UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D. C. 20549 FORM N-CSRS Investment Company Act file number 811-06576 SCUDDER ADVISOR FUNDS III -------------------------------- (Exact Name of Registrant as Specified in Charter) One South Street, Baltimore, Maryland 21202 -------------------------------------------- (Address of Principal Executive Offices) (Zip Code) Registrant's Telephone Number, including Area Code: (617) 295-2663 -------------- Salvatore Schiavone Two International Place Boston, Massachusetts 02110 --------------------------------------- (Name and Address of Agent for Service) Date of fiscal year end: 3/31 Date of reporting period: 9/30/2004ITEM 1. REPORT TO STOCKHOLDERS
[Scudder Investments logo]
Scudder Lifecycle Long Range FundScudder Lifecycle Mid Range FundScudder Lifecycle Short Range Fund | ||
Semiannual Report to Shareholders | ||
September 30, 2004 |
Contents |
<Click Here> Performance Summary <Click Here> Information About Your Fund's Expenses <Click Here> Portfolio Management Review <Click Here> Portfolio Summary <Click Here> Financial Statements <Click Here> Financial Highlights <Click Here> Notes to Financial Statements <Click Here> Account Management Resources <Click Here> Privacy Statement |
This report must be preceded or accompanied by a prospectus. To obtain a prospectus for any of our funds, refer to the Account Management Resources information provided in the back of this booklet. We advise you to consider the funds' objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other important information about the funds. Please read the prospectus carefully before you invest.
Investments in mutual funds involve risk. Some funds have more risk than others. Although asset allocation among different asset classes generally limits risk and exposure to any one class, the risk remains that the investment advisor may favor an asset class that performs poorly relative to the other asset classes. Additionally, derivatives may be more volatile and less liquid than traditional securities, and the fund could suffer losses on its derivatives positions. Please read each fund's prospectus for specific details regarding its investments and risk profile.
Scudder Investments is part of Deutsche Asset Management, which is the marketing name in the US for the asset management activities of Deutsche Bank AG, Deutsche Investment Management Americas Inc., Deutsche Asset Management Inc., Deutsche Asset Management Investment Services Ltd., Deutsche Bank Trust Company Americas and Scudder Trust Company.
Fund shares are not FDIC-insured and are not deposits or other obligations of, or guaranteed by, any bank. Fund shares involve investment risk, including possible loss of principal.
Scudder Lifecycle Long Range Fund
All performance shown is historical, assumes reinvestment of all dividends and capital gains, and does not guarantee future results. Investment return and principal value fluctuate with changing market conditions so that, when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please visit scudder.com for the product's most recent month-end performance.
Returns and rankings during all periods shown reflect a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns and rankings would have been lower.
Performance figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Returns and rankings may differ by share class.
On July 25, 2003, the Investment Class of the Fund was issued in conjunction with the combination of Scudder Lifecycle Long Range Fund (the "Acquired Fund") and the Fund (formerly known as "Scudder Asset Management Fund"). The Acquired Fund and the Fund each was a feeder fund investing all of its investable assets in the same master portfolio, the Asset Management Portfolio. Returns of the Investment Class shown prior to July 25, 2003 are derived from the historical performance of the Institutional Class of the Scudder Lifecycle Long Range Fund during such periods and have been adjusted to reflect the higher gross total annual operating expenses of the Investment Class. Any difference in expenses will affect performance.
Average Annual Total Returns as of 9/30/04 | |||||
6-Month+ | 1-Year | 3-Year | 5-Year | 10-Year | |
Institutional Class* | -.09% | 10.14% | 4.89% | 2.32% | 9.58% |
Investment Class | -.27% | 9.65% | 4.43% | 1.88% | 9.14% |
S&P 500 Index+ | -.18% | 13.87% | 4.05% | -1.31% | 11.08% |
Citigroup Broad Investment Grade Bond Index++ | .74% | 3.82% | 5.88% | 7.49% | 7.67% |
Asset Allocation Index - Long Range+++ | .26% | 9.07% | 4.80% | 2.54% | 9.54% |
+ Total returns shown for periods less than one year are not annualized.
Sources: Lipper Inc. and Deutsche Asset Management, Inc.
* On August 13, 2004, Premier Class shares of the Fund were renamed to Institutional Class.Net Asset Value and Distribution Information | ||
Investment Class | Institutional Class | |
Net Asset Value: 9/30/04 | $ 10.29 | $ 10.69 |
3/31/04 | $ 10.43 | $ 10.84 |
Distribution Information: Six Months: Income Dividends as of 9/30/04 | $ .11 | $ .14 |
Institutional Class Lipper Rankings - Flexible Portfolio Funds Category as of 9/30/04 | ||||
Period | Rank | Number of Funds Tracked | Percentile Ranking | |
1-Year | 180 | of | 332 | 55 |
3-Year | 117 | of | 264 | 45 |
5-Year | 69 | of | 188 | 37 |
10-Year | 18 | of | 75 | 24 |
Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on total return with distributions reinvested. Rankings are for Institutional Class shares; other share classes may vary.
Growth of an Assumed $1,000,000 Investment |
[] Scudder Lifecycle Long Range Fund - Institutional Class [] S&P 500 Index+[] Citigroup Broad Investment Grade Bond Index++ [] Asset Allocation Index - Long Range+++ |
Yearly periods ended September 30 |
Comparative Results as of 9/30/04 | |||||
Scudder Lifecycle Long Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Institutional Class* | Growth of $1,000,000 | $1,101,400 | $1,154,000 | $1,121,600 | $2,496,500 |
Average annual total return | 10.14% | 4.89% | 2.32% | 9.58% | |
S&P 500 Index+ | Growth of $1,000,000 | $1,138,700 | $1,126,300 | $936,300 | $2,861,200 |
Average annual total return | 13.87% | 4.05% | -1.31% | 11.08% | |
Citigroup Broad Investment Grade Bond Index++ | Growth of $1,000,000 | $1,038,200 | $1,186,900 | $1,434,800 | $2,094,600 |
Average annual total return | 3.82% | 5.88% | 7.49% | 7.67% | |
Asset Allocation Index - Long Range+++ | Growth of $1,000,000 | $1,090,700 | $1,150,900 | $1,133,500 | $2,486,800 |
Average annual total return | 9.07% | 4.80% | 2.54% | 9.54% |
The growth of $1,000,000 is cumulative.
The minimum investment for the Institutional Class is $1,000,000.
* On August 13, 2004, Premier Class shares of the Fund were renamed to Institutional Class.Growth of an Assumed $10,000 Investment |
[] Scudder Lifecycle Long Range Fund - Investment Class [] S&P 500 Index+[] Citigroup Broad Investment Grade Bond Index++ [] Asset Allocation Index - Long Range+++ |
Yearly periods ended September 30 |
Comparative Results as of 9/30/04 | |||||
Scudder Lifecycle Long Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Investment Class | Growth of $10,000 | $10,965 | $11,389 | $10,973 | $23,969 |
Average annual total return | 9.65% | 4.43% | 1.88% | 9.14% | |
S&P 500 Index+ | Growth of $10,000 | $11,387 | $11,263 | $9,363 | $28,612 |
Average annual total return | 13.87% | 4.05% | -1.31% | 11.08% | |
Citigroup Broad Investment Grade Bond Index++ | Growth of $10,000 | $10,382 | $11,869 | $14,348 | $20,946 |
Average annual total return | 3.82% | 5.88% | 7.49% | 7.67% | |
Asset Allocation Index - Long Range+++ | Growth of $10,000 | $10,907 | $11,509 | $11,335 | $24,868 |
Average annual total return | 9.07% | 4.80% | 2.54% | 9.54% |
The growth of $10,000 is cumulative.
+ The Standard & Poor's (S&P) 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.++ Citigroup Broad Investment Grade Bond Index (formerly Salomon Broad Investment Grade Bond Index) covers an all inclusive universe of institutionally traded US treasury, agency, mortgage and corporate securities.
+++ Asset Allocation Index - Long Range is calculated using the performance of three unmanaged indices representative of stocks (S&P 500 Index), bonds (Citigroup Broad Investment Grade Bond Index) and cash (Merrill Lynch 3-month T-bill Index) weighted by their corresponding proportion of the Fund's neutral position (stocks: 55%; bonds: 35%; cash: 10%). These results are summed to produce the aggregate benchmark. The S&P 500 Index measures the performance of 500 large US companies. The Citigroup Broad Investment Grade Bond Index covers an all inclusive universe of institutionally traded US Treasury, agency, mortgage and corporate securities. The Merrill Lynch 3-month T-bill Index is representative of the 3-month Treasury market.
Index returns assume reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
Scudder Lifecycle Mid Range Fund
All performance shown is historical, assumes reinvestment of all dividends and capital gains, and does not guarantee future results. Investment return and principal value fluctuate with changing market conditions so that, when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please visit scudder.com for the product's most recent month-end performance.
Returns and rankings during all periods shown reflect a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns and rankings would have been lower.
Performance figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
Average Annual Total Returns as of 9/30/04 | |||||
6-Month+ | 1-Year | 3-Year | 5-Year | 10-Year | |
Investment Class | -.35% | 7.03% | 4.41% | 3.29% | 8.24% |
S&P 500 Index+ | -.18% | 13.87% | 4.05% | -1.31% | 11.08% |
Citigroup Broad Investment Grade Bond Index++ | .74% | 3.82% | 5.88% | 7.49% | 7.67% |
Asset Allocation Index - Mid Range+++ | .43% | 6.78% | 4.69% | 3.84% | 8.48% |
+ Total returns shown for periods less than one year are not annualized.
Sources: Lipper Inc. and Deutsche Asset Management, Inc.
Net Asset Value and Distribution Information | |
Investment Class | |
Net Asset Value: 9/30/04 | $ 9.70 |
3/31/04 | $ 9.86 |
Distribution Information: Six Months: Income Dividends as of 9/30/04 | $ .13 |
Investment Class Lipper Rankings - Flexible Portfolio Funds Category as of 9/30/04 | ||||
Period | Rank | Number of Funds Tracked | Percentile Ranking | |
1-Year | 271 | of | 332 | 82 |
3-Year | 149 | of | 264 | 56 |
5-Year | 51 | of | 188 | 27 |
10-Year | 46 | of | 75 | 60 |
Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on total return with distributions reinvested.
Growth of an Assumed $10,000 Investment |
[] Scudder Lifecycle Mid Range Fund - Investment Class [] S&P 500 Index+[] Citigroup Broad Investment Grade Bond Index++ [] Asset Allocation Index - Mid Range+++ |
Yearly periods ended September 30 |
Comparative Results as of 9/30/04 | |||||
Scudder Lifecycle Mid Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Investment Class | Growth of $10,000 | $10,703 | $11,382 | $11,756 | $22,064 |
Average annual total return | 7.03% | 4.41% | 3.29% | 8.24% | |
S&P 500 Index+ | Growth of $10,000 | $11,387 | $11,263 | $9,363 | $28,612 |
Average annual total return | 13.87% | 4.05% | -1.31% | 11.08% | |
Citigroup Broad Investment Grade Bond Index++ | Growth of $10,000 | $10,382 | $11,869 | $14,348 | $20,946 |
Average annual total return | 3.82% | 5.88% | 7.49% | 7.67% | |
Asset Allocation Index - Mid Range+++ | Growth of $10,000 | $10,678 | $11,473 | $12,071 | $22,561 |
Average annual total return | 6.78% | 4.69% | 3.84% | 8.48% |
The growth of $10,000 is cumulative.
+ The Standard & Poor's (S&P) 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.++ Citigroup Broad Investment Grade Bond Index (formerly Salomon Broad Investment Grade Bond Index) covers an all inclusive universe of institutionally traded US treasury, agency, mortgage and corporate securities.
+++ Asset Allocation Index - Mid Range is calculated using the performance of three unmanaged indices representative of stocks (S&P 500 Index), bonds (Citigroup Broad Investment Grade Bond Index) and cash (Merrill Lynch 3-month T-bill Index) weighted by their corresponding proportion of the Fund's neutral position (stocks: 35%; bonds: 45%; cash: 20%). These results are summed to produce the aggregate benchmark. The S&P 500 Index measures the performance of 500 large US companies. The Citigroup Broad Investment Grade Bond Index covers an all inclusive universe of institutionally traded US Treasury, agency, mortgage and corporate securities. The Merrill Lynch 3-month T-bill Index is representative of the 3-month Treasury market.
Index returns assume reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
Scudder Lifecycle Short Range Fund
All performance shown is historical, assumes reinvestment of all dividends and capital gains, and does not guarantee future results. Investment return and principal value fluctuate with changing market conditions so that, when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please visit scudder.com for the product's most recent month-end performance.
Returns and rankings during all periods shown reflect a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns and rankings would have been lower.
Performance figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
Average Annual Total Returns as of 9/30/04 | |||||
6-Month+ | 1-Year | 3-Year | 5-Year | 10-Year | |
Investment Class | -.28% | 4.58% | 4.14% | 4.46% | 7.08% |
S&P 500 Index+ | -.18% | 13.87% | 4.05% | -1.31% | 11.08% |
Citigroup Broad Investment Grade Bond Index++ | .74% | 3.82% | 5.88% | 7.49% | 7.67% |
Asset Allocation Index - Short Range+++ | .59% | 4.51% | 4.47% | 5.03% | 7.32% |
+ Total returns shown for periods less than one year are not annualized.
Sources: Lipper Inc. and Deutsche Asset Management, Inc.
Net Asset Value and Distribution Information | |
Investment Class | |
Net Asset Value: 9/30/04 | $ 10.14 |
3/31/04 | $ 10.30 |
Distribution Information: Six Months: Income Dividends as of 9/30/04 | $ .14 |
Investment Class Lipper Rankings - Income Funds Category as of 9/30/04 | ||||
Period | Rank | Number of Funds Tracked | Percentile Ranking | |
1-Year | 153 | of | 175 | 87 |
3-Year | 85 | of | 113 | 75 |
5-Year | 32 | of | 78 | 41 |
10-Year | 12 | of | 19 | 60 |
Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on total return with distributions reinvested.
Growth of an Assumed $10,000 Investment |
[] Scudder Lifecycle Short Range Fund - Investment Class [] S&P 500 Index+[] Citigroup Broad Investment Grade Bond Index++ [] Asset Allocation Index - Short Range+++ |
Yearly periods ended September 30 |
Comparative Results as of 9/30/04 | |||||
Scudder Lifecycle Short Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Investment Class | Growth of $10,000 | $10,458 | $11,293 | $12,439 | $19,828 |
Average annual total return | 4.58% | 4.14% | 4.46% | 7.08% | |
S&P 500 Index+ | Growth of $10,000 | $11,387 | $11,263 | $9,363 | $28,612 |
Average annual total return | 13.87% | 4.05% | -1.31% | 11.08% | |
Citigroup Broad Investment Grade Bond Index++ | Growth of $10,000 | $10,382 | $11,869 | $14,348 | $20,946 |
Average annual total return | 3.82% | 5.88% | 7.49% | 7.67% | |
Asset Allocation Index - Short Range+++ | Growth of $10,000 | $10,451 | $11,401 | $12,778 | $20,265 |
Average annual total return | 4.51% | 4.47% | 5.03% | 7.32% |
The growth of $10,000 is cumulative.
+ The Standard & Poor's (S&P) 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.++ Citigroup Broad Investment Grade Bond Index (formerly Salomon Broad Investment Grade Bond Index) covers an all inclusive universe of institutionally traded US treasury, agency, mortgage and corporate securities.
+++ Asset Allocation Index - Short Range is calculated using the performance of three unmanaged indices representative of stocks (S&P 500 Index), bonds (Citigroup Broad Investment Grade Bond Index) and cash (Merrill Lynch 3-month T-bill Index) weighted by their corresponding proportion of the Fund's neutral position (stocks: 15%; bonds: 55%; cash: 30%). These results are summed to produce the aggregate benchmark. The S&P 500 Index measures the performance of 500 large US companies. The Citigroup Broad Investment Grade Bond Index covers an all inclusive universe of institutionally traded US Treasury, agency, mortgage and corporate securities. The Merrill Lynch 3-month T-bill Index is representative of the 3-month Treasury market.
Index returns assume reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Fund expenses. Examples of transaction costs include sales charges (loads), redemption fees and account maintenance fees, which are not shown in this section. The following table is intended to help you understand your ongoing expenses (in dollars) of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. In the most recent six-month period, the Fund limited these expenses; had it not done so, expenses would have been higher. The table is based on an investment of $1,000 made at the beginning of the six-month period ended September 30, 2004.
The table illustrates your Fund's expenses in two ways:
• Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses (but not transaction costs) paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line under the share class you hold.
• Hypothetical 5% Fund Return. This helps you to compare your Fund's ongoing expenses (but not transaction costs) with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expense of owning different funds. If these transaction costs had been included, your costs would have been higher.
Scudder Lifecycle Long Range Fund
* Expenses are equal to the Fund's annualized expense ratio for each share class, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by 365.
Annualized Expense Ratios | Investment Class | Institutional Class |
Scudder Lifecycle Long Range Fund | 1.00% | 0.55% |
For more information, please refer to the Fund's prospectuses.
Scudder Lifecycle Mid Range Fund
* Expenses are equal to the Fund's annualized expense ratio for each share class, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by 365.
Annualized Expense Ratios | Investment Class |
Scudder Lifecycle Mid Range Fund | 1.00% |
For more information, please refer to the Fund's prospectus.
Scudder Lifecycle Short Range Fund
* Expenses are equal to the Fund's annualized expense ratio for each share class, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by 365.
Annualized Expense Ratios | Investment Class |
Scudder Lifecycle Short Range Fund | 0.99% |
For more information, please refer to the Fund's prospectus.
In the following interview, Portfolio Managers Janet Campagna and Robert Wang address the economy, the investment management strategy and the resulting performance of Scudder Lifecycle Funds for the six-month period ended September 30, 2004.
Q: Will you review the key global political and economic developments during the six-month period?
A: Following strong performance by the equity markets in late 2003, a significant head wind was whipped up in 2004 by a combination of issues, including the Federal Reserve Board's decision to raise interest rates as well as concerns about rising inflation, decelerating economic growth and soaring energy prices, all of which had an impact on the revenue growth of companies. Concerns regarding political affairs and convention activities gave investors reason for pause. And disappointing performance by information technology stocks was a major obstacle. So, stocks treaded water as a result of all the ongoing turbulence of the second and third quarters of 2004. For the six-month period, the US equity market, as measured by the Russell 1000 Index, returned -0.43%.1 The international equity market, as measured by the Morgan Stanley Capital International EAFE Index, posted a flat -0.06% return.2
1 The Russell 1000 Index is an unmanaged, price-only index of the 1,000 largest-capitalization companies that are domiciled in the United States and whose common stocks are traded there. Index returns assume reinvestment of dividends and, unlike fund returns, do not reflect any fees or expenses. It is not possible to invest directly in an index.2 The Morgan Stanley Capital International Europe, Australasia and Far East Index (MSCI EAFE®) is an unmanaged index that tracks international stock performance in the 21 developed markets of Europe, Australasia and the Far East. Index returns assume reinvestment of dividends, and unlike fund returns, do not reflect any fees or expenses. It is not possible to invest directly in an index.
Looking to bonds, there was much concern about inflation at the beginning of the second quarter of 2004. In March, April and May, the yield of the 10-year Treasury bond climbed from 3.70% to more than 4.80%, as the bond's price declined. The price of a bond and its yield have an inverse relationship - when one goes up, the other goes down. As investors subsequently had a change of heart and decided that neither economic growth nor inflation would be significant, the 10-year Treasury bond rallied in August, and its yield fell to approximately 4.20% by the end of September. Given expectations for the near term, we think that yields are a bit low in this environment. We believe a fair range for expected annual Treasury returns would be closer to 4.40% to 4.75%.
The US dollar abruptly changed from a depreciating currency to an appreciating one during the period as the Fed decided to increase short-term interest rates. Typically, as interest rates rise, the carry that investors get from other currencies would no longer be advantageous against US dollar interest rates.3 As a result, the US dollar began to show strength, though its performance flattened out during the latter portion of the period. While we witnessed strength in the US dollar versus other currencies in the last six to nine months of the period, the huge trade deficit still supports the notion of a weaker dollar and, in fact, the US dollar hit a new low versus the euro in November.
3 A carry trade involves borrowing funds in one country's market where interest rates are low and purchasing an offsetting position in fixed-income securities in another country's market where a higher rate of interest is paid.For most of the markets that we track, energy and materials were strong performers. Underperformers across most markets were the technology, consumer staples and consumer discretionary sectors, as there was concern over whether the consumer could continue to maintain a strong pace of activity in the face of third-quarter weakening in job statistics. The nonfarm payroll numbers grew by an average of 104,000 during the third quarter, as opposed to the 300,000+ average that we saw in the second quarter.
Equity earnings continued to surprise in a positive way in the second and third quarters of 2004 despite concern over whether the overall pace of accelerated earnings growth could continue. In the third quarter, there were more positive earnings surprises than we've witnessed since 1999, and earnings revision indicators remained in positive territory. We believe that equity market valuations are fair at this stage.
Global equity markets were stuck in a narrow trading range after having started the year well. In dollar terms, most of the foreign markets outperformed the US equity market during the period, as did smaller stocks in some of the European and non-US markets. On the international front, European markets generally performed better, and international equities (on a US-dollar basis) proved a good place to invest. Although Japanese stocks proved disappointing during the six-month period, we are expecting good economic performance from Japan. Emerging-markets stocks declined through the period.
We are still concerned that Europe could remain the laggard in the global economy as it struggles with higher energy prices. However, based on several positive trends, one could make the case that European equity performance should improve. European companies are managing more frugally and negotiating with labor more efficiently, which should help profit margins. The stability of the euro will allow European companies to better anticipate sales, and the potential for stable global growth should also benefit European equities. The European equity markets, as represented by the Morgan Stanley Capital International Europe Index, gained 3.36% for the six-month period ended September 30, 2004.4
4 The Morgan Stanley Capital International Europe Index (MSCI Europe) is an unmanaged, capitalization-weighted measure of 16 markets in Europe. Index returns assume reinvestment of dividends and, unlike fund returns, do not reflect any fees or expenses. It is not possible to invest directly in an index.China has been a major topic of conversation during this calendar year, as there has been quite a bit of overheating (inflation) in many sectors of China, and the government is embarking on a controlled monetary policy slowdown. At this point, with the Beijing Olympics coming, and the benefits of strong organic growth in place, we believe that any deceleration of growth in China would be gradual. We also don't feel that any economic slowdown in China will have a significant impact on other Asian economies. With a gradual deceleration in China's economic growth, these countries should have time to adjust.
General economic statistics still clearly show that the world economy is in recovery and is reaching some level of sustainable growth. However, consensus gross domestic product (GDP) forecasts in the United States did fall. At the end of September, the forecast for GDP in 2004 was 4.3%. This represents a decline from the 4.7% consensus during the second quarter. Both the personal consumption and business investment forecasts have been trimmed. As expected, growth expectations were revised downward during the six-month period because of slightly weaker job statistics. The current consensus forecast for 2005 GDP is approximately 3.5%, down from 3.8% in the second quarter. By contrast, the forecast for inflation as represented by the consumer price index has been revised upward to approximately 2.5%. Though inflation has been forecast to rise, the bond market has not really reflected this, with the 10-year Treasury yield curve remaining flat.
It does appear that the recovery is broadening and deepening, with the United States and Asia providing the majority of the strength. We believe we are moving toward a more stable phase in global growth. Despite this solid performance, in the third quarter, labor data did not show the kind of growth that we would have expected at this point. However, we don't believe that this slight weakness on the labor side is enough to dissuade the Fed from three or four additional interest rate increases. Until the Fed reaches the 2.5% range on the fed funds rate, its threshold is likely to be fairly low for raising rates. Europe is still a laggard in the recovery, as energy prices are hitting the region harder, and therefore we don't think the European Central Bank is likely to raise interest rates in the near future.
Q: How did the funds perform during the period?
A: During the six-month period, fund performance reflected the fact that most equity markets remained in a narrow trading range. Each of the three funds underperformed the 0.74% return of the Citigroup Broad Investment Grade Bond Index. In addition, the funds' returns were in line with the -0.18% return of the S&P 500 index and with the average performance of their peers as tracked by Lipper Inc. For the period from April 1, 2004 through September 30, 2004:
• Scudder Lifecycle Long Range Fund returned -0.27% (Investment Class) compared with the Lipper Income Funds category average return of 0.46%
• Scudder Lifecycle Short Range Fund returned -0.28% (Investment Class) and Scudder Lifecycle Mid Range Fund posted a -0.35% return (Investment Class) compared with the Lipper Flexible Portfolio Funds category average return of -0.72%
(Scudder Lifecycle Long Range Fund has an additional Institutional share class. See pages 3 through 9 for performance of the other share class and more complete performance information for all three funds.)
Much of the negative performance that was generated within the funds' portfolios is attributable to the first three weeks of April. Employment strength surprised the market and, as a result, the market reassessed its interest rate expectations, believing at the time that the Fed would raise interest rates aggressively. Owing in large part to this reassessment, the dollar began a strengthening trend, which hurt performance, as the fund was long in (held) foreign currencies versus the US dollar. In terms of currency and fixed-income allocations, our overall position detracted from performance. Again, most of the negative performance in these two areas occurred in early April amid the strengthening of the US dollar and sharp increases in interest rates.
In evaluating performance, it is important to take into account Scudder Lifecycle Funds' unique Global Asset Allocation (GAA) overlay - a formula designed to help add portfolio diversification and reduce volatility. In comparison with their peers, Scudder Lifecycle Funds tend to provide a lower risk profile and more stable returns over time.
However, the funds' overlay allocations, which overweighted equities, were the biggest detractor from performance during the semiannual period, reflecting the fact that equities were locked in a narrow trading range through most of the period.5
5 Overweight means the fund holds a higher weighting in a given sector than its benchmark index. Underweight means the fund holds a lower weighting in a given sector than its benchmark index.In addition, it is important to note that - because of the conservative nature of these funds - - we are not able to sell foreign currencies short as a hedge against a rising US dollar. During the previous two years, when the dollar was weak, we were able to buy foreign currencies and generate additional returns for the fund. The fact that the funds are denominated in dollars, and we cannot execute short sales of foreign currencies (as defined in the prospectus), limits performance in the current stronger dollar environment.
Q: Will you review the GAA overlay and other asset allocation techniques on which you rely?
A: The GAA overlay is a "long-short" strategy, or a means of attempting to capture gains when stocks advance or decline. In addition, it utilizes stock and bond futures and currency forwards to enable the funds' management team to achieve tactical positioning without having to make dramatic shifts in the stock, bond and cash allocations of the funds, which normally remain static. We don't buy or sell stocks and bonds on a frequent basis. The overlay enables us to gain a degree of exposure to a particular asset class in an attempt to derive the greatest value from any one source. Here's another way of thinking about GAA: It represents the view of Deutsche Asset Management investment teams around the world regarding currencies, equities and bonds. These views are combined to provide a "house view" that is risk-adjusted for the specific needs of these portfolios. This view is then executed through futures and currency forwards in Scudder Lifecycle Funds.
We also incorporate into our equity assets an Enhanced Stock Index Fund (ESIF) strategy. The ESIF strategy seeks to keep pace with a given benchmark index by investing in a similar portfolio of stocks. The ESIF strategy aims to achieve total returns of one-quarter to one-half of 1% above the index - in this case the S&P 500 index - on an annual basis. The ESIF strategy contributed positively to performance during the period.
Likewise, the portfolio incorporates a core fixed-income strategy to select bonds based on a number of characteristics in an effort to outperform the Citigroup Broad Investment Grade Bond Index. On a historical basis, this has been one of the most effective ways in which managers have been able to add value. For the most recent period, this strategy had a neutral effect on the three funds' performance.
Q: How were each of the funds diversified as of September 30, 2004?
A: Scudder Lifecycle Long Range Fund was overweight in equities by 3% to 5% throughout the period. In fixed income, the fund transitioned from a slight overweight at the beginning of the period to an underweight. Within cash-equivalent securities, the fund went from an underweight position at the beginning of the period to a slight overweight to flat position over the course of six months. The fund was long in foreign currencies versus the US dollar throughout the period.
Scudder Lifecycle Mid Range Fund held an overweight equity position throughout the period, and in fixed income, the fund shifted from an overweight to a 2% underweight. In addition, the fund was long in foreign currencies versus the US dollar throughout the period.
Scudder Lifecycle Short Range Fund took an overweight equity position throughout the period, while underweighting fixed income the past three months. In addition, the fund was long in foreign currencies versus the US dollar throughout the period.
Q: Do you have any final thoughts for shareholders?
A: We continue to hold a positive view of equity markets, as we believe earnings are still relatively strong, though they are decelerating somewhat. Equity valuations remain positive versus bonds and cash. On the US side, equity valuations seem somewhat high relative to other markets and perhaps historically, given this point in the cycle. But compared with bonds, they are still attractive, and we think that investors are going to focus on cash flow and dividend growth in the coming months. In this environment of low interest rates, that is an advantage for equities. Our view of bonds is more negative, but unless inflation and interest rates rise markedly, bonds will probably not weaken that much. Our sense is that bonds will weaken slowly, and investors should be able to collect some proportion of bond coupon.
In this environment of uncertainty over energy prices and geopolitics, we believe that diversification is a critical strategy to invest appropriately. The multi-asset-class approach that we take has shown over the long term that it can reduce volatility and provide solid returns. We continue to believe that the Scudder Lifecycle Funds are a suitable vehicle for investors seeking to manage risk as they pursue their investment goals.
The views expressed in this report reflect those of the portfolio managers only through the end of the period of the report as stated on the cover. The managers' views are subject to change at any time based on market and other conditions and should not be construed as a recommendation.
Scudder Lifecycle Long Range Fund
Asset Allocation (Excludes Securities Lending Collateral | 9/30/04 | 3/31/04 |
Common Stocks | 53% | 55% |
Bonds | 35% | 35% |
Short-Term Investments | 12% | 10% |
100% | 100% |
Five Largest Equity Holdings at September 30, 2004 | |
1. General Electric Co. Industrial conglomerate | 1.8% |
2. ExxonMobil Corp. Explorer and producer of oil and gas | 1.6% |
3. Microsoft Corp. Developer of computer software | 1.5% |
4. Pfizer, Inc. Manufacturer of prescription pharmaceuticals and non-prescription self-medications | 1.2% |
5. Citigroup, Inc. Provider of diversified financial services | 1.2% |
Five Largest Fixed Income Long-Term Securities at September 30, 2004 (5.1% of Portfolio) | |
1. US Treasury Note 4.375%, 8/15/2012 | 1.8% |
2. US Treasury Bond 6.00%, 2/15/2026 | 1.7% |
3. Federal National Mortgage Association 5.00%, 1/1/2018 | 0.6% |
4. Federal Home Loan Mortgage Corp. "JD", Series 2778, 5.00%, 12/15/2032 | 0.5% |
5. Countrywide Home Equity Loan Trust "A2", Series 2004-0, 2.15%, 2/15/2034 | 0.5% |
Asset allocation is based on market value of the Total Investment Portfolio and is subject to change. Portfolio holdings are subject to change.
For more complete details about the fund's investment portfolio, see page 19. A quarterly Fact Sheet is available upon request. Information concerning portfolio holdings of the Fund as of month end is available upon request on the 16th of the following month. Please see the Account Management Resources section for contact information.
Scudder Lifecycle Mid Range Fund
Asset Allocation (Excludes Securities Lending Collateral | 9/30/04 | 3/31/04 |
Bonds | 51% | 44% |
Common Stocks | 35% | 35% |
Short-Term Investments | 14% | 20% |
Preferred Stocks | - | 1% |
100% | 100% |
Five Largest Equity Holdings at September 30, 2004 | |
1. General Electric Co. Industrial conglomerate | 1.2% |
2. ExxonMobil Corp. Explorer and producer of oil and gas | 1.1% |
3. Microsoft Corp. Developer of computer software | 1.0% |
4. Pfizer, Inc. Manufacturer of prescription pharmaceuticals and non-prescription self-medications | 0.8% |
5. Citigroup, Inc. Provider of diversified financial services | 0.8% |
Five Largest Fixed Income Long-Term Securities at September 30, 2004 (7.3% of Portfolio) | |
1. US Treasury Bond 6.00%, 2/15/2026 | 2.4% |
2. Lansing, MI, Water & Sewer Revenue 7.3%, 7/1/2006 | 1.3% |
3. Virginia Multi-Family Housing Revenue 6.51%, 5/1/2019 | 1.3% |
4. PF Export Receivable Master Trust 144A, 6.60%, 12/1/2011 | 1.2% |
5. Autopista Del Maipo 144A, 7.373%, 6/15/2022 | 1.1% |
Asset allocation is based on market value of the Total Investment Portfolio and is subject to change. Portfolio holdings are subject to change.
For more complete details about the fund's investment portfolio, see page 35. A quarterly Fact Sheet is available upon request. Information concerning portfolio holdings of the Fund as of month end is available upon request on the 16th of the following month. Please see the Account Management Resources section for contact information.
Scudder Lifecycle Short Range Fund
Asset Allocation (Excludes Securities Lending Collateral | 9/30/04 | 3/31/04 |
Bonds | 68% | 53% |
Short-Term Investments | 18% | 32% |
Common Stocks | 14% | 14% |
Preferred Stocks | - | 1% |
100% | 100% |
Five Largest Equity Holdings at September 30, 2004 | |
1. General Electric Co. Industrial conglomerate | 0.5% |
2. ExxonMobil Corp. Explorer and producer of oil and gas | 0.4% |
3. Microsoft Corp. Developer of computer software | 0.4% |
4. Pfizer, Inc. Manufacturer of prescription pharmaceuticals and non-prescription self-medications | 0.3% |
5. Citigroup, Inc. Provider of diversified financial services | 0.3% |
Five Largest Fixed Income Long-Term Securities at September 30, 2004 (9.1% of Portfolio) | |
1. US Treasury Bond 6.00%, 2/15/2026 | 3.0% |
2. US Treasury Note 4.375%, 8/15/2012 | 2.4% |
3. Virginia, Multi Family Housing Revenue 6.51%, 5/1/2019 | 1.5% |
4. PF Export Receivable Master Trust 6.6%, 12/1/2011 | 1.1% |
5. Autopista Del Maipo 7.37%, 6/15/2022 | 1.1% |
Asset allocation is based on market value of the Total Investment Portfolio and is subject to change. Portfolio holdings are subject to change.
For more complete details about the fund's investment portfolio, see page 50. A quarterly Fact Sheet is available upon request. Information concerning portfolio holdings of the Fund as of month end is available upon request on the 16th of the following month. Please see the Account Management Resources section for contact information.
Following the Fund's fiscal first and third quarter-end, a complete portfolio holdings listing is filed with the SEC on Form N-Q. The form will be available on the SEC's Web site at www.sec.gov, and it also may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the SEC's Public Reference Room may be obtained by calling (800) SEC-0330.
Scudder Lifecycle Long Range Fund |
| Value ($) |
Common Stocks 54.2% | ||
Consumer Discretionary 6.0% | ||
Auto Components 0.2% | ||
Cooper Tire & Rubber Co. | 2,900 | 58,493 |
Dana Corp. | 5,900 | 104,371 |
Delphi Corp. | 22,000 | 204,380 |
Goodyear Tire & Rubber Co.* | 37,200 | 399,528 |
Johnson Controls, Inc. | 7,500 | 426,075 |
Visteon Corp. | 5,100 | 40,749 |
1,233,596 | ||
Automobiles 0.4% | ||
Ford Motor Co. | 71,600 | 1,005,980 |
General Motors Corp. | 30,100 | 1,278,648 |
Harley-Davidson, Inc. | 17,100 | 1,016,424 |
3,301,052 | ||
Distributors 0.0% | ||
Genuine Parts Co. | 6,900 | 264,822 |
Hotels Restaurants & Leisure 0.9% | ||
Carnival Corp. | 24,800 | 1,172,792 |
Darden Restaurants, Inc. | 6,200 | 144,584 |
Harrah's Entertainment, Inc. | 4,400 | 233,112 |
Hilton Hotels Corp. | 15,100 | 284,484 |
International Game Technology | 22,700 | 816,065 |
Marriott International, Inc., "A" | 9,000 | 467,640 |
McDonald's Corp. | 49,200 | 1,379,076 |
Starbucks Corp.* | 22,700 | 1,031,942 |
Starwood Hotels & Resorts Worldwide, Inc. | 8,100 | 376,002 |
Wendy's International, Inc. | 4,400 | 147,840 |
YUM! Brands, Inc. | 11,400 | 463,524 |
6,517,061 | ||
Household Durables 0.4% | ||
Black & Decker Corp. | 3,100 | 240,064 |
Centex Corp. | 4,800 | 242,208 |
Fortune Brands, Inc. | 5,600 | 414,904 |
KB Home | 1,800 | 152,082 |
Leggett & Platt, Inc. | 7,500 | 210,750 |
Newell Rubbermaid, Inc. | 27,100 | 543,084 |
Pulte Homes, Inc. | 5,000 | 306,850 |
The Stanley Works | 11,000 | 467,830 |
Whirlpool Corp. | 2,600 | 156,260 |
2,734,032 | ||
Internet & Catalog Retail 0.4% | ||
eBay, Inc.* | 29,400 | 2,703,036 |
Leisure Equipment & Products 0.1% | ||
Brunswick Corp. | 3,700 | 169,312 |
Eastman Kodak Co. | 21,400 | 689,508 |
858,820 | ||
Media 1.6% | ||
Clear Channel Communications, Inc. | 3,500 | 109,095 |
Comcast Corp., "A"* | 87,400 | 2,468,176 |
Dow Jones & Co., Inc. | 3,200 | 129,952 |
Gannett Co., Inc. | 10,400 | 871,104 |
Interpublic Group of Companies, Inc.* | 16,600 | 175,794 |
Knight-Ridder, Inc. | 3,100 | 202,895 |
McGraw-Hill Companies, Inc. | 7,500 | 597,675 |
Meredith Corp. | 2,000 | 102,760 |
New York Times Co., "A" | 5,800 | 226,780 |
Time Warner, Inc.* | 199,200 | 3,215,088 |
Univision Communications, Inc., "A"* | 23,100 | 730,191 |
Viacom, Inc., "B" | 49,300 | 1,654,508 |
Walt Disney Co. | 80,400 | 1,813,020 |
12,297,038 | ||
Multiline Retail 0.4% | ||
Big Lots, Inc.* | 4,500 | 55,035 |
Federated Department Stores, Inc. | 7,100 | 322,553 |
J.C. Penny Co., Inc. | 11,300 | 398,664 |
Kohl's Corp.* | 13,400 | 645,746 |
Nordstrom, Inc. | 5,500 | 210,320 |
Target Corp. | 17,600 | 796,400 |
The May Department Stores Co. | 24,000 | 615,120 |
3,043,838 | ||
Specialty Retail 1.3% | ||
AutoNation, Inc.* | 10,400 | 177,632 |
AutoZone, Inc.* | 3,300 | 254,925 |
Bed Bath & Beyond, Inc.* | 11,700 | 434,187 |
Best Buy Co., Inc. | 1,600 | 86,800 |
Boise Cascade Corp. | 3,500 | 116,480 |
Circuit City Stores, Inc. | 28,600 | 438,724 |
Home Depot, Inc. | 94,200 | 3,692,640 |
Limited Brands | 33,200 | 740,028 |
Lowe's Companies, Inc. | 15,700 | 853,295 |
Office Depot, Inc.* | 12,300 | 184,869 |
Sherwin-Williams Co. | 5,600 | 246,176 |
Staples, Inc. | 30,700 | 915,474 |
The Gap, Inc. | 35,400 | 661,980 |
TJX Companies, Inc. | 19,100 | 420,964 |
Toys "R" Us, Inc.* | 26,900 | 477,206 |
9,701,380 | ||
Textiles, Apparel & Luxury Goods 0.3% | ||
Coach, Inc.* | 14,900 | 632,058 |
Jones Apparel Group, Inc. | 4,900 | 175,420 |
Liz Claiborne, Inc. | 4,200 | 158,424 |
NIKE, Inc., "B" | 14,400 | 1,134,720 |
Reebok International Ltd. | 9,100 | 334,152 |
VF Corp. | 4,300 | 212,635 |
2,647,409 | ||
Consumer Staples 5.6% | ||
Beverages 1.2% | ||
Anheuser-Busch Companies, Inc. | 31,300 | 1,563,435 |
Brown-Forman Corp., "B" | 4,700 | 215,260 |
Coca-Cola Co. | 95,000 | 3,804,750 |
Pepsi Bottling Group, Inc. | 10,000 | 271,500 |
PepsiCo, Inc. | 66,300 | 3,225,495 |
9,080,440 | ||
Food & Drug Retailing 1.9% | ||
Albertsons, Inc. | 14,400 | 344,592 |
Costco Wholesale Corp. | 25,800 | 1,072,248 |
CVS Corp. | 15,600 | 657,228 |
Kroger Co.* | 29,000 | 450,080 |
Safeway, Inc.* | 17,500 | 337,925 |
SUPERVALU, Inc. | 5,400 | 148,770 |
Sysco Corp. | 25,100 | 750,992 |
Wal-Mart Stores, Inc. | 166,100 | 8,836,520 |
Walgreen Co. | 40,100 | 1,436,783 |
Winn-Dixie Stores, Inc. | 5,600 | 17,304 |
14,052,442 | ||
Food Products 0.5% | ||
Archer-Daniels-Midland Co. | 25,400 | 431,292 |
Campbell Soup Co. | 16,100 | 423,269 |
ConAgra Foods, Inc. | 20,700 | 532,197 |
H.J. Heinz Co. | 13,700 | 493,474 |
Kellogg Co. | 16,100 | 686,826 |
McCormick & Co, Inc. | 5,400 | 185,436 |
Sara Lee Corp. | 31,100 | 710,946 |
William Wrigley Jr. Co. | 8,800 | 557,128 |
4,020,568 | ||
Household Products 1.0% | ||
Clorox Co. | 8,300 | 442,390 |
Colgate-Palmolive Co. | 7,300 | 329,814 |
Kimberly-Clark Corp. | 19,300 | 1,246,587 |
Procter & Gamble Co. | 99,500 | 5,384,940 |
7,403,731 | ||
Personal Products 0.3% | ||
Alberto-Culver Co., "B" | 3,500 | 152,180 |
Avon Products, Inc. | 18,500 | 808,080 |
Gillette Co. | 39,200 | 1,636,208 |
2,596,468 | ||
Tobacco 0.7% | ||
Altria Group, Inc. | 87,300 | 4,106,592 |
Reynolds American, Inc. | 5,800 | 394,632 |
UST, Inc. | 14,600 | 587,796 |
5,089,020 | ||
Energy 4.1% | ||
Energy Equipment & Services 0.6% | ||
Baker Hughes, Inc. | 13,000 | 568,360 |
BJ Services Co. | 6,300 | 330,183 |
Halliburton Co. | 17,300 | 582,837 |
Nabors Industries Ltd.* | 11,000 | 520,850 |
Noble Corp.* | 10,600 | 476,470 |
Rowan Companies, Inc.* | 4,200 | 110,880 |
Schlumberger Ltd. | 23,100 | 1,554,861 |
Transocean, Inc.* | 19,500 | 697,710 |
4,842,151 | ||
Oil & Gas 3.5% | ||
Amerada Hess Corp. | 3,600 | 320,400 |
Anadarko Petroleum Corp. | 13,500 | 895,860 |
Apache Corp. | 13,000 | 651,430 |
Burlington Resources, Inc. | 15,500 | 632,400 |
ChevronTexaco Corp. | 89,400 | 4,795,416 |
ConocoPhillips | 26,900 | 2,228,665 |
Devon Energy Corp. | 9,400 | 667,494 |
El Paso Corp. | 25,100 | 230,669 |
EOG Resources, Inc. | 4,600 | 302,910 |
ExxonMobil Corp. | 254,600 | 12,304,818 |
Kerr-McGee Corp. | 5,900 | 337,775 |
Kinder Morgan, Inc. | 4,800 | 301,536 |
Marathon Oil Corp. | 13,600 | 561,408 |
Occidental Petroleum Corp. | 4,300 | 240,499 |
Sunoco, Inc. | 6,300 | 466,074 |
Unocal Corp. | 10,400 | 447,200 |
Valero Energy Corp. | 5,000 | 401,050 |
Williams Companies, Inc. | 20,500 | 248,050 |
26,033,654 | ||
Financials 11.1% | ||
Banks 3.6% | ||
AmSouth Bancorp. | 13,800 | 336,720 |
Bank of America Corp. | 159,200 | 6,898,136 |
BB&T Corp. | 21,700 | 861,273 |
Comerica, Inc. | 6,700 | 397,645 |
Fifth Third Bancorp. | 22,300 | 1,097,606 |
First Horizon National Corp. | 4,800 | 208,128 |
Golden West Financial Corp. | 6,000 | 665,700 |
Huntington Bancshares, Inc. | 22,100 | 550,511 |
KeyCorp. | 15,900 | 502,440 |
M&T Bank Corp. | 4,500 | 430,650 |
Marshall & Ilsley Corp. | 8,700 | 350,610 |
National City Corp. | 34,400 | 1,328,528 |
North Fork Bancorp., Inc. | 6,715 | 298,482 |
PNC Financial Services Group | 11,100 | 600,510 |
Regions Financial Corp. | 18,100 | 598,386 |
SouthTrust Corp. | 13,100 | 545,746 |
Sovereign Bancorp, Inc. | 13,400 | 292,388 |
SunTrust Banks, Inc. | 11,100 | 781,551 |
Synovus Financial Corp. | 12,100 | 316,415 |
US Bancorp. | 73,600 | 2,127,040 |
Wachovia Corp. | 51,300 | 2,408,535 |
Washington Mutual, Inc. | 34,100 | 1,332,628 |
Wells Fargo & Co. | 66,100 | 3,941,543 |
Zions Bancorp. | 3,500 | 213,640 |
27,084,811 | ||
Capital Markets 1.3% | ||
Bank of New York Co., Inc. | 30,500 | 889,685 |
Bear Stearns Companies, Inc. | 6,600 | 634,722 |
E*TRADE Financial Corp.* | 43,600 | 497,912 |
Federated Investors, Inc., "B" | 4,300 | 122,292 |
Franklin Resources, Inc. | 9,800 | 546,448 |
Goldman Sachs Group, Inc. | 22,500 | 2,097,900 |
Janus Capital Group, Inc. | 9,400 | 127,934 |
Lehman Brothers Holdings, Inc. | 10,600 | 845,032 |
Mellon Financial Corp. | 16,600 | 459,820 |
Merrill Lynch & Co., Inc. | 24,600 | 1,223,112 |
Morgan Stanley | 26,500 | 1,306,450 |
State Street Corp. | 13,200 | 563,904 |
T. Rowe Price Group, Inc. | 5,000 | 254,700 |
9,569,911 | ||
Consumer Finance 0.8% | ||
American Express Co. | 49,600 | 2,552,416 |
Capital One Finance Corp. | 9,400 | 694,660 |
MBNA Corp. | 62,700 | 1,580,040 |
Providian Financial Corp.* | 27,500 | 427,350 |
SLM Corp. | 17,000 | 758,200 |
6,012,666 | ||
Diversified Financial Services 2.7% | ||
Citigroup, Inc. | 202,800 | 8,947,536 |
Countrywide Financial Corp. | 22,000 | 866,580 |
Fannie Mae | 37,900 | 2,402,860 |
Freddie Mac | 26,900 | 1,754,956 |
JPMorgan Chase & Co. | 139,400 | 5,538,362 |
MGIC Investment Corp. | 8,800 | 585,640 |
Moody's Corp. | 5,800 | 424,850 |
20,520,784 | ||
Insurance 2.4% | ||
ACE Ltd. | 11,100 | 444,666 |
AFLAC, Inc. | 19,900 | 780,279 |
Allstate Corp. | 33,900 | 1,626,861 |
Ambac Financial Group, Inc. | 4,200 | 335,790 |
American International Group, Inc. | 102,000 | 6,934,980 |
Aon Corp. | 12,300 | 353,502 |
Cincinnati Financial Corp. | 6,600 | 272,052 |
Jefferson-Pilot Corp. | 5,400 | 268,164 |
Lincoln National Corp. | 6,900 | 324,300 |
Loews Corp. | 7,300 | 427,050 |
Marsh & McLennan Companies, Inc. | 20,400 | 933,504 |
MBIA, Inc. | 5,600 | 325,976 |
MetLife, Inc. | 29,400 | 1,136,310 |
Progressive Corp. | 8,500 | 720,375 |
Prudential Financial, Inc. | 27,300 | 1,284,192 |
Safeco Corp. | 12,100 | 552,365 |
St. Paul Travelers Companies, Inc. | 7,400 | 244,644 |
The Chubb Corp. | 7,500 | 527,100 |
Torchmark Corp. | 4,300 | 228,674 |
UnumProvident Corp. | 11,700 | 183,573 |
XL Capital Ltd., "A" | 5,400 | 399,546 |
18,303,903 | ||
Real Estate 0.3% | ||
Apartment Investment & Management Co. (REIT) | 3,700 | 128,686 |
Equity Office Properties Trust (REIT) | 15,800 | 430,550 |
Equity Residential (REIT) | 11,000 | 341,000 |
Plum Creek Timber Co., Inc. (REIT) | 7,200 | 252,216 |
ProLogis (REIT) | 7,100 | 250,204 |
Simon Property Group, Inc. (REIT) | 8,100 | 434,403 |
1,837,059 | ||
Health Care 7.1% | ||
Biotechnology 0.8% | ||
Amgen, Inc.* | 49,500 | 2,805,660 |
Applera Corp. -- Applied Biosystems Group | 7,900 | 149,073 |
Biogen Idec, Inc.* | 13,200 | 807,444 |
Chiron Corp.* | 7,300 | 322,660 |
Genzyme Corp., (General Division)* | 9,000 | 489,690 |
Gilead Sciences, Inc.* | 25,800 | 964,404 |
MedImmune, Inc.* | 9,800 | 232,260 |
5,771,191 | ||
Health Care Equipment & Supplies 1.4% | ||
Bausch & Lomb, Inc. | 7,000 | 465,150 |
Baxter International, Inc. | 24,100 | 775,056 |
Becton, Dickinson and Co. | 9,800 | 506,660 |
Biomet, Inc. | 10,000 | 468,800 |
Boston Scientific Corp.* | 33,000 | 1,311,090 |
Fisher Scientific International, Inc.* | 4,464 | 260,385 |
Guidant Corp. | 16,000 | 1,056,640 |
Hospira, Inc.* | 6,200 | 189,720 |
Medtronic, Inc. | 47,300 | 2,454,870 |
Millipore Corp.* | 2,000 | 95,700 |
PerkinElmer, Inc. | 5,100 | 87,822 |
St. Jude Medical, Inc.* | 10,200 | 767,754 |
Stryker Corp. | 15,700 | 754,856 |
Thermo Electron Corp.* | 6,400 | 172,928 |
Waters Corp.* | 4,600 | 202,860 |
Zimmer Holdings, Inc.* | 9,600 | 758,784 |
10,329,075 | ||
Health Care Providers & Services 1.2% | ||
Aetna, Inc. | 6,000 | 599,580 |
AmerisourceBergen Corp. | 10,400 | 558,584 |
Anthem, Inc.* | 5,500 | 479,875 |
Cardinal Health, Inc. | 16,800 | 735,336 |
Caremark Rx, Inc.* | 25,800 | 827,406 |
CIGNA Corp. | 5,400 | 376,002 |
Express Scripts, Inc.* | 7,900 | 516,186 |
HCA, Inc. | 18,900 | 721,035 |
Health Management Associates, Inc., "A" | 9,500 | 194,085 |
Humana, Inc.* | 22,700 | 453,546 |
IMS Health, Inc. | 9,200 | 220,064 |
Manor Care, Inc. | 3,400 | 101,864 |
Quest Diagnostics, Inc. | 4,000 | 352,880 |
Tenet Healthcare Corp.* | 18,300 | 197,457 |
UnitedHealth Group, Inc. | 26,000 | 1,917,240 |
WellPoint Health Networks, Inc.* | 9,300 | 977,337 |
9,228,477 | ||
Pharmaceuticals 3.7% | ||
Abbott Laboratories | 61,100 | 2,588,196 |
Bristol-Myers Squibb Co. | 76,100 | 1,801,287 |
Eli Lilly & Co. | 44,200 | 2,654,210 |
Forest Laboratories, Inc.* | 14,500 | 652,210 |
Johnson & Johnson | 105,400 | 5,937,182 |
King Pharmaceuticals, Inc.* | 9,400 | 112,236 |
Merck & Co., Inc. | 73,300 | 2,418,900 |
Mylan Laboratories, Inc. | 10,500 | 189,000 |
Pfizer, Inc. | 295,500 | 9,042,300 |
Schering-Plough Corp. | 57,600 | 1,097,856 |
Watson Pharmaceuticals, Inc.* | 12,400 | 365,304 |
Wyeth | 36,000 | 1,346,400 |
28,205,081 | ||
Industrials 6.2% | ||
Aerospace & Defense 1.2% | ||
Boeing Co. | 39,200 | 2,023,504 |
General Dynamics Corp. | 7,800 | 796,380 |
Goodrich Corp. | 4,600 | 144,256 |
Honeywell International, Inc. | 33,600 | 1,204,896 |
Lockheed Martin Corp. | 17,400 | 970,572 |
Northrop Grumman Corp. | 14,000 | 746,620 |
Raytheon Co. | 17,600 | 668,448 |
Rockwell Collins, Inc. | 6,900 | 256,266 |
United Technologies Corp. | 20,000 | 1,867,600 |
8,678,542 | ||
Air Freight & Logistics 0.6% | ||
FedEx Corp. | 11,700 | 1,002,573 |
Ryder System, Inc. | 2,500 | 117,600 |
United Parcel Service, Inc., "B" | 44,000 | 3,340,480 |
4,460,653 | ||
Airlines 0.1% | ||
Delta Air Lines, Inc.* | 5,000 | 16,450 |
Southwest Airlines Co. | 30,900 | 421,167 |
437,617 | ||
Building Products 0.1% | ||
American Standard Companies, Inc.* | 8,300 | 322,953 |
Masco Corp. | 17,000 | 587,010 |
909,963 | ||
Commercial Services & Supplies 0.6% | ||
Allied Waste Industries, Inc.* | 12,500 | 110,625 |
Apollo Group, Inc., "A"* | 11,900 | 873,103 |
Avery Dennison Corp. | 4,300 | 282,854 |
Cendant Corp. | 41,300 | 892,080 |
Deluxe Corp. | 2,000 | 82,040 |
Equifax, Inc. | 5,300 | 139,708 |
H&R Block, Inc. | 6,400 | 316,288 |
Monster Worldwide, Inc.* | 4,700 | 115,808 |
Pitney Bowes, Inc. | 9,000 | 396,900 |
R.R. Donnelley & Sons Co. | 8,600 | 269,352 |
Robert Half International, Inc. | 6,700 | 172,659 |
Waste Management, Inc. | 22,700 | 620,618 |
4,272,035 | ||
Construction & Engineering 0.0% | ||
Fluor Corp. | 3,300 | 146,916 |
Electrical Equipment 0.2% | ||
Cooper Industries, Inc., "A" | 3,700 | 218,300 |
Emerson Electric Co. | 16,400 | 1,014,996 |
Power-One, Inc.* | 3,300 | 21,384 |
1,254,680 | ||
Industrial Conglomerates 2.5% | ||
3M Co. | 30,600 | 2,447,082 |
General Electric Co. | 413,200 | 13,875,256 |
Textron, Inc. | 5,400 | 347,058 |
Tyco International Ltd. | 78,600 | 2,409,876 |
19,079,272 | ||
Machinery 0.7% | ||
Caterpillar, Inc.* | 3,300 | 265,485 |
Crane Co. | 2,300 | 66,516 |
Cummins, Inc. | 1,700 | 125,613 |
Danaher Corp. | 12,100 | 620,488 |
Deere & Co. | 9,700 | 626,135 |
Eaton Corp. | 5,900 | 374,119 |
Illinois Tool Works, Inc. | 11,800 | 1,099,406 |
Ingersoll-Rand Co., "A" | 6,800 | 462,196 |
ITT Industries, Inc. | 3,600 | 287,964 |
Navistar International Corp.* | 2,700 | 100,413 |
PACCAR, Inc. | 11,600 | 801,792 |
Parker-Hannifin Corp. | 10,200 | 600,372 |
5,430,499 | ||
Road & Rail 0.2% | ||
Burlington Northern Santa Fe Corp. | 14,600 | 559,326 |
CSX Corp. | 8,400 | 278,880 |
Norfolk Southern Corp. | 15,400 | 457,996 |
1,296,202 | ||
Trading Companies & Distributors 0.0% | ||
W.W. Grainger, Inc. | 3,500 | 201,810 |
Information Technology 8.7% | ||
Communications Equipment 1.6% | ||
ADC Telecommunications, Inc.* | 31,700 | 57,377 |
Andrew Corp.* | 6,300 | 77,112 |
Avaya, Inc.* | 40,700 | 567,358 |
CIENA Corp.* | 22,300 | 44,154 |
Cisco Systems, Inc.* | 264,700 | 4,791,070 |
Comverse Technologies, Inc.* | 7,700 | 144,991 |
Corning, Inc.* | 76,600 | 848,728 |
JDS Uniphase Corp.* | 56,400 | 190,068 |
Lucent Technologies, Inc.* | 168,700 | 534,779 |
Motorola, Inc. | 111,000 | 2,002,440 |
QUALCOMM, Inc. | 63,700 | 2,486,848 |
Tellabs, Inc.* | 52,700 | 484,313 |
12,229,238 | ||
Computers & Peripherals 1.9% | ||
Apple Computer, Inc.* | 21,500 | 833,125 |
Dell, Inc.* | 97,700 | 3,478,120 |
EMC Corp.* | 94,200 | 1,087,068 |
Gateway, Inc.* | 14,600 | 72,270 |
Hewlett-Packard Co. | 74,200 | 1,391,250 |
International Business Machines Corp. | 65,500 | 5,615,970 |
Lexmark International, Inc.* | 8,000 | 672,080 |
NCR Corp.* | 3,700 | 183,483 |
Network Appliance, Inc.* | 16,900 | 388,700 |
QLogic Corp.* | 3,700 | 109,557 |
Sun Microsystems, Inc.* | 130,200 | 526,008 |
14,357,631 | ||
Electronic Equipment & Instruments 0.2% | ||
Agilent Technologies, Inc.* | 19,000 | 409,830 |
Jabil Circuit, Inc.* | 7,900 | 181,700 |
Molex, Inc. | 7,400 | 220,668 |
Sanmina-SCI Corp.* | 20,400 | 143,820 |
Solectron Corp.* | 37,600 | 186,120 |
Symbol Technologies, Inc. | 9,400 | 118,910 |
Tektronix, Inc. | 3,300 | 109,758 |
1,370,806 | ||
Internet Software & Services 0.3% | ||
Yahoo!, Inc.* | 60,400 | 2,048,164 |
IT Consulting & Services 0.6% | ||
Affiliated Computer Services, Inc., "A"* | 10,800 | 601,236 |
Automatic Data Processing, Inc. | 22,900 | 946,228 |
Computer Sciences Corp.* | 7,400 | 348,540 |
Convergys Corp.* | 5,600 | 75,208 |
Electronic Data Systems Corp. | 20,000 | 388,000 |
First Data Corp. | 33,600 | 1,461,600 |
Fiserv, Inc.* | 7,700 | 268,422 |
Sabre Holdings Corp. | 5,400 | 132,462 |
SunGard Data Systems, Inc.* | 11,300 | 268,601 |
Unisys Corp.* | 13,100 | 135,192 |
4,625,489 | ||
Office Electronics 0.1% | ||
Xerox Corp.* | 32,800 | 461,824 |
Semiconductors & Semiconductor Equipment 1.6% | ||
Advanced Micro Devices, Inc.* | 33,000 | 429,000 |
Altera Corp.* | 31,400 | 614,498 |
Applied Materials, Inc.* | 66,500 | 1,096,585 |
Applied Micro Circuits Corp.* | 12,300 | 38,499 |
Broadcom Corp., "A"* | 24,600 | 671,334 |
Intel Corp. | 251,100 | 5,037,066 |
KLA-Tencor Corp.* | 7,700 | 319,396 |
Linear Technology Corp. | 12,000 | 435,000 |
LSI Logic Corp.* | 15,100 | 65,081 |
Maxim Integrated Products, Inc. | 18,600 | 786,594 |
Micron Technology, Inc.* | 23,900 | 287,517 |
National Semiconductor Corp.* | 35,500 | 549,895 |
Novellus Systems, Inc.* | 15,000 | 398,850 |
NVIDIA Corp.* | 6,500 | 94,380 |
PMC-Sierra, Inc.* | 6,900 | 60,789 |
Teradyne, Inc.* | 7,600 | 101,840 |
Texas Instruments, Inc. | 39,300 | 836,304 |
Xilinx, Inc. | 13,600 | 367,200 |
12,189,828 | ||
Software 2.4% | ||
Adobe Systems, Inc. | 9,400 | 465,018 |
Autodesk, Inc. | 4,400 | 213,972 |
BMC Software, Inc.* | 8,800 | 139,128 |
Citrix Systems, Inc.* | 6,600 | 115,632 |
Computer Associates International, Inc. | 23,000 | 604,900 |
Compuware Corp.* | 15,100 | 77,765 |
Electronic Arts, Inc.* | 11,900 | 547,281 |
Intuit, Inc.* | 7,500 | 340,500 |
Mercury Interactive Corp.* | 3,700 | 129,056 |
Microsoft Corp. | 403,300 | 11,151,245 |
Novell, Inc.* | 15,200 | 95,912 |
Oracle Corp.* | 202,400 | 2,283,072 |
Parametric Technology Corp.* | 10,500 | 55,440 |
PeopleSoft, Inc.* | 14,400 | 285,840 |
Siebel Systems, Inc.* | 19,800 | 149,292 |
Symantec Corp.* | 18,200 | 998,816 |
VERITAS Software Corp.* | 17,000 | 302,600 |
17,955,469 | ||
Materials 1.8% | ||
Chemicals 0.8% | ||
Air Products & Chemicals, Inc. | 9,000 | 489,420 |
Dow Chemical Co. | 36,800 | 1,662,624 |
E.I. du Pont de Nemours & Co. | 39,100 | 1,673,480 |
Eastman Chemical Co. | 3,100 | 147,405 |
Ecolab, Inc. | 10,100 | 317,544 |
Engelhard Corp. | 5,000 | 141,750 |
Great Lakes Chemical Corp. | 2,000 | 51,200 |
Hercules, Inc.* | 4,400 | 62,700 |
International Flavors & Fragrances, Inc. | 3,700 | 141,340 |
PPG Industries, Inc. | 6,700 | 410,576 |
Praxair, Inc. | 12,700 | 542,798 |
Rohm & Haas Co. | 8,800 | 378,136 |
Sigma-Aldrich Corp. | 2,700 | 156,600 |
6,175,573 | ||
Construction Materials 0.0% | ||
Vulcan Materials Co. | 4,000 | 203,800 |
Containers & Packaging 0.2% | ||
Ball Corp. | 13,400 | 501,562 |
Bemis Co., Inc. | 4,200 | 111,636 |
Pactiv Corp.* | 5,900 | 137,175 |
Sealed Air Corp.* | 3,300 | 152,955 |
Temple-Inland, Inc. | 2,200 | 147,730 |
1,051,058 | ||
Metals & Mining 0.4% | ||
Alcoa, Inc. | 34,100 | 1,145,419 |
Newmont Mining Corp. | 17,400 | 792,222 |
Nucor Corp. | 3,100 | 283,247 |
Phelps Dodge Corp. | 3,700 | 340,511 |
Worthington Industries, Inc. | 3,500 | 74,725 |
2,636,124 | ||
Paper & Forest Products 0.4% | ||
Georgia-Pacific Corp. | 10,100 | 363,095 |
International Paper Co. | 19,100 | 771,831 |
Louisiana-Pacific Corp. | 17,100 | 443,745 |
MeadWestvaco Corp. | 18,400 | 586,960 |
Weyerhaeuser Co. | 14,300 | 950,664 |
3,116,295 | ||
Telecommunication Services 1.9% | ||
Diversified Telecommunication Services 1.6% | ||
ALLTEL Corp. | 12,100 | 664,411 |
BellSouth Corp. | 71,600 | 1,941,792 |
CenturyTel, Inc. | 5,300 | 181,472 |
Qwest Communications International, Inc.* | 71,000 | 236,430 |
SBC Communications, Inc. | 129,700 | 3,365,715 |
Sprint Corp. | 56,800 | 1,143,384 |
Verizon Communications, Inc. | 108,300 | 4,264,854 |
11,798,058 | ||
Wireless Telecommunication Services 0.3% | ||
AT&T Wireless Services, Inc.* | 106,800 | 1,578,504 |
Nextel Communications, Inc., "A"* | 43,600 | 1,039,424 |
2,617,928 | ||
Utilities 1.7% | ||
Electric Utilities 1.1% | ||
Allegheny Energy, Inc.* | 5,000 | 79,800 |
Ameren Corp. | 7,600 | 350,740 |
American Electric Power Co. | 15,500 | 495,380 |
CenterPoint Energy, Inc. | 12,100 | 125,356 |
CINergy Corp. | 7,100 | 281,160 |
Consolidated Edison, Inc. | 17,200 | 723,088 |
DTE Energy Co. | 6,800 | 286,892 |
Entergy Corp. | 8,900 | 539,429 |
Exelon Corp. | 25,800 | 946,602 |
FirstEnergy Corp. | 12,900 | 529,932 |
FPL Group, Inc. | 7,300 | 498,736 |
PG&E Corp.* | 15,700 | 477,280 |
Pinnacle West Capital Corp. | 3,600 | 149,400 |
PPL Corp. | 7,400 | 349,132 |
Progress Energy, Inc. | 9,700 | 410,698 |
Southern Co. | 28,900 | 866,422 |
TXU Corp. | 11,600 | 555,872 |
Xcel Energy, Inc. | 15,700 | 271,924 |
7,937,843 | ||
Gas Utilities 0.1% | ||
KeySpan Corp. | 6,200 | 243,040 |
Nicor, Inc. | 1,700 | 62,390 |
NiSource, Inc. | 10,300 | 216,403 |
Peoples Energy Corp. | 1,500 | 62,520 |
584,353 | ||
Multi-Utilities 0.5% | ||
AES Corp.* | 58,500 | 584,415 |
Calpine Corp.* | 17,400 | 50,460 |
CMS Energy Corp.* | 6,400 | 60,928 |
Constellation Energy Group, Inc. | 15,000 | 597,600 |
Dominion Resources, Inc. | 12,900 | 841,725 |
Duke Energy Corp. | 51,100 | 1,169,679 |
Dynegy, Inc., "A"* | 14,900 | 74,351 |
Public Service Enterprise Group, Inc. | 9,300 | 396,180 |
Sempra Energy | 9,100 | 329,329 |
4,104,667 | ||
Total Common Stocks (Cost $362,884,985) | 406,915,853 |
Principal Amount ($) | Value ($) | |
Corporate Bonds 5.7% | ||
Consumer Discretionary 0.8% | ||
Comcast Cable Communications Holdings, Inc., 8.375%, 3/15/2013 | 1,225,000 | 1,483,463 |
Continental Cablevision, Inc., 9.0%, 9/1/2008 | 195,000 | 228,610 |
Cox Communications, Inc., 6.75%, 3/15/2011 | 520,000 | 556,547 |
DaimlerChrysler NA Holdings Corp., 4.75%, 1/15/2008 | 665,000 | 684,871 |
General Motors Corp., 8.375%, 7/15/2033 (d) | 245,000 | 260,134 |
Liberty Media Corp., 3.38%**, 9/17/2006 | 801,000 | 809,579 |
TCI Communications, Inc., 6.875%, 2/15/2006 | 575,000 | 602,878 |
Time Warner, Inc., 7.57%, 2/1/2024 | 1,140,000 | 1,287,785 |
5,913,867 | ||
Energy 1.1% | ||
CenterPoint Energy Resources Corp., Series B, 7.875%, 4/1/2013 | 680,000 | 801,563 |
Duke Capital Corp., 4.302%, 5/18/2006 | 1,357,000 | 1,376,514 |
Eastern Energy Ltd., 144A, 7.25%, 12/1/2016 | 2,875,000 | 3,424,116 |
Enterprise Products Operating LP, 7.5%, 2/1/2011 | 535,000 | 609,140 |
Pemex Project Funding Master Trust: | ||
144A, 3.18%**, 6/15/2010 | 945,000 | 954,922 |
8.5%, 2/15/2008 | 710,000 | 797,863 |
Tri-State Generation & Transmission Association, 144A, 7.144%, 7/31/2033 | 491,000 | 545,398 |
8,509,516 | ||
Financials 2.3% | ||
Agfirst Farm Credit Bank, 8.393%**, 12/15/2016 | 2,810,000 | 3,253,126 |
American General Finance Corp.: | ||
MTN, 4.0%, 3/15/2011 | 250,000 | 244,292 |
4.625%, 9/1/2010 (d) | 1,345,000 | 1,359,931 |
Capital One Bank: | ||
5.0%, 6/15/2009 | 395,000 | 409,060 |
5.75%, 9/15/2010 | 155,000 | 165,240 |
Ford Motor Credit Co.: | ||
5.8%, 1/12/2009 | 785,000 | 813,645 |
6.875%, 2/1/2006 | 3,288,000 | 3,440,636 |
General Motors Acceptance Corp.: | ||
5.625%, 5/15/2009 | 430,000 | 438,349 |
6.75%, 1/15/2006 | 270,000 | 281,635 |
6.875%, 9/15/2011 | 625,000 | 655,639 |
6.875%, 8/28/2012 | 625,000 | 649,444 |
Goldman Sachs Group, Inc., 4.75%, 7/15/2013 | 880,000 | 863,399 |
Merrill Lynch & Co., Inc., Series C, 5.45%, 7/15/2014 | 870,000 | 899,924 |
OneAmerica Financial Partners, 144A, 7.0%, 10/15/2033 | 1,020,000 | 1,046,974 |
Pennsylvania Mutual Life Insurance Co., 144A, 6.65%, 6/15/2034 | 865,000 | 908,951 |
RAM Holdings Ltd., 144A, 6.875%, 4/1/2024 | 1,500,000 | 1,464,031 |
Republic New York Corp., 5.875%, 10/15/2008 | 630,000 | 674,472 |
17,568,748 | ||
Health Care 0.3% | ||
Health Care Service Corp., 144A, 7.75%, 6/15/2011 | 1,895,000 | 2,204,941 |
Industrials 0.0% | ||
BAE System 2001 Asset Trust, "B", Series B 2001, 144A, 7.156%, 12/15/2011 | 120,886 | 130,413 |
Telecommunication Services 0.4% | ||
Bell Atlantic Pennsylvania, Inc., Series A, 5.65%, 11/15/2011 | 413,000 | 435,976 |
BellSouth Corp., 5.2%, 9/15/2014 | 1,325,000 | 1,337,354 |
Telecomunicaciones de Puerto Rico, Inc., 6.65%, 5/15/2006 | 790,000 | 831,323 |
2,604,653 | ||
Utilities 0.8% | ||
Consumers Energy Co., 6.25%, 9/15/2006 | 1,885,000 | 1,987,250 |
Dayton Power & Light Co., 144A, 5.125%, 10/1/2013 | 1,045,000 | 1,054,433 |
Old Dominion Electric, 6.25%, 6/1/2011 | 2,605,000 | 2,885,012 |
Potomac Edison Co., 8.0%, 6/1/2024 | 140,000 | 144,200 |
6,070,895 | ||
Total Corporate Bonds (Cost $40,704,084) | 43,003,033 | |
Asset Backed 3.8% | ||
Automobile Receivables 1.1% | ||
Drive Auto Receivables Trust: | ||
"A3", Series 2004-1, 144A, 3.5%, 8/15/2008 | 1,515,000 | 1,524,942 |
"A4", Series 2002-1, 144A, 4.09%, 1/15/2008 | 1,265,000 | 1,279,746 |
MMCA Automobile Trust: | ||
"A4", Series 2002-2, 4.3%, 3/15/2010 | 2,355,000 | 2,373,172 |
"A4", Series 2001-4, 4.92%, 8/15/2007 | 917,000 | 926,966 |
"B", Series 2002-1, 5.37%, 1/15/2010 | 1,172,653 | 1,169,807 |
Ryder Vehicle Lease Trust, "A4", Series 2001-A, 5.81%, 8/15/2006 | 1,009,479 | 1,016,094 |
8,290,727 | ||
Home Equity Loans 2.3% | ||
Advanta Mortgage Loan Trust, "A6", Series 2000-2, 7.72%, 3/25/2015 | 1,541,384 | 1,630,119 |
Centex Home Equity Loan Trust, "AF6", Series 2004-D, 4.67%, 9/25/2034 | 1,260,000 | 1,239,525 |
Conseco Finance: | ||
"AF5", Series 1999-H, 7.6%, 12/15/2029 | 3,442,515 | 3,451,337 |
"AF6", Series 2000-B, 7.8%, 5/15/2020 | 2,211,999 | 2,265,644 |
Countrywide Asset-Backed Certificates, "2AV2", Series 2004-7, 2.19%**, 5/25/2033 | 1,970,000 | 1,970,000 |
Countrywide Home Equity Loan Trust, "A2", Series 2004-0, 2.15%**, 2/15/2034 | 3,900,000 | 3,896,953 |
Long Beach Mortgage Loan Trust: | ||
"M3", Series 2001-4, 4.59%**, 3/25/2032 | 2,625,000 | 2,425,795 |
"N1", Series 2003-4, 144A, 6.535%, 8/25/2033 | 415,708 | 416,987 |
Novastar NIM Trust, "NOTE", Series 2004-N1, 144A, 4.458%, 2/26/2034 | 49,716 | 49,673 |
17,346,033 | ||
Manufactured Housing Receivables 0.2% | ||
Greenpoint Manufactured Housing, "A3", Series 1999-5, 7.33%, 8/15/2020 | 1,805,979 | 1,827,342 |
Miscellaneous 0.2% | ||
Master Asset Backed Securities Trust, "5A1", Series 2004-3, 2.1%**, 2/25/2034 | 1,400,757 | 1,400,756 |
Total Asset Backed (Cost $28,957,110) | 28,864,858 | |
Foreign Bonds - US$ Denominated 3.1% | ||
Arcel Finance Ltd., 144A, 5.984%, 2/1/2009 | 1,186,382 | 1,240,896 |
Autopista Del Maipo, 144A, 7.373%, 6/15/2022 | 2,690,000 | 3,124,919 |
Deutsche Telekom International Finance BV, 8.25%, 6/15/2030 | 1,722,000 | 2,225,819 |
Endurance Specialty Holdings Ltd., 7.0%, 7/15/2034 | 565,000 | 577,541 |
Mantis Reef Ltd., 144A, 4.692%, 11/14/2008 | 2,875,000 | 2,903,963 |
Mizuho Financial Group Ltd., 144A, 5.79%, 4/15/2014 | 566,000 | 583,959 |
Petroleos Mexicanos, Series P, 9.5%, 9/15/2027 | 510,000 | 622,200 |
PF Export Receivable Master Trust, 144A, 6.6%, 12/1/2011 | 2,050,000 | 2,239,912 |
QBE Insurance Group Ltd., 144A, 5.647%**, 7/1/2023 | 1,140,000 | 1,122,773 |
Sappi Papier Holding AG, 144A, 6.75%, 6/15/2012 | 1,125,000 | 1,234,385 |
Tyco International Group SA: | ||
6.75%, 2/15/2011 | 2,318,000 | 2,607,959 |
6.875%, 1/15/2029 | 1,657,000 | 1,856,945 |
7.0%, 6/15/2028 | 798,000 | 900,321 |
United Mexican States: | ||
MTN, 6.75%, 9/27/2034 (d) | 455,000 | 437,028 |
8.375%, 1/14/2011 | 150,000 | 175,875 |
8.625%, 3/12/2008 (d) | 950,000 | 1,087,750 |
Total Foreign Bonds - US$ Denominated (Cost $21,833,026) | 22,942,245 | |
US Government Agency Sponsored Pass-Throughs 3.7% | ||
Federal Home Loan Mortgage Corp.: | ||
5.0%, 9/1/2033 | 1,207,012 | 1,198,992 |
6.0%, 10/1/2033 | 855,782 | 885,160 |
Federal National Mortgage Association: | ||
4.5% with various maturities from 6/1/2018 until 6/1/2033 (g) | 2,327,801 | 2,297,265 |
4.652%, 4/1/2014 | 1,727 | 1,734 |
5.0% with various maturities from 1/1/2018 until 3/1/2034 (g) | 5,971,137 | 6,029,025 |
5.5% with various maturities from 2/1/2018 until 5/1/2034 (g) | 6,629,949 | 6,754,970 |
6.0% with various maturities from 3/1/2015 until 6/1/2032 | 3,567,066 | 3,709,669 |
6.305%, 2/1/2008 | 1,870,715 | 1,965,013 |
6.468%, 6/1/2009 | 1,825,225 | 1,985,784 |
6.5%, 11/1/2033 | 1,121,544 | 1,177,435 |
7.13%, 1/1/2012 | 1,134,474 | 1,210,343 |
9.0%, 11/1/2030 | 176,692 | 194,586 |
Total US Government Agency Sponsored Pass-Throughs (Cost $27,195,893) | 27,409,976 | |
Commercial and Non-Agency Mortgage-Backed Securities 2.3% | ||
Citicorp Mortgage Securities, Inc., "2A1", Series 2001-17, 6.0%, 11/25/2031 | 136,838 | 136,662 |
Citigroup Mortgage Loan Trust, Inc., "1CB2", Series 2004-NCM2, 6.75%, 8/25/2034 | 2,545,645 | 2,668,154 |
Countrywide Alternative Loan Trust, "1A1", Series 2004-J1, 6.0%, 2/25/2034 | 729,289 | 744,308 |
CS First Boston Mortgage Securities Corp., "A1", Series 1999-C1, 6.91%, 9/15/2041 | 760,067 | 811,156 |
DLJ Mortgage Acceptance Corp.: | ||
"A1B", Series 1997-CF2, 144A, 6.82%, 10/15/2030 | 1,158,834 | 1,247,272 |
"A1B", Series 1997-CF1, 144A, 7.6%, 5/15/2030 | 1,154,009 | 1,238,441 |
GMAC Commercial Mortgage Securities, Inc., "A3", Series 1997-C1, 6.869%, 7/15/2029 | 1,069,298 | 1,152,304 |
Master Alternative Loan Trust: | ||
"5A1", Series 2004-3, 6.5%, 3/25/2034 | 914,981 | 945,862 |
"8A1", Series 2004-3, 7.0%, 4/25/2034 | 914,562 | 954,865 |
Master Asset Securitization Trust, "8A1", Series 2003-6, 5.5%, 7/25/2033 | 1,163,848 | 1,171,605 |
Residential Asset Securitization Trust, "A1", Series 2003-A11, 4.25%, 11/25/2033 | 2,167,258 | 2,187,474 |
TIAA Real Estate CDO Ltd., "A2", Series 2001-C1A, 144A, 6.3%, 6/19/2021 | 876,556 | 938,967 |
Wachovia Bank Commercial Mortgage Trust, "A5", Series 2004-C11, 5.215%, 1/15/2041 | 1,259,000 | 1,300,951 |
Washington Mutual Mortgage Securities Corp., "4A1", Series 2002-S7, 4.5%, 11/25/2032 | 364,890 | 366,148 |
Wells Fargo Mortgage Backed Securities Trust, "1A1", Series 2003-6, 5.0%, 6/25/2018 | 1,361,273 | 1,378,786 |
Total Commercial and Non-Agency Mortgage-Backed Securities (Cost $17,279,141) | 17,242,955 | |
Collateralized Mortgage Obligations 9.3% | ||
Fannie Mae Whole Loan: | ||
"2A", Series 2002-W1, 7.5%, 2/25/2042 | 1,120,558 | 1,209,710 |
"5A", Series 2004-W2, 7.5%, 3/25/2044 | 1,463,042 | 1,589,688 |
Federal Home Loan Mortgage Corp.: | ||
"AU", Series 2759, 3.5%, 5/15/2019 | 1,399,000 | 1,406,075 |
"OK", Series 2073, 3.5%, 5/15/2010 | 2,445,000 | 2,460,822 |
"PA", Series 2786, 3.5%, 10/15/2010 | 1,374,000 | 1,382,006 |
"PV", Series 2726, 3.5%, 4/15/2026 | 1,770,000 | 1,778,861 |
"QA", Series 2649, 3.5%, 3/15/2010 | 2,375,000 | 2,389,922 |
"PB", Series 2727, 4.25%, 4/15/2023 | 2,315,000 | 2,347,013 |
"LC", Series 2682, 4.5%, 7/15/2032 | 1,890,000 | 1,817,649 |
"TG", Series 2690, 4.5%, 4/15/2032 | 1,220,000 | 1,172,990 |
"WH", Series 2557, 4.5%, 8/15/2009 | 1,779,583 | 1,801,180 |
"1A2B", Series T-48, 4.688%, 7/25/2022 | 282,977 | 284,068 |
"HG", Series 2543, 4.75%, 9/15/2028 | 1,274,457 | 1,289,286 |
"BG", Series 2640, 5.0%, 2/15/2032 | 2,330,000 | 2,322,767 |
"EG", Series 2836, 5.0%, 12/15/2032 | 2,685,000 | 2,645,056 |
"JD", Series 2778, 5.0%, 12/15/2032 | 4,015,000 | 3,947,155 |
"PD", Series 2783, 5.0%, 1/15/2033 | 1,300,000 | 1,273,649 |
"PE", Series 2777, 5.0%, 4/15/2033 | 2,765,000 | 2,699,767 |
"PE", Series 2378, 5.5%, 11/15/2016 | 1,495,000 | 1,556,583 |
"PE", Series 2512, 5.5%, 2/15/2022 | 1,725,000 | 1,792,527 |
"BD", Series 2453, 6.0%, 5/15/2017 | 1,000,000 | 1,048,085 |
"3A", Series T-41, 7.5%, 7/25/2032 | 2,147,804 | 2,319,167 |
Federal National Mortgage Association: | ||
"A2", Series 2003-63, 2.34%, 7/25/2044 | 1,220,000 | 1,218,788 |
"TU", Series 2003-122, 4.0%, 5/25/2016 | 1,690,000 | 1,706,161 |
"NE", Series 2004-52, 4.5%, 7/25/2033 | 1,309,000 | 1,248,485 |
"QG", Series 2004-29, 4.5%, 12/25/2032 | 1,450,000 | 1,385,397 |
"UK", Series 2003-9, 4.5%, 11/25/2016 | 1,575,164 | 1,583,096 |
"WB", Series 2003-106, 4.5%, 10/25/2015 | 1,860,000 | 1,900,347 |
"A2", Series 2002-W10, 4.7%, 8/25/2042 | 91,371 | 91,348 |
"A2", Series 2002-W9, 4.7%, 8/25/2042 | 29,689 | 29,711 |
"2A3", Series 2003-W15, 4.71%, 8/25/2043 | 2,800,000 | 2,825,298 |
"1A3", Series 2003-W18, 4.732%, 8/25/2043 | 1,290,000 | 1,305,556 |
"KY", Series 2002-55, 4.75%, 4/25/2028 | 360,069 | 360,131 |
"1A3", Series 2003-W19, 4.783%, 11/25/2033 | 1,270,000 | 1,288,758 |
"KH", Series 2003-92, 5.0%, 3/25/2032 | 1,230,000 | 1,222,250 |
"MC", Series 2002-56, 5.5%, 9/25/2017 | 1,160,230 | 1,190,074 |
"VD", Series 2002-56, 6.0%, 4/25/2020 | 60,761 | 62,235 |
"A2", Series 1998-M1, 6.25%, 1/25/2008 | 1,702,696 | 1,820,407 |
"1A2", Series 2003-W3, 7.0%, 8/25/2042 | 745,031 | 798,115 |
"2A", Series 2003-W8, 7.0%, 10/25/2042 | 1,665,268 | 1,767,619 |
"A2", Series 2002-T16, Grantor Trust, 7.0%, 7/25/2042 | 1,289,557 | 1,381,438 |
"A2", Series 2002-T19 Grantor Trust, 7.0%, 7/25/2042 | 1,215,446 | 1,302,047 |
"A2", Series 2002-T4, 7.0%, 12/25/2041 | 1,540,745 | 1,650,523 |
Government National Mortgage Association: | ||
"GD", Series 2004-26, 5.0%, 11/16/2032 | 1,304,000 | 1,279,363 |
"QE", Series 2004-11, 5.0%, 12/16/2032 | 1,955,000 | 1,924,568 |
Total Collateralized Mortgage Obligations (Cost $69,828,142) | 69,875,741 | |
Municipal Investments 2.7% | ||
California, Urban Industrial Development Agency, Series 1A, 4.5%, 5/1/2010 (f) | 2,550,000 | 2,577,999 |
Connecticut, Industrial Development Revenue, Development Authority, Series A, 8.375%, 10/15/2004 | 195,000 | 195,485 |
Delaware River, Port Authority, Port District Project, Series A, 7.27%, 1/1/2007 (f) | 930,000 | 1,013,161 |
Hudson County, NJ, Improvement Authority Lease Revenue, Weehawken Pershing Road, 5.72%, 3/1/2034 (f) | 1,340,000 | 1,333,689 |
Illinois, State GO, 4.95%, 6/1/2023 | 1,670,000 | 1,598,841 |
Kentucky, Multi-Family Housing Revenue, Housing Assistane Corp., Series B, 7.2%, 2/1/2006 | 120,000 | 120,353 |
Lansing, MI, Water & Sewer Revenue, Board Water & Light Water Supply Steam, Series B, 7.3%, 7/1/2006 (f) | 3,155,000 | 3,392,887 |
Mount Laurel Township, NJ, Municipal Utitlites Authority, Utilities System Revenue, Series B, 3.9%, 7/1/2010 (f) | 950,000 | 937,906 |
San Diego, CA, Redevelopment Agency, Taxable Housing Allocation, Series C, 5.81%, 9/1/2019 (f) | 2,300,000 | 2,363,572 |
Suffolk, VA, Multi-Family Housing Revenue, Redevelopment & Housing Authority, Series T, 6.6%, 7/1/2015 | 1,985,000 | 2,208,154 |
Washington, Industrial Development Revenue, Series A, 2.5%, 10/1/2007 (f) | 3,130,000 | 3,059,418 |
Washington, Industrial Development Revenue, Economic Development Financial Authority, CSC Taco LLC Project, Series A, 3.8%, 10/1/2011 (f) | 1,105,000 | 1,071,110 |
Total Municipal Investments (Cost $19,431,404) | 19,872,575 | |
Government National Mortgage Association 0.3% | ||
Government National Mortgage Association, 6.0% with various maturities from 10/15/2033 until 7/20/2034 (Cost $2,582,818) | 2,512,449 | 2,605,028 |
US Government Backed 4.6% | ||
US Treasury Bills: | ||
1.338%***, 10/21/2004 (h) | 5,310,000 | 5,306,121 |
1.586%***, 12/23/2004 | 150,000 | 149,462 |
1.603%***, 12/23/2004 | 265,000 | 264,041 |
US Treasury Bond: | ||
6.0%, 2/15/2026 (d) | 11,379,000 | 12,973,391 |
7.25%, 5/15/2016 (d) | 1,229,000 | 1,547,100 |
US Treasury Note: | ||
3.125%, 10/15/2008 (d) | 215,000 | 214,681 |
4.375%, 8/15/2012 (d) | 13,274,000 | 13,684,671 |
Total US Government Backed (Cost $33,521,689) | 34,139,467 |
| Value ($) | |
Securities Lending Collateral 3.7% | ||
Daily Assets Fund Institutional, 1.76% (c) (e) (Cost $28,008,728) | 28,008,728 | 28,008,728 |
Cash Equivalents 9.0% | ||
Scudder Cash Management QP Trust, 1.70% (b) (Cost $67,520,466) | 67,520,466 | 67,520,466 |
Scudder Lifecycle Long Range Fund | % of Net Assets | Value ($) |
Total Investment Portfolio (Cost $719,747,486) (a) | 102.4 | 768,400,925 |
Other Assets and Liabilities, Net | (2.4) | (17,891,254) |
Net Assets | 100.0 | 750,509,671 |
* Non-income producing security.
** Floating rate notes are securities whose yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate. These securities are shown at their current rate as of September 30, 2004.
*** Annualized yield at time of purchase; not a coupon rate.
(a) The cost for federal income tax purposes was $740,378,876. At September 30, 2004, net unrealized appreciation for all securities based on tax cost was $28,022,049. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $53,415,698 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $25,393,649.
(b) Scudder Cash Management QP Trust is managed by Deutsche Investment Management Americas Inc., an affiliate of the Advisor. The rate shown is the annualized seven-day yield at period end.
(c) Daily Assets Fund Institutional, an affiliated fund, is also managed by Deutsche Asset Management, Inc. The rate shown is the annualized seven day yield at period end.
(d) All or a portion of these securities were on loan (see Notes to Financial Statements). The value of all securities loaned at September 30, 2004 amounted to $27,325,640, which is 3.6% of total net assets.
(e) Represents collateral held in connection with securities lending.
(f) Bond is insured by one of these companies:
As a % of Total Investment Portfolio | ||
AMBAC | AMBAC Assurance Corp. | .2% |
FSA | Financial Security Assurance | .1% |
MBIA | Municipal Bond Investors Assurance | 1.5% |
XLCA | XL Capital Assurance | .3% |
(g) Mortgage dollar rolls included.
(h) At September 30, 2004 this security has been pledged to cover in whole or in part, initial margin requirements for open futures contracts.
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Federal National Mortgage Association and the Government National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in the investment portfolio.
MTN: Medium Term Note
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
GO: General Obligation
At September 30, 2004, open futures contracts purchased were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation/ |
10 Year Germany Treasury Bond | 12/8/2004 | 266 | 37,871,302 | 38,207,520 | 336,218 |
S&P 200 Index | 12/16/2004 | 25 | 1,646,163 | 1,665,552 | 19,389 |
S&P Canada Index | 12/16/2004 | 96 | 7,211,397 | 7,321,654 | 110,257 |
10 Year Canadian Government Bonds | 12/20/2004 | 61 | 5,285,840 | 5,294,813 | 8,973 |
EOE Dutch Stock Index Futures | 10/15/2004 | 52 | 4,309,952 | 4,196,022 | (113,930) |
Topix Index | 12/9/2004 | 11 | 1,137,466 | 1,100,349 | (37,117) |
S&P 500 Index | 12/16/2004 | 35 | 9,862,952 | 9,755,375 | (107,577) |
S&P 500 Index | 12/16/2004 | 23 | 6,466,141 | 6,410,675 | (55,466) |
Total net unrealized appreciation | 160,747 |
At September 30, 2004, open futures contracts sold were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation/ |
10 Year US Treasury Notes | 12/20/2004 | 662 | 73,665,940 | 74,557,751 | (891,811) |
Scudder Lifecycle Mid Range Fund | Shares | Value ($) |
Common Stocks 34.7% | ||
Consumer Discretionary 3.8% | ||
Auto Components 0.1% | ||
Cooper Tire & Rubber Co. | 100 | 2,017 |
Dana Corp. | 300 | 5,307 |
Delphi Corp. | 900 | 8,361 |
Goodyear Tire & Rubber Co.* | 1,600 | 17,184 |
Johnson Controls, Inc. | 300 | 17,043 |
Visteon Corp. | 200 | 1,598 |
51,510 | ||
Automobiles 0.3% | ||
Ford Motor Co. | 3,000 | 42,150 |
General Motors Corp. | 1,300 | 55,224 |
Harley-Davidson, Inc. | 700 | 41,608 |
138,982 | ||
Distributors 0.0% | ||
Genuine Parts Co. | 300 | 11,514 |
Hotels Restaurants & Leisure 0.6% | ||
Carnival Corp. | 1,100 | 52,019 |
Darden Restaurants, Inc. | 300 | 6,996 |
Harrah's Entertainment, Inc. | 200 | 10,596 |
Hilton Hotels Corp. | 600 | 11,304 |
International Game Technology | 1,000 | 35,950 |
Marriott International, Inc., "A" | 400 | 20,784 |
McDonald's Corp. | 2,100 | 58,863 |
Starbucks Corp.* | 1,000 | 45,460 |
Starwood Hotels & Resorts Worldwide, Inc. | 300 | 13,926 |
Wendy's International, Inc. | 200 | 6,720 |
YUM! Brands, Inc. | 500 | 20,330 |
282,948 | ||
Household Durables 0.2% | ||
Black & Decker Corp. | 100 | 7,744 |
Centex Corp. | 200 | 10,092 |
Fortune Brands, Inc. | 200 | 14,818 |
KB Home | 100 | 8,449 |
Leggett & Platt, Inc. | 300 | 8,430 |
Newell Rubbermaid, Inc. | 1,100 | 22,044 |
Pulte Homes, Inc. | 200 | 12,274 |
The Stanley Works | 500 | 21,265 |
Whirlpool Corp. | 100 | 6,010 |
111,126 | ||
Internet & Catalog Retail 0.2% | ||
eBay, Inc.* | 1,200 | 110,328 |
Leisure Equipment & Products 0.1% | ||
Brunswick Corp. | 200 | 9,152 |
Eastman Kodak Co. | 900 | 28,998 |
38,150 | ||
Media 1.0% | ||
Clear Channel Communications, Inc. | 100 | 3,117 |
Comcast Corp., "A"* | 3,700 | 104,488 |
Dow Jones & Co., Inc. | 100 | 4,061 |
Gannett Co., Inc. | 400 | 33,504 |
Interpublic Group of Companies, Inc.* | 700 | 7,413 |
Knight-Ridder, Inc. | 100 | 6,545 |
McGraw-Hill Companies, Inc. | 300 | 23,907 |
Meredith Corp. | 100 | 5,138 |
New York Times Co., "A" | 200 | 7,820 |
Time Warner, Inc.* | 8,500 | 137,190 |
Univision Communications, Inc., "A"* | 1,000 | 31,610 |
Viacom, Inc., "B" | 2,100 | 70,476 |
Walt Disney Co. | 3,400 | 76,670 |
511,939 | ||
Multiline Retail 0.3% | ||
Big Lots, Inc.* | 200 | 2,446 |
Federated Department Stores, Inc. | 300 | 13,629 |
J.C. Penny Co., Inc. | 500 | 17,640 |
Kohl's Corp.* | 600 | 28,914 |
Nordstrom, Inc. | 200 | 7,648 |
Target Corp. | 700 | 31,675 |
The May Department Stores Co. | 1,000 | 25,630 |
127,582 | ||
Specialty Retail 0.8% | ||
AutoNation, Inc.* | 400 | 6,832 |
AutoZone, Inc.* | 100 | 7,725 |
Bed Bath & Beyond, Inc.* | 500 | 18,555 |
Best Buy Co., Inc. | 100 | 5,425 |
Boise Cascade Corp. | 100 | 3,328 |
Circuit City Stores, Inc. | 1,200 | 18,408 |
Home Depot, Inc. | 4,000 | 156,800 |
Limited Brands | 1,400 | 31,206 |
Lowe's Companies, Inc. | 700 | 38,045 |
Office Depot, Inc.* | 500 | 7,515 |
Sherwin-Williams Co. | 200 | 8,792 |
Staples, Inc. | 1,300 | 38,766 |
The Gap, Inc. | 1,500 | 28,050 |
TJX Companies, Inc. | 800 | 17,632 |
Toys "R" Us, Inc.* | 1,100 | 19,514 |
406,593 | ||
Textiles, Apparel & Luxury Goods 0.2% | ||
Coach, Inc.* | 600 | 25,452 |
Jones Apparel Group, Inc. | 200 | 7,160 |
Liz Claiborne, Inc. | 200 | 7,544 |
NIKE, Inc., "B" | 600 | 47,280 |
Reebok International Ltd. | 400 | 14,688 |
VF Corp. | 200 | 9,890 |
112,014 | ||
Consumer Staples 3.6% | ||
Beverages 0.8% | ||
Anheuser-Busch Companies, Inc. | 1,300 | 64,935 |
Brown-Forman Corp., "B" | 200 | 9,160 |
Coca-Cola Co. | 4,000 | 160,200 |
Pepsi Bottling Group, Inc. | 400 | 10,860 |
PepsiCo, Inc. | 2,800 | 136,220 |
381,375 | ||
Food & Drug Retailing 1.2% | ||
Albertsons, Inc. | 600 | 14,358 |
Costco Wholesale Corp. | 1,100 | 45,716 |
CVS Corp. | 700 | 29,491 |
Kroger Co.* | 1,200 | 18,624 |
Safeway, Inc.* | 700 | 13,517 |
SUPERVALU, Inc. | 200 | 5,510 |
Sysco Corp. | 1,100 | 32,912 |
Wal-Mart Stores, Inc. | 7,000 | 372,400 |
Walgreen Co. | 1,700 | 60,911 |
Winn-Dixie Stores, Inc. | 200 | 618 |
594,057 | ||
Food Products 0.4% | ||
Archer-Daniels-Midland Co. | 1,100 | 18,678 |
Campbell Soup Co. | 700 | 18,403 |
ConAgra Foods, Inc. | 900 | 23,139 |
H.J. Heinz Co. | 600 | 21,612 |
Kellogg Co. | 700 | 29,862 |
McCormick & Co, Inc. | 200 | 6,868 |
Sara Lee Corp. | 1,300 | 29,718 |
William Wrigley Jr. Co. | 400 | 25,324 |
173,604 | ||
Household Products 0.6% | ||
Clorox Co. | 400 | 21,320 |
Colgate-Palmolive Co. | 300 | 13,554 |
Kimberly-Clark Corp. | 800 | 51,672 |
Procter & Gamble Co. | 4,200 | 227,304 |
313,850 | ||
Personal Products 0.2% | ||
Alberto-Culver Co., "B" | 100 | 4,348 |
Avon Products, Inc. | 800 | 34,944 |
Gillette Co. | 1,700 | 70,958 |
110,250 | ||
Tobacco 0.4% | ||
Altria Group, Inc. | 3,700 | 174,048 |
Reynolds American, Inc. | 200 | 13,608 |
UST, Inc. | 600 | 24,156 |
211,812 | ||
Energy 2.7% | ||
Energy Equipment & Services 0.4% | ||
Baker Hughes, Inc. | 600 | 26,232 |
BJ Services Co. | 300 | 15,723 |
Halliburton Co. | 700 | 23,583 |
Nabors Industries Ltd.* | 500 | 23,675 |
Noble Corp.* | 500 | 22,475 |
Rowan Companies, Inc.* | 200 | 5,280 |
Schlumberger Ltd. | 1,000 | 67,310 |
Transocean, Inc.* | 800 | 28,624 |
212,902 | ||
Oil & Gas 2.3% | ||
Amerada Hess Corp. | 200 | 17,800 |
Anadarko Petroleum Corp. | 600 | 39,816 |
Apache Corp. | 500 | 25,055 |
Burlington Resources, Inc. | 700 | 28,560 |
ChevronTexaco Corp. | 3,800 | 203,832 |
ConocoPhillips* | 1,100 | 91,135 |
Devon Energy Corp. | 400 | 28,404 |
El Paso Corp. | 1,100 | 10,109 |
EOG Resources, Inc. | 200 | 13,170 |
ExxonMobil Corp. | 10,800 | 521,964 |
Kerr-McGee Corp. | 300 | 17,175 |
Kinder Morgan, Inc. | 200 | 12,564 |
Marathon Oil Corp. | 600 | 24,768 |
Occidental Petroleum Corp. | 200 | 11,186 |
Sunoco, Inc. | 300 | 22,194 |
Unocal Corp. | 400 | 17,200 |
Valero Energy Corp. | 200 | 16,042 |
Williams Companies, Inc. | 900 | 10,890 |
1,111,864 | ||
Financials 7.1% | ||
Banks 2.3% | ||
AmSouth Bancorp. | 600 | 14,640 |
Bank of America Corp. | 6,800 | 294,644 |
BB&T Corp. | 900 | 35,721 |
Comerica, Inc. | 300 | 17,805 |
Fifth Third Bancorp. | 900 | 44,298 |
First Horizon National Corp. | 200 | 8,672 |
Golden West Financial Corp. | 300 | 33,285 |
Huntington Bancshares, Inc. | 900 | 22,419 |
KeyCorp. | 700 | 22,120 |
M&T Bank Corp. | 200 | 19,140 |
Marshall & Ilsley Corp. | 400 | 16,120 |
National City Corp. | 1,500 | 57,930 |
North Fork Bancorp., Inc. | 310 | 13,779 |
PNC Financial Services Group | 500 | 27,050 |
Regions Financial Corp. | 800 | 26,448 |
SouthTrust Corp. | 600 | 24,996 |
Sovereign Bancorp, Inc. | 600 | 13,092 |
SunTrust Banks, Inc. | 500 | 35,205 |
Synovus Financial Corp. | 500 | 13,075 |
US Bancorp. | 3,100 | 89,590 |
Wachovia Corp. | 2,200 | 103,290 |
Washington Mutual, Inc. | 1,400 | 54,712 |
Wells Fargo & Co. | 2,800 | 166,964 |
Zions Bancorp. | 100 | 6,104 |
1,161,099 | ||
Capital Markets 0.8% | ||
Bank of New York Co., Inc. | 1,300 | 37,921 |
Bear Stearns Companies, Inc. | 300 | 28,851 |
E*TRADE Financial Corp.* | 1,900 | 21,698 |
Federated Investors, Inc, "B" | 200 | 5,688 |
Franklin Resources, Inc. | 400 | 22,304 |
Goldman Sachs Group, Inc. | 1,000 | 93,240 |
Janus Capital Group, Inc. | 400 | 5,444 |
Lehman Brothers Holdings, Inc. | 400 | 31,888 |
Mellon Financial Corp. | 700 | 19,390 |
Merrill Lynch & Co., Inc. | 1,000 | 49,720 |
Morgan Stanley | 1,100 | 54,230 |
State Street Corp. | 600 | 25,632 |
T. Rowe Price Group, Inc. | 200 | 10,188 |
406,194 | ||
Consumer Finance 0.5% | ||
American Express Co.* | 2,100 | 108,066 |
Capital One Finance Corp. | 400 | 29,560 |
MBNA Corp. | 2,700 | 68,040 |
Providian Financial Corp.* | 1,200 | 18,648 |
SLM Corp. | 700 | 31,220 |
255,534 | ||
Diversified Financial Services 1.7% | ||
Citigroup, Inc. | 8,600 | 379,432 |
Countrywide Financial Corp. | 900 | 35,451 |
Fannie Mae | 1,600 | 101,440 |
Freddie Mac | 1,100 | 71,764 |
JPMorgan Chase & Co. | 5,900 | 234,407 |
MGIC Investment Corp. | 400 | 26,620 |
Moody's Corp. | 200 | 14,650 |
863,764 | ||
Insurance 1.6% | ||
ACE Ltd. | 500 | 20,030 |
AFLAC, Inc. | 800 | 31,368 |
Allstate Corp. | 1,400 | 67,186 |
Ambac Financial Group, Inc. | 200 | 15,990 |
American International Group, Inc.* | 4,300 | 292,357 |
Aon Corp.* | 500 | 14,370 |
Cincinnati Financial Corp. | 300 | 12,366 |
Jefferson-Pilot Corp. | 200 | 9,932 |
Lincoln National Corp. | 300 | 14,100 |
Loews Corp. | 300 | 17,550 |
Marsh & McLennan Companies, Inc. | 900 | 41,184 |
MBIA, Inc. | 200 | 11,642 |
MetLife, Inc. | 1,200 | 46,380 |
Progressive Corp. | 400 | 33,900 |
Prudential Financial, Inc. | 1,200 | 56,448 |
Safeco Corp. | 500 | 22,825 |
St. Paul Travelers Companies, Inc. | 300 | 9,918 |
The Chubb Corp. | 300 | 21,084 |
Torchmark Corp. | 200 | 10,636 |
UnumProvident Corp. | 500 | 7,845 |
XL Capital Ltd., "A" | 200 | 14,798 |
771,909 | ||
Real Estate 0.2% | ||
Apartment Investment & Management Co., (REIT) | 200 | 6,956 |
Equity Office Properties Trust, (REIT) | 700 | 19,075 |
Equity Residential, (REIT) | 500 | 15,500 |
Plum Creek Timber Co., Inc., (REIT) | 300 | 10,509 |
ProLogis, (REIT) | 300 | 10,572 |
Simon Property Group, Inc., (REIT) | 300 | 16,089 |
78,701 | ||
Health Care 4.6% | ||
Biotechnology 0.5% | ||
Amgen, Inc.* | 2,100 | 119,028 |
Applera Corp. - Applied Biosystems Group | 300 | 5,661 |
Biogen Idec, Inc.* | 600 | 36,702 |
Chiron Corp.* | 300 | 13,260 |
Genzyme Corp., (General Division)* | 400 | 21,764 |
Gilead Sciences, Inc.* | 1,100 | 41,118 |
MedImmune, Inc.* | 400 | 9,480 |
247,013 | ||
Health Care Equipment & Supplies 0.9% | ||
Bausch & Lomb, Inc. | 300 | 19,935 |
Baxter International, Inc. | 1,000 | 32,160 |
Becton, Dickinson and Co. | 400 | 20,680 |
Biomet, Inc. | 400 | 18,752 |
Boston Scientific Corp.* | 1,400 | 55,622 |
Fisher Scientific International, Inc.* | 148 | 8,633 |
Guidant Corp. | 700 | 46,228 |
Hospira, Inc.* | 300 | 9,180 |
Medtronic, Inc. | 2,000 | 103,800 |
Millipore Corp.* | 100 | 4,785 |
PerkinElmer, Inc. | 200 | 3,444 |
St. Jude Medical, Inc.* | 400 | 30,108 |
Stryker Corp. | 700 | 33,656 |
Thermo Electron Corp.* | 300 | 8,106 |
Waters Corp.* | 200 | 8,820 |
Zimmer Holdings, Inc.* | 400 | 31,616 |
435,525 | ||
Health Care Providers & Services 0.8% | ||
Aetna, Inc. | 300 | 29,979 |
AmerisourceBergen Corp. | 400 | 21,484 |
Anthem, Inc.* | 200 | 17,450 |
Cardinal Health, Inc. | 700 | 30,639 |
Caremark Rx, Inc.* | 1,100 | 35,277 |
CIGNA Corp. | 200 | 13,926 |
Express Scripts, Inc.* | 300 | 19,602 |
HCA, Inc. | 800 | 30,520 |
Health Management Associates, Inc., "A" | 400 | 8,172 |
Humana, Inc.* | 1,000 | 19,980 |
IMS Health, Inc. | 400 | 9,568 |
Manor Care, Inc. | 100 | 2,996 |
Quest Diagnostics, Inc. | 200 | 17,644 |
Tenet Healthcare Corp.* | 800 | 8,632 |
UnitedHealth Group, Inc. | 1,100 | 81,114 |
WellPoint Health Networks, Inc.* | 400 | 42,036 |
389,019 | ||
Pharmaceuticals 2.4% | ||
Abbott Laboratories | 2,600 | 110,136 |
Bristol-Myers Squibb Co. | 3,200 | 75,744 |
Eli Lilly & Co. | 1,900 | 114,095 |
Forest Laboratories, Inc.* | 600 | 26,988 |
Johnson & Johnson | 4,500 | 253,485 |
King Pharmaceuticals, Inc.* | 400 | 4,776 |
Merck & Co., Inc. | 3,100 | 102,300 |
Mylan Laboratories, Inc. | 400 | 7,200 |
Pfizer, Inc. | 12,500 | 382,500 |
Schering-Plough Corp. | 2,400 | 45,744 |
Watson Pharmaceuticals, Inc.* | 500 | 14,730 |
Wyeth | 1,500 | 56,100 |
1,193,798 | ||
Industrials 3.9% | ||
Aerospace & Defense 0.7% | ||
Boeing Co. | 1,700 | 87,754 |
General Dynamics Corp. | 300 | 30,630 |
Goodrich Corp. | 200 | 6,272 |
Honeywell International, Inc. | 1,400 | 50,204 |
Lockheed Martin Corp. | 700 | 39,046 |
Northrop Grumman Corp. | 600 | 31,998 |
Raytheon Co. | 700 | 26,586 |
Rockwell Collins, Inc. | 300 | 11,142 |
United Technologies Corp. | 800 | 74,704 |
358,336 | ||
Air Freight & Logistics 0.4% | ||
FedEx Corp. | 500 | 42,845 |
Ryder System, Inc. | 100 | 4,704 |
United Parcel Service, Inc., "B" | 1,900 | 144,248 |
191,797 | ||
Airlines 0.0% | ||
Delta Air Lines, Inc.* | 200 | 658 |
Southwest Airlines Co. | 1,300 | 17,719 |
18,377 | ||
Building Products 0.1% | ||
American Standard Companies, Inc.* | 400 | 15,564 |
Masco Corp. | 700 | 24,171 |
39,735 | ||
Commercial Services & Supplies 0.4% | ||
Allied Waste Industries, Inc.* | 500 | 4,425 |
Apollo Group, Inc., "A"* | 500 | 36,685 |
Avery Dennison Corp. | 200 | 13,156 |
Cendant Corp. | 1,800 | 38,880 |
Deluxe Corp. | 100 | 4,102 |
Equifax, Inc. | 200 | 5,272 |
H&R Block, Inc. | 300 | 14,826 |
Monster Worldwide, Inc.* | 200 | 4,928 |
Pitney Bowes, Inc. | 400 | 17,640 |
R.R. Donnelley & Sons Co. | 400 | 12,528 |
Robert Half International, Inc. | 300 | 7,731 |
Waste Management, Inc. | 1,000 | 27,340 |
187,513 | ||
Construction & Engineering 0.0% | ||
Fluor Corp. | 100 | 4,452 |
Electrical Equipment 0.1% | ||
Cooper Industries, Inc., "A" | 200 | 11,800 |
Emerson Electric Co. | 700 | 43,323 |
Power-One, Inc.* | 100 | 648 |
55,771 | ||
Industrial Conglomerates 1.6% | ||
3M Co. | 1,300 | 103,961 |
General Electric Co. | 17,500 | 587,650 |
Textron, Inc. | 200 | 12,854 |
Tyco International Ltd. | 3,300 | 101,178 |
805,643 | ||
Machinery 0.5% | ||
Caterpillar, Inc.* | 100 | 8,045 |
Crane Co. | 100 | 2,892 |
Cummins, Inc. | 100 | 7,389 |
Danaher Corp. | 500 | 25,640 |
Deere & Co. | 400 | 25,820 |
Eaton Corp. | 300 | 19,023 |
Illinois Tool Works, Inc. | 500 | 46,585 |
Ingersoll-Rand Co., "A" | 300 | 20,391 |
ITT Industries, Inc. | 200 | 15,998 |
Navistar International Corp.* | 100 | 3,719 |
PACCAR, Inc. | 500 | 34,560 |
Parker-Hannifin Corp. | 400 | 23,544 |
233,606 | ||
Road & Rail 0.1% | ||
Burlington Northern Santa Fe Corp. | 600 | 22,986 |
CSX Corp. | 400 | 13,280 |
Norfolk Southern Corp. | 700 | 20,818 |
57,084 | ||
Trading Companies & Distributors 0.0% | ||
W.W. Grainger, Inc. | 100 | 5,766 |
Information Technology 5.6% | ||
Communications Equipment 1.1% | ||
ADC Telecommunications, Inc.* | 1,300 | 2,353 |
Andrew Corp.* | 300 | 3,672 |
Avaya, Inc.* | 1,700 | 23,698 |
CIENA Corp.* | 900 | 1,782 |
Cisco Systems, Inc.* | 11,200 | 202,720 |
Comverse Technologies, Inc.* | 300 | 5,649 |
Corning, Inc.* | 3,300 | 36,564 |
JDS Uniphase Corp.* | 2,400 | 8,088 |
Lucent Technologies, Inc.* | 7,200 | 22,824 |
Motorola, Inc. | 4,700 | 84,788 |
QUALCOMM, Inc. | 2,700 | 105,408 |
Tellabs, Inc.* | 2,200 | 20,218 |
517,764 | ||
Computers & Peripherals 1.2% | ||
Apple Computer, Inc.* | 900 | 34,875 |
Dell, Inc.* | 4,100 | 145,960 |
EMC Corp.* | 4,000 | 46,160 |
Gateway, Inc.* | 600 | 2,970 |
Hewlett-Packard Co. | 3,100 | 58,125 |
International Business Machines Corp. | 2,800 | 240,072 |
Lexmark International, Inc.* | 300 | 25,203 |
NCR Corp.* | 200 | 9,918 |
Network Appliance, Inc.* | 700 | 16,100 |
QLogic Corp.* | 200 | 5,922 |
Sun Microsystems, Inc.* | 5,500 | 22,220 |
607,525 | ||
Electronic Equipment & Instruments 0.1% | ||
Agilent Technologies, Inc.* | 800 | 17,256 |
Jabil Circuit, Inc.* | 300 | 6,900 |
Molex, Inc. | 300 | 8,946 |
Sanmina-SCI Corp.* | 900 | 6,345 |
Solectron Corp.* | 1,600 | 7,920 |
Symbol Technologies, Inc. | 400 | 5,060 |
Tektronix, Inc. | 100 | 3,326 |
55,753 | ||
Internet Software & Services 0.2% | ||
Yahoo!, Inc.* | 2,600 | 88,166 |
IT Consulting & Services 0.4% | ||
Affiliated Computer Services, Inc., "A"* | 500 | 27,835 |
Automatic Data Processing, Inc. | 1,000 | 41,320 |
Computer Sciences Corp.* | 300 | 14,130 |
Convergys Corp.* | 200 | 2,686 |
Electronic Data Systems Corp. | 800 | 15,520 |
First Data Corp. | 1,400 | 60,900 |
Fiserv, Inc.* | 300 | 10,458 |
Sabre Holdings Corp. | 200 | 4,906 |
SunGard Data Systems, Inc.* | 500 | 11,885 |
Unisys Corp.* | 600 | 6,192 |
195,832 | ||
Office Electronics 0.1% | ||
Xerox Corp.* | 1,400 | 19,712 |
Semiconductors & Semiconductor Equipment 1.0% | ||
Advanced Micro Devices, Inc.* | 1,400 | 18,200 |
Altera Corp.* | 1,300 | 25,441 |
Applied Materials, Inc.* | 2,800 | 46,172 |
Applied Micro Circuits Corp.* | 500 | 1,565 |
Broadcom Corp., "A"* | 1,000 | 27,290 |
Intel Corp. | 10,700 | 214,642 |
KLA-Tencor Corp.* | 300 | 12,444 |
Linear Technology Corp. | 500 | 18,125 |
LSI Logic Corp.* | 600 | 2,586 |
Maxim Integrated Products, Inc. | 800 | 33,832 |
Micron Technology, Inc.* | 1,000 | 12,030 |
National Semiconductor Corp.* | 1,500 | 23,235 |
Novellus Systems, Inc.* | 600 | 15,954 |
NVIDIA Corp.* | 300 | 4,356 |
PMC-Sierra, Inc.* | 300 | 2,643 |
Teradyne, Inc.* | 300 | 4,020 |
Texas Instruments, Inc. | 1,700 | 36,176 |
Xilinx, Inc. | 600 | 16,200 |
514,911 | ||
Software 1.5% | ||
Adobe Systems, Inc. | 400 | 19,788 |
Autodesk, Inc. | 200 | 9,726 |
BMC Software, Inc.* | 400 | 6,324 |
Citrix Systems, Inc.* | 300 | 5,256 |
Computer Associates International, Inc. | 1,000 | 26,300 |
Compuware Corp.* | 600 | 3,090 |
Electronic Arts, Inc.* | 500 | 22,995 |
Intuit, Inc.* | 300 | 13,620 |
Mercury Interactive Corp.* | 200 | 6,976 |
Microsoft Corp. | 17,100 | 472,815 |
Novell, Inc.* | 600 | 3,786 |
Oracle Corp.* | 8,600 | 97,008 |
Parametric Technology Corp.* | 400 | 2,112 |
PeopleSoft, Inc.* | 600 | 11,910 |
Siebel Systems, Inc.* | 800 | 6,032 |
Symantec Corp.* | 800 | 43,904 |
VERITAS Software Corp.* | 700 | 12,460 |
764,102 | ||
Materials 1.1% | ||
Chemicals 0.5% | ||
Air Products & Chemicals, Inc. | 400 | 21,752 |
Dow Chemical Co. | 1,600 | 72,288 |
E.I. du Pont de Nemours & Co. | 1,700 | 72,760 |
Eastman Chemical Co. | 100 | 4,755 |
Ecolab, Inc. | 400 | 12,576 |
Engelhard Corp. | 200 | 5,670 |
Great Lakes Chemical Corp. | 100 | 2,560 |
Hercules, Inc.* | 200 | 2,850 |
International Flavors & Fragrances, Inc. | 200 | 7,640 |
PPG Industries, Inc. | 300 | 18,384 |
Praxair, Inc. | 500 | 21,370 |
Rohm & Haas Co. | 400 | 17,188 |
Sigma-Aldrich Corp. | 100 | 5,800 |
265,593 | ||
Construction Materials 0.0% | ||
Vulcan Materials Co. | 200 | 10,190 |
Containers & Packaging 0.1% | ||
Ball Corp. | 600 | 22,458 |
Bemis Co., Inc. | 200 | 5,316 |
Pactiv Corp.* | 300 | 6,975 |
Sealed Air Corp.* | 100 | 4,635 |
Temple-Inland, Inc. | 100 | 6,715 |
46,099 | ||
Metals & Mining 0.2% | ||
Alcoa, Inc. | 1,400 | 47,026 |
Newmont Mining Corp. | 700 | 31,871 |
Nucor Corp. | 100 | 9,137 |
Phelps Dodge Corp. | 200 | 18,406 |
Worthington Industries, Inc. | 100 | 2,135 |
108,575 | ||
Paper & Forest Products 0.3% | ||
Georgia-Pacific Corp. | 400 | 14,380 |
International Paper Co. | 800 | 32,328 |
Louisiana-Pacific Corp. | 700 | 18,165 |
MeadWestvaco Corp. | 800 | 25,520 |
Weyerhaeuser Co. | 600 | 39,888 |
130,281 | ||
Telecommunication Services 1.2% | ||
Diversified Telecommunication Services 1.0% | ||
ALLTEL Corp. | 500 | 27,455 |
BellSouth Corp. | 3,000 | 81,360 |
CenturyTel, Inc. | 200 | 6,848 |
Qwest Communications International, Inc.* | 3,000 | 9,990 |
SBC Communications, Inc. | 5,500 | 142,725 |
Sprint Corp. | 2,400 | 48,312 |
Verizon Communications, Inc. | 4,600 | 181,148 |
497,838 | ||
Wireless Telecommunication Services 0.2% | ||
AT&T Wireless Services, Inc.* | 4,500 | 66,510 |
Nextel Communications, Inc., "A"* | 1,900 | 45,296 |
111,806 | ||
Utilities 1.1% | ||
Electric Utilities 0.7% | ||
Allegheny Energy, Inc.* | 200 | 3,192 |
Ameren Corp. | 300 | 13,845 |
American Electric Power Co. | 700 | 22,372 |
CenterPoint Energy, Inc. | 500 | 5,180 |
CINergy Corp. | 300 | 11,880 |
Consolidated Edison, Inc. | 700 | 29,428 |
DTE Energy Co. | 300 | 12,657 |
Entergy Corp. | 400 | 24,244 |
Exelon Corp. | 1,100 | 40,359 |
FirstEnergy Corp. | 500 | 20,540 |
FPL Group, Inc. | 300 | 20,496 |
PG&E Corp.* | 700 | 21,280 |
Pinnacle West Capital Corp. | 200 | 8,300 |
PPL Corp. | 300 | 14,154 |
Progress Energy, Inc. | 400 | 16,936 |
Southern Co. | 1,200 | 35,976 |
TXU Corp. | 500 | 23,960 |
Xcel Energy, Inc. | 700 | 12,124 |
336,923 | ||
Gas Utilities 0.1% | ||
KeySpan Corp. | 300 | 11,760 |
Nicor, Inc. | 100 | 3,670 |
NiSource, Inc. | 400 | 8,404 |
Peoples Energy Corp. | 100 | 4,168 |
28,002 | ||
Multi-Utilities 0.3% | ||
AES Corp.* | 2,500 | 24,975 |
Calpine Corp.* | 700 | 2,030 |
CMS Energy Corp.* | 300 | 2,856 |
Constellation Energy Group, Inc. | 600 | 23,904 |
Dominion Resources, Inc. | 500 | 32,625 |
Duke Energy Corp. | 2,200 | 50,358 |
Dynegy, Inc., "A"* | 600 | 2,994 |
Public Service Enterprise Group, Inc. | 400 | 17,040 |
Sempra Energy | 400 | 14,476 |
171,258 | ||
Total Common Stocks (Cost $15,370,708) | 17,243,366 |
Principal Amount ($) | Value ($) | |
Corporate Bonds 8.6% | ||
Consumer Discretionary 0.7% | ||
Comcast Cable Communications Holdings, Inc., 8.375%, 3/15/2013 | 195,000 | 236,143 |
Continental Cablevision, Inc., 9.0%, 9/1/2008 | 20,000 | 23,447 |
General Motors Corp., 8.375%, 7/15/2033 (d) | 35,000 | 37,162 |
Liberty Media Corp., 3.38%**, 9/17/2006 | 67,000 | 67,718 |
364,470 | ||
Energy 1.7% | ||
CenterPoint Energy Resources Corp., Series B, 7.875%, 4/1/2013 | 60,000 | 70,726 |
Duke Capital Corp., 4.302%, 5/18/2006 | 75,000 | 76,079 |
Duke Capital LLC, 5.668%, 8/15/2014 | 130,000 | 132,593 |
Enterprise Products Operating LP: | ||
144A, 4.625%, 10/15/2009 | 45,000 | 45,374 |
7.5%, 2/1/2011 | 44,000 | 50,097 |
FirstEnergy Corp., Series B, 6.45%, 11/15/2011 | 220,000 | 239,991 |
Halliburton Co., 5.5%, 10/15/2010 | 135,000 | 141,424 |
Pemex Project Funding Master Trust, 144A, 3.18%**, 6/15/2010 | 80,000 | 80,840 |
837,124 | ||
Financials 3.4% | ||
Agfirst Farm Credit Bank, 8.393%**, 12/15/2016 | 325,000 | 376,251 |
American General Finance Corp., 3.875%, 10/1/2009 | 90,000 | 89,214 |
Capital One Bank: | ||
5.0%, 6/15/2009 | 35,000 | 36,246 |
5.75%, 9/15/2010 | 15,000 | 15,991 |
Ford Motor Credit Co., 6.875%, 2/1/2006 | 320,000 | 334,855 |
General Motors Acceptance Corp.: | ||
6.75%, 1/15/2006 | 125,000 | 130,387 |
6.875%, 9/15/2011 | 58,000 | 60,843 |
Goldman Sachs Group, Inc., 4.75%, 7/15/2013 | 76,000 | 74,566 |
Merrill Lynch & Co., Inc., Series C, 5.45%, 7/15/2014 | 140,000 | 144,815 |
Pennsylvania Mutual Life Insurance Co., 144A, 6.65%, 6/15/2034 | 75,000 | 78,811 |
RAM Holdings Ltd., 144A, 6.875%, 4/1/2024 | 220,000 | 214,724 |
Republic New York Corp., 5.875%, 10/15/2008 | 120,000 | 128,471 |
1,685,174 | ||
Health Care 0.7% | ||
Health Care Service Corp., 144A, 7.75%, 6/15/2011 | 285,000 | 331,614 |
Materials 0.4% | ||
International Paper Co., 6.75%, 9/1/2011 | 185,000 | 206,149 |
Telecommunication Services 0.3% | ||
BellSouth Corp., 5.2%, 9/15/2014 | 145,000 | 146,352 |
Utilities 1.4% | ||
Consumers Energy Co., 6.25%, 9/15/2006 | 293,000 | 308,893 |
Ohio Valley Electric Corp., 144A, 5.94%, 2/12/2006 | 335,000 | 349,173 |
Potomac Edison Co., 8.0%, 6/1/2024 | 60,000 | 61,800 |
719,866 | ||
Total Corporate Bonds (Cost $4,145,509) | 4,290,749 | |
Asset Backed 4.1% | ||
Automobile Receivables 1.4% | ||
Drive Auto Receivables Trust, "A4", Series 2002-1, 144A, 4.09%, 1/15/2008 | 110,000 | 111,282 |
MMCA Automobile Trust: | ||
"A4", Series 2002-2, 4.3%, 3/15/2010 | 390,000 | 393,009 |
"A4", Series 2001-4, 4.92%, 8/15/2007 | 111,557 | 112,770 |
"B", Series 2002-1, 5.37%, 1/15/2010 | 98,708 | 98,469 |
715,530 | ||
Home Equity Loans 2.0% | ||
Advanta Mortgage Loan Trust, "A6", Series 2000-2, 7.72%, 3/25/2015 | 295,507 | 312,519 |
Argent NIM Trust, "A", Series 2004-WN2, 144A, 4.55%, 4/25/2034 | 105,980 | 105,788 |
Long Beach Mortgage Loan Trust, "M3", Series 2001-4, 4.59%**, 3/25/2032 | 160,000 | 147,858 |
Park Place Securities Trust, 144A "A", Sereis 2004-NIM, 4.458%, 8/25/2034 | 110,000 | 110,000 |
Renaissance NIM Trust, "A", Series 2004-A, 144A, 4.45%, 6/25/2034 | 118,548 | 118,474 |
Residential Asset Securities Corp., "A2B2", Series 2004-KS2**, 2.08%, 3/25/2034 | 215,000 | 215,000 |
1,009,639 | ||
Manufactured Housing Receivables 0.7% | ||
Greenpoint Manufactured Housing, "A3", Series 1999-5, 7.33%, 8/15/2020 | 329,369 | 333,265 |
Total Asset Backed (Cost $2,056,442) | 2,058,434 | |
Foreign Bonds - US$ Denominated 4.6% | ||
Autopista Del Maipo, 144A, 7.373%, 6/15/2022 | 455,000 | 528,564 |
Deutsche Telekom International Finance BV, 8.25%, 6/15/2030 | 83,000 | 107,284 |
Endurance Specialty Holdings Ltd., 7.0%, 7/15/2034 | 50,000 | 51,110 |
Petroleos Mexicanos, Series P, 9.5%, 9/15/2027 | 45,000 | 54,900 |
PF Export Receivable Master Trust, 144A, 6.6%, 12/1/2011 | 550,000 | 600,952 |
QBE Insurance Group Ltd., 144A, 5.647%**, 7/1/2023 | 125,000 | 123,111 |
Sappi Papier Holding AG, 144A, 6.75%, 6/15/2012 | 157,000 | 172,265 |
Tyco International Group SA: | ||
6.75%, 2/15/2011 | 200,000 | 225,018 |
6.875%, 1/15/2029 | 105,000 | 117,670 |
7.0%, 6/15/2028 | 50,000 | 56,411 |
United Mexican States: | ||
MTN, 6.75%, 9/27/2034 (d) | 40,000 | 38,420 |
8.375%, 1/14/2011 | 175,000 | 205,188 |
Total Foreign Bonds - US$ Denominated (Cost $2,109,596) | 2,280,893 | |
US Government Agency Sponsored Pass-Throughs 3.4% | ||
Federal Home Loan Mortgage Corp.: | ||
5.0% with various maturities from 7/1/2018 until 2/15/2022 | 149,489 | 152,031 |
6.0%, 12/1/2033 | 270,630 | 279,920 |
Federal National Mortgage Association: | ||
4.5% with various maturities from 3/1/2018 until 11/1/2018 | 225,332 | 225,204 |
5.42%, 11/1/2008 | 114,945 | 121,295 |
5.5% with various maturities from 3/1/2018 until 5/1/2034 | 619,432 | 630,169 |
6.0%, 3/1/2015 | 147,340 | 154,740 |
6.5%, 11/1/2033 | 99,127 | 104,067 |
9.0%, 11/1/2030 | 31,832 | 35,055 |
Total US Government Agency Sponsored Pass-Throughs (Cost $1,691,901) | 1,702,481 | |
Commercial and Non-Agency Mortgage-Backed Securities 4.3% | ||
Citigroup Mortgage Loan Trust, Inc., "1A2", Series 2004-NCM-1, 6.5%, 6/25/2034 | 149,116 | 155,206 |
Countrywide Alternative Loan Trust: | ||
"1A1", Series 2004-J1, 6.0%, 2/25/2034 | 86,924 | 88,715 |
"7A1", Series 2004-J2, 6.0%, 12/25/2033 | 98,003 | 100,375 |
CS First Boston Mortgage Securities Corp.: | ||
"A2", Series 2001-CK3, 6.04%, 6/15/2034 | 105,000 | 109,197 |
"A1", Series 1999-C1, 6.91%, 9/15/2041 | 190,017 | 202,789 |
DLJ Mortgage Acceptance Corp., "A1B", Series 1997-CF2, 144A, 6.82%, 10/15/2030 | 98,408 | 105,918 |
GMAC Commercial Mortgage Securities, Inc., "A3", Series 1997-C1, 6.869%, 7/15/2029 | 127,805 | 137,726 |
JP Morgan Commercial Mortgage Finance Corp., "A3", Series 1997-C5, 7.088%, 9/15/2029 | 190,000 | 205,043 |
Master Alternative Loan Trust: | ||
"2A1", Series 2004-3, 6.25%, 4/25/2034 | 273,546 | 282,881 |
"8A1", Series 2004-3, 7.0%, 4/25/2034 | 107,596 | 112,337 |
Master Asset Securitization Trust, "8A1", Series 2003-6, 5.5%, 7/25/2033 | 127,934 | 128,786 |
Residential Asset Securitization Trust, "A1", Series 2003-A11, 4.25%, 11/25/2033 | 203,468 | 205,365 |
Washington Mutual MSC Mortgage Pass-Through, "1A22", Series 2003-MS3, 5.75%, 3/25/2033 | 118,240 | 118,818 |
Wells Fargo Mortgage Backed Securities Trust, "1A1", Series 2003-6, 5.0%, 6/25/2018 | 155,917 | 157,923 |
Total Commercial and Non-Agency Mortgage-Backed Securities (Cost $2,126,114) | 2,111,079 | |
Collateralized Mortgage Obligations 10.5% | ||
Fannie Mae: | ||
"B", Series 1997-M5, 6.65%, 8/25/2007 | 82,140 | 86,732 |
"C", Series 1997-MS, 6.74%, 8/25/2007 | 145,000 | 156,650 |
Fannie Mae Grantor Trust, "1A3", Series 2004-T2, 7.0%, 11/25/2043 | 84,054 | 90,043 |
Fannie Mae Whole Loan: | ||
"2A", Series 2002-W1, 7.5%, 2/25/2042 | 88,352 | 95,381 |
"5A", Series 2004-W2, 7.5%, 3/25/2044 | 250,179 | 271,836 |
Federal Home Loan Mortgage Corp.: | ||
"TC", Series 2728, 4.0%, 2/15/2023 | 310,000 | 311,502 |
"LB", Series 2755, 4.0%, 9/15/2023 | 155,000 | 156,502 |
"LJ", Series 2612, 4.0%, 7/15/2022 | 107,428 | 108,338 |
"NB", Series 2750, 4.0%, 12/15/2022 | 378,000 | 379,837 |
"OA", Series 2003-8, 4.5%, 2/25/2016 | 255,180 | 257,557 |
"LC", Series 2682, 4.5%, 7/15/2032 | 230,000 | 221,195 |
"ON", Series 2776, 4.5%, 11/15/2032 | 125,000 | 119,391 |
"BG", Series 2640, 5.0%, 2/15/2032 | 305,000 | 304,053 |
"OE", Series 2840, 5.0%, 2/15/2033 | 220,000 | 217,685 |
"PD", Series 2783, 5.0%, 1/15/2033 | 112,000 | 109,730 |
"PD", Series 2844, 5.0%, 12/15/2032 | 115,000 | 113,074 |
"PE", Series 2777, 5.0%, 4/15/2033 | 240,000 | 234,338 |
"TE", Series 2827, 5.0%, 4/15/2033 | 175,000 | 173,094 |
"QE", Series 2113, 6.0%, 11/15/2027 | 112,084 | 113,786 |
"3A", Series T-41, 7.5%, 7/25/2032 | 56,820 | 61,384 |
Federal National Mortgage Association: | ||
"2A3", Series 2001-4, 4.16%, 6/25/2042 | 140,000 | 141,141 |
"NE", Series 2004-52, 4.5%, 7/25/2033 | 113,000 | 107,776 |
"1A5", Series 2003-W14, 4.71%, 9/25/2043 | 270,000 | 273,608 |
"1A3", Series 2003-W18, 4.732%, 8/25/2043 | 150,000 | 151,809 |
"KH", Series 2003-92, 5.0%, 3/25/2032 | 150,000 | 149,055 |
"1A2", Series 2003-W3, 7.0%, 8/25/2042 | 12,935 | 13,856 |
"1A3", Series 2004-T3, 7.0%, 2/25/2044 | 43,082 | 46,151 |
"2A", Series 2003-W8, 7.0%, 10/25/2042 | 102,757 | 109,073 |
"A2", Series 2002-T16, Grantor Trust, 7.0%, 7/25/2042 | 98,575 | 105,598 |
Federal National Mortgage Association Grantor Trust, "A3", Series 2002-T19, 7.5%, 7/25/2042 | 139,127 | 151,171 |
Government National Mortgage Association: | ||
"PD", Series 2004-30, 5.0%, 2/20/2033 | 112,000 | 110,294 |
"QE", Series 2004-11, 5.0%, 12/16/2032 | 245,000 | 241,186 |
Total Collateralized Mortgage Obligations (Cost $5,188,044) | 5,182,826 | |
Municipal Investments 3.8% | ||
Delaware River, Port Authority, Port District Project, Series A, 7.27%, 1/1/2007 (f) | 180,000 | 196,096 |
Houston, TX, Airport Revenue, 6.88%, 1/1/2028 (f) | 275,000 | 318,642 |
Illinois, State GO, 4.95%, 6/1/2023 | 105,000 | 100,526 |
Lansing, MI, Water & Sewer Revenue, Board Water & Light Water Supply Steam, Series B, 7.3%, 7/1/2006 (f) | 605,000 | 650,617 |
Virginia, Multi-Family Housing Revenue, Housing Development Authority, Series A, 6.51%, 5/1/2019 (f) | 610,000 | 637,975 |
Total Municipal Investments (Cost $1,731,029) | 1,903,856 | |
Government National Mortgage Association 1.1% | ||
Government National Mortgage Association: | ||
3.75%, 6/20/2026 | 310,000 | 311,831 |
6.0% with various maturities from 10/15/2033 until 7/20/2034 | 222,827 | 231,046 |
Total Government National Mortgage Association (Cost $541,738) | 542,877 | |
US Government Backed 11.4% | ||
US Treasury Bill: | ||
1.31%***, 10/21/2004 (g) | 490,000 | 489,642 |
1.57%***, 12/23/2004 | 40,000 | 39,855 |
1.67%***, 12/9/2004 | 3,200,000 | 3,190,032 |
US Treasury Bond: | ||
6.0%, 2/15/2026 (d) | 1,043,000 | 1,189,142 |
7.25%, 5/15/2016 (d) | 191,000 | 240,436 |
US Treasury Note: | ||
1.5%, 3/31/2006 (d) | 34,000 | 33,556 |
3.125%, 10/15/2008 | 30,000 | 29,956 |
4.375%, 8/15/2012 (d) | 459,000 | 473,201 |
Total US Government Backed (Cost $5,598,876) | 5,685,820 | |
| Value ($) | |
Securities Lending Collateral 3.7% | ||
Daily Assets Fund Institutional, 1.76% (c) (e) (Cost $1,855,438) | 1,855,438 | 1,855,438 |
Cash Equivalents 10.0% | ||
Scudder Cash Management QP Trust, 1.70% (b) (Cost $4,957,989) | 4,957,989 | 4,957,989 |
Scudder Lifecycle Mid Range Fund | % of Net Assets | Value ($) |
Total Investment Portfolio (Cost $47,373,384) (a) | 100.2 | 49,815,808 |
Other Assets and Liabilities, Net | (0.2) | (113,023) |
Net Assets | 100.0 | 49,702,785 |
* Non-income producing security.
** Floating rate notes are securities whose yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate. These securities are shown at their current rate as of September 30, 2004.
*** Annualized yield at time of purchase; not a coupon rate.
(a) The cost for federal income tax purposes was $49,223,500. At September 30, 2004, net unrealized appreciation for all securities based on tax cost was $592,308. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $2,153,071 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $1,560,763.
(b) Scudder Cash Management QP Trust is managed by Deutsche Investment Management Americas Inc., an affiliate of the Advisor. The rate shown is the annualized seven-day yield at period end.
(c) Daily Assets Institutional, an affiliated fund, is also managed by Deutsche Asset Management, Inc. The rate shown is the annualized seven-day yield at period end.
(d) All or a portion of these securities were on loan (see Notes to Financial Statements). The value of all securities loaned at September 30, 2004 amounted to $1,810,943, which is 3.6% of total net assets.
(e) Represents collateral held in connection with securities lending.
(f) Bond is insured by one of these companies:
As a % of Total Investment Portfolio | ||
FGIC | Financial Guaranty Insurance Company | 0.6% |
FSA | Financial Security Assurance | 0.4% |
MBIA | Municipal Bond Investors Assurance | 2.6% |
(g) At September 30, 2004, this security has been pledged to cover in whole or in part, initial margin requirements for open futures contracts.
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Federal Home Loan Morgage Corp, the Federal National Mortgage Association and the Government National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in the investment portfolio.
MTN: Medium Term Note
144A:Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
GO: General Obligation
At September 30, 2004, open futures contracts purchased were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation/ |
10 Year Canadian Government Bond | 12/20/2004 | 15 | 1,299,797 | 1,302,003 | 2,206 |
10 Year German Federal Republic Bonds | 12/08/2004 | 18 | 2,563,030 | 2,585,471 | 22,441 |
EOE Dutch Stock Index Futures | 10/15/2004 | 3 | 248,651 | 242,078 | (6,573) |
S&P 500 Index | 12/16/2004 | 2 | 563,662 | 557,450 | (6,212) |
S&P Canada 60 Index | 12/16/2004 | 5 | 375,593 | 381,336 | 5,743 |
S&P Mini 500 Index | 12/17/2004 | 2 | 112,833 | 111,500 | (1,333) |
Share Price Index 200 | 12/16/2004 | 1 | 65,846 | 66,622 | 776 |
Topix Index | 12/09/2004 | 1 | 103,406 | 100,032 | (3,374) |
Total net unrealized appreciation | 13,674 |
At September 30, 2004, open futures contracts sold were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation/ |
10 Year US Treasury Note | 12/20/2004 | 44 | 4,896,872 | 4,955,500 | (58,628) |
Scudder Lifecycle Short Range Fund |
| Value ($) |
Common Stocks 14.8% | ||
Consumer Discretionary 1.6% | ||
Auto Components 0.0% | ||
Cooper Tire & Rubber Co. | 20 | 403 |
Dana Corp. | 41 | 725 |
Delphi Corp. | 160 | 1,486 |
Goodyear Tire & Rubber Co.* | 277 | 2,975 |
Johnson Controls, Inc. | 55 | 3,125 |
Visteon Corp. | 36 | 288 |
9,002 | ||
Automobiles 0.1% | ||
Ford Motor Co. | 532 | 7,475 |
General Motors Corp. | 223 | 9,473 |
Harley-Davidson, Inc. | 127 | 7,549 |
24,497 | ||
Distributors 0.0% | ||
Genuine Parts Co. | 50 | 1,919 |
Hotels Restaurants & Leisure 0.2% | ||
Carnival Corp. | 184 | 8,701 |
Darden Restaurants, Inc. | 46 | 1,073 |
Harrah's Entertainment, Inc. | 32 | 1,695 |
Hilton Hotels Corp. | 110 | 2,073 |
International Game Technology | 169 | 6,076 |
Marriott International, Inc., "A" | 66 | 3,429 |
McDonald's Corp. | 365 | 10,231 |
Starbucks Corp.* | 169 | 7,683 |
Starwood Hotels & Resorts Worldwide, Inc. | 60 | 2,785 |
Wendy's International, Inc. | 33 | 1,109 |
YUM! Brands, Inc. | 85 | 3,456 |
48,311 | ||
Household Durables 0.1% | ||
Black & Decker Corp. | 23 | 1,781 |
Centex Corp. | 36 | 1,817 |
Fortune Brands, Inc. | 42 | 3,112 |
KB Home | 14 | 1,183 |
Leggett & Platt, Inc. | 55 | 1,546 |
Newell Rubbermaid, Inc. | 201 | 4,028 |
Pulte Homes, Inc. | 36 | 2,209 |
The Stanley Works | 82 | 3,487 |
Whirlpool Corp. | 19 | 1,142 |
20,305 | ||
Internet & Catalog Retail 0.1% | ||
eBay, Inc.* | 218 | 20,043 |
Leisure Equipment & Products 0.0% | ||
Brunswick Corp. | 28 | 1,281 |
Eastman Kodak Co. | 159 | 5,123 |
6,404 | ||
Media 0.5% | ||
Clear Channel Communications, Inc. | 26 | 810 |
Comcast Corp., "A"* | 649 | 18,328 |
Dow Jones & Co., Inc. | 24 | 975 |
Gannett Co., Inc. | 77 | 6,450 |
Interpublic Group of Companies, Inc.* | 120 | 1,271 |
Knight-Ridder, Inc. | 23 | 1,505 |
McGraw-Hill Companies, Inc. | 55 | 4,383 |
Meredith Corp. | 14 | 719 |
New York Times Co., "A" | 42 | 1,642 |
Time Warner, Inc.* | 1,480 | 23,887 |
Univision Communications, Inc., "A"* | 172 | 5,437 |
Viacom, Inc., "B" | 366 | 12,283 |
Walt Disney Co. | 597 | 13,462 |
91,152 | ||
Multiline Retail 0.1% | ||
Big Lots, Inc.* | 32 | 391 |
Federated Department Stores, Inc. | 52 | 2,362 |
J.C. Penny Co., Inc. | 84 | 2,964 |
Kohl's Corp.* | 99 | 4,771 |
Nordstrom, Inc. | 40 | 1,530 |
Target Corp. | 130 | 5,882 |
The May Department Stores Co. | 178 | 4,562 |
22,462 | ||
Specialty Retail 0.4% | ||
AutoNation, Inc.* | 76 | 1,298 |
AutoZone, Inc.* | 24 | 1,854 |
Bed Bath & Beyond, Inc.* | 86 | 3,192 |
Best Buy Co., Inc. | 12 | 651 |
Boise Cascade Corp. | 26 | 865 |
Circuit City Stores, Inc. | 213 | 3,267 |
Home Depot, Inc. | 699 | 27,401 |
Limited Brands | 246 | 5,483 |
Lowe's Companies, Inc. | 116 | 6,305 |
Office Depot, Inc.* | 90 | 1,353 |
Sherwin-Williams Co. | 41 | 1,802 |
Staples, Inc. | 228 | 6,799 |
The Gap, Inc. | 263 | 4,918 |
TJX Companies, Inc. | 143 | 3,152 |
Toys "R" Us, Inc.* | 199 | 3,530 |
71,870 | ||
Textiles, Apparel & Luxury Goods 0.1% | ||
Coach, Inc.* | 110 | 4,666 |
Jones Apparel Group, Inc. | 36 | 1,289 |
Liz Claiborne, Inc. | 32 | 1,207 |
NIKE, Inc., "B" | 107 | 8,432 |
Reebok International Ltd. | 68 | 2,497 |
VF Corp. | 32 | 1,582 |
19,673 | ||
Consumer Staples 1.5% | ||
Beverages 0.3% | ||
Anheuser-Busch Companies, Inc. | 233 | 11,638 |
Brown-Forman Corp., "B" | 35 | 1,603 |
Coca-Cola Co. | 705 | 28,235 |
Pepsi Bottling Group, Inc. | 73 | 1,982 |
PepsiCo, Inc. | 492 | 23,936 |
67,394 | ||
Food & Drug Retailing 0.5% | ||
Albertsons, Inc. | 105 | 2,513 |
Costco Wholesale Corp. | 192 | 7,979 |
CVS Corp. | 116 | 4,887 |
Kroger Co.* | 213 | 3,306 |
Safeway, Inc.* | 130 | 2,510 |
SUPERVALU, Inc. | 40 | 1,102 |
Sysco Corp. | 186 | 5,565 |
Wal-Mart Stores, Inc. | 1,233 | 65,596 |
Walgreen Co. | 298 | 10,677 |
Winn-Dixie Stores, Inc. | 42 | 130 |
104,265 | ||
Food Products 0.1% | ||
Archer-Daniels-Midland Co. | 186 | 3,159 |
Campbell Soup Co. | 118 | 3,102 |
ConAgra Foods, Inc. | 152 | 3,908 |
H.J. Heinz Co. | 101 | 3,638 |
Kellogg Co. | 120 | 5,119 |
McCormick & Co, Inc. | 39 | 1,339 |
Sara Lee Corp. | 231 | 5,281 |
William Wrigley Jr. Co. | 65 | 4,115 |
29,661 | ||
Household Products 0.3% | ||
Clorox Co. | 62 | 3,304 |
Colgate-Palmolive Co. | 54 | 2,440 |
Kimberly-Clark Corp. | 144 | 9,301 |
Procter & Gamble Co. | 739 | 39,995 |
55,040 | ||
Personal Products 0.1% | ||
Alberto-Culver Co., "B" | 26 | 1,130 |
Avon Products, Inc. | 138 | 6,028 |
Gillette Co. | 291 | 12,146 |
19,304 | ||
Tobacco 0.2% | ||
Altria Group, Inc. | 648 | 30,482 |
Reynolds American, Inc. | 43 | 2,926 |
UST, Inc. | 108 | 4,348 |
37,756 | ||
Energy 1.1% | ||
Energy Equipment & Services 0.2% | ||
Baker Hughes, Inc. | 97 | 4,241 |
BJ Services Co. | 47 | 2,463 |
Halliburton Co. | 128 | 4,312 |
Nabors Industries Ltd.* | 82 | 3,883 |
Noble Corp.* | 79 | 3,551 |
Rowan Companies, Inc.* | 31 | 819 |
Schlumberger Ltd. | 172 | 11,577 |
Transocean, Inc.* | 145 | 5,188 |
36,034 | ||
Oil & Gas 0.9% | ||
Amerada Hess Corp. | 27 | 2,403 |
Anadarko Petroleum Corp. | 100 | 6,636 |
Apache Corp. | 96 | 4,810 |
Burlington Resources, Inc. | 114 | 4,651 |
ChevronTexaco Corp. | 664 | 35,617 |
ConocoPhillips* | 200 | 16,570 |
Devon Energy Corp. | 70 | 4,971 |
El Paso Corp. | 184 | 1,691 |
EOG Resources, Inc. | 34 | 2,239 |
ExxonMobil Corp. | 1,891 | 91,392 |
Kerr-McGee Corp. | 44 | 2,519 |
Kinder Morgan, Inc. | 35 | 2,199 |
Marathon Oil Corp. | 101 | 4,169 |
Occidental Petroleum Corp. | 32 | 1,790 |
Sunoco, Inc. | 47 | 3,477 |
Unocal Corp. | 77 | 3,311 |
Valero Energy Corp. | 37 | 2,968 |
Williams Companies, Inc. | 149 | 1,803 |
193,216 | ||
Financials 3.0% | ||
Banks 1.0% | ||
AmSouth Bancorp. | 101 | 2,464 |
Bank of America Corp. | 1,182 | 51,216 |
BB&T Corp. | 161 | 6,390 |
Comerica, Inc. | 50 | 2,967 |
Fifth Third Bancorp. | 166 | 8,171 |
First Horizon National Corp. | 35 | 1,518 |
Golden West Financial Corp. | 44 | 4,882 |
Huntington Bancshares, Inc. | 163 | 4,060 |
KeyCorp. | 118 | 3,729 |
M&T Bank Corp. | 34 | 3,254 |
Marshall & Ilsley Corp. | 64 | 2,579 |
National City Corp. | 255 | 9,848 |
North Fork Bancorp., Inc. | 50 | 2,223 |
PNC Financial Services Group | 82 | 4,436 |
Regions Financial Corp. | 135 | 4,463 |
SouthTrust Corp. | 97 | 4,041 |
Sovereign Bancorp, Inc. | 98 | 2,138 |
SunTrust Banks, Inc. | 82 | 5,774 |
Synovus Financial Corp. | 90 | 2,354 |
US Bancorp. | 547 | 15,808 |
Wachovia Corp. | 381 | 17,888 |
Washington Mutual, Inc. | 253 | 9,887 |
Wells Fargo & Co. | 491 | 29,278 |
Zions Bancorp. | 26 | 1,587 |
200,955 | ||
Capital Markets 0.3% | ||
Bank of New York Co., Inc. | 227 | 6,622 |
Bear Stearns Companies, Inc. | 49 | 4,712 |
E*TRADE Financial Corp.* | 324 | 3,700 |
Federated Investors, Inc, "B" | 31 | 882 |
Franklin Resources, Inc. | 73 | 4,070 |
Goldman Sachs Group, Inc. | 167 | 15,571 |
Janus Capital Group, Inc. | 69 | 939 |
Lehman Brothers Holdings, Inc. | 79 | 6,298 |
Mellon Financial Corp. | 123 | 3,407 |
Merrill Lynch & Co., Inc. | 183 | 9,099 |
Morgan Stanley | 197 | 9,712 |
State Street Corp. | 98 | 4,187 |
T. Rowe Price Group, Inc. | 36 | 1,834 |
71,033 | ||
Consumer Finance 0.2% | ||
American Express Co.* | 368 | 18,937 |
Capital One Finance Corp. | 70 | 5,173 |
MBNA Corp. | 466 | 11,743 |
Providian Financial Corp.* | 206 | 3,201 |
SLM Corp. | 126 | 5,620 |
44,674 | ||
Diversified Financial Services 0.7% | ||
Citigroup, Inc. | 1,506 | 66,445 |
Countrywide Financial Corp. | 164 | 6,460 |
Fannie Mae | 281 | 17,815 |
Freddie Mac | 199 | 12,983 |
JPMorgan Chase & Co. | 1,035 | 41,120 |
MGIC Investment Corp. | 65 | 4,326 |
Moody's Corp. | 43 | 3,150 |
152,299 | ||
Insurance 0.7% | ||
ACE Ltd. | 83 | 3,325 |
AFLAC, Inc. | 148 | 5,803 |
Allstate Corp. | 251 | 12,045 |
Ambac Financial Group, Inc. | 31 | 2,478 |
American International Group, Inc.* | 757 | 51,468 |
Aon Corp.* | 90 | 2,587 |
Cincinnati Financial Corp. | 49 | 2,020 |
Jefferson-Pilot Corp. | 40 | 1,986 |
Lincoln National Corp. | 51 | 2,397 |
Loews Corp. | 54 | 3,159 |
Marsh & McLennan Companies, Inc. | 151 | 6,910 |
MBIA, Inc. | 41 | 2,387 |
MetLife, Inc. | 218 | 8,426 |
Progressive Corp. | 63 | 5,339 |
Prudential Financial, Inc. | 202 | 9,502 |
Safeco Corp. | 90 | 4,109 |
St. Paul Travelers Companies, Inc. | 55 | 1,818 |
The Chubb Corp. | 55 | 3,865 |
Torchmark Corp. | 32 | 1,702 |
UnumProvident Corp. | 85 | 1,334 |
XL Capital Ltd., "A" | 40 | 2,960 |
135,620 | ||
Real Estate 0.1% | ||
Apartment Investment & Management Co., (REIT) | 28 | 974 |
Equity Office Properties Trust, (REIT) | 116 | 3,161 |
Equity Residential, (REIT) | 81 | 2,511 |
Plum Creek Timber Co., Inc., (REIT) | 53 | 1,857 |
ProLogis, (REIT) | 52 | 1,832 |
Simon Property Group, Inc., (REIT) | 60 | 3,218 |
13,553 | ||
Health Care 2.0% | ||
Biotechnology 0.2% | ||
Amgen, Inc.* | 368 | 20,858 |
Applera Corp. - Applied Biosystems Group | 58 | 1,094 |
Biogen Idec, Inc.* | 98 | 5,995 |
Chiron Corp.* | 54 | 2,387 |
Genzyme Corp., (General Division)* | 66 | 3,591 |
Gilead Sciences, Inc.* | 192 | 7,177 |
MedImmune, Inc.* | 71 | 1,683 |
42,785 | ||
Health Care Equipment & Supplies 0.4% | ||
Bausch & Lomb, Inc. | 52 | 3,455 |
Baxter International, Inc. | 179 | 5,757 |
Becton, Dickinson and Co. | 73 | 3,774 |
Biomet, Inc. | 74 | 3,469 |
Boston Scientific Corp.* | 245 | 9,734 |
Fisher Scientific International, Inc.* | 33 | 1,925 |
Guidant Corp. | 119 | 7,859 |
Hospira, Inc.* | 46 | 1,408 |
Medtronic, Inc. | 352 | 18,269 |
Millipore Corp.* | 14 | 670 |
PerkinElmer, Inc. | 36 | 620 |
St. Jude Medical, Inc.* | 76 | 5,720 |
Stryker Corp. | 116 | 5,577 |
Thermo Electron Corp.* | 48 | 1,297 |
Waters Corp.* | 34 | 1,499 |
Zimmer Holdings, Inc.* | 71 | 5,612 |
76,645 | ||
Health Care Providers & Services 0.4% | ||
Aetna, Inc. | 44 | 4,397 |
AmerisourceBergen Corp. | 77 | 4,136 |
Anthem, Inc.* | 41 | 3,577 |
Cardinal Health, Inc. | 124 | 5,427 |
Caremark Rx, Inc.* | 191 | 6,125 |
CIGNA Corp. | 40 | 2,785 |
Express Scripts, Inc.* | 59 | 3,855 |
HCA, Inc. | 140 | 5,341 |
Health Management Associates, Inc., "A" | 69 | 1,410 |
Humana, Inc.* | 169 | 3,377 |
IMS Health, Inc. | 67 | 1,603 |
Manor Care, Inc. | 25 | 749 |
Quest Diagnostics, Inc. | 30 | 2,646 |
Tenet Healthcare Corp.* | 134 | 1,446 |
UnitedHealth Group, Inc. | 193 | 14,232 |
WellPoint Health Networks, Inc.* | 69 | 7,251 |
68,357 | ||
Pharmaceuticals 1.0% | ||
Abbott Laboratories | 454 | 19,232 |
Bristol-Myers Squibb Co. | 565 | 13,374 |
Eli Lilly & Co. | 328 | 19,696 |
Forest Laboratories, Inc.* | 108 | 4,858 |
Johnson & Johnson | 783 | 44,106 |
King Pharmaceuticals, Inc.* | 67 | 800 |
Merck & Co., Inc. | 544 | 17,952 |
Mylan Laboratories, Inc. | 77 | 1,386 |
Pfizer, Inc. | 2,194 | 67,136 |
Schering-Plough Corp. | 428 | 8,158 |
Watson Pharmaceuticals, Inc.* | 92 | 2,710 |
Wyeth | 268 | 10,023 |
209,431 | ||
Industrials 1.7% | ||
Aerospace & Defense 0.3% | ||
Boeing Co. | 291 | 15,022 |
General Dynamics Corp. | 58 | 5,922 |
Goodrich Corp. | 34 | 1,066 |
Honeywell International, Inc. | 250 | 8,965 |
Lockheed Martin Corp. | 129 | 7,196 |
Northrop Grumman Corp. | 104 | 5,546 |
Raytheon Co. | 131 | 4,975 |
Rockwell Collins, Inc. | 51 | 1,894 |
United Technologies Corp. | 149 | 13,914 |
64,500 | ||
Air Freight & Logistics 0.2% | ||
FedEx Corp. | 87 | 7,455 |
Ryder System, Inc. | 18 | 847 |
United Parcel Service, Inc., "B" | 327 | 24,826 |
33,128 | ||
Airlines 0.0% | ||
Delta Air Lines, Inc.* | 35 | 115 |
Southwest Airlines Co. | 230 | 3,135 |
3,250 | ||
Building Products 0.0% | ||
American Standard Companies, Inc.* | 62 | 2,413 |
Masco Corp. | 125 | 4,316 |
6,729 | ||
Commercial Services & Supplies 0.2% | ||
Allied Waste Industries, Inc.* | 93 | 823 |
Apollo Group, Inc., "A"* | 89 | 6,530 |
Avery Dennison Corp. | 32 | 2,105 |
Cendant Corp. | 307 | 6,631 |
Deluxe Corp. | 14 | 574 |
Equifax, Inc. | 39 | 1,028 |
H&R Block, Inc. | 48 | 2,372 |
Monster Worldwide, Inc.* | 33 | 813 |
Pitney Bowes, Inc. | 66 | 2,911 |
R.R. Donnelley & Sons Co. | 63 | 1,973 |
Robert Half International, Inc. | 49 | 1,263 |
Waste Management, Inc. | 168 | 4,593 |
31,616 | ||
Construction & Engineering 0.0% | ||
Fluor Corp. | 24 | 1,068 |
Electrical Equipment 0.0% | ||
Cooper Industries, Inc., "A" | 27 | 1,593 |
Emerson Electric Co. | 122 | 7,551 |
Power-One, Inc.* | 23 | 149 |
9,293 | ||
Industrial Conglomerates 0.7% | ||
3M Co. | 227 | 18,153 |
General Electric Co. | 3,069 | 103,057 |
Textron, Inc. | 40 | 2,571 |
Tyco International Ltd. | 584 | 17,905 |
141,686 | ||
Machinery 0.2% | ||
Caterpillar, Inc.* | 25 | 2,011 |
Crane Co. | 17 | 492 |
Cummins, Inc. | 12 | 887 |
Danaher Corp. | 90 | 4,615 |
Deere & Co. | 72 | 4,648 |
Eaton Corp. | 44 | 2,790 |
Illinois Tool Works, Inc. | 88 | 8,199 |
Ingersoll-Rand Co., "A" | 50 | 3,398 |
ITT Industries, Inc. | 27 | 2,160 |
Navistar International Corp.* | 20 | 744 |
PACCAR, Inc. | 86 | 5,944 |
Parker-Hannifin Corp. | 76 | 4,473 |
40,361 | ||
Road & Rail 0.1% | ||
Burlington Northern Santa Fe Corp. | 108 | 4,137 |
CSX Corp. | 61 | 2,025 |
Norfolk Southern Corp. | 113 | 3,361 |
9,523 | ||
Trading Companies & Distributors 0.0% | ||
W.W. Grainger, Inc. | 26 | 1,499 |
Information Technology 2.4% | ||
Communications Equipment 0.4% | ||
ADC Telecommunications, Inc.* | 224 | 405 |
Andrew Corp.* | 45 | 551 |
Avaya, Inc.* | 300 | 4,182 |
CIENA Corp.* | 158 | 313 |
Cisco Systems, Inc.* | 1,966 | 35,585 |
Comverse Technologies, Inc.* | 57 | 1,073 |
Corning, Inc.* | 569 | 6,305 |
JDS Uniphase Corp.* | 412 | 1,388 |
Lucent Technologies, Inc.* | 1,253 | 3,972 |
Motorola, Inc. | 824 | 14,865 |
QUALCOMM, Inc. | 473 | 18,466 |
Tellabs, Inc.* | 391 | 3,593 |
90,698 | ||
Computers & Peripherals 0.5% | ||
Apple Computer, Inc.* | 160 | 6,200 |
Dell, Inc.* | 726 | 25,846 |
EMC Corp.* | 700 | 8,078 |
Gateway, Inc.* | 103 | 510 |
Hewlett-Packard Co. | 551 | 10,331 |
International Business Machines Corp. | 487 | 41,755 |
Lexmark International, Inc.* | 59 | 4,956 |
NCR Corp.* | 27 | 1,339 |
Network Appliance, Inc.* | 125 | 2,875 |
QLogic Corp.* | 26 | 770 |
Sun Microsystems, Inc.* | 967 | 3,907 |
106,567 | ||
Electronic Equipment & Instruments 0.1% | ||
Agilent Technologies, Inc.* | 141 | 3,041 |
Jabil Circuit, Inc.* | 58 | 1,334 |
Molex, Inc. | 55 | 1,640 |
Sanmina-SCI Corp.* | 150 | 1,058 |
Solectron Corp.* | 276 | 1,366 |
Symbol Technologies, Inc. | 70 | 886 |
Tektronix, Inc. | 24 | 798 |
10,123 | ||
Internet Software & Services 0.1% | ||
Yahoo!, Inc.* | 448 | 15,192 |
IT Consulting & Services 0.2% | ||
Affiliated Computer Services, Inc., "A"* | 80 | 4,453 |
Automatic Data Processing, Inc. | 169 | 6,983 |
Computer Sciences Corp.* | 54 | 2,543 |
Convergys Corp.* | 40 | 537 |
Electronic Data Systems Corp. | 149 | 2,891 |
First Data Corp. | 250 | 10,875 |
Fiserv, Inc.* | 56 | 1,952 |
Sabre Holdings Corp. | 39 | 957 |
SunGard Data Systems, Inc.* | 83 | 1,973 |
Unisys Corp.* | 96 | 991 |
34,155 | ||
Office Electronics 0.0% | ||
Xerox Corp.* | 244 | 3,436 |
Semiconductors & Semiconductor Equipment 0.4% | ||
Advanced Micro Devices, Inc.* | 245 | 3,185 |
Altera Corp.* | 233 | 4,560 |
Applied Materials, Inc.* | 494 | 8,146 |
Applied Micro Circuits Corp.* | 86 | 269 |
Broadcom Corp., "A"* | 182 | 4,967 |
Intel Corp. | 1,865 | 37,412 |
KLA-Tencor Corp.* | 57 | 2,364 |
Linear Technology Corp. | 89 | 3,226 |
LSI Logic Corp.* | 106 | 457 |
Maxim Integrated Products, Inc. | 138 | 5,836 |
Micron Technology, Inc.* | 175 | 2,105 |
National Semiconductor Corp.* | 264 | 4,089 |
Novellus Systems, Inc.* | 111 | 2,952 |
NVIDIA Corp.* | 47 | 683 |
PMC-Sierra, Inc.* | 51 | 449 |
Teradyne, Inc.* | 56 | 750 |
Texas Instruments, Inc. | 292 | 6,214 |
Xilinx, Inc. | 99 | 2,673 |
90,337 | ||
Software 0.7% | ||
Adobe Systems, Inc. | 70 | 3,463 |
Autodesk, Inc. | 33 | 1,605 |
BMC Software, Inc.* | 65 | 1,028 |
Citrix Systems, Inc.* | 47 | 823 |
Computer Associates International, Inc. | 171 | 4,497 |
Compuware Corp.* | 107 | 551 |
Electronic Arts, Inc.* | 88 | 4,047 |
Intuit, Inc.* | 55 | 2,497 |
Mercury Interactive Corp.* | 27 | 942 |
Microsoft Corp. | 2,996 | 82,839 |
Novell, Inc.* | 107 | 675 |
Oracle Corp.* | 1,503 | 16,954 |
Parametric Technology Corp.* | 74 | 391 |
PeopleSoft, Inc.* | 107 | 2,124 |
Siebel Systems, Inc.* | 145 | 1,093 |
Symantec Corp.* | 136 | 7,464 |
VERITAS Software Corp.* | 124 | 2,207 |
133,200 | ||
Materials 0.5% | ||
Chemicals 0.2% | ||
Air Products & Chemicals, Inc. | 66 | 3,589 |
Dow Chemical Co. | 273 | 12,334 |
E.I. du Pont de Nemours & Co. | 290 | 12,412 |
Eastman Chemical Co. | 23 | 1,094 |
Ecolab, Inc. | 75 | 2,358 |
Engelhard Corp. | 37 | 1,049 |
Great Lakes Chemical Corp. | 15 | 384 |
Hercules, Inc.* | 30 | 427 |
International Flavors & Fragrances, Inc. | 28 | 1,070 |
PPG Industries, Inc. | 50 | 3,064 |
Praxair, Inc. | 94 | 4,018 |
Rohm & Haas Co. | 64 | 2,750 |
Sigma-Aldrich Corp. | 20 | 1,160 |
45,709 | ||
Construction Materials 0.0% | ||
Vulcan Materials Co. | 29 | 1,478 |
Containers & Packaging 0.1% | ||
Ball Corp. | 99 | 3,706 |
Bemis Co., Inc. | 30 | 797 |
Pactiv Corp.* | 43 | 1,000 |
Sealed Air Corp.* | 24 | 1,112 |
Temple-Inland, Inc. | 16 | 1,074 |
7,689 | ||
Metals & Mining 0.1% | ||
Alcoa, Inc. | 253 | 8,498 |
Newmont Mining Corp. | 129 | 5,873 |
Nucor Corp. | 23 | 2,102 |
Phelps Dodge Corp. | 27 | 2,485 |
Worthington Industries, Inc. | 24 | 512 |
19,470 | ||
Paper & Forest Products 0.1% | ||
Georgia-Pacific Corp. | 75 | 2,696 |
International Paper Co. | 142 | 5,738 |
Louisiana-Pacific Corp. | 127 | 3,296 |
MeadWestvaco Corp. | 135 | 4,307 |
Weyerhaeuser Co. | 107 | 7,113 |
23,150 | ||
Telecommunication Services 0.5% | ||
Diversified Telecommunication Services 0.4% | ||
ALLTEL Corp. | 90 | 4,942 |
BellSouth Corp. | 532 | 14,428 |
CenturyTel, Inc. | 40 | 1,369 |
Qwest Communications International, Inc.* | 527 | 1,755 |
SBC Communications, Inc. | 963 | 24,990 |
Sprint Corp. | 422 | 8,495 |
Verizon Communications, Inc. | 805 | 31,701 |
87,680 | ||
Wireless Telecommunication Services 0.1% | ||
AT&T Wireless Services, Inc.* | 793 | 11,721 |
Nextel Communications, Inc., "A"* | 324 | 7,724 |
19,445 | ||
Utilities 0.5% | ||
Electric Utilities 0.3% | ||
Allegheny Energy, Inc.* | 36 | 575 |
Ameren Corp. | 56 | 2,584 |
American Electric Power Co. | 114 | 3,643 |
CenterPoint Energy, Inc. | 88 | 912 |
CINergy Corp. | 52 | 2,059 |
Consolidated Edison, Inc. | 128 | 5,381 |
DTE Energy Co. | 50 | 2,110 |
Entergy Corp. | 66 | 4,000 |
Exelon Corp. | 192 | 7,044 |
FirstEnergy Corp. | 95 | 3,903 |
FPL Group, Inc. | 54 | 3,689 |
PG&E Corp.* | 117 | 3,557 |
Pinnacle West Capital Corp. | 26 | 1,079 |
PPL Corp. | 55 | 2,595 |
Progress Energy, Inc. | 72 | 3,048 |
Southern Co. | 215 | 6,446 |
TXU Corp. | 86 | 4,121 |
Xcel Energy, Inc. | 115 | 1,992 |
58,738 | ||
Gas Utilities 0.0% | ||
KeySpan Corp. | 46 | 1,803 |
Nicor, Inc. | 12 | 440 |
NiSource, Inc. | 75 | 1,576 |
Peoples Energy Corp. | 10 | 417 |
4,236 | ||
Multi-Utilities 0.2% | ||
AES Corp.* | 435 | 4,346 |
Calpine Corp.* | 115 | 334 |
CMS Energy Corp.* | 46 | 438 |
Constellation Energy Group, Inc. | 111 | 4,422 |
Dominion Resources, Inc. | 96 | 6,264 |
Duke Energy Corp. | 379 | 8,675 |
Dynegy, Inc., "A"* | 105 | 524 |
Public Service Enterprise Group, Inc. | 69 | 2,939 |
Sempra Energy | 68 | 2,461 |
30,403 | ||
Total Common Stocks (Cost $2,665,195) | 3,018,019 |
Principal Amount ($) | Value ($) | |
Corporate Bonds 10.4% | ||
Consumer Discretionary 1.2% | ||
Comcast Cable Communications Holdings, Inc., 8.375%, 3/15/2013 | 30,000 | 36,330 |
General Motors Corp., 8.375%, 7/15/2033 (d) | 15,000 | 15,927 |
Jones Intercable, Inc., 7.625%, 4/15/2008 | 60,000 | 66,630 |
Liberty Media Corp., 3.38%**, 9/17/2006 | 33,000 | 33,353 |
TCI Communications, Inc., 6.875%, 2/15/2006 | 45,000 | 47,182 |
Time Warner, Inc., 7.57%, 2/1/2024 | 45,000 | 50,834 |
250,256 | ||
Energy 2.0% | ||
CenterPoint Energy Resources Corp., Series B, 7.875%, 4/1/2013 | 30,000 | 35,363 |
Duke Capital Corp., 4.302%, 5/18/2006 | 62,000 | 62,892 |
Enterprise Products Operating LP: | ||
144A, 4.625%, 10/15/2009 | 20,000 | 20,166 |
7.5%, 2/1/2011 | 22,000 | 25,049 |
FirstEnergy Corp., Series B, 6.45%, 11/15/2011 | 85,000 | 92,724 |
Halliburton Co., 5.5%, 10/15/2010 | 90,000 | 94,282 |
Pemex Project Funding Master Trust: | ||
144A, 3.18%**, 6/15/2010 | 40,000 | 40,420 |
8.5%, 2/15/2008 | 41,000 | 46,074 |
416,970 | ||
Financials 2.7% | ||
American General Finance Corp.: | ||
MTN, 4.0%, 3/15/2011 | 15,000 | 14,657 |
4.625%, 9/1/2010 | 95,000 | 96,055 |
Capital One Bank, 5.75%, 9/15/2010 | 30,000 | 31,982 |
Ford Motor Credit Co.: | ||
5.8%, 1/12/2009 | 50,000 | 51,824 |
6.875%, 2/1/2006 | 57,000 | 59,646 |
General Motors Acceptance Corp.: | ||
6.75%, 1/15/2006 | 30,000 | 31,293 |
6.875%, 8/28/2012 | 35,000 | 36,369 |
Goldman Sachs Group, Inc., 4.75%, 7/15/2013 | 35,000 | 34,340 |
Merrill Lynch & Co., Inc., Series C, 5.45%, 7/15/2014 | 30,000 | 31,032 |
OneAmerica Financial Partners, 144A, 7.0%, 10/15/2033 | 45,000 | 46,190 |
Pennsylvania Mutual Life Insurance Co., 144A, 6.65%, 6/15/2034 | 35,000 | 36,778 |
RAM Holdings Ltd., 144A, 6.876%, 4/1/2024 | 80,000 | 78,082 |
548,248 | ||
Health Care 0.7% | ||
Health Care Service Corp., 144A, 7.75%, 6/15/2011 | 115,000 | 133,809 |
Industrials 0.4% | ||
BAE System 2001 Asset Trust, "B", Series B 2001, 144A, 7.156%, 12/15/2011 | 35,818 | 38,641 |
General Motors Nova Finance, 6.85%, 10/15/2008 | 35,000 | 37,112 |
75,753 | ||
Materials 0.9% | ||
International Paper Co.: | ||
4.0%, 4/1/2010 | 45,000 | 43,970 |
6.75%, 9/1/2011 | 125,000 | 139,290 |
183,260 | ||
Telecommunication Services 0.4% | ||
Bell Atlantic Pennsylvania, Inc., Series A, 5.65%, 11/15/2011 | 53,000 | 55,949 |
BellSouth Corp., 5.2%, 9/15/2014 | 25,000 | 25,233 |
81,182 | ||
Utilities 2.1% | ||
Consumers Energy Co., 6.25%, 9/15/2006 | 135,000 | 142,323 |
Old Dominion Electric, 6.25%, 6/1/2011 | 185,000 | 204,885 |
Potomac Edison Co., 8.0%, 6/1/2024 | 75,000 | 77,250 |
424,458 | ||
Total Corporate Bonds (Cost $2,039,780) | 2,113,936 | |
Asset Backed 5.3% | ||
Automobile Receivables 1.7% | ||
Drive Auto Receivables Trust, "A3", Series 2004-1, 144A, 3.5%, 8/15/2008 | 65,000 | 65,426 |
MMCA Automobile Trust: | ||
"A4", Series 2002-2, 4.3%, 3/15/2010 | 120,000 | 120,926 |
"A4", Series 2001-4, 4.92%, 8/15/2007 | 42,392 | 42,853 |
"B", Series 2002-1, 5.37%, 1/15/2010 | 55,277 | 55,142 |
Ryder Vehicle Lease Trust, "A4", Series 2001-A, 5.81%, 8/15/2006 | 70,717 | 71,180 |
355,527 | ||
Home Equity Loans 2.8% | ||
Argent NIM Trust, "A", Series 2004-WN2, 144A, 4.55%, 4/25/2034 | 41,358 | 41,283 |
Conseco Finance, "AF6", Series 2000-B, 7.8%, 5/15/2020 | 184,815 | 189,297 |
Countrywide Asset-Backed Certificates, "N1", Series 2004-2N, 144A, 5.0%, 2/25/2035 | 42,645 | 42,539 |
Credit-Based Asset Serving & Securities, "AV1", Series 2004-CB6, 2.17%, 7/25/2035 | 83,907 | 83,959 |
First Franklin NIM Trust, "Note", Series 2004-FF6A, 5.75%, 7/25/2034 | 48,296 | 48,342 |
Greenpoint Home Equity Loan Trust, "A", Series 2004-4, 2.15%, 8/25/2030 | 85,000 | 84,997 |
Park Place Securities Trust, 144A "A", Sereis 2004-NIM, 4.458%, 8/25/2034 | 55,000 | 55,000 |
Residential Asset Securities Corp., "A2B2", Series 2004-KS2**, 1.69%, 3/25/2034 | 20,000 | 20,000 |
565,417 | ||
Manufactured Housing Receivables 0.8% | ||
Greenpoint Manufactured Housing, "A3", Series 1999-5, 7.33%, 8/15/2020 | 159,133 | 161,016 |
Total Asset Backed (Cost $1,071,348) | 1,081,960 | |
Foreign Bonds - US$ Denominated 5.6% | ||
Autopista Del Maipo, 144A, 7.373%, 6/15/2022 | 185,000 | 214,911 |
Deutsche Telekom International Finance BV, 8.25%, 6/15/2030 | 71,000 | 91,773 |
Endurance Specialty Holdings Ltd., 7.0%, 7/15/2034 | 20,000 | 20,444 |
HSBC Capital Funding LP, 144A, 4.61%, 12/29/2049 | 20,000 | 19,220 |
PacifiCorp Australia LLC, 144A, 6.15%, 1/15/2008 | 85,000 | 91,965 |
Petroleos Mexicanos, Series P, 9.5%, 9/15/2027 | 20,000 | 24,400 |
PF Export Receivable Master Trust, 144A, 6.6%, 12/1/2011 | 200,000 | 218,528 |
QBE Insurance Group Ltd., 144A, 5.647%**, 7/1/2023 | 55,000 | 54,169 |
Royal Bank of Scotland Group PLC, 8.817%, 3/31/2049 | 75,000 | 77,294 |
Tyco International Group SA: | ||
6.75%, 2/15/2011 | 101,000 | 113,634 |
6.875%, 1/15/2029 | 72,000 | 80,688 |
7.0%, 6/15/2028 | 33,000 | 37,231 |
United Mexican States: | ||
MTN, 6.75%, 9/27/2034 (d) | 20,000 | 19,210 |
8.375%, 1/14/2011 | 10,000 | 11,725 |
8.625%, 3/12/2008 (d) | 60,000 | 68,700 |
Total Foreign Bonds - US$ Denominated (Cost $1,073,980) | 1,143,892 | |
US Government Agency Sponsored Pass-Throughs 5.3% | ||
Federal Home Loan Mortgage Corp.: | ||
5.0% with various maturities from 2/15/2022 until 5/1/2032 (g) | 75,614 | 75,474 |
6.0%, 4/1/2032 | 123,847 | 128,099 |
Federal National Mortgage Association: | ||
4.5% with various maturities from 5/1/2017 until 5/1/2032 (g) | 206,769 | 205,044 |
5.0% with various maturities from 12/1/2017 until 3/1/2034 (g) | 260,746 | 263,388 |
5.5% with various maturities from 2/1/2018 until 9/1/2033 | 135,759 | 138,838 |
6.0% with various maturities from 3/1/2015 until 12/1/2099 | 115,336 | 120,175 |
6.5% with various maturities from 11/1/2033 until 11/1/2033 | 99,983 | 104,966 |
7.13%, 1/1/2012 | 45,745 | 48,804 |
Total US Government Agency Sponsored Pass-Throughs (Cost $1,086,949) | 1,084,788 | |
Commercial and Non-Agency Mortgage-Backed Securities 4.7% | ||
Citigroup Mortgage Loan Trust, Inc., "1CB2", Series 2004-NCM2, 6.75%, 9/25/2034 | 123,714 | 129,667 |
Countrywide Alternative Loan Trust, "7A1", Series 2004-J2, 6.0%, 12/25/2033 | 35,696 | 36,560 |
CS First Boston Mortgage Securities Corp., "A2", Series 2001-CK3, 6.04%, 6/15/2034 | 55,000 | 57,199 |
DLJ Mortgage Acceptance Corp.: | ||
"A1B", Series 1997-CF2, 144A, 6.82%, 10/15/2030 | 33,934 | 36,523 |
"A1B", Series 1997-CF1,144A, 7.6%, 5/15/2030 | 47,733 | 51,225 |
GMAC Commercial Mortgage Securities, Inc., "A3", Series 1997-C1, 6.869%, 7/15/2029 | 59,642 | 64,272 |
First Union-Lehman Brothers Commercial Mortgae, "A3", Series 1997-C1, 7.38%, 4/18/2029 | 92,686 | 100,016 |
Master Alternative Loan Trust, "8A1", Series 2004-3, 7.0%, 4/25/2034 | 43,711 | 45,637 |
Master Asset Securitization Trust, "8A1", Series 2003-6, 5.5%, 7/25/2033 | 52,766 | 53,118 |
NYC Mortgage Loan Trust, "A3", Series 1996, 144A, 6.75%, 9/25/2019 | 55,000 | 61,074 |
PNC Mortgage Acceptance Corp., "A2", Series 2000-C1, 7.61%, 2/15/2010 | 80,000 | 92,138 |
Residential Funding Mortgage Securities I, "A1", Series 2003-S2, 5.0%, 2/25/2033 | 25,253 | 25,344 |
Residential Asset Securitization Trust, "A3", Series 2002-A13, 5.0%, 12/25/2017 | 15,892 | 16,021 |
Wachovia Bank Commercial Mortgage Trust, "A5", Series 2004-C11, 5.215%, 1/15/2041 | 55,000 | 56,833 |
Washington Mutual Mortgage Securities Corp.: | ||
"4A1", Series 2002-S7, 4.5%, 11/25/2032 | 16,681 | 16,738 |
"1A7", Series 2003-MS8, 5.5%, 5/25/2033 | 42,644 | 42,706 |
Wells Fargo Mortgage Backed Securities Trust, "1A1", Series 2003-6, 5.0%, 6/25/2018 | 59,968 | 60,739 |
Total Commercial and Non-Agency Mortgage-Backed Securities (Cost $947,369) | 945,810 | |
Collateralized Mortgage Obligations 13.6% | ||
Fannie Mae Whole Loan: | ||
"2A", Series 2002-W1, 7.5%, 2/25/2042 | 47,408 | 51,180 |
"5A", Series 2004-W2, 7.5%, 3/25/2044 | 97,198 | 105,612 |
Federal Home Loan Mortgage Corp.: | ||
"QA", Series 2649, 3.5%, 3/15/2010 | 105,000 | 105,660 |
"AU", Series 2759, 3.5%, 5/15/2019 | 61,000 | 61,308 |
"PA", Series 2786, 3.5%, 10/15/2010 | 60,000 | 60,350 |
"PT", Series 2724, 3.75%, 5/15/2016 | 61,000 | 61,099 |
"PE", Series 2727, 4.5%, 7/15/2032 | 120,000 | 114,978 |
"TG", Series 2690, 4.5%, 4/15/2032 | 60,000 | 57,688 |
"BG", Series 2640, 5.0%, 2/15/2032 | 45,000 | 44,860 |
"CA", Series 2526, 5.0%, 6/15/2016 | 28,199 | 28,811 |
"DG", Series 2662, 5.0%, 10/15/2022 | 120,000 | 120,034 |
"EG", Series 2836, 5.0%, 12/15/2032 | 115,000 | 113,289 |
"JD", Series 2778, 5.0%, 12/15/2032 | 115,000 | 113,057 |
"PE", Series 2777, 5.0%, 4/15/2033 | 120,000 | 117,169 |
"TE", Series 2780, 5.0%, 1/15/2033 | 85,000 | 83,982 |
"UE", Series 2764, 5.0%, 10/15/2032 | 90,000 | 89,223 |
"PE", Series 2378, 5.5%, 11/15/2016 | 30,000 | 31,236 |
"PE", Series 2512, 5.5%, 2/15/2022 | 110,000 | 114,306 |
"PE", Series 2405, 6.0%, 1/15/2017 | 80,000 | 84,286 |
"QE", Series 2113, 6.0%, 11/15/2027 | 44,367 | 45,040 |
"3A", Series T-41, 7.5%, 7/25/2032 | 22,728 | 24,553 |
Federal National Mortgage Association: | ||
"NA", Series 2003-128, 4.0%, 8/25/2009 | 123,000 | 124,200 |
"TU", Series 2003-122, 4.0%, 5/25/2016 | 80,000 | 80,765 |
"2A3", Series 2001-4, 4.16%, 6/25/2042 | 50,000 | 50,408 |
"JT", Series 2003-6, 4.5%, 6/25/2016 | 12,893 | 12,874 |
"A2", Series 2002-W10, 4.7%, 8/25/2042 | 5,571 | 5,570 |
"A2", Series 2002-W9, 4.7%, 8/25/2042 | 1,810 | 1,812 |
"2A3", Series 2003-W15, 4.71%, 8/25/2043 | 70,000 | 70,632 |
"1A3", Series 2003-W18, 4.732%, 8/25/2043 | 60,000 | 60,724 |
"KH", Series 2003-92, 5.0%, 3/25/2032 | 60,032 | 59,654 |
"MC", Series 2002-56, 5.5%, 9/25/2017 | 55,031 | 56,446 |
"PM", Series 2001-60, 6.0%, 3/25/2030 | 34,754 | 35,206 |
"VD", Series 2002-56, 6.0%, 4/25/2020 | 13,809 | 14,144 |
"A2", Series 1998-M1, 6.25%, 1/25/2008 | 79,992 | 85,522 |
"1A2", Series 2003-W3, 7.0%, 8/25/2042 | 36,217 | 38,797 |
"2A", Series 2003-W8, 7.0%, 10/25/2042 | 30,223 | 32,080 |
"A2", Series 2002-T16, Grantor Trust, 7.0%, 7/25/2042 | 70,772 | 75,814 |
"A2", Series 2002-T19 Grantor Trust, 7.0%, 7/25/2042 | 77,347 | 82,858 |
FHLMC Structured Pass Through Securities, "A2B", Series T-56, 4.29%, 7/25/2036 | 90,000 | 90,889 |
Government National Mortgage Association: | ||
"GD", Series 2004-26, 5.0%, 11/16/2032 | 56,000 | 54,942 |
"PA", Series 2003-89, 5.5%, 12/20/2023 | 94,126 | 96,162 |
Total Collateralized Mortgage Obligations (Cost $2,739,949) | 2,757,220 | |
Municipal Investments 2.5% | ||
Atlantic Ciy, NJ, Core City GO, Series B, 4.5%, 8/1/2008 (f) | 80,000 | 82,845 |
Illinois, State GO, 4.95%, 6/1/2023 | 80,000 | 76,591 |
Jicarilla, NM, Sales & Special Tax Revenue, Apache Nation Revenue, 5.2%, 12/1/2013 | 50,000 | 50,729 |
Virginia, Multi-Family Housing Revenue, Housing Development Authority, Series A, 6.51%, 5/1/2019 (f) | 290,000 | 303,299 |
Total Municipal Investments (Cost $460,139) | 513,464 | |
Government National Mortgage Association 0.9% | ||
Government National Mortgage Association: | ||
6.0% with various maturities from 10/15/2033 until 7/20/2034 | 129,280 | 134,057 |
6.5%, 11/15/2033 | 43,065 | 45,591 |
Total Government National Mortgage Association (Cost $178,123) | 179,648 | |
US Government Backed 22.7% | ||
US Treasury Bill: | ||
1.31%***, 10/21/2004 (h) | 140,000 | 139,898 |
1.62%***, 12/23/2004 | 10,000 | 9,963 |
1.67%***, 12/9/2004 | 3,300,000 | 3,289,721 |
US Treasury Bond, 6.0%, 2/15/2026 (d) | 543,000 | 619,083 |
US Treasury Note: | ||
1.5%, 3/31/2006 (d) | 46,000 | 45,400 |
3.125%, 10/15/2008 | 25,000 | 24,963 |
4.375%, 8/15/2012 (d) | 469,000 | 483,510 |
Total US Government Backed (Cost $4,577,815) | 4,612,538 | |
Securities Lending Collateral 4.7% | ||
Daily Assets Fund Institutional, 1.76% (c) (e) (Cost $949,784) | 949,784 | 949,784 |
Cash Equivalents 14.5% | ||
Scudder Cash Management QP Trust, 1.70% (b) (Cost $2,940,956) | 2,940,956 | 2,940,956 |
% of Net Assets | Value ($) | |
Total Investment Portfolio (Cost $20,731,387) (a) | 105.0 | 21,342,015 |
Other Assets and Liabilities, Net | (5.0) | (1,016,528) |
Net Assets | 100.0 | 20,325,487 |
* Non-income producing security.
** Floating rate notes are securities whose yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate. These securities are shown at their current rate as of September 30, 2004.
*** Annualized yield at time of purchase; not a coupon rate.
(a) The cost for federal income tax purposes was $21,026,147. At September 30, 2004, net unrealized appreciation for all securities based on tax cost was $315,868. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $619,138 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $303,270.
(b) Scudder Cash Management QP Trust is managed by Deutsche Investment Management Americas Inc., an affiliate of the Advisor. The rate shown is the annualized seven-day yield at period end.
(c) Daily Assets Fund Institutional, an affiliated fund, is managed by Deutsche Asset Management, Inc. The rate shown is the annualized seven day yield at period end.
(d) All or a portion of these securities were on loan (see Notes to Financial Statements). The value of all securities loaned at September 30, 2004 amounted to $926,765, which is 4.6% of total net assets.
(e) Represents collateral held in connection with securities lending.
(f) Bond is insured by one of these companies:
As a % of Total Investment Portfolio | ||
MBIA | Municipal Bond Investors Assurance | 1.9% |
(g) Mortgage dollar rolls included.
(h) At September 30, 2004, this security has been pledged to cover in whole or in part, initial requirements for open futures contracts.
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Federal Home Loan Mortgage Corp., the Federal National Mortgage Association and the Government National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in the investment portfolio.
MTN: Medium Term Note
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
GO: General Obligation
At September 30, 2004, open futures contracts purchased were as follows:Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
10 Year Canadian Government Bond | 12/20/2004 | 9 | 778,199 | 781,202 | 3,003 |
10 Year German Federal Republic Bonds | 12/8/2004 | 7 | 996,393 | 1,005,461 | 9,068 |
EOE Dutch Stock Index Futures | 10/15/2004 | 1 | 82,884 | 80,693 | (2,191) |
S&P 500 Index | 12/16/2004 | 1 | 281,831 | 278,725 | (3,106) |
S&P Canada 60 Index | 12/16/2004 | 1 | 75,119 | 76,267 | 1,148 |
Total net unrealized appreciation | 7,922 |
At September 30, 2004, open futures contracts sold short were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
10 Year US Treasury Note | 12/20/2004 | 17 | 1,894,994 | 1,914,625 | (19,631) |
Statements of Assets and Liabilities as of September 30, 2004 (Unaudited) | |||
Assets | Long Range | Mid Range | Short Range Fund |
Investment in securities, at value(a) - including $27,325,640, $1,810,943 and $926,765 of securities loaned | $ 672,871,731 | $ 43,002,381 | $ 17,451,275 |
Investments in Scudder Cash Management QP Trust(b) | 67,520,466 | 4,957,989 | 2,940,956 |
Investments in Daily Assets Fund Institutional(c)* | 28,008,728 | 1,855,438 | 949,784 |
Total investments in securities, at value(d) | 768,400,925 | 49,815,808 | 21,342,015 |
Cash | 377,733 | 30,000 | 110,341 |
Foreign currency, at value(e) | 22,792,001 | 1,487,413 | 615,809 |
Receivable for investments sold | 14,525,274 | 733,344 | 216,276 |
Dividends receivable | 440,907 | 18,805 | 3,252 |
Interest receivable | 2,031,307 | 192,607 | 85,421 |
Receivable for Fund shares sold | 421,154 | 98,630 | 54,090 |
Receivable for daily variation margin on open futures contracts | 46,984 | - | - |
Net receivable on closed forward foreign currency exchange contracts | - | - | 6,817 |
Unrealized appreciation on forward foreign currency exchange contracts | 3,997,018 | 197,147 | 46,115 |
Due from Advisor | - | 22,377 | 15,503 |
Other assets | 3,155 | 480 | 165 |
Total assets | 813,036,458 | 52,596,611 | 22,495,804 |
Liabilities | |||
Payable upon return of securities loaned | 28,008,728 | 1,855,438 | 949,784 |
Payable for investments purchased | 23,905,213 | 880,532 | 679,159 |
Payable for investments purchased - mortgage dollar rolls | 8,855,266 | - | 442,101 |
Deferred mortgage dollar roll income | 12,949 | - | 21,396 |
Payable for Fund shares redeemed | 144,999 | 6,599 | 18,918 |
Payable for daily variation margin on open futures contracts | - | 3,127 | 3,790 |
Unrealized depreciation on forward foreign currency exchange contracts | 1,377,424 | 69,793 | 13,487 |
Other accrued expenses and payables | 222,208 | 78,337 | 41,682 |
Total liabilities | 62,526,787 | 2,893,826 | 2,170,317 |
Net assets, at value | $ 750,509,671 | $ 49,702,785 | $ 20,325,487 |
Net Assets | |||
Net assets consist of: Undistributed net investment income | 3,846,423 | 419,017 | 94,973 |
Net unrealized appreciation (depreciation) on: Investments | 48,653,439 | 2,442,424 | 610,628 |
Futures | (731,064) | (44,954) | (11,709) |
Foreign currency related transactions | 3,093,983 | 153,974 | 44,210 |
Accumulated net realized gain (loss) | (86,450,957) | (7,561,966) | (1,273,781) |
Paid-in capital | 782,097,847 | 54,294,290 | 20,861,166 |
Net assets, at value | $ 750,509,671 | $ 49,702,785 | $ 20,325,487 |
* Represents collateral for securities loaned.
Statements of Assets and Liabilities as of September 30, 2004 (Unaudited) (continued) | |||
Net Asset Value | |||
Investment Class Net assets applicable to shares outstanding | $ 57,943,824 | $ 49,702,785 | $ 20,325,487 |
Shares outstanding ($.001 par value per share, unlimited number of shares authorized) | 5,630,299 | 5,122,998 | 2,004,778 |
Net Asset Value, offering and redemption price per share | $ 10.29 | $ 9.70 | $ 10.14 |
Institutional Class Net assets applicable to shares outstanding | $ 692,565,847 | $ - | $ - |
Shares outstanding ($.001 par value per share, unlimited number of shares authorized) | 64,771,633 | - | - |
Net Asset Value, offering and redemption price per share | $ 10.69 | $ - | $ - |
a Cost of $624,218,292, $40,559,957 and $16,840,647, respectively.
b Cost of $67,520,466, $4,957,989 and $2,940,956, respectively.
c Cost of $28,008,728, $1,855,438 and $949,784, respectively.
d Cost of $719,747,486, $47,373,384 and $20,731,387, respectively.
e Cost of $22,358,801, $1,458,189 and $604,057, respectively.
Statements of Operations for the six months ended September 30, 2004(a) (Unaudited) | |||
Investment Income | Long Range | Mid Range | Short Range Fund |
Total investment income allocated from the Portfolio(b): Dividends - Unaffiliated issuers | $ 2,704,151 | $ 142,606 | $ 22,186 |
Interest - Unaffiliated issuers | 4,789,487 | 501,053 | 224,578 |
Interest - Affiliated issuers | 291,939 | 28,872 | 13,758 |
Securities lending income, including income from Daily Assets Fund Institutional | 9,186 | 558 | 244 |
Expenses allocated from the Portfolio(c) | (1,636,114) | (132,580) | (55,006) |
Net investment income allocated from the Portfolio | 6,158,649 | 540,509 | 205,760 |
Dividends - Unaffiliated issuers | 687,996 | 15,285 | 5,082 |
Interest - Unaffiliated issuers | 1,439,008 | 132,132 | 66,272 |
Interest - Affiliated issuers | 111,926 | 8,350 | 4,348 |
Securities lending income, including income from Daily Assets Fund Institutional | 2,246 | 86 | 52 |
Total income | 8,399,825 | 696,362 | 281,514 |
Expenses: Investment advisory fees | 515,370 | 34,265 | 13,845 |
Administrator service fees | 771,380 | 179,941 | 68,337 |
Auditing | 7,716 | 14,973 | 7,579 |
Legal | 7,529 | 28,574 | 16,281 |
Trustees' fees and expenses | 9,355 | 10,991 | 8,309 |
Reports to shareholders | - | 747 | 4,684 |
Registration fees | 42,443 | 33,365 | 24,565 |
Other | 65,868 | 28,850 | 6,913 |
Total expenses, before expense reductions | 1,419,661 | 331,706 | 150,513 |
Expense reductions | (854,189) | (193,842) | (103,732) |
Total expenses, after expense reductions | 565,472 | 137,864 | 46,781 |
Net investment income (loss) | 7,834,353 | 558,498 | 234,733 |
Statements of Operations for the six months ended September 30, 2004(a) (Unaudited) (continued) | |||
Realized and Unrealized Gain (Loss) on Investment Transactions | Long Range | Mid Range | Short Range Fund |
Net realized gain (loss) allocated from the Portfolio(b) from: Investments | 7,061,719 | 383,292 | (6,296) |
Futures | 2,801,217 | 24,335 | 14,798 |
Foreign currency related transactions | (4,227,291) | (381,021) | (69,660) |
Net realized gain (loss) from: Investments | 1,605,630 | 89,586 | 26,608 |
Futures | (1,643,851) | (119,835) | (45,386) |
Foreign currency related transactions | (349,144) | (26,179) | (7,498) |
5,248,280 | (29,822) | (87,434) | |
Net unrealized appreciation (depreciation) during the period allocated from the Portfolio(b) on: Investments(d) | (22,794,969) | (1,870,929) | (317,712) |
Futures(d) | (2,977,525) | (201,660) | 476,486 |
Foreign currency related transactions(d) | 761,462 | (9,684) | (107,291) |
Net unrealized appreciation (depreciation) during the period on: Investments | 6,163,587 | 277,250 | 52,934 |
Futures | 2,246,461 | 156,706 | (488,195) |
Foreign currency related transactions | 2,332,521 | 163,658 | 151,501 |
(14,268,463) | (1,484,659) | (232,277) | |
Net gain (loss) on investment transactions | (9,020,183) | (1,514,481) | (319,711) |
Net increase (decrease) in net assets resulting from operations | $ (1,185,830) | $ (955,983) | $ (84,978) |
a On August 20, 2004, the Asset Management Portfolio, the Asset Management Portfolio II and the Asset Management Portfolio III, each a master portfolio for a master-feeder structure, closed. The Statement of Operations includes the Lifecycle Long Range Fund's, the Lifecycle Mid Range Fund's and the Lifecycle Short Range Fund's information as a stand-alone and feeder fund for the respective periods (see Note A in the Notes to Financial Statements).
b Allocated from Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III, respectively.
c For the period April 1, 2004 through August 20, 2004,, Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III waived fees in the amounts of $688,395, $53,433 and $44,717, which were allocated to the Lifecycle Long Range Fund, Lifecycle Mid Range Fund and Lifecycle Short Range Fund, respectively.
d Excludes unrealized appreciation of $250,957, depreciation of $1,368 and depreciation of $706, respectively, resulting from the dissolution of the master-feeder structure.
Statement of Changes in Net Assets - Long Range Fund | ||
Increase (Decrease) in Net Assets | Six Months Ended September 30, 2004(a) | Year Ended March 31, 2004 |
Operations: Net investment income (loss) | $ 7,834,353 | $ 14,273,378 |
Net realized gain (loss) on investment transactions | 5,248,280 | 33,679,038 |
Net unrealized appreciation (depreciation) on investment transactions during the period | (14,268,463) | 92,021,218 |
Net increase (decrease) in net assets resulting from operations | (1,185,830) | 139,973,634 |
Distributions to shareholders from: Net investment income Investment Class | (635,787) | (2,277,173) |
Institutional Class | (8,985,670) | (29,974,017) |
Fund share transactions: Proceeds from shares sold | 39,927,126 | 142,112,613 |
Reinvestment of distributions | 9,620,404 | 32,245,735 |
Net assets acquired in tax-free reorganization (Investment Class) | - | 58,476,295 |
Cost of shares redeemed | (59,302,960) | (117,931,521) |
Net increase (decrease) in net assets from Fund share transactions | (9,755,430) | 114,903,122 |
Increase (decrease) in net assets | (20,562,717) | 222,625,566 |
Net assets at beginning of period | 771,072,388 | 548,446,822 |
Net assets at end of period (including undistributed net investment income of $3,846,423 and $5,633,527, respectively) | $ 750,509,671 | $ 771,072,388 |
a On August 20, 2004, the Asset Management Portfolio, a master portfolio for a master-feeder structure, closed. The Statement of Changes in Net Assets includes the Lifecycle Long Range Fund's information as a stand-alone and feeder fund for the respective periods (see Note A in the Notes to Financial Statements).
Statement of Changes in Net Assets - Mid Range Fund | ||
Increase (Decrease) in Net Assets | Six Months Ended September 30, 2004(a) | Year Ended March 31, 2004 |
Operations: Net investment income (loss) | $ 558,498 | $ 1,279,256 |
Net realized gain (loss) on investment transactions | (29,822) | 3,244,122 |
Net unrealized appreciation (depreciation) on investment transactions during the period | (1,484,659) | 5,108,169 |
Net increase (decrease) in net assets resulting from operations | (955,983) | 9,631,547 |
Distributions to shareholders from: Net investment income | (633,051) | (2,807,608) |
Fund share transactions: Proceeds from shares sold | 6,299,300 | 27,215,420 |
Reinvestment of distributions | 632,968 | 2,807,418 |
Cost of shares redeemed | (28,062,953) | (16,375,047) |
Net increase (decrease) in net assets from Fund share transactions | (21,130,685) | 13,647,791 |
Increase (decrease) in net assets | (22,719,719) | 20,471,730 |
Net assets at beginning of period | 72,422,504 | 51,950,774 |
Net assets at end of period (including undistributed net investment income of $419,017, and $493,570, respectively) | $ 49,702,785 | $ 72,422,504 |
a On August 20, 2004, the Asset Management Portfolio II, a master portfolio for a master-feeder structure, closed. The Statement of Changes in Net Assets includes the Lifecycle Mid Range Fund's information as a stand-alone and feeder fund for the respective periods (see Note A in the Notes to Financial Statements).
Statement of Changes in Net Assets - Short Range Fund | ||
Increase (Decrease) in Net Assets | Six Months Ended September 30, 2004(a) | Year Ended March 31, 2004 |
Operations: Net investment income (loss) | $ 234,733 | $ 443,571 |
Net realized gain (loss) on investment transactions | (87,434) | 833,186 |
Net unrealized appreciation (depreciation) on investment transactions during the period | (232,277) | 644,731 |
Net increase (decrease) in net assets resulting from operations | (84,978) | 1,921,488 |
Distributions to shareholders from: Net investment income | (275,997) | (826,388) |
Fund share transactions: Proceeds from shares sold | 5,413,654 | 14,946,510 |
Reinvestment of distributions | 275,453 | 822,774 |
Cost of shares redeemed | (7,387,758) | (11,276,402) |
Net increase (decrease) in net assets from Fund share transactions | (1,698,651) | 4,492,882 |
Increase (decrease) in net assets | (2,059,626) | 5,587,982 |
Net assets at beginning of period | 22,385,113 | 16,797,131 |
Net assets at end of period (including undistributed net investment income of $94,973 and $136,237, respectively) | $ 20,325,487 | $ 22,385,113 |
a On August 20, 2004, the Asset Management Portfolio III, a master portfolio for a master-feeder structure, closed. The Statement of Changes in Net Assets includes the Lifecycle Short Range Fund's information as a stand-alone and feeder fund for the respective periods (see Note A in the Notes to Financial Statements).
Scudder Lifecycle Long Range Fund
Investment Class | ||
2004a | 2004b | |
Selected Per Share Data | ||
Net asset value, beginning of period | $ 10.43 | $ 9.75 |
Income (loss) from investment operations: Net investment income (loss)c | .09 | .11 |
Net realized and unrealized gain (loss) on investment transactions | (.12) | .93 |
Total from investment operations | (.03) | 1.04 |
Less distributions from: Net investment income | (.11) | (.36) |
Net asset value, end of period | $ 10.29 | $ 10.43 |
Total Return (%)d | (.27)** | 10.79** |
Ratios to Average Net Assets and Supplemental Data | ||
Net assets, end of period ($ millions) | 58 | 69 |
Ratio of expenses before expense reductions (%)e | 1.45* | 1.41* |
Ratio of expenses after expense reductions (%)e | 1.00* | 1.00* |
Ratio of net investment income (loss) (%) | 1.68* | 1.65* |
Portfolio turnover rate (%) | 113f* | 115** |
a For the six months ended September 30, 2004 (Unaudited). b For the period July 25, 2003 (commencement of operations of Investment Class shares) to March 31, 2004. c Based on average shares outstanding during the period. d Total return would have been lower had certain expenses not been reduced. e The ratio includes expenses allocated from the Asset Management Portfolio. f On August 20, 2004, the Asset Management Portfolio was closed (see Note A in the Notes to Financial Statements). This ratio includes the purchase and sales of portfolio securities of the Scudder Lifecycle Long Range Fund as a stand-alone fund in addition to the Asset Management Portfolio. * Annualized ** Not annualized |
Scudder Lifecycle Long Range Fund
Institutional Class | ||||||
Years Ended March 31, | 2004a | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per Share Data | ||||||
Net asset value, beginning of period | $ 10.84 | $ 9.17 | $ 10.92 | $ 10.98 | $ 14.44 | $ 13.11 |
Income (loss) from investment operations: Net investment income (loss) | .11b | .21b | .25b | .31 | .41 | .33 |
Net realized and unrealized gain (loss) on investment transactions | (.12) | 1.94 | (1.53) | (.08) | (1.79) | 1.44 |
Total from investment operations | (.01) | 2.15 | (1.28) | .23 | (1.38) | 1.77 |
Less distributions from: Net investment income | (.14) | (.48) | (.47) | (.28) | (.30) | (.31) |
Net realized gains on investment transactions | - | - | - | (.01) | (1.78) | (.13) |
Total distributions | (.14) | (.48) | (.47) | (.29) | (2.08) | (.44) |
Net asset value, end of period | $ 10.69 | $ 10.84 | $ 9.17 | $ 10.92 | $ 10.98 | $ 14.44 |
Total Return (%)c | (.09)** | 23.71 | (11.88) | 2.13 | (10.90) | 13.83 |
Ratios to Average Net Assets and Supplemental Data | ||||||
Net assets, end of period ($ millions) | 693 | 702 | 548 | 438 | 417 | 512 |
Ratio of expenses before expense reductions (%)d | .96* | .91 | .93 | .91 | .93 | .93 |
Ratio of expenses after expense reductions (%)d | .55* | .55 | .55 | .55 | .59 | .60 |
Ratio of net investment income (loss) (%) | 2.13* | 2.08 | 2.61 | 2.84 | 3.20 | 2.69 |
Portfolio turnover rate (%) | 113e* | 115 | 133 | 90 | 118 | 222 |
a For the six months ended September 30, 2004 (Unaudited). b Based on average shares outstanding during the period. c Total return would have been lower had certain expenses not been reduced. d The ratio includes expenses allocated from the Asset Management Portfolio. e On August 20, 2004, the Asset Management Portfolio was closed (see Note A in the Notes to Financial Statements). This ratio includes the purchase and sales of portfolio securities of the Scudder Lifecycle Long Range Fund as a stand-alone fund in addition to the Asset Management Portfolio. * Annualized ** Not annualized |
Scudder Lifecycle Mid Range Fund
Investment Class | ||||||
Years Ended March 31, | 2004a | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per Share Data | ||||||
Net asset value, beginning of period | $ 9.86 | $ 8.80 | $ 9.75 | $ 9.78 | $ 11.38 | $ 10.60 |
Income (loss) from investment operations: Net investment income (loss) | .10b | .19b | .25b | .30 | .42 | .32 |
Net realized and unrealized gain (loss) on investment transactions | (.13) | 1.29 | (.80) | (.06) | (.86) | .71 |
Total from investment operations | (.03) | 1.48 | (.55) | .24 | (.44) | 1.03 |
Less distributions from: Net investment income | (.13) | (.42) | (.40) | (.27) | (.33) | (.23) |
Net realized gains on investment transactions | - | - | - | - | (.83) | (.02) |
Total distributions | (.13) | (.42) | (.40) | (.27) | (1.16) | (.25) |
Net asset value, end of period | $ 9.70 | $ 9.86 | $ 8.80 | $ 9.75 | $ 9.78 | $ 11.38 |
Total Return (%)c | (.35)** | 16.85 | (5.63) | 2.48 | (4.25) | 9.80 |
Ratios to Average Net Assets and Supplemental Data | ||||||
Net assets, end of period ($ millions) | 50 | 72 | 52 | 72 | 81 | 99 |
Ratio of expenses before expense reductions (%)d | 1.91* | 1.63 | 1.56 | 1.54 | 1.51 | 1.51 |
Ratio of expenses after expense reductions (%)d | 1.00* | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
Ratio of net investment income (loss) (%) | 2.06* | 2.01 | 2.68 | 3.04 | 3.86 | 3.03 |
Portfolio turnover rate (%) | 129e* | 114 | 116 | 127 | 139 | 273 |
a For the six months ended September 30, 2004 (Unaudited). b Based on average shares outstanding during the period. c Total return would have been lower had certain expenses not been reduced. d The ratio includes expenses allocated from the Asset Management Portfolio II. e On August 20, 2004, the Asset Management Portfolio II was closed (see Note A in the Notes to Financial Statements). This ratio includes the purchase and sales of portfolio securities of the Scudder Lifecycle Mid Range Fund as a stand-alone fund in addition to the Asset Management Portfolio II. * Annualized ** Not annualized |
Scudder Lifecycle Short Range Fund
Investment Class | ||||||
Years Ended March 31, | 2004a | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per Share Data | ||||||
Net asset value, beginning of period | $ 10.30 | $ 9.71 | $ 10.08 | $ 10.05 | $ 10.54 | $ 10.23 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | .12b | .22b | .29b | .38 | .48 | .39 |
Net realized and unrealized gain (loss) on investment transactions | (.14) | .77 | (.21) | (.04) | (.21) | .18 |
Total from investment operations | (.02) | .99 | .08 | .34 | .27 | .57 |
Less distributions from: Net investment income | (.14) | (.40) | (.45) | (.31) | (.40) | (.26) |
Net realized gains on investment transactions | - | - | - | - | (.36) | - |
Total distributions | (.14) | (.40) | (.45) | (.31) | (.76) | (.26) |
Net asset value, end of period | $ 10.14 | $ 10.30 | $ 9.71 | $ 10.08 | $ 10.05 | $ 10.54 |
Total Return (%)c | (.28)** | 10.44 | .83 | 3.42 | 2.52 | 5.76 |
Ratios to Average Net Assets and Supplemental Data | ||||||
Net assets, end of period ($ millions) | 20 | 22 | 17 | 25 | 30 | 38 |
Ratio of expenses before expense reductions (%)d | 2.43* | 2.16 | 1.85 | 1.86 | 1.72 | 1.67 |
Ratio of expenses after expense reductions (%)d | .99* | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
Ratio of net investment income (loss) (%) | 2.28* | 2.15 | 2.92 | 3.69 | 4.85 | 3.61 |
Portfolio turnover rate (%) | 174e* | 198 | 162 | 153 | 148 | 354 |
a For the six months ended September 30, 2004 (Unaudited). b Based on average shares outstanding during the period. c Total return would have been lower had certain expenses not been reduced. d The ratio includes expenses allocated from the Asset Management Portfolio III. e On August 20, 2004, the Asset Management Portfolio III was closed (see Note A in the Notes to Financial Statements). This ratio includes the purchase and sales of portfolio securities of the Scudder Lifecycle Short Range Fund as a stand-alone fund in addition to the Asset Management Portfolio III. * Annualized ** Not annualized |
A. Significant Accounting Policies
Lifecycle Long Range Fund ("Scudder Lifecycle Long Range Fund") is a diversified series of Scudder Advisor Funds III. Lifecycle Mid Range Fund ("Scudder Lifecycle Mid Range Fund") and Lifecycle Short Range Fund ("Scudder Lifecycle Short Range Fund") (each a "Fund", and collectively the "Fund") are diversified series of Scudder Advisor Funds. Scudder Advisor Funds III and Scudder Advisor Funds are registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as open-end management investment companies organized as Massachusetts business trusts (collectively, the "Trusts").
On June 3, 2004, the Board of Trustees approved dissolving the Lifecycle master-feeder structures, and converting the Funds to three stand-alone funds. On August 20, 2004, the Funds received assets with the value of $741,748,706, $48,834,257 and $20,324,047 which included net unrealized appreciation (depreciation) of $41,590,486, $2,052,615 and $505,144 for Scudder Lifecycle Long Range, Mid Range and Short Range, respectively, from Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III, respectively, in the tax free exchange for their beneficial ownership in the Portfolios. Activities prior to these conversions are included in the Statement of Operations.
Lifecycle Long Range Fund offers two classes of shares: Investment Class and Institutional Class. On August 13, 2004, Premier Class was renamed Institutional Class. Investment Class and Institutional Class shares are not subject to initial or contingent deferred sales charges. Institutional Class shares are offered to a limited group of investors and have lower ongoing expenses than the Investment Class. Lifecycle Mid Range Fund and Lifecycle Short Range Fund each offer one class of shares: Investment Class.
Investment income, realized and unrealized gains and losses, and certain fund-level expenses and expense reductions, if any, are borne pro rata on the basis of relative net assets by the holders of all classes of shares except that each class bears certain expenses unique to that class such as administrative service fee. Differences in class-level expenses may result in payment of different per share dividends by class. All shares of the Fund have equal rights with respect to voting subject to class-specific arrangements.
Each Fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Funds in the preparation of their financial statements.
Security Valuation. Investments are stated at value determined as of the close of regular trading on the New York Stock Exchange on each day the exchange is open for trading. Equity securities are valued at the most recent sale price or official closing price reported on the exchange (US or foreign) or over-the-counter market on which the security is traded most extensively. Securities for which no sales are reported are valued at the calculated mean between the most recent bid and asked quotations on the relevant market or, if a mean cannot be determined, at the most recent bid quotation.
Debt securities are valued by independent pricing services approved by the Trustees of each Fund. If the pricing services are unable to provide valuations, the securities are valued at the most recent bid quotation or evaluated price, as applicable, obtained from a broker-dealer. Such services may use various pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as broker quotes.
Money market instruments purchased with an original or remaining maturity of sixty days or less, maturing at par, are valued at amortized cost. Investments in open-end investment companies and affiliated funds are valued at their net asset value each business day.
Securities and other assets for which market quotations are not readily available or for which the above valuation procedures are deemed not to reflect fair value are valued in a manner that is intended to reflect their fair value as determined in accordance with procedures approved by the Trustees. The Fund may use a fair valuation model to value international equity securities in order to adjust for certain events which may occur between the close of the foreign exchanges and the close of the New York Stock Exchange.
Securities Lending. Each Fund may lend securities to financial institutions. The Fund retains beneficial ownership of the securities it has loaned and continues to receive interest and dividends paid by the securities and to participate in any changes in their market value. The Fund requires the borrowers of the securities to maintain collateral with the Fund consisting of liquid, unencumbered assets having a value at least equal to the value of the securities loaned. The Fund may invest the cash collateral into a joint trading account in an affiliated money market fund pursuant to Exemptive Orders issued by the SEC. The Fund receives compensation for lending its securities either in the form of fees or by earning interest on invested cash collateral net of fees paid to the lending agent. Either the Fund or the borrower may terminate the loan. The Fund is subject to all investment risks associated with the value of any cash collateral received, including, but not limited to, interest rate, credit and liquidity risk associated with such investments.
Foreign Currency Translations. The books and records of each Fund are maintained in US dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into US dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into US dollars at the prevailing exchange rates on the respective dates of the transactions.
Net realized and unrealized gains and losses on foreign currency transactions represent net gains and losses between trade and settlement dates on securities transactions, the disposition of forward foreign currency exchange contracts and foreign currencies, and the difference between the amount of net investment income accrued and the US dollar amount actually received. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed but is included with net realized and unrealized gains and losses on investment securities.
Futures Contracts. A futures contract is an agreement between a buyer or seller and an established futures exchange or its clearinghouse in which the buyer or seller agrees to take or make a delivery of a specific amount of a financial instrument at a specified price on a specific date (settlement date). Each Fund may enter into futures contracts as a hedge against anticipated interest rate, currency or equity market changes, and for duration management, risk management and return enhancement purposes.
Upon entering into a futures contract, each Fund is required to deposit with a financial intermediary an amount ("initial margin") equal to a certain percentage of the face value indicated in the futures contract. Subsequent payments ("variation margin") are made or received by each Fund dependent upon the daily fluctuations in the value of the underlying security and are recorded for financial reporting purposes as unrealized gains or losses by each Fund. When entering into a closing transaction, each Fund will realize a gain or loss equal to the difference between the value of the futures contract to sell and the futures contract to buy. Futures contracts are valued at the most recent settlement price.
Certain risks may arise upon entering into futures contracts, including the risk that an illiquid secondary market will limit each Fund's ability to close out a futures contract prior to the settlement date and that a change in the value of a futures contract may not correlate exactly with the changes in the value of the securities or currencies hedged. When utilizing futures contracts to hedge, each Fund gives up the opportunity to profit from favorable price movements in the hedged positions during the term of the contract.
Forward Foreign Currency Exchange Contracts. A forward foreign currency exchange contract ("forward currency contract") is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. Each Fund may enter into forward currency contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign currency denominated Fund holdings, to facilitate transactions in foreign currency denominated securities and to enhance the total returns.
Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain (loss) is recorded daily. Sales and purchases of forward currency contracts having the same settlement date and broker are offset and any gain (loss) is realized on the date of offset; otherwise, gain (loss) is realized on settlement date. Realized and unrealized gains and losses which represent the difference between the value of a forward currency contract to buy and a forward currency contract to sell are included in net realized and unrealized gain (loss) from foreign currency related transactions.
Certain risks may arise upon entering into forward currency contracts from the potential inability of counterparties to meet the terms of their contracts. Additionally, when utilizing forward currency contracts to hedge, each Fund gives up the opportunity to profit from favorable exchange rate movements during the term of the contract.
Mortgage Dollar Rolls. Each Fund may enter into mortgage dollar rolls in which the Fund sells to a bank or broker/dealer (the "counterparty") mortgage-backed securities for delivery in the current month and simultaneously contracts to repurchase similar, but not identical, securities on a fixed date. The counterparty receives all principal and interest payments, including prepayments, made on the security while it is the holder. The Fund receives compensation as consideration for entering into the commitment to repurchase. The compensation is paid in the form of a lower price for the security upon its repurchase, or alternatively, a fee. Mortgage dollar rolls may be renewed with a new sale and repurchase price and a cash settlement made at each renewal without physical delivery of the securities subject to the contract.
Mortgage dollar rolls may be treated for purposes of the 1940 Act as borrowings by the Fund because they involve the sale of a security coupled with an agreement to repurchase. A mortgage dollar roll involves costs to the Fund. For example, while the Fund receives compensation as consideration for agreeing to repurchase the security, the Fund forgoes the right to receive all principal and interest payments while the counterparty holds the security. These payments to the counterparty may exceed the compensation received by the Fund, thereby effectively charging the Fund interest on its borrowing. Further, although the Fund can estimate the amount of expected principal prepayment over the term of the mortgage dollar roll, a variation in the actual amount of prepayment could increase or decrease the cost of the Fund's borrowing.
Certain risks may arise upon entering into mortgage dollar rolls from the potential inability of counterparties to meet the terms of their commitments. Additionally, the value of such securities may change adversely before the Fund is able to repurchase them. There can be no assurance that the Fund's use of the cash that it receives from a mortgage dollar roll will provide a return that exceeds its borrowing costs.
When-Issued/Delayed Delivery Securities. Each Fund may purchase securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time the Fund enters into a commitment to purchase a security, the transaction is recorded and the value of the security is reflected in the net asset value. The price of such security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the security may vary with market fluctuations. No interest accrues to the Fund until payment takes place. At the time the Fund enters into this type of transaction it is required to segregate cash or other liquid assets at least equal to the amount of the commitment.
Certain risks may arise upon entering into when-issued or delayed delivery securities from the potential inability of counterparties to meet the terms of their contracts or if the issuer does not issue the securities due to political, economic, or other factors. Additionally, losses may arise due to changes in the value of the underlying securities.
Federal Income Taxes. Each Fund's policy is to comply with the requirements of the Internal Revenue Code, as amended, which are applicable to regulated investment companies, and to distribute all of its taxable income to its shareholders. Accordingly, each Fund paid no federal income taxes and no federal income tax provision was required.
At March 31, 2004, each Fund had a net tax basis capital loss carryforward which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized or until the respective expiration date, whichever occurs first.
The capital loss carryforwards were as follows:
Fund | Amount | Expiration Date |
Long Range Fund | $ 1,172,000 | 3/31/2009 |
21,545,000 | 3/31/2010 | |
35,451,000 | 3/31/2011 | |
9,619,000 | 3/31/2012 | |
Mid Range Fund | $ 465,000 | 3/31/2010 |
3,602,000 | 3/31/2011 | |
817,000 | 3/31/2012 | |
Short Range Fund | $ 6,000 | 3/31/2010 |
700,000 | 3/31/2011 | |
107,000 | 3/31/2012 |
Utilization of the capital loss carryforwards above could be subject to limitations imposed by the Internal Revenue Code.
Distribution of Income and Gains. Distributions of net investment income, if any, are made quarterly. Net realized gains from investment transactions, in excess of available capital loss carryforwards, would be taxable to each Fund if not distributed, and, therefore, will be distributed to shareholders at least annually.
The timing and characterization of certain income and capital gains distributions are determined annually in accordance with federal tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences primarily relate to certain securities sold at a loss, futures and foreign currency related transactions. As a result net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, each Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset value of each Fund.
The tax character of current year distributions, if any, will be determined at the end of the current fiscal year.
Expenses. Expenses of each Trust arising in connection with a specific Fund are allocated to that Fund. Other Trust expenses which cannot be directly attributed to a Fund are apportioned among the Funds in the Trust.
Other. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment security transactions are reported on trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date net of foreign withholding taxes. Certain dividends from foreign securities may be recorded subsequent to the ex-dividend date as soon as each Fund is informed of such dividends. Realized gains and losses from investment transactions are recorded on an identified cost basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
B. Purchases and Sales of Securities
During the six months ended September 30, 2004, purchases and sales of investment securities (excluding short-term investments) were as follows:
Purchases ($) | Sales ($) | |
Scudder Lifecycle Long Range Fund excluding US Treasury securities and mortgage dollar roll transactions | 210,727,342 | 224,940,475 |
US Treasury securities | 119,626,042 | 115,946,817 |
mortgage dollar roll transactions | 48,632,320 | 48,786,560 |
Scudder Lifecycle Mid Range Fund excluding US Treasury securities | 16,117,767 | 31,945,093 |
US Treasury securities | 14,578,566 | 11,930,084 |
Scudder Lifecycle Short Range Fund excluding US Treasury securities and mortgage dollar roll transactions | 5,886,504 | 6,635,966 |
US Treasury securities | 8,267,245 | 5,428,605 |
mortgage dollar roll transactions | 2,937,066 | 2,946,484 |
C. Related Parties
Scudder Investments is part of Deutsche Asset Management, which is the marketing name in the US for the asset management activities of Deutsche Bank AG. Effective August 21, 2004, Deutsche Asset Management, Inc. ("DeAM, Inc." or the "Advisor") is the Advisor for each Fund and Investment Company Capital Corp. ("ICCC" or the "Administrator") is the Administrator for each Fund, both indirect, wholly owned subsidiaries of Deutsche Bank AG. Prior to August 21, 2004, DeAM, Inc. was the Advisor for the Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III. The investment advisory fee paid by each Fund under the new Investment Advisory Agreement is the same as the investment advisory agreement for the Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III. Northern Trust Investments, N.A. ("NTI") serves as sub-advisor to a portion of each Fund's portfolio and is paid by the Advisor for its services.
Investment Advisory Agreement. Under the Investment Advisory Agreement, the Advisor directs the investments of each Fund in accordance with its investment objectives, policies and restrictions. The investment advisory fee payable under the Investment Advisory Agreement is equal to an annual rate of 0.65% of each Fund's average daily net assets, computed and accrued daily and payable monthly.
For the six months ended September 30, 2004, the Advisor and Administrator agreed to waive their fees and reimburse expenses of each Fund to the extent necessary to maintain the annualized expenses of each Fund, including expenses allocated from each Portfolio through August 20, 2004, as follows:
Long Range Fund Investment Class | 1.00% |
Institutional Class | .55% |
Mid Range Fund | 1.00% |
Short Range Fund | 1.00% |
For the period April 1, 2004 through August 20, 2004, the Investment Advisory Fee was as follows:
Total Aggregated | Waived | Annualized Effective Rate | |
Asset Management Portfolio | $ 1,926,387 | $ 688,395 | .42% |
Asset Management Portfolio II | 142,429 | 53,433 | .41% |
Asset Management Portfolio III | 53,204 | 44,717 | .10% |
For the period August 21, 2004 through September 30, 2004, the Investment Advisory Fee was as follows:
Total Aggregated | Waived | Annualized Effective Rate | |
Long Range Fund | $ 515,370 | $ 515,370 | - |
Mid Range Fund | 34,265 | 34,265 | - |
Short Range Fund | 13,845 | 13,845 | - |
Under these agreements, the Advisor and Administrator reimbursed $20,479 of the Lifecycle Short Range Fund's expenses.
For the six months ended September 30, 2004, the Advisor has agreed to reimburse the Funds for expenses of $3,044, $636 and $1,071 for Scudder Lifecycle Long Range, Lifecycle Mid Range and Lifecycle Short Range, respectively.
Administrator Service Fee. ICCC serves as Administrator and receives a fee (the "Administrator Service Fee") of 0.65% of each Fund's Investment Class and 0.15% of Lifecycle Long Range Fund's Institutional Class average daily net assets, computed and accrued daily and payable monthly. For the six months ended September 30, 2004, the Administrator Service Fee was as follows:
Administrator Service Fee | Total Aggregated | Waived | Annualized Effective Rate |
Long Range Fund Investment Class | $ 203,990 | $ 40,026 | .53% |
Institutional Class | 567,390 | 295,749 | .08% |
Mid Range Fund | 179,941 | 158,941 | .08% |
Short Range Fund | 68,337 | 68,337 | - |
ICCC served as Administrator for the Asset Management Portfolio, Asset Management Portfolio II and Asset Management Portfolio III and received a fee of 0.10% of each Portfolio's average daily net assets, computed and accrued daily and payable monthly. For the period April 1, 2004 through August 20, 2004, the Administrator Service Fee was as follows:
Total Aggregated | Annualized Effective Rate | |
Asset Management Portfolio | $ 296,367 | .10% |
Asset Management Portfolio II | 21,912 | .10% |
Asset Management Portfolio III | 8,185 | .10% |
Scudder Investments Service Company ("SISC"), an affiliate of the Advisor, is each Fund's transfer, dividend-paying and shareholder service agent. Pursuant to a sub-transfer agency agreement between SISC and DST Systems, Inc. ("DST"), SISC has delegated certain transfer agent and dividend paying agent functions to DST. The costs and expenses of such delegation are borne by SISC, not by the Funds.
Trustees' Fees and Expenses. As compensation for his or her services, each Independent Trustee receives an aggregate annual fee, plus a fee for each meeting attended (plus reimbursement for reasonable out-of-pocket expenses incurred in connection with his or her attendance at board and committee meetings) from each Fund in the Fund Complex for which he or she serves. In addition, the Chairman of the Fund Complex's Audit Committee receives an annual fee for his services.
Scudder Cash Management QP Trust. Pursuant to an Exemptive Order issued by the SEC, the Fund may invest in the Scudder Cash Management QP Trust (the "QP Trust") and other affiliated funds managed by the Advisor. The QP Trust seeks to provide as high a level of current income as is consistent with the preservation of capital and the maintenance of liquidity. The QP Trust does not pay the Advisor a management fee for the affiliated funds' investments in the QP Trust.
D. Forward Foreign Currency Commitments
As of September 30, 2004, the Funds had the following open forward foreign currency exchange contracts:
Scudder Lifecycle Long Range Fund
Contracts to Deliver | In Exchange For | Settlement Date | Unrealized Appreciation | |||||
USD | 31,678,736 | AUD | 45,471,000 | 10/5/04 | $ 1,242,229 | |||
USD | 1,218,740 | AUD | 1,751,000 | 10/5/04 | 48,983 | |||
USD | 793,791 | AUD | 1,136,000 | 10/5/04 | 28,672 | |||
USD | 34,817,760 | AUD | 48,358,000 | 11/2/04 | 98,764 | |||
USD | 32,007,592 | CAD | 41,655,000 | 10/1/04 | 906,473 | |||
USD | 22,853,431 | CAD | 29,025,000 | 11/1/04 | 70,580 | |||
USD | 3,190,239 | CHF | 4,016,000 | 10/4/04 | 26,345 | |||
USD | 1,093,930 | EUR | 899,000 | 10/4/04 | 22,595 | |||
USD | 7,929,616 | EUR | 6,388,000 | 10/4/04 | 4,049 | |||
USD | 31,507,150 | GBP | 17,632,000 | 10/4/04 | 388,597 | |||
USD | 1,539,748 | GBP | 862,000 | 10/4/04 | 19,584 | |||
USD | 714,251 | GBP | 398,000 | 10/4/04 | 5,719 | |||
USD | 34,043,384 | GBP | 18,892,000 | 11/2/04 | 52,342 | |||
JPY | 730,452,000 | USD | 6,677,503 | 10/4/04 | 48,657 | |||
JPY | 1,950,000 | USD | 17,748 | 10/4/04 | 51 | |||
USD | 4,054,769 | JPY | 448,052,000 | 10/4/04 | 11,299 | |||
USD | 23,451,615 | NZD | 36,135,000 | 10/4/04 | 957,690 | |||
USD | 3,055,084 | NZD | 4,618,000 | 10/4/04 | 64,389 | |||
$ 3,997,018 |
Contracts to Deliver | In Exchange For | Settlement Date | Unrealized (Depreciation) | |||||
AUD | 48,358,000 | USD | 34,910,607 | 10/5/04 | $ (100,544) | |||
CAD | 5,442,000 | USD | 4,117,830 | 10/1/04 | (182,215) | |||
CAD | 7,188,000 | USD | 5,520,695 | 10/1/04 | (158,966) | |||
CAD | 29,025,000 | USD | 22,863,332 | 10/1/04 | (71,027) | |||
CHF | 4,016,000 | USD | 3,170,118 | 10/4/04 | (46,466) | |||
EUR | 5,830,000 | USD | 7,054,300 | 10/4/04 | (186,349) | |||
EUR | 1,457,000 | USD | 1,778,662 | 10/4/04 | (30,879) | |||
EUR | 7,927,508 | USD | 6,388,000 | 11/2/04 | (4,544) | |||
GBP | 18,892,000 | USD | 34,120,086 | 10/4/04 | (54,963) | |||
USD | 2,589,709 | JPY | 284,350,000 | 10/4/04 | (9,235) | |||
JPY | 448,052,000 | USD | 4,060,594 | 11/2/04 | (11,456) | |||
NZD | 18,244,000 | USD | 11,804,142 | 10/4/04 | (519,737) | |||
NZD | 22,509,000 | USD | 15,204,154 | 10/4/04 | (745) | |||
USD | 15,148,557 | NZD | 22,509,000 | 11/2/04 | (298) | |||
$ (1,377,424) |
Scudder Lifecycle Mid Range Fund
Contracts to Deliver | In Exchange For | Settlement Date | Unrealized Appreciation | |||||
USD | 2,042,666 | AUD | 2,932,000 | 10/5/04 | $ 80,100 | |||
USD | 96,747 | AUD | 139,000 | 10/5/04 | 3,888 | |||
USD | 49,612 | AUD | 71,000 | 10/5/04 | 1,792 | |||
USD | 2,262,240 | AUD | 3,142,000 | 11/2/04 | 6,417 | |||
USD | 1,539,100 | CAD | 2,003,000 | 10/1/04 | 43,588 | |||
USD | 872,407 | CAD | 1,108,000 | 11/1/04 | 2,694 | |||
USD | 522,600 | EUR | 421,000 | 10/4/04 | 267 | |||
USD | 2,078,200 | GBP | 1,163,000 | 10/4/04 | 25,632 | |||
USD | 117,893 | GBP | 66,000 | 10/4/04 | 1,499 | |||
USD | 43,070 | GBP | 24,000 | 10/4/04 | 345 | |||
USD | 2,257,906 | GBP | 1,253,000 | 11/2/04 | 3,472 | |||
JPY | 28,293,000 | USD | 258,643 | 10/4/04 | 1,885 | |||
JPY | 83,000 | USD | 755 | 10/4/04 | 2 | |||
USD | 226,109 | JPY | 24,985,000 | 10/4/04 | 630 | |||
USD | 579,557 | NZD | 893,000 | 10/4/04 | 23,667 | |||
USD | 60,202 | NZD | 91,000 | 10/4/04 | 1,269 | |||
$ 197,147 |
Contracts to Deliver | In Exchange For | Settlement Date | Unrealized (Depreciation) | |||||
AUD | 3,142,000 | USD | 2,268,273 | 10/5/04 | $ (6,533) | |||
CAD | 432,000 | USD | 326,884 | 10/1/04 | (14,465) | |||
CAD | 463,000 | USD | 355,604 | 10/1/04 | (10,240) | |||
CAD | 1,108,000 | USD | 872,785 | 10/1/04 | (2,711) | |||
EUR | 378,000 | USD | 457,380 | 10/4/04 | (12,082) | |||
EUR | 26,000 | USD | 31,632 | 10/4/04 | (659) | |||
EUR | 17,000 | USD | 20,753 | 10/4/04 | (360) | |||
EUR | 421,000 | USD | 522,461 | 11/2/04 | (299) | |||
GBP | 1,253,000 | USD | 2,262,993 | 10/4/04 | (3,645) | |||
USD | 30,883 | JPY | 3,391,000 | 10/4/04 | (110) | |||
JPY | 24,985,000 | USD | 226,433 | 11/2/04 | (639) | |||
NZD | 633,000 | USD | 409,561 | 10/4/04 | (18,033) | |||
NZD | 351,000 | USD | 237,090 | 10/4/04 | (12) | |||
USD | 236,223 | NZD | 351,000 | 11/2/04 | (5) | |||
$ (69,793) |
Scudder Lifecycle Short Range Fund
Contracts to Deliver | In Exchange For | Settlement Date | Unrealized Appreciation | |||||
USD | 755,201 | AUD | 1,084,000 | 10/5/04 | $ 29,614 | |||
USD | 125,981 | AUD | 181,000 | 10/5/04 | 5,063 | |||
USD | 903,600 | AUD | 1,255,000 | 11/2/04 | 2,563 | |||
USD | 176,731 | CAD | 230,000 | 10/1/04 | 5,005 | |||
USD | 56,103 | CAD | 73,000 | 10/1/04 | 1,579 | |||
USD | 131,491 | CAD | 167,000 | 11/1/04 | 406 | |||
USD | 206,061 | EUR | 166,000 | 10/4/04 | 105 | |||
USD | 643,314 | GBP | 357,000 | 11/2/04 | 989 | |||
JPY | 9,080,000 | USD | 82,703 | 10/4/04 | 302 | |||
JPY | 2,798,000 | USD | 25,578 | 10/4/04 | 186 | |||
JPY | 63,000 | USD | 573 | 10/4/04 | 2 | |||
USD | 108,063 | JPY | 11,941,000 | 10/4/04 | 301 | |||
$ 46,115 |
Contracts to Deliver | In Exchange For | Settlement Date | Unrealized (Depreciation) | |||||
AUD | 10,000 | USD | 6,977 | 10/5/04 | $ (263) | |||
AUD | 1,255,000 | USD | 906,010 | 10/5/04 | (2,609) | |||
CAD | 136,000 | USD | 102,908 | 10/1/04 | (4,554) | |||
CAD | 167,000 | USD | 131,548 | 10/1/04 | (409) | |||
EUR | 155,000 | USD | 187,550 | 10/4/04 | (4,954) | |||
EUR | 10,000 | USD | 12,166 | 10/4/04 | (254) | |||
EUR | 1,000 | USD | 1,221 | 10/4/04 | (21) | |||
EUR | 166,000 | USD | 206,006 | 11/2/04 | (118) | |||
JPY | 11,941,000 | USD | 108,219 | 11/2/04 | (305) | |||
$ (13,487) |
As of September 30, 2004, the Lifecycle Short Range Fund had the following closed forward foreign currency exchange contracts:
Contracts to Deliver | In Exchange For | Settlement Date | Receivable (Payable) | |||||
USD | 914,908 | GBP | 512,000 | 10/4/04 | ||||
GBP | 512,000 | USD | 921,725 | 10/4/04 | $ 6,817 |
Currency Abbreviations | |||||||
AUD | Australian Dollar | EUR | Euro | NZD | New Zealand Dollar | ||
CHF | Swiss Franc | GBP | British Pound | USD | US Dollar | ||
CAD | Canadian Dollar | JPY | Japanese Yen |
E. Line of Credit
Each Fund and several other affiliated funds (the "Participants") share in a $1.25 billion revolving credit facility administered by J.P. Morgan Chase Bank for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The Participants are charged an annual commitment fee which is allocated, based upon net assets, among each of the Participants. Interest is calculated at the Federal Funds Rate plus 0.5 percent. Each Fund may borrow up to a maximum of 33 percent of its net assets under the agreement.
F. Share Transactions
The following table summarizes share and dollar activity in the Lifecycle Long Range Fund:
Six Months Ended September 30, 2004 | Year Ended | |||
Shares | Dollars | Shares | Dollars | |
Shares sold | ||||
Investment Class | 436,488 | 4,472,806 | 1,403,818 | $ 14,789,301 |
Institutional Class | 3,321,143 | 35,454,320 | 12,358,761 | 127,323,312 |
$ 39,927,126 | $ 142,112,613 | |||
Shares issued in tax-free reorganization | ||||
Investment Class | - | - | 5,999,562 | $ 58,476,295 |
Shares issued to shareholders in reinvestment of distributions | ||||
Investment Class | 61,654 | 634,464 | 254,351 | $ 2,273,737 |
Institutional Class | 840,606 | 8,985,940 | 2,887,219 | 29,971,998 |
$ 9,620,404 | $ 32,245,735 | |||
Shares redeemed | ||||
Investment Class | (1,447,221) | (14,751,802) | (1,078,353) | $ (11,023,167) |
Institutional Class | (4,196,415) | (44,551,158) | (10,253,726) | (106,908,354) |
$ (59,302,960) | $ (117,931,521) | |||
Net increase (decrease) | ||||
Investment Class | (949,079) | (9,644,532) | 6,579,378 | $ 64,516,166 |
Institutional Class | (34,666) | (110,898) | 4,992,254 | 50,386,956 |
$ (9,755,430) | $ 114,903,122 |
The following table summarizes share and dollar activity in the Lifecycle Mid Range Fund:
Six Months Ended September 30, 2004 | Year Ended | |||
Shares | Dollars | Shares | Dollars | |
Shares sold | ||||
Investment Class | 651,309 | $ 6,299,300 | 2,860,420 | $ 27,215,420 |
Shares issued to shareholders in reinvestment of distributions | ||||
Investment Class | 65,427 | $ 632,968 | 293,546 | $ 2,807,418 |
Shares redeemed | ||||
Investment Class | (2,935,388) | $ (28,062,953) | (1,713,346) | $ (16,375,047) |
Net increase (decrease) | ||||
Investment Class | (2,218,652) | $ (21,130,685) | 1,440,620 | $ 13,647,791 |
The following table summarizes share and dollar activity in the Lifecycle Short Range Fund:
Six Months Ended September 30, 2004 | Year Ended March 31, 2004 | |||
Shares | Dollars | Shares | Dollars | |
Shares sold | ||||
Investment Class | 536,567 | $ 5,413,654 | 1,475,460 | $ 14,946,510 |
Shares issued to shareholders in reinvestment of distributions | ||||
Investment Class | 27,313 | $ 275,453 | 81,292 | $ 822,774 |
Shares redeemed | ||||
Investment Class | (733,035) | $ (7,387,758) | (1,112,255) | $ (11,276,402) |
Net increase (decrease) | ||||
Investment Class | (169,155) | $ (1,698,651) | 444,497 | $ 4,492,882 |
G. Regulatory Matters and Litigation
Since at least July 2003, federal, state and industry regulators have been conducting ongoing inquiries and investigations ("inquiries") into the mutual fund industry, and have requested information from numerous mutual fund companies, including Scudder Investments. It is not possible to determine what the outcome of these inquiries will be or what the effect, if any, would be on the funds or their advisors. Publicity about mutual fund practices arising from these industry-wide inquiries serves as the general basis of a number of private lawsuits against the Scudder funds. These lawsuits, which previously have been reported in the press, involve purported class action and derivative lawsuits, making various allegations and naming as defendants various persons, including certain Scudder funds, the funds' investment advisors and their affiliates, certain individuals, including in some cases fund Trustees/Directors, officers, and other parties. Each Scudder fund's investment advisor has agreed to indemnify the applicable Scudder funds in connection with these lawsuits, or other lawsuits or regulatory actions that may be filed making allegations similar to these lawsuits regarding market timing, revenue sharing, fund valuation or other subjects arising from or related to the pending inquiries. Based on currently available information, the funds' investment advisors believe the likelihood that the pending lawsuits will have a material adverse financial impact on a Scudder fund is remote and such actions are not likely to materially affect their ability to perform under their investment management agreements with the Scudder funds.
For shareholders of Investment and Institutional Classes
Automated Information Lines | ScudderACCESS (800) 972-3060 Personalized account information, information on other Scudder funds and services via touchtone telephone and for Classes A, B, and C only, the ability to exchange or redeem shares. |
Web Site | scudder.com View your account transactions and balances, trade shares, monitor your asset allocation, and change your address, 24 hours a day.Obtain prospectuses and applications, blank forms, interactive worksheets, news about Scudder funds, subscription to fund updates by e-mail, retirement planning information, and more. |
For More Information | (800) 621-1048 To speak with a Scudder service representative. |
Written Correspondence | Scudder Investments PO Box 219356Kansas City, MO 64121-9356 |
Proxy Voting | A description of the fund's policies and procedures for voting proxies for portfolio securities and information about how the fund voted proxies related to its portfolio securities during the 12-month period ended June 30 is available on our Web site - scudder.com (type "proxy voting" in the search field) - or on the SEC's Web site - www.sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call us toll free at (800) 621-1048. |
Principal Underwriter | If you have questions, comments or complaints, contact: Scudder Distributors, Inc. 222 South Riverside PlazaChicago, IL 60606-5808 (800) 621-1148 |
Long Range Fund | Mid Range Fund | Short Range Fund | ||
Investment Class | Institutional | Investment Class | Investment Class | |
Nasdaq Symbol | BTILX | BTAMX | BTLRX | BTSRX |
CUSIP Number | 81111Y 606 | 81111Y 309 | 81111R 825 | 81111R 817 |
Fund Number | 812 | 567 | 813 | 814 |
This privacy statement is issued by Deutsche Investment Management Americas Inc., Deutsche Asset Management, Inc., Scudder Distributors, Inc., Scudder Investor Services, Inc., Scudder Trust Company and the Scudder Funds.
We never sell customer lists or individual client information. We consider privacy fundamental to our client relationships and adhere to the policies and practices described below to protect current and former clients' information. Internal policies are in place to protect confidentiality, while allowing client needs to be served. Only individuals who need to do so in carrying out their job responsibilities may access client information. We maintain physical, electronic and procedural safeguards that comply with federal and state standards to protect confidentiality. These safeguards extend to all forms of interaction with us, including the Internet.
In the normal course of business, clients give us nonpublic personal information on applications and other forms, on our websites, and through transactions with us or our affiliates. Examples of the nonpublic personal information collected are name, address, Social Security number and transaction and balance information. To be able to serve our clients, certain of this client information is shared with affiliated and nonaffiliated third party service providers such as transfer agents, custodians, and broker-dealers to assist us in processing transactions and servicing your account with us. In addition, we may disclose all of the information we collect to companies that perform marketing services on our behalf or to other financial institutions with which we have joint marketing agreements. The organizations described above that receive client information may only use it for the purpose designated by the Scudder Companies listed above.
We may also disclose nonpublic personal information about you to other parties as required or permitted by law. For example, we are required or we may provide information to government entities or regulatory bodies in response to requests for information or subpoenas, to private litigants in certain circumstances, to law enforcement authorities, or any time we believe it necessary to protect the firm.
Questions on this policy may be sent to:
Scudder Investments
Attention: Correspondence - Chicago
P.O. Box 219415
Kansas City, MO 64121-9415
September 2004
Notes |
Notes |
Notes |
ITEM 2. CODE OF ETHICS. Not applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS Not Applicable ITEM 6. SCHEDULE OF INVESTMENTS Not Applicable 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. The Nominating and Governance Committee evaluates and nominates Board member candidates. Fund shareholders may also submit nominees that will be considered by the Committee when a Board vacancy occurs. Submissions should be mailed to the attention of the Secretary of the Fund, One South Street, Baltimore, MD 21202. ITEM 10. CONTROLS AND PROCEDURES. (a) The Chief Executive and Financial Officers concluded that the Registrant's Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. (b) There have been no changes in the registrant's internal control over financial reporting that occurred during the registrant's last half-year (the registrant's second fiscal half-year in the case of the annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal controls over financial reporting. ITEM 11. EXHIBITS. (a)(1) Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. (b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.Form N-CSR Item F 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. Registrant: Scudder Lifecycle Long Range Fund By: /s/Julian Sluyters ------------------------------ Julian Sluyters Chief Executive Officer Date: December 6, 2004 ------------------------------ Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. Registrant: Scudder Lifecycle Long Range Fund By: /s/Julian Sluyters ------------------------------ Julian Sluyters Chief Executive Officer Date: December 6, 2004 ------------------------------ By: /s/Paul Schubert ------------------------------ Chief Financial Officer Date: December 6, 2004 ------------------------------