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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4815
Ultra Series Fund
(Exact name of registrant as specified in charter)
550 Science Drive, Madison, WI 53711
(Address of principal executive offices)(Zip code)
Pamela M. Krill
Madison/MEMBERS/Mosaic Legal and Compliance Department
550 Science Drive
Madison, WI 53711
(Name and address of agent for service)
Registrant's telephone number, including area code: 608-274-0300
Date of fiscal year end: December 31
Date of reporting period: June 30, 2010
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspoection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. s 3507.
SEMI-ANNUAL REPORT
(Unaudited)
June 30, 2010
Ultra Series Fund
Ultra Series Fund | June 30, 2010
Table of Contents
Page | |
Review of Period | |
Ultra Series Fund Performance | 2 |
Economic Overview | 6 |
Conservative Allocation Fund | 7 |
Moderate Allocation Fund | 8 |
Aggressive Allocation Fund | 9 |
Money Market Fund | 11 |
Bond Fund | 11 |
High Income Fund | 12 |
Diversified Income Fund | 13 |
Equity Income Fund | 15 |
Large Cap Value Fund | 16 |
Large Cap Growth Fund | 17 |
Mid Cap Fund | 19 |
Small Cap Fund | 20 |
International Stock Fund | 22 |
Target Retirement 2020 Fund | 23 |
Target Retirement 2030 Fund | 25 |
Target Retirement 2040 Fund | 26 |
Benchmark Descriptions | 27 |
Portfolios of Investments | |
Conservative Allocation Fund | 29 |
Moderate Allocation Fund | 30 |
Aggressive Allocation Fund | 31 |
Money Market Fund | 32 |
Bond Fund | 33 |
High Income Fund | 36 |
Diversified Income Fund | 40 |
Equity Income Fund | 44 |
Large Cap Value Fund | 46 |
Large Cap Growth Fund | 47 |
Mid Cap Fund | 48 |
Small Cap Fund | 50 |
International Stock Fund | 52 |
Target Retirement 2020 Fund | 54 |
Target Retirement 2030 Fund | 55 |
Target Retirement 2040 Fund | 56 |
Financial Statements | |
Statements of Assets and Liabilities | 57 |
Statements of Operations | 60 |
Statements of Changes in Net Assets | 63 |
Financial Highlights | 69 |
Notes to Financial Statements | 85 |
Other Information | 99 |
Nondeposit investment products are not federally insured, involve investment risk, may lose value and are not obligations of or guaranteed by any financial institution. For more complete information about Ultra Series Fund, including charges and expenses, request a prospectus from your financial advisor or from CUNA Mutual Insurance Society, 2000 Heritage Way, Waverly, IA 50677. Consider the investment objectives, risks, and charges and expenses of any fund carefully before investing. The prospectus contains this and other information about the investment company. For more current Ultra Series Fund performance information, please call 1-800-670-3600. Current performance may be lower or higher than the performance data quoted within. Past performance does not guarantee future results. Nothing in this report represents a recommendation of a security by the investment adviser. Portfolio holdings may have changed since the date of this report.
ULTRA SERIES FUND PERFORMANCE | |||||||||||||||||
Average Annual Total Returns | |||||||||||||||||
Monthly as of June 30, 2010 | Quarterly as of June 30, 2010 | ||||||||||||||||
One Month | Three Months | Year-to-Date | One Year | Three Years | Five Years | Ten Years | Since Class I Inception | Since Class II Inception | Year-to- Date | One Year | Three Years | Five Years | Ten Years | Since Class I Inception | Since Class II Inception | Expense Ratio | |
FIXED INCOME FUNDS | |||||||||||||||||
Bond Fund - Class I Inception Date 1/3/1985, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | 1.33% | 3.11% | 4.86% | 8.78% | 6.52% | 4.62% | 5.44% | 6.90% | N/A | 4.86% | 8.78% | 6.52% | 4.62% | 5.44% | 6.90% | N/A | 0.57% |
Class II | 1.31% | 3.05% | 4.73% | 8.51% | N/A | N/A | N/A | N/A | 10.54% | 4.73% | 8.51% | N/A | N/A | N/A | N/A | 8.97% | 0.82% |
Bank of America Merrill Lynch US Corp. Govt. & Mtg. Index | 1.57% | 3.52% | 5.30% | 9.08% | 7.71% | 5.62% | 6.54% | 8.14% | 10.53% | 5.30% | 9.08% | 7.71% | 5.62% | 6.54% | 8.14% | 10.53% | |
High Income Fund - Class I Inception Date 10/31/2000, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | 1.18% | -0.03% | 2.78% | 17.87% | 5.40% | 6.07% | N/A | 6.58% | N/A | 2.78% | 17.87% | 5.40% | 6.07% | N/A | 6.58% | N/A | 0.77% |
Class II | 1.16% | -0.10% | 2.66% | 17.58% | N/A | N/A | N/A | N/A | 20.61% | 2.66% | 17.58% | N/A | N/A | N/A | N/A | 17.42% | 1.02% |
Bank of America Merrill Lynch US High Yield Master II Constrained | 1.30% | -0.03% | 4.71% | 27.45% | 6.75% | 7.17% | N/A | 7.77% | 40.95% | 4.71% | 27.45% | 6.75% | 7.17% | N/A | 7.77% | 40.95% | |
HYBRID FUNDS | |||||||||||||||||
Diversified Income Fund -Class I Inception Date 1/3/1985, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -0.42% | -2.21% | 1.16% | 12.16% | -0.70% | 2.44% | 2.27% | 8.05% | N/A | 1.16% | 12.16% | -0.70% | 2.44% | 2.27% | 8.05% | N/A | 0.72% |
Class II | -0.44% | -2.27% | 1.04% | 11.89% | N/A | N/A | N/A | N/A | 15.62% | 1.04% | 11.89% | N/A | N/A | N/A | N/A | 13.24% | 0.97% |
Bank of America Merrill Lynch US Corp. Govt. & Mtg. Index | 1.57% | 3.52% | 5.30% | 9.08% | 7.71% | 5.62% | 6.54% | 8.14% | 10.53% | 5.30% | 9.08% | 7.71% | 5.62% | 6.54% | 8.14% | 10.53% | |
Russell 1000¨ Index | -5.57% | -11.44% | -6.40% | 15.24% | -9.54% | -0.56% | -1.22% | 10.11% | 21.91% | -6.40% | 15.24% | -9.54% | -0.56% | -1.22% | 10.11% | 21.91% | |
Class I and II shares of the fund are offered to separate accounts of CUNA Mutual Insurance Society ("CUNA Mutual Accounts"), while Class I shares are also offered to certain of its pension plans. Investments in the fund by CUNA Mutual Accounts are made through variable annuity or variable life insurance contracts. | |||||||||||||||||
Performance data quoted represents past performance. Past performance does not guarantee future results. Fund returns are calculated after fund level expenses have been subtracted. Class II returns also include Rule12b-1 fees. However, fund returns shown do not include any separate account fees, charges, or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund. If these fees, charges or expenses were included, fund returns would have been lower. For specific charges and expenses associated with your contract, please refer to the prospectus. 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. Current performance may be lower or higher than the performance data quoted . Please call 1-800-670-3600 for performance current to the most recent month-end. This piece must be accompanied or preceded by a current prospectus. Mosaic Funds Distributor, LLC. June 30, 2010. |
Not Part of the Semi-annual Report
Ultra Series Fund Performance (continued) | Average Annual Total Returns | ||||||||||||||||
Monthly as of June 30, 2010 | Quarterly as of June 30, 2010 | ||||||||||||||||
One Month | Three Months | Year-to-Date | One Year | Three Years | Five Years | Ten Years | Since Class I Inception | Since Class II Inception | Year-to- Date | One Year | Three Years | Five Years | Ten Years | Since Class I Inception | Since Class II Inception | Expense Ratio | |
HYBRIDS FUNDS (continued) | |||||||||||||||||
Conservative Allocation Fund - Class I Inception Date 6/30/2006, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -0.22% | -1.99% | 0.22% | 11.20% | -0.82% | N/A | N/A | 1.75% | N/A | 0.22% | 11.20% | -0.82% | N/A | N/A | 1.75% | N/A | 1.01% |
Class II | -0.24% | -2.05% | 0.10% | 10.93% | N/A | N/A | N/A | N/A | 15.02% | 0.10% | 10.93% | N/A | N/A | N/A | N/A | 12.74% | 1.26% |
Bank of America Merrill Lynch US Corp. Govt. & Mtg. Index | 1.57% | 3.52% | 5.30% | 9.08% | 7.71% | N/A | N/A | 7.39% | 10.53% | 5.30% | 9.08% | 7.71% | N/A | N/A | 7.39% | 10.53% | |
Conservative Allocation Custom1 | -0.75% | -1.91% | 1.05% | 11.57% | 1.82% | N/A | N/A | 4.20% | 15.08% | 1.05% | 11.57% | 1.82% | N/A | N/A | 4.20% | 15.08% | |
Moderate Allocation Fund - Class I Inception Date 6/30/2006, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -1.67% | -5.26% | -2.58% | 11.02% | -6.30% | N/A | N/A | -1.25% | N/A | -2.58% | 11.02% | -6.30% | N/A | N/A | -1.25% | N/A | 1.13% |
Class II | -1.69% | -5.32% | -2.70% | 10.75% | N/A | N/A | N/A | N/A | 15.61% | -2.70% | 10.75% | N/A | N/A | N/A | N/A | 13.23% | 1.38% |
S&P 500 Index | -5.23% | -11.43% | -6.65% | 14.43% | -9.81% | N/A | N/A | -3.07% | 21.07% | -6.65% | 14.43% | -9.81% | N/A | N/A | -3.07% | 21.07% | |
Moderate Allocation Custom2 | -2.11% | -5.86% | -2.49% | 12.93% | -2.63% | N/A | N/A | 1.76% | 18.37% | -2.49% | 12.93% | -2.63% | N/A | N/A | 1.76% | 18.37% | |
Aggressive Allocation Fund - Class I Inception Date 6/30/2006, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -3.21% | -8.44% | -5.37% | 12.37% | -10.86% | N/A | N/A | -3.59% | N/A | -5.37% | 12.37% | -10.86% | N/A | N/A | -3.59% | N/A | 1.30% |
Class II | -3.23% | -8.50% | -5.48% | 12.10% | N/A | N/A | N/A | N/A | 18.23% | -5.48% | 12.10% | N/A | N/A | N/A | N/A | 15.43% | 1.55% |
S&P 500 Index | -5.23% | -11.43% | -6.65% | 14.43% | -9.81% | N/A | N/A | -3.07% | 21.07% | -6.65% | 14.43% | -9.81% | N/A | N/A | -3.07% | 21.07% | |
Aggressive Allocation Custom3 | -3.22% | -9.86% | -6.39% | 13.92% | -7.29% | -7.29% | -7.29% | -0.82% | 21.63% | -6.39% | 13.92% | -7.29% | -7.29% | -7.29% | -0.82% | 21.63% | |
Target Retirement 2020 Fund4 - Inception Date 10/1/2007 | |||||||||||||||||
Class I | -1.53% | -4.99% | -2.67% | 14.97% | N/A | N/A | N/A | -7.97% | -2.67% | 14.97% | N/A | N/A | N/A | -7.97% | 1.19% | ||
Dow Jones Global Target 2020 Index | -1.07% | -3.49% | -0.45% | 13.28% | N/A | N/A | N/A | -2.47% | -0.45% | 13.28% | N/A | N/A | N/A | -2.47% | |||
1Conservative Allocation Custom Index consists of 65% Bank of America Merrill Lynch U.S. Corp. Govt. & Mtg. Index, 30% Russell 1000¨ Index and 5% MSCI EAFE Index | |||||||||||||||||
2Moderate Allocation Custom Index consists of 45% Russell 3000¨ Index, 40% Bank of America Merrill Lynch U.S. Corp. Govt. & Mtg. Index and 15% MSCI EAFE Index. | |||||||||||||||||
3Aggressive Allocation Custom Index consists of 55% Russell 3000¨ Index, 15% Bank of America Merrill Lynch U.S. Corp. Govt. & Mtg. Index and 30% MSCI EAFE Index. | |||||||||||||||||
4Madison Asset Management voluntarily waived a portion of its management fee for the Target Retirement 2020 Fund, effective October 1, 2009. If the Adviser had not waived these expenses, fund returns would have been as follows: -1.55% (1 month), -5.04% (3 months), -2.77% (YTD), 14.84% (1 year), -8.10% (Since Inception). This waiver may end at any time. |
Not Part of the Semi-annual Report
Ultra Series Fund Performance (continued) | Average Annual Total Returns | ||||||||||||||||
Monthly as of June 30, 2010 | Quarterly as of June 30, 2010 | ||||||||||||||||
One Month | Three Months | Year-to-Date | One Year | Three Years | Five Years | Ten Years | Since Class I Inception | Since Class II Inception | Year-to- Date | One Year | Three Years | Five Years | Ten Years | Since Class I Inception | Since Class II Inception | Expense Ratio | |
HYBRID FUNDS (continued) | |||||||||||||||||
Target Retirement 2030 Fund5 - Inception Date 10/1/2007 | |||||||||||||||||
Class I | -2.04% | -6.27% | -3.84% | 14.86% | N/A | N/A | N/A | -9.65% | -3.84% | 14.86% | N/A | N/A | N/A | -9.65% | 1.22% | ||
Dow Jones Global Target 2030 Index | -2.69% | -6.97% | -2.77% | 15.89% | N/A | N/A | N/A | -6.04% | -2.77% | 15.89% | N/A | N/A | N/A | -6.04% | |||
Target Retirement 2040 Fund6 - Inception Date 10/1/2007 | |||||||||||||||||
Class I | -2.66% | -7.70% | -5.08% | 14.15% | N/A | N/A | N/A | -11.80% | -5.08% | 14.15% | N/A | N/A | N/A | -11.80% | 1.23% | ||
Dow Jones Global Target 2040 Index | -3.70% | -9.08% | -4.25% | 17.25% | N/A | N/A | N/A | -7.94% | -4.25% | 17.25% | N/A | N/A | N/A | -7.94% | |||
EQUITY FUNDS - maximum sales charge 5.75% | |||||||||||||||||
Equity Income Fund - Class I and Class II Inception Date 4/30/10 | |||||||||||||||||
Class I | -4.64% | N/A | N/A | N/A | N/A | N/A | N/A | -7.42% | N/A | N/A | N/A | N/A | N/A | N/A | -7.42% | N/A | 0.92% |
Class II | -4.66% | N/A | N/A | N/A | N/A | N/A | N/A | N/A | -7.46% | N/A | N/A | N/A | N/A | N/A | N/A | -7.46% | 1.17% |
S&P 500 Index | -5.23% | N/A | N/A | N/A | N/A | N/A | N/A | -12.80% | -12.80% | N/A | N/A | N/A | N/A | N/A | -12.80% | -12.80% | |
CBOE BuyWrite Monthly Index | -4.16% | N/A | N/A | N/A | N/A | N/A | N/A | -10.06% | -10.06% | N/A | N/A | N/A | N/A | N/A | -10.06% | -10.06% | |
Large Cap Value Fund - Class I Inception Date 1/3/1985, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -5.31% | -12.63% | -8.91% | 10.12% | -13.44% | -2.74% | -1.59% | 8.54% | N/A | -8.91% | 10.12% | -13.44% | -2.74% | -1.59% | 8.54% | N/A | 0.62% |
Class II | -5.33% | -12.69% | -9.03% | 9.85% | N/A | N/A | N/A | N/A | 14.71% | -9.03% | 9.85% | N/A | N/A | N/A | N/A | 12.48% | 0.87% |
Russell 1000¨ Value Index | -5.63% | -11.15% | -5.12% | 16.92% | -12.32% | -1.64% | 2.38% | 10.44% | 23.23% | -5.12% | 16.92% | -12.32% | -1.64% | 2.38% | 10.44% | 23.23% | |
5Madison Asset Management voluntarily waived a portion of its management fee for the Target Retirement 2030 Fund, effective October 1, 2009. If the Adviser had not waived these expenses, fund returns would have been as follows: -2.06% (1 month), -6.32% (3 months), -3.94% (YTD), 14.73% (1 year), -9.78% (Since Inception). This waiver may end at any time. | |||||||||||||||||
6Madison Asset Management voluntarily waived a portion of its management fee for the Target Retirement 2040 Fund effective, October 1, 2009. If the Adviser had not waived these expenses, fund returns would have been as follows: -2.68% (1 month), -7.75% (3 months), -5.18% (YTD), 14.02% (1 year), -11.93% (Since Inception). This waiver may end at any time. |
Not Part of the Semi-annual Report
Ultra Series Fund Performance (continued) | Average Annual Total Returns | ||||||||||||||||
Monthly as of June 30, 2010 | Quarterly as of June 30, 2010 | ||||||||||||||||
One Month | Three Months | Year-to-Date | One Year | Three Years | Five Years | Ten Years | Since Class I Inception | Since Class II Inception | Year-to- Date | One Year | Three Years | Five Years | Ten Years | Since Class I Inception | Since Class II Inception | Expense Ratio | |
EQUITY FUNDS (continued) | |||||||||||||||||
Large Cap Growth Fund - Class I Inception Date 1/3/1994, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -4.79% | -10.94% | -8.67% | 9.83% | -6.00% | -0.24% | -1.38% | 6.88% | N/A | -8.67% -8.79% -7.65% | 9.83% | -6.00% | -0.24% | -1.38% | 6.88% | N/A | 0.82% |
Class II | -4.80% | -11.00% | -8.79% | 9.55% | N/A | N/A | N/A | N/A | 15.13% | 9.55% | N/A | N/A | N/A | N/A | 12.83% | 1.07% | |
Russell 1000¨ Growth Index | -5.51% | -11.75% | -7.65% | 13.62% | -6.91% | 0.38% | -5.14% | 5.91% | 20.59% | 13.62% | -6.91% | 0.38% | -5.14% | 5.91% | 20.59% | ||
Mid Cap Fund - Class I Inception Date 10/31/2000, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -4.32% | -6.97% | -2.70% | 18.25% | -10.32% | 0.17% | N/A | -3.52% | N/A | -2.70% | 18.25% | -10.32% | 0.17% | N/A | -3.52% | N/A | 0.92% |
Class II | -4.34% | -7.03% | -2.82% | 17.95% | N/A | N/A | N/A | N/A | 22.57% | -2.82% | 17.95% | N/A | N/A | N/A | N/A | 19.05% | 1.17% |
Russell Midcap¨ Index | -6.25% | -9.88% | -2.06% | 25.13% | -8.19% | 1.22% | N/A | 4.16% | 31.01% | -2.06% | 25.13% | -8.19% | 1.22% | N/A | 4.16% | 31.01% | |
Russell Midcap¨ Growth Index | -6.36% | -10.20% | -3.31% | 21.30% | -7.53% | 1.37% | N/A | -1.01% | 28.16% | -3.31% | 21.30% | -7.53% | 1.37% | N/A | -1.01% | 28.16% | |
Small Cap Fund - Class I Inception Date 5/1/2007, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -7.11% | -8.71% | 0.51% | 29.06% | -4.06% | N/A | N/A | -3.62% | N/A | 0.51% | 29.06% | -4.06% | N/A | N/A | -3.62% | N/A | 1.11% |
Class II | -7.13% | -8.77% | 0.38% | 28.74% | N/A | N/A | N/A | N/A | 32.08% | 0.38% | 28.74% | N/A | N/A | N/A | N/A | 26.92% | 1.36% |
Russell 2000¨ Index | -7.75% | -9.92% | -1.95% | 21.48% | -8.60% | N/A | N/A | -7.42% | 26.99% | -1.95% | 21.48% | -8.60% | N/A | N/A | -7.42% | 26.99% | |
Russell 2000¨ Value Index | -8.73% | -10.60% | -1.64% | 25.07% | -9.85% | N/A | N/A | -8.99% | 27.37% | -1.64% | 25.07% | -9.85% | N/A | N/A | -8.99% | 27.37% | |
International Stock Fund - Class I Inception Date 10/31/2000, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -1.30% | -13.46% | -12.47% | 5.42% | -10.93% | 2.08% | N/A | 2.79% | N/A | -12.47% | 5.42% | -10.93% | 2.08% | N/A | 2.79% | N/A | 1.22% |
Class II | -1.32% | -13.52% | -12.58% | 5.16% | N/A | N/A | N/A | N/A | 15.66% | -12.58% | 5.16% | N/A | N/A | N/A | N/A | 13.28% | 1.47% |
MSCI EAFE Index | -0.97% | -13.75% | -12.93% | 6.38% | -12.94% | 1.35% | N/A | 1.79% | 18.51% | -12.93% | 6.38% | -12.94% | 1.35% | N/A | 1.79% | 18.51% |
Not Part of the Semi-annual Report
Ultra Series Fund | June 30, 2010
Review of Period
ECONOMIC OVERVIEW
As 2010 unfolded we were in the wake of one of the most calamitous and volatile periods in U.S. and global economic history. From stock market highs in the fall of 2007 the domestic market had dived to more than a 50% loss by March of 2009 – with even worse drops in many foreign markets as the global financial system seemed on the brink of collapse. Then unprecedented global government stimulus seemed to get traction and investor psychology turned from fear to optimism. Stocks had one of their steepest rallies in history, led by the same highly leveraged and cyclical companies which had suffered the most during the downside. During this period the domestic bond market reflected the same split personality, with the lowest-risk Treasury securities leading the market during the stock market collapse, while riskier high-yield bonds had a huge run-up in value during the recovery.
As we entered 2010 economists and market watchers were in two general camps regarding the American economy. On one side we had the optimists, who saw a "V" shaped recovery in strong corporate earnings. On the other side, pessimists found plenty of reason for gloom, including stubbornly high unemployment, continued woes in the housing sector and the long-term prospects of a painful deleveraging from a period of excessive and unsustainable borrowing.
The optimists seemed to have their way at first as the market rally continued well into the first half of 2010, with the S&P 500 peaking on April 23, adding 8.68% to the 26.46% return of 2009. Then a series of external calamities began shaking the market, beginning with the lack of resolution of the Greek sovereign debt crisis and the disastrous Gulf of Mexico oil spill. From the April 23 market high through June 30, the S&P 500 fell -14.97%. Once again there was a flight to quality in the bond market, as investors around the world found comfort in the relative strength of the U.S. dollar and yields on the 10-Year Treasury fell from their period high of 3.99% on April 5 to a period low of 2.93% on the last day of June, driving strong returns of holders of these securities.
By the end of the period, the S&P 500 was showing a year-to-date decline of -6.65%. Broad international indices were down even more, with the MSCI EAFE Index down -12.93%. Among larger American companies as represented by the S&P 500, the drop affected all market sectors, with Industrials, Consumer Discretionary, Financials and Consumer Staples suffering the least, while Materials, Technology and Energy dropped double-digits. Smaller stocks outperformed larger stocks, a trend which was true of international stocks as well as domestic. In the meantime, individual investors continued to sell stocks and buy bonds, and were rewarded for holding them for this six-month period, as virtually all sectors of the domestic bond market saw positive returns.
The ups and downs of 2010 have hardly resolved the outlook for the domestic or global economy or the potential returns for securities, as indicators remain mixed. Corporate profits are strong, but hiring continues to be weak. The prospects for problem inflation seem remote, but some quarters are raising concerns over the possibility of economically painful deflation. We are carefully monitoring the major economic indicators and trends and at this point see little cause for either panic or celebration. The fixed income markets now find itself in a classic tug-of-war between technical factors (money flows, flight to quality) and fundamentals. While the fundamentals appear to be softening some from prior quarters, long-term interest rates currently reflect a much more dire set of circumstances than we expect, leaving Treasury valuations stretched. As fears of Euro-contagion wane over coming
2
Ultra Series Fund | June 30, 2010
Review of Period (concluded)
months, we expect markets to re-focus on the economy and inflation, to the detriment of long-term bond prices. From our perspective, the stock market correction was a healthy predictable event given the sharp rally since March 2009. Looking ahead we believe the economic recovery will continue to unfold at a modest somewhat uneven pace. Nimble bond management will likely be rewarded as yields fluctuate in response to spotty economic data. For equities, we favor high quality, well established companies which can thrive during slower growth periods.
CONSERVATIVE ALLOCATION FUND
INVESTMENT STRATEGY HIGHLIGHTS
The Ultra Series Conservative Allocation Fund invests primarily in shares of registered investment companies (the "underlying funds"). The fund will be diversified among a number of asset classes and its allocation among underlying funds will be based on an asset allocation model developed by Madison Asset Management, LLC ("Madison"), the fund’s investment adviser.
The team may use multiple analytical approaches to determine the appropriate asset allocation:
•Asset allocation optimization analysis – considers the degree to which returns in different asset classes do or do not move together, and the fund’s aim to achieve a favorable overall risk profile for any targeted portfolio return. |
•Scenario analysis – historical and expected return data is analyzed to model how individual asset classes and combinations of asset classes would affect the fund under different economic and market conditions. |
•Fundamental analysis – draws upon Madison’s investment teams to judge each asset class against current and forecasted market conditions. Economic, industry and security analysis is used to develop return and risk expectations that may influence asset class selection. |
In addition, Madison employs a risk management sleeve within the fund for the purpose of risk reduction when and if conditions exist that require reduction of equity exposure.
INVESTING ENVIRONMENT
After a steep and steady climb up from the market lows of 2009, the first six months of 2010 gave investors a rollercoaster like ride. Stocks charged out of the gate in early January but quickly stalled with the appearance of sovereign debt challenges in Greece. The S&P 500 turned in its third consecutive January decline, losing -3.6% for the month. By early February, the sovereign debt fears abated and the U.S. stock market resumed its upward march, and by late April was up 10% for the year. However, early May brought us the "flash crash," an intraday drop of nearly 9% in the value of the S&P 500. Sovereign debt fears reemerged and intensified in Europe, the government debt ratings of Greece, Spain, and Portugal were all cut, Greece being lowered to b elow investment grade or "junk" status. Suddenly, markets were awakened from their risk complacent slumber. Volatility burst back onto the scene resulting in a flight to quality reminiscent of the fall of 2008. The yield on the 10 year Treasury fell from near 4% to below 3% by the end of the quarter as investors flocked to the perceived safety of U.S. government bonds.
As of June 30th the S&P 500 was down -6.7% for the year, with an oversized loss of -11.4% during the second quarter. International stocks experienced more severe declines, driven by a sharply lower Euro in the wake of the European debt crisis. The MSCI EAFE Index lost -12.9% over the period. Bonds benefited from decreasing yield levels and increased demand
3
Ultra Series Fund | June 30, 2010
Conservative Allocation Fund (concluded)
and the Barclays Capital U.S. Aggregate Bond Index finished the first six months up 5.3%.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/10 | |
Bond Funds | 73% |
Stock Funds | 22% |
Money Market Funds and Other Net Assets | 1% |
Foreign Stock Funds | 4% |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2010, the Ultra Series Conservative Allocation Fund returned 0.22% (Class I shares), underperforming the Conservative Allocation Custom Index return of 1.05%. From an asset allocation standpoint, the fund was well positioned with an underweighting in international equities from our custom benchmark allocation. However, our underweighting in small/mid cap U.S. equities, and poor relative returns from some of our holdings negated the positive impact of our international equity underweighting.
Key contributors to performance included: MEMBERS Bond Fund Class Y which returned 4.6% over the period, Dodge & Cox Income Fund which returned 4.3%, and Templeton Global Bond Fund which returned 3.8%. Key detractors included: MEMBERS International Stock Fund Class Y which returned -12.9%, MEMBERS Large Cap Value Fund Class Y which returned -9.0%, and MEMBERS Large Cap Growth Fund Class Y which returned -8.7%.
FUND CHANGES
Added to the portfolio during the period were, Madison Mosaic Disciplined Equity Fund and PIMCO Investment Grade Bond Fund. Also added to the fund was PIMCO Total Return Fund, which replaced Dodge & Cox Income Fund.
MODERATE ALLOCATION FUND
INVESTMENT STRATEGY HIGHLIGHTS
The Ultra Series Moderate Allocation Fund invests primarily in shares of registered investment companies (the "underlying funds"). The fund will be diversified among a number of asset classes and its allocation among underlying funds will be based on an asset allocation model developed by Madison Asset Management, LLC ("Madison"), the fund’s investment adviser.
The team may use multiple analytical approaches to determine the appropriate asset allocation:
•Asset allocation optimization analysis – considers the degree to which returns in different asset classes do or do not move together, and the fund’s aim to achieve a favorable overall risk profile for any targeted portfolio return. |
•Scenario analysis – historical and expected return data is analyzed to model how individual asset classes and combinations of asset classes would affect the fund under different economic and market conditions. |
•Fundamental analysis – draws upon Madison’s investment teams to judge each asset class against current and forecasted market conditions. Economic, industry and security analysis is used to develop return and risk expectations that may influence asset class selection. |
In addition, Madison employs a risk management sleeve within the fund for the purpose of risk reduction when and if conditions exist that require reduction of equity exposure.
4
Ultra Series Fund | June 30, 2010
Moderate Allocation Fund (concluded)
INVESTING ENVIRONMENT
After a steep and steady climb up from the market lows of 2009, the first six months of 2010 gave investors a rollercoaster like ride. Stocks charged out of the gate in early January but quickly stalled with the appearance of sovereign debt challenges in Greece. The S&P 500 turned in its third consecutive January decline, losing -3.6% for the month. By early February, the sovereign debt fears abated and the U.S. stock market resumed its upward march, and by late April was up 10% for the year. However, early May brought us the "flash crash," an intraday drop of nearly 9% in the value of the S&P 500. Sovereign debt fears reemerged and intensified in Europe, the government debt ratings of Greece, Spain, and Portugal were all cut, Greece being lowered to b elow investment grade or "junk" status. Suddenly, markets were awakened from their risk complacent slumber. Volatility burst back onto the scene resulting in a flight to quality reminiscent of the fall of 2008. The yield on the 10 year Treasury fell from near 4% to below 3% by the end of the quarter as investors flocked to the perceived safety of U.S. government bonds.
As of June 30th the S&P 500 was down -6.7% for the year, with an oversized loss of -11.4% during the second quarter. International stocks experienced more severe declines, driven by a sharply lower Euro in the wake of the European debt crisis. The MSCI EAFE Index lost -12.9% over the period. Bonds benefited from decreasing yield levels and increased demand and the Barclays Capital U.S. Aggregate Bond Index finished the first six months up 5.3%.
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2010, the Ultra Series Moderate Allocation Fund returned -2.58% (Class I shares), slightly underperforming the Moderate Allocation Custom Index return of -2.49%. From an asset allocation standpoint, the fund was well positioned with an underweighting in international equities from our custom benchmark allocation. However, our underweighting in small/mid cap U.S. equities, and poor relative returns from some of our holdings negated the positive impact of our international equity underweighting.
Key contributors to performance included: MEMBERS Bond Fund Class Y which returned 4.6% over the period, Dodge & Cox Income Fund which returned 4.3%, and Templeton Global Bond Fund which returned 3.8%. Key detractors included: MEMBERS International Stock Fund Class Y which returned -12.9%, MEMBERS Large Cap Value Fund Class Y which returned -9.0%, and MEMBERS Large Cap Growth Fund Class Y which returned -8.7%.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/10 | |
Bond Funds | 46% |
Stock Funds | 43% |
Money Market Funds and Other Net Assets | 1% |
Foreign Stock Funds | 10% |
FUND CHANGES
Added to the portfolio during the period were Matthews Asian Growth & Income Fund and PIMCO Investment Grade Bond Fund. Also added to the fund was PIMCO Total Return Fund, which replaced Dodge & Cox Income Fund.
AGGRESSIVE ALLOCATION FUND
INVESTMENT STRATEGY HIGHLIGHTS
The Ultra Series Aggressive Allocation Fund invests primarily in shares of registered investment companies (the "underlying funds"). The fund will be diversified among a number of asset classes and its allocation
5
Ultra Series Fund | June 30, 2010
Aggressive Allocation Fund (continued)
among underlying funds will be based on an asset allocation model developed by Madison Asset Management, LLC ("Madison"), the fund’s investment adviser.
The team may use multiple analytical approaches to determine the appropriate asset allocation:
•Asset allocation optimization analysis – considers the degree to which returns in different asset classes do or do not move together, and the fund’s aim to achieve a favorable overall risk profile for any targeted portfolio return. |
•Scenario analysis – historical and expected return data is analyzed to model how individual asset classes and combinations of asset classes would affect the fund under different economic and market conditions. |
•Fundamental analysis – draws upon Madison’s investment teams to judge each asset class against current and forecasted market conditions. Economic, industry and security analysis is used to develop return and risk expectations that may influence asset class selection. |
In addition, Madison employs a risk management sleeve within the fund for the purpose of risk reduction when and if conditions exist that require reduction of equity exposure.
INVESTING ENVIRONMENT
After a steep and steady climb up from the market lows of 2009, the first six months of 2010 gave investors a rollercoaster like ride. Stocks charged out of the gate in early January but quickly stalled with the appearance of sovereign debt challenges in Greece. The S&P 500 turned in its third consecutive January decline, losing -3.6% for the month. By early February, the sovereign debt fears abated and the U.S. stock market resumed its upward march, and by late April was up 10% for the year. However, early May brought us the "flash crash," an intraday drop of nearly 9% in the value of the S&P 500. Sovereign debt fears reemerged and intensified in Europe, the government debt ratings of Greece, Spain, and Portugal were all cut, Greece being lowered to b elow investment grade or "junk" status. Suddenly, markets were awakened from their risk complacent slumber. Volatility burst back onto the scene resulting in a flight to quality reminiscent of the fall of 2008. The yield on the 10 year Treasury fell from near 4% to below 3% by the end of the quarter as investors flocked to the perceived safety of U.S. government bonds.
As of June 30th the S&P 500 was down -6.7% for the year, with an oversized loss of -11.4% during the second quarter. International stocks experienced more severe declines, driven by a sharply lower Euro in the wake of the European debt crisis. The MSCI EAFE Index lost -12.9% over the period. Bonds benefited from decreasing yield levels and increased demand and the Barclays Capital U.S. Aggregate Bond Index finished the first six months up 5.3%.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/10 | |
Bond Funds | 14% |
Stock Funds | 71% |
Money Market Funds and Other Net Assets | 1% |
Foreign Stock Funds | 14% |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2010, the Ultra Series Aggressive Allocation Fund returned -5.37% (Class I shares), outperforming the Aggressive Allocation Custom Index return of -6.39%. Our underweighting in international equities relative to the benchmark was a key factor to the fund’s outperformance.
Key contributors to performance included: Hussman Strategic Growth Fund which returned 5.2% over the period, MEMBERS Bond Fund Class Y which returned 4.6%, and MEMBERS High Income Fund Class Y which returned 3.0%.
6
Ultra Series Fund | June 30, 2010
Aggressive Allocation Fund (concluded)
Key detractors included: T. Rowe Price New Era Fund which returned -14.0%, MEMBERS International Stock Fund Class Y which returned -12.9%, and MEMBERS Large Cap Value Fund Class Y which returned -9.0%.
FUND CHANGES
Added to the portfolio during the period were Matthews Asian Growth & Income Fund, PIMCO Investment Grade Bond Fund, and Templeton Global Bond Fund.
MONEY MARKET FUND
INVESTMENT STRATEGY HIGHLIGHTS
The Ultra Series Money Market Fund invests exclusively in U.S. dollar-denominated money market securities maturing in thirteen months or less from the date of purchase. These securities will be obligations of the U.S. Government and its agencies and instrumentalities, but may also include securities issued by U.S. and foreign financial institutions, corporations, municipalities, foreign governments, and multi-national organizations, such as the World Bank. The fund may invest in mortgage-backed and asset-backed securities, including those representing pools of mortgage, commercial, or consumer loans originated by credit unions or other financial institutions.
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/10 | |
Federal Home Loan Bank | 29% |
Freddie Mac | 27% |
Fannie Mae | 20% |
U.S. Treasury Bills | 7% |
Other Short-Term Investments | 12% |
Cash and Other Net Assets | 5% |
BOND FUND
INVESTMENT STRATEGY HIGHLIGHTS
Under normal circumstances, the Ultra Series Bond Fund invests at least 80% of its assets in bonds. To keep current income relatively stable and to limit share price volatility, the fund emphasizes investment grade securities and maintains an intermediate (typically 3-6 year) average portfolio duration (a measure of a security’s price sensitivity to changes in interest rates). The fund also strives to minimize risk in the portfolio by making strategic decisions relating to credit risk and yield curve outlook. The fund may invest in corporate debt securities, U.S. Government debt securities, foreign government debt securities, non-rated debt securities, and asset-backed, mortgage-backed and commercial mortgage-backed securities.
INVESTING ENVIRONMENT
During the first half of 2010 the treasury market rallied, particularly during the second quarter. Treasury yields declined anywhere from 0.5% for 2-year maturities to 0.9% for 10-year maturities as demand increased for the relative safety of U.S. government debt. Corporate bonds performance was mixed while certain securitized securities such as agency mortgages and asset backed securities outperformed. The underperformance of corporate debt occurred late in the second quarter. However, credit continued to perform well despite second quarter widening. Both the decline in rates and the uncertainty in the corporate bond sector were a function of essentially
7
Ultra Series Fund | June 30, 2010
Bond Fund (concluded)
two factors. During the second quarter the
market became more cognizant of the fact that the economy was slowing and the future outlook was becoming uncertain. The markets had expected the Fed to begin tightening policy in the second half of the year. With little in the way of inflation concerns, and at least the increased possibility of another recession, this anticipated rate increase was removed thereby inducing some heightened risk aversion. Simultaneously, Greece introduced the markets to both the possibility of a sovereign default and various structural problems that exist in the European Union more broadly. This induced a major flight to quality benefitting U.S. assets and particularly Treasuries.
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/10 | |
Asset Backed | 2% |
Corporate Notes and Bonds | 27% |
Mortgage Backed | 24% |
U.S. Government and Agency Obligations | 43% |
Cash and Other Net Assets | 4% |
PERFORMANCE DISCUSSION
The Ultra Series Bond Fund returned 4.86% (Class I shares) for the six-month period ended June 30, 2010 while the Bank of America Merrill Lynch U.S. Corporate, Government & Mortgage Index returned 5.30%. Factors detracting from performance included the fund’s shorter duration, i.e., less interest rate risk, than the market index at a time when rates were declining. Also, the fund was marginally underweighted in mortgage securities which performed well, and overweighted in corporate bonds which underperformed during the quarter. These factors were somewhat offset by good sub-sector selection and individual security selection.
HIGH INCOME FUND
INVESTMENT STRATEGY HIGHLIGHTS
The MEMBERS High Income Fund invests primarily in lower-rated, higher-yielding income bearing securities, such as "junk" bonds. Because the performance of these securities has historically been strongly influenced by economic conditions, the fund may emphasize security selection in business sectors that favor the economic outlook. Under normal market conditions, the fund invests at least 80% of its assets in bonds rated lower than investment grade (BBB/Baa) and their unrated equivalents or other high-yielding securities.
INVESTING ENVIRONMENT
The first six months of 2010 was a period of significant volatility for U.S. financial markets. In April, both fixed income and equity markets added to their first quarter gains. However, during May, the U.S. financial markets reversed course as every U.S. equity index and both investment grade and high yield fixed income sectors posted declines. Contributing to this change on sentiment was the May 7 flash crash, downward revisions to U.S. GDP growth expectations, and increasing anxiety with respect to Europe’s sovereign debt crisis. Then, during the last month of the reporting period, market sentiment between fixed income and equity investors clearly bifurcated. Specifically, during June, the major U.S. equity markets continued to post sharp declines of between 6-7% whereas U.S. fixed income markets were either flat, as was the case for high yield, or positive, as was the case for investment grade and Treasuries. The net result of these monthly
8
Ultra Series Fund | June 30, 2010
High Income Fund (concluded)
return fluctuations during the reporting period was that equities posted significant declines for the period (the S&P 500 Index was down -6.65%, the Dow Jones Industrial Average was down -4.98%, investment grade posted a gain of 6.09%, and high yield earned 4.71%).
Year to date, the default rate for high yield securities continued to plummet. On an annualized basis the current pace of defaults over the past six months is at a meager 0.2%! We expect high yield default rates to remain in the 2% to 3% range for the 2010 and 2011 time periods, well below the historical average default rate for high yield of 5.4%.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/10 | |
Consumer Discretionary | 30% |
Consumer Staples | 4% |
Energy | 7% |
Financials | 2% |
Health Care | 6% |
Industrials | 20% |
Information Technology | 8% |
Materials | 5% |
Telecommunication Services | 9% |
Utilities | 4% |
Cash and Other Net Assets | 5% |
Consumer Discretionary includes securities in the following industries: Auto Components, Hotels, Restaurants & Leisure, Household Durables, Leisure Equipment & Products, Media, Specialty Retail and Textile, Apparel & Luxury Goods. |
PERFORMANCE DISCUSSION
The Ultra Series High Income Fund posted a return of 2.78% (Class I shares) for the six-month period ended June 30, 2010, while its benchmark, the Bank of America Merrill Lynch High Yield Master II Constrained Index, returned 4.71% for the same period. The Financial Sector and bonds priced below $80 significantly outperformed the index during the first half of 2010. The fund maintained a strategic underweighting in these sectors which detracted from relative returns for the period. Positive selection in the Technology sector benefited the fund’s performance during the reporting period. For example, the Technology sector, which declined -1.02%, was the worst performing industry for the overall high yield index for the period. However, the fund’s Tec hnology holdings generated a positive return of 2.69%.
FUND CHANGES
During the quarter the fund added to its sector weightings in the Cable, Technology, Support Services and Gaming industries, while reducing its exposure to the Utilities sector. The fund was very active in the new issue market as 14 primary new issues were added during the quarter. These new issues include industries such as Broadcasting, Gaming, Cable, Automotive and Health Care.
DIVERSIFIED INCOME FUND
INVESTMENT STRATEGY HIGHLIGHTS
The Ultra Series Diversified Income Fund seeks income by investing in a broadly diversified array of securities including bonds, common stocks, real estate securities, foreign market bonds and stocks and money market instruments. Bonds, stock and cash components will vary, reflecting the portfolio managers’ judgments of the relative availability of attractively yielding and priced stocks and bonds. Generally, however, bonds will constitute up to 80% of the fund’s assets, stocks will constitute up to 60% of the fund’s assets, real estate securities will constitute up to 25% of the fund’s assets, foreign stocks and bonds will constitute up to 25% of the fund’s assets and money market instruments
9
Ultra Series Fund | June 30, 2010
Diversified Income Fund (continued)
may constitute up to 25% of the fund’s assets. The fund intends to limit the investment in lower credit quality bonds to less than 50% of the fund’s assets. The balance between the two strategies of the fund (fixed income and equity investing) is determined after reviewing the risks associated with each type of investment, with the goal of meaningful risk reduction as market conditions demand. The fund typically sells a stock when the fundamental expectations for producing competitive yields at an acceptable level of price risk no longer apply, the price exceeds the intrinsic value or other stocks appear more attractive.
INVESTING ENVIRONMENT
During the six-months ended June 30, 2010, the broad U.S. stock market returned -6.4% as measured by the Russell 1000¨ Index. The stock portion of the fund was ahead of this performance, returning -3.1%.
Over the same time period, the Treasury market rallied, particularly during the second quarter of 2010. Treasury yields declined from 0.5% for 2-year maturities to 0.9% for 10-year maturities as demand increased for the relative safety of U.S. government debt. Corporate bonds generally underperformed Treasuries while certain securitized securities such as agency mortgages and asset backed securities outperformed. The underperformance of corporate debt was significant and partially offset the general decline in yields. Both the decline in rates and the underperformance of corporate bonds were a function of essentially two factors. During the second quarter the market became more cognizant of the fact that the economy was not experiencing a ‘V’ shape d recovery and might indeed be slowing significantly. This implies an easier monetary policy, little in the way of inflation concerns, and at least the possibility of another recession thereby inducing some heightened risk aversion. Simultaneously, Greece introduced the markets to both the possibility of a sovereign default and various structural problems that exist in the European Union more broadly. This induced a major flight to quality benefitting U.S. assets and particularly Treasuries.
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/10 | |
Common Stocks | 44% |
Asset Backed | 1% |
Corporate Notes and Bonds | 23% |
Mortgage Backed | 15% |
U.S. Government and Agency Obligations | 15% |
Cash and Other Net Assets | 2% |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2010, the Ultra Series Diversified Income Fund returned 1.16% (Class I shares), outperforming the Russell 1000¨ Index return of -6.40% and underperforming the Bank of America Merrill Lynch U.S. corporate, Government & Mortgage Index return 5.30%.
The stock portion of the fund (approximately 44% of the fund on June 30, 2010) pursued its investment goal by participating nicely in the bull market at the beginning of the year, then protecting when the Russell 1000¨ Index fell 15% from April 23, 2010 through June 30, 2010. Performance was positive relative to the Russell 1000¨ Index in seven of the ten major sectors. The fund’s stock holdings in the Information Technology, Industrial, and Energy sectors were most additive to performance. Industrial stocks Boeing Co. and Emerson Electric Co. helped relative performance, as did Microsoft Corp. and Financial stocks NYSE Euronext and Willis Group Holdings P LC. Telecommunications, Health Care, and Utilities were the sectors that detracted most from relative performance. Stocks which hurt performance included Pfizer, Inc., Utilities firms Exelon Corp. and FirstEnergy Corp., and Telecommunications stocks AT&T, Inc. and Verizon Communications, Inc.
10
Ultra Series Fund | June 30, 2010
Diversified Income Fund (concluded)
The overall rally in rates was beneficial to the positive return the bond portion of the fund experienced during the first half of the year. The bond portion of the fund underperformed the bond market index due to the fact that the fund was significantly overweighted in its allocation to corporate bonds and BBB rated bonds when compared to the market which resulted from the fund’s main goal of generating extra income. Somewhat mitigating the corporate bond exposure is the fact that most of the overweighting is in Industrial and Utility bonds which performed much better than those issued by financial companies.
FUND CHANGES
For the stock portion of the fund, the most notable change to the portfolio was the increased weight in Information Technology holdings, from 6.5% to 12.5% as we added IBM Corp., Microsoft Corp., and QUALCOMM, Inc. to the portfolio. The fund’s Energy allocation also rose from 8.5% to 13%. The Industrial sector’s exposure declined in weight from 17% to 9%, as we eliminated Boeing Co., Deere & Co., Emerson Electric Co., Norfolk Southern Corp., and UPS Inc. from the portfolio. We believed these Industrial stocks had advanced to full valuations after outperforming over the last 12 months.
EQUITY INCOME FUND
INVESTMENT STRATEGY HIGHLIGHTS
The Ultra Series Equity Income Fund invests primarily in common stocks of large-and mid-capitalization companies that are, in the view of the fund’s investment adviser, selling at a reasonable price in relation to their long-term earnings growth rates. The portfolio managers will allocate the fund’s assets among stocks in sectors of the economy based upon their expected earnings growth rates, adjusted to reflect their views on economic and market conditions and sector risk factors.
The fund will seek to generate current earnings from option premiums by writing (selling) covered call options on a substantial portion of its portfolio securities. The fund seeks to produce a high level of current income and current gains generated from option writing premiums and, to a lesser extent, from dividends. The extent of option writing activity will depend upon market conditions and the portfolio manager’s ongoing assessment of the attractiveness of writing call options on the fund’s stock holdings. In addition to providing income, covered call writing helps to reduce the volatility (and risk profile) of the fund by providing downside protection.
INVESTING ENVIRONMENT
The April 30, 2010 inception of the Ultra Series Equity Income Fund coincided very closely with the stock market high of the year which occurred in late April. The market correction which subsequently continued through the end of June, provided the fund an opportunity to initiate individual stock positions at attractive prices relative to those available earlier in the year. The fund moved cautiously from a 100% cash position at inception to an equity weighting of 86% by the period ended June 30, 2010. In addition, the correction in stock prices had the effect of increasing overall market volatility which, in turn, improved the pricing of call options which the fund sells against its equity holdings. The CBOE Market Volatility Index (VIX), a common measure of market volatility, soared from a level of 22 at the end of April to a high of 45 in May before settling at 34.5 at the end of June. As of June 30, 2010, approximately 69% of the fund’s equity holdings were covered by call
11
Ultra Series Fund | June 30, 2010
Equity Income Fund (concluded)
options and it is the fund’s intent to move this number higher as opportunities arise.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | |
AS OF 6/30/10 | |
Consumer Discretionary | 14% |
Energy | 11% |
Financials | 17% |
Health Care | 16% |
Industrials | 2% |
Information Technology | 22% |
Materials | 2% |
Cash and Other Net Assets | 16% |
PERFORMANCE DISCUSSION
Although only in existence for a short period of time, the fund’s performance has been strong relative to its primary benchmarks. Since inception on April 30, 2010, the fund has returned -7.42% (Class I), while the S&P 500 Index has returned -12.80% and the CBOE Buy-Write Index has returned -10.06%. A higher level of cash during the initial stages of the market correction certainly helped buffer the fund from the turbulence but opportunistic buying of high quality companies has also been additive to performance. The increased volatility has also allowed the fund to benefit from higher option premiums which provide an enhanced level of downside protection.
FUND CHANGES
During the early life of the fund, the primary changes have been related to moving toward a fully invested position. Although the majority of fund assets have been invested, the process is ongoing with emphasis on investing new cash flows and covering a larger portion of the portfolio with call options.
LARGE CAP VALUE FUND
INVESTMENT STRATEGY HIGHLIGHTS
The Ultra Series Large Cap Value Fund will, under normal market conditions, invest primarily in large cap stocks. The fund follows a "value" approach, meaning the portfolio managers seek to invest in stocks at prices below their perceived intrinsic value as estimated based on fundamental analysis of the issuing company and its prospects. By investing in value stocks, the fund attempts to limit the downside risk over time but may also produce smaller gains than other stock funds if their intrinsic values are not realized by the market or if growth-oriented investments are favored by investors. The fund will diversify its holdings among various industries and among companies within those industries. The fund typically sells a stock when the fundamental expectati ons for buying it no longer apply, the price exceeds its intrinsic value or other stocks appear more attractively priced relative to their intrinsic values.
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2010, the Ultra Series Large Cap Value Fund return of -8.91% (Class I shares) lagged the Russell 1000¨ Value Index return of -5.12%. The majority of the lag developed during the early-February to late-April rally when value stocks vaulted ahead rapidly. During this eleven week stretch, the fund did not participate fully in the rally.
12
Ultra Series Fund | June 30, 2010
Large Cap Value Fund (concluded)
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | ||
AS OF 6/30/10 | ||
Fund | Russell 1000¨ Value Index | |
Consumer Discretionary | 6% | 7% |
Consumer Staples | 9% | 11% |
Energy | 19% | 11% |
Financials | 25% | 29% |
Health Care | 12% | 13% |
Industrials | 8% | 9% |
Information Technology | 8% | 5% |
Materials | 3% | 3% |
Telecommunication Services | 4% | 5% |
Utilities | 4% | 7% |
Cash and Other Net Assets | 2% | – |
For the six-month period, relative performance was helped by fund holdings within the Consumer Discretionary sector, particularly auto parts retailer AutoZone, Inc. which was the fund’s biggest contributor. The fund’s limited exposure to Exxon Mobil Corp., which underperformed for the period, was also a boost to performance. Other positive contributors were the bank Keycorp, as well as Darden Restaurants, Inc. During late 2009 and early 2010, we added to property/casualty insurance stocks, including Berkshire Hathaway, Inc. and Willis Group Holdings PLC which were also positive contributors to relative performance during the first half of 2010. Detracting from performance were fund holdings within the Energy, Health Care, and Finance sectors. Energ y stocks Weatherford International, Ltd., Noble Corp., and Anadarko Petroleum Corp. were noticeable
laggards. Additional holdings which detracted from returns were Morgan Stanley (Financials), Exelon Corp. (Utilities), Baxter International, Inc. (Health Care), and Pfizer, Inc. (Health Care).
FUND CHANGES
The most notable portfolio changes during the period included an increase in the fund’s Consumer Staples sector weight from 6% to 9%, as we added Kraft Foods Inc. to the portfolio. The fund’s Financials sector weight also rose 3%, from 21.5% to 24.5%, as we added insurance stocks Berkshire Hathaway, Inc. and Travelers Cos., Inc. The fund’s allocation to the Energy sector declined from 21% to 19% as XTO Energy was acquired. Energy remains the fund’s largest relative position at 19% versus 11% for the benchmark. The fund’s Industrial sector weight dropped from 10% to 8% as we eliminated Deere & Co. and Norfolk Southern Corp. after they outperformed.
LARGE CAP GROWTH FUND
INVESTMENT STRATEGY HIGHLIGHTS
The Ultra Series Large Cap Growth Fund invests primarily in common stocks of larger companies and will, under normal market conditions, maintain at least 80% of its assets in large cap stocks. The fund follows a "growth" approach, meaning the portfolio managers seek stocks that have low market prices relative to their perceived growth capabilities as estimated based on fundamental analysis of the issuing companies and their prospects. The fund typically seeks higher earnings growth capabilities in the stocks it purchases, and may include some companies undergoing more significant changes in their operations or experiencing significant changes in their markets. The fund will diversify its holdings among various industries and among companies within those indust ries. The fund has an active trading strategy which will lead to more portfolio turnover than a more passively-managed fund. The fund typically sells a stock when the fundamental expectations for buying it no longer apply, the price exceeds its perceived value or other stocks appear more attractively priced relative to their prospects.
13
Ultra Series Fund | June 30, 2010
Large Cap Growth Fund (continued)
INVESTING ENVIRONMENT
At the close of the six-month period ended June 30, 2010 the stock market was statistically undervalued. The S&P 500 Index sells at approximately 11.5 times 2011 estimated earnings of $91 per share and yields over 2%. Of the S&P 500 constituents, 25% had a cash dividend greater than the current 10-year Treasury bond yield of 2.97% as of June 30, 2010. Why has the stock market gotten so undervalued? We can’t say for sure, but believe a few observations may be worth considering. First, broadly speaking, there have been massive changes in virtually all components of the economy, policy framework, and the markets themselves – all on a global basis. Because of the scale of these changes and the resulting altered mechanisms and relationships, we believe there is a diminished ability to accurately predict how the "system" itself will work. Diminished forecasting accuracy translates into higher equity risk premiums as expressed through lower price to earnings ratios.
Because the valuation in quality companies has been so compelling, we believe opportunities for both relative and absolute gains abound. The Ultra Series Large Cap Growth Fund has strong conviction on (1) the need to add dividend yield as a component for total return success, (2) the need to emphasize quality, and (3) the need to concentrate the portfolio in favored names.
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2010, the Ultra Series Large Cap Growth Fund returned -8.67% (Class I shares), trailing the Russell 1000¨ Growth Index return of -7.65%.
Performance was impeded by the fund’s Energy exposure, where both sector emphasis and stock selection were out of synch. Additionally, three of the fund’s larger Information Technology holdings, Google, Inc., QUALcomm, Inc., and Visa, Inc., penalized performance. Cash flow reinvestment risks worried investors at Google, while diminishing royalty fees challenged QUALcomm, and federal regulatory intervention may restrict free market competition at Visa. However, strong balance sheets, excess cash flow generation, and growing and expanding end markets convince us to hold these positions.
The fund’s largest sector allocation in Financials was both stock specific as well as strategic. We consciously sought non-lending financial companies with strong balance sheets and cash dividends as we believed the stock market would experience a correction precipitated by continued credit issues. For example, fund holding Axis Capital is a property casualty insurer with little municipal bond exposure and yields 2.8% as of period end. Despite Financials being the worst performing sector in the second quarter of 2010 down over 15%, Axis Capital was down less than 5% for the same period.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | ||
AS OF 6/30/10 | ||
Fund | Russell 1000¨ Growth Index | |
Consumer Discretionary | 10% | 14% |
Consumer Staples | 10% | 10% |
Energy | 9% | 10% |
Financials | 10% | 5% |
Health Care | 14% | 11% |
Industrials | 7% | 13% |
Information Technology | 36% | 31% |
Materials | 3% | 5% |
Telecommunication Services | 0% | 1% |
Utilities | 0% | 0% |
Cash and Other Net Assets | 1% | – |
Includes securities in the following industries: Communications Equipment, Computers & Peripherals, Internet Software & Services, IT Services, Semiconductors & Semiconductor Equipment and Software. |
FUND CHANGES
During the period, we sold Oracle Corp as we expect the law of large numbers to reduce growth, and we sold athletic clothing designer
14
Ultra Series Fund | June 30, 2010
Large Cap Growth Fund (continued)
and retailer Luluemon Athletic Inc. as we expect sales comparatives to slow. We added to Visa Inc., Allergan, Inc., and ArcSight Inc. on the market dip. We initiated positions in Occidental Petroleum Corp. based on their politically secure oil reserves and outdoor advertising company Lamar Advertising Co.
MID CAP FUND
INVESTMENT STRATEGY HIGHLIGHTS
The Ultra Series Mid Cap Fund generally invests in common stocks of midsize companies and will, under normal market conditions, maintain at least 80% of its assets in mid cap securities. However, the fund will not automatically sell a stock because its market capitalization has changed and such positions may be increased through additional purchases. The fund seeks attractive long-term returns through bottom-up security selection based on fundamental analysis in a diversified portfolio of high-quality growth companies with attractive valuations. These will typically be industry leading companies in niches with strong growth prospects. The fund’s portfolio managers believe in selecting stocks for the fund that show steady, sustainable growth and reasonabl e valuations. As a result, stocks of issuers that are believed to have a blend of both value and growth potential will be selected for investment. Stocks are generally sold when target prices are reached, company fundamentals deteriorate or more attractive stocks are identified.
INVESTING ENVIRONMENT
The six-month period ended June 30, 2010 witnessed the return of volatility to midcap stocks as investors questioned the sustainability of an economic recovery for the first time since the lows in March 2009. The year began with a continuation of the 2009 rally where low risk premiums persisted in equity markets. That rally ended with a correction which began near the end of April as investors worried about the economic impact from the sovereign debt crisis in Europe, the scope of financial reform and the tragic oil spill in the Gulf of Mexico. These factors led to the return of higher risk premiums as investors gravitated towards high quality stocks with less risky earnings and debt profiles. For the period, the Russell Midcap¨ Index declined -2.06%. Wit hin the index, sector performance varied. The sectors with positive returns were Consumer Staples, Financials, Health Care and Consumer Discretionary. The worst performing sectors in order were Energy, Information Technology, Utilities, Materials, Industrials and Telecommunications.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | ||
AS OF 6/30/10 | ||
Fund | Russell Midcap¨ Index | |
Consumer Discretionary | 13% | 14% |
Consumer Staples | 4% | 7% |
Energy | 8% | 8% |
Financials | 20% | 19% |
Health Care | 9% | 10% |
Industrials | 16% | 12% |
Information Technology | 13% | 15% |
Materials | 5% | 6% |
Telecommunication Services | 2% | 2% |
Utilities | 1% | 7% |
Cash and Other Net Assets | 9% | – |
PERFORMANCE DISCUSSION
The Ultra Series Mid Cap Fund returned -2.70% (Class I shares), compared with the Russell Midcap¨ Index return of -2.06%.
Relative to the benchmark, stock picking was best in the Materials sector. A gold ETF holding and paint and specialty chemical manufacturer Valspar Corp. boosted results. The Financial
15
Ultra Series Fund | June 30, 2010
Mid Cap Fund (concluded)
sector was another source of outperformance as asset manager SEI Investments Co., commercial real estate operating company Brookfield Properties Corp. and energy and commodities exchange IntercontinentalExchange, Inc. all contributed meaningfully to results.
Among the largest sources of weakness compared to the benchmark were the fund’s Energy and Technology holdings. Deep water drilling company Noble Corp. and oil field service provider Weatherford International, Ltd. were negatively impacted by the fallout from the Gulf of Mexico oil spill. Computer communications equipment provider Brocade Communication Systems was the worst performing Technology stock.
FUND CHANGES
We increased the fund’s exposure to the Financials sector during the period, particularly in insurance and asset management. We added to insurance broker Brown and Brown Inc., specialty insurer Markel Corp. and property & casualty insurer RLI Corp. Other additions include asset managers Brookfield Asset Management, Inc. and SEI Investments Co. We maintain an overweight position in Financials as we believe valuations are attractive.
The combination of rising valuations and concerns about the sustainability of economic growth and its impact on more cyclical sectors lead us to reduce the fund’s Industrial and Consumer Discretionary exposure during the period. As the market priced in stronger economic prospects, valuations became less attractive and we felt it prudent to reduce exposure and rotate into other areas with better return prospects.
SMALL CAP FUND
INVESTMENT STRATEGY HIGHLIGHTS
The Ultra Series Small Cap Fund invests primarily in a diversified mix of common stocks of small cap U.S. companies that are believed to be undervalued by various measures and offer sound prospects for capital appreciation. The portfolio managers employ a value-oriented investment approach in selecting stocks, using proprietary fundamental research to identify securities of companies they believe have attractive valuations. The portfolio managers focus on companies with a record of above average rates of profitability that sell at a discount relative to the overall small cap market. Through fundamental research, the portfolio managers seek to identify those companies that possess one or more of the following characteristics: sustainable competitive advantages within a market niche; strong profitability and free cash flows; strong market share positions and trends; quality of and share ownership by management; and financial structures that are more conservative than the relevant industry average.
INVESTING ENVIRONMENT
U.S. equities plummeted as escalating global growth concerns, challenges in Europe, and mixed economic data combined to push the S&P 500 Index down -6.7% to its lowest level since October 2009. This weakness followed a period of relatively strong results earlier in the year as equities were bolstered by strong corporate earnings and generally favorable economic data. For the six-month period, value stocks (-1.6%) outpaced growth (-2.3%) while small cap stocks (-1.9%) led their larger peers (-6.7%), as measured by the Russell 2000 Value,
16
Ultra Series Fund | June 30, 2010
Small Cap Fund (concluded)
Russell 2000 Growth, Russell 2000, and S&P 500 indices, respectively. Results were mixed within the Russell 2000 index. Telecommunication Services, Energy, and Materials were among the hardest hit while Consumer Discretionary, Financials and Industrials outperformed.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | ||
AS OF 6/30/10 | ||
Fund | Russell 2000¨ Index | |
Consumer Discretionary | 16% | 14% |
Consumer Staples | 5% | 3% |
Energy | 5% | 5% |
Financials | 24% | 22% |
Health Care | 8% | 14% |
Industrials | 20% | 15% |
Information Technology | 8% | 18% |
Materials | 5% | 5% |
Telecommunication Services | 0% | 1% |
Utilities | 5% | 3% |
Cash and Other Net Assets | 4% | – |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2010, the Ultra Series Small Cap Fund returned 0.51% (Class I shares), outperforming the Russell 2000¨, which returned -1.95%.
Consistent with the fund’s bottom-up focus, relative performance across sectors was driven primarily by stock selection, particularly in the Health Care, Financials, and Energy sectors. Within Health Care, positions in contract research organization ICON and health insurance and managed care provider Universal American were the primary drivers of strong relative results. Positive results in the Financials sector were driven by banking and investment services provider Webster Financial. SM Energy (formerly St. Mary Land & Exploration) and Whiting Petroleum were leading contributors among our Energy holdings. Other top relative performers included Bowne & Co. (Industrials) and Herbalife (Consumer Staples).
Among the largest sources of relative weakness were our Consumer Discretionary and Industrial holdings. Relative performance suffered in Consumer Discretionary due to our investments in specialty department store retailer Stage Stores, restaurant chain Sonic, and memorialization products company Matthews International. Our positions in Albany, a producer of specialty fabric used in the production of paper, and branded office products supplier ACCO hurt performance in the Industrials sector.
Sector allocation, a residual of the fund’s bottom-up stock selection, was also positive primarily due to our above-benchmark weights in the Consumer Discretionary and Utilities sectors.
FUND CHANGES
The fund’s investment approach emphasizes individual stock selection; sector weights are a residual of the process. Based on our two- to three-year time horizon we continue to find attractively valued investment opportunities in a volatile environment.
As in previous years, the annual June Russell rebalance impacted our relative weights as index weights shifted. Consistent with the fund’s bottom-up process, these changes do not impact our investment decisions. Based on bottom-up stock decisions, we added to our position in Reinsurance Group and established new positions in Amerisafe and Northwest Bancshares within the Financials sector. In Industrials, we eliminated our position in communications company Bowne. We decreased our exposure to Health Care by eliminating our position in Centene and trimming our investment in Universal American during the period. In Information Technology we eliminated our position in disk drive and data storage company Xyratex.
17
Ultra Series Fund | June 30, 2010
INTERNATIONAL STOCK FUND
INVESTMENT STRATEGY HIGHLIGHTS
The Ultra Series International Stock Fund will invest, under normal market conditions, primarily in foreign equity securities. Typically, a majority of the fund’s assets are invested in relatively large capitalization stocks of companies located or operating in developed countries. The fund may also invest up to 30% of its assets in securities of companies whose principal business activities are located in emerging market countries. The portfolio managers typically maintain this segment of the fund’s portfolio in such stocks which it believes have a low market price relative to their perceived value based on fundamental analysis of the issuing company and its prospects. The fund may also invest in foreign debt and other income bearing securities at times when it believes that income bearing securities have greater capital appreciation potential than equity securities.
INVESTING ENVIRONMENT
World equity markets were volatile throughout the first half of 2010, posting generally positive returns in the first quarter, then falling sharply from mid-April to late May as European sovereign debt fears intensified. Uncertainty over growth prospects in the United States and China also weighed on stocks. European
markets—particularly those with strained governmental finances, such as Greece, Italy, and Spain—were weak, especially during the second quarter, as the large bailout package did little to calm investors’ fears. Additionally, austerity measures by several European governments led to concerns that the economic recovery could be held back. The U.S. recovery appears to have hit a soft patch, with housing, consumer confidence, and retail sales data coming in below expectations. Recent events, including ongoing global financial reform and the oil spill in the Gulf of Mexico, hint at more aggressive governmental influence on business, further hurting investor sentiment.
Asian markets finished the first half of the year with mixed performance as investors were wary of an economic and real estate slowdown in China as well as political tensions on the Korean peninsula. Although Japan relatively outperformed in the first and second quarters, stocks in the country were hurt by concerns of a global economic slowdown, while strong yen appreciation versus the U.S. Dollar and Euro weighed on export-oriented Japanese companies.
The Industrials sector outperformed for the six-month period. Both the Consumer Staples and Consumer Discretionary sectors also performed well, while the Utilities sector underperformed. The Materials sector, particularly commodity producers, lagged over concerns about weaker Chinese growth and the prospects of greater taxation, and the Energy sector underperformed notably due to slowing demand and the oil spill in the Gulf of Mexico. The Financials sector also underperformed year to date due to regulatory concerns.
In currency markets, the Euro weakened due to sovereign debt problems. The Japanese yen and U.S. Dollar rose, as investors sought out "safe havens."
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS | |
AS OF 6/30/10 | |
Europe (excluding United Kingdom) | 32% |
United Kingdom | 27% |
Japan | 21% |
Pacific Basin | 6% |
Latin America | 3% |
Africa | 2% |
Other Countries | 4% |
Cash and Other Net Assets | 5% |
18
Ultra Series Fund | June 30, 2010
International Stock Fund (concluded)
PERFORMANCE DISCUSSION
The Ultra Series International Stock Fund return of -12.47% (Class I) slightly outperformed the MSCI EAFE Index return of -12.93% for the six-month period ended June 30, 2010. The outperformance was driven mostly by stock selection, as holdings in the Information Technology and the Financials sectors added to returns. Within Information Technology, the portfolio benefited from Yahoo Japan, which performed well as a result of increased online advertising spending. Positions in Amadeus IT and in Keyence also helped the portfolio.
Stock selection in Financials was also accretive to returns. Daito Trust Construction outperformed significantly, as its order growth exceeded expectations due to fewer cancellations and an increased willingness to lend by banks.
Exposure to emerging markets also benefited the strategy, as did stock selection in the Energy sector. The portfolio benefited from the early sale of BP following the oil spill. Conversely, stock selection in Industrials and Materials negatively affected the portfolio, as both sectors were hurt by the perceived slowdown in the global recovery and by recessionary fears, prompting investors to rotate into more defensive sectors. The Materials sector was also affected by the proposed Australian windfall tax on mining companies, which led major companies in the industry to halt project development.
FUND CHANGES
Over the six-month period the fund transitioned to a less defensive position. The fund’s overweight exposure to the traditionally defensive Consumer Staples and Telecommunication Services sectors were reduced to underweight. Additionally, the fund’s underweight positions in the more cyclical Consumer Discretionary and Financials sectors were increased to overweight and equal-weight, respectively.
The fund also increased its exposure to emerging markets over the period. Notable additions within the asset class include Cez, a power plant operator in the Czech Republic, Turkiye Garanti Bankasi, one of Turkey’s largest banks, Samsung Electronics, an electronic equipment company based in South Korea, and Hyundai Mobis, a South Korean auto parts manufacturer.
TARGET RETIREMENT 2020 FUND
INVESTMENT STRATEGY HIGHLIGHTS
The Ultra Series Target Retirement 2020 Fund invests primarily in shares of registered investment companies (the "underlying funds") according to an asset allocation strategy developed by Madison Asset Management, LLC ("Madison"), the fund’s investment adviser, for investors planning to retire in or within a few years of 2020. Over time, the fund’s asset allocation will become more conservative until it reaches approximately 15-30% in stock funds and 70-85% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.
On a periodic basis, Madison will evaluate and sometimes revise the fund’s asset allocations, including revising the asset class weightings and adding and/or removing underlying funds. Madison will also monitor the underlying funds on an ongoing basis and may increase or decrease the fund’s investment in one or several underlying funds. The underlying fund selections are made based on several considerations, including the fund’s style or
19
Ultra Series Fund | June 30, 2010
Target Retirement 2020 Fund (concluded)
asset class exposures, portfolio characteristics, risk profile, and investment process.
INVESTING ENVIRONMENT
After a steep and steady climb up from the market lows of 2009, the first six months of 2010 gave investors a rollercoaster like ride. Stocks charged out of the gate in early January but quickly stalled with the appearance of sovereign debt challenges in Greece. The S&P 500 turned in its third consecutive January decline, losing -3.6% for the month. By early February, the sovereign debt fears abated and the U.S. stock market resumed its upward march, and by late April was up 10% for the year. However, early May brought us the "flash crash," an intraday drop of nearly 9% in the value of the S&P 500. Sovereign debt fears reemerged and intensified in Europe, the government debt ratings of Greece, Spain, and Portugal were all cut, Greece being lowered to b elow investment grade or "junk" status. Suddenly, markets were awakened from their risk complacent slumber. Volatility burst back onto the scene resulting in a flight to quality reminiscent of the fall of 2008. The yield on the 10 year Treasury fell from near 4% to below 3% by the end of the quarter as investors flocked to the perceived safety of U.S. government bonds.
As of June 30th the S&P 500 was down -6.7% for the year, with an oversized loss of -11.4% during the second quarter. International stocks experienced more severe declines, driven by a sharply lower Euro in the wake of the European debt crisis. The MSCI EAFE Index lost -12.9% over the period. Bonds benefited from decreasing yield levels and increased demand and the Barclays Capital U.S. Aggregate Bond Index finished the first six months up 5.3%.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | |
AS OF 6/30/10 | |
Fund | |
Bond Funds | 44% |
Stock Funds | 47% |
Foreign Stock Funds | 7% |
Money Market Securities and Other Net Assets | 2% |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2010, the Ultra Series Target Retirement 2020 Fund returned -2.67% (Class I shares), underperforming the Dow Jones Global Target 2020 Index return of -0.45%.
Key contributors to performance included: Hussman Strategic Growth Fund which returned 5.2% over the period, MEMBERS Bond Fund Class Y which returned 4.6%, and Dodge & Cox Income Fund which returned 4.3%. Key detractors included: T. Rowe Price New Era Fund which returned -14.0%, MEMBERS International Stock Fund Class Y which returned -12.9%, and MEMBERS Large Cap Value Fund Class Y which returned -9.0%.
FUND CHANGES
Added to the portfolio during the period were Madison Mosaic Disciplined Equity Fund, Matthews Asian Growth & Income Fund and PIMCO Investment Grade Bond Fund.
20
Ultra Series Fund | June 30, 2010
TARGET RETIREMENT 2030 FUND
INVESTMENT STRATEGY HIGHLIGHTS
The Ultra Series Target Retirement 2030 Fund invests primarily in shares of registered investment companies (the "underlying funds") according to an asset allocation strategy developed by Madison Asset Management, LLC ("Madison"), the fund’s investment adviser, for investors planning to retire in or within a few years of 2030. Over time, the fund’s asset allocation will become more conservative until it reaches approximately 15-30% in stock funds and 70-85% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still
providing the potential for higher total returns over the target period.
On a periodic basis, Madison will evaluate and sometimes revise the fund’s asset allocations, including revising the asset class weightings and adding and/or removing underlying funds. Madison will also monitor the underlying funds on an ongoing basis and may increase or decrease the fund’s investment in one or several underlying funds. The underlying fund selections are made based on several considerations, including the fund’s style or asset class exposures, portfolio characteristics, risk profile, and investment process.
INVESTING ENVIRONMENT
After a steep and steady climb up from the market lows of 2009, the first six months of 2010 gave investors a rollercoaster like ride. Stocks charged out of the gate in early January but quickly stalled with the appearance of sovereign debt challenges in Greece. The S&P 500 turned in its third consecutive January decline, losing -3.6% for the month. By early February, the sovereign debt fears abated and the U.S. stock market resumed its upward march, and by late April was up 10% for the year. However, early May brought us the "flash crash," an intraday drop of nearly 9% in the value of the S&P 500. Sovereign debt fears reemerged and intensified in Europe, the government debt ratings of Greece, Spain, and Portugal were all cut, Greece being lowered to b elow investment grade or "junk" status. Suddenly, markets were awakened from their risk complacent slumber. Volatility burst back onto the scene resulting in a flight to quality reminiscent of the fall of 2008. The yield on the 10 year Treasury fell from near 4% to below 3% by the end of the quarter as investors flocked to the perceived safety of U.S. government bonds.
As of June 30th the S&P 500 was down -6.7% for the year, with an oversized loss of -11.4% during the second quarter. International stocks experienced more severe declines, driven by a sharply lower Euro in the wake of the European debt crisis. The MSCI EAFE Index lost -12.9% over the period. Bonds benefited from decreasing yield levels and increased demand and the Barclays Capital U.S. Aggregate Bond Index finished the first six months up 5.3%.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | |
AS OF 6/30/10 | |
Fund | |
Bond Funds | 34% |
Stock Funds | 55% |
Foreign Stock Funds | 10% |
Money Market Securities and Other Net Assets | 1% |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2010, the Ultra Series Target Retirement 2030 Fund returned -3.84% (Class I shares), underperforming the Dow Jones Global Target 2030 Index return of -2.77 %.
Key contributors to performance included: Hussman Strategic Growth Fund which returned 5.2% over the period, MEMBERS Bond Fund Class Y which returned 4.6%, and Dodge & Cox Income Fund which returned 4.3%. Key
Ultra Series Fund | June 30, 2010
Target Retirement 2030 Fund (concluded)
detractors included: T. Rowe Price New Era Fund which returned -14.0%, MEMBERS International Stock Fund Class Y which returned -12.9%, and MEMBERS Large Cap Value Fund Class Y which returned -9.0%.
FUND CHANGES
Added to the portfolio during the period were Madison Mosaic Disciplined Equity Fund, Matthews Asian Growth & Income Fund and PIMCO Investment Grade Bond Fund.
TARGET RETIREMENT 2040 FUND
INVESTMENT STRATEGY HIGHLIGHTS
The Ultra Series Target Retirement 2040 Fund invests primarily in shares of registered investment companies (the "underlying funds") according to an asset allocation strategy developed by Madison Asset Management, LLC ("Madison"), the fund’s investment adviser, for investors planning to retire in or within a few years of 2040. Over time, the fund’s asset allocation will become more conservative until it reaches approximately 15-30% in stock funds and 70-85% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.
On a periodic basis, Madison will evaluate and sometimes revise the fund’s asset allocations, including revising the asset class weightings and adding and/or removing underlying funds. Madison will also monitor the underlying funds on an ongoing basis and may increase or decrease the fund’s investment in one or several underlying funds. The underlying fund selections are made based on several considerations, including the fund’s style or asset class exposures, portfolio characteristics, risk profile, and investment process.
INVESTING ENVIRONMENT
After a steep and steady climb up from the market lows of 2009, the first six months of 2010 gave investors a rollercoaster like ride. Stocks charged out of the gate in early January but quickly stalled with the appearance of sovereign debt challenges in Greece. The S&P 500 turned in its third consecutive January decline, losing -3.6% for the month. By early February, the sovereign debt fears abated and the U.S. stock market resumed its upward march, and by late April was up 10% for the year. However, early May brought us the "flash crash," an intraday drop of nearly 9% in the value of the S&P 500.
Sovereign debt fears reemerged and intensified in Europe, the government debt ratings of Greece, Spain, and Portugal were all cut, Greece being lowered to below investment grade or "junk" status. Suddenly, markets were awakened from their risk complacent slumber. Volatility burst back onto the scene resulting in a flight to quality reminiscent of the fall of 2008. The yield on the 10 year Treasury fell from near 4% to below 3% by the end of the quarter as investors flocked to the perceived safety of U.S. government bonds.
As of June 30th the S&P 500 was down -6.7% for the year, with an oversized loss of -11.4% during the second quarter. International stocks experienced more severe declines, driven by a sharply lower Euro in the wake of the European debt crisis. The MSCI EAFE Index lost -12.9% over the period. Bonds benefited from decreasing yield levels and increased demand and the Barclays Capital U.S. Aggregate Bond Index finished the first six months up 5.3%.
21
Ultra Series Fund | June 30, 2010
Target Retirement 2040 Fund (concluded)
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | |
AS OF 6/30/10 | |
Fund | |
Bond Funds | 23% |
Stock Funds | 63% |
Foreign Stock Funds | 12% |
Money Market Securities and Other Net Assets | 2% |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2010, the Ultra Series Target Retirement 2040 Fund returned -5.08%, underperforming the Dow Jones Global Target 2040 Index return of -4.25%.
Key contributors to performance included: Hussman Strategic Growth Fund which returned 5.2% over the period, MEMBERS Bond Fund Class Y which returned 4.6%, and Dodge & Cox Income which returned 4.3%. Key detractors included: T. Rowe Price New Era Fund which returned -14.0%, MEMBERS International Stock Fund Class Y which returned -12.9%, and MEMBERS Large Cap Value Fund Class Y which returned -9.0%.
FUND CHANGES
Added to the portfolio during the period were Madison Mosaic Disciplined Equity Fund, Matthews Asian Growth & Income Fund and PIMCO Investment Grade Bond Fund.
BENCHMARK DESCRIPTIONS
Allocation Fund Indexes
The Conservative Allocation Fund Custom Index consists of 65% Merrill Lynch U.S. Corporate, Government and Mortgage Index, 30% Russell 3000¨ Index and 5% MSCI EAFE Index. See market indexes descriptions below.
The Moderate Allocation Fund Custom Index consists of 40% Merrill Lynch U.S. Corporate, Government and Mortgage Index, 45% Russell 3000¨ Index and 15% MSCI EAFE Index. See market indexes descriptions below.
The Aggressive Allocation Fund Custom Index consists of 15% Merrill Lynch U.S. Corporate, Government and Mortgage Index, 55% Russell 3000¨ Index and 30% MSCI EAFE Index. See market indexes descriptions below.
Market Indexes
The Bank of America Merrill Lynch U.S. Corporate, Government & Mortgage Index is a broad-based measure of the total rate of return performance of the U.S. investment-grade bond markets. The index is a capitalization-weighted aggregation of outstanding U.S. treasury, agency and supranational mortgage pass-through, and investment-grade corporate bonds meeting specified selection criteria.
The Bank of America Merrill Lynch U.S. High Yield Master II Constrained Index tracks the performance of below investment grade U.S. dollar denominated corporate bonds publicly issued in the U.S. domestic market, but limits any individual issuer to a maximum weighting of 2%.
The CBOE BuyWrite Monthly Index (BXM) is a benchmark index designed to track the performance of a hypothetical buy-write strategy (ie. holding a long position in and selling covered call options on that position) on the S&P 500 Index.
The Dow Jones Global Target 2020 Index is a benchmark for multi-asset class portfolios with risk profiles that become more conservative as the year 2020 approaches. The index is a composite of other indexes that represent stocks, bonds and cash.
Ultra Series Fund | June 30, 2010
Benchmark Descriptions (concluded)
The Dow Jones Global Target 2030 Index is a benchmark for multi-asset class portfolios with risk profiles that become more conservative as the year 2030 approaches. The index is a composite of other indexes that represent stocks, bonds and cash.
The Dow Jones Global Target 2040 Index is a benchmark for multi-asset class portfolios with risk profiles that become more conservative as the year 2040 approaches. The index is a composite of other indexes that represent stocks, bonds and cash.
The MSCI EAFE (Europe, Australasia & Far East) Index is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada.
The Russell 1000¨ Index is a large-cap market index which measures the performance of the 1,000 largest companies in the Russell 3000¨ Index (see definition below).
The Russell 1000¨ Growth Index is a large-cap market index which measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 1000¨ Value Index is a large-cap market index which measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
The Russell 2000¨ Index is a small-cap market index which measures the performance of the smallest 2,000 companies in the Russell 3000¨ Index (see definition below.)
The Russell 2000¨ Growth Index is a small-cap market index which measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 2000¨ Value Index is a small-cap market index which measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.
The Russell 3000¨ Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents 98% of the investable U.S. equity market.
The Russell Midcap¨ Growth Index is a mid-cap market index which measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values.
The S&P 500 Index is a large-cap market index which measures the performance of a representative sample of 500 leading companies in leading industries in the U.S.
22
Ultra Series Fund | June 30, 2010
Conservative Allocation Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 99.87% | ||
Bond Funds - 72.47% | ||
1,699,579 | Madison Mosaic Institutional Bond Fund (R) | $ 18,576,394 |
4,652,385 | MEMBERS Bond Fund, Class Y (R) | 48,012,618 |
3,577,923 | MEMBERS High Income Fund, Class Y (R) | 23,936,302 |
1,904,407 | PIMCO Investment Grade Corporate Bond Fund | 21,424,576 |
1,993,728 | PIMCO Total Return Fund | 22,449,373 |
986,956 | Templeton Global Bond Fund | 12,711,989 |
147,111,252 | ||
Foreign Stock Funds - 4.31% | ||
994,315 | MEMBERS International Stock Fund, Class Y (R) | 8,749,975 |
Money Market Funds - 0.72% | ||
1,460,515 | SSgA Prime Money Market Fund | 1,460,515 |
Shares | Value (Note 2) | |
Stock Funds - 22.37% | ||
234,820 | Calamos Growth and Income Fund | $ 6,159,333 |
442,111 | Madison Mosaic Disciplined Equity Fund (R) | 4,743,850 |
585,893 | MEMBERS Equity Income Fund, Class Y (R) | 5,425,371 |
1,130,033 | MEMBERS Large Cap Growth Fund, Class Y (R) | 14,792,131 |
1,401,878 | MEMBERS Large Cap Value Fund, Class Y (R) | 14,299,156 |
45,419,841 | ||
Total Investment Companies - 99.87% ( Cost $203,237,993** ) | 202,741,583 | |
NET OTHER ASSETS AND LIABILITIES - 0.13% | 267,730 | |
TOTAL NET ASSETS - 100.00% | $203,009,313 |
** | Aggregate cost for Federal tax purposes was $206,117,734. |
(R) | Affiliated Company (see Note 11). |
See accompanying Notes to Financial Statements.
23
Ultra Series Fund | June 30, 2010
Moderate Allocation Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 100.01% | ||
Bond Funds - 45.68% | ||
1,590,343 | Madison Mosaic Institutional Bond Fund (R) | $ 17,382,454 |
4,572,597 | MEMBERS Bond Fund, Class Y (R) | 47,189,201 |
4,740,125 | MEMBERS High Income Fund, Class Y (R) | 31,711,437 |
1,824,451 | PIMCO Investment Grade Corporate Bond Fund | 20,525,072 |
1,948,925 | PIMCO Total Return Fund | 21,944,893 |
1,444,647 | Templeton Global Bond Fund | 18,607,056 |
157,360,113 | ||
Foreign Stock Funds - 10.10% | ||
579,711 | Matthews Asian Growth and Income Fund | 9,171,034 |
2,909,545 | MEMBERS International Stock Fund, Class Y (R) | 25,603,999 |
34,775,033 | ||
Money Market Funds - 0.66% | ||
2,272,635 | SSgA Prime Money Market Fund | 2,272,635 |
Shares | Value (Note 2) | |
Stock Funds - 43.57% | ||
770,093 | Calamos Growth and Income Fund | $ 20,199,543 |
2,353,033 | Madison Mosaic Disciplined Equity Fund (R) | 25,248,045 |
1,357,246 | MEMBERS Equity Income Fund, Class Y (R) | 12,568,101 |
2,563,246 | MEMBERS Large Cap Growth Fund, Class Y (R) | 33,552,885 |
3,225,856 | MEMBERS Large Cap Value Fund, Class Y (R) | 32,903,728 |
1,925,389 | MEMBERS Mid Cap Fund, Class Y (R) | 10,108,290 |
1,369,524 | MEMBERS Small Cap Fund, Class Y (R) | 12,051,813 |
92,400 | T Rowe Price New Era Fund | 3,465,939 |
150,098,344 | ||
Total Investment Companies - 100.01% ( Cost $357,019,583** ) | 344,506,125 | |
NET OTHER ASSETS AND LIABILITIES - (0.01)% | (24,190) | |
TOTAL NET ASSETS - 100.00% | $344,481,935 |
** | Aggregate cost for Federal tax purposes was $363,501,943. |
(R) | Affiliated Company (see Note 11). |
See accompanying Notes to Financial Statements.
24
Ultra Series Fund | June 30, 2010
Aggressive Allocation Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 100.15% | ||
Bond Funds - 13.91% | ||
384,393 | MEMBERS Bond Fund,Class Y (R) | $ 3,966,936 |
1,016,757 | MEMBERS High Income Fund,Class Y (R) | 6,802,104 |
211,768 | PIMCO Investment Grade Corporate Bond Fund | 2,382,392 |
214,409 | Templeton Global Bond Fund | 2,761,589 |
15,913,021 | ||
Foreign Stock Funds - 13.95% | ||
291,293 | Matthews Asian Growth and Income Fund | 4,608,259 |
1,290,111 | MEMBERS International Stock Fund,Class Y (R) | 11,352,976 |
15,961,235 | ||
Money Market Funds - 0.73% | ||
832,910 | SSgA Prime Money Market Fund | 832,910 |
Stock Funds - 71.56% | ||
177,886 | Calamos Growth and Income Fund | 4,665,939 |
314,490 | Fairholme Fund | 9,529,060 |
532,074 | Hussman Strategic Growth Fund | 7,156,400 |
Shares | Value (Note 2) | |
1,178,708 | Madison Mosaic Disciplined Equity Fund (R) | $ 12,647,541 |
427,396 | MEMBERS Equity Income Fund,Class Y (R) | 3,957,690 |
1,008,496 | MEMBERS Large Cap Growth Fund,Class Y (R) | 13,201,218 |
1,263,382 | MEMBERS Large Cap Value Fund,Class Y (R) | 12,886,494 |
1,344,249 | MEMBERS Mid Cap Fund,Class Y (R) | 7,057,306 |
656,636 | MEMBERS Small Cap Fund,Class Y (R) | 5,778,393 |
133,076 | T Rowe Price New Era Fund | 4,991,670 |
81,871,711 | ||
Total Investment Companies - 100.15% ( Cost $118,125,133** ) | 114,578,877 | |
NET OTHER ASSETS AND LIABILITIES - (0.15)% | (170,496) | |
TOTAL NET ASSETS - 100.00% | $114,408,381 |
** | Aggregate cost for Federal tax purposes was $121,285,230. |
(R) | Affiliated Company (see Note 11). |
See accompanying Notes to Financial Statements.
25
Ultra Series Fund | June 30, 2010
Money Market Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 83.85% | ||
Fannie Mae - 19.96% (A) | ||
$2,000,000 | 0.150%, due 07/06/10 | $ 1,999,958 |
2,000,000 | 0.170%, due 07/07/10 | 1,999,943 |
3,000,000 | 0.175%, due 07/14/10 | 2,999,811 |
3,250,000 | 0.190%, due 08/11/10 | 3,249,397 |
837,000 | 0.120%, due 08/18/10 | 836,866 |
2,500,000 | 0.195%, due 08/25/10 | 2,499,255 |
1,250,000 | 0.130%, due 09/15/10 | 1,249,657 |
1,500,000 | 0.150%, due 09/22/10 | 1,499,481 |
16,334,368 | ||
Federal Home Loan Bank - 29.32% (A) | ||
3,000,000 | 0.190%, due 07/02/10 | 2,999,985 |
1,500,000 | 0.160%, due 07/12/10 | 1,499,927 |
2,000,000 | 0.130%, due 07/21/10 | 1,999,856 |
2,000,000 | 0.185%, due 07/30/10 | 1,999,702 |
2,250,000 | 0.100%, due 08/04/10 | 2,249,787 |
2,000,000 | 0.140%, due 08/05/10 | 1,999,728 |
1,000,000 | 0.195%, due 08/18/10 | 999,740 |
2,500,000 | 0.190%, due 08/20/10 | 2,499,340 |
3,000,000 | 0.140%, due 09/02/10 | 2,999,317 |
3,500,000 | 0.120%, due 09/07/10 | 3,499,207 |
1,250,000 | 0.090%, due 09/09/10 | 1,249,781 |
23,996,370 | ||
Freddie Mac - 27.24% (A) | ||
3,000,000 | 0.175%, due 07/12/10 | 2,999,840 |
1,400,000 | 0.100%, due 07/16/10 | 1,399,942 |
2,500,000 | 0.140%, due 07/26/10 | 2,499,757 |
2,000,000 | 0.090%, due 08/02/10 | 1,999,840 |
1,000,000 | 0.180%, due 08/09/10 | 999,805 |
2,500,000 | 0.180%, due 08/10/10 | 2,499,500 |
2,500,000 | 0.180%, due 08/17/10 | 2,499,412 |
1,400,000 | 0.190%, due 08/23/10 | 1,399,608 |
2,500,000 | 0.185%, due 08/30/10 | 2,499,311 |
3,500,000 | 0.145%, due 09/13/10 | 3,498,957 |
22,295,972 | ||
Par Value | Value (Note 2) | |
U.S. Treasury Bills - 7.33% (A) | ||
$3,000,000 | 0.150%, due 07/29/10 | $ 2,999,651 |
3,000,000 | 0.105%, due 08/26/10 | 2,999,512 |
5,999,163 | ||
Total U.S. Government and Agency Obligations ( Cost $68,625,873 ) | 68,625,873 | |
SHORT-TERM INVESTMENTS - 11.61% | ||
Consumer Staples - 4.28% | ||
3,500,000 | Coca-Cola Co. | 3,499,396 |
Industrials - 3.67% | ||
3,000,000 | General Electric Co. | 2,999,874 |
Transportation - 3.66% | ||
3,000,000 | United Parcel Service, Inc. | 2,999,778 |
Total Short-Term Investments ( Cost $9,499,048 ) | 9,499,048 | |
Shares | ||
INVESTMENT COMPANY - 4.16% | ||
3,406,907 | SSgA U.S. Treasury Money Market Fund | 3,406,907 |
Total Investment Company (Cost $3,406,907) | 3,406,907 | |
TOTAL INVESTMENTS - 99.62% ( Cost $81,531,828** ) | 81,531,828 | |
NET OTHER ASSETS AND LIABILITIES - 0.38% | 307,322 | |
TOTAL NET ASSETS - 100.00% | $ 81,839,150 |
** | Aggregate cost for Federal tax purposes was $81,531,828. |
(A) | Rate noted represents annualized yield at time of purchase. |
See accompanying Notes to Financial Statements.
26
Ultra Series Fund | June 30, 2010
Bond Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
ASSET BACKED - 1.53% | ||
$ 652,045 | ABSC Long Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (M), 8.550%, due 09/21/30 | $ 641,305 |
3,820,000 | Chase Issuance Trust, Series, 2007-A17, Class A, 5.120%, due 10/15/14 | 4,149,398 |
3,500,000 | New Century Home Equity Loan Trust, Series 2003-5, Class AI5 (G), 5.500%, due 11/25/33 | 3,465,126 |
1,522,578 | Renaissance Home Equity Loan Trust, Series 2005-4, Class M9 (M), 7.000%, due 02/25/36 | 6,159 |
Total Asset Backed ( Cost $9,392,549 ) | 8,261,988 | |
CORPORATE NOTES AND BONDS - 27.14% | ||
Consumer Discretionary - 1.62% | ||
2,500,000 | American Association of Retired Persons (C)(T), 7.500%, due 05/01/31 | 2,989,698 |
1,140,000 | DR Horton, Inc., 5.250%, due 02/15/15 | 1,085,850 |
4,400,000 | ERAC USA Finance LLC (C)(T), 6.700%, due 06/01/34 | 4,690,083 |
8,765,631 | ||
Consumer Staples - 1.35% | ||
1,165,000 | PepsiCo, Inc./NC, 4.650%, due 02/15/13 | 1,265,600 |
2,870,000 | WM Wrigley Jr. Co., 4.300%, due 07/15/10 | 2,870,000 |
3,170,000 | WM Wrigley Jr. Co. (C)(T), 3.050%, due 06/28/13 | 3,187,302 |
7,322,902 | ||
Energy - 1.63% | ||
2,460,000 | Hess Corp., 7.875%, due 10/01/29 | 3,027,057 |
1,400,000 | Transocean, Inc. | |
6.000%, due 03/15/18 | 1,288,493 | |
2,310,000 | Transocean, Inc., 7.500%, due 04/15/31 | 2,136,577 |
2,275,000 | Valero Energy Corp., 7.500%, due 04/15/32 | 2,385,121 |
8,837,248 | ||
Financials - 6.06% | ||
2,500,000 | American General Finance Corp., Series H, 4.625%, due 09/01/10 | 2,493,750 |
2,885,000 | American General Finance Corp., 5.850%, due 06/01/13 | 2,538,800 |
1,165,000 | Bank of America Corp., 5.750%, due 12/01/17 | 1,208,199 |
2,200,000 | Bear Stearns Cos. LLC/The, 7.250%, due 02/01/18 | 2,568,940 |
2,750,000 | Goldman Sachs Group, Inc./The, 5.700%, due 09/01/12 | 2,903,708 |
2,725,000 | HCP, Inc., 6.700%, due 01/30/18 | 2,872,902 |
3,135,000 | Lehman Brothers Holdings, Inc. (E), 5.750%, due 01/03/17 | 1,568 |
2,740,000 | Merrill Lynch & Co., Inc., 6.150%, due 04/25/13 | 2,929,444 |
1,060,000 | Simon Property Group L.P., 5.875%, due 03/01/17 | 1,146,035 |
Par Value | Value (Note 2) | |
$2,700,000 | SLM Corp., 5.125%, due 08/27/12 | $ 2,659,808 |
1,250,000 | Swiss Re Solutions Holding Corp., 7.000%, due 02/15/26 | 1,318,221 |
1,680,000 | Swiss Re Solutions Holding Corp., 7.750%, due 06/15/30 | 1,866,735 |
750,000 | UBS AG/Stamford CT, 5.750%, due 04/25/18 | 773,742 |
2,000,000 | US Bank NA/Cincinnati, OH, 6.300%, due 02/04/14 | 2,267,440 |
2,735,000 | Wells Fargo & Co., 5.250%, due 10/23/12 | 2,926,896 |
2,065,000 | Western Union Co./The, 5.930%, due 10/01/16 | 2,317,170 |
32,793,358 | ||
Food & Drug Retailers - 0.20% | ||
1,055,000 | New Albertson’s, Inc., 7.500%, due 02/15/11 | 1,073,462 |
Health Care - 3.69% | ||
2,600,000 | Eli Lilly & Co., 6.570%, due 01/01/16 | 3,089,143 |
1,740,000 | Genentech, Inc., 5.250%, due 07/15/35 | 1,824,672 |
3,450,000 | Medco Health Solutions, Inc., 7.250%, due 08/15/13 | 3,980,041 |
3,960,000 | Merck & Co., Inc., 5.750%, due 11/15/36 | 4,454,897 |
3,500,000 | Quest Diagnostics, Inc./DE, 5.450%, due 11/01/15 | 3,848,929 |
2,370,000 | Wyeth, 6.500%, due 02/01/34 | 2,792,888 |
19,990,570 | ||
Industrials - 3.41% | ||
760,000 | Boeing Co./The, 8.625%, due 11/15/31 | 1,088,221 |
1,380,000 | Boeing Co./The, 6.875%, due 10/15/43 | 1,712,913 |
2,925,000 | Burlington Northern Santa Fe LLC, 8.125%, due 04/15/20 | 3,747,768 |
585,000 | EI du Pont de Nemours & Co., 5.000%, due 01/15/13 | 634,918 |
3,200,000 | General Electric Co., 5.000%, due 02/01/13 | 3,431,536 |
1,450,000 | Lockheed Martin Corp., 7.650%, due 05/01/16 | 1,829,184 |
1,268,000 | Norfolk Southern Corp., 5.590%, due 05/17/25 | 1,358,464 |
1,400,000 | Norfolk Southern Corp., 7.050%, due 05/01/37 | 1,728,854 |
3,148 | Southwest Airlines Co. 1994-A Pass Through Trust, Series A3, 8.700%, due 07/01/11 | 3,247 |
2,465,000 | Waste Management, Inc., 7.125%, due 12/15/17 | 2,920,507 |
18,455,612 | ||
Information Technology - 1.03% | ||
2,400,000 | Cisco Systems, Inc., 5.500%, due 02/22/16 | 2,764,783 |
2,640,000 | Xerox Corp., 6.875%, due 08/15/11 | 2,790,182 |
5,554,965 |
See accompanying Notes to Financial Statements.
27
Ultra Series Fund | June 30, 2010
Bond Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
CORPORATE NOTES AND BONDS (continued) | ||
Materials - 0.99% | ||
$2,250,000 | Westvaco Corp., 8.200%, due 01/15/30 | $ 2,374,117 |
3,000,000 | Weyerhaeuser Co., 7.375%, due 03/15/32 | 2,963,727 |
5,337,844 | ||
Telecommunication Services - 2.22% | ||
3,080,000 | Comcast Cable Communications Holdings, Inc., 9.455%, due 11/15/22 | 4,248,734 |
4,225,000 | New Cingular Wireless Services Inc., 7.875%, due 03/01/11 | 4,417,930 |
3,000,000 | Rogers Communications, Inc. (D), 6.250%, due 06/15/13 | 3,340,761 |
12,007,425 | ||
Utilities - 4.94% | ||
2,000,000 | Iberdrola USA, Inc., 8.050%, due 11/15/10 | 2,036,346 |
3,445,000 | Indianapolis Power & Light Co. (C), 6.050%, due 10/01/36 | 3,674,248 |
2,925,000 | Interstate Power & Light Co., 6.250%, due 07/15/39 | 3,375,666 |
2,400,000 | Progress Energy, Inc., 7.750%, due 03/01/31 | 3,039,096 |
3,250,000 | Sierra Pacific Power Co., Series M, 6.000%, due 05/15/16 | 3,641,202 |
3,500,000 | Southern Power Co., Series B, 6.250%, due 07/15/12 | 3,810,454 |
2,165,000 | Southwestern Electric Power Co., Series E, 5.550%, due 01/15/17 | 2,317,145 |
1,165,000 | Virginia Electric and Power Co., 5.100%, due 11/30/12 | 1,264,321 |
3,000,000 | Wisconsin Electric Power Co., 6.500%, due 06/01/28 | 3,542,229 |
26,700,707 | ||
Total Corporate Notes and Bonds ( Cost $141,783,341 ) | 146,839,724 | |
MORTGAGE BACKED - 23.72% | ||
Fannie Mae - 20.04% | ||
1,478,950 | 4.000%, due 04/01/15 Pool # 255719 | 1,523,912 |
2,006,096 | 5.500%, due 04/01/16 Pool # 745444 | 2,144,821 |
120,602 | 6.000%, due 05/01/16 Pool # 582558 | 131,239 |
445,176 | 5.500%, due 09/01/17 Pool # 657335 | 482,494 |
686,781 | 5.500%, due 02/01/18 Pool # 673194 | 744,352 |
2,604,824 | 5.000%, due 05/01/20 Pool # 813965 | 2,797,540 |
2,360,152 | 4.500%, due 09/01/20 Pool # 835465 | 2,514,185 |
298,868 | 6.000%, due 05/01/21 Pool # 253847 | 329,200 |
134,559 | 7.000%, due 12/01/29 Pool # 762813 | 151,692 |
139,112 | 7.000%, due 11/01/31 Pool # 607515 | 157,573 |
285,041 | 6.500%, due 03/01/32 Pool # 631377 | 318,239 |
5,140 | 7.000%, due 04/01/32 Pool # 641518 | 5,813 |
Par Value | Value (Note 2) | |
$ 288,559 | 7.000%, due 05/01/32 Pool # 644591 | $ 326,855 |
2,236,491 | 6.500%, due 06/01/32 Pool # 545691 | 2,496,973 |
3,246,452 | 5.500%, due 04/01/33 Pool # 690206 | 3,501,299 |
4,435,026 | 5.000%, due 10/01/33 Pool # 254903 | 4,716,557 |
4,006,200 | 5.500%, due 11/01/33 Pool # 555880 | 4,320,686 |
93,799 | 5.000%, due 05/01/34 Pool # 782214 | 99,680 |
1,130,135 | 5.000%, due 06/01/34 Pool # 778891 | 1,200,992 |
4,610,451 | 5.500%, due 06/01/34 Pool # 780384 | 4,965,168 |
83,377 | 7.000%, due 07/01/34 Pool # 792636 | 93,804 |
490,124 | 5.500%, due 08/01/34 Pool # 793647 | 527,833 |
2,128,193 | 5.500%, due 03/01/35 Pool # 810075 | 2,289,936 |
2,350,610 | 5.500%, due 03/01/35 Pool # 815976 | 2,529,256 |
2,620,964 | 5.500%, due 07/01/35 Pool # 825283 | 2,820,158 |
3,622,046 | 5.000%, due 08/01/35 Pool # 829670 | 3,844,614 |
1,183,185 | 5.500%, due 08/01/35 Pool # 826872 | 1,273,107 |
2,779,582 | 5.000%, due 09/01/35 Pool # 820347 | 2,954,092 |
2,789,027 | 5.000%, due 09/01/35 Pool # 835699 | 2,964,935 |
4,635,761 | 5.000%, due 10/01/35 Pool # 797669 | 4,920,620 |
584,319 | 5.500%, due 10/01/35 Pool # 836912 | 628,728 |
3,331,739 | 5.000%, due 11/01/35 Pool # 844809 | 3,536,468 |
3,217,380 | 5.000%, due 12/01/35 Pool # 850561 | 3,415,081 |
1,207,504 | 5.500%, due 02/01/36 Pool # 851330 | 1,299,274 |
1,205,512 | 5.500%, due 10/01/36 Pool # 896340 | 1,296,001 |
5,438,887 | 5.500%, due 10/01/36 Pool # 901723 | 5,847,143 |
2,671,904 | 6.500%, due 10/01/36 Pool # 894118 | 2,934,669 |
3,749,307 | 6.000%, due 11/01/36 Pool # 902510 | 4,118,782 |
3,432,950 | 5.500%, due 02/01/37 Pool # 905140 | 3,690,636 |
3,038,393 | 5.500%, due 05/01/37 Pool # 899323 | 3,265,817 |
2,078,381 | 5.500%, due 05/01/37 Pool # 928292 | 2,233,948 |
3,673,173 | 6.000%, due 10/01/37 Pool # 947563 | 3,990,787 |
4,695,632 | 5.500%, due 07/01/38 Pool # 986973 | 5,047,100 |
4,807,223 | 5.000%, due 08/01/38 Pool # 988934 | 5,094,085 |
4,431,576 | 6.500%, due 08/01/38 Pool # 987711 | 4,859,527 |
108,405,671 | ||
Freddie Mac - 3.59% | ||
2,101,420 | 5.000%, due 05/01/18 Pool # E96322 | 2,258,205 |
84,137 | 8.000%, due 06/01/30 Pool # C01005 | 97,006 |
318,348 | 7.000%, due 03/01/31 Pool # C48129 | 362,111 |
3,244,810 | 5.000%, due 07/01/33 Pool # A11325 | 3,449,267 |
482,769 | 6.000%, due 10/01/34 Pool # A28439 | 529,869 |
438,427 | 6.000%, due 10/01/34 Pool # A28598 | 481,201 |
4,824,773 | 5.500%, due 11/01/34 Pool # A28282 | 5,204,272 |
445,615 | 5.000%, due 04/01/35 Pool # A32314 | 472,580 |
1,113,279 | 5.000%, due 04/01/35 Pool # A32315 | 1,180,643 |
1,224,316 | 5.000%, due 04/01/35 Pool # A32316 | 1,298,400 |
331,907 | 5.000%, due 04/01/35 Pool # A32509 | 351,991 |
3,549,247 | 5.000%, due 01/01/37 Pool # A56371 | 3,760,686 |
19,446,231 |
See accompanying Notes to Financial Statements.
28
Ultra Series Fund | June 30, 2010
Bond Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
MORTGAGE BACKED (continued) | ||
Ginnie Mae - 0.09% | ||
$ 58,267 | 8.000%, due 10/20/15 Pool # 002995 | $ 63,131 |
196,438 | 6.500%, due 02/20/29 Pool # 002714 | 222,610 |
157,749 | 6.500%, due 04/20/31 Pool # 003068 | 176,677 |
462,418 | ||
Total Mortgage Backed ( Cost $118,456,998 ) | 128,314,320 | |
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 43.40% | ||
Fannie Mae - 1.29% | ||
2,400,000 | 5.250%, due 08/01/12 | 2,590,272 |
3,905,000 | 4.625%, due 10/15/14 | 4,356,250 |
6,946,522 | ||
Federal Farm Credit Bank - 0.88% | ||
4,000,000 | 5.875%, due 10/03/16 | 4,776,176 |
Freddie Mac - 1.64% | ||
2,500,000 | 4.875%, due 11/15/13 | 2,794,190 |
5,500,000 | 4.500%, due 01/15/14 | 6,078,243 |
8,872,433 | ||
U.S. Treasury Bonds - 2.69% | ||
7,350,000 | 6.625%, due 02/15/27 | 10,117,731 |
4,000,000 | 4.500%, due 05/15/38 | 4,411,876 |
14,529,607 | ||
U.S. Treasury Notes - 36.90% | ||
13,000,000 | 4.500%, due 11/15/10 | 13,206,674 |
5,000,000 | 0.875%, due 01/31/11 | 5,017,970 |
12,050,000 | 0.875%, due 02/28/11 | 12,096,597 |
1,485,000 | 4.750%, due 03/31/11 | 1,534,191 |
5,000,000 | 1.000%, due 07/31/11 | 5,031,250 |
23,100,000 | 4.625%, due 12/31/11 | 24,540,146 |
11,400,000 | 1.375%, due 02/15/12 | 11,555,861 |
6,425,000 | 4.625%, due 02/29/12 | 6,862,202 |
2,625,000 | 1.375%, due 05/15/12 | 2,663,556 |
6,000,000 | 4.875%, due 06/30/12 | 6,515,154 |
4,000,000 | 3.625%, due 05/15/13 | 4,308,752 |
2,710,000 | 3.125%, due 08/31/13 | 2,884,456 |
Par Value | Value (Note 2) | |
$9,500,000 | 4.000%, due 02/15/14 | $ 10,416,598 |
10,000,000 | 1.875%, due 02/28/14 | 10,190,620 |
11,200,000 | 4.250%, due 08/15/14 | 12,448,621 |
3,600,000 | 2.375%, due 09/30/14 | 3,718,408 |
20,000,000 | 2.625%, due 12/31/14 | 20,831,240 |
1,750,000 | 2.500%, due 03/31/15 | 1,813,437 |
8,900,000 | 4.250%, due 08/15/15 | 9,952,007 |
9,100,000 | 4.250%, due 11/15/17 | 10,222,567 |
19,750,000 | 2.750%, due 02/15/19 | 19,675,937 |
4,000,000 | 3.375%, due 11/15/19 | 4,142,812 |
199,629,056 | ||
Total U.S. Government and Agency Obligations ( Cost $222,912,212 ) | 234,753,794 | |
Shares | ||
INVESTMENT COMPANY - 3.38% | ||
18,269,647 | SSgA Prime Money Market Fund | 18,269,647 |
Total Investment Company ( Cost $18,269,647 ) | 18,269,647 | |
TOTAL INVESTMENTS - 99.17% ( Cost $510,814,747** ) | 536,439,473 | |
NET OTHER ASSETS AND LIABILITIES - 0.83% | 4,503,036 | |
TOTAL NET ASSETS - 100.00% | $540,942,509 |
** | Aggregate cost for Federal tax purposes was $510,818,895. |
(C) | Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "qualified institutional investors." |
(D) | Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 0.62% of total net assets. |
(E) | In default. Issuer is bankrupt. |
(G) | Floating rate or variable rate note. Rate shown is as of June 30, 2010. |
(M) | Stated interest rate is contingent upon sufficient collateral market value. If collateral market value falls below a stated level, the issuer will either initiate a clean-up call or increase the stated interest rate. |
(T) | Illiquid security. |
See accompanying Notes to Financial Statements.
29
Ultra Series Fund | June 30, 2010
High Income Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
CORPORATE NOTES AND BONDS - 94.67% | ||
Consumer Discretionary - 30.37% | ||
Auto Components - 2.30% | ||
$ 500,000 | American Axle & Manufacturing Holdings, Inc. (C), 9.250%, due 01/15/17 | $ 515,000 |
250,000 | American Axle & Manufacturing Inc., 7.875%, due 03/01/17 | 216,875 |
250,000 | ArvinMeritor, Inc. (P), 4.625%, due 03/01/26 | 223,438 |
500,000 | Goodyear Tire & Rubber Co./The, 10.500%, due 05/15/16 | 543,750 |
250,000 | Lear Corp., 7.875%, due 03/15/18 | 250,625 |
350,000 | Tenneco, Inc., 8.125%, due 11/15/15 | 351,750 |
Hotels, Restaurants & Leisure - 6.47% | ||
500,000 | Ameristar Casinos, Inc., 9.250%, due 06/01/14 | 523,750 |
350,000 | Boyd Gaming Corp., 6.750%, due 04/15/14 | 306,250 |
544,000 | Global Cash Access, Inc./Global Cash Finance Corp., 8.750%, due 03/15/12 | 544,680 |
550,000 | Isle of Capri Casinos, Inc., 7.000%, due 03/01/14 | 495,000 |
500,000 | MCE Finance, Ltd. (C)(D), 10.250%, due 05/15/18 | 519,375 |
750,000 | MGM Resorts International, 8.375%, due 02/01/11 | 757,500 |
500,000 | MGM Resorts International, 6.750%, due 09/01/12 | 465,000 |
250,000 | MGM Resorts International, 6.750%, due 04/01/13 | 223,125 |
300,000 | Penn National Gaming, Inc., 6.750%, due 03/01/15 | 299,250 |
250,000 | Penn National Gaming, Inc., 8.750%, due 08/15/19 | 256,875 |
500,000 | Pinnacle Entertainment, Inc. (C), 8.625%, due 08/01/17 | 515,000 |
300,000 | Pinnacle Entertainment, Inc. (C), 8.750%, due 05/15/20 | 277,875 |
750,000 | Scientific Games International, Inc. (C), 7.875%, due 06/15/16 | 735,000 |
Household Durables - 1.33% | ||
250,000 | ACCO Brands Corp., 10.625%, due 03/15/15 | 271,250 |
500,000 | ACCO Brands Corp., 7.625%, due 08/15/15 | 460,000 |
500,000 | Jarden Corp., 7.500%, due 05/01/17 | 490,000 |
Leisure Equipment & Products - 0.28% | ||
250,000 | Easton-Bell Sports, Inc. (C), 9.750%, due 12/01/16 | 258,750 |
Media - 14.09% | ||
500,000 | Allbritton Communications Co. (C), 8.000%, due 05/15/18 | 495,000 |
500,000 | Belo Corp., 8.000%, due 11/15/16 | 513,750 |
Par Value | Value (Note 2) | |
$ 250,000 | Cablevision Systems Corp., 7.750%, due 04/15/18 | $ 250,000 |
250,000 | Cablevision Systems Corp., 8.000%, due 04/15/20 | 253,125 |
1,000,000 | CCO Holdings LLC/CCO Holdings Capital Corp. (C), 8.125%, due 04/30/20 | 1,022,500 |
500,000 | Cenveo Corp., 8.875%, due 02/01/18 | 480,000 |
500,000 | Gray Television, Inc. (C), 10.500%, due 06/29/15 | 485,000 |
1,000,000 | Hughes Network Systems LLC/HNS Finance Corp., 9.500%, due 04/15/14 | 1,012,500 |
500,000 | Intelsat Jackson Holdings S.A. (D), 11.250%, due 06/15/16 | 532,500 |
1,250,000 | Intelsat Luxembourg S.A. (D), 11.250%, due 02/04/17 | 1,265,625 |
250,000 | Interpublic Group of Cos., Inc./The (P), 4.250%, due 03/15/23 | 250,312 |
250,000 | Lamar Media Corp., 6.625%, due 08/15/15 | 239,375 |
500,000 | Lamar Media Corp., Series C, 6.625%, due 08/15/15 | 473,750 |
500,000 | Liberty Media LLC (P), 3.125%, due 03/30/23 | 523,125 |
500,000 | LIN Television Corp., 6.500%, due 05/15/13 | 487,500 |
500,000 | Mediacom Broadband LLC/Mediacom Broadband Corp., 8.500%, due 10/15/15 | 477,500 |
450,000 | Mediacom LLC/Mediacom Capital Corp., 9.125%, due 08/15/19 | 434,250 |
500,000 | Reader’s Digest Association, Inc./The (C)(G), 9.500%, due 02/15/17 | 498,750 |
250,000 | Sirius XM Radio, Inc. (P), 3.250%, due 10/15/11 | 240,312 |
100,000 | Telesat Canada/Telesat LLC, 11.000%, due 11/01/15 | 108,000 |
500,000 | Viasat, Inc., 8.875%, due 09/15/16 | 508,750 |
850,000 | Virgin Media Finance PLC (D), 9.125%, due 08/15/16 | 879,750 |
750,000 | Visant Holding Corp., 8.750%, due 12/01/13 | 757,500 |
250,000 | WMG Acquisition Corp., 7.375%, due 04/15/14 | 238,125 |
500,000 | XM Satellite Radio, Inc. (C)(P), 7.000%, due 12/01/14 | 473,750 |
Specialty Retail - 4.94% | ||
900,000 | Leslie’s Poolmart, 7.750%, due 02/01/13 | 902,250 |
250,000 | Ltd. Brands, Inc., 6.900%, due 07/15/17 | 250,625 |
1,500,000 | Michaels Stores, Inc., 11.375%, due 11/01/16 | 1,560,000 |
350,000 | NBTY, Inc., 7.125%, due 10/01/15 | 348,250 |
750,000 | Penske Auto Group, Inc., 7.750%, due 12/15/16 | 705,000 |
750,000 | Yankee Acquisition Corp./MA, Series B, 8.500%, due 02/15/15 | 758,438 |
See accompanying Notes to Financial Statements.
30
Ultra Series Fund | June 30, 2010
High Income Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
CORPORATE NOTES AND BONDS (continued) | ||
Consumer Discretionary (continued) | ||
Textile, Apparel & Luxury Goods - 0.96% | ||
$ 400,000 | Iconix Brand Group, Inc. (P), 1.875%, due 06/30/12 | $ 372,000 |
500,000 | Phillips-Van Heusen Corp., 7.375%, due 05/15/20 | 504,375 |
27,801,805 | ||
Consumer Staples - 4.37% | ||
500,000 | Central Garden and Pet Co., 8.250%, due 03/01/18 | 495,625 |
200,000 | Dole Food Co., Inc. (C), 8.000%, due 10/01/16 | 200,500 |
750,000 | Ingles Markets, Inc., 8.875%, due 05/15/17 | 763,125 |
500,000 | Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp. (C), 9.250%, due 04/01/15 | 510,000 |
250,000 | Sealy Mattress Co., 8.250%, due 06/15/14 | 250,625 |
500,000 | Spectrum Brands Holdings, Inc. (C), 9.500%, due 06/15/18 | 515,625 |
250,000 | Stater Brothers Holdings, 8.125%, due 06/15/12 | 250,000 |
500,000 | Stater Brothers Holdings, 7.750%, due 04/15/15 | 498,750 |
500,000 | Tops Markets LLC (C), 10.125%, due 10/15/15 | 515,000 |
3,999,250 | ||
Energy - 6.92% | ||
500,000 | Chesapeake Energy Corp., 6.250%, due 01/15/18 | 505,000 |
750,000 | Complete Production Services, Inc., 8.000%, due 12/15/16 | 733,125 |
250,000 | Continental Resources, Inc./OK, 8.250%, due 10/01/19 | 261,250 |
1,000,000 | EXCO Resources, Inc., 7.250%, due 01/15/11 | 997,500 |
500,000 | Ferrellgas Partners L.P./Ferrellgas Partners Finance Corp., 8.625%, due 06/15/20 | 500,000 |
150,000 | Helix Energy Solutions Group, Inc. (C), 9.500%, due 01/15/16 | 138,000 |
500,000 | Helix Energy Solutions Group, Inc. (P), 3.250%, due 12/15/25 | 432,500 |
750,000 | Key Energy Services, Inc., 8.375%, due 12/01/14 | 745,313 |
250,000 | Mariner Energy, Inc., 8.000%, due 05/15/17 | 273,125 |
1,000,000 | MarkWest Energy Partners L.P./MarkWest Energy Finance Corp., Series B, 8.750%, due 04/15/18 | 1,010,000 |
250,000 | Petroplus Finance, Ltd. (C)(D), 7.000%, due 05/01/17 | 203,750 |
500,000 | Plains Exploration & Production Co., 10.000%, due 03/01/16 | 535,000 |
6,334,563 | ||
Par Value | Value (Note 2) | |
Financials - 2.12% | ||
$ 600,000 | CIT Group, Inc., 7.000%, due 05/01/16 | $ 547,500 |
1,000,000 | Nuveen Investments, Inc., 10.500%, due 11/15/15 | 870,000 |
500,000 | Trans Union LLC/TransUnion Financing Corp. (C), 11.375%, due 06/15/18 | 526,250 |
1,943,750 | ||
Health Care - 5.90% | ||
250,000 | Biomet, Inc., 10.000%, due 10/15/17 | 268,750 |
750,000 | Biomet, Inc., 11.625%, due 10/15/17 | 811,875 |
250,000 | Capella Healthcare, Inc. (C), 9.250%, due 07/01/17 | 252,500 |
250,000 | HCA, Inc., 5.750%, due 03/15/14 | 232,500 |
950,000 | HCA, Inc., 9.250%, due 11/15/16 | 1,007,000 |
500,000 | Hologic, Inc. (P), 2.000%, due 12/15/37 | 425,625 |
500,000 | IASIS Healthcare LLC/IASIS Capital Corp., 8.750%, due 06/15/14 | 497,500 |
550,000 | Omnicare, Inc., Series OCR (P), 3.250%, due 12/15/35 | 455,125 |
500,000 | Stewart Enterprises, Inc.(T), 6.250%, due 02/15/13 | 491,250 |
1,000,000 | Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8.000%, due 02/01/18 | 960,000 |
5,402,125 | ||
Industrials - 19.97% | ||
250,000 | Affinion Group, Inc., 10.125%, due 10/15/13 | 256,250 |
750,000 | Affinion Group, Inc., 11.500%, due 10/15/15 | 787,500 |
1,750,000 | ARAMARK Corp., 8.500%, due 02/01/15 | 1,767,500 |
500,000 | Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 7.625%, due 05/15/14 | 481,250 |
750,000 | Baldor Electric Co., 8.625%, due 02/15/17 | 776,250 |
500,000 | Bristow Group, Inc., 6.125%, due 06/15/13 | 492,500 |
750,000 | Bristow Group, Inc., 7.500%, due 09/15/17 | 716,250 |
1,000,000 | Casella Waste Systems, Inc., 9.750%, due 02/01/13 | 1,000,000 |
200,000 | Covanta Holding Corp. (P), 1.000%, due 02/01/27 | 185,500 |
1,000,000 | FTI Consulting, Inc., 7.750%, due 10/01/16 | 1,010,000 |
255,000 | Gulfmark Offshore, Inc., 7.750%, due 07/15/14 | 242,250 |
500,000 | Hertz Corp./The, 8.875%, due 01/01/14 | 506,250 |
200,000 | Hertz Corp./The, 10.500%, due 01/01/16 | 207,500 |
500,000 | Iron Mountain, Inc., 7.750%, due 01/15/15 | 503,750 |
500,000 | KAR Auction Services, Inc., 8.750%, due 05/01/14 | 502,500 |
500,000 | Mac-Gray Corp., 7.625%, due 08/15/15 | 481,250 |
500,000 | Moog, Inc., 7.250%, due 06/15/18 | 490,000 |
500,000 | RBS Global, Inc./Rexnord LLC (C), 8.500%, due 05/01/18 | 485,000 |
See accompanying Notes to Financial Statements.
31
Ultra Series Fund | June 30, 2010
High Income Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
CORPORATE NOTES AND BONDS (continued) | ||
Industrials (continued) | ||
$ 900,000 | RSC Equipment Rental, Inc., 9.500%, due 12/01/14 | $ 894,375 |
750,000 | ServiceMaster Co./The, PIK (C), 10.750%, due 07/15/15 | 776,250 |
500,000 | Standard Pacific Corp., 8.375%, due 05/15/18 | 475,000 |
650,000 | Terex Corp., 8.000%, due 11/15/17 | 601,250 |
1,000,000 | Trinity Industries, Inc. (P), 3.875%, due 06/01/36 | 767,500 |
550,000 | United Rentals North America, Inc., 7.750%, due 11/15/13 | 534,875 |
250,000 | United Rentals North America, Inc., 10.875%, due 06/15/16 | 268,125 |
500,000 | USG Corp., 9.500%, due 01/15/18 | 495,000 |
500,000 | Waste Services, Inc., 9.500%, due 04/15/14 | 512,500 |
1,000,000 | WCA Waste Corp.(T), 9.250%, due 06/15/14 | 998,750 |
600,000 | West Corp./Old, 9.500%, due 10/15/14 | 603,000 |
450,000 | West Corp./Old, 11.000%, due 10/15/16 | 457,875 |
18,276,000 | ||
Information Technology - 7.73% | ||
500,000 | ADC Telecommunications, Inc. (G)(P), 1.121%, due 06/15/13 | 438,750 |
1,000,000 | Advanced Micro Devices, Inc. (P), 6.000%, due 05/01/15 | 950,000 |
250,000 | Advanced Micro Devices, Inc. (C), 8.125%, due 12/15/17 | 248,750 |
1,000,000 | Alcatel-Lucent USA, Inc. (P), 2.875%, due 06/15/25 | 842,500 |
600,000 | Sanmina-SCI Corp., 8.125%, due 03/01/16 | 591,000 |
500,000 | SAVVIS, Inc. (P), 3.000%, due 05/15/12 | 470,000 |
1,500,000 | Sungard Data Systems, Inc., 9.125%, due 08/15/13 | 1,524,375 |
750,000 | Sungard Data Systems, Inc., 10.625%, due 05/15/15 | 801,562 |
750,000 | Syniverse Technologies, Inc., Series B (T), 7.750%, due 08/15/13 | 731,250 |
500,000 | Telcordia Technologies, Inc. (C), 11.000%, due 05/01/18 | 475,000 |
7,073,187 | ||
Materials - 4.47% | ||
500,000 | AK Steel Corp., 7.625%, due 05/15/20 | 485,000 |
250,000 | Cascades, Inc. (D), 7.875%, due 01/15/20 | 248,750 |
500,000 | Ferro Corp. (P), 6.500%, due 08/15/13 | 481,875 |
350,000 | Graphic Packaging International, Inc., 9.500%, due 06/15/17 | 365,750 |
Par Value | Value (Note 2) | |
$ 300,000 | Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, due 02/01/18 | $ 270,750 |
600,000 | Huntsman International LLC, 7.875%, due 11/15/14 | 579,000 |
500,000 | Huntsman International LLC (C), 5.500%, due 06/30/16 | 437,500 |
1,000,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (C), 7.750%, due 10/15/16 | 977,500 |
250,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (C), 8.500%, due 05/15/18 | 245,312 |
4,091,437 | ||
Telecommunication Services - 8.82% | ||
1,000,000 | Angel Lux Common S.A. (C)(D)(T), 8.875%, due 05/01/16 | 1,027,500 |
850,000 | Level 3 Communications, Inc. (P), 3.500%, due 06/15/12 | 775,625 |
500,000 | PAETEC Holding Corp. (C), 8.875%, due 06/30/17 | 500,000 |
500,000 | Qwest Communications International, Inc., 7.500%, due 02/15/14 | 501,250 |
500,000 | Qwest Communications International, Inc., Series B, 7.500%, due 02/15/14 | 501,250 |
650,000 | SBA Communications Corp. (P), 1.875%, due 05/01/13 | 653,250 |
1,000,000 | Sprint Nextel Corp., 8.375%, due 08/15/17 | 1,000,000 |
500,000 | tw telecom holdings, Inc. (C), 8.000%, due 03/01/18 | 510,000 |
1,250,000 | Wind Acquisition Finance S.A. (C)(D), 11.750%, due 07/15/17 | 1,281,250 |
600,000 | Windstream Corp., 8.625%, due 08/01/16 | 604,500 |
500,000 | Windstream Corp., 7.875%, due 11/01/17 | 488,125 |
250,000 | Windstream Corp., 7.000%, due 03/15/19 | 230,625 |
8,073,375 | ||
Utilities - 4.00% | ||
500,000 | AES Corp./The, 8.000%, due 06/01/20 | 502,500 |
210,000 | Calpine Corp. (C), 7.250%, due 10/15/17 | 201,600 |
750,000 | Mirant Americas Generation LLC, 8.300%, due 05/01/11 | 765,000 |
750,000 | Mirant Americas Generation LLC, 8.500%, due 10/01/21 | 697,500 |
250,000 | Mirant North America LLC, 7.375%, due 12/31/13 | 255,625 |
750,000 | NRG Energy, Inc., 7.375%, due 02/01/16 | 746,250 |
500,000 | RRI Energy, Inc., 7.625%, due 06/15/14 | 492,500 |
3,660,975 | ||
Total Corporate Notes and Bonds ( Cost $84,177,910 ) | 86,656,467 |
See accompanying Notes to Financial Statements.
32
Ultra Series Fund | June 30, 2010
High Income Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANY - 3.53% | ||
$3,233,651 | SSgA Prime Money Market Fund | $ 3,233,651 |
Total Investment Company ( Cost $3,233,651 ) | 3,233,651 | |
TOTAL INVESTMENTS - 98.20% ( Cost $87,411,561** ) | 89,890,118 | |
NET OTHER ASSETS AND LIABILITIES - 1.80% | 1,643,436 | |
TOTAL NET ASSETS - 100.00% | $91,533,554 |
** | Aggregate cost for Federal tax purposes was $87,411,561. |
(C) | Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "qualified institutional investors." |
(D) | Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 6.51% of total net assets. |
(G) | Floating rate or variable rate note. Rate shown is as of June 30, 2010. |
(P) | Convertible. |
(T) | Illiquid security. |
PIK | Payment in Kind. |
PLC | Public Limited Company. |
ULC | Unlimited Limited Company. |
See accompanying Notes to Financial Statements.
33
Ultra Series Fund | June 30, 2010
Diversified Income Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 44.41% | ||
Consumer Discretionary - 2.06% | ||
43,900 | Darden Restaurants, Inc. | $ 1,705,515 |
76,400 | McDonald’s Corp. | 5,032,468 |
22,900 | VF Corp. | 1,630,022 |
8,368,005 | ||
Consumer Staples - 8.02% | ||
143,000 | Altria Group, Inc. | 2,865,720 |
102,500 | Avon Products, Inc. | 2,716,250 |
89,900 | Coca-Cola Co./The | 4,505,788 |
29,000 | Diageo PLC, ADR | 1,819,460 |
30,500 | Kimberly-Clark Corp. | 1,849,215 |
140,018 | Kraft Foods, Inc., Class A | 3,920,504 |
74,700 | PepsiCo, Inc./NC | 4,552,965 |
146,000 | Philip Morris International, Inc. | 6,692,640 |
30,500 | Procter & Gamble Co./The | 1,829,390 |
63,000 | Sysco Corp. | 1,799,910 |
32,551,842 | ||
Energy - 5.80% | ||
128,200 | Chevron Corp. | 8,699,652 |
103,000 | ConocoPhillips | 5,056,270 |
53,000 | Ensco PLC, ADR | 2,081,840 |
129,000 | Marathon Oil Corp. | 4,010,610 |
94,000 | Spectra Energy Corp. | 1,886,580 |
97,000 | Williams Cos., Inc./The | 1,773,160 |
23,508,112 | ||
Financials - 4.70% | ||
71,000 | Axis Capital Holdings, Ltd. | 2,110,120 |
109,100 | Bank of New York Mellon Corp./The | 2,693,679 |
61,100 | NYSE Euronext | 1,688,193 |
78,000 | Travelers Cos., Inc./The | 3,841,500 |
102,000 | US Bancorp | 2,279,700 |
149,000 | Wells Fargo & Co. | 3,814,400 |
88,000 | Willis Group Holdings PLC | 2,644,400 |
19,071,992 | ||
Health Care - 7.56% | ||
45,500 | Baxter International, Inc. | 1,849,120 |
60,000 | Eli Lilly & Co. | 2,010,000 |
135,000 | Johnson & Johnson | 7,973,100 |
48,000 | Medtronic, Inc. | 1,740,960 |
200,000 | Merck & Co., Inc. | 6,994,000 |
60,000 | Novartis AG, ADR | 2,899,200 |
505,819 | Pfizer, Inc. | 7,212,979 |
30,679,359 | ||
Shares | Value (Note 2) | |
Industrials - 3.95% | ||
37,500 | 3M Co. | $ 2,962,125 |
63,200 | Honeywell International, Inc. | 2,466,696 |
41,000 | Illinois Tool Works, Inc. | 1,692,480 |
47,000 | Lockheed Martin Corp. | 3,501,500 |
26,800 | United Technologies Corp. | 1,739,588 |
117,400 | Waste Management, Inc. | 3,673,446 |
16,035,835 | ||
Information Technology - 5.58% | ||
58,600 | Automatic Data Processing, Inc. | 2,359,236 |
146,000 | Broadridge Financial Solutions, Inc. | 2,781,300 |
346,000 | Intel Corp. | 6,729,700 |
22,200 | International Business Machines Corp. | 2,741,256 |
34,000 | Linear Technology Corp. | 945,540 |
107,000 | Maxim Integrated Products, Inc. | 1,790,110 |
71,000 | Microsoft Corp. | 1,633,710 |
75,000 | Paychex, Inc. | 1,947,750 |
52,000 | QUALCOMM, Inc. | 1,707,680 |
22,636,282 | ||
Materials - 0.94% | ||
29,000 | Air Products & Chemicals, Inc. | 1,879,490 |
50,000 | Nucor Corp. | 1,914,000 |
3,793,490 | ||
Telecommunication Services - 3.24% | ||
298,015 | AT&T, Inc. | 7,208,983 |
140,000 | Verizon Communications, Inc. | 3,922,800 |
97,000 | Vodafone Group PLC, ADR | 2,004,990 |
13,136,773 | ||
Utilities - 2.56% | ||
45,000 | Consolidated Edison, Inc. | 1,939,500 |
122,000 | Duke Energy Corp. | 1,952,000 |
60,000 | Exelon Corp. | 2,278,200 |
67,000 | FirstEnergy Corp. | 2,360,410 |
47,000 | Progress Energy, Inc. | 1,843,340 |
10,373,450 | ||
Total Common Stocks ( Cost $182,767,799 ) | 180,155,140 | |
Par Value | ||
ASSET BACKED - 1.19% | ||
$ 599,648 | ABSC Long Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (M), 8.550%, due 09/21/30 | $ 589,772 |
1,975,000 | CarMax Auto Owner Trust, Series 2007-2, Class B, 5.370%, due 03/15/13 | 2,032,212 |
2,045,000 | Chase Issuance Trust, Series 2007-A17, Class A, 5.120%, due 10/15/14 | 2,221,340 |
See accompanying Notes to Financial Statements.
34
Ultra Series Fund | June 30, 2010
Diversified Income Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
ASSET BACKED (continued) | ||
$ 630,562 | Renaissance Home Equity Loan Trust, Series 2005-4, Class M9 (M), 7.000%, due 02/25/36 | $ 2,550 |
Total Asset Backed ( Cost $5,218,204 ) | 4,845,874 | |
CORPORATE NOTES AND BONDS - 22.58% | ||
Consumer Discretionary - 1.58% | ||
2,000,000 | American Association of Retired Persons (C)(T), 7.500%, due 05/01/31 | 2,391,758 |
515,000 | DR Horton, Inc., 5.250%, due 02/15/15 | 490,537 |
1,850,000 | ERAC USA Finance LLC (C)(T), 6.700%, due 06/01/34 | 1,971,967 |
1,600,000 | Royal Caribbean Cruises, Ltd. (D), 7.250%, due 06/15/16 | 1,564,000 |
6,418,262 | ||
Consumer Staples - 1.33% | ||
2,025,000 | Kraft Foods, Inc., 6.500%, due 11/01/31 | 2,223,242 |
620,000 | PepsiCo, Inc./NC, 4.650%, due 02/15/13 | 673,538 |
1,170,000 | WM Wrigley Jr. Co., 4.300%, due 07/15/10 | 1,170,000 |
1,310,000 | WM Wrigley Jr. Co. (C)(T), 3.050%, due 06/28/13 | 1,317,150 |
5,383,930 | ||
Energy - 1.70% | ||
2,000,000 | Chesapeake Energy Corp., 6.375%, due 06/15/15 | 2,065,000 |
1,500,000 | ConocoPhillips, 6.650%, due 07/15/18 | 1,786,435 |
1,150,000 | Hess Corp., 7.875%, due 10/01/29 | 1,415,088 |
750,000 | Transocean, Inc., 6.000%, due 03/15/18 | 690,264 |
1,030,000 | Transocean, Inc., 7.500%, due 04/15/31 | 952,673 |
6,909,460 | ||
Financials - 6.14% | ||
1,500,000 | American General Finance Corp., Series H, 4.625%, due 09/01/10 | 1,496,250 |
1,115,000 | American General Finance Corp., 5.850%, due 06/01/13 | 981,200 |
620,000 | Bank of America Corp., 5.750%, due 12/01/17 | 642,990 |
1,130,000 | Bear Stearns Cos. LLC/The, 7.250%, due 02/01/18 | 1,319,501 |
1,450,000 | HCP, Inc., 6.700%, due 01/30/18 | 1,528,700 |
1,735,000 | Lehman Brothers Holdings, Inc. (E), 5.750%, due 01/03/17 | 868 |
1,415,000 | Merrill Lynch & Co., Inc., 6.150%, due 04/25/13 | 1,512,833 |
2,400,000 | National Rural Utilities Cooperative Finance Corp., Series C, 7.250%, due 03/01/12 | 2,631,818 |
2,400,000 | Nationwide Health Properties, Inc., Series D, 8.250%, due 07/01/12 | 2,629,447 |
3,240,000 | Nissan Motor Acceptance Corp. (C)(T), 5.625%, due 03/14/11 | 3,324,078 |
Par Value | Value (Note 2) | |
$ 530,000 | Simon Property Group L.P., 5.875%, due 03/01/17 | $ 573,018 |
1,505,000 | SLM Corp., 5.125%, due 08/27/12 | 1,482,597 |
1,000,000 | Swiss Re Solutions Holding Corp., 7.000%, due 02/15/26 | 1,054,577 |
785,000 | Swiss Re Solutions Holding Corp., 7.750%, due 06/15/30 | 872,254 |
2,000,000 | US Bank NA/Cincinnati, OH, 6.300%, due 02/04/14 | 2,267,440 |
1,450,000 | Wells Fargo & Co., 5.250%, due 10/23/12 | 1,551,736 |
935,000 | Western Union Co./The, 5.930%, due 10/01/16 | 1,049,179 |
24,918,486 | ||
Food & Drug Retailers - 0.11% | ||
430,000 | New Albertson’s, Inc., 7.500%, due 02/15/11 | 437,525 |
Health Care - 3.20% | ||
3,950,000 | Amgen, Inc., 5.850%, due 06/01/17 | 4,578,631 |
1,200,000 | Eli Lilly & Co., 6.570%, due 01/01/16 | 1,425,758 |
740,000 | Genentech, Inc., 5.250%, due 07/15/35 | 776,010 |
1,550,000 | Medco Health Solutions, Inc., 7.250%, due 08/15/13 | 1,788,134 |
1,320,000 | Merck & Co., Inc., 5.750%, due 11/15/36 | 1,484,966 |
1,500,000 | Quest Diagnostics, Inc./DE, 5.450%, due 11/01/15 | 1,649,541 |
1,100,000 | Wyeth, 6.500%, due 02/01/34 | 1,296,277 |
12,999,317 | ||
Industrials - 1.98% | ||
350,000 | Boeing Co./The, 8.625%, due 11/15/31 | 501,155 |
620,000 | Boeing Co./The, 6.875%, due 10/15/43 | 769,569 |
1,365,000 | Burlington Northern Santa Fe LLC, 8.125%, due 04/15/20 | 1,748,958 |
310,000 | EI du Pont de Nemours & Co., 5.000%, due 01/15/13 | 336,452 |
780,000 | Lockheed Martin Corp., 7.650%, due 05/01/16 | 983,975 |
957,000 | Norfolk Southern Corp., 5.590%, due 05/17/25 | 1,025,276 |
1,050,000 | Norfolk Southern Corp., 7.050%, due 05/01/37 | 1,296,641 |
1,150,000 | Waste Management, Inc., 7.125%, due 12/15/17 | 1,362,508 |
8,024,534 | ||
Information Technology - 0.27% | ||
960,000 | Cisco Systems, Inc., 5.500%, due 02/22/16 | 1,105,913 |
Materials - 0.27% | ||
1,025,000 | Westvaco Corp., 8.200%, due 01/15/30 | 1,081,542 |
Telecommunication Services - 0.97% | ||
1,780,000 | Comcast Cable Communications Holdings, Inc. 9.455%, due 11/15/22 | 2,455,437 |
1,315,000 | Rogers Communications, Inc. (D) 6.250%, due 06/15/13 | 1,464,367 |
3,919,804 |
See accompanying Notes to Financial Statements.
35
Ultra Series Fund | June 30, 2010
Diversified Income Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
CORPORATE NOTES AND BONDS (continued) | ||
Utilities - 5.03% | ||
$2,000,000 | Iberdrola USA, Inc., 8.050%, due 11/15/10 | $ 2,036,346 |
1,555,000 | Indianapolis Power & Light Co. (C)(T), 6.050%, due 10/01/36 | 1,658,478 |
1,365,000 | Interstate Power & Light Co., 6.250%, due 07/15/39 | 1,575,311 |
4,000,000 | MidAmerican Energy Co., 5.650%, due 07/15/12 | 4,329,776 |
1,600,000 | Nevada Power Co., Series R, 6.750%, due 07/01/37 | 1,846,152 |
2,000,000 | Progress Energy, Inc., 7.750%, due 03/01/31 | 2,532,580 |
474,000 | Sierra Pacific Power Co., Series M, 6.000%, due 05/15/16 | 531,055 |
1,500,000 | Southern Power Co., Series B, 6.250%, due 07/15/12 | 1,633,052 |
835,000 | Southwestern Electric Power Co., Series E, 5.550%, due 01/15/17 | 893,680 |
620,000 | Virginia Electric and Power Co., 5.100%, due 11/30/12 | 672,857 |
2,400,000 | Westar Energy, Inc., 6.000%, due 07/01/14 | 2,693,052 |
20,402,339 | ||
Total Corporate Notes and Bonds ( Cost $87,407,398 ) | 91,601,112 | |
MORTGAGE BACKED - 14.97% | ||
Fannie Mae - 13.06% | ||
694,343 | 4.000%, due 04/01/15 Pool # 255719 | 715,452 |
775,271 | 5.500%, due 04/01/16 Pool # 745444 | 828,882 |
221,103 | 6.000%, due 05/01/16 Pool # 582558 | 240,605 |
1,363,421 | 5.000%, due 12/01/17 Pool # 672243 | 1,466,424 |
1,450,913 | 4.500%, due 09/01/20 Pool # 835465 | 1,545,605 |
254,260 | 6.000%, due 05/01/21 Pool # 253847 | 280,065 |
63,015 | 7.000%, due 12/01/29 Pool # 762813 | 71,038 |
139,112 | 7.000%, due 11/01/31 Pool # 607515 | 157,573 |
2,753 | 7.000%, due 04/01/32 Pool # 641518 | 3,113 |
158,640 | 7.000%, due 05/01/32 Pool # 644591 | 179,693 |
808,578 | 6.500%, due 06/01/32 Pool # 545691 | 902,752 |
592,440 | 6.500%, due 09/01/33 Pool # 737582 | 659,960 |
1,160,218 | 5.500%, due 10/01/33 Pool # 254904 | 1,251,294 |
4,006,200 | 5.500%, due 11/01/33 Pool # 555880 | 4,320,686 |
3,724,512 | 5.000%, due 05/01/34 Pool # 780890 | 3,958,031 |
39,907 | 7.000%, due 07/01/34 Pool # 792636 | 44,898 |
473,510 | 5.500%, due 08/01/34 Pool # 793647 | 509,940 |
2,280,613 | 5.500%, due 03/01/35 Pool # 815976 | 2,453,940 |
1,089,643 | 5.500%, due 07/01/35 Pool # 825283 | 1,172,456 |
519,201 | 5.500%, due 08/01/35 Pool # 826872 | 558,660 |
1,136,029 | 5.000%, due 09/01/35 Pool # 820347 | 1,207,352 |
1,167,453 | 5.000%, due 09/01/35 Pool # 835699 | 1,241,086 |
Par Value | Value (Note 2) | |
$1,452,166 | 5.000%, due 10/01/35 Pool # 797669 | $ 1,541,399 |
1,276,869 | 5.500%, due 10/01/35 Pool # 836912 | 1,373,911 |
1,345,916 | 5.000%, due 12/01/35 Pool # 850561 | 1,428,620 |
2,741,491 | 5.500%, due 12/01/35 Pool # 844583 | 2,949,845 |
542,337 | 5.500%, due 02/01/36 Pool # 851330 | 583,555 |
2,116,540 | 5.500%, due 09/01/36 Pool # 831820 | 2,301,557 |
1,512,616 | 6.000%, due 09/01/36 Pool # 831741 | 1,646,246 |
542,397 | 5.500%, due 10/01/36 Pool # 896340 | 583,111 |
2,039,583 | 5.500%, due 10/01/36 Pool # 901723 | 2,192,679 |
1,229,429 | 6.500%, due 10/01/36 Pool # 894118 | 1,350,335 |
1,944,593 | 6.000%, due 11/01/36 Pool # 902510 | 2,136,223 |
2,158,525 | 5.500%, due 12/01/36 Pool # 902853 | 2,320,549 |
2,126,774 | 5.500%, due 12/01/36 Pool # 903059 | 2,286,415 |
1,870,301 | 5.500%, due 12/01/36 Pool # 907512 | 2,010,690 |
2,311,849 | 5.500%, due 12/01/36 Pool # 907635 | 2,485,382 |
1,872,125 | 6.000%, due 12/01/36 Pool # 903002 | 2,037,516 |
52,997,538 | ||
Freddie Mac - 1.87% | ||
67,310 | 8.000%, due 06/01/30 Pool # C01005 | 77,605 |
230,944 | 6.500%, due 01/01/32 Pool # C62333 | 257,048 |
3,244,810 | 5.000%, due 07/01/33 Pool # A11325 | 3,449,267 |
223,893 | 6.000%, due 10/01/34 Pool # A28439 | 245,736 |
203,328 | 6.000%, due 10/01/34 Pool # A28598 | 223,166 |
240,973 | 5.000%, due 04/01/35 Pool # A32314 | 255,554 |
497,128 | 5.000%, due 04/01/35 Pool # A32315 | 527,209 |
420,857 | 5.000%, due 04/01/35 Pool # A32316 | 446,323 |
220,434 | 5.000%, due 04/01/35 Pool # A32509 | 233,773 |
1,774,624 | 5.000%, due 01/01/37 Pool # A56371 | 1,880,343 |
7,596,024 | ||
Ginnie Mae - 0.04% | ||
129,911 | 6.500%, due 04/20/31 Pool # 003068 | 145,499 |
Total Mortgage Backed ( Cost $56,130,305 ) | 60,739,061 | |
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 14.90% | ||
Fannie Mae - 0.20% | ||
750,000 | 5.250%, due 08/01/12 | 809,460 |
Freddie Mac - 0.38% | ||
1,400,000 | 4.500%, due 01/15/14 | 1,547,189 |
U.S. Treasury Bonds - 1.79% | ||
5,270,000 | 6.625%, due 02/15/27 | 7,254,482 |
U.S. Treasury Notes - 12.53% | ||
500,000 | 4.500%, due 11/15/10 | 507,949 |
2,050,000 | 0.875%, due 02/28/11 | 2,057,927 |
500,000 | 4.750%, due 03/31/11 | 516,562 |
3,900,000 | 4.875%, due 04/30/11 | 4,046,250 |
3,000,000 | 1.000%, due 07/31/11 | 3,018,750 |
See accompanying Notes to Financial Statements.
36
Ultra Series Fund | June 30, 2010
Diversified Income Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | ||
U.S. Treasury Notes (continued) | ||
$3,150,000 | 4.625%, due 12/31/11 | $3,346,384 |
1,125,000 | 1.375%, due 02/15/12 | 1,140,381 |
3,400,000 | 4.625%, due 02/29/12 | 3,631,360 |
1,312,000 | 1.375%, due 05/15/12 | 1,331,271 |
2,500,000 | 4.000%, due 11/15/12 | 2,692,772 |
1,980,000 | 3.625%, due 05/15/13 | 2,132,832 |
1,175,000 | 3.125%, due 08/31/13 | 1,250,641 |
4,810,000 | 4.000%, due 02/15/14 | 5,274,088 |
4,965,000 | 4.250%, due 08/15/14 | 5,518,518 |
1,400,000 | 2.375%, due 09/30/14 | 1,446,047 |
795,000 | 2.500%, due 03/31/15 | 823,819 |
3,550,000 | 4.500%, due 02/15/16 | 4,017,879 |
5,100,000 | 4.250%, due 11/15/17 | 5,729,131 |
1,300,000 | 2.750%, due 02/15/19 | 1,295,125 |
1,000,000 | 3.375%, due 11/15/19 | 1,035,703 |
50,813,389 | ||
Total U.S. Government and Agency Obligations ( Cost $56,701,351 ) | 60,424,520 | |
Shares | ||
INVESTMENT COMPANY - 1.30% | ||
5,279,447 | SSgA Prime Money Market Fund | 5,279,447 |
Total Investment Company ( Cost $5,279,447 ) | 5,279,447 | |
TOTAL INVESTMENTS - 99.35% ( Cost $393,504,504** ) | 403,045,154 | |
NET OTHER ASSETS AND LIABILITIES - 0.65% | 2,624,039 | |
TOTAL NET ASSETS - 100.00% | $405,669,193 |
** | Aggregate cost for Federal tax purposes was $394,148,754. |
(A) | Rate noted represents annualized yield at time of purchase. |
(C) | Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "qualified institutional investors." |
(D) | Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 0.75% of total net assets. |
(E) | In default. Issuer is bankrupt. |
(M) | Stated interest rate is contingent upon sufficient collateral market value. If collateral market value falls below a stated level, the issuer will either initiate a clean-up call or increase the stated interest rate. |
(T) | Illiquid security. |
ADR | American Depositary Receipt. |
PLC | Public Limited Company. |
See accompanying Notes to Financial Statements.
37
Ultra Series Fund | June 30, 2010
Equity Income Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 84.47% | ||
Consumer Discretionary - 14.16% | ||
700 | Best Buy Co., Inc. | $ 23,702 |
500 | Coach, Inc. | 18,275 |
200 | ITT Educational Services, Inc.* | 16,604 |
500 | Kohls Corp.* | 23,750 |
400 | Target Corp. | 19,668 |
600 | Yum! Brands, Inc. | 23,424 |
125,423 | ||
Energy - 10.70% | ||
500 | Noble Corp.* | 15,455 |
1,300 | Petrohawk Energy Corp.* | 22,061 |
400 | Schlumberger, Ltd. | 22,136 |
400 | Southwestern Energy Co.* | 15,456 |
1,500 | Weatherford International, Ltd.* | 19,710 |
94,818 | ||
Financials - 17.39% | ||
500 | Affiliated Managers Group* | 30,385 |
800 | Bank of New York Mellon Corp. | 19,752 |
600 | Capital One Financial Corp. | 24,180 |
300 | Franklin Resources, Inc. | 25,857 |
100 | Goldman Sachs Group, Inc./The | 13,127 |
600 | State Street Corp. | 20,292 |
800 | Wells Fargo & Co. | 20,480 |
154,073 | ||
Health Care - 15.70% | ||
500 | Celgene Corp.* | 25,410 |
600 | Community Health Systems, Inc.* | 20,286 |
400 | Genzyme Corp.* | 20,308 |
500 | Gilead Sciences, Inc.* | 17,140 |
1,600 | Mylan, Inc.* | 27,264 |
400 | St. Jude Medical, Inc.* | 14,436 |
500 | UnitedHealth Group, Inc. | 14,200 |
139,044 | ||
Shares | Value (Note 2) | |
Industrials - 2.47% | ||
600 | Jacobs Engineering Group, Inc.* | $ 21,864 |
Information Technology - 22.05% | ||
800 | Adobe Systems, Inc.* | 21,144 |
500 | BMC Software, Inc.* | 17,315 |
1,100 | Cisco Systems, Inc.* | 23,441 |
100 | Google, Inc., Class A* | 44,495 |
600 | QUALCOMM, Inc. | 19,704 |
800 | Varian Semiconductor Equipment Associates, Inc.* | 22,928 |
400 | Visa, Inc., Class A | 28,300 |
1,300 | Yahoo!, Inc.* | 17,979 |
195,306 | ||
Materials - 2.00% | ||
300 | Freeport-McMoRan Copper & Gold Inc. | 17,739 |
Total Common Stocks ( Cost $817,440 ) | 748,267 | |
NET OTHER ASSETS AND LIABILITIES - 17.32% | 153,392 | |
TOTAL CALL OPTIONS WRITTEN - (1.79)% | (15,835) | |
TOTAL NET ASSETS - 100.00% | $ 885,825 |
* | Non-income producing. |
See accompanying Notes to Financial Statements.
38
Ultra Series Fund | June 30, 2010
Equity Income Fund Portfolio of Investments (unaudited)
Contracts (100 shares per contract) | Expiration Date | Exercise Price | Market Value | |
7 | Best Buy Co., Inc. | September 2010 | $38.00 | $ 630 |
5 | BMC Software, Inc. | August 2010 | 37.50 | 375 |
6 | Capital One Financial Corp. | September 2010 | 44.00 | 1,113 |
5 | Celgene Corp. | October 2010 | 57.50 | 780 |
5 | Coach, Inc. | August 2010 | 42.00 | 275 |
6 | Community Health Systems, Inc. | September 2010 | 35.00 | 1,455 |
3 | Franklin Resources, Inc. | October 2010 | 100.00 | 690 |
3 | Freeport-McMoRan Copper & Gold, Inc. | August 2010 | 75.00 | 185 |
4 | Genzyme Corp. | October 2010 | 55.00 | 700 |
5 | Gilead Sciences, Inc. | August 2010 | 38.00 | 263 |
1 | Google, Inc. | September 2010 | 520.00 | 505 |
2 | ITT Educational Services, Inc. | October 2010 | 100.00 | 790 |
4 | Jacobs Engineering Group, Inc. | October 2010 | 44.00 | 420 |
3 | Kohl’s Corp. | October 2010 | 55.00 | 285 |
5 | Noble Corp. | September 2010 | 34.00 | 688 |
4 | Petrohawk Energy Corp. | September 2010 | 19.00 | 358 |
9 | Petrohawk Energy Corp. | September 2010 | 20.00 | 558 |
4 | QUALCOMM, Inc. | October 2010 | 40.00 | 124 |
4 | St. Jude Medical, Inc. | October 2010 | 40.00 | 370 |
4 | Schlumberger, Ltd. | August 2010 | 60.00 | 758 |
4 | Southwestern Energy Co. | September 2010 | 45.00 | 430 |
4 | Target Corp. | October 2010 | 52.50 | 720 |
5 | UnitedHealth Group Inc. | September 2010 | 33.00 | 138 |
8 | Varian Semiconductor Equipment Associates, Inc. | January 2011 | 35.00 | 1,360 |
2 | Visa, Inc. | September 2010 | 80.00 | 334 |
13 | Yahoo!, Inc. | October 2010 | 16.00 | 540 |
6 | Yum! Brands, Inc. | October 2010 | 41.00 | 990 |
Total Call Options Written (Premiums Received $28,607) | $15,834 |
See accompanying Notes to Financial Statements.
39
Ultra Series Fund | June 30, 2010
Large Cap Value Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 98.01% | ||
Consumer Discretionary - 6.21% | ||
28,000 | AutoZone, Inc. * | $ 5,410,160 |
86,200 | ITT Educational Services, Inc. * | 7,156,324 |
281,000 | Omnicom Group, Inc. | 9,638,300 |
367,000 | Viacom, Inc. | 11,512,790 |
33,717,574 | ||
Consumer Staples - 9.36% | ||
200,000 | CVS Caremark Corp. | 5,864,000 |
100,000 | Diageo PLC, ADR | 6,274,000 |
255,000 | Kraft Foods, Inc., Class A | 7,140,000 |
137,000 | PepsiCo, Inc./NC | 8,350,150 |
182,000 | Philip Morris International, Inc. | 8,342,880 |
103,000 | Procter & Gamble Co./The | 6,177,940 |
181,000 | Wal-Mart Stores, Inc. | 8,700,670 |
50,849,640 | ||
Energy - 19.15% | ||
161,000 | Anadarko Petroleum Corp. | 5,810,490 |
236,546 | Chevron Corp. | 16,052,012 |
311,000 | ConocoPhillips | 15,266,990 |
171,000 | Devon Energy Corp. | 10,417,320 |
419,000 | Noble Corp. * | 12,951,290 |
165,000 | Occidental Petroleum Corp. | 12,729,750 |
358,000 | Southwestern Energy Co. * | 13,833,120 |
847,000 | Weatherford International, Ltd. * | 11,129,580 |
318,000 | Williams Cos., Inc./The | 5,813,040 |
104,003,592 | ||
Financials - 24.67% | ||
115,500 | Arch Capital Group, Ltd. * | 8,604,750 |
1,526,242 | Bank of America Corp. | 21,932,097 |
647,000 | Bank of New York Mellon Corp./The | 15,974,430 |
77,000 | Berkshire Hathaway, Inc. * | 6,136,130 |
47,000 | Goldman Sachs Group, Inc./The | 6,169,690 |
598,088 | JPMorgan Chase & Co. | 21,896,002 |
956,000 | Keycorp | 7,351,640 |
550,000 | Morgan Stanley | 12,765,500 |
115,000 | Travelers Cos., Inc./The | 5,663,750 |
375,000 | US Bancorp | 8,381,250 |
475,000 | Wells Fargo & Co. | 12,160,000 |
230,000 | Willis Group Holdings PLC | 6,911,500 |
133,946,739 | ||
Health Care - 12.08% | ||
138,000 | Baxter International, Inc. | 5,608,320 |
287,000 | Johnson & Johnson | 16,950,220 |
258,000 | Merck & Co., Inc. | 9,022,260 |
1,370,000 | Pfizer, Inc. | 19,536,200 |
510,000 | UnitedHealth Group, Inc. | 14,484,000 |
65,601,000 | ||
Shares | Value (Note 2) | |
Industrials - 7.65% | ||
560,000 | General Electric Co. | $ 8,075,200 |
135,000 | Illinois Tool Works, Inc. | 5,572,800 |
166,000 | Lockheed Martin Corp. | 12,367,000 |
85,000 | United Technologies Corp. | 5,517,350 |
320,100 | Waste Management, Inc. | 10,015,929 |
41,548,279 | ||
Information Technology - 7.65% | ||
471,700 | Intel Corp. | 9,174,565 |
107,200 | International Business Machines Corp. | 13,237,056 |
345,200 | Maxim Integrated Products, Inc. | 5,775,196 |
305,100 | Oracle Corp. | 6,547,446 |
455,000 | Western Union Co./The | 6,784,050 |
41,518,313 | ||
Materials - 3.22% | ||
86,000 | Air Products & Chemicals, Inc. | 5,573,660 |
110,496 | Freeport-McMoRan Copper & Gold, Inc. | 6,533,628 |
140,500 | Nucor Corp. | 5,378,340 |
17,485,628 | ||
Telecommunication Services - 3.87% | ||
623,287 | AT&T, Inc. | 15,077,313 |
287,000 | Vodafone Group PLC, ADR | 5,932,290 |
21,009,603 | ||
Utilities - 4.15% | ||
78,000 | Entergy Corp. | 5,586,360 |
338,000 | Exelon Corp. | 12,833,860 |
90,000 | Questar Corp. | 4,094,100 |
22,514,320 | ||
Total Common Stocks ( Cost $561,142,016 ) | 532,194,688 | |
INVESTMENT COMPANY - 1.16% | ||
6,299,302 | SSgA Prime Money Market Fund | 6,299,302 |
Total Investment Company ( Cost $6,299,302 ) | 6,299,302 | |
TOTAL INVESTMENTS - 99.17% ( Cost $567,441,318** ) | 538,493,990 | |
NET OTHER ASSETS AND LIABILITIES - 0.83% | 4,480,134 | |
TOTAL NET ASSETS - 100.00% | $542,974,124 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $568,513,251. |
ADR | American Depositary Receipt. |
PLC | Public Limited Company. |
See accompanying Notes to Financial Statements.
40
Ultra Series Fund | June 30, 2010
Large Cap Growth Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 98.77% | ||
Consumer Discretionary - 9.99% | ||
33,800 | Amazon.com, Inc. * | $ 3,692,988 |
105,500 | ITT Educational Services, Inc. * | 8,758,610 |
26,300 | Kohl’s Corp. * | 1,249,250 |
158,000 | Lamar Advertising Co., Class A * | 3,874,160 |
75,120 | McDonald’s Corp. | 4,948,154 |
185,467 | Omnicom Group, Inc. | 6,361,518 |
34,800 | TJX Cos., Inc. | 1,459,860 |
173,600 | Vitamin Shoppe, Inc. * | 4,452,840 |
82,749 | Yum! Brands, Inc. | 3,230,521 |
38,027,901 | ||
Consumer Staples - 9.93% | ||
93,900 | Colgate-Palmolive Co. | 7,395,564 |
82,410 | Diageo PLC, ADR | 5,170,403 |
193,130 | PepsiCo, Inc./NC | 11,771,274 |
280,320 | Wal-Mart Stores, Inc. | 13,474,982 |
37,812,223 | ||
Energy - 8.76% | ||
122,800 | Occidental Petroleum Corp. | 9,474,020 |
502,100 | Petrohawk Energy Corp. * | 8,520,637 |
67,800 | Schlumberger, Ltd. | 3,752,052 |
143,600 | Southwestern Energy Co. * | 5,548,704 |
460,485 | Weatherford International, Ltd. * | 6,050,773 |
33,346,186 | ||
Financials - 10.42% | ||
642,773 | Axis Capital Holdings, Ltd. | 19,103,214 |
272,807 | Bank of New York Mellon Corp./The | 6,735,605 |
38,700 | IntercontinentalExchange, Inc. * | 4,374,261 |
212,896 | T Rowe Price Group, Inc. | 9,450,453 |
39,663,533 | ||
Health Care - 13.66% | ||
124,700 | Allergan, Inc./United States | 7,265,022 |
219,390 | Celgene Corp. * | 11,149,400 |
106,557 | HMS Holdings Corp. * | 5,777,520 |
382,350 | Johnson & Johnson | 22,581,591 |
144,635 | St. Jude Medical, Inc. * | 5,219,877 |
51,993,410 | ||
Industrials - 6.89% | ||
50,400 | 3M Co. | 3,981,096 |
78,500 | Boeing Co./The | 4,925,875 |
32,515 | Deere & Co. | 1,810,435 |
147,720 | EnerNOC, Inc. * | 4,644,317 |
100,910 | Raytheon Co. | 4,883,035 |
191,730 | Waste Management, Inc. | 5,999,232 |
26,243,990 | ||
Shares | Value (Note 2) | |
Information Technology - 36.40% | ||
Communications Equipment - 7.81% | ||
845,960 | Cisco Systems, Inc. * | $ 18,027,408 |
356,500 | QUALCOMM, Inc. | 11,707,460 |
Computers & Peripherals - 4.96% | ||
75,120 | Apple, Inc. * | 18,894,933 |
Internet Software & Services - 5.54% | ||
47,378 | Google, Inc., Class A * | 21,080,841 |
IT Services - 6.58% | ||
85,920 | International Business Machines Corp. | 10,609,402 |
204,210 | Visa, Inc., Class A | 14,447,858 |
Semiconductors & Semiconductor Equipment - 4.36% | ||
447,975 | Intel Corp. | 8,713,114 |
274,413 | Varian Semiconductor Equipment Associates, Inc. * | 7,864,676 |
Software - 7.15% | ||
177,495 | ArcSight, Inc. * | 3,974,113 |
153,000 | BMC Software, Inc. * | 5,298,390 |
581,385 | Microsoft Corp. | 13,377,669 |
53,100 | Salesforce.com, Inc. * | 4,557,042 |
138,552,906 | ||
Materials - 2.72% | ||
190,605 | Ecolab, Inc. | 8,560,071 |
47,076 | Nucor Corp. | 1,802,069 |
10,362,140 | ||
Total Common Stocks ( Cost $354,232,727 ) | 376,002,289 | |
INVESTMENT COMPANY - 2.33% | ||
8,871,290 | SSgA Prime Money Market Fund | 8,871,290 |
Total Investment Company ( Cost $8,871,290 ) | 8,871,290 | |
TOTAL INVESTMENTS - 101.10% ( Cost $363,104,017** ) | 384,873,579 | |
NET OTHER ASSETS AND LIABILITIES - (1.10)% | (4,175,134) | |
TOTAL NET ASSETS - 100.00% | $380,698,445 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $365,364,553. |
ADR | American Depositary Receipt. |
PLC | Public Limited Company. |
See accompanying Notes to Financial Statements.
41
Ultra Series Fund | June 30, 2010
Mid Cap Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 90.91% | ||
Consumer Discretionary - 13.35% | ||
187,713 | Bed Bath & Beyond, Inc. * | $ 6,960,398 |
314,598 | CarMax, Inc. * | 6,260,500 |
66,002 | ITT Educational Services, Inc. * | 5,479,486 |
227,295 | Lamar Advertising Co., Class A * | 5,573,274 |
162,077 | Morningstar, Inc. * | 6,891,514 |
189,555 | Omnicom Group, Inc. | 6,501,737 |
81,928 | Sears Holdings Corp. * | 5,296,645 |
207,132 | Yum! Brands, Inc. | 8,086,433 |
51,049,987 | ||
Consumer Staples - 3.96% | ||
114,606 | Brown-Forman Corp., Class B | 6,558,901 |
225,778 | McCormick & Co., Inc./MD | 8,570,533 |
15,129,434 | ||
Energy - 7.58% | ||
81,617 | Contango Oil & Gas Co. * | 3,652,361 |
174,220 | Ensco PLC, ADR | 6,843,362 |
212,750 | Noble Corp. * | 6,576,102 |
156,962 | Southwestern Energy Co. * | 6,065,012 |
444,686 | Weatherford International, Ltd. * | 5,843,174 |
28,980,011 | ||
Financials - 20.10% | ||
106,780 | Arch Capital Group, Ltd. * | 7,955,110 |
390,895 | Brookfield Asset Management, Inc., Class A | 8,842,045 |
521,285 | Brookfield Properties Corp. | 7,318,842 |
353,741 | Brown & Brown, Inc. | 6,770,603 |
67,294 | IntercontinentalExchange, Inc. * | 7,606,241 |
316,979 | Leucadia National Corp. * | 6,184,260 |
21,528 | Markel Corp. * | 7,319,520 |
131,502 | RLI Corp. | 6,905,170 |
329,119 | SEI Investments Co. | 6,700,863 |
113,965 | T Rowe Price Group, Inc. | 5,058,906 |
234,105 | WR Berkley Corp. | 6,194,418 |
76,855,978 | ||
Health Care - 9.41% | ||
81,430 | CR Bard, Inc. | 6,313,268 |
232,697 | DENTSPLY International, Inc. | 6,959,967 |
107,485 | IDEXX Laboratories, Inc. * | 6,545,836 |
110,162 | Laboratory Corp. of America Holdings * | 8,300,707 |
136,695 | Techne Corp. | 7,853,128 |
35,972,906 | ||
Shares | Value (Note 2) | |
Industrials - 15.75% | ||
248,591 | Aecom Technology Corp. * | $ 5,732,508 |
195,858 | Copart, Inc. * | 7,013,675 |
196,789 | Expeditors International of Washington, Inc. | 6,791,188 |
86,336 | Fastenal Co. | 4,333,204 |
243,100 | IDEX Corp. | 6,945,367 |
157,715 | Jacobs Engineering Group, Inc. * | 5,747,135 |
297,380 | Knight Transportation, Inc. | 6,018,971 |
295,108 | Ritchie Bros Auctioneers, Inc. | 5,376,868 |
138,959 | Wabtec Corp./DE | 5,543,075 |
213,748 | Waste Management, Inc. | 6,688,175 |
60,190,166 | ||
Information Technology - 12.82% | ||
176,670 | Adobe Systems, Inc. * | 4,669,388 |
184,580 | Altera Corp. | 4,579,430 |
164,475 | Amphenol Corp., Class A | 6,460,578 |
185,096 | BMC Software, Inc. * | 6,409,874 |
95,613 | Factset Research Systems, Inc. | 6,405,115 |
217,223 | FLIR Systems, Inc. * | 6,319,017 |
257,696 | Teradata Corp. * | 7,854,574 |
424,190 | Western Union Co./The | 6,324,673 |
49,022,649 | ||
Materials - 4.57% | ||
148,120 | Ecolab, Inc. | 6,652,069 |
55,555 | Martin Marietta Materials, Inc. | 4,711,620 |
203,096 | Valspar Corp. | 6,117,251 |
17,480,940 | ||
Telecommunication Services - 2.00% | ||
205,247 | Crown Castle International Corp. * | 7,647,503 |
Utilities - 1.37% | ||
144,441 | EQT Corp. | 5,220,098 |
Total Common Stocks ( Cost $352,912,970 ) | 347,549,672 | |
Par Value | ||
CERTIFICATE OF DEPOSIT - 2.35% | ||
$9,012,078 | State Street Eurodollar, 0.010%, due 07/01/10 | 9,012,078 |
Total Certificate of Deposit ( Cost $9,012,078 ) | 9,012,078 |
See accompanying Notes to Financial Statements.
42
Ultra Series Fund | June 30, 2010
Mid Cap Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 7.01% | ||
775,910 | iShares COMEX Gold Trust ETF * | $ 9,442,825 |
17,347,546 | SSgA Prime Money Market Fund | 17,347,546 |
Total Investment Companies ( Cost $25,228,513 ) | 26,790,371 | |
TOTAL INVESTMENTS - 100.27% ( Cost $387,153,561** ) | 383,352,121 | |
NET OTHER ASSETS AND LIABILITIES - (0.27)% | (1,045,758) | |
TOTAL NET ASSETS - 100.00% | $382,306,363 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $387,326,816. |
ADR | American Depository Receipt. |
ETF | Exchange Traded Fund. |
PLC | Public Limited Company. |
See accompanying Notes to Financial Statements.
43
Ultra Series Fund | June 30, 2010
Small Cap Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 96.40% | ||
Consumer Discretionary - 16.47% | ||
8,340 | Arbitron, Inc. | $ 213,754 |
1,270 | Bally Technologies, Inc. * | 41,135 |
11,240 | Cato Corp./The, Class A | 247,505 |
3,820 | CEC Entertainment, Inc. * | 134,693 |
3,820 | Choice Hotels International, Inc. | 115,402 |
6,060 | Dress Barn, Inc./The * | 144,289 |
8,110 | Helen of Troy, Ltd. * | 178,907 |
3,800 | Hibbett Sports, Inc. * | 91,048 |
4,440 | Matthews International Corp., Class A | 130,003 |
14,440 | Sonic Corp. * | 111,910 |
17,610 | Stage Stores, Inc. | 188,075 |
2,660 | Tempur-Pedic International, Inc. * | 81,795 |
1,270 | Unifirst Corp./MA | 55,905 |
1,734,421 | ||
Consumer Staples - 5.00% | ||
4,280 | Casey’s General Stores, Inc. | 149,372 |
5,910 | Herbalife, Ltd. | 272,156 |
6,370 | Lance, Inc. | 105,041 |
526,569 | ||
Energy - 5.26% | ||
2,700 | Bristow Group, Inc. * | 79,380 |
6,370 | Penn Virginia Corp. | 128,101 |
2,250 | SEACOR Holdings, Inc. * | 158,985 |
2,320 | SM Energy Co. | 93,171 |
1,200 | Whiting Petroleum Corp. * | 94,104 |
553,741 | ||
Financials - 23.55% | ||
305 | Alleghany Corp. * | 89,457 |
3,820 | American Campus Communities, Inc., REIT | 104,248 |
5,670 | AMERISAFE, Inc. * | 99,508 |
14,863 | Ares Capital Corp. | 186,233 |
6,400 | Assured Guaranty, Ltd. | 84,928 |
9,270 | Delphi Financial Group, Inc., Class A | 226,281 |
9,529 | DiamondRock Hospitality Co., REIT * | 78,328 |
15,410 | Education Realty Trust, Inc., REIT | 92,922 |
14,757 | First Busey Corp. | 66,849 |
11,930 | First Midwest Bancorp, Inc./IL | 145,069 |
8,150 | International Bancshares Corp. | 136,024 |
2,200 | Mack-Cali Realty Corp., REIT | 65,406 |
6,830 | MB Financial, Inc. | 125,604 |
7,270 | NewAlliance Bancshares, Inc. | 81,497 |
9,380 | Northwest Bancshares, Inc. | 107,589 |
4,860 | Platinum Underwriters Holdings, Ltd. | 176,369 |
Shares | Value (Note 2) | |
2,200 | Realty Income Corp., REIT | $ 66,726 |
4,140 | Reinsurance Group of America, Inc. | 189,239 |
3,383 | Validus Holdings, Ltd. | 82,613 |
11,580 | Webster Financial Corp. | 207,745 |
1,270 | Westamerica Bancorporation | 66,700 |
2,479,335 | ||
Health Care - 7.53% | ||
7,690 | Amsurg Corp. * | 137,036 |
5,100 | Charles River Laboratories International, Inc. * | 174,471 |
3,130 | Corvel Corp. * | 105,763 |
600 | Haemonetics Corp. * | 32,112 |
4,630 | ICON PLC, ADR * | 133,760 |
5,070 | ICU Medical, Inc. * | 163,102 |
3,200 | Universal American Corp./NY * | 46,080 |
792,324 | ||
Industrials - 20.49% | ||
20,840 | ACCO Brands Corp. * | 103,992 |
3,010 | Acuity Brands, Inc. | 109,504 |
9,850 | Albany International Corp., Class A | 159,472 |
11,930 | Belden, Inc. | 262,460 |
9,850 | Carlisle Cos., Inc. | 355,880 |
3,590 | ESCO Technologies, Inc. | 92,442 |
5,670 | GATX Corp. | 151,276 |
5,100 | Genesee & Wyoming, Inc., Class A * | 190,281 |
4,630 | Kirby Corp. * | 177,097 |
6,600 | Mueller Industries, Inc. | 162,360 |
5,890 | Standard Parking Corp. * | 93,239 |
3,590 | Sterling Construction Co., Inc. * | 46,455 |
4,630 | United Stationers, Inc. * | 252,196 |
2,156,654 | ||
Information Technology - 8.06% | ||
1,870 | Coherent, Inc. * | 64,141 |
5,670 | Diebold, Inc. | 154,507 |
7,965 | Electronics for Imaging, Inc. * | 77,659 |
3,240 | MAXIMUS, Inc. | 187,499 |
3,130 | MTS Systems Corp. | 90,770 |
8,110 | NAM TAI Electronics, Inc. * | 33,413 |
6,800 | Websense, Inc. * | 128,520 |
4,400 | Zebra Technologies Corp., Class A * | 111,628 |
848,137 | ||
Materials - 4.60% | ||
3,820 | Aptargroup, Inc. | 144,472 |
2,780 | Deltic Timber Corp. | 116,204 |
12,840 | Zep, Inc. | 223,930 |
484,606 |
See accompanying Notes to Financial Statements.
44
Ultra Series Fund | June 30, 2010
Small Cap Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS (continued) | ||
Utilities - 5.44% | ||
4,050 | Atmos Energy Corp. | $ 109,512 |
2,370 | New Jersey Resources Corp. | 83,424 |
5,440 | Unisource Energy Corp. | 164,179 |
5,790 | Westar Energy, Inc. | 125,122 |
2,660 | WGL Holdings, Inc. | 90,520 |
572,757 | ||
Total Common Stocks ( Cost $10,036,848 ) | 10,148,544 | |
Par Value | ||
CERTIFICATE OF DEPOSIT - 0.53% | ||
$ 55,547 | State Street Eurodollar, 0.010%, due 07/01/10 | 55,547 |
Total Certificate of Deposit ( Cost $55,547 ) | 55,547 | |
Shares | Value (Note 2) | |
INVESTMENT COMPANY - 4.56% | ||
480,065 | SSgA Prime Money Market Fund | $ 480,065 |
Total Investment Company ( Cost $480,065 ) | 480,065 | |
TOTAL INVESTMENTS - 101.49% ( Cost $10,572,460** ) | 10,684,156 | |
NET OTHER ASSETS AND LIABILITIES - (1.49)% | (156,642) | |
TOTAL NET ASSETS - 100.00% | $ 10,527,514 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $10,666,646. |
ADR | American Depository Receipt. |
PLC | Public Limited Company. |
REIT | Real Estate Investment Trust. |
See accompanying Notes to Financial Statements.
45
Ultra Series Fund | June 30, 2010
International Stock Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 95.24% | ||
Australia - 0.84% | ||
50,400 | QBE Insurance Group, Ltd. (L) | $ 767,003 |
Belgium - 2.17% | ||
41,100 | Anheuser-Busch InBev N.V. (L) | 1,974,197 |
Brazil - 2.89% | ||
90,570 | Banco do Brasil S.A. | 1,236,870 |
166,000 | Cielo S.A. | 1,397,895 |
2,634,765 | ||
Canada - 2.34% | ||
10,200 | Potash Corp. of Saskatchewan, Inc. | 878,529 |
38,300 | Rogers Communications, Inc. | 1,251,302 |
2,129,831 | ||
China - 1.05% | ||
1,317,700 | Industrial & Commercial Bank of China (L) | 958,468 |
Czech Republic - 0.79% | ||
17,500 | CEZ AS (L) | 718,660 |
Denmark - 1.07% | ||
12,100 | Novo Nordisk A/S, B Shares (L) | 976,055 |
France - 7.28% | ||
27,945 | BNP Paribas (L) | 1,492,107 |
15,200 | Cap Gemini S.A. (L) | 664,090 |
41,512 | Sanofi-Aventis S.A. (L) | 2,503,293 |
30,487 | Total S.A. (L) | 1,356,808 |
22,700 | Valeo S.A. (L)* | 611,519 |
6,627,817 | ||
Germany - 3.92% | ||
17,100 | Bayerische Motoren Werke AG (L) | 827,096 |
21,300 | SAP AG (L) | 946,099 |
20,119 | Siemens AG (L) | 1,800,387 |
3,573,582 | ||
Hong Kong - 2.78% | ||
307,066 | Esprit Holdings, Ltd. (L) | 1,659,852 |
203,000 | Kerry Properties, Ltd. (L) | 870,030 |
2,529,882 | ||
Ireland - 1.37% | ||
38,602 | CRH PLC | 809,084 |
21,800 | CRH PLC (L) | 443,325 |
1,252,409 | ||
Italy - 1.65% | ||
57,860 | Atlantia SpA (L) | 1,025,777 |
33,017 | Prysmian SpA (L) | 474,309 |
1,500,086 | ||
Shares | Value (Note 2) | |
Japan - 21.12% | ||
17,100 | Benesse Holdings, Inc. (L) | $ 778,770 |
46,800 | Canon, Inc. (L) | 1,744,848 |
33,910 | Daito Trust Construction Co., Ltd. (L) | 1,916,978 |
500 | eAccess, Ltd. (L) | 340,858 |
49,900 | Honda Motor Co., Ltd. (L) | 1,449,172 |
61,700 | Hoya Corp. (L) | 1,310,133 |
303 | KDDI Corp. (L) | 1,439,280 |
4,400 | Keyence Corp. (L) | 1,012,170 |
108,000 | Kubota Corp. (L) | 824,731 |
63,300 | Mitsubishi Corp. (L) | 1,319,034 |
73,000 | Mitsubishi Estate Co., Ltd. (L) | 1,013,540 |
2,400 | Nintendo Co., Ltd. (L) | 699,111 |
151,800 | Nomura Holdings, Inc. (L) | 831,019 |
45,800 | Sumitomo Mitsui Financial Group, Inc. (L) | 1,292,966 |
5,250 | Yahoo! Japan Corp. (L) | 2,086,535 |
18,010 | Yamada Denki Co., Ltd. (L) | 1,175,702 |
19,234,847 | ||
Mexico - 0.70% | ||
36,800 | Grupo Televisa S.A., ADR | 640,688 |
Netherlands - 1.75% | ||
18,100 | Heineken N.V. (L) | 767,247 |
32,905 | TNT N.V. (L) | 829,346 |
1,596,593 | ||
Norway - 0.75% | ||
60,080 | Aker Solutions ASA (L) | 688,177 |
Russia - 0.77% | ||
13,700 | Lukoil OAO, ADR (L) | 704,659 |
Singapore - 0.99% | ||
416,300 | Singapore Telecommunications, Ltd. (L) | 898,280 |
South Korea - 1.62% | ||
5,000 | Hyundai Mobis (L) | 837,383 |
2,007 | Samsung Electronics Co., Ltd., GDR (C) | 635,717 |
1,473,100 | ||
Spain - 2.57% | ||
47,200 | Amadeus IT Holding S.A. (L)* | 742,346 |
152,406 | Banco Santander S.A. (L) | 1,601,479 |
2,343,825 | ||
Switzerland - 9.02% | ||
39,600 | Credit Suisse Group AG (L) | 1,488,317 |
13,800 | Julius Baer Group, Ltd. (L) | 392,897 |
32,350 | Nestle S.A. (L) | 1,560,887 |
46,897 | Novartis AG (L) | 2,275,276 |
8,208 | Roche Holding AG (L) | 1,127,152 |
6,230 | Zurich Financial Services AG (L) | 1,367,553 |
8,212,082 |
See accompanying Notes to Financial Statements.
46
Ultra Series Fund | June 30, 2010
International Stock Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS (continued) | ||
Turkey - 1.11% | ||
235,700 | Turkiye Garanti Bankasi AS, ADR | $ 1,008,796 |
United Kingdom - 26.69% | ||
35,900 | AMEC PLC (L) | 437,640 |
264,773 | BAE Systems PLC (L) | 1,230,054 |
283,800 | Barclays PLC (L) | 1,125,132 |
104,800 | BG Group PLC (L) | 1,551,365 |
54,400 | BHP Billiton PLC (L) | 1,407,701 |
150,900 | British Airways PLC (L)* | 437,919 |
29,231 | British American Tobacco PLC (L) | 925,594 |
96,200 | GlaxoSmithKline PLC (L) | 1,630,319 |
123,400 | HSBC Holdings PLC (L) | 1,125,782 |
232,953 | Informa PLC (L) | 1,225,994 |
201,500 | International Power PLC (L) | 892,728 |
1,512,338 | Lloyds Banking Group PLC (L)* | 1,199,928 |
152,500 | Prudential PLC (L) | 1,143,004 |
45,300 | Royal Dutch Shell PLC (L) | 1,143,982 |
58,200 | Standard Chartered PLC (L) | 1,412,859 |
210,200 | Tesco PLC (L) | 1,183,526 |
55,300 | Tullow Oil PLC (L) | 823,732 |
74,800 | Unilever PLC (L) | 1,993,512 |
435,999 | Vodafone Group PLC (L) | 903,486 |
116,100 | WPP PLC (L) | 1,091,779 |
108,500 | Xstrata PLC (L) | 1,421,497 |
24,307,533 | ||
Total Common Stocks ( Cost $89,913,717 ) | 86,751,335 | |
INVESTMENT COMPANY - 3.69% | ||
United States - 3.69% | ||
3,359,679 | SSgA Prime Money Market Fund | 3,359,679 |
Total Investment Company ( Cost $3,359,679 ) | 3,359,679 | |
TOTAL INVESTMENTS - 98.93% ( Cost $93,273,396** ) | 90,111,014 | |
NET OTHER ASSETS AND LIABILITIES - 1.07% | 971,977 | |
TOTAL NET ASSETS - 100.00% | $ 91,082,991 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $95,370,000. |
(C) | Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "qualified institutional investors." |
(L) | Security valued at fair value using methods determined in good faith by or at the discretion of the Board of Trustees (see Note 2). |
ADR | American Depositary Receipt. |
GDR | Global Depositary Receipt. |
PLC | Public Limited Company. |
OTHER INFORMATION: | |
Industry Concentration | |
% of Net Assets | |
Commercial Banks | 12.7% |
Pharmaceuticals | 9.3% |
Oil, Gas & Consumable Fuels | 6.6% |
Net Other Assets & Liabilities | 4.8% |
Real Estate Management & Development | 4.2% |
Automobiles | 4.1% |
Food Products | 3.9% |
Insurance | 3.6% |
Commercial Services & Supplies | 3.5% |
Diversified Telecommunication Services | 3.3% |
Distributors | 3.3% |
Media | 3.2% |
Electronic Equipment & Instruments | 3.2% |
Metals & Mining | 3.1% |
Beverages | 3.0% |
Capital Markets | 2.5% |
Electrical Equipment | 2.5% |
Wireless Telecommunication Services | 2.4% |
IT Services | 2.3% |
Office Electronics | 1.9% |
Software | 1.8% |
Electric Utilities | 1.8% |
Diversified Financial Services | 1.4% |
Construction Materials | 1.4% |
Aerospace & Defense | 1.3% |
Food & Staples Retailing | 1.3% |
Specialty Retail | 1.3% |
Tobacco | 1.0% |
Chemicals | 1.0% |
Air Freight & Logistics | 0.9% |
Machinery | 0.9% |
Leisure Equipment & Products | 0.8% |
Construction & Engineering | 0.8% |
Industrial Conglomerates | 0.5% |
Internet Software & Services | 0.4% |
100.0% |
See accompanying Notes to Financial Statements.
47
Ultra Series Fund | June 30, 2010
Target Retirement 2020 Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 100.33% | ||
Bond Funds - 44.23% | ||
138,667 | MEMBERS Bond Fund, Class Y (R) | $ 1,431,040 |
270,705 | MEMBERS High Income Fund, Class Y (R) | 1,811,016 |
203,968 | PIMCO Investment Grade Corporate Bond Fund | 2,294,636 |
228,495 | PIMCO Total Return Fund | 2,572,849 |
98,702 | Templeton Global Bond Fund | 1,271,284 |
9,380,825 | ||
Foreign Stock Funds - 7.53% | ||
33,352 | Matthews Asian Growth and Income Fund | 527,627 |
121,433 | MEMBERS International Stock Fund, Class Y (R) | 1,068,615 |
1,596,242 | ||
Money Market Funds - 1.66% | ||
353,199 | SSgA Prime Money Market Fund | $ 353,199 |
Shares | Value (Note 2) | |
Stock Funds - 46.91% | ||
15,681 | Calamos Growth and Income Fund | $ 411,309 |
41,928 | Fairholme Fund | 1,270,424 |
86,994 | Hussman Strategic Growth Fund | 1,170,065 |
12,893 | iShares S&P 100 Index Fund ETF | 604,295 |
132,693 | Madison Mosaic Disciplined Equity Fund (R) | 1,423,800 |
68,516 | MEMBERS Equity Income Fund, Class Y (R) | 634,460 |
130,147 | MEMBERS Large Cap Growth Fund, Class Y (R) | 1,703,623 |
159,911 | MEMBERS Large Cap Value Fund, Class Y (R) | 1,631,096 |
67,328 | MEMBERS Small Cap Fund, Class Y (R) | 592,489 |
13,569 | T Rowe Price New Era Fund | 508,985 |
9,950,546 | ||
Total Investment Companies - 100.33% ( Cost $21,194,438** ) | 21,280,812 | |
NET OTHER ASSETS AND LIABILITIES - (0.33)% | (69,901) | |
TOTAL NET ASSETS - 100.00% | $ 21,210,911 |
** | Aggregate cost for Federal tax purposes was $21,556,923. |
(R) | Affiliated Company (see Note 11). |
ETF | Exchange Traded Fund. |
See accompanying Notes to Financial Statements.
48
Ultra Series Fund | June 30, 2010
Target Retirement 2030 Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 100.27% | ||
Bond Funds - 34.10% | ||
110,928 | MEMBERS Bond Fund, Class Y (R) | $ 1,144,780 |
258,889 | MEMBERS High Income Fund, Class Y (R) | 1,731,965 |
160,090 | PIMCO Investment Grade Corporate Bond Fund | 1,801,010 |
163,039 | PIMCO Total Return Fund | 1,835,815 |
91,047 | Templeton Global Bond Fund | 1,172,680 |
7,686,250 | ||
Foreign Stock Funds - 9.92% | ||
45,530 | Matthews Asian Growth and Income Fund | 720,278 |
133,299 | MEMBERS International Stock Fund, Class Y (R) | 1,173,028 |
16,413 | Principal International Emerging Markets Fund, Institutional Class | 342,530 |
2,235,836 | ||
Money Market Funds - 1.56% | ||
351,259 | SSgA Prime Money Market Fund | 351,259 |
Shares | Value (Note 2) | |
Stock Funds - 54.69% | ||
34,494 | Calamos Growth and Income Fund | $ 904,784 |
48,260 | Fairholme Fund | 1,462,283 |
88,100 | Hussman Strategic Growth Fund | 1,184,950 |
26,127 | iShares S&P 100 Index Fund ETF | 1,224,572 |
159,914 | Madison Mosaic Disciplined Equity Fund (R) | 1,715,877 |
69,522 | MEMBERS Equity Income Fund, Class Y (R) | 643,776 |
150,735 | MEMBERS Large Cap Growth Fund, Class Y (R) | 1,973,117 |
184,798 | MEMBERS Large Cap Value Fund, Class Y (R) | 1,884,941 |
77,803 | MEMBERS Small Cap Fund, Class Y (R) | 684,668 |
17,297 | T Rowe Price New Era Fund | 648,827 |
12,327,795 | ||
Total Investment Companies - 100.27% ( Cost $22,732,592** ) | 22,601,140 | |
NET OTHER ASSETS AND LIABILITIES - (0.27)% | (60,295) | |
TOTAL NET ASSETS - 100.00% | $ 22,540,845 |
** | Aggregate cost for Federal tax purposes was $22,978,962. |
(R) | Affiliated Company (see Note 11). |
ETF | Exchange Traded Fund. |
See accompanying Notes to Financial Statements.
49
Ultra Series Fund | June 30, 2010
Target Retirement 2040 Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 100.07% | ||
Bond Funds - 23.42% | ||
61,897 | MEMBERS Bond Fund, Class Y (R) | $ 638,773 |
193,277 | MEMBERS High Income Fund, Class Y (R) | 1,293,020 |
74,507 | PIMCO Investment Grade Corporate Bond Fund | 838,208 |
69,444 | PIMCO Total Return Fund | 781,945 |
70,436 | Templeton Global Bond Fund | 907,216 |
4,459,162 | ||
Foreign Stock Funds - 12.38% | ||
47,867 | Matthews Asian Growth and Income Fund | 757,256 |
134,206 | MEMBERS International Stock Fund, Class Y (R) | 1,181,013 |
20,120 | Principal International Emerging Markets Fund, Institutional Class | 419,910 |
2,358,179 | ||
Money Market Funds - 1.53% | ||
290,986 | SSgA Prime Money Market Fund | 290,986 |
Shares | Value (Note 2) | |
Stock Funds - 62.74% | ||
28,287 | Calamos Growth and Income Fund | $ 741,955 |
49,379 | Fairholme Fund | 1,496,182 |
75,629 | Hussman Strategic Growth Fund | 1,017,210 |
38,364 | iShares S&P 100 Index Fund ETF | 1,798,121 |
139,414 | Madison Mosaic Disciplined Equity Fund (R) | 1,495,907 |
66,526 | MEMBERS Equity Income Fund, Class Y (R) | 616,035 |
131,504 | MEMBERS Large Cap Growth Fund, Class Y (R) | 1,721,383 |
162,230 | MEMBERS Large Cap Value Fund, Class Y (R) | 1,654,743 |
75,966 | MEMBERS Small Cap Fund, Class Y (R) | 668,501 |
19,587 | T Rowe Price New Era Fund | 734,690 |
11,944,727 | ||
Total Investment Companies - 100.07% ( Cost $19,305,791** ) | 19,053,054 | |
NET OTHER ASSETS AND LIABILITIES - (0.07)% | (14,228) | |
TOTAL NET ASSETS - 100.00% | $ 19,038,826 |
** | Aggregate cost for Federal tax purposes was $19,516,631. |
(R) | Affiliated Company (see Note 11). |
ETF | Exchange Traded Fund. |
See accompanying Notes to Financial Statements.
50
Ultra Series Fund | June 30, 2010
Statements of Assets and Liabilities as of June 30, 2010 (unaudited)
Conservative Allocation Fund | Moderate Allocation Fund | Aggressive Allocation Fund | Money Market Fund | |
Assets: | ||||
Investments in securities, at cost | ||||
Unaffiliated issuers | $ 64,210,273 | $ 97,665,422 | $ 37,402,393 | $ 81,531,828 |
Affiliated issuers1 | 139,027,720 | 259,354,161 | 80,722,740 | – |
Net unrealized appreciation (depreciation) | ||||
Unaffiliated issuers | (4,487) | (1,479,250) | (474,173) | – |
Affiliated issuers1 | (491,923) | (11,034,208) | (3,072,083) | – |
Total investments at value | 202,741,583 | 344,506,125 | 114,578,877 | 81,531,828 |
Receivables: | ||||
Investments sold | 456,115 | – | 139,266 | 337,531 |
Fund shares sold | 121,280 | 10,426 | – | 13 |
Dividends and interest | 569,004 | 769,764 | 153,813 | 21,398 |
Due from Adviser, net | – | – | – | – |
Total assets | 203,887,982 | 345,286,315 | 114,871,956 | 81,890,770 |
Liabilities: | ||||
Payables: | ||||
Investments purchased | 706,404 | 517,599 | 325,842 | – |
Fund shares redeemed | 112,524 | 183,325 | 104,016 | 13,479 |
Accrued management fees | 50,376 | 87,151 | 29,146 | 30,562 |
Audit fees | 3,000 | 8,000 | 3,000 | 4,000 |
Distribution fees – Class II | 5,020 | 4,136 | 141 | 15 |
Compliance expense | 1,345 | 4,169 | 1,430 | 3,564 |
Total liabilities | 878,669 | 804,380 | 463,575 | 51,620 |
Net assets applicable to outstanding capital stock | $203,009,313 | $344,481,935 | $114,408,381 | $ 81,839,150 |
Net assets consist of: | ||||
Paid-in capital | $210,702,793 | $409,305,450 | $141,004,456 | $ 81,839,150 |
Accumulated undistributed net investment income | 2,751,178 | 3,491,230 | 432,974 | – |
Accumulated net realized loss on investments sold and foreign currency related transactions | (9,948,248) | (55,801,287) | (23,482,793) | – |
Net unrealized depreciation of investments (including appreciation (depreciation) of foreign currency related transactions) | (496,410) | (12,513,458) | (3,546,256) | – |
Net Assets | $203,009,313 | $344,481,935 | $114,408,381 | $ 81,839,150 |
Class I Shares: | ||||
Net Assets | $178,190,550 | $324,076,642 | $113,704,333 | $ 81,417,892 |
Shares of beneficial interest outstanding | 18,509,578 | 37,528,411 | 14,482,587 | 81,417,892 |
Net Asset Value and redemption price per share | $9.63 | $8.64 | $7.85 | $1.00 |
Class II Shares: | ||||
Net Assets | $ 24,818,763 | $ 20,405,293 | $ 704,048 | $ 421,258 |
Shares of beneficial interest outstanding | 2,579,960 | 2,365,025 | 89,781 | 421,258 |
Net Asset Value and redemption price per share | $9.62 | $8.63 | $7.84 | $1.00 |
1 | See Note 11 for information on affiliated issuers. |
See accompanying Notes to Financial Statements.
51
Ultra Series Fund | June 30, 2010
Statements of Assets and Liabilities as of June 30, 2010 (unaudited)
Bond Fund | High Income Fund | Diversified Income Fund | Equity Income Fund | |
Assets: | ||||
Investments in securities, at cost | ||||
Unaffiliated issuers | $510,814,747 | $ 87,411,561 | $393,504,504 | $ 817,440 |
Affiliated issuers1 | – | – | – | – |
Net unrealized appreciation (depreciation) | ||||
Unaffiliated issuers | 25,624,726 | 2,478,557 | 9,540,650 | (69,173) |
Affiliated issuers1 | – | – | – | – |
Total investments at value | 536,439,473 | 89,890,118 | 403,045,154 | 748,267 |
Cash | – | – | – | 195,154 |
Foreign currency2 | – | – | – | – |
Receivables: | ||||
Investments sold | – | – | – | 6,717 |
Fund shares sold | 297,640 | 32,087 | 128,985 | 21,231 |
Dividends and interest | 4,512,794 | 1,697,194 | 2,900,887 | 72 |
Due from Adviser, net | – | – | – | – |
Other assets | – | – | – | – |
Total assets | 541,249,907 | 91,619,399 | 406,075,026 | 971,441 |
Liabilities: | ||||
Payables: | ||||
Investments purchased | – | – | – | 69,761 |
Fund shares redeemed | 30,114 | 23,744 | 139,662 | – |
Accrued management fees | 244,484 | 56,207 | 237,241 | – |
Audit fees | 17,106 | 3,000 | 14,000 | 21 |
Distribution fees – Class II | 3,962 | 457 | 2,566 | 73 |
Compliance expense | 11,732 | 2,437 | 12,364 | – |
Options written, at value (premiums received of $28,607) | – | – | – | 15,834 |
Total liabilities | 307,398 | 85,845 | 405,833 | 85,616 |
Net assets applicable to outstanding capital stock | $540,942,509 | $ 91,533,554 | $405,669,193 | $ 885,825 |
Net assets consist of: | ||||
Paid-in capital | $521,680,030 | $ 99,529,949 | $443,206,517 | $ 943,001 |
Accumulated undistributed net investment income (loss) | 9,442,426 | 3,765,506 | 7,367,811 | (776) |
Accumulated net realized gain (loss) on investments sold and foreign currency related transactions | (15,804,673) | (14,240,458) | (54,445,785) | – |
Net unrealized appreciation (depreciation) of investments (including appreciation (depreciation) of foreign currency related transactions) | 25,624,726 | 2,478,557 | 9,540,650 | (56,400) |
Net Assets | $540,942,509 | $ 91,533,554 | $405,669,193 | $ 885,825 |
Class I Shares: | ||||
Net Assets | $520,250,957 | $ 89,141,113 | $392,710,152 | $ 416,609 |
Shares of beneficial interest outstanding | 48,965,348 | 9,536,960 | 25,269,256 | 45,000 |
Net Asset Value and redemption price per share | $10.62 | $9.35 | $15.54 | $9.26 |
Class II Shares: | ||||
Net Assets | $ 20,691,552 | $ 2,392,441 | $ 12,959,041 | $ 469,216 |
Shares of beneficial interest outstanding | 1,948,690 | 255,890 | 834,426 | 50,704 |
Net Asset Value and redemption price per share | $10.62 | $9.35 | $15.53 | $9.25 |
1 | See Note 11 for information on affiliated issuers. |
2 | Cost of foreign currency of $324,208 for the International Stock Fund. |
See accompanying Notes to Financial Statements.
52
Ultra Series Fund | June 30, 2010
Statements of Assets and Liabilities as of June 30, 2010 (unaudited)
Large Cap Value Fund | Large Cap Growth Fund | Mid Cap Fund | Small Cap Fund | International Stock Fund | Target Retirement 2020 Fund | Target Retirement 2030 Fund | Target Retirement 2040 Fund |
$567,441,318 | $363,104,017 | $387,153,561 | $ 10,572,460 | $ 93,273,396 | $ 11,182,095 | $ 11,905,106 | $ 10,081,740 |
– | – | – | – | – | 10,012,343 | 10,827,486 | 9,224,051 |
(28,947,328) | 21,769,562 | (3,801,440) | 111,696 | (3,162,382) | (197,422) | (256,118) | (298,061) |
– | – | – | – | – | 283,796 | 124,666 | 45,324 |
538,493,990 | 384,873,579 | 383,352,121 | 10,684,156 | 90,111,014 | 21,280,812 | 22,601,140 | 19,053,054 |
– | – | 3,200 | – | – | – | – | – |
– | – | – | – | 324,815 | – | – | – |
19,644,187 | 4,261,038 | – | – | 285,484 | – | – | – |
129,120 | 87,419 | 18,921 | 2,541 | 117,206 | 28,052 | 35,191 | 57,757 |
827,083 | 261,810 | 194,548 | 6,896 | 299,429 | 39,204 | 35,957 | 27,663 |
– | – | – | – | – | 3,496 | 3,673 | 3,128 |
– | – | 1,102 | – | 179,964 | – | – | – |
559,094,380 | 389,483,846 | 383,569,892 | 10,693,593 | 91,317,912 | 21,351,564 | 22,675,961 | 19,141,602 |
15,745,060 | 8,437,200 | 897,612 | 151,587 | 121,513 | 133,545 | 127,699 | 96,466 |
48,622 | 52,946 | 40,993 | 3,894 | 1,902 | – | – | – |
283,239 | 265,142 | 297,134 | 9,764 | 98,957 | 6,991 | 7,346 | 6,255 |
20,000 | 15,000 | 10,000 | 250 | 2,500 | 75 | 50 | 50 |
862 | 2,130 | 1,682 | 218 | 1,555 | – | – | – |
22,473 | 12,983 | 16,108 | 366 | 8,494 | 42 | 21 | 5 |
– | – | – | – | – | – | – | – |
16,120,256 | 8,785,401 | 1,263,529 | 166,079 | 234,921 | 140,653 | 135,116 | 102,776 |
$542,974,124 | $380,698,445 | $382,306,363 | $ 10,527,514 | $ 91,082,991 | $ 21,210,911 | $ 22,540,845 | $ 19,038,826 |
$693,520,684 | $435,348,623 | $470,690,788 | $ 10,276,831 | $128,686,240 | $ 22,181,625 | $ 23,472,222 | $ 19,898,584 |
4,968,362 | 1,104,679 | (49,330) | 15,979 | 169,885 | 231,436 | 198,910 | 143,950 |
(126,567,594) | (77,524,419) | (84,533,655) | 123,008 | (34,615,126) | (1,288,524) | (998,835) | (750,971) |
(28,947,328) | 21,769,562 | (3,801,440) | 111,696 | (3,158,008) | 86,374 | (131,452) | (252,737) |
$542,974,124 | $380,698,445 | $382,306,363 | $ 10,527,514 | $ 91,082,991 | $ 21,210,911 | $ 22,540,845 | $ 19,038,826 |
$538,912,143 | $370,190,494 | $374,295,040 | $ 9,511,036 | $ 83,357,468 | $ 21,210,911 | $ 22,540,845 | $ 19,038,826 |
26,687,654 | 20,402,053 | 32,562,178 | 1,108,590 | 10,119,405 | 2,851,830 | 3,163,965 | 2,837,612 |
$20.19 | $18.14 | $11.49 | $8.58 | $8.24 | $7.44 | $7.12 | $6.71 |
$ 4,061,981 | $ 10,507,951 | $ 8,011,323 | $ 1,016,478 | $ 7,725,523 | |||
201,348 | 579,745 | 697,508 | 118,606 | 938,161 | |||
$20.17 | $18.13 | $11.49 | $8.57 | $8.23 |
See accompanying Notes to Financial Statements.
53
Ultra Series Fund | June 30, 2010
Statements of Operations for the Period Ended June 30, 2010 (unaudited)
Conservative Allocation Fund | Moderate Allocation Fund | Aggressive Allocation Fund | Money Market Fund | |
Investment Income: | ||||
Interest | $ 761 | $ 1,244 | $ 432 | $ 55,121 |
Dividends | ||||
Unaffiliated issuers | 1,263,292 | 1,770,225 | 217,083 | – |
Affiliated issuers1 | 1,812,763 | 2,284,120 | 399,463 | – |
Less: Foreign taxes withheld | – | – | – | – |
Total investment income | 3,076,816 | 4,055,589 | 616,978 | 55,121 |
Expenses: | ||||
Management fees | 296,654 | 528,457 | 177,546 | 192,567 |
Trustees’ fees | 1,250 | 3,500 | 1,250 | 1,750 |
Audit fees | 3,000 | 8,000 | 3,000 | 4,000 |
Distribution fees – Class II | 23,389 | 20,233 | 778 | 104 |
Compliance expense | 1,345 | 4,169 | 1,430 | 3,564 |
Total expenses before reimbursement/waiver | 325,638 | 564,359 | 184,004 | 201,985 |
Less reimbursement/waiver | – | – | – | (146,864) |
Total expenses net of reimbursement/waiver | 325,638 | 564,359 | 184,004 | 55,121 |
Net Investment Income (Loss) | 2,751,178 | 3,491,230 | 432,974 | – |
Net Realized and Unrealized Gain (Loss) on Investments | ||||
Net realized gain (loss) on investments (including net realized gain (loss) on foreign currency related transactions) | ||||
Unaffiliated issuers | 4,368,864 | 4,600,103 | (134,060) | – |
Affiliated issuers | (518,182) | (425,087) | (576,683) | – |
Net change in unrealized appreciation (depreciation)on: | ||||
Investments (including net unrealized appreciation (depreciation) on foreign currency related transactions) | (6,352,222) | (17,028,076) | (6,364,203) | – |
Options | – | – | – | – |
Net Realized and Unrealized Gain (Loss) on Investments and Options Transactions | (2,501,540) | (12,853,060) | (7,074,946) | – |
Net Increase (Decrease) in Net Assets from Operations | $ 249,638 | $ (9,361,830) | $ (6,641,972) | $ – |
1 | See Note 11 for information on affiliated issuers. |
See accompanying Notes to Financial Statements.
54
Ultra Series Fund | June 30, 2010
Statements of Operations for the Period Ended June 30, 2010 (unaudited)
Bond Fund | High Income Fund | Diversified Income Fund | Equity Income Fund | Large Cap Value Fund | Large Cap Growth Fund | Mid Cap Fund | Small Cap Fund |
$ 11,036,062 | $ 4,205,541 | $ 5,170,872 | $ – | $ 1,951 | $ 3,480 | $ 4,753 | $ 122 |
– | – | 3,726,389 | 247 | 6,873,276 | 2,849,495 | 1,273,613 | 72,034 |
– | – | – | – | – | – | – | – |
– | – | (16,594) | – | – | (1,604) | (32,065) | – |
11,036,062 | 4,205,541 | 8,880,667 | 247 | 6,875,227 | 2,851,371 | 1,246,301 | 72,156 |
1,502,530 | 369,676 | 1,465,786 | 929 | 1,842,798 | 1,698,525 | 1,268,575 | 54,584 |
9,625 | 1,875 | 9,000 | – | 17,250 | 10,000 | 7,125 | 188 |
15,000 | 3,000 | 14,000 | 21 | 20,000 | 15,000 | 10,000 | 250 |
17,694 | 2,037 | 11,706 | 73 | 4,344 | 10,184 | 5,092 | 1,080 |
11,733 | 2,437 | 12,364 | – | 22,473 | 12,983 | 4,839 | 75 |
1,556,582 | 379,025 | 1,512,856 | 1,023 | 1,906,865 | 1,746,692 | 1,295,631 | 56,177 |
– | – | – | – | – | – | – | – |
1,556,582 | 379,025 | 1,512,856 | 1,023 | 1,906,865 | 1,746,692 | 1,295,631 | 56,177 |
9,479,480 | 3,826,516 | 7,367,811 | (776) | 4,968,362 | 1,104,679 | (49,330) | 15,979 |
(179,739) | 1,688,049 | 8,507,844 | – | 13,659,433 | 26,272,534 | 20,805,934 | 1,160,432 |
– | – | – | – | – | – | – | – |
16,620,952 | (2,616,081) | (10,763,283) | (69,173) | (71,692,033) | (63,628,339) | (41,113,333) | (390,101) |
– | – | – | 12,773 | – | – | – | – |
16,441,213 | (928,032) | (2,255,439) | (56,400) | (58,032,600) | (37,355,805) | (20,307,399) | 770,331 |
$ 25,920,693 | $ 2,898,484 | $ 5,112,372 | $ (57,176) | $(53,064,238) | $(36,251,126) | $(20,356,729) | $ 786,310 |
See accompanying Notes to Financial Statements.
55
Ultra Series Fund | June 30, 2010
Statements of Operations for the Period Ended June 30, 2010 (unaudited)
International Stock Fund | Target Retirement 2020 Fund | Target Retirement 2030 Fund | Target Retirement 2040 Fund | |
Investment Income: | ||||
Interest | $ 866 | $ 113 | $ 114 | $ 97 |
Dividends | ||||
Unaffiliated issuers | 1,808,242 | 153,465 | 130,519 | 93,666 |
Affiliated issuers1 | – | 98,855 | 89,430 | 68,429 |
Less: Foreign taxes withheld | (160,324) | – | – | – |
Total investment income | 1,648,784 | 252,433 | 220,063 | 162,192 |
Expenses: | ||||
Management fees | 525,487 | 41,661 | 42,064 | 36,274 |
Trustees’ fees | 2,550 | 50 | 50 | 50 |
Audit fees | 2,500 | 75 | 50 | 50 |
Distribution fees – Class II2 | 6,948 | – | – | – |
Compliance expense | 865 | 41 | 21 | 5 |
Total expenses before reimbursement/waiver | 538,350 | 41,827 | 42,185 | 36,379 |
Less reimbursement/waiver | – | (20,830) | (21,032) | (18,137) |
Total expenses net of reimbursement/waiver | 538,350 | 20,997 | 21,153 | 18,242 |
Net Investment Income | 1,110,434 | 231,436 | 198,910 | 143,950 |
Net Realized and Unrealized Gain (Loss) on Investments | ||||
Net realized gain (loss) on investments (including net realized gain (loss) on foreign currency related transactions) | ||||
Unaffiliated issuers | (11,687,413) | 5,041 | (51,978) | (47,480) |
Affiliated issuers | – | (90,274) | (70,857) | (41,908) |
Net change in unrealized appreciation (depreciation)on investments (including net unrealized appreciation (depreciation) on foreign currency related transactions) | (10,932,359) | (760,264) | (978,592) | (1,057,405) |
Net Realized and Unrealized Gain (Loss) on Investments | (22,619,772) | (845,497) | (1,101,427) | (1,146,793) |
Net Increase (Decrease) in Net Assets from Operations | $ (21,509,338) | $ (614,061) | $ (902,517) | $ (1,002,843) |
1 | See Note 11 for information on affiliated issuers. |
2 | Class II shares are not available for the Target Retirement Funds. |
See accompanying Notes to Financial Statements.
56
Ultra Series Fund | June 30, 2010
Statements of Changes in Net Assets
Conservative Allocation Fund | Moderate Allocation Fund | |||
(unaudited) Six-Months Ended 6/30/10 | Year Ended 12/31/09 | (unaudited) Six-Months Ended 6/30/10 | Year Ended 12/31/09 | |
Net Assets at beginning of period | $189,151,289 | $116,678,068 | $344,590,404 | $243,761,079 |
Increase (decrease) in net assets from operations: | ||||
Net investment income | 2,751,178 | 4,826,812 | 3,491,230 | 6,572,283 |
Net realized gain (loss) on investment | 3,850,682 | (8,857,931) | 4,175,016 | (28,234,158) |
Net change in unrealized appreciation (depreciation) on investments | (6,352,222) | 28,277,479 | (17,028,076) | 77,568,892 |
Net increase (decrease) in net assets from operations | 249,638 | 24,246,360 | (9,361,830) | 55,907,017 |
Distributions to shareholders from: | ||||
Net investment income | ||||
Class I | (76,082) | (4,767,331) | (103,446) | (6,702,184) |
Class II | – | (223,887) | – | (158,375) |
Net realized gains | ||||
Class I | – | – | – | – |
Total distributions | (76,082) | (4,991,218) | (103,446) | (6,860,559) |
Capital Stock transactions: | ||||
Class I Shares | ||||
Proceeds from sale of shares | 15,057,018 | 48,197,600 | 21,239,007 | 52,588,638 |
Net asset value of shares issued in reinvestment of distributions | 76,082 | 4,767,331 | 103,446 | 6,702,184 |
Cost of shares repurchased | (13,545,421) | (12,259,692) | (20,916,492) | (19,097,422) |
Net increase in net assets from capital share transactions | 1,587,679 | 40,705,239 | 425,961 | 40,193,400 |
Class II Shares1 | ||||
Proceeds from sale of shares | 12,639,105 | 12,467,744 | 9,422,887 | 12,754,353 |
Net asset value of shares issued in reinvestment of distributions | ��� | 223,887 | – | 158,375 |
Cost of shares repurchased | (542,316) | (178,791) | (492,041) | (1,323,261) |
Net increase in net assets from capital share transactions | 13,684,468 | 12,512,840 | 9,356,807 | 11,589,467 |
Total increase (decrease) in net assets | 13,858,024 | 72,473,221 | (108,469) | 100,829,325 |
Net Assets at end of period | $203,009,313 | $189,151,289 | $344,481,935 | $344,590,404 |
Undistributed net investment income included in net assets | $ 2,751,178 | $ 76,082 | $3,491,230 | $ 103,446 |
Capital Share transactions: | ||||
Class I Shares | ||||
Shares sold | 1,545,004 | 5,448,382 | 2,366,623 | 6,666,402 |
Issued to shareholders in reinvestment of distributions | 7,820 | 514,619 | 11,605 | 791,400 |
Shares redeemed | (1,391,563) | (1,376,271) | (2,341,442) | (2,406,261) |
Net increase in shares outstanding | 161,261 | 4,586,730 | 36,786 | 5,051,541 |
Class II Shares1 | ||||
Shares sold | 1,300,965 | 1,332,005 | 1,049,581 | 1,519,377 |
Issued to shareholders in reinvestment of distributions | – | 23,296 | – | 17,861 |
Shares redeemed | (55,933) | (20,373) | (56,145) | (165,649) |
Net increase in shares outstanding | 1,245,032 | 1,334,928 | 993,436 | 1,371,589 |
1 | Class II shares commenced investment operations on May 1, 2009. |
See accompanying Notes to Financial Statements.
57
Ultra Series Fund | June 30, 2010
Statements of Changes in Net Assets
Aggressive Allocation Fund | Money Market Fund | |||
(unaudited) Six-Months Ended 6/30/10 | Year Ended 12/31/09 | (unaudited) Six-Months Ended 6/30/10 | Year Ended 12/31/09 | |
Net Assets at beginning of period | $115,006,315 | $ 69,616,011 | $92,647,633 | $159,348,665 |
Increase (decrease) in net assets from operations: | ||||
Net investment income (loss) | 432,974 | 1,300,679 | – | 5,409 |
Net realized gain (loss) on investment | (710,743) | (9,641,347) | – | – |
Net change in unrealized appreciation (depreciation) on investments and options transactions | (6,364,203) | 32,502,011 | – | – |
Net increase (decrease) in net assets from operations | (6,641,972) | 24,161,343 | – | 5,409 |
Distributions to shareholders from: | ||||
Net investment income | ||||
Class I | – | (1,429,089) | – | (5,409) |
Class II | – | (4,716) | – | – |
Net realized gains | ||||
Class I | – | – | – | – |
Total distributions | – | (1,433,805) | – | (5,409) |
Capital Stock transactions: | ||||
Class I Shares | ||||
Shares sold | 11,474,123 | 27,495,291 | 15,779,847 | 23,066,620 |
Issued to shareholders in reinvestment of distributions | – | 1,429,089 | – | 5,409 |
Shares redeemed | (5,661,606) | (6,745,001) | (26,824,282) | (89,958,367) |
Net increase (decrease) from capital share transactions | 5,812,517 | 22,179,379 | (11,044,435) | (66,886,338) |
Class II Shares1 | ||||
Shares sold | 236,904 | 480,785 | 561,233 | 271,669 |
Issued to shareholders in reinvestment of distributions | – | 4,716 | – | – |
Shares redeemed | (5,383) | (2,114) | (325,281) | (86,363) |
Net increase from capital share transactions | 231,521 | 483,387 | 235,952 | 185,306 |
Total net increase (decrease) from capital stock transactions | 6,044,038 | 22,662,766 | (10,808,483) | (66,701,032) |
Total increase (decrease) in net assets | (597,934) | 45,390,304 | (10,808,483) | (66,701,032) |
Net Assets at end of period | $114,408,381 | $115,006,315 | $ 81,839,150 | $ 92,647,633 |
Undistributed net investment income included in net assets | $ 432,974 | $ – | $ – | $ – |
Capital Share transactions: | ||||
Class I Shares | ||||
Shares sold | 1,364,941 | 3,946,294 | 15,779,847 | 23,066,620 |
Issued to shareholders in reinvestment of distributions | – | 177,871 | – | 5,409 |
Shares redeemed | (682,653) | (915,141) | (26,824,282) | (89,958,367) |
Net increase (decrease) in shares outstanding | 682,288 | 3,209,024 | (11,044,435) | (66,886,338) |
Class II Shares1 | ||||
Shares sold | 28,414 | 61,702 | 561,233 | 271,669 |
Issued to shareholders in reinvestment of distributions | – | 568 | – | – |
Shares redeemed | (636) | (267) | (325,281) | (86,363) |
Net increase in shares outstanding | 27,778 | 62,003 | 235,952 | 185,306 |
1 | Class II shares commenced investment operations on May 1, 2009. |
2 | The Equity Income Fund commenced investment operations on April 30, 2010. |
See accompanying Notes to Financial Statements.
58
Ultra Series Fund | June 30, 2010
Statements of Changes in Net Assets
Bond Fund | High Income Fund | Diversified Fund | Equity Income Fund | |||
(unaudited) Six-Months Ended 6/30/10 | Year Ended 12/31/09 | (unaudited) Six-Months Ended 6/30/10 | Year Ended 12/31/09 | (unaudited) Six-Months Ended 6/30/10 | Year Ended 12/31/09 | (unaudited) Inception to 6/30/102 |
$551,508,094 | $572,562,403 | $108,870,121 | $ 90,728,399 | $424,642,342 | $438,046,968 | $ – |
9,479,480 | 23,291,118 | 3,826,516 | 7,977,724 | 7,367,811 | 16,805,881 | (776) |
(179,739) | (9,641,583) | 1,688,049 | (1,908,133) | 8,507,844 | (45,549,349) | – |
16,620,952 | 20,181,209 | (2,616,081) | 23,196,057 | (10,763,283) | 69,022,085 | (56,400) |
25,920,693 | 33,830,744 | 2,898,484 | 29,265,648 | 5,112,372 | 40,278,617 | (57,176) |
(286,823) | (23,057,764) | (127,150) | (8,050,694) | (209,484) | (16,548,568) | – |
– | (239,898) | – | (54,824) | – | (141,616) | – |
– | – | – | – | – | – | – |
(286,823) | (23,297,662) | (127,150) | (8,105,518) | (209,484) | (16,690,184) | – |
13,422,677 | 58,018,601 | 1,460,236 | 6,765,253 | 2,744,500 | 10,140,953 | 450,000 |
286,823 | 23,057,764 | 127,150 | 8,050,694 | 209,484 | 16,548,568 | – |
(60,192,586) | (122,502,720) | (22,898,920) | (18,956,948) | (33,557,719) | (69,765,608) | – |
(46,483,086) | (41,426,355) | (21,311,534) | (4,141,001) | (30,603,735) | (43,076,087) | 450,000 |
10,349,199 | 9,630,532 | 1,209,316 | 1,081,174 | 7,630,665 | 6,085,900 | 493,057 |
– | 239,898 | – | 54,824 | – | 141,616 | – |
(65,568) | (31,466) | (5,683) | (13,405) | (902,967) | (144,488) | (56) |
10,283,631 | 9,838,964 | 1,203,633 | 1,122,593 | 6,727,698 | 6,083,028 | 493,001 |
(36,199,455) | (31,587,391) | (20,107,901) | (3,018,408) | (23,876,037) | (36,993,059) | 943,001 |
(10,565,585) | (21,054,309) | (17,336,567) | 18,141,722 | (18,973,149) | (13,404,626) | 885,825 |
$540,942,509 | $551,508,094 | $ 91,533,554 | $108,870,121 | $405,669,193 | $424,642,342 | $ 885,825 |
$ 9,442,426 | $ 249,769 | $ 3,765,506 | $ 66,140 | $7,367,811 | $ 209,484 | – |
1,297,121 | 5,718,500 | 157,706 | 792,157 | 173,756 | 701,712 | 45,000 |
27,352 | 2,296,864 | 13,764 | 923,541 | 13,228 | 1,126,943 | – |
(5,800,072) | (12,156,519) | (2,463,209) | (2,248,840) | (2,138,107) | (4,901,466) | – |
(4,475,599) | (4,141,155) | (2,291,739) | (533,142) | (1,951,123) | (3,072,811) | 45,000 |
996,373 | 938,118 | 130,469 | 121,539 | 485,074 | 407,839 | 50,710 |
– | 23,607 | – | 6,021 | – | 9,162 | – |
(6,301) | (3,107) | (613) | (1,526) | (57,960) | (9,689) | (6) |
990,072 | 958,618 | 129,856 | 126,034 | 427,114 | 407,312 | 50,704 |
See accompanying Notes to Financial Statements.
59
Ultra Series Fund | June 30, 2010
Statements of Changes in Net Assets
Large Cap Value Fund | Large Cap Growth Fund | |||
(unaudited) Six-Months Ended 6/30/10 | Year Ended 12/31/09 | (unaudited) Six-Months Ended 6/30/10 | Year Ended 12/31/09 | |
Net Assets at beginning of period | $633,315,527 | $609,443,601 | $439,485,846 | $352,473,289 |
Increase (decrease) in net assets from operations: | ||||
Net investment income (loss) | 4,968,362 | 12,901,396 | 1,104,679 | 2,811,433 |
Net realized gain (loss) on investment | 13,659,433 | (41,096,851) | 26,272,534 | (15,751,601) |
Net change in unrealized appreciation (depreciation) | (71,692,033) | 120,844,081 | (63,628,339) | 141,045,650 |
Net increase (decrease) in net assets from operations | (53,064,238) | 92,648,626 | (36,251,126) | 128,105,482 |
Distributions to shareholders from: | ||||
Net investment income | ||||
Class I | (133,000) | (12,916,238) | (35,351) | (2,778,954) |
Class II | – | (22,315) | – | (15,228) |
Net realized gains | ||||
Class I | – | – | – | – |
Total distributions | (133,000) | (12,938,553) | (35,351) | (2,794,182) |
Capital Stock transactions: | ||||
Class I Shares | ||||
Shares sold | 6,209,099 | 23,903,274 | 6,530,494 | 22,586,452 |
Issued to shareholders in reinvestment of distributions | 133,000 | 12,916,238 | 35,351 | 2,778,954 |
Shares redeemed | (45,405,480) | (95,019,745) | (34,534,138) | (69,134,133) |
Net increase (decrease) from capital share transactions | (39,063,381) | (58,200,233) | (27,968,293) | (43,768,727) |
Class II Shares1 | ||||
Shares sold | 1,939,623 | 2,364,778 | 5,501,801 | 5,465,138 |
Issued to shareholders in reinvestment of distributions | – | 22,315 | – | 15,228 |
Shares redeemed | (20,407) | (25,007) | (34,432) | (10,382) |
Net increase from capital share transactions | 1,919,216 | 2,362,086 | 5,467,369 | 5,469,984 |
Total net increase (decrease) from capital stock transactions | (37,144,165) | (55,838,147) | (22,500,924) | (38,298,743) |
Total increase (decrease) in net assets | (90,341,403) | 23,871,926 | (58,787,401) | 87,012,557 |
Net Assets at end of period | $542,974,124 | $633,315,527 | $380,698,445 | $439,485,846 |
Undistributed net investment income | $ 4,968,362 | $ 133,000 | $ 1,104,679 | $ 35,351 |
Capital Share transactions: | ||||
Class I Shares | ||||
Shares sold | 270,589 | 1,259,034 | 321,396 | 1,369,916 |
Issued to shareholders in reinvestment of distributions | 6,100 | 660,509 | 1,800 | 152,387 |
Shares redeemed | (2,036,231) | (4,862,113) | (1,737,581) | (4,016,938) |
Net increase (decrease) from capital share transactions | (1,759,542) | (2,942,570) | (1,414,385) | (2,494,635) |
Class II Shares1 | ||||
Shares sold | 87,217 | 115,293 | 279,322 | 301,926 |
Issued to shareholders in reinvestment of distributions | – | 998 | – | 759 |
Shares redeemed | (948) | (1,212) | (1,660) | (602) |
Net increase from capital share transactions | 86,269 | 115,079 | 277,662 | 302,083 |
1 | Class II shares commenced investment operations on May 1, 2009. |
See accompanying Notes to Financial Statements.
60
Ultra Series Fund | June 30, 2010
Statements of Changes in Net Assets
Mid Cap Fund | Small Cap Fund | International Stock Fund | Target Retirement 2020 Fund | ||||
(unaudited) Six-Months Ended 6/30/10 | Year Ended 12/31/09 | (unaudited) Six-Months Ended 6/30/10 | Year Ended 12/31/09 | (unaudited) Six-Months Ended 6/30/10 | Year Ended 12/31/09 | (unaudited) Six-Months Ended 6/30/10 | Year Ended 12/31/09 |
$231,140,313 | $166,464,913 | $ 58,605,016 | $ 5,985,697 | $ 81,959,251 | $ 72,768,214 | $19,299,907 | $ 8,718,521 |
(49,330) | (104,120) | 15,979 | 51,771 | 1,110,434 | 1,544,670 | 231,436 | 294,419 |
20,805,934 | (37,900,000) | 1,160,432 | (617,038) | (11,687,413) | (8,729,999) | (85,233) | 555,068 |
(41,113,333) | 115,517,618 | (390,101) | 2,621,695 | (10,932,359) | 26,452,015 | (760,264) | 2,739,249 |
(20,356,729) | 77,513,498 | 786,310 | 2,056,428 | (21,509,338) | 19,266,686 | (614,061) | 3,588,736 |
– | (5,837) | (891) | (40,097) | (939,550) | (1,466,292) | – | (323,699) |
– | – | – | (809) | (66,548) | (63,227) | – | |
– | – | – | – | – | – | – | – |
– | (5,837) | (891) | (40,906) | (1,006,098) | (1,529,519) | – | (323,699) |
187,993,430 | 18,490,085 | 9,698,796 | 856,902 | 42,764,632 | 4,628,487 | 5,655,176 | 8,086,115 |
– | 5,837 | 891 | 40,097 | 939,550 | 1,466,292 | – | 323,699 |
(23,535,506) | (32,919,803) | (8,985,243) | (839,841) | (16,694,189) | (18,402,556) | (3,130,111) | (1,093,465) |
164,457,924 | (14,423,881) | 714,444 | 57,158 | 27,009,993 | (12,307,777) | 2,525,065 | 7,316,349 |
7,082,562 | 1,594,503 | 443,338 | 551,876 | 4,583,480 | 3,704,941 | ||
– | – | – | 809 | 66,548 | 63,227 | ||
(17,707) | (2,883) | (20,703) | (6,046) | (20,845) | (6,521) | ||
7,064,855 | 1,591,620 | 422,635 | 546,639 | 4,629,183 | 3,761,647 | ||
171,522,779 | (12,832,261) | 1,137,079 | 603,797 | 31,639,176 | (8,546,130) | 2,525,065 | 10,581,386 |
151,166,050 | 64,675,400 | 1,922,498 | 2,619,319 | 9,123,740 | 9,191,037 | 1,911,004 | 10,581,386 |
$382,306,363 | $231,140,313 | $ 10,527,514 | $ 8,605,016 | $91,082,991 | $ 81,959,251 | $21,210,911 | $ 19,299,907 |
$ – | $ – | $ 15,979 | $ 891 | $ 169,885 | $ 65,549 | $ – | $ – |
39,996,914 | 5,174,854 | 1,117,684 | 135,378 | 3,704,338 | 594,689 | 729,254 | 1,201,511 |
– | 1,753 | 88 | 5,318 | 97,596 | 156,897 | – | 43,937 |
(3,540,392) | (8,732,145) | (944,975) | (122,189) | (1,869,894) | (2,148,889) | (402,991) | (163,235) |
36,456,522 | (3,555,538) | 172,797 | 18,507 | 1,932,040 | (1,397,303) | 326,263 | 1,082,213 |
1,281,449 | 394,534 | 48,674 | 72,869 | 517,584 | 410,041 | ||
– | – | – | 93 | 6,912 | 6,626 | ||
(2,629) | (735) | (2,263) | (767) | (2,235) | (767) | ||
1,278,820 | 393,799 | 46,411 | 72,195 | 522,261 | 415,900 |
See accompanying Notes to Financial Statements.
61
Ultra Series Fund | June 30, 2010
Statements of Changes in Net Assets
Target Retirement 2030 Fund | Target Retirement 2040 Fund | |||
Year Ended December 31, | (unaudited) Six-Months Ended 6/30/10 | Year Ended 12/31/09 | (unaudited) Six-Months Ended 6/30/10 | Year Ended 12/31/09 |
Net Assets at beginning of period | $ 19,330,304 | $ 8,010,286 | $ 16,656,174 | $ 6,385,244 |
Increase (decrease) in net assets from operations: | ||||
Net investment income | 198,910 | 244,296 | 143,950 | 135,424 |
Net realized gain (loss) on investment | (122,835) | 488,323 | (89,388) | 773,217 |
Net change in unrealized appreciation (depreciation) | (978,592) | 3,165,472 | (1,057,405) | 2,527,613 |
Net increase (decrease) in net assets from operations | (902,517) | 3,898,091 | (1,002,843) | 3,436,254 |
Distributions to shareholders from: | ||||
Net investment income | ||||
Class I | (7,679) | (270,609) | (9,451) | (157,883) |
Net realized gains | ||||
Class I | – | – | – | – |
Total distributions | (7,679) | (270,609) | (9,451) | (157,883) |
Capital Stock transactions: | ||||
Class I Shares | ||||
Shares sold | 5,592,078 | 7,908,500 | 4,494,389 | 7,164,454 |
Issued to shareholders in reinvestment of distributions | 7,679 | 270,609 | 9,451 | 157,883 |
Shares redeemed | (1,479,020) | (486,573) | (1,108,894) | (329,778) |
Net increase from capital stock transactions | 4,120,737 | 7,692,536 | 3,394,946 | 6,992,559 |
Total net increase from capital stock transactions | 4,120,737 | 7,692,536 | 3,394,946 | 6,992,559 |
Total increase in net assets | 3,210,541 | 11,320,018 | 2,382,652 | 10,270,930 |
Net Assets at end of period | $ 22,540,845 | $ 19,330,304 | $ 19,038,826 | $ 16,656,174 |
Undistributed net investment income | $ – | $ 7,679 | $ 143,950 | $ 9,451 |
Capital Share transactions: | ||||
Class I Shares | ||||
Shares sold | 749,488 | 1,253,097 | 632,594 | 1,212,814 |
Issued to shareholders in reinvestment of distributions | 1,040 | 38,477 | 1,348 | 23,589 |
Shares redeemed | (195,676) | (75,193) | (152,692) | (56,049) |
Net increase (decrease) from capital share transactions | 554,852 | 1,216,381 | 481,250 | 1,180,354 |
See accompanying Notes to Financial Statements.
62
Ultra Series Fund | June 30, 2010
Financial Highlights for a Share of Beneficial Interest Outstanding
CONSERVATIVE ALLOCATION FUND | |||||
(unaudited) Six-Months Ended 6/30/10 | Year Ended December 31, | Inception to 12/31/061 | |||
2009 | 2008 | 2007 | |||
CLASS I | |||||
Net Asset Value at beginning of period | $ 9.61 | $ 8.48 | $10.77 | $10.60 | $10.00 |
Income from Investment Operations: | |||||
Net investment income3 | 0.13 | 0.29 | 0.35 | 0.45 | 0.23 |
Net realized and unrealized gain (loss) on investments | (0.11) | 1.12 | (2.27) | (0.03) | 0.51 |
Total from investment operations | 0.02 | 1.41 | (1.92) | 0.42 | 0.74 |
Less Distributions: | |||||
Distributions from net investment income | – | (0.28) | (0.27) | (0.23) | (0.14) |
Distributions from capital gains | – | – | (0.10) | (0.02) | – |
Total distributions | 0.00 | (0.28) | (0.37) | (0.25) | (0.14) |
Net increase (decrease) in net asset value | 0.02 | 1.13 | (2.29) | 0.17 | 0.60 |
Net Asset Value at end of period | $ 9.63 | $ 9.61 | $ 8.48 | $10.77 | $10.60 |
Total Return4 (%) | 0.225 | 16.76 | (17.89) | 3.92 | 7.345 |
Ratios/Supplemental Data: | |||||
Net Assets at end of period (in 000’s) | $178,190 | $176,322 | $116,678 | $66,747 | $9,113 |
Ratios of expenses to average net assets: | |||||
Before management fee reduction (%) | 0.316 | 0.31 | 0.31 | 0.31 | 0.346 |
After management fee reduction (%) | 0.316 | 0.31 | 0.28 | 0.21 | 0.246 |
Ratio of net investment income to average net assets (%) | 2.786 | 3.23 | 3.53 | 4.12 | 4.256 |
Portfolio Turnover (%) | 335 | 47 | 71 | 28 | 245 |
CLASS II | (unaudited) Six-Months Ended 6/30/10 | Inception to 12/31/092 | |||
Net Asset Value at beginning of period | $ 9.61 | $ 8.51 | |||
Income from Investment Operations: | |||||
Net investment income3 | 0.11 | 0.28 | |||
Net realized and unrealized gain (loss) on investments | (0.10) | 0.99 | |||
Total from investment operations | 0.01 | 1.27 | |||
Less Distributions: | |||||
Distributions from net investment income | – | (0.17) | |||
Net increase in net asset value | 0.01 | 1.10 | |||
Net Asset Value at end of period | $ 9.62 | $ 9.61 | |||
Total Return4 (%) | 0.105 | 14.915 | |||
Ratios/Supplemental Data: | |||||
Net Assets at end of period (in 000’s) | $24,819 | $12,829 | |||
Ratios of expenses to average net assets (%) | 0.556 | 0.566 | |||
Ratio of net investment income to average net assets (%) | 2.816 | 4.386 | |||
Portfolio Turnover (%) | 335 | 475 |
1 | Commenced investment operations June 30, 2006. |
2 | Commenced investment operations May 1, 2009. |
3 | Based on average shares outstanding during the year. |
4 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. |
5 | Not annualized. |
6 | Annualized. |
See accompanying Notes to Financial Statements.
63
Ultra Series Fund | June 30, 2010
Financial Highlights for a Share of Beneficial Interest Outstanding
MODERATE ALLOCATION FUND | |||||
(unaudited) Six-Months Ended 6/30/10 | Year Ended December 31, | Inception to 12/31/061 | |||
2009 | 2008 | 2007 | |||
CLASS I | |||||
Net Asset Value at beginning of period | $ 8.87 | $ 7.51 | $11.21 | $10.86 | $10.00 |
Income from Investment Operations: | |||||
Net investment income3 | 0.09 | 0.18 | 0.21 | 0.28 | 0.20 |
Net realized and unrealized gain (loss) on investments | (0.32) | 1.37 | (3.55) | 0.32 | 0.79 |
Total from investment operations | (0.23) | 1.55 | (3.34) | 0.60 | 0.99 |
Less Distributions: | |||||
Distributions from net investment income | – | (0.19) | (0.17) | (0.19) | (0.13) |
Distributions from capital gains | – | – | (0.19) | (0.06) | (0.00)5 |
Total distributions | 0.00 | (0.19) | (0.36) | (0.25) | (0.13) |
Net increase (decrease) in net asset value | (0.23) | 1.36 | (3.70) | 0.35 | 0.86 |
Net Asset Value at end of period | $ 8.64 | $ 8.87 | $ 7.51 | $11.21 | $10.86 |
Total Return4 (%) | (2.58)6 | 20.61 | (30.23) | 5.56 | 9.876 |
Ratios/Supplemental Data: | |||||
Net Assets at end of period (in 000’s) | $324,077 | $332,428 | $243,761 | $218,281 | $36,994 |
Ratios of expenses to average net assets: | |||||
Before management fee reduction (%) | 0.317 | 0.31 | 0.31 | 0.31 | 0.347 |
After management fee reduction (%) | 0.317 | 0.31 | 0.28 | 0.21 | 0.247 |
Ratio of net investment income to average net assets (%) | 1.987 | 2.29 | 2.20 | 2.45 | 3.747 |
Portfolio Turnover (%) | 236 | 52 | 69 | 29 | 236 |
CLASS II | (unaudited) Six-Months Ended 6/30/10 | Inception to 12/31/092 | |||
Net Asset Value at beginning of period | $ 8.87 | $ 7.56 | |||
Income from Investment Operations: | |||||
Net investment income3 | 0.07 | 0.19 | |||
Net realized and unrealized gain (loss) on investments | (0.31) | 1.24 | |||
Total from investment operations | (0.24) | 1.43 | |||
Less Distributions: | |||||
Distributions from net investment income | 0.00 | (0.12) | |||
Net increase in net asset value | (0.24) | 1.31 | |||
Net Asset Value at end of period | $ 8.63 | $ 8.87 | |||
Total Return4 (%) | (2.70)6 | 18.826 | |||
Ratios/Supplemental Data: | |||||
Net Assets at end of period (in 000’s) | $20,405 | $12,162 | |||
Ratios of expenses to average net assets (%) | 0.567 | 0.567 | |||
Ratio of net investment income to average net assets (%) | 1.937 | 3.337 | |||
Portfolio Turnover (%) | 236 | 526 |
1 | Commenced investment operations June 30, 2006. |
2 | Commenced investment operations May 1, 2009. |
3 | Based on average shares outstanding during the year. |
4 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. |
5 | Amount represents less than $0.005 per share. |
6 | Not annualized. |
7 | Annualized. |
See accompanying Notes to Financial Statements.
64
Ultra Series Fund | June 30, 2010
Financial Highlights for a Share of Beneficial Interest Outstanding
AGGRESSIVE ALLOCATION FUND | |||||
(unaudited) Six-Months Ended 6/30/10 | Year Ended December 31, | Inception to 12/31/061 | |||
2009 | 2008 | 2007 | |||
CLASS I | |||||
Net Asset Value at beginning of period | $ 8.30 | $ 6.57 | $11.61 | $11.10 | $10.00 |
Income from Investment Operations: | |||||
Net investment income3 | 0.03 | 0.10 | 0.09 | 0.09 | 0.15 |
Net realized and unrealized gain (loss) on investments | (0.48) | 1.74 | (4.74) | 0.77 | 1.10 |
Total from investment operations | (0.45) | 1.84 | (4.65) | 0.86 | 1.25 |
Less Distributions: | |||||
Distributions from net investment income | – | (0.11) | (0.06) | (0.14) | (0.15) |
Distributions from capital gains | – | – | (0.33) | (0.21) | – |
Total distributions | 0.00 | (0.11) | (0.39) | (0.35) | (0.15) |
Net increase (decrease) in net asset value | (0.45) | 1.73 | (5.04) | 0.51 | 1.10 |
Net Asset Value at end of period | $ 7.85 | $ 8.30 | $ 6.57 | $11.61 | $11.10 |
Total Return4 (%) | (5.37)5 | 27.91 | (41.09) | 7.69 | 12.495 |
Ratios/Supplemental Data: | |||||
Net Assets at end of period (in 000’s) | $113,704 | $114,492 | $69,616 | $68,120 | $21,547 |
Ratios of expenses to average net assets: | |||||
Before management fee reduction (%) | 0.316 | 0.31 | 0.31 | 0.31 | 0.336 |
After management fee reduction (%) | 0.316 | 0.31 | 0.28 | 0.21 | 0.236 |
Ratio of net investment income to average net assets (%) | 0.736 | 1.44 | 0.94 | 0.79 | 2.716 |
Portfolio Turnover (%) | 115 | 58 | 67 | 46 | 215 |
CLASS II | (unaudited) Six-Months Ended 6/30/10 | Inception to 12/31/092 | |||
Net Asset Value at beginning of period | $ 8.30 | $ 6.69 | |||
Income from Investment Operations: | |||||
Net investment income3 | 0.02 | 0.15 | |||
Net realized and unrealized gain (loss) on investments | (0.48) | 1.54 | |||
Total from investment operations | (0.46) | 1.69 | |||
Less Distributions: | |||||
Distributions from net investment income | – | (0.08) | |||
Net increase in net asset value | (0.46) | 1.61 | |||
Net Asset Value at end of period | $ 7.84 | $ 8.30 | |||
Total Return4 (%) | (5.48)5 | 25.095 | |||
Ratios/Supplemental Data: | |||||
Net Assets at end of period (in 000’s) | $704 | $514 | |||
Ratios of expenses to average net assets (%) | 0.566 | 0.566 | |||
Ratio of net investment income to average net assets (%) | 0.566 | 2.866 | |||
Portfolio Turnover (%) | 115 | 585 |
1 | Commenced investment operations June 30, 2006. |
2 | Commenced investment operations May 1, 2009. |
3 | Based on average shares outstanding during the year. |
4 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. |
5 | Not annualized. |
6 | Annualized. |
See accompanying Notes to Financial Statements.
65
Ultra Series Fund | June 30, 2010
Financial Highlights for a Share of Beneficial Interest Outstanding
MONEY MARKET FUND | ||||||
(unaudited) Six-Months Ended 6/30/10 | Year Ended December 31, | |||||
2009 | 2008 | 2007 | 2006 | 2005 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Income from Investment Operations: | ||||||
Net investment income2 | – | 0.004 | 0.02 | 0.05 | 0.04 | 0.03 |
Net realized and unrealized gain (loss) on investments | – | – | 0.004 | 0.004 | 0.004 | – |
Total from investment operations | 0.00 | 0.00 | 0.02 | 0.05 | 0.04 | 0.03 |
Less Distributions: | ||||||
Distributions from net investment income | – | (0.00)4 | (0.02) | (0.05) | (0.04) | (0.03) |
Net increase in net asset value | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
Net Asset Value at end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return3 (%) | 0.006 | 0.00 | 1.75 | 4.71 | 4.54 | 2.78 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $81,418 | $92,463 | $159,349 | $111,333 | $100,462 | $94,637 |
Ratios of expenses to average net assets: | ||||||
Before waiver of expenses by Adviser (%) | 0.477 | 0.47 | 0.47 | 0.46 | 0.46 | 0.46 |
After waiver of expenses by Adviser (%) | 0.137 | 0.287 | 0.47 | 0.46 | 0.46 | 0.46 |
Ratio of net investment income to average net assets (%) | 0.007 | 0.00 | 1.67 | 4.58 | 4.42 | 2.73 |
CLASS II | (unaudited) Six-Months Ended 6/30/10 | Inception to 12/31/091 | ||||
Net Asset Value at beginning of period | $1.00 | $1.00 | ||||
Income from Investment Operations: | ||||||
Net investment income2 | – | – | ||||
Net realized and unrealized gain (loss) on investments | – | – | ||||
Total from investment operations | 0.00 | 0.00 | ||||
Less Distributions: | ||||||
Distributions from net investment income | – | – | ||||
Net increase in net asset value | 0.00 | 0.00 | ||||
Net Asset Value at end of period | $1.00 | $1.00 | ||||
Total Return3(%) | 0.005 | 0.005 | ||||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $421 | $185 | ||||
Ratios of expenses to average net assets: | ||||||
Before waiver of expenses by Adviser (%) | 0.756 | 0.736 | ||||
After waiver of expenses by Adviser (%) | 0.136,7 | 0.206,7 | ||||
Ratio of net investment income to average net assets (%) | 0.006 | 0.006 |
1 | Commenced investment operations May 1, 2009. |
2 | Based on average shares outstanding during the year. |
3 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. |
4 | Amount represents less than $0.005 per share. |
5 | Not annualized. |
6 | Annualized. |
7 | Amount includes fees waived by the adviser (see Note 3). |
See accompanying Notes to Financial Statements.
66
Ultra Series Fund | June 30, 2010
Financial Highlights for a Share of Beneficial Interest Outstanding
BOND FUND | ||||||
(unaudited) Six-Months Ended 6/30/10 | Year Ended December 31, | |||||
2009 | 2008 | 2007 | 2006 | 2005 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $10.14 | $ 9.94 | $10.19 | $10.11 | $10.17 | $10.34 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.18 | 0.43 | 0.50 | 0.49 | 0.47 | 0.42 |
Net realized and unrealized gain (loss) on investments | 0.31 | 0.21 | (0.21) | 0.02 | (0.06) | (0.16) |
Total from investment operations | 0.49 | 0.64 | 0.29 | 0.51 | 0.41 | 0.26 |
Less Distributions: | ||||||
Distributions from net investment income | (0.01) | (0.44) | (0.54) | (0.43) | (0.47) | (0.43) |
Net increase (decrease) in net asset value | 0.48 | 0.20 | (0.25) | 0.08 | (0.06) | (0.17) |
Net Asset Value at end of period | $10.62 | $10.14 | $ 9.94 | $10.19 | $10.11 | $10.17 |
Total Return3 (%) | 4.864 | 6.50 | 2.86 | 5.05 | 4.01 | 2.51 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $520,251 | $541,789 | $572,562 | $646,233 | $659,273 | $623,976 |
Ratios of expenses to average net assets | 0.565 | 0.57 | 0.56 | 0.56 | 0.56 | 0.56 |
Ratio of net investment income to average net assets (%) | 3.485 | 4.28 | 4.84 | 4.81 | 4.54 | 4.06 |
Portfolio Turnover (%) | 14 | 25 | 12 | 29 | 27 | 51 |
CLASS II | (unaudited) Six-Months Ended 6/30/10 | Inception to 12/31/091 | ||||
Net Asset Value at beginning of period | $10.14 | $ 9.85 | ||||
Income from Investment Operations: | ||||||
Net investment income2 | 0.13 | 0.27 | ||||
Net realized and unrealized gain (loss) on investments | 0.35 | 0.28 | ||||
Total from investment operations | 0.48 | 0.55 | ||||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.26) | ||||
Net increase in net asset value | 0.48 | 0.29 | ||||
Net Asset Value at end of period | $10.62 | $10.14 | ||||
Total Return3(%) | 4.73 | 5.554 | ||||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $20,692 | $9,719 | ||||
Ratios of expenses to average net assets | 0.815 | 0.825 | ||||
Ratio of net investment income to average net assets (%) | 3.105 | 3.865 | ||||
Portfolio Turnover (%) | 14 | 254 |
1 | Commenced investment operations May 1, 2009. |
2 | Based on average shares outstanding during the year. |
3 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Financial Statements.
67
Ultra Series Fund | June 30, 2010
Financial Highlights for a Share of Beneficial Interest Outstanding
HIGH INCOME FUND | ||||||
(unaudited) Six-Months Ended 6/30/10 | Year Ended December 31, | |||||
2009 | 2008 | 2007 | 2006 | 2005 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $ 9.11 | $ 7.34 | $ 9.54 | $10.16 | $10.01 | $10.40 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.36 | 0.68 | 0.67 | 0.76 | 0.74 | 0.68 |
Net realized and unrealized gain (loss) on investments | (0.11) | 1.80 | (2.07) | (0.53) | 0.16 | (0.42) |
Total from investment operations | 0.25 | 2.48 | (1.40) | 0.23 | 0.90 | 0.26 |
Less Distributions: | ||||||
Distributions from net investment income | (0.01) | (0.71) | (0.80) | (0.85) | (0.74) | (0.65) |
Distributions from capital gains | – | – | – | (0.00)4 | (0.01) | – |
Total distributions | (0.01) | (0.71) | (0.80) | (0.85) | (0.75) | (0.65) |
Net increase (decrease) in net asset value | 0.24 | 1.77 | (2.20) | (0.62) | 0.15 | (0.39) |
Net Asset Value at end of period | $ 9.35 | $ 9.11 | $ 7.34 | $ 9.54 | $10.16 | $10.01 |
Total Return3 (%) | 2.785 | 34.29 | (14.74) | 2.29 | 9.03 | 2.51 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $89,141 | $107,722 | $90,728 | $135,045 | $153,528 | $134,032 |
Ratios of expenses to average net assets | 0.776 | 0.77 | 0.76 | 0.76 | 0.77 | 0.76 |
Ratio of net investment income to average net assets (%) | 7.796 | 7.94 | 7.42 | 7.27 | 7.12 | 6.47 |
Portfolio Turnover (%) | 255 | 73 | 45 | 73 | 64 | 86 |
CLASS II | (unaudited) Six-Months Ended 6/30/10 | Inception to 12/31/091 | ||||
Net Asset Value at beginning of period | $ 9.11 | $ 8.14 | ||||
Income from Investment Operations: | ||||||
Net investment income2 | 0.28 | 0.47 | ||||
Net realized and unrealized gain (loss) on investments | (0.04) | 0.96 | ||||
Total from investment operations | 0.24 | 1.43 | ||||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.46) | ||||
Net increase in net asset value | 0.24 | 0.97 | ||||
Net Asset Value at end of period | $ 9.35 | $ 9.11 | ||||
Total Return3(%) | 2.665 | 17.495 | ||||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $2,393 | $1,148 | ||||
Ratios of expenses to average net assets | 1.026 | 1.016 | ||||
Ratio of net investment income to average net assets (%) | 7.526 | 7.656 | ||||
Portfolio Turnover (%) | 255 | 735 |
1 | Commenced investment operations May 1, 2009. |
2 | Based on average shares outstanding during the year. |
3 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. |
4 | Amount represents less than $0.005 per share. |
5 | Not annualized. |
6 | Annualized. |
See accompanying Notes to Financial Statements.
68
Ultra Series Fund | June 30, 2010
Financial Highlights for a Share of Beneficial Interest Outstanding
DIVERSIFIED INCOME FUND | ||||||
(unaudited) Six-Months Ended 6/30/10 | Year Ended December 31, | |||||
2009 | 2008 | 2007 | 2006 | 2005 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $15.37 | $14.46 | $17.62 | $18.46 | $19.40 | $19.11 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.27 | 0.60 | 0.72 | 0.79 | 0.49 | 0.42 |
Net realized and unrealized gain (loss) on investments | (0.09) | 0.92 | (3.05) | (0.32) | 1.45 | 0.32 |
Total from investment operations | 0.18 | 1.52 | (2.33) | 0.47 | 1.94 | 0.74 |
Less Distributions: | ||||||
Distributions from net investment income | (0.01) | (0.61) | (0.81) | (0.80) | (0.55) | (0.45) |
Distributions from capital gains | – | – | (0.02) | (0.51) | (2.33) | – |
Total distributions | (0.01) | (0.61) | (0.83) | (1.31) | (2.88) | (0.45) |
Net increase (decrease) in net asset value | 0.17 | 0.91 | (3.16) | (0.84) | (0.94) | 0.29 |
Net Asset Value at end of period | $15.54 | $15.37 | $14.46 | $17.62 | $18.46 | $19.40 |
Total Return3 (%) | 1.165 | 10.74 | (13.25) | 2.51 | 9.984 | 3.89 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $392,710 | $418,381 | $438,047 | $637,606 | $735,881 | $785,301 |
Ratios of expenses to average net assets | 0.726 | 0.72 | 0.71 | 0.71 | 0.71 | 0.71 |
Ratio of net investment income to average net assets (%) | 3.536 | 4.12 | 4.37 | 4.21 | 2.52 | 2.18 |
Portfolio Turnover (%) | 145 | 26 | 14 | 41 | 62 | 52 |
CLASS II | (unaudited) Six-Months Ended 6/30/10 | Inception to 12/31/091 | ||||
Net Asset Value at beginning of period | $15.37 | $13.74 | ||||
Income from Investment Operations: | ||||||
Net investment income2 | 0.20 | 0.35 | ||||
Net realized and unrealized gain (loss) on investments | (0.04) | 1.64 | ||||
Total from investment operations | 0.16 | 1.99 | ||||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.36) | ||||
Net increase in net asset value | 0.16 | 1.63 | ||||
Net Asset Value at end of period | $15.53 | $15.37 | ||||
Total Return3(%) | 1.045 | 14.435 | ||||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $12,959 | $6,261 | ||||
Ratios of expenses to average net assets | 0.976 | 0.976 | ||||
Ratio of net investment income to average net assets (%) | 3.276 | 3.446 | ||||
Portfolio Turnover (%) | 145 | 265 |
1 | Commenced investment operations May 1, 2009. |
2 | Based on average shares outstanding during the year. |
3 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. |
4 | In 2006, 0.01% of the Fund’s total return consisted of a voluntary reimbursement by the Adviser for a realized investment loss. Excluding this reimbursement, the total return would have been 9.97%. |
5 | Not annualized. |
6 | Annualized. |
See accompanying Notes to Financial Statements.
69
Ultra Series Fund | June 30, 2010
Financial Highlights for a Share of Beneficial Interest Outstanding
EQUITY INCOME FUND | |
(unaudited) Six-Months Ended 6/30/101 | |
CLASS I | |
Net Asset Value at beginning of period | $10.00 |
Income from Investment Operations: | |
Net investment income2 | (0.01) |
Net realized and unrealized gain (loss) on investments | (0.73) |
Total from investment operations | (0.74) |
Less Distributions: | |
Distributions from net investment income | – |
Net increase (decrease) in net asset value | (0.74) |
Net Asset Value at end of period | $9.26 |
Total Return (%) | (7.46)3 |
Ratios/Supplemental Data: | |
Net Assets at end of period (in 000’s) | $417 |
Ratios of expenses to average net assets | 0.913 |
Ratio of net investment income to average net assets (%) | (0.68)3 |
Portfolio Turnover (%) | 04 |
CLASS II | (unaudited) Six-Months Ended 6/30/10 |
Net Asset Value at beginning of period | $10.00 |
Income from Investment Operations: | |
Net investment income2 | (0.02) |
Net realized and unrealized gain (loss) on investments | (0.73) |
Total from investment operations | (0.75) |
Less Distributions: | |
Distributions from net investment income | – |
Net increase in net asset value | (0.75) |
Net Asset Value at end of period | $9.25 |
Total Return3(%) | (7.46)3 |
Ratios/Supplemental Data: | |
Net Assets at end of period (in 000’s) | $469 |
Ratios of expenses to average net assets | 1.143 |
Ratio of net investment income to average net assets (%) | (0.89)3 |
Portfolio Turnover (%) | 04 |
1 | Commenced investment operations April 30, 2010. |
2 | Based on average shares outstanding during the period. |
3 | Annualized. |
4 | Portfolio Turnover is calculated at the fund level and represents the entire period |
See accompanying Notes to Financial Statements.
70
Ultra Series Fund | June 30, 2010
Financial Highlights for a Share of Beneficial Interest Outstanding
LARGE CAP VALUE FUND | ||||||
(unaudited) Six-Months Ended 6/30/10 | Year Ended December 31, | |||||
2009 | 2008 | 2007 | 2006 | 2005 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $22.17 | $19.42 | $31.49 | $35.14 | $31.62 | $30.47 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.18 | 0.43 | 0.65 | 0.68 | 0.65 | 0.54 |
Net realized and unrealized gain (loss) on investments | (2.16) | 2.76 | (11.99) | (0.45) | 5.87 | 1.16 |
Total from investment operations | (1.98) | 3.19 | (11.34) | 0.23 | 6.52 | 1.70 |
Less Distributions: | ||||||
Distributions from net investment income | – | (0.44) | (0.71) | (0.71) | (0.67) | (0.55) |
Distributions from capital gains | – | – | (0.02) | (3.17) | (2.33) | – |
Total distributions | 0.00 | (0.44) | (0.73) | (3.88) | (3.00) | (0.55) |
Net increase (decrease) in net asset value | (1.98) | 2.75 | (12.07) | (3.65) | 3.52 | 1.15 |
Net Asset Value at end of period | $20.19 | $22.17 | $19.42 | $31.49 | $35.14 | $31.62 |
Total Return3 (%) | (8.91)4 | 16.79 | (35.99) | 0.60 | 20.55 | 5.58 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $538,912 | $630,764 | $609,444 | $1,229,433 | $1,390,778 | $1,239,868 |
Ratios of expenses to average net assets | 0.625 | 0.62 | 0.61 | 0.61 | 0.61 | 0.61 |
Ratio of net investment income to average net assets (%) | 1.625 | 2.23 | 2.42 | 1.87 | 1.91 | 1.74 |
Portfolio Turnover (%) | 274 | 81 | 38 | 45 | 35 | 28 |
CLASS II | (unaudited) Six-Months Ended 6/30/10 | Inception to 12/31/091 | ||||
Net Asset Value at beginning of period | $22.17 | $17.74 | ||||
Income from Investment Operations: | ||||||
Net investment income2 | 0.13 | 0.18 | ||||
Net realized and unrealized gain (loss) on investments | (2.13) | 4.45 | ||||
Total from investment operations | (2.00) | 4.63 | ||||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.20) | ||||
Net increase in net asset value | (2.00) | 4.43 | ||||
Net Asset Value at end of period | $20.17 | $22.17 | ||||
Total Return3(%) | (9.03)4 | 26.094 | ||||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $4,062 | $2,552 | ||||
Ratios of expenses to average net assets | 0.875 | 0.875 | ||||
Ratio of net investment income to average net assets (%) | 1.405 | 1.285 | ||||
Portfolio Turnover (%) | 274 | 814 |
1 | Commenced investment operations May 1, 2009. |
2 | Based on average shares outstanding during the year. |
3 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Financial Statements.
71
Ultra Series Fund | June 30, 2010
Financial Highlights for a Share of Beneficial Interest Outstanding
LARGE CAP GROWTH FUND | ||||||
(unaudited) Six-Months Ended 6/30/10 | Year Ended December 31, | |||||
2009 | 2008 | 2007 | 2006 | 2005 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $19.87 | $14.50 | $23.36 | $21.47 | $19.97 | $19.68 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.05 | 0.12 | 0.12 | 0.08 | 0.07 | 0.17 |
Net realized and unrealized gain (loss) on investments | (1.78) | 5.37 | (8.80) | 2.59 | 1.51 | 0.30 |
Total from investment operations | (1.73) | 5.49 | (8.68) | 2.67 | 1.58 | 0.47 |
Less Distributions: | ||||||
Distributions from net investment income | – | (0.12) | (0.14) | (0.09) | (0.08) | (0.18) |
Distributions from capital gains | – | – | (0.04) | (0.69) | – | – |
Total distributions | 0.00 | (0.12) | (0.18) | (0.78) | (0.08) | (0.18) |
Net increase (decrease) in net asset value | (1.73) | 5.37 | (8.86) | 1.89 | 1.50 | 0.29 |
Net Asset Value at end of period | $18.14 | $19.87 | $14.50 | $23.36 | $21.47 | $19.97 |
Total Return3 (%) | (8.67)4 | 37.98 | (37.20) | 12.36 | 7.88 | 2.42 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $370,190 | $433,483 | $352,473 | $665,240 | $669,761 | $688,812 |
Ratios of expenses to average net assets | 0.825 | 0.82 | 0.82 | 0.81 | 0.81 | 0.81 |
Ratio of net investment income to average net assets (%) | 0.535 | 0.72 | 0.62 | 0.34 | 0.35 | 0.86 |
Portfolio Turnover (%) | 434 | 89 | 123 | 76 | 87 | 73 |
CLASS II | (unaudited) Six-Months Ended 6/30/10 | Inception to 12/31/091 | ||||
Net Asset Value at beginning of period | $19.87 | $15.78 | ||||
Income from Investment Operations: | ||||||
Net investment income2 | 0.03 | 0.05 | ||||
Net realized and unrealized gain (loss) on investments | (1.77) | 4.09 | ||||
Total from investment operations | (1.74) | 4.14 | ||||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.05) | ||||
Net increase in net asset value | (1.74) | 4.09 | ||||
Net Asset Value at end of period | $18.13 | $19.87 | ||||
Total Return3(%) | (8.79)4 | 26.214 | ||||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $10,508 | $6,003 | ||||
Ratios of expenses to average net assets | 1.075 | 1.075 | ||||
Ratio of net investment income to average net assets (%) | 0.325 | 0.365 | ||||
Portfolio Turnover (%) | 434 | 894 |
1 | Commenced investment operations May 1, 2009. |
2 | Based on average shares outstanding during the year. |
3 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Financial Statements.
72
Ultra Series Fund | June 30, 2010
Financial Highlights for a Share of Beneficial Interest Outstanding
MID CAP FUND | ||||||
(unaudited) Six-Months Ended 6/30/10 | Year Ended December 31, | |||||
20093 | 20083 | 20073 | 20063 | 20053 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $11.82 | $ 8.01 | $15.31 | $15.68 | $17.94 | $18.10 |
Income from Investment Operations: | ||||||
Net investment income2 | – | – | 0.005 | (0.08) | (0.05) | (0.03) |
Net realized and unrealized gain (loss) on investments | (0.36) | 3.81 | (7.13) | 1.41 | 2.08 | 1.57 |
Total from investment operations | (0.36) | 3.81 | (7.13) | 1.33 | 2.02 | 1.54 |
Less Distributions: | ||||||
Distributions from net investment income | 0.03 | (0.00)5 | (0.00)5 | – | – | – |
Distributions from capital gains | – | – | (0.16) | (1.70) | (4.29) | (1.70) |
Total distributions | 0.03 | (0.00) | (0.16) | (1.70) | (4.29) | (1.70) |
Net increase (decrease) in net asset value | (0.33) | 3.81 | (7.29) | (0.37) | (2.26) | (0.16) |
Net Asset Value at end of period | $11.49 | $11.82 | $ 8.01 | $15.31 | $15.68 | $17.94 |
Total Return4(%) | (2.70)6 | 47.28 | (46.89) | 8.44 | 11.38 | 8.75 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $374,295 | $229,395 | $166,465 | $367,318 | $374,044 | $373,921 |
Ratios of expenses to average net assets | 0.907 | 0.87 | 0.87 | 0.86 | 0.86 | 0.86 |
Ratio of net investment income to average net assets (%) | (0.03)7 | (0.05) | 0.09 | (0.41) | (0.22) | (0.13) |
Portfolio Turnover (%) | 606 | 186 | 108 | 104 | 204 | 88 |
CLASS II | (unaudited) Six-Months Ended 6/30/10 | Inception to 12/31/091,3 | ||||
Net Asset Value at beginning of period | $11.82 | $ 9.36 | ||||
Income from Investment Operations: | ||||||
Net investment income2 | (0.03) | (0.00) | ||||
Net realized and unrealized gain (loss) on investments | (0.30) | 2.45 | ||||
Total from investment operations | (0.33) | 2.45 | ||||
Net increase in net asset value | (0.33) | 2.45 | ||||
Net Asset Value at end of period | $11.49 | $11.82 | ||||
Total Return4(%) | (2.82)6 | 26.136 | ||||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $8,011 | $4,813 | ||||
Ratios of expenses to average net assets | 1.167 | 1.227 | ||||
Ratio of net investment income to average net assets (%) | (0.22)7 | 0.537 | ||||
Portfolio Turnover (%) | 606 | 1866 |
1 | Commenced investment operations May 1, 2009. |
2 | Based on average shares outstanding during the year. |
3 | The financial highlights prior to May 1, 2010 are those of the Mid Cap Growth Fund, the accounting survivor of the reorganization of the Mid Cap Value and Mid Cap Growth Funds. The net asset values and other per share information of the Growth Fund have been restated by the conversion ratio of 2.6623 for Class I shares and 2.6678 for Class II shares to reflect those of the legal survivor of the reorganization the Mid Cap Value Fund, which was renamed the Mid Cap Fund after the reorganization. |
4 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. |
5 | Amount represents less than $0.005 per share. |
6 | Not annualized. |
7 | Annualized. |
See accompanying Notes to Financial Statements.
73
Ultra Series Fund | June 30, 2010
Financial Highlights for a Share of Beneficial Interest Outstanding
SMALL CAP FUND | ||||
(unaudited) Six-Months Ended 6/30/10 | Year Ended December 31, | Inception to 12/31/071 | ||
2009 | 2008 | |||
CLASS I | ||||
Net Asset Value at beginning of period | $ 8.54 | $ 6.53 | $ 8.86 | $10.00 |
Income from Investment Operations: | ||||
Net investment income3 | 0.02 | 0.05 | 0.08 | 0.09 |
Net realized and unrealized gain (loss) on investments | 0.02 | 2.00 | (2.34) | (1.05) |
Total from investment operations | 0.04 | 2.05 | (2.26) | (0.96) |
Less Distributions: | ||||
Distributions from net investment income | – | (0.04) | (0.07) | (0.08) |
Distributions from capital gains | – | – | (0.00)5 | (0.10) |
Total distributions | – | (0.04) | (0.07) | (0.18) |
Net increase (decrease) in net asset value | 0.04 | 2.01 | (2.33) | (1.14) |
Net Asset Value at end of period | $ 8.58 | $ 8.54 | $ 6.53 | $ 8.86 |
Total Return4 (%) | 0.515 | 31.56 | (25.54) | (9.62)6 |
Ratios/Supplemental Data: | ||||
Net Assets at end of period (in 000’s) | $9,511 | $7,989 | $5,986 | $5,624 |
Ratios of expenses to average net assets | 1.126 | 1.11 | 1.12 | 1.047 |
Ratio of net investment income to average net assets (%) | 0.346 | 0.77 | 1.03 | 1.457 |
Portfolio Turnover (%) | 445 | 21 | 28 | 136 |
CLASS II | (unaudited) Six-Months Ended 6/30/10 | Inception to 12/31/092 | ||
Net Asset Value at beginning of period | $ 8.54 | $ 6.50 | ||
Income from Investment Operations: | ||||
Net investment income3 | – | 0.02 | ||
Net realized and unrealized gain (loss) on investments | 0.03 | 2.03 | ||
Total from investment operations | 0.03 | 2.05 | ||
Less Distributions: | ||||
Distributions from net investment income | – | (0.01) | ||
Net increase in net asset value | 0.03 | 2.04 | ||
Net Asset Value at end of period | $ 8.57 | $ 8.54 | ||
Total Return4(%) | 0.385 | 31.575 | ||
Ratios/Supplemental Data: | ||||
Net Assets at end of period (in 000’s) | $1,017 | $616 | ||
Ratios of expenses to average net assets | 1.366 | 1.366 | ||
Ratio of net investment income to average net assets (%) | 0.136 | 0.446 | ||
Portfolio Turnover (%) | 445 | 215 |
1 | Commenced investment operations May 1, 2007. |
2 | Commenced investment operations May 1, 2009. |
3 | Based on average shares outstanding during the year. |
4 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. |
5 | Not annualized. |
6 | Annualized. |
See accompanying Notes to Financial Statements.
74
Ultra Series Fund | June 30, 2010
Financial Highlights for a Share of Beneficial Interest Outstanding
INTERNATIONAL STOCK FUND | ||||||
(unaudited) Six-Months Ended 6/30/10 | Year Ended December 31, | |||||
2009 | 2008 | 2007 | 2006 | 2005 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $ 9.53 | $ 7.59 | $13.40 | $13.78 | $12.38 | $11.36 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.12 | 0.17 | 0.26 | 0.23 | 0.19 | 0.17 |
Net realized and unrealized gain (loss) on investments | (1.29) | 1.95 | (5.27) | 1.36 | 2.78 | 1.71 |
Total from investment operations | (1.17) | 2.12 | (5.01) | 1.59 | 2.97 | 1.88 |
Less Distributions: | ||||||
Distributions from net investment income | (0.12) | (0.18) | (0.26) | (0.32) | (0.20) | (0.15) |
Distributions from capital gains | – | – | (0.54) | (1.65) | (1.37) | (0.71) |
Total distributions | (0.12) | (0.18) | (0.80) | (1.97) | (1.57) | (0.86) |
Net increase (decrease) in net asset value | (1.29) | 1.94 | (5.81) | (0.38) | 1.40 | 1.02 |
Net Asset Value at end of period | $ 8.24 | $ 9.53 | $ 7.59 | $13.40 | $13.78 | $12.38 |
Total Return3 (%) | (12.47)4 | 27.90 | (38.62) | 11.42 | 24.19 | 16.53 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $83,357 | $77,997 | $72,768 | $164,151 | $165,704 | $108,482 |
Ratios of expenses to average net assets | 1.225 | 1.22 | 1.22 | 1.21 | 1.22 | 1.21 |
Ratio of net investment income to average net assets (%) | 2.565 | 2.08 | 2.45 | 1.60 | 1.48 | 1.47 |
Portfolio Turnover (%) | 484 | 87 | 43 | 62 | 62 | 52 |
CLASS II | (unaudited) Six-Months Ended 6/30/10 | Inception to 12/31/091 | ||||
Net Asset Value at beginning of period | $ 9.53 | $ 7.32 | ||||
Income from Investment Operations: | ||||||
Net investment income2 | 0.08 | 0.04 | ||||
Net realized and unrealized gain (loss) on investments | (1.27) | 2.33 | ||||
Total from investment operations | (1.19) | 2.37 | ||||
Less Distributions: | ||||||
Distributions from net investment income | (0.11) | (0.16) | ||||
Net increase in net asset value | (1.30) | 2.21 | ||||
Net Asset Value at end of period | $ 8.23 | $ 9.53 | ||||
Total Return3(%) | (12.58)4 | 32.304 | ||||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $7,726 | $3,962 | ||||
Ratios of expenses to average net assets | 1.475 | 1.485 | ||||
Ratio of net investment income to average net assets (%) | 2.395 | 0.575 | ||||
Portfolio Turnover (%) | 484 | 874 |
1 | Commenced investment operations May 1, 2009. |
2 | Based on average shares outstanding during the year. |
3 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Financial Statements.
75
Ultra Series Fund | June 30, 2010
Financial Highlights for a Share of Beneficial Interest Outstanding
TARGET RETIREMENT 2020 FUND | ||||
(unaudited) Six-Months Ended 6/30/10 | Year Ended December 31, | Inception to 12/31/071 | ||
2009 | 2008 | |||
CLASS I | ||||
Net Asset Value at beginning of period | $ 7.64 | $ 6.04 | $ 9.63 | $10.00 |
Income from Investment Operations: | ||||
Net investment income2 | 0.08 | 0.15 | 0.22 | 0.13 |
Net realized and unrealized gain (loss) on investments | (0.28) | 1.59 | (3.60) | (0.32) |
Total from investment operations | (0.20) | 1.74 | (3.38) | (0.19) |
Less Distributions: | ||||
Distributions from net investment income | – | (0.14) | (0.16) | (0.18) |
Distributions from capital gains | – | – | (0.05) | – |
Total distributions | 0.00 | (0.14) | (0.21) | (0.18) |
Net increase (decrease) in net asset value | (0.20) | 1.60 | (3.59) | (0.37) |
Net Asset Value at end of period | $ 7.44 | $ 7.64 | $ 6.04 | $ 9.63 |
Total Return3 (%) | (2.67)4 | 28.93 | (35.31) | (1.94)4 |
Ratios/Supplemental Data: | ||||
Net Assets at end of period (in 000’s) | $21,211 | $19,300 | $8,719 | $2,524 |
Ratios of expenses to average net assets | ||||
Before reimbursement of expenses by Adviser | 0.405 | 0.41 | 0.40 | 0.435 |
After reimbursement of expenses by Adviser | 0.205 | 0.34 | 0.40 | 0.435 |
Ratio of net investment income to average net assets (%) | 2.225 | 2.24 | 2.80 | 5.175 |
Portfolio Turnover (%) | 464 | 78 | 74 | 34 |
1 | Commenced investment operations May 1, 2007. |
2 | Based on average shares outstanding during the year. |
3 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Financial Statements.
76
Ultra Series Fund | June 30, 2010
Financial Highlights for a Share of Beneficial Interest Outstanding
TARGET RETIREMENT 2030 FUND | ||||
(unaudited) Six-Months Ended 6/30/10 | Year Ended December 31, | Inception to 12/31/071 | ||
2009 | 2008 | |||
CLASS I | ||||
Net Asset Value at beginning of period | $ 7.41 | $ 5.75 | $ 9.54 | $10.00 |
Income from Investment Operations: | ||||
Net investment income2 | 0.07 | 0.12 | 0.18 | 0.09 |
Net realized and unrealized gain (loss) on investments | (0.36) | 1.65 | (3.82) | (0.34) |
Total from investment operations | (0.29) | 1.77 | (3.64) | (0.25) |
Less Distributions: | ||||
Distributions from net investment income | – | (0.11) | (0.11) | (0.21) |
Distributions from capital gains | – | – | (0.04) | – |
Total distributions | 0.00 | (0.11) | (0.15) | (0.21) |
Net increase (decrease) in net asset value | (0.29) | 1.66 | (3.79) | (0.46) |
Net Asset Value at end of period | $ 7.12 | $ 7.41 | $ 5.75 | $ 9.54 |
Total Return3 (%) | (3.84)4 | 30.94 | (38.35) | (2.51)4 |
Ratios/Supplemental Data: | ||||
Net Assets at end of period (in 000’s) | $22,541 | $19,330 | $8,010 | $1,521 |
Ratios of expenses to average net assets | ||||
Before reimbursement of expenses by Adviser | 0.405 | 0.41 | 0.40 | 0.445 |
After reimbursement of expenses by Adviser | 0.205 | 0.34 | 0.40 | 0.445 |
Ratio of net investment income to average net assets (%) | 1.895 | 1.87 | 2.38 | 3.535 |
Portfolio Turnover (%) | 364 | 78 | 52 | 154 |
1 | Commenced investment operations May 1, 2007. |
2 | Based on average shares outstanding during the year. |
3 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Financial Statements.
77
Ultra Series Fund | June 30, 2010
Financial Highlights for a Share of Beneficial Interest Outstanding
TARGET RETIREMENT 2040 FUND | ||||
(unaudited) Six-Months Ended 6/30/10 | Year Ended December 31, | Inception to 12/31/071 | ||
2009 | 2008 | |||
CLASS I | ||||
Net Asset Value at beginning of period | $ 7.07 | $ 5.43 | $ 9.48 | $10.00 |
Income from Investment Operations: | ||||
Net investment income2 | 0.06 | 0.08 | 0.14 | 0.07 |
Net realized and unrealized gain (loss) on investments | (0.42) | 1.63 | (4.06) | (0.36) |
Total from investment operations | (0.36) | 1.71 | (3.92) | (0.29) |
Less Distributions: | ||||
Distributions from net investment income | – | (0.07) | (0.08) | (0.23) |
Distributions from capital gains | – | – | (0.05) | – |
Total distributions | 0.00 | (0.07) | (0.13) | (0.23) |
Net increase (decrease) in net asset value | (0.36) | 1.64 | (4.05) | (0.52) |
Net Asset Value at end of period | $ 6.71 | $ 7.07 | $ 5.43 | $ 9.48 |
Total Return3 (%) | (5.08)4 | 31.64 | (41.65) | (2.86)4 |
Ratios/Supplemental Data: | ||||
Net Assets at end of period (in 000’s) | $19,039 | $16,656 | $6,385 | $1,193 |
Ratios of expenses to average net assets | ||||
Before reimbursement of expenses by Adviser | 0.405 | 0.41 | 0.40 | 0.445 |
After reimbursement of expenses by Adviser | 0.205 | 0.34 | 0.40 | 0.445 |
Ratio of net investment income to average net assets (%) | 1.595 | 1.22 | 1.99 | 2.765 |
Portfolio Turnover (%) | 264 | 86 | 62 | 14 |
1 | Commenced investment operations May 1, 2007. |
2 | Based on average shares outstanding during the year. |
3 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Financial Statements.
78
Ultra Series Fund | June 30, 2010
Notes to Financial Statements (unaudited)
1. ORGANIZATION
The Ultra Series Fund (the "Trust’’), a Massachusetts business trust, is registered under the Investment Company Act of 1940 (the "1940 Act’’), as amended, as a diversified, open-end management investment company. The Trust is a series fund with 16 investment portfolios (individually, a "fund," and collectively, the "funds’’), each with different investment objectives and policies. The funds currently available are the Money Market Fund, Bond Fund, High Income Fund, Diversified Income Fund, Equity Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Fund, Small Cap Fund and International Stock Fund (collectively, the "Core Funds’’), the Conservative Allocation Fund, Moderate Allocation Fund and Aggressi ve Allocation Fund (collectively, the "Target Allocation Funds’’), and the Target Retirement 2020 Fund, Target Retirement 2030 Fund, and Target Retirement 2040 Fund (collectively, the "Target Date Funds").
The Declaration of Trust permits the Board of Trustees to issue an unlimited number of full and fractional shares of the Trust without par value. All funds, except for the Target Date Funds, offer Class I and II shares. The Target Date Funds only offer a single class of shares, Class I shares. Each class of shares represents an interest in the assets of the respective fund and has identical voting, dividend, liquidation and other rights, except that each class of shares bears its own distribution fees, if any, and its proportional share of fund level expenses, and has exclusive voting rights on matters pertaining to Rule 12b-1 under the 1940 Act as it relates to that class and other class specific matters. Shares are offered to separate accounts (the "Accounts 217;’) of CUNA Mutual Insurance Society and to qualified pension and retirement plans of CUNA Mutual Insurance Society or its affiliates ("CUNA Mutual Group’’). The Trust may, in the future, offer other share classes to separate accounts of insurance companies and to qualified pension and retirement plans that are not affiliated with CUNA Mutual Group. The Trust does not offer shares directly to the general public.
The Trust has entered into a Management Agreement with Madison Asset Management, LLC. (the "Investment Adviser" or "Madison"). The Investment Adviser, in turn, has entered into subadvisory agreements with certain subadvisers ("Subadvisers") for the management of the investments of the High Income, Small Cap and International Stock Funds.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements 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 income and expenses during the reported period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by each fund in the preparation of its financial statements.
Portfolio Valuation: Equity securities and exchange-traded funds ("ETFs") listed on any U.S. or foreign stock exchange or quoted on the National Association of Securities Dealers Automated Quotation System ("NASDAQ’’) are valued at the last quoted sale price or official closing price on that exchange or NASDAQ on the valuation day (provided that, for securities traded on NASDAQ, the funds utilize the NASDAQ Official Closing Price). If no sale occurs, (a) equities traded on a U.S. exchange or on NASDAQ are valued at the mean between the closing bid and closing asked prices and (b) equity securities traded on a foreign exchange are valued at the official bid price. Debt securities purcha sed with a remaining maturity of 61 days or more are valued by a pricing service selected by the Trust or on the basis of dealer-supplied quotations. Investments in shares of open-ended mutual funds, including money market funds, are valued at their daily net asset value ("NAV") which is calculated as of the close of regular trading on the New York Stock Exchange (usually 4:00 p.m. Eastern Standard Time) on each day on which the New York Stock Exchange is open for business. NAV per share is determined by dividing each fund’s total net assets by the number of shares of such fund outstanding at the time of calculation. The assets of each Target Allocation and each Target Date Fund consist primarily of shares of underlying funds, the NAV of each fund is determined based on the NAV’s of the underlying funds. Total net assets are determined by adding the total current value of portfolio
79
Ultra Series Fund | June 30, 2010
Notes to Financial Statements (unaudited)
securities, cash, receivables, and other assets and subtracting liabilities. Short-term instruments having maturities of 60 days or less and all securities in the Money Market Fund are valued on an amortized cost basis, which approximates market value.
Over-the-counter securities not listed or traded on NASDAQ are valued at the last sale price on the valuation day. If no sale occurs on the valuation day, an over-the-counter security is valued at the mean between the last bid and asked prices.Over-the-counter options are valued based upon prices provided by market makers in such securities or dealers in such currencies. Exchange traded options are valued at the last sale or bid price on the exchange where such option contract is principally traded, except for the Equity Income Fund where they are valued at the mean of the best bid and best ask prices across all option exchanges. Futures contracts generally are valued at the settlement price established by the exchange(s) on which the contracts are primarily trad ed. The Trust’s Pricing Committee (the "Committee’’) shall estimate the fair value of futures positions affected by the daily limit by using its valuation procedures for determining fair value, when necessary. Spot and forward foreign currency exchange contracts are valued based on quotations supplied by dealers in such contracts. Overnight repurchase agreements are valued at cost, and term repurchase agreements (i.e., those whose maturity exceeds seven days), swaps, caps, collars and floors are valued at the average of the closing bids obtained daily from at least one dealer.
Through the end of this reporting period, the value of all assets and liabilities expressed in foreign currencies was converted into U.S. dollar values using the then current exchange rate at the close of regular trading on the New York Stock Exchange (usually 4:00 p.m. Eastern Standard Time). Prior to May 10, 2010, the conversion into U.S. Dollar values used the exchange rate as of Noon Eastern Standard Time on each day that the New York Stock Exchange was open for business.
All other securities for which either quotations are not readily available, no other sales have occurred, or in the Investment Adviser’s opinion, do not reflect the current market value, are appraised at their fair values as determined in good faith by the Committee and under the general supervision of the Board of Trustees. When fair value pricing of securities is employed, the prices of securities used by the funds to calculate NAV may differ from market quotations or official closing prices. Because the Target Allocation and Target Date Funds primarily invest in underlying funds, government securities and short-term paper, it is not anticipated that the Investment Adviser will need to "fair’’ value any of the investments of these funds. Howev er, an underlying fund may need to "fair’’ value one or more of its investments, which may, in turn, require a Target Allocation or Target Date Fund to do the same because of delays in obtaining the underlying Fund’s NAV.
A fund’s investments (or underlying fund) will be valued at fair value if in the judgment of the Committee an event impacting the value of an investment occurred between the closing time of a security’s primary market or exchange (for example, a foreign exchange or market) and the time the fund’s share price is calculated as of the close of regular trading on the New York Stock Exchange (usually 4:00 p.m. Eastern Standard Time). Significant events may include, but are not limited to, the following: (1) significant fluctuations in domestic markets, foreign markets or foreign currencies; (2) occurrences not directly tied to the securities markets such as natural disasters, armed conflicts or significant government actions; and (3) major announceme nts affecting a single issuer or an entire market or market sector. In responding to a significant event, the Committee would determine the fair value of affected securities considering factors including, but not limited to: fundamental analytical data relating to the investment; the nature and duration of any restrictions on the disposition of the investment; and the forces influencing the market(s) in which the investment is purchased or sold. The Committee may rely on an independent fair valuation service to adjust the valuations of foreign equity securities based on specific market-movement parameters established by the Committee and approved by the Trust.
Security Transactions and Investment Income: Security transactions are accounted for on a trade date basis. Net realized gains or losses on sales are determined by the identified cost method. Interest income is recorded on an accrual basis. Dividend income is recorded on ex-dividend date. Amortization and accretion are recorded on the effective yield method.
80
Ultra Series Fund | June 30, 2010
Notes to Financial Statements (unaudited)
Federal Income Taxes: It is each Fund’s policy to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986 applicable to regulated investment companies and to distribute substantially all it’s taxable income to its shareholders. Accordingly, no provisions for federal income taxes are recorded in the accompanying financial statements.
The funds have not recorded any liabilities for material unrecognized tax benefits as of June 30, 2010. It is the funds’ policy to recognize accrued interest and penalties related to uncertain tax benefits in income taxes, as appropriate. Tax years that remain open to examination by major tax jurisdictions include tax years ended December 31, 2006 through December 31, 2009.
Expenses: Expenses that are directly related to one fund are charged directly to that fund. Other operating expenses are prorated to the funds on the basis of relative net assets. Class-specific expenses are borne by that class.
Classes: Income and realized and unrealized gains/losses are allocated to the respective classes on the basis of relative net assets.
Repurchase Agreements: Each fund may engage in repurchase agreements. In a repurchase agreement, a security is purchased for a relatively short period (usually not more than 7 days) subject to the obligation to sell it back to the issuer at a fixed time and price plus accrued interest. The funds will enter into repurchase agreements only with member banks of the Federal Reserve System and with "primary dealers’’ in U.S. Government securities. As of June 30, 2010, none of the funds had open repurchase agreements.
The Trust has established a procedure providing that the securities serving as collateral for each repurchase agreement must be delivered to the Trust’s custodian either physically or in book-entry form and that the collateral must be marked to market daily to ensure that the repurchase agreement is fully collateralized at all times. In the event of bankruptcy or other default by a seller of a repurchase agreement, a fund could experience one of the following: delays in liquidating the underlying securities during the period in which the fund seeks to enforce its rights thereto, possible subnormal levels of income, declines in value of the underlying securities, or lack of access to income during this period and the expense of enforcing its rights.
Foreign Currency Transactions: The books and records are maintained in U.S. dollars. Foreign currency denominated transactions (i.e., market value of investment securities, assets and liabilities, purchases and sales of investment securities, and income and expenses) are translated into U.S. dollars at the current rate of exchange.
Each fund, except the Money Market Fund, reports certain foreign currency-related transactions as components of realized gains or losses for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes. Net Realized losses of $1,566,949 are included in the Statements of Operations under the heading "Net realized gain (loss) on investments" for the International Stock Fund. The Money Market Fund can only invest in U.S. dollar-denominated foreign money market securities.
The funds do not isolate the portion of gains and losses on investments in securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of securities. Such amounts are categorized as gain or loss on investments for financial reporting purposes.
Forward Foreign Currency Exchange Contracts: Each fund, except the Money Market Fund, may purchase and sell forward foreign currency exchange contracts for defensive or hedging purposes. When entering into forward foreign currency exchange contracts, the funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily. The funds’ net assets reflect unrealized gains or losses on the contracts as measured by the difference between the forward foreign currency exchange rates at the dates of entry into the contracts and
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Ultra Series Fund | June 30, 2010
Notes to Financial Statements (unaudited)
the forward rates at the reporting date. The funds realize a gain or a loss at the time the forward foreign currency exchange contracts are settled or closed out with an offsetting contract. Realized and unrealized gains and losses are included in the Statements of Operations. As of June 30, 2010, none of the funds had open forward foreign currency exchange contracts. However, as the funds enter into contracts on the trade date, at the current spot rate, to settle any securities transactions denominated in foreign currencies on behalf of the funds. As of June 30, 2010, the International Stock Fund had open foreign currency contracts to settle payables for investments purchased and receivables for investments sold.
If a fund enters into a forward foreign currency exchange contract to buy foreign currency for any purpose, the fund will be required to place cash or other liquid assets in a segregated account with the fund’s custodian in an amount equal to the value of the fund’s total assets committed to the consummation of the forward contract. If the value of the securities in the segregated account declines, additional cash or securities will be placed in the segregated account so that the value of the account will equal the amount of the fund’s commitment with respect to the contract.
Futures Contracts: Each fund, except the Money Market Fund, may purchase and sell futures contracts and purchase and write options on futures contracts. The funds will engage in futures contracts or related options transactions to hedge certain market positions. Upon entering into a futures contract, the fund is required to pledge to the broker an amount of cash, U.S. Government securities or other assets, equal to a certain percentage of the contract (initial margin deposit). Subsequent payments, known as "variation margin,’’ are made or received by the fund each day, depending on the daily fluctuations in the fair value of the futures contract. When a fund enters into a futures contr act, the fund segregates cash or other liquid securities, of any type or maturity, equal in value to the fund’s commitment. The fund recognizes a gain or loss equal to the daily change in the value of the futures contracts. Should market conditions move unexpectedly, the fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. As of June 30, 2010, none of the funds have open futures contracts.
Delayed Delivery Securities: Each fund may purchase securities on a when-issued or delayed delivery basis. "When-issued’’ refers to securities whose terms are available and for which a market exists, but that have not been issued. For when-issued or delayed delivery transactions, no payment is made until delivery date, which is typically longer than the normal course of settlement, and often a month or more after the purchase. When a fund enters into an agreement to purchase securities on a when-issued or delayed delivery basis, the fund segregates cash or other liquid securities, of any type or maturity, equal in value to the fund’s commitment. Losses may arise due to changes in the market value of the underlying securities, if the counterparty does not perform under the contract, or if the issuer does not issue the securities due to political, economic or other factors. As of June 30, 2010, none of the funds had entered into such transactions.
Reclassification Adjustments: Paid-in capital, undistributed net investment income, and accumulated net realized gain (loss) have been adjusted in the Statements of Assets and Liabilities for permanent book-tax differences for all funds. Differences primarily relate to the tax treatment of net operating losses, paydown gains and losses, foreign currency gains and losses, and distributions from real estate investment trusts and passive foreign investment companies.
Fair Value Measurements: Each fund has adopted the Financial Accounting Standards Board ("FASB") guidance on fair value measurements. Fair value is defined as the price that each fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data "inputs" and minimize the use of unobservable "inputs" and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk (for examp le, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the
82
Ultra Series Fund | June 30, 2010
Notes to Financial Statements (unaudited)
inputs to the valuation technique). Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
•Level 1 – quoted prices in active markets for identical investments |
•Level 2 – other significant observable inputs (including quoted prices for similar investments, 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) |
In April 2009, the FASB also issued guidance on how to determine the fair value of assets and liabilities when the volume and level of activity for the asset/liability have significantly decreased as well as guidance on identifying circumstances that indicate a transaction is not orderly. The valuation techniques used by the funds to measure fair value for the period ended June 30, 2010 maximized the use of observable inputs and minimized the use of unobservable inputs. The funds utilized the following fair value techniques: multi-dimensional relational pricing model and option adjusted spread pricing; the funds estimated the price that would have prevailed in a liquid market for an international equity security given information available at the time of evaluati on. As of June 30, 2010, none of the funds held securities deemed as a Level 3.
The following is a summary of the inputs used as of June 30, 2010 in valuing the funds’ investments carried at fair value:
Fund | Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Value at 6/30/2010 |
Conservative Allocation1 | $202,741,583 | $ – | $ – | $202,741,583 |
Moderate Allocation1 | 344,506,125 | – | – | 344,506,125 |
Aggressive Allocation1 | 114,578,877 | – | – | 114,578,877 |
Money Market2 | 3,406,907 | 78,124,921 | – | 81,531,828 |
Bond | ||||
Asset Backed | – | 8,261,988 | – | 8,261,988 |
Corporate Notes and Bonds | – | 146,839,724 | – | 146,839,724 |
Mortgage Backed | – | 128,314,320 | – | 128,314,320 |
U.S. Government and Agency Obligations | – | 234,753,794 | – | 234,753,794 |
Investment Companies | 18,269,647 | – | – | 18,269,647 |
18,269,647 | 518,169,826 | – | 536,439,473 | |
High Income | ||||
Corporate Notes and Bonds | – | 86,656,467 | – | 86,656,467 |
Investment Companies | 3,233,651 | – | – | 3,233,651 |
3,233,651 | 86,656,467 | 89,890,118 |
1 At June 30, 2010, all investments are Level 1, see respective Portfolio of Investments. |
2 At June 30, 2010, all Level 2 securities held are short term investments, see respective Portfolio of Investments. |
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Ultra Series Fund | June 30, 2010
Notes to Financial Statements (unaudited)
Fund | Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Value at 6/30/2010 |
Diversified Income | ||||
Common Stocks | $180,155,140 | $ – | $ – | $180,155,140 |
Asset Backed | – | 4,845,874 | – | 4,845,874 |
Corporate Notes and Bonds | – | 91,601,112 | – | 91,601,112 |
Mortgage Backed | – | 60,739,061 | – | 60,739,061 |
U.S. Government and Agency Obligations | – | 60,424,520 | – | 60,424,520 |
Investment Companies | 5,279,447 | – | – | 5,279,447 |
185,434,587 | 217,610,567 | – | 403,045,154 | |
Equity Income1 | 748,267 | – | – | 748,267 |
Large Cap Value1 | 538,493,990 | – | – | 538,493,990 |
Large Cap Growth1 | 384,873,579 | – | – | 384,873,579 |
Mid Cap | ||||
Common Stocks | 347,549,672 | – | – | 347,549,672 |
Certificate of Deposit | – | 9,012,078 | – | 9,012,078 |
Investment Companies | 17,347,546 | 9,442,825 | – | 26,790,371 |
364,897,218 | 18,454,903 | – | 383,352,121 | |
Small Cap | ||||
Common Stocks | 10,148,544 | – | – | 10,148,544 |
Certificate of Deposit | – | 55,547 | – | 55,547 |
Investment Companies | 480,065 | – | – | 480,065 |
10,628,609 | 55,547 | – | 10,684,156 | |
International Stock | ||||
Common Stocks | ||||
Australia | – | 767,003 | – | 767,003 |
Belgium | – | 1,974,197 | – | 1,974,197 |
Brazil | – | 2,634,765 | – | 2,634,765 |
Canada | – | 2,129,831 | – | 2,129,831 |
China | – | 958,468 | – | 958,468 |
Czech Republic | – | 718,660 | – | 718,660 |
Denmark | – | 976,055 | – | 976,055 |
France | – | 6,627,817 | – | 6,627,817 |
Germany | – | 3,573,582 | – | 3,573,582 |
Hong Kong | – | 2,529,882 | – | 2,529,882 |
Ireland | – | 1,252,409 | – | 1,252,409 |
Italy | – | 1,500,086 | – | 1,500,086 |
Japan | – | 19,234,847 | – | 19,234,847 |
Mexico | – | 640,688 | – | 640,688 |
Netherlands | – | 1,596,593 | – | 1,596,593 |
Norway | – | 688,177 | – | 688,177 |
Russia | – | 704,659 | – | 704,659 |
Singapore | – | 898,280 | – | 898,280 |
South Korea | – | 1,473,100 | – | 1,473,100 |
Spain | – | 2,343,825 | – | 2,343,825 |
Switzerland | – | 8,212,082 | – | 8,212,082 |
Turkey | – | 1,008,796 | – | 1,008,796 |
United Kingdom | – | 24,307,533 | – | 24,307,533 |
Investment Companies | 3,359,679 | – | – | 1,259,131 |
3,359,679 | 86,751,335 | – | 90,111,014 | |
Target Retirement 20201 | 21,280,812 | – | – | 21,280,812 |
Target Retirement 20301 | 22,601,140 | – | – | 22,601,140 |
Target Retirement 20401 | 19,053,054 | – | – | 19,053,054 |
1 At June 30, 2010, all investments are Level 1, see respective Portfolio of Investments. |
2 At June 30, 2010, all Level 2 securities held are short term investments, see respective Portfolio of Investments. |
84
Ultra Series Fund | June 30, 2010
Notes to Financial Statements (unaudited)
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Funds duringthe period ended June 30, 2010:
Fund | Fair Value Beginning Balance 1/1/2010 | Purchases at Cost/Sales (Proceeds) | Amortization Disc/(Prem) | Realized Gain/(Loss) | Unrealized Gain/(Loss) | Fair Value Ending Balance 6/30/2010 |
International Stock | $ – | $ – | $ – | $ – | $ – | $ – |
Derivatives: In March 2008, the FASB issued guidance intended to enhance financial statement disclosures for derivative instruments and hedging activities and enable investors to understand: a) how and why a fund uses derivative instruments, b) how derivative instruments and related hedge fund items are accounted for, and c) how derivative instruments and related hedge items affect a fund’s financial position, results of operations and cash flows. This guidance is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. The funds adopted this gui dance effective April 30, 2010 with the inception of the Equity Income Fund.
The following table presents the types of derivatives in the Equity Income Fund by location as presented on the Statement of Assets and Liabilities as of June 30, 2010:
Statement of Asset & Liability Presentation of Fair Values of Derivative Instruments | ||||
Asset Derivatives | Liability Derivatives | |||
Derivatives not accounted for as hedging instruments | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value |
Equity contracts | – | -- | Options written | $15,834 |
The following table presents the effect of Derivative Instruments on the Statement of Operations for the period ended June 30, 2010:
Derivatives not accounted for as hedging instruments | Realized Gain on Derivatives: | Change in Unrealized Appreciation on Derivatives |
Equity contracts | $– | $12,773 |
Management has determined that there is no impact on the financial statements of the other funds held in the Trust as they currently do not hold derivative financial instruments.
In January, 2010, amended guidance was issued by FASB for fair value measurement disclosures about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances, and settlements relating to Level 3 measurements. It also clarifies existing fair value disclosures about the level of disaggregation, inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2009, except for disclosures about purchases, sales, issuances, and settlements relating to Level 3 measurements, which are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. For the six mont hs ended June 30, 2010, none of the funds had securities that transferred between classification levels.
3. ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS
For its investment advisory services to the Funds, the Investment Adviser is entitled to receive a fee, which is calculated daily and paid monthly, at an annual rate based upon the following percentages of average daily net assets: 0.45% for the Money Market Fund, 0.55% for the Bond Fund, 0.75% for the High Income Fund, 0.70% for the Diversified Income Fund, 0.90% for
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Ultra Series Fund | June 30, 2010
Notes to Financial Statements (unaudited)
the Equity Income Fund, 0.60% for the Large Cap Value Fund, 0.80% for the Large Cap Growth Fund, 0.90% for the Mid Cap Fund, 1.10% for the Small Cap Fund, 1.20% for the International Stock Fund and 0.30% for each of the Target Allocation Funds. Effective October 1, 2009, Madison voluntarily agreed to reduce the management fee of the Target Date Funds from 0.40% to 0.20%. This waiver may be discontined at any time. The Investment Adviser is solely responsible for the payment of all fees to the Subadvisers. The Subadvisers for the funds are Shenkman Capital Management, Inc. for the High Income Fund, Wellington Management Company, LLP for the Small Cap Fund and Lazard Asset Management LLC for the International Stock Fund. The Investment Adviser manages the Money Mar ket Fund, Bond Fund, Diversified Income Fund, Equity Income Fund, Large Cap Growth Fund, Large Cap Value Fund, Mid Cap Fund, Target Allocation Funds and the Target Date Funds.
The Investment Adviser may from time to time voluntarily agree to waive a portion of its fees or expenses related to the Funds. In that regard, the Investment Adviser waived a portion of management fees on the Money Market Class I Shares and Class II Shares for the purpose of maintaining a one-day yield of zero. The amount of the daily waiver is equal to the amount required to maintain a minimum daily distribution rate of zero. For the period ended June 30, 2010, the waivers totaled $146,615 for Class I Shares and $145 for Class II Shares and are reflected as fees waived by the Investment Advisor in the accompanying Statement of Operations.
In addition to the management fee, the Trust is responsible for fees of the disinterested trustees, brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments, costs of borrowing money, expenses for independent audits, tax, compliance and extraordinary expenses as approved by a majority of the Independent Trustees.
Certain officers and trustees of the Trust are also officers of the Investment Advisor. With the exception of the Chief Compliance Officer, the Trust does not compensate these officers or trustees. As part of the Trust’s required compliance program, the Trust pays a portion of the Chief Compliance Officer’s annual salary. Unaffiliated trustees receive from the Trust an annual retainer, which compensates them for each regular Board meeting attended, with additional remuneration paid to the Chair of the Board and the Chair of the Audit Committee. Unaffiliated trustees also receive a per meeting fee for each special meeting, if any, attended.
Limited Services Agreement. Effective July 1, 2009, the investment adviser, Madison Asset Management, LLC ("Madison"), entered into a Limited Services Agreement with the Trust. Under the agreement, Madison agreed to cap certain operating expenses of each fund (other than the Equity Income Fund) that, prior to that date, had been paid directly by the funds (not including securities transaction commissions and expenses, certain taxes, interest, share distribution expenses, and extraordinary and non-recurring expenses). The Limited Services Agreement is in force for a period of no less than two years from the date of the agreement. Specifically, Madison, in exchange for the Limited Services Fee, is r esponsible for paying the fees and expenses of the funds’ Independent Trustees, independent registered public accountants and all costs related to the funds’ compliance program. The agreement requires Madison to maintain expense levels for these items at a dollar amount that is no more than the amount of such expenses incurred by each fund’s Class I shares for the year-ended December 31, 2008, as follows:
Fund | Annual Fee | Fund | Annual Fee | |
Conservative Allocation | $11,284 | Large Cap Value | $120,439 | |
Moderate Allocation | 31,600 | Large Cap Growth | 76,596 | |
Aggressive Allocation | 11,456 | Mid Cap | 40,739 | |
Money Market | 18,783 | Small Cap | 1,035 | |
Bond | 73,318 | International Stock | 24,119 | |
High Income | 14,749 | Target Retirement 2020 | 337 | |
Diversified Income | 71,315 | Target Retirement 2030 | 245 | |
Target Retirement 2040 | 213 |
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Ultra Series Fund | June 30, 2010
Notes to Financial Statements (unaudited)
If actual expenses exceed these dollar amounts, Madison is required to pay the excess (not the funds).
Distribution Agreement. Mosaic Funds Distributor, LLC ("MFD") serves as distributor of the Funds. The Trust adopted a distribution and service plan with respect to the Trust’s Class II shares pursuant to Rule 12b-1 under the 1940 Act. Under the plan, the Trust will pay a service fee with regard to Class II shares at an annual rate of 0.25% of each fund’s daily net assets. MFD arranges to provide compensation to others that provide shareholder servicing services to the funds and their shareholders. Fees incurred by the Funds under the plan are detailed in the Statement of Operations.
The distributor may from time to time voluntarily agree to waive a portion of its fees or expenses related to the funds. In this regard, the distributor waived a portion of 12b-1 fees on the Money Market Class II shares for the purpose of maintaining a one-day yield of zero. For the period ended June 30, 2010, the waivers totaled $104 and are reflected as fees waived in the accompanying Statement of Operations.
The Trust has entered into participation agreements with CUNA Mutual Insurance Society setting forth the terms and conditions pursuant to which the Accounts and retirement plans purchase and redeem shares of the funds. Investments in the Trust by the Accounts are made through either variable annuity or variable life insurance contracts. Net purchase payments under the variable contracts are placed in one or more sub-accounts of the Accounts, and the assets of each sub-account are invested (without sales or redemption charges) in shares of the fund corresponding to that sub-account. Shares are purchased and redeemed at a price equal to the shares’ net asset value. The assets of each fund are held separate from the assets of the other funds.
4. DIVIDENDS FROM NET INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
The Money Market Fund declares dividends from net investment income and net realized gains from investment transactions, if any, daily, and net realized gains from investment transactions, if any, annually, which are reinvested in additional full and fractional shares of the fund. The Bond Fund, High Income Fund, Diversified Income Fund, Equity Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Small Cap, Mid Cap Fund, International Stock Fund, Target Allocation Funds, and Target Date Funds declare dividends from net investment income and net realized gains from investment transactions, if any, annually, which are reinvested in additional full and fractional shares of the respective funds.
Income and capital gain distributions, if any, are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. Taxable distributions from income and realized capital gains of the funds may differ from book amounts earned during the period due to differences in the timing of capital gains recognition, and due to the reclassification of certain gains or losses from capital to income.
5. SECURITIES TRANSACTIONS
For the period ended June 30, 2010, aggregate cost of purchases and proceeds from sales of securities, other than short-term investments, were as follows:
U.S. Government Securities | Other Investment Securities | |||
Fund | Purchases | Sales | Purchases | Sales |
Conservative Allocation | $ – | $ – | $79,201,111 | $ 63,852,409 |
Moderate Allocation | – | – | 91,214,296 | 78,353,237 |
Aggressive Allocation | – | – | 20,090,212 | 12,955,282 |
Bond | 1,738,242 | 29,094,477 | 3,167,464 | 5,497,356 |
High Income | – | – | 23,441,580 | 41,205,268 |
Diversified Income | 789,659 | 13,903,819 | 56,466,665 | 52,008,611 |
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Ultra Series Fund | June 30, 2010
Notes to Financial Statements (unaudited)
U.S. Government Securities | Other Investment Securities | |||
Fund | Purchases | Sales | Purchases | Sales |
Equity Income | $ – | $ – | $ 817,440 | $ – |
Large Cap Value | – | – | 164,840,795 | 199,131,668 |
Large Cap Growth | – | – | 177,125,821 | 194,365,072 |
Mid Cap | – | – | 232,754,057 | 264,169,477 |
Small Cap | – | – | 5,670,454 | 5,244,903 |
International Stock | – | – | 50,459,285 | 61,764,060 |
Target Retirement 2020 | – | – | 12,146,729 | 9,406,297 |
Target Retirement 2030 | – | – | 11,590,277 | 7,363,930 |
Target Retirement 2040 | – | – | 8,113,619 | 4,652,548 |
6. COVERED CALL OPTIONS
The Equity Income Fund will pursue its primary objective by employing an option strategy of writing (selling) covered call options on common stocks. The number of call options the fund can write (sell) is limited by the amount of equity securities the fund holds in its portfolio. The fund will not write (sell) "naked" or uncovered call options. The fund seeks to produce a high level of current income and gains generated from option writing premiums and, to a lesser extent, from dividends.
Transactions in option contracts during the period ended June 30, 2010 were as follows:
Number of Contracts | Premiums Received | |
Options outstanding, beginning of period | – | – |
Options written during the period | 131 | $28,607 |
Options expired during the period | – | – |
Options closed during the period | – | – |
Options assigned during the period | – | – |
Options outstanding, end of period | 131 | $28,607 |
7. FOREIGN SECURITIES
Each fund may invest in foreign securities; provided, however, that the Money Market Fund is limited to U.S. dollar-denominated foreign money market securities. Foreign securities refer to securities that are: (1) issued by companies organized outside the U.S. or whose principal operations are outside the U.S., (2) issued by foreign governments or their agencies or instrumentalities, (3) principally traded outside the U.S., or (4) quoted or denominated in a foreign currency. Foreign securities include American Depositary Receipts ("ADRs’’), European Depositary Receipts ("EDRs’’), Global Depositary Receipts ("GDRs’’), Swedish Depositary Receipts ("SDRs’’) and foreign money market securities. Dollar-denominated securi ties that are part of the Merrill Lynch U.S. Domestic Master Index are not considered a foreign security.
Certain funds have reclaim receivable balances, in which the funds are due a reclaim on the taxes that have been paid to some foreign jurisdictions. The values of all reclaims are not significant for any of the funds and are reflected in Other Assets on the Statement of Assets and Liabilities. On a periodic basis, these receivables are reviewed to ensure the current receivable balance is reflective of the amount deemed to be collectible.
8. SECURITIES LENDING
Each fund, except the Target Allocation, Money Market, Small Cap, Equity Income and Target Retirement Funds, entered into a Securities Lending Agreement (the "Agreement") with State Street Bank and Trust Company ("State Street"). Under the terms of the Agreement, the Funds may lend portfolio securities to qualified borrowers in order to earn additional income. The
88
Ultra Series Fund | June 30, 2010
Notes to Financial Statements (unaudited)
Agreement requires that loans are collateralized at all times by cash or other liquid assets at least equal to 102% of the value of the securities, which is determined on a daily basis. At June 30, 2010, none of the funds had securities out on loan.
Amounts earned as interest on investments of cash collateral, net of rebates and fees, if any, are included in the Statement of Operations.
The primary risk associated with securities lending is if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the funds could experience delays and costs in recovering securities loaned or in gaining access to the collateral.
The funds did not transact in securities lending during the six-month period ended June 30, 2010, and had no securities out on loan as of June 30, 2010.
9. TAX INFORMATION
For federal income tax purposes, the funds listed below have capital loss carryovers as of December 31, 2009, which are available to offset future capital gains, if any:
Fund | 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 |
Conservative Allocation | $ – | $ – | $ – | $ – | $ – | $ – | $ 2,991,644 | $ 6,053,243 |
Moderate Allocation | – | – | – | – | – | – | 17,885,475 | 20,811,527 |
Aggressive Allocation | – | – | – | – | – | 6,446,542 | 6,205,447 | |
Bond | 1,857,702 | 104,606 | 1,560,242 | 1,445,891 | 816,322 | 228,563 | – | 9,584,651 |
High Income | – | – | – | – | – | 640,978 | 10,602,862 | 4,641,635 |
Diversified Income | – | – | – | – | – | – | 16,466,437 | 45,630,536 |
Large Cap Value | – | – | – | – | – | – | 97,212,808 | 41,852,552 |
Large Cap Growth | – | – | – | – | – | – | 78,642,821 | 20,739,513 |
Mid Cap | – | – | – | – | – | 5,245,426 | 21,456,972 | 83,007,815 |
Small Cap | – | – | – | – | – | 135,935 | 306,489 | 635,547 |
International Stock | – | – | – | – | – | 881,037 | 1,823,628 | 19,596,465 |
Target Retirement 2020 | – | – | – | – | – | – | – | 225,054 |
Target Retirement 2030 | – | – | – | – | – | – | 40,540 | 140,356 |
Target Retirement 2040 | – | – | – | – | – | – | 28,331 | 13,390 |
As a result of the mergers of the Mid Cap Growth and Mid Cap Value (surviving fund - Mid Cap), the Small Cap Growth and Small Cap Value (surviving fund - Small Cap) and the Global Securities and International Stock Funds (surviving fund -
International Stock) each surviving fund acquired realized capital losses, which are limited by Internal Revenue Code section 382. These acquired losses are included in the total losses available noted above.
At June 30, 2010, the aggregate gross unrealized appreciation (depreciation) and net unrealized appreciation (depreciation) for all securities, excluding option contracts, as computed on a federal income tax basis for each fund were as follows:
Fund | Appreciation | Depreciation | Net |
Conservative Allocation | $ 3,730,705 | $ 7,106,856 | $ (3,376,151) |
Moderate Allocation | 5,555,098 | 24,550,916 | (18,995,818) |
Aggressive Allocation | 2,303,439 | 9,009,792 | (6,706,353) |
Bond | 32,118,315 | 6,497,737 | 25,620,578 |
High Income | 3,228,505 | 749,948 | 2,478,557 |
Diversified Income | 26,168,262 | 17,271,862 | 8,896,400 |
Equity Income | 1,159 | 70,332 | (69,173) |
89
Ultra Series Fund | June 30, 2010
Notes to Financial Statements (unaudited)
Fund | Appreciation | Depreciation | Net |
Large Cap Value | 35,756,071 | 65,775,332 | (30,019,261) |
Large Cap Growth | 35,188,991 | 15,679,965 | 19,509,026 |
Mid Cap | $14,445,175 | $18,419,870 | $ (3,974,695) |
Small Cap | 883,544 | 866,034 | 17,510 |
International Stock | 3,716,946 | 8,975,932 | (5,258,986) |
Target Retirement 2020 | 225,181 | 501,292 | (276,111) |
Target Retirement 2030 | 607,513 | 985,335 | (377,822) |
Target Retirement 2040 | 518,616 | 982,193 | (463,577) |
The differences between cost amounts for book purposes and tax purposes are primarily due to the tax deferral of losses.
10. CONCENTRATION OF RISK
Investing in certain financial instruments, including forward foreign currency contracts and futures contracts, involves certain risks, other than that reflected in the Statements of Assets and Liabilities. Risks associated with these instruments include potential for an illiquid secondary market for the instruments or inability of counterparties to perform under the terms of the contracts, changes in the value of foreign currency relative to the U.S. dollar and financial statement volatility resulting from an imperfect correlation between the movements in the prices of the instruments and the prices of the underlying securities and interest rates being hedged. The High Income Fund, Mid Cap Growth Fund, International Stock Fund, and the Global Securities Fund ent er into these contracts primarily to protect these funds from adverse currency movements.
Investing in foreign securities involves certain risks not necessarily found in U.S. markets. These include risks associated with adverse changes in economic, political, regulatory and other conditions, changes in currency exchange rates, exchange control regulations, expropriation of assets or nationalization, imposition of withholding taxes on dividend or interest payments or capital gains, and possible difficulty in obtaining and enforcing judgments against foreign entities. Further, issuers of foreign securities are subject to different, and often less comprehensive, accounting, reporting and disclosure requirements than domestic issuers.
The High Income Fund invests in securities offering high current income which generally will include bonds in the below investment grade categories of recognized ratings agencies (so-called "junk bonds’’). These securities generally involve more credit risk than securities in the higher rating categories. In addition, the trading market for high yield securities may be relatively less liquid than the market for higher-rated securities. The fund generally invests at least 80% of its assets in high yield securities.
The Equity Income Fund invests in options on securities. As the writer of a covered call option, the fund forgoes, during the option’s life, the opportunity to profit from increases in the market value of the security covering the call option above the sum of the premium and the strike price of the call but has retained the risk of loss should the price of the underlying security decline. The writer of an option has no control over the time when it may be required to fulfill its obligation as writer of the option. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying security at the exercise price.
The Target Allocation Funds and Target Date Funds are fund of funds, meaning that they invest primarily in the shares of other registered investment companies (the "underlying funds’’), including ETFs. Thus, each fund’s investment performance and its ability to achieve its investment goal are directly related to the performance of the underlying funds in which it invests; and the underlying fund’s performance, in turn, depends on the particular securities in which that underlying fund invests and
90
Ultra Series Fund | June 30, 2010
Notes to Financial Statements (unaudited)
the expenses of that fund. Accordingly, these funds are subject to the risks of the underlying funds in direct proportion to the allocation of their respective assets among the underlying funds.
Additionally, the Target Allocation Funds and Target Date Funds are subject to asset allocation risk and manager risk. Manager risk (i.e., fund selection risk) is the risk that the fund(s) selected to fulfill a particular asset class under performs their peer. Asset allocation risk is the risk that the allocation of the fund’s assets among the various asset classes and market segments will cause the fund to under perform other funds with a similar investment objective.
11. CAPITAL SHARES AND AFFILIATED OWNERSHIP
All capital shares outstanding at June 30, 2010, are owned by separate investment accounts and/or pension plans of CUNA Mutual Insurance Society and by CUNA Mutual Insurance Society. The fair value of investments in the Funds by affiliates were as follows:
Fund | Madison Asset Management, LLC |
Equity Income Fund, Class I | $416,609 |
Equity Income Fund, Class II | 46,270 |
The Target Allocation Funds and Target Date Funds invest in underlying funds, of which certain underlying funds (the "affiliated underlying funds’’), may be deemed to be under common control because of the same or affiliated investment adviser and membership in a common family of investment companies. The MEMBERS Mutual Funds audited financial statements for the fiscal year ended October 31, 2009 are available at no cost on the Securities and Exchange Commission’s website at www.sec.gov, by calling 1-800-877-6089 or by visiting the MEMBERS Mutual Funds’ website at www.membersfunds.com. The Madison Mosaic audited financial statements for the fiscal year ended December 31, 2009 are also available at www.sec.gov, by calling 1-800-368-3195 or visiting www.mosaicfunds.com. A summary of the transactions with each affiliated underlying fund during the period ended June 30, 2010 follows:
Fund/Underlying Fund | Balance of Shares Held at 12/31/2009 | Gross Additions | Gross Sales | Balance of Shares Held at 6/30/2010 | Value at 6/30/2010 | Realized Gain (Loss) | Distributions Received2 |
Conservative Allocation Fund | |||||||
Madison Mosaic Institutional Bond Fund | 555,505 | 1,144,074 | – | 1,699,579 | $ 18,576,394 | $ – | $ 160,358 |
Madison Mosaic Disciplined Equity Fund | – | 442,111 | – | 442,111 | 4,743,850 | – | – |
MEMBERS Bond Fund Class Y | 4,403,462 | 297,204 | 48,281 | 4,652,385 | 48,012,618 | 12,291 | 619,424 |
MEMBERS High Income Fund Class Y | 3,489,567 | 88,356 | – | 3,577,923 | 23,936,302 | – | 915,802 |
MEMBERS International Stock Fund Class Y | 1,079,844 | – | 85,529 | 994,315 | 8,749,975 | (252,221) | – |
MEMBERS Equity Income Fund Class Y | 17,286 | 568,607 | – | 585,893 | 5,425,371 | – | 117,179 |
MEMBERS Large Cap Growth Fund Class Y | 1,112,762 | 48,397 | 31,126 | 1,130,033 | 14,792,131 | (35,080) | – |
MEMBERS Large Cap Value Fund Class Y | 1,311,819 | 138,070 | 48,011 | 1,401,878 | 14,299,156 | (243,171) | – |
Totals | $138,535,797 | $(518,181) | $1,812,763 |
2 Distributions received includes distributions from net investment income and from capital gains from the underlying funds. |
91
Ultra Series Fund | June 30, 2010
Notes to Financial Statements (unaudited)
Fund/Underlying Fund | Balance of Shares Held at 12/31/2009 | Gross Additions | Gross Sales | Balance of Shares Held at 6/30/2010 | Value at 6/30/2010 | Realized Gain (Loss) | Distributions Received2 |
Moderate Allocation Fund | |||||||
Madison Mosaic Institutional Bond Fund | 555,505 | 1,078,563 | 43,725 | 1,590,343 | $ 17,382,454 | $ 5,246 | $ 152,008 |
MEMBERS Bond Fund Class Y | 4,910,674 | 43,159 | 381,236 | 4,572,597 | 47,189,201 | 111,551 | 647,384 |
MEMBERS High Income Fund Class Y | 4,623,070 | 117,055 | - | 4,740,125 | 31,711,437 | - | 1,213,279 |
MEMBERS International Stock Fund Class Y | 3,012,210 | 58,917 | 161,582 | 2,909,545 | 25,603,999 | (519,768) | - |
Madison Mosaic Disciplined Equity Fund | 1,479,289 | 873,744 | - | 2,353,033 | 25,248,045 | - | - |
MEMBERS Equity Income Fund Class Y | 1,301,910 | 55,336 | - | 1,357,246 | 12,568,101 | - | 271,449 |
MEMBERS Large Cap Growth Fund Class Y | 2,417,729 | 145,517 | - | 2,563,246 | 33,552,885 | - | - |
MEMBERS Large Cap Value Fund Class Y | 2,900,292 | 325,564 | - | 3,225,856 | 32,903,728 | - | - |
MEMBERS Mid Cap Fund Class Y | 1,925,389 | - | - | 1,925,389 | 10,108,290 | - | - |
MEMBERS Small Cap Fund Class Y1 | 1,403,625 | - | 34,101 | 1,369,524 | 12,051,813 | (22,117) | - |
Totals | $248,319,953 | $(425,088) | $2,284,120 |
Aggressive Allocation Fund | |||||||
MEMBERS Bond Fund Class Y | 352,733 | 77,813 | 46,153 | 384,393 | $ 3,966,936 | $ 16,268 | $ 53,736 |
MEMBERS High Income Fund Class Y | 991,649 | 25,108 | - | 1,016,757 | 6,802,104 | - | 260,248 |
MEMBERS International Fund Class Y | 1,491,728 | - | 201,617 | 1,290,111 | 11,352,976 | (651,176) | - |
Madison Mosaic Disciplined Equity Fund | 976,979 | 201,729 | - | 1,178,708 | 12,647,541 | - | 85,479 |
MEMBERS Equity Income Fund Class Y | 427,396 | - | - | 427,396 | 3,957,690 | - | - |
MEMBERS Large Cap Growth Fund Class Y | 970,472 | 38,024 | - | 1,008,496 | 13,201,218 | - | - |
MEMBERS Large Cap Value Fund Class Y | 1,182,856 | 80,526 | - | 1,263,382 | 12,886,494 | - | - |
MEMBERS Mid Cap Fund Class Y | 1,344,249 | - | - | 1,344,249 | 7,057,306 | - | - |
MEMBERS Small Cap Fund Class Y1 | 770,791 | - | 114,155 | 656.636 | 5,778,392 | 58,225 | - |
Totals | $77,650,657 | $(576,683) | $399,463 |
Target Retirement 2020 Fund | |||||||
MEMBERS Bond Fund Class Y | 111,413 | 57,452 | 30,198 | 138,667 | $ 1,431,040 | $ (1,612) | $ 18,190 |
MEMBERS High Income Fund Class Y | 253,162 | 17,543 | - | 270,705 | 1,811,016 | - | 66,962 |
MEMBERS International Stock Fund Class Y | 165,741 | - | 44,308 | 121,433 | 1,068,615 | 16,065 | - |
Madison Mosaic Disciplined Equity Fund | - | 132,693 | - | 132,693 | 1,423,800 | - | - |
MEMBERS Equity Income Fund Class Y | 68,516 | - | - | 68,516 | 634,460 | - | 13,703 |
MEMBERS Large Cap Growth Fund Class Y | 162,128 | 10,087 | 42,068 | 130,147 | 1,703,623 | (31,145) | - |
MEMBERS Large Cap Value Fund Class Y | 135,648 | 63,595 | 39,332 | 159,911 | 1,631,096 | (74,710) | - |
MEMBERS Small Cap Fund Class Y1 | 72,263 | - | 4,935 | 67,328 | 592,489 | 1,128 | - |
Totals | $10,296,139 | $ (90,274) | $ 98,855 |
Target Retirement 2030 Fund | |||||||
MEMBERS Bond Fund Class Y | 73,815 | 59,217 | 22,104 | 110,928 | $ 1,144,780 | $ (1,299) | $ 14,664 |
MEMBERS High Income Fund Class Y | 227,283 | 31,606 | - | 258,889 | 1,731,965 | - | 60,862 |
MEMBERS International Stock Fund Class Y | 199,885 | - | 66,586 | 133,299 | 1,173,028 | 32,724 | - |
Madison Mosaic Disciplined Equity Fund | - | 159,914 | - | 159,914 | 1,715,877 | - | - |
MEMBERS Equity Income Fund Class Y | 69,522 | - | - | 69,522 | 643,776 | - | 13,904 |
MEMBERS Large Cap Growth Fund Class Y | 163,431 | 12,214 | 24,910 | 150,735 | 1,973,117 | (39,067) | - |
MEMBERS Large Cap Value Fund Class Y | 134,886 | 68,068 | 18,156 | 184,798 | 1,884,941 | (64,854) | - |
MEMBERS Small Cap Fund Class Y1 | 83,057 | - | 5,254 | 77,803 | 684,668 | 1,638 | - |
Totals | $10,952,152 | $ (70,858) | $ 89,430 | ||||
1 Non-income producing. | |||||||
2 Distributions received includes distributions from net investment income and from capital gains from the underlying funds. |
92
Ultra Series Fund | June 30, 2010
Notes to Financial Statements (unaudited)
Fund/Underlying Fund | Balance of Shares Held at 12/31/2009 | Gross Additions | Gross Sales | Balance of Shares Held at 6/30/2010 | Value at 6/30/2010 | Realized Gain (Loss) | Distributions Received2 |
Target Retirement 2040 Fund | |||||||
MEMBERS Bond Fund Class Y | 62,114 | 9,617 | 9,834 | 61,897 | $ 638,773 | $ (706) | $ 8,503 |
MEMBERS High Income Fund Class Y | 175,203 | 18,074 | - | 193,277 | 1,293,020 | - | 46,621 |
MEMBERS International Stock Fund Class Y | 179,408 | - | 45,202 | 134,206 | 1,181,013 | 4,146 | - |
Madison Mosaic Disciplined Equity Fund | - | 139,414 | - | 139,414 | 1,495,907 | - | - |
MEMBERS Equity Income Fund Class Y | 58,946 | 7,580 | - | 66,526 | 616,035 | - | 13,305 |
MEMBERS Large Cap Growth Fund Class Y | 139,669 | 4,138 | 12,303 | 131,504 | 1,721,383 | (19,465) | - |
MEMBERS Large Cap Value Fund Class Y | 120,810 | 48,879 | 7,459 | 162,230 | 1,654,743 | (26,948) | - |
MEMBERS Small Cap Fund Class Y1 | 80,271 | - | 4,305 | 75,966 | 668,501 | 1,064 | - |
Totals | $ 9,269,375 | $ (41,909) | $ 68,429 | ||||
1 Non-income producing. | |||||||
2 Distributions received includes distributions from net investment income and from capital gains from the underlying funds. |
12. DISCUSSION OF BUSINESS COMBINATIONS
Mid Cap Fund
Effective May 1, 2010, the assets of the Mid Cap Growth Fund were reorganized into the Mid Cap Value Fund and, together, renamed the Mid Cap Fund. The legal survivor of the business combination was the Mid Cap Value Fund; the accounting survivor was the Mid Cap Growth Fund. The combined net assets of the Mid Cap Fund after the reorganization were $437,463,154. Under the plan of reorganization, the following shares were exchanged:
Exchanged from: | Shares | Exchanged for: | Shares | Per share Conversion Ratio |
Mid Cap Growth Class I | 49,872,030.322 | Mid Cap Value Class I | 18,732,679.964 | 0.3756 |
Mid Cap Growth Class II | 560,785.285 | Mid Cap Value Class II | 210,203.526 | 0.3748 |
Small Cap Fund
Effective May 1, 2010, the assets of the Small Cap Growth Fund were reorganized into the Small Cap Value Fund and, together, renamed the Small Cap Fund. The combined net assets of the Small Cap Fund after the reorganization were $15,374,776. Under the plan of reorganization, the following shares were exchanged:
Exchanged from: | Shares | Exchanged for: | Shares | Per Share Conversion Ratio |
Small Cap Growth Class I | 696,430.677 | Small Cap Value Class I | 508,434.004 | 0.7301 |
Small Cap Growth Class II | 984.266 | Small Cap Value Class II | 717.312 | 0.7288 |
International Stock Fund
Effective May 1, 2010, the assets of the Global Securities Fund merged with and into the International Stock Fund. The combined net assets of the International Fund after the merger were $112,730,616. Under the plan of reorganization, the following shares were exchanged:
Exchanged from: | Shares | Exchanged for: | Shares | Per Share Conversion Ratio |
Global Securities Class I | 4,649,016.917 | International Stock Class I | 3,385,631.044 | 0.7282 |
Global Securities Class II | 149,488.534 | International Stock Class II | 108,859.748 | 0.7282 |
93
Ultra Series Fund | June 30, 2010
Notes to Financial Statements (unaudited)
13. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the funds’ financial statements through August 23, 2010, the date the financial statements were issued, and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
Other Information (unaudited)
FUND EXPENSES PAID BY SHAREHOLDERS
As a shareholder of the Funds, you pay no transaction costs, but do incur ongoing costs which include management fees; shareholder servicing; disinterested trustee fees; brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments; costs of borrowing money; expenses for independent audits, taxes, and extraordinary expenses as approved by a majority of the disinterested trustees. The examples in the table that follows are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended June 30, 2010. Expenses paid during the period in the table below are equal to the fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half fiscal year period).
Actual Expenses
The table below provides information about actual account values using actual expenses and actual returns for the Funds. You may use the information in this table, 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 table for the fund you own under the heading entitled "Actual" to estimate the expenses you paid on your account during this period.
CLASS I | CLASS II | |||||||
Fund | Beginning Account Value | Ending Account Value | Annual Expense Ratio | Expenses Paid During Period | Ending Account Value | Annual Expense Ratio | Expenses Paid During Period | |
Conservative Allocation | $1,000 | $1,002.20 | 0.31% | $1.54 | $1,001.00 | 0.56% | $2.73 | |
Moderate Allocation | 1,000 | 974.20 | 0.31% | 1.52 | 973.00 | 0.56% | 2.74 | |
Aggressive Allocation | 1,000 | 946.30 | 0.31% | 1.50 | 945.20 | 0.56% | 2.70 | |
Money Market | 1,000 | 1,000.00 | 0.13% | 0.64 | 1,000.00 | 0.13% | 0.64 | |
Bond | 1,000 | 1,048.60 | 0.56% | 2.84 | 1,047.30 | 0.81% | 4.11 | |
High Income | 1,000 | 1,027.80 | 0.77% | 3.87 | 1,026.60 | 1.02% | 5.13 | |
Diversified Income | 1,000 | 1,011.60 | 0.72% | 3.59 | 1,010.40 | 0.97% | 4.84 | |
Equity Income1 | 1,000 | 925.80 | 0.91% | 4.35 | 925.41 | 1.14% | 5.48 | |
Large Cap Value | 1,000 | 910.90 | 0.62% | 2.94 | 909.70 | 0.87% | 4.12 | |
Large Cap Growth | 1,000 | 913.30 | 0.82% | 3.89 | 912.10 | 1.07% | 5.07 | |
Mid Cap | 1,000 | 973.00 | 0.90% | 4.40 | 971.80 | 1.16% | 5.67 | |
Small Cap | 1,000 | 1,005.10 | 1.12% | 5.57 | 1,003.80 | 1.36% | 6.76 | |
International Stock | 1,000 | 875.30 | 1.22% | 5.67 | 874.20 | 1.47% | 6.83 | |
Target Retirement 2020 | 1,000 | 973.30 | 0.20% | 0.98 | ||||
Target Retirement 2030 | 1,000 | 961.60 | 0.20% | 0.97 | ||||
Target Retirement 2040 | 1,000 | 949.20 | 0.20% | 0.97 | ||||
1Commenced investment operations April 30, 2010. |
Hypothetical Example for Comparison Purposes
The table also provides 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 are not the Funds’ actual returns. The
94
Other Information (unaudited)
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 funds. To do so, compare the 5% hypothetical example of the funds you own with the 5% hypothetical examples that appear in the shareholder reports of other similar funds.
CLASS I | CLASS II | |||||||
Fund | Beginning Account Value | Ending Account Value | Annual Expense Ratio | Expenses Paid During Period | Ending Account Value | Annual Expense Ratio | Expenses Paid During Period | |
Conservative Allocation | $1,000 | $1,023.26 | 0.31% | $1.56 | $1,022.02 | 0.56% | $2.81 | |
Moderate Allocation | 1,000 | 1,023.26 | 0.31% | 1.56 | 1,022.02 | 0.56% | 2.81 | |
Aggressive Allocation | 1,000 | 1,023.26 | 0.31% | 1.56 | 1,022.02 | 0.56% | 2.81 | |
Money Market | 1,000 | 1,024.15 | 0.13% | 0.65 | 1,024.15 | 0.13% | 0.65 | |
Bond | 1,000 | 1,022.02 | 0.56% | 2.81 | 1,020.78 | 0.81% | 4.06 | |
High Income | 1,000 | 1,020.98 | 0.77% | 3.86 | 1,019.74 | 1.02% | 5.11 | |
Diversified Income | 1,000 | 1,021.22 | 0.72% | 3.61 | 1,019.98 | 0.97% | 4.86 | |
Equity Income1 | 1,000 | 1,008.37 | 0.91% | 4.53 | 1,008.37 | 1.14% | 5.70 | |
Large Cap Value | 1,000 | 1,021.72 | 0.62% | 3.11 | 1,020.48 | 0.87% | 4.36 | |
Large Cap Growth | 1,000 | 1,020.73 | 0.82% | 4.11 | 1,019.49 | 1.07% | 5.36 | |
Mid Cap | 1,000 | 1,020.33 | 0.90% | 4.51 | 1,019.04 | 1.16% | 5.81 | |
Small Cap | 1,000 | 1,019.24 | 1.12% | 5.61 | 1,018.05 | 1.36% | 6.81 | |
International Stock | 1,000 | 1,018.74 | 1.22% | 6.11 | 1,017.50 | 1.47% | 7.35 | |
Target Retirement 2020 | 1,000 | 1,023.80 | 0.20% | 1.00 | ||||
Target Retirement 2030 | 1,000 | 1,023.80 | 0.20% | 1.00 | ||||
Target Retirement 2040 | 1,000 | 1,023.80 | 0.20% | 1.00 | ||||
1 Commenced investment operations April 30, 2010. |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any separate account fees, charges, or expenses imposed by the variable annuity or variable life insurance contracts, or retirement and pension plans that use the funds. The information provided in the hypothetical example table is useful in comparing ongoing fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these fees, charges or expenses were included, your costs would have been higher.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available to shareholders at no cost on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. More information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
PROXY VOTING POLICIES, PROCEDURES AND RECORDS
A description of the policies and procedures used by the Trust to vote proxies related to portfolio securities is available to shareholders at no cost on the SEC’s website at www.sec.gov or by calling CUNA Mutual Insurance Society at 1-800-798-5500. The proxy voting records for the Trust for the most recent twelve-month period ended June 30 are available to shareholders at no cost on the SEC’s website at www.sec.gov.
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Other Information (unaudited)
PROXY VOTING RESULTS
A joint special meeting of shareholders of the Global Securities Fund, the Mid Cap Growth Fund and the Small Cap Growth Fund, each a series of the Ultra Series Fund was held on April 21, 2010, at which shareholders voted on the following proposals, the results of which are described below.
For Shareholders of the Global Securities Fund
Proposal. To approve a proposed Agreement and Plan of Reorganization providing for the transfer of all of the assets of the Global Securities Fund, a series of the Ultra Series Fund, to the International Stock Fund, a series of the Ultra Series Fund, in exchange for Class I and Class II shares of the International Stock Fund, and the distribution of these shares of the International Stock Fund to the holders of Global Securities Fund shares in liquidation and subsequent termination of the Global Securities Fund.
FOR | 94.880% |
AGAINST | 1.226% |
ABSTAIN | 3.894% |
For Shareholders of the Mid Cap Growth Fund
Proposal. To approve a proposed Agreement and Plan of Reorganization providing for the transfer of all of the assets of the Mid Cap Growth Fund, a series of the Ultra Series Fund, to the Mid Cap Value Fund, a series of the Ultra Series Fund, in exchange for Class I and Class II shares of the Mid Cap Value Fund, and the distribution of these shares of the Mid Cap Value Fund to the holders of Mid Cap Growth Fund shares in liquidation and subsequent termination of the Mid Cap Growth Fund.
FOR | 95.293% |
AGAINST | 1.615% |
ABSTAIN | 3.091% |
For Shareholders of the Small Cap Growth Fund
Proposal. To approve a proposed Agreement and Plan of Reorganization providing for the transfer of all of the assets of the Small Cap Growth Fund, a series of the Ultra Series Fund, to the Small Cap Value Fund, a series of the Ultra Series Fund, in exchange for Class I and Class II shares of the Small Cap Value Fund, and the distribution of these shares of the Small Cap Value Fund to the holders of Small Cap Growth Fund shares in liquidation and subsequent termination of the Small Cap Growth Fund.
FOR | 100.00% |
AGAINST | 0.00% |
ABSTAIN | 0.00% |
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Other Information (unaudited)
FORWARD-LOOKING STATEMENT DISCLOSURE
One of our most important responsibilities as investment company managers is to communicate with shareholders in an open and direct manner. Some of our comments in our letters to shareholders are based on current management expectations and are considered "forward-looking statements." Actual future results, however, may prove to be different from our expectations. You can identify forward-looking statements by words such as "estimate," "may," "will," "expect," "believe," "plan" and other similar terms. We cannot promise future returns. Our opinions are a reflection of our best judgment at the time this report is compiled, and we disclaim any obligation to update or alter forward-looking statements as a result of new information, future events, or otherwise.
SEC File Number: 811-04815
97
Item 2. Code of Ethics.
Not applicable in semi-annual report.
Item 3. Audit Committee Financial Expert.
Not applicable in semi-annual report.
Item 4. Principal Accountant Fees and Services.
Not applicable in semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments
Included in report to shareholders (Item 1) above.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Included in report to shareholders (Item 1) above. Otherwise, no changes. The Trust does not normally hold shareholder meetings.
Item 11. Controls and Procedures.
(a) The Trust’s principal executive officer and principal financial officers determined that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) are effective, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 within 90 days of the date of this report. There were no significant changes in the Trust’s internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation. The officers identified no significant deficiencies or material weaknesses.
(b) There were no changes in the Trust'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 Trust's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Code of ethics referred to in Item 2. The code was previously filed.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Act.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Act.
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.
Ultra Series Fund
By: (signature)
Holly Baggot, Secretary
Date: August 27, 2010
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: (signature)
Katherine L. Frank, Principal Executive Officer
Date: August 27, 2010
By: (signature)
Greg Hoppe, Principal Financial Officer
Date: August 27, 2010