Exeter Fund, Inc.
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs, including potential wire charges on redemptions and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (November 1, 2005 to April 30, 2006).
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as potential wire charges on redemptions. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 1.20%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year. The Series’ total return would have been lower had certain expenses not been waived during the period.
*As a percentage of net assets.
The accompanying notes are an integral part of the financial statements.
The accompanying notes are an integral part of the financial statements.
The accompanying notes are an integral part of the financial statements.
The accompanying notes are an integral part of the financial statements.
The accompanying notes are an integral part of the financial statements.
The accompanying notes are an integral part of the financial statements.
The accompanying notes are an integral part of the financial statements.
*The investment advisor did not impose all of its management fee and in some periods paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratio (to average net assets) would have been increased as follows:
The accompanying notes are an integral part of the financial statements.
Tax Managed Series (the "Series") is a no-load diversified series of Exeter Fund, Inc. (the "Fund"). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.
The Series' investment objective is to maximize long-term growth while attempting to minimize the impact of taxes on the total return earned by shareholders.
The Series is authorized to issue five classes of shares (Class A, B, C, D and E). Currently, only Class A shares have been issued. Each class of shares is substantially the same, except that class-specific distribution and shareholder servicing expenses are borne by the specific class of shares to which they relate.
Shares of the Series are offered to investors and employees of Manning & Napier Advisors, Inc. (the “Advisor”) and its affiliates. The total authorized capital stock of the Fund consists of 1.7 billion shares of common stock each having a par value of $0.01. As of April 30, 2006, 1.16 billion shares have been designated in total among 21 series, of which 37.5 million have been designated as Tax Managed Series Class A common stock.
Portfolio securities, including domestic equities, foreign equities and options, listed on an exchange other than the NASDAQ National Market System are valued at the latest quoted sales price of the exchange on which the security is primarily traded. Securities not traded on valuation date or securities not listed on an exchange are valued at the latest quoted bid price provided by the Fund’s pricing service. Securities listed on the NASDAQ National Market System are valued in accordance with the NASDAQ Official Closing Price.
Securities for which representative valuations or prices are not available from the Fund's pricing service may be valued at fair value. If trading or events occurring after the close of the principal market in which securities are traded are expected to materially affect the value of those securities, then they may be valued at their fair value, taking this trading or these events into account. Fair value is determined in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Fund's Board of Directors (the “Board”).
Short-term investments that mature in sixty days or less are valued at amortized cost, which approximates market value. Investments in open-end investment companies are valued at their net asset value per share on valuation date.
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, except that if the ex-dividend date has passed, certain dividends from foreign securities are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Interest income and expenses are recorded on an accrual basis.
Most expenses of the Fund can be attributed to a specific series. Expenses which cannot be directly attributed are apportioned among the series in the Fund in such a manner as deemed equitable by the Fund's Board, taking into consideration, among other things, the nature and type of expense.
The Series uses the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.
The books and records of the Series are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. The Series does not isolate realized and unrealized gains and losses attributable to changes in the exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized foreign currency gains and losses represent foreign currency gains and losses between trade date and settlement date on securities transactions, gains and losses on disposition of foreign currencies and the difference between the amount of income and foreign withholding taxes recorded on the books of the Series and the amounts actually received or paid.
The Series' policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. The Series is not subject to federal income or excise tax to the extent that the Series distributes to shareholders each year its taxable income, including any net realized gains on investments, in accordance with requirements of the Internal Revenue Code. Accordingly, no provision for federal income tax or excise tax has been made in the financial statements.
Distributions to shareholders of net investment income and net realized gains are made annually. An additional distribution may be necessary to avoid taxation of the Series. Distributions are recorded on the ex-dividend date.
The Fund’s organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which the Series pays a fee, computed daily and payable monthly, at an annual rate of 1.00% of the Series' average daily net assets.
Under the Agreement, personnel of the Advisor provide the Series with advice and assistance in the choice of investments and the execution of securities transactions, and otherwise maintain the Series' organization. The Advisor also provides the Fund with necessary office space and fund administration services. The salaries of all officers of the Fund (except a percentage of the Fund’s Chief Compliance Officer’s salary, which is paid by the Fund, and the Special Assistant Secretary’s salary, which is paid by BISYS Fund Services Ohio, Inc. (“BISYS”)), and of all Directors who are "affiliated persons" of the Fund, or of the Advisor, and all personnel of the Fund, or of the Advisor, performing services relating to research, statistical and investment activities, are paid by the Advisor. Each "non-affiliated" Director receives an annual stipend, which is allocated among all the active series of the Fund. In addition, these Directors also receive a per meeting fee for each active series of the Fund plus a fee for each committee meeting attended.
The Advisor has contractually agreed, until at least February 28, 2007, to waive its fee and, if necessary, pay other operating expenses of the Series in order to maintain total expenses for the Series at no more than 1.20% of average daily net assets each year. Accordingly, the Advisor waived fees of $27,489 for the six months ended April 30, 2006, which is reflected as a reduction of expenses on the Statement of Operations.
Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund's shares. The services of Manning & Napier Investor Services, Inc. are provided at no additional cost to the Series.
For fund accounting and transfer agent services, the Fund pays the Advisor an annual fee of 0.12% of the Fund’s average daily net assets up to $900 million, 0.09% for the Fund’s average daily net assets between $900 million and $1.5 billion, and 0.05% for the Fund’s average daily net assets over $1.5 billion. These fee rates are scheduled to be reduced each year through 2007. Additionally, certain transaction and account-based fees and out-of-pocket expenses, including charges for reporting relating to the Fund’s compliance program, are charged. Expenses not directly attributable to a series are allocated based on each series’ relative net assets or number of accounts, depending on the expense. The Advisor has an agreement with BISYS under which BISYS serves as sub-accounting services and sub-transfer agent.
For the six months ended April 30, 2006, purchases and sales of securities, other than United States Government securities and short-term securities, were $1,494,239 and $2,352,766, respectively. There were no purchases or sales of United States Government securities.
The Advisor owned 28,095 shares on April 30, 2006 (10.1% of shares outstanding) valued at $704,342.
The Series may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities to assist in managing exposure to various market risks. These financial instruments include written options, forward foreign currency exchange contracts and futures contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. No such investments were held by the Series on April 30, 2006.
Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in securities of domestic companies and the United States Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of comparable domestic companies and the United States Government.
The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. The Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series' net asset value. Any such reclassifications are not reflected in the financial highlights.
The final determination of the tax character of current year distributions will be made at the conclusion of the fiscal year. The tax character of distributions paid for the year ended October 31, 2005 were as follows:
At April 30, 2006, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:
On May 15, 2006, the Fund’s Board approved a change in the name of the Fund from Exeter Fund, Inc. to Manning & Napier Fund, Inc. The name change will become effective when filed with the Securities and Exchange Commission in the next few months.
At the Exeter Fund, Inc. (the “Fund”) Board of Directors’ (the “Board”) annual in-person meeting, held on November 17, 2005, the Investment Advisory Agreement (the “Agreement”) between the Fund and Manning & Napier Advisors, Inc. (the “Advisor”) was reviewed by the Board for renewal. In connection with the decision whether to renew the Agreement, a variety of material was prepared for and reviewed by the Board. In addition, at the meeting of the Board, representatives of the Advisor presented additional oral and written information to help the Board evaluate the Advisor’s performance under the Agreement over the previous year. The Board then deliberated on the renewal of the Agreement in light of the various material provided prior to and at the meeting.
In connection with its review and deliberations, the Board considered the following factors and reached a conclusion with respect to such factors.
Series of the Fund and as compared to the median and mean advisory fees for similar funds as listed on Morningstar. Expense ratios for every Series are currently below the median and mean for similar funds as listed on Morningstar. Based on their review of the information provided, the Board concluded that the fees and expenses of each Series of the Fund were reasonable on a comparative basis.
Based on the Board’s conclusions regarding the factors described above, the Board, including a majority of Directors that are “not interested” as defined in the Investment Company Act of 1940, approved the renewal of the Agreement for another year. In the course of their deliberations, the Directors did not identify any particular information that was all important or controlling.
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available, without charge, upon request:
The Series’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
The prospectus and SAI provide additional information about each Series, including charges, expenses and risks. These documents are available, without charge, upon request:
On the Advisor’s web site http://www.manningnapieradvisors.com/www/exeter_fund.asp
Exeter Fund, Inc.
Semi-Annual Report
April 30, 2006
Overseas Series
Shareholder Expense Example (unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs, including potential wire charges on redemptions and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (November 1, 2005 to April 30, 2006).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as potential wire charges on redemptions. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
| | Beginning | Ending | Expenses Paid |
| | Account Value | Account Value | During Period* |
| | 11/1/05 | 4/30/06 | 11/1/05-4/30/06 |
| Actual | $1,000.00 | $1,248.60 | $5.41 |
| Hypothetical | | | |
| (5% return before expenses) | $1,000.00 | $1,019.98 | $4.86 |
*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 0.97%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year. The Series’ total return would have been lower had certain expenses not been waived during the period.
1
Portfolio Composition as of April 30, 2006 (unaudited)
<graphic>
<pie chart>
Country Allocation*
| Brazil | 3.3% |
| Canada | 3.6% |
| France | 12.5% |
| Germany | 4.0% |
| Guernsey | 3.2% |
| Mexico | 2.0% |
| Netherlands | 5.8% |
| Norway | 2.2% |
| Switzerland | 13.9% |
| United Kingdom | 28.5% |
Miscellaneous** | 7.5% |
| Cash, short-term investments, and other assets, less liabilities | 13.5% |
*As a percentage of net assets.
**Miscellaneous
Bermuda 0.9%
Israel 0.9%
South Africa 1.8%
Spain 1.0%
Sweden 1.9%
Taiwan 1.0%
<graphic>
<pie chart>
Sector Allocation*
| Consumer Discretionary | 14.9% |
| Consumer Staples | 17.8% |
| Energy | 6.6% |
| Financials | 7.8% |
| Health Care | 4.8% |
| Industrials | 10.5% |
| Information Technology | 12.7% |
| Materials | 6.6% |
| Telecommunication Services | 3.7% |
| Utilities | 1.1% |
| Cash, short-term investments, and other assets, less liabilities | 13.5% |
*As a percentage of net assets.
2
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
| | Shares | (Note 2) |
| | | |
COMMON STOCKS - 86.5% | | |
| | | |
Consumer Discretionary - 14.9% | | |
Auto Components - 1.8% | | |
| Autoliv, Inc. (Sweden) | 10,400 | $575,120 |
| | | |
Hotels, Restaurants & Leisure - 3.6% | | |
| Club Mediterranee S.A.* (France) | 18,875 | 1,120,210 |
| | | |
Media - 5.7% | | |
| GCap Media plc (United Kingdom) | 109,600 | 507,574 |
| Pearson plc (United Kingdom) | 42,400 | 587,536 |
| Reuters Group plc (United Kingdom) | 96,425 | 683,903 |
| | | 1,779,013 |
| | | |
Specialty Retail - 3.8% | | |
| Douglas Holding AG (Germany) | 6,550 | 314,789 |
| Kingfisher plc (United Kingdom) | 207,550 | 852,398 |
| | | 1,167,187 |
Total Consumer Discretionary | | 4,641,530 |
| | | |
Consumer Staples - 17.8% | | |
Beverages - 1.3% | | |
| Heineken N.V. (Netherlands) | 9,825 | 397,947 |
| | | |
Food & Staples Retailing - 3.2% | | |
| Carrefour S.A. (France) | 17,075 | 990,336 |
| | | |
Food Products - 8.7% | | |
| Cadbury Schweppes plc (United Kingdom) | 60,175 | 596,857 |
| Groupe Danone (France) | 2,500 | 311,881 |
| Nestle S.A. (Switzerland) | 2,025 | 617,806 |
| Unilever plc - ADR (United Kingdom) | 27,625 | 1,180,416 |
| | | 2,706,960 |
| | | |
Household Products - 2.0% | | |
| Kimberly-Clark de Mexico S.A. de C.V. - ADR (Mexico) | 35,800 | 630,463 |
| | | |
Personal Products - 2.6% | | |
| Clarins S.A. (France) | 11,225 | 790,084 |
Total Consumer Staples | | 5,515,790 |
| | | |
Energy - 6.6% | | |
Energy Equipment & Services - 5.5% | | |
| Abbot Group plc (United Kingdom) | 173,425 | 1,045,053 |
| Compagnie Generale de Geophysique S.A. (CGG)* (France) | 4,175 | 674,619 |
| | | 1,719,672 |
The accompanying notes are an integral part of the financial statements.
3
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
| | Shares | (Note 2) |
| | | |
Energy (continued) | | |
Oil, Gas & Consumable Fuels - 1.1% | | |
| Petroleo Brasileiro S.A. (Petrobras) - ADR (Brazil) | 3,825 | $340,004 |
Total Energy | | 2,059,676 |
| | | |
Financials - 7.8% | | |
Commercial Banks - 5.8% | | |
| ABN AMRO Holding N.V. (Netherlands) | 14,500 | 433,297 |
| Barclays plc (United Kingdom) | 50,150 | 626,349 |
| Royal Bank of Scotland Group plc (United Kingdom) | 22,700 | 741,270 |
| | | 1,800,916 |
| | | |
Insurance - 2.0% | | |
| Allianz AG (Germany) | 3,675 | 614,223 |
Total Financials | | 2,415,139 |
| | | |
Health Care - 4.8% | | |
Pharmaceuticals - 4.8% | | |
| Novartis AG - ADR (Switzerland) | 25,825 | 1,485,196 |
| | | |
Industrials - 10.5% | | |
Aerospace & Defense - 2.2% | | |
| Empresa Brasileira de Aeronautica S.A. (Embraer) - ADR (Brazil) | 17,250 | 669,818 |
| | | |
Air Freight & Logistics - 4.1% | | |
| Deutsche Post AG (Germany) | 11,775 | 313,992 |
| TNT N.V. (Netherlands) | 26,675 | 960,309 |
| | | 1,274,301 |
| | | |
Electrical Equipment - 3.3% | | |
| ABB (Asea Brown Boveri) Ltd. - ADR* (Switzerland) | 49,550 | 704,601 |
| Gamesa Corporacion Tecnologica S.A. (Spain) | 14,650 | 318,402 |
| | | 1,023,003 |
| | | |
Industrial Conglomerates - 0.9% | | |
| Tyco International Ltd. (Bermuda) | 10,950 | 288,532 |
Total Industrials | | 3,255,654 |
| | | |
Information Technology - 12.7% | | |
Communications Equipment - 6.7% | | |
| ECI Telecom Ltd.* (Israel) | 27,425 | 292,899 |
| Research In Motion Ltd. (RIM)* (Canada) | 10,800 | 827,604 |
| Spirent plc* (United Kingdom) (now known as Spirent Communications plc) | 371,000 | 279,031 |
| Tandberg ASA (Norway) | 65,900 | 671,128 |
| | | 2,070,662 |
The accompanying notes are an integral part of the financial statements.
4
Investment Portfolio - April 30, 2006 (unaudited)
| | Shares/ | Value |
| | Principal Amount | (Note 2) |
| | | |
Information Technology (continued) | | |
Semiconductors & Semiconductor Equipment - 1.0% | | |
| Taiwan Semiconductor Manufacturing Co. Ltd. - ADR (Taiwan) | 31,025 | $325,142 |
| | | |
Software - 5.0% | | |
| Amdocs Ltd.* (Guernsey) | 26,375 | 981,150 |
| Cognos, Inc.* (Canada) | 7,950 | 296,297 |
| Misys plc (United Kingdom) | 72,725 | 275,805 |
| | | 1,553,252 |
Total Information Technology | | 3,949,056 |
| | | |
Materials - 6.6% | | |
Chemicals - 4.8% | | |
| Lonza Group AG (Switzerland) | 21,100 | 1,497,661 |
| | | |
Paper & Forest Products - 1.8% | | |
| Sappi Ltd. - ADR (South Africa) | 39,850 | 559,494 |
Total Materials | | 2,057,155 |
| | | |
Telecommunication Services - 3.7% | | |
Wireless Telecommunication Services - 3.7% | | |
| Vodafone Group plc - ADR (United Kingdom) | 48,125 | 1,140,563 |
| | | |
Utilities - 1.1% | | |
Independent Power Producers & Energy Traders - 1.1% | | |
| Drax Group plc (United Kingdom) | 24,350 | 350,737 |
| | | |
TOTAL COMMON STOCKS | | |
| (Identified Cost $25,108,618) | | 26,870,496 |
| | | |
SHORT-TERM INVESTMENTS - 11.2% | | |
| Dreyfus Treasury Cash Management - Institutional Shares | 806,585 | 806,585 |
| U.S. Treasury Bill, 6/22/2006 | $2,700,000 | 2,682,498 |
| | | |
TOTAL SHORT-TERM INVESTMENTS | | |
| (Identified Cost $3,488,987) | | 3,489,083 |
| | | |
TOTAL INVESTMENTS - 97.7% | | |
| (Identified Cost $28,597,605) | | 30,359,579 |
| | | |
OTHER ASSETS, LESS LIABILITIES - 2.3% | | 705,492 |
| | | |
NET ASSETS - 100% | | $31,065,071 |
*Non-income producing security
ADR - American Depository Receipt
The Series' portfolio holds, as a percentage of net assets, greater than 10% in the following countries: United Kingdom - 28.5%; Switzerland - 13.9%; France - 12.5%.
The accompanying notes are an integral part of the financial statements.
5
Statement of Assets and Liabilities (unaudited)
April 30, 2006
ASSETS: | |
| | |
| Investments, at value (identified cost $28,597,605) (Note 2) | $30,359,579 |
| Foreign currency, at value (cost $18,653) | 18,738 |
| Receivable for securities sold | 649,431 |
| Dividends receivable | 68,981 |
| Foreign tax reclaims receivable | 8,518 |
| Prepaid expenses | 2,811 |
| | |
| TOTAL ASSETS | 31,108,058 |
| | |
LIABILITIES: | |
| | |
| Accrued management fees (Note 3) | 16,339 |
| Accrued fund accounting and transfer agent fees (Note 3) | 4,069 |
| Accrued directors' fees (Note 3) | 163 |
| Accrued Chief Compliance Officer service fees (Note 3) | 104 |
| Audit fees payable | 19,975 |
| Accrued legal fees | 2,337 |
| | |
| TOTAL LIABILITIES | 42,987 |
| | |
TOTAL NET ASSETS | $31,065,071 |
| | |
NET ASSETS CONSIST OF: | |
| | |
| Capital stock | $12,462 |
| Additional paid-in-capital | 28,440,058 |
| Undistributed net investment income | 103,839 |
| Accumulated net realized gain on investments and other assets and liabilities | 744,391 |
| Net unrealized appreciation on investments and other assets and liabilities | 1,764,321 |
| | |
TOTAL NET ASSETS | $31,065,071 |
| | |
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE ($31,065,071/1,246,237 shares) | $24.93 |
The accompanying notes are an integral part of the financial statements.
6
Statement of Operations (unaudited)
For the Six Months Ended April 30, 2006
INVESTMENT INCOME: | |
| | |
| Dividends (net of foreign tax withheld, $10,091) | $144,451 |
| Interest | 12,567 |
| | |
| Total Investment Income | 157,018 |
| | |
EXPENSES: | |
| | |
| Management fees (Note 3) | 39,257 |
| Fund accounting and transfer agent fees (Note 3) | 6,289 |
| Directors' fees (Note 3) | 4,016 |
| Chief Compliance Officer service fees (Note 3) | 2,429 |
| Audit fees | 16,310 |
| Custodian fees | 2,335 |
| Miscellaneous | 3,069 |
| | |
| Total Expenses | 73,705 |
| Less reduction of expenses (Note 3) | (20,528) |
| | |
| Net Expenses | 53,177 |
| | |
| NET INVESTMENT INCOME | 103,841 |
| | |
REALIZED AND UNREALIZED GAIN ON INVESTMENTS: | |
| | |
| Net realized gain on - | |
| Investments | 743,875 |
| Foreign currency and other assets and liabilities | 529 |
| | |
| | 744,404 |
| | |
| Net change in unrealized appreciation on - | |
| Investments | 1,560,338 |
| Foreign currency and other assets and liabilities | 2,394 |
| | |
| | 1,562,732 |
| | |
| NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS | 2,307,136 |
| | |
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $2,410,977 |
The accompanying notes are an integral part of the financial statements.
7
Statements of Changes in Net Assets
| | For the Six | |
| | Months Ended | For the |
| | 4/30/06 | Year Ended |
| | (unaudited) | 10/31/05 |
| | | |
INCREASE (DECREASE) IN NET ASSETS: | | |
| | | |
OPERATIONS: | | |
| | | |
| Net investment income | $103,841 | $15,937 |
| Net realized gain on investments | 744,404 | 103,444 |
| Net change in unrealized appreciation on investments | 1,562,732 | 58,417 |
| | | |
| Net increase from operations | 2,410,977 | 177,798 |
| | | |
DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | | |
| | | |
| From net investment income | (15,768) | (8,506) |
| From net realized gain on investments | (112,617) | (10,922) |
| | | |
| Total distributions to shareholders | (128,385) | (19,428) |
| | | |
CAPITAL STOCK ISSUED AND REPURCHASED: | | |
| | | |
| Net increase from capital share transactions (Note 5) | 27,165,916 | 413,841 |
| | | |
| Net increase in net assets | 29,448,508 | 572,211 |
| | | |
NET ASSETS: | | |
| | | |
| Beginning of period | 1,616,563 | 1,044,352 |
| | | |
End of period (including undistributed net investment income of $103,839 and $15,766, respectively) | $31,065,071 | $1,616,563 |
The accompanying notes are an integral part of the financial statements.
8
Financial Highlights
| | For the Six | | | | |
| | Months Ended | | | | For the Period |
| | 4/30/06 | For the Years Ended | 7/10/021 to |
| | (unaudited) | 10/31/05 | 10/31/04 | 10/31/03 | 10/31/02 |
| | | | | | |
Per share data (for a share outstanding throughout each period): | | | | | |
| | | | | | |
Net asset value - Beginning of period | $21.56 | $18.84 | $15.66 | $12.54 | $14.37 |
| | | | | | |
| Income (loss) from investment operations: | | | | | |
| Net investment income (loss) | 0.225 | 0.21 | 0.17 | 0.15 | -3 |
| Net realized and unrealized gain (loss) on investments | 4.86 | 2.85 | 3.18 | 2.97 | (1.83) |
| | | | | | |
| Total from investment operations | 5.08 | 3.06 | 3.35 | 3.12 | (1.83) |
| | | | | | |
| Less distributions to shareholders: | | | | | |
| From net investment income | (0.21) | (0.15) | (0.17) | - | - |
| From net realized gain on investments | (1.50) | (0.19) | - | - | - |
| | | | | | |
| Total distributions to shareholders | (1.71) | (0.34) | (0.17) | - | - |
| | | | | | |
Net asset value - End of period | $24.93 | $21.56 | $18.84 | $15.66 | $12.54 |
| | | | | | |
Total return2 | 24.86% | 16.34% | 21.58% | 24.88% | (12.73%) |
| | | | | | |
Ratios (to average net assets)/Supplemental Data: | | | | | |
| Expenses* | 0.97%4 | 1.05% | 1.05% | 1.05% | 1.05%4 |
| Net investment income (loss) | 1.89%4 | 1.15% | 1.08% | 1.15% | (0.10%)4 |
| | | | | | |
| Portfolio turnover | 37% | 40% | 35% | 30% | 12% |
| | | | | | |
Net assets - End of period (000's omitted) | $31,065 | $1,617 | $1,044 | $701 | $510 |
*The investment advisor did not impose all of its management fee and in some periods paid a portion of the Series’ expenses. If these expenses had been incurred by the Series, the expense ratio (to average net assets) would have been increased as follows:
| | 0.37%4 | 4.16% | 5.63% | 19.95% | 33.12%4 |
1Commencement of operations.
2Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the period. Periods less than one year are not annualized.
3Less than $0.01.
4Annualized.
5Calculated based on average shares outstanding during the period.
The accompanying notes are an integral part of the financial statements.
9
Notes to Financial Statements (unaudited)
1. ORGANIZATION
Overseas Series (the "Series") is a no-load diversified series of Exeter Fund, Inc. (the "Fund"). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.
The Series' investment objective is to provide long-term capital growth by investing primarily in common stocks of issuers from outside the United States.
Shares of the Series are offered to investors and employees of Manning & Napier Advisors, Inc. (the “Advisor”) and its affiliates. The total authorized capital stock of the Fund consists of 1.7 billion shares of common stock each having a par value of $0.01. As of April 30, 2006, 1.16 billion shares have been designated in total among 21 series, of which 50 million have been designated as Overseas Series common stock.
2. SIGNIFICANT ACCOUNTING POLICIES
Security Valuation
Portfolio securities, including domestic equities, foreign equities and options, listed on an exchange other than the NASDAQ National Market System are valued at the latest quoted sales price of the exchange on which the security is primarily traded. Securities not traded on valuation date or securities not listed on an exchange are valued at the latest quoted bid price provided by the Fund's pricing service. Securities listed on the NASDAQ National Market System are valued in accordance with the NASDAQ Official Closing Price.
Securities for which representative valuations or prices are not available from the Fund's pricing service may be valued at fair value. If trading or events occurring after the close of the principal market in which securities are traded are expected to materially affect the value of those securities, then they may be valued at their fair value, taking this trading or these events into account. Fair value is determined in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Fund's Board of Directors (the “Board”).
Short-term investments that mature in sixty days or less are valued at amortized cost, which approximates market value. Investments in open-end investment companies are valued at their net asset value per share on valuation date.
Security Transactions, Investment Income and Expenses
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, except that if the ex-dividend date has passed, certain dividends from foreign securities are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Interest income and expenses are recorded on an accrual basis.
Most expenses of the Fund can be attributed to a specific series. Expenses which cannot be directly attributed are apportioned among the series in the Fund in such a manner as deemed equitable by the Fund's Board, taking into consideration, among other things, the nature and type of expense.
The Series uses the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.
10
Notes to Financial Statements (unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
Foreign Currency Translation
The books and records of the Series are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. The Series does not isolate realized and unrealized gains and losses attributable to changes in the exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized foreign currency gains and losses represent foreign currency gains and losses between trade date and settlement date on securities transactions, gains and losses on disposition of foreign currencies and the difference between the amount of income and foreign withholding taxes recorded on the books of the Series and the amounts actually received or paid.
Federal Taxes
The Series' policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. The Series is not subject to federal income or excise tax to the extent that the Series distributes to shareholders each year its taxable income, including any net realized gains on investments, in accordance with requirements of the Internal Revenue Code. Accordingly, no provision for federal income tax or excise tax has been made in the financial statements.
Distributions of Income and Gains
Distributions to shareholders of net investment income and net realized gains are made annually. An additional distribution may be necessary to avoid taxation of the Series. Distributions are recorded on the ex-dividend date.
Indemnifications
The Fund’s organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
3. TRANSACTIONS WITH AFFILIATES
The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which the Series paid a fee, computed daily and payable monthly, at an annual rate of 1.00% of the Series' average daily net assets through December 31, 2005. Effective January 1, 2006. the Series pays the Advisor a fee, computed daily and payable monthly, at an annual rate of 0.70% of the Series’ average daily net assets.
11
Notes to Financial Statements (unaudited)
3. TRANSACTIONS WITH AFFILIATES (continued)
Under the Agreement, personnel of the Advisor provide the Series with advice and assistance in the choice of investments and the execution of securities transactions, and otherwise maintain the Series' organization. The Advisor also provides the Fund with necessary office space and fund administration services. The salaries of all officers of the Fund (except a percentage of the Fund’s Chief Compliance Officer’s salary, which is paid by the Fund, and the Special Assistant Secretary’s salary, which is paid by BISYS Fund Services Ohio, Inc. (“BISYS”)), and of all Directors who are "affiliated persons" of the Fund, or of the Advisor, and all personnel of the Fund, or of the Advisor, performing services relating to research, statistical and investment activities, are paid by the Advisor. Each "non-affiliated" Director receives an annual stipend, which is allocated among all the active series of the Fund. In addition, these Directors also receive a per meeting fee for each active series of the Fund plus a fee for each committee meeting attended.
Through December 31, 2005, the Advisor had contractually agreed to waive its fee and, if necessary, pay other operating expenses of the Series in order to maintain total expenses for the Series at no more than 1.05% of average daily net assets each year. Effective January 1, 2006, the Advisor contractually agreed, until at least February 28, 2007, to waive its fee and, if necessary, pay other operating expenses of the Series in order to maintain total expenses for the Series at no more than 0.95% of average daily net assets each year. Accordingly, the Advisor waived fees of $20,528 for the six months ended April 30, 2006, which is reflected as a reduction of expenses on the Statement of Operations.
Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund's shares. The services of Manning & Napier Investor Services, Inc. are provided at no additional cost to the Series.
For fund accounting and transfer agent services, the Fund pays the Advisor an annual fee of 0.12% of the Fund’s average daily net assets up to $900 million, 0.09% for the Fund’s average daily net assets between $900 million and $1.5 billion, and 0.05% for the Fund’s average daily net assets over $1.5 billion. These fee rates are scheduled to be reduced each year through 2007. Additionally, certain transaction and account-based fees and out-of-pocket expenses, including charges for reporting relating to the Fund’s compliance program, are charged. Expenses not directly attributable to a series are allocated based on each series’ relative net assets or number of accounts, depending on the expense. The Advisor has an agreement with BISYS under which BISYS serves as sub-accounting services and sub-transfer agent.
4. PURCHASES AND SALES OF SECURITIES
For the six months ended April 30, 2006, purchases and sales of securities, other than United States Government securities and short-term securities, were $27,061,547 and $4,070,443, respectively. There were no purchases or sales of United States Government securities.
12
Notes to Financial Statements (unaudited)
5. CAPITAL STOCK TRANSACTIONS
Transactions in shares of Overseas Series were:
| | For the Six Months | For the Year |
| | Ended 4/30/06 | Ended 10/31/05 |
| | Shares | Amount | Shares | Amount |
| | | | | |
| Sold | 1,168,314 | $27,105,530 | 21,281 | $452,281 |
| Reinvested | 5,981 | 127,802 | 963 | 19,428 |
| Repurchased | (3,021) | (67,416) | (2,707) | (57,868) |
| Total | 1,171,274 | $27,165,916 | 19,537 | $413,841 |
At April 30, 2006, the retirement plan of the Advisor and its affiliates owned 72,477 shares of the Series (5.8% of shares outstanding) valued at $1,806,852. In addition, one shareholder owned 1,157,260 shares of the Series (92.9% of shares outstanding) valued at $28,850,492. Investment activities of this shareholder may have a material effect on the Series.
6. FINANCIAL INSTRUMENTS
The Series may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities to assist in managing exposure to various market risks. These financial instruments include written options, forward foreign currency exchange contracts and futures contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. No such investments were held by the Series on April 30, 2006.
7. FOREIGN SECURITIES
Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in securities of domestic companies and the United States Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of comparable domestic companies and the United States Government.
8. FEDERAL INCOME TAX INFORMATION
The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. The Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series' net asset value. Any such reclassifications are not reflected in the financial highlights.
The final determination of the tax character of current year distributions will be made at the conclusion of the fiscal year. The tax character of distributions paid for the year ended October 31, 2005 were as follows:
| Ordinary income | $8,506 |
| Long-term capital gains | 10,922 |
13
Notes to Financial Statements (unaudited)
8. FEDERAL INCOME TAX INFORMATION (continued)
At April 30, 2006, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:
| Cost for federal income tax purposes | $28,602,713 |
| | |
| Unrealized appreciation | $1,882,544 |
| Unrealized depreciation | (125,678) |
| | |
| Net unrealized appreciation | $1,756,866 |
9. SUBSEQUENT EVENT
On May 15, 2006, the Fund’s Board approved a change in the name of the Fund from Exeter Fund, Inc. to Manning & Napier Fund, Inc. The name change will become effective when filed with the Securities and Exchange Commission in the next few months.
14
Renewal of Investment Advisory Agreement (unaudited)
At the Exeter Fund, Inc. (the “Fund”) Board of Directors’ (the “Board”) annual in-person meeting, held on November 17, 2005, the Investment Advisory Agreement (the “Agreement”) between the Fund and Manning & Napier Advisors, Inc. (the “Advisor”) was reviewed by the Board for renewal. In connection with the decision whether to renew the Agreement, a variety of material was prepared for and reviewed by the Board. In addition, at the meeting of the Board, representatives of the Advisor presented additional oral and written information to help the Board evaluate the Advisor’s performance under the Agreement over the previous year. The Board then deliberated on the renewal of the Agreement in light of the various material provided prior to and at the meeting.
In connection with its review and deliberations, the Board considered the following factors and reached a conclusion with respect to such factors.
| · | The Board considered the services provided by the Advisor under the Agreement including, among others: deciding what securities to purchase and sell for each Series; arranging for the purchase and sale of such securities by placing orders with broker-dealers; administering the affairs of the Fund (including the books and records of the Fund not maintained by third party service providers such as the custodian or sub-transfer agent); arranging for the insurance coverage for the Fund; and supervising the preparation of tax returns, SEC filings (including registration statements) and reports to shareholders for the Fund. The Board discussed the quality of these services with representatives from the Advisor and concluded that the Advisor was performing its services to the Fund required under the Agreement in a reasonable manner. |
| · | The Board considered the investment performance of the various Series of the Fund. The investment performance for each Series was reviewed on a cumulative basis since inception and on a one year basis. In addition, annualized peformance for the following time periods was considered: inception, three year, five year, ten year, and current market cycle. A market cycle includes periods of both rising and falling markets. Returns for established benchmark indices for each Series were provided for each time period. In addition, the Board considered at the meeting (and considers on a quarterly basis) a peer group performance analysis consisting of Morningstar universes of mutual funds with similar investment objectives. The Board discussed the performance with representatives from the Advisor and concluded that the investment performance of each of the Fund’s Series was reasonable based on the Fund’s actual performance and comparative performance, especially performance over the current market cycle. |
| · | The Board considered the costs of the Advisor’s services and the profits of the Advisor as they relate to the Advisor’s services to the Fund under the Agreement. In reviewing the Advisor’s costs and profits, the Board discussed the Advisor’s revenues generated from the Fund (on both an actual and adjusted basis) and its expenses associated with providing the services under the Agreement. In addition, the Board reviewed the Advisor’s expenses associated with Fund activities outside of the Agreement (such as expense reimbursements pursuant to expense caps and payments made by the Advisor to third party platforms on which shares of the Fund are available for purchase). It was noted by representatives of the Advisor that 11 of the 18 active Series of the Fund are currently experiencing expenses above the capped expense ratios. After discussing the above costs and profits, the Board concluded that the Advisor’s profitability relating to its services provided under the Agreement is reasonable. |
| · | The Board considered the fees and expenses of the various Series of the Fund. The Advisor presented the advisory fees and total expenses for each Series, including the advisory fee adjusted for any expense waivers or reimbursements (either contractually or voluntarily) paid by the Advisor. The advisory fees and expense ratios of each Series were compared to an average (on both a mean and median basis) of similar funds as disclosed on the Morningstar database. Representatives of the Advisor discussed with the Board the levels of its advisory fee for each |
15
Renewal of Investment Advisory Agreement (unaudited)
Series of the Fund and as compared to the median and mean advisory fees for similar funds as listed on Morningstar. Expense ratios for every Series are currently below the median and mean for similar funds as listed on Morningstar. Based on their review of the information provided, the Board concluded that the fees and expenses of each Series of the Fund were reasonable on a comparative basis.
| · | The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include certain research products provided by soft dollars. Given the level of soft dollar transactions involving the Fund, the Board concluded that these additional benefits to the Advisor were reasonable. |
| · | In addition to the factors described above, the Board considered the Advisor’s personnel, the Advisor’s investment strategies, the Advisor’s policies and procedures relating to compliance with personal securities transactions, and the Advisor’s reputation, expertise and resources in domestic and foreign financial markets. The Board concluded that these factors support the conclusion that the Advisor performs its services in a reasonable manner. |
| · | The Board did not consider economies of scale at this time because of the multiple uses of the Fund (for the Advisor’s discretionary investment account clients in addition to direct investors), the current profitability of the Advisor’s services to the Fund under the Agreement, and the overall size of the Fund complex. |
Based on the Board’s conclusions regarding the factors described above, the Board, including a majority of Directors that are “not interested” as defined in the Investment Company Act of 1940, approved the renewal of the Agreement for another year. In the course of their deliberations, the Directors did not identify any particular information that was all important or controlling.
16
[This page intentionally left blank]
17
Literature Requests (unaudited)
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:
By phone 1-800-466-3863
On the Securities and Exchange
Commission’s (SEC) web site http://www.sec.gov
Proxy Voting Record
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available, without charge, upon request:
By phone 1-800-466-3863
On the SEC’s web site http://www.sec.gov
Quarterly Portfolio Holdings
The Series’ complete schedule of portfolio holdings for the 1st and 3rd quarters of each fiscal year are provided on Form N-Q, and are available, without charge, upon request:
By phone 1-800-466-3863
On the SEC’s web site http://www.sec.gov
The Series’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Prospectus and Statement of Additional Information (SAI)
The prospectus and SAI provide additional information about each Series, including charges, expenses and risks. These documents are available, without charge, upon request:
By phone 1-800-466-3863
On the SEC’s web site http://www.sec.gov
On the Advisor’s web site http://www.manningnapieradvisors.com/www/exeter_fund.asp
Additional information available at www.manningnapieradvisors.com/www/exeter_fund.asp
| 1. | Fund Holdings - Month-End |
| 2. | Fund Holdings - Quarter-End |
| 3. | Shareholder Report - Annual |
| 4. | Shareholder Report - Semi-Annual |
18
Exeter Fund, Inc.
Semi-Annual Report
April 30, 2006
Pro-Blend® Conservative Term Series
Pro-Blend® Moderate Term Series
Pro-Blend® Extended Term Series
Pro-Blend® Maximum Term Series
Shareholder Expense Example - Pro-Blend® Conservative Term Series (unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs, including potential wire charges on redemptions and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (November 1, 2005 to April 30, 2006).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as potential wire charges on redemptions. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
| | Beginning | Ending | Expenses Paid |
| | Account Value | Account Value | During Period* |
| | 11/1/05 | 4/30/06 | 11/1/05-4/30/06 |
| Actual | $1,000.00 | $1,037.40 | $5.05 |
| Hypothetical | | | |
| (5% return before expenses) | $1,000.00 | $1,019.84 | $5.01 |
*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 1.00%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year. The Series’ total return would have been lower had certain expenses not been waived during the period.
1
Portfolio Composition - Pro-Blend® Conservative Term Series (unaudited)
As of April 30, 2006
<graphic>
<pie chart>
Asset Allocation*
| Common Stocks | 26.23% |
| Corporate Bonds | 1.07% |
| U.S. Government Agencies | 11.17% |
U.S. Treasury Bonds1 | 6.96% |
U.S. Treasury Notes2 | 20.55% |
| Cash, short-term investments, and liabilities, less other assets | 34.02% |
*As a percentage of net assets.
1A U.S. Treasury Bond is a long-term obligation of the U.S. Treasury issued with a maturity period of more than ten years.
2A U.S. Treasury Note is an intermediate-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.
Sector Allocation*
| Consumer Discretionary | 4.60% |
| Information Technology | 4.35% |
| Health Care | 4.18% |
| Consumer Staples | 3.36% |
| Financials | 2.96% |
| Energy | 2.35% |
| Industrials | 2.06% |
| Utilities | 1.39% |
| Telecommunication Services | 1.01% |
| Materials | 0.68% |
*Including Common Stocks and Corporate Bonds, as a percentage of total investments.
Top Five Stock Holdings*
| Cisco Systems, Inc. | 1.01% |
| Vodafone Group plc - ADR (United Kingdom) | 0.97% |
| Emdeon Corp. | 0.92% |
| Unilever plc - ADR (United Kingdom) | 0.80% |
| Carnival Corp. | 0.79% |
*As a percentage of total investments.
Top Five Bond Holdings*
| U.S. Treasury Bond, 5.50%, 8/15/2028 | 6.53% |
| U.S. Treasury Note, 3.625%, 5/15/2013 | 5.39% |
| U.S. Treasury Note, 3.625%, 4/30/2007 | 3.28% |
| U.S. Treasury Note, 3.50%, 11/15/2009 | 3.17% |
| GNMA, Pool #651235X, 6.50%, 2/15/2036 | 2.65% |
*As a percentage of total investments.
2
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Conservative Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS - 26.23% | | |
| | | |
Consumer Discretionary - 4.30% | | |
Auto Components - 0.04% | | |
| Autoliv, Inc. (Sweden) (Note 7) | 250 | $13,825 |
| Azure Dynamics Corp.* (Canada) (Note 7) | 4,750 | 5,014 |
| Tenneco, Inc.* | 250 | 6,012 |
| | | 24,851 |
| | | |
Automobiles - 0.01% | | |
| Bayerische Motoren Werke AG (BMW) (Germany) (Note 7) | 75 | 4,082 |
| | | |
Diversified Consumer Services - 0.01% | | |
| Corinthian Colleges, Inc.* | 625 | 9,306 |
| | | |
Hotels, Restaurants & Leisure - 1.21% | | |
| Carnival Corp. | 10,200 | 477,564 |
| Club Mediterranee S.A.* (France) (Note 7) | 275 | 16,321 |
| International Game Technology | 5,925 | 224,735 |
| | | 718,620 |
| | | |
Household Durables - 0.01% | | |
| Interface, Inc. - Class A* | 700 | 9,002 |
| | | |
Internet & Catalog Retail - 0.04% | | |
| Audible, Inc.* | 2,100 | 22,680 |
| | | |
Leisure Equipment & Products - 0.34% | | |
| Marvel Entertainment, Inc.* | 10,300 | 200,953 |
| | | |
Media - 2.18% | | |
| Acme Communications, Inc.* | 550 | 2,469 |
| Cablevision Systems Corp. - Class A | 8,550 | 173,309 |
| Comcast Corp. - Class A* | 7,875 | 243,731 |
| DreamWorks Animation SKG, Inc. - Class A* | 200 | 5,420 |
| The E.W. Scripps Co. - Class A | 7,900 | 364,032 |
| GCap Media plc (United Kingdom) (Note 7) | 1,350 | 6,252 |
| Impresa S.A. (SGPS)* (Portugal) (Note 7) | 500 | 3,204 |
| Pearson plc (United Kingdom) (Note 7) | 1,175 | 16,282 |
| Reed Elsevier plc - ADR (United Kingdom) (Note 7) | 175 | 6,965 |
| Reuters Group plc (United Kingdom) (Note 7) | 1,900 | 13,476 |
| Scholastic Corp.* | 400 | 10,616 |
| Time Warner, Inc. | 25,300 | 440,220 |
| Wolters Kluwer N.V. (Netherlands) (Note 7) | 350 | 9,117 |
| | | 1,295,093 |
| | | |
Multiline Retail - 0.02% | | |
| PPR S.A. (France) (Note 7) | 75 | 9,725 |
The accompanying notes are an integral part of the financial statements.
3
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Conservative Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Consumer Discretionary (continued) | | |
Specialty Retail - 0.43% | | |
| Build-A-Bear Workshop, Inc.* | 325 | $10,497 |
| Douglas Holding AG (Germany) (Note 7) | 400 | 19,224 |
| Kingfisher plc (United Kingdom) (Note 7) | 3,675 | 15,093 |
| KOMERI Co. Ltd. (Japan) (Note 7) | 100 | 3,373 |
| Office Depot, Inc.* | 4,850 | 196,813 |
| Pier 1 Imports, Inc. | 700 | 8,449 |
| | | 253,449 |
| | | |
Textiles, Apparel & Luxury Goods - 0.01% | | |
| LVMH S.A. (Louis Vuitton Moet Hennessy) (France) (Note 7) | 50 | 5,263 |
Total Consumer Discretionary | | 2,553,024 |
| | | |
Consumer Staples - 3.41% | | |
Beverages - 0.76% | | |
| The Coca-Cola Co. | 10,450 | 438,482 |
| Diageo plc (United Kingdom) (Note 7) | 125 | 2,063 |
| Heineken N.V. (Netherlands) (Note 7) | 175 | 7,088 |
| Scottish & Newcastle plc (United Kingdom) (Note 7) | 225 | 2,080 |
| | | 449,713 |
| | | |
Food & Staples Retailing - 0.85% | | |
| Carrefour S.A. (France) (Note 7) | 5,300 | 307,396 |
| Metro AG (Germany) (Note 7) | 100 | 5,659 |
| Pathmark Stores, Inc.* | 700 | 7,245 |
| Tesco plc (United Kingdom) (Note 7) | 350 | 2,039 |
| Wal-Mart Stores, Inc. | 4,100 | 184,623 |
| | | 506,962 |
| | | |
Food Products - 1.41% | | |
| Cadbury Schweppes plc (United Kingdom) (Note 7) | 675 | 6,695 |
| Groupe Danone (France) (Note 7) | 100 | 12,475 |
| The Hain Celestial Group, Inc.* | 475 | 12,777 |
| Nestle S.A. (Switzerland) (Note 7) | 1,050 | 320,344 |
| Suedzucker AG (Germany) (Note 7) | 150 | 4,115 |
| Unilever plc - ADR (United Kingdom) (Note 7) | 11,214 | 479,174 |
| | | 835,580 |
| | | |
Household Products - 0.02% | | |
| Kimberly-Clark de Mexico S.A. de C.V. - ADR (Mexico) (Note 7) | 575 | 10,126 |
| Reckitt Benckiser plc (United Kingdom) (Note 7) | 75 | 2,734 |
| | | 12,860 |
The accompanying notes are an integral part of the financial statements.
4
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Conservative Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Consumer Staples (continued) | | |
Personal Products - 0.37% | | |
| Clarins S.A. (France) (Note 7) | 217 | $15,274 |
| The Estee Lauder Companies, Inc. - Class A | 5,475 | 203,232 |
| | | 218,506 |
Total Consumer Staples | | 2,023,621 |
| | | |
Energy - 2.34% | | |
Energy Equipment & Services - 1.86% | | |
| Abbot Group plc (United Kingdom) (Note 7) | 2,275 | 13,709 |
| Baker Hughes, Inc. | 1,500 | 121,245 |
| Compagnie Generale de Geophysique S.A. (CGG)* (France) (Note 7) | 125 | 20,198 |
| Cooper Cameron Corp.* (now known as Cameron International Corp.) | 2,750 | 138,160 |
| Helmerich & Payne, Inc. | 50 | 3,637 |
| National-Oilwell Varco, Inc.* | 3,791 | 261,465 |
| Pride International, Inc.* | 600 | 20,934 |
| Schlumberger Ltd. | 5,100 | 352,614 |
| Scomi Group Berhad (Malaysia) (Note 7) | 20,000 | 7,008 |
| Weatherford International Ltd.* | 3,150 | 166,729 |
| | | 1,105,699 |
| | | |
Oil, Gas & Consumable Fuels - 0.48% | | |
| Amerada Hess Corp. (now known as Hess Corp.) | 1,650 | 236,395 |
| BP plc (United Kingdom) (Note 7) | 175 | 2,159 |
| Eni S.p.A. (Italy) (Note 7) | 575 | 17,552 |
| Forest Oil Corp.* | 175 | 6,400 |
| Mariner Energy, Inc.* | 141 | 2,742 |
| Petroleo Brasileiro S.A. (Petrobras) - ADR (Brazil) (Note 7) | 75 | 6,667 |
| Royal Dutch Shell plc - Class B (United Kingdom) (Note 7) | 71 | 2,539 |
| Total S.A. (France) (Note 7) | 25 | 6,912 |
| | | 281,366 |
Total Energy | | 1,387,065 |
| | | |
Financials - 2.63% | | |
Capital Markets - 0.90% | | |
| The Bank of New York Co., Inc. | 6,325 | 222,324 |
| The Charles Schwab Corp. | 300 | 5,370 |
| Deutsche Bank AG (Germany) (Note 7) | 175 | 21,399 |
| Franklin Resources, Inc. | 50 | 4,656 |
| Janus Capital Group, Inc. | 325 | 6,324 |
Mellon Financial Corp.1 | 250 | 9,408 |
| Merrill Lynch & Co., Inc. | 100 | 7,626 |
| Morgan Stanley | 125 | 8,038 |
The accompanying notes are an integral part of the financial statements.
5
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Conservative Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Financials (continued) | | |
Capital Markets (continued) | | |
| SEI Investments Co. | 5,700 | $244,758 |
| T. Rowe Price Group, Inc. | 50 | 4,210 |
| | | 534,113 |
| | | |
Commercial Banks - 1.46% | | |
| Aareal Bank AG* (Germany) (Note 7) | 175 | 8,251 |
| ABN AMRO Holding N.V. (Netherlands) (Note 7) | 400 | 11,953 |
| Barclays plc (United Kingdom) (Note 7) | 1,625 | 20,295 |
| BNP Paribas (France) (Note 7) | 50 | 4,724 |
| Commerzbank AG (Germany) (Note 7) | 450 | 18,590 |
| Credit Agricole S.A. (France) (Note 7) | 200 | 8,058 |
| Fifth Third Bancorp | 50 | 2,021 |
| The Hachijuni Bank Ltd. (Japan) (Note 7) | 1,000 | 8,081 |
| Huntington Bancshares, Inc. | 100 | 2,415 |
| KeyCorp | 100 | 3,822 |
| M&T Bank Corp. | 25 | 2,985 |
| Marshall & Ilsley Corp. | 100 | 4,572 |
| National City Corp. | 100 | 3,690 |
| PNC Financial Services Group, Inc. | 3,500 | 250,145 |
| Royal Bank of Scotland Group plc (United Kingdom) (Note 7) | 675 | 22,042 |
| Societe Generale (France) (Note 7) | 25 | 3,819 |
| The Sumitomo Trust and Banking Co. Ltd. (Japan) (Note 7) | 1,000 | 10,646 |
| SunTrust Banks, Inc. | 50 | 3,866 |
| TCF Financial Corp. | 150 | 4,029 |
| U.S. Bancorp | 6,625 | 208,290 |
| UniCredito Italiano S.p.A. (Italy) (Note 7) | 875 | 6,589 |
| Wachovia Corp. | 4,150 | 248,378 |
| Wells Fargo & Co. | 100 | 6,869 |
| Zions Bancorporation | 75 | 6,227 |
| | | 870,357 |
| | | |
Consumer Finance - 0.01% | | |
| Capital One Financial Corp. | 50 | 4,332 |
| | | |
Diversified Financial Services - 0.09% | | |
| Bank of America Corp. | 350 | 17,472 |
| Citigroup, Inc. | 175 | 8,741 |
| ING Groep N.V. (Netherlands) (Note 7) | 225 | 9,156 |
| JPMorgan Chase & Co. | 400 | 18,152 |
| Moody’s Corp. | 25 | 1,550 |
| | | 55,071 |
The accompanying notes are an integral part of the financial statements.
6
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Conservative Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Financials (continued) | | |
Insurance - 0.15% | | |
| Allianz AG (Germany) (Note 7) | 200 | $33,427 |
| Ambac Financial Group, Inc. | 100 | 8,236 |
| American International Group, Inc. | 150 | 9,787 |
| Assicurazioni Generali S.p.A. (Italy) (Note 7) | 150 | 5,621 |
| Axa (France) (Note 7) | 200 | 7,339 |
| Marsh & McLennan Companies, Inc. | 50 | 1,534 |
| MBIA, Inc. | 50 | 2,982 |
| Muenchener Rueckver AG (Germany) (Note 7) | 75 | 10,613 |
| Principal Financial Group, Inc. | 50 | 2,565 |
| Torchmark Corp. | 25 | 1,503 |
| Willis Group Holdings Ltd. (United Kingdom) (Note 7) | 100 | 3,515 |
| | | 87,122 |
| | | |
Real Estate Investment Trusts (REITS) - 0.00%** | | |
| Friedman, Billings, Ramsey Group, Inc. - Class A | 150 | 1,622 |
| | | |
Thrifts & Mortgage Finance - 0.02% | | |
| BankAtlantic Bancorp, Inc. - Class A | 450 | 6,714 |
| Flagstar Bancorp, Inc. | 200 | 3,200 |
| New York Community Bancorp, Inc. | 100 | 1,721 |
| | | 11,635 |
Total Financials | | 1,564,252 |
| | | |
Health Care - 4.24% | | |
Biotechnology - 0.07% | | |
| Millennium Pharmaceuticals, Inc.* | 2,300 | 20,884 |
| Senomyx, Inc.* | 625 | 8,944 |
| Solexa, Inc.* | 1,300 | 12,233 |
| | | 42,061 |
| | | |
Health Care Equipment & Supplies - 1.24% | | |
| Align Technology, Inc.* | 1,300 | 11,427 |
| Bausch & Lomb, Inc. | 3,875 | 189,681 |
| Biomet, Inc. | 300 | 11,154 |
| The Cooper Companies, Inc. | 3,425 | 187,758 |
| DENTSPLY International, Inc. | 3,000 | 179,010 |
| Edwards Lifesciences Corp.* | 375 | 16,665 |
| IntraLase Corp.* | 1,450 | 31,146 |
| Inverness Medical Innovations, Inc. | 1,050 | 27,300 |
| Mentor Corp. | 300 | 12,999 |
| Orthovita, Inc.* | 2,225 | 8,789 |
| Wright Medical Group, Inc.* | 2,075 | 48,700 |
| Zoll Medical Corp.* | 500 | 13,250 |
| | | 737,879 |
The accompanying notes are an integral part of the financial statements.
7
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Conservative Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Health Care (continued) | | |
Health Care Providers & Services - 0.26% | | |
| AMERIGROUP Corp.* | 1,025 | $26,476 |
| AmerisourceBergen Corp. | 175 | 7,551 |
| AMN Healthcare Services, Inc.* | 1,325 | 25,466 |
| Cardinal Health, Inc. | 125 | 8,419 |
| Cross Country Healthcare, Inc.* | 1,075 | 19,479 |
| Healthways, Inc.* | 150 | 7,359 |
| McKesson Corp. | 150 | 7,289 |
| Patterson Companies, Inc.* | 500 | 16,290 |
| Tenet Healthcare Corp.* | 2,100 | 17,472 |
| Triad Hospitals, Inc.* | 375 | 15,450 |
| | | 151,251 |
| | | |
Health Care Technology - 1.06% | | |
| AMICAS, Inc.* | 6,600 | 30,096 |
| Emdeon Corp.* | 48,400 | 552,244 |
| iSOFT Group plc (United Kingdom) (Note 7) | 5,175 | 11,087 |
| Merge Technologies, Inc.* | 775 | 9,796 |
| Omnicell, Inc.* | 2,000 | 26,640 |
| | | 629,863 |
| | | |
Life Sciences Tools & Services - 0.75% | | |
| Affymetrix, Inc.* | 5,875 | 168,319 |
| Caliper Life Sciences, Inc.* | 2,250 | 13,702 |
| Charles River Laboratories International, Inc.* | 475 | 22,444 |
| PerkinElmer, Inc. | 10,850 | 232,624 |
| Xenogen Corp.* | 1,550 | 5,937 |
| | | 443,026 |
| | | |
Pharmaceuticals - 0.86% | | |
| AstraZeneca plc (United Kingdom) (Note 7) | 25 | 1,381 |
| Novartis AG - ADR (Switzerland) (Note 7) | 7,975 | 458,642 |
| Sanofi-Aventis - ADR (France) (Note 7) | 300 | 14,112 |
| Sanofi-Aventis (France) (Note 7) | 41 | 3,866 |
| Shire plc (United Kingdom) (Note 7) | 200 | 3,118 |
| Valeant Pharmaceuticals International | 1,675 | 29,983 |
| | | 511,102 |
Total Health Care | | 2,515,182 |
| | | |
Industrials - 1.93% | | |
Aerospace & Defense - 0.40% | | |
| Empresa Brasileira de Aeronautica S.A. (Embraer) - ADR (Brazil) (Note 7) | 6,050 | 234,921 |
| | | |
Air Freight & Logistics - 0.40% | | |
| Deutsche Post AG (Germany) (Note 7) | 175 | 4,667 |
The accompanying notes are an integral part of the financial statements.
8
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Conservative Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Industrials (continued) | | |
Air Freight & Logistics (continued) | | |
| TNT N.V. (Netherlands) (Note 7) | 475 | $17,100 |
| United Parcel Service, Inc. - Class B | 2,650 | 214,836 |
| | | 236,603 |
| | | |
Airlines - 0.53% | | |
| AirTran Holdings, Inc.* | 650 | 9,087 |
| Deutsche Lufthansa AG (Germany) (Note 7) | 450 | 8,282 |
| JetBlue Airways Corp.* | 8,100 | 83,106 |
| Southwest Airlines Co. | 13,350 | 216,537 |
| | | 317,012 |
| | | |
Commercial Services & Supplies - 0.02% | | |
| ChoicePoint, Inc.* | 75 | 3,302 |
| The Dun & Bradstreet Corp.* | 100 | 7,702 |
| Herman Miller, Inc. | 100 | 3,079 |
| | | 14,083 |
| | | |
Electrical Equipment - 0.07% | | |
| ABB (Asea Brown Boveri) Ltd. - ADR* (Switzerland) (Note 7) | 2,150 | 30,573 |
| Gamesa Corporacion Tecnologica S.A. (Spain) (Note 7) | 200 | 4,347 |
| Plug Power, Inc.* | 850 | 5,100 |
| | | 40,020 |
| | | |
Industrial Conglomerates - 0.49% | | |
| 3M Co. | 3,100 | 264,833 |
| Siemens AG (Germany) (Note 7) | 200 | 18,959 |
| Tyco International Ltd. (Bermuda) (Note 7) | 275 | 7,246 |
| | | 291,038 |
| | | |
Machinery - 0.02% | | |
| MAN AG (Germany) (Note 7) | 200 | 15,157 |
Total Industrials | | 1,148,834 |
| | | |
Information Technology - 4.35% | | |
Communications Equipment - 2.25% | | |
| Blue Coat Systems, Inc.* | 1,250 | 27,200 |
| Cisco Systems, Inc.* | 29,125 | 610,169 |
| ECI Telecom Ltd.* (Israel) (Note 7) | 525 | 5,607 |
| Inter-Tel, Inc. | 1,425 | 32,689 |
| Juniper Networks, Inc.* | 18,575 | 343,266 |
| Packeteer, Inc.* | 2,075 | 27,100 |
| Polycom, Inc.* | 425 | 9,350 |
| RADWARE Ltd.* (Israel) (Note 7) | 1,200 | 19,020 |
| Research In Motion Ltd. (RIM)* (Canada) (Note 7) | 2,800 | 214,564 |
The accompanying notes are an integral part of the financial statements.
9
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Conservative Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Information Technology (continued) | | |
Communications Equipment (continued) | | |
| Spirent plc* (United Kingdom) (Note 7) (now known as Spirent Communications plc) | 26,075 | $19,611 |
| Tandberg ASA (Norway) (Note 7) | 2,650 | 26,988 |
| | | 1,335,564 |
| | | |
Computers & Peripherals - 0.77% | | |
| EMC Corp.* | 17,875 | 241,491 |
| International Business Machines (IBM) Corp. | 2,625 | 216,142 |
| | | 457,633 |
| | | |
Electronic Equipment & Instruments - 0.02% | | |
| DTS, Inc.* | 525 | 9,849 |
| | | |
IT Services - 0.44% | | |
| Automatic Data Processing, Inc. | 200 | 8,816 |
The BISYS Group, Inc.*2 | 450 | 7,173 |
| First Data Corp. | 4,650 | 221,758 |
| Fiserv, Inc.* | 200 | 9,016 |
| MoneyGram International, Inc. | 75 | 2,543 |
| RightNow Technologies, Inc.* | 825 | 15,271 |
| | | 264,577 |
| | | |
Semiconductors & Semiconductor Equipment - 0.09% | | |
| ATI Technologies, Inc.* (Canada) (Note 7) | 300 | 4,656 |
| Cabot Microelectronics Corp.* | 475 | 15,537 |
| Exar Corp.* | 775 | 11,230 |
| Taiwan Semiconductor Manufacturing Co. Ltd. - ADR (Taiwan) (Note 7) | 2,122 | 22,239 |
| | | 53,662 |
| | | |
Software - 0.78% | | |
| Agile Software Corp.* | 1,900 | 13,243 |
| Amdocs Ltd.* (Guernsey) (Note 7) | 900 | 33,480 |
| Borland Software Corp.* | 3,850 | 19,635 |
| Cognos, Inc.* (Canada) (Note 7) | 125 | 4,659 |
| Kronos, Inc.* | 225 | 10,269 |
| Mercury Interactive Corp.* | 375 | 13,500 |
| Misys plc (United Kingdom) (Note 7) | 1,475 | 5,594 |
| NAVTEQ Corp.* | 250 | 10,380 |
| Quality Systems, Inc. | 600 | 20,136 |
| Salesforce.com, Inc.* | 450 | 15,773 |
| SAP AG (Germany) (Note 7) | 75 | 16,405 |
| Symantec Corp.* | 11,150 | 182,637 |
| Synopsys, Inc.* | 5,075 | 110,787 |
| Take-Two Interactive Software, Inc.* | 300 | 5,115 |
| | | 461,613 |
Total Information Technology | | 2,582,898 |
The accompanying notes are an integral part of the financial statements.
10
Investment Portfolio - April 30, 2006 (unaudited)
| | Shares/ | Value |
Pro-Blend® Conservative Term Series | Principal Amount | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Materials - 0.64% | | |
Chemicals - 0.61% | | |
| Air Liquide S.A. (France) (Note 7) | 27 | $5,841 |
| Bayer AG (Germany) (Note 7) | 250 | 11,510 |
| Degussa AG (Germany) (Note 7) | 75 | 4,276 |
| Lanxess* (Germany) (Note 7) | 142 | 5,825 |
| Lonza Group AG (Switzerland) (Note 7) | 2,450 | 173,899 |
| Minerals Technologies, Inc. | 2,650 | 151,633 |
| Nalco Holding Co.* | 450 | 8,482 |
| | | 361,466 |
| | | |
Containers & Packaging - 0.01% | | |
| Caraustar Industries, Inc.* | 600 | 5,946 |
| | | |
Paper & Forest Products - 0.02% | | |
| Sappi Ltd. - ADR (South Africa) (Note 7) | 900 | 12,636 |
Total Materials | | 380,048 |
| | | |
Telecommunication Services - 0.98% | | |
Wireless Telecommunication Services - 0.98% | | |
| Vodafone Group plc - ADR (United Kingdom) (Note 7) | 24,550 | 581,835 |
| | | |
Utilities - 1.41% | | |
Electric Utilities - 1.01% | | |
| Allegheny Energy, Inc.* | 10,825 | 385,695 |
| American Electric Power Co., Inc. | 5,750 | 192,395 |
| E.ON AG (Germany) (Note 7) | 175 | 21,445 |
| Westar Energy, Inc. | 100 | 2,094 |
| | | 601,629 |
| | | |
Independent Power Producers & Energy Traders - 0.01% | | |
| Drax Group plc (United Kingdom) (Note 7) | 425 | 6,122 |
| | | |
Multi-Utilities - 0.39% | | |
| Aquila, Inc.* | 1,400 | 6,062 |
| Xcel Energy, Inc. | 11,875 | 223,725 |
| | | 229,787 |
Total Utilities | | 837,538 |
| | | |
TOTAL COMMON STOCKS | | |
| (Identified Cost $13,260,455) | | 15,574,297 |
| | | |
CORPORATE BONDS - 1.07% | | |
Consumer Discretionary - 0.36% | | |
Automobiles - 0.14% | | |
| General Motors Acceptance Corp., 4.50%, 7/15/2006 | $25,000 | 24,818 |
The accompanying notes are an integral part of the financial statements.
11
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Conservative Term Series | Principal Amount | (Note 2) |
| | | |
CORPORATE BONDS (continued) | | |
| | | |
Consumer Discretionary (continued) | | |
Automobiles (continued) | | |
| General Motors Acceptance Corp., 6.125%, 9/15/2006 | $55,000 | $54,567 |
| | | 79,385 |
| | | |
Leisure Equipment & Products - 0.04% | | |
| Eastman Kodak Co., 6.375%, 6/15/2006 | 25,000 | 25,005 |
| | | |
Media - 0.14% | | |
| AOL Time Warner (now known as Time Warner, Inc.), 6.75%, 4/15/2011 | 25,000 | 25,919 |
| Comcast Cable Communications, Inc., 6.75%, 1/30/2011 | 25,000 | 26,009 |
| The Walt Disney Co., 7.00%, 3/1/2032 | 30,000 | 32,376 |
| | | 84,304 |
| | | |
Multiline Retail - 0.04% | | |
| Target Corp., 5.875%, 3/1/2012 | 25,000 | 25,393 |
Total Consumer Discretionary | | 214,087 |
| | | |
Energy - 0.04% | | |
Oil, Gas & Consumable Fuels - 0.04% | | |
| Amerada Hess Corp. (now known as Hess Corp.), 6.65%, 8/15/2011 | 25,000 | 26,061 |
| | | |
Financials - 0.36% | | |
Capital Markets - 0.05% | | |
| Goldman Sachs Capital I, 6.345%, 2/15/2034 | 30,000 | 28,778 |
| | | |
Commercial Banks - 0.15% | | |
| PNC Funding Corp., 7.50%, 11/1/2009 | 25,000 | 26,624 |
| U.S. Bank National Association, 6.375%, 8/1/2011 | 30,000 | 31,113 |
| Wachovia Corp., 5.25%, 8/1/2014 | 35,000 | 33,528 |
| | | 91,265 |
| | | |
Diversified Financial Services - 0.07% | | |
| Bank of America Corp. Capital Trust VI, 5.625%, 3/8/2035 | 45,000 | 40,323 |
| | | |
Insurance - 0.09% | | |
| Ambac Financial Group, Inc., 5.95%, 12/5/2035 | 35,000 | 32,743 |
| American International Group, Inc., 4.25%, 5/15/2013 | 25,000 | 22,887 |
| | | 55,630 |
Total Financials | | 215,996 |
| | | |
Industrials - 0.16% | | |
Airlines - 0.06% | | |
| Southwest Airlines Co., 5.25%, 10/1/2014 | 35,000 | 32,916 |
The accompanying notes are an integral part of the financial statements.
12
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Conservative Term Series | Principal Amount | (Note 2) |
| | | |
CORPORATE BONDS (continued) | | |
| | | |
Industrials (continued) | | |
Industrial Conglomerates - 0.06% | | |
| General Electric Capital Corp., 6.75%, 3/15/2032 | $30,000 | $32,395 |
| | | |
Road & Rail - 0.04% | | |
| CSX Corp., 6.75%, 3/15/2011 | 25,000 | 26,132 |
Total Industrials | | 91,443 |
| | | |
Information Technology - 0.06% | | |
Communications Equipment - 0.06% | | |
| Corning, Inc., 5.90%, 3/15/2014 | 35,000 | 34,117 |
| | | |
Materials - 0.05% | | |
Metals & Mining - 0.05% | | |
| Alcoa, Inc., 7.375%, 8/1/2010 | 25,000 | 26,711 |
| | | |
Telecommunication Services - 0.04% | | |
Diversified Telecommunication Services - 0.04% | | |
| Verizon Wireless Capital LLC, 5.375%, 12/15/2006 | 25,000 | 25,013 |
| | | |
TOTAL CORPORATE BONDS | | |
| (Identified Cost $655,495) | | 633,428 |
| | | |
U.S. TREASURY SECURITIES - 27.51% | | |
U.S. Treasury Bonds - 6.96% | | |
| U.S. Treasury Bond, 6.875%, 8/15/2025 | 170,000 | 201,756 |
| U.S. Treasury Bond, 5.50%, 8/15/2028 | 3,835,000 | 3,931,473 |
| | | |
Total U.S. Treasury Bonds | | |
| (Identified Cost $4,370,599) | | 4,133,229 |
| | | |
U.S. Treasury Notes - 20.55% | | |
| U.S. Treasury Note, 7.00%, 7/15/2006 | 25,000 | 25,103 |
| U.S. Treasury Note, 6.50%, 10/15/2006 | 15,000 | 15,101 |
| U.S. Treasury Note, 3.50%, 11/15/2006 | 700,000 | 694,532 |
| U.S. Treasury Note, 3.625%, 4/30/2007 | 2,000,000 | 1,974,532 |
| U.S. Treasury Note, 4.375%, 5/15/2007 | 500,000 | 497,304 |
| U.S. Treasury Note, 6.625%, 5/15/2007 | 35,000 | 35,593 |
| U.S. Treasury Note, 3.25%, 8/15/2007 | 1,050,000 | 1,028,426 |
| U.S. Treasury Note, 6.125%, 8/15/2007 | 15,000 | 15,224 |
| U.S. Treasury Note, 3.00%, 2/15/2008 | 400,000 | 387,203 |
| U.S. Treasury Note, 5.50%, 2/15/2008 | 90,000 | 90,991 |
| U.S. Treasury Note, 5.625%, 5/15/2008 | 10,000 | 10,143 |
| U.S. Treasury Note, 3.25%, 8/15/2008 | 300,000 | 289,535 |
| Interest Stripped - Principal Payment, 2/15/2009 | 17,000 | 14,857 |
| U.S. Treasury Note, 3.50%, 11/15/2009 | 2,000,000 | 1,910,000 |
| U.S. Treasury Note, 3.875%, 5/15/2010 | 1,000,000 | 962,500 |
| U.S. Treasury Note, 5.00%, 2/15/2011 | 1,000,000 | 1,004,258 |
The accompanying notes are an integral part of the financial statements.
13
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Conservative Term Series | Principal Amount | (Note 2) |
| | | |
U.S. TREASURY SECURITIES (continued) | | |
U.S. Treasury Notes (continued) | | |
| U.S. Treasury Note, 3.625%, 5/15/2013 | $3,525,000 | $3,241,347 |
| | | |
Total U.S. Treasury Notes | | |
| (Identified Cost $12,522,712) | | 12,196,649 |
| | | |
TOTAL U.S. TREASURY SECURITIES | | |
| (Identified Cost $16,893,311) | | 16,329,878 |
| | | |
U.S. GOVERNMENT AGENCIES - 11.17% | | |
Mortgage-Backed Securities - 11.15% | | |
| Fannie Mae, Pool #805347, 5.50%, 1/1/2020 | 31,873 | 31,641 |
| Fannie Mae, Pool #851149, 5.00%, 4/1/2021 | 493,476 | 480,545 |
| Fannie Mae, Pool #747607, 6.50%, 11/1/2033 | 41,021 | 41,791 |
Fannie Mae, TBA3, 4.50%, 5/15/2021 | 96,000 | 91,380 |
Fannie Mae, TBA3, 5.00%, 6/15/2021 | 91,000 | 88,526 |
Fannie Mae, TBA3, 6.00%, 5/15/2036 | 123,000 | 122,423 |
Fannie Mae, TBA3, 5.00%, 6/15/2036 | 173,000 | 163,485 |
Fannie Mae, TBA3, 5.50%, 7/15/2036 | 292,000 | 283,058 |
| Federal Home Loan Mortgage Corp., Pool #B16835, 5.50%, 10/1/2019 | 25,715 | 25,501 |
| Federal Home Loan Mortgage Corp., Pool #G11912, 5.50%, 3/1/2021 | 494,565 | 490,258 |
| Federal Home Loan Mortgage Corp., Pool #G01736, 6.50%, 9/1/2034 | 19,626 | 19,990 |
Federal Home Loan Mortgage Corp., TBA3, 4.50%, 5/15/2021 | 101,000 | 96,076 |
Federal Home Loan Mortgage Corp., TBA3, 5.00%, 7/15/2021 | 75,000 | 72,820 |
Federal Home Loan Mortgage Corp., TBA3, 6.00%, 5/15/2036 | 64,000 | 63,780 |
Federal Home Loan Mortgage Corp., TBA3, 5.50%, 6/15/2036 | 149,000 | 144,623 |
Federal Home Loan Mortgage Corp., TBA3, 5.00%, 7/15/2036 | 133,000 | 125,560 |
| GNMA, Pool #365225, 9.00%, 11/15/2024 | 2,177 | 2,361 |
| GNMA, Pool #398655, 6.50%, 5/15/2026 | 2,601 | 2,681 |
| GNMA, Pool #452826, 9.00%, 1/15/2028 | 3,974 | 4,321 |
| GNMA, Pool #460820, 6.00%, 6/15/2028 | 16,313 | 16,409 |
| GNMA, Pool #458983, 6.00%, 1/15/2029 | 41,857 | 42,082 |
| GNMA, Pool #530481, 8.00%, 8/15/2030 | 17,747 | 18,970 |
| GNMA, Pool #577796, 6.00%, 1/15/2032 | 70,954 | 71,269 |
| GNMA, Pool #631703, 6.50%, 9/15/2034 | 12,065 | 12,415 |
| GNMA, Pool #003808M, 6.00%, 1/20/2036 | 795,756 | 796,490 |
| GNMA, Pool #651235X, 6.50%, 2/15/2036 | 1,548,580 | 1,593,240 |
| GNMA, Pool #003808M, 5.50%, 3/20/2036 | 1,597,164 | 1,561,378 |
GNMA, TBA3, 5.50%, 5/15/2036 | 72,000 | 70,672 |
The accompanying notes are an integral part of the financial statements.
14
Investment Portfolio - April 30, 2006 (unaudited)
| | Principal Amount/ | Value |
Pro-Blend® Conservative Term Series | Shares | (Note 2) |
| | | |
U.S. GOVERNMENT AGENCIES (continued) | | |
Mortgage-Backed Securities (continued) | | |
GNMA, TBA3, 6.00%, 5/15/2036 | $46,000 | $46,173 |
GNMA, TBA3, 5.00%, 6/15/2036 | 38,000 | 36,397 |
| | | |
Total Mortgage-Backed Securities | | |
| (Identified Cost $6,707,498) | | 6,616,315 |
| | | |
Other Agencies - 0.02% | | |
| Fannie Mae, 5.25%, 1/15/2009 | | |
| (Identified Cost $15,655) | 15,000 | 15,036 |
| | | |
TOTAL U.S. GOVERNMENT AGENCIES | | |
| (Identified Cost $6,723,153) | | 6,631,351 |
| | | |
SHORT-TERM INVESTMENTS - 35.38% | | |
| Dreyfus Treasury Cash Management - Institutional Shares | 2,286,058 | 2,286,058 |
| Fannie Mae Discount Note, 5/5/2006 | $3,000,000 | 2,998,131 |
| Federal Home Loan Bank Discount Note, 5/5/2006 | 3,000,000 | 2,998,483 |
| U.S. Treasury Bill, 6/22/2006 | 12,800,000 | 12,717,847 |
| | | |
TOTAL SHORT-TERM INVESTMENTS | | |
| (Identified Cost $20,999,247) | | 21,000,519 |
| | | |
TOTAL INVESTMENTS - 101.36% | | |
| (Identified Cost $58,531,661) | | 60,169,473 |
| | | |
LIABILITIES, LESS OTHER ASSETS - (1.36%) | | (809,158) |
| | | |
NET ASSETS - 100% | | $59,360,315 |
*Non-income producing security
**Less than 0.01%
1Mellon Financial Corp. is the parent company of Mellon Trust of New England N.A., the Fund's custodian.
2A subsidiary of the company serves as the Fund's sub-accounting services and sub-transfer agent. An employee of the company serves as an officer of the Fund (See Note 4 to Financial Statements).
3Securities purchased on a forward commitment or when-issued basis. TBA - to be announced.
ADR - American Depository Receipt
The accompanying notes are an integral part of the financial statements.
15
Statement of Assets and Liabilities - Pro-Blend® Conservative Term (unaudited)
April 30, 2006
ASSETS: | |
| | |
| Investments, at value (identified cost $58,531,661) (Note 2) | $60,169,473 |
| Foreign currency, at value (cost $628) | 628 |
| Interest receivable | 275,322 |
| Receivable for securities sold | 254,373 |
| Receivable for fund shares sold | 239,237 |
| Dividends receivable | 15,150 |
| Foreign tax reclaims receivable | 5,314 |
| | |
| TOTAL ASSETS | 60,959,497 |
| | |
LIABILITIES: | |
| | |
| Accrued management fees (Note 3) | 34,982 |
| Accrued fund accounting and transfer agent fees (Note 3) | 6,005 |
| Accrued directors' fees (Note 3) | 172 |
| Accrued Chief Compliance Officer service fees (Note 3) | 104 |
| Payable for purchases of delayed delivery securities (Note 2) | 1,418,455 |
| Payable for securities purchased | 116,192 |
| Audit fees payable | 18,731 |
| Payable for fund shares repurchased | 808 |
| Other payables and accrued expenses | 3,733 |
| | |
| TOTAL LIABILITIES | 1,599,182 |
| | |
TOTAL NET ASSETS | $59,360,315 |
| | |
NET ASSETS CONSIST OF: | |
| | |
| Capital stock | $50,036 |
| Additional paid-in-capital | 56,596,848 |
| Undistributed net investment income | 442,895 |
| Accumulated net realized gain on investments and other assets and liabilities | 632,531 |
| Net unrealized appreciation on investments and other assets and liabilities | 1,638,005 |
| | |
TOTAL NET ASSETS | $59,360,315 |
| | |
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - CLASS A ($59,360,315/5,003,627 shares) | $11.86 |
The accompanying notes are an integral part of the financial statements.
16
Statement of Operations - Pro-Blend® Conservative Term (unaudited)
For the Six Months Ended April 30, 2006
INVESTMENT INCOME: | |
| | |
| Interest | $726,566 |
| Dividends (net of foreign tax withheld, $3,769) | 139,535 |
| | |
| Total Investment Income | 866,101 |
| | |
EXPENSES: | |
| | |
| Management fees (Note 3) | 206,564 |
| Fund accounting and transfer agent fees (Note 3) | 29,557 |
| Directors' fees (Note 3) | 4,016 |
| Chief Compliance Officer service fees (Note 3) | 2,429 |
| Audit fees | 15,760 |
| Custodian fees | 9,858 |
| Miscellaneous | 15,909 |
| | |
| Total Expenses | 284,093 |
| Less reduction of expenses (Note 3) | (25,529) |
| | |
| Net Expenses | 258,564 |
| | |
| NET INVESTMENT INCOME | 607,537 |
| | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | |
| | |
| Net realized gain (loss) on - | |
| Investments | 642,539 |
| Foreign currency and other assets and liabilities | (10) |
| | |
| | 642,529 |
| | |
| Net change in unrealized appreciation on - | |
| Investments | 634,097 |
| Foreign currency and other assets and liabilities | 396 |
| | |
| | 634,493 |
| | |
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | 1,277,022 |
| | |
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $1,884,559 |
The accompanying notes are an integral part of the financial statements.
17
Statements of Changes in Net Assets - Pro-Blend® Conservative Term
| | For the Six | |
| | Months Ended | For the |
| | 4/30/06 | Year Ended |
| | (unaudited) | 10/31/05 |
| | | |
INCREASE (DECREASE) IN NET ASSETS: | | |
| | | |
OPERATIONS: | | |
| | | |
| Net investment income | $607,537 | $653,468 |
| Net realized gain on investments | 642,529 | 1,324,501 |
| Net change in unrealized appreciation on investments | 634,493 | (172,144) |
| | | |
| Net increase from operations | 1,884,559 | 1,805,825 |
| | | |
DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | | |
| | | |
| From net investment income | (600,170) | (493,684) |
| From net realized gain on investments | (1,298,762) | (234,753) |
| | | |
| Total distributions to shareholders | (1,898,932) | (728,437) |
| | | |
CAPITAL STOCK ISSUED AND REPURCHASED: | | |
| | | |
| Net increase from capital share transactions (Note 5) | 13,475,549 | 17,977,549 |
| | | |
| Net increase in net assets | 13,461,176 | 19,054,937 |
| | | |
NET ASSETS: | | |
| | | |
| Beginning of period | 45,899,139 | 26,844,202 |
| | | |
End of period (including undistributed net investment income of $442,895 and $435,528, respectively) | $59,360,315 | $45,899,139 |
The accompanying notes are an integral part of the financial statements.
18
Financial Highlights - Pro-Blend® Conservative Term
| | For the Six | | | | | |
| | Months Ended | | | | | |
| | 4/30/06 | For the Years Ended |
| | (unaudited) | 10/31/05 | 10/31/04 | 10/31/03 | 10/31/02 | 10/31/01 |
| | | | | | | |
Per share data (for a share outstanding throughout each period): | | | | | | |
| | | | | | | |
Net asset value - Beginning of period | $11.90 | $11.54 | $11.32 | $10.95 | $11.34 | $11.16 |
| | | | | | | |
| Income from investment operations: | | | | | | |
| Net investment income | 0.13 | 0.17 | 0.18 | 0.17 | 0.302 | 0.46 |
| Net realized and unrealized gain on investments | 0.30 | 0.46 | 0.48 | 0.45 | 0.152 | 0.51 |
| | | | | | | |
| Total from investment operations | 0.43 | 0.63 | 0.66 | 0.62 | 0.45 | 0.97 |
| | | | | | | |
| Less distributions to shareholders: | | | | | | |
| From net investment income | (0.15) | (0.18) | (0.17) | (0.21) | (0.41) | (0.48) |
| From net realized gain on investments | (0.32) | (0.09) | (0.27) | (0.04) | (0.43) | (0.31) |
| | | | | | | |
| Total distributions to shareholders | (0.47) | (0.27) | (0.44) | (0.25) | (0.84) | (0.79) |
| | | | | | | |
Net asset value - End of period | $11.86 | $11.90 | $11.54 | $11.32 | $10.95 | $11.34 |
| | | | | | | |
Total return1 | 3.74% | 5.49% | 5.93% | 5.75% | 4.35% | 9.09% |
| | | | | | | |
Ratios (to average net assets)/Supplemental Data: | | | | | | |
| Expenses* | 1.00%3 | 1.00% | 1.00% | 1.00% | 1.00% | 1.00% |
| Net investment income | 2.35%3 | 1.81% | 1.77% | 1.90% | 2.95%2 | 3.84% |
| | | | | | | |
| Portfolio turnover | 32% | 60% | 25% | 40% | 55% | 42% |
| | | | | | | |
Net assets - End of period (000's omitted) | $59,360 | $45,899 | $26,844 | $19,991 | $12,195 | $4,233 |
*The investment advisor did not impose all or a portion of its management fee and in some periods paid a portion of the Series' expenses. If these expenses had been incurred by the Series, the expense ratio (to average net assets) would have been increased as follows:
| | 0.10%3 | 0.21% | 0.32% | 0.82% | 1.84% | 2.00% |
1Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the period. Periods less than one year are not annualized.
2The Series adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies, which requires the Series to amortize premium and accrete discount on all debt securities (see Note 2 to the financial statements). The effect of this change for the year ended October 31, 2002 was to increase net investment income per share by $0.01, decrease net realized and unrealized gain on investments per share by $0.01, and increase the net investment income ratio from 2.80% to 2.95%. Per share data and ratios for the periods prior to November 1, 2001 have not been restated to reflect this change in presentation.
3Annualized.
The accompanying notes are an integral part of the financial statements.
19
Shareholder Expense Example - Pro-Blend® Moderate Term Series (unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs, including potential wire charges on redemptions and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (November 1, 2005 to April 30, 2006).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as potential wire charges on redemptions. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
| | Beginning | Ending | Expenses Paid |
| | Account Value | Account Value | During Period* |
| | 11/1/05 | 4/30/06 | 11/1/05-4/30/06 |
| Actual | $1,000.00 | $1,069.50 | $5.95 |
| Hypothetical | | | |
| (5% return before expenses) | $1,000.00 | $1,019.04 | $5.81 |
*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 1.16%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year.
20
Portfolio Composition - Pro-Blend® Moderate Term Series (unaudited)
As of April 30, 2006
<graphic>
<pie chart>
Asset Allocation*
| Common Stocks | 53.83% |
| Corporate Bonds | 2.91% |
| U.S. Government Agencies | 4.44% |
U.S. Treasury Bonds1 | 6.07% |
U.S. Treasury Notes2 | 22.66% |
| Cash, short-term investments, and liabilities, less other assets | 10.09% |
*As a percentage of net assets.
1A U.S. Treasury Bond is a long-term obligation of the U.S. Treasury issued with a maturity period of more than ten years.
2A U.S. Treasury Note is an intermediate-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.
Sector Allocation*
| Health Care | 9.06% |
| Information Technology | 8.87% |
| Consumer Discretionary | 8.74% |
| Consumer Staples | 7.00% |
| Financials | 5.51% |
| Energy | 4.97% |
| Industrials | 4.38% |
| Utilities | 2.86% |
| Telecommunication Services | 2.12% |
| Materials | 1.51% |
*Including Common Stocks and Corporate Bonds, as a percentage of total investments.
Top Ten Stock Holdings*
| Cisco Systems, Inc. | 2.15% |
| Vodafone Group plc - ADR (United Kingdom) | 2.06% |
| Emdeon Corp. | 2.00% |
| Unilever plc - ADR (United Kingdom) | 1.93% |
| Novartis AG - ADR (Switzerland) | 1.81% |
| Time Warner, Inc. | 1.54% |
| Carnival Corp. | 1.41% |
| The Coca-Cola Co. | 1.36% |
| Allegheny Energy, Inc. | 1.26% |
| Schlumberger Ltd. | 1.16% |
*As a percentage of total investments.
21
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Moderate Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS - 53.83% | | |
| | | |
Consumer Discretionary - 8.20% | | |
Auto Components - 0.07% | | |
| Autoliv, Inc. (Sweden) (Note 7) | 1,925 | $106,452 |
| Azure Dynamics Corp.* (Canada) (Note 7) | 31,950 | 33,728 |
| Tenneco, Inc.* | 1,775 | 42,689 |
| | | 182,869 |
Automobiles - 0.03% | | |
| Bayerische Motoren Werke AG (BMW) (Germany) (Note 7) | 1,350 | 73,480 |
| | | |
Diversified Consumer Services - 0.03% | | |
| Corinthian Colleges, Inc.* | 5,300 | 78,917 |
| | | |
Hotels, Restaurants & Leisure - 2.37% | | |
| Carnival Corp. | 82,125 | 3,845,092 |
| Club Mediterranee S.A.* (France) (Note 7) | 3,800 | 225,526 |
| International Game Technology | 57,825 | 2,193,302 |
| | | 6,263,920 |
| | | |
Household Durables - 0.05% | | |
| Interface, Inc. - Class A* | 10,325 | 132,779 |
| | | |
Internet & Catalog Retail - 0.09% | | |
| Audible, Inc.* | 22,375 | 241,650 |
| | | |
Leisure Equipment & Products - 0.54% | | |
| K2, Inc.* | 525 | 6,190 |
| Marvel Entertainment, Inc.* | 73,250 | 1,429,107 |
| | | 1,435,297 |
| | | |
Media - 4.10% | | |
| Acme Communications, Inc.* | 6,500 | 29,185 |
| Cablevision Systems Corp. - Class A | 69,325 | 1,405,218 |
| Comcast Corp. - Class A* | 66,050 | 2,044,247 |
| DreamWorks Animation SKG, Inc. - Class A* | 1,500 | 40,650 |
| The E.W. Scripps Co. - Class A | 55,625 | 2,563,200 |
| GCap Media plc (United Kingdom) (Note 7) | 24,900 | 115,316 |
| Impresa S.A. (SGPS)* (Portugal) (Note 7) | 6,100 | 39,088 |
| Pearson plc (United Kingdom) (Note 7) | 7,175 | 99,424 |
| Reed Elsevier plc - ADR (United Kingdom) (Note 7) | 1,650 | 65,670 |
| Reuters Group plc (United Kingdom) (Note 7) | 13,450 | 95,395 |
| Scholastic Corp.* | 3,000 | 79,620 |
| Time Warner, Inc. | 241,575 | 4,203,405 |
| Wolters Kluwer N.V. (Netherlands) (Note 7) | 2,925 | 76,190 |
| | | 10,856,608 |
The accompanying notes are an integral part of the financial statements.
22
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Moderate Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Consumer Discretionary (continued) | | |
Multiline Retail - 0.04% | | |
| Don Quijote Co. Ltd. (Japan) (Note 7) | 700 | $59,701 |
| PPR S.A. (France) (Note 7) | 475 | 61,594 |
| | | 121,295 |
| | | |
Specialty Retail - 0.85% | | |
| Build-A-Bear Workshop, Inc.* | 2,750 | 88,825 |
| Douglas Holding AG (Germany) (Note 7) | 3,375 | 162,200 |
| Kingfisher plc (United Kingdom) (Note 7) | 46,675 | 191,692 |
| KOMERI Co. Ltd. (Japan) (Note 7) | 2,300 | 77,576 |
| Office Depot, Inc.* | 40,925 | 1,660,736 |
| Pier 1 Imports, Inc. | 5,500 | 66,385 |
| | | 2,247,414 |
| | | |
Textiles, Apparel & Luxury Goods - 0.03% | | |
| LVMH S.A. (Louis Vuitton Moet Hennessy) (France) (Note 7) | 700 | 73,685 |
Total Consumer Discretionary | | 21,707,914 |
| | | |
Consumer Staples - 7.16% | | |
Beverages - 1.49% | | |
| The Coca-Cola Co. | 88,725 | 3,722,901 |
| Diageo plc (United Kingdom) (Note 7) | 1,175 | 19,388 |
| Heineken N.V. (Netherlands) (Note 7) | 2,050 | 83,032 |
| Kirin Brewery Co. Ltd. (Japan) (Note 7) | 5,000 | 74,133 |
| Scottish & Newcastle plc (United Kingdom) (Note 7) | 4,650 | 42,985 |
| | | 3,942,439 |
| | | |
Food & Staples Retailing - 1.80% | | |
| Carrefour S.A. (France) (Note 7) | 48,975 | 2,840,509 |
| Metro AG (Germany) (Note 7) | 1,150 | 65,074 |
| Pathmark Stores, Inc.* | 5,325 | 55,114 |
| Tesco plc (United Kingdom) (Note 7) | 7,700 | 44,856 |
| Wal-Mart Stores, Inc. | 38,750 | 1,744,912 |
| | | 4,750,465 |
| | | |
Food Products - 3.14% | | |
| Cadbury Schweppes plc (United Kingdom) (Note 7) | 15,525 | 153,988 |
| Groupe Danone (France) (Note 7) | 1,075 | 134,109 |
| The Hain Celestial Group, Inc.* | 3,950 | 106,255 |
| Nestle S.A. (Switzerland) (Note 7) | 8,400 | 2,562,752 |
| Suedzucker AG (Germany) (Note 7) | 2,500 | 68,589 |
| Unilever plc - ADR (United Kingdom) (Note 7) | 123,473 | 5,276,001 |
| | | 8,301,694 |
The accompanying notes are an integral part of the financial statements.
23
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Moderate Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Consumer Staples (continued) | | |
Household Products - 0.07% | | |
| Kao Corp. (Japan) (Note 7) | 1,000 | $26,877 |
| Kimberly-Clark de Mexico S.A. de C.V. - ADR (Mexico) (Note 7) | 6,775 | 119,312 |
| Reckitt Benckiser plc (United Kingdom) (Note 7) | 1,350 | 49,204 |
| | | 195,393 |
| | | |
Personal Products - 0.66% | | |
| Clarins S.A. (France) (Note 7) | 3,458 | 243,395 |
| The Estee Lauder Companies, Inc. - Class A | 40,500 | 1,503,360 |
| | | 1,746,755 |
Total Consumer Staples | | 18,936,746 |
| | | |
Energy - 4.97% | | |
Energy Equipment & Services - 4.07% | | |
| Abbot Group plc (United Kingdom) (Note 7) | 31,025 | 186,956 |
| Baker Hughes, Inc. | 16,025 | 1,295,301 |
| Compagnie Generale de Geophysique S.A. (CGG)* (France) (Note 7) | 1,400 | 226,219 |
| Cooper Cameron Corp.* (now known as Cameron International Corp.) | 41,200 | 2,069,888 |
| Helmerich & Payne, Inc. | 1,025 | 74,558 |
| National-Oilwell Varco, Inc.* | 34,139 | 2,354,567 |
| Pride International, Inc.* | 5,800 | 202,362 |
| Schlumberger Ltd. | 45,750 | 3,163,155 |
| Scomi Group Berhad (Malaysia) (Note 7) | 159,000 | 55,713 |
| Weatherford International Ltd.* | 21,750 | 1,151,227 |
| | | 10,779,946 |
| | | |
Oil, Gas & Consumable Fuels - 0.90% | | |
| Amerada Hess Corp. (now known as Hess Corp.) | 13,625 | 1,952,054 |
| BP plc (United Kingdom) (Note 7) | 3,950 | 48,721 |
| Eni S.p.A. (Italy) (Note 7) | 4,025 | 122,867 |
| Forest Oil Corp.* | 1,250 | 45,712 |
| Mariner Energy, Inc.* | 1,011 | 19,664 |
| Petroleo Brasileiro S.A. (Petrobras) - ADR (Brazil) (Note 7) | 550 | 48,889 |
| Royal Dutch Shell plc - Class B (United Kingdom) (Note 7) | 1,457 | 52,095 |
| Total S.A. (France) (Note 7) | 300 | 82,950 |
| | | 2,372,952 |
Total Energy | | 13,152,898 |
The accompanying notes are an integral part of the financial statements.
24
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Moderate Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Financials - 4.86% | | |
Capital Markets - 1.63% | | |
| The Bank of New York Co., Inc. | 59,200 | $2,080,880 |
| The Charles Schwab Corp. | 2,450 | 43,855 |
| Daiwa Securities Group, Inc. (Japan) (Note 7) | 5,000 | 69,346 |
| Deutsche Bank AG (Germany) (Note 7) | 1,350 | 165,078 |
| Franklin Resources, Inc. | 350 | 32,592 |
| Janus Capital Group, Inc. | 2,675 | 52,055 |
Mellon Financial Corp.1 | 1,650 | 62,089 |
| Merrill Lynch & Co., Inc. | 725 | 55,288 |
| Morgan Stanley | 950 | 61,085 |
| SEI Investments Co. | 38,425 | 1,649,969 |
| T. Rowe Price Group, Inc. | 425 | 35,781 |
| | | 4,308,018 |
| | | |
Commercial Banks - 2.68% | | |
| Aareal Bank AG* (Germany) (Note 7) | 1,250 | 58,939 |
| ABN AMRO Holding N.V. (Netherlands) (Note 7) | 4,425 | 132,230 |
| Barclays plc (United Kingdom) (Note 7) | 14,225 | 177,663 |
| BNP Paribas (France) (Note 7) | 700 | 66,135 |
| The Chugoku Bank Ltd. (Japan) (Note 7) | 4,000 | 62,890 |
| Commerzbank AG (Germany) (Note 7) | 3,375 | 139,424 |
| Credit Agricole S.A. (France) (Note 7) | 1,475 | 59,426 |
| Fifth Third Bancorp | 400 | 16,168 |
| The Hachijuni Bank Ltd. (Japan) (Note 7) | 7,000 | 56,566 |
| Huntington Bancshares, Inc. | 650 | 15,698 |
| KeyCorp | 800 | 30,576 |
| M&T Bank Corp. | 250 | 29,850 |
| Marshall & Ilsley Corp. | 900 | 41,148 |
| Mitsubishi UFJ Financial Group, Inc. (Japan) (Note 7) | 4 | 62,890 |
| National City Corp. | 850 | 31,365 |
| PNC Financial Services Group, Inc. | 24,525 | 1,752,802 |
| Royal Bank of Scotland Group plc (United Kingdom) (Note 7) | 4,900 | 160,010 |
| Societe Generale (France) (Note 7) | 400 | 61,102 |
| The Sumitomo Trust and Banking Co. Ltd. (Japan) (Note 7) | 7,000 | 74,519 |
| SunTrust Banks, Inc. | 400 | 30,932 |
| TCF Financial Corp. | 1,075 | 28,874 |
| U.S. Bancorp | 68,575 | 2,155,998 |
| UniCredito Italiano S.p.A. (Italy) (Note 7) | 17,000 | 128,019 |
| Wachovia Corp. | 27,225 | 1,629,416 |
| Wells Fargo & Co. | 600 | 41,214 |
The accompanying notes are an integral part of the financial statements.
25
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Moderate Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Financials (continued) | | |
Commercial Banks (continued) | | |
| Zions Bancorporation | 550 | $45,666 |
| | | 7,089,520 |
| | | |
Consumer Finance - 0.01% | | |
| Capital One Financial Corp. | 350 | 30,324 |
| | | |
Diversified Financial Services - 0.16% | | |
| Bank of America Corp. | 2,525 | 126,048 |
| Citigroup, Inc. | 1,450 | 72,427 |
| ING Groep N.V. (Netherlands) (Note 7) | 1,875 | 76,299 |
| JPMorgan Chase & Co. | 2,850 | 129,333 |
| Moody's Corp. | 300 | 18,603 |
| | | 422,710 |
| | | |
Insurance - 0.34% | | |
| Allianz AG (Germany) (Note 7) | 2,100 | 350,985 |
| Ambac Financial Group, Inc. | 775 | 63,829 |
| American International Group, Inc. | 1,150 | 75,038 |
| Assicurazioni Generali S.p.A. (Italy) (Note 7) | 2,325 | 87,132 |
| Axa (France) (Note 7) | 1,850 | 67,884 |
| Marsh & McLennan Companies, Inc. | 500 | 15,335 |
| MBIA, Inc. | 450 | 26,833 |
| Muenchener Rueckver AG (Germany) (Note 7) | 1,125 | 159,192 |
| Principal Financial Group, Inc. | 325 | 16,676 |
| Torchmark Corp. | 250 | 15,028 |
| Willis Group Holdings Ltd. (United Kingdom) (Note 7) | 750 | 26,363 |
| | | 904,295 |
| | | |
Real Estate Investment Trusts (REITS) - 0.00%** | | |
| Friedman, Billings, Ramsey Group, Inc. - Class A | 1,225 | 13,242 |
| | | |
Thrifts & Mortgage Finance - 0.04% | | |
| BankAtlantic Bancorp, Inc. - Class A | 3,525 | 52,593 |
| Flagstar Bancorp, Inc. | 1,850 | 29,600 |
| New York Community Bancorp, Inc. | 725 | 12,477 |
| | | 94,670 |
Total Financials | | 12,862,779 |
| | | |
Health Care - 9.23% | | |
Biotechnology - 0.17% | | |
| Millennium Pharmaceuticals, Inc.* | 28,325 | 257,191 |
| Senomyx, Inc.* | 4,650 | 66,542 |
| Solexa, Inc.* | 14,675 | 138,092 |
| | | 461,825 |
The accompanying notes are an integral part of the financial statements.
26
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Moderate Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Health Care (continued) | | |
Health Care Equipment & Supplies - 2.50% | | |
| Align Technology, Inc.* | 14,825 | $130,312 |
| Bausch & Lomb, Inc. | 31,200 | 1,527,240 |
| Biomet, Inc. | 3,375 | 125,482 |
| The Cooper Companies, Inc. | 29,600 | 1,622,672 |
| DENTSPLY International, Inc. | 28,925 | 1,725,955 |
| Edwards Lifesciences Corp.* | 3,925 | 174,427 |
| IntraLase Corp.* | 12,600 | 270,648 |
| Inverness Medical Innovations, Inc. | 10,200 | 265,200 |
| Mentor Corp. | 2,825 | 122,407 |
| Orthovita, Inc.* | 16,600 | 65,570 |
| Wright Medical Group, Inc.* | 19,400 | 455,318 |
| Zoll Medical Corp.* | 5,400 | 143,100 |
| | | 6,628,331 |
| | | |
Health Care Providers & Services - 0.47% | | |
| AmerisourceBergen Corp. | 1,150 | 49,622 |
| AMN Healthcare Services, Inc.* | 15,450 | 296,949 |
| Cardinal Health, Inc. | 875 | 58,931 |
| Cross Country Healthcare, Inc.* | 12,300 | 222,876 |
| Healthways, Inc.* | 1,250 | 61,325 |
| McKesson Corp. | 1,050 | 51,019 |
| Patterson Companies, Inc.* | 5,625 | 183,263 |
| Tenet Healthcare Corp.* | 21,825 | 181,584 |
| Triad Hospitals, Inc.* | 3,325 | 136,990 |
| | | 1,242,559 |
| | | |
Health Care Technology - 2.44% | | |
| AMICAS, Inc.* | 76,850 | 350,436 |
| Emdeon Corp.* | 477,575 | 5,449,131 |
| iSOFT Group plc (United Kingdom) (Note 7) | 52,150 | 111,724 |
| Merge Technologies, Inc.* | 5,450 | 68,888 |
| Omnicell, Inc.* | 20,625 | 274,725 |
| WebMD Health Corp. - Class A* | 4,575 | 199,104 |
| | | 6,454,008 |
| | | |
Life Sciences Tools & Services - 1.52% | | |
| Affymetrix, Inc.* | 49,625 | 1,421,756 |
| Caliper Life Sciences, Inc.* | 26,550 | 161,690 |
| Charles River Laboratories International, Inc.* | 3,550 | 167,737 |
| PerkinElmer, Inc. | 93,500 | 2,004,640 |
| Xenogen Corp.* | 68,100 | 260,823 |
| | | 4,016,646 |
| | | |
Pharmaceuticals - 2.13% | | |
| AstraZeneca plc (United Kingdom) (Note 7) | 350 | 19,336 |
| Novartis AG - ADR (Switzerland) (Note 7) | 86,075 | 4,950,173 |
| Sanofi-Aventis (France) (Note 7) | 570 | 53,745 |
The accompanying notes are an integral part of the financial statements.
27
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Moderate Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Health Care (continued) | | |
Pharmaceuticals (continued) | | |
| Sanofi-Aventis - ADR (France) (Note 7) | 3,450 | $162,288 |
| Shire plc (United Kingdom) (Note 7) | 4,000 | 62,356 |
| Takeda Pharmaceutical Co. Ltd. (Japan) (Note 7) | 1,000 | 61,133 |
| Valeant Pharmaceuticals International | 17,800 | 318,620 |
| | | 5,627,651 |
Total Health Care | | 24,431,020 |
| | | |
Industrials - 4.07% | | |
Aerospace & Defense - 0.87% | | |
| Empresa Brasileira de Aeronautica S.A. (Embraer) - ADR (Brazil) (Note 7) | 59,650 | 2,316,210 |
| | | |
Air Freight & Logistics - 0.89% | | |
| Deutsche Post AG (Germany) (Note 7) | 2,375 | 63,332 |
| TNT N.V. (Netherlands) (Note 7) | 4,950 | 178,202 |
| United Parcel Service, Inc. - Class B | 26,100 | 2,115,927 |
| | | 2,357,461 |
| | | |
Airlines - 1.23% | | |
| AirTran Holdings, Inc.* | 7,050 | 98,559 |
| AMR Corp.* | 1,450 | 35,728 |
| Continental Airlines, Inc. - Class B* | 1,325 | 34,503 |
| Deutsche Lufthansa AG (Germany) (Note 7) | 5,675 | 104,442 |
| JetBlue Airways Corp.* | 77,825 | 798,484 |
| Southwest Airlines Co. | 134,350 | 2,179,157 |
| | | 3,250,873 |
| | | |
Commercial Services & Supplies - 0.05% | | |
| ChoicePoint, Inc.* | 675 | 29,720 |
| The Dun & Bradstreet Corp.* | 875 | 67,393 |
| Herman Miller, Inc. | 1,175 | 36,178 |
| | | 133,291 |
| | | |
Construction & Engineering - 0.03% | | |
| Hochtief AG (Germany) (Note 7) | 1,200 | 81,739 |
| | | |
Electrical Equipment - 0.09% | | |
| ABB (Asea Brown Boveri) Ltd. - ADR* (Switzerland) (Note 7) | 5,325 | 75,722 |
| Gamesa Corporacion Tecnologica S.A. (Spain) (Note 7) | 5,625 | 122,253 |
| Plug Power, Inc.* | 6,350 | 38,100 |
| | | 236,075 |
| | | |
Industrial Conglomerates - 0.84% | | |
| 3M Co. | 23,275 | 1,988,383 |
| Siemens AG (Germany) (Note 7) | 1,400 | 132,712 |
The accompanying notes are an integral part of the financial statements.
28
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Moderate Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Industrials (continued) | | |
Industrial Conglomerates (continued) | | |
| Sonae S.A. (SGPS) (Portugal) (Note 7) | 24,275 | $41,338 |
| Tyco International Ltd. (Bermuda) (Note 7) | 1,875 | 49,406 |
| | | 2,211,839 |
| | | |
Machinery - 0.07% | | |
| FANUC Ltd. (Japan) (Note 7) | 600 | 56,759 |
| MAN AG (Germany) (Note 7) | 1,625 | 123,150 |
| | | 179,909 |
Total Industrials | | 10,767,397 |
| | | |
Information Technology - 8.97% | | |
Communications Equipment - 4.57% | | |
| Blue Coat Systems, Inc.* | 12,575 | 273,632 |
| Cisco Systems, Inc.* | 279,850 | 5,862,858 |
| ECI Telecom Ltd.* (Israel) (Note 7) | 3,625 | 38,715 |
| Inter-Tel, Inc. | 11,225 | 257,502 |
| Juniper Networks, Inc.* | 161,350 | 2,981,748 |
| Packeteer, Inc.* | 15,275 | 199,492 |
| Polycom, Inc.* | 5,050 | 111,100 |
| RADWARE Ltd.* (Israel) (Note 7) | 9,900 | 156,915 |
| Research In Motion Ltd. (RIM)* (Canada) (Note 7) | 23,150 | 1,773,985 |
| Spirent plc* (United Kingdom) (Note 7) (now known as Spirent Communications plc) | 185,825 | 139,760 |
| Tandberg ASA (Norway) (Note 7) | 29,225 | 297,629 |
| | | 12,093,336 |
| | | |
Computers & Peripherals - 1.34% | | |
| EMC Corp.* | 146,375 | 1,977,526 |
| International Business Machines (IBM) Corp. | 19,050 | 1,568,577 |
| | | 3,546,103 |
| | | |
Electronic Equipment & Instruments - 0.05% | | |
| DTS, Inc.* | 6,400 | 120,064 |
| KEYENCE Corp. (Japan) (Note 7) | 110 | 28,870 |
| | | 148,934 |
| | | |
IT Services - 1.00% | | |
| Automatic Data Processing, Inc. | 1,350 | 59,508 |
The BISYS Group, Inc.*2 | 3,800 | 60,572 |
| First Data Corp. | 48,150 | 2,296,274 |
| Fiserv, Inc.* | 1,375 | 61,985 |
| MoneyGram International, Inc. | 1,650 | 55,935 |
| RightNow Technologies, Inc.* | 5,825 | 107,821 |
| | | 2,642,095 |
The accompanying notes are an integral part of the financial statements.
29
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Moderate Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Information Technology (continued) | | |
Office Electronics - 0.03% | | |
| Canon, Inc. (Japan) (Note 7) | 1,000 | $76,504 |
| | | |
Semiconductors & Semiconductor Equipment - 0.24% | | |
| ATI Technologies, Inc.* (Canada) (Note 7) | 4,100 | 63,632 |
| Cabot Microelectronics Corp.* | 6,750 | 220,793 |
| Exar Corp.* | 8,950 | 129,686 |
| Taiwan Semiconductor Manufacturing Co. Ltd. - ADR (Taiwan) (Note 7) | 21,213 | 222,312 |
| | | 636,423 |
| | | |
Software - 1.74% | | |
| Agile Software Corp.* | 19,075 | 132,953 |
| Amdocs Ltd.* (Guernsey) (Note 7) | 11,175 | 415,710 |
| Borland Software Corp.* | 37,375 | 190,613 |
| Cognos, Inc.* (Canada) (Note 7) | 925 | 34,475 |
| Kronos, Inc.* | 1,675 | 76,447 |
| Mercury Interactive Corp.* | 4,175 | 150,300 |
| Misys plc (United Kingdom) (Note 7) | 16,850 | 63,903 |
| NAVTEQ Corp.* | 1,775 | 73,698 |
| Quality Systems, Inc. | 4,675 | 156,893 |
| Salesforce.com, Inc.* | 4,750 | 166,488 |
| SAP AG (Germany) (Note 7) | 500 | 109,363 |
| Symantec Corp.* | 104,025 | 1,703,930 |
| Synopsys, Inc.* | 59,225 | 1,292,882 |
| Take-Two Interactive Software, Inc.* | 2,100 | 35,805 |
| | | 4,603,460 |
Total Information Technology | | 23,746,855 |
| | | |
Materials - 1.49% | | |
Chemicals - 1.40% | | |
| Air Liquide S.A. (France) (Note 7) | 340 | 73,552 |
| Bayer AG (Germany) (Note 7) | 3,725 | 171,503 |
| Degussa AG (Germany) (Note 7) | 1,325 | 75,545 |
| Lanxess* (Germany) (Note 7) | 1,130 | 46,353 |
| Lonza Group AG (Switzerland) (Note 7) | 24,250 | 1,721,245 |
| Minerals Technologies, Inc. | 27,025 | 1,546,371 |
| Nalco Holding Co.* | 3,400 | 64,090 |
| | | 3,698,659 |
| | | |
Containers & Packaging - 0.01% | | |
| Caraustar Industries, Inc.* | 4,225 | 41,870 |
The accompanying notes are an integral part of the financial statements.
30
Investment Portfolio - April 30, 2006 (unaudited)
| | Shares/ | Value |
Pro-Blend® Moderate Term Series | Principal Amount | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Materials (continued) | | |
Paper & Forest Products - 0.08% | | |
| Sappi Ltd. - ADR (South Africa) (Note 7) | 13,175 | $184,977 |
| Sonae Industria S.A. (SGPS)* (Portugal) (Note 7) | 2,188 | 21,914 |
| | | 206,891 |
Total Materials | | 3,947,420 |
| | | |
Telecommunication Services - 2.12% | | |
Wireless Telecommunication Services - 2.12% | | |
| Vodafone Group plc - ADR (United Kingdom) (Note 7) | 236,700 | 5,609,790 |
| | | |
Utilities - 2.76% | | |
Electric Utilities - 1.99% | | |
| Allegheny Energy, Inc.* | 96,775 | 3,448,093 |
| American Electric Power Co., Inc. | 48,950 | 1,637,867 |
| E.ON AG (Germany) (Note 7) | 1,300 | 159,309 |
| Westar Energy, Inc. | 1,025 | 21,464 |
| | | 5,266,733 |
| | | |
Independent Power Producers & Energy Traders - 0.02% | | |
| Drax Group plc (United Kingdom) (Note 7) | 3,225 | 46,453 |
| | | |
Multi-Utilities - 0.75% | | |
| Aquila, Inc.* | 21,325 | 92,337 |
| Suez S.A. (France) (Note 7) | 1,475 | 58,031 |
| Xcel Energy, Inc. | 97,325 | 1,833,603 |
| | | 1,983,971 |
Total Utilities | | 7,297,157 |
| | | |
TOTAL COMMON STOCKS | | |
| (Identified Cost $125,619,313) | | 142,459,976 |
| | | |
CORPORATE BONDS - 2.91% | | |
Consumer Discretionary - 0.81% | | |
Automobiles - 0.27% | | |
| General Motors Acceptance Corp., 4.50%, 7/15/2006 | $195,000 | 193,578 |
| General Motors Acceptance Corp., 6.125%, 9/15/2006 | 525,000 | 520,866 |
| | | 714,444 |
| | | |
Hotels, Restaurants & Leisure - 0.03% | | |
| Carnival Corp., 2.00%, 4/15/2021 | 75,000 | 91,594 |
| | | |
Leisure Equipment & Products - 0.07% | | |
| Eastman Kodak Co., 6.375%, 6/15/2006 | 190,000 | 190,039 |
The accompanying notes are an integral part of the financial statements.
31
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Moderate Term Series | Principal Amount | (Note 2) |
| | | |
CORPORATE BONDS (continued) | | |
| | | |
Consumer Discretionary (continued) | | |
Media - 0.30% | | |
| AOL Time Warner (now known as Time Warner, Inc.), 6.75%, 4/15/2011 | $275,000 | $285,111 |
| Comcast Cable Communications, Inc., 6.75%, 1/30/2011 | 235,000 | 244,486 |
| The Walt Disney Co., 7.00%, 3/1/2032 | 235,000 | 253,611 |
| | | 783,208 |
| | | |
Multiline Retail - 0.08% | | |
| Target Corp., 5.875%, 3/1/2012 | 200,000 | 203,144 |
| | | |
Specialty Retail - 0.06% | | |
| Lowe’s Companies, Inc., 8.25%, 6/1/2010 | 145,000 | 159,390 |
Total Consumer Discretionary | | 2,141,819 |
| | | |
Consumer Staples - 0.06% | | |
Food & Staples Retailing - 0.06% | | |
| The Kroger Co., 7.25%, 6/1/2009 | 80,000 | 83,535 |
| The Kroger Co., 6.80%, 4/1/2011 | 80,000 | 83,233 |
Total Consumer Staples | | 166,768 |
| | | |
Energy - 0.16% | | |
Energy Equipment & Services - 0.09% | | |
| Cooper Cameron Corp. (now known as Cameron International Corp.), 1.50%, 5/15/2024 | 40,000 | 61,100 |
| Pride International, Inc., 3.25%, 5/1/2033 | 40,000 | 58,000 |
| Schlumberger Ltd., 1.50%, 6/1/2023 | 65,000 | 124,719 |
| | | 243,819 |
| | | |
Oil, Gas & Consumable Fuels - 0.07% | | |
| Amerada Hess Corp. (now known as Hess Corp.), 6.65%, 8/15/2011 | 160,000 | 166,788 |
Total Energy | | 410,607 |
| | | |
Financials - 0.82% | | |
Capital Markets - 0.19% | | |
| Goldman Sachs Capital I, 6.345%, 2/15/2034 | 265,000 | 254,203 |
| Lehman Brothers Holdings, Inc., 6.625%, 1/18/2012 | 115,000 | 120,435 |
| Merrill Lynch & Co., Inc., 6.00%, 2/17/2009 | 125,000 | 127,015 |
| | | 501,653 |
| | | |
Commercial Banks - 0.31% | | |
| PNC Funding Corp., 7.50%, 11/1/2009 | 155,000 | 165,067 |
| U.S. Bank National Association, 6.375%, 8/1/2011 | 315,000 | 326,683 |
| Wachovia Corp., 5.25%, 8/1/2014 | 335,000 | 320,913 |
| | | 812,663 |
The accompanying notes are an integral part of the financial statements.
32
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Moderate Term Series | Principal Amount | (Note 2) |
| | | |
CORPORATE BONDS (continued) | | |
| | | |
Financials (continued) | | |
Diversified Financial Services - 0.16% | | |
| Bank of America Corp. Capital Trust VI, 5.625%, 3/8/2035 | $350,000 | $313,628 |
| Citigroup, Inc., 5.00%, 9/15/2014 | 130,000 | 123,124 |
| | | 436,752 |
| | | |
Insurance - 0.16% | | |
| Ambac Financial Group, Inc., 5.95%, 12/5/2035 | 270,000 | 252,587 |
| American International Group, Inc., 4.25%, 5/15/2013 | 180,000 | 164,790 |
| | | 417,377 |
Total Financials | | 2,168,445 |
| | | |
Health Care - 0.12% | | |
Pharmaceuticals - 0.12% | | |
| Abbott Laboratories, 3.50%, 2/17/2009 | 135,000 | 128,759 |
| Valeant Pharmaceuticals International, 4.00%, 11/15/2013 | 60,000 | 52,575 |
Wyeth3, 5.50%, 3/15/2013 | 125,000 | 122,985 |
Total Health Care | | 304,319 |
| | | |
Industrials - 0.45% | | |
Aerospace & Defense - 0.04% | | |
| Boeing Capital Corp., 6.50%, 2/15/2012 | 115,000 | 119,753 |
| | | |
Air Freight & Logistics - 0.05% | | |
| FedEx Corp., 3.50%, 4/1/2009 | 135,000 | 128,209 |
| | | |
Airlines - 0.10% | | |
| Southwest Airlines Co., 5.25%, 10/1/2014 | 275,000 | 258,627 |
| | | |
Industrial Conglomerates - 0.12% | | |
| General Electric Capital Corp., 6.75%, 3/15/2032 | 290,000 | 313,150 |
| | | |
Machinery - 0.04% | | |
| John Deere Capital Corp., 7.00%, 3/15/2012 | 115,000 | 122,596 |
| | | |
Road & Rail - 0.10% | | |
| CSX Corp., 6.75%, 3/15/2011 | 165,000 | 172,472 |
| Union Pacific Corp., 6.65%, 1/15/2011 | 80,000 | 83,125 |
| | | 255,597 |
Total Industrials | | 1,197,932 |
| | | |
Information Technology - 0.17% | | |
Communications Equipment - 0.17% | | |
| Cisco Systems, Inc., 5.25%, 2/22/2011 | 75,000 | 74,243 |
| Corning, Inc., 5.90%, 3/15/2014 | 280,000 | 272,936 |
| Juniper Networks, Inc., 6/15/2008 | 100,000 | 105,625 |
Total Information Technology | | 452,804 |
The accompanying notes are an integral part of the financial statements.
33
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Moderate Term Series | Principal Amount | (Note 2) |
| | | |
CORPORATE BONDS (continued) | | |
| | | |
Materials - 0.06% | | |
Metals & Mining - 0.06% | | |
| Alcoa, Inc., 7.375%, 8/1/2010 | $155,000 | $165,608 |
| | | |
Telecommunication Services - 0.06% | | |
Diversified Telecommunication Services - 0.06% | | |
| Verizon Wireless Capital LLC, 5.375%, 12/15/2006 | 170,000 | 170,086 |
| | | |
Utilities - 0.20% | | |
Electric Utilities - 0.08% | | |
Allegheny Energy Supply Co. LLC4, 8.25%, 4/15/2012 | 80,000 | 87,000 |
| American Electric Power Co., Inc., 5.375%, 3/15/2010 | 125,000 | 123,675 |
| | | 210,675 |
| | | |
Independent Power Producers & Energy Traders - 0.05% | | |
| TXU Energy Co., 7.00%, 3/15/2013 | 120,000 | 124,281 |
| | | |
Multi-Utilities - 0.07% | | |
| CenterPoint Energy Resources Corp., 7.875%, 4/1/2013 | 75,000 | 82,770 |
| Xcel Energy, Inc., 7.50%, 11/21/2007 | 65,000 | 100,506 |
| | | 183,276 |
Total Utilities | | 518,232 |
| | | |
TOTAL CORPORATE BONDS | | |
| (Identified Cost $7,924,635) | | 7,696,620 |
| | | |
U.S. TREASURY SECURITIES - 28.73% | | |
U.S. Treasury Bonds - 6.07% | | |
| U.S. Treasury Bond, 7.50%, 11/15/2024 | 360,000 | 452,194 |
| U.S. Treasury Bond, 6.00%, 2/15/2026 | 3,450,000 | 3,737,050 |
| U.S. Treasury Bond, 5.50%, 8/15/2028 | 11,575,000 | 11,866,181 |
| | | |
Total U.S. Treasury Bonds | | |
| (Identified Cost $16,536,888) | | 16,055,425 |
| | | |
U.S. Treasury Notes - 22.66% | | |
| U.S. Treasury Note, 3.125%, 1/31/2007 | 3,000,000 | 2,959,569 |
| U.S. Treasury Note, 3.625%, 4/30/2007 | 17,200,000 | 16,980,975 |
| U.S. Treasury Note, 3.00%, 2/15/2008 | 15,000,000 | 14,520,120 |
| U.S. Treasury Note, 5.625%, 5/15/2008 | 5,000 | 5,071 |
| U.S. Treasury Note, 3.25%, 8/15/2008 | 4,500,000 | 4,343,027 |
| U.S. Treasury Note, 3.875%, 5/15/2010 | 3,600,000 | 3,465,000 |
| U.S. Treasury Note, 4.50%, 11/15/2010 | 18,000,000 | 17,699,760 |
| | | |
Total U.S. Treasury Notes | | |
| (Identified Cost $60,634,167) | | 59,973,522 |
The accompanying notes are an integral part of the financial statements.
34
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Moderate Term Series | Principal Amount | (Note 2) |
| | | |
TOTAL U.S. TREASURY SECURITIES | | |
| (Identified Cost $77,171,055) | | $76,028,947 |
| | | |
U.S. GOVERNMENT AGENCIES - 4.44% | | |
Mortgage-Backed Securities - 4.41% | | |
| Fannie Mae, Pool #545883, 5.50%, 9/1/2017 | $176,486 | 175,358 |
| Fannie Mae, Pool #786281, 6.50%, 7/1/2034 | 204,058 | 207,608 |
Fannie Mae, TBA5, 4.50%, 5/15/2021 | 692,000 | 658,697 |
Fannie Mae, TBA5, 5.00%, 6/15/2021 | 731,000 | 711,126 |
Fannie Mae, TBA5, 6.00%, 5/15/2036 | 1,012,000 | 1,007,256 |
Fannie Mae, TBA5, 5.00%, 6/15/2036 | 1,261,000 | 1,191,645 |
Fannie Mae, TBA5, 5.50%, 7/15/2036 | 2,399,000 | 2,325,531 |
| Federal Home Loan Mortgage Corp., Pool #B16835, 5.50%, 10/1/2019 | 171,429 | 170,005 |
| Federal Home Loan Mortgage Corp., Pool #G01736, 6.50%, 9/1/2034 | 130,835 | 133,266 |
Federal Home Loan Mortgage Corp., TBA5, 4.50%, 5/15/2021 | 725,000 | 689,656 |
Federal Home Loan Mortgage Corp., TBA5, 5.00%, 7/15/2021 | 599,000 | 581,592 |
Federal Home Loan Mortgage Corp., TBA5, 6.00%, 5/15/2036 | 522,000 | 520,205 |
Federal Home Loan Mortgage Corp., TBA5, 5.50%, 6/15/2036 | 1,087,000 | 1,055,069 |
Federal Home Loan Mortgage Corp., TBA5, 5.00%, 7/15/2036 | 1,094,000 | 1,032,804 |
| GNMA, Pool #286310, 9.00%, 2/15/2020 | 3,023 | 3,264 |
| GNMA, Pool #288873, 9.50%, 8/15/2020 | 274 | 302 |
| GNMA, Pool #550290, 6.50%, 8/15/2031 | 86,987 | 89,587 |
GNMA, TBA5, 5.50%, 5/15/2036 | 506,000 | 496,670 |
GNMA, TBA5, 6.00%, 5/15/2036 | 375,000 | 376,406 |
GNMA, TBA5, 5.00%, 6/15/2036 | 272,000 | 260,525 |
| | | |
Total Mortgage-Backed Securities | | |
| (Identified Cost $11,784,602) | | 11,686,572 |
| | | |
Other Agencies - 0.03% | | |
| Fannie Mae, 4.25%, 7/15/2007 | 5,000 | 4,946 |
| Fannie Mae, 5.75%, 2/15/2008 | 55,000 | 55,560 |
| Fannie Mae, 5.25%, 1/15/2009 | 5,000 | 5,012 |
| Fannie Mae, 6.375%, 6/15/2009 | 10,000 | 10,346 |
| | | |
Total Other Agencies | | |
| (Identified Cost $76,697) | | 75,864 |
| | | |
TOTAL U.S. GOVERNMENT AGENCIES | | |
| (Identified Cost $11,861,299) | | 11,762,436 |
The accompanying notes are an integral part of the financial statements.
35
Investment Portfolio - April 30, 2006 (unaudited)
| | Shares/ | Value |
Pro-Blend® Moderate Term Series | Principal Amount | (Note 2) |
| | | |
SHORT-TERM INVESTMENTS - 13.20% | | |
| Dreyfus Treasury Cash Management - Institutional Shares | 9,108,087 | $9,108,087 |
| U.S. Treasury Bill, 6/22/2006 | $26,000,000 | 25,833,127 |
| | | |
TOTAL SHORT-TERM INVESTMENTS | | |
| (Identified Cost $34,938,480) | | 34,941,214 |
| | | |
TOTAL INVESTMENTS - 103.11% | | |
| (Identified Cost $257,514,782) | | 272,889,193 |
| | | |
LIABILITIES, LESS OTHER ASSETS - (3.11%) | | (8,221,494) |
| | | |
NET ASSETS - 100% | | $264,667,699 |
*Non-income producing security
**Less than 0.01%
1Mellon Financial Corp. is the parent company of Mellon Trust of New England N.A., the Fund's custodian.
2A subsidiary of the company serves as the Fund's sub-accounting services and sub-transfer agent. An employee of the company serves as an officer of the Fund (See Note 4 to Financial Statements).
3The coupon rate will increase with every ratings downgrade and decrease with every ratings upgrade. The coupon rate stated is the rate as of April 30, 2006.
4Represents a security sold under Rule 144A, which is exempt from registration under the Securities Act of 1933, as amended. The security has been determined to be liquid under guidelines established by the Board of Directors. The security amounts to $87,000, or 0.03%, of the Series' net assets as of April 30, 2006.
5Securities purchased on a forward commitment or when-issued basis. TBA - to be announced.
ADR - American Depository Receipt
The accompanying notes are an integral part of the financial statements.
36
Statement of Assets and Liabilities - Pro-Blend® Moderate Term Series (unaudited)
April 30, 2006
ASSETS: | |
| | |
| Investments, at value (identified cost $257,514,782) (Note 2) | $272,889,193 |
| Foreign currency, at value (cost $5,226) | 5,226 |
| Receivable for securities sold | 2,175,548 |
| Interest receivable | 1,207,826 |
| Dividends receivable | 113,589 |
| Receivable for fund shares sold | 90,202 |
| Foreign tax reclaims receivable | 41,919 |
| | |
| TOTAL ASSETS | 276,523,503 |
| | |
LIABILITIES: | |
| | |
| Accrued management fees (Note 3) | 214,761 |
| Accrued fund accounting and transfer agent fees (Note 3) | 21,655 |
| Accrued directors' fees (Note 3) | 168 |
| Accrued Chief Compliance Officer service fees (Note 3) | 104 |
| Payable for purchases of delayed delivery securities (Note 2) | 11,008,264 |
| Payable for securities purchased | 561,015 |
| Audit fees payable | 19,630 |
| Payable for fund shares repurchased | 15,597 |
| Other payables and accrued expenses | 14,610 |
| | |
| TOTAL LIABILITIES | 11,855,804 |
| | |
TOTAL NET ASSETS | $264,667,699 |
| | |
NET ASSETS CONSIST OF: | |
| | |
| Capital stock | $205,522 |
| Additional paid-in-capital | 242,574,867 |
| Undistributed net investment income | 1,137,580 |
| Accumulated net realized gain on investments and other assets and liabilities | 5,372,522 |
| Net unrealized appreciation on investments and other assets and liabilities | 15,377,208 |
| | |
TOTAL NET ASSETS | $264,667,699 |
| | |
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - CLASS A ($264,667,699/20,552,165 shares) | $12.88 |
The accompanying notes are an integral part of the financial statements.
37
Statement of Operations - Pro-Blend® Moderate Term Series (unaudited)
For the Six Months Ended April 30, 2006
INVESTMENT INCOME: | |
| | |
| Interest | $1,919,011 |
| Dividends (net of foreign tax withheld, $30,791) | 931,690 |
| | |
| Total Investment Income | 2,850,701 |
| | |
EXPENSES: | |
| | |
| Management fees (Note 3) | 1,057,979 |
| Fund accounting and transfer agent fees (Note 3) | 103,199 |
| Directors' fees (Note 3) | 4,016 |
| Chief Compliance Officer service fees (Note 3) | 2,429 |
| Custodian fees | 18,654 |
| Miscellaneous | 43,154 |
| | |
| Total Expenses | 1,229,431 |
| | |
| NET INVESTMENT INCOME | 1,621,270 |
| | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | |
| | |
| Net realized gain (loss) on - | |
| Investments | 5,552,789 |
| Foreign currency and other assets and liabilities | (236) |
| | |
| | 5,552,553 |
| | |
| Net change in unrealized appreciation on - | |
| Investments | 7,243,928 |
| Foreign currency and other assets and liabilities | 4,076 |
| | |
| | 7,248,004 |
| | |
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | 12,800,557 |
| | |
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $14,421,827 |
The accompanying notes are an integral part of the financial statements.
38
Statements of Changes in Net Assets - Pro-Blend® Moderate Term Series
| | For the Six | |
| | Months Ended | For the |
| | 4/30/06 | Year Ended |
| | (unaudited) | 10/31/05 |
| | | |
INCREASE (DECREASE) IN NET ASSETS: | | |
| | | |
OPERATIONS: | | |
| | | |
| Net investment income | $1,621,270 | $1,555,452 |
| Net realized gain on investments | 5,552,553 | 9,624,383 |
| Net change in unrealized appreciation on investments | 7,248,004 | 2,693,747 |
| | | |
| Net increase from operations | 14,421,827 | 13,873,582 |
| | | |
DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | | |
| | | |
| From net investment income | (1,453,693) | (1,087,622) |
| From net realized gain on investments | (9,540,816) | (1,812,964) |
| | | |
| Total distributions to shareholders | (10,994,509) | (2,900,586) |
| | | |
CAPITAL STOCK ISSUED AND REPURCHASED: | | |
| | | |
| Net increase from capital share transactions (Note 5) | 70,218,054 | 84,293,577 |
| | | |
| Net increase in net assets | 73,645,372 | 95,266,573 |
| | | |
NET ASSETS: | | |
| | | |
| Beginning of period | 191,022,327 | 95,755,754 |
| | | |
End of period (including undistributed net investment income of $1,137,580 and $970,003, respectively) | $264,667,699 | $191,022,327 |
The accompanying notes are an integral part of the financial statements.
39
Financial Highlights - Pro-Blend® Moderate Term Series
| | For the Six | | | | | |
| | Months Ended | | | | | |
| | 4/30/06 | For the Years Ended |
| | (unaudited) | 10/31/05 | 10/31/04 | 10/31/03 | 10/31/02 | 10/31/01 |
| | | | | | | |
Per share data (for a share outstanding throughout each period): | | | | | | |
| | | | | | | |
Net asset value - Beginning of period | $12.75 | $11.81 | $11.07 | $10.05 | $11.06 | $12.18 |
| | | | | | | |
| Income (loss) from investment operations: | | | | | | |
| Net investment income | 0.09 | 0.11 | 0.11 | 0.10 | 0.18 | 0.31 |
| Net realized and unrealized gain (loss) on investments | 0.76 | 1.16 | 0.85 | 1.08 | (0.50) | 0.11 |
| | | | | | | |
| Total from investment operations | 0.85 | 1.27 | 0.96 | 1.18 | (0.32) | 0.42 |
| | | | | | | |
| Less distributions to shareholders: | | | | | | |
| From net investment income | (0.10) | (0.11) | (0.10) | (0.16) | (0.26) | (0.38) |
| From net realized gain on investments | (0.62) | (0.22) | (0.12) | - | (0.43) | (1.16) |
| | | | | | | |
| Total distributions to shareholders | (0.72) | (0.33) | (0.22) | (0.16) | (0.69) | (1.54) |
| | | | | | | |
Net asset value - End of period | $12.88 | $12.75 | $11.81 | $11.07 | $10.05 | $11.06 |
| | | | | | | |
Total return1 | 6.95% | 10.94% | 8.76% | 11.87% | (3.32%) | 3.59% |
| | | | | | | |
Ratios (to average net assets)/Supplemental Data: | | | | | | |
| Expenses* | 1.16%2 | 1.20% | 1.20% | 1.20% | 1.20% | 1.20% |
| Net investment income | 1.53%2 | 1.09% | 1.00% | 1.05% | 1.80% | 2.68% |
| | | | | | | |
| Portfolio turnover | 41% | 77% | 42% | 60% | 67% | 77% |
| | | | | | | |
Net assets - End of period (000's omitted) | $264,668 | $191,022 | $95,756 | $69,393 | $47,671 | $19,067 |
*The investment advisor did not impose all of its management fee in some periods. If these expenses had been incurred by the Series, the expense ratio (to average net assets) would have been increased as follows:
| | N/A | 0.01% | 0.08% | 0.13% | 0.23% | 0.55% |
1Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived during certain periods. Periods less than one year are not annualized.
2Annualized.
The accompanying notes are an integral part of the financial statements.
40
Shareholder Expense Example - Pro-Blend® Extended Term Series (unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs, including potential wire charges on redemptions and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (November 1, 2005 to April 30, 2006).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as potential wire charges on redemptions. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
| | Beginning | Ending | Expenses Paid |
| | Account Value | Account Value | During Period* |
| | 11/1/05 | 4/30/06 | 11/1/05-4/30/06 |
| Actual | $1,000.00 | $1,091.80 | $5.96 |
| Hypothetical | | | |
| (5% return before expenses) | $1,000.00 | $1,019.09 | $5.76 |
*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 1.15%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year.
41
Portfolio Composition - Pro-Blend® Extended Term Series (unaudited)
As of April 30, 2006
<graphic>
<pie chart>
Asset Allocation*
| Common Stocks | 68.67% |
| Corporate Bonds | 3.29% |
| U.S. Government Agencies | 4.94% |
U.S. Treasury Bonds1 | 9.88% |
U.S. Treasury Notes2 | 4.53% |
| Cash, short-term investments, and liabilities, less other assets | 8.69% |
*As a percentage of net assets.
1A U.S. Treasury Bond is a long-term obligation of the U.S. Treasury issued with a maturity period of more than ten years.
2A U.S. Treasury Note is an intermediate-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.
Sector Allocation*
| Information Technology | 11.07% |
| Health Care | 10.71% |
| Consumer Discretionary | 10.58% |
| Consumer Staples | 8.69% |
| Financials | 7.49% |
| Energy | 6.08% |
| Industrials | 5.31% |
| Utilities | 3.57% |
| Telecommunication Services | 2.46% |
| Materials | 1.91% |
*Including Common Stocks and Corporate Bonds, as a percentage of total investments.
Top Ten Stock Holdings*
| Cisco Systems, Inc. | 2.55% |
| Vodafone Group plc - ADR (United Kingdom) | 2.39% |
| Emdeon Corp. | 2.19% |
| Novartis AG - ADR (Switzerland) | 2.08% |
| Unilever plc - ADR (United Kingdom) | 2.04% |
| Carnival Corp. | 1.82% |
| Time Warner, Inc. | 1.81% |
| The Coca-Cola Co. | 1.77% |
| Allegheny Energy, Inc. | 1.50% |
| Schlumberger Ltd. | 1.43% |
*As a percentage of total investments.
42
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Extended Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS - 68.67% | | |
| | | |
Consumer Discretionary - 10.30% | | |
Auto Components - 0.12% | | |
| Autoliv, Inc. (Sweden) (Note 7) | 4,875 | $269,587 |
| Azure Dynamics Corp.* (Canada) (Note 7) | 114,825 | 121,214 |
| Tenneco, Inc.* | 4,600 | 110,630 |
| | | 501,431 |
| | | |
Automobiles - 0.03% | | |
| Bayerische Motoren Werke AG (BMW) (Germany) (Note 7) | 2,550 | 138,795 |
| | | |
Diversified Consumer Services - 0.05% | | |
| Corinthian Colleges, Inc.* | 13,225 | 196,920 |
| | | |
Hotels, Restaurants & Leisure - 2.97% | | |
| Carnival Corp. | 175,825 | 8,232,126 |
| Club Mediterranee S.A.* (France) (Note 7) | 5,750 | 341,256 |
| International Game Technology | 109,050 | 4,136,267 |
| | | 12,709,649 |
| | | |
Household Durables - 0.04% | | |
| Interface, Inc. - Class A* | 12,400 | 159,464 |
| | | |
Internet & Catalog Retail - 0.10% | | |
| Audible, Inc.* | 41,125 | 444,150 |
| | | |
Leisure Equipment & Products - 0.05% | | |
| K2, Inc.* | 2,175 | 25,643 |
| Marvel Entertainment, Inc.* | 9,250 | 180,468 |
| | | 206,111 |
| | | |
Media - 5.42% | | |
| Acme Communications, Inc.* | 20,450 | 91,820 |
| Cablevision Systems Corp. - Class A | 144,425 | 2,927,495 |
| Comcast Corp. - Class A* | 132,025 | 4,086,174 |
| DreamWorks Animation SKG, Inc. - Class A* | 3,825 | 103,658 |
| The E.W. Scripps Co. - Class A | 137,375 | 6,330,240 |
| GCap Media plc (United Kingdom) (Note 7) | 30,050 | 139,166 |
| Impresa S.A. (SGPS)* (Portugal) (Note 7) | 16,400 | 105,090 |
| Pearson plc (United Kingdom) (Note 7) | 19,550 | 270,904 |
| Reed Elsevier plc - ADR (United Kingdom) (Note 7) | 7,025 | 279,595 |
| Reuters Group plc (United Kingdom) (Note 7) | 34,675 | 245,935 |
| Scholastic Corp.* | 7,750 | 205,685 |
| Time Warner, Inc. | 470,550 | 8,187,570 |
| Wolters Kluwer N.V. (Netherlands) (Note 7) | 7,425 | 193,406 |
| | | 23,166,738 |
The accompanying notes are an integral part of the financial statements.
43
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Extended Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Consumer Discretionary (continued) | | |
Multiline Retail - 0.06% | | |
| Don Quijote Co. Ltd. (Japan) (Note 7) | 1,100 | $93,816 |
| PPR S.A. (France) (Note 7) | 1,200 | 155,606 |
| | | 249,422 |
| | | |
Specialty Retail - 1.42% | | |
| Build-A-Bear Workshop, Inc.* | 6,950 | 224,485 |
| Douglas Holding AG (Germany) (Note 7) | 7,800 | 374,863 |
| Kingfisher plc (United Kingdom) (Note 7) | 77,200 | 317,057 |
| KOMERI Co. Ltd. (Japan) (Note 7) | 3,900 | 131,542 |
| Office Depot, Inc.* | 119,825 | 4,862,498 |
| Pier 1 Imports, Inc. | 14,050 | 169,584 |
| | | 6,080,029 |
| | | |
Textiles, Apparel & Luxury Goods - 0.04% | | |
| LVMH S.A. (Louis Vuitton Moet Hennessy) (France) (Note 7) | 1,575 | 165,791 |
Total Consumer Discretionary | | 44,018,500 |
| | | |
Consumer Staples - 9.14% | | |
Beverages - 1.99% | | |
| The Coca-Cola Co. | 191,400 | 8,031,144 |
| Diageo plc (United Kingdom) (Note 7) | 5,050 | 83,329 |
| Heineken N.V. (Netherlands) (Note 7) | 3,075 | 124,548 |
| Kirin Brewery Co. Ltd. (Japan) (Note 7) | 12,000 | 177,918 |
| Scottish & Newcastle plc (United Kingdom) (Note 7) | 8,675 | 80,192 |
| | | 8,497,131 |
| | | |
Food & Staples Retailing - 2.30% | | |
| Carrefour S.A. (France) (Note 7) | 101,300 | 5,875,316 |
| Metro AG (Germany) (Note 7) | 2,725 | 154,198 |
| Pathmark Stores, Inc.* | 13,625 | 141,019 |
| Tesco plc (United Kingdom) (Note 7) | 14,600 | 85,051 |
| Wal-Mart Stores, Inc. | 79,900 | 3,597,897 |
| | | 9,853,481 |
| | | |
Food Products - 3.78% | | |
| Cadbury Schweppes plc (United Kingdom) (Note 7) | 25,300 | 250,943 |
| Groupe Danone (France) (Note 7) | 2,050 | 255,743 |
| The Hain Celestial Group, Inc.* | 9,825 | 264,292 |
| Nestle S.A. (Switzerland) (Note 7) | 19,775 | 6,033,145 |
| Suedzucker AG (Germany) (Note 7) | 4,250 | 116,601 |
| Unilever plc - ADR (United Kingdom) (Note 7) | 216,024 | 9,230,706 |
| | | 16,151,430 |
The accompanying notes are an integral part of the financial statements.
44
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Extended Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Consumer Staples (continued) | | |
Household Products - 0.08% | | |
| Kao Corp. (Japan) (Note 7) | 3,000 | $80,632 |
| Kimberly-Clark de Mexico S.A. de C.V. - ADR (Mexico) (Note 7) | 10,650 | 187,554 |
| Reckitt Benckiser plc (United Kingdom) (Note 7) | 2,475 | 90,208 |
| | | 358,394 |
| | | |
Personal Products - 0.99% | | |
| Clarins S.A. (France) (Note 7) | 4,710 | 331,519 |
| The Estee Lauder Companies, Inc. - Class A | 104,750 | 3,888,320 |
| | | 4,219,839 |
Total Consumer Staples | | 39,080,275 |
| | | |
Energy - 6.27% | | |
Energy Equipment & Services - 5.06% | | |
| Abbot Group plc (United Kingdom) (Note 7) | 58,300 | 351,314 |
| Baker Hughes, Inc. | 31,100 | 2,513,813 |
| Compagnie Generale de Geophysique S.A. (CGG)* (France) (Note 7) | 3,175 | 513,033 |
| Cooper Cameron Corp.* (now known as Cameron International Corp.) | 61,950 | 3,112,368 |
| Helmerich & Payne, Inc. | 2,525 | 183,668 |
| National-Oilwell Varco, Inc.* | 69,149 | 4,769,207 |
| Pride International, Inc.* | 12,075 | 421,297 |
| Schlumberger Ltd. | 93,600 | 6,471,504 |
| Scomi Group Berhad (Malaysia) (Note 7) | 404,000 | 141,559 |
| Weatherford International Ltd.* | 59,175 | 3,132,133 |
| | | 21,609,896 |
| | | |
Oil, Gas & Consumable Fuels - 1.21% | | |
| Amerada Hess Corp. (now known as Hess Corp.) | 29,175 | 4,179,902 |
| BP plc (United Kingdom) (Note 7) | 7,600 | 93,742 |
| Eni S.p.A. (Italy) (Note 7) | 10,575 | 322,811 |
| Forest Oil Corp.* | 3,200 | 117,024 |
| Mariner Energy, Inc.* | 2,589 | 50,356 |
| Petroleo Brasileiro S.A. (Petrobras) - ADR (Brazil) (Note 7) | 1,375 | 122,224 |
| Royal Dutch Shell plc - Class B (United Kingdom) (Note 7) | 2,679 | 95,787 |
| Total S.A. (France) (Note 7) | 675 | 186,637 |
| | | 5,168,483 |
Total Energy | | 26,778,379 |
The accompanying notes are an integral part of the financial statements.
45
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Extended Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Financials - 7.06% | | |
Capital Markets - 2.34% | | |
| The Bank of New York Co., Inc. | 116,700 | $4,102,005 |
| The Charles Schwab Corp. | 6,300 | 112,770 |
| Daiwa Securities Group, Inc. (Japan) (Note 7) | 11,000 | 152,560 |
| Deutsche Bank AG (Germany) (Note 7) | 3,350 | 409,638 |
| Franklin Resources, Inc. | 875 | 81,480 |
| Janus Capital Group, Inc. | 6,925 | 134,760 |
Mellon Financial Corp.1 | 4,400 | 165,572 |
| Merrill Lynch & Co., Inc. | 1,875 | 142,988 |
| Morgan Stanley | 2,425 | 155,928 |
| SEI Investments Co. | 103,300 | 4,435,702 |
| T. Rowe Price Group, Inc. | 1,100 | 92,609 |
| | | 9,986,012 |
| | | |
Commercial Banks - 3.92% | | |
| Aareal Bank AG* (Germany) (Note 7) | 3,225 | 152,062 |
| ABN AMRO Holding N.V. (Netherlands) (Note 7) | 8,025 | 239,808 |
| Banca Monte dei Paschi di Siena S.p.A. (Italy) (Note 7) | 10,950 | 64,849 |
| Barclays plc (United Kingdom) (Note 7) | 30,750 | 384,053 |
| BNP Paribas (France) (Note 7) | 1,550 | 146,442 |
| The Chugoku Bank Ltd. (Japan) (Note 7) | 10,000 | 157,224 |
| Commerzbank AG (Germany) (Note 7) | 8,275 | 341,847 |
| Credit Agricole S.A. (France) (Note 7) | 3,800 | 153,099 |
| Fifth Third Bancorp | 1,000 | 40,420 |
| The Hachijuni Bank Ltd. (Japan) (Note 7) | 18,000 | 145,455 |
| Huntington Bancshares, Inc. | 1,650 | 39,847 |
| KeyCorp | 2,075 | 79,307 |
| M&T Bank Corp. | 650 | 77,610 |
| Marshall & Ilsley Corp. | 2,325 | 106,299 |
| Mitsubishi UFJ Financial Group, Inc. (Japan) (Note 7) | 12 | 188,669 |
| National City Corp. | 2,175 | 80,258 |
| PNC Financial Services Group, Inc. | 61,450 | 4,391,832 |
| Royal Bank of Scotland Group plc (United Kingdom) (Note 7) | 12,550 | 409,821 |
| SanPaolo IMI S.p.A. (Italy) (Note 7) | 3,025 | 56,816 |
| Societe Generale (France) (Note 7) | 675 | 103,110 |
| The Sumitomo Trust and Banking Co. Ltd. (Japan) (Note 7) | 18,000 | 191,621 |
| SunTrust Banks, Inc. | 1,050 | 81,197 |
| TCF Financial Corp. | 2,700 | 72,522 |
| U.S. Bancorp | 133,225 | 4,188,594 |
| UniCredito Italiano S.p.A. (Italy) (Note 7) | 29,175 | 219,704 |
| Wachovia Corp. | 73,200 | 4,381,020 |
The accompanying notes are an integral part of the financial statements.
46
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Extended Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Financials (continued) | | |
Commercial Banks (continued) | | |
| Wells Fargo & Co. | 1,800 | $123,642 |
| Zions Bancorporation | 1,425 | 118,318 |
| | | 16,735,446 |
| | | |
Consumer Finance - 0.02% | | |
| Capital One Financial Corp. | 875 | 75,810 |
| | | |
Diversified Financial Services - 0.25% | | |
| Bank of America Corp. | 6,525 | 325,728 |
| Citigroup, Inc. | 3,725 | 186,064 |
| ING Groep N.V. (Netherlands) (Note 7) | 4,650 | 189,221 |
| JPMorgan Chase & Co. | 7,275 | 330,139 |
| Moody’s Corp. | 775 | 48,058 |
| | | 1,079,210 |
| | | |
Insurance - 0.46% | | |
| Allianz AG (Germany) (Note 7) | 4,150 | 693,612 |
| Ambac Financial Group, Inc. | 1,975 | 162,661 |
| American International Group, Inc. | 2,925 | 190,856 |
| Assicurazioni Generali S.p.A. (Italy) (Note 7) | 5,100 | 191,129 |
| Axa (France) (Note 7) | 4,550 | 166,958 |
| Marsh & McLennan Companies, Inc. | 1,275 | 39,104 |
| MBIA, Inc. | 1,175 | 70,065 |
| Muenchener Rueckver AG (Germany) (Note 7) | 2,275 | 321,921 |
| Principal Financial Group, Inc. | 825 | 42,331 |
| Torchmark Corp. | 675 | 40,574 |
| Willis Group Holdings Ltd. (United Kingdom) (Note 7) | 1,900 | 66,785 |
| | | 1,985,996 |
| | | |
Real Estate Investment Trusts (REITS) - 0.01% | | |
| Friedman, Billings, Ramsey Group, Inc. - Class A | 3,125 | 33,781 |
| | | |
Thrifts & Mortgage Finance - 0.06% | | |
| BankAtlantic Bancorp, Inc. - Class A | 8,975 | 133,907 |
| Flagstar Bancorp, Inc. | 6,025 | 96,400 |
| New York Community Bancorp, Inc. | 1,900 | 32,699 |
| | | 263,006 |
Total Financials | | 30,159,261 |
| | | |
Health Care - 11.23% | | |
Biotechnology - 0.21% | | |
| Millennium Pharmaceuticals, Inc.* | 53,325 | 484,191 |
| Senomyx, Inc.* | 12,075 | 172,793 |
| Solexa, Inc.* | 24,825 | 233,603 |
| | | 890,587 |
The accompanying notes are an integral part of the financial statements.
47
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Extended Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Health Care (continued) | | |
Health Care Equipment & Supplies - 3.11% | | |
| Align Technology, Inc.* | 27,775 | $244,142 |
| Bausch & Lomb, Inc. | 67,475 | 3,302,901 |
| Biomet, Inc. | 6,075 | 225,868 |
| The Cooper Companies, Inc. | 62,375 | 3,419,398 |
| DENTSPLY International, Inc. | 50,850 | 3,034,220 |
| Edwards Lifesciences Corp.* | 7,300 | 324,412 |
| IntraLase Corp.* | 27,575 | 592,311 |
| Inverness Medical Innovations, Inc. | 19,200 | 499,200 |
| Mentor Corp. | 5,275 | 228,566 |
| Orthovita, Inc.* | 42,325 | 167,184 |
| Wright Medical Group, Inc.* | 41,525 | 974,592 |
| Zoll Medical Corp.* | 10,725 | 284,213 |
| | | 13,297,007 |
| | | |
Health Care Providers & Services - 0.72% | | |
| AMERIGROUP Corp.* | 20,175 | 521,120 |
| AmerisourceBergen Corp. | 3,000 | 129,450 |
| AMN Healthcare Services, Inc.* | 28,775 | 553,055 |
| Cardinal Health, Inc. | 2,450 | 165,008 |
| Cross Country Healthcare, Inc.* | 24,350 | 441,222 |
| Healthways, Inc.* | 3,175 | 155,766 |
| McKesson Corp. | 2,600 | 126,334 |
| Patterson Companies, Inc.* | 10,300 | 335,574 |
| Tenet Healthcare Corp.* | 41,525 | 345,488 |
| Triad Hospitals, Inc.* | 7,575 | 312,090 |
| | | 3,085,107 |
| | | |
Health Care Technology - 2.80% | | |
| AMICAS, Inc.* | 138,425 | 631,218 |
| Emdeon Corp.* | 870,875 | 9,936,684 |
| iSOFT Group plc (United Kingdom) (Note 7) | 98,650 | 211,344 |
| Merge Technologies, Inc.* | 13,300 | 168,112 |
| Omnicell, Inc.* | 40,250 | 536,130 |
| WebMD Health Corp. - Class A* | 11,050 | 480,896 |
| | | 11,964,384 |
| | | |
Life Sciences Tools & Services - 1.85% | | |
| Affymetrix, Inc.* | 108,325 | 3,103,511 |
| Caliper Life Sciences, Inc.* | 50,125 | 305,261 |
| Charles River Laboratories International, Inc.* | 8,625 | 407,531 |
| PerkinElmer, Inc. | 184,775 | 3,961,576 |
| Xenogen Corp.* | 37,250 | 142,667 |
| | | 7,920,546 |
The accompanying notes are an integral part of the financial statements.
48
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Extended Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Health Care (continued) | | |
Pharmaceuticals - 2.54% | | |
| AstraZeneca plc (United Kingdom) (Note 7) | 1,450 | $80,106 |
| GlaxoSmithKline plc (United Kingdom) (Note 7) | 2,800 | 79,437 |
| Novartis AG - ADR (Switzerland) (Note 7) | 163,675 | 9,412,949 |
| Sanofi-Aventis (France) (Note 7) | 1,250 | 117,862 |
| Sanofi-Aventis - ADR (France) (Note 7) | 6,675 | 313,992 |
| Shire plc (United Kingdom) (Note 7) | 7,425 | 115,749 |
| Takeda Pharmaceutical Co. Ltd. (Japan) (Note 7) | 1,700 | 103,926 |
| Valeant Pharmaceuticals International | 34,350 | 614,865 |
| | | 10,838,886 |
Total Health Care | | 47,996,517 |
| | | |
Industrials - 5.10% | | |
Aerospace & Defense - 0.99% | | |
| Empresa Brasileira de Aeronautica S.A. (Embraer) - ADR (Brazil) (Note 7) | 109,650 | 4,257,709 |
| | | |
Air Freight & Logistics - 1.07% | | |
| Deutsche Post AG (Germany) (Note 7) | 3,450 | 91,998 |
| TNT N.V. (Netherlands) (Note 7) | 10,175 | 366,304 |
| United Parcel Service, Inc. - Class B | 50,850 | 4,122,410 |
| | | 4,580,712 |
| | | |
Airlines - 1.43% | | |
| AirTran Holdings, Inc.* | 15,500 | 216,690 |
| AMR Corp.* | 3,725 | 91,784 |
| Continental Airlines, Inc. - Class B* | 3,475 | 90,489 |
| Deutsche Lufthansa AG (Germany) (Note 7) | 11,325 | 208,423 |
| JetBlue Airways Corp.* | 149,350 | 1,532,331 |
| Southwest Airlines Co. | 243,950 | 3,956,869 |
| | | 6,096,586 |
| | | |
Commercial Services & Supplies - 0.08% | | |
| ChoicePoint, Inc.* | 1,725 | 75,952 |
| The Dun & Bradstreet Corp.* | 2,225 | 171,369 |
| Herman Miller, Inc. | 2,700 | 83,133 |
| | | 330,454 |
| | | |
Construction & Engineering - 0.04% | | |
| Hochtief AG (Germany) (Note 7) | 2,625 | 178,803 |
| | | |
Electrical Equipment - 0.12% | | |
| ABB (Asea Brown Boveri) Ltd. - ADR* (Switzerland) (Note 7) | 16,800 | 238,896 |
| Gamesa Corporacion Tecnologica S.A. (Spain) (Note 7) | 8,175 | 177,675 |
| Plug Power, Inc.* | 16,425 | 98,550 |
| | | 515,121 |
The accompanying notes are an integral part of the financial statements.
49
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Extended Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Industrials (continued) | | |
Industrial Conglomerates - 1.28% | | |
| 3M Co. | 57,600 | $4,920,768 |
| Siemens AG (Germany) (Note 7) | 3,300 | 312,821 |
| Sonae S.A. (SGPS) (Portugal) (Note 7) | 61,250 | 104,302 |
| Tyco International Ltd. (Bermuda) (Note 7) | 4,800 | 126,480 |
| | | 5,464,371 |
| | | |
Machinery - 0.09% | | |
| FANUC Ltd. (Japan) (Note 7) | 1,000 | 94,598 |
| MAN AG (Germany) (Note 7) | 3,900 | 295,561 |
| | | 390,159 |
Total Industrials | | 21,813,915 |
| | | |
Information Technology - 11.54% | | |
Communications Equipment - 5.83% | | |
| Blue Coat Systems, Inc.* | 23,625 | 514,080 |
| Cisco Systems, Inc.* | 551,675 | 11,557,591 |
| ECI Telecom Ltd.* (Israel) (Note 7) | 9,400 | 100,392 |
| Inter-Tel, Inc. | 28,700 | 658,378 |
| Juniper Networks, Inc.* | 342,325 | 6,326,166 |
| Packeteer, Inc.* | 39,975 | 522,073 |
| Polycom, Inc.* | 7,325 | 161,150 |
| RADWARE Ltd.* (Israel) (Note 7) | 25,325 | 401,401 |
| Research In Motion Ltd. (RIM)* (Canada) (Note 7) | 49,625 | 3,802,764 |
| Spirent plc* (United Kingdom) (Note 7) (now known as Spirent Communications plc) | 478,775 | 360,090 |
| Tandberg ASA (Norway) (Note 7) | 50,875 | 518,113 |
| | | 24,922,198 |
| | | |
Computers & Peripherals - 1.93% | | |
| EMC Corp.* | 313,550 | 4,236,060 |
| International Business Machines (IBM) Corp. | 48,575 | 3,999,666 |
| | | 8,235,726 |
| | | |
Electronic Equipment & Instruments - 0.08% | | |
| DTS, Inc.* | 13,275 | 249,039 |
| KEYENCE Corp. (Japan) (Note 7) | 330 | 86,609 |
| | | 335,648 |
| | | |
IT Services - 1.25% | | |
| Automatic Data Processing, Inc. | 3,475 | 153,178 |
The BISYS Group, Inc.*2 | 11,675 | 186,099 |
| First Data Corp. | 93,200 | 4,444,708 |
| Fiserv, Inc.* | 3,550 | 160,034 |
The accompanying notes are an integral part of the financial statements.
50
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Extended Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Information Technology (continued) | | |
IT Services (continued) | | |
| MoneyGram International, Inc. | 2,925 | $99,158 |
| RightNow Technologies, Inc.* | 15,000 | 277,650 |
| | | 5,320,827 |
| | | |
Office Electronics - 0.02% | | |
| Canon, Inc. (Japan) (Note 7) | 1,200 | 91,805 |
| | | |
Semiconductors & Semiconductor Equipment - 0.27% | | |
| ATI Technologies, Inc.* (Canada) (Note 7) | 7,150 | 110,968 |
| Cabot Microelectronics Corp.* | 11,375 | 372,076 |
| Exar Corp.* | 16,700 | 241,983 |
| Taiwan Semiconductor Manufacturing Co. Ltd. - ADR (Taiwan) (Note 7) | 41,108 | 430,812 |
| | | 1,155,839 |
| | | |
Software - 2.16% | | |
| Agile Software Corp.* | 36,500 | 254,405 |
| Amdocs Ltd.* (Guernsey) (Note 7) | 19,400 | 721,680 |
| Borland Software Corp.* | 71,175 | 362,992 |
| Cognos, Inc.* (Canada) (Note 7) | 2,425 | 90,380 |
| Kronos, Inc.* | 4,275 | 195,111 |
| Mercury Interactive Corp.* | 7,525 | 270,900 |
| Misys plc (United Kingdom) (Note 7) | 27,900 | 105,809 |
| NAVTEQ Corp.* | 4,550 | 188,916 |
| Quality Systems, Inc. | 10,950 | 367,482 |
| Salesforce.com, Inc.* | 8,400 | 294,420 |
| SAP AG (Germany) (Note 7) | 1,300 | 284,345 |
| Symantec Corp.* | 211,575 | 3,465,599 |
| Synopsys, Inc.* | 116,875 | 2,551,381 |
| Take-Two Interactive Software, Inc.* | 5,275 | 89,939 |
| | | 9,243,359 |
Total Information Technology | | 49,305,402 |
| | | |
Materials - 1.95% | | |
Chemicals - 1.83% | | |
| Air Liquide S.A. (France) (Note 7) | 742 | 160,517 |
| Bayer AG (Germany) (Note 7) | 6,775 | 311,928 |
| Degussa AG (Germany) (Note 7) | 2,225 | 126,859 |
| Lanxess* (Germany) (Note 7) | 3,125 | 128,190 |
| Lonza Group AG (Switzerland) (Note 7) | 55,425 | 3,934,022 |
| Minerals Technologies, Inc. | 52,600 | 3,009,772 |
| Nalco Holding Co.* | 8,825 | 166,351 |
| | | 7,837,639 |
The accompanying notes are an integral part of the financial statements.
51
Investment Portfolio - April 30, 2006 (unaudited)
| | Shares/ | Value |
Pro-Blend® Extended Term Series | Principal Amount | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Materials (continued) | | |
Containers & Packaging - 0.03% | | |
| Caraustar Industries, Inc.* | 10,875 | $107,771 |
| | | |
Paper & Forest Products - 0.09% | | |
| Sappi Ltd. - ADR (South Africa) (Note 7) | 24,700 | 346,788 |
| Sonae Industria S.A. (SGPS)* (Portugal) (Note 7) | 5,237 | 52,451 |
| | | 399,239 |
Total Materials | | 8,344,649 |
| | | |
Telecommunication Services - 2.54% | | |
Wireless Telecommunication Services - 2.54% | | |
| Vodafone Group plc - ADR (United Kingdom) (Note 7) | 457,250 | 10,836,825 |
| | | |
Utilities - 3.54% | | |
Electric Utilities - 2.47% | | |
| Allegheny Energy, Inc.* | 190,900 | 6,801,767 |
| American Electric Power Co., Inc. | 98,025 | 3,279,916 |
| E.ON AG (Germany) (Note 7) | 3,300 | 404,399 |
| Westar Energy, Inc. | 3,850 | 80,619 |
| | | 10,566,701 |
| | | |
Independent Power Producers & Energy Traders - 0.03% | | |
| Drax Group plc (United Kingdom) (Note 7) | 8,400 | 120,993 |
| | | |
Multi-Utilities - 1.04% | | |
| Aquila, Inc.* | 46,175 | 199,938 |
| Suez S.A. (France) (Note 7) | 2,575 | 101,308 |
| Xcel Energy, Inc. | 219,750 | 4,140,090 |
| | | 4,441,336 |
Total Utilities | | 15,129,030 |
| | | |
TOTAL COMMON STOCKS | | |
| (Identified Cost $243,715,316) | | 293,462,753 |
| | | |
CORPORATE BONDS - 3.29% | | |
Consumer Discretionary - 0.92% | | |
Automobiles - 0.31% | | |
| General Motors Acceptance Corp., 4.50%, 7/15/2006 | $370,000 | 367,302 |
| General Motors Acceptance Corp., 6.125%, 9/15/2006 | 965,000 | 957,402 |
| | | 1,324,704 |
| | | |
Hotels, Restaurants & Leisure - 0.04% | | |
| Carnival Corp., 2.00%, 4/15/2021 | 150,000 | 183,187 |
The accompanying notes are an integral part of the financial statements.
52
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Extended Term Series | Principal Amount | (Note 2) |
| | | |
CORPORATE BONDS (continued) | | |
| | | |
Consumer Discretionary (continued) | | |
Leisure Equipment & Products - 0.09% | | |
| Eastman Kodak Co., 6.375%, 6/15/2006 | $365,000 | $365,075 |
| | | |
Media - 0.32% | | |
| AOL Time Warner (now known as Time Warner, Inc.), 6.75%, 4/15/2011 | 500,000 | 518,384 |
| Comcast Cable Communications, Inc., 6.75%, 1/30/2011 | 430,000 | 447,358 |
| The Walt Disney Co., 7.00%, 3/1/2032 | 380,000 | 410,095 |
| | | 1,375,837 |
| | | |
Multiline Retail - 0.09% | | |
| Target Corp., 5.875%, 3/1/2012 | 365,000 | 370,738 |
| | | |
Specialty Retail - 0.07% | | |
| Lowe’s Companies, Inc., 8.25%, 6/1/2010 | 265,000 | 291,298 |
Total Consumer Discretionary | | 3,910,839 |
| | | |
Consumer Staples - 0.07% | | |
Food & Staples Retailing - 0.07% | | |
| The Kroger Co., 7.25%, 6/1/2009 | 140,000 | 146,186 |
| The Kroger Co., 6.80%, 4/1/2011 | 145,000 | 150,859 |
Total Consumer Staples | | 297,045 |
| | | |
Energy - 0.18% | | |
Energy Equipment & Services - 0.11% | | |
| Cooper Cameron Corp. (now known as Cameron International Corp.), 1.50%, 5/15/2024 | 75,000 | 114,563 |
| Pride International, Inc., 3.25%, 5/1/2033 | 75,000 | 108,750 |
| Schlumberger Ltd., 1.50%, 6/1/2023 | 120,000 | 230,250 |
| | | 453,563 |
| | | |
Oil, Gas & Consumable Fuels - 0.07% | | |
| Amerada Hess Corp. (now known as Hess Corp.), 6.65%, 8/15/2011 | 295,000 | 307,516 |
Total Energy | | 761,079 |
| | | |
Financials - 0.89% | | |
Capital Markets - 0.20% | | |
| Goldman Sachs Capital I, 6.345%, 2/15/2034 | 425,000 | 407,685 |
| Lehman Brothers Holdings, Inc., 6.625%, 1/18/2012 | 215,000 | 225,162 |
| Merrill Lynch & Co., Inc., 6.00%, 2/17/2009 | 225,000 | 228,627 |
| | | 861,474 |
The accompanying notes are an integral part of the financial statements.
53
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Extended Term Series | Principal Amount | (Note 2) |
| | | |
CORPORATE BONDS (continued) | | |
| | | |
Financials (continued) | | |
Commercial Banks - 0.35% | | |
| PNC Funding Corp., 7.50%, 11/1/2009 | $280,000 | $298,186 |
| U.S. Bank National Association, 6.375%, 8/1/2011 | 575,000 | 596,326 |
| Wachovia Corp., 5.25%, 8/1/2014 | 615,000 | 589,138 |
| | | 1,483,650 |
| | | |
Diversified Financial Services - 0.17% | | |
| Bank of America Corp. Capital Trust VI, 5.625%, 3/8/2035 | 565,000 | 506,285 |
| Citigroup, Inc., 5.00%, 9/15/2014 | 235,000 | 222,570 |
| | | 728,855 |
| | | |
Insurance - 0.17% | | |
| Ambac Financial Group, Inc., 5.95%, 12/5/2035 | 435,000 | 406,946 |
| American International Group, Inc., 4.25%, 5/15/2013 | 345,000 | 315,847 |
| | | 722,793 |
Total Financials | | 3,796,772 |
| | | |
Health Care - 0.13% | | |
Pharmaceuticals - 0.13% | | |
| Abbott Laboratories, 3.50%, 2/17/2009 | 240,000 | 228,905 |
| Valeant Pharmaceuticals International, 4.00%, 11/15/2013 | 115,000 | 100,769 |
Wyeth3, 5.50%, 3/15/2013 | 225,000 | 221,373 |
Total Health Care | | 551,047 |
| | | |
Industrials - 0.52% | | |
Aerospace & Defense - 0.05% | | |
| Boeing Capital Corp., 6.50%, 2/15/2012 | 215,000 | 223,885 |
| | | |
Air Freight & Logistics - 0.05% | | |
| FedEx Corp., 3.50%, 4/1/2009 | 240,000 | 227,928 |
| | | |
Airlines - 0.12% | | |
| Southwest Airlines Co., 5.25%, 10/1/2014 | 525,000 | 493,742 |
| | | |
Industrial Conglomerates - 0.14% | | |
| General Electric Capital Corp., 6.75%, 3/15/2032 | 535,000 | 577,707 |
| | | |
Machinery - 0.05% | | |
| John Deere Capital Corp., 7.00%, 3/15/2012 | 205,000 | 218,540 |
| | | |
Road & Rail - 0.11% | | |
| CSX Corp., 6.75%, 3/15/2011 | 320,000 | 334,491 |
| Union Pacific Corp., 6.65%, 1/15/2011 | 145,000 | 150,664 |
| | | 485,155 |
Total Industrials | | 2,226,957 |
The accompanying notes are an integral part of the financial statements.
54
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Extended Term Series | Principal Amount | (Note 2) |
| | | |
CORPORATE BONDS (continued) | | |
| | | |
Information Technology - 0.20% | | |
Communications Equipment - 0.20% | | |
| Cisco Systems, Inc., 5.25%, 2/22/2011 | $140,000 | $138,586 |
| Corning, Inc., 5.90%, 3/15/2014 | 540,000 | 526,376 |
| Juniper Networks, Inc., 6/15/2008 | 195,000 | 205,969 |
Total Information Technology | | 870,931 |
| | | |
Materials - 0.07% | | |
Metals & Mining - 0.07% | | |
| Alcoa, Inc., 7.375%, 8/1/2010 | 275,000 | 293,821 |
| | | |
Telecommunication Services - 0.07% | | |
Diversified Telecommunication Services - 0.07% | | |
| Verizon Wireless Capital LLC, 5.375%, 12/15/2006 | 300,000 | 300,152 |
| | | |
Utilities - 0.24% | | |
Electric Utilities - 0.11% | | |
Allegheny Energy Supply Co. LLC4, 8.25%, 4/15/2012 | 220,000 | 239,250 |
| American Electric Power Co., Inc., 5.375%, 3/15/2010 | 230,000 | 227,562 |
| | | 466,812 |
| | | |
Independent Power Producers & Energy Traders - 0.05% | | |
| TXU Energy Co., 7.00%, 3/15/2013 | 215,000 | 222,670 |
| | | |
Multi-Utilities - 0.08% | | |
| CenterPoint Energy Resources Corp., 7.875%, 4/1/2013 | 135,000 | 148,986 |
| Xcel Energy, Inc., 7.50%, 11/21/2007 | 130,000 | 201,013 |
| | | 349,999 |
Total Utilities | | 1,039,481 |
| | | |
TOTAL CORPORATE BONDS | | |
| (Identified Cost $14,460,521) | | 14,048,124 |
| | | |
U.S. TREASURY SECURITIES - 14.41% | | |
U.S. Treasury Bonds - 9.88% | | |
| U.S. Treasury Bond, 7.25%, 8/15/2022 | 5,000 | 6,052 |
| U.S. Treasury Bond, 6.00%, 2/15/2026 | 6,035,000 | 6,537,130 |
| U.S. Treasury Bond, 5.50%, 8/15/2028 | 34,810,000 | 35,685,680 |
| | | |
Total U.S. Treasury Bonds | | |
| (Identified Cost $42,129,058) | | 42,228,862 |
| | | |
U.S. Treasury Notes - 4.53% | | |
| U.S. Treasury Note, 3.00%, 2/15/2008 | | |
| (Identified Cost $19,431,277) | 20,000,000 | 19,360,160 |
| | | |
TOTAL U.S. TREASURY SECURITIES | | |
| (Identified Cost $61,560,335) | | 61,589,022 |
The accompanying notes are an integral part of the financial statements.
55
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Extended Term Series | Principal Amount | (Note 2) |
| | | |
U.S. GOVERNMENT AGENCIES - 4.94% | | |
Mortgage-Backed Securities - 4.89% | | |
| Fannie Mae, Pool #621881, 5.50%, 1/1/2017 | $2,843 | $2,825 |
| Fannie Mae, Pool #725793, 5.50%, 9/1/2019 | 485,041 | 481,906 |
| Fannie Mae, Pool #725686, 6.50%, 7/1/2034 | 575,917 | 587,270 |
Fannie Mae, TBA5, 4.50%, 5/15/2021 | 1,328,000 | 1,264,090 |
Fannie Mae, TBA5, 5.00%, 6/15/2021 | 1,182,000 | 1,149,864 |
Fannie Mae, TBA5, 6.00%, 5/15/2036 | 1,625,000 | 1,617,382 |
Fannie Mae, TBA5, 5.00%, 6/15/2036 | 2,377,000 | 2,246,265 |
Fannie Mae, TBA5, 5.50%, 7/15/2036 | 3,851,000 | 3,733,063 |
| Federal Home Loan Mortgage Corp., Pool #B16835, 5.50%, 10/1/2019 | 471,429 | 467,512 |
| Federal Home Loan Mortgage Corp., Pool #A22067, 6.50%, 5/1/2034 | 332,227 | 337,896 |
Federal Home Loan Mortgage Corp., TBA5, 4.50%, 5/15/2021 | 1,393,000 | 1,325,091 |
Federal Home Loan Mortgage Corp., TBA5, 5.00%, 7/15/2021 | 968,000 | 939,868 |
Federal Home Loan Mortgage Corp., TBA5, 6.00%, 5/15/2036 | 839,000 | 836,115 |
Federal Home Loan Mortgage Corp., TBA5, 5.50%, 6/15/2036 | 2,049,000 | 1,988,811 |
Federal Home Loan Mortgage Corp., TBA5, 5.00%, 7/15/2036 | 1,757,000 | 1,658,717 |
| GNMA, Pool #631703, 6.50%, 9/15/2034 | 215,159 | 221,393 |
GNMA, TBA5, 5.50%, 5/15/2036 | 968,000 | 950,152 |
GNMA, TBA5, 6.00%, 5/15/2036 | 603,000 | 605,261 |
GNMA, TBA5, 5.00%, 6/15/2036 | 511,000 | 489,442 |
| | | |
Total Mortgage-Backed Securities | | |
| (Identified Cost $21,099,012) | | 20,902,923 |
| | | |
Other Agencies - 0.05% | | |
| Fannie Mae, 4.25%, 7/15/2007 | 190,000 | 187,954 |
| Fannie Mae, 5.75%, 2/15/2008 | 5,000 | 5,051 |
| | | |
Total Other Agencies | | |
| (Identified Cost $198,187) | | 193,005 |
| | | |
TOTAL U.S. GOVERNMENT AGENCIES | | |
| (Identified Cost $21,297,199) | | 21,095,928 |
The accompanying notes are an integral part of the financial statements.
56
Investment Portfolio - April 30, 2006 (unaudited)
| | Shares/ | Value |
Pro-Blend® Extended Term Series | Principal Amount | (Note 2) |
| | | |
SHORT-TERM INVESTMENTS - 14.73% | | |
| Dreyfus Treasury Cash Management - Institutional Shares | 19,985,546 | $19,985,546 |
| Fannie Mae Discount Note, 5/5/2006 | $20,000,000 | 19,987,541 |
| Federal Home Loan Bank Discount Note, 5/5/2006 | 23,000,000 | 22,988,372 |
| | | |
TOTAL SHORT-TERM INVESTMENTS | | |
| (Identified Cost $62,963,874) | | 62,961,459 |
| | | |
TOTAL INVESTMENTS - 106.04% | | |
| (Identified Cost $403,997,245) | | 453,157,286 |
| | | |
LIABILITIES, LESS OTHER ASSETS - (6.04%) | | (25,810,521) |
| | | |
NET ASSETS - 100% | | $427,346,765 |
*Non-income producing security
1Mellon Financial Corp. is the parent company of Mellon Trust of New England N.A., the Fund's custodian.
2A subsidiary of the company serves as the Fund's sub-accounting services and sub-transfer agent. An employee of the company serves as an officer of the Fund (See Note 4 to Financial Statements).
3The coupon rate will increase with every ratings downgrade and decrease with every ratings upgrade. The coupon rate stated is the rate as of April 30, 2006.
4Represents a security sold under Rule 144A, which is exempt from registration under the Securities Act of 1933, as amended. The security has been determined to be liquid under guidelines established by the Board of Directors. The security amounts to $239,250, or 0.06%, of the Series' net assets as of April 30, 2006.
5Securities purchased on a forward commitment or when-issued basis. TBA - to be announced.
ADR - American Depository Receipt
The accompanying notes are an integral part of the financial statements.
57
Statement of Assets and Liabilities - Pro-Blend® Extended Term Series (unaudited)
April 30, 2006
ASSETS: | |
| | |
| Investments, at value (identified cost $403,997,245) (Note 2) | $453,157,286 |
| Foreign currency, at value (cost $12,358) | 12,358 |
| Receivable for securities sold | 8,255,172 |
| Receivable for fund shares sold | 1,065,004 |
| Interest receivable | 823,513 |
| Dividends receivable | 233,589 |
| Foreign tax reclaims receivable | 119,672 |
| | |
| TOTAL ASSETS | 463,666,594 |
| | |
LIABILITIES: | |
| | |
| Accrued management fees (Note 3) | 344,739 |
| Accrued fund accounting and transfer agent fees (Note 3) | 36,816 |
| Accrued directors' fees (Note 3) | 184 |
| Accrued Chief Compliance Officer service fees (Note 3) | 104 |
| Payable for purchases of delayed delivery securities (Note 2) | 18,986,789 |
| Payable for securities purchased | 16,462,536 |
| Payable for fund shares repurchased | 450,078 |
| Other payables and accrued expenses | 38,583 |
| | |
| TOTAL LIABILITIES | 36,319,829 |
| | |
TOTAL NET ASSETS | $427,346,765 |
| | |
NET ASSETS CONSIST OF: | |
| | |
| Capital stock | $264,661 |
| Additional paid-in-capital | 361,449,093 |
| Undistributed net investment income | 1,655,190 |
| Accumulated net realized gain on investments and other assets and liabilities | 14,811,921 |
| Net unrealized appreciation on investments and other assets and liabilities | 49,165,900 |
| | |
TOTAL NET ASSETS | $427,346,765 |
| | |
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - CLASS A ($427,346,765/26,466,130 shares) | $16.15 |
The accompanying notes are an integral part of the financial statements.
58
Statement of Operations - Pro-Blend® Extended Term Series (unaudited)
For the Six Months Ended April 30, 2006
INVESTMENT INCOME: | |
| | |
| Interest | $2,270,310 |
| Dividends (net of foreign tax withheld, $72,508) | 2,158,176 |
| | |
| Total Investment Income | 4,428,486 |
| | |
EXPENSES: | |
| | |
| Management fees (Note 3) | 1,950,767 |
| Fund accounting and transfer agent fees (Note 3) | 192,227 |
| Directors' fees (Note 3) | 4,016 |
| Chief Compliance Officer service fees (Note 3) | 2,429 |
| Custodian fees | 28,189 |
| Miscellaneous | 59,540 |
| | |
| Total Expenses | 2,237,168 |
| | |
| NET INVESTMENT INCOME | 2,191,318 |
| | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | |
| | |
| Net realized gain (loss) on - | |
| Investments | 14,873,966 |
| Foreign currency and other assets and liabilities | (770) |
| | |
| | 14,873,196 |
| | |
| Net change in unrealized appreciation on - | |
| Investments | 17,423,452 |
| Foreign currency and other assets and liabilities | 9,658 |
| | |
| | 17,433,110 |
| | |
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | 32,306,306 |
| | |
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $34,497,624 |
The accompanying notes are an integral part of the financial statements.
59
Statements of Changes in Net Assets - Pro-Blend® Extended Term Series
| | For the Six | |
| | Months Ended | For the |
| | 4/30/06 | Year Ended |
| | (unaudited) | 10/31/05 |
| | | |
INCREASE (DECREASE) IN NET ASSETS: | | |
| | | |
OPERATIONS: | | |
| | | |
| Net investment income | $2,191,318 | $2,882,358 |
| Net realized gain on investments | 14,873,196 | 22,836,407 |
| Net change in unrealized appreciation on investments | 17,433,110 | 12,297,476 |
| | | |
| Net increase from operations | 34,497,624 | 38,016,241 |
| | | |
DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | | |
| | | |
| From net investment income | (2,213,590) | (2,277,777) |
| From net realized gain on investments | (22,198,806) | (6,925,216) |
| | | |
| Total distributions to shareholders | (24,412,396) | (9,202,993) |
| | | |
CAPITAL STOCK ISSUED AND REPURCHASED: | | |
| | | |
| Net increase from capital share transactions (Note 5) | 51,535,717 | 61,315,353 |
| | | |
| Net increase in net assets | 61,620,945 | 90,128,601 |
| | | |
NET ASSETS: | | |
| | | |
| Beginning of period | 365,725,820 | 275,597,219 |
| | | |
End of period (including undistributed net investment income of $1,655,190 and $1,677,462, respectively) | $427,346,765 | $365,725,820 |
The accompanying notes are an integral part of the financial statements.
60
Financial Highlights - Pro-Blend® Extended Term Series
| | For the Six | | | | | |
| | Months Ended | | | | | |
| | 4/30/06 | For the Years Ended |
| | (unaudited) | 10/31/05 | 10/31/04 | 10/31/03 | 10/31/02 | 10/31/01 |
| | | | | | | |
Per share data (for a share outstanding throughout each period): | | | | | | |
| | | | | | | |
Net asset value - Beginning of period | $15.82 | $14.45 | $13.14 | $11.55 | $13.09 | $14.03 |
| | | | | | | |
| Income (loss) from investment operations: | | | | | | |
| Net investment income | 0.09 | 0.13 | 0.11 | 0.11 | 0.19 | 0.32 |
| Net realized and unrealized gain (loss) on investments | 1.29 | 1.71 | 1.39 | 1.66 | (0.86) | (0.13) |
| | | | | | | |
| Total from investment operations | 1.38 | 1.84 | 1.50 | 1.77 | (0.67) | 0.19 |
| | | | | | | |
| Less distributions to shareholders: | | | | | | |
| From net investment income | (0.10) | (0.11) | (0.10) | (0.18) | (0.25) | (0.35) |
| From net realized gain on investments | (0.95) | (0.36) | (0.09) | - | (0.62) | (0.78) |
| | | | | | | |
| Total distributions to shareholders | (1.05) | (0.47) | (0.19) | (0.18) | (0.87) | (1.13) |
| | | | | | | |
Net asset value - End of period | $16.15 | $15.82 | $14.45 | $13.14 | $11.55 | $13.09 |
| | | | | | | |
Total return1 | 9.18% | 12.92% | 11.52% | 15.45% | (5.74%) | 1.37% |
| | | | | | | |
Ratios (to average net assets)/Supplemental Data: | | | | | | |
| Expenses* | 1.15%2 | 1.17% | 1.17% | 1.17% | 1.19% | 1.20% |
| Net investment income | 1.12%2 | 0.89% | 0.86% | 0.90% | 1.61% | 2.26% |
| | | | | | | |
| Portfolio turnover | 50% | 71% | 50% | 67% | 82% | 75% |
| | | | | | | |
Net assets - End of period (000's omitted) | $427,347 | $365,726 | $275,597 | $209,038 | $156,182 | $87,460 |
*The investment advisor did not impose all of its management fee in some periods. If these expenses had been incurred by the Series, the expense ratio (to average net assets) would have been increased as follows:
1Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived during certain periods. Periods less than one year are not annualized.
2Annualized.
The accompanying notes are an integral part of the financial statements.
61
Shareholder Expense Example - Pro-Blend® Maximum Term Series (unaudited)
As a shareholder of the Series, you may incur two types of costs: (1) transaction costs, including potential wire charges on redemptions and (2) ongoing costs, including management fees and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (November 1, 2005 to April 30, 2006).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as potential wire charges on redemptions. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
| | Beginning | Ending | Expenses Paid |
| | Account Value | Account Value | During Period* |
| | 11/1/05 | 4/30/06 | 11/1/05-4/30/06 |
| Actual | $1,000.00 | $1,113.50 | $6.13 |
| Hypothetical | | | |
| (5% return before expenses) | $1,000.00 | $1,018.99 | $5.86 |
*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 1.17%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year.
62
Portfolio Composition - Pro-Blend® Maximum Term Series (unaudited)
As of April 30, 2006
<graphic>
<pie chart>
Asset Allocation*
| Common Stocks | 79.73% |
U.S. Treasury Bonds1 | 9.90% |
| Cash, short-term investments, and other liabilities, less assets | 10.37% |
*As a percentage of net assets.
1A U.S. Treasury Bond is a long-term obligation of the U.S. Treasury issued with a maturity period of more than ten years.
Stock Sector Allocation*
| Information Technology | 12.87% |
| Health Care | 12.09% |
| Consumer Discretionary | 12.07% |
| Consumer Staples | 9.22% |
| Financials | 8.47% |
| Industrials | 7.55% |
| Energy | 6.75% |
| Utilities | 3.70% |
| Materials | 2.92% |
| Telecommunication Services | 2.65% |
*As a percentage of total investments.
Top Ten Stock Holdings*
| Cisco Systems, Inc. | 2.69% |
| Vodafone Group plc - ADR (United Kingdom) | 2.64% |
| Emdeon Corp. | 2.46% |
| Novartis AG - ADR (Switzerland) | 2.23% |
| Unilever plc - ADR (United Kingdom) | 2.19% |
| Carnival Corp. | 2.10% |
| The Coca-Cola Co. | 1.97% |
| Time Warner, Inc. | 1.96% |
| The Bank of New York Co., Inc. | 1.73% |
| Allegheny Energy, Inc. | 1.67% |
*As a percentage of total investments.
63
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Maximum Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS - 79.73% | | |
| | | |
Consumer Discretionary - 12.28% | | |
Auto Components - 0.10% | | |
| Autoliv, Inc. (Sweden) (Note 7) | 2,375 | $131,337 |
| Azure Dynamics Corp.* (Canada) (Note 7) | 56,675 | 59,829 |
| Tenneco, Inc.* | 2,175 | 52,309 |
| | | 243,475 |
| | | |
Automobiles - 0.03% | | |
| Bayerische Motoren Werke AG (BMW) (Germany) (Note 7) | 1,175 | 63,955 |
| | | |
Diversified Consumer Services - 1.13% | | |
| Career Education Corp.* | 69,200 | 2,551,404 |
| Corinthian Colleges, Inc.* | 6,450 | 96,040 |
| | | 2,647,444 |
| | | |
Hotels, Restaurants & Leisure - 3.28% | | |
| Carnival Corp. | 107,425 | 5,029,638 |
| Club Mediterranee S.A.* (France) (Note 7) | 3,775 | 224,042 |
| International Game Technology | 65,000 | 2,465,450 |
| | | 7,719,130 |
| | | |
Household Durables - 0.08% | | |
| Interface, Inc. - Class A* | 13,975 | 179,718 |
| | | |
Internet & Catalog Retail - 0.13% | | |
| Audible, Inc.* | 29,425 | 317,790 |
| | | |
Leisure Equipment & Products - 0.04% | | |
| K2, Inc.* | 1,475 | 17,390 |
| Marvel Entertainment, Inc.* | 4,575 | 89,258 |
| | | 106,648 |
| | | |
Media - 5.93% | | |
| Acme Communications, Inc.* | 12,250 | 55,002 |
| Cablevision Systems Corp. - Class A | 92,700 | 1,879,029 |
| Comcast Corp. - Class A* | 86,325 | 2,671,759 |
| DreamWorks Animation SKG, Inc. - Class A* | 1,875 | 50,813 |
| The E.W. Scripps Co. - Class A | 83,050 | 3,826,944 |
| GCap Media plc (United Kingdom) (Note 7) | 12,875 | 59,626 |
| Impresa S.A. (SGPS)* (Portugal) (Note 7) | 9,075 | 58,152 |
| Pearson plc (United Kingdom) (Note 7) | 11,750 | 162,820 |
| Reed Elsevier plc - ADR (United Kingdom) (Note 7) | 3,550 | 141,290 |
| Reuters Group plc (United Kingdom) (Note 7) | 18,375 | 130,326 |
| Scholastic Corp.* | 3,725 | 98,862 |
| Time Warner, Inc. | 269,775 | 4,694,085 |
| Wolters Kluwer N.V. (Netherlands) (Note 7) | 4,150 | 108,099 |
| | | 13,936,807 |
The accompanying notes are an integral part of the financial statements.
64
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Maximum Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Consumer Discretionary (continued) | | |
Multiline Retail - 0.06% | | |
| Don Quijote Co. Ltd. (Japan) (Note 7) | 600 | $51,173 |
| PPR S.A. (France) (Note 7) | 625 | 81,045 |
| | | 132,218 |
| | | |
Specialty Retail - 1.46% | | |
| Build-A-Bear Workshop, Inc.* | 3,400 | 109,820 |
| Douglas Holding AG (Germany) (Note 7) | 3,825 | 183,827 |
| Kingfisher plc (United Kingdom) (Note 7) | 46,225 | 189,844 |
| KOMERI Co. Ltd. (Japan) (Note 7) | 2,500 | 84,321 |
| Office Depot, Inc.* | 68,750 | 2,789,875 |
| Pier 1 Imports, Inc. | 6,475 | 78,153 |
| | | 3,435,840 |
| | | |
Textiles, Apparel & Luxury Goods - 0.04% | | |
| LVMH S.A. (Louis Vuitton Moet Hennessy) (France) (Note 7) | 1,000 | 105,264 |
Total Consumer Discretionary | | 28,888,289 |
| | | |
Consumer Staples - 9.39% | | |
Beverages - 2.11% | | |
| The Coca-Cola Co. | 112,650 | 4,726,794 |
| Diageo plc (United Kingdom) (Note 7) | 2,275 | 37,539 |
| Heineken N.V. (Netherlands) (Note 7) | 1,475 | 59,743 |
| Kirin Brewery Co. Ltd. (Japan) (Note 7) | 6,000 | 88,959 |
| Scottish & Newcastle plc (United Kingdom) (Note 7) | 4,075 | 37,670 |
| | | 4,950,705 |
| | | |
Food & Staples Retailing - 2.18% | | |
| Carrefour S.A. (France) (Note 7) | 55,000 | 3,189,954 |
| Metro AG (Germany) (Note 7) | 1,275 | 72,148 |
| Pathmark Stores, Inc.* | 6,775 | 70,121 |
| Tesco plc (United Kingdom) (Note 7) | 6,600 | 38,448 |
| Wal-Mart Stores, Inc. | 38,975 | 1,755,044 |
| | | 5,125,715 |
| | | |
Food Products - 3.94% | | |
| Cadbury Schweppes plc (United Kingdom) (Note 7) | 14,250 | 141,341 |
| Groupe Danone (France) (Note 7) | 975 | 121,634 |
| The Hain Celestial Group, Inc.* | 4,650 | 125,085 |
| Lancaster Colony Corp. | 375 | 15,394 |
| Nestle S.A. (Switzerland) (Note 7) | 11,600 | 3,539,039 |
| Suedzucker AG (Germany) (Note 7) | 2,600 | 71,332 |
| Unilever plc - ADR (United Kingdom) (Note 7) | 122,582 | 5,237,929 |
| | | 9,251,754 |
The accompanying notes are an integral part of the financial statements.
65
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Maximum Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Consumer Staples (continued) | | |
Household Products - 0.08% | | |
| Kao Corp. (Japan) (Note 7) | 2,000 | $53,755 |
| Kimberly-Clark de Mexico S.A. de C.V. - ADR (Mexico) (Note 7) | 5,575 | 98,180 |
| Reckitt Benckiser plc (United Kingdom) (Note 7) | 1,175 | 42,826 |
| | | 194,761 |
| | | |
Personal Products - 1.08% | | |
| Clarins S.A. (France) (Note 7) | 3,320 | 233,682 |
| The Estee Lauder Companies, Inc. - Class A | 62,325 | 2,313,504 |
| | | 2,547,186 |
Total Consumer Staples | | 22,070,121 |
| | | |
Energy - 6.88% | | |
Energy Equipment & Services - 5.56% | | |
| Abbot Group plc (United Kingdom) (Note 7) | 36,775 | 221,605 |
| Baker Hughes, Inc. | 18,850 | 1,523,645 |
| Compagnie Generale de Geophysique S.A. (CGG)* (France) (Note 7) | 2,600 | 420,122 |
| Cooper Cameron Corp.* (now known as Cameron International Corp.) | 39,450 | 1,981,968 |
| Helmerich & Payne, Inc. | 1,275 | 92,744 |
| National-Oilwell Varco, Inc.* | 41,436 | 2,857,841 |
| Pride International, Inc.* | 8,625 | 300,926 |
| Schlumberger Ltd. | 55,200 | 3,816,528 |
| Scomi Group Berhad (Malaysia) (Note 7) | 198,000 | 69,378 |
| Weatherford International Ltd.* | 33,850 | 1,791,681 |
| | | 13,076,438 |
| | | |
Oil, Gas & Consumable Fuels - 1.32% | | |
| Amerada Hess Corp. (now known as Hess Corp.) | 17,850 | 2,557,369 |
| BP plc (United Kingdom) (Note 7) | 3,450 | 42,554 |
| Eni S.p.A. (Italy) (Note 7) | 6,075 | 185,445 |
| Forest Oil Corp.* | 1,700 | 62,169 |
| Mariner Energy, Inc.* | 1,375 | 26,744 |
| Petroleo Brasileiro S.A. (Petrobras) - ADR (Brazil) (Note 7) | 700 | 62,223 |
| Royal Dutch Shell plc - Class B (United Kingdom) (Note 7) | 1,264 | 45,194 |
| Total S.A. (France) (Note 7) | 400 | 110,600 |
| | | 3,092,298 |
Total Energy | | 16,168,736 |
The accompanying notes are an integral part of the financial statements.
66
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Maximum Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Financials - 8.63% | | |
Capital Markets - 3.39% | | |
| The Bank of New York Co., Inc. | 117,625 | $4,134,519 |
| The Charles Schwab Corp. | 3,425 | 61,308 |
| Daiwa Securities Group, Inc. (Japan) (Note 7) | 7,000 | 97,084 |
| Deutsche Bank AG (Germany) (Note 7) | 2,025 | 247,617 |
| Franklin Resources, Inc. | 475 | 44,232 |
| Janus Capital Group, Inc. | 3,775 | 73,461 |
Mellon Financial Corp.1 | 2,550 | 95,957 |
| Merrill Lynch & Co., Inc. | 1,025 | 78,167 |
| Morgan Stanley | 1,450 | 93,235 |
| Nomura Holdings, Inc. (Japan) (Note 7) | 2,300 | 52,020 |
| SEI Investments Co. | 68,875 | 2,957,493 |
| T. Rowe Price Group, Inc. | 600 | 50,514 |
| | | 7,985,607 |
| | | |
Commercial Banks - 4.44% | | |
| Aareal Bank AG* (Germany) (Note 7) | 1,650 | 77,799 |
| ABN AMRO Holding N.V. (Netherlands) (Note 7) | 4,275 | 127,748 |
| Barclays plc (United Kingdom) (Note 7) | 16,400 | 204,828 |
| BNP Paribas (France) (Note 7) | 650 | 61,411 |
| The Chugoku Bank Ltd. (Japan) (Note 7) | 5,000 | 78,612 |
| Commerzbank AG (Germany) (Note 7) | 4,875 | 201,390 |
| Credit Agricole S.A. (France) (Note 7) | 1,950 | 78,564 |
| Fifth Third Bancorp | 550 | 22,231 |
| The Hachijuni Bank Ltd. (Japan) (Note 7) | 9,000 | 72,727 |
| Huntington Bancshares, Inc. | 975 | 23,546 |
| KeyCorp | 1,125 | 42,997 |
| M&T Bank Corp. | 350 | 41,790 |
| Marshall & Ilsley Corp. | 1,275 | 58,293 |
| Mitsubishi UFJ Financial Group, Inc. (Japan) (Note 7) | 6 | 94,335 |
| National City Corp. | 1,250 | 46,125 |
| PNC Financial Services Group, Inc. | 41,725 | 2,982,086 |
| PT Bank Mandiri (Indonesia) (Note 7) | 220,000 | 48,164 |
| Royal Bank of Scotland Group plc (United Kingdom) (Note 7) | 6,675 | 217,973 |
| Societe Generale (France) (Note 7) | 300 | 45,827 |
| The Sumitomo Trust and Banking Co. Ltd. (Japan) (Note 7) | 9,000 | 95,810 |
| SunTrust Banks, Inc. | 625 | 48,331 |
| TCF Financial Corp. | 1,475 | 39,619 |
| U.S. Bancorp | 87,625 | 2,754,930 |
| UniCredito Italiano S.p.A. (Italy) (Note 7) | 17,750 | 133,667 |
The accompanying notes are an integral part of the financial statements.
67
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Maximum Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Financials (continued) | | |
Commercial Banks (continued) | | |
| Wachovia Corp. | 45,025 | $2,694,746 |
| Wells Fargo & Co. | 1,075 | 73,842 |
| Zions Bancorporation | 775 | 64,348 |
| | | 10,431,739 |
| | | |
Consumer Finance - 0.02% | | |
| Capital One Financial Corp. | 475 | 41,154 |
| | | |
Diversified Financial Services - 0.26% | | |
| Bank of America Corp. | 3,875 | 193,440 |
| Citigroup, Inc. | 2,025 | 101,149 |
| ING Groep N.V. (Netherlands) (Note 7) | 2,575 | 104,784 |
| JPMorgan Chase & Co. | 4,325 | 196,268 |
| Moody’s Corp. | 425 | 26,354 |
| | | 621,995 |
| | | |
Insurance - 0.45% | | |
| Allianz AG (Germany) (Note 7) | 2,025 | 338,449 |
| Ambac Financial Group, Inc. | 1,175 | 96,773 |
| American International Group, Inc. | 1,600 | 104,400 |
| Assicurazioni Generali S.p.A. (Italy) (Note 7) | 3,100 | 116,176 |
| Axa (France) (Note 7) | 2,675 | 98,157 |
| Marsh & McLennan Companies, Inc. | 700 | 21,469 |
| MBIA, Inc. | 650 | 38,759 |
| Muenchener Rueckver AG (Germany) (Note 7) | 1,100 | 155,654 |
| Principal Financial Group, Inc. | 450 | 23,090 |
| Torchmark Corp. | 350 | 21,039 |
| Willis Group Holdings Ltd. (United Kingdom) (Note 7) | 1,075 | 37,786 |
| | | 1,051,752 |
| | | |
Real Estate Investment Trusts (REITS) - 0.01% | | |
| Friedman, Billings, Ramsey Group, Inc. - Class A | 1,725 | 18,647 |
| | | |
Thrifts & Mortgage Finance - 0.06% | | |
| BankAtlantic Bancorp, Inc. - Class A | 4,450 | 66,394 |
| Flagstar Bancorp, Inc. | 3,025 | 48,400 |
| New York Community Bancorp, Inc. | 1,025 | 17,640 |
| | | 132,434 |
Total Financials | | 20,283,328 |
The accompanying notes are an integral part of the financial statements.
68
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Maximum Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Health Care - 12.31% | | |
Biotechnology - 0.21% | | |
| Millennium Pharmaceuticals, Inc.* | 33,000 | $299,640 |
| Senomyx, Inc.* | 5,750 | 82,282 |
| Solexa, Inc.* | 12,675 | 119,272 |
| | | 501,194 |
| | | |
Health Care Equipment & Supplies - 3.30% | | |
| Align Technology, Inc.* | 13,600 | 119,544 |
| Bausch & Lomb, Inc. | 41,475 | 2,030,201 |
| Biomet, Inc. | 3,100 | 115,258 |
| The Cooper Companies, Inc. | 36,725 | 2,013,264 |
| DENTSPLY International, Inc. | 31,125 | 1,857,229 |
| Edwards Lifesciences Corp.* | 3,725 | 165,539 |
| IntraLase Corp.* | 14,075 | 302,331 |
| Inverness Medical Innovations, Inc. | 10,175 | 264,550 |
| Mentor Corp. | 2,800 | 121,324 |
| Orthovita, Inc.* | 21,450 | 84,728 |
| Wright Medical Group, Inc.* | 23,300 | 546,851 |
| Zoll Medical Corp.* | 5,225 | 138,463 |
| | | 7,759,282 |
| | | |
Health Care Providers & Services - 1.34% | | |
| AMERIGROUP Corp.* | 9,950 | 257,009 |
| AmerisourceBergen Corp. | 1,850 | 79,827 |
| AMN Healthcare Services, Inc.* | 13,900 | 267,158 |
| Cardinal Health, Inc. | 1,150 | 77,453 |
| Cross Country Healthcare, Inc.* | 11,950 | 216,534 |
| Healthways, Inc.* | 1,550 | 76,043 |
| McKesson Corp. | 1,500 | 72,885 |
| Patterson Companies, Inc.* | 53,650 | 1,747,917 |
| Tenet Healthcare Corp.* | 20,600 | 171,392 |
| Triad Hospitals, Inc.* | 4,625 | 190,550 |
| | | 3,156,768 |
| | | |
Health Care Technology - 2.97% | | |
| AMICAS, Inc.* | 76,425 | 348,498 |
| Emdeon Corp.* | 516,325 | 5,891,268 |
| iSOFT Group plc (United Kingdom) (Note 7) | 50,350 | 107,868 |
| Merge Technologies, Inc.* | 7,775 | 98,276 |
| Omnicell, Inc.* | 19,125 | 254,745 |
| WebMD Health Corp. - Class A* | 6,500 | 282,880 |
| | | 6,983,535 |
The accompanying notes are an integral part of the financial statements.
69
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Maximum Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Health Care (continued) | | |
Life Sciences Tools & Services - 1.92% | | |
| Affymetrix, Inc.* | 57,450 | $1,645,942 |
| Caliper Life Sciences, Inc.* | 23,675 | 144,181 |
| Charles River Laboratories International, Inc.* | 5,225 | 246,881 |
| PerkinElmer, Inc. | 112,425 | 2,410,392 |
| Xenogen Corp.* | 18,375 | 70,376 |
| | | 4,517,772 |
| | | |
Pharmaceuticals - 2.57% | | |
| AstraZeneca plc (United Kingdom) (Note 7) | 675 | 37,291 |
| GlaxoSmithKline plc (United Kingdom) (Note 7) | 1,725 | 48,939 |
| Novartis AG - ADR (Switzerland) (Note 7) | 92,750 | 5,334,052 |
| Sanofi-Aventis (France) (Note 7) | 562 | 52,991 |
| Sanofi-Aventis - ADR (France) (Note 7) | 3,250 | 152,880 |
| Shire plc (United Kingdom) (Note 7) | 3,500 | 54,562 |
| Takeda Pharmaceutical Co. Ltd. (Japan) (Note 7) | 800 | 48,906 |
| Valeant Pharmaceuticals International | 16,750 | 299,825 |
| | | 6,029,446 |
Total Health Care | | 28,947,997 |
| | | |
Industrials - 7.69% | | |
Aerospace & Defense - 1.09% | | |
| Empresa Brasileira de Aeronautica S.A. (Embraer) - ADR (Brazil) (Note 7) | 66,125 | 2,567,634 |
| | | |
Air Freight & Logistics - 1.10% | | |
| Deutsche Post AG (Germany) (Note 7) | 1,675 | 44,666 |
| TNT N.V. (Netherlands) (Note 7) | 4,850 | 174,602 |
| United Parcel Service, Inc. - Class B | 29,225 | 2,369,271 |
| | | 2,588,539 |
| | | |
Airlines - 1.50% | | |
| AirTran Holdings, Inc.* | 7,650 | 106,947 |
| AMR Corp.* | 2,100 | 51,744 |
| Continental Airlines, Inc. - Class B* | 2,100 | 54,684 |
| Deutsche Lufthansa AG (Germany) (Note 7) | 5,200 | 95,700 |
| JetBlue Airways Corp.* | 85,950 | 881,847 |
| Southwest Airlines Co. | 143,900 | 2,334,058 |
| | | 3,524,980 |
| | | |
Commercial Services & Supplies - 1.12% | | |
| ChoicePoint, Inc.* | 950 | 41,828 |
| The Dun & Bradstreet Corp.* | 32,950 | 2,537,809 |
| Herman Miller, Inc. | 1,375 | 42,336 |
| | | 2,621,973 |
The accompanying notes are an integral part of the financial statements.
70
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Maximum Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Industrials (continued) | | |
Construction & Engineering - 0.03% | | |
| Hochtief AG (Germany) (Note 7) | 1,200 | $81,739 |
| | | |
Electrical Equipment - 0.50% | | |
| ABB (Asea Brown Boveri) Ltd. - ADR* (Switzerland) (Note 7) | 8,000 | 113,760 |
| Gamesa Corporacion Tecnologica S.A. (Spain) (Note 7) | 46,575 | 1,012,257 |
| Plug Power, Inc.* | 8,200 | 49,200 |
| | | 1,175,217 |
| | | |
Industrial Conglomerates - 2.25% | | |
| 3M Co. | 34,525 | 2,949,471 |
| Siemens AG (Germany) (Note 7) | 2,000 | 189,588 |
| Sonae S.A. (SGPS) (Portugal) (Note 7) | 33,275 | 56,664 |
| Tyco International Ltd. (Bermuda) (Note 7) | 79,775 | 2,102,071 |
| | | 5,297,794 |
| | | |
Machinery - 0.10% | | |
| FANUC Ltd. (Japan) (Note 7) | 500 | 47,299 |
| MAN AG (Germany) (Note 7) | 2,350 | 178,095 |
| | | 225,394 |
Total Industrials | | 18,083,270 |
| | | |
Information Technology - 13.11% | | |
Communications Equipment - 6.20% | | |
| Blue Coat Systems, Inc.* | 15,975 | 347,616 |
| Cisco Systems, Inc.* | 307,725 | 6,446,839 |
| ECI Telecom Ltd.* (Israel) (Note 7) | 3,925 | 41,919 |
| Inter-Tel, Inc. | 13,850 | 317,719 |
| Juniper Networks, Inc.* | 202,475 | 3,741,738 |
| Packeteer, Inc.* | 23,275 | 303,971 |
| Polycom, Inc.* | 6,025 | 132,550 |
| RADWARE Ltd.* (Israel) (Note 7) | 15,475 | 245,279 |
| Research In Motion Ltd. (RIM)* (Canada) (Note 7) | 31,475 | 2,411,929 |
| Spirent plc* (United Kingdom) (Note 7) (now known as Spirent Communications plc) | 340,875 | 256,374 |
| Tandberg ASA (Norway) (Note 7) | 32,725 | 333,273 |
| | | 14,579,207 |
| | | |
Computers & Peripherals - 2.11% | | |
| EMC Corp.* | 192,675 | 2,603,039 |
| International Business Machines (IBM) Corp. | 28,725 | 2,365,216 |
| | | 4,968,255 |
The accompanying notes are an integral part of the financial statements.
71
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Maximum Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Information Technology (continued) | | |
Electronic Equipment & Instruments - 0.10% | | |
| DTS, Inc.* | 9,775 | $183,379 |
| KEYENCE Corp. (Japan) (Note 7) | 220 | 57,739 |
| | | 241,118 |
| | | |
IT Services - 1.47% | | |
| Automatic Data Processing, Inc. | 2,075 | 91,466 |
The BISYS Group, Inc.*2 | 5,950 | 94,843 |
| First Data Corp. | 60,150 | 2,868,553 |
| Fiserv, Inc.* | 2,100 | 94,668 |
| MoneyGram International, Inc. | 2,275 | 77,123 |
| RightNow Technologies, Inc.* | 11,925 | 220,732 |
| | | 3,447,385 |
| | | |
Office Electronics - 0.02% | | |
| Canon, Inc. (Japan) (Note 7) | 600 | 45,902 |
| | | |
Semiconductors & Semiconductor Equipment - 0.40% | | |
| ATI Technologies, Inc.* (Canada) (Note 7) | 6,025 | 93,508 |
| Cabot Microelectronics Corp.* | 8,575 | 280,488 |
| Exar Corp.* | 15,375 | 222,784 |
| Taiwan Semiconductor Manufacturing Co. Ltd. - ADR (Taiwan) (Note 7) | 32,293 | 338,431 |
| | | 935,211 |
| | | |
Software - 2.81% | | |
| Agile Software Corp.* | 27,750 | 193,417 |
| Amdocs Ltd.* (Guernsey) (Note 7) | 16,675 | 620,310 |
| Borland Software Corp.* | 48,225 | 245,948 |
| Cognos, Inc.* (Canada) (Note 7) | 1,175 | 43,792 |
| Kronos, Inc.* | 2,125 | 96,985 |
| Mercury Interactive Corp.* | 5,525 | 198,900 |
| Misys plc (United Kingdom) (Note 7) | 14,250 | 54,042 |
| NAVTEQ Corp.* | 2,700 | 112,104 |
| Quality Systems, Inc. | 5,800 | 194,648 |
| Salesforce.com, Inc.* | 6,700 | 234,835 |
| SAP AG (Germany) (Note 7) | 800 | 174,981 |
| Symantec Corp.* | 168,925 | 2,766,992 |
| Synopsys, Inc.* | 73,900 | 1,613,237 |
| Take-Two Interactive Software, Inc.* | 2,950 | 50,298 |
| | | 6,600,489 |
Total Information Technology | | 30,817,567 |
The accompanying notes are an integral part of the financial statements.
72
Investment Portfolio - April 30, 2006 (unaudited)
| | | Value |
Pro-Blend® Maximum Term Series | Shares | (Note 2) |
| | | |
COMMON STOCKS (continued) | | |
| | | |
Materials - 2.97% | | |
Chemicals - 2.86% | | |
| Air Liquide S.A. (France) (Note 7) | 330 | $71,389 |
| Bayer AG (Germany) (Note 7) | 3,900 | 179,560 |
| Degussa AG (Germany) (Note 7) | 1,375 | 78,396 |
| Lanxess* (Germany) (Note 7) | 1,497 | 61,408 |
| Lonza Group AG (Switzerland) (Note 7) | 34,750 | 2,466,527 |
| Minerals Technologies, Inc. | 31,150 | 1,782,403 |
| Nalco Holding Co.* | 110,225 | 2,077,741 |
| | | 6,717,424 |
| | | |
Containers & Packaging - 0.02% | | |
| Caraustar Industries, Inc.* | 5,375 | 53,266 |
| | | |
Paper & Forest Products - 0.09% | | |
| Sappi Ltd. - ADR (South Africa) (Note 7) | 14,150 | 198,666 |
| Sonae Industria S.A. (SGPS)* (Portugal) (Note 7) | 2,256 | 22,595 |
| | | 221,261 |
Total Materials | | 6,991,951 |
| | | |
Telecommunication Services - 2.70% | | |
Diversified Telecommunication Services - 0.02% | | |
| Telenor ASA - ADR (Norway) (Note 7) | 1,300 | 45,123 |
| | | |
Wireless Telecommunication Services - 2.68% | | |
| Vodafone Group plc - ADR (United Kingdom) (Note 7) | 266,150 | 6,307,755 |
Total Telecommunication Services | | 6,352,878 |
| | | |
Utilities - 3.77% | | |
Electric Utilities - 2.65% | | |
| Allegheny Energy, Inc.* | 112,350 | 4,003,030 |
| American Electric Power Co., Inc. | 57,700 | 1,930,642 |
| E.ON AG (Germany) (Note 7) | 2,075 | 254,281 |
| Westar Energy, Inc. | 1,825 | 38,216 |
| | | 6,226,169 |
| | | |
Independent Power Producers & Energy Traders - 0.02% | | |
| Drax Group plc (United Kingdom) (Note 7) | 4,125 | 59,416 |
| | | |
Multi-Utilities - 1.10% | | |
| Aquila, Inc.* | 22,325 | 96,667 |
| Suez S.A. (France) (Note 7) | 1,125 | 44,261 |
| Xcel Energy, Inc. | 129,550 | 2,440,722 |
| | | 2,581,650 |
Total Utilities | | 8,867,235 |
| | | |
TOTAL COMMON STOCKS | | |
| (Identified Cost $159,723,059) | | 187,471,372 |
The accompanying notes are an integral part of the financial statements.
73
Investment Portfolio - April 30, 2006 (unaudited)
| | Principal Amount/ | Value |
Pro-Blend® Maximum Term Series | Shares | (Note 2) |
| | | |
U.S. TREASURY BONDS - 9.90% | | |
| U.S. Treasury Bond, 5.50%, 8/15/2028 | | |
| (Identified Cost $23,255,979) | $22,705,000 | $23,276,167 |
| | | |
SHORT-TERM INVESTMENTS - 12.18% | | |
| Dreyfus Treasury Cash Management - Institutional Shares | 8,693,998 | 8,693,998 |
| Fannie Mae Discount Note, 5/5/2006 | $12,000,000 | 11,992,525 |
| U.S. Treasury Bill, 6/22/2006 | 8,000,000 | 7,948,654 |
| | | |
TOTAL SHORT-TERM INVESTMENTS | | |
| (Identified Cost $28,636,246) | | 28,635,177 |
| | | |
TOTAL INVESTMENTS - 101.81% | | |
| (Identified Cost $211,615,284) | | 239,382,716 |
| | | |
LIABILITIES, LESS OTHER ASSETS - (1.81%) | | (4,257,512) |
| | | |
NET ASSETS - 100% | | $235,125,204 |
*Non-income producing security
1Mellon Financial Corp. is the parent company of Mellon Trust of New England N.A., the Fund's custodian.
2A subsidiary of the company serves as the Fund's sub-accounting services and sub-transfer agent. An employee of the company serves as an officer of the Fund (See Note 4 to Financial Statements).
ADR - American Depository Receipt
The accompanying notes are an integral part of the financial statements.
74
Statement of Assets and Liabilities - Pro-Blend® Maximum Term Series (unaudited)
April 30, 2006
ASSETS: | |
| | |
| Investments, at value (identified cost $211,615,284) (Note 2) | $239,382,716 |
| Foreign currency, at value (cost $6,279) | 6,279 |
| Receivable for securities sold | 4,762,230 |
| Receivable for fund shares sold | 335,545 |
| Interest receivable | 260,709 |
| Dividends receivable | 153,810 |
| Foreign tax reclaims receivable | 77,554 |
| | |
| TOTAL ASSETS | 244,978,843 |
| | |
LIABILITIES: | |
| | |
| Accrued management fees (Note 3) | 188,345 |
| Accrued fund accounting and transfer agent fees (Note 3) | 21,579 |
| Accrued directors' fees (Note 3) | 185 |
| Accrued Chief Compliance Officer service fees (Note 3) | 104 |
| Payable for securities purchased | 9,401,553 |
| Payable for fund shares repurchased | 211,845 |
| Audit fees payable | 19,624 |
| Other payables and accrued expenses | 10,404 |
| | |
| TOTAL LIABILITIES | 9,853,639 |
| | |
TOTAL NET ASSETS | $235,125,204 |
| | |
NET ASSETS CONSIST OF: | |
| | |
| Capital stock | $136,504 |
| Additional paid-in-capital | 197,722,742 |
| Undistributed net investment income | 635,153 |
| Accumulated net realized gain on investments and other assets and liabilities | 8,859,806 |
| Net unrealized appreciation on investments and other assets and liabilities | 27,770,999 |
| | |
TOTAL NET ASSETS | $235,125,204 |
| | |
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - CLASS A ($235,125,204/13,650,405 shares) | $17.22 |
The accompanying notes are an integral part of the financial statements.
75
Statement of Operations - Pro-Blend® Maximum Term Series (unaudited)
For the Six Months Ended April 30, 2006
INVESTMENT INCOME: | |
| | |
| Dividends (net of foreign tax withheld, $43,550) | $1,321,651 |
| Interest | 609,170 |
| | |
| Total Investment Income | 1,930,821 |
| | |
EXPENSES: | |
| | |
| Management fees (Note 3) | 1,026,329 |
| Fund accounting and transfer agent fees (Note 3) | 103,234 |
| Directors' fees (Note 3) | 4,016 |
| Chief Compliance Officer service fees (Note 3) | 2,429 |
| Custodian fees | 18,483 |
| Miscellaneous | 45,687 |
| | |
| Total Expenses | 1,200,178 |
| | |
| NET INVESTMENT INCOME | 730,643 |
| | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | |
| | |
| Net realized gain (loss) on - | |
| Investments | 9,209,778 |
| Foreign currency and other assets and liabilities | (989) |
| | |
| | 9,208,789 |
| | |
| Net change in unrealized appreciation on - | |
| Investments | 12,371,391 |
| Foreign currency and other assets and liabilities | 6,376 |
| | |
| | 12,377,767 |
| | |
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | 21,586,556 |
| | |
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $22,317,199 |
The accompanying notes are an integral part of the financial statements.
76
Statements of Changes in Net Assets - Pro-Blend® Maximum Term Series
| | For the Six | |
| | Months Ended | For the |
| | 4/30/06 | Year Ended |
| | (unaudited) | 10/31/05 |
| | | |
INCREASE (DECREASE) IN NET ASSETS: | | |
| | | |
OPERATIONS: | | |
| | | |
| Net investment income | $730,643 | $819,906 |
| Net realized gain on investments | 9,208,789 | 14,702,711 |
| Net change in unrealized appreciation on investments | 12,377,767 | 5,487,987 |
| | | |
| Net increase from operations | 22,317,199 | 21,010,604 |
| | | |
DISTRIBUTIONS TO SHAREHOLDERS (Note 8): | | |
| | | |
| From net investment income | (600,890) | (510,850) |
| From net realized gain on investments | (14,737,691) | (3,198,199) |
| | | |
| Total distributions to shareholders | (15,338,581) | (3,709,049) |
| | | |
CAPITAL STOCK ISSUED AND REPURCHASED: | | |
| | | |
| Net increase from capital share transactions (Note 5) | 41,599,647 | 37,498,088 |
| | | |
| Net increase in net assets | 48,578,265 | 54,799,643 |
| | | |
NET ASSETS: | | |
| | | |
| Beginning of period | 186,546,939 | 131,747,296 |
| | | |
End of period (including undistributed net investment income of $635,153 and $505,400, respectively) | $235,125,204 | $186,546,939 |
The accompanying notes are an integral part of the financial statements.
77
Financial Highlights - Pro-Blend® Maximum Term Series
| | For the Six | | | | | |
| | Months Ended | | | | | |
| | 4/30/06 | For the Years Ended |
| | (unaudited) | 10/31/05 | 10/31/04 | 10/31/03 | 10/31/02 | 10/31/01 |
| | | | | | | |
Per share data (for a share outstanding throughout each period): | | | | | | |
| | | | | | | |
Net asset value - Beginning of period | $16.79 | $15.00 | $13.05 | $10.86 | $12.85 | $16.45 |
| | | | | | | |
| Income (loss) from investment operations: | | | | | | |
| Net investment income | 0.05 | 0.08 | 0.04 | 0.04 | 0.11 | 0.15 |
| Net realized and unrealized gain (loss) on investments | 1.73 | 2.11 | 1.94 | 2.25 | (1.36) | (0.95) |
| | | | | | | |
| Total from investment operations | 1.78 | 2.19 | 1.98 | 2.29 | (1.25) | (0.80) |
| | | | | | | |
| Less distributions to shareholders: | | | | | | |
| From net investment income | (0.05) | (0.05) | (0.03) | (0.10) | (0.15) | (0.56) |
| From net realized gain on investments | (1.30) | (0.35) | - | - | (0.59) | (2.24) |
| | | | | | | |
| Total distributions to shareholders | (1.35) | (0.40) | (0.03) | (0.10) | (0.74) | (2.80) |
| | | | | | | |
Net asset value - End of period | $17.22 | $16.79 | $15.00 | $13.05 | $10.86 | $12.85 |
| | | | | | | |
Total return1 | 11.35% | 14.84% | 15.20% | 21.20% | (10.68%) | (6.00%) |
| | | | | | | |
Ratios (to average net assets)/Supplemental Data: | | | | | | |
| Expenses* | 1.17%2 | 1.20% | 1.20% | 1.20% | 1.20% | 1.20% |
| Net investment income | 0.71%2 | 0.51% | 0.31% | 0.37% | 0.97% | 1.10% |
| | | | | | | |
| Portfolio turnover | 30% | 61% | 68% | 73% | 99% | 109% |
| | | | | | | |
Net assets - End of period (000's omitted) | $235,125 | $186,547 | $131,747 | $91,859 | $62,482 | $27,928 |
*The investment advisor did not impose all of its management fee in some periods. If these expenses had been incurred by the Series, the expense ratio (to average net assets) would have been increased as follows:
| | N/A | 0.02% | 0.06% | 0.09% | 0.16% | 0.30% |
1Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived during certain periods. Periods less than one year are not annualized.
2Annualized.
The accompanying notes are an integral part of the financial statements.
78
Notes to Financial Statements (unaudited)
1. ORGANIZATION
Pro-Blend® Conservative Term Series, Pro-Blend® Moderate Term Series, Pro-Blend® Extended Term Series and Pro-Blend® Maximum Term Series (each the "Series") are no-load diversified series of Exeter Fund, Inc. (the "Fund"). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as an open-end management investment company.
The Series are asset allocation funds. Each invests in a combination of stocks, bonds and cash, and is managed according to specific goals. The goals are as follows: Pro-Blend® Conservative Term Series - primary goal is preservation of capital; secondary goal is long-term growth of capital. Pro-Blend® Moderate Term Series - equal emphasis on long-term growth of capital and preservation of capital. Pro-Blend® Extended Term Series - primary goal is long-term growth of capital; secondary goal is preservation of capital. Pro-Blend® Maximum Term Series - long-term growth of capital.
Each Series is authorized to issue five classes of shares (Class A, B, C, D and E). Currently, only Class A shares have been issued. Each class of shares is substantially the same, except that class-specific distribution and shareholder servicing expenses are borne by the specific class of shares to which they relate.
Shares of each Series are offered to investors and employees of Manning & Napier Advisors, Inc. (the “Advisor”) and its affiliates. The total authorized capital stock of the Fund consists of 1.7 billion shares of common stock each having a par value of $0.01. As of April 30, 2006, 1.16 billion shares have been designated in total among 21 series, of which 37.5 million each have been designated as Pro-Blend® Conservative Term Series Class A, Pro-Blend® Moderate Term Series Class A and Pro-Blend® Extended Term Series Class A common stock, and 75 million have been designated as Pro-Blend® Maximum Term Series Class A common stock.
2. SIGNIFICANT ACCOUNTING POLICIES
Security Valuation
Portfolio securities, including domestic equities, foreign equities, exchange-traded funds and options, listed on an exchange other than the NASDAQ National Market System are valued at the latest quoted sales price of the exchange on which the security is primarily traded. Securities not traded on valuation date or securities not listed on an exchange are valued at the latest quoted bid price provided by the Fund's pricing service. Securities listed on the NASDAQ National Market System are valued in accordance with the NASDAQ Official Closing Price.
Debt securities, including government bonds, corporate bonds and mortgage-backed securities, will normally be valued on the basis of evaluated bid prices provided by the Fund's pricing service.
Securities for which representative valuations or prices are not available from the Fund's pricing service may be valued at fair value. If trading or events occurring after the close of the principal market in which securities are traded are expected to materially affect the value of those securities, then they may be valued at their fair value, taking this trading or these events into account. Fair value is determined in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Fund's Board of Directors (the “Board”).
79
Notes to Financial Statements (unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
Security Valuation (continued)
Short-term investments that mature in sixty days or less are valued at amortized cost, which approximates market value. Investments in open-end investment companies are valued at their net asset value per share on valuation date, with the exception of exchange-traded funds as noted previously.
Security Transactions, Investment Income and Expenses
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, except that if the ex-dividend date has passed, certain dividends from foreign securities are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Interest income and expenses are recorded on an accrual basis.
Most expenses of the Fund can be attributed to a specific series. Expenses which cannot be directly attributed are apportioned among the series in the Fund in such a manner as deemed equitable by the Fund's Board, taking into consideration, among other things, the nature and type of expense.
Interest income, including amortization of premium and accretion of discounts, is earned from settlement date and accrued daily.
The Series use the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.
Foreign Currency Translation
The books and records of the Series are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. The Series do not isolate realized and unrealized gains and losses attributable to changes in the exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized foreign currency gains and losses represent foreign currency gains and losses between trade date and settlement date on securities transactions, gains and losses on disposition of foreign currencies and the difference between the amount of income and foreign withholding taxes recorded on the books of the Series and the amounts actually received or paid.
Securities Purchased on a When-Issued Basis or Forward Commitment
Each Series may purchase securities on a when-issued basis or forward commitment. These transactions involve a commitment by the Series to purchase securities for a predetermined price with payment and delivery taking place beyond the customary settlement period. When such purchases are outstanding, the Series will designate liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Series assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Series may sell the when-issued securities before they are delivered, which may result in a capital gain or loss.
In connection with its ability to purchase or sell securities on a forward commitment basis, the Series may enter into forward roll transactions principally using To Be Announced (TBA)
80
Notes to Financial Statements (unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
Securities Purchased on a When-Issued Basis or Forward Commitment (continued)
securities. Forward roll transactions require the sale of securities for delivery in the current month, and a simultaneous agreement to repurchase substantially similar (same type, coupon and maturity) securities on a specified future date. Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Series to receive inferior securities at redelivery as compared to the securities sold to the counterparty; counterparty credit risk; and the potential pay down speed variance between the mortgage-backed pools. During the roll period, the Series forgoes principal and interest paid on the securities.
Restricted Securities
Restricted securities are purchased in private placement transactions, are not registered under the Securities Act of 1933, as amended, and may have contractual restrictions on resale. Information regarding restricted securities is included at the end of each applicable Series’ Investment Portfolio.
Federal Taxes
Each Series' policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. The Series are not subject to federal income or excise tax to the extent that each Series distributes to shareholders each year its taxable income, including any net realized gains on investments, in accordance with requirements of the Internal Revenue Code. Accordingly, no provision for federal income tax or excise tax has been made in the financial statements.
Distributions of Income and Gains
Distributions to shareholders of net investment income are made semi-annually. Distributions of net realized gains are made annually. An additional distribution may be necessary to avoid taxation of a Series. Distributions are recorded on the ex-dividend date.
Indemnifications
The Fund’s organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
3. TRANSACTIONS WITH AFFILIATES
The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which each Series pays a fee, computed daily and payable monthly, at an annual rate of 0.80% for Pro-Blend® Conservative Term Series and 1.00% for Pro-Blend® Moderate Term Series, Pro-Blend® Extended Term Series and Pro-Blend® Maximum Term Series, of the Series' average daily net assets.
81
Notes to Financial Statements (unaudited)
3. TRANSACTIONS WITH AFFILIATES (continued)
Under the Agreement, personnel of the Advisor provide the Series with advice and assistance in the choice of investments and the execution of securities transactions, and otherwise maintain the Series' organization. The Advisor also provides the Fund with necessary office space and fund administration services. The salaries of all officers of the Fund (except a percentage of the Fund’s Chief Compliance Officer’s salary, which is paid by the Fund, and the Special Assistant Secretary’s salary, which is paid by BISYS Fund Services Ohio, Inc. (“BISYS”)), and of all Directors who are "affiliated persons" of the Fund, or of the Advisor, and all personnel of the Fund, or of the Advisor, performing services relating to research, statistical and investment activities, are paid by the Advisor. Each "non-affiliated" Director receives an annual stipend, which is allocated among all the active series of the Fund. In addition, these Directors also receive a per meeting fee for each active series of the Fund plus a fee for each committee meeting attended.
The Advisor has contractually agreed, until at least February 28, 2007, to waive its fee and, if necessary, pay other operating expenses of the Series in order to maintain total expenses for the Series at no more than 1.00% for Pro-Blend® Conservative Term Series and 1.20% for Pro-Blend® Moderate Term Series, Pro-Blend® Extended Term Series and Pro-Blend® Maximum Term Series, of average daily net assets each year. In addition to its contractual agreement to limit expenses for the Pro-Blend® Extended Term Series to 1.20%, the Advisor has voluntarily agreed to waive fees and reimburse expenses during the current fiscal year in order to keep total operating expenses from exceeding 1.17% of the Series’ average daily net assets. The Advisor may change or eliminate all or part of its voluntary waiver at any time. Accordingly, the Advisor waived fees of $25,529 for Pro-Blend® Conservative Term Series for the six months ended April 30, 2006, which is reflected as a reduction of expenses on the Statement of Operations. For the six months ended April 30, 2006, the Advisor did not waive its management fee or reimburse any expenses of the Pro-Blend® Moderate Term Series, Pro-Blend® Extended Term Series or the Pro-Blend® Maximum Term Series.
Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund's shares. The services of Manning & Napier Investor Services, Inc. are provided at no additional cost to the Series.
For fund accounting and transfer agent services, the Fund pays the Advisor an annual fee of 0.12% of the Fund’s average daily net assets up to $900 million, 0.09% for the Fund’s average daily net assets between $900 million and $1.5 billion, and 0.05% for the Fund’s average daily net assets over $1.5 billion. These fee rates are scheduled to be reduced each year through 2007. Additionally, certain transaction and account-based fees and out-of-pocket expenses, including charges for reporting relating to the Fund’s compliance program, are charged. Expenses not directly attributable to a series are allocated based on each series’ relative net assets or number of accounts, depending on the expense. The Advisor has an agreement with BISYS under which BISYS serves as sub-accounting services and sub-transfer agent.
82
Notes to Financial Statements (unaudited)
4. PURCHASES AND SALES OF SECURITIES
For the six months ended April 30, 2006, purchases and sales of securities, other than short-term securities, were as follows:
| | Purchases | Sales |
| | Other | | Other | |
Series | Issuers | Government | Issuers | Government |
| | | | | |
Pro-Blend® Conservative Term Series | $5,476,709 | $11,176,621 | $4,068,240 | $7,253,998 |
Pro-Blend® Moderate Term Series | 65,728,959 | 71,580,439 | 36,396,314 | 36,682,656 |
Pro-Blend® Extended Term Series | 103,729,886 | 92,278,260 | 91,728,848 | 85,726,724 |
Pro-Blend® Maximum Term Series | 62,010,691 | 13,285,215 | 56,487,363 | - |
An employee of The BISYS Group, Inc. serves as an officer of the Fund. Therefore, The BISYS Group, Inc. is considered an “affiliated company”, as defined in the 1940 Act. The following transactions were effected in shares of The BISYS Group, Inc. for the six months ended April 30, 2006:
| | Purchases | Sales | |
Series | Shares | Cost | Shares | Cost | Realized Gain | Income |
| | | | | | | |
Pro-Blend® Conservative Term Series | 75 | $953 | - | $- | $- | $- |
Pro-Blend® Moderate Term Series | 675 | 8,580 | - | - | - | - |
Pro-Blend® Extended Term Series | 1,700 | 21,610 | - | - | - | - |
Pro-Blend® Maximum Term Series | 925 | 11,758 | - | - | - | - |
5. CAPITAL STOCK TRANSACTIONS
Transactions in Class A Shares:
| | For the Six Months | For the Year |
| | Ended 4/30/06 | Ended 10/31/05 |
| | Shares | Amount | Shares | Amount |
| | | | | |
Pro-Blend® Conservative Term Series: | | | | |
| Sold | 1,628,327 | $19,189,413 | 2,486,041 | $29,174,655 |
| Reinvested | 163,188 | 1,886,452 | 62,395 | 725,869 |
| Repurchased | (644,835) | (7,600,316) | (1,017,739) | (11,922,975) |
| Total | 1,146,680 | $13,475,549 | 1,530,697 | $17,977,549 |
83
Notes to Financial Statements (unaudited)
5. CAPITAL STOCK TRANSACTIONS (continued)
Transactions in Class A Shares:
| | For the Six Months | For the Year |
| | Ended 4/30/06 | Ended 10/31/05 |
| | | | | |
| | Shares | Amount | Shares | Amount |
| | | | | |
Pro-Blend® Moderate Term Series: | | | | |
| Sold | 6,463,867 | $81,701,089 | 9,434,594 | $116,071,318 |
| Reinvested | 893,692 | 10,929,853 | 237,797 | 2,888,656 |
| Repurchased | (1,784,260) | (22,412,888) | (2,803,293) | (34,666,397) |
| Total | 5,573,299 | $70,218,054 | 6,869,098 | $84,293,577 |
| | | | | |
| | | | | |
Pro-Blend® Extended Term Series: | | | | |
| Sold | 3,866,887 | $60,653,619 | 6,716,503 | $102,280,390 |
| Reinvested | 1,597,644 | 24,092,474 | 612,734 | 9,149,153 |
| Repurchased | (2,115,244) | (33,210,376) | (3,290,122) | (50,114,190) |
| Total | 3,349,287 | $51,535,717 | 4,039,115 | $61,315,353 |
| | | | | |
| | | | | |
Pro-Blend® Maximum Term Series: | | | | |
| Sold | 3,138,678 | $52,218,561 | 4,007,333 | $64,636,511 |
| Reinvested | 967,795 | 15,281,475 | 235,083 | 3,705,502 |
| Repurchased | (1,569,406) | (25,900,389) | (1,912,268) | (30,843,925) |
| Total | 2,537,067 | $41,599,647 | 2,330,148 | $37,498,088 |
The Advisor owned 28,783 shares of Pro-Blend® Conservative Term Series (0.6% of shares outstanding) valued at $341,366 and 24,206 shares of Pro-Blend® Maximum Term Series (0.2% of shares outstanding) valued at $416,827 on April 30, 2006.
6. FINANCIAL INSTRUMENTS
The Series may trade in financial instruments with off-balance sheet risk in the normal course of their investing activities to assist in managing exposure to various market risks. These financial instruments include written options, forward foreign currency exchange contracts and futures contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. No such investments were held by the Series on April 30, 2006.
7. FOREIGN SECURITIES
Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in securities of domestic companies and the United States Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of comparable domestic companies and the United States Government.
84
Notes to Financial Statements (unaudited)
8. FEDERAL INCOME TAX INFORMATION
The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. Each Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series' net asset value. Any such reclassifications are not reflected in the financial highlights.
The final determination of the tax character of current year distributions will be made at the conclusion of the fiscal year. The tax character of distributions paid for the year ended October 31, 2005 were as follows:
| | Pro-Blend® | Pro-Blend® | Pro-Blend® | Pro-Blend® |
| | Conservative | Moderate | Extended | Maximum |
| | Term Series | Term Series | Term Series | Term Series |
| | | | | |
| Ordinary income | $555,021 | $1,601,784 | $3,536,372 | $489,376 |
| Long-term capital gains | 173,416 | 1,298,802 | 5,666,621 | 3,219,673 |
At April 30, 2006, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:
| | Pro-Blend® | Pro-Blend® | Pro-Blend® | Pro-Blend® |
| | Conservative | Moderate | Extended | Maximum |
| | Term Series | Term Series | Term Series | Term Series |
| | | | | |
| Cost for federal income tax purposes | $58,533,100 | $257,514,691 | $403,997,245 | $211,819,119 |
| | | | | |
| Unrealized appreciation | $2,562,172 | $18,707,949 | $54,439,826 | $30,703,834 |
| Unrealized depreciation | (925,799) | (3,333,447) | (5,279,785) | (3,140,237) |
| | | | | |
| Net unrealized appreciation | $1,636,373 | $15,374,502 | $49,160,041 | $27,563,597 |
9. SUBSEQUENT EVENT
On May 15, 2006, the Fund’s Board approved a change in the name of the Fund from Exeter Fund, Inc. to Manning & Napier Fund, Inc. The name change will become effective when filed with the Securities and Exchange Commission in the next few months.
85
Renewal of Investment Advisory Agreement (unaudited)
At the Exeter Fund, Inc. (the “Fund”) Board of Directors’ (the “Board”) annual in-person meeting, held on November 17, 2005, the Investment Advisory Agreement (the “Agreement”) between the Fund and Manning & Napier Advisors, Inc. (the “Advisor”) was reviewed by the Board for renewal. In connection with the decision whether to renew the Agreement, a variety of material was prepared for and reviewed by the Board. In addition, at the meeting of the Board, representatives of the Advisor presented additional oral and written information to help the Board evaluate the Advisor’s performance under the Agreement over the previous year. The Board then deliberated on the renewal of the Agreement in light of the various material provided prior to and at the meeting.
In connection with its review and deliberations, the Board considered the following factors and reached a conclusion with respect to such factors.
| · | The Board considered the services provided by the Advisor under the Agreement including, among others: deciding what securities to purchase and sell for each Series; arranging for the purchase and sale of such securities by placing orders with broker-dealers; administering the affairs of the Fund (including the books and records of the Fund not maintained by third party service providers such as the custodian or sub-transfer agent); arranging for the insurance coverage for the Fund; and supervising the preparation of tax returns, SEC filings (including registration statements) and reports to shareholders for the Fund. The Board discussed the quality of these services with representatives from the Advisor and concluded that the Advisor was performing its services to the Fund required under the Agreement in a reasonable manner. |
| · | The Board considered the investment performance of the various Series of the Fund. The investment performance for each Series was reviewed on a cumulative basis since inception and on a one year basis. In addition, annualized peformance for the following time periods was considered: inception, three year, five year, ten year, and current market cycle. A market cycle includes periods of both rising and falling markets. Returns for established benchmark indices for each Series were provided for each time period. In addition, the Board considered at the meeting (and considers on a quarterly basis) a peer group performance analysis consisting of Morningstar universes of mutual funds with similar investment objectives. The Board discussed the performance with representatives from the Advisor and concluded that the investment performance of each of the Fund’s Series was reasonable based on the Fund’s actual performance and comparative performance, especially performance over the current market cycle. |
| · | The Board considered the costs of the Advisor’s services and the profits of the Advisor as they relate to the Advisor’s services to the Fund under the Agreement. In reviewing the Advisor’s costs and profits, the Board discussed the Advisor’s revenues generated from the Fund (on both an actual and adjusted basis) and its expenses associated with providing the services under the Agreement. In addition, the Board reviewed the Advisor’s expenses associated with Fund activities outside of the Agreement (such as expense reimbursements pursuant to expense caps and payments made by the Advisor to third party platforms on which shares of the Fund are available for purchase). It was noted by representatives of the Advisor that 11 of the 18 active Series of the Fund are currently experiencing expenses above the capped expense ratios. After discussing the above costs and profits, the Board concluded that the Advisor’s profitability relating to its services provided under the Agreement is reasonable. |
| · | The Board considered the fees and expenses of the various Series of the Fund. The Advisor presented the advisory fees and total expenses for each Series, including the advisory fee adjusted for any expense waivers or reimbursements (either contractually or voluntarily) paid by the Advisor. The advisory fees and expense ratios of each Series were compared to an average (on both a mean and median basis) of similar funds as disclosed on the Morningstar database. Representatives of the Advisor discussed with the Board the levels of its advisory fee for each |
86
Renewal of Investment Advisory Agreement (unaudited)
Series of the Fund and as compared to the median and mean advisory fees for similar funds as listed on Morningstar. Expense ratios for every Series are currently below the median and mean for similar funds as listed on Morningstar. Based on their review of the information provided, the Board concluded that the fees and expenses of each Series of the Fund were reasonable on a comparative basis.
| · | The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include certain research products provided by soft dollars. Given the level of soft dollar transactions involving the Fund, the Board concluded that these additional benefits to the Advisor were reasonable. |
| · | In addition to the factors described above, the Board considered the Advisor’s personnel, the Advisor’s investment strategies, the Advisor’s policies and procedures relating to compliance with personal securities transactions, and the Advisor’s reputation, expertise and resources in domestic and foreign financial markets. The Board concluded that these factors support the conclusion that the Advisor performs its services in a reasonable manner. |
| · | The Board did not consider economies of scale at this time because of the multiple uses of the Fund (for the Advisor’s discretionary investment account clients in addition to direct investors), the current profitability of the Advisor’s services to the Fund under the Agreement, and the overall size of the Fund complex. |
Based on the Board’s conclusions regarding the factors described above, the Board, including a majority of Directors that are “not interested” as defined in the Investment Company Act of 1940, approved the renewal of the Agreement for another year. In the course of their deliberations, the Directors did not identify any particular information that was all important or controlling.
87
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89
Literature Requests (unaudited)
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:
By phone 1-800-466-3863
On the Securities and Exchange
Commission’s (SEC) web site http://www.sec.gov
Proxy Voting Record
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available, without charge, upon request:
By phone 1-800-466-3863
On the SEC’s web site http://www.sec.gov
Quarterly Portfolio Holdings
The Series’ complete schedule of portfolio holdings for the 1st and 3rd quarters of each fiscal year are provided on Form N-Q, and are available, without charge, upon request:
By phone 1-800-466-3863
On the SEC’s web site http://www.sec.gov
The Series’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Prospectus and Statement of Additional Information (SAI)
The prospectus and SAI provide additional information about each Series, including charges, expenses and risks. These documents are available, without charge, upon request:
By phone 1-800-466-3863
On the SEC’s web site http://www.sec.gov
On the Advisor’s web site http://www.manningnapieradvisors.com/www/exeter_fund.asp
Additional information available at www.manningnapieradvisors.com/www/exeter_fund.asp
| 1. | Fund Holdings - Month-End |
| 2. | Fund Holdings - Quarter-End |
| 3. | Shareholder Report - Annual |
| 4. | Shareholder Report - Semi-Annual |
90
ITEM 2: CODE OF ETHICS
Not applicable for Semi-Annual Reports.
ITEM 3: AUDIT COMMITTEE FINANCIAL EXPERT
Not applicable for Semi-Annual Reports.
