UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES
Investment Company Act file number 811-5349
Goldman Sachs Trust
(Exact name of registrant as specified in charter)
4900 Sears Tower, Chicago, Illinois 60606-6303
(Address of principal executive offices) (Zip code)
Howard B. Surloff, Esq. | Copies to: | |
Goldman, Sachs & Co. | Jeffrey A. Dalke, Esq. | |
One New York Plaza | Drinker Biddle & Reath LLP | |
New York, New York 10004 | One Logan Square | |
18th and Cherry Streets | ||
Philadelphia, PA 19103 | ||
(Name and address of agents for service) |
Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: AUGUST 31
Date of reporting period: FEBRUARY 29, 2004
ITEM 1. | REPORTS TO STOCKHOLDERS. | |
The Semi-Annual Report to Stockholders is filed herewith. |
Goldman Sachs Funds C O R ESM E Q U I T Y F U N D S Semiannual Report February 29, 2004 Long-term capital growth potential through diversified portfolios of equity investments using CORE, a proprietary quantitative approach to stock selection and portfolio construction. |
Goldman Sachs CORESM Equity Funds GOLDMAN SACHS CORE U.S. EQUITY FUND |
GOLDMAN SACHS CORE LARGE CAP GROWTH FUND GOLDMAN SACHS CORE SMALL CAP EQUITY FUND GOLDMAN SACHS CORE LARGE CAP VALUE FUND GOLDMAN SACHS CORE INTERNATIONAL EQUITY FUND |
G O L D M A N S A C H S C O R E E Q U I T Y F U N D S Domestic CORESM Investment Process GOLDMAN SACHS’ CORE DOMESTIC INVESTMENT PROCESS 1 DISCIPLINED STOCK SELECTION 3 2 CAREFUL PORTFOLIO CONSTRUCTION 3 3 RESULTS 1 D I S C I P L I N E D S T O C K S E L E C T I O N Comprehensive – We calculate expected excess returns for more than 3,000 stocks on a daily basis. Rigorous – We evaluate stocks based on fundamental investment criteria that have outperformed historically. Objective – Our stock selection process is free from the emotion that can lead to biased investment decisions. 2 C A R E F U L P O R T F O L I O C O N S T R U C T I O N Our computer optimization process allocates risk to our best investment ideas and constructs funds that neutralize systematic risks and deliver better returns. We use a unique, proprietary risk model that is more precise, more focused and faster to respond because it identifies , tracks and manages risk specific to our process, using daily data. Fully invested, well-diversified portfolio that: Maintains style, sector, risk and capitalization characteristics similar to the benchmark. Offers broad access to a clearly defined equity universe. Aims to generate excess returns that are positive, consistent and repeatable. |
P O R T F O L I O R E S U LT S CORESM U.S. Equity Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs CORE U.S. Equity Fund during the six-month reporting period that ended February 29, 2004. Performance Review Over the six-month period that ended February 29, 2004, the Fund’s Class A, B, C, Institutional, and Service Shares generated cumulative total returns, without sales charges, of 16.62%, 16.15%, 16.17%, 16.84%, and 16.53%, respectively. These returns compare to the 14.59% cumulative total return of the Fund’s benchmark, the S&P 500 Index (with dividends reinvested). As these absolute and relative returns indicate, the Fund performed well over the six-month reporting period. The CORE process benefited from the more rational market environment as investors returned to higher quality stocks following the speculative rally that characterized the market’s rally during much of 2003. Portfolio Positioning The CORE investment process analyzes each stock based upon its Valuation and Momentum characteristics, Earnings Quality, Profitability, and Management Impact, as well as an Analyst Sentiment (formerly referred to as Fundamental Research) assessment. Over the six-month reporting period, returns to the CORE themes were positive overall. Valuation was the biggest positive contributor to relative returns as inexpensive companies outperformed their more richly valued industry counterparts, followed at a distance by Earnings Quality. Profitability and Management Impact also added value while Analyst Sentiment was flat. On the downside, owning companies with strong Momentum characteristics (and avoidance of those with weak Momentum) hurt relative returns most significantly for the period. Portfolio Highlights Stock selection versus the benchmark was positive overall among sectors, most notably in the Consumer Non-cyclicals and Financials sectors. Among the Fund’s most successful holdings were overweights in R.J. Reynolds Tobacco Holdings, Inc., Motorola, Inc. and Valero Energy Corp. On the other hand, the Fund’s holdings in the Consumer Services sector underperformed relative to their peers in the benchmark the most. Specific examples of stocks that detracted from relative results were overweights in Gilead Sciences, McKesson Corp., and Viacom, Inc. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Quantitative Equity Investment Team New York, March 18, 2004 |
F U N D B A S I C S CORESM U.S. Equity Fund as of February 29, 2004 Assets Under Management $731.7 Million Number of Holdings 141 N A S D A Q S Y M B O L S Class A Shares GSSQX Class B Shares GSSBX Class C Shares GSUSX Institutional Shares GSELX Service Shares GSESX P E R F O R M A N C E R E V I E W Fund Total Return September 1, 2003–February 29, 2004 (based on NAV)1 S&P 500 Index2 Class A 16.62% 14.59% Class B 16.15 14.59 Class C 16.17 14.59 Institutional 16.84 14.59 Service 16.53 14.59 1The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. 2The S&P 500 Index (with dividends reinvested) is the Standard & Poor’s 500 Composite Stock Price Index of 500 stocks, an unmanaged index of common stock prices. The Index does not reflect any deduction for fees, expenses or taxes. S T A N D A R D I Z E D T O T A L R E T U R N S 3 For the period ended 12/31/03 Class A Class B Class C Institutional Service One Year 22.89% 24.08% 28.14% 30.54% 29.93% Five Years - -1.09 -1.12 -0.70 0.43 -0.07 Ten Years 9.66 N/A N/A N/A 10.264 Since Inception 9.42 7.22 3.10 10.43 9.904 (5/24/91) (5/1/96) (8/15/97) (6/15/95) (5/24/91) 3 The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. 4 Performance data for Service Shares prior to June 7, 1996 (commencement of operations) is that of Class A Shares (excluding the impact of front-end sales charges applicable to Class A Shares since Service Shares are not subject to any sales charges). Performance of Class A Shares of the CORE U.S. Equity Fund reflects the expenses applicable to the Fund’s Class A Shares. The fees applicable to Service Shares are different from those applicable to Class A Shares which impact performance ratings and rankings for a class of shares. Total return figures in the above charts represent past performance and do not guarantee future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above charts. Please visit www.gs.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. T O P 1 0 H O L D I N G S A S O F 2 / 2 9 / 0 4 5 Holding % of Net Assets Lin e of Business Pfizer, Inc. 3.2% Drugs Intel Corp. 2.7 Semiconductors General Electric Co. 2.1 Parts & Equipment The Procter & Gamble Co. 2.1 Home Products Bank of America Corp. 2.1 Large Banks Microsoft Corp. 1.8 Computer Software United Parcel Service, Inc. Class B 1.7 Transports Exxon Mobil Corp. 1.6 Energy Resources Wachovia Corp. 1.6 Large Banks 3MCo.1.5Chemicals 5 The top 10 holdings may not be representative of the Fund’s future investments. |
P O R T F O L I O R E S U LT S CORE Large Cap Growth Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs CORE Large Cap Growth Fund during the six-month reporting period that ended February 29, 2004. Performance Review Over the six-month period that ended February 29, 2004, the Fund’s Class A, B, C, Institutional, and Service Shares generated cumulative total returns, without sales charges, of 12.58%, 12.16%, 12.16%, 12.83%, and 12.48%, respectively. These returns compare to the 12.17% cumulative total return of the Fund’s benchmark, the Russell 1000 Growth Index (with dividends reinvested). As these returns indicate, the Fund performed well during the reporting period. The CORE process benefited from the more rational market environment as investors returned to higher quality stocks following the speculative rally that characterized the market’s rally during much of 2003. Portfolio Positioning The CORE investment process analyzes each stock based upon its Valuation and Momentum characteristics, Earnings Quality, Profitability, and Management Impact, as well as an Analyst Sentiment (formerly referred to as Fundamental Research) assessment. Over the six-month reporting period, returns to the CORE themes were positive overall. Valuation was the biggest positive contributor to relative returns as inexpensive companies outperformed their more richly valued industry counterparts, followed at a distance by Earnings Quality. Profitability, Management Impact, and Analyst Sentiment also added value, albeit less significantly. On the downside, owning companies with strong Momentum characteristics (and avoidance of those with weak Momentum) hurt relative returns most significantly for the period. Portfolio Highlights During the period, the Fund’s stock selection was positive in eight of the 13 sectors in the Index. The Fund’s Consumer Non-Cyclicals and Financials holdings outperformed their peers in the benchmark the most. Among the Fund’s best relative performers were overweights in AmeriCredit Corp., Zimmer Holdings, Inc., and Guidant Corp. Although the Fund’s returns were positive in the Consumer Services and Telecommunications sectors, its holdings underperformed their peers in the benchmark for the period. Examples of holdings that detracted most from relative performance were overweights in Gilead Sciences, Inc., AT&T Wireless Services, Inc., and Scientific-Atlanta, the latter of which was subsequently eliminated from the portfolio. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Quantitative Equity Investment Team New York, March 18, 2004 |
F U N D B A S I C S CORESM Large Cap Growth Fund as of February 29, 2004 P E R F O R M A N C E R E V I E W Fund Total Return Russell 1000 September 1, 2003–February 29, 2004 (based on NAV)1 Growth Index2 Class A 12.58% 12.17% Class B 12.16 12.17 Class C 12.16 12.17 Institutional 12.83 12.17 Service 12.48 12.17 1The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. 2The Russell 1000 Growth Index (with dividends reinvested) is an unmanaged market capitalization weighted index of the 1000 largest U.S. companies with higher price-to-book ratios and higher forecasted growth values. The Index figures do not reflect any deduction for fees, expenses or taxes. S T A N D A R D I Z E D T O T A L R E T U R N S 3 For the period ended 12/31/03 Class A Class B Class C Institutional Service One Year 23.47% 24.72% 28.72% 31.14% 30.58% Five Years - -5.64 -5.65 -5.26 -4.16 -4.65 Ten Years 9.544 N/A N/A 10.414 10.044 Since Inception 9.834 2.71 0.20 10.584 10.284 (11/11/91) (5/1/97) (8/15/97) (11/11/91) (11/11/91) 3 The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. 4 Performance data for Institutional and Service Shares prior to May 1, 1997 (commencement of operations) is that of Class A Shares. Class A Share performance for such period is that of a predecessor separate account (which converted into Class A Shares) adjusted to reflect the higher fees and expenses applicable to the Fund’s Class A Shares. Although the predecessor separate account was managed by Goldman Sachs Asset Management in a manner and pursuant to investment objectives in all material respects equivalent to management and investment objectives of the CORE Large Cap Growth Fund, the separate account was not registered under the Investment Company Act of 1940 (the “Act”) and was not subject to certain investment restrictions imposed by the Act. If it had registered under the Act, performance might have been adversely affected. The fees applicable to Institutional and Service Shares are different from those applicable to Class A Shares, which impacts performance ratings and rankings for a class of shares. Total return figures in the above charts represent past performance and do not guarantee future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above charts. Please visit www.gs.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. T O P 1 0 H O L D I N G S A S O F 2 / 2 9 / 0 4 5 Holding % of Net Assets Line of Business Pfizer, Inc. 6.7% Drugs General Electric Co. 4.8 Parts & Equipment Intel Corp. 4.6 Semiconductors Johnson & Johnson 4.0 Drugs Microsoft Corp. 3.2 Computer Software The Procter & Gamble Co. 2.8 Home Products United Parcel Service, Inc. Class B 2.2 Transports Cisco Systems, Inc. 2.0 Computer Hardware Guidant Corp. 2.0 Medical Products Amgen, Inc. 1.9 Biotechnology 5 The top 10 holdings may not be representative of the Fund’s future investments. |
P O R T F O L I O R E S U LT S CORE Small Cap Equity Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs Small Cap Equity Fund during the six-month reporting period that ended February 29, 2004. Performance Review Over the six-month period that ended February 29, 2004, the Fund’s Class A, B, C, Institutional, and Service Shares generated cumulative total returns, without sales charges, of 19.35%, 18.96, 18.99%, 19.67%, and 19.34%, respectively. These returns compare to the 18.34% cumulative total return of the Fund’s benchmark, the Russell 2000 Index (with dividends reinvested). As these returns indicate, the Fund performed well during the reporting period. The CORE process benefited from the more rational market environment as investors returned to higher quality stocks following the speculative rally that characterized the market’s ascent during much of 2003. Portfolio Positioning The CORE investment process analyzes each stock based upon its Valuation and Momentum characteristics, Earnings Quality, Profitability, and Management Impact, as well as an Analyst Sentiment (formerly referred to as Fundamental Research) assessment. Over the six-month reporting period, returns to the CORE themes were positive overall. Valuation was the biggest positive contributor to relative returns as inexpensive companies outperformed their more richly valued industry counterparts, followed at a distance by Earnings Quality and Profitability. Management Impact also added value, albeit less significantly. Meanwhile, Momentum and Analyst Sentiment were essentially flat for the period. Portfolio Highlights Stock selection was positive in nine of the 13 sectors in the Index, most notably in the Financials and Energy sectors. Among the Fund’s most successful holdings were overweights in Tesoro Petroleum Corp., Veritas DGC, Inc., and Silicon Valley Bancshares. The Fund’s worst relative performers were stocks in the Technology and Consumer Cyclicals sectors. Examples of stocks that detracted the most from relative results were overweights in United Stationers, Inc., LandAmerica Group, Inc., and United Online, the latter of which was subsequently eliminated from the portfolio. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Quantitative Equity Investment Team New York, March 18, 2004 |
F U N D B A S I C S CORESM Small Cap Equity Fund as of February 29, 2004 Assets Under Management $304.9 Million Number of Holdings 340 N A S D A Q S Y M B O L S Class A Shares GCSAX Class B Shares GCSBX Class C Shares GCSCX Institutional Shares GCSIX Service Shares GCSSX P E R F O R M A N C E R E V I E W Fund Total Return September 1, 2003–February 29, 2004 (based on NAV)1 Russell 2000 Index2 Class A 19.35% 18.34% Class B 18.96 18.34 Class C 18.99 18.34 Institutional 19.67 18.34 Service 19.34 18.34 1The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charge. 2The Russell 2000 Index (with dividends reinvested) is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000 Index. The Index figures do not reflect any deduction for fees, expenses or taxes. S T A N D A R D I Z E D T O T A L R E T U R N S 3 For the period ended 12/31/03 Class A Class B Class C Institutional Service One Year 37.81% 39.30% 43.55% 46.20% 45.46% Five Years 7.28 7.35 7.73 8.95 8.41 Since Inception 5.92 6.09 6.12 7.28 6.77 (8/15/97) 3 The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above charts represent past performance and do not guarantee future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above charts. Please visit www.gs.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. T O P 1 0 H O L D I N G S A S O F 2 / 2 9 / 0 4 4 Holding % of Net Assets Line of Business Silicon Valley Bancshares 1.5% Regionals United Stationers, Inc. 1.4 Paper & Packaging Tesoro Petroleum Corp. 1.3 Oil Refining LandAmerica Financial Group, Inc. 1.3 Property Insurance Sohu.com, Inc. 1.2 Internet Kos Pharmaceuticals, Inc. 1.2 Biotechnology eResearch Technology, Inc. 1.1 Computer Software Arbitron, Inc. 1.1 Information Services Cypress Semiconductor Corp. 1.1 Semiconductors HRPT Properties Trust 1.0 REITs 4 The top 10 holdings may not be representative of the Fund’s future investments. |
P O R T F O L I O R E S U LT S CORE Large Cap Value Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs Large Cap Value Fund during the six-month reporting period that ended February 29, 2004. Performance Review Over the six-month period that ended February 29, 2004, the Fund’s Class A, B, C, Institutional, and Service Shares generated cumulative total returns, without sales charges, of 18.44%, 18.04%, 18.01%, 18.69%, and 18.46%, respectively. These returns compare to the 17.53% cumulative total return of the Fund’s benchmark, the Russell 1000 Value Index (with dividends reinvested). As these returns indicate, the Fund performed well during the reporting period. The CORE process benefited from the more rational market environment as investors returned to higher quality stocks following the speculative rally that characterized the market’s rally during much of 2003. Portfolio Positioning The CORE investment process analyzes each stock based upon its Valuation and Momentum characteristics, Earnings Quality, Profitability and Management Impact, as well as an Analyst Sentiment (formerly referred to as Fundamental Research) assessment. Over the six-month reporting period, returns to the CORE themes were positive overall. Valuation was the biggest positive contributor to relative returns as inexpensive companies outperformed their more richly valued industry counterparts, followed at a distance by Earnings Quality and Profitability. Management Impact also added value, while Analyst Sentiment was flat. On the downside, owning companies with strong Momentum characteristics (and avoidance of those with weak Momentum) hurt relative returns most significantly for the period. Portfolio Highlights Stock selection was positive in eight of the 13 sectors in the Index, most notably in the Energy and Consumer Non-Cyclicals sectors. Examples of stocks that contributed most positively to relative performance were overweights in R.J. Reynolds Tobacco Holdings, Inc., Transocean Sedco Forex, and Valero Energy Corp. The Fund’s holdings in the Consumer Services and Technology sectors generated positive absolute returns, but underperformed those in the benchmark. Among the Fund’s least successful holdings were overweights in Viacom, Inc., Adobe Systems, and AutoNation, Inc. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Quantitative Equity Investment Team New York, March 18, 2004 |
F U N D B A S I C S CORESM Large Cap Value Fund as of February 29, 2004 Assets Under Management $321.2 Million Number of Holdings 121 N A S D A Q S Y M B O L S Class A Shares GCVAX Class B Shares GCVBX Class C Shares GCVCX Institutional Shares GCVIX Service Shares GCLSX P E R F O R M A N C E R E V I E W Fund Total Return Russell 1000 September 1, 2003–February 29, 2004 (based on NAV)1 Value Index2 Class A 18.44% 17.53% Class B 18.04 17.53 Class C 18.01 17.53 Institutional 18.69 17.53 Service 18.46 17.53 1The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. 2The Russell 1000 Value Index (inception date 1/1/99) is an unmanaged market capitalization weighted index of the 1,000 largest U.S. companies with lower price-to-book ratios and lower forecasted growth values. The Index figures do not reflect any deduction for fees, expenses or taxes. S T A N D A R D I Z E D T O T A L R E T U R N S 3 For the period ended 12/31/03 Class A Class B Class C Institutional Service One Year 21.34% 22.57% 26.42% 29.01% 28.40% Five Years 1.31 1.28 1.69 2.84 2.36 Since Inception 1.31 1.48 1.69 2.84 2.36 (12/31/98) 3The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above charts represent past performance and do not guarantee future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above charts. Please visit www.gs.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. T O P 1 0 H O L D I N G S A S O F 2 / 2 9 / 0 4 4 Holding % of Net Assets Line of Business J.P. Morgan Chase & Co. 3.3% Large Banks Exxon Mobil Corp. 3.3 Energy Resources Citigroup, Inc. 2.8 Large Banks BellSouth Corp. 2.6 Telephone Bank of America Corp. 2.6 Large Banks Wachovia Corp. 2.5 Large Banks Prudential Financial, Inc. 2.2 Life Insurance General Motors Corp. 2.2 Motor Vehicles Sprint Corp. 2.0 Telephone Monsanto Co. 2.0 Chemicals 4The top 10 holdings may not be representative of the Fund’s future investments. |
G O L D M A N S A C H S C O R E E Q U I T Y F U N D S International CORESM Investment Process GOLDMAN SACHS’ CORE INTERNATIONAL INVESTMENT PROCESS 1 DISCIPLINED GLOBAL STOCK SELECTION (Bottom-up) 3 2 DISCIPLINED GLOBAL COUNTRY/CURRENCY SELECTION (Top-down) 3 3 CAREFUL PORTFOLIO CONSTRUCTION 3 4 RESULTS 1 D I S C I P L I N E D G LO B A L S TO C K S E L E C T I O N ( B o t t o m — u p ) Comprehensive – We calculate expected excess returns for more than 3,500 stocks on a daily basis. Rigorous – We evaluate stocks based on fundamental investment criteria that have outperformed historically. Objective – Our stock selection process is free from emotion that can lead to biased investment decisions. 2 D I S C I P L I N E D G LO B A L CO U N T RY / C U R R E N C Y S E L E C T I O N ( To p — d o w n ) We actively manage exposures to global equity markets and currencies while seeking to maximize the return potential of our investment criteria. 3 C A R E F U L P O R T F O L I O CO N S T R U C T I O N We use unique, proprietary risk models for stock, country and currency selection that are more precise, more focused and faster to respond to the changing market environment. 4 R E S U LT S Fully invested, well-diversified International portfolio that: Blends top-down market views with bottom-up stock selection. Maintains style, sector, risk and capitalization characteristics similar to the benchmark. Aims to achieve excess returns by taking intentional country and currency bets and many small diversified stock positions. |
P O R T F O L I O R E S U LT S CORE International Equity Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs International Equity Fund during the six- month reporting period that ended February 29, 2004. Performance Review Over the six-month period that ended February 29, 2004, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 24.72%, 24.44%, 24.41%, 25.19%, and 24.82%, respectively. These returns compare to the 25.30% cumulative total return of the Fund’s benchmark, the Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index (unhedged, with dividends reinvested). The Fund generated strong returns on an absolute basis as investors gained confidence in the global equity markets. However, the Fund underperformed its benchmark on a relative basis due largely to its country positioning. While stock selection within countries was successful, it was not enough to offset our country allocations. Regional Allocations In general, the Fund’s country weightings detracted from relative performance, with an overweight position in Japan and an underweight position in the UK the most unsuccessful for the period. On the upside, overweights in Belgium and Germany were the biggest positive contributors to relative performance, but did little to offset losses felt elsewhere. Sector Allocations Our strategy remained sector-neutral within countries so that when sector under- or overweights occurred within the Fund they were the result of our country allocation decisions. However, during the period, the Fund’s holdings in the Finance sector experienced positive results relative to the benchmark. Meanwhile, the Fund’s weakest sector compared to its benchmark was Capital Equipment. Stock Selection Overall, stock selection within countries contributed positively to performance relative to the benchmark, particularly in Japan. Meanwhile, stock selection versus the benchmark was the least successful in Sweden. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Quantitative Equity Investment Team New York, March 18, 2004 |
F U N D B A S I C S CORESM International Equity Fund as of February 29, 2004 Assets Under Management $379.9 Million Number of Holdings 295 N A S D A Q S Y M B O L S Class A Shares GCIAX Class B Shares GCIBX Class C Shares GCICX Institutional Shares GCIIX Service Shares GCISX P E R F O R M A N C E R E V I E W Fund Total Return September 1, 2003–February 29, 2004 (based on NAV)1 MSCI EAFE Index2 Class A 24.72% 25.30% Class B 24.44 25.30 Class C 24.41 25.30 Institutional 25.19 25.30 Service 24.82 25.30 1The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. 2The unmanaged Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index (unhedged, with dividends reinvested) is a market capitalization weighted composite of securities in 21 developed markets. The Index figures do not reflect any deduction for fees, expenses or taxes. S T A N D A R D I Z E D T O T A L R E T U R N S 3 For the period ended 12/31/03 Class A Class B Class C Institutional Service One Year 29.57% 31.26% 35.39% 37.97% 37.29% Five Years - -0.75 -0.51 -0.11 1.05 0.54 Since Inception -0.61 -0.20 - -0.18 0.94 0.45 (8/15/97) 3The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above charts represent past performance and do not guarantee future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above charts. Please visit www.gs.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. T O P 1 0 H O L D I N G S A S O F 2 / 2 9 / 0 4 4 Holding % of Net Assets Line of Business Barclays PLC 2.8% Banking Siemens AG 2.4 Multi-Industry RWE AG 2.2 Utilities–Electrical & Gas BP PLC 2.2 Energy Sources Deutsche Telekom AG 2.1 Telecommunications Toyota Motor Corp. 2.0 Automobiles Hitachi Ltd. 1.8 Electronic Components & Instruments Mizuho Financial Group, Inc. 1.7 Banking Renault SA 1.7 Automobiles Nippon Telephone & Telegraph Corp. 1.7 Telecommunications 4The top 10 holdings may not be representative of the Fund’s future investments. |
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 99.5% | ||||||||||
Biotechnology – 2.5% | ||||||||||
71,532 | Amgen, Inc.* | $ | 4,544,428 | |||||||
67,510 | Genentech, Inc.*@ | 7,283,654 | ||||||||
115,900 | Gilead Sciences, Inc.* | 6,282,939 | ||||||||
18,111,021 | ||||||||||
Brokers – 1.5% | ||||||||||
132,430 | Merrill Lynch & Co., Inc. | 8,106,040 | ||||||||
35,610 | The Bear Stearns Companies, Inc. | 3,127,983 | ||||||||
11,234,023 | ||||||||||
Chemicals – 2.7% | ||||||||||
139,700 | 3M Co. | 10,899,394 | ||||||||
238,300 | Monsanto Co. | 7,873,432 | ||||||||
13,500 | The Valspar Corp. | 673,245 | ||||||||
19,446,071 | ||||||||||
Computer Hardware – 3.5% | ||||||||||
158,900 | Agilent Technologies, Inc.* | 5,432,791 | ||||||||
209,020 | Cisco Systems, Inc.* | 4,828,362 | ||||||||
173,150 | Dell, Inc.* | 5,653,347 | ||||||||
351,300 | EMC Corp.* | 5,030,616 | ||||||||
10,700 | Lexmark International, Inc.* | 880,503 | ||||||||
81,000 | SanDisk Corp.* | 2,054,160 | ||||||||
109,950 | Sanmina-SCI Corp.* | 1,395,266 | ||||||||
25,275,045 | ||||||||||
Computer Software – 5.3% | ||||||||||
135,400 | Adobe Systems, Inc. | 5,042,296 | ||||||||
179,400 | BMC Software, Inc.* | 3,516,240 | ||||||||
98,900 | Cadence Design Systems, Inc.* | 1,526,027 | ||||||||
101,800 | Citrix Systems, Inc.* | 2,156,124 | ||||||||
210,500 | Computer Associates International, Inc. | 5,590,880 | ||||||||
45,030 | International Business Machines Corp. | 4,345,395 | ||||||||
482,340 | Microsoft Corp. | 12,782,010 | ||||||||
94,100 | Symantec Corp.* | 3,871,274 | ||||||||
38,830,246 | ||||||||||
Defense & Aerospace – 0.1% | ||||||||||
16,600 | The Boeing Co. | 719,942 | ||||||||
10 | United Technologies Corp. | 921 | ||||||||
720,863 | ||||||||||
Drugs – 6.8% | ||||||||||
37,800 | Allergan, Inc. | 3,309,012 | ||||||||
52,200 | American Pharmaceutical Partners, Inc.*@ | 1,863,540 | ||||||||
80,210 | Eli Lilly & Co. | 5,930,727 | ||||||||
166,250 | Johnson & Johnson | 8,962,538 | ||||||||
160,310 | McKesson Corp. | 4,378,066 | ||||||||
15,100 | Merck & Co., Inc. | 726,008 | ||||||||
28,650 | Mylan Laboratories, Inc. | 673,275 | ||||||||
645,700 | Pfizer, Inc. | 23,664,905 | ||||||||
49,508,071 | ||||||||||
Electrical Utilities – 2.9% | ||||||||||
278,410 | Edison International | 6,428,487 | ||||||||
109,400 | Entergy Corp. | 6,486,326 | ||||||||
128,000 | Exelon Corp. | 8,593,920 | ||||||||
21,508,733 | ||||||||||
Energy Resources – 4.0% | ||||||||||
113,021 | ConocoPhillips | 7,783,756 | ||||||||
116,600 | Devon Energy Corp. | 6,620,548 | ||||||||
276,716 | Exxon Mobil Corp. | 11,669,114 | ||||||||
68,300 | Occidental Petroleum Corp. | 3,032,520 | ||||||||
29,105,938 | ||||||||||
Environmental & Other Services – 1.1% | ||||||||||
283,810 | Waste Management, Inc. | 8,088,585 | ||||||||
Food & Beverages – 4.5% | ||||||||||
466,551 | Archer-Daniels-Midland Co. | 8,024,677 | ||||||||
189,510 | Kraft Foods, Inc. | 6,403,543 | ||||||||
36,430 | SUPERVALU, INC. | 1,030,969 | ||||||||
229,140 | SYSCO Corp. | 9,085,401 | ||||||||
30,430 | The Coca-Cola Co. | 1,520,283 | ||||||||
434,400 | Tyson Foods, Inc. | 6,898,272 | ||||||||
32,963,145 | ||||||||||
Health Insurance – 0.3% | ||||||||||
22,900 | Health Net, Inc.* | 632,040 | ||||||||
58,700 | Humana, Inc.* | 1,286,704 | ||||||||
1,918,744 | ||||||||||
Home Products – 3.7% | ||||||||||
92,100 | Avon Products, Inc. | 6,502,260 | ||||||||
137,140 | The Gillette Co. | 5,278,519 | ||||||||
148,830 | The Procter & Gamble Co. | 15,256,563 | ||||||||
27,037,342 | ||||||||||
Hotel & Leisure – 1.1% | ||||||||||
77,200 | Caesars Entertainment, Inc.* | 949,560 | ||||||||
142,610 | Cendant Corp. | 3,237,247 | ||||||||
33,600 | GTECH Holdings Corp. | 1,973,328 | ||||||||
17,000 | Harman International Industries, Inc. | 1,325,830 | ||||||||
35,000 | Hasbro, Inc. | 765,450 | ||||||||
8,251,415 | ||||||||||
Information Services – 2.4% | ||||||||||
314,000 | Accenture Ltd.* | 7,253,400 | ||||||||
37,700 | Convergys Corp.* | 613,002 | ||||||||
75,700 | IMS Health, Inc. | 1,875,846 | ||||||||
119,900 | Moody’s Corp. | 8,016,514 | ||||||||
17,758,762 | ||||||||||
Internet – 0.2% | ||||||||||
25,500 | eBay, Inc.* | 1,755,930 | ||||||||
Large Banks – 8.9% | ||||||||||
185,592 | Bank of America Corp. | 15,203,697 | ||||||||
207,370 | Citigroup, Inc. | 10,422,416 |
13
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Large Banks – (continued) | ||||||||||
255,440 | J.P. Morgan Chase & Co. | $ | 10,478,149 | |||||||
369,000 | U.S. Bancorp | 10,527,570 | ||||||||
242,040 | Wachovia Corp. | 11,610,659 | ||||||||
119,930 | Wells Fargo & Co. | 6,877,985 | ||||||||
65,120,476 | ||||||||||
Life Insurance – 3.5% | ||||||||||
216,200 | MetLife, Inc. | 7,599,430 | ||||||||
20,410 | Nationwide Financial Services, Inc. | 776,396 | ||||||||
222,600 | Principal Financial, Inc. | 8,058,120 | ||||||||
192,910 | Prudential Financial, Inc. | 8,949,095 | ||||||||
25,383,041 | ||||||||||
Media – 4.9% | ||||||||||
152,737 | Comcast Corp.* | 4,588,219 | ||||||||
243,400 | Fox Entertainment Group, Inc.* | 7,063,468 | ||||||||
137,786 | Hughes Electronics Corp* | 2,389,209 | ||||||||
141,260 | The Walt Disney Co. | 3,747,628 | ||||||||
375,390 | Time Warner, Inc.* | 6,475,478 | ||||||||
77,600 | UnitedGlobalCom, Inc.*@ | 736,424 | ||||||||
280,346 | Viacom, Inc. Class B | 10,782,107 | ||||||||
35,782,533 | ||||||||||
Medical Products – 3.7% | ||||||||||
186,100 | Boston Scientific Corp.* | 7,602,185 | ||||||||
127,700 | Guidant Corp. | 8,701,478 | ||||||||
34,200 | St. Jude Medical, Inc.* | 2,484,630 | ||||||||
109,800 | Zimmer Holdings, Inc.* | 8,305,272 | ||||||||
27,093,565 | ||||||||||
Medical Providers – 0.6% | ||||||||||
17,973 | Medco Health Solutions, Inc.* | 586,998 | ||||||||
66,500 | UnitedHealth Group, Inc. | 4,123,000 | ||||||||
4,709,998 | ||||||||||
Mining – 0.2% | ||||||||||
29,900 | Freeport-McMoRan Copper & Gold, Inc. | 1,275,235 | ||||||||
10 | Newmont Mining Corp. | 435 | ||||||||
1,275,670 | ||||||||||
Motor Vehicles – 2.9% | ||||||||||
193,230 | AutoNation, Inc.* | 3,223,077 | ||||||||
62,500 | Delphi Corp. | 637,500 | ||||||||
620,300 | Ford Motor Co. | 8,529,125 | ||||||||
186,310 | General Motors Corp.@ | 8,965,237 | ||||||||
21,354,939 | ||||||||||
Oil Refining – 1.9% | ||||||||||
109,400 | Sunoco, Inc. | 6,728,100 | ||||||||
123,000 | Valero Energy Corp. | 7,380,000 | ||||||||
14,108,100 | ||||||||||
Parts & Equipment – 3.2% | ||||||||||
213,300 | Avaya, Inc.* | 3,658,095 | ||||||||
470,320 | General Electric Co. | 15,294,806 | ||||||||
159,700 | Tyco International Ltd. | 4,562,629 | ||||||||
23,515,530 | ||||||||||
Property Insurance – 3.3% | ||||||||||
24,500 | American Financial Group, Inc. | 736,960 | ||||||||
78,429 | American International Group, Inc. | 5,803,746 | ||||||||
111,568 | Fidelity National Financial, Inc. | 4,363,405 | ||||||||
134,510 | Loews Corp. | 8,109,608 | ||||||||
59,100 | MBIA, Inc. | 3,888,189 | ||||||||
65,169 | Travelers Property Casualty Corp. Class B | 1,188,682 | ||||||||
24,090,590 | ||||||||||
Publishing – 0.2% | ||||||||||
17,100 | Banta Corp. | 758,556 | ||||||||
24,310 | Deluxe Corp. | 957,328 | ||||||||
1,715,884 | ||||||||||
Regionals – 1.1% | ||||||||||
15,780 | Associated Banc-Corp. | 700,474 | ||||||||
26,400 | Bank of Hawaii Corp. | 1,204,896 | ||||||||
82,010 | SunTrust Banks, Inc. | 5,930,143 | ||||||||
7,835,513 | ||||||||||
REIT – 0.3% | ||||||||||
81,710 | Equity Office Properties Trust | 2,332,003 | ||||||||
Retail Apparel – 5.9% | ||||||||||
100,310 | Best Buy Co., Inc. | 5,341,507 | ||||||||
183,000 | Coach, Inc.* | 7,252,290 | ||||||||
53,400 | CVS Corp. | 2,002,500 | ||||||||
152,000 | Federated Department Stores, Inc. | 7,960,240 | ||||||||
58,000 | Sears, Roebuck & Co. | 2,726,580 | ||||||||
287,340 | Staples, Inc. | 7,534,055 | ||||||||
171,260 | Wal-Mart Stores, Inc. | 10,200,246 | ||||||||
43,017,418 | ||||||||||
Semiconductors – 4.4% | ||||||||||
78,510 | Arrow Electronics, Inc.* | 1,931,346 | ||||||||
254,730 | Avnet, Inc.* | 5,998,891 | ||||||||
69,600 | Cypress Semiconductor Corp.* | 1,501,968 | ||||||||
686,800 | Intel Corp. | 20,075,164 | ||||||||
25,200 | Maxim Integrated Products, Inc. | 1,257,732 | ||||||||
42,000 | National Semiconductor Corp.* | 1,653,120 | ||||||||
32,418,221 | ||||||||||
Specialty Financials – 2.5% | ||||||||||
56,200 | AmeriCredit Corp.*@ | 1,068,924 | ||||||||
43,300 | Ameritrade Holding Corp.* | 704,924 | ||||||||
180,700 | CIT Group, Inc. | 7,132,229 | ||||||||
348,920 | MBNA Corp. | 9,535,984 | ||||||||
18,442,061 | ||||||||||
14
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Telecommunications Equipment – 2.4% | ||||||||||
561,150 | Motorola, Inc. | $ | 10,353,218 | |||||||
110,300 | QUALCOMM, Inc. | 6,998,535 | ||||||||
17,351,753 | ||||||||||
Telephone – 3.4% | ||||||||||
370,330 | BellSouth Corp. | 10,206,295 | ||||||||
26,500 | CenturyTel, Inc. | 757,105 | ||||||||
468,230 | Sprint Corp. | 8,301,718 | ||||||||
144,258 | Verizon Communications, Inc. | 5,529,409 | ||||||||
24,794,527 | ||||||||||
Tobacco – 1.1% | ||||||||||
13,300 | Altria Group, Inc. | 765,415 | ||||||||
23,700 | Loews Corp. – Carolina Group | 673,791 | ||||||||
96,710 | R.J. Reynolds Tobacco Holdings, Inc.@ | 5,969,908 | ||||||||
20,100 | UST, Inc. | 765,408 | ||||||||
8,174,522 | ||||||||||
Transports – 1.9% | ||||||||||
22,400 | Burlington Northern Santa Fe Corp. | 720,832 | ||||||||
49,500 | Southwest Airlines Co. | 683,595 | ||||||||
179,510 | United Parcel Service, Inc. Class B | 12,678,791 | ||||||||
14,083,218 | ||||||||||
Wireless – 0.6% | ||||||||||
181,100 | AT&T Wireless Services, Inc.* | 2,459,338 | ||||||||
40,110 | United States Cellular Corp.* | 1,658,549 | ||||||||
4,117,887 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $586,848,538) | $ | 728,231,383 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement – 0.1% | ||||||||||||||||
Joint Repurchase Agreement Account II^ | ||||||||||||||||
$ | 600,000 | 1.07 | % | 3/1/2004 | $ | 600,000 | ||||||||||
Maturity Value: $600,053 | ||||||||||||||||
TOTAL REPURCHASE AGREEMENT | ||||||||||||||||
(Cost $600,000) | $ | 600,000 | ||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES | ||||||||||||||||
LENDING COLLATERAL (Cost $587,448,538) | $ | 728,831,383 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 2.5% | ||||||||||
18,377,300 | Boston Global Investment Trust – | $ | 18,377,300 | |||||||
Enhanced Portfolio | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL | ||||||||||
(Cost $18,377,300) | $ | 18,377,300 | ||||||||
TOTAL INVESTMENTS | ||||||||||
(Cost $605,825,838) | $ | 747,208,683 | ||||||||
* | Non-income producing security. | |
^ | Joint repurchase agreement was entered into on February 27, 2004. | |
@ | All or a portion of security is on loan. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
Investment Abbreviations: | ||||||
REIT | — | Real Estate Investment Trust | ||||
15
Shares | Description | Value | ||||||||
Common Stocks – 99.7% | ||||||||||
Biotechnology – 5.0% | ||||||||||
112,504 | Amgen, Inc.* | $ | 7,147,379 | |||||||
58,700 | Genentech, Inc.* | 6,333,143 | ||||||||
90,100 | Gilead Sciences, Inc.* | 4,884,321 | ||||||||
18,364,843 | ||||||||||
Chemicals – 1.4% | ||||||||||
5,200 | 3M Co. | 405,704 | ||||||||
147,000 | Monsanto Co. | 4,856,880 | ||||||||
5,262,584 | ||||||||||
Computer Hardware – 5.0% | ||||||||||
72,300 | Agilent Technologies, Inc.* | 2,471,937 | ||||||||
323,400 | Cisco Systems, Inc.* | 7,470,540 | ||||||||
159,300 | Dell, Inc.* | 5,201,145 | ||||||||
15,100 | Lexmark International, Inc.* | 1,242,579 | ||||||||
61,800 | SanDisk Corp.* | 1,567,248 | ||||||||
28,900 | Sanmina Corp.* | 366,741 | ||||||||
18,320,190 | ||||||||||
Computer Software – 7.3% | ||||||||||
96,900 | Adobe Systems, Inc. | 3,608,556 | ||||||||
71,000 | Autodesk, Inc. | 2,034,150 | ||||||||
170,100 | BMC Software, Inc.* | 3,333,960 | ||||||||
70,700 | Cadence Design Systems, Inc.* | 1,090,901 | ||||||||
55,000 | Computer Associates International, Inc. | 1,460,800 | ||||||||
9,300 | International Business Machines Corp. | 897,450 | ||||||||
441,100 | Microsoft Corp. | 11,689,150 | ||||||||
67,800 | Symantec Corp.* | 2,789,292 | ||||||||
26,904,259 | ||||||||||
Drugs – 13.4% | ||||||||||
48,000 | Allergan, Inc. | 4,201,920 | ||||||||
98,200 | American Pharmaceutical Partners, Inc.*@ | 3,505,740 | ||||||||
5,100 | Eli Lilly & Co. | 377,094 | ||||||||
67,200 | Endo Pharmaceuticals Holdings, Inc.* | 1,630,944 | ||||||||
270,900 | Johnson & Johnson | 14,604,219 | ||||||||
13,000 | McKesson Corp. | 355,030 | ||||||||
676,995 | Pfizer, Inc. | 24,811,867 | ||||||||
49,486,814 | ||||||||||
Energy Resources – 0.1% | ||||||||||
9,800 | Unocal Corp. | 372,400 | ||||||||
Environmental & Other Services – 1.2% | ||||||||||
7,400 | Career Education Corp.* | 369,926 | ||||||||
56,700 | ITT Educational Services, Inc.* | 2,152,899 | ||||||||
70,200 | Waste Management, Inc. | 2,000,700 | ||||||||
4,523,525 | ||||||||||
Food & Beverages – 4.4% | ||||||||||
222,700 | Archer-Daniels-Midland Co. | 3,830,440 | ||||||||
145,900 | SYSCO Corp. | 5,784,935 | ||||||||
33,200 | The Coca-Cola Co. | 1,658,672 | ||||||||
318,200 | Tyson Foods, Inc. | 5,053,016 | ||||||||
16,327,063 | ||||||||||
Health Insurance – 1.0% | ||||||||||
48,500 | Coventry Health Care, Inc.* | 2,113,145 | ||||||||
58,100 | Health Net, Inc.* | 1,603,560 | ||||||||
3,716,705 | ||||||||||
Home Products – 4.8% | ||||||||||
19,500 | Avon Products, Inc. | 1,376,700 | ||||||||
161,200 | The Gillette Co. | 6,204,588 | ||||||||
99,000 | The Procter & Gamble Co. | 10,148,490 | ||||||||
17,729,778 | ||||||||||
Hotel & Leisure – 1.7% | ||||||||||
65,000 | GTECH Holdings Corp. | 3,817,450 | ||||||||
32,800 | Harman International Industries, Inc. | 2,558,072 | ||||||||
6,375,522 | ||||||||||
Information Services – 4.2% | ||||||||||
169,800 | Accenture Ltd.* | 3,922,380 | ||||||||
98,400 | Convergys Corp.* | 1,599,984 | ||||||||
162,900 | IMS Health, Inc. | 4,036,662 | ||||||||
90,601 | Moody’s Corp. | 6,057,583 | ||||||||
15,616,609 | ||||||||||
Internet – 2.2% | ||||||||||
129,300 | Amazon.com, Inc.* | 5,579,295 | ||||||||
33,800 | eBay, Inc.* | 2,327,468 | ||||||||
7,906,763 | ||||||||||
Life Insurance – 1.3% | ||||||||||
9,600 | Nationwide Financial Services, Inc. | 365,184 | ||||||||
65,200 | Principal Financial, Inc. | 2,360,240 | ||||||||
46,000 | Prudential Financial, Inc. | 2,133,940 | ||||||||
4,859,364 | ||||||||||
Media – 4.0% | ||||||||||
60,800 | Comcast Corp.* | 1,826,432 | ||||||||
61,500 | Cox Radio, Inc.* | 1,349,925 | ||||||||
148,300 | Fox Entertainment Group, Inc.* | 4,303,666 | ||||||||
21,600 | PanAmSat Corp.* | 493,560 | ||||||||
35,440 | The Walt Disney Co. | 940,223 | ||||||||
41,400 | UnitedGlobalCom, Inc.* | 392,886 | ||||||||
137,521 | Viacom, Inc. Class B | 5,289,058 | ||||||||
14,595,750 | ||||||||||
16
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Medical Products – 5.0% | ||||||||||
10,200 | Boston Scientific Corp.* | $ | 416,670 | |||||||
106,000 | Guidant Corp. | 7,222,840 | ||||||||
81,700 | Medtronic, Inc. | 3,831,730 | ||||||||
91,300 | Zimmer Holdings, Inc.* | 6,905,932 | ||||||||
18,377,172 | ||||||||||
Medical Providers – 1.6% | ||||||||||
18,499 | Manor Care, Inc. | 655,050 | ||||||||
84,000 | UnitedHealth Group, Inc. | 5,208,000 | ||||||||
5,863,050 | ||||||||||
Mining – 0.2% | ||||||||||
17,700 | Freeport-McMoRan Copper & Gold, Inc.�� | 754,905 | ||||||||
Motor Vehicles – 2.5% | ||||||||||
164,200 | AutoNation, Inc.* | 2,738,856 | ||||||||
64,500 | Delphi Corp. | 657,900 | ||||||||
103,400 | Ford Motor Co. | 1,421,750 | ||||||||
91,600 | General Motors Corp. | 4,407,792 | ||||||||
9,226,298 | ||||||||||
Oil Services – 0.2% | ||||||||||
18,600 | Pride International, Inc.* | 318,804 | ||||||||
15,500 | Rowan Cos., Inc.* | 364,250 | ||||||||
683,054 | ||||||||||
Parts & Equipment – 5.2% | ||||||||||
81,000 | Avaya, Inc.* | 1,389,150 | ||||||||
540,400 | General Electric Co. | 17,573,808 | ||||||||
18,962,958 | ||||||||||
Property Insurance – 1.1% | ||||||||||
7,800 | AMBAC Financial Group, Inc. | 609,960 | ||||||||
14,540 | Fidelity National Financial, Inc. | 568,659 | ||||||||
40,100 | Loews Corp. | 2,417,629 | ||||||||
5,900 | MBIA, Inc. | 388,161 | ||||||||
3,984,409 | ||||||||||
Publishing – 0.2% | ||||||||||
14,000 | Deluxe Corp. | 551,320 | ||||||||
Regionals – 0.3% | ||||||||||
10,000 | Bank of Hawaii Corp. | 456,400 | ||||||||
8,700 | North Fork Bancorporation, Inc. | 367,401 | ||||||||
9,300 | Silicon Valley Bancshares* | 318,525 | ||||||||
1,142,326 | ||||||||||
REIT – 0.2% | ||||||||||
31,100 | Friedman, Billings, Ramsey Group, Inc. | 827,882 | ||||||||
Retail Apparel – 7.9% | ||||||||||
94,600 | Best Buy Co., Inc. | 5,037,450 | ||||||||
62,700 | Blockbuster, Inc.@ | 1,077,186 | ||||||||
141,900 | Coach, Inc.* | 5,623,497 | ||||||||
95,200 | Federated Department Stores, Inc. | 4,985,624 | ||||||||
27,700 | NIKE, Inc. Class B | 2,029,025 | ||||||||
198,400 | Staples, Inc. | 5,202,048 | ||||||||
14,900 | The Home Depot, Inc. | 541,019 | ||||||||
78,100 | Wal-Mart Stores, Inc. | 4,651,636 | ||||||||
29,147,485 | ||||||||||
Semiconductors – 6.7% | ||||||||||
107,000 | Avnet, Inc.* | 2,519,850 | ||||||||
580,200 | Intel Corp. | 16,959,246 | ||||||||
53,500 | Maxim Integrated Products, Inc. | 2,670,185 | ||||||||
79,600 | Texas Instruments, Inc. | 2,439,740 | ||||||||
24,589,021 | ||||||||||
Specialty Financials – 4.1% | ||||||||||
164,100 | AmeriCredit Corp.*@ | 3,121,182 | ||||||||
33,100 | Ameritrade Holding Corp.* | 538,868 | ||||||||
116,700 | CIT Group, Inc. | 4,606,149 | ||||||||
220,550 | MBNA Corp. | 6,027,631 | ||||||||
19,000 | Nuveen Investments | 534,280 | ||||||||
9,700 | SLM Corp. | 406,333 | ||||||||
15,234,443 | ||||||||||
Telecommunications Equipment – 3.0% | ||||||||||
325,700 | Motorola, Inc. | 6,009,165 | ||||||||
25,300 | Plantronics, Inc.* | 1,009,976 | ||||||||
64,600 | QUALCOMM, Inc. | 4,098,870 | ||||||||
11,118,011 | ||||||||||
Telephone – 0.4% | ||||||||||
83,447 | Sprint Corp. | 1,479,515 | ||||||||
Thrifts – 0.6% | ||||||||||
27,200 | Doral Financial Corp. | 928,064 | ||||||||
35,900 | IndyMac Bancorp, Inc. | 1,263,680 | ||||||||
2,191,744 | ||||||||||
Tobacco – 1.0% | ||||||||||
58,400 | R.J. Reynolds Tobacco Holdings, Inc.@ | 3,605,032 | ||||||||
Transports – 2.3% | ||||||||||
117,000 | United Parcel Service, Inc. Class B | 8,263,710 | ||||||||
Wireless – 0.2% | ||||||||||
63,400 | AT&T Wireless Services, Inc.* | 860,972 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $305,385,006) | $ | 367,225,476 | ||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||
(Cost $305,385,006) | $ | 367,225,476 | ||||||||
17
Shares | Description | Value | ||||||||
Securities Lending Collateral – 2.7% | ||||||||||
10,071,050 | Boston Global Investment Trust – | $ | 10,071,050 | |||||||
Enhanced Portfolio | ||||||||||
TOTAL SECURITIES LENDING COLLATERAL | ||||||||||
(Cost $10,071,050 ) | $ | 10,071,050 | ||||||||
TOTAL INVESTMENTS | ||||||||||
(Cost $315,456,056) | $ | 377,296,526 | ||||||||
* | Non-income producing security. | |
@ | All or a part of security is on loan. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
Investment Abbreviations: | ||||||
REIT | — | Real Estate Investment Trusts | ||||
18
Shares | Description | Value | ||||||||
Common Stocks – 97.9% | ||||||||||
Biotechnology – 4.5% | ||||||||||
18,170 | Albany Molecular Research, Inc.* | $ | 274,367 | |||||||
58,600 | Applera Corp. – Celera Genomics Group* | 849,700 | ||||||||
13,200 | Connetics Corp.* | 290,796 | ||||||||
46,600 | Corixa Corp.*@ | 283,794 | ||||||||
65,300 | Gen-Probe, Inc.* | 2,232,607 | ||||||||
82,500 | Gene Logic, Inc.* | 471,075 | ||||||||
83,800 | Kos Pharmaceuticals, Inc.*@ | 3,688,038 | ||||||||
15,500 | NeoPharm, Inc.* | 325,810 | ||||||||
39,000 | Neurocrine Biosciences, Inc.* | 2,168,400 | ||||||||
135,500 | Savient Pharmaceuticals, Inc.* | 548,775 | ||||||||
16,340 | Serologicals Corp.* | 304,578 | ||||||||
92,996 | Vicuron Pharmaceuticals, Inc.* | 2,183,546 | ||||||||
13,621,486 | ||||||||||
Chemicals – 1.4% | ||||||||||
16,200 | A. Schulman, Inc. | 302,454 | ||||||||
26,500 | Arch Chemicals, Inc. | 726,365 | ||||||||
6,900 | Brady Corp. | 267,720 | ||||||||
43,200 | Crompton Corp. | 322,272 | ||||||||
50,800 | OM Group, Inc.* | 1,560,576 | ||||||||
120,700 | PolyOne Corp.* | 694,025 | ||||||||
38,200 | Wellman, Inc. | 307,892 | ||||||||
4,181,304 | ||||||||||
Computer Hardware – 3.1% | ||||||||||
73,200 | Adaptec, Inc.* | 668,316 | ||||||||
38,900 | Advanced Fibre Communications, Inc.* | 953,828 | ||||||||
88,600 | Computer Network Technology Corp.* | 900,176 | ||||||||
36,200 | Imagistics International, Inc.* | 1,627,190 | ||||||||
66,400 | InFocus Corp.* | 782,192 | ||||||||
47,800 | Iomega Corp. | 267,680 | ||||||||
31,900 | Komag, Inc.* | 728,596 | ||||||||
9,895 | Mercury Computer Systems, Inc.* | 289,726 | ||||||||
27,200 | RSA Security, Inc.* | 452,336 | ||||||||
195,900 | Sanmina-SCI Corp.* | 2,485,971 | ||||||||
11,300 | SBS Technologies, Inc.* | 176,506 | ||||||||
9,332,517 | ||||||||||
Computer Software – 4.8% | ||||||||||
30,300 | Ascential Software Corp.* | 683,568 | ||||||||
72,400 | Aspect Communications Corp.* | 1,307,544 | ||||||||
36,300 | Aspen Technology, Inc.* | 318,351 | ||||||||
122,200 | Atari, Inc.*@ | 329,940 | ||||||||
11,200 | Autodesk, Inc. | 320,880 | ||||||||
6,500 | Cerner Corp.*@ | 291,330 | ||||||||
12,300 | Digital River, Inc.* | 269,247 | ||||||||
20,700 | Eclipsys Corp.* | 289,386 | ||||||||
25,400 | Epicor Software Corp.* | 358,140 | ||||||||
109,000 | eResearch Technology, Inc.* | 3,374,640 | ||||||||
66,200 | FileNET Corp.* | 1,873,460 | ||||||||
12,600 | Intergraph Corp.* | 258,426 | ||||||||
23,500 | Interwoven, Inc.* | 285,525 | ||||||||
22,900 | Macrovision Corp.* | 447,008 | ||||||||
30,000 | MSC.Software Corp.*@ | 288,900 | ||||||||
17,700 | Pharmacopeia, Inc.* | 347,274 | ||||||||
21,700 | SeaChange International, Inc.* | 374,108 | ||||||||
115,300 | Sybase, Inc.* | 2,480,103 | ||||||||
115,800 | Tradestation Group, Inc.*@ | 877,764 | ||||||||
14,775,594 | ||||||||||
Construction – 1.3% | ||||||||||
27,900 | Griffon Corp.* | 627,192 | ||||||||
62,000 | Lennox International, Inc. | 1,153,820 | ||||||||
7,300 | M/ I Schottenstein Homes, Inc. | 328,208 | ||||||||
15,200 | NCI Building Systems, Inc.* | 368,752 | ||||||||
91,900 | USG Corp.* | 1,591,708 | ||||||||
4,069,680 | ||||||||||
Consumer Durables – 1.0% | ||||||||||
40,400 | Applica, Inc.* | 401,980 | ||||||||
56,100 | Kimball International, Inc. Class B | 949,773 | ||||||||
51,700 | Select Comfort Corp.* | 1,399,519 | ||||||||
15,300 | Universal Electronics, Inc.* | 195,075 | ||||||||
2,946,347 | ||||||||||
Defense/ Aerospace – 1.1% | ||||||||||
48,800 | AAR Corp.* | 630,496 | ||||||||
17,700 | Aviall, Inc.* | 272,226 | ||||||||
32,900 | Curtiss-Wright Corp. | 1,579,858 | ||||||||
8,100 | Moog, Inc.* | 291,033 | ||||||||
14,300 | Teledyne Technologies, Inc.* | 289,718 | ||||||||
12,400 | Triumph Group, Inc.* | 414,780 | ||||||||
3,478,111 | ||||||||||
Drugs – 2.2% | ||||||||||
13,900 | Alpharma, Inc. | 298,294 | ||||||||
35,650 | American Pharmaceutical Partners, Inc.*@ | 1,272,705 | ||||||||
46,800 | Endo Pharmaceuticals Holdings, Inc.* | 1,135,836 | ||||||||
9,400 | IDEXX Laboratories, Inc.* | 480,058 | ||||||||
16,300 | Lannett Co., Inc.*@ | 268,135 | ||||||||
14,600 | Molecular Devices Corp.* | 273,020 | ||||||||
20,700 | Omnicell, Inc.* | 421,866 | ||||||||
80,300 | USANA Health Sciences, Inc.*@ | 2,435,499 | ||||||||
6,585,413 | ||||||||||
Electrical Utilities – 1.1% | ||||||||||
43,100 | Allegheny Energy, Inc.* | 568,489 | ||||||||
100,200 | Avista Corp. | 1,810,614 | ||||||||
37,000 | Northeast Utilities | 711,880 | ||||||||
9,800 | PNM Resources, Inc. | 298,508 | ||||||||
3,389,491 | ||||||||||
Energy Resources – 1.8% | ||||||||||
54,900 | Comstock Resources, Inc.* | 1,059,570 | ||||||||
57,300 | Patina Oil& Gas Corp. | 2,925,738 | ||||||||
7,100 | Stone Energy Corp.* | 319,784 |
19
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Energy Resources – (continued) | ||||||||||
15,300 | The Houston Exploration Co.* | $ | 575,586 | |||||||
47,100 | Vintage Petroleum, Inc. | 684,363 | ||||||||
5,565,041 | ||||||||||
Environmental & Other Services – 2.6% | ||||||||||
35,300 | Administaff, Inc.* | 531,265 | ||||||||
22,292 | Casella Waste Systems, Inc.* | 290,465 | ||||||||
33,400 | Dollar Thrifty Automotive Group, Inc.* | 899,128 | ||||||||
19,300 | ITT Educational Services, Inc.* | 732,821 | ||||||||
24,800 | LNR Property Corp. | 1,306,960 | ||||||||
155,800 | MPS Group, Inc.* | 1,519,050 | ||||||||
57,800 | Quanta Services, Inc.* | 497,080 | ||||||||
12,200 | Rollins, Inc. | 283,406 | ||||||||
143,800 | Spherion Corp.* | 1,238,118 | ||||||||
29,500 | United Rentals, Inc.* | 517,430 | ||||||||
7,815,723 | ||||||||||
Food & Beverages – 1.8% | ||||||||||
52,250 | Flowers Foods, Inc. | 1,405,525 | ||||||||
57,600 | Interstate Bakeries Corp. | 864,000 | ||||||||
11,900 | John B. Sanfilippo & Son, Inc.* | 402,101 | ||||||||
65,400 | Pilgrim’s Pride Corp. | 1,314,540 | ||||||||
22,130 | Ralcorp Holdings, Inc.* | 710,594 | ||||||||
25,000 | The Robert Mondavi Corp.* | 934,250 | ||||||||
5,631,010 | ||||||||||
Grocery – 0.7% | ||||||||||
74,900 | Pathmark Stores, Inc.* | 617,925 | ||||||||
42,800 | Ruddick Corp. | 855,572 | ||||||||
96,300 | The Great Atlantic & Pacific Tea Co., Inc.*@ | 765,585 | ||||||||
2,239,082 | ||||||||||
Health Insurance – 0.7% | ||||||||||
92,000 | Humana, Inc.* | 2,016,640 | ||||||||
Home Products – 0.9% | ||||||||||
14,300 | Energizer Holdings, Inc.* | 667,381 | ||||||||
67,900 | Nu Skin Enterprises, Inc. | 1,300,285 | ||||||||
16,268 | Perrigo Co. | 317,877 | ||||||||
15,300 | Rayovac Corp.* | 397,494 | ||||||||
2,683,037 | ||||||||||
Hotel & Leisure – 4.4% | ||||||||||
38,600 | AMC Entertainment, Inc.* | 553,910 | ||||||||
43,200 | Aztar Corp.* | 964,656 | ||||||||
58,700 | Boykin Lodging Co. | 541,801 | ||||||||
16,000 | Callaway Golf Co. | 298,720 | ||||||||
40,100 | Choice Hotels International, Inc. | 1,758,385 | ||||||||
50,000 | FelCor Lodging Trust, Inc.* | 537,000 | ||||||||
15,000 | GTECH Holdings Corp. | 880,950 | ||||||||
95,600 | Handleman Co. | 2,139,528 | ||||||||
27,200 | Harman International Industries, Inc. | 2,121,328 | ||||||||
57,300 | K2, Inc.* | 992,436 | ||||||||
229,500 | La Quinta Corp.* | 1,774,035 | ||||||||
23,900 | Pinnacle Entertainment, Inc.* | 349,657 | ||||||||
36,800 | World Wrestling Entertainment, Inc. | 498,640 | ||||||||
13,411,046 | ||||||||||
Information Services – 3.7% | ||||||||||
41,100 | American Management Systems, Inc.* | 628,419 | ||||||||
79,000 | Arbitron, Inc.* | 3,287,980 | ||||||||
64,400 | Convergys Corp.* | 1,047,144 | ||||||||
84,300 | CSG Systems International, Inc.* | 1,180,200 | ||||||||
59,100 | eFunds Corp.* | 958,011 | ||||||||
15,700 | FindWhat.com*@ | 263,917 | ||||||||
14,500 | Gevity HR, Inc. | 329,440 | ||||||||
35,600 | Group 1 Software, Inc.* | 525,100 | ||||||||
76,100 | Keane, Inc.* | 1,127,802 | ||||||||
9,500 | MemberWorks, Inc.*@ | 323,665 | ||||||||
6,500 | MICROS Systems, Inc.* | 283,660 | ||||||||
54,500 | Pre-Paid Legal Services, Inc.*@ | 1,293,285 | ||||||||
11,248,623 | ||||||||||
Internet – 2.2% | ||||||||||
34,200 | eCollege.com* | 685,710 | ||||||||
10,800 | j2 Global Communications, Inc.*@ | 237,168 | ||||||||
36,200 | NetFlix, Inc.*@ | 1,245,280 | ||||||||
92,100 | Safeguard Scientifics, Inc.* | 403,398 | ||||||||
132,800 | Sohu. com, Inc.*@ | 3,731,680 | ||||||||
10,900 | WebEx Communications, Inc.*@ | 278,713 | ||||||||
6,581,949 | ||||||||||
Life Insurance – 0.6% | ||||||||||
24,700 | AmerUs Group Co. | 962,806 | ||||||||
7,767 | Delphi Financial Group, Inc. | 302,758 | ||||||||
11,381 | FBL Financial Group, Inc. | 325,610 | ||||||||
22,800 | UICI* | 310,992 | ||||||||
1,902,166 | ||||||||||
Media – 1.3% | ||||||||||
9,000 | ADVO, Inc. | 290,790 | ||||||||
33,100 | Cox Radio, Inc.* | 726,545 | ||||||||
62,200 | Hearst-Argyle Television, Inc. | 1,638,970 | ||||||||
88,400 | Insight Communications Co., Inc.* | 861,900 | ||||||||
12,500 | Lin TV Corp.* | 278,875 | ||||||||
29,882 | UnitedGlobalCom, Inc.* | 283,580 | ||||||||
4,080,660 | ||||||||||
Medical Products – 2.2% | ||||||||||
13,500 | Advanced Medical Optics, Inc.* | 310,500 | ||||||||
49,700 | ALARIS Medical Systems, Inc.* | 1,063,580 | ||||||||
5,100 | Bio-Rad Laboratories, Inc.* | 265,710 | ||||||||
15,000 | Cantel Medical Corp.* | 254,850 | ||||||||
11,100 | CONMED Corp.* | 320,235 | ||||||||
31,600 | D & K Healthcare Resources, Inc. | 309,680 | ||||||||
17,000 | Dade Behring Holdings, Inc.* | 694,450 | ||||||||
10,400 | NDCHealth Corp. | 300,560 | ||||||||
12,900 | Ocular Sciences, Inc.* | 368,424 |
20
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Medical Products – (continued) | ||||||||||
44,900 | Owens & Minor, Inc. | $ | 1,112,173 | |||||||
25,900 | PSS World Medical, Inc.* | 314,685 | ||||||||
6,400 | Respironics, Inc.* | 334,784 | ||||||||
13,500 | Sola International, Inc.* | 315,765 | ||||||||
25,000 | STAAR Surgical Co.* | 194,500 | ||||||||
30,700 | Thoratec Corp.* | 399,100 | ||||||||
6,558,996 | ||||||||||
Medical Providers – 1.6% | ||||||||||
12,500 | American Medical Security Group, Inc.* | 294,875 | ||||||||
29,700 | Kindred Healthcare, Inc.* | 1,748,439 | ||||||||
47,600 | Select Medical Corp. | 760,172 | ||||||||
61,000 | Stewart Enterprises, Inc.* | 367,830 | ||||||||
141,300 | US Oncology, Inc.* | 1,759,185 | ||||||||
4,930,501 | ||||||||||
Mining – 2.2% | ||||||||||
33,300 | Allegheny Technologies, Inc. | 422,910 | ||||||||
41,100 | AMCOL International Corp. | 741,855 | ||||||||
80,200 | Coeur d’Alene Mines Corp.* | 567,816 | ||||||||
64,800 | Commercial Metals Co.@ | 1,924,560 | ||||||||
44,600 | Reliance Steel & Aluminum Corp. | 1,402,224 | ||||||||
21,000 | Schnitzer Steel Industries, Inc. | 1,018,500 | ||||||||
84,700 | USEC, Inc. | 709,786 | ||||||||
6,787,651 | ||||||||||
Motor Vehicles – 0.5% | ||||||||||
139,000 | The Goodyear Tire & Rubber Co.*@ | 1,170,380 | ||||||||
15,500 | United Auto Group, Inc. | 439,890 | ||||||||
1,610,270 | ||||||||||
Oil Refining – 1.7% | ||||||||||
19,600 | Sunoco, Inc. | 1,205,400 | ||||||||
214,100 | Tesoro Petroleum Corp.* | 3,907,325 | ||||||||
5,112,725 | ||||||||||
Oil Services – 1.8% | ||||||||||
18,200 | Dril-Quip, Inc.* | 327,600 | ||||||||
57,200 | Global Industries Ltd.* | 289,432 | ||||||||
11,200 | Hydril Co.* | 296,800 | ||||||||
68,700 | Universal Compression Holdings, Inc.* | 2,138,631 | ||||||||
149,700 | Veritas DGC, Inc.* | 2,377,236 | ||||||||
5,429,699 | ||||||||||
Paper & Packaging – 2.0% | ||||||||||
48,800 | Chesapeake Corp. | 1,227,320 | ||||||||
24,700 | Longview Fibre Co. | 320,606 | ||||||||
9,300 | Schweitzer-Mauduit International, Inc. | 310,155 | ||||||||
105,900 | United Stationers, Inc.* | 4,205,289 | ||||||||
6,063,370 | ||||||||||
Parts & Equipment – 6.3% | ||||||||||
9,450 | A.O. Smith Corp. | 293,895 | ||||||||
52,900 | Acuity Brands, Inc. | 1,292,347 | ||||||||
7,200 | Analogic Corp. | 300,168 | ||||||||
29,100 | Belden, Inc. | 575,598 | ||||||||
62,200 | Centillium Communications, Inc.* | 305,402 | ||||||||
20,300 | Coherent, Inc.* | 577,332 | ||||||||
22,650 | Comtech Telecommunications Corp.* | 641,448 | ||||||||
30,500 | Engineered Support Systems, Inc. | 1,592,100 | ||||||||
6,000 | Hughes Supply, Inc. | 285,900 | ||||||||
11,700 | II-VI, Inc.* | 291,213 | ||||||||
29,700 | Innovex, Inc.* | 204,930 | ||||||||
11,500 | Inter-Tel, Inc. | 347,875 | ||||||||
32,800 | Kaman Corp. | 462,480 | ||||||||
27,800 | NACCO Industries, Inc. | 2,268,480 | ||||||||
29,300 | Remec, Inc.* | 205,100 | ||||||||
29,200 | Rofin-Sinar Technologies, Inc.* | 874,248 | ||||||||
143,200 | Sonus Networks, Inc.* | 849,176 | ||||||||
116,200 | UNOVA, Inc.* | 2,530,836 | ||||||||
10,200 | Vicor Corp.* | 129,030 | ||||||||
48,700 | Wabash National Corp.* | 1,385,515 | ||||||||
93,300 | Watsco, Inc. | 2,552,688 | ||||||||
13,100 | Watts Industries, Inc. | 303,134 | ||||||||
63,300 | Westell Technologies, Inc.* | 484,878 | ||||||||
5,100 | Woodward Governor Co. | 309,876 | ||||||||
7,700 | York International Corp. | 287,441 | ||||||||
19,351,090 | ||||||||||
Property Insurance – 2.3% | ||||||||||
17,900 | Argonaut Group, Inc.* | 347,439 | ||||||||
82,900 | LandAmerica Financial Group, Inc. | 3,879,720 | ||||||||
8,467 | Selective Insurance Group, Inc. | 312,432 | ||||||||
70,100 | Stewart Information Services Corp. | 2,558,650 | ||||||||
7,098,241 | ||||||||||
Publishing – 1.1% | ||||||||||
10,455 | John H. Harland Co. | 315,427 | ||||||||
43,500 | Pulitzer, Inc. | 2,244,600 | ||||||||
37,700 | The Standard Register Co. | 648,440 | ||||||||
3,208,467 | ||||||||||
Regionals – 7.4% | ||||||||||
46,000 | Bank of Hawaii Corp. | 2,099,440 | ||||||||
75,000 | BankAtlantic Bancorp, Inc. | 1,344,000 | ||||||||
108,491 | Brookline Bancorp, Inc. | 1,708,733 | ||||||||
8,500 | Chittenden Corp. | 280,330 | ||||||||
32,800 | Commercial Capital Bancorp, Inc.* | 679,288 | ||||||||
22,100 | Corus Bankshares, Inc. | 897,481 | ||||||||
6,600 | East West Bancorp, Inc. | 350,790 | ||||||||
18,700 | First Charter Corp. | 396,253 | ||||||||
7,300 | First Citizens BancShares, Inc. | 912,281 | ||||||||
131,100 | First Niagara Financial Group, Inc. | 1,911,438 | ||||||||
10,387 | Fulton Financial Corp. | 228,618 | ||||||||
21
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Regionals – (continued) | ||||||||||
9,800 | IBERIABANK Corp. | $ | 609,560 | |||||||
10,345 | MB Financial, Inc. | 386,179 | ||||||||
12,430 | Oriental Financial Group, Inc. | 357,114 | ||||||||
55,740 | PFF Bancorp, Inc. | 1,998,279 | ||||||||
71,750 | R&G Financial Corp. Class B | 2,248,645 | ||||||||
136,400 | Silicon Valley Bancshares* | 4,671,700 | ||||||||
19,700 | Susquehanna Bancshares, Inc. | 513,579 | ||||||||
10,100 | The South Financial Group, Inc. | 311,282 | ||||||||
45,300 | United Community Financial Corp. | 555,378 | ||||||||
22,460,368 | ||||||||||
REITs – 4.8% | ||||||||||
26,600 | Anthracite Capital, Inc. | 330,904 | ||||||||
47,200 | Bedford Property Investors, Inc. | 1,451,400 | ||||||||
15,800 | Commercial Net Lease Realty, Inc. | 305,730 | ||||||||
8,400 | EastGroup Properties, Inc. | 283,500 | ||||||||
14,200 | First Industrial Realty Trust, Inc. | 533,920 | ||||||||
24,800 | Friedman, Billings, Ramsey Group, Inc. | 660,176 | ||||||||
75,100 | Glenborough Realty Trust, Inc. | 1,577,100 | ||||||||
11,100 | Heritage Property Investment Trust | 330,336 | ||||||||
274,700 | HRPT Properties Trust | 3,043,676 | ||||||||
7,100 | Mack-Cali Realty Corp. | 302,176 | ||||||||
7,800 | Mid-America Apartment Communities, Inc. | 279,708 | ||||||||
33,200 | National Health Investors, Inc. | 926,280 | ||||||||
24,400 | Novastar Financial, Inc.@ | 1,289,540 | ||||||||
5,900 | Pan Pacific Retail Properties, Inc. | 292,050 | ||||||||
6,200 | Parkway Properties, Inc. | 293,260 | ||||||||
33,500 | PS Business Parks, Inc. | 1,524,250 | ||||||||
7,300 | Redwood Trust, Inc. | 443,475 | ||||||||
45,100 | Senior Housing Properties Trust | 836,605 | ||||||||
14,704,086 | ||||||||||
Restaurants – 1.0% | ||||||||||
5,800 | CEC Entertainment, Inc.* | 316,506 | ||||||||
21,388 | Lone Star Steakhouse & Saloon, Inc. | 581,112 | ||||||||
54,300 | Papa John’s International, Inc.*@ | 1,999,326 | ||||||||
17,000 | Ryan’s Family Steak Houses, Inc.* | 295,800 | ||||||||
3,192,744 | ||||||||||
Retail Apparel – 6.9% | ||||||||||
29,450 | Aaron Rents, Inc. | 692,075 | ||||||||
15,700 | Aeropostale, Inc.* | 538,510 | ||||||||
94,000 | Blockbuster, Inc.*@ | 1,614,920 | ||||||||
27,280 | Brown Shoe Co. | 1,074,559 | ||||||||
112,600 | Charming Shoppes, Inc.* | 737,530 | ||||||||
14,100 | Electronics Boutique Holdings Corp.* | 383,661 | ||||||||
19,600 | Hot Topic, Inc.* | 568,988 | ||||||||
57,700 | Insight Enterprises, Inc.* | 1,227,279 | ||||||||
26,700 | K-Swiss, Inc. | 642,135 | ||||||||
53,100 | Longs Drug Stores Corp. | 1,109,259 | ||||||||
63,000 | Movie Gallery, Inc. | 1,260,000 | ||||||||
8,100 | Oxford Industries, Inc. | 355,995 | ||||||||
57,200 | PETCO Animal Supplies, Inc.* | 1,857,856 | ||||||||
125,400 | ShopKo Stores, Inc.* | 1,914,858 | ||||||||
34,300 | Skechers U.S.A., Inc.* | 432,523 | ||||||||
34,100 | Sonic Automotive, Inc. | 838,860 | ||||||||
45,200 | Stage Stores, Inc.* | 1,613,188 | ||||||||
10,900 | The Childrens Place Retail Stores, Inc.* | 333,976 | ||||||||
48,400 | The Finish Line, Inc.* | 1,675,124 | ||||||||
22,700 | The Pep Boys – Manny, Moe & Jack | 535,493 | ||||||||
43,000 | Ultimate Electronics, Inc.*@ | 314,330 | ||||||||
25,300 | Zale Corp.* | 1,446,907 | ||||||||
21,168,026 | ||||||||||
Semiconductors – 3.8% | ||||||||||
32,900 | Amkor Technology, Inc.* | 508,963 | ||||||||
124,200 | Atmel Corp.* | 859,464 | ||||||||
38,399 | Avnet, Inc.* | 904,296 | ||||||||
14,700 | Cohu, Inc. | 278,271 | ||||||||
148,300 | Cypress Semiconductor Corp.* | 3,200,314 | ||||||||
61,300 | Dot Hill Systems Corp.* | 860,039 | ||||||||
54,800 | LSI Logic Corp.* | 553,480 | ||||||||
42,600 | Methode Electronics, Inc. | 532,500 | ||||||||
39,100 | Micrel, Inc.* | 587,282 | ||||||||
24,600 | Microsemi Corp.* | 383,760 | ||||||||
64,900 | Photronics, Inc.* | 1,127,313 | ||||||||
41,400 | Sigma Designs, Inc.*@ | 313,398 | ||||||||
38,000 | Silicon Storage Technology, Inc.* | 475,760 | ||||||||
18,400 | Ultratech, Inc.* | 456,504 | ||||||||
26,100 | Zoran Corp.* | 470,061 | ||||||||
11,511,405 | ||||||||||
Specialty Financials – 2.7% | ||||||||||
65,100 | AmeriCredit Corp.* | 1,238,202 | ||||||||
11,100 | BlackRock, Inc. | 660,450 | ||||||||
38,600 | CompuCredit Corp.* | 836,076 | ||||||||
26,800 | Credit Acceptance Corp.* | 466,320 | ||||||||
20,500 | Knight Trading Group, Inc.* | 284,130 | ||||||||
12,627 | NCO Group, Inc.* | 278,678 | ||||||||
57,232 | New Century Financial Corp.@ | 2,804,368 | ||||||||
51,500 | Nuveen Investments | 1,448,180 | ||||||||
17,300 | SWS Group, Inc. | 304,826 | ||||||||
8,321,230 | ||||||||||
Telecommunications Equipment – 3.0% | ||||||||||
73,700 | Anixter International, Inc.* | 2,203,630 | ||||||||
26,100 | Artesyn Technologies, Inc.* | 284,490 | ||||||||
95,700 | Audiovox Corp.* | 1,575,222 | ||||||||
28,850 | Cable Design Technologies Corp.* | 281,288 | ||||||||
83,100 | CommScope, Inc.* | 1,478,349 | ||||||||
67,000 | Enterasys Networks, Inc.* | 304,850 | ||||||||
58,600 | Plantronics, Inc.* | 2,339,312 | ||||||||
22
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Telecommunications Equipment – (continued) | ||||||||||
43,300 | TALK America Holdings, Inc.*@ | $ | 506,610 | |||||||
11,600 | Verint System, Inc.* | 303,456 | ||||||||
9,277,207 | ||||||||||
Telephone – 1.1% | ||||||||||
87,900 | IDT Corp.* | 1,766,790 | ||||||||
37,900 | Primus Telecommunications Group, Inc.* | 286,903 | ||||||||
193,100 | Time Warner Telecom, Inc.* | 1,338,183 | ||||||||
3,391,876 | ||||||||||
Thrifts – 1.7% | ||||||||||
10,500 | BankUnited Financial Corp.* | 289,485 | ||||||||
12,000 | Citizens First Bancorp, Inc. | 289,200 | ||||||||
14,700 | Commercial Federal Corp. | 412,188 | ||||||||
14,750 | Doral Financial Corp. | 503,270 | ||||||||
108,200 | Flagstar Bancorp, Inc. | 2,796,970 | ||||||||
19,950 | Flushing Financial Corp. | 377,055 | ||||||||
12,700 | Irwin Financial Corp. | 375,285 | ||||||||
17,900 | Sound Federal Bancorp, Inc. | 275,123 | ||||||||
5,318,576 | ||||||||||
Tobacco – 0.3% | ||||||||||
67,100 | DIMON, Inc. | 466,345 | ||||||||
5,200 | R.J. Reynolds Tobacco Holdings, Inc. | 320,996 | ||||||||
787,341 | ||||||||||
Transports – 1.6% | ||||||||||
19,700 | Alaska Air Group, Inc.* | 507,078 | ||||||||
72,200 | America West Holdings Corp. Class B*@ | 789,146 | ||||||||
28,600 | ExpressJet Holdings, Inc.* | 392,678 | ||||||||
70,500 | Frontier Airlines, Inc.* | 715,575 | ||||||||
13,400 | J.B. Hunt Transport Services, Inc.* | 367,160 | ||||||||
11,100 | Landstar System, Inc.* | 396,159 | ||||||||
24,200 | Overseas Shipholding Group, Inc. | 868,780 | ||||||||
35,600 | SkyWest, Inc. | 688,860 | ||||||||
4,725,436 | ||||||||||
Wireless – 0.7% | ||||||||||
4,300 | NII Holding, Inc.* | 465,905 | ||||||||
17,216 | Priceline.com, Inc.*@ | 396,140 | ||||||||
30,400 | United States Cellular Corp.* | 1,257,040 | ||||||||
2,119,085 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $240,652,690) | $ | 298,683,310 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement – 1.6% | ||||||||||||||||
Joint Repurchase Agreement Account II^ | ||||||||||||||||
$ | 4,800,000 | 1.07 | % | 03/01/2004 | $ | 4,800,000 | ||||||||||
Maturity Value: $4,800,427 | ||||||||||||||||
TOTAL REPURCHASE AGREEMENT | ||||||||||||||||
(Cost $4,800,000) | $ | 4,800,000 | ||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $245,452,690) | $ | 303,483,310 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 7.9% | ||||||||||
24,093,021 | Boston Global Investment Trust – Enhanced Portfolio | $ | 24,093,021 | |||||||
TOTAL SECURITIES LENDING COLLATERAL | ||||||||||
(Cost $24,093,021) | $ | 24,093,021 | ||||||||
TOTAL INVESTMENTS | ||||||||||
(Cost $269,545,711) | $ | 327,576,331 | ||||||||
* | Non-income producing security. | |
^ | Joint repurchase agreement was entered into on February 27, 2004. | |
@ | All or part of security is on loan. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
Investment Abbreviations: | ||||||
REIT—Real Estate Investment Trust | ||||||
23
Shares | Description | Value | ||||||||
Common Stocks – 99.6% | ||||||||||
Biotechnology – 2.1% | ||||||||||
46,000 | Genentech, Inc.* | $ | 4,962,940 | |||||||
34,600 | Gilead Sciences, Inc.* | 1,875,666 | ||||||||
6,838,606 | ||||||||||
Chemicals – 2.9% | ||||||||||
191,900 | Monsanto Co. | 6,340,376 | ||||||||
66,700 | The Dow Chemical Co. | 2,899,449 | ||||||||
9,239,825 | ||||||||||
Computer Hardware – 2.4% | ||||||||||
146,200 | Agilent Technologies, Inc.* | 4,998,578 | ||||||||
3,900 | Lexmark International, Inc.* | 320,931 | ||||||||
15,800 | NCR Corp.* | 707,208 | ||||||||
125,100 | Sanmina-SCI Corp.* | 1,587,519 | ||||||||
7,614,236 | ||||||||||
Computer Software – 0.4% | ||||||||||
71,100 | Cadence Design Systems, Inc.* | 1,097,073 | ||||||||
12,100 | Computer Associates International, Inc. | 321,376 | ||||||||
1,418,449 | ||||||||||
Defense/ Aerospace – 0.9% | ||||||||||
67,600 | The Boeing Co. | 2,931,812 | ||||||||
Drugs – 0.6% | ||||||||||
34,850 | American Pharmaceutical Partners, Inc.*@ | 1,244,145 | ||||||||
34,900 | Endo Pharmaceuticals Holdings, Inc.* | 847,023 | ||||||||
2,091,168 | ||||||||||
Electrical Utilities – 4.1% | ||||||||||
68,600 | Constellation Energy Group, Inc. | 2,726,850 | ||||||||
245,300 | Edison International | 5,663,977 | ||||||||
21,400 | Entergy Corp. | 1,268,806 | ||||||||
20,100 | Exelon Corp. | 1,349,514 | ||||||||
107,000 | Northeast Utilities | 2,058,680 | ||||||||
13,067,827 | ||||||||||
Energy Resources – 6.6% | ||||||||||
41,300 | Amerada Hess Corp. | 2,657,655 | ||||||||
10,867 | ChevronTexaco Corp. | 960,100 | ||||||||
32,000 | ConocoPhillips | 2,203,840 | ||||||||
13,300 | Devon Energy Corp. | 755,174 | ||||||||
248,860 | Exxon Mobil Corp. | 10,494,426 | ||||||||
92,400 | Occidental Petroleum Corp. | 4,102,560 | ||||||||
21,173,755 | ||||||||||
Environmental & Other Services – 1.5% | ||||||||||
11,100 | Career Education Corp.* | 554,889 | ||||||||
29,800 | ITT Educational Services, Inc.* | 1,131,506 | ||||||||
53,700 | Republic Services, Inc. | 1,409,088 | ||||||||
62,700 | Waste Management, Inc. | 1,786,950 | ||||||||
4,882,433 | ||||||||||
Food & Beverages – 4.4% | ||||||||||
302,000 | Archer-Daniels-Midland Co. | 5,194,400 | ||||||||
59,000 | Kraft Foods, Inc. | 1,993,610 | ||||||||
36,600 | SUPERVALU, INC. | 1,035,780 | ||||||||
17,400 | SYSCO Corp. | 689,910 | ||||||||
328,992 | Tyson Foods, Inc. | 5,224,393 | ||||||||
14,138,093 | ||||||||||
Health Insurance – 0.4% | ||||||||||
52,700 | Humana, Inc.* | 1,155,184 | ||||||||
Home Products – 2.1% | ||||||||||
67,900 | Avon Products, Inc. | 4,793,740 | ||||||||
49,800 | The Gillette Co. | 1,916,802 | ||||||||
6,710,542 | ||||||||||
Hotel & Leisure – 1.9% | ||||||||||
31,400 | Caesars Entertainment, Inc.* | 386,220 | ||||||||
42,400 | GTECH Holdings Corp. | 2,490,152 | ||||||||
40,900 | Harman International Industries, Inc. | 3,189,791 | ||||||||
6,066,163 | ||||||||||
Information Services – 2.9% | ||||||||||
165,100 | Accenture Ltd.* | 3,813,810 | ||||||||
74,800 | IMS Health, Inc. | 1,853,544 | ||||||||
53,700 | Moody’s Corp. | 3,590,382 | ||||||||
9,257,736 | ||||||||||
Large Banks – 12.1% | ||||||||||
102,000 | Bank of America Corp. | 8,355,840 | ||||||||
180,400 | Citigroup, Inc. | 9,066,904 | ||||||||
23,500 | FleetBoston Financial Corp. | 1,058,205 | ||||||||
257,300 | J.P. Morgan Chase & Co. | 10,554,446 | ||||||||
166,700 | Wachovia Corp. | 7,996,599 | ||||||||
34,900 | Wells Fargo & Co. | 2,001,515 | ||||||||
39,033,509 | ||||||||||
Life Insurance – 5.6% | ||||||||||
8,300 | AmerUs Group Co. | 323,534 | ||||||||
93,000 | MetLife, Inc. | 3,268,950 | ||||||||
29,000 | Nationwide Financial Services, Inc. | 1,103,160 | ||||||||
162,600 | Principal Financial, Inc. | 5,886,120 | ||||||||
8,800 | Protective Life Corp. | 334,752 | ||||||||
155,300 | Prudential Financial, Inc. | 7,204,367 | ||||||||
18,120,883 | ||||||||||
Media – 5.0% | ||||||||||
67,536 | Comcast Corp.* | 2,028,781 | ||||||||
41,000 | Cox Radio, Inc.* | 899,950 | ||||||||
147,200 | Fox Entertainment Group, Inc.* | 4,271,744 | ||||||||
27,900 | Hearst-Argyle Television, Inc. | 735,165 | ||||||||
36,900 | PanAmSat Corp.* | 843,165 | ||||||||
88,700 | The Walt Disney Co. | 2,353,211 | ||||||||
42,600 | Time Warner, Inc.* | 734,850 | ||||||||
105,800 | Viacom, Inc. Class B | 4,069,068 | ||||||||
15,935,934 | ||||||||||
24
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Medical Products – 2.2% | ||||||||||
31,500 | Guidant Corp. | $ | 2,146,410 | |||||||
64,500 | Zimmer Holdings, Inc.* | 4,878,780 | ||||||||
7,025,190 | ||||||||||
Mining – 0.1% | ||||||||||
6,400 | Freeport-McMoRan Copper & Gold, Inc. Class B | 272,960 | ||||||||
Motor Vehicles – 4.8% | ||||||||||
195,000 | AutoNation, Inc.* | 3,252,600 | ||||||||
378,800 | Ford Motor Co. | 5,208,500 | ||||||||
146,000 | General Motors Corp. | 7,025,520 | ||||||||
15,486,620 | ||||||||||
Oil Refining – 4.1% | ||||||||||
90,200 | Marathon Oil Corp. | 3,169,628 | ||||||||
80,800 | Sunoco, Inc. | 4,969,200 | ||||||||
86,600 | Valero Energy Corp. | 5,196,000 | ||||||||
13,334,828 | ||||||||||
Paper & Packaging – 0.5% | ||||||||||
25,100 | Boise Cascade Corp. | 845,870 | ||||||||
10,000 | Georgia-Pacific Corp. | 320,500 | ||||||||
21,000 | Louisiana-Pacific Corp. | 519,330 | ||||||||
1,685,700 | ||||||||||
Parts & Equipment – 0.8% | ||||||||||
134,800 | Avaya, Inc.* | 2,311,820 | ||||||||
10,600 | Rockwell Automation, Inc. | 322,876 | ||||||||
2,634,696 | ||||||||||
Property Insurance – 5.1% | ||||||||||
60,418 | Fidelity National Financial, Inc. | 2,362,928 | ||||||||
74,600 | Loews Corp. | 4,497,634 | ||||||||
94,200 | MBIA, Inc. | 6,197,418 | ||||||||
49,600 | MGIC Investment Corp. | 3,282,528 | ||||||||
16,340,508 | ||||||||||
Publishing – 0.8% | ||||||||||
33,600 | Deluxe Corp. | 1,323,168 | ||||||||
16,200 | The McGraw-Hill Cos., Inc. | 1,266,354 | ||||||||
2,589,522 | ||||||||||
Regionals – 4.1% | ||||||||||
43,600 | Bank of Hawaii Corp. | 1,989,904 | ||||||||
8,700 | Charter One Financial, Inc. | 315,114 | ||||||||
18,300 | Hudson City Bancorp, Inc. | 711,138 | ||||||||
141,300 | National City Corp. | 5,044,410 | ||||||||
26,600 | North Fork Bancorporation, Inc. | 1,123,318 | ||||||||
10,400 | Silicon Valley Bancshares* | 356,200 | ||||||||
17,500 | SouthTrust Corp. | 588,000 | ||||||||
57,200 | UnionBanCal Corp. | 3,083,652 | ||||||||
13,211,736 | ||||||||||
REITs – 3.0% | ||||||||||
173,700 | Equity Office Properties Trust | 4,957,398 | ||||||||
111,400 | Friedman, Billings, Ramsey Group, Inc. | 2,965,468 | ||||||||
13,400 | General Growth Properties, Inc. | 418,884 | ||||||||
6,700 | Kimco Realty Corp. | 314,565 | ||||||||
17,400 | Mack-Cali Realty Corp. | 740,544 | ||||||||
6,600 | Public Storage, Inc. | 315,018 | ||||||||
9,711,877 | ||||||||||
Retail Apparel – 3.5% | ||||||||||
51,700 | Coach, Inc.* | 2,048,871 | ||||||||
110,200 | Federated Department Stores, Inc. | 5,771,174 | ||||||||
134,500 | Saks, Inc.* | 2,342,990 | ||||||||
13,200 | Sears, Roebuck & Co. | 620,532 | ||||||||
12,100 | Staples, Inc. | 317,262 | ||||||||
11,100,829 | ||||||||||
Semiconductors – 1.3% | ||||||||||
63,700 | Avnet, Inc.* | 1,500,135 | ||||||||
96,800 | Intel Corp. | 2,829,464 | ||||||||
4,329,599 | ||||||||||
Specialty Financials – 3.2% | ||||||||||
109,500 | AmeriCredit Corp.*@ | 2,082,690 | ||||||||
70,200 | Ameritrade Holding Corp.* | 1,142,856 | ||||||||
5,300 | BlackRock, Inc. | 315,350 | ||||||||
158,100 | CIT Group, Inc. | 6,240,207 | ||||||||
9,400 | Franklin Resources, Inc. | 531,100 | ||||||||
10,312,203 | ||||||||||
Telecommunications Equipment – 0.5% | ||||||||||
21,300 | Motorola, Inc. | 392,985 | ||||||||
30,300 | Plantronics, Inc.* | 1,209,576 | ||||||||
1,602,561 | ||||||||||
Telephone – 4.8% | ||||||||||
307,500 | BellSouth Corp. | 8,474,700 | ||||||||
366,600 | Sprint Corp. | 6,499,818 | ||||||||
8,878 | Verizon Communications, Inc. | 340,294 | ||||||||
15,314,812 | ||||||||||
Thrifts – 0.8% | ||||||||||
58,750 | Doral Financial Corp. | 2,004,550 | ||||||||
3,700 | Golden West Financial Corp. | 427,054 | ||||||||
2,431,604 | ||||||||||
Tobacco – 1.5% | ||||||||||
78,200 | R.J. Reynolds Tobacco Holdings, Inc.@ | 4,827,286 | ||||||||
Transports – 1.9% | ||||||||||
9,300 | Overseas Shipholding Group, Inc. | 333,870 | ||||||||
79,700 | United Parcel Service, Inc. Class B | 5,629,211 | ||||||||
5,963,081 | ||||||||||
25
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Wireless – 0.7% | ||||||||||
69,000 | AT&T Wireless Services, Inc.* | $ | 937,020 | |||||||
29,900 | United States Cellular Corp.* | 1,236,365 | ||||||||
2,173,385 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $271,893,625) | $ | 320,025,152 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement – 2.0% | ||||||||||||||||
Joint Repurchase Agreement Account II^ | ||||||||||||||||
$ | 6,400,000 | 1.07 | % | 03/01/2004 | $ | 6,400,000 | ||||||||||
Maturity Value: $6,400,570 | ||||||||||||||||
TOTAL REPURCHASE AGREEMENT | ||||||||||||||||
(Cost $6,400,000) | $ | 6,400,000 | ||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $278,293,625) | $ | 326,425,152 | ||||||||||||||
Shares | ||||||||||
Description | ||||||||||
Securities Lending Collateral – 2.4% | ||||||||||
7,725,825 | Boston Global Investment Trust – Enhanced Portfolio | $ | 7,725,825 | |||||||
TOTAL SECURITIES LENDING COLLATERAL | ||||||||||
(Cost $7,725,825) | $ | 7,725,825 | ||||||||
TOTAL INVESTMENTS | ||||||||||
(Cost $286,019,450) | $ | 334,150,977 | ||||||||
* | Non-income producing security. | |
^ | Joint repurchase agreement was entered into on February 27, 2004. | |
@ | All or part of security is on loan. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
Investment Abbreviations: | ||||||
REIT | — | Real Estate Investment Trust | ||||
26
Shares | Description | Value | ||||||||
Common Stocks – 97.1% | ||||||||||
Australia – 1.3% | ||||||||||
2,823 | Ansell Ltd. (Health & Personal Care) | $ | 15,290 | |||||||
25,263 | Australia & New Zealand Banking Group Ltd. (Banking) | 350,562 | ||||||||
49,232 | BHP Ltd. (Energy Sources) | 468,093 | ||||||||
19,044 | BlueScope Steel Ltd. (Metals-Steel) | 87,172 | ||||||||
25,179 | Boral Ltd. (Building Materials & Components) | 119,424 | ||||||||
11,234 | Brambles Industries Ltd. (Business & Public Services) | 46,321 | ||||||||
97 | Coca-Cola Amatil Ltd. (Beverages & Tobacco) | 495 | ||||||||
3,131 | Coles Myer Ltd. (Merchandising) | 18,810 | ||||||||
4,706 | Commonwealth Bank of Australia (Banking) | 115,346 | ||||||||
50,664 | Deutsche Office Trust (Real Estate) | 43,519 | ||||||||
102,700 | Futuris Corp. Ltd. (Food & Household Products) | 134,966 | ||||||||
77,400 | General Property Trust (Real Estate) | 178,540 | ||||||||
14,196 | Insurance Australia Group Ltd. (Insurance) | 49,417 | ||||||||
75,021 | John Fairfax Holdings Ltd. (Broadcasting & Publishing) | 196,683 | ||||||||
2,691 | Macquarie Bank Ltd. (Financial Services) | 69,027 | ||||||||
19,118 | Mirvac Group (Real Estate) | 68,255 | ||||||||
10,047 | National Australia Bank Ltd. (Banking) | 240,249 | ||||||||
19,412 | Orica Ltd. (Chemicals) | 207,524 | ||||||||
39,265 | Origin Energy Ltd. (Energy Resources) | 170,328 | ||||||||
30,855 | Publishing & Broadcasting Ltd. (Broadcasting & Publishing) | 295,627 | ||||||||
49,575 | QBE Insurance Group Ltd. (Insurance)@ | 423,499 | ||||||||
6,448 | Rio Tinto Ltd. (Metals-Non Ferrous) | 180,298 | ||||||||
7,046 | Sonic Healthcare Ltd. (Health & Personal Care) | 43,579 | ||||||||
111,424 | Telstra Corp. Ltd. (Telecommunications) | 411,358 | ||||||||
5,751 | The News Corp. Ltd. (Broadcasting & Publishing) | 53,866 | ||||||||
4,191 | Wesfarmers Ltd. (Multi-Industry) | 88,923 | ||||||||
48,356 | Westpac Banking Corp. Ltd. (Banking) | 628,853 | ||||||||
23,055 | WMC Resources Ltd.* (Metals-Non Ferrous) | 93,233 | ||||||||
4,799,257 | ||||||||||
Belgium – 2.7% | ||||||||||
10,387 | Colruyt NV (Merchandising) | 1,185,037 | ||||||||
70,588 | Delhaize Group (Merchandising) | 3,843,970 | ||||||||
24,739 | Dexia (Banking) | 457,357 | ||||||||
762 | Electrabel SA (Utilities – Electrical & Gas) | 253,110 | ||||||||
83,551 | Fortis (Financial Services) | 1,928,774 | ||||||||
1,978 | S.A. D’ Ieteren NV (Wholesale and International Trade) | 412,767 | ||||||||
61,420 | UCB SA (Health & Personal Care) | 2,275,694 | ||||||||
10,356,709 | ||||||||||
Finland – 0.4% | ||||||||||
30,500 | Kesko Oyj Series B (Merchandising) | 612,837 | ||||||||
27,400 | Nokia Oyj (Telecommunications) | 597,910 | ||||||||
10,350 | Pohjola Group PLC Series D (Insurance) | 289,059 | ||||||||
1,499,806 | ||||||||||
France – 6.8% | ||||||||||
2,353 | Air France (Transportation – Airlines) | 48,429 | ||||||||
71,956 | BNP Paribas SA (Banking) | 4,561,347 | ||||||||
1,265 | Casino Guichard-Perrachon SA (Merchandising)@ | 125,629 | ||||||||
10,544 | CNP Assurances (Insurance) | 611,417 | ||||||||
54,627 | European Aeronautic Defense and Space Co. (Aerospace & Military Technology)@ | 1,271,392 | ||||||||
103,160 | France Telecom SA* (Telecommunications) | 2,847,370 | ||||||||
91,873 | Renault SA (Automobiles) | 6,403,503 | ||||||||
1,107 | Societe BIC SA (Business & Public Services) | 47,915 | ||||||||
34,600 | Societe Generale Series A (Banking) | 3,080,847 | ||||||||
25,430 | Total SA (Energy Sources) | 4,674,656 | ||||||||
22,937 | Vinci SA (Construction & Housing) | 2,097,493 | ||||||||
25,769,998 | ||||||||||
Germany – 13.1% | ||||||||||
42,619 | Allianz AG (Insurance) | 5,318,005 | ||||||||
51,245 | Bayer AG (Chemicals) | 1,456,582 | ||||||||
100,846 | Continental AG (Industrial Components) | 4,136,663 | ||||||||
175,782 | Deutsche Lufthansa AG (Transportation – Airlines) | 3,149,073 | ||||||||
46,900 | Deutsche Post AG (Business & Public Services) | 1,116,828 | ||||||||
413,450 | Deutsche Telekom AG* (Telecommunications) | 8,103,892 | ||||||||
41,608 | E.On AG (Utilities – Electrical & Gas) | 2,825,669 | ||||||||
30,789 | Merck KGaA (Health & Personal Care) | 1,360,297 | ||||||||
43,338 | Metro AG (Merchandising) | 1,940,032 | ||||||||
188,172 | RWE AG (Utilities – Electrical & Gas) | 8,309,039 | ||||||||
119,055 | Siemens AG (Multi – Industry) | 9,216,273 |
27
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Germany – (continued) | ||||||||||
153,196 | ThyssenKrupp AG (Metals – Steel) | $ | 2,974,172 | |||||||
49,906,525 | ||||||||||
Hong Kong – 3.5% | ||||||||||
24,500 | ASM Pacific Technology Ltd. (Electronic Components & Instruments) | 112,246 | ||||||||
355,385 | Bank of East Asia Ltd. (Banking) | 1,155,157 | ||||||||
411,500 | Boc Hong Kong Holdings Ltd. (Banking) | 841,114 | ||||||||
208,000 | Cathay Pacific Airways Ltd. (Transportation – Airlines) | 423,421 | ||||||||
88,000 | Cheung Kong (Holdings) Ltd. (Real Estate) | 839,861 | ||||||||
216,500 | CLP Holdings Ltd. (Utilities – Electrical & Gas) | 1,115,277 | ||||||||
187,500 | Esprit Holdings Ltd. (Merchandising) | 731,053 | ||||||||
16,000 | Giordano International Ltd. (Merchandising) | 9,661 | ||||||||
292,000 | Hang Lung Properties Ltd. (Real Estate) | 421,727 | ||||||||
19,500 | Hang Seng Bank Ltd. (Banking) | 276,672 | ||||||||
165,500 | Hongkong Electric Holdings Ltd. (Utilities – Electrical & Gas) | 710,038 | ||||||||
18,000 | Hopewell Holdings Ltd. (Transportation – Road & Rail) | 35,032 | ||||||||
184,000 | Hutchison Whampoa Ltd. (Multi-Industry) | 1,549,860 | ||||||||
25,000 | Hysan Development Co. Ltd. (Real Estate) | 47,022 | ||||||||
50,000 | New World Development Co. Ltd. (Real Estate) | 53,955 | ||||||||
551,000 | SmarTone Telecommunications Holdings Ltd. (Telecommunications) | 633,512 | ||||||||
257,000 | Sun Hung Kai Properties Ltd. (Real Estate) | 2,526,012 | ||||||||
95,000 | Swire Pacific Ltd. Series A (Financial Services) | 664,927 | ||||||||
81,000 | Techtronic Industries Co. Ltd. (Appliances & Household Durables) | 267,597 | ||||||||
172,000 | The Wharf (Holdings) Ltd. (Financial Services) | 536,481 | ||||||||
139,000 | Yue Yuen Industrial (Holdings) Ltd. (Textiles & Apparel) | 402,943 | ||||||||
13,353,568 | ||||||||||
Italy – 0.2% | ||||||||||
24,031 | Enel S.p.A. (Utilities – Electrical & Gas) | 186,371 | ||||||||
4,786 | Gruppo Editoriale L’Espresso S.p.A. (Broadcasting & Publishing) | 29,626 | ||||||||
10,250 | Intesa Banca S.p.A. (Banking) | 29,062 | ||||||||
31,978 | Riunione Adriatica di Sicurta S.p.A. (Insurance) | 581,431 | ||||||||
4,759 | SanPaolo IMI S.p.A (Banking) | 61,234 | ||||||||
887,724 | ||||||||||
Japan – 26.4% | ||||||||||
12,000 | Ajinomoto Co., Inc. (Food & Household Products) | 131,144 | ||||||||
301,000 | Alps Electric Co. Ltd. (Electronic Components & Instruments)@ | 3,945,396 | ||||||||
55,100 | Aoyama Trading Co., Ltd. (Merchandising) | 1,110,443 | ||||||||
326,400 | Asahi Breweries, Ltd. (Beverages & Tobacco) | 3,206,181 | ||||||||
154,000 | Asahi Kasei Corp. (Chemicals) | 764,982 | ||||||||
12,700 | Autobacs Seven Co. Ltd. (Merchandising) | 319,142 | ||||||||
31,200 | Benesse Corp. (Business & Public Services) | 787,287 | ||||||||
1,000 | Casio Computer Co., Ltd. (Data Processing & Reproduction) | 10,355 | ||||||||
60,900 | Chubu Electric Power Co., Inc. (Utilities – Electrical & Gas) | 1,304,338 | ||||||||
204,000 | Citizen Watch Co., Ltd. (Electronic Components & Instruments) | 1,785,115 | ||||||||
21,700 | Coca-Cola West Japan Co., Ltd. (Beverages & Tobacco) | 465,823 | ||||||||
128,100 | Daito Trust Construction Co., Ltd. (Construction & Housing) | 4,442,258 | ||||||||
7,000 | Denki Kagaku Kogyo Kabushiki Kaisha (Chemicals) | 20,991 | ||||||||
346 | East Japan Railway Co. (Transportation – Road & Rail) | 1,620,669 | ||||||||
12,500 | Eisai Co., Ltd. (Health & Personal Care) | 340,189 | ||||||||
87,000 | Fuji Photo Film Co., Ltd. (Recreation and Other Consumer Goods) | 2,693,619 | ||||||||
40 | Fuji Television Network, Inc. (Broadcasting & Publishing) | 176,510 | ||||||||
416,000 | Fujitsu Ltd.* (Data Processing & Reproduction) | 2,507,746 | ||||||||
43,000 | Hankyu Department Stores, Inc. (Merchandising) | 330,358 | ||||||||
49,000 | Hino Motor, Ltd. (Machinery & Engineering) | 319,390 | ||||||||
30,100 | Hitachi Chemical Co. Ltd. (Chemicals) | 477,480 | ||||||||
1,016,000 | Hitachi Ltd. (Electronic Components & Instruments) | 6,630,740 | ||||||||
46,000 | Hokugin Financial Group, Inc. (Banking) | 58,534 | ||||||||
1,600 | JFE Holdings, Inc. (Metals – Steel) | 40,544 | ||||||||
4,000 | JGC Corp. (Construction & Housing) | 40,123 | ||||||||
39,000 | Kirin Brewery Co., Ltd. (Beverages & Tobacco) | 355,600 |
28
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Japan – (continued) | ||||||||||
70,000 | Komatsu Ltd. (Machinery & Engineering) | $ | 426,003 | |||||||
19,000 | Koyo Seiko Co., Ltd. (Machinery & Engineering)@ | 186,452 | ||||||||
19,000 | Kuraray Co., Ltd. (Chemicals) | 150,525 | ||||||||
7,600 | Kurita Water Industries Ltd. (Machinery & Engineering) | 88,026 | ||||||||
20,900 | Kyocera Corp. (Electronic Components & Instruments) | 1,536,716 | ||||||||
19,300 | Kyushu Electric Power Co., Inc. (Utilities – Electrical & Gas) | 336,999 | ||||||||
2,000 | Matsushita Electric Industrial Co., Ltd. (Appliances & Household Durables) | 29,000 | ||||||||
13,100 | Meitec Corp. (Business & Public Services) | 464,725 | ||||||||
609,000 | Mitsubishi Chemical Corp. (Chemicals) | 1,555,206 | ||||||||
30,000 | Mitsubishi Corp. (Wholesale and International Trade) | 297,454 | ||||||||
173,000 | Mitsubishi Electric Corp. (Electrical & Electronics) | 832,773 | ||||||||
215,000 | Mitsubishi Rayon Co., Ltd. (Chemicals) | 747,652 | ||||||||
141 | Mitsubishi Tokyo Financial Group, Inc. (Banking) | 1,091,242 | ||||||||
144,000 | Mitsui O.S.K. Lines, Ltd. (Transportation – Shipping) | 691,811 | ||||||||
78,000 | Mitsui Sumitomo Insurance Co., Ltd. (Insurance) | 688,326 | ||||||||
2,183 | Mizuho Financial Group, Inc. (Banking) | 6,606,174 | ||||||||
58,100 | Namco Ltd. (Business & Public Services) | 1,436,291 | ||||||||
20,000 | NEC Corp. (Electrical & Electronics) | 146,864 | ||||||||
62,000 | Nippon Shokubai Co., Ltd. (Chemicals) | 429,661 | ||||||||
745,000 | Nippon Steel Corp. (Metals – Steel) | 1,459,466 | ||||||||
1,377 | Nippon Telephone & Telegraph Corp. (Telecommunications) | 6,392,619 | ||||||||
204,800 | Nissan Motor Co. Ltd. (Automobiles) | 2,266,427 | ||||||||
22,000 | NTN Corp. (Machinery & Engineering) | 99,917 | ||||||||
404,000 | Oji Paper Co., Ltd. (Forestry & Paper Products) | 2,387,576 | ||||||||
25,000 | Olympus Optical Co., Ltd. (Health & Personal Care) | 521,226 | ||||||||
17,200 | Omron Corp. (Electronic Components & Instruments) | 375,220 | ||||||||
11,100 | Orix Corp. (Financial Services) | 1,025,970 | ||||||||
41,700 | Pioneer Corp. (Appliances & Household Durables)@ | 1,156,042 | ||||||||
17,800 | Promise Co. Ltd. (Financial Services) | 1,080,418 | ||||||||
59,000 | Sanden Corp. (Industrial Components)@ | 353,340 | ||||||||
24,500 | Sankyo Co. (Recreation and Other Consumer Goods) | 872,693 | ||||||||
88,000 | Sankyo Co., Ltd. (Health & Personal Care) | 1,906,736 | ||||||||
53,000 | Seiko Epson Corp. (Electronic Components & Instruments) | 1,863,139 | ||||||||
142,000 | Seino Transportation Co., Ltd. (Transportation – Road & Rail)@ | 1,232,926 | ||||||||
1,000 | Sekisui House Ltd. (Construction & Housing) | 9,585 | ||||||||
279,000 | Sumitomo Corp. (Wholesale and International Trade) | 2,179,407 | ||||||||
230,000 | Sumitomo Electric Industries, Ltd. (Metals – Non Ferrous) | 1,973,923 | ||||||||
15 | Sumitomo Mitsui Financial Group, Inc. (Banking) | 83,653 | ||||||||
251,000 | Taiheiyo Cement Corp. (Building Materials & Components) | 635,790 | ||||||||
59,000 | Taisho Pharmaceutical Co., Ltd. (Health & Personal Care) | 1,064,036 | ||||||||
21,600 | Takeda Chemical Industries Ltd. (Health & Personal Care) | 892,616 | ||||||||
27,330 | Takefuji Corp. (Financial Services)@ | 1,957,705 | ||||||||
700 | TDK Corp. (Electronic Components & Instruments) | 48,937 | ||||||||
2,000 | Teijin Ltd. (Chemicals) | 5,906 | ||||||||
50,000 | The Bank of Yokohama Ltd. (Banking)@ | 209,128 | ||||||||
27,700 | Tohoku Electric Power Co., Inc. (Utilities – Electrical & Gas) | 465,057 | ||||||||
14,400 | Tokyo Broadcasting System, Inc. (Broadcasting & Publishing) | 234,964 | ||||||||
400,000 | Tokyo Gas Co., Ltd. (Utilities – Electrical & Gas) | 1,486,703 | ||||||||
14,000 | TonenGeneral Sekiyu K.K. (Energy Sources) | 112,534 | ||||||||
155,000 | Toppan Printing Co., Ltd. (Business & Public Services) | 1,814,849 | ||||||||
475,000 | Toray Industries, Inc. (Chemicals) | 1,815,699 | ||||||||
190,000 | Tosho Corp. (Chemicals) | 663,199 | ||||||||
77,000 | Toyobo Co., Ltd. (Textiles & Apparel) | 168,141 | ||||||||
214,100 | Toyota Motor Corp. (Automobiles) | 7,399,203 | ||||||||
34,000 | UNY Co. Ltd. (Merchandising) | 382,809 | ||||||||
161 | West Japan Railway (Transportation – Road & Rail)@ | 587,010 | ||||||||
87,100 | Yamaha Corp. (Recreation and Other Consumer Goods) | 1,617,529 | ||||||||
100,428,955 | ||||||||||
29
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Netherlands – 6.1% | ||||||||||
152,812 | ABN AMRO Holding NV (Banking) | $ | 3,543,679 | |||||||
268,383 | Aegon NV (Insurance) | 3,955,506 | ||||||||
127,282 | Akzo Nobel NV (Chemicals) | 4,920,074 | ||||||||
15,524 | ING Groep NV (Financial Services) | 379,807 | ||||||||
102,385 | Koninklijke (Royal) KPN NV* (Telecommunications) | 808,877 | ||||||||
15,039 | Koninklijke (Royal) Philips Electronics NV (Appliances & Household Durables) | 457,271 | ||||||||
44,355 | Koninklijke Numico NV* (Food & Household Products) | 1,463,486 | ||||||||
97,084 | Oce NV (Electronic Components & Instruments)@ | 1,875,159 | ||||||||
86,079 | Royal Dutch Petroleum Co. (Energy Sources) | 4,274,224 | ||||||||
15,183 | Unilever NV (Food & Household Products) | 1,100,098 | ||||||||
4,589 | Wereldhave NV (Real Estate) | 382,314 | ||||||||
23,160,495 | ||||||||||
Norway – 2.2% | ||||||||||
34,400 | Frontline Ltd. (Energy Sources) | 1,101,121 | ||||||||
65,540 | Norsk Hydro ASA (Energy Sources) | 4,722,479 | ||||||||
31,600 | Orkla ASA (Beverages & Tobacco) | 897,179 | ||||||||
8,400 | Schibsted ASA (Broadcasting & Publishing) | 164,956 | ||||||||
73,200 | Statoil ASA (Energy Sources) | 867,679 | ||||||||
11,200 | Storebrand ASA (Insurance) | 76,003 | ||||||||
92,400 | Telenor ASA (Telecommunications) | 632,608 | ||||||||
8,462,025 | ||||||||||
Singapore – 4.7% | ||||||||||
1,511,000 | Capitaland Ltd. (Real Estate) | 1,593,566 | ||||||||
323,000 | Chartered Semiconductor Manufacturing Ltd.* (Electronic Components & Instruments) | 323,500 | ||||||||
68,850 | Creative Technology Ltd. (Electronic Components & Instruments) | 721,815 | ||||||||
175,000 | Cycle & Carriage Ltd. (Wholesale and International Trade) | 632,519 | ||||||||
308,000 | DBS Group Holdings Ltd. (Banking) | 2,664,290 | ||||||||
83,500 | Fraser & Neave Ltd. (Beverages & Tobacco) | 696,753 | ||||||||
221,000 | Keppel Corp. Ltd. (Multi – Industry) | 948,024 | ||||||||
106,000 | Keppel Land Ltd. (Real Estate) | 119,595 | ||||||||
333,000 | Oversea-Chinese Banking Corp. Ltd. (Banking) | 2,488,456 | ||||||||
7,000 | Overseas Union Enterprise Ltd. (Leisure & Tourism) | 26,943 | ||||||||
409,000 | Parkway Holdings Ltd. (Business & Public Services) | 248,355 | ||||||||
305,000 | SembCorp Marine Ltd. (Multi – Industry) | 256,295 | ||||||||
306,000 | Singapore Airlines Ltd. (Transportation – Airlines) | 2,084,915 | ||||||||
419,000 | Singapore Exchange Ltd. (Financial Services) | 433,342 | ||||||||
222,000 | Singapore Post Ltd. (Business & Public Services) | 97,840 | ||||||||
14,000 | Singapore Press Holdings Ltd. (Broadcasting & Publishing) | 153,019 | ||||||||
246,000 | Singapore Technologies Engineering Ltd. (Aerospace & Military Technology) | 300,679 | ||||||||
1,496,000 | Singapore Telecommunications Ltd. (Telecommunications) | 2,043,703 | ||||||||
280,000 | SMRT Corp. Ltd. (Transportation – Road & Rail) | 96,254 | ||||||||
28,000 | ST Assembly Test Services Ltd.* (Electronic Components & Instruments) | 30,935 | ||||||||
214,000 | United Overseas Bank Ltd. (Banking) | 1,769,940 | ||||||||
163,000 | United Overseas Land Ltd. (Real Estate) | 196,391 | ||||||||
17,927,129 | ||||||||||
Spain – 2.6% | ||||||||||
2 | Antena 3 Television SA* (Media) | 89 | ||||||||
312,511 | Banco Santander Central Hispano SA (Banking) | 3,615,106 | ||||||||
108,446 | Corporacion Mapfre SA (Insurance) | 1,594,719 | ||||||||
14,413 | Iberia Lineas Aereas de Espana SA (Transportation – Airlines) | 50,104 | ||||||||
28,967 | Indra Sistemas SA (Business & Public Services) | 395,020 | ||||||||
194,018 | Repsol SA (Energy Sources) | 3,993,744 | ||||||||
9,193 | Telefonica de Espana SA (Telecommunications) | 149,642 | ||||||||
9,798,424 | ||||||||||
Sweden – 2.3% | ||||||||||
21,000 | Alfa Laval AB (Machinery & Engineering) | 282,713 | ||||||||
3,500 | Gambro AB Series A (Health & Personal Care) | 29,691 | ||||||||
74,900 | Gambro AB Series B (Health & Personal Care) | 625,479 | ||||||||
8,000 | Getinge AB Series B (Health & Personal Care) | 85,935 | ||||||||
472,500 | Nordea Bank AB (Banking) | 3,281,924 | ||||||||
30,000 | OMHEX AB (Financial Services) | 470,435 | ||||||||
17,500 | SAS AB* (Transportation – Airlines) | 161,354 | ||||||||
140,900 | Skandinaviska Enskilda Banken AB (Banking)@ | 2,094,897 |
30
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Sweden – (continued) | ||||||||||
2,900 | SKF AB (Machinery & Engineering) | $ | 107,540 | |||||||
28,400 | SSAB Svenskt Stal AB (Metals – Steel) | 512,242 | ||||||||
302,000 | Telefonaktiebolaget LM Ericsson Series B* (Telecommunications) | 874,412 | ||||||||
3,600 | Trelleborg AB Series B (Industrial Components) | 66,171 | ||||||||
3,200 | Volvo AB Series B (Machinery & Engineering) | 100,628 | ||||||||
8,693,421 | ||||||||||
Switzerland – 1.6% | ||||||||||
36,213 | Credit Suisse Group (Financial Services) | 1,322,282 | ||||||||
55 | Geberit AG (Building Materials & Components) | 28,093 | ||||||||
510 | Kuoni Reisen Holding AG (Leisure & Tourism) | 186,831 | ||||||||
49,273 | Logitech International SA* (Electronic Components & Instruments) | 2,369,917 | ||||||||
12,073 | Zurich Financial Services AG (Insurance) | 1,974,405 | ||||||||
5,881,528 | ||||||||||
United Kingdom – 23.2% | ||||||||||
206,980 | Alliance Unichem PLC (Health & Personal Care) | 2,064,374 | ||||||||
34,742 | AstraZeneca PLC (Health & Personal Care) | 1,658,910 | ||||||||
5,694 | BAA PLC (Business & Public Services) | 55,521 | ||||||||
1,173,032 | Barclays PLC (Banking) | 10,587,236 | ||||||||
81,305 | BG Group PLC (Energy Sources) | 478,811 | ||||||||
403,412 | BHP Billiton PLC (Metals – Non Ferrous) | 3,704,109 | ||||||||
31,456 | BP PLC ADR (Energy Sources) | 1,547,635 | ||||||||
819,950 | BP PLC (Energy Sources) | 6,632,852 | ||||||||
506,337 | British Airways PLC* (Transportation – Airlines) | 2,955,641 | ||||||||
6,675 | British American Tobacco PLC (Beverages & Tobacco) | 101,941 | ||||||||
5,974 | British Land Co. PLC (Real Estate) | 71,691 | ||||||||
896,135 | BT Group PLC (Telecommunications) | 2,944,911 | ||||||||
58,285 | Bunzl PLC (Business & Public Services) | 483,066 | ||||||||
98,583 | Cable & Wireless PLC (Telecommunications) | 258,849 | ||||||||
313,970 | CGNU PLC (Insurance) | 3,276,893 | ||||||||
58,700 | De La Rue PLC (Business & Public Services) | 340,073 | ||||||||
3,666 | Diageo PLC (Beverages & Tobacco) | 50,917 | ||||||||
7,852 | EMAP PLC (Broadcasting & Publishing) | 132,401 | ||||||||
381,019 | Firstgroup PLC (Transportation – Road & Rail) | 1,827,501 | ||||||||
196,423 | George Wimpey PLC (Construction & Housing) | 1,410,259 | ||||||||
169,279 | GKN PLC (Industrial Components) | 859,351 | ||||||||
58,079 | GlaxoSmithKline PLC ADR (Health & Personal Care) | 2,475,327 | ||||||||
68,426 | GUS PLC (Merchandising) | 927,838 | ||||||||
111,695 | HBOS PLC (Banking) | 1,514,739 | ||||||||
281,095 | IMI PLC (Machinery & Engineering) | 1,840,654 | ||||||||
438,021 | ITV PLC (Broadcasting & Publishing) | 1,127,810 | ||||||||
97,119 | J Sainsbury PLC (Merchandising) | 539,597 | ||||||||
15,400 | Kelda Group PLC (Utilities – Electrical & Gas) | 127,687 | ||||||||
210,276 | Kingfisher PLC (Merchandising) | 1,165,965 | ||||||||
54,610 | Land Securities Group PLC (Real Estate) | 1,118,041 | ||||||||
339,244 | Lloyds TSB Group PLC (Banking) | 2,848,487 | ||||||||
41,482 | Man Group PLC (Financial Services) | 1,187,792 | ||||||||
25,516 | MFI Furniture Group PLC (Appliances & Household Durables) | 70,086 | ||||||||
524,983 | National Grid Transco PLC (Utilities – Electrical & Gas) | 4,214,588 | ||||||||
62,495 | Persimmon PLC (Construction & Housing) | 661,979 | ||||||||
94,267 | Provident Financial PLC (Financial Services) | 1,303,899 | ||||||||
14,400 | Prudential PLC (Insurance) | 132,329 | ||||||||
2,651 | Reckitt Benckiser PLC (Food & Household Products) | 69,402 | ||||||||
20,800 | Rentokil Initial PLC (Business & Public Services) | 75,560 | ||||||||
126,767 | Reuters Group PLC (Broadcasting & Publishing) | 911,026 | ||||||||
289,005 | Rexam PLC (Misc. Materials & Commodities) | 2,433,855 | ||||||||
55,333 | RMC Group PLC (Building Materials & Components) | 711,053 | ||||||||
459,648 | SABMiller PLC (Beverages & Tobacco) | 4,816,521 | ||||||||
5,300 | Safeway PLC (Merchandising) | 30,037 | ||||||||
158,913 | Scottish Power PLC (Utilities – Electrical & Gas) | 1,085,130 | ||||||||
11,800 | Shell Transport & Trading Co. PLC (Energy Sources) | 81,133 | ||||||||
31,525 | Shell Transport & Trading Co. PLC ADR (Energy Sources)@ | 1,326,887 | ||||||||
67,353 | Smith & Nephew PLC (Health & Personal Care) | 655,501 | ||||||||
274,861 | Tate & Lyle PLC (Food & Household Products) | 1,476,734 |
31
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
United Kingdom – (continued) | ||||||||||
297,613 | Taylor Woodrow PLC (Construction & Housing) | $ | 1,499,146 | |||||||
63,704 | Tesco PLC (Merchandising) | 304,885 | ||||||||
273,204 | Unilever PLC* (Food & Household Products) | 2,871,030 | ||||||||
202,363 | Vodafone Group PLC ADR (Telecommunications) | 5,053,004 | ||||||||
32,977 | Whitbread PLC (Leisure & Tourism) | 451,988 | ||||||||
167,496 | William Hill PLC (Leisure & Tourism) | 1,547,576 | ||||||||
88,100,228 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $311,779,763) | $ | 369,025,792 | ||||||||
Preferred Stocks – 0.4% | ||||||||||
Australia – 0.1% | ||||||||||
19,757 | The News Corp. Ltd. (Broadcasting & Publishing) | $ | 162,157 | |||||||
Germany – 0.3% | ||||||||||
727 | Porsche AG (Automobiles) | 423,134 | ||||||||
36,839 | ProSiebenSat.1 Media AG (Broadcasting & Publishing) | 779,593 | ||||||||
1,202,727 | ||||||||||
TOTAL PREFERRED STOCKS | ||||||||||
(Cost $996,232) | $ | 1,364,884 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Government Agency Security – 0.3% | ||||||||||||||||
United States – 0.3% | ||||||||||||||||
Federal Home Loan Mortgage Discount Notes | ||||||||||||||||
$ | 1,000,000 | 1.00 | % | 03/25/2004 | $ | 998,220 | ||||||||||
TOTAL GOVERNMENT AGENCY SECURITY | ||||||||||||||||
(Cost $999,300) | $ | 998,220 | ||||||||||||||
Short-Term Obligation – 4.2% | ||||||||||||||||
State Street Bank & Trust Euro – Time Deposit | ||||||||||||||||
15,968,000 | 0.94 | % | 03/01/2004 | $ | 15,968,000 | |||||||||||
TOTAL SHORT-TERM OBLIGATION | ||||||||||||||||
(Cost $15,968,000) | $ | 15,968,000 | ||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $329,743,295) | $ | 387,356,896 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 3.5% | ||||||||||
13,506,316 | Boston Global Investment Trust – Enhanced Portfolio | $ | 13,506,316 | |||||||
TOTAL SECURITIES LENDING COLLATERAL | ||||||||||
(Cost $13,506,316 ) | $ | 13,506,316 | ||||||||
TOTAL INVESTMENTS | ||||||||||
(Cost $343,249,611) | $ | 400,863,212 | ||||||||
* | Non-income producing security. | |
@ | All or part of security is on loan. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
Investment Abbreviations: | ||||||
ADR | — | American Depositary Receipt | ||||
32
As % of | ||||||
Net Assets | ||||||
Common and Preferred Stock Industry Classifications† | ||||||
Aerospace & Military Technology | 0.4 | % | ||||
Appliances & Household Durables | 0.5 | |||||
Automobiles | 4.3 | |||||
Banking | 14.3 | |||||
Beverages & Tobacco | 2.8 | |||||
Broadcasting & Publishing | 1.2 | |||||
Building Materials & Components | 0.4 | |||||
Business & Public Services | 1.9 | |||||
Chemicals | 3.5 | |||||
Construction & Housing | 2.7 | |||||
Data Processing & Reproduction | 0.7 | |||||
Electrical & Electronics | 0.3 | |||||
Electronic Components & Instruments | 5.7 | |||||
Energy Resources | 0.0 | |||||
Energy Sources | 8.0 | |||||
Financial Services | 3.3 | |||||
Food & Household Products | 1.9 | |||||
Forestry & Paper Products | 0.6 | |||||
Health & Personal Care | 4.2 | |||||
Industrial Components | 1.4 | |||||
Insurance | 5.0 | |||||
Leisure & Tourism | 0.6 | |||||
Machinery & Engineering | 0.9 | |||||
Media | 0.0 | |||||
Merchandising | 3.6 | |||||
Metals – Non Ferrous | 1.6 | |||||
Metals – Steel | 1.3 | |||||
Misc. Materials & Commodities | 0.6 | |||||
Multi – Industry | 3.2 | |||||
Real Estate | 2.0 | |||||
Recreation and Other Consumer Goods | 1.4 | |||||
Telecommunications | 8.4 | |||||
Textiles & Apparel | 0.1 | |||||
Transportation – Airlines | 2.3 | |||||
Transportation – Road & Rail | 1.4 | |||||
Transportation – Shipping | 0.2 | |||||
Utilities – Electrical & Gas | 5.9 | |||||
Wholesale and International Trade | 0.9 | |||||
TOTAL COMMON AND PREFERRED STOCK | 97.5 | % | ||||
† | Industry concentrations greater than one tenth of one percent are disclosed. |
33
CORE U.S. | |||||||
Equity Fund | |||||||
Assets: | |||||||
Investment in securities, at value (identified cost $587,448,538, $305,385,006, $245,452,690, $278,293,625 and $329,743,295 respectively) | $ | 728,831,383 | |||||
Securities lending collateral, at value | 18,377,300 | ||||||
Cash(a) | 719,993 | ||||||
Foreign currencies, at value (identified cost $410,940, CORE International Equity Fund) | — | ||||||
Receivables: | |||||||
Investment securities sold, at value | 7,743,725 | ||||||
Fund shares sold | 1,142,704 | ||||||
Dividends and interest, at value | 1,346,970 | ||||||
Variation margin | 1,054 | ||||||
Reimbursement from adviser | 61,540 | ||||||
Securities lending income | 4,708 | ||||||
Other assets | 22,081 | ||||||
Total assets | 758,251,458 | ||||||
Liabilities: | |||||||
Due to custodian | — | ||||||
Payables: | |||||||
Investment securities purchased, at value | 2,465,599 | ||||||
Payable upon return of securities loaned | 18,377,300 | ||||||
Fund shares repurchased | 4,931,925 | ||||||
Amounts owed to affiliates | 712,122 | ||||||
Accrued expenses | 33,884 | ||||||
Total liabilities | 26,520,830 | ||||||
Net Assets: | |||||||
Paid-in capital | 739,153,122 | ||||||
Accumulated undistributed net investment income (loss) | 1,528,119 | ||||||
Accumulated net realized gain (loss) on investment, futures and foreign currency related transactions | (150,334,512 | ) | |||||
Net unrealized gain on investments, futures and translation of assets and liabilities denominated in foreign currencies | 141,383,899 | ||||||
NET ASSETS | $ | 731,730,628 | |||||
Net asset value, offering and redemption price per share:(b) | |||||||
Class A | $26.24 | ||||||
Class B | $24.88 | ||||||
Class C | $24.79 | ||||||
Institutional | $26.70 | ||||||
Service | $26.03 | ||||||
Shares Outstanding: | |||||||
Class A | 15,475,347 | ||||||
Class B | 5,228,237 | ||||||
Class C | 1,649,561 | ||||||
Institutional | 5,441,950 | ||||||
Service | 358,998 | ||||||
Total shares of beneficial interest outstanding, $.001 par value (unlimited shares authorized) | 28,154,093 | ||||||
(a) | Includes restricted cash of $625,000, $625,000, $250,000 and $399,500, respectively for the CORE U.S. Equity, CORE Large Cap Growth, CORE Small Cap Equity and CORE Large Cap Value Funds relating to initial margin requirements on futures transactions. |
(b) | Maximum public offering price per share (NAV per share multiplied by 1.0582) for Class A Shares of the CORE U.S. Equity, CORE Large Cap Growth, CORE Small Cap Equity, CORE Large Cap Value and CORE International Equity Funds is $27.77, $12.31, $13.83, $11.82 and $10.03, respectively. At redemption, Class B and Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current NAV or the original purchase price of the shares. |
CORE Large Cap | CORE Small Cap | CORE Large Cap | CORE International | |||||||||||||
Growth Fund | Equity Fund | Value Fund | Equity Fund | |||||||||||||
$ | 367,225,476 | $ | 303,483,310 | $ | 326,425,152 | $ | 387,356,896 | |||||||||
10,071,050 | 24,093,021 | 7,725,825 | 13,506,316 | |||||||||||||
625,000 | 274,757 | 447,763 | 813 | |||||||||||||
— | — | — | 407,065 | |||||||||||||
22,003,405 | — | 31,134,204 | 25,810,796 | |||||||||||||
315,977 | 1,844,238 | 595,040 | 992,379 | |||||||||||||
540,979 | 124,930 | 556,782 | 580,746 | |||||||||||||
2,571 | 35,022 | 2,276 | 437,083 | |||||||||||||
47,745 | 52,344 | 23,170 | — | |||||||||||||
7,834 | 26,751 | 2,671 | 9,985 | |||||||||||||
8,479 | 8,184 | 20,210 | 4,204 | |||||||||||||
400,848,516 | 329,942,557 | 366,933,093 | 429,106,283 | |||||||||||||
459,582 | — | — | — | |||||||||||||
20,655,599 | — | 37,379,691 | 35,210,756 | |||||||||||||
10,071,050 | 24,093,021 | 7,725,825 | 13,506,316 | |||||||||||||
879,886 | 598,618 | 388,611 | 59,493 | |||||||||||||
378,009 | 284,613 | 223,573 | 345,119 | |||||||||||||
37,642 | 40,652 | 25,296 | 77,988 | |||||||||||||
32,481,768 | 25,016,904 | 45,742,996 | 49,199,672 | |||||||||||||
636,023,282 | 233,341,812 | 300,129,060 | 413,819,589 | |||||||||||||
(381,859 | ) | 28,283 | 542,505 | 319,170 | ||||||||||||
(329,116,921 | ) | 13,498,545 | (27,615,503 | ) | (91,993,624 | ) | ||||||||||
61,842,246 | 58,057,013 | 48,134,035 | 57,761,476 | |||||||||||||
$ | 368,366,748 | $ | 304,925,653 | $ | 321,190,097 | $ | 379,906,611 | |||||||||
$ | 11.63 | $ | 13.07 | $ | 11.17 | $ | 9.48 | |||||||||
$ | 11.07 | $ | 12.39 | $ | 11.08 | $ | 9.38 | |||||||||
$ | 11.07 | $ | 12.43 | $ | 11.10 | $ | 9.38 | |||||||||
$ | 11.87 | $ | 13.34 | $ | 11.16 | $ | 9.64 | |||||||||
$ | 11.54 | $ | 12.96 | $ | 11.20 | $ | 9.52 | |||||||||
10,998,804 | 7,718,035 | 8,606,477 | 12,146,801 | |||||||||||||
8,483,181 | 1,828,986 | 1,840,329 | 739,072 | |||||||||||||
3,307,232 | 1,841,761 | 1,503,420 | 454,421 | |||||||||||||
9,221,916 | 7,948,248 | 16,804,352 | 26,309,152 | |||||||||||||
35,689 | 4,046,026 | 37,451 | 3,980 | |||||||||||||
32,046,822 | 23,383,056 | 28,792,029 | 39,653,426 | |||||||||||||
CORE U.S. | |||||||
Equity Fund | |||||||
Investment income: | |||||||
Dividends(a) | $ | 5,686,835 | |||||
Interest (including securities lending income of $28,382, $49,337, $218,306, $13,581 and $62,216, respectively) | 40,223 | ||||||
Total income | 5,727,058 | ||||||
Expenses: | |||||||
Management fees | 2,575,610 | ||||||
Distribution and Service fees(b) | 1,283,065 | ||||||
Transfer Agent fees(b) | 540,988 | ||||||
Custody and accounting fees | 33,487 | ||||||
Service share fees | 21,071 | ||||||
Registration fees | 31,801 | ||||||
Printing fees | 22,163 | ||||||
Professional fees | 19,659 | ||||||
Trustee fees | 6,143 | ||||||
Other | 23,047 | ||||||
Total expenses | 4,557,034 | ||||||
Less — expense reductions | (294,384 | ) | |||||
Net expenses | 4,262,650 | ||||||
NET INVESTMENT INCOME (LOSS) | 1,464,408 | ||||||
Realized and unrealized gain (loss) on investment, futures and foreign currency transactions: | |||||||
Net realized gain (loss) from: | |||||||
Investment transactions | 48,578,674 | ||||||
Futures transactions | 477,308 | ||||||
Foreign currency related transactions | — | ||||||
Net change in unrealized gain (loss) on: | |||||||
Investments | 54,939,443 | ||||||
Futures | 209 | ||||||
Translation of assets and liabilities denominated in foreign currencies | — | ||||||
Net realized and unrealized gain on investment, futures and foreign currency related transactions | 103,995,634 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 105,460,042 | |||||
(a) | For the CORE Large Cap Growth, CORE Small Cap Equity, CORE Large Cap Value and CORE International Equity Funds, foreign taxes withheld on dividends were $326, $1,479, $982 and $227,506, respectively. |
(b) | Class specific Distribution and Service and Transfer Agent fees were as follows: |
Distribution and Service Fees | Transfer Agent Fees | |||||||||||||||
Fund | Class A | Class B | Class C | Class A | Class B | Class C | Institutional | Service | ||||||||
CORE U.S. Equity Fund | $469,251 | $619,242 | $194,572 | $356,629 | $117,656 | $36,969 | $28,048 | $1,686 | ||||||||
CORE Large Cap Growth Fund | 161,970 | 463,537 | 182,683 | 123,097 | 88,072 | 34,710 | 24,089 | 87 | ||||||||
CORE Small Cap Equity Fund | 121,260 | 107,484 | 95,290 | 92,158 | 20,422 | 18,105 | 19,966 | 9,876 | ||||||||
CORE Large Cap Value Fund | 107,915 | 94,815 | 73,568 | 82,015 | 18,015 | 13,978 | 33,061 | 75 | ||||||||
CORE International Equity Fund | 243,890 | 31,600 | 20,045 | 92,677 | 6,004 | 3,809 | 40,619 | 7 |
36
CORE Large Cap | CORE Small Cap | CORE Large Cap | CORE International | |||||||||||||
Growth Fund | Equity Fund | Value Fund | Equity Fund | |||||||||||||
$ | 2,020,601 | $ | 1,525,006 | $ | 3,006,781 | $ | 2,249,011 | |||||||||
51,278 | 226,645 | 14,581 | 97,633 | |||||||||||||
2,071,879 | 1,751,651 | 3,021,362 | 2,346,644 | |||||||||||||
1,423,874 | 1,218,783 | 857,064 | 1,321,802 | |||||||||||||
808,190 | 324,034 | 276,298 | 295,535 | |||||||||||||
270,055 | 160,527 | 147,144 | 143,116 | |||||||||||||
29,942 | 41,515 | 16,809 | 223,849 | |||||||||||||
1,085 | 123,449 | 931 | 87 | |||||||||||||
25,742 | 28,290 | 32,665 | 21,240 | |||||||||||||
22,163 | 22,163 | 22,163 | 19,565 | |||||||||||||
17,528 | 16,566 | 16,563 | 16,451 | |||||||||||||
6,143 | 6,143 | 6,143 | 6,143 | |||||||||||||
21,258 | 20,071 | 20,248 | 3,119 | |||||||||||||
2,625,980 | 1,961,541 | 1,396,028 | 2,050,907 | |||||||||||||
(172,242 | ) | (71,955 | ) | (23,170 | ) | (99,092 | ) | |||||||||
2,453,738 | 1,889,586 | 1,372,858 | 1,951,815 | |||||||||||||
(381,859 | ) | (137,935 | ) | 1,648,504 | 394,829 | |||||||||||
27,553,648 | 28,948,423 | 15,586,843 | 26,702,667 | |||||||||||||
110,579 | 416,644 | 267,137 | 1,624,893 | |||||||||||||
— | — | — | (76,409 | ) | ||||||||||||
18,172,023 | 20,662,346 | 32,055,663 | 37,890,547 | |||||||||||||
(19,409 | ) | (375,667 | ) | (45,004 | ) | 84,841 | ||||||||||
— | — | — | 10,609 | |||||||||||||
45,816,841 | 49,651,746 | 47,864,639 | 66,237,148 | |||||||||||||
$ | 45,434,982 | $ | 49,513,811 | $ | 49,513,143 | $ | 66,631,977 | |||||||||
37
CORE U.S. | |||||||
Equity Fund | |||||||
From operations: | |||||||
Net investment income (loss) | $ | 1,464,408 | |||||
Net realized gain on investment, futures and foreign currency related transactions | 49,055,982 | ||||||
Net change in unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies | 54,939,652 | ||||||
Net increase in net assets resulting from operations | 105,460,042 | ||||||
Distributions to shareholders: | |||||||
From net investment income | |||||||
Class A Shares | (1,131,846 | ) | |||||
Class B Shares | — | ||||||
Class C Shares | — | ||||||
Institutional Shares | (922,054 | ) | |||||
Service Shares | (22,834 | ) | |||||
From net realized gain | |||||||
Class A Shares | — | ||||||
Class B Shares | — | ||||||
Class C Shares | — | ||||||
Institutional Shares | — | ||||||
Service Shares | — | ||||||
Total distributions to shareholders | (2,076,734 | ) | |||||
From share transactions: | |||||||
Proceeds from sales of shares | 57,783,025 | ||||||
Reinvestment of dividends and distributions | 1,984,359 | ||||||
Cost of shares repurchased | (77,806,095 | ) | |||||
Net increase (decrease) in net assets resulting from share transactions | (18,038,711 | ) | |||||
TOTAL INCREASE (DECREASE) | 85,344,597 | ||||||
Net assets: | |||||||
Beginning of period | 646,386,031 | ||||||
End of period | $ | 731,730,628 | |||||
Accumulated undistributed net investment income (loss) | $ | 1,528,119 | |||||
38
CORE Large Cap | CORE Small Cap | CORE Large Cap | CORE International | |||||||||||||
Growth Fund | Equity Fund | Value Fund | Equity Fund | |||||||||||||
$ | (381,859 | ) | $ | (137,935 | ) | $ | 1,648,504 | $ | 394,829 | |||||||
27,664,227 | 29,365,067 | 15,853,980 | 28,251,151 | |||||||||||||
18,152,614 | 20,286,679 | 32,010,659 | 37,985,997 | |||||||||||||
45,434,982 | 49,513,811 | 49,513,143 | 66,631,977 | |||||||||||||
— | (129,918 | ) | (424,950 | ) | (724,569 | ) | ||||||||||
— | — | (26,467 | ) | (18,524 | ) | |||||||||||
— | — | (20,613 | ) | (10,825 | ) | |||||||||||
— | (393,859 | ) | (1,109,015 | ) | (2,501,245 | ) | ||||||||||
— | (73,705 | ) | (1,731 | ) | (332 | ) | ||||||||||
— | (5,267,801 | ) | — | — | ||||||||||||
— | (1,224,986 | ) | — | — | ||||||||||||
— | (1,065,928 | ) | — | — | ||||||||||||
— | (5,036,867 | ) | — | — | ||||||||||||
— | (2,716,821 | ) | — | — | ||||||||||||
— | (15,909,885 | ) | (1,582,776 | ) | (3,255,495 | ) | ||||||||||
31,927,502 | 66,530,988 | 41,564,901 | 93,397,004 | |||||||||||||
— | 13,377,046 | 1,566,419 | 3,188,482 | |||||||||||||
(78,883,499 | ) | (86,529,632 | ) | (26,998,102 | ) | (42,342,260 | ) | |||||||||
(46,955,997 | ) | (6,621,598 | ) | 16,133,218 | 54,243,226 | |||||||||||
(1,521,015 | ) | 26,982,328 | 64,063,585 | 117,619,708 | ||||||||||||
369,887,763 | 277,943,325 | 257,126,512 | 262,286,903 | |||||||||||||
$ | 368,366,748 | $ | 304,925,653 | $ | 321,190,097 | $ | 379,906,611 | |||||||||
$ | (381,859 | ) | $ | 28,283 | $ | 542,505 | $ | 319,170 | ||||||||
39
CORE U.S. | |||||||
Equity Fund | |||||||
From operations: | |||||||
Net investment income (loss) | $ | 2,141,439 | |||||
Net realized gain (loss) on investment, futures and foreign currency related transactions | (45,601,229 | ) | |||||
Net change in unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies | 109,495,576 | ||||||
Net increase in net assets resulting from operations | 66,035,786 | ||||||
Distributions to shareholders: | |||||||
From net investment income | |||||||
Class A Shares | (161,846 | ) | |||||
Class B Shares | — | ||||||
Class C Shares | — | ||||||
Institutional Shares | (713,755 | ) | |||||
Service Shares | — | ||||||
Total distributions to shareholders | (875,601 | ) | |||||
From share transactions: | |||||||
Proceeds from sales of shares | 92,807,449 | ||||||
Reinvestment of dividends and distributions | 799,387 | ||||||
Cost of shares repurchased | (186,704,034 | ) | |||||
Net increase (decrease) in net assets resulting from share transactions | (93,097,198 | ) | |||||
TOTAL INCREASE (DECREASE) | (27,937,013 | ) | |||||
Net assets: | |||||||
Beginning of year | 674,323,044 | ||||||
End of year | $ | 646,386,031 | |||||
Accumulated undistributed net investment income | $ | 2,140,445 | |||||
40
CORE Large Cap | CORE Small Cap | CORE Large Cap | CORE International | |||||||||||||
Growth Fund | Equity Fund | Value Fund | Equity Fund | |||||||||||||
$ | (758,807 | ) | $ | 622,254 | $ | 2,443,797 | $ | 3,300,872 | ||||||||
(23,819,494 | ) | 3,078,678 | (20,016,415 | ) | (34,127,217 | ) | ||||||||||
70,961,000 | 47,716,960 | 35,905,050 | 41,026,124 | |||||||||||||
46,382,699 | 51,417,892 | 18,332,432 | 10,199,779 | |||||||||||||
— | — | (760,830 | ) | (583,742 | ) | |||||||||||
— | — | (63,736 | ) | (1,890 | ) | |||||||||||
— | — | (46,194 | ) | (3,485 | ) | |||||||||||
— | — | (1,461,808 | ) | (1,881,591 | ) | |||||||||||
— | — | (2,220 | ) | (153 | ) | |||||||||||
— | — | (2,334,788 | ) | (2,470,861 | ) | |||||||||||
78,268,855 | 150,015,522 | 102,401,100 | 308,970,130 | |||||||||||||
— | — | 2,305,127 | 2,429,158 | |||||||||||||
(167,942,169 | ) | (95,544,530 | ) | (80,304,702 | ) | (328,519,109 | ) | |||||||||
(89,673,314 | ) | 54,470,992 | 24,401,525 | (17,119,821 | ) | |||||||||||
(43,290,615 | ) | 105,888,884 | 40,399,169 | (9,390,903 | ) | |||||||||||
413,178,378 | 172,054,441 | 216,727,343 | 271,677,806 | |||||||||||||
$ | 369,887,763 | $ | 277,943,325 | $ | 257,126,512 | $ | 262,286,903 | |||||||||
$ | — | $ | 763,700 | $ | 476,777 | $ | 3,179,836 | |||||||||
41
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
A. Investment Valuation — Investments in securities traded on a U.S. securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, securities are valued at the last bid price. Debt securities are valued at prices supplied by independent pricing services, broker/dealer-supplied valuations or matrix pricing systems. Unlisted equity and debt securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. Short-term debt obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. Securities for which quotations are not readily available or are deemed to be inaccurate by the investment adviser are valued at fair value using methods approved by the Trust’s Board of Trustees.
B. Security Transactions and Investment Income — Security transactions are recorded as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Dividend income is recorded on the ex-dividend date, net of foreign withholding taxes including reclaims, where applicable. Certain dividends from foreign securities may be recorded subsequent to the ex-dividend date as soon as the Fund is informed of such dividends. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. In addition, it is the Funds’ policy to accrue for estimated capital gains taxes on foreign securities held by the Funds, which are subject to taxes. Net investment income (other than class-specific expenses) and unrealized gains or losses are allocated daily to each class of shares of the funds based upon the relative proportion of net assets of each class.
C. Federal Taxes — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on ex-dividend date. Income distributions and capital gains distributions, if any, are declared and paid annually.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Funds on a straight-line or pro rata basis depending upon the nature of the expense.
E. Foreign Currency Translations — The books and records of the Funds are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions.
F. Segregation Transactions — As set forth in the prospectus, certain Funds may enter into derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, written options, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Funds are required to segregate liquid assets on the accounting records equal to or greater than the market value of the corresponding transactions.
G. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Funds, including accrued interest, is required to equal or exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held in safekeeping at each Fund’s custodian or designated subcustodians under triparty repurchase agreements.
3. AGREEMENTS |
Notes to Financial Statements (continued)
3. AGREEMENTS (continued) |
Management Fee | ||||||||||||
Waiver | Other | |||||||||||
Contractual | Annual | Expense | ||||||||||
Fund | Annual Rate | Rate | Limit | |||||||||
CORE U.S. Equity | 0.75% | 0.05% | 0.004% | |||||||||
CORE Large Cap Growth | 0.75 | 0.05 | 0.024 | |||||||||
CORE Small Cap Equity | 0.85 | — | 0.044 | |||||||||
CORE Large Cap Value | 0.60 | — | 0.064 | |||||||||
CORE International Equity | 0.85 | — | 0.124 | |||||||||
Sales Load | Contingent Deferred Sales Charge | |||||||
Fund | Class A | Class B | ||||||
CORE U.S. Equity | $ | 52,000 | $ | — | ||||
CORE Large Cap Growth | 10,400 | 500 | ||||||
CORE Small Cap Equity | 13,600 | 100 | ||||||
CORE Large Cap Value | 10,100 | — | ||||||
CORE International Equity | 14,300 | 300 | ||||||
3. AGREEMENTS (continued) |
Total | ||||||||||||||||||||
Management | Custody | Expense | ||||||||||||||||||
Fund | Fee Waiver | Reimbursement | Credit | Reductions | ||||||||||||||||
CORE U.S. Equity | $ | 172 | $ | 122 | $ | — | $ | 294 | ||||||||||||
CORE Large Cap Growth | 95 | 77 | — | 172 | ||||||||||||||||
CORE Small Cap Equity | — | 72 | — | 72 | ||||||||||||||||
CORE Large Cap Value | — | 23 | — | 23 | ||||||||||||||||
CORE International Equity | — | 97 | 2 | 99 | ||||||||||||||||
Over | ||||||||||||||||||||
Management | Distribution and | Transfer | Reimbursement | |||||||||||||||||
Fund | Fees | Service Fees | Agent Fees | of “Other Expenses” | Total | |||||||||||||||
CORE U.S. Equity | $ | 405 | $ | 216 | $ | 91 | $ | — | $ | 712 | ||||||||||
CORE Large Cap Growth | 205 | 130 | 43 | — | 378 | |||||||||||||||
CORE Small Cap Equity | 203 | 55 | 27 | — | 285 | |||||||||||||||
CORE Large Cap Value | 150 | 48 | 26 | — | 224 | |||||||||||||||
CORE International Equity | 252 | 54 | 27 | 12 | 345 | |||||||||||||||
4. PORTFOLIO SECURITIES TRANSACTIONS |
Fund | Purchases | Sales and Maturities | ||||||
CORE U.S. Equity | $ | 367,416,926 | $ | 389,315,657 | ||||
CORE Large Cap Growth | 308,966,420 | 355,458,335 | ||||||
CORE Small Cap Equity | 193,095,050 | 211,073,421 | ||||||
CORE Large Cap Value | 226,548,185 | 207,583,972 | ||||||
CORE International Equity | 235,264,124 | 179,452,431 | ||||||
Futures Contracts — The Funds may enter into futures transactions to hedge against changes in interest rates, securities prices, currency exchange rates or (for CORE International Equity Fund only) to seek to increase total return. Futures contracts are valued at the last settlement price at the end of each day on the board of trade or exchange upon which they are
4. PORTFOLIO SECURITIES TRANSACTIONS (continued) |
Number of | ||||||||||||||||||||
Contracts | Settlement | Market | Unrealized | |||||||||||||||||
Fund | Type | Long | Month | Value | Gain (Loss) | |||||||||||||||
CORE U.S. Equity Fund | S&P Mini 500 Index | 68 | March 2004 | $ | 3,891,640 | $ | 1,054 | |||||||||||||
CORE Large Cap Growth Fund | S&P Mini 500 Index | 17 | March 2004 | $ | 972,910 | $ | 1,776 | |||||||||||||
CORE Small Cap Equity Fund | Russell 2000 Index | 87 | March 2004 | $ | 5,094,720 | $ | 26,393 | |||||||||||||
CORE Large Cap Value Fund | S&P Mini 500 Index | 11 | March 2004 | $ | 629,530 | $ | 2,508 | |||||||||||||
CORE International Equity Fund | FTSE 100 Index | 33 | March 2004 | $ | 2,742,390 | $ | 40,095 | |||||||||||||
SPI 200 Index | 12 | March 2004 | 778,185 | 15,238 | ||||||||||||||||
HKFE Index | 3 | March 2004 | 267,670 | 4,021 | ||||||||||||||||
TOPIX Index | 22 | March 2004 | 2,183,690 | 81,274 | ||||||||||||||||
MIB 30 Index | 2 | March 2004 | 348,248 | 752 | ||||||||||||||||
EURX DAX Index | 3 | March 2004 | 375,219 | (3,137 | ) | |||||||||||||||
EURX ER STX 50 Index | 66 | March 2004 | 2,375,685 | 21,520 | ||||||||||||||||
CAC40-10EU Index | 10 | March 2004 | 463,639 | 3,659 | ||||||||||||||||
IBEX 35 Plus Index | 1 | March 2004 | 102,575 | 130 | ||||||||||||||||
$ | 9,637,301 | $ | 163,552 | |||||||||||||||||
5. SECURITIES LENDING |
5. SECURITIES LENDING (continued) |
Earnings of BGA | Earnings Received | Amount Payable to | ||||||||||||||||||
Cash Collateral | Relating to Securities | From Lending to | Goldman Sachs | |||||||||||||||||
Market Value of | Received for Loans | Loaned for the Six | Goldman Sachs for | Upon Return of | ||||||||||||||||
Securities on Loan as | Outstanding as of | Months Ended | Six Months Ended | Securities Loaned as | ||||||||||||||||
Fund | of February 29, 2004 | February 29, 2004 | February 29, 2004 | February 29, 2004 | of February 29, 2004 | |||||||||||||||
CORE U.S. Equity Fund | $ | 18,378,538 | $ | 18,377,300 | $ | 5,009 | $ | 492 | $ | — | ||||||||||
CORE Large Cap Growth Fund | 9,889,736 | 10,071,050 | 8,706 | 8,215 | 1,062,500 | |||||||||||||||
CORE Small Cap Equity Fund | 23,520,676 | 24,093,021 | 38,523 | 62,276 | 7,575,550 | |||||||||||||||
CORE Large Cap Value Fund | 7,586,606 | 7,725,825 | 2,396 | 357 | — | |||||||||||||||
CORE International Equity Fund | 12,820,179 | 13,506,316 | 10,978 | 14,384 | 3,959,050 | |||||||||||||||
6. LINE OF CREDIT FACILITY |
7. JOINT REPURCHASE AGREEMENT ACCOUNT |
Notes to Financial Statements (continued)
7. JOINT REPURCHASE AGREEMENT ACCOUNT (continued) |
Principal | Interest | Maturity | Maturity | |||||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||||
Banc of America Securities LLC | $ | 1,550,000,000 | 1.07% | 03/01/2004 | $ | 1,550,138,208 | ||||||||||
Deutsche Bank Securities, Inc. | 600,000,000 | 1.06 | 03/01/2004 | 600,053,000 | ||||||||||||
Greenwich Capital Markets | 500,000,000 | 1.06 | 03/01/2004 | 500,044,167 | ||||||||||||
J.P. Morgan Chase & Co. | 523,600,000 | 1.08 | 03/01/2004 | 523,647,124 | ||||||||||||
Lehman Brothers, Inc. | 500,000,000 | 1.08 | 03/01/2004 | 500,045,000 | ||||||||||||
Morgan Stanley | 400,000,000 | 1.08 | 03/01/2004 | 400,036,000 | ||||||||||||
UBS LLC | 1,400,000,000 | 1.06 | 03/01/2004 | 1,400,123,667 | ||||||||||||
UBS LLC | 200,000,000 | 1.07 | 03/01/2004 | 200,017,833 | ||||||||||||
Westdeutsche Landesbank AG | 550,000,000 | 1.07 | 03/01/2004 | 550,049,042 | ||||||||||||
TOTAL JOINT REPURCHASE AGREEMENT ACCOUNT II | $ | 6,223,600,000 | $ | 6,224,154,041 | ||||||||||||
8. OTHER MATTERS |
Goldman Sachs | Goldman Sachs | Goldman Sachs | Goldman Sachs | |||||||||||||
Balanced | Growth and Income | Growth | Aggressive Growth | |||||||||||||
Fund | Strategy Portfolio | Strategy Portfolio | Strategy Portfolio | Strategy Portfolio | ||||||||||||
CORE Large Cap Growth | — | % | 9 | % | 10 | % | 6 | % | ||||||||
CORE Large Cap Value | 6 | 20 | 19 | 10 | ||||||||||||
CORE International Equity | 7 | 21 | 20 | 12 | ||||||||||||
9. ADDITIONAL TAX INFORMATION |
CORE U.S. | CORE Large Cap | CORE Small Cap | CORE Large Cap | CORE International | ||||||||||||||
Equity Fund | Growth Fund | Equity Fund | Value Fund | Equity Fund | ||||||||||||||
Timing differences (post October losses) | $ | (28,989,352 | ) | $ | (5,981,188 | ) | — | $ | (10,557,194 | ) | $ | (20,022,953 | ) | |||||
Capital loss carryforward | (166,451,589 | ) | (345,842,300 | ) | — | (29,146,806 | ) | (98,697,552 | ) | |||||||||
Capital loss carryforward years of expiration | 2009-2011 | 2010-2011 | — | 2009-2011 | 2009-2011 | |||||||||||||
At February 29, 2004, the Funds’ aggregate security unrealized gains and losses based on a cost for U.S. federal income tax purposes was as follows:
CORE U.S. | CORE Large Cap | CORE Small Cap | CORE Large Cap | CORE International | |||||||||||||||||
Equity Fund | Growth Fund | Equity Fund | Value Fund | Equity Fund | |||||||||||||||||
Tax Cost | $ | 609,710,625 | $ | 320,392,531 | $ | 272,218,463 | $ | 289,714,456 | $ | 344,848,666 | |||||||||||
Gross unrealized gain | 144,489,034 | 60,001,303 | 59,689,052 | 45,792,437 | 57,981,056 | ||||||||||||||||
Gross unrealized loss | (6,990,976 | ) | (3,097,308 | ) | (4,331,184 | ) | (1,355,916 | ) | (1,966,510 | ) | |||||||||||
Net unrealized security gain | $ | 137,498,058 | $ | 56,903,995 | $ | 55,357,868 | $ | 44,436,521 | $ | 56,014,546 | |||||||||||
The difference between book-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, partnership and passive foreign investment company investments.
10. SUBSEQUENT EVENTS |
Notes to Financial Statements (continued)
11. SUMMARY OF SHARE TRANSACTIONS |
CORE U.S. Equity Fund | ||||||||
Shares | Dollars | |||||||
Class A Shares | ||||||||
Shares sold | 1,415,314 | $ | 34,723,605 | |||||
Reinvestment of dividends and distributions | 45,380 | 1,084,576 | ||||||
Shares repurchased | (1,564,331 | ) | (38,137,547 | ) | ||||
(103,637 | ) | (2,329,366 | ) | |||||
Class B Shares | ||||||||
Shares sold | 202,456 | 4,702,752 | ||||||
Reinvestment of dividends and distributions | — | — | ||||||
Shares repurchased | (529,525 | ) | (12,265,538 | ) | ||||
(327,069 | ) | (7,562,786 | ) | |||||
Class C Shares | ||||||||
Shares sold | 181,299 | 4,174,227 | ||||||
Reinvestment of dividends and distributions | — | — | ||||||
Shares repurchased | (244,231 | ) | (5,682,193 | ) | ||||
(62,932 | ) | (1,507,966 | ) | |||||
Institutional Shares | ||||||||
Shares sold | 535,241 | 13,238,718 | ||||||
Reinvestment of dividends and distributions | 36,112 | 877,515 | ||||||
Shares repurchased | (844,734 | ) | (21,111,221 | ) | ||||
(273,381 | ) | (6,994,988 | ) | |||||
Service Shares | ||||||||
Shares sold | 39,089 | 943,723 | ||||||
Reinvestment of dividends and distributions | 939 | 22,268 | ||||||
Shares repurchased | (25,536 | ) | (609,596 | ) | ||||
14,492 | 356,395 | |||||||
NET INCREASE (DECREASE) | (752,527 | ) | $ | (18,038,711 | ) | |||
CORE Large Cap | CORE Small Cap | CORE Large Cap | CORE International | |||||||||||||||||||||||||||||
Growth Fund | Equity Fund | Value Fund | Equity Fund | |||||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
974,843 | $ | 10,710,277 | 2,092,400 | $ | 26,245,318 | 1,310,410 | $ | 13,536,435 | 3,261,365 | $ | 29,200,980 | |||||||||||||||||||||
— | — | 396,206 | 4,647,507 | 42,670 | 415,239 | 77,597 | 670,435 | |||||||||||||||||||||||||
(2,299,082 | ) | (25,653,553 | ) | (2,467,067 | ) | (31,527,569 | ) | (1,173,900 | ) | (12,080,410 | ) | (3,602,101 | ) | (30,199,606 | ) | |||||||||||||||||
(1,324,239 | ) | (14,943,276 | ) | 21,539 | (634,744 | ) | 179,180 | 1,871,264 | (263,139 | ) | (328,191 | ) | ||||||||||||||||||||
240,530 | 2,508,700 | 182,889 | 2,135,790 | 93,828 | 951,564 | 82,352 | 727,547 | |||||||||||||||||||||||||
— | — | 98,680 | 1,099,293 | 2,263 | 21,882 | 1,925 | 16,485 | |||||||||||||||||||||||||
(988,617 | ) | (10,402,248 | ) | (206,806 | ) | (2,473,173 | ) | (178,555 | ) | (1,808,940 | ) | (82,549 | ) | (718,391 | ) | |||||||||||||||||
(748,087 | ) | (7,893,548 | ) | 74,763 | 761,910 | (82,464 | ) | (835,494 | ) | 1,728 | 25,641 | |||||||||||||||||||||
138,511 | 1,476,220 | 498,398 | 6,087,521 | 296,454 | 3,074,352 | 24,450 | 212,656 | |||||||||||||||||||||||||
— | — | 86,552 | 967,716 | 1,957 | 18,976 | 1,009 | 8,649 | |||||||||||||||||||||||||
(534,486 | ) | (5,615,620 | ) | (226,966 | ) | (2,715,537 | ) | (260,505 | ) | (2,652,727 | ) | (53,189 | ) | (460,099 | ) | |||||||||||||||||
(395,975 | ) | (4,139,400 | ) | 357,984 | 4,339,700 | 37,906 | 440,601 | (27,730 | ) | (238,794 | ) | |||||||||||||||||||||
1,578,592 | 17,177,444 | 1,335,034 | 17,155,063 | 2,385,667 | 23,940,925 | 6,999,929 | 63,255,821 | |||||||||||||||||||||||||
— | — | 427,596 | 5,114,048 | 113,993 | 1,108,904 | 283,907 | 2,492,704 | |||||||||||||||||||||||||
(3,239,750 | ) | (37,107,535 | ) | (3,267,148 | ) | (39,348,491 | ) | (1,010,736 | ) | (10,422,204 | ) | (1,225,783 | ) | (10,963,838 | ) | |||||||||||||||||
(1,661,158 | ) | (19,930,091 | ) | (1,504,518 | ) | (17,079,380 | ) | 1,488,924 | 14,627,625 | 6,058,053 | 54,784,687 | |||||||||||||||||||||
5,008 | 54,861 | 1,221,186 | 14,907,296 | 6,036 | 61,625 | — | — | |||||||||||||||||||||||||
— | — | 133,031 | 1,548,482 | 146 | 1,418 | 24 | 209 | |||||||||||||||||||||||||
(9,268 | ) | (104,543 | ) | (846,106 | ) | (10,464,862 | ) | (3,166 | ) | (33,821 | ) | (37 | ) | (326 | ) | |||||||||||||||||
(4,260 | ) | (49,682 | ) | 508,111 | 5,990,916 | 3,016 | 29,222 | (13 | ) | (117 | ) | |||||||||||||||||||||
(4,133,719 | ) | $ | (46,955,997 | ) | (542,121 | ) | $ | (6,621,598 | ) | 1,626,562 | $ | 16,133,218 | 5,768,899 | $ | 54,243,226 | |||||||||||||||||
11. SUMMARY OF SHARE TRANSACTIONS (continued) |
CORE U.S. Equity Fund | ||||||||
Shares | Dollars | |||||||
Class A Shares | ||||||||
Shares sold | 3,087,596 | $ | 62,010,493 | |||||
Reinvestment of dividends and distributions | 7,828 | 155,735 | ||||||
Shares repurchased | (4,411,640 | ) | (87,960,392 | ) | ||||
(1,316,216 | ) | (25,794,164 | ) | |||||
Class B Shares | ||||||||
Shares sold | 433,558 | 8,258,056 | ||||||
Reinvestment of dividends and distributions | — | — | ||||||
Shares repurchased | (1,479,043 | ) | (27,825,369 | ) | ||||
(1,045,485 | ) | (19,567,313 | ) | |||||
Class C Shares | ||||||||
Shares sold | 420,996 | 7,937,349 | ||||||
Reinvestment of dividends and distributions | — | — | ||||||
Shares repurchased | (595,065 | ) | (11,274,135 | ) | ||||
(174,069 | ) | (3,336,786 | ) | |||||
Institutional Shares | ||||||||
Shares sold | 630,052 | 12,573,691 | ||||||
Reinvestment of dividends and distributions | 31,817 | 643,652 | ||||||
Shares repurchased | (2,890,415 | ) | (58,045,255 | ) | ||||
(2,228,546 | ) | (44,827,912 | ) | |||||
Service Shares | ||||||||
Shares sold | 99,435 | 2,027,860 | ||||||
Reinvestment of dividends and distributions | — | — | ||||||
Shares repurchased | (78,594 | ) | (1,598,883 | ) | ||||
20,841 | 428,977 | |||||||
NET INCREASE (DECREASE) | (4,743,475 | ) | $ | (93,097,198 | ) | |||
CORE Large Cap Growth Fund | CORE Small Cap Equity Fund | CORE Large Cap Value Fund | CORE International Equity Fund | |||||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
2,639,616 | $ | 23,913,318 | 5,965,382 | $ | 56,218,709 | 4,188,716 | $ | 36,556,088 | 37,359,241 | $ | 251,857,397 | |||||||||||||||||||||
— | — | — | — | 89,257 | 746,740 | 80,827 | 544,773 | |||||||||||||||||||||||||
(5,720,122 | ) | (51,466,060 | ) | (4,361,711 | ) | (41,065,114 | ) | (4,600,724 | ) | (38,949,623 | ) | (34,878,560 | ) | (235,713,625 | ) | |||||||||||||||||
(3,080,506 | ) | (27,552,742 | ) | 1,603,671 | 15,153,595 | (322,751 | ) | (1,646,795 | ) | 2,561,508 | 16,688,545 | |||||||||||||||||||||
648,829 | 5,646,123 | 321,097 | 3,030,601 | 328,649 | 2,779,219 | 78,166 | 520,337 | |||||||||||||||||||||||||
— | — | — | — | 6,321 | 52,682 | 251 | 1,674 | |||||||||||||||||||||||||
(2,879,845 | ) | (24,618,311 | ) | (442,436 | ) | (3,881,003 | ) | (583,624 | ) | (4,837,619 | ) | (229,499 | ) | (1,526,567 | ) | |||||||||||||||||
(2,231,016 | ) | (18,972,188 | ) | (121,339 | ) | (850,402 | ) | (248,654 | ) | (2,005,718 | ) | (151,082 | ) | (1,004,556 | ) | |||||||||||||||||
265,148 | 2,289,317 | 846,504 | 7,570,524 | 552,068 | 4,674,944 | 1,694,375 | 10,932,704 | |||||||||||||||||||||||||
— | — | — | — | 5,052 | 42,283 | 413 | 2,759 | |||||||||||||||||||||||||
(1,334,060 | ) | (11,442,287 | ) | (639,128 | ) | (5,573,085 | ) | (534,728 | ) | (4,477,996 | ) | (1,759,506 | ) | (11,454,438 | ) | |||||||||||||||||
(1,068,912 | ) | (9,152,970 | ) | 207,376 | 1,997,439 | 22,392 | 239,231 | (64,718 | ) | (518,975 | ) | |||||||||||||||||||||
5,193,493 | 46,351,526 | 7,382,411 | 70,234,024 | 6,514,254 | 58,333,281 | 6,480,695 | 45,649,692 | |||||||||||||||||||||||||
— | — | — | — | 174,929 | 1,461,507 | 274,824 | 1,879,799 | |||||||||||||||||||||||||
(8,623,651 | ) | (80,302,355 | ) | (3,993,280 | ) | (36,867,839 | ) | (3,804,394 | ) | (31,999,698 | ) | (11,705,947 | ) | (79,824,479 | ) | |||||||||||||||||
(3,430,158 | ) | (33,950,829 | ) | 3,389,131 | 33,366,185 | 2,884,789 | 27,795,090 | (4,950,428 | ) | (32,294,988 | ) | |||||||||||||||||||||
7,605 | 68,571 | 1,320,718 | 12,961,664 | 6,704 | 57,568 | 1,477 | 10,000 | |||||||||||||||||||||||||
— | — | — | — | 229 | 1,915 | 22 | 153 | |||||||||||||||||||||||||
(13,103 | ) | (113,156 | ) | (900,282 | ) | (8,157,489 | ) | (4,591 | ) | (39,766 | ) | — | — | |||||||||||||||||||
(5,498 | ) | (44,585 | ) | 420,436 | 4,804,175 | 2,342 | 19,717 | 1,499 | 10,153 | |||||||||||||||||||||||
(9,816,090 | ) | $ | (89,673,314 | ) | 5,499,275 | $ | 54,470,992 | 2,338,118 | $ | 24,401,525 | (2,603,221 | ) | $ | (17,119,821 | ) | |||||||||||||||||
Income from | ||||||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||||
Net asset | Net | In excess | ||||||||||||||||||||||||||||||||||
value, | investment | Net realized | Total from | From net | of net | From net | ||||||||||||||||||||||||||||||
beginning | income | and unrealized | investment | investment | investment | realized | Total | |||||||||||||||||||||||||||||
of period | (loss) | gain (loss) | operations | income | income | gains | distributions | |||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 29, (Unaudited) | ||||||||||||||||||||||||||||||||||||
2004 - Class A Shares | $ | 22.57 | $ | 0.06 | (c) | $ | 3.68 | $ | 3.74 | $ | (0.07 | ) | $ | — | $ | — | $ | (0.07 | ) | |||||||||||||||||
2004 - Class B Shares | 21.42 | (0.03 | ) (c) | 3.49 | 3.46 | — | — | — | — | |||||||||||||||||||||||||||
2004 - Class C Shares | 21.34 | (0.03 | ) (c) | 3.48 | 3.45 | — | — | — | — | |||||||||||||||||||||||||||
2004 - Institutional Shares | 23.00 | 0.11 | (c) | 3.75 | 3.86 | (0.16 | ) | — | — | (0.16 | ) | |||||||||||||||||||||||||
2004 - Service Shares | 22.40 | 0.05 | (c) | 3.65 | 3.70 | (0.07 | ) | — | — | (0.07 | ) | |||||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||||||
2003 - Class A Shares | 20.18 | 0.09 | (c) | 2.31 | 2.40 | (0.01 | ) | — | — | (0.01 | ) | |||||||||||||||||||||||||
2003 - Class B Shares | 19.28 | (0.06 | ) (c) | 2.20 | 2.14 | — | — | — | — | |||||||||||||||||||||||||||
2003 - Class C Shares | 19.20 | (0.06 | ) (c) | 2.20 | 2.14 | — | — | — | — | |||||||||||||||||||||||||||
2003 - Institutional Shares | 20.57 | 0.17 | (c) | 2.37 | 2.54 | (0.01 | ) | — | — | (0.01 | ) | |||||||||||||||||||||||||
2003 - Service Shares | 20.03 | 0.07 | (c) | 2.30 | 2.37 | — | — | — | — | |||||||||||||||||||||||||||
2002 - Class A Shares | 24.30 | 0.04 | (c) | (4.16 | ) | (4.12 | ) | — | — | — | — | |||||||||||||||||||||||||
2002 - Class B Shares | 23.39 | (0.13 | ) (c) | (3.98 | ) | (4.11 | ) | — | — | — | — | |||||||||||||||||||||||||
2002 - Class C Shares | 23.29 | (0.12 | ) (c) | (3.97 | ) | (4.09 | ) | — | — | — | — | |||||||||||||||||||||||||
2002 - Institutional Shares | 24.68 | 0.14 | (c) | (4.25 | ) | (4.11 | ) | — | — | — | — | |||||||||||||||||||||||||
2002 - Service Shares | 24.15 | 0.02 | (c) | (4.14 | ) | (4.12 | ) | — | — | — | — | |||||||||||||||||||||||||
2001 - Class A Shares | 36.77 | 0.01 | (c) | (8.96 | ) | (8.95 | ) | (0.06 | ) | — | (3.46 | ) | (3.52 | ) | ||||||||||||||||||||||
2001 - Class B Shares | 35.71 | (0.19 | ) (c) | (8.67 | ) | (8.86 | ) | — | — | (3.46 | ) | (3.46 | ) | |||||||||||||||||||||||
2001 - Class C Shares | 35.59 | (0.19 | ) (c) | (8.65 | ) | (8.84 | ) | — | — | (3.46 | ) | (3.46 | ) | |||||||||||||||||||||||
2001 - Institutional Shares | 37.30 | 0.13 | (c) | (9.09 | ) | (8.96 | ) | (0.19 | ) | (0.01 | ) | (3.46 | ) | (3.66 | ) | |||||||||||||||||||||
2001 - Service Shares | 36.54 | (0.01 | ) (c) | (8.91 | ) | (8.92 | ) | (0.01 | ) | — | (3.46 | ) | (3.47 | ) | ||||||||||||||||||||||
2000 - Class A Shares | 34.21 | 0.10 | (c) | 6.00 | 6.10 | — | — | (3.54 | ) | (3.54 | ) | |||||||||||||||||||||||||
2000 - Class B Shares | 33.56 | (0.14 | ) (c) | 5.83 | 5.69 | — | — | (3.54 | ) | (3.54 | ) | |||||||||||||||||||||||||
2000 - Class C Shares | 33.46 | (0.13 | ) (c) | 5.80 | 5.67 | — | — | (3.54 | ) | (3.54 | ) | |||||||||||||||||||||||||
2000 - Institutional Shares | 34.61 | 0.24 | (c) | 6.07 | 6.31 | (0.08 | ) | — | (3.54 | ) | (3.62 | ) | ||||||||||||||||||||||||
2000 - Service Shares | 34.05 | 0.07 | (c) | 5.96 | 6.03 | — | — | (3.54 | ) | (3.54 | ) | |||||||||||||||||||||||||
FOR THE SEVEN-MONTH PERIOD ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||||||
1999 - Class A Shares | 32.98 | 0.03 | 1.20 | 1.23 | — | — | — | — | ||||||||||||||||||||||||||||
1999 - Class B Shares | 32.50 | (0.11 | ) | 1.17 | 1.06 | — | — | — | — | |||||||||||||||||||||||||||
1999 - Class C Shares | 32.40 | (0.10 | ) | 1.16 | 1.06 | — | — | — | — | |||||||||||||||||||||||||||
1999 - Institutional Shares | 33.29 | 0.11 | 1.21 | 1.32 | — | — | — | — | ||||||||||||||||||||||||||||
1999 - Service Shares | 32.85 | 0.01 | 1.19 | 1.20 | — | — | — | — | ||||||||||||||||||||||||||||
FOR THE YEAR ENDED JANUARY 31, | ||||||||||||||||||||||||||||||||||||
1999 - Class A Shares | 26.59 | 0.04 | 7.02 | 7.06 | (0.03 | ) | (0.01 | ) | (0.63 | ) | (0.67 | ) | ||||||||||||||||||||||||
1999 - Class B Shares | 26.32 | (0.10 | ) | 6.91 | 6.81 | — | — | (0.63 | ) | (0.63 | ) | |||||||||||||||||||||||||
1999 - Class C Shares | 26.24 | (0.10 | ) | 6.89 | 6.79 | — | — | (0.63 | ) | (0.63 | ) | |||||||||||||||||||||||||
1999 - Institutional Shares | 26.79 | 0.20 | 7.11 | 7.31 | (0.15 | ) | (0.03 | ) | (0.63 | ) | (0.81 | ) | ||||||||||||||||||||||||
1999 - Service Shares | 26.53 | 0.06 | 7.01 | 7.07 | (0.10 | ) | (0.02 | ) | (0.63 | ) | (0.75 | ) | ||||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(b) | Annualized. |
(c) | Calculated based on the average shares outstanding methodology. |
54
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | at end of | net expenses | income (loss) | total expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 26.24 | 16.62 | % | $ | 406,094 | 1.14 | %(b) | 0.52 | %(b) | 1.23 | %(b) | 0.43 | %(b) | 54 | % | |||||||||||||||||||
24.88 | 16.15 | 130,098 | 1.89 | (b) | (0.23 | )(b) | 1.98 | (b) | (0.32 | )(b) | 54 | |||||||||||||||||||||||
24.79 | 16.17 | 40,896 | 1.89 | (b) | (0.23 | )(b) | 1.98 | (b) | (0.32 | )(b) | 54 | |||||||||||||||||||||||
26.70 | 16.84 | 145,297 | 0.74 | (b) | 0.92 | (b) | 0.83 | (b) | 0.83 | (b) | 54 | |||||||||||||||||||||||
26.03 | 16.53 | 9,346 | 1.24 | (b) | 0.42 | (b) | 1.33 | (b) | 0.33 | (b) | 54 | |||||||||||||||||||||||
22.57 | 11.90 | 351,673 | 1.15 | 0.44 | 1.26 | 0.33 | 74 | |||||||||||||||||||||||||||
21.42 | 11.10 | 118,993 | 1.90 | (0.31 | ) | 2.01 | (0.42 | ) | 74 | |||||||||||||||||||||||||
21.34 | 11.15 | 36,546 | 1.90 | (0.31 | ) | 2.01 | (0.42 | ) | 74 | |||||||||||||||||||||||||
23.00 | 12.40 | 131,457 | 0.75 | 0.84 | 0.86 | 0.73 | 74 | |||||||||||||||||||||||||||
22.40 | 11.83 | 7,717 | 1.25 | 0.34 | 1.36 | 0.23 | 74 | |||||||||||||||||||||||||||
20.18 | (16.95 | ) | 340,934 | 1.14 | 0.19 | 1.24 | 0.09 | 74 | ||||||||||||||||||||||||||
19.28 | (17.57 | ) | 127,243 | 1.89 | (0.57 | ) | 1.99 | (0.67 | ) | 74 | ||||||||||||||||||||||||
19.20 | (17.56 | ) | 36,223 | 1.89 | (0.56 | ) | 1.99 | (0.66 | ) | 74 | ||||||||||||||||||||||||
20.57 | (16.65 | ) | 163,439 | 0.74 | 0.59 | 0.84 | 0.49 | 74 | ||||||||||||||||||||||||||
20.03 | (17.06 | ) | 6,484 | 1.24 | 0.09 | 1.34 | (0.01 | ) | 74 | |||||||||||||||||||||||||
24.30 | (25.96 | ) | 471,445 | 1.14 | 0.04 | 1.23 | (0.05 | ) | 54 | |||||||||||||||||||||||||
23.39 | (26.49 | ) | 184,332 | 1.89 | (0.70 | ) | 1.98 | (0.79 | ) | 54 | ||||||||||||||||||||||||
23.29 | (26.53 | ) | 45,841 | 1.89 | (0.70 | ) | 1.98 | (0.79 | ) | 54 | ||||||||||||||||||||||||
24.68 | (25.66 | ) | 255,400 | 0.74 | 0.45 | 0.83 | 0.36 | 54 | ||||||||||||||||||||||||||
24.15 | (26.02 | ) | 8,319 | 1.24 | (0.05 | ) | 1.33 | (0.14 | ) | 54 | ||||||||||||||||||||||||
36.77 | 18.96 | 715,775 | 1.14 | 0.31 | 1.23 | 0.22 | 59 | |||||||||||||||||||||||||||
35.71 | 18.03 | 275,673 | 1.89 | (0.44 | ) | 1.98 | (0.53 | ) | 59 | |||||||||||||||||||||||||
35.59 | 18.03 | 62,820 | 1.89 | (0.43 | ) | 1.98 | (0.52 | ) | 59 | |||||||||||||||||||||||||
37.30 | 19.41 | 379,172 | 0.74 | 0.71 | 0.83 | 0.62 | 59 | |||||||||||||||||||||||||||
36.54 | 18.83 | 11,879 | 1.24 | 0.19 | 1.33 | 0.10 | 59 | |||||||||||||||||||||||||||
34.21 | 3.73 | 614,310 | 1.14 | (b) | 0.15 | (b) | 1.24 | (b) | 0.05 | (b) | 42 | |||||||||||||||||||||||
33.56 | 3.26 | 214,087 | 1.89 | (b) | (0.60 | )(b) | 1.99 | (b) | (0.70 | )(b) | 42 | |||||||||||||||||||||||
33.46 | 3.27 | 43,361 | 1.89 | (b) | (0.61 | )(b) | 1.99 | (b) | (0.71 | )(b) | 42 | |||||||||||||||||||||||
34.61 | 3.97 | 335,465 | 0.74 | (b) | 0.54 | (b) | 0.84 | (b) | 0.44 | (b) | 42 | |||||||||||||||||||||||
34.05 | 3.65 | 11,204 | 1.24 | (b) | 0.06 | (b) | 1.34 | (b) | (0.04 | )(b) | 42 | |||||||||||||||||||||||
32.98 | 26.89 | 605,566 | 1.23 | 0.15 | 1.36 | 0.02 | 64 | |||||||||||||||||||||||||||
32.50 | 26.19 | 152,347 | 1.85 | (0.50 | ) | 1.98 | (0.63 | ) | 64 | |||||||||||||||||||||||||
32.40 | 26.19 | 26,912 | 1.87 | (0.53 | ) | 2.00 | (0.66 | ) | 64 | |||||||||||||||||||||||||
33.29 | 27.65 | 307,200 | 0.69 | 0.69 | 0.82 | 0.56 | 64 | |||||||||||||||||||||||||||
32.85 | 27.00 | 11,600 | 1.19 | 0.19 | 1.32 | 0.06 | 64 | |||||||||||||||||||||||||||
55
Income from | ||||||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||||
Net asset | Net | In excess | ||||||||||||||||||||||||||||||||||
value, | investment | Net realized | Total from | From net | of net | From net | ||||||||||||||||||||||||||||||
beginning | income | and unrealized | investment | investment | investment | realized | Total | |||||||||||||||||||||||||||||
of period | (loss) | gain (loss) | operations | income | income | gains | distributions | |||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 29, (Unaudited) | ||||||||||||||||||||||||||||||||||||
2004 - Class A Shares | $ | 10.33 | $ | — | (c)(d) | $ | 1.30 | $ | 1.30 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
2004 - Class B Shares | 9.87 | (0.04 | ) (c) | 1.24 | 1.20 | — | — | — | — | |||||||||||||||||||||||||||
2004 - Class C Shares | 9.87 | (0.04 | ) (c) | 1.24 | 1.20 | — | — | — | — | |||||||||||||||||||||||||||
2004 - Institutional Shares | 10.52 | 0.02 | (c) | 1.33 | 1.35 | — | — | — | — | |||||||||||||||||||||||||||
2004 - Service Shares | 10.26 | (0.01 | ) (c) | 1.29 | 1.28 | — | — | — | — | |||||||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||||||
2003 - Class A Shares | 9.06 | (0.01 | ) (c) | 1.28 | 1.27 | — | — | — | — | |||||||||||||||||||||||||||
2003 - Class B Shares | 8.72 | (0.07 | ) (c) | 1.22 | 1.15 | — | — | — | — | |||||||||||||||||||||||||||
2003 - Class C Shares | 8.72 | (0.07 | ) (c) | 1.22 | 1.15 | — | — | — | — | |||||||||||||||||||||||||||
2003 - Institutional Shares | 9.19 | 0.03 | (c) | 1.30 | 1.33 | — | — | — | — | |||||||||||||||||||||||||||
2003 - Service Shares | 9.01 | (0.02 | ) (c) | 1.27 | 1.25 | — | — | — | — | |||||||||||||||||||||||||||
2002 - Class A Shares | 11.51 | (0.03 | ) (c) | (2.38 | ) | (2.41 | ) | — | — | (0.04 | ) | (0.04 | ) | |||||||||||||||||||||||
2002 - Class B Shares | 11.16 | (0.11 | ) (c) | (2.29 | ) | (2.40 | ) | — | — | (0.04 | ) | (0.04 | ) | |||||||||||||||||||||||
2002 - Class C Shares | 11.17 | (0.11 | ) (c) | (2.30 | ) | (2.41 | ) | — | — | (0.04 | ) | (0.04 | ) | |||||||||||||||||||||||
2002 - Institutional Shares | 11.63 | 0.01 | (c) | (2.41 | ) | (2.40 | ) | — | — | (0.04 | ) | (0.04 | ) | |||||||||||||||||||||||
2002 - Service Shares | 11.45 | (0.04 | ) (c) | (2.36 | ) | (2.40 | ) | — | — | (0.04 | ) | (0.04 | ) | |||||||||||||||||||||||
2001 - Class A Shares | 22.66 | (0.09 | ) (c) | (9.97 | ) | (10.06 | ) | (0.02 | ) | — | (1.07 | ) | (1.09 | ) | ||||||||||||||||||||||
2001 - Class B Shares | 22.14 | (0.20 | ) (c) | (9.71 | ) | (9.91 | ) | — | — | (1.07 | ) | (1.07 | ) | |||||||||||||||||||||||
2001 - Class C Shares | 22.15 | (0.20 | ) (c) | (9.71 | ) | (9.91 | ) | — | — | (1.07 | ) | (1.07 | ) | |||||||||||||||||||||||
2001 - Institutional Shares | 22.87 | (0.02 | ) (c) | (10.06 | ) | (10.08 | ) | (0.09 | ) | — | (1.07 | ) | (1.16 | ) | ||||||||||||||||||||||
2001 - Service Shares | 22.55 | (0.10 | ) (c) | (9.93 | ) | (10.03 | ) | — | — | (1.07 | ) | (1.07 | ) | |||||||||||||||||||||||
2000 - Class A Shares | 17.02 | 0.06 | (c) | 5.67 | 5.73 | — | — | (0.09 | ) | (0.09 | ) | |||||||||||||||||||||||||
2000 - Class B Shares | 16.75 | (0.09 | ) (c) | 5.57 | 5.48 | — | — | (0.09 | ) | (0.09 | ) | |||||||||||||||||||||||||
2000 - Class C Shares | 16.75 | (0.08 | ) (c) | 5.57 | 5.49 | — | — | (0.09 | ) | (0.09 | ) | |||||||||||||||||||||||||
2000 - Institutional Shares | 17.10 | 0.13 | (c) | 5.73 | 5.86 | — | — | (0.09 | ) | (0.09 | ) | |||||||||||||||||||||||||
2000 - Service Shares | 16.95 | 0.03 | (c) | 5.66 | 5.69 | — | — | (0.09 | ) | (0.09 | ) | |||||||||||||||||||||||||
FOR THE SEVEN-MONTH PERIOD ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||||||
1999 - Class A Shares | 16.17 | (0.01 | ) | 0.86 | 0.85 | — | — | — | — | |||||||||||||||||||||||||||
1999 - Class B Shares | 15.98 | (0.07 | ) | 0.84 | 0.77 | — | — | — | — | |||||||||||||||||||||||||||
1999 - Class C Shares | 15.99 | (0.07 | ) | 0.83 | 0.76 | — | — | — | — | |||||||||||||||||||||||||||
1999 - Institutional Shares | 16.21 | 0.03 | 0.86 | 0.89 | — | — | — | — | ||||||||||||||||||||||||||||
1999 - Service Shares | 16.11 | (0.02 | ) | 0.86 | 0.84 | — | — | — | — | |||||||||||||||||||||||||||
FOR THE YEAR ENDED JANUARY 31, | ||||||||||||||||||||||||||||||||||||
1999 - Class A Shares | 11.97 | 0.01 | 4.19 | 4.20 | — | — | — | — | ||||||||||||||||||||||||||||
1999 - Class B Shares | 11.92 | (0.06 | ) | 4.12 | 4.06 | — | — | — | — | |||||||||||||||||||||||||||
1999 - Class C Shares | 11.93 | (0.05 | ) | 4.11 | 4.06 | — | — | — | — | |||||||||||||||||||||||||||
1999 - Institutional Shares | 11.97 | 0.02 | 4.23 | 4.25 | — | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||||||||||
1999 - Service Shares | 11.95 | (0.01 | ) | 4.17 | 4.16 | — | — | — | — | |||||||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. | |
(b) | Annualized. | |
(c) | Calculated based on the average shares outstanding methodology. | |
(d) | Less than $.005 per share. |
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | at end of | net expenses | income (loss) | total expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 11.63 | 12.58 | % | $ | 127,954 | 1.16 | %(b) | (0.07 | )% (b) | 1.25 | %(b) | (0.16 | )% (b) | 82 | % | |||||||||||||||||||
11.07 | 12.16 | 93,891 | 1.91 | (b) | (0.82 | ) (b) | 2.00 | (b) | (0.91 | ) (b) | 82 | |||||||||||||||||||||||
11.07 | 12.16 | 36,621 | 1.91 | (b) | (0.82 | ) (b) | 2.00 | (b) | (0.91 | ) (b) | 82 | |||||||||||||||||||||||
11.87 | 12.83 | 109,489 | 0.76 | (b) | 0.33 | (b) | 0.85 | (b) | 0.24 | (b) | 82 | |||||||||||||||||||||||
11.54 | 12.48 | 412 | 1.26 | (b) | (0.17 | ) (b) | 1.35 | (b) | (0.26 | ) (b) | 82 | |||||||||||||||||||||||
10.33 | 14.02 | 127,317 | 1.18 | (0.07 | ) | 1.31 | (0.20 | ) | 119 | |||||||||||||||||||||||||
9.87 | 13.19 | 91,084 | 1.93 | (0.82 | ) | 2.06 | (0.95 | ) | 119 | |||||||||||||||||||||||||
9.87 | 13.19 | 36,553 | 1.93 | (0.82 | ) | 2.06 | (0.95 | ) | 119 | |||||||||||||||||||||||||
10.52 | 14.47 | 114,524 | 0.78 | 0.33 | 0.91 | 0.20 | 119 | |||||||||||||||||||||||||||
10.26 | 13.87 | 410 | 1.28 | (0.17 | ) | 1.41 | (0.30 | ) | 119 | |||||||||||||||||||||||||
9.06 | (21.04 | ) | 139,593 | 1.17 | (0.32 | ) | 1.27 | (0.42 | ) | 113 | ||||||||||||||||||||||||
8.72 | (21.61 | ) | 99,959 | 1.92 | (1.06 | ) | 2.02 | (1.16 | ) | 113 | ||||||||||||||||||||||||
8.72 | (21.68 | ) | 41,627 | 1.92 | (1.07 | ) | 2.02 | (1.17 | ) | 113 | ||||||||||||||||||||||||
9.19 | (20.74 | ) | 131,590 | 0.77 | 0.08 | 0.87 | (0.02 | ) | 113 | |||||||||||||||||||||||||
9.01 | (21.06 | ) | 409 | 1.27 | (0.41 | ) | 1.37 | (0.51 | ) | 113 | ||||||||||||||||||||||||
11.51 | (45.97 | ) | 246,785 | 1.16 | (0.57 | ) | 1.24 | (0.65 | ) | 68 | ||||||||||||||||||||||||
11.16 | (46.37 | ) | 167,469 | 1.91 | (1.32 | ) | 1.99 | (1.40 | ) | 68 | ||||||||||||||||||||||||
11.17 | (46.35 | ) | 77,398 | 1.91 | (1.32 | ) | 1.99 | (1.40 | ) | 68 | ||||||||||||||||||||||||
11.63 | (45.73 | ) | 201,935 | 0.76 | (0.15 | ) | 0.84 | (0.23 | ) | 68 | ||||||||||||||||||||||||
11.45 | (46.05 | ) | 1,316 | 1.26 | (0.68 | ) | 1.34 | (0.76 | ) | 68 | ||||||||||||||||||||||||
22.66 | 33.73 | 545,763 | 1.09 | 0.31 | 1.24 | 0.16 | 73 | |||||||||||||||||||||||||||
22.14 | 32.78 | 338,128 | 1.84 | (0.44 | ) | 1.99 | (0.59 | ) | 73 | |||||||||||||||||||||||||
22.15 | 32.84 | 154,966 | 1.84 | (0.43 | ) | 1.99 | (0.58 | ) | 73 | |||||||||||||||||||||||||
22.87 | 34.34 | 322,900 | 0.69 | 0.65 | 0.84 | 0.50 | 73 | |||||||||||||||||||||||||||
22.55 | 33.64 | 3,879 | 1.19 | 0.15 | 1.34 | — | 73 | |||||||||||||||||||||||||||
17.02 | 5.26 | 300,684 | 1.04 | (b) | (0.11 | ) (b) | 1.26 | (b) | (0.33 | ) (b) | 33 | |||||||||||||||||||||||
16.75 | 4.82 | 181,626 | 1.79 | (b) | (0.87 | ) (b) | 2.01 | (b) | (1.09 | ) (b) | 33 | |||||||||||||||||||||||
16.75 | 4.75 | 75,502 | 1.79 | (b) | (0.87 | ) (b) | 2.01 | (b) | (1.09 | ) (b) | 33 | |||||||||||||||||||||||
17.10 | 5.49 | 310,704 | 0.64 | (b) | 0.31 | (b) | 0.86 | (b) | 0.09 | (b) | 33 | |||||||||||||||||||||||
16.95 | 5.21 | 2,510 | 1.14 | (b) | (0.21 | ) (b) | 1.36 | (b) | (0.43 | ) (b) | 33 | |||||||||||||||||||||||
16.17 | 35.10 | 175,510 | 0.97 | 0.05 | 1.46 | (0.44 | ) | 63 | ||||||||||||||||||||||||||
15.98 | 34.07 | 93,711 | 1.74 | (0.73 | ) | 2.11 | (1.10 | ) | 63 | |||||||||||||||||||||||||
15.99 | 34.04 | 37,081 | 1.74 | (0.74 | ) | 2.11 | (1.11 | ) | 63 | |||||||||||||||||||||||||
16.21 | 35.54 | 295,734 | 0.65 | 0.35 | 1.02 | (0.02 | ) | 63 | ||||||||||||||||||||||||||
16.11 | 34.85 | 1,663 | 1.15 | (0.16 | ) | 1.52 | (0.53 | ) | 63 | |||||||||||||||||||||||||
Income from | ||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||
Net asset | Net | Net | Total | From | From | |||||||||||||||||||||||||||
value, | investment | realized | from | net | net | |||||||||||||||||||||||||||
beginning | income | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
of period | (loss) | gain (loss) | operations | income | gains | distributions | ||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 29, (Unaudited) | ||||||||||||||||||||||||||||||||
2004 - Class A Shares | $ | 11.61 | $ | (0.01 | ) (c) | $ | 2.18 | $ | 2.17 | $ | (0.02 | ) | $ | (0.69 | ) | $ | (0.71 | ) | ||||||||||||||
2004 - Class B Shares | 11.06 | (0.05 | ) (c) | 2.07 | 2.02 | — | (0.69 | ) | (0.69 | ) | ||||||||||||||||||||||
2004 - Class C Shares | 11.10 | (0.05 | ) (c) | 2.07 | 2.02 | — | (0.69 | ) | (0.69 | ) | ||||||||||||||||||||||
2004 - Institutional Shares | 11.84 | 0.02 | (c) | 2.22 | 2.24 | (0.05 | ) | (0.69 | ) | (0.74 | ) | |||||||||||||||||||||
2004 - Service Shares | 11.53 | (0.01 | ) (c) | 2.15 | 2.14 | (0.02 | ) | (0.69 | ) | (0.71 | ) | |||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2003 - Class A Shares | 9.36 | 0.02 | (c) | 2.23 | 2.25 | — | — | — | ||||||||||||||||||||||||
2003 - Class B Shares | 8.99 | (0.05 | ) (c) | 2.12 | 2.07 | — | — | — | ||||||||||||||||||||||||
2003 - Class C Shares | 9.01 | (0.05 | ) (c) | 2.14 | 2.09 | — | — | — | ||||||||||||||||||||||||
2003 - Institutional Shares | 9.51 | 0.06 | (c) | 2.27 | 2.33 | — | — | — | ||||||||||||||||||||||||
2003 - Service Shares | 9.30 | 0.01 | (c) | 2.22 | 2.23 | — | — | — | ||||||||||||||||||||||||
2002 - Class A Shares | 10.59 | — | (c)(d) | (0.83 | ) | (0.83 | ) | — | (0.40 | ) | (0.40 | ) | ||||||||||||||||||||
2002 - Class B Shares | 10.26 | (0.08 | ) (c) | (0.79 | ) | (0.87 | ) | — | (0.40 | ) | (0.40 | ) | ||||||||||||||||||||
2002 - Class C Shares | 10.29 | (0.07 | ) (c) | (0.81 | ) | (0.88 | ) | — | (0.40 | ) | (0.40 | ) | ||||||||||||||||||||
2002 - Institutional Shares | 10.76 | 0.04 | (c) | (0.85 | ) | (0.81 | ) | (0.04 | ) | (0.40 | ) | (0.44 | ) | |||||||||||||||||||
2002 - Service Shares | 10.55 | 0.01 | (c) | (0.84 | ) | (0.83 | ) | (0.02 | ) | (0.40 | ) | (0.42 | ) | |||||||||||||||||||
2001 - Class A Shares | 12.90 | 0.01 | (c) | (1.12 | ) | (1.11 | ) | — | (1.20 | ) | (1.20 | ) | ||||||||||||||||||||
2001 - Class B Shares | 12.63 | (0.07 | ) (c) | (1.10 | ) | (1.17 | ) | — | (1.20 | ) | (1.20 | ) | ||||||||||||||||||||
2001 - Class C Shares | 12.66 | (0.07 | ) (c) | (1.10 | ) | (1.17 | ) | — | (1.20 | ) | (1.20 | ) | ||||||||||||||||||||
2001 - Institutional Shares | 13.03 | 0.05 | (c) | (1.12 | ) | (1.07 | ) | — | (1.20 | ) | (1.20 | ) | ||||||||||||||||||||
2001 - Service Shares | 12.87 | — | (c)(d) | (1.12 | ) | (1.12 | ) | — | (1.20 | ) | (1.20 | ) | ||||||||||||||||||||
2000 - Class A Shares | 10.23 | (0.03 | ) (c) | 2.70 | 2.67 | — | — | — | ||||||||||||||||||||||||
2000 - Class B Shares | 10.09 | (0.11 | ) (c) | 2.65 | 2.54 | — | — | — | ||||||||||||||||||||||||
2000 - Class C Shares | 10.10 | (0.10 | ) (c) | 2.66 | 2.56 | — | — | — | ||||||||||||||||||||||||
2000 - Institutional Shares | 10.30 | 0.02 | (c) | 2.71 | 2.73 | — | — | — | ||||||||||||||||||||||||
2000 - Service Shares | 10.22 | (0.04 | ) (c) | 2.69 | 2.65 | — | — | — | ||||||||||||||||||||||||
FOR THE SEVEN-MONTH PERIOD ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
1999 - Class A Shares | 10.16 | (0.01 | ) | 0.08 | 0.07 | — | — | — | ||||||||||||||||||||||||
1999 - Class B Shares | 10.07 | (0.05 | ) | 0.07 | 0.02 | — | — | — | ||||||||||||||||||||||||
1999 - Class C Shares | 10.08 | (0.05 | ) | 0.07 | 0.02 | — | — | — | ||||||||||||||||||||||||
1999 - Institutional Shares | 10.20 | 0.02 | 0.08 | 0.10 | — | — | — | |||||||||||||||||||||||||
1999 - Service Shares | 10.16 | (0.01 | ) | 0.07 | 0.06 | — | — | — | ||||||||||||||||||||||||
FOR THE YEAR ENDED JANUARY 31, | ||||||||||||||||||||||||||||||||
1999 - Class A Shares | 10.59 | 0.01 | (0.43 | ) | (0.42 | ) | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||
1999 - Class B Shares | 10.56 | (0.05 | ) | (0.44 | ) | (0.49 | ) | — | — | — | ||||||||||||||||||||||
1999 - Class C Shares | 10.57 | (0.04 | ) | (0.45 | ) | (0.49 | ) | — | — | — | ||||||||||||||||||||||
1999 - Institutional Shares | 10.61 | 0.04 | (0.43 | ) | (0.39 | ) | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||||
1999 - Service Shares | 10.60 | 0.01 | (0.44 | ) | (0.43 | ) | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. | |
(b) | Annualized. | |
(c) | Calculated based on the average shares outstanding methodology. | |
(d) | Less than $.005 per share. |
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | at end of | net expenses | income (loss) | total expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 13.07 | 19.35 | % | $ | 100,888 | 1.33 | %(b) | (0.11 | )% (b) | 1.38 | %(b) | (0.16 | )% (b) | 68 | % | |||||||||||||||||||
12.39 | 18.96 | 22,666 | 2.08 | (b) | (0.86 | )(b) | 2.13 | (b) | (0.91 | )(b) | 68 | |||||||||||||||||||||||
12.43 | 18.99 | 22,896 | 2.08 | (b) | (0.88 | )(b) | 2.13 | (b) | (0.93 | )(b) | 68 | |||||||||||||||||||||||
13.34 | 19.67 | 106,024 | 0.93 | (b) | 0.29 | (b) | 0.98 | (b) | 0.24 | (b) | 68 | |||||||||||||||||||||||
12.96 | 19.34 | 52,452 | 1.43 | (b) | (0.21 | )(b) | 1.48 | (b) | (0.26 | )(b) | 68 | |||||||||||||||||||||||
11.61 | 24.04 | 89,340 | 1.34 | 0.25 | 1.52 | 0.07 | 149 | |||||||||||||||||||||||||||
11.06 | 23.03 | 19,408 | 2.09 | (0.51 | ) | 2.27 | (0.69 | ) | 149 | |||||||||||||||||||||||||
11.10 | 23.09 | 16,463 | 2.09 | (0.51 | ) | 2.27 | (0.69 | ) | 149 | |||||||||||||||||||||||||
11.84 | 24.50 | 111,957 | 0.94 | 0.65 | 1.12 | 0.47 | 149 | |||||||||||||||||||||||||||
11.53 | 23.87 | 40,775 | 1.44 | 0.15 | 1.62 | (0.03 | ) | 149 | ||||||||||||||||||||||||||
9.36 | (8.20 | ) | 57,014 | 1.34 | 0.01 | 1.58 | (0.23 | ) | 136 | |||||||||||||||||||||||||
8.99 | (8.88 | ) | 16,854 | 2.09 | (0.74 | ) | 2.33 | (0.98 | ) | 136 | ||||||||||||||||||||||||
9.01 | (8.95 | ) | 11,504 | 2.09 | (0.74 | ) | 2.33 | (0.98 | ) | 136 | ||||||||||||||||||||||||
9.51 | (7.93 | ) | 57,683 | 0.94 | 0.39 | 1.18 | 0.15 | 136 | ||||||||||||||||||||||||||
9.30 | (8.27 | ) | 28,999 | 1.44 | 0.15 | 1.68 | (0.09 | ) | 136 | |||||||||||||||||||||||||
10.59 | (8.64 | ) | 50,093 | 1.33 | 0.09 | 1.59 | (0.17 | ) | 85 | |||||||||||||||||||||||||
10.26 | (9.35 | ) | 16,125 | 2.08 | (0.66 | ) | 2.34 | (0.92 | ) | 85 | ||||||||||||||||||||||||
10.29 | (9.32 | ) | 8,885 | 2.08 | (0.66 | ) | 2.34 | (0.92 | ) | 85 | ||||||||||||||||||||||||
10.76 | (8.28 | ) | 62,794 | 0.93 | 0.48 | 1.19 | 0.22 | 85 | ||||||||||||||||||||||||||
10.55 | (8.75 | ) | 201 | 1.43 | 0.03 | 1.69 | (0.23 | ) | 85 | |||||||||||||||||||||||||
12.90 | 26.10 | 54,954 | 1.33 | (0.21 | ) | 1.55 | (0.43 | ) | 135 | |||||||||||||||||||||||||
12.63 | 25.17 | 17,923 | 2.08 | (0.96 | ) | 2.30 | (1.18 | ) | 135 | |||||||||||||||||||||||||
12.66 | 25.35 | 8,289 | 2.08 | (0.96 | ) | 2.30 | (1.18 | ) | 135 | |||||||||||||||||||||||||
13.03 | 26.60 | 86,196 | 0.93 | 0.19 | 1.15 | (0.03 | ) | 135 | ||||||||||||||||||||||||||
12.87 | 25.93 | 63 | 1.43 | (0.30 | ) | 1.65 | (0.52 | ) | 135 | |||||||||||||||||||||||||
10.23 | 0.69 | 52,660 | 1.33 | (b) | (0.12 | )(b) | 1.67 | (b) | (0.46 | )(b) | 52 | |||||||||||||||||||||||
10.09 | 0.20 | 13,711 | 2.08 | (b) | (0.86 | )(b) | 2.42 | (b) | (1.20 | )(b) | 52 | |||||||||||||||||||||||
10.10 | 0.20 | 6,274 | 2.08 | (b) | (0.86 | )(b) | 2.42 | (b) | (1.20 | )(b) | 52 | |||||||||||||||||||||||
10.30 | 0.98 | 62,633 | 0.93 | (b) | 0.28 | (b) | 1.27 | (b) | (0.06 | )(b) | 52 | |||||||||||||||||||||||
10.22 | 0.59 | 64 | 1.43 | (b) | (0.22 | )(b) | 1.77 | (b) | (0.56 | )(b) | 52 | |||||||||||||||||||||||
10.16 | (3.97 | ) | 64,087 | 1.31 | 0.08 | 2.00 | (0.61 | ) | 75 | |||||||||||||||||||||||||
10.07 | (4.64 | ) | 15,406 | 2.00 | (0.55 | ) | 2.62 | (1.17 | ) | 75 | ||||||||||||||||||||||||
10.08 | (4.64 | ) | 6,559 | 2.01 | (0.56 | ) | 2.63 | (1.18 | ) | 75 | ||||||||||||||||||||||||
10.20 | (3.64 | ) | 62,763 | 0.94 | 0.60 | 1.56 | (0.02 | ) | 75 | |||||||||||||||||||||||||
10.16 | (4.07 | ) | 54 | 1.44 | 0.01 | 2.06 | (0.61 | ) | 75 | |||||||||||||||||||||||||
Income from | ||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
of period | income (loss) | gain (loss) | operations | income | gains | distributions | ||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 29, (Unaudited) | ||||||||||||||||||||||||||||||||
2004 - Class A Shares | $ | 9.48 | $ | 0.05 | (c) | $ | 1.69 | $ | 1.74 | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | |||||||||||||||
2004 - Class B Shares | 9.40 | 0.01 | (c) | 1.68 | 1.69 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||||||
2004 - Class C Shares | 9.42 | 0.01 | (c) | 1.68 | 1.69 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||||||
2004 - Institutional Shares | 9.47 | 0.07 | (c) | 1.69 | 1.76 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||||||
2004 - Service Shares | 9.50 | 0.05 | (c) | 1.70 | 1.75 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2003 - Class A Shares | 8.74 | 0.10 | (c) | 0.74 | 0.84 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||||||
2003 - Class B Shares | 8.67 | 0.03 | (c) | 0.73 | 0.76 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||||
2003 - Class C Shares | 8.68 | 0.03 | (c) | 0.74 | 0.77 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||||
2003 - Institutional Shares | 8.74 | 0.13 | (c) | 0.73 | 0.86 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||||||
2003 - Service Shares | 8.74 | 0.09 | (c) | 0.74 | 0.83 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||||||
2002 - Class A Shares | 10.31 | 0.07 | (c) | (1.57 | ) | (1.50 | ) | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||||
2002 - Class B Shares | 10.24 | — | (c)(d) | (1.56 | ) | (1.56 | ) | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||||
2002 - Class C Shares | 10.25 | — | (c)(d) | (1.56 | ) | (1.56 | ) | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||||
2002 - Institutional Shares | 10.31 | 0.11 | (c) | (1.57 | ) | (1.46 | ) | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||||
2002 - Service Shares | 10.31 | 0.07 | (c) | (1.58 | ) | (1.51 | ) | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||||
2001 - Class A Shares | 10.81 | 0.07 | (c) | (0.42 | ) | (0.35 | ) | (0.09 | ) | (0.06 | ) | (0.15 | ) | |||||||||||||||||||
2001 - Class B Shares | 10.75 | (0.01 | )(c) | (0.42 | ) | (0.43 | ) | (0.02 | ) | (0.06 | ) | (0.08 | ) | |||||||||||||||||||
2001 - Class C Shares | 10.76 | (0.01 | )(c) | (0.42 | ) | (0.43 | ) | (0.02 | ) | (0.06 | ) | (0.08 | ) | |||||||||||||||||||
2001 - Institutional Shares | 10.82 | 0.11 | (c) | (0.43 | ) | (0.32 | ) | (0.13 | ) | (0.06 | ) | (0.19 | ) | |||||||||||||||||||
2001 - Service Shares | 10.81 | 0.06 | (c) | (0.42 | ) | (0.36 | ) | (0.08 | ) | (0.06 | ) | (0.14 | ) | |||||||||||||||||||
2000 - Class A Shares | 10.55 | 0.12 | (c) | 0.36 | 0.48 | (0.10 | ) | (0.12 | ) | (0.22 | ) | |||||||||||||||||||||
2000 - Class B Shares | 10.50 | 0.05 | (c) | 0.36 | 0.41 | (0.04 | ) | (0.12 | ) | (0.16 | ) | |||||||||||||||||||||
2000 - Class C Shares | 10.51 | 0.04 | (c) | 0.37 | 0.41 | (0.04 | ) | (0.12 | ) | (0.16 | ) | |||||||||||||||||||||
2000 - Institutional Shares | 10.55 | 0.16 | (c) | 0.37 | 0.53 | (0.14 | ) | (0.12 | ) | (0.26 | ) | |||||||||||||||||||||
2000 - Service Shares | 10.55 | 0.11 | (c) | 0.36 | 0.47 | (0.09 | ) | (0.12 | ) | (0.21 | ) | |||||||||||||||||||||
FOR THE SEVEN-MONTH PERIOD ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
1999 - Class A Shares | 10.15 | 0.04 | 0.40 | 0.44 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||||||
1999 - Class B Shares | 10.15 | 0.01 | 0.36 | 0.37 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||||||
1999 - Class C Shares | 10.15 | 0.01 | 0.37 | 0.38 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||||||
1999 - Institutional Shares | 10.16 | 0.06 | 0.38 | 0.44 | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||||||||
1999 - Service Shares | 10.16 | 0.02 | 0.40 | 0.42 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. | |
(b) | Annualized. | |
(c) | Calculated based on the average shares outstanding methodology. | |
(d) | Less than $.005 per share. |
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income (loss) | total expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 11.17 | 18.44 | % | $ | 96,122 | 1.10 | %(b) | 1.01 | %(b) | 1.12 | %(b) | 0.99 | %(b) | 73 | % | |||||||||||||||||||
11.08 | 18.04 | 20,393 | 1.85 | (b) | 0.26 | (b) | 1.87 | (b) | 0.24 | (b) | 73 | |||||||||||||||||||||||
11.10 | 18.01 | 16,681 | 1.85 | (b) | 0.26 | (b) | 1.87 | (b) | 0.24 | (b) | 73 | |||||||||||||||||||||||
11.16 | 18.69 | 187,575 | 0.70 | (b) | 1.41 | (b) | 0.72 | (b) | 1.39 | (b) | 73 | |||||||||||||||||||||||
11.20 | 18.46 | 419 | 1.20 | (b) | 0.91 | (b) | 1.22 | (b) | 0.89 | (b) | 73 | |||||||||||||||||||||||
9.48 | 9.70 | 79,866 | 1.11 | 1.13 | 1.22 | 1.02 | 102 | |||||||||||||||||||||||||||
9.40 | 8.83 | 18,077 | 1.86 | 0.38 | 1.97 | 0.27 | 102 | |||||||||||||||||||||||||||
9.42 | 8.95 | 13,798 | 1.86 | 0.37 | 1.97 | 0.26 | 102 | |||||||||||||||||||||||||||
9.47 | 10.03 | 145,059 | 0.71 | 1.52 | 0.82 | 1.41 | 102 | |||||||||||||||||||||||||||
9.50 | 9.58 | 327 | 1.21 | 1.02 | 1.32 | 0.91 | 102 | |||||||||||||||||||||||||||
8.74 | (14.61 | ) | 76,472 | 1.11 | 0.76 | 1.20 | 0.67 | 112 | ||||||||||||||||||||||||||
8.67 | (15.28 | ) | 18,828 | 1.86 | 0.00 | 1.95 | (0.09 | ) | 112 | |||||||||||||||||||||||||
8.68 | (15.26 | ) | 12,533 | 1.86 | 0.01 | 1.95 | (0.08 | ) | 112 | |||||||||||||||||||||||||
8.74 | (14.25 | ) | 108,613 | 0.71 | 1.15 | 0.80 | 1.06 | 112 | ||||||||||||||||||||||||||
8.74 | (14.70 | ) | 281 | 1.21 | 0.72 | 1.30 | 0.63 | 112 | ||||||||||||||||||||||||||
10.31 | (3.32 | ) | 89,861 | 1.10 | 0.64 | 1.17 | 0.57 | 70 | ||||||||||||||||||||||||||
10.24 | (4.08 | ) | 22,089 | 1.85 | (0.11 | ) | 1.92 | (0.18 | ) | 70 | ||||||||||||||||||||||||
10.25 | (4.07 | ) | 15,222 | 1.85 | (0.11 | ) | 1.92 | (0.18 | ) | 70 | ||||||||||||||||||||||||
10.31 | (3.03 | ) | 132,684 | 0.70 | 1.04 | 0.77 | 0.97 | 70 | ||||||||||||||||||||||||||
10.31 | (3.43 | ) | 56 | 1.20 | 0.52 | 1.27 | 0.45 | 70 | ||||||||||||||||||||||||||
10.81 | 4.68 | 100,972 | 1.06 | 1.14 | 1.17 | 1.03 | 83 | |||||||||||||||||||||||||||
10.75 | 3.96 | 19,069 | 1.81 | 0.44 | 1.92 | 0.33 | 83 | |||||||||||||||||||||||||||
10.76 | 3.97 | 11,178 | 1.81 | 0.45 | 1.92 | 0.34 | 83 | |||||||||||||||||||||||||||
10.82 | 5.20 | 175,493 | 0.66 | 1.54 | 0.77 | 1.43 | 83 | |||||||||||||||||||||||||||
10.81 | 4.60 | 12 | 1.16 | 1.07 | 1.27 | 0.96 | 83 | |||||||||||||||||||||||||||
10.55 | 4.31 | 91,072 | 1.04 | (b) | 0.87 | (b) | 1.21 | (b) | 0.70 | (b) | 36 | |||||||||||||||||||||||
10.50 | 3.68 | 14,464 | 1.79 | (b) | 0.05 | (b) | 1.96 | (b) | (0.12 | )(b) | 36 | |||||||||||||||||||||||
10.51 | 3.73 | 8,032 | 1.79 | (b) | 0.09 | (b) | 1.96 | (b) | (0.08 | )(b) | 36 | |||||||||||||||||||||||
10.55 | 4.35 | 189,540 | 0.64 | (b) | 1.29 | (b) | 0.81 | (b) | 1.12 | (b) | 36 | |||||||||||||||||||||||
10.55 | 4.11 | 13 | 1.14 | (b) | 0.72 | (b) | 1.31 | (b) | 0.55 | (b) | 36 | |||||||||||||||||||||||
Income from | ||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||
Net asset | Net | |||||||||||||||||||||||||||||||
value, | investment | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | income | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
of period | (loss) | gain (loss) | operations | income | gains | distributions | ||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 29, (Unaudited) | ||||||||||||||||||||||||||||||||
2004 - Class A Shares | $ | 7.66 | $ | (0.01 | ) (c) | $ | 1.90 | $ | 1.89 | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | |||||||||||||||
2004 - Class B Shares | 7.56 | (0.03 | ) (c) | 1.88 | 1.85 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||||
2004 - Class C Shares | 7.56 | (0.03 | ) (c) | 1.87 | 1.84 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||||
2004 - Institutional Shares | 7.80 | 0.02 | (c) | 1.93 | 1.95 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||||||
2004 - Service Shares | 7.70 | — | (c)(d) | 1.90 | 1.90 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2003 - Class A Shares | 7.35 | 0.08 | (c) | 0.28 | 0.36 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||||||
2003 - Class B Shares | 7.24 | 0.04 | (c) | 0.28 | 0.32 | — | (d) | — | — | (d) | ||||||||||||||||||||||
2003 - Class C Shares | 7.25 | 0.04 | (c) | 0.28 | 0.32 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||||||
2003 - Institutional Shares | 7.49 | 0.12 | (c) | 0.29 | 0.41 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||||||
2003 - Service Shares | 7.39 | 0.10 | (c) | 0.27 | 0.37 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||||||
2002 - Class A Shares | 8.38 | 0.03 | (c) | (1.06 | ) | (1.03 | ) | — | — | — | ||||||||||||||||||||||
2002 - Class B Shares | 8.29 | (0.01 | ) (c) | (1.04 | ) | (1.05 | ) | — | — | — | ||||||||||||||||||||||
2002 - Class C Shares | 8.30 | (0.01 | ) (c) | (1.04 | ) | (1.05 | ) | — | — | — | ||||||||||||||||||||||
2002 - Institutional Shares | 8.50 | 0.08 | (c) | (1.07 | ) | (0.99 | ) | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||
2002 - Service Shares | 8.41 | 0.05 | (c) | (1.07 | ) | (1.02 | ) | — | — | — | ||||||||||||||||||||||
2001 - Class A Shares | 11.32 | — | (c)(d) | (2.35 | ) | (2.35 | ) | (0.04 | ) | (0.55 | ) | (0.59 | ) | |||||||||||||||||||
2001 - Class B Shares | 11.22 | (0.04 | ) (c) | (2.34 | ) | (2.38 | ) | — | (0.55 | ) | (0.55 | ) | ||||||||||||||||||||
2001 - Class C Shares | 11.23 | (0.04 | ) (c) | (2.34 | ) | (2.38 | ) | — | (0.55 | ) | (0.55 | ) | ||||||||||||||||||||
2001 - Institutional Shares | 11.48 | 0.07 | (c) | (2.39 | ) | (2.32 | ) | (0.11 | ) | (0.55 | ) | (0.66 | ) | |||||||||||||||||||
2001 - Service Shares | 11.36 | 0.02 | (c) | (2.36 | ) | (2.34 | ) | (0.06 | ) | (0.55 | ) | (0.61 | ) | |||||||||||||||||||
2000 - Class A Shares | 10.87 | 0.02 | (c) | 0.74 | 0.76 | (0.05 | ) | (0.26 | ) | (0.31 | ) | |||||||||||||||||||||
2000 - Class B Shares | 10.81 | (0.04 | ) (c) | 0.73 | 0.69 | (0.02 | ) | (0.26 | ) | (0.28 | ) | |||||||||||||||||||||
2000 - Class C Shares | 10.82 | (0.03 | ) (c) | 0.72 | 0.69 | (0.02 | ) | (0.26 | ) | (0.28 | ) | |||||||||||||||||||||
2000 - Institutional Shares | 11.00 | 0.09 | (c) | 0.75 | 0.84 | (0.10 | ) | (0.26 | ) | (0.36 | ) | |||||||||||||||||||||
2000 - Service Shares | 10.93 | 0.05 | (c) | 0.73 | 0.78 | (0.09 | ) | (0.26 | ) | (0.35 | ) | |||||||||||||||||||||
FOR THE SEVEN-MONTH PERIOD ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
1999 - Class A Shares | 9.98 | 0.05 | 0.84 | 0.89 | — | — | — | |||||||||||||||||||||||||
1999 - Class B Shares | 9.95 | 0.01 | 0.85 | 0.86 | — | — | — | |||||||||||||||||||||||||
1999 - Class C Shares | 9.96 | 0.01 | 0.85 | 0.86 | — | — | — | |||||||||||||||||||||||||
1999 - Institutional Shares | 10.06 | 0.09 | 0.85 | 0.94 | — | — | — | |||||||||||||||||||||||||
1999 - Service Shares | 10.02 | 0.01 | 0.90 | 0.91 | — | — | — | |||||||||||||||||||||||||
FOR THE YEAR ENDED JANUARY 31, | ||||||||||||||||||||||||||||||||
1999 - Class A Shares | 9.22 | (0.01 | ) | 0.79 | 0.78 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||||
1999 - Class B Shares | 9.21 | — | 0.74 | 0.74 | — | — | — | |||||||||||||||||||||||||
1999 - Class C Shares | 9.22 | — | 0.74 | 0.74 | — | — | — | |||||||||||||||||||||||||
1999 - Institutional Shares | 9.24 | 0.05 | 0.80 | 0.85 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||||||
1999 - Service Shares | 9.23 | — | 0.81 | 0.81 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. | |
(b) | Annualized. | |
(c) | Calculated based on the average shares outstanding methodology. |
(d) | Less than $.005 per share. |
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income (loss) | total expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 9.48 | 24.72 | % | $ | 115,097 | 1.66 | %(b) | (0.15 | )%(b) | 1.73 | %(b) | (0.22 | )%(b) | 60 | % | |||||||||||||||||||
9.38 | 24.44 | 6,930 | 2.16 | (b) | (0.65 | )(b) | 2.23 | (b) | (0.72 | )(b) | 60 | |||||||||||||||||||||||
9.38 | 24.41 | 4,264 | 2.16 | (b) | (0.65 | )(b) | 2.23 | (b) | (0.72 | )(b) | 60 | |||||||||||||||||||||||
9.64 | 25.19 | 253,578 | 1.01 | (b) | 0.50 | (b) | 1.08 | (b) | 0.43 | (b) | 60 | |||||||||||||||||||||||
9.52 | 24.82 | 38 | 1.51 | (b) | 0.00 | (b) | 1.58 | (b) | (0.07 | )(b) | 60 | |||||||||||||||||||||||
7.66 | 5.00 | 95,015 | 1.67 | 1.12 | 1.84 | 0.95 | 122 | |||||||||||||||||||||||||||
7.56 | 4.45 | 5,574 | 2.17 | 0.56 | 2.34 | 0.39 | 122 | |||||||||||||||||||||||||||
7.56 | 4.38 | 3,646 | 2.17 | 0.64 | 2.34 | 0.47 | 122 | |||||||||||||||||||||||||||
7.80 | 5.64 | 158,021 | 1.02 | 1.73 | 1.19 | 1.56 | 122 | |||||||||||||||||||||||||||
7.70 | 5.14 | 31 | 1.52 | 1.45 | 1.69 | 1.28 | 122 | |||||||||||||||||||||||||||
7.35 | (12.29 | ) | 72,405 | 1.67 | 0.38 | 1.82 | 0.23 | 115 | ||||||||||||||||||||||||||
7.24 | (12.67 | ) | 6,434 | 2.17 | (0.07 | ) | 2.32 | (0.22 | ) | 115 | ||||||||||||||||||||||||
7.25 | (12.65 | ) | 3,963 | 2.17 | (0.07 | ) | 2.32 | (0.22 | ) | 115 | ||||||||||||||||||||||||
7.49 | (11.68 | ) | 188,858 | 1.02 | 1.02 | 1.17 | 0.87 | 115 | ||||||||||||||||||||||||||
7.39 | (12.13 | ) | 18 | 1.52 | 0.60 | 1.67 | 0.45 | 115 | ||||||||||||||||||||||||||
8.38 | (21.50 | ) | 108,955 | 1.66 | 0.00 | 1.77 | (0.11 | ) | 93 | |||||||||||||||||||||||||
8.29 | (21.93 | ) | 8,575 | 2.16 | (0.47 | ) | 2.27 | (0.58 | ) | 93 | ||||||||||||||||||||||||
8.30 | (21.91 | ) | 5,114 | 2.16 | (0.44 | ) | 2.27 | (0.55 | ) | 93 | ||||||||||||||||||||||||
8.50 | (21.02 | ) | 291,596 | 1.01 | 0.70 | 1.12 | 0.59 | 93 | ||||||||||||||||||||||||||
8.41 | (21.37 | ) | 21 | 1.51 | 0.21 | 1.62 | 0.10 | 93 | ||||||||||||||||||||||||||
11.32 | 6.92 | 147,409 | 1.66 | 0.14 | 1.75 | 0.05 | 92 | |||||||||||||||||||||||||||
11.22 | 6.36 | 12,032 | 2.16 | (0.36 | ) | 2.25 | (0.45 | ) | 92 | |||||||||||||||||||||||||
11.23 | 6.34 | 6,887 | 2.16 | (0.34 | ) | 2.25 | (0.43 | ) | 92 | |||||||||||||||||||||||||
11.48 | 7.62 | 308,074 | 1.01 | 0.78 | 1.10 | 0.69 | 92 | |||||||||||||||||||||||||||
11.36 | 7.05 | 27 | 1.51 | 0.33 | 1.60 | 0.24 | 92 | |||||||||||||||||||||||||||
10.87 | 8.92 | 114,502 | 1.66 | (b) | 0.78 | (b) | 1.76 | (b) | 0.68 | (b) | 65 | |||||||||||||||||||||||
10.81 | 8.64 | 9,171 | 2.16 | (b) | 0.26 | (b) | 2.26 | (b) | 0.16 | (b) | 65 | |||||||||||||||||||||||
10.82 | 8.63 | 4,913 | 2.16 | (b) | 0.23 | (b) | 2.26 | (b) | 0.13 | (b) | 65 | |||||||||||||||||||||||
11.00 | 9.34 | 271,212 | 1.01 | (b) | 1.43 | (b) | 1.11 | (b) | 1.33 | (b) | 65 | |||||||||||||||||||||||
10.93 | 9.08 | 8 | 1.51 | (b) | 0.07 | (b) | 1.61 | (b) | (0.03 | )(b) | 65 | |||||||||||||||||||||||
9.98 | 8.37 | 110,338 | 1.63 | (0.11 | ) | 1.94 | (0.42 | ) | 195 | |||||||||||||||||||||||||
9.95 | 8.03 | 7,401 | 2.08 | (0.03 | ) | 2.39 | (0.34 | ) | 195 | |||||||||||||||||||||||||
9.96 | 8.03 | 3,742 | 2.08 | (0.04 | ) | 2.39 | (0.35 | ) | 195 | |||||||||||||||||||||||||
10.06 | 9.20 | 280,731 | 1.01 | 0.84 | 1.32 | 0.53 | 195 | |||||||||||||||||||||||||||
10.02 | 8.74 | 22 | 1.50 | 0.02 | 1.81 | (0.29 | ) | 195 | ||||||||||||||||||||||||||
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F U N D S P R O F I L E Goldman Sachs Funds THE GOLDMAN SACHS ADVANTAGE Our goal is to deliver: Strong, Consistent Investment Results Global Resources and Global Research Team Approach Disciplined Processes Innovative, Value-Added Investment Products Thoughtful Solutions Risk Management Outstanding Client Service Dedicated Service Teams Excellence and Integrity Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets. Today, Goldman Sachs Asset Management, L.P. and other units of the Investment Management Division of Goldman Sachs serve a diverse set of clients worldwide, including private institutions, public entities and individuals. With portfolio management teams located around the world — and $375.7 billion in assets under management as of December 31, 2003 — our investment professionals bring firsthand knowledge of local markets to every investment decision, making us one of the few truly global asset managers. G O L D M A N S A C H S F U N D S In building a globally diversified portfolio, you can select from more than 50 Goldman Sachs Funds and gain access to investment opportunities across borders, investment styles, asset classes and security capitalizations. Asset Allocation Funds Balanced Fund Domestic Equity Funds Asset Allocation Portfolios Small Cap Value Fund CORESM Small Cap Equity Fund Fixed Income Funds Mid Cap Value Fund Emerging Markets Debt Fund Concentrated Growth Fund High Yield Fund International Equity Funds Growth Opportunities Fund High Yield Municipal Fund Asia Growth Fund Research Select FundSM Global Income Fund Emerging Markets Equity Fund Strategic Growth Fund Investment Grade Credit Fund International Growth Capital Growth Fund Core Fixed Income Fund Opportunities Fund Large Cap Value Fund U.S. Mortgages Fund Japanese Equity Fund Growth and Income Fund Municipal Income Fund European Equity Fund CORESM Large Cap Growth Fund Government Income Fund International Equity Fund CORESM Large Cap Value Fund Short Duration Tax-Free Fund CORESM International Equity Fund CORESM U.S. Equity Fund Short Duration Government Fund Ultra-Short Duration Government Specialty Funds Fund Internet Tollkeeper FundSM Enhanced Income Fund CORESM Tax-Managed Equity Fund Real Estate Securities Fund Money Market Funds1 1 An investment in a money market fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Funds. The Goldman Sachs Research Select FundSM, Internet Tollkeeper FundSM and CORESM are service marks of Goldman, Sachs & Co. |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, 32ND FLOOR, NEW YORK, NEW YORK 10005 T R U S T E E S Ashok N. Bakhru, Chairman John P. Coblentz, Jr. Patrick T. Harker James A. McNamara Mary Patterson McPherson Alan A. Shuch Wilma J. Smelcer Richard P. Strubel Kaysie P. Uniacke O F F I C E R S Kaysie P. Uniacke, President James A. Fitzpatrick, Vice President James A. McNamara, Vice President John M. Perlowski, Treasurer Howard B. Surloff, Secretary G O L D M A N , S AC H S & CO. Distributor and Transfer Agent G O L D M A N S AC H S A S S E T M A N AG E M E N T, L . P. Investment Adviser Visit our Web site at www.gs.com/funds to obtain the most recent month-end returns The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov. This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus for the Funds. Please consider a fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. Holdings are as of February 29, 2004 and are subject to change in the future. Fund holdings of stocks or bonds should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Emerging markets securities are volatile. They are subject to substantial currency fluctuations and sudden economic and political developments. At times, a Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The stocks of smaller companies are often more volatile and present greater risks than stocks of larger companies. At times, a Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. CORESM is a service mark of Goldman, Sachs & Co. Goldman, Sachs & Co. is the distributor of the Funds. Copyright 2004 Goldman, Sachs & Co. All rights reserved. Date of first use: April 29, 2004 / 04-513 CORESAR / 66.0K / 04-04 |
ITEM 2. | CODE OF ETHICS. |
(a) | As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). |
(b) | During the period covered by this report, no amendments were made to the provisions of the Code of Ethics. |
(c) | During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics. |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its audit committee. John P. Coblentz, Jr. is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR). |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable to the semi-annual report for the period ended February 29, 2004. |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable. |
ITEM 6. | SCHEDULE OF INVESTMENTS |
Not applicable to the semi-annual report for the period ended February 29, 2004. |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable. |
ITEM 8. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
Not applicable. |
ITEM 9. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees. |
ITEM 10. | CONTROLS AND PROCEDURES. |
(a) | The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. | ||
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal half-year (the registrant’s second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect the registrant’s internal control over financial reporting. |
ITEM 11. | EXHIBITS. |
(a)(1) | Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 11(a)(1) of the registrant’s Form N-CSR filed on March 8, 2004 for its Real Estate Securities Fund (Accession Number 0000950123 04-002984) | |||
(a)(2) | Exhibit 99.CERT Exhibit 99.906CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Goldman Sachs Trust | ||
/s/ Kaysie Uniacke | ||
By: Kaysie Uniacke | ||
Chief Executive Officer of | ||
Goldman Sachs Trust | ||
Date: May 3, 2004 | ||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | ||
/s/ Kaysie Uniacke | ||
By: Kaysie Uniacke | ||
Chief Executive Officer of | ||
Goldman Sachs Trust | ||
Date: May 3, 2004 | ||
/s/ John M. Perlowski | ||
By: John M. Perlowski | ||
Chief Financial Officer of | ||
Goldman Sachs Trust | ||
Date: May 3, 2004 |