UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D. C. 20549 FORM N-CSR 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) 295-3488 -------------- Charles Rizzo Two International Place Boston, Massachusetts 02110 --------------------------------------- (Name and Address of Agent for Service) Date of fiscal year end: 03/31 Date of reporting period: 03/31/05ITEM 1. REPORT TO STOCKHOLDERS
Scudder Lifecycle Long Range FundScudder Lifecycle Mid Range FundScudder Lifecycle Short Range Fund | ||
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| Annual Report to Shareholders | |
| March 31, 2005 |
Contents |
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Click Here Performance Summary Click Here Information About Your Fund's Expenses Click Here Portfolio Management Review Click Here Portfolio Summary Click Here Investment Portfolios Click Here Financial Statements Click Here Financial Highlights Click Here Notes to Financial Statements Click Here Report of Independent Registered Public Accounting Firm Click Here Tax Information Click Here Trustees and Officers Click Here Account Management Resources |
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.
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Scudder Lifecycle Long Range Fund
All performance shown is historical, assumes reinvestment of all dividends and capital gain distributions, 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 Fund's most recent month-end performance.
To discourage short-term trading, shareholders redeeming shares held less than 15 days will have a lower total return due to the effect of the 2% short-term redemption fee.
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 3/31/05 | ||||
| 1-Year | 3-Year | 5-Year | 10-Year |
Institutional Class* | 5.42% | 4.75% | .90% | 9.47% |
Investment Class | 4.92% | 4.26% | .43% | 9.01% |
S&P 500 Index+ | 6.69% | 2.75% | -3.16% | 10.79% |
Citigroup Broad Investment Grade Bond Index++ | 1.23% | 5.43% | 7.16% | 7.15% |
Asset Allocation Index — Long Range+++ | 4.34% | 4.61% | 1.30% | 9.18% |
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: 3/31/05 | $ 10.62 | $ 11.04 |
3/31/04 | $ 10.43 | $ 10.84 |
Distribution Information: Twelve Months: Income Dividends as of 3/31/05 | $ .32 | $ .38 |
Institutional Class Lipper Rankings — Flexible Portfolio Funds Category as of 3/31/05 | ||||
Period | Rank |
| Number of Funds Tracked | Percentile Ranking |
1-Year | 152 | of | 362 | 42 |
3-Year | 98 | of | 260 | 38 |
5-Year | 78 | of | 194 | 40 |
10-Year | 21 | of | 87 | 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.
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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 March 31 |
Comparative Results as of 3/31/05 | |||||
Scudder Lifecycle Long Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Institutional Class* | Growth of $1,000,000 | $1,054,200 | $1,149,300 | $1,045,900 | $2,470,700 |
Average annual total return | 5.42% | 4.75% | .90% | 9.47% | |
S&P 500 Index+ | Growth of $1,000,000 | $1,066,900 | $1,084,700 | $851,600 | $2,787,300 |
Average annual total return | 6.69% | 2.75% | -3.16% | 10.79% | |
Citigroup Broad Investment Grade Bond Index++ | Growth of $1,000,000 | $1,012,300 | $1,171,900 | $1,413,100 | $1,995,300 |
Average annual total return | 1.23% | 5.43% | 7.16% | 7.15% | |
Asset Allocation Index — Long Range+++ | Growth of $1,000,000 | $1,043,400 | $1,144,900 | $1,066,900 | $2,406,200 |
Average annual total return | 4.34% | 4.61% | 1.30% | 9.18% |
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.
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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 March 31 |
Comparative Results as of 3/31/05 | |||||
Scudder Lifecycle Long Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Investment Class | Growth of $10,000 | $10,492 | $11,335 | $10,219 | $23,699 |
Average annual total return | 4.92% | 4.26% | .43% | 9.01% | |
S&P 500 Index+ | Growth of $10,000 | $10,669 | $10,847 | $8,516 | $27,873 |
Average annual total return | 6.69% | 2.75% | -3.16% | 10.79% | |
Citigroup Broad Investment Grade Bond Index++ | Growth of $10,000 | $10,123 | $11,719 | $14,131 | $19,953 |
Average annual total return | 1.23% | 5.43% | 7.16% | 7.15% | |
Asset Allocation Index — Long Range+++ | Growth of $10,000 | $10,434 | $11,449 | $10,669 | $24,062 |
Average annual total return | 4.34% | 4.61% | 1.30% | 9.18% |
The growth of $10,000 is cumulative.
+ The Standard & Poor's 500 (S&P 500) Index is an unmanaged 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.
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Scudder Lifecycle Mid Range Fund
All performance shown is historical, assumes reinvestment of all dividends and capital gain distributions, 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 Fund's most recent month-end performance.
To discourage short-term trading, shareholders redeeming shares held less than 15 days will have a lower total return due to the effect of the 2% short-term redemption fee.
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 3/31/05 | ||||
| 1-Year | 3-Year | 5-Year | 10-Year |
Investment Class | 3.50% | 4.51% | 2.29% | 8.11% |
S&P 500 Index+ | 6.69% | 2.75% | -3.16% | 10.79% |
Citigroup Broad Investment Grade Bond Index++ | 1.23% | 5.43% | 7.16% | 7.15% |
Asset Allocation Index — Mid Range+++ | 3.29% | 4.47% | 2.91% | 8.10% |
Sources: Lipper Inc. and Deutsche Asset Management, Inc.
Net Asset Value and Distribution Information | |
| Investment Class |
Net Asset Value: 3/31/05 | $ 9.86 |
3/31/04 | $ 9.86 |
Distribution Information: Twelve Months: Income Dividends as of 3/31/05 | $ .34 |
Investment Class Lipper Rankings — Flexible Portfolio Funds Category as of 3/31/05 | ||||
Period | Rank |
| Number of Funds Tracked | Percentile Ranking |
1-Year | 269 | of | 362 | 75 |
3-Year | 111 | of | 260 | 43 |
5-Year | 52 | of | 194 | 27 |
10-Year | 54 | of | 87 | 62 |
Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on total return with distributions reinvested.
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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 March 31 |
Comparative Results as of 3/31/05 | |||||
Scudder Lifecycle Mid Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Investment Class | Growth of $10,000 | $10,350 | $11,414 | $11,200 | $21,801 |
Average annual total return | 3.50% | 4.51% | 2.29% | 8.11% | |
S&P 500 Index+ | Growth of $10,000 | $10,669 | $10,847 | $8,516 | $27,873 |
Average annual total return | 6.69% | 2.75% | -3.16% | 10.79% | |
Citigroup Broad Investment Grade Bond Index++ | Growth of $10,000 | $10,123 | $11,719 | $14,131 | $19,953 |
Average annual total return | 1.23% | 5.43% | 7.16% | 7.15% | |
Asset Allocation Index — Mid Range+++ | Growth of $10,000 | $10,329 | $11,402 | $11,544 | $21,799 |
Average annual total return | 3.29% | 4.47% | 2.91% | 8.10% |
The growth of $10,000 is cumulative.
+ The Standard & Poor's 500 (S&P 500) Index is an unmanaged 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.
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Scudder Lifecycle Short Range Fund
All performance shown is historical, assumes reinvestment of all dividends and capital gain distributions, 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 Fund's most recent month-end performance.
To discourage short-term trading, shareholders redeeming shares held less than 15 days will have a lower total return due to the effect of the 2% short-term redemption fee.
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 3/31/05 | ||||
| 1-Year | 3-Year | 5-Year | 10-Year |
Investment Class | 2.28% | 4.43% | 3.84% | 6.95% |
S&P 500 Index+ | 6.69% | 2.75% | -3.16% | 10.79% |
Citigroup Broad Investment Grade Bond Index++ | 1.23% | 5.43% | 7.16% | 7.15% |
Asset Allocation Index — Short Range+++ | 2.22% | 4.22% | 4.44% | 6.93% |
Sources: Lipper Inc. and Deutsche Asset Management, Inc.
Net Asset Value and Distribution Information | |
| Investment Class |
Net Asset Value: 3/31/05 | $ 10.18 |
3/31/04 | $ 10.30 |
Distribution Information: Twelve Months: Income Dividends as of 3/31/05 | $ .36 |
Investment Class Lipper Rankings — Income Funds Category as of 3/31/05 | ||||
Period | Rank |
| Number of Funds Tracked | Percentile Ranking |
1-Year | 162 | of | 216 | 75 |
3-Year | 80 | of | 128 | 63 |
5-Year | 33 | of | 88 | 38 |
10-Year | 13 | of | 23 | 55 |
Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on total return with distributions reinvested.
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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 March 31 |
Comparative Results as of 3/31/05 | |||||
Scudder Lifecycle Short Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Investment Class | Growth of $10,000 | $10,228 | $11,390 | $12,076 | $19,580 |
Average annual total return | 2.28% | 4.43% | 3.84% | 6.95% | |
S&P 500 Index+ | Growth of $10,000 | $10,669 | $10,847 | $8,516 | $27,873 |
Average annual total return | 6.69% | 2.75% | -3.16% | 10.79% | |
Citigroup Broad Investment Grade Bond Index++ | Growth of $10,000 | $10,123 | $11,719 | $14,131 | $19,953 |
Average annual total return | 1.23% | 5.43% | 7.16% | 7.15% | |
Asset Allocation Index — Short Range+++ | Growth of $10,000 | $10,222 | $11,321 | $12,423 | $19,552 |
Average annual total return | 2.22% | 4.22% | 4.44% | 6.93% |
The growth of $10,000 is cumulative.
+ The Standard & Poor's 500 (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.
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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 tables are 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 tables are based on an investment of $1,000 made at the beginning of the six-month period ended March 31, 2005.
The tables illustrate 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 | .99% | .54% |
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 | .99% |
For more information, please refer to the Fund's prospectus.
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Scudder Lifecycle Funds: A Team Approach to Investing
Deutsche Asset Management, Inc. ("DeAM, Inc." or the "Advisor"), which is part of Deutsche Asset Management, is the investment advisor for the funds. DeAM, Inc. provides a full range of investment advisory services to institutional and retail clients. DeAM, Inc. is also responsible for selecting brokers and dealers and for negotiating brokerage commissions and dealer charges.
Deutsche Asset Management is a global asset management organization that offers a wide range of investing expertise and resources. This well-resourced global investment platform brings together a wide variety of experience and investment insight across industries, regions, asset classes and investing styles.
DeAM, Inc. is an indirect, wholly owned subsidiary of Deutsche Bank AG. Deutsche Bank AG is a major global banking institution that is engaged in a wide range of financial services, including investment management, mutual funds, retail, private and commercial banking, investment banking and insurance.
Northern Trust Investments, N.A. ("NTI") is the subadvisor to the funds. NTI is located at 50 South LaSalle Street, Chicago, IL 60675. As of December 31, 2004, NTI had approximately $274 billion of assets under management. With respect to only the passive equity portion of each fund, a group of investment professionals at NTI makes the investment decisions, buys and sells securities and conducts the research that leads to the purchase and sale decisions.
Portfolio Management Team
Janet Campagna
Managing Director of Deutsche Asset Management and Lead Manager of the fund.
Joined Deutsche Asset Management in 1999. Investment strategist and manager of the asset allocation strategies group for Barclays Global Investors from 1994 to 1999.
Global head of Advanced Research and Quantitative Strategies.
Over 16 years of investment industry experience.
BS, Northeastern University; MS, Social Science, California Institute of Technology; PhD, Political Science, University of California at Irvine.
Joined the fund in 2000.
Robert Wang
Managing Director of Deutsche Asset Management and Co-Manager of the fund.
Joined Deutsche Asset Management in 1995 after 13 years of experience in fixed income trading at J.P. Morgan.
Senior portfolio manager for global and tactical asset allocation portfolios, with a focus on quantitative asset allocation, portfolio risk control and derivatives trading management.
BS, University of Pennsylvania — The Wharton School.
Joined the fund in 2000.
In the following interview, Co-Managers Robert Wang and Janet Campagna and Investment Strategist Arnim Holzer address the economy, markets, portfolio management strategy and resulting performance of Scudder Lifecycle funds for the 12 months ended March 31, 2005.
Q: How would you describe global economic and political conditions and their effect on the markets over the last year?
A: In the spring of 2004, there was considerable concern regarding whether the expansion of the US economy could be sustained, and many observers believed that a slowdown was about to begin. As the year progressed, there were encouraging signs of continuing economic strength. Employment numbers began to look more favorable, and economic leadership began to pass from the consumer to the corporate sector, which is the usual pattern as an economic expansion matures. Corporate earnings were relatively strong, and profit margins were improving. By the end of 2004, there was greater confidence that economic growth in the United States might continue for some time.
Looking at international economies, Japan and the European countries were somewhat weaker than the United States in 2004 and early 2005. Among developing nations, India and China were particularly strong, as the deceleration of growth that was expected in China near the end of 2004 was extremely modest.
Stock performance was generally positive through this period. From April through October, the US stock market traded within a fairly narrow range, reflecting considerable uncertainty about the economy, the November 2004 presidential election and the war in Iraq. The US market began to strengthen at the end of 2004, as oil prices fell slightly and there was increasing evidence of continued economic growth. The market traded in a fairly narrow range in the first quarter of 2005, ending the quarter slightly below the level at the end of 2004.
Over this period, the fixed-income market was relatively strong, though returns were below equity returns. The main driver of bond performance was a lack of upward pressure on long-term interest rates, despite the Federal Reserve's actions to increase short-term rates. Corporations maintained strong balance sheets and funded operations largely from available cash, rather than going to the bond market. The result was a light calendar of new corporate bond issues, so that the US Treasury did not encounter much competition for its issues.
Over the last several years, stock returns and bond returns have moved in opposite directions, displaying a negative correlation. In the last few months, however, the correlation has become less negative, with stock and bond returns moving similarly on many days.
Because the value of the US dollar declined relative to most other world currencies, most foreign stock markets outperformed US equities in dollar terms, although returns were at similar levels in local currency terms. The dollar's weakening trend moderated at the end of 2004, and we began to see some stability relative to other currencies, particularly the yen and the euro, in the first quarter of 2005.
Q: How are the Scudder Lifecycle funds managed?
A: We invest these funds in a mix of US and foreign stocks and bonds and short-term investments. Each of the three funds has a target percentage of each of the three principal asset classes: equity, fixed-income and short-term instruments. A fund's investment in each asset class fluctuates depending on our perception of the opportunities and risks associated with each class at a given time. We regularly use derivatives to increase or decrease exposure to the various asset classes.1 We also take positions in foreign currencies to enhance returns and to hedge risks.
1 A derivative is a financial arrangement that derives its value from a traditional security (such as a stock or bond), asset or index.
We employ a Global Asset Allocation (GAA) overlay, which is a means of attempting to capture gains when various assets and asset classes advance or decline. It utilizes stock and bond futures and currency forwards to adjust exposure to the different asset classes without having to make dramatic shifts in the stock, bond and cash allocations of the funds, which are normally maintained at percentages specific to each fund.2
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 asset management 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.
In managing the bond portion of the portfolio, we use a core fixed-income strategy to select bonds based on a number of characteristics in an effort to outperform the Citigroup Broad Investment Grade (BIG) Bond Index.3
Q: How did the funds perform during the period?
A: In evaluating performance, we look at the funds' absolute returns and their returns relative to several benchmarks. The primary benchmark is the Standard & Poor's 500 Index.4 A secondary benchmark is the Citigroup Broad Investment Grade (BIG) Bond Index. Since these funds hold securities in three major asset classes — stocks, bonds and short-term securities — we have created for each fund an asset allocation benchmark. In each case, the asset allocation benchmark is calculated using the performance of three unmanaged indexes 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 to produce the aggregate benchmark. The percentages of each of these indexes differ based on each fund's investment objective.
2 Futures and options are used as a low-cost method for gaining exposure to a particular securities market without investing directly in those securities. Forward currency transactions are the purchase or sale of a foreign currency at an exchange rate established now, but with payment and delivery at a specified future time. Forward currency transactions are used as hedges and, where possible, to add to investment returns.
3 The Citigroup Broad Investment Grade (BIG) Bond Index covers an all-inclusive universe of institutionally traded US treasury, agency, mortgage and corporate securities.
4 The Standard & Poor's (S&P) 500 Index is an unmanaged 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. 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.
We also compare returns to those of a peer group of funds that allocate assets among several asset classes. The peer group for the Lifecycle Long Range and Lifecycle Mid Range Funds is the Lipper Flexible Portfolio Funds category. For the Lifecycle Short Range Fund, the peer group is the Lipper Income category.
The total return of the Standard & Poor's 500 Index for the 12-month period ended March 2005 was 6.69%. The total return of the Citigroup Broad Investment Grade Bond Index was 1.23%. The Merrill Lynch 3-month T-bill index had a return of 1.67%.
We are generally pleased with the funds' performances over the last 12 months. All three had positive returns, but performance relative to benchmarks and the peer group varied.
Scudder Lifecycle Short Range Fund had a return of 2.28% (Investment Class), compared with 2.22% for its asset allocation benchmark. The asset allocation benchmark for this fund is a blend of 15% S&P 500 Index, 55% Citigroup Broad Investment Grade Bond Index and 30% Merrill Lynch 3-month T-bill index. This fund ranked in the 75th percentile of its Lipper peer group.
Scudder Lifecycle Mid Range Fund had a return of 3.50% (Investment Class), compared with 3.29% for its asset allocation benchmark. The asset allocation benchmark for this fund is a blend of 35% S&P 500 Index, 45% Citigroup Broad Investment Grade Bond Index and 20% Merrill Lynch 3-month T-bill index. This fund also ranked in the 75th percentile of the Lipper peer group.
Scudder Lifecycle Long Range Fund had a return of 4.92% (Investment Class), compared with 4.34% for its asset allocation benchmark. The asset allocation benchmark for this fund is a blend of 55% S&P 500 Index, 35% Citigroup Broad Investment Grade Bond Index and 10% Merrill Lynch 3-month T-bill index. This fund ranked in the 42nd percentile of the Lipper peer group.
Q: What were the main factors that affected the funds' performances?
A: All three funds were overweight in equities relative to their targets, and these overweight positions in equities made an important contribution to performance, especially in the fourth quarter of 2004, when equity markets were quite strong. For the long-range and mid-range funds, the ESIF strategy was also slightly positive; for the short-range fund, it was neutral.
The funds' bond positions were invested with exposure to currencies other than the US dollar, with a corresponding reduction in dollar-denominated investments. This positioning made a positive contribution to performance, as the dollar weakened relative to other currencies over the year.
The funds' bond strategy added to returns for the year, in spite of an underweight position in bonds for most of the period. In particular, performance benefited from exposure to German government bond futures, which rose in price after they moved from rates above US bonds to rates below US bonds.5
5 A futures contract gives the holder the right to purchase the underlying security at a specific price on a specific date in the future.
6 A government budget deficit occurs when expenditures are greater than revenues. A trade deficit occurs when the value of imports exceeds the value of exports.
While the S&P 500 Index is the official benchmark for the Lifecycle funds, we also compare performance to other funds with similar investment objectives. For this comparison, we use the Lipper Flexible Portfolio Funds category for the Lifecycle Long Range and Lifecycle Mid Range funds. The peer group for the Lifecycle Short Range fund is the Lipper Income category. The stock and bond positions in the Lifecycle funds performed in line with their indexes, so that differences in performance versus the peer group resulted mainly from decisions regarding the proportions of stocks and bonds. Relative to their Lipper peer groups, the Long Range and Mid Range funds generally have a lower proportion of assets invested in equities because many funds in the peer group are permitted to hold a higher percentage of equities. This means that when equity markets are strong, as they were over the last year, the funds tend to underperform the peer group.
Q: In this environment, what is the outlook for the near future?
A: There are several causes for concern among investors, particularly the continuing instability in the Middle East, which is a factor in rising energy prices. If competitive conditions enhance corporations' ability to raise prices to offset rising costs, inflation could become more of a concern. However, hourly wages are not showing significant increases, and profit margins continue to be good.
For US investors, the weakness of the dollar and the budget and trade deficits in this country are also potential negatives.6 There are no clear signs that global imbalances are correcting. However, the world's economies continue to be relatively strong despite these concerns. Monetary policy in the United States and other countries, particularly Japan, continues to be supportive of economic growth.
Since global bond yields remain relatively low, equities appear attractive relative to bonds. We anticipate that both short-term and long-term interest rates in the United States will move up steadily through 2005, pushing bond prices lower.
The judgments of our investment teams around the world support the view that equities are still inexpensive relative to fixed-income securities. Concerns over margins and the ability of companies to generate growth could begin to limit upside potential, but continued earnings gains point to rising stock prices. We believe that European securities offer tremendous value relative to stocks of companies based in the United States. Although we do not think the US dollar is in danger of severe weakness, the current account deficit may cause the dollar to continue falling in value relative to other currencies. We therefore believe performance will benefit from holding securities denominated in currencies other than the dollar.
It now appears in our view, that the US economy (measured by real growth in gross domestic product) is likely to grow at a rate between 3% and 4% for 2005, and we believe that corporate earnings will grow at a rate of 8% to 9% this year, which is a little higher than we would have predicted a few months ago.
Most international economies continue to expand at a moderate pace. Consensus estimates among economists call for growth in 2005 of approximately 2% in Japan and 1.7% to 2% in Europe. China's economy now appears likely to continue expanding at a rapid pace.
Investment flows are strong across a broad range of asset classes. There are good fundamental signs, and investors seem willing to take a moderate degree of risk.
Q: Do you have other comments for shareholders?
A: The positioning of these funds is similar to what it has been over the past year. Because we believe that stocks offer good value relative to bonds, the funds' equity positions continue to be above their benchmark levels. Since we expect rising interest rates, the funds' bond positions remain below their benchmarks.
While the current environment certainly involves risks such as high energy prices and political instability in many parts of the world, we believe there is potential for global economic growth and continued market strength.
We believe that diversification is essential to a solid investment program, and Scudder Lifecycle funds, with their investments in multiple asset classes, provide a suitable vehicle for investors who seek solid returns with reduced volatility.
A disciplined asset allocation approach such as the one exhibited in Scudder Lifecycle funds enables investors to take advantage of a wide range of investment opportunities with a moderate degree of risk. In closing, we would like to thank our investors for continued interest in Scudder Lifecycle funds.
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) | 3/31/05 | 3/31/04 |
| ||
Common Stocks | 56% | 55% |
Bonds | 35% | 35% |
Short-Term Investments | 9% | 10% |
| 100% | 100% |
Five Largest Equity Holdings at March 31, 2005 | |
1. ExxonMobil Corp. Explorer and producer of oil and gas | 2.0% |
2. General Electric Co. Industrial conglomerate | 1.9% |
3. Microsoft Corp. Developer of computer software | 1.2% |
4. Citigroup, Inc. Provider of diversified financial services | 1.1% |
5. Johnson & Johnson Provider of health care products | 1.0% |
Five Largest Fixed Income Long-Term Securities at March 31, 2005 (5.7% of Net Assets) | |
1. US Treasury Note 3.625%, 7/15/2009 | 2.6% |
2. US Treasury Note 2.75%, 6/30/2006 | 1.2% |
3. US Treasury Bond 6.00%, 2/15/2026 | 0.9% |
4. Federal National Mortgage Association 5.50%, 5/1/2033 | 0.5% |
5. Federal Home Loan Mortgage Corp. "JD", Series 2778, 5.00%, 12/15/2032 | 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 20. A quarterly Fact Sheet is available upon request. Information concerning portfolio holdings of the Fund as of month end will be posted to scudder.com on the 15th 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) | 3/31/05 | 3/31/04 |
| ||
Bonds | 45% | 44% |
Common Stocks | 35% | 35% |
Short-Term Investments | 20% | 20% |
Preferred Stocks | — | 1% |
| 100% | 100% |
Five Largest Equity Holdings at March 31, 2005 | |
1. ExxonMobil Corp. Explorer and producer of oil and gas | 1.2% |
2. General Electric Co. Industrial conglomerate | 1.2% |
3. Microsoft Corp. Developer of computer software | 0.8% |
4. Citigroup, Inc. Provider of diversified financial services | 0.7% |
5. Johnson & Johnson Provider of health care products | 0.6% |
Five Largest Fixed Income Long-Term Securities at March 31, 2005 (6.6% of Net Assets) | |
1. US Treasury Bond 7.25%, 5/15/2016 | 1.4% |
2. Virginia Multi-Family Housing Revenue 6.51%, 5/1/2019 | 1.4% |
3. Lansing, MI, Water & Sewer Revenue 7.3%, 7/1/2006 | 1.4% |
4. US Treasury Bond 6.00%, 2/15/2026 | 1.3% |
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 36. A quarterly Fact Sheet is available upon request. Information concerning portfolio holdings of the Fund as of month end will be posted to scudder.com on the 15th 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) | 3/31/05 | 3/31/04 |
| ||
Bonds | 54% | 53% |
Short-Term Investments | 31% | 32% |
Common Stocks | 15% | 14% |
Preferred Stocks | — | 1% |
| 100% | 100% |
Five Largest Equity Holdings at March 31, 2005 | |
1. ExxonMobil Corp. Explorer and producer of oil and gas | 0.5% |
2. General Electric Co. Industrial conglomerate | 0.5% |
3. Microsoft Corp. Developer of computer software | 0.3% |
4. Citigroup, Inc. Provider of diversified financial services | 0.3% |
5. Johnson & Johnson Provider of health care products | 0.3% |
Five Largest Fixed Income Long-Term Securities at March 31, 2005 (8.4% of Net Assets) | |
1. US Treasury Note 3.625%, 7/15/2009 | 2.8% |
2. Virginia, Multi Family Housing Revenue 6.51%, 5/1/2019 | 1.6% |
3. US Treasury Note 3.00%, 2/15/2009 | 1.5% |
4. US Treasury Bond 6.00%, 2/15/2026 | 1.4% |
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 52. A quarterly Fact Sheet is available upon request. Information concerning portfolio holdings of the Fund as of month end will be posted to scudder.com on the 15th 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, D.C. 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 55.1% | ||
Consumer Discretionary 6.2% | ||
Auto Components 0.2% | ||
Dana Corp. | 31,900 | 408,001 |
Delphi Corp. | 22,200 | 99,456 |
Goodyear Tire & Rubber Co.* | 25,400 | 339,090 |
Johnson Controls, Inc. | 7,600 | 423,776 |
Visteon Corp. | 5,200 | 29,692 |
| 1,300,015 | |
Automobiles 0.1% | ||
Ford Motor Co. | 72,300 | 819,159 |
General Motors Corp. | 600 | 17,634 |
Harley-Davidson, Inc. | 700 | 40,432 |
| 877,225 | |
Distributors 0.0% | ||
Genuine Parts Co. | 6,900 | 300,081 |
Hotels Restaurants & Leisure 0.8% | ||
Carnival Corp. | 20,800 | 1,077,648 |
Darden Restaurants, Inc. | 17,200 | 527,696 |
Harrah's Entertainment, Inc. | 4,500 | 290,610 |
Hilton Hotels Corp. | 15,200 | 339,720 |
Marriott International, Inc., "A" | 7,900 | 528,194 |
McDonald's Corp. | 50,200 | 1,563,228 |
Starbucks Corp.* | 15,800 | 816,228 |
Starwood Hotels & Resorts Worldwide, Inc. | 8,400 | 504,252 |
Wendy's International, Inc. | 4,500 | 175,680 |
YUM! Brands, Inc. | 11,500 | 595,815 |
| 6,419,071 | |
Household Durables 0.4% | ||
Black & Decker Corp. | 3,200 | 252,768 |
Centex Corp. | 5,000 | 286,350 |
Fortune Brands, Inc. | 5,700 | 459,591 |
KB Home | 4,500 | 528,570 |
Leggett & Platt, Inc. | 7,600 | 219,488 |
Maytag Corp. | 3,100 | 43,307 |
Newell Rubbermaid, Inc. | 10,900 | 239,146 |
Pulte Homes, Inc. | 9,400 | 692,122 |
Snap-on, Inc. | 2,300 | 73,117 |
The Stanley Works | 3,000 | 135,810 |
Whirlpool Corp. | 2,600 | 176,098 |
| 3,106,367 | |
Internet & Catalog Retail 0.2% | ||
eBay, Inc.* | 47,800 | 1,781,028 |
Leisure Equipment & Products 0.1% | ||
Brunswick Corp. | 3,800 | 178,030 |
Eastman Kodak Co. | 11,300 | 367,815 |
Hasbro, Inc. | 6,600 | 134,970 |
Mattel, Inc. | 16,500 | 352,275 |
| 1,033,090 | |
Media 2.0% | ||
Clear Channel Communications, Inc. | 1,900 | 65,493 |
Comcast Corp., "A"* | 87,300 | 2,948,994 |
Dow Jones & Co., Inc. | 2,800 | 104,636 |
Gannett Co., Inc. | 1,800 | 142,344 |
Interpublic Group of Companies, Inc.* | 16,700 | 205,076 |
Knight-Ridder, Inc. | 3,000 | 201,750 |
McGraw-Hill Companies, Inc. | 7,500 | 654,375 |
News Corp., "A" | 113,800 | 1,925,496 |
Omnicom Group, Inc. | 7,300 | 646,196 |
Time Warner, Inc.* | 200,700 | 3,522,285 |
Univision Communications, Inc., "A"* | 11,600 | 321,204 |
Viacom, Inc., "B" | 67,300 | 2,344,059 |
Walt Disney Co. | 80,800 | 2,321,384 |
| 15,403,292 | |
Multiline Retail 0.6% | ||
Big Lots, Inc.* | 4,500 | 54,090 |
Dillard's, Inc., "A" | 2,800 | 75,320 |
Dollar General Corp. | 11,900 | 260,729 |
Federated Department Stores, Inc. | 6,700 | 426,388 |
Kohl's Corp.* | 12,900 | 666,027 |
Nordstrom, Inc. | 4,900 | 271,362 |
Sears Holdings Corp. | 5,718 | 761,466 |
Target Corp. | 35,300 | 1,765,706 |
| 4,281,088 | |
Specialty Retail 1.4% | ||
AutoNation, Inc.* | 26,900 | 509,486 |
AutoZone, Inc.* | 2,700 | 231,390 |
Bed Bath & Beyond, Inc.* | 11,900 | 434,826 |
Best Buy Co., Inc. | 11,800 | 637,318 |
Circuit City Stores, Inc. | 29,400 | 471,870 |
Home Depot, Inc. | 86,700 | 3,315,408 |
Limited Brands, Inc. | 15,100 | 366,930 |
Lowe's Companies, Inc. | 36,500 | 2,083,785 |
Office Depot, Inc.* | 27,500 | 609,950 |
Sherwin-Williams Co. | 5,000 | 219,950 |
Staples, Inc. | 19,600 | 616,028 |
The Gap, Inc. | 29,000 | 633,360 |
TJX Companies, Inc. | 19,000 | 467,970 |
Toys "R" Us, Inc.* | 8,500 | 218,960 |
| 10,817,231 | |
Textiles, Apparel & Luxury Goods 0.4% | ||
Coach, Inc.* | 13,600 | 770,168 |
Jones Apparel Group, Inc. | 4,800 | 160,752 |
Liz Claiborne, Inc. | 4,300 | 172,559 |
NIKE, Inc., "B" | 9,000 | 749,790 |
Reebok International Ltd. | 10,000 | 443,000 |
VF Corp. | 9,800 | 579,572 |
| 2,875,841 | |
Consumer Staples 5.4% | ||
Beverages 1.2% | ||
Anheuser-Busch Companies, Inc. | 30,700 | 1,454,873 |
Brown-Forman Corp., "B" | 3,500 | 191,625 |
Coca-Cola Co. | 89,500 | 3,729,465 |
Molson Coors Brewing Co., "B" | 6,600 | 509,322 |
Pepsi Bottling Group, Inc. | 7,800 | 217,230 |
PepsiCo, Inc. | 66,300 | 3,515,889 |
| 9,618,404 | |
Food & Staples Retailing 1.4% | ||
Albertsons, Inc. | 14,600 | 301,490 |
Costco Wholesale Corp. | 4,000 | 176,720 |
CVS Corp. | 15,800 | 831,396 |
Kroger Co.* | 29,000 | 464,870 |
Safeway, Inc.* | 17,700 | 327,981 |
Sysco Corp. | 6,700 | 239,860 |
Wal-Mart Stores, Inc. | 133,800 | 6,704,718 |
Walgreen Co. | 40,300 | 1,790,126 |
| 10,837,161 | |
Food Products 0.6% | ||
Archer-Daniels-Midland Co. | 24,600 | 604,668 |
Campbell Soup Co. | 12,900 | 374,358 |
ConAgra Foods, Inc. | 20,400 | 551,208 |
General Mills, Inc. | 14,400 | 707,760 |
H.J. Heinz Co. | 13,800 | 508,392 |
Hershey Foods Corp. | 8,600 | 519,956 |
Kellogg Co. | 13,800 | 597,126 |
Sara Lee Corp. | 31,200 | 691,392 |
| 4,554,860 | |
Household Products 1.0% | ||
Clorox Co. | 6,100 | 384,239 |
Colgate-Palmolive Co. | 20,800 | 1,085,136 |
Kimberly-Clark Corp. | 19,000 | 1,248,870 |
Procter & Gamble Co. | 99,600 | 5,278,800 |
| 7,997,045 | |
Personal Products 0.4% | ||
Avon Products, Inc. | 18,600 | 798,684 |
Gillette Co. | 39,100 | 1,973,768 |
| 2,772,452 | |
Tobacco 0.8% | ||
Altria Group, Inc. | 87,000 | 5,688,930 |
Reynolds American, Inc. | 4,600 | 370,714 |
UST, Inc. | 6,600 | 341,220 |
| 6,400,864 | |
Energy 5.1% | ||
Energy Equipment & Services 0.8% | ||
Baker Hughes, Inc. | 13,400 | 596,166 |
BJ Services Co. | 6,400 | 332,032 |
Halliburton Co. | 4,800 | 207,600 |
Nabors Industries Ltd.* | 11,400 | 674,196 |
National-Oilwell, Inc.* | 13,800 | 644,460 |
Noble Corp. | 10,000 | 562,100 |
Rowan Companies, Inc. | 13,000 | 389,090 |
Schlumberger Ltd. | 23,200 | 1,635,136 |
Transocean, Inc.* | 19,700 | 1,013,762 |
| 6,054,542 | |
Oil & Gas 4.3% | ||
Amerada Hess Corp. | 3,400 | 327,114 |
Anadarko Petroleum Corp. | 13,900 | 1,057,790 |
Apache Corp. | 12,900 | 789,867 |
Burlington Resources, Inc. | 15,300 | 766,071 |
ChevronTexaco Corp. | 68,500 | 3,994,235 |
ConocoPhillips | 30,700 | 3,310,688 |
Devon Energy Corp. | 18,900 | 902,475 |
El Paso Corp. | 25,400 | 268,732 |
EOG Resources, Inc. | 16,900 | 823,706 |
ExxonMobil Corp. | 257,900 | 15,370,840 |
Kerr-McGee Corp. | 6,400 | 501,312 |
Kinder Morgan, Inc. | 4,300 | 325,510 |
Marathon Oil Corp. | 13,700 | 642,804 |
Occidental Petroleum Corp. | 15,700 | 1,117,369 |
Sunoco, Inc. | 6,100 | 631,472 |
Unocal Corp. | 10,700 | 660,083 |
Valero Energy Corp. | 14,800 | 1,084,396 |
Williams Companies, Inc. | 22,500 | 423,225 |
XTO Energy, Inc. | 13,667 | 448,814 |
| 33,446,503 | |
Financials 10.8% | ||
Banks 3.4% | ||
AmSouth Bancorp. | 14,100 | 365,895 |
Bank of America Corp. | 160,000 | 7,056,000 |
BB&T Corp. | 21,700 | 848,036 |
Comerica, Inc. | 6,700 | 369,036 |
Compass Bancshares, Inc. | 4,900 | 222,460 |
Fifth Third Bancorp. | 5,400 | 232,092 |
First Horizon National Corp. | 5,800 | 236,582 |
Golden West Financial Corp. | 11,200 | 677,600 |
KeyCorp | 16,000 | 519,200 |
M&T Bank Corp. | 3,900 | 398,034 |
Marshall & Ilsley Corp. | 8,200 | 342,350 |
National City Corp. | 33,700 | 1,128,950 |
North Fork Bancorp., Inc. | 18,572 | 515,187 |
PNC Financial Services Group | 11,200 | 576,576 |
Regions Financial Corp. | 18,400 | 596,160 |
Sovereign Bancorp, Inc. | 14,800 | 327,968 |
SunTrust Banks, Inc. | 13,400 | 965,738 |
Synovus Financial Corp. | 12,300 | 342,678 |
US Bancorp. | 73,200 | 2,109,624 |
Wachovia Corp. | 62,600 | 3,186,966 |
Washington Mutual, Inc. | 34,500 | 1,362,750 |
Wells Fargo & Co. | 67,000 | 4,006,600 |
Zions Bancorp. | 3,500 | 241,570 |
| 26,628,052 | |
Capital Markets 1.6% | ||
Bank of New York Co., Inc. | 30,700 | 891,835 |
Bear Stearns Companies, Inc. | 7,900 | 789,210 |
E*TRADE Financial Corp.* | 35,900 | 430,800 |
Federated Investors, Inc., "B" | 3,800 | 107,578 |
Franklin Resources, Inc. | 12,700 | 871,855 |
Janus Capital Group, Inc. | 9,300 | 129,735 |
Lehman Brothers Holdings, Inc. | 14,600 | 1,374,736 |
Mellon Financial Corp. | 16,700 | 476,618 |
Merrill Lynch & Co., Inc. | 36,700 | 2,077,220 |
Morgan Stanley | 50,000 | 2,862,500 |
T. Rowe Price Group, Inc. | 4,900 | 290,962 |
The Goldman Sachs Group, Inc. | 20,800 | 2,287,792 |
| 12,590,841 | |
Consumer Finance 0.7% | ||
American Express Co. | 46,400 | 2,383,568 |
Capital One Financial Corp. | 9,800 | 732,746 |
MBNA Corp. | 50,400 | 1,237,320 |
Providian Financial Corp.* | 11,700 | 200,772 |
SLM Corp. | 17,000 | 847,280 |
| 5,401,686 | |
Diversified Financial Services 2.5% | ||
CIT Group, Inc. | 8,300 | 315,400 |
Citigroup, Inc. | 192,000 | 8,628,480 |
Countrywide Financial Corp. | 22,900 | 743,334 |
Fannie Mae | 38,200 | 2,079,990 |
Freddie Mac | 27,100 | 1,712,720 |
JPMorgan Chase & Co. | 122,200 | 4,228,120 |
MGIC Investment Corp. | 3,800 | 234,346 |
Moody's Corp. | 9,600 | 776,256 |
Principal Financial Group, Inc. | 11,800 | 454,182 |
| 19,172,828 | |
Insurance 2.2% | ||
ACE Ltd. | 11,200 | 462,224 |
AFLAC, Inc. | 19,900 | 741,474 |
Allstate Corp. | 26,800 | 1,448,808 |
Ambac Financial Group, Inc. | 4,300 | 321,425 |
American International Group, Inc. | 102,800 | 5,696,148 |
Aon Corp. | 12,500 | 285,500 |
Chubb Corp. | 7,600 | 602,452 |
Cincinnati Financial Corp. | 14,100 | 614,901 |
Hartford Financial Services Group, Inc. | 11,700 | 802,152 |
Lincoln National Corp. | 6,900 | 311,466 |
Loews Corp. | 11,000 | 808,940 |
MetLife, Inc. | 29,000 | 1,133,900 |
Progressive Corp. | 11,700 | 1,073,592 |
Prudential Financial, Inc. | 26,700 | 1,532,580 |
Safeco Corp. | 5,000 | 243,550 |
The St. Paul Travelers Companies, Inc. | 3,000 | 110,190 |
Torchmark Corp. | 4,200 | 219,240 |
UnumProvident Corp. | 11,800 | 200,836 |
XL Capital Ltd., "A" | 5,500 | 398,035 |
| 17,007,413 | |
Real Estate 0.4% | ||
Apartment Investment & Management Co., "A" (REIT) | 3,700 | 137,640 |
Archstone-Smith Trust, (REIT) | 17,900 | 610,569 |
Equity Office Properties Trust, (REIT) | 15,900 | 479,067 |
Equity Residential, (REIT) | 22,000 | 708,620 |
Plum Creek Timber Co., Inc., (REIT) | 7,300 | 260,610 |
ProLogis, (REIT) | 7,300 | 270,830 |
Simon Property Group, Inc., (REIT) | 8,800 | 533,104 |
| 3,000,440 | |
Health Care 7.3% | ||
Biotechnology 0.7% | ||
Amgen, Inc.* | 49,500 | 2,881,395 |
Applera Corp. — Applied Biosystems Group | 7,800 | 153,972 |
Biogen Idec, Inc.* | 13,100 | 452,081 |
Chiron Corp.* | 5,800 | 203,348 |
Genzyme Corp.* | 15,700 | 898,668 |
Gilead Sciences, Inc.* | 17,100 | 612,180 |
MedImmune, Inc.* | 24,100 | 573,821 |
| 5,775,465 | |
Health Care Equipment & Supplies 1.3% | ||
Bausch & Lomb, Inc. | 2,100 | 153,930 |
Baxter International, Inc. | 24,400 | 829,112 |
Becton, Dickinson & Co. | 15,800 | 923,036 |
Boston Scientific Corp.* | 30,000 | 878,700 |
C.R. Bard, Inc. | 9,300 | 633,144 |
Fisher Scientific International, Inc.* | 10,364 | 589,919 |
Guidant Corp. | 12,700 | 938,530 |
Hospira, Inc.* | 6,100 | 196,847 |
Medtronic, Inc. | 47,800 | 2,435,410 |
Millipore Corp.* | 2,000 | 86,800 |
PerkinElmer, Inc. | 5,200 | 107,276 |
St. Jude Medical, Inc.* | 14,300 | 514,800 |
Stryker Corp. | 14,800 | 660,228 |
Thermo Electron Corp.* | 6,300 | 159,327 |
Waters Corp.* | 4,700 | 168,213 |
Zimmer Holdings, Inc.* | 14,000 | 1,089,340 |
| 10,364,612 | |
Health Care Providers & Services 1.6% | ||
Aetna, Inc. | 11,600 | 869,420 |
AmerisourceBergen Corp. | 4,400 | 252,076 |
Cardinal Health, Inc. | 17,100 | 954,180 |
Caremark Rx, Inc.* | 26,600 | 1,058,148 |
CIGNA Corp. | 5,200 | 464,360 |
Express Scripts, Inc.* | 7,100 | 619,049 |
HCA, Inc. | 16,300 | 873,191 |
Health Management Associates, Inc., "A" | 9,600 | 251,328 |
Humana, Inc.* | 6,400 | 204,416 |
IMS Health, Inc. | 9,200 | 224,388 |
Laboratory Corp. of America Holdings* | 5,300 | 255,460 |
Manor Care, Inc. | 3,400 | 123,624 |
McKesson Corp. | 11,700 | 441,675 |
Medco Health Solutions, Inc.* | 10,900 | 540,313 |
Quest Diagnostics, Inc. | 3,600 | 378,468 |
Tenet Healthcare Corp.* | 49,400 | 569,582 |
UnitedHealth Group, Inc. | 25,300 | 2,413,114 |
WellPoint, Inc.* | 13,200 | 1,654,620 |
| 12,147,412 | |
Pharmaceuticals 3.7% | ||
Abbott Laboratories | 47,400 | 2,209,788 |
Allergan, Inc. | 5,200 | 361,244 |
Bristol-Myers Squibb Co. | 77,200 | 1,965,512 |
Eli Lilly & Co. | 32,700 | 1,703,670 |
Forest Laboratories, Inc.* | 13,800 | 509,910 |
Johnson & Johnson | 117,400 | 7,884,584 |
King Pharmaceuticals, Inc.* | 9,500 | 78,945 |
Merck & Co., Inc. | 87,200 | 2,822,664 |
Pfizer, Inc. | 270,300 | 7,100,781 |
Schering-Plough Corp. | 58,300 | 1,058,145 |
Watson Pharmaceuticals, Inc.* | 12,400 | 381,052 |
Wyeth | 52,800 | 2,227,104 |
| 28,303,399 | |
Industrials 6.6% | ||
Aerospace & Defense 1.3% | ||
Boeing Co. | 38,900 | 2,274,094 |
General Dynamics Corp. | 7,900 | 845,695 |
Goodrich Corp. | 4,700 | 179,963 |
Honeywell International, Inc. | 33,600 | 1,250,256 |
L-3 Communications Holdings, Inc. | 9,300 | 660,486 |
Lockheed Martin Corp. | 15,800 | 964,748 |
Northrop Grumman Corp. | 14,200 | 766,516 |
Raytheon Co. | 17,900 | 692,730 |
United Technologies Corp. | 20,200 | 2,053,532 |
| 9,688,020 | |
Air Freight & Logistics 0.6% | ||
FedEx Corp. | 11,900 | 1,118,005 |
Ryder System, Inc. | 10,500 | 437,850 |
United Parcel Service, Inc., "B" | 44,200 | 3,215,108 |
| 4,770,963 | |
Airlines 0.1% | ||
Delta Air Lines, Inc.* | 5,600 | 22,680 |
Southwest Airlines Co. | 29,100 | 414,384 |
| 437,064 | |
Building Products 0.1% | ||
American Standard Companies, Inc. | 7,100 | 330,008 |
Masco Corp. | 17,700 | 613,659 |
| 943,667 | |
Commercial Services & Supplies 0.6% | ||
Allied Waste Industries, Inc.* | 10,700 | 78,217 |
Apollo Group, Inc., "A"* | 6,600 | 488,796 |
Avery Dennison Corp. | 9,600 | 594,528 |
Cendant Corp. | 41,700 | 856,518 |
Cintas Corp. | 5,900 | 243,729 |
Equifax, Inc. | 5,300 | 162,657 |
Monster Worldwide, Inc.* | 4,700 | 131,835 |
Pitney Bowes, Inc. | 9,100 | 410,592 |
R.R. Donnelley & Sons Co. | 19,400 | 613,428 |
Robert Half International, Inc. | 6,400 | 172,544 |
Waste Management, Inc. | 22,500 | 649,125 |
| 4,401,969 | |
Electrical Equipment 0.2% | ||
American Power Conversion Corp. | 7,100 | 185,381 |
Cooper Industries, Ltd., "A" | 3,700 | 264,624 |
Emerson Electric Co. | 16,600 | 1,077,838 |
Rockwell Automation, Inc. | 6,900 | 390,816 |
| 1,918,659 | |
Industrial Conglomerates 2.7% | ||
3M Co. | 30,500 | 2,613,545 |
General Electric Co. | 418,600 | 15,094,716 |
Textron, Inc. | 5,300 | 395,486 |
Tyco International Ltd. | 79,500 | 2,687,100 |
| 20,790,847 | |
Machinery 0.7% | ||
Caterpillar, Inc. | 6,700 | 612,648 |
Cummins, Inc. | 5,200 | 365,820 |
Danaher Corp. | 10,900 | 582,169 |
Deere & Co. | 400 | 26,852 |
Eaton Corp. | 11,100 | 725,940 |
Illinois Tool Works, Inc. | 10,800 | 966,924 |
Ingersoll-Rand Co., "A" | 6,900 | 549,585 |
ITT Industries, Inc. | 3,600 | 324,864 |
Navistar International Corp.* | 2,600 | 94,640 |
PACCAR, Inc. | 6,900 | 499,491 |
Parker-Hannifin Corp. | 9,800 | 597,016 |
| 5,345,949 | |
Road & Rail 0.3% | ||
Burlington Northern Santa Fe Corp. | 14,900 | 803,557 |
CSX Corp. | 8,500 | 354,025 |
Norfolk Southern Corp. | 15,800 | 585,390 |
Union Pacific Corp. | 10,300 | 717,910 |
| 2,460,882 | |
Trading Companies & Distributors 0.0% | ||
W.W. Grainger, Inc. | 3,300 | 205,491 |
Information Technology 8.4% | ||
Communications Equipment 1.3% | ||
ADC Telecommunications, Inc.* | 32,000 | 63,680 |
Andrew Corp.* | 6,400 | 74,944 |
Avaya, Inc.* | 18,900 | 220,752 |
CIENA Corp.* | 22,600 | 38,872 |
Cisco Systems, Inc.* | 255,300 | 4,567,317 |
Comverse Technologies, Inc.* | 7,800 | 196,716 |
Corning, Inc.* | 87,000 | 968,310 |
JDS Uniphase Corp.* | 57,100 | 95,357 |
Lucent Technologies, Inc.* | 175,000 | 481,250 |
Motorola, Inc. | 54,300 | 812,871 |
QUALCOMM, Inc. | 65,000 | 2,382,250 |
Scientific-Atlanta, Inc. | 6,000 | 169,320 |
Tellabs, Inc.* | 18,200 | 132,860 |
| 10,204,499 | |
Computers & Peripherals 2.2% | ||
Apple Computer, Inc.* | 40,300 | 1,679,301 |
Dell, Inc.* | 106,000 | 4,072,520 |
EMC Corp.* | 122,900 | 1,514,128 |
Gateway, Inc.* | 11,900 | 47,957 |
Hewlett-Packard Co. | 82,200 | 1,803,468 |
International Business Machines Corp. | 64,400 | 5,884,872 |
Lexmark International, Inc., "A"* | 5,000 | 399,850 |
NCR Corp.* | 7,300 | 246,302 |
Network Appliance, Inc.* | 14,500 | 401,070 |
QLogic Corp.* | 9,900 | 400,950 |
Sun Microsystems, Inc.* | 133,400 | 538,936 |
| 16,989,354 | |
Electronic Equipment & Instruments 0.1% | ||
Agilent Technologies, Inc.* | 17,000 | 377,400 |
Jabil Circuit, Inc.* | 7,200 | 205,344 |
Sanmina-SCI Corp.* | 20,600 | 107,532 |
Solectron Corp.* | 38,400 | 133,248 |
Symbol Technologies, Inc. | 9,600 | 139,104 |
Tektronix, Inc. | 3,500 | 85,855 |
| 1,048,483 | |
Internet Software & Services 0.2% | ||
Yahoo!, Inc.* | 51,500 | 1,745,850 |
IT Consulting & Services 0.7% | ||
Affiliated Computer Services, Inc., "A"* | 11,500 | 612,260 |
Automatic Data Processing, Inc. | 23,000 | 1,033,850 |
Computer Sciences Corp.* | 7,600 | 348,460 |
Convergys Corp.* | 5,700 | 85,101 |
Electronic Data Systems Corp. | 20,400 | 421,668 |
First Data Corp. | 31,700 | 1,246,127 |
Fiserv, Inc.* | 16,600 | 660,680 |
Paychex, Inc. | 14,100 | 462,762 |
Sabre Holdings Corp. | 5,200 | 113,776 |
SunGard Data Systems, Inc.* | 11,400 | 393,300 |
Unisys Corp.* | 13,300 | 93,898 |
| 5,471,882 | |
Office Electronics 0.1% | ||
Xerox Corp.* | 37,800 | 572,670 |
Semiconductors & Semiconductor Equipment 1.6% | ||
Advanced Micro Devices, Inc.* | 31,400 | 506,168 |
Altera Corp.* | 27,900 | 551,862 |
Applied Materials, Inc.* | 81,300 | 1,321,125 |
Applied Micro Circuits Corp.* | 12,200 | 40,138 |
Broadcom Corp., "A"* | 11,500 | 344,080 |
Freescale Semiconductor, Inc., "B"* | 15,912 | 274,482 |
Intel Corp. | 246,000 | 5,714,580 |
Linear Technology Corp. | 12,200 | 467,382 |
LSI Logic Corp.* | 57,900 | 323,661 |
Micron Technology, Inc.* | 24,300 | 251,262 |
National Semiconductor Corp. | 14,000 | 288,540 |
Novellus Systems, Inc.* | 14,900 | 398,277 |
NVIDIA Corp.* | 6,600 | 156,816 |
PMC-Sierra, Inc.* | 7,100 | 62,480 |
Teradyne, Inc.* | 7,700 | 112,420 |
Texas Instruments, Inc. | 68,000 | 1,733,320 |
| 12,546,593 | |
Software 2.2% | ||
Adobe Systems, Inc. | 9,600 | 644,832 |
Autodesk, Inc. | 9,000 | 267,840 |
BMC Software, Inc.* | 8,800 | 132,000 |
Citrix Systems, Inc.* | 6,800 | 161,976 |
Computer Associates International, Inc. | 21,000 | 569,100 |
Compuware Corp.* | 60,700 | 437,040 |
Electronic Arts, Inc.* | 12,200 | 631,716 |
Intuit, Inc.* | 7,300 | 319,521 |
Mercury Interactive Corp.* | 10,600 | 502,228 |
Microsoft Corp. | 399,600 | 9,658,332 |
Novell, Inc.* | 15,000 | 89,400 |
Oracle Corp.* | 177,500 | 2,215,200 |
Parametric Technology Corp.* | 10,700 | 59,813 |
Siebel Systems, Inc.* | 20,300 | 185,339 |
Symantec Corp.* | 28,000 | 597,240 |
VERITAS Software Corp.* | 16,700 | 387,774 |
| 16,859,351 | |
Materials 1.6% | ||
Chemicals 1.0% | ||
Air Products & Chemicals, Inc. | 9,000 | 569,610 |
Dow Chemical Co. | 37,700 | 1,879,345 |
E.I. du Pont de Nemours & Co. | 39,400 | 2,018,856 |
Eastman Chemical Co. | 3,000 | 177,000 |
Ecolab, Inc. | 8,800 | 290,840 |
Engelhard Corp. | 4,800 | 144,144 |
Hercules, Inc.* | 4,400 | 63,712 |
International Flavors & Fragrances, Inc. | 3,500 | 138,250 |
Monsanto Co. | 10,500 | 677,250 |
PPG Industries, Inc. | 6,900 | 493,488 |
Praxair, Inc. | 12,700 | 607,822 |
Rohm & Haas Co. | 7,700 | 369,600 |
Sigma-Aldrich Corp. | 2,700 | 165,375 |
| 7,595,292 | |
Construction Materials 0.0% | ||
Vulcan Materials Co. | 4,000 | 227,320 |
Containers & Packaging 0.2% | ||
Ball Corp. | 12,000 | 497,760 |
Bemis Co., Inc. | 4,200 | 130,704 |
Pactiv Corp.* | 5,900 | 137,765 |
Sealed Air Corp.* | 9,900 | 514,206 |
Temple-Inland, Inc. | 2,300 | 166,865 |
| 1,447,300 | |
Metals & Mining 0.2% | ||
Alcoa, Inc. | 13,500 | 410,265 |
Freeport-McMoRan Copper & Gold, Inc., "B"* | 15,800 | 625,838 |
Newmont Mining Corp. | 2,300 | 97,175 |
Nucor Corp. | 6,300 | 362,628 |
United States Steel Corp. | 4,500 | 228,825 |
| 1,724,731 | |
Paper & Forest Products 0.2% | ||
Georgia-Pacific Corp. | 10,200 | 361,998 |
International Paper Co. | 2,300 | 84,617 |
MeadWestvaco Corp. | 18,500 | 588,670 |
| 1,035,285 | |
Telecommunication Services 1.8% | ||
Diversified Telecommunication Services 1.6% | ||
ALLTEL Corp. | 18,100 | 992,785 |
AT&T Corp. | 31,700 | 594,375 |
BellSouth Corp. | 72,300 | 1,900,767 |
CenturyTel, Inc. | 5,300 | 174,052 |
Citizens Communications Co. | 13,300 | 172,102 |
Qwest Communications International, Inc.* | 66,000 | 244,200 |
SBC Communications, Inc. | 130,400 | 3,089,176 |
Sprint Corp. | 73,500 | 1,672,125 |
Verizon Communications, Inc. | 109,400 | 3,883,700 |
| 12,723,282 | |
Wireless Telecommunication Services 0.2% | ||
Nextel Communications, Inc., "A"* | 44,500 | 1,264,690 |
Utilities 1.9% | ||
Electric Utilities 1.2% | ||
Allegheny Energy, Inc.* | 5,500 | 113,630 |
Ameren Corp. | 7,700 | 377,377 |
American Electric Power Co. | 15,100 | 514,306 |
CenterPoint Energy, Inc. | 11,400 | 137,142 |
Cinergy Corp. | 7,600 | 307,952 |
Consolidated Edison, Inc. | 9,500 | 400,710 |
DTE Energy Co. | 6,900 | 313,812 |
Edison International | 22,700 | 788,144 |
Entergy Corp. | 8,400 | 593,544 |
Exelon Corp. | 7,300 | 334,997 |
FirstEnergy Corp. | 21,300 | 893,535 |
FPL Group, Inc. | 15,500 | 622,325 |
PG&E Corp.* | 14,200 | 484,220 |
Pinnacle West Capital Corp. | 3,600 | 153,036 |
PPL Corp. | 7,500 | 404,925 |
Progress Energy, Inc. | 9,800 | 411,110 |
Southern Co. | 29,300 | 932,619 |
TECO Energy, Inc. | 8,200 | 128,576 |
TXU Corp. | 13,800 | 1,098,894 |
Xcel Energy, Inc. | 15,800 | 271,444 |
| 9,282,298 | |
Gas Utilities 0.1% | ||
KeySpan Corp. | 6,400 | 249,408 |
Nicor, Inc. | 1,800 | 66,762 |
NiSource, Inc. | 10,700 | 243,853 |
Peoples Energy Corp. | 1,500 | 62,880 |
| 622,903 | |
Multi-Utilities 0.6% | ||
AES Corp.* | 46,400 | 760,032 |
Calpine Corp.* | 21,100 | 59,080 |
CMS Energy Corp.* | 27,300 | 355,992 |
Constellation Energy Group, Inc. | 7,000 | 361,900 |
Dominion Resources, Inc. | 13,400 | 997,362 |
Duke Energy Corp. | 37,000 | 1,036,370 |
Dynegy, Inc., "A"* | 13,100 | 51,221 |
Public Service Enterprise Group, Inc. | 9,400 | 511,266 |
Sempra Energy | 9,400 | 374,496 |
| 4,507,719 | |
Total Common Stocks (Cost $373,216,959) | 427,101,321 |
# | Principal Amount ($) | Value ($) |
|
| |
Corporate Bonds 5.9% | ||
Consumer Discretionary 0.5% | ||
Auburn Hills Trust, 12.375%, 5/1/2020 | 113,000 | 169,229 |
Comcast Cable Communications Holdings, Inc., 8.375%, 3/15/2013 | 2,035,000 | 2,418,054 |
Comcast MO of Delaware, Inc., 9.0%, 9/1/2008 | 195,000 | 219,613 |
DaimlerChrysler NA Holdings Corp., 4.75%, 1/15/2008 | 978,000 | 973,369 |
| 3,780,265 | |
Energy 0.2% | ||
CenterPoint Energy Resources Corp., Series B, 7.875%, 4/1/2013 | 500,000 | 579,581 |
Enterprise Products Operating LP: |
|
|
144A, 5.0%, 3/1/2015 | 457,000 | 428,410 |
7.5%, 2/1/2011 | 535,000 | 591,027 |
Pemex Project Funding Master Trust, 144A, 4.31%**, 6/15/2010 | 90,000 | 91,800 |
| 1,690,818 | |
Financials 3.0% | ||
Agfirst Farm Credit Bank, 8.393%, 12/15/2016 | 2,810,000 | 3,176,534 |
American General Finance Corp.: |
|
|
Series H, 4.0%, 3/15/2011 | 860,000 | 816,934 |
Series H, 4.625%, 9/1/2010 | 1,345,000 | 1,329,877 |
Duke Capital LLC, 4.302%, 5/18/2006 | 1,357,000 | 1,359,035 |
Ford Motor Credit Co.: |
|
|
5.8%, 1/12/2009 | 1,260,000 | 1,203,396 |
6.875%, 2/1/2006 | 3,288,000 | 3,332,710 |
General Electric Capital Corp., Series A, 4.875%, 3/4/2015 | 700,000 | 684,227 |
General Motors Acceptance Corp.: |
|
|
5.625%, 5/15/2009 | 384,000 | 350,313 |
6.75%, 1/15/2006 | 1,164,000 | 1,172,105 |
6.875%, 9/15/2011 | 510,000 | 461,469 |
Goldman Sachs Group, Inc.: |
|
|
4.75%, 7/15/2013 | 880,000 | 846,440 |
5.125%, 1/15/2015 | 550,000 | 536,973 |
HSBC Bank USA, 5.875%, 11/1/2034 | 810,000 | 815,333 |
HSBC Finance Corp., 4.125%, 3/11/2008 | 755,000 | 749,259 |
JPMorgan Capital XV, 5.875%, 3/15/2035 | 1,725,000 | 1,665,850 |
Merrill Lynch & Co., Inc., Series C, 5.0%, 1/15/2015 | 1,260,000 | 1,221,066 |
Morgan Stanley, 4.0%, 1/15/2010 | 884,000 | 851,024 |
OneAmerica Financial Partners, 144A, 7.0%, 10/15/2033 | 785,000 | 860,669 |
Pennsylvania Mutual Life Insurance Co., 144A, 6.65%, 6/15/2034 | 865,000 | 933,237 |
RAM Holdings Ltd., 144A, 6.875%, 4/1/2024 | 602,000 | 651,485 |
| 23,017,936 | |
Health Care 0.3% | ||
Health Care Service Corp., 144A, 7.75%, 6/15/2011 | 1,895,000 | 2,155,796 |
Industrials 0.3% | ||
BAE System 2001 Asset Trust, "B", Series 2001, 144A, 7.156%, 12/15/2011 | 118,879 | 127,087 |
D.R. Horton, Inc., 5.25%, 2/15/2015 | 1,355,000 | 1,237,964 |
K Hovnanian Enterprises, Inc., 144A, 6.25%, 1/15/2015 | 740,000 | 708,230 |
| 2,073,281 | |
Materials 0.4% | ||
Georgia-Pacific Corp.: |
|
|
7.75%, 11/15/2029 | 745,000 | 812,050 |
8.875%, 5/15/2031 | 380,000 | 457,900 |
Lubrizol Corp., 6.5%, 10/1/2034 | 1,587,000 | 1,657,720 |
Newmont Mining Corp., 5.875%, 4/1/2035 | 690,000 | 676,147 |
| 3,603,817 | |
Telecommunication Services 0.2% | ||
Anixter International, Inc., 5.95%, 3/1/2015 | 110,000 | 108,651 |
Bell Atlantic New Jersey, Inc., Series A, 5.875%, 1/17/2012 | 925,000 | 959,367 |
SBC Communications, Inc.: |
|
|
5.1%, 9/15/2014 | 95,000 | 92,595 |
5.625%, 6/15/2016 | 385,000 | 386,520 |
| 1,547,133 | |
Utilities 1.0% | ||
Consumers Energy Co., 6.25%, 9/15/2006 | 1,885,000 | 1,937,940 |
Old Dominion Electric Cooperative, Series A, 6.25%, 6/1/2011 | 2,605,000 | 2,817,961 |
Pedernales Electric Cooperative, Series 2002-A, 144A, 6.202%, 11/15/2032 | 1,730,000 | 1,870,130 |
Westar Energy, Inc., 5.95%, 1/1/2035 | 990,000 | 991,818 |
| 7,617,849 | |
Total Corporate Bonds (Cost $45,002,580) | 45,486,895 | |
| ||
Foreign Bonds — US$ Denominated 3.4% | ||
Energy 0.5% | ||
Eastern Energy Ltd., 144A, 7.25%, 12/1/2016 | 2,875,000 | 3,304,507 |
Nexen, Inc., 5.875%, 3/10/2035 | 700,000 | 669,536 |
| 3,974,043 | |
Financials 1.2% | ||
Arcel Finance Ltd., 144A, 5.984%, 2/1/2009 | 295,553 | 303,240 |
Deutsche Telekom International Finance BV, 8.75%, 6/15/2030 | 277,000 | 362,275 |
Korea First Bank, 144A, 5.75%, 3/10/2013 (d) | 499,000 | 514,092 |
Mantis Reef Ltd., 144A, 4.692%, 11/14/2008 | 2,875,000 | 2,841,662 |
PF Export Receivable Master Trust, 144A, 6.6%, 12/1/2011 | 1,248,335 | 1,326,643 |
QBE Insurance Group Ltd., 144A, 5.647%, 7/1/2023 | 345,000 | 340,526 |
Westfield Capital Corp.: |
|
|
144A, 4.375%, 11/15/2010 | 1,715,000 | 1,671,296 |
144A, 5.125%, 11/15/2014 | 1,775,000 | 1,748,329 |
| 9,108,063 | |
Industrials 0.9% | ||
Autopista Del Maipo, 144A, 7.373%, 6/15/2022 | 2,690,000 | 3,035,073 |
Tyco International Group SA: |
|
|
6.75%, 2/15/2011 | 2,318,000 | 2,511,743 |
6.875%, 1/15/2029 | 587,000 | 657,970 |
7.0%, 6/15/2028 | 563,000 | 639,099 |
| 6,843,885 | |
Materials 0.3% | ||
Sappi Papier Holding AG, 144A, 6.75%, 6/15/2012 | 1,125,000 | 1,220,293 |
Stora Enso Oyj, 7.375%, 5/15/2011 (d) | 1,110,000 | 1,250,626 |
| 2,470,919 | |
Sovereign Bonds 0.1% | ||
United Mexican States: |
|
|
Series A, 6.75%, 9/27/2034 (d) | 965,000 | 941,840 |
8.375%, 1/14/2011 | 70,000 | 79,660 |
| 1,021,500 | |
Telecommunication Services 0.4% | ||
America Movil SA de CV, Series L, 5.75%, 1/15/2015 | 750,000 | 724,915 |
British Telecommunications PLC, 8.875%, 12/15/2030 | 1,210,000 | 1,612,311 |
Telecom Italia Capital, 144A, 4.95%, 9/30/2014 | 875,000 | 838,168 |
| 3,175,394 | |
Total Foreign Bonds — US$ Denominated (Cost $25,685,484) | 26,593,804 | |
| ||
Asset Backed 2.3% | ||
Automobile Receivables 0.7% | ||
Drive Auto Receivables Trust: |
|
|
"A3", Series 2004-1, 144A, 3.5%, 8/15/2008 | 1,515,000 | 1,500,207 |
"A4", Series 2002-1, 144A, 4.09%, 1/15/2008 | 1,265,000 | 1,268,690 |
MMCA Automobile Trust: |
|
|
"A4", Series 2002-2, 4.3%, 3/15/2010 | 1,909,253 | 1,907,758 |
"A4", Series 2001-4, 4.92%, 8/15/2007 | 533,513 | 535,649 |
"B", Series 2002-1, 5.37%, 1/15/2010 | 410,626 | 411,796 |
Ryder Vehicle Lease Trust, "A4", Series 2001-A, 5.81%, 8/15/2006 | 70,894 | 70,894 |
| 5,694,994 | |
Credit Card Receivables 0.2% | ||
Capital One Multi-Asset Execution Trust, "B1", Series 2005-B1, 4.9%, 12/15/2017 | 1,365,000 | 1,354,763 |
Home Equity Loans 1.4% | ||
Advanta Mortgage Loan Trust, "A6", Series 2000-2, 7.72%, 3/25/2015 | 1,409,456 | 1,465,801 |
Centex Home Equity, "AF6", Series 2004-D, 4.67%, 9/25/2034 | 1,260,000 | 1,238,848 |
First Franklin Mortgage Loan Trust NIM, "N1", Series 2004-FFH4, 144A, 4.212%, 1/21/2035 | 2,356,314 | 2,357,728 |
Master ABS NIM Trust, "N1", Series 2005-CI8A, 144A, 4.702%, 2/26/2035 | 2,794,436 | 2,793,563 |
Merrill Lynch Mortgage Investors, Inc., "N1", Series 2005-NC1N, 144A, 5.0%, 10/25/2035 | 2,717,000 | 2,717,849 |
Novastar NIM Trust, "NOTE", Series 2004-N1, 144A, 4.458%, 2/26/2034 | 18,067 | 18,065 |
| 10,591,854 | |
Manufactured Housing Receivables 0.0% | ||
Greenpoint Manufactured Housing, "A3", Series 1999-5, 7.33%, 8/15/2020 | 473,780 | 474,042 |
Total Asset Backed (Cost $18,209,459) | 18,115,653 | |
| ||
US Government Agency Sponsored Pass-Throughs 3.9% | ||
Federal Home Loan Mortgage Corp., 6.0%, 10/1/2033 | 793,586 | 812,465 |
Federal National Mortgage Association: |
|
|
4.5% with various maturities from 4/1/2018 until 1/1/2033 (g) (i) | 3,808,133 | 3,686,323 |
5.0% with maturities of 3/1/2034 (i) | 2,554,762 | 2,504,945 |
5.5% with various maturities from 7/1/2024 until 11/1/2034 (g) (i) | 12,600,984 | 12,665,070 |
5.732%, 9/1/2014 | 2,808,210 | 2,955,730 |
6.0% with various maturities from 1/1/2024 until 4/1/2024 | 3,308,082 | 3,402,814 |
6.468%, 6/1/2009 | 1,815,338 | 1,909,208 |
6.5%, 11/1/2033 | 964,614 | 1,001,486 |
7.13%, 1/1/2012 | 1,125,096 | 1,167,924 |
9.0%, 11/1/2030 | 157,471 | 173,929 |
Total US Government Agency Sponsored Pass-Throughs (Cost $30,400,920) | 30,279,894 | |
| ||
Commercial and Non-Agency Mortgage-Backed Securities 2.2% | ||
Citigroup Mortgage Loan Trust, Inc., "1CB2", Series 2004-NCM2, 6.75%, 8/25/2034 | 2,205,266 | 2,288,652 |
Countrywide Alternative Loan Trust, "1A1", Series 2004-J1, 6.0%, 2/25/2034 | 511,757 | 518,782 |
DLJ Mortgage Acceptance Corp.: |
|
|
"A1B", Series 1997-CF2, 144A, 6.82%, 10/15/2030 | 982,391 | 1,027,527 |
"A1B", Series 1997-CF1, 144A, 7.6%, 5/15/2030 | 830,398 | 873,298 |
GMAC Commercial Mortgage Securities, Inc., "A3", Series 1997-C1, 6.869%, 7/15/2029 | 620,655 | 649,519 |
Master Alternative Loans Trust, "8A1", Series 2004-3, 7.0%, 4/25/2034 | 532,255 | 544,860 |
Master Asset Securitization Trust: |
|
|
"2A7", Series 2003-9, 5.5%, 10/25/2033 | 1,352,356 | 1,347,977 |
"8A1", Series 2003-6, 5.5%, 7/25/2033 | 949,099 | 944,057 |
Morgan Stanley Capital I, "C", Series 1997-ALIC, 6.84%, 1/15/2028 | 1,856,681 | 1,883,827 |
Residential Asset Securitization Trust, "A1", Series 2003-A11, 4.25%, 11/25/2033 | 1,595,983 | 1,595,977 |
TIAA Real Estate CDO Ltd., "A2", Series 2001-C1A, 144A, 6.3%, 6/19/2021 | 14,056 | 14,672 |
Washington Mutual: |
|
|
"A6", Series 2004-AR4, 3.808%, 6/25/2034 | 1,410,000 | 1,363,438 |
"A6", Series 2004-AR5, 3.858%, 6/25/2034 | 1,475,000 | 1,426,520 |
"A6", Series 2003-AR10, 4.076%, 10/25/2033 | 2,130,000 | 2,095,362 |
"4A1", Series 2002-S7, 4.5%, 11/25/2032 | 163,676 | 163,667 |
Total Commercial and Non-Agency Mortgage-Backed Securities (Cost $17,029,811) | 16,738,135 | |
| ||
Collateralized Mortgage Obligations 8.9% | ||
Fannie Mae Grantor Trust: |
|
|
"A2", Series 2002-T16, 7.0%, 7/25/2042 | 1,056,658 | 1,104,141 |
"A2", Series 2002-T19, 7.0%, 7/25/2042 | 1,007,411 | 1,053,111 |
Fannie Mae Whole Loan: |
|
|
"1A3", Series 2003-W18, 4.732%, 8/25/2043 | 1,241,175 | 1,242,859 |
"1A3", Series 2003-W19, 4.783%, 11/25/2033 | 1,270,000 | 1,269,363 |
"A23", Series 2004-W10, 5.0%, 8/25/2034 | 2,055,000 | 2,060,166 |
"2A", Series 2003-W8, 7.0%, 10/25/2042 | 1,381,695 | 1,444,592 |
"2A", Series 2002-W1, 7.5%, 2/25/2042 | 905,159 | 951,992 |
"5A", Series 2004-W2, 7.5%, 3/25/2044 | 1,249,743 | 1,322,285 |
Federal Home Loan Mortgage Corp.: |
|
|
"AU", Series 2759, 3.5%, 5/15/2019 | 1,399,000 | 1,387,970 |
"PY", Series 2726, 3.5%, 4/15/2026 | 1,770,000 | 1,756,233 |
"PX", Series 2628, 4.0%, 10/15/2016 | 2,025,000 | 1,979,035 |
"PB" , Series 2727, 4.25%, 4/15/2023 | 2,315,000 | 2,294,958 |
"LC", Series 2682, 4.5%, 7/15/2032 | 1,890,000 | 1,802,050 |
"TG", Series 2690, 4.5%, 4/15/2032 | 1,220,000 | 1,162,777 |
"HG", Series 2543, 4.75%, 9/15/2028 | 1,064,385 | 1,066,132 |
"BG", Series 2640, 5.0%, 2/15/2032 | 2,330,000 | 2,282,602 |
"EG", Series 2836, 5.0%, 12/15/2032 | 2,685,000 | 2,619,536 |
"JD", Series 2778, 5.0%, 12/15/2032 | 4,015,000 | 3,923,753 |
"NE", Series 2921, 5.0%, 9/15/2033 | 2,080,000 | 2,019,414 |
"PD", Series 2783, 5.0%, 1/15/2033 | 1,300,000 | 1,270,037 |
"PE", Series 2777, 5.0%, 4/15/2033 | 2,765,000 | 2,709,209 |
"PE", Series 2864, 5.0%, 6/15/2033 | 2,080,000 | 2,035,244 |
"PE", Series 2378, 5.5%, 11/15/2016 | 1,495,000 | 1,529,280 |
"PE", Series 2512, 5.5%, 2/15/2022 | 1,725,000 | 1,768,487 |
"BD", Series 2453, 6.0%, 5/15/2017 | 1,000,000 | 1,031,700 |
"3A", Series T-41, 7.5%, 7/25/2032 | 1,750,355 | 1,843,002 |
Federal National Mortgage Association: |
|
|
"A2", Series 2003-63, 2.34%, 7/25/2044 | 627,455 | 625,173 |
"TU", Series 2003-122, 4.0%, 5/25/2016 | 1,690,000 | 1,684,005 |
"NE", Series 2004-52, 4.5%, 7/25/2033 | 1,309,000 | 1,241,024 |
"QG", Series 2004-29, 4.5%, 12/25/2032 | 1,450,000 | 1,379,949 |
"UK", Series 2003-9, 4.5%, 11/25/2016 | 399,158 | 398,748 |
"WB", Series 2003-106, 4.5%, 10/25/2015 | 1,860,000 | 1,860,520 |
"A2", Series 2002-W10, 4.7%, 8/25/2042 | 5,955 | 5,943 |
"2A3", Series 2003-W15, 4.71%, 8/25/2043 | 1,883,252 | 1,884,628 |
"HE", Series 2005-22, 5.0%, 10/25/2033 | 1,290,000 | 1,255,130 |
"KH", Series 2003-92, 5.0%, 3/25/2032 | 1,230,000 | 1,203,255 |
"ME", Series 2005-14, 5.0%, 10/25/2033 | 2,650,000 | 2,579,578 |
"MC", Series 2002-56, 5.5%, 9/25/2017 | 1,000,524 | 1,013,685 |
"MG", Series 2002-2, 6.0%, 2/25/2017 | 2,605,359 | 2,688,890 |
"VD", Series 2002-56, 6.0%, 4/25/2020 | 44,566 | 45,282 |
"A2", Series 1998-M1, 6.25%, 1/25/2008 | 1,122,043 | 1,161,469 |
"1A2", Series 2003-W3, 7.0%, 8/25/2042 | 608,642 | 636,135 |
"A2", Series 2002-T4, 7.0%, 12/25/2041 | 1,286,525 | 1,343,062 |
Government National Mortgage Association: |
|
|
"GD", Series 2004-26, 5.0%, 11/16/2032 | 1,304,000 | 1,285,553 |
"QE", Series 2004-11, 5.0%, 12/16/2032 | 1,955,000 | 1,906,972 |
Total Collateralized Mortgage Obligations (Cost $69,816,383) | 69,128,929 | |
| ||
Municipal Investments 2.4% | ||
California, Urban Industrial Development Agency, Series 1A, 4.5%, 5/1/2010 (f) | 2,550,000 | 2,515,192 |
Delaware River, DE, Port Authority, Port District Project, Series A, 7.27%, 1/1/2007 (f) | 930,000 | 978,323 |
Hudson County, NJ, Improvement Authority Lease Revenue, Weehawken Pershing Road, 5.72%, 3/1/2034 (f) | 880,000 | 903,197 |
Illinois, State General Obligation, 4.95%, 6/1/2023 | 1,670,000 | 1,616,042 |
Kentucky, Multi-Family Housing Revenue, Housing Assistance Corp., Series B, 7.2%, 2/1/2006 | 65,000 | 65,148 |
Lansing, MI, Water & Sewer Revenue, Board Water & Light Water Supply Steam, Series B, 7.3%, 7/1/2006 (f) | 3,155,000 | 3,284,166 |
Mount Laurel Township, NJ, Municipal Utitlities Authority, Utilities System Revenue, Series B, 3.9%, 7/1/2010 (f) | 950,000 | 914,517 |
San Diego, CA, Redevelopment Agency, Taxable Housing Allocation Series C, 5.81%, 9/1/2019 (f) | 2,300,000 | 2,350,899 |
Suffolk, VA, Multi-Family Housing Revenue, Redevelopment & Housing Authority, Series T, 6.6%, 7/1/2015 | 1,985,000 | 2,144,654 |
Washington, Economic Development Financial Authority, Economic Development Revenue,CSC Tacoma LLC Project Series A, 3.8%, 10/1/2011 (f) | 1,105,000 | 1,047,297 |
Washington, Economic Development Financial Authority, Economic Development Revenue,CSC Tacoma LLC Project Series A, 2.5%, 10/1/2007 (f) | 3,130,000 | 3,001,169 |
Total Municipal Investments (Cost $18,719,839) | 18,820,604 | |
| ||
Government National Mortgage Association 0.6% | ||
Government National Mortgage Association: |
|
|
6.0% with various maturities from 10/15/2033 until 9/15/2034 (Cost $4,239,324) | 4,100,204 | 4,212,519 |
| ||
US Government Backed 5.7% | ||
US Treasury Bills: |
|
|
2.356%, 4/21/2005 (h) | 5,310,000 | 5,303,186 |
2.869%***, 7/14/2005 (h) | 415,000 | 411,710 |
US Treasury Bond, 6.0%, 2/15/2026 (d) | 5,888,000 | 6,735,548 |
US Treasury Notes: |
|
|
2.75%, 6/30/2006 (d) | 9,410,000 | 9,315,166 |
3.0%, 2/15/2009 (d) | 484,000 | 465,453 |
3.625%, 7/15/2009 (d) | 20,843,000 | 20,439,980 |
3.875%, 2/15/2013 | 594,000 | 573,372 |
5.0%, 8/15/2011 (d) | 844,000 | 876,837 |
Total US Government Backed (Cost $44,203,723) | 44,121,252 |
# |
| Value ($) |
|
| |
Securities Lending Collateral 4.6% | ||
Daily Assets Fund Institutional, 2.83% (c) (e) (Cost $35,195,744) | 35,195,744 | 35,195,744 |
| ||
Cash Equivalents 7.9% | ||
Scudder Cash Management QP Trust, 2.69% (b) (Cost $61,479,890) | 61,479,890 | 61,479,890 |
# | % of Net Assets | Value ($) |
|
| |
Total Investment Portfolio (Cost $743,200,116) (a) | 102.9 | 797,274,640 |
Other Assets and Liabilities, Net | (2.9) | (22,205,519) |
Net Assets | 100.0 | 775,069,121 |
* 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 March 31, 2005.
*** Annualized yield at time of purchase; not a coupon rate.
(a) The cost for federal income tax purposes was $762,837,827. At March 31, 2005, net unrealized appreciation for all securities based on tax cost was $34,436,813. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $62,683,941 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $28,247,128.
(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 March 31, 2005 amounted to $34,676,970, which is 4.5% of total net assets.
(e) Represents collateral held in connection with securities lending.
(f) Bond is insured by one of these companies:
|
| As a % of Total Investment Portfolio |
AMBAC | American Municipal Bond Assurance Corp. | 0.1% |
FSA | Financial Security Assurance, Inc. | 0.1% |
MBIA | Municipal Bond Insurance Association | 1.4% |
XLCA | XL Capital Assurance | 0.3% |
(g) Mortgage dollar rolls included.
(h) At March 31, 2005 this security has been pledged to cover in whole or in part, initial margin requirements for open futures contracts.
(i) When-issued or forward delivery pools included.
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Federal National Mortgage Association and the Government National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in the investment portfolio.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
REIT: Real Estate Investment Trust
At March 31, 2005, open futures contracts purchased were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized (Depreciation) ($) |
Share Price Index 200 | 6/16/2005 | 70 | 5,753,248 | 5,577,742 | (175,506) |
S&P 500 Index | 6/16/2005 | 29 | 8,739,637 | 8,583,275 | (156,362) |
EOE Dutch Stock Index | 4/15/2005 | 96 | 9,234,057 | 9,177,808 | (56,249) |
Topix Index | 6/9/2005 | 248 | 27,475,112 | 27,302,434 | (172,678) |
Total net unrealized depreciation | (560,795) |
At March 31, 2005, open futures contracts sold short were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation ($) |
10 Year US Treasury Notes | 6/21/2005 | 725 | 80,055,696 | 79,217,578 | 838,118 |
The accompanying notes are an integral part of the financial statements.
| Value ($) | |
|
| |
Common Stocks 34.4% | ||
Consumer Discretionary 3.9% | ||
Auto Components 0.1% | ||
Dana Corp. | 1,200 | 15,348 |
Delphi Corp. | 800 | 3,584 |
Goodyear Tire & Rubber Co.* | 900 | 12,015 |
Johnson Controls, Inc. | 300 | 16,728 |
Visteon Corp. | 200 | 1,142 |
48,817 | ||
Automobiles 0.1% | ||
Ford Motor Co. | 2,600 | 29,458 |
Distributors 0.0% | ||
Genuine Parts Co. | 300 | 13,047 |
Hotels Restaurants & Leisure 0.5% | ||
Carnival Corp. | 800 | 41,448 |
Darden Restaurants, Inc. | 600 | 18,408 |
Harrah's Entertainment, Inc. | 200 | 12,916 |
Hilton Hotels Corp. | 600 | 13,410 |
Marriott International, Inc., "A" | 300 | 20,058 |
McDonald's Corp. | 1,800 | 56,052 |
Starbucks Corp.* | 600 | 30,996 |
Starwood Hotels & Resorts Worldwide, Inc. | 300 | 18,009 |
Wendy's International, Inc. | 200 | 7,808 |
YUM! Brands, Inc. | 400 | 20,724 |
239,829 | ||
Household Durables 0.2% | ||
Black & Decker Corp. | 100 | 7,899 |
Centex Corp. | 200 | 11,454 |
Fortune Brands, Inc. | 200 | 16,126 |
KB Home | 200 | 23,492 |
Leggett & Platt, Inc. | 300 | 8,664 |
Maytag Corp. | 100 | 1,397 |
Newell Rubbermaid, Inc. | 400 | 8,776 |
Pulte Homes, Inc. | 300 | 22,089 |
Snap-on, Inc. | 100 | 3,179 |
The Stanley Works | 100 | 4,527 |
Whirlpool Corp. | 100 | 6,773 |
114,376 | ||
Internet & Catalog Retail 0.1% | ||
eBay, Inc.* | 1,700 | 63,342 |
Leisure Equipment & Products 0.1% | ||
Brunswick Corp. | 100 | 4,685 |
Eastman Kodak Co. | 400 | 13,020 |
Hasbro, Inc. | 200 | 4,090 |
Mattel, Inc. | 600 | 12,810 |
34,605 | ||
Media 1.3% | ||
Clear Channel Communications, Inc. | 100 | 3,447 |
Comcast Corp., "A"* | 3,200 | 108,096 |
Dow Jones & Co., Inc. | 100 | 3,737 |
Gannett Co., Inc. | 100 | 7,908 |
Interpublic Group of Companies, Inc.* | 600 | 7,368 |
Knight-Ridder, Inc. | 100 | 6,725 |
McGraw-Hill Companies, Inc. | 300 | 26,175 |
News Corp., "A" | 4,200 | 71,064 |
Omnicom Group, Inc. | 300 | 26,556 |
Time Warner, Inc.* | 7,300 | 128,115 |
Univision Communications, Inc., "A"* | 400 | 11,076 |
Viacom, Inc., "B" | 2,500 | 87,075 |
Walt Disney Co. | 2,900 | 83,317 |
570,659 | ||
Multiline Retail 0.4% | ||
Big Lots, Inc.* | 200 | 2,404 |
Dillard's, Inc., "A" | 100 | 2,690 |
Dollar General Corp. | 400 | 8,764 |
Federated Department Stores, Inc. | 200 | 12,728 |
Kohl's Corp.* | 500 | 25,815 |
Nordstrom, Inc. | 200 | 11,076 |
Sears Holdings Corp. | 244 | 32,550 |
Target Corp. | 1,300 | 65,026 |
161,053 | ||
Specialty Retail 0.9% | ||
AutoNation, Inc.* | 1,000 | 18,940 |
AutoZone, Inc.* | 100 | 8,570 |
Bed Bath & Beyond, Inc.* | 400 | 14,616 |
Best Buy Co., Inc. | 400 | 21,604 |
Circuit City Stores, Inc. | 1,100 | 17,655 |
Home Depot, Inc. | 3,200 | 122,368 |
Limited Brands, Inc. | 600 | 14,580 |
Lowe's Companies, Inc. | 1,300 | 74,217 |
Office Depot, Inc.* | 1,000 | 22,180 |
Sherwin-Williams Co. | 200 | 8,798 |
Staples, Inc. | 700 | 22,001 |
The Gap, Inc. | 1,100 | 24,024 |
TJX Companies, Inc. | 700 | 17,241 |
Toys "R" Us, Inc.* | 300 | 7,728 |
394,522 | ||
Textiles, Apparel & Luxury Goods 0.2% | ||
Coach, Inc.* | 500 | 28,315 |
Jones Apparel Group, Inc. | 200 | 6,698 |
Liz Claiborne, Inc. | 200 | 8,026 |
NIKE, Inc., "B" | 300 | 24,993 |
Reebok International Ltd. | 400 | 17,720 |
VF Corp. | 400 | 23,656 |
109,408 | ||
Consumer Staples 3.4% | ||
Beverages 0.8% | ||
Anheuser-Busch Companies, Inc. | 1,100 | 52,129 |
Brown-Forman Corp., "B" | 100 | 5,475 |
Coca-Cola Co. | 3,300 | 137,511 |
Molson Coors Brewing Co., "B" | 200 | 15,434 |
Pepsi Bottling Group, Inc. | 300 | 8,355 |
PepsiCo, Inc. | 2,400 | 127,272 |
346,176 | ||
Food & Staples Retailing 0.9% | ||
Albertsons, Inc. | 500 | 10,325 |
Costco Wholesale Corp. | 100 | 4,418 |
CVS Corp. | 600 | 31,572 |
Kroger Co.* | 1,100 | 17,633 |
Safeway, Inc.* | 600 | 11,118 |
Sysco Corp. | 200 | 7,160 |
Wal-Mart Stores, Inc. | 4,900 | 245,539 |
Walgreen Co. | 1,500 | 66,630 |
394,395 | ||
Food Products 0.4% | ||
Archer-Daniels-Midland Co. | 900 | 22,122 |
Campbell Soup Co. | 500 | 14,510 |
ConAgra Foods, Inc. | 700 | 18,914 |
General Mills, Inc. | 500 | 24,575 |
H.J. Heinz Co. | 500 | 18,420 |
Hershey Foods Corp. | 300 | 18,138 |
Kellogg Co. | 500 | 21,635 |
Sara Lee Corp. | 1,100 | 24,376 |
162,690 | ||
Household Products 0.6% | ||
Clorox Co. | 200 | 12,598 |
Colgate-Palmolive Co. | 800 | 41,736 |
Kimberly-Clark Corp. | 700 | 46,011 |
Procter & Gamble Co. | 3,600 | 190,800 |
291,145 | ||
Personal Products 0.2% | ||
Avon Products, Inc. | 700 | 30,058 |
Gillette Co. | 1,400 | 70,672 |
100,730 | ||
Tobacco 0.5% | ||
Altria Group, Inc. | 3,200 | 209,248 |
Reynolds American, Inc. | 200 | 16,118 |
UST, Inc. | 200 | 10,340 |
235,706 | ||
Energy 3.2% | ||
Energy Equipment & Services 0.5% | ||
Baker Hughes, Inc. | 500 | 22,245 |
BJ Services Co. | 200 | 10,376 |
Halliburton Co. | 200 | 8,650 |
Nabors Industries Ltd.* | 400 | 23,656 |
National-Oilwell, Inc.* | 500 | 23,350 |
Noble Corp. | 400 | 22,484 |
Rowan Companies, Inc. | 500 | 14,965 |
Schlumberger Ltd. | 800 | 56,384 |
Transocean, Inc.* | 700 | 36,022 |
218,132 | ||
Oil & Gas 2.7% | ||
Amerada Hess Corp. | 100 | 9,621 |
Anadarko Petroleum Corp. | 500 | 38,050 |
Apache Corp. | 500 | 30,615 |
Burlington Resources, Inc. | 600 | 30,042 |
ChevronTexaco Corp. | 2,500 | 145,775 |
ConocoPhillips | 1,100 | 118,624 |
Devon Energy Corp. | 700 | 33,425 |
El Paso Corp. | 900 | 9,522 |
EOG Resources, Inc. | 600 | 29,244 |
ExxonMobil Corp. | 9,400 | 560,240 |
Kerr-McGee Corp. | 200 | 15,666 |
Kinder Morgan, Inc. | 200 | 15,140 |
Marathon Oil Corp. | 500 | 23,460 |
Occidental Petroleum Corp. | 600 | 42,702 |
Sunoco, Inc. | 200 | 20,704 |
Unocal Corp. | 400 | 24,676 |
Valero Energy Corp. | 500 | 36,635 |
Williams Companies, Inc. | 800 | 15,048 |
XTO Energy, Inc. | 533 | 17,515 |
1,216,704 | ||
Financials 6.7% | ||
Banks 2.1% | ||
AmSouth Bancorp. | 500 | 12,975 |
Bank of America Corp. | 5,800 | 255,780 |
BB&T Corp. | 800 | 31,264 |
Comerica, Inc. | 200 | 11,016 |
Compass Bancshares, Inc. | 200 | 9,080 |
Fifth Third Bancorp. | 200 | 8,596 |
First Horizon National Corp. | 200 | 8,158 |
Golden West Financial Corp. | 400 | 24,200 |
KeyCorp | 600 | 19,470 |
M&T Bank Corp. | 100 | 10,206 |
Marshall & Ilsley Corp. | 300 | 12,525 |
National City Corp. | 1,200 | 40,200 |
North Fork Bancorp., Inc. | 665 | 18,447 |
PNC Financial Services Group | 400 | 20,592 |
Regions Financial Corp. | 700 | 22,680 |
Sovereign Bancorp, Inc. | 500 | 11,080 |
SunTrust Banks, Inc. | 500 | 36,035 |
Synovus Financial Corp. | 400 | 11,144 |
US Bancorp. | 2,700 | 77,814 |
Wachovia Corp. | 2,300 | 117,093 |
Washington Mutual, Inc. | 1,300 | 51,350 |
Wells Fargo & Co. | 2,400 | 143,520 |
Zions Bancorp. | 100 | 6,902 |
960,127 | ||
Capital Markets 1.0% | ||
Bank of New York Co., Inc. | 1,100 | 31,955 |
Bear Stearns Companies, Inc. | 300 | 29,970 |
E*TRADE Financial Corp.* | 1,300 | 15,600 |
Federated Investors, Inc., "B" | 100 | 2,831 |
Franklin Resources, Inc. | 500 | 34,325 |
Janus Capital Group, Inc. | 300 | 4,185 |
Lehman Brothers Holdings, Inc. | 500 | 47,080 |
Mellon Financial Corp. | 600 | 17,124 |
Merrill Lynch & Co., Inc. | 1,300 | 73,580 |
Morgan Stanley | 1,800 | 103,050 |
T. Rowe Price Group, Inc. | 200 | 11,876 |
The Goldman Sachs Group, Inc. | 800 | 87,992 |
459,568 | ||
Consumer Finance 0.4% | ||
American Express Co. | 1,700 | 87,329 |
Capital One Financial Corp. | 400 | 29,908 |
MBNA Corp. | 1,800 | 44,190 |
Providian Financial Corp.* | 400 | 6,864 |
SLM Corp. | 600 | 29,904 |
198,195 | ||
Diversified Financial Services 1.5% | ||
CIT Group, Inc. | 300 | 11,400 |
Citigroup, Inc. | 7,000 | 314,580 |
Countrywide Financial Corp. | 800 | 25,968 |
Fannie Mae | 1,400 | 76,230 |
Freddie Mac | 1,000 | 63,200 |
JPMorgan Chase & Co. | 4,500 | 155,700 |
MGIC Investment Corp. | 100 | 6,167 |
Moody's Corp. | 400 | 32,344 |
Principal Financial Group, Inc. | 400 | 15,396 |
700,985 | ||
Insurance 1.4% | ||
ACE Ltd. | 400 | 16,508 |
AFLAC, Inc. | 700 | 26,082 |
Allstate Corp. | 1,000 | 54,060 |
Ambac Financial Group, Inc. | 200 | 14,950 |
American International Group, Inc. | 3,700 | 205,017 |
Aon Corp. | 500 | 11,420 |
Chubb Corp. | 300 | 23,781 |
Cincinnati Financial Corp. | 500 | 21,805 |
Hartford Financial Services Group, Inc. | 400 | 27,424 |
Lincoln National Corp. | 300 | 13,542 |
Loews Corp. | 400 | 29,416 |
MetLife, Inc. | 1,100 | 43,010 |
Progressive Corp. | 400 | 36,704 |
Prudential Financial, Inc. | 1,000 | 57,400 |
Safeco Corp. | 200 | 9,742 |
The St. Paul Travelers Companies, Inc. | 100 | 3,673 |
Torchmark Corp. | 200 | 10,440 |
UnumProvident Corp. | 400 | 6,808 |
XL Capital Ltd., "A" | 200 | 14,474 |
626,256 | ||
Real Estate 0.3% | ||
Apartment Investment & Management Co., "A" (REIT) | 100 | 3,720 |
Archstone-Smith Trust, (REIT) | 700 | 23,877 |
Equity Office Properties Trust, (REIT) | 600 | 18,078 |
Equity Residential, (REIT) | 800 | 25,768 |
Plum Creek Timber Co., Inc., (REIT) | 300 | 10,710 |
ProLogis, (REIT) | 300 | 11,130 |
Simon Property Group, Inc., (REIT) | 300 | 18,174 |
111,457 | ||
Health Care 4.6% | ||
Biotechnology 0.5% | ||
Amgen, Inc.* | 1,800 | 104,778 |
Applera Corp. — Applied Biosystems Group | 300 | 5,922 |
Biogen Idec, Inc.* | 500 | 17,255 |
Chiron Corp.* | 200 | 7,012 |
Genzyme Corp.* | 600 | 34,344 |
Gilead Sciences, Inc.* | 600 | 21,480 |
MedImmune, Inc.* | 900 | 21,429 |
212,220 | ||
Health Care Equipment & Supplies 0.8% | ||
Bausch & Lomb, Inc. | 100 | 7,330 |
Baxter International, Inc. | 900 | 30,582 |
Becton, Dickinson & Co. | 600 | 35,052 |
Boston Scientific Corp.* | 1,100 | 32,219 |
C.R. Bard, Inc. | 300 | 20,424 |
Fisher Scientific International, Inc.* | 348 | 19,808 |
Guidant Corp. | 500 | 36,950 |
Hospira, Inc.* | 200 | 6,454 |
Medtronic, Inc. | 1,700 | 86,615 |
Millipore Corp.* | 100 | 4,340 |
PerkinElmer, Inc. | 200 | 4,126 |
St. Jude Medical, Inc.* | 500 | 18,000 |
Stryker Corp. | 500 | 22,305 |
Thermo Electron Corp.* | 200 | 5,058 |
Waters Corp.* | 200 | 7,158 |
Zimmer Holdings, Inc.* | 500 | 38,905 |
375,326 | ||
Health Care Providers & Services 1.0% | ||
Aetna, Inc. | 400 | 29,980 |
AmerisourceBergen Corp. | 200 | 11,458 |
Cardinal Health, Inc. | 600 | 33,480 |
Caremark Rx, Inc.* | 1,000 | 39,780 |
CIGNA Corp. | 200 | 17,860 |
Express Scripts, Inc.* | 300 | 26,157 |
HCA, Inc. | 600 | 32,142 |
Health Management Associates, Inc., "A" | 400 | 10,472 |
Humana, Inc.* | 200 | 6,388 |
IMS Health, Inc. | 300 | 7,317 |
Laboratory Corp. of America Holdings* | 200 | 9,640 |
Manor Care, Inc. | 100 | 3,636 |
McKesson Corp. | 400 | 15,100 |
Medco Health Solutions, Inc.* | 400 | 19,828 |
Quest Diagnostics, Inc. | 100 | 10,513 |
Tenet Healthcare Corp.* | 1,800 | 20,754 |
UnitedHealth Group, Inc. | 900 | 85,842 |
WellPoint, Inc.* | 500 | 62,675 |
443,022 | ||
Pharmaceuticals 2.3% | ||
Abbott Laboratories | 1,700 | 79,254 |
Allergan, Inc. | 200 | 13,894 |
Bristol-Myers Squibb Co. | 2,800 | 71,288 |
Eli Lilly & Co. | 1,200 | 62,520 |
Forest Laboratories, Inc.* | 500 | 18,475 |
Johnson & Johnson | 4,300 | 288,788 |
King Pharmaceuticals, Inc.* | 300 | 2,493 |
Merck & Co., Inc. | 3,200 | 103,584 |
Pfizer, Inc. | 9,900 | 260,073 |
Schering-Plough Corp. | 2,100 | 38,115 |
Watson Pharmaceuticals, Inc.* | 500 | 15,365 |
Wyeth | 1,900 | 80,142 |
1,033,991 | ||
Industrials 4.0% | ||
Aerospace & Defense 0.8% | ||
Boeing Co. | 1,400 | 81,844 |
General Dynamics Corp. | 300 | 32,115 |
Goodrich Corp. | 200 | 7,658 |
Honeywell International, Inc. | 1,200 | 44,652 |
L-3 Communications Holdings, Inc. | 300 | 21,306 |
Lockheed Martin Corp. | 600 | 36,636 |
Northrop Grumman Corp. | 500 | 26,990 |
Raytheon Co. | 700 | 27,090 |
United Technologies Corp. | 700 | 71,162 |
349,453 | ||
Air Freight & Logistics 0.4% | ||
FedEx Corp. | 400 | 37,580 |
Ryder System, Inc. | 400 | 16,680 |
United Parcel Service, Inc., "B" | 1,600 | 116,384 |
170,644 | ||
Airlines 0.0% | ||
Delta Air Lines, Inc.* | 200 | 810 |
Southwest Airlines Co. | 1,100 | 15,664 |
16,474 | ||
Building Products 0.1% | ||
American Standard Companies, Inc. | 300 | 13,944 |
Masco Corp. | 600 | 20,802 |
34,746 | ||
Commercial Services & Supplies 0.3% | ||
Allied Waste Industries, Inc.* | 400 | 2,924 |
Apollo Group, Inc., "A"* | 200 | 14,812 |
Avery Dennison Corp. | 400 | 24,772 |
Cendant Corp. | 1,500 | 30,810 |
Cintas Corp. | 200 | 8,262 |
Equifax, Inc. | 200 | 6,138 |
Monster Worldwide, Inc.* | 200 | 5,610 |
Pitney Bowes, Inc. | 300 | 13,536 |
R.R. Donnelley & Sons Co. | 700 | 22,134 |
Robert Half International, Inc. | 200 | 5,392 |
Waste Management, Inc. | 800 | 23,080 |
157,470 | ||
Electrical Equipment 0.1% | ||
American Power Conversion Corp. | 300 | 7,833 |
Cooper Industries, Ltd., "A" | 100 | 7,152 |
Emerson Electric Co. | 600 | 38,958 |
Rockwell Automation, Inc. | 300 | 16,992 |
70,935 | ||
Industrial Conglomerates 1.7% | ||
3M Co. | 1,100 | 94,259 |
General Electric Co. | 15,300 | 551,718 |
Textron, Inc. | 200 | 14,924 |
Tyco International Ltd. | 2,900 | 98,020 |
758,921 | ||
Machinery 0.4% | ||
Caterpillar, Inc. | 200 | 18,288 |
Cummins, Inc. | 200 | 14,070 |
Danaher Corp. | 400 | 21,364 |
Eaton Corp. | 400 | 26,160 |
Illinois Tool Works, Inc. | 400 | 35,812 |
Ingersoll-Rand Co., "A" | 200 | 15,930 |
ITT Industries, Inc. | 100 | 9,024 |
Navistar International Corp.* | 100 | 3,640 |
PACCAR, Inc. | 200 | 14,478 |
Parker-Hannifin Corp. | 400 | 24,368 |
183,134 | ||
Road & Rail 0.2% | ||
Burlington Northern Santa Fe Corp. | 500 | 26,965 |
CSX Corp. | 300 | 12,495 |
Norfolk Southern Corp. | 600 | 22,230 |
Union Pacific Corp. | 400 | 27,880 |
89,570 | ||
Trading Companies & Distributors 0.0% | ||
W.W. Grainger, Inc. | 100 | 6,227 |
Information Technology 5.3% | ||
Communications Equipment 0.8% | ||
ADC Telecommunications, Inc.* | 1,200 | 2,388 |
Andrew Corp.* | 200 | 2,342 |
Avaya, Inc.* | 700 | 8,176 |
CIENA Corp.* | 800 | 1,376 |
Cisco Systems, Inc.* | 9,300 | 166,377 |
Comverse Technologies, Inc.* | 300 | 7,566 |
Corning, Inc.* | 3,200 | 35,616 |
JDS Uniphase Corp.* | 2,100 | 3,507 |
Lucent Technologies, Inc.* | 6,400 | 17,600 |
Motorola, Inc. | 2,000 | 29,940 |
QUALCOMM, Inc. | 2,400 | 87,960 |
Scientific-Atlanta, Inc. | 200 | 5,644 |
Tellabs, Inc.* | 700 | 5,110 |
373,602 | ||
Computers & Peripherals 1.4% | ||
Apple Computer, Inc.* | 1,500 | 62,505 |
Dell, Inc.* | 3,900 | 149,838 |
EMC Corp.* | 4,500 | 55,440 |
Gateway, Inc.* | 400 | 1,612 |
Hewlett-Packard Co. | 3,000 | 65,820 |
International Business Machines Corp. | 2,400 | 219,312 |
Lexmark International, Inc., "A"* | 200 | 15,994 |
NCR Corp.* | 300 | 10,122 |
Network Appliance, Inc.* | 500 | 13,830 |
QLogic Corp.* | 400 | 16,200 |
Sun Microsystems, Inc.* | 4,900 | 19,796 |
630,469 | ||
Electronic Equipment & Instruments 0.1% | ||
Agilent Technologies, Inc.* | 600 | 13,320 |
Jabil Circuit, Inc.* | 300 | 8,556 |
Sanmina-SCI Corp.* | 800 | 4,176 |
Solectron Corp.* | 1,400 | 4,858 |
Symbol Technologies, Inc. | 400 | 5,796 |
Tektronix, Inc. | 100 | 2,453 |
39,159 | ||
Internet Software & Services 0.1% | ||
Yahoo!, Inc.* | 1,900 | 64,410 |
IT Consulting & Services 0.4% | ||
Affiliated Computer Services, Inc., "A"* | 400 | 21,296 |
Automatic Data Processing, Inc. | 800 | 35,960 |
Computer Sciences Corp.* | 300 | 13,755 |
Convergys Corp.* | 200 | 2,986 |
Electronic Data Systems Corp. | 700 | 14,469 |
First Data Corp. | 1,200 | 47,172 |
Fiserv, Inc.* | 600 | 23,880 |
Paychex, Inc. | 500 | 16,410 |
Sabre Holdings Corp. | 200 | 4,376 |
SunGard Data Systems, Inc.* | 400 | 13,800 |
Unisys Corp.* | 500 | 3,530 |
197,634 | ||
Office Electronics 0.1% | ||
Xerox Corp.* | 1,400 | 21,210 |
Semiconductors & Semiconductor Equipment 1.0% | ||
Advanced Micro Devices, Inc.* | 1,100 | 17,732 |
Altera Corp.* | 1,000 | 19,780 |
Applied Materials, Inc.* | 3,000 | 48,750 |
Applied Micro Circuits Corp.* | 400 | 1,316 |
Broadcom Corp., "A"* | 400 | 11,968 |
Freescale Semiconductor, Inc., "B"* | 597 | 10,298 |
Intel Corp. | 9,000 | 209,070 |
Linear Technology Corp. | 400 | 15,324 |
LSI Logic Corp.* | 2,100 | 11,739 |
Micron Technology, Inc.* | 900 | 9,306 |
National Semiconductor Corp.* | 500 | 10,305 |
Novellus Systems, Inc.* | 500 | 13,365 |
NVIDIA Corp.* | 200 | 4,752 |
PMC-Sierra, Inc.* | 300 | 2,640 |
Teradyne, Inc.* | 300 | 4,380 |
Texas Instruments, Inc. | 2,500 | 63,725 |
454,450 | ||
Software 1.4% | ||
Adobe Systems, Inc. | 400 | 26,868 |
Autodesk, Inc. | 300 | 8,928 |
BMC Software, Inc.* | 300 | 4,500 |
Citrix Systems, Inc.* | 200 | 4,764 |
Computer Associates International, Inc. | 800 | 21,680 |
Compuware Corp.* | 2,200 | 15,840 |
Electronic Arts, Inc.* | 400 | 20,712 |
Intuit, Inc.* | 300 | 13,131 |
Mercury Interactive Corp.* | 400 | 18,952 |
Microsoft Corp. | 14,600 | 352,882 |
Novell, Inc.* | 500 | 2,980 |
Oracle Corp.* | 6,500 | 81,120 |
Parametric Technology Corp.* | 400 | 2,236 |
Siebel Systems, Inc.* | 700 | 6,391 |
Symantec Corp.* | 1,000 | 21,330 |
VERITAS Software Corp.* | 600 | 13,932 |
616,246 | ||
Materials 1.0% | ||
Chemicals 0.6% | ||
Air Products & Chemicals, Inc. | 300 | 18,987 |
Dow Chemical Co. | 1,400 | 69,790 |
E.I. du Pont de Nemours & Co. | 1,400 | 71,736 |
Eastman Chemical Co. | 100 | 5,900 |
Ecolab, Inc. | 300 | 9,915 |
Engelhard Corp. | 200 | 6,006 |
Hercules, Inc.* | 200 | 2,896 |
International Flavors & Fragrances, Inc. | 100 | 3,950 |
Monsanto Co. | 400 | 25,800 |
PPG Industries, Inc. | 200 | 14,304 |
Praxair, Inc. | 500 | 23,930 |
Rohm & Haas Co. | 300 | 14,400 |
Sigma-Aldrich Corp. | 100 | 6,125 |
273,739 | ||
Construction Materials 0.0% | ||
Vulcan Materials Co. | 100 | 5,683 |
Containers & Packaging 0.1% | ||
Ball Corp. | 400 | 16,592 |
Bemis Co., Inc. | 200 | 6,224 |
Pactiv Corp.* | 200 | 4,670 |
Sealed Air Corp.* | 400 | 20,776 |
Temple-Inland, Inc. | 100 | 7,255 |
55,517 | ||
Metals & Mining 0.2% | ||
Alcoa, Inc. | 500 | 15,195 |
Freeport-McMoRan Copper & Gold, Inc., "B"* | 600 | 23,766 |
Newmont Mining Corp. | 100 | 4,225 |
Nucor Corp. | 200 | 11,512 |
United States Steel Corp. | 200 | 10,170 |
64,868 | ||
Paper & Forest Products 0.1% | ||
Georgia-Pacific Corp. | 400 | 14,196 |
International Paper Co. | 100 | 3,679 |
MeadWestvaco Corp. | 700 | 22,274 |
40,149 | ||
Telecommunication Services 1.1% | ||
Diversified Telecommunication Services 1.0% | ||
ALLTEL Corp. | 700 | 38,395 |
AT&T Corp. | 1,200 | 22,500 |
BellSouth Corp. | 2,600 | 68,354 |
CenturyTel, Inc. | 200 | 6,568 |
Citizens Communications Co. | 500 | 6,470 |
Qwest Communications International, Inc.* | 2,400 | 8,880 |
SBC Communications, Inc. | 4,800 | 113,712 |
Sprint Corp. | 2,700 | 61,425 |
Verizon Communications, Inc. | 4,000 | 142,000 |
468,304 | ||
Wireless Telecommunication Services 0.1% | ||
Nextel Communications, Inc., "A"* | 1,600 | 45,472 |
Utilities 1.2% | ||
Electric Utilities 0.8% | ||
Allegheny Energy, Inc.* | 200 | 4,132 |
Ameren Corp. | 300 | 14,703 |
American Electric Power Co. | 600 | 20,436 |
CenterPoint Energy, Inc. | 400 | 4,812 |
Cinergy Corp. | 300 | 12,156 |
Consolidated Edison, Inc. | 300 | 12,654 |
DTE Energy Co. | 200 | 9,096 |
Edison International | 800 | 27,776 |
Entergy Corp. | 300 | 21,198 |
Exelon Corp. | 300 | 13,767 |
FirstEnergy Corp. | 800 | 33,560 |
FPL Group, Inc. | 600 | 24,090 |
PG&E Corp.* | 500 | 17,050 |
Pinnacle West Capital Corp. | 100 | 4,251 |
PPL Corp. | 300 | 16,197 |
Progress Energy, Inc. | 400 | 16,780 |
Southern Co. | 1,100 | 35,013 |
TECO Energy, Inc. | 300 | 4,704 |
TXU Corp. | 500 | 39,815 |
Xcel Energy, Inc. | 600 | 10,308 |
342,498 | ||
Gas Utilities 0.0% | ||
KeySpan Corp. | 200 | 7,794 |
Nicor, Inc. | 100 | 3,709 |
NiSource, Inc. | 400 | 9,116 |
Peoples Energy Corp. | 100 | 4,192 |
24,811 | ||
Multi-Utilities 0.4% | ||
AES Corp.* | 1,700 | 27,846 |
Calpine Corp.* | 800 | 2,240 |
CMS Energy Corp.* | 1,000 | 13,040 |
Constellation Energy Group, Inc. | 300 | 15,510 |
Dominion Resources, Inc. | 500 | 37,215 |
Duke Energy Corp. | 1,400 | 39,214 |
Dynegy, Inc., "A"* | 500 | 1,955 |
Public Service Enterprise Group, Inc. | 300 | 16,317 |
Sempra Energy | 300 | 11,952 |
165,289 | ||
Total Common Stocks (Cost $13,724,828) | 15,587,025 |
Principal Amount ($) | Value ($) | |
|
| |
Corporate Bonds 8.9% | ||
Consumer Discretionary 0.5% | ||
Auburn Hills Trust, 12.375%, 5/1/2020 | 24,000 | 35,942 |
Comcast Cable Communications Holdings, Inc., 8.375%, 3/15/2013 | 130,000 | 154,470 |
Tele-Communications, Inc., 10.125%, 4/15/2022 | 14,000 | 19,955 |
210,367 | ||
Energy 0.3% | ||
CenterPoint Energy Resources Corp., Series B, 7.875%, 4/1/2013 | 35,000 | 40,571 |
Enterprise Products Operating LP: |
|
|
6.375%, 2/1/2013 | 5,000 | 5,241 |
7.5%, 2/1/2011 | 79,000 | 87,273 |
Pemex Project Funding Master Trust, 144A, 4.31%**, 6/15/2010 | 5,000 | 5,100 |
138,185 | ||
Financials 4.3% | ||
Agfirst Farm Credit Bank, 8.393%, 12/15/2016 | 325,000 | 367,393 |
American General Finance Corp., Series H, 4.0%, 3/15/2011 | 73,000 | 69,344 |
Downey Financial Corp., 6.5%, 7/1/2014 | 65,000 | 66,830 |
Duke Capital LLC, 4.302%, 5/18/2006 | 75,000 | 75,113 |
Ford Motor Credit Co.: |
|
|
5.8%, 1/12/2009 | 70,000 | 66,855 |
6.875%, 2/1/2006 | 320,000 | 324,352 |
General Electric Capital Corp., Series A, 4.875%, 3/4/2015 | 48,000 | 46,918 |
General Motors Acceptance Corp.: |
|
|
6.75%, 1/15/2006 | 230,000 | 231,602 |
6.875%, 9/15/2011 | 41,000 | 37,098 |
Goldman Sachs Group, Inc., 4.75%, 7/15/2013 | 76,000 | 73,102 |
HSBC Finance Corp., 4.125%, 3/11/2008 | 145,000 | 143,897 |
JPMorgan Capital XV, 5.875%, 3/15/2035 | 55,000 | 53,114 |
Merrill Lynch & Co., Inc., Series C, 5.0%, 1/15/2015 | 90,000 | 87,219 |
Mizuho JGB Investment, 144A, 9.87%, 12/31/2049 | 100,000 | 113,951 |
Morgan Stanley, 4.0%, 1/15/2010 | 75,000 | 72,202 |
Pennsylvania Mutual Life Insurance Co., 144A, 6.65%, 6/15/2034 | 75,000 | 80,917 |
RAM Holdings Ltd., 144A, 6.875%, 4/1/2024 | 46,000 | 49,781 |
1,959,688 | ||
Health Care 0.5% | ||
Health Care Service Corp., 144A, 7.75%, 6/15/2011 | 215,000 | 244,589 |
Industrials 0.3% | ||
D.R. Horton, Inc., 5.25%, 2/15/2015 | 98,000 | 89,535 |
K Hovnanian Enterprises, Inc., 144A, 6.25%, 1/15/2015 | 55,000 | 52,639 |
142,174 | ||
Materials 0.9% | ||
Georgia-Pacific Corp.: |
|
|
7.75%, 11/15/2029 | 60,000 | 65,400 |
8.875%, 5/15/2031 | 30,000 | 36,150 |
Lubrizol Corp.: |
|
|
4.625%, 10/1/2009 | 155,000 | 152,688 |
6.5%, 10/1/2034 | 75,000 | 78,342 |
Newmont Mining Corp., 5.875%, 4/1/2035 | 50,000 | 48,996 |
381,576 | ||
Telecommunication Services 0.3% | ||
Anixter International, Inc., 5.95%, 3/1/2015 | 5,000 | 4,939 |
Bell Atlantic New Jersey, Inc., Series A, 5.875%, 1/17/2012 (d) | 80,000 | 82,972 |
SBC Communications, Inc.: |
|
|
4.125%, 9/15/2009 | 40,000 | 38,905 |
5.625%, 6/15/2016 | 25,000 | 25,099 |
151,915 | ||
Utilities 1.8% | ||
Consumers Energy Co., 6.25%, 9/15/2006 | 293,000 | 301,229 |
Ohio Valley Electric Corp., 144A, 5.94%, 2/12/2006 | 335,000 | 340,864 |
Pedernales Electric Cooperative, Series 2002-A, 144A, 6.202%, 11/15/2032 | 145,000 | 156,745 |
798,838 | ||
Total Corporate Bonds (Cost $3,975,927) | 4,027,332 | |
| ||
Foreign Bonds — US$ Denominated 4.1% | ||
Energy 0.1% | ||
Nexen, Inc., 5.875%, 3/10/2035 | 50,000 | 47,824 |
Financials 1.5% | ||
Deutsche Telekom International Finance BV, 8.75%, 6/15/2030 | 18,000 | 23,541 |
Korea First Bank, 144A, 5.75%, 3/10/2013 | 39,000 | 40,180 |
PF Export Receivable Master Trust, 144A, 6.6%, 12/1/2011 | 335,156 | 356,180 |
Westfield Capital Corp., 144A, 4.375%, 11/15/2010 | 255,000 | 248,502 |
668,403 | ||
Industrials 1.3% | ||
Autopista Del Maipo, 144A, 7.373%, 6/15/2022 | 455,000 | 513,367 |
Tyco International Group SA: |
|
|
6.875%, 1/15/2029 | 60,000 | 67,254 |
7.0%, 6/15/2028 | 35,000 | 39,731 |
620,352 | ||
Materials 0.4% | ||
Sappi Papier Holding AG, 144A, 6.75%, 6/15/2012 | 157,000 | 170,299 |
Sovereign Bonds 0.2% | ||
United Mexican States, Series A, 6.75%, 9/27/2034 | 85,000 | 82,960 |
Telecommunication Services 0.6% | ||
America Movil SA de CV, Series L, 5.75%, 1/15/2015 | 100,000 | 96,655 |
British Telecommunications PLC, 8.875%, 12/15/2030 | 90,000 | 119,924 |
Telecom Italia Capital, 5.25%, 11/15/2013 | 80,000 | 79,037 |
295,616 | ||
Total Foreign Bonds — US$ Denominated (Cost $1,812,520) | 1,885,454 | |
| ||
Asset Backed 3.8% | ||
Automobile Receivables 1.1% | ||
Drive Auto Receivables Trust, "A4", Series 2002-1, 144A, 4.09%, 1/15/2008 | 110,000 | 110,321 |
MMCA Automobile Trust: |
|
|
"A4", Series 2002-2, 4.3%, 3/15/2010 | 316,182 | 315,935 |
"A4", Series 2001-4, 4.92%, 8/15/2007 | 64,904 | 65,164 |
"B", Series 2002-1, 5.37%, 1/15/2010 | 35,535 | 35,636 |
527,056 | ||
Credit Card Receivables 0.2% | ||
Capital One Multi-Asset Execution Trust, "B1", Series 2005-B1, 4.9%, 12/15/2017 | 100,000 | 99,250 |
Home Equity Loans 2.3% | ||
Advanta Mortgage Loan Trust, "A6", Series 2000-2, 7.72%, 3/25/2015 | 270,214 | 281,017 |
Argent NIM Trust, "A", Series 2004-WN2, 144A, 4.55%, 4/25/2034 | 43,064 | 43,072 |
First Franklin Mortgage Loan Trust NIM, "N1", Series 2004-FFH4, 144A, 4.212%, 1/21/2035 | 170,735 | 170,838 |
Master ABS NIM Trust, "N1", Series 2005-CI8A, 144A, 4.702%, 2/26/2035 | 202,807 | 202,743 |
Merrill Lynch Mortgage Investors, Inc., "N1", Series 2005-NC1N, 144A, 5.0%, 10/25/2035 | 197,000 | 197,062 |
Park Place Securities NIM Trust, "A", Series 2004-MCW1, 144A, 4.458%, 9/25/2034 | 72,551 | 72,551 |
Renaissance NIM Trust, "A", Series 2004-A, 144A, 4.45%, 6/25/2034 | 63,543 | 63,493 |
1,030,776 | ||
Manufactured Housing Receivables 0.2% | ||
Greenpoint Manufactured Housing, "A3", Series 1999-5, 7.33%, 8/15/2020 | 86,407 | 86,454 |
Total Asset Backed (Cost $1,746,338) | 1,743,536 | |
| ||
US Government Agency Sponsored Pass-Throughs 3.3% | ||
Federal Home Loan Mortgage Corp., 6.0%, 12/1/2033 | 253,853 | 259,892 |
Federal National Mortgage Association: |
|
|
4.5% with various maturities from 3/1/2018 until 6/1/2033 (g) (i) | 294,845 | 286,403 |
5.0%, 5/1/2033 (g) (i) | 155,000 | 151,513 |
5.119%, 1/1/2035 | 113,935 | 113,301 |
5.42%, 11/1/2008 | 113,883 | 116,505 |
5.5% with various maturities from 7/1/2033 until 5/1/2034 | 527,462 | 529,034 |
9.0%, 11/1/2030 | 28,369 | 31,334 |
Total US Government Agency Sponsored Pass-Throughs (Cost $1,496,459) | 1,487,982 | |
| ||
Commercial and Non-Agency Mortgage-Backed Securities 3.7% | ||
Citigroup Mortgage Loan Trust, Inc., "1A2", Series 2004-NCM-1, 6.5%, 6/25/2034 | 127,481 | 131,943 |
Countrywide Alternative Loan Trust: |
|
|
"1A1", Series 2004-J1, 6.0%, 2/25/2034 | 60,997 | 61,834 |
"7A1", Series 2004-J2, 6.0%, 12/25/2033 | 77,954 | 78,879 |
CS First Boston Mortgage Securities Corp., "A2", Series 2001-CK3, 6.04%, 6/15/2034 | 105,000 | 106,794 |
DLJ Commercial Mortgage Corp., "A1A", Series 1998-CF1, 6.14%, 2/18/2031 | 66,499 | 66,416 |
DLJ Mortgage Acceptance Corp., "A1B", Series 1997-CF2, 144A, 6.82%, 10/15/2030 | 83,427 | 87,260 |
GMAC Commercial Mortgage Securities, Inc., "A3", Series 1997-C1, 6.869%, 7/15/2029 | 80,795 | 84,553 |
Greenwich Capital Commercial Funding Corp.: |
|
|
"AJ", Series 2005-GG3, 4.859%, 8/10/2042 | 60,000 | 58,589 |
"B", Series 2005-GG3, 4.894%, 8/10/2042 | 100,000 | 97,576 |
JP Morgan Commercial Mortgage Finance Corp., "A3", Series 1997-C5, 7.088%, 9/15/2029 | 160,401 | 167,936 |
Master Alternative Loans Trust: |
|
|
"2A1", Series 2004-3, 6.25%, 4/25/2034 | 242,595 | 248,508 |
"8A1", Series 2004-3, 7.0%, 4/25/2034 | 62,618 | 64,101 |
Master Asset Securitization Trust, "8A1", Series 2003-6, 5.5%, 7/25/2033 | 104,328 | 103,774 |
Morgan Stanley Capital I, "A1", Series 1999-FNV1, 6.12%, 3/15/2031 | 94,129 | 95,964 |
Residential Asset Securitization Trust, "A1", Series 2003-A11, 4.25%, 11/25/2033 | 149,835 | 149,834 |
Washington Mutual MSC Mortgage Pass-Through, "1A22", Series 2003-MS3, 5.75%, 3/25/2033 | 56,469 | 56,448 |
Total Commercial and Non-Agency Mortgage-Backed Securities (Cost $1,694,630) | 1,660,409 | |
| ||
Collateralized Mortgage Obligations 11.5% | ||
Fannie Mae Grantor Trust: |
|
|
"1A3", Series 2004-T2, 7.0%, 11/25/2043 | 68,051 | 71,208 |
"1A3", Series 2004-T3, 7.0%, 2/25/2044 | 36,191 | 37,676 |
"A2", Series 2002-T16, 7.0%, 7/25/2042 | 80,772 | 84,401 |
Fannie Mae Whole Loan: |
|
|
"2A3", Series 2003-W3, 4.16%, 6/25/2042 | 140,000 | 140,082 |
"1A3", Series 2003-W18, 4.732%, 8/25/2043 | 144,323 | 144,519 |
"2A", Series 2003-W8, 7.0%, 10/25/2042 | 85,259 | 89,140 |
"2A", Series 2002-W1, 7.5%, 2/25/2042 | 71,368 | 75,061 |
"5A", Series 2004-W2, 7.5%, 3/25/2044 | 213,705 | 226,110 |
Federal Home Loan Mortgage Corp.: |
|
|
"LB", Series 2755, 4.0%, 9/15/2023 | 154,364 | 153,219 |
"LJ", Series 2612, 4.0%, 7/15/2022 | 93,689 | 93,355 |
"NB", Series 2750, 4.0%, 12/15/2022 | 378,000 | 372,105 |
"TC", Series 2728, 4.0%, 2/15/2023 | 310,000 | 305,347 |
"LC", Series 2682, 4.5%, 7/15/2032 | 230,000 | 219,297 |
"ON", Series 2776, 4.5%, 11/15/2032 | 125,000 | 118,650 |
"BG", Series 2640, 5.0%, 2/15/2032 | 305,000 | 298,795 |
"BM", Series 2497, 5.0%, 2/15/2022 | 26,890 | 26,920 |
"JD", Series 2778, 5.0%, 12/15/2032 | 130,000 | 127,046 |
"OE", Series 2840, 5.0%, 2/15/2033 | 220,000 | 215,081 |
"PD", Series 2783, 5.0%, 1/15/2033 | 112,000 | 109,419 |
"PD", Series 2844, 5.0%, 12/15/2032 | 220,000 | 214,640 |
"PE", Series 2777, 5.0%, 4/15/2033 | 240,000 | 235,157 |
"TE", Series 2827, 5.0%, 4/15/2033 | 175,000 | 170,214 |
"QE", Series 2113, 6.0%, 11/15/2027 | 86,370 | 88,054 |
"Z", Series 2173, 6.5%, 7/15/2029 | 93,853 | 97,863 |
"B", Series 1997-M5, 6.65%, 8/25/2007 | 72,758 | 74,982 |
"C", Series 1997-M5, 6.74%, 8/25/2007 | 145,000 | 151,786 |
"3A", Series T-41, 7.5%, 7/25/2032 | 46,306 | 48,757 |
Federal National Mortgage Association: |
|
|
"NE", Series 2004-52, 4.5%, 7/25/2033 | 113,000 | 107,132 |
"1A5", Series 2003-W14, 4.71%, 9/25/2043 | 215,180 | 215,689 |
"KH", Series 2003-92, 5.0%, 3/25/2032 | 150,000 | 146,739 |
"ME", Series 2005-14, 5.0%, 10/25/2033 | 200,000 | 194,685 |
"PE", Series 2005-14, 5.0%, 12/25/2033 | 105,000 | 102,320 |
"1A2", Series 2003-W3, 7.0%, 8/25/2042 | 10,567 | 11,044 |
"A3", Series 2002-T19, 7.5%, 7/25/2042 | 118,133 | 124,812 |
Government National Mortgage Association: |
|
|
"PD", Series 2004-30, 5.0%, 2/20/2033 | 112,000 | 110,527 |
"QE", Series 2004-11, 5.0%, 12/16/2032 | 245,000 | 238,981 |
Total Collateralized Mortgage Obligations (Cost $5,314,101) | 5,240,813 | |
| ||
Municipal Investments 4.1% | ||
Delaware River, DE, Port Authority, Port District Project, Series A, 7.27%, 1/1/2007 (f) | 180,000 | 189,353 |
Houston, TX, Airport Revenue, 6.88%, 1/1/2028 (f) | 275,000 | 321,742 |
Illinois, State General Obligation, 4.95%, 6/1/2023 | 105,000 | 101,607 |
Lansing, MI, Water & Sewer Revenue, Board Water & Light Water Supply Steam, Series B, 7.3%, 7/1/2006 (f) | 605,000 | 629,769 |
Virginia, Multi-Family Housing Revenue, Housing Development Authority Series A, 6.51%, 5/1/2019 (f) | 610,000 | 634,375 |
Total Municipal Investments (Cost $1,731,822) | 1,876,846 | |
| ||
Government National Mortgage Association 1.2% | ||
Government National Mortgage Association: |
|
|
3.75%, 6/20/2026 | 310,000 | 306,346 |
6.0% with various maturities from 10/15/2033 until 7/20/2034 | 215,305 | 221,105 |
Total Government National Mortgage Association (Cost $534,025) | 527,451 | |
| ||
US Government Backed 9.8% | ||
US Treasury Bills: |
|
|
2.356%, 4/21/2005 (h) | 490,000 | 489,292 |
2.746%, 6/9/2005 | 2,700,000 | 2,686,244 |
2.869%***, 7/14/2005 (h) | 20,000 | 19,842 |
US Treasury Bonds: |
|
|
6.0%, 2/15/2026 (d) | 503,000 | 575,404 |
7.25%, 5/15/2016 | 525,000 | 643,802 |
US Treasury Note, 3.875%, 2/15/2013 | 27,000 | 26,062 |
Total US Government Backed (Cost $4,446,180) | 4,440,646 |
| Value ($) | |
|
| |
Securities Lending Collateral 1.5% | ||
Daily Assets Fund Institutional, 2.83% (c) (e) (Cost $664,113) | 664,113 | 664,113 |
| ||
Cash Equivalents 12.6% | ||
Scudder Cash Management QP Trust, 2.69% (b) (Cost $5,738,273) | 5,738,273 | 5,738,273 |
| % of Net Assets | Value ($) |
|
| |
Total Investment Portfolio (Cost $42,879,216) (a) | 98.9 | 44,879,880 |
Other Assets and Liabilities, Net | 1.1 | 477,513 |
Net Assets | 100.0 | 45,357,393 |
* 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 March 31, 2005.
*** Annualized yield at time of purchase; not a coupon rate.
(a) The cost for federal income tax purposes was $44,319,275. At March 31, 2005, net unrealized appreciation for all securities based on tax cost was $560,605. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $2,084,435 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $1,523,830.
(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 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 March 31, 2005 amounted to $654,955, which is 1.4% of total net assets.
(e) Represents collateral held in connection with securities lending.
(f) Bond is insured by one of these companies:
|
| As a % of Total Investment Portfolio |
FGIC | Financial Guaranty Insurance Company | 0.7% |
FSA | Financial Security Assurance, Inc. | 0.4% |
MBIA | Municipal Bond Insurance Association | 2.8% |
(g) Mortgage dollar rolls included.
(h) At March 31, 2005, this security has been pledged to cover in whole or in part, initial margin requirements for open futures contracts.
(i) When-issued or forward delivery pools included.
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Federal National Mortgage Association and the Government National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in the investment portfolio.
144A:Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
REIT: Real Estate Investment Trust
At March 31, 2005, open futures contracts purchased were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized |
Share Price Index 200 | 6/16/2005 | 3 | 246,682 | 239,046 | (7,636) |
Topix Index | 6/9/2005 | 12 | 1,328,572 | 1,321,085 | (7,487) |
10 Year Canadian Government Bond | 6/21/2005 | 9 | 827,497 | 829,693 | 2,196 |
EOE Dutch Stock Index | 4/15/2005 | 4 | 384,752 | 382,408 | (2,344) |
S&P 500 Index | 6/16/2005 | 1 | 301,842 | 295,975 | (5,867) |
Total net unrealized depreciation | (21,138) |
At March 31, 2005, open futures contracts sold short were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation ($) |
10 Year US Treasury Note | 6/21/2005 | 41 | 4,527,375 | 4,479,890 | 47,485 |
The accompanying notes are an integral part of the financial statements.
Shares | Value ($) | |
|
| |
Common Stocks 15.2% | ||
Consumer Discretionary 1.7% | ||
Auto Components 0.0% | ||
Dana Corp. | 218 | 2,788 |
Delphi Corp. | 143 | 641 |
Goodyear Tire & Rubber Co.* | 173 | 2,310 |
Johnson Controls, Inc. | 52 | 2,899 |
Visteon Corp. | 33 | 188 |
8,826 | ||
Automobiles 0.0% | ||
Ford Motor Co. | 493 | 5,586 |
General Motors Corp. | 4 | 117 |
Harley-Davidson, Inc. | 5 | 289 |
5,992 | ||
Distributors 0.0% | ||
Genuine Parts Co. | 45 | 1,957 |
Hotels Restaurants & Leisure 0.2% | ||
Carnival Corp. | 142 | 7,357 |
Darden Restaurants, Inc. | 117 | 3,590 |
Harrah's Entertainment, Inc. | 31 | 2,002 |
Hilton Hotels Corp. | 104 | 2,324 |
Marriott International, Inc., "A" | 54 | 3,611 |
McDonald's Corp. | 343 | 10,681 |
Starbucks Corp.* | 108 | 5,579 |
Starwood Hotels & Resorts Worldwide, Inc. | 57 | 3,422 |
Wendy's International, Inc. | 29 | 1,132 |
YUM! Brands, Inc. | 79 | 4,093 |
43,791 | ||
Household Durables 0.1% | ||
Black & Decker Corp. | 21 | 1,659 |
Centex Corp. | 34 | 1,947 |
Fortune Brands, Inc. | 39 | 3,145 |
KB Home | 31 | 3,641 |
Leggett & Platt, Inc. | 49 | 1,415 |
Maytag Corp. | 21 | 293 |
Newell Rubbermaid, Inc. | 70 | 1,536 |
Pulte Homes, Inc. | 64 | 4,712 |
Snap-on, Inc. | 15 | 477 |
The Stanley Works | 21 | 951 |
Whirlpool Corp. | 17 | 1,151 |
20,927 | ||
Internet & Catalog Retail 0.1% | ||
eBay, Inc.* | 326 | 12,147 |
Leisure Equipment & Products 0.0% | ||
Brunswick Corp. | 25 | 1,171 |
Eastman Kodak Co. | 77 | 2,507 |
Hasbro, Inc. | 45 | 920 |
Mattel, Inc. | 112 | 2,391 |
6,989 | ||
Media 0.6% | ||
Clear Channel Communications, Inc. | 13 | 448 |
Comcast Corp., "A"* | 596 | 20,133 |
Dow Jones & Co., Inc. | 21 | 785 |
Gannett Co., Inc. | 13 | 1,028 |
Interpublic Group of Companies, Inc.* | 109 | 1,338 |
Knight-Ridder, Inc. | 20 | 1,345 |
McGraw-Hill Companies, Inc. | 51 | 4,450 |
News Corp., "A" | 777 | 13,147 |
Omnicom Group, Inc. | 50 | 4,426 |
Time Warner, Inc.* | 1,369 | 24,026 |
Univision Communications, Inc., "A"* | 79 | 2,187 |
Viacom, Inc., "B" | 460 | 16,022 |
Walt Disney Co. | 552 | 15,859 |
105,194 | ||
Multiline Retail 0.2% | ||
Big Lots, Inc.* | 29 | 349 |
Dillard's, Inc., "A" | 21 | 565 |
Dollar General Corp. | 81 | 1,775 |
Federated Department Stores, Inc. | 46 | 2,927 |
Kohl's Corp.* | 88 | 4,543 |
Nordstrom, Inc. | 34 | 1,883 |
Sears Holdings Corp. | 40 | 5,284 |
Target Corp. | 241 | 12,055 |
29,381 | ||
Specialty Retail 0.4% | ||
AutoNation, Inc.* | 186 | 3,523 |
AutoZone, Inc.* | 18 | 1,542 |
Bed Bath & Beyond, Inc.* | 81 | 2,960 |
Best Buy Co., Inc. | 81 | 4,375 |
Circuit City Stores, Inc. | 197 | 3,162 |
Home Depot, Inc. | 592 | 22,638 |
Limited Brands, Inc. | 103 | 2,503 |
Lowe's Companies, Inc. | 249 | 14,215 |
Office Depot, Inc.* | 188 | 4,170 |
Sherwin-Williams Co. | 36 | 1,584 |
Staples, Inc. | 134 | 4,212 |
The Gap, Inc. | 198 | 4,324 |
TJX Companies, Inc. | 130 | 3,202 |
Toys "R" Us, Inc.* | 58 | 1,494 |
73,904 | ||
Textiles, Apparel & Luxury Goods 0.1% | ||
Coach, Inc.* | 93 | 5,267 |
Jones Apparel Group, Inc. | 31 | 1,038 |
Liz Claiborne, Inc. | 28 | 1,124 |
NIKE, Inc., "B" | 62 | 5,165 |
Reebok International Ltd. | 67 | 2,968 |
VF Corp. | 67 | 3,962 |
19,524 | ||
Consumer Staples 1.5% | ||
Beverages 0.3% | ||
Anheuser-Busch Companies, Inc. | 209 | 9,904 |
Brown-Forman Corp., "B" | 24 | 1,314 |
Coca-Cola Co. | 610 | 25,419 |
Molson Coors Brewing Co., "B" | 45 | 3,473 |
Pepsi Bottling Group, Inc. | 53 | 1,476 |
PepsiCo, Inc. | 452 | 23,969 |
65,555 | ||
Food & Staples Retailing 0.4% | ||
Albertsons, Inc. | 99 | 2,044 |
Costco Wholesale Corp. | 27 | 1,193 |
CVS Corp. | 108 | 5,683 |
Kroger Co.* | 198 | 3,174 |
Safeway, Inc.* | 121 | 2,242 |
Sysco Corp. | 46 | 1,647 |
Wal-Mart Stores, Inc. | 913 | 45,750 |
Walgreen Co. | 275 | 12,216 |
73,949 | ||
Food Products 0.2% | ||
Archer-Daniels-Midland Co. | 167 | 4,105 |
Campbell Soup Co. | 88 | 2,554 |
ConAgra Foods, Inc. | 139 | 3,756 |
General Mills, Inc. | 98 | 4,817 |
H.J. Heinz Co. | 95 | 3,500 |
Hershey Foods Corp. | 59 | 3,567 |
Kellogg Co. | 95 | 4,110 |
Sara Lee Corp. | 213 | 4,720 |
31,129 | ||
Household Products 0.3% | ||
Clorox Co. | 41 | 2,583 |
Colgate-Palmolive Co. | 142 | 7,408 |
Kimberly-Clark Corp. | 130 | 8,545 |
Procter & Gamble Co. | 680 | 36,040 |
54,576 | ||
Personal Products 0.1% | ||
Avon Products, Inc. | 127 | 5,453 |
Gillette Co. | 267 | 13,478 |
18,931 | ||
Tobacco 0.2% | ||
Altria Group, Inc. | 594 | 38,842 |
Reynolds American, Inc. | 31 | 2,498 |
UST, Inc. | 43 | 2,223 |
43,563 | ||
Energy 1.4% | ||
Energy Equipment & Services 0.2% | ||
Baker Hughes, Inc. | 91 | 4,049 |
BJ Services Co. | 44 | 2,283 |
Halliburton Co. | 33 | 1,427 |
Nabors Industries Ltd.* | 78 | 4,613 |
National-Oilwell, Inc.* | 95 | 4,436 |
Noble Corp. | 68 | 3,822 |
Rowan Companies, Inc. | 89 | 2,664 |
Schlumberger Ltd. | 159 | 11,206 |
Transocean, Inc.* | 135 | 6,947 |
41,447 | ||
Oil & Gas 1.2% | ||
Amerada Hess Corp. | 23 | 2,213 |
Anadarko Petroleum Corp. | 95 | 7,230 |
Apache Corp. | 88 | 5,388 |
Burlington Resources, Inc. | 104 | 5,207 |
ChevronTexaco Corp. | 468 | 27,289 |
ConocoPhillips | 210 | 22,647 |
Devon Energy Corp. | 129 | 6,160 |
El Paso Corp. | 166 | 1,756 |
EOG Resources, Inc. | 115 | 5,605 |
ExxonMobil Corp. | 1,760 | 104,896 |
Kerr-McGee Corp. | 44 | 3,447 |
Kinder Morgan, Inc. | 29 | 2,195 |
Marathon Oil Corp. | 94 | 4,411 |
Occidental Petroleum Corp. | 107 | 7,615 |
Sunoco, Inc. | 41 | 4,244 |
Unocal Corp. | 73 | 4,503 |
Valero Energy Corp. | 101 | 7,400 |
Williams Companies, Inc. | 154 | 2,897 |
XTO Energy, Inc. | 94 | 3,098 |
228,201 | ||
Financials 3.0% | ||
Banks 0.9% | ||
AmSouth Bancorp. | 96 | 2,491 |
Bank of America Corp. | 1,092 | 48,157 |
BB&T Corp. | 148 | 5,784 |
Comerica, Inc. | 44 | 2,424 |
Compass Bancshares, Inc. | 33 | 1,498 |
Fifth Third Bancorp. | 37 | 1,590 |
First Horizon National Corp. | 40 | 1,632 |
Golden West Financial Corp. | 76 | 4,598 |
KeyCorp | 109 | 3,537 |
M&T Bank Corp. | 27 | 2,756 |
Marshall & Ilsley Corp. | 57 | 2,380 |
National City Corp. | 230 | 7,705 |
North Fork Bancorp., Inc. | 127 | 3,523 |
PNC Financial Services Group | 76 | 3,912 |
Regions Financial Corp. | 125 | 4,050 |
Sovereign Bancorp, Inc. | 101 | 2,238 |
SunTrust Banks, Inc. | 91 | 6,558 |
Synovus Financial Corp. | 84 | 2,340 |
US Bancorp. | 500 | 14,410 |
Wachovia Corp. | 427 | 21,739 |
Washington Mutual, Inc. | 235 | 9,283 |
Wells Fargo & Co. | 457 | 27,329 |
Zions Bancorp. | 23 | 1,587 |
181,521 | ||
Capital Markets 0.5% | ||
Bank of New York Co., Inc. | 210 | 6,100 |
Bear Stearns Companies, Inc. | 54 | 5,395 |
E*TRADE Financial Corp.* | 245 | 2,940 |
Federated Investors, Inc., "B" | 28 | 793 |
Franklin Resources, Inc. | 87 | 5,972 |
Janus Capital Group, Inc. | 60 | 837 |
Lehman Brothers Holdings, Inc. | 99 | 9,322 |
Mellon Financial Corp. | 114 | 3,254 |
Merrill Lynch & Co., Inc. | 251 | 14,207 |
Morgan Stanley | 341 | 19,522 |
T. Rowe Price Group, Inc. | 33 | 1,959 |
The Goldman Sachs Group, Inc. | 142 | 15,619 |
85,920 | ||
Consumer Finance 0.2% | ||
American Express Co. | 316 | 16,233 |
Capital One Financial Corp. | 67 | 5,010 |
MBNA Corp. | 344 | 8,445 |
Providian Financial Corp.* | 80 | 1,373 |
SLM Corp. | 116 | 5,781 |
36,842 | ||
Diversified Financial Services 0.7% | ||
CIT Group, Inc. | 57 | 2,166 |
Citigroup, Inc. | 1,311 | 58,916 |
Countrywide Financial Corp. | 156 | 5,064 |
Fannie Mae | 261 | 14,211 |
Freddie Mac | 185 | 11,692 |
JPMorgan Chase & Co. | 834 | 28,856 |
MGIC Investment Corp. | 25 | 1,542 |
Moody's Corp. | 65 | 5,256 |
Principal Financial Group, Inc. | 79 | 3,041 |
130,744 | ||
Insurance 0.6% | ||
ACE Ltd. | 77 | 3,178 |
AFLAC, Inc. | 135 | 5,030 |
Allstate Corp. | 183 | 9,893 |
Ambac Financial Group, Inc. | 29 | 2,168 |
American International Group, Inc. | 702 | 38,898 |
Aon Corp. | 85 | 1,941 |
Chubb Corp. | 52 | 4,122 |
Cincinnati Financial Corp. | 95 | 4,143 |
Hartford Financial Services Group, Inc. | 80 | 5,485 |
Lincoln National Corp. | 47 | 2,122 |
Loews Corp. | 75 | 5,515 |
MetLife, Inc. | 198 | 7,742 |
Progressive Corp. | 80 | 7,341 |
Prudential Financial, Inc. | 182 | 10,447 |
Safeco Corp. | 34 | 1,656 |
The St. Paul Travelers Companies, Inc. | 21 | 771 |
Torchmark Corp. | 28 | 1,462 |
UnumProvident Corp. | 76 | 1,293 |
XL Capital Ltd., "A" | 38 | 2,750 |
115,957 | ||
Real Estate 0.1% | ||
Apartment Investment & Management Co., "A" (REIT) | 24 | 893 |
Archstone-Smith Trust (REIT) | 122 | 4,161 |
Equity Office Properties Trust (REIT) | 108 | 3,254 |
Equity Residential (REIT) | 150 | 4,831 |
Plum Creek Timber Co., Inc. (REIT) | 47 | 1,678 |
ProLogis (REIT) | 50 | 1,855 |
Simon Property Group, Inc. (REIT) | 60 | 3,635 |
20,307 | ||
Health Care 2.0% | ||
Biotechnology 0.2% | ||
Amgen, Inc.* | 338 | 19,675 |
Applera Corp. — Applied Biosystems Group | 51 | 1,007 |
Biogen Idec, Inc.* | 90 | 3,106 |
Chiron Corp.* | 40 | 1,402 |
Genzyme Corp.* | 107 | 6,125 |
Gilead Sciences, Inc.* | 117 | 4,188 |
MedImmune, Inc.* | 164 | 3,905 |
39,408 | ||
Health Care Equipment & Supplies 0.4% | ||
Bausch & Lomb, Inc. | 14 | 1,026 |
Baxter International, Inc. | 167 | 5,675 |
Becton, Dickinson & Co. | 108 | 6,309 |
Boston Scientific Corp.* | 205 | 6,004 |
C.R. Bard, Inc. | 63 | 4,289 |
Fisher Scientific International, Inc.* | 70 | 3,984 |
Guidant Corp. | 87 | 6,429 |
Hospira, Inc.* | 40 | 1,291 |
Medtronic, Inc. | 326 | 16,610 |
Millipore Corp.* | 13 | 564 |
PerkinElmer, Inc. | 33 | 681 |
St. Jude Medical, Inc.* | 97 | 3,492 |
Stryker Corp. | 103 | 4,595 |
Thermo Electron Corp.* | 41 | 1,037 |
Waters Corp.* | 31 | 1,110 |
Zimmer Holdings, Inc.* | 95 | 7,392 |
70,488 | ||
Health Care Providers & Services 0.4% | ||
Aetna, Inc. | 79 | 5,921 |
AmerisourceBergen Corp. | 30 | 1,719 |
Cardinal Health, Inc. | 117 | 6,529 |
Caremark Rx, Inc.* | 182 | 7,240 |
CIGNA Corp. | 35 | 3,126 |
Express Scripts, Inc.* | 48 | 4,185 |
HCA, Inc. | 111 | 5,946 |
Health Management Associates, Inc., "A" | 62 | 1,623 |
Humana, Inc.* | 43 | 1,373 |
IMS Health, Inc. | 60 | 1,463 |
Laboratory Corp. of America Holdings* | 36 | 1,735 |
Manor Care, Inc. | 22 | 800 |
McKesson Corp. | 80 | 3,020 |
Medco Health Solutions, Inc.* | 74 | 3,668 |
Quest Diagnostics, Inc. | 25 | 2,628 |
Tenet Healthcare Corp.* | 337 | 3,886 |
UnitedHealth Group, Inc. | 173 | 16,501 |
WellPoint, Inc.* | 90 | 11,282 |
82,645 | ||
Pharmaceuticals 1.0% | ||
Abbott Laboratories | 324 | 15,105 |
Allergan, Inc. | 35 | 2,432 |
Bristol-Myers Squibb Co. | 527 | 13,418 |
Eli Lilly & Co. | 223 | 11,618 |
Forest Laboratories, Inc.* | 95 | 3,510 |
Johnson & Johnson | 801 | 53,795 |
King Pharmaceuticals, Inc.* | 62 | 515 |
Merck & Co., Inc. | 595 | 19,260 |
Pfizer, Inc. | 1,845 | 48,468 |
Schering-Plough Corp. | 398 | 7,224 |
Watson Pharmaceuticals, Inc.* | 84 | 2,581 |
Wyeth | 360 | 15,185 |
193,111 | ||
Industrials 1.8% | ||
Aerospace & Defense 0.3% | ||
Boeing Co. | 265 | 15,492 |
General Dynamics Corp. | 54 | 5,781 |
Goodrich Corp. | 30 | 1,149 |
Honeywell International, Inc. | 229 | 8,521 |
L-3 Communications Holdings, Inc. | 63 | 4,474 |
Lockheed Martin Corp. | 108 | 6,595 |
Northrop Grumman Corp. | 97 | 5,236 |
Raytheon Co. | 122 | 4,721 |
United Technologies Corp. | 138 | 14,029 |
65,998 | ||
Air Freight & Logistics 0.2% | ||
FedEx Corp. | 81 | 7,610 |
Ryder System, Inc. | 72 | 3,002 |
United Parcel Service, Inc., "B" | 301 | 21,895 |
32,507 | ||
Airlines 0.0% | ||
Delta Air Lines, Inc.* | 36 | 146 |
Southwest Airlines Co. | 199 | 2,834 |
2,980 | ||
Building Products 0.0% | ||
American Standard Companies, Inc. | 49 | 2,278 |
Masco Corp. | 121 | 4,195 |
6,473 | ||
Commercial Services & Supplies 0.2% | ||
Allied Waste Industries, Inc.* | 82 | 599 |
Apollo Group, Inc., "A"* | 45 | 3,333 |
Avery Dennison Corp. | 66 | 4,087 |
Cendant Corp. | 284 | 5,833 |
Cintas Corp. | 40 | 1,652 |
Equifax, Inc. | 35 | 1,074 |
Monster Worldwide, Inc.* | 31 | 870 |
Pitney Bowes, Inc. | 62 | 2,798 |
R.R. Donnelley & Sons Co. | 133 | 4,206 |
Robert Half International, Inc. | 45 | 1,213 |
Waste Management, Inc. | 153 | 4,414 |
30,079 | ||
Electrical Equipment 0.1% | ||
American Power Conversion Corp. | 50 | 1,306 |
Cooper Industries, Ltd., "A" | 25 | 1,788 |
Emerson Electric Co. | 113 | 7,337 |
Rockwell Automation, Inc. | 47 | 2,662 |
13,093 | ||
Industrial Conglomerates 0.7% | ||
3M Co. | 208 | 17,823 |
General Electric Co. | 2,856 | 102,987 |
Textron, Inc. | 35 | 2,612 |
Tyco International Ltd. | 542 | 18,320 |
141,742 | ||
Machinery 0.2% | ||
Caterpillar, Inc. | 46 | 4,206 |
Cummins, Inc. | 35 | 2,462 |
Danaher Corp. | 74 | 3,952 |
Deere & Co. | 3 | 201 |
Eaton Corp. | 76 | 4,971 |
Illinois Tool Works, Inc. | 74 | 6,625 |
Ingersoll-Rand Co., "A" | 47 | 3,744 |
ITT Industries, Inc. | 24 | 2,166 |
Navistar International Corp.* | 18 | 655 |
PACCAR, Inc. | 47 | 3,402 |
Parker-Hannifin Corp. | 66 | 4,021 |
36,405 | ||
Road & Rail 0.1% | ||
Burlington Northern Santa Fe Corp. | 102 | 5,501 |
CSX Corp. | 58 | 2,416 |
Norfolk Southern Corp. | 108 | 4,001 |
Union Pacific Corp. | 70 | 4,879 |
16,797 | ||
Trading Companies & Distributors 0.0% | ||
W.W. Grainger, Inc. | 23 | 1,432 |
Information Technology 2.3% | ||
Communications Equipment 0.4% | ||
ADC Telecommunications, Inc.* | 208 | 414 |
Andrew Corp.* | 41 | 480 |
Avaya, Inc.* | 129 | 1,507 |
CIENA Corp.* | 147 | 253 |
Cisco Systems, Inc.* | 1,742 | 31,164 |
Comverse Technologies, Inc.* | 51 | 1,286 |
Corning, Inc.* | 594 | 6,611 |
JDS Uniphase Corp.* | 371 | 620 |
Lucent Technologies, Inc.* | 1,194 | 3,283 |
Motorola, Inc. | 370 | 5,539 |
QUALCOMM, Inc. | 444 | 16,273 |
Scientific-Atlanta, Inc. | 39 | 1,101 |
Tellabs, Inc.* | 118 | 861 |
69,392 | ||
Computers & Peripherals 0.6% | ||
Apple Computer, Inc.* | 275 | 11,459 |
Dell, Inc.* | 723 | 27,778 |
EMC Corp.* | 839 | 10,337 |
Gateway, Inc.* | 97 | 391 |
Hewlett-Packard Co. | 560 | 12,286 |
International Business Machines Corp. | 440 | 40,207 |
Lexmark International, Inc., "A"* | 34 | 2,719 |
NCR Corp.* | 50 | 1,687 |
Network Appliance, Inc.* | 101 | 2,794 |
QLogic Corp.* | 68 | 2,754 |
Sun Microsystems, Inc.* | 910 | 3,676 |
116,088 | ||
Electronic Equipment & Instruments 0.0% | ||
Agilent Technologies, Inc.* | 116 | 2,575 |
Jabil Circuit, Inc.* | 52 | 1,483 |
Sanmina-SCI Corp.* | 141 | 736 |
Solectron Corp.* | 250 | 868 |
Symbol Technologies, Inc. | 66 | 956 |
Tektronix, Inc. | 23 | 564 |
7,182 | ||
Internet Software & Services 0.1% | ||
Yahoo!, Inc.* | 352 | 11,933 |
IT Consulting & Services 0.2% | ||
Affiliated Computer Services, Inc., "A"* | 79 | 4,206 |
Automatic Data Processing, Inc. | 157 | 7,057 |
Computer Sciences Corp.* | 52 | 2,384 |
Convergys Corp.* | 37 | 553 |
Electronic Data Systems Corp. | 139 | 2,873 |
First Data Corp. | 216 | 8,491 |
Fiserv, Inc.* | 113 | 4,497 |
Paychex, Inc. | 97 | 3,184 |
Sabre Holdings Corp. | 35 | 766 |
SunGard Data Systems, Inc.* | 78 | 2,691 |
Unisys Corp.* | 87 | 614 |
37,316 | ||
Office Electronics 0.0% | ||
Xerox Corp.* | 258 | 3,908 |
Semiconductors & Semiconductor Equipment 0.4% | ||
Advanced Micro Devices, Inc.* | 214 | 3,449 |
Altera Corp.* | 190 | 3,758 |
Applied Materials, Inc.* | 555 | 9,019 |
Applied Micro Circuits Corp.* | 79 | 260 |
Broadcom Corp., "A"* | 79 | 2,364 |
Freescale Semiconductor, Inc., "B"* | 108 | 1,863 |
Intel Corp. | 1,678 | 38,980 |
Linear Technology Corp. | 83 | 3,180 |
LSI Logic Corp.* | 395 | 2,208 |
Micron Technology, Inc.* | 158 | 1,634 |
National Semiconductor Corp.* | 95 | 1,958 |
Novellus Systems, Inc.* | 102 | 2,726 |
NVIDIA Corp.* | 43 | 1,022 |
PMC-Sierra, Inc.* | 46 | 405 |
Teradyne, Inc.* | 50 | 730 |
Texas Instruments, Inc. | 464 | 11,827 |
85,383 | ||
Software 0.6% | ||
Adobe Systems, Inc. | 66 | 4,433 |
Autodesk, Inc. | 59 | 1,756 |
BMC Software, Inc.* | 57 | 855 |
Citrix Systems, Inc.* | 44 | 1,048 |
Computer Associates International, Inc. | 143 | 3,875 |
Compuware Corp.* | 428 | 3,082 |
Electronic Arts, Inc.* | 83 | 4,298 |
Intuit, Inc.* | 48 | 2,101 |
Mercury Interactive Corp.* | 72 | 3,411 |
Microsoft Corp. | 2,727 | 65,912 |
Novell, Inc.* | 97 | 578 |
Oracle Corp.* | 1,211 | 15,113 |
Parametric Technology Corp.* | 69 | 386 |
Siebel Systems, Inc.* | 139 | 1,269 |
Symantec Corp.* | 191 | 4,074 |
VERITAS Software Corp.* | 114 | 2,647 |
114,838 | ||
Materials 0.5% | ||
Chemicals 0.3% | ||
Air Products & Chemicals, Inc. | 61 | 3,861 |
Dow Chemical Co. | 257 | 12,811 |
E.I. du Pont de Nemours & Co. | 269 | 13,784 |
Eastman Chemical Co. | 20 | 1,180 |
Ecolab, Inc. | 60 | 1,983 |
Engelhard Corp. | 31 | 931 |
Hercules, Inc.* | 29 | 420 |
International Flavors & Fragrances, Inc. | 24 | 948 |
Monsanto Co. | 72 | 4,644 |
PPG Industries, Inc. | 47 | 3,361 |
Praxair, Inc. | 87 | 4,164 |
Rohm & Haas Co. | 53 | 2,544 |
Sigma-Aldrich Corp. | 18 | 1,102 |
51,733 | ||
Construction Materials 0.0% | ||
Vulcan Materials Co. | 26 | 1,478 |
Containers & Packaging 0.1% | ||
Ball Corp. | 82 | 3,402 |
Bemis Co., Inc. | 28 | 871 |
Pactiv Corp.* | 38 | 887 |
Sealed Air Corp.* | 68 | 3,532 |
Temple-Inland, Inc. | 15 | 1,088 |
9,780 | ||
Metals & Mining 0.1% | ||
Alcoa, Inc. | 92 | 2,796 |
Freeport-McMoRan Copper & Gold, Inc., "B"* | 108 | 4,278 |
Newmont Mining Corp. | 16 | 676 |
Nucor Corp. | 43 | 2,475 |
United States Steel Corp. | 29 | 1,475 |
11,700 | ||
Paper & Forest Products 0.0% | ||
Georgia-Pacific Corp. | 70 | 2,484 |
International Paper Co. | 16 | 589 |
MeadWestvaco Corp. | 126 | 4,009 |
7,082 | ||
Telecommunication Services 0.5% | ||
Diversified Telecommunication Services | ||
ALLTEL Corp. | 123 | 6,746 |
AT&T Corp. | 216 | 4,050 |
BellSouth Corp. | 493 | 12,961 |
CenturyTel, Inc. | 35 | 1,149 |
Citizens Communications Co. | 87 | 1,126 |
Qwest Communications International, Inc.* | 467 | 1,728 |
SBC Communications, Inc. | 890 | 21,084 |
Sprint Corp. | 501 | 11,398 |
Verizon Communications, Inc. | 746 | 26,483 |
86,725 | ||
Wireless Telecommunication Services 0.0% | ||
Nextel Communications, Inc., "A"* | 304 | 8,640 |
Utilities 0.5% | ||
Electric Utilities 0.3% | ||
Allegheny Energy, Inc.* | 35 | 723 |
Ameren Corp. | 53 | 2,597 |
American Electric Power Co. | 102 | 3,474 |
CenterPoint Energy, Inc. | 79 | 950 |
Cinergy Corp. | 52 | 2,107 |
Consolidated Edison, Inc. | 65 | 2,742 |
DTE Energy Co. | 47 | 2,138 |
Edison International | 155 | 5,382 |
Entergy Corp. | 57 | 4,028 |
Exelon Corp. | 50 | 2,294 |
FirstEnergy Corp. | 146 | 6,125 |
FPL Group, Inc. | 106 | 4,256 |
PG&E Corp.* | 97 | 3,308 |
Pinnacle West Capital Corp. | 23 | 978 |
PPL Corp. | 51 | 2,753 |
Progress Energy, Inc. | 67 | 2,811 |
Southern Co. | 200 | 6,366 |
TECO Energy, Inc. | 51 | 800 |
TXU Corp. | 94 | 7,485 |
Xcel Energy, Inc. | 103 | 1,769 |
63,086 | ||
Gas Utilities 0.0% | ||
KeySpan Corp. | 41 | 1,598 |
Nicor, Inc. | 12 | 445 |
NiSource, Inc. | 70 | 1,595 |
Peoples Energy Corp. | 10 | 419 |
4,057 | ||
Multi-Utilities 0.2% | ||
AES Corp.* | 317 | 5,192 |
Calpine Corp.* | 138 | 386 |
CMS Energy Corp.* | 191 | 2,491 |
Constellation Energy Group, Inc. | 48 | 2,482 |
Dominion Resources, Inc. | 92 | 6,848 |
Duke Energy Corp. | 253 | 7,086 |
Dynegy, Inc., "A"* | 98 | 383 |
Public Service Enterprise Group, Inc. | 64 | 3,481 |
Sempra Energy | 64 | 2,550 |
30,899 | ||
Total Common Stocks (Cost $2,555,844) | 2,911,652 |
Principal Amount ($) | Value ($) | |
|
| |
Corporate Bonds 9.1% | ||
Consumer Discretionary 0.8% | ||
Auburn Hills Trust, 12.375%, 5/1/2020 | 12,000 | 17,971 |
Comcast Cable Communications Holdings, Inc., 8.375%, 3/15/2013 | 55,000 | 65,353 |
Jones Intercable, Inc., 7.625%, 4/15/2008 | 60,000 | 64,311 |
147,635 | ||
Energy 0.9% | ||
CenterPoint Energy Resources Corp., Series B, 7.875%, 4/1/2013 | 20,000 | 23,183 |
Enterprise Products Operating LP: |
|
|
6.375%, 2/1/2013 | 6,000 | 6,289 |
7.5%, 2/1/2011 | 37,000 | 40,875 |
Halliburton Co., 5.5%, 10/15/2010 | 50,000 | 51,442 |
Sempra Energy, 4.621%, 5/17/2007 | 50,000 | 50,198 |
171,987 | ||
Financials 4.0% | ||
American General Finance Corp.: |
|
|
Series H, 4.0%, 3/15/2011 | 15,000 | 14,249 |
Series H, 4.625%, 9/1/2010 | 95,000 | 93,932 |
Duke Capital LLC, 4.302%, 5/18/2006 | 62,000 | 62,093 |
Ford Motor Credit Co.: |
|
|
5.8%, 1/12/2009 | 50,000 | 47,754 |
6.875%, 2/1/2006 | 107,000 | 108,455 |
General Electric Capital Corp., Series A, 4.875%, 3/4/2015 | 28,000 | 27,369 |
General Motors Acceptance Corp.: |
|
|
6.75%, 1/15/2006 | 57,000 | 57,397 |
6.875%, 9/15/2011 | 32,000 | 28,955 |
Goldman Sachs Group, Inc., 4.75%, 7/15/2013 | 35,000 | 33,665 |
JPMorgan Capital XV, 5.875%, 3/15/2035 | 105,000 | 101,399 |
Merrill Lynch & Co., Inc., Series C, 5.0%, 1/15/2015 | 55,000 | 53,300 |
Morgan Stanley, 4.0%, 1/15/2010 | 37,000 | 35,620 |
OneAmerica Financial Partners, 144A, 7.0%, 10/15/2033 | 35,000 | 38,374 |
Pennsylvania Mutual Life Insurance Co., 144A, 6.65%, 6/15/2034 | 35,000 | 37,761 |
RAM Holdings Ltd., 144A, 6.876%, 4/1/2024 | 23,000 | 24,891 |
765,214 | ||
Health Care 0.7% | ||
Health Care Service Corp., 144A, 7.75%, 6/15/2011 | 115,000 | 130,826 |
Industrials 0.6% | ||
BAE System 2001 Asset Trust, "B", Series 2001, 144A, 7.156%, 12/15/2011 | 35,223 | 37,655 |
D.R. Horton, Inc., 5.25%, 2/15/2015 | 52,000 | 47,509 |
K Hovnanian Enterprises, Inc., 144A, 6.25%, 1/15/2015 | 30,000 | 28,712 |
113,876 | ||
Materials 0.8% | ||
Georgia-Pacific Corp.: |
|
|
7.75%, 11/15/2029 | 30,000 | 32,700 |
8.875%, 5/15/2031 | 15,000 | 18,075 |
Lubrizol Corp.: |
|
|
5.5%, 10/1/2014 | 55,000 | 55,080 |
6.5%, 10/1/2034 | 31,000 | 32,382 |
Newmont Mining Corp., 5.875%, 4/1/2035 | 25,000 | 24,498 |
162,735 | ||
Telecommunication Services 0.4% | ||
Anixter International, Inc., 5.95%, 3/1/2015 | 5,000 | 4,939 |
Bell Atlantic New Jersey, Inc., Series A, 5.875%, 1/17/2012 | 48,000 | 49,783 |
SBC Communications, Inc., 5.625%, 6/15/2016 | 20,000 | 20,079 |
74,801 | ||
Utilities 0.9% | ||
Consumers Energy Co., 6.25%, 9/15/2006 | 135,000 | 138,792 |
Westar Energy, Inc., 5.95%, 1/1/2035 | 40,000 | 40,073 |
178,865 | ||
Total Corporate Bonds (Cost $1,750,364) | 1,745,939 | |
| ||
Foreign Bonds — US$ Denominated 5.6% | ||
Energy 0.1% | ||
Nexen, Inc., 5.875%, 3/10/2035 | 25,000 | 23,912 |
Financials 1.5% | ||
Deutsche Telekom International Finance BV, 1.0%, 6/15/2030 | 11,000 | 14,386 |
Korea First Bank, 144A, 5.75%, 3/10/2013 | 20,000 | 20,605 |
PF Export Receivable Master Trust, 144A, 6.6%, 12/1/2011 | 121,433 | 129,051 |
Westfield Capital Corp.: |
|
|
144A, 4.375%, 11/15/2010 | 50,000 | 48,726 |
144A, 5.125%, 11/15/2014 | 80,000 | 78,798 |
291,566 | ||
Industrials 1.9% | ||
Autopista Del Maipo, 144A, 7.373%, 6/15/2022 | 185,000 | 208,732 |
Tyco International Group SA: |
|
|
6.75%, 2/15/2011 | 101,000 | 109,441 |
6.875%, 1/15/2029 | 22,000 | 24,660 |
7.0%, 6/15/2028 | 23,000 | 26,109 |
368,942 | ||
Materials 0.9% | ||
Celulosa Arauco y Constitucion SA, 8.625%, 8/15/2010 | 50,000 | 57,349 |
Sappi Papier Holding AG, 144A, 6.75%, 6/15/2012 | 100,000 | 108,471 |
165,820 | ||
Sovereign Bonds 0.2% | ||
United Mexican States: |
|
|
Series A, 6.75%, 9/27/2034 | 40,000 | 39,040 |
8.375%, 1/14/2011 | 5,000 | 5,690 |
44,730 | ||
Telecommunication Services 0.5% | ||
British Telecommunications PLC, 8.625%, 12/15/2030 | 50,000 | 66,624 |
Telecom Italia Capital, 144A, 4.95%, 9/30/2014 | 35,000 | 33,527 |
100,151 | ||
Utilities 0.5% | ||
PacifiCorp. Australia LLC, 144A, 6.15%, 1/15/2008 | 85,000 | 88,773 |
Total Foreign Bonds — US$ Denominated (Cost $1,063,924) | 1,083,894 | |
| ||
Asset Backed 4.4% | ||
Automobile Receivables 1.3% | ||
Americredit Automobile Receivables Trust, "A3", Series 2002-D, 2.72%, 4/12/2007 | 47,069 | 47,038 |
Drive Auto Receivables Trust, "A3", Series 2004-1, 144A, 3.5%, 8/15/2008 | 65,000 | 64,365 |
MMCA Automobile Trust: |
|
|
"A4", Series 2002-2, 4.3%, 3/15/2010 | 97,287 | 97,211 |
"A4", Series 2001-4, 4.92%, 8/15/2007 | 24,664 | 24,762 |
"B", Series 2002-1, 5.37%, 1/15/2010 | 15,793 | 15,838 |
Ryder Vehicle Lease Trust, "A4", Series 2001-A, 5.81%, 8/15/2006 | 4,966 | 4,966 |
254,180 | ||
Credit Card Receivables 0.3% | ||
Capital One Multi-Asset Execution Trust, "B1", Series 2005-B1, 4.9%, 12/15/2017 | 50,000 | 49,625 |
Home Equity Loans 2.6% | ||
Argent NIM Trust, "A", Series 2004-WN2, 144A, 4.55%, 4/25/2034 | 16,806 | 16,809 |
Countrywide Asset-Backed Certificates, "N1", Series 2004-2N, 144A, 5.0%, 2/25/2035 | 24,951 | 24,785 |
First Franklin Mortgage Loan Trust NIM, "N1", Series 2004-FFH4, 144A, 4.212%, 1/21/2035 | 89,190 | 89,244 |
First Franklin NIM Trust: |
|
|
"N1", Series 2005-FF1N, 144A, 3.9%, 12/25/2034 | 99,000 | 98,938 |
"NOTE", Series 2004-FF6A, 144A, 5.75%, 7/25/2034 | 30,714 | 30,819 |
Master ABS NIM Trust, "N1", Series 2005-CI8A, 144A, 4.702%, 2/26/2035 | 105,609 | 105,576 |
Merrill Lynch Mortgage Investors, Inc., "N1", Series 2005-NC1N, 144A, 5.0%, 10/25/2035 | 94,799 | 94,829 |
Park Place Securities NIM Trust, "A", Series 2004-MCW1, 144A, 4.458%, 9/25/2034 | 36,275 | 36,275 |
Residential Asset Securitization Trust, "A3", Series 2002-A13, 5.0%, 12/25/2017 | 8,008 | 8,025 |
505,300 | ||
Manufactured Housing Receivables 0.2% | ||
Greenpoint Manufactured Housing, "A3", Series 1999-5, 7.33%, 8/15/2020 | 41,747 | 41,770 |
Total Asset Backed (Cost $851,333) | 850,875 | |
| ||
US Government Agency Sponsored Pass-Throughs 4.1% | ||
Federal Home Loan Mortgage Corp., 6.0%, 12/1/2033 | 116,170 | 118,934 |
Federal National Mortgage Association: |
|
|
4.5% with various maturities from 4/1/2018 until 6/1/2033 (g) (i) | 77,846 | 74,428 |
5.0% with various maturities from 3/1/2034 until 3/1/2034 (i) | 102,952 | 100,944 |
5.5% with various maturities from 7/1/2024 until 11/1/2034 (g) (i) | 331,137 | 333,367 |
5.55%, 9/1/2033 | 35,093 | 35,209 |
6.5% with various maturities from 11/1/2033 until 11/1/2033 | 83,370 | 86,557 |
7.13%, 1/1/2012 | 45,367 | 47,094 |
Total US Government Agency Sponsored Pass-Throughs (Cost $807,118) | 796,533 | |
| ||
Commercial and Non-Agency Mortgage-Backed Securities 4.9% | ||
Banc America Commercial Mortgage, Inc., "AJ", Series 2005-1, 4.999%, 11/10/2042 | 80,000 | 80,138 |
Citigroup Mortgage Loan Trust, Inc., "1CB2", Series 2004-NCM2, 6.75%, 8/25/2034 | 107,172 | 111,224 |
Countrywide Alternative Loan Trust, "7A1", Series 2004-J2, 6.0%, 12/25/2033 | 28,394 | 28,731 |
CS First Boston Mortgage Securities Corp., "A2", Series 2001-CK3, 6.04%, 6/15/2034 | 55,000 | 55,940 |
DLJ Mortgage Acceptance Corp.: |
|
|
"A1B", Series 1997-CF2, 144A, 6.82%, 10/15/2030 | 28,768 | 30,090 |
"A1B", Series 1997-CF1, 144A, 7.6%, 5/15/2030 | 34,347 | 36,122 |
First Union-Lehman Brothers Commercial Mortgage, "A3", Series 1997-C1, 7.38%, 4/18/2029 | 76,527 | 80,156 |
GMAC Commercial Mortgage Securities, Inc., "A3", Series 1997-C1, 6.869%, 7/15/2029 | 40,398 | 42,276 |
Greenwich Capital Commercial Funding Corp.: |
|
|
"AJ", Series 2005-GG3, 4.859%, 8/10/2042 | 30,000 | 29,294 |
"B", Series 2005-GG3, 4.894%, 8/10/2042 | 55,000 | 53,667 |
Master Alternative Loans Trust, "8A1", Series 2004-3, 7.0%, 4/25/2034 | 25,439 | 26,041 |
Master Asset Securitization Trust: |
|
|
"2A7", Series 2003-9, 5.5%, 10/25/2033 | 52,479 | 52,309 |
"8A1", Series 2003-6, 5.5%, 7/25/2033 | 43,030 | 42,802 |
Merrill Lynch Mortgage Investors, Inc., "D", Series 1995-C3, 7.799%**, 12/26/2025 | 90,000 | 90,705 |
NYC Mortgage Loan Trust, "A3", Series 1996, 144A, 6.75%, 9/25/2019 | 55,000 | 60,500 |
Residential Funding Mortgage Securities I, "A1", Series 2003-S2, 5.0%, 2/25/2033 | 16,759 | 16,763 |
Washington Mutual: |
|
|
"A6", Series 2004-AR4, 3.809%, 6/25/2034 | 65,000 | 62,853 |
"4A1", Series 2002-S7, 4.5%, 11/25/2032 | 7,482 | 7,482 |
Washington Mutual Mortgage Securities Corp., "1A7", Series 2003-MS8, 5.5%, 5/25/2033 | 30,713 | 30,402 |
Total Commercial and Non-Agency Mortgage-Backed Securities (Cost $954,246) | 937,495 | |
| ||
Collateralized Mortgage Obligations 14.0% | ||
Fannie Mae Grantor Trust: |
|
|
"A2", Series 2002-T16, 7.0%, 7/25/2042 | 57,990 | 60,596 |
"A2", Series 2002-T19, 7.0%, 7/25/2042 | 64,108 | 67,016 |
Fannie Mae Whole Loan: |
|
|
"2A3", Series 2003-W3, 4.16%, 6/25/2042 | 50,000 | 50,029 |
"1A3", Series 2003-W18, 4.732%, 8/25/2043 | 57,729 | 57,807 |
"1A1", Series 2004-W15, 6.0%, 8/25/2044 | 68,871 | 70,814 |
"2A", Series 2003-W8, 7.0%, 10/25/2042 | 25,076 | 26,218 |
"2A", Series 2002-W1, 7.5%, 2/25/2042 | 38,295 | 40,276 |
"5A", Series 2004-W2, 7.5%, 3/25/2044 | 83,027 | 87,847 |
Federal Home Loan Mortgage Corp.: |
|
|
"AU", Series 2759, 3.5%, 5/15/2019 | 61,000 | 60,519 |
"PT", Series 2724, 3.75%, 5/15/2016 | 61,000 | 60,274 |
"A2B", Series T-56, 4.29%, 7/25/2036 | 47,733 | 47,754 |
"PE", Series 2727, 4.5%, 7/15/2032 | 120,000 | 114,294 |
"TG", Series 2690, 4.5%, 4/15/2032 | 60,000 | 57,186 |
"BG", Series 2640, 5.0%, 2/15/2032 | 45,000 | 44,084 |
"BM", Series 2497, 5.0%, 2/15/2022 | 21,768 | 21,792 |
"CA", Series 2526, 5.0%, 6/15/2016 | 24,046 | 24,257 |
"DG", Series 2662, 5.0%, 10/15/2022 | 120,000 | 117,914 |
"EG", Series 2836, 5.0%, 12/15/2032 | 115,000 | 112,196 |
"JD", Series 2778, 5.0%, 12/15/2032 | 115,000 | 112,386 |
"NE", Series 2921, 5.0%, 9/15/2033 | 80,000 | 77,670 |
"PE", Series 2777, 5.0%, 4/15/2033 | 120,000 | 117,579 |
"PE", Series 2864, 5.0%, 6/15/2033 | 80,000 | 78,279 |
"TE", Series 2780, 5.0%, 1/15/2033 | 85,000 | 82,866 |
"TE", Series 2881, 5.0%, 7/15/2033 | 115,000 | 112,268 |
"UE", Series 2764, 5.0%, 10/15/2032 | 90,000 | 87,785 |
"PE", Series 2378, 5.5%, 11/15/2016 | 30,000 | 30,688 |
"PE", Series 2512, 5.5%, 2/15/2022 | 110,000 | 112,773 |
"PE", Series 2405, 6.0%, 1/15/2017 | 80,000 | 83,465 |
"QE", Series 2113, 6.0%, 11/15/2027 | 34,188 | 34,855 |
"3A", Series T-41, 7.5%, 7/25/2032 | 62,976 | 66,309 |
Federal National Mortgage Association: |
|
|
"TU", Series 2003-122, 4.0%, 5/25/2016 | 80,000 | 79,716 |
"A2", Series 2002-W10, 4.7%, 8/25/2042 | 363 | 362 |
"2A3", Series 2003-W15, 4.71%, 8/25/2043 | 47,081 | 47,116 |
"HE", Series 2005-22, 5.0%, 10/25/2033 | 55,000 | 53,513 |
"KH", Series 2003-92, 5.0%, 3/25/2032 | 60,000 | 58,695 |
"ME", Series 2005-14, 5.0%, 10/25/2033 | 105,000 | 102,210 |
"MC", Series 2002-56, 5.5%, 9/25/2017 | 47,456 | 48,080 |
"PM", Series 2001-60, 6.0%, 3/25/2030 | 22,202 | 22,503 |
"VD", Series 2002-56, 6.0%, 4/25/2020 | 10,129 | 10,291 |
"A2", Series 1998-M1, 6.25%, 1/25/2008 | 52,713 | 54,566 |
"1A2", Series 2003-W3, 7.0%, 8/25/2042 | 29,587 | 30,924 |
Government National Mortgage Association, "GD", Series 2004-26, 5.0%, 11/16/2032 | 56,000 | 55,208 |
Total Collateralized Mortgage Obligations (Cost $2,687,998) | 2,680,980 | |
| ||
Municipal Investments 3.0% | ||
Atlantic City, NJ, Core City General Obligation Series B, 4.5%, 8/1/2008 (f) | 80,000 | 80,278 |
Fairfield, CA, Pension Obligation Revenue Series B, 5.42%, 6/1/2034 (f) | 65,000 | 64,957 |
Illinois, State General Obligation, 4.95%, 6/1/2023 | 80,000 | 77,415 |
Jicarilla, NM, Sales & Special Tax Revenue, Apache Nation Revenue, 5.2%, 12/1/2013 | 50,000 | 50,336 |
Virginia, Multi-Family Housing Revenue, Housing Development Authority Series A, 6.51%, 5/1/2019 (f) | 290,000 | 301,589 |
Total Municipal Investments (Cost $524,697) | 574,575 | |
| ||
Government National Mortgage Association 1.0% | ||
Government National Mortgage Association, 6.0% with various maturities from 10/15/2033 until 12/15/2034 (Cost $184,329) | 178,668 | 183,552 |
| ||
US Government Backed 24.4% | ||
US Treasury Bills: |
|
|
2.356%, 4/21/2005 (h) | 140,000 | 139,798 |
2.746%, 6/9/2005 | 3,300,000 | 3,283,186 |
2.869%***, 7/14/2005 | 10,000 | 9,921 |
US Treasury Bond, 6.0%, 2/15/2026 (d) | 232,000 | 265,395 |
US Treasury Notes: |
|
|
2.75%, 6/30/2006 (d) | 56,000 | 55,436 |
3.0%, 2/15/2009 | 309,000 | 297,159 |
3.625%, 7/15/2009 | 540,000 | 529,559 |
3.875%, 2/15/2013 | 11,000 | 10,618 |
5.0%, 8/15/2011 (d) | 95,000 | 98,696 |
Total US Government Backed (Cost $4,691,244) | 4,689,768 |
Shares | Value ($) | |
|
| |
Securities Lending Collateral 2.2% | ||
Daily Assets Fund Institutional, 2.83% (c) (e) (Cost $421,080) | 421,080 | 421,080 |
| ||
Cash Equivalents 12.6% | ||
Scudder Cash Management QP Trust, 2.69% (b) (Cost $2,415,133) | 2,415,133 | 2,415,133 |
| % of Net Assets | Value ($) |
|
| |
Total Investment Portfolio (Cost $18,907,310) (a) | 100.5 | 19,291,476 |
Other Assets and Liabilities, Net | (0.5) | (100,168) |
Net Assets | 100.0 | 19,191,308 |
* 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 March 31, 2005.
*** Annualized yield at time of purchase; not a coupon rate.
(a) The cost for federal income tax purposes was $19,161,064. At March 31, 2005, net unrealized appreciation for all securities based on tax cost was $130,412. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $495,233 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $364,821.
(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 March 31, 2005 amounted to $415,096, which is 2.2% of total net assets.
(e) Represents collateral held in connection with securities lending.
(f) Bond is insured by one of these companies:
|
| As a % of Total Investment Portfolio |
AMBAC | American Municipal Bond Assurance Corp. | 0.3% |
MBIA | Municipal Bond Insurance Association | 2.0% |
(g) Mortgage dollar rolls included.
(h) At March 31, 2005, this security has been pledged to cover in whole or in part, initial requirements for open futures contracts.
(i) When-issued or forward delivery pools included.
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Federal National Mortgage Association and the Government National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in the investment portfolio.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
REIT: Real Estate Investment Trust
At March 31, 2005, open futures contracts purchased were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized (Depreciation) ($) |
Share Price Index 200 | 6/16/2005 | 1 | 82,311 | 79,682 | (2,629) |
Topix Index | 6/9/2005 | 4 | 443,091 | 440,362 | (2,729) |
EOE Dutch Stock Index | 4/15/2005 | 1 | 96,188 | 95,602 | (586) |
10 Yr Canadian Government Bond | 6/21/2005 | 4 | 369,564 | 368,753 | (811) |
Total net unrealized depreciation |
| (6,755) |
At March 31, 2005, open futures contracts sold short were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation ($) |
10 Year US Treasury Note | 6/21/2005 | 15 | 1,656,634 | 1,638,984 | 17,650 |
The accompanying notes are an integral part of the financial statements.
|
Statements of Assets and Liabilities as of March 31, 2005 | |||
Assets | Long Range | Mid Range | Short Range Fund |
Investment in securities, at value(a) — including $34,676,970, $654,955 and $415,096 of securities loaned | $ 700,599,006 | $ 38,477,494 | $ 16,455,263 |
Investments in Scudder Cash Management QP Trust(b) | 61,479,890 | 5,738,273 | 2,415,133 |
Investments in Daily Assets Fund Institutional(c)* | 35,195,744 | 664,113 | 421,080 |
Total investments in securities, at value(d) | 797,274,640 | 44,879,880 | 19,291,476 |
Cash | — | 48,578 | — |
Foreign currency, at value(e) | 24,390,184 | 1,521,087 | 615,743 |
Receivable for investments sold | 24,033,117 | 824,788 | 418,113 |
Dividends receivable | 558,420 | 20,082 | 3,695 |
Interest receivable | 2,350,204 | 179,097 | 83,789 |
Receivable for Fund shares sold | 88,216 | 97,444 | 151,665 |
Unrealized appreciation on forward currency exchange contracts | 697,237 | 33,014 | 11,360 |
Due from Advisor | — | — | 15,754 |
Other assets | 17,005 | 7,518 | — |
Total assets | 849,409,023 | 47,611,488 | 20,591,595 |
Liabilities | |||
Payable upon return of securities loaned | 35,195,744 | 664,113 | 421,080 |
Due to custodian bank | 544,374 | — | 114,427 |
Payable for investments purchased | 29,865,694 | 1,117,171 | 507,578 |
Payable for investments purchased — mortgage dollar rolls | 5,351,807 | 227,534 | 118,559 |
Deferred mortgage dollar roll income | 4,269 | 60 | 86 |
Payable for Fund shares redeemed | 576,453 | 32,349 | 117,554 |
Payable for daily variation margin on open futures contracts | 210,237 | 5,965 | 1,627 |
Unrealized depreciation on forward foreign currency exchange contracts | 658,214 | 31,611 | 11,001 |
Net payable on closed forward foreign currency exchange contracts | 1,694,390 | 72,347 | 23,256 |
Accrued investment advisory fee | 64,925 | — | — |
Other accrued expenses and payables | 173,795 | 102,945 | 85,119 |
Total liabilities | 74,339,902 | 2,254,095 | 1,400,287 |
Net assets, at value | $ 775,069,121 | $ 45,357,393 | $ 19,191,308 |
* Represents collateral for securities loaned.
a Cost of $646,524,482, $36,476,830 and $16,071,097, respectively.
b Cost of $61,479,890, $5,738,273 and $2,415,133, respectively.
c Cost of $35,195,744, $664,113 and $421,080, respectively.
d Cost of $743,200,116, $42,879,216 and $18,907,310, respectively.
e Cost of $24,585,354, $1,533,013 and $620,294, respectively.
The accompanying notes are an integral part of the financial statements.
|
|
Statements of Assets and Liabilities as of March 31, 2005 (continued) | |||
Net Assets | Long Range | Mid Range | Short Range Fund |
Net assets consist of: Undistributed net investment income | 4,215,503 | 64,577 | 19,726 |
Net unrealized appreciation (depreciation) on: Investments | 54,074,524 | 2,000,664 | 384,166 |
Futures | 277,323 | 26,347 | 10,895 |
Foreign currency related transactions | (164,705) | (15,843) | (5,200) |
Accumulated net realized gain (loss) | (65,932,705) | (5,802,880) | (856,063) |
Paid-in capital | 782,599,181 | 49,084,528 | 19,637,784 |
Net assets, at value | $ 775,069,121 | $ 45,357,393 | $ 19,191,308 |
Net Asset Value | |||
Investment Class Net assets applicable to outstanding shares of beneficial interest | $ 55,559,979 | $ 45,357,393 | $ 19,191,308 |
Outstanding shares of beneficial interest ($.001 par value per share, unlimited number of shares authorized) | 5,230,846 | 4,601,906 | 1,886,056 |
Net Asset Value, offering and redemption price(a) per share | $ 10.62 | $ 9.86 | $ 10.18 |
Institutional Class Net assets applicable to outstanding shares of beneficial interest | $ 719,509,142 | $ — | $ — |
Outstanding shares of beneficial interest ($.001 par value per share, unlimited number of shares authorized) | 65,199,266 | — | — |
Net Asset Value, offering and redemption price(a) per share | $ 11.04 | $ — | $ — |
(a) Redemption price per share for shares held less than 15 days is equal to net asset value less a 2% redemption fee.
The accompanying notes are an integral part of the financial statements.
|
|
Statements of Operations for the year ended March 31, 2005(a) | |||
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, net of borrower rebates | 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 | 5,831,863 | 218,125 | 41,416 |
Interest — Unaffiliated issuers | 7,705,391 | 692,275 | 346,507 |
Mortgage dollar roll income | 279,994 | 5,533 | 12,607 |
Interest — Affiliated issuers | 512,898 | 53,687 | 21,448 |
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates | 37,506 | 292 | 358 |
Total income | 20,526,301 | 1,510,421 | 628,096 |
Expenses: Investment advisory fees | 3,055,340 | 188,168 | 78,233 |
Administrator service fees | 1,775,922 | 350,419 | 139,659 |
Auditing | 37,928 | 50,280 | 40,987 |
Legal | 26,119 | 56,378 | 47,560 |
Trustees' fees and expenses | 22,966 | 10,778 | 9,809 |
Reports to shareholders | 14,898 | 18,319 | 21,281 |
Registration fees | 45,218 | 9,191 | 33,285 |
Other | 12,021 | 33,359 | 3,469 |
Total expenses, before expense reductions | 4,990,412 | 716,892 | 374,283 |
Expense reductions | (2,176,201) | (342,698) | (229,589) |
Total expenses, after expense reductions | 2,814,211 | 374,194 | 144,694 |
Net investment income (loss) | 17,712,090 | 1,136,227 | 483,402 |
The accompanying notes are an integral part of the financial statements.
|
|
Statements of Operations for the year ended March 31, 2005(a) (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 | 15,725,561 | 1,226,217 | 326,156 |
Futures | 2,492,075 | 69,690 | 24,164 |
Foreign currency related transactions | 9,134,132 | 481,496 | 137,166 |
| 32,987,413 | 1,804,009 | 426,328 |
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 | 12,207,977 | (145,418) | (155,706) |
Futures | 2,890,453 | 193,332 | (477,740) |
Foreign currency related transactions | (934,120) | 8,056 | 95,712 |
| (10,846,722) | (2,026,303) | (486,251) |
Net gain (loss) on investment transactions | 22,140,691 | (222,294) | (59,923) |
Net increase (decrease) in net assets resulting from operations | $ 39,852,781 | $ 913,933 | $ 423,479 |
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.
The accompanying notes are an integral part of the financial statements.
|
|
Statement of Changes in Net Assets — Long Range Fund | ||
Increase (Decrease) in Net Assets | Years Ended March 31, | |
2005(a) | 2004 | |
Operations: Net investment income (loss) | $ 17,712,090 | $ 14,273,378 |
Net realized gain (loss) on investment transactions | 32,987,413 | 33,679,038 |
Net unrealized appreciation (depreciation) during the period on investment transactions | (10,846,722) | 92,021,218 |
Net increase (decrease) in net assets resulting from operations | 39,852,781 | 139,973,634 |
Distributions to shareholders from: Net investment income Investment Class | (1,740,310) | (2,277,173) |
Institutional Class | (24,628,733) | (29,974,017) |
Fund share transactions: Proceeds from shares sold | 91,324,510 | 142,112,613 |
Reinvestment of distributions | 26,364,356 | 32,245,735 |
Net assets acquired in tax-free reorganization (Investment Class) | — | 58,476,295 |
Cost of shares redeemed | (127,175,929) | (117,931,521) |
Redemption fees | 58 | — |
Net increase (decrease) in net assets from Fund share transactions | (9,487,005) | 114,903,122 |
Increase (decrease) in net assets | 3,996,733 | 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 $4,215,503 and $5,633,527, respectively) | $ 775,069,121 | $ 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).
The accompanying notes are an integral part of the financial statements.
|
|
Statement of Changes in Net Assets — Mid Range Fund | ||
Increase (Decrease) in Net Assets | Years Ended March 31, | |
2005(a) | 2004 | |
Operations: Net investment income (loss) | $ 1,136,227 | $ 1,279,256 |
Net realized gain (loss) on investment transactions | 1,804,009 | 3,244,122 |
Net unrealized appreciation (depreciation) during the period on investment transactions | (2,026,303) | 5,108,169 |
Net increase (decrease) in net assets resulting from operations | 913,933 | 9,631,547 |
Distributions to shareholders from: Net investment income | (1,639,668) | (2,807,608) |
Fund share transactions: Proceeds from shares sold | 13,269,443 | 27,215,420 |
Reinvestment of distributions | 1,639,347 | 2,807,418 |
Cost of shares redeemed | (41,248,178) | (16,375,047) |
Redemption fees | 12 | — |
Net increase (decrease) in net assets from Fund share transactions | (26,339,376) | 13,647,791 |
Increase (decrease) in net assets | (27,065,111) | 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 $64,577 and $493,570, respectively) | $ 45,357,393 | $ 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).
The accompanying notes are an integral part of the financial statements.
|
|
Statement of Changes in Net Assets — Short Range Fund | ||
Increase (Decrease) in Net Assets | Years Ended March 31, | |
2005(a) | 2004 | |
Operations: Net investment income (loss) | $ 483,402 | $ 443,571 |
Net realized gain (loss) on investment transactions | 426,328 | 833,186 |
Net unrealized appreciation (depreciation) during the period on investment transactions | (486,251) | 644,731 |
Net increase (decrease) in net assets resulting from operations | 423,479 | 1,921,488 |
Distributions to shareholders from: Net investment income | (697,062) | (826,388) |
Fund share transactions: Proceeds from shares sold | 9,691,803 | 14,946,510 |
Reinvestment of distributions | 695,107 | 822,774 |
Cost of shares redeemed | (13,307,132) | (11,276,402) |
Net increase (decrease) in net assets from Fund share transactions | (2,920,222) | 4,492,882 |
Increase (decrease) in net assets | (3,193,805) | 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 $19,726 and $136,237, respectively) | $ 19,191,308 | $ 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).
The accompanying notes are an integral part of the financial statements.
|
Scudder Lifecycle Long Range Fund
Investment Class | ||
Years Ended March 31, | 2005 | 2004a |
Selected Per Share Data | ||
Net asset value, beginning of period | $ 10.43 | $ 9.75 |
Income (loss) from investment operations: Net investment income (loss)b | .21 | .11 |
Net realized and unrealized gain (loss) on investment transactions | .30 | .93 |
Total from investment operations | .51 | 1.04 |
Less distributions from: Net investment income | (.32) | (.36) |
Redemption fees | .00*** | — |
Net asset value, end of period | $ 10.62 | $ 10.43 |
Total Return (%)c | 4.92 | 10.79** |
Ratios to Average Net Assets and Supplemental Data | ||
Net assets, end of period ($ millions) | 56 | 69 |
Ratio of expenses before expense reductions (%)d | 1.33 | 1.41* |
Ratio of expenses after expense reductions (%)d | 1.00 | 1.00* |
Ratio of net investment income (loss) (%) | 1.90 | 1.65* |
Portfolio turnover rate (%) | 106e,f | 115f** |
a For the period July 25, 2003 (commencement of operations of Investment Class shares) to March 31, 2004. 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. f The portfolio turnover rates including mortgage dollar roll transactions were 122% and 124% for the periods ended March 31, 2005 and March 31, 2004, respectively. * Annualized ** Not annualized *** Amount is less than $.005. |
|
|
Scudder Lifecycle Long Range Fund
Institutional Class | |||||
Years Ended March 31, | 2005 | 2004 | 2003 | 2002 | 2001 |
Selected Per Share Data | |||||
Net asset value, beginning of period | $ 10.84 | $ 9.17 | $ 10.92 | $ 10.98 | $ 14.44 |
Income (loss) from investment operations: Net investment income (loss) | .25a | .21a | .25a | .31 | .41 |
Net realized and unrealized gain (loss) on investment transactions | .33 | 1.94 | (1.53) | (.08) | (1.79) |
Total from investment operations | .58 | 2.15 | (1.28) | .23 | (1.38) |
Less distributions from: Net investment income | (.38) | (.48) | (.47) | (.28) | (.30) |
Net realized gains on investment transactions | — | — | — | (.01) | (1.78) |
Total distributions | (.38) | (.48) | (.47) | (.29) | (2.08) |
Redemption fees | .00* | — | — | — | — |
Net asset value, end of period | $ 11.04 | $ 10.84 | $ 9.17 | $ 10.92 | $ 10.98 |
Total Return (%)b | 5.42 | 23.71 | (11.88) | 2.13 | (10.90) |
Ratios to Average Net Assets and Supplemental Data | |||||
Net assets, end of period ($ millions) | 719 | 702 | 548 | 438 | 417 |
Ratio of expenses before expense reductions (%)c | .83 | .91 | .93 | .91 | .93 |
Ratio of expenses after expense reductions (%)c | .55 | .55 | .55 | .55 | .59 |
Ratio of net investment income (loss) (%) | 2.35 | 2.08 | 2.61 | 2.84 | 3.20 |
Portfolio turnover rate (%) | 106d,e | 115e | 133 | 90 | 118 |
a Based on average shares outstanding during the period. b Total return would have been lower had certain expenses not been reduced. c The ratio includes expenses allocated from the Asset Management Portfolio. d 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. e The portfolio turnover rates including mortgage dollar roll transactions were 122% and 124% for the periods ended March 31, 2005 and March 31, 2004, respectively. * Amount is less than $.005. |
|
|
Scudder Lifecycle Mid Range Fund
Investment Class | |||||
Years Ended March 31, | 2005 | 2004 | 2003 | 2002 | 2001 |
Selected Per Share Data | |||||
Net asset value, beginning of period | $ 9.86 | $ 8.80 | $ 9.75 | $ 9.78 | $ 11.38 |
Income (loss) from investment operations: Net investment income (loss) | .22a | .19a | .25a | .30 | .42 |
Net realized and unrealized gain (loss) on investment transactions | .12f | 1.29 | (.80) | (.06) | (.86) |
Total from investment operations | .34 | 1.48 | (.55) | .24 | (.44) |
Less distributions from: Net investment income | (.34) | (.42) | (.40) | (.27) | (.33) |
Net realized gains on investment transactions | — | — | — | — | (.83) |
Total distributions | (.34) | (.42) | (.40) | (.27) | (1.16) |
Redemption fees | .00* | — | — | — | — |
Net asset value, end of period | $ 9.86 | $ 9.86 | $ 8.80 | $ 9.75 | $ 9.78 |
Total Return (%)b | 3.50 | 16.85 | (5.63) | 2.48 | (4.25) |
Ratios to Average Net Assets and Supplemental Data | |||||
Net assets, end of period ($ millions) | 45 | 72 | 52 | 72 | 81 |
Ratio of expenses before expense reductions (%)c | 1.67 | 1.63 | 1.56 | 1.54 | 1.51 |
Ratio of expenses after expense reductions (%)c | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
Ratio of net investment income (loss) (%) | 2.24 | 2.01 | 2.68 | 3.04 | 3.86 |
Portfolio turnover rate (%) | 111d,e | 144e | 116 | 127 | 139 |
a Based on average shares outstanding during the period. b Total return would have been lower had certain expenses not been reduced. c The ratio includes expenses allocated from the Asset Management Portfolio II. d 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. e The portfolio turnover rates including mortgage dollar roll transactions were 117% and 161% for the periods ended March 31, 2005 and March 31, 2004, respectively. f The amount of net realized and unrealized gain shown for a share outstanding for the period ending March 31, 2005 does not correspond with the aggregate net loss on investments for the period due to the timing of sales and repurchases of portfolio shares in relation to fluctuating market values of the investments of the portfolio. * Amount is less than $.005. |
|
|
Scudder Lifecycle Short Range Fund
Investment Class | |||||
Years Ended March 31, | 2005 | 2004 | 2003 | 2002 | 2001 |
Selected Per Share Data | |||||
Net asset value, beginning of period | $ 10.30 | $ 9.71 | $ 10.08 | $ 10.05 | $ 10.54 |
Income (loss) from investment operations: | |||||
Net investment income (loss) | .25a | .22a | .29a | .38 | .48 |
Net realized and unrealized gain (loss) on investment transactions | (.01) | .77 | (.21) | (.04) | (.21) |
Total from investment operations | .24 | .99 | .08 | .34 | .27 |
Less distributions from: Net investment income | (.36) | (.40) | (.45) | (.31) | (.40) |
Net realized gains on investment transactions | — | — | — | — | (.36) |
Total distributions | (.36) | (.40) | (.45) | (.31) | (.76) |
Net asset value, end of period | $ 10.18 | $ 10.30 | $ 9.71 | $ 10.08 | $ 10.05 |
Total Return (%)b | 2.28 | 10.44 | .83 | 3.42 | 2.52 |
Ratios to Average Net Assets and Supplemental Data | |||||
Net assets, end of period ($ millions) | 19 | 22 | 17 | 25 | 30 |
Ratio of expenses before expense reductions (%)c | 2.12 | 2.16 | 1.85 | 1.86 | 1.72 |
Ratio of expenses after expense reductions (%)c | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
Ratio of net investment income (loss) (%) | 2.49 | 2.15 | 2.92 | 3.69 | 4.85 |
Portfolio turnover rate (%) | 159d,e | 198e | 162 | 153 | 148 |
a Based on average shares outstanding during the period. b Total return would have been lower had certain expenses not been reduced. c The ratio includes expenses allocated from the Asset Management Portfolio III. d 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. e The portfolio turnover rates including mortgage dollar roll transactions were 192% and 223% for the periods ended March 31, 2005 and March 31, 2004, respectively. |
|
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 "Funds") 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 net assets with the value of $741,748,706, $48,834,257 and $20,324,047 which were equal to the Funds' investment in their respective Lifecycle master. This 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 Financial Statements.
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 and were also applied to the portfolios prior to dissolution of their respective master-feeder structures.
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.
During the year ended March 31, 2005, the Long Range, Mid Range and Short Range Funds utilized approximately $22,216,000, $564,000 and $229,000 of its capital loss carryforwards, respectively. At March 31, 2005, 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, which may be subject to certain limitations under Sections 382-383 of the Internal Revenue Code.
The capital loss carryforwards were as follows:
Fund | Amount | Expiration Date |
Lifecycle Long Range Fund | $ 8,305,000 | 3/31/2010 |
| 27,647,000 | 3/31/2011 |
| 9,661,000 | 3/31/2012 |
|
| |
Lifecycle Mid Range Fund | $ 3,504,000 | 3/31/2011 |
| 816,000 | 3/31/2012 |
|
| |
Lifecycle Short Range Fund | $ 477,000 | 3/31/2011 |
| 108,000 | 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. Net investment income of the Funds, if any, is distributed to shareholders 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.
At March 31, 2005, each Fund's components of distributable earnings (accumulated losses) on a tax-basis were as follows:
| Long Range Fund | Mid Range Fund | Short Range Fund |
Undistributed ordinary income* | $ 4,231,616 | $ 64,508 | $ 19,448 |
Undistributed net long-term capital gains | $ — | $ — | $ — |
Capital loss carryforwards | $ (45,613,000) | $ (4,320,000) | $ (585,000) |
Net unrealized appreciation (depreciation) on investments | $ 34,436,813 | $ 560,605 | $ 130,412 |
In addition, during the years ended March 31, 2005 and March 31, 2004, the tax character of distributions paid to shareholders by each Fund is summarized as follows:
2005 | Long Range Fund | Mid Range Fund | Short Range Fund |
Distributions from ordinary income* | $ 26,369,043 | $ 1,639,668 | $ 697,062 |
2004 |
|
|
|
Distributions from ordinary income* | $ 32,251,190 | $ 2,807,608 | $ 826,388 |
* For tax purposes short-term capital gains distributions and gains from forward foreign currency exchange contracts are considered ordinary income distributions.
Redemption Fees. Effective February 1, 2005, the Funds impose a redemption fee of 2% of the total redemption amount on the Fund shares redeemed or exchanged within 15 days of buying them, either by purchase or exchange. This fee is assessed and retained by the Funds for the benefit of the remaining shareholders. The redemption fee is accounted for as an addition to paid-in capital.
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.
Contingencies. In the normal course of business, the Fund may enter into contracts with service providers that contain general indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
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 year ended March 31, 2005, purchases and sales of investment securities (excluding short-term investments), includes the purchases and sales of securities as a stand-alone fund in addition to their respective Portfolio were as follows:
| Purchases ($) | Sales ($) |
Lifecycle Long Range Fund Excluding US Treasury securities and mortgage dollar roll transactions | 427,689,591 | 442,017,078 |
US Treasury securities | 295,943,487 | 281,829,149 |
Mortgage dollar roll transactions | 108,034,479 | 109,830,060 |
Lifecycle Mid Range Fund Excluding US Treasury securities and mortgage dollar roll transactions | 24,664,029 | 43,846,796 |
US Treasury securities | 20,950,283 | 22,186,393 |
Mortgage dollar roll transactions | 2,289,299 | 2,930,387 |
Lifecycle Short Range Fund Excluding US Treasury securities and mortgage dollar roll transactions | 10,552,014 | 12,069,164 |
US Treasury securities | 11,536,141 | 11,888,592 |
Mortgage dollar roll transactions | 4,649,536 | 4,989,281 |
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.
Effective April 1, 2004 through July 31, 2005, the Advisor and Administrator have contractually 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 from April 1, 2004 up to August 23, 2004 as follows:
|
|
Lifecycle Long Range Fund Investment Class | 1.00% |
Institutional Class | .55% |
Lifecycle Mid Range Fund | 1.00% |
Lifecycle Short Range Fund | 1.00% |
Under these agreements, the Advisor also reimbursed $9,951 of expenses on the Lifecycle Short Range Fund.
For the period from April 1, 2004 up to August 23, 2004, the Investment Advisory Fee charged to the Portfolios 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 from August 23, 2004 through March 31, 2005, the Investment Advisory Fee was as follows:
| Total Aggregated | Waived | Unpaid | AnnualizedEffective Rate |
Lifecycle Long Range Fund | $ 3,055,340 | $ 1,072,694 | $ 64,925 | .42% |
Lifecycle Mid Range Fund | 188,168 | 188,168 | — | — |
Lifecycle Short Range Fund | 78,233 | 78,233 | — | — |
Administrator Service Fee. ICCC serves as Administrator and receives a fee (the "Administrator Service Fee"). For the period from April 1, 2004 up to August 23, 2004 the fee was 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. Effective August 23, 2004, the fee changed to 0.72% of each Funds Investment Class and 0.22% of Lifecycle Long Range Fund's Institutional Class average net assets, computed and accrued daily and payable monthly. For the year ended March 31, 2005, the Administrator Service Fee was as follows:
Administrator Service Fee | Total Aggregated | Waived | Unpaid | Effective Rate |
Lifecycle Long Range Fund Investment Class | $ 412,589 | $ 112,876 | $ 24,812 | .50% |
Institutional Class | 1,363,333 | 981,233 | 23,275 | .05% |
Lifecycle Mid Range Fund | 350,419 | 152,521 | 48,071 | .39% |
Lifecycle Short Range Fund | 139,659 | 139,659 | — | — |
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 from April 1, 2004 up to August 23, 2004, the Administrator Service Fee was as follows:
| Total Aggregated |
Asset Management Portfolio | $ 296,367 |
Asset Management Portfolio II | 21,912 |
Asset Management Portfolio III | 8,185 |
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. SISC compensates DST out of the shareholder servicing fees it receives from 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.
Insurance Brokerage Commissions. The Funds paid insurance premiums to an unaffiliated insurance broker in 2002 and 2003. This broker in turn paid a portion of its commissions to an affiliate of the Advisor, which performed certain insurance brokerage services for the broker. The Advisor has reimbursed the Fund for the portion of commissions (plus interest) paid to the affiliate of the Advisor attributable to the premiums paid by the Fund. The amounts for 2002 and 2003 were as follows:
| 2002 | 2003 |
Lifecycle Long Range Fund | $ 269 | $ 528 |
Lifecycle Mid Range Fund | 44 | 57 |
Lifecycle Short Range Fund | 19 | 23 |
D. Forward Foreign Currency Commitments
As of March 31, 2005, 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 | ||
AUD | 13,123,000 |
| USD | 10,371,632 |
| 4/4/2005 |
| $ 239,907 |
USD | 12,222,371 |
| AUD | 15,886,000 |
| 4/28/2005 |
| 19,617 |
EUR | 6,000 |
| USD | 7,960 |
| 4/4/2005 |
| 182 |
GBP | 9,107,000 |
| USD | 17,367,231 |
| 4/4/2005 |
| 160,972 |
USD | 25,227,454 |
| GBP | 13,426,000 |
| 4/28/2005 |
| 106,397 |
JPY | 472,855,000 |
| USD | 4,546,683 |
| 4/4/2005 |
| 135,477 |
USD | 32,371,079 |
| JPY | 3,466,716,000 |
| 4/28/2005 |
| 34,685 |
|
|
|
|
|
|
|
| $ 697,237 |
Contracts to Deliver |
| In Exchange For |
| Settlement Date |
| Unrealized (Depreciation) | ||
CAD | 4,966,000 |
| USD | 4,082,874 |
| 4/27/2005 |
| $ (23,085) |
USD | 7,865 |
| EUR | 6,000 |
| 4/4/2005 |
| (86) |
USD | 10,380,293 |
| AUD | 13,123,000 |
| 4/4/2005 |
| (248,568) |
USD | 3,750,703 |
| GBP | 1,954,000 |
| 4/4/2005 |
| (58,924) |
USD | 424,125 |
| JPY | 44,379,000 |
| 4/4/2005 |
| (10,119) |
EUR | 6,074,000 |
| USD | 7,866,559 |
| 4/28/2005 |
| (11,740) |
USD | 13,725,033 |
| GBP | 7,153,000 |
| 4/4/2005 |
| (210,553) |
USD | 4,092,338 |
| JPY | 428,476,000 |
| 4/4/2005 |
| (95,139) |
|
|
|
|
|
|
|
| $ (658,214) |
Scudder Lifecycle Mid Range Fund
Contracts to Deliver |
| In Exchange For |
| Settlement Date |
| Unrealized Appreciation | ||
AUD | 584,000 |
| USD | 461,559 |
| 4/4/2005 |
| $ 10,676 |
USD | 506,252 |
| AUD | 658,000 |
| 4/28/2005 |
| 813 |
EUR | 1,000 |
| USD | 1,327 |
| 4/4/2005 |
| 31 |
GBP | 403,000 |
| USD | 768,529 |
| 4/4/2005 |
| 7,123 |
USD | 1,093,578 |
| GBP | 582,000 |
| 4/28/2005 |
| 4,612 |
JPY | 28,604,000 |
| USD | 275,038 |
| 4/4/2005 |
| 8,195 |
USD | 1,459,171 |
| JPY | 156,267,000 |
| 4/28/2005 |
| 1,564 |
|
|
|
|
|
|
|
| $ 33,014 |
Contracts to Deliver |
| In Exchange For |
| Settlement Date |
| Unrealized (Depreciation) | ||
CAD | 319,000 |
| USD | 262,271 |
| 4/27/2005 |
| $ (1,483) |
USD | 1,311 |
| EUR | 1,000 |
| 4/4/2005 |
| (14) |
EUR | 377,000 |
| USD | 488,260 |
| 4/28/2005 |
| (729) |
USD | 461,944 |
| AUD | 584,000 |
| 4/4/2005 |
| (11,062) |
USD | 190,031 |
| GBP | 99,000 |
| 4/4/2005 |
| (2,985) |
USD | 62,005 |
| JPY | 6,488,000 |
| 4/4/2005 |
| (1,479) |
USD | 583,309 |
| GBP | 304,000 |
| 4/4/2005 |
| (8,948) |
USD | 211,228 |
| JPY | 22,116,000 |
| 4/4/2005 |
| (4,911) |
|
|
|
|
|
|
|
| $ (31,611) |
Scudder Lifecycle Short Range Fund
Contracts to Deliver |
| In Exchange For |
| Settlement Date |
| Unrealized Appreciation | ||
AUD | 198,000 |
| USD | 156,487 |
| 4/4/2005 |
| $ 3,620 |
USD | 160,800 |
| AUD | 209,000 |
| 4/28/2005 |
| 258 |
GBP | 129,000 |
| USD | 246,006 |
| 4/4/2005 |
| 2,280 |
USD | 362,647 |
| GBP | 193,000 |
| 4/28/2005 |
| 1,529 |
JPY | 10,983,000 |
| USD | 105,606 |
| 4/4/2005 |
| 3,147 |
USD | 490,751 |
| JPY | 52,556,000 |
| 4/28/2005 |
| 526 |
|
|
|
|
|
|
|
| $ 11,360 |
Contracts to Deliver |
| In Exchange For |
| Settlement Date |
| Unrealized (Depreciation) | ||
USD | 156,618 |
| AUD | 198,000 |
| 4/4/2005 |
| $ (3,750) |
CAD | 3,000 |
| USD | 2,442 |
| 4/1/2005 |
| (38) |
USD | 2,485 |
| CAD | 3,000 |
| 4/1/2005 |
| (5) |
CAD | 138,000 |
| USD | 113,459 |
| 4/27/2005 |
| (641) |
EUR | 151,000 |
| USD | 195,563 |
| 4/28/2005 |
| (292) |
USD | 49,907 |
| GBP | 26,000 |
| 4/4/2005 |
| (784) |
USD | 197,634 |
| GBP | 103,000 |
| 4/4/2005 |
| (3,032) |
USD | 33,913 |
| JPY | 3,527,000 |
| 4/4/2005 |
| (804) |
USD | 71,212 |
| JPY | 7,456,000 |
| 4/4/2005 |
| (1,655) |
|
|
|
|
|
|
|
| $ (11,001) |
Currency Abbreviations |
|
|
|
| |||
AUD | Australian Dollar |
| EUR | Euro |
| JPY | Japanese Yen |
CAD | Canadian Dollar |
| GBP | British Pound |
| USD | US Dollar |
E. Expense Reductions
For the year ended March 31, 2005, the Advisor agreed to reimburse the Fund $9,398, $2,009 and $1,746 for Long Range Fund, Mid Range Fund and Short Range Fund, respectively, which represents a portion of the fee savings expected to be realized by the Advisor related to the outsourcing by the Advisor of certain administrative services to an affiliated service provider.
F. 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.
G. Share Transactions
The following table summarizes share and dollar activity in the Lifecycle Long Range Fund:
| Year Ended | Year Ended | ||
| Shares | Dollars | Shares | Dollars |
Shares sold | ||||
Investment Class | 1,169,155 | $ 12,048,398 | 1,403,818 | $ 14,789,301 |
Institutional Class | 7,261,514 | 79,276,112 | 12,358,761 | 127,323,312 |
|
| $ 91,324,510 |
| $ 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 | 164,686 | $ 1,736,373 | 254,351 | $ 2,273,737 |
Institutional Class | 2,248,893 | 24,627,983 | 2,887,219 | 29,971,998 |
|
| $ 26,364,356 |
| $ 32,245,735 |
Shares redeemed | ||||
Investment Class | (2,682,373) | $ (27,917,936) | (1,078,353) | $ (11,023,167) |
Institutional Class | (9,117,440) | (99,257,993) | (10,253,726) | (106,908,354) |
|
| $ (127,175,929) |
| $ (117,931,521) |
Redemption fees |
| $ 58 | $ — | |
Net increase (decrease) | ||||
Investment Class | (1,348,532) | $ (14,133,164) | 6,579,378 | $ 64,516,166 |
Institutional Class | 392,967 | 4,646,159 | 4,992,254 | 50,386,956 |
|
| $ (9,487,005) |
| $ 114,903,122 |
The following table summarizes share and dollar activity in the Lifecycle Mid Range Fund:
| Year Ended | Year Ended | ||
| Shares | Dollars | Shares | Dollars |
Shares sold | ||||
Investment Class | 1,353,345 | $ 13,269,443 | 2,860,420 | $ 27,215,420 |
Shares issued to shareholders in reinvestment of distributions | ||||
Investment Class | 166,985 | $ 1,639,347 | 293,546 | $ 2,807,418 |
Shares redeemed | ||||
Investment Class | (4,260,074) | $ (41,248,178) | (1,713,346) | $ (16,375,047) |
Redemption fees |
| $ 12 | $ — | |
Net increase (decrease) | ||||
Investment Class | (2,739,744) | $ (26,339,376) | 1,440,620 | $ 13,647,791 |
The following table summarizes share and dollar activity in the Lifecycle Short Range Fund:
| Year Ended | Year Ended March 31, 2004 | ||
| Shares | Dollars | Shares | Dollars |
Shares sold | ||||
Investment Class | 953,238 | $ 9,691,803 | 1,475,460 | $ 14,946,510 |
Shares issued to shareholders in reinvestment of distributions | ||||
Investment Class | 68,464 | $ 695,107 | 81,292 | $ 822,774 |
Shares redeemed | ||||
Investment Class | (1,309,579) | $ (13,307,132) | (1,112,255) | $ (11,276,402) |
Net increase (decrease) | ||||
Investment Class | (287,877) | $ (2,920,222) | 444,497 | $ 4,492,882 |
H. 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.
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To the Trustees of Scudder Advisor Funds III, Scudder Advisor Funds and Shareholders of Lifecycle Long Range Fund, Lifecycle Mid Range Fund and Lifecycle Short Range Fund:
In our opinion, the accompanying statements of assets and liabilities, including the investment portfolios and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial positions of Lifecycle Long Range Fund (one of the Funds comprising Scudder Advisor Funds III), Lifecycle Mid Range Fund and Lifecycle Short Range Fund (two of the Funds comprising Scudder Advisor Funds), hereafter referred to as the "Funds" at March 31, 2005, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States), which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2005 by correspondence with the custodians and brokers, provide a reasonable basis for our opinion.
Boston, Massachusetts | PricewaterhouseCoopers LLP |
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Of the ordinary distributions made during the fiscal year ended March 31, 2005, the following percentages, qualified for the dividends received deduction available to corporate shareholders:
Lifecycle Long Range 32%
Lifecycle Mid Range 22%
Lifecycle Short Range 9%
For federal income tax purposes, Lifecycle Long Range Fund, Lifecycle Mid Range Fund and Lifecycle Short Range Fund designate $9,722,000, $400,000 and $70,000, respectively, or the maximum amount allowable under tax law, as qualified dividend income.
Please consult a tax advisor if you have questions about federal or state income tax laws, or on how to prepare your tax returns. If you have specific questions about your account, please call 1-800-SCUDDER.
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Independent Trustees | ||
Name, Date of Birth, Position with the Fund and Length of Time Served1,2 | Business Experience and Directorships | Number of Funds in the Fund Complex Overseen |
Joseph R. Hardiman 5/27/37 Chairman since 2004 Trustee since 2002 | Private Equity Investor (January 1997 to present); Director, Corvis Corporation3 (optical networking equipment) (July 2000 to present), Brown Investment Advisory & Trust Company (investment advisor) (February 2001 to present), The Nevis Fund (registered investment company) (July 1999 to present), and ISI Family of Funds (registered investment companies) (March 1998 to present). Formerly, Director, Soundview Technology Group Inc. (investment banking) (July 1998-January 2004) and Director, Circon Corp.3 (medical instruments) (November 1998-January 1999); President and Chief Executive Officer, The National Association of Securities Dealers, Inc. and The NASDAQ Stock Market, Inc. (1987-1997); Chief Operating Officer of Alex. Brown & Sons Incorporated (now Deutsche Bank Securities Inc.) (1985-1987); General Partner, Alex. Brown & Sons Incorporated (now Deutsche Bank Securities Inc.) (1976-1985). | 52 |
Richard R. Burt 2/3/47 Trustee since 2002 | Chairman, Diligence LLC (international information collection and risk-management firm) (September 2002 to present); Chairman, IEP Advisors, Inc. (July 1998 to present); Member of the Board, Hollinger International, Inc.3 (publishing) (September 1995 to present), HCL Technologies Limited (information technology) (April 1999 to present), UBS Mutual Funds (formerly known as Brinson and Mitchell Hutchins families of funds) (registered investment companies) (September 1995 to present); and Member, Textron Inc.3 International Advisory Council (July 1996 to present). Director, The Germany Fund, Inc. (since 2000), The New Germany Fund, Inc. (since 2004), The Central Europe and Russia Fund, Inc. (since 2000). Formerly, Partner, McKinsey & Company (consulting) (1991-1994) and US Chief Negotiator in Strategic Arms Reduction Talks (START) with former Soviet Union and US Ambassador to the Federal Republic of Germany (1985-1991); Member of the Board, Homestake Mining3 (mining and exploration) (1998-February 2001), Archer Daniels Midland Company3 (agribusiness operations) (October 1996-June 2001) and Anchor Gaming (gaming software and equipment) (March 1999-December 2001); Chairman of the Board, Weirton Steel Corporation3 (April 1996-2004). | 55 |
S. Leland Dill 3/28/30 Trustee since 1986 for Scudder Advisor Funds Trustee since 1999 for Scudder Advisor Funds III | Trustee, Phoenix Euclid Market Neutral Fund (since May 1998), Phoenix Funds (25 portfolios) (since May 2004) (registered investment companies); Retired (since 1986). Formerly, Partner, KPMG Peat Marwick (June 1956-June 1986); Director, Vintners International Company Inc. (wine vintner) (June 1989-May 1992), Coutts (USA) International (January 1992-March 2000), Coutts Trust Holdings Ltd., Coutts Group (private bank) (March 1991-March 1999); General Partner, Pemco (investment company) (June 1979-June 1986); Trustee, Phoenix Zweig Series Trust (September 1989-May 2004). | 52 |
Martin J. Gruber 7/15/37 Trustee since 1999 for Scudder Advisor Funds Trustee since 1992 for Scudder Advisor Funds III | Nomura Professor of Finance, Leonard N. Stern School of Business, New York University (since September 1964); Trustee (since January 2000) and Chairman of the Board (since February 2004), CREF (pension fund); Director, Japan Equity Fund, Inc. (since January 1992), Thai Capital Fund, Inc. (since January 2000) and Singapore Fund, Inc. (since January 2000) (registered investment companies). Formerly, Trustee, TIAA (pension fund) (January 1996-January 2000); Director, S.G. Cowen Mutual Funds (January 1985-January 2001); Trustee of the TIAA-CREF mutual funds (February 2004-March 2005). | 52 |
Richard J. Herring 2/18/46 Trustee since 1999 | Jacob Safra Professor of International Banking and Professor, Finance Department, The Wharton School, University of Pennsylvania (since July 1972); Director, Lauder Institute of International Management Studies (since July 2000); Co-Director, Wharton Financial Institutions Center (since July 2000). Formerly, Vice Dean and Director, Wharton Undergraduate Division (July 1995-June 2000). | 52 |
Graham E. Jones 1/31/33 Trustee since 2002 | Senior Vice President, BGK Realty, Inc. (commercial real estate) (since 1995); Trustee, 8 open-end mutual funds managed by Weiss, Peck & Greer (since 1985) and Trustee of 7 open-end mutual funds managed by Sun Capital Advisers, Inc. (since 1998). | 52 |
Rebecca W. Rimel 4/10/51 Trustee since 2002 | President and Chief Executive Officer, The Pew Charitable Trusts (charitable foundation) (1994 to present); Executive Vice President, The Glenmede Trust Company (investment trust and wealth management) (1983 to present). | 52 |
Philip Saunders, Jr. 10/11/35 Trustee since 1986 for Scudder Advisor Funds Trustee since 1999 for Scudder Advisor Funds III | Principal, Philip Saunders Associates (economic and financial consulting) (since November 1988). Formerly, Director, Financial Industry Consulting, Wolf & Company (consulting) (1987-1988); President, John Hancock Home Mortgage Corporation (1984-1986); Senior Vice President of Treasury and Financial Services, John Hancock Mutual Life Insurance Company, Inc. (1982-1986). | 52 |
William N. Searcy 9/3/46 Trustee since 2002 | Private investor (since October 2003); Trustee of 18 open-end mutual funds managed by Sun Capital Advisers, Inc. (since October 1998). Formerly, Pension & Savings Trust Officer, Sprint Corporation3 (telecommunications) (November 1989-October 2003). | 52 |
Interested Trustee | ||
Name, Date of Birth, Position with the Fund and Length of Time Served1,2 | Business Experience and Directorships | Number of Funds in the Fund Complex Overseen |
William N. Shiebler4 2/6/42 Trustee since 2004 | Vice Chairman, Deutsche Asset Management ("DeAM") and a member of the DeAM Global Executive Committee (since 2002); Vice Chairman of Putnam Investments, Inc. (1999); Director and Senior Managing Director of Putnam Investments, Inc. and President, Chief Executive Officer, and Director of Putnam Mutual Funds Inc. (1990-1999). | 135 |
Officers | |
Name, Date of Birth, | Business Experience and Directorships |
Julian F. Sluyters6 7/14/60 President and Chief Executive Officer since 2004 | Managing Director5, Deutsche Asset Management (since May 2004); President and Chief Executive Officer of The Germany Fund, Inc., The New Germany Fund, Inc., The Central Europe and Russia Fund, Inc., The Brazil Fund, Inc., The Korea Fund, Inc., Scudder Global High Income Fund, Inc. and Scudder New Asia Fund, Inc. (since May 2004); President and Chief Executive Officer, UBS Fund Services (2001-2003); Chief Administrative Officer (1998-2001) and Senior Vice President and Director of Mutual Fund Operations (1991-1998) UBS Global Asset Management. |
Kenneth Murphy7 10/13/63 Vice President and Anti-Money Laundering Compliance Officer since 2002 | Director5, Deutsche Asset Management (September 2000 to present). Formerly, Director, John Hancock Signature Services (1992-2000). |
Paul H. Schubert6 1/11/63 Chief Financial Officer since 2004 | Managing Director5, Deutsche Asset Management (since July 2004); formerly, Executive Director, Head of Mutual Fund Services and Treasurer for UBS Family of Funds at UBS Global Asset Management (1994-2004). |
Charles A. Rizzo7 8/5/57 Treasurer since 2002 | Managing Director5, Deutsche Asset Management (since April 2004). Formerly, Director, Deutsche Asset Management (April 2000-March 2004); Vice President and Department Head, BT Alex. Brown Incorporated (now Deutsche Bank Securities Inc.) (1998-1999); Senior Manager, Coopers & Lybrand L.L.P. (now PricewaterhouseCoopers LLP) (1993-1998). |
John Millette7 8/23/62 Secretary since 2003 | Director5, Deutsche Asset Management. |
Lisa Hertz6 8/21/70 Assistant Secretary since 2004 | Vice President, Deutsche Asset Management. |
Daniel O. Hirsch 3/27/54 Assistant Secretary since 2003 | Consultant. Formerly, Managing Director, Deutsche Asset Management (2002-2005); Director, Deutsche Asset Management (1999-2002), Principal, BT Alex. Brown Incorporated (now Deutsche Bank Securities Inc.) (1998-1999); Assistant General Counsel, United States Securities and Exchange Commission (1993-1998); Director, Deutsche Global Funds Ltd. (2002-2004) |
Caroline Pearson7 4/1/62 Assistant Secretary since 2002 | Managing Director5, Deutsche Asset Management. |
Bruce A. Rosenblum 9/14/60 Vice President since 2003 Assistant Secretary since 2002 | Director5, Deutsche Asset Management. |
Kevin M. Gay7 11/12/59 Assistant Treasurer since 2004 | Vice President, Deutsche Asset Management. |
Salvatore Schiavone7 11/3/65 Assistant Treasurer since 2003 | Director5, Deutsche Asset Management. |
Kathleen Sullivan D'Eramo7 1/25/57 Assistant Treasurer since 2003 | Director5, Deutsche Asset Management. |
Philip Gallo6 (1962) 8/2/62 Chief Compliance Officer since 2004 | Managing Director5, Deutsche Asset Management (2003-present). Formerly, Co-Head of Goldman Sachs Asset Management Legal (1994-2003) |
1 Unless otherwise indicated, the mailing address of each Trustee and officer with respect to fund operations is One South Street, Baltimore, MD 21202.
2 Length of time served represents the date that each Trustee or officer first began serving in that position with Scudder Advisor Funds of which Scudder Short Range and Mid Range Funds are a series, and Scudder Advisor Funds III of which Scudder Long Range Fund is a series.
3 A publicly held company with securities registered pursuant to Section 12 of the Securities Exchange Act of 1934.
4 Mr. Shiebler is a Trustee who is an "interested person" within the meaning of Section 2(a)(19) of the 1940 Act. Mr. Shiebler is a Managing Director of Deutsche Asset Management, the US asset management unit of Deutsche Bank AG and its affiliates. Mr. Shiebler's business address is 345 Park Avenue, New York, New York 10154.
5 Executive title, not a board directorship.
6 Address: 345 Park Avenue, New York, New York 10154.
7 Address: Two International Place, Boston, Massachusetts 02110.
The fund's Statement of Additional Information includes additional information about the fund's Trustees. To receive your free copy of the Statement of Additional Information, call toll-free: 1-800-621-1048.
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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 219356 |
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 Plaza (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 |
Notes |
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Notes |
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Notes |
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Notes |
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ITEM 2. CODE OF ETHICS. As of the end of the period, March 31, 2005, Scudder Advisor Funds III, has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its Principal Executive Officer and Principal Financial Officer. There have been no amendments to, or waivers from, a provision of the code of ethics during the period covered by this report that would require disclosure under Item 2. A copy of the code of ethics is filed as an exhibit to this Form N-CSR. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The Fund's Board of Directors/Trustees has determined that the Fund has at least one "audit committee financial expert" serving on its audit committee: Mr. S. Leland Dill. This audit committee member is "independent," meaning that he is not an "interested person" of the Fund (as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940) and he does not accept any consulting, advisory, or other compensatory fee from the Fund (except in the capacity as a Board or committee member). An "audit committee financial expert" is not an "expert" for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as a result of being designated as an "audit committee financial expert." Further, the designation of a person as an "audit committee financial expert" does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the "audit committee financial expert" designation. Similarly, the designation of a person as an "audit committee financial expert" does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. LIFE CYCLE LONG RANGE FUND FORM N-CSR DISCLOSURE RE: AUDIT FEES The following table shows the amount of fees that PricewaterhouseCoopers, LLP ("PWC"), the Fund's independent registered public accounting firm, billed to the Fund during the Fund's last two fiscal years. For engagements with PWC entered into on or after May 6, 2003, the Audit Committee approved in advance all audit services and non-audit services that PWC provided to the Fund. The Audit Committee has delegated certain pre-approval responsibilities to its Chairman (or, in his absence, any other member of the Audit Committee). Services that the Fund's Independent Registered Public Accounting Firm Billed to the Fund - -------------------------------------------------------------------------------- Fiscal Year Audit Fees Audit-Related Tax Fees All Other Ended Billed Fees Billed Billed Fees Billed March 31, to Fund to Fund to Fund to Fund - -------------------------------------------------------------------------------- 2005 $63,600 $225 $7,895 $0 - -------------------------------------------------------------------------------- 2004 $13,800 $2,029 $7,520 $0 - -------------------------------------------------------------------------------- The above "Tax Fees" were billed for professional services rendered for tax compliance and tax return preparation. Services that the Fund's Independent Registered Public Accounting Firm Billed to the Adviser and Affiliated Fund Service Providers The following table shows the amount of fees billed by PWC to Deutsche Asset Management, Inc. ("DeAM" or the "Adviser"), and any entity controlling, controlled by or under common control with DeAM ("Control Affiliate") that provides ongoing services to the Fund ("Affiliated Fund Service Provider"), for engagements directly related to the Fund's operations and financial reporting, during the Fund's last two fiscal years. - -------------------------------------------------------------------------------- Audit-Related Tax Fees All Other Fiscal Fees Billed to Billed to Fees Billed Year Adviser and Adviser and to Adviser and Ended Affiliated Fund Affiliated Fund Affiliated Fund March 31, Service Providers Service Providers Service Providers - -------------------------------------------------------------------------------- 2005 $490,322 $0 $0 - -------------------------------------------------------------------------------- 2004 $573,742 $0 $0 - -------------------------------------------------------------------------------- The "Audit-Related Fees" were billed for services in connection with the assessment of internal controls, agreed-upon procedures and additional related procedures.Non-Audit Services The following table shows the amount of fees that PWC billed during the Fund's last two fiscal years for non-audit services. For engagements entered into on or after May 6, 2003, the Audit Committee pre-approved all non-audit services that PWC provided to the Adviser and any Affiliated Fund Service Provider that related directly to the Fund's operations and financial reporting. The Audit Committee requested and received information from PWC about any non-audit services that PWC rendered during the Fund's last fiscal year to the Adviser and any Affiliated Fund Service Provider. The Committee considered this information in evaluating PWC's independence. - -------------------------------------------------------------------------------- Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Total Providers Non-Audit (engagements Fees billed related to Adviser and Total directly to Affiliated Non-Audit the operations Fund Service Fiscal Fees Billed and financial Providers Year to Fund reporting (all other Total of Ended of the Fund) engagements) (A), (B) March 31, (A) (B) (C) and (C) - -------------------------------------------------------------------------------- 2005 $7,895 $0 $236,994 $244,889 - -------------------------------------------------------------------------------- 2004 $7,520 $0 $2,412,058 $2,419,578 - -------------------------------------------------------------------------------- All other engagement fees were billed for services in connection with risk management, tax services and process improvement/integration initiatives for DeAM and other related entities that provide support for the operations of the fund. 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. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS Not Applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. 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 11. 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 12. EXHIBITS. (a)(1) Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. (a)(2) 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: May 31, 2005 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: May 31, 2005 By: /s/ Paul Schubert --------------------------- Paul Schubert Chief Financial Officer Date: May 31, 2005