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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, 2011
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.
Item 1. Certified Semi-Annual Report
Ultra Series Fund | June 30, 2011
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 | 14 |
Equity Income Fund | 15 |
Large Cap Value Fund | 17 |
Large Cap Growth Fund | 18 |
Mid Cap Fund | 19 |
Small Cap Fund | 21 |
International Stock Fund | 22 |
Madison Target Retirement 2020 Fund | 24 |
Madison Target Retirement 2030 Fund | 25 |
Madison Target Retirement 2040 Fund | 26 |
Madison Target Retirement 2050 Fund | 28 |
Benchmark Descriptions | 29 |
Portfolios of Investments | |
Conservative Allocation Fund | 31 |
Moderate Allocation Fund | 32 |
Aggressive Allocation Fund | 33 |
Money Market Fund | 34 |
Bond Fund | 35 |
High Income Fund | 38 |
Diversified Income Fund | 41 |
Equity Income Fund | 44 |
Large Cap Value Fund | 46 |
Large Cap Growth Fund | 47 |
Mid Cap Fund | 49 |
Small Cap Fund | 50 |
International Stock Fund | 52 |
Madison Target Retirement 2020 Fund | 54 |
Madison Target Retirement 2030 Fund | 55 |
Madison Target Retirement 2040 Fund | 56 |
Madison Target Retirement 2050 Fund | 57 |
Financial Statements | |
Statements of Assets and Liabilities | 58 |
Statements of Operations | 61 |
Statements of Changes in Net Assets | 64 |
Financial Highlights | 70 |
Notes to Financial Statements | 87 |
Other Information | 104 |
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.
1
Ultra Series Fund | June 30, 2011
ULTRA SERIES FUND PERFORMANCE | |||||||||||||||||
Average Annual Total Returns | |||||||||||||||||
Monthly as of June 30, 2011 | Quarterly as of June 30, 2011 | ||||||||||||||||
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 | |||||||||||||||||
Money Market Fund -Class I Inception Date 1/3/1985, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | 0.00% | 0.00% | 0.00% | 0.00% | 0.22% | 1.76% | 1.84% | 4.15% | N/A | 0.00% | 0.00% | 0.22% | 1.76% | 1.84% | 4.15% | N/A | 0.47% |
Class II | 0.00% | 0.00% | 0.00% | 0.00% | N/A | N/A | N/A | N/A | 0.00% | 0.00% | 0.00% | N/A | N/A | N/A | N/A | 0.00% | 0.72% |
90-day U.S. T-Bill (Citigroup/Salomon) | 0.01% | 0.02% | 0.06% | 0.14% | 0.35% | 1.87% | 2.01% | 4.30% | 0.13% | 0.06% | 0.14% | 0.35% | 1.87% | 2.01% | 4.30% | 0.13% | |
Bond Fund - Class I Inception Date 1/3/1985, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -0.36% | 1.94% | 2.28% | 3.32% | 5.54% | 5.50% | 4.85% | 6.76% | N/A | 2.28% | 3.32% | 5.54% | 5.50% | 4.85% | 6.76% | N/A | 0.56% |
Class II | -0.38% | 1.88% | 2.15% | 3.06% | N/A | N/A | N/A | N/A | 6.20% | 2.15% | 3.06% | N/A | N/A | N/A | N/A | 6.20% | 0.81% |
Bank of America Merrill Lynch US Corp. Govt. & Mtg. Index | -0.29% | 2.34% | 2.74% | 3.84% | 6.45% | 6.61% | 5.82% | 7.98% | 6.56% | 2.74% | 3.84% | 6.45% | 6.61% | 5.82% | 7.98% | 6.56% | |
High Income Fund - Class I Inception Date 10/31/2000, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -0.95% | 0.48% | 3.76% | 12.78% | 10.19% | 7.76% | 7.43% | 7.14% | N/A | 3.76% | 12.78% | 10.19% | 7.76% | 7.43% | 7.14% | N/A | 0.77% |
Class II | -0.97% | 0.42% | 3.63% | 12.50% | N/A | N/A | N/A | N/A | 15.12% | 3.63% | 12.50% | N/A | N/A | N/A | N/A | 15.12% | 1.02% |
Bank of America Merrill Lynch US High Yield Master II Constrained | -1.00% | 0.99% | 4.93% | 15.31% | 12.55% | 9.34% | 8.91% | 8.46% | 25.12% | 4.93% | 15.31% | 12.55% | 9.34% | 8.91% | 8.46% | 25.12% | |
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. July 6, 2011 |
Not Part of the Semi-annual Report
2
Ultra Series Fund | June 30, 2011
Ultra Series Fund Performance (continued) | Average Annual Total Returns | ||||||||||||||||
Monthly as of June 30, 2011 | Quarterly as of June 30, 2011 | ||||||||||||||||
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 | |||||||||||||||||
Diversified Income Fund -Class I Inception Date 1/3/1985, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -0.74% | 2.15% | 5.35% | 16.68% | 6.67% | 5.00% | 4.16% | 8.36% | N/A | 5.35% | 16.68% | 6.67% | 5.00% | 4.16% | 8.36% | N/A | 0.72% |
Class II | -0.76% | 2.09% | 5.22% | 16.39% | N/A | N/A | N/A | N/A | 14.68% | 5.22% | 16.39% | N/A | N/A | N/A | N/A | 14.68% | 0.97% |
Bank of America Merrill Lynch US Corp. Govt. & Mtg. Index | -0.29% | 2.34% | 2.74% | 3.84% | 6.45% | 6.61% | 5.82% | 7.98% | 6.56% | 2.74% | 3.84% | 6.45% | 6.61% | 5.82% | 7.98% | 6.56% | |
Russell 1000¨ Index | -1.75% | 0.12% | 6.37% | 31.93% | 3.68% | 3.30% | 3.21% | 10.87% | 24.52% | 6.37% | 31.93% | 3.68% | 3.30% | 3.21% | 10.87% | 24.52% | |
Custom Blended Index1 | -0.23% | -1.08% | 4.17% | 12.07% | 5.55% | 4.94% | 4.54% | N/A | N/A | 4.17% | 12.07% | 5.55% | 4.94% | 4.54% | N/A | N/A | |
Conservative Allocation Fund - Class I Inception Date 6/30/2006, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -0.69% | 1.32% | 3.60% | 12.03% | 3.39% | 3.73% | N/A | 3.72% | N/A | 3.60% | 12.03% | 3.39% | 3.73% | N/A | 3.72% | N/A | 1.00% |
Class II | -0.71% | 1.26% | 3.47% | 11.75% | N/A | N/A | N/A | N/A | 12.28% | 3.47% | 11.75% | N/A | N/A | N/A | N/A | 12.28% | 1.25% |
Bank of America Merrill Lynch US Corp. Govt. & Mtg. Index | -0.29% | 2.34% | 2.74% | 3.84% | 6.45% | 6.61% | N/A | 6.61% | 6.56% | 2.74% | 3.84% | 6.45% | 6.61% | N/A | 6.61% | 6.56% | |
Conservative Allocation Custom2 | -0.79% | 1.62% | 3.98% | 13.33% | 6.00% | 5.88% | N/A | 5.88% | 13.04% | 3.98% | 13.33% | 6.00% | 5.88% | N/A | 5.88% | 13.04% | |
Moderate Allocation Fund - Class I Inception Date 6/30/2006, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -0.93% | 1.11% | 4.48% | 18.20% | 0.75% | 2.36% | N/A | 2.36% | N/A | 4.48% | 18.20% | 0.75% | 2.36% | N/A | 2.36% | N/A | 1.13% |
Class II | -0.95% | 1.04% | 4.35% | 17.90% | N/A | N/A | N/A | N/A | 15.36% | 4.35% | 17.90% | N/A | N/A | N/A | N/A | 15.36% | 1.38% |
S&P 500 Index | -1.67% | 0.10% | 6.02% | 30.69% | 3.34% | 2.94% | N/A | 2.94% | 23.58% | 6.02% | 30.69% | 3.34% | 2.94% | N/A | 2.94% | 23.58% | |
Moderate Allocation Custom3 | -1.11% | 1.22% | 4.79% | 20.34% | 5.11% | 5.10% | N/A | 5.10% | 17.73% | 4.79% | 20.34% | 5.11% | 5.10% | N/A | 5.10% | 17.73% | |
Aggressive Allocation Fund - Class I Inception Date 6/30/2006, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -1.17% | 0.62% | 5.06% | 23.39% | -1.47% | 1.29% | N/A | 1.28% | N/A | 5.06% | 23.39% | -1.47% | 1.29% | N/A | 1.28% | N/A | 1.27% |
Class II | -1.19% | 0.55% | 4.93% | 23.09% | N/A | N/A | N/A | N/A | 18.90% | 4.93% | 23.09% | N/A | N/A | N/A | N/A | 18.90% | 1.52% |
S&P 500 Index | -1.67% | 0.10% | 6.02% | 30.69% | 3.34% | 2.94% | N/A | 2.94% | 23.58% | 6.02% | 30.69% | 3.34% | 2.94% | N/A | 2.94% | 23.58% | |
Aggressive Allocation Custom4 | -1.40% | 0.90% | 5.54% | 27.51% | 3.72% | 4.06% | N/A | 4.06% | 22.44% | 5.54% | 27.51% | 3.72% | 4.06% | N/A | 4.06% | 22.44% | |
1Effective June 30, 2011 the primary benchmark is changing from the Bank of America Merrill Lynch U.S. Corp. Govt. & Mtg. Index and the Russell 1000¨ Indexes to the Custom Blended Index, which consists of 50% S&P 500 Index and 50% Bank of America Merrill Lynch U.S. Corp. Govt. & Mtg. Index. | |||||||||||||||||
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. |
Not Part of the Semi-annual Report
3
Ultra Series Fund | June 30, 2011
Ultra Series Fund Performance (continued) | Average Annual Total Returns | ||||||||||||||
Monthly as of June 30, 2011 | Quarterly as of June 30, 2011 | ||||||||||||||
One Month | Three Months | Year-to-Date | One Year | Three Years | Five Years | Ten Years | Since Class I Inception | Year-to- Date | One Year | Three Years | Five Years | Ten Years | Since Class I Inception | Expense Ratio | |
HYBRID FUNDS (continued) | |||||||||||||||
Madison Target Retirement 2020 Fund4 - Inception Date 10/1/2007 | |||||||||||||||
Class I | -0.82% | 1.11% | 4.09% | 16.59% | 0.23% | N/A | N/A | -1.98% | 4.09% | 16.59% | 0.23% | N/A | N/A | -1.98% | 0.98% |
Dow Jones Global Target 2020 Index | -0.79% | 1.45% | 4.13% | 17.59% | 4.99% | N/A | N/A | 2.48% | 4.13% | 17.59% | 4.99% | N/A | N/A | 2.48% | |
Madison Target Retirement 2030 Fund5 - Inception Date 10/1/2007 | |||||||||||||||
Class I | -0.96% | 0.87% | 4.19% | 18.68% | -0.25% | N/A | N/A | -2.82% | 4.19% | 18.68% | -0.25% | N/A | N/A | -2.82% | 1.01% |
Dow Jones Global Target 2030 Index | -1.17% | 0.78% | 4.77% | 24.64% | 4.93% | N/A | N/A | 1.29% | 4.77% | 24.64% | 4.93% | N/A | N/A | 1.29% | |
Madison Target Retirement 2040 Fund6 - Inception Date 10/1/2007 | |||||||||||||||
Class I | -1.02% | 0.73% | 4.42% | 20.92% | -1.44% | N/A | N/A | -4.04% | 4.42% | 20.92% | -1.44% | N/A | N/A | -4.04% | 1.03% |
Dow Jones Global Target 2040 Index | -1.43% | 0.33% | 5.14% | 29.22% | 4.98% | N/A | N/A | 0.76% | 5.14% | 29.22% | 4.98% | N/A | N/A | 0.76% | |
Madison Target Retirement 2050 Fund7 - Inception Date 1/3/2011 | |||||||||||||||
Class I | -0.88% | 0.76% | N/A | N/A | N/A | N/A | N/A | 4.08% | N/A | N/A | N/A | N/A | N/A | 4.08% | 1.01% |
Dow Jones Global Target 2050 Index | -1.47% | 0.25% | N/A | N/A | N/A | N/A | N/A | 4.28% | N/A | N/A | N/A | N/A | N/A | 4.28% | |
4Madison Asset Management waived 0.20% of its 0.40% management fee for the Madison Target Retirement 2020 Fund from October 1, 2009 through February 17, 2011, at which time the fee was permanently reduced to 0.20%. If the Adviser had not waived these expenses, fund returns would have been lower. | |||||||||||||||
5Madison Asset Management waived 0.20% of its 0.40% management fee for the Madison Target Retirement 2030 Fund from October 1, 2009 through February 17, 2011, at which time the fee was permanently reduced to 0.20%. If the Adviser had not waived these expenses, fund returns would have been lower. | |||||||||||||||
6Madison Asset Management waived 0.20% of its 0.40% management fee for the Madison Target Retirement 2040 Fund from October 1, 2009 through February 17, 2011, at which time the fee was permanently reduced to 0.20%. If the Adviser had not waived these expenses, fund returns would have been lower. | |||||||||||||||
7Madison Asset Management waived 0.20% of its 0.40% management fee for the Madison Target Retirement 2050 Fund since the Fund’s inception date of January 3, 2011 through February 17, 2011, at which time the fee was permanently reduced to 0.20%. If the Adviser had not waived these expenses, fund returns would have been lower. |
Not Part of the Semi-annual Report
4
Ultra Series Fund | June 30, 2011
Ultra Series Fund Performance (continued) | Average Annual Total Returns | ||||||||||||||||
Monthly as of June 30, 2011 | Quarterly as of June 30, 2011 | ||||||||||||||||
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 - maximum sales charge 5.75% | |||||||||||||||||
Equity Income Fund - Class I and Class II Inception Date 4/30/10 | |||||||||||||||||
Class I | -0.72% | -1.25% | 1.10% | 16.02% | N/A | N/A | N/A | 6.32% | N/A | 1.10% | 16.02% | N/A | N/A | N/A | 6.32% | N/A | 0.92% |
Class II | -0.75% | -1.31% | 0.98% | 15.74% | N/A | N/A | N/A | N/A | 6.06% | 0.98% | 15.74% | N/A | N/A | N/A | N/A | 6.06% | 1.17% |
S&P 500 Index | -1.67% | 0.10% | 6.02% | 30.69% | N/A | N/A | N/A | 11.85% | 11.85% | 6.02% | 30.69% | N/A | N/A | N/A | 11.85% | 11.85% | |
CBOE BuyWrite Monthly Index | -1.80% | 0.92% | 2.42% | 19.52% | N/A | N/A | N/A | 6.40% | 6.40% | 2.42% | 19.52% | N/A | N/A | N/A | 6.40% | 6.40% | |
Large Cap Value Fund - Class I Inception Date 1/3/1985, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -1.60% | 1.23% | 7.80% | 28.16% | 0.18% | 0.19% | 1.99% | 9.22% | N/A | 7.80% | 28.16% | 0.18% | 0.19% | 1.99% | 9.22% | N/A | 0.62% |
Class II | -1.62% | 1.16% | 7.67% | 27.84% | N/A | N/A | N/A | N/A | 19.32% | 7.67% | 27.84% | N/A | N/A | N/A | N/A | 19.32% | 0.87% |
Russell 1000¨ Value Index | -2.05% | -0.50% | 5.92% | 28.94% | 2.28% | 1.15% | 3.99% | 11.09% | 23.82% | 5.92% | 28.94% | 2.28% | 1.15% | 3.99% | 11.09% | 23.82% | |
Large Cap Growth Fund - Class I Inception Date 1/3/1994, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -0.93% | 0.51% | 5.07% | 29.00% | 3.52% | 4.62% | 1.29% | 8.03% | N/A | 5.07% | 29.00% | 3.52% | 4.62% | 1.29% | 8.03% | N/A | 0.82% |
Class II | -0.96% | 0.45% | 4.94% | 28.67% | N/A | N/A | N/A | N/A | 19.88% | 4.94% | 28.67% | N/A | N/A | N/A | N/A | 19.88% | 1.07% |
Russell 1000¨ Growth Index | -1.43% | 0.76% | 6.83% | 35.01% | 5.01% | 5.33% | 2.24% | 7.39% | 25.22% | 6.83% | 35.01% | 5.01% | 5.33% | 2.24% | 7.39% | 25.22% | |
Mid Cap Fund - Class I Inception Date 10/31/2000, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -0.79% | 1.15% | 9.60% | 35.31% | 3.53% | 4.47% | 3.06% | -0.41% | N/A | 9.60% | 35.31% | 3.53% | 4.47% | 3.06% | -0.41% | N/A | 0.91% |
Class II | -0.80% | 1.09% | 9.47% | 34.98% | N/A | N/A | N/A | N/A | 26.15% | 9.47% | 34.98% | N/A | N/A | N/A | N/A | 26.15% | 1.16% |
Russell Midcap¨ Index | -2.09% | 0.42% | 8.08% | 38.47% | 6.46% | 5.30% | 7.59% | 6.98% | 31.63% | 8.08% | 38.47% | 6.46% | 5.30% | 7.59% | 6.98% | 31.63% | |
Small Cap Fund - Class I Inception Date 5/1/2007, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -1.43% | 0.43% | 6.01% | 33.73% | 11.35% | N/A | N/A | 4.26% | N/A | 6.01% | 33.73% | 11.35% | N/A | N/A | 4.26% | N/A | 1.11% |
Class II | -1.45% | 0.37% | 5.88% | 33.40% | N/A | N/A | N/A | N/A | 29.87% | 5.88% | 33.40% | N/A | N/A | N/A | N/A | 29.87% | 1.36% |
Russell 2000¨ Index | -2.31% | -1.61% | 6.21% | 37.41% | 7.77% | N/A | N/A | 1.77% | 29.29% | 6.21% | 37.41% | 7.77% | N/A | N/A | 1.77% | 29.29% | |
International Stock Fund - Class I Inception Date 10/31/2000, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -0.89% | 3.83% | 6.71% | 30.55% | 0.60% | 2.75% | 6.87% | 5.12% | N/A | 6.71% | 30.55% | 0.60% | 2.75% | 6.87% | 5.12% | N/A | 1.22% |
Class II | -0.90% | 3.78% | 6.59% | 30.25% | N/A | N/A | N/A | N/A | 20.81% | 6.59% | 30.25% | N/A | N/A | N/A | N/A | 20.81% | 1.47% |
MSCI EAFE Index | -1.23% | 1.83% | 5.35% | 30.93% | -1.30% | 1.96% | 6.12% | 4.22% | 22.47% | 5.35% | 30.93% | -1.30% | 1.96% | 6.12% | 4.22% | 22.47% |
Not Part of the Semi-annual Report
5
Ultra Series Fund | June 30, 2011
Review of Period
ECONOMIC OVERVIEW
The six-month period ended June 30, 2011 was fraught with contradictions, as bond and stock returns continued to be positive in the midst of considerable global disruption. Stock markets around the world opened the year in a positive trend, but as we entered the second quarter of 2011 it was increasingly evident that the global economy had hit a soft patch. The main factors that appeared to be underlying this slowdown were: a rise in commodity prices, led by energy costs; the aftermath of the tragic earthquake and tsunami in Japan; the continuing sovereign debt crisis in Europe which is centered in, but not contained to Greece; and the shift of monetary policies, most notably the ending of the Federal Reserve’s Quantitative Easing II.
Looking at results from the start of the period to the end, returns appear broadly positive across the major domestic and global stock and bond indices. The S&P 500, the most widely used proxy for domestic stocks, was up 6.02% and the MSCI EAFE Index, representing overseas markets, was up 5.35%. Bond investors also saw positive returns for the period, with the Barclays U.S. Aggregate Index up 2.72%. These returns belie the underlying volatility for the period, as markets reacted to the events mentioned above, producing moments when the year-to-date returns were considerably lower than those we achieved by period end.
While the news, including Washington’s impasse regarding the debt ceiling, often seemed gloomy, the markets continued to climb the proverbial "wall of worry." Supporting these results were corporate profits, which have continued to be robust. It appears that a wide swath of U.S. businesses have learned to do more with less, producing an environment where corporations show healthy fundamentals, while unemployment remains stubbornly high. While consumer spending is still not out of the doldrums, we continue to see controlled inflation and historically low interest rates, conditions which have traditionally been healthy for corporate balance sheets.
Outlook
Looking forward, a number of second quarter developments bolstered our confidence that the economy can once again regain its footing as we move through the second half of 2011 and into 2012. For instance, the price of oil declined by more than 15% since peaking in late April. In addition, global supply chain disruptions from the Japanese earthquake appeared to be fading. Meanwhile, in Europe, another "fix" appeared to be in place which could at least improve the odds for a delayed and orderly (as opposed to disorderly) Greece default, welcome news to a number of very shaky European banks. On the fiscal front, serious political discussions focused on an extension of federal stimulus into 2012 appeared to be providing more time for the economy to heal before it sets out on its own. Finally, the ongoing credit cycle tightening in China may soon be coming to a close. Still, this is certainly no time for complacency. As a nation we are still going through a rather lengthy and painful de-leveraging process. We believe this ongoing de-leveraging could lead to more fragile economic growth with shorter and choppier economic cycles. The soft patches of 2010 and 2011 are quite consistent with this tempered view.
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Ultra Series Fund | June 30, 2011
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
The first half of 2011 provided investors with strong returns across the global markets. However, the path taken to reach these returns was anything but smooth. As of June 30, 2011 the S&P 500 Index returned 6.02% year-to-date, a return that included up and down moves of 6.8%, -6.4%, 8.5%, -7.2%, and 4.4%. The U.S. Treasury market experienced similar volatility, starting the year with a yield of 3.3%, the 10-Year U.S. Treasury Bond underwent yield swings of 0.4%, -0.5%, 0.4%, -0.7%, and 0.2%. By the end of June, the return of core bonds as measured by the Barclays US Aggregate Bond Index stood at +2.72% for the year. International equities lagged the return of U.S. stocks, with the MSCI EAFE Index up 5.35% for the first six months of 2011.
The equity markets charged out of the gate, buoyed by the liquidity being provided via the Federal Reserve’s second round of quantitative easing (QE II) initiated in late 2010, encouraged by signs of improvement in U.S. economic data, and enamored with the continued strength of corporate profits. The market euphoria quickly evaporated as strife spread across the Middle East/North Africa, and Japan, the world’s third largest economy, was hit with an unimaginable tragedy. After a substantial market recovery, signs reemerged that all was not "well" in the U.S. economy. Challenging reports on manufacturing, jobs, and housing, as well as the end of QE II looming ahead, ignited the year’s second sell-off.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/11 | |
Bond Funds | 60% |
Stock Funds | 23% |
Foreign Stock Funds | 8% |
Foreign Bond Funds | 8% |
Money Market Funds and Other Net Assets | 1% |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2011, the Ultra Series Conservative Allocation Fund returned 3.60% (Class I shares), while the Conservative Allocation Custom Index returned 3.98%. Underperformance in the fund’s core fixed income and select US large cap equity holdings explained the majority of the performance gap. As expected, given our
7
Ultra Series Fund | June 30, 2011
Conservative Allocation Fund (concluded)
more defensive posturing, the fund held up well during the periods of market stress, but lagged during the rallies.
Top Contributors to performance were: MEMBERS Large Cap Value Fund Class Y, up 7.6% for the period, MEMBERS International Stock Fund Class Y 6.5%, and MEMBERS Large Cap Growth Fund Class Y 5.1%.
Detractors from performance included: Mosaic Institutional Bond Fund 1.5%, MEMBERS Bond Fund Class Y 2.1%, and MEMBERS Equity Income Fund Class Y 2.1%.
FUND CHANGES
Our overall asset allocation, stocks to bonds, remained stable during the period. IVA Worldwide Fund was added to the portfolio in February. IVA is a global equity fund with a flexible mandate and solid history of above average risk-adjusted returns. The fund’s seasoned investment team focuses on absolute not relative value, with the ability to invest across the capital structure and asset classes. A combination of reductions to our international and U.S. large cap positions were made to accommodate the new position.
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.
INVESTING ENVIRONMENT
The first half of 2011 provided investors with strong returns across the global markets. However, the path taken to reach these returns was anything but smooth. As of June 30, 2011 the S&P 500 Index returned 6.02% year-to-date, a return that included up and down moves of 6.8%, -6.4%, 8.5%, -7.2%, and 4.4%. The U.S. Treasury market experienced similar volatility, starting the year with a yield of 3.3%, the 10 year U.S. Treasury Bond underwent yield swings of 0.4%, -0.5%,0.4%, -0.7%, and 0.2%. By the end of June, the return of core bonds as measured by the Barclays U.S. Aggregate Bond Index stood at 2.72% for the year. International equities lagged the return of U.S. stocks, with the MSCI EAFE Index up 5.35% for the first six months of 2011.
8
Ultra Series Fund | June 30, 2011
Moderate Allocation Fund (concluded)
The equity markets charged out of the gate, buoyed by the liquidity being provided via the Federal Reserve’s second round of quantitative easing (QE II) initiated in late 2010, encouraged by signs of improvement in U.S. economic data, and enamored with the continued strength of corporate profits. The market euphoria quickly evaporated as strife spread across the Middle East/North Africa, and Japan, the world’s third largest economy, was hit with an unimaginable tragedy. After a substantial market recovery, signs reemerged that all was not "well" in the U.S. economy. Challenging reports on manufacturing, jobs, and housing, as well as the end of QE II looming ahead, ignited the year’s second sell-off.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/11 | |
Bond Funds | 36% |
Foreign Bond Funds | 5% |
Stock Funds | 46% |
Foreign Stock Funds | 12% |
Money Market Funds and Other Net Assets | 1% |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2011, the Ultra Series Moderate Allocation Fund returned 4.48% (Class I shares), while the Moderate Allocation Custom Index returned 4.79%. Underperformance in the fund’s core fixed income and select U.S. large cap equity holdings explained the majority of the performance gap. As expected, given our more defensive posturing, the fund held up well during the periods of market stress, but lagged during the rallies.
Top Contributors to performance were: MEMBERS Mid Cap Fund Class Y, up 9.4% for the period, The Yacktman Fund 8.5%, and MEMBERS Large Cap Value Fund Class Y 7.6%.
Detractors from performance included: Mosaic Institutional Bond Fund 1.5%, MEMBERS Bond Fund Class Y 2.1%, and MEMBERS Equity Income Fund Class Y 2.1%.
FUND CHANGES
Our overall asset allocation, stocks to bonds, remained stable during the period. IVA Worldwide Fund was added to the portfolio in February. IVA is a global equity fund with a flexible mandate and solid history of above average risk-adjusted returns. The fund’s seasoned investment team focuses on absolute not relative value, with the ability to invest across the capital structure and asset classes. A combination of reductions to our international and U.S. large cap positions were made to accommodate the new position.
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 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 |
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Ultra Series Fund | June 30, 2011
Aggressive Allocation Fund (continued)
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
The first half of 2011 provided investors with strong returns across the global markets. However, the path taken to reach these returns was anything but smooth. As of June 30, 2011, the S&P 500 Index returned 6.02% year-to-date, a return that included up and down moves of 6.8%, -6.4%, 8.5%, -7.2%, and 4.4%. The U.S Treasury market experienced similar volatility, starting the year with a yield of 3.3%, the 10-Year U.S. Treasury Bond underwent yield swings of 0.4%, -0.5%, 0.4%, -0.7%, and 0.2%. By the end of June, the return of core bonds as measured by the Barclays U.S. Aggregate Bond Index stood at 2.72% for the year. International equities lagged the return of U.S. stocks, with the MSCI EAFE Index up 5.35% for the first six months of 2011.
The equity markets charged out of the gate, buoyed by the liquidity being provided via the Federal Reserve’s second round of quantitative easing (QE II) initiated in late 2010, encouraged by signs of improvement in U.S. economic data, and enamored with the continued strength of corporate profits. The market euphoria quickly evaporated as strife spread across the Middle East/North Africa, and Japan, the world’s third largest economy, was hit with an unimaginable tragedy. After a substantial market recovery, signs reemerged that all was not "well" in the U.S. economy. Challenging reports on manufacturing, jobs, and housing, as well as the end of QE II looming ahead, ignited the year’s second sell-off.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/11 | |
Bond Funds | 8% |
Foreign Bond Funds | 2% |
Stock Funds | 67% |
Foreign Stock Funds | 21% |
Money Market Funds and Other Net Assets | 2% |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2011, the Ultra Series Aggressive Allocation Fund returned 5.06%, while the Aggressive Allocation Custom Index returned 5.54%. Underperformance in the fund’s alternative strategies and select U.S. large cap equity holdings explained the majority of the performance gap. As expected, given our more defensive posturing, the fund held up well during the periods of market stress, but lagged during the rallies.
Top Contributors to performance were: MEMBERS Mid Cap Fund Class Y, up 9.4% for the period. The Yacktman Fund 8.5%, and MEMBERS Large Cap Value Fund Class Y 7.6%.
Detractors from performance included: Hussman Strategic Growth Fund -0.1%, Matthews Asian Growth & Income Fund 1.7%, and MEMBERS Equity Income Fund Class Y 2.1%.
FUND CHANGES
Our overall asset allocation, stocks to bonds, remained stable during the period. IVA Worldwide Fund was added to the portfolio in February. IVA is a global equity fund with a flexible mandate and solid history of above
10
Ultra Series Fund | June 30, 2011
Aggressive Allocation Fund (concluded)
average risk-adjusted returns. The fund’s seasoned investment team focuses on absolute not relative value, with the ability to invest across the capital structure and asset classes. A combination of reductions to our international and U.S. large cap positions were made to accommodate the new position.
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.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/11 | |
Fannie Mae | 28% |
Federal Home Loan Bank | 21% |
Freddie Mac | 25% |
U.S. Treasury Bills | 8% |
Commercial Paper | 14% |
Cash and Other Net Assets | 4% |
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
The bond market started the year with reasonably high expectations as the economy had regained its footing. The economy had strung together three consecutive quarters of 3% or higher GDP growth, tax cuts had been retained and new ones instituted, as well as, quantitative easing II (QE II) being engaged. By February 10 Year Treasuries reached 3.74% from their October lows of 2.39%. But as the ‘Arab Spring’ drove the price of oil upward and tragedy unfolded in Japan, serious reservations about economic resilience arose. Growth noticeably softened not only in the U.S., but on a global basis as the year progressed. As if more complexity was needed, the fates tossed in further turmoil in Europe, the drama of a potential default by the U.S., and the approaching conclusion of QE2. By late June rates reached their low year-to-date of 2.87% only to finish the first half at 3.16%. With all the turbulence, rates between two and ten years declined approximately 15 bps during the first half.
11
Ultra Series Fund | June 30, 2011
Bond Fund (concluded)
The spread sectors of the market experienced multiple bouts of ‘risk on’ followed by ‘risk off’ characteristics. Broadly speaking, the first quarter experienced positive excess returns across all sectors versus the -0.14% return of the Bank of America Merrill Lynch U.S. Treasury Master Index. Overall corporate bonds garnered a return in excess of Treasuries ("excess returns") of 1.15% while both banks and BBB rated bonds earned about 1.6% more and high yield lead the way with an excess return over 3.8%. Securitized products also did well as residential mortgage-backed bonds produced excess returns of 0.50% and commercial mortgage-backed bonds returned 1% over Treasuries. The second quarter partially reversed this as credit sectors underperformed Treasuries by a range of about -0.25% for industrials to -1.3% for high yield. Securitized bonds managed to earn modestly positive excess returns. Excess returns for the six months were corporates 0.8%, banks 0.9%, BBB 1.4%, high yield 2.6%, and mortgages 0.7%.
PERFORMANCE DESCRIPTION
For the six-month period ended June 30, 2011, the Ultra Series Bond Fund earned 2.28% (Class I shares) while the Bank of America Merrill Lynch U.S. Corporate Government & Mortgage Index returned 2.74%. There was no meaningful change in the difference of interest rates or Treasury Bonds versus interest rates on other fixed income securities, such as corporate bonds during the period. Being approximately 10% short the duration of the benchmark as rates declined hurt relative performance. Being overweight in Treasuries also detracted from performance as corporate bonds and other non-Treasury bonds outperformed, specifically banks and mortgages. The Fund benefitted from overweighting BBB rated securities and in general from security selection. While some holdings underperformed, notably pharmaceuticals (Wyeth Ltd., Merck & Co. Inc., and Genentech) more performed exceedingly well. Some names that suffered previously such as Transocean Ltd. and Valero Energy Corp. in the energy space, HCP Inc. and Simon Property Group in the Real Estate sector, performed very well during this period.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/11 | |
Asset Backed | 2% |
Corporate Notes and Bonds | 27% |
Mortgage Backed | 21% |
U.S. Government and Agency Obligations | 47% |
Cash and Other Net Assets | 3% |
FUND CHANGES
There were no major structural changes in the portfolio. Duration and sector allocations were relatively constant over the period. We attempted to reduce BBB exposure in June, but the sale prices were sufficiently low to cause us to continue holding.
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
A steady stream of increasing global risks pervaded the markets during the six-month
12
Ultra Series Fund | June 30, 2011
High Income Fund (concluded)
period ended June 30, 2011. Employment and housing continued to be the weakest links in the U.S. economy, as concerns about the U.S. Federal Debt limit and European sovereign debt refinancing grew. Not surprisingly, a flight-to-quality took place during the first half of 2011. Government bonds performed well as 7 to 10 year U.S. Treasuries returned 3.80%, and equities fought through volatility to post solid returns (S&P 500 6.02%, NASDAQ 5.00%).
High Yield bonds performed in the middle of stocks and treasuries, rising 4.93% for the reporting period according to the Bank of America Merrill Lynch High Yield Master II Constrained Index. Volatile equity markets, lower growth forecasts and global macro concerns all weighed on the market, but spreads finished the six month period at the same level where they started the year (approximately 570 basis points over treasuries). The fundamentals for high yield companies remain intact with most firms reporting stronger cash flows than in the prior year for the first half of 2011. June marked the 22nd consecutive month in which credit upgrades exceeded downgrades and the ratio is at the highest it has been in 15 years.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/11 | |
Consumer Discretionary | 30% |
Consumer Staples | 8% |
Energy | 7% |
Financials | 3% |
Health Care | 8% |
Industrials | 16% |
Information Technology | 5% |
Materials | 7% |
Telecommunication Services | 7% |
Utilities | 3% |
Cash and Other Net Assets | 6% |
Consumer Discretionary includes securities in the following industries: Auto Components; Consumer Finance; Hotels, Restaurants & Leisure; Household Durables; Media; Multiline Retail; Specialty Retail; and Textiles, Apparel & Luxury Goods. |
PERFORMANCE DISCUSSION
The Ultra Series High Income Fund returned 3.76% (Class I shares) for the six-month period ended June 30, 2011. For the same period the Bank of America Merrill Lynch U.S. High Yield Master II Constrained Index returned 4.93%. Contributing positively to the fund’s performance during the six month period was an overweight position in Cable (EchoStar Corp., UPC Technology), positive selection within the Metals & Mining sector, (Alpha Natural Resources Inc.), and portfolio underweighting in the Forestry and Paper sector. Restraining performance during the reporting period was underweighting in the Utility sector (El Paso Corp., TXU Energy), and overweighting in the Printing and Publishing sector (Cengage Learning). A 10.09% average weighting in convertible securities added to performance during the reporting period, although we reduced the convertible holdings to finish the first half of 2011 with a 7.64% weighting.
FUND CHANGES
During the reporting period, the Ultra Series Fund participated actively in the high yield new issue market, purchasing positions in 23 different debt offerings as issuers refinanced existing capital structures at attractive rates and as we sought to keep the fund fully invested in suitable securities. Our convertible investments are credit-oriented and are not based primarily upon equity prices, but we intend to lower our convertible holdings during the second half of the year to reduce our exposure to equity price volatility.
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Ultra Series Fund | June 30, 2011
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
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-month period ended June 30, 2011, the broader market as measured by the Russell 1000¨ Index returned 6.37%, these returns were led by the Health Care sector, which climbed 14.2%, and the Energy sector, which returned 10.9%. Health Care stocks were viewed as showing improving fundamentals during a period when many investors became concerned the economy was slowing. Economic deceleration was also reflected in the Bond market, where bonds rallied as 5-Year U.S. Treasury Note Yields declined from 2.01% to 1.76%. Energy stocks were boosted as oil prices rose from $91 to $95 due to stable demand and supply disruptions. Financial stocks were the weakest and the only sector out of ten with a negative return. Financials declined nearly 2% as home prices continued to decline and concerns about European debt defaults grew. Information Technology stocks were the second weakest sector in the benchmark, rising 2.6% as concerns lingered about large firms maturing faster than had been anticipated.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/11 | |
Common Stocks | 52% |
Corporate Notes and Bonds | 17% |
U.S. Government and Agency Obligations | 14% |
Mortgage Backed | 10% |
Asset Backed | 1% |
Cash and Other Net Assets | 6% |
PERFORMANCE DISCUSSIONS
Effective June 30, 2011, the Ultra Series Diversified Income Fund’s primary benchmark is changing from two indexes, the Bank of America Merrill Lynch U.S. Corp. Govt. & Mtg. Index and the Russell 1000¨ Index, to a single Custom Blended Index, which consists of 50% S&P 500 Index and 50% Bank of America Merrill Lynch U.S. Corp. Govt. & Mtg. Index. This index will better reflect the types of stocks and bonds typically held in the fund as described in the current prospectus. During the six-month period ended June 30, 2011, the fund returned 5.35% (Class I shares), outperforming the Custom Blended Index return of 4.17%.
Within the stock portion of the fund (approximately 52% on June 30, 2011), relative performance was helped by the fund’s Energy, Industrial, and Information Technology performance, especially in stock selection. Financial sector holdings also helped, mainly
14
Ultra Series Fund | June 30, 2011
Diversified Income Fund (concluded)
due to the fund’s underweight position. Some of the biggest contributors include Marathon Oil Corp., Pfizer Inc., Chevron Corp., and VF Corp. Only one of the ten sectors, Health Care, detracted performance. Merck & Co. was a laggard, and the lack of exposure to higher growth Health Care stocks hurt performance. In the Financial sector, performance of Axis Capital Holdings Ltd. and The Bank of New York Mellon Corp. lagged. While the bond portion was short duration and thus modestly hurt by the minor drop in rates, we have more exposure to other Fixed Income Sectors (such as Corporate Bonds) and a lower exposure to Treasury Bonds.
FUND CHANGES
The most notable portfolio changes included an increase in the Industrial sector allocation weighting from around 10% to 13.5% as we started positions in The Boeing Co., Norfolk Southern Corp., Emerson Electric Co., and United Parcel Services Inc. (UPS). The Consumer Discretionary weight rose from about 6% to 7% with the addition of Target Corp. The Financial sector weight rose from roughly 11.5% to 12.5% with the addition of PartnerRe Ltd. These increases were funded by trimming the allocation to the Health Care sector, from 17% to 15%, as Baxter International Inc. was sold. The weighting toward Energy was reduced from 14% to around 12.5% ; likewise, Consumer Staples and Information Technology were reduced by about 1% each. All of these changes resulted from bottom-up decisions.
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 six-month period ended June 30, 2011 began much like 2010 ended. With stock markets surging higher driven by a seemingly endless supply of government financial support only to fall back as geo-political risks soared and the Japanese tragedy unfolded in February and March. Stock prices bounced within a relatively narrow trading range for the remainder of the period, with a growing list of economic and political concerns being offset by continued low interest rates, high liquidity and the hope that the weight of negative news would pass, allowing for more stable and sustainable growth as we look into 2012. The growing negative issues led us to continue our conservative approach in the portfolio, opportunistically using market pull-backs as buying opportunities. For the six-
15
Ultra Series Fund | June 30, 2011
Equity Income Fund (concluded)
month period, the S&P 500 Index rose 6.02% while the S&P BuyWrite Index (BXM) rose 2.42%. The fund lagged the BXM index slightly, due mainly to its defensive positioning and higher level of cash.
As the market continued to move higher early in the year, most of the fund’s call option positions were in-the-money and many with January expiration dates resulted in the underlying stock positions being called away. The resulting increase in cash levels was, as mentioned, opportunistically reinvested. However, the short duration of the market decline in early March, coupled with the sharp rebound through the end of April, provided only a very small window of opportunity. The fund maintained a higher than normal cash level due to concerns that valuation levels remained elevated and that the growing negative combination of rising foreign geo-political risk, troubling domestic debt challenges and a general reduction of growth expectations would continue to weigh on the market. This was the primary reason for the fund lagging its primary benchmarks. As markets corrected in June, the fund’s defensive positioning dramatically narrowed the performance differential. However, the strong surge in the final days of June reversed much of the positive effect.
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2011, the fund has returned 1.10% (Class I), while the S&P 500 Index has returned 6.02% and the CBOE Buy-Write Index has returned 2.42%. The performance of the fund’s individual holdings was mixed during the period. Natural gas related holdings such as Petrohawk Energy Corp. and Southwestern Energy Co. performed very well along with Noble Corp. In the Health Care sector, strong performance from Mylan Inc./PA and Gilead Sciences, Inc. was offset by relative weakness in Teva Pharmaceutical Industries and Merck & Co. Inc. The performance of technology holdings was mixed with Adobe Systems Inc., eBay Inc. and Varian Semiconductor Equipment Associates Inc. performing very strongly while Google Inc. and Cisco Systems Inc. were among the fund’s weakest performers. The overall quality of the fund’s equity positions is very high which should provide added support in the event of future market volatility.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | ||
AS OF 6/30/11 | ||
Fund | S&P 500 Index | |
Consumer Discretionary | 15% | 11% |
Consumer Staples | – | 10% |
Energy | 14% | 13% |
Financials | 11% | 15% |
Health Care | 15% | 12% |
Industrials | 2% | 11% |
Information Technology | 25% | 18% |
Materials | – | 4% |
Telecommunication Services | – | 3% |
Utilities | – | 3% |
Exchange-Traded Fund | 4% | – |
Cash and Other Net Assets | 14% | – |
FUND CHANGES
The bulk of portfolio changes resulted from individual equity positions being called away with a corresponding increase in cash. As opportunities presented, new positions were established in Staples Inc., Target Corp., Apache Corp., CarMax Inc., Petrobras Argentia SA, Stryker Corp. and Microsoft Corp. The Financial and Health Care sectors were most affected by assignments as American Express Co., Capital One Financial Corp., IntercontinentalExchange Inc., Community Health Systems Inc., St. Jude Medical Inc. and United Healthcare were all called away during the period.
16
Ultra Series Fund | June 30, 2011
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 expectations for buying it no longer apply, the price exceeds its intrinsic value or other stocks appear more attractively priced relative to their intrinsic values.
INVESTING ENVIRONMENT
During the six-month period ended June 30, 2011, value stocks rose 5.92% as measured by the Russell 1000 Value¨ Index. Benchmark returns were led by the Health Care sector 16.1% and the Energy Sector 10.5%. Health Care stocks showed improving fundamentals during a period when many investors became concerned that the economy was slowing. Energy stocks benefitted from oil prices rising from $91 to $95 due to stable demand and supply disruption. Financial stocks were the weakest, declining -3.3% as home prices continued to decline and concerns about European debt defaults grew. Information Technology stocks were the second weakest sector in the benchmark, rising 0.2% as concerns lingered about large firms maturing faster than had been anticipated.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | ||
AS OF 6/30/11 | ||
Fund | Russell 1000¨ Value Index | |
Consumer Discretionary | 6% | 9% |
Consumer Staples | 11% | 7% |
Energy | 14% | 13% |
Financials | 20% | 27% |
Health Care | 15% | 12% |
Industrials | 13% | 9% |
Information Technology | 12% | 8% |
Materials | 2% | 3% |
Telecommunication Services | 3% | 5% |
Utilities | 2% | 7% |
Cash and Other Net Assets | 2% | – |
PERFORMANCE DISCUSSION
During the six-month period ended June 30, 2011, the Ultra Series Large Cap Value Fund returned 7.80%, ahead of the benchmark. Relative performance was helped by the performance of the fund’s financial stocks, as well as its underweighting in the sector. This sector alone accounted for 80% of the outperformance. Energy and Industrial sector picks also aided relative performance. Marathon Oil Corp. announced it was spinning off its Refining & Marketing business, adding nearly 0.5% to relative performance, as the stock rose 33% during the period. International Business Machines Corp. (IBM) provided a boost to performance, while The Bank of New York Mellon Corp. was a performance drag. Cisco Systems Inc. also was detrimental to performance as earnings expectations continued to fall. This was the main reason our Information Technology holdings were a drag on performance. In addition, the Utility sector detracted from performance due to our underweight position in the sector, which we consider fully valued.
FUND CHANGES
The most notable portfolio changes include an increase in the Industrial sector weight
17
Ultra Series Fund | June 30, 2011
Large Cap Value Fund (concluded)
from around 9.5% to 13.5%. As we started positions in The Boeing Co., Norfolk Southern Corp., Emerson Electric Co., and United Parcel
Services Inc. (UPS). We reduced the fund’s Energy holdings from nearly 15.5% to 13.5%, partly through eliminating Marathon Oil Corp. We reduced the fund’s Information Technology weight from around 13% to 11.5%. We eliminated Vodafone Group PLC and thereby reduced the Telecom sector weighting from 3.5% to 2.5%. Composition of the fund’s Financial sector holdings shifted as we eliminated J.P. Morgan Chase & Co. while starting positions in Brookfield Asset Management Inc. and Berkshire-Hathaway Inc.
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 industries. 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.
INVESTING ENVIRONMENT
Despite a number of exogenous shocks to an already weak U.S. economy, such as the "Arab Spring", the tragedy in Japan, and the economic crisis in Greece, the U.S. Stock Market rallied in the first half of the period. Explanation for the rally may be that corporate profits continued to surge due to global sales opportunities combined with disciplined cost containment stemming from the financial crisis in 2008. Commodity and energy prices led the rally in the first quarter. After a substantial market advance, signs reemerged that all was not "well" in the U.S. economy. Challenging reports on manufacturing, jobs, and housing, as well as the end of QE II looming ahead, ignited the year’s second sell-off.
For the six-month period, both Health Care and Energy sectors were among the best performers, illustrating the vacillation of sentiment, since Energy stocks tend to be tied to the perception of stronger economic growth, while Health Care stocks tend to do well during slower growth bouts.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | ||
AS OF 6/30/11 | ||
Fund | Russell 1000¨ Growth Index | |
Consumer Discretionary | 11% | 14% |
Consumer Staples | 7% | 12% |
Energy | 13% | 12% |
Financials | 4% | 4% |
Health Care | 8% | 11% |
Industrials | 10% | 13% |
Information Technology | 40% | 27% |
Materials | 3% | 6% |
Telecommunication Services | – | 1% |
Utilities | – | –* |
Cash and Other Net Assets | 4% | – |
Information Technology includes securities in the following industries: Communications Equipment; Computers and Peripherals; Electronic Equipment, Instruments & Components; Internet Software & Services; IT Services; Semiconductors & Semiconductor Equipment; and Software. *Rounds to 0% |
18
Ultra Series Fund | June 30, 2011
Large Cap Growth Fund (concluded)
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2011, your fund had a positive return of 5.07% (Class I shares) for the six-month period ended June 30, 2011, while the Russell¨ 1000 Growth Index returned 6.83% on a relative basis. In a rising market, holding any cash will detract from performance. As we took profits in fully valued holdings, cash in the fund rose, negatively impacting performance. Second, we were correct to have a significant Energy exposure, which helped performance, although one holding, Weatherford International Ltd., dropped almost 15% in price due to company-specific issues. Its price drop offset some of our gains, such as the 35% gain in Petrohawk Energy Corporation.
In Health Care, positions in Allergan Inc., the company selling Botox, and in UnitedHealth Group Inc., the plan provider, aided performance, advancing over 20% and 40% respectively. Our holding in Celgene Corporation, an established biotechnology firm, offset some gains, although we remain committed to its growth prospects.
Lastly, Visa Inc., our largest position, rebounded to up over 20% for the period, after dropping in value in prior periods in response to imprecise federal legislation.
As noted, individual stock price volatility remains elevated, whereas the overall market moves up to this juncture have been tame. Such an environment can favor investors who try to understand the fundamentals of a business in order to determine the magnitude or duration of future opportunities.
FUND CHANGES
Overall, we believe companies which can demonstrate success in a sluggish economic backdrop will be rewarded with increasing P/Es as investors add to winners and sell deteriorating fundamentals over time.
For example, we initiated a position in Sandisk Corporation, a NAND flash memory provider, given our belief in its likely continued success related to the torrid uptake of mobile devices such as tablets and smartphones. We also bought positions in Cerner Corporation and CareFusion Corporation, two firms aiding Health Care productivity. Alternatively, we sold our position in Lamar Advertising Co. since it did not respond well to the current market environment.
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 reasonable 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
19
Ultra Series Fund | June 30, 2011
Mid Cap Fund (continued)
fundamentals deteriorate or more attractive stocks are identified.
INVESTING ENVIRONMENT
For the six-month period ended June 30, 2011, midcap stocks had a period of solid performance despite concerns about a soft patch in the economy. Sharply higher oil prices and global economic fallout from the natural disaster in Japan resulted in a mild correction during the second quarter before stocks finished on a strong note, rising over 4% in the final four trading days of June. For the six month period, the Russell Midcap¨ Index rose 8.08%. Within the index, sectors with less cyclical characteristics generated the best performance. For example, the Health Care and Consumer Staples sectors each had returns above 16%. Other strong sector performances were in Consumer Discretionary and Materials, while the worst performing sectors were Telecommunications, Financials and Information Technology.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | ||
AS OF 6/30/11 | ||
Fund | Russell Midcap¨ Index | |
Consumer Discretionary | 20% | 15% |
Consumer Staples | 4% | 6% |
Energy | 7% | 9% |
Financials | 25% | 19% |
Health Care | 12% | 10% |
Industrials | 15% | 12% |
Information Technology | 10% | 13% |
Materials | 2% | 7% |
Telecommunication Services | – | 2% |
Utilities | – | 7% |
Cash and Other Net Assets | 5% | – |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2011, the Ultra Series Mid Cap Fund increased 9.60% (Class I shares), compared with the Russell Midcap Index return of 8.08%. We believe our focus on firms with sustainable competitive advantages, modest financial leverage and stable earnings histories will result in long-term outperformance.
Relative to the benchmark, the fund’s Industrial holdings contributed nicely to performance. Used car auctioneer Copart Inc., global rail industry equipment provider Wabtec Corp/DE, and used construction equipment auctioneer Ritchie Brothers Auctioneers Inc. were top performers in the sector. The Financial sector also generated strong performance from insurance holding company W.R. Berkley Corp. and diversified holding company Leucadia National Corp.
Relative weakness compared to the benchmark occurred in the Consumer Discretionary and Consumer Staples sectors. Leading office supply retailer Staples Inc. and outdoor advertiser Lamar Advertising Company negatively impacted results. Within Consumer Staples, alcohol manufacturer Brown-Forman Corp. and spice manufacturer McCormick & Co. Inc./MD detracted from performance.
FUND CHANGES
We increased exposure to the Consumer Discretionary sector during the period by purchasing Staples Inc., which is the low cost supplier to the office products industry with leading market share. Our thesis is that its business will pick up when white collar employment and small business formation improves as the economy slowly recovers, and the stock is not priced to reflect this. We also increased existing positions in home furnishing provider Bed Bath & Beyond Inc. and used car dealer CarMax Inc. We maintain an overweight position in Consumer Discretionary as we believe the fund’s holdings are strong franchises with good pricing power.
We reduced the fund’s exposure to the Materials and Telecommunications sectors during the quarter. We sold global paint manufacturer Valspar Corp. after a period of outperformance. Within Telecommunications, we sold tower
20
Ultra Series Fund | June 30, 2011
Mid Cap Fund (concluded)
operator Crown Castle International Corp. which also had contributed nicely to results. The fund now has an underweight position in the Materials and Telecommunications sectors because we are finding better ideas in other areas of the market.
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 started the year with gains as strong corporate earnings and generally supportive economic data were sufficient to offset civil unrest in the Middle East and North Africa, surging commodity costs, and natural disasters in Japan and Australia. However, markets weakened into June as renewed doubts about the global recovery and continued concerns over eurozone debt, particularly in Greece, triggered a sharp rise in risk aversion. Political uncertainty around the U.S. debt ceiling and the potential for a technical default later this summer added to investor worries. For the six-month period, growth stocks (+8.59%) outperformed value (+3.77%) while small cap stocks (+6.21%) slightly outpaced their larger peers (+6.02%), as measured by the Russell 2000 Growth¨, Russell 2000¨ Value, Russell 2000¨, and S&P 500 Indices, respectively. All sectors within the Russell 2000¨ Index posted positive returns over the period. The Telecommunication Services, Health Care, Consumer Staples, and Energy sectors rose the most; Financials, Industrials, and Consumer Discretionary stocks rose more modestly.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | ||
AS OF 6/30/11 | ||
Fund | Russell 2000¨ Index | |
Consumer Discretionary | 18% | 14% |
Consumer Staples | 1% | 3% |
Energy | 5% | 6% |
Financials | 23% | 20% |
Health Care | 8% | 12% |
Industrials | 24% | 16% |
Information Technology | 8% | 19% |
Materials | 5% | 6% |
Telecommunication Services | – | 1% |
Utilities | 5% | 3% |
Cash and Other Net Assets | 3% | – |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2011, the Ultra Series Small Cap Fund returned 6.01% (Class I shares), slightly behind the Russell 2000¨ Index, which returned 6.21%.
Among the largest sources of relative weakness were the fund’s Energy holdings. Relative performance suffered due to the fund’s investments in oil and gas exploration and production company Penn Virginia Corp.,
21
Ultra Series Fund | June 30, 2011
Small Cap Fund (concluded)
offshore service provider SEACOR Holdings Inc., and independent oil and gas company GeoResources Inc. The fund’s positions in Platinum Underwriters Holdings Ltd. and International Bancshares Corp. (Financials) and Belden Inc. (Industrials) also detracted.
Stock selection was additive in the Industrials, Information Technology, and Financials sectors. Within Industrials, positions in diversified manufacturer Carlisle Cos. Inc. and inland barge operator Kirby Corp. were the primary drivers of relative results. Maximus Inc., a government services firm, and Websense Inc., an internet filtering and security company, were leading contributors among our Information Technology holdings. Positive results in the Financials sector were driven by two investments in the insurance industry, Reinsurance Group of America Inc. and Amerisafe Inc. Other top relative performers included Tempur-Pedic International Inc. (Consumer Discretionary) and Ascena Retail Group Inc. (Consumer Discretionary).
Sector allocation, a residual of our bottom-up stock selection process, detracted from relative performance. The primary sources of underperformance were an underweight position in the strong performing Health Care sector and an overweight position in the weaker Industrials sector.
FUND CHANGES
The Small Cap Value investment approach emphasizes individual stock selection; sector weights are a residual of the process. We do, however, carefully consider diversification across economic sectors to limit risk. Based on our two- to three-year time horizon we continue to find opportunities created by the inefficiencies frequently found among small capitalization companies.
As in previous years, the annual June rebalance of the Russell 2000¨ Index impacted the fund’s relative weights as index weights shifted. Consistent with our bottom-up process, these changes do not impact our investment process. Based on individual stock decisions we initiated positions in insurance company Primerica Inc., independent oil and gas company GeoResources Inc., discount general merchandiser Fred’s Inc., and footwear company Sketchers USA Inc. We eliminated the fund’s holdings of insurer Reinsurance Group of America Inc., nutritional products company Herbalife Ltd., independent energy company SM Energy Co., and snack food maker Snyders-Lance Inc.
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
A number of positive and negative factors contributed to a volatile first half of 2011 but
22
Ultra Series Fund | June 30, 2011
International Stock Fund (continued)
the MSCI EAFE Index ended the period with a return of 5.35%. Positive factors included strong corporate earnings, low developed-world interest rates and abundant liquidity. Negative factors centered around sovereign debt concerns, softening economic growth, the Japanese earthquake and its aftermath, and Middle East and North African turmoil.
Sovereign debt concerns were once again front and center in investors’ minds as Greece faced internal protests over the austerity measures required to receive the next tranche in foreign assistance. Meanwhile, the unrest in the
Middle East and North Africa continued with Syria most recently cracking down violently on protests. European markets performed well, despite contagion concerns from the sovereign crisis. Germany contributed to the strong performance, as the nation continues to benefit from exports and low unemployment that is beginning to spur domestic consumer spending. In Asia, markets declined on inflation concerns in the first quarter and subsequently on concerns over slowing growth prospects following weaker manufacturing numbers from China and continuing inflation fears in the region. Japan declined year-to-date as the market sold off in the first quarter following the earthquake. Emerging markets have underperformed developed markets year-to-date on the aforementioned tensions in the Middle East and North Africa and the slowing growth and inflation concerns.
Sector leadership was mixed with a defensive bias, as Health Care, Telecommunication Services, and Consumer Staples, three traditionally defensive sectors, were joined by Energy, a traditionally cyclical sector, to lead markets higher. Among the worst performers were the Materials and Financials sectors. The Materials sector declined, driven by falling commodity prices in the second quarter, while Financials declined on sovereign debt concerns and rising regulatory capital requirements.
In currency markets, the U.S. dollar weakened relative to most major currencies. The euro gained on the dollar as investors reacted positively to European Central Bank (ECB) interest rate policy, which signaled a widening yield differential between the U.S. dollar and the euro.
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS | |
AS OF 6/30/11 | |
Europe (excluding United Kingdom) | 35% |
Japan | 19% |
Latin America | 3% |
Pacific Basin | 7% |
United Kingdom | 27% |
Other Countries | 6% |
Cash and Other Net Assets | 3% |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2011, the Ultra Series International Stock Fund returned 6.71% (Class I shares) and outperformed the MSCI EAFE Index return of 5.35%. This performance was driven primarily by stock selection. Among the drivers of positive stock selection were the Financials and Consumer Discretionary sectors as well as Continental Europe and Japan. Daito Trust Construction Co. Ltd. stands out within Financials sector and Japan for its continued strong performance in the aftermath of the earthquake. The company has limited exposure to the negative effects of the crisis and may even benefit from increased housing demand. Japanese consumer discretionary companies Yamada Denki Co. Ltd. and Don Quijote Co. Ltd. also performed well as both saw encouraging sales despite the crisis in the country. Continental European consumer discretionary stocks Bayerische Motoren Werke AG (BMW) and Valeo SA continued to see resilient demand and margin growth.
In contrast, the portfolio was negatively impacted by both overweighting and stock selection in the Information Technology
23
Ultra Series Fund | June 30, 2011
International Stock Fund (concluded)
sector and by exposure to emerging markets. In the Information Technology sector, an overweight allocation to a lagging sector was a drag on performance. An overweight allocation to underperforming emerging markets hurt portfolio performance in the past six months as did some stock specific performance in Samsung Electronics Co. Ltd. and Turkiye Garanti Bankasi AS.
FUND CHANGES
As a consequence of our bottom-up stock selection and market movement, there were a few minor changes in the portfolio’s active weighting. The financials’ active weighting moved from overweight to underweight the benchmark while the materials underweight was reduced. From a regional perspective, the portfolio’s European underweight widened while the underweight in Asia was reduced.
MADISON TARGET RETIREMENT 2020 FUND
INVESTMENT STRATEGY HIGHLIGHTS
The Madison 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 asset class exposures, portfolio characteristics, risk profile, and investment process.
INVESTING ENVIRONMENT
The first half of 2011 provided investors with strong returns across the global markets. However, the path taken to reach these returns was anything but smooth. As of June 30, 2011 the S&P 500 Index returned 6.02% year-to-date, a return that included up and down moves of 6.8%, -6.4%, 8.5%, -7.2%, and 4.4%. The U.S. Treasury market experienced similar volatility, starting the year with a yield of 3.3%, the 10-Year U.S. Treasury Bond underwent yield swings of 0.4%, -0.5%, 0.4%, -0.7%, and 0.2%. By the end of June, the return of core bonds as measured by the Barclays U.S. Aggregate Bond Index stood at 2.72% for the year. International equities lagged the return of U.S. stocks, with the MSCI EAFE Index up 5.35% for the first six months of 2011.
The equity markets charged out of the gate, buoyed by the liquidity being provided via the Federal Reserve’s second round of quantitative easing (QE II) initiated in late 2010, encouraged by signs of improvement in U.S. economic data, and enamored with the continued strength of corporate profits. The market euphoria quickly evaporated as strife spread across the Middle East/North Africa, and Japan, the world’s third largest economy, was hit with an unimaginable tragedy. After a substantial market recovery, signs reemerged that all was not "well" in the U.S. economy. Challenging reports on manufacturing, jobs, and housing, as well as the end of QE II looming ahead, ignited the year’s second sell-off.
24
Ultra Series Fund | June 30, 2011
Madison Target Retirement 2020 Fund (concluded)
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | |
AS OF 6/30/11 | |
Bond Funds | 41% |
Foreign Bond Funds | 5% |
Stock Funds | 41% |
Foreign Stock Funds | 11% |
Money Market Funds and Other Net Assets | 2% |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2011, the Madison Target Retirement 2020 Fund returned 4.09% (Class I shares), approximating the Dow Jones Global Target 2020 Index return of 4.13%. As expected, given our more defensive posturing, the fund held up well during the periods of market stress, but lagged during the rallies.
Top Contributors to performance were: The Yacktman Fund, up 8.5% for the period, MEMBERS Large Cap Value Fund Class Y 7.6%, and MEMBERS International Stock Fund Class Y 6.5%.
Detractors from performance included: Hussman Strategic Growth Fund -0.1%, MEMBERS Bond Y Fund Class 2.1%, and MEMBERS Equity Income Fund Class Y 2.1%.
FUND CHANGES
In June , we made significant changes to the investment structure of the Target Retirement Funds. Madison redesigned their structures to be predominately index-based, utilizing exchange traded funds for the majority of the underlying holdings. As a result, the portfolio experienced a large amount of turnover late in the period as we sold a majority of the underlying active fund holdings. As of June 30, 2011 the vast majority of the transformation process had been completed.
MADISON TARGET RETIREMENT 2030 FUND
INVESTMENT STRATEGY HIGHLIGHTS
The Madison 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
The first half of 2011 provided investors with strong returns across the global markets. However, the path taken to reach these returns was anything but smooth. As of June 30, 2011 the S&P 500 Index returned 6.02% year-to-date, a return that included up and down moves of 6.8%, -6.4%, 8.5%, -7.2%, and 4.4%. The U.S. Treasury market experienced similar volatility, starting the year with a yield of 3.3%, the 10-Year U.S. Treasury Bond underwent yield swings of 0.4%, -0.5%, 0.4%, -0.7%, and 0.2%.
25
Ultra Series Fund | June 30, 2011
Madison Target Retirement 2030 Fund (concluded)
By the end of June, the return of core bonds as measured by the Barclays U.S. Aggregate Bond Index stood at 2.72% for the year. International equities lagged the return of U.S. stocks, with the MSCI EAFE Index up 5.35% for the first six months of 2011.
The equity markets charged out of the gate, buoyed by the liquidity being provided via the Federal Reserve’s second round of quantitative easing (QE II) initiated in late 2010, encouraged by signs of improvement in U.S. economic data, and enamored with the continued strength of corporate profits. The market euphoria quickly evaporated as strife spread across the Middle East/North Africa, and Japan, the world’s third largest economy, was hit with an unimaginable tragedy. After a substantial market recovery, signs reemerged that all was not "well" in the U.S. economy. Challenging reports on manufacturing, jobs, and housing, as well as the end of QE II looming ahead, ignited the year’s second sell-off.
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2011, the Madison Target Retirement 2030 Fund returned 4.19%, while the Dow Jones Global Target 2030 Index returned 4.77%. Underperformance in the fund’s alternative strategies and select U.S. large cap equity holdings explained the majority of the performance gap. As expected, given our more defensive posturing, the fund held up well during the periods of market stress, but lagged during the rallies.
Top Contributors to performance were: The Yacktman Fund, up 8.5% for the period, MEMBERS Large Cap Value Fund Class Y 7.6%, and MEMBERS International Stock Fund Class Y 6.5%.
Detractors from performance included: Hussman Strategic Growth Fund -0.1%, MEMBERS Equity Income Fund Y 2.1%, and T. Rowe Price New Era Fund 2.2%.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | |
AS OF 6/30/11 | |
Bond Funds | 28% |
Foreign Bond Funds | 4% |
Stock Funds | 52% |
Foreign Stock Funds | 14% |
Money Market Funds and Other Net Assets | 2% |
FUND CHANGES
In June , we made significant changes to the investment structure of the Target Retirement Funds. Madison redesigned their structures to be predominately index-based, utilizing exchange traded funds for the majority of the underlying holdings. As a result, the portfolio experienced a large amount of turnover late in the period as we sold a majority of the underlying active fund holdings. As of June 30, 2011, the vast majority of the transformation process had been completed.
MADISON TARGET RETIREMENT 2040 FUND
INVESTMENT STRATEGY HIGHLIGHTS
The Madison 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.
26
Ultra Series Fund | June 30, 2011
Madison Target Retirement 2040 Fund (concluded)
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
The first half of 2011 provided investors with strong returns across the global markets. However, the path taken to reach these returns was anything but smooth. As of June 30, 2011 the S&P 500 Index returned 6.02% year-to-date, a return that included up and down moves of 6.8%, -6.4%, 8.5%, -7.2%, and 4.4%. The U.S. Treasury market experienced similar volatility, starting the year with a yield of 3.3%, the 10-Year U.S. Treasury Bond underwent yield swings of 0.4%, -0.5%, 0.4%, -0.7%, and 0.2%. By the end of June, core bonds as measured by the Barclays U.S. Aggregate Bond Index stood at 2.72% for the year. International equities lagged the return of US stocks, with the MSCI EAFE Index up 5.35% for the first six months of 2011.
The equity markets charged out of the gate, buoyed by the liquidity being provided via the Federal Reserve’s second round of quantitative easing (QE II) initiated in late 2010, encouraged by signs of improvement in U.S. economic data, and enamored with the continued strength of corporate profits. The market euphoria quickly evaporated as strife spread across the Middle East/North Africa, and Japan, the world’s third largest economy, was hit with an unimaginable tragedy. After a substantial market recovery, signs reemerged that all was not "well" in the U.S. economy. Challenging reports on manufacturing, jobs, and housing, as well as the end of QE II looming ahead, ignited the year’s second sell-off.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | |
AS OF 6/30/11 | |
Bond Funds | 19% |
Foreign Bond Funds | 3% |
Stock Funds | 61% |
Foreign Stock Funds | 16% |
Money Market Funds and Other Net Assets | 1% |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2011, the Madison Target Retirement 2040 Fund returned 4.42% (Class I shares), underperforming the Dow Jones Global Target 2040 Index return of 5.14%. Underperformance in the fund’s alternative strategies and select U.S. large cap equity holdings explained the majority of the performance gap. As expected, given our more defensive posturing, the fund held up well during the periods of market stress, but lagged during the rallies.
Top Contributors to performance were: The Yacktman Fund, up 8.5% for the period, MEMBERS Large Cap Value Fund Class Y 7.6%, and MEMBERS International Stock Fund Class Y 6.5%.
Detractors from performance included: Hussman Strategic Growth Fund -0.1%, MEMBERS Equity Income Fund Class Y 2.1%, and T. Rowe Price New Era Fund 2.2%.
FUND CHANGES
In June , we made significant changes to the investment structure of the Target Retirement Funds. Madison redesigned their structures to
be predominately index-based, utilizing exchange traded funds for the majority of the underlying holdings. As a result, the portfolio experienced a large amount of turnover late in the period as we sold a majority of the underlying active fund holdings. As of June 30, 2011, the vast majority of the transformation process had been completed.
27
Ultra Series Fund | June 30, 2011
MADISON TARGET RETIREMENT 2050 FUND
INVESTMENT STRATEGY HIGHLIGHTS
The Madison Target Retirement 2050 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 2050. 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.
Madison Target Retirement 2050 Fund (concluded)
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
The first half of 2011 provided investors with strong returns across the global markets. However, the path taken to reach these returns was anything but smooth. As of June 30, 2011 the S&P 500 Index returned 6.02% year-to-date, a return that included up and down moves of 6.8%, -6.4%, 8.5%, -7.2%, and 4.4%. The U.S. Treasury market experienced similar volatility, starting the year with a yield of 3.3%, the 10-Year US Treasury Bond underwent yield swings of 0.4%, -0.5%, 0.4%, -0.7%, and 0.2%. By the end of June, core bonds as measured by the Barclays U.S. Aggregate Bond Index stood at 2.72% for the year. International equities lagged the return of US stocks, with the MSCI EAFE Index up 5.35% for the first six months of 2011.
The equity markets charged out of the gate, buoyed by the liquidity being provided via the Federal Reserve’s second round of quantitative easing (QE II) initiated in late 2010, encouraged by signs of improvement in U.S. economic data, and enamored with the continued strength of corporate profits. The market euphoria quickly evaporated as strife spread across the Middle East/North Africa, and Japan, the world’s third largest economy, was hit with an unimaginable tragedy. After a substantial market recovery, signs reemerged that all was not "well" in the U.S. economy. Challenging reports on manufacturing, jobs, and housing, as well as the end of QE II looming ahead, ignited the year’s second sell-off.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | |
AS OF 6/30/11 | |
Bond Funds | 8% |
Foreign Bond Funds | 3% |
Stock Funds | 66% |
Foreign Stock Funds | 15% |
Money Market Funds and Other Net Assets | 8% |
PERFORMANCE DISCUSSION
Since the fund’s January 3, 2011 inception, the Madison Target Retirement 2050 Fund returned 4.08% (Class I shares), while the Dow Jones Global Target 2050 Index returned 4.28%. Underperformance in the fund’s alternative strategies and select U.S. large cap equity holdings explained the majority of the performance gap. As expected, given our more defensive posturing, the fund held up well during the periods of market stress, but lagged during the rallies.
28
Ultra Series Fund | June 30, 2011
Madison Target Retirement 2050 Fund (concluded)
Top Contributors to performance were: The Yacktman Fund, up 8.5% for the period, MEMBERS Large Cap Value Fund Class Y 7.6%, and MEMBERS International Stock Fund Class Y 6.5%.
Detractors from performance included: Hussman Strategic Growth Fund -0.1%, MEMBERS Equity Income Fund Class Y 2.1%, and T. Rowe Price New Era Fund 2.2%.
FUND CHANGES
In June, we made significant changes to the investment structure of the Target Retirement Funds. Madison redesigned their structures to be predominately index-based, utilizing exchange traded funds for the majority of the underlying holdings. As a result, the portfolio experienced a large amount of turnover late in the period as we sold a majority of the underlying active fund holdings. As of June 30, 2011, the vast majority of the transformation process had been completed.
BENCHMARK DESCRIPTIONS
Allocation Fund Indexes
The Conservative Allocation Fund Custom Index consists of 65% Bank of America 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% Bank of America 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% Bank of America Merrill Lynch U.S. Corporate, Government and Mortgage Index, 55% Russell 3000¨ Index and 30% MSCI EAFE Index. See market indexes’ descriptions below.
Hybrid Fund Indexes
The Custom Blended Index consists of 50% S&P 500 Index and 50% of Bank of America Merrill Lynch U.S. Corporate, Government and Mortgage 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.
29
Benchmark Descriptions (concluded)
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.
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 Dow Jones Global Target 2050 Index is a benchmark for multi-asset class portfolios with risk profiles that become more conservative as the year 2050 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 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 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.
30
Ultra Series Fund | June 30, 2011
Conservative Allocation Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
INVESTMENT COMPANIES - 99.8% | ||
Bond Funds - 60.3% | ||
Franklin Floating Rate Daily Access Fund Advisor Class | $1,583,174 | $ 14,501,870 |
Madison Mosaic Institutional Bond Fund (A) | 1,699,579 | 18,695,365 |
MEMBERS Bond Fund Class Y (A) | 3,563,305 | 36,666,409 |
MEMBERS High Income Fund Class Y (A) | 2,752,771 | 19,296,925 |
PIMCO Investment Grade Corporate Bond Fund Institutional Class | 2,692,537 | 28,675,521 |
PIMCO Total Return Fund Institutional Class | 2,585,490 | 28,414,539 |
146,250,629 | ||
Foreign Bond Funds - 7.5% | ||
Templeton Global Bond Fund Advisor Class | 1,303,474 | 18,079,186 |
Foreign Stock Funds - 8.1% | ||
IVA Worldwide Fund | 696,047 | 12,187,788 |
MEMBERS International Stock Fund Class Y (A) | 655,109 | 7,383,080 |
19,570,868 | ||
Par Value | Value (Note 2) | |
Money Market Funds - 1.1% | ||
State Street Institutional U.S. Government Money Market Fund | $2,670,755 | $ 2,670,755 |
Stock Funds - 22.8% | ||
Calamos Growth and Income Fund Class I | 248,134 | 7,992,388 |
Madison Mosaic Disciplined Equity Fund (A) | 1,179,547 | 15,593,609 |
MEMBERS Equity Income Fund Class Y (A) | 585,893 | 5,853,073 |
MEMBERS Large Cap Growth Fund Class Y (A) | 713,293 | 11,983,330 |
MEMBERS Large Cap Value Fund Class Y (A) | 1,083,319 | 13,942,321 |
55,364,721 | ||
TOTAL INVESTMENTS - 99.8% ( Cost $227,547,362** ) | 241,936,159 | |
NET OTHER ASSETS AND LIABILITIES - 0.2% | 576,207 | |
TOTAL NET ASSETS - 100.0% | $242,512,366 |
** | Aggregate cost for Federal tax purposes was $230,247,408. |
(A) | Affiliated Company (see Note 11). |
See accompanying Notes to Financial Statements.
31
Ultra Series Fund | June 30, 2011
Moderate Allocation Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
INVESTMENT COMPANIES - 99.9% | ||
Bond Funds - 35.8% | ||
Franklin Floating Rate Daily Access Fund Advisor Class | $1,770,679 | $ 16,219,417 |
Madison Mosaic Institutional Bond Fund (A) | 1,491,757 | 16,409,323 |
MEMBERS Bond Fund Class Y (A) | 3,647,154 | 37,529,219 |
MEMBERS High Income Fund Class Y (A) | 4,319,368 | 30,278,768 |
PIMCO Investment Grade Corporate Bond Fund Institutional Class | 2,199,015 | 23,419,510 |
PIMCO Total Return Fund Institutional Class | 1,889,272 | 20,763,096 |
144,619,333 | ||
Foreign Bond Funds - 5.1% | ||
Templeton Global Bond Fund Advisor Class | 1,474,024 | 20,444,716 |
Foreign Stock Funds - 11.7% | ||
IVA Worldwide Fund | 982,851 | 17,209,725 |
Matthews Asian Growth and Income Fund Institutional Shares | 227,814 | 4,114,322 |
MEMBERS International Stock Fund Class Y (A) | 2,314,781 | 26,087,587 |
47,411,634 | ||
Par Value | Value (Note 2) | |
Money Market Funds - 1.3% | ||
State Street Institutional U.S. Government Money Market Fund | $5,381,646 | $ 5,381,646 |
Stock Funds - 46.0% | ||
Calamos Growth and Income Fund Class I | 280,625 | 9,038,945 |
Madison Mosaic Disciplined Equity Fund (A) | 2,713,986 | 35,878,890 |
MEMBERS Equity Income Fund Class Y (A) | 1,157,056 | 11,558,985 |
MEMBERS Large Cap Growth Fund Class Y (A) | 2,137,342 | 35,907,349 |
MEMBERS Large Cap Value Fund Class Y (A) | 2,796,858 | 35,995,560 |
MEMBERS Mid Cap Fund Class Y (A) * | 1,851,642 | 13,091,111 |
MEMBERS Small Cap Fund Class Y (A) | 1,056,079 | 12,292,760 |
T Rowe Price New Era Fund | 126,762 | 6,760,235 |
Yacktman Fund/The | 1,405,765 | 25,233,484 |
185,757,319 | ||
TOTAL INVESTMENTS - 99.9% ( Cost $366,660,951** ) | 403,614,648 | |
NET OTHER ASSETS AND LIABILITIES - 0.1% | 576,886 | |
TOTAL NET ASSETS - 100.0% | $404,191,534 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $372,822,461. |
(A) | Affiliated Company (see Note 11). |
See accompanying Notes to Financial Statements.
32
Ultra Series Fund | June 30, 2011
Aggressive Allocation Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
INVESTMENT COMPANIES - 100.0% | ||
Bond Funds - 7.7% | ||
MEMBERS High Income Fund Class Y (A) | $ 943,557 | $ 6,614,334 |
PIMCO Investment Grade Corporate Bond Fund Institutional Class | 391,878 | 4,173,500 |
10,787,834 | ||
Foreign Bond Funds - 2.4% | ||
Templeton Global Bond Fund Advisor Class | 244,919 | 3,397,028 |
Foreign Stock Funds - 21.1% | ||
IVA Worldwide Fund | 832,984 | 14,585,555 |
Matthews Asian Growth and Income Fund Institutional Shares | 148,192 | 2,676,350 |
MEMBERS International Stock Fund Class Y (A) | 1,075,300 | 12,118,633 |
29,380,538 | ||
Money Market Funds - 2.1% | ||
State Street Institutional U.S. Government Money Market Fund | 2,940,966 | 2,940,966 |
Par Value | Value (Note 2) | |
Stock Funds - 66.7% | ||
Calamos Growth and Income Fund Class I | $ 109,113 | $ 3,514,518 |
Hussman Strategic Growth Fund | 294,192 | 3,612,673 |
Madison Mosaic Disciplined Equity Fund (A) | 1,373,648 | 18,159,629 |
MEMBERS Equity Income Fund Class Y (A) | 379,732 | 3,793,522 |
MEMBERS Large Cap Growth Fund Class Y (A) | 806,145 | 13,543,238 |
MEMBERS Large Cap Value Fund Class Y (A) | 1,143,559 | 14,717,609 |
MEMBERS Mid Cap Fund Class Y (A) * | 1,191,922 | 8,426,887 |
MEMBERS Small Cap Fund Class Y (A) | 475,713 | 5,537,298 |
T Rowe Price New Era Fund | 118,338 | 6,310,979 |
Yacktman Fund/The | 856,490 | 15,373,996 |
92,990,349 | ||
TOTAL INVESTMENTS - 100.0% ( Cost $121,061,781** ) | 139,496,715 | |
NET OTHER ASSETS AND LIABILITIES – 0.0% | 23,296 | |
TOTAL NET ASSETS - 100.0% | $139,520,011 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $123,900,199. |
(A) | Affiliated Company (see Note 11). |
See accompanying Notes to Financial Statements.
33
Ultra Series Fund | June 30, 2011
Money Market Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 82.1% | ||
Fannie Mae (A) - 27.5% | ||
0.050%, 7/15/11 | $ 800,000 | $ 799,984 |
0.070%, 7/18/11 | 1,350,000 | 1,349,955 |
0.080%, 7/20/11 | 500,000 | 499,979 |
0.075%, 7/21/11 | 1,250,000 | 1,249,948 |
0.042%, 7/25/11 | 3,450,000 | 3,449,903 |
0.022%, 7/27/11 | 100,000 | 99,998 |
0.040%, 8/2/11 | 1,250,000 | 1,249,956 |
0.040%, 8/3/11 | 1,000,000 | 999,963 |
0.055%, 8/8/11 | 2,125,000 | 2,124,877 |
0.055%, 8/10/11 | 1,250,000 | 1,249,924 |
0.085%, 8/24/11 | 1,000,000 | 999,873 |
0.080%, 9/13/11 | 105,000 | 104,983 |
0.083%, 9/14/11 | 1,855,000 | 1,854,679 |
0.050%, 9/27/11 | 2,175,000 | 2,174,734 |
18,208,756 | ||
Federal Home Loan Bank (A) - 21.0% | ||
0.030%, 7/6/11 | 1,750,000 | 1,749,993 |
0.067%, 7/13/11 | 1,781,000 | 1,780,960 |
0.055%, 7/27/11 | 1,125,000 | 1,124,955 |
0.035%, 8/3/11 | 165,000 | 164,995 |
0.030%, 8/4/11 | 2,000,000 | 1,999,943 |
0.030%, 8/9/11 | 1,375,000 | 1,374,955 |
0.050%, 8/10/11 | 1,375,000 | 1,374,924 |
0.030%, 8/12/11 | 200,000 | 199,993 |
0.055%, 8/17/11 | 1,500,000 | 1,499,892 |
0.075%, 8/26/11 | 1,000,000 | 999,884 |
0.050%, 9/1/11 | 1,500,000 | 1,499,871 |
0.050%, 9/23/11 | 100,000 | 99,988 |
13,870,353 | ||
Freddie Mac (A) - 25.4% | ||
0.076%, 7/5/11 | 1,625,000 | 1,624,986 |
0.080%, 7/8/11 | 1,300,000 | 1,299,980 |
0.048%, 7/11/11 | 3,636,000 | 3,635,952 |
0.070%, 7/20/11 | 1,350,000 | 1,349,950 |
0.040%, 8/1/11 | 1,500,000 | 1,499,949 |
0.060%, 8/15/11 | 850,000 | 849,936 |
0.055%, 8/17/11 | 1,000,000 | 999,928 |
0.080%, 8/22/11 | 750,000 | 749,913 |
0.085%, 8/29/11 | 1,250,000 | 1,249,826 |
0.050%, 9/19/11 | 2,500,000 | 2,499,720 |
0.050%, 9/20/11 | 200,000 | 199,978 |
0.060%, 9/22/11 | 800,000 | 799,889 |
16,760,007 | ||
Par Value | Value (Note 2) | |
U.S. Treasury Bills (A) - 8.2% | ||
0.002%, 7/21/11 | $2,450,000 | $ 2,449,997 |
0.000%, 8/25/11 | 2,950,000 | 2,950,002 |
5,399,999 | ||
Total U.S. Government and Agency Obligations ( Cost $54,239,115 ) | 54,239,115 | |
SHORT-TERM INVESTMENTS - 13.6% | ||
Consumer Staples - 4.5% | ||
Proctor & Gamble International Funding SCA (A), 0.081%, 7/15/11 | 3,000,000 | 2,999,906 |
Industrials - 9.1% | ||
General Electric Capital Corp. (A), 0.09%, 7/28/11 | 3,000,000 | 2,999,797 |
United Parcel Service Inc. (A), 0.041%, 8/16/11 | 3,000,000 | 2,999,847 |
5,999,644 | ||
Total Short-Term Investments ( Cost $8,999,550 ) | 8,999,550 | |
Shares | ||
INVESTMENT COMPANY - 4.3% | ||
State Street Institutional U.S. Government Money Market Fund | 2,872,268 | 2,872,268 |
Total Investment Company ( Cost $2,872,268 ) | 2,872,268 | |
TOTAL INVESTMENTS - 100.0% ( Cost $66,110,933** ) | 66,110,933 | |
NET OTHER ASSETS AND LIABILITIES - (0.0%) | (10,412) | |
TOTAL NET ASSETS - 100.0% | $66,100,521 |
** | Aggregate cost for Federal tax purposes was $66,110,933. |
(A) | Rate noted represents annualized yield at time of purchase. |
See accompanying Notes to Financial Statements.
34
Ultra Series Fund | June 30, 2011
Bond Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
ASSET BACKED SECURITIES - 1.8% | ||
ABSC Long Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (A), 8.55%, 9/21/30 | $ 652,045 | $ 671,058 |
Chase Issuance Trust, Series 2007-A17, Class A, 5.12%, 10/15/14 | 3,820,000 | 4,044,325 |
New Century Home Equity Loan Trust, Series 2003-5, Class AI5 (B), 5.5%, 11/25/33 | 3,500,000 | 3,535,924 |
Total Asset Backed Securities ( Cost $7,990,119 ) | 8,251,307 | |
CORPORATE NOTES AND BONDS - 26.7% | ||
Consumer Discretionary - 2.0% | ||
American Association of Retired Persons (C) (D), 7.5%, 5/1/31 | 2,500,000 | 3,128,528 |
DR Horton Inc., 5.25%, 2/15/15 | 1,140,000 | 1,154,250 |
ERAC USA Finance LLC (C) (D), 6.7%, 6/1/34 | 4,400,000 | 4,713,029 |
8,995,807 | ||
Consumer Staples - 1.0% | ||
PepsiCo Inc., 4.65%, 2/15/13 | 1,165,000 | 1,237,984 |
WM Wrigley Jr. Co. (C) (D), 3.05%, 6/28/13 | 3,170,000 | 3,240,380 |
4,478,364 | ||
Energy - 2.2% | ||
Hess Corp., 7.875%, 10/1/29 | 2,460,000 | 3,088,793 |
Transocean Inc., 6%, 3/15/18 | 1,400,000 | 1,550,055 |
Transocean Inc., 7.5%, 4/15/31 | 2,310,000 | 2,601,143 |
Valero Energy Corp., 7.5%, 4/15/32 | 2,275,000 | 2,540,643 |
9,780,634 | ||
Financials - 4.4% | ||
American General Finance Corp., 5.85%, 6/1/13 | 2,885,000 | 2,848,937 |
Goldman Sachs Group Inc./The, 5.7%, 9/1/12 | 2,750,000 | 2,891,694 |
HCP Inc., 6.7%, 1/30/18 | 2,725,000 | 3,046,386 |
Lehman Brothers Holdings Inc. * (E), 5.75%, 1/3/17 | 3,135,000 | 1,568 |
Simon Property Group L.P., 5.875%, 3/1/17 | 1,060,000 | 1,200,413 |
Swiss Re Solutions Holding Corp., 7%, 2/15/26 | 1,250,000 | 1,367,697 |
UBS AG/Stamford CT, 5.75%, 4/25/18 | 750,000 | 813,134 |
US Bank NA/Cincinnati OH, 6.3%, 2/4/14 | 2,000,000 | 2,228,890 |
Wells Fargo & Co., 5.25%, 10/23/12 | 2,735,000 | 2,885,677 |
Western Union Co./The, 5.93%, 10/1/16 | 2,065,000 | 2,334,976 |
19,619,372 | ||
Health Care - 4.4% | ||
Eli Lilly & Co., 6.57%, 1/1/16 | 2,600,000 | 3,066,573 |
Genentech Inc., 5.25%, 7/15/35 | 1,740,000 | 1,748,023 |
Medco Health Solutions Inc., 7.25%, 8/15/13 | 3,450,000 | 3,841,171 |
Merck & Co. Inc., 5.75%, 11/15/36 | 3,960,000 | 4,278,669 |
Par Value | Value (Note 2) | |
Quest Diagnostics Inc./DE, 5.45%, 11/1/15 | $3,500,000 | $ 3,900,694 |
Wyeth, 6.5%, 2/1/34 | 2,370,000 | 2,719,144 |
19,554,274 | ||
Industrials - 3.9% | ||
Boeing Co./The, 8.625%, 11/15/31 | 760,000 | 1,023,894 |
Boeing Co./The, 6.875%, 10/15/43 | 1,380,000 | 1,629,727 |
Burlington Northern Santa Fe LLC, 8.125%, 4/15/20 | 2,925,000 | 3,698,800 |
EI du Pont de Nemours & Co., 5%, 1/15/13 | 195,000 | 207,457 |
General Electric Co., 5%, 2/1/13 | 3,200,000 | 3,396,477 |
Lockheed Martin Corp., 7.65%, 5/1/16 | 1,450,000 | 1,778,186 |
Norfolk Southern Corp., 5.59%, 5/17/25 | 1,268,000 | 1,369,965 |
Norfolk Southern Corp., 7.05%, 5/1/37 | 1,400,000 | 1,699,624 |
Southwest Airlines Co. 1994-A Pass Through Trust, Series A3, 8.7%, 7/1/11 | 682 | 682 |
Waste Management Inc., 7.125%, 12/15/17 | 2,465,000 | 2,923,507 |
17,728,319 | ||
Information Technology - 1.2% | ||
Cisco Systems Inc., 5.5%, 2/22/16 | 2,400,000 | 2,728,814 |
Xerox Corp., 6.875%, 8/15/11 | 2,640,000 | 2,657,725 |
5,386,539 | ||
Materials - 1.2% | ||
Westvaco Corp., 8.2%, 1/15/30 | 2,250,000 | 2,437,252 |
Weyerhaeuser Co., 7.375%, 3/15/32 | 3,000,000 | 3,121,893 |
5,559,145 | ||
Telecommunication Services - 1.7% | ||
Comcast Cable Communications Holdings Inc., 9.455%, 11/15/22 | 3,080,000 | 4,284,714 |
Rogers Communications Inc. (F), 6.25%, 6/15/13 | 3,000,000 | 3,290,178 |
7,574,892 | ||
Utilities - 4.7% | ||
Indianapolis Power & Light Co. (C) (D), 6.05%, 10/1/36 | 3,445,000 | 3,667,788 |
Interstate Power & Light Co., 6.25%, 7/15/39 | 2,925,000 | 3,250,573 |
Sierra Pacific Power Co., Series M, 6%, 5/15/16 | 3,250,000 | 3,716,498 |
Southern Power Co., Series B, 6.25%, 7/15/12 | 3,500,000 | 3,681,549 |
Southwestern Electric Power Co., Series E, 5.55%, 1/15/17 | 2,165,000 | 2,344,682 |
Virginia Electric and Power Co., Series C, 5.1%, 11/30/12 | 1,165,000 | 1,233,840 |
Wisconsin Electric Power Co., 6.5%, 6/1/28 | 3,000,000 | 3,427,911 |
21,322,841 | ||
Total Corporate Notes and Bonds ( Cost $115,349,273 ) | 120,000,187 |
See accompanying Notes to Financial Statements.
35
Ultra Series Fund | June 30, 2011
Bond Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
MORTGAGE BACKED SECURITIES - 21.4% | ||
Fannie Mae - 18.0% | ||
4%, 4/1/15 Pool # 255719 | $ 964,881 | $ 996,143 |
5.5%, 4/1/16 Pool # 745444 | 1,331,146 | 1,434,539 |
6%, 5/1/16 Pool # 582558 | 86,608 | 94,695 |
5.5%, 9/1/17 Pool # 657335 | 208,376 | 226,303 |
5.5%, 2/1/18 Pool # 673194 | 493,636 | 536,105 |
5%, 5/1/20 Pool # 813965 | 1,870,649 | 2,023,826 |
4.5%, 9/1/20 Pool # 835465 | 1,626,995 | 1,739,960 |
6%, 5/1/21 Pool # 253847 | 221,899 | 243,173 |
7%, 12/1/29 Pool # 762813 | 123,343 | 141,754 |
7%, 11/1/31 Pool # 607515 | 100,096 | 115,852 |
6.5%, 3/1/32 Pool # 631377 | 232,072 | 264,106 |
7%, 4/1/32 Pool # 641518 | 5,040 | 5,825 |
7%, 5/1/32 Pool # 644591 | 228,487 | 264,454 |
6.5%, 6/1/32 Pool # 545691 | 1,688,385 | 1,921,440 |
5.5%, 4/1/33 Pool # 690206 | 2,571,000 | 2,799,668 |
5%, 10/1/33 Pool # 254903 | 3,372,574 | 3,604,456 |
5.5%, 11/1/33 Pool # 555880 | 2,892,259 | 3,149,500 |
5%, 5/1/34 Pool # 782214 | 83,374 | 89,067 |
5%, 6/1/34 Pool # 778891 | 870,310 | 929,740 |
5.5%, 6/1/34 Pool # 780384 | 3,065,602 | 3,336,345 |
7%, 7/1/34 Pool # 792636 | 82,079 | 95,370 |
5.5%, 8/1/34 Pool # 793647 | 337,290 | 367,606 |
5.5%, 3/1/35 Pool # 810075 | 1,712,100 | 1,861,702 |
5.5%, 3/1/35 Pool # 815976 | 1,760,046 | 1,915,487 |
5.5%, 7/1/35 Pool # 825283 | 2,070,381 | 2,253,069 |
5%, 8/1/35 Pool # 829670 | 2,708,992 | 2,892,286 |
5.5%, 8/1/35 Pool # 826872 | 977,545 | 1,063,191 |
5%, 9/1/35 Pool # 820347 | 2,494,681 | 2,679,066 |
5%, 9/1/35 Pool # 835699 | 2,344,389 | 2,517,665 |
5%, 10/1/35 Pool # 797669 | 3,676,101 | 3,938,616 |
5.5%, 10/1/35 Pool # 836912 | 363,277 | 395,020 |
5%, 11/1/35 Pool # 844809 | 2,172,757 | 2,319,769 |
5%, 12/1/35 Pool # 850561 | 2,150,735 | 2,296,256 |
5.5%, 2/1/36 Pool # 851330 | 989,032 | 1,076,379 |
5.5%, 10/1/36 Pool # 896340 | 725,180 | 788,546 |
5.5%, 10/1/36 Pool # 901723 | 4,036,642 | 4,377,376 |
6.5%, 10/1/36 Pool # 894118 | 1,947,340 | 2,213,097 |
6%, 11/1/36 Pool # 902510 | 3,070,407 | 3,405,954 |
5.5%, 2/1/37 Pool # 905140 | 2,715,453 | 2,959,515 |
5.5%, 5/1/37 Pool # 899323 | 2,041,891 | 2,220,310 |
5.5%, 5/1/37 Pool # 928292 | 1,571,278 | 1,712,503 |
6%, 10/1/37 Pool # 947563 | 2,799,579 | 3,105,529 |
5.5%, 7/1/38 Pool # 986973 | 3,035,595 | 3,301,032 |
5%, 8/1/38 Pool # 988934 | 3,387,952 | 3,617,185 |
6.5%, 8/1/38 Pool # 987711 | 3,221,052 | 3,649,884 |
80,939,364 | ||
Par Value | Value (Note 2) | |
Freddie Mac - 3.3% | ||
5%, 5/1/18 Pool # E96322 | $1,408,555 | $ 1,522,133 |
8%, 6/1/30 Pool # C01005 | 68,297 | 81,159 |
7%, 3/1/31 Pool # C48129 | 256,149 | 297,365 |
5%, 7/1/33 Pool # A11325 | 2,316,077 | 2,474,199 |
6%, 10/1/34 Pool # A28439 | 473,876 | 524,108 |
6%, 10/1/34 Pool # A28598 | 268,926 | 297,432 |
5.5%, 11/1/34 Pool # A28282 | 3,787,978 | 4,131,397 |
5%, 4/1/35 Pool # A32314 | 436,084 | 466,606 |
5%, 4/1/35 Pool # A32315 | 981,021 | 1,052,135 |
5%, 4/1/35 Pool # A32316 | 1,096,867 | 1,176,379 |
5%, 4/1/35 Pool # A32509 | 280,857 | 301,216 |
5%, 1/1/37 Pool # A56371 | 2,579,928 | 2,745,985 |
15,070,114 | ||
Ginnie Mae - 0.1% | ||
8%, 10/20/15 Pool # 2995 | 47,467 | 51,959 |
6.5%, 2/20/29 Pool # 2714 | 169,157 | 191,632 |
6.5%, 4/20/31 Pool # 3068 | 130,754 | 148,106 |
391,697 | ||
Total Mortgage Backed Securities ( Cost $88,146,159 ) | 96,401,175 | |
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 46.9% | ||
Fannie Mae - 1.5% | ||
5.250%, 8/1/12 | 2,400,000 | 2,524,749 |
4.625%, 10/15/14 | 3,905,000 | 4,345,328 |
6,870,077 | ||
Federal Farm Credit Bank - 1.1% | ||
5.875%, 10/3/16 | 4,000,000 | 4,727,096 |
Freddie Mac - 2.0% | ||
4.875%, 11/15/13 | 2,500,000 | 2,748,875 |
4.500%, 1/15/14 | 5,500,000 | 6,014,074 |
8,762,949 | ||
U.S. Treasury Bonds - 3.1% | ||
6.625%, 2/15/27 | 7,350,000 | 9,723,822 |
4.500%, 5/15/38 | 4,000,000 | 4,106,248 |
13,830,070 | ||
U.S. Treasury Notes - 39.2% | ||
4.625%, 12/31/11 | 18,100,000 | 18,504,426 |
1.375%, 2/15/12 | 11,400,000 | 11,487,723 |
4.625%, 2/29/12 | 6,425,000 | 6,615,745 |
1.375%, 5/15/12 | 2,625,000 | 2,651,455 |
4.875%, 6/30/12 | 6,000,000 | 6,276,798 |
3.625%, 5/15/13 | 4,000,000 | 4,237,188 |
3.125%, 8/31/13 | 2,710,000 | 2,862,649 |
4.000%, 2/15/14 | 9,500,000 | 10,319,375 |
See accompanying Notes to Financial Statements.
36
Ultra Series Fund | June 30, 2011
Bond Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | ||
U.S. Treasury Notes (continued) | ||
1.875%, 2/28/14 | $10,000,000 | $ 10,311,720 |
4.250%, 8/15/14 | 11,200,000 | 12,378,621 |
2.375%, 9/30/14 | 3,600,000 | 3,767,623 |
2.625%, 12/31/14 | 20,000,000 | 21,081,240 |
2.500%, 3/31/15 | 1,750,000 | 1,835,855 |
4.250%, 8/15/15 | 8,900,000 | 9,935,319 |
3.250%, 12/31/16 | 8,000,000 | 8,534,376 |
3.125%, 1/31/17 | 4,000,000 | 4,241,248 |
2.375%, 7/31/17 | 4,000,000 | 4,042,500 |
4.250%, 11/15/17 | 9,100,000 | 10,200,536 |
2.750%, 2/15/19 | 19,750,000 | 19,939,778 |
3.375%, 11/15/19 | 1,000,000 | 1,042,500 |
2.625%, 11/15/20 | 6,500,000 | 6,260,313 |
176,526,988 | ||
Total U.S. Government and Agency Obligations ( Cost $200,524,677 ) | 210,717,180 | |
Shares | ||
INVESTMENT COMPANY - 2.5% | ||
State Street Institutional U.S. Government Money Market Fund | 11,258,133 | 11,258,133 |
Total Investment Company ( Cost $11,258,133 ) | 11,258,133 | |
TOTAL INVESTMENTS - 99.3% ( Cost $423,268,361** ) | 446,627,982 | |
NET OTHER ASSETS AND LIABILITIES - 0.7% | 3,166,435 | |
TOTAL NET ASSETS - 100.0% | $449,794,417 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $423,268,361. |
(A) | 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. |
(B) | Floating rate or variable rate note. Rate shown is as of June 30, 2011. |
(C) | Illiquid security (See Note 2). |
(D) | 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." |
(E) | In default. Issuer is bankrupt. |
(F) | Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 0.73% of total net assets. |
See accompanying Notes to Financial Statements.
37
Ultra Series Fund | June 30, 2011
High Income Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
CORPORATE NOTES AND BONDS - 92.4% | ||
Consumer Discretionary - 29.7% | ||
Auto Components - 2.4% | ||
American Axle & Manufacturing Holdings Inc. (A), 9.25%, 1/15/17 | $ 450,000 | $ 490,500 |
American Axle & Manufacturing Inc., 7.875%, 3/1/17 | 1,000,000 | 1,000,000 |
Tenneco Inc., 8.125%, 11/15/15 | 350,000 | 368,375 |
Visteon Corp. (A), 6.75%, 4/15/19 | 500,000 | 480,000 |
2,338,875 | ||
Consumer Finance - 0.5% | ||
Ally Financial Inc. (A), 7.5%, 9/15/20 | 500,000 | 522,500 |
Hotels, Restaurants & Leisure - 3.7% | ||
Ameristar Casinos Inc. (A), 7.5%, 4/15/21 | 500,000 | 515,625 |
Boyd Gaming Corp., 7.125%, 2/1/16 | 50,000 | 46,125 |
Felcor Lodging L.P. (A), 6.75%, 6/1/19 | 750,000 | 720,000 |
Isle of Capri Casinos Inc., 7%, 3/1/14 | 500,000 | 495,625 |
Penn National Gaming Inc., 6.75%, 3/1/15 | 300,000 | 306,750 |
Pinnacle Entertainment Inc., 8.625%, 8/1/17 | 500,000 | 536,875 |
Pinnacle Entertainment Inc., 8.75%, 5/15/20 | 300,000 | 314,250 |
Scientific Games International Inc. (A), 7.875%, 6/15/16 | 750,000 | 783,750 |
3,719,000 | ||
Household Durables - 1.6% | ||
Griffon Corp. (A), 7.125%, 4/1/18 | 500,000 | 501,875 |
Jarden Corp., 7.5%, 5/1/17 | 500,000 | 519,375 |
Spectrum Brands Holdings Inc. (A), 9.5%, 6/15/18 | 500,000 | 547,500 |
1,568,750 | ||
Media - 17.2% | ||
Allbritton Communications Co., 8%, 5/15/18 | 950,000 | 966,625 |
Belo Corp., 8%, 11/15/16 | 500,000 | 547,500 |
Cablevision Systems Corp., 7.75%, 4/15/18 | 250,000 | 266,563 |
Cablevision Systems Corp., 8%, 4/15/20 | 250,000 | 268,125 |
CCO Holdings LLC / CCO Holdings Capital Corp. (A), 8.125%, 4/30/20 | 1,000,000 | 1,080,000 |
CCO Holdings LLC / CCO Holdings Capital Corp., 6.5%, 4/30/21 | 750,000 | 739,687 |
Cengage Learning Acquisitions Inc. (A), 10.5%, 1/15/15 | 750,000 | 678,750 |
Cenveo Corp., 8.875%, 2/1/18 | 500,000 | 485,000 |
Cumulus Media Inc. (A), 7.75%, 5/1/19 | 500,000 | 482,500 |
DISH DBS Corp. (A), 6.75%, 6/1/21 | 925,000 | 948,125 |
EH Holding Corp. (A), 7.625%, 6/15/21 | 400,000 | 408,000 |
Gray Television Inc., 10.5%, 6/29/15 | 700,000 | 728,000 |
Hughes Network Systems LLC/HNS Finance Corp., 9.5%, 4/15/14 | 1,000,000 | 1,025,000 |
Intelsat Luxembourg S.A. (B), 11.25%, 2/4/17 | 1,250,000 | 1,342,187 |
Par Value | Value (Note 2) | |
Intelsat Luxembourg S.A., PIK (A) (B), 11.5%, 2/4/17 | $ 375,000 | $ 403,125 |
Interpublic Group of Cos. Inc./The (C), 4.25%, 3/15/23 | 125,000 | 142,969 |
Lamar Media Corp., 6.625%, 8/15/15 | 250,000 | 253,750 |
Lamar Media Corp., Series C, 6.625%, 8/15/15 | 500,000 | 505,625 |
Liberty Media LLC (C) (D), 3.125%, 3/30/23 | 250,000 | 298,438 |
LIN Television Corp., 6.5%, 5/15/13 | 950,000 | 951,187 |
Mediacom Broadband LLC / Mediacom Broadband Corp., 8.5%, 10/15/15 | 500,000 | 512,500 |
Nielsen Finance LLC / Nielsen Finance Co. (A), 7.75%, 10/15/18 | 500,000 | 525,000 |
Quebecor Media Inc. (B), 7.75%, 3/15/16 | 500,000 | 516,875 |
Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH (A) (B), 8.125%, 12/1/17 | 1,000,000 | 1,062,500 |
Viasat Inc., 8.875%, 9/15/16 | 500,000 | 530,000 |
Virgin Media Finance PLC (B), 9.125%, 8/15/16 | 850,000 | 894,625 |
XM Satellite Radio Inc. (A), 7.625%, 11/1/18 | 500,000 | 522,500 |
17,085,156 | ||
Multiline Retail - 0.4% | ||
Sears Holding Corp. (A), 6.625%, 10/15/18 | 450,000 | 417,375 |
Specialty Retail - 1.8% | ||
Ltd. Brands Inc., 6.9%, 7/15/17 | 250,000 | 267,813 |
Penske Automotive Group Inc., 7.75%, 12/15/16 | 750,000 | 765,000 |
Yankee Acquisition Corp./MA, Series B, 8.5%, 2/15/15 | 750,000 | 772,500 |
1,805,313 | ||
Textiles, Apparel & Luxury Goods - 2.1% | ||
Hanesbrands Inc., 6.375%, 12/15/20 | 250,000 | 242,500 |
Iconix Brand Group Inc. (C), 1.875%, 6/30/12 | 725,000 | 759,437 |
Levi Strauss & Co., 7.625%, 5/15/20 | 500,000 | 500,000 |
Phillips-Van Heusen Corp., 7.375%, 5/15/20 | 500,000 | 535,000 |
2,036,937 | ||
Consumer Staples - 8.3% | ||
ACCO Brands Corp., 10.625%, 3/15/15 | 250,000 | 279,062 |
ACCO Brands Corp., 7.625%, 8/15/15 | 500,000 | 497,500 |
Blue Merger Sub Inc. (A), 7.625%, 2/15/19 | 1,000,000 | 1,010,000 |
Central Garden and Pet Co., 8.25%, 3/1/18 | 500,000 | 516,250 |
Dole Food Co. Inc. (A), 8%, 10/1/16 | 200,000 | 209,500 |
Ingles Markets Inc., 8.875%, 5/15/17 | 750,000 | 802,500 |
NBTY Inc. (A), 9%, 10/1/18 | 1,000,000 | 1,055,000 |
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp. (A), 9.25%, 4/1/15 | 1,000,000 | 1,037,500 |
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp. (A), 8.25%, 9/1/17 | 500,000 | 518,750 |
See accompanying Notes to Financial Statements.
38
Ultra Series Fund | June 30, 2011
High Income Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
CORPORATE NOTES AND BONDS (continued) | ||
Consumer Staples (continued) | ||
Sealy Mattress Co., 8.25%, 6/15/14 | $ 250,000 | $ 250,625 |
Stater Brothers Holdings, 7.75%, 4/15/15 | 500,000 | 517,500 |
SUPERVALU Inc., 7.5%, 11/15/14 | 500,000 | 500,000 |
SUPERVALU Inc., 8%, 5/1/16 | 500,000 | 510,000 |
Tops Markets LLC (A), 10.125%, 10/15/15 | 500,000 | 530,625 |
8,234,812 | ||
Energy - 6.6% | ||
Chaparral Energy Inc., 8.875%, 2/1/17 | 500,000 | 517,500 |
Chaparral Energy Inc. (A), 8.25%, 9/1/21 | 500,000 | 503,750 |
Complete Production Services Inc., 8%, 12/15/16 | 750,000 | 783,750 |
Continental Resources Inc./OK, 8.25%, 10/1/19 | 250,000 | 273,125 |
Copano Energy LLC / Copano Energy Finance Corp., 7.125%, 4/1/21 | 550,000 | 543,125 |
Exterran Holdings Inc. (A), 7.25%, 12/1/18 | 500,000 | 505,000 |
Ferrellgas Partners L.P. / Ferrellgas Partners Finance Corp., 8.625%, 6/15/20 | 488,000 | 514,840 |
Helix Energy Solutions Group Inc. (A), 9.5%, 1/15/16 | 150,000 | 154,500 |
Helix Energy Solutions Group Inc. (C), 3.25%, 12/15/25 | 750,000 | 745,313 |
Inergy L.P./Inergy Finance Corp. (A), 6.875%, 8/1/21 | 500,000 | 500,000 |
Regency Energy Partners L.P. / Regency Energy Finance Corp., 6.875%, 12/1/18 | 500,000 | 517,500 |
Regency Energy Partners L.P. / Regency Energy Finance Corp., 6.5%, 7/15/21 | 750,000 | 759,375 |
Unit Corp., 6.625%, 5/15/21 | 250,000 | 248,672 |
6,566,450 | ||
Financials - 3.4% | ||
CIT Group Inc. (A), 7%, 5/2/16 | 600,000 | 597,750 |
CIT Group Inc. (A), 7%, 5/2/17 | 750,000 | 748,125 |
MPT Operating Partnership L.P./MPT Finance Corp. (A), 6.875%, 5/1/21 | 500,000 | 491,250 |
Nuveen Investments Inc., 10.5%, 11/15/15 | 1,000,000 | 1,022,500 |
Trans Union LLC/TransUnion Financing Corp. (A), 11.375%, 6/15/18 | 500,000 | 565,000 |
3,424,625 | ||
Health Care - 7.5% | ||
AMGH Merger Sub Inc. (A), 9.25%, 11/1/18 | 500,000 | 527,500 |
Biomet Inc., 10%, 10/15/17 | 250,000 | 272,500 |
Biomet Inc., 11.625%, 10/15/17 | 750,000 | 830,625 |
Capella Healthcare Inc. (A), 9.25%, 7/1/17 | 150,000 | 158,250 |
DaVita Inc., 6.375%, 11/1/18 | 500,000 | 506,250 |
Par Value | Value (Note 2) | |
Endo Pharmaceuticals Holdings Inc. (A), 7%, 12/15/20 | $ 500,000 | $ 513,750 |
Endo Pharmaceuticals Holdings Inc. (A), 7.25%, 1/15/22 | 500,000 | 507,500 |
Hologic Inc. (C) (D), 2%, 12/15/37 | 850,000 | 824,500 |
LifePoint Hospitals Inc. (C), 3.5%, 5/15/14 | 750,000 | 802,500 |
Tenet Healthcare Corp., 8%, 8/1/20 | 1,000,000 | 1,016,250 |
Valeant Pharmaceuticals International (A), 7%, 10/1/20 | 1,000,000 | 967,500 |
Vanguard Health Holding Co. II LLC / Vanguard Holding Co. II Inc. (A), 7.75%, 2/1/19 | 500,000 | 506,250 |
7,433,375 | ||
Industrials - 16.0% | ||
Affinion Group Inc., 11.5%, 10/15/15 | 750,000 | 774,375 |
ARAMARK Corp., 8.5%, 2/1/15 | 1,000,000 | 1,038,750 |
ARAMARK Holdings Corp., PIK (A), 8.625%, 5/1/16 | 500,000 | 508,750 |
Avis Budget Car Rental LLC / Avis Budget Finance Inc. (D), 7.625%, 5/15/14 | 267,000 | 271,005 |
Avis Budget Car Rental LLC / Avis Budget Finance Inc., 8.25%, 1/15/19 | 500,000 | 506,250 |
Bristow Group Inc., 7.5%, 9/15/17 | 750,000 | 785,625 |
FTI Consulting Inc., 7.75%, 10/1/16 | 750,000 | 783,750 |
Gulfmark Offshore Inc. (E) (D), 7.75%, 7/15/14 | 255,000 | 257,550 |
Hertz Corp./The, 8.875%, 1/1/14 | 46,000 | 47,150 |
Hertz Corp./The (A), 6.75%, 4/15/19 | 500,000 | 495,000 |
Hornbeck Offshore Services Inc., Series B, 6.125%, 12/1/14 | 695,000 | 688,050 |
Mac-Gray Corp., 7.625%, 8/15/15 | 500,000 | 510,000 |
Moog Inc., 7.25%, 6/15/18 | 500,000 | 530,625 |
Pinafore LLC/Pinafore Inc. (A), 9%, 10/1/18 | 1,000,000 | 1,077,500 |
RBS Global Inc./Rexnord LLC, 8.5%, 5/1/18 | 500,000 | 528,125 |
RR Donnelley & Sons Co., 7.25%, 5/15/18 | 1,000,000 | 1,000,000 |
RSC Equipment Rental Inc./RSC Holdings III LLC, 9.5%, 12/1/14 | 730,000 | 748,250 |
RSC Equipment Rental Inc./RSC Holdings III LLC (A), 8.25%, 2/1/21 | 500,000 | 497,500 |
ServiceMaster Co./The, PIK (A), 10.75%, 7/15/15 | 1,000,000 | 1,055,000 |
Terex Corp., 8%, 11/15/17 | 550,000 | 563,750 |
Texas Industries Inc., 9.25%, 8/15/20 | 400,000 | 387,000 |
Trinity Industries Inc. (C), 3.875%, 6/1/36 | 1,000,000 | 1,043,750 |
United Rentals North America Inc., 10.875%, 6/15/16 | 250,000 | 279,687 |
United Rentals North America Inc., 8.375%, 9/15/20 | 500,000 | 506,250 |
USG Corp. (D), 9.75%, 1/15/18 | 500,000 | 492,500 |
West Corp./Old, 11%, 10/15/16 | 450,000 | 477,000 |
15,853,192 |
See accompanying Notes to Financial Statements.
39
Ultra Series Fund | June 30, 2011
High Income Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
CORPORATE NOTES AND BONDS (continued) | ||
Information Technology - 4.3% | ||
Advanced Micro Devices Inc. (C), 6%, 5/1/15 | $ 77,000 | $ 78,059 |
Advanced Micro Devices Inc., 8.125%, 12/15/17 | 550,000 | 574,750 |
Advanced Micro Devices Inc., 7.75%, 8/1/20 | 500,000 | 515,000 |
Buccaneer Merger Sub Inc. (A), 9.125%, 1/15/19 | 500,000 | 520,000 |
General Cable Corp. (C), 0.875%, 11/15/13 | 450,000 | 486,000 |
Linear Technology Corp., Series A (C), 3%, 5/1/27 | 450,000 | 476,438 |
MetroPCS Wireless Inc., 6.625%, 11/15/20 | 250,000 | 247,500 |
SanDisk Corp. (C), 1%, 5/15/13 | 850,000 | 821,312 |
SunGard Data Systems Inc. (A), 7.375%, 11/15/18 | 500,000 | 500,000 |
4,219,059 | ||
Materials - 6.8% | ||
Alpha Natural Resources Inc., 6.25%, 6/1/21 | 1,250,000 | 1,256,250 |
Calcipar S.A. (A), 6.875%, 5/1/18 | 500,000 | 501,250 |
Cascades Inc. (B), 7.875%, 1/15/20 | 250,000 | 260,313 |
Ferro Corp., 7.875%, 8/15/18 | 500,000 | 518,750 |
FMG Resources August 2006 Pty Ltd. (A) (B), 7%, 11/1/15 | 1,000,000 | 1,020,000 |
Graham Packaging Co. L.P./GPC Capital Corp. I (A), 8.25%, 1/1/17 | 100,000 | 111,500 |
Graphic Packaging International Inc., 9.5%, 6/15/17 | 350,000 | 383,250 |
Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC, 8.875%, 2/1/18 | 250,000 | 260,000 |
Huntsman International LLC, 5.5%, 6/30/16 | 500,000 | 491,875 |
JMC Steel Group (A), 8.25%, 3/15/18 | 1,000,000 | 1,015,000 |
Reynolds Group Holdings Ltd. (A), 8.25%, 2/15/21 | 500,000 | 467,500 |
Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC (A), 8.75%, 5/15/18 | 250,000 | 245,625 |
Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC (A), 9%, 4/15/19 | 250,000 | 246,875 |
6,778,188 | ||
Telecommunication Services - 6.8% | ||
Avaya Inc., 9.75%, 11/1/15 | 1,000,000 | 1,020,000 |
CommScope Inc. (A), 8.25%, 1/15/19 | 500,000 | 515,000 |
PAETEC Holding Corp., 8.875%, 6/30/17 | 900,000 | 945,000 |
Qwest Communications International Inc. (D), 7.5%, 2/15/14 | 500,000 | 507,500 |
Qwest Communications International Inc., Series B, 7.5%, 2/15/14 | 500,000 | 507,500 |
tw telecom holdings, Inc., 8%, 3/1/18 | 500,000 | 533,125 |
Par Value | Value (Note 2) | |
Wind Acquisition Finance S.A. (A) (B), 11.75%, 7/15/17 | $1,000,000 | $ 1,132,500 |
Windstream Corp., 7.875%, 11/1/17 | 250,000 | 265,313 |
Windstream Corp., 7%, 3/15/19 | 250,000 | 252,500 |
Windstream Corp., 7.75%, 10/15/20 | 1,000,000 | 1,047,500 |
6,725,938 | ||
Utilities - 3.0% | ||
AES Corp./The, 8%, 6/1/20 | 500,000 | 532,500 |
Calpine Corp. (A), 7.25%, 10/15/17 | 910,000 | 923,650 |
GenOn Energy Inc., 7.875%, 6/15/17 | 500,000 | 502,500 |
Mirant Americas Generation LLC, 8.5%, 10/1/21 | 500,000 | 512,500 |
NRG Energy Inc. (A), 8.25%, 9/1/20 | 475,000 | 484,500 |
2,955,650 | ||
Total Corporate Notes and Bonds ( Cost $87,839,998 ) | 91,685,195 | |
Shares | ||
PREFERRED STOCK - 1.1% | ||
Information Technology - 1.1% | ||
Lucent Technologies Capital Trust I | 1,100 | 1,082,125 |
Total Preferred Stocks ( Cost $1,081,031 ) | 1,082,125 | |
INVESTMENT COMPANY - 5.1% | ||
State Street Institutional U.S. Government Money Market Fund | 5,018,202 | 5,018,202 |
Total Investment Company ( Cost $5,018,202 ) | 5,018,202 | |
TOTAL INVESTMENTS - 98.6% ( Cost $93,939,231** ) | 97,785,522 | |
NET OTHER ASSETS AND LIABILITIES - 1.4% | 1,382,259 | |
TOTAL NET ASSETS - 100.0% | $ 99,167,781 |
** | Aggregate cost for Federal tax purposes was $93,939,231. |
(A) | 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." |
(B) | Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 6.69% of total net assets. |
(C) | Convertible. |
(D) | Floating rate or variable rate note. Rate shown is as of June 30, 2011. |
(E) | Illiquid security (Note 2). |
PIK | Payment in Kind. |
PLC | Public Limited Company. |
ULC | Unlimited Limited Company. |
See accompanying Notes to Financial Statements.
40
Ultra Series Fund | June 30, 2011
Diversified Income Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 52.4% | ||
Consumer Discretionary - 3.8% | ||
McDonald’s Corp. | 48,000 | $ 4,047,360 |
Omnicom Group Inc. | 71,500 | 3,443,440 |
Target Corp. | 67,000 | 3,142,970 |
Time Warner Inc. | 68,000 | 2,473,160 |
VF Corp. | 23,000 | 2,496,880 |
15,603,810 | ||
Consumer Staples - 8.1% | ||
Altria Group Inc. | 91,000 | 2,403,310 |
Coca-Cola Co./The | 68,500 | 4,609,365 |
Diageo PLC, ADR | 30,000 | 2,456,100 |
Kraft Foods Inc., Class A | 169,018 | 5,954,504 |
PepsiCo Inc./NC | 91,000 | 6,409,130 |
Philip Morris International Inc. | 66,000 | 4,406,820 |
Procter & Gamble Co./The | 74,000 | 4,704,180 |
Sysco Corp. | 82,000 | 2,556,760 |
33,500,169 | ||
Energy - 6.5% | ||
Chevron Corp. | 95,000 | 9,769,800 |
ConocoPhillips | 116,000 | 8,722,040 |
Ensco PLC, ADR | 53,000 | 2,824,900 |
Marathon Oil Corp. | 50,500 | 2,660,340 |
Spectra Energy Corp. | 114,500 | 3,138,445 |
27,115,525 | ||
Financials - 6.9% | ||
Axis Capital Holdings Ltd. | 97,000 | 3,003,120 |
Bank of New York Mellon Corp./The | 109,100 | 2,795,142 |
Northern Trust Corp. | 45,000 | 2,068,200 |
PartnerRe Ltd. | 35,000 | 2,409,750 |
Travelers Cos. Inc./The | 98,000 | 5,721,240 |
US Bancorp | 230,000 | 5,867,300 |
Wells Fargo & Co. | 149,000 | 4,180,940 |
Willis Group Holdings PLC | 63,000 | 2,589,930 |
28,635,622 | ||
Health Care - 8.4% | ||
Johnson & Johnson | 135,000 | 8,980,200 |
Medtronic Inc. | 107,000 | 4,122,710 |
Merck & Co. Inc. | 222,000 | 7,834,380 |
Novartis AG, ADR | 80,000 | 4,888,800 |
Pfizer Inc. | 452,019 | 9,311,592 |
35,137,682 | ||
Industrials - 7.5% | ||
3M Co. | 56,000 | 5,311,600 |
Boeing Co./The | 33,000 | 2,439,690 |
Emerson Electric Co. | 45,000 | 2,531,250 |
Illinois Tool Works Inc. | 87,000 | 4,914,630 |
Shares | Value (Note 2) | |
Lockheed Martin Corp. | 45,000 | $ 3,643,650 |
Norfolk Southern Corp. | 37,000 | 2,772,410 |
United Parcel Service Inc., Class B | 33,000 | 2,406,690 |
United Technologies Corp. | 26,800 | 2,372,068 |
Waste Management Inc. | 127,000 | 4,733,290 |
31,125,278 | ||
Information Technology - 6.6% | ||
Broadridge Financial Solutions Inc. | 146,000 | 3,514,220 |
Intel Corp. | 346,000 | 7,667,360 |
International Business Machines Corp. | 22,200 | 3,808,410 |
Linear Technology Corp. | 90,000 | 2,971,800 |
Microsoft Corp. | 242,000 | 6,292,000 |
Paychex Inc. | 105,000 | 3,225,600 |
27,479,390 | ||
Materials - 1.4% | ||
Air Products & Chemicals Inc. | 40,000 | 3,823,200 |
Nucor Corp. | 50,000 | 2,061,000 |
5,884,200 | ||
Telecommunication Service - 1.9% | ||
AT&T Inc. | 255,015 | 8,010,021 |
Utilities - 1.3% | ||
Exelon Corp. | 60,000 | 2,570,400 |
FirstEnergy Corp. | 67,000 | 2,958,050 |
5,528,450 | ||
Total Common Stocks ( Cost $181,521,200 ) | 218,020,147 | |
Par Value | ||
ASSET BACKED SECURITIES - 1.1% | ||
ABSC Long Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (A), 8.55%, 9/21/30 | $ 599,648 | 617,134 |
CarMax Auto Owner Trust, Series 2007-2, Class B, 5.37%, 3/15/13 | 1,975,000 | 1,985,914 |
Chase Issuance Trust, Series 2007-A17, Class A, 5.12%, 10/15/14 | 2,045,000 | 2,165,090 |
Total Asset Backed Securities ( Cost $4,636,247 ) | 4,768,138 | |
CORPORATE NOTES AND BONDS - 17.5% | ||
Consumer Discretionary - 1.6% | ||
American Association of Retired Persons (B) (C), 7.5%, 5/1/31 | 2,000,000 | 2,502,822 |
DR Horton Inc., 5.25%, 2/15/15 | 515,000 | 521,437 |
ERAC USA Finance LLC (B) (C), 6.7%, 6/1/34 | 1,850,000 | 1,981,615 |
Royal Caribbean Cruises Ltd. (D), 7.25%, 6/15/16 | 1,600,000 | 1,720,000 |
6,725,874 |
See accompanying Notes to Financial Statements.
41
Ultra Series Fund | June 30, 2011
Diversified Income Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
CORPORATE NOTES AND BONDS (continued) | ||
Consumer Staples - 1.0% | ||
Kraft Foods Inc., 6.5%, 11/1/31 | $2,025,000 | $ 2,306,011 |
PepsiCo Inc., 4.65%, 2/15/13 | 620,000 | 658,841 |
WM Wrigley Jr. Co. (B) (C), 3.05%, 6/28/13 | 1,310,000 | 1,339,085 |
4,303,937 | ||
Energy - 1.3% | ||
ConocoPhillips, 6.65%, 7/15/18 | $1,500,000 | 1,796,508 |
Hess Corp., 7.875%, 10/1/29 | 1,150,000 | 1,443,948 |
Transocean Inc., 6%, 3/15/18 | 750,000 | 830,387 |
Transocean Inc., 7.5%, 4/15/31 | 1,030,000 | 1,159,817 |
5,230,660 | ||
Financials - 3.4% | ||
American General Finance Corp., 5.85%, 6/1/13 | 1,115,000 | 1,101,063 |
HCP Inc., 6.7%, 1/30/18 | 1,450,000 | 1,621,013 |
Lehman Brothers Holdings Inc. * (E), 5.75%, 1/3/17 | 1,735,000 | 868 |
National Rural Utilities Cooperative Finance Corp., Series C, 7.25%, 3/1/12 | 2,400,000 | 2,505,487 |
Nationwide Health Properties Inc., Series D, 8.25%, 7/1/12 | 2,400,000 | 2,514,005 |
Simon Property Group L.P., 5.875%, 3/1/17 | 530,000 | 600,206 |
Swiss Re Solutions Holding Corp., 7%, 2/15/26 | 1,000,000 | 1,094,158 |
US Bank NA/Cincinnati OH, 6.3%, 2/4/14 | 2,000,000 | 2,228,890 |
Wells Fargo & Co., 5.25%, 10/23/12 | 1,450,000 | 1,529,883 |
Western Union Co./The, 5.93%, 10/1/16 | 935,000 | 1,057,241 |
14,252,814 | ||
Health Care - 3.1% | ||
Amgen Inc., 5.85%, 6/1/17 | 3,950,000 | 4,573,930 |
Eli Lilly & Co., 6.57%, 1/1/16 | 1,200,000 | 1,415,341 |
Genentech Inc., 5.25%, 7/15/35 | 740,000 | 743,412 |
Medco Health Solutions Inc., 7.25%, 8/15/13 | 1,550,000 | 1,725,744 |
Merck & Co. Inc., 5.75%, 11/15/36 | 1,320,000 | 1,426,223 |
Quest Diagnostics Inc./DE, 5.45%, 11/1/15 | 1,500,000 | 1,671,726 |
Wyeth, 6.5%, 2/1/34 | 1,100,000 | 1,262,050 |
12,818,426 | ||
Industrials - 1.8% | ||
Boeing Co./The, 8.625%, 11/15/31 | 350,000 | 471,530 |
Boeing Co./The, 6.875%, 10/15/43 | 620,000 | 732,196 |
Burlington Northern Santa Fe LLC, 8.125%, 4/15/20 | 1,365,000 | 1,726,107 |
EI du Pont de Nemours & Co., 5%, 1/15/13 | 103,000 | 109,580 |
Lockheed Martin Corp., 7.65%, 5/1/16 | 780,000 | 956,541 |
Norfolk Southern Corp., 5.59%, 5/17/25 | 957,000 | 1,033,956 |
Norfolk Southern Corp., 7.05%, 5/1/37 | 1,050,000 | 1,274,718 |
Waste Management Inc., 7.125%, 12/15/17 | 1,150,000 | 1,363,908 |
7,668,536 | ||
Par Value | Value (Note 2) | |
Information Technology - 0.3% | ||
Cisco Systems Inc., 5.5%, 2/22/16 | $ 960,000 | $ 1,091,526 |
Materials - 0.3% | ||
Westvaco Corp., 8.2%, 1/15/30 | 1,025,000 | 1,110,303 |
Telecommunication Services - 0.9% | ||
Comcast Cable Communications Holdings Inc., 9.455%, 11/15/22 | 1,780,000 | 2,476,231 |
Rogers Communications Inc. (D), 6.25%, 6/15/13 | 1,315,000 | 1,442,195 |
3,918,426 | ||
Utilities - 3.8% | ||
Indianapolis Power & Light Co. (B) (C), 6.05%, 10/1/36 | 1,555,000 | 1,655,562 |
Interstate Power & Light Co., 6.25%, 7/15/39 | 1,365,000 | 1,516,934 |
MidAmerican Energy Co., 5.65%, 7/15/12 | 4,000,000 | 4,204,192 |
Nevada Power Co., Series R, 6.75%, 7/1/37 | 1,600,000 | 1,875,078 |
Sierra Pacific Power Co., Series M, 6%, 5/15/16 | 474,000 | 542,037 |
Southern Power Co., Series B, 6.25%, 7/15/12 | 1,500,000 | 1,577,807 |
Southwestern Electric Power Co., Series E, 5.55%, 1/15/17 | 835,000 | 904,300 |
Virginia Electric and Power Co., Series C, 5.1%, 11/30/12 | 620,000 | 656,636 |
Westar Energy Inc., 6%, 7/1/14 | 2,400,000 | 2,651,911 |
15,584,457 | ||
Total Corporate Notes and Bonds ( Cost $69,016,386 ) | 72,704,959 | |
MORTGAGE BACKED SECURITIES - 9.7% | ||
Fannie Mae - 8.3% | ||
4%, 4/1/15 Pool # 255719 | 452,996 | 467,673 |
5.5%, 4/1/16 Pool # 745444 | 514,431 | 554,388 |
6%, 5/1/16 Pool # 582558 | 158,780 | 173,607 |
5%, 12/1/17 Pool # 672243 | 1,059,679 | 1,145,457 |
4.5%, 9/1/20 Pool # 835465 | 1,000,202 | 1,069,648 |
6%, 5/1/21 Pool # 253847 | 188,780 | 206,879 |
7%, 12/1/29 Pool # 762813 | 57,763 | 66,384 |
7%, 11/1/31 Pool # 607515 | 100,096 | 115,852 |
7%, 4/1/32 Pool # 641518 | 2,699 | 3,120 |
7%, 5/1/32 Pool # 644591 | 125,614 | 145,388 |
5.5%, 10/1/33 Pool # 254904 | 892,636 | 972,028 |
5.5%, 11/1/33 Pool # 555880 | 2,892,259 | 3,149,500 |
5%, 5/1/34 Pool # 780890 | 3,071,506 | 3,281,248 |
7%, 7/1/34 Pool # 792636 | 39,286 | 45,648 |
5.5%, 8/1/34 Pool # 793647 | 325,857 | 355,144 |
5.5%, 3/1/35 Pool # 815976 | 1,707,635 | 1,858,447 |
5.5%, 7/1/35 Pool # 825283 | 860,743 | 936,694 |
5.5%, 8/1/35 Pool # 826872 | 428,962 | 466,545 |
5%, 9/1/35 Pool # 820347 | 1,019,588 | 1,094,948 |
See accompanying Notes to Financial Statements.
42
Ultra Series Fund | June 30, 2011
Diversified Income Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
MORTGAGE BACKED SECURITIES (continued) | ||
Fannie Mae (continued) | ||
5%, 9/1/35 Pool # 835699 | $ 981,333 | $ 1,053,864 |
5%, 10/1/35 Pool # 797669 | 1,151,550 | 1,233,783 |
5.5%, 10/1/35 Pool # 836912 | 793,843 | 863,208 |
5%, 12/1/35 Pool # 850561 | 899,710 | 960,585 |
5.5%, 12/1/35 Pool # 844583 | 2,330,042 | 2,534,549 |
5.5%, 2/1/36 Pool # 851330 | 444,213 | 483,444 |
5.5%, 9/1/36 Pool # 831820 | 1,851,482 | 2,029,463 |
6%, 9/1/36 Pool # 831741 | 650,430 | 717,041 |
5.5%, 10/1/36 Pool # 896340 | 326,281 | 354,791 |
5.5%, 10/1/36 Pool # 901723 | 1,513,741 | 1,641,516 |
5.5%, 12/1/36 Pool # 902853 | 1,692,584 | 1,841,538 |
5.5%, 12/1/36 Pool # 903059 | 1,462,838 | 1,597,060 |
5.5%, 12/1/36 Pool # 907512 | 1,195,178 | 1,299,612 |
5.5%, 12/1/36 Pool # 907635 | 1,777,361 | 1,940,442 |
34,659,494 | ||
Freddie Mac - 1.4% | ||
8%, 6/1/30 Pool # C01005 | 54,638 | 64,927 |
6.5%, 1/1/32 Pool # C62333 | 194,988 | 220,967 |
5%, 7/1/33 Pool # A11325 | 2,316,077 | 2,474,198 |
6%, 10/1/34 Pool # A28439 | 219,768 | 243,065 |
6%, 10/1/34 Pool # A28598 | 124,719 | 137,940 |
5%, 4/1/35 Pool # A32314 | 235,819 | 252,324 |
5%, 4/1/35 Pool # A32315 | 438,069 | 469,825 |
5%, 4/1/35 Pool # A32316 | 377,047 | 404,378 |
5%, 4/1/35 Pool # A32509 | 186,530 | 200,051 |
5%, 1/1/37 Pool # A56371 | 1,289,964 | 1,372,992 |
5,840,667 | ||
Ginnie Mae – 0.0% | ||
6.5%, 4/20/31 Pool # 3068 | 107,679 | 121,969 |
Total Mortgage Backed Securities ( Cost $37,311,625 ) | 40,622,130 | |
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 13.5% | ||
U.S. Treasury Bond - 1.0% | ||
6.625%, 2/15/27 | 3,270,000 | 4,326,109 |
U.S. Treasury Notes - 12.5% | ||
1.000%, 7/31/11 | 3,000,000 | 3,002,343 |
4.625%, 12/31/11 | 3,150,000 | 3,220,384 |
1.375%, 2/15/12 | 1,125,000 | 1,133,657 |
4.625%, 2/29/12 | 3,400,000 | 3,500,939 |
1.375%, 5/15/12 | 1,312,000 | 1,325,222 |
4.000%, 11/15/12 | 2,500,000 | 2,625,585 |
3.625%, 5/15/13 | 1,980,000 | 2,097,408 |
Par Value | Value (Note 2) | |
3.125%, 8/31/13 | $1,175,000 | $ 1,241,185 |
4.000%, 2/15/14 | 4,810,000 | 5,224,862 |
4.250%, 8/15/14 | 4,965,000 | 5,487,487 |
2.375%, 9/30/14 | 1,400,000 | 1,465,187 |
2.500%, 3/31/15 | 795,000 | 834,003 |
4.500%, 2/15/16 | 3,550,000 | 4,015,107 |
3.250%, 12/31/16 | 2,500,000 | 2,666,992 |
3.125%, 1/31/17 | 2,000,000 | 2,120,624 |
2.375%, 7/31/17 | 2,000,000 | 2,021,250 |
4.250%, 11/15/17 | 5,100,000 | 5,716,784 |
2.750%, 2/15/19 | 1,300,000 | 1,312,492 |
3.375%, 11/15/19 | 1,000,000 | 1,042,500 |
2.625%, 11/15/20 | 1,900,000 | 1,829,937 |
51,883,948 | ||
Total U.S. Government and Agency Obligations ( Cost $53,452,533 ) | 56,210,057 | |
Shares | ||
INVESTMENT COMPANY - 5.3% | ||
State Street Institutional U.S. Government Money Market Fund | 22,035,769 | 22,035,769 |
Total Investment Company ( Cost $22,035,769 ) | 22,035,769 | |
TOTAL INVESTMENTS - 99.5% ( Cost $367,973,760** ) | 414,361,200 | |
NET OTHER ASSETS AND LIABILITIES - 0.5% | 2,011,090 | |
TOTAL NET ASSETS - 100.0% | $416,372,290 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $368,558,907. |
(A) | 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. |
(B) | 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." |
(C) | Illiquid security (See Note 2). |
(D) | Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 0.8% of total net assets. |
(E) | In default. Issuer is bankrupt. |
ADR | American Depositary Receipt. |
PLC | Public Limited Company. |
See accompanying Notes to Financial Statements.
43
Ultra Series Fund | June 30, 2011
Equity Income Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCK - 81.9% | ||
Consumer Discretionary - 14.9% | ||
American Eagle Outfitters Inc. | 4,200 | $ 53,550 |
Bed Bath & Beyond Inc.* | 1,300 | 75,881 |
Best Buy Co. Inc. | 1,500 | 47,115 |
CarMax Inc.* | 1,500 | 49,605 |
Kohl’s Corp. | 1,500 | 75,015 |
Staples Inc. | 3,500 | 55,300 |
Target Corp. | 1,600 | 75,056 |
431,522 | ||
Energy - 14.2% | ||
Apache Corp. | 1,000 | 123,390 |
Noble Corp.* | 2,000 | 78,820 |
Petroleo Brasileiro SAA., ADR | 2,100 | 71,106 |
Schlumberger Ltd. | 1,000 | 86,400 |
Southwestern Energy Co.* | 1,200 | 51,456 |
411,172 | ||
Financials - 11.1% | ||
Bank of New York Mellon Corp./The | 3,500 | 89,670 |
Goldman Sachs Group Inc./The | 300 | 39,927 |
Morgan Stanley | 2,500 | 57,525 |
State Street Corp. | 1,500 | 67,635 |
Wells Fargo & Co. | 2,400 | 67,344 |
322,101 | ||
Health Care - 15.0% | ||
Celgene Corp.* | 1,500 | 90,480 |
Gilead Sciences Inc.* | 1,500 | 62,115 |
Merck & Co. Inc.c. | 1,500 | 52,935 |
Mylan Inc./PA* | 4,000 | 98,680 |
Stryker Corp. | 1,000 | 58,690 |
Teva Pharmaceutical Industries Ltd., ADR | 1,500 | 72,330 |
435,230 | ||
Industrials - 2.1% | ||
Jacobs Engineering Group Inc.* | 1,400 | 60,550 |
Shares | Value (Note 2) | |
Information Technology - 24.6% | ||
Adobe Systems Inc.* | 2,000 | $ 62,900 |
Cisco Systems Inc. | 5,000 | 78,050 |
eBay Inc.* | 3,000 | 96,810 |
Google Inc., Class A* | 200 | 101,276 |
Hewlett-Packard Co. | 1,500 | 54,600 |
Intel Corp. | 1,900 | 42,104 |
Microsoft Corp. | 4,500 | 117,000 |
Visa Inc., Class A | 1,000 | 84,260 |
Yahoo! Inc.* | 5,000 | 75,200 |
712,200 | ||
Total Common Stock (Cost $2,415,657) | 2,372,775 | |
INVESTMENT COMPANIES - 4.4% | ||
iPATH S&P 500 VIX Short-Term Futures ETN* | 3,000 | 63,420 |
Powershares QQQ Trust Series 1 | 1,100 | 62,755 |
Total Investment Companies (Cost $157,840) | 126,175 | |
Repurchase Agreement - 17.0% | ||
With U.S. Bank National Association issued 6/30/11 at 0.01%, due 7/1/1, collateralized by $503,646 in Freddie Mac Pool # G11440 due 8/1/18. Proceeds at maturity are $493,501 (Cost $493,501) | 493,501 | |
TOTAL INVESTMENTS - 103.3% (Cost $3,066,998) | 2,992,451 | |
NET OTHER ASSETS AND LIABILITIES - 0.0% | 945 | |
Total Call Options Written - (3.3%) | (95,021) | |
TOTAL ASSETS - 100.0% | $ 2,898,375 |
* | Non-income producing. |
ADR | American Depository Receipt |
ETN | Exchange Traded Note |
See accompanying Notes to Financial Statements.
44
Ultra Series Fund | June 30, 2011
Equity Income Fund Portfolio of Investments (unaudited)
Call Options Written | Contracts (100 shares per contract) | Expiration Date | Exercise Price | Market Value |
Adobe Systems Inc. | 12 | October 2011 | $33.00 | $ 1,650 |
Adobe Systems Inc. | 8 | October 2011 | 34.00 | 812 |
Apache Corp. | 10 | October 2011 | 125.00 | 6,550 |
Bank of New York Mellon Corp./The | 25 | September 2011 | 31.00 | 88 |
Bed Bath & Beyond Inc. | 13 | August 2011 | 50.00 | 11,180 |
CarMax Inc. | 15 | October 2011 | 28.00 | 8,850 |
Celgene Corp. | 15 | July 2011 | 57.50 | 4,650 |
eBay Inc. | 30 | October 2011 | 31.00 | 9,300 |
Gilead Sciences Inc. | 15 | August 2011 | 41.00 | 2,752 |
Google Inc. | 2 | September 2011 | 560.00 | 1,040 |
Hewlett-Packard Co. | 15 | August 2011 | 42.00 | 90 |
Intel Corp. | 19 | October 2011 | 22.00 | 2,223 |
Jacobs Engineering Group Inc. | 14 | October 2011 | 46.00 | 2,380 |
Kohl’s Corp. | 15 | October 2011 | 55.00 | 1,162 |
Merck & Co. Inc. | 15 | October 2011 | 37.00 | 847 |
Microsoft Corp. | 45 | October 2011 | 26.00 | 5,153 |
Morgan Stanley | 16 | October 2011 | 27.00 | 512 |
Mylan Inc./PA | 40 | October 2011 | 23.00 | 10,200 |
Noble Corp. | 4 | September 2011 | 40.00 | 732 |
Noble Corp. | 16 | September 2011 | 41.00 | 2,248 |
Petroleo Brasileiro SAA, ADR | 21 | October 2011 | 38.00 | 851 |
Schlumberger Ltd. | 10 | August 2011 | 87.50 | 3,015 |
Southwestern Energy Co. | 12 | September 2011 | 45.00 | 1,662 |
State Street Corp. | 15 | August 2011 | 47.00 | 1,260 |
Stryker Corp. | 10 | September 2011 | 60.00 | 1,700 |
Teva Pharmaceutical Industries Ltd., ADR | 15 | September 2011 | 52.50 | 713 |
Visa Inc. | 10 | September 2011 | 77.50 | 8,375 |
Wells Fargo & Co. | 24 | October 2011 | 30.00 | 2,076 |
Yahoo! Inc. | 50 | October 2011 | 17.00 | 2,950 |
Total Call Options Written (Premiums received $97,979) | $95,021 |
See accompanying Notes to Financial Statements.
45
Ultra Series Fund | June 30, 2011
Large Cap Value Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 97.9% | ||
Consumer Discretionary - 6.5% | ||
Omnicom Group Inc. | 174,000 | $ 8,379,840 |
Target Corp. | 160,000 | 7,505,600 |
Time Warner Inc. | 165,000 | 6,001,050 |
TJX Cos. Inc. | 120,000 | 6,303,600 |
Viacom Inc. | 124,000 | 6,324,000 |
34,514,090 | ||
Consumer Staples - 11.0% | ||
Diageo PLC, ADR | 71,000 | 5,812,770 |
Kraft Foods Inc., Class A | 388,000 | 13,669,240 |
PepsiCo Inc. | 230,000 | 16,198,900 |
Philip Morris International Inc. | 77,000 | 5,141,290 |
Procter & Gamble Co./The | 187,000 | 11,887,590 |
Sysco Corp. | 191,000 | 5,955,380 |
58,665,170 | ||
Energy - 13.7% | ||
Canadian Natural Resources Ltd. | 134,000 | 5,609,240 |
Chevron Corp. | 169,546 | 17,436,110 |
ConocoPhillips | 170,000 | 12,782,300 |
Noble Corp. | 276,000 | 10,877,160 |
Occidental Petroleum Corp. | 169,500 | 17,634,780 |
Southwestern Energy Co. * | 200,000 | 8,576,000 |
72,915,590 | ||
Financials - 20.1% | ||
American Express Co. | 117,000 | 6,048,900 |
Arch Capital Group Ltd. * | 300,000 | 9,576,000 |
Bank of New York Mellon Corp./The | 530,000 | 13,578,600 |
Berkshire Hathaway Inc., Class B * | 105,000 | 8,125,950 |
Brookfield Asset Management Inc., Class A | 255,000 | 8,458,350 |
Travelers Cos. Inc./The | 173,500 | 10,128,930 |
US Bancorp | 770,000 | 19,642,700 |
Wells Fargo & Co. | 685,000 | 19,221,100 |
Willis Group Holdings PLC | 135,000 | 5,549,850 |
WR Berkley Corp. | 198,532 | 6,440,378 |
106,770,758 | ||
Health Care - 14.8% | ||
Johnson & Johnson | 320,000 | 21,286,400 |
Medtronic Inc. | 265,000 | 10,210,450 |
Merck & Co. Inc. | 471,000 | 16,621,590 |
Novartis AG, ADR | 98,000 | 5,988,780 |
Pfizer Inc. | 1,210,000 | 24,926,000 |
79,033,220 | ||
Shares | Value (Note 2) | |
Industrials - 13.4% | ||
3M Co. | 124,500 | $ 11,808,825 |
Boeing Co./The | 84,000 | 6,210,120 |
Emerson Electric Co. | 105,000 | 5,906,250 |
Illinois Tool Works Inc. | 172,000 | 9,716,280 |
Lockheed Martin Corp. | 109,000 | 8,825,730 |
Norfolk Southern Corp. | 88,000 | 6,593,840 |
United Parcel Service Inc., Class B | 75,000 | 5,469,750 |
United Technologies Corp. | 68,000 | 6,018,680 |
Waste Management Inc. | 284,000 | 10,584,680 |
71,134,155 | ||
Information Technology - 11.6% | ||
Broadridge Financial Solutions Inc. | 270,000 | 6,498,900 |
Cisco Systems Inc. * | 350,000 | 5,463,500 |
Intel Corp. | 850,000 | 18,836,000 |
International Business Machines Corp. | 53,000 | 9,092,150 |
Microsoft Corp. | 527,000 | 13,702,000 |
Western Union Co./The | 420,000 | 8,412,600 |
62,005,150 | ||
Materials - 2.6% | ||
Air Products & Chemicals Inc. | 93,000 | 8,888,940 |
Nucor Corp. | 115,000 | 4,740,300 |
13,629,240 | ||
Telecommunication Service - 2.6% | ||
AT&T Inc. | 439,987 | 13,819,992 |
Utilities - 1.6% | ||
Exelon Corp. | 195,000 | 8,353,800 |
Total Common Stocks ( Cost $438,508,811 ) | 520,841,165 | |
INVESTMENT COMPANY - 2.2% | ||
State Street Institutional U.S. Government Money Market Fund | 11,702,407 | 11,702,407 |
Total Investment Company ( Cost $11,702,407 ) | 11,702,407 | |
TOTAL INVESTMENTS - 100.1% ( Cost $450,211,218** ) | 532,543,572 | |
NET OTHER ASSETS AND LIABILITIES - (0.1%) | (329,046) | |
TOTAL NET ASSETS - 100.0% | $532,214,526 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $450,647,719. |
ADR | American Depositary Receipt. |
PLC | Public Limited Company. |
See accompanying Notes to Financial Statements.
46
Ultra Series Fund | June 30, 2011
Large Cap Growth Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 95.3% | ||
Consumer Discretionary - 11.0% | ||
Amazon.com Inc. * | 25,315 | $ 5,176,664 |
CarMax Inc. * | 193,155 | 6,387,636 |
Comcast Corp., Class A | 248,420 | 6,294,963 |
Ctrip.com International Ltd., ADR * | 54,600 | 2,352,168 |
Omnicom Group Inc. | 109,512 | 5,274,098 |
Panera Bread Co., Class A * | 33,700 | 4,234,742 |
Starbucks Corp. | 110,985 | 4,382,798 |
Vitamin Shoppe Inc. * | 72,285 | 3,307,761 |
Yum! Brands Inc. | 123,324 | 6,812,418 |
44,223,248 | ||
Consumer Staples - 6.6% | ||
Costco Wholesale Corp. | 74,710 | 6,069,441 |
Diageo PLC, ADR | 55,220 | 4,520,861 |
PepsiCo Inc. | 228,375 | 16,084,451 |
26,674,753 | ||
Energy - 13.5% | ||
Apache Corp. | 35,495 | 4,379,728 |
Ensco PLC, ADR | 107,505 | 5,730,017 |
Occidental Petroleum Corp. | 147,275 | 15,322,491 |
Petrohawk Energy Corp. * | 185,900 | 4,586,153 |
Petroleo Brasileiro S.A., ADR | 278,600 | 9,433,396 |
Schlumberger Ltd. | 115,090 | 9,943,776 |
Southwestern Energy Co. * | 118,015 | 5,060,483 |
54,456,044 | ||
Financials - 3.9% | ||
Brookfield Asset Management Inc., Class A | 122,800 | 4,073,276 |
IntercontinentalExchange Inc. * | 55,385 | 6,907,063 |
T Rowe Price Group Inc. | 75,896 | 4,579,565 |
15,559,904 | ||
Health Care - 7.6% | ||
Allergan Inc./United States | 63,365 | 5,275,136 |
CareFusion Corp. * | 281,835 | 7,657,457 |
Celgene Corp. * | 196,730 | 11,866,754 |
Cerner Corp. * | 32,790 | 2,003,797 |
UnitedHealth Group Inc. | 73,975 | 3,815,630 |
30,618,774 | ||
Industrials - 10.2% | ||
3M Co. | 47,840 | 4,537,624 |
Boeing Co./The | 143,715 | 10,624,850 |
Emerson Electric Co. | 181,070 | 10,185,187 |
Illinois Tool Works Inc. | 105,625 | 5,966,756 |
Roper Industries Inc. | 58,465 | 4,870,135 |
Sensata Technologies Holding N.V. * | 123,975 | 4,667,659 |
40,852,211 | ||
Shares | Value (Note 2) | |
Information Technology - 39.9% | ||
Communications Equipment - 8.2% | ||
Acme Packet Inc. * | 91,291 | $ 6,402,238 |
Aruba Networks Inc. * | 148,175 | 4,378,571 |
Cisco Systems Inc. * | 251,580 | 3,927,164 |
Juniper Networks Inc. * | 85,980 | 2,708,370 |
QUALCOMM Inc. | 191,665 | 10,884,655 |
Riverbed Technology Inc. * | 113,892 | 4,508,984 |
32,809,982 | ||
Computers & Peripherals - 6.5% | ||
Apple Inc. * | 59,505 | 19,974,043 |
SanDisk Corp. * | 145,925 | 6,055,888 |
26,029,931 | ||
Electronic Equipment, Instruments & Components - 1.1% | ||
FLIR Systems Inc. * | 129,050 | 4,350,275 |
Internet Software & Services - 5.8% | ||
Google Inc., Class A * | 34,970 | 17,708,108 |
OpenTable Inc. * | 24,005 | 1,995,296 |
Renren Inc., ADR * | 425,435 | 3,765,100 |
23,468,504 | ||
IT Services - 9.2% | ||
Accenture PLC, Class A | 143,895 | 8,694,136 |
Global Payments Inc. | 43,030 | 2,194,530 |
Sapient Corp. * | 138,000 | 2,074,140 |
Visa Inc., Class A | 284,455 | 23,968,178 |
36,930,984 | ||
Semiconductors & Semiconductor Equipment - 5.0% | ||
Cavium Inc. * | 99,508 | 4,337,554 |
Cree Inc. * | 83,595 | 2,807,956 |
First Solar Inc. * | 31,175 | 4,123,517 |
Intel Corp. | 183,690 | 4,070,571 |
NXP Semiconductor N.V. * | 180,907 | 4,835,644 |
20,175,242 | ||
Software - 4.1% | ||
Ariba Inc. * | 64,285 | 2,215,904 |
Microsoft Corp. | 159,290 | 4,141,540 |
Oracle Corp. | 245,865 | 8,091,417 |
Salesforce.com Inc. * | 13,765 | 2,050,710 |
16,499,571 | ||
Materials - 2.6% | ||
Ecolab Inc. | 184,380 | 10,395,345 |
Total Common Stocks ( Cost $317,502,175 ) | 383,044,768 |
See accompanying Notes to Financial Statements.
47
Ultra Series Fund | June 30, 2011
Large Cap Growth Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANY - 4.5% | ||
State Street Institutional U.S. Government Money Market Fund | 17,896,391 | $ 17,896,391 |
Total Investment Company ( Cost $17,896,391 ) | 17,896,391 | |
TOTAL INVESTMENTS - 99.8% ( Cost $335,398,566** ) | 400,941,159 | |
NET OTHER ASSETS AND LIABILITIES - 0.2% | 616,992 | |
TOTAL NET ASSETS - 100.0% | $401,558,151 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $337,226,442. |
ADR | American Depositary Receipt. |
PLC | Public Limited Company. |
See accompanying Notes to Financial Statements.
48
Ultra Series Fund | June 30, 2011
Mid Cap Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 95.0% | ||
Consumer Discretionary - 19.5% | ||
Bed Bath & Beyond Inc. * | 248,598 | $ 14,510,665 |
CarMax Inc. * | 381,498 | 12,616,139 |
Liberty Global Inc., Series C * | 210,988 | 9,009,188 |
Omnicom Group Inc. | 238,790 | 11,500,126 |
Staples Inc. | 626,897 | 9,904,972 |
TJX Cos. Inc. | 296,830 | 15,592,480 |
Yum! Brands Inc. | 147,057 | 8,123,429 |
81,256,999 | ||
Consumer Staples - 3.8% | ||
Brown-Forman Corp., Class B | 100,656 | 7,517,997 |
McCormick & Co. Inc. | 164,728 | 8,165,567 |
15,683,564 | ||
Energy - 6.7% | ||
EOG Resources Inc. | 79,539 | 8,315,802 |
Noble Corp. | 267,075 | 10,525,426 |
Southwestern Energy Co. * | 212,377 | 9,106,726 |
27,947,954 | ||
Financials - 25.5% | ||
Capital Markets - 3.7% | ||
Northern Trust Corp. | 174,358 | 8,013,494 |
T Rowe Price Group Inc. | 125,950 | 7,599,823 |
15,613,317 | ||
Commercial Banks - 2.5% | ||
Glacier Bancorp Inc. | 287,381 | 3,873,896 |
M&T Bank Corp. | 73,864 | 6,496,339 |
10,370,235 | ||
Diversified Financial Services - 2.6% | ||
Leucadia National Corp. | 312,194 | 10,645,815 |
Insurance - 12.0% | ||
Arch Capital Group Ltd. * | 368,745 | 11,770,340 |
Brown & Brown Inc. | 363,366 | 9,323,972 |
Markel Corp. * | 37,255 | 14,783,157 |
WR Berkley Corp. | 432,417 | 14,027,607 |
49,905,076 | ||
Real Estate Management & Development - 4.7% | ||
Brookfield Asset Management Inc., Class A | 584,455 | 19,386,372 |
Shares | Value (Note 2) | |
Health Care - 12.1% | ||
CR Bard Inc. | 81,430 | $ 8,945,900 |
DENTSPLY International Inc. | 378,927 | 14,429,540 |
Laboratory Corp. of America Holdings * | 142,747 | 13,816,482 |
Techne Corp. | 159,539 | 13,300,766 |
50,492,688 | ||
Industrials - 14.6% | ||
Copart Inc. * | 289,517 | 13,491,492 |
IDEX Corp. | 258,635 | 11,858,415 |
Jacobs Engineering Group Inc. * | 241,115 | 10,428,224 |
Ritchie Bros Auctioneers Inc. | 146,739 | 4,033,855 |
Wabtec Corp. | 156,349 | 10,275,256 |
Waste Management Inc. | 287,559 | 10,717,324 |
60,804,566 | ||
Information Technology - 10.3% | ||
Amphenol Corp., Class A | 137,915 | 7,446,031 |
Broadridge Financial Solutions Inc. | 518,851 | 12,488,744 |
FLIR Systems Inc. * | 312,021 | 10,518,228 |
Western Union Co./The | 616,445 | 12,347,393 |
42,800,396 | ||
Materials - 2.5% | ||
Ecolab Inc. | 184,695 | 10,413,104 |
Total Common Stocks ( Cost $327,939,549 ) | 395,320,086 | |
INVESTMENT COMPANY - 5.1% | ||
State Street Institutional U.S. Government Money Market Fund | 21,285,125 | 21,285,125 |
Total Investment Company ( Cost $21,285,125 ) | 21,285,125 | |
TOTAL INVESTMENTS - 100.1% ( Cost $349,224,674** ) | 416,605,211 | |
NET OTHER ASSETS AND LIABILITIES - (0.1%) | (369,952) | |
TOTAL NET ASSETS - 100.0% | $416,235,259 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $349,343,809. |
See accompanying Notes to Financial Statements.
49
Ultra Series Fund | June 30, 2011
Small Cap Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 97.0% | ||
Consumer Discretionary - 17.6% | ||
Arbitron Inc. | 8,140 | $ 336,426 |
Bally Technologies Inc. * | 2,870 | 116,752 |
Cato Corp./The, Class A | 11,440 | 329,472 |
CEC Entertainment Inc. * | 4,120 | 165,253 |
Choice Hotels International Inc. | 4,120 | 137,443 |
Dress Barn Inc./The * | 6,560 | 223,368 |
Fred’s Inc., Class A | 9,500 | 137,085 |
Helen of Troy Ltd. * | 7,910 | 273,133 |
Matthews International Corp., Class A | 4,940 | 198,341 |
Skechers U.S.A. Inc., Class A * | 6,400 | 92,672 |
Sonic Corp. * | 15,540 | 165,190 |
Stage Stores Inc. | 18,610 | 312,648 |
Tempur-Pedic International Inc. * | 760 | 51,543 |
2,539,326 | ||
Consumer Staples - 1.3% | ||
Casey’s General Stores Inc. | 4,280 | 188,320 |
Energy - 4.7% | ||
Bristow Group Inc. * | 2,800 | 142,856 |
Georesources Inc. * | 5,800 | 130,442 |
Penn Virginia Corp. | 8,770 | 115,852 |
Scorpio Tankers Inc. * | 10,600 | 105,894 |
SEACOR Holdings Inc. * | 1,800 | 179,928 |
674,972 | ||
Financials - 23.0% | ||
Alleghany Corp. * | 311 | 103,597 |
American Campus Communities Inc., REIT | 4,120 | 146,342 |
AMERISAFE Inc. * | 6,170 | 139,565 |
Ares Capital Corp. | 16,163 | 259,740 |
Assured Guaranty Ltd. | 7,400 | 120,694 |
Campus Crest Communities Inc., REIT | 8,800 | 113,872 |
Delphi Financial Group Inc., Class A | 9,970 | 291,224 |
DiamondRock Hospitality Co., REIT * | 8,329 | 89,370 |
Education Realty Trust Inc., REIT | 16,710 | 143,205 |
First Busey Corp. | 20,907 | 110,598 |
First Midwest Bancorp Inc./IL | 16,930 | 208,070 |
First Niagara Financial Group Inc. | 9,207 | 121,532 |
Flushing Financial Corp. | 7,200 | 93,600 |
Hancock Holding Co. | 3,600 | 111,528 |
International Bancshares Corp. | 10,850 | 181,521 |
Mack-Cali Realty Corp., REIT | 2,300 | 75,762 |
MB Financial Inc. | 7,230 | 139,105 |
Northwest Bancshares Inc. | 18,780 | 236,252 |
Shares | Value (Note 2) | |
Platinum Underwriters Holdings Ltd. | 5,060 | $ 168,194 |
Primerica Inc. | 6,700 | 147,199 |
Webster Financial Corp. | 12,680 | 266,534 |
Westamerica Bancorporation | 1,270 | 62,548 |
3,330,052 | ||
Health Care - 8.3% | ||
Amsurg Corp. * | 8,290 | 216,617 |
Charles River Laboratories International Inc. * | 6,300 | 256,095 |
Corvel Corp. * | 3,130 | 146,797 |
Haemonetics Corp. * | 900 | 57,933 |
ICON PLC, ADR * | 13,130 | 309,343 |
ICU Medical Inc. * | 4,970 | 217,189 |
1,203,974 | ||
Industrials - 23.5% | ||
ACCO Brands Corp. * | 22,640 | 177,724 |
Acuity Brands Inc. | 2,110 | 117,696 |
Albany International Corp., Class A | 10,650 | 281,054 |
Belden Inc. | 10,830 | 377,534 |
Carlisle Cos. Inc. | 9,950 | 489,839 |
ESCO Technologies Inc. | 4,890 | 179,952 |
G&K Services Inc., Class A | 3,600 | 121,896 |
GATX Corp. | 6,170 | 229,030 |
Genesee & Wyoming Inc., Class A * | 4,600 | 269,744 |
Kirby Corp. * | 5,130 | 290,717 |
Mueller Industries Inc. | 7,200 | 272,952 |
Standard Parking Corp. * | 6,390 | 102,048 |
Sterling Construction Co. Inc. * | 3,790 | 52,188 |
Unifirst Corp. | 1,270 | 71,361 |
United Stationers Inc. * | 10,260 | 363,512 |
3,397,247 | ||
Information Technology - 8.2% | ||
Coherent Inc. * | 1,870 | 103,355 |
Diebold Inc. | 6,170 | 191,332 |
Electronics for Imaging Inc. * | 2,365 | 40,725 |
MAXIMUS Inc. | 3,540 | 292,864 |
MTS Systems Corp. | 3,330 | 139,294 |
NAM TAI Electronics Inc. * | 5,510 | 30,415 |
Websense Inc. * | 7,400 | 192,178 |
Zebra Technologies Corp., Class A * | 4,600 | 193,982 |
1,184,145 | ||
Materials - 5.2% | ||
Aptargroup Inc. | 4,320 | 226,109 |
Deltic Timber Corp. | 2,880 | 154,627 |
Kraton Performance Polymers Inc. * | 2,900 | 113,593 |
Zep Inc. | 13,440 | 254,016 |
748,345 |
See accompanying Notes to Financial Statements.
50
Ultra Series Fund | June 30, 2011
Small Cap Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS (continued) | ||
Utilities - 5.2% | ||
Atmos Energy Corp. | 4,550 | $ 151,287 |
New Jersey Resources Corp. | 2,470 | 110,187 |
Unisource Energy Corp. | 5,940 | 221,740 |
Westar Energy Inc. | 5,890 | 158,500 |
WGL Holdings Inc. | 2,760 | 106,232 |
747,946 | ||
Total Common Stocks ( Cost $11,165,000 ) | 14,014,327 | |
Shares | Value (Note 2) | |
INVESTMENT COMPANY - 3.4% | ||
State Street Institutional U.S. Government Money Market Fund | 500,581 | $ 500,581 |
Total Investment Company ( Cost $500,581 ) | 500,581 | |
TOTAL INVESTMENTS - 100.4% ( Cost $11,665,581** ) | 14,514,908 | |
NET OTHER ASSETS AND LIABILITIES - (0.4%) | (62,459) | |
TOTAL NET ASSETS - 100.0% | $ 14,452,449 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $11,749,146. |
ADR | American Depositary Receipt. |
PLC | Public Limited Company. |
REIT | Real Estate Investment Trust. |
See accompanying Notes to Financial Statements.
51
Ultra Series Fund | June 30, 2011
International Stock Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 97.1% | ||
Australia - 3.7% | ||
James Hardie Industries SE (A) * | 158,580 | $ 1,003,554 |
QBE Insurance Group Ltd. (A) | 46,900 | 870,700 |
Telstra Corp. Ltd. (A) | 679,900 | 2,111,240 |
3,985,494 | ||
Belgium - 2.5% | ||
Anheuser-Busch InBev N.V. | 46,900 | 2,720,481 |
Brazil - 3.5% | ||
Banco do Brasil S.A. | 84,070 | 1,508,320 |
Cielo S.A. | 63,440 | 1,585,340 |
MRV Engenharia e Participacoes S.A. | 86,100 | 714,994 |
3,808,654 | ||
Canada - 1.8% | ||
Potash Corp. of Saskatchewan Inc. | 17,800 | 1,016,563 |
Rogers Communications Inc. | 24,300 | 962,224 |
1,978,787 | ||
China - 0.9% | ||
Weichai Power Co. Ltd. (A) | 166,000 | 978,029 |
Finland - 1.0% | ||
Sampo OYJ | 35,000 | 1,130,319 |
France - 11.7% | ||
BNP Paribas | 26,045 | 2,010,452 |
Danone | 25,000 | 1,865,255 |
Sanofi-Aventis S.A. | 38,612 | 3,104,262 |
Technip S.A. | 13,530 | 1,450,545 |
Total S.A. | 36,587 | 2,115,898 |
Valeo S.A. * | 31,900 | 2,177,910 |
12,724,322 | ||
Germany - 6.6% | ||
Bayerische Motoren Werke AG (A) | 23,390 | 2,330,729 |
Merck KGaA | 10,200 | 1,108,477 |
SAP AG | 19,700 | 1,192,712 |
Siemens AG | 18,519 | 2,543,199 |
7,175,117 | ||
Hong Kong - 1.1% | ||
AIA Group Ltd. (A) * | 344,000 | 1,199,473 |
Ireland - 0.2% | ||
Ryanair Holdings PLC, ADR | 7,900 | 231,786 |
Italy - 1.3% | ||
Atlantia SpA | 69,048 | 1,469,908 |
Shares | Value (Note 2) | |
Japan - 19.3% | ||
Asics Corp. (A) | 45,990 | $ 686,795 |
Canon Inc. (A) | 43,500 | 2,074,377 |
Daito Trust Construction Co. Ltd. (A) | 31,510 | 2,676,074 |
Don Quijote Co. Ltd. (A) | 45,400 | 1,580,267 |
eAccess Ltd. (A) | 1,168 | 524,477 |
Honda Motor Co. Ltd. (A) | 46,400 | 1,788,422 |
JS Group Corp. (A) | 74,300 | 1,914,619 |
JX Holdings Inc. (A) | 149,900 | 1,012,252 |
Keyence Corp. (A) | 3,355 | 951,513 |
Mitsubishi Corp. (A) | 38,800 | 972,132 |
Mitsubishi Estate Co. Ltd. (A) | 68,000 | 1,193,729 |
Sumitomo Mitsui Financial Group Inc. (A) | 40,900 | 1,258,736 |
Yahoo! Japan Corp. (A) | 4,834 | 1,664,138 |
Yamada Denki Co. Ltd. (A) | 32,710 | 2,668,403 |
20,965,934 | ||
Netherlands - 2.0% | ||
ING Groep N.V. (A) * | 176,470 | 2,176,810 |
New Zealand - 1.3% | ||
Telecom Corp. of New Zealand Ltd. (A) | 688,600 | 1,397,007 |
Norway - 0.8% | ||
Aker Solutions ASA | 42,900 | 858,771 |
Russia - 1.5% | ||
Sberbank of Russia (A) | 454,400 | 1,676,227 |
South Korea - 1.0% | ||
Samsung Electronics Co. Ltd., GDR (B) | 2,745 | 1,063,962 |
Spain - 1.3% | ||
Amadeus IT Holding S.A. (A) * | 67,500 | 1,404,169 |
Sweden - 2.1% | ||
Assa Abloy AB | 34,200 | 919,180 |
Swedbank AB | 81,800 | 1,374,714 |
2,293,894 | ||
Switzerland - 5.6% | ||
Julius Baer Group Ltd. * | 22,600 | 933,569 |
Novartis AG | 56,397 | 3,454,589 |
UBS AG * | 96,310 | 1,756,089 |
6,144,247 | ||
Turkey - 0.7% | ||
Turkiye Garanti Bankasi AS, ADR | 171,700 | 789,820 |
See accompanying Notes to Financial Statements.
52
Ultra Series Fund | June 30, 2011
International Stock Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS (continued) | ||
United Kingdom - 27.2% | ||
BG Group PLC | 32,000 | $ 726,208 |
BHP Billiton PLC (A) | 64,800 | 2,539,867 |
British American Tobacco PLC | 44,131 | 1,934,315 |
Diageo PLC | 56,970 | 1,163,955 |
GlaxoSmithKline PLC | 128,200 | 2,744,768 |
Informa PLC | 262,543 | 1,820,734 |
International Power PLC | 187,100 | 966,021 |
Prudential PLC | 221,900 | 2,564,198 |
Rexam PLC | 245,219 | 1,506,565 |
Royal Dutch Shell PLC (A) | 66,400 | 2,365,983 |
Standard Chartered PLC | 77,257 | 2,031,017 |
Tullow Oil PLC | 41,150 | 818,942 |
Unilever PLC (A) | 69,500 | 2,242,819 |
Vodafone Group PLC (A) | 405,099 | 1,076,604 |
WM Morrison Supermarkets PLC | 299,700 | 1,431,948 |
WPP PLC | 107,900 | 1,350,759 |
Xstrata PLC (A) | 102,400 | 2,258,308 |
29,543,011 | ||
Total Common Stocks ( Cost $86,551,272 ) | 105,716,222 | |
INVESTMENT COMPANY - 2.8% | ||
United States - 2.8% | ||
State Street Institutional U.S. Government Money Market Fund | 3,005,221 | 3,005,221 |
Total Investment Company ( Cost $3,005,221 ) | 3,005,221 | |
TOTAL INVESTMENTS - 99.9% ( Cost $89,556,493** ) | 108,721,443 | |
NET OTHER ASSETS AND LIABILITIES - 0.1% | 83,954 | |
TOTAL NET ASSETS - 100.0% | $108,805,397 | |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $90,754,440. |
(A) | Security valued at fair value using methods determined in good faith by or at the discretion of the Board of Trustees (see Note 2). |
(B) | 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." |
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.
53
Ultra Series Fund | June 30, 2011
Madison Target Retirement 2020 Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 122.2% | ||
Bond Funds - 40.8% | ||
Franklin Floating Rate Daily Access Fund Advisor Class | 339,589 | $ 3,110,637 |
PIMCO Investment Grade Corporate Bond Fund Institutional Class | 303,656 | 3,233,935 |
PIMCO Total Return Fund Institutional Class | 260,635 | 2,864,383 |
Vanguard Total Bond Market ETF | 68,555 | 5,563,924 |
14,772,879 | ||
Foreign Bond Funds - 4.9% | ||
Templeton Global Bond Fund Advisor Class | 129,197 | 1,791,969 |
Foreign Stock Funds - 11.3% | ||
IVA Worldwide Fund | 97,446 | 1,706,287 |
Vanguard FTSE All-World ex-U.S. ETF | 47,968 | 2,389,286 |
4,095,573 | ||
Money Market Funds - 24.0% | ||
State Street Institutional U.S. Government Money Market Fund | 8,699,937 | 8,699,937 |
Shares | Value (Note 2) | |
Stock Funds - 41.2% | ||
Hussman Strategic Growth Fund | 75,481 | $ 926,903 |
iShares S&P MidCap 400 Index Fund | 3,703 | 361,783 |
iShares S&P North American Natural Resources Sector Index Fund | 8,422 | 367,704 |
Rydex S&P Equal Weight ETF | 14,846 | 752,227 |
Schwab Fundamental U.S. Large Company Index Fund | 178,723 | 1,819,405 |
SPDR S&P 500 ETF Trust | 50,908 | 6,718,329 |
Vanguard Dividend Appreciation ETF | 48,818 | 2,733,320 |
Vanguard Health Care ETF | 8,378 | 537,449 |
Vanguard Information Technology ETF | 11,504 | 728,778 |
14,945,898 | ||
TOTAL INVESTMENTS - 122.2% ( Cost $43,885,276** ) | 44,306,256 | |
NET OTHER ASSETS AND LIABILITIES - (22.2%) | (8,062,747) | |
TOTAL NET ASSETS - 100.0% | $ 36,243,509 |
** | Aggregate cost for Federal tax purposes was $43,899,305. |
ETF | Exchange Traded Fund. |
See accompanying Notes to Financial Statements.
54
Ultra Series Fund | June 30, 2011
Madison Target Retirement 2030 Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 119.4% | ||
Bond Funds - 28.3% | ||
Franklin Floating Rate Daily Access Fund Advisor Class | 266,702 | $ 2,442,994 |
PIMCO Investment Grade Corporate Bond Fund Institutional Class | 255,987 | 2,726,262 |
PIMCO Total Return Fund Institutional Class | 173,397 | 1,905,636 |
Vanguard Total Bond Market ETF | 50,504 | 4,098,905 |
11,173,797 | ||
Foreign Bond Funds - 3.9% | ||
Templeton Global Bond Fund Advisor Class | 112,027 | 1,553,820 |
Foreign Stock Funds - 13.8% | ||
iShares MSCI Canada Index Fund | 12,627 | 399,897 |
IVA Worldwide Fund | 127,830 | 2,238,298 |
Vanguard FTSE All-World ex-U.S. ETF | 55,975 | 2,788,115 |
5,426,310 | ||
Money Market Funds - 21.2% | ||
State Street Institutional U.S. Government Money Market Fund | 8,359,716 | 8,359,716 |
Shares | Value (Note 2) | |
Stock Funds - 52.2% | ||
Hussman Strategic Growth Fund | 83,476 | $ 1,025,085 |
iShares S&P MidCap 400 Index Fund | 8,053 | 786,778 |
iShares S&P North American Natural Resources Sector Index Fund | 13,704 | 598,317 |
Rydex S&P Equal Weight ETF | 15,826 | 801,864 |
Schwab Fundamental U.S. Large Company Index Fund | 270,113 | 2,749,748 |
SPDR S&P 500 ETF Trust | 68,829 | 9,083,363 |
Vanguard Dividend Appreciation ETF | 67,858 | 3,799,369 |
Vanguard Health Care ETF | 12,118 | 777,370 |
Vanguard Information Technology ETF | 15,598 | 988,133 |
20,610,027 | ||
TOTAL INVESTMENTS - 119.4% ( Cost $46,484,014** ) | 47,123,670 | |
NET OTHER ASSETS AND LIABILITIES - (19.4%) | (7,653,905) | |
TOTAL NET ASSETS - 100.0% | $ 39,469,765 |
** | Aggregate cost for Federal tax purposes was $46,495,742. |
ETF | Exchange Traded Fund. |
See accompanying Notes to Financial Statements.
55
Ultra Series Fund | June 30, 2011
Madison Target Retirement 2040 Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 116.6% | ||
Bond Funds - 18.8% | ||
Franklin Floating Rate Daily Access Fund Advisor Class | 150,710 | $ 1,380,501 |
PIMCO Investment Grade Corporate Bond Fund Institutional Class | 136,688 | 1,455,731 |
PIMCO Total Return Fund Institutional Class | 70,037 | 769,704 |
Vanguard Total Bond Market ETF | 27,814 | 2,257,384 |
5,863,320 | ||
Foreign Bond Funds - 2.9% | ||
Templeton Global Bond Fund Advisor Class | 66,806 | 926,596 |
Foreign Stock Funds - 15.5% | ||
iShares MSCI Canada Index Fund | 15,047 | 476,538 |
IVA Worldwide Fund | 113,616 | 1,989,420 |
Vanguard FTSE All-World ex-U.S. ETF | 47,645 | 2,373,197 |
4,839,155 | ||
Money Market Funds - 18.1% | ||
State Street Institutional U.S. Government Money Market Fund | 5,651,602 | 5,651,602 |
Shares | Value (Note 2) | |
Stock Funds - 61.3% | ||
Hussman Strategic Growth Fund | 67,951 | $ 834,444 |
iShares S&P MidCap 400 Index Fund | 7,974 | 779,060 |
iShares S&P North American Natural Resources Sector Index Fund | 14,514 | 633,681 |
iShares S&P SmallCap 600 Index Fund | 4,262 | 312,490 |
Rydex S&P Equal Weight ETF | 18,391 | 931,824 |
Schwab Fundamental U.S. Large Company Index Fund | 260,002 | 2,646,815 |
SPDR S&P 500 ETF Trust | 57,486 | 7,586,427 |
Vanguard Dividend Appreciation ETF | 64,390 | 3,605,196 |
Vanguard Health Care ETF | 12,032 | 771,853 |
Vanguard Information Technology ETF | 16,107 | 1,020,379 |
19,122,169 | ||
TOTAL INVESTMENTS - 116.6% ( Cost $35,761,891** ) | 36,402,842 | |
NET OTHER ASSETS AND LIABILITIES - (16.6%) | (5,194,063) | |
TOTAL NET ASSETS - 100.0% | $ 31,208,779 |
** | Aggregate cost for Federal tax purposes was $35,772,160. |
ETF | Exchange Traded Fund. |
See accompanying Notes to Financial Statements.
56
Ultra Series Fund | June 30, 2011
Madison Target Retirement 2050 Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 101.0% | ||
Bond Funds - 8.0% | ||
PIMCO Investment Grade Corporate Bond Fund Institutional Class | 2,892 | $ 30,798 |
Vanguard Total Bond Market ETF | 753 | 61,113 |
91,911 | ||
Foreign Bond Funds - 2.7% | ||
Templeton Global Bond Fund Advisor Class | 2,247 | 31,161 |
Foreign Stock Funds - 15.6% | ||
iShares MSCI Canada Index Fund | 688 | 21,789 |
IVA Worldwide Fund | 3,990 | 69,859 |
Vanguard FTSE All-World ex-U.S. ETF | 1,743 | 86,819 |
178,467 | ||
Money Market Funds - 8.7% | ||
State Street Institutional U.S. Government Money Market Fund | 100,339 | 100,339 |
Shares | Value (Note 2) | |
Stock Funds - 66.0% | ||
Hussman Strategic Growth Fund | 1,666 | $ 20,455 |
iShares S&P MidCap 400 Index Fund | 384 | 37,517 |
iShares S&P North American Natural Resources Sector Index Fund | 731 | 31,915 |
iShares S&P SmallCap 600 Index Fund | 219 | 16,057 |
Rydex S&P Equal Weight ETF | 632 | 32,017 |
Schwab Fundamental U.S. Large Company Index Fund | 9,949 | 101,277 |
SPDR S&P 500 ETF Trust | 2,199 | 290,202 |
Vanguard Dividend Appreciation ETF | 2,717 | 152,125 |
Vanguard Health Care ETF | 489 | 31,369 |
Vanguard Information Technology ETF | 679 | 43,015 |
755,949 | ||
TOTAL INVESTMENTS - 101.0% ( Cost $1,134,005** ) | 1,157,827 | |
NET OTHER ASSETS AND LIABILITIES - (1.0%) | (11,739) | |
TOTAL NET ASSETS - 100.0% | $ 1,146,088 |
** | Aggregate cost for Federal tax purposes was $1,134,642. |
ETF | Exchange Traded Fund. |
See accompanying Notes to Financial Statements.
57
Ultra Series Fund | June 30, 2011
Statements of Assets and Liabilities as of June 30, 2011 (unaudited)
Conservative Allocation Fund | Moderate Allocation Fund | Aggressive Allocation Fund | Money Market Fund | |
Assets: | ||||
Investments in securities, at cost | ||||
Unaffiliated issuers | $111,961,900 | $143,251,044 | $ 53,116,580 | $ 66,110,933 |
Affiliated issuers1 | 115,585,462 | 223,409,907 | 67,945,201 | – |
Repurchase Agreement | – | – | – | – |
Net unrealized appreciation (depreciation) | ||||
Unaffiliated issuers | 560,147 | 5,334,052 | 3,468,985 | – |
Affiliated issuers1 | 13,828,650 | 31,619,645 | 14,965,949 | – |
Total investments at value | 241,936,159 | 403,614,648 | 139,496,715 | 66,110,933 |
Cash | – | – | – | – |
Foreign currency (cost of $194,140)(Note 2) | – | – | – | – |
Receivables: | ||||
Investments sold | – | – | – | – |
Fund shares sold | 44,081 | 44,080 | 548 | – |
Dividends and interest | 675,860 | 811,697 | 134,529 | 1 |
Due from Adviser, net | – | – | – | 22,829 |
Other assets | – | – | – | – |
Total assets | 242,656,100 | 404,470,425 | 139,631,792 | 66,133,763 |
Liabilities: | ||||
Payables: | ||||
Investments purchased | – | – | – | – |
Fund shares redeemed | 71,317 | 160,401 | 73,330 | 1,204 |
Auditor fees | 3,273 | 8,083 | 3,273 | 4,463 |
Management fees | 59,623 | 98,534 | 33,633 | 24,394 |
Distribution fees – Class II | 8,449 | 7,787 | 388 | 80 |
Compliance expense | 1,072 | 4,086 | 1,157 | 3,101 |
Accrued expenses and other payables | – | – | – | – |
Options written, at value (premium received $97,979) | – | – | – | – |
Total liabilities | 143,734 | 278,891 | 111,781 | 33,242 |
Net assets applicable to outstanding capital stock | $242,512,366 | $404,191,534 | $139,520,011 | $ 66,100,521 |
Net assets consist of: | ||||
Paid-in capital | $234,039,039 | $418,175,138 | $141,681,557 | $ 66,100,521 |
Accumulated undistributed net investment income | 3,094,084 | 3,299,878 | 377,391 | – |
Accumulated net realized loss on investments sold and options and foreign currency related transactions | (9,009,554) | (54,237,179) | (20,973,871) | – |
Net unrealized appreciation (depreciation) of investments (including appreciation (depreciation) of options and foreign currency related transactions) | 14,388,797 | 36,953,697 | 18,434,934 | – |
Net Assets | $242,512,366 | $404,191,534 | $139,520,011 | $ 66,100,521 |
Class I Shares: | ||||
Net Assets | $200,757,048 | $365,699,033 | $137,589,389 | $ 65,732,300 |
Shares of beneficial interest outstanding | 19,385,052 | 36,923,826 | 14,431,237 | 65,732,300 |
Net Asset Value and redemption price per share | $10.36 | $9.90 | $9.53 | $1.00 |
Class II Shares: | ||||
Net Assets | $ 41,755,318 | $ 38,492,501 | $ 1,930,622 | $ 368,221 |
Shares of beneficial interest outstanding | 4,035,490 | 3,891,753 | 202,896 | 368,221 |
Net Asset Value and redemption price per share | $10.35 | $9.89 | $9.52 | $1.00 |
1 | See Note 11 for information on affiliated issuers. |
See accompanying Notes to Financial Statements.
58
Ultra Series Fund | June 30, 2011
Statements of Assets and Liabilities as of June 30, 2011 (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 | International Stock Fund |
$423,268,361 | $ 93,939,231 | $367,973,760 | $ 2,573,497 | $450,211,218 | $335,398,566 | $349,224,674 | $ 11,665,581 | $ 89,556,493 |
– | – | – | – | – | – | – | – | – |
– | – | – | 493,501 | – | – | – | – | – |
23,359,621 | 3,846,291 | 46,387,440 | (74,547) | 82,332,354 | 65,542,593 | 67,380,537 | 2,849,327 | 19,164,950 |
– | – | – | – | – | – | – | – | – |
446,627,982 | 97,785,522 | 414,361,200 | 2,992,451 | 532,543,572 | 400,941,159 | 416,605,211 | 14,514,908 | 108,721,443 |
– | 97 | – | – | – | – | – | – | – |
– | – | – | – | – | – | – | – | 194,704 |
– | 318,641 | – | – | – | 2,929,181 | – | 11,652 | 71 |
83,955 | 51,427 | 90,247 | – | – | 3,504 | – | 3,522 | 15,363 |
3,809,954 | 1,611,244 | 2,357,392 | 2,157 | 905,814 | 233,882 | 369,188 | 11,000 | 220,167 |
– | – | – | – | |||||
– | – | – | – | – | 269,931 | – | – | 201,113 |
450,521,891 | 99,766,931 | 416,808,839 | 2,994,608 | 533,449,386 | 404,377,657 | 416,974,399 | 14,541,082 | 109,352,861 |
– | 529,576 | – | – | – | 2,199,333 | – | 3,009 | 305,890 |
487,164 | 1,698 | 167,477 | 863 | 932,100 | 331,383 | 419,180 | 72,235 | 123,933 |
14,480 | 2,975 | 14,232 | 162 | 20,579 | 14,926 | 10,314 | 317 | 6,781 |
205,283 | 61,347 | 238,692 | – | 259,239 | 256,184 | 301,918 | 12,668 | 104,769 |
9,670 | 1,217 | 6,016 | – | 1,199 | 5,623 | 2,841 | 309 | 3,414 |
10,877 | 2,337 | 10,132 | – | 21,743 | 12,057 | 4,887 | 95 | 2,677 |
– | – | – | 100 | – | – | – | – | – |
– | – | – | 95,108 | – | – | – | – | – |
727,474 | 599,150 | 436,549 | 96,233 | 1,234,860 | 2,819,506 | 739,140 | 88,633 | 547,464 |
$449,794,417 | $ 99,167,781 | $416,372,290 | $ 2,898,375 | $532,214,526 | $401,558,151 | $416,235,259 | $ 14,452,449 | $108,805,397 |
$432,018,025 | $102,918,721 | $404,593,098 | $ 2,808,207 | $556,505,048 | $356,134,679 | $430,197,281 | $ 13,104,938 | $125,685,586 |
8,332,414 | 3,233,566 | 6,112,746 | (4,410) | 5,217,685 | 473,800 | 52,836 | 19,499 | 1,212,167 |
(13,915,643) | (10,830,797) | (40,720,994) | 166,254 | (111,840,561) | (20,592,921) | (81,395,395) | (1,521,315) | (37,286,952) |
23,359,621 | 3,846,291 | 46,387,440 | (71,676) | 82,332,354 | 65,542,593 | 67,380,537 | 2,849,327 | 19,194,596 |
$449,794,417 | $ 99,167,781 | $416,372,290 | $ 2,898,375 | $532,214,526 | $401,558,151 | $416,235,259 | $ 14,452,449 | $108,805,397 |
$402,622,698 | $ 93,153,541 | $386,565,044 | $ 483,330 | $526,320,639 | $372,834,689 | $402,071,937 | $ 12,905,296 | $ 91,627,949 |
38,289,067 | 9,557,974 | 22,097,426 | 46,260 | 20,727,356 | 16,015,290 | 25,945,440 | 1,132,185 | 8,599,708 |
$10.52 | $9.75 | $17.49 | $10.45 | $25.39 | $23.28 | $15.50 | $11.40 | $10.65 |
$ 47,171,719 | $ 6,014,240 | $ 29,807,246 | $ 2,415,045 | $ 5,893,887 | $ 28,723,462 | $ 14,163,322 | $ 1,547,153 | $ 17,177,448 |
4,489,812 | 616,753 | 1,705,755 | 231,801 | 232,556 | 1,236,416 | 915,430 | 136,021 | 1,613,566 |
$10.51 | $9.75 | $17.47 | $10.42 | $25.34 | $23.23 | $15.47 | $11.37 | $10.65 |
See accompanying Notes to Financial Statements.
59
Ultra Series Fund | June 30, 2011
Statements of Assets and Liabilities as of June 30, 2011 (unaudited)
Madison Target Retirement 2020 Fund | Madison Target Retirement 2030 Fund | Madison Target Retirement 2040 Fund | Madison Target Retirement 2050 Fund | |
Assets: | ||||
Investments in securities, at cost | ||||
Unaffiliated issuers | $ 43,885,276 | $ 46,484,014 | $ 35,761,891 | $ 1,134,005 |
Net unrealized appreciation | ||||
Unaffiliated issuers | 420,980 | 639,656 | 640,951 | 23,822 |
Total investments at value | 44,306,256 | 47,123,670 | 36,402,842 | 1,157,827 |
Receivables: | ||||
Investments sold | 774,671 | 797,049 | 975,103 | 31,604 |
Fund shares sold | 32,956 | 42,827 | – | 71,171 |
Dividends and interest | 64,359 | 66,221 | 49,113 | 1,392 |
Total assets | 45,178,242 | 48,029,767 | 37,427,058 | 1,261,994 |
Liabilities: | ||||
Payables: | ||||
Investments purchased | 8,928,818 | 8,553,697 | 6,159,795 | 115,737 |
Fund shares redeemed | – | – | 53,435 | – |
Auditor fees | 82 | 62 | 44 | 22 |
Management fees | 5,798 | 6,234 | 4,994 | 146 |
Compliance expense | 35 | 9 | 11 | 1 |
Total liabilities | 8,934,733 | 8,560,002 | 6,218,279 | 115,906 |
Net assets applicable to outstanding capital stock | $ 36,243,509 | $ 39,469,765 | $ 31,208,779 | $ 1,146,088 |
Net assets consist of: | ||||
Paid-in capital | $ 34,202,633 | $ 36,417,099 | $ 28,229,299 | $ 1,127,982 |
Accumulated undistributed net investment income | 340,042 | 305,878 | 197,488 | 3,385 |
Accumulated net realized gain (loss) on investments sold and foreign currency related transactions | 1,279,854 | 2,107,132 | 2,141,041 | (9,101) |
Net unrealized depreciation of investments (including appreciation of foreign currency related transactions) | 420,980 | 639,656 | 640,951 | 23,822 |
Net Assets | $ 36,243,509 | $ 39,469,765 | $ 31,208,779 | $ 1,146,088 |
Class I Shares: | ||||
Net Assets | $ 36,243,509 | $ 39,469,765 | $ 31,208,779 | $ 1,146,088 |
Shares of beneficial interest outstanding | 4,321,597 | 4,797,326 | 3,935,601 | 110,111 |
Net Asset Value and redemption price per share | $8.39 | $8.23 | $7.93 | $10.41 |
See accompanying Notes to Financial Statements.
60
Ultra Series Fund | June 30, 2011
Statements of Operations for the Period Ended June 30, 2011 (unaudited)
Conservative Allocation Fund | Moderate Allocation Fund | Aggressive Allocation Fund | Money Market Fund | |
Investment Income: | ||||
Interest | $ 599 | $ 849 | $ 404 | $ 37,069 |
Dividends | ||||
Unaffiliated issuers | 1,788,013 | 1,777,943 | 208,340 | – |
Affiliated issuers1 | 1,712,419 | 2,172,509 | 377,260 | – |
Less: Foreign taxes withheld | – | – | – | – |
Total investment income | 3,501,031 | 3,951,301 | 586,004 | 37,069 |
Expenses: | ||||
Management fees | 353,862 | 591,590 | 200,822 | 148,474 |
Audit fees | 3,273 | 8,083 | 3,273 | 4,463 |
Trustees’ fees | 1,250 | 3,500 | 1,250 | 1,750 |
Distribution fees – Class II | 47,490 | 44,164 | 2,111 | 563 |
Compliance expense | 1,072 | 4,086 | 1,157 | 3,101 |
Total expenses before reimbursement/waiver | 406,947 | 651,423 | 208,613 | 158,351 |
Less reimbursement/waiver2 | – | – | – | (121,282) |
Total expenses net of reimbursement/waiver | 406,947 | 651,423 | 208,613 | 37,069 |
Net Investment Income (Loss) | 3,094,084 | 3,299,878 | 377,391 | – |
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 | 64,129 | 1,038,097 | 858,746 | – |
Affiliated issuers1 | (181,105) | 391,156 | 423,873 | – |
Net change in unrealized appreciation (depreciation)on investments (including net unrealized appreciation (depreciation) on options and foreign currency related transactions) | ||||
Options | – | – | – | – |
Unaffiliated issuers | 1,607,074 | 3,044,574 | 956,759 | – |
Affiliated issuers1 | 3,710,283 | 9,426,999 | 3,942,146 | – |
Net Realized and Unrealized Gain (Loss) on Investments and Options Transactions | 5,200,381 | 13,900,826 | 6,181,524 | – |
Net Increase in Net Assets from Operations | $ 8,294,465 | $ 17,200,704 | $ 6,558,915 | $ – |
1 | See Note 11 for information on affiliated issuers. |
2 | Waiver includes management fees of $120,719 and distribution fees of $563 for the Money Market Fund. |
See accompanying Notes to Financial Statements.
61
Ultra Series Fund | June 30, 2011
Statements of Operations for the Period Ended June 30, 2011 (unaudited)
Bond Fund | High Income Fund | Diversified Income Fund | Equity Income Fund | |
Investment Income: | ||||
Interest | $ 9,708,265 | $ 3,743,088 | $ 4,163,491 | $ 71 |
Dividends | ||||
Unaffiliated issuers | – | 21,312 | 3,486,967 | 10,253 |
Affiliated issuers1 | – | – | – | – |
Less: Foreign taxes withheld | – | – | (28,311) | – |
Total investment income | 9,708,265 | 3,764,400 | 7,622,147 | 10,324 |
Expenses: | ||||
Management fees | 1,250,935 | 375,647 | 1,440,730 | 11,796 |
Audit fees | 14,480 | 2,975 | 14,232 | 162 |
Trustees’ fees | 11,000 | 2,000 | 11,000 | 100 |
Distribution fees – Class II | 51,504 | 6,525 | 33,307 | 2,676 |
Compliance expense | 10,878 | 2,337 | 10,132 | – |
Total expenses before reimbursement/waiver | 1,338,797 | 389,484 | 1,509,401 | 14,734 |
Less reimbursement/waiver2 | – | – | – | – |
Total expenses net of reimbursement/waiver | 1,338,797 | 389,484 | 1,509,401 | 14,734 |
Net Investment Income (Loss) | 8,369,468 | 3,374,916 | 6,112,746 | (4,410) |
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 | 170,941 | – | – | 47,173 |
Affiliated issuers1 | – | 2,247,509 | 8,206,046 | 119,398 |
Net change in unrealized appreciation (depreciation)on investments (including net unrealized appreciation (depreciation) on foreign currency related transactions) | ||||
Options | – | – | – | 37,909 |
Unaffiliated issuers | 1,640,010 | (1,899,297) | 7,241,592 | (181,336) |
Net Realized and Unrealized Gain (Loss) on Investments and Options Transactions | 1,810,951 | 348,212 | 15,447,638 | 23,144 |
Net Increase (Decrease) in Net Assets from Operations | $ 10,180,419 | $ 3,723,128 | $ 21,560,384 | $ 18,734 |
1 | See Note 11 for information on affiliated issuers. |
2 | See Note 3 regarding management fee waivers for the Target Date Funds. |
See accompanying Notes to Financial Statements.
62
Ultra Series Fund | June 30, 2011
Statements of Operations for the Period Ended June 30, 2011 (unaudited)
Large Cap Value Fund | Large Cap Growth Fund | Mid Cap Fund | Small Cap Fund | International Stock Fund | Madison Target Retirement 2020 Fund | Madison Target Retirement 2030 Fund | Madison Target Retirement 2040 Fund | Madison Target Retirement 2050 Fund |
$ 1,334 | $ 3,967 | $ 3,697 | $ 73 | $ 5,508 | $ 202 | $ 12 | $ 10 | $ 3 |
6,920,338 | 2,140,968 | 1,954,123 | 97,572 | 2,361,400 | 283,319 | 252,693 | 163,248 | 3,113 |
– | – | – | – | – | 88,807 | 88,334 | 62,870 | 752 |
(36,678) | (14,788) | (30,362) | – | (177,728) | – | – | – | – |
6,884,994 | 2,130,147 | 1,927,458 | 97,645 | 2,189,180 | 372,328 | 341,199 | 226,218 | 3,868 |
1,600,444 | 1,587,282 | 1,837,820 | 75,759 | 638,973 | 39,599 | 43,526 | 35,510 | 497 |
20,579 | 14,926 | 10,315 | 317 | 6,781 | 82 | 62 | 44 | 22 |
17,400 | 11,000 | 5,000 | 100 | 2,500 | 50 | 50 | 50 | – |
7,142 | 31,082 | 16,600 | 1,875 | 19,108 | – | – | – | – |
21,744 | 12,057 | 4,887 | 95 | 2,677 | 35 | 9 | 11 | 1 |
1,667,309 | 1,656,347 | 1,874,622 | 78,146 | 670,039 | 39,766 | 43,647 | 35,615 | 520 |
– | – | – | – | – | (7,480) | (8,326) | (6,885) | (37) |
1,667,309 | 1,656,347 | 1,874,622 | 78,146 | 670,039 | 32,286 | 35,321 | 28,730 | 483 |
5,217,685 | 473,800 | 52,836 | 19,499 | 1,519,141 | 340,042 | 305,878 | 197,488 | 3,385 |
– | – | – | – | – | 332,252 | 535,624 | 662,421 | (5,135) |
15,754,471 | 37,656,337 | 29,307,972 | 460,345 | 3,758,338 | 2,036,368 | 2,247,664 | 1,924,936 | (3,966) |
– | – | – | – | – | ||||
– | – | – | – | – | – | – | – | – |
19,371,157 | (18,375,025) | 7,903,694 | 310,211 | 1,697,556 | (1,467,649) | (1,655,938) | (1,570,973) | 23,822 |
35,125,628 | 19,281,312 | 37,211,666 | 770,556 | 5,455,894 | 900,971 | 1,127,350 | 1,016,384 | 14,721 |
$ 40,343,313 | $ 19,755,112 | $ 37,264,502 | $ 790,055 | $ 6,975,035 | $ 1,241,013 | $ 1,433,228 | $ 1,213,872 | $ 18,106 |
See accompanying Notes to Financial Statements.
63
Ultra Series Fund | June 30, 2011
Statements of Changes in Net Assets
Conservative Allocation Fund | Moderate Allocation Fund | |||
(unaudited) Six-Months Ended 6/30/11 | Year Ended 12/31/10 | (unaudited) Six-Months Ended 6/30/11 | Year Ended 12/31/10 | |
Net Assets at beginning of period | $231,082,035 | $189,151,289 | $384,260,026 | $344,590,404 |
Increase (decrease) in net assets from operations: | ||||
Net investment income | 3,094,084 | 6,243,595 | 3,299,878 | 8,219,996 |
Net realized gain (loss) on investment | (116,976) | 7,769,440 | 1,429,253 | 7,425,476 |
Net change in unrealized appreciation (depreciation) on investments | 5,317,357 | 3,215,628 | 12,471,573 | 19,967,506 |
Net increase (decrease) in net assets from operations | 8,294,465 | 17,228,663 | 17,200,704 | 35,612,978 |
Distributions to shareholders from: | ||||
Net investment income | ||||
Class I | (200,401) | (7,654,294) | (242,947) | (10,317,104) |
Class II | – | (1,328,070) | – | (878,996) |
Total distributions | (200,401) | (8,982,364) | (242,947) | (11,196,100) |
Capital Stock transactions: | ||||
Class I Shares | ||||
Shares sold | 11,156,715 | 30,294,841 | 13,607,410 | 37,578,345 |
Issued to shareholders in reinvestment of distributions | 200,401 | 7,654,294 | 242,947 | 10,317,104 |
Shares redeemed | (13,074,045) | (26,027,299) | (16,204,333) | (50,784,583) |
Net increase (decrease) in net assets from capital share transactions | (1,716,929) | 11,921,836 | (2,353,976) | (2,889,134) |
Class II Shares | ||||
Shares sold | 6,536,706 | 21,941,860 | 6,254,600 | 18,891,332 |
Issued to shareholders in reinvestment of distributions | – | 1,328,070 | – | 878,996 |
Shares redeemed | (1,483,510) | (1,507,319) | (926,873) | (1,628,450) |
Net increase (decrease) in net assets from capital share transactions | 5,053,196 | 21,762,611 | 5,327,727 | 18,141,878 |
Total net increase (decrease) from capital share transactions | 3,336,267 | 33,684,447 | 2,973,751 | 15,252,744 |
Total increase (decrease) in net assets | 11,430,331 | 41,930,746 | 19,931,508 | 39,669,622 |
Net Assets at end of period | $242,512,366 | $231,082,035 | $404,191,534 | $384,260,026 |
Undistributed net investment income included in net assets | $ 3,094,084 | $ 200,401 | $ 3,299,878 | $ 242,947 |
Capital Share transactions: | ||||
Class I Shares | ||||
Shares sold | 1,089,147 | 3,053,915 | 1,395,520 | 4,111,214 |
Issued to shareholders in reinvestment of distributions | 19,536 | 765,160 | 25,061 | 1,088,307 |
Shares redeemed | (1,275,328) | (2,615,695) | (1,659,690) | (5,528,211) |
Net increase in shares outstanding | (166,645) | 1,203,380 | (239,109) | (328,690) |
Class II Shares | ||||
Shares sold | 639,095 | 2,225,231 | 641,116 | 2,059,232 |
Issued to shareholders in reinvestment of distributions | – | 132,811 | – | 92,735 |
Shares redeemed | (145,950) | (150,625) | (95,214) | (177,705) |
Net increase (decrease) from capital stock transactions | 493,145 | 2,207,417 | 545,902 | 1,974,262 |
See accompanying Notes to Financial Statements.
64
Ultra Series Fund | June 30, 2011
Statements of Changes in Net Assets
Aggressive Allocation Fund | Money Market Fund | Bond Fund | High Income Fund | ||||
(unaudited) Six-Months Ended 6/30/11 | Year Ended 12/31/10 | (unaudited) Six-Months Ended 6/30/11 | Year Ended 12/31/10 | (unaudited) Six-Months Ended 6/30/11 | Year Ended 12/31/10 | (unaudited) Six-Months Ended 6/30/11 | Year Ended 12/31/10 |
$127,694,004 | $115,006,315 | $ 70,211,054 | $ 92,647,633 | $465,248,826 | $551,508,094 | $ 99,838,101 | $108,870,121 |
377,391 | 1,557,353 | – | – | 8,369,468 | 19,886,343 | 3,374,916 | 7,431,726 |
1,282,619 | 981,371 | – | – | 170,941 | (776,528) | 2,247,509 | 2,864,620 |
4,898,905 | 10,718,082 | – | – | 1,640,010 | 12,715,837 | (1,899,297) | 650,950 |
6,558,915 | 13,256,806 | – | – | 10,180,419 | 31,825,652 | 3,723,128 | 10,947,296 |
(45,988) | (1,957,002) | – | – | (379,626) | (17,920,685) | (228,607) | (7,114,840) |
– | (20,174) | – | – | – | (1,415,679) | (6,413) | (303,771) |
(45,988) | (1,977,176) | – | – | (379,626) | (19,336,364) | (235,020) | (7,418,611) |
9,105,097 | 21,387,476 | 13,265,466 | 24,976,798 | 23,314,192 | 24,922,679 | 2,364,413 | 9,178,883 |
45,988 | 1,957,002 | – | – | 379,626 | 17,920,685 | 228,607 | 7,114,840 |
(4,267,209) | (22,757,613) | (17,166,807) | (47,805,484) | (59,449,847) | (168,220,819) | (8,321,642) | (32,008,596) |
4,883,876 | 586,865 | (3,901,341) | (22,828,686) | (35,756,029) | (125,377,455) | (5,728,622) | (15,714,873) |
459,453 | 815,901 | 652,686 | 1,623,479 | 10,875,704 | 25,338,964 | 1,592,968 | 2,870,986 |
– | 20,174 | – | – | – | 1,415,679 | 6,413 | 303,771 |
(30,249) | (14,881) | (861,878) | (1,231,372) | (374,877) | (125,744) | (29,187) | (20,589) |
429,204 | 821,194 | (209,192) | 392,107 | 10,500,827 | 26,628,899 | 1,570,194 | 3,154,168 |
5,313,080 | 1,408,059 | (4,110,533) | (22,436,579) | (25,255,202) | (98,748,556) | (4,158,428) | (12,560,705) |
11,826,007 | 12,687,689 | (4,110,533) | (22,436,579) | (15,454,409) | (86,259,268) | (670,320) | (9,032,020) |
$139,520,011 | $127,694,004 | $ 66,100,521 | $ 70,211,054 | $449,794,417 | $465,248,826 | $ 99,167,781 | $ 99,838,101 |
$ 377,391 | $ 45,988 | $ – | $ – | $ 8,332,414 | $ 342,572 | $ 3,233,566 | $ 93,670 |
971,949 | 2,513,771 | 13,265,466 | 24,976,798 | 2,260,027 | 2,367,180 | 243,544 | 944,926 |
4,981 | 215,569 | – | – | 35,884 | 1,746,484 | 23,542 | 756,070 |
(454,591) | (2,620,741) | (17,166,807) | (47,805,484) | (5,744,426) | (15,817,029) | (856,476) | (3,382,330) |
522,339 | 108,599 | (3,901,341) | (22,828,686) | (3,448,515) | (11,703,365) | (589,390) | (1,681,334) |
49,055 | 94,595 | 652,686 | 1,623,479 | 1,050,261 | 2,391,169 | 164,133 | 298,803 |
– | 2,225 | – | – | – | 138,090 | 660 | 32,256 |
(3,228) | (1,754) | (861,878) | (1,231,372) | (36,394) | (11,932) | (2,997) | (2,136) |
45,827 | 95,066 | (209,192) | 392,107 | 1,013,867 | 2,517,327 | 161,796 | 328,923 |
See accompanying Notes to Financial Statements.
65
Ultra Series Fund | June 30, 2011
Statements of Changes in Net Assets
Diversified Income Fund | Equity Income Fund | |||
(unaudited) Six-Months Ended 6/30/11 | Year Ended 12/31/10 | (unaudited) Six-Months Ended 6/30/11 | Year Ended 12/31/101 | |
Net Assets at beginning of period | $407,017,583 | $424,642,342 | $ 2,221,337 | $ – |
Increase in net assets from operations: | ||||
Net investment income | 6,112,746 | 14,547,308 | (4,410) | (3,605) |
Net realized gain on investment | 8,206,046 | 13,803,156 | 166,571 | 65,821 |
Net change in unrealized appreciation (depreciation) on investments | 7,241,592 | 18,841,915 | (143,427) | 71,751 |
Net increase in net assets from operations | 21,560,384 | 47,192,379 | 18,734 | 133,967 |
Distributions to shareholders from: | ||||
Net investment income | ||||
Class I | (282,108) | (13,512,500) | – | – |
Class II | – | (740,470) | – | – |
Net realized gains | ||||
Class I | – | – | (1,586) | (11,456) |
Class II | – | – | (7,871) | (41,620) |
Total distributions | (282,108) | (14,252,970) | (9,457) | (53,076) |
Capital Stock transactions: | ||||
Class I Shares | ||||
Shares sold | 4,273,794 | 6,186,073 | – | 450,000 |
Issued to shareholders in reinvestment of distributions | 282,108 | 13,512,500 | 1,586 | 11,456 |
Shares redeemed | (22,642,928) | (85,409,980) | – | – |
Net increase (decrease) in net assets from capital share transactions | (18,087,026) | (65,711,407) | 1,586 | 461,456 |
Class II Shares | ||||
Shares sold | 7,022,098 | 16,060,982 | 687,322 | 1,639,463 |
Issued to shareholders in reinvestment of distributions | – | 740,470 | 7,871 | 41,620 |
Shares redeemed | (858,641) | (1,654,213) | (29,018) | (2,093) |
Net increase in net assets from capital share transactions | 6,163,457 | 15,147,239 | 666,175 | 1,678,990 |
Total net increase (decrease) from capital share transactions | (11,923,569) | (50,564,168) | 667,761 | 2,140,446 |
Total increase (decrease) in net assets | 9,354,707 | (17,624,759) | 677,038 | 2,221,337 |
Net Assets at end of period | $416,372,290 | $407,017,583 | 2,898,375 | 2,221,337 |
Undistributed net investment income included in net assets | $ 6,112,746 | $ 282,108 | (4,410) | – |
Capital Share transactions: | ||||
Class I Shares | ||||
Shares sold2 | 249,871 | 382,789 | – | 45,000 |
Issued to shareholders in reinvestment of distributions | 16,362 | 815,184 | 155 | 1,105 |
Shares redeemed3 | (1,320,644) | (5,266,514) | – | – |
Net increase in shares outstanding | (1,054,411) | (4,068,541) | 155 | 46,105 |
Class II Shares | ||||
Shares sold2 | 412,760 | 995,293 | 65,385 | 164,579 |
Issued to shareholders in reinvestment of distributions | – | 44,665 | 780 | 4,021 |
Shares redeemed3 | (50,363) | (103,911) | (2,758) | (206) |
Net increase (decrease) from capital stock transactions | 362,397 | 936,047 | 63,407 | 168,394 |
1 | The Equity Income Fund commenced investment operations on April 30, 2010. |
2 | A portion of the shares sold for the Mid Cap and Small Cap Funds are merger related. See Note 13. |
3 | Included in Mid Cap Fund’s amounts are 55,587,696 shares of Class I and 975,111 shares of Class II, redeemed as part of a reverse stock split resulting from the Mid Cap merger effective May 1, 2010. See Note 12. |
See accompanying Notes to Financial Statements.
66
Ultra Series Fund | June 30, 2011
Statements of Changes in Net Assets
Large Cap Value Fund | Large Cap Growth Fund | Mid Cap Fund | Small Cap Fund | ||||
(unaudited) Six-Months Ended 6/30/11 | Year Ended 12/31/10 | (unaudited) Six-Months Ended 6/30/11 | Year Ended 12/31/10 | (unaudited) Six-Months Ended 6/30/11 | Year Ended 12/31/10 | (unaudited) Six-Months Ended 6/30/11 | Year Ended 12/31/10 |
$530,247,917 | $633,315,527 | $395,446,443 | $439,485,846 | $397,169,596 | $231,140,313 | $ 13,097,057 | $ 8,605,016 |
5,217,685 | 10,041,801 | 473,800 | 2,098,277 | 52,836 | 1,426,201 | 19,499 | 90,074 |
15,754,471 | 12,524,176 | 37,656,337 | 45,547,695 | 29,307,972 | 38,533,473 | 460,345 | 1,388,131 |
19,371,157 | 20,216,492 | (18,375,025) | (1,480,283) | 7,903,694 | 22,164,950 | 310,211 | 2,037,319 |
40,343,313 | 42,782,469 | 19,755,112 | 46,165,689 | 37,264,502 | 62,124,624 | 790,055 | 3,515,524 |
(99,876) | (9,874,790) | (43,934) | (2,008,954) | (105,029) | (1,297,752) | (884) | (77,264) |
– | (92,316) | – | (80,740) | – | (23,971) | – | (7,146) |
– | – | – | – | – | – | – | – |
– | – | – | – | – | – | – | – |
(99,876) | (9,967,106) | (43,934) | (2,089,694) | (105,029) | (1,321,723) | (884) | (84,410) |
9,440,892 | 10,390,330 | 7,840,471 | 12,483,565 | 10,680,281 | 193,863,822 | 1,277,451 | 10,030,126 |
99,876 | 9,874,790 | 43,934 | 2,008,954 | 105,029 | 1,297,752 | 884 | 77,264 |
(47,942,576) | (158,639,460) | (28,268,055) | (115,438,988) | (29,920,891) | (98,896,293) | (786,981) | (9,565,271) |
(38,401,808) | (138,374,340) | (20,383,650) | (100,946,469) | (19,135,581) | 96,265,281 | 491,354 | 542,119 |
381,677 | 2,505,643 | 6,888,390 | 12,822,773 | 1,339,952 | 9,080,395 | 220,765 | 579,122 |
– | 92,316 | – | 80,740 | – | 23,971 | – | 7,146 |
(256,697) | (106,592) | (104,210) | (72,442) | (298,181) | (143,265) | (145,898) | (67,460) |
124,980 | 2,491,367 | 6,784,180 | 12,831,071 | 1,041,771 | 8,961,101 | 74,867 | 518,808 |
(38,276,828) | (135,882,973) | (13,599,470) | (88,115,398) | (18,093,810) | 105,226,382 | 566,221 | 1,060,927 |
1,966,609 | (103,067,610) | 6,111,708 | (44,039,403) | 19,065,663 | 166,029,283 | 1,355,392 | 4,492,041 |
$532,214,526 | $530,247,917 | $401,558,151 | $395,446,443 | $416,235,259 | $397,169,596 | $ 14,452,449 | $ 13,097,057 |
$ 5,217,685 | $ 99,876 | $ 473,800 | $ 43,934 | $ 52,836 | $ 105,029 | $ 19,499 | $ 884 |
376,651 | 452,699 | 340,538 | 617,902 | 697,513 | 40,430,546 | 114,477 | 1,150,799 |
4,066 | 420,253 | 1,992 | 90,753 | 7,073 | 91,523 | 82 | 7,118 |
(1,932,465) | (7,041,043) | (1,233,404) | (5,618,929) | (1,996,558) | (64,978,007) | (71,394) | (1,004,690) |
(1,551,748) | (6,168,091) | (890,874) | (4,910,274) | (1,291,972) | (24,455,938) | 43,165 | 153,227 |
15,414 | 113,216 | 301,328 | 637,399 | 89,436 | 1,438,260 | 20,095 | 63,338 |
– | 3,928 | – | 3,643 | – | 1,692 | – | 658 |
(10,299) | (4,782) | (4,532) | (3,505) | (19,614) | (988,143) | (13,180) | (7,085) |
5,115 | 112,362 | 296,796 | 637,537 | 69,822 | 451,809 | 6,915 | 56,911 |
See accompanying Notes to Financial Statements.
67
Ultra Series Fund | June 30, 2011
Statements of Changes in Net Assets
International Stock Fund | Madison Target Retirement 2020 Fund | |||
(unaudited) Six-Months Ended 6/30/11 | Year Ended 12/31/10 | (unaudited) Six-Months Ended 6/30/11 | Year Ended 12/31/10 | |
Net Assets at beginning of period | $105,304,241 | $ 81,959,251 | $ 27,647,785 | $ 19,299,907 |
Increase (decrease) in net assets from operations: | ||||
Net investment income | 1,519,141 | 1,364,848 | 340,042 | 592,475 |
Net realized gain (loss) on investment | 3,758,338 | (12,611,702) | 2,368,620 | 433,236 |
Net change in unrealized appreciation (depreciation) on investments | 1,697,556 | 9,722,689 | (1,467,649) | 1,041,991 |
Net increase (decrease) in net assets from operations | 6,975,035 | (1,524,165) | 1,241,013 | 2,067,702 |
Distributions to shareholders from: | ||||
Net investment income | ||||
Class I | (38,929) | (1,747,310) | (21,164) | (890,022) |
Class II | – | (164,100) | – | – |
Total distributions | (38,929) | (1,911,410) | (21,164) | (890,022) |
Capital Stock transactions: | ||||
Class I Shares | ||||
Shares sold | 2,304,549 | 44,238,040 | 8,508,477 | 10,542,189 |
Issued to shareholders in reinvestment of distributions | 38,929 | 1,747,310 | 21,164 | 890,022 |
Shares redeemed | (8,744,074) | (27,530,444) | (1,153,766) | (4,262,013) |
Net increase in net assets from capital share transactions | (6,400,596) | 18,454,906 | 7,375,875 | 7,170,198 |
Class II Shares2 | ||||
Shares sold | 3,105,690 | 8,220,151 | ||
Issued to shareholders in reinvestment of distributions | – | 164,100 | ||
Shares redeemed | (140,044) | (58,592) | ||
Net increase in net assets from capital share transactions | 2,965,646 | 8,325,659 | ||
Total net increase (decrease) from capital share transactions | (3,434,950) | 26,780,565 | 7,375,875 | 7,170,198 |
Total increase in net assets | 3,501,156 | 23,344,990 | 8,595,724 | 8,347,878 |
Net Assets at end of period | $108,805,397 | $105,304,241 | $ 36,243,509 | $ 27,647,785 |
Undistributed net investment income included in net assets | $ 1,212,167 | $ (268,045) | $ 340,042 | $ 21,164 |
Capital Share transactions: | ||||
Class I Shares | ||||
Shares sold | 222,526 | 3,857,990 | 1,028,547 | 1,339,863 |
Issued to shareholders in reinvestment of distributions | 3,811 | 178,541 | 2,566 | 110,405 |
Shares redeemed | (842,496) | (3,008,029) | (138,879) | (546,472) |
Net increase in shares outstanding | (616,159) | 1,028,502 | 892,234 | 903,796 |
Class II Shares2 | ||||
Shares sold | 301,059 | 899,702 | ||
Issued to shareholders in reinvestment of distributions | – | 16,689 | ||
Shares redeemed | (13,316) | (6,468) | ||
Net increase (decrease) from capital stock transactions | 287,743 | 909,923 |
1 | The Madison Target Retirement 2050 Fund commenced operations on January 3, 2011. |
2 | Class II shares are not available for the Madison Target Retirement Funds. |
See accompanying Notes to Financial Statements.
68
Ultra Series Fund | June 30, 2011
Statements of Changes in Net Assets
Madison Target Retirement 2030 Fund | Madison Target Retirement 2040 Fund | Madison Target Retirement 2050 Fund | ||
(unaudited) Six-Months Ended 6/30/11 | Year Ended 12/31/10 | (unaudited) Six-Months Ended 6/30/11 | Year Ended 12/31/10 | (unaudited) Inception to 6/30/111 |
$ 31,278,843 | $ 19,330,304 | $ 26,146,753 | $ 16,656,174 | $ – |
305,878 | 583,349 | 197,488 | 437,089 | 3,385 |
2,783,288 | 461,104 | 2,587,357 | 369,829 | (9,101) |
(1,655,938) | 1,448,454 | (1,570,973) | 1,407,256 | 23,822 |
1,433,228 | 2,492,907 | 1,213,872 | 2,214,174 | 18,106 |
(28,384) | (823,904) | (26,328) | (574,774) | – |
– | – | – | – | – |
(28,384) | (823,904) | (26,328) | (574,774) | – |
7,359,556 | 11,552,787 | 4,992,478 | 9,124,273 | 1,132,898 |
28,384 | 823,904 | 26,328 | 574,774 | – |
(601,862) | (2,097,155) | (1,144,324) | (1,847,868) | (4,916) |
6,786,078 | 10,279,536 | 3,874,482 | 7,851,179 | 1,127,982 |
6,786,078 | 10,279,536 | 3,874,482 | 7,851,179 | 1,127,982 |
8,190,922 | 11,948,539 | 5,062,026 | 9,490,579 | 1,146,088 |
$ 39,469,765 | $ 31,278,843 | $ 31,208,779 | $ 26,146,753 | $ 1,146,088 |
$ 305,878 | $ 28,384 | $ 197,488 | $ 26,328 | $ 3,385 |
908,792 | 1,523,733 | 638,405 | 1,264,901 | 110,594 |
3,528 | 104,333 | 3,412 | 75,725 | – |
(73,116) | (279,057) | (146,159) | (257,045) | (483) |
839,204 | 1,349,009 | 495,658 | 1,083,581 | 110,111 |
See accompanying Notes to Financial Statements.
69
Ultra Series Fund | June 30, 2011
Financial Highlights for a Share of Beneficial Interest Outstanding
CONSERVATIVE ALLOCATION FUND | ||||||
(unaudited) Six-Months Ended 6/30/11 | Year Ended December 31, | Inception to 12/31/061 | ||||
2010 | 2009 | 2008 | 2007 | |||
CLASS I | ||||||
Net Asset Value at beginning of period | $10.01 | $ 9.61 | $ 8.48 | $10.77 | $10.60 | $10.00 |
Income from Investment Operations: | ||||||
Net investment income3 | 0.13 | 0.29 | 0.29 | 0.35 | 0.45 | 0.23 |
Net realized and unrealized gain (loss) on investments | 0.23 | 0.52 | 1.12 | (2.27) | (0.03) | 0.51 |
Total from investment operations | 0.36 | 0.81 | 1.41 | (1.92) | 0.42 | 0.74 |
Less Distributions: | ||||||
Distributions from net investment income | (0.01) | (0.41) | (0.28) | (0.27) | (0.23) | (0.14) |
Distributions from capital gains | – | – | – | (0.10) | (0.02) | – |
Total distributions | (0.01) | (0.41) | (0.28) | (0.37) | (0.25) | (0.14) |
Net increase (decrease) in net asset value | 0.35 | 0.40 | 1.13 | (2.29) | 0.17 | 0.60 |
Net Asset Value at end of period | $10.36 | $10.01 | $ 9.61 | $ 8.48 | $10.77 | $10.60 |
Total Return (%)4 | 3.605 | 8.37 | 16.76 | (17.89) | 3.92 | 7.345 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $200,757 | $195,657 | $176,322 | $116,678 | $66,747 | $9,113 |
Ratios of expenses to average net assets: | ||||||
Before management fee reduction (%) | 0.306 | 0.31 | 0.31 | 0.31 | 0.31 | 0.346 |
After management fee reduction (%) | 0.306 | 0.31 | 0.31 | 0.28 | 0.21 | 0.246 |
Ratio of net investment income to average net assets (%) | 2.666 | 2.90 | 3.23 | 3.53 | 4.12 | 4.256 |
Portfolio Turnover (%)7 | 105 | 36 | 47 | 71 | 28 | 245 |
CLASS II | (unaudited) Six-Months Ended 6/30/11 | 2010 | Inception to 12/31/092 | |||
Net Asset Value at beginning of period | $10.00 | $ 9.61 | $ 8.51 | |||
Income from Investment Operations: | ||||||
Net investment income3 | 0.12 | 0.35 | 0.28 | |||
Net realized and unrealized gain (loss) on investments | 0.23 | 0.43 | 0.99 | |||
Total from investment operations | 0.35 | 0.78 | 1.27 | |||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.39) | (0.17) | |||
Net increase in net asset value | 0.35 | 0.39 | 1.10 | |||
Net Asset Value at end of period | $10.35 | $10.00 | $ 9.61 | |||
Total Return (%)4 | 3.475 | 8.10 | 14.915 | |||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $41,755 | $35,425 | $12,829 | |||
Ratios of expenses to average net assets (%) | 0.556 | 0.55 | 0.566 | |||
Ratio of net investment income to average net assets (%) | 2.446 | 3.47 | 4.386 | |||
Portfolio Turnover (%)7 | 105 | 36 | 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. |
7 | Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements.
70
Ultra Series Fund | June 30, 2011
Financial Highlights for a Share of Beneficial Interest Outstanding
MODERATE ALLOCATION FUND | ||||||
(unaudited) Six-Months Ended 6/30/11 | Year Ended December 31, | Inception to 12/31/061 | ||||
2010 | 2009 | 2008 | 2007 | |||
CLASS I | ||||||
Net Asset Value at beginning of period | $ 9.49 | $ 8.87 | $ 7.51 | $11.21 | $10.86 | $10.00 |
Income from Investment Operations: | ||||||
Net investment income3 | 0.08 | 0.20 | 0.18 | 0.21 | 0.28 | 0.20 |
Net realized and unrealized gain (loss) on investments | 0.34 | 0.71 | 1.37 | (3.55) | 0.32 | 0.79 |
Total from investment operations | 0.42 | 0.91 | 1.55 | (3.34) | 0.60 | 0.99 |
Less Distributions: | ||||||
Distributions from net investment income | (0.01) | (0.29) | (0.19) | (0.17) | (0.19) | (0.13) |
Distributions from capital gains | – | – | – | (0.19) | (0.06) | (0.00)5 |
Total distributions | (0.01) | (0.29) | (0.19) | (0.36) | (0.25) | (0.13) |
Net increase (decrease) in net asset value | 0.41 | 0.62 | 1.36 | (3.70) | 0.35 | 0.86 |
Net Asset Value at end of period | $ 9.90 | $ 9.49 | $ 8.87 | $ 7.51 | $11.21 | $10.86 |
Total Return (%)4 | 4.486 | 10.22 | 20.61 | (30.23) | 5.56 | 9.876 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $365,699 | $352,545 | $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 | 0.31 | 0.347 |
After management fee reduction (%) | 0.317 | 0.31 | 0.31 | 0.28 | 0.21 | 0.247 |
Ratio of net investment income to average net assets (%) | 1.697 | 2.24 | 2.29 | 2.20 | 2.45 | 3.747 |
Portfolio Turnover (%)8 | 76 | 34 | 52 | 69 | 29 | 236 |
CLASS II | (unaudited) Six-Months Ended 6/30/11 | 2010 | Inception to 12/31/092 | |||
Net Asset Value at beginning of period | $ 9.48 | $8.87 | $ 7.56 | |||
Income from Investment Operations: | ||||||
Net investment income3 | 0.07 | 0.25 | 0.19 | |||
Net realized and unrealized gain (loss) on investments | 0.34 | 0.63 | 1.24 | |||
Total from investment operations | 0.41 | 0.88 | 1.43 | |||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.27) | (0.12) | |||
Net increase in net asset value | 0.41 | 0.61 | 1.31 | |||
Net Asset Value at end of period | $ 9.89 | $ 9.48 | $ 8.87 | |||
Total Return (%)4 | 4.356 | 9.94 | 18.826 | |||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $38,493 | $31,715 | $12,162 | |||
Ratios of expenses to average net assets (%) | 0.567 | 0.56 | 0.567 | |||
Ratio of net investment income to average net assets (%) | 1.477 | 2.76 | 3.337 | |||
Portfolio Turnover (%)8 | 76 | 34 | 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. |
8 | Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements.
71
Ultra Series Fund | June 30, 2011
Financial Highlights for a Share of Beneficial Interest Outstanding
AGGRESSIVE ALLOCATION FUND | ||||||
(unaudited) Six-Months Ended 6/30/11 | Year Ended December 31, | Inception to 12/31/061 | ||||
2010 | 2009 | 2008 | 2007 | |||
CLASS I | ||||||
Net Asset Value at beginning of period | $ 9.08 | $ 8.30 | $ 6.57 | $11.61 | $11.10 | $10.00 |
Income from Investment Operations: | ||||||
Net investment income3 | 0.03 | 0.11 | 0.10 | 0.09 | 0.09 | 0.15 |
Net realized and unrealized gain (loss) on investments | 0.42 | 0.81 | 1.74 | (4.74) | 0.77 | 1.10 |
Total from investment operations | 0.45 | 0.92 | 1.84 | (4.65) | 0.86 | 1.25 |
Less Distributions: | ||||||
Distributions from net investment income | (0.00)5 | (0.14) | (0.11) | (0.06) | (0.14) | (0.15) |
Distributions from capital gains | – | – | – | (0.33) | (0.21) | – |
Total distributions | – | (0.14) | (0.11) | (0.39) | (0.35) | (0.15) |
Net increase (decrease) in net asset value | 0.45 | 0.78 | 1.73 | (5.04) | 0.51 | 1.10 |
Net Asset Value at end of period | $ 9.53 | $ 9.08 | $ 8.30 | $ 6.57 | $11.61 | $11.10 |
Total Return (%)4 | 5.066 | 11.15 | 27.91 | (41.09) | 7.69 | 12.496 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $137,589 | $126,270 | $114,492 | $69,616 | $68,120 | $21,547 |
Ratios of expenses to average net assets: | ||||||
Before management fee reduction (%) | 0.317 | 0.31 | 0.31 | 0.31 | 0.31 | 0.337 |
After management fee reduction (%) | 0.317 | 0.31 | 0.31 | 0.28 | 0.21 | 0.237 |
Ratio of net investment income to average net assets (%) | 0.577 | 1.27 | 1.44 | 0.94 | 0.79 | 2.717 |
Portfolio Turnover (%)8 | 146 | 33 | 58 | 67 | 46 | 216 |
CLASS II | (unaudited) Six-Months Ended 6/30/11 | 2010 | Inception to 12/31/092 | |||
Net Asset Value at beginning of period | $ 9.07 | $ 8.30 | $ 6.69 | |||
Income from Investment Operations: | ||||||
Net investment income3 | 0.02 | 0.17 | 0.15 | |||
Net realized and unrealized gain (loss) on investments | 0.43 | 0.73 | 1.54 | |||
Total from investment operations | 0.45 | 0.90 | 1.69 | |||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.13) | (0.08) | |||
Net increase in net asset value | 0.45 | 0.77 | 1.61 | |||
Net Asset Value at end of period | $ 9.52 | $ 9.07 | $ 8.30 | |||
Total Return (%)4 | 4.936 | 10.87 | 25.096 | |||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $1,931 | $1,424 | $514 | |||
Ratios of expenses to average net assets (%) | 0.567 | 0.56 | 0.567 | |||
Ratio of net investment income to average net assets (%) | 0.357 | 1.99 | 2.867 | |||
Portfolio Turnover (%)8 | 146 | 33 | 586 |
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. |
8 | Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements.
72
Ultra Series Fund | June 30, 2011
Financial Highlights for a Share of Beneficial Interest Outstanding
MONEY MARKET FUND | ||||||
(unaudited) Six-Months Ended 6/30/11 | Year Ended December 31, | |||||
2010 | 2009 | 2008 | 2007 | 2006 | ||
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 |
Net realized and unrealized gain (loss) on investments | – | – | – | 0.004 | 0.004 | 0.004 |
Total from investment operations | 0.00 | 0.00 | 0.00 | 0.02 | 0.05 | 0.04 |
Less Distributions: | ||||||
Distributions from net investment income | – | – | (0.00)4 | (0.02) | (0.05) | (0.04) |
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 Return (%)3 | 0.005 | 0.00 | 0.00 | 1.75 | 4.71 | 4.54 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $65,732 | $69,634 | $92,463 | $159,349 | $111,333 | $100,462 |
Ratios of expenses to average net assets: | ||||||
Before waiver of expenses by Adviser (%) | 0.486 | 0.47 | 0.47 | 0.47 | 0.46 | 0.46 |
After waiver of expenses by Adviser (%) | 0.116,7 | 0.147 | 0.287 | 0.47 | 0.46 | 0.46 |
Ratio of net investment income to average net assets (%) | 0.006,7 | 0.007 | 0.00 | 1.67 | 4.58 | 4.42 |
CLASS II | (unaudited) Six-Months Ended 6/30/11 | 2010 | Inception to 12/31/091 | |||
Net Asset Value at beginning of period | $1.00 | $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 | 0.00 | |||
Less Distributions: | ||||||
Distributions from net investment income | – | – | – | |||
Net increase in net asset value | 0.00 | 0.00 | 0.00 | |||
Net Asset Value at end of period | $1.00 | $1.00 | $1.00 | |||
Total Return(%)3 | 0.005 | 0.00 | 0.005 | |||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $368 | $577 | $185 | |||
Ratios of expenses to average net assets: | ||||||
Before waiver of expenses by Adviser (%) | 0.736 | 0.73 | 0.736 | |||
After waiver of expenses by Adviser (%) | 0.116,7 | 0.167 | 0.206,7 | |||
Ratio of net investment income to average net assets (%) | 0.006,7 | 0.007 | 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.
73
Ultra Series Fund | June 30, 2011
Financial Highlights for a Share of Beneficial Interest Outstanding
BOND FUND | ||||||
(unaudited) Six-Months Ended 6/30/11 | Year Ended December 31, | |||||
2010 | 2009 | 2008 | 2007 | 2006 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $10.29 | $10.14 | $ 9.94 | $10.19 | $10.11 | $10.17 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.19 | 0.40 | 0.43 | 0.50 | 0.49 | 0.47 |
Net realized and unrealized gain (loss) on investments | 0.05 | 0.20 | 0.21 | (0.21) | 0.02 | (0.06) |
Total from investment operations | 0.24 | 0.60 | 0.64 | 0.29 | 0.51 | 0.41 |
Less Distributions: | ||||||
Distributions from net investment income | (0.01) | (0.45) | (0.44) | (0.54) | (0.43) | (0.47) |
Net increase (decrease) in net asset value | 0.23 | 0.15 | 0.20 | (0.25) | 0.08 | (0.06) |
Net Asset Value at end of period | $10.52 | $10.29 | $10.14 | $ 9.94 | $10.19 | $10.11 |
Total Return (%)3 | 2.284 | 5.92 | 6.50 | 2.86 | 5.05 | 4.01 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $402,623 | $429,499 | $541,789 | $572,562 | $646,233 | $659,273 |
Ratios of expenses to average net assets | 0.575 | 0.56 | 0.57 | 0.56 | 0.56 | 0.56 |
Ratio of net investment income to average net assets (%) | 3.705 | 3.76 | 4.28 | 4.84 | 4.81 | 4.54 |
Portfolio Turnover (%)6 | 44 | 2 | 25 | 12 | 29 | 27 |
CLASS II | (unaudited) Six-Months Ended 6/30/11 | 2010 | Inception to 12/31/091 | |||
Net Asset Value at beginning of period | $10.28 | $10.14 | $ 9.85 | |||
Income from Investment Operations: | ||||||
Net investment income2 | 0.18 | 0.37 | 0.27 | |||
Net realized and unrealized gain (loss) on investments | 0.05 | 0.20 | 0.28 | |||
Total from investment operations | 0.23 | 0.57 | 0.55 | |||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.43) | (0.26) | |||
Net increase in net asset value | 0.23 | 0.14 | 0.29 | |||
Net Asset Value at end of period | $10.51 | $10.28 | $10.14 | |||
Total Return(%)3 | 2.154 | 5.66 | 5.554 | |||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $47,172 | $35,750 | $9,719 | |||
Ratios of expenses to average net assets | 0.825 | 0.81 | 0.825 | |||
Ratio of net investment income to average net assets (%) | 3.455 | 3.49 | 3.865 | |||
Portfolio Turnover (%)6 | 44 | 2 | 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. |
6 | Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements.
74
Ultra Series Fund | June 30, 2011
Financial Highlights for a Share of Beneficial Interest Outstanding
HIGH INCOME FUND | ||||||
(unaudited) Six-Months Ended 6/30/11 | Year Ended December 31, | |||||
2010 | 2009 | 2008 | 2007 | 2006 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $ 9.42 | $ 9.11 | $ 7.34 | $ 9.54 | $10.16 | $10.01 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.33 | 0.72 | 0.68 | 0.67 | 0.76 | 0.74 |
Net realized and unrealized gain (loss) on investments | 0.02 | 0.35 | 1.80 | (2.07) | (0.53) | 0.16 |
Total from investment operations | 0.35 | 1.07 | 2.48 | (1.40) | 0.23 | 0.90 |
Less Distributions: | ||||||
Distributions from net investment income | (0.02) | (0.76) | (0.71) | (0.80) | (0.85) | (0.74) |
Distributions from capital gains | – | – | – | – | (0.00)4 | (0.01) |
Total distributions | (0.02) | (0.76) | (0.71) | (0.80) | (0.85) | (0.75) |
Net increase (decrease) in net asset value | 0.33 | 0.31 | 1.77 | (2.20) | (0.62) | 0.15 |
Net Asset Value at end of period | $ 9.75 | $ 9.42 | $ 9.11 | $ 7.34 | $ 9.54 | $10.16 |
Total Return (%)3 | 3.765 | 11.73 | 34.29 | (14.74) | 2.29 | 9.03 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $93,154 | $95,552 | $107,722 | $90,728 | $135,045 | $153,528 |
Ratios of expenses to average net assets | 0.766 | 0.77 | 0.77 | 0.76 | 0.76 | 0.77 |
Ratio of net investment income to average net assets (%) | 6.756 | 7.54 | 7.94 | 7.42 | 7.27 | 7.12 |
Portfolio Turnover (%)7 | 335 | 53 | 73 | 45 | 73 | 64 |
CLASS II | (unaudited) Six-Months Ended 6/30/11 | 2010 | Inception to 12/31/091 | |||
Net Asset Value at beginning of period | $ 9.42 | $ 9.11 | $ 8.14 | |||
Income from Investment Operations: | ||||||
Net investment income2 | 0.31 | 0.70 | 0.47 | |||
Net realized and unrealized gain (loss) on investments | 0.03 | 0.34 | 0.96 | |||
Total from investment operations | 0.34 | 1.04 | 1.43 | |||
Less Distributions: | ||||||
Distributions from net investment income | (0.01) | (0.73) | (0.46) | |||
Net increase in net asset value | 0.33 | 0.31 | 0.97 | |||
Net Asset Value at end of period | $ 9.75 | $9.42 | $ 9.11 | |||
Total Return (%)3 | 3.635 | 11.45 | 17.495 | |||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $6,014 | $4,286 | $1,148 | |||
Ratios of expenses to average net assets | 1.016 | 1.01 | 1.016 | |||
Ratio of net investment income to average net assets (%) | 6.516 | 7.20 | 7.656 | |||
Portfolio Turnover (%)7 | 335 | 53 | 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. |
7 | Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements.
75
Ultra Series Fund | June 30, 2011
Financial Highlights for a Share of Beneficial Interest Outstanding
DIVERSIFIED INCOME FUND | ||||||
(unaudited) Six-Months Ended 6/30/11 | Year Ended December 31, | |||||
2010 | 2009 | 2008 | 2007 | 2006 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $16.62 | $15.37 | $14.46 | $17.62 | $18.46 | $19.40 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.25 | 0.56 | 0.60 | 0.72 | 0.79 | 0.49 |
Net realized and unrealized gain (loss) on investments | 0.63 | 1.29 | 0.92 | (3.05) | (0.32) | 1.45 |
Total from investment operations | 0.88 | 1.85 | 1.52 | (2.33) | 0.47 | 1.94 |
Less Distributions: | ||||||
Distributions from net investment income | (0.01) | (0.60) | (0.61) | (0.81) | (0.80) | (0.55) |
Distributions from capital gains | – | – | – | (0.02) | (0.51) | (2.33) |
Total distributions | (0.01) | (0.60) | (0.61) | (0.83) | (1.31) | (2.88) |
Net increase (decrease) in net asset value | 0.87 | 1.25 | 0.91 | (3.16) | (0.84) | (0.94) |
Net Asset Value at end of period | $17.49 | $16.62 | $15.37 | $14.46 | $17.62 | $18.46 |
Total Return (%)3 | 5.355 | 12.04 | 10.74 | (13.25) | 2.51 | 9.984 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $386,565 | $384,709 | $418,381 | $438,047 | $637,606 | $735,881 |
Ratios of expenses to average net assets | 0.726 | 0.72 | 0.72 | 0.71 | 0.71 | 0.71 |
Ratio of net investment income to average net assets (%) | 2.996 | 3.50 | 4.12 | 4.37 | 4.21 | 2.52 |
Portfolio Turnover (%)7 | 85 | 23 | 26 | 14 | 41 | 62 |
CLASS II | (unaudited) Six-Months Ended 6/30/11 | 2010 | Inception to 12/31/091 | |||
Net Asset Value at beginning of period | $16.61 | $15.37 | $13.74 | |||
Income from Investment Operations: | ||||||
Net investment income2 | 0.23 | 0.52 | 0.35 | |||
Net realized and unrealized gain (loss) on investments | 0.63 | 1.29 | 1.64 | |||
Total from investment operations | 0.86 | 1.81 | 1.99 | |||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.57) | (0.36) | |||
Net increase in net asset value | 0.86 | 1.24 | 1.63 | |||
Net Asset Value at end of period | $17.47 | $16.61 | $15.37 | |||
Total Return (%)3 | 5.225 | 11.77 | 14.435 | |||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $29,807 | $22,309 | $6,261 | |||
Ratios of expenses to average net assets | 0.976 | 0.97 | 0.976 | |||
Ratio of net investment income to average net assets (%) | 2.746 | 3.20 | 3.446 | |||
Portfolio Turnover (%)7 | 85 | 23 | 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. |
7 | Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements.
76
Ultra Series Fund | June 30, 2011
Financial Highlights for a Share of Beneficial Interest Outstanding
EQUITY INCOME FUND | ||
(unaudited) Six-Months Ended 6/30/11 | Year Ended December 31, 20101 | |
CLASS I | ||
Net Asset Value at beginning of period | $10.37 | $10.00 |
Income from Investment Operations: | ||
Net investment income2 | 0.01 | (0.02) |
Net realized and unrealized gain (loss) on investments | 0.10 | 0.64 |
Total from investment operations | 0.11 | 0.62 |
Less Distributions: | ||
Distributions from net investment income | – | – |
Distributions from capital gains | (0.03) | (0.25) |
Total distributions | (0.03) | (0.25) |
Net increase in net asset value | 0.08 | 0.37 |
Net Asset Value at end of period | $10.45 | $10.37 |
Total Return (%)3 | 1.10 | 6.24 |
Ratios/Supplemental Data: | ||
Net Assets at end of period (in 000’s) | $483 | $478 |
Ratios of expenses to average net assets | 0.914 | 0.914 |
Ratio of net investment income to average net assets (%) | (0.14)4 | (0.34)4 |
Portfolio Turnover (%)6 | 615 | 495 |
CLASS II | ||
Net Asset Value at beginning of period | $10.35 | $10.00 |
Income from Investment Operations: | ||
Net investment income2 | – | (0.02) |
Net realized and unrealized gain (loss) on investments | 0.10 | 0.62 |
Total from investment operations | 0.10 | 0.60 |
Less Distributions: | ||
Distributions from net investment income | – | – |
Distributions from capital gains | (0.03) | (0.25) |
Total distributions | (0.03) | (0.25) |
Net increase in net asset value | 0.07 | 0.35 |
Net Asset Value at end of period | $10.42 | $10.35 |
Total Return (%)3 | 0.98 | 6.07 |
Ratios/Supplemental Data: | ||
Net Assets at end of period (in 000’s) | $2,415 | $1,743 |
Ratios of expenses to average net assets | 1.164 | 1.174 |
Ratio of net investment income to average net assets (%) | (0.38)4 | (0.46)4 |
Portfolio Turnover (%)6 | 615 | 495 |
1 | Commenced investment operations April 30, 2010. |
2 | Based on average shares outstanding during the period. |
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 | Annualized. |
5 | Not annualized. |
6 | Portfolio Turnover is calculated at the fund level and represents the entire period |
See accompanying Notes to Financial Statements.
77
Ultra Series Fund | June 30, 2011
Financial Highlights for a Share of Beneficial Interest Outstanding
LARGE CAP VALUE FUND | ||||||
(unaudited) Six-Months Ended 6/30/11 | Year Ended December 31, | |||||
2010 | 2009 | 2008 | 2007 | 2006 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $23.56 | $22.17 | $19.42 | $31.49 | $35.14 | $31.62 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.24 | 0.38 | 0.43 | 0.65 | 0.68 | 0.65 |
Net realized and unrealized gain (loss) on investments | 1.59 | 1.46 | 2.76 | (11.99) | (0.45) | 5.87 |
Total from investment operations | 1.83 | 1.84 | 3.19 | (11.34) | 0.23 | 6.52 |
Less Distributions: | ||||||
Distributions from net investment income | (0.00)6 | (0.45) | (0.44) | (0.71) | (0.71) | (0.67) |
Distributions from capital gains | – | – | – | (0.02) | (3.17) | (2.33) |
Total distributions | 0.00 | (0.45) | (0.44) | (0.73) | (3.88) | (3.00) |
Net increase (decrease) in net asset value | 1.83 | 1.39 | 2.75 | (12.07) | (3.65) | 3.52 |
Net Asset Value at end of period | $25.39 | $23.56 | $22.17 | $19.42 | $31.49 | $35.14 |
Total Return (%)3 | 7.804 | 8.29 | 16.79 | (35.99) | 0.60 | 20.55 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $526,321 | $524,894 | $630,764 | $609,444 | $1,229,433 | $1,390,778 |
Ratios of expenses to average net assets | 0.625 | 0.62 | 0.62 | 0.61 | 0.61 | 0.61 |
Ratio of net investment income to average net assets (%) | 1.965 | 1.72 | 2.23 | 2.42 | 1.87 | 1.91 |
Portfolio Turnover (%)7 | 144 | 63 | 81 | 38 | 45 | 35 |
CLASS II | (unaudited) Six-Months Ended 6/30/11 | 2010 | Inception to 12/31/091 | |||
Net Asset Value at beginning of period | $23.54 | $22.17 | $17.74 | |||
Income from Investment Operations: | ||||||
Net investment income2 | 0.21 | 0.34 | 0.18 | |||
Net realized and unrealized gain (loss) on investments | 1.59 | 1.44 | 4.45 | |||
Total from investment operations | 1.80 | 1.78 | 4.63 | |||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.41) | (0.20) | |||
Net increase in net asset value | 1.80 | 1.37 | 4.43 | |||
Net Asset Value at end of period | $25.34 | $23.54 | $22.17 | |||
Total Return (%)3 | 7.674 | 8.02 | 26.094 | |||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $5,894 | $5,354 | $2,552 | |||
Ratios of expenses to average net assets | 0.875 | 0.87 | 0.875 | |||
Ratio of net investment income to average net assets (%) | 1.725 | 1.51 | 1.285 | |||
Portfolio Turnover (%)7 | 144 | 63 | 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. |
6 | Amounts represent less than $0.005 per share. |
7 | Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements.
78
Ultra Series Fund | June 30, 2011
Financial Highlights for a Share of Beneficial Interest Outstanding
LARGE CAP GROWTH FUND | ||||||
(unaudited) Six-Months Ended 6/30/11 | Year Ended December 31, | |||||
2010 | 2009 | 2008 | 2007 | 2006 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $22.16 | $19.87 | $14.50 | $23.36 | $21.47 | $19.97 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.03 | 0.10 | 0.12 | 0.12 | 0.08 | 0.07 |
Net realized and unrealized gain (loss) on investments | 1.09 | 2.31 | 5.37 | (8.80) | 2.59 | 1.51 |
Total from investment operations | 1.12 | 2.41 | 5.49 | (8.68) | 2.67 | 1.58 |
Less Distributions: | ||||||
Distributions from net investment income | (0.00)6 | (0.12) | (0.12) | (0.14) | (0.09) | (0.08) |
Distributions from capital gains | – | – | – | (0.04) | (0.69) | – |
Total distributions | (0.00)6 | (0.12) | (0.12) | (0.18) | (0.78) | (0.08) |
Net increase (decrease) in net asset value | 1.12 | 2.29 | 5.37 | (8.86) | 1.89 | 1.50 |
Net Asset Value at end of period | $23.28 | $22.16 | $19.87 | $14.50 | $23.36 | $21.47 |
Total Return (%)3 | 5.074 | 12.13 | 37.98 | (37.20) | 12.36 | 7.88 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $372,835 | $374,644 | $433,483 | $352,473 | $665,240 | $669,761 |
Ratios of expenses to average net assets | 0.825 | 0.82 | 0.82 | 0.82 | 0.81 | 0.81 |
Ratio of net investment income to average net assets (%) | 0.255 | 0.51 | 0.72 | 0.62 | 0.34 | 0.35 |
Portfolio Turnover (%)7 | 514 | 78 | 89 | 123 | 76 | 87 |
CLASS II | (unaudited) Six-Months Ended 6/30/11 | 2010 | Inception to 12/31/091 | |||
Net Asset Value at beginning of period | $22.14 | $19.87 | $15.78 | |||
Income from Investment Operations: | ||||||
Net investment income2 | 0.006 | 0.06 | 0.05 | |||
Net realized and unrealized gain (loss) on investments | 1.09 | 2.30 | 4.09 | |||
Total from investment operations | 1.09 | 2.36 | 4.14 | |||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.09) | (0.05) | |||
Net increase in net asset value | 1.09 | 2.27 | 4.09 | |||
Net Asset Value at end of period | $23.23 | $22.14 | $19.87 | |||
Total Return (%)3 | 4.944 | 11.85 | 26.214 | |||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $28,723 | $20,802 | $6,003 | |||
Ratios of expenses to average net assets | 1.075 | 1.07 | 1.075 | |||
Ratio of net investment income to average net assets (%) | 0.025 | 0.29 | 0.365 | |||
Portfolio Turnover (%)7 | 514 | 78 | 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. |
6 | Amounts represent less than $0.005 per share. |
7 | Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements.
79
Ultra Series Fund | June 30, 2011
Financial Highlights for a Share of Beneficial Interest Outstanding
MID CAP FUND | ||||||
(unaudited) Six-Months Ended 6/30/11 | Year Ended December 31, | |||||
20103 | 20093 | 20083 | 20073 | 20063 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $14.14 | $11.82 | $ 8.01 | $15.31 | $15.68 | $17.94 |
Income from Investment Operations: | ||||||
Net investment income2 | – | 0.04 | – | 0.005 | (0.08) | (0.05) |
Net realized and unrealized gain (loss) on investments | 1.36 | 2.33 | 3.81 | (7.14) | 1.41 | 2.08 |
Total from investment operations | 1.36 | 2.37 | 3.81 | (7.14) | 1.33 | 2.03 |
Less Distributions: | ||||||
Distributions from net investment income | (0.00)5 | (0.05) | (0.00)5 | (0.00)5 | – | – |
Distributions from capital gains | – | – | – | (0.16) | (1.70) | (4.29) |
Total distributions | 0.00 | (0.05) | (0.00) | (0.16) | (1.70) | (4.29) |
Net increase (decrease) in net asset value | 1.36 | 2.32 | 3.81 | (7.30) | (0.37) | (2.26) |
Net Asset Value at end of period | $15.50 | $14.14 | $11.82 | $ 8.01 | $15.31 | $15.68 |
Total Return (%)4 | 9.606 | 20.12 | 47.28 | (46.89) | 8.44 | 11.38 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $402,072 | $385,218 | $229,395 | $166,465 | $367,318 | $374,044 |
Ratios of expenses to average net assets | 0.917 | 0.90 | 0.87 | 0.87 | 0.86 | 0.86 |
Ratio of net investment income to average net assets (%) | 0.037 | 0.42 | (0.05) | 0.09 | (0.41) | (0.22) |
Portfolio Turnover (%)8 | 366 | 46 | 186 | 108 | 104 | 204 |
CLASS II | (unaudited) Six-Months Ended 6/30/11 | 20103 | Inception to 12/31/091,3 | |||
Net Asset Value at beginning of period | $14.13 | $11.82 | $ 9.36 | |||
Income from Investment Operations: | ||||||
Net investment income2 | (0.02) | 0.04 | (0.00) | |||
Net realized and unrealized gain (loss) on investments | 1.36 | 2.30 | 2.46 | |||
Total from investment operations | 1.34 | 2.34 | 2.46 | |||
Less Distributions: | ||||||
Distributions from net investment income | 0.00 | (0.03) | – | |||
Net increase in net asset value | 1.34 | 2.31 | 2.46 | |||
Net Asset Value at end of period | $15.47 | $14.13 | $11.82 | |||
Total Return (%)4 | 9.476 | 19.82 | 26.136 | |||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $14,163 | $11,951 | $4,813 | |||
Ratios of expenses to average net assets | 1.177 | 1.16 | 1.227 | |||
Ratio of net investment income to average net assets (%) | (0.21)7 | 0.38 | 0.537 | |||
Portfolio Turnover (%)8 | 366 | 46 | 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 Mid Cap 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. |
8 | Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements.
80
Ultra Series Fund | June 30, 2011
Financial Highlights for a Share of Beneficial Interest Outstanding
SMALL CAP FUND | |||||
(unaudited) Six-Months Ended 6/30/11 | Year Ended December 31, | Inception to 12/31/071 | |||
2010 | 2009 | 2008 | |||
CLASS I | |||||
Net Asset Value at beginning of period | $10.75 | $8.54 | $ 6.53 | $ 8.86 | $10.00 |
Income from Investment Operations: | |||||
Net investment income3 | 0.02 | 0.08 | 0.05 | 0.08 | 0.09 |
Net realized and unrealized gain (loss) on investments | 0.63 | 2.20 | 2.00 | (2.34) | (1.05) |
Total from investment operations | 0.65 | 2.28 | 2.05 | (2.26) | (0.96) |
Less Distributions: | |||||
Distributions from net investment income | (0.00)5 | (0.07) | (0.04) | (0.07) | (0.08) |
Distributions from capital gains | – | – | – | (0.00)5 | (0.10) |
Total distributions | – | (0.07) | (0.04) | (0.07) | (0.18) |
Net increase (decrease) in net asset value | 0.65 | 2.21 | 2.01 | (2.33) | (1.14) |
Net Asset Value at end of period | $11.40 | $10.75 | $ 8.54 | $ 6.53 | $ 8.86 |
Total Return (%)4 | 6.016 | 26.80 | 31.56 | (25.54) | (9.62)6 |
Ratios/Supplemental Data: | |||||
Net Assets at end of period (in 000’s) | $12,905 | $11,710 | $7,989 | $5,986 | $5,624 |
Ratios of expenses to average net assets | 1.117 | 1.11 | 1.11 | 1.12 | 1.047 |
Ratio of net investment income to average net assets (%) | 0.317 | 0.85 | 0.77 | 1.03 | 1.457 |
Portfolio Turnover (%)8 | 106 | 33 | 21 | 28 | 136 |
CLASS II | (unaudited) Six-Months Ended 6/30/11 | 2010 | Inception to 12/31/092 | ||
Net Asset Value at beginning of period | $10.74 | $8.54 | $ 6.50 | ||
Income from Investment Operations: | |||||
Net investment income3 | 0.005 | 0.06 | 0.02 | ||
Net realized and unrealized gain (loss) on investments | 0.63 | 2.20 | 2.03 | ||
Total from investment operations | 0.63 | 2.26 | 2.05 | ||
Less Distributions: | |||||
Distributions from net investment income | – | (0.06) | (0.01) | ||
Net increase in net asset value | 0.63 | 2.20 | 2.04 | ||
Net Asset Value at end of period | $11.37 | $10.74 | $ 8.54 | ||
Total Return (%)4 | 5.886 | 26.48 | 31.576 | ||
Ratios/Supplemental Data: | |||||
Net Assets at end of period (in 000’s) | $1,547 | $1,387 | $616 | ||
Ratios of expenses to average net assets | 1.367 | 1.36 | 1.367 | ||
Ratio of net investment income to average net assets (%) | 0.067 | 0.67 | 0.447 | ||
Portfolio Turnover (%)8 | 106 | 33 | 216 |
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 | Amount represents less than $0.005 per share. |
6 | Not annualized. |
7 | Annualized. |
8 | Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements.
81
Ultra Series Fund | June 30, 2011
Financial Highlights for a Share of Beneficial Interest Outstanding
INTERNATIONAL STOCK FUND | ||||||
(unaudited) Six-Months Ended 6/30/11 | Year Ended December 31, | |||||
2010 | 2009 | 2008 | 2007 | 2006 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $ 9.99 | $ 9.53 | $ 7.59 | $13.40 | $13.78 | $12.38 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.15 | 0.14 | 0.17 | 0.26 | 0.23 | 0.19 |
Net realized and unrealized gain (loss) on investments | 0.51 | 0.53 | 1.95 | (5.27) | 1.36 | 2.78 |
Total from investment operations | 0.66 | 0.67 | 2.12 | (5.01) | 1.59 | 2.97 |
Less Distributions: | ||||||
Distributions from net investment income | (0.00)6 | (0.21) | (0.18) | (0.26) | (0.32) | (0.20) |
Distributions from capital gains | – | – | – | (0.54) | (1.65) | (1.37) |
Total distributions | 0.00 | (0.21) | (0.18) | (0.80) | (1.97) | (1.57) |
Net increase (decrease) in net asset value | 0.66 | 0.46 | 1.94 | (5.81) | (0.38) | 1.40 |
Net Asset Value at end of period | $10.65 | $ 9.99 | $ 9.53 | $ 7.59 | $13.40 | $13.78 |
Total Return (%)3 | 6.714 | 7.09 | 27.90 | (38.62) | 11.42 | 24.19 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $91,628 | $92,063 | $77,997 | $72,768 | $164,151 | $165,704 |
Ratios of expenses to average net assets | 1.225 | 1.22 | 1.22 | 1.22 | 1.21 | 1.22 |
Ratio of net investment income to average net assets (%) | 2.885 | 1.48 | 2.08 | 2.45 | 1.60 | 1.48 |
Portfolio Turnover (%)7 | 214 | 79 | 87 | 43 | 62 | 62 |
CLASS II | (unaudited) Six-Months Ended 6/30/11 | 2010 | Inception to 12/31/091 | |||
Net Asset Value at beginning of period | $ 9.99 | $ 9.53 | $ 7.32 | |||
Income from Investment Operations: | ||||||
Net investment income2 | 0.14 | 0.09 | 0.04 | |||
Net realized and unrealized gain (loss) on investments | 0.52 | 0.56 | 2.33 | |||
Total from investment operations | 0.66 | 0.65 | 2.37 | |||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.19) | (0.16) | |||
Net increase in net asset value | 0.66 | 0.46 | 2.21 | |||
Net Asset Value at end of period | $10.65 | $ 9.99 | $ 9.53 | |||
Total Return (%)3 | 6.594 | 6.83 | 32.304 | |||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $17,177 | $13,241 | $3,962 | |||
Ratios of expenses to average net assets | 1.475 | 1.47 | 1.485 | |||
Ratio of net investment income to average net assets (%) | 2.675 | 1.00 | 0.575 | |||
Portfolio Turnover (%)7 | 214 | 79 | 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. |
6 | Amounts represent less than $0.005 per share. |
7 | Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements.
82
Ultra Series Fund | June 30, 2011
Financial Highlights for a Share of Beneficial Interest Outstanding
MADISON TARGET RETIREMENT 2020 FUND | |||||
(unaudited) Six-Months Ended 6/30/11 | Year Ended December 31, | Inception to 12/31/071 | |||
2010 | 2009 | 2008 | |||
CLASS I | |||||
Net Asset Value at beginning of period | $ 8.06 | $ 7.64 | $ 6.04 | $ 9.63 | $10.00 |
Income from Investment Operations: | |||||
Net investment income2 | 0.09 | 0.20 | 0.15 | 0.22 | 0.13 |
Net realized and unrealized gain (loss) on investments | 0.24 | 0.49 | 1.59 | (3.60) | (0.32) |
Total from investment operations | 0.33 | 0.69 | 1.74 | (3.38) | (0.19) |
Less Distributions: | |||||
Distributions from net investment income | (0.00)6 | (0.27) | (0.14) | (0.16) | (0.18) |
Distributions from capital gains | – | – | – | (0.05) | – |
Total distributions | 0.00 | (0.27) | (0.14) | (0.21) | (0.18) |
Net increase (decrease) in net asset value | 0.33 | 0.42 | 1.60 | (3.59) | (0.37) |
Net Asset Value at end of period | $ 8.39 | $ 8.06 | $ 7.64 | $ 6.04 | $ 9.63 |
Total Return (%)3 | 4.094 | 9.01 | 28.93 | (35.31) | (1.94)4 |
Ratios/Supplemental Data: | |||||
Net Assets at end of period (in 000’s) | $36,244 | $27,648 | $19,300 | $8,719 | $2,524 |
Ratios of expenses to average net assets | |||||
Before reimbursement of expenses by Adviser | 0.255 | 0.40 | 0.41 | 0.40 | 0.435 |
After reimbursement of expenses by Adviser | 0.205 | 0.20 | 0.34 | 0.40 | 0.435 |
Ratio of net investment income to average net assets (%) | 2.115 | 2.61 | 2.24 | 2.80 | 5.175 |
Portfolio Turnover (%)7 | 774 | 51 | 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. |
6 | Amounts represent less than $0.005 per share. |
7 | Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements.
83
Ultra Series Fund | June 30, 2011
Financial Highlights for a Share of Beneficial Interest Outstanding
MADISON TARGET RETIREMENT 2030 FUND | |||||
(unaudited) Six-Months Ended 6/30/11 | Year Ended December 31, | Inception to 12/31/071 | |||
2010 | 2009 | 2008 | |||
CLASS I | |||||
Net Asset Value at beginning of period | $ 7.90 | $ 7.41 | $ 5.75 | $ 9.54 | $10.00 |
Income from Investment Operations: | |||||
Net investment income2 | 0.07 | 0.18 | 0.12 | 0.18 | 0.09 |
Net realized and unrealized gain (loss) on investments | 0.27 | 0.52 | 1.65 | (3.82) | (0.34) |
Total from investment operations | 0.34 | 0.70 | 1.77 | (3.64) | (0.25) |
Less Distributions: | |||||
Distributions from net investment income | (0.01) | (0.21) | (0.11) | (0.11) | (0.21) |
Distributions from capital gains | – | – | – | (0.04) | – |
Total distributions | (0.01) | (0.21) | (0.11) | (0.15) | (0.21) |
Net increase (decrease) in net asset value | 0.33 | 0.49 | 1.66 | (3.79) | (0.46) |
Net Asset Value at end of period | $ 8.23 | $ 7.90 | $ 7.41 | $ 5.75 | $ 9.54 |
Total Return (%)3 | 4.194 | 9.56 | 30.94 | (38.35) | (2.51)4 |
Ratios/Supplemental Data: | |||||
Net Assets at end of period (in 000’s) | $39,470 | $31,279 | $19,330 | $8,010 | $1,521 |
Ratios of expenses to average net assets | |||||
Before reimbursement of expenses by Adviser | 0.255 | 0.40 | 0.41 | 0.40 | 0.445 |
After reimbursement of expenses by Adviser | 0.205 | 0.20 | 0.34 | 0.40 | 0.445 |
Ratio of net investment income to average net assets (%) | 1.735 | 2.42 | 1.87 | 2.38 | 3.535 |
Portfolio Turnover (%)6 | 834 | 43 | 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. |
6 | Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements.
84
Ultra Series Fund | June 30, 2011
Financial Highlights for a Share of Beneficial Interest Outstanding
MADISON TARGET RETIREMENT 2040 FUND | |||||
(unaudited) Six-Months Ended 6/30/11 | Year Ended December 31, | Inception to 12/31/071 | |||
2010 | 2009 | 2008 | |||
CLASS I | |||||
Net Asset Value at beginning of period | $ 7.60 | $ 7.07 | $ 5.43 | $ 9.48 | $10.00 |
Income from Investment Operations: | |||||
Net investment income2 | 0.05 | 0.15 | 0.08 | 0.14 | 0.07 |
Net realized and unrealized gain (loss) on investments | 0.29 | 0.55 | 1.63 | (4.06) | (0.36) |
Total from investment operations | 0.34 | 0.70 | 1.71 | (3.92) | (0.29) |
Less Distributions: | |||||
Distributions from net investment income | (0.01) | (0.17) | (0.07) | (0.08) | (0.23) |
Distributions from capital gains | – | – | – | (0.05) | – |
Total distributions | (0.01) | (0.17) | (0.07) | (0.13) | (0.23) |
Net increase (decrease) in net asset value | 0.33 | 0.53 | 1.64 | (4.05) | (0.52) |
Net Asset Value at end of period | $ 7.93 | $ 7.60 | $ 7.07 | $ 5.43 | $ 9.48 |
Total Return (%)3 | 4.424 | 9.97 | 31.64 | (41.65) | (2.86)4 |
Ratios/Supplemental Data: | |||||
Net Assets at end of period (in 000’s) | $31,209 | $26,147 | $16,656 | $6,385 | $1,193 |
Ratios of expenses to average net assets | |||||
Before reimbursement of expenses by Adviser | 0.255 | 0.40 | 0.41 | 0.40 | 0.445 |
After reimbursement of expenses by Adviser | 0.205 | 0.20 | 0.34 | 0.40 | 0.445 |
Ratio of net investment income to average net assets (%) | 1.385 | 2.14 | 1.22 | 1.99 | 2.765 |
Portfolio Turnover (%)6 | 924 | 40 | 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. |
6 | Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements.
85
Ultra Series Fund | June 30, 2011
Financial Highlights for a Share of Beneficial Interest Outstanding
MADISON TARGET RETIREMENT 2050 FUND | |
(unaudited) Inception to 6/30/111 | |
CLASS I | |
Net Asset Value at beginning of period | $10.00 |
Income from Investment Operations: | |
Net investment income2 | 0.07 |
Net realized and unrealized gain (loss) on investments | 0.34 |
Total from investment operations | 0.41 |
Less Distributions: | |
Distributions from net investment income | – |
Net increase in net asset value | 0.41 |
Net Asset Value at end of period | $10.41 |
Total Return (%) | 4.083 |
Ratios/Supplemental Data: | |
Net Assets at end of period (in 000’s) | $1,146 |
Ratios of expenses to average net assets | |
Before reimbursement of expenses by Adviser | 0.224 |
After reimbursement of expenses by Adviser | 0.214 |
Ratio of net investment income to average net assets (%) | 1.444 |
Portfolio Turnover (%)5 | 923 |
1 | Commenced investment operations January 3, 2011. |
2 | Based on average shares outstanding during the year. |
3 | Not annualized. |
4 | Annualized. |
5 | Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements.
86
Ultra Series Fund | June 30, 2011
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 17 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 Aggressive Allocation Fund (collectively, the "Target Allocation Funds’’), and the Madison Target Retirement 2020 Fund, Madison Target Retirement 2030 Fund, Madison Target Retirement 2040 Fund, and Madison Target Retirement 2050 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’’) 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 purchased 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. Because the assets of each Target
87
Ultra Series Fund | June 30, 2011
Notes to Financial Statements (unaudited)
Allocation and each Target Date Fund include shares of underlying funds, the NAV of each fund is determined, in whole or in part, based on the NAV’s of the underlying funds. Total net assets are determined by adding the total current value of portfolio 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 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 traded. 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.
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).
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. However, 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 announcements 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.
88
Ultra Series Fund | June 30, 2011
Notes to Financial Statements (unaudited)
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.
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, 2011. 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, 2007 through December 31, 2010.
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, 2011, only the Equity Income Fund 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 gains of $1,330,655 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.
89
Ultra Series Fund | June 30, 2011
Notes to Financial Statements (unaudited)
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 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, 2011, 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, 2011, 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 contract, 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, 2011, none of the funds had open futures contracts.
Each fund currently limits investments in illiquid securities to 15% of net assets at the time of purchase, except for the Money Market Fund which limits the investment in illiquid securities to 5% of net assets. At June 30, 2011, investments in securities of the Bond, High Income and Diversified Income Funds include issues that are illiquid. The aggregate values of illiquid securities held by Bond, High Income and Diversified Income were $14,749,725, $257,550 and $7,479,084, respectively, which represent 3.3%, 0.3% and 1.8% of net assets, respectively. Information concerning the illiquid securities held at June 30, 2011, which includes cost and acquisition date, is as follows:
Security | Acquisition Date | Acquisition Cost |
Bond Fund | ||
American Association of Retired Persons | 5/16/02 | $ 2,644,675 |
ERAC USA Finance LLC | 12/16/04 | 4,815,932 |
Indianapolis Power & Light Co. | 10/02/06 | 3,422,883 |
WM Wrigley Jr. Co. | 6/21/10 | 3,167,464 |
$14,050,954 |
90
Ultra Series Fund | June 30, 2011
Notes to Financial Statements (unaudited)
Security | Acquisition Date | Acquisition Cost |
High Income Fund | ||
Gulfmark Offshore, Inc. | Various | $ 253,021 |
$ 253,021 | ||
Diversified Income Fund | ||
American Association of Retired Persons | 5/16/02 | $ 2,115,740 |
ERAC USA Finance LLC | 12/16/04 | 2,024,881 |
Indianapolis Power & Light Co. | 10/2/06 | 1,545,017 |
WM Wrigley Jr. Co. | 6/21/10 | 1,308,952 |
$ 6,994,590 |
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, 2011, 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 example, 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 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 rate volatilities, prepayment speeds, credit risk, benchmark yields, transactions, bids, offers, new issues, spreads and other relationships observed in the markets among comparable securities, underlying equity of the issuer; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data, etc.) |
91 |
Ultra Series Fund | June 30, 2011
Notes to Financial Statements (unaudited)
•Level 3 – significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments) |
The valuation techniques used by the funds to measure fair value for the period ended June 30, 2011 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 evaluation. Through the period ended June 30, 2011, none of the funds held securities deemed as a Level 3.
The following is a summary of the inputs used as of June 30, 2011 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 6/30/11 |
Conservative Allocation1 | $241,936,159 | $ – | $ – | $241,936,159 |
Moderate Allocation1 | 403,614,648 | – | – | 403,614,648 |
Aggressive Allocation1 | 139,496,715 | – | – | 139,496,715 |
Money Market2 | 2,872,268 | 63,238,665 | – | 66,110,933 |
Bond | ||||
Asset Backed | – | 8,251,307 | – | 8,251,307 |
Corporate Notes and Bonds | – | 120,000,187 | – | 120,000,187 |
Mortgage Backed | – | 96,401,175 | – | 96,401,175 |
U.S. Government and Agency Obligations | – | 210,717,180 | – | 210,717,180 |
Investment Companies | 11,258,133 | – | – | 11,258,133 |
11,258,133 | 435,369,849 | – | 446,627,982 | |
High Income | ||||
Corporate Notes and Bonds | – | 91,685,195 | – | 91,685,195 |
Preferred Stock | 1,082,125 | – | – | 1,082,125 |
Investment Companies | 5,018,202 | – | – | 5,018,202 |
6,100,327 | 91,685,195 | – | 97,785,522 | |
Diversified Income | ||||
Common Stocks | 218,020,147 | – | – | 218,020,147 |
Asset Backed | – | 4,768,138 | – | 4,768,138 |
Corporate Notes and Bonds | – | 72,704,959 | – | 72,704,959 |
Mortgage Backed | – | 40,622,130 | – | 40,622,130 |
U.S. Government and Agency Obligations | – | 56,210,057 | – | 56,210,057 |
Investment Companies | 22,035,769 | – | – | 22,035,769 |
240,055,916 | 174,305,284 | – | 414,361,200 | |
Equity Income | �� | |||
Assets | ||||
Common Stocks | 2,372,775 | – | – | 2,372,775 |
Investment Companies | 126,175 | – | – | 126,175 |
Repurchase Agreement | – | 493,501 | – | 493,501 |
2,498,950 | 493,501 | – | 2,992,451 | |
Liabilities: | ||||
Options Written | 95,021 | – | – | 95,021 |
1 At June 30, 2011, all investments are Level 1, see respective Portfolio of Investments. |
2 At June 30, 2011, all Level 2 securities held are short term investments, see respective Portfolio of Investments. |
92
Ultra Series Fund | June 30, 2011
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 6/30/11 |
Large Cap Value | ||||
Common Stocks | $520,841,165 | $ – | $ – | $520,841,165 |
Investment Companies | 11,702,407 | – | – | 11,702,407 |
532,543,572 | – | – | 532,543,572 | |
Large Cap Growth | ||||
Common Stocks | 383,044,768 | – | – | 383,044,768 |
Investment Companies | 17,896,391 | – | – | 17,896,391 |
400,941,159 | – | – | 400,941,159 | |
Mid Cap | ||||
Common Stocks | 395,320,086 | – | – | 395,320,086 |
Investment Companies | 21,285,125 | – | – | 21,285,125 |
416,605,211 | – | – | 416,605,211 | |
Small Cap | ||||
Common Stocks | 14,014,327 | – | – | 14,014,327 |
Investment Companies | 500,581 | – | – | 500,581 |
14,514,908 | – | – | 14,514,908 | |
International Stock | ||||
Common Stocks | ||||
Australia | – | 3,985,494 | – | 3,985,494 |
Belgium | – | 2,720,481 | – | 2,720,481 |
Brazil | 3,808,654 | – | – | 3,808,654 |
Canada | 1,978,787 | – | – | 1,978,787 |
China | – | 978,029 | – | 978,029 |
Finland | – | 1,130,319 | – | 1,130,319 |
France | – | 12,724,322 | – | 12,724,322 |
Germany | – | 7,175,117 | – | 7,175,117 |
Hong Kong | – | 1,199,473 | – | 1,199,473 |
Ireland | – | 231,786 | – | 231,786 |
Italy | – | 1,469,908 | – | 1,469,908 |
Japan | – | 20,965,934 | – | 20,965,934 |
Netherlands | – | 2,176,810 | – | 2,176,810 |
New Zealand | – | 1,397,007 | – | 1,397,007 |
Norway | – | 858,771 | – | 858,771 |
Russia | – | 1,676,227 | – | 1,676,227 |
South Korea | – | 1,063,962 | – | 1,063,962 |
Spain | – | 1,404,169 | – | 1,404,169 |
Sweden | – | 2,293,894 | – | 2,293,894 |
Switzerland | – | 6,144,247 | – | 6,144,247 |
Turkey | – | 789,820 | – | 789,820 |
United Kingdom | – | 29,543,011 | – | 29,543,011 |
Investment Companies | 3,005,221 | – | – | 3,005,221 |
8,792,662 | 99,928,781 | – | 108,721,443 | |
Madison Target Retirement 20201 | 44,306,256 | –– | – | 44,306,256 |
Madison Target Retirement 20301 | 47,123,670 | – | – | 47,123,670 |
Madison Target Retirement 20401 | 36,402,842 | – | – | 36,402,842 |
Madison Target Retirement 20501 | $1,157,827 | – | – | $1,157,827 |
1 At June 30, 2011, all investments are Level 1, see respective Portfolio of Investments. |
93
Ultra Series Fund | June 30, 2011
Notes to Financial Statements (unaudited)
The funds have adopted the Accounting Standard Update, Fair Value Measurements and Disclosures; Improving Disclosures about Fair Value Measurements, which provides guidance on how investment assets and liabilities are to be valued and disclosed. Specifically, the amendment requires reporting entities to disclose i) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements, for Level 2 or Level 3 positions, ii) transfers between all levels (including Level 1 and Level 2) will be required to be disclosed on a gross basis (i.e. transfers out must be disclosed separately from transfers in) as well as the reason(s) for the transfer and iii) purchases, sales, issuances and settlements must be shown on a gross basis in the Level 3 rollforward rather than as one net number. The effective date of the amendment is for interim and annual periods beginning after December 15, 2009, however, the requirement to provide the Level 3 activity for purchases, sales, issuance and settlements on a gross basis was effective for interim and annual period beginning after December 15, 2010. There were no transfers between classification levels during the period ended June 30, 2011.
Derivatives: The funds 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. The funds adopted this guidance 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, 2011.
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 | $95,021 |
The following table presents the effect of Derivative Instruments on the Statement of Operations for the period ended June 30, 2011:
Derivatives not accounted for as hedging instruments | Realized Gain on Derivatives: | Change in Unrealized Appreciation on Derivatives |
Equity contracts | $47,173 | $37,909 |
Management has determined that there is no impact on the financial statements of the other funds held in the Trust as they did not hold derivative financial instruments.
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 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, 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 was made permanent on February 17, 2011. See Note 13 regarding subsequent events applicable to the
94
Ultra Series Fund | June 30, 2011
Notes to Financial Statements (unaudited)
Target Date Funds. 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 Market 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, 2011, the waivers totaled $119,893 for Class I Shares and $826 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. The Trust does not compensate its officers or trustees. Unaffiliated trustees receive from the Trust an attendance fee for each Board or Committee meeting attended, with additional remuneration paid to the audit committee and nominating and governance committee chairs
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 was in force through June 30, 2011. Specifically, Madison, in exchange for the Limited Service Fee, was responsible 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 required Madison to maintain expense levels for these items at a dollar amount that was 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 | Madison Target Retirement 2020 | 337 | |
Diversified Income | 71,315 | Madison Target Retirement 2030 | 245 | |
Madison Target Retirement 2040 | 213 |
If actual expenses exceeded these dollar amounts, Madison was required to pay the excess (not the funds).
After the date of this report, the funds became directly responsible for payment of the fees and expenses of the funds’ Independent Trustees and independent registered public accountants. Madison assumes responsibility for the funds’ compliance program fees and expenses. See Note 13 regarding subsequent events applicable to the Target Date Funds.
95
Ultra Series Fund | June 30, 2011
Notes to Financial Statements (unaudited)
Distribution Agreement. Mosaic Funds Distributor, LLC ("MFD") serves as distributor of the Funds. The Trust adopted 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 distribution and 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, 2011, the waivers totaled $563 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, 2011, 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 | $ – | $ – | $30,729,225 | $23,662,299 |
Moderate Allocation | – | – | 33,172,032 | 25,828,633 |
Aggressive Allocation | – | – | 23,706,073 | 18,112,235 |
Bond | 16,319,283 | 18,701,936 | – | – |
High Income | – | – | 31,455,949 | 34,032,090 |
Diversified Income | 6,614,753 | 10,062,762 | 26,263,354 | 38,466,150 |
96
Ultra Series Fund | June 30, 2011
Notes to Financial Statements (unaudited)
U.S. Government Securities | Other Investment Securities | |||
Fund | Purchases | Sales | Purchases | Sales |
Equity Income | $ – | $ – | $ 1,843,994 | $ 1,191,174 |
Large Cap Value | – | – | 76,366,663 | 111,710,453 |
Large Cap Growth | – | – | 191,563,213 | 205,906,936 |
Mid Cap | – | – | 138,109,143 | 159,035,954 |
Small Cap | – | – | 2,094,212 | 1,384,214 |
International Stock | – | – | 22,448,757 | 25,702,653 |
Madison Target Retirement 2020 | – | – | 31,847,084 | 24,060,482 |
Madison Target Retirement 2030 | – | – | 36,058,833 | 28,873,355 |
Madison Target Retirement 2040 | – | – | 30,343,390 | 26,038,550 |
Madison Target Retirement 2050 | – | – | 1,538,081 | 495,314 |
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. Covered call writing also helps to reduce volatility (and risk profile) of the fund by providing protection from declining stock prices.
Transactions in option contracts during the period ended June 30, 2011 were as follows:
Number of Contracts | Premiums Received | |
Options outstanding, beginning of period | 476 | $84,813 |
Options written during the period | 602 | 123,559 |
Options expired during the period | (120) | (23,515) |
Options closed during the period | (131) | (31,401) |
Options assigned during the period | (316) | (55,477) |
Options outstanding, end of period | 511 | $97,979 |
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 securities 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.
97
Ultra Series Fund | June 30, 2011
Notes to Financial Statements (unaudited)
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, such funds may lend portfolio securities to qualified borrowers in order to earn additional income. The 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.
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 engage in securities lending activities during the period ending on June 30, 2011 and had no securities out on loan as of June 30, 2011.
9. TAX INFORMATION
For federal income tax purposes, the funds listed below have capital loss carryovers as of December 31, 2010, which are available to offset future capital gains, if any:
Fund | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 |
Conservative Allocation | $ – | $ – | $ – | $ – | $ – | $ 41,976 | $ 6,053,243 | $ – |
Moderate Allocation | – | – | – | – | -- | 17,885,475 | 20,811,527 | 9,937,108 |
Aggressive Allocation | – | – | – | – | -- | 6,446,542 | 6,205,447 | 6,513,626 |
Bond | 104,606 | 1,560,242 | 1,445,891 | 816,322 | 228,563 | -- | 9,584,651 | 346,309 |
High Income | – | – | – | – | -- | 8,436,671 | 4,641,635 | -- |
Diversified Income | – | – | – | – | -- | 2,487,530 | 45,589,823 | -- |
Large Cap Value | – | – | – | – | -- | 85,305,978 | 41,852,552 | -- |
Large Cap Growth | – | – | – | – | -- | 35,115,320 | 20,739,513 | -- |
Mid Cap | – | – | – | – | 7,828,526 | 30,807,814 | 71,947,894 | -- |
Small Cap | – | – | – | – | -- | 1,269,222 | 635,547 | -- |
International Stock | – | – | – | – | 751,246 | 8,819,661 | 21,825,302 | 1,915,037 |
Madison Target Retirement 2020 | – | – | – | – | -- | -- | 225,054 | 504,165 |
Madison Target Retirement 2030 | – | – | – | – | -- | 40,540 | 140,356 | 259,860 |
Madison Target Retirement 2040 | – | – | – | – | -- | 28,331 | 13,390 | 229,437 |
As a result of the mergers of the Mid Cap Growth and Mid Cap Value (surviving fund - Mid Cap), the Small Cap Growth and the Small Cap Value (surviving fund - Small Cap) and 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. See Note 13 for further information regarding the mergers.
At June 30, 2011, the aggregate gross unrealized appreciation (depreciation) and net unrealized appreciation (depreciation) for all securities as computed on a federal income tax basis for each fund were as follows:
98
Ultra Series Fund | June 30, 2011
Notes to Financial Statements (unaudited)
Fund | Appreciation | Depreciation | Net |
Conservative Allocation | $13,684,783 | $1,996,032 | $11,688,751 |
Moderate Allocation | 32,185,196 | 1,393,009 | 30,792,187 |
Aggressive Allocation | 15,768,665 | 172,149 | 15,596,516 |
Bond | 27,272,517 | 3,912,896 | 23,359,621 |
High Income | 4,278,146 | 431,855 | 3,846,291 |
Diversified Income | 51,529,928 | 5,727,635 | 45,802,293 |
Equity Income | 91,438 | 165,985 | (74,547) |
Large Cap Value | 88,522,840 | 6,626,987 | 81,895,853 |
Large Cap Growth | 70,721,794 | 7,007,077 | 63,714,717 |
Mid Cap | 71,186,593 | 3,925,191 | 67,261,402 |
Small Cap | 3,073,187 | 307,425 | 2,765,762 |
International Stock | 18,848,366 | 881,363 | 17,967,003 |
Madison Target Retirement 2020 | 593,908 | 186,957 | 406,951 |
Madison Target Retirement 2030 | 787,259 | 159,331 | 627,928 |
Madison Target Retirement 2040 | 728,855 | 98,173 | 630,682 |
Madison Target Retirement 2050 | 23,514 | 329 | 23,185 |
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 Fund, and the International Stock Fund may enter 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 option on securities. As the writer of a covered call option, the 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.
99
Ultra Series Fund | June 30, 2011
Notes to Financial Statements (unaudited)
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 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 a fund selected to fulfill a particular asset class under performs its 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, 2011, are owned by the Accounts and/or pension plans of CUNA Mutual Insurance Society and by CUNA Mutual Insurance Society, except for the Equity Income Fund, which had investments by the Investment Adviser of $483,330 in Class I, $53,555 in Class II, and the Madison Target Retirement 2050 Fund, which had investments by the Investment Adviser of $104,082 in Class I.
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 Board of Trustees. The MEMBERS Mutual Funds audited financial statements for the fiscal year ended October 31, 2010 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, 2010 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 as of June 30, 2011 follows:
Fund/Underlying Fund | Balance of Shares Held at 12/31/10 | Gross Additions | Gross Sales | Balance of Shares Held at 6/30/11 | Value at 6/30/11 | Realized Gain (Loss) | Distributions Received1 |
Conservative Allocation Fund | |||||||
Madison Mosaic Institutional Bond Fund | 1,699,579 | – | - | 1,699,579 | $ 18,695,365 | $ – | $ 180,200 |
Madison Mosaic Disciplined Equity Fund | 1,133,295 | 46,252 | - | 1,179,547 | 15,593,609 | – | – |
MEMBERS Bond Fund Class Y | 4,029,639 | – | 466,334 | 3,563,305 | 36,666,409 | 49,832 | 535,192 |
MEMBERS High Income Fund Class Y | 3,521,269 | – | 768,498 | 2,752,771 | 19,296,925 | 112,133 | 762,671 |
MEMBERS International Stock Fund Class Y | 1,065,676 | – | 410,567 | 655,109 | 7,383,080 | (390,173) | – |
MEMBERS Equity Income Fund Class Y | 585,893 | – | – | 585,893 | 5,853,073 | – | 234,356 |
MEMBERS Large Cap Growth Fund Class Y | 1,002,072 | – | 288,778 | 713,294 | 11,983,330 | 435,962 | – |
MEMBERS Large Cap Value Fund Class Y | 1,274,218 | – | 190,899 | 1,083,319 | 13,942,321 | (388,859) | – |
Totals | $129,414,112 | $ (181,105) | $ 1,712,419 |
1 Distributions received include distributions from net investment income and from capital gains from the underlying funds. |
100
Ultra Series Fund | June 30, 2011
Notes to Financial Statements (unaudited)
Fund/Underlying Fund | Balance of Shares Held at 12/31/10 | Gross Additions | Gross Sales | Balance of Shares Held at 6/30/11 | Value at 6/30/11 | Realized Gain (Loss) | Distributions Received2 |
Moderate Allocation Fund | |||||||
Madison Mosaic Institutional Bond Fund | 1,491,757 | – | – | 1,491,757 | $ 16,409,323 | $ – | $ 158,165 |
MEMBERS Bond Fund Class Y | 3,647,154 | – | – | 3,647,154 | 37,529,219 | – | 525,752 |
MEMBERS High Income Fund Class Y | 4,319,368 | – | – | 4,319,368 | 30,278,768 | – | 1,025,772 |
MEMBERS International Stock Fund Class Y | 2,500,243 | – | 185,462 | 2,314,781 | 26,087,587 | (258,552) | – |
Madison Mosaic Disciplined Equity Fund | 2,713,986 | – | – | 2,713,986 | 35,878,891 | – | – |
MEMBERS Equity Income Fund Class Y | 1,157,056 | – | – | 1,157,056 | 11,558,986 | – | 462,820 |
MEMBERS Large Cap Growth Fund Class Y | 2,354,535 | – | 217,193 | 2,137,342 | 35,907,349 | 327,870 | – |
MEMBERS Large Cap Value Fund Class Y | 2,855,497 | – | 58,639 | 2,796,858 | 35,995,560 | (161,466) | – |
MEMBERS Mid Cap Fund Class Y1 | 1,925,389 | - | 73,747 | 1,851,642 | 13,091,111 | (36,165) | – |
MEMBERS Small Cap Fund Class Y | 1,301,695 | - | 245,616 | 1,056,079 | 12,292,760 | 519,469 | – |
Totals | $255,029,552 | $ 391,156 | $ 2,172,509 | ||||
Aggressive Allocation Fund | |||||||
MEMBERS Bond Fund Class Y | 59,161 | – | 371,385 | 59,161 | $ – | $ (2,943) | $ 1,296 |
MEMBERS High Income Fund Class Y | 943,557 | – | 154,278 | – | 6,614,334 | – | 224,072 |
MEMBERS International Stock Fund Class Y | 1,178,483 | – | 313,245 | 103,183 | 12,118,633 | (142,961) | – |
Madison Mosaic Disciplined Equity Fund | 1,350,320 | 23,328 | 88,212 | – | 18,159,629 | – | – |
MEMBERS Equity Income Fund Class Y | 379,732 | – | 47,664 | – | 3,793,522 | – | 151,892 |
MEMBERS Large Cap Growth Fund Class Y | 909,744 | – | 106,127 | 103,599 | 13,543,238 | 168,233 | – |
MEMBERS Large Cap Value Fund Class Y | 1,143,737 | 19,984 | 138,267 | 20,162 | 14,717,609 | (46,197) | – |
MEMBERS Mid Cap Fund Class Y1 | 1,298,512 | – | 128,518 | 106,590 | 8,426,886 | 22,308 | – |
MEMBERS Small Cap Fund Class Y | 606,010 | – | 185,307 | 130,297 | 5,537,298 | 425,433 | – |
Totals | $ 82,911,150 | $ 423,873 | $ 377,260 | ||||
Madison Target Retirement 2020 Fund | |||||||
MEMBERS Bond Fund Class Y | 100,475 | – | 100,475 | – | $ – | $ 60,748 | $ 112,054 |
MEMBERS High Income Fund Class Y | 311,509 | 31,322 | 342,831 | – | – | 181,861 | 63,050 |
MEMBERS International Fund Class Y | 121,433 | 9,294 | 130,727 | – | – | 357,219 | – |
Madison Mosiac Disciplined Equity Fund | 192,131 | 24,374 | 216,505 | – | – | 243,523 | – |
MEMBERS Equity Income Fund Class Y | 68,516 | – | 68,516 | – | – | (2,653) | 13,703 |
MEMBERS Large Cap Growth Fund Class Y | 123,349 | – | 123,349 | – | – | 471,552 | – |
MEMBERS Large Cap Value Fund Class Y | 159,911 | – | 159,911 | – | – | 350,042 | – |
MEMBERS Small Cap Fund Class Y | 98,390 | – | 98,390 | – | – | 374,076 | – |
Totals | $ – | $ 2,036,368 | $ 88,807 |
1 Non-income producing over the last 12 months. |
2 Distributions received include distributions from net investment income and from capital gains from the underlying funds. |
101
Ultra Series Fund | June 30, 2011
Notes to Financial Statements (unaudited)
Fund/Underlying Fund | Balance of Shares Held at 12/31/10 | Gross Additions | Gross Sales | Balance of Shares Held at 6/30/11 | Value at 6/30/11 | Realized Gain (Loss) | Distributions Received1 |
Madison Target Retirement 2030 Fund | |||||||
MEMBERS Bond Fund Class Y | 92,351 | – | 92,351 | – | $ – | $ 39,176 | $ 9,645 |
MEMBERS High Income Fund Class Y | 324,161 | 17,385 | 341,546 | – | – | 177,061 | 64,785 |
MEMBERS International Fund Class Y | 159,464 | – | 159,464 | – | – | 415,715 | – |
Madison Mosaic Disciplined Equity Fund | 243,730 | 15,468 | 259,198 | – | – | 305,413 | – |
MEMBERS Equity Income Fund | 69,522 | – | 69,522 | – | – | (2,732) | 13,904 |
MEMBERS Large Cap Growth Fund Class Y | 150,735 | – | 150,735 | – | – | 460,558 | – |
MEMBERS Large Cap Value Fund Class Y | 187,731 | – | 187,731 | – | – | 393,770 | – |
MEMBERS Small Cap Value Fund Class Y | 127,640 | – | 127,640 | – | – | 458,703 | – |
Totals | $ – | $ 2,247,664 | $ 88,334 |
Madison Target Retirement 2040 Fund | |||||||
MEMBERS Bond Fund Class Y | 26,774 | – | 26,774 | – | $ – | $ 15,477 | $ 1,163 |
MEMBERS High Income Fund Class Y | 243,274 | 10,431 | 253,705 | – | – | 65,206 | 48,402 |
MEMBERS International Fund Class Y | 153,236 | – | 153,236 | – | – | 400,377 | – |
Madison Mosiac Disciplined Equity Fund | 224,178 | 20,572 | 244,750 | – | – | 279,074 | – |
MEMBERS Equity Income Fund Class Y | 66,526 | – | 66,526 | – | – | (5,665) | 13,305 |
MEMBERS Large Cap Growth Fund Class Y | 115,944 | – | 115,944 | – | – | 424,676 | – |
MEMBERS Large Cap Value Fund Class Y | 146,305 | – | 146,305 | – | – | 304,714 | – |
MEMBERS Small Cap Fund Class Y | 120,340 | – | 120,340 | – | – | 441,078 | – |
Totals | $ – | $ 1,924,936 | $ 62,870 |
Madison Target Retirement 2050 Fund | |||||||
MEMBERS Bond Fund Class Y | – | 196 | 196 | – | $ – | $ (6) | $ 9 |
MEMBERS High Income Fund Class Y | – | 6,152 | 6,152 | – | – | (573) | 646 |
MEMBERS International Fund Class Y | – | 1,880 | 1,880 | – | – | (48) | – |
Madison Mosiac Disciplined Equity Fund | – | 6,702 | 6,702 | – | – | (1,871) | – |
MEMBERS Equity Income Fund Class Y | – | 872 | 872 | – | – | (301) | 97 |
MEMBERS Large Cap Growth Fund Class Y | – | 1,977 | 1,977 | – | – | (1,109) | – |
MEMBERS Large Cap Value Fund Class Y | – | 2,576 | 2,576 | – | – | 166 | – |
MEMBERS Small Cap Fund Class Y | – | 1,565 | 1,565 | – | – | (224) | – |
Totals | $ – | $ (3,966) | $ 752 | ||||
1 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:
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Ultra Series Fund | June 30, 2011
Notes to Financial Statements (unaudited)
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 |
13. SUBSEQUENT EVENTS
Target Retirement Fund Matters
Pursuant to a proxy statement dated July 12, 2011, the voting instructions of the persons/plans who owned, as of June 27, 2011, a variable annuity contract or variable life insurance policy issued by CUNA Mutual Insurance Society with amounts allocated to subaccounts of the Target Date Funds were solicited to approve the recommendation of the Board of Trustees to approve a new investment advisory agreement between the Investment Adviser, Madison Asset Management, LLC ("Madison") and the Target Date Funds (the "New Advisory Agreement"). If approved, the Target Date Funds’ current unitary fee structure would be eliminated and a new fee structure would be implemented pursuant to which advisory fees will be separated from all other fees. Advisory fees would be addressed in the New Advisory Agreement and all other fees will be addressed in a separate services agreement between the Target Date Funds and Madison (the "Services Agreement"). If the new fee structure is approved, while the fees payable by the Target Date Funds pursuant to the New Advisory Agreement would be increased, total annual fund operating fees and expenses are expected to be reduced substantially. The joint special meeting of the shareholders of the Target Date Funds is scheduled for August 25, 2011. If approved, the New Advisory Agreement would become effective on September 1, 2011.
Lyondell Chemical Clawback Litigation
The Trust is aware of litigation relating to attempts by certain fixed income security-holders of Lyondell Chemical company (LYO) to retrieve proceeds from the sale by equity security-holders of LYO shares occurring pursuant to its acquisition by merger in December 2007. The Midcap Fund received proceeds of approximately $1,574,400 from the sale of its LYO equity securities in December 2007. The Trust has not been named as a defendant in this litigation as of the date of this report.
Madison has evaluated the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the Statement of Assets and Liabilities. There were no additional events or transactions that impacted the amounts or disclosures in the funds’ financial statements.
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Ultra Series Fund | June 30, 2011
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; 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, 2011. 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 | $1,036.00 | 0.30% | $1.51 | $1,034.70 | .55% | $2.77 | |
Moderate Allocation | 1,000 | 1,144.80 | 0.31% | 1.57 | 1,043.50 | .56% | 2.84 | |
Aggressive Allocation | 1,000 | 1,050.60 | 0.31% | 1.58 | 1,049.30 | .56% | 2.85 | |
Money Market | 1,000 | 1,000.00 | 0.11% | 0.55 | 1,000.00 | .11% | .55 | |
Bond | 1,000 | 1,022.80 | 0.57% | 2.86 | 1,021.50 | .82% | 4.11 | |
High Income | 1,000 | 1,037.60 | 0.76% | 3.84 | 1,036.30 | 1.01% | 5.10 | |
Diversified Income | 1,000 | 1,053.50 | 0.72% | 3.67 | 1,052.20 | .97% | 4.94 | |
Equity Income | 1,000 | 1,011.03 | 0.91% | 4.58 | 1,009.80 | 1.16% | 5.83 | |
Large Cap Value | 1,000 | 1,078.00 | 0.62% | 3.19 | 1,076.70 | .87% | 4.48 | |
Large Cap Growth | 1,000 | 1,050.70 | 0.82% | 4.17 | 1,049.40 | 1.07% | 5.44 | |
Mid Cap | 1,000 | 1,096.00 | 0.91% | 4.73 | 1,094.70 | 1.16% | 6.02 | |
Small Cap | 1,000 | 1,060.10 | 1.11% | 5.67 | 1,058.80 | 1.36% | 6.94 | |
International Stock | 1,000 | 1,067.10 | 1.22% | 6.25 | 1,065.90 | 1.47% | 7.53 | |
Madison Target Retirement 2020 | 1,000 | 1,040.90 | 0.20% | 1.01 | ||||
Madison Target Retirement 2030 | 1,000 | 1,041.90 | 0.20% | 1.01 | ||||
Madison Target Retirement 2040 | 1,000 | 1,044.20 | 0.20% | 1.01 | ||||
Madison Target Retirement 2050 | 1,040.80 | 0.21% | 1.06 |
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Ultra Series Fund | June 30, 2011
Other Information (unaudited)
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 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 | $1,023.31 | 0.30% | $1.51 | $1,022.07 | 0.55% | $2.76 | |
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 | 1,024.25 | 0.11% | 0.55 | 1,024.25 | 0.11% | 0.55 | |
Bond | 1,000 | 1,021.97 | 0.57% | 2.86 | 1,020.73 | 0.82% | 4.11 | |
High Income | 1,000 | 1,021.03 | 0.76% | 3.81 | 1,019.79 | 1.01% | 5.06 | |
Diversified Income | 1,000 | 1,021.22 | 0.72% | 3.61 | 1,019.98 | 0.97% | 4.86 | |
Equity Income | 1,000 | 1,025.05 | 0.91% | 4.56 | 1,025.05 | 1.16% | 5.82 | |
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 | 1,020.28 | 0.91% | 4.56 | 1,019.04 | 1.16% | 5.81 | |
Small Cap | 1,000 | 1,019.29 | 1.11% | 5.56 | 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 | |
Madison Target Retirement 2020 | 1,000 | 1,023.80 | 0.20% | 1.00 | ||||
Madison Target Retirement 2030 | 1,000 | 1,023.80 | 0.20% | 1.00 | ||||
Madison Target Retirement 2040 | 1,000 | 1,023.80 | 0.20% | 1.00 | ||||
Madison Target Retirement 2050 | 1,023.62 | 0.21% | 1.05 |
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 1-800-732-0330.
105
Ultra Series Fund | June 30, 2011
Other Information (unaudited)
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.
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 after forward-looking statements as a result of new information, future events, or otherwise.
SEC File Number: 811-04815
106
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) Not applicable in semi-annual report. (The code was previously filed with the registrant's Annual Report dated December 31, 2010).
(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 22, 2011
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 22, 2011
By: (signature)
Greg Hoppe, Principal Financial Officer
Date: August 22, 2011