
AQ Finance NIM Trust
5.54%, 01/25/09 144A†		13,965		13,964
Argent Securities, Inc.
5.45%, 11/25/35†		198,303		198,322
5.37%, 10/25/36†		1,512,602		1,512,627
Asset-Backed Securities Corporation Home Equity
5.60%, 09/25/34†		618,584		618,252
Bayview Financial Acquisition Trust
5.80%, 02/28/44†		1,113,704		1,114,989
Chase Credit Card Master Trust
5.47%, 02/15/10†		1,700,000		1,701,937
Citibank Credit Card Issuance Trust
6.47%, 02/09/09†		670,000		670,570
Conseco Finance Securitizations Corporation
6.75%, 02/01/33 IOW@		9,900,000		67,171
Countrywide Home Equity Loan Trust
5.61%, 04/15/28†		111,487		111,486
5.70%, 03/15/29†		1,295,919		1,298,845
5.64%, 05/15/29†		916,455		918,917
5.59%, 12/15/35†		3,556,288		3,558,297
5.57%, 02/15/36†		1,584,476		1,584,806
5.46%, 08/15/36†		3,671,928		3,674,446
CS First Boston Mortgage Securities Corporation
5.49%, 05/25/35 STEP		766,101		766,240
EMC Mortgage Loan Trust
5.90%, 11/25/41 144A†		421,711		423,691
EQCC Trust
5.62%, 10/25/31†		61,332		61,337
First Franklin Mortgage Loan Asset-Backed Certificates
5.37%, 11/25/36†		1,943,042		1,943,073
First Horizon Asset Back Trust
5.61%, 10/25/34†		526,526		528,134
Fleet Home Equity Loan Trust
5.53%, 05/30/31†		524,739		524,878
Ford Credit Auto Owner Trust
5.36%, 09/15/08†		358,120		358,137
GSAMP Trust
5.46%, 09/25/35†		52,167		52,163
Honda Auto Receivables Owner Trust
5.34%, 11/15/07		1,560,712		1,560,469
5.10%, 09/18/08		3,447,248		3,444,018
Lehman XS Trust
5.62%, 11/25/35†		4,304,171		4,312,722
5.59%, 01/30/40†		2,139,689		2,144,254
Madison Avenue Manufactured Housing Contract
5.70%, 09/25/08†		1,246,845		1,250,917
MASTR Asset-Backed Securities Trust
5.51%, 03/25/35 STEP		1,308,261		1,308,754
MBNA Credit Card Master Note Trust
5.85%, 03/15/10†		1,900,000		1,906,347
Morgan Stanley Dean Witter Credit Corporation HELOC Trust
5.51%, 07/25/17 STEP		223,433		223,610
Nelnet Student Loan Trust
5.39%, 01/26/15†		3,149,396		3,150,526
Nissan Auto Receivables Owner Trust
5.18%, 08/15/08		3,800,000		3,797,032
Provident Bank Home Equity Loan Trust
5.62%, 08/25/31†		225,984		226,100
Quest Trust
5.88%, 06/25/34 144A†		118,550		118,905
Residential Asset Mortgage Products, Inc.
5.56%, 03/25/34 STEP		649,017		649,826
Salomon Brothers Mortgage Securities VII
5.83%, 03/30/28 STEP		98,020		98,036
SG Mortgage Securities Trust
5.42%, 09/25/35†		263,842		263,865


62		See Notes to Financial Statements.


	Par		Value
Triad Auto Receivables Owner Trust
5.34%, 11/13/07	$	1,489,128	$	1,489,368


Total Asset-Backed Securities
(Cost $48,005,149)				47,722,652


COMMERCIAL PAPER — 0.8%
Bank of America Corporation
5.23%, 03/09/07
(Cost $10,694,877)		10,800,000		10,695,733


CORPORATE BONDS — 12.6%
AES Corporation (The)
9.50%, 06/01/09		42,000		45,150
9.38%, 09/15/10		30,000		32,738
8.75%, 05/15/13 144A		520,000		559,650
9.00%, 05/15/15 144A		760,000		820,800
Allied Waste North America, Inc.
7.13%, 05/15/16		375,000		373,125
American Achievement Corporation
8.25%, 04/01/12		30,000		30,862
Amerigas Partners LP
7.25%, 05/20/15		80,000		81,400
AmerisourceBergen Corporation
5.88%, 09/15/15D		130,000		127,761
Ameritech Capital Funding Corporation
6.25%, 05/18/09		100,000		101,506
AMFM, Inc.
8.00%, 11/01/08		1,075,000		1,118,105
Anadarko Petroleum Corporation
5.76%, 09/15/09†		1,070,000		1,075,165
5.95%, 09/15/16D		400,000		401,569
6.45%, 09/15/36		150,000		152,077
ANZ Capital Trust I
4.48%, 01/29/49 144A		125,000		121,574
5.36%, 12/29/49 144A		800,000		780,394
ASIF Global Financing XIX
4.90%, 01/17/13 144AD		100,000		97,645
Astoria Financial Corporation
5.75%, 10/15/12		450,000		449,975
AT&T, Inc.
4.13%, 09/15/09D		250,000		242,966
5.30%, 11/15/10D		175,000		175,175
5.10%, 09/15/14D		550,000		534,859
Bank of America Corporation
5.38%, 08/15/11D		240,000		241,904
5.64%, 10/14/16†		1,700,000		1,710,781
Bank One Corporation
4.13%, 09/01/07D		1,100,000		1,091,232
Bank United Corporation
8.88%, 05/01/07		125,000		126,376
Beazer Homes USA, Inc.
8.63%, 05/15/11		10,000		10,350
BellSouth Capital Funding
7.88%, 02/15/30D		460,000		535,682
BellSouth Corporation
4.75%, 11/15/12D		40,000		38,649
6.88%, 10/15/31		10,000		10,624
Boardwalk Pipelines LP
5.88%, 11/15/16		400,000		396,732
Boeing Co.
6.63%, 02/15/38		210,000		238,636
CenterPoint Energy Resources Corporation
5.95%, 01/15/14		525,000		527,888
Charter Communications Operating LLC
8.00%, 04/30/12 144A@D		250,000		260,938
Chesapeake Energy Corporation
6.25%, 01/15/18		140,000		135,450
Cincinnati Bell, Inc.
7.00%, 02/15/15D		130,000		130,812
CitiFinancial, Inc.
6.63%, 06/01/15		300,000		322,808
Citigroup, Inc.
5.00%, 03/06/07D		2,200,000		2,198,550
Citizens Communications Co.
9.25%, 05/15/11D		40,000		44,450
Clear Channel Communications, Inc.
4.63%, 01/15/08D		20,000		19,814
4.25%, 05/15/09		250,000		242,264
5.50%, 09/15/14D		765,000		646,290
Cleveland Electric Illuminating Co. (The)
5.65%, 12/15/13		60,000		59,885
7.88%, 11/01/17		2,050,000		2,401,032
Clorox Co.
5.49%, 12/14/07†		1,500,000		1,502,031
Comcast Cable Communications Holdings, Inc.
6.75%, 01/30/11D		740,000		776,051
8.38%, 03/15/13D		225,000		256,604
9.46%, 11/15/22D		275,000		356,920
Commonwealth Edison Co.
5.40%, 12/15/11		650,000		645,561
ConocoPhillips
5.37%, 04/11/07†		4,000,000		4,000,704
8.75%, 05/25/10D		230,000		255,046
ConocoPhillips Holding Co.
6.95%, 04/15/29D		1,670,000		1,902,589
Cox Communications, Inc.
4.63%, 01/15/10D		800,000		783,608
Cox Enterprises, Inc.
4.38%, 05/01/08 144A		600,000		589,796
CSC Holdings, Inc.
7.63%, 04/01/11D		590,000		604,012
6.75%, 04/15/12		60,000		58,800
7.63%, 07/15/18		45,000		44,044
D.R. Horton, Inc.
8.50%, 04/15/12		10,000		10,468
DaimlerChrysler NA Holding Corporation
5.83%, 09/10/07†		3,700,000		3,708,765
5.88%, 03/15/11		590,000		592,766
5.75%, 09/08/11		900,000		898,640
7.30%, 01/15/12D		550,000		584,453
6.50%, 11/15/13D		100,000		102,812
DaVita, Inc.
7.25%, 03/15/15D		135,000		138,375
Dean Foods Co.
7.00%, 06/01/16		375,000		380,625
Devon Energy Corporation
7.95%, 04/15/32		725,000		885,280


		See Notes to Financial Statements.		63


Medium-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
DI Finance
9.50%, 02/15/13	$	90,000	$	95,850
DirecTV Holdings LLC
8.38%, 03/15/13		155,000		161,975
Dominion Resources, Inc.
4.13%, 02/15/08		70,000		68,974
5.13%, 12/15/09D		230,000		228,686
4.75%, 12/15/10		70,000		68,452
5.70%, 09/17/12D		770,000		779,667
DRS Technologies, Inc.
6.63%, 02/01/16D		90,000		91,125
Dryden Investor Trust
7.16%, 07/23/08@		914,254		926,292
Duke Energy Corporation
5.63%, 11/30/12D		710,000		723,721
Dynegy Holdings, Inc.
8.75%, 02/15/12D		150,000		159,750
E*Trade Financial Corporation
7.38%, 09/15/13		40,000		41,800
Eastman Kodak Co.
7.25%, 11/15/13D		490,000		489,574
Echostar DBS Corporation
5.75%, 10/01/08		500,000		499,375
6.63%, 10/01/14D		30,000		29,325
7.13%, 02/01/16D		230,000		231,150
El Paso Corporation
8.05%, 10/15/30D		600,000		669,000
7.80%, 08/01/31D		950,000		1,042,625
7.75%, 01/15/32D		530,000		583,000
El Paso Natural Gas Co.
8.38%, 06/15/32		210,000		255,347
El Paso Performance-Linked Trust
7.75%, 07/15/11 144AD		1,460,000		1,551,250
Electronic Data Systems Corporation
7.13%, 10/15/09D		1,000,000		1,043,158
Embarq Corporation
8.00%, 06/01/36D		150,000		156,546
Energy Transfer Partners LP
5.65%, 08/01/12D		275,000		274,166
5.95%, 02/01/15D		475,000		478,452
Entergy Gulf States, Inc.
6.10%, 12/08/08 144A†		1,900,000		1,905,060
Enterprise Products Operating LP
4.95%, 06/01/10		650,000		639,518
8.38%, 08/01/45†		350,000		379,754
EOP Operating LP
7.75%, 11/15/07		100,000		102,083
Exelon Corporation
5.63%, 06/15/35D		1,190,000		1,124,776
Farmer Mac Guaranteed Notes Trust
5.50%, 07/15/11 144A		4,200,000		4,281,358
Firstar Bank NA
7.13%, 12/01/09		170,000		178,873
FirstEnergy Corporation
6.45%, 11/15/11D		70,000		73,073
7.38%, 11/15/31		1,550,000		1,770,562
Ford Motor Co.
6.00%, 11/29/13†@		2,700,000		2,700,000
7.45%, 07/16/31D		550,000		434,500
Ford Motor Credit Co.
6.63%, 06/16/08D		350,000		349,880
7.38%, 10/28/09		3,700,000		3,710,205
5.70%, 01/15/10D		125,000		119,907
7.88%, 06/15/10		500,000		504,528
7.38%, 02/01/11D		680,000		673,744
10.61%, 06/15/11 144A†D		607,000		648,612
7.25%, 10/25/11		50,000		49,012
Forest City Enterprises, Inc.
7.63%, 06/01/15		20,000		20,500
6.50%, 02/01/17		70,000		68,950
Fresenius Medical Care Capital Trust II
7.88%, 02/01/08		169,000		172,380
General Electric Capital Corporation
4.13%, 09/01/09D		740,000		721,945
6.00%, 06/15/12D		460,000		476,729
General Electric Co.
5.00%, 02/01/13D		1,070,000		1,059,494
General Motors Acceptance Corporation
6.13%, 08/28/07		1,740,000		1,740,614
5.13%, 05/09/08		570,000		564,087
5.85%, 01/14/09D		220,000		219,270
5.63%, 05/15/09		1,490,000		1,479,043
7.75%, 01/19/10D		500,000		523,686
6.88%, 09/15/11		575,000		590,363
General Motors Corporation
8.25%, 07/15/23D		210,000		196,350
8.38%, 07/05/33(E)		170,000		218,806
Genworth Financial, Inc.
6.15%, 11/15/36†D		250,000		250,105
Georgia Gulf Corporation
9.50%, 10/15/14 144AD		50,000		49,000
Georgia-Pacific Corporation
8.13%, 05/15/11D		4,000		4,220
7.50%, 12/20/12†		571,428		574,761
Goldman Sachs Group LP
4.50%, 06/15/10D		930,000		910,943
Greenpoint Financial Corporation
3.20%, 06/06/08		300,000		289,818
HCA, Inc.
6.30%, 10/01/12		32,000		29,360
9.13%, 11/15/14 144A		60,000		64,275
6.50%, 02/15/16D		957,000		811,058
9.25%, 11/15/16 144A		480,000		515,400
9.63%, 11/15/16 144A		310,000		334,025
7.69%, 06/15/25		250,000		208,176
Hertz Corporation
8.88%, 01/01/14 144AD		95,000		99,988
Hess Corporation
7.30%, 08/15/31D		1,320,000		1,477,621
Host Marriott LP
6.75%, 06/01/16D		30,000		30,188
HSBC Bank USA NA
5.46%, 09/21/07†		300,000		300,328
HSBC Finance Corporation
4.63%, 01/15/08D		1,130,000		1,122,717
8.00%, 07/15/10		440,000		478,339
7.00%, 05/15/12		390,000		420,964
6.38%, 11/27/12D		70,000		73,799


64		See Notes to Financial Statements.


	Par		Value
Idearc, Inc.
8.00%, 11/15/16 144A	$	95,000	$	96,900
ILFC E-Capital Trust II
6.25%, 12/21/45 144A†		280,000		284,925
iStar Financial, Inc.
5.13%, 04/01/11		175,000		171,545
5.65%, 09/15/11		250,000		249,708
5.95%, 10/15/13 144A@		200,000		201,285
6.50%, 12/15/13		125,000		127,974
Jacuzzi Brands, Inc.
9.63%, 07/01/10		75,000		80,062
JC Penny Co., Inc.
7.40%, 04/01/37		50,000		54,678
JPM Capital Trust II
7.95%, 02/01/27		700,000		728,454
JPMorgan Chase & Co.
5.75%, 01/02/13D		320,000		326,075
5.15%, 10/01/15D		1,890,000		1,857,902
Kansas City Southern Railway
9.50%, 10/01/08		119,000		124,950
Kerr-McGee Corporation
6.95%, 07/01/24D		750,000		800,814
7.88%, 09/15/31D		2,000,000		2,393,074
Kinder Morgan Energy Partners LP
6.30%, 02/01/09		150,000		152,064
6.75%, 03/15/11D		150,000		156,215
7.13%, 03/15/12		30,000		31,881
5.00%, 12/15/13D		200,000		190,355
Koch Forest Products, Inc.
6.56%, 12/20/12†		3,047,619		3,065,396
6.98%, 12/20/12†		350,952		352,049
L-3 Communications Corporation
7.63%, 06/15/12		250,000		260,000
6.38%, 10/15/15D		370,000		368,150
Lamar Media Corporation
7.25%, 01/01/13D		110,000		112,612
6.63%, 08/15/15		80,000		79,700
Land O’ Lakes, Inc.
9.00%, 12/15/10		125,000		133,281
Lehman Brothers Holdings, Inc.
4.00%, 01/22/08D		1,120,000		1,104,850
Liberty Media Corporation
7.88%, 07/15/09		10,000		10,478
5.70%, 05/15/13		25,000		23,678
3.75%, 02/15/30 CONV		40,000		24,800
Liberty Mutual Group
7.00%, 03/15/34 144AD		75,000		77,454
Lincoln National Corporation
7.00%, 05/17/49†		525,000		557,400
Lyondell Chemical Co.
8.00%, 09/15/14D		55,000		57,338
8.25%, 09/15/16D		35,000		36,925
MacDermid, Inc.
9.13%, 07/15/11		111,000		115,995
Merrill Lynch & Co., Inc.
3.38%, 09/14/07		420,000		414,536
Midamerican Energy Holdings Co.
6.13%, 04/01/36D		750,000		758,617
Midwest Generation LLC
8.75%, 05/01/34		250,000		272,500
Mizuho JGB Investment LLC
9.87%, 12/31/49 144A†@		250,000		265,020
Morgan Stanley
3.63%, 04/01/08		110,000		107,806
5.63%, 01/09/12D		410,000		417,208
5.82%, 10/18/16†		340,000		342,528
Nelnet, Inc.
7.40%, 09/29/36†		475,000		489,620
New Cingular Wireless Services, Inc.
7.88%, 03/01/11		650,000		709,630
8.13%, 05/01/12D		135,000		152,077
Nextel Communications, Inc.
5.95%, 03/15/14D		294,000		286,714
7.38%, 08/01/15D		130,000		133,433
Niagara Mohawk Power Corporation
7.75%, 10/01/08		1,340,000		1,389,202
Nortek, Inc.
8.50%, 09/01/14		62,000		61,070
NRG Energy, Inc.
7.25%, 02/01/14D		210,000		212,100
Omnicare, Inc.
6.88%, 12/15/15		34,000		33,745
Omnicom Group, Inc.
5.90%, 04/15/16D		700,000		708,653
Oncor Electric Delivery Co.
6.38%, 01/15/15		30,000		30,972
Oxford Industries, Inc.
8.88%, 06/01/11		60,000		62,250
Pacific Energy Partners LP
7.13%, 06/15/14		60,000		61,642
Pacific Gas & Electric Co.
6.05%, 03/01/34D		710,000		718,478
PartnerRe Finance II
6.44%, 12/01/49†		75,000		75,414
Patrons’ Legacy
5.65%, 01/17/17 144A		608,180		602,848
Peabody Energy Corporation
6.88%, 03/15/13		145,000		149,350
7.88%, 11/01/26		2,000,000		2,160,000
Pemex Project Funding Master Trust
9.13%, 10/13/10		1,075,000		1,208,300
6.63%, 06/15/35D		60,000		61,455
PHH Corporation
6.00%, 03/01/08D		1,075,000		1,075,858
Phoenix Life Insurance Co.
7.15%, 12/15/34 144A		275,000		291,793
Pogo Producing Co.
6.88%, 10/01/17D		130,000		124,800
Popular North America, Inc.
5.20%, 12/12/07		400,000		398,764
4.25%, 04/01/08D		300,000		295,661
5.65%, 04/15/09		250,000		250,722
Pride International, Inc.
7.38%, 07/15/14D		130,000		134,875
Progress Energy, Inc.
5.63%, 01/15/16		150,000		149,913
7.75%, 03/01/31		350,000		421,948
Prudential Funding LLC
6.60%, 05/15/08 144A		600,000		608,533
Pulte Homes, Inc.
6.25%, 02/15/13		1,100,000		1,117,990


		See Notes to Financial Statements.		65


Medium-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
PVNGS II Funding Corporation, Inc.
8.00%, 12/30/15	$	1,677,000	$	1,860,771
Qwest Capital Funding, Inc.
7.25%, 02/15/11D		200,000		205,250
Qwest Corporation
5.63%, 11/15/08		600,000		603,750
8.88%, 03/15/12		200,000		223,750
7.50%, 06/15/23		500,000		506,250
Rabobank Capital Funding II
5.26%, 12/29/13 144A†		50,000		48,968
Rabobank Capital Funding Trust III
5.25%, 10/31/49 144A†		350,000		338,090
Reader’s Digest Association, Inc.
6.50%, 03/01/11		50,000		51,625
Reinsurance Group of America, Inc.
6.75%, 12/15/35†		250,000		250,268
Residential Capital LLC
6.38%, 06/30/10		850,000		860,558
Safeco Corporation
4.20%, 02/01/08		450,000		443,970
SemGroup LP
8.75%, 11/15/15 144AD		55,000		55,550
Service Corporation International
7.63%, 10/01/18D		90,000		95,850
Sinclair Broadcast Group, Inc.
8.00%, 03/15/12D		20,000		20,750
SLM Corporation
4.94%, 04/01/09†		1,130,000		1,100,123
Sonat, Inc.
7.63%, 07/15/11D		460,000		489,900
Southern Natural Gas Co.
8.88%, 03/15/10		130,000		137,032
8.00%, 03/01/32		400,000		469,400
Sovereign Bank
4.38%, 08/01/13†		525,000		516,631
Sprint Capital Corporation
6.13%, 11/15/08D		310,000		313,800
7.63%, 01/30/11		250,000		267,909
8.38%, 03/15/12D		340,000		378,271
6.88%, 11/15/28		275,000		276,052
8.75%, 03/15/32		350,000		422,456
Sprint Nextel Corporation
6.00%, 12/01/16		700,000		683,493
Suburban Propane Partners LP
6.88%, 12/15/13		195,000		192,075
Sungard Data Systems, Inc.
9.13%, 08/15/13D		120,000		126,600
TCI Communications Financing III
9.65%, 03/31/27		2,610,000		2,753,960
Tenet Healthcare Corporation
9.88%, 07/01/14D		170,000		173,825
9.25%, 02/01/15D		1,655,000		1,663,275
Tennessee Valley Authority
5.38%, 04/01/46		1,800,000		1,839,361
Time Warner Entertainment Co. LP
8.38%, 07/15/33D		590,000		715,187
Time Warner, Inc.
5.61%, 11/13/09†		2,600,000		2,603,741
6.88%, 05/01/12		110,000		116,372
5.88%, 11/15/16D		300,000		299,797
7.70%, 05/01/32D		600,000		678,985
6.50%, 11/15/36		250,000		249,646
Transcontinental Gas Pipe Line Corporation
6.65%, 04/15/08 144A†		1,500,000		1,509,375
Transocean, Inc.
5.57%, 09/05/08†		2,000,000		2,002,160
TXU Corporation
4.80%, 11/15/09		500,000		490,470
5.55%, 11/15/14D		110,000		104,978
6.55%, 11/15/34D		1,080,000		1,015,446
TXU Energy Co. LLC
7.00%, 03/15/13		150,000		157,150
Tyco International Group SA Participation Certificate Trust
4.44%, 06/15/07 144A@		400,000		398,024
Unilever Capital Corporation
7.13%, 11/01/10D		285,000		302,987
Union Pacific Corporation
6.65%, 01/15/11		260,000		271,973
United Air Lines, Inc.
9.21%, 01/21/17@#		117,826		8,321
9.56%, 10/19/18@#		236,236		134,212
United Telephone Co. of Kansas
6.89%, 07/01/08@		500,000		501,293
Ventas Realty LP
8.75%, 05/01/09D		70,000		74,725
9.00%, 05/01/12D		30,000		34,050
6.50%, 06/01/16D		70,000		72,100
Verizon Communications, Inc.
5.55%, 02/15/16D		2,100,000		2,096,447
Verizon Global Funding Corporation
7.38%, 09/01/12D		290,000		317,433
4.38%, 06/01/13D		140,000		132,215
5.85%, 09/15/35		600,000		576,595
Vintage Petroleum, Inc.
8.25%, 05/01/12		250,000		262,382
Visteon Corporation
8.25%, 08/01/10		145,000		142,100
Wachovia Bank NA
5.49%, 03/23/09†		750,000		750,560
Wachovia Capital Trust III
5.80%, 08/29/49†D		580,000		585,327
Wachovia Corporation
5.25%, 08/01/14D		1,850,000		1,830,286
Washington Mutual, Inc.
8.25%, 04/01/10		250,000		269,476
Waste Management, Inc.
7.75%, 05/15/32D		980,000		1,159,368
Wells Fargo Capital X
5.95%, 12/15/36D		200,000		196,693
Westlake Chemical Corporation
6.63%, 01/15/16D		85,000		82,662
Weyerhaeuser Co.
6.75%, 03/15/12D		735,000		771,683
Williams Cos., Inc.
7.50%, 01/15/31D		270,000		281,475
7.75%, 06/15/31D		200,000		211,000
8.75%, 03/15/32D		1,130,000		1,282,550


66		See Notes to Financial Statements.


	Par		Value
Windstream Corporation
8.63%, 08/01/16 144A	$	50,000	$	55,000
8.63%, 08/01/16D		250,000		275,000
Xerox Corporation
7.13%, 06/15/10		250,000		263,750
6.75%, 02/01/17		90,000		94,500
XTO Energy, Inc.
7.50%, 04/15/12D		43,000		46,769
ZFS Finance USA Trust I
6.15%, 12/15/49 144A†D		500,000		507,845


Total Corporate Bonds
(Cost $153,511,594)				156,650,263


FOREIGN BONDS — 11.0%
Australia — 0.0%
QBE Insurance Group, Ltd.
5.65%, 07/01/23 144A†		525,000		510,140


Bermuda — 0.4%
ACE, Ltd.
6.00%, 04/01/07		350,000		350,384
Arch Capital Group, Ltd.
7.35%, 05/01/34		475,000		525,579
Aspen Insurance Holdings, Ltd.
6.00%, 08/15/14		325,000		320,562
Endurance Specialty Holdings, Ltd.
6.15%, 10/15/15		525,000		524,143
Intelsat Bermuda, Ltd.
9.25%, 06/15/16 144AD		60,000		64,800
Intelsat, Ltd.
6.50%, 11/01/13		110,000		94,050
Tyco International Group SA
6.13%, 11/01/08		90,000		91,153
6.00%, 11/15/13D		2,920,000		3,025,479

				4,996,150


Brazil — 0.3%
Federal Republic of Brazil
7.88%, 03/07/15		25,000		27,912
8.88%, 04/15/24		99,000		123,502
10.13%, 05/15/27		821,000		1,155,558
7.13%, 01/20/37D		142,000		152,934
11.00%, 08/17/40D		1,171,000		1,553,039
Petrobras International Finance Co.
6.13%, 10/06/16		850,000		862,750

				3,875,695


Canada — 0.5%
Anadarko Finance Co.
7.50%, 05/01/31		400,000		455,196
Bombardier, Inc.
7.25%, 11/15/16 144A(E)D		250,000		335,889
Canadian Government Inflationary Index
4.00%, 12/01/31(C)		230,000		341,638
Canadian Natural Resources, Ltd.
6.50%, 02/15/37D		300,000		301,955
ChevronTexaco Capital Co.
3.50%, 09/17/07		690,000		682,021
Conoco Funding Co.
7.25%, 10/15/31		315,000		372,516
General Motors Nova Scotia Finance Co.
6.85%, 10/15/08D		1,670,000		1,665,825
Hydro Quebec
6.30%, 05/11/11		305,000		319,105
OPTI Canada, Inc.
8.25%, 12/15/14 144A		115,000		118,737
Quebecor Media, Inc.
7.75%, 03/15/16		40,000		41,050
Rogers Cable, Inc.
5.50%, 03/15/14D		350,000		336,416
6.75%, 03/15/15		10,000		10,353
Rogers Wireless, Inc.
8.52%, 12/15/10†		250,000		255,625
6.38%, 03/01/14 144A		100,000		101,750
6.38%, 03/01/14		30,000		30,525
Sun Media Corporation
7.63%, 02/15/13		50,000		50,938
Western Oil Sands, Inc.
8.38%, 05/01/12		165,000		183,975
Xstrata Finance Canada, Ltd.
5.50%, 11/16/11 144A		500,000		500,406

				6,103,920


Cayman Islands — 0.5%
MUFG Capital Finance 1, Ltd.
6.35%, 07/25/25†D		450,000		457,877
Petroleum Export, Ltd.
4.62%, 06/15/10 144A		700,000		689,327
4.63%, 06/15/10 144A		933,333		919,112
Resona Preferred Global Securities Cayman, Ltd.
7.19%, 07/30/15 144A†D		690,000		721,107
Shinsei Finance Cayman, Ltd.
6.42%, 07/20/48 144A†D		830,000		830,489
Systems 2001 Asset Trust LLC
6.66%, 09/15/13 144A		858,327		899,230
Vale Overseas, Ltd.
8.25%, 01/17/34D		40,000		47,582
6.88%, 11/21/36D		1,120,000		1,154,323

				5,719,047


Chile — 0.0%
Codelco, Inc.
4.75%, 10/15/14 144A		210,000		200,023


Colombia — 0.0%
Republic of Colombia
7.38%, 09/18/37		458,000		492,808


France — 1.8%
AXA SA
6.46%, 12/14/18 144A†@		275,000		272,077
6.38%, 12/14/36 144A†@D		275,000		272,422
Compagnie Generale de Geophysique SA
7.50%, 05/15/15		70,000		70,700
French Treasury Bill
2.74%, 01/18/07(E)W		14,800,000		19,506,969
French Treasury Note
2.25%, 03/12/07(E)		1,050,000		1,382,499
Legrand SA
8.50%, 02/15/25		250,000		288,750

				21,793,417


		See Notes to Financial Statements.		67


Medium-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Germany — 3.2%
Bundesobligation
4.00%, 02/16/07(E)		21,700,000	$	28,657,291
Bundesschatzanweisungen
2.50%, 03/23/07(E)		6,020,000		7,927,916
Deutsche Bundesrepublik
3.75%, 01/04/15(E)		1,450,000		1,887,525
German Treasury Bill
2.52%, 01/17/07(E)W		600,000		790,973
Kabel Deutschland GmbH
10.63%, 07/01/14	$	145,000		161,494

				39,425,199


Iceland — 0.4%
Glitnir Banki HF
6.33%, 07/28/11 144AD		600,000		616,693
6.69%, 06/15/16 144A†		1,000,000		1,033,357
Kaupthing Bank HF
5.37%, 04/12/11 144A†		1,630,000		1,643,211
5.75%, 10/04/11 144A		250,000		249,985
7.13%, 05/19/16 144A		350,000		371,875
Landsbanki Islands HF
6.10%, 08/25/11 144A		1,500,000		1,526,532

				5,441,653


Italy — 0.2%
Republic of Italy
3.80%, 03/27/08(J)		156,000,000		1,362,649
Telecom Italia Capital SA
4.00%, 01/15/10D		225,000		215,001
5.25%, 11/15/13D		165,000		157,548
4.95%, 09/30/14		835,000		774,793
5.25%, 10/01/15D		130,000		121,642

				2,631,633


Japan — 0.1%
Aiful Corporation
5.00%, 08/10/10 144AD		600,000		582,710
Resona Bank, Ltd.
4.13%, 06/27/49 144A(E)†@		500,000		638,108
5.85%, 07/15/49 144A†@		475,000		464,635

				1,685,453


Luxembourg — 0.7%
Gaz Capital for Gazprom
6.21%, 11/22/16 144AD		1,300,000		1,312,350
GazInvest Luxemburg SA for Gazprombank
7.25%, 10/30/08		700,000		720,510
TNK-BP Finance SA
7.50%, 07/18/16 144A		780,000		831,675
Unicredito Luxembourg Finance SA
5.43%, 10/24/08 144A†		4,000,000		4,001,952
VTB Capital SA for Vneshtorgbank
5.97%, 08/01/08 144A†		970,000		971,697
5.98%, 08/01/08 144A†		800,000		800,848

				8,639,032


Malaysia — 0.1%
Petronas Capital, Ltd.
7.88%, 05/22/22 144A		430,000		530,702


Marshall Islands — 0.0%
Teekay Shipping Corporation
8.88%, 07/15/11D		176,000		189,860


Mexico — 0.4%
America Movil SA de CV
5.50%, 03/01/14		300,000		294,007
United Mexican States
5.63%, 01/15/17		300,000		301,050
11.50%, 05/15/26D		1,070,000		1,733,400
8.30%, 08/15/31D		660,000		845,460
7.50%, 04/08/33D		1,083,000		1,280,647

				4,454,564


Netherlands — 0.3%
Deutsche Telekom International Finance BV
5.75%, 03/23/16D		510,000		503,394
8.25%, 06/15/30		600,000		739,732
Majapahit Holding BV
7.25%, 10/17/11 144A@		50,000		51,563
NXP BV
7.88%, 10/15/14 144AD		30,000		31,162
Rabobank Nederland
0.20%, 06/20/08(J)		150,000,000		1,251,512
Royal KPN NV
8.00%, 10/01/10D		780,000		842,288
TPSA Finance BV
7.75%, 12/10/08 144AD		375,000		389,522

				3,809,173


Panama — 0.1%
Republic of Panama
9.63%, 08/08/11		1,000		1,145
7.13%, 01/29/26		538,000		583,730
9.38%, 04/01/29		21,000		28,140
6.70%, 01/26/36D		549,000		573,705

				1,186,720


Puerto Rico — 0.0%
Telecomunicaciones de Puerto Rico, Inc.
6.80%, 05/15/09		350,000		357,463


Russia — 0.7%
Ministry Finance of Russia
3.00%, 05/14/08		750,000		725,775
Russian Federation
8.25%, 03/31/10		2,255,591		2,363,634
5.00%, 03/31/30 STEP		4,700,000		5,317,214

				8,406,623


South Korea — 0.0%
Export-Import Bank of Korea
5.25%, 02/10/14 144A		235,000		233,095


Supranational — 0.8%
Inter-American Development Bank
1.00%, 03/24/15		13,000,000		9,412,884


United Kingdom — 0.5%
HBOS Capital Funding LP
6.07%, 12/31/49 144A†D		600,000		609,281
HSBC Capital Funding LP
4.61%, 12/29/49 144A†D		960,000		896,466


68		See Notes to Financial Statements.


	Par		Value
Royal & Sun Alliance Insurance Group
8.50%, 12/08/14(U)†	$	150,000	$	332,377
Royal Bank of Scotland Group PLC
5.37%, 12/21/07 144A†		1,100,000		1,101,149
United Kingdom Gilt
4.25%, 03/07/11(U)		1,600,000		3,039,474

				5,978,747


Venezuela — 0.0%
Petrozuata Finance, Inc.
8.22%, 04/01/17 144A		140,000		140,350


Total Foreign Bonds
(Cost $131,693,123)				136,214,351


MORTGAGE-BACKED SECURITIES — 55.3%
ABN AMRO Mortgage Corporation
16.67%, 06/25/33 IOW@		700,503		75,297
Banc of America Commercial Mortgage, Inc.
5.12%, 10/10/45†		3,000,000		2,954,709
5.63%, 07/10/46		1,000,000		1,020,799
5.18%, 09/10/47†		3,000,000		2,980,992
Banc of America Funding Corporation
5.41%, 07/20/36†		4,010,562		4,004,444
Bear Stearns Adjustable Rate Mortgage Trust
5.62%, 02/25/33†		387,903		386,439
3.52%, 06/25/34†		1,300,000		1,256,577
Bear Stearns Alt-A Trust
5.64%, 02/25/34 STEP		209,505		209,608
5.39%, 05/25/35†		1,041,986		1,038,400
Bear Stearns Commercial Mortgage Securities
5.71%, 09/11/38†		1,500,000		1,546,368
CC Mortgage Funding Corporation
5.70%, 07/25/34 144A†		434,121		434,340
Citigroup Commercial Mortgage Trust
5.39%, 11/15/36 144A†		995,836		997,553
Commerical Mortgage Asset Trust
7.55%, 01/17/10†		440,000		459,511
Countrywide Alternative Loan Trust
5.67%, 09/25/35†		4,128,494		4,142,970
5.68%, 10/25/35 STEP		2,884,247		2,889,056
5.65%, 11/20/35†		5,728,352		5,748,293
5.67%, 11/20/35†		2,669,347		2,681,405
5.70%, 11/20/35†		1,218,445		1,222,061
5.59%, 12/25/35†		1,504,340		1,505,941
5.62%, 12/25/35 STEP		2,128,947		2,128,927
5.59%, 02/25/36 STEP		2,283,039		2,286,499
5.63%, 03/20/46†		847,314		848,143
Countrywide Home Loan Mortgage Pass-Through Trust
5.56%, 03/25/36†		1,113,598		1,115,059
CS First Boston Mortgage Securities Corporation
15.72%, 04/25/33 IOW@		63,663		2,716
15.16%, 05/25/33 IOW@		51,126		2,307
19.58%, 06/25/33 IOW@		50,526		2,862
8.67%, 07/25/33 IOW†@		536,147		3,096
16.95%, 07/25/33 IOW@		829,726		107,713
8.89%, 08/25/33 IOW†@		633,272		3,773
6.53%, 06/15/34		1,500,000		1,569,125
Federal Home Loan Mortgage Corporation
7.00%, 11/01/14		96,576		99,202
7.00%, 04/01/15		77,972		80,092
8.00%, 06/01/15		1,092		1,098
7.00%, 12/01/15		66,201		68,012
6.00%, 04/15/16		135,715		135,614
8.50%, 06/01/16		15,672		16,607
4.50%, 05/01/18		222,453		214,974
4.50%, 06/01/18		52,668		50,883
8.50%, 06/01/18		11,774		12,476
4.50%, 09/01/18		212,613		205,408
4.50%, 10/01/18		155,095		149,849
4.50%, 11/01/18		159,798		154,395
4.50%, 12/01/18		494,400		477,647
5.00%, 12/01/18		935,161		920,846
4.50%, 01/01/19		58,313		56,337
4.50%, 03/01/19		115,453		111,528
4.50%, 06/01/19		2,141,540		2,068,968
0.24%, 04/15/22 POW@		46,418		46,065
8.00%, 08/01/24		8,169		8,607
7.50%, 11/01/29		25,020		26,111
6.50%, 12/01/29		526,441		540,278
7.50%, 12/01/29		39,080		40,784
7.50%, 02/01/31		53,369		55,516
7.19%, 07/01/31†		64,294		65,474
7.23%, 08/01/31†		20,641		21,063
7.50%, 11/01/31		49,009		50,953
7.09%, 04/01/32†		21,057		21,268
4.29%, 03/01/34†		19,958		19,644
5.50%, 05/01/35		2,817,287		2,786,737
5.00%, 09/01/35		2,235,658		2,157,894
5.00%, 10/01/35		878,898		848,327
5.00%, 12/01/35		3,970,412		3,832,309
5.00%, 01/01/36 TBA		2,200,000		2,122,314
4.43%, 02/01/36 POW@		1,315,785		986,854
6.00%, 02/01/36		2,672,177		2,691,940
4.00%, 01/01/49		4,685,327		4,409,991
Federal Housing Administration
7.43%, 10/01/18†		380,491		376,669
Federal National Mortgage Association
6.50%, 05/25/08		114,236		114,488
20.00%, 10/25/08 IOW†@		93,827		1,090
4.00%, 06/01/13		110,901		107,305
4.00%, 07/01/13		147,936		143,141
4.00%, 08/01/13		205,358		198,656
4.00%, 09/01/13		388,856		376,075
4.00%, 10/01/13		804,699		778,039
8.00%, 06/01/15		54,704		57,523
8.00%, 06/15/15		14,468		15,214
8.00%, 07/01/15		59,943		63,032
8.00%, 09/01/15		83,641		86,432
5.00%, 12/25/15		309,812		307,764
6.00%, 05/01/16		222,661		225,975
6.00%, 07/01/16		26,849		27,249
5.00%, 11/01/17		279,732		275,870
5.00%, 12/01/17		2,176,223		2,145,655
5.00%, 01/01/18		3,409,584		3,361,867


		See Notes to Financial Statements.		69


Medium-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
5.00%, 02/01/18	$	605,608	$	597,125
5.50%, 02/01/18		243,351		243,333
4.50%, 04/01/18		181,826		175,834
5.00%, 04/01/18		171,919		169,389
4.50%, 05/01/18		1,534,977		1,484,398
5.00%, 05/01/18		1,137,370		1,120,633
4.50%, 06/01/18		2,068,796		2,000,629
5.00%, 06/01/18		144,662		142,183
4.50%, 07/01/18		108,844		105,257
4.00%, 09/01/18		4,654,680		4,395,417
4.50%, 09/01/18		2,968,690		2,870,871
4.50%, 10/01/18		81,668		78,977
4.50%, 11/01/18		317,772		307,301
5.00%, 11/01/18		586,771		578,137
4.50%, 12/01/18		399,597		386,430
4.50%, 01/01/19		82,444		79,728
4.50%, 03/01/19		116,008		112,186
5.00%, 04/01/19		967,562		953,324
4.00%, 05/01/19		12,359,479		11,661,819
4.50%, 06/01/19		14,282		13,794
4.50%, 09/01/19		965,691		933,871
4.50%, 03/01/20		275,711		266,626
4.50%, 04/01/20		721,330		697,562
5.50%, 01/01/21 TBA		10,800,000		10,796,630
6.88%, 08/25/21 IOW@		336		8,311
10.37%, 10/25/21 IOW@		642		13,888
6.00%, 01/01/22 TBA		550,000		557,563
4.50%, 01/17/22 TBA		3,000,000		2,893,125
18.56%, 01/25/22†		192,412		222,553
4.16%, 03/25/22†		196,880		194,905
9.50%, 05/01/22		8,092		8,785
5.13%, 07/01/22†		36,533		36,845
6.00%, 01/01/23		195,961		198,556
9.50%, 07/01/24		15,138		16,366
5.43%, 07/01/27†		57,442		57,892
6.64%, 08/01/27†		145,125		147,189
5.39%, 11/01/27†		107,669		108,513
6.50%, 12/25/28		31,912		31,893
7.39%, 02/01/30†		192,304		191,859
5.92%, 05/25/30†		2,770,007		2,785,919
7.15%, 06/01/30†		82,333		84,475
8.00%, 10/01/30		85,462		90,140
5.77%, 10/18/30†		82,738		83,440
7.17%, 12/01/30†		19,888		20,145
5.43%, 01/01/31†		18,094		18,236
6.95%, 05/01/31†		19,613		19,618
6.88%, 06/01/31†		73,039		74,442
6.93%, 06/01/31†		12,715		12,962
6.00%, 01/01/32		137,697		138,977
6.00%, 03/01/32		419,550		423,545
6.50%, 03/01/32		473,888		488,723
6.00%, 04/01/32		966,044		974,859
5.53%, 06/01/32†		22,706		22,885
5.13%, 08/01/32†		42,312		42,962
5.00%, 01/01/33 TBA		7,500,000		7,371,090
5.64%, 02/01/33†		29,814		30,205
5.13%, 05/01/33†		114,246		115,950
5.50%, 05/01/33‡‡		20,907,908		20,694,780
0.01%, 07/25/33 IOW†@		496,386		19,163
3.85%, 10/01/33†		1,659,662		1,636,303
5.50%, 04/01/34		16,971,689		16,799,808
0.01%, 04/25/34 IOW†@		721,048		18,348
0.01%, 06/25/34 IOW†@		1,103,104		39,050
5.50%, 09/01/34		16,250,366		16,076,150
7.50%, 09/01/34		44,939		46,564
4.50%, 10/01/34		332,946		313,016
6.00%, 10/01/34		191,449		192,884
4.50%, 11/01/34		1,418,083		1,331,399
5.50%, 11/01/34‡‡		20,806,809		20,583,745
4.50%, 12/01/34		437,920		410,963
4.61%, 12/01/34†		1,030,683		1,018,058
6.00%, 01/01/35		2,958,878		2,981,054
4.50%, 02/01/35		477,487		448,095
5.50%, 02/01/35		27,008,771		26,719,217
4.50%, 03/01/35		1,930,556		1,810,143
4.50%, 04/01/35		998,732		936,187
4.50%, 05/01/35		853,395		799,953
6.00%, 05/01/35		3,797,915		3,824,460
7.50%, 05/01/35		475,150		492,332
7.50%, 06/01/35		55,906		57,928
4.50%, 07/01/35		498,705		467,474
6.00%, 07/01/35		1,119,742		1,127,568
4.50%, 09/01/35		137,834		129,202
5.50%, 09/01/35		1,802,647		1,782,059
7.50%, 09/01/35		55,961		57,984
4.50%, 10/01/35		344,182		322,628
6.00%, 10/01/35		341,157		343,541
7.50%, 10/01/35		919,291		952,534
4.52%, 11/01/35 POW@		1,441,491		1,086,004
5.35%, 11/01/35†		50,797		51,207
6.00%, 11/01/35		1,740,688		1,752,854
6.67%, 11/01/35†		2,816,292		2,911,189
6.77%, 11/01/35†		707,378		731,192
4.50%, 01/01/36 TBA		1,800,000		1,686,375
5.50%, 01/01/36 TBA		4,900,000		4,841,813
6.00%, 01/01/36 TBA		37,150,000		37,393,778
6.50%, 01/01/36 TBA		21,480,000		21,882,750
5.00%, 01/12/36 TBA		59,050,000		57,001,674
5.00%, 02/01/36 TBA		1,000,000		965,312
5.00%, 02/01/36‡‡		18,841,146		18,195,686
6.00%, 02/01/36		1,322,366		1,331,319
5.47%, 05/01/36†		621,928		626,948
5.50%, 06/01/36		985,985		974,379
7.50%, 06/01/36		922,416		955,757
6.00%, 07/01/36		1,411,312		1,420,867
6.00%, 08/01/36		2,972,068		2,992,192
7.50%, 08/01/36		45,213		46,847
6.00%, 09/01/36		3,864,480		3,890,646
6.00%, 10/01/36		18,997,453		19,126,295
7.50%, 10/01/36		430,583		446,147
6.00%, 01/11/37 TBA		23,000,000		23,150,926
6.50%, 01/11/37 TBA		45,000,000		45,843,750
5.40%, 12/01/37†		232,294		234,193
5.43%, 01/01/38†		100,421		101,246
6.06%, 06/01/40†		205,815		209,535
6.06%, 10/01/40†		509,133		518,370
5.43%, 11/01/40†		73,065		73,671
FFCA Secured Lending Corporation
9.25%, 07/18/20 IO 144AW†@		1,538,734		50,009
FHLMC Structured Pass-Through Securities
6.16%, 07/25/44†		4,513,103		4,534,582
First Horizon Alternative Mortgage Securities
4.75%, 06/25/34†		1,192,417		1,184,074


70		See Notes to Financial Statements.


	Par			Value
First Union National Bank Commercial Mortgage Trust
7.20%, 10/01/32	$	1,500,000		$	1,583,750
GE Capital Commercial Mortgage Corporation
5.51%, 11/10/45†		1,230,000			1,235,437
GMAC Commercial Mortgage Securities, Inc.
6.87%, 08/15/07		185,737	��		186,333
6.28%, 11/15/39		2,000,000			2,084,203
Government National Mortgage Association
7.00%, 10/15/25		68,280			70,593
7.00%, 01/15/26		31,768			32,858
7.00%, 07/15/27		240,515			248,832
7.00%, 12/15/27		4,120			4,262
7.00%, 01/15/28		33,407			34,523
7.00%, 03/15/28		296,534			306,781
7.00%, 07/15/28		31,565			32,619
7.50%, 07/15/28		15,786			16,489
6.50%, 08/15/28		35,137			36,155
7.00%, 08/15/28		48,095			49,701
7.50%, 08/15/28		38,294			40,000
6.50%, 09/15/28		184,322			189,666
7.00%, 10/15/28		80,719			83,415
7.50%, 03/15/29		75,801			79,258
7.50%, 11/15/29		42,794			44,652
5.13%, 11/20/29†		170,080			172,536
8.50%, 08/15/30		6,452			6,923
8.50%, 11/20/30		47,214			50,473
6.50%, 08/15/31		280,529			287,826
7.50%, 08/15/31		97,463			101,746
6.50%, 10/15/31		442,609			454,331
6.00%, 11/15/31		1,106,736			1,122,167
6.50%, 11/15/31		393,205			403,433
6.00%, 12/15/31		350,646			355,535
6.00%, 01/15/32		614,810			624,236
6.00%, 02/15/32		651,567			660,652
6.50%, 02/15/32		757,433			777,796
7.50%, 02/15/32		46,569			48,626
12.60%, 02/16/32†		269,315			332,993
6.00%, 04/15/32		654,220			664,251
6.50%, 04/15/32		486,944			499,609
7.50%, 04/15/32		108,701			113,503
6.50%, 06/15/32		1,589,631			1,632,441
6.50%, 07/15/32		226,427			232,317
6.50%, 08/15/32		702,542			720,816
6.50%, 09/15/32		765,858			785,780
6.00%, 10/15/32		721,137			731,192
6.00%, 11/15/32		652,598			661,943
6.00%, 12/15/32		315,174			319,569
6.50%, 12/15/32		49,708			51,001
6.00%, 01/15/33		325,389			329,926
6.00%, 02/15/33		254,391			257,938
6.50%, 03/15/33		135,189			138,705
5.00%, 04/15/33		324,148			315,635
6.50%, 04/15/33		1,898,933			1,948,326
5.00%, 05/15/33		2,596,854			2,528,948
6.00%, 05/15/33		2,298,459			2,330,506
5.00%, 06/15/33		339,825			330,901
6.00%, 06/15/33		215,026			218,024
5.00%, 07/15/33		803,822			782,713
5.00%, 08/15/33		1,602,921			1,559,285
5.00%, 09/15/33		1,154,766			1,122,871
5.00%, 10/15/33		630,471			613,338
6.00%, 10/15/33		1,043,623			1,058,174
6.50%, 10/15/33		394,292			404,548
5.00%, 11/15/33		76,978			74,966
6.00%, 12/15/33		1,184,351			1,200,864
5.00%, 01/15/34		515,653			501,834
5.00%, 03/15/34		655,673			638,101
5.00%, 04/15/34		248,237			241,584
5.00%, 05/15/34		155,827			151,651
5.00%, 06/15/34		980,544			954,266
5.00%, 08/15/34		633,638			616,658
5.00%, 11/15/34		1,443,522			1,404,839
5.00%, 12/15/34		1,429,276			1,390,975
5.00%, 01/15/35		886,497			862,247
6.00%, 06/15/36		954,783			968,096
GS Mortgage Securities Corporation II
4.68%, 07/10/39		1,300,000			1,262,495
GSMPS Mortgage Loan Trust
5.58%, 02/25/35 144A��		804,891			804,856
5.70%, 09/25/35†		3,011,082			3,015,515
GSR Mortgage Loan Trust
4.54%, 10/25/35†		1,488,176			1,461,826
HarborView Mortgage Loan Trust
5.63%, 11/19/35 STEP		708,386			710,320
5.56%, 01/19/36 STEP		556,951			558,419
5.57%, 01/19/36 STEP		2,373,163			2,380,113
5.54%, 12/19/37†		3,248,114			3,248,114
Impac CMB Trust
5.68%, 10/25/34†		365,885			366,080
5.58%, 11/25/35 STEP		2,182,214			2,185,377
Impac Secured Assets CMN Owner Trust
5.57%, 05/25/35†		1,940,985			1,939,868
Indymac ARM Trust
6.51%, 09/28/31†		40,386			40,249
Indymac Index Mortgage Loan Trust
5.10%, 09/25/35†		722,789			701,560
5.54%, 04/25/46†		1,745,523			1,746,873
JP Morgan Chase Commercial Mortgage Securities Corporation
4.90%, 09/12/37		2,900,000			2,814,164
4.92%, 10/15/42†		200,000			194,162
JPMorgan Chase Commercial Mortgage Securities Corporation
5.43%, 12/12/43		3,000,000			3,015,215
LB-UBS Commercial Mortgage Trust
4.66%, 07/15/30		1,000,000			970,591
4.74%, 07/15/30		830,000			797,893
5.16%, 02/15/31		2,000,000			1,974,311
7.58%, 06/15/36 IO 144AW†@		4,548,696			163,416
4.95%, 09/15/40		900,000			877,778
Luminent Mortgage Trust
5.52%, 02/25/46†		1,779,950			1,780,582
MASTR Adjustable Rate Mortgages Trust
5.19%, 05/25/34†		644,112			642,189
5.51%, 11/25/46†		1,985,429			1,984,498


		See Notes to Financial Statements.		71


Medium-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
MASTR Reperforming Loan Trust
7.00%, 08/25/34 144A	$	1,218,212	$	1,257,265
MLCC Mortgage Investors, Inc.
5.78%, 09/25/27 STEP		958,122		958,962
Morgan Stanley Capital I
5.16%, 10/12/42†		3,000,000		2,964,118
Nomura Asset Acceptance Corporation
5.05%, 06/25/10†		2,818,969		2,797,054
Opteum Mortgage Acceptance Corporation
5.49%, 08/25/35 STEP		1,690,153		1,690,693
Prime Mortgage Trust
5.50%, 05/25/35 144A		8,995,867		8,934,643
6.00%, 05/25/35 144A		1,352,874		1,363,560
6.00%, 11/25/36 144A		4,606,111		4,591,487
Residential Asset Mortgage Products, Inc.
5.77%, 06/25/33 144A†		1,133,993		1,136,831
Sequoia Mortgage Trust
5.91%, 07/20/33†		490,575		491,059
5.80%, 11/20/34 STEP		533,490		534,452
Structured Adjustable Rate Mortgage Loan Trust
5.66%, 08/25/35†		1,760,958		1,766,846
Structured Asset Mortgage Investments, Inc.
5.63%, 12/25/35 STEP		1,978,905		1,982,888
5.55%, 02/25/36†		1,688,115		1,689,022
Thornburg Mortgage Securities Trust
5.43%, 06/25/09†		4,194,893		4,185,848
5.52%, 12/25/35†		4,335,293		4,331,246
5.52%, 01/25/36†		6,171,043		6,162,517
Wachovia Bank Commercial Mortgage Trust
5.20%, 10/15/44†		3,000,000		2,985,728
WAMU Alternative Mortgage Pass-Through Certificates
5.60%, 11/25/46†		2,973,681		2,973,681
Washington Mutual, Inc.
8.75%, 01/25/08 IOW†@		775,046		7,839
8.74%, 05/25/08 IOW@		1,714,580		7,242
8.96%, 06/25/08 IOW†@		2,689,304		27,894
5.59%, 12/25/27 STEP		3,578,247		3,577,601
4.68%, 02/25/33†		143,763		142,063
5.57%, 12/27/36†		1,000,000		1,000,000
6.16%, 06/25/42†		154,591		154,657
5.61%, 07/25/45†		3,142,479		3,153,066
5.64%, 07/25/45†		2,075,244		2,082,138
5.64%, 08/25/45†		1,676,208		1,680,774
5.67%, 08/25/45†		4,587,223		4,599,718
5.61%, 10/25/45†		5,604,638		5,612,175
5.58%, 11/25/45†		2,237,218		2,244,651
5.59%, 12/25/45†		1,607,706		1,612,156
5.61%, 12/25/45†		3,408,336		3,418,165
5.58%, 11/25/46†		964,437		964,437
9.74%, 01/01/49 IOW†@		1,956,512		13,820
Wells Fargo Mortgage-Backed Securities Trust
3.54%, 09/25/34†		2,440,000		2,379,520
4.97%, 10/25/35†		2,155,044		2,142,245
5.09%, 03/25/36†		3,642,057		3,617,599
Zuni Mortgage Loan Trust
5.45%, 07/25/36†		3,789,138		3,784,419


Total Mortgage-Backed Securities
(Cost $689,326,522)				685,919,223


MUNICIPAL BONDS — 0.3%
South Carolina Transportation Infrastructure Bank, Series A Revenue Bond (AMBAC Insured)
5.00%, 10/01/23		2,700,000		2,820,150
Virginia State Housing Development Authority, Commonwealth Mortgage, Series H Revenue Bond (MBIA Insured)
5.38%, 07/01/36		1,000,000		1,042,650


Total Municipal Bonds
(Cost $3,630,079)				3,862,800


	Number of Contracts
PURCHASED OPTIONS — 0.2%
Call Options — 0.0%
10-Year U.S. Treasury Note Futures, Strike Price $115.00, Expires 02/23/07		249		3,891
1-Year Eurodollar Mid-CRV Futures, Strike Price $95.00, Expires 09/14/07		250		234,375
1-Year Eurodollar Mid-CRV Futures, Strike Price $95.25, Expires 09/14/07		453		283,125

				521,391


Call Swaptions — 0.1%
3-Month LIBOR, Strike Price $4.50, Expires 01/22/07		5,500		1
3-Month LIBOR, Strike Price $4.75, Expires 07/02/07		3,110		23,048
3-Month LIBOR, Strike Price $5.00, Expires 03/08/07		2,780		39,226
3-Month LIBOR, Strike Price $5.00, Expires 12/20/07		2,240		136,652
3-Month LIBOR, Strike Price $5.04, Expires 09/17/07		750		39,913
3-Month LIBOR, Strike Price $5.08, Expires 04/19/07		1,010		30,239
3-Month LIBOR, Strike Price $5.21, Expires 12/12/11		990		367,171
3-Month LIBOR, Strike Price $5.25, Expires 06/07/07		1,700		99,739
3-Month LIBOR, Strike Price $5.25, Expires 07/02/07		3,540		224,719
3-Month LIBOR, Strike Price $5.37, Expires 07/02/07		3,880		305,317
3-Month LIBOR, Strike Price $5.75, Expires 04/27/09		280		249,270
6-Month LIBOR, Strike Price $5.19, Expires 09/14/07		350		9,715

				1,525,010


72		See Notes to Financial Statements.


	Number of Contracts		Value
Put Options — 0.0%
30-Year Federal National Mortgage Association, Strike Price $89.63, Expires 02/05/07		400	$	133
30-Year Federal National Mortgage Association, Strike Price $90.75, Expires 02/05/07		540		279
30-Year Federal National Mortgage Association, Strike Price $91.00, Expires 02/05/07		560		351
30-Year Federal National Mortgage Association, Strike Price $92.50, Expires 03/06/07		2,300		1,587
30-Year Federal National Mortgage Association, Strike Price $93.00, Expires 03/06/07		600		282
30-Year Federal National Mortgage Association, Strike Price $93.13, Expires 03/06/07		1,030		331
30-Year Federal National Mortgage Association, Strike Price $94.50, Expires 03/06/07		440		616
90-Day Eurodollar Futures, Strike Price $91.25, Expires 06/18/07		180		1,125
90-Day Eurodollar Futures, Strike Price $95.00, Expires 09/17/07		29		13,412

				18,116


Put Swaptions — 0.1%
3-Month LIBOR, Strike Price $5.21, Expires 12/12/11		990		470,757
3-Month LIBOR, Strike Price $6.25, Expires 04/27/09		280		51,067

				521,824


Total Purchased Options
(Cost $2,901,767)				2,586,341


	Shares
PREFERRED STOCKS — 0.1%
CORTS Trust for Ford Motor Co.		9,100		178,269
General Motors Corporation CONV		40,650		861,373


Total Preferred Stocks
(Cost $873,008)				1,039,642


RIGHTS — 0.0%
United Mexican States Recovery Rights Series E,
06/30/07
(Cost $0)		1,100,000		15,950


MONEY MARKET FUNDS — 29.2%
GuideStone Funds Money Market Fund (GS4 Class)¥		104,258,409	$	104,258,409
Northern Institutional Liquid Assets Portfolio§		258,993,690		258,993,690


Total Money Market Funds
(Cost $363,252,099)				363,252,099


	Par
U.S. TREASURY OBLIGATIONS — 27.9%
U.S. Treasury Bills
4.80%, 03/15/07‡‡	$	770,000		762,673
4.81%, 03/15/07‡‡		865,000		856,769

				1,619,442

U.S. Treasury Bonds
5.38%, 02/15/31D		1,600,000		1,714,376
4.50%, 02/15/36D		10,022,000		9,533,438

				11,247,814

U.S. Treasury Inflationary Index Bonds
3.38%, 01/15/07D		19,500,000		24,815,470
0.88%, 04/15/10D		15,200,000		15,363,296
2.38%, 04/15/11D		7,010,000		7,104,605
3.38%, 01/15/12D		60,000		71,250
1.88%, 07/15/13D		700,000		743,673
2.00%, 01/15/14D		600,000		637,090
2.00%, 07/15/14D		3,000,000		3,119,906
1.88%, 07/15/15D		12,000,000		11,941,078
2.50%, 07/15/16D		4,980,000		5,018,193
2.38%, 01/15/25D		1,140,000		1,216,092
2.00%, 01/15/26D		1,660,000		1,588,684
3.88%, 04/15/29D		4,468,000		6,912,177

				78,531,514

U.S. Treasury Notes
2.25%, 02/15/07D		22,000,000		21,932,988
3.38%, 02/15/08		850,000		835,424
4.88%, 10/31/08D		16,000,000		16,012,512
3.25%, 01/15/09		1,100,000		1,067,689
4.50%, 02/15/09D		480,000		477,244
3.63%, 07/15/09		200,000		194,789
4.88%, 08/15/09D		4,400,000		4,414,612
3.38%, 10/15/09D		1,400,000		1,351,111
3.50%, 12/15/09		8,000,000		7,735,944
3.63%, 01/15/10		1,300,000		1,260,290
3.50%, 02/15/10D		3,200,000		3,088,502
3.88%, 09/15/10		10,100,000		9,821,068
4.25%, 10/15/10		500,000		492,422
4.50%, 11/15/10D		25,915,000		25,738,882
4.38%, 12/15/10		7,500,000		7,415,925
4.50%, 02/28/11		13,200,000		13,106,676
4.75%, 03/31/11		1,800,000		1,803,587
4.88%, 04/30/11D		11,790,000		11,870,137
5.13%, 06/30/11		8,300,000		8,442,660
4.88%, 07/31/11		33,900,000		34,148,962
4.63%, 10/31/11D		3,000,000		2,990,040
4.25%, 08/15/13D		200,000		195,047
4.25%, 08/15/14		7,000,000		6,797,112
4.25%, 11/15/14D		1,760,000		1,707,888
4.25%, 08/15/15D		2,890,000		2,797,431
4.50%, 11/15/15D		6,890,000		6,786,113
5.13%, 05/15/16D		3,070,000		3,163,181


		See Notes to Financial Statements.		73


Medium-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)


	Par			Value
4.88%, 08/15/16D	$	23,110,000		$	23,393,467
4.50%, 11/15/16		4,810,000			4,779,942
4.63%, 11/15/16D		6,400,000			6,360,006

					230,181,651

U.S. Treasury STRIPS
4.98%, 11/15/21WD		19,680,000			9,482,887
4.99%, 08/15/24WD		19,700,000			8,265,253
4.96%, 11/15/24WD		2,200,000			916,502
4.96%, 02/15/25W		4,100,000			1,684,251
4.96%, 08/15/25WD		3,100,000			1,247,105
4.97%, 05/15/26WD		1,500,000			579,513
4.96%, 11/15/26WD		3,600,000			1,359,742
4.92%, 08/15/27W		1,050,000			385,373
4.91%, 11/15/27WD		400,000			145,036

					24,065,662


Total U.S. Treasury Obligations
(Cost $346,847,064)					345,646,083


TOTAL INVESTMENTS — 147.0%
(Cost $1,822,424,703)					1,824,887,125


	Number of Contracts
WRITTEN OPTIONS — (0.1)%
Call Swaptions — (0.1)%
3-Month LIBOR, Strike Price $4.56, Expires 01/22/07		(2,370	)		(24	)
3-Month LIBOR, Strike Price $4.75, Expires 07/02/07		(680	)		(28,394	)
3-Month LIBOR, Strike Price $5.04, Expires 03/08/07		(1,200	)		(55,236	)
3-Month LIBOR, Strike Price $5.15, Expires 12/20/07		(970	)		(147,406	)
3-Month LIBOR, Strike Price $5.22, Expires 04/19/07		(440	)		(47,555	)
3-Month LIBOR, Strike Price $5.34, Expires 06/07/07		(700	)		(111,860	)
3-Month LIBOR, Strike Price $5.37, Expires 07/02/07		(1,540	)		(270,917	)
3-Month LIBOR, Strike Price $5.50, Expires 07/02/07		(1,270	)		(339,166	)
6-Month LIBOR, Strike Price $4.85, Expires 09/14/07		(100	)		(9,166	)

					(1,009,724	)


Put Option — 0.0%
15-Year U.S. Treasury Long Bond Futures, Strike Price $112.00, Expires 02/24/08		(23	)		(31,985	)


Total Written Options
(Premiums received $(1,044,466))					(1,041,709	)


	Par
SECURITIES SOLD SHORT — (4.2)%
Federal National Mortgage Association
5.50%, 02/13/36 TBA	$	(38,900,000	)		(38,425,887	)
5.00%, 01/11/37 TBA		(15,000,000	)		(14,479,680	)


Total Securities Sold Short
(Cost $(53,316,215))					(52,905,567	)


Liabilities in Excess of Other Assets — (42.7)%					(529,864,992	)

NET ASSETS — 100.0%				$	1,241,074,857


74		See Notes to Financial Statements.

Swap agreements outstanding at December 31, 2006:


Description	Expiration Date	Notional Value		Unrealized Appreciation (Depreciation)
Australian Dollars
Receive fixed rate payments of 6.00% and pay variable rate payments on the six month BB floating rate(i)	06/15/17	1,000,000		$	(21,024	)


British Pounds
Receive fixed rate payments of 5.00% and pay variable rate payments on the six month LIBOR floating rate(d)	06/15/09	800,000			(14,777	)
Receive fixed rate payments of 5.00% and pay variable rate payments on the six month LIBOR floating rate(i)	09/15/10	4,000,000			(114,431	)
Receive fixed rate payments of 5.00% and pay variable rate payments on the six month LIBOR floating rate(d)	09/15/10	10,200,000			(291,799	)
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			(59,035	)
Receive fixed rate payments of 5.00% and pay variable rate payments on the six month LIBOR floating rate(m)	09/15/15	400,000			(9,445	)
Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 4.00%(i)	12/15/35	(4,900,000	)		7,369
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	)		5,565

					(476,553	)


Canadian Dollars
Receive fixed rate payments of 4.50% and pay variable rate payments on the six month CBK floating rate(h)	06/15/27	5,100,000			(111,962	)


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			5,813
Receive floating par in the event of default on the DJ ITRAXX6HIVOL Index and pay fixed rate payments of 0.85%(g)	12/20/16	(1,200,000	)		(7,191	)
Receive floating par in the event of default on the DJ ITRAXX6HI4 Index and pay fixed rate payments of 0.85%(g)	12/20/16	(2,900,000	)		(17,380	)
Receive floating par in the event of default on the DJ ITRAXX6HI4 Index and pay fixed rate payments of 0.85%(i)	12/20/16	(3,600,000	)		(21,575	)
Receive floating par in the event of default on the DJ ITRAXX6HI4 Index and pay fixed rate payments of 0.85%(d)	12/20/16	(1,300,000	)		(7,791	)
Receive floating par in the event of default on the DJ ITRAXX6HI4 Index and pay fixed rate payments of 0.85%(j)	12/20/16	(2,900,000	)		(17,380	)

					(65,504	)


Japanese Yen
Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 2.00%(h)	06/20/16	(210,000,000	)		(23,908	)
Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 2.00%(d)	06/20/16	(80,000,000	)		(9,108	)

					(33,016	)


		See Notes to Financial Statements.		75


Medium-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)


Description	Expiration Date	Notional Value			Unrealized Appreciation (Depreciation)
U.S. Dollars
Receive fixed rate payments of 0.61% and pay floating par in the event of default on Russian Federation, 5.00% due 03/31/30(h)	03/20/07	$	1,300,000		$	1,365
Receive fixed rate payments of 0.77% and pay floating par in the event of default on Russian Federation, 5.00% due 03/31/30(g)	05/20/07		100,000			223
CMBS AAA 10 Year Index Basis Total Return Swap(k)	05/31/07		11,000,000			22,821
Receive fixed rate payments of 0.055% and pay floating par in the event of default on American International Group, 5.60% due 10/18/16(e)	03/20/08		5,600,000			2,353
Receive floating par in the event of default on Republic of Philippines, 8.25% due 01/15/14 and pay fixed rate of 2.47%(e)	09/20/08		(1,000,000	)		(33,416	)
Receive floating par in the event of default on RadioShack Corporation, 7.375% due 05/15/11 and pay fixed rate payments of 0.37%(b)	12/20/08		(300,000	)		3,012
Receive floating par in event of default on Emerson Electric Co., 4.625% due 10/15/12 and pay fixed rate payments of 0.22%(c)	12/20/08		(300,000	)		(937	)
Receive floating par in event of default on Devon Financing Corporation, 6.875% due 09/30/11 and pay fixed rate payments of 0.35%(h)	12/20/08		(500,000	)		(2,112	)
Receive floating par in event of default on Anadarko Petroleum Corporation, 5.000% due 10/01/12 and pay fixed rate payments of 0.27%(h)	12/20/08		(300,000	)		(766	)
Receive floating par in event of default on Carnival Corporation, 6.150% due 04/15/08 and pay fixed rate payments of 0.44%(b)	12/20/08		(300,000	)		(2,209	)
Receive floating par in event of default on Countrywide Home Loan, 6.250% due 04/15/09 and pay fixed rate payments of 0.42%(c)	12/20/08		(300,000	)		(1,885	)
Receive floating par in event of default on Occidental Petroleum, 6.750% due 01/15/12 and pay fixed rate payments of 0.28%(h)	12/20/08		(300,000	)		(1,250	)
Receive floating par in event of default on Kroger Co. 6.750% due 04/15/12 and pay fixed rate payments of 0.53%(c)	12/20/08		(300,000	)		(2,548	)
Receive fixed rate payments of 5.00% and pay variable rate payments on the three month LIBOR floating rate(b)	06/18/09		55,000,000			20,786
Receive fixed rate payments of 5.00% and pay variable rate payments on the three month LIBOR floating rate(b)	06/20/09		10,000,000			(10,290	)
Receive fixed rate payments of 5.00% and pay variable rate payments on the three month LIBOR floating rate(k)	06/21/10		36,000,000			(17,435	)
Receive floating par in the event of default on Republic of Turkey, 11.875% due 01/15/30 and pay fixed rate of 2.70%(c)	09/20/10		(400,000	)		(19,996	)
Receive floating par in the event of default on Republic of Turkey, 11.875% due 01/15/30 and pay fixed rate of 2.25%(c)	09/20/10		(1,000,000	)		(35,006	)


76		See Notes to Financial Statements.


Description	Expiration Date	Notional Value			Unrealized Appreciation (Depreciation)
Receive floating par in the event of default on DaimlerChrysler NA Holding, 5.75% due 09/08/11 and pay fixed rate of 0.58%(d)	09/20/11	$	(900,000	)	$	(3,705	)
Receive floating par in the event of default on the DJ CDX HVOL7 Index and pay fixed rate payments of 0.75%(d)	12/20/11		(9,700,000	)		16,668
Receive variable rate payments on the three month LIBOR and pay fixed rate payments of 5.00%(f)	12/20/11		(13,000,000	)		48,143
Receive floating par in the event of default on International Lease Finance Corp, 5.40% due 02/15/12 and pay fixed rate of 0.17%(d)	03/20/12		(400,000	)		(463	)
Receive floating par in the event of default on XL Capital (Europe) PLC, 6.50% due 01/15/12 and pay fixed rate of 0.205%(d)	03/20/12		(500,000	)		(1,040	)
Receive floating par in the event of default on Pulte Homes Inc., 6.25% due 02/15/13 and pay fixed rate of 0.72%(d)	03/20/13		(1,100,000	)		(8,763	)
Receive floating par in the event of default on Sealed Air Corp, 5.625% due 07/15/13 and pay fixed rate of 0.58%(c)	09/20/13		(400,000	)		(1,829	)
Receive floating par in the event of default on Citifinancial, 6.625% due 06/01/15 and pay fixed rate of 0.145%(d)	06/20/15		(300,000	)		9
Receive floating par in the event of default on Republic of Hungary, 4.75% due 02/03/15 and pay fixed rate of 0.535%(c)	05/20/16		(1,600,000	)		(15,577	)
Receive floating par in the event of default on Republic of Hungary, 4.75% due 02/03/15 and pay fixed rate of 0.54%(g)	05/20/16		(1,400,000	)		(14,144	)
Receive floating par in the event of default on Republic of Hungary, 4.75% due 02/03/15 and pay fixed rate of 0.545%(i)	05/20/16		(2,800,000	)		(29,316	)
Receive floating par in the event of default on Omnicom Group Inc., 5.90% due 04/15/16 and pay fixed rate of 0.39%(c)	06/20/16		(700,000	)		(2,194	)
Receive floating par in the event of default on Bank of America, 5.62% due 10/14/16 and pay fixed rate of 0.17%(f)	12/20/16		(1,700,000	)		719
Receive floating par in the event of default on the DJ CDX IG7 Index and pay fixed rate payments of 0.65%(c)	12/20/16		(7,800,000	)		(50,276	)
Receive variable rate payments on the three month LIBOR floating rate and pay fixed rate payments of 5.00%(i)	06/20/17		(8,100,000	)		110,302
Receive floating par in the event of default on Asset Backed Funding Certificates, 8.8225% due 11/25/32 and pay fixed rate of 2.35%(b)	11/25/32		(1,000,000	)		10,575
Receive fixed rate payments of 5.00% and pay variable rate payments on the three month LIBOR floating rate(i)	06/20/37		4,200,000			(189,978	)
Receive fixed rate payments of 5.00% and pay variable rate payments on the three month LIBOR floating rate(m)	06/20/37		8,600,000			(389,003	)
Receive fixed rate payments of 5.00% and pay variable rate payments on the three month LIBOR floating rate(f)	06/20/37		5,900,000			(266,874	)


		See Notes to Financial Statements.		77


Medium-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)


Description	Expiration Date	Notional Value			Unrealized Appreciation (Depreciation)
Receive floating par in the event of default on the ABX.HE.A.06-1 Index and pay fixed rate payments of 0.54%(e)	07/25/45	$	(7,700,000	)	$	(28,328	)
Receive floating par in the event of default on the ABX.HE.A.06-1 Index and pay fixed rate payments of 0.54%(b)	07/25/45		(2,000,000	)		(7,358	)
Receive floating par in the event of default on the ABX.HE.BBB.06-2 Index and pay fixed rate payments of 1.33%(e)	05/25/46		(1,800,000	)		63,819

						(835,903	)

					$	(1,543,962	)


Forward volatility option with premium to be determined on a future date outstanding at December 31, 2006:

Description	Expiration Date	Notional Value			Unrealized Depreciation
Call & Put—OTC U.S. dollar Forward Delta Neutral Straddle vs. Japanese Yen, Strike Price and premium determined on 03/20/07, based upon implied volatility parameter of 8.50% (b)	03/20/08	$	20,200,000		$	(195,536	)

PORTFOLIO SUMMARY (based on net assets)


	%
Mortgage-Backed Securities	55.3
Futures Contracts	48.1
Money Market Funds	29.2
U.S. Treasury Obligations	27.9
Corporate Bonds	12.6
Foreign Bonds	11.0
Agency Obligations	5.8
Asset-Backed Securities	3.8
Commercial Paper	0.8
Municipal Bonds	0.3
Purchased Options	0.2
Preferred Stocks	0.1
Forward Volatility Option	—	**
Rights	—	**
Swap Agreements	(0.1	)
Written Options	(0.1	)
Forward Foreign Currency Contracts	(3.3	)
Securities Sold Short	(4.2	)

	187.4

**	Rounds to less than 0.005%.


78		See Notes to Financial Statements.



Extended-Duration Bond Fund

The Fund is primarily comprised of investment grade fixed income securities with longer maturities. The Fund posted a positive absolute return and outperformed its composite benchmark index, 50% Lehman Brothers Long-term Government Index and 50% Lehman Brothers Long-term Credit Index, during the fourth quarter and year. Despite the headwind of rising long-term interest rates, the Fund was the best performing fixed income Select Fund (excluding the Money Market Fund) for the year on an absolute return basis. The Fund’s benchmark relative performance was positively impacted by its allocations to high yield, emerging markets and non-U.S. dollar denominated securities. A modest allocation to municipals also added value. During a period of spread tightening, one sub-adviser’s significant overweight to the lower-yielding Treasury sector negatively impacted performance during the quarter. Both of the sub-advisers within the Fund outpaced the composite benchmark during the quarter. Loomis Sayles generated the greatest relative outperformance during the period given their allocations to extended sectors such as high-yield, emerging market and non-U.S. dollar denominated securities.

Please see page 83 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.


		79

Extended-Duration Bond Fund


Average Annual Total Returns as of 12/31/06
	GS2 Class*		GS4 Class*		GS6 Class*		Benchmark**		GS8 Class*		GS8 Class Benchmark**
One Year	4.75	%	4.56	%	4.09	%	2.77	%	3.79	%	2.77	%
Five Year	8.07	%	7.91	%	7.61	%	7.44	%	N/A		N/A
Since Inception	7.95	%	7.87	%	7.48	%	7.06	%	4.92	%	4.67	%
Inception Date	08/27/01		08/27/01		08/27/01		08/27/01		11/08/04		11/08/04

*	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.


80


Extended-Duration Bond Fund
SCHEDULE OF INVESTMENTS		December 31, 2006


	Par		Value
AGENCY OBLIGATION — 0.3%
Federal National Mortgage Association
2.29%, 02/19/09(G)
(Cost $1,477,847)		2,500,000	$	1,592,833


ASSET-BACKED SECURITY — 0.3%
Community Program Loan Trust
4.50%, 04/01/29
(Cost $1,673,976)	$	1,950,000		1,837,683


CORPORATE BONDS — 15.0%
Alberton’s, Inc.
6.63%, 06/01/28		105,000		95,850
7.45%, 08/01/29		985,000		967,269
8.00%, 05/01/31D		110,000		112,129
Albertson’s, Inc.
7.75%, 06/15/26		800,000		801,954
Anadarko Petroleum Corporation
5.95%, 09/15/16		1,080,000		1,084,237
6.45%, 09/15/36		760,000		770,524
Arrow Electronics, Inc.
6.88%, 07/01/13		250,000		261,139
ASIF Global Financing XXVII
2.38%, 02/26/09 144A(G)		6,700,000		4,266,997
Avnet, Inc.
6.00%, 09/01/15		875,000		864,186
Barclays Financial LLC
4.16%, 02/22/10 144A(T)		25,000,000		657,475
4.10%, 03/22/10 144A(T)		30,000,000		786,262
4.06%, 09/16/10 144A(W)		730,000,000		767,991
Borden, Inc.
7.88%, 02/15/23D		1,200,000		966,000
Bristol-Myers Squibb Co.
4.86%, 09/15/23 CONV†		1,000,000		1,005,000
Chesapeake Energy Corporation
6.88%, 01/15/16D		610,000		618,387
6.50%, 08/15/17D		45,000		44,212
6.88%, 11/15/20D		320,000		316,000
CIT Group, Inc.
5.50%, 12/01/14(U)		600,000		1,152,502
Comcast Corporation
5.50%, 03/15/11		500,000		502,574
5.65%, 06/15/35		570,000		519,146
6.50%, 11/15/35		555,000		560,743
6.45%, 03/15/37		2,480,000		2,489,568
Commonwealth Edison Co.
4.75%, 12/01/11@		402,000		388,412
Constellation Energy Group, Inc.
4.55%, 06/15/15D		750,000		695,509
Continental Airlines, Inc.
6.95%, 02/02/11		311,850		308,927
8.31%, 04/02/18D		479,233		496,306
7.57%, 03/15/20D		421,412		425,890
Corning, Inc.
6.20%, 03/15/16		230,000		234,574
7.25%, 08/15/36D		850,000		913,795
Cox Communications, Inc.
6.75%, 03/15/11D		250,000		261,592
Cummins, Inc.
7.13%, 03/01/28D		425,000		443,006
DCP Midstream LP
6.45%, 11/03/36 144AD		490,000		505,149
Devon Energy Corporation
4.95%, 08/15/08 CONV		963,000		1,338,570
Dillard’s, Inc.
7.75%, 07/15/26		890,000		894,450
7.00%, 12/01/28D		500,000		480,000
El Paso Corporation
7.00%, 05/15/11D		400,000		417,000
EOP Operating LP
7.25%, 06/15/28D		500,000		549,493
First Industrial LP
7.60%, 07/15/28		1,000,000		1,118,837
Foot Locker, Inc.
8.50%, 01/15/22		1,000,000		987,500
Ford Motor Co.
6.63%, 10/01/28D		680,000		496,400
6.38%, 02/01/29D		1,255,000		906,737
Ford Motor Credit Co.
5.70%, 01/15/10		135,000		129,500
7.00%, 10/01/13D		315,000		301,214
8.00%, 12/15/16		1,000,000		989,819
General Motors Acceptance Corporation
6.88%, 08/28/12		250,000		257,004
Georgia-Pacific Corporation
8.00%, 01/15/24		30,000		30,600
7.38%, 12/01/25D		240,000		235,200
7.25%, 06/01/28D		300,000		292,500
7.75%, 11/15/29D		3,700,000		3,709,250
8.88%, 05/15/31		60,000		63,750
GTE Corporation
6.94%, 04/15/28		10,000		10,514
HCA, Inc.
6.30%, 10/01/12		1,500,000		1,376,250
7.58%, 09/15/25		1,000,000		818,672
7.05%, 12/01/27		500,000		378,818
Health Care Property Investors, Inc.
6.00%, 03/01/15D		1,500,000		1,493,958
Highwoods Properties, Inc.
7.50%, 04/15/18		1,500,000		1,669,689
Historic TW, Inc.
6.63%, 05/15/29		60,000		60,942
HSBC Bank USA NA
3.31%, 08/25/10 144A		700,000		746,830
IMC Global, Inc.
7.38%, 08/01/18		500,000		477,500
7.30%, 01/15/28D		690,000		638,250
iStar Financial, Inc.
5.70%, 03/01/14D		1,171,000		1,162,082
Kinder Morgan Energy Partners LP
5.80%, 03/15/35		280,000		255,284
Kinder Morgan, Inc.
7.25%, 03/01/28D		500,000		483,691
Lennar Corporation
5.60%, 05/31/15		935,000		895,497
6.50%, 04/15/16 144AD		625,000		635,228
MidAmerican Energy Holdings Co.
5.88%, 10/01/12D		1,000,000		1,019,177
Motorola, Inc.
6.50%, 11/15/28D		500,000		531,439
NiSource Finance Corporation
6.15%, 03/01/13		1,000,000		1,019,735


See Notes to Financial Statements.		81


Extended-Duration Bond Fund
SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Northern Telecom Capital
7.88%, 06/15/26	$	450,000	$	405,000
Owens Corning, Inc.
6.50%, 12/01/16 144A		240,000		244,244
7.00%, 12/01/36 144A		355,000		359,606
Pemex Project Funding Master Trust
8.63%, 02/01/22		1,000,000		1,238,500
8.63%, 12/01/23D		1,000,000		1,233,750
Pioneer Natural Resources Co.
7.20%, 01/15/28		2,500,000		2,367,160
Preston Corporation
7.00%, 05/01/11 CONV		250,000		236,250
Pulte Homes, Inc.
7.88%, 06/15/32		1,500,000		1,654,184
6.38%, 05/15/33D		1,000,000		936,523
Qwest Corporation
7.25%, 09/15/25D		1,000,000		1,032,500
6.88%, 09/15/33D		2,250,000		2,160,000
Raytheon Co.
6.40%, 12/15/18		2,600,000		2,787,884
7.20%, 08/15/27		250,000		291,960
7.00%, 11/01/28		750,000		861,364
Southern Natural Gas Co.
7.35%, 02/15/31		1,750,000		1,935,056
Sprint Capital Corporation
6.88%, 11/15/28		3,305,000		3,317,642
Swift Energy Co.
7.63%, 07/15/11D		150,000		153,375
Tennessee Gas Pipeline Co.
7.00%, 10/15/28		750,000		795,658
Time Warner, Inc.
7.63%, 04/15/31		35,000		39,215
6.50%, 11/15/36		120,000		119,830
Toll Brothers Finance Corporation
5.15%, 05/15/15		1,285,000		1,179,372
Union Pacific Resources Group
7.15%, 05/15/28		250,000		272,104
Verizon Global Funding Corporation
5.85%, 09/15/35D		2,420,000		2,325,601
Verizon Maryland, Inc.
5.13%, 06/15/33D		50,000		41,153
Verizon New York, Inc.
7.38%, 04/01/32D		385,000		398,671
Western Union Co.
6.20%, 11/17/36 144A		2,060,000		1,941,422
Williams Cos, Inc.
7.50%, 01/15/31D		1,250,000		1,303,125
Xerox Capital Trust I
8.00%, 02/01/27D		1,500,000		1,539,375
XTO Energy, Inc.
6.10%, 04/01/36		50,000		48,960

Total Corporate Bonds
(Cost $76,930,253)				82,374,169


FOREIGN BONDS — 10.7%
Argentina — 0.1%
Republic of Argentina
4.01%, 08/03/12†		385,000		281,435


Australia — 0.1%
Qantas Airways, Ltd.
6.05%, 04/15/16 144A		345,000		307,586


Brazil — 1.0%
Federal Republic of Brazil
8.25%, 01/20/34D		4,750,000		5,771,250


Canada — 4.0%
British Columbia Generic Residual
4.23%, 06/09/14 STRIP(C) W		10,230,000		6,367,049
Canada Generic Residual
4.23%, 06/01/25 STRIP(C)W		4,110,000		1,631,806
Canadian Government
4.50%, 09/01/07(C)		1,480,000		1,271,862
4.25%, 09/01/08(C)		2,800,000		2,409,059
Kinder Morgan Finance Co.
5.70%, 01/05/16		125,000		114,886
6.40%, 01/05/36D		665,000		594,721
Methanex Corporation
6.00%, 08/15/15		25,000		23,752
Ontario Generic Residual
4.70%, 07/13/22 STRIP(C)W		3,900,000		1,627,021
4.67%, 03/08/29 STRIP(C)W		7,000,000		2,109,334
Saskatchewan Residual
4.30%, 04/10/14 STRIP(C)W		7,500,000		4,698,152
4.68%, 02/04/22 STRIP(C)W		3,000,000		1,279,852

				22,127,494


Cayman Islands — 0.1%
Enersis SA
7.40%, 12/01/16D		625,000		688,211


Egypt — 1.3%
Egypt Government AID Bonds
4.45%, 09/15/15		7,365,000		7,129,519


Malaysia — 0.0%
Telekom Malaysia BHD
7.88%, 08/01/25 144A		225,000		275,448


Mexico — 0.7%
Mexican Bonos
9.00%, 12/20/12(M)		23,000,000		2,300,000
8.00%, 12/07/23(M)		17,000,000		1,642,720

				3,942,720


Philippines — 0.2%
Philippine Long Distance Telephone Co.
8.35%, 03/06/17		500,000		570,000
Quezon Power (Philippines), Ltd.
8.86%, 06/15/17D		424,700		428,947

				998,947


Spain — 0.6%
Telefonica Emisones SAU
7.05%, 06/20/36		3,105,000		3,308,614


Supranational — 2.0%
Inter-American Development Bank
13.58%, 05/11/09(B)W		7,500,000		2,571,378
6.00%, 12/15/17(Z)		12,250,000		8,263,485

				10,834,863


Sweden — 0.4%
Swedish Government
6.50%, 05/05/08(K)		14,640,000		2,216,759


82		See Notes to Financial Statements.


	Par		Value
Venezuela — 0.2%
Cerro Negro Finance, Ltd.
7.90%, 12/01/20 144A	$	500,000	$	487,500
Petrozuata Finance, Inc.
8.37%, 10/01/22 144A		450,000		441,000

				928,500

Total Foreign Bonds
(Cost $ 49,200,409)				58,811,346


MORTGAGE-BACKED SECURITIES — 0.2%
Federal Home Loan Mortgage Corporation
5.00%, 12/01/31		202,230		195,651
Federal National Mortgage Association
5.00%, 07/25/23		584,794		581,378

Total Mortgage-Backed Securities
(Cost $714,195)				777,029


	Shares
PREFERRED STOCK — 0.2%
Travelers Property Casualty Corporation
4.50%, 04/15/32 CONVD
(Cost $989,021)		44,125		1,153,427


MONEY MARKET FUNDS — 53.4%
GuideStone Funds Money Market Fund (GS4 Class)¥		14,475,319		14,475,319
Northern Institutional Liquid Assets Portfolio§		278,446,396		278,446,396

Total Money Market Funds
(Cost $292,921,715)				292,921,715


	Par
U.S. TREASURY OBLIGATIONS — 69.9%
U.S. Treasury Bonds
8.13%, 08/15/19D	$	10,480,000		13,695,233
8.00%, 11/15/21D		192,517,000		255,265,606
5.38%, 02/15/31		2,660,000		2,850,150
4.50%, 02/15/36D		102,135,000		97,156,021

				368,967,010

U.S. Treasury Note
4.63%, 10/31/11D		15,000,000		14,950,200

Total U.S. Treasury Obligations
(Cost $ 384,980,154)				383,917,210


TOTAL INVESTMENTS — 150.0%
(Cost $808,887,570)				823,385,412

Liabilities in Excess of Other
Assets — (50.0)%				(274,314,758	)

NET ASSETS — 100.0%			$	549,070,654


PORTFOLIO SUMMARY (based on net assets)
		%
U.S. Treasury Obligations		69.9
Money Market Funds		53.4
Corporate Bonds		15.0
Foreign Bonds		10.7
Agency Obligation		0.3
Asset-Backed Security		0.3
Mortgage-Backed Securities		0.2
Preferred Stock		0.2

		150.0


See Notes to Financial Statements.		83



Global Bond Fund

The Global Bond Fund was launched on December 29, 2006 and is a diversified portfolio composed primarily of global fixed income securities with an average dollar-weighted duration normally between three to ten years.

The Global Bond Fund invests in high yield securities, commonly known as “junk bonds”. While offering higher currency yields, these securities generally are considered speculative and are subject to greater risks than higher-rated bonds. Securities of emerging countries may involve additional risks including price volatility, reduced liquidity, currency fluctuation and financial reporting requirements as well as political and economic instability. This fund is not available for direct investment.

Please see page 89 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.


84


Global Bond Fund
SCHEDULE OF INVESTMENTS		December 31, 2006


	Par		Value
ASSET-BACKED SECURITY — 1.0%
RAAC Series
5.69%, 07/25/37 144A†
(Cost $ 959,460)	$	958,265	$	958,713


CORPORATE BONDS — 25.4%
Activant Solutions, Inc.
9.50%, 05/01/16 144A		65,000		60,775
AES Corporation (The)
8.75%, 05/15/13		500,000		538,125
Affinion Group, Inc.
10.13%, 10/15/13		140,000		149,100
Aleris International, Inc.
10.00%, 12/15/16 144A		15,000		15,112
Allegheny Energy Supply
7.80%, 03/15/11		90,000		96,975
8.25%, 04/15/12 144A		190,000		209,475
Alliant Techsystems, Inc.
6.75%, 04/01/16		100,000		100,250
Allied Waste North America, Inc.
8.50%, 12/01/08		70,000		73,938
6.38%, 04/15/11		130,000		129,025
7.13%, 05/15/16		225,000		223,875
American International Group, Inc.
5.05%, 10/01/15		100,000		97,407
Anadarko Petroleum Corporation
5.95%, 09/15/16		40,000		40,157
Appleton Papers, Inc.
8.13%, 06/15/11		40,000		41,000
9.75%, 06/15/14		100,000		103,500
Ashtead Capital, Inc.
9.00%, 08/15/16 144A		140,000		150,500
Ashton Woods USA LLC
9.50%, 10/01/15		35,000		32,025
Associated Materials, Inc.
9.75%, 04/15/12		120,000		124,200
Autonation, Inc.
7.51%, 04/15/13†		425,000		429,250
Avis Budget Car Rental LLC
7.87%, 05/15/14 144A†		225,000		218,250
Ball Corporation
6.88%, 12/15/12		300,000		307,500
Berry Plastics Holding Corporation
8.88%, 09/15/14 144A		60,000		61,200
Boeing Capital Corporation, Ltd.
5.80%, 01/15/13		60,000		61,672
Brookstone Co., Inc.
12.00%, 10/15/12		25,000		24,562
Case New Holland, Inc.
9.25%, 08/01/11		240,000		255,300
7.13%, 03/01/14		70,000		71,400
Charter Communications Holdings LLC
12.13%, 01/15/12 STEP		70,000		65,625
Chesapeake Energy Corporation
7.50%, 09/15/13		265,000		277,256
6.25%, 01/15/18		30,000		29,025
Citizens Communications Co.
9.25%, 05/15/11		200,000		222,250
7.88%, 01/15/27 144A		30,000		30,450
Clear Channel Communi-cations, Inc.
4.63%, 01/15/08		50,000		49,534
CMP Susquehanna Corporation
9.88%, 05/15/14 144A		80,000		80,000
CMS Energy Corporation
8.90%, 07/15/08		40,000		42,000
Colorado Interstate Gas Co.
5.95%, 03/15/15		20,000		19,833
6.80%, 11/15/15		125,000		130,598
Comcast Corporation
6.50%, 01/15/15		60,000		62,613
6.50%, 01/15/17		60,000		62,727
Complete Production Services, Inc.
8.00%, 12/15/16 144A		80,000		82,400
Continental Airlines, Inc.
8.75%, 12/01/11		50,000		50,625
Corrections Corp. of America
7.50%, 05/01/11		270,000		279,450
6.25%, 03/15/13		130,000		129,513
Crum & Forster Holdings Corporation
Crum & Forster Holdings Corporation
10.38%, 06/15/13		50,000	��	54,375
Delhaize America, Inc.
8.13%, 04/15/11		190,000		205,914
9.00%, 04/15/31		325,000		387,499
Dex Media East LLC
9.88%, 11/15/09		200,000		210,000
12.13%, 11/15/12		70,000		77,263
Dex Media West LLC
9.88%, 08/15/13		275,000		301,125
Dex Media, Inc.
9.00%, 11/15/13 STEP		10,000		8,975
DI Finance
9.50%, 02/15/13		90,000		95,850
DirecTV Holdings LLC
8.38%, 03/15/13		500,000		522,500
Duke Energy Corporation
3.75%, 03/05/08		50,000		49,083
Echostar DBS Corporation
7.13%, 02/01/16		800,000		804,000
El Paso Natural Gas Co.
7.63%, 08/01/10		90,000		94,500
8.63%, 01/15/22		90,000		109,448
8.38%, 06/15/32		75,000		91,196
Encore Acquisition Co.
7.25%, 12/01/17		15,000		14,588
EPL Finance Corporation
11.75%, 11/15/13		30,000		32,700
Exco Resources, Inc.
7.25%, 01/15/11		125,000		127,500
FirstEnergy Corporation
6.45%, 11/15/11		100,000		104,389
7.38%, 11/15/31		70,000		79,961
Ford Motor Credit Co.
6.63%, 06/16/08		90,000		89,969
5.63%, 10/01/08		240,000		235,775
5.80%, 01/12/09		500,000		491,152
8.11%, 01/13/12†		37,500		37,205
9.96%, 04/15/12†		100,000		106,106
Forest Oil Corporation
8.00%, 06/15/08		100,000		102,875
8.00%, 12/15/11		70,000		73,150


See Notes to Financial Statements.		85


Global Bond Fund
SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Freescale Semiconductor, Inc.
8.88%, 12/15/14 144A	$	25,000	$	25,031
General Electric Capital Corporation
6.75%, 03/15/32		30,000		34,469
Geokinetics, Inc.
11.86%, 12/15/12 144A†		35,000		35,350
GMAC LLC
6.75%, 12/01/14		650,000		668,654
8.00%, 11/01/31		600,000		690,841
Goldman Sachs Group, Inc.
6.65%, 05/15/09		20,000		20,659
Hanover Compressor Co.
8.63%, 12/15/10		50,000		52,500
7.50%, 04/15/13		40,000		40,600
Hanover Equipment Trust
8.75%, 09/01/11		90,000		94,275
Hawaiian Telcom Communications, Inc.
10.89%, 05/01/13†		25,000		25,125
12.50%, 05/01/15		200,000		210,500
HCA, Inc.
7.88%, 02/01/11		240,000		241,205
9.25%, 11/15/16 144A		60,000		64,425
9.63%, 11/15/16 144A		45,000		48,488
Hertz Corporation
8.88%, 01/01/14		500,000		526,250
Hess Corporation
6.65%, 08/15/11		60,000		62,538
HSBC Finance Corporation
4.63%, 01/15/08		120,000		119,227
Intelsat Corporation
9.00%, 08/15/14		240,000		254,700
9.00%, 06/15/16 144A		160,000		170,200
JPMorgan Chase & Co.
3.63%, 05/01/08		100,000		97,716
Kerr-McGee Corporation
6.95%, 07/01/24		20,000		21,355
Kimball Hill, Inc.
10.50%, 12/15/12		40,000		37,600
Koppers, Inc.
9.88%, 10/15/13		75,000		81,938
Kraft Foods, Inc.
4.13%, 11/12/09		40,000		38,823
5.63%, 11/01/11		30,000		30,351
L-3 Communications Corporation
7.63%, 06/15/12		600,000		624,000
6.13%, 01/15/14		45,000		44,212
6.38%, 10/15/15		450,000		447,750
Lamar Media Corporation
6.63%, 08/15/15		100,000		99,625
Lehman Brothers Holdings, Inc.
4.00%, 01/22/08		130,000		128,241
Levi Strauss & Co.
8.63%, 04/01/13(E)		200,000		281,170
9.75%, 01/15/15		145,000		156,962
8.88%, 04/01/16		50,000		52,500
Linens ‘n Things, Inc.
11.00%, 01/15/14†		35,000		34,125
Lyondell Chemical Co.
11.13%, 07/15/12		45,000		48,600
8.00%, 09/15/14		190,000		198,075
8.25%, 09/15/16		140,000		147,700
Metals USA Holdings Corporation
11.37%, 01/15/12 144A†		240,000		231,600
Michael’s Stores, Inc.
12.94%, 11/01/16 STEP 144A		30,000		16,425
Midwest Generation LLC
8.30%, 07/02/09		99,175		102,089
8.56%, 01/02/16		450,792		497,280
Mirant Mid-Atlantic LLC
9.13%, 06/30/17		152,070		171,744
Morgan Stanley
3.63%, 04/01/08		60,000		58,803
4.75%, 04/01/14		50,000		47,878
Mueller Group, Inc.
10.00%, 05/01/12		105,000		114,712
Neiman-Marcus Group, Inc.
9.00%, 10/15/15		100,000		109,625
Nevada Power Co.
8.25%, 06/01/11		290,000		318,242
5.88%, 01/15/15		100,000		100,037
NewPage Corporation
10.00%, 05/01/12		25,000		26,500
11.62%, 05/01/12†		185,000		200,725
Norcraft Holdings LP
9.85%, 09/01/12 STEP		190,000		161,500
NRG Energy, Inc.
7.38%, 02/01/16		300,000		302,250
Oncor Electric Delivery Co.
6.38%, 01/15/15		100,000		103,239
Orion Power Holdings, Inc.
12.00%, 05/01/10		55,000		62,700
Owens Brockway Glass Container, Inc.
8.25%, 05/15/13		300,000		311,625
Pemex Project Funding Master Trust
6.63%, 06/15/35		1,640,000		1,679,770
PetroHawk Energy Corporation
9.13%, 07/15/13		90,000		94,950
Qwest Communications International, Inc.
8.87%, 02/15/09†		100,000		101,750
7.25%, 02/15/11		35,000		35,963
Qwest Corporaiton
7.63%, 06/15/15		300,000		322,500
Qwest Corporation
7.88%, 09/01/11		100,000		107,000
8.88%, 03/15/12		20,000		22,375
8.58%, 06/15/13†		100,000		108,750
Rainbow National Services LLC
8.75%, 09/01/12 144A		100,000		105,625
10.38%, 09/01/14 144A		300,000		334,875
Rental Services Corporation
9.50%, 12/01/14 144A		60,000		62,250
RH Donnelley Finance Corporation I
10.88%, 12/15/12 144A		200,000		219,000
RH Donnelley, Inc.
10.88%, 12/15/12		100,000		109,500
SemGroup LP
8.75%, 11/15/15		105,000		106,050


86		See Notes to Financial Statements.


	Par		Value
Sinclair Broadcast Group, Inc.
8.75%, 12/15/11	$	225,000	$	235,406
8.00%, 03/15/12		125,000		129,688
Sprint Capital Corporation
8.38%, 03/15/12		60,000		66,754
Tenet Healthcare Corporation
9.88%, 07/01/14		375,000		383,438
Time Warner, Inc.
6.88%, 05/01/12		90,000		95,213
Triad Hospitals, Inc.
7.00%, 11/15/13		50,000		50,562
Turning Stone Resort Casino Enterprise
9.13%, 09/15/14 144A		65,000		66,788
Unicredito Italiano Capital
Trust III
4.03%, 10/29/49(E)†		250,000		308,065
Valor Telecommunications Enterprises LLC
7.75%, 02/15/15		125,000		135,156
Verizon Global Funding Corporation
6.88%, 06/15/12		30,000		32,078
Verso Paper Holdings LLC
9.24%, 08/01/14 144A†		160,000		163,200
Wachovia Corporation
5.25%, 08/01/14		120,000		118,721
Waste Management, Inc.
7.38%, 08/01/10		50,000		53,227
7.38%, 05/15/29		50,000		56,624
WDAC Subsidiary Corporation
8.50%, 12/01/14 144A(E)		200,000		279,850
Weyerhaeuser Co.
6.75%, 03/15/12		120,000		125,989
Williams Cos., Inc.
7.13%, 09/01/11		525,000		548,625
7.50%, 01/15/31		130,000		135,525
Windstream Corporation
8.63%, 08/01/16		650,000		715,000
WMG Acquisition Corporation
7.38%, 04/15/14		150,000		149,250
WMG Holdings Corporation
8.66%, 12/15/14 STEP		100,000		80,500
Xerox Corporation
9.75%, 01/15/09		500,000		542,500
XTO Energy, Inc.
7.50%, 04/15/12		30,000		32,629


Total Corporate Bonds
(Cost $26,197,870)				26,543,470


FOREIGN BONDS — 35.6%
Argentina — 0.5%
Republic of Argentina
2.00%, 01/03/10(P)†		360,000		180,424
4.01%, 08/03/12†		410,000		299,710

				480,134


Australia — 0.9%
Queensland Treasury Corporation
6.00%, 06/14/11(A)		1,220,000		954,795


Bermuda — 0.4%
AES China Generating Co., Ltd.
8.25%, 06/26/10		130,000		130,078
Intelsat Subsidiary Holding Co., Ltd.
8.25%, 01/15/13		300,000		306,000

				436,078


Brazil — 2.4%
Federal Republic of Brazil
11.00%, 08/17/40		1,870,000		2,480,087


Canada — 1.8%
Bombardier, Inc.
7.25%, 11/15/16(E)		161,000		215,938
Conoco Funding Co.
6.35%, 10/15/11		70,000		73,256
OPTI Canada, Inc.
8.25%, 12/15/14 144A		65,000		67,113
Quebecor Media, Inc.
7.75%, 03/15/16		100,000		102,625
Rogers Cable, Inc.
7.88%, 05/01/12		240,000		260,610
8.75%, 05/01/32		60,000		73,200
Rogers Wireless, Inc.
9.63%, 05/01/11		450,000		513,000
7.25%, 12/15/12		250,000		266,250
Western Oil Sands, Inc.
8.38%, 05/01/12		300,000		334,500

				1,906,492


Cayman Islands — 0.5%
Shinsei Finance Cayman, Ltd.
6.42%, 07/20/48†		120,000		120,071
Vale Overseas, Ltd.
6.88%, 11/21/36		390,000		401,952

				522,023

Colombia — 0.4%
Republic of Colombia
7.38%, 09/18/37		400,000		430,400


Denmark — 3.3%
Nordea Kredit Realkreditaktie-selskab
4.00%, 10/01/38(D)		9,300,000		1,510,542
Nordic Telephone Co. Holdings ApS
8.25%, 05/01/16 144A(E)		200,000		291,730
8.88%, 05/01/16 144A		265,000		284,875
Nykredit Realkredit A/S
4.00%, 10/01/38(D)		8,600,000		1,396,845

				3,483,992


Ecuador — 0.1%
Republic of Ecuador
10.00%, 08/15/30 STEP		150,000		111,750


France — 0.8%
AXA SA
5.78%, 07/31/49(E)†		200,000		274,064
Compagnie Generale de Geophysique SA
7.50%, 05/15/15		90,000		90,900
Dexia Municipal Agency
1.55%, 10/31/13(J)		51,000,000		429,260

				794,224


See Notes to Financial Statements.		87


Global Bond Fund
SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Germany — 5.8%
Bundesobligation
3.50%, 10/14/11(E)		2,400,000	$	3,109,853
Bundesrepublik Deutschland
4.00%, 07/04/16(E)		2,200,000		2,913,656

				6,023,509


Iceland — 0.3%
Kaupthing Bank HF
7.13%, 05/19/16	$	150,000		159,375
Landsbanki Islands HF
6.10%, 08/25/11		150,000		152,653

				312,028

Ireland — 0.3%
Smurfit Kappa Funding PLC
9.63%, 10/01/12		90,000		95,850
7.75%, 04/01/15(E)		200,000		266,649

				362,499

Japan — 0.5%
Resona Bank, Ltd.
5.99%, 08/10/49(U)†		250,000		488,419


Jersey — 0.3%
RZB Finance Jersey IV, Ltd.
5.17%, 05/16/16(E)†		250,000		326,497


Luxembourg — 2.3%
Basell AF SCA
8.38%, 08/15/15 144A		200,000		206,500
Fortis Hybrid Financing
5.13%, 06/29/49(E)†		250,000		332,118
Gaz Capital for Gazprom
6.21%, 11/22/16 144A		200,000		201,900
Lighthouse International Co. SA
8.00%, 04/30/14 144A(E)		200,000		290,080
RSHB Capital SA for OJSC Russian Agricultural Bank
7.18%, 05/16/13 144A		250,000		264,063
6.97%, 09/21/16 STEP		100,000		103,535
TNK-BP Finance SA
7.50%, 07/18/16		250,000		266,562
Tyco International Group SA
6.38%, 10/15/11		90,000		94,281
6.50%, 11/21/31(U)		165,000		366,035
Wind Acquisition Finance SA
9.75%, 12/01/15 144A(E)		200,000		304,270

				2,429,344


Malaysia — 0.1%
Penerbangan Malaysia Berhad
5.63%, 03/15/16		100,000		101,662


Mexico — 1.4%
Kansas City Southern de Mexico SA de CV
7.63%, 12/01/13 144A		140,000		140,350
United Mexican States
8.00%, 12/19/13(M)		10,500,000		1,005,290
7.50%, 04/08/33		320,000		378,400

				1,524,040


Netherlands — 2.2%
ABN Amro Bank NV
4.31%, 02/10/49(E)†		395,000		495,503
Carlson Wagonlit BV
9.31%, 05/01/15 144A(E)†		200,000		274,900
Deutsche Telekom International Finance BV
5.75%, 03/23/16		80,000		78,964
ELM BV for Swiss Reinsurance Co.
5.25%, 05/25/49(E)†		200,000		267,290
Fresenius Finance BV
5.50%, 01/31/16 144A(E)		200,000		273,249
Impress Holdings BV
6.48%, 09/15/13 144A(E)†		200,000		270,609
TuranAlem Finance BV
7.13%, 12/21/09(U)		200,000		393,790
UPC Holding BV
7.75%, 01/15/14 144A(E)		200,000		265,989

				2,320,294


Panama — 0.3%
AES El Salvador Trust
6.75%, 02/01/16		190,000		189,947
Republic of Panama
9.38%, 04/01/29		80,000		107,200

				297,147


Peru — 0.3%
Republic of Peru
5.00%, 03/07/17†		121,600		121,296
7.35%, 07/21/25		110,000		124,850
8.75%, 11/21/33		70,000		92,400

				338,546


Philippines — 0.1%
Republic of Philippines
10.63%, 03/16/25		10,000		14,387
7.75%, 01/14/31		50,000		57,000

				71,387


Russia — 2.6%
OAO Gazprom
6.79%, 10/29/09(R)		10,040,000		382,523
7.00%, 10/27/11(R)		3,350,000		127,839
Russian Federation
5.00%, 03/31/30		1,970,000		2,228,704

				2,739,066


South Africa — 2.3%
New Reclamation Group (Proprietary), Ltd.
8.13%, 02/01/13 144A(E)		153,040		212,120
Republic of South Africa
8.75%, 12/21/14(S)		14,200,000		2,155,172

				2,367,292


Thailand — 0.4%
True Move Co., Ltd.
10.75%, 12/16/13 144A		461,000		451,780


Turkey — 0.5%
Republic of Turkey
6.88%, 03/17/36		520,000		499,200


United Kingdom — 3.3%
Ashtead Holdings PLC
8.63%, 08/01/15 144A		160,000		167,200
First Hydro Finance PLC
9.00%, 07/31/21(U)		100,000		240,695


88		See Notes to Financial Statements.


	Par		Value
Heating Finance PLC
7.88%, 03/31/14 144A(U)		100,000	$	188,945
Inmarsat Finance PLC
7.63%, 06/30/12	$	50,000		51,875
NTL Cable PLC
8.75%, 04/15/14		425,000		446,781
9.75%, 04/15/14 144A(U)		100,000		208,280
9.13%, 08/15/16		200,000		212,250
United Kingdom Gilt
4.25%, 03/07/11(U)		1,000,000		1,899,243

				3,415,269


Venezuela — 1.5%
Bolivarian Republic of Venezuela
9.38%, 01/13/34		290,000		383,525
Petrozuata Finance, Inc.
8.22%, 04/01/17		290,000		290,725
Republic of Venezuela
5.75%, 02/26/16		990,000		941,292

				1,615,542

Total Foreign Bonds
(Cost $36,678,842)				37,283,496


MORTGAGE-BACKED SECURITIES — 18.3%
Countrywide Home Loan Mortgage Pass-Through Trust
5.72%, 09/25/35 144A†		968,992		974,255
Federal National Mortgage Association
5.50%, 01/ 01/21 TBA		1,300,000		1,299,595
5.00%, 01/01/33 TBA		1,300,000		1,277,656
5.50%, 01/01/36 TBA		3,000,000		2,964,375
6.50%, 01/12/36 TBA		1,200,000		1,222,500
5.00%, 01/01/37 TBA		5,900,000		5,695,341
6.00%, 01/11/37 TBA		2,700,000		2,717,717
Government National Mortgage Association
Government National Mortgage Association
6.00%, 01/01/37 TBA		1,200,000		1,216,500
6.50%, 01/01/37 TBA		800,000		820,500
MASTR Reperforming Loan Trust
5.67%, 05/25/35 144A†		963,738		965,605

Total Mortgage-Backed Securities
(Cost $19,284,514)				19,154,044

	Number of Contracts

PURCHASED OPTIONS — 0.2%
Put Options — 0.2%
U.S. Dollar vs. Euro, Strike
Price $ 1.33, Expires 03/06/07		4,000,000		56,928
U.S. Dollar vs. Japanese Yen,
Strike Price $117.30, Expires 01/18/07		6,000,000		12,930
U.S. Dollar vs. Japanese Yen,
Strike Price $120.50, Expires 02/06/07		7,300,000		140,408

Total Purchased Options
(Cost $496,330)				210,266


	Shares		Value

MONEY MARKET FUND — 18.2%
GuideStone Funds Money Market Fund (GS4 Class)¥
(Cost $19,032,626)		19,032,626	$	19,032,626


	Par
U.S. TREASURY OBLIGATIONS — 13.3%
U.S. Treasury Bond
6.25%, 05/15/30	$	1,900,000		2,263,970

U.S. Treasury Inflationary Index Bonds
0.88%, 04/15/10		4,250,000		4,295,658
2.00%, 01/15/16		1,800,000		1,768,590

				6,064,248

U.S. Treasury Note
4.88%, 04/30/11		5,600,000		5,638,063

Total U.S. Treasury Obligations
(Cost $14,017,395)				13,966,281


TOTAL INVESTMENTS — 112.0%
(Cost $116,667,037)				117,148,896

Liabilities in Excess of Other Assets — (12.0)%				(12,513,594	)

			$	104,635,302

NET ASSETS — 100.0%

PORTFOLIO SUMMARY (based on net assets)


	%
Foreign Bonds	35.6
Corporate Bonds	25.4
Mortgage-Backed Securities	18.3
Money Market Fund	18.2
U.S. Treasury Obligations	13.3
Asset-Backed Security	1.0
Purchased Options	0.2
Forward Foreign Currency Contracts	(2.6	)

	109.4


See Notes to Financial Statements.		89



Equity Index Fund

The Fund is passively managed and is comprised of domestic, large-cap equity stocks with both value and growth-style orientations. The Fund performed in-line with expectations during the quarter and the year. The performance differential between the benchmark and the Fund is primarily a result of expenses and social restrictions within the Fund.

Please see page 96 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.


90



Equity Index Fund


Average Annual Total Returns as of 12/31/06
	GS2 Class*		GS4 Class*		GS6 Class*		Benchmark**		GS8 Class*		GS8 Class Benchmark**
One Year	15.37	%	15.19	%	14.97	%	15.78	%	14.63	%	15.78	%
Five Year	5.86	%	5.72	%	5.60	%	6.19	%	N/A		N/A
Since Inception	4.84	%	4.83	%	4.70	%	5.25	%	10.64	%	11.62	%
Inception Date	08/27/01		08/27/01		08/27/01		08/27/01		11/08/04		11/08/04

*	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.


		91


Equity Index Fund
SCHEDULE OF INVESTMENTS		December 31, 2006


	Shares	Value
COMMON STOCKS — 96.8%
Auto & Transportation — 2.3%
Burlington Northern Santa Fe Corporation	16,100	$	1,188,341
CSX Corporation	19,300		664,499
FedEx Corporation	13,300		1,444,646
Ford Motor Co.D	82,227		617,525
General Motors CorporationD	24,700		758,784
Genuine Parts Co.D	7,300		346,239
Goodyear Tire & Rubber Co. (The)D*	7,700		161,623
Harley-Davidson, Inc.	11,700		824,499
Norfolk Southern Corporation	18,400		925,336
PACCAR, Inc.D	10,912		708,189
Southwest Airlines Co.	33,800		517,816
Union Pacific Corporation	11,700		1,076,634
United Parcel Service, Inc. Class B	47,500		3,561,550

			12,795,681


Consumer Discretionary — 11.3%
Allied Waste Industries, Inc.*	10,400		127,816
Amazon.com, Inc.*	13,884		547,863
Apollo Group, Inc. Class AD*	6,121		238,535
AutoNation, Inc.D*	7,325		156,169
AutoZone, Inc.D*	2,400		277,344
Avon Products, Inc.D	19,400		640,976
Bed Bath & Beyond, Inc.*	12,700		483,870
Best Buy Co., Inc.	17,725		871,893
Big Lots, Inc.D*	4,800		110,016
Black & Decker Corporation	3,400		271,898
Carnival Corporation	19,400		951,570
CBS Corporation Class B	34,300		1,069,474
Cintas CorporationD	6,100		242,231
Circuit City Stores, Inc.	6,200		117,676
Clear Channel Communications, Inc.	21,700		771,218
Coach, Inc.*	16,000		687,360
Convergys CorporationD*	6,000		142,680
Costco Wholesale Corporation	20,400		1,078,548
Darden Restaurants, Inc.	6,150		247,045
Dillard’s, Inc. Class AD	2,900		101,413
DIRECTV Group, Inc. (The)*	34,100		850,454
Dollar General CorporationD	13,600		218,416
Donnelley (R.R.) & Sons Co.	9,100		323,414
Eastman Kodak Co.D	12,500		322,500
eBay, Inc.*	51,400		1,545,598
Electronic Arts, Inc.*	13,600		684,896
Estee Lauder Cos., Inc. Class AD	5,400		220,428
Family Dollar Stores, Inc.	6,700		196,511
Federated Department Stores, Inc.	23,812		907,952
Gannett Co., Inc.	10,400		628,784
Gap, Inc. (The)	23,600		460,200
Google, Inc.*	9,359		4,309,632
Harman International Industries, Inc.	2,800		279,748
Hasbro, Inc.D	7,100		193,475
Hilton Hotels Corporation	16,700		582,830
Home Depot, Inc. (The)	90,150		3,620,424
IAC InterActiveCorp*	9,800		364,168
International Flavors & Fragrances, Inc.	3,900		191,724
Interpublic Group Cos., Inc.D*	18,948		231,923
Jones Apparel Group, Inc.	5,100		170,493
Kimberly-Clark Corporation	19,800		1,345,410
Kohl’s Corporation*	14,300		978,549
Leggett & Platt, Inc.D	8,000		191,200
Limited Brands	15,000		434,100
Liz Claiborne, Inc.	4,608		200,264
Lowe’s Cos., Inc.	66,800		2,080,820
Marriott International, Inc. Class A	14,700		701,484
Mattel, Inc.	16,500		373,890
McDonald’s Corporation	54,200		2,402,686
McGraw-Hill Co., Inc. (The)	15,600		1,061,112
Meredith CorporationD	1,700		95,795
Monster Worldwide, Inc.*	5,500		256,520
New York Times Co. Class AD	6,000		146,160
Newell Rubbermaid, Inc.D	11,700		338,715
Nike, Inc. Class BD	8,400		831,852
Nordstrom, Inc.	9,800		483,532
Office Depot, Inc.*	12,500		477,125
OfficeMax, Inc.D	3,000		148,950
Omnicom Group, Inc.	7,700		804,958
Penney (JC) Co., Inc.D	10,000		773,600
RadioShack CorporationD	5,800		97,324
Robert Half International, Inc.	7,300		270,976
Sabre Holdings Corporation	6,400		204,096
Scripps Co. (E.W.) Class A	3,700		184,778
Sears Holdings CorporationD*	3,689		619,494
Snap-On, Inc.	2,400		114,336
Stanley Works (The)	3,300		165,957
Staples, Inc.	31,500		841,050
Starbucks Corporation*	33,100		1,172,402
Starwood Hotels & Resorts Worldwide, Inc.	9,700		606,250
Target Corporation	37,500		2,139,375
Tiffany & Co.D	6,100		239,364
Time Warner, Inc.	177,600		3,868,128
TJX Cos., Inc.	20,000		570,400
Tribune Co.D	8,300		255,474
Univision Communications, Inc. Class AD*	10,700		378,994
VeriSign, Inc.*	11,100		266,955
VF CorporationD	4,000		328,320
Wal-Mart Stores, Inc.	107,600		4,968,968
Walt Disney Co. (The)	91,902		3,149,482
Waste Management, Inc.	24,100		886,157
Wendy’s International, Inc.D	5,000		165,450
Whirlpool CorporationD	3,295		273,524
Wyndham Worldwide Corporation*	8,880		284,338
Yahoo!, Inc.*	54,700		1,397,038
Yum! Brands, Inc.	11,900		699,720

			63,714,237


Consumer Staples — 5.6%
Campbell Soup Co.	9,700		377,233
Clorox Co.	6,400		410,560
Coca-Cola Co. (The)	89,800		4,332,850
Coca-Cola Enterprises, Inc.	12,800		261,376
Colgate-Palmolive Co.	22,600		1,474,424
ConAgra Foods, Inc.	22,000		594,000
CVS Corporation	35,600		1,100,396
Dean Foods Co.*	5,900		249,452
General Mills, Inc.	15,200		875,520
Heinz (H.J.) Co.	14,500		652,645
Hershey Co. (The)D	7,700		383,460
Kellogg Co.	10,900		545,654
Kroger Co.	32,200		742,854


92		See Notes to Financial Statements.


	Shares	Value
McCormick & Co., Inc.D	5,700	$	219,792
Pepsi Bottling Group, Inc.	6,100		188,551
PepsiCo, Inc.	72,540		4,537,377
Procter & Gamble Co.	139,517		8,966,758
Safeway, Inc.	19,600		677,376
Sara Lee CorporationD	32,700		556,881
SUPERVALU, Inc.	8,948		319,891
SYSCO Corporation	27,200		999,872
Tyson Foods, Inc. Class AD	11,700		192,465
Walgreen Co.	44,000		2,019,160
Whole Foods Market, Inc.D	6,300		295,659
Wrigley (W.M.), Jr. Co.D	9,625		497,805

			31,472,011


Financial Services — 23.1%
ACE, Ltd.	14,000		847,980
AFLAC, Inc.	21,500		989,000
Allstate Corporation (The)	27,952		1,819,955
AMBAC Financial Group, Inc.D	4,700		418,629
American Express Co.	53,500		3,245,845
American International Group, Inc.	114,192		8,182,999
Ameriprise Financial, Inc.	10,640		579,880
AON CorporationD	13,900		491,226
Apartment Investment & Management Co. Class A REITD	4,300		240,886
Archstone-Smith Trust REIT	9,100		529,711
Automatic Data Processing, Inc.	24,500		1,206,625
Bank of America Corporation	198,763		10,611,956
Bank of New York Co., Inc. (The)	33,600		1,322,832
BB&T Corporation	23,700		1,041,141
Bear Stearns Cos., Inc. (The)	5,210		848,084
Block (H&R), Inc.	13,800		317,952
Boston Properties, Inc. REIT	5,200		581,776
Capital One Financial Corporation	19,537		1,500,832
CB Richard Ellis Group, Inc. Class A*	8,000		265,600
Chicago Mercantile Exchange Holdings, Inc.	1,500		764,625
Chubb Corporation	17,700		936,507
CIGNA Corporation	4,900		644,693
Cincinnati Financial Corporation	7,386		334,660
CIT Group, Inc.	9,000		501,930
Citigroup, Inc.	216,430		12,055,151
Comerica, Inc.	7,200		422,496
Commerce Bancorp, Inc.D	8,500		299,795
Compass Bancshares, Inc.D	5,400		322,110
Countrywide Financial Corporation	26,508		1,125,265
Dow Jones & Co., Inc.D	2,954		112,252
ETRADE Financial Corporation	18,600		417,012
Equifax, Inc.D	5,900		239,540
Equity Office Properties Trust REIT	15,900		765,903
Equity Residential Properties Trust REIT	12,800		649,600
Fannie Mae	42,500		2,524,075
Federated Investors, Inc. Class BD	4,500		152,010
Fidelity National Information Services, Inc.	7,100		284,639
Fifth Third BancorpD	23,994		982,074
First Data Corporation	33,217		847,698
First Horizon National CorporationD	5,200		217,256
Fiserv, Inc.*	7,700		403,634
Franklin Resources, Inc.	7,200		793,224
Freddie Mac	30,400		2,064,160
Genworth Financial, Inc. Class A	19,500		667,095
Goldman Sachs Group, Inc.	19,012		3,790,042
Hartford Financial Services Group, Inc.	13,200		1,231,692
Huntington Bancshares, Inc.D	11,300		268,375
Janus Capital Group, Inc.D	9,600		207,264
JPMorgan Chase & Co.	152,030		7,343,049
KeyCorp	17,200		654,116
Kimco Realty Corporation REIT	9,100		409,045
Legg Mason, Inc.D	5,740		545,587
Lehman Brothers Holdings, Inc.	23,400		1,828,008
Lincoln National CorporationD	12,619		837,871
Loews Corporation	20,400		845,988
M & T Bank CorporationD	3,600		439,776
Marsh & McLennan Cos., Inc.	23,700		726,642
Marshall & Ilsley Corporation	10,800		519,588
MBIA, Inc.D	6,200		452,972
Mellon Financial Corporation	17,800		750,270
Merrill Lynch & Co., Inc.	38,880		3,619,728
MetLife, Inc.	33,000		1,947,330
MGIC Investment CorporationD	3,700		231,398
Moody’s Corporation	10,500		725,130
Morgan Stanley	47,000		3,827,210
National City Corporation	27,000		987,120
Northern Trust Corporation	8,100		491,589
Paychex, Inc.	14,500		573,330
Plum Creek Timber Co., Inc. REITD	7,700		306,845
PNC Financial Services Group, Inc.	12,600		932,904
Principal Financial Group	12,100		710,270
Progressive Corporation (The)	33,996		823,383
Prologis Trust REIT	10,700		650,239
Prudential Financial, Inc.	21,400		1,837,404
Public Storage, Inc. REITD	5,125		499,687
Regions Financial Corporation	32,029		1,197,885
Ryder System, Inc.D	2,700		137,862
Safeco Corporation	5,400		337,770
Schwab (Charles) Corporation (The)	44,850		867,399
Simon Property Group, Inc. REIT	9,900		1,002,771
SLM Corporation	18,100		882,737
Sovereign Bancorp, Inc.D	16,065		407,890
St. Paul Travelers Cos., Inc.	30,656		1,645,921
State Street Corporation	14,700		991,368
SunTrust Banks, Inc.	15,800		1,334,310
Synovus Financial CorporationD	13,600		419,288
T Rowe Price Group, Inc.	11,400		498,978
Torchmark Corporation	4,600		293,296
UnumProvident CorporationD	14,500		301,310
US Bancorp	78,300		2,833,677
Vornado Realty Trust REITD	5,200		631,800
Wachovia Corporation	84,283		4,799,914
Washington Mutual, Inc.	41,946		1,908,123
Wells Fargo & Co.	147,260		5,236,566
Western Union Co.	33,217		744,725


See Notes to Financial Statements.		93


Equity Index Fund
SCHEDULE OF INVESTMENTS (Continued)


	Shares	Value
XL Capital, Ltd. Class AD	7,700	$	554,554
Zions Bancorporation	4,500		370,980

			129,983,289


Healthcare — 11.6%
Abbott Laboratories	67,100		3,268,441
Aetna, Inc.	24,200		1,044,956
Allergan, Inc.	6,615		792,080
AmerisourceBergen Corporation	8,944		402,122
Amgen, Inc.*	51,265		3,501,912
Bard (C.R.), Inc.D	4,400		365,068
Bausch & Lomb, Inc.D	2,400		124,944
Baxter International, Inc.	28,300		1,312,837
Becton Dickinson & Co.	10,900		764,635
Biogen Idec, Inc.D*	15,330		754,083
Biomet, Inc.	10,900		449,843
Boston Scientific Corporation*	52,100		895,078
Bristol-Myers Squibb Co.	86,100		2,266,152
Cardinal Health, Inc.	18,000		1,159,740
Caremark Rx, Inc.	19,000		1,085,090
Celgene Corporation*	16,300		937,739
Conventry Health Care, Inc.*	6,730		336,836
Eli Lilly & Co.	43,300		2,255,930
Express Scripts, Inc.*	6,000		429,600
Forest Laboratories, Inc.*	14,000		708,400
Genzyme Corporation*	11,600		714,328
Gilead Sciences, Inc.*	19,900		1,292,107
Health Management Associates, Inc. Class AD	10,200		215,322
Hospira, Inc*	6,550		219,949
Humana, Inc.*	7,100		392,701
IMS Health, Inc.	8,600		236,328
Johnson & Johnson	128,190		8,463,104
King Pharmaceuticals, Inc.D*	10,100		160,792
Laboratory Corporation of America HoldingsD*	5,500		404,085
Manor Care, Inc.D	3,500		164,220
McKesson Corporation	12,900		654,030
Medco Health Solutions, Inc.*	12,876		688,093
Medimmune, Inc.D*	10,600		343,122
Medtronic, Inc.	50,500		2,702,255
Merck & Co., Inc.	95,200		4,150,720
Millipore CorporationD*	2,200		146,520
Mylan Laboratories, Inc.	9,300		185,628
Patterson Cos., Inc.D*	6,000		213,060
Pfizer, Inc.	319,183		8,266,840
Quest Diagnostics, Inc.D	7,100		376,300
Schering-Plough Corporation	64,300		1,520,052
St. Jude Medical, Inc.*	15,600		570,336
Stryker Corporation	13,100		721,941
Tenet Healthcare CorporationD*	19,450		135,567
UnitedHealth Group, Inc.	59,300		3,186,189
Watson Pharmaceuticals, Inc.*	4,600		119,738
WellPoint, Inc.*	27,312		2,149,181
Wyeth	58,800		2,994,096
Zimmer Holdings, Inc.*	10,820		848,072

			65,090,162


Integrated Oils — 6.4%
Chevron Corporation	96,141		7,069,262
ConocoPhillips	72,058		5,184,573
ExxonMobil Corporation	255,844		19,605,326
Hess Corporation	11,900		589,883
Marathon Oil Corporation	15,892		1,470,010
Murphy Oil Corporation	8,000		406,800
Occidental Petroleum Corporation	37,500		1,831,125

			36,156,979


Materials & Processing — 3.5%
Air Products & Chemicals, Inc.	9,500		667,660
Alcoa, Inc.	38,100		1,143,381
Allegheny Technologies, Inc.	4,500		408,060
American Standard Cos., Inc.	7,700		353,045
Archer-Daniels-Midland Co.	28,427		908,527
Ashland, Inc.D	2,800		193,704
Avery Dennison CorporationD	4,600		312,478
Ball Corporation	4,592		200,211
Bemis Co.	4,500		152,910
Dow Chemical Co. (The)	42,400		1,693,456
duPont (E.I.) de Nemours & Co.	39,955		1,946,208
Eastman Chemical Co.	3,500		207,585
Ecolab, Inc.	7,800		352,560
Fluor CorporationD	3,700		302,105
Freeport-McMoRan Copper & Gold, Inc. Class BD	8,500		473,705
Hercules, Inc.D*	4,600		88,826
International Paper Co.	20,235		690,013
Masco Corporation	17,400		519,738
MeadWestvaco Corporation	8,045		241,833
Monsanto Co.	24,020		1,261,771
Newmont Mining Corporation	19,500		880,425
Nucor Corporation	13,500		737,910
Pactiv Corporation*	6,500		231,985
Phelps Dodge Corporation	9,000		1,077,480
PPG Industries, Inc.	7,100		455,891
Praxair, Inc.	13,880		823,500
Realogy Corporation*	10,544		319,694
Rohm & Haas Co.D	6,700		342,504
Sealed Air CorporationD	3,500		227,220
Sherwin-Williams Co.	4,800		305,184
Sigma-Aldrich CorporationD	2,900		225,388
Temple-Inland, Inc.	5,500		253,165
United States Steel Corporation	5,500		402,270
Vulcan Materials Co.	4,200		377,454
Weyerhaeuser Co.	10,600		748,890

			19,526,736


Other — 4.2%
3M Co.	33,300		2,595,069
Brunswick Corporation	4,000		127,600
Eaton Corporation	6,400		480,896
General Electric Co.	452,200		16,826,362
Honeywell International, Inc.	36,300		1,642,212
ITT Industries, Inc.	7,900		448,878
Johnson Controls, Inc.D	8,392		721,041
Textron, Inc.D	5,500		515,735

			23,357,793


Other Energy — 3.3%
Anadarko Petroleum Corporation	19,800		861,696
Apache Corporation	14,648		974,239
Baker Hughes, Inc.	14,600		1,090,036
BJ Services Co.	13,500		395,820
Chesapeake Energy CorporationD	16,600		482,230
Consol Energy, Inc.D	8,200		263,466
Devon Energy Corporation	19,200		1,287,936
Dynegy, Inc. Class AD*	15,624		113,118
El Paso CorporationD	30,800		470,624


94		See Notes to Financial Statements.


	Shares	Value
EOG Resources, Inc.D	10,500	$	655,725
Halliburton Co.	45,200		1,403,460
Nabors Industries, Ltd.D*	13,700		407,986
National Oilwell Varco, Inc.D*	7,500		458,850
Noble Corporation	5,900		449,285
Peabody Energy Corporation	11,600		468,756
Rowan Cos., Inc.	4,800		159,360
Schlumberger, Ltd.	52,000		3,284,320
Smith International, Inc.	8,800		361,416
Sunoco, Inc.D	5,800		361,688
TransOcean, Inc.*	12,800		1,035,392
Valero Energy Corporation	26,800		1,371,088
Weatherford International, Ltd.*	15,098		630,945
Williams Cos., Inc.	25,800		673,896
XTO Energy, Inc.	16,466		774,725

			18,436,057


Producer Durables — 4.9%
Agilent Technologies, Inc.*	17,900		623,815
American Power Conversion CorporationD	7,400		226,366
Applied Materials, Inc.D	60,700		1,119,915
Boeing Co. (The)	35,000		3,109,400
Caterpillar, Inc.	28,700		1,760,171
Centex CorporationD	5,200		292,604
Cooper Industries, Ltd. Class A	3,900		352,677
Cummins, Inc.	2,200		259,996
Danaher Corporation	10,200		738,888
Deere & Co.	10,100		960,207
Dover Corporation	9,000		441,180
DR Horton, Inc.	11,700		309,933
Emerson Electric Co.	35,800		1,578,422
Goodrich Corporation	5,500		250,525
Grainger (W.W.), Inc.D	3,500		244,790
Illinois Tool Works, Inc.	18,200		840,658
Ingersoll-Rand Co., Ltd. Class A	14,100		551,733
KB HOMED	3,500		179,480
KLA-Tencor CorporationD	8,700		432,825
Lennar Corporation Class AD	6,000		314,760
Lexmark International, Inc.*	4,500		329,400
Lockheed Martin Corporation	15,800		1,454,706
Molex, Inc.	6,450		204,013
Northrop Grumman Corporation	15,356		1,039,601
Novellus Systems, Inc.D*	5,700		196,194
Pall CorporationD	5,200		179,660
Parker Hannifin Corporation	5,400		415,152
Pitney Bowes, Inc.	9,700		448,043
Pulte Homes, Inc.	9,308		308,281
Rockwell Collins, Inc.D	7,500		474,675
Tektronix, Inc.D	3,500		102,095
Teradyne, Inc.D*	8,100		121,176
Terex Corporation*	4,500		290,610
Thermo Electron Corporation*	17,310		783,970
Tyco International, Ltd.	88,284		2,683,834
United Technologies Corporation	44,500		2,782,140
Waters Corporation*	4,500		220,365
Xerox Corporation*	42,300		716,985

			27,339,245

Technology — 12.8%
ADC Telecommunications, Inc.*	4,828	$	70,151
Adobe Systems, Inc.*	25,300		1,040,336
Advanced Micro Devices, Inc.*	23,500		478,225
Affiliated Computer Services, Inc. Class A*	5,000		244,200
Altera CorporationD*	15,500		305,040
Analog Devices, Inc.	15,700		516,059
Apple Computer, Inc.*	37,200		3,156,048
Applera Corporation-Applied Biosystems Group	8,100		297,189
Autodesk, Inc.*	10,360		419,166
Avaya, Inc.D*	19,448		271,883
BMC Software, Inc.*	9,300		299,460
Broadcom Corporation Class A*	20,750		670,432
CA, Inc.D	19,770		447,790
Ciena CorporationD*	3,928		108,845
Cisco Systems, Inc.*	268,100		7,327,173
Citrix Systems, Inc.*	7,900		213,695
Cognizant Technology Solutions Corporation Class A*	6,200		478,392
Computer Sciences Corporation*	7,500		400,275
Compuware CorporationD*	16,100		134,113
Comverse Technology, Inc.D*	8,400		177,324
Corning, Inc.*	67,900		1,270,409
Dell, Inc.*	100,000		2,509,000
Electronic Data Systems Corporation	22,200		611,610
EMC Corporation*	101,300		1,337,160
General Dynamics Corporation	17,500		1,301,125
Hewlett-Packard Co.	119,702		4,930,525
Intel Corporation	253,500		5,133,375
International Business Machines Corporation	66,600		6,470,190
Intuit, Inc.*	14,900		454,599
Jabil Circuit, Inc.	8,000		196,400
JDS Uniphase CorporationD*	8,875		147,858
Juniper Networks, Inc.D*	25,100		475,394
L-3 Communications Holdings, Inc.	5,300		433,434
Linear Technology Corporation	13,000		394,160
LSI Logic CorporationD*	16,700		150,300
Maxim Integrated Products, Inc.	14,000		428,680
Micron Technology, Inc.*	31,700		442,532
Microsoft Corporation	379,430		11,329,780
Motorola, Inc.	107,100		2,201,976
National Semiconductor Corporation	13,500		306,450
NCR CorporationD*	7,800		333,528
Network Appliance, Inc.*	16,600		652,048
Novell, Inc.D*	15,900		98,580
Nvidia Corporation*	15,300		566,253
Oracle Corporation*	176,300		3,021,782
PerkinElmer, Inc.D	5,300		117,819
PMC-Sierra, Inc.D*	9,800		65,758
QLogic Corporation*	7,000		153,440
Qualcomm, Inc.	72,700		2,747,333
Raytheon Co.	19,900		1,050,720
Rockwell Automation, Inc.	7,800		476,424
Sandisk CorporationD*	9,900		425,997
Sanmina-SCI Corporation*	24,900		85,905
Solectron Corporation*	40,200		129,444
Sun Microsystems, Inc.D*	154,700		838,474


See Notes to Financial Statements.		95


Equity Index Fund
SCHEDULE OF INVESTMENTS (Continued)


	Shares		Value
Symantec Corporation*		41,170	$	858,395
Symbol Technologies, Inc.		10,457		156,228
Tellabs, Inc.*		20,400		209,304
Texas Instruments, Inc.		67,000		1,929,600
Unisys CorporationD*		13,900		108,976
Xilinx, Inc.		15,400		366,674

				71,973,435


Utilities — 7.8%
AES Corporation (The)*		29,100		641,364
Allegheny Energy, Inc.*		7,000		321,370
Alltel Corporation		17,000		1,028,160
Ameren CorporationD		9,200		494,316
American Electric Power Co., Inc.		17,800		757,924
AT&T, Inc.		170,500		6,095,375
BellSouth Corporation		79,300		3,735,823
Centerpoint Energy, Inc.D		14,400		238,752
CenturyTel, Inc.		5,200		227,032
Citizens Communications Co.D		14,500		208,365
CMS Energy CorporationD*		9,000		150,300
Comcast Corporation Class A*		91,715		3,882,296
Consolidated Edison, Inc.D		10,400		499,928
Constellation Energy Group, Inc.		7,600		523,412
Dominion Resources, Inc.		15,600		1,307,904
DTE Energy Co.D		7,300		353,393
Duke Energy Corporation		54,368		1,805,561
Edison International		14,500		659,460
Embarq CorporationD		6,444		338,696
Entergy Corporation		9,352		863,377
Exelon Corporation		29,624		1,833,429
FirstEnergy Corporation		14,184		855,295
FPL Group, Inc.D		18,100		985,002
KeySpan CorporationD		8,100		333,558
Kinder Morgan, Inc.D		4,800		507,600
Nicor, Inc.D		2,100		98,280
NiSource, Inc.		11,000		265,100
Peoples Energy Corporation		1,235		55,044
PG&E CorporationD		15,800		747,814
Pinnacle West Capital CorporationD		4,000		202,760
PPL Corporation		16,200		580,608
Progress Energy, Inc.D		11,200		549,696
Public Service Enterprise Group, Inc.		10,900		723,542
Questar Corporation		3,800		315,590
Qwest Communications International, Inc.D*		69,700		583,389
Sempra Energy		11,800		661,272
Southern Co. (The)D		33,100		1,220,066
Sprint Nextel Corporation		126,993		2,398,898
TECO Energy, Inc.D		10,000		172,300
TXU Corporation		20,400		1,105,884
Verizon Communications, Inc.		126,774		4,721,064
Windstream Corporation		20,599		292,918
Xcel Energy Inc.D		17,000		392,020

				43,733,937

Total Common Stocks
(Cost $400,198,785)				543,579,562


MONEY MARKET FUNDS — 9.1%
GuideStone Funds Money Market Fund (GS4 Class)¥		16,644,946		16,644,946
Northern Institutional Liquid Assets Portfolio§		34,402,994		34,402,994

Total Money Market Funds
(Cost $51,047,940)				51,047,940

	Par
U.S. TREASURY OBLIGATIONS — 0.1%
U.S. Treasury Bills
4.80%, 02/22/07‡‡	$	30,000		29,791
4.81%, 02/22/07‡‡		20,000		19,860
4.85%, 02/22/07‡‡		620,000		615,678

Total U.S. Treasury Obligations
(Cost $665,310)				665,329


TOTAL INVESTMENTS — 106.0%
(Cost $451,912,035)				595,292,831

Liabilities in Excess of Other
Assets — (6.0)%				(33,747,755	)

NET ASSETS — 100.0%			$	561,545,076


PORTFOLIO SUMMARY (based on net assets)
		%
Financial Services		23.1
Technology		12.8
Healthcare		11.6
Consumer Discretionary		11.3
Money Market Funds		9.1
Utilities		7.8
Integrated Oils		6.4
Consumer Staples		5.6
Producer Durables		4.9
Other		4.2
Materials & Processing		3.5
Other Energy		3.3
Auto & Transportation		2.3
Futures Contracts		2.1
U.S. Treasury Obligations		0.1

		108.1


96		See Notes to Financial Statements.

Real Estate Securities Fund

The Fund is comprised of publicly traded real estate securities. The Fund outperformed its benchmark, the Dow Jones Wilshire Real Estate Securities Index, during the fourth quarter and the year. Security selection within the self-storage, regional mall and office sectors contributed to benchmark-relative outperformance for the quarter. Positions in Equity Office Properties (5.02%) and Simon (9.51%) were among the biggest contributors to performance, while Biomed Realty Trust (1.00%) and Mack-Cali Realty (1.60%) detracted from benchmark-relative performance.

Please see page 98 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.


Real Estate Securities Fund
SCHEDULE OF INVESTMENTS		December 31, 2006


	Shares		Value
COMMON STOCKS — 94.5%
Consumer Discretionary — 3.1%
Hilton Hotels Corporation		28,200	$	984,180
Starwood Hotels & Resorts Worldwide, Inc.		37,515		2,344,687

				3,328,867


Financial Services — 91.4%
AMB Property Corporation REIT		47,950		2,810,350
American Campus Communities, Inc. REIT		11,150		317,440
Apartment Investment & Management Co. Class A REIT		55,600		3,114,712
Archstone-Smith Trust REIT		113,200		6,589,372
AvalonBay Communities, Inc. REIT		51,700		6,723,585
BioMed Realty Trust, Inc. REIT		35,150		1,005,290
Boston Properties, Inc. REIT		35,250		3,943,770
Brookfield Properties Corporation		38,950		1,531,904
DiamondRock Hospitality Co. REIT		22,750		409,728
Digital Realty Trust, Inc. REIT		74,100		2,536,443
Equity Lifestyle Properties, Inc. REIT		33,500		1,823,405
Equity Office Properties Trust REIT		104,850		5,050,624
Equity Residential Properties Trust REIT		49,500		2,512,125
Essex Property Trust, Inc. REIT		23,500		3,037,375
Federal Realty Investors Trust REIT		35,000		2,975,000
FelCor Lodging Trust, Inc. REIT		41,300		901,992
Host Hotels & Resorts, Inc. REIT		187,377		4,600,105
LaSalle Hotel Properties REIT		15,300		701,505
Macerich Co. (The) REIT		62,050		5,371,669
Mack-Cali Realty Corporation REIT		31,600		1,611,600
Parkway Properties, Inc. REIT		6,400		326,464
Prologis Trust REIT		61,000		3,706,970
Public Storage, Inc. REIT		63,830		6,223,425
Regency Centers Corporation REIT		52,800		4,127,376
Simon Property Group, Inc. REIT		95,250		9,647,872
SL Green Realty Corporation REIT		33,050		4,388,379
Sovran Self Storage, Inc. REIT		15,650		896,432
Tanger Factory Outlet Centrs REIT		28,300		1,105,964
Taubman Centers, Inc. REIT		35,750		1,818,245
Vornado Realty Trust REIT		66,156		8,037,954

				97,847,075

Total Common Stocks
(Cost $87,473,166)				101,175,942


MONEY MARKET FUND — 5.3%
GuideStone Funds Money Market Fund (GS4 Class)¥
(Cost $5,673,643)		5,673,643		5,673,643


	Par
U.S. TREASURY OBLIGATION — 0.2%
U.S. Treasury Bill
4.85%, 02/22/07‡‡
(Cost $218,458)	$	220,000		218,526


TOTAL INVESTMENTS — 100.0%
(Cost $93,365,267)				107,068,111

Liabilities in Excess of Other Assets — 0.0%				(32,661	)


NET ASSETS — 100.0%			$	107,035,450


PORTFOLIO SUMMARY (based on net assets)
		%
Financial Services		91.4
Money Market Fund		5.3
Futures Contracts		4.9
Consumer Discretionary		3.1
U.S. Treasury Obligation		0.2

		104.9


98		See Notes to Financial Statements.

Value Equity Fund

The Fund is comprised of domestic, large-cap value oriented stocks. The Fund generated a positive return while underperforming its benchmark, the Russell 1000^{^®}Value Index, during the fourth quarter and the year. Overweight exposure in the healthcare sector and security selection in the consumer discretionary sector detracted from benchmark-relative performance during the quarter. The Fund’s holdings in Pfizer (2.93%), Federated Department Stores (0.51%) and Tenet Healthcare (0.34%) detracted from performance, while outperforming holdings included ExxonMobil (3.00%), ConocoPhillips (2.20%) and Citigroup (3.43%). For the quarter, Aronson+Johnson+Ortiz delivered the strongest performance among the active managers largely due to its security selection in the financial services sector.

Please see page 104 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.



Value Equity Fund


Average Annual Total Returns as of 12/31/06
	GS2 Class*		GS4 Class*		GS6 Class*		Benchmark**		GS8 Class*		GS8 Class Benchmark**
One Year	18.76	%	18.64	%	18.21	%	22.25	%	17.75	%	22.25	%
Five Year	10.28	%	10.09	%	9.78	%	10.86	%	N/A		N/A
Since Inception	8.98	%	8.62	%	8.45	%	9.46	%	13.77	%	16.11	%
Inception Date	08/27/01		08/27/01		08/27/01		08/27/01		11/08/04		11/08/04

*	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.


100


Value Equity Fund
SCHEDULE OF INVESTMENTS		December 31, 2006


	Shares	Value
COMMON STOCKS — 95.6%
Auto & Transportation — 2.7%
Autoliv, Inc.D	57,800	$	3,485,340
Burlington Northern Santa Fe Corporation	144,200		10,643,402
Con-Way, Inc.	70,000		3,082,800
CSX Corporation	313,100		10,780,033
General Motors CorporationD	83,900		2,577,408
Norfolk Southern Corporation	75,700		3,806,953
Tidewater, Inc.D	87,100		4,212,156
Union Pacific Corporation	57,000		5,245,140

			43,833,232

Consumer Discretionary — 10.4%
American Eagle OutfittersD	57,300		1,788,333
Avis Budget Group, Inc.	3,580		77,650
Avon Products, Inc.	185,600		6,132,224
Big Lots, Inc.D*	77,500		1,776,300
Brinker International, Inc.D	86,250		2,601,300
Carnival Corporation	99,900		4,900,095
CBS Corporation Class B	27,400		854,332
CDW Corporation	6,500		457,080
Clear Channel Communications, Inc.	202,500		7,196,850
Costco Wholesale Corporation	6,200		327,794
DIRECTV Group, Inc. (The)*	159,000		3,965,460
Eastman Kodak Co.D	241,700		6,235,860
Estee Lauder Cos., Inc. Class A	37,800		1,542,996
Federated Department Stores, Inc.	210,000		8,007,300
Gannett Co., Inc.	128,500		7,769,110
Gap, Inc. (The)	10,100		196,950
Hasbro, Inc.D	128,200		3,493,450
Home Depot, Inc. (The)	35,400		1,421,664
Idearc, Inc.D*	5,935		170,043
Interpublic Group Cos., Inc.D*	166,300		2,035,512
ITT Educational Services, Inc.D*	22,400		1,486,688
Jones Apparel Group, Inc.	34,600		1,156,678
Kimberly-Clark Corporation	170,500		11,585,475
Kohl’s Corporation*	21,400		1,464,402
Mattel, Inc.	430,700		9,759,662
McDonald’s Corporation	324,900		14,402,817
Newell Rubbermaid, Inc.D	108,100		3,129,495
Office Depot, Inc.D*	108,000		4,122,360
Penney (JC) Co., Inc.D	20,000		1,547,200
RadioShack CorporationD	128,050		2,148,679
Reader’s Digest AssociationD	100,000		1,670,000
Rogers Communications, Inc. Class BD	38,500		2,294,600
Sears Holdings Corporation*	3,500		587,755
Shaw Communications, Inc. Class BD	104,100		3,301,011
Sony Corporation ADRD	152,000		6,510,160
Stanley Works (The)D	187,500		9,429,375
Time Warner, Inc.	938,400		20,438,352
Wal-Mart Stores, Inc.	165,500		7,642,790
Walt Disney Co. (The)	54,000		1,850,580
Waste Management, Inc.	93,800		3,449,026
Wyndham Worldwide Corporation*	43,790	$	1,402,156

			170,329,564

Consumer Staples — 3.7%
Coca-Cola Co. (The)	112,500		5,428,125
Colgate-Palmolive Co.	2,200		143,528
ConAgra Foods, Inc.	506,100		13,664,700
CVS Corporation	3,200		98,912
General Mills, Inc.	75,600		4,354,560
Heinz (H.J.) Co.	81,400		3,663,814
Kellogg Co.	2,600		130,156
Kraft Foods, Inc. Class AD	228,900		8,171,730
Kroger Co.	204,300		4,713,201
NBTY, Inc.D*	84,800		3,525,136
Pepsi Bottling Group, Inc.	24,400		754,204
Procter & Gamble Co.	105,900		6,806,193
Safeway, Inc.	205,200		7,091,712
Sara Lee CorporationD	157,100		2,675,413

			61,221,384

Financial Services — 29.5%
ACE, Ltd.	60,000		3,634,200
Allstate Corporation (The)	313,200		20,392,452
American Express Co.	76,000		4,610,920
American International Group, Inc.	246,000		17,628,360
Assurant, Inc.	55,000		3,038,750
Axis Capital Holdings, Ltd.	46,600		1,555,042
Bank of America Corporation	583,234		31,138,863
Bank of New York Co., Inc. (The)	29,200		1,149,604
BB&T Corporation	22,200		975,246
Bear Stearns Cos., Inc. (The)	4,900		797,622
Brascan CorporationD	51,400		2,476,452
Capital One Financial Corporation	175,600		13,489,592
Chubb Corporation	242,100		12,809,511
Citigroup, Inc.	966,133		53,813,608
Comerica, Inc.D	145,800		8,555,544
Countrywide Financial Corporation	145,100		6,159,495
Credicorp, Ltd.	3,500		143,290
Fannie Mae	167,800		9,965,642
Fifth Third BancorpD	19,400		794,042
First Marblehead CorporationD	76,800		4,197,120
Fiserv, Inc.*	47,000		2,463,740
Freddie Mac	152,300		10,341,170
Genworth Financial, Inc. Class A	18,600		636,306
Goldman Sachs Group, Inc.	29,700		5,920,695
Hanover Insurance Group, Inc.D	32,900		1,605,520
Hartford Financial Services Group, Inc.	169,600		15,825,376
IndyMac Bancorp, Inc.D	65,800		2,971,528
Jones Lang LaSalle, Inc.D	32,800		3,023,176
JPMorgan Chase & Co.	991,212		47,875,540
KeyCorp	152,850		5,812,886
Lehman Brothers Holdings, Inc.	94,100		7,351,092
Lincoln National Corporation	11,400		756,960
Loews Corporation	106,300		4,408,261


See Notes to Financial Statements.		101


Value Equity Fund
SCHEDULE OF INVESTMENTS (Continued)


	Shares	Value
Marsh & McLennan Cos., Inc.	22,400	$	686,784
Mellon Financial Corporation	1,300		54,795
Merrill Lynch & Co., Inc.	252,867		23,541,918
MetLife, Inc.	18,800		1,109,388
MGIC Investment CorporationD	81,800		5,115,772
Morgan Stanley	238,200		19,396,626
National City CorporationD	153,800		5,622,928
PMI Group, Inc. (The)D	69,000		3,254,730
PNC Financial Services Group, Inc.	12,100		895,884
Principal Financial Group	61,400		3,604,180
Progressive Corporation (The)	23,300		564,326
Prudential Financial, Inc.	17,100		1,468,206
Radian Group, Inc.D	53,800		2,900,358
Regions Financial Corporation	29,600		1,107,040
Reinsurance Group of America, Inc.D	29,100		1,620,870
Safeco CorporationD	47,200		2,952,360
Simon Property Group, Inc. REIT	4,100		415,289
SLM Corporation	166,300		8,110,451
St. Paul Travelers Cos., Inc.	339,700		18,238,493
State Street Corporation	900		60,696
SunTrust Banks, Inc.	78,800		6,654,660
UnionBanCal CorporationD	28,300		1,733,375
Unitrin, Inc.D	14,700		736,617
UnumProvident CorporationD	184,100		3,825,598
US Bancorp	285,700		10,339,483
Wachovia Corporation	215,045		12,246,801
Washington Mutual, Inc.	416,500		18,946,585
Wells Fargo & Co.	384,500		13,672,820
XL Capital, Ltd. Class A	115,200		8,296,704

			483,491,342


Healthcare — 9.9%
Abbott Laboratories	12,400		604,004
Aetna, Inc.	257,100		11,101,578
AmerisourceBergen CorporationD	85,600		3,848,576
Baxter International, Inc.	201,500		9,347,585
Biogen Idec, Inc.*	7,100		349,249
Boston Scientific Corporation*	208,400		3,580,312
Bristol-Myers Squibb Co.	325,800		8,575,056
Cardinal Health, Inc.	103,200		6,649,176
Caremark Rx, Inc.D	1,400		79,954
Community Health Systems, Inc.*	118,600		4,331,272
Eli Lilly & Co.	9,700		505,370
Forest Laboratories, Inc.*	62,100		3,142,260
Johnson & Johnson	42,000		2,772,840
Kindred Healthcare, Inc.D*	75,289		1,901,047
McKesson Corporation	70,100		3,554,070
Medco Health Solutions, Inc.*	70,100		3,746,144
Merck & Co., Inc.	61,800		2,694,480
Millennium Pharmeceuticals, Inc.D*	449,200		4,896,280
Pfizer, Inc.	1,772,900		45,918,110
Tenet Healthcare CorporationD*	766,300		5,341,111
Teva Pharmaceutical Industries, Ltd. ADRD	125,852		3,911,480
Triad Hospitals, Inc.D*	61,614		2,577,314
UnitedHealth Group, Inc.	76,900		4,131,837
Watson Pharmaceuticals, Inc.*	137,000		3,566,110
WellPoint, Inc.*	156,800		12,338,592
Wyeth	240,500		12,246,260

			161,710,067


Integrated Oils — 9.5%
BP PLC ADRD	104,568		7,016,513
Chevron Corporation	636,470		46,799,639
ConocoPhillips	479,200		34,478,440
ExxonMobil Corporation	614,200		47,066,146
Marathon Oil Corporation	81,400		7,529,500
Occidental Petroleum Corporation	270,900		13,228,047

			156,118,285


Materials & Processing — 4.6%
Alcoa, Inc.	363,100		10,896,631
Archer-Daniels-Midland Co.	26,600		850,136
Dow Chemical Co. (The)	197,700		7,896,138
duPont (E.I.) de Nemours & Co.D	182,300		8,879,833
Greif, Inc. Class AD	13,900		1,645,760
International Paper Co.	19,090		650,969
Louisiana-Pacific Corporation	62,800		1,352,084
Lyondell Chemical Co.D	134,900		3,449,393
MeadWestvaco Corporation	363,500		10,926,810
Methanex CorporationD	119,100		3,259,767
Newmont Mining Corporation	900		40,635
Nucor Corporation	67,800		3,705,948
Owens-Illinois, Inc.D*	186,100		3,433,545
Pactiv Corporation*	145,084		5,178,048
Phelps Dodge Corporation	8,300		993,676
Realogy Corporation*	80,913		2,453,282
Smurfit-Stone Container CorporationD*	125,100		1,321,056
Steel Dynamics, Inc.D	65,400		2,122,230
Timken Co.	68,100		1,987,158
United States Steel Corporation	50,000		3,657,000
Weyerhaeuser Co.	10,000		706,500

			75,406,599


Other — 2.1%
3M Co.	51,400		4,005,602
General Electric Co.	370,700		13,793,747
Honeywell International, Inc.	380,000		17,191,200
Johnson Controls, Inc.	3,400		292,128

			35,282,677


Other Energy — 1.3%
Anadarko Petroleum Corporation	128,900		5,609,728
Apache Corporation	13,500		897,885
Devon Energy Corporation	17,900		1,200,732
EOG Resources, Inc.	5,400		337,230
Holly CorporationD	55,100		2,832,140
Massey Energy Co.D	137,100		3,184,833
PanCanadian Energy CorporationD	74,500		3,423,275


102		See Notes to Financial Statements.


	Shares		Value
Valero Energy Corporation		25,000	$	1,279,000
Williams Cos., Inc.		87,030		2,273,224

				21,038,047


Producer Durables — 4.6%
American Power Conversion Corporation		250,200		7,653,618
Caterpillar, Inc.		22,800		1,398,324
Centex Corporation		68,200		3,837,614
Deere & Co.		9,600		912,672
Emerson Electric Co.		183,200		8,077,288
Illinois Tool Works, Inc.		123,500		5,704,465
Lennar Corporation Class A		69,100		3,624,986
Lexmark International, Inc.D*		101,500		7,429,800
Lockheed Martin Corporation		43,300		3,986,631
Northrop Grumman Corporation		178,200		12,064,140
Parker Hannifin Corporation		37,800		2,906,064
Pitney Bowes, Inc.		86,100		3,976,959
Tyco International, Ltd.		265,900		8,083,360
United Technologies Corporation		81,900		5,120,388

				74,776,309


Technology — 6.0%
Alcatel Lucent Sponsored ADRD		435,463		6,192,289
Anixter International, Inc.D*		18,700		1,015,410
Avnet, Inc.D*		117,300		2,994,669
Electronic Data Systems Corporation		323,500		8,912,425
EMC Corporation*		11,600		153,120
General Dynamics Corporation		16,400		1,219,340
Hewlett-Packard Co.		319,300		13,151,967
Intel Corporation		382,900		7,753,725
International Business Machines Corporation		174,600		16,962,390
Intersil Corporation Class AD		118,300		2,829,736
Jabil Circuit, Inc.		46,911		1,151,665
Microsoft Corporation		110,000		3,284,600
Motorola, Inc.		161,900		3,328,664
Nokia Corporation ADRD		580,400		11,793,728
Raytheon Co.		105,100		5,549,280
Seagate Technology, Inc.+*		4,600		—
Solectron Corporation*		1,305,500		4,203,710
Sun Microsystems, Inc.*		1,550,700		8,404,794
Symantec Corporation*		22,800		475,380

				99,376,892


Utilities — 11.3%
Alltel Corporation		15,800		955,584
American Electric Power Co., Inc.		277,800		11,828,724
AT&T, Inc.D		683,109		24,421,147
BellSouth Corporation		497,500		23,437,225
CenturyTel, Inc.		86,300		3,767,858
Comcast Corporation Class A*		361,800		15,314,994
Dominion Resources, Inc.		83,200		6,975,488
Duke Energy Corporation		254,200		8,441,982
Edison International		80,500		3,661,140
Energen Corporation		33,100		1,553,714
Energy East CorporationD		60,900		1,510,320
Entergy Corporation		217,900		20,116,528
Exelon Corporation		4,200		259,938
FirstEnergy Corporation		48,800		2,942,640
FPL Group, Inc.D		16,400		892,488
PG&E Corporation		38,000		1,798,540
PPL Corporation		242,700		8,698,368
Progress Energy, Inc. Contingent Value Obligation+*		3,100		1,209
Public Service Enterprise Group, Inc.		10,200		677,076
Qwest Communications International, Inc.D*		1,168,000		9,776,160
Southern Co. (The)		30,200		1,113,172
Sprint Nextel Corporation		205,907		3,889,583
Telephone & Data Systems, Inc.D		22,400		1,216,992
TXU Corporation		22,400		1,214,304
Verizon Communications, Inc.		837,624		31,193,118
Windstream Corporation		16,542		235,227

				185,893,519

Total Common Stocks
(Cost $1,245,008,626)				1,568,477,917


MONEY MARKET FUNDS — 11.7%
GuideStone Funds Money Market Fund (GS4 Class)¥		68,576,737		68,576,737
Northern Institutional Liquid Assets Portfolio§		122,875,591		122,875,591

Total Money Market Funds
(Cost $191,452,328)				191,452,328


	Par
U.S. TREASURY OBLIGATIONS — 0.2%
U.S. Treasury Bills
4.85%, 02/22/07‡‡	$	2,840,000		2,820,201
4.89%, 02/22/07‡‡		20,000		19,861
4.92%, 02/22/07‡‡		400,000		397,211
4.94%, 02/22/07‡‡		750,000		744,772

Total U.S. Treasury Obligations
(Cost $3,981,771)				3,982,045

TOTAL INVESTMENTS — 107.5%
(Cost $1,440,442,725)				1,763,912,290

Liabilities in Excess of Other Assets — (7.5)%				(122,556,502	)

Net Assets — 100.0%			$	1,641,355,788


See Notes to Financial Statements.		103


Value Equity Fund
SCHEDULE OF INVESTMENTS (Continued)

PORTFOLIO SUMMARY (based on net assets)


		%
Financial Services		29.5
Money Market Funds		11.7
Utilities		11.3
Consumer Discretionary		10.4
Healthcare		9.9
Integrated Oils		9.5
Technology		6.0
Materials & Processing		4.6
Producer Durables		4.6
Consumer Staples		3.7
Futures Contracts		3.6
Auto & Transportation		2.7
Other		2.1
Other Energy		1.3
U.S. Treasury Obligations		0.2

		111.1


104		See Notes to Financial Statements.

Growth Equity Fund

The Fund is comprised of domestic, large-cap growth oriented stocks. The Fund generated a positive return while underperforming its benchmark, the Russell 1000^{^®}Growth Index, during the fourth quarter and the year. Security selection in the healthcare sector was the primary detractor from benchmark-relative performance during the quarter. Positions in Genzyme (2.48%), Varian Medical Systems (1.31%) and Motorola (0.53%) detracted from overall fund performance, while some of the fund’s better performing holdings included Google (4.76%), Intercontinental Exchange (0.98%) and Cisco (1.50%).

Please see page 108 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.

105

Growth Equity Fund


Average Annual Total Returns as of 12/31/06
	GS2 Class*		GS4 Class*		GS6 Class*		Benchmark**		GS8 Class*		GS8 Class Benchmark**
One Year	0.45	%	0.34	%	0.00	%	9.07	%	(0.37	)%	9.07	%
Five Year	2.70	%	2.60	%	2.30	%	2.69	%	N/A		N/A
Since Inception	2.19	%	2.07	%	1.78	%	2.18	%	6.20	%	8.84	%
Inception Date	08/27/01		08/27/01		08/27/01		08/27/01		11/08/04		11/08/04

*	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.

106


Growth Equity Fund
SCHEDULE OF INVESTMENTS		December 31, 2006


	Shares	Value
COMMON STOCKS — 96.0%
Auto & Transportation — 4.3%
Burlington Northern Santa Fe Corporation	272,937	$	20,145,480
CH Robinson Worldwide, Inc.D	103,600		4,236,204
Expeditors International Washington, Inc.	160,790		6,511,995
FedEx Corporation	199,618		21,682,507
Toyota Motor Corporation ADRD	35,596		4,780,899
Union Pacific Corporation	99,004		9,110,348

			66,467,433


Consumer Discretionary — 17.9%
Amazon.com, Inc.D*	371,200		14,647,552
Coach, Inc.*	168,025		7,218,354
eBay, Inc.*	916,200		27,550,134
Federated Department Stores, Inc.	305,581		11,651,803
Google, Inc.*	152,735		70,331,413
Interpublic Group Cos., Inc.*	400		4,896
Iron Mountain, Inc.D*	109,800		4,539,132
Lowe’s Cos., Inc.	864,841		26,939,797
Marriott International, Inc. Class A	218,650		10,433,978
Nordstrom, Inc.	38,234		1,886,466
Penney (JC) Co., Inc.	113,000		8,741,680
Starbucks CorporationD*	996,832		35,307,789
Target Corporation	187,311		10,686,093
Univision Communications, Inc. Class AD*	160,300		5,677,826
Walt Disney Co. (The)	313,100		10,729,937
Yahoo!, Inc.*	685,800		17,515,332
Yum! Brands, Inc.	191,299		11,248,381

			275,110,563


Consumer Staples — 6.0%
Colgate-Palmolive Co.	155,400		10,138,296
PepsiCo, Inc.	370,303		23,162,452
Procter & Gamble Co.	501,225		32,213,731
Walgreen Co.D	580,400		26,634,556

			92,149,035


Financial Services — 16.3%
American International Group, Inc.	232,500		16,660,950
CB Richard Ellis Group, Inc. Class A*	253,980		8,432,136
Chicago Mercantile Exchange Holdings, Inc.D	37,000		18,860,750
Citigroup, Inc.	323,455		18,016,443
Commerce Bancorp, Inc.D	275,850		9,729,230
Countrywide Financial Corporation	363,300		15,422,085
Franklin Resources, Inc.	87,200		9,606,824
Genworth Financial, Inc. Class A	140,500		4,806,505
Goldman Sachs Group, Inc.	116,964		23,316,773
IntercontinentalExchange, Inc.D*	134,600		14,523,340
Legg Mason, Inc.D	31,400		2,984,570
Lehman Brothers Holdings, Inc.	164,660		12,863,239
Merrill Lynch & Co., Inc.	130,000		12,103,000
Moody’s CorporationD	212,300		14,661,438
Progressive Corporation (The)	758,680		18,375,230
SLM CorporationD	312,700		15,250,379
UBS AG	190,227		11,476,395
US Bancorp	136,500		4,939,935
Wells Fargo & Co.	305,087		10,848,894
Zions Bancorporation	107,200		8,837,568

			251,715,684


Healthcare — 21.2%
Abbott Laboratories	145,300		7,077,563
Abraxis BioScience, Inc.D*	148,800		4,068,192
Aetna, Inc.	161,110		6,956,730
Allergan, Inc.	216,300		25,899,762
Amgen, Inc.*	135,400		9,249,174
Amylin Pharmaceuticals, Inc.D*	252,685		9,114,348
Cardinal Health, Inc.	80,100		5,160,843
Cerner CorporationD*	102,700		4,672,850
Genentech, Inc.D*	764,142		61,994,840
Genzyme Corporation*	594,587		36,614,668
Gilead Sciences, Inc.*	164,700		10,693,971
Intuitive Surgical, Inc.D*	69,400		6,655,460
Novartis AG ADRD	118,100		6,783,664
Patterson Cos., Inc.D*	132,600		4,708,626
Shire PLC ADRD	97,450		6,018,512
St. Jude Medical, Inc.*	156,200		5,710,672
Stryker CorporationD	141,500		7,798,065
Teva Pharmaceutical Industries, Ltd. ADRD	452,000		14,048,160
UnitedHealth Group, Inc.	614,127		32,997,044
Varian Medical Systems, Inc.D*	407,400		19,380,018
WellPoint, Inc.*	93,700		7,373,253
Wyeth	216,500		11,024,180
Zimmer Holdings, Inc.D*	281,400		22,056,132

			326,056,727


Materials & Processing — 1.7%
Fluor CorporationD	75,000		6,123,750
Monsanto Co.	192,788		10,127,154
Praxair, Inc.D	123,116		7,304,472
St. Joe Co.D	49,943		2,675,446

			26,230,822


Other — 1.7%
General Electric Co.	707,800		26,337,238


Other Energy — 4.8%
Baker Hughes, Inc.	35,500		2,650,430
Canadian Natural Resources, Ltd.D	123,200		6,557,936
Dynegy, Inc. Class A*	170		1,231
NRG Energy, Inc.D*	33,925		1,900,139
Schlumberger, Ltd.	742,962		46,925,480
TransOcean, Inc.D*	87,600		7,085,964
Valero Energy Corporation	45,900		2,348,244
Weatherford International, Ltd.*	154,300		6,448,197

			73,917,621


See Notes to Financial Statements.		107


Growth Equity Fund
SCHEDULE OF INVESTMENTS (Continued)


	Shares		Value
Producer Durables — 4.0%
Boeing Co.		142,929	$	12,697,813
KB HOMED		90,490		4,640,327
Lennar Corporation Class AD		107,713		5,650,624
Lockheed Martin Corporation		129,429		11,916,528
Pulte Homes, Inc.D		254,835		8,440,135
United Technologies Corporation		298,023		18,632,398

				61,977,825


Technology — 14.6%
Apple Computer, Inc.*		352,600		29,914,584
Autodesk, Inc.*		209,715		8,485,069
Broadcom Corporation Class A*		465,600		15,043,536
Cisco Systems, Inc.*		812,836		22,214,808
Corning, Inc.*		149,600		2,799,016
Dell, Inc.*		188,600		4,731,974
General Dynamics Corporation		157,765		11,729,828
Hewlett-Packard Co.		398,600		16,418,334
Intel Corporation		702,373		14,223,053
Marvell Technology Group, Ltd.D*		368,400		7,069,596
Microsoft Corporation		443,400		13,239,924
Motorola, Inc.		381,200		7,837,472
Network Appliance, Inc.*		412,225		16,192,198
Qualcomm, Inc.		999,570		37,773,750
Salesforce.com, Inc.D*		347,100		12,651,795
Seagate Technology, Inc.+*		5,600		—
Texas Instruments, Inc.		150,300		4,328,640

				224,653,577


Utilities — 3.5%
America Movil SA de CV ADR Series L		479,571		21,686,200
AT&T, Inc.		405,700		14,503,775
Comcast Corporation Class A*		409,557		17,336,548

				53,526,523

Total Common Stocks
(Cost $1,191,586,562)				1,478,143,048


MONEY MARKET FUNDS — 11.5%
GuideStone Funds Money Market Fund (GS4 Class) ¥		58,839,845		58,839,845
Northern Institutional Liquid Assets Portfolio§		118,791,161		118,791,161

Total Money Market Funds
(Cost $177,631,006)				177,631,006

	Par
U.S. TREASURY OBLIGATION — 0.3%
U.S. Treasury Bill
4.85%, 02/22/07‡‡ (Cost $4,170,577)	$	4,200,000		4,170,721


TOTAL INVESTMENTS — 107.8%
(Cost $1,373,388,145)				1,659,944,775

Liabilities in Excess of Other Assets — (7.8)%				(119,464,162	)


NET ASSETS — 100.0%			$	1,540,480,613


PORTFOLIO SUMMARY (based on net assets)
			%
Healthcare				21.2
Consumer Discretionary				17.9
Financial Services				16.3
Technology				14.6
Money Market Funds				11.5
Consumer Staples				6.0
Other Energy				4.8
Auto & Transportation				4.3
Producer Durables				4.0
Utilities				3.5
Futures Contracts				3.1
Materials & Processing				1.7
Other				1.7
U.S. Treasury Obligation				0.3

				110.9


108		See Notes to Financial Statements.

Small Cap Equity Fund

The Fund is comprised of domestic, small-cap stocks with both value and growth style orientations. The Fund generated a positive return while underperforming its benchmark, the Russell 2000^{^®}Index, during the fourth quarter and the year. Security selection within the consumer discretionary and financial services sectors detracted from benchmark-relative performance during the quarter. The Fund’s holdings in LCA-Vision (0.56%), Select Comfort (0.71%) and Doral Financial (0.08%) detracted from performance, while outperforming holdings included Medarex (0.41%), J&J Snack Foods (0.47%) and Exco Resources (0.45%). During the quarter, Provident delivered the strongest benchmark-relative returns and was rewarded for its security selection in the technology sector.

Please see page 116 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.

Small company stocks are generally riskier than large company stocks due to greater volatility and less liquidity.

109

Small Cap Equity Fund


Average Annual Total Returns as of 12/31/06
	GS2 Class*		GS4 Class*		GS6 Class*		Benchmark**		GS8 Class*		GS8 Class Benchmark**
One Year	11.40	%	11.27	%	10.84	%	18.37	%	10.44	%	18.37	%
Five Year	9.21	%	9.11	%	8.78	%	11.39	%	N/A		N/A
Since Inception	8.83	%	8.67	%	8.37	%	11.04	%	11.25	%	14.69	%
Inception Date	08/27/01		08/27/01		08/27/01		08/27/01		11/08/04		11/08/04

*	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.

110


Small Cap Equity Fund
SCHEDULE OF INVESTMENTS		December 31, 2006


	Shares	Value
COMMON STOCKS — 95.9%
Auto & Transportation — 3.8%
Accuride CorporationD*	69,500	$	782,570
AirTran Holdings, Inc.D*	43,300		508,342
American Commercial Lines, Inc.D*	8,500		556,835
American Railcar Industries, Inc.D	7,700		262,108
Arkansas Best CorporationD	18,390		662,040
ArvinMeritor, Inc.D	38,600		703,678
Autoliv, Inc.	31,600		1,905,480
Commercial Vehicle Group, Inc.*	6,610		144,098
Copa Holdings SA Class A	22,000		1,024,320
ExpressJet Holdings, Inc.D*	77,600		628,560
Freightcar America, Inc.D	14,400		798,480
General Maritime CorporationD	30,000		1,055,700
Goodyear Tire & Rubber Co. (The)D*	9,200		193,108
Greenbrier Co., Inc.D	20,500		615,000
Horizon Lines, Inc. Class AD	26,700		719,832
JB Hunt Transport Services, Inc.	71,800		1,491,286
Laidlaw International, Inc.	32,200		979,846
Noble International, Ltd.D	28,550		572,428
OMI CorporationD	96,200		2,036,554
Pacer International, Inc.	20,100		598,377
Republic Airways Holdings, Inc.D*	9,748		163,571
Sea Containers, Ltd. Class AD	50,000		35,000
Thor Industries, Inc.D	19,780		870,122
TRW Automotive Holdings CorporationD*	19,800		512,226
Tsakos Energy Navigation, Ltd.D	35,900		1,647,810
UTI Worldwide, Inc.D	43,000		1,285,700
Wabash National CorporationD	58,092		877,189

			21,630,260


Consumer Discretionary — 18.0%
Aaron Rents, Inc.D	49,550		1,426,049
Administaff, Inc.D	9,500		406,315
Advisory Board Co. (The)D*	32,100		1,718,634
American Woodmark CorporationD	32,300		1,351,755
America’s Car-Mart, Inc.D*	24,470		290,214
Asbury Automotive Group, Inc.	30,700		723,292
Barrett Business Services, Inc.D	25,100		587,842
Big Lots, Inc.D*	22,200		508,824
BJ’s Wholesale Club, Inc.*	43,400		1,350,174
Blockbuster, Inc. Class AD*	129,300		683,997
Brinker International, Inc.	40,650		1,226,004
Brown Shoe Co., Inc.	14,300		682,682
Buckle, Inc.D	18,700		950,895
Buffalo Wild Wings, Inc.D*	11,900		633,080
Build-A-Bear Workshop, Inc.D*	36,020		1,009,280
Capella Education Co.*	21,300		516,525
Casual Male Retail Group, Inc.D*	35,000		456,750
CEC Entertainment, Inc.*	17,800		716,450
Central Garden & Pet Co.D*	26,500		1,283,130
Charlotte Russe Holding, Inc.D*	44,900		1,380,675
Computer Learning Centers*	24,439		2
Conn’s, Inc.D*	41,300		961,051
Convergys Corporation*	64,100		1,524,298
Corporate Executive Board Co.	20,300		1,780,310
CoStar Group, Inc.D*	32,850		1,759,446
CRA International, Inc.*	10,100		529,240
CROCS, Inc.D*	23,430		1,012,176
Ctrip.com International, Ltd. ADRD	11,300		706,024
Deckers Outdoor CorporationD*	17,200		1,031,140
Dillard’s, Inc. Class A	31,800		1,112,046
Dress Barn, Inc.D*	46,700		1,089,511
DTS, Inc.D*	16,150		390,668
Emergency Medical Services LP Class AD*	30,000		629,400
Entravision Communications Corporation Class AD*	214,758		1,765,311
EZCORP, Inc. Class AD*	82,200		1,335,750
FirstService CorporationD*	29,400		679,140
Furniture Brands International, Inc.D	57,100		926,733
Gymboree CorporationD*	16,300		622,008
Harris Interactive, Inc.D*	100,744		507,750
Hasbro, Inc.	69,800		1,902,050
Heelys, Inc.*	1,100		35,321
Heidrick & Struggles International, Inc.D*	16,600		703,176
Helen of Troy, Ltd.D*	42,000		1,018,920
Herbalife, Ltd.*	34,300		1,377,488
Hibbett Sporting Goods, Inc.*	16,500		503,745
Home Solutions of America, Inc.D*	74,900		438,914
Houston Wire & Cable Co.D*	52,400		1,095,160
Iconix Brand Group, Inc.D*	92,700		1,797,453
IKON Office Solutions, Inc.D	45,600		746,472
Inter Parfums, Inc.D	27,900		535,401
ITT Educational Services, Inc.D*	19,600		1,300,852
Jack in the Box, Inc.*	16,500		1,007,160
Jackson Hewitt Tax Service, Inc.D	55,200		1,875,144
Jakks Pacific, Inc.D*	55,800		1,218,672
Jones Apparel Group, Inc.	11,500		384,445
K2, Inc.D*	87,100		1,148,849
Kenexa CorporationD*	40,800		1,357,008
Kforce, Inc.*	39,000		474,630
Knot, Inc.D*	15,100		396,224
Life Time Fitness, Inc.D*	28,800		1,397,088
Liquidity Services, Inc.D*	17,170		295,496
LoJack CorporationD*	28,300		483,364
Marvel Entertainment, Inc.D*	20,000		538,200
Monro Muffler Brake, Inc.	18,900		663,390
MWI Veterinary Supply, Inc.D*	25,000		807,500
On Assignment, Inc.D*	82,000		963,500
Orient-Express Hotels, Ltd. Class AD	24,000		1,135,680
Outdoor Channel Holdings, Inc.D*	37,900		486,257


See Notes to Financial Statements.		111


Small Cap Equity Fund
SCHEDULE OF INVESTMENTS (Continued)


	Shares	Value
Parlux Fragrance, Inc.D*	106,900	$	595,433
Perry Ellis International, Inc.D*	5,490		225,090
Physicians Formula Holdings, Inc.D*	16,600		310,254
Playtex Products, Inc.D*	65,800		946,862
Pool CorporationD	74,925		2,934,812
Resources Connection, Inc.D*	92,000		2,929,280
Rocky Brands, Inc.D*	55,000		886,600
Ruby Tuesday, Inc.D	27,900		765,576
Rush Enterprises, Inc. Class AD*	49,681		840,603
Schawk, Inc.D	54,300		1,061,022
Select Comfort CorporationD*	223,465		3,886,056
Shaw Communications, Inc. Class BD	56,900		1,804,299
Source Interlink Cos., Inc.D*	54,900		447,984
Stanley Furniture Co., Inc.D	20,960		449,592
Steiner Leisure, Ltd.*	31,400		1,428,700
Strayer Education, Inc.D	26,500		2,810,325
Tech Data Corporation*	31,600		1,196,692
Tempur-Pedic International, Inc.D*	36,830		753,542
THQ, Inc.D*	65,900		2,143,068
Toro Co.D	29,500		1,375,585
Tractor Supply Co.D*	26,400		1,180,344
Travelzoo, Inc.D*	39,500		1,183,025
True Religion Apparel, Inc.D*	65,770		1,006,939
United Natural Foods, Inc.D*	23,300		836,936
United Online, Inc.D	108,200		1,436,896
Universal Electronics, Inc.D*	60,285		1,267,191
USANA Health Sciences, Inc.D*	43,500		2,247,210
ValueClick, Inc.D*	35,620		841,701
VistaPrint, Ltd.D*	22,100		731,731
WESCO International, Inc.*	17,300		1,017,413
World Fuel Services CorporationD	32,800		1,458,288
Zumiez, Inc.*	7,700		227,458

			103,578,637

Consumer Staples — 1.3%
Chiquita Brands International, Inc.D	25,190		402,284
J & J Snack Foods CorporationD	62,252		2,577,233
Long’s Drug Stores Corporation	14,800		627,224
NBTY, Inc.D*	39,700		1,650,329
Pilgrim’s Pride Corporation	22,400		659,232
Ralcorp Holdings, Inc.D*	26,200		1,333,318

			7,249,620

Financial Services — 22.2%
A.G. Edwards, Inc.	35,800		2,265,782
Accredited Home Lenders Holding Co.D*	26,500		722,920
Advanta Corporation Class BD	35,700		1,557,591
Affiliated Managers Group, Inc.D*	7,770		816,860
Alliance Data Systems Corporation*	20,000		1,249,400
American Equity Investment Life Holding Co.D	102,000		1,329,060
American Financial Group, Inc.	22,200		797,202
American Home Mortgage Investment Corporation REITD	38,900		1,366,168
American Physicians Capital, Inc.D*	11,700		468,468
AmeriCredit CorporationD*	22,800		573,876
Amerisafe, Inc.*	23,810		368,102
Arch Capital Group, Ltd.*	19,900		1,345,439
Argonaut Group, Inc.D*	30,900		1,077,174
Assurant, Inc.	23,900		1,320,475
Assured Guaranty, Ltd.	37,200		989,520
Asta Funding, Inc.D	83,140		2,530,782
Banco Latinoamericano de Exportaciones SAD	53,400		905,664
Bancshares of Florida, Inc.D*	28,000		573,440
BankUnited Financial Corporation Class AD	78,900		2,206,044
Brookline Bancorp, Inc.D	87,123		1,147,410
Cash America International, Inc.D	21,800		1,022,420
Center Financial Corporation	500		11,985
Central Pacific Financial CorporationD	24,600		953,496
Cohen & Steers, Inc.D	19,800		795,366
Colonial BancGroup, Inc.	75,900		1,953,666
Commerce Group, Inc.D	50,800		1,511,300
CompuCredit CorporationD*	40,000		1,592,400
Corus Bankshares, Inc.D	100,780		2,324,995
Covanta Holding Corporation*	43,800		965,352
Credicorp, Ltd.	29,800		1,220,012
CVB Financial CorporationD	48,682		703,942
Cybersource CorporationD*	50,676		558,449
Digital Insight Corporation*	13,000		500,370
Doral Financial CorporationD	147,500		423,325
Downey Financial CorporationD	26,920		1,953,854
Eaton Vance Corporation	21,500		709,715
Euronet Worldwide, Inc.D*	17,200		510,668
ExlService Holdings, Inc.D*	10,900		229,336
Federated Investors, Inc. Class B	20,100		678,978
First Acceptance CorporationD*	30,311		324,934
First American CorporationD	28,200		1,147,176
First Bancorp Puerto RicoD	83,300		793,849
First Cash Financial Services, Inc.D*	50,100		1,296,087
First Marblehead Corporation	33,000		1,803,450
First Regional BancorpD*	36,800		1,254,512
FirstFed Financial CorporationD*	40,000		2,678,800
Fremont General CorporationD	142,500		2,309,925
GFI Group, Inc.D*	7,200		448,272
Global Payments, Inc.	40,300		1,865,890
Hanmi Financial CorporationD	14,900		335,697
Hanover Insurance Group, Inc.	27,700		1,351,760


112		See Notes to Financial Statements.


	Shares	Value
HCC Insurance Holdings, Inc.D	40,135	$	1,287,932
HealthExtras, Inc.*	45,600		1,098,960
Hilb, Rogal & Hobbs Co.D	97,872		4,122,369
Huron Consulting Group, Inc.D*	41,816		1,895,937
IndyMac Bancorp, Inc.D	36,900		1,666,404
Infinity Property & Casualty CorporationD	30,300		1,466,217
Investors Financial Services CorporationD	77,600		3,311,192
Jack Henry & Associates, Inc.D	67,900		1,453,060
Jefferies Group, Inc.D	34,400		922,608
Jones Lang LaSalle, Inc.D	20,800		1,917,136
Kingsway Financial Services, Inc.D	49,000		1,021,650
Knight Capital Group, Inc. Class AD*	50,200		962,334
Markel Corporation*	4,535		2,177,253
Max Re Capital, Ltd.	52,100		1,293,122
MCG Capital CorporationD	53,200		1,081,024
Midwest Banc Holdings, Inc.D	23,100		548,625
MoneyGram International, Inc.D	29,300		918,848
National Interstate CorporationD	20,000		486,000
New Century Financial Corporation REITD	26,400		833,976
Ocwen Financial CorporationD*	80,400		1,275,144
Odyssey Re Holdings Corporation	32,500		1,212,250
Ohio Casualty CorporationD	116,871		3,483,924
Online Resources CorporationD*	40,800		416,568
optionsXpress Holdings, Inc.D	93,900		2,130,591
Pacific Capital BancorpD	35,000		1,175,300
Philadelphia Consolidated Holding CorporationD*	15,300		681,768
PMI Group, Inc. (The)D	44,500		2,099,065
Portfolio Recovery Associates, Inc.D*	27,610		1,289,111
Primus Guaranty, Ltd.*	75,100		867,405
PrivateBancorp, Inc.D	46,261		1,925,845
Radian Group, Inc.	38,200		2,059,362
Reinsurance Group of America, Inc.D	27,800		1,548,460
RenaissanceRe Holdings, Ltd.	21,500		1,290,000
Ryder System, Inc.	28,500		1,455,210
Safety Insurance Group, Inc.D	22,500		1,140,975
Sotheby’s Holdings Class AD	24,700		766,194
SWS Group, Inc.D	36,200		1,292,340
TierOne CorporationD	39,900		1,261,239
Tower Group, Inc.D	2,200		68,354
Triad Guaranty, Inc.D*	42,270		2,319,355
United Rentals, Inc.*	23,300		592,519
Unitrin, Inc.	24,200		1,212,662
USI Holdings CorporationD*	164,587		2,528,056
Webster Financial CorporationD	34,300		1,671,096
Williams Scotsman International, Inc.D*	109,945		2,157,121
World Acceptance CorporationD*	24,200		1,136,190
Wright Express CorporationD*	49,700		1,549,149
Zenith National Insurance Corporation	26,200		1,229,042

			128,140,300


Healthcare — 11.7%
Adeza Biomedical CorporationD*	34,200		509,922
Akorn, Inc.D*	54,470		340,438
Amedisys, Inc.D*	114,800		3,773,476
American Dental Partners, Inc.*	42,300		799,047
AMERIGROUP CorporationD*	23,500		843,415
Apria Healthcare Group, Inc.D*	42,800		1,140,620
Arqule, Inc.D*	99,920		591,527
Arthrocare CorporationD*	16,740		668,261
Aspreva Pharmaceuticals CorporationD*	14,800		303,696
AtriCure, Inc.D*	42,700		384,300
BioMarin Pharmaceuticals, Inc.D*	87,600		1,435,764
Bio-Rad Laboratories, Inc. Class A*	10,500		866,460
Biosite, Inc.D*	9,690		473,356
Cardiome Pharma CorporationD*	39,200		437,080
Centene CorporationD*	21,990		540,294
Chattem, Inc.D*	31,300		1,567,504
Coley Pharmaceutical Group, Inc.D*	30,200		292,638
Conor Medsystems, Inc.D*	32,500		1,018,225
Dade Behring Holdings, Inc.	39,000		1,552,590
DJO, Inc.D*	20,200		864,964
Five Star Quality Care, Inc.+*	2,086		—
Genesis HealthCare Corporation*	16,000		755,680
Haemonetics Corporation*	21,800		981,436
Healthspring, Inc.*	52,830		1,075,091
Healthways, Inc.D*	9,600		458,016
Icon PLC ADRD*	40,450		1,524,965
Idexx Laboratories, Inc.*	7,200		570,960
Immucor, Inc.D*	29,400		859,362
Kensey Nash CorporationD*	25,100		798,180
King Pharmaceuticals, Inc.*	64,900		1,033,208
Kyphon, Inc.D*	48,500		1,959,400
LCA-Vision, Inc.D	89,610		3,079,000
Lifecell CorporationD*	23,850		575,739
Magellan Health Services, Inc.*	44,200		1,910,324
Matria Healthcare, Inc.D*	52,400		1,505,452
Medarex, Inc.D*	152,230		2,251,482
Medicines Co.D*	41,300		1,310,036
Mentor CorporationD	30,100		1,470,987
MGI Pharma, Inc.D*	50,290		925,839
Mylan Laboratories, Inc.	32,300		644,708
Nektar TherapeuticsD*	94,220		1,433,086
Option Care, Inc.D	120,291		1,714,147
Panacos Pharmaceuticals, Inc.D*	93,000		372,930


See Notes to Financial Statements.		113


Small Cap Equity Fund
SCHEDULE OF INVESTMENTS (Continued)


	Shares	Value
PDL BioPharma, Inc.D*	51,200	$	1,031,168
Pediatrix Medical Group, Inc.*	45,200		2,210,280
Pharmion CorporationD*	24,000		617,760
PolyMedica CorporationD	27,205		1,099,354
Psychiatric Solutions, Inc.*	13,000		487,760
Radiation Therapy Services, Inc.D*	7,600		239,552
Respironics, Inc.*	41,900		1,581,725
Salix Pharmaceuticals, Ltd.D*	78,420		954,371
Sciele Pharma, Inc.D*	25,550		613,200
Stereotaxis, Inc.D*	55,500		572,760
Stericycle, Inc.D*	14,400		1,087,200
SuperGen, Inc.D*	58,600		297,688
Symmetry Medical, Inc.D*	116,000		1,604,280
Syneron Medical, Ltd.D*	77,900		2,113,427
United Surgical Partners International, Inc.D*	94,200		2,670,570
VCA Antech, Inc.*	52,500		1,689,975
Ventana Medical Systems*	16,200		697,086
WellCare Health Plans, Inc.*	9,800		675,220
West Pharmaceutical Services, Inc.D	6,400		327,872
Zoll Medical Corporation*	26,800		1,560,832

			67,745,685


Integrated Oils — 0.1%
Petrocorp, Inc. Escrow Shares+*	500		—
Vaalco Energy, Inc.D*	101,200		683,100

			683,100


Materials & Processing — 10.4%
Acuity Brands, Inc.D	27,200		1,415,488
Albemarle Corporation	13,500		969,300
Armor Holdings, Inc.D*	28,720		1,575,292
Beacon Roofing Supply, Inc.D*	241,367		4,542,527
Bemis Co.	22,700		771,346
Building Materials Holding CorporationD	26,100		644,409
Cal Dive International, Inc.D*	40,800		512,040
Carpenter Technology Corporation	27,400		2,809,048
Century Aluminum Co.D*	24,600		1,098,390
Clarcor, Inc.D	43,700		1,477,497
Cleveland-Cliffs, Inc.D	21,300		1,031,772
Commercial Metals Co.	103,572		2,672,158
Eagle Materials, Inc.	41,090		1,776,321
Encore Wire CorporationD*	23,200		510,632
Energizer Holdings, Inc.*	10,100		716,999
EnerSysD*	41,200		659,200
Ennis, Inc.D	62,000		1,516,520
Foster Wheeler, Ltd.*	12,000		661,680
Granite Construction, Inc.	13,000		654,160
Greif, Inc. Class AD	7,400		876,160
Hexcel CorporationD*	110,872		1,930,281
Infrasource Services, Inc.*	33,300		724,941
Innerworkings, Inc.D*	42,200		673,512
Lamson & Sessions Co.D*	92,000		2,231,920
Lone Star Technologies, Inc.*	6,420		310,792
Lundin Mining CorporationD*	21,780		802,811
Metal Management, Inc.D	23,900		904,615
Methanex CorporationD	60,200		1,647,674
Mobile Mini, Inc.D*	55,400		1,492,476
Mueller Industries, Inc.	40,500		1,283,850
NCI Building Systems, Inc.*	26,200		1,355,850
Nuco2, Inc.D*	30,100		740,159
OM Group, Inc.*	27,400		1,240,672
Pactiv Corporation*	40,500		1,445,445
PolyOne CorporationD*	80,200		601,500
PW Eagle, Inc.D	54,500		1,880,250
Quintana Maritime, Ltd.D	41,170		453,693
RBC Bearings, Inc.D*	41,300		1,183,658
Reliance Steel & Aluminum Co.	7,000		275,660
Resource Capital CorporationD	39,000		661,050
RTI International Metals, Inc.D*	10,900		852,598
Ryerson, Inc.D	7,300		183,157
Schnitzer Steel Industries, Inc. Class AD	33,100		1,314,070
Senomyx, Inc.D*	21,900		284,481
Spartech Corporation	26,300		689,586
Steel Dynamics, Inc.	81,120		2,632,344
Superior Essex, Inc.D*	27,200		904,400
Timken Co.	43,700		1,275,166
Tredegar CorporationD	34,100		771,001
Watsco, Inc.D	46,500		2,192,940

			59,831,491


Other — 0.3%
Lancaster Colony CorporationD	27,100		1,200,801
Ritchie Bros. Auctioneers, Inc.D	13,200		706,728

			1,907,529


Other Energy — 3.8%
Alon USA Energy, Inc.D	11,400		299,934
Arena Resources, Inc.D*	13,300		568,043
ATP Oil & Gas CorporationD*	14,100		557,937
Basic Energy Services, Inc.D*	25,200		621,180
Brigham Exploration Co.D*	84,600		618,426
Bronco Drilling Co., Inc.D*	19,900		342,081
Comstock Resources, Inc.*	25,100		779,606
Delek US Holdings, Inc.D	43,470		712,473
Denbury Resources, Inc.*	47,800		1,328,362
EXCO Resources, Inc.D*	143,800		2,431,658
Foundation Coal Holdings, Inc.D	27,500		873,400
Gulf Island Fabrication, Inc.	11,560		426,564
Hercules Offshore, Inc.*	29,650		856,885
Holly CorporationD	26,600		1,367,240
Hydril Co.D*	14,000		1,052,660
Ormat Technologies, Inc.D	10,100		371,882
Petroquest Energy, Inc.D*	56,402		718,561
Quicksilver Resources, Inc.D*	22,900		837,911
Swift Energy Co.D*	10,300		461,543
Tesoro Corporation	12,200		802,394
TODCO Class AD*	20,800		710,736
Toreador Resources CorporationD*	17,800		458,706
Unit Corporation*	9,550		462,698
Universal Compression Holdings, Inc.*	31,200		1,937,832


114		See Notes to Financial Statements.


	Shares	Value
Veritas DGC, Inc.*	15,500	$	1,327,265
W-H Energy Services, Inc.*	12,400		603,756
Whiting Petroleum CorporationD*	10,280		479,048

			22,008,781


Producer Durables — 7.4%
Actuant Corporation Class AD	55,034		2,622,370
Allied Defense Group, Inc. (The)D*	19,040		404,600
Altra Holdings, Inc.D*	21,400		300,670
Applied Industrial Technologies, Inc.D	27,100		713,001
Arris Group, Inc.*	60,300		754,353
ATMI, Inc.*	16,500		503,745
Beazer Homes USA, Inc.D	17,600		827,376
Bucyrus International, Inc. Class AD	32,700		1,692,552
Cognex CorporationD	36,800		876,576
Color Kinetics, Inc.D*	27,500		587,125
Columbus McKinnon CorporationD*	30,530		641,741
Curtiss-Wright CorporationD	55,000		2,039,400
Cymer, Inc.D*	21,600		949,320
Dionex CorporationD*	14,700		833,637
Flow International CorporationD*	51,600		568,632
Gehl Co.D*	29,100		801,123
Genlyte Group, Inc.*	23,676		1,849,332
Graco, Inc.	49,600		1,965,152
H&E Equipment Services, Inc.*	22,400		554,848
Headwaters, Inc.D*	31,700		759,532
Hovnanian Enterprises, Inc. Class AD*	25,300		857,670
Itron, Inc.D*	4,150		215,136
Ladish Co., Inc.D*	36,400		1,349,712
Lexmark International, Inc.D*	23,000		1,683,600
Measurement Specialties, Inc.D*	91,400		1,977,896
Meritage Homes CorporationD*	39,000		1,861,080
MKS Instruments, Inc.D*	41,100		928,038
MTC Technologies, Inc.D*	22,300		525,165
Orbital Sciences CorporationD*	68,400		1,261,296
Polycom, Inc.*	43,100		1,332,221
Regal-Beloit CorporationD	16,500		866,415
Robbins & Myers, Inc.D	32,300		1,483,216
Rudolph Technologies, Inc.D*	46,100		733,912
SBA Communications Corporation Class AD*	37,800		1,039,500
Sonic SolutionsD*	34,400		560,720
Spectralink CorporationD*	83,200		715,520
Technical Olympic USA, Inc.D	108,700		1,105,479
Technitrol, Inc.D	28,400		678,476
Triumph Group, Inc.D	28,500		1,494,255
Varian Semiconductor Equipment Associates, Inc.*	15,050		685,076
X-Rite, Inc.D*	86,555		1,064,627

			42,664,095


Technology — 13.1%
Aeroflex, Inc.D*	54,300		636,396
Alvarion, Ltd.D*	79,500		534,240
American Reprographics Co.D*	34,200		1,139,202
Anixter International, Inc.*	12,900		700,470
Applied Micro Circuits Corporation*	126,200		449,272
Avid Technology, Inc.D*	18,100		674,406
Avnet, Inc.*	65,600		1,674,768
Avocent CorporationD*	43,500		1,472,475
Bottomline Technologies, Inc.D*	30,900		353,805
CACI International, Inc. Class A*	47,857		2,703,920
Cbeyond, Inc.D*	22,300		682,157
CDC Corporation Class AD*	155,490		1,477,155
Cogent Communications Group, Inc.D*	34,000		551,480
Comtech TelecommunicationsD*	67,250		2,560,208
CPI International, Inc.D*	43,500		652,500
Cree, Inc.D*	40,100		694,532
CSG Systems International, Inc.*	20,000		534,600
Daktronics, Inc.D	17,900		659,615
DealerTrack Holdings, Inc.D*	45,100		1,326,842
Emageon, Inc.D*	44,900		689,664
Epicor Software CorporationD*	179,100		2,419,641
Equinix, Inc.D*	25,650		1,939,653
F5 Networks, Inc.*	13,900		1,031,519
FLIR Systems, Inc.D*	19,500		620,685
FormFactor, Inc.D*	31,300		1,165,925
Foundry Networks, Inc.D*	97,600		1,462,048
Guidance Software, Inc.*	30,700		477,999
Ingram Micro, Inc. Class A*	96,100		1,961,401
j2 Global Communications, Inc.D*	64,400		1,754,900
Keane, Inc.D*	14,900		177,459
Komag, Inc.D*	47,500		1,799,300
Lionbridge Technologies, Inc.D*	99,800		642,712
Merge Technologies, Inc.D*	58,600		384,416
Micros Systems, Inc.*	28,400		1,496,680
MicroStrategy, Inc. Class AD*	12,000		1,368,120
NAM TAI Electronics, Inc.	43,800		665,322
Neoware, Inc.D*	50,100		661,821
Ness Technologies, Inc.*	35,500		506,230
Netgear, Inc.D*	34,400		903,000
NovAtel, Inc.D*	25,500		1,017,450
Nuance Communications, Inc.D*	98,870		1,133,050
Omniture, Inc.D*	4,500		63,360
Openwave Systems, Inc.D*	60,000		553,800
Parametric Technology CorporationD*	37,200		670,344
PDF Solutions, Inc.D*	61,000		881,450
PerkinElmer, Inc.	47,000		1,044,810
Power Intergrations, Inc.D*	75,500		1,770,475
Radisys CorporationD*	71,577		1,193,189
RADVision, Ltd.*	35,400		710,832
RF Micro Devices, Inc.D*	121,700		826,343
SafeNet, Inc.D*	23,200		555,408


See Notes to Financial Statements.		115


Small Cap Equity Fund
SCHEDULE OF INVESTMENTS (Continued)


	Shares		Value
Scansource, Inc.D*		38,000	$	1,155,200
Semtech CorporationD*		63,800		833,866
SI International, Inc.D*		27,000		875,340
Silicon Motion Technology Corporation ADRD*		92,800		1,472,736
Sirf Technology Holdings, Inc.D*		23,000		586,960
Stanley, Inc.D*		20,400		344,964
Stratasys, Inc.D*		59,596		1,871,910
Supertex, Inc.D*		17,300		679,025
Synaptics, Inc.D*		18,500		549,265
Talx CorporationD		108,500		2,978,325
Tessera Technologies, Inc.D*		42,200		1,702,348
Transaction Systems Architects, Inc.D*		31,200		1,016,184
Trident Microsystems, Inc.D*		61,350		1,115,343
Ultimate Software Group, Inc.D*		31,501		732,713
Vasco Data Security InternationalD*		35,400		419,490
VeriFone Holdings, Inc.D*		40,100		1,419,540
Verint Systems, Inc.D*		16,000		548,480
Viasat, Inc.*		29,700		885,357
Volterra Semiconductor CorporationD*		25,800		387,000
WebEx Communications, Inc.D*		15,800		551,262
Websense, Inc.D*		92,702		2,116,387
Xyratex, Ltd.D*		29,300		632,294
Zoran Corporation*		50,900		742,122

				75,643,160


Utilities — 3.8%
AGL Resources, Inc.D		44,600		1,735,386
Alliant Energy Corporation		49,800		1,880,946
CenturyTel, Inc.		48,300		2,108,778
El Paso Electric Co.D*		44,000		1,072,280
Empire District Electric Co.D		20,380		503,182
Energen Corporation		40,200		1,886,988
Energy East CorporationD		76,900		1,907,120
General Communication, Inc. Class AD*		33,000		519,090
Globalstar, Inc.*		15,200		211,432
MDU Resources Group, Inc.D		31,650		811,506
NeuStar, Inc. Class AD*		25,700		833,708
NiSource, Inc.		51,200		1,233,920
Pepco Holdings, Inc.D		27,000		702,270
Pinnacle West Capital Corporation		42,100		2,134,049
Telephone & Data Systems, Inc.		8,000		434,640
Unisource Energy CorporationD		25,950		947,954
Westar Energy, Inc.D		30,500		791,780
Wisconsin Energy Corporation		48,800		2,316,048

				22,031,077

Total Common Stocks
(Cost $481,532,627)				553,113,735


EXCHANGE TRADED FUND — 0.0%
iShares Russell 2000D
(Cost $ 338,352)		4,750		370,927


MONEY MARKET FUNDS — 52.0%
GuideStone Funds Money Market Fund (GS4 Class) ¥		22,605,076		22,605,076
Northern Institutional Liquid Assets Portfolio§		277,398,014		277,398,014

Total Money Market Funds
(Cost $300,003,090)				300,003,090


	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
4.85%, 02/22/07‡‡
(Cost $1,549,071)		1,560,000		1,549,125


TOTAL INVESTMENTS — 148.2%
(Cost $783,423,140)				855,036,877

Liabilities in Excess of Other Assets — (48.2)%				(278,111,165	)

Net Assets — 100.0%			$	576,925,712


PORTFOLIO SUMMARY (based on net assets)
			%
Money Market Funds				52.0
Financial Services				22.2
Consumer Discretionary				18.0
Technology				13.1
Healthcare				11.7
Materials & Processing				10.4
Producer Durables				7.4
Auto & Transportation				3.8
Other Energy				3.8
Utilities				3.8
Futures Contracts				3.4
Consumer Staples				1.3
Other				0.3
U.S. Treasury Obligation				0.3
Integrated Oils				0.1
Corporate Bond				—	**
Exchange Traded Fund				—	**

				151.6

**	Rounds to less than 0.005%.


116		See Notes to Financial Statements.



International Equity Fund

The Fund is primarily comprised of international stocks located in developed countries, and to a lesser extent, in international stocks located in emerging markets (economies not deemed to be developed). The Fund generated a positive return while underperforming its benchmark, the MSCI^{^®}ACWI ex-U.S., during the fourth quarter and the year. Security selection in the consumer discretionary and materials sectors detracted from benchmark-relative returns during the quarter. The Fund’s holdings in Nitto Denko (0.38%), High Tech Computer (0.25%) and Hirose Electric (0.33%) were among the largest detractors from performance, while Telefonica (1.04%), Mitsubishi Estate (1.07%) and Total Fina Elf(1.70%) were among the largest contributors to Fund performance for the quarter. At the sub-adviser level, Oechsle delivered the strongest benchmark-relative performance during the quarter largely due to its security selection in the telecommunication services sector.

Please see page 125 for information regarding specific portfolio allocations. Portfolio holdings are subject to change at any time.

Foreign securities may involve additional risks, social and political instability, reduced market liquidity and currency volatility.


		117



International Equity Fund


Average Annual Total Returns as of 12/31/06
	GS2 Class*		GS4 Class*		GS6 Class*		Benchmark**		GS8 Class*		GS8 Class Benchmark**
One Year	23.78	%	23.58	%	23.14	%	26.65	%	22.78	%	26.65	%
Five Year	15.78	%	15.56	%	15.26	%	16.42	%	N/A		N/A
Since Inception	13.65	%	13.47	%	13.02	%	14.02	%	21.99	%	24.10	%
Inception Date	08/27/01		08/27/01		08/27/01		08/27/01		11/08/04		11/08/04

*	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.

Unlike

a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses.


118


International Equity Fund
SCHEDULE OF INVESTMENTS		December 31, 2006


	Shares	Value
FOREIGN COMMON STOCKS — 95.7%

Argentina — 0.0%
Banco Macro SA ADRD	16,400	$	511,844


Australia — 3.3%
Amcor, Ltd.D	785,696		4,496,354
Brambles, Ltd.D*	118,740		1,190,268
Coca-Cola Amatil, Ltd.D	659,905		4,042,138
Equinox Minerals, Ltd.*	96,300		156,075
Insurance Australia Group, Ltd.D	212,912		1,067,190
Lend Lease Corporation, Ltd.D	414,209		6,029,043
Macquarie Bank, Ltd.D	18,341		1,142,702
National Australia Bank, Ltd.D	279,655		8,918,091
Promina Group, Ltd.D	16,807		91,805
QBE Insurance Group, Ltd.D	22,981		523,339
Rinker Group, Ltd.D	110,918		1,580,328
Telstra Corporation, Ltd.*	2,224,814		7,025,184
Toll Holdings, Ltd.D	40,100		578,297
Wesfarmers, Ltd.D	88,726		2,629,136
Woodside Petroleum, Ltd.D	278,257		8,370,531
Woolworths, Ltd.D	59,683		1,125,943

			48,966,424


Austria — 0.1%
Erste Bank Der Oesterreichischen Sparkassen AG	11,600		888,179
Raiffeisen International Bank Holding AG	3,400		516,987
Telekom Austria AG	21,700		579,437

			1,984,603


Bahrain — 0.0%
Investcorp Bank BSC GDR*	12,825		303,952


Belgium — 1.2%
Colruyt SA	40,100		8,564,689
Fortis	175,132		7,469,494
UCB SAD	16,500		1,131,509

			17,165,692


Brazil — 1.2%
All America Latina Logistica SA	45,500		472,144
Aracruz Celulose SA ADRD	3,600		220,464
Arcelor Brasil SA	28,974		569,580
Banco do Brasil SA	51,100		1,530,728
Brasil Ecodiesel Industria e Comercio de Biocombustiveis e Oleos Vegetais SA*	37,600		207,667
Brasil Telecom Participacoes SA ADRD	26,600		1,135,554
Centrais Eletricas Brasileiras SA	13,535,400		323,671
Companhia Brasileira de Distribuicao Grupo Pao de Acucar ADRD	33,900		1,158,363
Companhia Vale do Rio Doce ADRD	197,100		5,173,875
CPFL Energia SA ADRD	6,200		254,076
Gol Linhas Aereas Inteligentes SA ADRD	1,400		40,138
Localiza Rent A Car SA	6,600		198,479
Lojas Renner SA	33,500		481,371
Petroleo Brasileiro SA ADR	25,300		2,346,828
Positivo Informatica SA*	6,900		74,280
Tele Norte Leste Participacoes SA ADRD	95,400		1,423,368
Terna Participacoes SA*	13,300		150,026
Tim Participacoes SA ADRD	11,000		380,820
Totvs SA*	6,200		137,233
Unibanco ADR	8,900		827,344

			17,106,009


Canada — 2.3%
Abitibi-Consolidated, Inc.D	76,300		195,633
Alcan, Inc.	78,300		3,812,438
Barrick Gold CorporationD	76,600		2,351,620
Cameco Corporation	64,300		2,602,547
Canadian Imperial Bank of Commerce	7,800		657,497
Canadian Natural Resources, Ltd.	51,700		2,755,353
Canadian Oil Sands Trust	19,000		531,312
EnCana Corporation	12,200		561,379
Falcon Oil & Gas, Ltd.*	137,800		451,396
Finning International, Inc.	17,000		696,677
First Quantum Minerals, Ltd.	26,700		1,436,715
Methanex Corporation	28,600		782,352
Potash Corporation of SaskatchewanD	29,577		4,238,726
Rogers Communications, Inc. Class B	22,400		666,535
Royal Bank of CanadaD	13,200		628,221
Shaw Communications, Inc. Class B	19,100		604,537
Shoppers Drug Mart Corporation	15,000		644,300
Suncor Energy, Inc.	98,300		7,737,390
Talisman Energy, Inc.	137,100		2,327,814
TELUS Corporation	10,400		477,304
Toronto-Dominion Bank	11,600		693,523

			34,853,269


Chile — 0.2%
Banco de Credito e Inversiones	23,100		687,987
Banco Santander Chile SA ADRD	11,000		529,760
Centros Comerciales Sudamericanos SA	85,378		267,082
Embotelladora Andina SA ADR Class A	30,100		466,249
Embotelladora Andina SA ADR Class B	36,500		617,945
Empresas CMPC SA	7,900		265,669
Enersis SA ADR	24,900		398,400
Masisa SA ADRD	8,200		84,460
Sonda SA*	28,948		34,971

			3,352,523


China — 0.9%
Aluminum Corp of China, Ltd. Class H	1,321,000		1,222,787
China Coal Energy Co. Class H*	96,000		62,327
China Communications Construction Co., Ltd. Class H*	326,000		322,299
China Construction Bank Class H 144AD	3,892,000		2,476,814
China Petroleum & Chemical Corporation Class H	348,000		322,127


See Notes to Financial Statements.		119


International Equity Fund
SCHEDULE OF INVESTMENTS (Continued)


	Shares	Value
China Shenhua Energy Co., Ltd. Class HD	1,724,900	$	4,151,309
Industrial & Commercial Bank of China Class H*	5,531,000		3,434,520
Jiangsu Express Co., Ltd. Class H	316,600		199,038
Sina CorporationD*	16,300		467,810

			12,659,031


Colombia — 0.1%
BanColombia SA	76,200		591,627
BanColombia SA ADRD	12,200		380,030

			971,657


Denmark — 0.8%
Danske Bank A/S	54,070		2,402,558
H Lundbeck A/S	78,000		2,150,634
Novo-Nordisk AS Class B	85,169		7,093,898

			11,647,090


Egypt — 0.4%
El Sewedy Cables Holding Co.*	21,230		161,067
MobiNil - Egyptian Mobile Services	34,645		1,100,329
Orascom Construction Industries	59,414		2,846,254
Orascom Construction Industries GDR 144A	3,084		295,481
Orascom Telecom Holding SAE	7,958		525,796
Orascom Telecom Holding SAE GDRD	4,056		267,986

			5,196,913


Estonia — 0.0%
Tallink Group, Ltd.*	55,140		371,943


Finland — 0.9%
Neste Oil OYJD	15,700		477,290
Nokia Oyj	326,800		6,677,928
Stora Enso OYJ Class R	32,300		511,649
UPM-Kymmene OYJD	247,900		6,256,812

			13,923,679


France — 9.6%
Accor SAD	13,400		1,038,321
Air France-KLMD	16,400		690,378
Air LiquideD	13,753		3,266,008
Assurances Generales de France	23,100		3,601,228
AXA SA	100,700		4,076,918
BNP Paribas SA	43,340		4,728,468
Bouygues SA	69,796		4,480,469
Carrefour SA	106,069		6,432,328
Casino Guichard Perrachon SA	24,300		2,258,227
Compagnie de Saint-GobainD	121,515		10,209,794
Compagnie Generale des Etablissements Michelin Class BD	9,100		870,900
Compagnie Generale d’Optique Essilor International SAD	6,400		688,113
Dassault Systemes SAD	9,500		504,125
France Telecom SA	264,167		7,305,523
Groupe DanoneD	8,700		1,318,408
Lafarge SA	27,100		4,031,641
L’Oreal SA	70,800		7,093,552
Neuf Cegetel*	75,802		2,691,669
PagesJaunes Groupe SAD	17,972		357,518
Renault SAD	78,872		9,474,427
Safran SAD	25,800		598,725
Sanofi-AventisD	129,338	$	11,942,701
Schneider Electric SA	18,500		2,053,792
Societe BIC SA	14,600		1,016,633
Societe Generale Class A	49,848		8,462,085
Societe Television Francaise 1D	166,400		6,174,515
Thales SAD	25,900		1,291,667
Total SAD	331,033		23,880,870
Valeo SAD	57,100		2,376,560
Veolia EnvironnementD	109,822		8,466,246
Vivendi SA	27,000		1,055,336

			142,437,145


Germany — 5.1%
Adidas-Salomon AG	100,084		4,984,713
Allianz AG	28,800		5,883,556
BASF AG	29,393		2,865,386
Bayer AG	187,607		10,069,435
Bayerische Motoren Werke AGD	58,600		3,365,700
Commerzbank AGD	21,000		799,749
Continental AG	32,700		3,802,878
DaimlerChrysler AG	24,400		1,507,386
Deutsche Bank AG	34,466		4,610,632
Deutsche Post AG	22,200		669,326
Deutsche Telekom AG	45,415		829,706
E.ON AG	23,200		3,149,173
Hannover Rueckversicherung AGD	62,800		2,908,091
Metro AGD	27,700		1,766,467
RWE AGD	83,481		9,201,589
SAP AG	41,200		2,189,574
SAP AG ADRD	4,500		238,950
Siemens AG	128,092		12,705,211
Volkswagen AGD	36,985		4,193,309

			75,740,831


Greece — 0.3%
National Bank of Greece SA	32,726		1,507,672
Public Power Corporation	102,000		2,585,176

			4,092,848


Hong Kong — 4.5%
Bank of East Asia, Ltd.D	272,600		1,543,786
China Mengniu Dairy Co., Ltd.	684,000		1,798,311
China Mobile, Ltd.D	917,500		7,926,668
China Yurun Food Group, Ltd.	1,132,000		1,043,472
CLP Holdings, Ltd.D	1,150,000		8,501,215
CNOOC, Ltd.D	9,265,000		8,802,483
Denway Motors, Ltd.D	4,290,000		1,737,333
Esprit Holdings, Ltd.	60,500		675,524
GOME Electrical Appliances Holdings, Ltd.D	975,000		764,627
Hang Lung Properties, Ltd.D	392,000		982,734
Hong Kong & China Gas Co., Ltd.D	3,684,000		8,288,443
Hong Kong Electric Holdings, Ltd.	754,000		3,693,275
Hutchison Whampoa, Ltd.D	556,000		5,650,566
Jardine Matheson Holdings, Ltd.	124,000		2,653,600
Johnson Electric Holdings, Ltd.D	446,500		305,960
Li & Fung, Ltd.	385,000		1,197,820
Shui On Land, Ltd.D*	748,000		652,960
Solomon Systech International, Ltd.	1,758,600		273,570


120		See Notes to Financial Statements.


	Shares	Value
Sun Hung Kai Properties, Ltd.	62,000	$	712,199
Swire Pacific, Ltd. Class AD	530,000		5,692,953
Techtronic Industries Co.D	1,180,000		1,529,177
Wharf Holdings, Ltd.D	682,000		2,520,795

			66,947,471


Hungary — 0.2%
MOL Hungarian Oil and Gas PLCD	17,473		1,981,738
MOL Hungarian Oil and Gas PLC ADR	14,081		1,598,194

			3,579,932


India — 1.3%
Andhra Bank, Ltd.	728,084		1,427,051
Asian Paints, Ltd.	61,700		1,026,707
Bharat Heavy Electricals, Ltd.	22,116		1,148,948
Bharti Airtel, Ltd.*	221,994		3,159,628
Container Corporation of India, Ltd.	25,722		1,235,162
GAIL India, Ltd. GDR	28,500		1,004,625
Gujarat Ambuja Cements, Ltd.	740,200		2,358,907
Hero Honda Motors, Ltd.	46,560		803,386
Housing Development Finance Corporation	16,021		588,897
Indraprastha Gas, Ltd.	74,444		195,949
Infosys Technologies, Ltd. ADR	23,579		1,286,470
Punjab National Bank, Ltd.	16,921		193,831
Ranbaxy Laboratories, Ltd.	132,754		1,175,170
Sesa GOA, Ltd.	22,920		730,685
State Bank of India, Ltd. GDR	2,838		211,147
Sun Pharmaceuticals Industries, Ltd.	52,600		1,167,456
Tata Motors, Ltd.	49,480		1,006,816
Tata Motors, Ltd. ADRD	7,000		143,010

			18,863,845


Indonesia — 1.1%
Bank Rakyat Indonesia	5,841,100		3,350,483
PT Bank Central Asia TBK	1,792,000		1,038,009
PT Bank Mandiri Persero TBK	5,574,723		1,806,438
PT Panin Life TBK	26,999,000		494,982
PT Ramayana Lestari Sentosa TBK	6,099,500		591,517
PT Telekomunikasi Indonesia TBK	7,671,100		8,646,009

			15,927,438


Ireland — 1.0%
Allied Irish Banks PLC	98,500		2,941,152
CRH PLC	199,857		8,325,888
DEPFA Bank PLC	41,600		744,083
Irish Life & Permanent PLC	35,300		973,889
Kingspan Group PLC	69,531		1,842,106

			14,827,118


Israel — 0.5%
Bank Hapoalim, Ltd.	119,700		563,712
Bank Leumi Le-Israel BM	49,800		202,744
Check Point Software Technologies, Ltd.*	100,000		2,192,000
Syneron Medical, Ltd.D*	9,900		268,587
Teva Pharmaceutical Industries, Ltd. ADR	150,300		4,671,324

			7,898,367


Italy — 2.4%
Banca Popolare di Milano	221,529	$	3,845,431
ENI SpA	152,691		5,135,723
FastWebD*	64,961		3,714,752
Intesa Sanpaolo SpAD	1,317,121		10,171,154
Mediaset SpA	167,700		1,990,130
SanPaolo IMI SpAD	19,900		462,332
UniCredito Italiano SpA	1,186,454		10,399,386

			35,718,908


Japan — 22.5%
Advantest Corporation	93,900		5,381,270
Aeon Co., Ltd.	78,700		1,702,891
Astellas Pharma, Inc.	152,900		6,950,876
Bank of Yokohama, Ltd.	19,000		148,800
Bridgestone Corporation	135,100		3,014,079
Canon, Inc.	302,350		17,022,352
Credit Saison Co., Ltd.	36,000		1,240,284
Daikin Industries, Ltd.	176,000		6,122,768
Daito Trust Construction Co., Ltd.	40,500		1,858,157
Daiwa House Industry Co., Ltd.	34,000		591,404
Denso Corporation	193,400		7,670,669
Eisai Co., Ltd.	140,100		7,699,290
Elpida Memory, Inc.D*	8,000		439,645
FamilyMart Co., Ltd.	68,000		1,851,351
Fanuc, Ltd.	123,600		12,172,531
Fast Retailing Co., Ltd.D	25,700		2,453,275
FUJIFILM Holdings Corporation	57,000		2,342,171
Funai Electric Co., Ltd.D	10,100		817,302
Hirose Electric Co., Ltd.D	41,000		4,654,510
Hitachi, Ltd.	267,000		1,664,754
Honda Motor Co., Ltd.	195,200		7,709,256
Hoya Corporation	22,000		857,779
Idemitsu Kosan Co., Ltd.	4,600		463,073
Inpex Holdings, Inc.	82		673,888
JSR CorporationD	75,700		1,959,212
Kao Corporation	330,000		8,901,307
KDDI Corporation	756		5,126,608
Keyence CorporationD	31,220		7,736,463
Kuraray Co., Ltd.	151,000		1,781,471
Marubeni Corporation	361,000		1,832,226
Matsushita Electric Industrial Co., Ltd.	107,000		2,135,414
Millea Holdings, Inc.	342,000		12,070,081
Mitsubishi Corporation	203,400		3,828,545
Mitsubishi Estate Co., Ltd.	583,100		15,091,366
Mitsubishi Heavy Industries, Ltd.	811,000		3,686,828
Mitsubishi UFJ Financial Group, Inc.	949		11,722,449
Mitsui & Co., Ltd.	35,000		523,507
Mitsui OSK Lines, Ltd.	63,000		621,503
Mizuho Financial Group, Inc.	353		2,521,323
Murata Manufacturing Co., Ltd.	7,200		487,038
NGK Spark Plug Co., Ltd.	22,000		414,100
Nikko Cordial Corporation	235,000		2,695,475
Nintendo Co., Ltd.	7,700		1,999,328
Nippon Electric Glass Co., Ltd.	57,000		1,197,429
Nippon Telegraph & Telephone Corporation	731		3,599,563
Nissan Motor Co., Ltd.	211,100		2,541,963
Nitto Denko Corporation	105,800		5,298,668
Nomura Holdings, Inc.	30,000		565,943
NTT Data Corporation	682		3,415,588


		See Notes to Financial Statements.		121


International Equity Fund
SCHEDULE OF INVESTMENTS (Continued)


	Shares	Value
NTT DoCoMo, Inc.	3,740	$	5,908,323
NTT Urban Development CorporationD	260		502,500
Odakyu Electric Railway Co., Ltd.D	93,000		594,706
OKUMA CorporationD	125,000		1,449,519
Onward Kashiyama Co., Ltd.	114,000		1,455,115
ORIX Corporation	44,540		12,893,601
Pioneer CorporationD	98,300		1,349,710
Ricoh Co., Ltd.	149,000		3,042,477
Rohm Co., Ltd.	65,400		6,512,247
Secom Co., Ltd.	105,000		5,443,889
Sekisui Chemical Co., Ltd.	257,000		2,049,435
Sharp Corporation	102,000		1,757,069
Shimamura Co., Ltd.D	37,400		4,296,105
Shin-Etsu Chemical Co., Ltd.	104,100		6,971,783
SMC Corporation	12,000		1,702,113
Softbank CorporationD	267,600		5,205,613
Sony CorporationD	120,000		5,142,641
Sumitomo Chemical Co., Ltd.	396,000		3,071,367
Sumitomo Corporation	143,000		2,140,103
Sumitomo Metal Industries, Ltd.	153,000		664,686
Sumitomo Mitsui Financial Group, Inc.	759		7,781,018
Sumitomo Realty & Development Co., Ltd.	43,000		1,380,278
Suzuki Motor Corporation	110,300		3,114,222
T&D Holdings, Inc.	52,300		3,458,687
Takeda Pharmaceutical Co., Ltd.	256,300		17,595,656
TIS, Inc.D	34,200		808,983
Tokyo Electric Power Company, Inc.	34,800		1,125,835
Tokyo Electron, Ltd.	24,000		1,891,685
Tokyo Gas Co., Ltd.	598,000		3,180,824
Tokyu CorporationD	432,000		2,766,136
Toshiba Corporation	346,000		2,253,267
Toyota Motor Corporation	185,600		12,414,403
Trend Micro, Inc.	34,000		997,101
Ushio, Inc.D	26,000		534,179
West Japan Railway Co.	413		1,766,455
Yahoo! Japan CorporationD	3,094		1,232,348
Yamada Denki Co., Ltd.	18,490		1,569,253
Yamato Holdings Co., Ltd.	76,500		1,176,379

			334,455,484


Luxembourg — 0.0%
SES Global Receipts	30,700		534,935


Malaysia — 0.2%
AirAsia BHD*	1,471,200		629,680
Bumiputra-Commerce Holdings BHD	851,300		1,870,061
IOI Corporation BHD	190,800		995,102
Transmile Group BHD	24,300		97,806

			3,592,649


Mexico — 0.8%
America Movil SA de CV ADR Series L	49,500		2,238,390
Cemex SA de CV	1,141,198		3,867,376
Consorcio ARA SA de CV	1,500		10,205
Corporacion Moctezuma SA de CV	177,000		491,530
Grupo Mexico SA de CV Series B	33,500		122,799
Grupo Televisa SA ADR	93,101		2,514,658
Urbi Desarrollos Urbanos SA*	108,400		391,336
Wal-Mart de Mexico SA de CV Series V	550,908		2,423,832

			12,060,126


Netherlands — 4.3%
ABN AMRO Holding NV	64,087		2,059,954
Aegon NV	58,533		1,115,724
Akzo Nobel NV	41,000		2,500,970
ING Groep NV	350,830		15,555,910
Koninklijke Numico NVD	130,765		7,034,089
Koninklijke Philips Electronics NV	43,700		1,648,088
Reed Elsevier NV	523,182		8,922,858
Royal Dutch Shell PLC Class A	500,270		17,645,323
Royal Dutch Shell PLC Class B	12,441		436,031
Royal KPN NV	124,400		1,768,580
TNT NV	64,000		2,752,452
Trader Media East, Ltd. GDRD*	30,400		304,000
Unilever NV	78,000		2,131,345

			63,875,324


New Zealand — 0.2%
Telecom Corporation of New Zealand, Ltd.D	955,696		3,272,402


Norway — 0.6%
DnB NOR ASA	48,400		686,971
Norsk Hydro ASAD	99,000		3,072,315
Norske Skogindustrier ASA	27,284		470,399
Telenor ASAD	230,806		4,340,198
Yara International ASA	28,000		636,547

			9,206,430


Peru — 0.1%
Compania de Minas
Buenaventura SA ADRD	4,800		134,688
Credicorp, Ltd.D	28,500		1,166,790

			1,301,478


Philippines — 0.2%
Globe Telecom, Inc.	35,800		901,386
SM Prime Holdings, Inc.	6,884,000		1,508,726

			2,410,112


Poland — 0.1%
Powszechna Kasa Oszczednosci Bank Polski SA	107,296		1,736,959


Portugal — 0.1%
Portugal Telecom SGPS SA	133,060		1,728,348


Russia — 1.2%
CTC Media, Inc.D*	8,000		192,080
Kalina ADR	2,300		118,450
LUKOIL ADRD	62,431		5,490,806
Mechel OAO ADR	8,200		208,936
Mining and Metallurgical Co. Norilsk Nickel ADRD	4,340		681,380
Mobile Telesystems ADRD	83,400		4,185,846
OAO Gazprom ADRD	75,889		3,490,894
Polyus Gold Co. ADR*	4,419		217,857
Severstal GDR*	13,200		147,840
TMK OAO GDRD*	3,300		108,240
Vimpel-Communications ADR*	11,600		915,820
Wimm-Bill-Dann Foods OJSC ADRD	4,000		266,200


122		See Notes to Financial Statements.


	Shares	Value
X 5 Retail Group NV GDR*	50,322	$	1,308,372

			17,332,721


Singapore — 1.1%
DBS Group Holdings, Ltd.	464,000		6,837,098
Oversea-Chinese Banking Corporation	570,800		2,865,630
Singapore Telecommunications, Ltd.	2,678,592		5,728,301
United Overseas Bank, Ltd.	54,000		683,032

			16,114,061


South Africa — 1.0%
ABSA Group, Ltd.	37,330		665,880
Alexander Forbes, Ltd.	375,700		835,692
AngloGold Ashanti, Ltd. ADRD	22,389		1,054,298
Aveng, Ltd.D	34,711		166,298
Barloworld, Ltd.D	13,319		311,456
FirstRand, Ltd.D	258,495		818,250
Gold Fields, Ltd.	42,836		810,819
Impala Platinum Holdings, Ltd.	11,551		303,053
MTN Group, Ltd.	93,069		1,131,969
Naspers, Ltd.	35,354		836,811
Pick’n Pay Stores, Ltd.D	72,990		344,486
Sasol, Ltd.	90,192		3,328,099
Standard Bank Group, Ltd.	307,912		4,148,959
Tiger Brands, Ltd.	17,930		437,177

			15,193,247


South Korea — 2.6%
Amorepacific Corporation*	608		377,423
Daelim Industrial Co., Ltd.	11,210		908,926
Hankook Tire Co., Ltd.	73,395		1,242,043
Hyundai Mobis	5,261		483,313
Hyundai Motor Co.	38,560		2,786,656
Kookmin Bank	46,591		3,746,010
Kookmin Bank ADR	27,154		2,189,699
Korea Electric Power Corporation	67,710		3,086,994
Lotte Shopping Co., Ltd.*	3,089		1,284,676
Lotte Shopping Co., Ltd. GDR 144AD*	5		104
NCSoft Corporation*	10,820		617,489
Pacific Corporation	371		67,817
Samsung Electronics Co., Ltd.	7,114		4,666,845
Samsung Electronics Co., Ltd. (Non-Voting Shares) GDR 144A	9,909		2,557,161
Samsung Electronics Co., Ltd. GDR 144AD	8,974		2,957,389
Samsung Fire & Marine Insurance Co., Ltd.	5,500		949,520
Samsung Securities Co., Ltd.	43,240		2,338,024
Shinhan Financial Group Co., Ltd.	23,820		1,216,613
Shinsegae Co., Ltd.	5,700		3,550,387
SK Telecom Co., Ltd.	6,000		1,434,431
S-Oil Corporation	14,850		1,090,136
STX Pan Ocean Co., Ltd.	601,000		403,606
Tae Young Corporation	9,700		780,260

			38,735,522


Spain — 3.3%
Banco Bilbao Vizcaya Argentaria SA	147,600		3,553,857
Banco Santander Central Hispano SA	632,835		11,812,140
Grupo Ferrovial SAD	6,900	$	673,559
Iberdrola SA	128,851		5,633,351
Inditex SAD	168,586		9,081,902
Repsol YPF SA	82,138		2,840,757
Telefonica SA	686,485		14,607,799

			48,203,365


Sri Lanka — 0.0%
Dialog Telekom, Ltd.	1,043,200		257,281


Sweden — 1.6%
Assa Abloy AB Class BD	167,526		3,646,152
Atlas Copco AB Class A	18,500		621,535
Hennes & Mauritz AB Class B	115,000		5,812,196
Nordea Bank AB	218,000		3,396,119
Scania AB Class B	8,400		590,188
Telefonaktiebolaget LM Ericsson Class B	2,219,500		8,964,304
TeliaSonera AB	69,900		574,336

			23,604,830


Switzerland — 3.9%
Adecco SAD	8,276		565,430
Compagnie Financiere Richemont AG Class A	74,974		4,368,612
Credit Suisse Group	26,475		1,852,272
Holcim, Ltd.	30,567		2,802,080
Nestle SA	36,161		12,849,990
Nobel Biocare Holding AG	8,257		2,441,185
Novartis AG	281,399		16,223,455
Petroplus Holdings AG*	5,176		314,341
Roche Holding AG	43,513		7,802,700
Swiss Reinsurance	43,552		3,702,903
Swisscom AG	3,312		1,253,722
Xstrata PLC	17,066		852,081
Zurich Financial Services AG	11,900		3,203,283

			58,232,054


Taiwan — 1.3%
Advanced Semiconductor Engineering, Inc.*	744,000		844,806
Advantech Co., Ltd.	149,473		536,699
AU Optronics Corporation	1,211,542		1,684,298
Basso Industry Corporation	44,548		59,265
Cathay Financial Holding Co., Ltd.	559,273		1,270,100
Chinatrust Financial Holding Co.	670,040		560,337
Faraday Technology Corporation	296,369		716,706
Foxconn Technology Co., Ltd.	47,255		566,306
High Tech Computer Corporation	179,200		3,547,153
Largan Precision Co., Ltd.	20,100		388,614
MediaTek, Inc.	121,000		1,251,404
Novatek Microelectronics Corp., Ltd.	88,000		398,343
Phoenixtec Power Co., Ltd.	405,605		446,869
Radiant Opto-Electronics Corporation	147,000		235,038
Taiwan Semiconductor Manufacturing Co., Ltd.	2,600,126		5,386,175
Taiwan Semiconductor Manufacturing Co., Ltd. ADRD	10,917		119,323


		See Notes to Financial Statements.		123


International Equity Fund
SCHEDULE OF INVESTMENTS (Continued)


	Shares	Value
Vanguard International Semiconductor Corporation	1,034,620	$	776,322

			18,787,758


Thailand — 0.1%
Airports of Thailand Public Co., Ltd.	579,200		955,803
Central Pattana PCL	126,100		80,391
PTT Public Co., Ltd.	195,600		1,158,702

			2,194,896


Turkey — 0.3%
Arcelik AS	36,947		217,950
Coca-Cola Icecek Uretim AS*	70,653		534,078
Ford Otomotiv Sanayi AS	14,432		116,231
Migros Turk TAS*	120,174		1,553,642
Türkiye Garanti Bankasi AS	64,801		214,249
Türkiye Is Bankasi	160,216		735,713
Yapi ve Kredi Bankasi*	390,358		678,404

			4,050,267


United Kingdom — 12.8%
Alliance Boots Group PLC	266,735		4,373,947
Anglo American PLCD	117,711		5,740,225
ARM Holdings PLCD	110,000		270,838
AstraZeneca PLCD	118,800		6,379,265
Aviva PLC	349,563		5,626,081
BAE Systems PLC	365,500		3,046,848
Barclays PLC	167,323		2,391,593
BG Group PLC	1,190,582		16,154,787
BHP Billiton PLCD	57,740		1,057,906
BP PLC	1,074,627		11,940,769
Capita Group PLC	165,595		1,968,088
Carnival PLC	49,844		2,525,724
Cattles PLC	237,000		2,038,303
Centrica PLC	409,500		2,842,358
Compass Group PLC	149,101		846,617
Daily Mail & General Trust	53,700		753,880
Emap PLC	98,000		1,549,449
GKN PLC	427,284		2,325,788
GlaxoSmithKline PLC	381,943		10,050,936
HBOS PLC	655,341		14,525,211
HSBC Holdings PLCD	235,956		4,320,603
Imperial Chemical Industries PLC	25,800		228,332
Johnston Press PLC	42,300		325,079
Kingfisher PLC	1,576,340		7,361,172
Lloyds TSB Group PLC	821,967		9,197,701
National Grid PLC	51,000		735,947
Northern Rock PLC	18,400		424,397
Prudential PLC	287,000		3,930,776
Reckitt Benckiser PLC	150,720		6,887,798
Reed Elsevier PLC	186,400		2,045,645
Rexam PLC	241,400		2,483,812
Rio Tinto PLC	112,700		5,997,663
Royal Bank of Scotland Group PLC	446,979		17,442,274
Scottish & Southern Energy PLC	57,700		1,755,640
Smiths Group PLC	123,451		2,396,603
Standard Chartered PLC	73,200		2,138,398
Tesco PLC	130,100		1,030,397
Travis Perkins PLC	56,100		2,179,281
Tullow Oil PLC	78,700		613,291
Unilever PLC	269,919		7,546,931
Vodafone Group PLC	2,857,005		7,915,459
Wm Morrison Supermarkets PLC	1,225,000		6,104,254
Yell Group PLC	65,700		733,245

			190,203,311


Total Foreign Common Stocks
(Cost $931,311,663)			1,422,132,092


FOREIGN PREFERRED STOCKS — 0.7%

Australia — 0.2%
Telstra Corporation, Ltd. Receipts	1,298,203		2,756,531


Brazil — 0.3%
Centrais Eletricas Brasileiras SA Class B	43,181,800		968,129
Companhia de Tecidos do Norte de Minas - Coteminas	2,595,260		303,681
Companhia Energetica de Minas Gerais	924,500		45,431
Companhia Vale do Rio Doce Class A	10,666		270,082
Eletropaulo Metropolitana de Sao Paulo SA Class B*	3,701,900		188,864
Investimentos Itau SA	540,807		2,764,153

			4,540,340


South Korea — 0.2%
Samsung Electronics Co., Ltd.	4,643		2,394,420


Total Foreign Preferred Stocks
(Cost $6,147,406)			9,691,291


MONEY MARKET FUNDS — 18.5%
GuideStone Funds Money Market Fund (GS4 Class)¥	52,688,175		52,688,175
Northern Institutional Liquid Assets Portfolio§	222,122,117		222,122,117


Total Money Market Funds
(Cost $274,810,292)			274,810,292


MUTUAL FUND — 0.0%
Macquarie IMM Global REITs Fund of Funds
(Cost $320,140)	20,400		688,368


TOTAL INVESTMENTS — 114.9%
(Cost $1,212,589,501)			1,707,322,043

Liabilities in Excess of Other Assets — (14.9)%			(220,806,329	)

NET ASSETS — 100.0%		$	1,486,515,714


124		See Notes to Financial Statements.

PORTFOLIO SUMMARY (based on net assets)


	%
Japan	22.5
Money Market Funds	18.5
United Kingdom	12.8
France	9.6
Germany	5.1
Hong Kong	4.5
Netherlands	4.3
Switzerland	3.9
Australia	3.5
Spain	3.3
South Korea	2.8
Italy	2.4
Canada	2.3
Sweden	1.6
Brazil	1.5
India	1.3
Taiwan	1.3
Belgium	1.2
Russia	1.2
Indonesia	1.1
Singapore	1.1
Ireland	1.0
South Africa	1.0
China	0.9
Finland	0.9
Denmark	0.8
Mexico	0.8
Norway	0.6
Israel	0.5
Egypt	0.4
Greece	0.3
Turkey	0.3
Chile	0.2
Hungary	0.2
Malaysia	0.2
New Zealand	0.2
Philippines	0.2
Austria	0.1
Colombia	0.1
Peru	0.1
Poland	0.1
Portugal	0.1
Thailand	0.1
Argentina	—	**
Bahrain	—	**
Estonia	—	**
Luxembourg	—	**
Mutual Fund	—	**
Sri Lanka	—	**
Forward Foreign Currency Contracts	(1.2	)

	113.7

**	Rounds to less than 0.005%.


		See Notes to Financial Statements.		125


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. As of December 31, 2006, the total market values and percentages of net assets for 144A securities by fund were as follows:


Fund	Value of 144A Securities		Percentage of Net Assets
Money Market	$	83,609,797	8.03	%
Low-Duration Bond		33,832,444	4.16
Medium-Duration Bond		63,776,322	5.14
Extended-Duration Bond		12,422,738	2.26
Global Bond		9,993,795	9.55
International Equity		8,286,949	0.56

INVESTMENT FOOTNOTES:


‡‡	—	All or a portion of the security was held as collateral for open futures, options, swap contracts and/or short sales.
@	—	Illiquid.
*	—	Non-income producing security.
#	—	Security in default. Income accrual halted.
+	—	Security is valued at fair value (2).
§	—	Security purchased with the cash collateral from securities loaned.
†	—	Variable rate security (1).
W	—	Interest rates shown reflect the effective yields as of December 31, 2006.
¥	—	Affiliated fund.
D	—	Security either partially or fully on loan.

(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.

(2)	Fair valued securities were held in the Value Equity Fund, Growth Equity Fund and Small Cap Equity Fund at an aggregate market value of $1,209, $0 and $0, respectively, which amounted to 0.00% of each of those funds.

FOREIGN BOND FOOTNOTES:


(A)	—	Par is denominated in Australian Dollars.
(B)	—	Par is denominated in Brazilian Reals.
(C)	—	Par is denominated in Canadian Dollars.
(D)	—	Par is denominated in Danish Krones.
(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.
(P)	—	Par is denominated in Argentinian Pesos.
(R)	—	Par is denominated in Russian Rubles.
(S)	—	Par is denominated in South African Rand.
(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)	—	Counter party to contract is Goldman Sachs Capital Markets, LP.
(b)	—	Counter party to contract is UBS AG.
(c)	—	Counter party to contract is Morgan Stanley Capital Services.
(d)	—	Counter party to contract is Barclays Capital.
(e)	—	Counter party to contract is Lehman Brothers Special Financing, Inc.
(f)	—	Counter party to contract is Citibank NA London.
(g)	—	Counter party to contract is JPMorgan Chase Bank.
(h)	—	Counter party to contract is Merrill Lynch Capital Services, Inc.
(i)	—	Counter party to contract is Deutsche Bank AG.
(j)	—	Counter party to contract is BNP Paribas.
(k)	—	Counter party to contract is Bank of America.
(l)	—	Counter party to contract is Credit HSBC Bank USA, N.A.
(m)	—	Counter party to contract is Royal Bank of Scotland.


126

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127


STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2006


	Money Market Fund			Low-Duration Bond Fund			Medium-Duration Bond Fund
Assets
Investments in securities of unaffiliated issuers, at value	$	1,039,319,532		$	895,963,002		$	1,720,628,716
Investments in securities of affiliated issuers, at value		—			34,658,661			104,258,409

Total investments (1)(2)		1,039,319,532			930,621,663			1,824,887,125
Cash		552			21,177,121			14,474,439
Cash collateral for futures		—			—			71,810
Foreign currency (3)		—			7,361,844			7,215,114
Receivables:
Dividends and reclaims		—			58,425			410,772
Interest		3,269,046			6,065,728			11,581,906
Interest on swaps		—			10,333			8,523
Investment securities sold		—			14,918,718			103,983,389
Maturities		—			738,245			21,207
Fund shares sold		3,104,157			12,911			707,054
Variation margin		—			76,052			44,140
Securities lending		—			2,679			17,005
Unrealized appreciation on foreign currency exchange contracts		—			421,708			393,718
Unrealized appreciation on swap agreements		—			202,659			319,542
Prepaid expenses and other assets		49,006			55,143			28,811

Total Assets		1,045,742,293			981,723,229			1,964,164,555


Liabilities
Cash overdraft		—			—			—
Securities sold short, at value (proceeds $ 53,316,215)		—			—			52,905,567
Options written at value (4)		—			775,199			1,041,709
Unrealized depreciation on foreign currency exchange contracts		—			726,364			797,621
Unrealized depreciation on swap agreements		—			782,953			1,863,504
Unrealized depreciation on forward volatility option		—			184,888			195,536
Collateral held for securities on loan at value		—			46,899,932			258,993,690
Payables:
Investment securities purchased		—			117,932,904			406,443,534
Fund shares redeemed		1,923,196			16,882			24,112
Interest on swaps		—			28,791			38,812
Variation margin		—			64,656			60,868
Distributions		2,009,225			—			—
Securities lending		—			803			5,101
Deferred foreign capital gains taxes		—			—			—
Accrued expenses
Advisory fees		187,014			239,787			367,583
Distribution (12b-1) fees		1,788			1,793			2,528
Shareholder servicing fees		154,239			118,687			184,092
Other expenses		84,379			99,470			165,441

Total Liabilities		4,359,841			167,873,109			723,089,698

Net Assets	$	1,041,382,452		$	813,850,120		$	1,241,074,857


Net Assets Consist of:
Paid-in-capital	$	1,041,391,616		$	837,213,530		$	1,245,214,652
Undistributed (distributions in excess of) net investment income		—			(383,132	)		(723,086	)
Undistributed(accumulated)netrealizedgain(loss)oninvestments,foreigncurrencytransactions and derivative transactions		(9,164	)		(19,581,361	)		(4,377,779	)
Net unrealized appreciation (depreciation) on investments, foreign currency translations and derivative transactions		—			(3,398,917	)		961,070

Net Assets	$	1,041,382,452		$	813,850,120		$	1,241,074,857


Net Asset Value:
$0.001 par value, unlimited shares authorized
Net assets applicable to the GS2 Class	$	100,558,804		$	105,990,861		$	113,050,905

GS2 shares outstanding		100,559,770			11,924,060			13,272,589

Net asset value, offering and redemption price per GS2 share	$	1.00		$	8.89		$	8.52


Net assets applicable to the GS4 Class	$	930,582,161		$	697,686,565		$	1,108,958,419

GS4 shares outstanding		930,553,795			55,219,405			82,642,856

Net asset value, offering and redemption price per GS4 share	$	1.00		$	12.63		$	13.42


Net assets applicable to the GS6 class	$	4,784,072		$	5,159,349		$	13,709,248

GS6 shares outstanding		4,786,107			577,895			1,596,781

Net asset value, offering and redemption price per GS6 share	$	1.00		$	8.93		$	8.59


Net assets applicable to the GS8 class	$	5,457,415		$	5,013,345		$	5,356,285

GS8 shares outstanding		5,457,438			561,274			623,544

Net asset value, offering and redemption price per GS8 share	$	1.00		$	8.93		$	8.59


(1) Investments in securities of unaffiliated issuers, at cost	$	1,039,319,532		$	898,735,624		$	1,718,166,294
Investments in securities of affiliated issuers, at cost		—			34,658,661			104,258,409

Total investments at cost	$	1,039,319,532		$	933,394,285		$	1,822,424,703

(2) Includes securities loaned of:	$	—		$	45,386,451		$	251,271,309

(3) Foreign currency at cost	$	—		$	7,278,653		$	7,147,582

(4) Premiums received on options written	$	—		$	(817,243	)	$	(1,044,466	)

(5) Net of ($ 86,618) accrued foreign capital gains taxes on appreciated securities


128		See Notes to Financial Statements.


Extended-Duration Bond Fund		Global Bond Fund			Equity Index Fund			Real Estate Securities Fund			Value Equity Fund			Growth Equity Fund			Small Cap Equity Fund		International Equity Fund
$	808,910,093	$	98,116,270		$	578,647,885		$	101,394,468		$	1,695,335,553		$	1,601,104,930		$	832,431,801	$	1,654,633,868
	14,475,319		19,032,626			16,644,946			5,673,643			68,576,737			58,839,845			22,605,076		52,688,175

	823,385,412		117,148,896			595,292,831			107,068,111			1,763,912,290			1,659,944,775			855,036,877		1,707,322,043
	314,810		2,718,843			12,061			—			129,687			50,156			1,585,052		27,407
	—		—			—			—			—			—			—		—
	258,921		1,459,980			—			—			—			—			—		1,225,175
	145,318		99,367			740,881			555,005			1,906,547			1,252,833			435,134		1,613,788
	6,323,028		1,189,996			—			—			—			—			49		—
	—		—			—			—			—			—			—		—
	—		4,135,524			80,758			153,203			771,925			—			1,855,310		1,029,383
	—		—			—			—			—			—			—		—
	80,017		10			117,164			175,909			189,060			397			280		129,308
	—		—			—			11,071			—			—			—		—
	66,234		—			2,063			—			7,240			22,541			106,740		35,702
	—		228,058			—			—			—			—			—		44,855
	—		—			—			—			—			—			—		—
	24,204		—			32,986			—			34,342			30,640			29,812		41,031

	830,597,944		126,980,674			596,278,744			107,963,299			1,766,951,091			1,661,301,342			859,049,254		1,711,468,692


	—		—			—			573,447			—			—			—		—
	—		—			—			—			—			—			—		—
	—		—			—			—			—			—			—		—
	—		182,562			—			—			—			—			—		640,222
	—		—			—			—			—			—			—		—
	—		—			—			—			—			—			—		—
	278,446,396		—			34,402,994			—			122,875,591			118,791,161			277,398,014		222,122,117
	2,699,961		22,104,286			—			211,530			1,080,409			—			3,683,068		418,926
	—		—			60,257			25,190			161,750			475,398			221,221		60,576
	—		—			—			—			—			—			—		—
	—		—			44,550			—			221,829			180,900			151,280		—
	—		—			—			—			—			—			—		—
	19,868		—			618			—			2,172			6,762			31,984		10,710
	—		—			—			—			—			—			—		86,618
	204,954		31,771			60,051			97,627			884,963			1,032,639			452,935		976,755
	2,750		—			2,778			—			3,155			2,471			3,068		3,894
	79,933		1,633			80,523			1,668			233,940			222,965			85,073		206,984
	73,428		25,120			81,897			18,387			131,494			108,433			96,899		426,176

	281,527,290		22,345,372			34,733,668			927,849			125,595,303			120,820,729			282,123,542		224,952,978

$	549,070,654	$	104,635,302		$	561,545,076		$	107,035,450		$	1,641,355,788		$	1,540,480,613		$	576,925,712	$	1,486,515,714


$	530,662,729	$	104,105,993		$	421,842,050		$	93,354,265		$	1,321,958,298		$	1,420,134,514		$	495,428,943	$	984,737,388
	169,393		(14,870	)		39,815			—			81,956			—			—		(11,284,687	)
	3,732,617		—			(3,740,416	)		(32,730	)		(4,365,207	)		(166,391,507	)		10,049,445		18,978,789
	14,505,915		544,179			143,403,627			13,713,915			323,680,741			286,737,606			71,447,324		494,084,224	(5)

$	549,070,654	$	104,635,302		$	561,545,076		$	107,035,450		$	1,641,355,788		$	1,540,480,613		$	576,925,712	$	1,486,515,714


$	59,916,330		N/A		$	74,633,773			N/A		$	181,940,335		$	179,852,399		$	66,695,144	$	199,988,929

	7,368,892		N/A			6,735,268			N/A			17,127,987			16,012,660			5,884,781		12,655,071

$	8.13		N/A		$	11.08			N/A		$	10.62		$	11.23		$	11.33	$	15.80

$	467,877,306	$	104,635,302		$	466,428,940		$	107,035,450		$	1,434,773,409		$	1,343,146,544		$	486,357,608	$	1,254,839,470

	31,592,923		10,342,731			24,332,581			8,527,025			76,940,947			75,569,991			30,397,195		65,728,004

$	14.81	$	10.12		$	19.17		$	12.55		$	18.65		$	17.77		$	16.00	$	19.09


$	15,729,722		N/A		$	14,232,855			N/A		$	17,797,947		$	11,706,095		$	17,482,887	$	23,876,609

	1,935,620		N/A			1,276,979			N/A			1,687,181			1,065,537			1,589,098		1,531,562

$	8.13		N/A		$	11.15			N/A		$	10.55		$	10.99		$	11.00	$	15.59


$	5,547,296		N/A		$	6,249,508			N/A		$	6,844,097		$	5,775,575		$	6,390,073	$	7,810,706

	682,954		N/A			560,516			N/A			649,847			529,416			586,092		502,097

$	8.12		N/A		$	11.15			N/A		$	10.53		$	10.91		$	10.90	$	15.56


$	794,412,251	$	97,634,411		$	435,267,089		$	87,691,624		$	1,371,865,988		$	1,314,548,300		$	760,818,064	$	1,159,901,326
	14,475,319		19,032,626			16,644,946			5,673,643			68,576,737			58,839,845			22,605,076		52,688,175

$	808,887,570	$	116,667,037		$	451,912,035		$	93,365,267		$	1,440,442,725		$	1,373,388,145		$	783,423,140	$	1,212,589,501

$	269,896,989	$	—		$	33,463,028		$	—		$	119,113,966		$	115,242,962		$	268,174,101	$	212,023,705

$	257,648	$	1,458,279		$	—		$	—		$	—		$	—		$	—	$	1,218,940

$	—	$	—		$	—		$	—		$	—		$	—		$	—	$	—


		See Notes to Financial Statements.		129


STATEMENTS OF OPERATIONS
For the Year Ended December 31, 2006


	Money Market Fund			Low-Duration Bond Fund			Medium-Duration Bond Fund
Investment Income
Dividends	$	—		$	—		$	122,631
Income dividends received from affiliated funds		—			1,361,688			2,752,563
Interest		46,093,067			41,472,905			54,745,627
Securities Lending		—			39,498			163,985
Less foreign taxes withheld		—			(56,268	)		—

Total Investment Income		46,093,067			42,817,823			57,784,806


Expenses
Investment advisory fees		1,854,864			3,771,293			4,892,808
Transfer agent fees:
GS2 shares		4,116			3,778			3,851
GS4 shares		43,212			29,227			32,314
GS6 shares		7,739			7,795			7,771
GS8 shares		7,973			7,859			7,857
Custodian fees		25,022			109,469			183,630
Distribution (12b-1) fees:
GS6 shares		4,675			11,057			13,323
GS8 shares		15,841			15,290			15,535
Shareholder servicing fees:
GS4 shares		1,520,452			1,537,798			1,932,595
GS6 shares		14,017			33,152			39,947
GS8 shares		21,116			20,377			20,701
Accounting and administration fees		346,855			412,665			537,127
Professional fees		69,029			73,243			79,366
Blue sky fees:
GS2 shares		1,567			1,567			1,567
GS4 shares		8,489			8,835			8,392
GS6 shares		12,509			12,521			12,596
GS8 shares		5,198			5,528			5,132
Shareholder reporting fees:
GS2 shares		210			259			234
GS4 shares		17,318			4,439			7,938
GS6 shares		25			25			16
GS8 shares		102			72			85
Trustee fees		7,387			7,293			8,599
Line of credit facility fees		4,609			4,156			5,086
Other expenses		32,026			42,617			69,539

Total expenses		4,024,351			6,120,315			7,886,009
Expenses waived/reimbursed net of amount recaptured (See Footnote 3a and 3c)		(12,676	)		(523,156	)		(839,380	)
Fees paid indirectly		(12,291	)		(659,367	)		(428,505	)

Net expenses		3,999,384			4,937,792			6,618,124

Net Investment Income (Loss)		42,093,683			37,880,031			51,166,682


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investment securities (net of capital gains taxes of $60,815 for International Equity)*		(790	)		(4,506,522	)		3,107,918
Futures transactions		—			(2,332,606	)		(1,445,705	)
Swap agreements		—			(389,626	)		(102,790	)
Option contracts written		—			365,781			903,213
Option contracts purchased		—			(400,090	)		(338,363	)
Foreign currency transactions		—			(390,765	)		(2,247,455	)

Net realized gain (loss)		(790	)		(7,653,828	)		(123,182	)

Net change in unrealized appreciation (depreciation) on:
Investment securities (net of estimated deferred capital gains taxes of $42,710 for International Equity)		—			6,492,455			(621,166	)
Futures		—			348,841			(103,083	)
Swap agreements		—			(419,610	)		(653,517	)
Option contracts written		—			(91,479	)		(794,792	)
Option contracts purchased		—			(694,299	)		(471,961	)
Foreign currency translations		—			(69,894	)		384,147

Net change in unrealized appreciation (depreciation)		—			5,566,014			(2,260,372	)

Net Realized and Unrealized Gain (Loss)		(790	)		(2,087,814	)		(2,383,554	)

Net Increase in Net Assets Resulting from Operations	$	42,092,893		$	35,792,217		$	48,783,128

*	Net increase from payments by affiliates and net gains (losses) realized on the disposal of investments in violation of restrictions (See Footnote 11)


130		See Notes to Financial Statements.


Extended-Duration Bond Fund		Global Bond Fund			Equity Index Fund			Real Estate Securities Fund			Value Equity Fund			Growth Equity Fund			Small Cap Equity Fund			International Equity Fund
$	49,640	$	—		$	9,482,209		$	—		$	33,639,994		$	10,074,437		$	3,929,071		$	36,239,799
	428,147		7,510			572,200			1,402			2,726,326			2,937,710			1,104,178			2,127,414
	24,725,341		38,548			34,711			89			204,237			192,641			71,659			19,102
	303,217		—			31,425			—			114,539			175,681			583,381			302,245
	—		—			—			—			(72,779	)		(98,135	)		(6,751	)		(2,573,385	)

	25,506,345		46,058			10,120,545			1,491			36,612,317			13,282,334			5,681,538			36,115,175


	2,268,782		3,523			807,083			7,956			10,139,762			12,811,127			5,581,398			13,393,914
	3,621		—			3,512			—			3,669			3,675			3,529			3,668
	31,769		63			33,507			59			40,563			35,812			40,611			44,321
	7,659		—			7,704			—			7,777			7,794			7,655			7,759
	7,812		—			7,789			—			7,861			7,842			7,797			7,836
	38,077		255			31,191			78			92,960			82,771			109,815			1,200,002
	15,065		—			12,724			—			16,089			11,162			16,511			21,072
	15,956		—			17,194			—			18,113			16,753			18,128			20,711
	737,627		1,633			811,706			1,668			2,530,702			2,505,723			917,379			2,258,263
	45,163		—			38,153			—			48,236			33,484			49,515			63,183
	21,261		—			22,915			—			24,134			22,337			24,164			27,599
	199,246		671			218,411			289			604,835			586,025			246,078			712,221
	71,612		6,500			67,733			6,500			67,733			67,733			70,836			73,938
	1,567		—			1,567			—			1,568			1,567			1,567			1,567
	10,270		—			7,689			—			8,400			8,787			10,074			9,220
	10,924		—			12,643			—			11,851			12,542			12,496			12,496
	5,514		—			4,455			—			5,741			5,728			6,841			5,945
	129		—			81			—			309			76			10			180
	8,433		7			10,626			73			29,294			12,830			19,985			21,517
	31		—			31			—			26			18			31			31
	54		—			51			—			157			68			41			65
	3,529		—			4,140			—			11,926			11,416			4,141			10,782
	2,075		—			2,421			—			7,010			6,730			2,467			6,323
	29,815		—			39,663			—			48,459			39,953			29,634			91,394

	3,535,991		12,652			2,162,989			16,623			13,727,175			16,291,953			7,180,703			17,994,007
	(135,208)		(3,712	)		(169,692	)		(4,947	)		(250,052	)		(1,208,620	)		(274,430	)		(2,092,511	)
	(7,632)		—			(2,534	)		—			(120,248	)		(98,748	)		(74,073	)		(170,457	)

	3,393,151		8,940			1,990,763			11,676			13,356,875			14,984,585			6,832,200			15,731,039

	22,113,194		37,118			8,129,782			(10,185	)		23,255,442			(1,702,251	)		(1,150,662	)		20,384,136


	6,223,097		231			1,983,624			(1,683	)		143,655,573			69,537,386			53,660,487			157,759,817
	—		—			762,583			(31,047	)		3,702,149			4,801,800			1,150,195			—
	—		—			—			—			—			—			—			—
	—		—			—			—			—			—			—			—
	—		—			—			—			—			—			—			(933,648	)
	777,263		(14,870	)		—			—			—			—			—			(1,374,184	)

	7,000,360		(14,639	)		2,746,207			(32,730	)		147,357,722			74,339,186			54,810,682			155,451,985

	(10,280,600)		59,171			62,567,678			457,924			89,937,731			(67,449,676	)		6,616,821			122,043,402
	—		—			101,698			(10,366	)		899,618			558,123			38,622			—
	—		—			—			—			—			—			—			—
	—		—			—			—			—			—			—			—
	—		(18,824	)		—			—			—			—			—			190,840
	12,993		(13,725	)		—			—			—			—			—			(1,003,391	)

	(10,267,607)		26,622			62,669,376			447,558			90,837,349			(66,891,553	)		6,655,443			121,230,851

	(3,267,247)		11,983			65,415,583			414,828			238,195,071			7,447,633			61,466,125			276,682,836

$	18,845,947	$	49,101		$	73,545,365		$	404,643		$	261,450,513		$	5,745,382		$	60,315,463		$	297,066,972


		See Notes to Financial Statements.		131


STATEMENTS OF CHANGES IN NET ASSETS


	Money Market Fund
	For the Year Ended
	12/31/06			12/31/05
Operations:
Net investment income	$	42,093,683		$	25,691,987
Net realized gain (loss) on investment securities, foreign currency transactions and futures transactions**		(790	)		(5,430	)
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations, and futures contracts		—			—

Net increase in net assets resulting from operations		42,092,893			25,686,557


Dividends and Distributions to Shareholders:
Dividends from net investment income
GS2 shares		(4,561,908	)		(2,748,269	)
GS4 shares		(37,128,467	)		(22,725,193	)
GS6 shares		(196,811	)		(111,774	)
GS8 shares		(206,497	)		(107,373	)
Distributions from net realized capital gains
GS2 shares		—			—
GS4 shares		—			—
GS6 shares		—			—
GS8 shares		—			—
Return of Capital
GS4 shares		—			—

Total dividends and distributions		(42,093,683	)		(25,692,609	)


Capital Share Transactions:
Proceeds from shares sold
GS2 shares		79,181,546			97,579,053
GS4 shares		2,625,551,003			2,495,446,536
GS6 shares		3			43,984
GS8 shares		183,052			54,568
Reinvestment of dividends and distributions
GS2 shares		4,122,997			2,495,133
GS4 shares		20,032,228			11,467,878
GS6 shares		196,806			111,760
GS8 shares		206,490			107,373

Total proceeds from shares sold and reinvested		2,729,474,125			2,607,306,285

Value of shares redeemed
GS2 shares		(75,848,387	)		(68,344,589	)
GS4 shares		(2,481,322,504	)		(2,578,673,372	)
GS6 shares		—			(44,371	)
GS8 shares		(77,413	)		(23,730	)

Total value of shares redeemed		(2,557,248,304	)		(2,647,086,062	)

Net increase (decrease) from capital share transactions (See Footnote 7)		172,225,821			(39,779,777	)

Total increase (decrease) in net assets		172,225,031			(39,785,829	)


Net Assets:
Beginning of Period		869,157,421			908,943,250

End of Period*	$	1,041,382,452		$	869,157,421

	$	—		$	—

*	Including undistributed (distributions in excess of) net investment income

**	Net increase from payments by affiliates and net gains (losses) realized on the disposal of investments in violation of restrictions (See Footnote 11)


132		See Notes to Financial Statements.


Low-Duration Bond Fund					Medium-Duration Bond Fund						Extended-Duration Bond Fund						Global Bond Fund
For the Year Ended					For the Year Ended						For the Year Ended						For the Period
12/31/06		12/31/05			12/31/06			12/31/05			12/31/06			12/31/05			12/29/06 — 12/31/06
$	37,880,031	$	27,489,857		$	51,166,682		$	37,575,293		$	22,113,194		$	22,113,407		$	37,118
	(7,653,828)		(10,659,334	)		(123,182	)		(1,097,926	)		7,000,360			5,519,087			(14,639	)
	5,566,014		(4,406,789	)		(2,260,372	)		(11,782,137	)		(10,267,607	)		(1,883,245	)		26,622

	35,792,217		12,423,734			48,783,128			24,695,230			18,845,947			25,749,249			49,101


	(6,176,871)		(4,479,831	)		(7,048,220	)		(5,612,463	)		(4,592,657	)		(4,268,161	)		—
	(31,326,942)		(22,992,157	)		(42,144,853	)		(34,648,385	)		(16,960,882	)		(17,074,698	)		(37,349	)
	(537,130)		(466,469	)		(799,560	)		(721,610	)		(1,130,524	)		(1,179,267	)		—
	(248,064)		(177,594	)		(295,361	)		(253,597	)		(377,081	)		(357,326	)		—
	—		(1,147	)		—			(645,746	)		(218,937	)		(1,712,320	)		—
	—		(6,206	)		—			(4,143,819	)		(916,112	)		(6,850,285	)		—
	—		(124	)		—			(84,242	)		(57,846	)		(452,529	)		—
	—		(55	)		—			(32,762	)		(20,424	)		(160,140	)		—
	—		—			—			—			—			—			(5,039	)

	(38,289,007)		(28,123,583	)		(50,287,994	)		(46,142,624	)		(24,274,463	)		(32,054,726	)		(42,388	)


	11,679,234		48,785,555			14,336,480			49,692,680			7,532,886			29,365,042			—
	95,576,676		106,691,749			167,068,043			194,463,337			124,460,706			83,231,124			10
	10,173,105		474,994			8,912			565,914			—			915,722			—
	10,036,153		1,242			49,857			642			16,629			597			—

	6,065,107		4,405,558			6,832,970			6,068,879			4,709,175			5,855,155			—
	31,324,774		22,996,558			42,143,289			38,787,840			17,893,535			24,555,600			42,388
	537,130		466,593			799,560			805,854			1,189,044			1,631,795			—
	248,064		177,649			295,361			286,358			397,744			517,466			—

	165,640,243		183,999,898			231,534,472			290,671,504			156,199,719			146,072,501			42,398


	(14,483,247)		(5,405,010	)		(6,603,831	)		(4,002,381	)		(7,599,575	)		(7,220,381	)		—
	(217,968,892)		(118,147,765	)		(83,398,997	)		(87,788,179	)		(65,754,001	)		(111,075,009	)		—
	(16,799,428)		(5,304,186	)		(5,173	)		(4,180,127	)		—			(10,716,919	)		—
	(10,218,770)		(57	)		(8,533	)		—			(7,795	)		—			—
	(259,470,337)		(128,857,018	)		(90,016,534	)		(95,970,687	)		(73,361,371	)		(129,012,309	)		—
	(93,830,094)		55,142,880			141,517,938			194,700,817			82,838,348			17,060,192			42,398
	(96,326,884)		39,443,031			140,013,072			173,253,423			77,409,832			10,754,715			49,111


	910,177,004		870,733,973			1,101,061,785			927,808,362			471,660,822			460,906,107			104,586,191

$	813,850,120	$	910,177,004		$	1,241,074,857		$	1,101,061,785		$	549,070,654		$	471,660,822		$	104,635,302

$	(383,132)	$	92,980		$	(723,086	)	$	(312,037	)	$	169,393		$	147,830		$	(14,870	)


		See Notes to Financial Statements.		133


STATEMENTS OF CHANGES IN NET ASSETS


	Equity Index Fund						Real Estate Securities Fund
	For the Year Ended						For the Period
	12/31/06			12/31/05			12/29/06 — 12/31/06
Operations:
Net investment income (loss)	$	8,129,782		$	6,839,477		$	(10,185	)
Net realized gain (loss) on investment securities, foreign currency transactions and futures transactions		2,746,207			5,134,962			(32,730	)
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations, and futures contracts		62,669,376			9,385,998			447,558

Net increase in net assets resulting from operations		73,545,365			21,360,437			404,643


Dividends and Distributions to Shareholders:
Dividends from net investment income
GS2 shares		(1,811,027	)		(1,447,323	)		—
GS4 shares		(5,917,983	)		(5,001,471	)		—
GS6 shares		(294,832	)		(247,026	)		—
GS8 shares		(113,746	)		(93,751	)		—
Distributions from net realized capital gains
GS2 shares		(754,969	)		(264,015	)		—
GS4 shares		(2,752,967	)		(1,007,668	)		—
GS6 shares		(143,616	)		(50,704	)		—
GS8 shares		(63,092	)		(22,896	)		—

Total dividends and distributions		(11,852,232	)		(8,134,854	)		—


Capital Share Transactions:
Proceeds from shares sold
GS2 shares		7,932,747			28,530,125			—
GS4 shares		44,732,850			42,657,409			175,910
GS6 shares		520,858			—			—
GS8 shares		52,202			1,205			—
Reinvestment of dividends and distributions
GS2 shares		2,548,084			1,693,048			—
GS4 shares		8,670,638			6,008,602			—
GS6 shares		438,448			297,730			—
GS8 shares		176,838			116,700			—

Total proceeds from shares sold and reinvested		65,072,665			79,304,819			175,910

Value of shares redeemed
GS2 shares		(5,326,752	)		(5,429,955	)		—
GS4 shares		(42,290,763	)		(75,399,007	)		(25,189	)
GS6 shares		(105,112	)		—			—
GS8 shares		(16,915	)		—			—

Total value of shares redeemed		(47,739,542	)		(80,828,962	)		(25,189	)

Net increase (decrease) from capital share transactions (See Footnote 7)		17,333,123			(1,524,143	)		150,721

Total increase (decrease) in net assets		79,026,256			11,701,440			555,364


Net Assets:
Beginning of Period		482,518,820			470,817,380			106,480,086

End of Period*	$	561,545,076		$	482,518,820		$	107,035,450

	$	39,815		$	49,002		$	—

*	Including undistributed (distributions in excess of) net investment income


134		See Notes to Financial Statements.


Value Equity Fund					Growth Equity Fund						Small Cap Equity Fund						International Equity Fund
For the Year Ended					For the Year Ended						For the Year Ended						For the Year Ended
12/31/06		12/31/05			12/31/06			12/31/05			12/31/06			12/31/05			12/31/06			12/31/05
$	23,255,442	$	21,726,574		$	(1,702,251	)	$	(3,158,666	)	$	(1,150,662	)	$	(997,229	)	$	20,384,136		$	17,340,082
	147,357,722		103,688,872			74,339,186			65,893,593			54,810,682			58,732,966			155,451,985			93,816,550
	90,837,349		(27,125,867	)		(66,891,553	)		60,393,513			6,655,443			(23,098,045	)		121,230,851			88,506,831

	261,450,513		98,289,579			5,745,382			123,128,440			60,315,463			34,637,692			297,066,972			199,663,463


	(4,415,960)		(3,776,410	)		—			—			—			—			(4,337,809	)		(3,522,540	)
	(18,405,273)		(17,465,290	)		—			—			—			—			(20,582,825	)		(17,131,295	)
	(348,342)		(286,556	)		—			—			—			—			(419,099	)		(298,613	)
	(111,201)		(91,028	)		—			—			—			—			(114,866	)		(80,453	)

	(26,469,711)		(16,300,818	)		—			—			(7,266,322	)		(9,061,949	)		(22,414,884	)		(2,372,854	)
	(127,117,029)		(85,737,706	)		—			—			(38,915,250	)		(51,308,587	)		(119,856,372	)		(12,803,717	)
	(2,615,565)		(1,574,230	)		—			—			(1,946,822	)		(2,313,815	)		(2,709,902	)		(260,237	)
	(992,929)		(589,222	)		—			—			(718,391	)		(848,678	)		(889,165	)		(85,266	)

	(180,476,010)		(125,821,260	)		—			—			(48,846,785	)		(63,533,029	)		(171,324,922	)		(36,554,975	)


	11,350,209		82,260,741			18,448,736			87,716,607			8,276,686			36,479,492			16,785,257			77,135,236
	55,916,491		69,243,699			73,453,988			56,539,195			60,055,857			92,602,096			100,447,788			92,232,819
	79,937		659,974			375,355			325,805			213,366			414,999			330,919			1,580,532
	269,845		3,181			97,250			1,057			127,287			5,651			159,389			5,310

	30,795,143		19,689,834			—			—			7,266,323			8,955,618			26,683,375			5,807,372
	145,514,189		103,197,880			—			—			38,912,441			51,300,141			140,427,878			29,934,318
	2,963,907		1,860,786			—			—			1,946,822			2,313,815			3,129,000			558,850
	1,104,130		680,250			—			—			718,391			848,679			1,004,032			165,719

	247,993,851		277,596,345			92,375,329			144,582,664			117,517,173			192,920,491			288,967,638			207,420,156


	(14,490,017)		(12,032,159	)		(11,648,012	)		(14,078,107	)		(10,679,211	)		(7,311,452	)		(33,456,390	)		(14,569,008	)
	(129,899,750)		(180,802,337	)		(97,743,433	)		(207,536,437	)		(87,995,931	)		(91,442,536	)		(217,111,405	)		(213,587,734	)
	(15,502)		(4,427,418	)		(68,887	)		(3,275,639	)		(197	)		(3,287,987	)		(20,378	)		(4,705,492	)
	(33,300)		(4	)		(10,826	)		—			(30,749	)		(3	)		(24,684	)		(1	)

	(144,438,569)		(197,261,918	)		(109,471,158	)		(224,890,183	)		(98,706,088	)		(102,041,978	)		(250,612,857	)		(232,862,235	)


	103,555,282		80,334,427			(17,095,829	)		(80,307,519	)		18,811,085			90,878,513			38,354,781			(25,442,079	)

	184,529,785		52,802,746			(11,350,447	)		42,820,921			30,279,763			61,983,176			164,096,831			137,666,409


	1,456,826,003		1,404,023,257			1,551,831,060			1,509,010,139			546,645,949			484,662,773			1,322,418,883			1,184,752,474

$	1,641,355,788	$	1,456,826,003		$	1,540,480,613		$	1,551,831,060		$	576,925,712		$	546,645,949		$	1,486,515,714		$	1,322,418,883


$	81,956	$	107,290		$	—		$	—		$	—		$	—		$	(11,284,687	)	$	(7,227,733	)


		See Notes to Financial Statements.		135

FINANCIAL HIGHLIGHTS


*For a Share Outstanding Throughout the Years Ending 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	$	1.00	$	0.05		$	—	†	$	(0.05	)	$	—		$	1.00	4.92	%	$	100,559	0.26	%	0.26	%	0.26	%	4.82	%	4.82	%	N/A
2005		1.00		0.03	††		—	†		(0.03	)††		—			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(3)		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	$	1.00	$	0.05		$	—	†	$	(0.05	)	$	—		$	1.00	4.72	%	$	930,582	0.46	%	0.46	%	0.46	%	4.64	%	4.64	%	N/A
2005		1.00		0.03	††		—	†		(0.03	)††		—			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(3)		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	$	1.00	$	0.04		$	—	†	$	(0.04	)	$	—		$	1.00	4.29	%	$	4,784	0.87	%	0.87	%	1.09	%	4.21	%	3.99	%	N/A
2005		1.00		0.02	††		—	†		(0.02	)††		—			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(3)		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	$	1.00	$	0.04		$	—	†	$	(0.04	)	$	—		$	1.00	3.98	%	$	5,457	1.17	%	1.17	%	1.21	%	3.91	%	3.87	%	N/A
2005		1.00		0.02	††		—	†		(0.02	)††		—			1.00	2.15			5,145	1.17		1.17		1.25		2.13		2.05		N/A
2004(4)		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	$	9.06	$	0.38	#	$	(0.03	)	$	(0.52	)	$	—		$	8.89	3.94	%	$	105,991	0.45	%	0.45	%	0.47	%	4.22	%	4.20	%	168	%
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(3)		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	$	12.66	$	0.58	#	$	(0.11	)	$	(0.50	)	$	—		$	12.63	3.75	%	$	697,687	0.61	%	0.61	%	0.66	%	4.05	%	4.00	%	168	%
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(3)		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	$	9.09	$	0.60	#	$	(0.30	)	$	(0.46	)	$	—		$	8.93	3.43	%	$	5,159	1.00	%	1.00	%	1.05	%	3.63	%	3.58	%	168	%
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(3)		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	$	9.10	$	0.31	#	$	(0.04	)	$	(0.44	)	$	—		$	8.93	3.04	%	$	5,013	1.30	%	1.30	%	1.43	%	3.37	%	3.24	%	168	%
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(4)		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.

††	Amount has been restated. See Footnote 12 in Notes to Financial Statements.

#	Calculated using the average shares outstanding method.

*	Net increase from payments by affiliates and net gains (losses) realized on the disposal of investments in violation of restrictions. As a result, there was no effect to realized and unrealized gain (loss) on investments per share or total return. (See Footnote 11)

(1)	Annualized.

(2)	Not annualized.

(3)	Inception date was August 27, 2001.

(4)	Inception date was November 8, 2004.

(5)	Inception date was December 29, 2006.


136		See Notes to Financial Statements.


																								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			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 Income/ (Loss), Excluding Waivers and Expense Reduction		Portfolio Turnover Rate (2)
Medium-Duration Bond Fund
GS2 Class
2006	$	8.71	$	0.39	#	$	(0.01	)	$	(0.57	)	$	—		$	—		$	8.52	4.50	%	$	113,051	0.50	%	0.50	%	0.50	%	4.60	%	4.60	%	440	%
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(3)		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	$	13.40	$	0.60	#	$	(0.03	)	$	(0.55	)	$	—		$	—		$	13.42	4.37	%	$	1,108,958	0.62	%	0.62	%	0.69	%	4.48	%	4.41	%	440	%
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(3)		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	$	8.78	$	0.35	#	$	(0.02	)	$	(0.52	)	$	—		$	—		$	8.59	3.89	%	$	13,709	1.05	%	1.05	%	1.05	%	4.05	%	4.05	%	440	%
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(3)		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	$	8.78	$	0.32	#	$	(0.02	)	$	(0.49	)	$	—		$	—		$	8.59	3.58	%	$	5,356	1.35	%	1.35	%	1.45	%	3.75	%	3.65	%	440	%
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(4)		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	$	8.44	$	0.40	#	$	(0.03	)*	$	(0.65	)	$	(0.03	)	$	—		$	8.13	4.75	%	$	59,916	0.57	%	0.57	%	0.57	%	4.91	%	4.91	%	100	%
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(3)		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	$	14.82	$	0.69	#	$	(0.04	)*	$	(0.63	)	$	(0.03	)	$	—		$	14.81	4.56	%	$	467,877	0.73	%	0.73	%	0.76	%	4.75	%	4.72	%	100	%
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(3)		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	$	8.44	$	0.36	#	$	(0.03	)*	$	(0.61	)	$	(0.03	)	$	—		$	8.13	4.09	%	$	15,730	1.08	%	1.08	%	1.08	%	4.39	%	4.39	%	100	%
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(3)		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	$	8.44	$	0.32	#	$	(0.03	)*	$	(0.58	)	$	(0.03	)	$	—		$	8.12	3.79	%	$	5,547	1.50	%	1.50	%	1.51	%	3.97	%	3.96	%	100	%
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(4)		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

Global Bond Fund
GS4 Class
2006(5)	$	10.12	$	—	†	$	—	†	$	—	†	$	—		$	—	†	$	10.12	0.04	%	$	104,635	1.04	%	1.04	%	1.42	%	4.32	%	3.94	%	0	%


		See Notes to Financial Statements.		137

FINANCIAL HIGHLIGHTS (Continued)


For a Share Outstanding Throughout the Years Ending 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			Excess Distribution/ 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/ (Loss), Net		Investment Income/ (Loss), Excluding Waivers and Expense Reduction		Portfolio Turnover Rate (2)
Equity Index Fund
GS2 Class
2006	$	9.96	$	0.18	#	$	1.33		$	(0.28	)	$	(0.11	)	$	—		$	11.08	15.37	%	$	74,634	0.23	%	0.23	%	0.23	%	1.74	%	1.74	%	5	%
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(3)		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	$	16.97	$	0.28	#	$	2.28		$	(0.25	)	$	(0.11	)	$	—		$	19.17	15.19	%	$	466,429	0.40	%	0.40	%	0.43	%	1.57	%	1.54	%	5	%
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 (3)		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	$	10.02	$	0.14	#	$	1.34		$	(0.24	)	$	(0.11	)	$	—		$	11.15	14.97	%	$	14,233	0.60	%	0.60	%	0.78	%	1.37	%	1.19	%	5	%
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(3)		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	$	10.02	$	0.11	#	$	1.34		$	(0.21	)	$	(0.11	)	$	—		$	11.15	14.63	%	$	6,250	0.90	%	0.90	%	1.14	%	1.07	%	0.83	%	5	%
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(4)		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

Real Estate Securities Fund
GS4 Class
2006(5)	$	12.50	$	—	†	$	0.05		$	—		$	—		$	—		$	12.55	0.40	%	$	107,035	1.33	%	1.33	%	1.88	%	(1.16	)%	(1.71	)%	0	%

†	Amount represents less than $0.005 per share.

#	Calculated using the average shares outstanding method.

(1)	Annualized.

(2)	Not annualized.

(3)	Inception date was August 27, 2001.

(4)	Inception date was November 8, 2004.

(5)	Inception date was December 29, 2006.


138		See Notes to Financial Statements.


																								Ratios to Average Net Assets (1)
	Net Asset Value, Beginning of Period		Net Investment Income/ (Loss)			Realized and Unrealized Gain (Loss) on Investments			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, End of Period (000)		Expenses, Net		Expenses, Including Expense Reduction		Expenses, Before Waivers and Expense Reduction		Investment Income/ Waivers and (Loss), Net		Investment Income/ (Loss), Excluding Portfolio Expense Reduction		Portfoloio Turnover Rate (2)
Value Equity Fund
GS2 Class
2006	$	10.75	$	0.18	#	$	1.78		$	(0.28	)	$	(1.81	)	$	—		$	10.62	18.76	%	$	181,940	0.72	%	0.71	%	0.72	%	1.70	%	1.69	%	76	%
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(3)		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	$	17.50	$	0.28	#	$	2.93		$	(0.25	)	$	(1.81	)	$	—		$	18.65	18.64	%	$	1,434,773	0.90	%	0.89	%	0.91	%	1.52	%	1.50	%	76	%
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(3)		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	$	10.69	$	0.12	#	$	1.78		$	(0.23	)	$	(1.81	)	$	—		$	10.55	18.21	%	$	17,798	1.24	%	1.23	%	1.24	%	1.18	%	1.17	%	76	%
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(3)		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	$	10.68	$	0.08	#	$	1.77		$	(0.19	)	$	(1.81	)	$	—		$	10.53	17.75	%	$	6,844	1.60	%	1.59	%	1.65	%	0.82	%	0.76	%	76	%
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(4)		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

Growth Equity Fund
GS2 Class
2006	$	11.18	$	—	†	$	0.05		$	—		$	—		$	—		$	11.23	0.45	%	$	179,852	0.89	%	0.88	%	0.90	%	0.00	%	(0.02	)%	48	%
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(3)		10.00		—	†		(0.17	)		—			—			—			9.83	(1.70	)		29	0.78		0.78		83.19		0.02		(82.39	)	9
GS4 Class
2006	$	17.71	$	(0.02	)	$	0.08		$	—		$	—		$	—		$	17.77	0.34	%	$	1,343,147	1.01	%	1.00	%	1.09	%	(0.12	)%	(0.21	)%	48	%
2005		16.33		(0.04	)		1.42			—			—			—			17.71	8.45			1,362,599	0.99		0.98		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(3)		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	$	10.99	$	(0.05	)	$	0.05		$	—		$	—		$	—		$	10.99	0.00	%	$	11,706	1.41	%	1.40	%	1.48	%	(0.52	)%	(0.60	)%	48	%
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(3)		10.00		—	†		(0.19	)		—			—			—			9.81	(1.90	)		309	1.15		1.15		47.77		(0.32	)	(46.94	)	9
GS8 Class
2006	$	10.95	$	(0.08	)	$	0.04		$	—		$	—		$	—		$	10.91	(0.37	)%	$	5,776	1.71	%	1.70	%	1.84	%	(0.82	)%	(0.96	)%	48	%
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(4)		9.59		—	†		0.57			—			—			—			10.16	5.94			5,299	1.69		1.67		1.97		0.30		—		56


		See Notes to Financial Statements.		139

FINANCIAL HIGHLIGHTS (Continued)


*For a Share Outstanding Throughout the Years Ending December 31, unless otherwise indicated*																								Ratios to Average Net Assets (1)
	Net Asset Value, Beginning of Period		Net Investment Income/ (Loss)			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/ (Loss), Net		Investment Income/ (Loss), Excluding Waivers and Expense Reduction		Portfolio Turnover Rate (2)
Small Cap Equity Fund

GS2 Class
2006	$	11.40	$	(0.01	)#	$	1.32		$	—		$	(1.38	)	$	—		$	11.33	11.40	%	$	66,695	1.06	%	1.05	%	1.06	%	(0.05	)%	(0.06	)%	86	%
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(3)		10.00		—	†		0.12			—			—			—			10.12	1.20			81	1.18		1.18		76.30		0.12		(75.00	)	92

GS4 Class
2006	$	15.61	$	(0.03	)#	$	1.80		$	—		$	(1.38	)	$	—		$	16.00	11.27	%	$	486,358	1.21	%	1.20	%	1.25	%	(0.20	)%	(0.25	)%	86	%
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(3)		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	$	11.16	$	(0.07	)#	$	1.29		$	—		$	(1.38	)	$	—		$	11.00	10.84	%	$	17,483	1.58	%	1.57	%	1.57	%	(0.57	)%	(0.57	)%	86	%
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(3)		10.00		—	†		0.09			—			—			—			10.09	0.90			115	1.50		1.50		123.38		(0.28	)	(122.16	)	92

GS8 Class
2006	$	11.11	$	(0.10	)#	$	1.27		$	—		$	(1.38	)	$	—		$	10.90	10.44	%	$	6,390	1.91	%	1.90	%	1.99	%	(0.90	)%	(0.99	)%	86	%
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(4)		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

International Equity Fund

GS2 Class
2006	$	14.71	$	0.25		$	3.23		$	(0.35	)	$	(2.04	)	$	—		$	15.80	23.78	%	$	199,989	0.97	%	0.96	%	1.10	%	1.60	%	1.46	%	26	%
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(3)		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	$	17.37	$	0.26		$	3.82		$	(0.32	)	$	(2.04	)	$	—		$	19.09	23.58	%	$	1,254,839	1.15	%	1.14	%	1.29	%	1.43	%	1.28	%	26	%
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(3)		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	$	14.56	$	0.18		$	3.17		$	(0.28	)	$	(2.04	)	$	—		$	15.59	23.14	%	$	23,877	1.47	%	1.46	%	1.60	%	1.10	%	0.96	%	26	%
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(3)		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	$	14.54	$	0.14		$	3.16		$	(0.24	)	$	(2.04	)	$	—		$	15.56	22.78	%	$	7,811	1.80	%	1.79	%	2.00	%	0.76	%	0.55	%	26	%
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(4)		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)	Inception date was August 27, 2001.

(4)	Inception date was November 8, 2004.


140		See Notes to Financial Statements.

NOTES TO FINANCIAL STATEMENTS

1. DESCRIPTION OF THE FUNDS

GuideStone Funds (the “Trust”) was organized as a Delaware statutory trust on March 2, 2000. The Trust has established nineteen 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 Global Bond and Real Estate Securities Funds commenced operations as a registered investment company on December 29, 2006. Prior to December 29, 2006 they operated as unregistered entities.

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, Extended-Duration Bond Fund and Global Bond Fund are together referred to as the “Bond Funds.” The Equity Index Fund, Real Estate Securities 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

141

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 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

142

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.

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

143

contracts and swap contracts. The Funds bear the market risk arising from any change in index values or interest rates.

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, 2006, 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

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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 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, Real Estate Securities 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.

h. REITS

The Real Estate Securities Fund invests substantial assets in real estate investment trusts (REITs) that involve risks not associated with investing in stocks. Risks include declines in the value of real estate, general and economic conditions, changes in the value of the underlying property and defaults by borrowers. The value of assets in the real estate industry may go through cycles of relative underperformance and outperformance in comparison to equity securities markets in general.

Dividend income is recorded using management’s estimate of the income included in distributions received from REIT investments. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amount.

i. Short Sales

A short sale is a transaction in which a Fund sells a security it does not own. The Low-Duration and Medium-Duration Bond Funds will occasionally enter into a short sale to initiate a dollar roll transaction. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by cash equivalents deposited in an account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs.

At December 31, 2006, the value of securities sold short in the Medium-Duration Bond Fund amounted to $52,905,567.

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.

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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 period ended December 31, 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	%
Global Bond	0.21	%	0.20	%
Equity Index	0.14	%	0.02	%
Real Estate Securities	0.30	%	0.67	%
Value Equity	0.43	%	0.24	%
Growth Equity	0.48	%	0.37	%
Small Cap Equity	0.30	%	0.68	%
International Equity	0.47	%	0.49	%

For the period ended December 31, 2006, advisory fees and waivers for each Fund were as follows:


	Gross Advisory Fee		Waiver/ Reimbursements			Net Advisory Fee (Reimbursement)
Flexible Income	$	313,133	$	(159,859	)	$	153,274
Growth & Income		1,341,512		(77,128	)		1,264,384
Capital Opportunities		1,091,554		(80,467	)		1,011,087
Global Equity		1,003,899		(92,374	)		911,525
Flexible Income I		55,511		(74,843	)		(19,332	)
Growth & Income I		247,098		(16,300	)		230,798
Capital Opportunities I		170,916		(44,435	)		126,481
Global Equity I		132,740		(48,541	)		84,199
Money Market		1,266,736		(12,676	)		1,254,060
Low-Duration Bond		1,865,818		(523,156	)		1,342,662
Medium-Duration Bond		2,626,056		(839,380	)		1,786,676
Extended-Duration Bond		1,257,880		(135,208	)		1,122,672
Global Bond		1,805		(3,712	)		(1,907	)
Equity Index		718,754		(169,692	)		549,062
Real Estate Securities		2,634		(4,947	)		(2,313	)
Value Equity		6,537,246		(250,052	)		6,287,194
Growth Equity		7,237,768		(1,208,620	)		6,029,148
Small Cap Equity		1,710,801		(274,430	)		1,436,371
International Equity		6,589,788		(2,092,511	)		4,497,277

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

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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	NA		0.13	%	0.50	%	0.80	%
Growth & Income	NA		0.13	%	0.60	%	0.90	%
Capital Opportunities	NA		0.13	%	0.70	%	1.00	%
Global Equity	NA		0.13	%	0.57	%	0.87	%
Flexible Income I	0.17	%	NA		NA		NA
Growth & Income I	0.17	%	NA		NA		NA
Capital Opportunities I	0.17	%	NA		NA		NA
Global Equity I	0.17	%	NA		NA		NA
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	%
Global Bond	NA		1.04	%	NA		NA
Equity Index	0.25	%	0.40	%	0.60	%	0.90	%
Real Estate Securities	NA		1.33	%	NA		NA
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.

At December 31, 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	$	385,009	$	28,962	$	19,711
Growth & Income		NA		147,726		13,813		4,958
Capital Opportunities		NA		185,556		6,516		—
Global Equity		NA		215,605		12,349		3,968
Flexible Income I	$	207,560		NA		NA		NA
Growth & Income I		92,647		NA		NA		NA
Capital Opportunities I		157,661		NA		NA		NA
Global Equity I		167,056		NA		NA		NA
Money Market		—		—		69,588		7,140
Low-Duration Bond		70,979		1,271,466		27,873		18,153
Medium-Duration Bond		11,522		1,953,068		16,281		14,276
Extended-Duration Bond		—		277,102		—		4,235
Global Bond		NA		3,296		NA		NA
Equity Index		—		228,128		98,243		31,305
Real Estate Securities		NA		4,866		NA		NA
Value Equity		—		559,809		14,291		9,235
Growth Equity		42,311		3,119,194		56,634		18,804
Small Cap Equity		—		814,859		40,092		14,140
International Equity		560,324		4,744,274		108,552		33,258

During the year ended December 31, 2006, GSCM recaptured the following amounts:


	GS6 Class		GS8 Class
Growth & Income	$	344		—
Capital Opportunities		—	$	398
Value Equity		389		—
Small Cap Equity		1,240		—

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 year ended December 31, 2006, were as follows:


Fund	Expenses Paid Through Brokerage Service Arrangements
Value Equity	$	100,675
Growth Equity		88,469
Small Cap Equity		67,819
International Equity		155,667

In addition, the Funds have entered into arrangements with its custodian whereby net interest earned on uninvested cash

147

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 year ended December 31, 2006, expenses reduced were as follows:


Fund	Reduction to Expenses
Flexible Income	$	2,153
Growth & Income		2,114
Capital Opportunities		2,750
Global Equity		3,574
Flexible Income I		2,233
Growth & Income I		1,595
Capital Opportunities I		2,081
Global Equity I		2,220
Money Market		12,291
Low-Duration Bond		659,367
Medium-Duration Bond		428,505
Extended-Duration Bond		7,632
Equity Index		2,534
Value Equity		19,573
Growth Equity		10,279
Small Cap Equity		6,254
International Equity		14,790

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 year ended December 31, 2006, PFPC received $5,564,623 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.

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 December 31, 2006, the market values of loaned securities and collateral received were as follows:


Fund	Value of Securities Loaned		Value of Collateral
Low-Duration Bond	$	45,386,451	$	46,899,932
Medium-Duration Bond		251,271,309		258,993,690
Extended-Duration Bond		269,896,989		278,446,396
Equity Index		33,463,028		34,402,994
Value Equity		119,113,966		122,875,591
Growth Equity		115,242,962		118,791,161
Small Cap Equity		268,174,101		277,398,014
International Equity		212,023,705		222,122,117

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5. 10% SHAREHOLDERS

The Blended Funds do not invest in the underlying funds for the purpose of exercising management or control; however, investments made by each Blended Fund within each of its principal investment strategies may represent a significant portion of an underlying fund’s net assets. At December 31, 2006, the Blended Funds were the owner of record of the following approximate percentages of the total outstanding shares of the underlying funds as detailed below:


GS2 Class	Flexible Income Fund I		Growth & Income Fund I		Capital Opportunities Fund I		Global Equity Fund I
Low-Duration Bond	39.21	%	35.15	%	12.75	%	—
Medium-Duration Bond	—		56.01		19.87		—
Extended-Duration Bond	—		42.59		15.24		—
Equity Index	1.34		11.61		12.43		12.62	%
Value Equity	2.37		21.45		23.02		23.70
Growth Equity	2.46		21.23		22.74		23.01
Small Cap Equity	1.67		14.73		15.56		15.71
International Equity	1.77		17.38		17.90		17.44

GS4 Class	Flexible Income Fund		Growth & Income Fund		Capital Opportunities Fund		Global Equity Fund
Low-Duration Bond	34.11	%	29.02	%	11.93	%	—
Medium-Duration Bond	—		31.04		12.50		—
Extended-Duration Bond	—		29.63		12.03		—
Equity Index	1.23		10.09		12.27		15.00	%
Value Equity	1.72		14.78		17.99		22.31
Growth Equity	1.89		15.46		18.76		23.02
Small Cap Equity	1.31		10.97		13.14		16.10
International Equity	1.62		15.05		17.58		20.77

6. INVESTMENT TRANSACTIONS

For the year ended December 31, 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	$	17,850,000	$	7,000,000
Growth & Income		73,550,000		54,550,000
Capital Opportunities		56,150,000		76,050,000
Global Equity		42,600,000		72,200,000
Flexible Income I		3,334,000		3,865,000
Growth & Income I		21,938,000		20,442,000
Capital Opportunities I		21,057,000		11,744,000
Global Equity I		10,967,000		11,016,000
Low-Duration Bond		605,582,723		584,945,561
Medium-Duration Bond		511,638,819		406,134,329
Extended-Duration Bond		33,010,051		85,652,917
Equity Index		32,163,775		25,407,612
Value Equity		1,091,289,123		1,158,851,214
Growth Equity		685,269,910		718,510,059
Small Cap Equity		470,032,101		500,584,427
International Equity		349,094,193		476,641,737

For the period ended December 31, 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	$	20,266,329	$	19,920,306
Growth & Income		43,346,120		44,191,364
Capital Opportunities		14,517,807		14,473,384
Flexible Income I		5,351,577		5,300,045
Growth & Income I		10,744,700		10,437,669
Capital Opportunities I		3,904,950		3,870,550
Low-Duration Bond		856,247,612		829,935,209
Medium-Duration Bond		5,268,091,998		5,214,342,125
Extended-Duration Bond		327,112,575		196,973,447
Global Bond		—		92,549

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Futures Contracts

Investments in securities as of December 31, 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:


	Value of Collateral		Open Purchase (Sale) Contracts		Notional Value on Futures		Net Unrealized Gain (Loss) on Futures
Flexible Income Fund
March 2007 S&P 500^{^®}	$	69,512	3		$	1,071,300	$	(2,989	)


Growth & Income Fund
March 2007 S&P 500^{^®}		595,817	33			11,784,300	$	50,281


Capital Opportunities Fund
March 2007 S&P 500^{^®}		724,911	41			14,641,100	$	59,880


Global Equity Fund
March 2007 S&P 500^{^®}		695,120	32			11,427,200	$	20,635


Flexible Income Fund I
March 2007 S&P 500^{^®}E-Mini		19,860	3			214,260	$	(264	)


Growth & Income Fund I
March 2007 S&P 500^{^®}E-Mini		129,094	33			2,356,860	$	521


Capital Opportunities Fund I
March 2007 S&P 500^{^®}E-Mini		178,745	34			2,428,280	$	(1,567	)


Global Equity Fund I
March 2007 S&P 500^{^®}E-Mini		139,024	31			2,214,020	$	(2,752	)


Low-Duration Bond Fund
June 2007 90-Day Euro		50,553	29			6,870,825	$	(11,063	)
June 2008 90-Day Euro		113,135	168			39,956,700		(95,700	)
September 2007 90-Day Euro		488,433	565			134,067,437		(120,188	)
December 2007 90-Day Euro		292,277	(45	)		95,762,875		(15,943	)
December 2008 90-Day Euro		220,232	327			77,781,038		44,963
June 2007 3-Month Euro EURIBOR		173,933	194			61,429,279		(108,630	)
March 2007 5-Year U.S. Treasury Note		93,305	(303	)		31,833,937		178,448
June 2007 90-Day Sterling		39,947	61			14,108,484		(34,093	)
September 2007 90-Day Sterling		94,967	145			33,540,109		(83,312	)
March 2007 Euro Bund		867	2			306,330		(7,339	)
March 2007 2-Year U.S. Treasury Note		576,881	262			186,892,625		(29,486	)
March 2007 10-Year U.S. Treasury Note		236,135	(356	)		38,258,875		474,723
March 2007 U.S. Long Treasury Bond		12,936	(41	)		4,568,938		82,320

							$	274,700


Medium-Duration Bond Fund
March 2008 90-Day Euro		129,532	190			45,177,250	$	(42,800	)
June 2007 90-Day Euro		25,814	38			9,003,150		(20,900	)
June 2008 90-Day Euro		214,807	315			74,918,813		(169,300	)
September 2007 90-Day Euro		615,006	806			191,253,725		(99,908	)
December 2007 90-Day Euro		127,407	187			44,435,875		(88,112	)
December 2008 90-Day Euro		79,794	117			27,829,912		16,087
June 2007 3-Month Euro EURIBOR		223,340	246			77,894,858		(137,747	)
March 2007 5-Year U.S. Treasury Note		82,399	(224	)		23,744,125		166,428
June 2007 90-Day Sterling		43,104	65			15,033,631		(36,321	)
September 2007 90-Day Sterling		100,809	152			35,159,287		(87,350	)
March 2007 Euro Bund		104,882	47			7,198,746		(46,472	)
March 2007 10-Year U.S. Treasury Note		192,094	(304	)		43,632,312		369,729

150


	Value of Collateral		Open Purchase (Sale) Contracts		Notional Value on Futures		Net Unrealized Gain (Loss) on Futures
March 2007 U.S. Long Treasury Bond	$	5,960	(2	)	$	1,114,375	$	6,877

							$	(169,789	)


Equity Index Fund
March 2007 S&P 500^{^®}		665,329	33			11,784,300	$	22,831


Real Estate Securities Fund
March 2007 Russell 2000^{^®}IMM-Mini		218,526	66			5,246,340	$	11,071


Value Equity Fund
March 2007 S&P 500^{^®}		3,872,811	158			56,421,800	$	207,025
March 2007 S&P 500^{^®}E-Mini		109,234	34			2,428,280		4,151

							$	211,176


Growth Equity Fund
March 2007 S&P 500^{^®}		4,170,720	134			47,851,400	$	180,976


Small Cap Equity Fund
March 2007 Russell 2000^{^®}IMM-Mini		1,549,125	248			19,713,520	$	(166,413	)

Forward Foreign Currency Contracts

As of December 31, 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
1/10/2007	New Zealand Dollars	1,615,306	US Dollars	1,061,303	$	(75,894	)
1/10/2007	US Dollars	345,633	New Zealand Dollars	501,827		7,660
1/11/2007	Euros	1,840,000	Norwegian Kroner	14,999,073		(23,436	)
1/11/2007	US Dollars	3,706,875	Singapore Dollars	5,845,000		106,621
1/11/2007	Euros	1,820,000	Swedish Kronor	16,457,095		1,964
1/11/2007	British Pounds	561,000	US Dollars	1,093,389		(5,146	)
1/23/2007	Euros	37,016,000	US Dollars	48,589,419		(336,334	)
1/23/2007	US Dollars	23,985,728	Euros	18,220,000		96,485
2/15/2007	US Dollars	11,228,639	Japanese Yen	1,310,472,000		(146,432	)
2/15/2007	Japanese Yen	106,000,000	US Dollars	922,708		26,303
3/16/2007	US Dollars	1,700,000	Chinese Yuan	13,128,000		550
8/16/2007	US Dollars	5,851,000	Chinese Yuan	45,169,720		131,479

					$	(216,180	)


Medium-Duration Bond Fund
1/11/2007	British Pounds	2,122,000	US Dollars	4,135,778	$	(19,463	)
1/12/2007	Mexican Pesos	38,801,757	US Dollars	3,492,665		(97,984	)
1/12/2007	US Dollars	3,561,363	Mexican Pesos	38,801,757		29,286
1/23/2007	Euros	43,297,000	US Dollars	56,829,765		(397,872	)
1/30/2007	Euros	842,371	US Dollars	1,107,990		(5,791	)
2/7/2007	Canadian Dollars	2,362,022	US Dollars	2,096,630		68,755
2/7/2007	US Dollars	1,497,673	Canadian Dollars	1,694,245		(43,106	)
2/7/2007	US Dollars	4,668,979	Euros	3,630,000		134,614
2/7/2007	Euros	1,448,485	US Dollars	1,825,787		(98,267	)

151


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)
2/15/2007	Japanese Yen	68,000,000	US Dollars	591,926	$	16,874
2/15/2007	US Dollars	9,240,104	Japanese Yen	1,078,394,000		(120,500	)
3/16/2007	US Dollars	1,800,000	Chinese Yuan	13,900,000		552
8/16/2007	US Dollars	6,143,000	Chinese Yuan	47,423,960		138,040
9/19/2007	US Dollars	2,828,000	Russian Rubles	74,079,460		(9,041	)

					$	(403,903	)


Global Bond Fund
2/7/2007	Danish Kroner	4,600,000	US Dollars	787,487	$	(28,319	)
2/7/2007	US Dollars	797,669	Danish Kroner	4,600,000		18,136
2/7/2007	Japanese Yen	91,669,600	US Dollars	800,000		25,538
2/7/2007	US Dollars	783,233	Japanese Yen	91,669,600		(8,771	)
2/7/2007	Euros	3,510,000	US Dollars	4,663,824		21,354
2/7/2007	US Dollars	4,623,385	Euros	3,510,000		19,085
2/7/2007	US Dollars	773,888	Australian Dollars	995,201		10,804
2/7/2007	Australian Dollars	1,245,201	US Dollars	956,833		(24,977	)
2/7/2007	British Pounds	1,900,000	US Dollars	3,648,036		(73,039	)
2/7/2007	Turkish Lira	1,219,640	US Dollars	836,000		(12,582	)
2/7/2007	US Dollars	3,084,000	Turkish Lira	4,609,560		123,168
2/7/2007	South African Rand	8,179,865	US Dollars	1,136,127		(24,901	)

					$	45,496


International Equity Fund
1/11/2007	Euros	717,018	Japanese Yen	105,874,816	$	(55,855	)
1/25/2007	Euros	862,425	Australian Dollars	1,439,042		(4,983	)
1/31/2007	British Pounds	9,220,500	US Dollars	17,524,070		(533,671	)

					$	(594,509	)

Options Written

Transactions in options written during the year ended December 31, 2006 were as follows:


Low-Duration Bond Fund	Number of Contracts		Premiums Received
Options written, 12/31/05	1,074		$	379,043

Options written	8,901			860,849
Options expired	(5,116	)		(311,710	)
Options closed	(207	)		(110,939	)

Options written, 12/31/06	4,652		$	817,243


Medium-Duration Bond Fund	Number of Contracts		Premiums Received
Options written, 12/31/05	5,636		$	1,021,660

Options written	15,713			1,186,741
Options expired	(10,826	)		(1,075,530	)
Options closed	(1,230	)		(88,405	)

Options written, 12/31/06	9,293		$	1,044,466

152

7. CAPITAL SHARE TRANSACTIONS

Transactions in shares of capital stock were as follows:


	Year Ended December 31, 2006						Year Ended December 31, 2005
	GS4		GS6		GS8		GS4		GS6	GS8
Flexible Income Fund
Shares sold	3,656,910		1,952		20,520		3,824,308		—	8,453
Shares reinvested	965,157		79,237		33,701		1,073,334		89,168	37,286
Shares redeemed	(2,794,715	)	(4	)	(2,547	)	(3,795,558	)	—	—

Net increase	1,827,352		81,185		51,674		1,102,084		89,168	45,739


Growth & Income Fund
Shares sold	6,656,150		108,276		242,284		7,705,632		—	37,621
Shares reinvested	5,184,934		136,009		70,158		5,682,960		133,984	54,000
Shares redeemed	(5,727,250	)	(5,934	)	(30,147	)	(13,663,368	)	—	(9	)

Net increase (decrease)	6,113,834		238,351		282,295		(274,776	)	133,984	91,612


Capital Opportunities Fund
Shares sold	3,141,769		92,585		177,712		3,308,317		—	46,234
Shares reinvested	4,554,611		80,040		68,198		3,318,258		46,828	36,627
Shares redeemed	(4,562,176	)	(13	)	(63,800	)	(8,321,585	)	—	(3	)

Net increase (decrease)	3,134,204		172,612		182,110		(1,695,010	)	46,828	82,858


Global Equity Fund
Shares sold	4,436,590		51,247		55,947		3,985,734		—	12,413
Shares reinvested	3,930,458		123,874		51,063		2,666,766		74,409	29,063
Shares redeemed	(6,254,366	)	(5,418	)	(17,766	)	(9,133,897	)	—	—

Net increase (decrease)	2,112,682		169,703		89,244		(2,481,397	)	74,409	41,476


	GS2						GS2
Flexible Income Fund I
Shares sold	614,244						2,547,905
Shares reinvested	385,613						258,626
Shares redeemed	(648,186	)					(515,007	)

Net increase	351,671						2,291,524


Growth & Income Fund I
Shares sold	1,573,469						10,263,212
Shares reinvested	1,820,120						1,112,570
Shares redeemed	(1,411,973	)					(1,110,745	)

Net increase	1,981,616						10,265,037


Capital Opportunities Fund I
Shares sold	1,427,771						7,039,835
Shares reinvested	1,106,323						526,433
Shares redeemed	(722,160	)					(704,572	)

Net increase	1,811,934						6,861,696


Global Equity Fund I
Shares sold	749,622						6,666,685
Shares reinvested	811,924						287,774
Shares redeemed	(772,028	)					(523,621	)

Net increase	789,518						6,430,838

153


	Year Ended December 31, 2006								Year Ended December 31, 2005
	GS2		GS4		GS6		GS8		GS2		GS4		GS6		GS8
Money Market Fund
Shares sold	79,181,546		2,625,551,003		3		183,052		97,579,053		2,495,446,536		43,983		54,568
Shares reinvested	4,122,997		20,032,228		196,806		206,490		2,495,133		11,467,878		111,760		107,373
Shares redeemed	(75,848,387	)	(2,481,322,504	)	—		(77,413	)	(68,344,589	)	(2,578,673,372	)	(44,371	)	(23,730	)

Net increase (decrease)	7,456,156		164,260,727		196,809		312,129		31,729,597		(71,758,958	)	111,372		138,211


Low-Duration Bond Fund
Shares sold	1,297,497		7,540,226		1,126,024		1,110,208		5,248,419		8,353,061		51,030		135
Shares reinvested	677,209		2,479,092		59,684		27,560		480,713		1,805,474		50,668		19,301
Shares redeemed	(1,607,636	)	(17,130,252	)	(1,858,956	)	(1,130,399	)	(585,221	)	(9,214,663	)	(569,745	)	(6	)

Net increase (decrease)	367,070		(7,110,934	)	(673,248	)	7,369		5,143,911		943,872		(468,047	)	19,430


Medium-Duration Bond Fund
Shares sold	1,671,942		12,489,105		1,025		5,732		5,497,788		14,239,642		62,271		73
Shares reinvested	801,315		3,170,861		93,047		34,362		682,179		2,861,364		89,901		31,950
Shares redeemed	(770,305	)	(6,269,958	)	(598	)	(989	)	(444,179	)	(6,447,573	)	(459,868	)	—

Net increase (decrease)	1,702,952		9,390,008		93,474		39,105		5,735,788		10,653,433		(307,696	)	32,023


Extended-Duration Bond Fund
Shares sold	928,267		8,351,957		—		2,034		3,301,097		5,503,394		102,426		68
Shares reinvested	580,534		1,230,516		146,627		49,077		672,556		1,637,275		187,340		59,570
Shares redeemed	(934,248	)	(4,562,953	)	—		(956	)	(810,810	)	(7,325,967	)	(1,204,900	)	—

Net increase (decrease)	574,553		5,019,520		146,627		50,155		3,162,843		(185,298	)	(915,134	)	59,638


Global Bond Fund⁽¹⁾
Shares sold			1
Shares reinvested			4,189
Shares redeemed			—

Net increase			4,190


Equity Index Fund
Shares sold	760,927		2,502,116		46,073		4,865		2,936,130		2,592,192		—		120
Shares reinvested	237,789		469,656		40,598		16,350		171,170		357,906		29,955		11,720
Shares redeemed	(508,852	)	(2,375,932	)	(9,295	)	(1,563	)	(558,730	)	(4,595,480	)	—		—

Net increase (decrease)	489,864		595,840		77,376		19,652		2,548,570		(1,645,382	)	29,955		11,840

154


	Year Ended December 31, 2006								Year Ended December 31, 2005
	GS2		GS4		GS6		GS8		GS2		GS4		GS6		GS8
Real Estate Securities Fund⁽¹⁾
Shares sold			14,017
Shares reinvested			—
Shares redeemed			(2,008	)

Net increase			12,009


Value Equity Fund
Shares sold	1,004,773		2,999,625		6,797		24,170		7,236,109		3,861,126		58,317		273
Shares reinvested	2,869,649		7,841,423		278,467		103,981		1,782,966		5,787,541		169,839		62,261
Shares redeemed	(1,286,505	)	(7,023,963	)	(1,460	)	(2,985	)	(1,044,581	)	(10,142,136	)	(402,264	)	—

Net increase (decrease)	2,587,917		3,817,085		283,804		125,166		7,974,494		(493,469	)	(174,108	)	62,534


Growth Equity Fund
Shares sold	1,675,252		4,244,023		33,874		8,954		8,581,238		3,451,460		33,645		99
Shares reinvested	—		—		—		—		—		—		—		—
Shares redeemed	(1,061,893	)	(5,622,252	)	(6,212	)	(1,013	)	(1,360,673	)	(12,607,943	)	(350,859	)	—

Net increase (decrease)	613,359		(1,378,229	)	27,662		7,941		7,220,565		(9,156,483	)	(317,214	)	99


Small Cap Equity Fund
Shares sold	686,981		3,634,970		17,275		10,645		2,961,871		5,734,325		34,416		453
Shares reinvested	637,396		2,416,922		175,865		65,487		776,723		3,248,901		204,944		75,572
Shares redeemed	(880,093	)	(5,341,920	)	(16	)	(2,722	)	(587,859	)	(5,552,728	)	(291,639	)	—

Net increase (decrease)	444,284		709,972		193,124		73,410		3,150,735		3,430,498		(52,279	)	76,025


International Equity Fund
Shares sold	1,037,499		5,262,328		19,348		9,817		5,946,070		5,799,684		123,176		371
Shares reinvested	1,675,167		7,326,014		199,772		64,362		391,556		1,711,897		38,117		11,325
Shares redeemed	(2,075,826	)	(11,343,731	)	(1,299	)	(1,494	)	(1,070,163	)	(13,605,130	)	(374,414	)	—

Net increase (decrease)	636,840		1,244,611		217,821		72,685		5,267,463		(6,093,549	)	(213,121	)	11,696

⁽¹⁾	Inception date was December 29, 2006.

8. 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, 2006, 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 year ended December 31, 2006.

155

9. 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 period ended December 31, 2006 and the year ended December 31, 2005 were characterized as follows for tax purposes:


Fund	Ordinary Income		Long-Term Capital Gain		Return of Capital
Flexible Income
2006	$	10,179,210	$	3,665,564	$	—
2005		7,202,701		8,060,505		—

Growth & Income
2006		38,147,927		40,748,252		—
2005		32,658,116		51,454,905		—

Capital Opportunities
2006		24,736,064		51,235,371		—
2005		21,044,662		32,067,303		—

Global Equity
2006		17,264,066		53,666,488		—
2005		14,036,479		31,500,364		—

Flexible Income I
2006		2,665,895		1,272,521		—
2005		1,960,483		695,422		—

Growth & Income I
2006		11,122,184		10,020,990		—
2005		9,387,903		3,409,006		—

Capital Opportunities I
2006		6,171,476		8,479,337		—
2005		4,868,226		1,871,844		—

Global Equity I
2006		3,516,616		8,553,585		—
2005		2,761,080		1,331,740		—

Money Market
2006		42,093,683		—		—
2005		25,692,609		—		—

Low-Duration Bond
2006		38,289,007		—		—
2005		28,121,329		2,254		—

Medium-Duration Bond
2006		50,287,994		—		—
2005		44,837,310		1,305,314		—

Extended-Duration Bond
2006		23,061,143		1,213,320		—
2005		25,266,825		6,787,901		—

Global Bond
2006		37,349		—		5,039

Equity Index
2006		8,794,069	$	3,058,163		—
2005		6,790,475		1,344,379		—

Value Equity
2006		38,680,720		141,795,290		—
2005		43,128,602		82,692,658		—

Small Cap Equity
2006		16,751,192		32,095,593		—
2005		18,650,756		44,882,273		—

International Equity
2006		41,665,598		129,659,324		—
2005		21,032,901		15,522,074		—

At December 31, 2006, the components of distributable earnings on a tax basis were as follows:


Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gain/ (Capital Loss Carryforward)			Net Unrealized Appreciation (Depreciation) on Investments
Flexible Income	$	13,737	$	5,039,842		$	44,825,189
Growth & Income		134,394		39,127,651			230,265,012
Capital Opportunities		142,127		46,415,417			225,336,854
Global Equity		132,746		57,714,890			246,437,959
Flexible Income I		2,076		1,125,962			(1,713,540	)
Growth & Income I		28,107		9,711,600			1,642,073
Capital Opportunities I		31,345		10,226,203			10,387,316
Global Equity I		21,343		10,189,838			9,384,791
Money Market		—		(8,532	)		—
Low-Duration Bond		162,068		(18,445,864	)		(3,485,920	)
Medium-Duration Bond		1,281,343		(3,490,933	)		(1,930,205	)
Extended-Duration Bond		391,035		5,219,297			12,796,593
Global Bond		—		—			599,086
Equity Index		39,815		—			140,548,424
Real Estate Securities		—		—			13,702,844
Value Equity		3,335,335		5,601,254			310,460,901
Growth Equity		—		(159,767,108	)		280,113,207
Small Cap Equity		3,554,302		7,555,381			70,387,086
International Equity		1,777,551		22,428,184			477,680,895

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.

156

For federal income tax purposes, capital loss carryovers and their expiration dates, were as follows as of December 31, 2006:


	Money Market		Low Duration Bond		Medium Duration Bond		Growth Equity
Expiring December 31,
2010		—		—		—	$	36,470,601
2011	$	2,028		—		—		123,296,507
2013		5,370	$	9,988,046	$	1,264,463		—
2014		1,134		8,457,818		2,226,470		—

Total	$	8,532	$	18,445,864	$	3,490,933	$	159,767,108

For federal income tax purposes, post-October loss deferrals, which will reverse in 2007, were as follows as of December 31, 2006:


	Capital		FX		Total
Money Market	$	632		—	$	632
Low-Duration Bond		1,070,013	$	523,681		1,593,694
Global Bond		—		69,777		69,777
Equity Index		885,213		—		885,213
Real Estate Securities		21,659		—		21,659
International Equity		—		108,304		108,304

At December 31, 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	$	44,825,189		$	46,909,692	$	(2,084,503	)
Growth & Income		230,265,012			236,795,949		(6,530,937	)
Capital Opportunities		225,336,854			229,227,178		(3,890,324	)
Global Equity		246,437,959			247,630,774		(1,192,815	)
Flexible Income I		(1,713,540	)		1,481,507		(3,195,047	)
Growth & Income I		1,642,073			14,080,508		(12,438,435	)
Capital Opportunities I		10,387,316			16,147,074		(5,759,758	)
Global Equity I		9,384,791			12,094,983		(2,710,192	)
Low-Duration Bond		(3,135,912	)		2,266,519		(5,402,431	)
Medium-Duration Bond		(759,515	)		11,189,310		(11,948,825	)
Extended-Duration Bond		12,789,520			18,271,798		(5,482,278	)
Global Bond		481,859			1,137,295		(655,436	)
Equity Index		140,548,424			187,945,093		(47,396,669	)
Real Estate Securities		13,702,844			14,060,279		(357,435	)
Value Equity		310,460,901			332,109,898		(21,648,997	)
Growth Equity		280,113,207			318,691,665		(38,578,458	)
Small Cap Equity		70,387,086			94,352,210		(23,965,124	)
International Equity		477,734,704			495,550,152		(17,815,448	)

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 December 31, 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	$	282,217,525
Growth & Income		1,194,194,986
Capital Opportunities		929,225,999
Global Equity		809,294,116
Flexible Income I		58,903,155
Growth & Income I		260,932,806
Capital Opportunities I		177,187,416
Global Equity I		132,916,342
Money Market		1,039,319,532
Low-Duration Bond		933,757,575
Medium-Duration Bond		1,825,646,640
Extended-Duration Bond		810,595,892
Global Bond		116,667,037
Equity Index		454,744,407
Real Estate Securities		93,365,267
Value Equity		1,453,451,389
Growth Equity		1,379,831,568
Small Cap Equity		784,649,791
International Equity		1,229,587,339

157

At December 31, 2006, 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 Investments, Currency Translations and Derivative Transactions
Flexible Income		—		$	612,161		$	(612,161	)
Growth & Income		—			5,346,259			(5,346,259	)
Capital Opportunities		—			6,412,948			(6,412,948	)
Global Equity		—			7,873,941			(7,873,941	)
Flexible Income I		—			150,880			(150,880	)
Growth & Income I		—			1,372,050			(1,372,050	)
Capital Opportunities I		—			1,448,411			(1,448,411	)
Global Equity I		—			1,466,148			(1,466,148	)
Low-Duration Bond		—			(67,136	)		67,136
Medium-Duration Bond		—			(1,289,737	)		1,289,737
Extended-Duration Bond		—			969,512			(969,512	)
Global Bond	$	(5,039	)		(9,600	)		14,639
Equity Index		—			(1,381	)		1,381
Real Estate Securities		(10,185	)		10,185			—
Growth Equity		(1,702,251	)		1,702,251			—
Small Cap Equity		—			1,150,662			(1,150,662	)
International Equity		—			1,013,509			(1,013,509	)

Net investment income, net realized gain (loss) on investments and net assets were not affected by these reclassifications.

10. NEW ACCOUNTING PRONOUNCEMENTS

In July 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Interpretation 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, with the Funds required to implement FIN 48 in the NAV calculation by June 30, 2007. The Funds are in the process of evaluating the effect, if any, that the adoption of FIN 48 will have on the financial statements.

In September 2006, the Financial Accounting Standards Board issued FASB Statement No. 157, Fair Value Measurements, (“Statement 157”). Statement 157 establishes a framework for measuring fair value in generally accepted accounting principles, clarifies the definition of fair value within that framework, and expands disclosures about the use of fair value measurements. Statement 157 is intended to increase consistency and comparability among fair value estimates used in financial reporting. Statement 157 is effective for fiscal years beginning after November 15, 2007. Management does not expect the adoption of Statement 157 to have an impact on the amounts reported in the financial statements.

11. INVESTMENT NOT MEETING INVESTMENT GUIDELINES

During the year ended December 31, 2006, one of the Extended-Duration Bond Fund’s sub-advisers purchased a security that did not meet the Fund’s investment guidelines. The security was subsequently sold at a loss of $20,623, for which the Fund was fully reimbursed by the sub-adviser.

12. FINANCIAL HIGHLIGHTS RESTATEMENT FOR MONEY MARKET FUND

Due to a procedural error, net investment income per share and dividends from net investment income per share were incorrectly reported in the 2005 financial highlights of the Money Market Fund. Such amounts have been restated, as shown below, in the financial highlights for the year ended December 31, 2005.


Net Investment Income Per Share
	2005
	Originally		Corrected
Class	Reported		Value
GS2	$	0.00	$	0.03
GS4		0.00		0.03
GS6		0.00		0.02
GS8		0.00		0.02


Dividends from Net Investment Income Per Share
	2005
Class	Originally Reported			Corrected Value
GS2	$	(0.00	)	$	(0.03	)
GS4		(0.00	)		(0.03	)
GS6		(0.00	)		(0.02	)
GS8		(0.00	)		(0.02	)

158

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees and

Shareholders of GuideStone Funds:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights, after the restatement described in Note 12, present fairly, in all material respects, the financial position of 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, Money Market Fund, Low-Duration Bond Fund, Medium-Duration Bond Fund, Extended-Duration Bond Fund, Global Bond Fund, Equity Index Fund, Real Estate Securities Fund, Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund, and International Equity Fund (constituting GuideStone Funds, hereafter referred to as the “Trust”) at December 31, 2006, and the results of their operations, the changes in their net assets and their financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Trust’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

Philadelphia, Pennsylvania

February 23, 2007

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FUND MANAGEMENT (UNAUDITED)

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 Trusteee
DISINTERESTED TRUSTEES

Michael R. Buster (11/18/57) 3656 Bridle Road Prosper, TX 75078 Trustee	Since 2002	Executive Pastor, Prestonwood Baptist Church, 1989 - Present.	19	None

William Craig George (7/8/58) 617 Glen Eden Drive Raleigh, NC 27612 Trustee	Since 2004	Regional loan administrator, SunTrust Bank, 1995 - present.	19	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.	19	None

Kevin P. Mahoney (7/26/57) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee	Since 2004	Executive Pastor, FBC West Palm Beach, FL, July 2000 - present; Administrative Pastor, FBC Merritt Island, FL, June 1995 - June 2000.	19	None

Franklin Raymond Morgan (6/1/43) 23914 Seven Winds San Antonio, TX 78258 Trustee	Since 2005	Retired - Senior Vice President, Director of International Administration, Prudential Securities, Inc., January 1962 - May 2003.	19	None

James Ray Taylor (10/19/33) 3009 Tanglewood Park West Fort Worth, Texas 76109 Trustee	Since 2002	Retired since 1994.	19	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.	19

Gerald B. Jones (5/24/32) 4625 Bridgewater Fayetteville, AR 72703-0003 Trustee	Since 2000	President, Flying Investments, November 2006 - present. Owner Jones Motorcars, Inc. 1957 - October 2006.	19	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 (UNAUDITED) (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 Trusteee
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

Patricia A. Weiland (8/25/59) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President and Chief Compliance Officer	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.GuideStone.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.GuideStone.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.

161

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 GCM (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 September 13-14, 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 and at the meeting held on May 22-23, 2006, 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. A lengthy discussion also took place among the Trustees, management, Fund counsel and counsel to the Independent Trustees regarding the information presented for the Select and Blended Funds, including the management fees charged by the Blended Funds and the Select Funds as well as the sub-advisory fees, during executive sessions held prior to the meeting.

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 and at the May meeting, the presentations made during the meeting, and the extensive discussions during the meeting and at the May 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 Adviser, including overseeing and managing the allocation of

162

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 has as 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 at the May meeting. The Trustees determined that the management fees (combined advisory and sub-advisory fees) for each Select Fund were 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 were 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 June 30, 2006. 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 Extended Duration Bond Fund and Growth Equity Fund for the one-year period ended June 30, 2006 and the Small Cap Equity Fund for the one and three-year periods ended June 30, 2006. The Trustees evaluated the performance of the Small Cap Equity Fund, which ranked in the fourth quartile for the three-year period ended June 30, 2006 and in the third quartile for the three-year period ended February 28, 2006. The Trustees also noted that the average annual total returns for the Blended Funds for the three-year period ended June 30, 2006 were above the median of unaffiliated funds in the Funds’ Lipper peer groups for the same time period, except for the Global Equity Fund. The Trustees noted that 18 out of 28 sub-advisers to the Funds with three-year performance history outperformed their respective benchmarks for the three-year period ended June 30, 2006 and that the Adviser

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added economic value to the Funds through the selection of sub-advisers. The Trustees acknowledged that changes had been made to the sub-adviser line-up for the Small Cap Equity Fund in 2005 for the purpose of improving Fund performance.

The Trustees considered the costs to the Adviser of serving as the 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 on a Fund-by-Fund basis with revenues and expenses allocated based on average Fund net assets, one without taking into account sub-advisory fee expenses borne by the Fund, the 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, the Small Cap Equity Fund and the International 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 and at the May meeting, the presentations made during the meeting and at the May 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.

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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 universe of similarly managed funds for the period of time the sub-adviser performed advisory services on behalf of the Select Fund. The Trustees noted sub-advisers did underperform the relevant benchmark for the year-to-date and one-year periods ended June 30, 2006. Two of the sub-advisers outperformed the benchmark for the two-year period ended June 30, 2006.

Four sub-advisers underperformed the relevant Fund benchmark over the three-year period ended June 30, 2006 and two of the sub-advisers also underperformed the relevant Fund benchmark for the year-to-date and one-year periods ended June 30, 2006. The Trustees noted that, in certain cases, market trends, changes in personnel and a 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 any 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 light of information presented at the May Board meeting. The Trustees noted that at the May Board meeting, they had concluded that the profitability estimates provided by each sub-adviser who completed a profitability questionnaire fell within industry norms, except in the case of one sub-adviser. With regard to that sub-adviser, the Board 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 Fund. For the three sub-advisers that did not provide profitability information, the Trustees had 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 at the May meeting 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 also considered the Adviser’s representations that no sub-adviser experienced any material change in its financial condition since the date of its most recent audited financial statements.

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.

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 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 AND APPROVAL OF NEW SUB-ADVISORY AGREEMENTS FOR LOW-DURATION BOND FUND, MONEY MARKET FUND AND INTERNATIONAL EQUITY FUND

In conjunction with the Board’s consideration of the renewal of the Sub-Advisory Agreements, the Board, including all of the Independent Trustees, as required by the 1940 Act, also considered the approval of (i) the Sub-Advisory Agreement

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among GCM, BlackRock Financial Management, Inc. (“BFM”) and the Trust on behalf of the Low-Duration (the “BFM Sub-Advisory Agreement”); (ii) the Sub-Advisory agreement among GCM, BlackRock Institutional Management Corporation (“BIMC”) and the Trust on behalf of the Money Market Fund (the “BIMC Sub-Advisory Agreement”) and (iii) the Sub-Advisory Agreement among GCM, Walter Scott & Partners Limited (“WSP”) and the Trust on behalf of the International Equity Fund (the “WSP Sub-Advisory Agreement”).

Approval of Sub-Advisory Agreement For Low-Duration Bond Fund

BlackRock Advisers, Inc., which was responsible for managing a portion of the assets of the Low-Duration Bond Fund, is and was controlled by BlackRock, Inc. On September 29, 2006, BlackRock Advisers, Inc. underwent a corporate restructuring, whereby Merrill Lynch Investment Management, a financial management and advisory company, now owns a majority equity interest in BlackRock, Inc. The remaining interests in BlackRock, Inc. are largely held by a broad group of key professionals within the organization. As a result the advisory business of BlackRock Advisers, Inc. has undergone a change of control and been restructured as BFM, a Delaware limited liability company.

At the September 13-14, 2006 meeting, the Board, including a majority of the Independent Trustees, considered the appointment of BFM as sub-adviser to the Low-Duration Bond Fund, as proposed by the Adviser. The Board reviewed information provided by BFM in connection with its consideration of the appointment, as well as the proposed new sub-advisory agreement. The Board reviewed the services proposed and analyzed the factors they deemed relevant, noting that the nature, quality and scope of the services to be provided to the Low-Duration Bond Fund would not change as a result of the corporate restructuring. The Board also considered the proposed compensation for services provided by BFM as a sub-adviser to the Low-Duration Bond Fund, which did not result in an increase in management fees for the Low-Duration Bond Fund.

The Board noted that the BFM Sub-Advisory Agreement is substantially identical to the Low-Duration Bond Fund’s former sub-advisory agreement with BlackRock Advisers, Inc. The fees payable to BFM under the new sub-advisory agreement are identical to the fees under the former sub-advisory agreement. The Board also noted that there are no changes to the investment personnel or to the services provided to the Low-Duration Bond Fund as a result of the corporate restructuring. The Board also considered the favorable past performance history of the investment management team at BlackRock Advisers, Inc., now BFM, in managing its assigned segment of the Low-Duration Bond Fund, noting that BlackRock Advisers, Inc. significantly outperformed the relevant benchmark for the Fund in all years as well as the median for the peer universe of similarly managed funds.

Approval of Sub-Advisory Agreement For Money Market Fund

BlackRock Institutional Management Corporation, which was responsible for managing the assets of the Money Market Fund, is and was controlled by BlackRock, Inc. On September 29, 2006, BlackRock Institutional Management Corporation underwent a corporate restructuring whereby Merrill Lynch Investment Management now owns a majority equity interest in BlackRock, Inc. As a result, the advisory business of BlackRock Institutional Management Corporation has been restructured as a Delaware limited liability company with the same name.

At the September 13-14, 2006 meeting, the Board, including a majority of the Independent Trustees, considered the appointment of BIMC as sub-adviser to the Money Market Fund, as proposed by the Adviser. The Board reviewed information provided by BIMC in connection with its consideration of the appointment, as well as the proposed new sub-advisory agreement. The Board reviewed the services proposed and analyzed the factors they deemed relevant, noting that the nature, quality and scope of the services to be provided to the Money Market Fund would not change as a result of the corporate restructuring. The Board also considered the proposed compensation for services provided by BIMC as sub-adviser to the Money Market Fund, which did not result in an increase in management fees for the Money Market Fund.

The Board noted that the BIMC Sub-Advisory Agreement is substantially identical to the Money Market Fund’s former sub-advisory agreement with BlackRock Institutional

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Management Corporation. The fees payable to BIMC under the new sub-advisory agreement are identical to the fees under the former sub-advisory agreement. The Board also noted that there are no changes to the investment personnel or to the services provided to the Money Market Fund as a result of the corporate restructuring. The Board also considered the favorable past performance history of the investment management team at BlackRock Institutional Management Corporation in managing the Money Market Fund, noting that BlackRock Institutional Management Corporation significantly outperformed the relevant benchmark for the Fund in all years.

Approval of Sub-Advisory Agreement For International Equity Fund

Walter Scott & Partners Limited, which was responsible for managing a portion of the assets of the International Equity Fund, underwent a financial restructuring, resulting in a change in control. Mellon Asset Management, a large global asset management firm located in the United States, now owns a controlling interest in Walter Scott. The advisory business of Walter Scott will remain an independent subsidiary with no change to its structure or investment philosophy.

At the September 13-14, 2006 meeting, the Board, including a majority of the Independent Trustees, considered the appointment of Walter Scott as sub-adviser to the International Equity Fund, as proposed by the Adviser. The Board had attended a presentation by senior management of Walter Scott at its July 27-28, 2006 meeting, during which management had discussed the reasons for entering the transaction with Mellon Asset Management, which included gaining back office efficiencies and compliance assistance. The purchase transaction would present opportunities for broadening Walter Scott’s client base, creating efficiencies to manage client assets, and utilizing the comprehensive compliance systems that Mellon Asset Management has in place. Management of Walter Scott noted that autonomy with respect to its investment management process would be preserved, and that there would be no change in the nature, quality and scope of the services provided to the International Equity Fund as a result of the acquisition.

The Board reviewed information provided by Walter Scott in connection with its consideration of the appointment, as well as the proposed new sub-advisory agreement. It was noted that this financial restructuring would infuse capital while retaining the existing culture and independence of Walter Scott & Partners Limited. In considering the appointment of Walter Scott, the Board reviewed the services proposed and analyzed the factors they deemed relevant, noting that the nature, quality and scope of the services to be provided to the International Equity Fund would not change as a result of the acquisition. The Board also considered the proposed compensation for Walter Scott’s services as a sub-adviser to the International Equity Fund, which did not result in an increase in management fees and the total management fee paid by the International Equity Fund, which did not change, relative to its peers.

The Board noted that the WSP Sub-Advisory Agreement is substantially identical to the International Equity Fund’s former sub-advisory agreement with Walter Scott & Partners Limited. The fees payable to Walter Scott under the WSP Sub-Advisory Agreement are identical to the fees under the former sub-advisory agreement. The Board also noted that there are no changes to the investment personnel or to the services provided to the International Equity Fund as a result of the acquisition. The Board also considered the favorable past performance history of the investment management team at Walter Scott & Partners Limited in managing its assigned segment of the International Equity Fund, noting that Walter Scott & Partners Limited’s performance was in line with the relevant benchmark for the Fund in most years.

BOARD REVIEW OF NEW INVESTMENT ADVISORY AGREEMENT FOR REAL ESTATE SECURITIES FUND AND GLOBAL BOND FUND

As required by the 1940 Act, the Board, including all of the Independent Trustees considered the approval of the investment agreement between GCM and the Trust on behalf of the Real Estate Securities Fund and the Global Bond Fund (the “New Advisory Agreement”). The New Advisory

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Agreement was approved for a one-year term at a meeting of the Board held on September 13-14, 2006. The Board’s decision to approve the New Advisory Agreement reflects the exercise of its business judgment. In approving the New Advisory Agreement, the Board considered information provided by the Adviser and each sub-adviser to the new series 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 noted previously formed the basis for the Board’s determination to approve the New Advisory Agreement. No one factor was determinative in the Board’s consideration of the New Advisory Agreement.

The Board undertook a review of the terms of the New Advisory Agreement and the nature and quality of the services provided by the Adviser and each sub-adviser. The Board conducted its analysis on the Real Estate Securities Fund and Global Bond Fund 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 Funds, two sub-advisory firms and the Adviser prior to and during the meeting and at the meeting held on July 27-28, 2006, which information addressed most, if not all, of the factors previously noted. Management also provided additional information about the Adviser and each sub-adviser in presentations made during the meeting and at the July Board 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 approval of the New Advisory Agreement as well as the Trustees’ responsibilities and duties in approving the Agreement. A lengthy discussion also took place among the Trustees, management, Fund counsel and counsel to the Independent Trustees regarding the information presented for the Funds, including the management fees charged by the Funds as well as the sub-advisory fees, during executive sessions held prior to and during the meeting.

APPROVAL OF NEW INVESTMENT ADVISORY AGREEMENT FOR REAL ESTATE SECURITIES FUND AND GLOBAL BOND FUND

In considering the approval of the New Advisory Agreement with the Adviser, on behalf of the new series, the Trustees took into account all the materials provided prior to and during the meeting and at the July 27-28, 2006 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 Real Estate Securities Fund and the Global Bond Fund. The Trustees evaluated the Adviser’s experience in serving as an Adviser, including overseeing and managing the allocation of Select Fund assets among the sub-advisers. The Trustees noted the experience of key personnel at the Adviser. The Trustees noted the reputation, compliance history, compliance program, and financial condition of the Adviser. The Trustees also noted the terms of the advisory agreements and the responsibilities that the Adviser currently has as Adviser to the Select Funds. The Trustees concluded that the Real Estate Securities Fund and the Global Bond Fund are each 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 noted that the Adviser conducted extensive research in connection with the organization and investment strategy of the Real Estate Securities Fund and Global Bond Fund. The Trustees also noted the Adviser’s due diligence with respect to the evaluation and recommendation of sub-advisers to manage each Fund.

The Trustees examined the fee and expense information for the Real Estate Securities Fund and the Global Bond Fund in comparison to the fees and expenses of other similarly managed funds for the GS4 class. The Trustees noted that the management fees (combined advisory and sub-advisory fees) for the Real Estate Securities Fund fell above the median for its peers and resided in the third quartile and that the management fees for the Global Bond Fund fell below the median for its peers and resided in the first quartile. The Trustees noted that the Adviser indicated that it will contractually agree to waive and reimburse expenses of the Real Estate Securities Fund and the Global Bond Fund to limit total annual operating expenses of each Fund. Taking the expense waivers and reimbursements into account, the Trustees concluded that the level of each Fund’s management fees and expense ratios was reasonable and compared fairly to that of comparable mutual funds. The Trustees noted the Adviser’s history with the Trust and that the Adviser added economic value to the other Select Funds.

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Based on the information presented to the Board and its evaluation of that information, the Board, in the exercise of its reasonable business judgment, determined to approve the investment advisory agreement with the Adviser.

BOARD REVIEW OF NEW SUB-ADVISORY AGREEMENTS FOR REAL ESTATE SECURITIES FUND AND GLOBAL BOND FUND

As required by the 1940 Act, the Board, including all of the Independent Trustees considered the approval of (i) the approval of the sub-advisory agreement among the Adviser, RREEF America L.L.C. (“RREEF”) and the Trust on behalf of the Real Estate Securities Fund (the “RREEF Sub-Advisory Agreement”); and (ii) the approval of the sub-advisory agreement among the Adviser, Western Asset Management Company (“WAMCO”) and Western Asset Management Limited (“WAML”) (WAMCO and WAML together known as “Western”), and the Trust on behalf of the Global Bond Fund (the “Western Sub-Advisory Agreement”). The RREEF Sub-Advisory Agreement and the Western Sub-Advisory Agreement (together, the “New Sub-Advisory Agreements”) were each approved for a one-year term at the meeting of the Board held on September 13-14, 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 and each sub-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 noted previously formed the basis for the Board’s determination to approve the New Sub-Advisory Agreements. 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 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 previously. 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 FOR REAL ESTATE SECURITIES FUND AND GLOBAL BOND FUND

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 RREEF and Western the Real Estate Securities Fund and Global Bond Fund, respectively. The Trustees evaluated each sub-adviser’s experience in serving as a sub-adviser to its client accounts and portfolios and noted that Western currently provides investment advice to various clients, including to other series of the Trust and that RREEF currently provides investment advice to an unregistered fund offered by GuideStone Financial Resources. 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 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 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 Real Estate Securities Fund and Global Bond Fund are 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 client accounts and portfolios, including

169

a comparison with the relevant benchmark for the respective Fund and the peer universe of similarly managed 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 reviewed the services to be provided to each Fund by each sub-adviser, examined the investment philosophy and process of each sub-adviser and noted that each sub-adviser would fulfill a particular investment mandate for the Real Estate Securities Fund and Global Bond Fund. The Trustees concluded that, although past performance is no guarantee of future performance, the composite performance record for the client accounts and portfolios managed by each sub-adviser was favorable and that both Funds were likely to benefit from the investment management expertise of each sub-adviser.

The Trustees examined composite performance information for the 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 respective Fund. With regard to proposed fees, the Trustees noted that the proposed sub-advisory fees include breakpoints at various asset levels. The Trustees noted that the management fees (combined advisory and sub-advisory fees) for the Real Estate Securities Fund fell above the median for its peers and resided in the third quartile, and that the management fees for the Global Bond Fund fell below the median for its peers and resided in the first quartile. The Trustees also considered the voluntary waiver and expense limitation arrangements that the Adviser has entered into with the Funds to limit total annual operating expenses of the Funds until April 30, 2008. Taking the expense waivers and reimbursements into account, the Trustees concluded that the level of each Fund’s management fees and expense ratios was reasonable and compared fairly to that of comparable mutual funds.

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 Funds.

The Trustees reviewed information regarding the compliance history and compliance program of each firm, noting that RREEF and Western 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 or another product offered by GuideStone Financial Resources, 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, concluded that the approval of the New Sub-Advisory Agreements was reasonable and fair to the Trust and its shareholders and determined to approve each New Sub-Advisory Agreement.

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INVESTMENT SUB-ADVISERS (Assets under management as of 12/31/06)

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	$	1.1Tr
Low-Duration Bond	BlackRock Financial Management, Inc	1988		1.1Tr
	Payden & Rygel	1983		54.1B
	PIMCO (Pacific Investment Management Company, LLC)	1971		667.8B
Medium-Duration Bond	Goldman Sachs Asset Management, L.P.	1984		664.4B
	PIMCO (Pacific Investment Management Company, LLC)	1971		667.8B
	Western Asset Management Company	1971		574.6B
Extended-Duration Bond	Loomis, Sayles & Company, L.P.	1926		96.5B
	STW Fixed Income Management, Ltd.	1977		10.7B
Global Bond	Western Asset Management Company	1971		574.6B
Equity Index	Northern Trust Investments, N.A.	1889		697.2B
Real Estate Securities	RREEF America, LLC	1975		73.1B
Value Equity	Aronson+Johnson+Ortiz, LP	1984		28.3B
	Barrow, Hanley, Mewhinney & Straus, Inc.	1979		65.5B
	Equinox Capital Management, LLC	1989		6.8B
	Northern Trust Investments, N.A.	1889		697.2B
	TCW Investment Management Company	1971		145.0B
Growth Equity	Marsico Capital Management, LLC	1997		83.7B
	RCM Capital Management, LLC	1970		152.2B
	Sands Capital Management, LLC	1992		19.6B
	TCW Investment Management Company	1971		145.0B
Small Cap Equity	Aronson+Johnson+Ortiz, L.P.	1984		28.3B
	Lord, Abbett & Company, LLC	1929		112.2B
	Lotsoff Capital Management	1981		5.8B
	Provident Investment Council, Inc.	1951		3.2B
	TimesSquare Capital Management, LLC	2000		8.7B
International Equity	AllianceBernstein, L.P.	1962		716.9B
	Capital Guardian Trust Company	1968		161.9B
	Genesis Asset Managers, LLP	1990		20.9B
	Mondrian Investment Partners Ltd.	1990		53.1B
	Oechsle International Advisors, LLC	1998		15.4B
	Philadelphia International Advisors, L.P.	1956		8.4B
	Walter Scott & Partners Ltd.	1983		30.9B
Custodian for GuideStone Funds Assets	The Northern Trust Company	1889		3.5Tr

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.GuideStone.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		Funds distributed by PFPC Distributors, Inc.
		1.800.262.0511 • www.GuideStone.org		760 Moore Road, King of Prussia, PA 19406

Item 2.

Code of Ethics.

(a)

The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

(c)

There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description.

(d)

The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.

Item 3.

Audit Committee Financial Expert.

As of the end of the period covered by the report, the registrant’s board of directors has determined that Kevin Mahoney is qualified to serve as an audit committee financial expert serving on its audit committee and that he is “independent,” as defined by Item 3 of Form N-CSR.

Item 4.

Principal Accountant Fees and Services.

Audit Fees

(a)

The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $265,000 and $306,800 for 2005 and 2006, respectively.

Audit-Related Fees

(b)

The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $23,000 and $28,000 for 2005 and 2006, respectively. These fees are for Rule 17F-2 security counts and a non-recurring N-1A filing.

Tax Fees

(c)

The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $60,400 and $65,900 for 2005 and 2006, respectively. Tax fees are for excise calculation review and review of US Income Tax Return

All Other Fees

(d)

The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2005 and 2006, respectively.

(e)(1)

Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

GuideStone

Non-Audit Services Provided to the Company, Advisor, and Others

The Audit Committee shall pre-approve all permissible non-audit services (e.g., tax services) to be provided to the Company by the Auditors, including the fees therefor;

provided, that if the Committee chooses to delegate the authority to grant pre-approvals to one or more Committee members, each acting on behalf of the Committee, then the Committee shall adopt policies and procedures detailed as to the particular service and designed to safeguard the continued independence of the auditors, consistent with the requirements of the Sarbanes-Oxley Act of 2002 (the “S-O Act”) and related SEC regulations, which shall then be used in making such pre-approvals; and,

further provided, that each delegated pre-approval shall be reported to the Committee during its next regularly scheduled meeting.

The pre-approval requirement for a permitted non-audit service may be waived if:

(1)

the aggregate amount of all such non-audit services provided constitutes not more than 5% of the total revenues paid by the Company to the Auditors in the fiscal year in which the non-audit services are provided;

(2)

such services were not recognized by the Company at the time of the engagement to be non-audit services; and

(3)

such services are promptly brought to the attention of, and approved by, the Audit Committee or by a member of the Audit Committee to whom the Committee has delegated the authority to grant such approvals, if any, prior to the Auditors’ completion of the Company’s audit.

Additionally, if the Auditors’ engagement relates directly to the operations and financial reporting of the Company, to the extent required by Rule 2-01 of Regulation S-X, the Audit Committee shall pre-approve their engagements for non-audit services with:

(1)

the Advisor (excluding any subadviser whose role is primarily portfolio management and is sub-contracted or overseen by the Advisor), and

(2)

any entity controlling, controlled by, or under common control with such Advisor that provides ongoing services to the Company (each, a “Control Entity”)

in accordance with the foregoing paragraph, unless the aggregate amount of all services provided constitutes no more than 5% of the total amount of revenues paid to the Auditors by the Company, the Advisor and any such Control Entity during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee pursuant to this paragraph (in the absence of this exception). The Auditors may not perform contemporaneously any prohibited non-audit services for the Company, which currently include the following:

bookkeeping or other services related to the accounting records or financial statements of the Company;

financial information systems design and implementation;

appraisal or valuation services, fairness opinions, or contribution-in-kind reports;

actuarial services;

internal audit outsourcing services;

management functions or human resources;

broker or dealer, investment adviser, or investment banking services;

legal services and expert services unrelated to the audit; and

any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible.

(e)(2)

The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:

(b)

100%

(c)

100%

(d)

Not applicable

(f)

The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

(g)

The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $83,400 and $93,900 for 2005 and 2006, respectively.

(h)

The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

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.

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)). However, prior to the filing of the Registrant’s Form N-CSR, such principal officers had become aware of matters relating to the Registrant’s reporting of certain financial highlights information that necessitated restatement of financial highlight information included in Item 1 of this filing. As a result, management of the Registrant has reevaluated certain disclosure controls and procedures determined not to be effective, as discussed more fully below.

Prior to the filing of this Form N-CSR, the registrant identified the following control deficiency existed as of and prior to December 31, 2006, that was determined to be a material weakness in the registrant’s internal control over financial reporting. The registrant’s control over the process used to accumulate, review and report the net investment income per share and dividends per share for the Money Market Fund did not operate effectively. As a result, net investment income per share and dividends per share of the Money Market Fund were computed incorrectly. This control deficiency resulted in an audit adjustment to the 2006 calculations and a restatement in the financial highlights of the Money Market Fund’s 2005 net investment income and dividends per share as included in Item 1 of this filing.

Since December 31, 2006 and prior to the filing of this Form N-CSR, management of the registrant has revised and enhanced its internal control over financial reporting, and in doing so, increased the effectiveness of such controls, so that such financial highlight information is presented in accordance with generally accepted accounting principles.

(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 second half of the registrant’s fiscal year that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. However, as discussed above, subsequent to December 31, 2006, the Registrant is further enhancing controls related to the reporting of certain financial highlights information.

Item 12.

Exhibits.



(a)(1)		Code of ethics that is the subject of disclosure required by Item 2 is incorporated by reference to the registrant’s Form N-CSR as filed with the SEC on March 4, 2005 (SEC Accession No. 0000893220-05-000465).

(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.

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 March 6, 2007

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 March 6, 2007

By (Signature and Title)*		/s/ Jeffrey P. Billinger
		Jeffrey P. Billinger, Vice President and Treasurer
		(principal financial officer)

Date March 6, 2007

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

GuideStone Funds N-CSRCertified annual shareholder report (management investment company)