UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number: 811-07384 NICHOLAS APPLEGATE INSTITUTIONAL FUNDS (Exact name of registrant as specified in charter) 600 WEST BROADWAY, 29TH FLOOR, SAN DIEGO, CA 92101 (Address of principal executive offices) CHARLES H. FIELD, JR. C/O NICHOLAS-APPLEGATE CAPITAL MANAGEMENT 600 WEST BROADWAY, 29TH FLOOR SAN DIEGO, CA 92101 (Name and address of agent for service) Copy to: Deborah A. Wussow c/o Nicholas-Applegate Capital Management 600 West Broadway, 29th Floor San Diego, CA 92101 Registrant's telephone number, including area code: (619) 687-2988 Date of fiscal year end: March 31 Date of reporting period: March 31, 2007 Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. <Page> NICHOLAS | APPLEGATE(R) INSTITUTIONAL FUNDS MARCH 31, 2007 ANNUAL REPORT CLASS I, II, III & IV SHARES U.S. MICRO CAP U.S. EMERGING GROWTH U.S. SMALL CAP VALUE U.S. SYSTEMATIC LARGE CAP GROWTH U.S. SYSTEMATIC MID CAP GROWTH U.S. CONVERTIBLE GLOBAL SELECT INTERNATIONAL GROWTH INTERNATIONAL GROWTH OPPORTUNITIES EMERGING MARKETS INTERNATIONAL SYSTEMATIC INTERNATIONAL ALL CAP GROWTH U.S. HIGH YIELD BOND [A company of Allianz LOGO] Global Investors <Page> LETTER TO SHAREHOLDERS Dear Fellow Shareholder, Equity markets around the world registered gains during the twelve months ended March 31, 2007. Key themes influencing stock prices were strength in the global economy and corporate profits, tighter monetary policy from central banks worldwide, a decline in the price of oil, and unprecedented merger and acquisition activity. In this annual report, we review the performance of the financial markets and our mutual funds from April 1 through March 31. In addition, we share our perspective on the dynamics shaping the investment landscape and our outlook for the months ahead. In the United States, the S&P 500 Index, a measure of the broad equity market, gained 11.83%. GDP growth slowed from a blistering 5.6% annual pace in the first quarter of 2006; however, the economy remained healthy, expanding 3.3% for the full calendar year. The Federal Reserve held interest rates steady from August through March, seeking to balance the risks of slower growth and high core inflation, which excludes food and energy prices. Investors' optimism that the Fed had engineered a soft landing for the economy helped drive this period's stock market advance. Strong corporate profits also contributed to rising equity prices, with S&P 500 companies reporting their fourteenth straight quarter of double-digit earnings growth. In developed markets overseas, the MSCI EAFE Index rose 11.69% in local currencies and 20.69% in U.S. dollar terms. The difference in returns was mainly due to the strengthening of the euro and the British pound versus the U.S. dollar. The euro and pound rose approximately 10% and 13%, respectively, buoyed by interest rate increases from the European Central Bank and Bank of England. Monetary tightening reflected policymakers' desire to control inflation, as well as the ability of economies throughout the region to withstand higher rates. Eurozone GDP growth was 2.7% in 2006 -- nearly double the 2005 pace -- and the U.K. economy also expanded 2.7% last year. Robust growth was a driving force behind the 13.69% increase in the MSCI Europe Index in local currencies. Gains were more subdued in Japan, with the MSCI Japan Index rising only 3.16% in yen and 3.09% in U.S. dollars. While the country's economy posted its eighth consecutive quarter of growth, core inflation figures were soft and consumer spending was sluggish throughout much of the period. The fiscal year ended on a positive note, when the government reported that the Japanese economy grew at a 5.5% annual clip in the fourth quarter of 2006. The Bank of Japan responded by raising interest rates for the second time in less than a year. Emerging market equities turned in the best results this period, with the MSCI Emerging Markets Index gaining 20.26% in local currencies and 21.03% in U.S. dollars. Stock prices climbed higher amid rapid economic growth in many countries, underpinned by favorable trends in domestic consumption and high commodity prices. Growth was particularly strong in emerging Asia, led by China and India where GDP expanded 10.7% and 9.2%, respectively, in 2006. Globally, equity markets benefited from a steep drop in the price of oil. After hitting an all-time high of $78.40 a barrel in July, crude fell to $49.90 in January on rising U.S. stockpiles and mild winter weather in the United States. A record dollar volume of mergers and acquisitions lent further support to stock prices. Across the globe, $4.0 trillion of companies traded hands during the fiscal year, as corporate balance sheets and private equity funds were flush with cash and borrowing costs were low. In this environment, seven of our thirteen mutual funds outperformed or performed broadly in line with their benchmarks. Relative results were consistently strong among our U.S. equity funds, led by the U.S. Systematic Large Cap Growth Fund and the U.S. Systematic Mid Cap Growth Fund. All of our non-U.S. equity funds trailed their benchmarks except the Emerging Markets Fund. Over longer time periods, however, these portfolios have outperformed. Two of our funds recently celebrated ten-year anniversaries: the U.S. Systematic Large Cap Growth Fund and the International Growth Fund. The U.S. Systematic Large Cap Growth Fund gained 7.57% on an annualized basis from its December 27, 1996 inception through March 31, 2007, outperforming the Russell 1000 Growth Index, which rose 5.27%. The International Growth Fund gained 10.67% on an annualized basis from its December 27, 1996 inception through March 31, 2007, outpacing the 8.26% increase in the MSCI EAFE Index. Throughout the period, Nicholas-Applegate continued to bring high-caliber investment talent and the latest technology to bear on the management of the funds. We are currently implementing a new trading system that will enhance our ability to control portfolio risk and transaction costs as we seek best overall execution. We have a permanent address in London as of October 2006, and we are expanding the team of senior investment professionals there. We have also added several U.S.-based professionals to our traditional and systematic investment teams. In particular, we have rebuilt our systematic team following turnover in the spring of 2006. The team continues to refine our proprietary stock selection models by incorporating new factors that we believe, based on extensive research and testing, to be good predictors of excess returns. These efforts are bearing fruit, illustrated by this period's generally strong performance of the funds we manage using systematic processes. We are pleased to report that a new strategy applying our systematic approach to emerging market equities was in the final stages of development at March 31. Looking ahead, we think that the global economy will continue to grow but at a slower rate. The ominous clouds overhanging the U.S. economy have been well charted and include persistent weakness in the housing market and a recent rebound in the price of oil. We believe sluggish growth and stabilizing inflation will prompt the Federal Reserve to stand pat, or possibly cut, interest rates later in 2007. In contrast, the European Central Bank, Bank of England and Bank of Japan will likely continue raising rates. We expect growth in U.S. corporate earnings of around 5-7%, with stronger growth of 10-12% internationally. Against this backdrop, we believe that equity market returns will be more modest than they have been during the past twelve months. In our view, this type of environment is ideal for security selection, particularly for investing in companies where positive change is leading to increased earnings estimates. We are especially optimistic in our outlook for companies in growth sectors of the market, such as information technology, health care and telecommunication services. Yield curves are flattening or inverting in most major developed economies, conditions which are more conducive to high-quality growth stocks. On behalf of everyone at Nicholas-Applegate, thank you for your participation in the Nicholas-Applegate Institutional Funds. We appreciate the trust you have placed in us. Best Regards, /s/ Horacio A. Valeiras - -------------------------------------- Horacio A. Valeiras, CFA President and Chief Investment Officer March 31, 2007 <Page> TABLE OF CONTENTS THE FUNDS' REVIEW AND OUTLOOK, PERFORMANCE AND SCHEDULE OF INVESTMENTS U.S. Micro Cap 1 U.S. Emerging Growth 6 U.S. Small Cap Value 11 U.S. Systematic Large Cap Growth 15 U.S. Systematic Mid Cap Growth 19 U.S. Convertible 23 Global Select 28 International Growth 32 International Growth Opportunities 36 Emerging Markets 40 International Systematic 44 International All Cap Growth 48 U.S. High Yield Bond 51 THE FUNDS': Financial Highlights 56 Statements of Assets and Liabilities 64 Statements of Operations 66 Statements of Changes in Net Assets 68 Notes to Financial Statements 72 Shareholder Expense Example 81 Supplementary Information 84 THIS REPORT IS AUTHORIZED FOR DISTRIBUTION TO SHAREHOLDERS AND TO OTHERS ONLY WHEN PRECEDED OR ACCOMPANIED BY A CURRENTLY EFFECTIVE PROSPECTUS FOR NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS CLASS I, II, III & IV SHARES. DISTRIBUTOR: NICHOLAS-APPLEGATE SECURITIES. <Page> U.S. MICRO CAP FUND MANAGEMENT TEAM: JOHN C. MCCRAW, Portfolio Manager; TRAVIS T. PRENTICE, Portfolio Manager; MONTIE L. WEISENBERGER, Portfolio Manager; K. MATHEW AXLINE, CFA, Analyst; STEPHEN W. LYFORD, Analyst; JOSHUA M. MOSS, Analyst CHIEF INVESTMENT OFFICER: HORACIO A. VALEIRAS, CFA GOAL: The U.S. Micro Cap Fund seeks to maximize long-term capital appreciation by investing primarily in U.S. companies with "micro" market capitalizations that offer superior growth prospects. MARKET OVERVIEW: Prices of U.S. micro-cap growth stocks, as measured by the Russell Microcap Growth Index, fell modestly between April 1, 2006 and March 31, 2007. Losses were concentrated early in the fiscal year amid worries that rising inflation would cause the Federal Reserve to keep tightening monetary policy and, by doing so, tip the economy into a recession. The index staged a comeback in August, lifted by: - The Fed's decision to leave interest rates unchanged at its August meeting because the economy was cooling - A steep drop in the price of oil, which closed the period below $66 a barrel after hitting an all-time high of $78.40 in mid-July - Brisk merger and acquisition activity and healthy corporate profit growth Several months of back-to-back gains were unable to erase earlier losses, however. Within the micro-cap growth market, stocks in defensive sectors, such as financials, tended to outperform stocks in cyclical groups, such as materials - -- consistent with the slowing economy. One notable exception was health care, which is typically viewed as a defensive sector. The health care stocks in the index underperformed, weighed down by a double-digit loss from the volatile biotechnology industry. PERFORMANCE: The Fund's Class I shares lost 1.35% during the twelve months ended March 31, 2007 but outperformed the 1.97% decline in the Russell Microcap Growth Index. PORTFOLIO SPECIFICS: Overall, stock selection added value relative to the index and was especially strong in the consumer discretionary, industrials and health care sectors. Top-performing holdings included INVESTools, a provider of investor education products that announced it was merging with an online broker; Force Protection, a producer of blast-resistant armored vehicles with a strong order backlog; and Cynosure, a manufacturer of cosmetic lasers that received FDA approval of its new liposuction product. Sector allocations, which are a residual of the Fund's bottom-up stock selection process, also benefited relative performance. An overweight in financials and an underweight in health care were particularly helpful. Stock selection in the information technology sector had the largest negative impact on results versus the index. Within information technology, holdings in various industries underperformed, including communications equipment, IT services and electronic equipment/instruments. Stock selection in utilities and financials also detracted. MARKET OUTLOOK: Cash on corporate balance sheets and in private equity funds should continue to drive merger and acquisition activity, lending support to prices of micro-cap growth stocks. That said, corporate profit growth is slowing, the housing market remains weak and the Fed is facing the difficult combination of moderating economic growth and stubborn inflationary pressures. Despite these headwinds, we remain optimistic in our outlook for the Fund given our focus on bottom-up stock selection. Through in-depth research on individual companies, we believe we can identify stocks with exciting growth prospects in any type of investment environment. COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN U.S. MICRO CAP FUND CLASS I AND II SHARES WITH THE RUSSELL 2000 GROWTH/RUSSELL MICROCAP GROWTH INDEX AND RUSSELL 2000 GROWTH INDEX. [CHART] <Table> <Caption> RUSSELL RUSSELL 2000 U.S. MICRO 2000 GROWTH/RUSSELL CAP FUND GROWTH MICROCAP GROWTH CLASS I INDEX INDEX ---------- -------- --------------- <S> <C> <C> <C> 7/12/1995 $ 250,000 $250,000 $250,000 7/31/1995 $ 261,400 $258,350 $258,350 8/31/1995 $ 266,210 $261,538 $261,538 9/30/1995 $ 275,607 $266,923 $266,923 10/31/1995 $ 270,205 $253,793 $253,793 11/30/1995 $ 278,203 $264,996 $264,996 12/31/1995 $ 286,994 $270,868 $270,868 1/31/1996 $ 284,584 $268,625 $268,625 2/29/1996 $ 301,374 $280,874 $280,874 3/31/1996 $ 316,985 $286,427 $286,427 4/30/1996 $ 365,199 $308,416 $308,416 5/31/1996 $ 408,803 $324,232 $324,232 6/30/1996 $ 371,602 $303,163 $303,163 7/31/1996 $ 318,983 $266,153 $266,153 8/31/1996 $ 340,579 $285,856 $285,856 9/30/1996 $ 359,583 $300,578 $300,578 10/31/1996 $ 349,191 $287,611 $287,611 11/30/1996 $ 361,133 $295,610 $295,610 12/31/1996 $ 369,403 $301,374 $301,374 1/31/1997 $ 384,696 $308,902 $308,902 2/28/1997 $ 358,960 $290,248 $290,248 3/31/1997 $ 329,346 $269,765 $269,765 4/30/1997 $ 319,630 $266,644 $266,644 5/31/1997 $ 374,799 $306,720 $306,720 6/30/1997 $ 408,905 $317,121 $317,121 7/31/1997 $ 444,848 $333,370 $333,370 8/31/1997 $ 477,277 $343,375 $343,375 9/30/1997 $ 522,714 $370,776 $370,776 10/31/1997 $ 488,215 $348,507 $348,507 11/30/1997 $ 483,382 $340,199 $340,199 12/31/1997 $ 480,917 $340,390 $340,390 1/31/1998 $ 473,366 $335,849 $335,849 2/28/1998 $ 510,005 $365,501 $365,501 3/31/1998 $ 556,211 $380,834 $380,834 4/30/1998 $ 565,555 $383,168 $383,168 5/31/1998 $ 533,375 $355,331 $355,331 6/30/1998 $ 542,016 $358,962 $358,962 7/31/1998 $ 498,709 $328,989 $328,989 8/31/1998 $ 371,039 $253,045 $253,045 9/30/1998 $ 402,912 $278,701 $278,701 10/31/1998 $ 416,691 $293,239 $293,239 11/30/1998 $ 459,652 $315,985 $315,985 12/31/1998 $ 521,475 $344,579 $344,579 1/31/1999 $ 536,650 $360,078 $360,078 2/28/1999 $ 472,896 $327,138 $327,138 3/31/1999 $ 479,517 $338,790 $338,790 4/30/1999 $ 516,488 $368,709 $368,709 5/31/1999 $ 495,157 $369,292 $369,292 6/30/1999 $ 544,425 $388,746 $388,746 7/31/1999 $ 539,688 $376,726 $376,726 8/31/1999 $ 560,790 $362,636 $362,636 9/30/1999 $ 582,324 $369,632 $369,632 10/31/1999 $ 633,977 $379,098 $379,098 11/30/1999 $ 750,882 $419,184 $419,184 12/31/1999 $ 963,682 $493,065 $493,065 1/31/2000 $1,001,747 $488,474 $488,474 2/29/2000 $1,347,650 $602,123 $602,123 3/31/2000 $1,207,225 $538,828 $538,828 4/30/2000 $ 988,114 $484,422 $484,422 5/31/2000 $ 853,039 $442,006 $442,006 6/30/2000 $1,112,960 $499,104 $499,104 7/31/2000 $ 993,205 $456,331 $456,331 8/31/2000 $1,094,214 $504,333 $503,607 9/30/2000 $1,048,257 $479,277 $478,326 10/31/2000 $ 913,451 $440,374 $430,541 11/30/2000 $ 728,660 $360,416 $349,083 12/31/2000 $ 764,437 $382,470 $354,040 1/31/2001 $ 805,029 $413,427 $403,004 2/28/2001 $ 688,058 $356,754 $348,800 3/31/2001 $ 622,693 $324,318 $322,326 4/30/2001 $ 701,152 $364,024 $356,782 5/31/2001 $ 748,620 $372,455 $378,653 6/30/2001 $ 794,735 $382,612 $402,925 7/31/2001 $ 757,541 $349,971 $371,174 8/31/2001 $ 725,876 $328,098 $346,937 9/30/2001 $ 618,519 $275,143 $294,792 10/31/2001 $ 659,774 $301,612 $320,026 11/30/2001 $ 690,718 $326,796 $346,748 12/31/2001 $ 738,170 $347,156 $372,824 1/31/2002 $ 727,836 $334,797 $363,019 2/28/2002 $ 689,988 $313,136 $335,066 3/31/2002 $ 748,430 $340,347 $363,044 4/30/2002 $ 749,777 $332,996 $354,730 5/31/2002 $ 720,236 $313,515 $333,979 6/30/2002 $ 696,828 $286,929 $314,474 7/31/2002 $ 557,881 $242,828 $263,530 8/31/2002 $ 550,294 $242,707 $263,872 9/30/2002 $ 513,809 $225,183 $242,340 10/31/2002 $ 525,524 $236,578 $251,210 11/30/2002 $ 559,210 $260,023 $279,094 12/31/2002 $ 517,269 $242,081 $264,609 1/31/2003 $ 505,579 $235,496 $261,751 2/28/2003 $ 492,485 $229,209 $253,297 3/31/2003 $ 511,741 $232,670 $257,907 4/30/2003 $ 566,088 $254,680 $282,872 5/31/2003 $ 644,491 $283,383 $322,191 6/30/2003 $ 694,697 $288,852 $339,300 7/31/2003 $ 766,250 $310,689 $367,496 8/31/2003 $ 812,992 $327,373 $384,474 9/30/2003 $ 822,585 $319,091 $391,356 10/31/2003 $ 916,113 $346,660 $426,461 11/30/2003 $ 955,964 $357,961 $442,538 12/31/2003 $ 951,184 $359,572 $449,442 1/31/2004 $1,028,896 $378,450 $478,521 2/29/2004 $1,032,291 $377,882 $475,793 3/31/2004 $1,008,858 $379,658 $470,797 4/30/2004 $ 951,050 $360,599 $442,691 5/31/2004 $ 960,656 $367,775 $440,876 6/30/2004 $ 964,114 $379,985 $454,895 7/31/2004 $ 866,450 $345,901 $405,721 8/30/2004 $ 827,286 $338,464 $397,728 9/30/2004 $ 858,888 $357,181 $416,223 10/31/2004 $ 861,637 $365,860 $422,133 11/30/2004 $ 954,349 $396,775 $461,349 12/31/2004 $1,008,556 $411,020 $484,971 1/31/2005 $ 949,253 $392,483 $461,837 2/28/2005 $ 964,441 $397,860 $461,283 3/31/2005 $ 927,599 $382,940 $438,865 4/30/2005 $ 887,156 $358,585 $410,646 5/31/2005 $ 931,957 $383,865 $436,311 6/30/2005 $ 987,595 $396,264 $453,066 7/31/2005 $1,064,924 $423,963 $487,952 8/31/2005 $1,055,552 $417,985 $481,950 9/30/2005 $1,071,491 $421,287 $488,022 10/31/2005 $1,030,989 $405,699 $468,697 11/30/2005 $1,098,828 $428,662 $493,350 12/31/2005 $1,113,662 $428,019 $494,929 1/31/2006 $1,223,915 $469,323 $545,016 2/28/2006 $1,208,371 $466,836 $544,416 3/31/2006 $1,289,815 $489,524 $566,029 4/30/2006 $1,297,167 $488,104 $558,841 5/31/2006 $1,206,884 $453,742 $518,269 6/30/2006 $1,193,609 $454,014 $511,635 7/31/2006 $1,127,721 $430,450 $485,798 8/31/2006 $1,132,909 $443,063 $498,866 9/30/2006 $1,139,593 $446,076 $499,215 10/31/2006 $1,195,889 $475,026 $532,912 11/30/2006 $1,229,254 $486,379 $545,648 12/31/2006 $1,255,806 $485,212 $551,323 1/31/2007 $1,284,815 $494,237 $560,365 2/28/2007 $1,258,220 $492,655 $554,929 3/31/2007 $1,272,312 $497,187 $554,874 </Table> Annualized Total Returns As of 3/31/2007 1 YEAR 5 YEARS 10 YEARS - ------------------------------------------------------------------------------- U.S. Micro Cap Fund Class I -1.35% 11.20% 14.47% - ------------------------------------------------------------------------------- Russell 2000 Growth/Russell Microcap Growth Index -1.97% 8.85% 7.41% - ------------------------------------------------------------------------------- Russell 2000 Growth Index 1.57% 7.74% 6.25% - ------------------------------------------------------------------------------- 1 <Page> [CHART] <Table> <Caption> U.S. MICRO CAP RUSSELL 2000 GROWTH/RUSSELL RUSSELL 2000 FUND CLASS I MICROCAP GROWTH INDEX GROWTH INDEX -------------- --------------------------- ------------ <S> <C> <C> <C> 7/12/1995 $ 250,000 $250,000 $250,000 7/31/1995 $ 261,400 $258,350 $258,350 8/31/1995 $ 266,210 $261,538 $261,538 9/30/1995 $ 275,607 $266,923 $266,923 10/31/1995 $ 270,205 $253,793 $253,793 11/30/1995 $ 278,203 $264,996 $264,996 12/31/1995 $ 286,994 $270,868 $270,868 1/31/1996 $ 284,584 $268,625 $268,625 2/29/1996 $ 301,374 $280,874 $280,874 3/31/1996 $ 316,985 $286,427 $286,427 4/30/1996 $ 365,199 $308,416 $308,416 5/31/1996 $ 408,803 $324,232 $324,232 6/30/1996 $ 371,602 $303,163 $303,163 7/31/1996 $ 318,983 $266,153 $266,153 8/31/1996 $ 340,579 $285,856 $285,856 9/30/1996 $ 359,583 $300,578 $300,578 10/31/1996 $ 349,191 $287,611 $287,611 11/30/1996 $ 361,133 $295,610 $295,610 12/31/1996 $ 369,403 $301,374 $301,374 1/31/1997 $ 384,696 $308,902 $308,902 2/28/1997 $ 358,960 $290,248 $290,248 3/31/1997 $ 329,346 $269,765 $269,765 4/30/1997 $ 319,630 $266,644 $266,644 5/31/1997 $ 374,799 $306,720 $306,720 6/30/1997 $ 408,905 $317,121 $317,121 7/31/1997 $ 444,848 $333,370 $333,370 8/31/1997 $ 477,277 $343,375 $343,375 9/30/1997 $ 522,714 $370,776 $370,776 10/31/1997 $ 488,215 $348,507 $348,507 11/30/1997 $ 483,382 $340,199 $340,199 12/31/1997 $ 480,917 $340,390 $340,390 1/31/1998 $ 473,366 $335,849 $335,849 2/28/1998 $ 510,005 $365,501 $365,501 3/31/1998 $ 556,211 $380,834 $380,834 4/30/1998 $ 565,555 $383,168 $383,168 5/31/1998 $ 533,375 $355,331 $355,331 6/30/1998 $ 542,016 $358,962 $358,962 7/31/1998 $ 498,709 $328,989 $328,989 8/31/1998 $ 371,039 $253,045 $253,045 9/30/1998 $ 402,912 $278,701 $278,701 10/31/1998 $ 416,691 $293,239 $293,239 11/30/1998 $ 459,652 $315,985 $315,985 12/31/1998 $ 521,475 $344,579 $344,579 1/31/1999 $ 536,650 $360,078 $360,078 2/28/1999 $ 472,896 $327,138 $327,138 3/31/1999 $ 479,517 $338,790 $338,790 4/30/1999 $ 516,488 $368,709 $368,709 5/31/1999 $ 495,157 $369,292 $369,292 6/30/1999 $ 544,425 $388,746 $388,746 7/31/1999 $ 539,688 $376,726 $376,726 8/31/1999 $ 560,790 $362,636 $362,636 9/30/1999 $ 582,324 $369,632 $369,632 10/31/1999 $ 633,977 $379,098 $379,098 11/30/1999 $ 750,882 $419,184 $419,184 12/31/1999 $ 963,682 $493,065 $493,065 1/31/2000 $1,001,747 $488,474 $488,474 2/29/2000 $1,347,650 $602,123 $602,123 3/31/2000 $1,207,225 $538,828 $538,828 4/30/2000 $ 988,114 $484,422 $484,422 5/31/2000 $ 853,039 $442,006 $442,006 6/30/2000 $1,112,960 $499,104 $499,104 7/31/2000 $ 993,205 $456,331 $456,331 8/31/2000 $1,094,214 $504,333 $503,607 9/30/2000 $1,048,257 $479,277 $478,326 10/31/2000 $ 913,451 $440,374 $430,541 11/30/2000 $ 728,660 $360,416 $349,083 12/31/2000 $ 764,437 $382,470 $354,040 1/31/2001 $ 805,029 $413,427 $403,004 2/28/2001 $ 688,058 $356,754 $348,800 3/31/2001 $ 622,693 $324,318 $322,326 4/30/2001 $ 701,152 $364,024 $356,782 5/31/2001 $ 748,620 $372,455 $378,653 6/30/2001 $ 794,735 $382,612 $402,925 7/31/2001 $ 757,541 $349,971 $371,174 8/31/2001 $ 725,876 $328,098 $346,937 9/30/2001 $ 618,519 $275,143 $294,792 10/31/2001 $ 659,774 $301,612 $320,026 11/30/2001 $ 690,718 $326,796 $346,748 12/31/2001 $ 738,170 $347,156 $372,824 1/31/2002 $ 727,836 $334,797 $363,019 2/28/2002 $ 689,988 $313,136 $335,066 3/31/2002 $ 748,430 $340,347 $363,044 4/30/2002 $ 749,777 $332,996 $354,730 5/31/2002 $ 720,236 $313,515 $333,979 6/30/2002 $ 696,828 $286,929 $314,474 7/31/2002 $ 557,881 $242,828 $263,530 8/31/2002 $ 550,294 $242,707 $263,872 9/30/2002 $ 513,809 $225,183 $242,340 10/31/2002 $ 525,524 $236,578 $251,210 11/30/2002 $ 559,210 $260,023 $279,094 12/31/2002 $ 517,269 $242,081 $264,609 1/31/2003 $ 505,579 $235,496 $261,751 2/28/2003 $ 492,485 $229,209 $253,297 3/31/2003 $ 511,741 $232,670 $257,907 4/30/2003 $ 566,088 $254,680 $282,872 5/31/2003 $ 644,491 $283,383 $322,191 6/30/2003 $ 694,697 $288,852 $339,300 7/31/2003 $ 766,250 $310,689 $367,496 8/31/2003 $ 812,992 $327,373 $384,474 9/30/2003 $ 822,585 $319,091 $391,356 10/31/2003 $ 916,113 $346,660 $426,461 11/30/2003 $ 955,964 $357,961 $442,538 12/31/2003 $ 951,184 $359,572 $449,442 1/31/2004 $1,028,896 $378,450 $478,521 2/29/2004 $1,032,291 $377,882 $475,793 3/31/2004 $1,008,858 $379,658 $470,797 4/30/2004 $ 951,050 $360,599 $442,691 5/31/2004 $ 960,656 $367,775 $440,876 6/30/2004 $ 964,114 $379,985 $454,895 7/31/2004 $ 866,450 $345,901 $405,721 8/30/2004 $ 827,286 $338,464 $397,728 9/30/2004 $ 858,888 $357,181 $416,223 10/31/2004 $ 862,324 $365,860 $422,133 11/30/2004 $ 955,110 $396,775 $461,349 12/31/2004 $1,009,360 $411,020 $484,971 1/31/2005 $ 950,111 $392,483 $461,837 2/28/2005 $ 965,313 $397,860 $461,283 3/31/2005 $ 929,113 $382,940 $438,865 4/30/2005 $ 888,604 $358,585 $410,646 5/31/2005 $ 933,390 $383,865 $436,311 6/30/2005 $ 989,766 $396,264 $453,066 7/31/2005 $1,067,166 $423,963 $487,952 8/31/2005 $1,057,775 $417,985 $481,950 9/30/2005 $1,074,382 $421,287 $488,022 10/31/2005 $1,033,878 $405,699 $468,697 11/30/2005 $1,101,700 $428,662 $493,350 12/31/2005 $1,117,234 $428,019 $494,929 1/31/2006 $1,228,176 $469,323 $545,016 2/28/2006 $1,212,578 $466,836 $544,416 3/31/2006 $1,294,669 $489,524 $566,029 4/30/2006 $1,302,826 $488,104 $558,841 5/31/2006 $1,212,540 $453,742 $518,269 6/30/2006 $1,199,202 $454,014 $511,635 7/31/2006 $1,132,646 $430,450 $485,798 8/31/2006 $1,138,536 $443,063 $498,866 9/30/2006 $1,145,139 $446,076 $499,215 10/31/2006 $1,201,366 $475,026 $532,912 11/30/2006 $1,235,485 $486,379 $545,648 12/31/2006 $1,262,789 $485,212 $551,323 1/31/2007 $1,292,591 $494,237 $560,365 2/28/2007 $1,266,093 $492,655 $554,929 3/31/2007 $1,280,146 $497,187 $554,874 </Table> Annualized Total Returns As of 3/31/2007 1 YEAR 5 YEARS 10 YEARS - ------------------------------------------------------------------------------- U.S. Micro Cap Fund Class II -1.11% 11.33% 14.54% - ------------------------------------------------------------------------------- Russell 2000 Growth/Russell Microcap Growth Index -1.97% 8.85% 7.41% - ------------------------------------------------------------------------------- Russell 2000 Growth Index 1.57% 7.74% 6.25% - ------------------------------------------------------------------------------- THE GRAPHS ABOVE SHOW THE VALUE OF A HYPOTHETICAL $250,000 INVESTMENT IN THE FUND'S CLASS I AND II SHARES COMPARED WITH THE RUSSELL 2000 GROWTH INDEX AND A BLENDED INDEX COMPRISED OF THE RUSSELL 2000 GROWTH INDEX/RUSSELL MICROCAP GROWTH INDEX. THE FUND'S CLASS I AND II SHARES CALCULATE THEIR PERFORMANCE BASED UPON THE HISTORICAL PERFORMANCE OF THEIR CORRESPONDING SERIES OF NICHOLAS-APPLEGATE MUTUAL FUNDS (RENAMED ING MUTUAL FUNDS), ADJUSTED TO REFLECT ALL FEES AND EXPENSES APPLICABLE TO CLASS I AND II SHARES. THE NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS' CLASS I SHARES WERE FIRST AVAILABLE ON MAY 7, 1999 AND CLASS II SHARES ON SEPTEMBER 30, 2004. THE HISTORICAL PERFORMANCE OF CLASS II SHARES INCLUDES THE PERFORMANCE OF CLASS I SHARES FOR PERIODS PRIOR TO THE INCEPTION OF CLASS II SHARES. AVERAGE ANNUAL TOTAL RETURN FIGURES INCLUDE CHANGES IN PRINCIPAL VALUE, REINVESTMENT DIVIDENDS, AND CAPITAL GAIN DISTRIBUTIONS. THE TOTAL RETURNS SHOWN ABOVE DO NOT SHOW THE EFFECTS OF INCOME TAXES ON AN INDIVIDUAL'S INVESTMENT. IN MOST CASES, TAXES MAY REDUCE YOUR ACTUAL INVESTMENT RETURNS ON INCOME OR GAINS PAID BY THE FUND OR ANY GAINS YOU MAY REALIZE IF YOU SELL YOUR SHARES. PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS. THE RUSSELL 2000 GROWTH INDEX IS AN UNMANAGED INDEX COMPRISED OF THOSE RUSSELL 2000 COMPANIES WITH HIGHER PRICE-TO-BOOK RATIOS AND HIGHER FORECASTED GROWTH VALUES. THE RUSSELL 2000 GROWTH INDEX IS AN UNMANAGED INDEX GENERALLY REPRESENTATIVE OF THE 2,000 SMALLEST COMPANIES IN THE RUSSELL 3000 INDEX, WHICH REPRESENTS APPROXIMATELY 10% OF THE TOTAL MARKET CAPITALIZATION OF THE RUSSELL 3000 INDEX. THE RUSSELL MICROCAP GROWTH INDEX ISOLATES THE SECURITIES IN THE RUSSELL MICROCAP INDEX WITH PURELY GROWTH CHARACTERISTICS. THE RUSSELL MICROCAP INDEX IS A NEW INDEX (AUGUST 2000) AND THEREFORE HAS LESS PERFORMANCE HISTORY THAN THE FUND'S CLASS I SHARES (JULY 1995) THE BLENDED INDEX REPRESENTS THE RUSSELL 2000 GROWTH PERFORMANCE UP TO THE INCEPTION OF THE RUSSELL MICROCAP GROWTH INDEX. INDEX PERFORMANCE THEREAFTER IS THAT OF THE RUSSELL MICROCAP GROWTH INDEX. THE INDEXES DIFFER FROM THE FUND IN COMPOSITION, DO NOT PAY MANAGEMENT FEES OR EXPENSES AND INCLUDES REINVESTED DIVIDENDS. ONE CANNOT INVEST DIRECTLY IN AN INDEX. SINCE MARKETS CAN GO DOWN AS WELL AS UP, INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET CONDITIONS. YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. 2 <Page> SCHEDULE OF INVESTMENTS As of March 31, 2007 NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK - 99.6% ADVERTISING SERVICES - 0.7% Greenfield Online, Inc.*,## 37,100 $ 589,890 ---------- AEROSPACE/DEFENSE-EQUIPMENT - 0.7% Innovative Solutions & Support, Inc.*,## 25,200 638,064 ---------- AIRLINES - 0.7% Allegiant Travel Co.*,## 19,700 620,550 ---------- ALTERNATIVE WASTE TECH - 0.9% Darling International, Inc.* 123,500 802,750 ---------- APPAREL MANUFACTURERS - 0.6% G-III Apparel Group, Ltd.* 28,600 544,830 ---------- APPLICATIONS SOFTWARE - 2.8% Actuate Corp.*,## 112,000 584,640 Applix, Inc.* 52,600 705,366 Callidus Software, Inc.*,## 78,400 588,000 Sonic Foundry, Inc.*,## 135,100 540,400 ---------- 2,418,406 ---------- AUCTION HOUSE/ART DEALER - 1.1% Premier Exhibitions, Inc.*,## 77,800 921,930 ---------- AUDIO/VIDEO PRODUCTS - 1.8% DTS, Inc.*,## 26,300 637,249 Universal Electronics, Inc.*,## 33,700 938,882 ---------- 1,576,131 ---------- AUTO/TRUCK PARTS & EQUIPMENT-ORIGINAL - 2.6% Amerigon, Inc.*,## 59,300 738,285 Spartan Motors, Inc. 32,200 747,362 Titan International, Inc.## 31,600 800,428 ---------- 2,286,075 ---------- AUTO-MEDIUM & HEAVY DUTY TRUCKS - 0.6% Force Protection, Inc.*,## 28,000 525,280 ---------- B2B/E-COMMERCE - 0.8% i2 Technologies, Inc.*,## 29,900 717,600 ---------- BEVERAGES-NON-ALCOHOLIC - 0.8% Jones Soda Co.*,## 36,300 733,986 ---------- BREWERY - 0.7% Boston Beer Co., Inc.* 18,500 616,975 ---------- BROADCAST SERVICES/PROGRAMMING - 0.5% DG FastChannel, Inc.* 27,700 460,651 ---------- BUILDING PRODUCTS-DOORS & WINDOWS - 0.8% Apogee Enterprises, Inc.## 35,100 703,404 ---------- CABLE TV - 0.9% Lodgenet Entertainment Corp.* 25,000 768,000 ---------- CASINO HOTELS - 0.7% MTR Gaming Group, Inc.* 45,000 588,600 ---------- CHEMICALS-PLASTICS - 1.4% Landec Corp.*,## 53,300 755,794 Metabolix, Inc.*,## 27,900 463,977 ---------- 1,219,771 ---------- COFFEE - 0.9% Green Mountain Coffee Roasters, Inc.*,## 12,100 762,905 ---------- COMMERCIAL SERVICES - 0.9% HMS Holdings Corp.*,## 34,300 751,170 ---------- COMMERCIAL SERVICES-FINANCE - 2.2% Clayton Holdings, Inc.*,## 40,700 624,338 Dollar Financial Corp.*,## 26,300 665,390 PRG-Schultz International, Inc.*,## 44,100 630,189 ---------- 1,919,917 ---------- COMPUTER SERVICES - 1.4% eLoyalty Corp.* 36,400 691,964 Tyler Technologies, Inc. 43,600 553,720 ---------- 1,245,684 ---------- COMPUTER SOFTWARE - 0.7% Omniture, Inc.*,## 32,500 592,475 ---------- COMPUTERS-INTEGRATED SYSTEMS - 0.9% Stratasys, Inc.*,## 17,700 756,144 ---------- COMPUTERS-MEMORY DEVICES - 1.3% Silicon Graphics, Inc.*,## 16,600 500,324 Smart Modular Technologies WWH, Inc.* 52,200 667,638 ---------- 1,167,962 ---------- COMPUTERS-PERIPHERAL EQUIPMENT - 0.6% Sigma Designs, Inc.*,## 21,500 564,590 ---------- CONSULTING SERVICES - 0.6% Huron Consulting Group, Inc.* 8,800 535,392 ---------- DATA PROCESSING/MANAGEMENT - 1.5% FalconStor Software, Inc.*,## 72,800 758,576 Infocrossing, Inc.*,## 36,500 542,755 ---------- 1,301,331 ---------- DECISION SUPPORT SOFTWARE - 0.9% Interactive Intelligence, Inc.*,## 26,600 405,384 QAD, Inc.## 36,800 334,880 ---------- 740,264 ---------- DISPOSABLE MEDICAL PRODUCTS - 1.3% Rochester Medical Corp.*,## 29,600 674,288 Volcano Corp.* 26,300 473,663 ---------- 1,147,951 ---------- DISTRIBUTION/WHOLESALE - 0.5% Houston Wire & Cable Co.*,## 16,800 470,736 ---------- DIVERSIFIED MANUFACTURING OPERATIONS - 1.4% AZZ, Inc.## 13,900 583,800 Synalloy Corp. 22,000 614,240 ---------- 1,198,040 ---------- E-COMMERCE/PRODUCTS - 1.5% FTD Group, Inc.## 36,500 603,345 Shutterfly, Inc.*,## 44,900 720,196 ---------- 1,323,541 ---------- EDUCATIONAL SOFTWARE - 0.7% INVESTools, Inc.*,## 41,800 581,020 ---------- ELECTRONIC COMPONENTS-MISCELLANEOUS - 1.7% Methode Electronics, Inc. Cl. A,## 51,000 753,270 OSI Systems, Inc.*,## 29,100 769,404 ---------- 1,522,674 ---------- ENTERPRISE SOFTWARE/SERVICES - 1.3% Opnet Technologies, Inc.*,## 29,800 402,598 Taleo Corp.* 44,100 731,178 ---------- 1,133,776 ---------- SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 3 <Page> NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- ENTERTAINMENT SOFTWARE - 0.1% Glu Mobile, Inc.*,## 4,400 $ 44,000 ---------- E-SERVICES/CONSULTING - 0.6% SumTotal Systems, Inc.*,## 69,700 556,206 ---------- FINANCE-INVESTMENT BANKERS/BROKERS - 0.7% Cowen Group, Inc.*,## 36,900 614,016 ---------- FINANCE-OTHER SERVICES - 0.7% MarketAxess Holdings, Inc.* 35,300 590,922 ---------- FIREARMS & AMMUNITION - 1.3% Smith & Wesson Holding Corp.*,## 37,400 489,566 Sturm Ruger & Co, Inc.* 49,900 671,155 ---------- 1,160,721 ---------- FOOD-WHOLESALE/DISTRIBUTION - 0.7% Spartan Stores, Inc. 24,000 643,200 ---------- FOOTWEAR & RELATED APPAREL - 0.5% Iconix Brand Group, Inc.*,## 22,500 459,000 ---------- HOUSEWARES - 1.1% National Presto Industries, Inc.## 15,400 949,256 ---------- HUMAN RESOURCES - 0.6% Kenexa Corp.* 16,100 501,193 ---------- INDUSTRIAL AUDIO&VIDEO PRODUCTS - 0.7% SRS Labs, Inc.* 42,900 597,597 ---------- INTERNET APPLICATIONS SOFTWARE - 2.6% Cybersource Corp.*,## 57,100 714,321 Interwoven, Inc.*,## 45,100 762,190 Vocus, Inc.*,## 37,900 762,927 ---------- 2,239,438 ---------- INTERNET CONNECTIVITY SERVICES - 0.6% Cogent Communications Group, Inc.*,## 22,300 526,949 ---------- INTERNET CONTENT-INFO/NEWS - 0.5% The Knot, Inc.*,## 18,800 404,764 ---------- INTERNET INFRASTRUCTURE SOFTWARE - 0.7% SupportSoft, Inc.*,## 109,300 616,452 ---------- INTERNET SECURITY - 0.9% Vasco Data Security International*,## 43,100 770,197 ---------- INVESTMENT COMPANIES - 0.9% NexCen Brands, Inc.*,## 76,900 762,848 ---------- LIGHTING PRODUCTS & SYSTEMS - 0.8% Color Kinetics, Inc.*,## 34,500 670,335 ---------- MACHINERY TOOLS & RELATED PRODUCTS - 0.7% Hardinge, Inc. 23,200 606,912 ---------- MACHINERY-FARM - 0.8% Lindsay Corp.## 20,900 664,411 ---------- MACHINERY-GENERAL INDUSTRY - 0.8% DXP Enterprises, Inc.*,## 18,500 706,700 ---------- MEDICAL INFORMATION SYSTEMS - 0.7% Phase Forward, Inc.*,## 48,100 631,553 ---------- MEDICAL INSTRUMENTS - 1.5% Conceptus, Inc.* 31,500 630,000 Micrus Endovascular Corp.*,## 29,000 691,360 ---------- 1,321,360 ---------- MEDICAL LASER SYSTEMS - 1.1% Cynosure, Inc.*,## 33,500 966,475 ---------- MEDICAL PRODUCTS - 2.0% Hanger Orthopedic Group, Inc.*,## 60,700 708,369 Minrad International, Inc.*,## 87,100 451,178 Osteotech, Inc.*,## 77,600 592,864 ---------- 1,752,411 ---------- MEDICAL-BIOMEDICAL/GENETICS - 5.5% Acorda Therapeutics, Inc.*,## 25,500 495,210 Advanced Magnetics, Inc.*,## 10,700 644,889 BioMimetic Therapeutics, Inc.* 33,400 552,436 Genomic Health, Inc.*,## 24,100 417,894 GTX, Inc.*,## 31,800 648,720 Incyte Corp.*,## 79,100 521,269 Savient Pharmaceuticals, Inc.*,## 37,300 448,346 Seattle Genetics, Inc. *,## 70,400 576,576 XOMA, Ltd.*,## 175,500 507,195 ---------- 4,812,535 ---------- MEDICAL-DRUGS - 1.4% Akorn, Inc. 98,600 665,550 Array Biopharma, Inc.*,## 43,500 552,450 ---------- 1,218,000 ---------- MEDICAL-GENERIC DRUGS - 0.6% Javelin Pharmaceuticals, Inc.*,## 85,000 504,050 ---------- MEDICAL-NURSING HOMES - 0.7% Sun Healthcare Group, Inc.*,## 52,500 648,375 ---------- MEDICAL-OUTPATIENT/HOME MEDICAL CARE - 1.8% Gentiva Health Services, Inc. 35,200 709,984 LHC Group, Inc.* 25,600 830,208 ---------- 1,540,192 ---------- METAL PROCESSORS & FABRICATION - 1.9% CIRCOR International, Inc.## 20,300 724,710 RBC Bearings, Inc.*,## 28,600 956,098 ---------- 1,680,808 ---------- NON-FERROUS METALS - 0.9% Brush Engineered Materials, Inc.* 16,300 790,061 ---------- OIL COMPANIES-EXPLORATION & PRODUCTION - 0.7% Arena Resources, Inc.* 11,900 596,428 ---------- OPTICAL RECOGNITION EQUIPMENT - 0.6% Digimarc Corp.* 55,400 560,094 ---------- PAPER & RELATED PRODUCTS - 0.8% Mercer International, Inc.* 57,300 685,308 ---------- POLLUTION CONTROL - 0.7% Fuel Tech, Inc.* 24,700 608,855 ---------- POWER CONVERSION/SUPPLY EQUIPMENT - 0.7% Powell Industries, Inc.* 20,300 649,600 ---------- PRIVATE CORRECTIONS - 1.7% Cornell Cos, Inc.*,## 39,500 798,690 The Geo Group, Inc.*,## 14,300 648,076 ---------- 1,446,766 ---------- PROPERTY/CASUALTY INSURANCE - 0.7% Tower Group, Inc. 19,000 612,180 ---------- REAL ESTATE OPERATION/DEVELOPMENT - 0.6% Avatar Holdings, Inc.## 7,500 535,800 ---------- REITS-APARTMENTS - 0.4% Associated Estates Realty Corp. 22,900 322,661 ---------- RESORTS/THEME PARKS - 0.8% Great Wolf Resorts, Inc.*,## 52,000 687,960 ---------- SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 4 <Page> NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- RETAIL-APPAREL/SHOE - 0.9% Eddie Bauer Holdings, Inc.*,## 69,700 $ 792,489 ----------- RETAIL-REGIONAL DEPARTMENT STORES - 0.7% Gottschalks, Inc.* 39,900 569,373 ----------- RETAIL-RESTAURANTS - 1.3% Benihana, Inc.## 18,800 532,792 Morton's Restaurant Group, Inc.*,## 34,200 608,418 ----------- 1,141,210 ----------- SCHOOLS - 0.8% Capella Education Co.*,## 20,300 680,862 ----------- SEISMIC DATA COLLECTION - 1.1% Dawson Geophysical Co.* 18,500 916,305 ----------- SEMICONDUCTOR EQUIPMENT - 0.7% Ultra Clean Holdings* 36,200 626,260 ----------- SPECIFIED PURPOSE ACQUISITION - 0.8% Endeavor Acquisition Corp.*,## 61,300 665,105 ----------- STEEL-SPECIALTY - 0.9% Universal Stainless & Alloy* 16,300 773,761 ----------- TELECOMMUNICATIONS EQUIPMENT FIBER OPTICS - 1.6% C-COR, Inc.*,## 57,000 790,020 Harmonic, Inc.*,## 65,300 641,246 ----------- 1,431,266 ----------- TELECOMMUNICATIONS SERVICES - 3.4% Consolidated Communications Holdings, Inc. 34,200 680,238 Knology, Inc.* 50,200 794,666 Lightbridge, Inc.* 49,300 866,201 Orbcomm, Inc.*,## 46,900 597,975 ----------- 2,939,080 ----------- TEXTILE-APPAREL - 1.0% Perry Ellis International, Inc.* 26,300 841,337 ----------- THERAPEUTICS - 1.3% Alnylam Pharmaceuticals, Inc.*,## 34,400 619,200 Inspire Pharmaceuticals, Inc.*,## 86,200 491,340 ----------- 1,110,540 ----------- TRANSACTIONAL SOFTWARE - 0.8% Synchronoss Technologies, Inc.*,## 38,600 671,640 ----------- TRANSPORT-MARINE - 1.2% Genco Shipping & Trading, Ltd. 34,200 1,086,876 ----------- WATER - 0.8% Pico Holdings, Inc.*,## 15,500 662,005 ----------- WIRELESS EQUIPMENT - 0.8% Novatel Wireless, Inc.*,## 45,000 721,800 - -------------------------------------------------------------------------------- Total Common Stock (Cost: $74,657,866) 86,734,963 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- SHORT TERM INVESTMENTS - 42.7% MONEY MARKET FUNDS - 41.4% Boston Global Investment Trust - Enhanced Portfolio, 5.290%** $36,010,475 $ 36,010,475 ------------ TIME DEPOSIT - 1.3% Bank of America London 4.690%, 04/02/07 1,158,275 1,158,275 - ------------------------------------------------------------------------------- Total Short Term Investments (Cost: $37,168,750) 37,168,750 - ------------------------------------------------------------------------------- Total Investments - 142.3% (Cost: $111,826,616) 123,903,713 - ------------------------------------------------------------------------------- Liabilities in Excess of Other Assets - (42.3%) (36,806,461) - ------------------------------------------------------------------------------- Net Assets - 100.0% $ 87,097,252 - ------------------------------------------------------------------------------- * NON-INCOME PRODUCING SECURITIES. ** ALL OF THE SECURITY IS PURCHASED WITH CASH COLLATERAL PROCEEDS FROM SECURITIES LOANS. ## ALL OR A PORTION OF THE FUND'S HOLDINGS IN THIS SECURITY WAS ON LOAN AS OF 03/31/07. SCHEDULE OF INVESTMENTS BY SECTOR as of March 31, 2007 PERCENT OF SECTOR NET ASSETS - -------------------------------------------------------------------------------- Consumer, Non-cyclical 29.6% Communications 16.2 Industrial 15.3 Consumer, Cyclical 13.8 Technology 13.5 Financial 4.7 Basic Materials 4.0 Energy 1.7 Utilities 0.8 Short Term Investments 42.7 - -------------------------------------------------------------------------------- Total Investments 142.3 Liabilities in excess of other assets (42.3) - -------------------------------------------------------------------------------- Net Assets 100.0% ================================================================================ SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 5 <Page> U.S. EMERGING GROWTH FUND MANAGEMENT TEAM: JOHN C. MCCRAW, Portfolio Manager; TRAVIS T. PRENTICE, Portfolio Manager; MONTIE L. WEISENBERGER, Portfolio Manager; K. MATHEW AXLINE, CFA, Analyst; STEPHEN W. LYFORD, Analyst; JOSHUA M. MOSS, Analyst CHIEF INVESTMENT OFFICER: HORACIO A. VALEIRAS, CFA GOAL: The U.S. Emerging Growth Fund seeks to maximize long-term capital appreciation through investments primarily in U.S. companies with market capitalizations similar to the Russell 2000 Growth Index at time of purchase. MARKET OVERVIEW: U.S. small-cap growth stocks, as measured by the Russell 2000 Growth Index, delivered modest gains during the twelve months ended March 31, 2007. While finishing the period almost where they had started, small-cap growth stocks took dramatic twists and turns along the way. More specifically: - From April through July, the index fell approximately 12% in response to soaring oil prices and concerns that too many interest rate hikes from the Federal Reserve would put a crimp in economic and earnings growth - The index rallied more than 19% between August and late February, as oil prices retreated and the Fed held rates steady at each of its policy meetings - Near the end of the period, a sell-off in Chinese equities sparked a decline in markets worldwide, and the index tumbled roughly 8% only to rebound to end March with a gain Within the small-cap growth market, sector returns reflected investors' diminished risk appetites. The worst-performing sectors were information technology and health care, which includes the volatile biotech industry. The best performers were the defensive utilities and consumer staples sectors. PERFORMANCE: From April 1, 2006 through March 31, 2007, the Fund's Class I shares gained 1.30% and the Russell 2000 Growth Index rose 1.57%. PORTFOLIO SPECIFICS: Stock selection added value relative to the index and was strongest in the industrials sector. Two of the Fund's best-performing holdings were TeleTech Holdings, a provider of business services such as claims processing, and General Cable, a manufacturer of cable and wire products. TeleTech Holdings benefited from expectations that margins would expand, given a strong demand environment and the company's efforts to keep costs low and facility utilization high. General Cable experienced pricing power in its energy cable business, supported by robust spending on infrastructure for transmitting and distributing electric power. Stock selection was also strong in the materials and consumer discretionary sectors, where top performers included Brush Engineered Materials, a producer of specialty metals, and Crocs, a footwear manufacturer. While positive overall, stock selection in the information technology and financials sectors weighed on performance versus the index. Relative results were also hurt by sector allocations, which are a byproduct of our bottom-up investment process. An overweight in energy stocks was particularly unfavorable given moderating oil prices. MARKET OUTLOOK: Cash on corporate balance sheets and in private equity funds should continue to drive merger and acquisition activity, lending support to prices of small-cap growth stocks. That said, corporate profit growth is slowing, the housing market remains weak and the Fed is facing the difficult combination of moderating economic growth and stubborn inflationary pressures. Despite these headwinds, we remain optimistic in our outlook for the Fund given our focus on bottom-up stock selection. Through in-depth research on individual companies, we believe we can identify stocks with exciting growth prospects in any type of investment environment. COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN U.S. EMERGING GROWTH FUND CLASS I SHARES WITH THE RUSSELL 2000 GROWTH INDEX. [CHART] <Table> <Caption> U.S. EMERGING GROWTH FUND RUSSELL 2000 CLASS I SHARES GROWTH INDEX ------------------------- ------------ <S> <C> <C> 10/1/1993 $ 250,000.00 $250,000.00 10/31/1993 $ 250,400.00 $257,225.00 11/30/1993 $ 237,400.00 $246,820.25 12/31/1993 $ 249,920.00 $256,559.78 1/31/1994 $ 257,143.12 $263,389.40 2/28/1994 $ 255,285.75 $262,230.48 3/31/1994 $ 234,854.63 $246,121.67 4/30/1994 $ 235,473.76 $246,498.23 5/31/1994 $ 229,076.14 $240,974.21 6/30/1994 $ 217,519.14 $230,677.38 7/31/1994 $ 222,678.51 $233,964.53 8/31/1994 $ 237,743.88 $251,132.85 9/30/1994 $ 240,633.13 $252,185.09 10/31/1994 $ 243,935.13 $254,870.87 11/30/1994 $ 231,552.63 $244,558.79 12/31/1994 $ 241,146.93 $250,320.60 1/31/1995 $ 231,007.29 $245,221.57 2/28/1995 $ 243,351.19 $256,553.25 3/31/1995 $ 255,254.24 $264,047.17 4/30/1995 $ 259,442.35 $268,018.44 5/31/1995 $ 261,426.19 $271,529.49 6/30/1995 $ 284,571.01 $290,240.58 7/31/1995 $ 312,124.36 $312,861.93 8/31/1995 $ 313,006.06 $316,722.65 9/30/1995 $ 319,618.87 $323,243.97 10/31/1995 $ 307,054.54 $307,343.60 11/30/1995 $ 320,721.00 $320,909.74 12/31/1995 $ 327,708.03 $328,021.10 1/31/1996 $ 323,033.16 $325,305.09 2/29/1996 $ 342,667.60 $340,139.00 3/31/1996 $ 352,952.30 $346,863.55 4/30/1996 $ 389,649.99 $373,492.26 5/31/1996 $ 411,388.11 $392,644.95 6/30/1996 $ 386,377.58 $367,130.88 7/31/1996 $ 341,966.37 $322,311.54 8/31/1996 $ 372,352.99 $346,172.26 9/30/1996 $ 397,129.77 $364,000.14 10/31/1996 $ 379,832.77 $348,297.17 11/30/1996 $ 383,573.74 $357,983.31 12/31/1996 $ 389,595.30 $364,963.99 1/31/1997 $ 394,412.55 $374,080.79 2/28/1997 $ 351,960.52 $351,490.05 3/31/1997 $ 332,992.58 $326,685.40 4/30/1997 $ 327,874.25 $322,905.65 5/31/1997 $ 379,960.80 $371,438.37 6/30/1997 $ 407,660.00 $384,033.84 7/31/1997 $ 436,864.59 $403,711.74 8/31/1997 $ 445,294.78 $415,827.13 9/30/1997 $ 487,144.67 $449,010.13 10/31/1997 $ 452,520.66 $422,042.58 11/30/1997 $ 435,016.67 $411,981.09 12/31/1997 $ 436,748.43 $412,211.80 1/31/1998 $ 426,704.25 $406,712.89 2/28/1998 $ 464,802.85 $442,621.57 3/31/1998 $ 490,779.16 $461,189.55 4/30/1998 $ 490,779.16 $464,016.64 5/31/1998 $ 452,334.22 $430,305.83 6/30/1998 $ 468,959.06 $434,703.55 7/31/1998 $ 429,194.63 $398,405.81 8/31/1998 $ 325,072.58 $306,437.81 9/30/1998 $ 358,956.36 $337,507.54 10/31/1998 $ 363,544.79 $355,111.93 11/30/1998 $ 401,943.53 $382,657.97 12/31/1998 $ 455,853.84 $417,284.69 1/31/1999 $ 500,962.47 $436,054.15 2/28/1999 $ 447,785.63 $396,163.92 3/31/1999 $ 495,828.16 $410,275.28 4/30/1999 $ 525,167.10 $446,506.69 5/31/1999 $ 504,263.10 $447,212.17 6/30/1999 $ 566,975.09 $470,771.30 7/31/1999 $ 569,542.25 $456,215.06 8/31/1999 $ 564,774.67 $439,152.61 9/30/1999 $ 581,644.57 $447,623.87 10/31/1999 $ 637,021.82 $459,087.51 11/30/1999 $ 720,228.25 $507,631.43 12/31/1999 $ 882,812.21 $597,101.47 1/31/2000 $ 860,760.60 $591,542.45 2/29/2000 $1,159,018.07 $729,170.72 3/31/2000 $1,010,263.09 $652,520.29 4/30/2000 $ 867,488.21 $586,635.32 5/31/2000 $ 762,088.95 $535,269.53 6/30/2000 $ 918,319.06 $604,415.65 7/31/2000 $ 822,263.71 $552,617.23 8/31/2000 $ 942,613.21 $610,747.03 9/30/2000 $ 886,923.53 $580,405.12 10/31/2000 $ 793,110.72 $533,293.64 11/30/2000 $ 611,428.18 $436,463.51 12/31/2000 $ 665,221.07 $463,170.71 1/31/2001 $ 676,406.22 $500,659.75 2/28/2001 $ 563,494.32 $432,029.31 3/31/2001 $ 509,701.38 $392,749.21 4/30/2001 $ 570,950.76 $440,833.49 5/31/2001 $ 573,081.18 $451,043.20 6/30/2001 $ 583,733.24 $463,343.14 7/31/2001 $ 545,918.41 $423,815.34 8/31/2001 $ 509,701.38 $397,326.88 9/30/2001 $ 423,419.64 $333,198.32 10/31/2001 $ 459,103.73 $365,252.00 11/30/2001 $ 495,320.73 $395,750.54 12/31/2001 $ 518,222.66 $420,405.80 1/31/2002 $ 503,309.78 $405,439.36 2/28/2002 $ 471,886.20 $379,207.43 3/31/2002 $ 510,766.22 $412,160.56 4/30/2002 $ 502,777.18 $403,257.89 5/31/2002 $ 476,147.03 $379,667.30 6/30/2002 $ 442,593.04 $347,471.51 7/31/2002 $ 379,745.90 $294,065.14 8/31/2002 $ 378,680.69 $293,918.11 9/30/2002 $ 358,441.78 $272,697.22 10/31/2002 $ 364,833.01 $286,495.70 11/30/2002 $ 382,408.91 $314,887.43 12/31/2002 $ 356,843.97 $293,160.19 1/31/2003 $ 346,724.51 $285,186.24 2/28/2003 $ 336,072.46 $277,571.76 3/31/2003 $ 336,605.06 $281,763.10 4/30/2003 $ 368,028.63 $308,417.89 5/31/2003 $ 400,517.41 $343,176.58 6/30/2003 $ 410,636.87 $349,799.89 7/31/2003 $ 442,060.44 $376,244.76 8/31/2003 $ 469,223.19 $396,449.11 9/30/2003 $ 446,853.87 $386,418.94 10/31/2003 $ 488,396.90 $419,805.54 11/30/2003 $ 500,646.76 $433,491.20 12/31/2003 $ 491,592.51 $435,441.91 1/31/2004 $ 520,885.68 $458,302.61 2/29/2004 $ 511,831.43 $457,615.16 3/31/2004 $ 511,298.82 $459,765.95 4/30/2004 $ 480,408.20 $436,685.70 5/31/2004 $ 485,734.23 $445,375.74 6/30/2004 $ 507,038.36 $460,162.22 7/31/2004 $ 462,832.29 $418,885.67 8/30/2004 $ 444,191.17 $409,879.62 9/30/2004 $ 476,147.37 $432,545.97 10/31/2004 $ 488,908.12 $443,056.84 11/30/2004 $ 528,314.11 $480,495.14 12/31/2004 $ 546,435.29 $497,744.91 1/31/2005 $ 525,124.31 $475,296.62 2/28/2005 $ 538,462.47 $481,808.18 3/31/2005 $ 520,370.13 $463,740.37 4/30/2005 $ 487,326.63 $434,246.49 5/31/2005 $ 520,903.43 $464,860.86 6/30/2005 $ 544,344.09 $479,875.87 7/31/2005 $ 584,298.94 $513,419.19 8/31/2005 $ 588,564.32 $506,179.98 9/30/2005 $ 594,449.97 $510,178.80 10/31/2005 $ 578,994.27 $491,302.19 11/30/2005 $ 606,091.20 $519,109.89 12/31/2005 $ 618,334.24 $518,331.23 1/31/2006 $ 688,700.68 $568,350.19 2/28/2006 $ 698,273.62 $565,337.94 3/31/2006 $ 740,938.14 $592,813.36 4/30/2006 $ 749,458.93 $591,094.20 5/31/2006 $ 705,765.47 $549,481.17 6/30/2006 $ 701,530.88 $549,810.86 7/31/2006 $ 658,316.58 $521,275.67 8/31/2006 $ 665,228.90 $536,549.05 9/30/2006 $ 666,293.27 $540,197.58 10/31/2006 $ 699,341.41 $575,256.41 11/30/2006 $ 712,139.36 $589,005.04 12/31/2006 $ 719,047.11 $587,591.42 1/31/2007 $ 733,931.39 $598,520.62 2/28/2007 $ 740,243.20 $596,605.36 3/31/2007 $ 750,532.58 $602,094.13 </Table> Annualized Total Returns As of 3/31/07 1 YEAR 5 YEARS 10 YEARS - --------------------------------------------------------------- U.S. Emerging Growth Fund Class I 1.30% 8.00% 8.46% - --------------------------------------------------------------- Russell 2000 Growth Index 1.57% 7.88% 6.31% - --------------------------------------------------------------- THE GRAPH ABOVE SHOWS THE VALUE OF A HYPOTHETICAL $250,000 INVESTMENT IN THE FUND'S CLASS I SHARES COMPARED WITH THE RUSSELL 2000 GROWTH INDEX FOR THE PERIODS INDICATED. THE FUND CALCULATES PERFORMANCE BASED UPON THE HISTORICAL PERFORMANCE OF A CORRESPONDING SERIES OF NICHOLAS-APPLEGATE MUTUAL FUNDS (RENAMED ING MUTUAL FUNDS), ADJUSTED TO REFLECT ALL FEES AND EXPENSES APPLICABLE TO CLASS I SHARES. THE NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS' CLASS I SHARES WERE FIRST AVAILABLE ON MAY 7, 1999. AVERAGE ANNUAL TOTAL RETURN FIGURES INCLUDE CHANGES IN PRINCIPAL VALUE, REINVESTED DIVIDENDS, AND CAPITAL GAIN DISTRIBUTIONS. THE TOTAL RETURNS SHOWN ABOVE DO NOT SHOW THE EFFECTS OF INCOME TAXES ON AN INDIVIDUAL'S INVESTMENT. IN MOST CASES, TAXES MAY REDUCE YOUR ACTUAL INVESTMENT RETURNS ON INCOME OR GAINS PAID BY THE FUND OR ANY GAINS YOU MAY REALIZE IF YOU SELL YOUR SHARES. PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS. THE RUSSELL 2000 GROWTH INDEX IS AN UNMANAGED INDEX COMPRISED OF THOSE RUSSELL 2000 COMPANIES WITH HIGHER PRICE-TO-BOOK RATIOS AND HIGHER FORECASTED GROWTH VALUES. THE RUSSELL 2000 INDEX IS AN UNMANAGED INDEX GENERALLY REPRESENTATIVE OF THE 2,000 SMALLEST COMPANIES IN THE RUSSELL 3000 INDEX, WHICH REPRESENTS APPROXIMATELY 10% OF THE TOTAL MARKET CAPITALIZATION OF THE RUSSELL 3000 INDEX. THE UNMANAGED INDEX DIFFERS FROM THE FUND IN COMPOSITION, DOES NOT PAY MANAGEMENT FEES OR EXPENSES AND INCLUDES REINVESTED DIVIDENDS. ONE CANNOT INVEST DIRECTLY IN AN INDEX. SINCE MARKETS CAN GO DOWN AS WELL AS UP, INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET CONDITIONS. YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. 6 <Page> SCHEDULE OF INVESTMENTS As of March 31, 2007 NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK - 98.9% ADVERTISING SERVICES - 0.8% inVentiv Health, Inc.* 2,100 $ 80,409 -------- AEROSPACE/DEFENSE - 0.9% TransDigm Group, Inc.* 2,500 90,950 -------- AEROSPACE/DEFENSE-EQUIPMENT - 3.7% AAR Corp. 3,200 88,192 BE Aerospace, Inc. 1,900 60,230 Innovative Solutions & Support, Inc.*,## 2,300 58,236 Moog, Inc. 1,500 62,475 Orbital Sciences Corp.* 3,600 67,464 Triumph Group, Inc. 1,000 55,340 -------- 391,937 -------- AGRICULTURAL CHEMICALS - 0.5% CF Industries Holdings, Inc. 1,500 57,825 -------- AIRLINES - 1.3% Allegiant Travel Co.* 1,900 59,850 ExpressJet Holdings, Inc.* 4,900 28,616 Republic Airways Holdings, Inc.* 2,300 52,808 -------- 141,274 -------- APPAREL MANUFACTURERS - 1.6% G-III Apparel Group, Ltd.* 3,100 59,055 Phillips-Van Heusen## 800 47,040 Volcom, Inc.*,## 1,800 61,848 -------- 167,943 -------- APPLICATIONS SOFTWARE - 0.5% Actuate Corp.*,## 9,500 49,590 -------- AUTO/TRUCK PARTS & EQUIPMENT-ORIGINAL - 0.9% Fuel Systems Solutions, Inc.* 1,900 35,188 Titan International, Inc.## 2,200 55,726 -------- 90,914 -------- AUTO-MEDIUM & HEAVY DUTY TRUCKS - 0.5% Force Protection, Inc.*,## 2,900 54,404 B2B/E-COMMERCE - 0.6% i2 Technologies, Inc.*,## 2,700 64,800 -------- BEVERAGES-NON-ALCOHOLIC - 0.8% Jones Soda Co.*,## 4,200 84,924 -------- BUILDING & CONSTRUCTION-MISCELLANEOUS - 0.8% Layne Christensen Co.* 2,300 83,766 -------- BUILDING-HEAVY CONSTRUCTION - 0.8% Perini Corp.*,## 2,400 88,464 -------- BUILDING-MAINTENANCE & SERVICE - 0.6% Healthcare Services Group 2,100 60,165 -------- CABLE TV - 0.7% Lodgenet Entertainment Corp.* 2,300 70,656 -------- CHEMICALS-PLASTICS - 0.4% Metabolix, Inc.* 2,800 46,564 -------- COMMERCIAL SERVICES - 0.8% TeleTech Holdings, Inc.*,## 2,300 84,387 -------- COMMERCIAL SERVICES-FINANCE - 0.6% Dollar Financial Corp.*,## 2,600 65,780 -------- COMMUNICATIONS SOFTWARE - 0.5% DivX, Inc.*,## 2,400 48,096 -------- COMPUTER SERVICES - 0.9% Covansys Corp.* 2,200 54,296 Ness Technologies, Inc.* 3,500 44,730 -------- 99,026 -------- COMPUTERS-INTEGRATED SYSTEMS - 0.5% Radiant Systems, Inc.*,## 4,100 53,423 -------- COMPUTERS-MEMORY DEVICES - 0.7% NetList, Inc.* 4,200 29,232 Smart Modular Technologies WWH, Inc.* 3,600 46,044 -------- 75,276 -------- COMPUTERS-PERIPHERAL EQUIPMENT - 1.2% Sigma Designs, Inc.*,## 3,400 89,284 Synaptics, Inc.* 1,600 40,928 -------- 130,212 -------- CONSULTING SERVICES - 0.3% Watson Wyatt Worldwide, Inc. 700 34,055 -------- CONSUMER PRODUCTS-MISCELLANEOUS - 0.6% Helen of Troy, Ltd.* 2,900 65,859 -------- COSMETICS & TOILETRIES - 0.6% Elizabeth Arden, Inc.* 3,000 65,460 -------- DATA PROCESSING/MANAGEMENT - 0.6% FalconStor Software, Inc.*,## 5,800 60,436 -------- DIAGNOSTIC EQUIPMENT - 0.4% Immucor, Inc.* 1,500 44,145 -------- DIAGNOSTIC KITS - 0.6% Inverness Medical Innovations, Inc.* 1,500 65,670 -------- DISPOSABLE MEDICAL PRODUCTS - 0.6% ICU Medical, Inc.*,## 1,500 58,800 -------- DISTRIBUTION/WHOLESALE - 0.7% Houston Wire & Cable Co*,## 2,700 75,654 -------- DIVERSIFIED MANUFACTURING OPERATIONS - 0.6% Koppers Holdings, Inc. 2,600 66,716 -------- ELECTRONIC COMPONENTS-MISCELLANEOUS - 0.5% OSI Systems, Inc.* 2,100 55,524 -------- ELECTRONIC COMPONENTS-SEMICONDUCTORS - 0.6% Omnivision Technologies, Inc.*,## 4,500 58,320 -------- ENERGY-ALTERNATE SOURCES - 1.3% JA Solar Holdings Co, Ltd. - ADR*,## 3,700 66,933 Trina Solar, Ltd. - ADR*,## 1,645 72,512 -------- 139,445 -------- ENGINEERING/R & D SERVICES - 0.6% URS Corp. 1,400 59,626 -------- ENTERPRISE SOFTWARE/SERVICES - 1.9% Concur Technologies, Inc.*,## 3,900 68,094 Sybase, Inc.*,## 2,200 55,616 Ultimate Software Group, Inc.*,## 3,100 81,189 -------- 204,899 -------- ENTERTAINMENT SOFTWARE - 0.3% THQ, Inc.*,## 850 29,061 -------- FINANCE-INVESTMENT BANKERS/BROKERS - 1.3% Cowen Group, Inc.*,## 2,800 46,592 Stifel Financial Corp.* 1,200 53,160 SWS Group, Inc.## 1,400 34,734 -------- 134,486 -------- SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 7 <Page> NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- FINANCE-OTHER SERVICES - 0.8% GFI Group, Inc.* 1,200 $ 81,564 -------- FIREARMS & AMMUNITION - 0.6% Smith & Wesson Holding Corp.*,## 4,900 64,141 -------- FOOTWEAR & RELATED APPAREL - 1.5% CROCS, Inc.*,## 700 33,075 Iconix Brand Group, Inc.* 2,500 51,000 Skechers U.S.A., Inc.* 2,200 73,854 -------- 157,929 -------- HOME FURNISHINGS - 0.7% Tempur-Pedic International, Inc.## 2,900 75,371 -------- HOTELS & MOTELS - 0.6% Orient-Express Hotels, Ltd. Cl. A 1,000 59,820 -------- HUMAN RESOURCES - 0.6% Heidrick & Struggles International, Inc.*,## 1,400 67,830 -------- INDUSTRIAL AUTOMATION/ROBOTICS - 1.1% Gerber Scientific, Inc.* 5,000 53,050 Hurco Cos., Inc.* 1,500 64,275 -------- 117,325 -------- INSTRUMENTS-SCIENTIFIC - 0.6% FEI Co.* 1,900 68,514 -------- INTERNET APPLICATIONS SOFTWARE - 1.9% Cybersource Corp.*,## 6,800 85,068 DealerTrack Holdings, Inc.*,## 1,700 52,224 Vignette Corp.*,## 3,200 59,424 -------- 196,716 -------- INTERNET CONNECTIVITY SERVICES - 0.6% Cogent Communications Group, Inc.* 2,900 68,527 -------- INTERNET CONTENT-INFO/NEWS - 0.5% The Knot, Inc.*,## 2,400 51,672 -------- INTERNET INFRASTRUCTURE EQUIPMENT - 0.4% Avocent Corp. 1,400 37,758 -------- INTERNET INFRASTRUCTURE SOFTWARE - 0.8% RADVision, Ltd.* 3,600 84,960 -------- INTERNET SECURITY - 0.8% Vasco Data Security International*,## 4,800 85,776 -------- INVESTMENT COMPANIES - 0.3% NexCen Brands, Inc.* 3,100 30,752 -------- INVESTMENT MANAGEMENT/ADVISOR SERVICES - 0.7% Affiliated Managers Group, Inc.*,## 700 75,845 -------- LASERS-SYSTEMS/COMPONENTS - 0.7% II-VI, Inc.* 2,200 74,470 -------- MACHINERY-GENERAL INDUSTRY - 2.5% Chart Industries, Inc.* 4,200 76,272 DXP Enterprises, Inc.*,## 1,300 49,660 Kadant, Inc.* 2,300 58,328 Middleby Corp. 600 79,104 -------- 263,364 -------- MEDICAL INFORMATION SYSTEMS - 1.2% Allscripts Healthcare Solutions, Inc.*,## 2,200 58,982 Phase Forward, Inc.*,## 4,900 64,337 -------- 123,319 -------- MEDICAL INSTRUMENTS - 2.5% Conceptus, Inc.* 2,900 58,000 Micrus Endovascular Corp.*,## 3,600 85,824 NuVasive, Inc.*,## 3,200 76,000 Spectranetics Corp.*,## 3,800 40,660 -------- 260,484 -------- MEDICAL LABS & TESTING SERVICES - 0.8% Icon PLC - ADR* 1,900 80,940 -------- MEDICAL LASER SYSTEMS - 0.8% Cynosure, Inc.*,## 2,800 80,780 -------- MEDICAL PRODUCTS - 0.7% Viasys Healthcare, Inc.* 2,200 74,778 -------- MEDICAL-BIOMEDICAL/GENETICS - 1.8% Arena Pharmaceuticals, Inc.## 4,200 45,612 InterMune, Inc.*,## 1,500 36,990 Keryx Biopharmaceuticals, Inc.* 4,300 45,236 Omrix Biopharmaceuticals, Inc.* 1,500 57,405 -------- 185,243 -------- MEDICAL-DRUGS - 1.5% Collagenex Pharmaceuticals, Inc.*,## 4,100 55,391 Indevus Pharmaceuticals, Inc.* 6,900 48,783 OSI Pharmaceuticals, Inc.* 1,500 49,500 -------- 153,674 -------- METAL PROCESSORS & FABRICATION - 2.1% CIRCOR International, Inc.## 1,900 67,830 Haynes International, Inc.* 900 65,637 RBC Bearings, Inc.*,## 2,800 93,604 -------- 227,071 -------- NETWORKING PRODUCTS - 1.0% Netgear, Inc.*,## 2,000 57,060 Switch & Data Facilities Co., Inc.*,## 2,900 52,548 -------- 109,608 -------- NON-FERROUS METALS - 0.8% Brush Engineered Materials, Inc.* 1,800 87,246 -------- OFFICE FURNISHINGS-ORIGINAL - 1.5% Interface, Inc.## 5,100 81,549 Knoll, Inc.## 3,300 78,639 -------- 160,188 -------- OIL COMPANIES-EXPLORATION & PRODUCTION - 1.0% Carrizo Oil & Gas, Inc.* 1,400 48,944 Petroleum Development Corp.*,## 1,100 58,927 -------- 107,871 -------- OIL FIELD MACHINERY & EQUIPMENT - 0.6% NATCO Group, Inc.*,## 2,000 68,240 -------- OIL-FIELD SERVICES - 1.1% Oceaneering International, Inc.* 1,300 54,756 Tetra Technologies, Inc.* 2,600 64,246 -------- 119,002 -------- OPTICAL SUPPLIES - 0.2% Oakley, Inc. 1,100 22,154 -------- PHYSICAL THERAPY/REHABILITATION CENTERS - 0.8% Psychiatric Solutions, Inc. 2,100 84,651 -------- POLLUTION CONTROL - 0.6% Fuel Tech, Inc.* 2,600 64,090 -------- SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 8 <Page> NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- PRINTING-COMMERCIAL - 0.6% Consolidated Graphics, Inc.* 900 $ 66,645 ----------- PRIVATE CORRECTIONS - 1.5% Corrections Corp. of America* 1,350 71,294 The Geo Group, Inc.*,## 1,900 86,108 ----------- 157,402 ----------- PROPERTY/CASUALTY INSURANCE - 3.4% American Physicians Capital, Inc.* 1,450 58,116 Amtrust Financial Services, Inc.## 5,500 58,080 Argonaut Group, Inc.* 1,800 58,248 Navigators Group, Inc.* 1,200 60,204 Ohio Casualty Corp. 2,200 65,890 Tower Group, Inc. 1,900 61,218 ----------- 361,756 ----------- REAL ESTATE MANAGEMENT/SERVICES - 0.3% HFF, Inc.* 2,300 34,500 ----------- REAL ESTATE OPERATION/DEVELOPMENT - 0.3% Avatar Holdings, Inc.## 500 35,720 ----------- RECREATIONAL CENTERS - 0.6% Town Sports International Holdings, Inc.* 2,700 58,860 ----------- RESEARCH & DEVELOPMENT - 0.6% Parexel International Corp.* 1,900 68,343 ----------- RESORTS/THEME PARKS - 0.8% Vail Resorts, Inc.*,## 1,600 86,928 ----------- RETAIL-APPAREL/SHOE - 2.7% Charlotte Russe Holding, Inc.*,## 1,400 40,418 DSW, Inc.* 1,000 42,210 Eddie Bauer Holdings, Inc.*,## 6,800 77,316 Payless Shoesource, Inc.* 1,800 59,760 The Wet Seal, Inc.* 9,400 61,570 ----------- 281,274 ----------- RETAIL-JEWELRY - 0.7% Movado Group, Inc. 2,600 76,570 ----------- RETAIL-REGIONAL DEPARTMENT STORES - 0.6% The Bon-Ton Stores, Inc. 1,200 67,488 ----------- RETAIL-RESTAURANTS - 1.1% CKE Restaurants, Inc. 3,300 62,238 Bob Evans Farms, Inc. 1,500 55,425 ----------- 117,663 ----------- RETAIL-SPORTING GOODS - 1.4% Hibbett Sports, Inc.* 2,300 65,757 Zumiez, Inc.*,## 2,000 80,240 ----------- 145,997 ----------- RETAIL-VIDEO RENTAL - 0.6% Blockbuster, Inc. Cl. A,## 0,300 1 66,332 ----------- SATELLITE TELECOMMUNICATIONS - 0.7% Loral Space & Communications, Inc.* 1,400 71,232 ----------- SEISMIC DATA COLLECTION - 0.5% Input/Output, Inc.*,## 4,200 57,876 ----------- SEMICONDUCTOR COMPONENTS-INTEGRATED CIRCUITS - 1.5% Anadigics, Inc.## 5,300 62,646 Pericom Semiconductor Corp.*,## 4,500 44,010 Standard Microsystems Corp.*,## 1,600 48,864 ----------- 155,520 ----------- SEMICONDUCTOR EQUIPMENT - 0.8% Ultra Clean Holdings* 4,700 81,310 ----------- STEEL PIPE & TUBE - 0.7% Valmont Industries, Inc. 1,300 75,179 ----------- TELECOMMUNICATIONS EQUIPMENT - 2.3% Arris Group, Inc.* 3,400 47,872 CommScope, Inc.* 1,500 64,350 OpNext, Inc.* 5,000 73,950 Optium Corp.*,## 2,800 54,348 ----------- 240,520 ----------- TELECOMMUNICATIONS EQUIPMENT FIBER OPTICS - 1.1% C-COR, Inc.*,## 4,500 62,370 Oplink Communications, Inc.* 2,800 50,316 ----------- 112,686 ----------- TELECOMMUNICATIONS SERVICES - 3.1% Harris Stratex Networks, Inc.* 3,675 70,523 Lightbridge, Inc.* 4,000 70,280 NTELOS Holdings Corp. 3,300 63,426 Orbcomm, Inc.*,## 5,400 68,850 Time Warner Telecom, Inc.* 2,600 54,002 ----------- 327,081 ----------- THERAPEUTICS - 0.8% Alnylam Pharmaceuticals, Inc.*,## 2,600 46,800 Isis Pharmaceuticals, Inc.*,## 3,800 35,226 ----------- 82,026 ----------- TRANSACTIONAL SOFTWARE - 1.2% Synchronoss Technologies, Inc.*,## 4,700 81,780 VeriFone Holdings, Inc.* 1,100 40,403 ----------- 122,183 ----------- TRANSPORT-AIR FREIGHT - 0.5% Atlas Air Worldwide Holdings, Inc.*,## 1,000 52,730 ----------- TRANSPORT-MARINE - 1.8% DryShips, Inc. 3,400 76,602 Excel Maritime Carriers, Ltd. 3,300 56,859 Horizon Lines, Inc. 1,800 59,076 ----------- 192,537 ----------- WEB PORTALS/ISP - 0.7% Trizetto Group* 3,600 72,036 ----------- WIRE & CABLE PRODUCTS - 0.6% General Cable Corp.*,## 1,200 64,116 ----------- WIRELESS EQUIPMENT - 0.6% Novatel Wireless, Inc.*,## 4,100 65,764 - -------------------------------------------------------------------------------- Total Common Stock (Cost: $9,006,355) 10,468,888 - -------------------------------------------------------------------------------- SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 9 <Page> PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- SHORT TERM INVESTMENTS - 35.3% MONEY MARKET FUNDS - 33.6% Boston Global Investment Trust - Enhanced Portfolio, 5.290%** $3,550,958 $ 3,550,958 ----------- TIME DEPOSIT - 1.7% Bank of America London 4.690%, 04/02/07 181,267 181,267 - ------------------------------------------------------------------------------- Total Short Term Investments (Cost: $3,732,225) 3,732,225 - ------------------------------------------------------------------------------- Total Investments - 134.2% (Cost: $12,738,580) 14,201,113 - ------------------------------------------------------------------------------- Liabilities in Excess of Other Assets - (34.2%) (3,615,242) - ------------------------------------------------------------------------------- Net Assets - 100.0% $10,585,871 - ------------------------------------------------------------------------------- * NON-INCOME PRODUCING SECURITIES. ** ALL OF THE SECURITY IS PURCHASED WITH CASH COLLATERAL PROCEEDS FROM SECURITIES LOANS. ## ALL OR A PORTION OF THE FUND'S HOLDINGS IN THIS SECURITY WAS ON LOAN AS OF 03/31/07. ADR - AMERICAN DEPOSITORY RECEIPT SCHEDULE OF INVESTMENTS BY SECTOR as of March 31, 2007 PERCENT OF SECTOR NET ASSETS - -------------------------------------------------------------------------------- Industrial 19.9% Consumer, Non-cyclical 19.0 Consumer, Cyclical 17.8 Communications 16.4 Technology 12.2 Financial 7.1 Energy 4.7 Basic Materials 1.8 Short Term Investments 35.3 - -------------------------------------------------------------------------------- Total Investments 134.2 Liabilities in excess of other assets (34.2) - -------------------------------------------------------------------------------- Net Assets 100.0% ================================================================================ SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 10 <Page> U.S. SMALL CAP VALUE FUND MANAGEMENT TEAM: MARK P. ROEMER, Portfolio Manager; CARMA WALLACE, CFA, Analyst CHIEF INVESTMENT OFFICER: HORACIO A. VALEIRAS, CFA GOAL: The U.S. Small Cap Value Fund seeks to maximize long-term capital appreciation through investments primarily in smaller U.S. companies with market capitalizations corresponding to the Russell 2000 Value Index that, in the opinion of the Investment Adviser, are undervalued in the marketplace. MARKET OVERVIEW: The Russell 2000 Value Index, a barometer of U.S. small-cap value stocks, posted a solid advance in the fiscal year ended March 31, 2007. Gains were concentrated in the second half of 2006 when oil prices fell, the Federal Reserve took a break from two years of continuous monetary tightening and the economy slowed but remained healthy. Lending further support to equity prices was a boom in mergers and acquisitions, with the number of transactions among small-cap companies reaching its highest level in six years. The gain in the Russell 2000 Value Index was broad based, with all sectors generating double-digit increases except financials and information technology. In financials, stocks associated with the mortgage and real estate industries were dragged lower by credit deterioration in the subprime mortgage market. Information technology stocks, which are sensitive to broad movements in equity prices, suffered losses in the spring of 2006 when investors shed riskier assets in response to a spike in market volatility. On the plus side, stocks in the defensive consumer staples sector turned in the best results, rising nearly 30% amid a cooling in economic growth and volatile market conditions. Materials stocks also outperformed, benefiting from high prices for commodities, such as nickel, copper and corn. PERFORMANCE: During the twelve months ended March 31, 2007, the Fund's Class I shares gained 10.21% and the Russell 2000 Value Index increased 10.38%. PORTFOLIO SPECIFICS: Performance versus the index was helped by positive stock selection in a number of sectors, including financials, industrials and utilities. The Fund's top-performing holdings included Tower Group, a property/casualty insurance firm; Quintana Maritime, an operator of dry bulk vessels; and CMS Energy, a gas and electric utility. Tower Group reported solid operating results and benefited from expectations that it would continue to grow faster than its peers, despite increased competition and rate softening in the property/casualty market. Quintana Maritime expanded the size of its fleet and announced new, long-term contracts for two of its carriers. CMS Energy made good progress on its strategy of divesting non-core assets and reinstated its quarterly dividend after a four-year absence. Stock selection in the health care sector was the main source of relative weakness in the portfolio, where several biotechnology holdings posted steep declines. Stock selection in the information technology and consumer discretionary sectors was also modestly negative. MARKET OUTLOOK: We expect volatile market conditions to persist over the months ahead given the crosscurrents investors are facing. On one hand, the economy and earnings continue to grow, and merger and acquisition activity should remain robust. On the other, rising subprime mortgage defaults are expected to aggravate the downturn in housing and may hurt consumer spending. As events unfold, we remain focused on adding value to the benchmark with our diversified, stock-selection model and risk-controlled approach to portfolio construction. COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN U.S. SMALL CAP VALUE FUND CLASS I AND II SHARES WITH THE RUSSELL 2000 VALUE INDEX. [CHART] <Table> <Caption> U.S. SMALL CAP VALUE FUND RUSSELL 2000 CLASS I SHARES VALUE INDEX -------------- ------------- <S> <C> <C> 12/30/1997 $250,000 $250,000 12/31/1997 $248,617 $250,504 1/31/1998 $246,355 $245,969 2/28/1998 $267,925 $260,851 3/31/1998 $280,698 $271,441 4/30/1998 $283,771 $272,771 5/31/1998 $274,008 $263,115 6/30/1998 $271,752 $261,642 7/31/1998 $252,912 $241,155 8/31/1998 $209,998 $203,390 9/30/1998 $219,489 $214,882 10/31/1998 $230,594 $221,264 11/30/1998 $242,745 $227,260 12/31/1998 $251,379 $234,396 1/31/1999 $239,838 $229,075 2/28/1999 $224,921 $213,429 3/31/1999 $216,720 $211,658 4/30/1999 $237,553 $230,982 5/31/1999 $247,108 $238,073 6/30/1999 $256,810 $246,692 7/31/1999 $255,260 $240,845 8/31/1999 $246,962 $232,030 9/30/1999 $239,174 $227,389 10/31/1999 $230,648 $222,842 11/30/1999 $236,639 $224,000 12/31/1999 $240,256 $230,877 1/31/2000 $233,732 $224,828 2/29/2000 $230,083 $238,565 3/31/2000 $248,579 $239,687 4/30/2000 $257,324 $241,101 5/31/2000 $255,258 $237,412 6/30/2000 $260,240 $244,344 7/31/2000 $260,563 $252,481 8/31/2000 $277,078 $263,767 9/30/2000 $281,274 $262,263 10/31/2000 $283,121 $261,319 11/30/2000 $275,691 $255,988 12/31/2000 $305,403 $283,507 1/31/2001 $318,153 $291,332 2/28/2001 $318,314 $290,924 3/31/2001 $313,098 $286,269 4/30/2001 $334,350 $299,523 5/31/2001 $354,411 $307,221 6/30/2001 $361,633 $319,572 7/31/2001 $365,110 $312,413 8/31/2001 $361,098 $311,320 9/30/2001 $324,453 $276,950 10/31/2001 $334,350 $284,178 11/30/2001 $351,469 $304,611 12/31/2001 $379,885 $323,253 1/31/2002 $383,641 $327,552 2/28/2002 $384,446 $329,550 3/31/2002 $419,054 $354,234 4/30/2002 $428,175 $366,703 5/31/2002 $415,298 $354,565 6/30/2002 $408,859 $346,729 7/31/2002 $350,106 $295,205 8/31/2002 $347,960 $293,906 9/30/2002 $324,619 $272,921 10/31/2002 $322,473 $277,015 11/30/2002 $348,387 $299,121 12/31/2002 $342,602 $286,348 1/31/2003 $332,317 $278,273 2/28/2003 $322,997 $268,923 3/31/2003 $328,782 $271,801 4/30/2003 $358,028 $297,622 5/31/2003 $399,809 $328,009 6/30/2003 $411,058 $333,552 7/31/2003 $439,340 $350,197 8/31/2003 $464,409 $363,504 9/30/2003 $454,115 $359,324 10/31/2003 $501,037 $388,609 11/30/2003 $524,123 $403,531 12/31/2003 $543,989 $418,139 1/31/2004 $566,835 $432,607 2/29/2004 $581,072 $440,999 3/31/2004 $584,052 $447,085 4/30/2004 $556,571 $423,971 5/31/2004 $568,490 $429,101 6/30/2004 $591,336 $450,899 7/31/2004 $564,848 $430,158 8/30/2004 $559,219 $434,373 9/30/2004 $592,660 $451,575 10/31/2004 $599,950 $458,574 11/30/2004 $650,586 $499,295 12/31/2004 $673,877 $511,179 1/31/2005 $654,334 $491,396 2/28/2005 $662,971 $501,126 3/31/2005 $653,557 $490,803 4/30/2005 $630,290 $465,477 5/31/2005 $659,977 $493,871 6/30/2005 $684,792 $515,700 7/31/2005 $726,496 $545,044 8/31/2005 $706,590 $532,508 9/30/2005 $703,976 $531,602 10/31/2005 $681,801 $518,259 11/30/2005 $721,686 $539,300 12/31/2005 $729,336 $535,148 1/31/2006 $770,324 $579,405 2/28/2006 $768,322 $579,347 3/31/2006 $797,210 $607,445 4/30/2006 $808,053 $609,085 5/31/2006 $786,397 $583,869 6/30/2006 $791,587 $591,051 7/31/2006 $756,678 $582,835 8/31/2006 $789,593 $600,262 9/30/2006 $798,832 $606,144 10/31/2006 $840,611 $636,997 11/30/2006 $858,600 $655,151 12/31/2006 $869,504 $660,851 1/31/2007 $876,373 $670,764 2/28/2007 $865,856 $662,514 3/31/2007 $879,104 $670,530 </Table> Annualized Total Returns As of 3/31/07 SINCE 1 YEAR 5 YEARS INCEPTION - ----------------------------------------------------------------- U.S. Small Cap Value Fund Class I 10.21% 15.95% 14.55% - ----------------------------------------------------------------- Russell 2000 Value Index 10.38% 13.61% 11.26% - ----------------------------------------------------------------- 11 <Page> [CHART] <Table> <Caption> U.S. SMALL CAP VALUE FUND RUSSELL 2000 CLASS I SHARES VALUE INDEX -------------- ------------- <S> <C> <C> 12/30/1997 $250,000 $250,000 12/31/1997 $248,617 $250,504 1/31/1998 $246,355 $245,969 2/28/1998 $267,925 $260,851 3/31/1998 $280,698 $271,441 4/30/1998 $283,771 $272,771 5/31/1998 $274,008 $263,115 6/30/1998 $271,752 $261,642 7/31/1998 $252,912 $241,155 8/31/1998 $209,998 $203,390 9/30/1998 $219,489 $214,882 10/31/1998 $230,594 $221,264 11/30/1998 $242,745 $227,260 12/31/1998 $251,379 $234,396 1/31/1999 $239,838 $229,075 2/28/1999 $224,921 $213,429 3/31/1999 $216,720 $211,658 4/30/1999 $237,553 $230,982 5/31/1999 $247,108 $238,073 6/30/1999 $256,810 $246,692 7/31/1999 $255,260 $240,845 8/31/1999 $246,962 $232,030 9/30/1999 $239,174 $227,389 10/31/1999 $230,648 $222,842 11/30/1999 $236,639 $224,000 12/31/1999 $240,256 $230,877 1/31/2000 $233,732 $224,828 2/29/2000 $230,083 $238,565 3/31/2000 $248,579 $239,687 4/30/2000 $257,324 $241,101 5/31/2000 $255,258 $237,412 6/30/2000 $260,240 $244,344 7/31/2000 $260,563 $252,481 8/31/2000 $277,078 $263,767 9/30/2000 $281,274 $262,263 10/31/2000 $283,121 $261,319 11/30/2000 $275,691 $255,988 12/31/2000 $305,403 $283,507 1/31/2001 $318,153 $291,332 2/28/2001 $318,314 $290,924 3/31/2001 $313,098 $286,269 4/30/2001 $334,350 $299,523 5/31/2001 $354,411 $307,221 6/30/2001 $361,633 $319,572 7/31/2001 $365,110 $312,413 8/31/2001 $361,098 $311,320 9/30/2001 $324,453 $276,950 10/31/2001 $334,350 $284,178 11/30/2001 $351,469 $304,611 12/31/2001 $379,885 $323,253 1/31/2002 $383,641 $327,552 2/28/2002 $384,446 $329,550 3/31/2002 $419,054 $354,234 4/30/2002 $428,175 $366,703 5/31/2002 $415,298 $354,565 6/30/2002 $408,859 $346,729 7/31/2002 $350,106 $295,205 8/31/2002 $347,960 $293,906 9/30/2002 $324,619 $272,921 10/31/2002 $322,473 $277,015 11/30/2002 $348,387 $299,121 12/31/2002 $342,602 $286,348 1/31/2003 $332,317 $278,273 2/28/2003 $322,997 $268,923 3/31/2003 $328,782 $271,801 4/30/2003 $358,028 $297,622 5/31/2003 $399,809 $328,009 6/30/2003 $411,058 $333,552 7/31/2003 $439,340 $350,197 8/31/2003 $464,409 $363,504 9/30/2003 $454,115 $359,324 10/31/2003 $501,037 $388,609 11/30/2003 $524,123 $403,531 12/31/2003 $543,989 $418,139 1/31/2004 $566,835 $432,607 2/29/2004 $581,072 $440,999 3/31/2004 $584,052 $447,085 4/30/2004 $556,571 $423,971 5/31/2004 $568,490 $429,101 6/30/2004 $591,336 $450,899 7/31/2004 $564,848 $430,158 8/30/2004 $559,219 $434,373 9/30/2004 $592,660 $451,575 10/31/2004 $599,950 $458,574 11/30/2004 $650,586 $499,295 12/31/2004 $673,942 $511,179 1/31/2005 $654,734 $491,396 2/28/2005 $663,377 $501,126 3/31/2005 $653,957 $490,803 4/30/2005 $630,611 $465,477 5/31/2005 $660,312 $493,871 6/30/2005 $685,536 $515,700 7/31/2005 $727,285 $545,044 8/31/2005 $707,358 $532,508 9/30/2005 $704,741 $531,602 10/31/2005 $682,894 $518,259 11/30/2005 $722,638 $539,300 12/31/2005 $730,298 $535,148 1/31/2006 $771,414 $579,405 2/28/2006 $769,794 $579,347 3/31/2006 $798,815 $607,445 4/30/2006 $809,679 $609,085 5/31/2006 $787,899 $583,869 6/30/2006 $793,099 $591,051 7/31/2006 $758,044 $582,835 8/31/2006 $791,094 $600,262 9/30/2006 $800,350 $606,144 10/31/2006 $842,208 $636,997 11/30/2006 $860,400 $655,151 12/31/2006 $871,844 $660,851 1/31/2007 $878,731 $670,764 2/28/2007 $868,186 $662,514 3/31/2007 $880,949 $670,530 </Table> Annualized Total Returns As of 3/31/07 SINCE 1 YEAR 5 YEARS INCEPTION - ----------------------------------------------------------------- U.S. Small Cap Value Fund Class II 10.29% 16.02% 14.44% - ----------------------------------------------------------------- Russell 2000 Value Index 10.38% 13.61% 11.26% - ----------------------------------------------------------------- THE GRAPHS ABOVE SHOW THE VALUE OF A HYPOTHETICAL $250,000 INVESTMENT IN THE FUND'S CLASS I AND II SHARES COMPARED WITH THE RUSSELL 2000 VALUE INDEX FOR THE PERIODS INDICATED. AVERAGE ANNUAL TOTAL RETURN FIGURES INCLUDE CHANGES IN PRINCIPAL VALUE, REINVESTED DIVIDENDS, AND CAPITAL GAIN DISTRIBUTIONS. THE FUND'S PERFORMANCE INCLUDES HISTORICAL PERFORMANCE OF COMPARABLE MANAGED INSTITUTIONAL POOLED ACCOUNTS MANAGED BY THE INVESTMENT ADVISER PRIOR TO THE INCEPTION OF THE FUND. THE FUND COMMENCED OPERATIONS ON MAY 1, 2001 OFFERING CLASS I SHARES. THE FUND'S CLASS II SHARES WERE FIRST AVAILABLE ON NOVEMBER 10, 2004. THE HISTORICAL PERFORMANCE OF CLASS II SHARES INCLUDES THE PERFORMANCE OF CLASS I SHARES FOR PERIODS PRIOR TO THE INCEPTION OF CLASS II SHARES. THE TOTAL RETURNS SHOWN ABOVE DO NOT SHOW THE EFFECTS OF INCOME TAXES ON AN INDIVIDUAL'S INVESTMENT. IN MOST CASES, TAXES MAY REDUCE YOUR ACTUAL INVESTMENT RETURNS ON INCOME OR GAINS PAID BY THE FUND OR ANY GAINS YOU MAY REALIZE IF YOU SELL YOUR SHARES. PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS. THE RUSSELL 2000 VALUE INDEX MEASURES THE PERFORMANCE OF THOSE RUSSELL 2000 COMPANIES WITH LOWER PRICE-TO-BOOK RATIOS AND LOWER FORECASTED GROWTH VALUES. THE UNMANAGED INDEX DIFFERS FROM THE FUND IN COMPOSITION, DOES NOT PAY MANAGEMENT FEES OR EXPENSES AND INCLUDES REINVESTED DIVIDENDS. ONE CANNOT INVEST DIRECTLY IN AN INDEX. SINCE MARKETS CAN GO DOWN AS WELL AS UP, INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET CONDITIONS. YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. 12 <Page> SCHEDULE OF INVESTMENTS As of March 31, 2007 NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK - 99.1% AEROSPACE/DEFENSE - 0.8% United Industrial Corp. 11,100 $ 612,720 ---------- AUTO/TRUCK PARTS & EQUIPMENT-REPLACEMENT - 0.9% Aftermarket Technology Corp. 28,400 689,552 ---------- CHEMICALS-SPECIALTY - 1.2% Hercules, Inc.* 46,200 902,748 ---------- COMMERCIAL BANKS-CENTRAL US - 7.4% Amcore Financial, Inc. 30,900 981,075 Associated Banc-Corp 39,000 1,310,400 First Indiana Corp. 42,500 928,625 Macatawa Bank Corp. 51,325 944,380 Mercantile Bank Corp. 24,565 797,871 Oak Hill Financial, Inc. 30,900 761,376 ---------- 5,723,727 ---------- COMMERCIAL BANKS-EASTERN US - 1.3% Provident Bankshares Corp. 31,400 1,031,804 ---------- COMMERCIAL BANKS-SOUTHERN US - 3.0% BancTrust Financial Group, Inc. 20,200 427,432 Bank of Granite Corp. 16,400 293,888 Community Trust Bancorp, Inc. 6,800 246,364 Intervest Bancshares Corp.* 29,400 843,780 Simmons First National Corp. 17,600 529,232 ---------- 2,340,696 ---------- COMMERCIAL BANKS-WESTERN US - 0.7% Community Bancorp NV* 17,500 538,125 ---------- COMMERCIAL SERVICES-FINANCE - 1.4% TNS, Inc. 67,200 1,081,248 ---------- COMPUTERS-PERIPHERAL EQUIPMENT - 1.2% Electronics for Imaging* 40,500 949,725 ---------- CONSUMER PRODUCTS-MISCELLANEOUS - 1.0% American Greetings Corp. Cl. A 33,900 786,819 ---------- CONTAINERS-PAPER/PLASTIC - 1.6% Packaging Corp. of America 52,400 1,278,560 ---------- DIVERSIFIED MANUFACTURING OPERATIONS - 1.3% Griffon Corp.* 40,500 1,002,375 ---------- DIVERSIFIED OPERATIONS - 1.0% Walter Industries, Inc. 31,600 782,100 ---------- DIVERSIFIED OPERATIONS/COMMERCIAL SERVICES - 0.8% Viad Corp. 16,300 629,180 ---------- ELECTRIC-INTEGRATED - 3.7% CMS Energy Corp. 67,900 1,208,620 El Paso Electric Co.* 61,600 1,623,160 ---------- 2,831,780 ---------- ELECTRONIC COMPONENTS-MISCELLANEOUS - 4.0% Benchmark Electronics, Inc.* 38,500 795,410 Methode Electronics, Inc. Cl. A 96,700 1,428,259 Rogers Corp.* 19,900 882,565 ---------- 3,106,234 ---------- ELECTRONIC COMPONENTS-SEMICONDUCTORS - 1.4% IXYS Corp.* 49,400 505,362 Semtech Corp.* 46,000 620,080 ---------- 1,125,442 ---------- ENERGY-ALTERNATE SOURCES - 1.5% Covanta Holdings Corp.* 51,200 1,135,616 ---------- ENGINEERING/R & D SERVICES - 1.1% URS Corp. 19,600 834,764 ---------- FINANCE-AUTO LOANS - 1.2% United PanAm Financial Corp.*,## 71,800 897,500 ---------- FINANCE-INVESTMENT BANKERS/BROKERS - 1.0% Knight Capital Group, Inc. Cl. A* 47,300 749,232 ---------- GAS-DISTRIBUTION - 2.9% Northwest Natural Gas Co. 14,900 680,483 UGI Corp. 58,100 1,551,851 ---------- 2,232,334 ---------- HEALTH CARE COST CONTAINMENT - 1.2% Healthspring, Inc.* 41,000 965,550 ---------- HUMAN RESOURCES - 1.3% Korn/Ferry International* 45,600 1,046,064 ---------- INDEX FUND - 4.8% iShares Russell 2000 Value Index Fund 45,900 3,716,982 ---------- INDUSTRIAL AUTOMATION/ROBOTICS - 0.9% Cognex Corp. 30,700 665,269 ---------- INVESTMENT COMPANIES - 1.2% Apollo Investment Corp. 45,300 969,420 ---------- LASERS-SYSTEMS/COMPONENTS - 1.8% Cymer, Inc.* 13,900 577,545 Rofin-Sinar Technologies, Inc.* 14,200 840,356 ---------- 1,417,901 ---------- LIFE/HEALTH INSURANCE - 0.7% Scottish Re Group, Ltd. 141,900 570,438 ---------- MACHINERY TOOLS & RELATED PRODUCTS - 2.0% Kennametal, Inc. 22,400 1,514,464 ---------- MACHINERY-GENERAL INDUSTRY - 3.3% Gardner Denver, Inc.* 32,900 1,146,565 Wabtec Corp. 40,900 1,410,641 ---------- 2,557,206 ---------- MEDICAL-HMO - 0.9% Centene Corp.* 34,200 717,858 ---------- MEDICAL-OUTPATIENT/HOME MEDICAL CARE - 0.9% VistaCare, Inc.* 79,200 689,040 ---------- METAL PROCESSORS & FABRICATION - 1.1% Quanex Corp. 20,050 849,117 ---------- METAL-ALUMINUM - 1.5% Century Aluminum Co.* 24,500 1,148,560 ---------- MULTIMEDIA - 0.6% Gemstar-TV Guide International, Inc.* 102,400 429,056 ---------- NETWORKING PRODUCTS - 1.5% Anixter International Inc. 4,800 316,512 Foundry Networks, Inc.* 60,200 816,914 ---------- 1,133,426 ---------- NON-HAZARDOUS WASTE DISPOSAL - 0.6% Waste Industries USA, Inc. 16,900 464,243 ---------- OIL-FIELD SERVICES - 2.4% Superior Energy Services* 32,500 1,120,275 Trico Marine Services, Inc.* 19,200 715,392 ---------- 1,835,667 ---------- PRIVATE CORRECTIONS - 1.5% Corrections Corp. of America* 22,000 1,161,820 ---------- SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 13 <Page> NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- PROPERTY/CASUALTY INSURANCE - 7.8% Castlepoint Holdings, Ltd. 144A#,* 237,400 $ 3,881,490 Amerisafe, Inc.* 49,500 933,075 Tower Group, Inc. 37,400 1,205,028 ----------- 6,019,593 ----------- REITS-DIVERSIFIED - 2.3% Cousins Properties, Inc. 30,200 992,372 Washington Real Estate Investment Trust 20,700 774,594 ----------- 1,766,966 ----------- REITS-HOTELS - 1.1% Ashford Hospitality Trust, Inc. 71,400 852,516 ----------- REITS-MORTGAGE - 5.8% JER Investors Trust, Inc. 144A# 63,800 1,213,476 JER Investors Trust, Inc. 29,400 559,188 KKR Financial Corp. 62,950 1,726,719 Newcastle Investment Corp. 37,000 1,026,010 ----------- 4,525,393 ----------- REITS-REGIONAL MALLS - 1.2% Pennsylvania Real Estate Investment Trust 20,800 922,064 ----------- RETAIL-APPAREL/SHOE - 0.6% Aeropostale, Inc. 11,500 462,645 ----------- RETAIL-DISCOUNT - 1.2% Big Lots, Inc. 29,700 929,016 ----------- SAVINGS & LOANS/THRIFTS-CENTRAL US - 0.7% MAF Bancorp, Inc. 13,300 549,822 ----------- SAVINGS & LOANS/THRIFTS-EASTERN US - 1.1% Brookline Bancorp, Inc. 68,028 861,915 ----------- SEMICONDUCTOR COMPONENTS-INTEGRATED CIRCUITS - 2.7% ChipMOS TECHNOLOGIES Bermuda, Ltd.* 145,200 1,003,332 Emulex Corp.* 59,100 1,080,939 ----------- 2,084,271 ----------- TELECOMMUNICATIONS EQUIPMENT - 1.7% Comtech Telecommunications Corp.* 33,500 1,297,455 ----------- THERAPEUTICS - 1.2% MGI Pharma, Inc.* 40,400 907,788 ----------- TRANSPORT-AIR FREIGHT - 1.3% ABX Air, Inc.* 145,600 997,360 ----------- TRANSPORT-MARINE - 1.8% Quintana Maritime, Ltd. 102,200 1,407,294 - -------------------------------------------------------------------------------- Total Common Stock (Cost: $63,148,316) 76,698,460 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- SHORT TERM INVESTMENTS - 9.0% MONEY MARKET FUNDS - 1.1% Boston Global Investment Trust - Enhanced Portfolio, 5.290%** $ 852,750 $ 852,750 ----------- TIME DEPOSIT - 7.9% Citibank Nassau 4.690%, 04/02/07 6,098,874 6,098,874 - ------------------------------------------------------------------------------- Total Short Term Investments (Cost: $6,951,624) 6,951,624 - ------------------------------------------------------------------------------- Total Investments - 108.1% (Cost: $70,099,940) 83,650,084 - ------------------------------------------------------------------------------- Liabilities in Excess of Other Assets - (8.1%) (6,251,606) - ------------------------------------------------------------------------------- Net Assets - 100.0% $77,398,478 - ------------------------------------------------------------------------------- * NON-INCOME PRODUCING SECURITIES. ** ALL OF THE SECURITY IS PURCHASED WITH CASH COLLATERAL PROCEEDS FROM SECURITIES LOANS. # 144A SECURITY. CERTAIN CONDITION FOR PUBLIC SALE MAY EXIST. THE TOTAL MARKET VALUE OF 144A SECURITIES OWNED AT MARCH 31, 2007 WAS $5,094,966 OR 6.58% OF NET ASSETS. ## ALL OR A PORTION OF THE FUND'S HOLDINGS IN THIS SECURITY WAS ON LOAN AS OF 03/31/07. SCHEDULE OF INVESTMENTS BY SECTOR as of March 31, 2007 PERCENT OF SECTOR NET ASSETS - -------------------------------------------------------------------------------- Financial 31.6% Industrial 21.6 Consumer, Non-cyclical 15.3 Utilities 6.5 Technology 5.4 Funds 4.8 Energy 3.8 Communications 3.7 Consumer, Cyclical 2.7 Basic Materials 2.7 Diversified 1.0 Short Term Investments 9.0 - -------------------------------------------------------------------------------- Total Investments 108.1 Liabilities in excess of other assets (8.1) - -------------------------------------------------------------------------------- Net Assets 100.0% ================================================================================ SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 14 <Page> U.S. SYSTEMATIC LARGE CAP GROWTH FUND MANAGEMENT TEAM: JAMES LI, PH.D., CFA, Portfolio Manager; JANE EDMONDSON, Portfolio Manager; JUNCAI YANG, Analyst CHIEF INVESTMENT OFFICER: HORACIO A. VALEIRAS, CFA GOAL: The U.S. Systematic Large Cap Growth Fund seeks to maximize long-term capital appreciation by investing primarily in stocks from a universe of large U.S. companies with market capitalizations similar to the upper 90% of the Russell 1000 Growth Index at time of purchase. MARKET OVERVIEW: Prices of U.S. large-cap growth stocks climbed higher during the twelve months ended March 31, 2007. Market conditions were uneven, as several months of steady gains were flanked by periods of downside volatility. The fiscal year started on a weak note, with large-cap growth equities falling on concerns that higher inflation would prompt the Federal Reserve to continue raising interest rates and, in the process, dampen economic growth. The core Consumer Price Index, which excludes food and energy prices, rose at a troubling 3.6% annual pace from April to June. The market reversed course over the summer, however. Oil prices began to drop, inflation expectations eased and the Fed decided at its August meeting to hold rates steady, as it did throughout the remainder of the period. Large-cap growth stocks continued to advance during the fall and winter, supported by healthy corporate profit growth, brisk merger activity and signs that the Fed had orchestrated a soft landing for the economy. Investor complacency shifted to alarm in late February, when a steep drop in Chinese equities sparked concerns that markets around the world, including the U.S. market, were overvalued. In a final twist, large-cap growth stocks rallied to finish March in positive territory, despite ongoing worries about the housing market and mixed signals from the Fed on the direction of monetary policy. PERFORMANCE: The Fund's Class I shares gained 10.69% from April 1, 2006 through March 31, 2007, outperforming the 7.05% increase in the Russell 1000 Growth Index. PORTFOLIO SPECIFICS: Outperformance over the index was due to stock selection, which was positive in most sectors and particularly strong among information technology and consumer discretionary companies. In aggregate, sector allocations detracted from relative performance. In information technology, two of the best-performing holdings were MEMC Electronic Materials, a supplier of wafers to the semiconductor industry, and Sun Microsystems, a manufacturer of computer hardware. The portfolio also benefited from avoiding hardware manufacturer Dell, which was plagued by several issues, including heightened competition, a product recall and an investigation into its accounting policies. In the consumer discretionary sector, retailer J. C. Penney was a standout performer. The company delivered strong same-store-sales growth and margin expansion and announced that it would be launching a new, private-label line of merchandise in 2008. The portfolio remained well diversified throughout the period, consistent with our risk-controlled approach to portfolio construction. At March 31, the largest overweight versus the index was in the information technology sector (+4.6%); the largest underweight was in financials (-4.8%). MARKET OUTLOOK: Our process evaluates investment opportunities on a relative basis and is required to remain fully invested. As such, the process neither utilizes nor results in a forecast or outlook on the overall market, but strives to outperform the Russell 1000 Growth Index in both up and down markets. By consistently applying this process in all market environments, we believe we will continue to identify companies with excellent growth potential for the Fund. COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN U.S. SYSTEMATIC LARGE CAP GROWTH FUND CLASS I AND II SHARES WITH THE RUSSELL 1000 GROWTH INDEX. [CHART] <Table> <Caption> U.S. SYSTEMATIC LARGE CAP GROWTH RUSSELL 1000 FUND CLASS I SHARES GROWTH INDEX ------------------- ------------ <S> <C> <C> 12/27/1996 $ 250,000 $250,000 12/31/1996 $ 247,200 $246,185 1/31/1997 $ 272,400 $263,452 2/28/1997 $ 267,800 $261,669 3/31/1997 $ 260,000 $247,507 4/30/1997 $ 270,000 $263,941 5/31/1997 $ 300,200 $282,990 6/30/1997 $ 311,400 $294,315 7/31/1997 $ 350,200 $320,345 8/31/1997 $ 342,200 $301,595 9/30/1997 $ 359,600 $316,436 10/31/1997 $ 359,200 $304,741 11/30/1997 $ 354,897 $317,683 12/31/1997 $ 361,073 $321,241 1/31/1998 $ 366,478 $330,846 2/28/1998 $ 400,192 $355,733 3/31/1998 $ 424,641 $369,912 4/30/1998 $ 438,281 $375,032 5/31/1998 $ 427,214 $364,388 6/30/1998 $ 458,097 $386,707 7/31/1998 $ 448,284 $384,147 8/31/1998 $ 373,570 $326,494 9/30/1998 $ 420,007 $351,576 10/31/1998 $ 451,657 $379,832 11/30/1998 $ 494,721 $408,726 12/31/1998 $ 580,590 $445,580 1/31/1999 $ 645,965 $471,745 2/28/1999 $ 632,475 $450,195 3/31/1999 $ 697,590 $473,907 4/30/1999 $ 730,134 $474,514 5/31/1999 $ 735,294 $459,932 6/30/1999 $ 770,229 $492,146 7/31/1999 $ 760,111 $476,505 8/31/1999 $ 755,701 $484,291 9/30/1999 $ 769,969 $474,116 10/31/1999 $ 825,745 $509,922 11/30/1999 $ 920,954 $537,432 12/31/1999 $1,138,610 $593,330 1/31/2000 $1,089,839 $565,509 2/29/2000 $1,248,865 $593,157 3/31/2000 $1,292,448 $635,615 4/30/2000 $1,193,089 $605,372 5/31/2000 $1,117,078 $574,886 6/30/2000 $1,235,116 $618,456 7/31/2000 $1,180,637 $592,673 8/31/2000 $1,334,734 $646,334 9/30/2000 $1,219,032 $585,197 10/31/2000 $1,094,249 $557,505 11/30/2000 $ 883,799 $475,324 12/31/2000 $ 865,615 $460,284 1/31/2001 $ 843,954 $492,085 2/28/2001 $ 698,749 $408,544 3/31/2001 $ 604,620 $364,086 4/30/2001 $ 683,507 $410,132 5/31/2001 $ 652,754 $404,095 6/30/2001 $ 620,130 $394,736 7/31/2001 $ 584,564 $384,872 8/31/2001 $ 518,513 $353,389 9/30/2001 $ 434,278 $318,121 10/31/2001 $ 455,938 $334,822 11/30/2001 $ 511,560 $366,999 12/31/2001 $ 508,886 $366,302 1/31/2002 $ 489,365 $359,818 2/28/2002 $ 457,810 $344,886 3/31/2002 $ 483,482 $356,819 4/30/2002 $ 455,404 $327,702 5/31/2002 $ 442,033 $319,772 6/30/2002 $ 393,631 $290,193 7/31/2002 $ 362,611 $274,232 8/31/2002 $ 364,483 $275,055 9/30/2002 $ 340,951 $246,532 10/31/2002 $ 359,403 $269,139 11/30/2002 $ 373,041 $283,753 12/31/2002 $ 336,940 $264,146 1/31/2003 $ 329,987 $257,727 2/28/2003 $ 329,185 $256,541 3/31/2003 $ 340,416 $261,313 4/30/2003 $ 361,809 $280,650 5/31/2003 $ 372,506 $294,655 6/30/2003 $ 376,517 $298,721 7/31/2003 $ 387,213 $306,159 8/31/2003 $ 396,573 $313,782 9/30/2003 $ 385,876 $310,425 10/31/2003 $ 404,060 $327,871 11/30/2003 $ 408,606 $331,281 12/31/2003 $ 408,072 $342,743 1/31/2004 $ 418,768 $349,735 2/29/2004 $ 415,827 $351,973 3/31/2004 $ 402,991 $345,427 4/30/2004 $ 393,631 $341,420 5/31/2004 $ 403,793 $347,770 6/30/2004 $ 412,618 $352,152 7/31/2004 $ 390,957 $332,255 8/30/2004 $ 385,609 $330,627 9/30/2004 $ 390,688 $333,768 10/31/2004 $ 403,229 $338,975 11/30/2004 $ 427,221 $350,636 12/31/2004 $ 438,371 $364,381 1/31/2005 $ 423,379 $352,247 2/28/2005 $ 432,101 $355,981 3/31/2005 $ 426,916 $349,502 4/30/2005 $ 408,644 $342,861 5/31/2005 $ 429,607 $359,421 6/30/2005 $ 429,865 $358,092 7/31/2005 $ 448,392 $375,602 8/31/2005 $ 440,500 $370,757 9/30/2005 $ 445,390 $372,462 10/31/2005 $ 434,210 $368,850 11/30/2005 $ 454,662 $384,747 12/31/2005 $ 454,389 $383,554 1/31/2006 $ 471,838 $390,305 2/28/2006 $ 473,489 $389,680 3/31/2006 $ 486,557 $395,448 4/30/2006 $ 486,849 $394,894 5/31/2006 $ 470,783 $381,507 6/30/2006 $ 469,135 $380,019 7/31/2006 $ 472,138 $372,799 8/31/2006 $ 487,860 $384,430 9/30/2006 $ 502,496 $395,002 10/31/2006 $ 521,792 $408,867 11/30/2006 $ 525,914 $416,962 12/31/2006 $ 529,490 $418,380 1/31/2007 $ 547,969 $429,132 2/28/2007 $ 537,229 $421,064 3/31/2007 $ 545,502 $423,338 </Table> Annualized Total Returns As of 3/31/07 1 YEAR 5 YEARS 10 YEARS - -------------------------------------------------------------- U.S. Systematic Large Cap Growth Fund Class I 10.69% 1.80% 7.35% - -------------------------------------------------------------- Russell 1000 Growth Index 7.05% 3.47% 5.51% - -------------------------------------------------------------- 15 <Page> [CHART] <Table> <Caption> U.S. SYSTEMATIC LARGE CAP GROWTH RUSSELL 1000 FUND CLASS I SHARES GROWTH INDEX ------------------- ------------ <S> <C> <C> 12/27/1996 $ 250,000 $250,000 12/31/1996 $ 247,200 $246,185 1/31/1997 $ 272,400 $263,452 2/28/1997 $ 267,800 $261,669 3/31/1997 $ 260,000 $247,507 4/30/1997 $ 270,000 $263,941 5/31/1997 $ 300,200 $282,990 6/30/1997 $ 311,400 $294,315 7/31/1997 $ 350,200 $320,345 8/31/1997 $ 342,200 $301,595 9/30/1997 $ 359,600 $316,436 10/31/1997 $ 359,200 $304,741 11/30/1997 $ 354,897 $317,683 12/31/1997 $ 361,073 $321,241 1/31/1998 $ 366,478 $330,846 2/28/1998 $ 400,192 $355,733 3/31/1998 $ 424,641 $369,912 4/30/1998 $ 438,281 $375,032 5/31/1998 $ 427,214 $364,388 6/30/1998 $ 458,097 $386,707 7/31/1998 $ 448,284 $384,147 8/31/1998 $ 373,570 $326,494 9/30/1998 $ 420,007 $351,576 10/31/1998 $ 451,657 $379,832 11/30/1998 $ 494,721 $408,726 12/31/1998 $ 580,590 $445,580 1/31/1999 $ 645,965 $471,745 2/28/1999 $ 632,475 $450,195 3/31/1999 $ 697,590 $473,907 4/30/1999 $ 730,134 $474,514 5/31/1999 $ 735,294 $459,932 6/30/1999 $ 770,229 $492,146 7/31/1999 $ 760,111 $476,505 8/31/1999 $ 755,701 $484,291 9/30/1999 $ 769,969 $474,116 10/31/1999 $ 825,745 $509,922 11/30/1999 $ 920,954 $537,432 12/31/1999 $1,138,610 $593,330 1/31/2000 $1,089,839 $565,509 2/29/2000 $1,248,865 $593,157 3/31/2000 $1,292,448 $635,615 4/30/2000 $1,193,089 $605,372 5/31/2000 $1,117,078 $574,886 6/30/2000 $1,235,116 $618,456 7/31/2000 $1,180,637 $592,673 8/31/2000 $1,334,734 $646,334 9/30/2000 $1,219,032 $585,197 10/31/2000 $1,094,249 $557,505 11/30/2000 $ 883,799 $475,324 12/31/2000 $ 865,615 $460,284 1/31/2001 $ 843,954 $492,085 2/28/2001 $ 698,749 $408,544 3/31/2001 $ 604,620 $364,086 4/30/2001 $ 683,507 $410,132 5/31/2001 $ 652,754 $404,095 6/30/2001 $ 620,130 $394,736 7/31/2001 $ 584,564 $384,872 8/31/2001 $ 518,513 $353,389 9/30/2001 $ 434,278 $318,121 10/31/2001 $ 455,938 $334,822 11/30/2001 $ 511,560 $366,999 12/31/2001 $ 508,886 $366,302 1/31/2002 $ 489,365 $359,818 2/28/2002 $ 457,810 $344,886 3/31/2002 $ 483,482 $356,819 4/30/2002 $ 455,404 $327,702 5/31/2002 $ 442,033 $319,772 6/30/2002 $ 393,631 $290,193 7/31/2002 $ 362,611 $274,232 8/31/2002 $ 364,483 $275,055 9/30/2002 $ 340,951 $246,532 10/31/2002 $ 359,403 $269,139 11/30/2002 $ 373,041 $283,753 12/31/2002 $ 336,940 $264,146 1/31/2003 $ 329,987 $257,727 2/28/2003 $ 329,185 $256,541 3/31/2003 $ 340,416 $261,313 4/30/2003 $ 361,809 $280,650 5/31/2003 $ 372,506 $294,655 6/30/2003 $ 376,517 $298,721 7/31/2003 $ 387,213 $306,159 8/31/2003 $ 396,573 $313,782 9/30/2003 $ 385,876 $310,425 10/31/2003 $ 404,060 $327,871 11/30/2003 $ 408,606 $331,281 12/31/2003 $ 408,072 $342,743 1/31/2004 $ 418,768 $349,735 2/29/2004 $ 415,827 $351,973 3/31/2004 $ 402,991 $345,427 4/30/2004 $ 393,631 $341,420 5/31/2004 $ 403,793 $347,770 6/30/2004 $ 412,618 $352,152 7/31/2004 $ 390,957 $332,255 8/30/2004 $ 385,609 $330,627 9/30/2004 $ 390,688 $333,768 10/31/2004 $ 395,767 $338,975 11/30/2004 $ 419,315 $350,636 12/31/2004 $ 430,259 $364,381 1/31/2005 $ 415,544 $352,247 2/28/2005 $ 424,104 $355,981 3/31/2005 $ 419,015 $349,502 4/30/2005 $ 401,081 $342,861 5/31/2005 $ 421,657 $359,421 6/30/2005 $ 421,910 $358,092 7/31/2005 $ 440,094 $375,602 8/31/2005 $ 432,348 $370,757 9/30/2005 $ 437,147 $372,462 10/31/2005 $ 426,175 $368,850 11/30/2005 $ 446,290 $384,747 12/31/2005 $ 446,290 $383,554 1/31/2006 $ 463,830 $390,305 2/28/2006 $ 465,731 $389,680 3/31/2006 $ 478,399 $395,448 4/30/2006 $ 478,686 $394,894 5/31/2006 $ 463,033 $381,507 6/30/2006 $ 461,413 $380,019 7/31/2006 $ 458,460 $372,799 8/31/2006 $ 473,818 $384,430 9/30/2006 $ 488,080 $395,002 10/31/2006 $ 506,969 $408,867 11/30/2006 $ 511,075 $416,962 12/31/2006 $ 514,601 $418,380 1/31/2007 $ 532,407 $429,132 2/28/2007 $ 522,184 $421,064 3/31/2007 $ 530,278 $423,338 </Table> Annualized Total Returns As of 3/31/07 1 YEAR 5 YEARS 10 YEARS - -------------------------------------------------------------- U.S. Systematic Large Cap Growth Fund Class II 10.83% 1.86% 7.39% - -------------------------------------------------------------- Russell 1000 Growth Index 7.05% 3.47% 5.51% - -------------------------------------------------------------- THE GRAPHS ABOVE SHOW THE VALUE OF A HYPOTHETICAL $250,000 INVESTMENT IN THE FUND'S CLASS I AND II SHARES COMPARED WITH THE RUSSELL 1000 GROWTH INDEX FOR THE PERIODS INDICATED. THE FUND'S CLASS I AND II SHARES CALCULATE THEIR PERFORMANCE BASED UPON THE HISTORICAL PERFORMANCE OF A CORRESPONDING SERIES OF NICHOLAS-APPLEGATE MUTUAL FUNDS (RENAMED ING MUTUAL FUNDS), ADJUSTED TO REFLECT ALL FEES AND EXPENSES APPLICABLE TO THE FUND'S CLASS I AND II SHARES. THE NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS' CLASS I SHARES WERE FIRST AVAILABLE ON MAY 7, 1999 AND CLASS II SHARES ON SEPTEMBER 30, 2005. THE HISTORICAL PERFORMANCE OF CLASS II SHARES INCLUDES THE PERFORMANCE OF CLASS I SHARES FOR PERIODS PRIOR TO THE INCEPTION OF CLASS II. AVERAGE ANNUAL TOTAL RETURN FIGURES INCLUDE CHANGES IN PRINCIPAL VALUE, REINVESTED DIVIDENDS, AND CAPITAL GAIN DISTRIBUTIONS. THE TOTAL RETURNS SHOWN ABOVE DO NOT SHOW THE EFFECTS OF INCOME TAXES ON AN INDIVIDUAL'S INVESTMENT. IN MOST CASES, TAXES MAY REDUCE YOUR ACTUAL INVESTMENT RETURNS ON INCOME OR GAINS PAID BY THE FUND OR ANY GAINS YOU MAY REALIZE IF YOU SELL YOUR SHARES. PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS. RUSSELL 1000 GROWTH INDEX MEASURES THE PERFORMANCE OF THOSE RUSSELL 1000 COMPANIES WITH HIGHER PRICE-TO-BOOK RATIOS AND HIGHER FORECASTED GROWTH VALUES. THE RUSSELL 1000 INDEX CONSISTS OF THE 1,000 LARGEST SECURITIES IN THE RUSSELL 3000 INDEX, WHICH REPRESENTS APPROXIMATELY 90% OF THE TOTAL MARKET CAPITALIZATION OF THE RUSSELL 3000 INDEX. IT IS A LARGE-CAP, MARKET-ORIENTED INDEX AND IS HIGHLY CORRELATED WITH THE S&P 500 INDEX. THE UNMANAGED INDEX DIFFERS FROM THE FUND IN COMPOSITION, DOES NOT PAY MANAGEMENT FEES OR EXPENSES AND INCLUDES REINVESTED DIVIDENDS. ONE CANNOT INVEST DIRECTLY IN AN INDEX. SINCE MARKETS CAN GO DOWN AS WELL AS UP, INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET CONDITIONS. YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. 16 <Page> SCHEDULE OF INVESTMENTS As of March 31, 2007 NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK - 101.4% AEROSPACE/DEFENSE - 4.6% Boeing Co. 2,200 $ 195,602 Lockheed Martin Corp. 3,700 358,974 Raytheon Co. 4,200 220,332 ---------- 774,908 ---------- AGRICULTURAL CHEMICALS - 2.2% Monsanto Co. 6,700 368,232 ---------- AIRLINES - 0.6% AMR Corp. 3,500 106,575 ---------- APPLICATIONS SOFTWARE - 4.8% Microsoft Corp. 29,100 811,017 ---------- AUTO/TRUCK PARTS & EQUIPMENT-ORIGINAL - 0.6% Johnson Controls, Inc. 1,000 94,620 ---------- BREWERY - 2.3% Anheuser Busch, Inc. 3,500 176,610 Molson Coors Brewing Co. Cl. B 2,300 217,626 ---------- 394,236 ---------- CABLE TV - 1.5% Comcast Corp. Cl. A* 9,750 253,012 ---------- CHEMICALS-SPECIALTY - 1.3% Cabot Corp. 4,600 219,558 ---------- COMPUTERS - 7.1% Hewlett-Packard Co. 9,800 393,372 International Business Machines Corp. 5,700 537,282 Sun Microsystems, Inc.* 46,600 280,066 ---------- 1,210,720 ---------- COMPUTERS-INTEGRATED SYSTEMS - 1.0% Diebold, Inc. 3,600 171,756 ---------- COMPUTERS-MEMORY DEVICES - 1.5% Network Appliance, Inc.* 6,800 248,336 ---------- COSMETICS & TOILETRIES - 1.0% Procter & Gamble Co. 2,775 175,269 ---------- DIVERSIFIED MANUFACTURING OPERATIONS - 4.8% Cooper Industries, Ltd. Cl. A 3,600 161,964 General Electric Co. 11,600 410,176 Parker Hannifin Corp. 2,800 241,668 ---------- 813,808 ---------- E-COMMERCE/PRODUCTS - 1.3% NutriSystem, Inc.* 4,100 214,881 ---------- E-COMMERCE/SERVICES - 2.4% eBay, Inc.* 9,400 311,610 IAC/InterActiveCorp* 2,700 101,817 ---------- 413,427 ---------- ELECTRIC-INTEGRATED - 1.2% Constellation Energy Group, Inc. 2,300 199,985 ---------- ELECTRONIC COMPONENTS-SEMICONDUCTORS - 3.8% Intel Corp. 22,200 424,686 MEMC Electronic Materials, Inc.* 3,800 230,204 ---------- 654,890 ---------- ELECTRONIC CONNECTORS - 1.0% Thomas & Betts Corp.* 3,400 165,988 ---------- ENTERPRISE SOFTWARE/SERVICES - 3.4% BEA Systems, Inc. 15,900 184,281 BMC Software, Inc. 7,000 215,530 Oracle Corp.* 10,100 183,113 ---------- 582,924 ---------- FINANCE-INVESTMENT BANKERS/BROKERS - 3.7% Morgan Stanley 3,100 244,156 The Goldman Sachs Group, Inc. 1,900 392,597 ---------- 636,753 ---------- FOOD-MISCELLANEOUS/DIVERSIFIED - 2.0% General Mills, Inc. 2,100 122,262 Sara Lee Corp. 13,200 223,344 ---------- 345,606 ---------- HEALTH CARE COST CONTAINMENT - 1.6% McKesson Corp. 4,800 280,992 ---------- HUMAN RESOURCES - 1.3% Manpower, Inc. 2,900 213,933 ---------- LIFE/HEALTH INSURANCE - 1.2% Cigna Corp. 1,400 199,724 ---------- MEDICAL LABS & TESTING SERVICES - 2.4% Laboratory Corp. of America Holdings* 3,100 225,153 Quest Diagnostics, Inc. 3,800 189,506 ---------- 414,659 ---------- MEDICAL PRODUCTS - 5.0% Baxter International, Inc. 4,900 258,083 Johnson & Johnson 9,800 590,548 ---------- 848,631 ---------- MEDICAL-BIOMEDICAL/GENETICS - 0.7% Amgen, Inc. 2,200 122,936 ---------- MEDICAL-DRUGS - 3.1% Abbott Laboratories 3,000 167,400 Schering-Plough Corp. 7,400 188,774 Wyeth 3,300 165,099 ---------- 521,273 ---------- MEDICAL-HMO - 3.9% UnitedHealth Group, Inc. 7,400 391,978 WellCare Health Plans, Inc.* 3,100 264,275 ---------- 656,253 ---------- METAL-DIVERSIFIED - 1.1% Freeport-McMoRan Copper & Gold, Inc. 2,800 185,332 ---------- MULTIMEDIA - 2.7% News Corp. Cl. B 7,300 178,631 The Walt Disney Co. 8,300 285,769 ---------- 464,400 ---------- NETWORKING PRODUCTS - 4.0% Cisco Systems, Inc.* 26,500 676,545 ---------- OIL FIELD MACHINERY & EQUIPMENT - 1.7% National Oilwell Varco, Inc.* 3,800 295,602 ---------- OIL REFINING & MARKETING - 2.2% Frontier Oil Corp. 4,900 159,936 Valero Energy Corp. 3,200 206,368 ---------- 366,304 ---------- PUBLISHING-NEWSPAPERS - 2.0% Gannett Co, Inc. 6,100 343,369 ---------- RETAIL-APPAREL/SHOE - 1.2% Nordstrom, Inc. 3,800 201,172 ---------- RETAIL-DISCOUNT - 1.5% Wal-Mart Stores, Inc. 5,500 258,225 ---------- RETAIL-MAJOR DEPARTMENT STORES - 1.7% JC Penney Co, Inc. 3,500 287,560 ---------- RETAIL-REGIONAL DEPARTMENT STORES - 3.4% Federated Department Stores, Inc. 4,400 198,220 Kohl's Corp.* 4,900 375,389 ---------- 573,609 ---------- SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 17 <Page> NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- RETAIL-RESTAURANTS - 2.0% Brinker International, Inc. 4,600 $ 150,420 McDonald's Corp. 4,300 193,715 ----------- 344,135 ----------- TELEPHONE-INTEGRATED - 2.6% Level 3 Communications, Inc.* 13,600 82,960 Verizon Communications, Inc. 9,400 356,448 ----------- 439,408 ----------- WEB PORTALS/ISP - 1.3% Google, Inc. Cl. A* 500 229,080 ----------- WIRELESS EQUIPMENT - 2.7% Motorola, Inc. 13,700 242,079 Qualcomm, Inc. 5,200 221,832 ----------- 463,911 - -------------------------------------------------------------------------------- Total Common Stock (Cost: $15,259,839) 17,243,554 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT - -------------------------------------------------------------------------------- SHORT TERM INVESTMENTS - 1.0% TIME DEPOSIT - 1.0% Bank of America London 4.690%, 04/02/07 (Cost: $180,275) $180,275 180,275 - ------------------------------------------------------------------------------- Total Investments - 102.4% (Cost: $15,440,114) 17,423,829 - ------------------------------------------------------------------------------- Liabilities in Excess of Other Assets - (2.4%) (416,273) - ------------------------------------------------------------------------------- Net Assets - 100.0% $17,007,556 - ------------------------------------------------------------------------------- * NON-INCOME PRODUCING SECURITIES. SCHEDULE OF INVESTMENTS BY SECTOR as of March 31, 2007 PERCENT OF SECTOR NET ASSETS - -------------------------------------------------------------------------------- Technology 23.3% Communications 20.6 Consumer, Non-cyclical 19.4 Consumer, Cyclical 13.3 Industrial 10.3 Financial 4.9 Basic Materials 4.5 Energy 3.9 Utilities 1.2 Short Term Investments 1.0 - -------------------------------------------------------------------------------- Total Investments 102.4 Liabilities in excess of other assets (2.4) - -------------------------------------------------------------------------------- Net Assets 100.0% ================================================================================ SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 18 <Page> U.S. SYSTEMATIC MID CAP GROWTH FUND MANAGEMENT TEAM: JANE EDMONDSON, Portfolio Manager; MARK P. ROEMER, Portfolio Manager CHIEF INVESTMENT OFFICER: HORACIO A. VALEIRAS, CFA GOAL: The U.S. Systematic Mid Cap Growth Fund seeks to maximize long-term capital appreciation through investments primarily in stocks of mid-sized U.S. companies. Generally, mid-sized companies are those within the capitalization range of the Russell Midcap Growth Index, as measured at time of purchase. MARKET OVERVIEW: U.S. mid-cap growth stocks, as measured by the Russell Midcap Growth Index, posted solid gains from April 1, 2006 to March 31, 2007. After a weak start to the fiscal year, a number of factors helped drive the index higher, including: - Retreat in oil prices, which hit a record $78.40 a barrel in July but fell to $49.90 in January - Pause in monetary tightening from the Federal Reserve after seventeen consecutive rate hikes between June 2004 and June 2006 - Solid economic backdrop and healthy corporate profit growth among medium-sized companies A pickup in mergers, acquisitions and leveraged buyouts contributed to gains among mid-cap growth stocks. The brisk pace of transactions was fueled by cash-rich corporate balance sheets, strong inflows into private equity funds and favorable credit market conditions. The increase in the Russell Midcap Growth Index was broad based. Information technology was the only sector to register a loss, hurt by market volatility early and late in the period and concerns about the accounting treatment of stock options, a popular form of compensation in the sector. While only a small weight in the index, the utilities sector posted the highest return amid consolidation in the group and a favorable pricing environment. PERFORMANCE: During the fiscal year ended March 31, 2007, the Fund's Class I shares rose 10.54%, outperforming the Russell Midcap Growth Index, which gained 6.89%. PORTFOLIO SPECIFICS: The Fund's outperformance was due to stock selection, which was positive in most sectors. Stock selection was strongest in the consumer discretionary sector, where toy manufacturer Mattel, cable TV operator Cablevision Systems and weight loss company NutriSystem were top performers. Mattel saw good sales growth across its major segments, including its Barbie brand. Cablevision Systems announced that it had received a bid to be taken private by the company's founding family. NutriSystem benefited from a favorable outlook for its men's and senior citizens' programs. A lack of exposure to several homebuilding stocks that fell sharply further boosted relative results in the consumer discretionary sector. Stock selection in the industrials and utilities sectors was also notably strong, led by significant gains from AMR Corporation, the parent company of American Airlines, and Mirant, an independent power producer. The main areas of relative weakness in the portfolio were stock selection among financials and materials companies. Throughout the period, we maintained the Fund's well diversified structure. The largest overweight versus the index at March 31 was in the consumer staples sector (+3.8%), and the largest underweight was in health care (-5.0%). MARKET OUTLOOK: Our process evaluates investment opportunities on a relative basis and is required to remain fully invested. As such, the process neither utilizes nor results in a forecast or outlook on the overall market, but expects to perform equally well versus the Russell Midcap Growth Index in both up and down markets. We are confident that the Fund's proprietary stock-selection model, in conjunction with its risk-controlled approach to portfolio construction, will continue to add value above the benchmark over time. COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN U.S. SYSTEMATIC MID CAP GROWTH FUND CLASS I AND II SHARES WITH THE RUSSELL MIDCAP GROWTH INDEX. [CHART] <Table> <Caption> U.S. SYSTEMATIC MID CAP GROWTH RUSSELL MIDCAP FUND CLASS I SHARES GROWTH INDEX ------------------- -------------- <S> <C> <C> 2/27/2004 $250,000 $250,000 2/29/2004 $250,000 $250,000 3/31/2004 $247,250 $249,500 4/30/2004 $231,995 $242,439 5/31/2004 $238,491 $248,161 6/30/2004 $246,241 $252,106 7/31/2004 $229,990 $235,392 8/30/2004 $223,481 $232,496 9/30/2004 $237,225 $241,192 10/31/2004 $240,214 $249,368 11/30/2004 $259,215 $262,236 12/31/2004 $269,713 $274,823 1/31/2005 $263,213 $267,458 2/28/2005 $272,452 $274,224 3/31/2005 $267,193 $270,221 4/30/2005 $251,696 $259,520 5/31/2005 $267,201 $274,339 6/30/2005 $277,194 $279,441 7/31/2005 $298,926 $295,733 8/31/2005 $299,434 $293,899 9/30/2005 $302,429 $297,690 10/31/2005 $293,416 $288,938 11/30/2005 $306,855 $304,628 12/31/2005 $309,708 $307,979 1/31/2006 $330,242 $326,427 2/28/2006 $328,690 $322,411 3/31/2006 $338,583 $331,407 4/30/2006 $341,191 $332,799 5/31/2006 $323,517 $317,124 6/30/2006 $319,861 $315,824 7/31/2006 $307,131 $304,517 8/31/2006 $312,321 $311,521 9/30/2006 $320,910 $318,624 10/31/2006 $336,763 $330,859 11/30/2006 $348,718 $343,829 12/31/2006 $349,520 $340,734 1/31/2007 $364,480 $353,137 2/28/2007 $363,386 $352,360 3/31/2007 $374,251 $354,192 </Table> Annualized Total Returns As of 3/31/07 1 YEAR SINCE INCEPTION - ------------------------------------------------------ U.S. Systematic Mid Cap Growth Fund Class I 10.54% 13.96% - ------------------------------------------------------ Russell Midcap Growth Index 6.89% 11.95% - ------------------------------------------------------ 19 <Page> [CHART] <Table> <Caption> U.S. SYSTEMATIC MID CAP GROWTH RUSSELL MIDCAP FUND CLASS I SHARES GROWTH INDEX ------------------- -------------- <S> <C> <C> 2/27/2004 $250,000 $250,000 2/29/2004 $250,000 $250,000 3/31/2004 $247,250 $249,500 4/30/2004 $231,995 $242,439 5/31/2004 $238,491 $248,161 6/30/2004 $246,241 $252,106 7/31/2004 $229,990 $235,392 8/30/2004 $223,481 $232,496 9/30/2004 $237,225 $241,192 10/31/2004 $240,214 $249,368 11/30/2004 $259,215 $262,236 12/31/2004 $269,713 $274,823 1/31/2005 $263,213 $267,458 2/28/2005 $272,452 $274,224 3/31/2005 $267,193 $270,221 4/30/2005 $251,696 $259,520 5/31/2005 $267,201 $274,339 6/30/2005 $277,194 $279,441 7/31/2005 $298,926 $295,733 8/31/2005 $299,434 $293,899 9/30/2005 $302,429 $297,690 10/31/2005 $293,688 $288,938 11/30/2005 $307,639 $304,628 12/31/2005 $310,253 $307,979 1/31/2006 $331,320 $326,427 2/28/2006 $329,762 $322,411 3/31/2006 $339,919 $331,407 4/30/2006 $342,537 $332,799 5/31/2006 $324,588 $317,124 6/30/2006 $321,212 $315,824 7/31/2006 $308,460 $304,517 8/31/2006 $313,673 $311,521 9/30/2006 $322,518 $318,624 10/31/2006 $338,386 $330,859 11/30/2006 $350,331 $343,829 12/31/2006 $351,417 $340,734 1/31/2007 $366,634 $353,137 2/28/2007 $365,277 $352,360 3/31/2007 $376,710 $354,192 </Table> Annualized Total Returns As of 3/31/07 1 YEAR SINCE INCEPTION - ------------------------------------------------------ U.S. Systematic Mid Cap Growth Fund Class II 10.81% 14.22% - ------------------------------------------------------ Russell Midcap Growth Index 6.89% 11.95% - ------------------------------------------------------ THE GRAPHS ABOVE SHOW THE VALUE OF A HYPOTHETICAL $250,000 INVESTMENT IN THE FUND'S CLASS I AND II SHARES COMPARED WITH THE RUSSELL MIDCAP GROWTH INDEX FOR THE PERIODS INDICATED. THE FUND'S CLASS I SHARES WERE FIRST AVAILABLE ON FEBRUARY 27, 2004 AND CLASS II SHARES ON SEPTEMBER 30, 2005. THE HISTORICAL PERFORMANCE OF CLASS II SHARES INCLUDES THE PERFOMANCE OF CLASS I SHARES FOR PERIODS PRIOR TO THE INCEPTION OF CLASS II SHARES. AVERAGE ANNUAL TOTAL RETURN FIGURES INCLUDE CHANGES IN PRINCIPAL VALUE, REINVESTED DIVIDENDS, AND CAPITAL GAIN DISTRIBUTIONS. AVERAGE ANNUAL TOTAL RETURN FIGURES INCLUDE CHANGES IN PRINCIPAL VALUE, REINVESTED DIVIDENDS, AND CAPITAL GAIN DISTRIBUTIONS. THE TOTAL RETURNS SHOWN ABOVE DO NOT SHOW THE EFFECTS OF INCOME TAXES ON AN INDIVIDUAL'S INVESTMENT. IN MOST CASES, TAXES MAY REDUCE YOUR ACTUAL INVESTMENT RETURNS ON INCOME OR GAINS PAID BY THE FUND OR ANY GAINS YOU MAY REALIZE IF YOU SELL YOUR SHARES. PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS. THE RUSSELL MIDCAP GROWTH INDEX IS AN UNMANAGED INDEX GENERALLY REPRESENTATIVE OF THE SMALLEST 800 STOCKS IN THE RUSSELL 1000 INDEX AS RANKED BY TOTAL MARKET CAPITALIZATION. THE RUSSELL 1000 INDEX CONSISTS OF THE 1,000 LARGEST SECURITIES IN THE RUSSELL 3000 INDEX, WHICH REPRESENTS APPROXIMATELY 90% OF THE TOTAL MARKET CAPITALIZATION OF THE INDEX. RUSSELL GROWTH INDEXES MEASURE THE PERFORMANCE OF THOSE COMPANIES WITH HIGHER PRICE-TO-BOOK RATIOS AND HIGHER FORECASTED GROWTH VALUES. ONE CANNOT INVEST DIRECTLY IN AN INDEX. SINCE MARKETS CAN GO DOWN AS WELL AS UP, INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET CONDITIONS. YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. 20 <Page> SCHEDULE OF INVESTMENTS As of March 31, 2007 NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK - 98.3% AEROSPACE/DEFENSE - 1.1% Spirit Aerosystems Holdings, Inc. Cl. A 9,200 $ 293,020 ---------- AIRLINES - 2.9% AMR Corp. 12,400 377,580 Continental Airlines, Inc. Cl. B 11,400 414,846 ---------- 792,426 ---------- APPAREL MANUFACTURERS - 1.0% Phillips-Van Heusen 4,600 270,480 ---------- BREWERY - 1.6% Molson Coors Brewing Co. Cl. B 4,500 425,790 ---------- BUILDING & CONSTRUCTION PRODUCTS-MISCELLANEOUS - 1.0% Masco Corp. 9,600 263,040 ---------- BUILDING-MAINTENANCE & SERVICE - 1.2% Rollins, Inc. 13,600 312,936 ---------- CASINO HOTELS - 1.4% Wynn Resorts, Ltd. 3,900 369,954 ---------- CHEMICALS-SPECIALTY - 1.1% Ashland, Inc. 4,700 308,320 ---------- COMMERCIAL BANKS-SOUTHERN US - 1.0% Synovus Financial Corp. 8,500 274,890 ---------- COMMERCIAL SERVICES-FINANCE - 0.9% Equifax, Inc. 7,000 255,150 ---------- COMPUTER SERVICES - 1.1% DST Systems, Inc. 4,100 308,320 ---------- COMPUTERS-INTEGRATED SYSTEMS - 2.5% Brocade Communications Systems, Inc.* 39,100 372,232 Diebold, Inc. 6,400 305,344 ---------- 677,576 ---------- COMPUTERS-MEMORY DEVICES - 1.7% Network Appliance, Inc.* 12,900 471,108 ---------- COSMETICS & TOILETRIES - 1.0% The Estee Lauder Cos., Inc. Cl. A 5,800 283,330 ---------- DATA PROCESSING/MANAGEMENT - 1.6% Dun & Bradstreet Corp. 4,700 428,640 ---------- DIALYSIS CENTERS - 1.0% DaVita, Inc.* 5,200 277,264 ---------- DISTRIBUTION/WHOLESALE - 1.4% Genuine Parts Co. 7,600 372,400 ---------- DIVERSIFIED MANUFACTURING OPERATIONS - 3.3% Dover Corp. 8,700 424,647 Parker Hannifin Corp. 1,800 155,358 Teleflex, Inc. 4,700 319,929 ---------- 899,934 ---------- E-COMMERCE/PRODUCTS - 1.5% NutriSystem, Inc.* 7,700 403,557 ---------- E-COMMERCE/SERVICES - 1.7% Liberty Media Corp. - Interactive 19,800 471,636 ---------- ELECTRONIC COMPONENTS-SEMICONDUCTORS - 2.0% Intersil Corp. Cl. A 4,000 105,960 MEMC Electronic Materials, Inc.* 7,400 448,292 ---------- 554,252 ---------- ELECTRONIC CONNECTORS - 1.2% Thomas & Betts Corp.* 6,900 336,858 ---------- ELECTRONIC PARTS DISTRIBUTION - 1.0% Avnet, Inc. 7,600 274,664 ---------- ELECTRONICS-MILITARY - 1.2% L-3 Communications Holdings, Inc. 3,600 314,892 ---------- E-MARKETING/INFORMATION - 1.1% Digital River, Inc. 5,400 298,350 ---------- ENTERPRISE SOFTWARE/SERVICES - 1.3% BEA Systems, Inc. 30,700 355,813 ---------- FINANCE-CONSUMER LOANS - 1.3% The First Marblehead Corp. 7,900 354,631 ---------- FOOD-MISCELLANEOUS/DIVERSIFIED - 4.1% ConAgra Foods, Inc. 11,500 286,465 HJ Heinz Co. 8,500 400,520 Sara Lee Corp. 24,500 414,540 ---------- 1,101,525 ---------- FUNERAL SERVICES & RELATED ITEMS - 0.6% Service Corp. International 13,200 156,552 ---------- INDEPENDENT POWER PRODUCER - 1.5% Mirant Corp. 10,000 404,600 ---------- INDUSTRIAL AUDIO & VIDEO PRODUCTS - 1.1% Dolby Laboratories, Inc. Cl. A 8,600 296,786 ---------- INSTRUMENTS-CONTROLS - 1.3% Mettler Toledo International, Inc. 3,800 340,366 ---------- INSTRUMENTS-SCIENTIFIC - 0.8% PerkinElmer, Inc. 8,500 205,870 ---------- INVESTMENT MANAGEMENT/ADVISOR SERVICES - 1.5% Franklin Resources, Inc. 3,300 398,739 ---------- LIFE/HEALTH INSURANCE - 1.4% Cigna Corp. 2,600 370,916 ---------- MACHINERY-CONSTRUCTION & MINING - 1.1% Terex Corp. 4,100 294,216 ---------- MEDICAL LABS & TESTING SERVICES - 1.2% Quest Diagnostics, Inc. 6,600 329,142 ---------- MEDICAL PRODUCTS - 0.5% Zimmer Holdings, Inc. 1,600 136,656 ---------- MEDICAL-DRUGS - 1.9% Forest Laboratories, Inc. 9,900 509,256 ---------- MEDICAL-HMO - 2.3% Coventry Health Care, Inc. 3,425 191,971 Humana, Inc. 7,500 435,150 ---------- 627,121 ---------- MEDICAL-HOSPITALS - 0.8% Universal Health Services, Inc. Cl. B 3,600 206,136 ---------- METAL-DIVERSIFIED - 1.9% Freeport-McMoRan Copper & Gold, Inc. 7,600 503,044 ---------- MULTI-LINE INSURANCE - 2.2% Assurant, Inc. 5,700 305,691 CNA Financial Corp. 6,400 275,776 ---------- 581,467 ---------- OIL & GAS DRILLING - 2.3% ENSCO International, Inc. 8,400 456,960 Pride International, Inc. 5,900 177,590 ---------- 634,550 ---------- OIL FIELD MACHINERY & EQUIPMENT - 2.7% Grant Prideco, Inc. 8,900 443,576 National Oilwell Varco, Inc.* 3,600 280,044 ---------- 723,620 ---------- SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 21 <Page> NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- OIL-FIELD SERVICES - 3.0% BJ Services Co. 12,100 $ 337,590 Helix Energy Solutions Group 3,100 115,599 Tidewater, Inc. 6,300 369,054 ----------- 822,243 ----------- PAPER & RELATED PRODUCTS - 1.2% International Paper Co. 9,000 327,600 ----------- PIPELINES - 1.8% Dynegy, Inc. Cl. A 39,100 362,066 El Paso Corp. 9,200 133,124 ----------- 495,190 ----------- PRIVATE CORRECTIONS - 0.7% Corrections Corp. of America* 3,600 190,116 ----------- PROPERTY/CASUALTY INSURANCE - 1.3% WR Berkley Corp. 10,375 343,620 ----------- PUBLISHING-NEWSPAPERS - 1.1% Gannett Co., Inc. 5,500 309,595 ----------- REAL ESTATE MANAGEMENT/SERVICES - 1.3% CB Richard Ellis Group, Inc. Cl. A* 10,400 355,472 ----------- RETAIL-APPAREL/SHOE - 1.8% Nordstrom, Inc. 9,000 476,460 ----------- RETAIL-AUTO PARTS - 1.5% Autozone, Inc. 3,200 410,048 ----------- RETAIL-COMPUTER EQUIPMENT - 1.6% Gamestop Corp. Cl. A 13,200 429,924 ----------- RETAIL-DISCOUNT - 1.2% Family Dollar Stores, Inc. 10,600 313,972 ----------- RETAIL-MAJOR DEPARTMENT STORES - 0.8% JC Penney Co., Inc. 2,500 205,400 ----------- RETAIL-OFFICE SUPPLIES - 0.7% Office Depot, Inc. 5,200 182,728 ----------- RETAIL-RESTAURANTS - 1.3% Brinker International, Inc. 4,300 140,610 CBRL Group, Inc. 4,300 199,090 ----------- 339,700 ----------- RUBBER-TIRES - 0.8% Goodyear Tire & Rubber Co. 7,300 227,687 ----------- SEMICONDUCTOR COMPONENTS-INTEGRATED CIRCUITS - 0.7% Integrated Device Technology, Inc. 12,300 189,666 ----------- SEMICONDUCTOR EQUIPMENT - 0.5% Lam Research Corp. 3,000 142,020 ----------- STEEL-PRODUCERS - 0.9% Nucor Corp. 3,600 234,468 ----------- TELEPHONE-INTEGRATED - 1.8% Level 3 Communications, Inc.* 81,700 498,370 ----------- TELEVISION - 1.3% CBS Corp. Cl. B 11,800 360,962 ----------- TOOLS-HAND HELD - 1.4% The Black & Decker Corp. 4,500 367,290 ----------- TOYS - 1.7% Mattel, Inc. 16,600 457,662 ----------- VITAMINS & NUTRITION PRODUCTS - 1.6% NBTY, Inc. 8,000 424,320 - -------------------------------------------------------------------------------- Total Common Stock (Cost: $22,852,728) 26,574,306 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- SHORT TERM INVESTMENTS - 1.7% TIME DEPOSIT - 1.7% Citibank Nassau 4.690%, 04/02/07 (Cost: $465,553) $465,553 $ 465,553 - -------------------------------------------------------------------------------- Total Investments - 100.0% (Cost: $23,318,281) 27,039,859 - -------------------------------------------------------------------------------- Other Assets In Excess Of Liabilities - 0.0% 504 - -------------------------------------------------------------------------------- Net Assets - 100.0% $27,040,363 - -------------------------------------------------------------------------------- * NON-INCOME PRODUCING SECURITIES. SCHEDULE OF INVESTMENTS BY SECTOR as of March 31, 2007 PERCENT OF SECTOR NET ASSETS - -------------------------------------------------------------------------------- Consumer, Cyclical 18.3% Consumer, Non-cyclical 17.8 Industrial 16.9 Technology 11.6 Financial 9.9 Communications 8.6 Energy 8.6 Basic Materials 5.1 Utilities 1.5 Short Term Investments 1.7 - -------------------------------------------------------------------------------- Total Investments 100.0 Other assets in excess of liabilities 0.0 - -------------------------------------------------------------------------------- Net Assets 100.0% ================================================================================ SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 22 <Page> U.S. CONVERTIBLE FUND MANAGEMENT TEAM: DOUGLAS G. FORSYTH, CFA, Portfolio Manager; WILLIAM L. STICKNEY, Portfolio Manager; JUSTIN KASS, CFA, Portfolio Manager; MICHAEL E. YEE, Portfolio Manager; ELIZABETH LEMESEVSKI, Analyst; DAVID A. FOSTER, CPA, CFA, Analyst; JOANNA WILLARS, Analyst; NICOLE D. LARRABEE, Fixed Income Trading Assistant CHIEF INVESTMENT OFFICER: HORACIO A. VALEIRAS, CFA GOAL: The U.S. Convertible Fund seeks to maximize total return consisting of capital appreciation and current income by investing primarily in convertible securities of U.S. companies across all market capitalizations. MARKET OVERVIEW: The Merrill Lynch All Convertibles All Qualities Index gained 9.82% during the fiscal year ended March 31, 2007. Convertible securities outperformed the NASDAQ Composite Index, which rose 4.23%, but trailed the S&P 500 Index, up 11.83%. Like the U.S. equity market, the convertible market started the period on a volatile note, as investors speculated about when the Federal Reserve would stop raising short-term interest rates. Convertibles subsequently posted three consecutive quarters of gains, benefiting from the broad, upward move in equity prices. Strength in the stock market was driven by a drop in oil prices, the end of two years of continuous monetary tightening and a solid backdrop of economic and earnings growth. That said, market volatility spiked again toward the end of the period amid rising oil prices and weakness in the housing and subprime mortgage sectors. Large and mid-cap convertibles outperformed small caps, and total return and more equity-sensitive convertibles outperformed "busted," or bond-like, issues. Utilities and materials were the best-performing industries, while energy and health care were the worst. New issuance continues to exceed expectations and was particularly strong in March. PERFORMANCE: Between April 1, 2006 and March 31, 2007, the Fund's Class I shares gained 10.79%, outperforming the 9.82% increase in the Merrill Lynch All Convertibles All Qualities Index. PORTFOLIO SPECIFICS: Stock selection was the key driver of the Fund's absolute and relative performance, and positions in diverse industries contributed to this period's strong results. Several of our industrial names benefited from robust quarterly earnings and impressive operating improvements. Select utilities advanced on solid corporate profits, attractive valuations and higher power prices. Certain insurance holdings also rose on solid profits, as well as lower-than-expected catastrophe losses. In addition, a metal producer we owned in the portfolio was acquired for a 30% premium. On the negative side, select technology companies declined on disappointing earnings. Certain energy holdings moved lower on falling oil prices and the potential impact on future profits. As of March 31, the Fund's conversion premium was 15%, compared to the market's premium of 31%. The Fund continues to be well positioned to participate in the upside of an improving economic environment, while not sacrificing downside protection. MARKET OUTLOOK: We believe convertible securities remain a compelling asset class. Although the U.S. equity market may face some headwinds, such as further deterioration in the subprime mortgage market, the economy is healthy, corporate balance sheets are solid and defaults are low. Other possible catalysts for equities include a cooling of inflation and an interest rate cut from the Fed. We continue to build the Fund one security at a time by finding companies that are opportunistically capitalizing on change. We are also maintaining our discipline by seeking to identify the best convertibles with the optimal risk/reward profile: 70-80% of the upside and 40-50% of the downside. COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN U.S. CONVERTIBLE FUND CLASS I, II AND IV SHARES WITH THE MERRILL LYNCH ALL CONVERTIBLES, ALL QUALITIES INDEX. [CHART] <Table> <Caption> MERRILL LYNCH ALL U.S. CONVERTIBLE FUND CONVERTIBLES ALL CLASS I SHARES QUALITIES INDEX --------------------- ----------------- <S> <C> <C> 4/19/1993 $ 250,000 $250,000 4/30/1993 $ 255,000 $248,560 5/31/1993 $ 265,200 $254,242 6/30/1993 $ 273,686 $255,910 7/31/1993 $ 276,286 $256,862 8/31/1993 $ 292,366 $264,098 9/30/1993 $ 297,658 $266,712 10/31/1993 $ 305,367 $273,263 11/30/1993 $ 298,466 $269,481 12/31/1993 $ 307,599 $273,588 1/31/1994 $ 318,058 $280,728 2/28/1994 $ 314,495 $277,174 3/31/1994 $ 300,437 $265,724 4/30/1994 $ 297,974 $260,511 5/31/1994 $ 295,054 $260,430 6/30/1994 $ 286,733 $257,487 7/31/1994 $ 290,575 $262,057 8/31/1994 $ 296,242 $268,834 9/30/1994 $ 292,805 $265,401 10/31/1994 $ 292,337 $266,335 11/30/1994 $ 283,625 $258,202 12/31/1994 $ 284,249 $257,169 1/31/1995 $ 282,288 $259,015 2/28/1995 $ 285,986 $267,112 3/31/1995 $ 294,394 $274,364 4/30/1995 $ 297,868 $280,087 5/31/1995 $ 303,587 $287,821 6/30/1995 $ 315,214 $297,644 7/31/1995 $ 330,029 $307,710 8/31/1995 $ 335,309 $312,218 9/30/1995 $ 343,089 $316,280 10/31/1995 $ 337,496 $307,681 11/30/1995 $ 344,584 $319,483 12/31/1995 $ 347,547 $320,665 1/31/1996 $ 357,278 $330,551 2/29/1996 $ 367,247 $338,015 3/31/1996 $ 372,976 $341,544 4/30/1996 $ 383,046 $347,893 5/31/1996 $ 394,920 $355,582 6/30/1996 $ 386,153 $350,316 7/31/1996 $ 365,339 $335,392 8/31/1996 $ 387,735 $348,328 9/30/1996 $ 406,075 $357,918 10/31/1996 $ 406,603 $362,234 11/30/1996 $ 417,256 $374,474 12/31/1996 $ 420,594 $371,722 1/31/1997 $ 436,702 $382,554 2/28/1997 $ 430,763 $381,127 3/31/1997 $ 426,585 $372,948 4/30/1997 $ 431,448 $376,338 5/31/1997 $ 453,667 $395,430 6/30/1997 $ 471,723 $407,834 7/31/1997 $ 500,687 $431,117 8/31/1997 $ 494,378 $428,781 9/30/1997 $ 518,554 $448,603 10/31/1997 $ 508,183 $439,963 11/30/1997 $ 509,656 $440,148 12/31/1997 $ 518,626 $444,453 1/31/1998 $ 513,544 $445,822 2/28/1998 $ 537,783 $465,562 3/31/1998 $ 562,198 $482,677 4/30/1998 $ 568,832 $485,708 5/31/1998 $ 555,863 $474,978 6/30/1998 $ 577,597 $478,987 7/31/1998 $ 581,756 $471,381 8/31/1998 $ 497,692 $417,219 9/30/1998 $ 525,712 $425,547 10/31/1998 $ 537,173 $436,539 11/30/1998 $ 571,176 $457,392 12/31/1998 $ 630,407 $484,154 1/31/1999 $ 667,790 $508,038 2/28/1999 $ 634,801 $490,287 3/31/1999 $ 674,349 $510,575 4/30/1999 $ 695,658 $531,299 5/31/1999 $ 684,389 $528,616 6/30/1999 $ 717,103 $548,101 7/31/1999 $ 695,733 $544,599 8/31/1999 $ 701,090 $537,737 9/30/1999 $ 704,245 $541,275 10/31/1999 $ 749,105 $562,493 11/30/1999 $ 817,049 $595,072 12/31/1999 $ 955,212 $675,681 1/31/2000 $ 960,657 $675,519 2/29/2000 $1,122,047 $732,350 3/31/2000 $1,073,463 $731,310 4/30/2000 $1,003,043 $680,879 5/31/2000 $ 938,949 $651,390 6/30/2000 $1,009,558 $684,924 7/31/2000 $ 970,185 $664,602 8/31/2000 $1,070,502 $715,650 9/30/2000 $1,069,753 $692,299 10/31/2000 $1,014,019 $665,216 11/30/2000 $ 865,972 $585,703 12/31/2000 $ 920,269 $608,123 1/31/2001 $ 950,269 $645,949 2/28/2001 $ 856,763 $597,438 3/31/2001 $ 803,986 $571,575 4/30/2001 $ 849,492 $609,933 5/31/2001 $ 834,881 $606,127 6/30/2001 $ 815,344 $596,562 7/31/2001 $ 785,910 $587,978 8/31/2001 $ 763,433 $577,600 9/30/2001 $ 716,253 $543,135 10/31/2001 $ 732,870 $554,302 11/30/2001 $ 757,641 $569,135 12/31/2001 $ 766,051 $581,087 1/31/2002 $ 754,254 $571,906 2/28/2002 $ 742,488 $555,689 3/31/2002 $ 767,658 $575,639 4/30/2002 $ 759,060 $567,230 5/31/2002 $ 750,103 $562,278 6/30/2002 $ 707,422 $531,803 7/31/2002 $ 652,668 $499,948 8/31/2002 $ 661,022 $506,157 9/30/2002 $ 644,100 $488,315 10/31/2002 $ 655,500 $499,205 11/30/2002 $ 676,083 $535,197 12/31/2002 $ 663,373 $531,183 1/31/2003 $ 662,245 $539,735 2/28/2003 $ 655,556 $538,440 3/31/2003 $ 662,636 $547,540 4/30/2003 $ 696,298 $575,161 5/31/2003 $ 733,690 $601,917 6/30/2003 $ 738,972 $605,746 7/31/2003 $ 752,200 $607,469 8/31/2003 $ 765,815 $615,009 9/30/2003 $ 768,112 $622,600 10/31/2003 $ 817,194 $644,944 11/30/2003 $ 835,091 $655,459 12/31/2003 $ 850,707 $675,411 1/31/2004 $ 883,629 $695,901 2/29/2004 $ 884,778 $701,407 3/31/2004 $ 889,025 $704,027 4/30/2004 $ 870,533 $687,053 5/31/2004 $ 875,495 $688,814 6/30/2004 $ 893,093 $700,003 7/31/2004 $ 860,674 $681,136 8/30/2004 $ 849,055 $682,504 9/30/2004 $ 879,111 $694,209 10/31/2004 $ 872,518 $697,293 11/30/2004 $ 922,949 $722,648 12/31/2004 $ 953,037 $740,330 1/31/2005 $ 941,124 $724,129 2/28/2005 $ 953,453 $722,424 3/31/2005 $ 929,998 $705,743 4/30/2005 $ 902,656 $682,453 5/31/2005 $ 928,743 $699,992 6/30/2005 $ 958,184 $714,762 7/31/2005 $ 993,158 $737,563 8/31/2005 $ 992,363 $737,047 9/30/2005 $1,005,264 $744,343 10/31/2005 $ 986,365 $728,563 11/30/2005 $1,013,096 $741,823 12/31/2005 $1,021,403 $747,758 1/31/2006 $1,065,528 $778,565 2/28/2006 $1,066,806 $776,775 3/31/2006 $1,089,316 $787,572 4/30/2006 $1,107,943 $794,266 5/31/2006 $1,076,034 $781,876 6/30/2006 $1,072,053 $781,719 7/31/2006 $1,069,373 $783,517 8/31/2006 $1,082,740 $794,095 9/30/2006 $1,099,631 $803,544 10/31/2006 $1,123,823 $824,276 11/30/2006 $1,140,118 $840,514 12/31/2006 $1,153,344 $843,708 1/31/2007 $1,181,024 $861,932 2/28/2007 $1,187,874 $862,191 3/31/2007 $1,206,880 $864,777 </Table> Annualized Total Returns As of 3/31/07 1 YEAR 5 YEARS 10 YEARS - ------------------------------------------------------------ U.S. Convertible Fund Class I 10.79% 9.47% 10.95% - ------------------------------------------------------------ Merrill Lynch All Convertibles All Qualities Index 9.82% 8.73% 8.78% - ------------------------------------------------------------ 23 <Page> [CHART] <Table> <Caption> MERRILL LYNCH ALL U.S. CONVERTIBLE CONVERTIBLES ALL FUND CLASS II SHARES QUALITIES INDEX -------------------- ----------------- <S> <C> <C> 4/19/1993 $ 250,000 $250,000 4/30/1993 $ 255,000 $248,560 5/31/1993 $ 265,200 $254,242 6/30/1993 $ 273,686 $255,910 7/31/1993 $ 276,286 $256,862 8/31/1993 $ 292,366 $264,098 9/30/1993 $ 297,658 $266,712 10/31/1993 $ 305,367 $273,263 11/30/1993 $ 298,466 $269,481 12/31/1993 $ 307,599 $273,588 1/31/1994 $ 318,058 $280,728 2/28/1994 $ 314,495 $277,174 3/31/1994 $ 300,437 $265,724 4/30/1994 $ 297,974 $260,511 5/31/1994 $ 295,054 $260,430 6/30/1994 $ 286,733 $257,487 7/31/1994 $ 290,575 $262,057 8/31/1994 $ 296,242 $268,834 9/30/1994 $ 292,805 $265,401 10/31/1994 $ 292,337 $266,335 11/30/1994 $ 283,625 $258,202 12/31/1994 $ 284,249 $257,169 1/31/1995 $ 282,288 $259,015 2/28/1995 $ 285,986 $267,112 3/31/1995 $ 294,394 $274,364 4/30/1995 $ 297,868 $280,087 5/31/1995 $ 303,587 $287,821 6/30/1995 $ 315,214 $297,644 7/31/1995 $ 330,029 $307,710 8/31/1995 $ 335,309 $312,218 9/30/1995 $ 343,089 $316,280 10/31/1995 $ 337,496 $307,681 11/30/1995 $ 344,584 $319,483 12/31/1995 $ 347,547 $320,665 1/31/1996 $ 357,278 $330,551 2/29/1996 $ 367,247 $338,015 3/31/1996 $ 372,976 $341,544 4/30/1996 $ 383,046 $347,893 5/31/1996 $ 394,920 $355,582 6/30/1996 $ 386,153 $350,316 7/31/1996 $ 365,339 $335,392 8/31/1996 $ 387,735 $348,328 9/30/1996 $ 406,075 $357,918 10/31/1996 $ 406,603 $362,234 11/30/1996 $ 417,256 $374,474 12/31/1996 $ 420,594 $371,722 1/31/1997 $ 436,702 $382,554 2/28/1997 $ 430,763 $381,127 3/31/1997 $ 426,585 $372,948 4/30/1997 $ 431,448 $376,338 5/31/1997 $ 453,667 $395,430 6/30/1997 $ 471,723 $407,834 7/31/1997 $ 500,687 $431,117 8/31/1997 $ 494,378 $428,781 9/30/1997 $ 518,554 $448,603 10/31/1997 $ 508,183 $439,963 11/30/1997 $ 509,656 $440,148 12/31/1997 $ 518,626 $444,453 1/31/1998 $ 513,544 $445,822 2/28/1998 $ 537,783 $465,562 3/31/1998 $ 562,198 $482,677 4/30/1998 $ 568,832 $485,708 5/31/1998 $ 555,863 $474,978 6/30/1998 $ 577,597 $478,987 7/31/1998 $ 581,756 $471,381 8/31/1998 $ 497,692 $417,219 9/30/1998 $ 525,712 $425,547 10/31/1998 $ 537,173 $436,539 11/30/1998 $ 571,176 $457,392 12/31/1998 $ 630,407 $484,154 1/31/1999 $ 667,790 $508,038 2/28/1999 $ 634,801 $490,287 3/31/1999 $ 674,349 $510,575 4/30/1999 $ 695,658 $531,299 5/31/1999 $ 684,389 $528,616 6/30/1999 $ 717,103 $548,101 7/31/1999 $ 695,733 $544,599 8/31/1999 $ 701,090 $537,737 9/30/1999 $ 704,245 $541,275 10/31/1999 $ 749,105 $562,493 11/30/1999 $ 817,049 $595,072 12/31/1999 $ 955,212 $675,681 1/31/2000 $ 960,657 $675,519 2/29/2000 $1,122,047 $732,350 3/31/2000 $1,073,463 $731,310 4/30/2000 $1,003,043 $680,879 5/31/2000 $ 938,949 $651,390 6/30/2000 $1,009,558 $684,924 7/31/2000 $ 970,185 $664,602 8/31/2000 $1,070,502 $715,650 9/30/2000 $1,069,753 $692,299 10/31/2000 $1,014,019 $665,216 11/30/2000 $ 865,972 $585,703 12/31/2000 $ 920,269 $608,123 1/31/2001 $ 950,269 $645,949 2/28/2001 $ 856,763 $597,438 3/31/2001 $ 803,986 $571,575 4/30/2001 $ 849,492 $609,933 5/31/2001 $ 834,881 $606,127 6/30/2001 $ 815,344 $596,562 7/31/2001 $ 785,910 $587,978 8/31/2001 $ 763,433 $577,600 9/30/2001 $ 716,253 $543,135 10/31/2001 $ 732,870 $554,302 11/30/2001 $ 757,641 $569,135 12/31/2001 $ 766,051 $581,087 1/31/2002 $ 754,254 $571,906 2/28/2002 $ 742,488 $555,689 3/31/2002 $ 767,658 $575,639 4/30/2002 $ 759,060 $567,230 5/31/2002 $ 750,103 $562,278 6/30/2002 $ 707,422 $531,803 7/31/2002 $ 652,668 $499,948 8/31/2002 $ 661,022 $506,157 9/30/2002 $ 644,100 $488,315 10/31/2002 $ 655,500 $499,205 11/30/2002 $ 676,083 $535,197 12/31/2002 $ 663,373 $531,183 1/31/2003 $ 662,245 $539,735 2/28/2003 $ 655,556 $538,440 3/31/2003 $ 662,636 $547,540 4/30/2003 $ 696,298 $575,161 5/31/2003 $ 733,690 $601,917 6/30/2003 $ 738,972 $605,746 7/31/2003 $ 752,200 $607,469 8/31/2003 $ 765,815 $615,009 9/30/2003 $ 768,112 $622,600 10/31/2003 $ 817,194 $644,944 11/30/2003 $ 835,091 $655,459 12/31/2003 $ 850,707 $675,411 1/31/2004 $ 883,629 $695,901 2/29/2004 $ 884,778 $701,407 3/31/2004 $ 889,025 $704,027 4/30/2004 $ 870,533 $687,053 5/31/2004 $ 875,495 $688,814 6/30/2004 $ 893,093 $700,003 7/31/2004 $ 860,674 $681,136 8/30/2004 $ 849,055 $682,504 9/30/2004 $ 879,111 $694,209 10/31/2004 $ 872,518 $697,293 11/30/2004 $ 922,949 $722,648 12/31/2004 $ 953,037 $740,330 1/31/2005 $ 941,124 $724,129 2/28/2005 $ 953,453 $722,424 3/31/2005 $ 929,998 $705,743 4/30/2005 $ 902,656 $682,453 5/31/2005 $ 928,743 $699,992 6/30/2005 $ 958,184 $714,762 7/31/2005 $ 993,158 $737,563 8/31/2005 $ 992,363 $737,047 9/30/2005 $1,005,264 $744,343 10/31/2005 $ 986,365 $728,563 11/30/2005 $1,013,589 $741,823 12/31/2005 $1,022,204 $747,758 1/31/2006 $1,066,364 $778,565 2/28/2006 $1,067,643 $776,775 3/31/2006 $1,090,384 $787,572 4/30/2006 $1,109,030 $794,266 5/31/2006 $1,077,089 $781,876 6/30/2006 $1,073,427 $781,719 7/31/2006 $1,070,744 $783,517 8/31/2006 $1,084,128 $794,095 9/30/2006 $1,101,366 $803,544 10/31/2006 $1,125,596 $824,276 11/30/2006 $1,141,917 $840,514 12/31/2006 $1,155,848 $843,708 1/31/2007 $1,183,011 $861,932 2/28/2007 $1,189,872 $862,191 3/31/2007 $1,209,505 $864,777 </Table> Annualized Total Returns As of 3/31/07 1 YEAR 5 YEARS 10 YEARS - ------------------------------------------------------------ U.S. Convertible Fund Class II 10.92% 9.52% 10.98% - ------------------------------------------------------------ Merrill Lynch All Convertibles All Qualities Index 9.82% 8.73% 8.78% - ------------------------------------------------------------ <Table> <Caption> MERRILL LYNCH ALL U.S. CONVERTIBLE CONVERTIBLES ALL FUND CLASS IV SHARES QUALITIES INDEX -------------------- ----------------- <S> <C> <C> 4/19/1993 $ 250,000 $250,000 4/30/1993 $ 255,000 $248,560 5/31/1993 $ 265,200 $254,242 6/30/1993 $ 273,686 $255,910 7/31/1993 $ 276,286 $256,862 8/31/1993 $ 292,366 $264,098 9/30/1993 $ 297,658 $266,712 10/31/1993 $ 305,367 $273,263 11/30/1993 $ 298,466 $269,481 12/31/1993 $ 307,599 $273,588 1/31/1994 $ 318,058 $280,728 2/28/1994 $ 314,495 $277,174 3/31/1994 $ 300,437 $265,724 4/30/1994 $ 297,974 $260,511 5/31/1994 $ 295,054 $260,430 6/30/1994 $ 286,733 $257,487 7/31/1994 $ 290,575 $262,057 8/31/1994 $ 296,242 $268,834 9/30/1994 $ 292,805 $265,401 10/31/1994 $ 292,337 $266,335 11/30/1994 $ 283,625 $258,202 12/31/1994 $ 284,249 $257,169 1/31/1995 $ 282,288 $259,015 2/28/1995 $ 285,986 $267,112 3/31/1995 $ 294,394 $274,364 4/30/1995 $ 297,868 $280,087 5/31/1995 $ 303,587 $287,821 6/30/1995 $ 315,214 $297,644 7/31/1995 $ 330,029 $307,710 8/31/1995 $ 335,309 $312,218 9/30/1995 $ 343,089 $316,280 10/31/1995 $ 337,496 $307,681 11/30/1995 $ 344,584 $319,483 12/31/1995 $ 347,547 $320,665 1/31/1996 $ 357,278 $330,551 2/29/1996 $ 367,247 $338,015 3/31/1996 $ 372,976 $341,544 4/30/1996 $ 383,046 $347,893 5/31/1996 $ 394,920 $355,582 6/30/1996 $ 386,153 $350,316 7/31/1996 $ 365,339 $335,392 8/31/1996 $ 387,735 $348,328 9/30/1996 $ 406,075 $357,918 10/31/1996 $ 406,603 $362,234 11/30/1996 $ 417,256 $374,474 12/31/1996 $ 420,594 $371,722 1/31/1997 $ 436,702 $382,554 2/28/1997 $ 430,763 $381,127 3/31/1997 $ 426,585 $372,948 4/30/1997 $ 431,448 $376,338 5/31/1997 $ 453,667 $395,430 6/30/1997 $ 471,723 $407,834 7/31/1997 $ 500,687 $431,117 8/31/1997 $ 494,378 $428,781 9/30/1997 $ 518,554 $448,603 10/31/1997 $ 508,183 $439,963 11/30/1997 $ 509,656 $440,148 12/31/1997 $ 518,626 $444,453 1/31/1998 $ 513,544 $445,822 2/28/1998 $ 537,783 $465,562 3/31/1998 $ 562,198 $482,677 4/30/1998 $ 568,832 $485,708 5/31/1998 $ 555,863 $474,978 6/30/1998 $ 577,597 $478,987 7/31/1998 $ 581,756 $471,381 8/31/1998 $ 497,692 $417,219 9/30/1998 $ 525,712 $425,547 10/31/1998 $ 537,173 $436,539 11/30/1998 $ 571,176 $457,392 12/31/1998 $ 630,407 $484,154 1/31/1999 $ 667,790 $508,038 2/28/1999 $ 634,801 $490,287 3/31/1999 $ 674,349 $510,575 4/30/1999 $ 695,658 $531,299 5/31/1999 $ 684,389 $528,616 6/30/1999 $ 717,103 $548,101 7/31/1999 $ 695,733 $544,599 8/31/1999 $ 701,090 $537,737 9/30/1999 $ 704,245 $541,275 10/31/1999 $ 749,105 $562,493 11/30/1999 $ 817,049 $595,072 12/31/1999 $ 955,212 $675,681 1/31/2000 $ 960,657 $675,519 2/29/2000 $1,122,047 $732,350 3/31/2000 $1,073,463 $731,310 4/30/2000 $1,003,043 $680,879 5/31/2000 $ 938,949 $651,390 6/30/2000 $1,009,558 $684,924 7/31/2000 $ 970,185 $664,602 8/31/2000 $1,070,502 $715,650 9/30/2000 $1,069,753 $692,299 10/31/2000 $1,014,019 $665,216 11/30/2000 $ 865,972 $585,703 12/31/2000 $ 920,269 $608,123 1/31/2001 $ 950,269 $645,949 2/28/2001 $ 856,763 $597,438 3/31/2001 $ 803,986 $571,575 4/30/2001 $ 849,492 $609,933 5/31/2001 $ 834,881 $606,127 6/30/2001 $ 815,344 $596,562 7/31/2001 $ 785,910 $587,978 8/31/2001 $ 763,433 $577,600 9/30/2001 $ 716,253 $543,135 10/31/2001 $ 732,870 $554,302 11/30/2001 $ 757,641 $569,135 12/31/2001 $ 766,051 $581,087 1/31/2002 $ 754,254 $571,906 2/28/2002 $ 742,488 $555,689 3/31/2002 $ 767,658 $575,639 4/30/2002 $ 759,060 $567,230 5/31/2002 $ 750,103 $562,278 6/30/2002 $ 707,422 $531,803 7/31/2002 $ 652,668 $499,948 8/31/2002 $ 661,022 $506,157 9/30/2002 $ 644,100 $488,315 10/31/2002 $ 655,500 $499,205 11/30/2002 $ 676,083 $535,197 12/31/2002 $ 663,373 $531,183 1/31/2003 $ 662,245 $539,735 2/28/2003 $ 655,556 $538,440 3/31/2003 $ 662,636 $547,540 4/30/2003 $ 696,298 $575,161 5/31/2003 $ 733,690 $601,917 6/30/2003 $ 738,972 $605,746 7/31/2003 $ 752,200 $607,469 8/31/2003 $ 765,815 $615,009 9/30/2003 $ 768,112 $622,600 10/31/2003 $ 817,194 $644,944 11/30/2003 $ 835,091 $655,459 12/31/2003 $ 850,707 $675,411 1/31/2004 $ 883,629 $695,901 2/29/2004 $ 884,778 $701,407 3/31/2004 $ 889,025 $704,027 4/30/2004 $ 870,533 $687,053 5/31/2004 $ 875,495 $688,814 6/30/2004 $ 893,093 $700,003 7/31/2004 $ 860,674 $681,136 8/30/2004 $ 849,055 $682,504 9/30/2004 $ 879,111 $694,209 10/31/2004 $ 872,518 $697,293 11/30/2004 $ 922,949 $722,648 12/31/2004 $ 953,037 $740,330 1/31/2005 $ 941,124 $724,129 2/28/2005 $ 953,453 $722,424 3/31/2005 $ 929,998 $705,743 4/30/2005 $ 902,656 $682,453 5/31/2005 $ 928,743 $699,992 6/30/2005 $ 958,184 $714,762 7/31/2005 $ 993,158 $737,563 8/31/2005 $ 992,363 $737,047 9/30/2005 $1,005,264 $744,343 10/31/2005 $ 986,365 $728,563 11/30/2005 $1,013,096 $741,823 12/31/2005 $1,021,403 $747,758 1/31/2006 $1,065,528 $778,565 2/28/2006 $1,066,806 $776,775 3/31/2006 $1,089,316 $787,572 4/30/2006 $1,107,943 $794,266 5/31/2006 $1,076,034 $781,876 6/30/2006 $1,072,053 $781,719 7/31/2006 $1,069,373 $783,517 8/31/2006 $1,082,740 $794,095 9/30/2006 $1,099,631 $803,544 10/31/2006 $1,123,823 $824,276 11/30/2006 $1,140,118 $840,514 12/31/2006 $1,153,344 $843,708 1/31/2007 $1,180,447 $861,932 2/28/2007 $1,187,884 $862,191 3/31/2007 $1,207,603 $864,777 </Table> Annualized Total Returns As of 3/31/07 1 YEAR 5 YEARS 10 YEARS - ------------------------------------------------------------ U.S. Convertible Fund Class IV 10.86% 9.48% 10.97% - ------------------------------------------------------------ Merrill Lynch All Convertibles All Qualities Index 9.82% 8.73% 8.78% - ------------------------------------------------------------ THE GRAPHS ABOVE SHOW THE VALUE OF A HYPOTHETICAL $250,000 INVESTMENT IN THE FUND'S CLASS I, II AND V SHARES COMPARED WITH THE MERRILL LYNCH ALL CONVERTIBLES, ALL QUALITIES INDEX FOR THE PERIODS INDICATED. THE FUND'S CLASS I, II AND IV SHARES CALCULATE THEIR PERFORMANCE BASED UPON THE HISTORICAL PERFORMANCE OF THEIR CORRESPONDING SERIES OF NICHOLAS-APPLEGATE MUTUAL FUNDS (RENAMED ING MUTUAL FUNDS), ADJUSTED TO REFLECT ALL FEES AND EXPENSES APPLICABLE TO THE FUND'S CLASS I, II AND IV SHARES. THE NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS' CLASS I SHARES WERE FIRST AVAILABLE ON MAY 7, 1999, CLASS II SHARES ON SEPTEMBER 30, 2005 AND CLASS IV SHARES ON DECEMBER 30, 2006. THE HISTORICAL PERFORMANCE OF CLASS I, II AND IV SHARES INCLUDES THE PERFORMANCE OF CLASS I SHARES FOR PERIODS PRIOR TO THE INCEPTION OF CLASS II. AVERAGE ANNUAL TOTAL RETURN FIGURES INCLUDE CHANGES IN PRINCIPAL VALUE, REINVESTED DIVIDENDS, AND CAPITAL GAIN DISTRIBUTIONS. THE TOTAL RETURNS SHOWN ABOVE DO NOT SHOW THE EFFECTS OF INCOME TAXES ON AN INDIVIDUAL'S INVESTMENT. IN MOST CASES, TAXES MAY REDUCE YOUR ACTUAL INVESTMENT RETURNS ON INCOME OR GAINS PAID BY THE FUND OR ANY GAINS YOU MAY REALIZE IF YOU SELL YOUR SHARES. PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS. FOR THE PERIOD FROM THE FUND'S INCEPTION TO DECEMBER 31, 2004, PERFORMANCE IS COMPARED TO THE CREDIT SUISSE FIRST BOSTON CONVERTIBLE INDEX. FOR THE PERIOD FROM JANUARY 1, 2005 TO PRESENT, PERFORMANCE IS COMPARED TO THE MERRILL LYNCH ALL CONVERTIBLES, ALL QUALITIES INDEX. THE CHANGE IN BENCHMARKS WAS PROMPTED BY THE RETIREMENT OF THE CREDIT SUISSE FIRST BOSTON CONVERTIBLE INDEX IN DECEMBER 2004. THE UNMANAGED INDEXES DIFFER FROM THE FUND IN COMPOSITION, DO NOT PAY MANAGEMENT FEES OR EXPENSES AND INCLUDE REINVESTED DIVIDENDS. ONE CANNOT INVEST DIRECTLY IN AN INDEX. SINCE MARKETS CAN GO DOWN AS WELL AS UP, INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET CONDITIONS. YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. 24 <Page> SCHEDULE OF INVESTMENTS As of March 31, 2007 PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- CONVERTIBLE CORPORATE BOND - 78.2% ADVERTISING SALES - 1.4% Lamar Advertising Co. 2.875%, 12/31/10 $1,460,000 $2,011,150 ---------- AEROSPACE/DEFENSE - 1.4% Lockheed Martin Corp. 5.110%, 08/15/33 1,495,000 2,079,739 ---------- AIRLINES - 1.9% Continental Airlines, Inc. 5.000%, 06/15/23 620,000 1,237,675 UAL Corp. 144A# 4.500%, 06/30/21 1,105,000 1,468,125 ---------- 2,705,800 ---------- AUTO-CARS/LIGHT TRUCKS - 0.6% Ford Motor Co. 4.250%, 12/15/36 770,000 852,775 ---------- BROADCAST SERVICES/PROGRAMMING - 0.9% Liberty Media LLC 0.750%, 03/30/23 1,145,000 1,346,806 ---------- CELLULAR TELECOMMUNICATIONS - 2.0% Nextel Communications, Inc. 5.250%, 01/15/10 1,290,000 1,286,775 NII Holdings, Inc. 2.750%, 08/15/25 20,000 32,275 NII Holdings, Inc. 144A# 2.750%, 08/15/25 940,000 1,516,925 ---------- 2,835,975 ---------- COMMERCIAL SERVICES - 1.6% Quanta Services, Inc. 3.750%, 04/30/26 930,000 1,219,463 Quanta Services, Inc. 144A# 3.750%, 04/30/26 870,000 1,140,788 ---------- 2,360,251 ---------- COMPUTER SERVICES - 3.4% DST Systems, Inc. 4.125%, 08/15/23 1,395,000 2,272,106 Electronic Data Systems Corp. 3.875%, 07/15/23 2,530,000 2,675,475 ---------- 4,947,581 ---------- COMPUTERS - 1.6% Hewlett-Packard Co.*+ 0.000%, 10/14/17 3,220,000 2,330,475 ---------- COMPUTERS-MEMORY DEVICES - 1.4% EMC Corp. 144A# 1.750%, 12/01/11 1,885,000 2,033,444 ---------- DIAGNOSTIC EQUIPMENT - 1.0% Cytyc Corp. 2.250%, 03/15/24 1,150,000 1,414,500 ---------- DIVERSIFIED MANUFACTURING OPERATIONS - 1.7% Roper Industries, Inc. 1.481%, 01/15/34 3,535,000 2,501,013 ---------- E-COMMERCE/SERVICES - 1.8% Priceline.com, Inc. 2.250%, 01/15/25 1,105,000 1,650,594 Priceline.com, Inc. 144A# 0.750%, 09/30/13 630,000 885,150 ---------- 2,535,744 ---------- ELECTRONIC COMPONENTS-SEMICONDUCTORS - 1.3% Intel Corp. 2.950%, 12/15/35 2,130,000 1,853,100 ---------- ELECTRONIC DESIGN AUTOMATION - 1.5% Cadence Design Systems, Inc. 144A# 1.500%, 12/15/13 1,870,000 2,141,150 ---------- ELECTRONIC MEASURE INSTRUMENTS - 1.4% Itron, Inc. 2.500%, 08/01/26 1,695,000 2,038,238 ---------- ELECTRONIC PARTS DISTRIBUTION - 0.9% Avnet, Inc. 2.000%, 03/15/34 1,035,000 1,240,706 ---------- ELECTRONICS-MILITARY - 1.1% L-3 Communications Corp. 3.000%, 08/01/35 380,000 407,550 L-3 Communications Corp. 144A# 3.000%, 08/01/35 1,065,000 1,142,212 ---------- 1,549,762 ---------- ENERGY-ALTERNATE SOURCES - 1.2% Covanta Holding Corp. 1.000%, 02/01/27 1,815,000 1,792,312 ---------- FINANCE-INVESTMENT BANKERS/BROKERS - 1.3% Merrill Lynch & Co, Inc.*+ 0.000%, 03/13/32 1,540,000 1,875,566 ---------- HOTELS & MOTELS - 1.5% Hilton Hotels Corp. 3.375%, 04/15/23 1,285,000 2,096,156 ---------- INSTRUMENTS-SCIENTIFIC - 2.6% FEI Co. 2.875%, 06/01/13 960,000 1,381,200 Fisher Scientific International, Inc. 3.250%, 03/01/24 1,730,000 2,348,475 ---------- 3,729,675 ---------- INTERNET INFRASTRUCTURE SOFTWARE - 0.9% Akamai Technologies, Inc. 1.000%, 12/15/33 400,000 1,303,500 ---------- INVESTMENT MANAGEMENT/ADVISOR SERVICES - 1.5% BlackRock, Inc. 2.625%, 02/15/35 1,320,000 2,105,400 ---------- LIFE/HEALTH INSURANCE - 1.3% Prudential Financial, Inc. 2.600%, 11/15/35 1,870,000 1,932,327 ---------- MACHINERY-FARM - 1.5% AGCO Corp. 1.250%, 12/15/36 1,920,000 2,119,200 ---------- MEDICAL INSTRUMENTS - 0.7% Kyphon, Inc. 144A# 1.000%, 02/01/12 160,000 159,800 Kyphon, Inc. 144A# 1.250%, 02/01/14 805,000 797,956 ---------- 957,756 ---------- MEDICAL PRODUCTS - 0.9% PSS World Medical, Inc. 2.250%, 03/15/24 1,045,000 1,354,581 ---------- MEDICAL-BIOMEDICAL/GENETICS - 1.0% Celgene Corp. 1.750%, 06/01/08 325,000 1,409,687 ---------- SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 25 <Page> PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- MEDICAL-DRUGS - 2.9% Allergan, Inc. 1.500%, 04/01/26 $ 30,000 $ 31,575 Allergan, Inc. 144A# 1.500%, 04/01/26 1,800,000 1,894,500 Wyeth 4.877%, 01/15/24 2,055,000 2,201,316 ------------ 4,127,391 ------------ MEDICAL-NURSING HOMES - 1.6% Manor Care, Inc. 2.125%, 08/01/35 1,755,000 2,237,625 ------------ MULTI-LINE INSURANCE - 1.3% American Financial Group, Inc. 1.486%, 06/02/33 3,190,000 1,890,075 ------------ MULTIMEDIA - 1.4% The Walt Disney Co.## 2.125%, 04/15/23 1,710,000 2,075,513 ------------ OIL & GAS DRILLING - 2.9% Transocean, Inc. 1.500%, 05/15/21 1,770,000 2,079,750 Diamond Offshore Drilling, Inc. 1.500%, 04/15/31 1,250,000 2,099,169 ------------ 4,178,919 ------------ OIL FIELD MACHINERY & EQUIPMENT - 1.5% Cameron International Corp. 2.500%, 06/15/26 1,875,000 2,167,969 ------------ OIL-FIELD SERVICES - 1.4% Schlumberger, Ltd. 1.500%, 06/01/23 1,025,000 1,971,844 ------------ PRINTING-COMMERCIAL - 1.5% Bowne & Co, Inc. 5.000%, 10/01/33 2,020,000 2,151,300 ------------ REITS-DIVERSIFIED - 1.5% Digital Realty Trust LP 144A# 4.125%, 08/15/26 1,630,000 2,100,679 ------------ RETAIL-DISCOUNT - 1.4% TJX Cos, Inc.+ 0.000%, 02/13/21 2,255,000 2,040,775 ------------ RETAIL-SPORTING GOODS - 1.1% Dick's Sporting Goods, Inc. 1.606%, 02/18/24 1,570,000 1,650,463 ------------ RUBBER-TIRES - 1.5% The Goodyear Tire & Rubber Co. 4.000%, 06/15/34 805,000 2,124,194 ------------ SUPER-REGIONAL BANKS-US - 1.4% Wells Fargo & Co. 5.110%, 05/01/33 1,995,000 2,000,067 ------------ TELECOMMUNICATIONS EQUIPMENT - 3.0% CommScope, Inc. 1.000%, 03/15/24 1,170,000 2,347,312 Harris Corp. 3.500%, 08/15/22 875,000 1,976,406 ------------ 4,323,718 ------------ TELECOMMUNICATIONS SERVICES - 0.9% Time Warner Telecom, Inc. 2.375%, 04/01/26 1,040,000 1,365,000 ------------ TELEPHONE-INTEGRATED - 3.0% CenturyTel, Inc.## 4.750%, 08/01/32 1,985,000 2,311,036 Level 3 Communications, Inc. 2.875%, 07/15/10 1,765,000 1,981,213 ------------ 4,292,249 ------------ THERAPEUTICS - 1.5% Gilead Sciences, Inc. 144A# 0.625%, 05/01/13 1,905,000 2,159,794 ------------ TOYS - 1.4% Hasbro, Inc. 2.750%, 12/01/21 1,534,000 2,051,725 ------------ TRANSPORT-RAIL - 1.5% CSX Corp.+ 0.000%, 10/30/21 1,500,000 2,146,875 ------------ WEB HOSTING/DESIGN - 0.2% Equinix, Inc. 2.500%, 04/15/12 300,000 303,750 WEB PORTALS/ISP - 1.0% Trizetto Group 2.750%, 10/01/25 1,150,000 1,437,500 WIRE & CABLE PRODUCTS - 1.6% General Cable Corp. 0.875%, 11/15/13 1,845,000 2,264,737 WIRELESS EQUIPMENT - 1.4% American Tower Corp. 3.000%, 08/15/12 1,020,000 2,019,600 - -------------------------------------------------------------------------------- Total Convertible Corporate Bond (Cost: $105,241,259) 112,536,131 - -------------------------------------------------------------------------------- NUMBER OF SHARES - -------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCK - 19.3% AGRICULTURAL OPERATIONS - 1.6% Bunge, Ltd. 4.875%, 12/31/49 19,340 2,226,519 ------------ AUTO-CARS/LIGHT TRUCKS - 1.9% Ford Motor Co. Capital Trust II 6.500%, 01/15/32 38,200 1,366,032 General Motors Corp. 6.250%, 07/15/33 58,065 1,318,076 ------------ 2,684,108 ------------ CHEMICALS-DIVERSIFIED - 1.5% Celanese Corp. 4.250%, 12/31/49 51,563 2,121,817 ------------ ELECTRIC-GENERATION - 1.3% AES Trust III 6.750%, 10/15/29 37,993 1,908,768 ------------ ELECTRIC-INTEGRATED - 1.7% Entergy Corp. 7.625%, 02/17/09 37,755 2,453,697 ------------ FINANCE-INVESTMENT BANKERS/BROKERS - 2.8% Citigroup Funding, Inc.+ 0.000%, 09/27/08 65,685 2,141,988 Lazard, Ltd. 6.625%, 05/15/08 43,750 1,912,750 ------------ 4,054,738 ------------ SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 26 <Page> NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- INDEPENDENT POWER PRODUCER - 1.6% NRG Energy, Inc. 5.750%, 03/16/09 7,220 $ 2,344,695 ----------- MEDICAL-DRUGS - 1.4% Schering-Plough Corp. 6.000%, 09/14/07 34,600 2,036,210 ----------- METAL-DIVERSIFIED - 1.6% Freeport-McMoRan Copper & Gold, Inc. 6.750%, 05/01/10 21,950 2,346,674 ----------- MULTI-LINE INSURANCE - 1.6% Metlife, Inc. 6.375%, 08/15/08 70,000 2,240,000 ----------- NON-HAZARDOUS WASTE DISPOSAL - 1.2% Allied Waste Industries, Inc. 6.250%, 03/01/08 5,300 1,776,825 ----------- RETAIL-VIDEO RENTAL - 1.1% Blockbuster, Inc. 7.500%, 12/31/49 1,045 1,562,275 - -------------------------------------------------------------------------------- Total Convertible Preferred Stock (Cost: $25,737,567) 27,756,326 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT - -------------------------------------------------------------------------------- SHORT TERM INVESTMENTS - 3.1% MONEY MARKET FUNDS - 0.9% Boston Global Investment Trust - Enhanced Portfolio, 5.290%** $1,288,998 1,288,998 ------------ TIME DEPOSIT - 2.2% Bank of America London 4.690%, 04/02/07 3,156,210 3,156,210 - ------------------------------------------------------------------------------- Total Short Term Investments (Cost: $4,445,208) 4,445,208 - ------------------------------------------------------------------------------- Total Investments - 100.6% (Cost: $135,424,034) 144,737,665 - ------------------------------------------------------------------------------- Liabilities In Excess Of Other Assets - (0.6%) (828,183) - ------------------------------------------------------------------------------- Net Assets - 100.0% $143,909,487 - -------------------------------------------------------------------------------- * NON-INCOME PRODUCING SECURITIES. ** ALL OF THE SECURITY IS PURCHASED WITH CASH COLLATERAL PROCEEDS FROM SECURITIES LOANS. # 144A SECURITY. CERTAIN CONDITION FOR PUBLIC SALE MAY EXIST. THE TOTAL MARKET VALUE OF 144A SECURITIES OWNED AT MARCH 31, 2007 WAS $17,440,523 OR 12.12% OF NET ASSETS. ## ALL OR A PORTION OF THE FUND'S HOLDINGS IN THIS SECURITY WAS ON LOAN AS OF 03/31/07. + ZERO COUPON BOND. SCHEDULE OF INVESTMENTS BY SECTOR as of March 31, 2007 PERCENT OF SECTOR NET ASSETS - -------------------------------------------------------------------------------- Communications 18.0% Consumer, Non-cyclical 15.6 Industrial 14.9 Financial 12.6 Consumer, Cyclical 12.3 Technology 9.3 Energy 7.0 Utilities 4.7 Basic Materials 3.1 Short Term Investments 3.1 - -------------------------------------------------------------------------------- Total Investments 100.6 Liabilities in excess of other assets (0.6) - -------------------------------------------------------------------------------- Net Assets 100.0% ================================================================================ SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 27 <Page> GLOBAL SELECT FUND MANAGEMENT TEAM: NICHOLAS MELHUISH, Portfolio Manager; CHRISTOPHER A. HERRERA, Portfolio Manager; PEDRO V. MARCAL, Portfolio Manager; TODD R. BUECHS, Analyst; FLORA KIM, Analyst; GREGORY ISE, Analyst; ALAN TRICE, Analyst CHIEF INVESTMENT OFFICER: HORACIO A. VALEIRAS, CFA GOAL: The Global Select Fund seeks to maximize long-term capital appreciation by investing in companies that, in the opinion of the Investment Adviser, represent the "best of the best" globally. MARKET OVERVIEW: From April 1, 2006 to March 31, 2007, equity markets around the world posted solid gains. The environment was characterized by: - Healthy pace of global economic expansion, led by strength in developing Asian countries - Boom in mergers and acquisitions, driven by low borrowing costs and abundant liquidity - Concerns about inflation and tighter monetary policy from central banks worldwide Several months of back-to-back gains were flanked by periods of downside volatility. Global stock markets sold off in May due to worries about U.S. inflation that were fueled by hawkish comments from the Federal Reserve and a jump in core consumer prices. Volatility returned in February amid a steep drop in Chinese equities, weakness in the U.S. subprime mortgage market and an unwinding of the yen carry trade --the practice of taking out yen-denominated loans and relending the proceeds in markets with higher interest rates. Despite intermittent volatility, emerging market equities posted substantial increases, with the MSCI Emerging Markets Index climbing more than 20% in both local currencies and U.S. dollars. The MSCI EAFE Index, a barometer of non-U.S. developed stock markets, advanced 20.69% in dollar terms, with much of the gain coming from a strengthening in non-U.S. currencies. Globally, value stocks outpaced growth stocks by a wide margin. PERFORMANCE: The Fund's Class I shares gained 10.64% and the MSCI All Country World Index advanced 16.42% during the twelve months ended March 31, 2007. PORTFOLIO SPECIFICS: Value stock leadership hurt the Fund's relative performance since holdings are concentrated in growth stocks, while the style-neutral benchmark includes both growth and value names. Other notable areas of relative weakness were stock selection in Japan and the financials and consumer discretionary sectors. On the positive side, stock selection in Ireland and the consumer staples and telecommunication services sectors added value relative to the index. Top-performing holdings included Ireland-based C&C Group, a food and beverage company, and Hong Kong-based Hutchison Telecommunications International, a provider of telecom services that derives most its revenue from mobile services in India. C&C Group reported robust sales, driven by the successful rollout of its Magners branded cider in the U.K. market. Hutchison benefited from better-than-expected subscriber growth and signs of a pickup in merger and acquisition activity among emerging telecom companies. At March 31, the Fund was overweight stocks in developed European and emerging Asian countries. As the result of our company-specific fundamental research, we have identified many exciting growth opportunities in these markets. MARKET OUTLOOK: We are optimistic in our outlook for global equities throughout the remainder of 2007. While the U.S. economy is slowing as it digests successive interest rate hikes and a downturn in the housing market, economies throughout the rest of the world should remain strong. Steady economic expansion in Europe, moderate growth in Japan and strength in emerging countries are likely to offset any slowdown in the United States. As always, we remain focused on finding those companies for the Fund that appear well positioned to capitalize on the changing environment. COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN GLOBAL SELECT FUND CLASS I AND II SHARES WITH THE MSCI ALL COUNTRY WORLD INDEX. [CHART] <Table> <Caption> GLOBAL SELECT FUND MSCI ALL COUNTRY CLASS I SHARES WORLD INDEX ------------------ ---------------- <S> <C> <C> 9/30/1997 $ 250,000 $250,000 10/31/1997 $ 235,000 $235,125 11/30/1997 $ 236,200 $238,722 12/31/1997 $ 247,000 $241,850 1/31/1998 $ 255,800 $247,170 2/28/1998 $ 275,000 $264,077 3/31/1998 $ 296,200 $275,353 4/30/1998 $ 310,400 $277,941 5/31/1998 $ 311,200 $272,660 6/30/1998 $ 325,800 $277,568 7/31/1998 $ 334,000 $277,651 8/31/1998 $ 277,000 $238,753 9/30/1998 $ 286,800 $243,504 10/31/1998 $ 298,200 $265,736 11/30/1998 $ 319,687 $281,866 12/31/1998 $ 361,061 $294,944 1/31/1999 $ 397,187 $300,961 2/28/1999 $ 377,610 $293,407 3/31/1999 $ 413,333 $306,610 4/30/1999 $ 428,469 $319,856 5/31/1999 $ 414,745 $308,565 6/30/1999 $ 463,385 $323,932 7/31/1999 $ 473,678 $322,603 8/31/1999 $ 491,842 $322,216 9/30/1999 $ 507,786 $318,736 10/31/1999 $ 557,636 $334,864 11/30/1999 $ 652,092 $345,279 12/31/1999 $ 828,075 $374,040 1/31/2000 $ 772,143 $353,880 2/29/2000 $ 903,653 $355,083 3/31/2000 $ 870,639 $378,412 4/30/2000 $ 805,975 $361,421 5/31/2000 $ 766,140 $352,024 6/30/2000 $ 816,070 $363,958 7/31/2000 $ 792,060 $353,257 8/31/2000 $ 854,814 $364,244 9/30/2000 $ 789,332 $344,247 10/31/2000 $ 724,941 $337,499 11/30/2000 $ 659,497 $316,575 12/31/2000 $ 702,601 $321,861 1/31/2001 $ 693,118 $330,004 2/28/2001 $ 596,133 $302,251 3/31/2001 $ 554,322 $281,910 4/30/2001 $ 615,099 $302,433 5/31/2001 $ 601,737 $299,076 6/30/2001 $ 594,840 $289,924 7/31/2001 $ 578,030 $285,343 8/31/2001 $ 533,201 $272,217 9/30/2001 $ 472,855 $247,364 10/31/2001 $ 489,235 $252,608 11/30/2001 $ 536,218 $268,143 12/31/2001 $ 559,495 $270,664 1/31/2002 $ 553,891 $263,248 2/28/2002 $ 552,598 $261,326 3/31/2002 $ 589,237 $273,138 4/30/2002 $ 573,288 $264,479 5/31/2002 $ 562,081 $264,850 6/30/2002 $ 515,097 $248,694 7/31/2002 $ 465,958 $227,828 8/31/2002 $ 470,269 $228,421 9/30/2002 $ 437,078 $203,363 10/31/2002 $ 467,682 $218,331 11/30/2002 $ 495,269 $230,273 12/31/2002 $ 454,320 $219,289 1/31/2003 $ 448,285 $212,886 2/28/2003 $ 440,096 $209,160 3/31/2003 $ 442,251 $208,366 4/30/2003 $ 475,872 $226,973 5/31/2003 $ 510,787 $240,183 6/30/2003 $ 522,425 $244,794 7/31/2003 $ 538,805 $250,228 8/31/2003 $ 571,564 $256,159 9/30/2003 $ 561,650 $257,798 10/31/2003 $ 599,151 $273,447 11/30/2003 $ 603,461 $277,630 12/31/2003 $ 632,341 $295,232 1/31/2004 $ 653,031 $300,281 2/29/2004 $ 663,807 $305,836 3/31/2004 $ 671,566 $304,215 4/30/2004 $ 644,841 $297,218 5/31/2004 $ 646,134 $299,715 6/30/2004 $ 659,928 $305,769 7/31/2004 $ 629,324 $296,076 8/30/2004 $ 626,738 $298,000 9/30/2004 $ 650,876 $304,288 10/31/2004 $ 666,367 $311,804 11/30/2004 $ 720,542 $328,922 12/31/2004 $ 737,403 $341,750 1/31/2005 $ 721,918 $334,573 2/28/2005 $ 752,455 $346,317 3/31/2005 $ 733,794 $338,837 4/30/2005 $ 710,973 $331,552 5/31/2005 $ 737,848 $337,984 6/30/2005 $ 752,014 $341,566 7/31/2005 $ 788,938 $354,273 8/31/2005 $ 788,938 $357,142 9/30/2005 $ 815,841 $367,999 10/31/2005 $ 783,044 $358,174 11/30/2005 $ 815,227 $371,390 12/31/2005 $ 847,836 $380,601 1/31/2006 $ 898,961 $399,402 2/28/2006 $ 890,691 $398,963 3/31/2006 $ 923,290 $407,541 4/30/2006 $ 949,604 $421,316 5/31/2006 $ 896,046 $405,053 6/30/2006 $ 888,250 $405,053 7/31/2006 $ 894,113 $407,929 8/31/2006 $ 915,035 $418,698 9/30/2006 $ 927,205 $423,681 10/31/2006 $ 950,107 $439,653 11/30/2006 $ 983,171 $452,315 12/31/2006 $ 997,427 $462,538 1/31/2007 $1,001,317 $467,256 2/28/2007 $ 995,809 $464,966 3/31/2007 $1,020,505 $474,498 </Table> Annualized Total Returns As of 3/31/07 SINCE 1 YEAR 5 YEARS INCEPTION - ----------------------------------------------------------- Global Select Fund Class I 10.64% 11.62% 15.96% - ----------------------------------------------------------- MSCI All Country World Index 16.42% 11.68% 6.98% - ----------------------------------------------------------- 28 <Page> [CHART] <Table> <Caption> GLOBAL SELECT FUND MSCI ALL COUNTRY CLASS I SHARES WORLD INDEX ------------------ ---------------- <S> <C> <C> 9/30/1997 $ 250,000 $250,000 10/31/1997 $ 235,000 $235,125 11/30/1997 $ 236,200 $238,722 12/31/1997 $ 247,000 $241,850 1/31/1998 $ 255,800 $247,170 2/28/1998 $ 275,000 $264,077 3/31/1998 $ 296,200 $275,353 4/30/1998 $ 310,400 $277,941 5/31/1998 $ 311,200 $272,660 6/30/1998 $ 325,800 $277,568 7/31/1998 $ 334,000 $277,651 8/31/1998 $ 277,000 $238,753 9/30/1998 $ 286,800 $243,504 10/31/1998 $ 298,200 $265,736 11/30/1998 $ 319,687 $281,866 12/31/1998 $ 361,061 $294,944 1/31/1999 $ 397,187 $300,961 2/28/1999 $ 377,610 $293,407 3/31/1999 $ 413,333 $306,610 4/30/1999 $ 428,469 $319,856 5/31/1999 $ 414,745 $308,565 6/30/1999 $ 463,385 $323,932 7/31/1999 $ 473,678 $322,603 8/31/1999 $ 491,842 $322,216 9/30/1999 $ 507,786 $318,736 10/31/1999 $ 557,636 $334,864 11/30/1999 $ 652,092 $345,279 12/31/1999 $ 828,075 $374,040 1/31/2000 $ 772,143 $353,880 2/29/2000 $ 903,653 $355,083 3/31/2000 $ 870,639 $378,412 4/30/2000 $ 805,975 $361,421 5/31/2000 $ 766,140 $352,024 6/30/2000 $ 816,070 $363,958 7/31/2000 $ 792,060 $353,257 8/31/2000 $ 854,814 $364,244 9/30/2000 $ 789,332 $344,247 10/31/2000 $ 724,941 $337,499 11/30/2000 $ 659,497 $316,575 12/31/2000 $ 702,601 $321,861 1/31/2001 $ 693,118 $330,004 2/28/2001 $ 596,133 $302,251 3/31/2001 $ 554,322 $281,910 4/30/2001 $ 615,099 $302,433 5/31/2001 $ 601,737 $299,076 6/30/2001 $ 594,840 $289,924 7/31/2001 $ 578,030 $285,343 8/31/2001 $ 533,201 $272,217 9/30/2001 $ 472,855 $247,364 10/31/2001 $ 489,235 $252,608 11/30/2001 $ 536,218 $268,143 12/31/2001 $ 559,495 $270,664 1/31/2002 $ 553,891 $263,248 2/28/2002 $ 552,598 $261,326 3/31/2002 $ 589,237 $273,138 4/30/2002 $ 573,288 $264,479 5/31/2002 $ 562,081 $264,850 6/30/2002 $ 515,097 $248,694 7/31/2002 $ 465,958 $227,828 8/31/2002 $ 470,269 $228,421 9/30/2002 $ 437,078 $203,363 10/31/2002 $ 467,682 $218,331 11/30/2002 $ 495,269 $230,273 12/31/2002 $ 454,320 $219,289 1/31/2003 $ 448,285 $212,886 2/28/2003 $ 440,096 $209,160 3/31/2003 $ 442,251 $208,366 4/30/2003 $ 475,872 $226,973 5/31/2003 $ 510,787 $240,183 6/30/2003 $ 522,425 $244,794 7/31/2003 $ 538,829 $250,228 8/31/2003 $ 571,159 $256,159 9/30/2003 $ 561,678 $257,798 10/31/2003 $ 599,198 $273,447 11/30/2003 $ 603,092 $277,630 12/31/2003 $ 632,403 $295,232 1/31/2004 $ 652,640 $300,281 2/29/2004 $ 663,408 $305,836 3/31/2004 $ 671,170 $304,215 4/30/2004 $ 644,457 $297,218 5/31/2004 $ 646,198 $299,715 6/30/2004 $ 659,962 $305,769 7/31/2004 $ 629,339 $296,076 8/30/2004 $ 628,458 $298,000 9/30/2004 $ 651,334 $304,288 10/31/2004 $ 666,445 $311,804 11/30/2004 $ 720,627 $328,922 12/31/2004 $ 737,490 $341,750 1/31/2005 $ 722,002 $334,573 2/28/2005 $ 752,543 $346,317 3/31/2005 $ 733,880 $338,837 4/30/2005 $ 711,497 $331,552 5/31/2005 $ 738,391 $337,984 6/30/2005 $ 752,495 $341,566 7/31/2005 $ 789,442 $354,273 8/31/2005 $ 789,442 $357,142 9/30/2005 $ 816,362 $367,999 10/31/2005 $ 783,952 $358,174 11/30/2005 $ 816,173 $371,390 12/31/2005 $ 848,330 $380,601 1/31/2006 $ 899,484 $399,402 2/28/2006 $ 891,209 $398,963 3/31/2006 $ 923,827 $407,541 4/30/2006 $ 950,618 $421,316 5/31/2006 $ 897,004 $405,053 6/30/2006 $ 889,200 $405,053 7/31/2006 $ 895,068 $407,929 8/31/2006 $ 916,013 $418,698 9/30/2006 $ 928,196 $423,681 10/31/2006 $ 951,122 $439,653 11/30/2006 $ 984,507 $452,315 12/31/2006 $ 998,782 $462,538 1/31/2007 $1,002,677 $467,256 2/28/2007 $ 997,163 $464,966 3/31/2007 $1,021,892 $474,498 </Table> Annualized Total Returns As of 3/31/07 SINCE 1 YEAR 5 YEARS INCEPTION - ----------------------------------------------------------- Global Select Fund Class II 10.67% 11.65% 15.98% - ----------------------------------------------------------- MSCI All Country World Index 16.42% 11.68% 6.98% - ----------------------------------------------------------- THE GRAPHS ABOVE SHOW THE VALUE OF A HYPOTHETICAL $250,000 INVESTMENT IN THE FUND'S CLASS I AND II SHARES COMPARED WITH THE MORGAN STANLEY CAPITAL INTERNATIONAL ALL COUNTRY WORLD INDEX ("MSCI ACWI") OVER THE PERIODS INDICATED. THE FUND'S CLASS I AND II SHARES CALCULATE THEIR PERFORMANCE BASED UPON THE HISTORICAL PERFORMANCE OF THEIR CORRESPONDING SERIES OF NICHOLAS-APPLEGATE MUTUAL FUNDS (RENAMED ING MUTUAL FUNDS), ADJUSTED TO REFLECT ALL FEES AND EXPENSES APPLICABLE TO THE FUND'S CLASS I AND II SHARES. THE NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS' CLASS I SHARES WERE FIRST AVAILABLE ON MAY 7, 1999 AND CLASS II SHARES ON JUNE 30, 2003. THE HISTORICAL PERFORMANCE OF CLASS II SHARES INCLUDES THE PERFORMANCE OF CLASS I SHARES FOR PERIODS PRIOR TO THE INCEPTION OF CLASS II. AVERAGE ANNUAL TOTAL RETURN FIGURES INCLUDE CHANGES IN PRINCIPAL VALUE, REINVESTED DIVIDENDS, AND CAPITAL GAIN DISTRIBUTIONS. THE TOTAL RETURNS SHOWN ABOVE DO NOT SHOW THE EFFECTS OF INCOME TAXES ON AN INDIVIDUAL'S INVESTMENT. IN MOST CASES, TAXES MAY REDUCE YOUR ACTUAL INVESTMENT RETURNS ON INCOME OR GAINS PAID BY THE FUND OR ANY GAINS YOU MAY REALIZE IF YOU SELL YOUR SHARES. PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS. THE MSCI ACWI IS A MARKET CAPITALIZATION WEIGHTED INDEX COMPOSED OF OVER 2000 COMPANIES. THE MSCI ACWI IS REPRESENTATIVE OF THE MARKET STRUCTURE OF 21 COUNTRIES IN NORTH AMERICA, EUROPE, AND THE PACIFIC RIM, EXCLUDING CLOSED MARKETS AND THOSE SHARES IN OTHERWISE FREE MARKETS THAT ARE NOT PURCHASABLE BY FOREIGNERS. THE UNMANAGED INDEX DIFFERS FROM THE FUND IN COMPOSITION, DOES NOT PAY MANAGEMENT FEES OR EXPENSES AND INCLUDES REINVESTED DIVIDENDS. ONE CANNOT INVEST DIRECTLY IN AN INDEX. SINCE MARKETS CAN GO DOWN AS WELL AS UP, INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET CONDITIONS, CURRENCY VOLATILITY AND THE SOCIAL, ECONOMIC AND POLITICAL CLIMATES OF COUNTRIES WHERE THE FUND INVESTS. YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. 29 <Page> SCHEDULE OF INVESTMENTS As of March 31, 2007 NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK - 96.4% CANADA - 0.5% Tim Hortons, Inc. 30,500 $ 927,810 ------------ FRANCE - 6.8% Alcatel SA - ADR## 124,600 1,472,772 Alten* 49,582 1,861,230 AXA SA 72,806 3,076,104 Total SA 40,820 2,850,004 Veolia Environnement 31,276 2,317,295 ------------ 11,577,405 ------------ GERMANY - 4.8% Commerzbank AG 40,004 1,763,684 Continental AG 16,564 2,133,478 Henkel KGaA 16,086 2,148,996 Siemens AG 19,899 2,119,614 ------------ 8,165,772 ------------ GREECE - 1.1% OPAP SA 46,780 1,788,429 ------------ HONG KONG - 4.6% Hang Lung Properties, Ltd. 534,000 1,493,157 Hutchison Whampoa, Ltd. 174,000 1,672,253 Jardine Matheson Holdings, Ltd. 96,000 2,025,600 Kowloon Development Co., Ltd.## 709,000 1,360,975 Melco International Development 735,000 1,322,469 ------------ 7,874,454 ------------ INDONESIA - 1.0% Indosat Tbk PT 2,518,000 1,724,658 ------------ IRELAND - 1.6% CRH PLC 16,105 685,378 Icon PLC - ADR* 46,000 1,959,600 ------------ 2,644,978 ------------ ITALY - 1.7% UniCredito Italiano SpA 307,054 2,912,236 ------------ JAPAN - 11.3% Aichi Corp.## 158,500 1,483,316 Asics Corp. 140,000 1,563,921 Chugai Pharmaceutical Co., Ltd.## 95,400 2,407,724 Geo Corp. 592 1,198,289 Joint Corp. 42,700 1,620,123 Mitsubishi UFJ Financial Group, Inc. 152 1,712,132 NGK Spark Plug Co., Ltd. 60,000 1,120,474 Nisshinbo Industries, Inc. 104,000 1,300,936 Nitori Co., Ltd.## 34,050 1,689,884 Rakuten, Inc. 2,540 1,206,809 Sony Corp. - ADR## 35,500 1,792,395 Sumco Corp. 47,700 1,979,505 ------------ 19,075,508 ------------ MALAYSIA - 1.0% Maxis Communications Berhad 493,700 1,699,213 ------------ NETHERLANDS - 4.0% Koninklijke Ahold NV* 233,996 2,725,483 Koninklijke Philips Electronics NV## 52,593 2,001,562 Royal Numico NV## 40,670 2,090,263 ------------ 6,817,308 ------------ REPUBLIC OF CHINA - 1.7% AAC Acoustic Technology Holdings, Inc.* 1,316,000 1,247,920 China Mobile, Ltd. 174,000 1,583,185 ------------ 2,831,105 ------------ SOUTH KOREA - 2.8% Kookmin Bank 15,428 1,384,354 Osstem Implant Co., Ltd.* 21,369 1,022,331 Samsung Electronics Co., Ltd. 3,827 2,290,667 ------------ 4,697,352 ------------ SPAIN - 1.2% Tecnicas Reunidas SA## 40,085 1,987,628 ------------ SWEDEN - 1.3% Telefonaktiebolaget LM Ericsson Cl. B 606,000 2,219,780 ------------ SWITZERLAND - 7.9% Adecco SA 21,209 1,340,330 Nestle SA 7,433 2,881,444 Panalpina Welttransport Holding AG 7,211 1,200,849 Roche Holding AG 17,967 3,164,241 Sika AG 972 1,644,151 UBS AG 52,600 3,110,845 ------------ 13,341,860 ------------ TAIWAN - 0.9% United Microelectronics Corp. - ADR 497,200 1,581,096 ------------ UNITED KINGDOM - 6.6% ARM Holdings PLC 986,548 2,592,854 IG Group Holdings PLC 342,921 1,999,268 International Power PLC 293,327 2,281,132 Reed International PLC 169,440 2,018,912 Standard Chartered PLC 77,756 2,232,699 ------------ 11,124,865 ------------ UNITED STATES - 35.6% 3M Co. 28,400 2,170,612 Abercrombie & Fitch Co. Cl. A 25,800 1,952,544 Affiliated Managers Group, Inc.*,## 17,100 1,852,785 Ansys, Inc.*,## 44,400 2,254,188 Apollo Investment Corp.## 77,300 1,654,220 Apple Computer, Inc. 21,800 2,025,438 Assurant, Inc.## 29,500 1,582,085 Capital One Financial Corp. 24,600 1,856,316 Cerner Corp.*,## 24,400 1,328,580 Corning, Inc.* 129,300 2,940,282 DaVita, Inc.* 23,900 1,274,348 Federated Department Stores, Inc. 46,600 2,099,330 Genzyme Corp.* 29,600 1,776,592 Hess Corp. 44,600 2,473,962 ITT Corp. 33,900 2,044,848 Martin Marietta Materials, Inc.## 13,600 1,838,720 Morgan Stanley 26,700 2,102,892 Occidental Petroleum Corp. 46,300 2,283,053 Oracle Corp.* 137,900 2,500,127 Orient-Express Hotels, Ltd. Cl. A 19,700 1,178,454 Praxair, Inc. 29,300 1,844,728 Qualcomm, Inc. 39,200 1,672,272 The Warnaco Group, Inc.*,## 76,900 2,183,960 Thermo Fisher Scientific, Inc.* 36,100 1,687,675 UnitedHealth Group, Inc. 39,000 2,065,830 Valero Energy Corp. 38,400 2,476,416 Volcom, Inc.*,## 43,100 1,480,916 Waters Corp.*,## 31,900 1,850,200 Wyeth 54,200 2,711,626 XTO Energy, Inc. 57,600 3,157,056 ------------ 60,320,055 - -------------------------------------------------------------------------------- Total Common Stock (Cost: $142,422,055) 163,311,512 - -------------------------------------------------------------------------------- SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 30 <Page> NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- EQUITY-LINKED SECURITIES - 1.3% TAIWAN - 1.3% Credit Suisse FB Hon Hai Precision Industry Co., Ltd. - 11/05/07 (Cost: $1,808,757) 313,304 $2,102,270 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT - -------------------------------------------------------------------------------- SHORT TERM INVESTMENTS - 14.0% MONEY MARKET FUNDS - 12.4% Boston Global Investment Trust - Enhanced Portfolio, 5.290%** $21,122,450 21,122,450 ------------ TIME DEPOSITS - 1.6% Citibank Nassau 4.690%, 04/02/07 2,663,854 2,663,854 - ------------------------------------------------------------------------------- Total Short Term Investments (Cost: $23,786,304) 23,786,304 - ------------------------------------------------------------------------------- Total Investments - 111.7% (Cost: $168,017,116) 189,200,086 - ------------------------------------------------------------------------------- Liabilities in Excess of Other Assets - (11.7%) (19,779,196) - ------------------------------------------------------------------------------- Net Assets - 100.0% $169,420,890 - ------------------------------------------------------------------------------- * NON-INCOME PRODUCING SECURITIES. ** ALL OF THE SECURITY IS PURCHASED WITH CASH COLLATERAL PROCEEDS FROM SECURITIES LOANS. ## ALL OR A PORTION OF THE FUND'S HOLDINGS IN THIS SECURITY WAS ON LOAN AS OF 03/31/07. ADR - AMERICAN DEPOSITORY RECEIPT SCHEDULE OF INVESTMENTS BY SECTOR as of March 31, 2007 PERCENT OF SECTOR NET ASSETS - -------------------------------------------------------------------------------- Financial 17.5% Consumer, Non-cyclical 16.3 Consumer, Cyclical 14.4 Industrial 13.0 Technology 12.1 Communications 9.8 Energy 7.8 Diversified 3.0 Utilities 2.7 Basic Materials 1.1 Short Term Investments 14.0 - -------------------------------------------------------------------------------- Total Investments 111.7 Liabilities in excess of other assets (11.7) - -------------------------------------------------------------------------------- Net Assets 100.0% ================================================================================ SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 31 <Page> INTERNATIONAL GROWTH FUND MANAGEMENT TEAM: HORACIO A. VALEIRAS, CFA, Portfolio Manager and Chief Investment Officer; VINCENT WILLYARD, CFA, Portfolio Manager; PEDRO V. MARCAL, Portfolio Manager GOAL: The International Growth Fund seeks to maximize long-term capital appreciation through investments primarily in companies located outside the United States with market capitalizations predominantly in the top 75% of publicly traded companies as measured by stock market capitalizations within each country. MARKET OVERVIEW: Equity prices in developed markets outside the United States climbed higher during the twelve months ended March 31, 2007. A drop in the U.S. dollar relative to a broad basket of currencies significantly enhanced returns for U.S.-based investors. European stock markets turned in some of the best results, supported by the biggest wave of mergers and acquisitions the region had ever seen. In 2006, the total value of deals was estimated at $1.6 trillion, reflecting corporate cash surpluses, robust inflows into private equity funds and favorable borrowing conditions. A positive economic backdrop contributed to equity market gains, with the U.K. and Eurozone economies expanding 2.7% last year. To curb inflation, both the Bank of England and European Central Bank tightened monetary policy. Australia was another top-performing market, with stock prices reaching record levels during the first quarter of 2007. Surging commodity exports helped drive Australia's unemployment rate to a 31-year low and consumer confidence to a 17-month high. The Japanese stock market advanced, although gains were subdued. The core Consumer Price Index, which excludes prices of food but not energy, drifted between zero and 0.1%, suggesting that the country's long battle with deflation was unresolved. Nevertheless, the Bank of Japan raised interest rates to 0.5% in two, quarter-point increments. PERFORMANCE: From April 1, 2006 through March 31, 2007, the Fund's Class I shares gained 13.80% and the MSCI EAFE Index rose 20.69%. PORTFOLIO SPECIFICS: The Fund's increase was broad based, with stocks in most countries and sectors of investment posting gains. Compared to the index, holdings in the United Kingdom, Germany and the consumer discretionary and financials sectors subtracted the most from relative performance, largely due to stock selection. An underweight in the British pound that resulted from our bottom-up investment decisions contributed to relative weakness in the United Kingdom. The pound rose 13.3% versus the U.S. dollar this period as rising U.K. inflation prompted three interest rate increases from the Bank of England. On the plus side, stock selection in Ireland, Switzerland and the telecommunication services and health care sectors boosted results versus the index. Two of the best-performing names in the portfolio were Ireland-based C&C Group, a food and beverage distributor, and Australia-based CSL Limited, a biotechnology company. C&C Group experienced robust sales of its international cider brand Magners after broadening the product's distribution in the United Kingdom. CSL Limited reported better-than-expected operating performance, driven by margin expansion within its international plasma division. MARKET OUTLOOK: While there are areas of concern, such as persistently weak consumer price data in Japan, we think the prospects for international equities are favorable. The tightest European job market on record has regional optimism on the rise. In Germany, measures of consumer, business and investor confidence advanced in March. Furthermore, China's thirst for raw materials is expected to fuel a fourth consecutive year of record overseas sales for Australia's exporters. Nicholas-Applegate believes that the Fund is well positioned to capitalize on changes in the market environment as they unfold. COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN INTERNATIONAL GROWTH FUND CLASS I AND II SHARES WITH THE MSCI EAFE INDEX. [CHART] <Table> <Caption> INTERNATIONAL GROWTH FUND CLASS I SHARES MSCI EAFE INDEX -------------------- --------------- <S> <C> <C> 12/27/1996 $250,000 $250,000 12/31/1996 $252,475 $252,250 1/31/1997 $274,682 $243,422 2/28/1997 $277,282 $247,403 3/31/1997 $282,684 $248,299 4/30/1997 $286,685 $249,617 5/31/1997 $313,293 $265,860 6/30/1997 $331,298 $280,522 7/31/1997 $352,505 $285,060 8/31/1997 $334,099 $263,770 9/30/1997 $358,707 $278,546 10/31/1997 $328,898 $257,136 11/30/1997 $325,228 $254,515 12/31/1997 $329,820 $256,735 1/31/1998 $341,928 $268,476 2/28/1998 $365,307 $285,703 3/31/1998 $387,017 $294,500 4/30/1998 $398,289 $296,831 5/31/1998 $408,101 $295,391 6/30/1998 $412,902 $297,627 7/31/1998 $431,271 $300,644 8/31/1998 $369,482 $263,398 9/30/1998 $351,948 $255,322 10/31/1998 $358,419 $281,937 11/30/1998 $379,975 $296,381 12/31/1998 $400,853 $308,074 1/31/1999 $416,302 $307,164 2/28/1999 $399,183 $299,843 3/31/1999 $411,918 $312,359 4/30/1999 $426,950 $325,016 5/31/1999 $410,457 $308,278 6/30/1999 $442,817 $320,297 7/31/1999 $457,431 $329,817 8/31/1999 $464,530 $331,022 9/30/1999 $471,628 $334,354 10/31/1999 $502,527 $346,877 11/30/1999 $567,666 $358,929 12/31/1999 $677,711 $391,144 1/31/2000 $629,452 $366,291 2/29/2000 $705,914 $376,151 3/31/2000 $666,012 $390,732 4/30/2000 $611,068 $370,171 5/31/2000 $578,686 $361,130 6/30/2000 $609,814 $375,253 7/31/2000 $582,865 $359,521 8/31/2000 $606,263 $362,641 9/30/2000 $566,987 $344,984 10/31/2000 $531,055 $336,835 11/30/2000 $505,070 $324,203 12/31/2000 $521,270 $335,726 1/31/2001 $505,514 $335,553 2/28/2001 $463,129 $310,398 3/31/2001 $426,292 $289,706 4/30/2001 $455,806 $309,838 5/31/2001 $441,160 $298,903 6/30/2001 $423,407 $286,679 7/31/2001 $413,199 $281,463 8/31/2001 $396,112 $274,342 9/30/2001 $364,378 $246,551 10/31/2001 $363,935 $252,863 11/30/2001 $371,258 $262,194 12/31/2001 $375,474 $263,741 1/31/2002 $358,831 $249,736 2/28/2002 $361,272 $251,484 3/31/2002 $381,022 $265,089 4/30/2002 $379,246 $266,839 5/31/2002 $378,803 $270,228 6/30/2002 $365,932 $259,473 7/31/2002 $331,314 $233,863 8/31/2002 $328,207 $233,325 9/30/2002 $296,474 $208,266 10/31/2002 $306,903 $219,450 11/30/2002 $315,336 $229,413 12/31/2002 $303,353 $221,705 1/31/2003 $292,701 $212,459 2/28/2003 $288,485 $207,594 3/31/2003 $284,712 $203,671 4/30/2003 $309,788 $223,875 5/31/2003 $329,316 $237,643 6/30/2003 $335,086 $243,513 7/31/2003 $339,302 $249,455 8/31/2003 $352,839 $255,516 9/30/2003 $352,617 $263,437 10/31/2003 $377,915 $279,876 11/30/2003 $380,884 $286,145 12/31/2003 $405,580 $308,522 1/31/2004 $415,146 $312,903 2/29/2004 $420,263 $320,193 3/31/2004 $424,268 $322,114 4/30/2004 $408,694 $315,092 5/31/2004 $408,472 $316,447 6/30/2004 $414,034 $323,504 7/31/2004 $392,231 $313,055 8/30/2004 $393,343 $314,495 9/30/2004 $404,467 $322,766 10/31/2004 $418,947 $333,805 11/30/2004 $449,153 $356,704 12/31/2004 $466,401 $372,363 1/31/2005 $462,763 $365,549 2/28/2005 $485,716 $381,413 3/31/2005 $465,024 $371,992 4/30/2005 $454,561 $363,660 5/31/2005 $460,243 $364,205 6/30/2005 $468,666 $369,195 7/31/2005 $489,568 $380,529 8/31/2005 $494,121 $390,271 9/30/2005 $526,832 $407,716 10/31/2005 $507,286 $395,851 11/30/2005 $531,332 $405,629 12/31/2005 $575,432 $424,531 1/31/2006 $619,511 $450,640 2/28/2006 $600,615 $449,739 3/31/2006 $621,697 $464,760 4/30/2006 $647,746 $487,301 5/31/2006 $613,221 $468,978 6/30/2006 $606,905 $469,166 7/31/2006 $606,602 $473,857 8/31/2006 $624,375 $487,031 9/30/2006 $624,125 $487,859 10/31/2006 $645,470 $506,885 11/30/2006 $668,836 $522,193 12/31/2006 $696,393 $538,642 1/31/2007 $686,922 $542,305 2/28/2007 $687,540 $546,752 3/31/2007 $707,135 $560,967 </Table> Annualized Total Returns As of 3/31/2007 1 YEAR 5 YEARS 10 YEARS - --------------------------------------------------------------- International Growth Fund Class I 13.80% 13.16% 9.60% - --------------------------------------------------------------- MSCI EAFE Index 20.69% 16.24% 8.67% - --------------------------------------------------------------- 32 <Page> [CHART] <Table> <Caption> INTERNATIONAL GROWTH FUND CLASS I SHARES MSCI EAFE INDEX -------------------- --------------- <S> <C> <C> 12/27/1996 $250,000 $250,000 12/31/1996 $252,475 $252,250 1/31/1997 $274,682 $243,422 2/28/1997 $277,282 $247,403 3/31/1997 $282,684 $248,299 4/30/1997 $286,685 $249,617 5/31/1997 $313,293 $265,860 6/30/1997 $331,298 $280,522 7/31/1997 $352,505 $285,060 8/31/1997 $334,099 $263,770 9/30/1997 $358,707 $278,546 10/31/1997 $328,898 $257,136 11/30/1997 $325,228 $254,515 12/31/1997 $329,820 $256,735 1/31/1998 $341,928 $268,476 2/28/1998 $365,307 $285,703 3/31/1998 $387,017 $294,500 4/30/1998 $398,289 $296,831 5/31/1998 $408,101 $295,391 6/30/1998 $412,902 $297,627 7/31/1998 $431,271 $300,644 8/31/1998 $369,482 $263,398 9/30/1998 $351,948 $255,322 10/31/1998 $358,419 $281,937 11/30/1998 $379,975 $296,381 12/31/1998 $400,853 $308,074 1/31/1999 $416,302 $307,164 2/28/1999 $399,183 $299,843 3/31/1999 $411,918 $312,359 4/30/1999 $426,950 $325,016 5/31/1999 $410,457 $308,278 6/30/1999 $442,817 $320,297 7/31/1999 $457,431 $329,817 8/31/1999 $464,530 $331,022 9/30/1999 $471,628 $334,354 10/31/1999 $502,527 $346,877 11/30/1999 $567,666 $358,929 12/31/1999 $677,711 $391,144 1/31/2000 $629,452 $366,291 2/29/2000 $705,914 $376,151 3/31/2000 $666,012 $390,732 4/30/2000 $611,068 $370,171 5/31/2000 $578,686 $361,130 6/30/2000 $609,814 $375,253 7/31/2000 $582,865 $359,521 8/31/2000 $606,263 $362,641 9/30/2000 $566,987 $344,984 10/31/2000 $531,055 $336,835 11/30/2000 $505,070 $324,203 12/31/2000 $521,270 $335,726 1/31/2001 $505,514 $335,553 2/28/2001 $463,129 $310,398 3/31/2001 $426,292 $289,706 4/30/2001 $455,806 $309,838 5/31/2001 $441,160 $298,903 6/30/2001 $423,407 $286,679 7/31/2001 $413,199 $281,463 8/31/2001 $396,112 $274,342 9/30/2001 $364,378 $246,551 10/31/2001 $363,935 $252,863 11/30/2001 $371,258 $262,194 12/31/2001 $375,474 $263,741 1/31/2002 $358,831 $249,736 2/28/2002 $361,272 $251,484 3/31/2002 $381,022 $265,089 4/30/2002 $379,246 $266,839 5/31/2002 $378,803 $270,228 6/30/2002 $365,932 $259,473 7/31/2002 $331,314 $233,863 8/31/2002 $328,207 $233,325 9/30/2002 $296,474 $208,266 10/31/2002 $306,903 $219,450 11/30/2002 $315,336 $229,413 12/31/2002 $303,353 $221,705 1/31/2003 $292,701 $212,459 2/28/2003 $288,485 $207,594 3/31/2003 $284,712 $203,671 4/30/2003 $309,788 $223,875 5/31/2003 $329,316 $237,643 6/30/2003 $335,086 $243,513 7/31/2003 $339,302 $249,455 8/31/2003 $352,839 $255,516 9/30/2003 $352,617 $263,437 10/31/2003 $377,915 $279,876 11/30/2003 $380,884 $286,145 12/31/2003 $405,580 $308,522 1/31/2004 $415,146 $312,903 2/29/2004 $420,263 $320,193 3/31/2004 $424,268 $322,114 4/30/2004 $408,694 $315,092 5/31/2004 $408,472 $316,447 6/30/2004 $414,034 $323,504 7/31/2004 $392,231 $313,055 8/30/2004 $393,343 $314,495 9/30/2004 $404,467 $322,766 10/31/2004 $418,947 $333,805 11/30/2004 $449,153 $356,704 12/31/2004 $466,401 $372,363 1/31/2005 $462,763 $365,549 2/28/2005 $485,716 $381,413 3/31/2005 $465,024 $371,992 4/30/2005 $454,561 $363,660 5/31/2005 $460,243 $364,205 6/30/2005 $468,666 $369,195 7/31/2005 $489,568 $380,529 8/31/2005 $494,121 $390,271 9/30/2005 $526,832 $407,716 10/31/2005 $507,286 $395,851 11/30/2005 $531,332 $405,629 12/31/2005 $575,432 $424,531 1/31/2006 $619,511 $450,640 2/28/2006 $600,863 $449,739 3/31/2006 $621,954 $464,760 4/30/2006 $648,262 $487,301 5/31/2006 $614,034 $468,978 6/30/2006 $608,016 $469,166 7/31/2006 $608,016 $473,857 8/31/2006 $625,831 $487,031 9/30/2006 $625,831 $487,859 10/31/2006 $647,485 $506,885 11/30/2006 $671,442 $522,193 12/31/2006 $698,770 $538,642 1/31/2007 $689,546 $542,305 2/28/2007 $689,891 $546,752 3/31/2007 $710,242 $560,967 </Table> Annualized Total Returns As of 3/31/2007 1 YEAR 5 YEARS 10 YEARS - ---------------------------------------------------------------- International Growth Fund Class II 14.12% 13.25% 9.58% - ---------------------------------------------------------------- MSCI EAFE Index 20.69% 16.24% 8.67% - ---------------------------------------------------------------- THE GRAPHS ABOVE SHOW THE VALUE OF A HYPOTHETICAL $250,000 INVESTMENT IN THE FUND'S CLASS I AND II SHARES COMPARED WITH THE MORGAN STANLEY CAPITAL INTERNATIONAL EUROPE, AUSTRALASIA, FAR EAST INDEX ("MSCI EAFE") OVER THE PERIODS INDICATED. THE FUND'S CLASS I AND II SHARES CALCULATE THEIR PERFORMANCE BASED UPON THE HISTORICAL PERFORMANCE OF THEIR CORRESPONDING SERIES OF NICHOLAS-APPLEGATE MUTUAL FUNDS (RENAMED ING MUTUAL FUNDS), ADJUSTED TO REFLECT ALL FEES AND EXPENSES APPLICABLE TO THE FUND'S CLASS I AND II SHARES. THE NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS' CLASS I SHARES WERE FIRST AVAILABLE ON MAY 7, 1999 AND CLASS II SHARES ON JANUARY 23, 2006. THE HISTORICAL PERFORMANCE OF CLASS II SHARES INCLUDES THE PERFORMANCE OF CLASS I SHARES FOR PERIODS PRIOR TO THE INCEPTION OF CLASS II SHARES. AVERAGE ANNUAL TOTAL RETURN FIGURES INCLUDE CHANGES IN PRINCIPAL VALUE, REINVESTED DIVIDENDS, AND CAPITAL GAIN DISTRIBUTIONS. THE TOTAL RETURNS SHOWN ABOVE DO NOT SHOW THE EFFECTS OF INCOME TAXES ON AN INDIVIDUAL'S INVESTMENT. IN MOST CASES, TAXES MAY REDUCE YOUR ACTUAL INVESTMENT RETURNS ON INCOME OR GAINS PAID BY THE FUND OR ANY GAINS YOU MAY REALIZE IF YOU SELL YOUR SHARES. PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS. THE MSCI EAFE INDEX IS AN UNMANAGED INDEX OF OVER 900 COMPANIES, AND IS A GENERALLY ACCEPTED BENCHMARK FOR MAJOR OVERSEAS MARKETS. INDEX WEIGHTINGS REPRESENT THE RELATIVE CAPITALIZATIONS OF THE MAJOR OVERSEAS MARKETS INCLUDED IN THE INDEX ON A U.S. DOLLAR ADJUSTED BASIS. THE UNMANAGED INDEX DIFFERS FROM THE FUND IN COMPOSITION, DOES NOT PAY MANAGEMENT FEES OR EXPENSES AND INCLUDES REINVESTED DIVIDENDS. ONE CANNOT INVEST DIRECTLY IN AN INDEX. SINCE MARKETS CAN GO DOWN AS WELL AS UP, INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET CONDITIONS, CURRENCY VOLATILITY AND THE SOCIAL, ECONOMIC AND POLITICAL CLIMATES OF COUNTRIES WHERE THE FUND INVESTS. YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. 33 <Page> SCHEDULE OF INVESTMENTS As of March 31, 2007 NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK - 96.2% AUSTRALIA - 2.4% AMP, Ltd.* 41,302 $ 346,671 CSL, Ltd. 19,979 1,329,455 ----------- 1,676,126 ----------- BELGIUM - 1.1% InBev NV 10,995 791,075 ----------- BRAZIL - 0.6% All America Latina Logistica SA 35,700 435,868 ----------- CANADA - 3.8% AUR Resources, Inc. 19,100 402,314 HudBay Minerals, Inc.* 21,300 375,540 Inmet Mining Corp. 7,300 401,812 Rogers Communications, Inc. Cl. B 25,000 818,923 Teck Cominco, Ltd. Cl. B 9,400 655,837 ----------- 2,654,426 ----------- DENMARK - 2.2% FLSmidth & Co. AS Cl. B 22,800 1,539,660 ----------- FRANCE - 7.8% Alstom* 12,127 1,568,278 BNP Paribas 6,061 630,845 Lafarge SA 3,963 620,856 Total SA 9,398 656,157 Veolia Environnement 26,012 1,927,276 ----------- 5,403,412 ----------- GERMANY - 8.5% Deutsche Postbank AG 10,870 944,431 Hypo Real Estate Holding AG 10,697 679,785 IVG Immobilien AG 25,519 1,217,811 Puma AG Rudolf Dassler Sport 1,835 668,581 Solarworld AG## 8,727 675,293 Stada Arzneimittel AG 14,851 898,497 United Internet AG 43,294 838,528 ----------- 5,922,926 ----------- GREECE - 2.2% National Bank of Greece SA 13,251 700,271 Piraeus Bank SA 23,700 820,255 ----------- 1,520,526 ----------- HONG KONG - 1.1% Foxconn International Holdings, Ltd.* 159,000 488,339 Melco International Development 171,000 307,676 ----------- 796,015 ----------- INDIA - 0.5% Infosys Technologies, Ltd. - ADR## 6,400 321,600 ----------- IRELAND - 3.5% Bank of Ireland 17,965 386,213 C&C Group PLC 42,459 642,624 Kingspan Group PLC 52,095 1,376,523 ----------- 2,405,360 ----------- ITALY - 2.9% Intesa Sanpaolo SpA 82,538 624,614 UniCredito Italiano SpA 146,482 1,389,300 ----------- 2,013,914 ----------- JAPAN - 22.8% Chugai Pharmaceutical Co., Ltd.## 34,200 863,146 Fanuc, Ltd. 11,600 1,077,722 Haseko Corp.* 323,000 1,176,286 Japan Steel Works, Ltd. 93,000 1,116,079 Japan Tobacco, Inc. 151 740,453 Komatsu, Ltd. 18,300 384,366 Mitsubishi Electric Corp. 34,000 349,574 Mitsubishi Estate Co., Ltd. 21,600 707,957 Mitsui & Co., Ltd. 36,700 683,803 Nippon Electric Glass Co., Ltd. 30,000 524,667 Nomura Holdings, Inc. 69,400 1,442,956 ORIX Corp. 2,960 769,613 Shin-Etsu Chemical Co., Ltd. 10,000 608,935 Sumco Corp. 29,600 1,228,372 Toho Titanium Co., Ltd. 14,500 708,575 Tokuyama Corp. 50,000 872,327 Tokyu Land Corp.## 97,000 1,103,290 Toyota Motor Corp. 24,100 1,541,012 ----------- 15,899,133 ----------- LUXEMBOURG - 1.0% Millicom International Cellular SA* 9,100 713,076 ----------- MEXICO - 1.9% America Movil SA de CV - ADR 16,700 798,093 Fomento Economico Mexicano SAB de CV - ADR## 4,800 529,872 ----------- 1,327,965 ----------- NETHERLANDS - 1.0% Koninklijke Philips Electronics NV 18,400 701,040 ----------- NORWAY - 5.3% Acergy SA## 38,700 822,615 Renewable Energy Corp. AS* 56,800 1,279,468 Telenor ASA 54,000 955,423 TGS Nopec Geophysical Co. ASA* 27,200 626,071 ----------- 3,683,577 ----------- REPUBLIC OF CHINA - 3.2% China Communications Construction Co., Ltd.* 963,000 1,160,887 Nine Dragons Paper Holdings, Ltd. 348,000 728,577 Suntech Power Holdings Co., Ltd. - ADR*,## 9,800 339,178 ----------- 2,228,642 ----------- SINGAPORE - 2.4% City Developments, Ltd. 89,000 855,769 DBS Group Holdings, Ltd. 58,000 817,439 ----------- 1,673,208 ----------- SWEDEN - 4.7% Assa Abloy AB 56,800 1,299,354 Modern Times Group AB Cl. B 5,900 343,517 SSAB Svenskt Stal AB Cl. A## 33,600 1,032,026 Telefonaktiebolaget LM Ericsson - ADR## 17,000 630,530 ----------- 3,305,427 ----------- SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 34 <Page> NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- SWITZERLAND - 10.3% ABB, Ltd. 51,982 $ 885,670 Compagnie Financiere Richemont SA 13,141 731,431 Nestle SA 1,948 755,153 Nobel Biocare Holding AG 2,371 860,381 Phonak Holding AG 6,596 502,480 Roche Holding AG 7,585 1,335,825 Swatch Group AG 13,666 727,070 Syngenta AG 3,934 749,226 UBS AG 10,992 650,084 ----------- 7,197,320 ----------- UNITED KINGDOM - 7.0% Barclays PLC 46,928 663,624 BT Group PLC 288,553 1,719,083 International Power PLC 273,518 2,127,082 Reckitt Benckiser PLC 7,105 368,730 ----------- 4,878,519 - -------------------------------------------------------------------------------- Total Common Stock (Cost: $55,315,329) 67,088,815 - -------------------------------------------------------------------------------- PREFERRED STOCK - 1.3% GERMANY - 1.3% Fresenius AG (Cost: $721,242) 10,983 871,353 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT - -------------------------------------------------------------------------------- SHORT TERM INVESTMENTS - 7.8% MONEY MARKET FUNDS - 7.1% Boston Global Investment Trust - Enhanced Portfolio, 5.290%** $4,944,858 4,944,858 ----------- TIME DEPOSITS - 0.7% Bank of America London 4.690%, 04/02/07 473,149 473,149 - ------------------------------------------------------------------------------- Total Short Term Investments (Cost: $5,418,007) 5,418,007 - ------------------------------------------------------------------------------- Total Investments - 105.3% (Cost: $61,454,578) 73,378,175 - ------------------------------------------------------------------------------- Liabilities in Excess of Other Assets - (5.3%) (3,664,685) - ------------------------------------------------------------------------------- Net Assets - 100.0% $69,713,490 - ------------------------------------------------------------------------------- * NON-INCOME PRODUCING SECURITIES. ** ALL OF THE SECURITY IS PURCHASED WITH CASH COLLATERAL PROCEEDS FROM SECURITIES LOANS. ## ALL OR A PORTION OF THE FUND'S HOLDINGS IN THIS SECURITY WAS ON LOAN AS OF 03/31/07. ADR - AMERICAN DEPOSITORY RECEIPT SCHEDULE OF INVESTMENTS BY SECTOR as of March 31, 2007 PERCENT OF SECTOR NET ASSETS - -------------------------------------------------------------------------------- Financial 21.2% Industrial 18.7 Consumer, Non-cyclical 15.1 Communications 10.5 Basic Materials 9.4 Consumer, Cyclical 7.9 Energy 6.3 Utilities 5.8 Technology 2.2 Diversified 0.4 Short Term Investments 7.8 - -------------------------------------------------------------------------------- Total Investments 105.3 Liabilities in excess of other assets (5.3) - -------------------------------------------------------------------------------- Net Assets 100.0% ================================================================================ SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 35 <Page> INTERNATIONAL GROWTH OPPORTUNITIES FUND MANAGEMENT TEAM: VINCENT WILLYARD, CFA, Portfolio Manager; JOSEPH DEVINE, Portfolio Manager; STEPHEN DERKASH, Analyst; BARRY KENDALL, Analyst CHIEF INVESTMENT OFFICER: HORACIO A. VALEIRAS, CFA GOAL: The International Growth Opportunities Fund seeks to maximize long-term capital appreciation through investments primarily in companies located outside the United States with market capitalizations predominantly in the bottom 20% of publicly traded companies as measured by the market capitalization in the Citigroup World BMI xUS. MARKET OVERVIEW: International small-cap equities posted substantial gains between April 1, 2006 and March 31, 2007. The U.S. dollar fell against a basket of currencies, enhancing returns when translated into dollar terms. Broad strength in the international small-cap market was driven by: - Positive economic backdrop, with global GDP rising 5.6% in 2006 and expectations for continued healthy growth in 2007-2008 - Retreat in the price of oil, which fell more than 35% between July and January - Robust merger, acquisition and buyout activity, fueled by abundant liquidity and low borrowing costs Within the Citigroup World EMI xUS, returns in U.S. dollar terms were positive in all countries except Japan. Japanese equities declined amid sluggish domestic consumer spending, a severe weakening in the yen versus European currencies and concerns that moderating U.S economic growth would hurt Japanese exports. In contrast, Australian small caps posted some of the best returns, supported by high commodity prices and strong consumer spending. Germany, Spain and Switzerland were other top small-cap markets. PERFORMANCE: The Fund's Class I shares gained 18.71% during the fiscal year ended March 31, 2007, and the Citigroup World EMI xUS rose 23.14%. PORTFOLIO SPECIFICS: The Fund participated in the small-cap market's advance, with stocks in most countries and sectors of investment generating gains. Results did not keep pace with the rapid rise in the benchmark, however. Underperformance at the country level was driven by stock selection in the United Kingdom and Germany. At the sector level, information technology had the largest negative effect on relative returns, due to stock selection and an overweight in the group. The fact that international small-cap growth stocks trailed their value counterparts also weighed on relative results, since the Fund's holdings are concentrated in growth stocks while the benchmark is style neutral. On a positive note, stock selection in China and the industrials and health care sectors added significant value. One of the Fund's best-performing holdings was Spain-based Grifols, a biopharmaceuticals company specializing in plasma products. Grifols benefited from several favorable developments, including higher plasma prices. MARKET OUTLOOK: Over the remainder of 2007, we are cautiously optimistic in our outlook for international small-cap stocks. There are risks facing the market, such as high core inflation in the United States which has made the Federal Reserve reluctant to cut interest rates. However, several positive factors may drive further gains, including: - Expectations for steady economic growth in Europe and moderate expansion in Japan - Efforts by policymakers in China and India to control spending and inflation in those countries Regardless of the direction the broader market takes, we are confident that our bottom-up investment approach will uncover exciting growth opportunities for the Fund. COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN INTERNATIONAL GROWTH OPPORTUNITIES FUND CLASS I, II, III AND IV SHARES WITH THE CITIGROUP WORLD EMI XUS INDEX AND THE CITIGROUP WORLD EMI XUS GROWTH INDEX. [CHART] <Table> <Caption> INTERNATIONAL GROWTH OPPORTUNITIES CITIGROUP WORLD EMI CITIGROUP WORLD FUND CLASS I SHARES xUS GROWTH INDEX EMI xUS -------------------- ------------------- --------------- <S> <C> <C> <C> 12/31/1997 $ 250,000 $250,000 $250,000 1/31/1998 $ 255,925 $260,950 $260,425 2/28/1998 $ 282,388 $279,295 $279,853 3/31/1998 $ 312,914 $292,170 $293,006 4/30/1998 $ 329,717 $294,595 $295,233 5/31/1998 $ 337,861 $300,752 $300,724 6/30/1998 $ 338,706 $293,414 $291,943 7/31/1998 $ 345,785 $292,622 $289,928 8/31/1998 $ 291,151 $255,547 $254,354 9/30/1998 $ 287,162 $247,982 $247,716 10/31/1998 $ 298,562 $264,572 $265,229 11/30/1998 $ 319,342 $274,626 $273,743 12/31/1998 $ 340,834 $282,892 $280,367 1/31/1999 $ 367,760 $284,844 $279,498 2/28/1999 $ 360,773 $279,034 $274,076 3/31/1999 $ 369,179 $289,274 $284,381 4/30/1999 $ 391,219 $303,015 $299,795 5/31/1999 $ 376,000 $295,136 $291,940 6/30/1999 $ 417,586 $306,174 $301,895 7/31/1999 $ 453,582 $318,023 $313,186 8/31/1999 $ 483,110 $324,829 $318,041 9/30/1999 $ 497,458 $325,771 $317,277 10/31/1999 $ 531,385 $325,966 $314,105 11/30/1999 $ 653,072 $350,121 $324,815 12/31/1999 $ 777,547 $383,347 $346,253 1/31/2000 $ 801,962 $376,485 $337,701 2/29/2000 $1,013,680 $408,712 $351,851 3/31/2000 $ 900,047 $400,293 $353,293 4/30/2000 $ 807,882 $371,992 $331,707 5/31/2000 $ 756,016 $357,782 $325,968 6/30/2000 $ 815,288 $378,891 $347,091 7/31/2000 $ 792,215 $365,630 $335,186 8/31/2000 $ 830,717 $380,986 $345,510 9/30/2000 $ 779,046 $357,784 $328,822 10/31/2000 $ 718,904 $328,983 $310,671 11/30/2000 $ 649,601 $300,394 $297,902 12/31/2000 $ 683,121 $310,427 $310,533 1/31/2001 $ 669,322 $314,090 $313,576 2/28/2001 $ 626,820 $290,533 $301,253 3/31/2001 $ 559,750 $262,933 $277,424 4/30/2001 $ 593,727 $283,100 $297,232 5/31/2001 $ 589,571 $280,297 $296,518 6/30/2001 $ 560,210 $264,460 $285,873 7/31/2001 $ 546,205 $254,860 $278,383 8/31/2001 $ 525,067 $249,891 $277,465 9/30/2001 $ 471,090 $217,255 $241,838 10/31/2001 $ 488,520 $230,029 $251,802 11/30/2001 $ 497,949 $239,599 $261,371 12/31/2001 $ 504,820 $239,934 $261,789 1/31/2002 $ 491,291 $232,160 $255,820 2/28/2002 $ 494,976 $233,275 $260,604 3/31/2002 $ 521,606 $249,441 $277,543 4/30/2002 $ 524,109 $250,937 $283,149 5/31/2002 $ 534,434 $257,788 $293,711 6/30/2002 $ 509,423 $245,414 $283,108 7/31/2002 $ 466,478 $222,762 $258,364 8/31/2002 $ 461,441 $220,713 $256,582 9/30/2002 $ 418,988 $200,209 $233,233 10/31/2002 $ 420,371 $205,194 $237,571 11/30/2002 $ 432,772 $213,340 $246,171 12/31/2002 $ 427,016 $208,561 $242,724 1/31/2003 $ 411,643 $202,576 $237,239 2/28/2003 $ 404,975 $198,747 $233,396 3/31/2003 $ 399,224 $197,177 $231,552 4/30/2003 $ 432,280 $216,382 $254,244 5/31/2003 $ 470,147 $235,250 $275,880 6/30/2003 $ 479,785 $242,120 $285,260 7/31/2003 $ 495,618 $248,754 $294,788 8/31/2003 $ 523,868 $258,903 $308,495 9/30/2003 $ 533,036 $272,107 $322,840 10/31/2003 $ 590,178 $291,835 $346,085 11/30/2003 $ 598,204 $296,037 $351,830 12/31/2003 $ 633,079 $313,177 $373,115 1/31/2004 $ 655,111 $323,387 $386,025 2/29/2004 $ 669,130 $333,962 $398,224 3/31/2004 $ 675,554 $342,378 $408,259 4/30/2004 $ 656,706 $332,175 $396,501 5/31/2004 $ 655,130 $334,666 $397,889 6/30/2004 $ 680,811 $344,070 $411,815 7/31/2004 $ 648,676 $328,828 $395,754 8/30/2004 $ 648,936 $330,834 $398,603 9/30/2004 $ 673,271 $342,214 $412,116 10/31/2004 $ 689,362 $352,686 $425,098 11/30/2004 $ 746,234 $377,797 $458,383 12/31/2004 $ 778,024 $395,252 $480,340 1/31/2005 $ 780,592 $398,690 $486,152 2/28/2005 $ 825,007 $416,273 $509,049 3/31/2005 $ 805,867 $406,990 $498,359 4/30/2005 $ 778,951 $394,861 $482,511 5/31/2005 $ 787,675 $396,836 $485,503 6/30/2005 $ 805,162 $405,765 $495,456 7/31/2005 $ 830,685 $420,818 $513,986 8/31/2005 $ 848,877 $434,032 $529,406 9/30/2005 $ 902,781 $449,180 $550,052 10/31/2005 $ 861,524 $432,695 $531,681 11/30/2005 $ 912,095 $450,435 $551,991 12/31/2005 $ 997,376 $479,984 $586,545 1/31/2006 $1,071,082 $516,703 $630,712 2/28/2006 $1,082,007 $512,879 $630,271 3/31/2006 $1,155,476 $535,959 $657,625 4/30/2006 $1,235,666 $564,633 $691,689 5/31/2006 $1,162,885 $538,547 $660,909 6/30/2006 $1,116,835 $530,522 $651,194 7/31/2006 $1,100,864 $524,793 $646,701 8/31/2006 $1,122,441 $541,848 $668,171 9/30/2006 $1,126,370 $545,262 $673,650 10/31/2006 $1,165,567 $567,727 $702,011 11/30/2006 $1,222,097 $592,593 $733,461 12/31/2006 $1,289,313 $613,275 $759,132 1/31/2007 $1,292,407 $618,426 $767,786 2/28/2007 $1,314,378 $627,455 $779,533 3/31/2007 $1,371,816 $651,926 $809,779 </Table> Annualized Total Returns As of 3/31/07 SINCE 1 YEAR 5 YEARS INCEPTION - ------------------------------------------------------------------------------ International Growth Opportunities Fund Class I 18.71% 21.31% 20.20% - ------------------------------------------------------------------------------ Citigroup World EMI xUS Index 23.14% 23.88% 13.55% - ------------------------------------------------------------------------------ Citigroup World EMI xUS Growth Index 21.64% 21.17% 10.92% - ------------------------------------------------------------------------------ 36 <Page> [CHART] <Table> <Caption> INTERNATIONAL GROWTH OPPORTUNITIES FUND CITIGROUP WORLD EMI CITIGROUP WORLD CLASS II SHARES xUS GROWTH INDEX EMI xUS -------------------- ------------------- --------------- <S> <C> <C> <C> 12/31/1997 $ 250,000 $250,000 $250,000 1/31/1998 $ 255,925 $260,950 $260,425 2/28/1998 $ 282,388 $279,295 $279,853 3/31/1998 $ 312,914 $292,170 $293,006 4/30/1998 $ 329,717 $294,595 $295,233 5/31/1998 $ 337,861 $300,752 $300,724 6/30/1998 $ 338,706 $293,414 $291,943 7/31/1998 $ 345,785 $292,622 $289,928 8/31/1998 $ 291,151 $255,547 $254,354 9/30/1998 $ 287,162 $247,982 $247,716 10/31/1998 $ 298,562 $264,572 $265,229 11/30/1998 $ 319,342 $274,626 $273,743 12/31/1998 $ 340,834 $282,892 $280,367 1/31/1999 $ 367,760 $284,844 $279,498 2/28/1999 $ 360,773 $279,034 $274,076 3/31/1999 $ 369,179 $289,274 $284,381 4/30/1999 $ 391,219 $303,015 $299,795 5/31/1999 $ 376,000 $295,136 $291,940 6/30/1999 $ 417,586 $306,174 $301,895 7/31/1999 $ 453,582 $318,023 $313,186 8/31/1999 $ 483,110 $324,829 $318,041 9/30/1999 $ 497,458 $325,771 $317,277 10/31/1999 $ 531,385 $325,966 $314,105 11/30/1999 $ 653,072 $350,121 $324,815 12/31/1999 $ 777,547 $383,347 $346,253 1/31/2000 $ 801,962 $376,485 $337,701 2/29/2000 $1,013,680 $408,712 $351,851 3/31/2000 $ 900,047 $400,293 $353,293 4/30/2000 $ 807,882 $371,992 $331,707 5/31/2000 $ 756,016 $357,782 $325,968 6/30/2000 $ 815,288 $378,891 $347,091 7/31/2000 $ 792,215 $365,630 $335,186 8/31/2000 $ 830,717 $380,986 $345,510 9/30/2000 $ 779,046 $357,784 $328,822 10/31/2000 $ 718,904 $328,983 $310,671 11/30/2000 $ 649,601 $300,394 $297,902 12/31/2000 $ 683,121 $310,427 $310,533 1/31/2001 $ 669,322 $314,090 $313,576 2/28/2001 $ 626,820 $290,533 $301,253 3/31/2001 $ 559,750 $262,933 $277,424 4/30/2001 $ 593,727 $283,100 $297,232 5/31/2001 $ 589,571 $280,297 $296,518 6/30/2001 $ 560,210 $264,460 $285,873 7/31/2001 $ 546,205 $254,860 $278,383 8/31/2001 $ 525,067 $249,891 $277,465 9/30/2001 $ 471,090 $217,255 $241,838 10/31/2001 $ 488,520 $230,029 $251,802 11/30/2001 $ 497,949 $239,599 $261,371 12/31/2001 $ 504,820 $239,934 $261,789 1/31/2002 $ 491,291 $232,160 $255,820 2/28/2002 $ 494,976 $233,275 $260,604 3/31/2002 $ 521,606 $249,441 $277,543 4/30/2002 $ 524,109 $250,937 $283,149 5/31/2002 $ 534,434 $257,788 $293,711 6/30/2002 $ 509,423 $245,414 $283,108 7/31/2002 $ 466,478 $222,762 $258,364 8/31/2002 $ 461,441 $220,713 $256,582 9/30/2002 $ 418,988 $200,209 $233,233 10/31/2002 $ 420,371 $205,194 $237,571 11/30/2002 $ 432,772 $213,340 $246,171 12/31/2002 $ 427,016 $208,561 $242,724 1/31/2003 $ 411,643 $202,576 $237,239 2/28/2003 $ 404,975 $198,747 $233,396 3/31/2003 $ 399,224 $197,177 $231,552 4/30/2003 $ 432,280 $216,382 $254,244 5/31/2003 $ 470,147 $235,250 $275,880 6/30/2003 $ 479,785 $242,120 $285,260 7/31/2003 $ 495,618 $248,754 $294,788 8/31/2003 $ 524,067 $258,903 $308,495 9/30/2003 $ 533,238 $272,107 $322,840 10/31/2003 $ 590,614 $291,835 $346,085 11/30/2003 $ 598,647 $296,037 $351,830 12/31/2003 $ 633,787 $313,177 $373,115 1/31/2004 $ 655,843 $323,387 $386,025 2/29/2004 $ 670,075 $333,962 $398,224 3/31/2004 $ 676,508 $342,378 $408,259 4/30/2004 $ 657,430 $332,175 $396,501 5/31/2004 $ 656,049 $334,666 $397,889 6/30/2004 $ 681,963 $344,070 $411,815 7/31/2004 $ 649,843 $328,828 $395,754 8/30/2004 $ 650,103 $330,834 $398,603 9/30/2004 $ 674,417 $342,214 $412,116 10/31/2004 $ 690,940 $352,686 $425,098 11/30/2004 $ 747,942 $377,797 $458,383 12/31/2004 $ 779,805 $395,252 $480,340 1/31/2005 $ 782,378 $398,690 $486,152 2/28/2005 $ 827,130 $416,273 $509,049 3/31/2005 $ 808,023 $406,990 $498,359 4/30/2005 $ 780,793 $394,861 $482,511 5/31/2005 $ 789,772 $396,836 $485,503 6/30/2005 $ 807,305 $405,765 $495,456 7/31/2005 $ 832,897 $420,818 $513,986 8/31/2005 $ 851,387 $434,032 $529,406 9/30/2005 $ 905,620 $449,180 $550,052 10/31/2005 $ 864,324 $432,695 $531,681 11/30/2005 $ 915,060 $450,435 $551,991 12/31/2005 $1,000,801 $479,984 $586,545 1/31/2006 $1,074,760 $516,703 $630,712 2/28/2006 $1,085,615 $512,879 $630,271 3/31/2006 $1,159,546 $535,959 $657,625 4/30/2006 $1,240,250 $564,633 $691,689 5/31/2006 $1,167,447 $538,547 $660,909 6/30/2006 $1,121,333 $530,522 $651,194 7/31/2006 $1,105,298 $524,793 $646,701 8/31/2006 $1,126,851 $541,848 $668,171 9/30/2006 $1,131,021 $545,262 $673,650 10/31/2006 $1,170,607 $567,727 $702,011 11/30/2006 $1,227,381 $592,593 $733,461 12/31/2006 $1,295,132 $613,275 $759,132 1/31/2007 $1,298,241 $618,426 $767,786 2/28/2007 $1,320,441 $627,455 $779,533 3/31/2007 $1,378,540 $651,926 $809,779 </Table> Annualized Total Returns As of 3/31/07 SINCE 1 YEAR 5 YEARS INCEPTION - ------------------------------------------------------------------------------- International Growth Opportunities Fund Class II 18.90% 21.46% 20.27% - ------------------------------------------------------------------------------- Citigroup World EMI xUS Index 23.14% 23.88% 13.55% - ------------------------------------------------------------------------------- Citigroup World EMI xUS Growth Index 21.64% 21.17% 10.92% - ------------------------------------------------------------------------------- [CHART] <Table> <Caption> INTERNATIONAL GROWTH OPPORTUNITIES FUND CITIGROUP WORLD EMI CITIGROUP WORLD CLASS III SHARES xUS GROWTH INDEX EMI xUS -------------------- ------------------- --------------- <S> <C> <C> <C> 12/31/1997 $ 250,000 $250,000 $250,000 1/31/1998 $ 255,925 $260,950 $260,425 2/28/1998 $ 282,388 $279,295 $279,853 3/31/1998 $ 312,914 $292,170 $293,006 4/30/1998 $ 329,717 $294,595 $295,233 5/31/1998 $ 337,861 $300,752 $300,724 6/30/1998 $ 338,706 $293,414 $291,943 7/31/1998 $ 345,785 $292,622 $289,928 8/31/1998 $ 291,151 $255,547 $254,354 9/30/1998 $ 287,162 $247,982 $247,716 10/31/1998 $ 298,562 $264,572 $265,229 11/30/1998 $ 319,342 $274,626 $273,743 12/31/1998 $ 340,834 $282,892 $280,367 1/31/1999 $ 367,760 $284,844 $279,498 2/28/1999 $ 360,773 $279,034 $274,076 3/31/1999 $ 369,179 $289,274 $284,381 4/30/1999 $ 391,219 $303,015 $299,795 5/31/1999 $ 376,000 $295,136 $291,940 6/30/1999 $ 417,586 $306,174 $301,895 7/31/1999 $ 453,582 $318,023 $313,186 8/31/1999 $ 483,110 $324,829 $318,041 9/30/1999 $ 497,458 $325,771 $317,277 10/31/1999 $ 531,385 $325,966 $314,105 11/30/1999 $ 653,072 $350,121 $324,815 12/31/1999 $ 777,547 $383,347 $346,253 1/31/2000 $ 801,962 $376,485 $337,701 2/29/2000 $1,013,680 $408,712 $351,851 3/31/2000 $ 900,047 $400,293 $353,293 4/30/2000 $ 807,882 $371,992 $331,707 5/31/2000 $ 756,016 $357,782 $325,968 6/30/2000 $ 815,288 $378,891 $347,091 7/31/2000 $ 792,215 $365,630 $335,186 8/31/2000 $ 830,717 $380,986 $345,510 9/30/2000 $ 779,046 $357,784 $328,822 10/31/2000 $ 718,904 $328,983 $310,671 11/30/2000 $ 649,601 $300,394 $297,902 12/31/2000 $ 683,121 $310,427 $310,533 1/31/2001 $ 669,322 $314,090 $313,576 2/28/2001 $ 626,820 $290,533 $301,253 3/31/2001 $ 559,750 $262,933 $277,424 4/30/2001 $ 593,727 $283,100 $297,232 5/31/2001 $ 589,571 $280,297 $296,518 6/30/2001 $ 560,210 $264,460 $285,873 7/31/2001 $ 546,205 $254,860 $278,383 8/31/2001 $ 525,067 $249,891 $277,465 9/30/2001 $ 471,090 $217,255 $241,838 10/31/2001 $ 488,520 $230,029 $251,802 11/30/2001 $ 497,949 $239,599 $261,371 12/31/2001 $ 504,820 $239,934 $261,789 1/31/2002 $ 491,291 $232,160 $255,820 2/28/2002 $ 494,976 $233,275 $260,604 3/31/2002 $ 521,606 $249,441 $277,543 4/30/2002 $ 524,109 $250,937 $283,149 5/31/2002 $ 534,434 $257,788 $293,711 6/30/2002 $ 509,423 $245,414 $283,108 7/31/2002 $ 466,478 $222,762 $258,364 8/31/2002 $ 461,441 $220,713 $256,582 9/30/2002 $ 418,988 $200,209 $233,233 10/31/2002 $ 420,371 $205,194 $237,571 11/30/2002 $ 432,772 $213,340 $246,171 12/31/2002 $ 427,016 $208,561 $242,724 1/31/2003 $ 411,643 $202,576 $237,239 2/28/2003 $ 404,975 $198,747 $233,396 3/31/2003 $ 399,224 $197,177 $231,552 4/30/2003 $ 432,280 $216,382 $254,244 5/31/2003 $ 470,147 $235,250 $275,880 6/30/2003 $ 479,785 $242,120 $285,260 7/31/2003 $ 495,618 $248,754 $294,788 8/31/2003 $ 523,868 $258,903 $308,495 9/30/2003 $ 533,036 $272,107 $322,840 10/31/2003 $ 590,178 $291,835 $346,085 11/30/2003 $ 598,204 $296,037 $351,830 12/31/2003 $ 633,079 $313,177 $373,115 1/31/2004 $ 655,111 $323,387 $386,025 2/29/2004 $ 669,130 $333,962 $398,224 3/31/2004 $ 675,554 $342,378 $408,259 4/30/2004 $ 656,706 $332,175 $396,501 5/31/2004 $ 655,130 $334,666 $397,889 6/30/2004 $ 680,811 $344,070 $411,815 7/31/2004 $ 648,676 $328,828 $395,754 8/30/2004 $ 648,936 $330,834 $398,603 9/30/2004 $ 673,271 $342,214 $412,116 10/31/2004 $ 689,362 $352,686 $425,098 11/30/2004 $ 746,234 $377,797 $458,383 12/31/2004 $ 778,024 $395,252 $480,340 1/31/2005 $ 780,592 $398,690 $486,152 2/28/2005 $ 825,007 $416,273 $509,049 3/31/2005 $ 805,867 $406,990 $498,359 4/30/2005 $ 778,951 $394,861 $482,511 5/31/2005 $ 787,675 $396,836 $485,503 6/30/2005 $ 805,162 $405,765 $495,456 7/31/2005 $ 830,685 $420,818 $513,986 8/31/2005 $ 848,877 $434,032 $529,406 9/30/2005 $ 902,781 $449,180 $550,052 10/31/2005 $ 861,614 $432,695 $531,681 11/30/2005 $ 912,191 $450,435 $551,991 12/31/2005 $ 997,754 $479,984 $586,545 1/31/2006 $1,071,688 $516,703 $630,712 2/28/2006 $1,082,619 $512,879 $630,271 3/31/2006 $1,156,129 $535,959 $657,625 4/30/2006 $1,236,827 $564,633 $691,689 5/31/2006 $1,164,225 $538,547 $660,909 6/30/2006 $1,118,355 $530,522 $651,194 7/31/2006 $1,102,362 $524,793 $646,701 8/31/2006 $1,124,189 $541,848 $668,171 9/30/2006 $1,128,349 $545,262 $673,650 10/31/2006 $1,167,954 $567,727 $702,011 11/30/2006 $1,224,599 $592,593 $733,461 12/31/2006 $1,292,320 $613,275 $759,132 1/31/2007 $1,295,680 $618,426 $767,786 2/28/2007 $1,317,965 $627,455 $779,533 3/31/2007 $1,375,824 $651,926 $809,779 </Table> Annualized Total Returns As of 3/31/07 SINCE 1 YEAR 5 YEARS INCEPTION - -------------------------------------------------------------------------------- International Growth Opportunities Fund Class III 19.00% 21.41% 20.25% - -------------------------------------------------------------------------------- Citigroup World EMI xUS Index 23.14% 23.88% 13.55% - -------------------------------------------------------------------------------- Citigroup World EMI xUS Growth Index 21.64% 21.17% 10.92% - -------------------------------------------------------------------------------- [CHART] <Table> <Caption> INTERNATIONAL GROWTH OPPORTUNITIES FUND CITIGROUP WORLD EMI CITIGROUP WORLD CLASS IV SHARES xUS GROWTH INDEX EMI xUS -------------------- ------------------- --------------- <S> <C> <C> <C> 12/31/1997 $ 250,000 $250,000 $250,000 1/31/1998 $ 255,925 $260,950 $260,425 2/28/1998 $ 282,388 $279,295 $279,853 3/31/1998 $ 312,914 $292,170 $293,006 4/30/1998 $ 329,717 $294,595 $295,233 5/31/1998 $ 337,861 $300,752 $300,724 6/30/1998 $ 338,706 $293,414 $291,943 7/31/1998 $ 345,785 $292,622 $289,928 8/31/1998 $ 291,151 $255,547 $254,354 9/30/1998 $ 287,162 $247,982 $247,716 10/31/1998 $ 298,562 $264,572 $265,229 11/30/1998 $ 319,342 $274,626 $273,743 12/31/1998 $ 340,834 $282,892 $280,367 1/31/1999 $ 367,760 $284,844 $279,498 2/28/1999 $ 360,773 $279,034 $274,076 3/31/1999 $ 369,179 $289,274 $284,381 4/30/1999 $ 391,219 $303,015 $299,795 5/31/1999 $ 376,000 $295,136 $291,940 6/30/1999 $ 417,586 $306,174 $301,895 7/31/1999 $ 453,582 $318,023 $313,186 8/31/1999 $ 483,110 $324,829 $318,041 9/30/1999 $ 497,458 $325,771 $317,277 10/31/1999 $ 531,385 $325,966 $314,105 11/30/1999 $ 653,072 $350,121 $324,815 12/31/1999 $ 777,547 $383,347 $346,253 1/31/2000 $ 801,962 $376,485 $337,701 2/29/2000 $1,013,680 $408,712 $351,851 3/31/2000 $ 900,047 $400,293 $353,293 4/30/2000 $ 807,882 $371,992 $331,707 5/31/2000 $ 756,016 $357,782 $325,968 6/30/2000 $ 815,288 $378,891 $347,091 7/31/2000 $ 792,215 $365,630 $335,186 8/31/2000 $ 830,717 $380,986 $345,510 9/30/2000 $ 779,046 $357,784 $328,822 10/31/2000 $ 718,904 $328,983 $310,671 11/30/2000 $ 649,601 $300,394 $297,902 12/31/2000 $ 683,121 $310,427 $310,533 1/31/2001 $ 669,322 $314,090 $313,576 2/28/2001 $ 626,820 $290,533 $301,253 3/31/2001 $ 559,750 $262,933 $277,424 4/30/2001 $ 593,727 $283,100 $297,232 5/31/2001 $ 589,571 $280,297 $296,518 6/30/2001 $ 560,210 $264,460 $285,873 7/31/2001 $ 546,205 $254,860 $278,383 8/31/2001 $ 525,067 $249,891 $277,465 9/30/2001 $ 471,090 $217,255 $241,838 10/31/2001 $ 488,520 $230,029 $251,802 11/30/2001 $ 497,949 $239,599 $261,371 12/31/2001 $ 504,820 $239,934 $261,789 1/31/2002 $ 491,291 $232,160 $255,820 2/28/2002 $ 494,976 $233,275 $260,604 3/31/2002 $ 521,606 $249,441 $277,543 4/30/2002 $ 524,109 $250,937 $283,149 5/31/2002 $ 534,434 $257,788 $293,711 6/30/2002 $ 509,423 $245,414 $283,108 7/31/2002 $ 466,478 $222,762 $258,364 8/31/2002 $ 461,441 $220,713 $256,582 9/30/2002 $ 418,988 $200,209 $233,233 10/31/2002 $ 420,371 $205,194 $237,571 11/30/2002 $ 432,772 $213,340 $246,171 12/31/2002 $ 427,016 $208,561 $242,724 1/31/2003 $ 411,643 $202,576 $237,239 2/28/2003 $ 404,975 $198,747 $233,396 3/31/2003 $ 399,224 $197,177 $231,552 4/30/2003 $ 432,280 $216,382 $254,244 5/31/2003 $ 470,147 $235,250 $275,880 6/30/2003 $ 479,785 $242,120 $285,260 7/31/2003 $ 495,618 $248,754 $294,788 8/31/2003 $ 523,868 $258,903 $308,495 9/30/2003 $ 533,036 $272,107 $322,840 10/31/2003 $ 590,178 $291,835 $346,085 11/30/2003 $ 598,204 $296,037 $351,830 12/31/2003 $ 633,079 $313,177 $373,115 1/31/2004 $ 655,111 $323,387 $386,025 2/29/2004 $ 669,130 $333,962 $398,224 3/31/2004 $ 675,554 $342,378 $408,259 4/30/2004 $ 656,706 $332,175 $396,501 5/31/2004 $ 655,130 $334,666 $397,889 6/30/2004 $ 680,811 $344,070 $411,815 7/31/2004 $ 648,676 $328,828 $395,754 8/30/2004 $ 648,936 $330,834 $398,603 9/30/2004 $ 673,271 $342,214 $412,116 10/31/2004 $ 689,362 $352,686 $425,098 11/30/2004 $ 746,234 $377,797 $458,383 12/31/2004 $ 778,024 $395,252 $480,340 1/31/2005 $ 780,592 $398,690 $486,152 2/28/2005 $ 825,007 $416,273 $509,049 3/31/2005 $ 805,867 $406,990 $498,359 4/30/2005 $ 778,951 $394,861 $482,511 5/31/2005 $ 787,675 $396,836 $485,503 6/30/2005 $ 805,162 $405,765 $495,456 7/31/2005 $ 830,685 $420,818 $513,986 8/31/2005 $ 848,877 $434,032 $529,406 9/30/2005 $ 903,121 $449,180 $550,052 10/31/2005 $ 861,938 $432,695 $531,681 11/30/2005 $ 912,706 $450,435 $551,991 12/31/2005 $ 998,227 $479,984 $586,545 1/31/2006 $1,072,196 $516,703 $630,712 2/28/2006 $1,083,132 $512,879 $630,271 3/31/2006 $1,156,893 $535,959 $657,625 4/30/2006 $1,237,529 $564,633 $691,689 5/31/2006 $1,165,010 $538,547 $660,909 6/30/2006 $1,119,108 $530,522 $651,194 7/31/2006 $1,103,329 $524,793 $646,701 8/31/2006 $1,124,844 $541,848 $668,171 9/30/2006 $1,129,006 $545,262 $673,650 10/31/2006 $1,168,634 $567,727 $702,011 11/30/2006 $1,225,429 $592,593 $733,461 12/31/2006 $1,293,196 $613,275 $759,132 1/31/2007 $1,296,558 $618,426 $767,786 2/28/2007 $1,318,988 $627,455 $779,533 3/31/2007 $1,376,892 $651,926 $809,779 </Table> Annualized Total Returns As of 3/31/07 SINCE 1 YEAR 5 YEARS INCEPTION - ------------------------------------------------------------------------------- International Growth Opportunities Fund Class IV 19.05% 21.43% 20.26% - ------------------------------------------------------------------------------- Citigroup World EMI xUS Index 23.14% 23.88% 13.55% - ------------------------------------------------------------------------------- Citigroup World EMI xUS Growth Index 21.64% 21.17% 10.92% - ------------------------------------------------------------------------------- THE GRAPHS ABOVE SHOW THE VALUE OF A HYPOTHETICAL $250,000 INVESTMENT IN THE FUND'S CLASS I THROUGH IV SHARES COMPARED WITH THE CITIGROUP WORLD EX-U.S. EXTENDED MARKET INDEX ("EMI") AND THE CITIGROUP WORLD EMI XUS GROWTH INDEX INDEX FOR THE PERIODS INDICATED. THE FUND'S CLASS I THROUGH IV SHARES CALCULATE THEIR PERFORMANCE BASED UPON THE HISTORICAL PERFORMANCE OF THEIR CORRESPONDING SERIES OF NICHOLAS-APPLEGATE MUTUAL FUNDS (RENAMED ING MUTUAL FUNDS), ADJUSTED TO REFLECT ALL FEES AND EXPENSES APPLICABLE TO THE FUND'S CLASS I THROUGH IV SHARES. THE NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS' CLASS I SHARES WERE FIRST AVAILABLE ON MAY 7, 1999, CLASS II SHARES COMMENCED OPERATIONS ON JUNE 5, 2003, CLASS III SHARES ON SEPTEMBER 30, 2005, AND CLASS IV SHARES ON AUGUST 31, 2005. THE HISTORICAL PERFORMANCE OF CLASS II, III, AND IV SHARES INCLUDES THE PERFORMANCE OF CLASS I SHARES FOR PERIODS PRIOR TO THE INCEPTION OF THE RELEVANT CLASS. AVERAGE ANNUAL TOTAL RETURN FIGURES INCLUDE CHANGES IN PRINCIPAL VALUE, REINVESTED DIVIDENDS, AND CAPITAL GAIN DISTRIBUTIONS. THE TOTAL RETURNS SHOWN ABOVE DO NOT SHOW THE EFFECTS OF INCOME TAXES ON AN INDIVIDUAL'S INVESTMENT. IN MOST CASES, TAXES MAY REDUCE YOUR ACTUAL INVESTMENT RETURNS ON INCOME OR GAINS PAID BY THE FUND OR ANY GAINS YOU MAY REALIZE IF YOU SELL YOUR SHARES. PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS. THE CITIGROUP WORLD X-U.S. EXTENDED MARKET INDEX ("EMI") IS A WORLD MARKET CAPITALIZATION WEIGHTED INDEX MEASURING CAPITAL APPRECIATION EXCLUDING THE U.S. THE EMI INDEX IS COMPRISED OF COMPANIES IN THE BOTTOM 20% OF ANY GIVEN COUNTRY'S AVAILABLE MARKET CAPITALIZATION. MAJOR CORPORATE EVENTS SUCH AS EXTRAORDINARY DIVIDENDS, SPIN-OFFS, SCRIP ISSUES IN OTHER SECURITIES, AND SHARES REPURCHASED VIA TENDER OFFERS ARE ACCOUNTED FOR IN THE CALCULATION. THE CITIGROUP WORLD EMI XUS GROWTH INDEX COVERS ONLY THOSE COMPANIES IN EACH COUNTRY THAT EXHIBIT GROWTH CHARACTERISTICS RELATIVE TO OTHER COMPANIES IN THE SAME COUNTRY ACCORDING TO A MULTIVARIABLE FORMULA. THE INDEXES ARE UNMANAGED AND DO NOT INCLUDE NON-EXTRAORDINARY DIVIDENDS. THE UNMANAGED INDEXES DIFFER FROM THE FUND IN COMPOSITION, DO NOT PAY MANAGEMENT FEES OR EXPENSES, AND INCLUDE REINVESTED DIVIDENDS. ONE CAN NOT INVEST DIRECTLY IN AN INDEX. SINCE MARKETS CAN GO DOWN AS WELL AS UP, INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET CONDITIONS, CURRENCY VOLATILITY AND THE SOCIAL, ECONOMIC AND POLITICAL CLIMATES OF COUNTRIES WHERE THE FUND INVESTS. YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. 37 <Page> SCHEDULE OF INVESTMENTS As of March 31, 2007 NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK - 98.9% AUSTRALIA - 2.3% Incitec Pivot, Ltd. 64,004 $ 2,559,428 Paladin Resources, Ltd.* 394,622 3,101,879 ------------ 5,661,307 ------------ BELGIUM - 2.4% EVS Broadcast Equipment SA 37,067 2,354,588 Umicore## 20,835 3,691,463 ------------ 6,046,051 ------------ CANADA - 3.1% AUR Resources, Inc. 60,300 1,270,134 Gildan Activewear, Inc. Cl. A* 70,800 4,173,189 HudBay Minerals, Inc.* 66,000 1,163,646 Inmet Mining Corp. 22,900 1,260,478 ------------ 7,867,447 ------------ DENMARK - 1.1% Carlsberg AS Cl. B## 25,050 2,716,405 ------------ FINLAND - 1.4% Outokumpu Technology 92,389 3,428,783 ------------ FRANCE - 5.5% Compagnie Generale de Geophysique-Veritas* 16,299 3,406,337 Neopost SA 18,449 2,627,747 Nexans SA 49,274 6,493,517 Teleperformance## 28,987 1,262,150 ------------ 13,789,751 ------------ GERMANY - 12.1% Aareal Bank AG## 36,600 1,763,667 Balda AG 236,212 3,285,831 Bauer AG* 66,599 4,166,703 Ersol Solar Energy AG* 16,048 1,178,558 IKB Deutsche Industriebank AG## 30,622 1,216,760 IVG Immobilien AG## 77,245 3,686,265 Morphosys AG* 32,752 2,370,850 QSC AG*,## 320,117 2,514,130 SGL Carbon AG* 102,492 3,354,868 Stada Arzneimittel AG 92,065 5,570,003 Sunways AG*,## 112,316 1,405,389 ------------ 30,513,024 ------------ GREECE - 1.0% Jumbo SA 85,306 2,632,207 ------------ HONG KONG - 1.0% Melco International Development 1,372,000 2,468,608 ------------ INDONESIA - 2.2% Bakrie and Brothers Tbk PT* 85,802,000 1,758,353 Ciputra Surya Tbk PT 12,305,500 1,254,150 United Tractors Tbk PT 3,183,500 2,581,688 ------------ 5,594,191 ------------ IRELAND - 2.4% Kingspan Group PLC 232,027 6,130,925 ------------ ITALY - 5.1% Azimut Holding SpA## 207,852 3,057,338 Buzzi Unicem SpA 57,248 1,734,441 Digital Multimedia Technologies SpA* 57,263 5,508,065 Mariella Burani SpA 84,649 2,547,706 ------------ 12,847,550 ------------ JAPAN - 19.5% Haseko Corp.* 915,100 3,332,568 Inui Steamship Co., Ltd. 390,100 2,738,877 Japan General Estate Co, Ltd. 77,800 1,996,477 Japan Steel Works, Ltd. 499,000 5,988,423 Joint Corp. 60,400 2,291,696 KK DaVinci Advisors* 2,300 2,454,372 Mitsumi Electric Co, Ltd. 110,100 3,636,587 Monex Beans Holdings, Inc. 2,566 2,368,783 Osaka Securities Exchange Co, Ltd. 434 2,495,753 Parco Co, Ltd. 165,500 2,102,477 Sumco Techxiv Corp. 76,400 3,215,820 Taiheiyo Cement Corp. 465,500 2,053,995 Takeuchi Manufacturing Co, Ltd. 47,700 1,983,544 Toho Titanium Co, Ltd. 51,700 2,526,437 Tokuyama Corp. 240,800 4,201,126 Tokyu Land Corp.## 306,400 3,485,032 Toyota Boshoku Corp. 101,300 2,393,623 ------------ 49,265,590 ------------ MEXICO - 2.1% Consorcio ARA SAB de CV 1,490,400 2,577,053 Grupo Famsa SA* 478,900 2,675,560 ------------ 5,252,613 ------------ NETHERLANDS - 3.6% SBM Offshore NV## 71,457 2,567,288 Unit 4 Agresso NV* 101,470 2,535,297 USG People NV## 96,221 3,955,252 ------------ 9,057,837 ------------ NORWAY - 1.8% Aker Yards AS 144,700 2,489,065 Golden Ocean Group, Ltd.## 1,007,000 2,020,896 ------------ 4,509,961 ------------ REPUBLIC OF CHINA - 3.4% China Hongxing Sports, Ltd. 1,938,000 4,492,729 Harbin Power Equipment## 2,482,000 2,798,275 Parkson Retail Group, Ltd.## 197,500 1,288,991 ------------ 8,579,995 ------------ SINGAPORE - 2.7% Ho Bee Investment, Ltd. 1,349,000 2,007,864 Midas Holdings, Ltd. 846,000 936,038 Straits Asia Resources, Ltd. 3,585,000 2,455,479 UOL Group, Ltd. 440,000 1,477,871 ------------ 6,877,252 ------------ SOUTH AFRICA - 1.0% Aquarius Platinum, Ltd. 76,512 2,455,093 ------------ SPAIN - 2.8% Grifols SA* 447,289 7,156,813 ------------ SWEDEN - 7.9% Alfa Laval AB 82,100 4,236,000 Lindab International AB 166,800 3,696,840 Meda AB Cl. A 64,800 1,985,719 Modern Times Group AB Cl. B 33,500 1,950,478 Nobia AB## 60,750 2,476,376 Rezidor Hotel Group AB 283,400 2,261,997 SSAB Svenskt Stal AB Cl. A## 105,100 3,228,154 ------------ 19,835,564 ------------ SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 38 <Page> NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- SWITZERLAND - 3.5% Forbo Holding AG*,## 3,266 $ 1,439,309 Panalpina Welttransport Holding AG 11,869 1,976,546 Phonak Holding AG 70,385 5,361,898 ------------ 8,777,753 ------------ UNITED KINGDOM - 11.0% Aberdeen Asset Management PLC 1,062,032 4,530,561 ARM Holdings PLC 486,172 1,277,762 Big Yellow Group PLC 241,690 3,168,949 BlueBay Asset Management* 160,941 1,294,213 Charter PLC 133,878 2,330,412 Henderson Group PLC 930,632 2,674,057 Homeserve PLC 74,626 2,609,736 Michael Page International PLC 350,596 3,682,320 Raymarine PLC 277,883 2,503,031 RPS Group PLC 577,606 3,684,717 ------------ 27,755,758 - -------------------------------------------------------------------------------- Total Common Stock (Cost: $187,426,648) 249,220,478 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT - -------------------------------------------------------------------------------- SHORT TERM INVESTMENTS - 13.4% MONEY MARKET FUNDS - 12.8% Boston Global Investment Trust - Enhanced Portfolio, 5.290%** $32,338,758 32,338,758 ------------ TIME DEPOSITS - 0.6% Citibank Nassau 4.690%, 04/02/07 1,558,314 1,558,314 - ------------------------------------------------------------------------------- Total Short Term Investments (Cost: $33,897,072) 33,897,072 - ------------------------------------------------------------------------------- Total Investments - 112.3% (Cost: $221,323,720) 283,117,550 - ------------------------------------------------------------------------------- Liabilities in Excess of Other Assets - (12.3%) (31,021,504) - ------------------------------------------------------------------------------- Net Assets - 100.0% $252,096,046 - ------------------------------------------------------------------------------- * NON-INCOME PRODUCING SECURITIES. ** ALL OF THE SECURITY IS PURCHASED WITH CASH COLLATERAL PROCEEDS FROM SECURITIES LOANS. ## ALL OR A PORTION OF THE FUND'S HOLDINGS IN THIS SECURITY WAS ON LOAN AS OF 03/31/07. SCHEDULE OF INVESTMENTS BY SECTOR as of March 31, 2007 PERCENT OF SECTOR NET ASSETS - -------------------------------------------------------------------------------- Industrial 29.3% Consumer, Non-cyclical 16.5 Consumer, Cyclical 14.1 Financial 13.2 Basic Materials 11.8 Communications 5.4 Technology 3.8 Energy 3.8 Diversified 1.0 Short Term Investments 13.4 - -------------------------------------------------------------------------------- Total Investments 112.3 Liabilities in excess of other assets (12.3) - -------------------------------------------------------------------------------- Net Assets 100.0% ================================================================================ SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 39 <Page> EMERGING MARKETS FUND MANAGEMENT TEAM: JOSEPH DEVINE, Portfolio Manager; VINCENT WILLYARD, CFA, Portfolio Manager; STEPHEN DERKASH, Analyst; BARRY KENDALL, Analyst CHIEF INVESTMENT OFFICER: HORACIO A. VALEIRAS, CFA GOAL: The Emerging Markets Fund seeks to maximize long-term capital appreciation primarily through investments in countries with emerging securities markets. These markets have yet to reach a level of maturity associated with the developed foreign stock markets and are, in the opinion of the Investment Adviser, less sophisticated than more developed markets in terms of participation, analyst coverage, liquidity and regulation. MARKET OVERVIEW: From August 18 (the inception date of the Fund) through March 31, 2007, emerging market equities delivered impressive increases. Gains were concentrated in the fourth quarter of 2006, a period in which stocks in several markets reached all-time highs, including Mexico and India. Several factors created a favorable backdrop for stocks in developing countries. Economic activity was brisk, with the global economy expanding by 5.4% in 2006. Oil prices started the period above $70 a barrel but fell to $49.90 in January on a surge in crude inventories and mild winter weather in the United States. And despite spiking up late in the period, market volatility was generally low, whetting investors' appetites for riskier assets. Among the larger markets, China was the best-performing country. Economic and earnings growth in China remained robust, driven by infrastructure and consumer spending. In 2006, investment in fixed assets rose 24.5%, and retail sales grew 13.7% in nominal terms. Among the smaller markets, the Philippines turned in some of the highest returns. The country's stock market benefited from political stability, improving macroeconomic fundamentals and strong performance at the company level. PERFORMANCE: The Fund's Class I shares rose 28.65% from the August 18, 2006 inception of the Fund through March 31, 2007. The MSCI Emerging Markets Index gained 20.84% during the same time. PORTFOLIO SPECIFICS: Outperformance of the index was largely due to stock selection, which was positive in most countries and sectors. Stock selection was particularly strong in China, South Korea and the consumer discretionary and information technology sectors. Two of the Fund's best-performing holdings were China Hongxing Sports, an athletic shoe manufacturer, and Grupo Famsa, a retailer based in Mexico. China Hongxing Sports continued to benefit from rising Chinese consumption and a favorable outlook for the shoe industry. Grupo Famsa also benefited from strong domestic demand, as a homebuilding boom in Mexico has fueled sales of furniture, appliances and other household goods that the company sells. A lack of exposure to South Korea-based Samsung Electronics was another source of value added. Areas of relative weakness included an underweight in telecommunication services. In our view, the sector is still facing intense competition and pricing pressure, and we have identified what we believe to be better opportunities elsewhere. MARKET OUTLOOK: Over the near term, we remain cautiously optimistic for emerging market equities. After such strong performance, valuations are high in some cases, which may lead to further market volatility. That said, longer-term positives include: - Solid country fundamentals, with the majority of the world's budget and fiscal surpluses in developing nations - Generally positive outlook for earnings growth We are particularly excited about the growth prospects of many smaller industrial and consumer-oriented companies that are less dependent on global cyclical demand and more dependent on domestic demand. We are actively pursuing these types of opportunities for the Fund. COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN EMERGING MARKETS FUND CLASS I AND II SHARES WITH THE MSCI EM INDEX. [CHART] <Table> <Caption> EMERGING MARKETS FUND CLASS I SHARES MSCI EM INDEX ------------------- ------------- <S> <C> <C> 8/18/2006 $250,000 $250,000 8/31/2006 $252,250 $248,850 9/30/2006 $250,989 $250,940 10/31/2006 $266,249 $262,860 11/30/2006 $283,236 $282,443 12/31/2006 $298,219 $295,181 1/31/2007 $301,738 $292,111 2/28/2007 $304,755 $290,417 3/31/2007 $321,608 $302,092 </Table> Annualized Total Returns As of 3/31/2007 SINCE INCEPTION - ----------------------------------------- Emerging Markets Fund Class I 28.65% - ----------------------------------------- MSCI EM Index 20.84% - ----------------------------------------- 40 <Page> [CHART] <Table> <Caption> EMERGING MARKETS FUND CLASS II SHARES MSCI EM INDEX -------------------- ------------- <S> <C> <C> 8/18/2006 $250,000 $250,000 8/31/2006 $252,250 $248,850 9/30/2006 $250,989 $250,940 10/31/2006 $266,249 $262,860 11/30/2006 $283,236 $282,443 12/31/2006 $298,219 $295,181 1/31/2007 $301,738 $292,111 2/28/2007 $304,755 $290,417 3/31/2007 $321,608 $302,092 </Table> Annualized Total Returns As of 3/31/2007 SINCE INCEPTION - ------------------------------------------ Emerging Markets Fund Class II 28.63% - ------------------------------------------ MSCI EM Index 20.84% - ------------------------------------------ THE GRAPHS ABOVE SHOW THE VALUE OF A HYPOTHETICAL $250,000 INVESTMENT IN THE FUND'S CLASS I AND II SHARES COMPARED WITH THE MORGAN STANLEY CAPITAL INTERNATIONAL EMERGING MARKETS INDEX ("MSCI EM") OVER THE PERIODS INDICATED. AVERAGE ANNUAL TOTAL RETURN FIGURES INCLUDE CHANGES IN PRINCIPAL VALUE, REINVESTED DIVIDENDS, AND CAPITAL GAIN DISTRIBUTIONS. THE TOTAL RETURNS SHOWN ABOVE DO NOT SHOW THE EFFECTS OF INCOME TAXES ON AN INDIVIDUAL'S INVESTMENT. IN MOST CASES, TAXES MAY REDUCE YOUR ACTUAL INVESTMENT RETURNS ON INCOME OR GAINS PAID BY THE FUND OR ANY GAINS YOU MAY REALIZE IF YOU SELL YOUR SHARES. PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS. THE MSCI EM INDEX IS A MARKET CAPITALIZATION WEIGHTED INDEX COMPOSED OF OVER 800 COMPANIES REPRESENTATIVE OF THE MARKET STRUCTURE OF EMERGING COUNTRIES IN EUROPE, LATIN AMERICA, AFRICA, MIDDLE EAST AND ASIA. THE MSCI EM INDEX EXCLUDES CLOSED MARKETS AND THOSE SHARES IN OTHERWISE FREE MARKETS THAT ARE NOT PURCHASABLE BY FOREIGNERS. THE MSCI EM GROWTH INDEX IS AN UNMANAGED INDEX CONSISTING OF THAT 50% OF THE MSCI EM WITH THE HIGHEST PRICE/BOOK VALUE (P/BV) RATIO. INDEX WEIGHTINGS REPRESENT THE RELATIVE CAPITALIZATIONS OF THE MAJOR OVERSEAS MARKETS INCLUDED IN THE INDEX ON A U.S. DOLLAR ADJUSTED BASIS. THE UNMANAGED INDEX DIFFERS FROM THE FUND IN COMPOSITION, DOES NOT PAY MANAGEMENT FEES OR EXPENSES AND INCLUDES REINVESTED DIVIDENDS. ONE CANNOT INVEST DIRECTLY IN AN INDEX. SINCE MARKETS CAN GO DOWN AS WELL AS UP, INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET CONDITIONS, CURRENCY VOLATILITY AND THE SOCIAL, ECONOMIC AND POLITICAL CLIMATES OF COUNTRIES WHERE THE FUND INVESTS. YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. 41 <Page> SCHEDULE OF INVESTMENTS As of March 31, 2007 NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK - 95.8% ARGENTINA - 0.5% Tenaris SA - ADR 4,000 $ 183,600 ---------- BRAZIL - 10.0% All America Latina Logistica SA 114,500 1,397,952 Cia Vale do Rio Doce - ADR* 6,400 236,736 Cyrela Brazil Realty SA* 21,400 199,984 Gerdau SA - ADR 17,320 314,012 Localiza Rent A CAR 13,300 409,856 Lojas Renner SA 26,700 348,431 Petroleo Brasileiro SA - ADR 4,650 462,721 Unibanco - Uniao de Bancos Brasileiros SA - GDR* 6,100 533,506 ---------- 3,903,198 ---------- EGYPT - 1.1% Orascom Construction Industries - GDR 2,127 215,890 Orascom Telecom Holding SAE 3,008 208,586 ---------- 424,476 ---------- HONG KONG - 3.1% Foxconn International Holdings, Ltd.* 47,000 144,352 Hengan International Group Co, Ltd. 218,000 638,858 Hopson Development Holdings, Ltd. 62,000 155,669 Shun Tak Holdings, Ltd. 216,000 288,028 ---------- 1,226,907 ---------- INDIA - 3.9% ITC, Ltd. - GDR 144A# 96,300 333,198 Reliance Industries, Ltd. - GDR 144A# 9,031 567,147 Satyam Computer Services, Ltd. - ADR 27,000 612,900 ---------- 1,513,245 ---------- INDONESIA - 5.5% Bakrie and Brothers Tbk PT* 17,213,000 352,749 Bank Niaga Tbk PT 4,484,500 363,675 Ciputra Surya Tbk PT 2,474,500 252,196 Kawasan Industri Jababeka Tbk PT 19,573,500 471,909 Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 465,000 315,945 United Tractors Tbk PT 490,500 397,775 ---------- 2,154,249 ---------- ISRAEL - 0.9% Nice Systems, Ltd. - ADR* 10,340 351,767 ---------- MALAYSIA - 5.3% Bumiputra-Commerce Holdings Berhad 252,500 726,645 IOI Corp. Berhad 68,000 434,649 Maxis Communications Berhad 109,200 375,844 Samling Global, Ltd.* 280,000 101,763 Steppe Cement, Ltd.* 39,927 237,673 UEM World Berhad 158,600 205,503 ---------- 2,082,077 ---------- MEXICO - 8.2% America Movil SA de CV - ADR 16,000 764,640 Cemex SAB de CV - ADR 5,100 167,025 Consorcio ARA SAB de CV 268,000 463,399 Corp. GEO SAB de CV Cl. B* 68,500 399,373 Fomento Economico Mexicano SAB de CV - ADR 1,800 198,702 Grupo Famsa SA* 164,200 917,367 Industrias Penoles SA de CV 27,100 315,016 ---------- 3,225,522 ---------- PERU - 2.9% CrediCorp., Ltd. 13,820 673,449 Southern Copper Corp. 6,300 451,458 ---------- 1,124,907 ---------- PHILIPPINES - 5.1% Aboitiz Equity Ventures, Inc. 1,109,000 190,771 Banco de Oro Universal Bank 314,000 390,466 Bank of the Philippine Islands 291,700 395,987 Filinvest Land, Inc.* 6,064,900 211,172 Megaworld Corp. 5,996,000 416,303 Robinsons Land Corp. 928,500 375,249 ---------- 1,979,948 ---------- POLAND - 1.2% Globe Trade Centre SA* 27,666 491,361 ---------- REPUBLIC OF CHINA - 15.6% AAC Acoustic Technology Holdings, Inc.* 98,000 92,930 Celestial Nutrifoods, Ltd. 380,000 392,914 Century Sunshine Ecological Technology Holdings, Ltd. 1,565,000 374,515 China Communications Construction Co., Ltd.* 773,000 931,844 China Hongxing Sports, Ltd. 520,000 1,205,479 China Infrastructure Machinery Holdings, Ltd. 236,000 462,683 China Shenhua Energy Co, Ltd. 136,400 329,905 FibreChem Technologies, Ltd. 182,000 251,712 Guangzhou R&F Properties Co, Ltd. 67,200 149,290 Industrial & Commercial Bank of China* 946,000 530,247 Nine Dragons Paper Holdings, Ltd. 411,600 861,730 Tencent Holdings, Ltd. 52,000 169,690 Tianjin Development Hldgs 478,000 362,740 ---------- 6,115,679 ---------- RUSSIAN FEDERATION - 7.2% Evraz Group SA - GDR 25,430 851,905 LUKOIL - ADR 7,880 679,256 OAO Gazprom - ADR 12,922 541,432 Unified Energy System - GDR 5,505 749,983 ---------- 2,822,576 ---------- SINGAPORE - 3.5% Jiutian Chemical Group, Ltd. 229,000 328,780 Midas Holdings, Ltd. 350,000 387,250 Straits Asia Resources, Ltd. 555,000 380,137 Yanlord Land Group, Ltd. 169,000 258,219 ---------- 1,354,386 ---------- SOUTH AFRICA - 6.8% Ellerine Holdings, Ltd.* 26,226 296,523 Exxaro Resources, Ltd. 34,602 312,503 Impala Platinum Holdings, Ltd. 17,737 557,630 Kumba Iron Ore, Ltd. 17,708 363,804 Naspers, Ltd. Cl. N 15,401 372,682 Sasol, Ltd. 5,774 192,706 Wilson Bayly Holmes-Ovcon, Ltd. 47,679 577,144 ---------- 2,672,992 ---------- SOUTH KOREA - 7.7% Hynix Semiconductor, Inc.* 15,770 543,215 Hyundai Engineering & Construction Co, Ltd.* 5,200 280,289 Hyunjin Materials Co, Ltd. 2,814 70,305 Industrial Bank Of Korea 20,110 403,012 SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 42 <Page> NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- Korea Investment Holdings Co, Ltd. 8,250 $ 434,164 Korea Zinc Co, Ltd. 3,010 321,609 NHN Corp. 1,583 232,250 STX Pan Ocean Co, Ltd. 871,000 734,247 ---------- 3,019,091 ---------- TAIWAN - 5.7% Advanced Semiconductor Engineering, Inc. 7,000 8,303 Advanced Semiconductor Engineering, Inc. - ADR 64,984 387,305 ASE Test, Ltd.* 38,800 441,544 Asustek Computer, Inc. 3,000 7,071 Asustek Computer, Inc. - GDR 145,648 334,990 Catcher Technology Co, Ltd. 1,000 7,857 Cathay Financial Holding Co, Ltd. 4,000 8,304 Cathay Financial Holding Co, Ltd. - GDR 21,725 446,449 Far Eastern Textile Co, Ltd. 5,000 4,306 Siliconware Precision Industries Co. 8,000 14,989 Siliconware Precision Industries Co. - ADR 59,132 580,085 ---------- 2,241,203 ---------- UNITED STATES - 1.6% NII Holdings, Inc.* 8,550 634,239 - -------------------------------------------------------------------------------- Total Common Stock (Cost: $36,749,792) 37,521,423 - -------------------------------------------------------------------------------- EQUITY-LINKED SECURITIES - 2.6% INDIA - 2.6% Merrill Lynch ACC, Ltd.* - 7/12/11 9,692 163,814 Merrill Lynch Reliance Communications, Ltd.* - 01/25/11 42,503 410,707 UBS AG Sterlite Industries, Ltd. - 6/18/07 41,065 442,352 ---------- 1,016,873 - -------------------------------------------------------------------------------- Total Equity-Linked Securities (Cost: $1,035,621) 1,016,873 - -------------------------------------------------------------------------------- PREFERRED STOCK - 0.5% BRAZIL - 0.5% Lojas Americanas SA* (Cost: $208,608) 3,400,000 216,031 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT - -------------------------------------------------------------------------------- SHORT TERM INVESTMENTS - 1.4% TIME DEPOSITS - 1.4% Citibank Nassau 4.690%, 04/02/07 (Cost: $551,655) $551,655 551,655 - ------------------------------------------------------------------------------- Total Investments - 100.3% (Cost: $38,545,676) 39,305,982 - ------------------------------------------------------------------------------- Liabilities in Excess of Other Assets - (0.3%) (130,827) - ------------------------------------------------------------------------------- Net Assets - 100.0% $39,175,155 - ------------------------------------------------------------------------------- * NON-INCOME PRODUCING SECURITIES. ADR - AMERICAN DEPOSITORY RECEIPT GDR - GLOBAL DEPOSITORY RECEIPT # 144A SECURITY. CERTAIN CONDITION FOR PUBLIC SALE MAY EXIST. THE TOTAL MARKET VALUE OF 144A SECURITIES OWNED AT MARCH 31, 2007 WAS $900,345 OR 2.30% OF NET ASSETS. SCHEDULE OF INVESTMENTS BY SECTOR as of March 31, 2007 PERCENT OF SECTOR NET ASSETS - -------------------------------------------------------------------------------- Financial 20.4% Industrial 17.5 Basic Materials 15.1 Consumer, Cyclical 10.3 Communications 9.4 Energy 8.8 Consumer, Non-cyclical 7.0 Technology 6.6 Diversified 1.9 Utilities 1.9 Short Term Investments 1.4 - -------------------------------------------------------------------------------- Total Investments 100.3 Liabilities in excess of other assets (0.3) - -------------------------------------------------------------------------------- Net Assets 100.0% ================================================================================ SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 43 <Page> INTERNATIONAL SYSTEMATIC FUND MANAGEMENT TEAM: HORACIO A. VALEIRAS, CFA, Portfolio Manager and Chief Investment Officer; KUNAL GHOSH, Portfolio Manager; STEVEN TAEL, PH.D., Portfolio Manager GOAL: The International Systematic Fund seeks to maximize long-term capital appreciation through investments primarily in companies located in the developed countries represented in the MSCI EAFE Index. The Investment Adviser identifies investment opportunities using a quantitative model that integrates stock, sector, country and currency selection decisions. MARKET OVERVIEW: Equities in developed non-U.S. countries registered gains from April 1, 2006 to March 31, 2007. The U.S. dollar weakened against a broad basket of currencies, nearly doubling returns for U.S.-based investors. Key factors influencing stock prices included: - Decline in the price of oil to $49.90 a barrel in January after peaking at $78.40 in July - Higher interest rates from central banks worldwide, including the Bank of Japan which raised rates for the first time in many years - Generally favorable backdrop of economic and earnings growth Solid, month-to-month gains throughout much of the period were flanked by periods of extreme volatility. In the spring of 2006, international equity markets tumbled as investors worldwide speculated about when the U.S. monetary tightening cycle would end. In February 2007, an 8.8% drop in the Shanghai Composite Index triggered a global sell-off in equities. The period ended on a positive note, however, with the MSCI EAFE Index rebounding to finish March in positive territory. Markets in all countries within the MSCI EAFE Index advanced in local currency terms, with Singapore, Spain and Australia producing some of the highest returns. PERFORMANCE: During the twelve months ended March 31, 2007, the Fund's Class I shares gained 19.04% and the MSCI EAFE Index rose 20.69%. PORTFOLIO SPECIFICS: The Fund generated a strong positive return, with stocks in most countries and all sectors of investment posting gains. On a comparative basis, results modestly trailed the rapid rise in the benchmark. Major areas of relative weakness were stock selection in the United Kingdom and the consumer discretionary and health care sectors. Examples of stocks that underperformed were two manufacturers of automotive components that were hurt by increasing competitive pressures globally. On the plus side, stock selection in Japan and the information technology and industrials sectors has a significant positive impact on results versus the index. Top-performing holdings included Finland-based Outokumpu, a stainless steel manufacturer, and France-based Vallourec, a steel tube producer. Both companies benefited from strong demand for raw steel and value-added steel products. Consistent with our risk-controlled approach to portfolio construction, the Fund remained well diversified across countries and sectors throughout the period. Based on our model's bottom-up stock selection recommendations, at March 31, the Fund's largest overweights versus the MSCI EAFE Index were in Japan (+4.8%) and the information technology sector (+4.7%). The largest underweights were in Germany (-3.5%) and the energy sector (-3.5%). MARKET OUTLOOK: The Fund's investment process evaluates opportunities on a relative basis and is required to remain fully invested. The Fund's investment process neither utilizes, nor results in, a forecast or outlook on the overall market. Rather, the Fund strives to outperform the EAFE Index in both up and down markets. By applying our disciplined, bottom-up approach in all investment environments, we believe the Fund will generate consistently strong returns over time. COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN INTERNATIONAL SYSTEMATIC FUND CLASS I, II AND III SHARES WITH THE MSCI EAFE INDEX. [CHART] <Table> <Caption> INTERNATIONAL SYSTEMATIC FUND CLASS I SHARES MSCI EAFE INDEX ------------------------ --------------- <S> <C> <C> 7/6/2005 $250,000 $250,000 7/31/2005 $262,750 $258,350 8/31/2005 $272,498 $264,964 9/30/2005 $290,755 $276,808 10/31/2005 $280,492 $268,753 11/30/2005 $289,748 $275,391 12/31/2005 $305,713 $288,224 1/31/2006 $332,341 $305,950 2/28/2006 $333,371 $305,338 3/31/2006 $347,306 $315,536 4/30/2006 $369,360 $330,840 5/31/2006 $355,176 $318,400 6/30/2006 $351,873 $318,527 7/31/2006 $355,181 $321,713 8/31/2006 $363,812 $330,656 9/30/2006 $362,538 $331,218 10/31/2006 $378,780 $344,136 11/30/2006 $387,416 $354,529 12/31/2006 $401,596 $365,696 1/31/2007 $403,403 $368,183 2/28/2007 $404,936 $371,202 3/31/2007 $413,197 $380,854 </Table> Annualized Total Returns As of 3/31/07 SINCE 1 YEAR INCEPTION - ---------------------------------------------------------- International Systematic Fund Class I 19.04% 33.65% - ---------------------------------------------------------- MSCI EAFE Index 20.69% 27.46% - ---------------------------------------------------------- 44 <Page> [CHART] <Table> <Caption> INTERNATIONAL SYSTEMATIC FUND CLASS II SHARES MSCI EAFE INDEX ------------------------ --------------- <S> <C> <C> 7/6/2005 $250,000 $250,000 7/31/2005 $262,750 $258,350 8/31/2005 $272,498 $264,964 9/30/2005 $290,755 $276,808 10/31/2005 $280,492 $268,753 11/30/2005 $289,748 $275,391 12/31/2005 $305,713 $288,224 1/31/2006 $332,341 $305,950 2/28/2006 $333,371 $305,338 3/31/2006 $347,306 $315,536 4/30/2006 $369,360 $330,840 5/31/2006 $355,176 $318,400 6/30/2006 $351,873 $318,527 7/31/2006 $355,181 $321,713 8/31/2006 $363,812 $330,656 9/30/2006 $362,538 $331,218 10/31/2006 $378,780 $344,136 11/30/2006 $387,416 $354,529 12/31/2006 $401,596 $365,696 1/31/2007 $403,644 $368,183 2/28/2007 $404,936 $371,202 3/31/2007 $412,953 $380,854 </Table> Annualized Total Returns As of 3/31/07 SINCE 1 YEAR INCEPTION - ----------------------------------------------------------- International Systematic Fund Class II 19.90% 33.60% - ----------------------------------------------------------- MSCI EAFE Index 20.69% 27.46% - ----------------------------------------------------------- [CHART] <Table> <Caption> INTERNATIONAL SYSTEMATIC FUND CLASS III SHARES MSCI EAFE INDEX ------------------------ --------------- <S> <C> <C> 7/6/2005 $250,000 $250,000 7/31/2005 $262,750 $258,350 8/31/2005 $272,498 $264,964 9/30/2005 $290,755 $276,808 10/31/2005 $280,492 $268,753 11/30/2005 $289,748 $275,391 12/31/2005 $305,713 $288,224 1/31/2006 $332,341 $305,950 2/28/2006 $333,371 $305,338 3/31/2006 $347,306 $315,536 4/30/2006 $369,360 $330,840 5/31/2006 $355,176 $318,400 6/30/2006 $351,873 $318,527 7/31/2006 $355,181 $321,713 8/31/2006 $363,812 $330,656 9/30/2006 $362,538 $331,218 10/31/2006 $378,780 $344,136 11/30/2006 $387,416 $354,529 12/31/2006 $401,596 $365,696 1/31/2007 $403,644 $368,183 2/28/2007 $405,178 $371,202 3/31/2007 $413,160 $380,854 </Table> Annualized Total Returns As of 3/31/07 SINCE 1 YEAR INCEPTION - ------------------------------------------------------------ International Systematic Fund Class III 18.96% 33.61% - ------------------------------------------------------------ MSCI EAFE Index 20.69% 27.46% - ------------------------------------------------------------ THE GRAPHS ABOVE SHOW THE VALUE OF A HYPOTHETICAL $250,000 INVESTMENT IN THE FUND'S CLASS I, II AND III SHARES WITH THE MSCI EAFE INDEX FOR THE PERIODS INDICATED. AVERAGE ANNUAL TOTAL RETURN FIGURES INCLUDE CHANGES IN PRINCIPAL VALUE, REINVESTED DIVIDENDS, AND CAPITAL GAIN DISTRIBUTIONS. THE CLASS I SHARES COMMENCED OPERATIONS ON JULY 6, 2005 AND CLASS II AND II SHARES ON DECEMBER 22, 2006. THE HISTORICAL PERFORMANCE OF CLASS II AND III SHARES INCLUDES THE PERFORMANCE OF CLASS I SHARES FOR THE PERIODS PRIOR TO THE INCEPTION OF CLASS II AND III SHARES. THE TOTAL RETURNS SHOWN ABOVE DO NOT SHOW THE EFFECTS OF INCOME TAXES ON AN INDIVIDUALS' INVESTMENT. IN MOST CASES, TAXES MAY REDUCE YOUR ACTUAL INVESTMENT RETURNS ON INCOME OR GAINS PAID BY THE FUND OR ANY GAINS YOU MAY REALIZE IF YOU SELL YOUR SHARES. PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS. THE MSCI EAFE INDEX IS AN UNMANAGED INDEX COMPRISED OF OVER 900 COMPANIES AND IS A GENERALLY ACCEPTED BENCHMARK FOR MAJOR OVERSEAS MARKETS. INDEX WEIGHTINGS REPRESENT THE RELATIVE CAPITALIZATIONS OF THE MAJOR OVERSEAS MARKETS INCLUDED IN THE INDEX ON A U.S. DOLLAR ADJUSTED BASIS. THE UNMANAGED INDEX DIFFERS FROM THE FUND IN COMPOSITION, DOES NOT PAY MANAGEMENT FEES OR EXPENSES AND INCLUDES REINVESTMENT DIVIDENDS. ONE CANNOT INVEST DIRECTLY IN AN INDEX. SINCE MARKETS CAN GO DOWN AS WELL AS UP, INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET CONDITIONS, CURRENCY VOLATILITY AND THE SOCIAL, ECONOMIC AND POLITICAL CLIMATES OF COUNTRIES WHERE THE FUND INVESTS. YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. 45 <Page> SCHEDULE OF INVESTMENTS As of March 31, 2007 NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK - 97.5% AUSTRALIA - 5.4% Australia & New Zealand Banking Group, Ltd. 7,137 $ 171,239 Commonwealth Bank of Australia 19,977 811,117 David Jones, Ltd. 26,722 98,223 Leighton Holdings, Ltd. 17,500 473,885 Oxiana, Ltd. 74,845 169,903 QBE Insurance Group, Ltd. 51,123 1,302,593 Toll Holdings, Ltd. 54,188 897,403 ----------- 3,924,363 ----------- BELGIUM - 1.1% InBev NV 11,085 797,551 ----------- DENMARK - 0.5% FLSmidth & Co. AS Cl. B 5,160 348,449 ----------- FINLAND - 4.3% Outokumpu OYJ 44,900 1,537,847 Sampo OYJ Cl. A 51,192 1,548,237 ----------- 3,086,084 ----------- FRANCE - 7.2% BNP Paribas 9,372 975,462 Neopost SA 1,301 185,305 Renault SA 10,902 1,270,543 Sanofi-Aventis 2,664 230,857 Societe Generale 10,053 1,731,236 Total SA 10,963 765,424 ----------- 5,158,827 ----------- GERMANY - 4.2% Deutsche Bank AG 13,616 1,827,719 Deutz AG* 25,357 380,407 Gildemeister AG 6,992 120,624 ThyssenKrupp AG 14,400 710,003 ----------- 3,038,753 ----------- HONG KONG - 1.8% Foxconn International Holdings, Ltd.* 175,400 538,708 Guoco Group, Ltd. 5,000 70,320 Hang Lung Properties, Ltd. 7,000 19,573 Hong Kong Aircraft Engineering Co., Ltd. 11,500 173,657 New World Development, Ltd. 17,000 38,550 Orient Overseas International, Ltd. 46,000 427,079 ----------- 1,267,887 ----------- ITALY - 5.8% Banco Popolare di Verona e Novara Scrl 8,291 256,600 Enel SpA 114,869 1,224,792 ENI SpA 16,736 542,695 Indesit Co SpA 18,895 402,433 Telecom Italia SpA 140,069 398,077 Unione Di Banche Italiane SCPA 44,775 1,320,190 ----------- 4,144,787 ----------- JAPAN - 27.4% Alpine Electronics, Inc. 15,800 283,684 Astellas Pharma, Inc. 3,900 167,792 Brother Industries, Ltd. 62,400 843,450 Canon, Inc. 14,200 761,262 FUJIFILM Holdings Corp. 25,500 1,040,949 Hitachi Metals, Ltd. 7,000 77,663 Itochu Corp. 107,700 1,065,370 JFE Holdings, Inc. 3,500 206,606 Koa Corp. 10,000 146,602 Marubeni Corp. 159,600 967,805 Mazda Motor Corp. 40,700 224,742 Minebea Co, Ltd. 63,300 391,353 Mitsui & Co., Ltd. 50,400 939,064 Mitsui Chemicals, Inc. 132,000 1,151,472 Nintendo Co, Ltd. 5,900 1,711,412 Nippon Chemi-Con Corp. 13,300 117,934 Nippon Electric Glass Co., Ltd. 19,650 343,657 Nippon Suisan Kaisha, Ltd. 81,700 533,480 Nippon Yusen KK 189,800 1,519,043 Nipro Corp. 11,700 227,906 Pacific Metals Co, Ltd. 23,600 328,791 Sony Corp. 13,900 705,154 Star Micronics Co, Ltd. 10,900 234,940 Sumitomo Corp. 70,800 1,271,192 Sumitomo Metal Industries, Ltd. 147,400 760,251 Suzuki Motor Corp. 20,400 528,681 Taiyo Yuden Co, Ltd. 15,800 328,512 The Nishi-Nippon City Bank, Ltd. 65,000 287,910 Toyota Motor Corp. 39,400 2,519,331 ----------- 19,686,008 ----------- NETHERLANDS - 2.3% Heineken NV 15,314 798,286 Royal KPN NV 17,064 264,854 USG People NV 14,721 605,120 ----------- 1,668,260 ----------- NORWAY - 0.6% Ementor ASA* 31,000 270,433 Telenor ASA 10,800 191,085 ----------- 461,518 ----------- REPUBLIC OF CHINA - 2.7% China Mobile, Ltd. 164,800 1,499,476 China Resources Power Holdings Co. 68,000 104,077 CNOOC, Ltd. 149,000 130,614 Lee & Man Paper Manufacturing, Ltd. 88,200 209,262 ----------- 1,943,429 ----------- SINGAPORE - 0.3% SembCorp. Marine, Ltd. 81,500 188,936 ----------- SPAIN - 2.4% Acerinox SA 17,991 456,223 ACS Actividades de Construccion y Servicios SA 9,066 548,500 Sacyr Vallehermoso SA 1,800 100,491 Sol Melia SA 14,600 349,826 Telefonica SA 13,870 304,640 ----------- 1,759,680 ----------- SWEDEN - 2.1% Alfa Laval AB 2,400 123,830 Nordea Bank AB 24,400 387,765 Skandinaviska Enskilda Banken AB 27,500 876,021 Swedbank AB 3,700 128,939 ----------- 1,516,555 ----------- SWITZERLAND - 9.6% Actelion, Ltd.* 1,565 363,111 Banque Cantonale Vaudoise 357 169,171 Logitech International SA* 29,883 826,140 Nestle SA 638 247,324 Novartis AG 16,577 946,442 OC Oerlikon Corp. AG* 1,601 967,839 Roche Holding AG 7,779 1,369,991 Swiss Reinsurance 19,038 1,731,011 SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 46 <Page> NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- Zurich Financial Services AG 1,126 $ 323,513 ----------- 6,944,542 ----------- UNITED KINGDOM - 19.8% Alliance & Leicester PLC 26,720 594,298 AstraZeneca PLC 12,035 645,357 Barclays PLC 88,205 1,247,336 Barrat Developments PLC 6,910 149,760 BT Group PLC 202,476 1,206,271 Firstgroup PLC 10,769 140,354 Game Group PLC 26,544 73,147 George Wimpey PLC 14,538 181,207 GlaxoSmithKline PLC 24,472 670,534 HBOS PLC 82,743 1,699,155 Kazakhmys PLC 21,741 499,334 Kesa Electricals PLC 22,474 149,429 Lloyds TSB Group PLC 26,636 292,558 Marks & Spencer Group PLC 66,638 884,188 Michael Page International PLC 7,908 83,058 Morrison Supermarkets 245,720 1,487,999 Next PLC 7,741 341,461 Reckitt Benckiser PLC 4,108 213,194 Royal Bank of Scotland Group PLC 43,085 1,676,575 Royal Dutch Shell PLC Cl. A 18,364 609,068 Royal Dutch Shell PLC Cl. B 11,935 395,841 Scottish Power PLC 39,205 615,158 Tate & Lyle PLC 12,350 139,280 Xstrata PLC 4,543 232,740 ----------- 14,227,302 - -------------------------------------------------------------------------------- Total Common Stock (Cost: $65,868,106) 70,162,931 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT - -------------------------------------------------------------------------------- SHORT TERM INVESTMENTS - 1.3% TIME DEPOSITS - 1.3% Citibank Nassau 4.690%, 04/02/07 (Cost: $893,033) $893,033 893,033 - -------------------------------------------------------------------------------- Total Investments - 98.8% (Cost: $66,761,139) 71,055,964 - -------------------------------------------------------------------------------- Other Assets in Excess of Liabilities - 1.2% 893,136 - -------------------------------------------------------------------------------- Net Assets - 100.0% $71,949,100 - -------------------------------------------------------------------------------- * NON-INCOME PRODUCING SECURITIES. SCHEDULE OF INVESTMENTS BY INDUSTRY as of March 31, 2007 PERCENT OF SECTOR NET ASSETS - -------------------------------------------------------------------------------- Financial 27.1% Consumer, Cyclical 19.6 Consumer, Non-cyclical 13.2 Industrial 12.4 Basic Materials 8.8 Communications 6.5 Technology 3.8 Energy 3.4 Utilities 2.7 Short Term Investments 1.3 - -------------------------------------------------------------------------------- Total Investments 98.8 Other assets in excess of liabilities 1.2 - -------------------------------------------------------------------------------- Net Assets 100.0% ================================================================================ SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 47 <Page> INTERNATIONAL ALL CAP GROWTH FUND MANAGEMENT TEAM: VINCENT WILLYARD, CFA, Portfolio Manager; JOSEPH DEVINE, Portfolio Manager; STEPHEN DERKASH, Analyst; BARRY KENDALL, Analyst CHIEF INVESTMENT OFFICER: HORACIO A. VALEIRAS, CFA GOAL: The International All Cap Growth Fund seeks to maximize long-term capital appreciation. In pursuing this goal, the Fund invests in a diversified portfolio of equity securities of companies primarily located in developed non-U.S. markets. MARKET OVERVIEW: Equity prices in developed non-U.S. countries, as measured by the MSCI EAFE Index, posted impressive gains during the fiscal year ended March 31, 2007. A decline in the U.S. dollar versus a broad basket of currencies substantially boosted returns for U.S.-based investors. European stock markets performed especially well, lifted by robust merger and acquisition activity and healthy economic expansion. Growth in the euro region accelerated to its fastest pace in six years, and U.K. GDP growth was also strong. The German economy was a particular bright spot in Europe. Spurred by record exports, German GDP grew 2.7% in 2006, after having been a drag on Eurozone growth for more than a decade. Both the European Central Bank and Bank of England raised interest rates in efforts to curb inflation. Gains were more moderate in Asia-Pacific markets, where Japanese stocks advanced but were notable laggards. The country's economic recovery hit a soft patch in the middle of 2006 but subsequently regained traction. Reports showed that Japanese GDP grew 5.5%, annualized, in the fourth quarter of 2006, fueled by gains in consumer spending and business investment. The Bank of Japan also tightened monetary policy, evidence of its confidence in the economic outlook. Elsewhere in the Asia-Pacific region, Australian shares hit an all-time high, buoyed by a six-year rally in commodity prices. PERFORMANCE: The Fund's Class I shares gained 15.75% between April 1, 2006 and March 31, 2007. The MSCI EAFE Growth Index, the Fund's primary benchmark, increased 18.11% and the MSCI EAFE Index rose 20.69%. PORTFOLIO SPECIFICS: This period's underperformance was driven by country and currency allocations relative to the indexes. These exposures are a function of our bottom-up stock selection process that searches for the best growth ideas outside the United States. The most unfavorable country allocations were underweights in the United Kingdom, Spain and Australia. In terms of currencies, the Fund was underweight the British pound, which strengthened versus the dollar, and had historically high weightings in emerging market currencies (up to 15% of total market value), which fell versus the dollar. Stock selection versus the MSCI EAFE Index was also modestly negative. However, stock selection added value relative to the MSCI EAFE Growth Index, the Fund's primary benchmark. Stock selection was, by far, the strongest in Japan, followed by Ireland and Switzerland. One of the portfolio's best-performing names was Japan-based SUMCO, a manufacturer of silicon wafers for the semiconductor industry. The company reported strong sales growth and announced plans for a large-scale capacity expansion. MARKET OUTLOOK: Over the remainder of 2007, we are cautiously optimistic in our outlook for international equities. There are risks facing the market, such as high core inflation in the United States which has made the Federal Reserve reluctant to cut interest rates. However, several positive factors may drive further gains, including: - Expectations for steady economic growth in Europe and moderate expansion in Japan - Efforts by policymakers in China and India to control spending and inflation in those countries Amid shifting market conditions, we remain focused on identifying fundamentally strong companies with exceptional growth prospects for the Fund. COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN INTERNATIONAL ALL CAP GROWTH FUND CLASS I SHARES WITH THE MSCI EAFE GROWTH INDEX AND MSCI EAFE INDEX. [CHART] <Table> <Caption> INTERNATIONAL ALL CAP GROWTH MSCI EAFE FUND CLASS I SHARES GROWTH INDEX MSCI EAFE INDEX ---------------------------- ------------ --------------- <S> <C> <C> <C> 6/30/1999 $250,000 $250,000 $250,000 7/31/1999 $258,000 $254,800 $257,350 8/31/1999 $263,753 $256,354 $258,431 9/30/1999 $269,002 $260,456 $261,067 10/31/1999 $292,997 $274,286 $270,648 11/30/1999 $382,244 $294,282 $279,958 12/31/1999 $469,510 $326,976 $304,931 1/31/2000 $484,769 $308,437 $285,354 2/29/2000 $630,006 $325,555 $292,973 3/31/2000 $535,253 $332,001 $304,721 4/30/2000 $451,486 $310,222 $288,906 5/31/2000 $419,250 $291,329 $282,348 6/30/2000 $446,753 $301,730 $293,585 7/31/2000 $427,274 $282,811 $281,196 8/31/2000 $445,006 $285,922 $283,755 9/30/2000 $420,264 $267,051 $269,965 10/31/2000 $385,004 $254,607 $263,431 11/30/2000 $343,500 $242,793 $253,447 12/31/2000 $349,855 $247,260 $262,343 1/31/2001 $336,841 $246,568 $262,212 2/28/2001 $307,098 $221,566 $242,573 3/31/2001 $275,129 $206,344 $226,514 4/30/2001 $286,657 $220,603 $242,393 5/31/2001 $282,930 $211,801 $234,030 6/30/2001 $271,783 $201,550 $224,552 7/31/2001 $256,155 $196,672 $220,488 8/31/2001 $247,241 $187,724 $214,953 9/30/2001 $215,644 $170,002 $193,222 10/31/2001 $225,304 $176,769 $198,168 11/30/2001 $242,788 $185,854 $205,481 12/31/2001 $245,022 $186,932 $206,713 1/31/2002 $239,827 $176,857 $195,737 2/28/2002 $236,110 $179,244 $197,127 3/31/2002 $250,985 $186,145 $207,890 4/30/2002 $246,517 $187,225 $209,387 5/31/2002 $249,500 $187,768 $212,234 6/30/2002 $242,439 $182,961 $203,872 7/31/2002 $213,444 $163,457 $183,770 8/31/2002 $208,620 $162,231 $183,403 9/30/2002 $190,407 $148,150 $163,760 10/31/2002 $191,892 $156,535 $172,571 11/30/2002 $198,206 $161,153 $180,423 12/31/2002 $187,423 $157,446 $174,360 1/31/2003 $184,068 $149,668 $167,090 2/28/2003 $181,086 $146,451 $163,263 3/31/2003 $179,964 $145,015 $160,178 4/30/2003 $200,408 $157,733 $176,067 5/31/2003 $215,659 $166,030 $186,895 6/30/2003 $219,756 $168,969 $191,512 7/31/2003 $230,920 $171,216 $196,185 8/31/2003 $244,683 $174,349 $200,952 9/30/2003 $250,628 $180,277 $207,181 10/31/2003 $271,456 $190,661 $220,110 11/30/2003 $268,470 $195,142 $225,040 12/31/2003 $285,947 $208,567 $242,638 1/31/2004 $295,984 $212,655 $246,084 2/29/2004 $298,588 $216,717 $251,817 3/31/2004 $304,530 $216,955 $253,328 4/30/2004 $294,481 $211,727 $247,806 5/31/2004 $289,651 $211,473 $248,871 6/30/2004 $293,735 $214,222 $254,421 7/31/2004 $281,105 $205,546 $246,203 8/30/2004 $281,105 $205,792 $247,336 9/30/2004 $291,899 $210,896 $253,841 10/31/2004 $298,584 $217,961 $262,522 11/30/2004 $324,978 $233,044 $280,531 12/31/2004 $336,450 $242,925 $292,846 1/31/2005 $331,975 $237,338 $287,487 2/28/2005 $352,126 $246,902 $299,964 3/31/2005 $339,062 $240,952 $292,555 4/30/2005 $326,381 $236,495 $286,002 5/31/2005 $330,494 $237,370 $286,431 6/30/2005 $338,327 $239,340 $290,355 7/31/2005 $353,281 $246,640 $299,269 8/31/2005 $368,966 $253,743 $306,930 9/30/2005 $389,887 $264,476 $320,650 10/31/2005 $373,083 $257,256 $311,319 11/30/2005 $393,154 $262,144 $319,009 12/31/2005 $428,656 $276,037 $333,874 1/31/2006 $462,649 $293,069 $354,408 2/28/2006 $460,428 $289,787 $353,699 3/31/2006 $485,844 $301,146 $365,512 4/30/2006 $511,642 $314,969 $383,240 5/31/2006 $482,478 $301,929 $368,830 6/30/2006 $474,614 $302,382 $368,977 7/31/2006 $470,864 $303,803 $372,667 8/31/2006 $485,461 $311,155 $383,027 9/30/2006 $482,451 $309,475 $383,679 10/31/2006 $501,122 $320,028 $398,642 11/30/2006 $526,830 $329,405 $410,681 12/31/2006 $555,700 $338,661 $423,617 1/31/2007 $549,087 $341,404 $426,498 2/28/2007 $547,110 $344,067 $429,995 3/31/2007 $562,320 $355,662 $441,175 </Table> Annualized Total Returns As of 3/31/2007 SINCE 1 YEAR 5 YEARS INCEPTION - ------------------------------------------------------------------------ International All Cap Growth Fund Class I 15.75% 17.53% 11.02% - ------------------------------------------------------------------------ MSCI EAFE Growth Index 18.11% 13.83% 4.65% - ------------------------------------------------------------------------ MSCI EAFE Index 20.69% 16.24% 7.60% - ------------------------------------------------------------------------ THE GRAPH ABOVE SHOWS THE VALUE OF A HYPOTHETICAL $250,000 INVESTMENT IN THE FUND'S CLASS I SHARES COMPARED WITH THE MSCI EAFE GROWTH INDEX AND MSCI EAFE INDEX FOR THE PERIODS INDICATED. AVERAGE ANNUAL TOTAL RETURN FIGURES INCLUDE CHANGES IN PRINCIPAL VALUE, REINVESTED DIVIDENDS, AND CAPITAL GAIN DISTRIBUTIONS. THE TOTAL RETURNS SHOWN ABOVE DO NOT SHOW THE EFFECTS OF INCOME TAXES ON AN INDIVIDUAL'S INVESTMENT. IN MOST CASES, TAXES MAY REDUCE YOUR ACTUAL INVESTMENT RETURNS ON INCOME OR GAINS PAID BY THE FUND OR ANY GAINS YOU MAY REALIZE IF YOU SELL YOUR SHARES. PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS. ON NOVEMBER 18, 2005, THE FUND BECAME THE SUCCESSOR ENTITY TO THE NICHOLAS-APPLEGATE INTERNATIONAL ALL CAP GROWTH FUND, A SERIES OF THE PROFESSIONALLY MANAGED PORTFOLIOS ("ACQUIRED FUND"). THE ACQUIRED FUND TRANSFERRED ALL OF ITS ASSETS AND LIABILITIES IN EXCHANGE FOR SHARES OF THE FUND, AND THE INVESTMENT OBJECTIVES, POLICIES AND LIMITATIONS OF THE FUND ARE SUBSTANTIALLY SIMILAR TO THOSE OF THE ACQUIRED FUND. THE PERFORMANCE SHOWN ABOVE INCLUDES THE HISTORICAL PERFORMANCE OF THE ACQUIRED FUND FROM JUNE 30, 1999 TO NOVEMBER 18, 2005. THE MSCI EAFE GROWTH INDEX IS AN UNMANAGED INDEX THAT IS A GENERALLY ACCEPTED BENCHMARK FOR MAJOR OVERSEAS MARKETS. IT CONSISTS OF THE TOP 50% OF THE MSCI EAFE, THOSE COMPANIES WITH THE HIGHEST PRICE/BOOK VALUE RATIO. THE MSCI EAFE INDEX CONSISTS OF APPROXIMATELY 900 COMPANIES WITH AVERAGE MARKET CAPITALIZATION OF U.S. $8.7 BILLION. ITS WEIGHTINGS REPRESENT THE RELATIVE CAPITALIZATION OF THE MAJOR OVERSEAS MARKETS INCLUDED IN THE INDEX ON A U.S. DOLLAR ADJUSTED BASIS. THE MSCI EAFE IS A GENERALLY ACCEPTED BENCHMARK FOR MAJOR OVERSEAS MARKETS. IT CONSISTS OF THE TOP 50% OF THE MSCI EAFE, THOSE COMPANIES WITH THE HIGHEST PRICE/BOOK VALUE (P/BV) RATIO. THE MSCI EAFE INDEX CONSISTS OF APPROXIMATELY 900 COMPANIES WITH AVERAGE MARKET CAPITALIZATION OF U.S. $8.7 BILLION. ITS WEIGHTINGS REPRESENT THE RELATIVE CAPITALIZATION OF THE MAJOR OVERSEAS MARKETS INCLUDED IN THE INDEX ON A U.S. DOLLAR ADJUSTED BASIS. THE UNMANAGED INDEXES DIFFER FROM THE FUND IN COMPOSITION, DO NOT PAY MANAGEMENT FEES OR EXPENSES AND INCLUDE REINVESTED DIVIDENDS. ONE CANNOT INVEST DIRECTLY INTO AN INDEX. SINCE MARKETS CAN GO DOWN AS WELL AS UP, INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET CONDITIONS, CURRENCY VOLATILITY AND THE SOCIAL, ECONOMIC AND POLITICAL CLIMATES OF COUNTRIES WHERE THE FUND INVESTS. YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. 48 <Page> SCHEDULE OF INVESTMENTS As of March 31, 2007 NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCK - 100.0% AUSTRALIA - 3.8% AMP, Ltd.* 28,984 $ 243,279 CSL, Ltd. 6,195 412,231 Incitec Pivot, Ltd. 6,279 251,088 ----------- 906,598 ----------- BELGIUM - 1.2% InBev NV 3,839 276,211 ----------- BRAZIL - 1.1% All America Latina Logistica SA 21,000 256,393 ----------- CANADA - 3.5% AUR Resources, Inc. 6,100 128,488 HudBay Minerals, Inc.* 6,700 118,128 Inmet Mining Corp. 2,300 126,598 Rogers Communications, Inc. 8,000 262,055 Teck Cominco, Ltd. 3,000 209,310 ----------- 844,579 ----------- DENMARK - 2.9% Carlsberg AS Cl. B## 1,850 200,613 FLSmidth & Co AS 7,300 492,961 ----------- 693,574 ----------- FRANCE - 9.1% Alstom* 3,999 517,156 BNP Paribas 2,112 219,823 Compagnie Generale de Geophysique-Veritas* 1,655 345,879 Neopost SA 1,771 252,249 Total SA - ADR 3,260 227,483 Veolia Environnement 8,059 597,106 ----------- 2,159,696 ----------- GERMANY - 7.2% Deutsche Postbank AG 2,852 247,794 Hugo Boss AG 661 42,182 Hypo Real Estate Holding AG 3,414 216,957 IVG Immobilien AG 8,259 394,134 Solarworld AG 3,043 235,467 Stada Arzneimittel AG 4,512 272,979 United Internet AG 15,154 293,506 ----------- 1,703,019 ----------- GREECE - 2.2% National Bank of Greece SA 4,619 244,099 Piraeus Bank SA 8,262 285,947 ----------- 530,046 ----------- HONG KONG - 1.4% Melco International Development 52,000 93,562 Pacific Basin Shipping, Ltd. 290,000 248,648 ----------- 342,210 ----------- INDIA - 1.0% Infosys Technologies, Ltd. - ADR 4,600 231,150 ----------- IRELAND - 2.6% Anglo Irish Bank Corp. PLC 6,963 148,301 Kingspan Group PLC 18,009 478,255 Kingspan Group PLC 55 1,453 ----------- 628,009 ----------- ITALY - 2.0% UniCredito Italiano SpA 51,091 484,570 ----------- JAPAN - 25.1% Chugai Pharmaceutical Co., Ltd.## 10,600 267,525 Fanuc, Ltd. 4,100 380,919 Haseko Corp.* 113,400 412,975 Honda Motor Co, Ltd. 6,100 212,331 Japan Steel Works, Ltd. 49,000 588,042 Japan Tobacco, Inc. 53 259,894 Komatsu, Ltd. 12,000 252,043 Mitsubishi Electric Corp. 23,000 236,477 Nippon Electric Glass Co, Ltd. 10,500 183,633 Nomura Holdings, Inc. 24,300 505,242 ORIX Corp. 1,030 267,804 Shin-Etsu Chemical Co, Ltd. 3,500 213,127 Sumco Corp. 10,400 431,590 Sumitomo Realty & Development Co, Ltd. 5,000 189,286 Taiheiyo Cement Corp. 42,900 189,294 Toho Titanium Co, Ltd. 5,100 249,223 Tokuyama Corp. 21,100 368,122 Tokyu Land Corp.## 31,000 352,598 Toyota Motor Corp. 3,900 249,375 Toyota Tsusho Corp.## 7,100 180,995 ----------- 5,990,495 ----------- MEXICO - 1.2% America Movil SA de CV - ADR 5,800 277,182 ----------- NETHERLANDS - 2.1% Koninklijke Philips Electronics NV 6,450 245,745 SBM Offshore NV 7,236 259,973 ----------- 505,718 ----------- NORWAY - 2.9% Renewable Energy Corp. AS* 19,800 446,012 Yara International ASA 9,000 247,334 ----------- 693,346 ----------- REPUBLIC OF CHINA - 3.3% Bank of Communications Co, Ltd. 19,000 19,549 China Communications Construction Co, Ltd.* 200,000 241,098 Foxconn International Holdings, Ltd.* 49,000 150,494 Nine Dragons Paper Holdings, Ltd. 71,000 148,646 Suntech Power Holdings Co, Ltd. - ADR* 6,700 231,887 ----------- 791,674 ----------- SINGAPORE - 1.3% City Developments, Ltd. 31,000 298,077 ----------- SOUTH AFRICA - 1.0% Aquarius Platinum, Ltd. 7,536 241,813 ----------- SWEDEN - 4.2% Assa Abloy AB 19,600 448,369 SSAB Svenskt Stal AB Cl. A## 10,600 325,580 Telefonaktiebolaget LM Ericsson - ADR 5,880 218,089 ----------- 992,038 ----------- SWITZERLAND - 9.6% ABB, Ltd. 16,096 274,244 Julius Baer Holding AG 1,769 240,252 Nestle SA 607 235,307 Nobel Biocare Holding AG 749 271,795 Phonak Holding AG 2,300 175,213 Roche Holding AG 2,003 352,756 Swatch Group AG 4,764 253,458 Syngenta AG 1,370 260,915 UBS AG 3,851 227,754 ----------- 2,291,694 ----------- SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 49 <Page> NUMBER OF SHARES VALUE - -------------------------------------------------------------------------------- UNITED KINGDOM - 11.3% Barclays PLC 16,281 $ 230,235 British Land Co. PLC 8,265 247,697 BT Group PLC 89,426 532,764 Burberry Group PLC 19,474 249,416 Diageo PLC 8,360 168,806 Intercontinental Hotels Group PLC 11,444 281,918 International Power PLC 100,339 780,312 Reckitt Benckiser PLC 3,645 189,166 ----------- 2,680,314 - -------------------------------------------------------------------------------- Total Common Stock (Cost: $18,681,199) 23,818,406 - -------------------------------------------------------------------------------- PREFERRED STOCK - 0.8% GERMANY - 0.8% Hugo Boss AG (Cost: $113,376) 3,303 191,260 - -------------------------------------------------------------------------------- EQUITY-LINKED SECURITIES - 1.1% INDIA - 1.1% Merrill Lynch Reliance Communications, Ltd.* 01/25/11 (Cost: $226,175) 28,477 275,173 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT - -------------------------------------------------------------------------------- SHORT TERM INVESTMENTS - 5.6% MONEY MARKET FUNDS - 5.1% Boston Global Investment Trust - Enhanced Portfolio, 5.290%** $1,216,625 1,216,625 ----------- TIME DEPOSITS - 0.5% Citibank Nassau 4.690%, 04/02/07 117,605 117,605 - ------------------------------------------------------------------------------- Total Short Term Investments (Cost: $1,334,230) 1,334,230 - ------------------------------------------------------------------------------- Total Investments - 107.5% (Cost: $20,354,980) 25,619,069 - ------------------------------------------------------------------------------- Liabilities in Excess of Other Assets - (7.5%) (1,792,043) - ------------------------------------------------------------------------------- Net Assets - 100.0% $23,827,026 - ------------------------------------------------------------------------------- * NON-INCOME PRODUCING SECURITIES. ** ALL OF THE SECURITY IS PURCHASED WITH CASH COLLATERAL PROCEEDS FROM SECURITIES LOANS. ## ALL OR A PORTION OF THE FUND'S HOLDINGS IN THIS SECURITY WAS ON LOAN AS OF 03/31/07. ADR - AMERICAN DEPOSITORY RECEIPT SCHEDULE OF INVESTMENTS BY SECTOR AS OF MARCH 31, 2007 PERCENT OF SECTOR NET ASSETS - -------------------------------------------------------------------------------- Financial 21.3% Industrial 21.1 Consumer, Non-cyclical 13.0 Basic Materials 12.1 Consumer, Cyclical 8.7 Communications 8.4 Energy 7.3 Utilities 5.8 Technology 3.8 Diversified 0.4 Short Term Investments 5.6 - -------------------------------------------------------------------------------- Total Investments 107.5 Liabilities in excess of other assets (7.5) - -------------------------------------------------------------------------------- Net Assets 100.0% ================================================================================ SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 50 <Page> U.S. HIGH YIELD BOND FUND MANAGEMENT TEAM: DOUGLAS G. FORSYTH, CFA, Portfolio Manager; WILLIAM L. STICKNEY, Portfolio Manager; JUSTIN KASS, CFA, Portfolio Manager; MICHAEL E. YEE, Portfolio Manager; ELIZABETH LEMESEVSKI, Analyst; DAVID A. FOSTER, CPA, CFA, Analyst; JOANNA WILLARS, Analyst; NICOLE D. LARRABEE, Fixed Income Trading Assistant CHIEF INVESTMENT OFFICER: HORACIO A. VALEIRAS, CFA GOAL: The U.S. High Yield Bond Fund seeks to deliver total return via high current income and capital growth from a diversified portfolio consisting primarily of lower-rated U.S. corporate fixed-income securities. MARKET OVERVIEW: Prices of high-yield securities climbed higher between April 1, 2006 and March 31, 2007. The Merrill Lynch High Yield Master II Index rose 11.61%, keeping pace with the 11.83% gain in the S&P 500 Index and outperforming the 5.76% advance in the ten-year Treasury. The strong performance of high-yield securities was a result of ongoing confidence in the core fundamentals of issuers across the market. For example: - Corporate balance sheets are healthy - Refinancing over the past several years has generally created lower interest expense obligations and extended bond maturities - With the last twelve months' default rate at 0.51%, the default rate remains low and is not expected to change in the future All industries within the Merrill Lynch High Yield Master II Index generated positive returns. The best-performing industries were cable TV, entertainment and automotive, while the worst performers were real estate, banks and leisure. The pace of new issuance in the high-yield market was strong, driven by more merger and acquisition financing and, specifically, leveraged buyout issuance. PERFORMANCE: During the twelve months ended March 31, 2007, the Fund's Class I shares gained 10.76% and the Merrill Lynch High Yield Master II Index advanced 11.61%. PORTFOLIO SPECIFICS: Many issues in the Fund made significant, positive contributions to return. Top-performing holdings included the bonds of a retailer whose operating statistics improved and those of a paper producer whose merger with another company is expected to save costs and boost industry pricing. However, the combination of low-quality issuer performance and the contributions from Ford and GM weighed on relative performance. During the period, the Fund was freshened with several new names in a broad range of industries, including telecommunications, energy and chemicals. Additions to the portfolio represented a mix of secondary market purchases and new issues that passed our diligent credit research process. The Fund continued to be rewarded for our credit research as the ratio of upgrades to downgrades in the portfolio was positive throughout the fiscal year. MARKET OUTLOOK: We think the high-yield market remains a compelling area of investment. The economy is healthy, corporate balance sheets are solid and defaults are low. While high-yield spreads versus Treasuries are on the narrow end of historical averages, they should not widen materially against this positive fundamental backdrop. One risk to the high-yield market would be a significant pullback in the economy. However, the stock market's March rebound demonstrates investor confidence in a positive economic outlook. Nicholas-Applegate recognizes that the long-term driver of total return in a high-yield portfolio is company fundamentals. As such, we continue to build the Fund one security at a time, performing rigorous credit analysis to identify companies that are capitalizing on change. COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN U.S. HIGH YIELD BOND FUND CLASS I AND II SHARES WITH THE MERRILL LYNCH HIGH YIELD MASTER II INDEX. [CHART] <Table> <Caption> U.S. HIGH YIELD BOND FUND MERRILL LYNCH HIGH YIELD CLASS I SHARES MASTER II INDEX ------------------------- ------------------------ <S> <C> <C> 7/31/1996 $250,000 $250,000 8/31/1996 $256,780 $253,100 9/30/1996 $265,702 $258,997 10/31/1996 $268,927 $261,251 11/30/1996 $273,926 $266,502 12/31/1996 $278,314 $268,714 1/31/1997 $283,685 $270,729 2/28/1997 $289,776 $274,898 3/31/1997 $284,740 $271,132 4/30/1997 $285,969 $274,603 5/31/1997 $298,355 $280,397 6/30/1997 $305,705 $284,743 7/31/1997 $315,198 $292,289 8/31/1997 $318,279 $291,938 9/30/1997 $331,438 $297,193 10/31/1997 $332,537 $298,708 11/30/1997 $336,209 $301,516 12/31/1997 $337,882 $304,411 1/31/1998 $349,162 $309,251 2/28/1998 $353,474 $310,519 3/31/1998 $357,326 $313,469 4/30/1998 $360,503 $314,817 5/31/1998 $361,564 $316,706 6/30/1998 $363,444 $318,352 7/31/1998 $366,798 $320,390 8/31/1998 $346,504 $304,210 9/30/1998 $338,199 $305,001 10/31/1998 $329,809 $298,474 11/30/1998 $349,778 $313,965 12/31/1998 $353,159 $313,400 1/31/1999 $361,234 $317,631 2/28/1999 $360,705 $315,471 3/31/1999 $363,377 $319,130 4/30/1999 $374,002 $324,970 5/31/1999 $369,987 $321,981 6/30/1999 $372,230 $321,176 7/31/1999 $374,483 $321,593 8/31/1999 $371,599 $318,184 9/30/1999 $371,449 $316,912 10/31/1999 $372,224 $315,200 11/30/1999 $380,164 $319,298 12/31/1999 $386,897 $321,214 1/31/2000 $387,057 $319,993 2/29/2000 $390,727 $320,665 3/31/2000 $386,070 $315,951 4/30/2000 $389,146 $315,951 5/31/2000 $385,409 $311,970 6/30/2000 $395,091 $317,991 7/31/2000 $397,567 $319,708 8/31/2000 $397,746 $322,842 9/30/2000 $391,185 $320,065 10/31/2000 $380,829 $309,887 11/30/2000 $363,795 $297,987 12/31/2000 $373,720 $304,782 1/31/2001 $395,712 $324,074 2/28/2001 $400,493 $329,000 3/31/2001 $389,078 $322,420 4/30/2001 $385,667 $318,035 5/31/2001 $388,021 $323,633 6/30/2001 $378,357 $315,121 7/31/2001 $383,154 $320,226 8/31/2001 $385,571 $322,756 9/30/2001 $362,546 $300,453 10/31/2001 $375,106 $310,068 11/30/2001 $387,099 $320,982 12/31/2001 $384,991 $318,447 1/31/2002 $385,179 $320,198 2/28/2002 $383,435 $315,971 3/31/2002 $390,696 $323,934 4/30/2002 $395,842 $329,117 5/31/2002 $395,842 $326,583 6/30/2002 $384,206 $301,305 7/31/2002 $380,163 $289,614 8/31/2002 $385,460 $296,855 9/30/2002 $380,946 $292,224 10/31/2002 $381,201 $289,769 11/30/2002 $400,056 $307,880 12/31/2002 $400,266 $312,375 1/31/2003 $402,378 $321,746 2/28/2003 $405,796 $326,090 3/31/2003 $416,531 $334,698 4/30/2003 $435,321 $354,144 5/31/2003 $435,110 $358,217 6/30/2003 $448,232 $368,247 7/31/2003 $446,464 $363,239 8/31/2003 $450,461 $367,888 9/30/2003 $460,276 $377,858 10/31/2003 $468,138 $385,680 11/30/2003 $471,537 $391,002 12/31/2003 $482,499 $400,269 1/31/2004 $487,775 $406,753 2/29/2004 $484,768 $406,306 3/31/2004 $485,937 $409,028 4/30/2004 $485,699 $406,329 5/31/2004 $478,128 $399,949 6/30/2004 $483,852 $405,748 7/31/2004 $488,168 $411,226 8/30/2004 $495,902 $418,710 9/30/2004 $502,722 $424,530 10/31/2004 $511,067 $432,724 11/30/2004 $515,206 $437,224 12/31/2004 $521,647 $443,826 1/31/2005 $521,542 $443,383 2/28/2005 $526,445 $449,723 3/31/2005 $512,125 $437,445 4/30/2005 $507,926 $432,765 5/31/2005 $516,916 $440,511 6/30/2005 $524,825 $448,881 7/31/2005 $532,750 $455,928 8/31/2005 $533,922 $457,570 9/30/2005 $531,946 $452,994 10/31/2005 $529,446 $449,687 11/30/2005 $533,841 $451,846 12/31/2005 $539,339 $455,957 1/31/2006 $544,355 $463,162 2/28/2006 $548,819 $466,080 3/31/2006 $550,026 $469,016 4/30/2006 $553,491 $471,830 5/31/2006 $551,388 $471,736 6/30/2006 $550,451 $469,943 7/31/2006 $555,075 $474,971 8/31/2006 $561,402 $482,666 9/30/2006 $568,925 $488,892 10/31/2006 $577,061 $496,128 11/30/2006 $584,967 $504,066 12/31/2006 $592,337 $509,611 1/31/2007 $596,543 $515,064 2/28/2007 $605,491 $522,223 3/31/2007 $608,579 $523,320 </Table> Annualized Total Returns As of 3/31/2007 1 YEAR 5 YEARS 10 YEARS - ---------------------------------------------------------------------- U.S. High Yield Bond Fund Class I 10.76% 9.29% 7.90% - ---------------------------------------------------------------------- Merrill Lynch High Yield Master II Index 11.61% 10.07% 6.66% - ---------------------------------------------------------------------- 51 <Page> [CHART] <Table> <Caption> U.S. HIGH YIELD BOND FUND MERRILL LYNCH HIGH YIELD CLASS II SHARES MASTER II INDEX ------------------------- ------------------------ <S> <C> <C> 7/31/1996 $250,000 $250,000 8/31/1996 $256,775 $253,100 9/30/1996 $265,685 $258,997 10/31/1996 $268,900 $261,251 11/30/1996 $273,901 $266,502 12/31/1996 $278,284 $268,714 1/31/1997 $283,655 $270,729 2/28/1997 $289,753 $274,898 3/31/1997 $284,712 $271,132 4/30/1997 $285,936 $274,603 5/31/1997 $298,317 $280,397 6/30/1997 $305,655 $284,743 7/31/1997 $315,161 $292,289 8/31/1997 $318,250 $291,938 9/30/1997 $331,394 $297,193 10/31/1997 $332,487 $298,708 11/30/1997 $336,145 $301,516 12/31/1997 $337,825 $304,411 1/31/1998 $349,109 $309,251 2/28/1998 $353,438 $310,519 3/31/1998 $357,290 $313,469 4/30/1998 $360,470 $314,817 5/31/1998 $361,515 $316,706 6/30/1998 $363,395 $318,352 7/31/1998 $366,738 $320,390 8/31/1998 $346,458 $304,210 9/30/1998 $338,143 $305,001 10/31/1998 $329,757 $298,474 11/30/1998 $349,707 $313,965 12/31/1998 $353,099 $313,400 1/31/1999 $361,185 $317,631 2/28/1999 $360,644 $315,471 3/31/1999 $363,312 $319,130 4/30/1999 $373,921 $324,970 5/31/1999 $369,883 $321,981 6/30/1999 $372,139 $321,176 7/31/1999 $374,409 $321,593 8/31/1999 $371,526 $318,184 9/30/1999 $371,377 $316,912 10/31/1999 $372,157 $315,200 11/30/1999 $380,084 $319,298 12/31/1999 $386,812 $321,214 1/31/2000 $386,967 $319,993 2/29/2000 $390,643 $320,665 3/31/2000 $385,994 $315,951 4/30/2000 $389,082 $315,951 5/31/2000 $385,347 $311,970 6/30/2000 $395,019 $317,991 7/31/2000 $397,508 $319,708 8/31/2000 $397,667 $322,842 9/30/2000 $391,105 $320,065 10/31/2000 $380,741 $309,887 11/30/2000 $363,722 $297,987 12/31/2000 $373,651 $304,782 1/31/2001 $395,622 $324,074 2/28/2001 $400,409 $329,000 3/31/2001 $388,997 $322,420 4/30/2001 $385,574 $318,035 5/31/2001 $387,926 $323,633 6/30/2001 $378,267 $315,121 7/31/2001 $383,071 $320,226 8/31/2001 $385,484 $322,756 9/30/2001 $362,471 $300,453 10/31/2001 $375,012 $310,068 11/30/2001 $387,013 $320,982 12/31/2001 $384,923 $318,447 1/31/2002 $385,115 $320,198 2/28/2002 $383,382 $315,971 3/31/2002 $390,628 $323,934 4/30/2002 $395,784 $329,117 5/31/2002 $395,784 $326,583 6/30/2002 $384,148 $301,305 7/31/2002 $380,115 $289,614 8/31/2002 $385,398 $296,855 9/30/2002 $380,889 $292,224 10/31/2002 $381,156 $289,769 11/30/2002 $400,023 $307,880 12/31/2002 $400,223 $312,375 1/31/2003 $402,344 $321,746 2/28/2003 $405,764 $326,090 3/31/2003 $416,517 $334,698 4/30/2003 $435,302 $354,144 5/31/2003 $435,084 $358,217 6/30/2003 $448,224 $368,247 7/31/2003 $446,476 $363,239 8/31/2003 $450,360 $367,888 9/30/2003 $460,223 $377,858 10/31/2003 $468,093 $385,680 11/30/2003 $471,042 $391,002 12/31/2003 $482,017 $400,269 1/31/2004 $487,801 $406,753 2/29/2004 $484,826 $406,306 3/31/2004 $486,038 $409,028 4/30/2004 $485,357 $406,329 5/31/2004 $477,786 $399,949 6/30/2004 $483,519 $405,748 7/31/2004 $487,871 $411,226 8/30/2004 $495,628 $418,710 9/30/2004 $502,468 $424,530 10/31/2004 $510,859 $432,724 11/30/2004 $515,048 $437,224 12/31/2004 $521,537 $443,826 1/31/2005 $520,912 $443,383 2/28/2005 $526,329 $449,723 3/31/2005 $512,013 $437,445 4/30/2005 $507,814 $432,765 5/31/2005 $516,346 $440,511 6/30/2005 $524,814 $448,881 7/31/2005 $532,791 $455,928 8/31/2005 $534,016 $457,570 9/30/2005 $531,560 $452,994 10/31/2005 $529,062 $449,687 11/30/2005 $534,035 $451,846 12/31/2005 $539,055 $455,957 1/31/2006 $544,068 $463,162 2/28/2006 $549,128 $466,080 3/31/2006 $550,391 $469,016 4/30/2006 $553,308 $471,830 5/31/2006 $551,814 $471,736 6/30/2006 $550,324 $469,943 7/31/2006 $555,002 $474,971 8/31/2006 $561,939 $482,666 9/30/2006 $568,963 $488,892 10/31/2006 $577,157 $496,128 11/30/2006 $585,698 $504,066 12/31/2006 $592,551 $509,611 1/31/2007 $597,410 $515,064 2/28/2007 $605,834 $522,223 3/31/2007 $609,529 $523,320 </Table> Annualized Total Returns As of 3/31/2007 1 YEAR 5 YEARS 10 YEARS - ---------------------------------------------------------------------- U.S. High Yield Bond Fund Class II 10.85% 9.32% 7.91% - ---------------------------------------------------------------------- Merrill Lynch High Yield Master II Index 11.61% 10.07% 6.66% - ---------------------------------------------------------------------- THE GRAPHS ABOVE SHOW THE VALUE OF A HYPOTHETICAL $250,000 INVESTMENT IN THE FUND'S CLASS I AND II SHARES COMPARED WITH THE MERRILL LYNCH HIGH YIELD MASTER II INDEX FOR THE PERIODS INDICATED. THE FUND'S CLASS I AND II SHARES CALCULATE THEIR PERFORMANCE BASED UPON THE HISTORICAL PERFORMANCE OF THEIR CORRESPONDING SERIES OF NICHOLAS-APPLEGATE MUTUAL FUNDS (RENAMED ING MUTUAL FUNDS), ADJUSTED TO REFLECT ALL FEES AND EXPENSES APPLICABLE TO THE FUND'S CLASS I AND II SHARES. THE NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS' CLASS I SHARES WERE FIRST AVAILABLE ON MAY 7, 1999 AND CLASS II SHARES ON JUNE 30, 2003. THE HISTORICAL PERFORMANCE OF CLASS II SHARES INCLUDES THE PERFORMANCE OF CLASS I SHARES FOR PERIODS PRIOR TO THE INCEPTION OF CLASS II. AVERAGE ANNUAL TOTAL RETURN FIGURES INCLUDE CHANGES IN PRINCIPAL VALUE, REINVESTED DIVIDENDS, AND CAPITAL GAIN DISTRIBUTIONS. THE TOTAL RETURNS SHOWN ABOVE DO NOT SHOW THE EFFECTS OF INCOME TAXES ON AN INDIVIDUAL'S INVESTMENT. IN MOST CASES, TAXES MAY REDUCE YOUR ACTUAL INVESTMENT RETURNS ON INCOME OR GAINS PAID BY THE FUND OR ANY GAINS YOU MAY REALIZE IF YOU SELL YOUR SHARES. PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS. THE MERRILL LYNCH HIGH YIELD MASTER II INDEX IS AN UNMANAGED INDEX CONSISTING OF U.S. DOLLAR DENOMINATED BONDS THAT ARE ISSUED IN COUNTRIES HAVING A BBB3 OR HIGHER DEBT RATING WITH AT LEAST ONE YEAR REMAINING UNTIL MATURITY. ALL BONDS MUST HAVE A CREDIT RATING BELOW INVESTMENT GRADE BUT NOT IN DEFAULT. THE UNMANAGED INDEX DIFFERS FROM THE FUND IN COMPOSITION, DOES NOT PAY MANAGEMENT FEES OR EXPENSES AND INCLUDES REINVESTED INCOME AND DIVIDENDS. ONE CANNOT INVEST DIRECTLY IN AN INDEX. BOND PRICES, AND THUS THE FUND'S SHARE PRICE, GENERALLY MOVE IN THE OPPOSITE DIRECTION FROM INTEREST RATES. SINCE MARKETS CAN GO DOWN AS WELL AS UP, INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET CONDITIONS. YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. 52 <Page> SCHEDULE OF INVESTMENTS As of March 31, 2007 PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- CORPORATE BONDS - 89.7% ADVERTISING SALES - 0.4% Lamar Media Corp. 6.625%, 08/15/15 $ 405,000 $ 394,875 ---------- ADVERTISING SERVICES - 1.4% RH Donnelley Corp. 8.875%, 01/15/16 1,275,000 1,354,687 ---------- AEROSPACE/DEFENSE-EQUIPMENT - 1.8% BE Aerospace, Inc. 8.875%, 05/01/11 1,265,000 1,304,531 TransDigm, Inc. 144A# 7.750%, 07/15/14 400,000 413,000 ---------- 1,717,531 ---------- AGRICULTURAL CHEMICALS - 0.7% The Mosaic Co. 144A# 7.625%, 12/01/16 680,000 717,400 ---------- AIRLINES - 0.4% Continental Airlines, Inc. 8.750%, 12/01/11 405,000 396,900 ---------- APPAREL MANUFACTURERS - 4.0% Levi Strauss & Co. 9.750%, 01/15/15 1,025,000 1,124,937 Oxford Industries, Inc. 8.875%, 06/01/11 1,360,000 1,407,600 Phillips-Van Heusen 8.125%, 05/01/13 1,300,000 1,365,000 ---------- 3,897,537 ---------- AUTO/TRUCK PARTS & EQUIPMENT-ORIGINAL - 2.8% Accuride Corp. 8.500%, 02/01/15 1,355,000 1,365,163 American Axle & Manufacturing, Inc. 7.875%, 03/01/17 1,350,000 1,346,625 ---------- 2,711,788 ---------- CABLE TV - 5.7% CCH I Holdings LLC/CCH I Holdings Capital Corp. 11.000%, 10/01/15 640,000 664,000 CSC Holdings, Inc. 7.625%, 04/01/11 520,000 533,000 Echostar DBS Corp. 7.125%, 02/01/16 1,175,000 1,213,188 LodgeNet Entertainment Corp. 9.500%, 06/15/13 1,425,000 1,557,219 Mediacom Broadband LLC 144A# 8.500%, 10/15/15 760,000 777,100 Mediacom LLC/Mediacom Capital Corp. 9.500%, 01/15/13 780,000 804,375 ---------- 5,548,882 ---------- CASINO HOTELS - 1.2% Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 6.625%, 12/01/14 1,225,000 1,212,750 ---------- CELLULAR TELECOMMUNICATIONS - 1.3% Cricket Communications, Inc. 144A# 9.375%, 11/01/14 1,200,000 1,272,000 ---------- CHEMICALS-DIVERSIFIED - 1.7% Lyondell Chemical Co. 10.875%, 05/01/09 730,000 733,650 Lyondell Chemical Co. 8.250%, 09/15/16 905,000 968,350 ---------- 1,702,000 ---------- COMMERCIAL SERVICES - 1.0% Vertrue, Inc. 9.250%, 04/01/14 850,000 930,750 ---------- COMPUTER SERVICES - 1.5% Unisys Corp. 8.000%, 10/15/12 1,415,000 1,418,537 ---------- CONSUMER PRODUCTS-MISCELLANEOUS - 2.3% Central Garden and Pet Co. 9.125%, 02/01/13 905,000 943,463 Jarden Corp. 7.500%, 05/01/17 1,315,000 1,328,150 ---------- 2,271,613 ---------- CONTAINERS-METAL/GLASS - 1.4% Crown Americas LLC / Crown Americas Capital Corp. 7.750%, 11/15/15 1,345,000 1,398,800 ---------- DIALYSIS CENTERS - 0.9% DaVita, Inc. 7.250%, 03/15/15 875,000 884,844 ---------- DIVERSIFIED OPERATIONS/COMMERCIAL SERVICES - 1.0% Aramark Corp. 144A# 8.500%, 02/01/15 925,000 962,000 ---------- ELECTRONIC COMPONENTS-SEMICONDUCTORS - 1.2% Freescale Semiconductor, Inc. 144A# 10.125%, 12/15/16 1,215,000 1,218,038 ---------- ELECTRONIC MEASURE INSTRUMENTS - 1.3% Itron, Inc. 7.750%, 05/15/12 1,235,000 1,259,700 ---------- FINANCE-AUTO LOANS - 3.3% Ford Motor Credit Co. 9.875%, 08/10/11 1,060,000 1,122,544 Ford Motor Credit Co. 7.000%, 10/01/13 730,000 678,599 GMAC LLC 6.750%, 12/01/14 1,465,000 1,440,230 ---------- 3,241,373 ---------- FINANCE-INVESTMENT BANKERS/BROKERS - 1.1% E*Trade Financial Corp. 8.000%, 06/15/11 1,015,000 1,068,288 ---------- FINANCE-OTHER SERVICES - 0.7% Alamosa Delaware, Inc. 11.000%, 07/31/10 660,000 705,394 ---------- FOOD-WHOLESALE/DISTRIBUTION - 1.1% Supervalu, Inc. 7.500%, 11/15/14 1,010,000 1,052,925 ---------- FUNERAL SERVICES & RELATED ITEMS - 0.5% Service Corp. 7.000%, 06/15/17 515,000 518,862 ---------- INDEPENDENT POWER PRODUCER - 1.6% NRG Energy, Inc. 7.375%, 01/15/17 1,565,000 1,606,081 ---------- INVESTMENT COMPANIES - 1.0% Yankee Acquisition Corp. 144A# 8.500%, 02/15/15 990,000 1,002,375 ---------- SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 53 <Page> PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- MACHINERY-CONSTRUCTION & MINING - 0.3% Terex Corp. 7.375%, 01/15/14 $ 235,000 $ 242,050 ----------- MACHINERY-FARM - 1.5% Case New Holland, Inc. 9.250%, 08/01/11 1,415,000 1,485,750 ----------- MEDICAL-HOSPITALS - 1.5% HCA, Inc. 144A# 9.250%, 11/15/16 1,335,000 1,440,131 ----------- MEDICAL-NURSING HOMES - 0.4% Sun Healthcare Group, Inc. 144A# 9.125%, 04/15/15 390,000 399,750 ----------- MEDICAL-OUTPATIENT/HOME MEDICAL CARE - 2.0% Res-Care, Inc. 7.750%, 10/15/13 1,960,000 1,999,200 ----------- METAL-DIVERSIFIED - 1.2% Freeport-McMoRan Copper & Gold, Inc. 8.375%, 04/01/17 1,070,000 1,156,938 ----------- NETWORKING PRODUCTS - 0.7% Anixter International, Inc. 5.950%, 03/01/15 750,000 705,000 ----------- NON-FERROUS METALS - 1.1% PNA Group, Inc. 144A# 10.750%, 09/01/16 1,010,000 1,085,750 ----------- NON-HAZARDOUS WASTE DISPOSAL - 0.5% WCA Waste Corp. 9.250%, 06/15/14 475,000 504,687 ----------- OFFICE SUPPLIES & FORMS - 1.1% ACCO Brands Corp. 7.625%, 08/15/15 1,030,000 1,030,000 ----------- OIL FIELD MACHINERY & EQUIPMENT - 1.5% Complete Production Services, Inc. 144A# 8.000%, 12/15/16 1,400,000 1,435,000 ----------- OPTICAL SUPPLIES - 0.5% Advanced Medical Optics, Inc. 144A# 7.500%, 05/01/17 465,000 468,488 ----------- PAPER & RELATED PRODUCTS - 1.6% Neenah Paper, Inc. 7.375%, 11/15/14 1,650,000 1,592,250 ----------- PHYSICAL THERAPY/REHABILITATION CENTERS - 1.7% Psychiatric Solutions, Inc. 7.750%, 07/15/15 1,595,000 1,618,925 ----------- PIPELINES - 1.9% Copano Energy LLC 8.125%, 03/01/16 1,745,000 1,806,075 ----------- PRINTING-COMMERCIAL - 1.5% Cenveo Corp. 7.875%, 12/01/13 1,530,000 1,499,400 ----------- RENTAL AUTO/EQUIPMENT - 2.9% United Rentals North America, Inc. 7.000%, 02/15/14 1,245,000 1,241,887 Williams Scotsman, Inc. 8.500%, 10/01/15 1,525,000 1,597,438 ----------- 2,839,325 ----------- RETAIL-APPAREL/SHOE - 0.9% Brown Shoe Co, Inc. 8.750%, 05/01/12 785,000 832,100 ----------- RETAIL-COMPUTER EQUIPMENT - 0.7% GSC Holdings Corp. 8.000%, 10/01/12 670,000 710,200 ----------- RETAIL-DRUG STORE - 1.1% Rite Aid Corp. 8.625%, 03/01/15 500,000 473,750 Rite Aid Corp. 7.500%, 03/01/17 655,000 646,812 ----------- 1,120,562 ----------- RETAIL-PROPANE DISTRIBUTION - 2.7% Inergy LP/Inergy Finance Corp. 8.250%, 03/01/16 1,525,000 1,601,250 Star Gas Partners LP/Star Gas Finance Co. 10.250%, 02/15/13 975,000 1,035,937 ----------- 2,637,187 ----------- RETAIL-REGIONAL DEPARTMENT STORES - 2.7% Neiman-Marcus Group, Inc. 10.375%, 10/15/15 1,110,000 1,237,650 The Bon-Ton Stores, Inc. 10.250%, 03/15/14 1,265,000 1,358,294 ----------- 2,595,944 ----------- RETAIL-VIDEO RENTAL - 1.4% Blockbuster, Inc. 9.000%, 09/01/12 1,345,000 1,358,450 ----------- SEISMIC DATA COLLECTION - 1.0% Seitel, Inc. 144A# 9.750%, 02/15/14 920,000 931,500 ----------- SPECIAL PURPOSE ENTITY - 6.1% AMR HoldCo, Inc./ EmCare HoldCo, Inc. 10.000%, 02/15/15 1,500,000 1,650,000 Hughes Network Systems LLC/HNS Finance Corp. 9.500%, 04/15/14 1,135,000 1,194,588 Idearc, Inc. 144A# 8.000%, 11/15/16 1,295,000 1,332,231 MedCath Holdings Corp. 9.875%, 07/15/12 473,000 512,022 Sensus Metering Systems, Inc. 8.625%, 12/15/13 1,240,000 1,255,500 ----------- 5,944,341 ----------- STEEL-PRODUCERS - 0.6% Steel Dynamics, Inc. 144A# 6.750%, 04/01/15 555,000 556,387 ----------- TELECOMMUNICATIONS SERVICES - 4.1% Mastec, Inc. 144A# 7.625%, 02/01/17 995,000 1,007,437 Time Warner Telecom Holdings, Inc. 9.250%, 02/15/14 1,125,000 1,203,750 West Corp. 144A# 9.500%, 10/15/14 810,000 838,350 West Corp. 144A# 11.000%, 10/15/16 920,000 970,600 ----------- 4,020,137 ----------- TELEPHONE-INTEGRATED - 5.2% Level 3 Financing, Inc. 12.250%, 03/15/13 90,000 105,300 Level 3 Financing, Inc. 144A# 9.250%, 11/01/14 1,065,000 1,094,288 SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 54 <Page> PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- Qwest Capital Funding, Inc. 7.250%, 02/15/11 $1,935,000 $1,980,956 Windstream Corp. 8.625%, 08/01/16 1,745,000 1,908,594 ----------- 5,089,138 - -------------------------------------------------------------------------------- Total Corporate Bonds (Cost: $83,896,512) 87,570,595 - -------------------------------------------------------------------------------- FOREIGN CORPORATE BONDS - 6.5% CELLULAR TELECOMMUNICATIONS - 3.1% Millicom International Cellular SA 10.000%, 12/01/13 1,885,000 2,064,075 Rogers Wireless, Inc. 8.000%, 12/15/12 925,000 980,500 ----------- 3,044,575 ----------- OIL COMPANIES-EXPLORATION & PRODUCTION - 0.7% OPTI Canada, Inc. 144A# 8.250%, 12/15/14 670,000 696,800 ----------- PAPER & RELATED PRODUCTS - 1.1% Domtar, Inc. 7.125%, 08/15/15 1,055,000 1,049,725 ----------- SATELLITE TELECOMMUNICATIONS - 1.6% Intelsat Subsidiary Holding Co, Ltd. 8.250%, 01/15/13 1,520,000 1,584,600 - -------------------------------------------------------------------------------- Total Foreign Corporate Bonds (Cost: $5,977,580) 6,375,700 - -------------------------------------------------------------------------------- SHORT TERM INVESTMENTS - 1.3% TIME DEPOSIT - 1.3% Citibank Nassau 4.690%, 04/02/07 (Cost: $1,309,776) 1,309,776 1,309,776 - -------------------------------------------------------------------------------- Total Investments - 97.5% (Cost: $91,183,868) 95,256,071 - -------------------------------------------------------------------------------- Other Assets in Excess of Liabilities - 2.5% 2,472,221 - -------------------------------------------------------------------------------- Net Assets - 100.0% $97,728,292 - -------------------------------------------------------------------------------- # 144A SECURITY. CERTAIN CONDITION FOR PUBLIC SALE MAY EXIST. THE TOTAL MARKET VALUE OF 144A SECURITIES OWNED AT MARCH 31, 2007 WAS $18,618,625 OR 19.05% OF NET ASSETS. SCHEDULE OF INVESTMENTS BY SECTOR as of March 31, 2007 PERCENT OF SECTOR NET ASSETS - -------------------------------------------------------------------------------- Communications 23.6% Consumer, Non-cyclical 18.3 Consumer, Cyclical 17.9 Financial 12.2 Basic Materials 8.1 Industrial 6.8 Energy 5.0 Technology 2.7 Utilities 1.6 Short Term Investments 1.3 - -------------------------------------------------------------------------------- Total Investments 97.5 Other assets in excess of liabilities 2.5 - -------------------------------------------------------------------------------- Net Assets 100.0% ================================================================================ SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 55 <Page> NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS FINANCIAL HIGHLIGHTS For a Class I share outstanding during the period indicated <Table> <Caption> DISTRIBUTIONS FROM: -------------------------- NET ASSET NET NET REALIZED TOTAL FROM NET NET VALUE, INVESTMENT AND UNREALIZED INVESTMENT INVESTMENT REALIZED BEGINNING INCOME (LOSS) (1) GAINS (LOSS) OPERATIONS INCOME CAPITAL GAINS - ----------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> <C> U.S. EQUITY FUNDS U.S. MICRO CAP For the year ended 03/31/07 $17.43 $(0.12) $(0.19) $(0.31) $ -- $(1.79) For the year ended 03/31/06 12.83 (0.11) 5.06 4.95 -- (0.35) For the year ended 03/31/05 14.69 (0.09) (1.09) (1.18) -- (0.68) For the year ended 03/31/04 7.44 (0.13) 7.38 7.25 -- -- For the year ended 03/31/03 10.88 (0.12) (3.32) (3.44) -- -- U.S. EMERGING GROWTH For the year ended 03/31/07 $13.90 $(0.07) $ 0.19(6) $ 0.12 $ -- $(0.93) For the year ended 03/31/06 9.77 (0.11) 4.25 4.14 -- (0.01) For the year ended 03/31/05 9.61 (0.07) 0.23 0.16 -- -- For the year ended 03/31/04 6.32 (0.09) 3.38 3.29 -- -- For the year ended 03/31/03 9.59 (0.07) (3.20) (3.27) -- -- U.S. SMALL CAP VALUE For the year ended 03/31/07 $19.85 $ 0.06 $ 1.90 $ 1.96 $(0.08) $(2.44) For the year ended 03/31/06 17.40 0.11 3.58 3.69 (0.06) (1.18) For the year ended 03/31/05 17.64 0.02 2.06 2.08 (0.01) (2.31) For the year ended 03/31/04 10.23 0.03 7.86 7.89 (0.02) (0.46) For the year ended 03/31/03 15.62 0.07 (3.29) (3.22) (0.12) (2.05) U.S. SYSTEMATIC LARGE CAP GROWTH For the year ended 03/31/07 $17.86 $ 0.02 $ 1.89 $ 1.91 $ -- $ -- For the year ended 03/31/06 15.67 0.03 2.16 2.19 -- -- For the year ended 03/31/05 15.06 0.07 0.54 0.61 -- -- For the year ended 03/31/04 12.73 (0.02) 2.35 2.33 -- -- For the year ended 03/31/03 18.08 (0.05) (5.30) (5.35) -- -- U.S. SYSTEMATIC MID CAP GROWTH For the year ended 03/31/07 $13.02 $(0.04) $ 1.37 $ 1.33 $ -- $(0.58) For the year ended 03/31/06 10.69 (0.04) 2.85 2.81 -- (0.48) For the year ended 03/31/05 9.89 (0.04) 0.84 0.80 -- -- 2/27/04 (Commenced) to 03/31/04 10.00 0.00(9) (0.11) (0.11) -- -- U.S. CONVERTIBLE For the year ended 03/31/07 $24.57 $ 0.45 $ 2.03 $ 2.48 $(0.47) $(2.23) For the year ended 03/31/06 22.44 0.27 3.45 3.72 (0.55) (1.04) For the year ended 03/31/05 23.11 0.39 0.66 1.05 (0.45) (1.27) For the year ended 03/31/04 17.72 0.55 5.43 5.98 (0.59) -- For the year ended 03/31/03 21.35 0.63 (3.55) (2.92) (0.71) -- </Table> (1) NET INVESTMENT INCOME PER SHARE IS CALCULATED BY DIVIDING NET INVESTMENT INCOME FOR THE PERIOD BY THE AVERAGE SHARES OUTSTANDING DURING THE PERIOD. (2) TOTAL RETURNS ARE NOT ANNUALIZED FOR PERIODS LESS THAN ONE YEAR. (3) RATIOS ARE ANNUALIZED FOR PERIODS OF LESS THAN ONE YEAR. EXPENSE REIMBURSEMENTS REFLECT VOLUNTARY REDUCTIONS TO TOTAL EXPENSES, AS DISCUSSED IN THE NOTES TO FINANCIAL STATEMENTS. SUCH AMOUNTS WOULD DECREASE NET INVESTMENT INCOME (LOSS) RATIOS HAD SUCH REDUCTIONS NOT OCCURRED. (4) NET EXPENSES INCLUDE CERTAIN ITEMS NOT SUBJECT TO EXPENSE REIMBURSEMENT. (5) THE BOARD OF TRUSTEES APPROVED THE AMENDMENTS TO THE EXPENSE LIMITATION AGREEMENT WHEREBY OVERALL OPERATING EXPENSES (EXCLUDING TAXES, INTEREST, BROKERAGE AND EXTRAORDINARY EXPENSES), OF THE U.S. MICRO CAP, U.S. SYSTEMATIC LARGE CAP GROWTH, GLOBAL SELECT, INTERNATIONAL GROWTH, AND U.S. HIGH YIELD BOND DO NOT EXCEED 1.56%, 1.00%, 1.20%, 1.40%, AND 0.75% FOR THE PERIOD 04/01/02 TO 06/30/02, 1.56%, 0.90%, 1.05%, 1.15%, AND 0.75% PERIOD 07/01/02 TO 01/21/03, 1.40%, 1.00%, 1.10%, 1.15%, AND 0.80% FOR THE PERIOD 01/22/03 TO 03/31/03, RESPECTIVELY. U.S. EMERGING GROWTH, U.S. SMALL CAP VALUE, U.S. EQUITY GROWTH, CONVERTIBLE AND INTERNATIONAL GROWTH OPPORTUNITIES HAD RATES THROUGHOUT THE YEAR OF 1.25%, 1.30%, 1.00%, 1.00% AND 1.40% RESPECTIVELY. (6) THE FUND RECEIVED $28,454 FROM A SECURITY LITIGATION SETTLEMENT DURING THE YEAR WHICH IS REFLECTED IN REALIZED GAINS. THIS EVENT HAD A $0.05 PER SHARE IMPACT TO THE FUND. (7) THE BOARD OF TRUSTEES APPROVED THE AMENDMENTS TO THE EXPENSES LIMITATION AGREEMENT WHERE BY OVERALL OPERATING EXPENSES (EXCLUDING TAXES, INTEREST, BROKERAGE AND EXTRAORDINARY EXPENSES), OF THE U.S. MICRO CAP, U.S. EMERGING GROWTH, U.S. SYSTEMATIC LARGE CAP GROWTH, U.S. EQUITY GROWTH, U.S. CONVERTIBLE, GLOBAL SELECT, INTERNATIONAL GROWTH, INTERNATIONAL GROWTH OPPORTUNITIES, AND U.S. HIGH YIELD BOND DO NOT EXCEED 1.40%, 1.25%, 1.00%, 1.00%, 1.00%, 1.10%, 1.15%, AND 0.60% FOR THE PERIOD 04/01/03 TO 07/28/03, 1.56%, 1.48%, 1.12%, 1.23%, 1.02%, 1.16%, 1.41%, 1.56%, AND 0.63% FOR THE PERIOD 07/29/03 TO 03/31/04, RESPECTIVELY. U.S. SMALL CAP VALUE DOES NOT EXCEED 1.30% FOR THE PERIOD 04/01/03 TO 07/28/03, 1.45% FOR THE PERIOD 07/29/03 TO 02/23/04, 1.30% FOR THE PERIOD 02/24/04 TO 03/31/04. U.S. SYSTEMATIC MID CAP GROWTH DID NOT EXCEED 1.33% FOR THE PERIOD 02/24/04 TO 03/31/04. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 56 <Page> <Table> <Caption> NET ASSET NET ASSETS, TOTAL VALUE, TOTAL ENDING DISTRIBUTIONS ENDING RETURN (2) (IN 000'S) - ------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> U.S. EQUITY FUNDS U.S. MICRO CAP For the year ended 03/31/07 $(1.79) $15.33 (1.35%) $ 84,405 For the year ended 03/31/06 (0.35) 17.43 39.04% 78,058 For the year ended 03/31/05 (0.68) 12.83 (8.17%) 69,246 For the year ended 03/31/04 -- 14.69 97.45% 68,876 For the year ended 03/31/03 -- 7.44 (31.62%) 35,625 U.S. EMERGING GROWTH For the year ended 03/31/07 $(0.93) $13.09 1.30% $ 7,409 For the year ended 03/31/06 (0.01) 13.90 42.38% 6,721 For the year ended 03/31/05 -- 9.77 1.66% 12,043 For the year ended 03/31/04 -- 9.61 52.06% 32,095 For the year ended 03/31/03 -- 6.32 (34.10%) 36,756 U.S. SMALL CAP VALUE For the year ended 03/31/07 $(2.52) $19.29 10.21% $ 67,326 For the year ended 03/31/06 (1.24) 19.85 21.97% 120,104 For the year ended 03/31/05 (2.32) 17.40 11.91% 86,017 For the year ended 03/31/04 (0.48) 17.64 77.64% 65,791 For the year ended 03/31/03 (2.17) 10.23 (21.54%) 10,980 U.S. SYSTEMATIC LARGE CAP GROWTH For the year ended 03/31/07 $ -- $19.77 10.69% $ 945 For the year ended 03/31/06 -- 17.86 13.98% 667 For the year ended 03/31/05 -- 15.67 4.05% 780 For the year ended 03/31/04 -- 15.06 18.30% 3,518 For the year ended 03/31/03 -- 12.73 (29.59%) 18,328 U.S. SYSTEMATIC MID CAP GROWTH For the year ended 03/31/07 $(0.58) $13.77 10.54% $ 3,335 For the year ended 03/31/06 (0.48) 13.02 26.73% 3,348 For the year ended 03/31/05 -- 10.69 8.09% 5,566 2/27/04 (Commenced) to 03/31/04 -- 9.89 (1.10%)(8) 5,347 U.S. CONVERTIBLE For the year ended 03/31/07 $(2.70) $24.35 10.79% $ 39,022 For the year ended 03/31/06 (1.59) 24.57 17.15% 31,627 For the year ended 03/31/05 (1.72) 22.44 4.62% 35,397 For the year ended 03/31/04 (0.59) 23.11 34.15% 50,103 For the year ended 03/31/03 (0.71) 17.72 (13.69%) 44,901 <Caption> RATIOS TO AVERAGE NET ASSETS (3) ------------------------------------------------------------------------------- EXPENSES EXPENSES NET OF FUND'S NET EXPENSE NET OF REIMBURSEMENT/ PORTFOLIO INVESTMENT TOTAL (REIMBURSEMENTS)/ REIMBURSEMENT/ RECOUPMENT TURNOVER INCOME (LOSS) EXPENSES RECOUPMENT RECOUPMENT OFFSET (4) RATE - -------------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> <C> U.S. EQUITY FUNDS U.S. MICRO CAP For the year ended 03/31/07 (0.75%) 1.58% -- (12) 1.58% 1.19% 165% For the year ended 03/31/06 (0.78%) 1.64% (0.07%) 1.57% 1.10%(11) 180% For the year ended 03/31/05 (0.72%) 1.63% (0.07%) 1.56% 1.12% 266% For the year ended 03/31/04 (1.08%) 1.64% (0.07%) 1.57% 1.19%(7) 298% For the year ended 03/31/03 (1.36%) 1.75% (0.16%) 1.59% 1.55%(5) 164% U.S. EMERGING GROWTH For the year ended 03/31/07 (0.54%) 1.21% -- (12) 1.21% 0.72% 148% For the year ended 03/31/06 (1.04%) 1.89% (0.39%) 1.50% 1.17%(11) 128% For the year ended 03/31/05 (0.75%) 1.63% (0.17%) 1.46% 1.06% 142% For the year ended 03/31/04 (1.04%) 1.48% (0.00%) 1.48% 1.26%(7) 166% For the year ended 03/31/03 (0.96%) 1.45% (0.17%) 1.28% 1.26%(5) 118% U.S. SMALL CAP VALUE For the year ended 03/31/07 0.33% 1.31% -- (12) 1.31% 1.01% 55% For the year ended 03/31/06 0.60% 1.31% (0.01%) 1.30% 0.98%(11) 53% For the year ended 03/31/05 0.11% 1.33% (0.03%) 1.30% 1.13% 73% For the year ended 03/31/04 0.18% 1.35% (0.01%) 1.34% 1.19%(7) 101% For the year ended 03/31/03 0.47% 1.54% (0.26%) 1.28% 1.25%(5) 109% U.S. SYSTEMATIC LARGE CAP GROWTH For the year ended 03/31/07 0.09% 1.13% -- (12) 1.13% 1.05% 100% For the year ended 03/31/06 0.19% 1.67% (0.53%) 1.14% 1.04%(11) 147% For the year ended 03/31/05 0.45% 1.66% (0.54%) 1.12% 1.00% 197% For the year ended 03/31/04 (0.16%) 1.33% (0.20%) 1.13% 0.93%(7) 172% For the year ended 03/31/03 (0.34%) 1.27% (0.30%) 0.97% 0.95%(5) 193% U.S. SYSTEMATIC MID CAP GROWTH For the year ended 03/31/07 (0.34%) 1.34% -- (12) 1.34% 1.14% 191% For the year ended 03/31/06 (0.33%) 2.15% (0.81%) 1.34% 1.01%(11) 160% For the year ended 03/31/05 (0.36%) 1.97% (0.63%) 1.34% 1.21% 146%(10) 2/27/04 (Commenced) to 03/31/04 (0.43%) 4.39% (3.04%) 1.35% 1.35%(7) 14% U.S. CONVERTIBLE For the year ended 03/31/07 1.89% 1.02% -- (12) 1.02% 0.85% 92% For the year ended 03/31/06 1.02% 1.14% (0.11%) 1.03% 0.87%(11) 92% For the year ended 03/31/05 1.68% 1.10% (0.08%) 1.02% 0.85% 102% For the year ended 03/31/04 2.57% 1.10% (0.06%) 1.04% 1.00%(7) 103% For the year ended 03/31/03 3.17% 1.16% (0.15%) 1.01% 1.00%(5) 114% </Table> (8) INCEPTION TO DATE RETURN. (9) LESS THAN ONE PENNY PER SHARE. (10) DUE TO THE REALIGNMENT OF THE FUND'S PORTFOLIO IN CONNECTION WITH THE COMBINATION WITH U.S. SYSTEMATIC MID CAP GROWTH FUND, THE COST OF PURCHASES OF $1,095,903 AND PROCEEDS FROM SALES OF $1,041,817 HAVE BEEN EXCLUDED FROM THE PORTFOLIO TURNOVER CALCULATION. (11) THE BOARD OF TRUSTEES APPROVED THE AMENDMENTS TO THE EXPENSE LIMITATION AGREEMENT WHEREBY OVERALL OPERATING EXPENSES (EXCLUDING TAXES, INTEREST, BROKERAGE AND EXTRAORDINARY EXPENSES), OF THE U.S. EMERGING GROWTH, GLOBAL SELECT, INTERNATIONAL GROWTH, INTERNATIONAL GROWTH OPPORTUNITIES, AND INTERNATIONAL ALL CAP GROWTH DO NOT EXCEED 1.20%, 1.15%, 1.39%, 1.42%, AND 1.15% FOR THE PERIOD 01/24/06 TO 03/31/06 RESPECTIVELY. U.S. MICRO CAP, U.S. SMALL CAP VALUE, U.S. SYSTEMATIC LARGE CAP GROWTH, U.S. SYSTEMATIC MID CAP GROWTH, U.S. CONVERTIBLE AND U.S. HIGH YIELD BOND HAD RATES THROUGHOUT THE YEAR OF 1.56%, 1.30%, 1.12%, 1.33%, 1.02% AND 0.63% RESPECTIVELY. (12) THE EXPENSE REIMBURSEMENT WAS TERMINATED ON JANUARY 23, 2006. 57 <Page> <Table> <Caption> DISTRIBUTIONS FROM: -------------------------- NET ASSET NET NET REALIZED TOTAL FROM NET NET VALUE, INVESTMENT AND UNREALIZED INVESTMENT INVESTMENT REALIZED BEGINNING INCOME (LOSS) (1) GAINS (LOSS) OPERATIONS INCOME CAPITAL GAINS - ----------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> <C> GLOBAL EQUITY FUNDS GLOBAL SELECT For the year ended 03/31/07 $18.96 $ 0.06 $ 1.85 $ 1.91 $ -- $(2.27) For the year ended 03/31/06 16.09 0.03 3.97 4.00 (0.03) (1.10) For the year ended 03/31/05 15.58 0.06 1.37 1.43 -- (0.92) For the year ended 03/31/04 10.26 (0.01) 5.33 5.32 -- -- For the year ended 03/31/03 13.67 (0.02) (3.39) (3.41) -- -- INTERNATIONAL GROWTH For the year ended 03/31/07 $22.69 $ 0.07 $ 2.86 $ 2.93 $(0.07) $(3.20) For the year ended 03/31/06 20.47 0.16 6.05 6.21 -- (3.99) For the year ended 03/31/05 19.09 0.08 1.72 1.80 -- (0.42) For the year ended 03/31/04 12.83 0.30 6.00 6.30 (0.04) -- For the year ended 03/31/03 17.17 0.12 (4.46) (4.34) -- -- INTERNATIONAL GROWTH OPPORTUNITIES For the year ended 03/31/07 $49.86 $ 0.05 $ 9.07 $ 9.12 $ -- $(1.62) For the year ended 03/31/06 35.01 (0.01) 15.10 15.09 (0.24) -- For the year ended 03/31/05 29.43 0.32 5.35 5.67 (0.09) -- For the year ended 03/31/04 17.39 0.18 11.86 12.04 -- -- For the year ended 03/31/03 22.72 0.07 (5.40) (5.33) -- -- EMERGING MARKETS 8/21/06 (Commenced) to 03/31/07 $10.00 $ 0.02 $ 2.84 $ 2.86 $(0.07) $ -- INTERNATIONAL SYSTEMATIC For the year ended 03/31/07 $13.70 $ 0.09 $ 2.50 $ 2.59 $(0.02) $(0.25) 7/06/05 (Commenced) to 03/31/06 10.00 0.06 3.81 3.87 (0.01) (0.16) INTERNATIONAL ALL CAP GROWTH For the year ended 03/31/07 $13.00 $ 0.07 $ 1.93 $ 2.00 $(0.08) $(0.51) For the year ended 03/31/06 9.08 0.01 3.92 3.93 (0.01) -- For the year ended 03/31/05 8.19 0.01 0.92 0.93 -- (0.04) For the year ended 03/31/04 4.84 (0.01) 3.36 3.35 -- -- For the year ended 03/31/03 6.74 (0.03) (1.87) (1.90) -- -- FIXED INCOME FUND U.S. HIGH YIELD BOND For the year ended 03/31/07 $10.00 $ 0.73 $ 0.30 $ 1.03 $(0.76) $ -- For the year ended 03/31/06 10.04 0.70 0.02 0.73 (0.76) -- For the year ended 03/31/05 10.34 0.85 (0.31) 0.54 (0.84) (0.00)(9) For the year ended 03/31/04 9.65 0.86 0.63 1.49 (0.80) -- For the year ended 03/31/03 9.88 0.83 (0.23) 0.60 (0.83) -- </Table> (1) NET INVESTMENT INCOME PER SHARE IS CALCULATED BY DIVIDING NET INVESTMENT INCOME FOR THE PERIOD BY THE AVERAGE SHARES OUTSTANDING DURING THE PERIOD. (2) TOTAL RETURNS ARE NOT ANNUALIZED FOR PERIODS LESS THAN ONE YEAR. (3) RATIOS ARE ANNUALIZED FOR PERIODS OF LESS THAN ONE YEAR. EXPENSE REIMBURSEMENTS REFLECT VOLUNTARY REDUCTIONS TO TOTAL EXPENSES, AS DISCUSSED IN THE NOTES TO FINANCIAL STATEMENTS. SUCH AMOUNTS WOULD DECREASE NET INVESTMENT INCOME (LOSS) RATIOS HAD SUCH REDUCTIONS NOT OCCURRED. (4) NET EXPENSES INCLUDE CERTAIN ITEMS NOT SUBJECT TO EXPENSE REIMBURSEMENT. (5) THE BOARD OF TRUSTEES APPROVED THE AMENDMENTS TO THE EXPENSE LIMITATION AGREEMENT WHEREBY OVERALL OPERATING EXPENSES (EXCLUDING TAXES, INTEREST, BROKERAGE AND EXTRAORDINARY EXPENSES), OF THE U.S. MICRO CAP, U.S. SYSTEMATIC LARGE CAP GROWTH, GLOBAL SELECT, INTERNATIONAL GROWTH, AND U.S. HIGH YIELD BOND DO NOT EXCEED 1.56%, 1.00%, 1.20%, 1.40%, AND 0.75% FOR THE PERIOD 04/01/02 TO 06/30/02, 1.56%, 0.90%, 1.05%, 1.15%, AND 0.75% PERIOD 07/01/02 TO 01/21/03, 1.40%, 1.00%, 1.10%, 1.15%, AND 0.80% FOR THE PERIOD 01/22/03 TO 03/31/03, RESPECTIVELY. U.S. EMERGING GROWTH, U.S. SMALL CAP VALUE, U.S. EQUITY GROWTH, CONVERTIBLE AND INTERNATIONAL GROWTH OPPORTUNITIES HAD RATES THROUGHOUT THE YEAR OF 1.25%, 1.30%, 1.00%, 1.00% AND 1.40% RESPECTIVELY. (6) DUE TO THE REALIGNMENT OF THE FUND'S PORTFOLIO IN CONNECTION WITH THE COMBINATION WITH GLOBAL TECHNOLOGY FUND AND GLOBAL HEALTHCARE FUND, THE COST OF PURCHASES OF $27,251,277 AND PROCEEDS FROM SALES OF $35,006,695 HAVE BEEN EXCLUDED FROM THE PORTFOLIO TURNOVER CALCULATION. (7) THE BOARD OF TRUSTEES APPROVED THE AMENDMENTS TO THE EXPENSES LIMITATION AGREEMENT WHERE BY OVERALL OPERATING EXPENSES (EXCLUDING TAXES, INTEREST, BROKERAGE AND EXTRAORDINARY EXPENSES), OF THE U.S. MICRO CAP, U.S. EMERGING GROWTH, U.S. SYSTEMATIC LARGE CAP GROWTH, U.S. EQUITY GROWTH, U.S. CONVERTIBLE, GLOBAL SELECT, INTERNATIONAL GROWTH, INTERNATIONAL GROWTH OPPORTUNITIES, AND U.S. HIGH YIELD BOND DO NOT EXCEED 1.40%, 1.25%, 1.00%, 1.00%, 1.00%, 1.10%, 1.15%, AND 0.60% FOR THE PERIOD 04/01/03 TO 07/28/03, 1.56%, 1.48%, 1.12%, 1.23%, 1.02%, 1.16%, 1.41%, 1.56%, AND 0.63% FOR THE PERIOD 07/29/03 TO 03/31/04, RESPECTIVELY. U.S. SMALL CAP VALUE DOES NOT EXCEED 1.30% FOR THE PERIOD 04/01/03 TO 07/28/03, 1.45% FOR THE PERIOD 07/29/03 TO 02/23/04, 1.30% AND 1.65% FOR THE PERIOD 02/24/04 TO 03/31/04, U.S. SYSTEMATIC MID CAP GROWTH DID NOT EXCEED 1.33% FOR THE PERIOD 02/24/04 TO 03/31/04. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 58 <Page> <Table> <Caption> NET ASSET NET ASSETS, TOTAL VALUE, TOTAL ENDING DISTRIBUTIONS ENDING RETURN (2) (IN 000'S) - ------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> GLOBAL EQUITY FUNDS GLOBAL SELECT For the year ended 03/31/07 $(2.27) $18.60 10.64% $ 78,550 For the year ended 03/31/06 (1.13) 18.96 25.76% 77,225 For the year ended 03/31/05 (0.92) 16.09 9.27% 66,115 For the year ended 03/31/04 -- 15.58 51.85% 78,327 For the year ended 03/31/03 -- 10.26 (24.95%) 69,776 INTERNATIONAL GROWTH For the year ended 03/31/07 $(3.27) $22.35 13.80% $ 15,000 For the year ended 03/31/06 (3.99) 22.69 33.63% 45,889 For the year ended 03/31/05 (0.42) 20.47 9.49% 41,394 For the year ended 03/31/04 (0.04) 19.09 49.17% 51,450 For the year ended 03/31/03 -- 12.83 (25.28%) 88,029 INTERNATIONAL GROWTH OPPORTUNITIES For the year ended 03/31/07 $(1.62) $57.36 18.71% $104,003 For the year ended 03/31/06 (0.24) 49.86 43.34% 107,749 For the year ended 03/31/05 (0.09) 35.01 19.28% 55,462 For the year ended 03/31/04 -- 29.43 69.24% 54,015 For the year ended 03/31/03 -- 17.39 (23.46%) 65,351 EMERGING MARKETS 8/21/06 (Commenced) to 03/31/07 $(0.07) $12.79 28.65%(8) $ 94 INTERNATIONAL SYSTEMATIC For the year ended 03/31/07 $(0.27) $16.02 19.04% $ 4,623 7/06/05 (Commenced) to 03/31/06 (0.17) 13.70 38.92%(8) 4,662 INTERNATIONAL ALL CAP GROWTH For the year ended 03/31/07 $(0.59) $14.41 15.75% $ 23,827 For the year ended 03/31/06 (0.01) 13.00 43.28% 20,562 For the year ended 03/31/05 (0.04) 9.08 11.34% 33,900 For the year ended 03/31/04 -- 8.19 69.21% 28,700 For the year ended 03/31/03 -- 4.84 (28.19%) 19,700 FIXED INCOME FUND U.S. HIGH YIELD BOND For the year ended 03/31/07 $(0.76) $10.27 10.76% $ 63,925 For the year ended 03/31/06 (0.76) 10.00 7.40% 81,187 For the year ended 03/31/05 (0.84) 10.04 5.40% 131,677 For the year ended 03/31/04 (0.80) 10.34 16.67% 102,110 For the year ended 03/31/03 (0.83) 9.65 6.61% 120,182 <Caption> RATIOS TO AVERAGE NET ASSETS (3) ------------------------------------------------------------------------------- EXPENSES EXPENSES NET OF FUND'S NET EXPENSE NET OF REIMBURSEMENT/ PORTFOLIO INVESTMENT TOTAL (REIMBURSEMENTS)/ REIMBURSEMENT/ RECOUPMENT TURNOVER INCOME (LOSS) EXPENSES RECOUPMENT RECOUPMENT OFFSET (4) RATE - -------------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> <C> GLOBAL EQUITY FUNDS GLOBAL SELECT For the year ended 03/31/07 0.35% 1.16% -- (12) 1.16% 1.00% 105% For the year ended 03/31/06 0.16% 1.13% (0.00%) 1.13% 0.88%(11) 139% For the year ended 03/31/05 0.41% 1.15% (0.01%) 1.14% 0.95% 164% For the year ended 03/31/04 (0.05%) 1.28% (0.10%) 1.18% 1.01%(7) 226% For the year ended 03/31/03 (0.16%) 1.42% (0.27%) 1.15% 1.13%(5) 230%(6) INTERNATIONAL GROWTH For the year ended 03/31/07 0.30% 1.41% -- (12) 1.41% 1.14% 119% For the year ended 03/31/06 0.73% 1.37% (0.00%) 1.37% 0.99%(11) 167% For the year ended 03/31/05 0.42% 1.39% (0.00%) 1.39% 1.08% 203% For the year ended 03/31/04 1.35% 1.49% (0.04%) 1.45% 1.19%(7) 186% For the year ended 03/31/03 0.76% 1.46% (0.21%) 1.25% 1.23%(5) 203% INTERNATIONAL GROWTH OPPORTUNITIES For the year ended 03/31/07 0.09% 1.43% -- (12) 1.43% 1.18% 127% For the year ended 03/31/06 (0.02%) 1.38% (0.00%) 1.38% 1.07%(11) 168% For the year ended 03/31/05 1.05% 1.42% (0.00%) 1.42% 1.11% 110% For the year ended 03/31/04 0.74% 1.47% (0.00%) 1.47% 1.28%(7) 124% For the year ended 03/31/03 0.36% 1.54% (0.10%) 1.44% 1.42%(5) 129% EMERGING MARKETS 8/21/06 (Commenced) to 03/31/07 0.23% 1.63% -- (12) 1.63% 1.52% 22% INTERNATIONAL SYSTEMATIC For the year ended 03/31/07 0.70% 0.93%(15) -- (12) 0.93% 0.70% 210% 7/06/05 (Commenced) to 03/31/06 0.78% 2.94% (1.69%) 1.25% 1.11%(10) 103% INTERNATIONAL ALL CAP GROWTH For the year ended 03/31/07 0.49% 1.18% -- (12) 1.18% 1.04% 118% For the year ended 03/31/06 0.08% 1.89% (0.47%) 1.42% 1.39% 196% For the year ended 03/31/05 (0.42%) 2.07% (0.59%) 1.48% 1.48% 166% For the year ended 03/31/04 (0.87%) 2.25% (0.77%) 1.48% 1.48% 153% For the year ended 03/31/03 (1.37%) 2.47% (0.98%) 1.49% 1.49%(13) 190% FIXED INCOME FUND U.S. HIGH YIELD BOND For the year ended 03/31/07 7.21% 0.64% -- (12) 0.64% 0.52%(14) 92% For the year ended 03/31/06 6.70% 0.82% (0.18%) 0.64% 0.56%(11) 112% For the year ended 03/31/05 7.82% 0.82% (0.19%) 0.63% 0.60% 123% For the year ended 03/31/04 8.43% 0.87% (0.23%) 0.64% 0.61%(7) 134% For the year ended 03/31/03 8.78% 1.01% (0.24%) 0.77% 0.77%(5) 137% </Table> (8) INCEPTION TO DATE RETURN. (9) LESS THAN ONE PENNY PER SHARE. (10) THE BOARD OF TRUSTEES APPROVED THE AMENDMENTS TO THE EXPENSES LIMITATION AGREEMENT WHERE BY OVERALL OPERATING EXPENSES (EXCLUDING TAXES, INTEREST, BROKERAGE AND EXTRAORDINARY EXPENSES), INTERNATINAL SYSTEMATIC FUND DO NOT EXCEED 1.75% FOR THE PERIOD 07/06/05 TO 07/31/05 AND 1.20% FOR THE PERIOD 08/01/05 TO 09/30/05, RESPECTIVELY. (11) THE BOARD OF TRUSTEES APPROVED THE AMENDMENTS TO THE EXPENSE LIMITATION AGREEMENT WHEREBY OVERALL OPERATING EXPENSES (EXCLUDING TAXES, INTEREST, BROKERAGE AND EXTRAORDINARY EXPENSES), OF THE U.S. EMERGING GROWTH, GLOBAL SELECT, INTERNATIONAL GROWTH, INTERNATIONAL GROWTH OPPORTUNITIES, AND INTERNATIONAL ALL CAP GROWTH DO NOT EXCEED 1.20%, 1.15%, 1.39%, 1.42%, AND 1.15% FOR THE PERIOD 01/24/06 TO 03/31/06 RESPECTIVELY. U.S. MICRO CAP, U.S. SMALL CAP VALUE, U.S. SYSTEMATIC LARGE CAP GROWTH, U.S. SYSTEMATIC MID CAP GROWTH, U.S. CONVERTIBLE AND U.S. HIGH YIELD BOND HAD RATES THROUGHOUT THE YEAR OF 1.56%, 1.30%, 1.12%, 1.33%, 1.02% AND 0.63% RESPECTIVELY. (12) THE EXPENSE REIMBURSEMENT WAS TERMINATED ON JANUARY 23, 2006. (13) FOR THE YEAR ENDED MARCH 31, 2003 RATIOS INCLUDE 12B-1 FEES FROM CLASS R WHICH WERE EXCHANGED TO CLASS I SHARES ON SEPTEMBER 30, 2002. HAD THOSE FEES NOT BEEN INCLUDED, THE EXPENSE AND NET INVESTMENT INCOME LOSS RATIOS WOULD HAVE BEEN 1.48% AND (1.38%) RESPECTIVELY. (14) FOR THE YEAR ENDED MARCH 31, 2007 RATIOS DO NOT INCLUDE ONE TIME EXPENSE CREDIT. HAD THIS CREDIT BEEN INCLUDED, THE EXPENSE RATIOS WOULD HAVE BEEN DECREASED BY 0.07% (15) FOR THE PERIOD FROM 11/28/06 TO 12/21/06 THE UNITARY FEES FOR INTERNATIONAL SYSTEMATIC FUND CLASS I WERE REDUCED FROM 0.48% TO 0.23%. THE UNITARY FEES WERE RESUMED TO 0.48% THROUGH MARCH 31, 2007. 59 <Page> For a Class II share outstanding during the period indicated <Table> <Caption> DISTRIBUTIONS FROM: NET -------------------- NET REALIZED NET NET ASSET INVESTMENT AND TOTAL FROM NET REALIZED VALUE, INCOME UNREALIZED INVESTMENT INVESTMENT CAPITAL BEGINNING (LOSS) (1) GAINS (LOSS) OPERATIONS INCOME GAINS - ---------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> <C> U.S.EQUITY FUNDS U.S.MICRO CAP For the year ended 03/31/07 $17.50 $(0.08) $(0.19) $(0.27) $ -- $(1.79) For the year ended 03/31/06 12.85 (0.09) 5.09 5.00 -- (0.35) 09/30/04 (Commenced) to 03/31/05 12.49 (0.03) 1.07 1.04 -- (0.68) U.S.SMALL CAP VALUE For the year ended 03/31/07 $19.83 $ 0.08 $ 1.90 $ 1.98 $(0.09) $(2.44) For the year ended 03/31/06 17.39 0.13 3.57 3.70 (0.08) (1.18) 11/10/04 (Commenced) to 03/31/05 18.82 0.00(6) 0.93 0.93 (0.04) (2.32) U.S.SYSTEMATIC LARGE CAP GROWTH For the year ended 03/31/07 $17.75 $ 0.05 $ 1.87 $ 1.92 $(0.00)(6) $ -- 09/30/05 (Commenced) to 03/31/06 16.35 0.02 1.51 1.53 (0.13) -- U.S.SYSTEMATIC MID CAP GROWTH For the year ended 03/31/07 $13.07 $(0.02) $ 1.38 $ 1.36 $ -- $(0.58) 09/30/05 (Commenced) to 03/31/06 12.10 (0.01) 1.46 1.45 -- (0.48) U.S.CONVERTIBLE For the year ended 03/31/07 $24.58 $ 0.47 $ 2.04 $ 2.51 $(0.50) $(2.23) 09/30/05 (Commenced) to 03/31/06 23.97 0.30 1.63 1.93 (0.28) (1.04) GLOBAL FUNDS GLOBAL SELECT For the year ended 03/31/07 $18.97 $ 0.08 $ 1.84 $ 1.92 $(0.01) $(2.27) For the year ended 03/31/06 16.09 0.04 3.98 4.02 (0.04) (1.10) For the year ended 03/31/05 15.58 0.07 1.36 1.43 -- (0.92) 6/30/03 (Commenced) to 03/31/04 12.12 (0.01) 3.47 3.46 -- -- INTERNATIONAL GROWTH For the year ended 03/31/07 $22.71 $ 0.14 $ 2.86 $ 3.00 $(0.15) $(3.20) 1/23/06 (Commenced) to 03/31/06 21.64 1.85 (0.78) 1.07 -- -- INTERNATIONAL GROWTH OPPORTUNITIES For the year ended 03/31/07 $50.01 $ 0.02 $ 9.22 $ 9.24 $ -- $(1.62) For the year ended 03/31/06 35.02 0.13 15.06 15.19 (0.20) -- For the year ended 03/31/05 29.47 0.38 5.32 5.70 (0.15) -- 6/05/03 (Commenced) to 03/31/04 20.85 0.14 8.48 8.62 -- -- EMERGING MARKETS 03/23/07 (Commenced) to 03/31/07 $12.61 $ 0.00(6) $ 0.17 $ 0.17 $ -- $ -- INTERNATIONAL SYSTEMATIC 12/20/06 (Commenced) to 03/31/07 $15.48 $ 0.07 $ 0.45 $ 0.52 $ -- $ -- FIXED INCOME FUND U.S. HIGH YIELD BOND For the year ended 03/31/07 $ 9.98 $ 0.74 $ 0.29 $ 1.03 $(0.76) $ -- For the year ended 03/31/06 10.02 0.69 0.03 0.72 (0.76) -- For the year ended 03/31/05 10.33 0.85 (0.32) 0.53 (0.84) (0.00)(6) 6/30/03 (Commenced) to 03/31/04 10.18 0.66 0.10 0.76 (0.61) -- </Table> (1) NET INVESTMENT INCOME PER SHARE IS CALCULATED BY DIVIDING NET INVESTMENT INCOME FOR THE PERIOD BY THE AVERAGE SHARES OUTSTANDING DURING THE PERIOD. (2) TOTAL RETURNS ARE NOT ANNUALIZED FOR PERIODS LESS THAN ONE YEAR. (3) RATIOS ARE ANNUALIZED FOR PERIODS OF LESS THAN ONE YEAR. EXPENSE REIMBURSEMENTS REFLECT VOLUNTARY REDUCTIONS TO TOTAL EXPENSES, AS DISCUSSED IN THE NOTES TO FINANCIAL STATEMENTS. SUCH AMOUNTS WOULD DECREASE NET INVESTMENT INCOME (LOSS) RATIOS HAD SUCH REDUCTIONS NOT OCCURRED. (4) NET EXPENSES INCLUDE CERTAIN ITEMS NOT SUBJECT TO EXPENSE REIMBURSEMENT. (5) INCEPTION TO DATE RETURN. (6) LESS THAN ONE PENNY PER SHARE. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 60 <Page> <Table> <Caption> NET NET ASSET TOTAL ASSETS, TOTAL VALUE, RETURN ENDING DISTRIBUTIONS ENDING (2) (IN 000'S) - --------------------------------------------------------------------------------- <S> <C> <C> <C> <C> U.S.EQUITY FUNDS U.S.MICRO CAP For the year ended 03/31/07 $(1.79) $15.44 (1.11%) $ 2,692 For the year ended 03/31/06 (0.35) 17.50 39.37% 5,875 09/30/04 (Commenced) to 03/31/05 (0.68) 12.85 8.17%(5) 15,200 U.S.SMALL CAP VALUE For the year ended 03/31/07 $(2.53) $19.28 10.29% $ 9,382 For the year ended 03/31/06 (1.26) 19.83 22.15% 43,365 11/10/04 (Commenced) to 03/31/05 (2.36) 17.39 4.95%(5) 17,691 U.S.SYSTEMATIC LARGE CAP GROWTH For the year ended 03/31/07 $ -- $19.67 10.83% $ 10,040 09/30/05 (Commenced) to 03/31/06 (0.13) 17.75 9.43%(5) 3,743 U.S.SYSTEMATIC MID CAP GROWTH For the year ended 03/31/07 $(0.58) $13.85 10.81% $ 23,706 09/30/05 (Commenced) to 03/31/06 (0.48) 13.07 12.39%(5) 21,937 U.S.CONVERTIBLE For the year ended 03/31/07 $(2.73) $24.36 10.92% $ 7,880 09/30/05 (Commenced) to 03/31/06 (1.32) 24.58 8.47%(5) 3,634 GLOBAL FUNDS GLOBAL SELECT For the year ended 03/31/07 $(2.28) $18.61 10.67% $ 90,871 For the year ended 03/31/06 (1.14) 18.97 25.90% 100,610 For the year ended 03/31/05 (0.92) 16.09 9.27% 69,548 6/30/03 (Commenced) to 03/31/04 -- 15.58 28.55%(5) 35,817 INTERNATIONAL GROWTH For the year ended 03/31/07 $(3.35) $22.36 14.12% $ 52,420 1/23/06 (Commenced) to 03/31/06 -- 22.71 4.94%(5) 56,501 INTERNATIONAL GROWTH OPPORTUNITIES For the year ended 03/31/07 $(1.62) $57.63 18.90% $ 73,640 For the year ended 03/31/06 (0.20) 50.01 43.55% 32,565 For the year ended 03/31/05 (0.15) 35.02 19.40% 35,233 6/05/03 (Commenced) to 03/31/04 -- 29.47 41.34%(5) 60,394 EMERGING MARKETS 03/23/07 (Commenced) to 03/31/07 $ -- $12.78 1.35%(5) $ 39,081 INTERNATIONAL SYSTEMATIC 12/20/06 (Commenced) to 03/31/07 $ -- $16.00 3.36%(5) $ 12,722 FIXED INCOME FUND U.S. HIGH YIELD BOND For the year ended 03/31/07 $(0.76) $10.25 10.85% $ 33,803 For the year ended 03/31/06 (0.76) 9.98 7.48% 42,648 For the year ended 03/31/05 (0.84) 10.02 5.36% 42,710 6/30/03 (Commenced) to 03/31/04 (0.61) 10.33 8.43%(5) 68,952 <Caption> RATIOS TO AVERAGE NET ASSETS (3) ------------------------------------------------------------------- EXPENSES NET EXPENSES NET OF FUND'S INVESTMENT EXPENSE NET OF REIMBURSEMENT/ PORTFOLIO INCOME TOTAL (REIMBURSEMENTS)/ REIMBURSEMENT/ RECOUPMENT TURNOVER (LOSS) EXPENSES RECOUPMENT RECOUPMENT OFFSET (4) RATE - ------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> <C> <C> U.S.EQUITY FUNDS U.S.MICRO CAP For the year ended 03/31/07 (0.49%) 1.32% -- (8) 1.32% 0.91% 165% For the year ended 03/31/06 (0.56%) 1.40% (0.09%) 1.31% 0.85%(7) 180% 09/30/04 (Commenced) to 03/31/05 (0.41%) 1.37% (0.06%) 1.31% 0.97% 266% U.S.SMALL CAP VALUE For the year ended 03/31/07 0.37% 1.21% -- (8) 1.21% 0.91% 55% For the year ended 03/31/06 0.76% 1.21% (0.01%) 1.20% 0.87%(7) 53% 11/10/04 (Commenced) to 03/31/05 0.33% 1.26% (0.06%) 1.20% 0.93% 73% U.S.SYSTEMATIC LARGE CAP GROWTH For the year ended 03/31/07 0.28% 0.98% -- (8) 0.98% 0.91% 100% 09/30/05 (Commenced) to 03/31/06 0.27% 1.37% (0.37%) 1.00% 0.94%(7) 147% U.S.SYSTEMATIC MID CAP GROWTH For the year ended 03/31/07 (0.14%) 1.14% -- (8) 1.14% 0.93% 191% 09/30/05 (Commenced) to 03/31/06 0.25% 2.82% (0.62%) 2.20% 1.92%(7) 160% U.S.CONVERTIBLE For the year ended 03/31/07 2.05% 0.92% -- (8) 0.92% 0.75% 92% 09/30/05 (Commenced) to 03/31/06 2.26% 1.01% (0.09%) 0.92% 0.77%(7) 92% GLOBAL FUNDS GLOBAL SELECT For the year ended 03/31/07 0.44% 1.11% -- (8) 1.11% 0.95% 105% For the year ended 03/31/06 0.21% 1.08% (0.00%) 1.08% 0.83%(7) 139% For the year ended 03/31/05 0.44% 1.10% (0.01%) 1.09% 0.90% 164% 6/30/03 (Commenced) to 03/31/04 (0.08%) 1.24% (0.12%) 1.12% 0.94% 226% INTERNATIONAL GROWTH For the year ended 03/31/07 0.64% 1.02% -- (8) 1.02% 0.75% 119% 1/23/06 (Commenced) to 03/31/06 1.21% 0.99% (0.00%) 0.99% 0.73%(7) 167% INTERNATIONAL GROWTH OPPORTUNITIES For the year ended 03/31/07 0.05% 1.28% -- (8) 1.28% 1.03% 127% For the year ended 03/31/06 0.36% 1.22% (0.00%) 1.22% 0.91%(7) 168% For the year ended 03/31/05 1.19% 1.27% -- 1.27% 0.97% 110% 6/05/03 (Commenced) to 03/31/04 0.66% 1.29% -- 1.29% 1.11% 124% EMERGING MARKETS 03/23/07 (Commenced) to 03/31/07 1.28% 1.18% -- (8) 1.18% 1.18% 22% INTERNATIONAL SYSTEMATIC 12/20/06 (Commenced) to 03/31/07 1.33% 0.85% -- (8) 0.85% 0.55% 210% FIXED INCOME FUND U.S. HIGH YIELD BOND For the year ended 03/31/07 7.25% 0.59% -- (8) 0.59% 0.47%(9) 92% For the year ended 03/31/06 6.76% 0.76% (0.17%) 0.59% 0.50%(7) 112% For the year ended 03/31/05 7.88% 0.77% (0.19%) 0.58% 0.54% 123% 6/30/03 (Commenced) to 03/31/04 8.68% 0.82% (0.24%) 0.58% 0.57% 134% </Table> (7) THE BOARD OF TRUSTEES APPROVED THE AMENDMENTS TO THE EXPENSE LIMITATION AGREEMENT WHEREBY OVERALL OPERATING EXPENSES (EXCLUDING TAXES, INTEREST, BROKERAGE AND EXTRAORDINARY EXPENSES), OF THE U.S. SYSTEMATIC LARGE CAP GROWTH CLASS II, U.S. SYSTEMATIC MID CAP GROWTH CLASS II, GLOBAL SELECT CLASS II, INTERNATIONAL GROWTH CLASS II AND INTERNATIONAL GROWTH OPPORTUNITIES CLASS II DO NOT EXCEED 0.97%, 1.13%, 1.10%, 0.99% AND 1.27% FOR THE PERIOD 01/24/06 TO 03/31/06 RESPECTIVELY. U.S. MICRO CAP CLASS II, U.S. SMALL CAP VALUE CLASS II, AND U.S. HIGH YIELD BOND CLASS II HAD RATES THROUGHOUT THE YEAR OF 1.31%, 1.20% AND 0.58% RESPECTIVELY. U.S. CONVERTIBLE FUND CLASS II HAD RATE OF 0.92% SINCE INCEPTION 09.30.05. (8) THE EXPENSE REIMBURSEMENT WAS TERMINATED ON JANUARY 23, 2006. (9) FOR THE YEAR ENDED MARCH 31, 2007 RATIOS FOR U.S. HIGH YIELD BOND FUND DOES NOT INCLUDE ONE TIME EXPENSE CREDITS. HAD THOSE CREDITS BEEN INCLUDED, THE EXPENSE RATIOS WOULD HAVE BEEN DECREASED BY 0.01%. 61 <Page> For a Class III share outstanding during the period indicated <Table> <Caption> DISTRIBUTIONS FROM: -------------------- NET NET REALIZED NET NET ASSET INVESTMENT AND TOTAL FROM NET REALIZED VALUE, INCOME UNREALIZED INVESTMENT INVESTMENT CAPITAL BEGINNING (LOSS)(1) GAINS (LOSS) OPERATIONS INCOME GAINS - -------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> <C> GLOBAL FUNDS INTERNATIONAL GROWTH OPPORTUNITIES For the year ended 03/31/07 $49.87 $ 0.24 $ 9.01 $ 9.25 $ -- $(1.62) 09/30/05 (Commenced) to 03/31/06 (1) 39.26 (0.10) 11.03 10.93 (0.32) -- INTERNATIONAL SYSTEMATIC 12/19/06 (Commenced) to 03/31/07 $15.36 $ 0.09 $ 0.56 $ 0.65 $ -- $ -- </Table> For a Class IV share outstanding during the period indicated <Table> <Caption> DISTRIBUTIONS FROM: -------------------- NET NET REALIZED NET NET ASSET INVESTMENT AND TOTAL FROM NET REALIZED VALUE, INCOME UNREALIZED INVESTMENT INVESTMENT CAPITAL BEGINNING (LOSS) (1) GAINS (LOSS) OPERATIONS INCOME GAINS - ------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> <C> <C> U.S.EQUITY FUNDS U.S.CONVERTIBLE 12/28/06 (Commenced) to 03/31/07 $23.47 $ 0.12 $ 0.91 $ 1.03 $(0.13) $ -- GLOBAL FUNDS INTERNATIONAL GROWTH OPPORTUNITIES For the year ended 03/31/07 $49.90 $ 0.07 $ 9.21 $ 9.28 $ -- $(1.62) 08/31/05 (Commenced) to 03/31/06 (1) 36.91 (0.07) 13.38 13.31 (0.32) -- </Table> (1) NET INVESTMENT INCOME PER SHARE IS CALCULATED BY DIVIDING NET INVESTMENT INCOME FOR THE PERIOD BY THE AVERAGE SHARES OUTSTANDING DURING THE PERIOD. (2) TOTAL RETURNS ARE NOT ANNUALIZED FOR PERIODS LESS THAN ONE YEAR. (3) RATIOS ARE ANNUALIZED FOR PERIODS OF LESS THAN ONE YEAR. EXPENSE REIMBURSEMENTS REFLECT VOLUNTARY REDUCTIONS TO TOTAL EXPENSES, AS DISCUSSED IN THE NOTES TO FINANCIAL STATEMENTS. SUCH AMOUNTS WOULD DECREASE NET INVESTMENT INCOME (LOSS) RATIOS HAD SUCH REDUCTIONS NOT OCCURRED. (4) NET EXPENSES INCLUDE CERTAIN ITEMS NOT SUBJECT TO EXPENSE REIMBURSEMENT. (5) INCEPTION TO DATE RETURN. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 62 <Page> <Table> <Caption> NET NET ASSET TOTAL ASSETS, TOTAL VALUE, RETURN ENDING DISTRIBUTIONS ENDING (2) (IN 000'S) - -------------------------------------------------------------------------------- <S> <C> <C> <C> <C> GLOBAL FUNDS INTERNATIONAL GROWTH OPPORTUNITIES For the year ended 03/31/07 $(1.62) $57.50 19.00% $ 4,694 09/30/05 (Commenced) to 03/31/06 (1) (0.32) 49.87 28.05%(5) 6,771 INTERNATIONAL SYSTEMATIC 12/19/06 (Commenced) to 03/31/07 $ -- $16.01 4.23%(5) $54,604 <Caption> RATIOS TO AVERAGE NET ASSETS (3) ------------------------------------------------------------------- EXPENSES NET EXPENSES NET OF FUND'S INVESTMENT EXPENSE NET OF REIMBURSEMENT/ PORTFOLIO INCOME TOTAL (REIMBURSEMENTS)/ REIMBURSEMENT/ RECOUPMENT TURNOVER (LOSS) EXPENSES RECOUPMENT RECOUPMENT OFFSET (4) RATE - ---------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> <C> GLOBAL FUNDS INTERNATIONAL GROWTH OPPORTUNITIES For the year ended 03/31/07 0.46% 1.23% -- (8) 1.23% 0.97% 127% 09/30/05 (Commenced) to 03/31/06 (1) 0.46% 1.18% (0.00%) 1.18% 0.87%(6) 168% INTERNATIONAL SYSTEMATIC 12/19/06 (Commenced) to 03/31/07 1.95% 0.76% -- (8) 0.76% 0.46% 210% </Table> <Table> <Caption> NET NET ASSET TOTAL ASSETS, TOTAL VALUE, RETURN ENDING DISTRIBUTIONS ENDING (2) (IN 000'S) - ---------------------------------------------------------------------------- <S> <C> <C> <C> <C> U.S.EQUITY FUNDS U.S.CONVERTIBLE 12/28/06 (Commenced) to 03/31/07 $(0.13) $24.37 4.39%(5) $97,007 GLOBAL FUNDS INTERNATIONAL GROWTH OPPORTUNITIES For the year ended 03/31/07 $(1.62) $57.56 19.05% $69,759 08/31/05 (Commenced) to 03/31/06 (1) (0.32) 49.90 36.29%(5) 34,255 <Caption> RATIOS TO AVERAGE NET ASSETS (3) ------------------------------------------------------------------- EXPENSES NET EXPENSES NET OF FUND'S INVESTMENT EXPENSE NET OF REIMBURSEMENT/ PORTFOLIO INCOME TOTAL (REIMBURSEMENTS)/ REIMBURSEMENT/ RECOUPMENT TURNOVER (LOSS) EXPENSES RECOUPMENT RECOUPMENT OFFSET (4) RATE - ------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> <C> U.S.EQUITY FUNDS U.S.CONVERTIBLE 12/28/06 (Commenced) to 03/31/07 1.97% 0.77% -- (8) 0.77% 0.60% 92% GLOBAL FUNDS INTERNATIONAL GROWTH OPPORTUNITIES For the year ended 03/31/07 0.15% 1.19% -- (8) 1.19% 0.93% 127% 08/31/05 (Commenced) to 03/31/06 (1) (0.28%) 1.13% (0.00%) 1.13% 0.84%(7) 168% </Table> (6) THE BOARD OF TRUSTEES APPROVED THE AMENDMENTS TO THE EXPENSES LIMITATION AGREEMENT WHERE BY OVERALL OPERATING EXPENSES (EXCLUDING TAXES, INTEREST, BROKERAGE AND EXTRAORDINARY EXPENSES), INTERNATIONAL GROWTH OPPORTUNITIES FUND CLASS III DO NOT EXCEED 1.22% FOR THE PERIOD 01/24/06 TO 03/31/06. (7) THE BOARD OF TRUSTEES APPROVED THE AMENDMENTS TO THE EXPENSES LIMITATION AGREEMENT WHERE BY OVERALL OPERATING EXPENSES (EXCLUDING TAXES, INTEREST, BROKERAGE AND EXTRAORDINARY EXPENSES), INTERNATIONAL GROWTH OPPORTUNITIES FUND CLASS IV DO NOT EXCEED 1.17% FOR THE PERIOD 01/24/06 TO 03/31/06. (8) THE EXPENSE REIMBURSEMENT WAS TERMINATED ON JANUARY 23, 2006. 63 <Page> STATEMENTS OF ASSETS AND LIABILITIES <Table> <Caption> U.S. U.S. U.S. U.S. SYSTEMATIC SYSTEMATIC U.S. EMERGING SMALL CAP LARGE CAP MID CAP MARCH 31, 2007 MICRO CAP GROWTH VALUE GROWTH GROWTH - --------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> Assets Investments, at value* $123,903,713 $14,201,113 $83,650,084 $17,423,829 $27,039,859 Foreign currencies, at value** -- -- -- -- -- Cash -- -- 342,759 -- -- Receivables: Investment securities sold 757,180 201,647 1,444,034 -- -- Capital shares sold 12,420 18,634 18,797 93,805 9,088 Dividends 6,171 899 88,756 13,045 29,265 Foreign taxes receivable -- -- -- -- -- Interest -- -- -- -- -- Other 62,943 10,755 89,133 3,534 18,920 ------------ ----------- ----------- ----------- ----------- Total Assets 124,742,427 14,433,048 85,633,563 17,534,213 27,097,132 ------------ ----------- ----------- ----------- ----------- Liabilities Payables: Bank overdraft $ -- $ 17,537 $ -- $ -- $ -- Investments purchased 1,491,499 246,297 -- -- -- Capital shares redeemed 25,395 20,725 7,272,904 509,688 11,594 Collateral on securities loaned 36,010,475 3,550,958 852,750 -- -- To investment advisor and administrator 111,807 10,255 103,121 14,556 43,199 Accrued Expenses and other liabilities 5,999 1,405 6,310 2,413 1,976 ------------ ----------- ----------- ----------- ----------- Total Liabilities 37,645,175 3,847,177 8,235,085 526,657 56,769 ------------ ----------- ----------- ----------- ----------- NET ASSETS $ 87,097,252 $10,585,871 $77,398,478 $17,007,556 $27,040,363 ============ =========== =========== =========== =========== * Investments, at cost $111,826,616 $12,738,580 $70,099,940 $15,440,114 $23,318,281 ============ =========== =========== =========== =========== ** Foreign currencies, at cost -- -- -- -- -- ============ =========== =========== =========== =========== Net Assets Consist of: Paid-in capital $ 71,068,472 $15,034,651 $48,593,056 $22,932,046 $24,676,433 Undistributed net investment income (loss) -- -- 78,950 16,091 -- Accumulated net realized gain (loss) on investments and foreign currencies 3,951,683 (5,911,313) 15,176,328 (7,924,296) (1,357,648) Net unrealized appreciation (depreciation) of investments and of other assets and liabilities denominated in foreign currencies 12,077,097 1,462,533 13,550,144 1,983,715 3,721,578 ------------ ----------- ----------- ----------- ----------- Net Assets applicable to all shares outstanding $ 87,097,252 $10,585,871 $77,398,478 $17,007,556 $27,040,363 ============ =========== =========== =========== =========== Net Assets of Class I shares $ 84,405,382 $ 7,409,212 $67,326,499 $ 945,042 $ 3,334,664 Net Assets of Class II shares 2,691,870 -- 9,382,375 10,040,254 23,705,699 Net Assets of Class III shares -- -- -- -- -- Net Assets of Class IV shares -- -- -- -- -- Net Assets of Class R shares -- 3,176,659 689,604 6,022,260 -- ============ =========== =========== =========== =========== Class I Shares outstanding 5,506,981 566,139 3,489,353 47,792 242,121 Class II Shares outstanding 174,376 -- 486,557 510,385 1,711,154 Class III Shares outstanding -- -- -- -- -- Class IV Shares outstanding -- -- -- -- -- Class R Shares outstanding -- 247,355 35,753 310,049 -- ============ =========== =========== =========== =========== Net Asset Value -- Class I Share $ 15.33 $ 13.09 $ 19.29 $ 19.77 $ 13.77 Net Asset Value -- Class II Share $ 15.44 $ -- $ 19.28 $ 19.67 $ 13.85 Net Asset Value -- Class III Share $ -- $ -- $ -- $ -- $ -- Net Asset Value -- Class IV Share $ -- $ -- $ -- $ -- $ -- Net Asset Value -- Class R Share $ -- $ 12.84 $ 19.29 $ 19.42 $ -- ============ =========== =========== =========== =========== </Table> (1) COMMENCED OPERATIONS ON 8/21/06 SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 64 <Page> <Table> <Caption> INTERNATIONAL U.S. GLOBAL INTERNATIONAL GROWTH MARCH 31, 2007 CONVERTIBLE SELECT GROWTH OPPORTUNITIES - ------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> Assets Investments, at value* $144,737,665 $189,200,086 $73,378,175 $283,117,550 Foreign currencies, at value** -- 22,972 4,715 48,535 Cash -- 12,650 3,121 11,255 Receivables: Investment securities sold -- 6,536,247 1,950,649 3,917,333 Capital shares sold 236,410 163,433 14,147 10,742,069 Dividends 31,038 259,744 122,154 392,992 Foreign taxes receivable -- 33,689 19,520 17,295 Interest 545,609 -- -- -- Other -- 55,538 59,065 86,145 ------------ ------------ ----------- ------------ Total Assets 145,550,722 196,284,359 75,551,546 298,333,174 ------------ ------------ ----------- ------------ Liabilities Payables: Bank overdraft $ 7,225 $ -- $ -- $ -- Investments purchased -- 5,448,656 717,598 2,888,153 Capital shares redeemed 237,460 137,947 106,630 10,741,575 Collateral on securities loaned 1,288,998 21,122,450 4,944,858 32,338,758 To investment advisor and administrator 98,050 154,416 61,217 262,282 Accrued Expenses and other liabilities 9,502 -- 7,753 6,360 ------------ ------------ ----------- ------------ Total Liabilities 1,641,235 26,863,469 5,838,056 46,237,128 ------------ ------------ ----------- ------------ NET ASSETS $143,909,487 $169,420,890 $69,713,490 $252,096,046 ============ ============ =========== ============ * Investments, at cost $135,424,034 $168,017,116 $61,454,578 $221,323,720 ============ ============ =========== ============ ** Foreign currencies, at cost -- 22,968 4,659 48,568 ============ ============ =========== ============ Net Assets Consist of: Paid-in capital $140,927,349 $131,094,707 $58,291,962 $205,651,543 Undistributed net investment income (loss) 25,853 605,808 3,363,093 4,164,906 Accumulated net realized gain (loss) on investments and foreign currencies (6,357,346) 16,537,563 (3,867,873) (19,522,078) Net unrealized appreciation (depreciation) of investments and of other assets and liabilities denominated in foreign currencies 9,313,631 21,182,812 11,926,308 61,801,675 ------------ ------------ ----------- ------------ Net Assets applicable to all shares outstanding $143,909,487 $169,420,890 $69,713,490 $252,096,046 ============ ============ =========== ============ Net Assets of Class I shares $ 39,022,328 $ 78,549,636 $14,999,579 $104,002,945 Net Assets of Class II shares 7,880,295 90,871,254 52,420,131 73,639,875 Net Assets of Class III shares -- -- -- 4,694,139 Net Assets of Class IV shares 97,006,864 -- -- 69,759,087 Net Assets of Class R shares -- -- 2,293,780 -- ============ ============ =========== ============ Class I Shares outstanding 1,602,477 4,223,470 671,268 1,813,114 Class II Shares outstanding 323,548 4,883,269 2,344,030 1,277,790 Class III Shares outstanding -- -- -- 81,638 Class IV Shares outstanding 3,980,754 -- -- 1,212,002 Class R Shares outstanding -- -- 105,313 -- ============ ============ =========== ============ Net Asset Value -- Class I Share $ 24.35 $ 18.60 $ 22.35 $ 57.36 Net Asset Value -- Class II Share $ 24.36 $ 18.61 $ 22.36 $ 57.63 Net Asset Value -- Class III Share $ -- $ -- $ -- $ 57.50 Net Asset Value -- Class IV Share $ 24.37 $ -- $ -- $ 57.56 Net Asset Value -- Class R Share $ -- $ -- $ 21.78 $ -- ============ ============ =========== ============ <Caption> INTERNATIONAL U.S. EMERGING INTERNATIONAL ALL CAP HIGH YIELD MARCH 31, 2007 MARKETS (1) SYSTEMATIC GROWTH BOND - ----------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> Assets Investments, at value* $39,305,982 $71,055,964 $ 25,619,069 $95,256,071 Foreign currencies, at value** 12,016 28,483 3,056 -- Cash -- 7,160 1,260 -- Receivables: Investment securities sold 1,238,229 3,480,066 900,088 2,202,154 Capital shares sold 881,642 331,655 25 85,992 Dividends 14,199 421,362 53,519 -- Foreign taxes receivable -- 11,639 19,340 -- Interest -- -- -- 2,030,672 Other 1,803 -- 1,541 26,115 ----------- ----------- ------------ ----------- Total Assets 41,453,871 75,336,329 26,597,898 99,601,004 ----------- ----------- ------------ ----------- Liabilities Payables: Bank overdraft $ 148 $ -- $ -- $ -- Investments purchased 1,389,650 2,988,249 1,066,742 1,763,029 Capital shares redeemed 881,492 341,053 464,158 49,476 Collateral on securities loaned -- -- 1,216,625 -- To investment advisor and administrator 7,348 54,594 22,391 52,322 Accrued Expenses and other liabilities 78 3,333 956 7,885 ----------- ----------- ------------ ----------- Total Liabilities 2,278,716 3,387,229 2,770,872 1,872,712 ----------- ----------- ------------ ----------- NET ASSETS $39,175,155 $71,949,100 $ 23,827,026 $97,728,292 =========== =========== ============ =========== * Investments, at cost $38,545,676 $66,761,139 $ 20,354,980 $91,183,868 =========== =========== ============ =========== ** Foreign currencies, at cost 12,064 28,374 3,037 -- =========== =========== ============ =========== Net Assets Consist of: Paid-in capital $38,410,850 $66,024,254 $ 23,263,590 $97,022,815 Undistributed net investment income (loss) (8,916) 232,004 230,581 379,859 Accumulated net realized gain (loss) on investments and foreign currencies 14,369 1,396,993 (4,930,883) (3,746,585) Net unrealized appreciation (depreciation) of investments and of other assets and liabilities denominated in foreign currencies 758,852 4,295,849 5,263,738 4,072,203 ----------- ----------- ------------ ----------- Net Assets applicable to all shares outstanding $39,175,155 $71,949,100 $ 23,827,026 $97,728,292 =========== =========== ============ =========== Net Assets of Class I shares $ 94,093 $ 4,623,263 $ 23,827,026 $63,925,027 Net Assets of Class II shares 39,081,062 12,721,738 -- 33,803,265 Net Assets of Class III shares -- 54,604,099 -- -- Net Assets of Class IV shares -- -- -- -- Net Assets of Class R shares -- -- -- -- =========== =========== ============ =========== Class I Shares outstanding 7,357 288,680 1,652,995 6,223,620 Class II Shares outstanding 3,057,987 794,890 -- 3,299,398 Class III Shares outstanding -- 3,409,885 -- -- Class IV Shares outstanding -- -- -- -- Class R Shares outstanding -- -- -- -- =========== =========== ============ =========== Net Asset Value -- Class I Share $ 12.79 $ 16.02 $ 14.41 $ 10.27 Net Asset Value -- Class II Share $ 12.78 $ 16.00 $ -- $ 10.25 Net Asset Value -- Class III Share $ -- $ 16.01 $ -- $ -- Net Asset Value -- Class IV Share $ -- $ -- $ -- $ -- Net Asset Value -- Class R Share $ -- $ -- $ -- $ -- =========== =========== ============ =========== </Table> 65 <Page> STATEMENTS OF OPERATIONS <Table> <Caption> U.S. U.S. U.S. U.S. SYSTEMATIC SYSTEMATIC U.S. EMERGING SMALL CAP LARGE CAP MID CAP YEAR ENDED MARCH 31, 2007 MICRO CAP GROWTH VALUE GROWTH GROWTH - -------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> Investment Income Dividends, net of foreign taxes* $ 360,969 $ 19,250 $ 1,920,312 $ 175,760 $ 251,876 Interest 14 87 -- 4 -- ----------- ----------- ------------ ---------- ---------- Total Income 360,983 19,337 1,920,312 175,764 251,876 ----------- ----------- ------------ ---------- ---------- Expenses Advisory fee 838,846 76,975 1,090,274 67,392 222,534 Administration fees 440,729 43,441 739,018 84,618 138,181 Shareholder servicing fees -- 7,918 1,868 14,639 -- Professional fees 12,062 1,499 21,809 2,266 4,143 Trustees' fees and expenses 8,947 1,105 15,946 1,619 3,433 Interest and credit facility fee 462 1,279 825 105 32 Miscellaneous 2,071 264 3,752 404 698 ----------- ----------- ------------ ---------- ---------- Total Expenses 1,303,117 132,481 1,873,492 171,043 369,021 Expense offset (327,122) (50,224) (440,968) (11,370) (67,707) ----------- ----------- ------------ ---------- ---------- Net Expenses 975,995 82,257 1,432,524 159,673 301,314 ----------- ----------- ------------ ---------- ---------- Net Investment Income (Loss) (615,012) (62,920) 487,788 16,091 (49,438) ----------- ----------- ------------ ---------- ---------- Net Realized and Unrealized Gain (Loss) on Investments Realized gain from: Securities 5,021,292 1,305,006 23,316,339 1,136,149 2,559,300 Foreign currency transactions -- -- -- -- -- ----------- ----------- ------------ ---------- ---------- Net realized gain (loss) 5,021,292 1,305,006 23,316,339 1,136,149 2,559,300 ----------- ----------- ------------ ---------- ---------- Change in unrealized appreciation (depreciation) of: Investments (5,804,396) (1,129,950) (11,002,965) 565,057 1,678,267 Other assets and liabilities denominated in foreign currencies -- -- -- -- -- ----------- ----------- ------------ ---------- ---------- Net unrealized appreciation (depreciation) (5,804,396) (1,129,950) (11,002,965) 565,057 1,678,267 ----------- ----------- ------------ ---------- ---------- Net Gain (Loss) on Investments (783,104) 175,056 12,313,374 1,701,206 4,237,567 ----------- ----------- ------------ ---------- ---------- Net Increase (Decrease) in Net Assets Resulting From Operations $(1,398,116) $ 112,136 $ 12,801,162 $1,717,297 $4,188,129 =========== =========== ============ ========== ========== * Foreign taxes withheld $ -- $ -- $ -- $ -- $ -- ----------- ----------- ------------ ---------- ---------- </Table> (1) COMMENCED OPERATIONS ON 8/21/06 SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 66 <Page> <Table> <Caption> INTERNATIONAL U.S. GLOBAL INTERNATIONAL GROWTH EMERGING INTERNATIONAL YEAR ENDED MARCH 31, 2007 CONVERTIBLE SELECT GROWTH OPPORTUNITIES MARKETS (1) SYSTEMATIC - --------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> <C> Investment Income Dividends, net of foreign taxes* $ 524,230 $ 2,218,538 $ 1,324,480 $ 2,452,856 $ 19,916 $ 600,627 Interest 1,140,074 -- 4,059 545 3,405 -- ---------- ------------ ----------- ----------- -------- ---------- Total Income 1,664,304 2,218,538 1,328,539 2,453,401 23,321 600,627 ---------- ------------ ----------- ----------- -------- ---------- Expenses Advisory fee 342,730 1,052,908 472,326 1,444,968 10,374 148,740 Administration fees 208,853 734,184 603,859 1,246,950 4,324 87,423 Shareholder servicing fees -- -- 4,767 -- -- -- Professional fees 6,540 23,195 14,813 31,225 143 1,832 Trustees' fees and expenses 6,120 16,995 10,195 21,745 76 3,014 Interest and credit facility fee -- 528 11,830 11,970 204 3,417 Miscellaneous 1,065 8,860 3,132 7,024 845 1,020 ---------- ------------ ----------- ----------- -------- ---------- Total Expenses 565,308 1,836,670 1,120,922 2,763,882 15,966 245,446 Expense offset (103,631) (262,636) (253,479) (524,989) (658) (83,704) ---------- ------------ ----------- ----------- -------- ---------- Net Expenses 461,677 1,574,034 867,443 2,238,893 15,308 161,742 ---------- ------------ ----------- ----------- -------- ---------- Net Investment Income (Loss) 1,202,627 644,504 461,096 214,508 8,013 438,885 ---------- ------------ ----------- ----------- -------- ---------- Net Realized and Unrealized Gain (Loss) on Investments Realized gain from: Securities 2,692,425 23,460,215 16,676,814 18,367,607 16,136 2,273,922 Foreign currency transactions -- (38,687) 2,901,997 3,950,398 (11,730) (155,933) ---------- ------------ ----------- ----------- -------- ---------- Net realized gain (loss) 2,692,425 23,421,528 19,578,811 22,318,005 4,406 2,117,989 ---------- ------------ ----------- ----------- -------- ---------- Change in unrealized appreciation (depreciation) of: Investments 4,354,669 (10,285,094) (8,173,433) 12,326,006 758,785 3,156,117 Other assets and liabilities denominated in foreign currencies -- 1,932,213 853,412 5,562,476 67 348,368 ---------- ------------ ----------- ----------- -------- ---------- Net unrealized appreciation (depreciation) 4,354,669 (8,352,881) (7,320,021) 17,888,482 758,852 3,504,485 ---------- ------------ ----------- ----------- -------- ---------- Net Gain (Loss) on Investments 7,047,094 15,068,647 12,258,790 40,206,487 763,258 5,622,474 ---------- ------------ ----------- ----------- -------- ---------- Net Increase (Decrease) in Net Assets Resulting From Operations $8,249,721 $ 15,713,151 $12,719,886 $40,420,995 $771,271 $6,061,359 ========== ============ =========== =========== ======== ========== * Foreign taxes withheld $ -- $ 164,285 $ 139,556 $ 196,990 $ 1,105 $ 40,637 ---------- ------------ ----------- ----------- -------- ---------- <Caption> INTERNATIONAL U.S. ALL CAP HIGH YIELD YEAR ENDED MARCH 31, 2007 GROWTH BOND - ------------------------------------------------------------------ <S> <C> <C> Investment Income Dividends, net of foreign taxes* $ 318,889 $ -- Interest 3,376 8,712,454 ---------- ----------- Total Income 322,265 8,712,454 ---------- ----------- Expenses Advisory fee 182,949 454,810 Administration fees 53,229 147,214 Shareholder servicing fees -- -- Professional fees 3,092 16,153 Trustees' fees and expenses 2,284 12,159 Interest and credit facility fee 3,127 1,671 Miscellaneous 1,513 2,975 ---------- ----------- Total Expenses 246,194 634,982 Expense offset (30,058) (139,249) ---------- ----------- Net Expenses 216,136 495,733 ---------- ----------- Net Investment Income (Loss) 106,129 8,216,721 ---------- ----------- Net Realized and Unrealized Gain (Loss) on Investments Realized gain from: Securities 2,751,373 646,077 Foreign currency transactions 259,079 -- ---------- ----------- Net realized gain (loss) 3,010,452 646,077 ---------- ----------- Change in unrealized appreciation (depreciation) of: Investments (221,797) 2,536,959 Other assets and liabilities denominated in foreign currencies 379,661 -- ---------- ----------- Net unrealized appreciation (depreciation) 157,864 2,536,959 ---------- ----------- Net Gain (Loss) on Investments 3,168,316 3,183,036 ---------- ----------- Net Increase (Decrease) in Net Assets Resulting From Operations $3,274,445 $11,399,757 ========== =========== * Foreign taxes withheld $ 31,557 $ -- ---------- ----------- </Table> 67 <Page> STATEMENTS OF CHANGES IN NET ASSETS <Table> <Caption> U.S.MICRO CAP U.S.EMERGING GROWTH -------------------------- ------------------------ YEARS ENDED MARCH 31 2007 2006 2007 2006 - -------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> Increase (Decrease) In Net Assets From Investment Operations: Net investment income (loss) $ (615,012) $ (576,352) $ (62,920) $ (131,488) Net realized gain (loss) 5,021,292 13,711,832 1,305,006 3,962,899 Net unrealized appreciation (depreciation) (5,804,396) 11,455,610 (1,129,950) 241,623 ------------ ------------ ----------- ----------- Net increase (decrease) in net assets from investment operations (1,398,116) 24,591,090 112,136 4,073,034 ------------ ------------ ----------- ----------- Distributions to Shareholders: From net investment income -- -- -- -- From net realized gains (9,264,776) (1,668,172) (739,964) (7,167) ------------ ------------ ----------- ----------- Total distributions (9,264,776) (1,668,172) (739,964) (7,167) ------------ ------------ ----------- ----------- From Capital Share Transactions: Proceeds from shares sold Class I 17,798,669 8,572,354 2,347,555 1,499,847 Class II 490,444 38,388 -- -- Class IV -- -- -- -- Class R -- -- 1,241,746 350,928 Distributions reinvested Class I 8,668,832 1,439,456 513,359 5,184 Class II 399,499 165,230 -- -- Class IV -- -- -- -- Class R -- -- 226,606 1,983 Cost of shares redeemed Class I (10,288,572) (22,059,033) (1,775,938) (9,948,897) Class II (3,241,659) (11,592,735) -- -- Class IV -- -- -- -- Class R -- -- (1,234,060) (1,804,143) ------------ ------------ ----------- ----------- Net increase (decrease) in net assets from share transactions 13,827,213 (23,436,340) 1,319,268 (9,895,098) ------------ ------------ ----------- ----------- Net Increase (Decrease) in Net Assets 3,164,321 (513,422) 691,440 (5,829,231) Net Assets Beginning 83,932,931 84,446,353 9,894,431 15,723,662 ------------ ------------ ----------- ----------- Ending $ 87,097,252 $ 83,932,931 $10,585,871 $ 9,894,431 ============ ============ =========== =========== Undistributed net investment income (loss), ending $ -- $ -- $ -- $ -- ============ ============ =========== =========== Class I -- Capital Share Activity Shares sold 1,099,483 583,935 179,774 129,381 Distributions reinvested 588,116 97,656 41,601 460 Shares redeemed (659,422) (1,600,418) (138,889) (879,179) ============ ============ =========== =========== Net Class I Share Activity 1,028,177 (918,827) 82,486 (749,338) ============ ============ =========== =========== Class II -- Capital Share Activity Shares sold 31,699 2,726 -- -- Distributions reinvested 26,938 11,172 -- -- Shares redeemed (219,977) (861,481) -- -- ============ ============ =========== =========== Net Class II Share Activity (161,340) (847,583) -- -- ============ ============ =========== =========== Class IV -- Capital Share Activity Shares sold -- -- -- -- Distributions reinvested -- -- -- -- Shares redeemed -- -- -- -- ============ ============ =========== =========== Net Class IV Share Activity -- -- -- -- ============ ============ =========== =========== Class R -- Capital Share Activity Shares sold -- -- 95,674 31,266 Distributions reinvested -- -- 18,696 178 Shares redeemed -- -- (98,725) (181,217) ============ ============ =========== =========== Net Class R Share Activity -- -- 15,645 (149,773) ============ ============ =========== =========== </Table> SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 68 <Page> <Table> <Caption> U.S. SYTEMATIC U.S. SYSTEMATIC U.S SMALL CAP VALUE LARGE CAP GROWTH MID CAP GROWTH -------------------------- ------------------------ ------------------------- YEARS ENDED MARCH 31 2007 2006 2007 2006 2007 2006 - ------------------------------------------------------------------- --------------------------------------------------- <S> <C> <C> <C> <C> <C> <C> Increase (Decrease) In Net Assets From Investment Operations: Net investment income (loss) $ 487,788 $ 795,961 $ 16,091 $ 1,377 $ (49,438) $ (23,484) Net realized gain (loss) 23,316,339 14,420,355 1,136,149 795,200 2,559,300 1,932,084 Net unrealized appreciation (depreciation) (11,002,965) 11,266,796 565,057 692,335 1,678,267 1,599,679 ------------ ------------ ----------- ----------- ------------ ----------- Net increase (decrease) in net assets from investment operations 12,801,162 26,483,112 1,717,297 1,488,912 4,188,129 3,508,279 ------------ ------------ ----------- ----------- ------------ ----------- Distributions to Shareholders: From net investment income (616,802) (415,210) (1,377) (26,492) -- -- From net realized gains (17,506,477) (7,768,635) -- -- (1,221,857) (863,189) ------------ ------------ ----------- ----------- ------------ ----------- Total distributions (18,123,279) (8,183,845) (1,377) (26,492) (1,221,857) (863,189) ------------ ------------ ----------- ----------- ------------ ----------- From Capital Share Transactions: Proceeds from shares sold Class I 25,803,997 33,364,315 747,760 3,132,257 2,720 474,215 Class II 745 20,190,331 5,251,286 3,424,053 22,398,812 21,772,058 Class IV -- -- -- -- -- 1,054,818 Class R 39,334 70,738 577,773 501,618 -- -- Distributions reinvested Class I 13,918,857 6,277,485 -- -- 133,769 106,463 Class II 3,727,379 1,741,176 1,377 26,492 1,088,088 661,945 Class IV -- -- -- -- -- 94,576 Class R 88,551 43,447 -- -- -- -- Cost of shares redeemed Class I (88,919,520) (19,888,795) (556,909) (3,624,807) (317,620) (3,604,980) Class II (35,983,357) (128,724) (4,013) -- (24,517,301) (1,978,651) Class IV -- -- -- -- -- (2,774,114) Class R (180,229) (110,870) (1,190,968) (4,555,093) -- -- ------------ ------------ ----------- ----------- ------------ ----------- Net increase (decrease) in net assets from share transactions (81,504,243) 41,559,103 4,826,306 (1,095,480) (1,211,532) 15,806,330 ------------ ------------ ----------- ----------- ------------ ----------- Net Increase (Decrease) in Net Assets (86,826,360) 59,858,370 6,542,226 366,940 1,754,740 18,451,420 Net Assets Beginning 164,224,838 104,366,468 10,465,330 10,098,390 25,285,623 6,834,203 ------------ ------------ ----------- ----------- ------------ ----------- Ending $ 77,398,478 $164,224,838 $17,007,556 $10,465,330 $ 27,040,363 $25,285,623 ============ ============ =========== =========== ============ =========== Undistributed net investment income (loss), ending $ 78,949 $164,224,838 $ 16,091 $ 1,377 $ -- $ -- ============ ============ =========== =========== ============ =========== Class I -- Capital Share Activity Shares sold 1,322,247 1,831,695 38,919 208,507 211 37,339 Distributions reinvested 739,971 350,697 -- -- 10,475 9,043 Shares redeemed (4,622,648) (1,075,546) (28,488) (220,921) (25,688) (309,803) ============ ============ =========== =========== ============ =========== Net Class I Share Activity (2,560,430) 1,106,846 10,431 (12,414) (15,002) (263,421) ============ ============ =========== =========== ============ =========== Class II -- Capital Share Activity Shares sold 39 1,079,112 299,668 209,270 1,717,995 1,778,810 Distributions reinvested 198,370 97,436 73 1,596 84,742 56,144 Shares redeemed (1,898,898) (6,971) (222) -- (1,770,399) (156,138) ============ ============ =========== =========== ============ =========== Net Class II Share Activity (1,700,489) 1,169,577 299,519 210,866 32,338 1,678,816 ============ ============ =========== =========== ============ =========== Class IV -- Capital Share Activity Shares sold -- -- -- -- -- 98,798 Distributions reinvested -- -- -- -- -- 8,021 Shares redeemed -- -- -- -- -- (225,497) ============ ============ =========== =========== ============ =========== Net Class IV Share Activity -- -- -- -- -- (118,678) ============ ============ =========== =========== ============ =========== Class R -- Capital Share Activity Shares sold 1,996 38,257 31,541 31,429 -- -- Distributions reinvested 4,706 -- -- -- -- -- Shares redeemed (9,047) (415) (65,681) (289,950) -- -- ============ ============ =========== =========== ============ =========== Net Class R Share Activity (2,345) 37,842 (34,140) (258,521) -- -- ============ ============ =========== =========== ============ =========== <Caption> U.S.CONVERTIBLE -------------------------- YEARS ENDED MARCH 31 2007 2006 - -------------------------------------- -------------------------- <S> <C> <C> Increase (Decrease) In Net Assets From Investment Operations: Net investment income (loss) $ 1,202,627 $ 409,204 Net realized gain (loss) 2,692,425 5,286,535 Net unrealized appreciation (depreciation) 4,354,669 (263,420) ------------ ------------ Net increase (decrease) in net assets from investment operations 8,249,721 5,432,319 ------------ ------------ Distributions to Shareholders: From net investment income (1,305,908) (776,075) From net realized gains (3,345,184) (1,442,402) ------------ ------------ Total distributions (4,651,092) (2,218,477) ------------ ------------ From Capital Share Transactions: Proceeds from shares sold Class I 7,520,973 3,537,830 Class II 4,002,514 3,353,900 Class IV 93,437,091 -- Class R -- -- Distributions reinvested Class I 3,631,531 2,002,954 Class II 426,080 178,843 Class IV -- -- Class R -- -- Cost of shares redeemed Class I (3,772,860) (12,423,302) Class II (195,251) (329) Class IV -- -- Class R -- -- ------------ ------------ Net increase (decrease) in net assets from share transactions 105,050,078 (3,350,104) ------------ ------------ Net Increase (Decrease) in Net Assets 108,648,707 (136,262) Net Assets Beginning 35,260,780 35,397,042 ------------ ------------ Ending $143,909,487 $ 35,260,780 ============ ============ Undistributed net investment income (loss), ending $ 25,853 $ 96,931 ============ ============ Class I -- Capital Share Activity Shares sold 318,723 154,320 Distributions reinvested 155,568 86,189 Shares redeemed (159,075) (530,327) ============ ============ Net Class I Share Activity 315,216 (289,818) ============ ============ Class II -- Capital Share Activity Shares sold 165,539 140,172 Distributions reinvested 18,203 7,706 Shares redeemed (8,058) (14) ============ ============ Net Class II Share Activity 175,684 147,864 ============ ============ Class IV -- Capital Share Activity Shares sold 3,980,754 -- Distributions reinvested -- -- Shares redeemed -- -- ============ ============ Net Class IV Share Activity 3,980,754 -- ============ ============ Class R -- Capital Share Activity Shares sold -- -- Distributions reinvested -- -- Shares redeemed -- -- ============ ============ Net Class R Share Activity -- -- ============ ============ </Table> 69 <Page> <Table> <Caption> INTERNATIONAL GLOBAL SELECT INTERNATIONAL GROWTH GROWTH OPPORTUNITIES -------------------------- -------------------------- -------------------------- YEARS ENDED MARCH 31 2007 2006 2007 2006 2007 2006 - -------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> <C> Increase (Decrease) In Net Assets from Investment Operations: Net investment income (loss) $ 644,504 $ 277,046 $ 461,096 $ 1,005,448 $ 214,508 $ 38,102 Net realized gain (loss) 23,421,528 22,090,673 19,578,811 19,987,251 22,318,005 28,684,670 Net unrealized appreciation (depreciation) (8,352,881) 13,470,141 (7,320,021) 7,906,288 17,888,482 24,818,398 ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in net assets from investment operations 15,713,151 35,837,860 12,719,886 28,898,987 40,420,995 53,541,170 ------------ ------------ ------------ ------------ ------------ ------------ Distributions to Shareholders: From net investment income (53,126) (297,555) (455,849) -- -- (909,444) From net realized gains (18,653,269) (9,700,448) (13,553,285) (15,080,798) (7,183,710) -- ------------ ------------ ------------ ------------ ------------ ------------ Total distributions (18,706,395) (9,998,003) (14,009,134) (15,080,798) (7,183,710) (909,444) ------------ ------------ ------------ ------------ ------------ ------------ From Capital Share Transactions: Proceeds from shares sold Class I 4,229,593 20,080,568 3,016,780 6,546,866 26,262,922 36,863,789 Class II 1,644,792 21,725,096 50,000 53,840,583 31,161,698 10,543,685 Class III -- -- -- -- 13,150 6,971,235 Class IV -- -- -- 45,381,290 37,314,972 33,326,621 Class R -- -- 995,312 670,079 -- -- Distributions reinvested Class I 7,842,519 4,052,988 6,370,440 6,615,202 3,129,833 456,359 Class II 9,653,425 5,377,960 7,369,591 -- 1,392,423 132,879 Class III -- -- -- -- 188,795 56,269 Class IV -- -- -- 8,221,384 2,008,361 215,598 Class R -- -- 269,106 216,270 -- -- Cost of shares redeemed Class I (9,686,380) (24,718,526) (39,097,481) (13,487,399) (47,558,129) (15,469,116) Class II (19,104,263) (10,186,408) (11,428,000) (43,546,717) (342,687) (24,544,547) Class III -- -- -- (82,681,011) (3,000,000) (2,000,000) Class IV -- -- -- (999,155) (13,052,589) (8,540,000) Class R -- -- (709,385) -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in net assets from share transactions (5,420,314) 16,331,678 (33,163,637) (19,222,608) 37,518,749 38,012,772 ------------ ------------ ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets (8,413,558) 42,171,535 (34,452,885) (5,404,419) 70,756,034 90,644,498 Net Assets Beginning 177,834,448 135,662,913 104,166,375 109,570,794 181,340,012 90,695,514 ------------ ------------ ------------ ------------ ------------ ------------ Ending $169,420,890 $177,834,448 $ 69,713,490 $104,166,375 $252,096,046 $181,340,012 ============ ============ ============ ============ ============ ============ Undistributed net investment income, ending $ 605,808 $ 53,117 $ 3,363,093 $ 461,278 $ 4,164,906 $ -- ============ ============ ============ ============ ============ ============ Class I -- Capital Share Activity Shares sold 229,759 1,183,767 134,231 305,670 511,290 927,308 Distributions reinvested 441,086 241,393 302,921 340,639 61,891 11,669 Shares redeemed (519,507) (1,462,753) (1,787,977) (646,622) (921,085) (362,293) ============ ============ ============ ============ ============ ============ Net Class I Share Activity 151,338 (37,593) (1,350,825) (313) (347,904) 576,684 ============ ============ ============ ============ ============ ============ Class II -- Capital Share Activity Shares sold 82,682 1,283,290 2,199 2,488,012 605,599 301,249 Distributions reinvested 542,632 320,307 350,266 -- 27,421 3,389 Shares redeemed (1,045,918) (621,513) (496,447) -- (6,439) (659,426) ============ ============ ============ ============ ============ ============ Net Class II Share Activity (420,604) 982,084 (143,982) 2,488,012 626,581 (354,788) ============ ============ ============ ============ ============ ============ Class III -- Capital Share Activity Shares sold -- -- -- -- 270 177,565 Distributions reinvested -- -- -- -- 3,727 1,440 Shares redeemed -- -- -- (1,979,233) (58,121) (43,243) ============ ============ ============ ============ ============ ============ Net Class III Share Activity -- -- -- (1,979,233) (54,124) 135,762 ============ ============ ============ ============ ============ ============ Class IV -- Capital Share Activity Shares sold -- -- -- 2,059,584 741,231 902,575 Distributions reinvested -- -- -- 422,693 39,620 5,513 Shares redeemed -- -- -- (3,755,023) (255,292) (221,645) ============ ============ ============ ============ ============ ============ Net IV Share Activity -- -- -- (1,272,746) 525,559 686,443 ============ ============ ============ ============ ============ ============ Class R -- Capital Share Activity Shares sold -- -- 45,495 30,959 -- -- Distributions reinvested -- -- 13,108 11,347 -- -- Shares redeemed -- -- (33,088) (49,170) -- -- ============ ============ ============ ============ ============ ============ Net Class R Share Activity -- -- 25,515 (6,864) -- -- ============ ============ ============ ============ ============ ============ </Table> (1) COMMENCED OPERATIONS ON 8/21/06 SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 70 <Page> <Table> <Caption> EMERGING INTERNATIONAL MARKETS (1) INTERNATIONAL SYSTEMATIC ALL CAP GROWTH U.S. HIGH YIELD BOND ----------- ------------------------ ------------------------- -------------------------- YEARS ENDED MARCH 31 2007 2007 2006 2007 2006 2007 2006 - ----------------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> <C> <C> Increase (Decrease) In Net Assets from Investment Operations: Net investment income (loss) $ 8,013 $ 438,885 $ 19,149 $ 106,129 $ 22,275 $ 8,216,721 $ 10,031,173 Net realized gain (loss) 4,406 2,117,989 336,900 3,010,452 6,808,745 646,077 1,896,197 Net unrealized appreciation (depreciation) 758,852 3,504,485 791,364 157,864 781,523 2,536,959 (1,320,960) ----------- ------------ ---------- ----------- ------------ ------------ ------------ Net increase (decrease) in net assets from investment operations 771,271 6,061,359 1,147,413 3,274,445 7,612,543 11,399,757 10,606,410 ----------- ------------ ---------- ----------- ------------ ------------ ------------ Distributions to Shareholders: From net investment income (6,966) (69,846) (4,289) (120,976) (13,020) (8,509,740) (10,900,316) From net realized gains -- (815,593) (52,748) (814,495) -- -- -- ----------- ------------ ---------- ----------- ------------ ------------ ------------ Total distributions (6,966) (885,439) (57,037) (935,471) (13,020) (8,509,740) (10,900,316) ----------- ------------ ---------- ----------- ------------ ------------ ------------ From Capital Share Transactions: Proceeds from shares sold Class I 1,012,755 50,370,893 3,608,886 687,166 262,832 17,430,335 18,574,415 Class II 38,573,618 28,284,448 -- -- -- 9,007 108,109 Class III -- 52,389,299 -- -- -- -- -- Class IV -- -- -- -- -- -- -- Class R -- -- -- -- -- -- -- Distributions reinvested Class I 6,966 885,438 57,037 935,471 13,020 4,747,362 6,754,819 Class II -- -- -- -- -- 14,060 13,019 Class III -- -- -- -- -- -- -- Class IV -- -- -- -- -- -- -- Class R -- -- -- -- -- -- -- Cost of shares redeemed Class I (1,182,489) (53,280,511) (94,165) (696,616) (21,173,301) (41,154,418) (75,706,764) Class II -- (16,538,521) -- -- -- (10,043,336) (1,067) Class III -- -- -- -- -- -- -- Class IV -- -- -- -- -- -- -- Class R -- -- -- -- -- -- -- ----------- ------------ ---------- ----------- ------------ ------------ ------------ Net increase (decrease) in net assets from share transactions 38,410,850 62,111,046 3,571,758 926,021 (20,897,449) (28,996,990) (50,257,469) ----------- ------------ ---------- ----------- ------------ ------------ ------------ Net Increase (Decrease) in Net Assets 39,175,155 67,286,966 4,662,134 3,264,995 (13,297,926) (26,106,973) (50,551,375) Net Assets Beginning -- 4,662,134 -- 20,562,031 33,859,957 123,835,265 174,386,640 ----------- ------------ ---------- ----------- ------------ ------------ ------------ Ending $39,175,155 $ 71,949,100 $4,662,134 $23,827,026 $ 20,562,031 $ 97,728,292 $123,835,265 =========== ============ ========== =========== ============ ============ ============ Undistributed net investment income, ending $ (8,916) $ 232,004 $ 15,135 $ 230,581 $ (29,652) $ 379,859 $ 128,517 =========== ============ ========== =========== ============ ============ ============ Class I -- Capital Share Activity Shares sold 101,715 3,359,152 342,323 50,330 1,672,171 1,746,153 1,854,714 Distributions reinvested -- 59,385 4,694 69,811 1,238 474,222 674,088 Shares redeemed (94,358) (3,470,050) (6,824) (49,417) (3,820,232) (4,113,220) (7,523,270) =========== ============ ========== =========== ============ ============ ============ Net Class I Share Activity 7,357 (51,513) 340,193 70,724 (2,146,823) (1,892,845) (4,994,468) =========== ============ ========== =========== ============ ============ ============ Class II -- Capital Share Activity Shares sold 3,057,987 1,826,780 -- -- -- 899 10,737 Distributions reinvested -- -- -- -- -- 1,407 1,302 Shares redeemed -- (1,031,890) -- -- -- (976,681) (107) =========== ============ ========== =========== ============ ============ ============ Net Class II Share Activity 3,057,987 794,890 -- -- -- (974,375) 11,932 =========== ============ ========== =========== ============ ============ ============ Class III -- Capital Share Activity Shares sold -- 3,409,885 -- -- -- -- -- Distributions reinvested -- -- -- -- -- -- -- Shares redeemed -- -- -- -- -- -- -- =========== ============ ========== =========== ============ ============ ============ Net Class III Share Activity -- 3,409,885 -- -- -- -- -- =========== ============ ========== =========== ============ ============ ============ Class IV -- Capital Share Activity Shares sold -- -- -- -- -- -- -- Distributions reinvested -- -- -- -- -- -- -- Shares redeemed -- -- -- -- -- -- -- =========== ============ ========== =========== ============ ============ ============ Net IV Share Activity -- -- -- -- -- -- -- =========== ============ ========== =========== ============ ============ ============ Class R -- Capital Share Activity Shares sold -- -- -- -- -- -- -- Distributions reinvested -- -- -- -- -- -- -- Shares redeemed -- -- -- -- -- -- -- =========== ============ ========== =========== ============ ============ ============ Net Class R Share Activity -- -- -- -- -- -- -- =========== ============ ========== =========== ============ ============ ============ </Table> 71 <Page> NOTES TO FINANCIAL STATEMENTS NOTE A -- ORGANIZATION Nicholas-Applegate Institutional Funds (formerly Nicholas-Applegate Investment Trust) (the "Trust") is an open-end investment management company. The Trust was established as a Delaware business trust on December 17, 1992 and consists of thirteen separate portfolios (collectively the "Funds" and each a "Fund"). Each Fund's investment objectives, strategies and risks are discussed in the Funds' current prospectuses. All of the Funds have issued Class I shares ("Class I"), eleven Funds have issued Class II shares ("Class II"), two Funds have issued Class III shares ("Class III"), two Funds have issued Class IV shares ("Class IV") and four Funds have issued Retirement shares ("Class R"). No shares have a sales charge. Class R has a distribution fee. The Funds offering Class I, Class II, Class III and Class IV shares are covered in this report. NOTE B -- SIGNIFICANT ACCOUNTING POLICIES Significant accounting policies consistently followed by the Funds in preparing these financial statements are described below. The policies conform with accounting principles generally accepted in the United States. SECURITY VALUATIONS Equity securities, including ADRs and GDRs, that are traded on a stock exchange or on the NASDAQ National Market System are valued at the last sale price as of the close of business on the New York Stock Exchange (normally 4:00 p.m. New York time) on the day the securities are being valued, or lacking any sales, at the mean between the closing bid and asked prices. Securities listed or traded on certain non-U.S. exchanges whose operations are similar to the United States over-the-counter market are valued at the price within the limits of the latest available current bid and asked prices deemed by the Investment Adviser best to reflect fair value. A security that is listed or traded on more than one exchange is valued at the quotation on the exchange determined to be the primary market for such security by the Investment Adviser. The Investment Adviser has determined the Xetra is the primary market in Germany. The Funds value long-term debt obligations, including high quality and high yield corporate securities, municipal securities, asset-backed securities, collateralized mortgage obligations and US Government and Agency issues, at the quoted bid price provided by an approved bond pricing service. Convertible securities are normally priced at the mean between the bids and ask prices. Short-term debt instruments, (e.g., commercial paper, bankers acceptances, U.S. Treasury Bills, etc.) having a maturity of less than 60 days will be valued at amortized cost. If a fixed income security has a maturity of greater than 60 days, it will be valued at market price. Securities or other assets for which reliable market quotations are not readily available or for which the pricing agent or principal market maker does not provide a valuation or methodology or provides a valuation or methodology that, in the judgment of the Investment Adviser does not represent fair value (Fair Value Securities), are valued by the Pricing Committee overseen by the Board of Trustees in consultation as applicable, with the Investment Adviser's portfolio managers, traders, and research and credit analysts and legal and compliance personnel. Fair Value Securities may include, but are not limited to, the following: certain private placements and restricted securities that do not have an active trading market; securities whose trading has been suspended or for which there is no current market; securities whose prices are stale; securities denominated in currencies that are restricted, untraded, or for which exchange rates are disrupted; securities affected by significant events; and securities that the Investment Adviser or Pricing Committee believe were priced incorrectly. A "significant event" (which includes, but is not limited to, an extraordinarily political or market event) is an event that the Investment Adviser or Pricing Committee believes with a reasonably high degree of certainty has caused the closing market prices of a Fund's portfolio securities to no longer reflect their value at the time of the Fund's NAV calculation. SECURITY TRANSACTIONS AND INVESTMENT INCOME Security transactions are accounted for as of trade date. Realized gains and losses from security transactions are determined on an identified-cost basis. Dividend income is recorded on the ex-dividend date or, for certain non-U.S. securities, when the information becomes available to the Funds. Interest income is recorded on an accrual basis. Discounts and premiums on debt securities are accreted and amortized on the yield to maturity basis. NON-U.S. CURRENCY TRANSACTIONS At each net asset valuation date, the value of assets and liabilities denominated in non-U.S. currencies are translated into U.S. dollars using the current exchange rate at the spot rate at 11:00 a.m. Eastern Time against the U.S. dollar, as provided by an approved pricing service. Security transactions, income and expenses are converted at the prevailing exchange rate on the day of the event. The effect of changes in exchange rates on securities denominated in a non-U.S. currency is included with the net realized and unrealized gain or loss of the associated security. Other Non-U.S. currency gains or losses are reported separately. Certain Funds may use forward non-U.S. currency contracts to reduce their exposure to currency fluctuations of their non-U.S. securities. These contracts are commitments to purchase or sell a non-U.S. currency at a specified rate on a future date. When the contract is fulfilled or closed, gains or losses are realized. Until then, the gain or loss is included in unrealized appreciation or depreciation of investments. The contract commitment is fully collateralized by cash or securities of the Fund. Non-U.S. denominated assets and forward currency contracts may involve more risks than U.S. transactions, including currency risk, political and economic risk, regulatory and market risk. Evaluating and monitoring such risk exposure is a part of the Funds' management strategy. There were no such forward non-U.S. currency contracts at March 31, 2007. 72 <Page> FUTURES CONTRACTS Each Fund may enter into futures contracts involving non-U.S. currency, interest rates, securities, and securities indices, for hedging purposes only. A futures contract obligates the seller of the contract to deliver and the purchaser of the contract to take delivery of the type of non-U.S. currency, financial instrument or security called for in the contract at a specified future time for a specified price. Upon entering into such a contract, a Fund is required to deposit and maintain as collateral such initial margin as required by the exchange on which the contract is traded. Pursuant to the contract, a Fund agrees to receive from or pay to the broker an amount equal to the daily fluctuations in the value of the contract. Such receipts or payments are known as variation margin and are recorded as unrealized gains or losses by the Fund. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. There were no such futures contracts at March 31, 2007. OPTIONS CONTRACTS The Funds may: (a) buy call options on non-U.S. currency in anticipation of an increase in the value of the underlying asset; (b) buy put options on non-U.S. currency, portfolio securities, and futures in anticipation of a decrease in the value of the underlying asset; and (c) write call options on portfolio securities and futures to generate income from premiums, and in anticipation of a decrease or only limited increase in the value of the underlying asset. If a call written by a Fund is exercised, the Fund foregoes any possible profit from an increase in the market price of the underlying asset over the exercise price plus the premium received. When a Fund writes options on futures contracts, it will be subject to margin requirements similar to those applied to futures contracts. EQUITY-LINKED SECURITIES Certain Funds may purchase equity-linked securities, also known as participation notes, equity swaps, and zero strike calls and warrants. Equity-linked securities are primarily used by a Fund as an alternative means to more efficiently and effectively access the securities market of what is generally an emerging country. The Fund deposits an amount of cash with its custodian (or broker, if legally permitted) in an amount near or equal to the selling price of the underlying security in exchange for an equity linked security. Upon sale, the Fund receives cash from the broker or custodian equal to the value of the underlying security. Aside from market risk of the underlying securities, there is a risk of default by the other party to the transaction. In the event of insolvency of the other party, the Fund might be unable to obtain its expected benefit. In addition, while a Fund will seek to enter into such transactions only with parties which are capable of entering into closing transactions with the Fund, there can be no assurance that the Fund will be able to close out such a transaction with the other party or obtain an offsetting position with any other party, at any time prior to the end of the term of the underlying agreement. This may impair the Fund's ability to enter into other transactions at a time when doing so might be advantageous. SECURITIES LENDING In order to generate expense offset credits, each of the Funds may lend portfolio securities, on a short-term or a long-term basis, up to 30% of a Fund's total assets to broker/dealers, banks, or other institutional borrowers of securities. A Fund will only enter into loan arrangements with broker/dealers, banks, or other institutions which the Investment Adviser has determined are creditworthy and under the guidelines established by the Board of Trustees and will receive collateral in the form of cash or U.S. government securities equal to at least 102% of the value of the securities loaned on U.S. securities and 105% on non-U.S. securities. There is the risk that when lending portfolio securities, the securities may not be available to the Fund on a timely basis and the Fund may, therefore, loose the opportunity to sell securities at a desirable price. In addition, in the event that a borrower of securities would file for bankruptcy or become insolvent, disposition of the securities may be delayed pending court action. The market value of securities on loan and the related collateral at the period ended March 31, 2007 were: FUND MARKET VALUE COLLATERAL - -------------------------------------------------------------------------------- U.S. Micro Cap $35,139,636 $36,010,475 U.S. Emerging Growth 3,475,008 3,550,958 U.S. Small Cap Value 818,193 852,750 U.S. Convertible 1,231,957 1,288,998 Global Select 20,318,816 21,122,450 International Growth 4,742,948 4,944,858 International Growth Opportunities 30,563,735 32,338,758 International All Cap 1,163,920 1,216,625 CREDIT FACILITY The Trust has a $15 million credit facility available to fund temporary or emergency borrowing expiring in March 2008. Each Fund pays its pro-rata share of an annual commitment fee plus interest on its specific borrowings. For the period ended March 31, 2007, the Funds did not borrow against the line of credit. COMMITMENTS AND CONTINGENCIES In the normal course of business, the Funds may enter into contracts and agreements that contain a variety of representations and warranties which provide general indemnifications. The maximum exposure to the Funds under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risks of loss to be remote. FUND EXPENSES AND MULTI-CLASS ALLOCATIONS Each Fund bears expenses incurred specifically on its behalf plus an allocation of its share of Trust level expenses. Each share offered by a Fund has equal rights to assets but incurs certain Class specific expenses. The Funds allocate income, gains and losses, both realized and unrealized, and expenses, except for Class specific expenses, based on the relative net assets of each share class. 73 <Page> Many of the brokers with whom the Investment Adviser places trades on behalf of the Fund provided services to the Fund in addition to trade execution. These services included payments of certain expenses on behalf of the Fund. In addition, through arrangements with the Funds custodian, credits realized as a result of uninvested cash balances were used to reduce the Funds expenses. During the period, the credits used to reduce the Funds expenses were: CREDIT DIRECT SECURITY INTEREST BROKERAGE LENDING FUND OFFSET OFFSET OFFSET - -------------------------------------------------------------------------------- U.S. Micro Cap 61,100 48,022 218,000 U.S. Emerging Growth 15,473 4,584 30,167 U.S. Small Cap Value 394,165 23,536 23,267 U.S. Systematic Large Cap Growth 6,339 1,698 3,333 U.S. Systematic Mid Cap Growth 36,372 27,007 4,328 U.S. Convertible 92,631 -- 11,000 Global Select 120,446 35,923 106,267 International Growth 101,058 18,354 134,067 International Growth Opportunities 269,270 38,586 217,133 Emerging Markets 654 4 -- International Systematic 55,087 28,617 -- International All Cap Growth 18,660 3,731 7,667 U.S. High Yield Bond 139,249 -- -- USE OF ESTIMATES The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from these estimates. NOTE C -- FEDERAL INCOME TAXES The Funds intend to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of their taxable income to shareholders. Accordingly, no provision for federal income taxes is required. A Fund investing in foreign securities records any foreign taxes on income and gains on such investments in accordance with the applicable tax rules. The Funds' tax accounting treatment of loss deferrals, accretion, passive foreign investment companies and expiration of capital loss carryforwards are different from the financial statement recognition of income and gains. Capital loss carryforwards may be used to offset current or future capital gains until expiration. DISTRIBUTIONS TO SHAREHOLDERS The Funds record distributions to shareholders on the ex-dividend date. Distributions are determined in accordance with income tax regulations that may differ from generally accepted accounting principles. Accordingly, the Funds' capital accounts are periodically reclassified to reflect income and gains available for distribution under income tax regulations. The Funds make income and capital gain distributions at least annually. Funds with income objectives make distributions either quarterly or monthly in accordance with the prospectuses. 74 <Page> The tax character of distributions paid during the fiscal year ended March 31, 2007 were as follows: <Table> <Caption> DISTRIBUTION PAID FROM: --------------------------------------------------------------------- NET TOTAL TOTAL ORDINARY LONG TERM TAXABLE TAX RETURN DISTRIBUTIONS FUND INCOME CAPITAL GAIN DISTRIBUTIONS OF CAPITAL PAID(1) - ---------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> U.S. Micro Cap 5,602,977 3,661,799 9,264,776 -- 9,264,776 U.S. Emerging Growth -- 739,964 739,964 -- 739,964 U.S. Small Cap Value 6,115,915 12,007,364 18,123,279 -- 18,123,279 U.S. Systematic Large Cap Growth 1,377 -- 1,377 -- 1,377 U.S. Systematic Mid Cap Growth 652,156 569,701 1,221,857 -- 1,221,857 U.S. Convertible 1,305,908 3,345,184 4,651,092 -- 4,651,092 Global Select 8,281,420 10,424,975 18,706,395 -- 18,706,395 International Growth 6,638,836 7,370,298 14,009,134 -- 14,009,134 International Growth Opportunities -- 7,183,710 7,183,710 -- 7,183,710 Emerging Markets 6,966 -- 6,966 -- 6,966 International Systematic 747,001 138,438 885,439 -- 885,439 International All Cap Growth 120,976 814,495 935,471 -- 935,471 U.S. High Yield Bond 8,509,740 -- 8,509,740 -- 8,509,740 </Table> The tax characters of distributions paid during the fiscal year ended March 31, 2006 were as follows: <Table> <Caption> DISTRIBUTION PAID FROM: ---------------------------------------------------------------------- NET TOTAL TOTAL ORDINARY LONG TERM TAXABLE TAX RETURN DISTRIBUTIONS FUND INCOME CAPITAL GAIN DISTRIBUTIONS OF CAPITAL PAID(1) - ----------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> U.S. Micro Cap -- 1,668,172 1,668,172 -- 1,668,172 U.S. Emerging Growth -- 7,167 7,167 -- 7,167 U.S. Small Cap Value 2,708,994 5,474,851 8,183,845 -- 8,183,845 U.S. Systematic Large Cap Growth 26,492 -- 26,492 -- 26,492 U.S. Systematic Mid Cap Growth 599,243 263,946 863,189 -- 863,189 U.S. Convertible 776,075 1,442,402 2,218,477 -- 2,218,477 Global Select 4,352,441 5,645,562 9,998,003 -- 9,998,003 International Growth 7,292,658 7,788,140 15,080,798 -- 15,080,798 International Growth Opportunities 909,444 -- 909,444 -- 909,444 International Systematic 57,037 -- 57,037 -- 57,037 International All Cap Growth 13,020 -- 13,020 -- 13,020 U.S. High Yield Bond 10,900,316 -- 10,900,316 -- 10,900,316 </Table> (1) TOTAL DISTRIBUTIONS PAID DIFFER FROM THE STATEMENT OF CHANGES IN NET ASSETS BECAUSE FOR THE TAX PURPOSES DIVIDENDS ARE RECOGNIZED WHEN ACTUALLY PAID. 75 <Page> As of March 31, 2007 the components of accumulated earnings/(deficit) on a tax basis were as follows: <Table> <Caption> COMPONENTS OF ACCUMULATED EARNINGS/(DEFICIT): --------------------------------------------------------------------------------------------- UNDISTRIBUTED UNDISTRIBUTED ACCUMULATED UNREALIZED TOTAL ORDINARY LONG-TERM ACCUMULATED CAPITAL AND APPRECIATION/ ACCUMULATED FUND INCOME CAPITAL GAINS EARNINGS OTHER LOSSES (DEPRECIATION) EARNING/(DEFICIT) - --------------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> <C> U.S. Micro Cap -- 4,007,104 4,007,104 -- 12,021,676(3) 16,028,780 U.S. Emerging Growth -- -- -- (5,907,695)(2) 1,458,915(3) (4,448,780) U.S. Small Cap Value 4,473,081 10,696,025 15,169,106 -- 13,636,316(6) 28,805,422 U.S. Systematic Large Cap Growth 16,091 -- 16,091 (7,894,911)(2) 1,954,330(3) (5,924,490) U.S. Systematic Mid Cap Growth 255,592 448,067 703,659 (2,023,600)(2) 3,683,871(5) 2,363,930 U.S. Convertible 25,853 899,104 924,957 (7,235,502)(2) 9,292,683(3) 2,982,138 Global Select 7,855,168 12,723,284 20,578,452 (3,238,470)(2) 20,986,201(3) 38,326,183 International Growth 3,475,314 12,513,771 15,989,085 (16,415,874)(2) 11,848,317(3) 11,421,528 International Growth Opportunities 4,164,906 6,519,139 10,684,045 (25,835,249)(2) 61,595,707(3) 46,444,503 Emerging Markets 33,910 -- 33,910 -- 730,395(4) 764,305 International Systematic 1,619,242 151,834 1,771,076 -- 4,153,770(4) 5,924,846 International All Cap Growth 324,011 1,189,306 1,513,317 (6,107,128)(2) 5,157,247(4) 563,436 U.S. High Yield Bond 379,859 -- 379,859 (3,684,200)(2) 4,009,818(3) 705,477 </Table> (2) THE FOLLOWING FUNDS HAD NET CAPITAL LOSS CARRYFORWARDS OF APPROXIMATELY: NET CAPITAL LOSS CARRYFORWARD FUND (IN 000'S) EXPIRATION - -------------------------------------------------------------------------------- U.S. Emerging Growth 1,030 March 31, 2011 4,878 March 31, 2010 U.S. Systematic Large Cap Growth 321 March 31, 2012 2,665 March 31, 2011 4,910 March 31, 2010 U.S. Systematic Mid Cap Growth 506 March 31, 2010 1,518 March 31, 2009 U.S. Convertible 6,792 March 31, 2011 443 March 31, 2010 Global Select 1,079 March 31, 2010 1,619 March 31, 2009 540 March 31, 2008 International Growth 10,739 March 31, 2011 5,677 March 31, 2010 International Growth Opportunities 25,562 March 31, 2011 273 March 31, 2010 International All Cap Growth 1,527 March 31, 2011 4,580 March 31, 2010 U.S. High Yield Bond 2,948 March 31, 2011 737 March 31, 2010 TO THE EXTENT FUTURE CAPITAL GAINS ARE OFFSET BY CAPITAL LOSS CARRYFORWARDS, SUCH GAINS WILL NOT BE DISTRIBUTED. (3) THE DIFFERENCES BETWEEN BOOK-BASIS AND TAX-BASIS UNREALIZED APPRECIATION/(DEPRECIATION) IS ATTRIBUTABLE PRIMARILY TO THE TAX DEFERRAL OF LOSSES ON WASH SALES. (4) THE DIFFERENCES BETWEEN BOOK-BASIS AND TAX-BASIS UNREALIZED APPRECIATION/(DEPRECIATION) IS ATTRIBUTABLE PRIMARILY TO THE TAX DEFERRAL OF LOSSES ON WASH SALES AND MARK TO MARKET ON PFICS. (5) THE DIFFERENCES BETWEEN BOOK-BASIS AND TAX-BASIS UNREALIZED APPRECIATION/(DEPRECIATION) IS ATTRIBUTABLE PRIMARILY TO THE TAX DEFERRAL OF LOSSES ON WASH SALES AND ADJUSTMENTS FOR PARTNERSHIPS. (6) THE DIFFERENCES BETWEEN BOOK-BASIS AND TAX-BASIS UNREALIZED APPRECIATION/(DEPRECIATION) IS ATTRIBUTABLE PRIMARILY TO THE TAX DEFERRAL OF LOSSES ON WASH SALES AND REIT ADJUSTMENTS. 76 <Page> NOTE D -- TRANSACTIONS WITH AFFILIATES INVESTMENT ADVISORY FEE Nicholas-Applegate Capital Management LLC ("NACM") serves as Adviser (the "Adviser") to the Trust. The Adviser receives a monthly fee at an annual rate based on the average daily net assets of the Funds. The investment Advisory Fee rates for each of the Funds are listed in the table below. ADMINISTRATIVE AND SHAREHOLDER SERVICES FEE On January 24, 2006, the Funds entered into a new Administration Agreement whereby the Funds pay for the administrative services they require under what is essentially an all-in fee structure. Class I, II, III & IV shareholders of the Funds pay an administrative fee to the Investment Adviser computed as a percentage of the Funds' average net assets attributable in the aggregate to Class I, II, III & IV shares, the Investment Adviser, in turn, provides or procures administrative and shareholder services for Class I, II, III & IV shareholders and also bears the costs of most third-party administrative services required by the Funds, including audit, custodial, portfolio accounting, legal, transfer agency and printing costs. The administrative fees paid to the Investment Adviser may exceed the related costs. Generally, this may not be the case for relatively small funds. The High Yield Bond Fund received a one time credit of $70,911 for accrual adjustments in the fund administration expense due to the adoption of the unitized administration fee. The investment advisory and administrative services fees were charged at the following rates from April 1, 2006 to September 27, 2006: <Table> <Caption> ADMINISTRATION FEE CLASS I CLASS II CLASS III CLASS IV FUND ADVISORY FEE 4/1/06 TO 9/27/06 4/1/06 TO 9/27/06 4/1/06 TO 9/27/06 4/1/06 TO 9/27/06 - --------------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> U.S. Micro Cap 1.00% 0.56% 0.31% -- -- U.S. Emerging Growth 0.75% 0.45% -- -- -- U.S. Small Cap Value 0.75% 0.55% 0.45% -- -- U.S. Systematic Large Cap Growth 0.45% 0.67% 0.52% -- -- U.S. Systematic Mid Cap Growth 0.70% 0.63% 0.43% -- -- U.S. Convertible 0.55% 0.47% 0.37% -- 0.22%(1) Global Select 0.65% 0.50% 0.45% -- -- International Growth 0.50% 0.89% 0.49% -- -- International Growth Opportunities 0.70% 0.72% 0.57% 0.52% 0.47% Emerging Markets 0.90% 0.45% 0.35%(2) -- -- International Systematic 0.50% 0.50% 0.35%(3) 0.25%(4) -- International All Cap Growth 0.85% 0.30% -- -- -- U.S. High Yield Bond 0.40% 0.23% 0.18% -- -- </Table> (1) COMMENCED 12/28/06. (2) COMMENCED 3/23/07. (3) COMMENCED 12/20/06. (4) COMMENCED 12/19/06. 77 <Page> Effective September 28, 2006, the administrative fees were decreased to the rates shown below, to better reflect other expenses not covered under the administrative fee. These other expenses which the are borne by the fund, such as brokerage fees, taxes, commissions and other transaction expenses, costs of borrowing money, including interest expenses, extraordinary expenses and fees, expenses of the disinterested Trustees of the Trust and their counsel may vary and affect the total level of expenses paid by Class I, II, III & IV shareholders. <Table> <Caption> ADMINISTRATION FEE CLASS I CLASS II CLASS III CLASS IV FUND 9/28/06 TO 3/31/07 9/28/06 TO 3/31/07 9/28/06 TO 3/31/07 9/28/06 TO 3/31/07 - ---------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> U.S. Micro Cap 0.54% 0.29% -- -- U.S. Emerging Growth 0.41% -- -- -- U.S. Small Cap Value 0.52% 0.42% -- -- U.S. Systematic Large Cap Growth 0.64% 0.49% -- -- U.S. Systematic Mid Cap Growth 0.61% 0.41% -- -- U.S. Convertible 0.44% 0.34% -- 0.19% Global Select 0.47% 0.42% -- -- International Growth 0.86% 0.46% -- -- International Growth Opportunities 0.69% 0.54% 0.49% 0.44% Emerging Markets 0.42% 0.32% -- -- International Systematic 0.48% 0.33% 0.23% -- International All Cap Growth 0.27% -- -- -- U.S. High Yield Bond 0.20% 0.15% -- -- </Table> The Shareholder servicing fees are charged at the following rates: FUND - ----------------------------------------------- U.S. Emerging Growth 0.25% U.S. Small Cap Value 0.25% U.S. Systematic Large Cap Growth 0.25% International Growth 0.25% TRUSTEE COMPENSATION Certain officers of the Trust are also officers of the Investment Adviser and Distributor. The Trustees who are not affiliated with the Investment Adviser receive annual compensation of approximately $35,000 each from the Trust, except for the chairman of the Trust who will receive annual compensation of approximately $42,000 from the Trust. 78 <Page> NOTE E -- INVESTMENT TRANSACTIONS The following table presents purchases and sales of securities, excluding short-term investments, during the period ended March 31, 2007 to indicate the volume of transactions in each Fund. The tax cost of securities held at March 31, 2007, and the related gross and net unrealized appreciation and depreciation, provide aggregate information on a tax basis against which future gains and losses on these investments are measured for distribution purposes. <Table> <Caption> NET GROSS GROSS UNREALIZED UNREALIZED UNREALIZED APPRECIATION PURCHASES SALES TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) FUND (IN 000'S) (IN 000'S) (IN 000'S) (IN 000'S) (IN 000'S) (IN 000'S) - ------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> <C> <C> U.S. Micro Cap $141,181 $137,773 $111,882 $13,994 $(1,972) $12,022 U.S. Emerging Growth 15,815 14,813 12,742 1,750 (291) 1,459 U.S. Small Cap Value 74,844 161,026 70,199 15,753 (2,302) 13,451 U.S. Systematic Large Cap Growth 19,776 14,622 15,469 2,165 (210) 1,955 U.S. Systematic Mid Cap Growth 58,271 60,633 23,361 3,887 (208) 3,679 U.S. Convertible 157,185 59,666 135,445 13,102 (3,809) 9,293 Global Select 167,535 193,275 168,214 23,895 (3,025) 20,870 International Growth 109,534 157,889 61,533 12,709 (864) 11,845 International Growth Opportunities 287,950 259,661 221,530 63,893 (2,305) 61,588 Emerging Markets 38,764 1,241 38,574 1,022 (290) 732 International Systematic 124,833 65,806 66,903 5,358 (1,205) 4,153 International All Cap Growth 25,760 25,111 20,461 5,526 (368) 5,158 U.S. High Yield Bond 100,738 113,017 91,246 4,139 (129) 3,661 </Table> Gains and losses resulting from the subscriptions-in-kind and redemptions-in-kind are included in the realized gain/loss from securities and non-U.S. currency transactions. During the year ended March 31, 2007, the U.S. Convertible, Emerging Markets and U.S. High Yield Bond Funds had subscriptions-in-kind valued at $93,195,957, $37,739,965 and $8,812,639, respectively. The U.S. Systematic Mid Cap Growth and International Systematic Funds had redemptions-in-kind valued at $22,285,855 and $14,473,124, respectively. NOTE F -- FINANCIAL INSTRUMENTS The Funds may be party to financial instruments with off-balance sheet risks, including forward non-U.S. currency contracts, primarily in an attempt to minimize the risk to the Fund, in respect of its portfolio transactions. These instruments involve market and/or credit risk in excess of the amount recognized in the Statement of Assets and Liabilities. Risks arise from the possible inability of counterparties to meet the terms of their contracts and from unexpected movement in currencies, securities values and interest rates. The contract amounts indicate the extent of the Funds' involvement in such contracts. For the year ended March 31, 2007 the Funds were not party to any such agreements. NOTE G -- NEW ACCOUNTING PRONOUNCEMENTS The Financial Accounting Standards Board ("FASB") has recently issued Interpretation No. 48, "Accounting for Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109) the "Interpretation"), which applies to all registered investment companies and clarifies the accounting for uncertain tax positions. The Interpretation is effective for financial statements for fiscal years beginning after December 15, 2006. Management has not yet completed their analysis of the Interpretation, and is not currently in a position to estimate the significance, if any, that the impact of adoption will have on the financial statements. On December 22, 2006, the SEC indicated they had no objection if a fund implemented FIN 48 in the first required financial statement reporting period for fiscal years beginning after December 15, 2006. In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact, if any, the adoption of SFAS 157 will have on the Fund's financial statements. 79 <Page> REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Shareholders and Board of Trustees of Nicholas-Applegate Institutional Funds In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and changes in net assets and the financial highlights present fairly, in all material respects, the financial position of each of the portfolios comprising the Nicholas-Applegate Institutional Funds (collectively, the "Funds") at March 31, 2007, and the results of each of their operations for the year then ended, the changes in each of their net assets for the two years in the period then ended and each of their financial highlights for the five years in the period then ended (for the Nicholas-Applegate International All-Cap Growth Fund, for the two years in the period ended March 31, 2007), 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards 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 owned at March 31, 2007 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. The financial highlights of the Nicholas-Applegate International All-Cap Growth Fund for the three years in the period ended March 31, 2005 were audited by another independent registered public accounting firm whose report dated April 22, 2005 expressed an unqualified opinion thereon. /s/ PRICEWATERHOUSECOOPERS LLP Los Angeles, California May 25, 2007 80 <Page> SHAREHOLDER EXPENSE EXAMPLE -- (Unaudited) As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including redemption fees, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2006 to March 31, 2007). ACTUAL EXPENSES The first line of the table below for each fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for a fund under the heading "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each fund provides information about hypothetical account values and hypothetical expenses based on a fund's actual expense ratio and an assumed rate of return if 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. <Table> <Caption> EXPENSES PAID BEGINNING ACCOUNT ENDING ACCOUNT DURING THE PERIOD* VALUE VALUE OCTOBER 1, 2006 TO ANNUALIZED OCTOBER 1, 2006 MARCH 31, 2007 MARCH 31, 2007 EXPENSE RATIO - ---------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> U.S. MICRO CAP GROWTH -- CLASS I Actual $1,000.00 $1,116.50 $8.38 1.58% - ---------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,017.15 $7.99 1.58% - ---------------------------------------------------------------------------------------------------------------------- U.S. MICRO CAP GROWTH -- CLASS II Actual $1,000.00 $1,118.00 $7.06 1.33% - ---------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,018.40 $6.73 1.33% - ---------------------------------------------------------------------------------------------------------------------- U.S. EMERGING GROWTH -- CLASS I Actual $1,000.00 $1,126.40 $6.34 1.19% - ---------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,019.10 $6.02 1.19% - ---------------------------------------------------------------------------------------------------------------------- U.S. SMALL CAP VALUE -- CLASS I Actual $1,000.00 $1,099.90 $6.90 1.31% - ---------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,018.50 $6.63 1.31% - ---------------------------------------------------------------------------------------------------------------------- U.S. SMALL CAP VALUE -- CLASS II Actual $1,000.00 $1,100.70 $6.32 1.20% - ---------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,019.05 $6.07 1.20% - ---------------------------------------------------------------------------------------------------------------------- U.S. SYSTEMATIC LARGE CAP GROWTH -- CLASS I Actual $1,000.00 $1,085.70 $5.91 1.13% - ---------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,019.40 $5.72 1.13% - ---------------------------------------------------------------------------------------------------------------------- U.S. SYSTEMATIC LARGE CAP GROWTH -- CLASS II Actual $1,000.00 $1,086.30 $5.07 0.97% - ---------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,020.21 $4.91 0.97% - ---------------------------------------------------------------------------------------------------------------------- U.S. SYSTEMATIC MID CAP GROWTH -- CLASS I Actual $1,000.00 $1,166.40 $7.28 1.34% - ---------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,018.35 $6.78 1.34% - ---------------------------------------------------------------------------------------------------------------------- U.S. SYSTEMATIC MID CAP GROWTH -- CLASS II Actual $1,000.00 $1,168.00 $6.20 1.14% - ---------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,019.35 $5.77 1.14% - ---------------------------------------------------------------------------------------------------------------------- </Table> 81 <Page> <Table> <Caption> EXPENSES PAID BEGINNING ACCOUNT ENDING ACCOUNT DURING THE PERIOD* VALUE VALUE OCTOBER 1, 2006 TO ANNUALIZED OCTOBER 1, 2006 MARCH 31, 2007 MARCH 31, 2007 EXPENSE RATIO - ------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> U.S. CONVERTIBLE -- CLASS I Actual $1,000.00 $1,097.50 $5.26 1.00% - ------------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,020.05 $5.06 1.00% - ------------------------------------------------------------------------------------------------------------------------- U.S. CONVERTIBLE -- CLASS II Actual $1,000.00 $1,098.20 $4.79 0.91% - ------------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,020.51 $4.61 0.91% - ------------------------------------------------------------------------------------------------------------------------- U.S. CONVERTIBLE -- CLASS IV (1) Actual $1,000.00 $1,011.07 $1.95 0.77% - ------------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,010.66 $1.95 0.77% - ------------------------------------------------------------------------------------------------------------------------- GLOBAL SELECT -- CLASS I Actual $1,000.00 $1,100.60 $6.11 1.16% - ------------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,019.25 $5.87 1.16% - ------------------------------------------------------------------------------------------------------------------------- GLOBAL SELECT -- CLASS II Actual $1,000.00 $1,100.90 $5.85 1.11% - ------------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,019.50 $5.62 1.11% - ------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL GROWTH -- CLASS I Actual $1,000.00 $1,133.00 $7.59 1.42% - ------------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,017.95 $7.18 1.42% - ------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL GROWTH -- CLASS II Actual $1,000.00 $1,134.20 $5.51 1.03% - ------------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,007.29 $5.18 1.03% - ------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL GROWTH OPPORTUNITIES -- CLASS I Actual $1,000.00 $1,217.90 $7.95 1.43% - ------------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,017.90 $7.23 1.43% - ------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL GROWTH OPPORTUNITIES -- CLASS II Actual $1,000.00 $1,219.00 $7.12 1.28% - ------------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,018.65 $6.48 1.28% - ------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL GROWTH OPPORTUNITIES -- CLASS III Actual $1,000.00 $1,219.30 $6.84 1.23% - ------------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,018.90 $6.23 1.23% - ------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL GROWTH OPPORTUNITIES -- CLASS IV Actual $1,000.00 $1,219.80 $6.62 1.19% - ------------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,019.10 $6.02 1.19% - ------------------------------------------------------------------------------------------------------------------------- EMERGING MARKETS FUND -- CLASS I (2) Actual $1,000.00 $1,281.40 $8.18 1.43% - ------------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,017.90 $7.23 1.43% - ------------------------------------------------------------------------------------------------------------------------- EMERGING MARKETS FUND -- CLASS II (3) Actual $1,000.00 $1,000.18 $0.16 1.18% - ------------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,000.52 $0.16 1.18% - ------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL SYSTEMATIC FUND -- CLASS I Actual $1,000.00 $1,140.50 $4.67 0.87% - ------------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,020.71 $4.41 0.87% - ------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL SYSTEMATIC FUND -- CLASS II (4) Actual $1,000.00 $1,009.21 $2.34 0.85% - ------------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,011.37 $2.34 0.85% - ------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL SYSTEMATIC FUND -- CLASS III (5) Actual $1,000.00 $1,011.70 $2.12 0.76% - ------------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,011.73 $2.12 0.76% - ------------------------------------------------------------------------------------------------------------------------- </Table> 82 <Page> <Table> <Caption> EXPENSES PAID BEGINNING ACCOUNT ENDING ACCOUNT DURING THE PERIOD* VALUE VALUE OCTOBER 1, 2006 TO ANNUALIZED OCTOBER 1, 2006 MARCH 31, 2007 MARCH 31, 2007 EXPENSE RATIO - ---------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> INTERNATIONAL ALL CAP GROWTH -- CLASS I Actual $1,000.00 $1,165.60 $6.24 1.15% - ---------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,019.30 $5.82 1.15% - ---------------------------------------------------------------------------------------------------------------------- U.S. HIGH YIELD BOND -- CLASS I Actual $1,000.00 $1,069.80 $3.27 0.63% - ---------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,021.91 $3.19 0.63% - ---------------------------------------------------------------------------------------------------------------------- U.S. HIGH YIELD BOND -- CLASS II Actual $1,000.00 $1,071.20 $3.01 0.58% - ---------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,022.16 $2.94 0.58% - ---------------------------------------------------------------------------------------------------------------------- </Table> (1) U.S. CONVERTIBLE FUND'S CLASS IV BEGINNING ACCOUNT VALUE ON 12/28/06 (CLASS INCEPTION DATE) (2) EMERGING MARKETS FUND'S CLASS I BEGINNING ACCOUNT VALUE ON 8/21/06 (CLASS INCEPTION DATE) (3) EMERGING MARKETS FUND'S CLASS II BEGINNING ACCOUNT VALUE ON 3/23/07 (CLASS INCEPTION DATE) (4) INTERNATIONAL SYSTEMATIC FUND'S CLASS II BEGINNING ACCOUNT VALUE ON 12/20/06 (CLASS INCEPTION DATE) (5) INTERNATIONAL SYSTEMATIC FUND'S CLASS III BEGINNING ACCOUNT VALUE ON 12/19/06 (CLASS INCEPTION DATE) * EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO (SHOW IN THE TABLE BELOW); MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD. 83 <Page> SUPPLEMENTARY INFORMATION -- (Unaudited) PROXY VOTING (Unaudited) The Investment Adviser votes proxies on behalf of the Funds pursuant to written policies and procedures adopted by the Funds. To obtain free information on how your Funds' securities were voted, please call the Funds at 1-800-551-8043 or visit the Funds' website at www.nacm.com. You may also view how the Fund's securities were voted by visiting the Securities & Exchange Commission's website at www.sec.gov. Additionally, information regarding each Fund's proxy voting record for the most recent twelve month period ended June 30 is also available, free of charge, by calling the Funds at 1-800-551-8043 and from the SEC's website at http:///www.sec.gov. ADDITIONAL FEDERAL TAX INFORMATION (UNAUDITED) The Jobs and Growth Tax Relief Reconciliation Act of 2003 allows a fund to distribute certain dividends paid to its eligible shareholders as qualified dividend income. Of the ordinary income (including short-term capital gain) distributions made by the Funds during the fiscal year ended March 31, 2007, the following percentages represent the amount of qualified income within each Fund: U.S. Micro Cap 5.43% U.S. Small Cap Value 18.02 U.S. Systematic Large Cap Growth 100.00 U.S. Systematic Mid Cap Growth 15.84 U.S. Convertible 20.35 Global Select 17.68 International Growth 28.82 Emerging Markets 41.44 International Systematic 13.75 International All Cap Growth 100.00 The amounts which represent income derived from sources within, and taxes paid to non-U.S. countries or possessions of the United States are as follows: FOREIGN SOURCE FUND INCOME FTC TOTAL: - -------------------------------------------------------------------------------- Global Select $1,802,685 $174,389 International Growth 1,466,679 146,976 International Growth Opportunities 2,658,778 187,154 Emerging Markets 20,564 689 International Systematic 641,237 40,638 International All Cap Growth 338,879 31,912 The percentage of ordinary dividends paid by the Funds during the year ended March 31, 2007, which qualify for the Dividends Received Deduction available to corporate shareholders was: FUND PERCENTAGE: - -------------------------------------------------------------------------------- U.S. Micro Cap 6.16% U.S. Small Cap Value 28.00 U.S. Systematic Large Cap Growth 100.00 U.S. Systematic Mid Cap Growth 38.62 U.S. Convertible 18.36 Global Select 5.39 International Growth 0.70 Emerging Markets 6.57 International All Cap Growth 9.45 The Funds hereby designate the following approximate amounts as capital gains distributions for the purpose of the Dividends Paid Deduction: FUND AMOUNTS: - -------------------------------------------------------------------------------- U.S. Micro Cap $ 3,661,799 U.S. Emerging Growth 739,964 U.S. Small Cap Value 12,007,364 U.S. Systematic Mid Cap Growth 569,701 U.S. Convertible 3,345,184 Global Select 10,424,975 International Growth 7,370,298 International Growth Opportunities 7,183,710 International Systematic 138,438 International All Cap Growth 814,495 84 <Page> QUARTERLY FILING The Funds provide a complete list of portfolio holdings four times in each fiscal year, at the end of each calendar quarter. For the second and fourth quarters, the portfolio holdings appear in the Funds' semiannual and annual reports to shareholders. For the first and third quarters, the Funds file their portfolio holdings with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the Funds' Form N-Q on the SEC's website at www.sec.gov. Forms N-Q may also be reviewed and copied at the SEC's Public Reference Room in Washington, DC. To find out more about this public service, call the SEC at 1-202-942-8090. TRUSTEE APPROVAL OF INVESTMENT ADVISORY AGREEMENT Based upon the recommendation of the Contract Committee of the Board of Trustees, a Committee comprised of all of the Independent Trustees of the Trust ("Funds"), the Trustees unanimously approved the continuance of the Investment Advisory Agreement between the Funds and Nicholas-Applegate Capital Management ("Nicholas-Applegate") at a meeting held November 10, 2006. In approving the Investment Advisory Agreement, the Board of Trustees, through its Contract Committee, evaluated a comprehensive package of materials, including performance and expense data for other funds with similar asset sizes, investment objectives and policies provided by Morningstar Inc. Prior to making its recommendation, the Contract Committee reviewed the proposed continuance of the Investment Advisory Agreement with representatives of Nicholas-Applegate and with independent legal counsel to the independent Trustees of the Trust. Members of the Contract Committee also met privately with independent legal counsel to discuss the factors they felt were relevant. The factors included: (1) comparative performance data for each of the Funds and other funds with similar investment objectives/policies and to a relevant index; (2) the nature, extent and quality of investment advisory services rendered by Nicholas-Applegate; (3) marketing and sales efforts dedicated to the Funds; (4) compensation paid to Nicholas-Applegate; (5) costs borne by Nicholas-Applegate; (6) comparative fee and expense data for each of the Funds and other funds with similar investment objectives/policies; (7) Nicholas-Applegate's policies and practices regarding allocation of portfolio transactions, best price and execution of portfolio transactions, and soft dollar arrangements; (8) expense off-set arrangements; (9) portfolio turnover rates; (10) fall-out benefits, such as research received pursuant to Section 28(e) of the Securities Exchange Act of 1934; (11) fees that Nicholas-Applegate charges its other clients with similar investment objectives/policies; and (12) experience and qualifications of each of the members of the portfolio management teams. The Contract Committee also considered their confidence in Nicholas-Applegate's integrity and competence, and Nicholas-Applegate's responsiveness to questions and issues raised by the Trustees, including its willingness to consider and implement changes designed to improve investment and operational results. In their deliberations, the Contract Committee did not identify any particular information that was controlling, and each member of the Contract Committee attributed different weights to the various factors. The Contract Committee determined that the fees of the Investment Advisory Agreement between each of the Funds and Nicholas-Applegate were fair and reasonable in light of the services performed, expenses incurred and such other matters as the Contract Committee considered relevant in the exercise of their reasonable judgment. The Contract Committee also separately discussed the material factors and conclusions that formed the basis for the Contract Committee to recommend to the Board of Trustees to approve the Investment Advisory Agreement for each of the Funds. SERVICES PROVIDED BY NICHOLAS-APPLEGATE The Contract Committee noted that Nicholas-Applegate manages the portfolios of each of the Funds under the direction of the Board of Trustees. Nicholas-Applegate manages each Fund consistent with each Fund's investment objectives and policies. Nicholas-Applegate provides each Fund with office space and such other services and personnel as are necessary for its operations. The Contract Committee considered the scope and quality of services provided by Nicholas-Applegate under the Investment Advisory Agreement. The Contract Committee considered the quality of the investment research capabilities of Nicholas-Applegate and the other services to be provided to the Funds by Nicholas-Applegate, such as selecting broker-dealers for executing portfolio transactions, serving as the Funds' administrator, monitoring adherence to the Funds' investment restrictions, producing shareholder reports, providing support services for the Trustees and Board Committees and overseeing the activities of other service providers, including monitoring compliance with various Fund policies and procedures and with applicable securities laws and regulations. The Contract Committee concluded that the nature, extent and quality of the services provided by Nicholas-Applegate to the Funds were appropriate and consistent with the terms of the Investment Advisory Agreement and that the Funds' will continue to benefit from services provided under the Investment Advisory Agreement with Nicholas-Applegate. COST OF SERVICES & FUND EXPENSES The Contract Committee examined the fee information and expenses for each of the Funds in comparison to information from other comparable funds as provided by Morningstar, Inc. The Contract Committee agreed that overall the Funds' management fees and expense ratios were reasonable in relation to the management fees and expense ratios of the Funds' peer groups selected by Morningstar. The Contract Committee also reviewed Nicholas-Applegate's management fees charged to its institutional separate account clients and for sub-advised funds (funds for which the Nicholas-Applegate provides portfolio management services only). In most instances sub-advisory and institutional separate account fees are lower than the Funds' management fee. However, the Contract Committee noted that Nicholas-Applegate performs significant additional services to the Funds that it does not provide to those other clients, including administrative services, oversight of the Funds' other service providers, trustee support, regulatory 85 <Page> compliance and numerous other services that Nicholas-Applegate provides to the Funds. The Contract Committee reviewed the profitability analysis for each Fund and discussed the methodology used by Nicholas-Applegate to assess profitability. They noted that only 4 of the Funds were profitable and found the level of profitability was fair and reasonable as compared to similar separate accounts and sub-advised funds managed by Nicholas-Applegate. The Contract Committee concluded that the management fees and other compensation to be paid by the Funds to Nicholas-Applegate were reasonable in relation to the nature and quality of the services to be provided, taking into account (1) the fees charged by other advisers for managing comparable mutual funds with similar strategies; (2) the fees that Nicholas-Applegate charges to other clients; (3) the estimated overall expense ratio of the Funds, taking into account the Funds' expense offset arrangements with its brokers, custodian and third party services providers. The Committee concluded that compensation paid to Nicholas-Applegate was comparable to or more favorable than the mean or median expense ratios of their peers. INVESTMENT RESULTS The Contract Committee considered the investment results of each of the Funds as compared to funds with similar investment objectives and policies as determined by Morningstar and with relevant securities indices. In addition to the information received by the Contract Committee for their meeting, Nicholas-Applegate provided detailed performance information for each Fund at each regular meeting of the Board of Trustees. The Contract Committee reviewed information showing absolute and relative performance of each Fund over 1-year, 3-year, 5-year and 10-year periods as applicable. US MICRO CAP FUND. The Contract Committee reviewed the information reporting performance of the US Micro Cap Growth Fund compared to its peer group and the Russell 2000 Growth Index and the Russell Micro Cap Growth Index. The comparative information showed the Fund had performed strongly against its peers and outperformed the Russell 2000 Growth Index for the 1-year, 3-year and 5-year periods. The Committee noted the Fund's slight under performance relative to the new Russell Micro Cap Growth Index for the 1-year period since the Index's inception on June 25, 2005. The Committee concluded that the Fund based on their review had performed very well relative to its peers and benchmarks. US EMERGING GROWTH FUND. The Contract Committee reviewed information showing performance of the Fund compared to its peer group and the Russell 2000 Growth Index. The comparative information showed the Fund was at the top quartile of its peer group and had outperformed the Index for the 1-year, 5-year and 10-year periods. The Contract Committee concluded that the Fund's relative performance over time had been very good. US SMALL CAP VALUE FUND. The Contract Committee reviewed information showing performance of the Fund compared to its peer group and the Russell 2000 Value Index. The comparative information showed the Fund had out performed its peers but underperformed the Index in the 1-year period, The Fund out performed the index and was the top preforming fund relative to its peers for both the 3-year and 5-year periods. Based on their review, the Contract Committee concluded the Fund's relative performance over time had been very good. US SYSTEMATIC LARGE CAP GROWTH FUND. The Contract Committee reviewed information showing performance of the Fund compared to its peer group and the Russell 1000 Growth Index. The comparative information showed the Fund had outperformed its peer group and the Index over the 1-year period and underperformed its peer group and Index for the 3-year and 5-year periods. In early 2004, Nicholas-Applegate changed portfolio management teams from one focusing on a traditional fundamental approach to one that followed a quantitative focus that relies on analytical investment models prepared by Nicholas-Applegate's systematic investment team. Since that time, the Fund has outperformed its peers and the Index. The Contract Committee considered Nicholas-Applegate's change in the Fund's portfolio management team and the improvement in the Fund's performance following the change. Based on their review, the Contract Committee concluded that changes made by Nicholas-Applegate have had a positive effect on performance. US SYSTEMATIC MID CAP GROWTH FUND. The Fund has been in operations for only one year so there was little performance information for the Contract Committee to evaluate. However, the Contract Committee reviewed comparative expense ratio information. The comparative information showed that the Fund had a lower investment advisory fee than its peers but had higher overall net expenses. The Contract Committee considered the Funds average assets of approximately $4.5 million compared to the peer group average of approximately $17 million. Based on their review, the Contract Committee concluded that, although the Fund's net expense ratio exceeded the peer group average, expenses would decrease to more favorable levels as assets increased. US CONVERTIBLE FUND. The Contract Committee reviewed information showing performance of the Fund compared to its peer group and the Merrill Lynch Convertibles Bonds All Qualities Index. The comparative information showed that the Fund had outperformed its peer group and the Index for the 1-year, 3-year and 10-year periods yet underperformed both the Index and its peers in the 5-year period. Based on this review, the Contract Committee concluded the Fund's relative investment performance over time was good. GLOBAL SELECT FUND. The Contract Committee reviewed information showing performance of the Fund compared to its peer group and the MSCI World Index. The comparative information showed the Fund had under performed relative to the Index for the 1-year period with above median peer performance and outperformed both its peers and the Index for the 3-year and 5-year periods. Based on this review, the Contract Committee concluded the Fund's relative investment performance over time had been very good. INTERNATIONAL GROWTH FUND. The Contract Committee reviewed information showing performance of the Fund 86 <Page> compared to its peer group and the MSCI EAFE Index. The comparative information showed the Fund had outperformed the peer group median for the 1-year and 3-year period yet underperformed the Index in the 1-year, 3-year and 5-year periods. The Contract Committee considered the changes in the Fund's portfolio management team and ongoing enhancement to its investment process. Based on their review, the Contract Committee concluded that, although the Fund's relative investment performance over time had compared unfavorably to the Index, Nicholas-Applegate was addressing the Committee's concerns about investment performance and retained confidence in Nicholas-Applegate's overall capabilities to manage the Fund. INTERNATIONAL GROWTH OPPORTUNITIES FUND. The Contract Committed reviewed information showing performance of the Fund compared to its peer group and the MSCI EAFE Index. The comparative information showed that the Fund had outperformed the index in the 1-year, 3-year, 5-year and 10-year periods and with the exception of the 3-year period, outperformed its peer group median. Based on their review, the Contract Committee concluded that the Fund's performance is strong. EMERGING MARKETS FUND. The Fund has been in operation for less than 1-year and therefore no long term performance comparisons were available for the Contract Committee to review. The Fund compares its performance to the MSCI EM Index and the MSCI EM Growth Index. For the period from inception on August 18, 2006, the Fund narrowly outperformed the MSCI EM index and underperformed relative to the MSCI EM Growth Index. The Committee reviewed the expense ratios of the Fund and based on their review, the Contract Committee concluded that the Fund was well positioned for growth. INTERNATIONAL SYSTEMATIC FUND. The Fund has been in operations for only a year and accordingly there was little performance information for the Committee to evaluate. The Fund's 1-year performance was compared to the MSCI EAFE Index, the MSCI EAFE Growth Index and to its peers. The Fund outperformed both Indexes and peers during the 1-year period. The Committee then reviewed comparative expense ratio information which showed that the Fund had lower Advisory fee and lower net expenses than its peers. The Contract Committee considered the Funds average assets of approximately $2.9 million compared to the peer group average of approximately $12.3 million. Based on their review, the Contract Committee concluded that the Fund was performing very well. INTERNATIONAL ALL CAP GROWTH FUND. The Contract Committed reviewed information showing performance of the Fund compared to its peer group and the MSCI EAFE Growth Index. The comparative information showed that the Fund had outperformed both its peers and the Index in the 1-year, 3-year and 5-year periods. Based on their review, the Contract Committee concluded that the Fund's performance is strong. US HIGH YIELD BOND FUND. The Contract Committee reviewed information showing performance of the Fund compared to its peer group and the CSFB High Yield, the Merrill Lynch High Yield Master II and the Merrill Lynch High Yield BB-B Rated Indexes. The comparative information showed that the Fund had outperformed its peer group median in the 1-year, 5-year and 10-year periods. The Fund underperformed relative to the Credit Suisse High Yield Index and Merrill Lynch High Yield Master II Index in all periods. The Contract Committee considered the Fund's relative performance periods had been adversely affected by Nicholas-Applegate's decision to avoid the risk of investing in distressed and lower rated high yield bonds (CCC or below). Based on their review, the Contact Committee retained confidence in Nicholas-Applegate's overall capabilities to manage the Fund. INVESTMENT ADVISORY FEE AND OTHER EXPENSES The Contract Committee considered the investment advisory fee paid by each Fund. The Contract Committee recognized that it is difficult to make comparisons of investment advisory fees because there are variations in the services that are included in the fees paid by other funds. The Contract Committee also considered the fees that Nicholas-Applegate charges other clients with similar investment objectives/policies. Nicholas-Applegate acts as sub-adviser to several open-end and closed-end registered investment companies, non-US investment companies, and investment adviser for separately managed institutional investor accounts. For funds where Nicholas-Applegate acts as sub-adviser, the Investment advisory fee is generally lower. For separately managed accounts where Nicholas- Applegate acts as investment adviser, the investment advisory fee is comparable and in some cases higher. Representatives of Nicholas-Applegate reviewed with the Contract Committee the significant differences in the scope of services provided and financial commitments and risks involved in managing the various types of accounts. The Contract Committee also considered the total expense ratio for each Fund in comparison to their respective peers. (Expenses for US Systematic Mid Cap Growth Fund, Emerging Markets Fund and International Systematic Fund are discussed in the section above). US MICRO CAP FUND. The peer group consisted of funds with net assets, on average, of $103 million compared with $78 million for the Fund. The information showed that the Fund's investment advisory fee was lower than the peer group median, its gross expenses were higher, and its net expenses were equal to its peer group median. The Contract Committee concluded that the Fund's expense ratio was acceptable in light of the quality of services offered and other factors considered. US EMERGING GROWTH FUND. The peer group consisted of funds with net assets, on average, of $30 million compared with $12 million for the Fund. The information showed that the Fund's investment advisory fee was lower than the peer group median, gross expense ratio equal to the peer group median, and net expense ratio slightly higher than the peer group median. The Contract Committee concluded that the Fund's expense ratio was acceptable in light of quality of services and other factors considered. 87 <Page> US SMALL CAP VALUE FUND. The peer group consisted of funds with net assets, on average, of $114 million compared to $127 million for the Fund. The information showed that the Fund's investment advisory fee and net expense ratio was lower than the peer group median and its gross expense ratio was slightly higher than its peer group median. The Contract Committee concluded that the Fund's expense ratio was acceptable in light of the quality of services offered and other factors considered. US SYSTEMATIC LARGE CAP GROWTH FUND. The peer group consisted of funds with net assets, on average, of $23 million compared with $6 million for the Fund. The information showed that the Fund's investment advisory fee was lower than the peer group median and that gross expenses and net expenses were above the peer group median. Nicholas-Applegate reported that the Fund's expense ratio was higher than the peer group given its smaller asset size. The Contract Committee concluded that the Fund's expense ratio was acceptable in light of the quality of services and other factors considered. US CONVERTIBLE FUND. The peer group consisted of funds with net assets, on average, of $140 million compared with $34 million for the Fund. The information showed that the Fund's investment advisory fee was well below the peer group average and its net expenses were equal to the peer group median. Nicholas-Applegate reported that gross expenses were higher due to the fund's relatively small asset size compared to its peers. The Contract Committee concluded that the Fund's expense ratio was acceptable in light of the quality of services and other factors considered. GLOBAL SELECT FUND. The peer group consisted of funds with net assets, on average, of $239 million compared with $320 million for the Fund. The information showed that the Fund's investment advisory fee and net expense ratio was lower than its peer group median and average. The Contract Committee concluded that the Fund's expense ratio was acceptable in light of the quality of services and other factors considered. INTERNATIONAL GROWTH FUND. The peer group consisted of funds with net assets, on average, of $70 million compared to $37 million for the Fund. The information showed that the Fund's investment advisory fee was lower than the peer group median. The Funds net expense ratio was 23 basis points less than the median and its gross expense ratio was 12 basis points above the median. The Contract Committee concluded that the Fund's expense ratio was acceptable in light of the quality of services offered and other factors considered. INTERNATIONAL ALL CAP GROWTH FUND. The peer group consisted of funds with net assets, on average, of $79 million compared to $30 million for the Fund. The information showed that the Fund's investment advisory fee was in line with the peer group median and its net and grows expense ratios were higher than category median yet in the lowest quintile with its peers. The Contract Committee concluded that the Fund's expense ratio was acceptable in light of the quality of services and other factors considered. INTERNATIONAL GROWTH OPPORTUNITIES FUND. The peer group consisted of funds with net assets, on average, of $158 million compared to $100 million for the Fund. The information showed that the Fund's investment advisory fee was well below the peer group median and its net and gross expense ratio was lower than the peer group median. The Contract Committee concluded that the Fund's expense ratio was acceptable in light of the quality of services offered and other factors considered. HIGH YIELD BOND FUND. The peer group consisted of funds with net assets, on average, of $174 million compared with $145 million for the Fund. The information showed that the Fund's investment advisory fee as lower than the peer group median as well as its net expense ratios. The Fund's gross expense ratios was in line with the peer group median. The Contract Committee concluded that the Fund's expense ratio was acceptable in light of the quality of services and other factors considered. ECONOMIES OF SCALE The Contract Committee noted that the investment advisory fee schedules for the Funds do not contain breakpoints that reduce the fee rate on assets above specified levels. However, the Contract Committee did note that overall fees paid to Nicholas-Applegate (investment advisory, administration, and shareholder service) contain the functional equivalent of breakpoints through four to five different share classes that reduce the fees paid to Nicholas-Applegate based on the asset level of the account. The Contract Committee recognized that the existing fee structure is consistent with the institutional nature of the Funds and of Nicholas-Applegate's business, which focuses on large institutional investors (e.g., pension plans, endowments and public funds). Having taken these factors into consideration, the Contract Committee concluded that the Funds' current multiple share class fee structure establishes a reasonable basis for realizing economies of scale for the Funds which may exist when assets increase. At current asset levels, the Contract Committee also noted that the most of the Funds have not realized optimal economies of scale in respect to other expenses. 88 <Page> CORPORATE GOVERNANCE NAME, ADDRESS (1) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AGE OTHER DIRECTORSHIP HELD BY TRUSTEE POSITION(S) HELD WITH FUND NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN LENGTH OF TIME SERVED (2) BY TRUSTEE - -------------------------------------------------------------------------------- DISINTERESTED TRUSTEES: GEORGE F. KEANE (77) PRINCIPAL OCCUPATIONS: President Emeritus and Chairman of the Board & Trustee founding Chief Executive Officer, The Common Since August 2004 Fund (1971-1993); and Endowment Advisors (1987-1999) (organizations that provide investment management programs for colleges and universities) OTHER DIRECTORSHIPS HELD: Director, Longview Oil & Gas (since 2000); Director, Security Capital U.S. Real Estate (since 1997); Director, The Universal Bond Fund (since 1997); Director, Universal Stainless & Alloy Products Inc. (since 1994); Director, United Water Services and affiliated companies (1996-2000); Director, and former Chairman of the Board, Trigen Energy Corporation (1994-2000); Trustee, Nicholas-Applegate Mutual Funds (1994-1999). NUMBER OF PORTFOLIOS OVERSEEN BY TRUSTEE: 13 WALTER E. AUCH (85) PRINCIPAL OCCUPATIONS: Retired; prior thereto, Trustee Since May 1999 Chairman and CEO of Chicago Board of Options Exchange (1979-1986); Senior Executive Vice President PaineWebber, Inc. OTHER DIRECTORSHIPS HELD: Trustee, LLBS Funds (since 1994 and Brinson Supplementary Trust (since 1997); Director, Thompson Asset Management Corp (1987-1999; Director, Smith Barney Trak Fund (since 1992) and Smith Barney Advisors (since 1992); Director, PIMCO Advisors L.P (1994-2001); Director, Banyon Realty Trust ( 1988-2002), Banyon Mortgage Investment Fund (1989-2002) and Banyon Land Fund II (since 1988); Director, Express America Holdings Corp (1992-1999); Director, Legend Properties, Inc. (1987-1999); Director, Senele Group (since 1988); Director, Fort Dearborn Income Securities, Inc. (1987-1995); Trustee, Nicholas-Applegate Mutual Funds (1994-1999). NUMBER OF PORTFOLIOS OVERSEEN BY TRUSTEE: 13 DARLENE DEREMER PRINCIPAL OCCUPATIONS: Managing Director, (51) Putnam Lovell NBF Private Equity (Since 2004); Trustee Since May 1999 Managing Director, NewRiver E-Business Advisory Services Division (2000-2003); Prior to, President and Founder, DeRemer Associates, a strategic and marketing consulting firm for the financial services industry (1987-2003); Vice President and Director, Asset Management Division, State Street Bank and Trust Company, now referred to as State Street Global Advisers, (1982-1987); Vice President, T. Rowe Price & Associates (1979-1982); Member, Boston Club (since 1998); Member, Financial Women's Association Advisory Board (since 1995); Founder, Mutual Fund Cafe Website. OTHER DIRECTORSHIPS HELD: Founding Member and Director, National Defined Contribution Council (since 1997); Trustee, Boston Alzheimer's Association (since 1998); Director, King's Wood Montessori School (since 1995); Editorial Board, National Association of Variable Annuities (since 1997); Director, Nicholas-Applegate Strategic Opportunities, Ltd. (1994-1997); Trustee, Nicholas-Applegate Mutual Funds (1994-1999); Director, Jurika & Voyles Fund Group (since 1994-2000); Director, Nicholas-Applegate Southeast Asia Fund, Ltd. (since 2004); Trustee, Bramwell Funds (2003-2005); Director, Independent Director Council (since 2004). Advisory Board, Mutual Fund Directors Forum. NUMBER OF PORTFOLIOS OVERSEEN BY TRUSTEE: 13 JOHN J. MURPHY PRINCIPAL OCCUPATIONS: Founder and senior (62) principal, Murphy Capital Management Trustee Since September 2005 OTHER DIRECTORSHIPS HELD: Director, Smith Barney Multiple Discipline Trust; Director, Barclays International Funds Group Ltd. and affiliated companies (retired); Director, Trac Funds; Director, Legg Mason Funds. NUMBER OF PORTFOLIOS OVERSEEN BY TRUSTEE: 13 INTERESTED TRUSTEES: HORACIO A. VALEIRAS PRINCIPAL OCCUPATIONS: Managing Director (48) (since 2004) and Chief Investment Officer. President & Trustee Since Nicholas-Applegate Capital Management, August 2004 Nicholas-Applegate Securities (since 2002); Managing Director of Morgan Stanley Investment Management, London (1997-2002); Head of International Equity and Asset Allocation, Miller Anderson & Sherred; Director and Chief of Investment Strategies, Credit Suisse First Boston. OTHER DIRECTORSHIPS HELD: Trustee, The Bishops School (since 2002); Trustee, San Diego Rowing Club (since 2002). NUMBER OF PORTFOLIOS OVERSEEN BY TRUSTEE: 13 89 <Page> CORPORATE GOVERNANCE NAME, ADDRESS (1) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AGE OTHER DIRECTORSHIP HELD BY TRUSTEE POSITION(S) HELD WITH FUND NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN LENGTH OF TIME SERVED (2) BY TRUSTEE - -------------------------------------------------------------------------------- OFFICERS: CHARLES H. FIELD, JR. PRINCIPAL OCCUPATIONS: General Counsel, (51) Nicholas-Applegate Capital Management, Secretary and Chief Compliance Nicholas-Applegate Securities LLC, Officer Since May 2002 Nicholas-Applegate Holdings LLC (since February 2004), Deputy General Counsel, Nicholas-Applegate Capital Management, LLC (1996-2004). OTHER DIRECTORSHIPS HELD: Director, Nicholas-Applegate U.S. Convertible Fund, LLC (since 2006). Director, Nicholas-Applegate U.S. Market Neutral Fund (since 2006). NUMBER OF PORTFOLIOS OVERSEEN BY OFFICER: 13 DEBORAH A. WUSSOW PRINCIPAL OCCUPATIONS: Vice President and (47) Director, Nicholas-Applegate Capital Treasurer and Assistant Management, LLC (Since 2005), and previously Secretary Since August 2006 Manager, Legal and Compliance, Nicholas-Applegate Capital Management, LLC (since 1995) OTHER DIRECTORSHIPS HELD: NA NUMBER OF PORTFOLIOS OVERSEEN BY OFFICER: 13 (1) UNLESS OTHERWISE NOTED, THE ADDRESS OF THE TRUSTEES AND OFFICERS IS C/O: NICHOLAS-APPLEGATE CAPITAL MANAGEMENT, 600 WEST BROADWAY, 32ND FLOOR, SAN DIEGO, CALIFORNIA 92101. (2) EACH TRUSTEE SERVES FOR AN INDEFINITE TERM, UNTIL HER OR HIS SUCCESSOR IS ELECTED. 90 <Page> TRUSTEES OF NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS George F. Keane, CHAIRMAN Walter E. Auch Darlene T. DeRemer John J. Murphy Horacio A. Valeiras OFFICERS Horacio A. Valeiras, PRESIDENT Charles H. Field, Jr., SECRETARY Deborah A. Wussow, TREASURER INVESTMENT ADVISER Nicholas-Applegate Capital Management DISTRIBUTOR Nicholas-Applegate Securities CUSTODIAN Brown Brothers Harriman & Co., Private Bankers TRANSFER AGENT UMB Fund Services Group, Inc. INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PricewaterhouseCoopers LLP <Page> NICHOLAS | APPLEGATE(R) INSTITUTIONAL FUNDS Nicholas-Applegate Securities, Distributor [A company of Allianz LOGO] Global Investors AR0307INST 600 West Broadway San Diego, California 92101 800.551.8043 ITEM 2. CODE OF ETHICS. (a)The registrant has adopted a code of ethics that applies to the registrants principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. (b)The registrant has adopted a code of ethics that is reasonably designed to defer wrongdoing and to promote: (1)Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2)Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant; (3)Compliance with applicable governmental laws, rules, and regulations; (4)The prompt internal reporting of violations of the code to an appropriate person or persons identified in the code; and (5)Accountability for adherence to the code. (c)There have been no amendments, during the period covered by this Report, to a provision of the code of ethics that applies to the registrants principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of weather these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. (d)The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrants principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. (e)Not applicable. (f)(1) A copy of the code of ethics referenced in Item 2(a) of this Form N-CSR is filed as Exhibit 12(a)(1) of this Form N-CSR. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a)(1) The registrants Board of Trustees has determined that the registrant has at least one audit committee financial expert serving on its audit committee. (2) The following independent Trustees have been designated as audit committee financial experts by the Board of Trustees: George F. Keane, Walter E. Auch, Darlene T. DeRemer and John J. Murphy. Messrs. Keane, Auch and Murphy and Ms. DeRemer are independent as defined in Item 3(a) (2) of Form N-CSR. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a)AUDIT FEES The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrants annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $290,145 for 2007 and $239,266.00 for 2006. (b)AUDIT-RELATED FEES Not applicable. (c) Tax Fees The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice and tax planning are $83,500 for 2007 and $45,840.00 for 2006. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state, local and Mauritius entity tax planning, advice and assistance regarding statutory, regulatory or administrative developments, and (iii) tax advice regarding tax qualification. (d) All Other Fees The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $27,800 for 2007 and $17,730 for 2006. These services consisted of review of ownership changes for the NAIF Funds and consulting services related to preparation of 382 limit calculation. (e)(1) The registrant has adopted pre-approval policies and procedures consistent with Rule 2-01(c) (7) of Regulation S-X. The policies and procedures allow for the pre-approval of the following non-audit services: consultations on GAAP and/or financial statement disclosure matters not exceeding $25,000/year; consultations on tax accounting matters not exceeding $25,000/year; review of annual excise distribution provisions not exceeding $15,000/year; and, various regulatory and tax filings in foreign jurisdictions (such as India, Taiwan and Venezuela) not exceeding $25,000/year. The policies and procedures require quarterly reporting to the Audit Committee of all such services performed and related fees billed pursuant to the policies and procedures. (2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(c) of Rule 2-01 of Regulation S-X are as follows: (b) Not applicable. (c) 75% (d) 25% (f) If greater than 50% The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was not applicable (g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $30,000 for 2007 and $0 for 2006. (h) The registrants Audit Committee has considered whether the provision of non-audit services that were rendered to the registrants investment advisor (not including any subadvisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountants independence. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. SCHEDULE OF INVESTMENTS Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS Not applicable. ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSE-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS Not applicable. ITEM 11. CONTROLS AND PROCEDURES. Item 11(a) The registrants principal executive and financial officers have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act) are effective, as of a date within 90 days of the filing date of the report, that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1933, as amended. Item 11(b) There were no changes in the registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's last fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) The registrants code of ethics that is the subject of the disclosure required by Item 2 is filed as Exhibit 12(a) (1) (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2) is filed as Exhibit 12(a) (2). (b) The certifications required by Rule 30a-2(b) under the Act and Section 1350 of Chapter 63 of Title 18 of the United States Code are attached as exhibit 12(b). 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) Nicholas-Applegate Institutional Funds ------------------------------------- By (Signature and Title) /s/ Horacio A. Valeiras ======================= Horacio A. Valeiras Title: Chief Executive Officer and President Date: June 15, 2007 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. By (Signature and Title) /s/ Deborah A. Wussow ======================= Deborah A. Wussow Title: Chief Financial Officer and Treasurer Date: June 9, 2007 * Print name and title of each signing officer under his or her signature.
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N-CSR/A Filing
Nicholas Applegate Institutional Funds Inactive N-CSR/ACertified annual shareholder report (management investment company) (amended)
Filed: 15 Jun 07, 12:00am