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: 811-09997
Baird Funds, Inc.
(Exact name of registrant as specified in charter)
777 East Wisconsin Avenue
Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)
Charles M. Weber
Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
(Name and address of agent for service)
1-866-442-2473
Registrant's telephone number, including area code
Date of fiscal year end: December 31, 2008
Date of reporting period: June 30, 2008
Item 1. Report to Stockholders.
Semi-Annual Report - Baird Funds
Baird Intermediate Bond Fund
Baird Aggregate Bond Fund
Baird Intermediate Municipal Bond Fund
Baird Core Plus Bond Fund
Baird Short-Term Bond Fund
TABLE OF CONTENTS
Page | |
Baird Intermediate Bond Fund | 1 |
Baird Aggregate Bond Fund | 17 |
Baird Intermediate Municipal Bond Fund | 36 |
Baird Core Plus Bond Fund | 46 |
Baird Short-Term Bond Fund | 61 |
Additional Information on Fund Expenses | 74 |
Statements of Assets and Liabilities | 76 |
Statements of Operations | 77 |
Statements of Changes in Net Assets | 78 |
Financial Highlights | 83 |
Notes to the Financial Statements | 92 |
Additional Information | 105 |
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
Cautionary Note on Analyses, Opinions and Outlooks: In this report we offer analyses and opinions on the performance of individual securities, companies, industries, sectors, markets, interest rates and governmental policies, including predictions, forecasts and outlooks regarding possible future events. These can generally be identified as such because the context of the statements may include such words as “believe,” “should,” “will,” “expects,” “anticipates,” “hopes” and words of similar effect. These statements reflect the portfolio managers’ good faith beliefs and judgments and involve risks and uncertainties, including the risk that the portfolio managers’ analyses, opinions and outlooks are or will prove to be inaccurate. It is inherently difficult to correctly assess and explain the performance of particular securities, sectors, markets, interest rate movements, governmental actions or general economic trends and conditions, and many unforeseen factors contribute to the performance of Baird Funds. Investors are, therefore, cautioned not to place undue reliance on subjective judgments contained in this report.
Baird Intermediate Bond Fund
The Baird Intermediate Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Lehman Brothers Intermediate Government/Credit Bond Index. The Lehman Brothers Intermediate Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt, including government and corporate securities, with maturities between one and ten years.
Portfolio Characteristics
Quality Distribution* | Sector Weightings* |
Net Assets: | $448,060,037 | Annualized Expense Ratio: | |||
SEC 30-Day Yield:** | Institutional Class: | 0.30 | % | ||
Institutional Class: | 5.45% | Investor Class: | 0.55 | %*** | |
Investor Class: | 5.20% | Portfolio Turnover Rate:**** | 29.4 | % | |
Average Effective Duration: | 3.81 years | Total Number of Holdings: | 285 | ||
Average Effective Maturity: | 4.95 years |
* | Percentages shown are based on the Fund’s total net assets. | |
** | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2008. | |
*** | Includes 0.25% 12b-1 fee. | |
**** | Not annualized. |
Page 1
Baird Intermediate Bond Fund
Average Annual Total Returns
Since | |||
For the Periods Ended June 30, 2008 | One Year | Five Years | Inception(1) |
Baird Intermediate Bond Fund – Institutional Class Shares | 4.99% | 3.52% | 5.70% |
Baird Intermediate Bond Fund – Investor Class Shares | 4.59% | 3.24% | 5.43% |
Lehman Brothers Intermediate Government/Credit Bond Index(2) | 7.37% | 3.49% | 5.69% |
(1) | For the period from September 29, 2000 (commencement of operations) through June 30, 2008. |
(2) | The Lehman Brothers Intermediate Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt including government and corporate securities with maturities between one and 10 years. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 2
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 98.9% | |||||||
Asset Backed Securities – 3.6% | |||||||
$ | 925,000 | American Express Credit | |||||
Account Master Trust, | |||||||
Series 2005-5, Class A, | |||||||
4.276%, 02/15/2013 | $ | 913,817 | |||||
229,441 | Amresco Residential | ||||||
Securities Mortgage Loan | |||||||
Trust, Series 1998-1, Class | |||||||
A6, 6.51%, 08/25/2027 | 225,649 | ||||||
75,631 | Bayview Financial | ||||||
Acquisition Trust, | |||||||
Series 2005-B, Class 1A2, | |||||||
4.696%, 04/28/2039 | 75,495 | ||||||
7,294 | CitiFinancial Mortgage | ||||||
Securities, Inc., | |||||||
Series 2004-1, Class AF2, | |||||||
2.645%, 04/25/2034 | 7,043 | ||||||
573 | Contimortgage Home | ||||||
Equity Trust, | |||||||
Series 1999-1, Class A7, | |||||||
6.97%, 12/25/2013 | 565 | ||||||
Countrywide Asset-Backed | |||||||
Certificates: | |||||||
2,215,000 | Series 2006-S3, Class A2, | ||||||
6.085%, 06/25/2021 | 1,245,485 | ||||||
2,200,000 | Series 2005-12, Class 1A2, | ||||||
4.847%, 02/25/2026 | 2,197,892 | ||||||
4,000,000 | Series 2006-13, Class 1AF2, | ||||||
5.884%, 01/25/2037 | 3,662,920 | ||||||
375,000 | Series 2006-13, Class 1AF3, | ||||||
5.944%, 01/25/2037 | 304,844 | ||||||
1,380,000 | Series 2006-9, Class 1AF3, | ||||||
5.859%, 10/25/2046 | 1,245,504 | ||||||
Delta Funding Home | |||||||
Equity Loan Trust: | |||||||
95,589 | Series 1997-2, Class A6, | ||||||
7.04%, 06/25/2027 | 95,575 | ||||||
76,737 | Series 1999-1, Class A6F, | ||||||
6.34%, 12/15/2028 | 74,279 | ||||||
538,268 | Series 1999-2, Class A7F, | ||||||
7.03%, 08/15/2030 | 532,714 | ||||||
Discover Card | |||||||
Master Trust I: | |||||||
150,000 | Series 2003-4, Class A1, | ||||||
4.346%, 05/15/2011 | 149,605 | ||||||
175,000 | Series 2005-2, Class A, | ||||||
4.266%, 04/17/2012 | 174,096 | ||||||
37,826 | Equivantage Home | ||||||
Equity Loan Trust, | |||||||
Series 1996-3, Class A3, | |||||||
7.70%, 09/25/2027 | 29,244 | ||||||
GMAC Mortgage | |||||||
Corporation Loan Trust: | |||||||
701,307 | Series 2004-GH1, Class A2, | ||||||
4.39%, 12/25/2025 | 695,662 | ||||||
250,000 | Series 2005-HE3, Class A2, | ||||||
3.526%, 02/25/2036 | 196,815 | ||||||
Green Tree Financial | |||||||
Corporation: | |||||||
1,010,003 | Series 1998-2, Class A5, | ||||||
6.24%, 11/01/2016 | 963,269 | ||||||
71,208 | Series 1993-4, Class A5, | ||||||
7.05%, 01/15/2019 | 69,735 | ||||||
1,312,483 | Series 1998-3, Class A5, | ||||||
6.22%, 03/01/2030 | 1,181,205 | ||||||
486,598 | Series 1998-4, Class A5, | ||||||
6.18%, 04/01/2030 | 437,038 | ||||||
1,081,594 | Series 1999-3, Class A6, | ||||||
6.50%, 02/01/2031 | 1,081,577 | ||||||
85,247 | IMC Home Equity Loan | ||||||
Trust, Series 1998-1, Class | |||||||
A6, 7.02%, 06/20/2029 | 85,119 |
The accompanying notes are an integral part of these financial statements.
Page 3
Baird Intermediate Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 98.9% (cont.) | |||||||
Asset Backed Securities – 3.6% (cont.) | |||||||
$ | 207,977 | Oakwood Mortgage | |||||
Investors, Inc., | |||||||
Series 1999-B, Class A3, | |||||||
6.45%, 11/15/2017 | $ | 180,531 | |||||
21,960 | Residential Asset | ||||||
Mortgage Products, Inc., | |||||||
Series 2003-RS7, Class AI6, | |||||||
5.34%, 08/25/2033 | 20,192 | ||||||
182,317 | Structured Asset Securities | ||||||
Corporation, Series | |||||||
2005-2XS, Class 1A2A, | |||||||
4.51%, 02/25/2035 | 170,520 | ||||||
16,016,390 | |||||||
Financial – 19.6% | |||||||
875,000 | Allfirst Financial, Inc. | ||||||
Subordinated Notes, | |||||||
6.875%, 06/01/2009 | 895,728 | ||||||
American General Finance | |||||||
Corporation Notes: | |||||||
25,000 | 4.625%, 09/01/2010 | 24,223 | |||||
550,000 | 4.00%, 03/15/2011 | 511,470 | |||||
630,000 | AmSouth Bancorporation | ||||||
Subordinated Debentures, | |||||||
6.75%, 11/01/2025 | 595,974 | ||||||
500,000 | AMVESCAP PLC Notes, | ||||||
5.375%, 02/27/2013 f | 470,779 | ||||||
1,335,000 | Anthem, Inc., | ||||||
6.80%, 08/01/2012 | 1,381,838 | ||||||
635,000 | Bank of America | ||||||
Corporation Subordinated | |||||||
Notes, 10.20%, 07/15/2015 | 770,005 | ||||||
1,450,000 | Bank of Tokyo- | ||||||
Mitsubishi/UFJ NY, | |||||||
7.40%, 06/15/2011 f | 1,534,287 | ||||||
Bank One Corporation | |||||||
Subordinated Notes: | |||||||
180,000 | 6.00%, 02/17/2009 | 181,061 | |||||
1,043,000 | 10.00%, 08/15/2010 | 1,123,359 | |||||
125,000 | Bank United Subordinated | ||||||
Notes, 8.00%, 03/15/2009 | 121,562 | ||||||
2,695,000 | BankAmerica Institutional, | ||||||
8.07%, 12/31/2026 | |||||||
(Acquired 01/04/2006, | |||||||
06/01/2006, 10/11/2006, | |||||||
01/24/2007, 05/07/2007, | |||||||
09/21/2007 and 11/06/2007; | |||||||
Cost $500,456, $682,331, | |||||||
$417,508, $26,010, | |||||||
$52,079, $104,000 and | |||||||
$1,037,550, respectively)* | 2,705,001 | ||||||
2,500,000 | Banponce Trust I, | ||||||
8.327%, 02/01/2027 | |||||||
(Callable 09/02/2008) | 2,381,312 | ||||||
1,000,000 | Bear Stearns Company, Inc., | ||||||
6.40%, 10/02/2017 | 988,191 | ||||||
1,000,000 | BOI Capital Funding No. 2, | ||||||
5.571%, 02/01/2049 | |||||||
(Acquired 01/20/2006; | |||||||
Cost $1,000,000)* f | 674,830 | ||||||
520,000 | CIT Group Company | ||||||
of Canada, | |||||||
5.20%, 06/01/2015 f | 358,169 | ||||||
CIT Group, Inc.: | |||||||
200,000 | 5.40%, 01/30/2016 | 137,739 | |||||
1,500,000 | 6.10%, 03/15/2067 | ||||||
(Callable 03/15/2017) | 689,640 | ||||||
1,000,000 | Citigroup, Inc., | ||||||
5.50%, 04/11/2013 | 975,977 | ||||||
1,000,000 | Compass Bank | ||||||
Subordinated Notes, | |||||||
8.10%, 08/15/2009 | 1,016,591 |
The accompanying notes are an integral part of these financial statements.
Page 4
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 98.9% (cont.) | |||||||
Financial – 19.6% (cont.) | |||||||
$ | 1,760,000 | Corestates Capital Trust I, | |||||
8.00%, 12/15/2026 | |||||||
(Acquired 11/29/2005 | |||||||
and 10/10/2007; Cost | |||||||
$276,398 and $1,555,065, | |||||||
respectively)* | $ | 1,803,915 | |||||
275,000 | Corp Andina | ||||||
De Fomento Notes, | |||||||
7.375%, 01/18/2011 f | 290,937 | ||||||
1,900,000 | Countrywide Financial | ||||||
Corporation Subordinated | |||||||
Notes, 6.25%, 05/15/2016 | 1,691,654 | ||||||
416,065 | First National Bank | ||||||
of Chicago Pass-Thru | |||||||
Certificates, | |||||||
8.08%, 01/05/2018 | 493,595 | ||||||
2,600,000 | First National Bank of | ||||||
Omaha Subordinated Notes, | |||||||
7.32%, 12/01/2010 | 2,763,730 | ||||||
2,025,000 | First Union Capital, Series | ||||||
A, 7.935%, 01/15/2027 | |||||||
(Callable 09/02/2008) | 2,044,924 | ||||||
775,000 | FMR Corporation Notes, | ||||||
4.75%, 03/01/2013 | |||||||
(Acquired 02/26/2003; | |||||||
Cost $777,379)* | 761,407 | ||||||
2,300,000 | GE Global Insurance | ||||||
Holding Corp., | |||||||
7.50%, 06/15/2010 | 2,405,427 | ||||||
800,000 | General Electric Capital | ||||||
Corporation Notes, | |||||||
6.00%, 06/15/2012 | 826,709 | ||||||
General Motors Acceptance | |||||||
Corporation Notes: | |||||||
1,025,000 | 7.75%, 01/19/2010 | 876,509 | |||||
200,000 | 6.75%, 12/01/2014 | 132,089 | |||||
1,100,000 | Genworth Financial | ||||||
Inc. Notes, | |||||||
5.75%, 06/15/2014 | 1,066,244 | ||||||
1,975,000 | Glencore Funding LLC, | ||||||
6.00%, 04/15/2014 | |||||||
(Acquired 03/31/2004, | |||||||
02/02/2005, 04/26/2006 | |||||||
and 12/04/2006; Cost | |||||||
$794,280, $146,738, | |||||||
$282,792 and $720,432, | |||||||
respectively)* | 1,886,617 | ||||||
775,000 | Goldman Sachs Group, Inc. | ||||||
Bonds, 5.15%, 01/15/2014 | 750,177 | ||||||
1,800,000 | Great West Life & | ||||||
Annuity Insurance, | |||||||
7.153%, 05/16/2046 | |||||||
(Acquired 05/16/2006 and | |||||||
11/08/2007; Cost | |||||||
$1,000,000 and $792,736)* | 1,610,620 | ||||||
1,195,000 | Health Care Service | ||||||
Corporation Notes, | |||||||
7.75%, 06/15/2011 | |||||||
(Acquired 06/20/2001, | |||||||
01/26/2005 and | |||||||
10/19/2006; Cost | |||||||
$497,765, $373,500 and | |||||||
$397,317, respectively)* | 1,287,828 | ||||||
420,000 | Highmark, Inc. Notes, | ||||||
6.80%, 08/15/2013 | |||||||
(Acquired 08/14/2003 and | |||||||
03/13/2008; Cost $399,088 | |||||||
and $20,850)* | 459,721 | ||||||
HSBC Finance | |||||||
Corporation Notes, | |||||||
2,000,000 | 8.00%, 07/15/2010 | 2,091,402 | |||||
25,000 | 5.00%, 06/30/2015 | 23,631 |
The accompanying notes are an integral part of these financial statements.
Page 5
Baird Intermediate Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 98.9% (cont.) | |||||||
Financial – 19.6% (cont.) | |||||||
$ | 2,000,000 | Humana Inc., | |||||
7.20%, 06/15/2018 | $ | 1,981,616 | |||||
1,850,000 | International Paper | ||||||
Company Notes, | |||||||
4.25%, 01/15/2009 | 1,843,945 | ||||||
Istar Financial, Inc., | |||||||
2,300,000 | 4.875%, 01/15/2009 | 2,208,000 | |||||
1,050,000 | 5.95%, 10/15/2013 | 861,000 | |||||
500,000 | J.P. Morgan Chase & | ||||||
Company Subordinated | |||||||
Notes, 6.625%, 03/15/2012 | 515,611 | ||||||
2,000,000 | Key Bank, | ||||||
7.413%, 05/06/2015 | 1,862,258 | ||||||
Korea Development | |||||||
Bank Notes: f | |||||||
1,275,000 | 3.875%, 03/02/2009 | 1,272,836 | |||||
350,000 | 4.625%, 09/16/2010 | 349,289 | |||||
1,000,000 | 5.125%, 02/14/2011 | 993,799 | |||||
Lehman Brothers | |||||||
Holdings, Inc. Notes: | |||||||
846,000 | 8.50%, 08/01/2015 | 888,002 | |||||
250,000 | 6.50%, 07/19/2017 | 231,280 | |||||
1,735,000 | Lehman Brothers | ||||||
Holdings Senior Notes, | |||||||
8.80%, 03/01/2015 | 1,844,000 | ||||||
Marsh & McLennan | |||||||
Companies, Inc.: | |||||||
1,000,000 | 7.125%, 06/15/2009 | 1,010,055 | |||||
700,000 | 5.375%, 07/15/2014 | 679,582 | |||||
500,000 | MBIA Insurance Corp., | ||||||
14.00%, 01/15/2033 | |||||||
(Callable 01/15/2013) | |||||||
(Acquired 01/11/2008; | |||||||
Cost $500,000)* | 207,500 | ||||||
Merrill Lynch & Co, Inc.: | |||||||
1,000,000 | 5.70%, 05/02/2017 | 880,438 | |||||
1,000,000 | 6.875%, 04/25/2018 | 951,726 | |||||
375,000 | Met Life Global Funding | ||||||
Senior Notes, 4.50%, | |||||||
05/05/2010 (Acquired | |||||||
08/04/2005 and | |||||||
03/22/2007; Cost $123,925 | |||||||
and $245,931)* | 376,867 | ||||||
1,400,000 | Morgan Stanley Senior | ||||||
Unsecured Notes, Series F, | |||||||
6.625%, 04/01/2018 | 1,326,535 | ||||||
25,000 | Morgan Stanley | ||||||
Subordinated Notes, | |||||||
4.75%, 04/01/2014 | 22,781 | ||||||
1,530,000 | National Australia Bank | ||||||
Ltd. Subordinated | |||||||
Notes, Series A, | |||||||
8.60%, 05/19/2010 f | 1,637,311 | ||||||
2,725,000 | National City Bank | ||||||
of Cleveland, | |||||||
4.50%, 03/15/2010 | 2,511,300 | ||||||
350,000 | National Bank of Hungary | ||||||
Yankee Debentures, | |||||||
8.875%, 11/01/2013 f | 430,621 | ||||||
534,000 | National City Bank of | ||||||
Kentucky Subordinated | |||||||
Notes, 6.30%, 02/15/2011 | 486,733 | ||||||
1,100,000 | Navigators Group Inc. | ||||||
Senior Unsecured Notes, | |||||||
7.00%, 05/01/2016 | 1,042,071 | ||||||
1,260,000 | NB Capital Trust IV, | ||||||
8.25%, 04/15/2027 | 1,264,549 | ||||||
1,000,000 | North Fork Capital Trust II, | ||||||
8.00%, 12/15/2027 | 879,866 | ||||||
1,319,000 | PNC Funding Corporation, | ||||||
7.50%, 11/01/2009 | 1,364,375 |
The accompanying notes are an integral part of these financial statements.
Page 6
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 98.9% (cont.) | |||||||
Financial – 19.6% (cont.) | |||||||
$ | 1,500,000 | Premium Asset Senior | |||||
Notes, 4.125%, 03/12/2009 | |||||||
(Acquired 12/20/2006 | |||||||
and 05/10/2007; | |||||||
Cost $935,000 | |||||||
and $480,000)* # | $ | 750,000 | |||||
25,000 | Protective Life | ||||||
Corporation Senior Notes, | |||||||
4.30%, 06/01/2013 | 23,514 | ||||||
1,650,000 | Regions Bank, | ||||||
7.50%, 05/15/2018 | 1,641,447 | ||||||
619,000 | Residential Capital LLC, | ||||||
9.625%, 05/15/2015 | |||||||
(Acquired 02/26/2007 and | |||||||
09/26/2007; Cost $718,529 | |||||||
and $61,207)* | 300,215 | ||||||
546,000 | SAFECO Corporation | ||||||
Senior Notes, | |||||||
7.25%, 09/01/2012 | 567,413 | ||||||
800,000 | Santander Central | ||||||
Hispano Issuances, | |||||||
6.375%, 02/15/2011 f | 827,963 | ||||||
1,300,000 | Schwab Capital Trust I, | ||||||
7.50%, 11/15/2037 | |||||||
(Callable 11/15/2017) | 1,176,591 | ||||||
SLM Corporation Notes: | |||||||
1,516,000 | 4.50%, 07/26/2010 | 1,402,767 | |||||
200,000 | 5.375%, 05/15/2014 | 175,706 | |||||
1,000,000 | Sovereign Bancorp, Inc., | ||||||
8.75%, 05/30/2018 | 953,725 | ||||||
St. Paul Travelers, Inc.: | |||||||
2,000,000 | 6.38%, 12/15/2008 | 2,018,216 | |||||
1,000,000 | 6.25%, 06/20/2016 | 1,018,571 | |||||
1,046,000 | Toll Road Inv. Part II, | ||||||
0.00%, 02/15/2011 | |||||||
(Acquired 09/28/2004; | |||||||
Cost $782,046)* ^ | 903,453 | ||||||
1,320,000 | Transamerica Finance | ||||||
Corporation Debentures, | |||||||
0.00%, 03/01/2010 ^ | 1,225,604 | ||||||
550,000 | UFJ Finance Aruba AEC, | ||||||
6.75%, 07/15/2013 f | 577,797 | ||||||
500,000 | Washington Mutual Bank | ||||||
Subordinated Notes, | |||||||
6.875%, 06/15/2011 | 430,000 | ||||||
Westdeutsche Landesbank | |||||||
Subordinated Notes: | |||||||
246,000 | 6.05%, 01/15/2009 | 249,026 | |||||
1,495,000 | 4.796%, 07/15/2015 | 1,540,783 | |||||
86,511,609 | |||||||
Industrial – 16.3% | |||||||
450,000 | Alcan, Inc. Notes, | ||||||
5.00%, 06/01/2015 f | 431,066 | ||||||
2,000,000 | American Standard Inc., | ||||||
8.25%, 06/01/2009 | 2,063,712 | ||||||
1,008,000 | Ameritech Capital | ||||||
Funding Debentures, | |||||||
6.45%, 01/15/2018 | 1,028,158 | ||||||
2,000,000 | British Telecommunications | ||||||
PLC, 5.95%, 01/15/2018 f | 1,912,022 | ||||||
Bunge Ltd. Finance | |||||||
Corporation Notes: | |||||||
500,000 | 4.375%, 12/15/2008 | 500,759 | |||||
800,000 | 5.35%, 04/15/2014 | 747,527 | |||||
1,085,000 | 5.10%, 07/15/2015 | 986,797 | |||||
1,250,000 | Clear Channel | ||||||
Communications Senior | |||||||
Unsubordinated Notes, | |||||||
5.50%, 12/15/2016 | 731,250 |
The accompanying notes are an integral part of these financial statements.
Page 7
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 98.9% (cont.) | |||||||
Industrial – 16.3% (cont.) | |||||||
$ | 125,000 | Comcast Cable | |||||
Communication Holdings, | |||||||
8.375%, 03/15/2013 | $ | 137,596 | |||||
50,000 | Comcast Holdings | ||||||
Corporation, | |||||||
10.625%, 07/15/2012 | 57,469 | ||||||
525,000 | Comcast Corporation, | ||||||
6.50%, 01/15/2017 | 528,121 | ||||||
50,000 | Computer Sciences | ||||||
Corporation Notes, | |||||||
6.25%, 03/15/2009 | 50,285 | ||||||
11,894 | Continental Airlines, Inc. | ||||||
Pass-Thru Certificates, | |||||||
Series 1998-1, 6.541%, | |||||||
09/15/2009 | 11,849 | ||||||
750,000 | COX Communications Inc. | ||||||
Notes, 7.875%, 08/15/2009 | 769,421 | ||||||
1,281,000 | COX Communications Inc., | ||||||
7.125%, 10/01/2012 | 1,337,053 | ||||||
CSX Corporation: | |||||||
1,700,000 | 5.75%, 03/15/2013 | 1,666,335 | |||||
450,000 | 6.25%, 04/01/2015 | 451,528 | |||||
1,000,000 | D.R. Horton Inc. | ||||||
Unsubordinated Notes, | |||||||
6.50%, 04/15/2016 | 823,750 | ||||||
1,250,000 | Deutsche Telekom | ||||||
International Finance BV, | |||||||
8.00%, 06/15/2010 f | 1,322,362 | ||||||
Donnelley (R.R.) | |||||||
& Sons Co.: | |||||||
1,500,000 | 3.75%, 04/01/2009 | 1,484,644 | |||||
875,000 | 6.125%, 01/15/2017 | 816,824 | |||||
2,225,000 | Fiserv, Inc., | ||||||
6.125%, 11/20/2012 | 2,236,243 | ||||||
623,000 | Ford Capital BV Debentures, | ||||||
9.50%, 06/01/2010 f | 507,745 | ||||||
300,000 | Ford Motor Company | ||||||
Debentures, | |||||||
9.215%, 09/15/2021 | 201,000 | ||||||
550,000 | General Motors Nova | ||||||
Scotia Finance Company, | |||||||
6.85%, 10/15/2008 f | 532,125 | ||||||
Halliburton Company Notes: | |||||||
475,000 | 5.625%, 12/01/2008 | 478,089 | |||||
675,000 | 5.50%, 10/15/2010 | 699,280 | |||||
1,275,000 | Hanson Australia Funding, | ||||||
5.25%, 03/15/2013 f | 1,244,556 | ||||||
650,000 | Hanson PLC Notes, | ||||||
6.125%, 08/15/2016 f | 644,915 | ||||||
975,000 | Hutchison Whampoa | ||||||
International Limited, | |||||||
6.25%, 01/24/2014 | |||||||
(Acquired 11/19/2003 and | |||||||
02/08/2005; Cost $749,228 | |||||||
and $244,602)* f | 976,037 | ||||||
3,000,000 | ICI Wilmington, Inc., | ||||||
4.375%, 12/01/2008 | 3,004,395 | ||||||
1,000,000 | Ingersoll-Rand Company | ||||||
Debentures, | |||||||
6.391%, 11/15/2027 f | 1,073,875 | ||||||
1,100,000 | Johnson Controls Inc. | ||||||
Senior Notes, | |||||||
5.50%, 01/15/2016 | 1,055,295 | ||||||
1,000,000 | Kraft Foods, Inc., | ||||||
6.125%, 08/23/2018 | 968,420 | ||||||
675,000 | Laboratory Corporation | ||||||
of America Holdings, | |||||||
5.50%, 02/01/2013 | 654,034 | ||||||
550,000 | Lafarge S.A. Notes, | ||||||
6.50%, 07/15/2016 f | 530,753 | ||||||
500,000 | Limited Brands, Inc., | ||||||
5.25%, 11/01/2014 | 422,944 |
The accompanying notes are an integral part of these financial statements.
Page 8
Baird Intermediate Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 98.9% (cont.) | |||||||
Industrial – 16.3% (cont.) | |||||||
$ | 400,000 | Marathon Oil | |||||
Corporation, | |||||||
6.00%, 07/01/2012 | $ | 411,698 | |||||
1,550,000 | Masco Corporation, | ||||||
6.125%, 10/03/2016 | 1,404,509 | ||||||
650,000 | Nabors Industries, Inc., | ||||||
6.15%, 02/15/2018 | |||||||
(Acquired 02/14/2008; | |||||||
Cost $649,480)* | 656,997 | ||||||
650,000 | New York Telephone | ||||||
Company Debentures, | |||||||
8.625%, 11/15/2010 | 706,150 | ||||||
2,307,000 | Nextel Communications | ||||||
Senior Notes, | |||||||
6.875%, 10/31/2013 | 1,949,415 | ||||||
700,000 | PCCW Capital II Ltd., | ||||||
6.00%, 07/15/2013 | |||||||
(Acquired 07/10/2003; | |||||||
Cost $696,731)* f | 691,750 | ||||||
925,000 | Pearson Dollar Finance | ||||||
PLC, 5.70%, 06/01/2014 | |||||||
(Acquired 09/28/2005 and | |||||||
12/14/2007; Cost $618,138 | |||||||
and $321,181)* f | 902,876 | ||||||
1,850,000 | PEMEX Project Funding | ||||||
Master Trust, | |||||||
9.125%, 10/13/2010 | 2,016,500 | ||||||
1,770,000 | Plum Creek Timberlands, | ||||||
5.875%, 11/15/2015 | 1,613,553 | ||||||
Qwest Capital | |||||||
Funding, Inc.: | |||||||
350,000 | 7.00%, 08/03/2009 | 349,125 | |||||
100,000 | 7.25%, 02/15/2011 | 97,000 | |||||
1,000,000 | Reed Elsevier Capital Notes, | ||||||
4.625%, 06/15/2012 | 959,151 | ||||||
1,800,000 | Rio Tinto Financial | ||||||
USA Ltd., | |||||||
6.50%, 07/15/2018 f | 1,805,461 | ||||||
600,000 | SBC Communications, | ||||||
Inc. Notes, | |||||||
5.625%, 06/15/2016 | 594,193 | ||||||
500,000 | Sprint Nextel Corporation, | ||||||
6.00%, 12/01/2016 | 430,000 | ||||||
1,100,000 | Sunoco, Inc. Senior Notes, | ||||||
5.75%, 01/15/2017 | 1,045,889 | ||||||
TCI Communications, | |||||||
Inc. Debentures: | |||||||
550,000 | 7.875%, 08/01/2013 | 590,319 | |||||
583,000 | 8.75%, 08/01/2015 | 659,009 | |||||
Telecom Italia Capital: f | |||||||
1,360,000 | 4.95%, 09/30/2014 | 1,244,744 | |||||
650,000 | 5.25%, 10/01/2015 | 594,851 | |||||
906,000 | Tele-Communications, | ||||||
Inc. Debentures, | |||||||
9.80%, 02/01/2012 | 1,021,260 | ||||||
1,650,000 | Telefonica Emisiones, S.A.U., | ||||||
6.421%, 06/20/2016 f | 1,674,870 | ||||||
1,000,000 | Time Warner Cable, Inc., | ||||||
5.85%, 05/01/2017 | 949,801 | ||||||
250,000 | Time Warner Companies, | ||||||
Inc., 6.875%, 06/15/2018 | 248,161 | ||||||
1,747,000 | Time Warner Companies | ||||||
Inc. Debentures, | |||||||
9.125%, 01/15/2013 | 1,918,351 | ||||||
1,470,000 | Transocean, Inc., | ||||||
6.625%, 04/15/2011 f | 1,513,122 | ||||||
275,000 | Tribune Company, | ||||||
5.25%, 08/15/2015 | 109,313 | ||||||
500,000 | Tyco Electronics Group | ||||||
S.A., 6.55%, 10/01/2017 | |||||||
(Acquired 09/26/2007; | |||||||
Cost $504,926)* f | 504,484 |
The accompanying notes are an integral part of these financial statements.
Page 9
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 98.9% (cont.) | |||||||
Industrial – 16.3% (cont.) | |||||||
Tyco International | |||||||
Group S.A.: f | |||||||
$ | 1,525,000 | 6.375%, 10/15/2011 | $ | 1,560,580 | |||
650,000 | 6.00%, 11/15/2013 | 627,193 | |||||
United AirLines, Inc. | |||||||
Pass-Thru Certificates: | |||||||
326,609 | Series 2001-1, Class A-2, | ||||||
6.201%, 09/01/2008 | 321,710 | ||||||
250,781 | Series 1991-A, | ||||||
10.02%, 03/22/2014 | 115,359 | ||||||
245,275 | Series 2000-2, Class C, | ||||||
7.762%, 12/31/2049 | 214,003 | ||||||
1,500,000 | Vale Overseas Limited, | ||||||
6.25%, 01/23/2017 f | 1,451,964 | ||||||
900,000 | Verizon Communications | ||||||
Debentures, | |||||||
6.84%, 04/15/2018 | 926,502 | ||||||
250,000 | Verizon Communications | ||||||
Senior Unsecured Notes, | |||||||
5.55%, 02/15/2016 | 243,511 | ||||||
1,650,000 | Viacom, Inc. Senior Notes, | ||||||
7.70%, 07/30/2010 | 1,724,438 | ||||||
2,000,000 | Vulcan Materials Co., | ||||||
7.00%, 06/15/2018 | 2,038,786 | ||||||
Waste Management, Inc.: | |||||||
2,510,000 | 6.875%, 05/15/2009 | 2,559,520 | |||||
25,000 | 5.00%, 03/15/2014 | 23,939 | |||||
500,000 | Willamette Industries, | ||||||
Inc. Notes, | |||||||
6.60%, 06/05/2012 | 512,328 | ||||||
72,070,619 | |||||||
Mortgage Backed Securities – 19.5% | |||||||
Bank of America | |||||||
Alternative Loan Trust: | |||||||
482,178 | Series 2003-11, Class 4A1, | ||||||
4.75%, 01/25/2019 | 469,220 | ||||||
1,377,712 | Series 2004-2, Class 5A1, | ||||||
5.50%, 03/25/2019 | 1,347,048 | ||||||
1,560,383 | Series 2004-11, Class 4A1, | ||||||
5.50%, 12/25/2019 | 1,563,797 | ||||||
895,165 | Series 2006-2, Class 7A1, | ||||||
6.00%, 03/25/2021 | 834,961 | ||||||
1,428,233 | Series 2006-3, Class 6A1, | ||||||
6.00%, 04/25/2021 | 1,351,862 | ||||||
1,301,089 | Series 2006-4, Class 3CB4, | ||||||
6.00%, 05/25/2046 | 1,198,001 | ||||||
1,001,962 | Bank of America | ||||||
Funding Corporation, | |||||||
Series 2003-3, Class 1A41, | |||||||
5.50%, 10/25/2033 | 966,308 | ||||||
Citicorp Mortgage | |||||||
Securities, Inc.: | |||||||
1,468,921 | Series 2004-5, Class 1A25, | ||||||
5.50%, 10/25/2014 | 1,443,226 | ||||||
1,327,175 | Series 2004-4, Class A5, | ||||||
5.50%, 05/25/2015 | 1,282,624 | ||||||
Countrywide Alternative | |||||||
Loan Trust: | |||||||
406,779 | Series 2005-5R, Class A2, | ||||||
4.75%, 12/25/2018 | 387,052 | ||||||
1,425,407 | Series 2005-50CB, Class | ||||||
4A1, 5.00%, 11/25/2020 | 1,340,363 | ||||||
1,504,260 | Series 2005-85CB, Class | ||||||
3A1, 5.25%, 02/25/2021 | |||||||
(Acquired 09/26/2007, | |||||||
09/26/2007, 10/11/2007 | |||||||
and 06/19/2008; Cost | |||||||
$94,250, $204,794, | |||||||
$46,494 and $1,037,052, | |||||||
respectively)* | 1,436,860 | ||||||
2,336,801 | Series 2006-7CB, Class | ||||||
3A1, 5.25%, 05/25/2021 | 2,209,825 |
The accompanying notes are an integral part of these financial statements.
Page 10
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 98.9% (cont.) | |||||||
Mortgage Backed Securities – 19.5% (cont.) | |||||||
$ | 2,473 | Series 2004-18CB, | |||||
5.125%, 09/25/2034 | $ | 2,466 | |||||
50,000 | Series 2005-10CB, Class | ||||||
1A6, 5.50%, 05/25/2035 | 47,466 | ||||||
188,255 | Series 2005-11CB, Class | ||||||
2A1, 5.50%, 06/25/2035 | 173,412 | ||||||
1,723,205 | Series 2005-34CB, Class | ||||||
1A6, 5.50%, 09/25/2035 | 1,656,235 | ||||||
1,440,533 | Countrywide Home Loans, | ||||||
Inc., Series 2003-18, Class | |||||||
A3, 5.25%, 07/25/2033 | 1,423,692 | ||||||
Credit Suisse First Boston | |||||||
Mortgage Securities Corp.: | |||||||
1,879,550 | Series 1998-C2, Class A2, | ||||||
6.30%, 11/15/2008 | 1,886,367 | ||||||
133,364 | Series 2005-3, Class 3A27, | ||||||
5.50%, 07/25/2035 | 129,815 | ||||||
Federal Gold Loan Mortgage | |||||||
Corporation (FGLMC) | |||||||
Pass-Thru Certificates: | |||||||
1,460,858 | 6.00%, 06/01/2021 | 1,497,088 | |||||
52,210 | 6.00%, 07/01/2028 | 53,236 | |||||
Federal Home Loan Mortgage | |||||||
Corporation (FHLMC): | |||||||
1,390,269 | Series 3033, Class LU, | ||||||
5.50%, 03/15/2013 | 1,426,401 | ||||||
1,463,983 | Series 2695, Class UA, | ||||||
5.50%, 09/15/2014 | 1,498,970 | ||||||
8,721,839 | Series R014, Class AL, | ||||||
5.50%, 10/15/2014 | 8,863,080 | ||||||
621,943 | Series R001, Class AE, | ||||||
4.375%, 04/15/2015 | 620,375 | ||||||
2,030,513 | Series R003, Class VA, | ||||||
5.50%, 08/15/2016 | 2,072,851 | ||||||
2,293,781 | Series 3122, Class VA, | ||||||
6.00%, 01/15/2017 | 2,368,554 | ||||||
1,795,046 | Series R010, Class VA, | ||||||
5.50%, 04/15/2017 | 1,827,405 | ||||||
4,397,072 | Series R009, Class AJ, | ||||||
5.75%, 12/15/2018 | 4,472,914 | ||||||
45,375 | Series 1395, Class G, | ||||||
6.00%, 10/15/2022 | 45,324 | ||||||
511,306 | Series 2970, Class DA, | ||||||
5.50%, 01/15/2023 | 522,163 | ||||||
Federal National Mortgage | |||||||
Association (FNMA): | |||||||
974,683 | Series 2006-B2, Class AB, | ||||||
5.50%, 05/25/2014 | 992,692 | ||||||
1,221,018 | Series 2003-24, Class PC, | ||||||
5.00%, 11/25/2015 | 1,234,301 | ||||||
1,938,279 | Series 2006-B1 – Class AB, | ||||||
6.00%, 06/25/2016 | 1,982,912 | ||||||
50,000 | Series 2003-35, Class TD, | ||||||
5.00%, 12/25/2016 | 50,512 | ||||||
154,288 | Series 1991-137, Class H, | ||||||
7.00%, 10/25/2021 | 163,940 | ||||||
145,611 | Series 1992-136, Class PK, | ||||||
6.00%, 08/25/2022 | 150,120 | ||||||
78,973 | Series 1993-32, Class H, | ||||||
6.00%, 03/25/2023 | 80,101 | ||||||
6,500,000 | Series 2002-85, Class PD, | ||||||
5.50%, 05/25/2031 | 6,544,214 | ||||||
2,575,730 | Series 2004-W6, Class 1A6, | ||||||
5.50%, 07/25/2034 | 2,458,991 | ||||||
4,000,000 | Series 2004-W10, Class | ||||||
A24, 5.00%, 08/25/2034 | 3,968,089 | ||||||
GMAC Mortgage | |||||||
Corporation Loan Trust: | |||||||
165,853 | Series 2003-J1, Class A2, | ||||||
5.25%, 03/25/2018 | 167,735 | ||||||
1,524,673 | Series 2004-J4, Class A2, | ||||||
5.50%, 09/25/2034 | 1,496,361 |
The accompanying notes are an integral part of these financial statements.
Page 11
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 98.9% (cont.) | |||||||
Mortgage Backed Securities – 19.5% (cont.) | |||||||
$ | 416,269 | Government National | |||||
Mortgage Association | |||||||
(GNMA), Series 1999-4, | |||||||
Class ZB, 6.00%, | |||||||
02/20/2029 | $ | 427,856 | |||||
J.P. Morgan Alternative | |||||||
Loan Trust: | |||||||
3,572,456 | Series 2005-S1, Class 3A1, | ||||||
5.50%, 10/25/2020 | 3,524,453 | ||||||
1,396,909 | Series 2006-A1, Class 2A1, | ||||||
5.799%, 03/25/2036 | 1,117,032 | ||||||
3,000,000 | Series 2006-S2, Class A2, | ||||||
5.81%, 05/25/2036 | 2,981,677 | ||||||
803,243 | Lehman Mortgage Trust, | ||||||
Series 2006-4, Class 3A1, | |||||||
5.00%, 08/25/2021 | 746,012 | ||||||
Master Alternative | |||||||
Loans Trust: | |||||||
2,283,011 | Series 2004-1, Class 1A1, | ||||||
5.00%, 01/25/2019 | 2,151,948 | ||||||
513,402 | Series 2004-3, Class 1A1, | ||||||
5.00%, 03/25/2019 | 499,925 | ||||||
293,129 | Series 2005-3, Class 4A1, | ||||||
5.50%, 03/25/2020 | 276,377 | ||||||
409,482 | Salomon Brothers | ||||||
Mortgage Securities VII, | |||||||
Series 2003-UP2, Class A2, | |||||||
4.00%, 06/25/2033 | 385,582 | ||||||
Washington Mutual: | |||||||
3,302,188 | Series 2004-CB3, Class 3A, | ||||||
5.50%, 10/25/2019 | 3,216,433 | ||||||
832,354 | Series 2004-CB4, Class | ||||||
21A, 5.50%, 12/25/2019 | 784,366 | ||||||
Washington Mutual, Inc. | |||||||
Pass-Thru Certificates: | |||||||
2,296,288 | Series 2004-CB1, Class | ||||||
5A, 5.00%, 06/25/2019 | 2,201,567 | ||||||
1,259,001 | Series 2004-CB3, Class | ||||||
4A, 6.00%, 10/25/2019 | 1,252,706 | ||||||
1,053,487 | Series 2004-CB4, Class | ||||||
22A, 6.00%, 12/25/2019 | 1,006,631 | ||||||
86,281,494 | |||||||
Taxable Municipal Bonds – 0.5% | |||||||
1,595,000 | Tobacco Settlement | ||||||
Authority Iowa, | |||||||
6.50%, 06/01/2023 | 1,465,613 | ||||||
708,752 | Tobacco Settlement | ||||||
Financing Corporation, | |||||||
Series 2001-A, Class A, | |||||||
6.36%, 05/15/2025 | 681,905 | ||||||
2,147,518 | |||||||
Utilities – 6.5% | |||||||
2,000,000 | Baltimore Gas & Electric Co., | ||||||
6.125%, 07/01/2013 | 2,024,722 | ||||||
1,715,000 | Cilcorp Inc. Senior Notes, | ||||||
8.70%, 10/15/2009 | 1,753,172 | ||||||
50,000 | Commonwealth Edison, | ||||||
5.95%, 08/15/2016 | 49,749 | ||||||
1,000,000 | Dominion Resources | ||||||
Inc., Series C, | |||||||
5.15%, 07/15/2015 | 952,996 | ||||||
1,400,000 | Duke Capital LLC Notes, | ||||||
5.668%, 08/15/2014 | 1,367,754 | ||||||
600,000 | Energy Transfer Partners, | ||||||
5.65%, 08/01/2012 | 604,959 | ||||||
300,000 | Exelon Corporation Senior | ||||||
Notes, 6.75%, 05/01/2011 | 308,199 | ||||||
2,500,000 | Kinder Morgan Finance, | ||||||
5.70%, 01/05/2016 f | 2,225,000 |
The accompanying notes are an integral part of these financial statements.
Page 12
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 98.9% (cont.) | |||||||
Utilities – 6.5% (cont.) | |||||||
$ | 353,264 | Kiowa Power Partners LLC, | |||||
4.811%, 12/30/2013 | |||||||
(Acquired 11/19/2004; | |||||||
Cost $365,216)* | $ | 345,302 | |||||
300,000 | Korea Electric | ||||||
Power Corporation, | |||||||
6.75%, 08/01/2027 f | 298,927 | ||||||
1,500,000 | MidAmerican Energy | ||||||
Holdings Company Senior | |||||||
Notes, 7.52%, 09/15/2008 | 1,510,606 | ||||||
1,400,000 | National Grid PLC | ||||||
Senior Unsecured Notes, | |||||||
6.30%, 08/01/2016 f | 1,401,838 | ||||||
25,000 | National Rural Utilities, | ||||||
4.375%, 10/01/2010 | 25,161 | ||||||
100,000 | NiSource Finance | ||||||
Corporation, | |||||||
7.875%, 11/15/2010 | 103,701 | ||||||
400,000 | ONEOK, Inc. Senior Notes, | ||||||
7.125%, 04/15/2011 | 402,141 | ||||||
1,800,000 | ONEOK Partners LP Notes, | ||||||
5.90%, 04/01/2012 | 1,882,069 | ||||||
3,417,000 | Panhandle Eastern | ||||||
Pipeline Senior Notes, | |||||||
4.80%, 08/15/2008 | 3,416,166 | ||||||
1,700,000 | PPL Energy Supply, | ||||||
LLC Bonds, Series A, | |||||||
5.70%, 10/15/2015 | 1,595,815 | ||||||
388,000 | PPL Energy Supply, | ||||||
LLC Senior Notes, | |||||||
6.40%, 11/01/2011 | 396,843 | ||||||
900,000 | Progress Energy, Inc. | ||||||
Senior Notes, | |||||||
6.85%, 04/15/2012 | 949,493 | ||||||
175,000 | PSE&G Energy Holdings | ||||||
LLC Senior Notes, | |||||||
8.50%, 06/15/2011 | 183,552 | ||||||
PSE&G Power LLC: | |||||||
275,000 | 7.75%, 04/15/2011 | 293,025 | |||||
425,000 | 5.00%, 04/01/2014 | 404,011 | |||||
807,551 | RGS (I&M) Funding | ||||||
Corporation Debentures, | |||||||
9.82%, 12/07/2022 | 908,438 | ||||||
1,500,000 | Rockies Express Pipeline | ||||||
LLC, 5.776%, 08/20/2009 | |||||||
(Acquired 09/17/2007; | |||||||
Cost $1,495,751)* | 1,501,010 | ||||||
1,340,000 | Transcontinental Gas Pipe | ||||||
Line Corporation Senior | |||||||
Notes, 8.875%, 07/15/2012 | 1,484,050 | ||||||
Vectren Utility Holdings: | |||||||
900,000 | 6.625%, 12/01/2011 | 921,616 | |||||
525,000 | 5.25%, 08/01/2013 | 510,500 | |||||
600,000 | Williams Companies, Inc. | ||||||
Notes, 8.125%, 03/15/2012 | 630,000 | ||||||
265,445 | Yosemite Securities Trust I, | ||||||
8.25%, 11/15/2104 | |||||||
(Acquired 04/26/2001; | |||||||
Cost $266,572)* f | 47,780 | ||||||
28,498,595 | |||||||
U.S. Government Agency Issues – 20.0% | |||||||
4,300,000 | Federal Home Loan | ||||||
Mortgage Corporation | |||||||
(FHLMC), | |||||||
4.50%, 07/15/2013 | 4,366,388 | ||||||
Federal National Mortgage | |||||||
Association (FNMA): | |||||||
42,450,000 | 6.00%, 05/15/2011 | 45,202,755 | |||||
39,500,000 | 3.625%, 02/12/2013 | 38,712,449 | |||||
88,281,592 |
The accompanying notes are an integral part of these financial statements.
Page 13
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 98.9% (cont.) | |||||||
U.S. Treasury Obligations – 12.9% | |||||||
$ | 40,700,000 | U.S. Treasury Bonds, | |||||
9.125%, 05/15/2018 | $ | 57,116,711 | |||||
Total Long-Term | |||||||
Investments | |||||||
(Cost $446,708,802) | 436,924,528 | ||||||
SHORT-TERM INVESTMENTS – 1.1% | |||||||
Money Market Fund – 1.1% | |||||||
5,010,493 | Short-Term Investment | ||||||
Company Liquid Assets | |||||||
Portfolio – AIM Fund | 5,010,493 | ||||||
Total Short-Term | |||||||
Investments | |||||||
(Cost $5,010,493) | 5,010,493 | ||||||
INVESTMENTS PURCHASED | |||||||
WITH CASH PROCEEDS | |||||||
FROM SECURITIES LENDING – 34.9% | |||||||
Certificate of Deposit – 3.2% | |||||||
5,019,749 | Bank of Scotland, | ||||||
2.9944%, 05/06/09 | 5,007,400 | ||||||
5,689,049 | Barclays Bank, | ||||||
3.3615%, 03/16/09 | 5,687,796 | ||||||
3,346,499 | Natixis Bank of New York, | ||||||
3.35%, 06/30/09 | 3,337,095 | ||||||
14,032,291 | |||||||
Commercial Paper – 8.5% | |||||||
3,346,499 | Barton Capital Corporation, | ||||||
2.171%, 07/25/08 | 3,340,611 | ||||||
3,888,967 | Falcon Asset SC | ||||||
Corporation, 2.17%, | |||||||
07/24/08 | 3,882,395 | ||||||
3,346,499 | Kitty Hawk Funding Corp., | ||||||
2.181%, 07/25/08 | 3,340,611 | ||||||
3,718,961 | KKR Atlantic Funding | ||||||
Trust, 3.05875%, | |||||||
03/25/09 # | 3,718,961 | ||||||
3,346,499 | Ranger Funding Company | ||||||
LLC, 2.6%, 08/22/08 | 3,333,113 | ||||||
3,346,499 | Sheffield Receivables, | ||||||
2.151%, 07/16/08 | 3,342,752 | ||||||
3,346,499 | Societe Gen North America, | ||||||
2.8%, 09/04/08 | 3,328,831 | ||||||
3,346,499 | Thames Ast Global Sec., | ||||||
2.251%, 07/07/08 | 3,344,858 | ||||||
3,346,499 | Thunder Bay Funding | ||||||
LLC, 2.15%, 07/11/08 | 3,343,923 | ||||||
3,346,499 | Variable Funding | ||||||
Capital Corporation, | |||||||
2.7%, 09/08/08 | 3,327,759 | ||||||
3,346,499 | Windmill Funding, | ||||||
2.2%, 08/18/08 | 3,334,118 | ||||||
37,637,932 | |||||||
Corporate Bonds and Notes – 3.1% | |||||||
1,673,250 | Allstate Life GL, | ||||||
3.34%, 03/20/09 | 1,670,657 | ||||||
3,681,149 | Allstate Life GL, | ||||||
3.0575%, 03/20/09 | 3,681,150 | ||||||
5,019,749 | Wachovia Bank NA, | ||||||
2.17%, 02/04/09 | 5,009,308 | ||||||
3,346,500 | Svenska Handelsbanken, | ||||||
2.232%, 02/06/09 | 3,344,491 | ||||||
13,705,606 | |||||||
Shares | |||||||
Money Market Mutual Funds – 2.6% | |||||||
4,685,253 | Merrill Lynch Premier | ||||||
Institutional Fund | 4,685,253 | ||||||
6,692,999 | Reserve Primary Fund | 6,692,999 | |||||
11,378,252 |
The accompanying notes are an integral part of these financial statements.
Page 14
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
INVESTMENTS PURCHASED | |||||||
WITH CASH PROCEEDS | |||||||
FROM SECURITIES LENDING – 34.9% (cont.) | |||||||
Repurchase Agreements – 17.5% | |||||||
$ | 25,098,745 | Greenwich Capital, 2.75%, | |||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized by | |||||||
Freddie Mac Collateralized | |||||||
Mortgage Obligation | |||||||
Guaranteed Zero Coupon | |||||||
Bonds, 01/01/32 – 04/15/37, | |||||||
valued at $25,601,213. | |||||||
Repurchase proceeds | |||||||
are $25,100,662.) | $ | 25,098,745 | |||||
25,098,745 | ING Financial, 2.75%, | ||||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized by | |||||||
various collateralized mortgage | |||||||
obligations, 5.00 – 6.00%, | |||||||
07/01/25 – 08/01/35, | |||||||
valued at $25,601,415. | |||||||
Repurchase proceeds are | |||||||
$25,100,662.) | 25,098,745 | ||||||
25,098,745 | JPMorgan Chase, 2.70%, | ||||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized by | |||||||
Freddie Mac Collateralized | |||||||
Mortgage Obligation | |||||||
Guaranteed Zero Coupon | |||||||
Bonds, 07/15/35 – | |||||||
01/15/37, valued at | |||||||
$25,852,393. Repurchase | |||||||
proceeds are $25,100,627.) | 25,098,745 | ||||||
2,342,550 | Morgan Stanley, 2.75%, | ||||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized by | |||||||
a Freddie Mac Collateralized | |||||||
Mortgage Obligation, 3.07%, | |||||||
09/15/37, valued at | |||||||
$2,392,528. Repurchase | |||||||
proceeds are | |||||||
$2,342,729.) | 2,342,550 | ||||||
77,638,785 | |||||||
Total Investments | |||||||
Purchased With Cash | |||||||
Proceeds From | |||||||
Securities Lending | |||||||
(Cost $154,392,866) | 154,392,866 | ||||||
Total Investments | |||||||
(Cost $606,112,161) – | |||||||
134.9% | 596,327,887 | ||||||
Liabilities in Excess of | |||||||
Other Assets – (34.9)% | (148,267,850 | ) | |||||
TOTAL NET | |||||||
ASSETS – 100.0% | $ | 448,060,037 |
* | Restricted Security Deemed Liquid |
f | Foreign Security |
^ | Non-Income Producing |
# | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds’ Board of Directors |
The accompanying notes are an integral part of these financial statements.
Page 15
Schedule of Investments June 30, 2008 (Unaudited) |
FAS 157 – Summary of Fair Value Exposure at June 30, 2008
In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“SFAS 157”) effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles (GAAP), and expands disclosures about fair value measurements. The Fund adopted FAS 157 as of January 1, 2008. Under SFAS 157, various inputs are used in determining the value of the Fund’s investments. These inputs are summarized into three broad levels and described below:
Level 1 – Quoted prices in active markets for identical securities.
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2008:
Description | Schedule of Investments | |||
Level 1 – Quoted prices | $ | 16,388,745 | ||
Level 2 – Other significant observable inputs | 575,470,181 | |||
Level 3 – Significant unobservable inputs | 4,468,961 | |||
Total | $ | 596,327,887 |
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
Schedule of Investments | ||||
Balance as of 12/31/07 | $ | 4,002,071 | ||
Accrued discounts / premiums | — | |||
Realized gain (loss) | — | |||
Change in unrealized appreciation (depreciation) | 64,855 | |||
Net purchases (sales/paydowns) | (347,965 | ) | ||
Transfers in and / or out of Level 3* | 750,000 | |||
Balance as of 06/30/08 | $ | 4,468,961 |
* | The information used in the above reconciliation represents fiscal year to date activity for any investments identified as using Level 3 inputs at either the beginning or end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in) or ending value (for transfers out) of any security or instrument where a change in the pricing level occurred from the beginning to the end of the period. |
Page 16
The Baird Aggregate Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Lehman Brothers Aggregate Bond Index. The Lehman Brothers Aggregate Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government, corporate, asset-backed, and mortgage-backed securities, with maturities of at least one year.
Portfolio Characteristics
Quality Distribution* | Sector Weightings* |
Net Assets: | $855,621,927 | Annualized Expense Ratio: | |||
SEC 30-Day Yield:** | Institutional Class: | 0.30 | % | ||
Institutional Class: | 5.64% | Investor Class: | 0.55 | %*** | |
Investor Class: | 5.39% | Portfolio Turnover Rate:**** | 25.2 | % | |
Average Effective Duration: | 4.68 years | Total Number of Holdings: | 379 | ||
Average Effective Maturity: | 6.86 years |
* | Percentages shown are based on the Fund’s total net assets. | |
** | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2008. | |
*** | Includes 0.25% 12b-1 fee. | |
**** | Not annualized. |
Page 17
Average Annual Total Returns
Since | |||
For the Periods Ended June 30, 2008 | One Year | Five Years | Inception(1) |
Baird Aggregate Bond Fund – Institutional Class Shares | 3.82% | 3.89% | 6.16% |
Baird Aggregate Bond Fund – Investor Class Shares | 3.61% | 3.69% | 5.93% |
Lehman Brothers Aggregate Bond Index(2) | 7.12% | 3.86% | 5.94% |
(1) | For the period from September 29, 2000 (commencement of operations) through June 30, 2008. |
(2) | The Lehman Brothers Aggregate Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government, corporate, asset-backed, and mortgage-backed securities, with maturities of at least one year. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 18
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 92.8% | |||||||
Asset Backed Securities – 7.3% | |||||||
$ | 8,000,000 | American Express Credit | |||||
Account Master Trust, | |||||||
Series 2005-5, Class A, | |||||||
4.276%, 02/15/2013 | $ | 7,903,277 | |||||
2,000,000 | Bayview Financial | ||||||
Acquisition Trust, | |||||||
Series 2006-A, Class 1A2, | |||||||
5.483%, 02/28/2041 | 1,888,246 | ||||||
Contimortgage Home | |||||||
Equity Trust: | |||||||
775 | Series 1999-1, Class A7, | ||||||
6.970%, 12/25/2013 | 764 | ||||||
1,664 | Series 1997-2, Class A9, | ||||||
7.090%, 04/15/2028 | 1,661 | ||||||
20,704 | Series 1999-3, Class A8, | ||||||
5.884%, 05/25/2029 | 19,919 | ||||||
Countrywide Asset-Backed | |||||||
Certificates: | |||||||
4,100,000 | Series 2006-S2, Class A2, | ||||||
5.627%, 07/25/2027 | 3,247,461 | ||||||
2,000,000 | Series 2005-17, Class 1AF2, | ||||||
5.363%, 03/25/2030 | 1,819,559 | ||||||
1,477,104 | Series 2004-15, Class AF6, | ||||||
4.613%, 04/25/2035 | 1,389,552 | ||||||
5,000,985 | Series 2005-1, Class AF6, | ||||||
5.03%, 07/25/2035 | 4,412,265 | ||||||
5,040,000 | Series 2005-10, Class AF6, | ||||||
4.915%, 02/25/2036 | 4,265,175 | ||||||
2,000,000 | Series 2005-17, Class 1AF, | ||||||
5.564%, 05/25/2036 | 1,337,541 | ||||||
3,056,830 | Series 2007-S1, Class A6, | ||||||
5.693%, 11/25/2036 | 1,642,308 | ||||||
7,000,000 | Series 2006-13, Class 1AF2, | ||||||
5.884%, 01/25/2037 | 6,410,109 | ||||||
1,500,000 | Series 2006-10, Class 1AF3, | ||||||
5.971%, 09/25/2046 | 1,396,684 | ||||||
1,489,247 | Credit Based Asset Servicing | ||||||
and Securities, Series | |||||||
2005-CB8, Class AF2, | |||||||
5.303%, 12/25/2035 | 1,452,918 | ||||||
Discover Card Master | |||||||
Trust I: | |||||||
1,700,000 | Series 2-A, | ||||||
4.31%, 05/15/2012 | 1,690,639 | ||||||
2,000,000 | Series A-2, | ||||||
1.32%, 05/15/2013 | 1,960,202 | ||||||
309,282 | Equivantage Home | ||||||
Equity Loan Trust, | |||||||
Series 1996-3, Class A3, | |||||||
7.70%, 09/25/2027 | 239,112 | ||||||
GE Capital Mortgage | |||||||
Services, Inc.: | |||||||
3,768 | Series 1997-HE4, Class A7, | ||||||
6.735%, 12/25/2028 | 3,762 | ||||||
46,784 | Series 1999-HE1, Class A7, | ||||||
6.265%, 04/25/2029 | 46,678 | ||||||
276,832 | GMAC Mortgage | ||||||
Corporation Loan Trust, | |||||||
Series 2004-GH1, Class A2, | |||||||
4.39%, 12/25/2025 | 274,603 | ||||||
Green Tree Financial | |||||||
Corporation: | |||||||
874,461 | Series 1998-2, Class A5, | ||||||
6.24%, 11/01/2016 | 833,999 | ||||||
948,327 | Series 1993-3, Class A7, | ||||||
6.40%, 10/15/2018 | 947,340 | ||||||
989,798 | Series 1993-4, Class A5, | ||||||
7.05%, 01/15/2019 | 969,321 | ||||||
171,907 | Series 1997-6, Class A8, | ||||||
7.07%, 01/15/2029 | 170,355 | ||||||
1,836,998 | Series 1998-3, Class A5, | ||||||
6.22%, 03/01/2030 | 1,653,255 |
The accompanying notes are an integral part of these financial statements.
Page 19
Baird Aggregate Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 92.8% (cont.) | |||||||
Asset Backed Securities – 7.3% (cont.) | |||||||
$ | 1,096,061 | Series 1998-4, Class A5, | |||||
6.18%, 04/01/2030 | $ | 984,429 | |||||
1,442,125 | Series 1999-3, Class A6, | ||||||
6.50%, 02/01/2031 | 1,442,102 | ||||||
1,439,249 | GSAA Home Equity Trust, | ||||||
Series 2005-1, Class AF2, | |||||||
4.316%, 11/25/2034 | 1,412,897 | ||||||
194,886 | IMC Home Equity | ||||||
Loan Trust, | |||||||
Series 1997-5, Class A10, | |||||||
5.749%, 11/20/2028 | 192,912 | ||||||
240,631 | Impac CMB Trust, | ||||||
Series 2004-4, Class 2A2, | |||||||
5.249%, 09/25/2034 | 220,370 | ||||||
3,200,000 | MBNA Master | ||||||
Credit Card Trust, | |||||||
Series 2005-4A, 3.38%, | |||||||
11/15/2012 | 3,163,586 | ||||||
103,989 | Oakwood Mortgage | ||||||
Investors, Inc., | |||||||
Series 1999-B, Class A3, | |||||||
6.45%, 11/15/2017 | 90,265 | ||||||
RAAC Series: | |||||||
83,515 | Series 2004-SP1, Class AI2, | ||||||
4.38%, 01/25/2022 | 83,307 | ||||||
1,204,515 | Series 2004-SP1, Class AI4, | ||||||
5.285%, 08/25/2027 | 1,091,978 | ||||||
3,000,000 | Renaissance Home | ||||||
Equity Loan Trust, | |||||||
Series 2007-1, Class AF3, | |||||||
5.612%, 04/25/2037 | 2,575,480 | ||||||
Residential Asset | |||||||
Mortgage Products, Inc.: | |||||||
1,431,771 | Series 2003-RS7, Class AI6, | ||||||
5.34%, 08/25/2033 | 1,316,540 | ||||||
959,119 | Series 2005-RS1, | ||||||
Class AI6, | |||||||
4.713%, 01/25/2035 | 874,905 | ||||||
Residential Asset | |||||||
Securities Corporation: | |||||||
283,986 | Series 2003-KS5, Class AI6, | ||||||
3.62%, 07/25/2033 | 216,777 | ||||||
276,324 | Series 2004-KS2, Class AI6, | ||||||
4.30%, 03/25/2034 | 251,579 | ||||||
2,600,000 | Stingray Pass-Thru | ||||||
Certificates, Series 2005, | |||||||
5.902%, 01/12/2015 | |||||||
(Acquired 05/10/2007 | |||||||
and 09/19/2007; Cost | |||||||
$1,520,000 and $775,000)* | 624,000 | ||||||
Structured Asset | |||||||
Securities Corporation, | |||||||
191,068 | Series 2004-11XS, Class | ||||||
1A3A, 4.76%, 06/25/2034 | 190,761 | ||||||
1,480,871 | Series 2005-7XS, Class | ||||||
1A4B, 5.44%, 04/25/2035 | 1,362,037 | ||||||
62,070,630 | |||||||
Financial – 15.1% | |||||||
American General Finance | |||||||
Corporation Senior Notes: | |||||||
1,250,000 | 8.45%, 10/15/2009 | 1,284,922 | |||||
500,000 | 6.90%, 12/15/2017 | 435,782 | |||||
1,000,000 | American International | ||||||
Group, 8.175%, 05/15/2058 | |||||||
(Callable 5/15/2038) | |||||||
(Acquired 05/13/2008; | |||||||
Cost $1,000,000)* | 941,109 | ||||||
200,000 | AmSouth Bancorporation | ||||||
Subordinated Debentures, | |||||||
6.75%, 11/01/2025 | 189,198 |
The accompanying notes are an integral part of these financial statements.
Page 20
Baird Aggregate Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 92.8% (cont.) | |||||||
Financial – 15.1% (cont.) | |||||||
$ | 775,000 | AMVESCAP PLC Notes, | |||||
5.375%, 02/27/2013 f | $ | 729,708 | |||||
300,000 | BAC Capital Trust VI, | ||||||
5.625%, 03/08/2035 | 244,282 | ||||||
1,065,000 | Bank of America Corporation | ||||||
Subordinated Notes, | |||||||
10.20%, 07/15/2015 | 1,291,425 | ||||||
1,435,000 | Bank of Tokyo- | ||||||
Mitsubishi/UFJ NY, | |||||||
7.40%, 06/15/2011 f | 1,518,415 | ||||||
929,000 | Bank One Corporation | ||||||
Subordinated Notes, | |||||||
10.00%, 08/15/2010 | 1,000,576 | ||||||
330,000 | Bankers Trust Corporation | ||||||
Subordinated Notes, | |||||||
7.25%, 10/15/2011 | 350,769 | ||||||
2,175,000 | Banponce Trust I, Series A, | ||||||
8.327%, 02/01/2027 | |||||||
(Callable 09/02/2008) | 2,071,742 | ||||||
2,400,000 | Bear Stearns Co. Inc., Series | ||||||
B, 6.95%, 08/10/2012 | 2,495,453 | ||||||
2,000,000 | Capmark Financial Group, | ||||||
Inc. 6.30%, 05/10/2017 | 1,292,826 | ||||||
1,560,000 | CIT Group Company | ||||||
of Canada, | |||||||
5.20%, 06/01/2015 f | 1,074,506 | ||||||
CIT Group, Inc.: | |||||||
500,000 | 5.40%, 01/30/2016 | 344,346 | |||||
1,670,000 | 6.10%, 03/15/2067 | ||||||
(Callable 03/15/2017) | 767,799 | ||||||
1,000,000 | Citigroup, Inc., | ||||||
5.50%, 04/11/2013 | 975,977 | ||||||
2,000,000 | Citigroup Capital XXI, | ||||||
8.30%, 12/21/2077 | |||||||
(Callable 12/21/2037) | 1,888,658 | ||||||
1,231,000 | Compass Bank | ||||||
Subordinated Notes, | |||||||
8.10%, 08/15/2009 | 1,251,424 | ||||||
Corp Andina | |||||||
De Fomento Notes: f | |||||||
50,000 | 7.375%, 01/18/2011 | 52,898 | |||||
340,000 | 5.75%, 01/12/2017 | 330,460 | |||||
3,575,000 | Countrywide Financial | ||||||
Corporation Subordinated | |||||||
Notes, 6.25%, 05/15/2016 | 3,182,980 | ||||||
1,000,000 | Credit Agricole S.A., | ||||||
6.637%, 05/29/2049 | |||||||
(Acquired 05/23/2007; | |||||||
Cost $1,000,000)* f | 832,786 | ||||||
3,135,000 | First Empire Capital Trust I, | ||||||
8.234%, 02/01/2027 | 3,120,215 | ||||||
725,000 | First Empire Capital Trust II, | ||||||
8.277%, 06/01/2027 | 724,500 | ||||||
3,500,000 | First Hawaiian Capital Trust | ||||||
I, 8.343%, 07/01/2027 | |||||||
(Callable 09/02/2008) | 3,514,315 | ||||||
686,508 | First National | ||||||
Bank of Chicago | |||||||
Pass-Thru Certificates, | |||||||
8.08%, 01/05/2018 | 814,432 | ||||||
3,975,000 | First National Bank of | ||||||
Omaha Subordinated | |||||||
Notes, 7.32%, 12/01/2010 | 4,225,318 | ||||||
1,748,000 | First Union Capital, Series | ||||||
A, 7.935%, 01/15/2027 | |||||||
(Callable 09/02/2008) | 1,765,199 | ||||||
4,107,000 | First Union | ||||||
Institutional Capital I, | |||||||
8.04%, 12/01/2026 | |||||||
(Callable 09/02/2008) | 3,994,226 |
The accompanying notes are an integral part of these financial statements.
Page 21
Baird Aggregate Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 92.8% (cont.) | |||||||
Financial – 15.1% (cont.) | |||||||
$ | 1,460,000 | First Union | |||||
Institutional Capital II, | |||||||
7.85%, 01/01/2027 | |||||||
(Callable 09/02/2008) | $ | 1,420,815 | |||||
2,500,000 | Fleet Capital Trust II, | ||||||
7.92%, 12/11/2026 | |||||||
(Callable 09/02/2008) | 2,518,225 | ||||||
2,300,000 | FMR Corporation Notes, | ||||||
4.75%, 03/01/2013 | |||||||
(Acquired 02/26/2003, | |||||||
03/15/2007, 07/31/2007, | |||||||
09/05/2007, 12/21/2007; | |||||||
Cost $250,768, $415,463, | |||||||
$661,409, $262,097, and | |||||||
$620,269, respectively)* | 2,259,660 | ||||||
General Motors Acceptance | |||||||
Corporation Notes: | |||||||
100,000 | 7.25%, 03/02/2011 | 73,501 | |||||
150,000 | 6.75%, 12/01/2014 | 99,067 | |||||
2,175,000 | Glencore Funding LLC, | ||||||
6.00%, 04/15/2014 | |||||||
(Acquired 03/31/2004, | |||||||
02/02/2005, 10/31/2005, | |||||||
12/04/2006 and 06/19/2008; | |||||||
Cost $496,425, $122,281, | |||||||
$231,168, $695,590 and | |||||||
$566,202, respectively)* | 2,077,667 | ||||||
1,180,000 | Goldman Sachs Capital I, | ||||||
6.345%, 02/15/2034 | 1,000,321 | ||||||
2,800,000 | Great West Life & Annuity | ||||||
Insurance, 7.153%, | |||||||
05/16/2046 (Acquired | |||||||
05/16/2006 and 11/08/2007; | |||||||
Cost $1,000,000 | |||||||
and $1,783,656)* | 2,505,409 | ||||||
2,200,000 | Hartford Financial | ||||||
Services Group Inc., | |||||||
8.125%, 06/15/2068 | |||||||
(Callable 06/15/2018) | 2,141,161 | ||||||
500,000 | Health Care Service | ||||||
Corporation Notes, | |||||||
7.75%, 06/15/2011 | |||||||
(Acquired 06/20/2001 | |||||||
and 01/26/2005; Cost | |||||||
$150,908 and $345,000)* | 538,840 | ||||||
1,950,000 | Highmark, Inc. Notes, | ||||||
6.80%, 08/15/2013 | |||||||
(Acquired 08/14/2003, | |||||||
09/05/2007 and 12/17/2007; | |||||||
Cost $274,373, $754,725 | |||||||
and $957,971 respectively)* | 2,134,417 | ||||||
950,000 | HSBC Bank PLC | ||||||
Subordinated Notes, | |||||||
6.95%, 03/15/2011 f | 981,270 | ||||||
2,100,000 | HSBC Holdings PLC | ||||||
Subordinated Notes, | |||||||
6.50%, 09/15/2037 f | 1,914,326 | ||||||
400,000 | HSBC USA Capital Trust I, | ||||||
7.808%, 12/15/2026 | |||||||
(Acquired 03/08/2007; | |||||||
Cost $415,969)* | 396,010 | ||||||
500,000 | HSBC USA Capital Trust II, | ||||||
8.38%, 05/15/2027 | |||||||
(Callable 09/02/2008) | |||||||
(Acquired 11/06/2007; | |||||||
Cost $521,455)* | 497,061 | ||||||
6,000,000 | Istar Financial, Inc., | ||||||
4.875%, 01/15/2009 | 5,760,000 | ||||||
900,000 | J.P. Morgan Chase & | ||||||
Company Notes, | |||||||
5.875%, 03/15/2035 | 742,586 |
The accompanying notes are an integral part of these financial statements.
Page 22
Baird Aggregate Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 92.8% (cont.) | |||||||
Financial – 15.1% (cont.) | |||||||
$ | 1,255,000 | Jefferies Group Inc., | |||||
6.25%, 01/15/2036 | $ | 917,234 | |||||
250,000 | Kaupthing Bank, | ||||||
5.75%, 10/04/2011 | |||||||
(Acquired 06/06/2008, | |||||||
Cost $197,500)* f | 202,396 | ||||||
3,400,000 | Key Bank NA, | ||||||
7.413%, 05/06/2015 | 3,165,839 | ||||||
Lehman Brothers | |||||||
Holdings, Inc. Notes: | |||||||
750,000 | 8.50%, 08/01/2015 | 787,236 | |||||
2,425,000 | 6.50%, 07/19/2017 | 2,243,414 | |||||
Liberty Mutual | |||||||
Insurance Company: | |||||||
2,500,000 | 10.75%, 06/15/2058 | ||||||
(Callable 06/15/2038) | |||||||
(Acquired 05/21/2008; | |||||||
Cost $2,445,125)* | 2,393,750 | ||||||
565,000 | 7.697%, 10/15/2097 | ||||||
(Acquired 03/26/2003; | |||||||
Cost $361,510)* | 479,384 | ||||||
1,125,000 | Lincoln National | ||||||
Corporation, 6.05%, | |||||||
04/20/2067 (Callable | |||||||
04/20/2017) | 948,564 | ||||||
Marsh & McLennan | |||||||
Companies, Inc., | |||||||
4,200,000 | 7.125%, 06/15/2009 | 4,242,231 | |||||
300,000 | 5.375%, 07/15/2014 | 291,249 | |||||
800,000 | MBIA Insurance Corp., | ||||||
14.00%, 01/15/2033 | |||||||
(Callable 01/15/2013) | |||||||
(Acquired 01/11/2008; | |||||||
Cost $800,000)* | 332,000 | ||||||
Merrill Lynch | |||||||
& Company, | |||||||
1,000,000 | 6.40%, 08/28/2017 | 926,632 | |||||
1,750,000 | 6.875%, 04/25/2018 | 1,665,520 | |||||
1,275,000 | 7.75%, 05/14/2038 | 1,195,281 | |||||
1,174,000 | Mony Group, Inc., | ||||||
8.35%, 03/15/2010 | 1,227,661 | ||||||
475,000 | Morgan Stanley | ||||||
Subordinated Notes, | |||||||
4.75%, 04/01/2014 | 432,834 | ||||||
510,000 | National Bank of Hungary | ||||||
Yankee Debentures, | |||||||
8.875%, 11/01/2013 f | 627,475 | ||||||
3,700,000 | National City Bank, | ||||||
2.47%, 08/15/2008 | 3,687,490 | ||||||
1,996,000 | Navigators Group Inc. | ||||||
Senior Unsecured Notes, | |||||||
7.00%, 05/01/2016 | 1,890,885 | ||||||
4,334,000 | NB Capital Trust IV, | ||||||
8.25%, 04/15/2027 | |||||||
(Callable 09/02/2008) | 4,349,646 | ||||||
2,500,000 | North Fork Capital Trust II, | ||||||
8.00%, 12/15/2027 | |||||||
(Callable 09/02/2008) | 2,199,665 | ||||||
1,975,000 | Popular North American | ||||||
Inc., 5.65%, 04/15/2009 | 1,955,888 | ||||||
1,000,000 | Premium Asset Senior Notes, | ||||||
4.125%, 03/12/2009 | |||||||
(Acquired 12/20/2006; | |||||||
Cost $935,000)* # | 500,000 | ||||||
4,750,000 | Regions Financing Trust II, | ||||||
6.625%, 05/15/2047 | 3,246,649 | ||||||
1,000,000 | Republic New York Capital I, | ||||||
7.75%, 11/15/2026 | 951,976 | ||||||
700,000 | Republic New York | ||||||
Corporation Debentures, | |||||||
9.125%, 05/15/2021 | 821,365 |
The accompanying notes are an integral part of these financial statements.
Page 23
Baird Aggregate Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 92.8% (cont.) | |||||||
Financial – 15.1% (cont.) | |||||||
$ | 2,579,000 | Residential Capital LLC, | |||||
9.625%, 05/15/2015 | |||||||
(Acquired 06/21/2005, | |||||||
06/28/2006, 12/26/2006, | |||||||
08/21/2007, and 10/17/2007; | |||||||
Cost $695,695, $492,155, | |||||||
$599,133, $87,518, | |||||||
and $1,067,179, | |||||||
respectively)* | $ | 1,250,815 | |||||
1,000,000 | Santander | ||||||
Financial Issuances, | |||||||
6.375%, 02/15/2011 f | 1,034,954 | ||||||
3,410,000 | Schwab Capital Trust I, | ||||||
7.50%, 11/15/2067 | |||||||
(Callable 11/15/2017) | 3,086,289 | ||||||
500,000 | SLM Corporation Notes, | ||||||
5.625%, 08/01/2033 | 376,475 | ||||||
1,500,000 | Sovereign Bank, | ||||||
8.75%, 05/30/2018 | 1,430,588 | ||||||
1,950,000 | St. Paul Companies, | ||||||
6.38%, 12/15/2008 | 1,967,761 | ||||||
1,000,000 | St. Paul Travelers, | ||||||
6.750%, 06/20/2036 | 1,007,577 | ||||||
1,000,000 | Symetra Financial | ||||||
Corporation Senior Notes, | |||||||
6.125%, 04/01/2016 | |||||||
(Acquired 03/23/2006; | |||||||
Cost $995,570)* | 882,132 | ||||||
2,400,000 | Toll Road Inv. | ||||||
Partnership II, | |||||||
0.000%, 02/15/2011 | |||||||
(Acquired 06/19/2008; | |||||||
Cost $1,944,000)* ^ | 2,072,933 | ||||||
410,000 | UFJ Finance Aruba AEC, | ||||||
6.75%, 07/15/2013 f | 430,722 | ||||||
301,000 | United Mexican | ||||||
States Notes, | |||||||
6.75%, 09/27/2034 f | 319,361 | ||||||
650,000 | Washington Mutual | ||||||
Preferred Funding Trust I, | |||||||
6.534%, 03/29/2049 | |||||||
(Callable 03/15/2011) | |||||||
(Acquired 07/31/2007; | |||||||
Cost $606,756)* | 288,613 | ||||||
2,380,000 | Westdeutsche Landesbank | ||||||
Subordinated Notes, | |||||||
4.796%, 07/15/2015 | 2,452,885 | ||||||
750,000 | Willis Group NA, | ||||||
5.625%, 07/15/2015 | 674,311 | ||||||
128,724,262 | |||||||
Industrial – 13.3% | |||||||
500,000 | Alcan, Inc., | ||||||
5.75%, 06/01/2035 f | 430,600 | ||||||
3,500,000 | American Standard Inc, | ||||||
8.25%, 06/01/2009 | 3,611,496 | ||||||
Ameritech Capital | |||||||
Funding Debentures: | |||||||
1,321,130 | 9.10%, 06/01/2016 | 1,487,731 | |||||
1,500,000 | 6.45%, 01/15/2018 | 1,529,997 | |||||
4,200,000 | Ametek, Inc., | ||||||
7.20%, 07/15/2008 | 4,205,300 | ||||||
AOL Time Warner, Inc.: | |||||||
1,100,000 | 7.625%, 04/15/2031 | 1,116,771 | |||||
250,000 | 7.70%, 05/01/2032 | 255,951 | |||||
1,050,000 | AT&T Wireless Services, | ||||||
Inc. Senior Notes, | |||||||
8.75%, 03/01/2031 | 1,245,908 | ||||||
British Telecom PLC Notes: f | |||||||
1,000,000 | 8.625%, 12/15/2010 | 1,073,750 | |||||
600,000 | 9.125%, 12/15/2030 | 721,251 |
The accompanying notes are an integral part of these financial statements.
Page 24
Baird Aggregate Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 92.8% (cont.) | |||||||
Industrial – 13.3% (cont.) | |||||||
Bunge Limited | |||||||
Finance Corporation: | |||||||
$ | 3,275,000 | 4.375%, 12/15/2008 | $ | 3,279,972 | |||
600,000 | 5.35%, 04/15/2014 | 560,645 | |||||
1,000,000 | Canadian | ||||||
National Resources, | |||||||
6.25%, 03/15/2038 f | 938,176 | ||||||
800,000 | Clear Channel | ||||||
Communications Senior | |||||||
Unsubordinated Notes, | |||||||
5.50%, 12/15/2016 | 468,000 | ||||||
1,000,000 | Comcast Cable | ||||||
Communications, Inc. | |||||||
Unsubordinated Notes, | |||||||
6.20%, 11/15/2008 | 1,003,662 | ||||||
825,000 | Comcast Holdings | ||||||
Corporation, | |||||||
10.625%, 07/15/2012 | 948,232 | ||||||
1,000,000 | Comcast Corporation, | ||||||
6.95%, 08/15/2037 | 983,589 | ||||||
5,000,000 | Computer Sciences | ||||||
Corporation, | |||||||
7.375%, 06/15/2011 | 5,249,285 | ||||||
Conagra Foods, Inc. | |||||||
580,000 | 5.819%, 06/15/2017 | 581,140 | |||||
120,000 | 9.75%, 03/01/2021 | 154,746 | |||||
Continental Airlines, Inc. | |||||||
Pass-Thru Certificates: | |||||||
9,292 | Series 1998-1, | ||||||
6.541%, 09/15/2009 | 9,257 | ||||||
114,780 | Series 2000-2, | ||||||
8.312%, 10/02/2012 | 105,597 | ||||||
391,561 | Series 1997-4, | ||||||
6.90%, 01/02/2018 | 361,215 | ||||||
COX | |||||||
Communications, Inc.: | |||||||
1,000,000 | 7.75%, 11/01/2010 | 1,053,685 | |||||
1,775,000 | 7.125%, 10/01/2012 | 1,852,669 | |||||
2,000,000 | CVS Caremark Corp., | ||||||
5.75%, 06/01/2017 | 1,967,102 | ||||||
1,000,000 | D.R. Horton Inc. | ||||||
Unsubordinated Notes, | |||||||
6.50%, 04/15/2016 | 823,750 | ||||||
300,000 | Deutsche Telekom | ||||||
International Finance BV, | |||||||
8.25%, 06/15/2030 f | 344,213 | ||||||
1,500,000 | Donnelley (R.R.) & Sons | ||||||
Co., 6.125%, 01/15/2017 | 1,400,270 | ||||||
1,900,000 | Enel Finance International, | ||||||
6.80%, 09/15/2037 | |||||||
(Acquired 09/13/2007; | |||||||
Cost $1,894,965)* f | 1,915,916 | ||||||
635,000 | FedEx Corporation, | ||||||
9.65%, 06/15/2012 | 731,109 | ||||||
1,066,064 | FedEx Corporation | ||||||
Pass-Thru Certificates, | |||||||
Series 1998-1, | |||||||
6.845%, 01/15/2019 | 1,078,058 | ||||||
3,725,000 | Fiserv, Inc., | ||||||
6.125%, 11/20/2012 | 3,743,822 | ||||||
475,000 | Ford Capital BV Debentures, | ||||||
9.50%, 06/01/2010 | 387,125 | ||||||
403,000 | Ford Motor | ||||||
Company Debentures, | |||||||
9.215%, 09/15/2021 | 270,010 | ||||||
650,000 | Health Management | ||||||
Association, | |||||||
6.125%, 04/15/2016 | 568,750 | ||||||
2,000,000 | Humana Inc., | ||||||
7.20%, 06/15/2018 | 1,981,616 |
The accompanying notes are an integral part of these financial statements.
Page 25
Baird Aggregate Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 92.8% (cont.) | |||||||
Industrial – 13.3% (cont.) | |||||||
$ | 625,000 | Hutchison Whampoa | |||||
International Limited, | |||||||
6.25%, 01/24/2014 | |||||||
(Acquired 06/02/2004 | |||||||
and 02/08/2005; | |||||||
Cost $333,834 | |||||||
and $298,958)* f | $ | 625,665 | |||||
3,000,000 | ICI Wilmington, Inc., | ||||||
4.375%, 12/01/2008 | 3,004,395 | ||||||
6,000,000 | International | ||||||
Paper Company, | |||||||
4.25%, 01/15/2009 | 5,980,362 | ||||||
850,000 | Johnson Controls Inc., | ||||||
Senior Notes, | |||||||
6.00%, 01/15/2036 | 777,619 | ||||||
650,000 | Knight-Ridder, Inc., | ||||||
5.75%, 09/01/2017 | 425,632 | ||||||
1,700,000 | Kraft Foods, Inc., | ||||||
6.125%, 08/23/2018 | 1,646,314 | ||||||
400,000 | Laboratory Corporation | ||||||
of America, | |||||||
5.625%, 12/15/2015 | 377,820 | ||||||
900,000 | Lafarge S.A. Notes, | ||||||
7.125%, 07/15/2036 f | 817,715 | ||||||
1,000,000 | Masco Corporation, | ||||||
6.125%, 10/03/2016 | 906,135 | ||||||
1,100,000 | Nabors Industries, Inc., | ||||||
6.15%, 02/15/2018 | |||||||
(Acquired 02/14/2008; | |||||||
Cost $1,099,120)* | 1,111,842 | ||||||
1,500,000 | Nationwide Building Society, | ||||||
2.706%, 09/29/2008 | |||||||
(Acquired 06/06/2008; | |||||||
Cost $1,495,470)* f | 1,498,680 | ||||||
2,425,000 | News America Holdings, | ||||||
7.375%, 10/17/2008 | 2,450,972 | ||||||
1,500,000 | Nextel Communications, | ||||||
7.375%, 08/01/2015 | 1,245,000 | ||||||
320,000 | Pactiv Corporation, | ||||||
7.95%, 12/15/2025 | 332,930 | ||||||
400,000 | PCCW Capital II Ltd., | ||||||
6.00%, 07/15/2013 | |||||||
(Acquired 07/10/2003; | |||||||
Cost $398,132)* f | 395,286 | ||||||
2,800,000 | Pemex Project | ||||||
Funding Master Trust, | |||||||
5.75%, 03/01/2018 | |||||||
(Acquired 10/17/2007; | |||||||
Cost $2,780,848)* | 2,765,000 | ||||||
1,145,000 | Plum Creek Timberlands, | ||||||
5.875%, 11/15/2015 | 1,043,796 | ||||||
2,500,000 | Premcor Refining Group, | ||||||
7.50%, 06/15/2015 | 2,579,195 | ||||||
Qwest Capital Funding, Inc.: | |||||||
300,000 | 7.00%, 08/03/2009 | 299,250 | |||||
200,000 | 7.25%, 02/15/2011 | 194,000 | |||||
3,700,000 | Rio Tinto Financial | ||||||
USA LTD, | |||||||
6.50%, 07/15/2018 f | 3,711,226 | ||||||
2,000,000 | Santander Perpetual, | ||||||
6.671%, 10/29/2049 | |||||||
(Callable 10/24/2017) f | 1,932,124 | ||||||
1,500,000 | SK Telecom, | ||||||
6.625%, 07/20/2027 | |||||||
(Acquired 07/13/2007; | |||||||
Cost $1,482,015)* f | 1,436,233 | ||||||
Sprint Capital Corporation: | |||||||
2,800,000 | 6.90%, 05/01/2019 | 2,457,000 | |||||
358,000 | 8.75%, 03/15/2032 | 340,995 | |||||
835,182 | GG1C Funding Corporation, | ||||||
5.129%, 01/15/2014 | |||||||
(Acquired 06/27/2006; | |||||||
Cost $793,115)* | 811,831 |
The accompanying notes are an integral part of these financial statements.
Page 26
Baird Aggregate Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 92.8% (cont.) | |||||||
Industrial – 13.3% (cont.) | |||||||
$ | 1,000,000 | Target Corporation, | |||||
6.50%, 10/15/2037 | $ | 961,975 | |||||
680,000 | TCI Communications, | ||||||
Inc. Debentures, | |||||||
7.875%, 08/01/2013 | 729,849 | ||||||
Telecom Italia Capital: f | |||||||
1,000,000 | 4.00%, 11/15/2008 | 999,850 | |||||
1,400,000 | 6.20%, 07/18/2011 | 1,427,611 | |||||
2,100,000 | 7.20%, 07/18/2036 | 2,030,595 | |||||
2,075,000 | Telefonica Emisones S.A., | ||||||
6.221%, 07/03/2017 f | 2,074,010 | ||||||
1,000,000 | Teva Pharmaceutical | ||||||
Finance LLC, | |||||||
5.55%, 02/01/2016 | 977,139 | ||||||
1,000,000 | Time Warner Cable, Inc., | ||||||
6.55%, 05/01/2037 | 921,001 | ||||||
3,000,000 | Tyco Electronics Group S A, | ||||||
6.55%, 10/01/2017 f | 3,026,904 | ||||||
Tyco International | |||||||
Group S.A.: f | |||||||
1,468,000 | 6.125%, 01/15/2009 | 1,482,132 | |||||
1,525,000 | 6.375%, 10/15/2011 | 1,560,580 | |||||
300,000 | 6.00%, 11/15/2013 | 289,474 | |||||
United AirLines, Inc. | |||||||
Pass-Thru Certificates: | |||||||
359,270 | Series A-2, | ||||||
6.201%, 09/01/2008 | 353,881 | ||||||
269,803 | Series C, | ||||||
7.762%, 10/01/2105 | 235,403 | ||||||
472,298 | U.S. Airways | ||||||
Pass-Thru Certificate, | |||||||
Series 1998-1, | |||||||
6.85%, 01/30/2018 | 466,394 | ||||||
Vale Overseas Limited: f | |||||||
350,000 | 8.25%, 01/17/2034 | 378,674 | |||||
1,450,000 | 6.875%, 11/21/2036 | 1,346,666 | |||||
1,200,000 | GTE Corporation, | ||||||
6.84%, 04/15/2018 | 1,235,336 | ||||||
675,000 | Viacom, Inc., | ||||||
7.70%, 07/30/2010 | 705,452 | ||||||
1,875,000 | Vodafone Group PLC, | ||||||
6.15%, 02/27/2037 f | 1,714,719 | ||||||
Vulcan Materials, | |||||||
2,000,000 | 7.00%, 06/15/2018 | 2,038,786 | |||||
500,000 | 7.15%, 11/30/2037 | 495,106 | |||||
1,000,000 | Wal-Mart Stores, | ||||||
5.25%, 09/01/2035 | 868,814 | ||||||
113,927,734 | |||||||
Mortgage Backed Securities – 36.5% | |||||||
Bank of America | |||||||
Alternative Loan Trust: | |||||||
539,563 | Series 2003-4, Class 2A1, | ||||||
5.00%, 06/25/2018 | 507,851 | ||||||
950,963 | Series 2003-11, Class 4A1, | ||||||
4.75%, 01/25/2019 | 925,406 | ||||||
600,423 | Series 2004-6, Class 4A1, | ||||||
5.00%, 07/25/2019 | 575,656 | ||||||
615,564 | Series 2004-11, Class 4A1, | ||||||
5.50%, 12/25/2019 | 616,911 | ||||||
990,800 | Series 2005-2, Class 4A1, | ||||||
5.50%, 03/25/2020 | 922,456 | ||||||
4,451,342 | Series 2005-4, Class 3A1, | ||||||
5.50%, 05/25/2020 | 4,252,094 | ||||||
3,509,228 | Series 2005-10, Class 5A1, | ||||||
5.25%, 11/25/2020 | 3,384,257 | ||||||
4,329,328 | Series 2007-1, Class 4A1, | ||||||
6.098%, 04/25/2022 | 4,134,508 | ||||||
1,752,471 | Series 2003-11, Class 2A1, | ||||||
6.00%, 01/25/2034 | 1,665,123 | ||||||
968,671 | Series 2005-2, Class 1CB2, | ||||||
5.50%, 03/25/2035 | 915,597 | ||||||
1,329,267 | Series 2005-9, Class 1CB3, | ||||||
5.50%, 10/25/2035 | 1,262,974 |
The accompanying notes are an integral part of these financial statements.
Page 27
Baird Aggregate Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 92.8% (cont.) | |||||||
Mortgage Backed Securities – 36.5% (cont.) | |||||||
$ | 752,969 | Series 2005-11, | |||||
Class 1CB4, | |||||||
5.50%, 12/25/2035 | $ | 732,515 | |||||
2,456,250 | Series 2006-5, Class CB7, | ||||||
6.00%, 06/25/2036 | 2,394,768 | ||||||
5,000,000 | Bayview Financial | ||||||
Acquisition Trust, | |||||||
Series 2007-B, Class 1A2, | |||||||
6.831%, 07/28/2037 | 4,934,485 | ||||||
Chase Mortgage | |||||||
Finance Corporation: | |||||||
1,426,086 | Series 2003-S13, Class A11, | ||||||
5.50%, 11/25/2033 | 1,403,306 | ||||||
6,000,000 | Series 2006-A1, Class 2A3, | ||||||
6.00%, 09/25/2036 | 5,453,628 | ||||||
689,540 | Citicorp Mortgage | ||||||
Securities, Inc., | |||||||
Series 2004-3, Class A2, | |||||||
5.25%, 05/25/2034 | 671,231 | ||||||
1,668,633 | Citigroup Mortgage | ||||||
Loan Trust, Inc., | |||||||
Series 2005-9, Class 2A2, | |||||||
5.50%, 11/25/2035 | 1,619,301 | ||||||
Countrywide Alternative | |||||||
Loan Trust: | |||||||
1,527,452 | Series 2005-50CB, Class | ||||||
4A1, 5.00%, 11/25/2020 | 1,436,319 | ||||||
7,467,960 | Series 2006-7CB, Class | ||||||
3A1, 5.25%, 05/25/2021 | 7,062,169 | ||||||
1,554,375 | Series 2006-J5, Class 3A1, | ||||||
6.132%, 07/25/2021 | 1,437,797 | ||||||
2,086,331 | Series 2006-43CB, Class | ||||||
2A1, 6.00%, 02/25/2022 | 1,987,606 | ||||||
3,371,928 | Series 2002-11, Class A4, | ||||||
6.25%, 10/25/2032 | 3,290,204 | ||||||
3,000,000 | Series 2005-10CB, Class | ||||||
1A6, 5.50%, 05/25/2035 | 2,847,970 | ||||||
3,216,650 | Series 2005-34CB, Class | ||||||
1A6, 5.50%, 09/25/2035 | 3,091,639 | ||||||
3,796,980 | Series 2006-28CB, Class | ||||||
A17, 6.00%, 10/25/2036 | 3,632,390 | ||||||
748,287 | Countrywide Home Loans, | ||||||
Inc., Series 2003-39, Class | |||||||
A5, 5.00%, 05/25/2012 | 743,472 | ||||||
1,411,024 | CS First Boston | ||||||
Mortgage Securities Corp., | |||||||
Series 2004-4, Class 2A5, | |||||||
5.50%, 06/25/2015 | 1,342,309 | ||||||
2,160,025 | Deutsche Securities | ||||||
Inc. Mortgage, | |||||||
Series 2006-AR5, Class 21A, | |||||||
6.00%, 10/25/2021 | 2,059,725 | ||||||
7,148,471 | DLJ Commercial | ||||||
Mortgage Corporation, | |||||||
Series 1999-CG3, Class | |||||||
A1B, 7.34%, 10/10/2032 | 7,328,270 | ||||||
Federal Gold Loan | |||||||
Mortgage Corporation | |||||||
(FGLMC): | |||||||
1,462,249 | 6.00%, 06/01/2020 | 1,498,273 | |||||
842,133 | 5.00%, 06/01/2023 | 824,900 | |||||
1,668,690 | 6.50%, 06/01/2029 | 1,738,534 | |||||
6,704,398 | 5.50%, 01/01/2036 | 6,623,736 | |||||
4,719,565 | 6.00%, 12/01/2036 | 4,774,043 | |||||
Federal Home Loan | |||||||
Mortgage Corporation | |||||||
(FHLMC): | |||||||
192,417 | 6.50%, 07/01/2014 | 200,267 | |||||
760,546 | 5.50%, 11/01/2022 | 760,174 | |||||
638,545 | 5.50%, 07/01/2023 | 637,868 | |||||
6,506,459 | 5.50%, 04/01/2037 | 6,415,979 |
The accompanying notes are an integral part of these financial statements.
Page 28
Baird Aggregate Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 92.8% (cont.) | |||||||
Mortgage Backed Securities – 36.5% (cont.) | |||||||
$ | 1,029,324 | Series 3124, Class VP, | |||||
6.000%, 06/15/2014 | $ | 1,066,315 | |||||
466,544 | Series 2695, Class UA, | ||||||
5.50%, 09/15/2014 | 477,694 | ||||||
2,827,083 | Series R007, Class AC, | ||||||
5.875%, 05/15/2016 | 2,889,809 | ||||||
3,779,570 | Series R003, Class VA, | ||||||
5.50%, 08/15/2016 | 3,858,377 | ||||||
2,349,812 | Series 3097, Class MC, | ||||||
6.00%, 11/15/2016 | 2,427,599 | ||||||
619,389 | Series 2391, Class QR, | ||||||
5.50%, 12/15/2016 | 634,655 | ||||||
5,882,621 | Series R009, Class AJ, | ||||||
5.75%, 12/15/2018 | 5,984,086 | ||||||
174,375 | Series 206, Class E, | ||||||
0.000%, 07/15/2019 ^ | 153,124 | ||||||
1,876,875 | Series R010, Class AB, | ||||||
5.50%, 12/15/2019 | 1,894,895 | ||||||
106,918 | Series 141, Class D, | ||||||
5.00%, 05/15/2021 | 107,920 | ||||||
86,244 | Series 1074, Class I, | ||||||
6.75%, 05/15/2021 | 86,150 | ||||||
555,609 | Series 1081, Class K, | ||||||
7.00%, 05/15/2021 | 591,010 | ||||||
88,151 | Series 163, Class F, | ||||||
6.00%, 07/15/2021 | 91,102 | ||||||
159,451 | Series 188, Class H, | ||||||
7.00%, 09/15/2021 | 167,782 | ||||||
78,883 | Series 1286, Class A, | ||||||
6.00%, 05/15/2022 | 78,797 | ||||||
2,600,000 | Series 1694, Class PK, | ||||||
6.50%, 03/15/2024 | 2,751,405 | ||||||
2,071 | Series 2141, Class N, | ||||||
5.55%, 11/15/2027 | 2,069 | ||||||
1,075,000 | Series 2664, Class LG, | ||||||
5.50%, 07/15/2028 | 1,094,466 | ||||||
Federal National Mortgage | |||||||
Association (FNMA): | |||||||
1,150,839 | 5.50%, 07/01/2015 | 1,167,415 | |||||
2,028,169 | 5.00%, 02/01/2018 | 2,026,247 | |||||
2,533,550 | 5.00%, 12/01/2019 | 2,530,357 | |||||
785,494 | 5.50%, 01/01/2023 | 785,550 | |||||
2,458,302 | 5.50%, 07/01/2023 | 2,456,706 | |||||
5,010,000 | 5.00%, 11/01/2023 | 4,889,045 | |||||
2,801,944 | 6.00%, 03/01/2026 | 2,847,680 | |||||
6,731,480 | 6.00%, 05/01/2026 | 6,841,357 | |||||
7,951,091 | 5.00%, 05/01/2028 | 7,727,623 | |||||
610,060 | 6.00%, 03/01/2033 | 619,580 | |||||
495,163 | 5.00%, 11/01/2033 | 477,687 | |||||
836,206 | 6.00%, 11/01/2034 | 846,903 | |||||
5,090,924 | 5.50%, 02/01/2035 | 5,038,325 | |||||
13,487,508 | 5.50%, 02/01/2035 | 13,348,155 | |||||
3,703,057 | 5.00%, 11/01/2035 | 3,561,950 | |||||
25,965,412 | 5.50%, 04/01/2036 | 25,672,795 | |||||
2,080,824 | 5.50%, 11/01/2036 | 2,054,773 | |||||
1,895,414 | 6.00%, 08/01/2037 | 1,899,547 | |||||
6,137,458 | Series 2006-B2, Class AB, | ||||||
5.50%, 05/25/2014 | 6,250,858 | ||||||
868,777 | Series 2003-27, Class OJ, | ||||||
5.00%, 07/25/2015 | 877,148 | ||||||
407,006 | Series 2003-24, Class PC, | ||||||
5.00%, 11/25/2015 | 411,434 | ||||||
83,805 | Series 2002-56, Class MC, | ||||||
5.50%, 09/25/2017 | 85,661 | ||||||
466,706 | Series 1989-37, Class G, | ||||||
8.00%, 07/25/2019 | 509,834 | ||||||
76,983 | Series 1989-94, Class G, | ||||||
7.50%, 12/25/2019 | 82,907 | ||||||
20,277 | Series 1990-58, Class J, | ||||||
7.00%, 05/25/2020 | 21,534 | ||||||
194,816 | Series 1990-76, Class G, | ||||||
7.00%, 07/25/2020 | 204,352 |
The accompanying notes are an integral part of these financial statements.
Page 29
Baird Aggregate Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 92.8% (cont.) | |||||||
Mortgage Backed Securities – 36.5% (cont.) | |||||||
$ | 86,873 | Series 1990-105, Class J, | |||||
6.50%, 09/25/2020 | $ | 90,601 | |||||
32,276 | Series 1990-108, Class G, | ||||||
7.00%, 09/25/2020 | 33,728 | ||||||
55,712 | Series 1991-1, Class G, | ||||||
7.00%, 01/25/2021 | 58,667 | ||||||
70,128 | Series 1991-86, Class Z, | ||||||
6.50%, 07/25/2021 | 73,180 | ||||||
277,703 | Series 2003-28, Class KA, | ||||||
4.25%, 03/25/2022 | 273,521 | ||||||
32,824 | Series G92-30, Class Z, | ||||||
7.00%, 06/25/2022 | 34,691 | ||||||
3,079,262 | Series 2003-33, Class LD, | ||||||
4.25%, 09/25/2022 | 3,032,766 | ||||||
849,475 | Series 1993-58, Class H, | ||||||
5.50%, 04/25/2023 | 862,288 | ||||||
533,051 | Series 2003-17, Class QR, | ||||||
4.50%, 11/25/2025 | 533,638 | ||||||
555,564 | Series 1998-66, Class C, | ||||||
6.00%, 12/25/2028 | 568,177 | ||||||
2,000,000 | Series 2002-85, | ||||||
5.50%, 05/25/2031 | 2,013,604 | ||||||
86,876 | Series 2003-44, Class AB, | ||||||
3.75%, 05/25/2033 | 81,860 | ||||||
2,850,488 | Series 2004-W6, Class | ||||||
1A4, 5.50%, 07/25/2034 | 2,781,542 | ||||||
5,095,465 | Series 2004-W6, Class | ||||||
1A6, 5.50%, 07/25/2034 | 4,864,526 | ||||||
7,750,000 | Series 2004-W10, Class | ||||||
A24, 5.00%, 08/25/2034 | 7,688,173 | ||||||
4,000,000 | Series 2004-W10, | ||||||
5.75%, 08/25/2034 | 3,877,278 | ||||||
First Horizon Alternative | |||||||
Mortgage Securities: | |||||||
1,204,332 | Series 2005-FA7, Class | ||||||
2A1, 5.00%, 09/25/2020 | 1,108,786 | ||||||
1,593,180 | Series 2006-FA6, Class | ||||||
3A1, 5.75%, 11/25/2021 | 1,478,463 | ||||||
4,707,343 | Series 2006-FA8, Class | ||||||
2A1, 5.75%, 02/25/2037 | 4,360,843 | ||||||
2,950,000 | First Union National Bank | ||||||
Commercial Mortgage | |||||||
Securities Inc., | |||||||
Series 2001-C4, Class A2, | |||||||
6.223%, 12/12/2033 | 3,010,284 | ||||||
GE Capital Commercial | |||||||
Mortgage Corporation: | |||||||
6,286,410 | Series 2000-1, Class A2, | ||||||
6.496%, 01/15/2033 | 6,442,645 | ||||||
2,865,000 | Series 2002-3A, Class AZ, | ||||||
4.996%, 12/10/2037 | 2,803,669 | ||||||
6,200,000 | Series 2004-C3, Class A4, | ||||||
5.189%, 07/10/2039 | 6,024,645 | ||||||
10,100,000 | GMAC Commercial | ||||||
Mortgage Securities, Inc., | |||||||
Series 2003-C1, Class A2, | |||||||
4.079%, 05/10/2036 | 9,541,426 | ||||||
Government National | |||||||
Mortgage Association | |||||||
(GNMA): | |||||||
800,000 | Series 2004-78, Class C, | ||||||
4.658%, 04/16/2029 | 780,297 | ||||||
492,975 | 6.00%, 11/20/2033 | 501,003 | |||||
1,285,000 | Series 2004-100, Class B, | ||||||
4.603%, 02/16/2043 | 1,243,346 | ||||||
1,396,909 | J.P. Morgan | ||||||
Alternative Loan Trust, | |||||||
Series 2006-A1, Class 2A1, | |||||||
5.799%, 03/25/2036 | 1,117,032 | ||||||
J.P. Morgan Mortgage Trust: | |||||||
3,100,000 | Series 2006-A7, Class | ||||||
2A4R, 5.457%, 01/25/2037 | 2,779,904 |
The accompanying notes are an integral part of these financial statements.
Page 30
Baird Aggregate Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 92.8% (cont.) | |||||||
Mortgage Backed Securities – 36.5% (cont.) | |||||||
$ | 2,244,376 | Series 2006-A7, | |||||
Class 2A2, 5.83%, | |||||||
01/25/2037 | $ | 2,206,067 | |||||
6,100,000 | Series 2007-A2, Class | ||||||
2A3, 5.715%, 04/25/2037 | 5,641,942 | ||||||
Master Alternative | |||||||
Loans Trust: | |||||||
3,196,216 | Series 2004-1, Class 1A1, | ||||||
5.00%, 01/25/2019 | 3,012,727 | ||||||
2,277,152 | Series 2004-4, Class 4A1, | ||||||
5.00%, 04/25/2019 | 2,023,819 | ||||||
879,657 | Series 2003-5, Class 6A1, | ||||||
6.00%, 08/25/2033 | 772,999 | ||||||
721,227 | Residential Accredit Loans, | ||||||
Inc., Series 2004-QS6, | |||||||
Class A1, 5.00%, | |||||||
05/25/2019 | 673,181 | ||||||
800,000 | Residential Funding | ||||||
Mortgage Security I, | |||||||
Series 2003-S11, Class A2, | |||||||
4.00%, 06/25/2018 | 751,858 | ||||||
Salomon Brothers | |||||||
Mortgage Securities VII: | |||||||
1,586,742 | Series 2003-UP2, Class A2, | ||||||
4.00%, 06/25/2033 | 1,494,129 | ||||||
2,870,526 | Series 2001-C2, Class A3, | ||||||
6.50%, 11/13/2036 | 2,945,366 | ||||||
1,850,000 | Wachovia Bank Commercial | ||||||
Mortgage Trust, | |||||||
Series 2003-C3, Class A2, | |||||||
4.867%, 02/15/2035 | 1,789,185 | ||||||
Washington Mutual, Inc. | |||||||
Pass-Thru Certificates: | |||||||
2,403,632 | Series 2004-CB1, Class 5A, | ||||||
5.00%, 06/25/2019 | 2,304,482 | ||||||
4,329,093 | Series 2004-CB2, Class | ||||||
7A, 5.50%, 08/25/2019 | 4,172,259 | ||||||
1,548,571 | Series 2004-CB3, Class | ||||||
4A, 6.00%, 10/25/2019 | 1,540,828 | ||||||
1,016,348 | Series 2004-CB4, Class | ||||||
21A, 5.50%, 12/25/2019 | 957,752 | ||||||
312,045,566 | |||||||
Taxable Municipal Bonds – 0.7% | |||||||
1,000,000 | Cuyahoga County Ohio | ||||||
Industrial Development | |||||||
Revenue, 9.125%, | |||||||
10/01/2023 | 1,169,880 | ||||||
3,930,000 | Tobacco Settlement | ||||||
Authority Iowa, | |||||||
6.50%, 06/01/2023 | 3,611,198 | ||||||
1,608,030 | Tobacco Settlement | ||||||
Financing Corporation: | |||||||
Series 2001-A, Class A, | |||||||
6.36%, 05/15/2025 | 1,547,118 | ||||||
6,328,196 | |||||||
Utilities – 4.3% | |||||||
431,000 | Beaver Valley Funding | ||||||
Corporation Debentures, | |||||||
9.00%, 06/01/2017 | 464,243 | ||||||
1,000,000 | Duke Capital LLC Notes, | ||||||
5.668%, 08/15/2014 | 976,967 | ||||||
750,000 | Energy Transfer Partners, | ||||||
5.65%, 08/01/2012 | 756,199 | ||||||
300,000 | Exelon Corporation Senior | ||||||
Notes, 6.75%, 05/01/2011 | 308,199 | ||||||
2,500,000 | FPL Group Capital, Inc., | ||||||
7.30%, 09/01/2067 | |||||||
(Callable 09/01/2017) | 2,352,350 | ||||||
2,750,000 | Illinois Power Company, | ||||||
7.50%, 06/15/2009 | 2,797,055 |
The accompanying notes are an integral part of these financial statements.
Page 31
Baird Aggregate Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 92.8% (cont.) | |||||||
Utilities – 4.3% (cont.) | |||||||
Kinder Morgan Energy | |||||||
Partners Senior Notes: | |||||||
$ | 600,000 | 6.30%, 02/01/2009 f | $ | 606,085 | |||
2,250,000 | 6.95%, 01/15/2038 | 2,233,174 | |||||
900,000 | Kinder Morgan Finance, | ||||||
5.70%, 01/05/2016 | 801,000 | ||||||
211,959 | Kiowa Power Partners LLC, | ||||||
4.811%, 12/30/2013 | |||||||
(Acquired 11/19/2004; | |||||||
Cost $211,959)* | 207,181 | ||||||
Korea Electric Power | |||||||
Corporation: f | |||||||
100,000 | 7.75%, 04/01/2013 | 109,857 | |||||
2,165,000 | 6.75%, 08/01/2027 | 2,157,256 | |||||
1,035,000 | MidAmerican Energy | ||||||
Holdings, 7.52%, | |||||||
09/15/2008 | 1,042,318 | ||||||
1,325,000 | National Grid PLC | ||||||
Senior Unsecured Notes, | |||||||
6.30%, 08/01/2016 f | 1,326,740 | ||||||
2,025,000 | NiSource Finance | ||||||
Corporation, 7.875%, | |||||||
11/15/2010 | 2,099,955 | ||||||
625,000 | ONEOK, Inc. | ||||||
Senior Notes, | |||||||
7.125%, 04/15/2011 | 653,496 | ||||||
875,000 | Pacific Gas & Electric | ||||||
Company 1st Mortgage, | |||||||
6.05%, 03/01/2034 | 843,704 | ||||||
5,670,000 | Panhandle Eastern | ||||||
Pipeline Senior Notes, | |||||||
4.80%, 08/15/2008 | 5,668,617 | ||||||
1,000,000 | Plains All American | ||||||
Pipeline Senior Notes, | |||||||
5.625%, 12/15/2013 | 998,669 | ||||||
300,000 | PPL Energy Supply, | ||||||
LLC Senior Notes, | |||||||
6.40%, 11/01/2011 | 306,837 | ||||||
175,000 | PSE&G Energy Holdings | ||||||
LLC Senior Notes, | |||||||
8.50%, 06/15/2011 | 183,552 | ||||||
PSE&G Power LLC: | |||||||
250,000 | 7.75%, 04/15/2011 | 266,386 | |||||
350,000 | 5.00%, 04/01/2014 | 332,715 | |||||
1,567,599 | RGS (I&M) Funding | ||||||
Corporation Debentures, | |||||||
9.82%, 12/07/2022 | 1,763,439 | ||||||
2,900,000 | Rockies Express Pipeline | ||||||
LLC, 5.776%, 08/20/2009 | |||||||
(Acquired 09/17/2007 | |||||||
and 02/21/2008; Cost | |||||||
$2,193,767 and $679,987)* | 2,901,952 | ||||||
1,400,000 | Southern Natural Gas, | ||||||
5.90%, 04/01/2017 | |||||||
(Acquired 03/14/2007; | |||||||
Cost $1,397,676)* | 1,337,469 | ||||||
700,000 | Transcontinental Gas Pipe | ||||||
Line Corporation Senior | |||||||
Notes, 8.875%, 07/15/2012 | 775,250 | ||||||
Vectren Utility Holdings: | |||||||
875,000 | 6.625%, 12/01/2011 | 896,016 | |||||
1,100,000 | 5.25%, 08/01/2013 | 1,069,619 | |||||
550,000 | Williams Companies, | ||||||
Inc. Notes, | |||||||
8.125%, 03/15/2012 | 577,500 | ||||||
36,813,800 | |||||||
U.S. Government Agency Issues – 7.4% | |||||||
Federal National Mortgage | |||||||
Association (FNMA): | |||||||
57,975,000 | 6.00%, 05/15/2011 | 61,734,505 | |||||
2,017,485 | 5.500%, 09/01/2034 | 1,996,640 | |||||
63,731,145 |
The accompanying notes are an integral part of these financial statements.
Page 32
Baird Aggregate Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
U.S. TREASURY OBLIGATIONS – 8.2% | |||||||
$ | 59,250,000 | U.S. Treasury Bonds, | |||||
6.25%, 08/15/2023 | $ | 70,493,636 | |||||
Total Long-Term | |||||||
Investments | |||||||
(Cost $817,178,272) | 794,134,969 | ||||||
Shares | |||||||
SHORT-TERM INVESTMENTS – 4.5% | |||||||
Money Market Fund – 4.5% | |||||||
38,133,038 | Short-Term Investment | ||||||
Company Liquid Assets | |||||||
Portfolio – AIM Fund | 38,133,038 | ||||||
Total Short-Term | |||||||
Investments | |||||||
(Cost $38,133,038) | 38,133,038 | ||||||
Principal | |||||||
Amount | |||||||
INVESTMENTS PURCHASED | |||||||
WITH CASH PROCEEDS FROM | |||||||
SECURITIES LENDING – 19.4% | |||||||
Certificate of Deposit – 1.8% | |||||||
$ | 5,355,944 | Bank of Scotland, | |||||
2.9944%, 05/06/09 | 5,342,768 | ||||||
6,070,070 | Barclays Bank, | ||||||
3.3615%, 03/16/09 | 6,068,734 | ||||||
3,570,629 | Natixis Bank of New York, | ||||||
3.35%, 06/30/09 | 3,560,596 | ||||||
14,972,098 | |||||||
Commercial Paper – 4.8% | |||||||
3,570,629 | Barton Capital Corporation, | ||||||
2.171%, 07/25/08 | 3,564,345 | ||||||
4,149,428 | Falcon Asset SC Corporation, | ||||||
2.17%, 07/24/08 | 4,142,417 | ||||||
3,570,629 | Kitty Hawk Funding Corp., | ||||||
2.181%, 07/25/08 | 3,564,345 | ||||||
5,259,285 | KKR Atlantic | ||||||
Funding Trust, | |||||||
3.05875%, 03/25/09 # | 5,259,285 | ||||||
3,570,629 | Ranger Funding Company | ||||||
LLC, 2.6%, 08/22/08 | 3,556,347 | ||||||
3,570,629 | Sheffield Receivables, | ||||||
2.151%, 07/16/08 | 3,566,630 | ||||||
3,570,629 | Societe Gen North America, | ||||||
2.8%, 09/04/08 | 3,551,776 | ||||||
3,570,629 | Thames Ast Global Sec., | ||||||
2.251%, 07/07/08 | 3,568,880 | ||||||
3,570,629 | Thunder Bay Funding LLC, | ||||||
2.15%, 07/11/08 | 3,567,880 | ||||||
3,570,629 | Variable Funding | ||||||
Capital Corporation, | |||||||
2.7%, 09/08/08 | 3,550,634 | ||||||
3,570,629 | Windmill Funding, | ||||||
2.2%, 08/18/08 | 3,557,418 | ||||||
41,449,957 | |||||||
Corporate Bonds and Notes – 1.7% | |||||||
1,785,314 | Allstate Life GL, | ||||||
3.34%, 03/20/09 | 1,782,547 | ||||||
3,927,692 | Allstate Life GL, | ||||||
3.0575%, 03/20/09 | 3,927,692 | ||||||
5,355,944 | Wachovia Bank NA, | ||||||
2.17%, 02/04/09 | 5,344,803 | ||||||
3,570,628 | Svenska Handelsbanken, | ||||||
2.232%, 02/06/09 | 3,568,487 | ||||||
14,623,529 | |||||||
Shares | |||||||
Money Market Mutual Funds – 1.4% | |||||||
4,999,044 | Merrill Lynch Premier | ||||||
Institutional Fund | 4,999,044 | ||||||
7,141,258 | Reserve Primary Fund | 7,141,258 | |||||
12,140,302 |
The accompanying notes are an integral part of these financial statements.
Page 33
Baird Aggregate Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
INVESTMENTS PURCHASED | |||||||
WITH CASH PROCEEDS FROM | |||||||
SECURITIES LENDING – 19.4% (cont.) | |||||||
Repurchase Agreements – 9.7% | |||||||
$ | 26,779,719 | Greenwich Capital, 2.75%, | |||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized by | |||||||
Freddie Mac Collateralized | |||||||
Mortgage Obligation | |||||||
Guaranteed Zero Coupon | |||||||
Bonds, 01/01/32 – 04/15/37, | |||||||
valued at $27,315,840. | |||||||
Repurchase proceeds are | |||||||
$26,781,764.) | $ | 26,779,719 | |||||
26,779,719 | ING Financial, 2.75%, | ||||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized | |||||||
by various collateralized | |||||||
mortgage obligations, | |||||||
5.00 – 6.00%, 07/01/25 – | |||||||
08/01/35, valued at | |||||||
$27,316,056. Repurchase | |||||||
proceeds are $26,781,764.) | 26,779,719 | ||||||
26,779,719 | JPMorgan Chase, 2.70%, | ||||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized by | |||||||
Freddie Mac Collateralized | |||||||
Mortgage Obligation | |||||||
Guaranteed Zero Coupon | |||||||
Bonds, 07/15/35 – 01/15/37, | |||||||
valued at $27,583,842. | |||||||
Repurchase proceeds | |||||||
are $26,781,728.) | 26,779,719 | ||||||
2,499,440 | Morgan Stanley, 2.75%, | ||||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized | |||||||
by a Freddie Mac | |||||||
Collateralized Mortgage | |||||||
Obligation, 3.07%, | |||||||
09/15/37, valued | |||||||
at $2,552,767. | |||||||
Repurchase proceeds | |||||||
are $2,499,631.) | 2,499,440 | ||||||
82,838,597 | |||||||
Total Investments | |||||||
Purchased With Cash | |||||||
Proceeds From | |||||||
Securities Lending | |||||||
(Cost $166,024,483) | 166,024,483 | ||||||
Total Investments | |||||||
(Cost $1,021,335,793) – | |||||||
116.7% | 998,292,490 | ||||||
Liabilities in Excess of | |||||||
Other Assets – (16.7)% | (142,670,563 | ) | |||||
TOTAL NET | |||||||
ASSETS – 100.0% | $ | 855,621,927 |
^ | Non Income Producing |
* | Restricted Security Deemed Liquid |
f | Foreign Security |
# | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds’ Board of Directors |
The accompanying notes are an integral part of these financial statements.
Page 34
Schedule of Investments June 30, 2008 (Unaudited) |
FAS 157 – Summary of Fair Value Exposure at June 30, 2008
In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“SFAS 157”) effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles (GAAP), and expands disclosures about fair value measurements. The Fund adopted FAS 157 as of January 1, 2008. Under SFAS 157, various inputs are used in determining the value of the Fund’s investments. These inputs are summarized into three broad levels and described below:
Level 1 – Quoted prices in active markets for identical securities.
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2008:
Description | Schedule of Investments | |||
Level 1 – Quoted prices | $ | 50,273,340 | ||
Level 2 – Other significant observable inputs | 942,259,865 | |||
Level 3 – Significant unobservable inputs | 5,759,285 | |||
Total | $ | 998,292,490 |
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
Schedule of Investments | ||||
Balance as of 12/31/07 | $ | 5,659,655 | ||
Accrued discounts / premiums | — | |||
Realized gain (loss) | — | |||
Change in unrealized appreciation (depreciation) | 91,717 | |||
Net purchases (sales/paydowns) | (492,087 | ) | ||
Transfers in and / or out of Level 3* | 500,000 | |||
Balance as of 06/30/08 | $ | 5,759,285 |
* | The information used in the above reconciliation represents fiscal year to date activity for any investments identified as using Level 3 inputs at either the beginning or end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in) or ending value (for transfers out) of any security or instrument where a change in the pricing level occurred from the beginning to the end of the period. |
Page 35
The Baird Intermediate Municipal Bond Fund seeks current income that is substantially exempt from federal income tax. A secondary objective is to provide total return with relatively low volatility of principal. The Fund strives to achieve an annual rate of return, before Fund expenses, greater than the annual rate of the total return of the Lehman Brothers 7-Year General Obligation Bond Index. The Lehman Brothers 7-Year General Obligation Bond Index is an unmanaged, market value weighted index consisting of investment grade state and local general obligation bonds that have been issued as part of an offering of at least $50 million; have a minimum amount outstanding of at least $5 million; have been issued within the last five years; and have a maturity of six to eight years.
Portfolio Characteristics
Quality Distribution* | Sector Weightings* |
Net Assets: | $143,116,616 | Annualized Expense Ratio: | |||
SEC 30-Day Yield:** | Institutional Class: | 0.30 | % | ||
Institutional Class: | 3.34% | Investor Class: | 0.55 | %*** | |
Investor Class: | 3.13% | Portfolio Turnover Rate:**** | 4 | % | |
Average Effective Duration: | 5.13 years | Total Number of Holdings: | 93 | ||
Average Effective Maturity: | 6.07 years |
* | Percentages shown are based on the Fund’s total net assets. | |
** | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2008. | |
*** | Includes 0.25% 12b-1 fee. | |
**** | Not annualized. |
Page 36
Average Annual Total Returns
Since | |||
For the Periods Ended June 30, 2008 | One Year | Five Years | Inception(1) |
Baird Intermediate Municipal Bond Fund – Institutional Class Shares | 5.57% | 2.89% | 4.68% |
Baird Intermediate Municipal Bond Fund – Investor Class Shares | 5.22% | 2.64% | 4.41% |
Lehman Brothers 7-Year General Obligation Bond Index(2) | 5.97% | 3.39% | 4.58% |
(1) | For the period from March 30, 2001 (commencement of operations) through June 30, 2008. |
(2) | The Lehman Brothers 7-Year General Obligation Bond Index is an unmanaged, market value weighted index comprised of investment grade state and local general obligation bonds that have been issued as part of an offering of at least $50 million, have a minimum amount outstanding of at least $5 million, have been issued within the last five years and have a maturity of six to eight years. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 37
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
MUNICIPAL BONDS – 97.9% | |||||||
Arizona – 3.8% | |||||||
$ | 1,415,000 | Arizona Health Facilities | |||||
Authority Hospital | |||||||
Revenue, 6.375%, | |||||||
12/01/2037 (Pre-refunded | |||||||
to 12/01/2012) | $ | 1,595,129 | |||||
2,375,000 | Arizona School Facilities | ||||||
Board Revenue, 5.755%, | |||||||
07/01/2018 (Pre-refunded | |||||||
to 07/01/2014) | 2,654,894 | ||||||
1,000,000 | Pima County Arizona | ||||||
Independent Development | |||||||
Authority, 7.125%, | |||||||
07/01/2024 (Pre-refunded | |||||||
to 07/01/2014) | 1,176,750 | ||||||
5,426,773 | |||||||
Arkansas – 0.2% | |||||||
345,000 | Springdale Arkansas Sales | ||||||
& Use Tax Revenue, 4.00%, | |||||||
07/01/2016 (Pre-refunded | |||||||
to various dates) | 345,635 | ||||||
California – 0.5% | |||||||
465,000 | Golden State Tobacco | ||||||
Securitization Corporation, | |||||||
6.25%, 06/01/2033 | 502,488 | ||||||
230,000 | Santa Rosa California | ||||||
Hospital Revenue, 10.30%, | |||||||
03/01/2011 (ETM) | 257,835 | ||||||
760,323 | |||||||
Colorado – 7.3% | |||||||
2,000,000 | Adams County Colorado | ||||||
Single Family Mortgage | |||||||
Revenue, 8.875%, | |||||||
08/01/2012 (ETM) | 2,422,060 | ||||||
70,000 | Colorado Springs Colorado | ||||||
Utilities Revenue, 5.80%, | |||||||
11/15/2010 (ETM) | 72,788 | ||||||
Denver Colorado | |||||||
Convention Center & | |||||||
Hotel Authority Revenue: | |||||||
1,000,000 | 5.00%, 12/01/2021 | ||||||
(Pre-refunded to | |||||||
12/01/2013) | 1,066,730 | ||||||
2,550,000 | 5.00%, 12/01/2024 | ||||||
(Pre-refunded to | |||||||
12/01/2013) | 2,720,162 | ||||||
3,675,000 | Denver Colorado Health | ||||||
& Hospital Authority | |||||||
Healthcare Revenue, 6.25%, | |||||||
12/01/2033 (Pre-refunded | |||||||
to 12/01/2014) | 4,216,658 | ||||||
10,498,398 | |||||||
Delaware – 1.1% | |||||||
1,500,000 | Delaware State Economic | ||||||
Development Authority | |||||||
Revenue, 6.75%, | |||||||
01/01/2013 (ETM) | 1,619,550 | ||||||
Florida – 12.4% | |||||||
5,000,000 | Coral Gables Florida | ||||||
Health Facility Authority | |||||||
Hospital Revenue, 5.00%, | |||||||
08/15/2029 (Pre-refunded | |||||||
to 08/15/2014) | 5,395,300 | ||||||
2,355,000 | Dade County Florida | ||||||
Health Facility Authority | |||||||
Hospital Revenue, 5.75%, | |||||||
05/01/2021 (ETM) | 2,600,744 |
The accompanying notes are an integral part of these financial statements.
Page 38
Baird Intermediate Municipal Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
MUNICIPAL BONDS – 97.9% (cont.) | |||||||
Florida – 12.4% (cont.) | |||||||
$ | 1,600,000 | Islands At Doral (SW) | |||||
Community Development | |||||||
District, 6.375%, | |||||||
05/01/2035 | |||||||
(Pre-refunded to | |||||||
05/01/2013) | $ | 1,774,704 | |||||
300,000 | Jacksonville Florida | ||||||
Health Facility Authority | |||||||
Hospital Revenue, 11.50%, | |||||||
10/01/2012 (ETM) | 395,256 | ||||||
1,470,000 | Miami Beach Florida | ||||||
Resort Tax Revenue Bonds, | |||||||
6.25%, 10/01/2022 (ETM) | 1,728,235 | ||||||
150,000 | Orange County Florida | ||||||
Health Revenue, 8.75%, | |||||||
10/01/2009 (ETM) | 156,981 | ||||||
1,000,000 | Orlando Florida Utilities | ||||||
Commission Water & | |||||||
Electric Revenue, 6.75%, | |||||||
10/01/2017 (ETM) | 1,146,530 | ||||||
4,000,000 | Seminole County | ||||||
Florida Water & Sewer | |||||||
Revenue, 6.00%, | |||||||
10/01/2019 (ETM) | 4,524,400 | ||||||
17,722,150 | |||||||
Georgia – 0.8% | |||||||
1,020,000 | Fulton County Georgia | ||||||
Hospital Authority | |||||||
Revenue, 7.875%, | |||||||
10/01/2013 (ETM) | 1,157,751 | ||||||
Illinois – 8.4% | |||||||
1,000,000 | Chicago Illinois General | ||||||
Obligation Project and | |||||||
Refunding, 5.00%, | |||||||
01/01/2017 (FSA Insured) | 1,069,550 | ||||||
1,000,000 | Chicago Illinois Public | ||||||
Building Community | |||||||
Building Revenue, 7.00%, | |||||||
01/01/2020 (ETM) | 1,231,420 | ||||||
1,440,000 | Chicago Illinois | ||||||
Metropolitan Water | |||||||
Reclamation District | |||||||
General Obligation, | |||||||
7.00%, 12/01/2010 (ETM) | 1,580,011 | ||||||
1,430,000 | Cook County Illinois | ||||||
School District No. 100, | |||||||
8.10%, 12/01/2016 (ETM) | 1,866,679 | ||||||
1,025,000 | Lake County Illinois | ||||||
Community High School | |||||||
District No.124 Grant, | |||||||
5.00%, 12/01/2017 | 1,103,034 | ||||||
1,000,000 | Lake County Community | ||||||
High School District No. | |||||||
128, 5.00%, 01/01/2013 | 1,062,740 | ||||||
1,805,000 | Metropolitan Pier & | ||||||
Exposition Authority | |||||||
Illinois, 5.50%, | |||||||
06/15/2016 (ETM) | 1,985,211 | ||||||
2,000,000 | Northwest Suburban | ||||||
Illinois Municipal | |||||||
Joint Action Revenue | |||||||
Bonds, 5.00%, | |||||||
05/01/2014 (ETM) | 2,151,360 | ||||||
12,050,005 | |||||||
Indiana – 2.0% | |||||||
1,330,000 | Hammond Indiana | ||||||
Multi-School Building | |||||||
Corporation, | |||||||
5.00%, 07/15/2018 | 1,402,990 |
The accompanying notes are an integral part of these financial statements.
Page 39
Baird Intermediate Municipal Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
MUNICIPAL BONDS – 97.9% (cont.) | |||||||
Indiana – 2.0% (cont.) | |||||||
$ | 285,000 | Indiana Toll Road | |||||
Commission, 9.00%, | |||||||
01/01/2015 (ETM) | $ | 346,415 | |||||
1,000,000 | South Bend Indiana | ||||||
Community School | |||||||
Building Corporation, | |||||||
5.00%, 07/15/2017 | 1,050,400 | ||||||
2,799,805 | |||||||
Iowa – 1.1% | |||||||
1,010,000 | Des Moines Iowa | ||||||
Metropolitan Wastewater | |||||||
Reclamation Authority, | |||||||
5.00%, 06/01/2015 | |||||||
(MBIA Insured) | 1,083,538 | ||||||
405,000 | Muscatine Iowa Electric | ||||||
Revenue, 6.70%, | |||||||
01/01/2013 (ETM) | 438,514 | ||||||
1,522,052 | |||||||
Louisiana – 2.2% | |||||||
400,000 | Houma-Terrebonne Public | ||||||
Trust Financing Authority, | |||||||
7.30%, 04/01/2010 (ETM) | 430,200 | ||||||
1,000,000 | Houma-Terrebonne Public | ||||||
Trust Financing Authority | |||||||
Single Family Mortgage | |||||||
Revenue, 7.30%, | |||||||
04/01/2011 (ETM) | 1,104,340 | ||||||
1,450,000 | Jefferson Parish Louisiana | ||||||
Home Mortgage | |||||||
Authority, 7.10%, | |||||||
08/01/2010 (ETM) | 1,572,511 | ||||||
3,107,051 | |||||||
Massachusetts – 6.1% | |||||||
5,745,000 | Massachusetts State, | ||||||
5.00%, 08/01/2020 | |||||||
(Pre-refunded to | |||||||
08/01/2016) | 6,232,980 | ||||||
2,200,000 | Massachusetts State | ||||||
Water Resources | |||||||
Authority, 6.50%, | |||||||
07/15/2019 (ETM) | 2,550,988 | ||||||
8,783,968 | |||||||
Michigan – 2.4% | |||||||
1,000,000 | Cornell Twp Michigan | ||||||
Economic Development | |||||||
Revenue, 5.875%, | |||||||
05/01/2018 | 1,091,830 | ||||||
2,185,000 | Detroit Michigan Sewer | ||||||
Disposal Revenue Bonds, | |||||||
5.00%, 07/01/2030 | |||||||
(Pre-refunded to | |||||||
07/01/2015) | 2,364,236 | ||||||
3,456,066 | |||||||
Minnesota – 2.1% | |||||||
1,040,000 | Centennial Independent | ||||||
School District No. 12 | |||||||
Minnesota, 5.00%, | |||||||
02/01/2014 | 1,092,718 | ||||||
1,215,000 | Robbinsdale Independent | ||||||
School District No. 281, | |||||||
5.00%, 07/01/2020 | 1,276,588 | ||||||
550,000 | Western Minnesota | ||||||
Municipal Power | |||||||
Agency, 6.375%, | |||||||
01/01/2016 (ETM) | 606,485 | ||||||
2,975,791 |
The accompanying notes are an integral part of these financial statements.
Page 40
Baird Intermediate Municipal Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
MUNICIPAL BONDS – 97.9% (cont.) | |||||||
Mississippi – 0.3% | |||||||
$ | 600,000 | Mississippi Housing | |||||
Financial Corporation, | |||||||
0.00%, 06/01/2015 | |||||||
(ETM) ^ | $ | 448,368 | |||||
Missouri – 1.6% | |||||||
2,000,000 | St. Louis County | ||||||
Industrial Development | |||||||
Authority, 6.625%, | |||||||
11/15/2035 (Pre-refunded | |||||||
to 11/15/2013) | 2,300,120 | ||||||
Nebraska – 1.2% | |||||||
1,640,000 | Nebraska Public Power | ||||||
District Revenue, | |||||||
5.00%, 01/01/2015 | 1,735,874 | ||||||
Nevada – 1.5% | |||||||
1,965,000 | Reno Nevada Capital | ||||||
Improvement Revenue, | |||||||
5.50%, 06/01/2019 | |||||||
(Pre-refunded to | |||||||
06/01/2012) | 2,111,137 | ||||||
New Jersey – 2.6% | |||||||
1,000,000 | New Jersey State | ||||||
Transportation Trust | |||||||
Fund Authority, 6.00%, | |||||||
12/15/2017 (Pre-refunded | |||||||
to 12/15/2011) | 1,092,800 | ||||||
New Jersey State Turnpike | |||||||
Authority: (ETM) | |||||||
177,000 | 6.75%, 01/01/2009 | 181,321 | |||||
130,000 | 6.50%, 01/01/2016 | 147,412 | |||||
2,000,000 | Tobacco Settlement | ||||||
Financing Corporation, | |||||||
6.25%, 06/01/2043 | |||||||
(Pre-refunded to | |||||||
06/01/2013) | 2,248,040 | ||||||
3,669,573 | |||||||
New Mexico – 0.8% | |||||||
1,000,000 | New Mexico State Hospital | ||||||
Equipment Loan Council | |||||||
Hospital Revenue, 5.25%, | |||||||
07/01/2025 (Pre-refunded | |||||||
to 07/01/2015) | 1,084,490 | ||||||
New York – 0.9% | |||||||
1,000,000 | New York, New York, | ||||||
5.00%, 03/01/2016 | |||||||
�� | (FGIC Insured) | 1,058,520 | |||||
210,000 | TSASC Inc. New York, | ||||||
4.75%, 06/01/2022 | 192,578 | ||||||
1,251,098 | |||||||
North Carolina – 0.2% | |||||||
225,000 | North Carolina Eastern | ||||||
Municipal Power | |||||||
Agency Power Systems | |||||||
Revenue, 6.40%, | |||||||
01/01/2021 (ETM) | 265,016 | ||||||
Ohio – 0.1% | |||||||
135,000 | Miamisburg Ohio Water | ||||||
Revenue, 7.00%, | |||||||
11/15/2016 (ETM) | 154,258 | ||||||
Oklahoma – 1.8% | |||||||
2,360,000 | Tulsa County Oklahoma | ||||||
Home Financing Authority | |||||||
Single Family Mortgage | |||||||
Revenue, 6.90%, | |||||||
08/01/2011 (ETM) | 2,614,668 |
The accompanying notes are an integral part of these financial statements.
Page 41
Baird Intermediate Municipal Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
MUNICIPAL BONDS – 97.9% (cont.) | |||||||
Pennsylvania – 6.2% | |||||||
$ | 1,275,000 | Central Dauphin | |||||
Pennsylvania School | |||||||
District, 6.75%, | |||||||
02/01/2024 (Pre-refunded | |||||||
to 02/01/2016) | $ | 1,528,024 | |||||
3,000,000 | Pennsylvania State Public | ||||||
School Building Authority | |||||||
Lease Revenue, 5.00%, | |||||||
11/15/2034 (Pre-refunded | |||||||
to 11/15/2014) | 3,210,510 | ||||||
1,790,000 | Philadelphia Pennsylvania | ||||||
Authority For Industrial | |||||||
Development Revenue, | |||||||
5.25%, 01/01/2027 | |||||||
(Pre-refunded to | |||||||
01/01/2017) | 1,957,884 | ||||||
740,000 | Philadelphia Pennsylvania | ||||||
Gas Works, 7.00%, | |||||||
05/15/2020 (ETM) | 871,032 | ||||||
1,160,000 | Pittsburgh Pennsylvania | ||||||
Water & Sewer | |||||||
Authority, 7.25%, | |||||||
09/01/2014 (ETM) | 1,298,156 | ||||||
8,865,606 | |||||||
South Carolina – 1.7% | |||||||
285,000 | Greenville South Carolina | ||||||
Waterworks Revenue, | |||||||
7.00%, 02/01/2010 (ETM) | 304,346 | ||||||
2,000,000 | Lexington County South | ||||||
Carolina Health Services | |||||||
District Hospital Revenue, | |||||||
5.50%, 11/01/2032 | |||||||
(Pre-refunded to | |||||||
11/01/2013) | 2,164,480 | ||||||
2,468,826 | |||||||
South Dakota – 0.5% | |||||||
610,000 | Heartland Consumers | ||||||
Power District, 7.00%, | |||||||
01/01/2016 (ETM) | 689,086 | ||||||
Tennessee – 1.5% | |||||||
335,000 | Metropolitan | ||||||
Government Nashville & | |||||||
Davidson County | |||||||
Tennessee H&E, 6.10%, | |||||||
07/01/2010 (ETM) | 345,131 | ||||||
1,545,000 | Metropolitan Government | ||||||
Nashville & Davidson | |||||||
County Tennessee Water | |||||||
& Sewer Revenue, 6.50%, | |||||||
12/01/2014 (ETM) | 1,799,415 | ||||||
2,144,546 | |||||||
Texas – 25.3% | |||||||
1,125,000 | Barbers Hill | ||||||
Texas Independent | |||||||
School District | |||||||
General Obligation, | |||||||
5.00%, 02/15/2017 | |||||||
(PSF Guaranteed) | 1,191,127 | ||||||
1,000,000 | Copperas Cove | ||||||
Texas Independent | |||||||
School District, | |||||||
5.00%, 08/15/2016 | |||||||
(PSF Guaranteed) | 1,070,950 | ||||||
1,500,000 | Cypress-Fairbanks | ||||||
Texas Independent | |||||||
School District, | |||||||
5.00%, 02/15/2017 | |||||||
(PSF Guaranteed) | 1,599,615 | ||||||
1,625,000 | Frisco Texas Independent | ||||||
School District, | |||||||
6.00%, 08/15/2018 | |||||||
(PSF Guaranteed) | 1,843,465 |
The accompanying notes are an integral part of these financial statements.
Page 42
Baird Intermediate Municipal Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
MUNICIPAL BONDS – 97.9% (cont.) | |||||||
Texas – 25.3% (cont.) | |||||||
$ | 1,000,000 | Georgetown Texas | |||||
Independent | |||||||
School District, | |||||||
5.00%, 02/15/2016 | |||||||
(PSF Guaranteed) | $ | 1,066,570 | |||||
1,720,000 | Harris County Texas | ||||||
Health Facilities | |||||||
Development Corporation | |||||||
Hospital Revenue, 5.50%, | |||||||
10/01/2019 (ETM) | 1,931,749 | ||||||
2,000,000 | Harris County Texas, | ||||||
5.25%, 10/01/2017 | |||||||
(Pre-refunded to | |||||||
10/01/2013) | 2,168,260 | ||||||
5,050,000 | Houston Texas Health | ||||||
Facilities Corporate | |||||||
Facilities Revenue, | |||||||
7.125%, 02/15/2034 | |||||||
(Pre-refunded to | |||||||
02/15/2014) | 5,932,689 | ||||||
1,920,000 | Houston Texas Sewer | ||||||
System Revenue, 9.375%, | |||||||
10/01/2013 (ETM) | 2,282,861 | ||||||
1,315,000 | La Porte Texas | ||||||
Independent | |||||||
School District, | |||||||
5.00%, 02/15/2018 | |||||||
(MBIA Insured) | 1,383,696 | ||||||
1,735,000 | Lufkin Texas Independent | ||||||
School District, | |||||||
5.00%, 08/15/2015 | |||||||
(PSF Guaranteed) | 1,853,466 | ||||||
1,050,000 | Magnolia Texas | ||||||
Independent | |||||||
School District, | |||||||
5.00%, 08/15/2016 | |||||||
(PSF Guaranteed) | 1,132,688 | ||||||
1,265,000 | Mission Consolidation | ||||||
Independent School District, | |||||||
5.00%, 02/15/2019 | |||||||
(PSF Guaranteed) | 1,323,620 | ||||||
1,210,000 | Pearland Texas Waterworks | ||||||
& Sewage, 5.25%, | |||||||
03/01/2023 (Pre-refunded | |||||||
to 03/01/2014) | 1,311,374 | ||||||
1,295,000 | Rockwall Texas Independent | ||||||
School District, | |||||||
5.00%, 02/15/2015 | |||||||
(PSF Guaranteed) | 1,389,807 | ||||||
775,000 | Sam Rayburn Texas | ||||||
Municipal Power Agency, | |||||||
6.00%, 09/01/2010 (ETM) | 809,945 | ||||||
1,565,000 | San Antonio Texas Electric | ||||||
& Gas Revenue, 5.65%, | |||||||
02/01/2019 (ETM) | 1,757,667 | ||||||
2,000,000 | San Antonio Texas | ||||||
Independent School District, | |||||||
5.00%, 08/15/2017 | |||||||
(PSF Guaranteed) | 2,125,260 | ||||||
575,000 | Socorro Texas Independent | ||||||
School District, | |||||||
5.25%, 08/15/2012 | |||||||
(PSF Guaranteed) | 616,204 | ||||||
345,000 | Texas Public Building | ||||||
Authority Revenue, 7.125%, | |||||||
08/01/2011 (ETM) | 366,659 |
The accompanying notes are an integral part of these financial statements.
Page 43
Baird Intermediate Municipal Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
MUNICIPAL BONDS – 97.9% (cont.) | |||||||
Texas – 25.3% (cont.) | |||||||
$ | 1,900,000 | Trinity River Authority | |||||
Texas Revenue, | |||||||
5.50%, 02/01/2021 | |||||||
(MBIA Insured) | $ | 2,065,262 | |||||
1,000,000 | University of Houston | ||||||
Texas, 5.25%, 02/15/2012 | |||||||
(FSA Insured) | 1,064,880 | ||||||
36,287,814 | |||||||
Utah – 0.4% | |||||||
540,000 | Salt Lake City Utah | ||||||
Hospital Revenue, 8.125%, | |||||||
05/15/2015 (ETM) | 622,096 | ||||||
Washington – 0.9% | |||||||
1,000,000 | Snohomish County | ||||||
Washington Public Utilities | |||||||
Revenue Bonds, | |||||||
6.80%, 01/01/2020 | 1,225,150 | ||||||
Total Municipal Bonds | |||||||
(Cost $139,976,154) | 140,163,044 | ||||||
SHORT-TERM INVESTMENTS – 0.5% | |||||||
Money Market Fund – 0.5% | |||||||
660,108 | Fidelity Institutional | ||||||
Tax-Exempt Portfolio, | 660,108 | ||||||
Total Short-Term | |||||||
Investments | |||||||
(Cost $660,108) | 660,108 | ||||||
Total Investments | |||||||
(Cost $140,636,262) – | |||||||
98.4% | 140,823,152 | ||||||
Other Assets in Excess | |||||||
of Liabilities – 1.6% | 2,293,464 | ||||||
TOTAL NET | |||||||
ASSETS – 100.0% | $ | 143,116,616 |
ETM – Escrowed to Maturity
^ Non-Income Producing
The accompanying notes are an integral part of these financial statements.
Page 44
Schedule of Investments June 30, 2008 (Unaudited) |
FAS 157 – Summary of Fair Value Exposure at June 30, 2008
In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“SFAS 157”) effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles (GAAP), and expands disclosures about fair value measurements. The Fund adopted FAS 157 as of January 1, 2008. Under SFAS 157, various inputs are used in determining the value of the Fund’s investments. These inputs are summarized into three broad levels and described below:
Level 1 – Quoted prices in active markets for identical securities.
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2008:
Description | Schedule of Investments | |||
Level 1 – Quoted prices | $ | 660,108 | ||
Level 2 – Other significant observable inputs | 140,163,044 | |||
Level 3 – Significant unobservable inputs | — | |||
Total | $ | 140,823,152 |
Page 45
The Baird Core Plus Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Lehman Brothers U.S. Universal Bond Index. The Lehman Brothers U.S. Universal Bond Index is an unmanaged, market value weighted index of fixed income securities issued in U.S. dollars, including U.S. government and investment grade debt, non-investment grade debt, asset-backed and mortgage-backed securities, Eurobonds, 144A securities and emerging market debt, with maturities of at least one year.
Portfolio Characteristics
Quality Distribution* | Sector Weightings* |
Net Assets: | $172,332,535 | Annualized Expense Ratio: | |||
SEC 30-Day Yield:** | Institutional Class: | 0.30 | % | ||
Institutional Class: | 5.58% | Investor Class: | 0.55 | %*** | |
Investor Class: | 5.32% | Portfolio Turnover Rate:**** | 38.2 | % | |
Average Effective Duration: | 4.71 years | Total Number of Holdings: | 240 | ||
Average Effective Maturity: | 6.74 years |
* | Percentages shown are based on the Fund’s total net assets. | |
** | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2008. | |
*** | Includes 0.25% 12b-1 fee. | |
**** | Not annualized. |
Page 46
Average Annual Total Returns
Since | |||
For the Periods Ended June 30, 2008 | One Year | Five Years | Inception(1) |
Baird Core Plus Bond Fund – Institutional Class Shares | 4.87% | 4.74% | 6.45% |
Baird Core Plus Bond Fund – Investor Class Shares | 4.61% | 4.47% | 6.18% |
Lehman Brothers U.S. Universal Bond Index(2) | 6.22% | 4.15% | 6.11% |
(1) | For the period from September 29, 2000 (commencement of operations) through June 30, 2008. |
(2) | The Lehman Brothers U.S. Universal Bond Index is an unmanaged, market value weighted index of fixed income securities issued in U.S. dollars, including U.S. government and investment grade debt, non-investment grade debt, asset-backed and mortgage-backed securities, Eurobonds, 144A securities and emerging market debt, with maturities of at least one year. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 47
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 94.8% | |||||||
Asset Backed Securities – 7.7% | |||||||
$ | 900,000 | American Express Credit | |||||
Account Master Trust, | |||||||
Series 2005-5, Class A, | |||||||
4.276%, 02/15/2013 | $ | 889,119 | |||||
190,920 | Amresco Residential | ||||||
Securities Mortgage Loan | |||||||
Trust, Series 1998-2, | |||||||
Class A6, 6.45%, | |||||||
12/25/2027 | 188,877 | ||||||
600,000 | Bayview Financial | ||||||
Acquisition Trust, | |||||||
Series 2007-A, | |||||||
6.205%, 05/28/2037 | 524,004 | ||||||
875,000 | Credit-Based Asset | ||||||
Servicing and Security, | |||||||
Series 2005-CB3, | |||||||
4.725%, 05/25/2035 | 818,374 | ||||||
25,206 | Contimortgage Home | ||||||
Equity Loan Trust, | |||||||
Series 1997-5, Class A6, | |||||||
6.87%, 03/15/2024 | 24,975 | ||||||
Countrywide Asset-Backed | |||||||
Certificates: | |||||||
600,000 | Series 2005-10, Class AF6, | ||||||
4.915%, 02/25/2036 | 507,759 | ||||||
1,000,000 | Series 2005-13, Class AF3, | ||||||
5.43%, 04/25/2036 | 913,911 | ||||||
400,000 | Series 2006-S9, Class A3, | ||||||
5.728%, 08/25/2036 | 250,611 | ||||||
1,000,000 | Series 2006-13, Class 1AF2, | ||||||
5.884%, 01/25/2037 | 915,730 | ||||||
1,300,000 | Series 2006-10, Class 1AF3, | ||||||
5.971%, 09/25/2046 | 1,210,459 | ||||||
616,000 | Series 2006-9, Class 1AF3, | ||||||
5.859%, 10/25/2046 | 555,964 | ||||||
475,000 | Discover Card Master | ||||||
Trust I, Series 2005-2, | |||||||
Class A, 4.266%, | |||||||
04/17/2012 | 472,547 | ||||||
500,000 | GMAC Mortgage | ||||||
Corporation Loan Trust, | |||||||
Series 2005-HE3, Class A2, | |||||||
3.526%, 02/25/2036 | 393,631 | ||||||
Green Tree Financial | |||||||
Corporation: | |||||||
31,558 | Series 1997-1, Class A5, | ||||||
6.86%, 03/15/2028 | 31,326 | ||||||
92,447 | Series 1997-4, Class A5, | ||||||
6.88%, 02/15/2029 | 90,732 | ||||||
1,018,372 | Series 1998-3, Class A5, | ||||||
6.22%, 03/01/2030 | 916,511 | ||||||
371,030 | Series 1998-4, Class A5, | ||||||
6.18%, 04/01/2030 | 333,241 | ||||||
59,422 | Oakwood Mortgage | ||||||
Investors, Inc., | |||||||
Series 1999-B, Class A3, | |||||||
6.45%, 11/15/2017 | 51,580 | ||||||
Renaissance Home | |||||||
Equity Loan Trust: | |||||||
519,000 | Series 2006-2, Class AF3, | ||||||
5.797%, 08/25/2036 | 486,890 | ||||||
500,000 | Series 2007-1, Class AF2, | ||||||
5.512%, 04/25/2037 | 479,004 | ||||||
1,300,000 | Series 2007-2, Class AF2, | ||||||
5.675%, 06/25/2037 | 1,176,819 | ||||||
270,698 | Residential Asset Mortgage | ||||||
Products, Inc., Series | |||||||
2003-RS10, Class AI7, | |||||||
4.85%, 11/25/2033 | 249,262 |
The accompanying notes are an integral part of these financial statements.
Page 48
Baird Core Plus Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 94.8% (cont.) | |||||||
Asset Backed Securities – 7.7% (cont.) | |||||||
$ | 365,125 | Residential Asset | |||||
Securities Corporation, | |||||||
Series 2003-KS5, | |||||||
Class AI6, 3.62%, | |||||||
07/25/2033 | $ | 278,713 | |||||
400,000 | Stingray Pass-Thru | ||||||
Certificates, Series 2005, | |||||||
5.902%, 01/12/2015 | |||||||
(Acquired 05/10/2007; | |||||||
Cost $380,000)* | 96,000 | ||||||
1,579,595 | Structured Asset Securities | ||||||
Corporation, Series | |||||||
2005-7XS, Class 1A4B, | |||||||
5.44%, 04/25/2035 | 1,452,839 | ||||||
13,308,878 | |||||||
Financial – 11.9% | |||||||
1,000,000 | American General Finance, | ||||||
6.90%, 12/15/2017 | 871,565 | ||||||
1,000,000 | Amvescap PLC, | ||||||
5.375%, 12/15/2014 f | 891,211 | ||||||
500,000 | Bancwest Corporation, | ||||||
8.30%, 01/15/2011 | 544,869 | ||||||
300,000 | Bank of America | ||||||
Corporation | |||||||
Subordinated Notes, | |||||||
10.20%, 07/15/2015 | 363,782 | ||||||
200,000 | Banponce Trust I, Series A, | ||||||
8.327%, 02/01/2027 | |||||||
(Callable 09/02/2008) | 190,505 | ||||||
400,000 | Bear Stearns Co. Inc., | ||||||
Series B, 6.95%, | |||||||
08/10/2012 | 415,909 | ||||||
170,000 | Capmark Financial | ||||||
Group, Inc., | |||||||
5.875%, 05/10/2012 | 119,920 | ||||||
CIT Group, Inc.: | |||||||
250,000 | 7.625%, 11/30/2012 | 207,795 | |||||
400,000 | 6.10%, 03/15/2067 | ||||||
(Callable 03/15/2017) | 183,904 | ||||||
700,000 | Citigroup Capital XXI, | ||||||
8.30%, 12/21/2077 | |||||||
(Callable 12/21/2037) | 661,030 | ||||||
725,000 | Countrywide Financial | ||||||
Corporation | |||||||
Subordinated Notes, | |||||||
6.25%, 05/15/2016 | 645,499 | ||||||
500,000 | Export-Import | ||||||
Bank Korea Notes, | |||||||
4.625%, 03/16/2010 f | 498,795 | ||||||
500,000 | First Empire Capital Trust I, | ||||||
8.234%, 02/01/2027 | |||||||
(Callable 09/02/2008) | 497,642 | ||||||
600,000 | First National Bank of | ||||||
Omaha Subordinated Notes, | |||||||
7.32%, 12/01/2010 | 637,784 | ||||||
250,000 | First Union Capital, | ||||||
7.935%, 01/15/2027 | 252,460 | ||||||
General Motors Acceptance | |||||||
Corporation Notes: | |||||||
75,000 | 7.75%, 01/19/2010 | 64,135 | |||||
400,000 | 6.875%, 09/15/2011 | 287,429 | |||||
250,000 | 6.75%, 12/01/2014 | 165,111 | |||||
350,000 | Glencore Funding LLC, | ||||||
6.00%, 04/15/2014 | |||||||
(Acquired 03/31/2004 and | |||||||
12/04/2006; Cost $148,928 | |||||||
and $198,740)* | 334,337 |
The accompanying notes are an integral part of these financial statements.
Page 49
Baird Core Plus Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 94.8% (cont.) | |||||||
Financial – 11.9% (cont.) | |||||||
$ | 30,000 | Goldman Sachs Group LP, | |||||
8.00%, 03/01/2013 | |||||||
(Acquired 05/19/2006; | |||||||
Cost $33,031)* | $ | 32,524 | |||||
800,000 | Hartford Financial | ||||||
Services Group, | |||||||
8.125%, 06/15/2068 | |||||||
(Callable 06/15/2018) | 778,604 | ||||||
100,000 | Health Care Service | ||||||
Corporation Notes, | |||||||
7.75%, 06/15/2011 | |||||||
(Acquired 01/26/2005; | |||||||
Cost $115,000)* | 107,768 | ||||||
Istar Financial, Inc.: | |||||||
300,000 | 5.85%, 03/15/2017 | 237,375 | |||||
500,000 | Series B, | ||||||
4.875%, 01/15/2009 | 480,000 | ||||||
300,000 | Jefferies Group, Inc., | ||||||
6.45%, 06/08/2027 | 233,729 | ||||||
600,000 | Key Bank NA, | ||||||
7.413%, 10/15/2027 | 558,677 | ||||||
400,000 | Lehman Brothers | ||||||
Holdings Senior Notes, | |||||||
8.80%, 03/01/2015 | 425,130 | ||||||
Liberty Mutual Group: | |||||||
500,000 | 10.75%, 06/15/2058 | ||||||
(Callable 06/15/2038) | |||||||
(Acquired 05/21/2008; | |||||||
Cost $489,025)* | 478,750 | ||||||
375,000 | 7.697%, 10/15/2097 | ||||||
(Acquired 03/26/2003; | |||||||
Cost $239,982)* | 318,176 | ||||||
500,000 | Manufacturer And | ||||||
Traders Trust Co., | |||||||
6.625%, 12/04/2017 | 482,757 | ||||||
100,000 | Marsh & McLennan | ||||||
Companies, Inc., | |||||||
5.375%, 07/15/2014 | 97,083 | ||||||
700,000 | MBIA Insurance Corp., | ||||||
14.00%, 01/15/2033 | |||||||
(Callable 01/15/2013) | |||||||
(Acquired 01/11/2008; | |||||||
Cost $700,000)* | 290,500 | ||||||
Merrill Lynch & Company: | |||||||
600,000 | 6.875%, 04/25/2018 | 571,036 | |||||
500,000 | 7.75%, 05/14/2038 | 468,737 | |||||
871,000 | National City Bank, | ||||||
6.20%, 12/15/2011 | 762,750 | ||||||
259,000 | Navigators Group Inc. | ||||||
Senior Unsecured Notes, | |||||||
7.00%, 05/01/2016 | 245,360 | ||||||
475,000 | Popular North America Inc., | ||||||
5.65%, 04/15/2009 | 470,403 | ||||||
100,000 | Principal Financial Group | ||||||
(AU) Senior Notes, | |||||||
8.20%, 08/15/2009 | |||||||
(Acquired 09/16/2005; | |||||||
Cost $112,015)* f | 103,326 | ||||||
1,400,000 | Regions Financing Trust II, | ||||||
6.625%, 05/15/2047 | |||||||
(Callable 05/15/2027) | 956,907 | ||||||
300,000 | Residential Capital LLC, | ||||||
9.625%, 05/15/2015 | |||||||
(Callable 05/15/2010) | |||||||
(Acquired 12/21/2006 and | |||||||
12/26/2006; Cost $78,328 | |||||||
and $312,591 respectively)* | 145,500 | ||||||
200,000 | Santander Financial | ||||||
Issuances, 6.375%, | |||||||
02/15/2011 f | 206,991 |
The accompanying notes are an integral part of these financial statements.
Page 50
Baird Core Plus Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 94.8% (cont.) | |||||||
Financial – 11.9% (cont.) | |||||||
$ | 1,100,000 | Schwab Capital Trust I, | |||||
7.50%, 11/15/2067 | |||||||
(Callable 11/15/2017) | $ | 995,577 | |||||
500,000 | Sovereign Bank, | ||||||
8.75%, 05/30/2018 | 476,863 | ||||||
1,200,000 | Toll Road Inv. Part II, | ||||||
Series 1999B, 0.00%, | |||||||
02/15/2009 (Acquired | |||||||
02/04/2008; Cost | |||||||
$1,140,000)* ^ | 1,172,827 | ||||||
600,000 | Travelers Companies, Inc., | ||||||
6.25%, 03/15/2067 | 515,485 | ||||||
1,400,000 | Washington Mutual | ||||||
Preferred Funding Trust III, | |||||||
6.895%, 12/31/2049 | |||||||
(Callable 06/15/2012) | |||||||
(Acquired 12/12/2007 and | |||||||
02/05/2008; Cost $726,000 | |||||||
and $136,000)* | 714,000 | ||||||
275,000 | Western Financial Bank, | ||||||
9.625%, 05/15/2012 | |||||||
(Callable 05/15/2009) | 286,167 | ||||||
20,446,684 | |||||||
Industrial – 13.5% | |||||||
1,000,000 | American Standard Inc., | ||||||
8.25%, 06/01/2009 | 1,031,856 | ||||||
750,000 | Ametek Inc., | ||||||
7.20%, 07/15/2008 | 750,946 | ||||||
300,000 | AOL Time Warner, Inc., | ||||||
7.625%, 04/15/2031 | 304,574 | ||||||
100,000 | AT&T Wireless Services, | ||||||
Inc. Senior Notes, | |||||||
8.75%, 03/01/2031 | 118,658 | ||||||
443,164 | Atlas Air, Inc. Pass-Thru | ||||||
Certificates, Series 2000-1, | |||||||
8.707%, 01/02/2019 | 425,437 | ||||||
Bunge Ltd. Finance | |||||||
Corporation Notes: | |||||||
150,000 | 5.35%, 04/15/2014 | 140,161 | |||||
100,000 | 5.10%, 07/15/2015 | 90,949 | |||||
375,000 | Clear Channel | ||||||
Communications, | |||||||
4.50%, 01/15/2010 | 345,000 | ||||||
500,000 | Comcast Holdings | ||||||
Corporation, | |||||||
10.625%, 07/15/2012 | 574,686 | ||||||
Continental Airlines, Inc. | |||||||
Pass-Thru Certificates: | |||||||
43,115 | Series 1998-1, | ||||||
6.541%, 09/15/2009 | 42,953 | ||||||
196,765 | Series 2000-2, | ||||||
8.312%, 10/02/2012 | 181,024 | ||||||
59,997 | Series 1997-4, | ||||||
6.90%, 01/02/2018 | 55,348 | ||||||
100,000 | COX Communications Inc. | ||||||
Notes, 7.875%, 08/15/2009 | 102,589 | ||||||
750,000 | CSX Corporation, | ||||||
6.25%, 04/01/2015 | 752,547 | ||||||
100,000 | Deutsche Telekom | ||||||
International Finance BV, | |||||||
8.25%, 06/15/2030 f | 114,738 | ||||||
250,000 | Donnelley (R.R.) & Sons | ||||||
Co., 6.125%, 01/15/2017 | 233,378 | ||||||
400,000 | Enel Finance International, | ||||||
6.80%, 09/15/2037 | |||||||
(Acquired 09/13/2007; | |||||||
Cost $398,940)* f | 403,351 | ||||||
430,419 | Federal Express Corporation | ||||||
Pass-Thru Certificates, Series | |||||||
B2, 7.110%, 01/02/2014 | 430,419 |
The accompanying notes are an integral part of these financial statements.
Page 51
Baird Core Plus Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 94.8% (cont.) | |||||||
Industrial – 13.5% (cont.) | |||||||
$ | 500,000 | First Data Corporation, | |||||
9.875%, 09/24/2015 | |||||||
(Callable 09/30/2011) | |||||||
(Acquired 10/17/2007; | |||||||
Cost $479,375)* | $ | 435,000 | |||||
475,000 | Fiserv, Inc., | ||||||
6.125%, 11/20/2012 | 477,400 | ||||||
400,000 | Ford Motor Company | ||||||
Debentures, 9.215%, | |||||||
09/15/2021 | 268,000 | ||||||
175,000 | General Motors Nova | ||||||
Scotia Finance Company, | |||||||
6.85%, 10/15/2008 f | 169,312 | ||||||
350,000 | Hanson PLC Notes, | ||||||
6.125%, 08/15/2016 f | 347,262 | ||||||
350,000 | Health Management | ||||||
Association, 6.125%, | |||||||
04/15/2016 | 306,250 | ||||||
800,000 | Humana, Inc., | ||||||
7.20%, 06/15/2018 | 792,647 | ||||||
150,000 | Hutchison Whampoa | ||||||
International Limited, | |||||||
6.25%, 01/24/2014 | |||||||
(Acquired 06/23/2005; | |||||||
Cost $161,474)* f | 150,160 | ||||||
International | |||||||
Paper Company: | |||||||
1,000,000 | 4.25%, 01/15/2009 | 996,727 | |||||
825,000 | 7.40%, 06/15/2014 | 823,409 | |||||
300,000 | Kraft Foods, Inc., | ||||||
6.125%, 08/23/2018 | 290,526 | ||||||
300,000 | Martin Marietta Materials, | ||||||
Inc., 6.25%, 05/01/2037 | 255,020 | ||||||
250,000 | Nabors Industries, Inc., | ||||||
6.15%, 02/15/2018 | |||||||
(Acquired 02/14/2008; | |||||||
Cost $249,800)* | 252,691 | ||||||
900,000 | Nisource Finance | ||||||
Corporation, | |||||||
5.40%, 07/15/2014 | 841,945 | ||||||
350,000 | New York Telephone | ||||||
Company Debentures, | |||||||
8.625%, 11/15/2010 | 380,234 | ||||||
200,000 | PCCW Capital II Ltd., | ||||||
6.00%, 07/15/2013 | |||||||
(Acquired 07/10/2003; | |||||||
Cost $199,066)* f | 197,643 | ||||||
400,000 | PEMEX Project Funding | ||||||
Master Trust, 9.125%, | |||||||
10/13/2010 | 436,000 | ||||||
300,000 | Plum Creek Timberlands, | ||||||
5.875%, 11/15/2015 | 273,484 | ||||||
500,000 | Public Service Company | ||||||
Of New Mexico, | |||||||
7.95%, 05/15/2018 | 514,438 | ||||||
850,000 | Rio Tinto Financial USA | ||||||
Ltd., 6.50%, 07/15/2018 f | 852,579 | ||||||
200,000 | SK Telecom, | ||||||
6.625%, 07/20/2027 | |||||||
(Acquired 07/13/2007; | |||||||
Cost $197,602)* f | 191,498 | ||||||
Sprint Capital Corporation: | |||||||
500,000 | 6.90%, 05/01/2019 | 438,750 | |||||
300,000 | 8.75%, 03/15/2032 | 285,750 | |||||
250,000 | Sungard Data Systems Inc. | ||||||
Notes, 3.75%, 01/15/2009 | 246,562 | ||||||
175,000 | TCI Communications, | ||||||
Inc. Debentures, | |||||||
7.875%, 08/01/2013 | 187,829 |
The accompanying notes are an integral part of these financial statements.
Page 52
Baird Core Plus Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 94.8% (cont.) | |||||||
Industrial – 13.5% (cont.) | |||||||
$ | 850,000 | Telecom Italia Capital, | |||||
7.20%, 07/18/2036 f | $ | 821,907 | |||||
200,000 | Telefonica | ||||||
Emisiones, S.A.U., | |||||||
6.421%, 06/20/2016 f | 203,015 | ||||||
92,000 | Time Warner Companies, | ||||||
Inc., 6.875%, 06/15/2018 | 91,323 | ||||||
25,000 | Time Warner | ||||||
Entertainment | |||||||
Senior Notes, | |||||||
8.875%, 10/01/2012 | 27,326 | ||||||
500,000 | Transocean Inc., | ||||||
6.80%, 03/15/2038 f | 511,366 | ||||||
500,000 | Tyco Electronics | ||||||
Group S.A., | |||||||
7.125%, 10/01/2037 f | 511,884 | ||||||
Tyco International | |||||||
Group S.A.: f | |||||||
150,000 | 6.125%, 01/15/2009 | 151,444 | |||||
50,000 | 6.00%, 11/15/2013 | 48,246 | |||||
United AirLines, Inc. | |||||||
Pass-Thru Certificates: | |||||||
183,718 | Series 2001-1, Class A-2, | ||||||
6.201%, 09/01/2008 | 180,962 | ||||||
73,583 | Series 2000-2, Class C, | ||||||
7.762%, 12/31/2049 | 64,201 | ||||||
1,000,000 | Unitedhealth Group, Inc. | ||||||
Senior Unsecured Notes, | |||||||
6.00%, 02/15/2018 | 967,333 | ||||||
250,000 | Univision Communication, | ||||||
Inc., 3.875%, 10/15/2008 | 246,250 | ||||||
701,123 | US Airways Pass-Thru Trust, | ||||||
Series 1998-1, 7.35%, | |||||||
07/30/2019 | 634,516 | ||||||
322,000 | USX Corporation, | ||||||
9.125%, 01/15/2013 | 366,330 | ||||||
Vale Overseas Limited: f | |||||||
100,000 | 8.25%, 01/17/2034 | 108,193 | |||||
125,000 | 6.875%, 11/21/2036 | 116,092 | |||||
150,000 | Viacom, Inc., | ||||||
7.70%, 07/30/2010 | 156,767 | ||||||
150,000 | Viacom, Inc. Senior Notes, | ||||||
6.25%, 04/30/2016 | 144,881 | ||||||
Vodafone Group PLC: f | |||||||
400,000 | 5.50%, 06/15/2011 | 403,926 | |||||
500,000 | 6.15%, 02/27/2037 | 457,259 | |||||
500,000 | Vulcan Materials, | ||||||
7.15%, 11/30/2037 | 495,106 | ||||||
23,218,057 | |||||||
Mortgage Backed Securities – 36.7% | |||||||
Bank of America | |||||||
Alternative Loan Trust: | |||||||
174,847 | Series 2005-2, Class 4A1, | ||||||
5.50%, 03/25/2020 | 162,787 | ||||||
352,120 | Series 2006-2, Class 6A1, | ||||||
5.50%, 03/25/2021 | 324,835 | ||||||
700,000 | Chase Mortgage Finance | ||||||
Corporation, Series | |||||||
2006-A1, Class 2A3, | |||||||
6.00%, 09/25/2036 | 636,257 | ||||||
Citigroup Mortgage | |||||||
Loan Trust, Inc.: | |||||||
235,968 | Series 2005-9, Class 2A2, | ||||||
5.50%, 11/25/2035 | 228,992 | ||||||
338,632 | Series 2005-9, Class 22A2, | ||||||
6.00%, 11/25/2035 | 322,854 | ||||||
Countrywide Alternative | |||||||
Loan Trust: | |||||||
980,476 | Series 2006-7CB, Class | ||||||
3A1, 5.25%, 05/25/2021 | 927,199 | ||||||
278,177 | Series 2006-43CB, Class | ||||||
2A1, 6.00%, 02/25/2022 | 265,014 |
The accompanying notes are an integral part of these financial statements.
Page 53
Baird Core Plus Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 94.8% (cont.) | |||||||
Mortgage Backed Securities – 36.7% (cont.) | |||||||
$ | 1,000,000 | Series 2005-10CB, Class | |||||
1A6, 5.50%, 05/25/2035 | $ | 949,323 | |||||
1,328,943 | Series 2006-28CB, Class | ||||||
A17, 6.00%, 10/25/2036 | 1,271,337 | ||||||
404,651 | Deutsche Securities Inc. | ||||||
Mortgage, Series 2006-AR5, | |||||||
Class 21A, 6.00%, | |||||||
10/25/2021 | 385,861 | ||||||
949,332 | DLJ Commercial | ||||||
Mortgage Corporation, | |||||||
Series 1999-CG3, Class | |||||||
A1B, 7.34%, 10/10/2032 | 973,210 | ||||||
Federal Gold Loan Mortgage | |||||||
Corporation (FGLMC): | |||||||
550,024 | 5.50%, 11/01/2017 | 558,390 | |||||
558,957 | 5.00%, 12/01/2020 | 554,858 | |||||
254,062 | 6.00%, 06/01/2021 | 260,363 | |||||
153,388 | 6.50%, 12/01/2028 | 159,760 | |||||
73,660 | 6.50%, 06/01/2029 | 76,743 | |||||
Federal Home | |||||||
Loan Mortgage | |||||||
Corporation (FHLMC): | |||||||
985,373 | 5.00%, 05/01/2021 | 978,147 | |||||
3,918,501 | 5.50%, 04/01/2037 | 3,864,009 | |||||
336,702 | Series 3122, Class VA, | ||||||
6.00%, 01/15/2017 | 347,678 | ||||||
2,782,322 | Series R010, Class VA, | ||||||
5.50%, 04/15/2017 | 2,832,478 | ||||||
1,999,279 | Series R010, Class AB, | ||||||
5.50%, 12/15/2019 | 2,018,475 | ||||||
15,794 | Series 1053, Class G, | ||||||
7.00%, 03/15/2021 | 16,624 | ||||||
35,216 | Series 136, Class E, | ||||||
6.00%, 04/15/2021 | 35,169 | ||||||
300,000 | Series 2673, Class NC, | ||||||
5.50%, 05/15/2021 | 306,110 | ||||||
250,385 | Series 2804, Class VC, | ||||||
5.00%, 07/15/2021 | 246,247 | ||||||
31,862 | Series 1122, Class G, | ||||||
7.00%, 08/15/2021 | 32,977 | ||||||
74,658 | Series 1186, Class I, | ||||||
7.00%, 12/15/2021 | 78,143 | ||||||
183,284 | Series 3132, Class MA, | ||||||
5.50%, 12/15/2023 | 186,566 | ||||||
140,427 | Series 2598, Class QC, | ||||||
4.50%, 06/15/2027 | 141,065 | ||||||
Federal National Mortgage | |||||||
Association (FNMA): | |||||||
232,223 | 5.00%, 02/01/2018 | 232,003 | |||||
163,820 | 5.00%, 10/01/2018 | 163,613 | |||||
161,398 | 5.00%, 11/01/2018 | 161,194 | |||||
1,075,601 | 5.50%, 03/01/2023 | 1,074,902 | |||||
797,197 | 5.50%, 07/01/2023 | 796,680 | |||||
1,088,238 | 5.50%, 12/01/2023 | 1,087,532 | |||||
280,194 | 6.00%, 03/01/2026 | 284,768 | |||||
1,490,830 | 5.00%, 05/01/2028 | 1,448,930 | |||||
119,378 | 6.50%, 09/01/2028 | 124,226 | |||||
236,279 | 6.50%, 02/01/2029 | 245,874 | |||||
196,206 | 5.50%, 01/01/2032 | 194,730 | |||||
2,001,630 | 5.50%, 04/01/2034 | 1,984,702 | |||||
198,684 | 5.50%, 02/01/2035 | 196,631 | |||||
3,356,167 | 5.50%, 02/01/2035 | 3,321,491 | |||||
6,050,346 | 5.50%, 04/01/2036 | 5,982,161 | |||||
1,895,414 | 6.00%, 08/01/2037 | 1,899,547 | |||||
14,804 | Series 1989-94, Class G, | ||||||
7.50%, 12/25/2019 | 15,944 | ||||||
61,186 | Series 1990-15, Class J, | ||||||
7.00%, 02/25/2020 | 63,163 | ||||||
12,407 | Series 1991-21, Class J, | ||||||
7.00%, 03/25/2021 | 13,121 | ||||||
229,082 | Series 1991-43, Class J, | ||||||
7.00%, 05/25/2021 | 243,126 |
The accompanying notes are an integral part of these financial statements.
Page 54
Baird Core Plus Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 94.8% (cont.) | |||||||
Mortgage Backed Securities – 36.7% (cont.) | |||||||
$ | 295,404 | Series 1991-65, Class Z, | |||||
6.50%, 06/25/2021 | $ | 310,251 | |||||
461,426 | Series 1992-129, Class L, | ||||||
6.00%, 07/25/2022 | 475,569 | ||||||
1,365,190 | Series 2003-33, Class LD, | ||||||
4.25%, 09/25/2022 | 1,344,576 | ||||||
91,312 | Series 1993-32, Class H, | ||||||
6.00%, 03/25/2023 | 92,617 | ||||||
479,874 | Series 1993-58, Class H, | ||||||
5.50%, 04/25/2023 | 487,112 | ||||||
172,319 | Series 2003-31, Class KG, | ||||||
4.50%, 12/25/2028 | 174,150 | ||||||
2,300,000 | Series 2002-85, Class PD, | ||||||
5.50%, 05/25/2031 | 2,315,645 | ||||||
41,685 | Series 2003-44, Class AB, | ||||||
3.75%, 05/25/2033 | 39,278 | ||||||
946,049 | Series 2004-W6, Class 1A4, | ||||||
5.50%, 07/25/2034 | 923,167 | ||||||
795,116 | Series 2004-W6, Class 1A6, | ||||||
5.50%, 07/25/2034 | 759,080 | ||||||
1,500,000 | Series 2004-W10, Class A4, | ||||||
5.75%, 08/25/2034 | 1,453,979 | ||||||
First Horizon Alternative | |||||||
Mortgage Securities: | |||||||
258,528 | Series 2006-FA6, Class | ||||||
3A1, 5.75%, 11/25/2021 | 239,913 | ||||||
2,245,041 | Series 2006-FA8, Class | ||||||
2A1, 5.75%, 02/25/2037 | 2,079,787 | ||||||
825,000 | First Union National Bank | ||||||
Commercial Mortgage | |||||||
Securities Inc., Series | |||||||
2001-C4, Class A2, | |||||||
6.223%, 12/12/2033 | 841,859 | ||||||
GE Capital Commercial | |||||||
Mortgage Corporation: | |||||||
765,137 | Series 2000-1, Class A2, | ||||||
6.496%, 01/15/2033 | 784,153 | ||||||
1,300,000 | Series 2003-C2, Class A4, | ||||||
5.145%, 07/10/2037 | 1,275,886 | ||||||
600,000 | Series 2004-C3, Class A4, | ||||||
5.189%, 07/10/2039 | 583,030 | ||||||
1,500,000 | GMAC Commercial | ||||||
Mortgage Securities, Inc., | |||||||
Series 2003-C1, Class A2, | |||||||
4.079%, 05/10/2036 | 1,417,043 | ||||||
Government National | |||||||
Mortgage Association | |||||||
(GNMA): | |||||||
135,525 | 6.00%, 12/20/2028 | 138,198 | |||||
50,345 | 6.50%, 01/20/2029 | 52,201 | |||||
131,460 | 6.00%, 11/20/2033 | 133,601 | |||||
729,723 | Series 2003-2, Class PB, | ||||||
5.50%, 03/20/2032 | 740,256 | ||||||
1,786,228 | J.P. Morgan Alternative | ||||||
Loan Trust, Series 2005-S1, | |||||||
Class 3A1, 5.50%, | |||||||
10/25/2020 | 1,762,227 | ||||||
J.P. Morgan Mortgage Trust: | |||||||
600,000 | Series 2006-A7, Class 2A4R, | ||||||
5.457%, 01/25/2037 | 538,046 | ||||||
700,000 | Series 2007-A2, Class 2A3, | ||||||
5.715%, 04/25/2037 | 647,436 | ||||||
Master Alternative | |||||||
Loans Trust: | |||||||
913,204 | Series 2004-1, Class 1A1, | ||||||
5.00%, 01/25/2019 | 860,779 | ||||||
555,402 | Series 2005-3, Class 4A1, | ||||||
5.50%, 03/25/2020 | 523,662 | ||||||
173,266 | Series 2003-5, Class 6A1, | ||||||
6.00%, 08/25/2033 | 152,257 |
The accompanying notes are an integral part of these financial statements.
Page 55
Baird Core Plus Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 94.8% (cont.) | |||||||
Mortgage Backed Securities – 36.7% (cont.) | |||||||
$ | 1,287,806 | Salomon Brothers Mortgage | |||||
Securities VII, Series | |||||||
2000-C2, Class A2, | |||||||
7.455%, 07/18/2033 | $ | 1,327,711 | |||||
1,250,000 | Wachovia Bank | ||||||
Commercial Mortgage | |||||||
Trust, Series 2003-C3, | |||||||
Class A2, 4.867%, | |||||||
02/15/2035 | 1,208,909 | ||||||
Washington Mutual, Inc. | |||||||
Pass-Thru Certificates: | |||||||
188,000 | Series 2004-CB1, Class 5A, | ||||||
5.00%, 06/25/2019 | 180,245 | ||||||
607,129 | Series 2004-CB2, Class 7A, | ||||||
5.50%, 08/25/2019 | 585,134 | ||||||
201,440 | Series 2004-CB3, Class 4A, | ||||||
6.00%, 10/25/2019 | 200,433 | ||||||
63,323,999 | |||||||
Taxable Municipal Bonds – 0.5% | |||||||
700,000 | Tobacco Settlement | ||||||
Authority Iowa, | |||||||
6.50%, 06/01/2023 | 643,216 | ||||||
165,121 | Tobacco Settlement | ||||||
Financing Corporation, | |||||||
Series 2001-A, Class A, | |||||||
6.36%, 05/15/2025 | 158,867 | ||||||
802,083 | |||||||
Utilities – 2.9% | |||||||
165,000 | Cilcorp Inc. Senior Notes, | ||||||
8.70%, 10/15/2009 | 168,673 | ||||||
200,000 | Commonwealth Edison, | ||||||
5.40%, 12/15/2011 | 200,642 | ||||||
150,000 | Energy Transfer Partners, | ||||||
5.65%, 08/01/2012 | 151,240 | ||||||
1,000,000 | FPL Group Capital, Inc., | ||||||
7.30%, 09/01/2067 | |||||||
(Callable 09/01/2017) | 940,940 | ||||||
250,000 | Kinder Morgan Energy | ||||||
Partners Senior Notes, | |||||||
6.95%, 01/15/2038 | 248,130 | ||||||
300,000 | Kinder Morgan Finance, | ||||||
5.70%, 01/05/2016 f | 267,000 | ||||||
70,653 | Kiowa Power Partners LLC, | ||||||
4.811%, 12/30/2013 | |||||||
(Acquired 11/19/2004; | |||||||
Cost $70,653)* | 69,060 | ||||||
400,000 | ONEOK, Inc. Senior Notes, | ||||||
7.125%, 04/15/2011 | 418,238 | ||||||
50,000 | Pacific Gas & Electric | ||||||
Company 1st Mortgage, | |||||||
6.05%, 03/01/2034 | 48,212 | ||||||
900,000 | Panhandle Eastern | ||||||
Pipeline Senior Notes, | |||||||
4.80%, 08/15/2008 | 899,780 | ||||||
300,000 | Pepco Holdings, Inc., | ||||||
6.125%, 06/01/2017 | 289,945 | ||||||
200,000 | PPL Energy Supply LLC, | ||||||
6.20%, 05/15/2016 | 195,395 | ||||||
200,000 | PSE&G Energy Holdings | ||||||
LLC Senior Notes, | |||||||
8.50%, 06/15/2011 | 209,774 | ||||||
285,018 | RGS (I&M) Funding | ||||||
Corporation Debentures, | |||||||
9.82%, 12/07/2022 | 320,625 | ||||||
300,000 | Southern Natural Gas, | ||||||
5.90%, 04/01/2017 | |||||||
(Acquired 03/14/2007; | |||||||
Cost $299,502)* | 286,601 |
The accompanying notes are an integral part of these financial statements.
Page 56
Baird Core Plus Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 94.8% (cont.) | |||||||
Utilities – 2.9% (cont.) | |||||||
Williams Cos. Inc. Notes: | |||||||
$ | 100,000 | 7.125%, 09/01/2011 | $ | 103,500 | |||
200,000 | 7.875%, 09/01/2021 | 212,000 | |||||
5,027,265 | |||||||
U.S. Government Agency Issues – 12.8% | |||||||
20,775,000 | Federal National Mortgage | ||||||
Association (FNMA), | |||||||
6.00%, 05/15/2011 | 22,122,196 | ||||||
22,122,196 | |||||||
U.S. Treasury Obligations – 8.8% | |||||||
12,750,000 | U.S. Treasury Bond, | ||||||
6.25%, 08/15/2023 | 15,169,516 | ||||||
Total Long-Term | |||||||
Investments | |||||||
(Cost $167,508,765) | 163,421,168 | ||||||
SHORT-TERM INVESTMENTS – 4.6% | |||||||
Money Market Fund – 4.6% | |||||||
7,935,325 | Short-Term Investment | ||||||
Company Liquid Assets | |||||||
Portfolio – AIM Fund | 7,935,325 | ||||||
Total Short-Term | |||||||
Investments | |||||||
(Cost $7,935,325) | 7,935,325 | ||||||
INVESTMENTS PURCHASED | |||||||
WITH CASH PROCEEDS FROM | |||||||
SECURITIES LENDING – 27.2% | |||||||
Certificate of Deposit – 2.5% | |||||||
1,523,696 | Bank of Scotland, | ||||||
2.9944%, 05/06/09 | 1,519,948 | ||||||
1,726,855 | Barclays Bank, | ||||||
3.3615%, 03/16/09 | 1,726,476 | ||||||
1,015,797 | Natixis Bank | ||||||
of New York, | |||||||
3.35%, 06/30/09 | 1,012,943 | ||||||
4,259,367 | |||||||
Commercial Paper – 6.6% | |||||||
1,015,797 | Barton Capital | ||||||
Corporation, | |||||||
2.171%, 07/25/08 | 1,014,009 | ||||||
1,180,458 | Falcon Asset SC | ||||||
Corporation, | |||||||
2.17%, 07/24/08 | 1,178,463 | ||||||
1,015,797 | Kitty Hawk Funding Corp., | ||||||
2.181%, 07/25/08 | 1,014,009 | ||||||
1,029,545 | KKR Atlantic | ||||||
Funding Trust, | |||||||
3.05875%, 03/25/09 # | 1,029,545 | ||||||
1,015,797 | Ranger Funding Company | ||||||
LLC, 2.6%, 08/22/08 | 1,011,734 | ||||||
1,015,797 | Sheffield Receivables, | ||||||
2.151%, 07/16/08 | 1,014,660 | ||||||
1,015,797 | Societe Gen North America, | ||||||
2.8%, 09/04/08 | 1,010,434 | ||||||
1,015,797 | Thames Ast Global Sec., | ||||||
2.251%, 07/07/08 | 1,015,300 | ||||||
1,015,797 | Thunder Bay Funding | ||||||
LLC, 2.15%, 07/11/08 | 1,015,015 | ||||||
1,015,797 | Variable Funding | ||||||
Capital Corporation, | |||||||
2.7%, 09/08/08 | 1,010,109 | ||||||
1,015,797 | Windmill Funding, | ||||||
2.2%, 08/18/08 | 1,012,039 | ||||||
11,325,317 |
The accompanying notes are an integral part of these financial statements.
Page 57
Baird Core Plus Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
INVESTMENTS PURCHASED | |||||||
WITH CASH PROCEEDS FROM | |||||||
SECURITIES LENDING – 27.2% (cont.) | |||||||
Corporate Bonds and Notes – 2.4% | |||||||
$ | 507,889 | Allstate Life GL, | |||||
3.34%, 03/20/09 | $ | 507,111 | |||||
1,117,377 | Allstate Life GL, | ||||||
3.0575%, 03/20/09 | 1,117,377 | ||||||
1,523,696 | Wachovia Bank NA, | ||||||
2.17%, 02/04/09 | 1,520,527 | ||||||
1,015,797 | Svenska Handelsbanken, | ||||||
2.232%, 02/06/09 | 1,015,188 | ||||||
4,160,203 | |||||||
Shares | |||||||
Money Market Mutual Funds – 2.0% | |||||||
1,422,163 | Merrill Lynch Premier | ||||||
Institutional Fund | 1,422,163 | ||||||
2,031,595 | Reserve Primary Fund | 2,031,595 | |||||
3,453,758 | |||||||
Principal | |||||||
Amount | |||||||
Repurchase Agreements – 13.7% | |||||||
7,618,480 | Greenwich Capital, 2.75%, | ||||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized | |||||||
by Freddie Mac Collateralized | |||||||
Mortgage Obligation | |||||||
Guaranteed Zero Coupon | |||||||
Bonds, 01/01/32 – 04/15/37, | |||||||
valued at $7,770,999. | |||||||
Repurchase proceeds | |||||||
are $7,619,062.) | 7,618,480 | ||||||
7,618,480 | ING Financial, 2.75%, | ||||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized | |||||||
by various collateralized | |||||||
mortgage obligations, | |||||||
5.00 – 6.00%, 07/01/25 – | |||||||
08/01/35, valued at | |||||||
$7,771,060. Repurchase | |||||||
proceeds are $7,619,062.) | 7,618,480 | ||||||
7,618,480 | JPMorgan Chase, 2.70%, | ||||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized | |||||||
by Freddie Mac | |||||||
Collateralized Mortgage | |||||||
Obligation Guaranteed | |||||||
Zero Coupon Bonds, | |||||||
07/15/35 – 01/15/37, | |||||||
valued at $7,847,242. | |||||||
Repurchase proceeds | |||||||
are $7,619,051.) | 7,618,480 |
The accompanying notes are an integral part of these financial statements.
Page 58
Baird Core Plus Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
INVESTMENTS PURCHASED | |||||||
WITH CASH PROCEEDS FROM | |||||||
SECURITIES LENDING – 27.2% (cont.) | |||||||
Repurchase Agreements – 13.7% (cont.) | |||||||
$ | 711,058 | Morgan Stanley, 2.75%, | |||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized by | |||||||
a Freddie Mac Collateralized | |||||||
Mortgage Obligation, | |||||||
3.07%, 09/15/37, valued at | |||||||
$726,229. Repurchase | |||||||
proceeds are $711,112.) | $ | 711,058 | |||||
23,566,498 | |||||||
Total Investments | |||||||
Purchased With Cash | |||||||
Proceeds From | |||||||
Securities Lending | |||||||
(Cost $46,765,143) | 46,765,143 | ||||||
Total Investments | |||||||
(Cost $222,209,233) – | |||||||
126.6% | 218,121,636 | ||||||
Liabilities in Excess of | |||||||
Other Assets – (26.6)% | (45,789,101 | ) | |||||
TOTAL NET | |||||||
ASSETS – 100.0% | $ | 172,332,535 |
* | Restricted Security Deemed Liquid |
f | Foreign Security |
^ | Non-Income Producing |
# | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds’ Board of Directors |
The accompanying notes are an integral part of these financial statements.
Page 59
Baird Core Plus Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
FAS 157 – Summary of Fair Value Exposure at June 30, 2008
In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“SFAS 157”) effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles (GAAP), and expands disclosures about fair value measurements. The Fund adopted FAS 157 as of January 1, 2008. Under SFAS 157, various inputs are used in determining the value of the Fund’s investments. These inputs are summarized into three broad levels and described below:
Level 1 – Quoted prices in active markets for identical securities.
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2008:
Description | Schedule of Investments | |||
Level 1 – Quoted prices | $ | 11,389,083 | ||
Level 2 – Other significant observable inputs | 205,703,008 | |||
Level 3 – Significant unobservable inputs | 1,029,545 | |||
Total | $ | 218,121,636 |
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
Schedule of Investments | ||||
Balance as of 12/31/07 | $ | 1,107,921 | ||
Accrued discounts / premiums | — | |||
Realized gain (loss) | — | |||
Change in unrealized appreciation (depreciation) | 17,954 | |||
Net purchases (sales/paydowns) | (96,330 | ) | ||
Transfers in and / or out of Level 3* | — | |||
Balance as of 06/30/08 | $ | 1,029,545 |
* | The information used in the above reconciliation represents fiscal year to date activity for any investments identified as using Level 3 inputs at either the beginning or end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in) or ending value (for transfers out) of any security or instrument where a change in the pricing level occurred from the beginning to the end of the period. |
Page 60
The Baird Short-Term Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Lehman Brothers 1-3 Year Government/Credit Bond Index. The Lehman Brothers 1-3 Year Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt, including government and corporate securities, with maturities between one and three years.
Portfolio Characteristics
Quality Distribution* | Sector Weightings* |
Net Assets: | $262,974,297 | Annualized Expense Ratio: | |||
SEC 30-Day Yield:** | Institutional Class: | 0.30 | % | ||
Institutional Class: | 5.18% | Portfolio Turnover Rate:*** | 50.6 | % | |
Average Effective Duration: | 1.77 years | Total Number of Holdings: | 182 | ||
Average Effective Maturity: | 2.41 years |
* | Percentages shown are based on the Fund’s total net assets. | |
** | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2008. | |
*** | Not annualized. |
Page 61
Average Annual Total Returns
For the Periods Ended June 30, 2008 | One Year | Since Inception(1) |
Baird Short-Term Bond Fund – Institutional Class | 4.76% | 3.52% |
Lehman Brothers 1-3 Year Government/Credit Bond Index(2) | 6.74% | 3.89% |
(1) | For the period from August 31, 2004 (commencement of operations) to June 30, 2008. |
(2) | The Lehman Brothers 1-3 Year Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt, including government and corporate securities, with maturities between one and three years. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Past performance does not guarantee future results. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 62
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | ||||||||
Amount | Value | |||||||
LONG-TERM INVESTMENTS – 97.6% | ||||||||
Asset Backed Securities – 7.1% | ||||||||
$ | 46,036 | Bayview Financial | ||||||
Acquisition Trust, | ||||||||
Series 2005-B, Class 1A2, | ||||||||
4.696%, 04/28/2039 | $ | 45,954 | ||||||
320,920 | CitiFinancial Mortgage | |||||||
Securities, Inc., | ||||||||
Series 2004-1, Class AF2, | ||||||||
2.645%, 04/25/2034 | 309,885 | |||||||
Countrywide Asset-Backed | ||||||||
Certificates: | ||||||||
1,500,000 | Series 2006-S7, Class A2, | |||||||
5.571%, 11/25/2035 | 928,851 | |||||||
1,153,000 | Series 2005-12, Class 1A2, | |||||||
4.847%, 02/25/2036 | 1,151,895 | |||||||
1,532,390 | Series 2005-13, Class AF2, | |||||||
5.294%, 04/25/2036 | 1,532,473 | |||||||
2,000,000 | Series 2006-13, Class 1AF2, | |||||||
5.884%, 01/25/2037 | 1,831,460 | |||||||
1,245,000 | Series 2006-13, Class 1AF3, | |||||||
5.944%, 01/25/2037 | 1,012,083 | |||||||
1,500,000 | Series 2006-9, Class 1AF3, | |||||||
5.859%, 10/25/2046 | 1,353,809 | |||||||
1,340,323 | Credit Based Asset | |||||||
Servicing and Securities, | ||||||||
Series 2005-CB8, Class AF2, | ||||||||
5.303%, 12/25/2035 | 1,307,626 | |||||||
Discover Card | ||||||||
Master Trust I, | ||||||||
550,000 | Series 2003-4, Class A1, | |||||||
4.346%, 05/15/2011 | 548,552 | |||||||
1,225,000 | Series 2005-2, Class A, | |||||||
4.266%, 04/17/2012 | 1,218,673 | |||||||
1,339,927 | Ford Credit Auto Owner | |||||||
Trust, Series 2005-B, Class | ||||||||
A4, 4.38%, 01/15/2010 | 1,341,504 | |||||||
3,500,000 | GMAC Mortgage | |||||||
Corporation Loan Trust, | ||||||||
Series 2005-HE3, Class | ||||||||
A2, 3.526%, | ||||||||
02/25/2036 | 2,755,414 | |||||||
Green Tree Financial | ||||||||
Corporation: | ||||||||
64,856 | Series 1998-2, Class A5, | |||||||
6.24%, 11/01/2016 | 61,855 | |||||||
718,513 | Series 1998-3, Class A5, | |||||||
6.22%, 03/01/2030 | 646,645 | |||||||
436,242 | Series 1999-3, Class A6, | |||||||
6.50%, 02/01/2031 | 436,236 | |||||||
2,000,000 | Renaissance Home Equity | |||||||
Loan Trust, Series 2007-2, | ||||||||
Class AF2, 5.675%, | ||||||||
06/25/2037 | 1,810,491 | |||||||
360,139 | Residential Asset | |||||||
Mortgage Products, Inc., | ||||||||
Series 2003-RS7, Class | ||||||||
AI6, 5.34%, 08/25/2033 | 331,154 | |||||||
18,624,560 | ||||||||
Financial – 24.3% | ||||||||
American General Finance | ||||||||
Corporation Notes: | ||||||||
1,099,000 | 8.45%, 10/15/2009 | 1,129,704 | ||||||
1,000,000 | 4.00%, 03/15/2011 | 929,946 | ||||||
1,000,000 | Ameriprise Financial, Inc., | |||||||
5.35%, 11/15/2010 | 1,003,280 | |||||||
1,225,000 | Amvescap PLC, | |||||||
5.625%, 04/17/2012 | 1,169,446 | |||||||
820,000 | Axa Financial, Inc., | |||||||
7.75%, 08/01/2010 | 864,547 | |||||||
1,130,000 | Banco Santander | |||||||
Central Hispano, | ||||||||
7.625%, 11/03/2009 f | 1,158,686 |
The accompanying notes are an integral part of these financial statements.
Page 63
Baird Short-Term Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 97.6% (cont.) | |||||||
Financial – 24.3% (cont.) | |||||||
$ | 500,000 | Bank of Ireland, | |||||
2.863%, 12/18/2009 f | $ | 494,846 | |||||
2,000,000 | Bank of Hawaii, | ||||||
6.875%, 03/01/2009 | 2,029,244 | ||||||
250,000 | Bank Tokyo – | ||||||
Mitsubishi UFJ Ltd., | |||||||
8.40%, 04/15/2010 f | 263,775 | ||||||
251,000 | Bank United Notes, | ||||||
8.00%, 03/15/2009 | 244,097 | ||||||
383,000 | Bayerische Landesbank | ||||||
Yankee Deposit Notes, | |||||||
5.65%, 02/01/2009 f | 387,319 | ||||||
1,550,000 | Bear Stearns Co. | ||||||
Incorporated, | |||||||
2.875%, 07/02/2008 | 1,550,000 | ||||||
500,000 | Charles Schwab | ||||||
Corporation Senior Notes, | |||||||
8.05%, 03/01/2010 | 522,694 | ||||||
Cit Group, Inc. | |||||||
Senior Notes: | |||||||
2,000,000 | 4.25%, 02/01/2010 | 1,692,344 | |||||
250,000 | 4.75%, 12/15/2010 | 203,886 | |||||
Citifinancial Debentures: | |||||||
1,000,000 | 10.00%, 12/01/2008 | 1,026,227 | |||||
375,000 | 10.00%, 05/15/2009 | 391,665 | |||||
Compass Bank | �� | ||||||
Subordinated Notes: | |||||||
1,000,000 | 6.45%, 05/01/2009 | 1,003,783 | |||||
850,000 | 8.10%, 08/15/2009 | 864,102 | |||||
388,000 | Corestates Capital Trust I, | ||||||
8.00%, 12/15/2026 | |||||||
(Acquired 01/26/2006 | |||||||
and 05/31/2006; Cost | |||||||
$211,938 and $196,930)* | 397,681 | ||||||
1,000,000 | Countrywide Home | ||||||
Loans Notes, | |||||||
4.125%, 09/15/2009 | 955,083 | ||||||
175,000 | Export-Import Bank | ||||||
Korea Notes, | |||||||
4.625%, 03/16/2010 f | 174,578 | ||||||
1,000,000 | First Empire Capital Trust I, | ||||||
8.234%, 02/01/2027 | |||||||
(Callable 09/02/2008) | 995,284 | ||||||
1,500,000 | First Hawaiian Capital | ||||||
Trust I, Series B, | |||||||
8.343%, 07/01/2027 | 1,506,135 | ||||||
1,500,000 | First National Bank of | ||||||
Omaha Subordinated Notes, | |||||||
7.32%, 12/01/2010 | 1,594,460 | ||||||
500,000 | First Tennessee Bank, | ||||||
5.316%, 12/08/2008 | 496,494 | ||||||
800,000 | First Union Capital I, | ||||||
Series A, 7.935%, | |||||||
01/15/2027 (Callable | |||||||
09/02/2008) | 807,871 | ||||||
1,475,000 | GE Global Insurance | ||||||
Holding Corp., | |||||||
7.50%, 06/15/2010 | 1,542,611 | ||||||
273,000 | Goldman Sachs | ||||||
Group, Inc. Senior | |||||||
Unsubordinated Notes, | |||||||
7.80%, 01/28/2010 | 285,248 | ||||||
1,500,000 | HSBC USA Capital | ||||||
Trust II, 8.38%, | |||||||
05/15/2027 (Callable | |||||||
06/09/2008) (Acquired | |||||||
11/06/2007; | |||||||
Cost $1,562,192)* | 1,491,185 | ||||||
2,000,000 | Istar Financial, Inc., Series | ||||||
B, 4.875%, 01/15/2009 | 1,920,000 |
The accompanying notes are an integral part of these financial statements.
Page 64
Baird Short-Term Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 97.6% (cont.) | |||||||
Financial – 24.3% (cont.) | |||||||
$ | 600,000 | Korea Development | |||||
Bank Notes, | |||||||
3.875%, 03/02/2009 f | $ | 598,982 | |||||
400,000 | Lehman Brothers | ||||||
Holdings, Inc. Notes, | |||||||
3.50%, 08/07/2008 | 399,327 | ||||||
2,500,000 | M&I Marshall | ||||||
& Ilsley Bank, | |||||||
2.93%, 06/16/2010 | 2,335,440 | ||||||
2,000,000 | Marsh & McLennan | ||||||
Cos, Inc., 7.125%, | |||||||
06/15/2009 | 2,020,110 | ||||||
2,671,000 | MBNA Capital, Series A, | ||||||
8.278%, 12/01/2026 | |||||||
(Callable 09/02/2008) | 2,661,937 | ||||||
Merrill Lynch & Co.: | |||||||
720,000 | 4.831%, 10/27/2008 | 719,589 | |||||
1,500,000 | 4.966%, 05/12/2010 | 1,476,209 | |||||
1,020,000 | Mony Group, Inc., | ||||||
8.35%, 03/15/2010 | 1,066,622 | ||||||
886,000 | Morgan Stanley, | ||||||
8.00%, 06/15/2010 | 911,603 | ||||||
1,560,000 | National Australia Bank | ||||||
Ltd. Subordinated Notes, | |||||||
Series A, 8.60%, | |||||||
05/19/2010 f | 1,669,415 | ||||||
245,000 | National City Corporation, | ||||||
5.75%, 02/01/2009 | 239,911 | ||||||
720,000 | NB Capital Trust IV, | ||||||
8.25%, 04/15/2027 | |||||||
(Callable 09/02/2008) | 722,599 | ||||||
625,000 | New York Life | ||||||
Global Funding, | |||||||
3.875%, 01/15/2009 | |||||||
(Acquired 01/23/2006; | |||||||
Cost $608,075)* | 626,365 | ||||||
1,000,000 | North Fork Capital Trust II, | ||||||
8.00%, 12/15/2027 | |||||||
(Callable 09/02/2008) | 879,866 | ||||||
1,433,000 | PNC Financial Services | ||||||
Subordinated Notes, | |||||||
9.65%, 06/15/2009 | 1,491,833 | ||||||
1,050,000 | PNC Funding Corporation, | ||||||
6.125%, 02/15/2009 | 1,059,675 | ||||||
1,965,000 | Popular North America, | ||||||
Inc.: 4.70%, 06/30/2009 | 1,940,943 | ||||||
1,500,000 | Premium Asset Senior Notes, | ||||||
4.125%, 03/12/2009 | |||||||
(Acquired 05/10/2007; | |||||||
Cost $1,440,000)* # | 750,000 | ||||||
500,000 | Principal Financial | ||||||
Group Notes, | |||||||
8.20%, 08/15/2009 | |||||||
(Acquired 05/14/2008; | |||||||
Cost $523,030)* f | 516,631 | ||||||
455,000 | Republic New York | ||||||
Corporation Subordinated | |||||||
Notes, 9.70%, 02/01/2009 | 467,562 | ||||||
1,050,000 | Residential Capital LLC, | ||||||
8.50%, 05/15/2010 | |||||||
(Acquired 09/08/2006 | |||||||
and 08/21/2007; Cost | |||||||
$600,511 and $394,098)* | 882,000 | ||||||
Santander Financial Issuances, | |||||||
550,000 | 6.375%, 02/15/2011 f | 569,225 | |||||
1,065,000 | SLM Corporation Notes, | ||||||
3.95%, 08/15/2008 | 1,057,867 | ||||||
1,724,000 | Sovereign Bancorp, | ||||||
4.80%, 09/01/2010 | 1,529,919 | ||||||
1,500,000 | Travelers Companies, | ||||||
Inc., Series C, | |||||||
6.38%, 12/15/2008 | 1,513,662 |
The accompanying notes are an integral part of these financial statements.
Page 65
Baird Short-Term Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 97.6% (cont.) | |||||||
Financial – 24.3% (cont.) | |||||||
$ | 2,400,000 | Toll Road Inv. Part II, | |||||
Series 1999B, 0.00%, | |||||||
02/15/2009 (Acquired | |||||||
02/04/2008; Cost | |||||||
$2,280,000)* ^ | $ | 2,345,654 | |||||
1,000,000 | Union Planters | ||||||
Corporation | |||||||
Subordinated Notes, | |||||||
7.75%, 03/01/2011 | 1,022,227 | ||||||
850,000 | Unum Group, | ||||||
5.859%, 05/15/2009 | 858,431 | ||||||
1,419,000 | Washington Mutual, Inc. | ||||||
Subordinated Notes, | |||||||
8.25%, 04/01/2010 | 1,255,815 | ||||||
1,175,000 | Western Financial Bank | ||||||
Subordinated Debentures, | |||||||
9.625%, 05/15/2012 | |||||||
(Callable 05/15/2009) | 1,222,714 | ||||||
63,908,354 | |||||||
Industrial – 19.2% | |||||||
1,500,000 | American Standard Inc., | ||||||
8.25%, 06/01/2009 | 1,547,784 | ||||||
1,500,000 | Ametek, Inc., Senior Notes, | ||||||
7.20%, 07/15/2008 | 1,501,893 | ||||||
610,000 | Anadarko Petroleum Corp., | ||||||
3.176%, 09/15/2009 | |||||||
(Callable 09/02/2008) | 603,016 | ||||||
150,000 | BellSouth | ||||||
Telecommunication | |||||||
Debentures, | |||||||
5.875%, 01/15/2009 | 151,610 | ||||||
2,225,000 | British Telecom | ||||||
PLC Notes, | |||||||
8.625%, 12/15/2010 f | 2,389,094 | ||||||
1,550,000 | Bunge Limited Finance | ||||||
Corporation, | |||||||
4.375%, 12/15/2008 | 1,552,353 | ||||||
874,000 | Cadbury Schweppes | ||||||
U.S. Finance Notes, | |||||||
3.875%, 10/01/2008 | |||||||
(Acquired 08/30/2005 | |||||||
and 02/14/2007; Cost | |||||||
$685,461 and $170,084)* | 873,105 | ||||||
500,000 | Clear Channel | ||||||
Communications, Senior | |||||||
Notes, 7.65%, 09/15/2010 | 512,875 | ||||||
950,000 | Comcast Cable | ||||||
Communications, Inc. | |||||||
Notes, 6.20%, 11/15/2008 | 953,479 | ||||||
500,000 | Comcast Holdings | ||||||
Corporation, | |||||||
10.625%, 07/15/2012 | 574,686 | ||||||
725,000 | Computer Sciences | ||||||
Corporation Senior Notes, | |||||||
7.375%, 06/15/2011 | 761,146 | ||||||
COX Communications | |||||||
Inc. Notes: | |||||||
1,000,000 | 3.875%, 10/01/2008 | 998,634 | |||||
1,581,000 | 7.875%, 08/15/2009 | 1,621,940 | |||||
1,975,000 | Deutsche Telekom | ||||||
International Finance BV, | |||||||
8.00%, 06/15/2010 f | 2,089,333 | ||||||
1,625,000 | Developers Diversified | ||||||
Realty Corp., | |||||||
3.875%, 01/30/2009 | 1,605,684 | ||||||
662,000 | Devon Energy | ||||||
Corporation Debentures, | |||||||
10.125%, 11/15/2009 | 712,668 | ||||||
1,500,000 | Donnelley (R.R.) & Sons | ||||||
Notes, 3.75%, 04/01/2009 | 1,484,644 |
The accompanying notes are an integral part of these financial statements.
Page 66
Baird Short-Term Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 97.6% (cont.) | |||||||
Industrial – 19.2% (cont.) | |||||||
$ | 600,000 | Electronic Data | |||||
Systems Corp., | |||||||
7.125%, 10/15/2009 | $ | 618,760 | |||||
500,000 | Fiserv, Inc., | ||||||
6.125%, 11/20/2012 | 502,526 | ||||||
Halliburton | |||||||
Company Notes: | |||||||
225,000 | 5.625%, 12/01/2008 | 226,463 | |||||
500,000 | 5.50%, 10/15/2010 | 517,985 | |||||
2,000,000 | Home Depot, Inc., | ||||||
3.75%, 09/15/2009 | 1,955,814 | ||||||
1,000,000 | ICI Wilmington, Inc., | ||||||
4.375%, 12/01/2008 | 1,001,465 | ||||||
675,000 | International Paper | ||||||
Company Notes, | |||||||
4.00%, 04/01/2010 | 653,485 | ||||||
1,670,000 | J.C. Penney Corporation | ||||||
Inc., 7.375%, 08/15/2008 | 1,674,492 | ||||||
1,395,000 | Macy’s Retail Holdings Inc., | ||||||
6.625%, 09/01/2008 | 1,396,594 | ||||||
500,000 | Martin Marietta Materials, | ||||||
Inc., 5.875%, 12/01/2008 | 501,350 | ||||||
1,250,000 | Masco Corporation, | ||||||
5.75%, 10/15/2008 | 1,253,016 | ||||||
1,450,000 | News America Holdings, | ||||||
7.375%, 10/17/2008 | 1,465,529 | ||||||
PEMEX Project Funding | |||||||
Master Trust: | |||||||
7,000 | 6.125%, 08/15/2008 | 7,028 | |||||
1,400,000 | 9.125%, 10/13/2010 | 1,526,000 | |||||
1,770,000 | Republic Services, Inc., | ||||||
7.125%, 05/15/2009 | 1,796,414 | ||||||
1,787,000 | Rio Tinto Financial | ||||||
USA Ltd., | |||||||
2.625%, 09/30/2008 f | 1,781,728 | ||||||
1,500,000 | Sprint Capital | ||||||
Corporation Notes, | |||||||
6.375%, 05/01/2009 | 1,500,000 | ||||||
Telecom Italia Capital: f | |||||||
2,750,000 | 4.00%, 11/15/2008 | 2,749,588 | |||||
1,000,000 | 4.00%, 01/15/2010 | 986,555 | |||||
1,600,000 | Transocean Inc., | ||||||
3.214%, 09/05/2008 | |||||||
(Callable 09/02/2008) f | 1,597,896 | ||||||
800,000 | Tyco International Group | ||||||
SA, 6.125%, 11/01/2008 f | 802,512 | ||||||
272,175 | United AirLines, Inc. | ||||||
Pass-Thru Certificates, | |||||||
Series 2001-1, Class A-2, | |||||||
6.201%, 09/01/2008 | 268,092 | ||||||
1,825,000 | Viacom, Inc. Senior Notes, | ||||||
7.70%, 07/30/2010 | 1,907,333 | ||||||
Vodafone Group PLC: f | |||||||
1,105,000 | 7.75%, 02/15/2010 | 1,154,689 | |||||
1,000,000 | 5.50%, 06/15/2011 | 1,009,816 | |||||
Waste Management, Inc.: | |||||||
550,000 | 6.50%, 11/15/2008 | 555,764 | |||||
200,000 | 6.875%, 05/15/2009 | 203,946 | |||||
910,000 | 7.65%, 03/15/2011 | 958,751 | |||||
50,507,535 | |||||||
Mortgage Backed Securities – 16.8% | |||||||
827,330 | Bank of America | ||||||
Alternative Loan Trust, | |||||||
Series 2003-4, Class 2A1, | |||||||
5.00%, 06/25/2018 | 778,705 | ||||||
1,842,670 | Chase Mortgage | ||||||
Finance Corporation, | |||||||
Series 2005-A1, Class 2A2, | |||||||
5.237%, 12/25/2035 | 1,823,219 |
The accompanying notes are an integral part of these financial statements.
Page 67
Baird Short-Term Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 97.6% (cont.) | |||||||
Mortgage Backed Securities – 16.8% (cont.) | |||||||
Citicorp Mortgage | |||||||
Securities, Inc.: | |||||||
$ | 233,835 | Series 2003-11, Class 2A8, | |||||
5.50%, 12/25/2033 | $ | 230,472 | |||||
689,540 | Series 2004-3, Class A2, | ||||||
5.25%, 05/25/2034 | 671,231 | ||||||
400,810 | Series 2004-4, Class A2, | ||||||
5.25%, 06/25/2034 | 384,541 | ||||||
Countrywide Alternative | |||||||
Loan Trust: | |||||||
1,221,962 | Series 2005-50CB, Class | ||||||
4A1, 5.00%, 11/25/2020 | 1,149,055 | ||||||
2,771,488 | Series 2005-34CB, Class | ||||||
1A6, 5.50%, 09/25/2035 | 2,663,778 | ||||||
818,744 | Series 2005-73CB, Class | ||||||
1A7, 5.50%, 01/25/2036 | 763,500 | ||||||
1,265,660 | Series 2006-28CB, Class | ||||||
A17, 6.00%, 10/25/2036 | 1,210,797 | ||||||
1,968,116 | Credit Suisse First Boston | ||||||
Mortgage Securities | |||||||
Corporation, | |||||||
Series 1998-C2, Class A2, | |||||||
6.30%, 11/15/2030 | 1,975,254 | ||||||
Deutsche Alternative | |||||||
Securities Inc. Mortgage: | |||||||
614,723 | Series 2003-3, Class 2A5, | ||||||
5.00%, 10/25/2033 | 611,938 | ||||||
1,759,498 | Series 2005-4, Class A2, | ||||||
5.05%, 09/25/2035 | 1,724,745 | ||||||
3,085,329 | DLJ Commercial | ||||||
Mortgage Corporation, | |||||||
Series 1999-CG3, Class | |||||||
A1B, 7.34%, 10/10/2032 | 3,162,931 | ||||||
Federal Home Loan | |||||||
Mortgage Corporation | |||||||
(FHLMC): | |||||||
61,325 | Series 2548, Class HA, | ||||||
4.50%, 01/15/2010 | 61,670 | ||||||
513,504 | Series 2835, Class VK, | ||||||
5.50%, 11/15/2012 | 523,772 | ||||||
797,339 | Series 3033, Class LU, | ||||||
5.50%, 03/15/2013 | 818,061 | ||||||
2,242,704 | Series 3124, Class VP, | ||||||
6.00%, 06/15/2014 | 2,323,302 | ||||||
2,912,600 | Series R014, Class AL, | ||||||
5.50%, 10/15/2014 | 2,959,766 | ||||||
277,153 | Series 2789, Class VM, | ||||||
5.50%, 04/15/2015 | 283,511 | ||||||
1,000,000 | Series 2390, Class PW, | ||||||
6.00%, 04/15/2015 | 1,015,897 | ||||||
1,471,950 | Series 2857, Class VA, | ||||||
5.00%, 09/15/2015 | 1,488,089 | ||||||
161,045 | Series 2541, Class JB, | ||||||
5.00%, 02/15/2016 | 162,936 | ||||||
511,306 | Series 2970, Class DA, | ||||||
5.50%, 01/15/2023 | 522,163 | ||||||
Federal National Mortgage | |||||||
Association (FNMA): | |||||||
520,504 | 5.50%, 07/01/2015 | 528,053 | |||||
868,777 | Series 2003-27, Class OJ, | ||||||
5.00%, 07/25/2015 | 877,148 | ||||||
950,986 | Series 2003-24, Class LC, | ||||||
5.00%, 12/25/2015 | 961,239 | ||||||
698,479 | Series 2006-B1, Class AB, | ||||||
6.00%, 06/25/2016 | 714,563 | ||||||
1,645,303 | Series 2004-W6, Class 1A4, | ||||||
5.50%, 07/25/2034 | 1,605,508 | ||||||
4,200,000 | Series 2004-W10, Class | ||||||
A24, 5.00%, 08/25/2034 | 4,166,494 | ||||||
The accompanying notes are an integral part of these financial statements.
Page 68
Baird Short-Term Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 97.6% (cont.) | |||||||
Mortgage Backed Securities – 16.8% (cont.) | |||||||
$ | 2,000,000 | J.P. Morgan Alternative | |||||
Loan Trust, Series 2006-S2, | |||||||
Class A2, 5.81%, | |||||||
05/25/2036 | $ | 1,987,785 | |||||
577,378 | Merrill Lynch Mortgage | ||||||
Investors Inc., | |||||||
Series 2005-A8, Class | |||||||
A1C1, 5.25%, 08/25/2036 | 539,111 | ||||||
743,961 | Residential Accredit Loans | ||||||
Inc., Series 2003-QS17, | |||||||
Class CB3, 5.50%, | |||||||
09/25/2033 | 741,834 | ||||||
Salomon Brothers | |||||||
Mortgage Securities VII: | |||||||
1,569,150 | Series 2000-C1, Class A2, | ||||||
7.52%, 12/18/2009 | 1,612,279 | ||||||
989,837 | Series 2001-C2, Class A3, | ||||||
6.50%, 10/13/2011 | 1,015,643 | ||||||
1,159,025 | Series 2000-C2, Class A2, | ||||||
7.455%, 07/18/2033 | 1,194,940 | ||||||
Washington Mutual, Inc. | |||||||
Pass-Thru Certificates: | |||||||
584,108 | Series 2004-CB4, Class | ||||||
21A, 5.50%, 12/25/2019 | 550,432 | ||||||
526,744 | Series 2004-CB4, Class | ||||||
22A, 6.00%, 12/25/2019 | 503,316 | ||||||
44,307,678 | |||||||
Taxable Municipal Bonds – 1.5% | |||||||
455,782 | Educational Enhancement | ||||||
Funding Corporation, | |||||||
6.72%, 06/01/2025 | 450,737 | ||||||
560,000 | Missouri State Housing | ||||||
Development Revenue Bond, | |||||||
5.74%, 03/01/2037 | 564,642 | ||||||
1,500,000 | Pennsylvania State | ||||||
Turnpike Commission, | |||||||
5.29%, 10/15/2009 | 1,508,775 | ||||||
385,000 | Redding California | ||||||
Redevelopment Agency | |||||||
Tax Allocation, | |||||||
6.00%, 09/01/2010 | 387,187 | ||||||
370,000 | Richmond Joint Powers | ||||||
Financing Authority | |||||||
Tax Allocation, | |||||||
7.35%, 09/01/2010 | 376,445 | ||||||
558,873 | Tobacco Settlement | ||||||
Financing Corporation, | |||||||
Series 2001A, Class A, | |||||||
6.36%, 05/15/2025 | 537,703 | ||||||
3,825,489 | |||||||
Utilities – 4.5% | |||||||
1,000,000 | Baltimore Gas & Electric | ||||||
Company Notes, | |||||||
5.78%, 10/01/2008 | 1,004,239 | ||||||
940,000 | Cilcorp Inc. Senior Notes, | ||||||
8.70%, 10/15/2009 | 960,922 | ||||||
1,000,000 | Constellation Energy | ||||||
Group Inc. Senior Notes, | |||||||
6.125%, 09/01/2009 | 1,013,922 | ||||||
1,000,000 | Kinder Morgan Energy | ||||||
Partners Senior Notes, | |||||||
6.30%, 02/01/2009 | 1,010,142 | ||||||
500,000 | MidAmerican Energy | ||||||
Holdings Company | |||||||
Senior Notes, | |||||||
7.52%, 09/15/2008 | 503,535 | ||||||
1,000,000 | NiSource Finance | ||||||
Corporation, | |||||||
7.875%, 11/15/2010 | 1,037,015 |
The accompanying notes are an integral part of these financial statements.
Page 69
Baird Short-Term Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
LONG-TERM INVESTMENTS – 97.6% (cont.) | |||||||
Utilities – 4.5% (cont.) | |||||||
$ | 1,682,000 | Panhandle Eastern | |||||
Pipeline Senior Notes, | |||||||
4.80%, 08/15/2008 | $ | 1,681,590 | |||||
1,000,000 | Pepco Holdings, Inc. | ||||||
Senior Notes, 6.246%, | |||||||
06/01/2010 (Callable | |||||||
09/02/2008) | 991,106 | ||||||
2,350,000 | PPL Capital Funding | ||||||
Trust I, Series A, | |||||||
4.33%, 03/01/2009 | 2,349,114 | ||||||
250,000 | PSE&G Power LLC, | ||||||
3.75%, 04/01/2009 | 249,680 | ||||||
968,000 | Public Service New | ||||||
Mexico Senior Notes, | |||||||
4.40%, 09/15/2008 | 964,653 | ||||||
11,765,918 | |||||||
U.S. Government Agency Issues – 16.0% | |||||||
Federal National Mortgage | |||||||
Association (FNMA): | |||||||
23,800,000 | 6.00%, 05/15/2011 | 25,343,359 | |||||
17,200,000 | 3.625%, 02/12/2013 | 16,857,066 | |||||
42,200,425 | |||||||
U.S. Treasury Obligations – 8.2% | |||||||
20,900,000 | U.S. Treasury Note, | ||||||
4.125%, 08/31/2012 | 21,633,130 | ||||||
Total Long-Term | |||||||
Investments | |||||||
(Cost $260,941,123) | 256,773,089 | ||||||
SHORT-TERM INVESTMENTS – 0.0% | |||||||
Money Market Fund – 0.0% | |||||||
770 | Short-Term Investment | ||||||
Company Liquid Assets | |||||||
Portfolio – AIM Fund | 770 | ||||||
Total Short-Term | |||||||
Investments (Cost $770) | 770 | ||||||
INVESTMENTS PURCHASED | |||||||
WITH CASH PROCEEDS FROM | |||||||
SECURITIES LENDING – 27.7% | |||||||
Certificate of Deposit – 2.5% | |||||||
2,381,453 | Bank of Scotland, | ||||||
2.9944%, 05/06/09 | 2,375,595 | ||||||
2,698,980 | Barclays Bank, | ||||||
3.3615%, 03/16/09 | 2,698,387 | ||||||
1,587,636 | Natixis Bank of New York, | ||||||
3.35%, 06/30/09 | 1,583,174 | ||||||
6,657,156 | |||||||
Commercial Paper – 6.6% | |||||||
1,587,636 | Barton Capital Corporation, | ||||||
2.171%, 07/25/08 | 1,584,841 | ||||||
1,844,991 | Falcon Asset | ||||||
SC Corporation, | |||||||
2.17%, 07/24/08 | 1,841,873 | ||||||
1,587,636 | Kitty Hawk Funding | ||||||
Corp., 2.181%, 07/25/08 | 1,584,841 | ||||||
1,315,058 | KKR Atlantic | ||||||
Funding Trust, | |||||||
3.05875%, 03/25/09 # | 1,315,058 | ||||||
1,587,636 | Ranger Funding | ||||||
Company LLC, | |||||||
2.6%, 08/22/08 | 1,581,285 | ||||||
1,587,636 | Sheffield Receivables, | ||||||
2.151%, 07/16/08 | 1,585,857 |
The accompanying notes are an integral part of these financial statements.
Page 70
Baird Short-Term Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
INVESTMENTS PURCHASED | |||||||
WITH CASH PROCEEDS FROM | |||||||
SECURITIES LENDING – 27.7%(cont.) | |||||||
Commercial Paper – 6.6% (cont.) | |||||||
$ | 1,587,636 | Societe Gen | |||||
North America, | |||||||
2.8%, 09/04/08 | $ | 1,579,253 | |||||
1,587,636 | Thames Ast Global Sec., | ||||||
2.251%, 07/07/08 | 1,586,858 | ||||||
1,587,636 | Thunder Bay | ||||||
Funding LLC, | |||||||
2.15%, 07/11/08 | 1,586,413 | ||||||
1,587,636 | Variable Funding | ||||||
Capital Corporation, | |||||||
2.7%, 09/08/08 | 1,578,745 | ||||||
1,587,636 | Windmill Funding, | ||||||
2.2%, 08/18/08 | 1,581,761 | ||||||
17,406,785 | |||||||
Corporate Bonds and Notes – 2.5% | |||||||
793,818 | Allstate Life GL, | ||||||
3.34%, 03/20/09 | 792,587 | ||||||
1,746,399 | Allstate Life GL, | ||||||
3.0575%, 03/20/09 | 1,746,399 | ||||||
2,381,453 | Wachovia Bank NA, | ||||||
2.17%, 02/04/09 | 2,376,500 | ||||||
1,587,636 | Svenska Handelsbanken, | ||||||
2.232%, 02/06/09 | 1,586,683 | ||||||
6,502,169 | |||||||
Principal | |||||||
Shares | |||||||
Money Market Mutual Funds – 2.1% | |||||||
2,222,762 | Merrill Lynch Premier | ||||||
Institutional Fund | 2,222,762 | ||||||
3,175,271 | Reserve Primary Fund | 3,175,271 | |||||
5,398,033 | |||||||
Amount | |||||||
Repurchase Agreements – 14.0% | |||||||
$ | 11,907,266 | Greenwich Capital, 2.75%, | |||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized by | |||||||
Freddie Mac Collateralized | |||||||
Mortgage Obligation | |||||||
Guaranteed Zero Coupon | |||||||
Bonds, 01/01/32 – 04/15/37, | |||||||
valued at $12,145,646. | |||||||
Repurchase proceeds | |||||||
are $11,908,176.) | 11,907,266 | ||||||
11,907,266 | ING Financial, 2.75%, | ||||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized | |||||||
by various collateralized | |||||||
mortgage obligations, | |||||||
5.00 – 6.00%, 07/01/25 – | |||||||
08/01/35, valued at | |||||||
$12,145,741. Repurchase | |||||||
proceeds are $11,908,176.) | 11,907,266 | ||||||
11,907,266 | JPMorgan Chase, 2.70%, | ||||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized | |||||||
by Freddie Mac | |||||||
Collateralized Mortgage | |||||||
Obligation Guaranteed | |||||||
Zero Coupon Bonds, | |||||||
07/15/35 – 01/15/37, | |||||||
valued at $12,264,810. | |||||||
Repurchase proceeds | |||||||
are $11,908,159.) | 11,907,266 |
The accompanying notes are an integral part of these financial statements.
Page 71
Baird Short-Term Bond Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
INVESTMENTS PURCHASED | |||||||
WITH CASH PROCEEDS FROM | |||||||
SECURITIES LENDING – 27.7%(cont.) | |||||||
Repurchase Agreements – 14.0% (cont.) | |||||||
$ | 1,111,345 | Morgan Stanley, 2.75%, | |||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized | |||||||
by a Freddie Mac | |||||||
Collateralized Mortgage | |||||||
Obligation, 3.07%, | |||||||
09/15/37, valued | |||||||
at $1,135,056. | |||||||
Repurchase proceeds | |||||||
are $1,111,430.) | $ | 1,111,345 | |||||
36,833,143 | |||||||
Total Investments | |||||||
Purchased With Cash | |||||||
Proceeds From | |||||||
Securities Lending | |||||||
(Cost $72,797,286) | 72,797,286 | ||||||
Total Investments | |||||||
(Cost $333,739,179) – | |||||||
125.3% | 329,571,145 | ||||||
Liabilities in Excess of | |||||||
Other Assets – (25.3)% | (66,596,848 | ) | |||||
TOTAL NET | |||||||
ASSETS – 100.00% | $ | 262,974,297 |
* | Restricted Security Deemed Liquid |
f | Foreign Security |
^ | Non-Income Producing |
# | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds’ Board of Directors |
The accompanying notes are an integral part of these financial statements.
Page 72
Schedule of Investments June 30, 2008 (Unaudited) |
FAS 157 – Summary of Fair Value Exposure at June 30, 2008
In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“SFAS 157”) effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles (GAAP), and expands disclosures about fair value measurements. The Fund adopted FAS 157 as of January 1, 2008. Under SFAS 157, various inputs are used in determining the value of the Fund’s investments. These inputs are summarized into three broad levels and described below:
Level 1 – Quoted prices in active markets for identical securities.
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2008:
Description | Schedule of Investments | |||
Level 1 – Quoted prices | $ | 5,398,803 | ||
Level 2 – Other significant observable inputs | 322,107,284 | |||
Level 3 – Significant unobservable inputs | 2,065,058 | |||
Total | $ | 329,571,145 |
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
Schedule of Investments | ||||
Balance as of 12/31/07 | $ | 1,415,168 | ||
Accrued discounts / premiums | — | |||
Realized gain (loss) | — | |||
Change in unrealized appreciation (depreciation) | 22,933 | |||
Net purchases (sales/paydowns) | (123,043 | ) | ||
Transfers in and / or out of Level 3* | 750,000 | |||
Balance as of 06/30/08 | $ | 2,065,058 |
* | The information used in the above reconciliation represents fiscal year to date activity for any investments identified as using Level 3 inputs at either the beginning or end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in) or ending value (for transfers out) of any security or instrument where a change in the pricing level occurred from the beginning to the end of the period. |
Page 73
Additional Information on Fund Expenses June 30, 2008 (Unaudited) |
Example
As a shareholder of a mutual fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, such as management fees; distribution and/or service (12b-1) fees; and other fund expenses. Although the Funds do not charge any sales loads, redemption fees, or other transaction fees, you will be assessed fees for outgoing wire transfers, returned checks and stop payment orders at prevailing rates charged by U. S. Bancorp Fund Services, LLC, the Funds’ transfer agent. If you request that a redemption be made by wire transfer, currently the Funds’ transfer agent charges a $15.00 fee.
This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (1/1/08 – 6/30/08).
Actual Expenses
The third and fourth columns of the following table provide information about account values based on actual returns and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid 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 fourth column entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The fifth and sixth columns of the following table provide information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the sixth column of the table (entitled “Expenses Paid During the Period”) is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different mutual funds. In addition, if these transactional costs were included, your costs could have been higher.
Page 74
Additional Information on Fund Expenses June 30, 2008 (Unaudited) |
Actual vs. Hypothetical Returns
For the Six Months Ended June 30, 2008
Hypothetical (5% return | ||||||||
Actual | before expenses) | |||||||
Fund’s | Beginning | Ending | Expenses | Ending | Expenses | |||
Annualized | Account | Account | Paid | Account | Paid | |||
Expense | Value | Value | During | Value | During | |||
Ratio(1) | 1/1/08 | 6/30/08 | Period(1) | 6/30/08 | Period(1) | |||
Baird Intermediate Bond Fund | ||||||||
Institutional Class | 0.30% | $1,000.00 | $1,003.60 | $1.49 | $1,023.37 | $1.51 | ||
Investor Class | 0.55% | $1,000.00 | $1,001.40 | $2.74 | $1,022.13 | $2.77 | ||
Baird Aggregate Bond Fund | ||||||||
Institutional Class | 0.30% | $1,000.00 | $ 995.30 | $1.49 | $1,023.37 | $1.51 | ||
Investor Class | 0.55% | $1,000.00 | $ 994.30 | $2.73 | $1,022.13 | $2.77 | ||
Baird Intermediate Municipal | ||||||||
Bond Fund | ||||||||
Institutional Class | 0.30% | $1,000.00 | $1,009.20 | $1.50 | $1,023.37 | $1.51 | ||
Investor Class | 0.55% | $1,000.00 | $1,007.00 | $2.74 | $1,022.13 | $2.77 | ||
Baird Core Plus Bond Fund | ||||||||
Institutional Class | 0.30% | $1,000.00 | $1,012.80 | $1.49 | $1,023.37 | $1.51 | ||
Investor Class | 0.55% | $1,000.00 | $1,001.70 | $2.74 | $1,022.13 | $2.77 | ||
Baird Short-Term Bond Fund | ||||||||
Institutional Class | 0.30% | $1,000.00 | $1,008.70 | $1.50 | $1,023.37 | $1.51 |
(1) | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182 days and divided by 365 to reflect the one-half year period. |
Page 75
Statements of Assets and Liabilities June 30, 2008 (Unaudited) |
Baird | |||||||||||||||||||||
Baird | Baird | Intermediate | Baird | Baird | |||||||||||||||||
Intermediate | Aggregate | Municipal | Core Plus | Short-Term | |||||||||||||||||
Bond Fund | Bond Fund | Bond Fund | Bond Fund | Bond Fund | |||||||||||||||||
ASSETS: | |||||||||||||||||||||
Investments, at value (cost $528,473,376; | |||||||||||||||||||||
$938,497,196; $140,636,262; $198,642,735; | |||||||||||||||||||||
& $296,906,036, respectively) | $ | 518,689,102 | $ | 915,453,893 | $ | 140,823,152 | $ | 194,555,138 | $ | 292,738,002 | |||||||||||
Repurchase agreements | |||||||||||||||||||||
(cost $77,638,785; $82,838,597; $0; | |||||||||||||||||||||
$23,566,498; & $36,833,143, respectively) | 77,638,785 | 82,838,597 | — | 23,566,498 | 36,833,143 | ||||||||||||||||
Interest receivable | 4,948,026 | 8,296,431 | 2,284,615 | 1,683,242 | 2,764,785 | ||||||||||||||||
Receivable for investments sold | — | — | — | — | 7,816,535 | ||||||||||||||||
Receivable for paydowns on investments held | 37,714 | 5,095 | — | 5,584 | — | ||||||||||||||||
Receivable for Fund shares sold | 5,629,490 | 26,189,821 | 48,639 | 383,952 | 29,406 | ||||||||||||||||
Cash | — | — | — | 7,297 | — | ||||||||||||||||
Total assets | 606,943,117 | $ | 1,032,783,837 | 143,156,406 | 220,201,711 | 340,181,871 | |||||||||||||||
LIABILITIES: | |||||||||||||||||||||
Payable for collateral | |||||||||||||||||||||
received for securities loaned (Note 6) | 154,392,866 | 166,024,483 | — | 46,765,143 | 72,797,286 | ||||||||||||||||
Payable for securities purchased | 3,084,393 | 10,687,367 | — | 1,035,424 | 3,580,225 | ||||||||||||||||
Payable for Fund shares repurchased | 1,019,608 | 228,311 | 836 | 10,917 | 161,620 | ||||||||||||||||
Payable to Advisor and Distributor | 112,372 | 210,119 | 38,954 | 57,692 | 66,058 | ||||||||||||||||
Payable to the Custodian | 273,841 | 11,630 | — | — | 602,046 | ||||||||||||||||
Other liabilities | — | — | — | — | 339 | ||||||||||||||||
Total liabilities | 158,883,080 | 177,161,910 | 39,790 | 47,869,176 | 77,207,574 | ||||||||||||||||
NET ASSETS | $ | 448,060,037 | $ | 855,621,927 | $ | 143,116,616 | $ | 172,332,535 | $ | 262,974,297 | |||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||
Capital stock | $ | 458,086,297 | $ | 877,393,763 | $ | 143,283,224 | $ | 175,503,939 | $ | 266,154,159 | |||||||||||
Accumulated undistributed | |||||||||||||||||||||
net investment income | 331,753 | 818,742 | 234,191 | 176,295 | 227,964 | ||||||||||||||||
Accumulated net realized gain/(loss) | |||||||||||||||||||||
on investments sold | (573,739 | ) | 452,725 | (587,689 | ) | 739,898 | 760,208 | ||||||||||||||
Net unrealized appreciation (depreciation) | |||||||||||||||||||||
on investments | (9,784,274 | ) | (23,043,303 | ) | 186,890 | (4,087,597 | ) | (4,168,034 | ) | ||||||||||||
NET ASSETS | $ | 448,060,037 | $ | 855,621,927 | $ | 143,116,616 | $ | 172,332,535 | $ | 262,974,297 | |||||||||||
INSTITUTIONAL CLASS SHARES | |||||||||||||||||||||
Net Assets | $ | 444,350,251 | $ | 825,256,430 | $ | 141,681,673 | $ | 148,062,560 | $ | 262,974,297 | |||||||||||
Shares outstanding ($0.01 par value, | |||||||||||||||||||||
unlimited shares authorized) | 42,728,975 | 80,720,528 | 13,357,171 | 14,819,910 | 26,920,997 | ||||||||||||||||
Net asset value, offering and | |||||||||||||||||||||
redemption price per share | $ | 10.40 | $ | 10.22 | $ | 10.61 | $ | 9.99 | $ | 9.77 | |||||||||||
INVESTOR CLASS SHARES | |||||||||||||||||||||
Net Assets | $ | 3,709,786 | $ | 30,365,497 | $ | 1,434,943 | $ | 24,269,975 | |||||||||||||
Shares outstanding ($0.01 par value, | |||||||||||||||||||||
unlimited shares authorized) | 345,876 | 2,904,091 | 132,714 | 2,364,277 | |||||||||||||||||
Net asset value, offering and | |||||||||||||||||||||
redemption price per share | $ | 10.73 | $ | 10.46 | $ | 10.81 | $ | 10.27 |
The accompanying notes are an integral part of these financial statements.
Page 76
Baird Funds, Inc.
Statements of Operations Six Months Ended June 30, 2008 (Unaudited) |
Baird | ||||||||||||||||||||
Baird | Baird | Intermediate | Baird | Baird | ||||||||||||||||
Intermediate | Aggregate | Municipal | Core Plus | Short-Term | ||||||||||||||||
Bond Fund | Bond Fund | Bond Fund | Bond Fund | Bond Fund | ||||||||||||||||
INVESTMENT INCOME: | ||||||||||||||||||||
Interest income | $ | 11,350,628 | $ | 21,351,844 | $ | 2,514,226 | $ | 4,045,524 | $ | 6,071,836 | ||||||||||
Income from securities lending (Note 6) | 289,708 | 356,641 | — | 76,646 | 106,197 | |||||||||||||||
Other income | — | 113,733 | — | 31,747 | 23,549 | |||||||||||||||
Total investment income | 11,640,336 | 21,822,218 | 2,514,226 | 4,153,917 | 6,201,582 | |||||||||||||||
EXPENSES: | ||||||||||||||||||||
Investment advisory fee | 548,248 | 959,664 | 156,356 | 184,259 | 305,635 | |||||||||||||||
Administration fee | 109,650 | 191,933 | 31,271 | 36,852 | 61,127 | |||||||||||||||
Distribution expense – | ||||||||||||||||||||
Investor Class Shares (Note 8) | 4,556 | 28,095 | 863 | 20,443 | — | |||||||||||||||
Interest Expense (Note 7) | — | — | — | — | 131 | |||||||||||||||
Total expenses | 662,454 | 1,179,692 | 188,490 | 241,554 | 366,893 | |||||||||||||||
NET INVESTMENT INCOME | 10,977,882 | 20,642,526 | 2,325,736 | 3,912,363 | 5,834,689 | |||||||||||||||
REALIZED AND UNREALIZED | ||||||||||||||||||||
GAIN (LOSS) ON INVESTMENTS: | ||||||||||||||||||||
Net realized gain (loss) on investments | 1,895,928 | 1,881,018 | (245,731 | ) | 673,034 | 1,058,530 | ||||||||||||||
Change in unrealized appreciation/ | ||||||||||||||||||||
depreciation on investments | (11,886,472 | ) | (26,178,785 | ) | (1,532,594 | ) | (4,651,399 | ) | (5,437,488 | ) | ||||||||||
Net realized and unrealized | ||||||||||||||||||||
loss on investments | (9,990,544 | ) | (24,297,767 | ) | (1,778,325 | ) | (3,978,365 | ) | (4,378,958 | ) | ||||||||||
NET INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||
RESULTING FROM OPERATIONS | $ | 987,338 | $ | (3,655,241 | ) | $ | 547,411 | $ | (66,002 | ) | $ | 1,455,731 |
The accompanying notes are an integral part of these financial statements.
Page 77
Baird Funds, Inc.
Statements of Changes in Net Assets |
Baird Intermediate Bond Fund | ||||||||
Six Months Ended | ||||||||
June 30, 2008 | Year Ended | |||||||
(Unaudited) | December 31, 2007 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 10,977,882 | $ | 17,878,115 | ||||
Net realized gain on investments | 1,895,928 | 834,207 | ||||||
Change in unrealized appreciation/depreciation on investments | (11,886,472 | ) | 2,719,097 | |||||
Net increase in net assets resulting from operations | 987,338 | 21,431,419 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 88,067,181 | 136,300,912 | ||||||
Shares issued to holders in reinvestment of dividends | 9,567,453 | 15,901,882 | ||||||
Cost of shares redeemed | (41,317,468 | ) | (82,165,056 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 56,317,166 | 70,037,738 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (10,758,223 | ) | (17,835,145 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (84,161 | ) | (78,708 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 46,462,120 | 73,555,304 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 401,597,917 | 328,042,613 | ||||||
End of period (including undistributed net investment | ||||||||
income of $331,753 and $196,255, respectively) | $ | 448,060,037 | $ | 401,597,917 |
The accompanying notes are an integral part of these financial statements.
Page 78
Baird Funds, Inc.
Statements of Changes in Net Assets |
Baird Aggregate Bond Fund | ||||||||
Six Months Ended | ||||||||
June 30, 2008 | Year Ended | |||||||
(Unaudited) | December 31, 2007 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 20,642,526 | $ | 27,527,327 | ||||
Net realized gain (loss) on investments | 1,881,018 | (304,693 | ) | |||||
Change in unrealized appreciation/depreciation on investments | (26,178,785 | ) | 3,082,857 | |||||
Net increase (decrease) in net assets resulting from operations | (3,655,241 | ) | 30,305,491 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 187,274,943 | 448,144,815 | ||||||
Shares issued to holders in reinvestment of dividends | 15,987,308 | 21,538,963 | ||||||
Cost of shares redeemed | (63,787,154 | ) | (69,473,413 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 139,475,097 | 400,210,365 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (19,562,969 | ) | (27,032,183 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (578,760 | ) | (296,350 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 115,678,127 | 403,187,323 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 739,943,800 | 336,756,477 | ||||||
End of period (including undistributed net investment | ||||||||
income of $818,742 and $317,945, respectively) | $ | 855,621,927 | $ | 739,943,800 |
The accompanying notes are an integral part of these financial statements.
Page 79
Statements of Changes in Net Assets |
Baird Intermediate Municipal Bond Fund | ||||||||
Six Months Ended | ||||||||
June 30, 2008 | Year Ended | |||||||
(Unaudited) | December 31, 2007 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 2,325,736 | $ | 2,719,253 | ||||
Net realized gain (loss) on investments | (245,731 | ) | 159 | |||||
Change in unrealized appreciation/depreciation on investments | (1,532,594 | ) | 1,596,614 | |||||
Net increase in net assets resulting from operations | 547,411 | 4,316,026 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 45,855,067 | 53,013,622 | ||||||
Shares issued to holders in reinvestment of dividends | 1,872,976 | 2,233,256 | ||||||
Cost of shares redeemed | (10,015,533 | ) | (15,363,447 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 37,712,510 | 39,883,431 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (2,112,030 | ) | (2,682,064 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (11,502 | ) | (14,673 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 36,136,389 | 41,502,720 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 106,980,227 | 65,477,507 | ||||||
End of period (including undistributed net investment | ||||||||
income of $234,191 and $31,987, respectively) | $ | 143,116,616 | $ | 106,980,227 |
The accompanying notes are an integral part of these financial statements.
Page 80
Statements of Changes in Net Assets |
Baird Core Plus Bond Fund | ||||||||
Six Months Ended | ||||||||
June 30, 2008 | Year Ended | |||||||
(Unaudited) | December 31, 2007 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 3,912,363 | $ | 3,735,215 | ||||
Net realized gain on investments | 673,034 | 197,335 | ||||||
Change in unrealized appreciation/depreciation on investments | (4,651,399 | ) | 426,220 | |||||
Net increase (decrease) in net assets resulting from operations | (66,002 | ) | 4,358,770 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 74,361,028 | 67,804,431 | ||||||
Shares issued to holders in reinvestment of dividends | 3,316,658 | 3,528,244 | ||||||
Cost of shares redeemed | (18,391,436 | ) | (6,913,616 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 59,286,250 | 64,419,059 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (3,361,807 | ) | (3,684,505 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (421,461 | ) | (37,714 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 55,436,980 | 65,055,610 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 116,895,555 | 51,839,945 | ||||||
End of period (including undistributed net investment | ||||||||
income of $176,295 and $47,200, respectively) | $ | 172,332,535 | $ | 116,895,555 |
The accompanying notes are an integral part of these financial statements.
Page 81
Baird Funds, Inc.
Statements of Changes in Net Assets |
Baird Short-Term Bond Fund | ||||||||
Six Months Ended | ||||||||
June 30, 2008 | Year Ended | |||||||
(Unaudited) | December 31, 2007 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 5,834,689 | $ | 8,559,164 | ||||
Net realized gain on investments | 1,058,530 | 12,120 | ||||||
Change in unrealized appreciation/depreciation on investments | (5,437,488 | ) | 1,756,196 | |||||
Net increase in net assets resulting from operations | 1,455,731 | 10,327,480 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 91,108,578 | 66,497,728 | ||||||
Shares issued to holders in reinvestment of dividends | 5,229,695 | 8,380,412 | ||||||
Cost of shares redeemed | (28,216,277 | ) | (26,222,181 | ) | ||||
Other capital contributions | — | 6,289 | ||||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 68,121,996 | 48,662,248 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (5,693,913 | ) | (8,503,956 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 63,883,814 | 50,485,772 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 199,090,483 | 148,604,711 | ||||||
End of period (including undistributed net investment | ||||||||
income of $227,964 and $87,188, respectively) | $ | 262,974,297 | $ | 199,090,483 |
The accompanying notes are an integral part of these financial statements.
Page 82
Financial Highlights |
Baird Intermediate Bond Fund – Institutional Class | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2008 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.62 | $ | 10.52 | $ | 10.55 | $ | 10.83 | $ | 10.88 | $ | 10.86 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.27 | 0.54 | 0.51 | 0.46 | 0.47 | (1) | 0.49 | |||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.23 | ) | 0.10 | (0.03 | ) | (0.27 | ) | (0.05 | ) | 0.14 | ||||||||||||||
Total from investment operations | 0.04 | 0.64 | 0.48 | 0.19 | 0.42 | 0.63 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.26 | ) | (0.54 | ) | (0.51 | ) | (0.47 | ) | (0.47 | ) | (0.49 | ) | ||||||||||||
Distributions from net realized gains | — | — | — | — | (0.00 | )(2) | (0.12 | ) | ||||||||||||||||
Total distributions | (0.26 | ) | (0.54 | ) | (0.51 | ) | (0.47 | ) | (0.47 | ) | (0.61 | ) | ||||||||||||
Net asset value, end of period | $ | 10.40 | $ | 10.62 | $ | 10.52 | $ | 10.55 | $ | 10.83 | $ | 10.88 | ||||||||||||
Total return | 0.36 | %(3) | 6.24 | % | 4.70 | % | 1.77 | % | 3.91 | % | 5.89 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, end of period | $ | 444,350,251 | $ | 398,324,566 | $ | 326,835,399 | $ | 231,800,807 | $ | 191,563,699 | $ | 149,836,855 | ||||||||||||
Ratio of expenses to average net assets | 0.30 | %(4) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net investment income | ||||||||||||||||||||||||
to average net assets | 5.00 | %(4) | 5.13 | % | 4.90 | % | 4.34 | % | 4.32 | % | 4.39 | % | ||||||||||||
Portfolio turnover rate(5) | 29.4 | %(3) | 42.5 | % | 44.8 | % | 42.1 | % | 44.8 | % | 64.4 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.01. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 83
Baird Funds, Inc.
Financial Highlights |
Baird Intermediate Bond Fund – Investor Class | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2008 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.96 | $ | 10.85 | $ | 10.86 | $ | 11.13 | $ | 11.17 | $ | 11.13 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.25 | 0.52 | 0.50 | (1) | 0.45 | 0.45 | (1) | 0.48 | ||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.23 | ) | 0.10 | (0.03 | ) | (0.28 | ) | (0.05 | ) | 0.14 | ||||||||||||||
Total from investment operations | 0.02 | 0.62 | 0.47 | 0.17 | 0.40 | 0.62 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.25 | ) | (0.51 | ) | (0.48 | ) | (0.44 | ) | (0.44 | ) | (0.46 | ) | ||||||||||||
Distributions from net realized gains | — | — | — | — | (0.00 | )(2) | (0.12 | ) | ||||||||||||||||
Total distributions | (0.25 | ) | (0.51 | ) | (0.48 | ) | (0.44 | ) | (0.44 | ) | (0.58 | ) | ||||||||||||
Net asset value, end of period | $ | 10.73 | $ | 10.96 | $ | 10.85 | $ | 10.86 | $ | 11.13 | $ | 11.17 | ||||||||||||
Total return | 0.14 | %(3) | 5.89 | % | 4.47 | % | 1.56 | % | 3.65 | % | 5.61 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, end of period | $ | 3,709,786 | $ | 3,276,351 | $ | 1,207,214 | $ | 2,829,659 | $ | 3,012,328 | $ | 1,321,648 | ||||||||||||
Ratio of expenses to average net assets | 0.55 | %(4) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net investment income | ||||||||||||||||||||||||
to average net assets | 4.75 | %(4) | 4.88 | % | 4.65 | % | 4.09 | % | 4.07 | % | 4.14 | % | ||||||||||||
Portfolio turnover rate(5) | 29.4 | %(3) | 42.5 | % | 44.8 | % | 42.1 | % | 44.8 | % | 64.4 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.01. |
(3) | Not Annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 84
Baird Funds, Inc.
Financial Highlights |
Baird Aggregate Bond Fund – Institutional Class | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2008 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.54 | $ | 10.51 | $ | 10.54 | $ | 10.74 | $ | 10.71 | $ | 10.69 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.28 | 0.54 | 0.52 | 0.49 | (1) | 0.49 | (1) | 0.56 | ||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.33 | ) | 0.03 | (0.03 | ) | (0.19 | ) | 0.07 | 0.20 | |||||||||||||||
Total from investment operations | (0.05 | ) | 0.57 | 0.49 | 0.30 | 0.56 | 0.76 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.27 | ) | (0.54 | ) | (0.52 | ) | (0.49 | ) | (0.50 | ) | (0.56 | ) | ||||||||||||
Distributions from net realized gains | — | — | (0.00 | )(2) | (0.01 | ) | (0.03 | ) | (0.18 | ) | ||||||||||||||
Total distributions | (0.27 | ) | (0.54 | ) | (0.52 | ) | (0.50 | ) | (0.53 | ) | (0.74 | ) | ||||||||||||
Net asset value, end of period | $ | 10.22 | $ | 10.54 | $ | 10.51 | $ | 10.54 | $ | 10.74 | $ | 10.71 | ||||||||||||
Total return | (0.47 | )%(3) | 5.61 | % | 4.88 | % | 2.85 | % | 5.30 | % | 7.19 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, end of period | $ | 825,256,430 | $ | 725,580,384 | $ | 334,907,855 | $ | 227,132,399 | $ | 115,382,862 | $ | 91,550,534 | ||||||||||||
Ratio of expenses to average net assets | 0.30 | %(4) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net investment income | ||||||||||||||||||||||||
to average net assets | 5.37 | %(4) | 5.37 | % | 5.11 | % | 4.56 | % | 4.58 | % | 4.85 | % | ||||||||||||
Portfolio turnover rate(5) | 25.2 | %(3) | 33.6 | % | 52.4 | % | 46.0 | % | 72.6 | % | 106.7 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.01. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 85
Baird Funds, Inc.
Financial Highlights |
Baird Aggregate Bond Fund – Investor Class | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2008 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.78 | $ | 10.73 | $ | 10.75 | $ | 10.95 | $ | 10.88 | $ | 10.84 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.27 | 0.53 | 0.50 | 0.47 | (1) | 0.48 | (1) | 0.55 | ||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.33 | ) | 0.04 | (0.02 | ) | (0.19 | ) | 0.07 | 0.19 | |||||||||||||||
Total from investment operations | (0.06 | ) | 0.57 | 0.48 | 0.28 | 0.55 | 0.74 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.26 | ) | (0.52 | ) | (0.50 | ) | (0.47 | ) | (0.45 | ) | (0.52 | ) | ||||||||||||
Distributions from net realized gains | — | — | (0.00 | )(2) | (0.01 | ) | (0.03 | ) | (0.18 | ) | ||||||||||||||
Total distributions | (0.26 | ) | (0.52 | ) | (0.50 | ) | (0.48 | ) | (0.48 | ) | (0.70 | ) | ||||||||||||
Net asset value, end of period | $ | 10.46 | $ | 10.78 | $ | 10.73 | $ | 10.75 | $ | 10.95 | $ | 10.88 | ||||||||||||
Total return | (0.57 | )%(3) | 5.45 | % | 4.61 | % | 2.54 | % | 5.20 | % | 6.95 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, end of period | $ | 30,365,497 | $ | 14,363,416 | $ | 1,848,622 | $ | 1,289,926 | $ | 708,858 | $ | 719,844 | ||||||||||||
Ratio of expenses to average net assets | 0.55 | %(4) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net investment income | ||||||||||||||||||||||||
to average net assets | 5.12 | %(4) | 5.12 | % | 4.86 | % | 4.31 | % | 4.33 | % | 4.60 | % | ||||||||||||
Portfolio turnover rate(5) | 25.2 | %(3) | 33.6 | % | 52.4 | % | 46.0 | % | 72.6 | % | 106.7 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.01. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 86
Baird Funds, Inc.
Financial Highlights |
Baird Intermediate Municipal Bond Fund – Institutional Class | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2008 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.69 | $ | 10.55 | $ | 10.56 | $ | 10.81 | $ | 10.91 | $ | 10.86 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.18 | 0.37 | 0.39 | 0.39 | 0.40 | 0.42 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.08 | ) | 0.14 | (0.01 | ) | (0.25 | ) | (0.11 | ) | 0.10 | ||||||||||||||
Total from investment operations | 0.10 | 0.51 | 0.38 | 0.14 | 0.29 | 0.52 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.18 | ) | (0.37 | ) | (0.39 | ) | (0.39 | ) | (0.39 | ) | (0.43 | ) | ||||||||||||
Distributions from net realized gains | — | — | — | — | — | (0.04 | ) | |||||||||||||||||
Total distributions | (0.18 | ) | (0.37 | ) | (0.39 | ) | (0.39 | ) | (0.39 | ) | (0.47 | ) | ||||||||||||
Net asset value, end of period | $ | 10.61 | $ | 10.69 | $ | 10.55 | $ | 10.56 | $ | 10.81 | $ | 10.91 | ||||||||||||
Total return | 0.92 | %(2) | 4.93 | % | 3.69 | % | 1.33 | % | 2.69 | % | 4.91 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, end of period | $ | 141,681,673 | $ | 106,583,763 | $ | 64,932,629 | $ | 53,831,848 | $ | 36,889,211 | $ | 30,234,195 | ||||||||||||
Ratio of expenses to average net assets | 0.30 | %(3) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net investment income | ||||||||||||||||||||||||
to average net assets | 3.95 | %(3) | 3.44 | % | 3.72 | % | 3.64 | % | 3.70 | % | 3.88 | % | ||||||||||||
Portfolio turnover rate(4) | 4.0 | %(2) | 5.6 | % | 25.1 | % | 13.7 | % | 4.2 | % | 17.7 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 87
Baird Funds, Inc.
Financial Highlights |
Baird Intermediate Municipal Bond Fund – Investor Class | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2008 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.90 | $ | 10.75 | $ | 10.75 | $ | 10.99 | $ | 11.09 | $ | 11.02 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.17 | 0.35 | 0.37 | 0.37 | 0.38 | 0.40 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.09 | ) | 0.14 | (0.01 | ) | (0.25 | ) | (0.12 | ) | 0.10 | ||||||||||||||
Total from investment operations | 0.08 | 0.49 | 0.36 | 0.12 | 0.26 | 0.50 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.17 | ) | (0.34 | ) | (0.36 | ) | (0.36 | ) | (0.36 | ) | (0.39 | ) | ||||||||||||
Distributions from net realized gains | — | — | — | — | — | (0.04 | ) | |||||||||||||||||
Total distributions | (0.17 | ) | (0.34 | ) | (0.36 | ) | (0.36 | ) | (0.36 | ) | (0.43 | ) | ||||||||||||
Net asset value, end of period | $ | 10.81 | $ | 10.90 | $ | 10.75 | $ | 10.75 | $ | 10.99 | $ | 11.09 | ||||||||||||
Total return | 0.70 | %(2) | 4.68 | % | 3.44 | % | 1.13 | % | 2.40 | % | 4.69 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, end of period | $ | 1,434,943 | $ | 396,464 | $ | 544,878 | $ | 1,491,666 | $ | 4,611,766 | $ | 756,792 | ||||||||||||
Ratio of expenses to average net assets | 0.55 | %(3) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net investment income | ||||||||||||||||||||||||
to average net assets | 4.41 | %(3) | 3.19 | % | 3.47 | % | 3.39 | % | 3.45 | % | 3.63 | % | ||||||||||||
Portfolio turnover rate(4) | 4.0 | %(2) | 5.6 | % | 25.1 | % | 13.7 | % | 4.2 | % | 17.7 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 88
Baird Funds, Inc.
Financial Highlights |
Baird Core Plus Bond Fund – Institutional Class | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2008 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.22 | $ | 10.16 | $ | 10.06 | $ | 10.38 | $ | 10.45 | $ | 10.45 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.27 | (1) | 0.54 | (1) | 0.55 | (1) | 0.51 | (1) | 0.54 | 0.56 | (1) | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.24 | ) | 0.05 | 0.09 | (0.28 | ) | 0.10 | 0.36 | ||||||||||||||||
Total from investment operations | 0.03 | 0.59 | 0.64 | 0.23 | 0.64 | 0.92 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.26 | ) | (0.53 | ) | (0.54 | ) | (0.54 | ) | (0.53 | ) | (0.56 | ) | ||||||||||||
Distributions from net realized gains | — | — | — | (0.01 | ) | (0.18 | ) | (0.36 | ) | |||||||||||||||
Total distributions | (0.26 | ) | (0.53 | ) | (0.54 | ) | (0.55 | ) | (0.71 | ) | (0.92 | ) | ||||||||||||
Net asset value, end of period | $ | 9.99 | $ | 10.22 | $ | 10.16 | $ | 10.06 | $ | 10.38 | $ | 10.45 | ||||||||||||
Total return | 0.28 | %(2) | 5.99 | % | 6.58 | % | 2.23 | % | 6.29 | % | 8.94 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, end of period | $ | 148,062,560 | $ | 114,421,895 | $ | 51,551,017 | $ | 32,173,459 | $ | 32,495,641 | $ | 42,709,634 | ||||||||||||
Ratio of expenses to average net assets | 0.30 | %(3) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net investment income | ||||||||||||||||||||||||
to average net assets | 5.33 | %(3) | 5.41 | % | 5.49 | % | 4.92 | % | 4.85 | % | 4.56 | % | ||||||||||||
Portfolio turnover rate(4) | 38.2 | %(2) | 47.4 | % | 62.0 | % | 37.6 | % | 52.5 | % | 103.1 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 89
Baird Funds, Inc.
Financial Highlights |
Baird Core Plus Bond Fund – Investor Class | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2008 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.50 | $ | 10.42 | $ | 10.30 | $ | 10.62 | $ | 10.67 | $ | 10.65 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.26 | (1) | 0.53 | (1) | 0.54 | (1) | 0.49 | (1) | 0.53 | 0.53 | (1) | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.24 | ) | 0.06 | 0.09 | (0.29 | ) | 0.10 | 0.37 | ||||||||||||||||
Total from investment operations | 0.02 | 0.59 | 0.63 | 0.20 | 0.63 | 0.90 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.25 | ) | (0.51 | ) | (0.51 | ) | (0.51 | ) | (0.50 | ) | (0.52 | ) | ||||||||||||
Distributions from net realized gains | — | — | — | (0.01 | ) | (0.18 | ) | (0.36 | ) | |||||||||||||||
Total distributions | (0.25 | ) | (0.51 | ) | (0.51 | ) | (0.52 | ) | (0.68 | ) | (0.88 | ) | ||||||||||||
Net asset value, end of period | $ | 10.27 | $ | 10.50 | $ | 10.42 | $ | 10.30 | $ | 10.62 | $ | 10.67 | ||||||||||||
Total return | 0.17 | %(2) | 5.80 | % | 6.34 | % | 1.93 | % | 6.09 | % | 8.60 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, end of period | $ | 24,269,975 | $ | 2,473,660 | $ | 288,928 | $ | 449,709 | $ | 125,847 | $ | 124,481 | ||||||||||||
Ratio of expenses to average net assets | 0.55 | %(3) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net investment income | ||||||||||||||||||||||||
to average net assets | 5.08 | %(3) | 5.16 | % | 5.24 | % | 4.67 | % | 4.60 | % | 4.31 | % | ||||||||||||
Portfolio turnover rate(4) | 38.2 | %(2) | 47.4 | % | 62.0 | % | 37.6 | % | 52.5 | % | 103.1 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 90
Baird Funds, Inc.
Financial Highlights |
Baird Short-Term Bond Fund – Institutional Class | ||||||||||||||||||||
Six Months | ||||||||||||||||||||
Ended | August 31, 2004(1) | |||||||||||||||||||
June 30, 2008 | Year Ended December 31, | through | ||||||||||||||||||
(Unaudited) | 2007 | 2006 | 2005 | December 31, 2004 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 9.91 | $ | 9.81 | $ | 9.79 | $ | 9.93 | $ | 10.00 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.23 | 0.48 | 0.43 | 0.33 | 0.08 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (0.14 | ) | 0.10 | 0.02 | (0.15 | ) | (0.07 | ) | ||||||||||||
Total from investment operations | 0.09 | 0.58 | 0.45 | 0.18 | 0.01 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.23 | ) | (0.48 | ) | (0.43 | ) | (0.32 | ) | (0.08 | ) | ||||||||||
Net asset value, end of period | $ | 9.77 | $ | 9.91 | $ | 9.81 | $ | 9.79 | $ | 9.93 | ||||||||||
Total return | 0.87 | %(2) | 6.08 | % | 4.65 | % | 1.85 | % | 0.10 | %(2) | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of period | $ | 262,974,297 | $ | 199,090,483 | $ | 148,604,711 | $ | 97,057,968 | $ | 31,973,000 | ||||||||||
Ratio of expenses to average net assets | 0.30 | %(3) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | %(3) | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 4.76 | %(3) | 5.00 | % | 4.48 | % | 3.52 | % | 2.60 | %(3) | ||||||||||
Portfolio turnover rate(4) | 50.6 | %(2) | 36.6 | % | 41.1 | % | 31.8 | % | 16.7 | %(2) |
(1) | Commencement of operations. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 91
Baird Funds, Inc.
Notes to the Financial Statements June 30, 2008 (Unaudited) |
1. | ORGANIZATION |
Baird Funds, Inc. (the “Corporation”) was incorporated on June 9, 2000 as a Wisconsin corporation and is registered as an open-end investment management company under the Investment Company Act of 1940, as amended (the “1940 Act”). The accompanying financial statements include the Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Intermediate Municipal Bond Fund, Baird Core Plus Bond Fund and Baird Short-Term Bond Fund (each, a “Fund” and collectively, the “Funds”), five of the eight portfolios comprising the Corporation, each of which is diversified within the meaning of the 1940 Act. Robert W. Baird & Co. Incorporated (“Baird” or the “Advisor”) serves as investment advisor to the Funds.
The Baird Intermediate Bond Fund, Baird Aggregate Bond Fund and Baird Core Plus Bond Fund commenced operations with the sale of both Institutional and Investor class shares on September 29, 2000. The Baird Intermediate Municipal Bond Fund commenced operations with the sale of both Institutional and Investor class shares on March 30, 2001. The Baird Short-Term Bond Fund commenced operations with the sale of Institutional Class Shares on August 31, 2004. The Institutional Class Shares are not subject to a distribution and service (12b-1) fee, while the Investor Class Shares are subject to a distribution and service (12b-1) fee up to 0.25%.
The investment objective of the Baird Intermediate Bond Fund is to provide an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Lehman Brothers Intermediate Government/Credit Bond Index. The Lehman Brothers Intermediate Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt, including government and corporate securities, with maturities between one and ten years.
The investment objective of the Baird Aggregate Bond Fund is to provide an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Lehman Brothers Aggregate Bond Index. The Lehman Brothers Aggregate Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government, corporate, asset-backed, and mortgage-backed securities, with maturities of at least one year.
The primary investment objective of the Baird Intermediate Municipal Bond Fund is to provide current income that is substantially exempt from federal income tax. A secondary objective is to provide total return with relatively low volatility of principal.
The investment objective of the Baird Core Plus Bond Fund is to provide an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Lehman Brothers U.S. Universal Bond Index. The Lehman Brothers U.S. Universal Bond Index is an unmanaged, market value weighted index of fixed income securities issued in U.S. dollars, including U.S. government and investment grade debt, non-investment grade debt, asset-backed and mortgage-backed securities, Eurobonds, 144A securities and emerging market debt, with maturities of at least one year.
The investment objective of the Baird Short-Term Bond Fund is to provide an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Lehman Brothers 1-3 Year Government/Credit Bond Index. The Lehman Brothers 1-3 Year Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt including government and corporate securities with maturities between one and three years.
Page 92
Baird Funds, Inc.
Notes to the Financial Statements June 30, 2008 (Unaudited) |
2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America.
a) | Investment Valuation – Debt securities are valued by an independent pricing service using valuation methods that approximate market value, such as matrix pricing and other analytical pricing models, market transactions and dealer quotations. Debt securities purchased with a remaining maturity of 60 days or less are valued at acquisition cost, plus or minus any amortized discount or premium. Investments in mutual funds are valued at their stated net asset value. Common stocks that are listed on a securities exchange (other than NASDAQ) are valued at the last quoted sales price. Securities traded on NASDAQ are valued at the NASDAQ Official Closing Price. Price information on listed stocks is taken from the exchange where the security is primarily traded. Securities that were not traded on the valuation date, as well as stocks that are not listed on an exchange, including NASDAQ, are valued at the average of the current bid and asked price. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Advisor in accordance with procedures approved by the Corporation’s Board of Directors. In accordance with such procedures, the Advisor may use broker quotes or, if the broker quotes are unavailable or deemed to be unreliable, fair value will be determined by a valuation committee of the Advisor. In determining fair value, the valuation committee takes into account all relevant factors and available information. Consequently, the price of the security used by a Fund to calculate its NAV may differ from quoted or published prices for the same security. Fair value pricing involves subjective judgments and there is no single standard for determining a security’s fair value. As a result, different mutual funds could reasonably arrive at a different fair value for the same security. It is possible that the fair value determined for a security is materially different from the value that could be realized upon the sale of that security or from the values that other mutual funds may determine. |
In September 2006, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (“SFAS”) No. 157, “Fair Value Measurements”. SFAS No. 157 defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and expands disclosure about fair value measurements. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007. Management has determined that SFAS No. 157 had no material impact on the Funds’ financial statements. | |
In March 2008, Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“SFAS 161”) was issued and is effective for fiscal years beginning after November 15, 2008. SFAS 161 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position. Management is currently evaluating the implications of SFAS 161, but does not believe it will have any impact on the Funds’ financial statement disclosures because the Funds do not maintain any positions in derivative instruments or engage in hedging activities. | |
b) | Unregistered Securities – Four of the Funds own certain investment securities which are unregistered and thus restricted with respect to resale. These securities are valued by the Advisor after giving due consideration to pertinent factors including recent private sales, market conditions and the issuer’s financial performance. The value of such securities for |
Page 93
Notes to the Financial Statements June 30, 2008 (Unaudited) |
2. | SIGNIFICANT ACCOUNTING POLICIES (cont.) |
the Baird Intermediate Bond, Baird Aggregate Bond, Baird Core Plus Bond and Baird Short-Term Bond Funds were $20,272,167 (4.52% of net assets), $36,208,570 (4.23% of net assets), $5,777,222 (3.35% of net assets) and $7,882,621 (3.00% of net assets), respectively, at June 30, 2008. Restricted securities may be deemed to be liquid as determined by the Advisor based on several factors. All of the restricted securities held by the Funds as of June 30, 2008 consist of securities issued pursuant to Rule 144A under the Securities Act of 1933 and have been deemed to be liquid. | |
c) | Foreign Securities – The Funds may invest in U.S. dollar-denominated debt obligations of foreign companies and foreign governments. Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and the U.S. government. These risks include currency rate fluctuations, political and economic instability and differences in financial reporting standards and less strict regulation of securities markets. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. government. Occasionally, events that affect these values and exchange rates may occur after the close of the exchange on which such securities are traded. If such events materially affect the value of a Fund’s securities, these securities may be valued at their fair value pursuant to procedures adopted by the Board of Directors. |
d) | Federal Income Taxes – The Funds intend to continue to qualify as regulated investment companies as provided in subchapter M of the Internal Revenue Code and to distribute substantially all of their taxable income to their shareholders in a manner which results in no tax cost to the Funds. Therefore, no federal income or excise tax provision is recorded. |
Effective June 29, 2007, the Funds adopted Financial Accounting Standards Board (FASB) Interpretation No. 48 (FIN 48),“Accounting for Uncertainty in Income Taxes,” a clarification of FASB Statement No. 109, “Accounting for Income Taxes.” FIN 48 establishes financial reporting rules regarding recognition and measurement of tax positions taken or expected to be taken on a tax return. Management has determined that FIN 48 had no material impact on the Funds’ financial statements. | |
e) | Allocation of Income and Expenses – Each Fund is charged for those expenses directly attributable to it. Expenses directly attributable to a class of shares, such as Rule 12b-1 distribution fees, are charged to that class of shares. Income, expenses and realized and unrealized gains and losses are allocated to the classes based on their respective net assets. Expenses that are not directly attributable to a Fund are allocated among the Funds in the series in proportion to their assets. |
f) | Distributions to Shareholders – Dividends from net investment income are declared and paid monthly. Distributions of net realized capital gains, if any, are declared and paid at least annually. |
g) | Use of Estimates – The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. |
Page 94
Notes to the Financial Statements June 30, 2008 (Unaudited) |
2. | SIGNIFICANT ACCOUNTING POLICIES (cont.) |
h) | Other – Investment and shareholder transactions are recorded on trade date. The Funds determine the gain or loss realized from investment transactions by comparing the original cost of the security lot sold with the net sales proceeds. Dividend income is recognized on the ex-dividend date and interest income is recognized on an accrual basis. Premiums and discounts on the purchase of securities are amortized/accreted using the effective interest method. Accounting principles generally accepted in the United States of America require that permanent financial reporting and tax differences be reclassified in the capital accounts. |
i) | Guarantees and Indemnifications – In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown and would involve future claims against the Funds that have not yet occurred. Based on experience, the Funds would expect the risk of loss to be remote. |
3. | CAPITAL SHARE TRANSACTIONS |
The following table summarizes the capital share transactions of each Fund for the past two fiscal periods:
BAIRD INTERMEDIATE BOND FUND
Six Months Ended | Six Months Ended | ||||||||||||||||
June 30, 2008 | June 30, 2008 | ||||||||||||||||
Institutional Class Shares | Shares | Amount | Investor Class Shares | Shares | Amount | ||||||||||||
Shares sold | 8,204,710 | $ | 87,286,924 | Shares sold | 71,309 | $ | 780,257 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of dividends | 904,212 | 9,531,170 | reinvestment of dividends | 3,357 | 36,283 | ||||||||||||
Shares redeemed | (3,888,811 | ) | (41,016,113 | ) | Shares redeemed | (27,854 | ) | (301,356 | ) | ||||||||
Net increase | 5,220,111 | $ | 55,801,981 | Net increase | 46,812 | $ | 515,184 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | 37,508,864 | Beginning of period | 299,064 | ||||||||||||||
End of period | 42,728,975 | End of period | 345,876 |
Page 95
Notes to the Financial Statements June 30, 2008 (Unaudited) |
3. | CAPITAL SHARE TRANSACTIONS (cont.) |
Year Ended | Year Ended | ||||||||||||||||
December 31, 2007 | December 31, 2007 | ||||||||||||||||
Institutional Class Shares | Shares | Amount | Investor Class Shares | Shares | Amount | ||||||||||||
Shares sold | 12,492,799 | $ | 131,741,260 | Shares sold | 418,169 | $ | 4,559,652 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of dividends | 1,507,264 | 15,863,327 | reinvestment of dividends | 3,551 | 38,555 | ||||||||||||
Shares redeemed | (7,553,800 | ) | (79,615,418 | ) | Shares redeemed | (233,940 | ) | (2,549,638 | ) | ||||||||
Net increase | 6,446,263 | $ | 67,989,169 | Net increase | 187,780 | $ | 2,048,569 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | 31,062,601 | Beginning of period | 111,284 | ||||||||||||||
End of period | 37,508,864 | End of period | 299,064 | ||||||||||||||
BAIRD AGGREGATE BOND FUND | |||||||||||||||||
Six Months Ended | Six Months Ended | ||||||||||||||||
June 30, 2008 | June 30, 2008 | ||||||||||||||||
Institutional Class Shares | Shares | Amount | Investor Class Shares | Shares | Amount | ||||||||||||
Shares sold | 16,250,867 | $ | 168,611,870 | Shares sold | 1,746,507 | $ | 18,663,073 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of dividends | 1,491,133 | 15,464,470 | reinvestment of dividends | 49,387 | 522,838 | ||||||||||||
Shares redeemed | (5,846,244 | ) | (61,400,793 | ) | Shares redeemed | (224,538 | ) | (2,386,361 | ) | ||||||||
Net increase | 11,895,756 | $ | 122,675,547 | Net increase | 1,571,356 | $ | 16,799,550 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | 68,824,772 | Beginning of period | 1,332,735 | ||||||||||||||
End of period | 80,720,528 | End of period | 2,904,091 |
Page 96
Baird Funds, Inc.
Notes to the Financial Statements June 30, 2008 (Unaudited) |
3. | CAPITAL SHARE TRANSACTIONS (cont.) |
Year Ended | Year Ended | ||||||||||||||||
December 31, 2007 | December 31, 2007 | ||||||||||||||||
Institutional Class Shares | Shares | Amount | Investor Class Shares | Shares | Amount | ||||||||||||
Shares sold | 41,427,251 | $ | 434,719,171 | Shares sold | 1,252,836 | $ | 13,425,644 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of dividends | 2,027,863 | 21,251,571 | reinvestment of dividends | 26,802 | 287,392 | ||||||||||||
Shares redeemed | (6,509,144 | ) | (68,196,197 | ) | Shares redeemed | (119,156 | ) | (1,277,216 | ) | ||||||||
Net increase | 36,945,970 | $ | 387,774,545 | Net increase | 1,160,482 | $ | 12,435,820 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | 31,878,802 | Beginning of period | 172,253 | ||||||||||||||
End of period | 68,824,772 | End of period | 1,332,735 | ||||||||||||||
BAIRD INTERMEDIATE MUNICIPAL BOND FUND | |||||||||||||||||
Six Months Ended | Six Months Ended | ||||||||||||||||
June 30, 2008 | June 30, 2008 | ||||||||||||||||
Institutional Class Shares | Shares | Amount | Investor Class Shares | Shares | Amount | ||||||||||||
Shares sold | 4,114,450 | $ | 44,474,945 | Shares sold | 125,370 | $ | 1,380,122 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of dividends | 173,073 | 1,861,744 | reinvestment of dividends | 1,029 | 11,232 | ||||||||||||
Shares redeemed | (897,782 | ) | (9,685,488 | ) | Shares redeemed | (30,064 | ) | (330,045 | ) | ||||||||
Net increase | 3,389,741 | $ | 36,651,201 | Net increase | 96,335 | $ | 1,061,309 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | 9,967,430 | Beginning of period | 36,379 | ||||||||||||||
End of period | 13,357,171 | End of period | 132,714 |
Page 97
Baird Funds, Inc.
Notes to the Financial Statements June 30, 2008 (Unaudited) |
3. | CAPITAL SHARE TRANSACTIONS (cont.) |
Year Ended | Year Ended | ||||||||||||||||
December 31, 2007 | December 31, 2007 | ||||||||||||||||
Institutional Class Shares | Shares | Amount | Investor Class Shares | Shares | Amount | ||||||||||||
Shares sold | 5,030,032 | $ | 52,803,596 | Shares sold | 19,670 | $ | 210,026 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of dividends | 210,783 | 2,218,657 | reinvestment of dividends | 1,362 | 14,599 | ||||||||||||
Shares redeemed | (1,425,472 | ) | (14,983,722 | ) | Shares redeemed | (35,316 | ) | (379,725 | ) | ||||||||
Net increase | 3,815,343 | $ | 40,038,531 | Net decrease | (14,284 | ) | $ | (155,100 | ) | ||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | 6,152,087 | Beginning of period | 50,663 | ||||||||||||||
End of period | 9,967,430 | End of period | 36,379 | ||||||||||||||
BAIRD CORE PLUS BOND FUND | |||||||||||||||||
Six Months Ended | Six Months Ended | ||||||||||||||||
June 30, 2008 | June 30, 2008 | ||||||||||||||||
Institutional Class Shares | Shares | Amount | Investor Class Shares | Shares | Amount | ||||||||||||
Shares sold | 4,769,304 | $ | 48,639,175 | Shares sold | 2,451,762 | $ | 25,721,853 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of dividends | 310,368 | 3,139,072 | reinvestment of dividends | 17,092 | 177,586 | ||||||||||||
Shares redeemed | (1,453,816 | ) | (14,824,834 | ) | Shares redeemed | (340,184 | ) | (3,566,602 | ) | ||||||||
Net increase | 3,625,856 | $ | 36,953,413 | Net increase | 2,128,670 | $ | 22,332,837 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | 11,194,054 | Beginning of period | 235,607 | ||||||||||||||
End of period | 14,819,910 | End of period | 2,364,277 |
Page 98
Notes to the Financial Statements June 30, 2008 (Unaudited) |
3. | CAPITAL SHARE TRANSACTIONS (cont.) |
Year Ended | Year Ended | ||||||||||||||||
December 31, 2007 | December 31, 2007 | ||||||||||||||||
Institutional Class Shares | Shares | Amount | Investor Class Shares | Shares | Amount | ||||||||||||
Shares sold | 6,443,996 | $ | 65,545,679 | Shares sold | 216,335 | $ | 2,258,752 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of dividends | 345,048 | 3,498,155 | reinvestment of dividends | 2,890 | 30,089 | ||||||||||||
Shares redeemed | (670,165 | ) | (6,795,048 | ) | Shares redeemed | (11,342 | ) | (118,568 | ) | ||||||||
Net increase | 6,118,879 | $ | 62,248,786 | Net increase | 207,883 | $ | 2,170,273 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | 5,075,175 | Beginning of period | 27,724 | ||||||||||||||
End of period | 11,194,054 | End of period | 235,607 | ||||||||||||||
BAIRD SHORT-TERM BOND FUND | |||||||||||||||||
Six Months Ended | Year Ended | ||||||||||||||||
June 30, 2008 | December 31, 2007 | ||||||||||||||||
Institutional Class Shares | Shares | Amount | Institutional Class Shares | Shares | Amount | ||||||||||||
Shares sold | 9,169,249 | $ | 91,108,578 | Shares sold | 6,742,388 | $ | 66,497,728 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of dividends | 530,684 | 5,229,695 | reinvestment of dividends | 851,838 | 8,380,412 | ||||||||||||
Shares redeemed | (2,859,943 | ) | (28,216,277 | ) | Shares redeemed | (2,660,382 | ) | (26,222,181 | ) | ||||||||
Other capital | Other capital | ||||||||||||||||
contributions(1) | — | — | contributions(1) | — | 6,289 | ||||||||||||
Net increase | 6,839,990 | $ | 68,121,996 | Net increase | 4,933,844 | $ | 48,662,248 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | 20,081,007 | Beginning of period | 15,147,163 | ||||||||||||||
End of period | 26,920,997 | End of period | 20,081,007 |
(1) | Reimbursement by Advisor for misallocation of ALIGN Program trades. |
Page 99
Notes to the Financial Statements June 30, 2008 (Unaudited) |
4. | INVESTMENT TRANSACTIONS AND INCOME TAX INFORMATION |
During the six months ended June 30, 2008, purchases and sales of investment securities (excluding short-term investments) were as follows:
Baird | ||||||||||||||||||||
Baird | Baird | Intermediate | Baird | Baird | ||||||||||||||||
Intermediate | Aggregate | Municipal | Core Plus | Short-Term | ||||||||||||||||
Bond Fund | Bond Fund | Bond Fund | Bond Fund | Bond Fund | ||||||||||||||||
Purchases: | ||||||||||||||||||||
U.S. Government | $ | 40,599,978 | $ | 30,431,774 | $ | — | $ | 48,733,392 | $ | 27,712,248 | ||||||||||
Other | $ | 73,131,031 | $ | 153,319,722 | $ | 41,594,973 | $ | 32,233,098 | $ | 92,158,538 | ||||||||||
Sales: | ||||||||||||||||||||
U.S. Government | $ | 27,819,289 | $ | 11,205,102 | $ | — | $ | 22,771,803 | $ | 17,011,654 | ||||||||||
Other | $ | 36,139,589 | $ | 74,332,869 | $ | 1,012,142 | $ | 2,983,100 | $ | 57,330,132 |
At December 31, 2007, gross unrealized appreciation and depreciation of investments and distributable ordinary income and long-term capital gains for federal tax purposes were as follows:
Intermediate | ||||||||||||||||||||
Intermediate | Aggregate | Municipal | Core Plus | Short-Term | ||||||||||||||||
Bond Fund | Bond Fund | Bond Fund | Bond Fund | Bond Fund | ||||||||||||||||
Cost of Investments | $ | 551,302,135 | $ | 945,985,895 | $ | 103,539,198 | $ | 157,144,708 | $ | 251,081,576 | ||||||||||
Gross unrealized appreciation | $ | 7,121,328 | $ | 12,624,792 | $ | 2,519,032 | $ | 1,908,797 | $ | 2,285,683 | ||||||||||
Gross unrealized depreciation | (5,064,298 | ) | (10,255,949 | ) | (804,947 | ) | (1,389,598 | ) | (1,016,228 | ) | ||||||||||
Net unrealized appreciation | $ | 2,057,030 | $ | 2,368,843 | $ | 1,714,085 | $ | 519,199 | $ | 1,269,455 | ||||||||||
Undistributed ordinary income | $ | 196,255 | $ | 317,945 | $ | 31,987 | $ | 158,666 | $ | 87,188 | ||||||||||
Undistributed long-term capital gain | — | — | — | — | — | |||||||||||||||
Total distributable earnings | $ | 196,255 | $ | 317,945 | $ | 31,987 | $ | 158,666 | $ | 87,188 | ||||||||||
Other accumulated losses | $ | (2,424,499 | ) | $ | (661,654 | ) | $ | (336,559 | ) | $ | — | $ | (298,322 | ) | ||||||
Total accumulated earnings (losses) | $ | (171,214 | ) | $ | 2,025,134 | $ | 1,409,513 | $ | 677,865 | $ | 1,058,321 |
Page 100
Notes to the Financial Statements June 30, 2008 (Unaudited) |
4. | INVESTMENT TRANSACTIONS AND INCOME TAX INFORMATION (cont.) |
On the Statements of Asset and Liabilities, the following adjustments were made for permanent tax adjustments:
Undistributed Net | Accumulated Net | Paid In | ||||||||||
Investment Income (Loss) | Realized Gain (Loss) | Capital | ||||||||||
Baird Intermediate Bond Fund | $ | 24,696 | $ | (24,695 | ) | $ | (1 | ) | ||||
Baird Aggregate Bond Fund | (58,002 | ) | 58,002 | — | ||||||||
Baird Intermediate Municipal Bond Fund | 1 | (1,457 | ) | 1,456 | ||||||||
Baird Core Plus Bond Fund | 701 | (702 | ) | 1 | ||||||||
Baird Short-Term Bond Fund | (46,405 | ) | 46,404 | 1 |
The permanent differences primarily relate to reclasses from paydown gains and losses from asset backed securities.
The tax components of dividends paid during the periods shown below were as follows:
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2008 | December 31, 2007 | |||||||||||||||
Ordinary | Long-Term | Ordinary | Long-Term | |||||||||||||
Income | Capital Gains | Income | Capital Gains | |||||||||||||
Distributions | Distributions | Distributions | Distributions | |||||||||||||
Baird Intermediate Bond Fund | $ | 10,842,384 | $ | — | $ | 17,913,853 | $ | — | ||||||||
Baird Aggregate Bond Fund | $ | 20,141,729 | $ | — | $ | 27,328,533 | $ | — | ||||||||
Baird Intermediate Municipal Bond Fund | $ | — | $ | — | $ | — | $ | — | ||||||||
Baird Core Plus Bond Fund | $ | 3,783,268 | $ | — | $ | 3,722,219 | $ | — | ||||||||
Baird Short-Term Bond Fund | $ | 5,693,913 | $ | — | $ | 8,503,956 | $ | — |
For the six months ended June 30, 2008 and the year ended December 31, 2007, distributions of $2,123,532 and $2,696,737, respectively, from the Baird Intermediate Municipal Bond Fund were tax-exempt.
Under the current tax law, capital losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. For the year ended December 31, 2007, Baird Intermediate Municipal Bond Fund elected to defer capital losses occurring between November 1, 2007 and December 31, 2007 in the amount of $17,267. Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Core Plus Bond Fund and Baird Short-Term Bond Fund deferred no capital losses between November 1, 2007 and December 31, 2007.
Page 101
Baird Funds, Inc.
Notes to the Financial Statements June 30, 2008 (Unaudited) |
4. | INVESTMENT TRANSACTIONS AND INCOME TAX INFORMATION (cont.) |
At December 31, 2007, accumulated net realized capital loss carryovers and the year(s) in which the capital loss carryovers expire were:
Capital Loss Carryover | Year of Expiration | ||||||
Baird Intermediate Bond Fund | $ | 717,737 | 2013 | ||||
1,706,762 | 2014 | ||||||
Baird Aggregate Bond Fund | 661,654 | 2014 | |||||
Baird Intermediate Municipal Bond Fund | 6,626 | 2012 | |||||
184,660 | 2013 | ||||||
51,283 | 2014 | ||||||
76,723 | 2015 | ||||||
Baird Core Plus Bond Fund | — | — | |||||
Baird Short-Term Bond Fund | 49,136 | 2013 | |||||
249,186 | 2014 |
To the extent these Funds realize future net capital gains, those gains will be offset by any unused capital loss carryovers.
5. | INVESTMENT ADVISORY AND OTHER AGREEMENTS |
The Funds have entered into an Investment Advisory Agreement with Baird for the provision of investment advisory services. Pursuant to the Investment Advisory Agreement, the Advisor is entitled to receive a fee, calculated daily and payable monthly, at the annual rate of 0.25% for the Funds as applied to the respective Fund’s average daily net assets. Certain officers of the Advisor are also officers of the Funds.
The Funds have entered into an Administration Agreement with Baird. Under the Administration Agreement, the Advisor assumes and pays all expenses of the applicable Fund other than the investment advisory fees and fees under the 12b-1 plan. Pursuant to the Administration Agreement, the Advisor is entitled to receive a fee, calculated daily and payable monthly, at the annual rate of 0.05% for the Funds as applied to the respective Fund’s average daily net assets.
U.S. Bancorp Fund Services, LLC serves as transfer agent, administrator, and accounting services agent for the Funds. U.S. Bank, N.A. serves as custodian for the Funds.
Baird (the “Distributor”) is the distributor of the Funds pursuant to a distribution agreement.
6. | SECURITIES LENDING |
Each Fund may lend up to one-third of its total assets (including such loans) to borrowers under terms of participation in a securities lending program administered by U.S. Bancorp Asset Management, an affiliate of the Funds’ custodian, transfer agent and administrator. The securities lending agreement requires that loans are collateralized at all times in an amount equal to at least 102% of the market value of any loaned securities at the time of the loan, plus accrued interest.
Page 102
Baird Funds, Inc.
Notes to the Financial Statements June 30, 2008 (Unaudited) |
6. | SECURITIES LENDING (cont.) |
The Funds receive compensation in the form of fees and earn interest on the cash collateral. The amount of fees depends on a number of factors including the type of security, length of the loan and credit standing of the borrower. Each Fund continues to receive interest payments or dividends on the securities loaned during the borrowing period. Each Fund has the right under the terms of the securities lending agreement to recover the securities from the borrower on demand.
As of June 30, 2008, the Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Core Plus Bond Fund and Baird Short-Term Bond Fund had loaned securities that were collateralized by cash equivalents. The cash collateral is invested by the custodian in accordance with approved investment guidelines. Those guidelines require the cash collateral to be invested in readily marketable, high quality, short-term obligations; however, such investments are subject to risk of payment delays or default on the part of the issuer or counterparty or otherwise may not generate sufficient interest to support the costs associated with securities lending. A Fund could also experience delays in recovering its securities and possible loss of income or value if the borrower fails to return the borrowed securities, although this risk is mitigated by the collateral and by contract with the securities lending agent.
As of June 30, 2008, the market value of the securities on loan and payable on collateral due to broker were as follows:
Market Value of | Payable on Collateral | |||||||
Securities on Loan | due to Broker | |||||||
Baird Intermediate Bond Fund | $ | 151,925,811 | $ | 154,392,866 | ||||
Baird Aggregate Bond Fund | 162,606,210 | 166,024,483 | ||||||
Baird Core Plus Bond Fund | 46,111,399 | 46,765,143 | ||||||
Baird Short-Term Bond Fund | 71,999,147 | 72,797,286 |
The Funds receive cash as collateral in return for securities lent as part of a securities lending program. The collateral is invested in short-term securities including repurchase agreements, commercial paper, master notes and money market funds. The schedules of investments for the Funds include the particular cash collateral holdings as of June 30, 2008. Interest income earned on collateral investments during the six months ended June 30, 2008 for Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Core Plus Bond Fund, and Baird Short-Term Bond Fund were $289,708, $356,641, $76,646, and $106,197, respectively.
7. | LINE OF CREDIT |
The Corporation maintains an uncommitted, senior secured line of credit (“LOC”) with U.S. Bank, N.A. (the “Bank”) to provide the Funds a temporary liquidity source to meet unanticipated redemptions. Under the terms of the LOC, borrowings for each Fund are limited to one-third of the total assets (including the amount borrowed) of the respective Fund, or as otherwise indicated within the Funds’ agreement with the Bank. The Bank charges interest at the Bank’s Prime Rate less 1% (weighted average rate of 4.75% for the six months of 2008). For the six months ended June 30, 2008, the Baird Short-Term Bond Fund incurred $131 in interest charges on an average daily loan balance of $4,132. The Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Intermediate Municipal Bond Fund and Baird Core Plus Bond Fund did not borrow on the LOC during the period.
Page 103
Baird Funds, Inc.
Notes to the Financial Statements June 30, 2008 (Unaudited) |
8. | DISTRIBUTION AND SHAREHOLDER SERVICE PLAN |
The Funds have adopted a distribution and shareholder service plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. The Plan allows the Funds to compensate the Distributor for the costs incurred in distributing the Funds’ Investor Class Shares, including amounts paid to brokers or dealers, at an annual rate not to exceed 0.25% of the average daily net assets of the Funds’ Investor Class Shares. The Baird Intermediate Bond, Baird Aggregate Bond, Baird Intermediate Municipal Bond and Baird Core Plus Bond Funds incurred $4,556, $28,095, $863 and $20,443, respectively, in fees pursuant to the Plan during the six months ended June 30, 2008.
Page 104
Additional Information
Proxy Voting
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll free, 1-866-44BAIRD, or by accessing the Funds’ website at www.bairdfunds.com; and by accessing the SEC’s website at www.sec.gov.
Each Fund’s proxy voting record for the most recent 12-month period ended June 30, if applicable, is available without charge, upon request, by calling toll free, 1-866-44BAIRD, or by accessing the Funds’ website at www.bairdfunds.com; and by accessing the SEC’s website at www.sec.gov. The Funds generally do not vote proxies because the securities held in their portfolios, consisting of bonds and other fixed-income securities, are not entitled to vote.
Portfolio Holdings Disclosure
The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-732-0330. The Funds’ Forms N-Q may also be obtained by calling toll-free 1-866-44BAIRD.
Page 105
c/o U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201-0701
1-866-44BAIRD
Board of Directors
G. Frederick Kasten, Jr. (Chairman)
John W. Feldt
Frederick P. Stratton, Jr.
Cory L. Nettles
Marlyn J. Spear
Investment Advisor and Distributor
Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
615 East Michigan Street
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 N. RiverCenter Drive, Suite 302
Milwaukee, WI 53212
Legal Counsel
Godfrey & Kahn, S.C.
780 North Water Street
Milwaukee, WI 53202
Independent Registered Public Accounting Firm
Grant Thornton LLP
175 West Jackson Boulevard, 13th Floor
Chicago, IL 60604
Semi-Annual Report - Baird Funds
Baird LargeCap Fund
Baird MidCap Fund
Baird SmallCap Fund
TABLE OF CONTENTS
Page | |
Baird LargeCap Fund | 1 |
Baird MidCap Fund | 8 |
Baird SmallCap Fund | 15 |
Additional Information on Fund Expenses | 20 |
Statements of Assets and Liabilities | 22 |
Statements of Operations | 23 |
Statements of Changes in Net Assets | 24 |
Financial Highlights | 27 |
Notes to the Financial Statements | 33 |
Additional Information | 42 |
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
Cautionary Note on Analyses, Opinions and Outlooks: In this report we offer analyses and opinions on the performance of individual securities, companies, industries, sectors, markets, interest rates and governmental policies, including predictions, forecasts and outlooks regarding possible future events. These can generally be identified as such because the context of the statements may include such words as “believe,” “should,” “will,” “expects,” “anticipates,” “hopes” and words of similar effect. These statements reflect the portfolio managers’ good faith beliefs and judgments and involve risks and uncertainties, including the risk that the portfolio managers’ analyses, opinions and outlooks are or will prove to be inaccurate. It is inherently difficult to correctly assess and explain the performance of particular securities, sectors, markets, interest rate movements, governmental actions or general economic trends and conditions, and many unforeseen factors contribute to the performance of Baird Funds. Investors are, therefore, cautioned not to place undue reliance on subjective judgments contained in this report.
Baird LargeCap Fund
A June 30, 2008 summary of the Fund’s top 10 holdings and equity sector analysis compared to the Russell 1000® Growth Index is shown below.
Top 10 Holdings*
Apple Computer, Inc. | 3.4% | |
Southwestern Energy Company | 2.8% | |
Danaher Corporation | 2.8% | |
Western Union Company | 2.7% | |
Emerson Electric Company | 2.7% | |
Corning Incorporated | 2.6% | |
Abbott Laboratories | 2.5% | |
Microsoft Corporation | 2.5% | |
Agilent Technologies, Inc. | 2.5% | |
Schlumberger Limited | 2.4% | |
Net Assets: | $26,046,733 | |
Portfolio Turnover Rate: | 49.6% | # |
Number of Equity Holdings: | 54 | |
Annualized Portfolio Expense Ratio:*** | ||
INSTITUTIONAL CLASS: | 0.75% | |
INVESTOR CLASS: | 1.00% | **** |
Equity Sector Analysis** |
* | The Fund’s portfolio composition is subject to change and there is no assurance that the Fund will continue to hold any particular security. Percentages shown relate to the Fund’s total net assets as of June 30, 2008. | |
** | Percentages shown in parentheses relate to the Fund’s total equity investments as of June 30, 2008, and may not add up to 100% due to rounding. | |
*** | The Advisor has contractually agreed to limit the Fund’s total annual fund operating expenses to 0.75% of average daily net assets for the Institutional Class shares and 1.00% of average daily net assets for the Investor Class shares, at least through April 30, 2009. | |
**** | Includes 0.25% 12b-1 fee. | |
# | Not annualized. |
Page 1
Average Annual Total Returns
For the Periods Ended June 30, 2008 | One Year | Five Years | Since Inception(1) |
Baird LargeCap Fund – Institutional Class Shares | -4.31% | 4.90% | -1.47% |
Baird LargeCap Fund – Investor Class Shares | -4.44% | 4.68% | -1.73% |
Russell 1000® Growth Index(2) | -5.96% | 7.32% | -4.03% |
(1) | For the period from September 29, 2000 (commencement of operations) through June 30, 2008. |
(2) | The Russell 1000® Growth Index measures the performance of those Russell 1000® companies with higher price-to-book ratios and higher forecasted growth rates. The Russell 1000® Index consists of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index, which in turn is comprised of the 3,000 largest U.S. domiciled publicly traded common stocks by market capitalization. These indices do not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above and line graphs on the previous page reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 2
Schedule of Investments June 30, 2008 (Unaudited) |
Shares | Value | ||||||
COMMON STOCKS – 99.4% | |||||||
Aerospace & Defense – 2.1% | |||||||
10,650 | Honeywell | ||||||
International, Inc. | $ | 535,482 | |||||
Auto Components – 2.2% | |||||||
19,827 | Johnson Controls, Inc. | 568,638 | |||||
Biotechnology – 3.9% | |||||||
5,800 | Celgene Corp.* | 370,446 | |||||
12,002 | Gilead Sciences, Inc.* | 635,506 | |||||
1,005,952 | |||||||
Capital Markets – 6.1% | |||||||
1,675 | The Goldman | ||||||
Sachs Group, Inc. | 292,957 | ||||||
6,494 | Northern Trust Corporation | 445,294 | |||||
7,426 | State Street Corporation | 475,190 | |||||
6,500 | T. Rowe Price Group, Inc. | 367,055 | |||||
1,580,496 | |||||||
Chemicals – 4.4% | |||||||
11,868 | Ecolab, Inc. | 510,205 | |||||
6,734 | Praxair, Inc. | 634,612 | |||||
1,144,817 | |||||||
Communications Equipment – 7.8% | |||||||
27,396 | Cisco Systems, Inc.* | 637,231 | |||||
29,473 | Corning Incorporated* | 679,353 | |||||
5,050 | Harris Corporation | 254,974 | |||||
4,050 | Research In | ||||||
Motion Limited* f | 473,445 | ||||||
2,045,003 | |||||||
Computers & Peripherals – 4.9% | |||||||
5,299 | Apple Computer, Inc.* | 887,265 | |||||
18,097 | NetApp, Inc.* | 391,981 | |||||
1,279,246 | |||||||
Diversified Consumer Services – 0.6% | |||||||
3,600 | Apollo Group | ||||||
Incorporated – Class A* | 159,336 | ||||||
Electrical Equipment – 2.7% | |||||||
14,030 | Emerson | ||||||
Electric Company | 693,783 | ||||||
Electronic Equipment & Instruments – 2.5% | |||||||
18,077 | Agilent Technologies, Inc.* | 642,457 | |||||
Energy Equipment & Services – 7.0% | |||||||
10,225 | Cameron International | ||||||
Corporation* | 565,953 | ||||||
5,953 | Schlumberger Limited f | 639,531 | |||||
12,676 | Weatherford | ||||||
International Ltd.* f | 628,603 | ||||||
1,834,087 | |||||||
Food & Staples Retailing – 4.2% | |||||||
6,533 | Costco Wholesale Corp. | 458,225 | |||||
16,775 | Sysco Corporation | 461,480 | |||||
5,188 | Walgreen Company | 168,662 | |||||
1,088,367 | |||||||
Health Care Equipment & Supplies – 3.7% | |||||||
4,375 | Baxter International Inc. | 279,737 | |||||
22,152 | Hologic, Inc.* | 482,914 | |||||
5,067 | St Jude Medical, Inc.* | 207,139 | |||||
969,790 | |||||||
Health Care Providers & Services – 0.7% | |||||||
3,050 | Express Scripts, Inc.* | 191,296 | |||||
Insurance – 1.4% | |||||||
8,725 | Principal Financial | ||||||
Group, Inc. | 366,188 | ||||||
Internet Software & Services – 1.0% | |||||||
7,525 | Akamai Technologies, Inc.* | 261,795 | |||||
IT Services – 4.9% | |||||||
21,063 | Iron Mountain Incorporated* | 559,222 | |||||
28,576 | Western Union Company | 706,399 | |||||
1,265,621 | |||||||
Life Science Tools & Services – 1.6% | |||||||
7,350 | Thermo Fisher | ||||||
Scientific, Inc.* | 409,616 |
The accompanying notes are an integral part of these financial statements.
Page 3
Schedule of Investments June 30, 2008 (Unaudited) |
Shares | Value | ||||||
COMMON STOCKS – 99.4% (cont.) | |||||||
Machinery – 7.5% | |||||||
9,275 | Danaher Corporation | $ | 716,958 | ||||
10,695 | Illinois Tool Works, Inc. | 508,120 | |||||
9,289 | ITT Industries, Inc. | 588,272 | |||||
1,975 | Joy Global Inc. | 149,764 | |||||
1,963,114 | |||||||
Media – 1.8% | |||||||
15,400 | The Walt | ||||||
Disney Company | 480,480 | ||||||
Multiline Retail – 2.8% | |||||||
12,055 | Kohl’s Corporation* | 482,682 | |||||
5,422 | Target Corporation | 252,069 | |||||
734,751 | |||||||
Oil & Gas – 2.8% | |||||||
15,599 | Southwestern | ||||||
Energy Company* | 742,668 | ||||||
Personal Products – 1.7% | |||||||
12,250 | Avon Products, Inc. | 441,245 | |||||
Pharmaceuticals – 4.4% | |||||||
12,481 | Abbott Laboratories | 661,119 | |||||
9,406 | Allergan, Inc. | 489,582 | |||||
1,150,701 | |||||||
Semiconductor & Semiconductor Equipment – 3.3% | |||||||
14,450 | Applied Materials, Inc. | 275,851 | |||||
20,634 | Texas Instruments | ||||||
Incorporated* | 581,053 | ||||||
856,904 | |||||||
Software – 7.2% | |||||||
15,394 | Adobe Systems, | ||||||
Incorporated* | 606,370 | ||||||
13,749 | Electronic Arts Inc.* | 610,868 | |||||
23,654 | Microsoft Corporation | 650,721 | |||||
1,867,959 | |||||||
Specialty Retail – 3.6% | |||||||
16,950 | Lowe’s Companies, Inc. | 351,712 | |||||
24,425 | Staples, Inc. | 580,094 | |||||
931,806 | |||||||
Textiles, Apparel & Luxury Goods – 1.1% | |||||||
4,575 | Polo Ralph | ||||||
Lauren Corporation | 287,219 | ||||||
Trading Companies & Distributors – 1.5% | |||||||
9,016 | Fastenal Company | 389,131 | |||||
Total Common Stocks | |||||||
(Cost $23,333,091) | 25,887,948 | ||||||
SHORT-TERM INVESTMENTS – 0.6% | |||||||
Money Market Fund – 0.6% | |||||||
163,294 | Short-Term Investment | ||||||
Company Liquid Assets | |||||||
Portfolio – AIM Fund | 163,294 | ||||||
Total Short-Term | |||||||
Investments | |||||||
(Cost $163,294) | 163,294 | ||||||
Principal | |||||||
Amount | |||||||
INVESTMENTS PURCHASED | |||||||
WITH CASH PROCEEDS FROM | |||||||
SECURITIES LENDING – 41.9% | |||||||
Certificate of Deposit – 3.8% | |||||||
$ | 354,733 | Bank of Scotland, | |||||
2.9944%, 05/06/09 | 353,860 | ||||||
402,031 | Barclays Bank, | ||||||
3.3615%, 03/16/09 | 401,942 | ||||||
236,489 | Natixis Bank of New York, | ||||||
3.35%, 06/30/09 | 235,824 | ||||||
991,626 | |||||||
Commercial Paper – 10.2% | |||||||
236,489 | Barton Capital Corporation, | ||||||
2.171%, 07/25/08 | 236,072 |
The accompanying notes are an integral part of these financial statements.
Page 4
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
INVESTMENTS PURCHASED | |||||||
WITH CASH PROCEEDS FROM | |||||||
SECURITIES LENDING – 41.9% (cont.) | |||||||
Commercial Paper – 10.2% (cont.) | |||||||
$ | 274,823 | Falcon Asset | |||||
SC Corporation, | |||||||
2.17%, 07/24/08 | $ | 274,359 | |||||
236,489 | Kitty Hawk Funding Corp., | ||||||
2.181%, 07/25/08 | 236,072 | ||||||
261,909 | KKR Atlantic Funding Trust, | ||||||
3.05875%, 03/25/09# | 261,909 | ||||||
236,489 | Ranger Funding Company | ||||||
LLC, 2.6%, 08/22/08 | 235,543 | ||||||
236,489 | Sheffield Receivables, | ||||||
2.151%, 07/16/08 | 236,224 | ||||||
236,489 | Societe Gen North America, | ||||||
2.8%, 09/04/08 | 235,240 | ||||||
236,489 | Thames Ast Global Sec., | ||||||
2.251%, 07/07/08 | 236,373 | ||||||
236,489 | Thunder Bay Funding LLC, | ||||||
2.15%, 07/11/08 | 236,306 | ||||||
236,489 | Variable Funding | ||||||
Capital Corporation, | |||||||
2.7%, 09/08/08 | 235,164 | ||||||
236,489 | Windmill Funding, | ||||||
2.2%, 08/18/08 | 235,614 | ||||||
2,658,876 | |||||||
Corporate Bonds and Notes – 3.7% | |||||||
118,244 | Allstate Life GL, | ||||||
3.34%, 03/20/09 | 118,061 | ||||||
260,137 | Allstate Life GL, | ||||||
3.0575%, 03/20/09 | 260,137 | ||||||
354,733 | Wachovia Bank NA, | ||||||
2.17%, 02/04/09 | 353,995 | ||||||
236,489 | Svenska Handelsbanken, | ||||||
2.232%, 02/06/09 | 236,347 | ||||||
968,540 | |||||||
Shares | |||||||
Money Market Mutual Funds – 3.1% | |||||||
331,095 | Merrill Lynch Premier | ||||||
Institutional Fund | 331,095 | ||||||
472,977 | Reserve Primary Fund | 472,977 | |||||
804,072 | |||||||
Principal | |||||||
Amount | |||||||
Repurchase Agreements – 21.1% | |||||||
$ | 1,773,664 | Greenwich Capital, 2.75%, | |||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized by | |||||||
Freddie Mac Collateralized | |||||||
Mortgage Obligation | |||||||
Guaranteed Zero Coupon | |||||||
Bonds, 01/01/32 – 04/15/37, | |||||||
valued at $1,809,172. | |||||||
Repurchase proceeds | |||||||
are $1,773,800.) | 1,773,664 | ||||||
1,773,664 | ING Financial, 2.75%, | ||||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized by | |||||||
various collateralized mortgage | |||||||
obligations, 5.00 – 6.00%, | |||||||
07/01/25 – 08/01/35, valued | |||||||
at $1,809,186. Repurchase | |||||||
proceeds are $1,773,800.) | 1,773,664 | ||||||
1,773,664 | JPMorgan Chase, 2.70%, | ||||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized by | |||||||
Freddie Mac Collateralized | |||||||
Mortgage Obligation | |||||||
Guaranteed Zero Coupon | |||||||
Bonds, 07/15/35 – 01/15/37, | |||||||
valued at $1,826,922. | |||||||
Repurchase proceeds | |||||||
are $1,773,797.) | 1,773,664 |
The accompanying notes are an integral part of these financial statements.
Page 5
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
INVESTMENTS PURCHASED | |||||||
WITH CASH PROCEEDS FROM | |||||||
SECURITIES LENDING – 41.9% (cont.) | |||||||
Repurchase Agreements – 21.1% (cont.) | |||||||
$ | 165,542 | Morgan Stanley, 2.75%, | |||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized by | |||||||
a Freddie Mac Collateralized | |||||||
Mortgage Obligation, 3.07%, | |||||||
09/15/37, valued at $169,074. | |||||||
Repurchase proceeds | |||||||
are $165,555.) | $ | 165,542 | |||||
5,486,534 | |||||||
Total Investments Purchased | |||||||
With Cash Proceeds From | |||||||
Securities Lending | |||||||
(Cost $10,909,648) | 10,909,648 | ||||||
Total Investments | |||||||
(Cost $34,406,033) – | |||||||
141.9% | 36,960,890 | ||||||
Liabilities in Excess of | |||||||
Other Assets – (41.9)% | (10,914,157 | ) | |||||
TOTAL NET | |||||||
ASSETS – 100.0% | $ | 26,046,733 |
* | Non-Income Producing |
f | Foreign Security |
# | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds’ Board of Directors |
The accompanying notes are an integral part of these financial statements.
Page 6
Schedule of Investments June 30, 2008 (Unaudited) |
FAS 157 – Summary of Fair Value Exposure at June 30, 2008
In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“SFAS 157”) effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles (GAAP), and expands disclosures about fair value measurements. The Fund adopted FAS 157 as of January 1, 2008. Under SFAS 157, various inputs are used in determining the value of the Fund’s investments. These inputs are summarized into three broad levels and described below:
Level 1 – Quoted prices in active markets for identical securities.
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – Significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2008:
Description | Schedule of Investments | |||
Level 1 – Quoted prices | $ | 26,855,314 | ||
Level 2 – Other significant observable inputs | 9,843,667 | |||
Level 3 – Significant unobservable inputs | 261,909 | |||
Total | $ | 36,960,890 |
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
Schedule of Investments | ||||
Balance as of 12/31/07 | $ | 281,847 | ||
Accrued discounts / premiums | — | |||
Realized gain (loss) | — | |||
Change in unrealized appreciation (depreciation) | 4,568 | |||
Net purchases (sales/paydowns) | (24,506 | ) | ||
Transfers in and / or out of Level 3* | — | |||
Balance as of 06/30/08 | $ | 261,909 |
* | The information used in the above reconciliation represents fiscal year to date activity for any investments identified as using Level 3 inputs at either the beginning or end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in) or ending value (for transfers out) of any security or instrument where a change in the pricing level occurred from the beginning to the end of the period. |
Page 7
A June 30, 2008 summary of the Fund’s top 10 holdings and equity sector analysis compared to the Russell Midcap® Growth Index is shown below.
Top 10 Holdings* | ||
Cameron International Corporation | 3.3% | |
Oceaneering International, Inc. | 3.3% | |
Roper Industries, Inc. | 2.8% | |
Dolby Laboratories, Inc. | 2.7% | |
Logitech Intl S.A. | 2.4% | |
Southwestern Energy Company | 2.4% | |
Harris Corporation | 2.4% | |
Smith International, Inc. | 2.3% | |
Alliance Data Systems Corporation | 2.3% | |
VCA Antech, Inc. | 2.3% | |
Net Assets: | $30,770,246 | |
Portfolio Turnover Rate: | 73.7% | # |
Number of Equity Holdings: | 52 | |
Annualized Portfolio Expense Ratio:*** | ||
INSTITUTIONAL CLASS: | 0.85% | |
INVESTOR CLASS: | 1.10% | **** |
Equity Sector Analysis** | |
* | The Fund’s portfolio composition is subject to change and there is no assurance that the Fund will continue to hold any particular security. Percentages shown relate to the Fund’s total net assets as of June 30, 2008. | |
** | Percentages shown in parentheses relate to the Fund’s total equity investments as of June 30, 2008, and may not add up to 100% due to rounding. | |
*** | The Advisor has contractually agreed to limit the Fund’s total annual fund operating expenses to 0.85% of average daily net assets for the Institutional Class shares and 1.10% of average daily net assets for the Investor Class shares, at least through April 30, 2009. | |
**** | Includes 0.25% 12b-1 fee. | |
# | Not annualized. |
Page 8
Average Annual Total Returns
For the Periods Ended June 30, 2008 | One Year | Five Years | Since Inception(1) |
Baird MidCap Fund – Institutional Class Shares | -7.38% | 8.57% | 3.11% |
Baird MidCap Fund – Investor Class Shares | -7.53% | 8.31% | 2.88% |
Russell Midcap® Growth Index(2) | -6.42% | 12.32% | 2.80% |
(1) | For the period from December 29, 2000 (commencement of operations) through June 30, 2008. |
(2) | The Russell Midcap® Growth Index measures the performance of those Russell Midcap® Index companies with higher price-to-book ratios and higher forecasted growth rates. The Russell Midcap® Index consists of the 800 smallest companies in the Russell 1000® Index, which represent approximately 31% of the total market capitalization of the Russell 1000® Index. The Russell 1000® Index consists of the largest companies in the Russell 3000® Index, which in turn is comprised of the 3,000 largest U.S. domiciled publicly traded common stocks by market capitalization. These indices do not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above and line graphs on the previous page reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 9
Schedule of Investments June 30, 2008 (Unaudited) |
Shares | Value | ||||||
COMMON STOCKS – 97.8% | |||||||
Air Freight & Logistics – 1.6% | |||||||
11,100 | Expeditors International | ||||||
of Washington, Inc. | $ | 477,300 | |||||
Auto Components – 1.3% | |||||||
26,617 | Gentex Corporation | 384,349 | |||||
Biotechnology – 2.0% | |||||||
9,410 | Cephalon, Inc.* | 627,553 | |||||
Capital Markets – 3.8% | |||||||
17,280 | Eaton Vance Corporation | 687,053 | |||||
18,635 | Janus Capital Group, Inc. | 493,268 | |||||
1,180,321 | |||||||
Chemicals – 3.4% | |||||||
10,037 | Airgas, Inc. | 586,060 | |||||
10,900 | Ecolab, Inc. | 468,591 | |||||
1,054,651 | |||||||
Commercial Banks – 2.4% | |||||||
28,140 | Marshall & | ||||||
Ilsley Corporation | 431,386 | ||||||
9,880 | Zions Bancorporation | 311,121 | |||||
742,507 | |||||||
Commercial Services & Supplies – 3.5% | |||||||
7,472 | Manpower, Inc. | 435,169 | |||||
12,366 | Stericycle, Inc.* | 639,322 | |||||
1,074,491 | |||||||
Communications Equipment – 5.1% | |||||||
20,497 | Dolby Laboratories, Inc.* | 826,029 | |||||
14,411 | Harris Corporation | 727,612 | |||||
1,553,641 | |||||||
Computers & Peripherals – 2.4% | |||||||
27,959 | Logitech Intl S.A.* f | 749,301 | |||||
Construction & Engineering – 1.6% | |||||||
6,700 | Foster Wheeler Ltd* f | 490,105 | |||||
Containers & Packaging – 1.4% | |||||||
10,173 | AptarGroup, Inc. | 426,757 | |||||
Distributors – 1.6% | |||||||
26,625 | LKQ Corporation* | 481,114 | |||||
Diversified Consumer Services – 1.7% | |||||||
2,474 | Strayer Education, Inc. | 517,239 | |||||
Electrical Equipment – 2.8% | |||||||
12,892 | Roper Industries, Inc. | 849,325 | |||||
Electronic Equipment & Instruments – 1.7% | |||||||
14,796 | Trimble | ||||||
Navigation Limited* | 528,217 | ||||||
Energy Equipment & Services – 11.0% | |||||||
18,409 | Cameron International | ||||||
Corporation* | 1,018,938 | ||||||
33,125 | Key Energy Services, Inc.* | 643,288 | |||||
13,149 | Oceaneering | ||||||
International, Inc.* | 1,013,130 | ||||||
8,654 | Smith International, Inc. | 719,494 | |||||
3,394,850 | |||||||
Food & Staples Retailing – 1.6% | |||||||
21,299 | Whole Foods Market, Inc. | 504,573 | |||||
Food Products – 2.1% | |||||||
18,325 | McCormick & | ||||||
Company, Incorporated | 653,470 | ||||||
Health Care Equipment & Supplies – 5.4% | |||||||
30,516 | Hologic, Inc.* | 665,249 | |||||
12,152 | IDEXX Laboratories, Inc.* | 592,288 | |||||
11,238 | ResMed, Inc.* | 401,646 | |||||
1,659,183 | |||||||
Health Care Providers & Services – 2.3% | |||||||
25,310 | VCA Antech, Inc.* | 703,112 | |||||
Health Care Technology – 1.8% | |||||||
12,505 | Cerner Corporation* | 564,976 | |||||
Hotels Restaurants & Leisure – 1.0% | |||||||
3,650 | Chipotle Mexican | ||||||
Grill, Inc.* | 301,563 |
The accompanying notes are an integral part of these financial statements.
Page 10
Baird MidCap Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Shares | Value | ||||||
COMMON STOCKS – 97.8% (cont.) | |||||||
Household Durables – 1.5% | |||||||
11,083 | Harman International | ||||||
Industries, Incorporated | $ | 458,725 | |||||
Internet Software & Services – 2.1% | |||||||
18,598 | Akamai | ||||||
Technologies, Inc.* | 647,024 | ||||||
IT Services – 7.9% | |||||||
12,600 | Alliance Data | ||||||
Systems Corporation* | 712,530 | ||||||
12,925 | Fiserv, Inc.* | 586,407 | |||||
11,454 | Global Payments, Inc. | 533,757 | |||||
22,340 | Iron Mountain | ||||||
Incorporated* | 593,127 | ||||||
2,425,821 | |||||||
Life Sciences Tools & Services – 1.9% | |||||||
6,946 | Covance Inc.* | 597,495 | |||||
Machinery – 3.3% | |||||||
5,064 | Bucyrus International, | ||||||
Inc. – Class A | 369,773 | ||||||
11,578 | Harsco Corporation | 629,959 | |||||
999,732 | |||||||
Media – 2.1% | |||||||
17,765 | Lamar Advertising | ||||||
Co. – Class A* | 640,073 | ||||||
Office Electronics – 1.5% | |||||||
14,009 | Zebra Technologies | ||||||
Corporation – Class A* | 457,254 | ||||||
Oil & Gas – 2.4% | |||||||
15,565 | Southwestern | ||||||
Energy Company* | 741,050 | ||||||
Semiconductor & Semiconductor Equipment – 3.1% | |||||||
13,677 | Microchip Technology | ||||||
Incorporated | 417,696 | ||||||
14,950 | Varian Semiconductor | ||||||
Equipment | |||||||
Associates, Inc.* | 520,559 | ||||||
938,255 | |||||||
Software – 1.4% | |||||||
14,999 | Citrix Systems, Inc.* | 441,121 | |||||
Specialty Retail – 7.3% | |||||||
16,019 | Advance Auto Parts, Inc. | 622,018 | |||||
21,122 | Dick’s Sporting | ||||||
Goods, Inc.* | 374,704 | ||||||
16,166 | Gamestop Corporation – | ||||||
Class A* | 653,107 | ||||||
30,478 | Petsmart, Inc. | 608,036 | |||||
2,257,865 | |||||||
Trading Companies & Distributors – 1.8% | |||||||
13,000 | Fastenal Company | 561,080 | |||||
Total Common Stocks | |||||||
(Cost $27,156,485) | 30,084,093 | ||||||
SHORT-TERM INVESTMENTS – 3.2% | |||||||
Money Market Fund – 3.2% | |||||||
970,850 | Short-Term Investment | ||||||
Company Liquid Assets | |||||||
Portfolio – AIM Fund | 970,850 | ||||||
Total Short-Term | |||||||
Investments | |||||||
(Cost $970,850) | 970,850 | ||||||
Principal | |||||||
Amount | |||||||
INVESTMENTS PURCHASED | |||||||
WITH CASH PROCEEDS FROM | |||||||
SECURITIES LENDING – 36.7% | |||||||
Certificate of Deposit – 3.3% | |||||||
$ | 364,425 | Bank of Scotland, | |||||
2.9944%, 05/06/09 | 363,529 |
The accompanying notes are an integral part of these financial statements.
Page 11
Baird MidCap Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
INVESTMENTS PURCHASED | |||||||
WITH CASH PROCEEDS FROM | |||||||
SECURITIES LENDING – 36.7% (cont.) | |||||||
Certificate of Deposit – 3.3% (cont.) | |||||||
$ | 413,015 | Barclays Bank, | |||||
3.3615%, 03/16/09 | $ | 412,925 | |||||
242,950 | Natixis Bank of New York, | ||||||
3.35%, 06/30/09 | 242,268 | ||||||
1,018,722 | |||||||
Commercial Paper – 9.2% | |||||||
242,950 | Barton Capital Corporation, | ||||||
2.171%, 07/25/08 | 242,522 | ||||||
282,332 | Falcon Asset | ||||||
SC Corporation, | |||||||
2.17%, 07/24/08 | 281,854 | ||||||
242,950 | Kitty Hawk Funding Corp., | ||||||
2.181%, 07/25/08 | 242,522 | ||||||
373,683 | KKR Atlantic | ||||||
Funding Trust, | |||||||
3.05875%, 03/25/09# | 373,683 | ||||||
242,950 | Ranger Funding Company | ||||||
LLC, 2.6%, 08/22/08 | 241,978 | ||||||
242,950 | Sheffield Receivables, | ||||||
2.151%, 07/16/08 | 242,677 | ||||||
242,950 | Societe Gen North America, | ||||||
2.8%, 09/04/08 | 241,666 | ||||||
242,950 | Thames Ast Global Sec., | ||||||
2.251%, 07/07/08 | 242,831 | ||||||
242,950 | Thunder Bay Funding LLC, | ||||||
2.15%, 07/11/08 | 242,763 | ||||||
242,950 | Variable Funding | ||||||
Capital Corporation, | |||||||
2.7%, 09/08/08 | 241,589 | ||||||
242,950 | Windmill Funding, | ||||||
2.2%, 08/18/08 | 242,050 | ||||||
2,836,135 | |||||||
Corporate Bonds and Notes – 3.2% | |||||||
121,475 | Allstate Life GL, | ||||||
3.34%, 03/20/09 | 121,287 | ||||||
267,245 | Allstate Life GL, | ||||||
3.0575%, 03/20/09 | 267,245 | ||||||
364,425 | Wachovia Bank NA, | ||||||
2.17%, 02/04/09 | 363,667 | ||||||
242,950 | Svenska Handelsbanken, | ||||||
2.232%, 02/06/09 | 242,804 | ||||||
995,003 | |||||||
Shares | |||||||
Money Market Mutual Funds – 2.7% | |||||||
340,141 | Merrill Lynch Premier | ||||||
Institutional Fund | 340,141 | ||||||
485,900 | Reserve Primary Fund | 485,900 | |||||
826,041 | |||||||
Principal | |||||||
Amount | |||||||
Repurchase Agreements – 18.3% | |||||||
$ | 1,822,126 | Greenwich Capital, 2.75%, | |||||
Dated 06/30/08, Due | |||||||
07/1/08, (Collateralized by | |||||||
Freddie Mac Collateralized | |||||||
Mortgage Obligation | |||||||
Guaranteed Zero Coupon | |||||||
Bonds, 01/01/32 – 04/15/37, | |||||||
valued at $1,858,605. | |||||||
Repurchase proceeds | |||||||
are $1,822,265.) | 1,822,126 |
The accompanying notes are an integral part of these financial statements.
Page 12
Baird MidCap Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Principal | |||||||
Amount | Value | ||||||
INVESTMENTS PURCHASED | |||||||
WITH CASH PROCEEDS FROM | |||||||
SECURITIES LENDING – 36.7% (cont.) | |||||||
Repurchase Agreements – 18.3% (cont.) | |||||||
$ | 1,822,126 | ING Financial, 2.75%, | |||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized by | |||||||
various collateralized mortgage | |||||||
obligations, 5.00 – 6.00%, | |||||||
07/01/25 – 08/01/35, valued | |||||||
at $1,858,619. Repurchase | |||||||
proceeds are $1,822,265.) | $ | 1,822,126 | |||||
1,822,126 | JPMorgan Chase, 2.70%, | ||||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized by | |||||||
Freddie Mac Collateralized | |||||||
Mortgage Obligation | |||||||
Guaranteed Zero Coupon | |||||||
Bonds, 07/15/35 – 01/15/37, | |||||||
valued at $1,876,840. | |||||||
Repurchase proceeds | |||||||
are $1,822,263.) | 1,822,126 | ||||||
170,065 | Morgan Stanley, 2.75%, | ||||||
Dated 06/30/08, Due | |||||||
07/01/08, (Collateralized by | |||||||
a Freddie Mac Collateralized | |||||||
Mortgage Obligation, | |||||||
3.07%, 09/15/37, valued at | |||||||
$173,694. Repurchase | |||||||
proceeds are $170,078.) | 170,065 | ||||||
5,636,443 | |||||||
Total Investments Purchased | |||||||
With Cash Proceeds From | |||||||
Securities Lending | |||||||
(Cost $11,312,344) | 11,312,344 | ||||||
Total Investments | |||||||
(Cost $39,439,679) – | |||||||
137.7% | 42,367,287 | ||||||
Liabilities in Excess of | |||||||
Other Assets – (37.7)% | (11,597,041 | ) | |||||
TOTAL NET | |||||||
ASSETS – 100.0% | $ | 30,770,246 |
* | Non-Income Producing |
f | Foreign Security |
# | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds’ Board of Directors |
The accompanying notes are an integral part of these financial statements.
Page 13
Baird MidCap Fund
Schedule of Investments June 30, 2008 (Unaudited) |
FAS 157 – Summary of Fair Value Exposure at June 30, 2008
In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“SFAS 157”) effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles (GAAP), and expands disclosures about fair value measurements. The Fund adopted FAS 157 as of January 1, 2008. Under SFAS 157, various inputs are used in determining the value of the Fund’s investments. These inputs are summarized into three broad levels and described below:
Level 1 – Quoted prices in active markets for identical securities.
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – Significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2008:
Description | Schedule of Investments | |||
Level 1 – Quoted prices | $ | 31,880,984 | ||
Level 2 – Other significant observable inputs | 10,112,620 | |||
Level 3 – Significant unobservable inputs | 373,683 | |||
Total | $ | 42,367,287 |
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
Schedule of Investments | ||||
Balance as of 12/31/07 | $ | 402,130 | ||
Accrued discounts / premiums | — | |||
Realized gain (loss) | — | |||
Change in unrealized appreciation (depreciation) | 6,516 | |||
Net purchases (sales/paydowns) | (34,963 | ) | ||
Transfers in and / or out of Level 3* | — | |||
Balance as of 06/30/08 | $ | 373,683 |
* | The information used in the above reconciliation represents fiscal year to date activity for any investments identified as using Level 3 inputs at either the beginning or end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in) or ending value (for transfers out) of any security or instrument where a change in the pricing level occurred from the beginning to the end of the period. |
Page 14
A June 30, 2008 summary of the Fund’s top 10 holdings and equity sector analysis compared to the Russell 2000® Growth Index is shown below.
Top 10 Holdings* | ||
EMCOR Group, Inc. | 3.0% | |
CARBO Ceramics, Inc. | 2.8% | |
Dril-Quip, Inc. | 2.7% | |
Ion Geophysical Corp. | 2.7% | |
Plexus Corp. | 2.5% | |
HealthExtras, Inc. | 2.4% | |
Synoptics, Incorporated | 2.3% | |
RTI Biologics, Inc. | 2.3% | |
Jack in the Box, Inc. | 2.2% | |
Kaydon Corporation | 2.2% | |
Net Assets: | $19,085,072 | |
Portfolio Turnover Rate: | 92.5% | # |
Number of Equity Holdings: | 52 | |
Annualized Portfolio Expense Ratio:*** | ||
INSTITUTIONAL CLASS: | 0.95% | |
INVESTOR CLASS: | 1.20% | **** |
Equity Sector Analysis** |
* | The Fund’s portfolio composition is subject to change and there is no assurance that the Fund will continue to hold any particular security. Percentages shown relate to the Fund’s total net assets as of June 30, 2008. | |
** | Percentages shown in parentheses relate to the Fund’s total equity investments as of June 30, 2008, and may not add up to 100% due to rounding. | |
*** | The Advisor has contractually agreed to limit the Fund’s total annual fund operating expenses to 0.95% of average daily net assets for the Institutional Class shares and 1.20% of average daily net assets for the Investor Class shares, at least through April 30, 2008. | |
**** | Includes 0.25% 12b-1 fee. | |
# | Not annualized. |
Page 15
Average Annual Total Returns
For the Periods Ended June 30, 2008 | One Year | Since Inception(1) |
Baird SmallCap Fund – Institutional Class Shares | -18.06% | 0.16% |
Baird SmallCap Fund – Investor Class Shares | -18.25% | -0.02% |
Russell 2000® Growth Index(2) | -10.83% | 5.63% |
(1) | For the period from June 30, 2004 (commencement of operations) through June 30, 2008. |
(2) | The Russell 2000® Growth Index measures the performance of those Russell 2000® Index companies with higher price-to-book and higher forecasted growth rates. The Russell 2000® Index consists of the 2,000 smallest U.S. domiciled publicly-traded common stocks that are included in the Russell 3000® Index. These common stocks represent approximately 10% of the U.S. equity market. These indices do not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above and line graphs on the previous page reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 16
Baird SmallCap Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Shares | Value | ||||||
COMMON STOCKS – 94.6% | |||||||
Aerospace & Defense – 3.8% | |||||||
9,043 | Curtiss-Wright | ||||||
Corporation | $ | 404,584 | |||||
9,886 | HEICO Corporation | 321,690 | |||||
726,274 | |||||||
Auto Components – 1.4% | |||||||
18,930 | Gentex Corporation | 273,349 | |||||
Capital Markets – 2.3% | |||||||
4,602 | Greenhill & Co, Inc. | 247,864 | |||||
8,627 | optionsXpress Holdings Inc. | 192,727 | |||||
440,591 | |||||||
Commercial Banks – 4.9% | |||||||
13,502 | Pinnacle Financial | ||||||
Partners, Inc.* | 271,255 | ||||||
12,353 | PrivateBancorp, Inc. | 375,284 | |||||
12,190 | Wintrust Financial | ||||||
Corporation | 290,732 | ||||||
937,271 | |||||||
Commercial Services & Supplies – 3.5% | |||||||
12,176 | EnergySolutions, Inc. | 272,134 | |||||
9,901 | Mine Safety | ||||||
Appliances Company | 395,941 | ||||||
668,075 | |||||||
Computers & Peripherals – 2.3% | |||||||
11,696 | Synaptics Incorporated* | 441,290 | |||||
Construction & Engineering – 4.7% | |||||||
22,833 | Dycom Industries, Inc.* | 331,535 | |||||
19,831 | EMCOR Group, Inc.* | 565,778 | |||||
897,313 | |||||||
Distributors – 1.5% | |||||||
16,250 | LKQ Corporation* | 293,637 | |||||
Diversified Consumer Services – 1.5% | |||||||
4,740 | Capella Education | ||||||
Company* | 282,741 | ||||||
Diversified Financial Services – 1.8% | |||||||
14,821 | Heartland Payment | ||||||
Systems, Inc.* | 349,776 | ||||||
Electronic Equipment & Instruments – 7.5% | |||||||
15,008 | Daktronics, Inc. | 302,712 | |||||
11,882 | DTS, Inc.* | 372,144 | |||||
24,863 | Insight Enterprises, Inc.* | 291,643 | |||||
16,931 | Plexus Corp.* | 468,650 | |||||
1,435,149 | |||||||
Energy Equipment & Services – 9.9% | |||||||
6,914 | Bristow Group, Inc.* | 342,174 | |||||
9,112 | CARBO Ceramics, Inc. | 531,685 | |||||
8,129 | Dril-Quip, Inc.* | 512,127 | |||||
29,131 | ION Geophysical | ||||||
Corporation* | 508,336 | ||||||
1,894,322 | |||||||
Food & Staples Retailing – 1.5% | |||||||
14,318 | United Natural | ||||||
Foods, Inc.* | 278,915 | ||||||
Health Care Equipment & Supplies – 9.5% | |||||||
11,069 | Meridian Bioscience, Inc. | 297,977 | |||||
19,017 | Natus Medical | ||||||
Incorporated* | 398,216 | ||||||
50,380 | RTI Biologics, Inc.* | 440,825 | |||||
32,005 | TomoTherapy, Inc.* | 285,805 | |||||
13,649 | Wright Medical | ||||||
Group, Inc.* | 387,768 | ||||||
2,206,532 | |||||||
Health Care Providers & Services – 10.1% | |||||||
7,429 | Genoptix Inc.* | 234,385 | |||||
15,463 | HealthExtras, Inc.* | 466,055 | |||||
8,617 | Healthways, Inc.* | 255,063 | |||||
18,326 | Providence | ||||||
Service Corporation* | 386,862 | ||||||
18,240 | RehabCare Group, Inc.* | 292,387 |
The accompanying notes are an integral part of these financial statements.
Page 17
Baird SmallCap Fund
Schedule of Investments June 30, 2008 (Unaudited) |
Shares | Value | ||||||
COMMON STOCKS – 94.6% (cont.) | |||||||
Health Care Providers & Services – 10.1% (cont.) | |||||||
10,393 | VCA Antech, Inc.* | $ | 288,718 | ||||
1,923,470 | |||||||
Hotels Restaurants & Leisure – 4.0% | |||||||
19,177 | Jack in the Box, Inc.* | 429,757 | |||||
11,377 | LIFE TIME | ||||||
FITNESS, Inc.* | 336,190 | ||||||
765,947 | |||||||
IT Services – 1.7% | |||||||
10,232 | Forrester Research, Inc.* | 315,964 | |||||
Life Science Tools & Services – 1.4% | |||||||
7,151 | Kendle International Inc.* | 259,796 | |||||
Machinery – 5.7% | |||||||
10,888 | Clarcor, Inc. | 382,169 | |||||
6,251 | ESCO Technologies, Inc.* | 293,297 | |||||
8,109 | Kaydon Corp. | 416,883 | |||||
1,092,349 | |||||||
Road & Rail – 1.6% | |||||||
16,162 | Knight Transportation, Inc. | 295,765 | |||||
Semiconductor & Semiconductor Equipment – 1.7% | |||||||
9,366 | Varian Semiconductor | ||||||
Equipment Associates, Inc.* | 326,124 | ||||||
Software – 5.3% | |||||||
31,521 | Cogent Inc.* | 358,394 | |||||
74,118 | Secure Computing | ||||||
Corporation* | 306,848 | ||||||
9,505 | The Ultimate Software | ||||||
Group, Inc.* | 338,663 | ||||||
1,003,905 | |||||||
Specialty Retail – 3.9% | |||||||
18,593 | Hibbett Sporting | ||||||
Goods, Inc.* | 392,312 | ||||||
12,027 | Tractor Supply Company* | 349,264 | |||||
741,576 | |||||||
Textiles, Apparel & Luxury Goods – 1.6% | |||||||
2,214 | Deckers Outdoor | ||||||
Corporation* | 308,189 | ||||||
Trading Companies & Distributors – 1.5% | |||||||
6,775 | Watsco, Inc. | 283,195 | |||||
Total Common Stocks | |||||||
(Cost $19,201,538) | 18,045,574 | ||||||
SHORT-TERM INVESTMENTS – 5.6% | |||||||
Money Market Fund – 5.6% | |||||||
1,070,738 | Short-Term Investment | ||||||
Company Liquid Assets | |||||||
Portfolio – AIM Fund | 1,070,738 | ||||||
Total Short-Term | |||||||
Investments | |||||||
(Cost $1,070,738) | 1,070,738 | ||||||
Total Investments | |||||||
(Cost $20,272,276) – | |||||||
100.2% | 19,116,312 | ||||||
Liabilities in Excess of | |||||||
Other Assets – (0.2)% | (31,240 | ) | |||||
TOTAL NET | |||||||
ASSETS – 100.0% | $ | 19,085,072 |
* | Non-Income Producing |
The accompanying notes are an integral part of these financial statements.
Page 18
Baird SmallCap Fund
Schedule of Investments June 30, 2008 (Unaudited) |
FAS 157 – Summary of Fair Value Exposure at June 30, 2008
In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“SFAS 157”) effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles (GAAP), and expands disclosures about fair value measurements. The Fund adopted FAS 157 as of January 1, 2008. Under SFAS 157, various inputs are used in determining the value of the Fund’s investments. These inputs are summarized into three broad levels and described below:
Level 1 – Quoted prices in active markets for identical securities.
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – Significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2008:
Description | Schedule of Investments | |||
Level 1 – Quoted prices | $ | 19,116,312 | ||
Level 2 – Other significant observable inputs | — | |||
Level 3 – Significant unobservable inputs | — | |||
Total | $ | 19,116,312 |
Page 19
Additional Information on Fund Expenses June 30, 2008 (Unaudited) |
Example
As a shareholder of a mutual fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, such as management fees; distribution and/or service (12b-1) fees; and other fund expenses. Although the Funds do not charge any sales loads, redemption fees, or other transaction fees, you will be assessed fees for outgoing wire transfers, returned checks and stop payment orders at prevailing rates charged by U.S. Bancorp Fund Services, LLC, the Fund’s transfer agent. If you request that a redemption be made by wire transfer, currently the Fund’s transfer agent charges a $15.00 fee.
This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (1/1/08 – 6/30/08).
Actual Expenses
The third and fourth columns of the following table provide information about account values based on actual returns and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid 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 fourth column entitled “Expenses Paid During Period’’ to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The fifth and sixth columns of the following table provide information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the sixth column of the table (entitled “Expenses Paid During Period”) is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different mutual funds. In addition, if these transactional costs were included, your costs could have been higher.
Page 20
Additional Information on Fund Expenses June 30, 2008 (Unaudited) |
Actual vs. Hypothetical Returns
For the Six Months Ended June 30, 2008
Hypothetical (5% return | ||||||||
Actual | before expenses) | |||||||
Fund’s | Beginning | Ending | Expenses | Ending | Expenses | |||
Annualized | Account | Account | Paid | Account | Paid | |||
Expense | Value | Value | During | Value | During | |||
Ratio(1) | 1/1/08 | 6/30/08 | Period(1) | 6/30/08 | Period(1) | |||
Baird LargeCap Fund | ||||||||
Institutional Class | 0.75% | $1,000.00 | $927.10 | $3.59 | $1,021.13 | $3.77 | ||
Investor Class | 1.00% | $1,000.00 | $926.80 | $4.79 | $1,019.89 | $5.02 | ||
Baird MidCap Fund | ||||||||
Institutional Class | 0.85% | $1,000.00 | $868.00 | $3.95 | $1,020.64 | $4.27 | ||
Investor Class | 1.10% | $1,000.00 | $867.00 | $5.11 | $1,019.39 | $5.52 | ||
Baird SmallCap Fund | ||||||||
Institutional Class | 0.95% | $1,000.00 | $858.30 | $4.39 | $1,020.14 | $4.77 | ||
Investor Class | 1.20% | $1,000.00 | $857.30 | $5.54 | $1,018.90 | $6.02 |
(1) | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182 days and divided by 366 to reflect the one-half year period. |
Page 21
Statements of Assets and Liabilities June 30, 2008 (Unaudited) |
Baird LargeCap | Baird MidCap | Baird SmallCap | ||||||||||
Fund | Fund | Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value (cost $28,919,499; | $ | 31,474,356 | $ | 36,730,844 | $ | 19,116,312 | ||||||
$33,803,236; and $20,272,276, respectively) | ||||||||||||
Repurchase agreements (cost $5,486,534; | 5,486,534 | 5,636,443 | — | |||||||||
$5,636,443; and $0, respectively) | ||||||||||||
Dividends receivable | 15,108 | 2,000 | — | |||||||||
Interest receivable | 503 | 2,642 | 1,366 | |||||||||
Receivable for investments sold | — | 1,162,344 | — | |||||||||
Receivable for fund shares sold | — | 1,331 | 100 | |||||||||
Other assets | 14,363 | 19,557 | 18,488 | |||||||||
Total assets | 36,990,864 | 43,555,161 | 19,136,266 | |||||||||
LIABILITIES: | ||||||||||||
Payable for collateral received for securities loaned (Note 6) | 10,909,648 | 11,312,344 | — | |||||||||
Payable to Advisor and Distributor | 4,822 | 11,894 | 5,489 | |||||||||
Payable for securities purchased | — | 1,423,649 | — | |||||||||
Payable for fund shares repurchased | — | — | 9,106 | |||||||||
Accrued expenses and other liabilities | 29,661 | 37,028 | 36,599 | |||||||||
Total liabilities | 10,944,131 | 12,784,915 | 51,194 | |||||||||
NET ASSETS | $ | 26,046,733 | $ | 30,770,246 | $ | 19,085,072 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Capital stock | $ | 24,944,334 | $ | 28,126,104 | $ | 21,393,373 | ||||||
Accumulated undistributed net investment income | 43,856 | — | — | |||||||||
Accumulated net realized loss on investments sold | (1,496,314 | ) | (283,466 | ) | (1,152,337 | ) | ||||||
Net unrealized appreciation (depreciation) on investments | 2,554,857 | 2,927,608 | (1,155,964 | ) | ||||||||
NET ASSETS | $ | 26,046,733 | $ | 30,770,246 | $ | 19,085,072 | ||||||
INSTITUTIONAL CLASS SHARES | ||||||||||||
Net Assets | $ | 25,361,312 | $ | 26,776,444 | $ | 18,863,988 | ||||||
Shares outstanding | ||||||||||||
($0.01 par value, unlimited shares authorized) | 2,931,300 | 3,206,758 | 2,208,045 | |||||||||
Net asset value, offering and redemption price per share | $ | 8.65 | $ | 8.35 | $ | 8.54 | ||||||
INVESTOR CLASS SHARES | ||||||||||||
Net Assets | $ | 685,421 | $ | 3,993,802 | $ | 221,084 | ||||||
Shares outstanding | ||||||||||||
($0.01 par value, unlimited shares authorized) | 79,586 | 490,185 | 26,092 | |||||||||
Net asset value, offering and redemption price per share | $ | 8.61 | $ | 8.15 | $ | 8.47 |
The accompanying notes are an integral part of these financial statements.
Page 22
Baird Funds, Inc.
Statements of Operations Six Months Ended June 30, 2008 (Unaudited) |
Baird LargeCap | Baird MidCap | Baird SmallCap | ||||||||||
Fund | Fund | Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividends | $ | 116,792 | $ | 110,841 | $ | 49,314 | ||||||
Interest | 11,254 | 20,139 | 11,563 | |||||||||
Income from securities lending (Note 6) | 10,816 | 18,722 | — | |||||||||
Other income | — | 5 | 629 | |||||||||
Total investment income | 138,862 | 149,707 | 61,506 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 86,990 | 127,759 | 92,390 | |||||||||
Administration fees | 3,909 | 5,091 | 3,368 | |||||||||
Shareholder servicing fees | 8,069 | 7,963 | 21,342 | |||||||||
Fund accounting fees | 12,887 | 14,116 | 11,884 | |||||||||
Professional fees | 14,279 | 14,076 | 14,182 | |||||||||
Federal and state registration | 14,252 | 14,694 | 13,892 | |||||||||
Directors fees | 12,746 | 12,696 | 12,346 | |||||||||
Custody fees | 2,630 | 3,694 | 4,815 | |||||||||
Reports to shareholders | 2,138 | 3,482 | 5,613 | |||||||||
Distribution fees – Investor Class Shares (Note 8) | 859 | 5,214 | 286 | |||||||||
Interest expense (Note 7) | — | 97 | — | |||||||||
Miscellaneous expenses | 863 | 1,165 | 1,649 | |||||||||
Total expenses | 159,622 | 210,047 | 181,767 | |||||||||
Expense reimbursement by Advisor | (58,371 | ) | (59,943 | ) | (78,222 | ) | ||||||
Total expenses | 101,251 | 150,104 | 103,545 | |||||||||
NET INVESTMENT INCOME (LOSS) | 37,611 | (397 | ) | (42,039 | ) | |||||||
REALIZED AND UNREALIZED | ||||||||||||
GAIN (LOSS) ON INVESTMENTS: | ||||||||||||
Net realized gain (loss) on investments | (29,782 | ) | 125,749 | (1,663,059 | ) | |||||||
Change in unrealized appreciation/depreciation | ||||||||||||
on investments | (2,060,075 | ) | (5,541,863 | ) | (1,941,687 | ) | ||||||
Net realized and unrealized loss on investments | (2,089,857 | ) | (5,416,114 | ) | (3,604,746 | ) | ||||||
NET DECREASE IN NET ASSETS | ||||||||||||
RESULTING FROM OPERATIONS | $ | (2,052,246 | ) | $ | (5,416,511 | ) | $ | (3,646,785 | ) |
The accompanying notes are an integral part of these financial statements.
Page 23
Baird Funds, Inc.
Statements of Changes in Net Assets |
Baird LargeCap Fund | ||||||||
Six Months Ended | ||||||||
June 30, 2008 | Year Ended | |||||||
(Unaudited) | December 31, 2007 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 37,611 | $ | 69,718 | ||||
Net realized gain (loss) on investments | (29,782 | ) | 1,295,539 | |||||
Change in unrealized appreciation/depreciation on investments | (2,060,075 | ) | 1,311,455 | |||||
Net increase (decrease) in net assets resulting from operations | (2,052,246 | ) | 2,676,712 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 1,304,233 | 6,164,640 | ||||||
Shares issued to holders in reinvestment of dividends | — | 62,978 | ||||||
Cost of shares redeemed | (1,590,042 | ) | (8,986,143 | ) | ||||
Net decrease in net assets resulting | ||||||||
from capital share transactions | (285,809 | ) | (2,758,525 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | — | (63,676 | ) | |||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | — | — | ||||||
TOTAL DECREASE IN NET ASSETS | (2,338,055 | ) | (145,489 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 28,384,788 | 28,530,277 | ||||||
End of period (including undistributed net investment income | ||||||||
of $43,856 and $6,245, respectively) | $ | 26,046,733 | $ | 28,384,788 |
The accompanying notes are an integral part of these financial statements.
Page 24
Baird Funds, Inc.
Statements of Changes in Net Assets |
Baird MidCap Fund | ||||||||
Six Months Ended | ||||||||
June 30, 2008 | Year Ended | |||||||
(Unaudited) | December 31, 2007 | |||||||
OPERATIONS: | ||||||||
Net investment loss | $ | (397 | ) | $ | (34,555 | ) | ||
Net realized gain on investments | 125,749 | 6,233,273 | ||||||
Change in unrealized appreciation/depreciation on investments | (5,541,863 | ) | 1,141,357 | |||||
Net increase (decrease) in net assets resulting from operations | (5,416,511 | ) | 7,340,075 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 1,465,760 | 10,258,071 | ||||||
Shares issued to holders in reinvestment of dividends | — | 5,849,724 | ||||||
Cost of shares redeemed | (6,679,394 | ) | (13,209,733 | ) | ||||
Net increase (decrease) in net assets resulting | ||||||||
from capital share transactions | (5,213,634 | ) | 2,898,062 | |||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net realized gains | — | (5,482,243 | ) | |||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net realized gains | — | (436,338 | ) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (10,630,145 | ) | 4,319,556 | |||||
NET ASSETS: | ||||||||
Beginning of period | 41,400,391 | 37,080,835 | ||||||
End of period | $ | 30,770,246 | $ | 41,400,391 |
The accompanying notes are an integral part of these financial statements.
Page 25
Baird Funds, Inc.
Statements of Changes in Net Assets |
Baird SmallCap Fund | ||||||||
Six Months Ended | ||||||||
June 30, 2008 | Year Ended | |||||||
(Unaudited) | December 31, 2007 | |||||||
OPERATIONS: | ||||||||
Net investment loss | $ | (42,039 | ) | $ | (150,020 | ) | ||
Net realized gain (loss) on investments | (1,663,059 | ) | 4,700,765 | |||||
Change in unrealized appreciation/depreciation on investments | (1,941,687 | ) | (6,003,303 | ) | ||||
Net decrease in net assets resulting from operations | (3,646,785 | ) | (1,452,558 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 1,189,086 | 9,958,827 | ||||||
Shares issued to holders in reinvestments of dividends | — | 3,777,282 | ||||||
Cost of shares redeemed | (5,314,476 | ) | (53,006,968 | ) | ||||
Net decrease in net assets resulting | ||||||||
from capital share transactions | (4,125,390 | ) | (39,270,859 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net realized gains | — | (4,092,370 | ) | |||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net realized gains | — | (39,140 | ) | |||||
TOTAL DECREASE IN NET ASSETS | (7,772,175 | ) | (44,854,927 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 26,857,247 | 71,712,174 | ||||||
End of period | $ | 19,085,072 | $ | 26,857,247 |
The accompanying notes are an integral part of these financial statements.
Page 26
Baird Funds, Inc.
Financial Highlights |
Baird LargeCap Fund – Institutional Class | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2008 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.33 | $ | 8.53 | $ | 8.33 | $ | 8.13 | $ | 7.78 | $ | 6.41 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.01 | 0.02 | 0.04 | 0.04 | (1) | 0.06 | (1) | 0.02 | ||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.69 | ) | 0.80 | 0.20 | 0.24 | 0.35 | 1.37 | |||||||||||||||||
Total from investment operations | (0.68 | ) | 0.82 | 0.24 | 0.28 | 0.41 | 1.39 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | — | (0.02 | ) | (0.04 | ) | (0.08 | ) | (0.06 | ) | (0.02 | ) | |||||||||||||
Net asset value, end of period | $ | 8.65 | $ | 9.33 | $ | 8.53 | $ | 8.33 | $ | 8.13 | $ | 7.78 | ||||||||||||
Total return | (7.29 | %)(2) | 9.63 | % | 2.89 | % | 3.39 | % | 5.21 | % | 21.75 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, end of period | $ | 25,361,312 | $ | 27,644,009 | $ | 27,442,329 | $ | 27,375,626 | $ | 64,754,140 | $ | 59,743,783 | ||||||||||||
Ratio of expenses to average net assets | 0.75 | %(3) | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||||||
Ratio of expenses to average | ||||||||||||||||||||||||
net assets (before waivers) | 1.19 | %(3) | 1.10 | % | 1.12 | % | 0.93 | % | 0.93 | % | 0.95 | % | ||||||||||||
Ratio of net investment income | ||||||||||||||||||||||||
to average net assets | 0.29 | %(3) | 0.25 | % | 0.44 | % | 0.46 | % | 0.72 | % | 0.34 | % | ||||||||||||
Ratio of net investment income (loss) | ||||||||||||||||||||||||
to average net assets (before waivers) | (0.15 | %)(3) | (0.10 | %) | 0.07 | % | 0.28 | % | 0.54 | % | 0.14 | % | ||||||||||||
Portfolio turnover rate(4) | 49.6 | %(2) | 72.2 | % | 63.9 | % | 28.6 | % | 23.2 | % | 24.8 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 27
Baird Funds, Inc.
Financial Highlights |
Baird LargeCap Fund – Investor Class | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2008 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.29 | $ | 8.50 | $ | 8.29 | $ | 8.09 | $ | 7.75 | $ | 6.40 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.01 | 0.00 | (1) | 0.01 | 0.02 | (2) | 0.04 | (2) | 0.01 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.69 | ) | 0.79 | 0.21 | 0.23 | 0.35 | 1.35 | |||||||||||||||||
Total from investment operations | (0.68 | ) | 0.79 | 0.22 | 0.25 | 0.39 | 1.36 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | — | — | (0.01 | ) | (0.05 | ) | (0.05 | ) | (0.01 | ) | ||||||||||||||
Net asset value, end of period | $ | 8.61 | $ | 9.29 | $ | 8.50 | $ | 8.29 | $ | 8.09 | $ | 7.75 | ||||||||||||
Total return | (7.32 | %)(3) | 9.29 | % | 2.64 | % | 3.15 | % | 5.00 | % | 21.20 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, end of period | $ | 685,421 | $ | 740,779 | $ | 1,087,948 | $ | 2,400,525 | $ | 1,900,053 | $ | 634,160 | ||||||||||||
Ratio of expenses to average net assets | 1.00 | %(4) | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||||
Ratio of expenses to average | ||||||||||||||||||||||||
net assets (before waivers) | 1.44 | %(4) | 1.35 | % | 1.37 | % | 1.18 | % | 1.18 | % | 1.20 | % | ||||||||||||
Ratio of net investment income | ||||||||||||||||||||||||
to average net assets | 0.04 | %(4) | 0.00 | % | 0.19 | % | 0.21 | % | 0.47 | % | 0.09 | % | ||||||||||||
Ratio of net investment income (loss) | ||||||||||||||||||||||||
to average net assets (before waivers) | (0.40 | %)(4) | (0.35 | %) | (0.18 | %) | 0.03 | % | 0.29 | % | (0.11 | %) | ||||||||||||
Portfolio turnover rate(5) | 49.6 | %(3) | 72.2 | % | 63.9 | % | 28.6 | % | 23.2 | % | 24.8 | % |
(1) | Amount is less than $0.01. |
(2) | Calculated using average shares outstanding during the period. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 28
Baird Funds, Inc.
Financial Highlights |
Baird MidCap Fund – Institutional Class | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2008 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.62 | $ | 9.33 | $ | 11.12 | $ | 10.91 | $ | 9.72 | $ | 7.66 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.00 | (1) | (0.01 | )(2) | (0.02 | )(2) | (0.02 | )(2) | (0.04 | )(2) | (0.07 | ) | ||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (1.27 | ) | 1.99 | 0.46 | 0.63 | 1.25 | 2.13 | |||||||||||||||||
Total from investment operations | (1.27 | ) | 1.98 | 0.44 | 0.61 | 1.21 | 2.06 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net realized gains | — | (1.69 | ) | (2.23 | ) | (0.40 | ) | (0.02 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 8.35 | $ | 9.62 | $ | 9.33 | $ | 11.12 | $ | 10.91 | $ | 9.72 | ||||||||||||
Total return | (13.20 | %)(3) | 20.89 | % | 3.93 | % | 5.56 | % | 12.44 | % | 26.89 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, end of period | $ | 26,776,444 | $ | 36,616,547 | $ | 32,057,214 | $ | 85,670,669 | $ | 86,476,869 | $ | 28,629,656 | ||||||||||||
Ratio of expenses to average net assets | 0.85 | %(4) | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | 1.20 | % | ||||||||||||
Ratio of expenses to average | ||||||||||||||||||||||||
net assets (before waivers) | 1.20 | %(4) | 1.11 | % | 1.01 | % | 0.98 | % | 1.05 | % | 1.20 | % | ||||||||||||
Ratio of net investment income (loss) | ||||||||||||||||||||||||
to average net assets | 0.03 | %(4) | (0.06 | %) | (0.17 | %) | (0.21 | %) | (0.43 | %) | (0.81 | %) | ||||||||||||
Ratio of net investment loss | ||||||||||||||||||||||||
to average net assets (before waivers) | (0.32 | %)(4) | (0.32 | %) | (0.33 | %) | (0.34 | %) | (0.63 | %) | (0.81 | %) | ||||||||||||
Portfolio turnover rate(5) | 73.7 | %(3) | 72.3 | % | 78.6 | % | 77.4 | % | 77.9 | % | 81.8 | % |
(1) | Amount is less than $0.01. |
(2) | Calculated using average shares outstanding during the period. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 29
Baird Funds, Inc.
Financial Highlights |
Baird MidCap Fund – Investor Class | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2008 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.40 | $ | 9.17 | $ | 10.99 | $ | 10.82 | $ | 9.65 | $ | 7.63 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment loss | (0.00 | )(1) | (0.04 | )(2) | (0.04 | )(2) | (0.05 | )(2) | (0.07 | )(2) | (0.09 | ) | ||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (1.25 | ) | 1.96 | 0.45 | 0.62 | 1.26 | 2.11 | |||||||||||||||||
Total from investment operations | (1.25 | ) | 1.92 | 0.41 | 0.57 | 1.19 | 2.02 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net realized gains | — | (1.69 | ) | (2.23 | ) | (0.40 | ) | (0.02 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 8.15 | $ | 9.40 | $ | 9.17 | $ | 10.99 | $ | 10.82 | $ | 9.65 | ||||||||||||
Total return | (13.30 | %)(3) | 20.61 | % | 3.73 | % | 5.24 | % | 12.32 | % | 26.47 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, end of period | $ | 3,993,802 | $ | 4,783,844 | $ | 5,023,621 | $ | 4,506,947 | $ | 3,944,857 | $ | 959,209 | ||||||||||||
Ratio of expenses to average net assets | 1.10 | %(4) | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | 1.45 | % | ||||||||||||
Ratio of expenses to average | ||||||||||||||||||||||||
net assets (before waivers) | 1.45 | %(4) | 1.36 | % | 1.26 | % | 1.23 | % | 1.30 | % | 1.45 | % | ||||||||||||
Ratio of net investment loss | ||||||||||||||||||||||||
to average net assets | (0.22 | %)(4) | (0.31 | %) | (0.42 | %) | (0.46 | %) | (0.68 | %) | (1.06 | %) | ||||||||||||
Ratio of net investment loss | ||||||||||||||||||||||||
to average net assets (before waivers) | (0.57 | %)(4) | (0.57 | %) | (0.58 | %) | (0.59 | %) | (0.88 | %) | (1.06 | %) | ||||||||||||
Portfolio turnover rate(5) | 73.7 | %(3) | 72.3 | % | 78.6 | % | 77.4 | % | 77.9 | % | 81.8 | % |
(1) | Amount is less than ($0.01). |
(2) | Calculated using average shares outstanding during the period. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 30
Baird Funds, Inc.
Financial Highlights |
Baird SmallCap Fund – Institutional Class | ||||||||||||||||||||
Six Months | ||||||||||||||||||||
Ended | June 30, 2004(1) | |||||||||||||||||||
June 30, 2008 | Year Ended December 31, | through | ||||||||||||||||||
(Unaudited) | 2007 | 2006 | 2005 | December 31, 2004 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 9.94 | $ | 12.03 | $ | 11.20 | $ | 10.84 | $ | 10.00 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment loss(2) | (0.02 | ) | (0.05 | ) | (0.05 | ) | (0.06 | ) | (0.03 | ) | ||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (1.38 | ) | (0.28 | ) | 0.96 | 0.42 | 0.87 | |||||||||||||
Total from investment operations | (1.40 | ) | (0.33 | ) | 0.91 | 0.36 | 0.84 | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net realized gains | — | (1.76 | ) | (0.08 | ) | — | — | |||||||||||||
Net asset value, end of period | $ | 8.54 | $ | 9.94 | $ | 12.03 | $ | 11.20 | $ | 10.84 | ||||||||||
Total return | (14.17 | %)(3) | (3.18 | %) | 8.13 | % | 3.32 | % | 8.40 | %(3) | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of period | $ | 18,863,988 | $ | 26,599,596 | $ | 64,008,514 | $ | 45,010,093 | $ | 17,331,262 | ||||||||||
Ratio of expenses to average net assets | 0.95 | %(4) | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | %(4) | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 1.67 | %(4) | 1.32 | % | 1.23 | % | 1.31 | % | 1.89 | %(4) | ||||||||||
Ratio of net investment loss | ||||||||||||||||||||
to average net assets | (0.38 | %)(4) | (0.34 | %) | (0.46 | %) | (0.57 | %) | (0.65 | %)(4) | ||||||||||
Ratio of net investment loss | ||||||||||||||||||||
to average net assets (before waivers) | (1.10 | %)(4) | (0.71 | %) | (0.74 | %) | (0.93 | %) | (1.59 | %)(4) | ||||||||||
Portfolio turnover rate(5) | 92.5 | %(3) | 92.9 | % | 52.8 | % | 56.4 | % | 34.7 | %(3) |
(1) | Commencement of operations. |
(2) | Calculated using average shares outstanding during the period. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 31
Baird Funds, Inc.
Financial Highlights |
Baird SmallCap Fund – Investor Class | ||||||||||||||||||||
Six Months | ||||||||||||||||||||
Ended | June 30, 2004(1) | |||||||||||||||||||
June 30, 2008 | Year Ended December 31, | through | ||||||||||||||||||
(Unaudited) | 2007 | 2006 | 2005 | December 31, 2004 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 9.87 | $ | 11.96 | $ | 11.16 | $ | 10.83 | $ | 10.00 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment loss(2) | (0.02 | ) | (0.06 | ) | (0.08 | ) | (0.09 | ) | (0.05 | ) | ||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (1.38 | ) | (0.27 | ) | 0.96 | 0.42 | 0.88 | |||||||||||||
Total from investment operations | (1.40 | ) | (0.33 | ) | 0.88 | 0.33 | 0.83 | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net realized gains | — | (1.76 | ) | (0.08 | ) | — | — | |||||||||||||
Net asset value, end of period | $ | 8.47 | $ | 9.87 | $ | 11.96 | $ | 11.16 | $ | 10.83 | ||||||||||
Total return | (14.27 | %)(3) | 1.50 | % | 7.89 | % | 3.05 | % | 8.30 | %(3) | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of period | $ | 221,084 | $ | 332,407 | $ | 7,703,660 | $ | 2,363,567 | $ | 68,184 | ||||||||||
Ratio of expenses to average net assets | 1.20 | %(4) | 1.20 | % | 1.20 | % | 1.20 | % | 1.20 | %(4) | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 1.92 | %(4) | 1.54 | % | 1.48 | % | 1.56 | % | 2.14 | %(4) | ||||||||||
Ratio of net investment loss | ||||||||||||||||||||
to average net assets | (0.63 | %)(4) | (0.53 | %) | (0.71 | %) | (0.82 | %) | (0.90 | %)(4) | ||||||||||
Ratio of net investment loss | ||||||||||||||||||||
to average net assets (before waivers) | (1.35 | %)(4) | (0.87 | %) | (0.99 | %) | (1.18 | %) | (1.84 | %)(4) | ||||||||||
Portfolio turnover rate(5) | 92.5 | %(3) | 47.8 | % | 52.8 | % | 56.4 | % | 34.7 | %(3) |
(1) | Commencement of operations. |
(2) | Calculated using average shares outstanding during the period. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 32
Baird Funds, Inc.
Notes to the Financial Statements June 30, 2008 (Unaudited) |
1. | ORGANIZATION |
Baird Funds, Inc. (the “Corporation”) was incorporated on June 9, 2000 as a Wisconsin corporation and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The accompanying financial statements include the Baird LargeCap Fund, the Baird MidCap Fund and the Baird SmallCap Fund (each a “Fund” and collectively the “Funds”), three of the eight portfolios comprising the Corporation. Pursuant to the 1940 Act, the Funds are “diversified” series of the Corporation. The investment advisor to the Funds is Robert W. Baird & Co. Incorporated (“Baird” or the “Advisor”).
The Baird LargeCap Fund commenced operations with the sale of both Institutional and Investor Class Shares on September 29, 2000. The Baird MidCap Fund commenced operations with the sale of both Institutional and Investor Class Shares on December 29, 2000. The Baird SmallCap Fund commenced operations with the sale of both Institutional and Investor Class Shares on June 30, 2004. The Institutional Class Shares are not subject to a distribution and service (12b-1) fee, while the Investor Class Shares are subject to a distribution and service (12b-1) fee up to 0.25%.
The Baird LargeCap Fund seeks long-term growth of capital through investments in equity securities of large-capitalization companies. Dividend income is a secondary consideration.
The Baird MidCap Fund seeks long-term growth of capital through investments in equity securities of mid-capitalization companies.
The Baird SmallCap Fund seeks long-term growth of capital through investments in equity securities of small-capitalization companies.
On June 30, 2008, one shareholder related to the Advisor held 50% of the Baird LargeCap Fund, 24% of the Baird MidCap Fund, and 52% of the Baird SmallCap Fund.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America.
a) | Investment Valuation – Common stocks that are listed on a securities exchange (other than NASDAQ) are valued at the last quoted sales price. Securities traded on NASDAQ are valued at the NASDAQ Official Closing Price. Price information on listed stocks is taken from the exchange where the security is primarily traded. Securities that were not traded on the valuation date, as well as stocks that are not listed on an exchange, including NASDAQ, are valued at the average of the current bid and asked price. Debt securities are valued by an independent pricing service using valuation methods that approximate market values, such as matrix pricing and other analytical pricing models, market transactions and dealer quotations. Debt securities purchased with a remaining maturity of 60 days or less are valued at acquisition cost plus or minus any amortized discount or premium. Investments in mutual funds are valued at their stated net asset value. Other assets and securities for which no quotations are readily available are valued at fair value |
Page 33
Notes to the Financial Statements June 30, 2008 (Unaudited) |
2. | SIGNIFICANT ACCOUNTING POLICIES (cont.) |
as determined in good faith by the Advisor in accordance with procedures approved by the Corporation’s Board of Directors. In accordance with such procedures, the Advisor may use broker quotes or, if the broker quotes are unavailable or deemed to be unreliable, fair value will be determined by a valuation committee of the Advisor. In determining fair value, the valuation committee takes into account all relevant factors and available information. Consequently, the price of the security used by a Fund to calculate its NAV may differ from quoted or published prices for the same security. Fair value pricing involves subjective judgments and there is no single standard for determining a security’s fair value. As a result, different mutual funds could reasonably arrive at a different fair value for the same security. It is possible that the fair value determined for a security is materially different from the value that could be realized upon the sale of that security or from the values that other mutual funds may determine. | |
In September 2006, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (“SFAS”) No. 157, “Fair Value Measurements.” SFAS No. 157 defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and expands disclosure about fair value measurements. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007. Management has determined that SFAS No. 157 had no material impact on the Funds’ financial statements. | |
In March 2008, Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“SFAS 161”) was issued and is effective for fiscal years beginning after November 15, 2008. SFAS 161 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position. Management is currently evaluating the implications of SFAS 161, but does not believe it will have any impact on the Funds’ financial statement disclosures because the Funds do not maintain any positions in derivative instruments or engage in hedging activities. | |
b) | Foreign Securities – Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and the U.S. government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. government. Occasionally, events that affect those values and exchange rates may occur after the close of the exchange on which such securities are traded. If such events materially affect the value of a Fund’s securities, these securities may be valued at their fair value pursuant to procedures adopted by the Board of Directors. All the foreign securities owned by the Funds as of December 31, 2007 are traded on the New York Stock Exchange or NASDAQ. |
c) | Federal Income Taxes – The Funds intend to continue to qualify as regulated investment companies as provided in subchapter M of the Internal Revenue Code and to distribute substantially all of their taxable income to their shareholders in a manner which results in no tax cost to the Funds. Therefore, no federal income or excise tax provision is recorded. |
Effective June 29, 2007, the Funds adopted Financial Accounting Standards Board (FASB) Interpretation No. 48 (FIN 48),“Accounting for Uncertainty in Income Taxes,” a clarification of FASB Statement No. 109, “Accounting for Income Taxes.” FIN 48 establishes financial reporting rules regarding recognition and measurement of tax positions |
Page 34
Notes to the Financial Statements June 30, 2008 (Unaudited) |
2. | SIGNIFICANT ACCOUNTING POLICIES (cont.) |
taken or expected to be taken on a tax return. Management has determined that FIN 48 had no material impact on the Funds’ financial statements. | |
d) | Distributions to Shareholders – Dividends from net investment income, if any, are declared and paid annually. Distributions of net realized gains, if any, are declared and paid at least annually. |
e) | Allocation of Income and Expenses – Each Fund is charged for those expenses directly attributable to it. Expenses directly attributable to a class of shares, such as Rule 12b-1 distribution fees, are charged to that class of shares. Income, expenses, and realized and unrealized gains and losses are allocated to the classes based on their respective net assets. Expenses that are not directly attributable to a Fund are allocated among the Funds in the series in proportion to their assets. |
f) | Use of Estimates – The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. |
g) | Other – Investment and shareholder transactions are recorded on trade date. The Funds determine the gain or loss realized from investment transactions by comparing the original cost of the security lot sold with the net sales proceeds. Dividend income is recognized on the ex-dividend date and interest income is recognized on an accrual basis. Accounting principles generally accepted in the United States require that permanent financial reporting and tax differences be reclassified in the capital accounts. |
h) | Guarantees and Indemnifications – In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown and this would involve future claims against the Funds that have not yet occurred. Based on experience, the Funds would expect the risk of loss to be remote. |
3. | CAPITAL SHARE TRANSACTIONS |
The following table summarizes the capital share transactions of each Fund for the past two fiscal periods:
BAIRD LARGECAP FUND
Six Months Ended | Six Months Ended | ||||||||||||||||
June 30, 2008 | June 30, 2008 | ||||||||||||||||
Institutional Class Shares | Shares | Amount | Investor Class Shares | Shares | Amount | ||||||||||||
Shares sold | 145,667 | $ | 1,281,958 | Shares sold | 2,448 | $ | 22,275 | ||||||||||
Shares redeemed | (177,749 | ) | (1,567,135 | ) | Shares redeemed | (2,586 | ) | (22,907 | ) | ||||||||
Net decrease | (32,082 | ) | $ | (285,177 | ) | Net decrease | (138 | ) | $ | (632 | ) | ||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | 2,963,382 | Beginning of period | 79,724 | ||||||||||||||
End of period | 2,931,300 | End of period | 79,586 |
Page 35
Notes to the Financial Statements June 30, 2008 (Unaudited) |
3. | CAPITAL SHARE TRANSACTIONS (cont.) |
Year Ended | Year Ended | ||||||||||||||||
December 31, 2007 | December 31, 2007 | ||||||||||||||||
Institutional Class Shares | Shares | Amount | Investor Class Shares | Shares | Amount | ||||||||||||
Shares sold | 688,671 | $ | 6,011,411 | Shares sold | 16,768 | $ | 153,229 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of dividends | 6,609 | 62,978 | reinvestment of dividends | — | — | ||||||||||||
Shares redeemed | (948,994 | ) | (8,396,303 | ) | Shares redeemed | (65,062 | ) | (589,840 | ) | ||||||||
Net decrease | (253,714 | ) | $ | (2,321,914 | ) | Net decrease | (48,294 | ) | $ | (436,611 | ) | ||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | 3,217,096 | Beginning of period | 128,018 | ||||||||||||||
End of period | 2,963,382 | End of period | 79,724 | ||||||||||||||
BAIRD MIDCAP FUND | |||||||||||||||||
Six Months Ended | Six Months Ended | ||||||||||||||||
June 30, 2008 | June 30, 2008 | ||||||||||||||||
Institutional Class Shares | Shares | Amount | Investor Class Shares | Shares | Amount | ||||||||||||
Shares sold | 153,464 | $ | 1,319,795 | Shares sold | 17,296 | $ | 145,965 | ||||||||||
Shares redeemed | (751,834 | ) | (6,374,258 | ) | Shares redeemed | (35,984 | ) | (305,136 | ) | ||||||||
Net decrease | (598,370 | ) | $ | (5,054,463 | ) | Net decrease | (18,688 | ) | $ | (159,171 | ) | ||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | 3,805,128 | Beginning of period | 508,873 | ||||||||||||||
End of period | 3,206,758 | End of period | 490,185 |
Page 36
Notes to the Financial Statements June 30, 2008 (Unaudited) |
3. | CAPITAL SHARE TRANSACTIONS (cont.) |
Year Ended | Year Ended | ||||||||||||||||
December 31, 2007 | December 31, 2007 | ||||||||||||||||
Institutional Class Shares | Shares | Amount | Investor Class Shares | Shares | Amount | ||||||||||||
Shares sold | 489,977 | $ | 4,956,364 | Shares sold | 541,128 | $ | 5,301,707 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of | reinvestment of | ||||||||||||||||
distributions | 552,386 | 5,413,386 | dividends | 45,594 | 436,338 | ||||||||||||
Shares redeemed | (673,826 | ) | (6,830,431 | ) | Shares redeemed | (625,959 | ) | (6,379,302 | ) | ||||||||
Net increase | 368,537 | $ | 3,539,319 | Net decrease | (39,237 | ) | $ | (641,257 | ) | ||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | 3,436,591 | Beginning of period | 548,110 | ||||||||||||||
End of period | 3,805,128 | End of period | 508,873 | ||||||||||||||
BAIRD SMALLCAP FUND | |||||||||||||||||
Six Months Ended | Six Months Ended | ||||||||||||||||
June 30, 2008 | June 30, 2008 | ||||||||||||||||
Institutional Class Shares | Shares | Amount | Investor Class Shares | Shares | Amount | ||||||||||||
Shares sold | 133,007 | $ | 1,189,086 | Shares sold | — | $ | — | ||||||||||
Shares redeemed | (599,944 | ) | (5,314,476 | ) | Shares redeemed | — | — | ||||||||||
Net decrease | (466,937 | ) | $ | (4,125,390 | ) | Net activity | — | $ | — | ||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | 2,674,982 | Beginning of period | 26,092 | ||||||||||||||
End of period | 2,208,045 | End of period | 26,092 |
Page 37
Notes to the Financial Statements June 30, 2008 (Unaudited) |
3. | CAPITAL SHARE TRANSACTIONS (cont.) |
Year Ended | Year Ended | ||||||||||||||||
December 31, 2007 | December 31, 2007 | ||||||||||||||||
Institutional Class Shares | Shares | Amount | Investor Class Shares | Shares | Amount | ||||||||||||
Shares sold | 706,785 | $ | 8,361,658 | Shares sold | 135,581 | $ | 1,597,169 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment | reinvestment of | ||||||||||||||||
of distributions | 362,943 | 3,738,313 | dividends | 3,809 | 38,969 | ||||||||||||
Shares redeemed | (3,714,283 | ) | (44,019,889 | ) | Shares redeemed | (757,636 | ) | (8,987,079 | ) | ||||||||
Net decrease | (2,644,555 | ) | $ | (31,919,918 | ) | Net decrease | (618,246 | ) | $ | (7,350,941 | ) | ||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | 5,319,537 | Beginning of period | 644,338 | ||||||||||||||
End of period | 2,674,982 | End of period | 26,092 |
4. | INVESTMENT TRANSACTIONS AND INCOME TAX INFORMATION |
During the six months ended June 30, 2008, purchases and sales of investment securities (excluding short-term investments) were as follows:
Baird | Baird | Baird | |
LargeCap Fund | MidCap Fund | SmallCap Fund | |
Purchases: | $4,858,491 | $12,052,880 | $10,020,499 |
Sales: | $4,101,663 | $17,872,953 | $13,677,259 |
At December 31, 2007, accumulated earnings/losses on a tax basis were as follows:
LargeCap | MidCap | SmallCap | ||||||||||
Fund | Fund | Fund | ||||||||||
Cost of Investments | $ | 34,426,448 | $ | 48,475,275 | $ | 25,998,394 | ||||||
Gross unrealized appreciation | $ | 5,217,270 | $ | 10,052,205 | $ | 3,491,802 | ||||||
Gross unrealized depreciation | (685,990 | ) | (1,848,669 | ) | (3,008,976 | ) | ||||||
Net unrealized appreciation | $ | 4,531,280 | $ | 8,203,536 | $ | 482,826 | ||||||
Undistributed ordinary income | $ | 6,245 | $ | — | $ | 31,259 | ||||||
Undistributed long-term capital gain | — | — | 782,360 | |||||||||
Total distributable earnings | $ | 6,245 | $ | — | $ | 813,619 | ||||||
Other accumulated losses | $ | (1,382,881 | ) | $ | (143,280 | ) | $ | — | ||||
Total accumulated earnings | $ | 3,154,644 | $ | 8,060,256 | $ | 1,296,445 |
Page 38
Notes to the Financial Statements June 30, 2008 (Unaudited) |
4. | INVESTMENT TRANSACTIONS AND INCOME TAX INFORMATION (cont.) |
Undistributed income or net realized gains for financial statement purposes may differ from amounts recognized for federal income tax purposes due to differences in the recognition and characterization of income, expense and capital gain items.
Under the current tax law, capital losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. For the year ended December 31, 2007, the Baird MidCap Fund elected to defer capital losses occurring between November 1, 2007 and December 31, 2007 in the amount of $143,280.
At December 31, 2007, the Baird LargeCap Fund had accumulated net realized capital loss carryovers of $1,167,011 that expire in 2012 and $215,870 that expire in 2011. To the extent the Funds realize future net capital gains, taxable distributions to shareholders will be offset by any unused capital loss carryovers. During the year ended December 31, 2007, the Baird LargeCap Fund utilized $1,318,603 in capital loss carryovers from previous years.
During the six months ended June 30, 2008, the Funds have not made any capital gain distributions or income dividends.
During the year ended December 31, 2007, the Funds paid the following dividends:
Ordinary Income Dividends | Net Long-Term Capital Gains | |||||||
Baird LargeCap Fund | $ | 63,676 | — | |||||
Baird MidCap Fund | 970,880 | $ | 4,947,701 | |||||
Baird SmallCap Fund | 221,455 | 3,910,055 |
5. | INVESTMENT ADVISORY AND OTHER AGREEMENTS |
The Funds have entered into an Investment Advisory Agreement with Baird for the provision of investment advisory services. Pursuant to the Investment Advisory Agreement, the Advisor is entitled to receive a fee, calculated daily and payable monthly, at the annual rate of 0.65% for the Baird LargeCap Fund, 0.75% for the Baird MidCap Fund and 0.85% for the Baird SmallCap Fund as applied to the respective Fund’s average daily net assets. Certain officers of the Advisor are also officers of the Funds.
For the year ended December 31, 2008 and through April 30, 2009, the Advisor has contractually agreed to waive its investment advisory fee and/or reimburse the Funds’ operating expenses (exclusive of brokerage, taxes, and extraordinary expenses) to the extent necessary to ensure that each Fund’s annual operating expenses do not exceed the following percentages of average daily net assets:
Institutional Class Shares | Investor Class Shares | |
Baird LargeCap Fund | 0.75% | 1.00% |
Baird MidCap Fund | 0.85% | 1.10% |
Baird SmallCap Fund | 0.95% | 1.20% |
Page 39
Notes to the Financial Statements June 30, 2008 (Unaudited) |
5. | INVESTMENT ADVISORY AND OTHER AGREEMENTS (cont.) |
To the extent that the Advisor reimburses or absorbs fees and expenses, it may seek payment of such amounts for three years after the year in which expenses were reimbursed or absorbed. A Fund will make no such payment, however, if its total annual operating expenses exceed the expense limits in effect at the time the expenses were reimbursed or at the time these payments are proposed.
Six Months Ended | Fiscal Period Ended December 31, | |||
June 30, | ||||
2008 | 2007 | 2006 | 2005 | |
Reimbursed / Absorbed Expenses Subject | ||||
to Recovery by Advisor Until: | 2011 | 2010 | 2009 | 2008 |
Baird LargeCap Fund | $58,371 | $100,379 | $98,794 | $109,024 |
Baird MidCap Fund | $59,943 | $103,600 | $117,213 | $129,774 |
Baird SmallCap Fund | $78,222 | $157,169 | $168,361 | $104,335 |
U.S. Bancorp Fund Services, LLC serves as transfer agent, administrator, and accounting services agent for the Funds. U.S. Bank, N.A. serves as custodian for the Funds.
Robert W. Baird & Co. Incorporated (the “Distributor”) is the sole distributor of the Funds pursuant to a distribution agreement.
No commissions were earned by the Distributor for services rendered as a registered broker-dealer in securities transactions for the Baird LargeCap Fund, Baird MidCap Fund and Baird SmallCap Fund for the six months ended June 30, 2008.
6. | SECURITIES LENDING |
Each Fund may lend up to one-third of its total assets (including such loans) to borrowers under terms of participation in a securities lending program administered by U.S. Bancorp Asset Management, an affiliate of the Funds’ custodian, transfer agent and administrator. The securities lending agreement requires that loans are collateralized at all times in an amount equal to at least 102% of the market value of any loaned securities at the time of the loan, plus accrued interest.
The Funds receive compensation in the form of fees and earn interest on the cash collateral. The amount of fees depends on a number of factors including the type of security, length of the loan and credit standing of the borrower. Each Fund continues to receive interest payments or dividends on the securities loaned during the borrowing period. Each Fund has the right under the terms of the securities lending agreement to recover the securities from the borrower on demand.
As of June 30, 2008, the Baird LargeCap and Baird MidCap Funds had loaned securities that were collateralized by cash equivalents. The cash collateral is invested by the custodian in accordance with approved investment guidelines. Those guidelines require the cash collateral to be invested in readily marketable, high quality, short-term obligations; however, such investments are subject to risk of payment delays or default on the part of the issuer or counterparty or otherwise may not generate sufficient interest to support the costs associated with securities lending. A Fund could also experience delays in recovering its securities and possible loss of income or value if the borrower fails to return the borrowed securities, although this risk is mitigated by the collateral and by contract with the securities lending agent.
Page 40
Baird Funds, Inc.
Notes to the Financial Statements June 30, 2008 (Unaudited) |
6. | SECURITIES LENDING (cont.) |
As of June 30, 2008, the market value of the securities on loan and payable on collateral due to broker were as follows:
Market Value of | Payable on Collateral | |||||||
Securities on Loan | due to Broker | |||||||
Baird LargeCap Fund | $ | 10,509,589 | $ | 10,909,648 | ||||
Baird MidCap Fund | 10,828,609 | 11,312,344 | ||||||
Baird SmallCap Fund | — | — |
The Funds receive cash as collateral in return for securities lent as part of a securities lending program. The collateral is invested in short-term securities including repurchase agreements, commercial paper, master notes and money market funds. The schedules of investments for the Funds include the particular cash collateral holdings as of June 30, 2008. Interest income earned on collateral investments during the six months ended June 30, 2008 for Baird LargeCap Fund and Baird MidCap Fund were $10,816 and $18,722. The Baird SmallCap Fund did not participate in the securities lending program during the period.
7. | LINE OF CREDIT |
The Corporation maintains an uncommitted, senior secured line of credit (“LOC”) with U.S. Bank, N.A. (the “Bank”) to provide the Funds a temporary liquidity source to meet unanticipated redemptions. Under the terms of the LOC, borrowings for each Fund are limited to one-third of the total assets (including the amount borrowed) of the respective Fund, or as otherwise indicated within the Funds’ agreement with the Bank. The Bank charges interest at the Bank’s Prime Rate less 1% (weighted average rate of 4.75% for the six months of 2008). For the six months ended June 30, 2008, the Baird MidCap Fund incurred $97 in interest charges on an average daily loan balance of $3,077. The Baird LargeCap Fund and Baird SmallCap Fund did not borrow on the LOC during the period.
8. | DISTRIBUTION AND SHAREHOLDER SERVICE PLAN |
The Funds have adopted a distribution and shareholder service plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. The Plan allows the Funds to compensate the Distributor for the costs incurred in distributing the Funds’ Investor Class Shares, including amounts paid to brokers or dealers, at an annual rate not to exceed 0.25% of the average daily net assets of the Funds’ Investor Class Shares. The Baird LargeCap Fund, Baird MidCap Fund and Baird SmallCap Fund incurred $859, $5,214 and $286, respectively, in fees pursuant to the Plan during the six months ended June 30, 2008.
Page 41
Additional Information
Proxy Voting
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll free, 1-866-44BAIRD, or by accessing the Funds’ website at www.bairdfunds.com; and by accessing the SEC’s website at www.sec.gov.
Each Fund’s proxy voting record for the most recent 12-month period ended June 30 is available without charge, upon request, by calling toll free, 1-866-44BAIRD, or by accessing the Funds’ website at www.bairdfunds.com; and by accessing the SEC’s website at www.sec.gov.
Portfolio Holdings Disclosure
The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-732-0330. The Funds’ Forms N-Q may also be obtained by calling toll-free 1-866-44BAIRD.
Page 42
(This Page Intentionally Left Blank.)
Baird Funds, Inc.
c/o U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201-0701
1-866-44BAIRD
Board of Directors
G. Frederick Kasten, Jr. (Chairman)
John W. Feldt
Frederick P. Stratton, Jr.
Cory L. Nettles
Marlyn J. Spear
Investment Advisor and Distributor
Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
615 East Michigan Street
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 N. RiverCenter Drive, Suite 302
Milwaukee, WI 53212
Legal Counsel
Godfrey & Kahn, S.C.
780 North Water Street
Milwaukee, WI 53202
Independent Registered Public Accounting Firm
Grant Thornton LLP
175 West Jackson Boulevard, 13th Floor
Chicago, IL 60604
Item 2. Code of Ethics.
Not applicable - only required for annual reports on Form N-CSR.
Item 3. Audit Committee Financial Expert.
Not applicable - only required for annual reports on Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Not applicable - only required for annual reports on Form N-CSR.
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
Item 6. Schedule of Investments.
The Schedules of Investments are included as part of the semi-annual reports to shareholders filed under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable because the Registrant is not a closed-end management investment company.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable because the Registrant is not a closed-end management investment company.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable because the Registrant is not a closed-end management investment company.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s board of directors.
Item 11. Controls and Procedures.
(a) | The Registrant’s management, with the participation of its principal executive and principal financial officers, has evaluated the effectiveness of the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)), as of a date within 90 days prior to the filing date of this Form N-CSR. Based on such evaluation, the Registrant's principal executive and principal financial officers have concluded that the design and operation of the Registrant's disclosure controls and procedures are effective in providing reasonable assurance that the information required to be disclosed on Form N-CSR is recorded, processed, summarized and reported within the applicable time period. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
Item 12. Exhibits.
(a) | (1) Any code of ethics or amendment thereto, that is subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable. |
(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable because the Registrant is not a closed-end management investment company.
(b) | Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
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.
BAIRD FUNDS, INC.
By: /s/Mary Ellen Stanek
Mary Ellen Stanek, President
Date: September 4, 2008
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: /s/Mary Ellen Stanek
Mary Ellen Stanek, President
Date: September 4, 2008
By: /s/Leonard M. Rush
Leonard M. Rush, Treasurer
Date: September 8, 2008