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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, 2012
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-0609. 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, 2012
Table of Contents
Page | |
Review of Period | |
Ultra Series Fund Performance | 2 |
Review of Period | 6 |
Conservative Allocation Fund | 7 |
Moderate Allocation Fund | 8 |
Aggressive Allocation Fund | 9 |
Money Market Fund | 11 |
Bond Fund | 11 |
High Income Fund | 12 |
Diversified Income Fund | 13 |
Equity Income Fund | 15 |
Large Cap Value Fund | 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 | 27 |
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 | 102 |
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 CMFG Life Insurance Company, 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, 2012
ULTRA SERIES FUND PERFORMANCE | |||||||||||||||||
Average Annual Total Returns | |||||||||||||||||
Monthly as of June 30, 2012 | Quarterly as of June 30, 2012 | ||||||||||||||||
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% | 0.00% | 0.80% | 1.60% | 3.99% | N/A | 0.00% | 0.00% | 0.00% | 0.80% | 1.60% | 3.99% | N/A | 0.47% |
Class II | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | N/A | N/A | N/A | 0.00% | 0.00% | 0.00% | 0.00% | N/A | N/A | N/A | 0.00% | 0.72% |
90-day U.S. T-Bill (Citigroup/Salomon) | 0.01% | 0.02% | 0.03% | 0.04% | 0.10% | 0.87% | 1.77% | 4.14% | 0.33% | 0.03% | 0.04% | 0.10% | 0.87% | 1.77% | 4.14% | 0.33% | |
Bond Fund - Class I Inception Date 1/3/1985, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | -0.21% | 2.01% | 1.81% | 6.24% | 6.09% | 5.82% | 4.67% | 6.74% | N/A | 1.81% | 6.24% | 6.09% | 5.82% | 4.67% | 6.74% | N/A | 0.57% |
Class II | -0.23% | 1.95% | 1.69% | 5.98% | 5.82% | N/A | N/A | N/A | 6.13% | 1.69% | 5.98% | 5.82% | N/A | N/A | N/A | 6.13% | 0.81% |
Bank of America Merrill Lynch US Corp. Govt. & Mtg. Index | 0.02% | 2.20% | 2.50% | 7.63% | 6.83% | 6.91% | 5.73% | 7.97% | 6.89% | 2.50% | 7.63% | 6.83% | 6.91% | 5.73% | 7.97% | 6.89% | |
High Income Fund - Class I Inception Date 10/31/2000, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | 2.18% | 1.40% | 5.39% | 6.67% | 12.35% | 7.10% | 8.06% | 7.10% | N/A | 5.39% | 6.67% | 12.35% | 7.10% | 8.06% | 7.10% | N/A | 0.77% |
Class II | 2.16% | 1.34% | 5.26% | 6.40% | 12.07% | N/A | N/A | N/A | 12.30% | 5.26% | 6.40% | 12.07% | N/A | N/A | N/A | 12.30% | 1.02% |
Bank of America Merrill Lynch US High Yield Master II Constrained | 2.01% | 1.77% | 7.02% | 6.45% | 16.09% | 8.35% | 9.93% | 8.28% | 18.88% | 7.02% | 6.45% | 16.09% | 8.35% | 9.93% | 8.28% | 18.88% | |
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 material must be accompanied or preceded by a current prospectus. An investment in any Ultra Series Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation, the National Credit Union Administration or any other government agency. Although the Money Market Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the fund. Mutual funds are subject to investment risk. Mosaic Funds Distributor, LLC. June 30, 2012 |
Not Part of the Semi-annual Report
2
Ultra Series Fund | June 30, 2012
Ultra Series Fund Performance (continued) | Average Annual Total Returns | ||||||||||||||||
Monthly as of June 30, 2012 | Quarterly as of June 30, 2012 | ||||||||||||||||
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 | 2.51% | 0.75% | 4.73% | 7.20% | 11.95% | 4.14% | 5.60% | 8.32% | N/A | 4.73% | 7.20% | 11.95% | 4.14% | 5.60% | 8.32% | N/A | 0.72% |
Class II | 2.49% | 0.69% | 4.60% | 6.93% | 11.67% | N/A | N/A | N/A | 12.18% | 4.60% | 6.93% | 11.67% | N/A | N/A | N/A | 12.18% | 0.97% |
Custom Blended Index (50% Fixed 50% Equity) 4 | 2.07% | -0.22% | 6.09% | 7.00% | 11.92% | 4.01% | 5.90% | NA | NA | 6.09% | 7.00% | 11.92% | 4.01% | 5.90% | NA | NA | |
Conservative Allocation Fund - Class I Inception Date 6/30/2006, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | 1.57% | 0.15% | 3.99% | 3.53% | 8.85% | 2.50% | N/A | 3.69% | N/A | 3.99% | 3.53% | 8.85% | 2.50% | N/A | 3.69% | N/A | 1.01% |
Class II | 1.54% | 0.08% | 3.86% | 3.28% | 8.58% | N/A | N/A | N/A | 9.36% | 3.86% | 3.28% | 8.58% | N/A | N/A | N/A | 9.36% | 1.26% |
Bank of America Merrill Lynch US Corp. Govt. & Mtg. Index | 0.02% | 2.20% | 2.50% | 7.63% | 6.83% | 6.91% | N/A | 6.77% | 6.89% | 2.50% | 7.63% | 6.83% | 6.91% | N/A | 6.77% | 6.89% | |
Conservative Allocation Custom1 | 1.54% | 0.21% | 4.72% | 5.84% | 10.20% | 4.84% | N/A | 5.87% | 12.06% | 4.72% | 5.84% | 10.20% | 4.84% | N/A | 5.87% | 12.06% | |
Moderate Allocation Fund - Class I Inception Date 6/30/2006, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | 2.55% | -0.97% | 4.74% | 2.30% | 10.31% | -0.11% | N/A | 2.35% | N/A | 4.74% | 2.30% | 10.31% | -0.11% | N/A | 2.35% | N/A | 1.11% |
Class II | 2.53% | -1.03% | 4.61% | 2.04% | 10.04% | N/A | N/A | N/A | 10.98% | 4.61% | 2.04% | 10.04% | N/A | N/A | N/A | 10.98% | 1.36% |
S&P 500 Index | 4.12% | -2.75% | 9.49% | 5.45% | 16.40% | 0.22% | N/A | 3.35% | 17.53% | 9.49% | 5.45% | 16.40% | 0.22% | N/A | 3.35% | 17.53% | |
Moderate Allocation Custom2 | 2.83% | -1.47% | 5.87% | 3.10% | 11.90% | 2.75% | N/A | 4.76% | 15.24% | 5.87% | 3.10% | 11.90% | 2.75% | N/A | 4.76% | 15.24% | |
Aggressive Allocation Fund - Class I Inception Date 6/30/2006, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | 3.44% | -2.23% | 4.66% | 0.10% | 11.55% | -2.64% | N/A | 1.09% | N/A | 4.66% | 0.10% | 11.55% | -2.64% | N/A | 1.09% | N/A | 1.21% |
Class II | 3.42% | -2.29% | 4.53% | -0.15% | 11.27% | N/A | N/A | N/A | 12.53% | 4.53% | -0.15% | 11.27% | N/A | N/A | N/A | 12.53% | 1.46% |
S&P 500 Index | 4.12% | -2.75% | 9.49% | 5.45% | 16.40% | 0.22% | N/A | 3.35% | 17.53% | 9.49% | 5.45% | 16.40% | 0.22% | N/A | 3.35% | 17.53% | |
Aggressive Allocation Custom3 | 4.27% | -3.39% | 6.63% | -0.75% | 12.97% | 0.17% | N/A | 3.24% | 17.97% | 6.63% | -0.75% | 12.97% | 0.17% | N/A | 3.24% | 17.97% | |
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. | |||||||||||||||||
4Custom Blended Index consists of 50% Bank of America Merrill Lynch U.S. Corp. Govt. & Mtg. Index and 50% S&P 500 Index. |
Not Part of the Semi-annual Report
3
Ultra Series Fund | June 30, 2012
Ultra Series Fund Performance (continued) | Average Annual Total Returns | ||||||||||||||
Monthly as of June 30, 2012 | Quarterly as of June 30, 2012 | ||||||||||||||
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 Fund5 - Inception Date 10/1/2007 | |||||||||||||||
Class I | 1.97% | -0.57% | 4.37% | 2.38% | 11.13% | N/A | N/A | -1.07% | 4.37% | 2.38% | 11.13% | N/A | N/A | -1.07% | 0.63% |
Dow Jones Global Target 2020 Index | 1.86% | -1.31% | 4.06% | 1.95% | 10.74% | N/A | N/A | 2.37% | 4.06% | 1.95% | 10.74% | N/A | N/A | 2.37% | |
Madison Target Retirement 2030 Fund6 - Inception Date 10/1/2007 | |||||||||||||||
Class I | 2.53% | -1.47% | 4.69% | 1.64% | 11.49% | N/A | N/A | -1.90% | 4.69% | 1.64% | 11.49% | N/A | N/A | -1.90% | 0.63% |
Dow Jones Global Target 2030 Index | 2.87% | -3.00% | 5.42% | -0.59% | 12.82% | N/A | N/A | 0.89% | 5.42% | -0.59% | 12.82% | N/A | N/A | 0.89% | |
Madison Target Retirement 2040 Fund7 - Inception Date 10/1/2007 | |||||||||||||||
Class I | 2.88% | -2.01% | 4.91% | 0.94% | 11.71% | N/A | N/A | -3.01% | 4.91% | 0.94% | 11.71% | N/A | N/A | -3.01% | 0.63% |
Dow Jones Global Target 2040 Index | 3.58% | -4.19% | 6.29% | -2.54% | 13.87% | N/A | N/A | 0.06% | 6.29% | -2.54% | 13.87% | N/A | N/A | 0.06% | |
Madison Target Retirement 2050 Fund8 - Inception Date 1/3/2011 | |||||||||||||||
Class I | 3.25% | -2.67% | 5.13% | -0.03% | N/A | N/A | N/A | 2.70% | 5.13% | -0.03% | N/A | N/A | N/A | 2.70% | 0.63% |
Dow Jones Global Target 2050 Index | 3.72% | -4.43% | 6.43% | -2.87% | N/A | N/A | N/A | 0.86% | 6.43% | -2.87% | N/A | N/A | N/A | 0.86% | |
5Madison Asset Management waived ("Madison") 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 Madison had not waived these expenses, fund returns would have been lower. | |||||||||||||||
6Madison 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 Madison had not waived these expenses, fund returns would have been lower. | |||||||||||||||
7Madison 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 Madison had not waived these expenses, fund returns would have been lower. | |||||||||||||||
8Madison 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, 2012
Ultra Series Fund Performance (continued) | Average Annual Total Returns | ||||||||||||||||
Monthly as of June 30, 2012 | Quarterly as of June 30, 2012 | ||||||||||||||||
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 | 3.27% | -4.34% | 4.30% | 4.28% | N/A | N/A | N/A | 5.37% | N/A | 3.33% | 3.31% | N/A | N/A | N/A | 4.92% | N/A | 0.91% |
Class II | 3.27% | -4.42% | 4.19% | 4.04% | N/A | N/A | N/A | N/A | 5.12% | 3.21% | 3.07% | N/A | N/A | N/A | N/A | 4.67% | 1.16% |
S&P 500 Index | 4.12% | -2.75% | 9.49% | 5.45% | N/A | N/A | N/A | 8.84% | 8.84% | 9.49% | 5.45% | N/A | N/A | N/A | 8.84% | 8.84% | |
CBOE BuyWrite Monthly Index | 3.65% | -0.20% | 4.78% | 8.15% | N/A | N/A | N/A | 7.19% | 7.19% | 4.78% | 8.15% | N/A | N/A | N/A | 7.19% | 7.19% | |
Large Cap Value Fund - Class I Inception Date 1/3/1985, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | 4.42% | -0.71% | 7.14% | 6.72% | 14.63% | -2.37% | 4.00% | 9.13% | N/A | 7.14% | 6.72% | 14.63% | -2.37% | 4.00% | 9.13% | N/A | 0.62% |
Class II | 4.39% | -0.77% | 7.01% | 6.46% | 14.34% | N/A | N/A | N/A | 15.10% | 7.01% | 6.46% | 14.34% | N/A | N/A | N/A | 15.10% | 0.87% |
Russell 1000¨ Value Index | 4.96% | -2.20% | 8.68% | 3.01% | 15.80% | -2.19% | 5.28% | 10.78% | 16.82% | 8.68% | 3.01% | 15.80% | -2.19% | 5.28% | 10.78% | 16.82% | |
Large Cap Growth Fund - Class I Inception Date 1/3/1994, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | 3.08% | -5.58% | 6.72% | 0.37% | 12.45% | 1.46% | 4.87% | 7.60% | N/A | 6.72% | 0.37% | 12.45% | 1.46% | 4.87% | 7.60% | N/A | 0.82% |
Class II | 3.06% | -5.64% | 6.59% | 0.12% | 12.17% | N/A | N/A | N/A | 13.26% | 6.59% | 0.12% | 12.17% | N/A | N/A | N/A | 13.26% | 1.07% |
Russell 1000¨ Growth Index | 2.72% | -4.02% | 10.08% | 5.76% | 17.50% | 2.87% | 6.03% | 7.30% | 18.70% | 10.08% | 5.76% | 17.50% | 2.87% | 6.03% | 7.30% | 18.70% | |
Mid Cap Fund - Class I Inception Date 10/31/2000, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | 2.07% | -2.89% | 7.78% | 2.74% | 18.02% | 0.05% | 7.12% | -0.14% | N/A | 7.78% | 2.74% | 18.02% | 0.05% | 7.12% | -0.14% | N/A | 0.91% |
Class II | 2.05% | -2.95% | 7.65% | 2.48% | 17.73% | N/A | N/A | N/A | 18.14% | 7.65% | 2.48% | 17.73% | N/A | N/A | N/A | 18.14% | 1.16% |
Russell Midcap¨ Index | 2.81% | -4.40% | 7.97% | -1.65% | 19.44% | 1.06% | 8.45% | 6.21% | 20.04% | 7.97% | -1.65% | 19.44% | 1.06% | 8.45% | 6.21% | 20.04% | |
Small Cap Fund - Class I Inception Date 5/1/2007, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | 4.55% | -2.57% | 6.56% | 1.44% | 20.53% | 3.68% | N/A | 3.71% | N/A | 6.56% | 1.44% | 20.53% | 3.68% | N/A | 3.71% | N/A | 1.11% |
Class II | 4.53% | -2.63% | 6.43% | 1.19% | 20.23% | N/A | N/A | N/A | 20.03% | 6.43% | 1.19% | 20.23% | N/A | N/A | N/A | 20.03% | 1.36% |
Russell 2000¨ Index | 4.99% | -3.47% | 8.53% | -2.08% | 17.80% | 0.54% | N/A | 1.02% | 18.41% | 8.53% | -2.08% | 17.80% | 0.54% | N/A | 1.02% | 18.41% | |
International Stock Fund - Class I Inception Date 10/31/2000, Class II Inception Date 5/1/2009 | |||||||||||||||||
Class I | 7.50% | -5.32% | 5.87% | -8.42% | 8.02% | -3.31% | 6.59% | 3.88% | N/A | 5.87% | -8.42% | 8.02% | -3.31% | 6.59% | 3.88% | N/A | 1.22% |
Class II | 7.48% | -5.38% | 5.74% | -8.65% | 7.76% | N/A | N/A | N/A | 10.61% | 5.74% | -8.65% | 7.76% | N/A | N/A | N/A | 10.61% | 1.47% |
MSCI EAFE Index (net) | 7.01% | -7.13% | 2.96% | -13.83% | 5.96% | -6.10% | 5.14% | 2.08% | 9.22% | 2.96% | -13.83% | 5.96% | -6.10% | 5.14% | 2.08% | 9.22% |
Not Part of the Semi-annual Report
5
Ultra Series Fund | June 30, 2012
Review of Period
Bond and stock markets around the world experienced considerable volatility in the first six months of 2012 as early optimism faded into uncertainty. The domestic stock market, as measured by the S&P 500 Index, and international stocks, as tracked by the MSCI EAFE Index (net), followed the same basic pattern over this six-month period. Both ended up with solid positive gains for the period, with the S&P 500 up 9.49% and the EAFE Index up 2.96%. Positive news from Europe encouraged investors in the first quarter as both indices showed double-digit gains, peaking in March for the EAFE Index and April for the S&P 500. A combination of troubling news from Europe and slowing economic reports from the U.S. and China turned the market sharply in the second quarter. After rising 13.44% through April 2, 2012, the S&P 500 dipped from the period high -9.58% through June 1, 2012, before rebounding 6.75% through quarter end. The pattern was similar for the international markets as measured by the EAFE Index, but more dramatic with a 12.99% rise through March 19, 2012, followed by a 16.17% drop through June 4, 2012, with a partial recovery of 9.0% through quarter end.
Meanwhile, the domestic bond market reflected the same global events. Yield on the 10-Year Treasury rose to a period high of 2.38% on March 19 in anticipation of an improving economy before the optimism faded. The resulting "flight to quality" took the yield to a record low of 1.45% on June 1. While the yield bounced quickly off this low, the period-ending 1.65% was still at the bottom of historic ranges.
In addition to the ups and downs of the European sovereign debt crisis, shifting prospects for the U.S. economy were central to the market’s gyrations. Dampening more optimistic projections, first quarter U.S. Gross Domestic Product (GDP) was reported to be a modest 1.9%. In addition, leading employment indicators suggested continued stress on the jobs market. Surveys showed businesses have been unwilling to ramp up hiring for various reasons, including the perceived global weakness and tax code uncertainties. Furthermore, the Federal Reserve lowered its growth estimates for future GDP in response to inconsistent readings on various leading indicators including the Institute of Supply Management manufacturing survey, durable goods orders, retail sales, and regional Federal Reserve district surveys. In addition the Federal Reserve committed to its recent pattern of stimulus known as Operation Twist, while speculation continued over whether it would feel compelled to launch another round of Quantitative Easing.
What we perceive to be an approaching 2013 U.S. "fiscal cliff" may be noteworthy for U.S. investors. In short, if Congress takes no action with respect to the U.S. deficit, daunting tax increases and spending cuts will automatically kick in. The U.S. fiscal deficit would be abruptly reduced by as much as 4% of U.S. GDP for 2013. While deficit reduction appears to be a positive outcome, it comes at a rather severe price. The flip side of deficit reduction would be a commensurate 4% decline in the U.S. GPD, at a time when growth is tenuous. This sudden, and widely feared, shock to the system has led to the term "fiscal cliff." Our view, however, is that a much tamer deficit reduction plan is likely to be reached via political compromise by early 2013.
Given the headwinds facing global financial markets, we believe it remains imperative to carefully manage asset allocation and security risk. Investors need to balance the headline fears with the positives: U.S. companies continue to operate at near-record profits, widespread fear has historically often been a good environment for expanding rather than reducing stock
6
Ultra Series Fund | June 30, 2012
exposure, and low interest rates and modest inflation are typically good backdrops for corporate profitability. That said, we believe volatility will likely be a factor until there is clarity both here and abroad. Further Federal Reserve easing may occur if the unemployment rate drifts higher, growth estimates continue to fade, or European contagion threatens our financial system. The uncertainty which punished stock markets in the second half of this period and drove interest rates to record levels appears likely to remain with us for some time.
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 condi-tions. 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 2012 can be viewed as two distinct stories. Over the first three months of the year, global equity markets surged out to double-digit gains on the heels of massive liquidity support from the European Central Bank (ECB) which investors believed would mitigate the ongoing Euro bank/debt crisis. However, by late March it was apparent that the ECB’s actions did not meet investor expectations. This realization, along with a deterioration in the tone of economic data releases across the globe, sparked a global equity sell-off. The 12.9% gain on the Russell 3000¨ Index (U.S. equities) over the first three months of 2012, was reduced to 9.3% at June 30, 2012, after a 3.2% decline over the second three months of the year. International equities fell harder during the second quarter, seeing their opening three month 10.9% gain cut to a 3.0% six month advance after a 7.1% drop during the second quarter. Bonds, on the other hand, started the year rather tepidly, with a 0.3% first quarter gain, followed by a 2.1% second quarter gain, resulting in a 2.4% gain at mid-year for the Barclays U.S. Aggregate Bond Index.
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/12 | |
Bond Funds | 65% |
Stock Funds | 25% |
Foreign Stock Funds | 5% |
Foreign Bond Funds | 4% |
Money Market Funds and Other Net Assets | 1% |
7
Ultra Series Fund | June 30, 2012
Conservative Allocation Fund (concluded)
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2012, the Ultra Series Conservative Allocation Fund (Class I shares) returned 3.99%, while the Conservative Allocation Fund Custom Index returned 4.72%. Weak relative returns from a number of our core equity holdings during the first quarter’s run-up were the primary cause of the fund’s underperformance. From an overall asset allocation perspective, the fund has been well aligned to date, favoring domestic equities over foreign issues and mega/large capitalization stocks over small/mid-sized companies within the U.S. market.
Top contributors to performance for the period included: the PIMCO Investment Grade Corporate Bond Fund which returned 7.5% over the period; the MEMBERS Large Cap Value Fund Class Y at 7.0%; and the Madison Mosaic Disciplined Equity Fund Class Y at 6.8%.
Detractors from performance for the period included: the Madison Mosaic Institutional Bond Fund Class Y which returned 1.1%; the IVA Worldwide Fund Class I at 1.3%; and the MEMBERS Bond Fund Class Y at 1.3%.
FUND CHANGES
Over the period, we reduced the fund’s international exposure and added the iShares S&P 100¨ Index (OEF) to increase the portfolio’s focus on domestic mega cap stocks. Liquidated from the portfolio was our position in the Calamos Growth & Income Fund, which was sold in favor of OEF. Finally, on the fixed income side, the Templeton Global Bond Fund was reduced and a new position in the TCW Emerging Markets Income Fund was added to better diversify the fund’s international bond exposure.
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 2012 can be viewed as two distinct stories. Over the first three months of the year, global equity markets surged
8
Ultra Series Fund | June 30, 2012
Moderate Allocation Fund (concluded)
out to double-digit gains on the heels of massive liquidity support from the European Central Bank (ECB), which investors believed would mitigate the ongoing Euro bank/debt crisis. However, by late March it was apparent that the ECB’s actions did not meet investor expectations. This realization, along with a deterioration in the tone of economic data releases across the globe, sparked a global equity sell-off. The 12.9% gain on the Russell 3000¨ Index (U.S. equities) over the first three months of 2012, was reduced to 9.3% at June 30, 2012, after a 3.2% decline over the second three months of the year. International equities fell harder during the second quarter, seeing their opening three month 10.9% gain cut to a 3.0% six month advance after a 7.1% drop during the second quarter. Bonds, on the other hand, started the year rather tepidly, with a 0.3% first quarter gain, followed by a 2.1% second quarter gain, resulting in a 2.4% gain at mid-year for the Barclays U.S. Aggregate Bond Index.
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/12 | |
Bond Funds | 40% |
Foreign Bond Funds | 3% |
Stock Funds | 48% |
Foreign Stock Funds | 8% |
Money Market Funds and Other Net Assets | 1% |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2012, the Ultra Series Moderate Allocation Fund (Class I shares) returned 4.74%, while the Moderate Allocation Fund Custom Index returned 5.87%. Weak relative returns from a number of our core equity holdings during the first quarter’s run-up were the primary cause of the fund’s underperformance. From an overall asset allocation perspective, the fund has been very well aligned so far this year, favoring domestic equities over foreign issues and mega/large capitalization stocks over small/mid-sized companies within the U.S. market.
Top contributors to performance for the period included: the MEMBERS Mid Cap Fund Class Y, which returned 7.7% over the period; the PIMCO Investment Grade Corporate Bond Fund at 7.5%; and the MEMBERS Large Cap Value Fund Class Y at 7.0%.
Detractors from performance for the period included: the NorthRoad International Fund which returned 0.8% over the period;the Madison Mosaic Institutional Bond Fund Class Y at 1.1%; and IVA Worldwide Fund Class I at 1.3%.
FUND CHANGES
Over the period we reduced and diversified the fund’s overall international exposure within both the equity and fixed income allocations. We also increased the portfolio’s focus on mega cap U.S. stocks. Changes made to accomplish these portfolio shifts included: reductions to the IVA Worldwide Fund and the Templeton Global Bond Fund, the elimination of our position in the Calamos Growth & Income Fund, and new positions in the iShares S&P 100¨ Index, the NorthRoad International Fund, the TCW Emerging Markets Income Fund, and the Schwab Fundamental Large Company Index.
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
9
Ultra Series Fund | June 30, 2012
Aggressive Allocation Fund (continued)
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 2012 can be viewed as two distinct stories. Over the first three months of the year, global equity markets surged out to double-digit gains on the heels of massive liquidity support from the European Central Bank (ECB) which investors believed would mitigate the ongoing Euro bank/debt crisis. However, by late March it was apparent that the ECB’s actions did not meet investor expectations. This realization, along with a deterioration in the tone of economic data releases across the globe, sparked a global equity sell-off. The 12.9% gain on the Russell 3000¨ Index (U.S. equities) over the first three months of 2012, was reduced to 9.3% at June 30, 2012, after a 3.2% decline over the second three months of the year. International equities fell harder during the second quarter, seeing their opening three month 10.9% gain cut to a 3.0% six month advance after a 7.1% drop during the second quarter. Bonds, on the other hand, started the year rather tepidly, with a 0.3% first quarter gain, followed by a 2.1% second quarter gain, resulting in a 2.4% gain at mid-year for the Barclays U.S. Aggregate Bond Index.
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/12 | |
Bond Funds | 16% |
Foreign Bond Funds | 1% |
Stock Funds | 70% |
Foreign Stock Funds | 12% |
Money Market Funds and Other Net Assets | 1% |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2012, the Ultra Series Aggressive Allocation Fund (Class I shares) returned 4.66%, while the Aggressive Allocation Fund Custom Index returned 6.63%. Weak relative returns from a number of our core equity holdings during the first quarter’s run-up were the primary cause of the fund’s underperformance. From an overall asset allocation perspective, the fund has been very well aligned so far this year, favoring domestic equities over foreign issues and mega/large capitalization stocks over small/mid-sized companies within the U.S. market.
Top contributors to performance for the period included: the Matthews Asian Growth & Income Fund, which returned 9.7% over the period; the MEMBERS Mid Cap Fund Class Y at 7.7%; and the MEMBERS Large Cap Value Fund Class Y at 7.0%.
Detractors from performance for the period included: the iShares S&P Global Energy Index Fund, which returned -4.0% over the period; the NorthRoad International Fund at 0.8%; and the Hussman Strategic Growth Fund at -7.6%.
10
Ultra Series Fund | June 30, 2012
Aggressive Allocation Fund (concluded)
FUND CHANGES
Over the period we reduced and diversified the fund’s overall international exposure within both the equity and fixed income allocations.
We also increased the portfolio’s focus on mega cap U.S. stocks. Changes made to accomplish these portfolio shifts included; reductions to IVA Worldwide Fund and Templeton Global Bond Fund, the elimination of our position in the Calamos Growth & Income Fund, and the addition of new positions in the iShares S&P 100¨ Index Fund, TCW Emerging Markets Income Fund, and Schwab Fundamental Large Company Index. The Hussman Strategic Growth Return Fund was also sold from the portfolio due to performance concerns.
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 6/30/12 | |
Fannie Mae | 23% |
Federal Farm Credit Bank | 1% |
Federal Home Loan Bank | 21% |
Freddie Mac | 23% |
U.S. Treasury Bills | 8% |
Commercial Paper | 20% |
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 first half of the year can be viewed as two different markets. Rates mostly rose during the first quarter (from about 1.9% to 2.4% on 10-Year Treasury bonds) on perceived hopes that economic recovery was taking hold and that Europe might have solved its problems with respect to sovereign debt. Greece defaulted without immediate contagion spreading to the other weak countries’ debt markets, and the European Central Bank’s Long-Term Refinancing Operation was viewed as a cure to the European banking system’s funding woes. Credit spreads, particularly those of banks, tightened through mid-March. Unfortunately, we are experiencing
11
Ultra Series Fund | June 30, 2012
Bond Fund (concluded)
a balance sheet recession which is not nearly over and Europe’s problems just keep growing as they continue prescribing placebos for Portugal, Italy, Ireland, Greece and Spain. As evidence mounted that the economy decelerated in the first half and Europe’s woes increased, rates declined back to the 1.6% area and corporate bonds retreated modestly from their large gains although still earning significant excess returns over Treasuries for the first two quarters.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/12 | |
Asset Backed | 2% |
Corporate Notes and Bonds | 27% |
Mortgage Backed | 18% |
U.S. Government and Agency Obligations | 45% |
Cash and Other Net Assets | 8% |
PERFORMANCE DESCRIPTION
The Ultra Series Bond Fund (Class I shares) earned 1.81% for the period compared to the Bank of America/Merrill Lynch Index return of 2.52%. Several factors go into this underperformance. Our concerns regarding Europe and particularly the interconnectedness of the world financial system caused us to be significantly underweighted in banking and financial industries generally. These were the two best performing sectors of the credit market. Also detracting from performance was an underweight to the mortgage market and a shorter overall duration than the market. The latter is a result of our belief that the trade off regarding rates is very skewed given the small potential for a rally and much larger potential for increases in rates. These negatives were partially offset by an overweight to corporate bonds, BBB-rated securities specifically, and our modest allocation of BB-rated issues.
FUND CHANGES
During the period a number of Treasury positions matured; the fund’s Medco Health Solutions Inc. holding was called; and we actively sold its positions in Goldman Sachs Group Inc. and Springleaf Financial. We saw very little remaining upside to the Goldman position and became concerned about Springleaf’s ability to fund maturities in 2013 and beyond. We purchased a position in American Express Co. and also bought several 8-10 year Treasuries to manage the fund’s exposure to interest rate risk.
HIGH INCOME FUND
INVESTMENT STRATEGY HIGHLIGHTS
The MEMBERS High Income Fund invests primarily in lower-rated, higher-yielding income bearing securities, such as "junk" bonds. Because the performance of these securities has historically been strongly influenced by economic conditions, the fund may emphasize security selection in business sectors that favor the economic outlook. Under normal market conditions, the fund invests at least 80% of its assets in bonds rated lower than investment grade (BBB/Baa) and their unrated equivalents or other high-yielding securities.
INVESTING ENVIRONMENT
The global investing climate was mixed during the first half of 2012. While Europe entered a recession and experienced significant market volatility, the U.S. economy and securities markets have experienced a more benign trend. The GDP growth rate for the U.S. has moderated from the positive 2.5% range forecast earlier in the year to approximately 1.5%. Equity markets have been extremely resilient in the face of the slowing domestic growth, with the S&P 500¨ Index returning 9.49% year-to-date. Broad high yield bond indices returned 6.5%-7.0% in the first half of
12
Ultra Series Fund | June 30, 2012
High Income Fund (concluded)
the year, while broad indices of corporate high grade bonds returned 4.5%-5.0%.
The high-yield bond market experienced very strong technical trends with cash inflows significantly outpacing the growth in the market from new debt issuance. The strong flows and declining interest rates broadly have helped the market tighten from approximately 721 basis points over Treasuries at the start of the year to 660 basis points at the end of June. Default rates and trends within high yield have also been favorably low compared to long term averages.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/12 | |
Consumer Discretionary | 33% |
Consumer Staples | 7% |
Energy | 9% |
Financials | 3% |
Health Care | 10% |
Industrials | 11% |
Information Technology | 6% |
Materials | 7% |
Telecommunication Services | 5% |
Utilities | 3% |
Cash and Other Net Assets | 6% |
Consumer Discretionary includes securities in the following industries: Auto Components; Automobiles; Hotels, Restaurants & Leisure; Household Durables; Media; Specialty Retail; and Textiles, Apparel & Luxury Goods. |
PERFORMANCE DISCUSSION
The Ultra Series High Income Fund (Class I shares) returned 5.39% for the six-month
period ended June 30, 2012, while the Bank of America Merrill Lynch U.S. High Yield Master II Constrained Index returned 7.02%. Contributing positively to the fund’s performance was its underweighting within the Energy sector in Oil & Gas (Atlantic Power Corp., Petrobank Energy & Resources Ltd.), and positive selection within the Utilities sector. (Calpine Corp.). Restraining returns were significant underweightings in Financials and Materials firms. Our underweighting of riskier credits relative to the index also impacted returns since the CCC segment returned 10.2% for the period, while the BB and B segments both returned 6.5% for the period. With our current concerns for the domestic and international growth rates, we will maintain our higher quality focus and continue to avoid the high risk/high volatility sectors of the market.
FUND CHANGES
The fund actively traded during the reporting period as we continued to increase credit quality across the portfolio and high yield issuers also actively refinanced higher coupon paper with lower cost debt. The fund engaged in 111 sales, calls, or tenders aggregating $26.5 million for the reporting period and we put $25.9 million to work in 74 new purchases. As the potential risk/reward ratio shifted during the six months for convertible bonds and equities, we reduced the fund’s convertibles exposure from more than 4.0% to 1.0%.
The portfolio remains well diversified with 127 issuers across 27 industries. At quarter end, the fund had a spread over Treasuries of 486 basis points, and duration of 3.3 years (approximately half a year less than the benchmark).
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,
13
Ultra Series Fund | June 30, 2012
Diversified Income Fund (continued)
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 may constitute up to 80% of the fund’s assets, stocks may constitute up to 60% of the fund’s assets, real estate securities may constitute up to 25% of the fund’s assets, foreign stocks and bonds may 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, 2012, large cap stocks had a period of positive performance driven by hopes of solid economic growth and continued stimulus from central banks. Signs that the U.S. housing market stabilized, along with solid corporate earnings, contributed to a strong first quarter before worries about the European debt crisis re-emerged in the second quarter. For the period, the Russell 1000¨ Index rose 9.37%. The strongest sectors were Telecommunication Services, Financials, Information Technology, Consumer Discretionary, and Health Care, all of which posted double-digit returns. The Consumer Staples, Industrials, Materials, and Utilities sectors also had positive returns. The worst performing sector was Energy, which was the only sector with negative returns.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/12 | |
Asset Backed | 1% |
Common Stocks | 54% |
Corporate Notes and Bonds | 16% |
Mortgage Backed | 8% |
U.S. Government and Agency Obligations | 16% |
Cash and Other Net Assets | 5% |
PERFORMANCE DISCUSSIONS
For the six-month period ended June 30, 2012, the Ultra Series Diversified Income Fund (Class I shares) gained 4.73%, while the Custom Index returned 6.09%.
Stock selection in the Health Care, Information Technology and Consumer Discretionary sectors hurt results and accounted for most of the performance difference when compared to the index. Medical device manufacturer Medtronic Inc. detracted from performance within Health Care, while securities processor Broadridge Financial Solutions Inc. negatively impacted results in Technology. Other notable stocks with relative weakness were utility company Exelon Corp. and financial asset manager BlackRock Inc.
Relative strength compared to the benchmark occurred in the Energy and Telecommunication Services sectors. Deepwater oil driller Ensco PLC and integrated oil company ConocoPhillips contributed nicely to performance in the Energy sector, while telephone and communications company AT&T Inc. was additive within Telecommunications Services. The Financials sector also had positive relative performance from bank stocks Wells Fargo & Co. and US Bancorp and reinsurer PartnerRe Ltd. Other notable top performers were alcohol manufacturer Diageo PLC and technology company Microsoft Corp.
FUND CHANGES
We made only a few portfolio changes during the period. For the stock portion of the portfolio, we increased exposure to the
14
Ultra Series Fund | June 30, 2012
Diversified Income Fund (concluded)
Consumer Discretionary sector by adding to existing positions in discount retailer Target Corp. and media conglomerate Time Warner Inc. after both stocks traded at attractive valuations. We believe these companies are strong franchises with recurring revenues that should hold up well in a sluggish economic environment.
We reduced the fund’s exposure to the Consumer Staples sector during the period. We sold tobacco manufacturer Altria Group Inc. and snack maker Kraft Foods Inc. after outperformance from both stocks. Despite these sales, the fund maintains an overweight position in Consumer Staples. We believe the fund’s holdings in this sector are high-quality franchises with strong brands and healthy dividend yields with good prospects for dividend growth in the future.
The bond portion of the fund was negatively impacted by the defensive posture of its interest rate exposure as rates declined modestly during the period and by the fund’s underweighting of the bank sector which performed very well. The fund benefitted significantly from being overweighted in corporate bonds, in particular, BBB rated securities. The fund also benefited from the modest, but positive, weighting in BB rated securities.
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 fund was liquidated on July 31, 2012 (after the period covered by this report but prior to the issuance of this report). For the period leading up to the fund’s liquidation, we continued to manage the fund in accordance with its investment objectives and strategies but reduced the options written to shorter time frames, not exceeding the July option expiration date. After the period covered by this report, we methodically sold portfolio holdings to meet the requirements of the liquidation.
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2012, the Equity Income Fund (Class I shares) returned 4.30%, while the S&P 500 Index returned 9.49% and the S&P BuyWrite Index (BXM) returned 4.78%. The fund lagged the BXM Index slightly, primarily resulting from
15
Ultra Series Fund | June 30, 2012
Equity Income Fund (concluded)
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | ||
AS OF 6/30/12 | ||
Fund | S&P 500 Index | |
Consumer Discretionary | 13% | 11% |
Consumer Staples | – | 11% |
Energy | 16% | 11% |
Financials | 12% | 14% |
Health Care | 18% | 12% |
Industrials | 9% | 11% |
Information Technology | 27% | 20% |
Materials | 4% | 3% |
Telecommunication Services | – | 3% |
Utilities | – | 4% |
Cash and Other Net Assets | 1% | – |
the sharp market correction in April and May 2012. Earlier in the period, as the markets rallied strongly, the fund participated in the upside and although lagging the S&P 500, performed very well against the BXM Index. As the market corrected, defensive sectors such as Consumer Staples and Utilities vastly outperformed the more cyclical sectors and the fund gave back its earlier advantage as it had no exposure to these defensive areas. The fund’s exposure to the Energy sector also negatively impacted results during the second quarter of 2012 as crude oil prices plunged on concerns of slowing global demand. The fund was also impeded by its overweighting in Information Technology stocks which suffered during the correction as global growth fears permeated the market.
Market conditions were very diverse during the period with a very strong first quarter followed by a correction and a rebound in June. Given the environment, it should not be surprising that individual stock performance was also mixed. As mentioned, a number of the fund’s Energy stocks lagged including Schlumberger Ltd. and Canadian Natural Resources Ltd. While certain technology companies such as Google Inc., Hewlett- Packard Co. and FLIR Systems Inc. struggled during the period, others such as eBAY Inc. and Adobe Systems Inc. performed very strongly. A number of the fund’s financial holdings participated very well including State Street Corp., Bank of New York Mellon Corp. and T. Rowe Price Equity Income Portfolio. Health Care stocks St. Jude Medical Inc. and Stryker Corp. also performed strongly.
Although the call option component of the fund helped buffer some of the downside during the correction, the hedging characteristics were muted given the upcoming liquidation of the fund. Options were written so as to not expire later than July 2012. In some cases, as stocks were called, the fund retained higher amounts of cash in order to accommodate early redemptions.
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.
16
Ultra Series Fund | June 30, 2012
Large Cap Value Fund (continued)
INVESTING ENVIRONMENT
During the six-month period ended June 30, 2012, large cap value stocks had a period of positive performance driven by hopes of solid economic growth and continued stimulus from central banks. Signs that the U.S. housing market stabilized, along with solid corporate earnings, contributed to a strong first quarter before worries about the European debt crisis re-emerged in the second quarter. For the period, the Russell 1000¨ Value Index rose 8.68%. The strongest sectors were Telecommunications, Consumer Discretionary, Financials and Industrials, all of which posted double-digit returns. The Health Care, Utilities, Consumer Staples, Information Technology and Materials sectors also had positive returns. The worst performing sector was Energy, which was the only sector with negative returns.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | ||
AS OF 6/30/12 | ||
Fund | Russell 1000¨ Value Index | |
Consumer Discretionary | 7% | 8% |
Consumer Staples | 11% | 7% |
Energy | 14% | 16% |
Financials | 24% | 26% |
Health Care | 15% | 12% |
Industrials | 11% | 9% |
Information Technology | 8% | 7% |
Materials | 3% | 4% |
Telecommunication Services | 2% | 4% |
Utilities | 2% | 7% |
Cash and Other Net Assets | 3% | – |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2012 the Ultra Series Large Cap Value Fund (Class I shares) gained 7.14%, while the Russell 1000¨ Value Index returned 8.68%. Sector allocation accounted for most of the underperformance compared with the benchmark. Overweighting the Energy and Consumer Staples sectors detracted from performance, and under weighting the Consumer Discretionary sector also hurt results.
In terms of stock selection, the best performance was in the Consumer Staples, Information Technology and Financial sectors. For the Consumer Staples sector, alcohol manufacturer Diageo PLC and soda and snack maker PepsiCo. Inc. contributed to results. Technology company Microsoft Corp. was the best performing stock in the portfolio, while regional bank US Bancorp and infrastructure asset manager Brookfield Asset Management Inc. were top performers within the Financial-sector. Other notable positive contributors were off-price retailer TJMaxx Co. Inc. and deepwater oil driller Noble Corp.
Relative weakness compared to the benchmark occurred in the Industrials and Energy sectors. Industrial conglomerate Emerson Electric Co. negatively impacted results. Within Energy, exploration and production companies Canadian Natural Resources Ltd. and Occidental Petroleum Corp. detracted from performance. Other stocks that were relatively weak included utility company Exelon Corp. and global money transfer payment provider Western Union Co.
FUND CHANGES
We increased exposure to the Financials sector during the period. We added to specialty insurance company Markel Corp., insurance holding company Travelers Cos. Inc. and financial conglomerate Berkshire Hathaway Inc. We believe fundamentals within the insurance space are improving as pricing is firming up after a long period of soft prices. In addition, valuations are inexpensive relative to history for many insurance stocks.
We reduced the fund’s exposure to the Information Technology and Utility sectors during the period. We sold securities processor Broadridge Financial Solutions Inc. and software and service provider International Business
17
Ultra Series Fund | June 30, 2012
Large Cap Value Fund (concluded)
Machines Corp. (IBM), which reduced the fund’s Information Technology weighting. Within Utilities, we sold NextEra Energy Inc. after a period of strong performance. The fund is significantly underweight the Utilities sector as we believe these stocks are expensive and have limited growth prospects compared to other sectors.
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
The market environment for the six-months ended June 30, 2012 has been volatile. It roared in the first quarter but retreated a fair amount in the second quarter. A double-digit rally led by Information Technology stocks, notably Apple Inc., occurred in the first quarter as optimism spread towards economic recovery. Stocks sold off significantly in the second quarter, also led by Information Technology stocks, as the European debt crisis induced recessionary fears. Combining those quarters’ results, year-to-date market gains have been close to 10%, with Information Technology the best performing sector, up more than 15%, while Energy was the worst performing sector, declining by more than 4%.
Investors have been highly reactive to short-term news flows, creating stock price swings which sometime seem to mask the benefits of longer term investing. Until global business confidence improves, market volatility is likely to persist.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | ||
AS OF 6/30/12 | ||
Fund | Russell 1000¨ Growth Index | |
Consumer Discretionary | 17% | 16% |
Consumer Staples | 10% | 13% |
Energy | 8% | 4% |
Financials | 7% | 5% |
Health Care | 9% | 12% |
Industrials | 11% | 12% |
Information Technology | 29% | 32% |
Materials | 3% | 4% |
Telecommunication Services | 2% | 2% |
Utilities | – | –* |
Cash and Other Net Assets | 4% | – |
Information Technology includes securities in the following industries: Communications Equipment; Computers and Peripherals; Electrical Equipment; Electronic Equipment, Instruments & Components; Internet Software & Services; IT Services; Semiconductors & Semiconductor Equipment; and Software. *Rounds to 0%. |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2012, the Ultra Series Large Cap Growth Fund (Class I shares) had a positive absolute return of 6.72%
18
Ultra Series Fund | June 30, 2012
Large Cap Growth Fund (concluded)
while the Russell 1000¨ Growth Index returned 10.08%. Contributing to gains was exposure to the Information Technology sector, including a substantial investment in Apple, Inc., which gained over 44% for the period. SAP Corp. took over one of the fund’s Technology holdings, Ariba Inc., at more than a 50% premium to where it had been trading. Lastly, the fund took profits in Petrobras Argentina SA, a leading oil company, as it had a positive 13% return, in contrast to Energy sector losses.
The fund’s returns trailed the benchmark because the fund owned several technology
companies that failed to grow earnings in the tough economy. Sandisk Corp. is a leading NAND memory supplier used in smartphones and tablets, but is not used heavily by Apple products. Consequently, its earnings disappointed investors, causing the stock to drop more than 20% during the period. Acme Packet Inc. is a beneficiary of mobile video demand, a market delayed by the economy. It declined more than 30% during the period. We sold both stocks as our investment thesis was broken.
FUND CHANGES
We made several significant changes to dampen portfolio volatility since we believe reactive market conditions will continue to persist. We broadened the fund’s sector diversification. Also, we have begun to emphasize relatively larger companies, given our belief that larger companies will likely be able to better weather potential global weakness. Despite these changes, our fundamental emphasis continues to be on finding companies with durable current business models and de-emphasizing those whose products and markets are less mature. These changes are largely in place and we believe they are producing desired results.
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 fundamentals deteriorate or more attractive stocks are identified.
INVESTING ENVIRONMENT
During the six-month period ended June 30, 2012, midcap stocks had a period of positive performance driven by hopes of solid economic growth and continued stimulus from central banks. Signs that the U.S. housing market stabilized, along with solid corporate earnings, contributed to a strong first quarter before worries about the European debt crisis re-emerged in the second quarter. For the period, the Russell Midcap¨ Index rose 7.97%. The strongest sectors were Health Care and Financials, both of which posted double digit returns, followed by Consumer Discretionary,
19
Ultra Series Fund | June 30, 2012
Mid Cap Fund (concluded)
Consumer Staples and Materials. The worst performing sector was Energy, which was the only sector with negative returns, while returns in the Utilities, Industrial, Telecommunication Services, and Information Technology sectors were positive but lower than the index average.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | ||
AS OF 6/30/12 | ||
Fund | Russell Midcap¨ Index | |
Consumer Discretionary | 22% | 16% |
Consumer Staples | 4% | 7% |
Energy | 8% | 7% |
Financials | 25% | 20% |
Health Care | 9% | 10% |
Industrials | 15% | 12% |
Information Technology | 7% | 14% |
Materials | 5% | 6% |
Telecommunication Services | – | 2% |
Utilities | – | 6% |
Cash and Other Net Assets | 5% | – |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2012, the Ultra Series Mid Cap Fund (Class I shares) increased 7.78% performing much the same as the Russell Midcap¨ Index which returned 7.97%.
Relative to the benchmark, the Consumer Discretionary sector had the top two performing stocks in the portfolio. Off-price retailer TJ Maxx Co. Inc. and non-fiction media company Discovery Communications Inc. contributed to results. Stock selection in the Energy and Materials sectors was also positive. Deep water oil drillers Noble Corp. and Ensco PLC were additive within Energy, while paint and coatings manufacturer Valspar Corp. performed well within Materials.
Relative weakness compared to the benchmark occurred in the Information Technology and Health Care sectors. Thermal imaging systems manufacturer FLIR Systems Inc. was the worst performing stock in the portfolio. Other notable stocks that detracted from performance were used car retailer Carmax
Inc., global money transfer payment provider Western Union Co. and financial conglomerate Leucadia National Corp.
FUND CHANGES
We increased exposure to the Consumer Discretionary sector during the period. We purchased automotive aftermarket retailer Advanced Auto Parts, Inc. after it traded down to an attractive valuation. Advanced Auto Parts has a strong brand and scale advantages which should help it gain market share. We also bought luxury retailer Tiffany & Co. Tiffany has what we believe to be one of the best global brands for jewelry and should benefit from global expansion. The fund maintains an overweight position in the Consumer Discretionary sector as we believe the fund’s holdings are strong franchises and are currently offering great value.
We reduced the fund’s exposure to the Information Technology and Materials sectors during the period. Within Information Technology, we sold securities processor Broadridge Financial Solutions Inc. Within Materials, we trimmed Valspar and cleaning and sanitary products provider Ecolab Inc. after periods of strong performance. The Information Technology sector is the most significant underweighting in the fund compared with its benchmark, and the Materials sector is also underweighted.
20
Ultra Series Fund | June 30, 2012
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 rallied at the start of the year based on improving macroeconomic data, including lower unemployment levels and improving consumer confidence. Following a strong first quarter, equities retreated in April 2012, fell sharply in May, and recovered modestly in June. Fears surrounding European sovereign debt took center stage. In this environment, small cap, mid cap and large cap stocks all registered positive returns over the six-month period, as measured by the Russell 2000¨(+8.5%), S&P MidCap 400¨ (+7.9%) and S&P 500¨ (+9.5%) indices, respectively. Nine of the ten sectors within the Russell 2000¨ Index increased during the period. The Health Care, Financials, and Consumer Discretionary sectors gained the most while Energy posted negative returns and Industrials, and Utilities lagged the broader market returns.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | ||
AS OF 6/30/12 | ||
Fund | Russell 2000¨ Index | |
Consumer Discretionary | 15% | 14% |
Consumer Staples | 2% | 4% |
Energy | 4% | 6% |
Financials | 20% | 21% |
Health Care | 11% | 13% |
Industrials | 25% | 15% |
Information Technology | 8% | 18% |
Materials | 7% | 5% |
Telecommunication Services | – | 1% |
Utilities | 5% | 4% |
Cash and Other Net Assets | 3% | – |
PERFORMANCE DISCUSSION
The Ultra Series Small Cap Fund (Class I shares) returned 6.56%, for the six-month period ended June 30, 2012, while the Russell 2000¨ Index returned 8.53% for the same period.
The fund’s underperformance was primarily due to weaker selection in the Financials, Industrials, and Health Care sectors; this was somewhat offset by strong stock selection within the Energy, Consumer Discretionary, and Information Technology sectors. Allocation among sectors, a residual of the bottom-up stock selection process, also detracted from relative results in part due to overweight exposure to the weaker performing Industrials sector and an underweight to the strong performing Health Care sector.
The fund’s largest detractors from relative and absolute returns during the period included U.S. tank operator and diesel engine service company Kirby Corp., North American office product wholesaler United Stationers Inc., and advanced textile and material processing company Albany International Corp.
21
Ultra Series Fund | June 30, 2012
Small Cap Fund (concluded)
The fund’s largest contributors to relative and absolute performance during the period included U.S. retailer Stage Stores Inc., which operates both department stores and off-price stores, contract research organization ICON PLC, and diversified industrial manufacturer Carlisle Companies Inc., which has significant operations in commercial roofing and specialty tires and wheels.
FUND CHANGES
The fund’s investment approach emphasizes individual stock selection; sector weights are a residual of our bottom-up investment process. The portfolio managers do, however, carefully consider diversification across economic sectors to limit risk. Based on bottom-up stock decisions, exposure to the Materials and Industrials sector increased during the period and exposure to the Financials and Consumer Discretionary sector fell. The fund initiated positions in Materials companies Innospec Inc. and Sensient Tech. Corp. In Industrials, the fund initiated positions in Atlas Air Worldwide Holdings Inc. and Alexander & Baldwin Inc.. Within Financials, the fund eliminated positions in Delphi Financial Group, Alleghany Corp., and Education Realty Trust Inc. As of the end of the period, the fund was most overweight in the Industrials and Materials sectors relative to the Russell 2000¨ Index, and most underweight in Information Technology. Based on our two- to three-year time horizon, the portfolio managers continue to seek opportunities created by the inefficiencies frequently found among small cap companies.
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 cap stocks of companies located or operating in developed countries. The fund may also invest a limited percentage 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
The six-month period ended June 30, 2012 was volatile, and concluded with a rise in international equity markets. A number of macroeconomic events moved markets up and down. The Long Term Refinancing Operation (LTRO) conducted by the European Central Bank (ECB) in December 2011 and February 2012 provided over a trillion dollars of three-year financing at 1% interest rates. This substantially eased financing issues for banks and, to some extent, Spanish and Italian sovereigns, during the initial months of 2012. However, despite monetary easing measures, the conditions in the Eurozone’s peripheral economies began to deteriorate, particularly in Greece and Spain. However, investor sentiment improved in June 2012 following the E.U. Summit at the end of the month, which called for the establishment of a single banking supervisor, as well as the
22
Ultra Series Fund | June 30, 2012
International Stock Fund (continued)
ability of the European Stability Mechanism to directly inject capital into troubled banks. Japan performed strongly in the first quarter of 2012, but later reported larger-than-expected trade deficits due to diminished exports to Europe and higher energy imports. In emerging markets, China announced further monetary easing by reducing interest rates and decreasing bank reserve requirements as Chinese exports and manufacturing activity declined. From a sector perspective, market leadership was mixed, as neither traditionally defensive nor cyclical sectors prevailed. Outperforming sectors included Consumer Discretionary, Financials, and Consumer Staples. In contrast, Energy, Materials, and Information Technology were among the worst-performing sectors.
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS | |
AS OF 6/30/12 | |
Europe (excluding United Kingdom) | 39% |
Japan | 14% |
Latin America | 2% |
Pacific Basin | 11% |
United Kingdom | 25% |
Other Countries | 5% |
Cash and Other Net Assets | 4% |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2012, the Ultra Series International Stock Fund (Class I shares) (net) returned 5.87% while the MSCI EAFE Index (net) returned 2.96%. In the Materials sector, stock selection was additive to performance, led by positions in Rexam PLC, James Hardie Industries SE, and Xstrata PLC. U.K. beverage can producer Rexam performed well as the company reported a robust pricing environment in Europe and faster-than-expected volume growth in the U.S. Australian building materials company James Hardie Industries SE benefited the fund after reporting favorable results, while U.K. mining company Xstrata positively impacted
performance due to anticipation of a potential merger with Glencore International PLC. Stock selection in the Information Technology sector also benefited the fund, led by a position in Spanish travel information systems provider Amadeus IT Holding SA, which performed well due to strong results, including market share gains. Emerging market positioning benefited the fund as Brazilian credit card payment processor Cielo SA continued to perform well. In addition, South Korean electronics producer
Samsung Electronics Co. Ltd. positively impacted performance following strong smartphone sales. A position in South Africa’s Mr. Price Group Ltd was also additive.
In contrast, the fund was negatively impacted by stock selection in the Consumer Discretionary sector as a position in Yamada Denki Co. Ltd. weighed on returns after a strong performance in 2011. Stock selection in the Health Care sector also detracted from relative returns as Switzerland’s Novartis AG underperformed, due to increased competition from generics following the company’s loss of patent protection for its high blood pressure drug Diovan. Germany’s Merck & Co. Inc. also underperformed following a decline in first-quarter profits. Stock selection in the Financials sector slightly detracted from relative returns. Positions in Swiss financial services firms Credit Suisse Group AG and Julius Baer Group Ltd. negatively impacted performance due to renewed concerns over the European debt crisis. Meanwhile, Brazil’s Banco do Brasil SA also detracted from relative returns, as the bank underperformed amid concerns over the Brazilian government’s focus on lowering interest rates.
During the second quarter of 2012, we established a policy for the Ultra Series International Stock Fund not to exceed an emerging market securities allocation of 15% (although up to 30% is permitted). We believe the change serves to align the fund more
23
Ultra Series Fund | June 30, 2012
International Stock Fund (concluded)
closely with what has been the fund’s actual practice, and will ensure that the fund is categorized appropriately with comparable peers.
FUND CHANGES
Over the six-month period we found several interesting stock-specific opportunities, which led to changes in our sector and regional exposures. The purchases of pharmaceutical companies Bayer AG (Germany) and Genomma Lab Internacional (Mexico) increased the fund’s exposure to Health Care stocks. In the Industrial sector, the fund’s exposure increased following the purchase of construction machinery maker Komatsu Ltd. (Japan) and metal-cutting tool producer Sandvik AB (Sweden). The purchase of Orica Ltd. (Australia), a chemical and explosives producer, and ThyssenKrupp AG (Germany), a steel producer, increased the fund’s exposure to the Materials sector.
We sold the fund’s position in retailers Mr. Price Group Ltd. (South Africa) and Yamada Denki Co. Ltd. (Japan), as well as a position in communications services group WPP PLC (United Kingdom) and home builder MRV Engenharia Participacoes SA (Brazil), thereby reducing its exposure to the Consumer Discretionary sector. In Telecom Services, the sale of Vodafone Group PLC (U.K.) reduced exposure to the sector. The sale of Mr. Price Group and MRV Engenharia Participacoes, in addition to Kasikornbank PLC (Thailand) and Turkiye Garanti Bankasi AS (Turkey), reduced the fund’s exposure to emerging markets.
The portfolio management team continues to focus on stock selection, seeking stocks with sustainably high or improving returns trading at attractive valuations, and we believe that the strong historical record of performance will continue in a variety of market conditions.
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 2012 can be viewed as two distinct stories. Over the first three months of the year, global equity markets surged out to double-digit gains on the heels of massive liquidity support from the European Central Bank (ECB) which investors believed would mitigate the ongoing Euro bank/debt crisis. However, by late March it was apparent that the ECB’s actions did not meet investor
24
Ultra Series Fund | June 30, 2012
Madison Target Retirement 2020 Fund (concluded)
expectations. This realization, along with a deterioration in the tone of economic data releases across the globe, sparked a global equity sell-off. The 12.9% gain on the Russell 3000¨ Index (U.S. equities) over the first three months of 2012, was reduced to 9.3% at June 30, 2012, after a 3.2% decline over the second three months of the year. International equities fell harder during the second quarter, seeing their opening three month 10.9% gain cut to a 3.0% six month advance after a 7.1% drop during the second quarter. Bonds, on the other hand, started the year rather tepidly, with a 0.3% first quarter gain, followed by a 2.1% second quarter gain, resulting in a 2.4% gain at mid-year for the Barclays U.S. Aggregate Bond Index.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | |
AS OF 6/30/12 | |
Bond Funds | 52% |
Foreign Bond Funds | 2% |
Stock Funds | 39% |
Foreign Stock Funds | 6% |
Money Market Funds and Other Net Assets | 1% |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2012, the Ultra Series Madison Target Retirement 2020 Fund (Class I shares) returned 4.37%, while the Dow Jones Global Target 2020 Index returned 4.06%. The fund’s bias for domestic over foreign equities and large cap stocks over small/mid cap issues within the U.S. allocation explained the relative outperformance.
Top contributors to performance included: Vanguard Health Care Fund which returned 12.6% over the period; Vanguard Information Technology at 12.2%; and SPDR S&P 500 ETF Trust at 9.4%.
Detractors from performance included: Hussman Strategic Growth Fund which returned -7.6% over the period; iShares S&P Global Energy Sector Index at -4.0; and IVA Worldwide Fund at 1.3%.
FUND CHANGES
Over the period we trimmed the fund’s international exposure to increase our focus on U.S. mega capitalization stocks, which was funded by initiating a position in the iShares S&P 100 Index Fund. To improve the diversification and risk characteristics of the fund’s fixed income allocation, we reduced and then eliminated the fund’s position in the Templeton Global Bond Fund, reduced Vanguard Total Bond Market Index Fund, and added Metropolitan West Total Return Bond, PIMCO Total Return Fund, TCW Emerging Markets Income Fund, and Vanguard Short-Term Bond Index Fund to the portfolio. Finally, we eliminated the Hussman Strategic Growth Fund based on performance concerns.
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,
25
Ultra Series Fund | June 30, 2012
Madison Target Retirement 2030 Fund (concluded)
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 2012 can be viewed as two distinct stories. Over the first three months of the year, global equity markets surged out to double-digit gains on the heels of massive liquidity support from the European Central Bank (ECB) which investors believed would mitigate the ongoing Euro bank/debt crisis. However, by late March it was apparent that the ECB’s actions did not meet investor expectations. This realization, along with a deterioration in the tone of economic data releases across the globe, sparked a global equity sell-off. The 12.9% gain on the Russell 3000¨ Index (U.S. equities) over the first three months of 2012, was reduced to 9.3% at June 30, 2012, after a 3.2% decline over the second three months of the year. International equities fell harder during the second quarter, seeing their opening three month 10.9% gain cut to a 3.0% six month advance after a 7.1% drop during the second quarter. Bonds, on the other hand, started the year rather tepidly, with a 0.3% first quarter gain, followed by a 2.1% second quarter gain, resulting in a 2.4% gain at mid-year for the Barclays U.S. Aggregate Bond Index.
PERFORMANCE DISCUSSION
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | |
AS OF 6/30/12 | |
Bond Funds | 36% |
Foreign Bond Funds | 2% |
Stock Funds | 53% |
Foreign Stock Funds | 8% |
Money Market Funds and Other Net Assets | 1% |
For the six-month period ended June 30, 2012, the Ultra Series Madison Target Retirement 2030 Fund (Class I shares) returned 4.69%, while the Dow Jones Global Target 2030 Index returned 5.42%. The fund’s below benchmark equity exposure and weak performance from some of our core equity holdings explained the underperformance. Outside of the relative underweight to equities, the fund has been well aligned from an asset allocation perspective so far this year, favoring domestic equities over foreign issues and mega/large cap stocks over small/mid-sized companies within the U.S. market.
Top contributors to performance included: Vanguard Health Care Fund which returned 12.6% over the period; Vanguard Information Technology at 12.2%; and SPDR S&P 500 ETF Trust at 9.4%.
Detractors from performance included: Hussman Strategic Growth Fund which returned -7.6% over the period; iShares S&P Global Energy Sector Index at -4.0; and IVA Worldwide Fund at 1.3%.
FUND CHANGES
Over the period we trimmed the fund’s international exposure to increase our focus on U.S. mega capitalization stocks, which was funded by initiating a position in the iShares S&P 100 Index Fund. To improve the diversification and risk characteristics of the fund’s fixed income allocation we reduced and then eliminated the fund’s position in the Templeton Global Bond Fund, reduced Vanguard Total Bond Market Index Fund, and added Metropolitan West Total Return Bond Fund, PIMCO Total Return Fund, TCW Emerging Markets Income Fund, and Vanguard Short-Term Bond Index Fund to the portfolio. Finally, we eliminated the Hussman Strategic Growth Fund based on performance concerns.
26
Ultra Series Fund | June 30, 2012
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.
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 2012 can be viewed as two distinct stories. Over the first three months of the year, global equity markets surged out to double-digit gains on the heels of massive liquidity support from the European Central Bank (ECB) which investors believed would mitigate the ongoing Euro bank/debt crisis. However, by late March it was apparent that the ECB’s actions did not meet investor expectations. This realization, along with a deterioration in the tone of economic data releases across the globe, sparked a global equity sell-off. The 12.9% gain on the Russell 3000¨ Index (U.S. equities) over the first three months of 2012, was reduced to 9.3% at June 30, 2012, after a 3.2% decline over the second three months of the year. International equities fell harder during the second quarter, seeing their opening three month 10.9% gain cut to a 3.0% six month advance after a 7.1% drop during the second quarter. Bonds, on the other hand, started the year rather tepidly, with a 0.3% first quarter gain, followed by a 2.1% second quarter gain, resulting in a 2.4% gain at mid-year for the Barclays U.S. Aggregate Bond Index.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | |
AS OF 6/30/12 | |
Bond Funds | 27% |
Foreign Bond Funds | 1% |
Stock Funds | 62% |
Foreign Stock Funds | 9% |
Money Market Funds and Other Net Assets | 1% |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2012, the Ultra Series Madison Target Retirement 2040 Fund (Class I shares) returned 4.91%, while the Dow Jones Global Target 2040 Index returned 6.29%. The fund’s below benchmark equity exposure and weak performance from some of its core equity holdings explained the underperformance. Outside of being relatively underweight to equities, the fund has been well aligned from an asset allocation perspective so far this year, favoring domestic equities over foreign issues and mega/large capitalization stocks over small/mid-sized companies within the U.S. market.
Top contributors to performance included: Vanguard Health Care Fund which returned 12.6% over the period; Vanguard Information Technology at 12.2%; and SPDR S&P 500 ETF Trust at 9.4%.
27
Ultra Series Fund | June 30, 2012
Madison Target Retirement 2040 Fund (concluded)
Detractors from performance included: Hussman Strategic Growth Fund which returned -7.6% over the period; iShares S&P Global Energy Sector Index at -4.0; and IVA Worldwide Fund at 1.3%.
FUND CHANGES
Over the period we trimmed the fund’s international exposure to increase our focus on U.S. mega capitalization stocks, which was funded by initiating a position in the iShares S&P 100 Index. To improve the diversification and risk characteristics of the fund’s fixed income allocation we reduced and then eliminated the fund’s position in the Templeton Global Bond Fund, reduced Vanguard Total Bond Market Index Fund, and added Metropolitan West Total Return Bond Fund, PIMCO Total Return Fund, TCW Emerging Markets Income Fund, and Vanguard Short-Term Bond Index Fund to the portfolio. Finally, we eliminated Hussman Strategic Growth Fund based on performance concerns.
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.
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 2012 can be viewed as two distinct stories. Over the first three months of the year, global equity markets surged out to double-digit gains on the heels of massive liquidity support from the European Central Bank (ECB) which investors believed would mitigate the ongoing Euro bank/debt crisis. However, by late March it was apparent that the ECB’s actions did not meet investor expectations. This realization, along with a deterioration in the tone of economic data releases across the globe, sparked a global equity sell-off. The 12.9% gain on the Russell 3000¨ Index (U.S. equities) over the first three months of 2012, was reduced to 9.3% at June 30, 2012, after a 3.2% decline over the second three months of the year. International equities fell harder during the second quarter, seeing their opening three month 10.9% gain cut to a 3.0% six month advance after a 7.1% drop during the second quarter. Bonds, on the other hand, started the year rather tepidly, with a 0.3% first quarter gain, followed by a 2.1% second quarter gain, resulting in a 2.4% gain at mid-year for the Barclays U.S. Aggregate Bond Index.
28
Ultra Series Fund | June 30, 2012
Madison Target Retirement 2050 Fund (concluded)
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS | |
AS OF 6/30/12 | |
Bond Funds | 16% |
Foreign Bond Funds | 1% |
Stock Funds | 72% |
Foreign Stock Funds | 10% |
Money Market Funds and Other Net Assets | 1% |
PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2012, the Ultra Series Madison Target Retirement 2050 Fund (Class I shares) returned 5.13%, while the Dow Jones Global Target 2050 Index returned 6.43%. The fund’s below benchmark equity exposure and weak performance from some of our core equity holdings explained the underperformance. Outside of the relative underweight to equities, the fund has been well aligned from an asset allocation perspective so far this year, favoring domestic equities over foreign issues and mega/large cap stocks over small/mid-sized companies within the U.S. market.
Top contributors to performance included: Vanguard Health Care Fund which returned 12.6% over the period; Vanguard Information Technology at 12.2%; and SPDR S&P 500 Index at 9.4%.
Detractors from performance included: Hussman Strategic Growth Fund which returned -7.6% over the period; iShares S&P Global Energy Sector Index at -4.0%; and IVA Worldwide Fund at 1.3%.
FUND CHANGES
Over the period we trimmed the fund’s international exposure to increase our focus on U.S. mega capitalization stocks, which was funded by initiating a position in the iShares S&P 100 Index. To improve the diversification and risk characteristics of the fund’s fixed income allocation, we reduced and then eliminated the fund’s position in the Templeton Global Bond Fund, reduced Vanguard Total Bond Index Fund, and added Metropolitan West Total Return Bond Fund and TCW Emerging Markets Income Fund to the portfolio. Finally, we eliminated the Hussman Strategic Growth Fund based on performance concerns.
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.
29
Ultra Series Fund | June 30, 2012
Benchmark Descriptions (concluded)
MARKET INDEXES
The Bank of America Merrill Lynch U.S. Corporate, Government & Mortgage Index is a broad-based measure of the total rate of return performance of the U.S. investment-grade bond markets. The index is a capitalization-weighted aggregation of outstanding U.S. Treasury, agency and supranational mortgage pass-through, and investment-grade corporate bonds meeting specified selection criteria.
The Bank of America Merrill Lynch U.S. High Yield Master II Constrained Index tracks the performance of below investment grade U.S. dollar denominated corporate bonds publicly issued in the U.S. domestic market, but limits any individual issuer to a maximum weighting of 2%.
The CBOE BuyWrite Monthly Index (BXM) is a benchmark index designed to track the performance of a hypothetical buy-write strategy (ie. holding a long position in and selling covered call options on that position) on the S&P 500 Index.
The Dow Jones Global Target 2020 Index is a benchmark for multi-asset class portfolios with risk profiles that become more conservative as the year 2020 approaches. The index is a composite of other indexes that represent stocks, bonds and cash.
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 MSCI EAFE Index (net) is calculated on a total return basis with dividends reinvested after the deduction of withholding taxes.
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, 2012
Conservative Allocation Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 100.0% | ||
Bond Funds - 64.7% | ||
Franklin Floating Rate Daily Access Fund Advisor Class | 1,438,709 | $ 12,933,990 |
Madison Investment Grade Corporate Bond Fund (A) | 1,253,556 | 14,328,140 |
Madison Mosaic Institutional Bond Fund (A) | 1,756,767 | 19,693,363 |
MEMBERS Bond Fund Class Y (A) | 2,813,814 | 29,938,984 |
MEMBERS High Income Fund Class Y (A) | 2,360,700 | 16,548,505 |
Metropolitan West Total Return Bond Fund Class I | 1,852,494 | 19,766,115 |
PIMCO Investment Grade Corporate Bond Fund Institutional Class | 1,714,231 | 18,667,972 |
PIMCO Total Return Fund Institutional Class | 1,749,304 | 19,767,138 |
151,644,207 | ||
Foreign Bond Funds - 4.3% | ||
TCW Emerging Markets Income Fund | 910,058 | 7,926,602 |
Templeton Global Bond Fund Advisor Class | 175,979 | 2,254,285 |
10,180,887 | ||
Foreign Stock Funds - 4.5% | ||
IVA Worldwide Fund | 308,394 | 4,798,611 |
MEMBERS International Stock Fund Class Y (A) | 573,596 | 5,753,168 |
10,551,779 | ||
Shares | Value (Note 2) | |
Money Market Funds - 1.1% | ||
State Street Institutional U.S. Government Money Market Fund | 2,503,747 | $ 2,503,747 |
Stock Funds - 25.4% | ||
iShares S&P 100 Index Fund ETF | 209,620 | 13,094,962 |
Madison Mosaic Disciplined Equity Fund (A) | 877,116 | 11,876,152 |
MEMBERS Equity Income Fund Class Y (A) | 1,311,565 | 12,643,483 |
MEMBERS Large Cap Growth Fund Class Y (A) | 629,202 | 10,583,182 |
MEMBERS Large Cap Value Fund Class Y (A) | 842,636 | 11,341,875 |
59,539,654 | ||
TOTAL INVESTMENTS - 100.0% ( Cost $220,895,089** ) | 234,420,274 | |
NET OTHER ASSETS AND LIABILITIES - 0.0% | (33,473) | |
TOTAL NET ASSETS - 100.0% | $234,386,801 |
** | Aggregate cost for Federal tax purposes was $223,162,024. |
(A) | Affiliated Company (see Note 11). |
ETF | Exchange Traded Fund. |
See accompanying Notes to Financial Statements.
31
Ultra Series Fund | June 30, 2012
Moderate Allocation Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 99.6% | ||
Bond Funds - 39.8% | ||
Franklin Floating Rate Daily Access Fund Advisor Class | 1,738,982 | $ 15,633,446 |
Madison Mosaic Institutional Bond Fund (A) | 1,583,291 | 17,748,693 |
MEMBERS Bond Fund Class Y (A) | 3,436,899 | 36,568,606 |
MEMBERS High Income Fund Class Y (A) | 3,870,761 | 27,134,036 |
Metropolitan West Total Return Bond Fund Class I | 3,295,196 | 35,159,736 |
PIMCO Investment Grade Corporate Bond Fund Institutional Class | 2,126,086 | 23,153,080 |
155,397,597 | ||
Foreign Bond Funds - 2.8% | ||
TCW Emerging Markets Income Fund Class I | 1,062,311 | 9,252,728 |
Templeton Global Bond Fund Advisor Class | 146,948 | 1,882,400 |
11,135,128 | ||
Foreign Stock Funds - 8.5% | ||
IVA Worldwide Fund Class I | 573,201 | 8,919,008 |
NorthRoad International Fund Class Y (A) | 1,378,003 | 12,884,329 |
Matthews Asian Growth and Income Fund Institutional Shares | 292,829 | 4,773,105 |
MEMBERS International Stock Fund Class Y (A) | 657,124 | 6,590,957 |
33,167,399 | ||
Money Market Funds - 0.6% | ||
State Street Institutional U.S. Government Money Market Fund | 2,475,382 | 2,475,382 |
Shares | Value (Note 2) | |
Stock Funds - 47.9% | ||
iShares S&P 100 Index Fund ETF | 343,492 | $ 21,457,945 |
iShares S&P Global Energy Sector Index Fund ETF | 95,728 | 3,472,055 |
Madison Mosaic Disciplined Equity Fund (A) | 2,303,052 | 31,183,323 |
MEMBERS Equity Income Fund Class Y (A) | 1,526,340 | 14,713,914 |
MEMBERS Large Cap Growth Fund Class Y (A) | 1,722,125 | 28,966,142 |
MEMBERS Large Cap Value Fund Class Y (A) | 2,328,914 | 31,347,185 |
MEMBERS Mid Cap Fund Class Y (A) * | 2,126,615 | 15,545,554 |
MEMBERS Small Cap Fund Class Y (A) | 686,532 | 7,847,066 |
Schwab Fundamental U.S. Large Company Index Fund | 1,473,100 | 14,966,697 |
Vanguard Health Care ETF | 28,423 | 1,958,060 |
Yacktman Fund/The | 846,430 | 15,650,484 |
187,108,425 | ||
TOTAL INVESTMENTS - 99.6% ( Cost $357,618,561** ) | 389,283,931 | |
NET OTHER ASSETS AND LIABILITIES - 0.4% | 1,417,899 | |
TOTAL NET ASSETS - 100.0% | $390,701,830 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $362,030,371. |
(A) | Affiliated Company (see Note 11). |
ETF | Exchange Traded Fund. |
See accompanying Notes to Financial Statements.
32
Ultra Series Fund | June 30, 2012
Aggressive Allocation Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 99.9% | ||
Bond Funds - 16.4% | ||
MEMBERS High Income Fund Class Y (A) | 1,124,949 | $ 7,885,889 |
Metropolitan West Total Return Bond Fund Class I | 1,051,260 | 11,216,949 |
PIMCO Investment Grade Corporate Bond Fund Institutional Class | 353,680 | 3,851,577 |
22,954,415 | ||
Foreign Bond Funds - 1.0% | ||
TCW Emerging Markets Income Fund Class I | 157,325 | 1,370,300 |
Foreign Stock Funds - 11.4% | ||
IVA Worldwide Fund Class I | 273,341 | 4,253,191 |
NorthRoad International Fund Class Y (A) | 595,750 | 5,570,264 |
Matthews Asian Growth and Income Fund Institutional Shares | 217,029 | 3,537,574 |
MEMBERS International Stock Fund Class Y (A) | 268,355 | 2,691,604 |
16,052,633 | ||
Money Market Funds - 1.1% | ||
State Street Institutional U.S. Government Money Market Fund | 1,528,913 | 1,528,913 |
Shares | Value (Note 2) | |
Stock Funds - 70.0% | ||
iShares S&P 100 Index Fund ETF | 179,735 | $ 11,228,045 |
iShares S&P Global Energy Sector Index Fund ETF | 49,067 | 1,779,660 |
Madison Mosaic Disciplined Equity Fund (A) | 1,248,135 | 16,899,754 |
MEMBERS Equity Income Fund Class Y (A) | 392,511 | 3,783,803 |
MEMBERS Large Cap Growth Fund Class Y (A) | 902,425 | 15,178,792 |
MEMBERS Large Cap Value Fund Class Y (A) | 1,188,748 | 16,000,546 |
MEMBERS Mid Cap Fund Class Y (A) * | 1,440,819 | 10,532,386 |
MEMBERS Small Cap Fund Class Y (A) | 315,086 | 3,601,435 |
Schwab Fundamental U.S. Large Company Index Fund | 968,105 | 9,835,944 |
Vanguard Health Care ETF | 16,211 | 1,116,776 |
Vanguard Information Technology ETF | 10,212 | 701,871 |
Yacktman Fund/The | 415,282 | 7,678,558 |
98,337,570 | ||
TOTAL INVESTMENTS - 99.9% ( Cost $126,147,246** ) | 140,243,831 | |
NET OTHER ASSETS AND LIABILITIES - 0.1% | 167,913 | |
TOTAL NET ASSETS - 100.0% | $140,411,744 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $128,411,528. |
(A) | Affiliated Company (see Note 11). |
ETF | Exchange Traded Fund. |
See accompanying Notes to Financial Statements.
33
Ultra Series Fund | June 30, 2012
Money Market Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 76.1% | ||
Fannie Mae - 22.5% | ||
0.132%, 7/2/12 (A) | $ 200,000 | $ 199,999 |
0.098%, 7/5/12 (A) | 1,200,000 | 1,199,987 |
0.113%, 7/16/12 (A) | 1,500,000 | 1,499,931 |
1.125%, 7/30/12 | 200,000 | 200,160 |
0.122%, 8/1/12 (A) | 700,000 | 699,928 |
5.000%, 8/2/12 | 260,000 | 261,086 |
1.750%, 8/10/12 | 3,277,000 | 3,282,717 |
0.115%, 8/15/12 (A) | 710,000 | 709,898 |
0.132%, 8/16/12 (A) | 150,000 | 149,975 |
0.101%, 8/29/12 (A) | 2,200,000 | 2,199,639 |
0.122%, 8/31/12 (A) | 200,000 | 199,959 |
0.137%, 9/5/12 (A) | 1,000,000 | 999,753 |
4.375%, 9/15/12 | 500,000 | 504,366 |
12,107,398 | ||
Federal Farm Credit Bank - 1.0% | ||
3.600%, 9/19/12 | 510,000 | 513,839 |
Federal Home Loan Bank - 21.4% | ||
0.112%, 7/11/12 (A) | 350,000 | 349,989 |
0.117%, 7/13/12 (A) | 150,000 | 149,994 |
0.122%, 7/18/12 (A) | 800,000 | 799,955 |
0.112%, 7/20/12 (A) | 1,400,000 | 1,399,919 |
0.122%, 7/25/12 (A) | 850,000 | 849,932 |
0.132%, 7/27/12 (A) | 200,000 | 199,981 |
4.625%, 8/15/12 | 195,000 | 196,080 |
0.119%, 8/17/12 (A) | 300,000 | 299,953 |
0.875%, 8/22/12 | 390,000 | 390,390 |
1.750%, 8/22/12 | 1,160,000 | 1,162,633 |
0.101%, 8/29/12 (A) | 400,000 | 399,934 |
0.132%, 9/7/12 (A) | 850,000 | 849,791 |
0.220%, 9/12/12 | 2,500,000 | 2,500,361 |
4.500%, 9/14/12 | 1,955,000 | 1,972,305 |
11,521,217 | ||
Freddie Mac - 23.4% | ||
0.112%, 7/2/12 (A) | 200,000 | 199,999 |
0.099%, 7/9/12 (A) | 300,000 | 299,993 |
0.101%, 7/10/12 (A) | 200,000 | 199,995 |
5.125%, 7/15/12 | 803,000 | 804,549 |
1.125%, 7/27/12 | 1,134,000 | 1,134,813 |
0.115%, 7/30/12 (A) | 1,500,000 | 1,499,861 |
0.122%, 8/6/12 (A) | 600,000 | 599,928 |
0.122%, 8/13/12 (A) | 220,000 | 219,969 |
0.122%, 8/14/12 (A) | 200,000 | 199,971 |
0.091%, 8/20/12 (A) | 600,000 | 599,925 |
5.500%, 8/20/12 | 3,000,000 | 3,021,907 |
Par Value | Value (Note 2) | |
0.107%, 8/27/12 (A) | $ 300,000 | $ 299,950 |
1.000%, 8/28/12 | 1,294,000 | 1,295,769 |
0.122%, 9/10/12 (A) | 1,000,000 | 999,763 |
2.125%, 9/21/12 | 1,220,000 | 1,225,350 |
12,601,742 | ||
U.S. Treasury Bills (A) - 7.8% | ||
0.082%, 8/2/12 | 1,200,000 | 1,199,914 |
0.094%, 8/16/12 | 3,000,000 | 2,999,643 |
4,199,557 | ||
Total U.S. Government and Agency Obligations ( Cost $40,943,753 ) | 40,943,753 | |
SHORT-TERM INVESTMENTS - 19.5% | ||
Consumer Discretionary - 4.7% | ||
McDonald’s Corp. (A), 0.132%, 7/9/12 | 1,500,000 | 1,499,957 |
Walt Disney Co. (A), 0.122%, 7/10/12 | 1,000,000 | 999,970 |
2,499,927 | ||
Consumer Staples - 4.6% | ||
Coca-Cola Co. (A), 0.162%, 7/27/12 | 1,500,000 | 1,499,827 |
Coca-Cola Co. (A), 0.142%, 8/2/12 | 1,000,000 | 999,875 |
2,499,702 | ||
Energy - 4.6% | ||
ConocoPhillips Qatar (A), 0.193%, 7/23/12 | 1,000,000 | 999,884 |
ConocoPhillips Qatar (A), 0.193%, 8/9/12 | 1,500,000 | 1,499,691 |
2,499,575 | ||
Financials - 3.7% | ||
John Deere Bank S.A. (A), 0.152%, 7/20/12 | 1,500,000 | 1,499,881 |
John Deere Bank S.A. (A), 0.203%, 8/14/12 | 500,000 | 499,878 |
1,999,759 | ||
Industrials - 1.9% | ||
Emerson Electric Co. (A), 0.142%, 7/23/12 | 1,000,000 | 999,914 |
Total Short-Term Investments ( Cost $10,498,877 ) | 10,498,877 | |
Shares | ||
INVESTMENT COMPANIES - 4.1% | ||
State Street Institutional U.S. Government Money Market Fund | 2,191,590 | 2,191,590 |
Total Investment Companies ( Cost $2,191,590 ) | 2,191,590 | |
TOTAL INVESTMENTS - 99.7% ( Cost $53,634,220** ) | 53,634,220 | |
NET OTHER ASSETS AND LIABILITIES - 0.3% | 136,646 | |
TOTAL NET ASSETS - 100.0% | $ 53,770,866 |
** | Aggregate cost for Federal tax purposes was $53,634,220. |
(A) | Rate noted represents annualized yield at time of purchase. |
See accompanying Notes to Financial Statements.
34
Ultra Series Fund | June 30, 2012
Bond Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
ASSET BACKED SECURITIES - 2.0% | ||
ABSC Long Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (A), 8.55%, 9/21/30 | $ 652,045 | $ 660,795 |
Chase Issuance Trust, Series 2007-A17, Class A, 5.12%, 10/15/14 | 3,820,000 | 3,873,552 |
New Century Home Equity Loan Trust, Series 2003-5, Class AI5 (B), 5.5%, 11/25/33 | 3,500,000 | 3,541,377 |
Total Asset Backed Securities ( Cost $7,992,944 ) | 8,075,724 | |
CORPORATE NOTES AND BONDS - 27.2% | ||
Consumer Discretionary - 2.4% | ||
American Association of Retired Persons (C) (D), 7.5%, 5/1/31 | 2,500,000 | 3,509,988 |
DR Horton Inc., 5.25%, 2/15/15 | 1,140,000 | 1,185,600 |
ERAC USA Finance LLC (C) (D), 6.7%, 6/1/34 | 4,400,000 | 5,050,641 |
9,746,229 | ||
Consumer Staples - 1.1% | ||
PepsiCo Inc., 4.65%, 2/15/13 | 1,165,000 | 1,194,924 |
WM Wrigley Jr. Co. (C) (D), 3.05%, 6/28/13 | 3,170,000 | 3,206,890 |
4,401,814 | ||
Energy - 2.5% | ||
Hess Corp., 7.875%, 10/1/29 | 2,460,000 | 3,217,237 |
Transocean Inc., 6%, 3/15/18 | 1,400,000 | 1,563,807 |
Transocean Inc., 7.5%, 4/15/31 | 2,310,000 | 2,689,122 |
Valero Energy Corp., 7.5%, 4/15/32 | 2,275,000 | 2,635,701 |
10,105,867 | ||
Financials - 3.1% | ||
American Express Credit Corp., 2.375%, 3/24/17 | 1,080,000 | 1,106,927 |
HCP Inc., 6.7%, 1/30/18 | 2,725,000 | 3,164,044 |
Lehman Brothers Holdings Inc. (E) *, 5.75%, 1/3/17 | 3,135,000 | 313 |
Simon Property Group L.P., 5.875%, 3/1/17 | 1,060,000 | 1,220,241 |
Swiss Re Solutions Holding Corp., 7%, 2/15/26 | 1,250,000 | 1,468,796 |
UBS AG, 5.75%, 4/25/18 | 750,000 | 830,817 |
US Bank NA, 6.3%, 2/4/14 | 2,000,000 | 2,165,262 |
Wells Fargo & Co., 5.25%, 10/23/12 | 2,735,000 | 2,774,291 |
12,730,691 | ||
Health Care - 4.3% | ||
Eli Lilly & Co., 6.57%, 1/1/16 | 2,600,000 | 3,060,912 |
Genentech Inc., 5.25%, 7/15/35 | 1,740,000 | 2,048,726 |
Merck & Co. Inc., 5.75%, 11/15/36 | 3,960,000 | 5,265,648 |
Quest Diagnostics Inc., 5.45%, 11/1/15 | 3,500,000 | 3,903,606 |
Wyeth, 6.5%, 2/1/34 | 2,370,000 | 3,247,405 |
17,526,297 | ||
Par Value | Value (Note 2) | |
Industrials - 4.6% | ||
Boeing Co./The, 8.625%, 11/15/31 | $ 760,000 | $ 1,152,216 |
Boeing Co./The, 6.875%, 10/15/43 | 1,380,000 | 1,939,959 |
Burlington Northern Santa Fe LLC, 8.125%, 4/15/20 | 2,925,000 | 3,907,347 |
EI du Pont de Nemours & Co., 5%, 1/15/13 | 195,000 | 199,469 |
General Electric Capital Corp., 3.35%, 10/17/16 | 3,200,000 | 3,370,903 |
Lockheed Martin Corp., 7.65%, 5/1/16 | 1,450,000 | 1,749,902 |
Norfolk Southern Corp., 5.59%, 5/17/25 | 1,268,000 | 1,531,802 |
Norfolk Southern Corp., 7.05%, 5/1/37 | 1,400,000 | 1,925,897 |
Waste Management Inc., 7.125%, 12/15/17 | 2,465,000 | 2,976,184 |
18,753,679 | ||
Information Technology - 1.2% | ||
Cisco Systems Inc., 5.5%, 2/22/16 | 2,400,000 | 2,784,934 |
Western Union Co./The, 5.93%, 10/1/16 | 2,065,000 | 2,395,825 |
5,180,759 | ||
Materials - 1.5% | ||
Westvaco Corp., 8.2%, 1/15/30 | 2,250,000 | 2,671,117 |
Weyerhaeuser Co., 7.375%, 3/15/32 | 3,000,000 | 3,350,793 |
6,021,910 | ||
Telecommunication Services - 1.8% | ||
Comcast Cable Communications Holdings Inc., 9.455%, 11/15/22 | 3,080,000 | 4,483,611 |
Rogers Communications Inc. (F), 6.25%, 6/15/13 | 3,000,000 | 3,151,374 |
7,634,985 | ||
Utilities - 4.7% | ||
Indianapolis Power & Light Co. (C) (D), 6.05%, 10/1/36 | 3,445,000 | 4,264,810 |
Interstate Power & Light Co., 6.25%, 7/15/39 | 2,925,000 | 3,855,729 |
Sierra Pacific Power Co., Series M, 6%, 5/15/16 | 3,250,000 | 3,787,137 |
Southwestern Electric Power Co., Series E, 5.55%, 1/15/17 | 2,165,000 | 2,448,877 |
Virginia Electric and Power Co., Series C, 5.1%, 11/30/12 | 1,165,000 | 1,186,559 |
Wisconsin Electric Power Co., 6.5%, 6/1/28 | 3,000,000 | 3,832,224 |
19,375,336 | ||
Total Corporate Notes and Bonds ( Cost $100,869,708 ) | 111,477,567 |
See accompanying Notes to Financial Statements.
35
Ultra Series Fund | June 30, 2012
Bond Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
MORTGAGE BACKED SECURITIES - 17.6% | ||
Fannie Mae - 14.7% | ||
4%, 4/1/15 Pool # 255719 | $ 539,941 | $ 574,566 |
5.5%, 4/1/16 Pool # 745444 | 871,726 | 947,658 |
6%, 5/1/16 Pool # 582558 | 52,266 | 56,288 |
5.5%, 9/1/17 Pool # 657335 | 120,394 | 130,421 |
5.5%, 2/1/18 Pool # 673194 | 386,961 | 421,712 |
5%, 5/1/20 Pool # 813965 | 1,383,158 | 1,505,377 |
4.5%, 9/1/20 Pool # 835465 | 1,143,834 | 1,230,232 |
6%, 5/1/21 Pool # 253847 | 161,360 | 177,416 |
7%, 12/1/29 Pool # 762813 | 112,978 | 131,076 |
7%, 11/1/31 Pool # 607515 | 83,498 | 99,205 |
6.5%, 3/1/32 Pool # 631377 | 223,856 | 257,171 |
7%, 4/1/32 Pool # 641518 | 4,933 | 5,831 |
7%, 5/1/32 Pool # 644591 | 129,167 | 153,466 |
6.5%, 6/1/32 Pool # 545691 | 1,309,368 | 1,498,775 |
5.5%, 4/1/33 Pool # 690206 | 1,763,443 | 1,938,695 |
5%, 10/1/33 Pool # 254903 | 2,486,382 | 2,705,601 |
5.5%, 11/1/33 Pool # 555880 | 2,061,736 | 2,266,632 |
5%, 5/1/34 Pool # 782214 | 63,826 | 69,413 |
5%, 6/1/34 Pool # 778891 | 593,824 | 645,809 |
5.5%, 6/1/34 Pool # 780384 | 2,188,082 | 2,404,167 |
7%, 7/1/34 Pool # 792636 | 80,681 | 92,750 |
5.5%, 8/1/34 Pool # 793647 | 284,818 | 314,548 |
5.5%, 3/1/35 Pool # 810075 | 1,219,128 | 1,337,238 |
5.5%, 3/1/35 Pool # 815976 | 1,479,199 | 1,625,354 |
5.5%, 7/1/35 Pool # 825283 | 1,656,587 | 1,820,357 |
5%, 8/1/35 Pool # 829670 | 1,928,411 | 2,092,409 |
5.5%, 8/1/35 Pool # 826872 | 804,410 | 882,970 |
5%, 9/1/35 Pool # 820347 | 1,971,108 | 2,206,494 |
5%, 9/1/35 Pool # 835699 | 1,823,244 | 2,040,972 |
5%, 10/1/35 Pool # 797669 | 2,610,772 | 2,910,308 |
5.5%, 10/1/35 Pool # 836912 | 304,111 | 333,574 |
5%, 11/1/35 Pool # 844809 | 1,363,554 | 1,479,515 |
5%, 12/1/35 Pool # 850561 | 1,444,787 | 1,567,657 |
5.5%, 2/1/36 Pool # 851330 | 681,779 | 749,179 |
5.5%, 10/1/36 Pool # 896340 | 522,247 | 572,287 |
5.5%, 10/1/36 Pool # 901723 | 2,395,957 | 2,617,596 |
6.5%, 10/1/36 Pool # 894118 | 1,628,836 | 1,848,337 |
6%, 11/1/36 Pool # 902510 | 2,422,934 | 2,712,472 |
5.5%, 2/1/37 Pool # 905140 | 1,927,853 | 2,129,083 |
5.5%, 5/1/37 Pool # 899323 | 1,450,878 | 1,590,079 |
5.5%, 5/1/37 Pool # 928292 | 1,180,681 | 1,303,921 |
6%, 10/1/37 Pool # 947563 | 2,288,083 | 2,561,506 |
5.5%, 7/1/38 Pool # 986973 | 1,870,944 | 2,053,371 |
5%, 8/1/38 Pool # 988934 | 2,723,060 | 2,984,421 |
6.5%, 8/1/38 Pool # 987711 | 2,771,371 | 3,122,900 |
60,168,809 | ||
Par Value | Value (Note 2) | |
Freddie Mac - 2.8% | ||
5%, 5/1/18 Pool # E96322 | $ 847,185 | $ 909,766 |
8%, 6/1/30 Pool # C01005 | 59,788 | 74,006 |
7%, 3/1/31 Pool # C48129 | 221,504 | 262,058 |
5%, 7/1/33 Pool # A11325 | 1,591,352 | 1,757,638 |
6%, 10/1/34 Pool # A28439 | 464,395 | 514,448 |
6%, 10/1/34 Pool # A28598 | 190,368 | 210,886 |
5.5%, 11/1/34 Pool # A28282 | 3,038,457 | 3,357,227 |
5%, 4/1/35 Pool # A32314 | 426,467 | 472,429 |
5%, 4/1/35 Pool # A32315 | 748,272 | 832,425 |
5%, 4/1/35 Pool # A32316 | 820,412 | 912,677 |
5%, 4/1/35 Pool # A32509 | 274,719 | 305,614 |
5%, 1/1/37 Pool # A56371 | 1,948,119 | 2,096,589 |
11,705,763 | ||
Ginnie Mae - 0.1% | ||
8%, 10/20/15 Pool # 2995 | 35,704 | 38,309 |
6.5%, 2/20/29 Pool # 2714 | 140,622 | 163,082 |
6.5%, 4/20/31 Pool # 3068 | 109,809 | 127,280 |
328,671 | ||
Total Mortgage Backed Securities ( Cost $65,087,102 ) | 72,203,243 | |
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 45.6% | ||
Fannie Mae - 1.6% | ||
5.250%, 8/1/12 | 2,400,000 | 2,409,629 |
4.625%, 10/15/14 | 3,905,000 | 4,279,396 |
6,689,025 | ||
Federal Farm Credit Bank - 1.2% | ||
5.875%, 10/3/16 | 4,000,000 | 4,821,292 |
Freddie Mac - 2.1% | ||
4.875%, 11/15/13 | 2,500,000 | 2,657,765 |
4.500%, 1/15/14 | 5,500,000 | 5,848,870 |
8,506,635 | ||
U.S. Treasury Bonds - 4.1% | ||
6.625%, 2/15/27 | 7,350,000 | 11,484,375 |
4.500%, 5/15/38 | 4,000,000 | 5,410,624 |
16,894,999 | ||
U.S. Treasury Notes - 36.6% | ||
0.375%, 10/31/12 | 5,000,000 | 5,003,710 |
3.625%, 5/15/13 | 4,000,000 | 4,117,188 |
3.125%, 8/31/13 | 2,710,000 | 2,799,663 |
4.000%, 2/15/14 | 9,500,000 | 10,063,692 |
4.250%, 8/15/14 | 11,200,000 | 12,121,379 |
2.375%, 9/30/14 | 3,600,000 | 3,764,250 |
2.625%, 12/31/14 | 20,000,000 | 21,120,320 |
2.500%, 3/31/15 | 1,750,000 | 1,850,625 |
See accompanying Notes to Financial Statements.
36
Ultra Series Fund | June 30, 2012
Bond Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | ||
U.S. Treasury Notes (continued) | ||
4.250%, 8/15/15 | $ 8,900,000 | $ 9,942,973 |
3.250%, 12/31/16 | 8,000,000 | 8,910,000 |
3.125%, 1/31/17 | 4,000,000 | 4,437,812 |
2.375%, 7/31/17 | 4,000,000 | 4,319,376 |
4.250%, 11/15/17 | 9,100,000 | 10,732,312 |
2.750%, 2/15/19 | 16,750,000 | 18,588,580 |
3.375%, 11/15/19 | 15,000,000 | 17,354,295 |
2.625%, 11/15/20 | 6,500,000 | 7,144,417 |
2.000%, 11/15/21 | 7,500,000 | 7,775,978 |
150,046,570 | ||
Total U.S. Government and Agency Obligations ( Cost $170,790,046 ) | 186,958,521 | |
Shares | ||
INVESTMENT COMPANIES - 4.6% | ||
State Street Institutional U.S. Government Money Market Fund | 18,917,047 | 18,917,047 |
Total Investment Companies ( Cost $18,917,047 ) | 18,917,047 | |
TOTAL INVESTMENTS - 97.0% ( Cost $363,656,847** ) | 397,632,102 | |
NET OTHER ASSETS AND LIABILITIES - 3.0% | 12,273,215 | |
TOTAL NET ASSETS - 100.0% | $409,905,317 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $363,656,847. |
(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, 2012. |
(C) | Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "qualified institutional investors." |
(D) | Illiquid security (See Note 2). |
(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 0.77% of total net assets. |
See accompanying Notes to Financial Statements.
37
Ultra Series Fund | June 30, 2012
High Income Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
CORPORATE NOTES AND BONDS - 94.7% | ||
Consumer Discretionary - 33.1% | ||
Auto Components - 3.4% | ||
Allison Transmission Inc. (A), 7.125%, 5/15/19 | $1,000,000 | $ 1,042,500 |
American Axle & Manufacturing Inc., 7.875%, 3/1/17 | 750,000 | 774,375 |
Dana Holding Corp., 6.5%, 2/15/19 | 350,000 | 371,875 |
Goodyear Tire & Rubber Co., 7%, 5/15/22 | 500,000 | 499,375 |
Tenneco Inc., 6.875%, 12/15/20 | 475,000 | 513,000 |
3,201,125 | ||
Automobiles - 0.3% | ||
Cooper Standard Automotive Inc., 8.5%, 5/1/18 | 250,000 | 269,688 |
Hotels, Restaurants & Leisure - 5.3% | ||
Ameristar Casinos Inc., 7.5%, 4/15/21 | 300,000 | 321,000 |
Ameristar Casinos Inc. (A), 7.5%, 4/15/21 | 500,000 | 535,000 |
Boyd Gaming Corp., 9.125%, 12/1/18 | 500,000 | 515,000 |
Felcor Lodging L.P., 6.75%, 6/1/19 | 950,000 | 972,562 |
Isle of Capri Casinos Inc., 7%, 3/1/14 | 500,000 | 499,375 |
MGM Resorts International, 7.625%, 1/15/17 | 500,000 | 516,250 |
Pinnacle Entertainment Inc., 8.625%, 8/1/17 | 500,000 | 543,750 |
Pinnacle Entertainment Inc., 8.75%, 5/15/20 | 300,000 | 328,500 |
Scientific Games International Inc. (A), 7.875%, 6/15/16 | 750,000 | 780,000 |
5,011,437 | ||
Household Durables - 1.7% | ||
Griffon Corp., 7.125%, 4/1/18 | 500,000 | 507,500 |
Jarden Corp., 7.5%, 5/1/17 | 500,000 | 560,000 |
Spectrum Brands Holdings Inc., 9.5%, 6/15/18 | 500,000 | 565,000 |
1,632,500 | ||
Media - 18.3% | ||
Allbritton Communications Co., 8%, 5/15/18 | 950,000 | 992,750 |
Belo Corp., 8%, 11/15/16 | 500,000 | 546,875 |
Cablevision Systems Corp., 7.75%, 4/15/18 | 250,000 | 266,250 |
CCO Holdings LLC / CCO Holdings Capital Corp., 8.125%, 4/30/20 | 1,000,000 | 1,115,000 |
CCO Holdings LLC / CCO Holdings Capital Corp., 6.5%, 4/30/21 | 750,000 | 798,750 |
Cequel Communications Holdings I LLC and Cequel Capital Corp. (A), 8.625%, 11/15/17 | 900,000 | 969,750 |
Clear Channel Worldwide Holdings Inc., Series B, 9.25%, 12/15/17 | 350,000 | 381,500 |
Clear Channel Worldwide Holdings Inc. (A), 7.625%, 3/15/20 | 500,000 | 488,750 |
CSC Holdings LLC (A), 6.75%, 11/15/21 | 400,000 | 426,000 |
Cumulus Media Holdings Inc., 7.75%, 5/1/19 | 900,000 | 848,250 |
DISH DBS Corp., 6.75%, 6/1/21 | 1,025,000 | 1,107,000 |
DISH DBS Corp. (A), 5.875%, 7/15/22 | 100,000 | 101,000 |
Par Value | Value (Note 2) | |
Gray Television Inc., 10.5%, 6/29/15 | $ 800,000 | $ 832,000 |
Hughes Satellite Systems Corp., 6.5%, 6/15/19 | 500,000 | 531,250 |
Hughes Satellite Systems Corp., 7.625%, 6/15/21 | 750,000 | 815,625 |
Intelsat Jackson Holdings S.A. (B), 11.25%, 6/15/16 | 174,000 | 182,265 |
Intelsat Jackson Holdings S.A. (B), 7.5%, 4/1/21 | 100,000 | 105,750 |
Intelsat Luxembourg S.A. (B), 11.25%, 2/4/17 | 800,000 | 824,000 |
Intelsat Luxembourg S.A., PIK (A) (B), 11.5%, 2/4/17 | 375,000 | 387,187 |
Lamar Media Corp. (A), 5.875%, 2/1/22 | 500,000 | 512,500 |
Mediacom Broadband LLC / Mediacom Broadband Corp., 8.5%, 10/15/15 | 500,000 | 513,750 |
Nielsen Finance LLC / Nielsen Finance Co., 7.75%, 10/15/18 | 500,000 | 553,750 |
Quebecor Media Inc. (B), 7.75%, 3/15/16 | 500,000 | 513,750 |
Telesat Canada / Telesat LLC (A) (B), 6%, 5/15/17 | 500,000 | 508,750 |
Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH (A) (B), 8.125%, 12/1/17 | 750,000 | 806,250 |
UPCB Finance V Ltd. (A) (B), 6.875%, 1/15/22 | 350,000 | 357,000 |
Viasat Inc., 8.875%, 9/15/16 | 500,000 | 535,000 |
Videotron Ltee (A) (B), 5%, 7/15/22 | 750,000 | 761,250 |
XM Satellite Radio Inc. (A), 7.625%, 11/1/18 | 500,000 | 537,500 |
17,319,452 | ||
Specialty Retail - 3.1% | ||
Jo-Ann Stores Inc. (A), 8.125%, 3/15/19 | 600,000 | 597,000 |
Ltd. Brands Inc., 6.9%, 7/15/17 | 250,000 | 277,500 |
Penske Automotive Group Inc., 7.75%, 12/15/16 | 1,000,000 | 1,037,500 |
Sally Holdings LLC / Sally Capital Inc., 5.75%, 6/1/22 | 1,000,000 | 1,046,250 |
Yankee Acquisition Corp., Series B, 8.5%, 2/15/15 | 23,000 | 23,460 |
2,981,710 | ||
Textiles, Apparel & Luxury Goods - 1.0% | ||
Hanesbrands Inc., 6.375%, 12/15/20 | 250,000 | 263,125 |
Iconix Brand Group Inc. (A) (C), 2.5%, 6/1/16 | 200,000 | 192,750 |
Levi Strauss & Co., 7.625%, 5/15/20 | 500,000 | 531,250 |
987,125 | ||
Consumer Staples - 7.1% | ||
Central Garden and Pet Co., 8.25%, 3/1/18 | 500,000 | 501,250 |
Del Monte Corp., 7.625%, 2/15/19 | 500,000 | 504,375 |
Dole Food Co. Inc. (A), 8%, 10/1/16 | 200,000 | 208,750 |
Ingles Markets Inc., 8.875%, 5/15/17 | 750,000 | 816,563 |
Mead Products LLC / ACCO Brands Corp. (A), 6.75%, 4/30/20 | 250,000 | 263,750 |
See accompanying Notes to Financial Statements.
38
Ultra Series Fund | June 30, 2012
High Income Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
CORPORATE NOTES AND BONDS (continued) | ||
Consumer Staples (continued) | ||
NBTY Inc., 9%, 10/1/18 | $1,000,000 | $ 1,105,000 |
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp., 9.25%, 4/1/15 | 500,000 | 513,750 |
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp., 8.25%, 9/1/17 | 500,000 | 528,750 |
Stater Brothers Holdings, 7.75%, 4/15/15 | 500,000 | 510,000 |
SUPERVALU Inc., 7.5%, 11/15/14 | 500,000 | 507,500 |
SUPERVALU Inc., 8%, 5/1/16 | 500,000 | 506,250 |
Tops Markets LLC, 10.125%, 10/15/15 | 500,000 | 531,250 |
US Foodservice (A), 8.5%, 6/30/19 | 200,000 | 203,000 |
6,700,188 | ||
Energy - 9.2% | ||
AmeriGas Finance LLC / AmeriGas Finance Corp., 7%, 5/20/22 | 250,000 | 257,500 |
AmeriGas Partners L.P. / AmeriGas Finance Corp., 6.25%, 8/20/19 | 500,000 | 502,500 |
Bill Barrett Corp., 7%, 10/15/22 | 250,000 | 238,750 |
Chaparral Energy Inc., 8.25%, 9/1/21 | 500,000 | 528,750 |
Chesapeake Energy Corp., 6.775%, 3/15/19 | 750,000 | 731,250 |
Continental Resources Inc., 8.25%, 10/1/19 | 250,000 | 279,375 |
Copano Energy LLC / Copano Energy Finance Corp., 7.125%, 4/1/21 | 550,000 | 566,500 |
Exterran Holdings Inc., 7.25%, 12/1/18 | 500,000 | 480,000 |
Helix Energy Solutions Group Inc. (A), 9.5%, 1/15/16 | 87,000 | 91,133 |
Inergy L.P. / Inergy Finance Corp., 6.875%, 8/1/21 | 366,000 | 366,000 |
Key Energy Services Inc., 6.75%, 3/1/21 | 500,000 | 487,500 |
MarkWest Energy Partners L.P. / MarkWest Energy Finance Corp., 6.75%, 11/1/20 | 500,000 | 531,250 |
Oasis Petroleum Inc., 6.875%, 1/15/23 | 500,000 | 501,875 |
PetroBakken Energy Ltd. (A) (B), 8.625%, 2/1/20 | 700,000 | 696,500 |
Precision Drilling Corp. (B), 6.5%, 12/15/21 | 850,000 | 867,000 |
Regency Energy Partners L.P. / Regency Energy Finance Corp., 6.875%, 12/1/18 | 500,000 | 526,250 |
Regency Energy Partners L.P. / Regency Energy Finance Corp., 6.5%, 7/15/21 | 750,000 | 787,500 |
Unit Corp., 6.625%, 5/15/21 | 250,000 | 248,750 |
8,688,383 | ||
Financials - 3.4% | ||
CIT Group Inc. (A), 7%, 5/2/16 | 600,000 | 601,500 |
CIT Group Inc. (A), 7%, 5/2/17 | 287,933 | 288,473 |
CIT Group Inc., 5%, 5/15/17 | 50,000 | 51,500 |
CIT Group Inc., 5.25%, 3/15/18 | 200,000 | 206,500 |
MPT Operating Partnership L.P. / MPT Finance Corp., 6.875%, 5/1/21 | 500,000 | 521,250 |
Par Value | Value (Note 2) | |
Nuveen Investments Inc., 10.5%, 11/15/15 | $1,000,000 | $ 1,015,000 |
Trans Union LLC / TransUnion Financing Corp., 11.375%, 6/15/18 | 500,000 | 588,125 |
3,272,348 | ||
Health Care - 10.3% | ||
AMGH Merger Sub Inc. (A), 9.25%, 11/1/18 | 830,000 | 863,200 |
Biomet Inc., 10%, 10/15/17 | 250,000 | 267,031 |
Biomet Inc., 11.625%, 10/15/17 | 750,000 | 809,063 |
DaVita Inc., 6.375%, 11/1/18 | 500,000 | 516,250 |
Endo Pharmaceuticals Holdings Inc., 7%, 12/15/20 | 500,000 | 541,875 |
Endo Pharmaceuticals Holdings Inc., 7.25%, 1/15/22 | 500,000 | 541,875 |
Fresenius Medical Care US Finance II Inc. (A), 5.625%, 7/31/19 | 200,000 | 208,500 |
Fresenius Medical Care US Finance II Inc. (A), 5.875%, 1/31/22 | 1,200,000 | 1,249,500 |
HCA Inc., 6.5%, 2/15/20 | 500,000 | 541,875 |
HCA Inc., 7.5%, 2/15/22 | 400,000 | 436,000 |
HCA Inc., 5.875%, 3/15/22 | 250,000 | 261,250 |
Hologic Inc. (C) (D), 2%, 12/15/37 | 150,000 | 146,625 |
Multiplan Inc. (A), 9.875%, 9/1/18 | 250,000 | 273,750 |
Omega Healthcare Investors Inc., 7.5%, 2/15/20 | 250,000 | 272,500 |
Tenet Healthcare Corp., 9.25%, 2/1/15 | 150,000 | 166,875 |
Tenet Healthcare Corp., 6.25%, 11/1/18 | 250,000 | 264,375 |
Tenet Healthcare Corp., 8%, 8/1/20 | 850,000 | 879,750 |
Valeant Pharmaceuticals International (A), 6.75%, 10/1/17 | 1,000,000 | 1,042,500 |
Vanguard Health Holding Co. II LLC / Vanguard Holding Co. II Inc. (A), 7.75%, 2/1/19 | 500,000 | 505,000 |
9,787,794 | ||
Industrials - 11.4% | ||
Alliance Data Systems Corp. (A), 6.375%, 4/1/20 | 500,000 | 512,500 |
ARAMARK Corp., 8.5%, 2/1/15 | 1,000,000 | 1,023,760 |
ARAMARK Holdings Corp., PIK (A), 8.625%, 5/1/16 | 500,000 | 511,880 |
Ashtead Capital Inc. (A), 6.5%, 7/15/22 | 500,000 | 500,000 |
Avis Budget Car Rental LLC / Avis Budget Finance Inc., 8.25%, 1/15/19 | 500,000 | 536,250 |
Bristow Group Inc., 7.5%, 9/15/17 | 750,000 | 778,125 |
FTI Consulting Inc., 7.75%, 10/1/16 | 750,000 | 775,313 |
Moog Inc., 7.25%, 6/15/18 | 500,000 | 530,000 |
RBS Global Inc. / Rexnord LLC, 8.5%, 5/1/18 | 300,000 | 325,500 |
RR Donnelley & Sons Co., 7.25%, 5/15/18 | 400,000 | 381,000 |
RSC Equipment Rental Inc. / RSC Holdings III LLC, 8.25%, 2/1/21 | 175,000 | 186,375 |
ServiceMaster Co., PIK (A), 10.75%, 7/15/15 | 397,604 | 410,033 |
See accompanying Notes to Financial Statements.
39
Ultra Series Fund | June 30, 2012
High Income Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
CORPORATE NOTES AND BONDS (continued) | ||
Industrials (continued) | ||
ServiceMaster Co. (A), 8%, 2/15/20 | $ 500,000 | $ 544,375 |
Terex Corp., 8%, 11/15/17 | 500,000 | 518,750 |
Tomkins LLC / Tomkins Inc., 9%, 10/1/18 | 900,000 | 1,001,250 |
Trinity Industries Inc. (C), 3.875%, 6/1/36 | 425,000 | 419,156 |
UR Financing Escrow Corp. (A), 7.625%, 4/15/22 | 750,000 | 785,625 |
West Corp., 11%, 10/15/16 | 1,000,000 | 1,055,000 |
10,794,892 | ||
Information Technology - 5.6% | ||
Advanced Micro Devices Inc. (C), 6%, 5/1/15 | 77,000 | 77,674 |
Advanced Micro Devices Inc., 8.125%, 12/15/17 | 550,000 | 596,750 |
Advanced Micro Devices Inc., 7.75%, 8/1/20 | 500,000 | 550,000 |
Fidelity National Information Services Inc. (A), 5%, 3/15/22 | 250,000 | 254,375 |
General Cable Corp. (C), 0.875%, 11/15/13 | 325,000 | 309,156 |
Level 3 Financing Inc., 8.125%, 7/1/19 | 200,000 | 205,250 |
Level 3 Financing Inc., 8.625%, 7/15/20 | 750,000 | 787,500 |
SunGard Data Systems Inc., 10.25%, 8/15/15 | 1,050,000 | 1,078,875 |
SunGard Data Systems Inc., 7.375%, 11/15/18 | 500,000 | 536,250 |
Syniverse Holdings Inc., 9.125%, 1/15/19 | 850,000 | 922,250 |
5,318,080 | ||
Materials - 7.2% | ||
Ardagh Packaging Finance PLC (A) (B), 9.125%, 10/15/20 | 250,000 | 265,000 |
Ardagh Packaging Finance PLC / Ardagh MP Holdings USA Inc. (A) (B), 9.125%, 10/15/20 | 300,000 | 315,000 |
Ferro Corp. (E), 7.875%, 8/15/18 | 500,000 | 487,500 |
FMG Resources August 2006 Pty Ltd. (A) (B), 7%, 11/1/15 | 200,000 | 204,000 |
Graphic Packaging International Inc., 9.5%, 6/15/17 | 350,000 | 385,000 |
Huntsman International LLC, 5.5%, 6/30/16 | 500,000 | 500,000 |
JMC Steel Group (A), 8.25%, 3/15/18 | 1,000,000 | 992,500 |
LyondellBasell Industries N.V. (A) (B), 5%, 4/15/19 | 900,000 | 943,875 |
Penn Virginia Resource Partners L.P. / Penn Virginia Resource Finance Corp., 8.25%, 4/15/18 | 700,000 | 707,000 |
Polymer Group Inc., 7.75%, 2/1/19 | 500,000 | 528,125 |
Reynolds Group Holdings Ltd. (A), 8.25%, 2/15/21 | 500,000 | 475,000 |
Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC (A), 8.5%, 5/15/18 | 250,000 | 245,000 |
Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC (A), 9%, 4/15/19 | 250,000 | 249,375 |
Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC (A), 9.875%, 8/15/19 | 500,000 | 518,750 |
6,816,125 | ||
Par Value | Value (Note 2) | |
Telecommunication Services - 4.9% | ||
CenturyLink Inc., 5.8%, 3/15/22 | $ 500,000 | $ 497,752 |
CommScope Inc. (A), 8.25%, 1/15/19 | 500,000 | 528,750 |
Crown Castle International Corp., 7.125%, 11/1/19 | 150,000 | 160,875 |
Frontier Communications Corp., 7.875%, 4/15/15 | 250,000 | 275,000 |
Nextel Communications Inc., Series E, 6.875%, 10/31/13 | 321,000 | 322,204 |
Nextel Communications Inc., Series C, 5.95%, 3/15/14 | 800,000 | 801,000 |
Sprint Nextel Corp. (A), 7%, 3/1/20 | 150,000 | 156,000 |
tw telecom holdings, Inc., 8%, 3/1/18 | 500,000 | 545,000 |
Windstream Corp., 7%, 3/15/19 | 250,000 | 256,250 |
Windstream Corp., 7.75%, 10/15/20 | 1,000,000 | 1,060,000 |
4,602,831 | ||
Utilities - 2.5% | ||
AES Corp./The, 8%, 6/1/20 | 500,000 | 573,750 |
Calpine Corp. (A), 7.25%, 10/15/17 | 1,000,000 | 1,075,000 |
Mirant Americas Generation LLC, 8.5%, 10/1/21 | 300,000 | 270,000 |
NRG Energy Inc., 8.25%, 9/1/20 | 475,000 | 491,625 |
2,410,375 | ||
Total Corporate Notes and Bonds ( Cost $85,900,144 ) | 89,794,053 | |
Shares | ||
INVESTMENT COMPANIES - 4.7% | ||
State Street Institutional U.S. Government Money Market Fund | 4,438,740 | 4,438,740 |
Total Investment Companies ( Cost $4,438,740 ) | 4,438,740 | |
TOTAL INVESTMENTS - 99.4% ( Cost $90,338,884** ) | 94,232,793 | |
NET OTHER ASSETS AND LIABILITIES - 0.6% | 601,469 | |
TOTAL NET ASSETS - 100.0% | $ 94,834,262 |
** | Aggregate cost for Federal tax purposes was $90,338,884. |
(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 8.16% of total net assets. |
(C) | Convertible security. |
(D) | Floating rate or variable rate note. Rate shown is as of June 30, 2012. |
(E) | Illiquid security (Note 2). |
PIK | Payment in Kind. |
PLC | Public Limited Company. |
See accompanying Notes to Financial Statements.
40
Ultra Series Fund | June 30, 2012
Diversified Income Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 53.7% | ||
Consumer Discretionary - 4.2% | ||
McDonald’s Corp. | 35,000 | $ 3,098,550 |
Omnicom Group Inc. | 71,500 | 3,474,900 |
Target Corp. | 90,000 | 5,237,100 |
Time Warner Inc. | 130,000 | 5,005,000 |
16,815,550 | ||
Consumer Staples - 7.5% | ||
Coca-Cola Co./The | 46,500 | 3,635,835 |
Diageo PLC, ADR | 30,000 | 3,092,100 |
Nestle S.A., ADR | 59,000 | 3,524,660 |
PepsiCo Inc. | 107,300 | 7,581,818 |
Philip Morris International Inc. | 31,000 | 2,705,060 |
Procter & Gamble Co./The | 74,000 | 4,532,500 |
Sysco Corp. | 82,000 | 2,444,420 |
Wal-Mart Stores Inc. | 40,000 | 2,788,800 |
30,305,193 | ||
Energy - 5.9% | ||
Chevron Corp. | 95,000 | 10,022,500 |
ConocoPhillips | 128,000 | 7,152,640 |
Ensco PLC, Class A | 92,000 | 4,321,240 |
Phillips 66 * | 64,000 | 2,127,360 |
23,623,740 | ||
Financials - 9.3% | ||
Axis Capital Holdings Ltd. | 110,500 | 3,596,775 |
Bank of New York Mellon Corp./The | 109,100 | 2,394,745 |
BlackRock Inc. | 20,000 | 3,396,400 |
M&T Bank Corp. | 36,000 | 2,972,520 |
Northern Trust Corp. | 58,500 | 2,692,170 |
PartnerRe Ltd. | 54,000 | 4,086,180 |
Travelers Cos. Inc./The | 126,000 | 8,043,840 |
US Bancorp | 141,000 | 4,534,560 |
Wells Fargo & Co. | 167,000 | 5,584,480 |
37,301,670 | ||
Health Care - 9.1% | ||
Becton, Dickinson and Co. | 32,000 | 2,392,000 |
Johnson & Johnson | 113,000 | 7,634,280 |
Medtronic Inc. | 130,000 | 5,034,900 |
Merck & Co. Inc. | 216,000 | 9,018,000 |
Novartis AG, ADR | 41,000 | 2,291,900 |
Pfizer Inc. | 452,019 | 10,396,437 |
36,767,517 | ||
Industrials - 6.5% | ||
3M Co. | 66,000 | 5,913,600 |
Boeing Co./The | 42,500 | 3,157,750 |
Emerson Electric Co. | 48,000 | 2,235,840 |
Illinois Tool Works Inc. | 49,000 | 2,591,610 |
Shares | Value (Note 2) | |
Lockheed Martin Corp. | 27,000 | $ 2,351,160 |
Norfolk Southern Corp. | 51,500 | 3,696,155 |
United Parcel Service Inc., Class B | 49,000 | 3,859,240 |
Waste Management Inc. | 72,000 | 2,404,800 |
26,210,155 | ||
Information Technology - 6.8% | ||
Broadridge Financial Solutions Inc. | 146,000 | 3,105,420 |
Intel Corp. | 257,000 | 6,849,050 |
Linear Technology Corp. | 90,000 | 2,819,700 |
Microsoft Corp. | 297,000 | 9,085,230 |
Paychex Inc. | 105,000 | 3,298,050 |
Western Union Co./The | 131,000 | 2,206,040 |
27,363,490 | ||
Materials - 0.8% | ||
Air Products & Chemicals Inc. | 40,000 | 3,229,200 |
Telecommunication Service - 1.8% | ||
AT&T Inc. | 205,315 | 7,321,533 |
Utilities - 1.8% | ||
Exelon Corp. | 107,000 | 4,025,340 |
FirstEnergy Corp. | 67,000 | 3,295,730 |
7,321,070 | ||
Total Common Stocks ( Cost $179,250,240 ) | 216,259,118 | |
Par Value | ||
ASSET BACKED SECURITIES - 0.7% | ||
ABSC Long Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (A), 8.55%, 9/21/30 | $ 599,648 | 607,695 |
Chase Issuance Trust, Series 2007-A17, Class A, 5.12%, 10/15/14 | 2,045,000 | 2,073,669 |
Total Asset Backed Securities ( Cost $2,663,809 ) | 2,681,364 | |
CORPORATE NOTES AND BONDS - 16.2% | ||
Consumer Discretionary - 1.8% | ||
American Association of Retired Persons (B) (C), 7.5%, 5/1/31 | 2,000,000 | 2,807,990 |
DR Horton Inc., 5.25%, 2/15/15 | 515,000 | 535,600 |
ERAC USA Finance LLC (B) (C), 6.7%, 6/1/34 | 1,850,000 | 2,123,565 |
Royal Caribbean Cruises Ltd. (D), 7.25%, 6/15/16 | 1,600,000 | 1,728,000 |
7,195,155 | ||
Consumer Staples - 1.1% | ||
Kraft Foods Inc., 6.5%, 11/1/31 | 2,025,000 | 2,496,963 |
PepsiCo Inc., 4.65%, 2/15/13 | 620,000 | 635,925 |
WM Wrigley Jr. Co. (B) (C), 3.05%, 6/28/13 | 1,310,000 | 1,325,244 |
4,458,132 |
See accompanying Notes to Financial Statements.
41
Ultra Series Fund | June 30, 2012
Diversified Income Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
CORPORATE NOTES AND BONDS (continued) | ||
Energy - 1.3% | ||
ConocoPhillips, 6.65%, 7/15/18 | $1,500,000 | $ 1,877,667 |
Hess Corp., 7.875%, 10/1/29 | 1,150,000 | 1,503,993 |
Transocean Inc., 6%, 3/15/18 | 750,000 | 837,754 |
Transocean Inc., 7.5%, 4/15/31 | 1,030,000 | 1,199,045 |
5,418,459 | ||
Financials - 2.5% | ||
American Express Credit Corp., 2.375%, 3/24/17 | 450,000 | 461,219 |
HCP Inc., 6.7%, 1/30/18 | 1,450,000 | 1,683,620 |
Lehman Brothers Holdings Inc. (E) *, 5.75%, 1/3/17 | 1,735,000 | 173 |
Nationwide Health Properties Inc., Series D, 8.25%, 7/1/12 | 2,400,000 | 2,400,000 |
Simon Property Group L.P., 5.875%, 3/1/17 | 530,000 | 610,121 |
Swiss Re Solutions Holding Corp., 7%, 2/15/26 | 1,000,000 | 1,175,037 |
US Bank NA, 6.3%, 2/4/14 | 2,000,000 | 2,165,262 |
Wells Fargo & Co., 5.25%, 10/23/12 | 1,450,000 | 1,470,831 |
9,966,263 | ||
Health Care - 3.0% | ||
Amgen Inc., 5.85%, 6/1/17 | 3,950,000 | 4,654,909 |
Eli Lilly & Co., 6.57%, 1/1/16 | 1,200,000 | 1,412,729 |
Genentech Inc., 5.25%, 7/15/35 | 740,000 | 871,298 |
Merck & Co. Inc., 5.75%, 11/15/36 | 1,320,000 | 1,755,216 |
Quest Diagnostics Inc., 5.45%, 11/1/15 | 1,500,000 | 1,672,974 |
Wyeth, 6.5%, 2/1/34 | 1,100,000 | 1,507,234 |
11,874,360 | ||
Industrials - 2.1% | ||
Boeing Co./The, 8.625%, 11/15/31 | 350,000 | 530,626 |
Boeing Co./The, 6.875%, 10/15/43 | 620,000 | 871,576 |
Burlington Northern Santa Fe LLC, 8.125%, 4/15/20 | 1,365,000 | 1,823,428 |
EI du Pont de Nemours & Co., 5%, 1/15/13 | 103,000 | 105,360 |
Lockheed Martin Corp., 7.65%, 5/1/16 | 780,000 | 941,327 |
Norfolk Southern Corp., 5.59%, 5/17/25 | 957,000 | 1,156,100 |
Norfolk Southern Corp., 7.05%, 5/1/37 | 1,050,000 | 1,444,423 |
Waste Management Inc., 7.125%, 12/15/17 | 1,150,000 | 1,388,484 |
8,261,324 | ||
Information Technology - 0.5% | ||
Cisco Systems Inc., 5.5%, 2/22/16 | 960,000 | 1,113,973 |
Western Union Co./The, 5.93%, 10/1/16 | 935,000 | 1,084,793 |
2,198,766 | ||
Materials - 0.3% | ||
Westvaco Corp., 8.2%, 1/15/30 | 1,025,000 | 1,216,842 |
Par Value | Value (Note 2) | |
Telecommunication Services - 1.0% | ||
Comcast Cable Communications Holdings Inc., 9.455%, 11/15/22 | $1,780,000 | $ 2,591,178 |
Rogers Communications Inc. (D), 6.25%, 6/15/13 | 1,315,000 | 1,381,352 |
3,972,530 | ||
Utilities - 2.6% | ||
Indianapolis Power & Light Co. (B) (C), 6.05%, 10/1/36 | 1,555,000 | 1,925,045 |
Interstate Power & Light Co., 6.25%, 7/15/39 | 1,365,000 | 1,799,340 |
Nevada Power Co., Series R, 6.75%, 7/1/37 | 1,600,000 | 2,164,434 |
Sierra Pacific Power Co., Series M, 6%, 5/15/16 | 474,000 | 552,339 |
Southwestern Electric Power Co., Series E, 5.55%, 1/15/17 | 835,000 | 944,486 |
Virginia Electric and Power Co., Series C, 5.1%, 11/30/12 | 620,000 | 631,473 |
Westar Energy Inc., 6%, 7/1/14 | 2,400,000 | 2,626,930 |
10,644,047 | ||
Total Corporate Notes and Bonds ( Cost $58,618,702 ) | 65,205,878 | |
MORTGAGE BACKED SECURITIES - 7.7% | ||
Fannie Mae - 6.6% | ||
4%, 4/1/15 Pool # 255719 | 253,494 | 269,749 |
5.5%, 4/1/16 Pool # 745444 | 336,885 | 366,229 |
6%, 5/1/16 Pool # 582558 | 95,821 | 103,195 |
5%, 12/1/17 Pool # 672243 | 710,607 | 769,401 |
4.5%, 9/1/20 Pool # 835465 | 703,177 | 756,290 |
6%, 5/1/21 Pool # 253847 | 137,277 | 150,936 |
7%, 12/1/29 Pool # 762813 | 52,908 | 61,384 |
7%, 11/1/31 Pool # 607515 | 83,498 | 99,205 |
7%, 4/1/32 Pool # 641518 | 2,642 | 3,123 |
7%, 5/1/32 Pool # 644591 | 71,011 | 84,370 |
5.5%, 10/1/33 Pool # 254904 | 680,058 | 747,642 |
5.5%, 11/1/33 Pool # 555880 | 2,061,736 | 2,266,632 |
5%, 5/1/34 Pool # 780890 | 2,474,871 | 2,691,529 |
7%, 7/1/34 Pool # 792636 | 38,617 | 44,394 |
5.5%, 8/1/34 Pool # 793647 | 275,163 | 303,885 |
5.5%, 3/1/35 Pool # 815976 | 1,435,151 | 1,576,954 |
5.5%, 7/1/35 Pool # 825283 | 688,712 | 756,798 |
5.5%, 8/1/35 Pool # 826872 | 352,988 | 387,462 |
5%, 9/1/35 Pool # 820347 | 805,602 | 901,805 |
5%, 9/1/35 Pool # 835699 | 763,188 | 854,326 |
5%, 10/1/35 Pool # 797669 | 817,832 | 911,663 |
5.5%, 10/1/35 Pool # 836912 | 664,552 | 728,934 |
5%, 12/1/35 Pool # 850561 | 604,393 | 655,793 |
5.5%, 12/1/35 Pool # 844583 | 1,649,235 | 1,809,529 |
5.5%, 2/1/36 Pool # 851330 | 306,214 | 336,486 |
5.5%, 9/1/36 Pool # 831820 | 1,626,222 | 1,818,836 |
See accompanying Notes to Financial Statements.
42
Ultra Series Fund | June 30, 2012
Diversified Income Fund Portfolio of Investments (unaudited)
Par Value | Value (Note 2) | |
MORTGAGE BACKED SECURITIES (continued) | ||
Fannie Mae (continued) | ||
6%, 9/1/36 Pool # 831741 | $ 639,955 | $ 704,880 |
5.5%, 10/1/36 Pool # 896340 | 234,975 | 257,490 |
5.5%, 10/1/36 Pool # 901723 | 898,484 | 981,598 |
5.5%, 12/1/36 Pool # 902853 | 1,426,683 | 1,574,709 |
5.5%, 12/1/36 Pool # 903059 | 1,299,236 | 1,443,377 |
5.5%, 12/1/36 Pool # 907512 | 907,386 | 994,444 |
5.5%, 12/1/36 Pool # 907635 | 990,383 | 1,098,309 |
26,511,357 | ||
Freddie Mac - 1.1% | ||
8%, 6/1/30 Pool # C01005 | 47,830 | 59,205 |
6.5%, 1/1/32 Pool # C62333 | 172,828 | 196,869 |
5%, 7/1/33 Pool # A11325 | 1,591,352 | 1,757,638 |
6%, 10/1/34 Pool # A28439 | 215,372 | 238,585 |
6%, 10/1/34 Pool # A28598 | 88,287 | 97,802 |
5%, 4/1/35 Pool # A32314 | 230,618 | 255,473 |
5%, 4/1/35 Pool # A32315 | 334,137 | 371,714 |
5%, 4/1/35 Pool # A32316 | 282,015 | 313,731 |
5%, 4/1/35 Pool # A32509 | 182,453 | 202,972 |
5%, 1/1/37 Pool # A56371 | 974,059 | 1,048,295 |
4,542,284 | ||
Ginnie Mae - 0.0% | ||
6.5%, 4/20/31 Pool # 3068 | 90,431 | 104,819 |
Total Mortgage Backed Securities ( Cost $28,183,768 ) | 31,158,460 | |
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 15.8% | ||
U.S. Treasury Bond - 1.3% | ||
6.625%, 2/15/27 | 3,270,000 | 5,109,375 |
U.S. Treasury Notes - 14.5% | ||
0.375%, 10/31/12 | 3,000,000 | 3,002,226 |
4.000%, 11/15/12 | 2,500,000 | 2,535,450 |
1.375%, 1/15/13 | 4,000,000 | 4,025,468 |
3.625%, 5/15/13 | 1,980,000 | 2,038,008 |
3.125%, 8/31/13 | 1,175,000 | 1,213,876 |
4.000%, 2/15/14 | 4,810,000 | 5,095,406 |
4.250%, 8/15/14 | 4,965,000 | 5,373,451 |
Par Value | Value (Note 2) | |
2.375%, 9/30/14 | $1,400,000 | $ 1,463,875 |
2.500%, 3/31/15 | 795,000 | 840,713 |
4.500%, 2/15/16 | 3,550,000 | 4,055,044 |
3.250%, 12/31/16 | 2,500,000 | 2,784,375 |
3.125%, 1/31/17 | 2,000,000 | 2,218,906 |
2.375%, 7/31/17 | 2,000,000 | 2,159,688 |
4.250%, 11/15/17 | 9,100,000 | 10,732,312 |
2.750%, 2/15/19 | 1,300,000 | 1,442,696 |
3.375%, 11/15/19 | 1,000,000 | 1,156,953 |
2.625%, 11/15/20 | 7,400,000 | 8,133,643 |
58,272,090 | ||
Total U.S. Government and Agency Obligations ( Cost $58,691,049 ) | 63,381,465 | |
Shares | ||
INVESTMENT COMPANIES - 5.6% | ||
State Street Institutional U.S. Government Money Market Fund | 22,635,736 | 22,635,736 |
Total Investment Companies ( Cost $22,635,736 ) | 22,635,736 | |
TOTAL INVESTMENTS - 99.7% ( Cost $350,043,304** ) | 401,322,021 | |
NET OTHER ASSETS AND LIABILITIES - 0.3% | 1,074,957 | |
TOTAL NET ASSETS - 100.0% | $402,396,978 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $350,872,486. |
(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, 2012
Equity Income Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCK - 98.6%*** | ||
Consumer Discretionary - 12.6% | ||
Best Buy Co. Inc. | 1,500 | $ 31,440 |
CarMax Inc.* | 2,500 | 64,850 |
Kohl’s Corp. | 1,500 | 68,235 |
Staples Inc. | 3,500 | 45,675 |
Target Corp. | 1,600 | 93,104 |
303,304 | ||
Energy - 16.3% | ||
Apache Corp. | 1,000 | 87,890 |
Canadian Natural Resources Ltd. | 2,000 | 53,700 |
Noble Corp.* | 2,000 | 65,060 |
Petroleo Brasileiro S.A., ADR | 2,700 | 50,679 |
Schlumberger Ltd. | 1,500 | 97,365 |
Southwestern Energy Co.* | 1,200 | 38,316 |
393,010 | ||
Financials - 11.6% | ||
Bank of New York Mellon Corp. | 3,500 | 76,825 |
Goldman Sachs Group Inc. | 300 | 28,758 |
Morgan Stanley | 2,500 | 36,475 |
State Street Corp. | 2,200 | 98,208 |
T Rowe Price Group Inc. | 600 | 37,776 |
278,042 | ||
Health Care - 17.7% | ||
Community Health Systems Inc.* | 3,000 | 84,090 |
Laboratory Corp. of America Holdings* | 800 | 74,088 |
Mylan Inc.* | 4,000 | 85,480 |
St. Jude Medical Inc. | 1,700 | 67,847 |
Stryker Corp. | 1,000 | 55,100 |
Teva Pharmaceutical Industries Ltd., ADR | 1,500 | 59,160 |
425,765 | ||
Industrials - 9.3% | ||
Expeditors International of Washington Inc. | 2,000 | 77,500 |
Jacobs Engineering Group Inc.* | 2,000 | 75,720 |
Norfolk Southern Corp. | 1,000 | 71,770 |
224,990 | ||
Shares | Value (Note 2) | |
Information Technology - 27.6% | ||
Adobe Systems Inc.* | 3,200 | $ 103,584 |
Cisco Systems Inc. | 5,000 | 85,850 |
eBay Inc.* | 3,000 | 126,030 |
FLIR Systems Inc. | 3,500 | 68,250 |
Google Inc., Class A* | 200 | 116,014 |
Hewlett-Packard Co. | 1,500 | 30,165 |
Qualcomm Inc. | 1,000 | 55,680 |
Yahoo! Inc.* | 5,000 | 79,150 |
664,723 | ||
Materials - 3.5% | ||
Freeport-McMoRan Copper & Gold Inc. | 2,500 | 85,175 |
Total Common Stock (Cost $2,689,464) | 2,375,009 | |
Repurchase Agreement - 4.7% | ||
With U.S. Bank National Association issued 06/29/12 at 0.01%, due 07/02/12, collateralized by $115,421 in Freddie Mac Gold Pool #G11440 due 08/01/18. Proceeds at maturity are $113,060 (Cost $113,060) | 113,060 | |
TOTAL INVESTMENTS - 103.3% (Cost $2,802,524**) | 2,488,069 | |
NET OTHER ASSETS AND LIABILITIES - (1.5%) | (35,537) | |
TOTAL CALL OPTIONS WRITTEN - (1.8%) | (44,276) | |
TOTAL ASSETS - 100% | $ 2,408,256 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $2,802,524. |
*** | All or a portion of these securities’ positions represent covers (directly or through conversion rights) for outstanding options written. |
ADR | American Depository Receipt |
See accompanying Notes to Financial Statements.
44
Ultra Series Fund | June 30, 2012
Equity Income Fund Portfolio of Investments (unaudited)
Call Options Written | Contracts (100 shares per contract) | Expiration Date | Exercise Price | Market Value |
Adobe Systems Inc. | 32 | July2016 | $33.00 | $ 1,328 |
Apache Corp. | 10 | July2016 | 90.00 | 1,410 |
CarMax Inc. | 25 | July2016 | 30.00 | 125 |
eBay Inc. | 30 | July2016 | 34.00 | 24,000 |
Kohl’s Corp. | 15 | July2016 | 52.50 | 75 |
St. Jude Medical Inc. | 17 | July2016 | 40.00 | 1,785 |
State Street Corp. | 22 | July2016 | 42.00 | 6,688 |
T Rowe Price Group Inc. | 6 | July2016 | 60.00 | 2,040 |
Target Corp. | 16 | July2016 | 55.00 | 5,400 |
Yahoo! Inc. | 50 | July2016 | 16.00 | 1,425 |
Total Call Options Written (Premiums received $35,169) | $44,276 |
See accompanying Notes to Financial Statements.
45
Ultra Series Fund | June 30, 2012
Large Cap Value Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 96.5% | ||
Consumer Discretionary - 7.1% | ||
Omnicom Group Inc. | 174,000 | $ 8,456,400 |
Target Corp. | 203,000 | 11,812,570 |
Time Warner Inc. | 290,000 | 11,165,000 |
Viacom Inc., Class B | 110,000 | 5,172,200 |
36,606,170 | ||
Consumer Staples - 11.2% | ||
Diageo PLC, ADR | 71,000 | 7,317,970 |
Nestle S.A., ADR | 94,000 | 5,615,560 |
PepsiCo Inc. | 230,000 | 16,251,800 |
Philip Morris International Inc. | 67,000 | 5,846,420 |
Procter & Gamble Co./The | 177,000 | 10,841,250 |
Sysco Corp. | 194,000 | 5,783,140 |
Wal-Mart Stores Inc. | 89,000 | 6,205,080 |
57,861,220 | ||
Energy - 13.9% | ||
Apache Corp. | 95,000 | 8,349,550 |
Canadian Natural Resources Ltd. | 259,000 | 6,954,150 |
Chevron Corp. | 143,046 | 15,091,353 |
ConocoPhillips | 163,000 | 9,108,440 |
Ensco PLC, Class A | 175,000 | 8,219,750 |
Occidental Petroleum Corp. | 158,500 | 13,594,545 |
Schlumberger Ltd. | 161,000 | 10,450,510 |
71,768,298 | ||
Financials - 23.8% | ||
Arch Capital Group Ltd. * | 214,000 | 8,493,660 |
Bank of New York Mellon Corp./The | 500,000 | 10,975,000 |
Berkshire Hathaway Inc., Class B * | 162,000 | 13,499,460 |
BlackRock Inc. | 31,000 | 5,264,420 |
Brookfield Asset Management Inc., Class A | 255,000 | 8,440,500 |
Franklin Resources Inc. | 57,500 | 6,381,925 |
M&T Bank Corp. | 71,500 | 5,903,755 |
Markel Corp. * | 23,106 | 10,205,920 |
Travelers Cos. Inc./The | 227,000 | 14,491,680 |
US Bancorp | 503,000 | 16,176,480 |
Wells Fargo & Co. | 474,000 | 15,850,560 |
WR Berkley Corp. | 179,532 | 6,987,386 |
122,670,746 | ||
Health Care - 15.0% | ||
Johnson & Johnson | 290,000 | 19,592,400 |
Medtronic Inc. | 233,000 | 9,024,090 |
Merck & Co. Inc. | 471,000 | 19,664,250 |
Novartis AG, ADR | 141,000 | 7,881,900 |
Pfizer Inc. | 926,000 | 21,298,000 |
77,460,640 | ||
Shares | Value (Note 2) | |
Industrials - 10.9% | ||
3M Co. | 179,000 | $ 16,038,400 |
Boeing Co./The | 74,000 | 5,498,200 |
Emerson Electric Co. | 160,000 | 7,452,800 |
Illinois Tool Works Inc. | 105,000 | 5,553,450 |
Lockheed Martin Corp. | 69,000 | 6,008,520 |
Norfolk Southern Corp. | 111,000 | 7,966,470 |
United Parcel Service Inc., Class B | 99,500 | 7,836,620 |
56,354,460 | ||
Information Technology - 8.2% | ||
Cisco Systems Inc. | 292,000 | 5,013,640 |
Intel Corp. | 508,000 | 13,538,200 |
Microsoft Corp. | 482,000 | 14,744,380 |
Western Union Co./The | 530,000 | 8,925,200 |
42,221,420 | ||
Materials - 2.5% | ||
Air Products & Chemicals Inc. | 86,000 | 6,942,780 |
Newmont Mining Corp. | 122,000 | 5,918,220 |
12,861,000 | ||
Telecommunication Service - 2.1% | ||
AT&T Inc. | 301,987 | 10,768,856 |
Utilities - 1.8% | ||
Exelon Corp. | 248,000 | 9,329,760 |
Total Common Stocks ( Cost $427,907,839 ) | 497,902,570 | |
INVESTMENT COMPANIES - 3.5% | ||
State Street Institutional U.S. Government Money Market Fund | 17,932,879 | 17,932,879 |
Total Investment Companies ( Cost $17,932,879 ) | 17,932,879 | |
TOTAL INVESTMENTS - 100.0% ( Cost $445,840,718** ) | 515,835,449 | |
NET OTHER ASSETS AND LIABILITIES - 0.0% | 117,115 | |
TOTAL NET ASSETS - 100.0% | $515,952,564 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $446,290,095. |
ADR | American Depositary Receipt. |
PLC | Public Limited Company. |
See accompanying Notes to Financial Statements.
46
Ultra Series Fund | June 30, 2012
Large Cap Growth Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 96.2% | ||
Consumer Discretionary - 16.7% | ||
Amazon.com Inc. * | 18,812 | $ 4,295,720 |
CarMax Inc. * | 128,083 | 3,322,473 |
Comcast Corp., Class A | 208,167 | 6,655,099 |
Ctrip.com International Ltd., ADR * | 172,287 | 2,887,530 |
Discovery Communications Inc., Class C * | 99,760 | 4,996,978 |
J.C. Penney Company Inc. | 93,832 | 2,187,224 |
Nielsen Holdings N.V. * | 175,373 | 4,598,280 |
Omnicom Group Inc. | 110,975 | 5,393,385 |
Panera Bread Co., Class A * | 41,353 | 5,766,262 |
priceline.com Inc. * | 3,738 | 2,483,976 |
Starbucks Corp. | 112,468 | 5,996,794 |
Tractor Supply Co. | 19,010 | 1,578,971 |
Walt Disney Co./The | 109,285 | 5,300,323 |
Yum! Brands Inc. | 82,505 | 5,314,972 |
60,777,987 | ||
Consumer Staples - 10.0% | ||
Coca-Cola Co./The | 123,880 | 9,686,177 |
Costco Wholesale Corp. | 44,541 | 4,231,395 |
Diageo PLC, ADR | 74,111 | 7,638,621 |
Hershey Co./The | 61,140 | 4,403,914 |
Mead Johnson Nutrition Co. | 24,795 | 1,996,246 |
PepsiCo Inc. | 119,138 | 8,418,291 |
36,374,644 | ||
Energy - 8.3% | ||
Ensco PLC, Class A | 67,895 | 3,189,028 |
Exxon Mobil Corp. | 84,515 | 7,231,948 |
Occidental Petroleum Corp. | 22,735 | 1,949,981 |
Schlumberger Ltd. | 233,725 | 15,171,090 |
World Fuel Services Corp. | 68,335 | 2,598,780 |
30,140,827 | ||
Financials - 6.6% | ||
Brookfield Asset Management Inc., Class A | 113,927 | 3,770,983 |
CME Group Inc. | 6,825 | 1,829,851 |
IntercontinentalExchange Inc. * | 73,052 | 9,933,611 |
T Rowe Price Group Inc. | 135,874 | 8,554,627 |
24,089,072 | ||
Health Care - 9.5% | ||
Allergan Inc. | 40,408 | 3,740,569 |
Becton, Dickinson and Co. | 60,527 | 4,524,393 |
Biogen Idec Inc. * | 27,315 | 3,943,740 |
Celgene Corp. * | 50,490 | 3,239,438 |
Cerner Corp. * | 52,143 | 4,310,140 |
Eli Lilly & Co. | 86,540 | 3,713,431 |
Johnson & Johnson | 140,860 | 9,516,502 |
Shares | Value (Note 2) | |
UnitedHealth Group Inc. | 29,905 | $ 1,749,443 |
34,737,656 | ||
Industrials - 11.0% | ||
Boeing Co./The | 81,157 | 6,029,965 |
C.H. Robinson Worldwide Inc. | 44,905 | 2,628,290 |
Emerson Electric Co. | 73,919 | 3,443,147 |
Expeditors International of Washington Inc. | 51,507 | 1,995,896 |
Hexcel Corp. * | 139,265 | 3,591,644 |
IHS Inc., Class A * | 27,153 | 2,925,193 |
Roper Industries Inc. | 85,693 | 8,447,616 |
United Parcel Service Inc., Class B | 109,916 | 8,656,984 |
W.W. Grainger Inc. | 12,205 | 2,334,084 |
40,052,819 | ||
Information Technology - 29.1% | ||
Communications Equipment - 2.5% | ||
QUALCOMM Inc. | 161,815 | 9,009,859 |
Computers & Peripherals - 9.1% | ||
Apple Inc. * | 51,539 | 30,098,776 |
EMC Corp. * | 114,285 | 2,929,124 |
33,027,900 | ||
Electrical Equipment - 0.8% | ||
Sensata Technologies Holding N.V. * | 113,152 | 3,030,211 |
Electronic Equipment, Instruments & Components - 0.4% | ||
FLIR Systems Inc. | 71,616 | 1,396,512 |
Internet Software & Services - 5.7% | ||
Baidu Inc., ADR * | 14,305 | 1,644,789 |
eBay Inc. * | 83,600 | 3,512,036 |
Google Inc., Class A * | 26,670 | 15,470,467 |
20,627,292 | ||
IT Services - 3.3% | ||
Accenture PLC, Class A | 119,927 | 7,206,413 |
Visa Inc., Class A | 40,074 | 4,954,349 |
12,160,762 | ||
Semiconductors & Semiconductor Equipment - 1.3% | ||
Cavium Inc. * | 104,339 | 2,921,492 |
Cree Inc. * | 65,343 | 1,677,355 |
4,598,847 | ||
Software - 6.0% | ||
MICROS Systems Inc. * | 76,700 | 3,927,040 |
Microsoft Corp. | 454,645 | 13,907,591 |
Nuance Communications Inc. * | 104,816 | 2,496,717 |
SAP AG, ADR | 27,770 | 1,648,427 |
21,979,775 |
See accompanying Notes to Financial Statements.
47
Ultra Series Fund | June 30, 2012
Large Cap Growth Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS (continued) | ||
Materials - 3.2% | ||
Ecolab Inc. | 44,302 | $ 3,036,016 |
International Flavors & Fragrances Inc. | 38,535 | 2,111,718 |
Molycorp Inc. * | 169,148 | 3,645,140 |
Monsanto Co. | 36,430 | 3,015,675 |
11,808,549 | ||
Telecommunication Service - 1.8% | ||
Verizon Communications Inc. | 149,265 | 6,633,337 |
Total Common Stocks ( Cost $288,838,191 ) | 350,446,049 | |
INVESTMENT COMPANIES - 2.1% | ||
State Street Institutional U.S. Government Money Market Fund | 7,653,483 | 7,653,483 |
Total Investment Companies ( Cost $7,653,483 ) | 7,653,483 | |
TOTAL INVESTMENTS - 98.3% ( Cost $296,491,674** ) | 358,099,532 | |
NET OTHER ASSETS AND LIABILITIES - 1.7% | 6,285,755 | |
TOTAL NET ASSETS - 100.0% | $364,385,287 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $298,182,309. |
ADR | American Depositary Receipt. |
PLC | Public Limited Company. |
See accompanying Notes to Financial Statements.
48
Ultra Series Fund | June 30, 2012
Mid Cap Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 94.5% | ||
Consumer Discretionary - 22.5% | ||
Advance Auto Parts Inc. | 137,695 | $ 9,393,553 |
Bed Bath & Beyond Inc. * | 171,480 | 10,597,464 |
CarMax Inc. * | 377,037 | 9,780,340 |
Discovery Communications Inc., Class C * | 194,769 | 9,755,979 |
Liberty Global Inc., Series C * | 177,671 | 8,483,790 |
Omnicom Group Inc. | 245,780 | 11,944,908 |
Tiffany & Co. | 126,905 | 6,719,620 |
TJX Cos. Inc. | 356,471 | 15,303,300 |
81,978,954 | ||
Consumer Staples - 4.0% | ||
Brown-Forman Corp., Class B | 62,149 | 6,019,131 |
McCormick & Co. Inc. | 138,717 | 8,413,186 |
14,432,317 | ||
Energy - 7.6% | ||
Ensco PLC, Class A | 170,293 | 7,998,662 |
EOG Resources Inc. | 65,407 | 5,893,825 |
Noble Corp. * | 186,704 | 6,073,481 |
World Fuel Services Corp. | 207,471 | 7,890,122 |
27,856,090 | ||
Financials - 24.8% | ||
Arch Capital Group Ltd. * | 241,142 | 9,570,926 |
Brookfield Asset Management Inc., Class A | 548,417 | 18,152,603 |
Brown & Brown Inc. | 305,985 | 8,344,211 |
Glacier Bancorp Inc. | 398,611 | 6,174,484 |
Leucadia National Corp. | 390,699 | 8,310,168 |
M&T Bank Corp. | 106,982 | 8,833,504 |
Markel Corp. * | 38,107 | 16,831,862 |
WR Berkley Corp. | 364,133 | 14,172,056 |
90,389,814 | ||
Health Care - 8.6% | ||
DENTSPLY International Inc. | 232,271 | 8,782,167 |
Laboratory Corp. of America Holdings * | 122,386 | 11,334,167 |
Techne Corp. | 150,270 | 11,150,034 |
31,266,368 | ||
Shares | Value (Note 2) | |
Industrials - 15.3% | ||
C.H. Robinson Worldwide Inc. | 152,025 | $ 8,898,023 |
Copart Inc. * | 481,478 | 11,406,214 |
IDEX Corp. | 264,369 | 10,305,104 |
Jacobs Engineering Group Inc. * | 196,664 | 7,445,699 |
Ritchie Bros Auctioneers Inc. | 357,883 | 7,605,014 |
Wabtec Corp. | 131,660 | 10,270,796 |
55,930,850 | ||
Information Technology - 6.6% | ||
Amphenol Corp., Class A | 116,135 | 6,378,134 |
FLIR Systems Inc. | 456,207 | 8,896,037 |
Western Union Co./The | 520,392 | 8,763,401 |
24,037,572 | ||
Materials - 5.1% | ||
Ecolab Inc. | 166,179 | 11,388,247 |
Valspar Corp. | 135,491 | 7,111,922 |
18,500,169 | ||
Total Common Stocks ( Cost $282,005,816 ) | 344,392,134 | |
INVESTMENT COMPANIES - 5.5% | ||
State Street Institutional U.S. Government Money Market Fund | 19,931,673 | 19,931,673 |
Total Investment Companies ( Cost $19,931,673 ) | 19,931,673 | |
TOTAL INVESTMENTS - 100.0% ( Cost $301,937,489** ) | 364,323,807 | |
NET OTHER ASSETS AND LIABILITIES - 0.0% | 152,864 | |
TOTAL NET ASSETS - 100.0% | $364,476,671 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $302,165,348. |
PLC | Public Limited Company. |
See accompanying Notes to Financial Statements.
49
Ultra Series Fund | June 30, 2012
Small Cap Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 97.3% | ||
Consumer Discretionary - 15.0% | ||
Arbitron Inc. | 7,040 | $ 246,400 |
Ascena Retail Group Inc. * | 9,320 | 173,538 |
Cato Corp./The, Class A | 9,840 | 299,726 |
CEC Entertainment Inc. | 4,220 | 153,481 |
Choice Hotels International Inc. | 3,620 | 144,547 |
Fred’s Inc., Class A | 11,800 | 180,422 |
Helen of Troy Ltd. * | 6,810 | 230,791 |
Matthews International Corp., Class A | 4,940 | 160,501 |
Sonic Corp. * | 1,540 | 15,431 |
Stage Stores Inc. | 16,210 | 296,967 |
1,901,804 | ||
Consumer Staples - 2.2% | ||
Casey’s General Stores Inc. | 3,680 | 217,083 |
Post Holdings Inc. * | 2,100 | 64,575 |
281,658 | ||
Energy - 4.1% | ||
Bristow Group Inc. | 2,400 | 97,608 |
Georesources Inc. * | 3,800 | 139,118 |
Penn Virginia Corp. | 6,770 | 49,692 |
Scorpio Tankers Inc. * | 12,900 | 82,431 |
SEACOR Holdings Inc. * | 1,730 | 154,627 |
523,476 | ||
Financials - 20.3% | ||
AMERISAFE Inc. * | 5,370 | 139,352 |
Ares Capital Corp. | 14,063 | 224,445 |
Assured Guaranty Ltd. | 6,500 | 91,650 |
Campus Crest Communities Inc., REIT | 10,100 | 104,939 |
DiamondRock Hospitality Co., REIT | 12,529 | 127,796 |
First Busey Corp. | 21,607 | 104,362 |
First Midwest Bancorp Inc. | 16,230 | 178,205 |
First Niagara Financial Group Inc. | 12,107 | 92,619 |
Flushing Financial Corp. | 7,981 | 108,781 |
Hancock Holding Co. | 3,500 | 106,540 |
International Bancshares Corp. | 11,150 | 217,648 |
Mack-Cali Realty Corp., REIT | 3,600 | 104,652 |
MB Financial Inc. | 6,330 | 136,348 |
Northwest Bancshares Inc. | 17,180 | 201,178 |
Platinum Underwriters Holdings Ltd. | 4,360 | 166,116 |
Primerica Inc. | 7,000 | 187,110 |
Webster Financial Corp. | 11,080 | 239,993 |
Westamerica Bancorporation | 1,170 | 55,212 |
2,586,946 | ||
Health Care - 10.7% | ||
Amsurg Corp. * | 7,190 | 215,556 |
Charles River Laboratories International Inc. * | 8,300 | 271,908 |
Corvel Corp. * | 2,730 | 133,770 |
Shares | Value (Note 2) | |
Haemonetics Corp. * | 1,200 | $ 88,932 |
ICON PLC, ADR * | 13,330 | 300,325 |
ICU Medical Inc. * | 4,270 | 227,933 |
STERIS Corp. | 4,000 | 125,480 |
1,363,904 | ||
Industrials - 25.1% | ||
Aerospace & Defense - 0.5% | ||
Cubic Corp. | 1,400 | 67,312 |
Air Freight & Logistics - 0.7% | ||
Atlas Air Worldwide Holdings Inc. * | 2,000 | 87,020 |
Commercial Services & Supplies - 6.1% | ||
ACCO Brands Corp. * | 22,540 | 233,064 |
G&K Services Inc., Class A | 5,900 | 184,021 |
Standard Parking Corp. * | 5,490 | 118,145 |
United Stationers Inc. | 8,960 | 241,472 |
776,702 | ||
Construction & Engineering - 0.3% | ||
Sterling Construction Co. Inc. * | 3,390 | 34,646 |
Electrical Equipment - 3.2% | ||
Acuity Brands Inc. | 1,810 | 92,147 |
Belden Inc. | 9,430 | 314,491 |
406,638 | ||
Industrial Conglomerates - 3.6% | ||
Carlisle Cos. Inc. | 8,750 | 463,925 |
Machinery - 5.3% | ||
Albany International Corp., Class A | 10,250 | 191,777 |
ESCO Technologies Inc. | 5,790 | 210,988 |
Mueller Industries Inc. | 6,300 | 268,317 |
671,082 | ||
Marine - 2.1% | ||
Alexander & Baldwin Inc. | 1,500 | 79,875 |
Kirby Corp. * | 3,930 | 185,024 |
264,899 | ||
Road & Rail - 1.7% | ||
Genesee & Wyoming Inc., Class A * | 4,000 | 211,360 |
Trading Companies & Distributors - 1.6% | ||
GATX Corp. | 5,370 | 206,745 |
Information Technology - 8.0% | ||
Coherent Inc. * | 2,170 | 93,961 |
Diebold Inc. | 5,370 | 198,207 |
MAXIMUS Inc. | 6,180 | 319,815 |
MTS Systems Corp. | 3,730 | 143,791 |
Websense Inc. * | 6,500 | 121,745 |
Zebra Technologies Corp., Class A * | 4,000 | 137,440 |
1,014,959 |
See accompanying Notes to Financial Statements.
50
Ultra Series Fund | June 30, 2012
Small Cap Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS (continued) | ||
Materials - 7.2% | ||
Aptargroup Inc. | 3,720 | $ 189,906 |
Deltic Timber Corp. | 2,480 | 151,231 |
Greif Inc., Class A | 1,800 | 73,800 |
Innospec Inc. * | 4,600 | 136,206 |
Koppers Holdings Inc. | 3,100 | 105,400 |
Sensient Technologies Corp. | 2,800 | 102,844 |
Zep Inc. | 11,740 | 161,190 |
920,577 | ||
Utilities - 4.7% | ||
Atmos Energy Corp. | 4,250 | 149,047 |
New Jersey Resources Corp. | 1,470 | 64,107 |
UNS Energy Corp. | 4,040 | 155,176 |
Westar Energy Inc. | 4,190 | 125,491 |
WGL Holdings Inc. | 2,560 | 101,760 |
595,581 | ||
Total Common Stocks ( Cost $9,674,265 ) | 12,379,234 | |
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 2.2% | ||
State Street Institutional U.S. Government Money Market Fund | 277,075 | $ 277,075 |
Total Investment Companies ( Cost $277,075 ) | 277,075 | |
TOTAL INVESTMENTS - 99.5% ( Cost $9,951,340** ) | 12,656,309 | |
NET OTHER ASSETS AND LIABILITIES - 0.5% | 67,554 | |
TOTAL NET ASSETS - 100.0% | $ 12,723,863 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $10,062,310. |
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, 2012
International Stock Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS - 95.6% | ||
Australia - 6.3% | �� | |
James Hardie Industries SE (A) | 168,119 | $ 1,377,026 |
Orica Ltd. (A) | 45,054 | 1,146,761 |
QBE Insurance Group Ltd. (A) | 57,331 | 790,432 |
Telstra Corp. Ltd. (A) | 613,317 | 2,324,082 |
5,638,301 | ||
Belgium - 3.6% | ||
Anheuser-Busch InBev N.V. (A) | 40,604 | 3,156,666 |
Brazil - 1.8% | ||
Banco do Brasil S.A. | 76,070 | 739,680 |
Cielo S.A. | 30,235 | 889,362 |
1,629,042 | ||
Canada - 2.3% | ||
Potash Corp. of Saskatchewan Inc. | 29,400 | 1,285,041 |
Rogers Communications Inc. | 21,900 | 793,958 |
2,078,999 | ||
China - 0.7% | ||
Weichai Power Co. Ltd. (A) * | 150,000 | 599,910 |
Denmark - 1.1% | ||
AP Moeller - Maersk AS (A) | 146 | 960,807 |
Finland - 1.2% | ||
Sampo OYJ (A) | 40,662 | 1,056,994 |
France - 11.1% | ||
AXA S.A. (A) | 60,908 | 815,205 |
BNP Paribas (A) | 34,338 | 1,325,577 |
Compagnie Generale de Geophysique - Veritas (A) * | 30,475 | 787,405 |
Danone S.A. (A) | 11,596 | 719,907 |
Sanofi S.A. (A) | 34,702 | 2,631,489 |
Technip S.A. (A) | 8,784 | 916,655 |
Total S.A. (A) | 33,036 | 1,490,886 |
Valeo S.A. (A) | 28,893 | 1,197,172 |
9,884,296 | ||
Germany - 8.3% | ||
Bayer AG (A) | 24,531 | 1,768,897 |
Bayerische Motoren Werke AG (A) | 10,219 | 740,447 |
Merck KGaA (A) | 16,449 | 1,641,476 |
RWE AG (A) | 31,201 | 1,275,463 |
SAP AG (A) | 23,394 | 1,381,498 |
ThyssenKrupp AG (A) | 37,957 | 618,369 |
7,426,150 | ||
Indonesia - 0.9% | ||
Bank Mandiri Persero Tbk PT, ADR | 100,400 | 791,152 |
Shares | Value (Note 2) | |
Ireland - 0.8% | ||
Ryanair Holdings PLC, ADR * | 23,500 | $ 714,400 |
Italy - 0.9% | ||
Atlantia SpA (A) | 59,649 | 761,847 |
Japan - 13.9% | ||
Asics Corp. (A) | 73,990 | 940,079 |
Canon Inc. (A) | 30,100 | 1,205,287 |
Daito Trust Construction Co. Ltd. (A) | 17,410 | 1,651,533 |
Don Quijote Co. Ltd. (A) | 40,900 | 1,407,087 |
FANUC Corp. (A) | 4,700 | 772,197 |
JS Group Corp. (A) | 71,000 | 1,502,038 |
Komatsu Ltd. (A) | 51,100 | 1,224,763 |
Mitsubishi Corp. (A) | 45,100 | 910,731 |
Sumitomo Mitsui Financial Group Inc. (A) | 57,800 | 1,906,757 |
Yahoo! Japan Corp. (A) | 2,713 | 878,000 |
12,398,472 | ||
Mexico - 0.2% | ||
Genomma Lab Internacional S.A.B. de C.V., Class B * | 81,500 | 161,405 |
Netherlands - 1.6% | ||
ING Groep N.V. (A) * | 211,243 | 1,425,220 |
New Zealand - 0.8% | ||
Telecom Corp. of New Zealand Ltd. (A) | 379,470 | 728,705 |
Russia - 1.5% | ||
Sberbank of Russia (A) | 494,461 | 1,332,738 |
South Korea - 2.9% | ||
Duksan Hi-Metal Co. Ltd. (A) * | 19,380 | 417,551 |
Hyundai Mobis (A) | 4,554 | 1,102,411 |
Samsung Electronics Co. Ltd., GDR (A) | 1,913 | 1,026,509 |
2,546,471 | ||
Spain - 2.5% | ||
Amadeus IT Holding S.A. (A) | 61,071 | 1,293,306 |
Mediaset Espana Comunicacion S.A. (A) | 191,268 | 931,496 |
2,224,802 | ||
Sweden - 3.9% | ||
Assa Abloy AB (A) | 43,291 | 1,210,545 |
Sandvik AB (A) | 93,970 | 1,209,793 |
Swedbank AB (A) | 64,299 | 1,016,806 |
3,437,144 | ||
Switzerland - 3.5% | ||
Novartis AG (A) | 56,401 | 3,146,045 |
Turkey - 0.5% | ||
KOC Holding AS (A) | 122,972 | 469,849 |
See accompanying Notes to Financial Statements.
52
Ultra Series Fund | June 30, 2012
International Stock Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
COMMON STOCKS (continued) | ||
United Kingdom - 25.3% | ||
BG Group PLC (A) | 50,925 | $ 1,042,324 |
BHP Billiton PLC (A) | 68,208 | 1,947,778 |
British American Tobacco PLC (A) | 39,841 | 2,027,840 |
British Sky Broadcasting Group PLC (A) | 111,295 | 1,214,681 |
GlaxoSmithKline PLC (A) | 96,874 | 2,196,700 |
Informa PLC (A) | 286,154 | 1,711,059 |
Petrofac Ltd. (A) | 33,772 | 738,310 |
Prudential PLC (A) | 143,149 | 1,658,579 |
Rexam PLC (A) | 317,810 | 2,102,465 |
Royal Dutch Shell PLC (A) | 78,409 | 2,641,307 |
Standard Chartered PLC (A) | 69,726 | 1,520,086 |
Unilever PLC (A) | 81,345 | 2,733,938 |
WM Morrison Supermarkets PLC (A) | 240,022 | 1,001,734 |
22,536,801 | ||
Total Common Stocks ( Cost $78,557,728 ) | 85,106,216 | |
INVESTMENT COMPANIES - 4.1% | ||
State Street Institutional U.S. Government Money Market Fund | 3,667,581 | 3,667,581 |
Total Investment Companies ( Cost $3,667,581 ) | 3,667,581 | |
TOTAL INVESTMENTS - 99.7% ( Cost $82,225,309** ) | 88,773,797 | |
NET OTHER ASSETS AND LIABILITIES - 0.3% | 274,263 | |
TOTAL NET ASSETS - 100.0% | $ 89,048,060 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $83,123,566. |
(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). |
ADR | American Depositary Receipt. |
GDR | Global Depositary Receipt. |
PLC | Public Limited Company. |
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/12: | |
Consumer Discretionary | 10% |
Consumer Staples | 11% |
Energy | 9% |
Financials | 18% |
Health Care | 13% |
Industrials | 12% |
Information Technology | 8% |
Materials | 10% |
Money Market Funds | 4% |
Telecommunication Services | 4% |
Utilities | 1% |
Net Other Assets & Liabilities | 0% |
100.0% |
See accompanying Notes to Financial Statements.
53
Ultra Series Fund | June 30, 2012
Madison Target Retirement 2020 Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 99.6% | ||
Bond Funds – 51.9% | ||
Franklin Floating Rate Daily Access Fund Advisor Class | 240,564 | $ 2,162,671 |
Metropolitan West High Yield Bond Fund Class I | 158,568 | 1,593,612 |
Metropolitan West Total Return Bond Fund Class I | 428,534 | 4,572,455 |
PIMCO Investment Grade Corporate Bond Fund Institutional Class | 188,225 | 2,049,769 |
PIMCO Total Return Fund Institutional Class | 252,277 | 2,850,735 |
Vanguard Short-Term Bond ETF | 7,959 | 645,714 |
Vanguard Total Bond Market ETF | 127,209 | 10,733,895 |
24,608,851 | ||
Foreign Bond Funds – 2.3% | ||
TCW Emerging Markets Income Fund Class I | 128,158 | 1,116,257 |
Foreign Stock Funds - 6.3% | ||
IVA Worldwide Fund Class I | 127,794 | 1,988,475 |
Vanguard FTSE All-World ex-U.S. ETF | 24,476 | 1,003,026 |
2,991,501 | ||
Money Market Funds - 0.3% | ||
State Street Institutional U.S. Government Money Market Fund | 128,097 | 128,097 |
Shares | Value (Note 2) | |
Stock Funds - 38.8% | ||
iShares S&P 100 Index Fund ETF | 47,569 | $ 2,971,635 |
iShares S&P Global Energy Sector Index Fund ETF | 21,500 | 779,805 |
iShares S&P MidCap 400 Index Fund ETF | 19,006 | 1,789,035 |
Schwab Fundamental U.S. Large Company Index Fund | 216,356 | 2,198,180 |
SPDR S&P 500 ETF Trust | 37,804 | 5,151,551 |
Vanguard Dividend Appreciation ETF | 59,367 | 3,365,515 |
Vanguard Health Care ETF | 15,323 | 1,055,602 |
Vanguard Information Technology ETF | 15,597 | 1,071,982 |
18,383,305 | ||
TOTAL INVESTMENTS - 99.6% ( Cost $45,790,828** ) | 47,228,011 | |
NET OTHER ASSETS AND LIABILITIES - 0.4% | 210,540 | |
TOTAL NET ASSETS - 100.0% | $ 47,438,551 |
** | Aggregate cost for Federal tax purposes was $46,286,738. |
ETF | Exchange Traded Fund. |
See accompanying Notes to Financial Statements.
54
Ultra Series Fund | June 30, 2012
Madison Target Retirement 2030 Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 99.6% | ||
Bond Funds - 36.4% | ||
Franklin Floating Rate Daily Access Fund Advisor Class | 193,275 | $ 1,737,544 |
Metropolitan West High Yield Bond Fund Class I | 168,733 | 1,695,765 |
Metropolitan West Total Return Bond Fund Class I | 463,970 | 4,950,560 |
PIMCO Investment Grade Corporate Bond Fund Institutional Class | 172,495 | 1,878,474 |
PIMCO Total Return Fund Institutional Class | 283,744 | 3,206,304 |
Vanguard Short-Term Bond ETF | 6,719 | 545,112 |
Vanguard Total Bond Market ETF | 78,232 | 6,601,216 |
20,614,975 | ||
Foreign Bond Funds - 2.1% | ||
TCW Emerging Markets Income Fund Class I | 139,330 | 1,213,567 |
Foreign Stock Funds - 8.0% | ||
IVA Worldwide Fund Class I | 162,419 | 2,527,236 |
Vanguard FTSE All-World ex-U.S. ETF | 48,181 | 1,974,457 |
4,501,693 | ||
Shares | Value (Note 2) | |
Money Market Funds - 0.3% | ||
State Street Institutional U.S. Government Money Market Fund | 194,977 | $ 194,977 |
Stock Funds - 52.8% | ||
iShares S&P 100 Index Fund ETF | 70,793 | 4,422,438 |
iShares S&P Global Energy Sector Index Fund ETF | 34,389 | 1,247,289 |
iShares S&P MidCap 400 Index Fund ETF | 27,638 | 2,601,565 |
Schwab Fundamental U.S. Large Company Index Fund | 400,715 | 4,071,264 |
SPDR S&P 500 ETF Trust | 67,829 | 9,243,058 |
Vanguard Dividend Appreciation ETF | 93,104 | 5,278,066 |
Vanguard Health Care ETF | 19,800 | 1,364,022 |
Vanguard Information Technology ETF | 24,311 | 1,670,895 |
29,898,597 | ||
TOTAL INVESTMENTS - 99.6% ( Cost $54,727,584** ) | 56,423,809 | |
NET OTHER ASSETS AND LIABILITIES - 0.4% | 208,706 | |
TOTAL NET ASSETS - 100.0% | $ 56,632,515 |
** | Aggregate cost for Federal tax purposes was $55,332,977. |
ETF | Exchange Traded Fund. |
See accompanying Notes to Financial Statements.
55
Ultra Series Fund | June 30, 2012
Madison Target Retirement 2040 Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 100.6% | ||
Bond Funds - 26.7% | ||
Franklin Floating Rate Daily Access Fund Advisor Class | 45,315 | $ 407,382 |
Metropolitan West High Yield Bond Fund Class I | 115,196 | 1,157,722 |
Metropolitan West Total Return Bond Fund Class I | 227,918 | 2,431,883 |
PIMCO Investment Grade Corporate Bond Fund Institutional Class | 93,598 | 1,019,283 |
PIMCO Total Return Fund Institutional Class | 199,584 | 2,255,296 |
Vanguard Short-Term Bond ETF | 2,534 | 205,583 |
Vanguard Total Bond Market ETF | 42,434 | 3,580,581 |
11,057,730 | ||
Foreign Bond Funds - 1.2% | ||
TCW Emerging Markets Income Fund Class I | 55,917 | 487,039 |
Foreign Stock Funds - 9.2% | ||
IVA Worldwide Fund Class I | 129,587 | 2,016,367 |
Vanguard FTSE All-World ex-U.S. ETF | 43,300 | 1,774,434 |
3,790,801 | ||
Shares | Value (Note 2) | |
Money Market Funds - 1.0% | ||
State Street Institutional U.S. Government Money Market Fund | 418,186 | $ 418,186 |
Stock Funds - 62.5% | ||
iShares S&P 100 Index Fund ETF | 66,575 | 4,158,940 |
iShares S&P Global Energy Sector Index Fund ETF | 29,729 | 1,078,271 |
iShares S&P MidCap 400 Index Fund ETF | 26,220 | 2,468,089 |
Schwab Fundamental U.S. Large Company Index Fund | 352,036 | 3,576,689 |
SPDR S&P 500 ETF Trust | 58,228 | 7,934,730 |
Vanguard Dividend Appreciation ETF | 76,566 | 4,340,526 |
Vanguard Health Care ETF | 15,015 | 1,034,383 |
Vanguard Information Technology ETF | 18,035 | 1,239,545 |
25,831,173 | ||
TOTAL INVESTMENTS - 100.6% ( Cost $40,359,508** ) | 41,584,929 | |
NET OTHER ASSETS AND LIABILITIES - (0.6%) | (246,389) | |
TOTAL NET ASSETS - 100.0% | $ 41,338,540 |
** | Aggregate cost for Federal tax purposes was $40,843,894. |
ETF | Exchange Traded Fund. |
See accompanying Notes to Financial Statements.
56
Ultra Series Fund | June 30, 2012
Madison Target Retirement 2050 Fund Portfolio of Investments (unaudited)
Shares | Value (Note 2) | |
INVESTMENT COMPANIES - 100.0% | ||
Bond Funds - 16.4% | ||
Metropolitan West High Yield Bond Fund Class I | 10,525 | $ 105,776 |
Metropolitan West Total Return Bond Fund Class I | 24,989 | 266,635 |
PIMCO Investment Grade Corporate Bond Fund Institutional Class | 5,693 | 61,993 |
Vanguard Total Bond Market ETF | 3,123 | 263,519 |
697,923 | ||
Foreign Bond Funds - 0.9% | ||
TCW Emerging Markets Income Fund Class I | 4,726 | 41,167 |
Foreign Stock Funds - 10.4% | ||
IVA Worldwide Fund Class I | 15,187 | 236,315 |
Vanguard FTSE All-World ex-U.S. ETF | 5,003 | 205,023 |
441,338 | ||
Money Market Funds - 0.8% | ||
State Street Institutional U.S. Government Money Market Fund | 34,673 | 34,673 |
Shares | Value (Note 2) | |
Stock Funds - 71.5% | ||
iShares S&P 100 Index Fund ETF | 8,487 | $ 530,183 |
iShares S&P Global Energy Sector Index Fund ETF | 3,749 | 135,976 |
iShares S&P MidCap 400 Index Fund ETF | 3,264 | 307,240 |
iShares S&P SmallCap 600 Index Fund ETF | 288 | 21,102 |
Schwab Fundamental U.S. Large Company Index Fund | 42,355 | 430,330 |
SPDR S&P 500 ETF Trust | 6,458 | 880,032 |
Vanguard Dividend Appreciation ETF | 7,834 | 444,110 |
Vanguard Health Care ETF | 1,833 | 126,275 |
Vanguard Information Technology ETF | 2,407 | 165,433 |
3,040,681 | ||
TOTAL INVESTMENTS - 100.0% ( Cost $4,139,914** ) | 4,255,782 | |
NET OTHER ASSETS AND LIABILITIES - 0.0% | (1,870) | |
TOTAL NET ASSETS - 100.0% | $ 4,253,912 |
** | Aggregate cost for Federal tax purposes was $4,198,345. |
ETF | Exchange Traded Fund. |
See accompanying Notes to Financial Statements.
57
Ultra Series Fund | June 30, 2012
Statements of Assets and Liabilities as of June 30, 2012 (unaudited)
Conservative Allocation Fund | Moderate Allocation Fund | Aggressive Allocation Fund | Money Market Fund | |
Assets: | ||||
Investments in securities, at cost | ||||
Unaffiliated issuers | $101,462,390 | $156,800,547 | $ 57,198,032 | $ 53,634,220 |
Affiliated issuers1 | 119,432,699 | 200,818,014 | 68,949,214 | – |
Repurchase Agreement | – | – | – | – |
Net unrealized appreciation (depreciation) | ||||
Unaffiliated issuers | 251,032 | 1,953,579 | 901,326 | – |
Affiliated issuers1 | 13,274,153 | 29,711,791 | 13,195,259 | – |
Total investments at value | 234,420,274 | 389,283,931 | 140,243,831 | 53,634,220 |
Receivables: | ||||
Investments sold | 251,129 | 1,580,796 | 867,650 | – |
Fund shares sold | 92,495 | 162,922 | 97,105 | 12,472 |
Dividends and interest | 782,902 | 1,129,841 | 286,826 | 176,060 |
Due from Adviser | – | – | – | 15,324 |
Other assets | – | – | – | – |
Total assets | 235,546,800 | 392,157,490 | 141,495,412 | 53,838,076 |
Liabilities: | ||||
Bank overdrafts | – | – | – | – |
Payables: | ||||
Investments purchased | 415,913 | 940,606 | 1,011,715 | – |
Fund shares redeemed | 668,004 | 395,799 | 31,715 | 44,174 |
Audit fees | 10,358 | 17,486 | 6,174 | 2,773 |
Management fees | 57,011 | 94,520 | 33,687 | 20,201 |
Distribution fees – Class II | 8,713 | 7,249 | 377 | 62 |
Options written, at value (premium received $35,169) | – | – | – | – |
Total liabilities | 1,159,999 | 1,455,660 | 1,083,668 | 67,210 |
Net assets applicable to outstanding capital stock | $234,386,801 | $390,701,830 | $140,411,744 | $ 53,770,866 |
Net assets consist of: | ||||
Paid-in capital | $225,704,493 | $405,586,656 | $144,452,244 | $ 53,770,866 |
Accumulated undistributed net investment income (loss) | 3,124,256 | 3,803,531 | 689,558 | – |
Accumulated net realized gain (loss) on investments sold, options and foreign currency related transactions | (7,967,133) | (50,353,727) | (18,826,643) | – |
Net unrealized appreciation (depreciation) of investments (including appreciation (depreciation) of options and foreign currency related transactions) | 13,525,185 | 31,665,370 | 14,096,585 | – |
Net Assets | $234,386,801 | $390,701,830 | $140,411,744 | $ 53,770,866 |
Class I Shares: | ||||
Net Assets | $191,449,770 | $355,214,114 | $138,522,236 | $ 53,461,171 |
Shares of beneficial interest outstanding | 18,483,964 | 35,993,466 | 14,767,584 | 53,461,171 |
Net Asset Value and redemption price per share | $10.36 | $9.87 | $9.38 | $1.00 |
Class II Shares: | ||||
Net Assets | $ 42,937,031 | $ 35,487,716 | $ 1,889,508 | $ 309,695 |
Shares of beneficial interest outstanding | 4,154,036 | 3,605,032 | 202,072 | 309,695 |
Net Asset Value and redemption price per share | $10.34 | $9.84 | $9.35 | $1.00 |
1 | See Note 11 for information on affiliated issuers. |
See accompanying Notes to Financial Statements.
58
Ultra Series Fund | June 30, 2012
Statements of Assets and Liabilities as of June 30, 2012 (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 |
$363,656,847 | $ 90,338,884 | $350,043,304 | $ 2,689,464 | $445,840,718 | $296,491,674 | $301,937,489 | $ 9,951,340 |
– | – | – | – | – | – | – | – |
– | – | – | 113,060 | – | – | – | – |
33,975,255 | 3,893,909 | 51,278,717 | (314,455) | 69,994,731 | 61,607,858 | 62,386,318 | 2,704,969 |
– | – | – | – | – | – | – | – |
397,632,102 | 94,232,793 | 401,322,021 | 2,488,069 | 515,835,449 | 358,099,532 | 364,323,807 | 12,656,309 |
8,825,497 | 82,929 | – | – | – | 8,318,870 | 9,089,896 | 67,189 |
113,232 | 30,138 | 159,017 | – | 63,116 | 84,947 | 79,090 | – |
3,702,000 | 1,576,197 | 1,919,506 | 2,548 | 686,261 | 252,133 | 390,392 | 13,213 |
– | – | – | – | – | – | – | – |
– | – | – | – | – | 1,391 | – | – |
410,272,831 | 95,922,057 | 403,400,544 | 2,490,617 | 516,584,826 | 366,756,873 | 373,883,185 | 12,736,711 |
– | 43 | – | – | – | – | – | – |
– | 1,000,000 | – | – | – | 1,705,623 | 8,990,437 | – |
149,383 | 24,993 | 750,627 | 35,652 | 362,365 | 409,461 | 133,736 | 907 |
18,860 | 4,027 | 17,922 | 125 | 22,334 | 16,602 | 16,790 | 581 |
189,260 | 57,443 | 228,332 | 1,885 | 246,401 | 234,172 | 262,831 | 11,077 |
10,011 | 1,289 | 6,685 | 423 | 1,162 | 5,728 | 2,720 | 283 |
– | – | – | 44,276 | – | – | – | – |
367,514 | 1,087,795 | 1,003,566 | 82,361 | 632,262 | 2,371,586 | 9,406,514 | 12,848 |
$409,905,317 | $ 94,834,262 | $402,396,978 | $ 2,408,256 | $515,952,564 | $364,385,287 | $ 364,476,671 | $ 12,723,863 |
381,988,886 | 99,329,871 | 374,870,291 | 2,524,537 | 519,157,119 | 319,353,471 | 370,435,364 | 11,345,894 |
6,762,211 | 2,821,651 | 5,613,480 | (1,282) | 5,483,540 | 863,743 | 288,068 | 59,309 |
(12,821,035) | (11,211,169) | (29,365,510) | 208,563 | (78,682,978) | (17,439,785) | (68,633,079) | (1,386,309) |
33,975,255 | 3,893,909 | 51,278,717 | (323,562) | 69,994,883 | 61,607,858 | 62,386,318 | 2,704,969 |
$409,905,317 | $ 94,834,262 | $402,396,978 | $ 2,408,256 | $515,952,564 | $364,385,287 | $364,476,671 | $ 12,723,863 |
$361,380,642 | $ 88,429,055 | $369,086,603 | $ 504,004 | $510,090,395 | $335,706,410 | $350,886,220 | $ 11,291,855 |
33,601,427 | 9,171,135 | 20,276,664 | 51,852 | 19,223,471 | 14,406,890 | 22,076,275 | 980,431 |
$10.75 | $9.64 | $18.20 | $9.72 | $26.53 | $23.30 | $15.89 | $11.52 |
$ 48,524,675 | $ 6,405,207 | $ 33,310,375 | $ 1,904,252 | $ 5,862,169 | $ 28,678,877 | $ 13,590,451 | $ 1,432,008 |
4,517,302 | 663,915 | 1,833,136 | 197,012 | 221,530 | 1,234,696 | 857,401 | 124,747 |
$10.74 | $9.65 | $18.17 | $9.67 | $26.46 | $23.23 | $15.85 | $11.48 |
See accompanying Notes to Financial Statements.
59
Ultra Series Fund | June 30, 2012
Statements of Assets and Liabilities as of June 30, 2012 (unaudited)
International Stock Fund | 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 | $ 82,225,309 | $ 45,790,828 | $ 54,727,584 | $ 40,359,508 | $ 4,139,914 |
Net unrealized appreciation | |||||
Unaffiliated issuers | 6,548,488 | 1,437,183 | 1,696,225 | 1,225,421 | 115,868 |
Total investments at value | 88,773,797 | 47,228,011 | 56,423,809 | 41,584,929 | 4,255,782 |
Foreign currency (cost of $58,664)2 | 58,606 | – | – | – | – |
Receivables: | |||||
Investments sold | – | 369,012 | 482,497 | 286,098 | 58,809 |
Fund shares sold | 57,181 | 32,671 | 56,154 | 31,235 | 12,299 |
Dividends and interest | 206,005 | 81,110 | 102,884 | 69,772 | 6,306 |
Other assets | 217,391 | – | – | – | – |
Total assets | 89,312,980 | 47,710,804 | 57,065,344 | 41,972,034 | 4,333,196 |
Liabilities: | |||||
Payables: | |||||
Investments purchased | 161,405 | 260,861 | 399,060 | 499,177 | 72,293 |
Fund shares repurchased | 12,952 | 6 | 20,319 | 124,506 | 5,998 |
Management fees | 83,346 | 9,488 | 11,208 | 8,176 | 828 |
Service agreement fees | – | 1,898 | 2,242 | 1,635 | 165 |
Distribution fees - Class II | 3,189 | – | – | – | – |
Audit fees | 4,028 | – | – | – | – |
Total liabilities | 264,920 | 272,253 | 432,829 | 633,494 | 79,284 |
Net assets applicable to outstanding capital stock | $ 89,048,060 | $ 47,438,551 | $ 56,632,515 | $ 41,338,540 | $ 4,253,912 |
Net assets consist of: | |||||
Paid-in capital | $116,760,793 | $ 46,332,860 | $ 55,373,648 | $ 40,361,357 | $ 4,183,005 |
Accumulated undistributed net investment income | 1,390,873 | 497,624 | 513,593 | 328,182 | 24,848 |
Accumulated net realized gain (loss) on investments sold and foreign currency related transactions | (35,659,035) | (829,116) | (950,951) | (576,420) | (69,809) |
Net unrealized appreciation (depreciation) of investments (including appreciation (depreciation) of foreign currency related transactions) | 6,555,429 | 1,437,183 | 1,696,225 | 1,225,421 | 115,868 |
Net Assets | $ 89,048,060 | $ 47,438,551 | $ 56,632,515 | $ 41,338,540 | $ 4,253,912 |
Class I Shares: | |||||
Net Assets | $ 72,605,029 | $ 47,438,551 | $ 56,632,515 | $ 41,338,540 | $ 4,253,912 |
Shares of beneficial interest outstanding | 7,595,866 | 5,833,169 | 7,243,187 | 5,586,853 | 414,933 |
Net Asset Value and redemption price per share | $9.56 | $8.13 | $7.82 | $7.40 | $10.25 |
Class II Shares:1 | |||||
Net Assets | $ 16,443,031 | ||||
Shares of beneficial interest outstanding | 1,723,489 | ||||
Net Asset Value and redemption price per share | $9.54 |
1 | Class II shares are not available for the Madison Target Retirement Funds. |
2 | See Note 2. |
See accompanying Notes to Financial Statements.
60
Ultra Series Fund | June 30, 2012
Statements of Operations for the Period Ended June 30, 2012 (unaudited)
Conservative Allocation Fund | Moderate Allocation Fund | Aggressive Allocation Fund | Money Market Fund | |
Investment Income: | ||||
Interest | $ 122 | $ 159 | $ 93 | $ 22,383 |
Dividends | ||||
Unaffiliated issuers | 1,731,528 | 2,289,191 | 447,804 | – |
Affiliated issuers1 | 1,808,680 | 2,173,836 | 462,386 | – |
Less: Foreign taxes withheld | – | – | – | – |
Total investment income | 3,540,330 | 4,463,186 | 910,283 | 22,383 |
Expenses:3 | ||||
Management fees | 346,352 | 586,822 | 208,775 | 130,493 |
Trustees’ fees | 5,765 | 9,746 | 3,445 | 1,534 |
Distribution fees – Class II | 53,599 | 45,601 | 2,331 | 547 |
Other expenses | – | – | – | 11 |
Audit fees | 10,358 | 17,486 | 6,174 | 2,773 |
Total expenses before reimbursement/waiver | 416,074 | 659,655 | 220,725 | 135,358 |
Less reimbursement/waiver2 | – | – | – | (112,975) |
Total expenses net of reimbursement/waiver | 416,074 | 659,655 | 220,725 | 22,383 |
Net Investment Income (Loss) | 3,124,256 | 3,803,531 | 689,558 | – |
Net Realized and Unrealized Gain (Loss) on Investments | ||||
Net realized gain (loss) on investments (including net realized gain (loss) on options and foreign currency related transactions) | ||||
Options | – | – | – | – |
Unaffiliated issuers | (905,611) | 822,218 | (585,663) | – |
Affiliated issuers1 | 1,190,120 | 1,381,119 | 1,366,751 | – |
Capital gain distributions received from underlying funds | ||||
Unaffiliated issuers | – | 116,277 | 56,158 | – |
Affiliated issuers1 | 3 | 3 | – | – |
Net change in unrealized appreciation (depreciation)on investments (including net unrealized appreciation (depreciation) on options and foreign currency related transactions) | ||||
Options | – | – | – | – |
Unaffiliated issuers | 3,875,238 | 4,440,507 | 1,913,085 | – |
Affiliated issuers1 | 1,679,873 | 7,424,544 | 2,791,468 | – |
Net Realized and Unrealized Gain on Investments and Options Transactions | 5,839,623 | 14,184,668 | 5,541,799 | – |
Net Increase in Net Assets from Operations | $ 8,963,879 | $ 17,988,199 | $ 6,231,357 | $ – |
1 | See Note 11 for information on affiliated issuers. |
2 | Waiver includes management fees of $112,428 and distribution fees of $547 for the Money Market Fund. |
3 | See Note 3. |
See accompanying Notes to Financial Statements.
61
Ultra Series Fund | June 30, 2012
Statements of Operations for the Period Ended June 30, 2012 (unaudited)
Bond Fund | High Income Fund | Diversified Income Fund | Equity Income Fund | |
Investment Income: | ||||
Interest | $ 8,060,766 | $ 3,372,857 | $ 3,462,024 | $ 22 |
Dividends | ||||
Unaffiliated issuers | – | 17,438 | 3,656,758 | 15,183 |
Less: Foreign taxes withheld | – | – | (33,689) | – |
Total investment income | 8,060,766 | 3,390,295 | 7,085,093 | 15,205 |
Expenses:1 | ||||
Management fees | 1,170,727 | 351,400 | 1,404,422 | 13,245 |
Service agreement fees | – | – | – | – |
Trustees’ fees | 10,532 | 2,258 | 9,989 | 71 |
Distribution fees – Class II | 61,376 | 7,867 | 39,278 | 3,046 |
Other expenses | 6 | 37 | 2 | – |
Audit fees | 18,860 | 4,028 | 17,922 | 125 |
Total expenses | 1,261,501 | 365,590 | 1,471,613 | 16,487 |
Net Investment Income (Loss) | 6,799,265 | 3,024,705 | 5,613,480 | (1,282) |
Net Realized and Unrealized Gain (Loss) on Investments | ||||
Net realized gain (loss) on investments (including net realized gain (loss) on foreign currency related transactions)2 | ||||
Options | – | – | – | 136,569 |
Unaffiliated issuers | 57,400 | 256,817 | 3,242,270 | 71,994 |
Net change in unrealized appreciation (depreciation)on investments (including net unrealized appreciation (depreciation) on options and foreign currency related transactions) | ||||
Options | – | – | – | (59,525) |
Unaffiliated issuers | 649,836 | 1,650,509 | 9,789,583 | (37,614) |
Net Realized and Unrealized Gain (Loss) on Investments and Options Transactions | 707,236 | 1,907,326 | 13,031,853 | 111,424 |
Net Increase in Net Assets from Operations | $ 7,506,501 | $ 4,932,031 | $ 18,645,333 | $ 110,142 |
1 | See Note 3. |
2 | Includes foreign capital gains taxes paid of $16,595 for the International Stock Fund. |
See accompanying Notes to Financial Statements.
62
Ultra Series Fund | June 30, 2012
Statements of Operations for the Period Ended June 30, 2012 (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 |
$ 939 | $ 789 | $ 1,184 | $ 16 | $ – | $ 26 | $ 30 | $ 23 | $ 4 |
7,127,566 | 2,450,596 | 2,046,709 | 133,532 | 2,177,427 | 563,155 | 590,290 | 385,577 | 29,648 |
(80,825) | (27,125) | (35,460) | – | (200,900) | – | – | – | – |
7,047,680 | 2,424,260 | 2,012,433 | 133,548 | 1,976,527 | 563,181 | 590,320 | 385,600 | 29,652 |
1,522,052 | 1,496,184 | 1,680,883 | 71,470 | 547,421 | 54,526 | 63,856 | 47,725 | 4,002 |
– | – | – | – | – | 10,905 | 12,771 | 9,545 | 800 |
12,478 | 9,281 | 9,365 | 325 | 2,257 | – | – | – | – |
7,276 | 36,403 | 17,327 | 1,804 | 20,340 | – | – | – | – |
– | 2,075 | – | 59 | 3 | 126 | 100 | 148 | 2 |
22,334 | 16,602 | 16,790 | 581 | 4,028 | – | – | – | – |
1,564,140 | 1,560,545 | 1,724,365 | 74,239 | 574,049 | 65,557 | 76,727 | 57,418 | 4,804 |
5,483,540 | 863,715 | 288,068 | 59,309 | 1,402,478 | 497,624 | 513,593 | 328,182 | 24,848 |
– | – | – | – | – | – | – | – | – |
16,991,117 | 1,387,197 | 5,631,724 | 229,679 | 2,120,627 | (554,606) | (633,899) | (419,597) | (35,846) |
– | – | – | – | – | – | – | – | – |
12,370,552 | 21,946,076 | 22,443,638 | 534,576 | 1,823,839 | 1,817,557 | 2,311,982 | 1,823,223 | 132,690 |
29,361,669 | 23,333,273 | 28,075,362 | 764,255 | 3,944,466 | 1,262,951 | 1,678,083 | 1,403,626 | 96,844 |
$ 34,845,209 | $ 24,196,988 | $ 28,363,430 | $ 823,564 | $ 5,346,944 | $ 1,760,575 | $ 2,191,676 | $ 1,731,808 | $ 121,692 |
See accompanying Notes to Financial Statements.
63
Ultra Series Fund | June 30, 2012
Statements of Changes in Net Assets
Conservative Allocation Fund | Moderate Allocation Fund | |||
(unaudited) Six Months Ended 6/30/12 | Year Ended 12/31/11 | (unaudited) Six Months Ended 6/30/12 | Year Ended 12/31/11 | |
Net Assets at beginning of period | $227,634,129 | $231,082,035 | $382,606,027 | $384,260,026 |
Increase (decrease) in net assets from operations: | ||||
Net investment income | 3,124,256 | 6,421,140 | 3,803,531 | 7,973,809 |
Net realized gain (loss) on investments and options transactions | 284,512 | 1,603,964 | 2,319,617 | 4,470,788 |
Net change in unrealized appreciation (depreciation) on investments and ptions transactions | 5,555,111 | (1,101,366) | 11,865,051 | (4,681,805) |
Net increase in net assets from operations | 8,963,879 | 6,923,738 | 17,988,199 | 7,762,792 |
Distributions to shareholders from: | ||||
Net investment income | ||||
Class I | – | (6,348,062) | – | (9,241,042) |
Class II | – | (1,388,479) | – | (885,425) |
Return of Capital | ||||
Class I | – | (127,373) | – | – |
Class II | – | (28,768) | – | – |
Total distributions | – | (7,892,682) | – | (10,126,467) |
Capital Stock transactions: | ||||
Class I Shares | ||||
Shares sold | 20,921,339 | 20,354,867 | 27,296,952 | 23,367,824 |
Issued to shareholders in reinvestment of distributions | – | 6,475,435 | – | 9,241,042 |
Shares redeemed | (21,229,070) | (37,440,903) | (35,201,684) | (36,466,538) |
Net increase (decrease) in net assets from capital stock transactions | (307,731) | (10,610,601) | (7,904,732) | (3,857,672) |
Class II Shares | ||||
Shares sold | 1,227,171 | 9,767,995 | 1,031,472 | 6,691,106 |
Issued to shareholders in reinvestment of distributions | – | 1,417,247 | – | 885,425 |
Shares redeemed | (3,130,647) | (3,053,604) | (3,019,136) | (3,009,183) |
Net increase (decrease) in net assets from capital stock transactions | (1,903,476) | 8,131,638 | (1,987,664) | 4,567,348 |
Total net increase (decrease) from capital stock transactions | (2,211,207) | (2,478,963) | (9,892,396) | 709,676 |
Total increase (decrease) in net assets | 6,752,672 | (3,447,906) | 8,095,803 | (1,653,999) |
Net Assets at end of period | $234,386,801 | $227,634,129 | $390,701,830 | $382,606,027 |
Undistributed net investment income (loss) included in net assets | $ 3,124,256 | $ – | $ 3,803,531 | $ – |
Capital Share transactions: | ||||
Class I Shares | ||||
Shares sold | 2,033,763 | 1,989,887 | 2,782,862 | 2,426,221 |
Issued to shareholders in reinvestment of distributions | – | 649,610 | – | 980,151 |
Shares redeemed | (2,066,447) | (3,674,546) | (3,589,886) | (3,768,817) |
Net increase (decrease) from capital shares transactions | (32,684) | (1,035,049) | (807,024) | (362,445) |
Class II Shares | ||||
Shares sold | 119,696 | 955,023 | 105,653 | 685,655 |
Issued to shareholders in reinvestment of distributions | – | 142,423 | – | 94,103 |
Shares redeemed | (306,731) | (298,720) | (312,872) | (313,358) |
Net increase (decrease) from capital shares transactions | (187,035) | 798,726 | (207,219) | 466,400 |
See accompanying Notes to Financial Statements.
64
Ultra Series Fund | June 30, 2012
Statements of Changes in Net Assets
Aggressive Allocation Fund | Money Market Fund | Bond Fund | High Income Fund | ||||
(unaudited) Six Months Ended 6/30/12 | Year Ended 12/31/11 | (unaudited) Six Months Ended 6/30/12 | Year Ended 12/31/11 | (unaudited) Six Months Ended 6/30/12 | Year Ended 12/31/11 | (unaudited) Six Months Ended 6/30/12 | Year Ended 12/31/11 |
$134,360,528 | $127,694,004 | $ 62,660,366 | $ 70,211,054 | $425,099,202 | $465,248,826 | $ 92,675,282 | $ 99,838,101 |
689,558 | 1,663,434 | – | – | 6,799,265 | 15,963,320 | 3,024,705 | 6,540,601 |
837,246 | 3,126,456 | – | – | 57,400 | 1,004,732 | 256,817 | 1,733,903 |
4,704,553 | (4,143,997) | – | – | 649,836 | 11,605,808 | 1,650,509 | (3,502,188) |
6,231,357 | 645,893 | – | – | 7,506,501 | 28,573,860 | 4,932,031 | 4,772,316 |
– | (2,322,867) | – | – | (307,230) | (14,079,587) | (306,286) | (6,211,217) |
– | (28,384) | – | – | – | (1,752,712) | (15,000) | (428,405) |
– | – | – | – | – | – | – | – |
– | – | – | – | – | – | – | – |
– | (2,351,251) | – | – | (307,230) | (15,832,299) | (321,286) | (6,639,622) |
16,732,441 | 16,814,313 | 6,348,967 | 26,296,004 | 49,243,467 | 32,933,180 | 3,208,974 | 3,676,230 |
– | 2,322,867 | – | – | 307,230 | 14,079,587 | 306,286 | 6,211,217 |
(16,935,343) | (11,163,455) | (14,569,549) | (34,247,892) | (69,870,185) | (112,759,403) | (5,850,633) | (17,304,019) |
(202,902) | 7,973,725 | (8,220,582) | (7,951,888) | (20,319,488) | (65,746,636) | (2,335,373) | (7,416,572) |
41,598 | 467,480 | 42,820 | 2,272,356 | 985,483 | 12,844,910 | 131,033 | 1,915,219 |
– | 28,384 | – | – | – | 1,752,712 | 15,000 | 428,405 |
(18,837) | (97,707) | (711,738) | (1,871,156) | (3,059,151) | (1,742,169) | (262,425) | (222,564) |
22,761 | 398,157 | (668,918) | 401,200 | (2,073,668) | 12,855,453 | (116,392) | 2,121,060 |
(180,141) | 8,371,882 | (8,889,500) | (7,550,688) | (22,393,156) | (52,891,183) | (2,451,765) | (5,295,512) |
6,051,216 | 6,666,524 | (8,889,500) | (7,550,688) | (15,193,885) | (40,149,624) | 2,158,980 | (7,162,819) |
$140,411,744 | $134,360,528 | $ 53,770,866 | $ 62,660,366 | $409,905,317 | $425,099,202 | $ 94,834,262 | $ 92,675,282 |
$ 689,558 | $ – | $ – | $ – | $ 6,762,211 | $ 270,176 | $ 2,821,651 | $ 118,232 |
1,784,169 | 1,829,853 | 6,348,967 | 26,296,004 | 4,639,398 | 3,144,908 | 337,437 | 380,515 |
– | 259,040 | – | – | 28,529 | 1,333,622 | 32,274 | 675,860 |
(1,809,351) | (1,205,025) | (14,569,549) | (34,247,892) | (6,568,361) | (10,714,251) | (616,056) | (1,786,259) |
(25,182) | 883,868 | (8,220,582) | (7,951,888) | (1,900,434) | (6,235,721) | (246,345) | (729,884) |
4,434 | 49,960 | 42,820 | 2,272,356 | 92,594 | 1,232,926 | 13,749 | 197,713 |
– | 3,173 | – | – | – | 166,154 | 1,580 | 46,641 |
(2,018) | (10,546) | (711,738) | (1,871,156) | (287,104) | (163,213) | (27,665) | (23,060) |
2,416 | 42,587 | (668,918) | 401,200 | (194,510) | 1,235,867 | (12,336) | 221,294 |
See accompanying Notes to Financial Statements.
65
Ultra Series Fund | June 30, 2012
Statements of Changes in Net Assets
Diversified Income Fund | Equity Income Fund | |||
(unaudited) Six Months Ended 6/30/12 | Year Ended 12/31/11 | (unaudited) Six Months Ended 6/30/12 | Year Ended 12/31/11 | |
Net Assets at beginning of period | $403,211,434 | $407,017,583 | $ 2,943,618 | $ 2,221,337 |
Increase in net assets from operations: | ||||
Net investment income (loss) | 5,613,480 | 11,868,731 | (1,282) | (2,342) |
Net realized gain (loss) on investments and options transactions | 3,242,270 | 16,259,876 | 208,563 | 319,283 |
Net change in unrealized appreciation (depreciation) on investments and options transactions | 9,789,583 | 2,343,286 | (97,139) | (298,174) |
Net increase (decrease) in net assets from operations | 18,645,333 | 30,471,893 | 110,142 | 18,767 |
Distributions to shareholders from: | ||||
Net investment income | ||||
Class I | (207,484) | (11,046,222) | – | – |
Class II | – | (837,747) | – | – |
Net realized gains | ||||
Class I | – | – | (4,565) | (49,697) |
Class II | – | – | (17,963) | (253,856) |
Total distributions | (207,484) | (11,883,969) | (22,528) | (303,553) |
Capital Stock transactions: | ||||
Class I Shares | ||||
Shares sold | 16,111,206 | 8,647,928 | – | – |
Issued to shareholders in reinvestment of distributions | 207,484 | 11,046,222 | 4,565 | 49,697 |
Shares redeemed | (37,077,904) | (48,976,196) | – | – |
Net increase (decrease) in net assets from capital stock transactions | (20,759,214) | (29,282,046) | 4,565 | 49,697 |
Class II Shares | ||||
Shares sold | 2,739,750 | 8,977,582 | 50,048 | 884,099 |
Issued to shareholders in reinvestment of distributions | – | 837,747 | 17,963 | 253,857 |
Shares redeemed | (1,232,841) | (2,927,356) | (695,552) | (180,586) |
Net increase (decrease) in net assets from capital stock transactions | 1,506,909 | 6,887,973 | (627,541) | 957,370 |
Total net increase (decrease) from capital stock transactions | (19,252,305) | (22,394,073) | (622,976) | 1,007,067 |
Total increase (decrease) in net assets | (814,456) | (3,806,149) | (535,362) | 722,281 |
Net Assets at end of period | $402,396,978 | $403,211,434 | $ 2,408,256 | $ 2,943,618 |
Undistributed net investment income (loss) included in net assets | $ 5,613,480 | $ 207,484 | $ (1,282) | $ – |
Capital Share transactions: | ||||
Class I Shares | ||||
Shares sold | 896,983 | 502,323 | – | – |
Issued to shareholders in reinvestment of distributions | 11,502 | 634,293 | 482 | 5,265 |
Shares redeemed | (2,072,746) | (2,847,528) | – | – |
Net increase (decrease) from capital shares transactions | (1,164,261) | (1,710,912) | 482 | 5,265 |
Class II Shares | ||||
Shares sold | 154,644 | 526,321 | 5,135 | 77,936 |
Issued to shareholders in reinvestment of distributions | – | 48,142 | 1,907 | 27,018 |
Shares redeemed | (69,179) | (170,150) | (72,759) | (10,619) |
Net increase (decrease) from capital shares transactions | 85,465 | 404,313 | (65,717) | 94,335 |
See accompanying Notes to Financial Statements.
66
Ultra Series Fund | June 30, 2012
Statements of Changes in Net Assets
Large Cap Value Fund | Large Cap Growth Fund | Mid Cap Fund | Small Cap Fund | ||||
(unaudited) Six Months Ended 6/30/12 | Year Ended 12/31/11 | (unaudited) Six Months Ended 6/30/12 | Year Ended 12/31/11 | (unaudited) Six Months Ended 6/30/12 | Year Ended 12/31/11 | (unaudited) Six Months Ended 6/30/12 | Year Ended 12/31/11 |
$491,674,493 | $530,247,917 | $358,620,849 | $395,446,443 | $365,102,889 | $397,169,596 | $ 12,661,690 | $ 13,097,057 |
5,483,540 | 10,296,797 | 863,715 | 872,256 | 288,068 | 602,185 | 59,309 | 50,950 |
16,991,117 | 31,920,133 | 1,387,197 | 39,422,276 | 5,631,724 | 36,438,566 | 229,679 | 357,045 |
12,370,552 | (5,336,866) | 21,946,076 | (44,255,836) | 22,443,638 | (19,534,163) | 534,576 | (368,723) |
34,845,209 | 36,880,064 | 24,196,988 | (3,961,304) | 28,363,430 | 17,506,588 | 823,564 | 39,272 |
(190,026) | (10,095,971) | (22,977) | (861,866) | (15,924) | (687,090) | – | (45,846) |
– | (109,873) | – | (31,319) | – | (4,200) | – | (3,723) |
– | – | – | – | – | – | – | – |
– | – | – | – | – | – | – | – |
(190,026) | (10,205,844) | (22,977) | (893,185) | (15,924) | (691,290) | – | (49,569) |
37,483,091 | 13,848,340 | 21,528,925 | 11,740,628 | 23,609,205 | 14,847,888 | 424,662 | 1,567,954 |
190,026 | 10,095,971 | 22,977 | 861,866 | 15,924 | 687,090 | – | 45,846 |
(47,820,223) | (89,269,316) | (39,223,768) | (51,986,645) | (51,906,501) | (65,250,198) | (1,127,906) | (2,049,990) |
(10,147,106) | (65,325,005) | (17,671,866) | (39,384,151) | (28,281,372) | (49,715,220) | (703,244) | (436,190) |
64,457 | 544,221 | 473,029 | 8,340,118 | 73,123 | 1,744,989 | 7,167 | 290,607 |
– | 109,873 | – | 31,319 | – | 4,200 | – | 3,723 |
(294,463) | (576,733) | (1,210,736) | (958,391) | (765,475) | (915,974) | (65,314) | (283,210) |
(230,006) | 77,361 | (737,707) | 7,413,046 | (692,352) | 833,215 | (58,147) | 11,120 |
(10,377,112) | (65,247,644) | (18,409,573) | (31,971,105) | (28,973,724) | (48,882,005) | (761,391) | (425,070) |
24,278,071 | (38,573,424) | 5,764,438 | (36,825,594) | (626,218) | (32,066,707) | 62,173 | (435,367) |
$515,952,564 | $491,674,493 | $364,385,287 | $358,620,849 | $364,476,671 | $365,102,889 | $ 12,723,863 | $ 12,661,690 |
$ 5,483,540 | $ 190,026 | $ 863,743 | $ 23,005 | $ 288,068 | $ 15,924 | $ 59,309 | $ – |
1,431,010 | 559,931 | 907,076 | 521,785 | 1,478,724 | 993,405 | 36,832 | 142,303 |
7,282 | 405,964 | 997 | 39,349 | 1,023 | 46,410 | – | 4,205 |
(1,830,186) | (3,629,634) | (1,657,932) | (2,310,549) | (3,260,788) | (4,419,911) | (98,304) | (193,625) |
(391,894) | (2,663,739) | (749,859) | (1,749,415) | (1,781,041) | (3,380,096) | (61,472) | (47,117) |
2,491 | 22,164 | 20,498 | 368,460 | 4,685 | 117,974 | 618 | 26,862 |
– | 4,426 | – | 1,433 | – | 284 | – | 342 |
(11,330) | (23,662) | (51,571) | (43,744) | (48,506) | (62,644) | (5,724) | (26,457) |
(8,839) | 2,928 | (31,073) | 326,149 | (43,821) | 55,614 | (5,106) | 747 |
See accompanying Notes to Financial Statements.
67
Ultra Series Fund | June 30, 2012
Statements of Changes in Net Assets
International Stock Fund | Madison Target Retirement 2020 Fund | |||
(unaudited) Six Months Ended 6/30/12 | Year Ended 12/31/11 | (unaudited) Six Months Ended 6/30/12 | Year Ended 12/31/11 | |
Net Assets at beginning of period | $ 88,163,466 | 105,304,241 | $ 39,580,036 | $ 27,647,785 |
Increase (decrease) in net assets from operations: | ||||
Net investment income | 1,402,478 | 1,855,913 | 497,624 | 927,037 |
Net realized gain (loss) on investments and options transactions | 2,120,627 | 3,479,732 | (554,606) | 2,004,820 |
Net change in unrealized appreciation (depreciation) on investments and options transactions | 1,823,839 | (12,765,450) | 1,817,557 | (2,269,004) |
Net increase (decrease) in net assets from operations | 5,346,944 | (7,429,805) | 1,760,575 | 662,853 |
Distributions to shareholders from: | ||||
Net investment income | ||||
Class I | (11,527) | (1,510,650) | – | (1,096,421) |
Class II | – | (291,401) | – | – |
Net realized gains | ||||
Class I | – | – | (144,606) | (897,737) |
Return of Capital | ||||
Class I | – | – | – | – |
Total distributions | (11,527) | (1,802,051) | (144,606) | (1,994,158) |
Capital Stock transactions: | ||||
Class I Shares | ||||
Shares sold | 3,765,591 | 3,327,511 | 15,113,028 | 15,901,069 |
Issued to shareholders in reinvestment of distributions | 11,527 | 1,510,650 | 144,606 | 1,994,158 |
Shares redeemed | (8,365,258) | (16,569,485) | (9,015,088) | (4,631,671) |
Net increase (decrease) in net assets from capital stock transactions | (4,588,140) | (11,731,324) | 6,242,546 | 13,263,556 |
Class II Shares2 | ||||
Shares sold | 541,710 | 4,073,516 | ||
Issued to shareholders in reinvestment of distributions | – | 291,401 | ||
Shares redeemed | (404,393) | (542,512) | ||
Net increase in net assets from capital stock transactions | 137,317 | 3,822,405 | ||
Total net increase (decrease) from capital stock transactions | (4,450,823) | (7,908,919) | 6,242,546 | 13,263,556 |
Total increase (decrease) in net assets | 884,594 | (17,140,775) | 7,858,515 | 11,932,251 |
Net Assets at end of period | $ 89,048,060 | $ 88,163,466 | $ 47,438,551 | $ 39,580,036 |
Undistributed net investment income (loss) included in net assets | $ 1,390,873 | $ (78) | $ 497,624 | $ – |
Capital Share transactions: | ||||
Class I Shares | ||||
Shares sold | 392,899 | 332,788 | 1,860,239 | 1,939,616 |
Issued to shareholders in reinvestment of distributions | 1,253 | 167,339 | 17,940 | 255,016 |
Shares redeemed | (856,009) | (1,658,271) | (1,108,789) | (560,216) |
Net increase (decrease) from capital shares transactions | (461,857) | (1,158,144) | 769,390 | 1,634,416 |
Class II Shares2 | ||||
Shares sold | 58,268 | 403,814 | ||
Issued to shareholders in reinvestment of distributions | – | 32,404 | ||
Shares redeemed | (42,518) | (54,302) | ||
Net increase from capital shares transactions | 15,750 | 381,916 |
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, 2012
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 6/30/12 | Year Ended 12/31/11 | (unaudited) Six Months Ended 6/30/12 | Year Ended 12/31/11 | (unaudited) Six Months Ended 6/30/12 | Year Ended 12/31/111 |
$ 45,404,453 | $ 31,278,843 | $ 35,182,268 | $ 26,146,753 | $ 2,236,241 | $ – |
513,593 | 923,593 | 328,182 | 642,632 | 24,848 | 27,410 |
(633,899) | 2,414,365 | (419,597) | 2,303,584 | (35,846) | (29,923) |
2,311,982 | (2,911,351) | 1,823,223 | (2,809,726) | 132,690 | (16,822) |
2,191,676 | 426,607 | 1,731,808 | 136,490 | 121,692 | (19,335) |
– | (1,091,758) | – | (767,165) | – | (31,450) |
– | – | – | – | – | – |
(150,783) | (1,764,696) | (30,031) | (1,885,854) | – | – |
– | – | – | – | – | (1,099) |
(150,783) | (2,856,454) | (30,031) | (2,653,019) | – | (32,549) |
17,555,348 | 15,550,888 | 12,580,323 | 10,698,786 | 2,509,558 | 2,473,782 |
150,783 | 2,856,454 | 30,031 | 2,653,019 | – | 32,549 |
(8,518,962) | (1,851,885) | (8,155,859) | (1,799,761) | (613,579) | (218,206) |
9,187,169 | 16,555,457 | 4,454,495 | 11,552,044 | 1,895,979 | 2,288,125 |
9,187,169 | 16,555,457 | 4,454,495 | 11,552,044 | 1,895,979 | 2,288,125 |
11,228,062 | 14,125,610 | 6,156,272 | 9,035,515 | 2,017,671 | 2,236,241 |
$ 56,632,515 | $ 45,404,453 | $ 41,338,540 | $ 35,182,268 | $ 4,253,912 | $ 2,236,241 |
$ 513,593 | $ – | $ 328,182 | $ – | $ 24,848 | $ – |
2,245,342 | 1,952,016 | 1,697,560 | 1,399,765 | 245,330 | 248,588 |
19,501 | 381,214 | 4,110 | 375,570 | – | 3,338 |
(1,084,757) | (228,251) | (1,099,176) | (230,919) | (59,704) | (22,619) |
1,180,086 | 2,104,979 | 602,494 | 1,544,416 | 185,626 | 229,307 |
See accompanying Notes to Financial Statements.
69
Ultra Series Fund | June 30, 2012
Financial Highlights for a Share of Beneficial Interest Outstanding
CONSERVATIVE ALLOCATION FUND | ||||||
(unaudited) Six Months Ended 6/30/12 | Year Ended December 31, | |||||
2011 | 2010 | 2009 | 2008 | 2007 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $ 9.96 | $10.01 | $ 9.61 | $ 8.48 | $10.77 | $10.60 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.14 | 0.28 | 0.29 | 0.29 | 0.35 | 0.45 |
Net realized and unrealized gain (loss) on investments | 0.26 | 0.03 | 0.52 | 1.12 | (2.27) | (0.03) |
Total from investment operations | 0.40 | 0.31 | 0.81 | 1.41 | (1.92) | 0.42 |
Less Distributions: | ||||||
Distributions from net investment income | – | (0.35) | (0.41) | (0.28) | (0.27) | (0.23) |
Distributions from capital gains | – | – | – | – | (0.10) | (0.02) |
Distributions from return of capital | – | (0.01) | – | – | – | – |
Total distributions | – | (0.36) | (0.41) | (0.28) | (0.37) | (0.25) |
Net increase (decrease) in net asset value | 0.40 | (0.05) | 0.40 | 1.13 | (2.29) | 0.17 |
Net Asset Value at end of period | $10.36 | $9.96 | $10.01 | $ 9.61 | $ 8.48 | $10.77 |
Total Return3 (%) | 3.994 | 3.14 | 8.37 | 16.76 | (17.89) | 3.92 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $191,450 | $184,431 | $195,657 | $176,322 | $116,678 | $66,747 |
Ratios of expenses to average net assets: | ||||||
Before management fee reduction (%) | 0.315 | 0.31 | 0.31 | 0.31 | 0.31 | 0.31 |
After management fee reduction (%) | 0.315 | 0.31 | 0.31 | 0.31 | 0.28 | 0.21 |
Ratio of net investment income to average net assets (%) | 2.755 | 2.76 | 2.90 | 3.23 | 3.53 | 4.12 |
Portfolio Turnover6 (%) | 204 | 36 | 36 | 47 | 71 | 28 |
CLASS II | (unaudited) Six Months Ended 6/30/12 | 2011 | 2010 | Inception to 12/31/091 | ||
Net Asset Value at beginning of period | $ 9.95 | $10.00 | $ 9.61 | $ 8.51 | ||
Income from Investment Operations: | ||||||
Net investment income2 | 0.13 | 0.27 | 0.35 | 0.28 | ||
Net realized and unrealized gain (loss) on investments | 0.26 | 0.02 | 0.43 | 0.99 | ||
Total from investment operations | 0.39 | 0.29 | 0.78 | 1.27 | ||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.33) | (0.39) | (0.17) | ||
Distributions from return of capital | – | (0.01) | – | – | ||
Net increase in net asset value | 0.39 | (0.05) | 0.39 | 1.10 | ||
Net Asset Value at end of period | $10.34 | $9.95 | $10.00 | $ 9.61 | ||
Total Return3 (%) | 3.864 | 2.89 | 8.10 | 14.914 | ||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $42,937 | $43,203 | $35,425 | $12,829 | ||
Ratios of expenses to average net assets (%) | 0.565 | 0.56 | 0.55 | 0.565 | ||
Ratio of net investment income to average net assets (%) | 2.495 | 2.67 | 3.47 | 4.385 | ||
Portfolio Turnover6 (%) | 204 | 36 | 36 | 474 |
1 | Commenced investment operations on 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.
70
Ultra Series Fund | June 30, 2012
Financial Highlights for a Share of Beneficial Interest Outstanding
MODERATE ALLOCATION FUND | ||||||
(unaudited) Six Months Ended 6/30/12 | Year Ended December 31, | |||||
2011 | 2010 | 2009 | 2008 | 2007 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $ 9.42 | $ 9.49 | $ 8.87 | $ 7.51 | $11.21 | $10.86 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.10 | 0.20 | 0.20 | 0.18 | 0.21 | 0.28 |
Net realized and unrealized gain (loss) on investments | 0.35 | (0.01) | 0.71 | 1.37 | (3.55) | 0.32 |
Total from investment operations | 0.45 | 0.19 | 0.91 | 1.55 | (3.34) | 0.60 |
Less Distributions: | ||||||
Distributions from net investment income | – | (0.26) | (0.29) | (0.19) | (0.17) | (0.19) |
Distributions from capital gains | – | – | – | – | (0.19) | (0.06) |
Total distributions | – | (0.26) | (0.29) | (0.19) | (0.36) | (0.25) |
Net increase (decrease) in net asset value | 0.45 | (0.07) | 0.62 | 1.36 | (3.70) | 0.35 |
Net Asset Value at end of period | $ 9.87 | $ 9.42 | $ 9.49 | $ 8.87 | $ 7.51 | $11.21 |
Total Return3 (%) | 4.744 | 2.03 | 10.22 | 20.61 | (30.23) | 5.56 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $355,214 | $346,733 | $352,545 | $332,428 | $243,761 | $218,281 |
Ratios of expenses to average net assets: | ||||||
Before management fee reduction (%) | 0.315 | 0.31 | 0.31 | 0.31 | 0.31 | 0.31 |
After management fee reduction (%) | 0.315 | 0.31 | 0.31 | 0.31 | 0.28 | 0.21 |
Ratio of net investment income to average net assets (%) | 1.975 | 2.07 | 2.24 | 2.29 | 2.20 | 2.45 |
Portfolio Turnover6 (%) | 264 | 25 | 34 | 52 | 69 | 29 |
CLASS II | (unaudited) Six Months Ended 6/30/12 | 2011 | 2010 | Inception to 12/31/091 | ||
Net Asset Value at beginning of period | $ 9.41 | $ 9.48 | $8.87 | $ 7.56 | ||
Income from Investment Operations: | ||||||
Net investment income2 | 0.08 | 0.18 | 0.25 | 0.19 | ||
Net realized and unrealized gain (loss) on investments | 0.35 | (0.01) | 0.63 | 1.24 | ||
Total from investment operations | 0.43 | 0.17 | 0.88 | 1.43 | ||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.24) | (0.27) | (0.12) | ||
Net increase in net asset value | 0.43 | (0.07) | 0.61 | 1.31 | ||
Net Asset Value at end of period | $ 9.84 | $ 9.41 | $ 9.48 | $ 8.87 | ||
Total Return3 (%) | 4.614 | 1.78 | 9.94 | 18.824 | ||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $35,488 | $ 35,873 | $31,715 | $12,162 | ||
Ratios of expenses to average net assets (%) | 0.565 | 0.56 | 0.56 | 0.565 | ||
Ratio of net investment income to average net assets (%) | 1.715 | 1.86 | 2.76 | 3.335 | ||
Portfolio Turnover6 (%) | 264 | 25 | 34 | 524 |
1 | Commenced investment operations on 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.
71
Ultra Series Fund | June 30, 2012
Financial Highlights for a Share of Beneficial Interest Outstanding
AGGRESSIVE ALLOCATION FUND | ||||||
(unaudited) Six Months Ended 6/30/12 | Year Ended December 31, | |||||
2011 | 2010 | 2009 | 2008 | 2007 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $ 8.96 | $ 9.08 | $ 8.30 | $ 6.57 | $11.61 | $11.10 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.05 | 0.12 | 0.11 | 0.10 | 0.09 | 0.09 |
Net realized and unrealized gain (loss) on investments | 0.37 | (0.08) | 0.81 | 1.74 | (4.74) | 0.77 |
Total from investment operations | 0.42 | 0.04 | 0.92 | 1.84 | (4.65) | 0.86 |
Less Distributions: | ||||||
Distributions from net investment income | – | (0.16) | (0.14) | (0.11) | (0.06) | (0.14) |
Distributions from capital gains | – | – | – | – | (0.33) | (0.21) |
Total distributions | – | (0.16) | (0.14) | (0.11) | (0.39) | (0.35) |
Net increase (decrease) in net asset value | 0.42 | (0.12) | 0.78 | 1.73 | (5.04) | 0.51 |
Net Asset Value at end of period | $ 9.38 | $ 8.96 | $ 9.08 | $ 8.30 | $ 6.57 | $11.61 |
Total Return3 (%) | 4.664 | 0.48 | 11.15 | 27.91 | (41.09) | 7.69 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $138,522 | $132,575 | $126,270 | $114,492 | $69,616 | $68,120 |
Ratios of expenses to average net assets: | ||||||
Before management fee reduction (%) | 0.315 | 0.31 | 0.31 | 0.31 | 0.31 | 0.31 |
After management fee reduction (%) | 0.315 | 0.31 | 0.31 | 0.31 | 0.28 | 0.21 |
Ratio of net investment income to average net assets (%) | 0.995 | 1.26 | 1.27 | 1.44 | 0.94 | 0.79 |
Portfolio Turnover6 (%) | 384 | 32 | 33 | 58 | 67 | 46 |
CLASS II | (unaudited) Six Months Ended 6/30/12 | 2011 | 2010 | Inception to 12/31/091 | ||
Net Asset Value at beginning of period | $ 8.95 | $ 9.07 | $ 8.30 | $ 6.69 | ||
Income from Investment Operations: | ||||||
Net investment income2 | 0.03 | 0.10 | 0.17 | 0.15 | ||
Net realized and unrealized gain (loss) on investments | 0.37 | (0.08) | 0.73 | 1.54 | ||
Total from investment operations | 0.40 | 0.02 | 0.90 | 1.69 | ||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.14) | (0.13) | (0.08) | ||
Net increase in net asset value | 0.40 | (0.12) | 0.77 | 1.61 | ||
Net Asset Value at end of period | $ 9.35 | $ 8.95 | $ 9.07 | $ 8.30 | ||
Total Return3 (%) | 4.534 | 0.23 | 10.87 | 25.094 | ||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $1,890 | $1,786 | $1,424 | $514 | ||
Ratios of expenses to average net assets (%) | 0.565 | 0.56 | 0.56 | 0.565 | ||
Ratio of net investment income to average net assets (%) | 0.755 | 1.05 | 1.99 | 2.865 | ||
Portfolio Turnover6 (%) | 384 | 32 | 33 | 584 |
1 | Commenced investment operations on 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.
72
Ultra Series Fund | June 30, 2012
Financial Highlights for a Share of Beneficial Interest Outstanding
MONEY MARKET FUND | ||||||
(unaudited) Six Months Ended 6/30/12 | Year Ended December 31, | |||||
2011 | 2010 | 2009 | 2008 | 2007 | ||
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 |
Net realized and unrealized gain (loss) on investments | – | – | – | – | 0.004 | 0.004 |
Total from investment operations | 0.00 | 0.00 | 0.00 | 0.00 | 0.02 | 0.05 |
Less Distributions: | ||||||
Distributions from net investment income | – | – | – | (0.00)4 | (0.02) | (0.05) |
Net increase in net asset value | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
Net Asset Value at end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return3 (%) | 0.004 | 0.00 | 0.00 | 0.00 | 1.75 | 4.71 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $53,461 | $61,682 | $69,634 | $92,463 | $159,349 | $111,333 |
Ratios of expenses to average net assets: | ||||||
Before waiver of expenses by adviser (%) | 0.466 | 0.47 | 0.47 | 0.47 | 0.47 | 0.46 |
After waiver of expenses by adviser (%) | 0.086,7 | 0.087 | 0.147 | 0.287 | 0.47 | 0.46 |
Ratio of net investment income to average net assets (%) | 0.006,7 | 0.00 | 0.00 | 0.00 | 1.67 | 4.58 |
CLASS II | (unaudited) Six Months Ended 6/30/12 | 2011 | 2010 | Inception to 12/31/091 | ||
Net Asset Value at beginning of period | $1.00 | $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 | 0.00 | ||
Less Distributions: | ||||||
Distributions from net investment income | – | – | – | – | ||
Net increase in net asset value | 0.00 | 0.00 | 0.00 | 0.00 | ||
Net Asset Value at end of period | $1.00 | $1.00 | $1.00 | $1.00 | ||
Total Return3 (%) | 0.004 | 0.00 | 0.00 | 0.004 | ||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $310 | $979 | $577 | $185 | ||
Ratios of expenses to average net assets: | ||||||
Before waiver of expenses by adviser (%) | 0.716 | 0.72 | 0.73 | 0.736 | ||
After waiver of expenses by adviser (%) | 0.076,7 | 0.077 | 0.167 | 0.206,7 | ||
Ratio of net investment income to average net assets (%) | 0.006,7 | 0.00 | 0.00 | 0.006 |
1 | Commenced investment operations on 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, 2012
Financial Highlights for a Share of Beneficial Interest Outstanding
BOND FUND | ||||||
(unaudited) Six Months Ended 6/30/12 | Year Ended December 31, | |||||
2011 | 2010 | 2009 | 2008 | 2007 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $10.57 | $10.29 | $10.14 | $ 9.94 | $10.19 | $10.11 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.17 | 0.38 | 0.40 | 0.43 | 0.50 | 0.49 |
Net realized and unrealized gain (loss) on investments | 0.02 | 0.31 | 0.20 | 0.21 | (0.21) | 0.02 |
Total from investment operations | 0.19 | 0.69 | 0.60 | 0.64 | 0.29 | 0.51 |
Less Distributions: | ||||||
Distributions from net investment income | (0.01) | (0.41) | (0.45) | (0.44) | (0.54) | (0.43) |
Net increase (decrease) in net asset value | 0.18 | 0.28 | 0.15 | 0.20 | (0.25) | 0.08 |
Net Asset Value at end of period | $10.75 | $10.57 | $10.29 | $10.14 | $ 9.94 | $10.19 |
Total Return3 (%) | 1.814 | 6.73 | 5.92 | 6.50 | 2.86 | 5.05 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $361,381 | $375,325 | $429,499 | $541,789 | $572,562 | $646,233 |
Ratios of expenses to average net assets (%) | 0.565 | 0.57 | 0.56 | 0.57 | 0.56 | 0.56 |
Ratio of net investment income to average net assets (%) | 3.225 | 3.62 | 3.76 | 4.28 | 4.84 | 4.81 |
Portfolio Turnover6 (%) | 54 | 6 | 2 | 25 | 12 | 29 |
CLASS II | (unaudited) Six Months Ended 6/30/12 | 2011 | 2010 | Inception to 12/31/091 | ||
Net Asset Value at beginning of period | $10.56 | $10.28 | $10.14 | $ 9.85 | ||
Income from Investment Operations: | ||||||
Net investment income2 | 0.16 | 0.36 | 0.37 | 0.27 | ||
Net realized and unrealized gain on investments | 0.02 | 0.31 | 0.20 | 0.28 | ||
Total from investment operations | 0.18 | 0.67 | 0.57 | 0.55 | ||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.39) | (0.43) | (0.26) | ||
Net increase in net asset value | 0.18 | 0.28 | 0.14 | 0.29 | ||
Net Asset Value at end of period | $ 10.74 | $ 10.56 | $10.28 | $10.14 | ||
Total Return3 (%) | 1.694 | 6.47 | 5.66 | 5.554 | ||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $ 48,525 | $ 49,774 | $35,750 | $9,719 | ||
Ratios of expenses to average net assets (%) | 0.815 | 0.82 | 0.81 | 0.825 | ||
Ratio of net investment income to average net assets (%) | 2.975 | 3.36 | 3.49 | 3.865 | ||
Portfolio Turnover6 (%) | 54 | 6 | 2 | 254 |
1 | Commenced investment operations on 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, 2012
Financial Highlights for a Share of Beneficial Interest Outstanding
HIGH INCOME FUND | ||||||
(unaudited) Six Months Ended 6/30/12 | Year Ended December 31, | |||||
2011 | 2010 | 2009 | 2008 | 2007 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $ 9.18 | $ 9.42 | $ 9.11 | $ 7.34 | $ 9.54 | $10.16 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.31 | 0.65 | 0.72 | 0.68 | 0.67 | 0.76 |
Net realized and unrealized gain (loss) on investments | 0.18 | (0.18) | 0.35 | 1.80 | (2.07) | (0.53) |
Total from investment operations | 0.49 | 0.47 | 1.07 | 2.48 | (1.40) | 0.23 |
Less Distributions: | ||||||
Distributions from net investment income | (0.03) | (0.71) | (0.76) | (0.71) | (0.80) | (0.85) |
Distributions from capital gains | – | – | – | – | – | (0.00)4 |
Total distributions | (0.03) | (0.71) | (0.76) | (0.71) | (0.80) | (0.85) |
Net increase (decrease) in net asset value | 0.46 | (0.24) | 0.31 | 1.77 | (2.20) | (0.62) |
Net Asset Value at end of period | $ 9.64 | $ 9.18 | $ 9.42 | $ 9.11 | $ 7.34 | $ 9.54 |
Total Return3 (%) | 5.395 | 5.01 | 11.73 | 34.29 | (14.74) | 2.29 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $88,429 | $86,462 | $95,552 | $107,722 | $90,728 | $135,045 |
Ratios of expenses to average net assets (%) | 0.766 | 0.77 | 0.77 | 0.77 | 0.76 | 0.76 |
Ratio of net investment income to average net assets (%) | 6.476 | 6.76 | 7.54 | 7.94 | 7.42 | 7.27 |
Portfolio Turnover7 (%) | 295 | 54 | 53 | 73 | 45 | 73 |
CLASS II | (unaudited) Six Months Ended 6/30/12 | 2011 | 2010 | Inception to 12/31/091 | ||
Net Asset Value at beginning of period | $ 9.19 | $ 9.42 | $ 9.11 | $ 8.14 | ||
Income from Investment Operations: | ||||||
Net investment income2 | 0.29 | 0.63 | 0.70 | 0.47 | ||
Net realized and unrealized gain (loss) on investments | 0.19 | (0.18) | 0.34 | 0.96 | ||
Total from investment operations | 0.48 | 0.45 | 1.04 | 1.43 | ||
Less Distributions: | ||||||
Distributions from net investment income | (0.02) | (0.68) | (0.73) | (0.46) | ||
Net increase in net asset value | 0.46 | (0.23) | 0.31 | 0.97 | ||
Net Asset Value at end of period | $ 9.65 | $ 9.19 | $ 9.42 | $ 9.11 | ||
Total Return3 (%) | 5.265 | 4.75 | 11.45 | 17.495 | ||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $6,405 | $6,213 | $4,286 | $1,148 | ||
Ratios of expenses to average net assets (%) | 1.016 | 1.02 | 1.01 | 1.016 | ||
Ratio of net investment income to average net assets (%) | 6.226 | 6.52 | 7.20 | 7.656 | ||
Portfolio Turnover7 (%) | 295 | 54 | 53 | 735 |
1 | Commenced investment operations on 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, 2012
Financial Highlights for a Share of Beneficial Interest Outstanding
DIVERSIFIED INCOME FUND | ||||||
(unaudited) Six Months Ended 6/30/12 | Year Ended December 31, | |||||
2011 | 2010 | 2009 | 2008 | 2007 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $17.39 | $16.62 | $15.37 | $14.46 | $17.62 | $18.46 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.25 | 0.51 | 0.56 | 0.60 | 0.72 | 0.79 |
Net realized and unrealized gain (loss) on investments | 0.57 | 0.79 | 1.29 | 0.92 | (3.05) | (0.32) |
Total from investment operations | 0.82 | 1.30 | 1.85 | 1.52 | (2.33) | 0.47 |
Less Distributions: | ||||||
Distributions from net investment income | (0.01) | (0.53) | (0.60) | (0.61) | (0.81) | (0.80) |
Distributions from capital gains | – | – | – | – | (0.02) | (0.51) |
Total distributions | (0.01) | (0.53) | (0.60) | (0.61) | (0.83) | (1.31) |
Net increase (decrease) in net asset value | 0.81 | 0.77 | 1.25 | 0.91 | (3.16) | (0.84) |
Net Asset Value at end of period | $18.20 | $17.39 | $16.62 | $15.37 | $14.46 | $17.62 |
Total Return3 (%) | 4.734 | 7.84 | 12.04 | 10.74 | (13.25) | 2.51 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $369,087 | $372,852 | $384,709 | $418,381 | $438,047 | $637,606 |
Ratios of expenses to average net assets (%) | 0.715 | 0.72 | 0.72 | 0.72 | 0.71 | 0.71 |
Ratio of net investment income to average net assets (%) | 2.825 | 2.94 | 3.50 | 4.12 | 4.37 | 4.21 |
Portfolio Turnover6 (%) | 44 | 19 | 23 | 26 | 14 | 41 |
CLASS II | (unaudited) Six Months Ended 6/30/12 | 2011 | 2010 | Inception to 12/31/091 | ||
Net Asset Value at beginning of period | $17.37 | $16.61 | $15.37 | $13.74 | ||
Income from Investment Operations: | ||||||
Net investment income2 | 0.23 | 0.46 | 0.52 | 0.35 | ||
Net realized and unrealized gain (loss) on investments | 0.57 | 0.79 | 1.29 | 1.64 | ||
Total from investment operations | 0.80 | 1.25 | 1.81 | 1.99 | ||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.49) | (0.57) | (0.36) | ||
Net increase in net asset value | 0.80 | 0.76 | 1.24 | 1.63 | ||
Net Asset Value at end of period | $18.17 | $17.37 | $16.61 | $15.37 | ||
Total Return3 (%) | 4.604 | 7.57 | 11.77 | 14.434 | ||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $33,310 | $30,360 | $22,309 | $6,261 | ||
Ratios of expenses to average net assets (%) | 0.965 | 0.97 | 0.97 | 0.975 | ||
Ratio of net investment income to average net assets (%) | 2.575 | 2.69 | 3.20 | 3.445 | ||
Portfolio Turnover6 (%) | 44 | 19 | 23 | 264 |
1 | Commenced investment operations on 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.
76
Ultra Series Fund | June 30, 2012
Financial Highlights for a Share of Beneficial Interest Outstanding
EQUITY INCOME FUND | |||
(unaudited) Six Months Ended 6/30/12 | Year Ended 12/31/11 | Inception to December 31, 20101 | |
CLASS I | |||
Net Asset Value at beginning of period | $ 9.41 | $10.37 | $10.00 |
Income from Investment Operations: | |||
Net investment income2 | 0.01 | 0.01 | (0.02) |
Net realized and unrealized gain (loss) on investments | 0.39 | 0.10 | 0.64 |
Total from investment operations | 0.40 | 0.11 | 0.62 |
Less Distributions: | |||
Distributions from net investment income | – | – | – |
Distributions from capital gains | (0.09) | (1.07) | (0.25) |
Total distributions | (0.09) | (1.07) | (0.25) |
Net increase in net asset value | 0.31 | (0.96) | 0.37 |
Net Asset Value at end of period | $ 9.72 | $ 9.41 | $10.37 |
Total Return3 (%) | 4.304 | 1.08 | 6.244 |
Ratios/Supplemental Data: | |||
Net Assets at end of period (in 000’s) | $504 | $483 | $478 |
Ratios of expenses to average net assets (%) | 0.915 | 0.91 | 0.915 |
Ratio of net investment income to average net assets (%) | 0.135 | 0.10 | (0.34)5 |
Portfolio Turnover6 (%) | 154 | 84 | 494 |
CLASS II | |||
Net Asset Value at beginning of period | $ 9.36 | $10.35 | $10.00 |
Income from Investment Operations: | |||
Net investment income2 | (0.01) | – | (0.02) |
Net realized and unrealized gain (loss) on investments | 0.41 | 0.08 | 0.62 |
Total from investment operations | 0.40 | 0.08 | 0.60 |
Less Distributions: | |||
Distributions from net investment income | – | – | – |
Distributions from capital gains | (0.09) | (1.07) | (0.25) |
Total distributions | (0.09) | (1.07) | (0.25) |
Net increase in net asset value | 0.31 | (0.99) | 0.35 |
Net Asset Value at end of period | $ 9.67 | $ 9.36 | $10.35 |
Total Return3 (%) | 4.194 | 0.84 | 6.074 |
Ratios/Supplemental Data: | |||
Net Assets at end of period (in 000’s) | $1,904 | $2,460 | $1,743 |
Ratios of expenses to average net assets (%) | 1.165 | 1.16 | 1.175 |
Ratio of net investment income to average net assets (%) | (0.13)5 | (0.12) | (0.46)5 |
Portfolio Turnover6 (%) | 154 | 84 | 494 |
1 | Commenced investment operations on 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, 2012
Financial Highlights for a Share of Beneficial Interest Outstanding
LARGE CAP VALUE FUND | ||||||
(unaudited) Six Months Ended 6/30/12 | Year Ended December 31, | |||||
2011 | 2010 | 2009 | 2008 | 2007 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $24.78 | $23.56 | $22.17 | $19.42 | $31.49 | $35.14 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.28 | 0.50 | 0.38 | 0.43 | 0.65 | 0.68 |
Net realized and unrealized gain (loss) on investments | 1.48 | 1.24 | 1.46 | 2.76 | (11.99) | (0.45) |
Total from investment operations | 1.76 | 1.74 | 1.84 | 3.19 | (11.34) | 0.23 |
Less Distributions: | ||||||
Distributions from net investment income | (0.01) | (0.52) | (0.45) | (0.44) | (0.71) | (0.71) |
Distributions from capital gains | – | – | – | – | (0.02) | (3.17) |
Total distributions | (0.01) | (0.52) | (0.45) | (0.44) | (0.73) | (3.88) |
Net increase (decrease) in net asset value | 1.75 | 1.22 | 1.39 | 2.75 | (12.07) | (3.65) |
Net Asset Value at end of period | $26.53 | $24.78 | $23.56 | $22.17 | $19.42 | $31.49 |
Total Return3 (%) | 7.144 | 7.38 | 8.29 | 16.79 | (35.99) | 0.60 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $510,090 | $485,978 | $524,894 | $630,764 | $609,444 | $1,229,433 |
Ratios of expenses to average net assets (%) | 0.615 | 0.62 | 0.62 | 0.62 | 0.61 | 0.61 |
Ratio of net investment income to average net assets (%) | 2.165 | 2.03 | 1.72 | 2.23 | 2.42 | 1.87 |
Portfolio Turnover6 (%) | 124 | 29 | 63 | 81 | 38 | 45 |
CLASS II | (unaudited) Six Months Ended 6/30/12 | 2011 | 2010 | Inception to 12/31/091 | ||
Net Asset Value at beginning of period | $24.73 | $23.54 | $22.17 | $17.74 | ||
Income from Investment Operations: | ||||||
Net investment income2 | 0.25 | 0.43 | 0.34 | 0.18 | ||
Net realized and unrealized gain (loss) on investments | 1.48 | 1.25 | 1.44 | 4.45 | ||
Total from investment operations | 1.73 | 1.68 | 1.78 | 4.63 | ||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.49) | (0.41) | (0.20) | ||
Net increase in net asset value | 1.73 | 1.19 | 1.37 | 4.43 | ||
Net Asset Value at end of period | $26.46 | $24.73 | $23.54 | $22.17 | ||
Total Return3 (%) | 7.014 | 7.11 | 8.02 | 26.094 | ||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $5,862 | $5,697 | $5,354 | $2,552 | ||
Ratios of expenses to average net assets (%) | 0.865 | 0.87 | 0.87 | 0.875 | ||
Ratio of net investment income to average net assets (%) | 1.915 | 1.78 | 1.51 | 1.285 | ||
Portfolio Turnover6 (%) | 144 | 63 | 63 | 814 |
1 | Commenced investment operations on 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.
78
Ultra Series Fund | June 30, 2012
Financial Highlights for a Share of Beneficial Interest Outstanding
LARGE CAP GROWTH FUND | ||||||
(unaudited) Six Months Ended 6/30/12 | Year Ended December 31, | |||||
2011 | 2010 | 2009 | 2008 | 2007 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $21.84 | $22.16 | $19.87 | $14.50 | $23.36 | $21.47 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.06 | 0.05 | 0.10 | 0.12 | 0.12 | 0.08 |
Net realized and unrealized gain (loss) on investments | 1.40 | (0.31) | 2.31 | 5.37 | (8.80) | 2.59 |
Total from investment operations | 1.46 | (0.26) | 2.41 | 5.49 | (8.68) | 2.67 |
Less Distributions: | ||||||
Distributions from net investment income | (0.00)7 | (0.06) | (0.12) | (0.12) | (0.14) | (0.09) |
Distributions from capital gains | – | – | – | – | (0.04) | (0.69) |
Total distributions | (0.00)7 | (0.06) | (0.12) | (0.12) | (0.18) | (0.78) |
Net increase (decrease) in net asset value | 1.46 | (0.32) | 2.29 | 5.37 | (8.86) | 1.89 |
Net Asset Value at end of period | $23.30 | $21.84 | $22.16 | $19.87 | $14.50 | $23.36 |
Total Return3 (%) | 6.724 | (1.19) | 12.13 | 37.98 | (37.20) | 12.36 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $335,706 | $331,032 | $374,644 | $433,483 | $352,473 | $665,240 |
Ratios of expenses to average net assets (%) | 0.825 | 0.82 | 0.82 | 0.82 | 0.82 | 0.81 |
Ratio of net investment income to average net assets (%) | 0.485 | 0.24 | 0.51 | 0.72 | 0.62 | 0.34 |
Portfolio Turnover8 (%) | 444 | 85 | 78 | 89 | 123 | 76 |
CLASS II | (unaudited) Six Months Ended 6/30/12 | 2011 | 2010 | Inception to 12/31/091 | ||
Net Asset Value at beginning of period | $21.80 | $22.14 | $19.87 | $15.78 | ||
Income from Investment Operations: | ||||||
Net investment income2 | 0.03 | (0.00)7 | 0.06 | 0.05 | ||
Net realized and unrealized gain (loss) on investments | 1.40 | (0.32) | 2.30 | 4.09 | ||
Total from investment operations | 1.43 | (0.32) | 2.36 | 4.14 | ||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.02) | (0.09) | (0.05) | ||
Net increase in net asset value | 1.43 | (0.34) | 2.27 | 4.09 | ||
Net Asset Value at end of period | $23.23 | $21.80 | $22.14 | $19.87 | ||
Total Return3 (%) | 6.594 | (1.43) | 11.85 | 26.214 | ||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $28,679 | $27,589 | $20,802 | $6,003 | ||
Ratios of expenses to average net assets (%) | 1.075 | 1.07 | 1.07 | 1.075 | ||
Ratio of net investment income to average net assets (%) | 0.235 | 0.006 | 0.29 | 0.365 | ||
Portfolio Turnover8 (%) | 444 | 85 | 78 | 894 |
1 | Commenced investment operations on 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 | Amounts represent less than 0.01%. |
8 | 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, 2012
Financial Highlights for a Share of Beneficial Interest Outstanding
MID CAP FUND | ||||||
(unaudited) Six Months Ended 6/30/12 | Year Ended December 31, | |||||
2011 | 20103 | 20093 | 20083 | 20073 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $14.75 | $14.14 | $11.82 | $ 8.01 | $15.31 | $15.68 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.01 | 0.02 | 0.04 | – | 0.005 | (0.08) |
Net realized and unrealized gain (loss) on investments | 1.13 | 0.62 | 2.33 | 3.81 | (7.14) | 1.41 |
Total from investment operations | 1.14 | 0.64 | 2.37 | 3.81 | (7.14) | 1.33 |
Less Distributions: | ||||||
Distributions from net investment income | (0.00)5 | (0.03) | (0.05) | (0.00)5 | (0.00)5 | – |
Distributions from capital gains | – | – | – | – | (0.16) | (1.70) |
Total distributions | (0.00) | (0.03) | (0.05) | (0.00) | (0.16) | (1.70) |
Net increase (decrease) in net asset value | 1.14 | 0.61 | 2.32 | 3.81 | (7.30) | (0.37) |
Net Asset Value at end of period | $15.89 | $14.75 | $14.14 | $11.82 | $ 8.01 | $15.31 |
Total Return4 (%) | 7.786 | 4.47 | 20.12 | 47.28 | (46.89) | 8.44 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $350,886 | $351,833 | $385,218 | $229,395 | $166,465 | $367,318 |
Ratios of expenses to average net assets (%) | 0.917 | 0.91 | 0.90 | 0.87 | 0.87 | 0.86 |
Ratio of net investment income to average net assets (%) | 0.167 | 0.16 | 0.42 | (0.05) | 0.09 | (0.41) |
Portfolio Turnover8 (%) | 136 | 52 | 46 | 186 | 108 | 104 |
CLASS II | (unaudited) Six Months Ended 6/30/12 | 2011 | 20103 | Inception to 12/31/091,3 | ||
Net Asset Value at beginning of period | $14.72 | $14.13 | $11.82 | $ 9.36 | ||
Income from Investment Operations: | ||||||
Net investment income2 | (0.01) | (0.01) | 0.04 | (0.00) | ||
Net realized and unrealized gain (loss) on investments | 1.14 | 0.60 | 2.30 | 2.46 | ||
Total from investment operations | 1.13 | 0.59 | 2.34 | 2.46 | ||
Less Distributions: | ||||||
Distributions from net investment income | – | – | (0.03) | – | ||
Net increase in net asset value | 1.13 | 0.59 | 2.31 | 2.46 | ||
Net Asset Value at end of period | $15.85 | $14.72 | $14.13 | $11.82 | ||
Total Return4 (%) | 7.656 | 4.22 | 19.82 | 26.136 | ||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $13,590 | $13,270 | $11,951 | $4,813 | ||
Ratios of expenses to average net assets (%) | 1.167 | 1.17 | 1.16 | 1.227 | ||
Ratio of net investment income to average net assets (%) | (0.09)7 | (0.07) | 0.38 | 0.537 | ||
Portfolio Turnover8 (%) | 136 | 52 | 46 | 1866 |
1 | Commenced investment operations on 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, 2012
Financial Highlights for a Share of Beneficial Interest Outstanding
SMALL CAP FUND | ||||||
(unaudited) Six Months Ended 6/30/12 | Year Ended December 31, | Inception to 12/31/071 | ||||
2011 | 2010 | 2009 | 2008 | |||
CLASS I | ||||||
Net Asset Value at beginning of period | $10.81 | $10.75 | $8.54 | $ 6.53 | $ 8.86 | $10.00 |
Income from Investment Operations: | ||||||
Net investment income3 | 0.05 | 0.04 | 0.08 | 0.05 | 0.08 | 0.09 |
Net realized and unrealized gain (loss) on investments | 0.66 | 0.06 | 2.20 | 2.00 | (2.34) | (1.05) |
Total from investment operations | 0.71 | 0.10 | 2.28 | 2.05 | (2.26) | (0.96) |
Less Distributions: | ||||||
Distributions from net investment income | – | (0.04) | (0.07) | (0.04) | (0.07) | (0.08) |
Distributions from capital gains | – | – | – | – | (0.00)5 | (0.10) |
Total distributions | – | (0.04) | (0.07) | (0.04) | (0.07) | (0.18) |
Net increase (decrease) in net asset value | 0.71 | 0.06 | 2.21 | 2.01 | (2.33) | (1.14) |
Net Asset Value at end of period | $11.52 | $10.81 | $10.75 | $ 8.54 | $ 6.53 | $ 8.86 |
Total Return4 (%) | 6.566 | 0.91 | 26.80 | 31.56 | (25.54) | (9.62)6 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $11,292 | $11,261 | $11,710 | $7,989 | $5,986 | $5,624 |
Ratios of expenses to average net assets (%) | 1.127 | 1.11 | 1.11 | 1.11 | 1.12 | 1.047 |
Ratio of net investment income to average net assets (%) | 0.947 | 0.41 | 0.85 | 0.77 | 1.03 | 1.457 |
Portfolio Turnover8 (%) | 96 | 22 | 33 | 21 | 28 | 136 |
CLASS II | (unaudited) Six Months Ended 6/30/12 | 2011 | 2010 | Inception to 12/31/092 | ||
Net Asset Value at beginning of period | $10.79 | $10.74 | $ 8.54 | $ 6.50 | ||
Income from Investment Operations: | ||||||
Net investment income3 | 0.04 | 0.02 | 0.06 | 0.02 | ||
Net realized and unrealized gain (loss) on investments | 0.65 | 0.06 | 2.20 | 2.03 | ||
Total from investment operations | 0.69 | 0.08 | 2.26 | 2.05 | ||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.03) | (0.06) | (0.01) | ||
Net increase in net asset value | 0.69 | 0.05 | 2.20 | 2.04 | ||
Net Asset Value at end of period | $11.48 | $10.79 | $10.74 | $ 8.54 | ||
Total Return4 (%) | 6.436 | 0.66 | 26.48 | 31.576 | ||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $1,432 | $1,401 | $1,387 | $616 | ||
Ratios of expenses to average net assets | 1.377 | 1.36 | 1.36 | 1.367 | ||
Ratio of net investment income to average net assets (%) | 0.697 | 0.16 | 0.67 | 0.447 | ||
Portfolio Turnover8 (%) | 96 | 22 | 33 | 216 |
1 | Commenced investment operations on May 1, 2007. |
2 | Commenced investment operations on 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, 2012
Financial Highlights for a Share of Beneficial Interest Outstanding
INTERNATIONAL STOCK FUND | ||||||
(unaudited) Six Months Ended 6/30/12 | Year Ended December 31, | |||||
2011 | 2010 | 2009 | 2008 | 2007 | ||
CLASS I | ||||||
Net Asset Value at beginning of period | $ 9.03 | $ 9.99 | $ 9.53 | $ 7.59 | $13.40 | $13.78 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.15 | 0.19 | 0.14 | 0.17 | 0.26 | 0.23 |
Net realized and unrealized gain (loss) on investments | 0.38 | (0.96) | 0.53 | 1.95 | (5.27) | 1.36 |
Total from investment operations | 0.53 | (0.77) | 0.67 | 2.12 | (5.01) | 1.59 |
Less Distributions: | ||||||
Distributions from net investment income | – | (0.19) | (0.21) | (0.18) | (0.26) | (0.32) |
Distributions from capital gains | – | – | – | – | (0.54) | (1.65) |
Total distributions | – | (0.19) | (0.21) | (0.18) | (0.80) | (1.97) |
Net increase (decrease) in net asset value | 0.53 | (0.96) | 0.46 | 1.94 | (5.81) | (0.38) |
Net Asset Value at end of period | $ 9.56 | $ 9.03 | $ 9.99 | $ 9.53 | $ 7.59 | $13.40 |
Total Return3 (%) | 5.874 | (7.70) | 7.09 | 27.90 | (38.62) | 11.42 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $72,605 | $72,756 | $92,063 | $77,997 | $72,768 | $164,151 |
Ratios of expenses to average net assets (%) | 1.225 | 1.22 | 1.22 | 1.22 | 1.22 | 1.21 |
Ratio of net investment income to average net assets (%) | 3.115 | 1.90 | 1.48 | 2.08 | 2.45 | 1.60 |
Portfolio Turnover6 (%) | 224 | 38 | 79 | 87 | 43 | 62 |
CLASS II | (unaudited) Six Months Ended 6/30/12 | 2011 | 2010 | Inception to 12/31/091 | ||
Net Asset Value at beginning of period | $ 9.02 | $ 9.99 | $ 9.53 | $ 7.32 | ||
Income from Investment Operations: | ||||||
Net investment income2 | 0.14 | 0.16 | 0.09 | 0.04 | ||
Net realized and unrealized gain (loss) on investments | 0.38 | (0.96) | 0.56 | 2.33 | ||
Total from investment operations | 0.52 | (0.80) | 0.65 | 2.37 | ||
Less Distributions: | ||||||
Distributions from net investment income | – | (0.17) | (0.19) | (0.16) | ||
Net increase in net asset value | 0.52 | (0.97) | 0.46 | 2.21 | ||
Net Asset Value at end of period | $ 9.54 | $ 9.02 | $ 9.99 | $ 9.53 | ||
Total Return3 (%) | 5.744 | (7.91) | 6.83 | 32.304 | ||
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $16,443 | $15,407 | $13,241 | $3,962 | ||
Ratios of expenses to average net assets (%) | 1.475 | 1.47 | 1.47 | 1.485 | ||
Ratio of net investment income to average net assets (%) | 2.895 | 1.58 | 1.00 | 0.575 | ||
Portfolio Turnover6 (%) | 224 | 38 | 79 | 874 |
1 | Commenced investment operations on 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.
82
Ultra Series Fund | June 30, 2012
Financial Highlights for a Share of Beneficial Interest Outstanding
MADISON TARGET RETIREMENT 2020 FUND | ||||||
(unaudited) Six Months Ended 6/30/12 | Year Ended December 31, | Inception to 12/31/071 | ||||
2011 | 2010 | 2009 | 2008 | |||
CLASS I | ||||||
Net Asset Value at beginning of period | $ 7.82 | $ 8.06 | $ 7.64 | $ 6.04 | $ 9.63 | $10.00 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.09 | 0.22 | 0.20 | 0.15 | 0.22 | 0.13 |
Net realized and unrealized gain (loss) on investments | 0.25 | (0.04) | 0.49 | 1.59 | (3.60) | (0.32) |
Total from investment operations | 0.34 | 0.18 | 0.69 | 1.74 | (3.38) | (0.19) |
Less Distributions: | ||||||
Distributions from net investment income | – | (0.23) | (0.27) | (0.14) | (0.16) | (0.18) |
Distributions from capital gains | (0.03) | (0.19) | – | – | (0.05) | – |
Total distributions | (0.03) | (0.42) | (0.27) | (0.14) | (0.21) | (0.18) |
Net increase (decrease) in net asset value | 0.31 | (0.24) | 0.42 | 1.60 | (3.59) | (0.37) |
Net Asset Value at end of period | $8.13 | $7.82 | $ 8.06 | $ 7.64 | $ 6.04 | $ 9.63 |
Total Return3 (%) | 4.374 | 2.11 | 9.01 | 28.93 | (35.31) | (1.94)4 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $47,439 | $39,580 | $27,648 | $19,300 | $8,719 | $2,524 |
Ratios of expenses to average net assets | ||||||
Before reimbursement of expenses by adviser (%) | 0.305 | 0.26 | 0.40 | 0.41 | 0.40 | 0.435 |
After reimbursement of expenses by adviser (%) | 0.305 | 0.246 | 0.206 | 0.346 | 0.40 | 0.435 |
Ratio of net investment income to average net assets (%) | 2.285 | 2.70 | 2.61 | 2.24 | 2.80 | 5.175 |
Portfolio Turnover7 (%) | 484 | 114 | 51 | 78 | 74 | 34 |
1 | Commenced investment operations on 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 | Amount includes fees waived by the adviser through a contractual management fee reduction from 0.40% to 0.20% effective October 1, 2009 to February 16, 2011. Effective February 17, 2011 to August 31, 2011, the fee was permanently reduced to 0.20%. Effective September 1, 2011, shareholders approved a new fee arrangement which includes an advisory fee of 0.25% and services agreement fee of 0.05%. |
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, 2012
Financial Highlights for a Share of Beneficial Interest Outstanding
MADISON TARGET RETIREMENT 2030 FUND | ||||||
(unaudited) Six Months Ended 6/30/12 | Year Ended December 31, | Inception to 12/31/071 | ||||
2011 | 2010 | 2009 | 2008 | |||
CLASS I | ||||||
Net Asset Value at beginning of period | $ 7.49 | $ 7.90 | $ 7.41 | $ 5.75 | $ 9.54 | $10.00 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.08 | 0.19 | 0.18 | 0.12 | 0.18 | 0.09 |
Net realized and unrealized gain (loss) on investments | 0.27 | (0.09) | 0.52 | 1.65 | (3.82) | (0.34) |
Total from investment operations | 0.35 | 0.10 | 0.70 | 1.77 | (3.64) | (0.25) |
Less Distributions: | ||||||
Distributions from net investment income | – | (0.20) | (0.21) | (0.11) | (0.11) | (0.21) |
Distributions from capital gains | (0.02) | (0.31) | – | – | (0.04) | – |
Total distributions | (0.02) | (0.51) | (0.21) | (0.11) | (0.15) | (0.21) |
Net increase (decrease) in net asset value | 0.33 | (0.41) | 0.49 | 1.66 | (3.79) | (0.46) |
Net Asset Value at end of period | $ 7.82 | $ 7.49 | $ 7.90 | $ 7.41 | $ 5.75 | $ 9.54 |
Total Return3 (%) | 4.694 | 1.16 | 9.56 | 30.94 | (38.35) | (2.51)4 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $56,633 | $45,404 | $31,279 | $19,330 | $8,010 | $1,521 |
Ratios of expenses to average net assets | ||||||
Before reimbursement of expenses by adviser (%) | 0.305 | 0.26 | 0.40 | 0.41 | 0.40 | 0.445 |
After reimbursement of expenses by adviser (%) | 0.305 | 0.246 | 0.206 | 0.346 | 0.40 | 0.445 |
Ratio of net investment income to average net assets (%) | 2.015 | 2.43 | 2.42 | 1.87 | 2.38 | 3.535 |
Portfolio Turnover7 (%) | 484 | 108 | 43 | 78 | 52 | 154 |
1 | Commenced investment operations on 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 | Amount includes fees waived by the adviser through a contractual management fee reduction from 0.40% to 0.20% effective October 1, 2009 to February 16, 2011. Effective February 17, 2011 to August 31, 2011, the fee was permanently reduced to 0.20%. Effective September 1, 2011, shareholders approved a new fee arrangement which includes an advisory fee of 0.25% and services agreement fee of 0.05%. |
7 | 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, 2012
Financial Highlights for a Share of Beneficial Interest Outstanding
MADISON TARGET RETIREMENT 2040 FUND | ||||||
(unaudited) Six Months Ended 6/30/12 | Year Ended December 31, | Inception to 12/31/071 | ||||
2011 | 2010 | 2009 | 2008 | |||
CLASS I | ||||||
Net Asset Value at beginning of period | $ 7.06 | $ 7.60 | $ 7.07 | $ 5.43 | $ 9.48 | $10.00 |
Income from Investment Operations: | ||||||
Net investment income2 | 0.06 | 0.16 | 0.15 | 0.08 | 0.14 | 0.07 |
Net realized and unrealized gain (loss) on investments | 0.29 | (0.12) | 0.55 | 1.63 | (4.06) | (0.36) |
Total from investment operations | 0.35 | 0.04 | 0.70 | 1.71 | (3.92) | (0.29) |
Less Distributions: | ||||||
Distributions from net investment income | – | (0.17) | (0.17) | (0.07) | (0.08) | (0.23) |
Distributions from capital gains | (0.01) | (0.41) | – | – | (0.05) | – |
Total distributions | (0.01) | (0.58) | (0.17) | (0.07) | (0.13) | (0.23) |
Net increase (decrease) in net asset value | 0.34 | (0.54) | 0.53 | 1.64 | (4.05) | (0.52) |
Net Asset Value at end of period | $ 7.40 | $ 7.06 | $ 7.60 | $ 7.07 | $ 5.43 | $ 9.48 |
Total Return3 (%) | 4.914 | 0.47 | 9.97 | 31.64 | (41.65) | (2.86)4 |
Ratios/Supplemental Data: | ||||||
Net Assets at end of period (in 000’s) | $41,339 | $35,182 | $26,147 | $16,656 | $6,385 | $1,193 |
Ratios of expenses to average net assets | ||||||
Before reimbursement of expenses by adviser (%) | 0.305 | 0.26 | 0.40 | 0.41 | 0.40 | 0.445 |
After reimbursement of expenses by adviser (%) | 0.305 | 0.246 | 0.206 | 0.346 | 0.40 | 0.445 |
Ratio of net investment income to average net assets (%) | 1.725 | 2.11 | 2.14 | 1.22 | 1.99 | 2.765 |
Portfolio Turnover7 (%) | 554 | 115 | 40 | 86 | 62 | 14 |
1 | Commenced investment operations on 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 | Amount includes fees waived by the adviser through a contractual management fee reduction from 0.40% to 0.20% effective October 1, 2009 to February 16, 2011. Effective February 17, 2011 to August 31, 2011, the fee was permanently reduced to 0.20%. Effective September 1, 2011, shareholders approved a new fee arrangement which includes an advisory fee of 0.25% and services agreement fee of 0.05%. |
7 | 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, 2012
Financial Highlights for a Share of Beneficial Interest Outstanding
MADISON TARGET RETIREMENT 2050 FUND | ||
(unaudited) Six Months Ended 6/30/12 | (unaudited) Inception to 12/31/111 | |
CLASS I | ||
Net Asset Value at beginning of period | $9.75 | $10.00 |
Income from Investment Operations: | ||
Net investment income2 | 0.08 | 0.26 |
Net realized and unrealized gain (loss) on investments | 0.42 | (0.36) |
Total from investment operations | 0.50 | (0.10) |
Less Distributions: | ||
Distributions from net investment income | – | (0.14) |
Distributions from return of capital | – | (0.01) |
Total distributions | – | (0.15) |
Net increase in net asset value | 0.50 | (0.25) |
Net Asset Value at end of period | $10.25 | $9.75 |
Total Return3 (%) | 5.134 | (1.03)4 |
Ratios/Supplemental Data: | ||
Net Assets at end of period (in 000’s) | $4,254 | $2,236 |
Ratios of expenses to average net assets | ||
Before reimbursement of expenses by adviser (%) | 0.305 | 0.265 |
After reimbursement of expenses by adviser (%) | 0.305 | 0.265,6 |
Ratio of net investment income to average net assets (%) | 1.555 | 2.615 |
Portfolio Turnover7 (%) | 424 | 754 |
1 | Commenced investment operations on January 3, 2011. |
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 | Amount includes fees waived by the adviser through a contractual management fee reduction from 0.40% to 0.20% effective October 1, 2009 to February 16, 2011. Effective February 17, 2011 to August 31, 2011, the fee was permanently reduced to 0.20%. Effective September 1, 2011, shareholders approved a new fee arrangement which includes an advisory fee of 0.25% and services agreement fee of 0.05%. |
7 | 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, 2012
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, at the end of the period covered by this report, 17 investment portfolios (individually, a "fund," and collectively, the "funds’’), each with different investment objectives and policies. The funds currently available at the end of the period were the Money Market Fund, Bond Fund, High Income Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Fund, Small Cap Fund, Equity Income 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"). Effective July 31, 2012, the Equity Income Fund was liquidated.
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 CMFG Life Insurance Company (formerly known as CUNA Mutual Insurance Society) and to qualified pension and retirement plans of CMFG Life Insurance Company or it’s 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, including American Depository Receipts ("ADRs"), Global Depository Receipts ("GDRs") 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 on the basis of last available bid prices or current market quotations provided by dealers or pricing services approved by the Trust. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships
87
Ultra Series Fund | June 30, 2012
Notes to Financial Statements (unaudited)
observed in the market between investments and calculated yield measures based on valuation technology commonly employed in the market for such investments. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche.
Investments in shares of open-end 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 Allocation Fund and each Target Date Fund consist primarily of shares of underlying funds, the NAV of each fund is determined based on the NAVs 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 best ask prices across all option exchanges. Futures contracts generally are valued at the settlement price established by the exchange(s) on which the contracts are primarily 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, if any, 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
88
Ultra Series Fund | June 30, 2012
Notes to Financial Statements (unaudited)
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.
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.
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, 2012, 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.
In April 2011, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2011-03 "Reconsideration of Effective Control of Repurchase Agreements." ASU 2011-03 is an amendment to Topic 860 "Transfers and Servicing." These amendments simplify the accounting for repurchase agreements by eliminating the requirement that the transferor demonstrate it has adequate collateral to fund substantially all the cost of purchasing replacement assets. As a result, more arrangements could be accounted for as secured borrowings rather than sales. The guidance applies to public and nonpublic companies and is effective for interim and annual reporting periods beginning on or after December 15, 2011. The guidance should be applied prospectively to transactions or modifications of existing transactions that occur on or after the effective date. The Investment Adviser has determined that the updated standards have no material impact on the funds’ financial statements.
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. The funds enter into contracts on the trade date to settle any securities transactions denominated in foreign currencies on behalf of the funds at the spot rate of settlement.
89
Ultra Series Fund | June 30, 2012
Notes to Financial Statements (unaudited)
Each fund, except the Money Market Fund, which can only invest in U.S. dollar-denominated foreign money market securities, 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. Only the International Stock Fund had net realized gains, and that amount of $103,300 is included in the Statements of Operations under the heading "Net realized gain (loss) on investments" for that fund.
The funds do not isolate the portion of unrealized 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 unrealized gain or loss on investments for financial reporting purposes.
Forward Foreign Currency Exchange Contracts: Each fund, except the Money Market Fund, may purchase and sell forward foreign currency exchange contracts for defensive or hedging purposes. When entering into forward foreign currency exchange contracts, the funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily. The funds’ net assets reflect unrealized gains or losses on the contracts as measured by the difference between the forward foreign currency exchange rates at the dates of entry into the contracts and 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, 2012, none of the funds had open forward foreign currency exchange contracts.
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, 2012, none of the funds had open futures contracts.
Illiquid Securities: 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, 2012, 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 Funds were $16,032,329, $487,500 and $8,181,844, respectively, which represent 3.9%, 0.5% and 2.0% of net assets, respectively. Pursuant to guidelines adopted by the Board of Trustees, certain unregistered securities are determined to be liquid and are not included within the
90
Ultra Series Fund | June 30, 2012
Notes to Financial Statements (unaudited)
percent limitations specified above. Information concerning the illiquid securities held at June 30, 2012, which includes cost and acquisition date, is as follows:
Security | Acquisition Date | Acquisition Cost |
Bond Fund | ||
American Association of Retired Persons | 5/16/02 | $ 2,621,772 |
ERAC USA Finance LLC | 12/16/04 | 4,766,418 |
Indianapolis Power & Light Co. | 10/02/06 | 3,424,683 |
WM Wrigley Jr. Co. | 6/21/10 | 3,169,136 |
$13,982,009 | ||
High Income Fund | ||
Ferro Corp. | 8/5/10 | $ 500,000 |
$ 500,000 | ||
Diversified Income Fund | ||
American Association of Retired Persons | 5/16/02 | $ 2,097,417 |
ERAC USA Finance LLC | 12/16/04 | 2,004,062 |
Indianapolis Power & Light Co. | 10/2/06 | 1,545,829 |
WM Wrigley Jr. Co. | 6/21/10 | 1,309,643 |
$ 6,956,951 |
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, 2012, none of the funds had entered into such transactions.
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 – unadjusted quoted prices in active markets for identical investments |
91 |
Ultra Series Fund | June 30, 2012
Notes to Financial Statements (unaudited) |
•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.) |
•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, 2012 maximized the use of observable inputs and minimized the use of unobservable inputs. The funds utilized the multi-dimensional relational pricing model and option adjusted spread pricing fair value techniques. The funds also estimated the price that would have prevailed in a liquid market for an international equity security given information available at the time of evaluation. As of and during the period ended June 30, 2012, none of the funds held securities deemed as a Level 3, and there were no transfers between classification levels.
The following is a summary of the inputs used as of June 30, 2012 in valuing the funds’ investments carried at market value (please see the Portfolio of Investments for each fund for a listing of all securities within each caption):
Fund | Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Value at 6/30/12 |
Conservative Allocation1 | $234,420,274 | $ – | $ – | $234,420,274 |
Moderate Allocation1 | 389,283,931 | – | – | 389,283,931 |
Aggressive Allocation1 | 140,243,831 | – | – | 140,243,831 |
Money Market2 | 2,191,590 | 51,442,630 | – | 53,634,220 |
Bond | ||||
Asset Backed | – | 8,075,724 | – | 8,075,724 |
Corporate Notes and Bonds | – | 111,477,567 | – | 111,477,567 |
Mortgage Backed | – | 72,203,243 | – | 72,203,243 |
U.S. Government and Agency Obligations | – | 186,958,521 | – | 186,958,521 |
Investment Companies | 18,917,047 | – | – | 18,917,047 |
18,917,047 | 378,715,055 | – | 397,632,102 | |
High Income | ||||
Corporate Notes and Bonds | – | 89,794,053 | – | 89,794,053 |
Investment Companies | 4,438,740 | – | – | 4,438,740 |
4,438,740 | 89,794,053 | – | 94,232,793 | |
Diversified Income | ||||
Common Stocks | 216,259,118 | – | – | 216,259,118 |
Asset Backed | – | 2,681,364 | – | 2,681,364 |
Corporate Notes and Bonds | – | 65,205,878 | – | 65,205,878 |
Mortgage Backed | – | 31,158,460 | – | 31,158,460 |
U.S. Government and Agency Obligations | – | 63,381,465 | – | 63,381,465 |
Investment Companies | 22,635,736 | – | – | 22,635,736 |
238,894,854 | 162,427,167 | – | 401,322,021 |
1 At June 30, 2012, all investments are Level 1. See each fund’s respective Portfolio of Investments for more information with respect to individual securities. |
2 At June 30, 2012, all Level 2 securities held are short term investments. See each fund’s respective Portfolio of Investments for more information with respect to individual securities. |
92
Ultra Series Fund | June 30, 2012
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 6/30/12 |
Equity Income | ||||
Assets | ||||
Common Stocks | $ 2,375,009 | $ – | $ – | $ 2,375,009 |
Repurchase Agreement | – | 113,060 | – | 113,060 |
2,375,009 | 113,060 | – | 2,488,069 | |
Liabilities: | ||||
Options Written | 44,276 | – | – | 44,276 |
Large Cap Value | ||||
Common Stocks | 497,902,570 | – | – | 497,902,570 |
Investment Companies | 17,932,879 | – | – | 17,932,879 |
515,835,449 | – | – | 515,835,449 | |
Large Cap Growth | ||||
Common Stocks | 350,446,049 | – | – | 350,446,049 |
Investment Companies | 7,653,483 | – | – | 7,653,483 |
358,099,532 | – | – | 358,099,532 | |
Mid Cap | ||||
Common Stocks | 344,392,134 | – | – | 344,392,134 |
Investment Companies | 19,931,673 | – | – | 19,931,673 |
364,323,807 | – | – | 364,323,807 | |
Small Cap | ||||
Common Stocks | 12,379,234 | – | – | 12,379,234 |
Investment Companies | 277,075 | – | – | 277,075 |
12,656,309 | – | – | 12,656,309 | |
International Stock | ||||
Common Stocks | ||||
Australia | – | 5,638,301 | – | 5,638,301 |
Belgium | – | 3,156,666 | – | 3,156,666 |
Brazil | – | 1,629,042 | – | 1,629,042 |
Canada | – | 2,078,999 | – | 2,078,999 |
China | – | 599,910 | – | 599,910 |
Denmark | – | 960,807 | – | 960,807 |
Finland | – | 1,056,994 | – | 1,056,994 |
France | – | 9,884,296 | – | 9,884,296 |
Germany | – | 7,426,150 | – | 7,426,150 |
Indonesia | 791,152 | – | – | 791,152 |
Ireland | 714,400 | – | – | 714,400 |
Italy | – | 761,847 | – | 761,847 |
Japan | – | 12,398,472 | – | 12,398,472 |
Mexico | 161,405 | – | – | 161,405 |
Netherlands | – | 1,425,220 | – | 1,425,220 |
New Zealand | – | 728,705 | – | 728,705 |
Russia | – | 1,332,738 | – | 1,332,738 |
South Korea | – | 2,546,471 | – | 2,546,471 |
Spain | – | 2,224,802 | – | 2,224,802 |
Sweden | – | 3,437,144 | – | 3,437,144 |
Switzerland | – | 3,146,045 | – | 3,146,045 |
Turkey | – | 469,849 | – | 469,849 |
United Kingdom | – | 22,536,801 | – | 22,536,801 |
Investment Companies | 3,667,581 | – | – | 3,667,581 |
5,334,538 | 83,439,259 | – | 88,773,797 | |
Madison Target Retirement 20201 | 47,228,011 | –– | – | 47,228,011 |
Madison Target Retirement 20301 | 56,423,809 | – | – | 56,423,809 |
Madison Target Retirement 20401 | 41,584,929 | – | – | 41,584,929 |
Madison Target Retirement 20501 | 4,255,782 | – | – | 4,255,782 |
1 At June 30, 2012, all investments are Level 1. See each fund’s respective Portfolio of Investments for more information with respect to individual securities. |
93
Ultra Series Fund | June 30, 2012
Notes to Financial Statements (unaudited)
In May 2011, FASB issued ASU 2011-04, modifying Topic 820, Fair Value Measurements and Disclosures. At the same time, the International Accounting Standards Board ("IASB") issued International Financial Reporting Standard ("IFRS") 13, Fair Value Measurement. The objective of these FASB and IASB pronouncements was to converge guidance on fair value measurements and disclosures. The effective date of ASU 2011-04 is for interim and annual periods beginning after December 15, 2011. The funds have adopted the disclosures required by this update.
Derivatives: The FASB issued guidance intended to enhance financial statement disclosures for derivative instruments and hedging activities and enable investors to understand: a) how and why a fund uses derivative instruments, b) how derivative instruments and related hedge fund items are accounted for, and c) how derivative instruments and related hedge items affect a fund’s financial position, results of operations and cash flows.
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, 2012.
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 | $44,276 |
The following table presents the effect of Derivative Instruments on the Statement of Operations of the Equity Income Fund for the period ended June 30, 2012:
Derivatives not accounted for as hedging instruments | Realized Gain on Derivatives: | Change in Unrealized Appreciation on Derivatives |
Equity contracts | $136,569 | $(59,525) |
The Investment Adviser 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.
New Accounting Pronouncements: In December 2011, the International Accounting Standards Board (IASB) and the FASB issued ASU 2011-11 "Disclosures about Offsetting Assets And Liabilities." These common disclosure requirements are intended to help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on a portfolio’s financial position. They also improve transparency in the reporting of how companies mitigate credit risk, including disclosure of related collateral pledged or received. In addition, ASU 2011-11 facilitates comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of IFRS. ASU 2011-11 requires entities to disclose both gross and net information about both instruments and transactions eligible for offset in the financial position; and disclose instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2011-11 is effective for fiscal years beginning on or after January 1, 2013, and interim periods within those annual periods. The Investment Adviser is currently evaluating the implications of ASU 2011-11 and its impact on financial statements disclosures.
3. MANAGEMENT, SERVICES AND DISTRIBUTION AGREEMENTS
Management Agreement: For services under the Management Agreement, the Investment Advisor is entitled to receive a management fee, which is calculated daily and paid monthly, at an annual rate based upon the following percentages of
94
Ultra Series Fund | June 30, 2012
Notes to Financial Statements (unaudited)
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 and 0.25% for each of the Target Date Funds.
The Management Agreement requires the Investment Adviser to provide or arrange to provide overall management of the funds, including but not limited to, investment advisory services, custody, transfer agency, dividend disbursing, legal, accounting and administrative services. It does not include Trustee compensation or the fees paid to the Trust’s independent Registered Public Accountant.
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 without the aid of a Subadviser.
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 Fund 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, 2012, the waivers totaled $111,556 for Class I Shares and $872 for Class II Shares and are reflected as fees waived by the Investment Advisor in the accompanying Statement of Operations. The Investment Adviser does not have the right to recoup these waived fees.
Services Agreement: Effective September 1, 2011, the Investment Adviser entered into a services agreement ("Services Agreement") for the Target Date Funds. Under this Services Agreement, Madison provides either directly or through outsourced arrangements all operational and support services of the Target Date Funds not provided under the Management Agreement discussed above. Under this Services Agreement, Madison receives a fee of 0.05% (annualized) of the average daily net assets of each Target Date Fund. In exchange for the aforementioned fee, Madison is responsible for paying all of the funds’ fees and expenses, other than (i) the management fee (described above), (ii) fees related to the funds’ portfolio holdings (such as brokerage commissions, interest on loans, etc.), (iii) acquired fund fees, and (iv) extraordinary or non-recurring fees (such as fees and costs relating to any temporary line of credit the funds may maintain for emergency or extraordinary purposes). The direct expenses of the funds’ independent Trustees and independent auditors are paid out of this fee by the funds. Pursuant to the Services Agreement, Madison has also agreed, until April 30, 2013, to waive and/or reimburse investment advisory fees and/or its services fee to the extent necessary to limit each fund’s total operating expenses and underlying fees and expenses to 0.65% of average daily net assets of each Target Date Fund. In applying this waiver, Madison must utilize good faith estimates of the fees and expenses of the underlying funds. The Investment Adviser does not have the right to recoup these waived fees.
Distribution Agreement. Mosaic Funds Distributor, LLC ("MFD") serves as distributor of the funds. The Trust adopted a distribution and service plan with respect to the Trust’s Class II shares pursuant to Rule 12b-1 under the 1940 Act. Under the plan, the Trust will pay a service fee with regard to Class II shares at an annual rate of 0.25% of each fund’s daily net assets. MFD arranges to provide compensation to others that provide 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 Fund Class II shares for the purpose of
95
Ultra Series Fund | June 30, 2012
Notes to Financial Statements (unaudited)
maintaining a one-day yield of zero. For the period ended June 30, 2012, the waivers totaled $547 and are reflected as fees waived in the accompanying Statement of Operations. Neither MFD nor the Investment Adviser has the right to recoup these waived fees.
Other Expenses: In addition to the management fee, the Trust, except for the Target Date Funds effective September 1, 2011, 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. Effective September 1, 2011, the fees for the disinterested trustees and independent audit are paid out of the Services Agreement fee (noted above) for the Target Date Funds.
Certain officers and trustees of the Trust are also officers of the Investment Adviser. The funds do not compensate their officers or affiliated trustees. Unaffiliated trustees receive from the Trust an attendance fee for each Board or Committee meeting attended, with additional remuneration paid to Audit Committee and Nominating and Governance Committee Chairpersons.
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, 2012, 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 | $ – | $ – | $ 50,833,194 | $ 46,627,587 |
Moderate Allocation | – | – | 102,595,687 | 98,662,814 |
Aggressive Allocation | – | – | 55,259,732 | 52,701,031 |
Bond | 20,463,278 | 26,450,000 | 1,077,073 | 9,203,088 |
High Income | – | – | 25,625,300 | 25,522,275 |
Diversified Income | 3,006,221 | 5,837,000 | 11,531,171 | 20,135,872 |
Equity Income | – | – | 394,684 | 807,236 |
Large Cap Value | – | – | 61,263,829 | 66,126,267 |
Large Cap Growth | – | – | 156,770,751 | 175,482,290 |
Mid Cap | – | – | 45,185,262 | 74,876,217 |
Small Cap | – | – | 1,159,099 | 1,583,430 |
International Stock | – | – | 19,027,771 | 23,102,578 |
Madison Target Retirement 2020 | – | – | 28,197,436 | 20,493,385 |
Madison Target Retirement 2030 | – | – | 35,154,451 | 24,192,473 |
Madison Target Retirement 2040 | – | – | 26,594,026 | 20,623,824 |
Madison Target Retirement 2050 | – | – | 3,367,883 | 1,322,759 |
96
Ultra Series Fund | June 30, 2012
Notes to Financial Statements (unaudited)
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, 2012 were as follows:
Number of Contracts | Premiums Received | |
Options outstanding, beginning of period | 691 | $140,153 |
Options written during the period | 684 | 127,530 |
Options expired during the period | (481) | (97,533) |
Options closed during the period | (446) | (95,395) |
Options assigned during the period | (225) | (39,586) |
Options outstanding, end of period | 223 | $ 35,169 |
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. These receivables are reviewed to ensure the current receivable balance is reflective of the amount deemed to be collectible.
8. SECURITIES LENDING
Each fund, except the Target Allocation, Money Market, Small Cap, Equity Income and Target Retirement Funds, entered into a Securities Lending Agreement (the "Agreement") with State Street Bank and Trust Company ("State Street"). Under the terms of the Agreement, the funds may lend portfolio securities to qualified borrowers in order to earn additional income. The 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.
97
Ultra Series Fund | June 30, 2012
Notes to Financial Statements (unaudited)
The funds did not transact in securities lending for the time period ending on June 30, 2012 and had no securities out on loan as of June 30, 2012.
9. TAX INFORMATION
For federal income tax purposes, the funds listed below have capital loss carryovers as of December 31, 2011, which are available to offset future capital gains, if any.
Fund | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 | No Expiration-Short Term |
Conservative Allocation | $ – | $ – | $ – | $ – | $ – | $ 5,943,248 | $ – | $ – |
Moderate Allocation | – | – | – | – | 16,343,850 | 20,811,527 | 9,937,108 | – |
Aggressive Allocation | – | – | – | – | 3,992,723 | 6,205,447 | 6,513,626 | – |
Bond | 456,699 | 1,445,891 | 816,322 | 228,563 | – | 9,584,651 | 346,309 | – |
High Income | – | – | – | – | 6,713,643 | 4,641,635 | – | – |
Diversified Income | – | – | – | – | – | 31,758,091 | – | – |
Large Cap Value | – | – | – | – | 53,372,166 | 41,852,552 | – | – |
Large Cap Growth | – | – | – | – | – | 17,039,570 | – | – |
Mid Cap | – | – | – | 13,912 | 30,807,814 | 41,679,580 | – | – |
Small Cap | – | – | – | – | 1,012,575 | 416,408 | – | – |
International Stock | – | – | – | 751,246 | 8,819,661 | 21,825,302 | 1,915,037 | 2,418,733 |
Madison Target Retirement 2050 | – | – | – | – | – | – | – | 5,446 |
Included in the net capital loss carryovers for Mid Cap Fund, Small Cap Fund and International Stock Fund is $30,821,726, $1,012,575, and $11,114,891, respectively, of capital loss carryovers subject to certain limitations upon availability, to offset future gains, if any, as the successor of a merger. These acquired losses are included in the total losses available noted above.
At June 30, 2012, 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:
Fund | Appreciation | Depreciation | Net |
Conservative Allocation | $11,966,048 | $ 707,798 | $11,258,250 |
Moderate Allocation | 28,862,304 | 1,608,744 | 27,253,560 |
Aggressive Allocation | 12,520,463 | 688,160 | 11,832,303 |
Bond | 37,352,357 | 3,377,102 | 33,975,255 |
High Income | 4,122,455 | 228,546 | 3,893,909 |
Diversified Income | 55,002,884 | 4,553,349 | 50,449,535 |
Equity Income | 87,856 | 402,311 | (314,455) |
Large Cap Value | 83,379,499 | 13,834,145 | 69,545,354 |
Large Cap Growth | 73,756,393 | 13,839,170 | 59,917,223 |
Mid Cap | 66,945,310 | 4,786,851 | 62,158,459 |
Small Cap | 2,804,229 | 210,230 | 2,593,999 |
International Stock | 9,211,129 | 3,560,898 | 5,650,231 |
Madison Target Retirement 2020 | 1,017,497 | 76,224 | 941,273 |
Madison Target Retirement 2030 | 1,281,360 | 190,528 | 1,090,832 |
Madison Target Retirement 2040 | 937,935 | 196,900 | 741,035 |
Madison Target Retirement 2050 | 66,330 | 8,893 | 57,437 |
The differences between cost amounts for book purposes and tax purposes are primarily due to the tax deferral of losses.
98
Ultra Series Fund | June 30, 2012
Notes to Financial Statements (unaudited)
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, but are not limited to, 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 High Income Fund generally invests at least 80% of its assets in high yield securities.
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 the fund(s) selected to fulfill a particular asset class underperforms its peers. 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 underperform other funds with a similar investment objective.
While investments in stocks and bonds have been keystones in wealth building and management for a hundred years, at times these investments have produced surprises for even the savviest investors. Those who enjoyed growth and income of their investments were rewarded for the risks they took by investing in the markets. When calamity strikes, the word "security" itself seems a misnomer. Although the Investment Adviser seeks to appropriately address and manage the risks identified and disclosed to you in connection with the management of the securities in the Funds, you should understand that the very nature of the securities markets includes the possibility that there may be additional risks of which we are not aware. We certainly seek to identify all applicable risks and then appropriately address them, take appropriate action to reasonably manage them and, of course, to make you aware of them so you can determine if they exceed your risk tolerance. Nevertheless, the often volatile nature of the securities markets and the global economy in which we work suggests that the risk of the unknown is something you must consider in connection with your investments in securities. Unforeseen events
99
Ultra Series Fund | June 30, 2012
Notes to Financial Statements (unaudited)
have the potential to upset the best laid plans of man, and could, under certain circumstances produce a material loss of the value of some or all of the securities we manage for you in the funds.
11. CAPITAL SHARES AND AFFILIATED OWNERSHIP
All capital shares outstanding at June 30, 2012, are owned by separate investment accounts and/or pension plans of CMFG Life Insurance Company except for the Equity Income Fund, which had capital shares outstanding held by the Advisor at NAV of $504,005 in Class I and $55,718 in Class II.
The Target Allocation 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, 2011 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, 2011 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, 2012 follows:
Fund/Underlying Fund | Balance of Shares Held at 12/31/11 | Gross Additions | Gross Sales | Balance of Shares Held at 6/30/12 | Value at 6/30/12 | Realized Gain (Loss) | Distributions Received1 |
Conservative Allocation Fund | |||||||
Madison Investment Grade Corporate Bond Fund | 1,205,357 | 48,199 | – | 1,253,556 | $ 14,328,140 | $ – | $ 146,041 |
Madison Mosaic Disciplined Equity Fund | 881,454 | 72,348 | 76,686 | 877,116 | 11,876,152 | 73,594 | – |
Madison Mosaic Institutional Bond Fund | 1,756,767 | – | – | 1,756,767 | 19,693,363 | – | 111,724 |
MEMBERS Bond Fund Class Y | 3,695,022 | – | 881,208 | 2,813,814 | 29,938,984 | 690,071 | 443,026 |
MEMBERS Equity Income Fund Class Y | 1,388,402 | 103,331 | 130,168 | 1,311,565 | 12,643,483 | (108,295) | 554,574 |
MEMBERS High Income Fund Class Y | 2,807,172 | – | 446,472 | 2,360,700 | 16,548,505 | 99,023 | 553,318 |
MEMBERS International Stock Fund Class Y | 423,641 | 149,955 | – | 573,596 | 5,753,168 | – | – |
MEMBERS Large Cap Growth Fund Class Y | 439,308 | 193,276 | 3,382 | 629,202 | 10,583,182 | 12,443 | – |
MEMBERS Large Cap Value Fund Class Y | 1,003,905 | 46,290 | 207,559 | 842,636 | 11,341,875 | 423,284 | – |
Totals | $132,706,852 | $1,190,120 | $1,808,683 |
Moderate Allocation Fund | |||||||
Madison Mosaic Disciplined Equity Fund | 2,379,388 | – | 76,336 | 2,303,052 | $ 31,183,323 | $ 132,061 | $ – |
Madison Mosaic Institutional Bond Fund | 1,538,367 | 44,924 | – | 1,583,291 | 17,748,693 | – | 100,691 |
NorthRoad International Fund Class Y | – | 1,378,003 | – | 1,378,003 | 12,884,329 | – | – |
MEMBERS Bond Fund Class Y | 3,954,926 | – | 518,027 | 3,436,899 | 36,568,606 | 398,228 | 512,241 |
MEMBERS Equity Income Fund Class Y | 1,523,183 | 28,930 | 25,773 | 1,526,340 | 14,713,914 | (15,464) | 609,907 |
MEMBERS High Income Fund Class Y | 4,596,563 | 72,464 | 798,266 | 3,870,761 | 27,134,036 | (88,520) | 951,000 |
MEMBERS International Stock Fund Class Y | 1,961,026 | – | 1,303,902 | 657,124 | 6,590,957 | 814,888 | – |
MEMBERS Large Cap Growth Fund Class Y | 1,726,326 | 43,205 | 47,406 | 1,722,125 | 28,966,142 | 67,952 | – |
MEMBERS Large Cap Value Fund Class Y | 2,645,715 | – | 316,801 | 2,328,914 | 31,347,185 | (280,824) | – |
MEMBERS Mid Cap Fund Class Y2 | 1,421,439 | 705,176 | – | 2,126,615 | 15,545,554 | – | – |
MEMBERS Small Cap Fund Class Y | 794,942 | – | 108,410 | 686,532 | 7,847,066 | 352,798 | – |
Totals | $230,529,805 | $1,381,119 | $2,173,839 |
100
Ultra Series Fund | June 30, 2012
Notes to Financial Statements (unaudited)
Fund/Underlying Fund | Balance of Shares Held at 12/31/11 | Gross Additions | Gross Sales | Balance of Shares Held at 6/30/12 | Value at 6/30/12 | Realized Gain (Loss) | Distributions Received1 |
Aggressive Allocation Fund | |||||||
Madison Mosaic Disciplined Equity Fund | 1,318,039 | 11,372 | 81,276 | 1,248,135 | $ 16,899,754 | $ 114,752 | $ – |
NorthRoad International Fund Class Y | – | 595,750 | – | 595,750 | 5,570,264 | – | – |
MEMBERS Equity Income Fund Class Y | 301,130 | 109,648 | 18,267 | 392,511 | 3,783,803 | (6,576) | 160,658 |
MEMBERS High Income Fund Class Y | 1,549,510 | 49,558 | 474,119 | 1,124,949 | 7,885,889 | 557,952 | 301,728 |
MEMBERS International Stock Fund Class Y | 797,169 | 14,465 | 543,279 | 268,355 | 2,691,604 | 558,966 | – |
MEMBERS Large Cap Growth Fund Class Y | 821,449 | 91,467 | 10,491 | 902,425 | 15,178,792 | 17,478 | – |
MEMBERS Large Cap Value Fund Class Y | 1,238,799 | 30,746 | 80,797 | 1,188,748 | 16,000,546 | (29,602) | – |
MEMBERS Mid Cap Fund Class Y2 | 903,562 | 537,257 | – | 1,440,819 | 10,532,386 | – | – |
MEMBERS Small Cap Fund Class Y | 374,420 | – | 59,334 | 315,086 | 3,601,435 | 153,781 | – |
Totals | $ 82,144,473 | $1,366,751 | $ 462,386 |
1 Distributions received include distributions from net investment income and from capital gains from the underlying funds. |
2 Non-income producing. |
12. SUBSEQUENT EVENTS
On May 11, 2012, the Board of Trustees of the Equity Income Fund approved the liquidation of the fund on July 31, 2012. The fund was liquidated and its assets were distributed to shareholders in cash on July 31, 2012.
Management has evaluated the impact of all subsequent events on the funds’ financial statements. Other than the liquidation noted above, there were no subsequent events requiring adjustment to, or disclosure in the financial statements.
101
Ultra Series Fund | June 30, 2012
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, 2012. 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 182/366 (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 | $1,039.90 | 0.31% | $1.57 | $1,038.60 | 0.56% | $2.84 | |
Moderate Allocation | 1,000 | 1,047.40 | 0.31% | 1.58 | 1,046.10 | 0.56% | 2.85 | |
Aggressive Allocation | 1,000 | 1,046.60 | 0.31% | 1.58 | 1,045.30 | 0.56% | 2.85 | |
Money Market | 1,000 | 1,000.00 | 0.08% | 0.40 | 1,000.00 | 0.07% | 0.35 | |
Bond | 1,000 | 1,018.10 | 0.56% | 2.81 | 1,016.90 | 0.81% | 4.06 | |
High Income | 1,000 | 1,053.90 | 0.76% | 3.88 | 1,052.60 | 1.01% | 5.15 | |
Diversified Income | 1,000 | 1,047.30 | 0.71% | 3.61 | 1,046.00 | 0.96% | 4.88 | |
Equity Income | 1,000 | 1,051.92 | 0.91% | 4.74 | 1,051.50 | 1.16% | 6.06 | |
Large Cap Value | 1,000 | 1,071.40 | 0.61% | 3.14 | 1,070.10 | 0.86% | 4.43 | |
Large Cap Growth | 1,000 | 1,067.20 | 0.82% | 4.21 | 1,065.90 | 1.07% | 5.50 | |
Mid Cap | 1,000 | 1,077.80 | 0.91% | 4.70 | 1,076.50 | 1.16% | 5.99 | |
Small Cap | 1,000 | 1,065.60 | 1.12% | 5.75 | 1,064.30 | 1.37% | 7.03 | |
International Stock | 1,000 | 1,058.70 | 1.22% | 6.24 | 1,057.40 | 1.47% | 7.52 | |
Madison Target Retirement 2020 | 1,000 | 1,043.70 | 0.30% | 1.52 | ||||
Madison Target Retirement 2030 | 1,000 | 1,046.90 | 0.30% | 1.53 | ||||
Madison Target Retirement 2040 | 1,000 | 1,049.10 | 0.30% | 1.53 | ||||
Madison Target Retirement 2050 | 1,000 | 1,051.30 | 0.30% | 1.53 |
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.
102
Ultra Series Fund | June 30, 2012
Other Information (unaudited)
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 | $1,023.32 | 0.31% | $1.56 | $1,022.08 | 0.56% | $2.82 | |
Moderate Allocation | 1,000 | 1,023.32 | 0.31% | 1.56 | 1,022.08 | 0.56% | 2.82 | |
Aggressive Allocation | 1,000 | 1,023.32 | 0.31% | 1.56 | 1,022.08 | 0.56% | 2.82 | |
Money Market | 1,000 | 1,024.47 | 0.08% | 0.40 | 1,024.52 | 0.07% | 0.35 | |
Bond | 1,000 | 1,022.08 | 0.56% | 2.82 | 1,020.84 | 0.81% | 4.07 | |
High Income | 1,000 | 1,021.08 | 0.76% | 3.82 | 1,019.84 | 1.01% | 5.07 | |
Diversified Income | 1,000 | 1,021.33 | 0.71% | 3.57 | 1,020.09 | 0.96% | 4.82 | |
Equity Income | 1,000 | 1,012.52 | 0.91% | 4.57 | 1,012.52 | 1.16% | 5.84 | |
Large Cap Value | 1,000 | 1,021.83 | 0.61% | 3.07 | 1,020.59 | 0.86% | 4.32 | |
Large Cap Growth | 1,000 | 1,020.79 | 0.82% | 4.12 | 1,019.54 | 1.07% | 5.37 | |
Mid Cap | 1,000 | 1,020.34 | 0.91% | 4.57 | 1,019.10 | 1.16% | 5.82 | |
Small Cap | 1,000 | 1,019.29 | 1.12% | 5.62 | 1,018.05 | 1.37% | 6.87 | |
International Stock | 1,000 | 1,018.80 | 1.22% | 6.12 | 1,017.55 | 1.47% | 7.37 | |
Madison Target Retirement 2020 | 1,000 | 1,023.37 | 0.30% | 1.51 | ||||
Madison Target Retirement 2030 | 1,000 | 1,023.37 | 0.30% | 1.51 | ||||
Madison Target Retirement 2040 | 1,000 | 1,023.37 | 0.30% | 1.51 | ||||
Madison Target Retirement 2050 | 1,000 | 1,023.37 | 0.30% | 1.51 |
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 1-202-551-1520. Form N-Q and other information about the Trust are available on the EDGAR database on the SEC’s Internet site at http://www.sec.gov. Copies of this information may also be obtained, upon payment of a duplicating fee, by electronic request at the following email address: publicinfo@sec.gov, or by writing the SEC’s Public Reference Section, Washington, DC 20549-0102.
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 and is also located in the funds’ Statement of Additional Information. The proxy voting records for the Trust for the most recent twelve-month period ended December 31 are available to shareholders at no cost on the SEC’s website at www.sec.gov.
103
Ultra Series Fund | June 30, 2012
Other Information (unaudited)
FORWARD-LOOKING STATEMENT DISCLOSURE
One of our most important responsibilities as investment company managers is to communicate with shareholders in an open and direct manner. Some of our comments in our letters to shareholders are based on current management expectations and are considered "forward-looking statements." Actual future results, however, may prove to be different from our expectations. You can identify forward-looking statements by words such as "estimate," "may," "will,""expect," "believe," "plan" and other similar terms. We cannot promise future returns. Our opinions are a reflection of our best judgment at the time this report is compiled, and we disclaim any obligation to update or after forward-looking statements as a result of new information, future events, or otherwise.
SEC File Number: 811-04815
104
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, 2011).
(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)
W. Richard Mason, Chief Compliance Officer
Date: August 24, 2012
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 24, 2012
By: (signature)
Greg Hoppe, Principal Financial Officer
Date: August 24, 2012