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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4815
Ultra Series Fund
(Exact name of registrant as specified in charter)
550 Science Drive, Madison, WI 53711
(Address of principal executive offices)(Zip code)
W. Richard Mason
Madison/Mosaic Legal and Compliance Department
8777 N. Gainey Center Drive, Suite 220
Scottsdale, AZ 85258
(Name and address of agent for service)
Registrant's telephone number, including area code: 608-274-0300
Date of fiscal year end: December 31
Date of reporting period: June 30, 2009
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, inspoection, 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, 100 F Street, NE, Washington, DC 20549-0609. The OMB
has reviewed this collection of information under the clearance requirements of
44 U.S.C. s 3507.
- --------------------------------------------------------------------------------
SEMIANNUAL REPORT
- --------------------------------------------------------------------------------
FOR PERIOD ENDED JUNE 30, 2009
Conservative Allocation, Moderate Allocation, Aggressive Allocation, Money
Market, Bond, High Income, Diversified Income, Large Cap Value, Large Cap
Growth, Mid Cap Value, Mid Cap Growth, Small Cap Value, Small Cap Growth,
Global Securities, International Stock,Target Retirement 2020, Target
Retirement 2030, and Target Retirement 2040 Funds of the Ultra Series Fund
MEMBERS(R) Variable Annuity MEMBERS(R) Variable Annuity II MEMBERS(R) Choice
Variable Annuity MEMBERS(R) Variable Annuity III MEMBERS(R) Variable
Universal Life MEMBERS(R) Variable Universal Life II
DISTRIBUTED BY:
CUNA Brokerage Services, Inc.
Office of Supervisory Jurisdiction
2000 Heritage Way
Waverly, IA 50677
Member FINRA & SIPC
TELEPHONE:
(319) 352-4090
(800) 798-5500
[LOGO OF MEMBERS](TM)
INSURANCE & INVESTMENTS
This material is for reporting purposes only and shall not be used in
connection with a solicitation, offer or any proposed sale or purchase of
securities unless preceded or accompanied by a prospectus.
- --------------------------------------------------------------------------------
MOVE CONFIDENTLY INTO THE FUTURE(TM)
SEMIANNUAL REPORT
To reduce service expenses, CUNA Mutual Insurance Society may send only one copy
of this booklet per household, regardless of the number of policyowners at the
household. However, any policyowner may obtain additional copies of this booklet
upon request to CUNA Mutual Insurance Society.
If you have questions, please call CUNA Mutual Insurance Society at
1.800.798.5500.
As with all variable life insurance policies and mutual funds, the Securities
and Exchange Commission ("Commission") has not approved or disapproved of these
securities, nor does the Commission guarantee the accuracy or adequacy of any
prospectus. Any statement to the contrary is a criminal offense.
FUND RETURNS AND PEER GROUP RANK AS OF 6/30/2009
------------------------------------------------
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-------------------- -------------------- -------------------- --------------------
% RANK/# % RANK/# % RANK/# % RANK/#
OF FUNDS IN OF FUNDS IN OF FUNDS IN OF FUNDS IN
FUND AND PEER GROUP RETURN CATEGORY RETURN CATEGORY RETURN CATEGORY RETURN CATEGORY
------------------- ------ ----------- ------ ----------- ------ ----------- ------ -----------
CONSERVATIVE ALLOCATION -11.29% 62/99 -1.22% 54/69 N/A N/A N/A N/A
Conservative Allocation* -8.89% -0.16% N/A N/A
MODERATE ALLOCATION -22.06% 84/226 -5.04% 66/181 N/A N/A N/A N/A
Moderate Allocation* -17.94% -3.56% N/A N/A
AGGRESSIVE ALLOCATION -31.02% 87/331 -8.39% 51/306 N/A N/A N/A N/A
Large Blend* -26.34% -8.47% N/A N/A
BOND 4.60% 36/151 5.16% 35/142 4.17% 32/138 4.92% 32/117
Intermediate-Term Bond* 1.73% 3.75% 3.55% 3.55%
HIGH INCOME 0.64% 3/91 3.01% 7/89 4.41% 8/87 N/A N/A
High Yield Bond* -10.61% -1.58% 1.70% N/A
DIVERSIFIED INCOME -7.26% 3/226 -0.83% 9/181 1.55% 21/144 1.78% 21/115
Moderate Allocation* -17.94% -3.56% 0.61% 0.61%
LARGE CAP VALUE -28.77% 68/217 -10.57% 61/193 -2.81% 63/176 -2.53% 63/120
Large Value* -26.50% -10.20% -2.65% -2.65%
LARGE CAP GROWTH -21.69% 17/338 -4.00% 14/317 -0.96% 32/289 -0.96% 32/194
Large Growth* -27.83% -7.20% -1.77% -1.77%
MID CAP VALUE -28.34% 63/85 -10.02% 60/72 -1.60% 63/58 4.80% 63/23
Mid-Cap Value* -27.56% -10.15% -1.78% -1.78%
MID CAP GROWTH -30.64% 49/143 -8.03% 52/139 -2.63% 73/132 N/A N/A
Mid-Cap Growth* -31.04% -7.97% -0.99% N/A
SMALL CAP VALUE -20.00% 24/43 N/A N/A N/A N/A N/A N/A
Small Value* -23.63% N/A N/A N/A
SMALL CAP GROWTH -37.67% 94/96 N/A N/A N/A N/A N/A N/A
Small Growth* -26.74% N/A N/A N/A
GLOBAL SECURITIES -27.82% 43/75 -9.66% 74/67 -0.05% 60/60 N/A N/A
World Stock* -26.35% -6.89% 1.87% N/A
INTERNATIONAL STOCK -26.03% 12/100 -5.95% 20/89 4.26% 18/82 N/A N/A
Foreign Large Blend* -32.37% -7.79% 2.38% N/A
TARGET RETIREMENT 2020 -24.87% 89/14 N/A N/A N/A N/A N/A N/A
Target-Date 2015-2029* -15.00% N/A N/A N/A
TARGET RETIREMENT 2030 -27.22% 75/11 N/A N/A N/A N/A N/A N/A
Target-Date 2030+* -23.77% N/A N/A N/A
TARGET RETIREMENT 2040 -30.68% 98/7 N/A N/A N/A N/A N/A N/A
Target-Date 2030+
Category -26.01% N/A N/A N/A
* Source of category peer group returns and ranks: Morningstar Direct; The
Morningstar Average Peer Returns represents the average annual composite
performance of all mutual funds listed in each fund category by Morningstar.
The highest (or most favorable) percentile rank is 1 and the lowest (or least
favorable) percentile rank is 100. The funds' ranking data shown is for Class
I Shares, and the returns are calculated after fund level expenses have been
subtracted, but do not include any separate account fees, charges or expenses
imposed by the variable annuity and variable life insurance contracts that
invest in the fund.
Performance data shown represents past performance. Past performance does not
guarantee future results; the investment return and prinicpal value of an
investment will fluctuate; and investor's shares, when redeemed may be worth
more or less than their original cost; and current performance may be lower
or higher than the performance data quoted. For more current performance
information, please call 1-800-798-5500.
(c) 2009 Morningstar, Inc. All Rights Reserved. The information contained
herein: (1) is proprietary to Morningstar and/or its content providers; (2)
may not be copied or distributed; and (3) is not warranted to be accurate,
complete or timely. Neither Morningstar nor its content providers are
responsible for any damages or losses arising from any use of this
information.
For more complete information about the Ultra Series Fund, including charges
and expenses, request a prospectus from your registered representative or
from CUNA Mutual Insurance Society, 2000 Heritage Way, Waverly, IA 50677, or
by calling 1-800-798-5500. Read it carefully before you invest or send money.
Consider the investment objectives, risks, charges and expenses of the
investment carefully before investing. The prospectus contains this and other
information about the investment company.
- --------------------------------------------------------------------------------
================================================================================
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
PAGE
----
FUND PERFORMANCE REVIEWS
Conservative Allocation Fund ................................... 2
Moderate Allocation Fund ....................................... 3
Aggressive Allocation Fund ..................................... 4
Bond Fund ...................................................... 5
High Income Fund ............................................... 6
Diversified Income Fund ........................................ 7
Large Cap Value Fund ........................................... 8
Large Cap Growth Fund .......................................... 9
Mid Cap Value Fund ............................................. 10
Mid Cap Growth Fund ............................................ 11
Small Cap Value Fund ........................................... 12
Small Cap Growth Fund .......................................... 13
Global Securities Fund ......................................... 14
International Stock Fund ....................................... 15
Target Retirement 2020 Fund .................................... 16
Target Retirement 2030 Fund .................................... 17
Target Retirement 2040 Fund .................................... 18
PORTFOLIOS OF INVESTMENTS
Conservative Allocation Fund ................................... 19
Moderate Allocation Fund ....................................... 20
Aggressive Allocation Fund ..................................... 22
Money Market Fund .............................................. 23
Bond Fund ...................................................... 25
High Income Fund ............................................... 30
Diversified Income Fund ........................................ 36
Large Cap Value Fund ........................................... 42
Large Cap Growth Fund .......................................... 45
Mid Cap Value Fund ............................................. 47
Mid Cap Growth Fund ............................................ 50
Small Cap Value Fund ........................................... 52
Small Cap Growth Fund .......................................... 54
Global Securities Fund ......................................... 57
International Stock Fund ....................................... 60
Target Retirement 2020 Fund .................................... 65
Target Retirement 2030 Fund .................................... 67
Target Retirement 2040 Fund .................................... 69
FINANCIAL STATEMENTS
Statements of Assets and Liabilities ........................... 70
Statements of Operations ....................................... 74
Statements of Changes in Net Assets ............................ 78
Financial Highlights ........................................... 86
NOTES TO FINANCIAL STATEMENTS ......................................... 104
OTHER INFORMATION ..................................................... 118
Non-deposit investment products are not federally insured, involve investment
risk, may lose value and are not obligations of or guaranteed by any
financial institution. For more complete information about the Ultra Series
Fund, including charges and expenses, request a prospectus from your
registered representative or from CUNA Mutual Insurance Society, 2000
Heritage Way, Waverly, IA 50677. Consider the investment objectives, risks,
charges and expenses of the investment carefully before investing. The
prospectus contains this and other information about the investment company.
For current performance information, please call 1-800-798-5500. Current
performance may be lower or higher than the performance data quoted within.
Past performance does not guarantee future results.
Nothing in this report represents a recommendation of a security by the
investment adviser. Portfolio holdings may have changed since the date of
this report.
- --------------------------------------------------------------------------------
================================================================================
CONSERVATIVE ALLOCATION FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,5,6)
MERRILL LYNCH
NEW CONSERVATIVE OLD CONSERVATIVE U.S. CORPORATE,
ALLOCATION FUND ALLOCATION FUND GOVERNMENT & MORTGAGE
CLASS I SHARES CUSTOM INDEX(2) CUSTOM INDEX(3) INDEX(4)
6/30/2006 $10,000 $10,000 $10,000 $10,000
6/30/2007 10,986 11,167 11,030 10,650
6/30/2007 10,865 11,218 11,119 11,456
6/30/2009 9,638 10,567 10,594 12,199
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(5,6)
Since Since Annual
6/30/06 5/1/09 Expense
1 Year 3 Years Inception Inception Ratio
---------------------------------------- -------
Class I Shares -11.29% -1.22% -1.22% -- 1.08%
Class II Shares -- -- -- 3.69% 1.33
New Conservative Allocation Fund Custom Index(2) -5.81 1.72 1.85 3.15 NA
Old Conservative Allocation Fund Custom Index(3) -4.72 1.90 1.94 2.47 NA
Merrill Lynch U.S. Corporate, Government & Mortgage Index(4) 6.48 6.73 6.84 1.32 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the securities that make up the index.
(2) In May 2009, the custom benchmark for the fund was changed from the Old
Conservative Allocation Fund Custom Index to the New Conservative Allocation
Fund Custom Index because the adviser believes the new custom benchmark
better reflects the fund's asset allocation targets. The New Conservative
Allocation Fund Custom Index consists of 65% Merrill Lynch U.S. Corporate,
Government and Mortgage Index, 30% Russell 3000(R) Index and 5% MSCI EAFE
Index. A description of the Merrill Lynch Index and the Russell 3000(R)
Index is set forth below. The MSCI EAFE (Europe, Australasia & Far East)
Index is a free float-adjusted market capitalization index that is designed
to measure developed market equity performance, excluding the U.S. and
Canada.
(3) The Old Conservative Allocation Fund Custom Index consists of 55% Merrill
Lynch U.S. Corporate, Government & Mortgage Index, 30% Russell 1000(R)
Index, and 15% 90-Day U.S. Treasury Bills. A description of the Merrill
Lynch U.S. Corporate, Government & Mortgage Index is set forth below. The
Russell 1000(R) Index is a large-cap market index which measures the
performance of the 1,000 largest companies in the Russell 3000(R) Index (the
Russell 3000(R) Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization).
(4) The Merrill Lynch U.S. Corporate, Government & Mortgage Index, formerly the
Merrill Lynch U.S. Domestic Master Index, is broad-based measure of the
total rate of return performance of the U.S. investment-grade bond markets.
The index is a capitalization-weighted aggregation of outstanding U.S.
treasury, agency and supranational mortgage pass-through, and investment-
grade corporate bonds meeting specified selection criteria.
(5) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. Investment return and principal value will fluctuate, so
an investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(6) MEMBERS Capital Advisors reduced its management fee for the Conservative
Allocation Fund from June 30, 2006 through April 30, 2008. If the management
fee had not been reduced, returns would have been lower.
- --------------------------------------------------------------------------------
2
================================================================================
MODERATE ALLOCATION FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,6,7)
NEW MODERATE OLD MODERATE
ALLOCATION FUND ALLOCATION FUND S&P 500 RUSSELL 1000(R)
CLASS I SHARES CUSTOM INDEX(2) CUSTOM INDEX(3) INDEX(4) INDEX(5)
6/30/2006 $10,000 $10,000 $10,000 $10,000 $10,000
6/30/2007 11,558 11,619 11,547 12,034 12,021
6/30/2008 10,987 11,115 10,983 10,455 10,536
6/30/2009 8,564 9,497 9,360 7,714 7,723
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(6,7)
Since Since Annual
6/30/06 5/1/09 Expense
1 Year 3 Years Inception Inception Ratio
---------------------------------------- -------
Class I Shares -22.06% -5.04% -5.03% -- 1.22%
Class II Shares -- -- -- 4.39% 1.47
New Moderate Allocation Fund Custom Index(2) -14.55 -1.92 -1.70 4.82 NA
Old Moderate Allocation Fund Custom Index(3) -14.77 -2.32 -2.17 4.40 NA
S&P 500 Index(4) -26.21 -8.22 -8.27 5.80 NA
Russell 1000(R) Index(5) -26.69 -8.20 -8.24 5.79 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the securities that make up the index.
(2) In May 2009, the custom benchmark for the fund was changed from the Old
Moderate Allocation Fund Custom Index to the New Moderate Allocation Fund
Custom Index because the adviser believes the new custom benchmark better
reflects the fund's asset allocation targets. The new Moderate Allocation
Fund Custom Index consists of 40% Merrill Lynch U.S. Corporate, Government
and Mortgage Index, 45% Russell 3000(R) Index and 15% MSCI EAFE Index. A
description of the Merrill Lynch Index, the MSCI Index and the Russell
3000(R) Index is set forth below.
(3) The Old Moderate Allocation Fund Custom Index consists of 50% Russell
3000(R) Index, 30% Merrill Lynch U.S. Corporate, Government & Mortgage
Index, 10% MSCI EAFE Index and 10% 90-Day U.S. Treasury Bills. A description
of the Russell 3000(R) Index is set forth below. The Merrill Lynch U.S.
Corporate, Government & Mortgage Index, formerly the Merrill Lynch U.S.
Domestic Master Index, is a broad-based measure of the total rate of return
performance of the U.S. investment-grade bond markets. The index is a
capitalization-weighted aggregation of outstanding U.S. treasury, agency and
supranational mortgage pass-through, and investment-grade corporate bonds
meeting specified selection criteria. The MSCI EAFE (Europe, Australasia &
Far East) Index is a free float-adjusted market capitalization index that is
designed to measure developed market equity performance, excluding the U.S.
and Canada.
(4) In May 2009, the broad-based securities market index for the fund was
changed from the Russell 1000(R) Index to the S&P 500 Index because the
adviser believes the index better reflects the fund's asset allocation
targets. The S&P 500 Index is a large-cap market index which measures the
performance of a representative sample of 500 leading companies in leading
industries in the U.S.
(5) The Russell 1000(R) Index is a large-cap market index which measures the
performance of the 1,000 largest companies in the Russell 3000(R) Index (the
Russell 3000(R) Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization).
(6) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. Investment return and principal value will fluctuate, so
an investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(7) MEMBERS Capital Advisors reduced its management fee for the Moderate
Allocation Fund from June 30, 2006 through April 30, 2008. If the management
fee had not been reduced, returns would have been lower.
- --------------------------------------------------------------------------------
3
================================================================================
AGGRESSIVE ALLOCATION FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,6,7)
NEW AGGRESSIVE OLD AGGRESSIVE
ALLOCATION FUND ALLOCATION FUND S&P 500 RUSSELL 3000(R)
CLASS I SHARES CUSTOM INDEX(2) CUSTOM INDEX(3) INDEX(4) INDEX(5)
6/30/2006 $10,000 $10,000 $10,000 $10,000 $10,000
6/30/2007 12,197 12,143 12,473 12,034 12,003
6/30/2008 11,145 11,060 11,099 10,455 10,480
6/30/2009 7,687 8,495 8,078 7,714 7,696
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(6,7)
Since Since Annual
6/30/06 5/1/09 Expense
1 Year 3 Years Inception Inception Ratio
---------------------------------------- -------
Class I Shares -31.02% -8.39% -8.39% -- 1.36%
Class II Shares -- -- -- 5.47% 1.61
New Aggressive Allocation Fund Custom Index(2) -23.19 -5.64 -5.28 6.77 NA
Old Aggressive Allocation Fund Custom Index(3) -27.22 -7.23 -6.85 7.65 NA
S&P 500 Index(4) -26.21 -8.22 -8.27 5.80 NA
Russell 3000(R) Index(5) -26.56 -8.35 -8.34 5.70 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the securities that make up the index.
(2) In May 2009, the custom benchmark for the fund was changed from the Old
Aggressive Allocation Fund Custom Index to the New Aggressive Allocation
Fund Custom Index because the adviser believes the new custom benchmark
better reflects the fund's asset allocation targets. The new Aggressive
Allocation Fund Custom Index consists of 15% Merrill Lynch U.S. Corporate,
Government and Mortgage Index, 55% Russell 3000(R) Index and 30% MSCI EAFE
Index. The Merrill Lynch U.S. Corporate, Government and Mortgage Index is a
broad-based measure of the total rate of return performance of the U.S.
investment-grade bond markets. The index is a capitalization-weighted
aggregation of outstanding U.S. treasury, agency and supranational mortgage
pass-through and investment-grade corporate bonds meeting specified
selection criteria. The Russell 3000(R) Index and the MSCI EAFE (Europe,
Australasia & Far East) Index is set forth below.
(3) The Old Aggressive Allocation Fund Custom Index consists of 55% Russell
1000(R) Index, 22% MSCI EAFE Index, 15% Russell 2000(R) Index, and 8% MSCI
Emerging Markets Index. The Russell 1000(R) Index is a large-cap market
index which measures the performance of the 1,000 largest companies in the
Russell 3000(R) Index (see definition below). The Russell 2000(R) Index is a
small-cap market index which measures the performance of the remaining 2,000
companies in the Russell 3000(R) Index. The MSCI EAFE (Europe, Australasia &
Far East) Index is a free float-adjusted market capitalization index that is
designed to measure developed market equity performance, excluding the U.S.
and Canada. The MSCI Emerging Markets Index is a free-float adjusted market
capitalization index that measures equity performance in global emerging
markets.
(4) In May 2009, the broad-based securities market index for the fund was
changed from the Russell 3000(R) Index to the S&P 500 Index because the
adviser believes the index better reflects the fund's asset allocation
targets. The S&P 500 Index is a large-cap market index which measures the
performance of a representative sample of 500 leading companies in leading
industries in the U.S.
(5) The Russell 3000(R) Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization, which represents 98% of the
investable U.S. equity market.
(6) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. Investment return and principal value will fluctuate, so
an investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
(7) MEMBERS Capital Advisors reduced its management fee for the Aggressive
Allocation Fund from June 30, 2006 through April 30, 2008. If the management
fee had not been reduced, returns would have been lower.
- --------------------------------------------------------------------------------
4
================================================================================
BOND FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
MERRILL LYNCH
U.S. CORPORATE, GOVERNMENT & CLASS I SHARES
MORTGAGE INDEX(2)
6/30/1999 $10,000 $10,000
6/30/2000 10,359 10,457
6/30/2001 11,317 11,617
6/30/2002 12,232 12,615
6/30/2003 13,228 13,967
6/30/2004 13,182 14,009
6/30/2005 14,038 14,986
6/30/2006 13,907 14,854
6/30/2007 14,554 15,767
6/30/2008 15,461 16,961
6/30/2009 16,172 18,044
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Annual
5/1/09 Expense
1 Year 3 Years 5 Years 10 Years Inception Ratio
------------------------------------------------- -------
Class I Shares 4.60% 5.16% 4.17% 4.92% -- 0.56%
Class II Shares -- -- -- -- 1.88% 0.81
Merrill Lynch U.S. Corporate,
Government & Mortgage Index(2) 6.48 6.73 5.21 6.08 1.32 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the securities that make up the index.
(2) The Merrill Lynch U.S. Corporate, Government & Mortgage Index, formerly the
Merrill Lynch U.S. Domestic Master Index, is a broad-based measure of the
total rate of return performance of the U.S. investment-grade bond markets.
The index is a capitalization-weighted aggregation of outstanding U.S.
treasury, agency and supranational mortgage pass-through, and investment-
grade corporate bonds meeting specified selection criteria.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. Investment return and principal value will fluctuate, so
an investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
- --------------------------------------------------------------------------------
5
================================================================================
HIGH INCOME FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
MERRILL LYNCH
U.S. HIGH YIELD
MASTER II
CLASS I SHARES CONSTRAINED INDEX(2)
10/31/2000 $10,000 $10,000
6/30/2001 10,197 10,129
6/30/2002 10,257 9,829
6/30/2003 11,756 11,987
6/30/2004 12,654 13,210
6/30/2005 13,785 14,588
6/30/2006 14,364 15,220
6/30/2007 15,805 16,960
6/30/2008 15,603 16,681
6/30/2009 15,702 16,182
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Since Annual
10/31/00 5/1/09 Expense
1 Year 3 Years 5 Years Inception Inception Ratio
-------------------------------------------------- -------
Class I Shares 0.64% 3.01% 4.41% 5.34% -- 0.76%
Class II Shares -- -- -- -- 2.58% 1.01
Merrill Lynch U.S. High Yield Master II
Constrained Index(2) -2.99 2.06 4.14 5.71 10.59 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the securities that make up the index.
(2) Effective May 2008, the benchmark for the fund changed from the Merrill
Lynch U.S. High Yield Master II Index to the Merrill Lynch U.S. High Yield
Master II Constrained Index to better reflect the fund's portfolio. The
Merrill Lynch U.S. High Yield Master II Constrained Index tracks the
performance of below investment grade U.S. dollar denominated corporate
bonds publicly issued in the U.S. domestic market, but limits any
individual issuer to a maximum weighting of 2%.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. Investment return and principal value will fluctuate, so
an investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
- --------------------------------------------------------------------------------
6
================================================================================
DIVERSIFIED INCOME FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,4)
MERRILL LYNCH
U.S. CORPORATE,
RUSSELL 1000(R) GOVERNMENT & MORTGAGE
CLASS I SHARES INDEX(2) INDEX(3)
6/30/1999 $10,000 $10,000 $10,000
6/30/2000 10,698 10,925 10,457
6/30/2001 10,388 9,291 11,617
6/30/2002 9,712 7,629 12,615
6/30/2003 9,955 7,702 13,967
6/30/2004 11,050 9,202 14,009
6/30/2005 11,863 9,932 14,986
6/30/2006 12,236 10,834 14,854
6/30/2007 13,671 13,047 15,767
6/30/2008 12,868 11,434 16,961
6/30/2009 11,934 8,382 18,044
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(4)
Since Annual
5/1/09 Expense
1 Year 3 Years 5 Years 10 Years Inception Ratio
------------------------------------------------- -------
Class I Shares -7.26% -0.83% 1.55% 1.78% -- 0.71%
Class II Shares -- -- -- -- 3.33% 0.96
Russell 1000(R) Index(2) -26.69 -8.20 -1.85 -1.75 5.79 NA
Merrill Lynch U.S. Corporate,
Government & Mortgage Index(3) 6.48 6.73 5.21 6.08 1.32 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the securities that make up the index.
(2) The Russell 1000(R) Index is a large-cap market index which measures the
performance of the 1,000 largest companies in the Russell 3000(R) Index (the
Russell 3000(R) Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization).
(3) The Merrill Lynch U.S. Corporate, Government & Mortgage Index, formerly the
Merrill Lynch U.S. Domestic Master Index, is a broad-based measure of the
total rate of return performance of the U.S. investment-grade bond markets.
The index is a capitalization-weighted aggregation of outstanding U.S.
treasury, agency and supranational mortgage pass-through, and investment-
grade corporate bonds meeting specified selection criteria.
(4) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. Investment return and principal value will fluctuate, so
an investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
- --------------------------------------------------------------------------------
7
================================================================================
LARGE CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
RUSSELL 1000
VALUE
CLASS I SHARES INDEX(2)
6/30/1999 $10,000 $10,000
6/30/2000 10,007 9,108
6/30/2001 8,974 10,050
6/30/2002 7,880 9,150
6/30/2003 7,530 9,056
6/30/2004 8,931 10,971
6/30/2005 9,799 12,512
6/30/2006 10,825 14,027
6/30/2007 13,147 17,094
6/30/2008 10,870 13,884
6/30/2009 7,743 9,853
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Annual
5/1/09 Expense
1 Year 3 Years 5 Years 10 Years Inception Ratio
------------------------------------------------- -------
Class I Shares -28.77% -10.57% -2.81% -2.53% -- 0.61%
Class II Shares -- -- -- -- 4.42% 0.86
Russell 1000(R) Value Index(2) -29.03 -11.11 -2.13 -0.15 5.40 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the securities that make up the index.
(2) The Russell 1000(R) Value Index is a large-cap market index which measures
the performance of those Russell 1000 companies with lower price-to-book
ratios and lower forecasted growth values.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. Investment return and principal value will fluctuate, so
an investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
- --------------------------------------------------------------------------------
8
================================================================================
LARGE CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT(1,3)
RUSSELL 1000(R)
CLASS I SHARES GROWTH INDEX(2)
6/30/1999 $10,000 $10,000
6/30/2000 11,463 12,566
6/30/2001 11,320 8,021
6/30/2002 8,028 5,896
6/30/2003 8,107 6,070
6/30/2004 9,530 7,155
6/30/2005 10,095 7,275
6/30/2006 10,263 7,720
6/30/2007 12,008 9,190
6/30/2008 11,596 8,643
6/30/2009 9,081 6,525
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Annual
5/1/09 Expense
1 Year 3 Years 5 Years 10 Years Inception Ratio
------------------------------------------------- -------
Class I Shares -21.69% -4.00% -0.96% -0.96% -- 0.82%
Class II Shares -- -- -- -- 5.09% 1.07
Russell 1000(R) Growth Index(2) -24.50 -5.45 -1.83 -4.18 6.13 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the securities that make up the index.
(2) The Russell 1000(R) Growth Index is a large-cap market index which measures
the performance of those Russell 1000 companies with higher price-to-book
ratios and higher forecasted growth values.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. Investment return and principal value will fluctuate, so
an investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
- --------------------------------------------------------------------------------
9
================================================================================
MID CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
RUSSELL MIDCAP(R)
CLASS I SHARES VALUE INDEX(2)
5/1/99 $10,000 $10,000
6/30/2000 11,571 9,209
6/30/2001 14,533 11,413
6/30/2002 14,466 11,633
6/30/2003 13,752 11,558
6/30/2004 17,327 15,119
6/30/2005 19,415 18,416
6/30/2006 21,946 21,041
6/30/2007 26,238 25,689
6/30/2008 22,310 21,300
6/30/2009 15,987 15,031
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Annual
5/1/09 Expense
1 Year 3 Years 5 Years 10 Years Inception Ratio
------------------------------------------------- -------
Class I Shares -28.34% -10.02% -1.60% 4.80% -- 1.02%
Class II Shares -- -- -- -- 2.65% 1.27
Russell Midcap(R) Value Index(2) -30.52 -11.07 -0.43 4.00 3.64 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the securities that make up the index.
(2) The Russell Midcap(R) Value Index is a mid-cap market index which measures
the performance of those Russell Midcap companies with lower price-to-book
ratios and lower forecasted growth values.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. Investment return and principal value will fluctuate, so
an investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
- --------------------------------------------------------------------------------
10
================================================================================
MID CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
RUSSELL MIDCAP(R)
CLASS I SHARES GROWTH INDEX(2)
10/31/2000 $10,000 $10,000
6/30/2001 7,081 7,586
6/30/2002 4,941 5,588
6/30/2003 5,375 5,999
6/30/2004 6,834 7,638
6/30/2005 7,013 8,648
6/30/2006 7,691 9,572
6/30/2007 9,807 11,460
6/30/2008 8,624 10,724
6/30/2009 5,982 7,471
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Since Annual
10/31/00 5/1/09 Expense
1 Year 3 Years 5 Years Inception Inception Ratio
--------------------------------------------------- -------
Class I Shares -30.64% -8.03% -2.63% -5.76% -- 0.87%
Class II Shares -- -- -- -- 3.91% 1.12
Russell Midcap(R) Growth Index(2) -30.33 -7.93 -0.44 -3.31 5.66 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the securities that make up the index.
(2) The Russell Midcap(R) Growth Index is a mid-cap market index which measures
the performance of those Russell Midcap companies with higher price-to-book
ratios and higher forecasted growth values.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. Investment return and principal value will fluctuate, so
an investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
- --------------------------------------------------------------------------------
11
================================================================================
SMALL CAP VALUE FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
RUSSELL 2000(R)
CLASS I SHARES VALUE INDEX(2)
5/1/2007 $10,000 $10,000
6/1/2007 10,078 10,125
6/1/2008 8,619 7,935
6/1/2009 6,895 5,932
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Since Annual
5/1/07 5/1/09 Expense
1 Year Inception Inception Ratio
------------------------------ -------
Class I Shares -20.00% -15.77% -- 1.12%
Class II Shares -- -- 2.60% 1.37
Russell 2000(R) Value Index(2) -25.24 -21.39 1.84 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the securities that make up the index.
(2) The Russell 2000(R) Value Index is a small-cap market index which measures
the performance of those Russell 2000 companies with lower price-to-book
ratios and lower forecasted growth values.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. Investment return and principal value will fluctuate, so
an investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
- --------------------------------------------------------------------------------
12
================================================================================
SMALL CAP GROWTH FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
RUSSELL 2000(R)
CLASS I SHARES GROWTH INDEX(2)
5/01/2007 $10,000 $10,000
6/30/2007 10,556 10,396
6/30/2008 9,136 9,270
6/30/2009 5,694 6,967
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Since Annual
5/1/07 5/1/09 Expense
1 Year Inception Inception Ratio
-------------------------------- -------
Class I Shares -37.67% -22.88% -- 1.12%
Class II Shares -- -- 1.29% 1.37
Russell 2000(R) Growth Index(2) -24.85 -15.34 7.24 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the securities that make up the index.
(2) The Russell 2000(R) Growth Index is a small-cap market index which measures
the performance of those Russell 2000 companies with higher price-to-book
ratios and higher forecasted growth values.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower.Fund returns also
assume that dividends and capital gains are reinvested in additional shares
of the fund. Investment return and principal value will fluctuate, so an
investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
- --------------------------------------------------------------------------------
13
================================================================================
GLOBAL SECURITIES FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE OF $10,000 INVESTMENT SINCE INCEPTION(1,3)
MORGAN STANLEY CAPITAL
INTERNATIONAL WORLD
CLASS I SHARES INDEX(2)(MSCI WORLD INDEX)
10/31/2000 $10,000 $10,000
6/30/2001 9,237 8,694
6/30/2002 8,311 7,400
6/30/2003 7,790 7,260
6/30/2004 10,229 9,043
6/30/2005 11,682 10,001
6/30/2006 13,841 11,752
6/30/2007 16,862 14,594
6/30/2008 14,138 13,109
6/30/2009 10,204 9,306
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Since Annual
10/31/00 5/1/09 Expense
1 Year 3 Years 5 Years Inception Inception Ratio
--------------------------------------------------- -------
Class I Shares -27.82% -9.66% -0.05% 0.23% -- 0.97%
Class II Shares -- -- -- -- 8.67% 1.22
MSCI World Index(2) -29.01 -7.48 0.57 -0.83 8.74 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the index.
(2) The MSCI World Index is free float-adjusted market capitalization index that
is designed to measure global developed market equity performance, including
the U.S. and Canada.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. Investment return and principal value will fluctuate, so
an investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
- --------------------------------------------------------------------------------
14
================================================================================
INTERNATIONAL STOCK FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE $10,000 INVESTMENT SINCE INCEPTION(1,3)
MORGAN STANLEY CAPITAL
INTERNATIONAL EUROPE,
AUSTRALASIA & FAR EAST INDEX(2)
CLASS I SHARES (MSCI EAFE)
10/31/2000 $10,000 $10,000
6/30/2001 8,766 8,588
6/30/2002 8,235 7,797
6/30/2003 8,013 7,325
6/30/2004 10,044 9,731
6/30/2005 11,770 11,105
6/30/2006 14,871 14,110
6/30/2007 18,456 17,995
6/30/2008 16,727 16,169
6/30/2009 12,373 11,163
[END CHART]
AVERAGE ANNUAL TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Since Annual
10/31/00 5/1/09 Expense
1 Year 3 Years 5 Years Inception Inception Ratio
------------------------------------------------------ -------
Class I Shares -26.03% -5.95% 4.26% 2.49% -- 1.22%
Class II Shares -- -- -- -- 9.99% 1.47
MSCI EAFE Index(2) -30.96 -7.51 2.79 1.28 11.41 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the securities that make up the index.
(2) The MSCI EAFE (Europe, Australasia & Far East) Index is a free
float-adjusted market capitalization index that is designed to measure
developed market equity performance, excluding the U.S. and Canada.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. Investment return and principal value will fluctuate, so
an investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
- --------------------------------------------------------------------------------
15
================================================================================
TARGET RETIREMENT 2020 FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE $10,000 INVESTMENT SINCE INCEPTION(1,3)
TARGET RETIREMENT DOW JONES GLOBAL TARGET
2020 FUND 2020 INDEX(2)
10/1/2007 $10,000 $10,000
6/30/2008 9,215 9,484
6/30/2009 6,923 8,241
[END CHART]
CUMULATIVE TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Since Annual
10/1/07 5/1/09 Expense
1 Year Inception Inception Ratio
------------------------------- -------
Ultra Series Target Retirement 2020, Class I -24.87% -18.97% -- 1.32%
Ultra Series Target Retirement 2020, Class II -- -- 5.14% 1.57
Dow Jones Global Target 2020 Index(2) -13.11 -10.47 5.15 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the securities that make up the index.
(2) The Dow Jones Global Target 2020 Index is a benchmark for multi-asset
class portfolios with risk profiles that become more conservative as the
year 2020 approaches. The index is a composite of other indexes that
represent stocks, bonds and cash.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. Investment return and principal value will fluctuate, so
an investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
- --------------------------------------------------------------------------------
16
================================================================================
TARGET RETIREMENT 2030 FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE $10,000 INVESTMENT SINCE INCEPTION(1,3)
TARGET RETIREMENT DOW JONES GLOBAL TARGET
2030 FUND 2030 INDEX(2)
10/1/2007 $10,000 $10,000
6/30/2008 9,052 9,091
6/30/2009 6,588 7,270
[END CHART]
CUMULATIVE TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Since Annual
10/1/07 5/1/09 Expense
1 Year Inception Inception Ratio
-------------------------------- -------
Ultra Series Target Retirement 2030, Class I -27.22% -21.24% -- 1.36%
Ultra Series Target Retirement 2030, Class II -- -- 5.45% 1.61
Dow Jones Global Target 2030 Index(2) -20.03 -16.66 6.48 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the securities that make up the index.
(2) The Dow Jones Global Target 2030 Index is a benchmark for multi-asset
class portfolios with risk profiles that become more conservative as the
year 2030 approaches. The index is a composite of other indexes that
represent stocks, bonds and cash.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. Investment return and principal value will fluctuate, so
an investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
- --------------------------------------------------------------------------------
17
================================================================================
TARGET RETIREMENT 2040 FUND PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
[CHART OF CUMULATIVE PERFORMANCE]
CUMULATIVE PERFORMANCE $10,000 INVESTMENT SINCE INCEPTION(1,3)
TARGET RETIREMENT DOW JONES GLOBAL TARGET
2040 FUND 2040 INDEX(2)
10/1/2007 $10,000 $10,000
6/30/2008 8,950 8,897
6/30/2009 6,204 6,794
[END CHART]
CUMULATIVE TOTAL RETURN THROUGH JUNE 30, 2009(3)
Since Since Annual
10/1/07 5/1/09 Expense
1 Year Inception Inception Ratio
-------------------------------- -------
Ultra Series Target Retirement 2040, Class I -30.68% -23.90% -- 1.43%
Ultra Series Target Retirement 2040, Class II -- -- 5.81% 1.68
Dow Jones Global Target 2040 Index(2) -23.64 -19.82 7.24 NA
NA Not Applicable. Index returns do not reflect fees or expenses.
(1) This chart compares a $10,000 investment made in the fund to a $10,000
investment made in the securities that make up the index.
(2) The Dow Jones Global Target 2040 Index is a benchmark for multi-asset
class portfolios with risk profiles that become more conservative as the
year 2040 approaches. The index is a composite of other indexes that
represent stocks, bonds and cash.
(3) Fund returns are calculated after fund level expenses have been subtracted,
but do not include any separate account fees, charges or expenses imposed by
the variable annuity and variable life insurance contracts that invest in
the fund, as described in the Prospectus. If these fees, charges, or
expenses were included, fund returns would have been lower. Fund returns
also assume that dividends and capital gains are reinvested in additional
shares of the fund. Investment return and principal value will fluctuate, so
an investor's shares, when redeemed, may be worth more or less than when
purchased. Further information relating to the fund's performance is
contained in the Prospectus and elsewhere in this report. The fund's past
performance is not indicative of future performance. Current performance may
be lower or higher than the performance data cited. For fund performance
data current to the most recent month-end, please call 1-800-798-5500.
Indices are unmanaged and investors cannot invest in them directly. Index
returns do not reflect fees or expenses.
- --------------------------------------------------------------------------------
18
================================================================================
CONSERVATIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF PORTFOLIO ALLOCATION]
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2009
Bond Funds 59%
Stock Funds 27%
Foreign Stock Funds 9%
Alternative Asset Classes 4%
Money Market Funds and Other Net Assets 1%
[END CHART]
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE
AS OF JUNE 30, 2009
MEMBERS Bond Fund, Class Y 29%
MEMBERS High Income Fund, Class Y 13%
Dodge & Cox Income Fund 12%
MEMBERS Large Cap Growth Fund, Class Y 9%
MEMBERS International Stock Fund, Class Y 9%
MEMBERS Large Cap Value Fund, Class Y 7%
Fairholme Fund 6%
Oppenheimer International Bond Fund, Class Y 5%
Nakoma Absolute Return Fund 4%
Victory Special Value Fund, Class I 4%
SSgA Prime Money Market Fund 1%
Laudus International Market Masters Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 100.03%
- --------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASS FUNDS - 4.42%
297,412 Nakoma Absolute Return
Fund * .......................................................... $ 6,430,039
------------
BOND FUNDS - 58.95%
1,439,011 Dodge & Cox Income Fund ......................................... 17,743,005
4,260,726 MEMBERS Bond Fund,
Class Y (R)...................................................... 42,223,799
2,998,096 MEMBERS High Income Fund,
Class Y (R)...................................................... 18,468,273
1,216,217 Oppenheimer International
Bond Fund, Class Y .............................................. 7,358,111
------------
85,793,188
------------
STOCK FUNDS - 26.92%
363,141 Fairholme Fund ................................................... 9,216,506
1,134,798 MEMBERS Large Cap Growth
Fund, Class Y (R) ................................................ 13,617,576
1,119,093 MEMBERS Large Cap Value Fund,
Class Y (R)....................................................... 10,575,426
530,048 Victory Special Value Fund,
Class I .......................................................... 5,772,223
------------
39,181,731
------------
FOREIGN STOCK FUNDS - 9.25%
9,660 Laudus International Market
Masters Fund ..................................................... 122,204
1,549,463 MEMBERS International Stock
Fund, Class Y (R) ................................................ 13,340,877
------------
13,463,081
------------
MONEY MARKET FUNDS - 0.49%
715,406 SSgA Prime Money Market
Fund.............................................................. 715,406
------------
TOTAL INVESTMENT COMPANIES - 100.03%
(Cost $155,791,184**) ............................................ 145,583,445
NET OTHER ASSETS AND LIABILITIES - (0.03)%
- --------------------------------------------------------------------------------------------------
(41,151)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$145,542,294
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $159,014,726. (R) Affiliated
Company (see Note 10).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
19
================================================================================
MODERATE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF PORTFOLIO ALLOCATION]
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2009
Stock Funds 45%
Bond Funds 34%
Foreign Stock Funds 17%
Alternative Asset Classes 3%
Money Market Funds and Other Net Assets 1%
[END CHART]
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE
AS OF JUNE 30, 2009
MEMBERS Bond Fund, Class Y 17%
MEMBERS International Stock Fund, Class Y 15%
MEMBERS Large Cap Growth Fund, Class Y 12%
MEMBERS High Income Fund, Class Y 9%
MEMBERS Large Cap Value Fund, Class Y 9%
Fairholme Fund 6%
Dodge & Cox Income Fund 5%
Gateway Fund, Class Y 5%
Victory Special Value Fund, Class I 5%
Nakoma Absolute Return Fund 4%
Oppenheimer International Bond Fund, Class Y 3%
MEMBERS Mid Cap Growth Fund, Class Y 3%
MEMBERS Small Cap Value Fund, Class Y 3%
MEMBERS Small Cap Growth Fund, Class Y 2%
Principal International Emerging Markets Fund,
Institutional Class 1%
SSgA Prime Money Market Fund 1%
Laudus International Market Masters Fund 0%*
PIMCO CommodityRealReturn Strategy Fund,
Institutional Class 0%*
* Rounds to 0%
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 100.03%
- --------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASS FUNDS - 3.44%
447,056 Nakoma Absolute Return
Fund * .......................................................... $ 9,665,352
9,845 PIMCO Commodity RealReturn
Strategy Fund, Institutional
Class ........................................................... 70,292
------------
9,735,644
------------
BOND FUNDS - 34.31%
1,206,072 Dodge & Cox Income Fund ......................................... 14,870,870
4,806,679 MEMBERS Bond Fund,
Class Y (R)...................................................... 47,634,188
4,254,452 MEMBERS High Income Fund,
Class Y (R)...................................................... 26,207,425
1,382,919 Oppenheimer International
Bond Fund, Class Y .............................................. 8,366,659
------------
97,079,142
------------
STOCK FUNDS - 44.86%
686,910 Fairholme Fund .................................................. 17,433,787
601,061 Gateway Fund, Class Y ........................................... 14,227,118
2,864,932 MEMBERS Large Cap Growth
Fund, Class Y (R) ............................................... 34,379,186
2,593,828 MEMBERS Large Cap Value
Fund, Class Y (R) ............................................... 24,511,675
1,845,424 MEMBERS Mid Cap Growth
Fund, Class Y (R)* .............................................. 8,230,591
1,190,095 MEMBERS Small Cap Growth
Fund, Class Y (R)* .............................................. 6,724,039
1,064,090 MEMBERS Small Cap
Value Fund, Class Y (R) ......................................... 7,406,065
1,284,646 Victory Special Value Fund,
Class I ......................................................... 13,989,793
------------
126,902,254
------------
FOREIGN STOCK FUNDS - 16.94%
14,152 Laudus International Market
Masters Fund .................................................... 179,024
5,074,905 MEMBERS International Stock
Fund, Class Y (R) ............................................... 43,694,934
234,159 Principal International
Emerging Markets Fund,
Institutional Class ............................................. 4,048,617
------------
47,922,575
------------
MONEY MARKET SECURITIES - 0.48%
1,366,112 SSgA Prime Money Market Fund 1,366,112
------------
TOTAL INVESTMENT COMPANIES - 100.03%
(Cost $333,124,773**) ........................................... 283,005,727
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
20
================================================================================
MODERATE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Value (Note 2)
--------------
NET OTHER ASSETS AND LIABILITIES - (0.03)%
- --------------------------------------------------------------------------------------------------
$ (80,358)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$282,925,369
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $339,526,879. (R) Affiliated
Company (see Note 10).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
21
================================================================================
AGGRESSIVE ALLOCATION FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF PORTFOLIO ALLOCATION]
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2009
Stock Funds 62%
Foreign Stock Funds 28%
Bond Funds 9%
Money Market Funds and Other Net Assets 1%
Alternative Asset Classes 0%*
[END CHART]
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE
AS OF JUNE 30, 2009
MEMBERS International Stock Fund, Class Y 20%
MEMBERS Large Cap Growth Fund, Class Y 16%
Victory Special Value Fund, Class I 10%
MEMBERS Large Cap Value Fund, Class Y 8%
Gateway Fund, Class Y 7%
MEMBERS Mid Cap Growth Fund, Class Y 6%
MEMBERS High Income Fund, Class Y 6%
Laudus International MarketMasters Fund 5%
Fairholme Fund 5%
MEMBERS Small Cap Value Fund, Class Y 5%
MEMBERS Small Cap Growth Fund, Class Y 4%
MEMBERS Bond Fund, Class Y 4%
Principal International Emerging Markets Fund, Institutional Class 3%
SSgA Prime Money Market Fund 1%
PIMCO CommodityRealReturn Strategy Fund, Institutional Class 0%*
* Rounds to 0%
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 100.03%
- --------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASS FUNDS - 0.06%
8,119 PIMCO Commodity RealReturn
Strategy Fund, Institutional
Class............................................................ $ 57,969
------------
BOND FUNDS - 9.50%
331,027 MEMBERS Bond Fund,
Class Y (R)...................................................... 3,280,475
867,635 MEMBERS High Income Fund,
Class Y (R)...................................................... 5,344,630
------------
8,625,105
------------
STOCK FUNDS - 62.12%
189,879 Fairholme Fund .................................................. 4,819,141
254,951 Gateway Fund, Class Y ........................................... 6,034,691
1,187,226 MEMBERS Large Cap Growth Fund,
Class Y (R)...................................................... 14,246,717
810,570 MEMBERS Large Cap Value Fund,
Class Y (R)...................................................... 7,659,891
1,300,556 MEMBERS Mid Cap Growth Fund,
Class Y (R)*..................................................... 5,800,481
685,490 MEMBERS Small Cap Growth Fund,
Class Y (R)*..................................................... 3,873,020
667,004 MEMBERS Small Cap Value Fund,
Class Y (R)...................................................... 4,642,346
855,815 Victory Special Value Fund, Class I 9,319,828
------------
56,396,115
------------
FOREIGN STOCK FUNDS - 27.94%
386,085 Laudus International Market
Masters Fund .................................................... 4,883,972
2,097,238 MEMBERS International Stock
Fund, Class Y (R) ............................................... 18,057,222
139,810 Principal International
Emerging Markets Fund,
Institutional Class ............................................. 2,417,312
------------
25,358,506
------------
MONEY MARKET FUNDS - 0.41%
369,174 SSgA Prime Money Market Fund 369,174
------------
TOTAL INVESTMENT COMPANIES - 100.03%
(Cost $113,184,849**) ........................................... 90,806,869
NET OTHER ASSETS AND LIABILITIES - (0.03)%
- --------------------------------------------------------------------------------------------------
(25,516)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 90,781,353
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $115,278,266. (R) Affiliated
Company (see Note 10).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
22
================================================================================
MONEY MARKET FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF PORTFOLIO ALLOCATION]
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2009
Federal National Mortgage Association 28%
Federal Home Loan Mortgage Corp. 27%
U.S. Treasury Bills 24%
Federal Home Loan Bank 10%
Cash and Other Net Assets 7%
Commercial Paper 4%
[END CHART]
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
COMMERCIAL PAPER - 4.31%
- --------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 4.31%
$ 5,000,000 Johnson & Johnson
0.290%, due 10/26/09 ........................................... $ 4,995,288
------------
TOTAL COMMERCIAL PAPER
(Cost $4,995,288) .............................................. 4,995,288
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 88.26%
- --------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN BANK - 9.50% (A)
1,100,000 0.140%, due 07/08/09 ........................................... 1,099,970
4,890,000 0.140%, due 07/10/09 ........................................... 4,889,829
1,473,000 0.170%, due 07/24/09 ........................................... 1,472,840
3,540,000 0.080%, due 07/28/09 ........................................... 3,539,787
------------
11,002,426
------------
FEDERAL HOME LOAN MORTGAGE
CORP. - 26.85%
3,005,000 0.260%, due 07/06/09 (A)........................................ 3,004,892
1,650,000 0.140%, due 07/13/09 (A)........................................ 1,649,923
1,658,000 4.250%, due 07/15/09 ........................................... 1,660,413
4,975,000 0.170%, due 07/20/09 (A)........................................ 4,974,572
1,443,000 0.200%, due 08/03/09 (A)........................................ 1,442,735
3,000,000 0.100%, due 08/05/09 (A)........................................ 2,999,708
4,327,000 0.180%, due 08/24/09 (A)........................................ 4,325,832
6,000,000 4.125%, due 09/01/09 ........................................... 6,039,477
5,000,000 0.243%, due 10/08/09 (G) ....................................... 4,999,286
------------
31,096,838
------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 28.18%
3,200,000 0.140%, due 07/08/09 (A)........................................ 3,199,913
1,400,000 5.125%, due 07/13/09 ........................................... 1,402,189
4,780,000 0.165%, due 07/22/09 (A)........................................ 4,779,524
2,528,000 0.170%, due 08/03/09 (A)........................................ 2,527,606
2,985,000 0.180%, due 08/26/09 (A)........................................ 2,984,164
2,610,000 0.320%, due 09/15/09 (A)........................................ 2,608,237
4,000,000 6.625%, due 09/15/09 ........................................... 4,049,315
3,866,000 0.230%, due 10/07/09 (A)........................................ 3,863,580
3,000,000 0.680%, due 10/13/09 (A)........................................ 2,994,107
4,250,000 0.760%, due 11/02/09 (A)........................................ 4,238,874
------------
32,647,509
------------
U.S. TREASURY BILLS - 23.73% (A)
5,000,000 0.165%, due 07/16/09 ........................................... 4,999,657
2,500,000 0.167%, due 07/23/09 ........................................... 2,499,745
5,500,000 0.161%, due 08/13/09 ........................................... 5,498,942
5,500,000 0.155%, due 08/20/09 ........................................... 5,498,820
4,500,000 0.254%, due 10/15/09 ........................................... 4,496,641
4,500,000 0.297%, due 11/19/09 ........................................... 4,494,766
------------
27,488,571
------------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
(Cost $102,235,344) ............................................ 102,235,344
</table>
<table>
Shares
- ------
INVESTMENT COMPANIES - 7.36%
3,503,971 SEI Daily Income Trust
Treasury II Fund ................................................ 3,503,971
5,020,883 SSgA U.S. Treasury Money
Market Fund ..................................................... 5,020,883
------------
TOTAL INVESTMENT COMPANIES
(Cost $8,524,854) ............................................... 8,524,854
TOTAL INVESTMENTS - 99.93%
- --------------------------------------------------------------------------------------------------
(Cost $115,755,486**) ........................................... 115,755,486
NET OTHER ASSETS AND LIABILITIES - 0.07%
- --------------------------------------------------------------------------------------------------
85,942
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$115,841,428
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
23
================================================================================
MONEY MARKET FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $115,755,486. (A) Rate noted
represents annualized yield at time of purchase. (G) Floating rate note. Date
shown is next reset date.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
24
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF PORTFOLIO ALLOCATION]
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2009
U.S. Government and Agency Obligations 39%
Mortgage Backed 30%
Corporate Notes and Bonds 25%
Cash and Other Net Assets 4%
Private Label Mortgage Backed 1%
Asset Backed 1%
Commercial Mortgage Backed 0%*
* Rounds to 0%
[END CHART]
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
ASSET BACKED - 1.39%
- --------------------------------------------------------------------------------------------------
$ 652,045 ABSC Long Beach Home Equity Loan
Trust, Series 2000-LB1, Class AF5 (M)
8.550%, due 09/21/30............................................. $ 602,017
3,820,000 Chase Issuance Trust,
Series 2007-A17, Class A
5.120%, due 10/15/14............................................. 4,025,863
3,500,000 New Century Home Equity Loan
Trust, Series 2003-5, Class AI5 (G)
5.500%, due 11/25/33............................................. 2,586,117
2,475,000 Renaissance Home Equity Loan
Trust, Series 2005-4, Class M9 (M)
7.000%, due 02/25/36............................................. 145,976
18,904 Wells Fargo Home Equity Trust,
Series 2004-2, Class M8A (C)(G)
3.314%, due 05/25/34............................................. 18,918
------------
TOTAL ASSET BACKED
(Cost $10,285,326) .............................................. 7,378,891
COMMERCIAL MORTGAGE BACKED - 0.03%
- --------------------------------------------------------------------------------------------------
1,695,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C)(G)
5.880%, due 11/28/35 ............................................ 133,464
------------
TOTAL COMMERCIAL MORTGAGE BACKED
(Cost $1,496,121) ............................................... 133,464
PRIVATE LABEL MORTGAGE BACKED - 0.65%
- --------------------------------------------------------------------------------------------------
4,970,299 Banc of America Alternative Loan
Trust, Series 2005-12, Class 3CB1
6.000%, due 01/25/36 .............. 3,453,581
------------
TOTAL PRIVATE LABEL MORTGAGE BACKED
(Cost $4,970,299) ............................................... 3,453,581
CORPORATE NOTES AND BONDS - 25.24%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 1.13%
2,500,000 American Association of
Retired Persons (C)
7.500%, due 05/01/31............................................. 2,694,678
4,400,000 Erac USA Finance Co. (C)
6.700%, due 06/01/34............................................. 3,301,157
------------
5,995,835
------------
CONSUMER STAPLES - 0.23%
1,165,000 PepsiCo, Inc./NC
4.650%, due 02/15/13............................................. 1,223,021
------------
ENERGY - 1.67%
2,460,000 Hess Corp.
7.875%, due 10/01/29............................................. 2,668,229
1,400,000 Transocean, Inc.
6.000%, due 03/15/18............................................. 1,455,462
2,310,000 Transocean, Inc.
7.500%, due 04/15/31............................................. 2,559,485
2,275,000 Valero Energy Corp.
7.500%, due 04/15/32............................................. 2,176,820
------------
8,859,996
------------
FINANCE - 4.92%
2,885,000 American General Finance Corp.
5.850%, due 06/01/13............................................. 1,654,948
2,500,000 American General Finance
Corp., Series H
4.625%, due 09/01/10............................................. 1,892,335
1,165,000 Bank of America Corp.
5.750%, due 12/01/17............................................. 1,037,349
2,200,000 Bear Stearns Cos. LLC/The
7.250%, due 02/01/18............................................. 2,318,776
1,250,000 General Electric Global Insurance
Holding Corp.
7.000%, due 02/15/26............................................. 979,809
1,680,000 General Electric Global Insurance
Holding Corp.
7.750%, due 06/15/30............................................. 1,369,645
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
25
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
FINANCE (CONTINUED)
$ 2,750,000 Goldman Sachs Group, Inc./The
5.700%, due 09/01/12............................................. $ 2,878,692
3,135,000 Lehman Brothers Holdings, Inc. (E)
5.750%, due 01/03/17............................................. 313
2,740,000 Merrill Lynch & Co., Inc.
6.150%, due 04/25/13............................................. 2,743,872
2,700,000 SLM Corp.
5.125%, due 08/27/12............................................. 2,309,469
1,250,000 Textron Financial Corp.
6.000%, due 11/20/09............................................. 1,238,856
750,000 UBS AG/Stamford Branch
5.750%, due 04/25/18............................................. 683,052
2,000,000 US Bank NA/Cincinnati, OH
6.300%, due 02/04/14............................................. 2,172,144
2,735,000 Wells Fargo & Co.
5.250%, due 10/23/12............................................. 2,826,996
2,065,000 Western Union Co./The
5.930%, due 10/01/16............................................. 2,084,828
------------
26,191,084
------------
FOOD & DRUG RETAILERS - 0.70% 3,450,000 Medco Health Solutions,
Inc.
7.250%, due 08/15/13............................................. 3,700,446
------------
FORESTRY/PAPER - 0.82%
2,250,000 Westvaco Corp.
8.200%, due 01/15/30............................................. 1,987,661
3,000,000 Weyerhaeuser Co.
7.375%, due 03/15/32............................................. 2,394,465
------------
4,382,126
------------
HEALTH CARE - 3.37% 2,600,000 Eli Lilly & Co.
6.570%, due 01/01/16............................................. 2,801,864
1,740,000 Genentech, Inc.
5.250%, due 07/15/35............................................. 1,621,052
3,960,000 Merck & Co., Inc./NJ
5.750%, due 11/15/36............................................. 3,954,250
3,500,000 Quest Diagnostics, Inc./DE
5.450%, due 11/01/15............................................. 3,392,259
3,600,000 WellPoint, Inc.
5.000%, due 12/15/14............................................. 3,510,112
2,370,000 Wyeth
6.500%, due 02/01/34............................................. 2,618,893
------------
17,898,430
------------
INDUSTRIALS - 2.68%
760,000 Boeing Co./The
8.625%, due 11/15/31............................................. 947,856
1,380,000 Boeing Co./The
6.875%, due 10/15/43............................................. 1,415,855
1,140,000 DR Horton, Inc.
5.250%, due 02/15/15............................................. 946,200
585,000 EI Du Pont de Nemours & Co.
5.000%, due 01/15/13............................................. 615,009
3,200,000 General Electric Co.
5.000%, due 02/01/13............................................. 3,329,651
1,450,000 Lockheed Martin Corp.
7.650%, due 05/01/16............................................. 1,700,242
2,465,000 Waste Management, Inc.
7.125%, due 12/15/17............................................. 2,457,906
2,870,000 WM Wrigley Jr. Co.
4.300%, due 07/15/10............................................. 2,862,825
------------
14,275,544
------------
MEDIA - 1.28%
3,080,000 Comcast Cable Communications
Holdings, Inc.
9.455%, due 11/15/22............................................. 3,600,970
3,000,000 Rogers Communications, Inc. (D)
6.250%, due 06/15/13............................................. 3,181,149
------------
6,782,119
------------
OFFICE ELECTRONICS - 0.51%
2,640,000 Xerox Corp.
6.875%, due 08/15/11 ............................................ 2,732,400
------------
REAL ESTATE INVESTMENT TRUSTS - 0.63%
2,725,000 HCP, Inc.
6.700%, due 01/30/18............................................. 2,367,196
1,060,000 Simon Property Group L.P.
5.875%, due 03/01/17............................................. 973,236
------------
3,340,432
------------
TELECOMMUNICATIONS - 1.60%
2,400,000 Cisco Systems, Inc.
5.500%, due 02/22/16............................................. 2,542,538
4,225,000 New Cingular Wireless Services, Inc.
7.875%, due 03/01/11............................................. 4,556,515
1,750,000 Sprint Nextel Corp.
6.000%, due 12/01/16............................................. 1,430,625
------------
8,529,678
------------
TRANSPORTATION - 1.13%
2,925,000 Burlington Northern Santa Fe Corp.
8.125%, due 04/15/20............................................. 3,283,889
1,268,000 Norfolk Southern Corp.
5.590%, due 05/17/25............................................. 1,178,796
1,400,000 Norfolk Southern Corp.
7.050%, due 05/01/37............................................. 1,544,106
5,504 Southwest Airlines Co. 1994-A Pass
Through Trust, Series A3
8.700%, due 07/01/11............................................. 5,685
------------
6,012,476
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
26
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
UTILITIES - 4.57%
$ 2,000,000 Energy East Corp.
8.050%, due 11/15/10............................................. $ 2,116,238
3,445,000 Indianapolis Power & Light Co. (C)
6.050%, due 10/01/36............................................. 2,668,897
2,925,000 Pacific Gas & Electric Co.
6.050%, due 03/01/34............................................. 3,034,503
2,400,000 Progress Energy, Inc.
7.750%, due 03/01/31............................................. 2,819,611
3,250,000 Sierra Pacific Power Co., Series M
6.000%, due 05/15/16............................................. 3,291,382
3,500,000 Southern Power Co., Series B
6.250%, due 07/15/12............................................. 3,745,714
2,165,000 Southwestern Electric Power Co.,
Series E
5.550%, due 01/15/17............................................. 2,103,978
1,165,000 Virginia Electric and Power Co.
5.100%, due 11/30/12............................................. 1,231,039
3,000,000 Wisconsin Electric Power Co.
6.500%, due 06/01/28............................................. 3,307,371
------------
24,318,733
------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $144,425,260) ............................................. 134,242,320
MORTGAGE BACKED - 29.62%
- --------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE
CORP. - 4.31%
2,943,597 5.000%, due 05/01/18
Pool # E96322.................................................... 3,082,314
97,610 8.000%, due 06/01/30
Pool # C01005.................................................... 107,366
379,062 7.000%, due 03/01/31
Pool # C48129.................................................... 410,776
256,753 6.500%, due 03/01/32
Pool # C65648.................................................... 275,213
3,628,742 5.000%, due 07/01/33
Pool # A11325 ................................................... 3,710,814
793,182 6.000%, due 10/01/34
Pool # A28439 ................................................... 833,105
667,182 6.000%, due 10/01/34
Pool # A28598 ................................................... 700,762
5,505,248 5.500%, due 11/01/34
Pool # A28282 ................................................... 5,707,340
501,924 5.000%, due 04/01/35
Pool # A32314 ................................................... 512,492
1,223,829 5.000%, due 04/01/35
Pool # A32315 ................................................... 1,249,596
1,251,776 5.000%, due 04/01/35
Pool # A32316 ................................................... 1,278,131
369,916 5.000%, due 04/01/35
Pool # A32509 ................................................... 377,704
4,565,161 5.000%, due 01/01/37
Pool # A56371 ................................................... 4,653,432
------------
22,899,045
------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 25.21%
2,116,740 4.000%, due 04/01/15
Pool # 255719 ................................................... 2,142,459
2,813,015 5.500%, due 04/01/16
Pool # 745444 ................................................... 2,939,537
156,754 6.000%, due 05/01/16
Pool # 582558 ................................................... 167,129
750,707 5.500%, due 09/01/17
Pool # 657335 ................................................... 793,356
989,393 5.500%, due 02/01/18
Pool # 673194 ................................................... 1,045,603
3,210,205 5.000%, due 05/01/20
Pool # 813965 ................................................... 3,344,432
3,046,297 4.500%, due 09/01/20
Pool # 835465 ................................................... 3,141,367
398,277 6.000%, due 05/01/21
Pool # 253847 ................................................... 421,273
144,126 7.000%, due 12/01/29
Pool # 762813 ................................................... 158,507
192,293 7.000%, due 11/01/31
Pool # 607515 ................................................... 210,667
295,201 6.500%, due 03/01/32
Pool # 631377 ................................................... 317,162
5,241 7.000%, due 04/01/32
Pool # 641518 ................................................... 5,737
377,646 7.000%, due 05/01/32
Pool # 644591 ................................................... 413,730
2,907,687 6.500%, due 06/01/32
Pool # 545691 ................................................... 3,124,003
3,936,735 5.500%, due 04/01/33
Pool # 690206 ................................................... 4,084,939
5,312,383 5.000%, due 10/01/33
Pool # 254903 ................................................... 5,435,025
5,112,525 5.500%, due 11/01/33
Pool # 555880 ................................................... 5,304,994
105,523 5.000%, due 05/01/34
Pool # 782214 ................................................... 107,876
1,322,406 5.000%, due 06/01/34
Pool # 778891 ................................................... 1,351,902
4,946,625 5.500%, due 06/01/34
Pool # 780384 ................................................... 5,129,756
84,582 7.000%, due 07/01/34
Pool # 792636 ................................................... 92,305
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
27
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (CONTINUED)
$ 586,146 5.500%, due 08/01/34
Pool # 793647 ................................................... $ 607,846
2,809,922 5.500%, due 03/01/35
Pool # 810075 ................................................... 2,911,315
3,025,705 5.500%, due 03/01/35
Pool # 815976 ................................................... 3,134,885
3,293,816 5.500%, due 07/01/35
Pool # 825283 ................................................... 3,412,670
4,185,002 5.000%, due 08/01/35
Pool # 829670 ................................................... 4,275,731
2,002,543 5.500%, due 08/01/35
Pool # 826872 ................................................... 2,074,802
3,200,615 5.000%, due 09/01/35
Pool # 820347 ................................................... 3,270,003
3,305,549 5.000%, due 09/01/35
Pool # 835699 ................................................... 3,377,212
5,654,836 5.000%, due 10/01/35
Pool # 797669 ................................................... 5,777,431
854,910 5.500%, due 10/01/35
Pool # 836912 ................................................... 885,759
4,417,816 5.000%, due 11/01/35
Pool # 844809 ................................................... 4,513,592
4,325,469 5.000%, due 12/01/35
Pool # 850561 ................................................... 4,419,244
1,569,022 5.500%, due 02/01/36
Pool # 851330 ................................................... 1,625,638
1,397,825 5.500%, due 10/01/36
Pool # 896340 ................................................... 1,445,861
7,674,692 5.500%, due 10/01/36
Pool # 901723 ................................................... 7,938,434
4,407,164 6.500%, due 10/01/36
Pool # 894118 ................................................... 4,701,291
4,881,537 6.000%, due 11/01/36
Pool # 902510 ................................................... 5,156,598
4,276,047 5.500%, due 02/01/37
Pool # 905140 ................................................... 4,422,995
4,339,389 5.500%, due 05/01/37
Pool # 899323 ................................................... 4,485,801
2,510,693 5.500%, due 05/01/37
Pool # 928292 ................................................... 2,595,405
5,138,322 6.000%, due 10/01/37
Pool # 947563 ................................................... 5,377,675
5,719,214 5.500%, due 07/01/38
Pool # 986973 ................................................... 5,911,860
6,094,952 5.000%, due 08/01/38
Pool # 988934 ................................................... 6,215,318
5,463,646 6.500%, due 08/01/38
Pool # 987711 ................................................... 5,826,266
------------
134,095,391
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - 0.10%
68,496 8.000%, due 10/20/15
Pool # 002995 ................................................... 73,523
226,954 6.500%, due 02/20/29
Pool # 002714 ................................................... 244,447
196,235 6.500%, due 04/20/31
Pool # 003068 ................................................... 211,185
------------
529,155
------------
TOTAL MORTGAGE BACKED
(Cost $150,629,357) ............................................. 157,523,591
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 39.02%
- --------------------------------------------------------------------------------------------------
FEDERAL FARM CREDIT BANK - 0.85%
4,000,000 5.875%, due 10/03/16............................................. 4,525,412
------------
FEDERAL HOME LOAN MORTGAGE
CORP. - 1.63%
2,500,000 4.875%, due 11/15/13............................................. 2,727,735
5,500,000 4.500%, due 01/15/14............................................. 5,912,731
------------
8,640,466
------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 1.26%
2,400,000 5.250%, due 08/01/12............................................. 2,493,840
3,905,000 4.625%, due 10/15/14............................................. 4,212,109
------------
6,705,949
------------
U.S. TREASURY BILLS - 0.11% (A)
570,000 0.010%, due 12/17/09............................................. 569,132
------------
U.S. TREASURY BONDS - 2.56%
7,350,000 6.625%, due 02/15/27............................................. 9,475,760
4,000,000 4.500%, due 05/15/38............................................. 4,129,376
------------
13,605,136
------------
U.S. TREASURY NOTES - 32.61%
2,000,000 3.500%, due 02/15/10............................................. 2,038,282
9,625,000 3.875%, due 05/15/10............................................. 9,907,359
13,000,000 4.500%, due 11/15/10............................................. 13,673,868
5,000,000 0.875%, due 01/31/11............................................. 5,002,750
12,050,000 0.875%, due 02/28/11............................................. 12,041,565
1,485,000 4.750%, due 03/31/11............................................. 1,582,859
23,100,000 4.625%, due 12/31/11............................................. 24,966,041
11,400,000 1.375%, due 02/15/12............................................. 11,390,207
6,425,000 4.625%, due 02/29/12............................................. 6,962,593
2,625,000 1.375%, due 05/15/12............................................. 2,610,247
6,000,000 4.875%, due 06/30/12............................................. 6,573,750
4,000,000 3.625%, due 05/15/13............................................. 4,230,936
2,710,000 3.125%, due 08/31/13............................................. 2,807,603
9,500,000 4.000%, due 02/15/14............................................. 10,165,741
10,000,000 1.875%, due 02/28/14............................................. 9,741,400
11,200,000 4.250%, due 08/15/14............................................. 12,078,506
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
28
================================================================================
BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
- --------------------------------------------------------------------------------------------------
U.S. TREASURY NOTES (CONTINUED)
$ 8,900,000 4.250%, due 08/15/15............................................. $ 9,540,382
9,100,000 4.250%, due 11/15/17............................................. 9,651,687
19,750,000 2.750%, due 02/15/19............................................. 18,497,060
------------
173,462,836
------------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
(Cost $201,203,425) ............................................. 207,508,931
</table><table>
Shares
- ------
INVESTMENT COMPANY - 2.63%
- --------------------------------------------------------------------------------------------------
13,990,148 SSgA Prime Money Market
Fund ............................................................ 13,990,148
------------
TOTAL INVESTMENT COMPANY
(Cost $13,990,148) .............................................. 13,990,148
TOTAL INVESTMENTS - 98.56%
- --------------------------------------------------------------------------------------------------
(Cost $526,999,936**).......................................................... 524,230,926
NET OTHER ASSETS AND LIABILITIES - 1.44%
- --------------------------------------------------------------------------------------------------
7,633,531
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$531,864,457
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $527,273,044. (A) Rate noted
represents annualized yield at time of purchase. (C) Security sold within terms
of a private placement memorandum exempt from
registration under section 144A of the Securities Act of 1933, as amended,
and may be sold only to dealers in that program or other "qualified
institutional investors." The securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(D) Notes and bonds, issued by foreign entities, denominated in U.S. dollars.
The aggregate of these securities is 0.60% of total net assets.
(E) In Default. Issuer is bankrupt.
(G) Floating rate or variable rate note. Rate shown is as of June 30, 2009. (M)
Stated interest rate is contingent upon sufficient collateral market
value. If collateral market value falls below a stated level, the issuer
will either initiate a clean-up call or increase the stated interest rate.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
29
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2009
Utilities 10%
Health Care 10%
Oil and Gas 9%
Telecommunications 9%
Support Services 8%
Gaming 6%
Media - Diversified and Services 5%
Media - Cable 5%
Technology 4%
Cash and Other Net Assets 4%
Non Food and Drug Retailers 3%
Beverage/Food 3%
Consumer Products 2%
Environmental 2%
Transportation 2%
Metals and Mining 2%
Packaging 2%
General Industrial and Manufacturing 2%
Food and Drug Retailers 2%
Forestry/Paper 2%
Chemicals 2%
Leisure and Entertainment 1%
Automotive 1%
Media - Broadcasting 1%
Hotels 1%
Aerospace/Defense 1%
Investment Management 1%
Restaurants 0%*
Apparel/Textiles 0%*
* Rounds to 0%
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS - 96.01%
- --------------------------------------------------------------------------------------------------
AEROSPACE/DEFENSE - 0.70%
$ 250,000 Alliant Techsystems, Inc.
6.750%, due 04/01/16 ............................................ $ 229,375
500,000 Moog, Inc.
7.250%, due 06/15/18 ............................................ 467,500
------------
696,875
------------
APPAREL/TEXTILES - 0.25%
250,000 Levi Strauss & Co.
9.750%, due 01/15/15 ............................................ 245,625
------------
AUTOMOTIVE - 1.32%
1,000,000 Ford Motor Credit Co. LLC
8.000%, due 06/01/14 ............................................ 809,118
500,000 Goodyear Tire & Rubber Co./The
10.500%, due 05/15/16 ........................................... 505,000
------------
1,314,118
------------
BEVERAGE/FOOD - 2.75%
500,000 B&G Foods, Inc.
8.000%, due 10/01/11............................................. 496,250
500,000 Constellation Brands, Inc.
7.250%, due 05/15/17 ............................................ 462,500
250,000 Constellation Brands, Inc.,
Series B
8.125%, due 01/15/12 ............................................ 250,000
1,000,000 Del Monte Corp.
8.625%, due 12/15/12 ............................................ 1,012,500
180,000 Michael Foods, Inc.
8.000%, due 11/15/13 ............................................ 175,500
350,000 NBTY, Inc.
7.125%, due 10/01/15 ............................................ 327,250
------------
2,724,000
------------
CHEMICALS - 1.80%
750,000 Ashland, Inc. (C)
9.125%, due 06/01/17 ............................................ 780,000
143,000 Nalco Co.
7.750%, due 11/15/11 ............................................ 143,000
600,000 Nalco Co.
8.875%, due 11/15/13 ............................................ 612,000
250,000 Nalco Co. (C)
8.250%, due 05/15/17............................................. 251,250
------------
1,786,250
------------
CONSUMER PRODUCTS - 3.50%
240,000 Da-Lite Screen Co., Inc.
9.500%, due 05/15/11............................................. 209,700
500,000 Jarden Corp.
7.500%, due 05/01/17 ............................................ 437,500
900,000 Leslie's Poolmart
7.750%, due 02/01/13 ............................................ 857,250
250,000 Sealy Mattress Co.
8.250%, due 06/15/14 ............................................ 205,625
500,000 Sealy Mattress Co. (C)
10.875%, due 04/15/16 ........................................... 523,750
500,000 Visant Corp.
7.625%, due 10/01/12 ............................................ 498,750
750,000 Visant Holding Corp.
8.750%, due 12/01/13............................................. 736,875
------------
3,469,450
------------
ENVIRONMENTAL - 2.47%
1,000,000 Casella Waste Systems, Inc.
9.750%, due 02/01/13 ............................................ 900,000
200,000 Covanta Holding Corp. (P)
1.000%, due 02/01/27 ............................................ 173,500
500,000 Waste Services, Inc.
9.500%, due 04/15/14 ............................................ 471,250
1,000,000 WCA Waste Corp.
9.250%, due 06/15/14 ............................................ 907,500
------------
2,452,250
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
30
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
FOOD & DRUG RETAILERS - 2.09%
$ 750,000 Ingles Markets, Inc. (C)
8.875%, due 05/15/17 ............................................ $ 738,750
250,000 Rite Aid Corp.
8.625%, due 03/01/15 ............................................ 166,250
250,000 Rite Aid Corp.
7.500%, due 03/01/17 ............................................ 195,625
250,000 Stater Brothers Holdings
8.125%, due 06/15/12 ............................................ 246,250
500,000 Stater Brothers Holdings
7.750%, due 04/15/15 ............................................ 480,000
250,000 SUPERVALU, Inc.
8.000%, due 05/01/16 ............................................ 242,500
------------
2,069,375
------------
FORESTRY/PAPER - 1.95%
18,000 Domtar Corp.
7.875%, due 10/15/11 ............................................ 17,550
750,000 Georgia-Pacific LLC (C)
7.125%, due 01/15/17 ............................................ 697,500
109,000 Graphic Packaging International, Inc.
8.500%, due 08/15/11 ............................................ 107,910
350,000 Graphic Packaging International, Inc. (C)
9.500%, due 06/15/17 ............................................ 344,750
750,000 Rock-Tenn Co.
9.250%, due 03/15/16 ............................................ 763,125
------------
1,930,835
------------
GAMING - 3.35%
500,000 Ameristar Casinos, Inc. (C)
9.250%, due 06/01/14 ............................................ 510,000
500,000 Boyd Gaming Corp.
6.750%, due 04/15/14 ............................................ 405,000
650,000 Global Cash Access, Inc./
Global Cash Finance Corp.
8.750%, due 03/15/12 ............................................ 601,250
250,000 Isle of Capri Casinos, Inc.
7.000%, due 03/01/14 ............................................ 201,250
500,000 MGM Mirage (C)
10.375%, due 05/15/14 .............. ............................ 518,750
300,000 Penn National Gaming, Inc.
6.750%, due 03/01/15 ............................................ 273,000
100,000 Pinnacle Entertainment, Inc.
8.250%, due 03/15/12 ............................................ 99,500
750,000 Scientific Games Corp. (C)
7.875%, due 06/15/16 ............................................ 712,500
------------
3,321,250
------------
GENERAL INDUSTRIAL & MANUFACTURING - 2.10%
750,000 Baldor Electric Co.
8.625%, due 02/15/17 ............................................ 693,750
250,000 General Cable Corp. (P)
1.000%, due 10/15/12 ............................................ 196,250
750,000 SPX Corp.
7.625%, due 12/15/14 ............................................ 723,750
250,000 Terex Corp.
8.000%, due 11/15/17 ............................................ 192,188
500,000 Trinity Industries, Inc. (P)
3.875%, due 06/01/36 ............................................ 272,500
------------
2,078,438
------------
HEALTH CARE - 10.35% 250,000 Accellent, Inc.
10.500%, due 12/01/13 ........................................... 211,875
750,000 Biomet, Inc.
10.000%, due 10/15/17 ........................................... 763,125
750,000 Biomet, Inc.
11.625%, due 10/15/17 ........................................... 735,000
1,500,000 DaVita, Inc.
7.250%, due 03/15/15 ............................................ 1,410,000
1,000,000 DJO Finance LLC/DJO Finance Corp.
10.875%, due 11/15/14 ........................................... 875,000
750,000 HCA, Inc./DE
6.250%, due 02/15/13 ............................................ 656,250
500,000 HCA, Inc./DE
6.750%, due 07/15/13 ............................................ 440,000
350,000 HCA, Inc./DE
6.500%, due 02/15/16 ............................................ 282,625
950,000 HCA, Inc./DE
9.250%, due 11/15/16 ............................................ 935,750
500,000 Hologic, Inc. (B)(P)
2.000%, due 12/15/37 ............................................ 355,000
500,000 IASIS Healthcare LLC/
IASIS Capital Corp.
8.750%, due 06/15/14 ............................................ 490,000
500,000 Kinetic Concepts, Inc. (C)(P)
3.250%, due 04/15/15 ............................................ 389,375
750,000 Psychiatric Solutions, Inc.
7.750%, due 07/15/15 ............................................ 686,250
500,000 Service Corp. International/US
7.375%, due 10/01/14 ............................................ 472,500
500,000 Stewart Enterprises, Inc.
6.250%, due 02/15/13 ............................................ 465,000
650,000 Universal Hospital Services, Inc. (G)
4.635%, due 06/01/15 ............................................ 523,250
600,000 Vanguard Health Holding Co. II LLC
9.000%, due 10/01/14 ............................................ 574,500
------------
10,265,500
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
31
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
HOTELS - 0.81%
$ 200,000 Host Hotels & Resorts L.P.,
Series O, REIT
6.375%, due 03/15/15 ............................................ $ 173,000
800,000 Wyndham Worldwide Corp.
6.000%, due 12/01/16 ............................................ 625,678
------------
798,678
------------
INVESTMENT MANAGEMENT - 0.21%
300,000 Nuveen Investments, Inc. (C)
10.500%, due 11/15/15 ........................................... 207,000
------------
LEISURE & ENTERTAINMENT - 1.38%
750,000 Cinemark USA, Inc. (C)
8.625%, due 06/15/19 ............................................ 740,625
650,000 Speedway Motorsports, Inc.
6.750%, due 06/01/13 ............................................ 624,000
------------
1,364,625
------------
MEDIA - BROADCASTING - 1.09% 314,000 Allbritton Communications Co.
7.750%, due 12/15/12 ............................................ 242,565
210,000 Lamar Media Corp.
7.250%, due 01/01/13 ............................................ 199,762
250,000 Lamar Media Corp.
6.625%, due 08/15/15 ............................................ 218,750
500,000 Lamar Media Corp., Series C
6.625%, due 08/15/15 ............................................ 422,500
------------
1,083,577
------------
MEDIA - CABLE - 4.77%
750,000 Cablevision Systems Corp., Series B
8.000%, due 04/15/12 ............................................ 742,500
750,000 CSC Holdings, Inc./United States, Series B
7.625%, due 04/01/11 ............................................ 742,500
1,250,000 DISH DBS Corp.
7.125%, due 02/01/16 ............................................ 1,165,625
600,000 Mediacom Broadband LLC/
Mediacom Broadband Corp.
8.500%, due 10/15/15 ............................................ 540,000
500,000 Videotron Ltee (D)
6.875%, due 01/15/14 ............................................ 462,500
250,000 Videotron Ltee (D)
9.125%, due 04/15/18 ............................................ 254,062
850,000 Virgin Media Finance PLC (D)
9.125%, due 08/15/16 ............................................ 818,125
------------
4,725,312
------------
MEDIA - DIVERSIFIED & SERVICES - 5.06%
1,000,000 Hughes Network Systems LLC/
HNS Finance Corp.
9.500%, due 04/15/14 ............................................ 975,000
750,000 Intelsat Jackson Holdings, Ltd. (D)
11.250%, due 06/15/16 ........................................... 765,000
1,000,000 Intelsat Subsidiary Holding Co.,
Ltd. (D)
8.500%, due 01/15/13 ............................................ 960,000
500,000 Interpublic Group of Cos., Inc. (C)
10.000%, due 07/15/17 ........................................... 503,750
250,000 Interpublic Group of Cos., Inc. (P)
4.250%, due 03/15/23 ............................................ 221,875
1,500,000 Nielsen Finance LLC/
Nielsen Finance Co. (C)
11.625%, due 02/01/14 ........................................... 1,488,750
100,000 Telesat Canada/Telesat LLC (C)
11.000%, due 11/01/15 ........................................... 102,500
------------
5,016,875
------------
METALS AND MINING - 2.17%
500,000 Arch Western Finance LLC
6.750%, due 07/01/13 ............................................ 456,250
250,000 Freeport-McMoRan Copper &
Gold, Inc.
8.375%, due 04/01/17 ............................................ 251,875
250,000 Massey Energy Co. (P)
3.250%, due 08/01/15 ............................................ 165,000
500,000 Peabody Energy Corp.
7.375%, due 11/01/16 ............................................ 472,500
750,000 Teck Resources, Ltd. (C)(D)
10.750%, due 05/15/19 ........................................... 806,250
------------
2,151,875
------------
NON FOOD & DRUG RETAILERS - 2.81% 250,000 Burlington Coat Factory
Warehouse Corp.
11.125%, due 04/15/14 ........................................... 198,750
750,000 Ltd. Brands, Inc. (C)
8.500%, due 06/15/19 ............................................ 718,567
500,000 Michaels Stores, Inc.
11.375%, due 11/01/16 ........................................... 327,500
750,000 Sally Holdings LLC/
Sally Capital, Inc.
9.250%, due 11/15/14 ............................................ 746,250
500,000 Toys R US, Inc.
7.625%, due 08/01/11 ............................................ 462,500
400,000 Yankee Acquisition Corp./MA,
Series B
8.500%, due 02/15/15 ............................................ 337,000
------------
2,790,567
------------
OIL & GAS - 8.99% 200,000 Chesapeake Energy Corp.
6.875%, due 01/15/16 ............................................ 176,500
500,000 Chesapeake Energy Corp.
6.250%, due 01/15/18 ............................................ 415,000
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
32
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
OIL & GAS (CONTINUED)
$ 500,000 Cimarex Energy Co.
7.125%, due 05/01/17 ............................................ $ 440,000
800,000 Complete Production
Services, Inc.
8.000%, due 12/15/16 ............................................ 684,000
1,000,000 Denbury Resources, Inc.
9.750%, due 03/01/16 ............................................ 1,027,500
500,000 Encore Acquisition Co.
6.000%, due 07/15/15 ............................................ 412,500
1,000,000 EXCO Resources, Inc.
7.250%, due 01/15/11 ............................................ 970,000
150,000 Helix Energy Solutions
Group, Inc. (C)
9.500%, due 01/15/16 ............................................ 136,875
500,000 Helix Energy Solutions
Group, Inc. (P)
3.250%, due 12/15/25 ............................................ 377,500
750,000 Key Energy Services, Inc.
8.375%, due 12/01/14 ............................................ 661,875
500,000 Mariner Energy, Inc.
8.000%, due 05/15/17 ............................................ 415,000
1,500,000 Petroplus Finance, Ltd. (C)(D)
7.000%, due 05/01/17 ............................................ 1,245,000
500,000 Plains Exploration &
Production Co.
10.000%, due 03/01/16 ........................................... 513,750
250,000 Range Resources Corp.
6.375%, due 03/15/15 ............................................ 230,312
500,000 Range Resources Corp.
7.250%, due 05/01/18 ............................................ 467,500
750,000 Tesoro Corp.
9.750%, due 06/01/19 ............................................ 740,625
------------
8,913,937
------------
PACKAGING - 2.13%
1,000,000 Ball Corp.
6.625%, due 03/15/18 ............................................ 915,000
500,000 Crown Americas LLC/
Crown Americas Capital Corp.
7.625%, due 11/15/13 ............................................ 487,500
500,000 Crown Americas LLC/
Crown Americas Capital Corp. II (C)
7.625%, due 05/15/17 ............................................ 482,500
250,000 Greif, Inc.
6.750%, due 02/01/17 ............................................ 229,375
------------
2,114,375
------------
RESTAURANTS - 0.48%
500,000 Wendy's/Arby's Group, Inc. (C)
10.000%, due 07/15/16 ........................................... 478,125
------------
SUPPORT SERVICES - 8.12% 500,000 Affinion Group, Inc.
11.500%, due 10/15/15 ........................................... 427,500
1,750,000 ARAMARK Corp.
8.500%, due 02/01/15 ............................................ 1,697,500
200,000 Cardtronics, Inc.
9.250%, due 08/15/13 ............................................ 179,000
500,000 Corrections Corp. of America
7.750%, due 06/01/17 ............................................ 492,500
750,000 Education Management LLC/
Education Management
Finance Corp.
10.250%, due 06/01/16 ........................................... 733,125
1,000,000 FTI Consulting, Inc.
7.750%, due 10/01/16 ............................................ 955,000
250,000 Hertz Corp./The
10.500%, due 01/01/16 ........................................... 222,500
300,000 Iron Mountain, Inc.
8.625%, due 04/01/13 ............................................ 299,250
990,000 Iron Mountain, Inc.
7.750%, due 01/15/15 ............................................ 950,400
500,000 Mac-Gray Corp.
7.625%, due 08/15/15 ............................................ 475,625
500,000 NASDAQ OMX Group, Inc./The (P)
2.500%, due 08/15/13 ............................................ 410,000
250,000 ServiceMaster Co. PIK (C)
10.750%, due 07/15/15 ........................................... 200,000
250,000 United Rentals North America, Inc.
6.500%, due 02/15/12 ............................................ 242,500
450,000 West Corp.
9.500%, due 10/15/14 ............................................ 393,750
450,000 West Corp.
11.000%, due 10/15/16 ........................................... 375,750
------------
8,054,400
------------
TECHNOLOGY - 4.10%
750,000 Celestica, Inc. (D)
7.625%, due 07/01/13 ............................................ 731,250
500,000 Flextronics International, Ltd. (D)
6.500%, due 05/15/13 ............................................ 481,250
1,500,000 Sungard Data Systems, Inc.
9.125%, due 08/15/13 ............................................ 1,417,500
750,000 Sungard Data Systems, Inc. (C)
10.625%, due 05/15/15 ........................................... 735,000
750,000 Syniverse Technologies, Inc., ...................................
Series B
7.750%, due 08/15/13 ............................................ 705,000
------------
4,070,000
------------
TELECOMMUNICATIONS - 8.64%
500,000 CC Holdings GS V LLC/
Crown Castle GS III Corp. (C)
7.750%, due 05/01/17 ............................................ 487,500
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
33
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS (CONTINUED)
$ 1,000,000 Cincinnati Bell, Inc.
8.375%, due 01/15/14 ............................................ $ 925,000
700,000 Cincinnati Bell Telephone Co. LLC
6.300%, due 12/01/28 ............................................ 434,000
500,000 Crown Castle International Corp.
9.000%, due 01/15/15 ............................................ 508,750
1,250,000 Frontier Communications Corp.
6.625%, due 03/15/15 ............................................ 1,100,000
1,500,000 Nordic Telephone Co.
Holdings ApS (C)(D)
8.875%, due 05/01/16 ............................................ 1,447,500
400,000 Qwest Capital Funding, Inc.
7.250%, due 02/15/11 ............................................ 388,000
500,000 Qwest Communications
International, Inc.
7.500%, due 02/15/14 ............................................ 456,250
750,000 Qwest Corp.
7.875%, due 09/01/11 ............................................ 750,000
650,000 SBA Communications
Corp. (C)(P)
1.875%, due 05/01/13 ............................................ 535,438
500,000 Sprint Capital Corp.
7.625%, due 01/30/11 ............................................ 494,375
250,000 Valor Telecommunications
Enterprises Finance Corp.
7.750%, due 02/15/15 ............................................ 245,000
600,000 Windstream Corp.
8.625%, due 08/01/16 ............................................ 574,500
250,000 Windstream Corp.
7.000%, due 03/15/19 ............................................ 217,500
------------
8,563,813
------------
TRANSPORTATION - 2.20%
500,000 Bristow Group, Inc.
6.125%, due 06/15/13 ............................................ 452,500
750,000 Bristow Group, Inc.
7.500%, due 09/15/17 ............................................ 680,625
755,000 Gulfmark Offshore, Inc.
7.750%, due 07/15/14 ............................................ 690,825
400,000 Hornbeck Offshore Services, Inc.,
Series B
6.125%, due 12/01/14 ............................................ 362,500
------------
2,186,450
------------
UTILITIES - 10.42%
500,000 Dynegy Holdings, Inc.
8.375%, due 05/01/16 ............................................ 423,750
1,250,000 Edison Mission Energy
7.200%, due 05/15/19 ............................................ 931,250
1,700,000 El Paso Corp.
7.250%, due 06/01/18 ............................................ 1,569,584
500,000 Energy Future Holdings Corp.
10.875%, due 11/01/17 ........................................... 365,000
1,000,000 Ferrellgas Partners L.P./
Ferrellgas Partners Finance Corp.
8.750%, due 06/15/12 ............................................ 930,000
500,000 Inergy L.P./Inergy Finance Corp.
6.875%, due 12/15/14 ............................................ 455,000
1,000,000 MarkWest Energy Partners L.P./
MarkWest Energy Finance Corp.,
Series B
8.750%, due 04/15/18 ............................................ 865,000
1,000,000 Mirant Americas Generation LLC
8.300%, due 05/01/11 ............................................ 997,500
1,750,000 NRG Energy, Inc.
7.375%, due 02/01/16 ............................................ 1,655,938
500,000 NRG Energy, Inc.
7.375%, due 01/15/17 ............................................ 471,250
1,000,000 Suburban Propane Partners L.P./
Suburban Energy Finance Corp.
6.875%, due 12/15/13 ............................................ 920,000
400,000 Texas Competitive Electric
Holdings Co. LLC, Series A
10.250%, due 11/01/15 ........................................... 249,000
500,000 Williams Cos., Inc./The
7.625%, due 07/15/19 ............................................ 493,750
------------
10,327,022
------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $98,788,821) ............................................... 95,200,597
Shares
- ------
INVESTMENT COMPANY - 2.51%
- --------------------------------------------------------------------------------------------------
2,486,984 SSgA Prime Money Market
Fund ............................................................ 2,486,984
------------
TOTAL INVESTMENT COMPANY
(Cost $2,486,984)................................................ 2,486,984
TOTAL INVESTMENTS - 98.52%
- --------------------------------------------------------------------------------------------------
(Cost $101,275,805**).......................................................... 97,687,581
NET OTHER ASSETS AND LIABILITIES - 1.48%
- --------------------------------------------------------------------------------------------------
1,463,505
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 99,151,086
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
34
================================================================================
HIGH INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $101,275,805.
(B) Represents a security with a specified coupon until a predetermined date,
at which time the stated rate is adjusted to a new contract rate.
(C) Security sold within terms of a private placement memorandum exempt from
registration under section 144A of the Securities Act of 1933, as amended,
and may be sold only to dealers in that program or other "qualified
institutional investors." The securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(D) Notes and bonds, issued by foreign entities, denominated in U.S. dollars.
The aggregate of these securities is 8.04% of total net assets.
(G) Floating rate or variable rate note. Rate shown is as of June 30, 2009. (P)
Convertible. PIK Payment in Kind.
PLC Public Limited Company.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
35
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF PORTFOLIO ALLOCATION]
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2009
Common Stocks 39%
Corporate Notes and Bonds 21%
Mortgage Backed 19%
U.S. Government and Agency Obligations 15%
Cash and Other Net Assets 5%
Asset Backed 1%
Commercial Mortgage Backed 0%*
Private Label Mortgage Backed 0%*
* Rounds to 0%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- --------- --------------
COMMON STOCKS - 38.48%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 2.45%
37,100 Genuine Parts Co. ............................................... $ 1,245,076
63,000 Home Depot, Inc. ................................................ 1,488,690
57,500 McDonald's Corp. ................................................ 3,305,675
36,000 McGraw-Hill Cos., Inc./The ...................................... 1,083,960
41,200 Snap-On, Inc. ................................................... 1,184,088
27,800 VF Corp. ........................................................ 1,538,730
------------
9,846,219
------------
CONSUMER STAPLES - 6.05%
159,000 Altria Group, Inc. .............................................. 2,606,010
54,000 Avon Products, Inc. ............................................. 1,392,120
91,500 Coca-Cola Co./The ............................................... 4,391,085
45,200 Kimberly-Clark Corp. ............................................ 2,369,836
112,018 Kraft Foods, Inc., Class A....................................... 2,838,536
45,000 PepsiCo, Inc./NC ................................................ 2,473,200
137,500 Philip Morris International, Inc. ............................... 5,997,750
98,200 Sysco Corp. ..................................................... 2,207,536
------------
24,276,073
------------
ENERGY - 3.43%
115,000 Chevron Corp. ................................................... 7,618,750
86,000 ConocoPhillips .................................................. 3,617,160
55,500 Marathon Oil Corp. .............................................. 1,672,215
55,000 Williams Cos., Inc./The.......................................... 858,550
------------
13,766,675
------------
FINANCIALS - 4.46%
35,400 Aflac, Inc. ..................................................... 1,100,586
105,000 Bank of New York Mellon
Corp./The........................................................ 3,077,550
79,000 Marsh & McLennan Cos., Inc. ..................................... 1,590,270
63,000 Morgan Stanley .................................................. 1,796,130
61,000 NYSE Euronext ................................................... 1,662,250
38,500 Travelers Cos., Inc./The......................................... 1,580,040
102,000 US Bancorp ...................................................... 1,827,840
218,000 Wells Fargo & Co. ............................................... 5,288,680
------------
17,923,346
------------
HEALTH CARE - 5.67%
16,100 Abbott Laboratories ............................................. 757,344
78,000 Bristol-Myers Squibb Co. ........................................ 1,584,180
44,000 Eli Lilly & Co. ................................................. 1,524,160
130,000 Johnson & Johnson ............................................... 7,384,000
147,500 Merck & Co., Inc./NJ ............................................ 4,124,100
492,019 Pfizer, Inc. .................................................... 7,380,285
------------
22,754,069
------------
INDUSTRIALS - 6.51%
52,500 3M Co. .......................................................... 3,155,250
57,500 Boeing Co./The .................................................. 2,443,750
30,000 Deere & Co. ..................................................... 1,198,500
65,500 Emerson Electric Co. ............................................ 2,122,200
423,000 General Electric Co. ............................................ 4,957,560
72,500 Honeywell International, Inc. ................................... 2,276,500
43,000 Norfolk Southern Corp. .......................................... 1,619,810
29,000 Northrop Grumman Corp. .......................................... 1,324,720
20,000 Raytheon Co. .................................................... 888,600
65,000 Tyco International, Ltd. ........................................ 1,688,700
50,500 United Technologies Corp. ....................................... 2,623,980
65,500 Waste Management, Inc. .......................................... 1,844,480
------------
26,144,050
------------
INFORMATION TECHNOLOGY - 2.53%
55,100 Automatic Data Processing, Inc. ................................. 1,952,744
316,000 Intel Corp. ..................................................... 5,229,800
79,000 Maxim Integrated Products, Inc. ................................. 1,239,510
68,000 Paychex, Inc. ................................................... 1,713,600
------------
10,135,654
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
36
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- --------- --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
MATERIALS - 1.63%
23,800 Air Products & Chemicals, Inc. .................................. $ 1,537,242
138,000 EI Du Pont de Nemours & Co. 3,535,560
32,800 Nucor Corp. ..................................................... 1,457,304
------------
6,530,106
------------
TELECOMMUNICATION SERVICES - 3.13%
298,015 AT&T, Inc. ...................................................... 7,402,693
167,500 Verizon Communications, Inc. .................................... 5,147,275
------------
12,549,968
------------
UTILITIES - 2.62%
37,000 Consolidated Edison, Inc. ....................................... 1,384,540
116,000 Duke Energy Corp. ............................................... 1,692,440
46,500 Exelon Corp. .................................................... 2,381,265
51,000 FirstEnergy Corp. ............................................... 1,976,250
37,500 Progress Energy, Inc. ........................................... 1,418,625
54,000 Southern Co./The ................................................ 1,682,640
------------
10,535,760
------------
TOTAL COMMON STOCKS
(Cost $172,382,961) ............................................. 154,461,920
</table><table>
<caption>
Par Value
- ---------
ASSET BACKED - 1.11%
- --------------------------------------------------------------------------------------------------
$ 599,648 ABSC Long Beach Home Equity Loan Trust,
Series 2000-LB1, Class AF5 (M)
8.550%, due 09/21/30 ............................................ 553,640
1,975,000 Carmax Auto Owner Trust,
Series 2007-2, Class B
5.370%, due 03/15/13 ............................................ 1,679,493
2,045,000 Chase Issuance Trust,
Series 2007-A17, Class A
5.120%, due 10/15/14 ............................................ 2,155,207
1,025,000 Renaissance Home Equity Loan Trust,
Series 2005-4, Class M9 (M)
7.000%, due 02/25/36 ............................................ 60,454
------------
TOTAL ASSET BACKED
(Cost $5,581,401) ............................................... 4,448,794
COMMERCIAL MORTGAGE BACKED - 0.07%
- --------------------------------------------------------------------------------------------------
2,690,000 Multi Security Asset Trust,
Series 2005-RR4A, Class H (C)(G)
5.880%, due 11/28/35 ............................................ 221,468
775,000 Multi Security Asset Trust,
Series 2005-RR4A, Class J (C)(G)
5.880%, due 11/28/35 ............................................ 61,023
------------
TOTAL COMMERCIAL MORTGAGE BACKED
(Cost $3,343,008) ............................................... 282,491
PRIVATE LABEL MORTGAGE BACKED - 0.33%
- --------------------------------------------------------------------------------------------------
1,921,849 Banc of America Alternative Loan Trust,
Series 2005-12, Class 3CB1
6.000%, due 01/25/36 ............................................ 1,335,385
------------
TOTAL PRIVATE LABEL MORTGAGE BACKED
(Cost $1,921,849) ............................................... 1,335,385
CORPORATE NOTES AND BONDS - 20.86%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 1.20%
2,000,000 American Association of Retired Persons (C)
7.500%, due 05/01/31 ............................................ 2,155,742
1,850,000 Erac USA Finance Co. (C)
6.700%, due 06/01/34 ............................................ 1,387,987
1,600,000 Royal Caribbean Cruises, Ltd. (D)
7.250%, due 06/15/16 ............................................ 1,264,000
------------
4,807,729
------------
CONSUMER STAPLES - 0.66% 2,025,000 Kraft Foods, Inc.
6.500%, due 11/01/31 ............................................ 2,010,618
620,000 PepsiCo, Inc./NC
4.650%, due 02/15/13 ............................................ 650,878
------------
2,661,496
------------
ENERGY - 1.64%
2,000,000 Chesapeake Energy Corp.
6.375%, due 06/15/15 ............................................ 1,780,000
1,500,000 ConocoPhillips
6.650%, due 07/15/18 ............................................ 1,652,791
1,150,000 Hess Corp.
7.875%, due 10/01/29 ............................................ 1,247,343
750,000 Transocean, Inc.
6.000%, due 03/15/18 ............................................ 779,712
1,030,000 Transocean, Inc.
7.500%, due 04/15/31 ............................................ 1,141,242
------------
6,601,088
------------
FINANCE - 4.64%
1,500,000 American General Finance Corp.,
Series H
4.625%, due 09/01/10 ............................................ 1,135,401
1,115,000 American General Finance Corp.
5.850%, due 06/01/13 ............................................ 639,607
620,000 Bank of America Corp.
5.750%, due 12/01/17 ............................................ 552,065
1,130,000 Bear Stearns Cos. LLC/The
7.250%, due 02/01/18 ............................................ 1,191,008
1,000,000 General Electric Global Insurance
Holding Corp.
7.000%, due 02/15/26 ............................................ 783,847
785,000 General Electric Global Insurance
Holding Corp.
7.750%, due 06/15/30 ............................................ 639,983
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
37
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
FINANCE (CONTINUED)
$ 1,735,000 Lehman Brothers Holdings, Inc. (E)
5.750%, due 01/03/17 ............................................ $ 174
1,415,000 Merrill Lynch & Co., Inc.
6.150%, due 04/25/13 ............................................ 1,416,999
2,400,000 National Rural Utilities
Cooperative Finance Corp., Series
7.250%, due 03/01/12 ............................................ 2,621,369
3,240,000 Nissan Motor Acceptance Corp. (C)
5.625%, due 03/14/11 ............................................ 3,153,609
1,505,000 SLM Corp.
5.125%, due 08/27/12 ............................................ 1,287,315
580,000 Textron Financial Corp.
6.000%, due 11/20/09 ............................................ 574,829
2,000,000 US Bank NA/Cincinnati, OH
6.300%, due 02/04/14 ............................................ 2,172,144
1,450,000 Wells Fargo & Co.
5.250%, due 10/23/12 ............................................ 1,498,773
935,000 Western Union Co./The
5.930%, due 10/01/16 ............................................ 943,978
------------
18,611,101
------------
FOOD & DRUG RETAILERS - 0.41% 1,550,000 Medco Health Solutions,
Inc.
7.250%, due 08/15/13 ............................................ 1,662,519
------------
FORESTRY/PAPER - 0.23%
1,025,000 Westvaco Corp.
8.200%, due 01/15/30 ............................................ 905,490
------------
HEALTH CARE - 2.87%
3,950,000 Amgen, Inc.
5.850%, due 06/01/17 ............................................ 4,191,377
1,200,000 Eli Lilly & Co.
6.570%, due 01/01/16 ............................................ 1,293,168
740,000 Genentech, Inc.
5.250%, due 07/15/35 ............................................ 689,413
1,320,000 Merck & Co., Inc./NJ
5.750%, due 11/15/36 ............................................ 1,318,083
1,500,000 Quest Diagnostics, Inc./DE
5.450%, due 11/01/15 ............................................ 1,453,826
1,400,000 WellPoint, Inc.
5.000%, due 12/15/14 ............................................ 1,365,043
1,100,000 Wyeth
6.500%, due 02/01/34 ............................................ 1,215,520
------------
11,526,430
------------
INDUSTRIALS - 1.26%
350,000 Boeing Co./The
8.625%, due 11/15/31 ............................................ 436,513
620,000 Boeing Co./The
6.875%, due 10/15/43 ............................................ 636,109
515,000 DR Horton, Inc.
5.250%, due 02/15/15 ............................................ 427,450
310,000 EI Du Pont de Nemours & Co.
5.000%, due 01/15/13 ............................................ 325,902
780,000 Lockheed Martin Corp.
7.650%, due 05/01/16 ............................................ 914,613
1,150,000 Waste Management, Inc.
7.125%, due 12/15/17 ............................................ 1,146,690
1,170,000 WM Wrigley Jr. Co.
4.300%, due 07/15/10 ............................................ 1,167,075
------------
5,054,352
------------
MEDIA - 0.87%
1,780,000 Comcast Cable Communications
Holdings, Inc.
9.455%, due 11/15/22 ............................................ 2,081,080
1,315,000 Rogers Communications, Inc. (D)
6.250%, due 06/15/13 ............................................ 1,394,404
------------
3,475,484
------------
REAL ESTATE INVESTMENT TRUSTS - 1.04%
1,450,000 HCP, Inc.
6.700%, due 01/30/18 ............................................ 1,259,609
2,400,000 Nationwide Health Properties, Inc.,
Series D
8.250%, due 07/01/12 ............................................ 2,411,770
530,000 Simon Property Group L.P.
5.875%, due 03/01/17 ............................................ 486,618
------------
4,157,997
------------
TELECOMMUNICATIONS - 0.41%
960,000 Cisco Systems, Inc.
5.500%, due 02/22/16 ............................................ 1,017,015
795,000 Sprint Nextel Corp.
6.000%, due 12/01/16 ............................................ 649,913
------------
1,666,928
------------
TRANSPORTATION - 0.89%
1,365,000 Burlington Northern Santa Fe Corp.
8.125%, due 04/15/20 ............................................ 1,532,481
957,000 Norfolk Southern Corp.
5.590%, due 05/17/25 ............................................ 889,675
1,050,000 Norfolk Southern Corp.
7.050%, due 05/01/37 ............................................ 1,158,080
------------
3,580,236
------------
UTILITIES - 4.74%
2,000,000 Energy East Corp.
8.050%, due 11/15/10 ............................................ 2,116,238
1,555,000 Indianapolis Power & Light Co. (C)
6.050%, due 10/01/36 ............................................ 1,204,683
4,000,000 MidAmerican Energy Co.
5.650%, due 07/15/12 ............................................ 4,242,184
1,600,000 Nevada Power Co., Series R
6.750%, due 07/01/37 ............................................ 1,648,514
1,365,000 Pacific Gas & Electric Co.
6.050%, due 03/01/34 ............................................ 1,416,102
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
38
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
CORPORATE NOTES AND BONDS (CONTINUED)
- --------------------------------------------------------------------------------------------------
UTILITIES (CONTINUED)
$ 2,000,000 Progress Energy, Inc.
7.750%, due 03/01/31 ............................................ $ 2,349,676
474,000 Sierra Pacific Power Co., Series M
6.000%, due 05/15/16 ............................................ 480,035
1,500,000 Southern Power Co., Series B
6.250%, due 07/15/12 ............................................ 1,605,306
835,000 Southwestern Electric Power Co.,
Series E
5.550%, due 01/15/17 ............................................ 811,465
620,000 Virginia Electric and Power Co.
5.100%, due 11/30/12 ............................................ 655,145
2,400,000 Westar Energy, Inc.
6.000%, due 07/01/14 ............................................ 2,514,655
------------
19,044,003
------------
TOTAL CORPORATE NOTES AND BONDS
(Cost $88,700,034) .............................................. 83,754,853
MORTGAGE BACKED - 18.73%
- --------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE
CORP. - 2.21%
78,088 8.000%, due 06/01/30
Pool # C01005 ................................................... 85,893
358,287 6.500%, due 01/01/32
Pool # C62333 ................................................... 384,493
104,453 6.500%, due 03/01/32
Pool # C65648 ................................................... 111,962
3,628,742 5.000%, due 07/01/33
Pool # A11325 ................................................... 3,710,814
367,853 6.000%, due 10/01/34
Pool # A28439 ................................................... 386,367
309,418 6.000%, due 10/01/34
Pool # A28598 ................................................... 324,991
271,423 5.000%, due 04/01/35
Pool # A32314 ................................................... 277,137
546,494 5.000%, due 04/01/35
Pool # A32315 ................................................... 558,000
430,296 5.000%, due 04/01/35
Pool # A32316 ................................................... 439,356
245,678 5.000%, due 04/01/35
Pool # A32509 ................................................... 250,851
2,282,580 5.000%, due 01/01/37
Pool # A56371 ................................................... 2,326,716
------------
8,856,580
------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 16.48%
993,775 4.000%, due 04/01/15
Pool # 255719 ................................................... 1,005,849
1,087,110 5.500%, due 04/01/16
Pool # 745444 ................................................... 1,136,006
287,382 6.000%, due 05/01/16
Pool # 582558 ................................................... 306,403
1,745,043 5.000%, due 12/01/17
Pool # 672243 ................................................... 1,827,824
1,872,723 4.500%, due 09/01/20
Pool # 835465 ................................................... 1,931,168
338,832 6.000%, due 05/01/21
Pool # 253847 ................................................... 358,396
67,495 7.000%, due 12/01/29
Pool # 762813 ................................................... 74,230
192,293 7.000%, due 11/01/31
Pool # 607515 ................................................... 210,667
2,807 7.000%, due 04/01/32
Pool # 641518 ................................................... 3,072
207,616 7.000%, due 05/01/32
Pool # 644591 ................................................... 227,454
1,051,241 6.500%, due 06/01/32
Pool # 545691 ................................................... 1,129,447
894,668 6.500%, due 09/01/33
Pool # 737582 ................................................... 959,549
1,435,707 5.500%, due 10/01/33
Pool # 254904 ................................................... 1,489,756
5,112,525 5.500%, due 11/01/33
Pool # 555880 ................................................... 5,304,994
4,277,121 5.000%, due 05/01/34
Pool # 780890 ................................................... 4,372,521
40,484 7.000%, due 07/01/34
Pool # 792636 ................................................... 44,181
566,276 5.500%, due 08/01/34
Pool # 793647 ................................................... 587,241
2,935,606 5.500%, due 03/01/35
Pool # 815976 ................................................... 3,041,534
1,369,376 5.500%, due 07/01/35
Pool # 825283 ................................................... 1,418,788
878,748 5.500%, due 08/01/35
Pool # 826872 ................................................... 910,457
1,308,107 5.000%, due 09/01/35
Pool # 820347 ................................................... 1,336,466
1,383,663 5.000%, due 09/01/35
Pool # 835699 ................................................... 1,413,661
1,771,394 5.000%, due 10/01/35
Pool # 797669 ................................................... 1,809,798
1,868,172 5.500%, due 10/01/35
Pool # 836912 ................................................... 1,935,583
1,809,459 5.000%, due 12/01/35
Pool # 850561 ................................................... 1,848,688
3,493,616 5.500%, due 12/01/35
Pool # 844583 ................................................... 3,619,680
704,709 5.500%, due 02/01/36
Pool # 851330 ................................................... 730,137
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
39
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Value (Note 2)
- --------- --------------
MORTGAGE BACKED (CONTINUED)
- --------------------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(CONTINUED)
$ 2,492,677 5.500%, due 09/01/36
Pool # 831820 ................................................... $ 2,578,339
2,370,308 6.000%, due 09/01/36
Pool # 831741 ................................................... 2,482,944
628,924 5.500%, due 10/01/36
Pool # 896340 ................................................... 650,537
2,878,009 5.500%, due 10/01/36
Pool # 901723 ................................................... 2,976,913
2,027,878 6.500%, due 10/01/36
Pool # 894118 ................................................... 2,163,215
2,531,829 6.000%, due 11/01/36
Pool # 902510 ................................................... 2,674,490
2,860,940 5.500%, due 12/01/36
Pool # 902853 ................................................... 2,959,257
2,565,472 5.500%, due 12/01/36
Pool # 903059 ................................................... 2,653,635
2,296,525 5.500%, due 12/01/36
Pool # 907512 ................................................... 2,375,445
2,780,886 5.500%, due 12/01/36
Pool # 907635 ................................................... 2,876,452
2,614,080 6.000%, due 12/01/36
Pool # 903002 ................................................... 2,738,300
------------
66,163,077
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - 0.04%
161,607 6.500%, due 04/20/31
Pool # 003068 ................................................... 173,917
------------
TOTAL MORTGAGE BACKED
(Cost $72,061,041) .............................................. 75,193,574
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 15.20%
- --------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE
CORP. - 0.38%
1,400,000 4.500%, due 01/15/14 ............................................ 1,505,059
------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 0.19%
750,000 5.250%, due 08/01/12 ............................................ 779,325
------------
U.S. TREASURY BILLS - 0.76% (A)
3,050,000 0.010%, due 12/17/09 ............................................ 3,045,354
------------
U.S. TREASURY BONDS - 1.69%
5,270,000 6.625%, due 02/15/27 ............................................ 6,794,184
------------
U.S. TREASURY NOTES - 12.18%
1,850,000 3.875%, due 05/15/10 ............................................ 1,904,272
500,000 4.500%, due 11/15/10 ............................................ 525,918
2,050,000 0.875%, due 02/28/11 ............................................ 2,048,565
500,000 4.750%, due 03/31/11 ............................................ 532,949
3,900,000 4.875%, due 04/30/11 ............................................ 4,169,342
6,150,000 4.625%, due 12/31/11 ............................................ 6,646,803
1,125,000 1.375%, due 02/15/12 ............................................ 1,124,034
3,400,000 4.625%, due 02/29/12 ............................................ 3,684,485
1,312,000 1.375%, due 05/15/12 ............................................ 1,304,626
2,500,000 4.000%, due 11/15/12 ............................................ 2,679,492
1,980,000 3.625%, due 05/15/13 ............................................ 2,094,313
1,175,000 3.125%, due 08/31/13 ............................................ 1,217,319
4,810,000 4.000%, due 02/15/14 ............................................ 5,147,075
4,965,000 4.250%, due 08/15/14 ............................................ 5,354,445
3,550,000 4.500%, due 02/15/16 ............................................ 3,849,808
5,100,000 4.250%, due 11/15/17 ............................................ 5,409,187
1,300,000 2.750%, due 02/15/19 ............................................ 1,217,528
------------
48,910,161
------------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
(Cost $58,619,144) .............................................. 61,034,083
Share
- -----
INVESTMENT COMPANY - 4.18%
- --------------------------------------------------------------------------------------------------
16,784,897 SSgA Prime Money
Market Fund ..................................................... 16,784,897
------------
TOTAL INVESTMENT COMPANY
(Cost $16,784,897) .............................................. 16,784,897
TOTAL INVESTMENTS - 98.96%
- --------------------------------------------------------------------------------------------------
(Cost $419,394,335**) ......................................................... 397,295,997
NET OTHER ASSETS AND LIABILITIES - 1.04%
- --------------------------------------------------------------------------------------------------
4,169,089
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$401,465,086
- --------------------------------------------------------------------------------
** Aggregate cost for Federal tax purposes was $420,230,486.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
40
================================================================================
DIVERSIFIED INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(A) Rate noted represents annualized yield at time of purchase. (C) Security
sold within terms of a private placement memorandum exempt from
registration under section 144A of the Securities Act of 1933, as amended,
and may be sold only to dealers in that program or other "qualified
institutional investors." The securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(D) Notes and bonds, issued by foreign entities, denominated in U.S. dollars.
The aggregate of these securities is 0.66% of total net assets.
(E) In Default. Issuer is bankrupt.
(G) Floating rate or variable rate note. Rate shown is as of June 30, 2009. (M)
Stated interest rate is contingent upon sufficient collateral market value.
If collateral market value falls below a stated level, the issuer will
either initiate a clean-up call or increase the stated interest rate.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
41
================================================================================
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF SECTOR ALLOCATION]
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2009
Financials 24%
Energy 18%
Health Care 11%
Consumer Discretionary 8%
Industrials 8%
Utilities 7%
Consumer Staples 6%
Telecommunication Services 6%
Information Technology 5%
Cash and Other Net Assets 4%
Materials 3%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 96.67%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 8.05%
343,642 Comcast Corp., Class A .......................................... $ 4,979,373
105,400 Home Depot, Inc. ................................................ 2,490,602
91,800 Jarden Corp. * .................................................. 1,721,250
134,900 Johnson Controls, Inc. .......................................... 2,930,028
83,000 Kohl's Corp. * .................................................. 3,548,250
212,900 Lowe's Cos., Inc. ............................................... 4,132,389
86,600 Omnicom Group, Inc. ............................................. 2,734,828
70,000 Phillips-Van Heusen Corp. ....................................... 2,008,300
92,900 Snap-On, Inc. ................................................... 2,669,946
154,500 Staples, Inc. ................................................... 3,116,265
99,200 Target Corp. .................................................... 3,915,424
76,642 Time Warner Cable, Inc. ......................................... 2,427,252
149,833 Time Warner, Inc. ............................................... 3,774,293
216,400 Walt Disney Co./The ............................................. 5,048,612
------------
45,496,812
------------
CONSUMER STAPLES - 6.15%
41,900 Archer-Daniels-Midland Co. ...................................... 1,121,663
63,800 CVS Caremark Corp. .............................................. 2,033,306
55,500 General Mills, Inc. ............................................. 3,109,110
47,000 HJ Heinz Co. .................................................... 1,677,900
34,600 Kellogg Co. ..................................................... 1,611,322
210,257 Kraft Foods, Inc., Class A....................................... 5,327,912
40,400 Molson Coors Brewing Co.,
Class B ......................................................... 1,710,132
106,300 PepsiCo, Inc./NC ................................................ 5,842,248
163,400 Procter & Gamble Co./The ........................................ 8,349,740
81,600 Wal-Mart Stores, Inc. ........................................... 3,952,704
------------
34,736,037
------------
ENERGY - 18.14%
80,600 Anadarko Petroleum Corp. ........................................ 3,658,434
79,200 Apache Corp. .................................................... 5,714,280
288,046 Chevron Corp. ................................................... 19,083,047
227,900 ConocoPhillips .................................................. 9,585,474
87,900 Devon Energy Corp. .............................................. 4,790,550
53,000 EOG Resources, Inc. ............................................. 3,599,760
460,400 Exxon Mobil Corp. ............................................... 32,186,564
151,500 Marathon Oil Corp. .............................................. 4,564,695
104,200 Occidental Petroleum Corp. ...................................... 6,857,402
81,800 Schlumberger, Ltd. .............................................. 4,426,198
57,600 Valero Energy Corp. ............................................. 972,864
107,200 Weatherford International,
Ltd. * .......................................................... 2,096,832
130,500 XTO Energy, Inc. ................................................ 4,977,270
------------
102,513,370
------------
FINANCIALS - 24.19%
79,126 Allstate Corp./The .............................................. 1,930,674
92,200 American Express Co. ............................................ 2,142,728
81,200 AON Corp. ....................................................... 3,075,044
35,700 Arch Capital Group, Ltd. * ...................................... 2,091,306
1,116,642 Bank of America Corp. ........................................... 14,739,674
186,600 Bank of New York Mellon
Corp./The ....................................................... 5,469,246
105,400 BB&T Corp. ...................................................... 2,316,692
18,600 BlackRock, Inc. ................................................. 3,262,812
66,600 Capital One Financial Corp. ..................................... 1,457,208
52,000 Chubb Corp. ..................................................... 2,073,760
759,414 Citigroup, Inc. ................................................. 2,255,460
66,700 Equity Residential, REIT ........................................ 1,482,741
71,400 Goldman Sachs Group, Inc./
The ............................................................. 10,527,216
112,100 Hartford Financial Services
Group, Inc. ..................................................... 1,330,627
578,588 JPMorgan Chase & Co. ............................................ 19,735,637
91,200 Keycorp ......................................................... 477,888
75,300 Marsh & McLennan Cos., Inc. ..................................... 1,515,789
175,400 MetLife, Inc. ................................................... 5,263,754
153,800 Morgan Stanley................................................... 4,384,838
127,700 PNC Financial Services Group,
Inc. ............................................................ 4,956,037
128,100 Prudential Financial, Inc. ...................................... 4,767,882
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
42
================================================================================
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
FINANCIALS (CONTINUED)
113,900 Regions Financial Corp. ......................................... $ 460,156
39,115 Simon Property Group,
Inc., REIT ...................................................... 2,011,685
129,200 State Street Corp. .............................................. 6,098,240
47,900 Suntrust Banks, Inc. ............................................ 787,955
199,300 Travelers Cos., Inc./The ........................................ 8,179,272
55,200 Unum Group ...................................................... 875,472
297,200 US Bancorp ..................................................... 5,325,824
74,881 Vornado Realty Trust, REIT ...................................... 3,371,891
590,100 Wells Fargo & Co. ............................................... 14,315,826
------------
136,683,334
------------
HEALTH CARE - 11.25%
69,500 CIGNA Corp. ..................................................... 1,674,255
42,675 Covidien PLC .................................................... 1,597,752
53,000 Eli Lilly & Co. ................................................. 1,835,920
157,700 Johnson & Johnson ............................................... 8,957,360
106,600 Life Technologies Corp. * ....................................... 4,447,352
237,900 Merck & Co., Inc./NJ ............................................ 6,651,684
1,331,800 Pfizer, Inc. .................................................... 19,977,000
82,400 Thermo Fisher Scientific, Inc. * ................................ 3,359,448
168,000 UnitedHealth Group, Inc. ........................................ 4,196,640
57,500 WellPoint, Inc. * ............................................... 2,926,175
174,700 Wyeth ........................................................... 7,929,633
------------
63,553,219
------------
INDUSTRIALS - 8.21%
80,000 CSX Corp. ....................................................... 2,770,400
83,900 Deere & Co. ..................................................... 3,351,805
43,500 Emerson Electric Co. ............................................ 1,409,400
37,300 FedEx Corp. ..................................................... 2,074,626
1,518,600 General Electric Co. ............................................ 17,797,992
45,200 Illinois Tool Works, Inc. ....................................... 1,687,768
43,200 L-3 Communications
Holdings, Inc. .................................................. 2,997,216
89,100 Norfolk Southern Corp. .......................................... 3,356,397
116,000 Raytheon Co. .................................................... 5,153,880
62,700 Tyco International, Ltd. ........................................ 1,628,946
55,300 United Technologies Corp. ....................................... 2,873,388
46,700 Waste Management, Inc. .......................................... 1,315,072
------------
46,416,890
------------
INFORMATION TECHNOLOGY - 5.17%
31,600 Affiliated Computer Services,
Inc., Class A * ................................................. 1,403,672
181,600 Cisco Systems, Inc. *............................................ 3,385,024
233,800 EMC Corp./Massachusetts * ....................................... 3,062,780
51,535 Hewlett-Packard Co. ............................................. 1,991,828
310,400 Intel Corp. ..................................................... 5,137,120
37,500 International Business
Machines Corp. .................................................. 3,915,750
102,400 Kla-Tencor Corp. ................................................ 2,585,600
153,000 Maxim Integrated Products,
Inc. ............................................................ 2,400,570
60,000 Novellus Systems, Inc. * ........................................ 1,002,000
130,600 Symantec Corp. * ................................................ 2,032,136
107,500 Texas Instruments, Inc. ......................................... 2,289,750
------------
29,206,230
------------
MATERIALS - 3.31%
45,800 Air Products & Chemicals, Inc. .................................. 2,958,222
162,900 EI Du Pont de Nemours & Co. ..................................... 4,173,498
87,896 Freeport-McMoRan Copper &
Gold, Inc. ...................................................... 4,404,469
113,000 Nucor Corp. ..................................................... 5,020,590
69,600 Weyerhaeuser Co. ................................................ 2,117,928
18,674,707
TELECOMMUNICATION SERVICES - 5.73%
798,287 AT&T, Inc. ...................................................... 19,829,449
245,800 Sprint Nextel Corp. * ........................................... 1,182,298
369,335 Verizon Communications, Inc. .................................... 11,349,665
------------
32,361,412
------------
UTILITIES - 6.47%
83,300 American Electric Power Co.,
Inc. ............................................................ 2,406,537
184,900 Duke Energy Corp. ............................................... 2,697,691
84,900 Edison International ............................................ 2,670,954
55,900 Exelon Corp. .................................................... 2,862,639
55,400 FirstEnergy Corp. ............................................... 2,146,750
86,500 FPL Group, Inc. ................................................. 4,918,390
57,100 NSTAR ........................................................... 1,833,481
93,600 PG&E Corp. ...................................................... 3,597,984
90,600 Public Service Enterprise
Group, Inc. ..................................................... 2,956,278
18,000 Questar Corp. ................................................... 559,080
95,300 Sempra Energy ................................................... 4,729,739
166,700 Southern Co./The ................................................ 5,194,372
------------
36,573,895
------------
TOTAL COMMON STOCKS
(Cost $630,236,573) ............................................. 546,215,906
INVESTMENT COMPANIES - 3.01%
- --------------------------------------------------------------------------------------------------
274,000 Consumer Discretionary Select
Sector SPDR Fund ETF ............................................ 6,323,920
315,000 Industrial Select Sector
SPDR Fund ETF ................................................... 6,917,400
3,777,149 SSgA Prime Money Market
Fund ............................................................ 3,777,149
------------
TOTAL INVESTMENT COMPANIES
(Cost $16,323,707) .............................................. 17,018,469
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
43
================================================================================
LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Value (Note 2)
--------------
TOTAL INVESTMENTS - 99.68%
- --------------------------------------------------------------------------------------------------
(Cost $646,560,280**) ......................................................... $563,234,375
NET OTHER ASSETS AND LIABILITIES - 0.32%
- --------------------------------------------------------------------------------------------------
1,829,914
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$565,064,289
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $648,765,203.
ETF Exchange Traded Fund.
PLC Public Limited Company.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
44
================================================================================
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF SECTOR ALLOCATION]
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2009
Information Technology 32%
Health Care 16%
Consumer Staples 14%
Consumer Discretionary 10%
Industrials 9%
Energy 6%
Financials 6%
Materials 4%
Cash and Other Net Assets 1%
Telecommunication Services 1%
Utilities 1%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 98.88%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 10.37%
33,400 Amazon.com, Inc. * .............................................. $ 2,794,244
3,200 AutoZone, Inc. * ................................................ 483,552
39,700 Coach, Inc. ..................................................... 1,067,136
64,300 Comcast Corp., Class A .......................................... 931,707
15,400 GameStop Corp., Class A * ....................................... 338,954
26,300 Kohl's Corp. * .................................................. 1,124,325
29,300 Mastercard, Inc., Class A ....................................... 4,902,183
143,700 McDonald's Corp. ................................................ 8,261,313
27,700 NIKE, Inc., Class B ............................................. 1,434,306
47,100 Staples, Inc. ................................................... 950,007
73,200 Starbucks Corp. * ............................................... 1,016,748
112,500 Target Corp. .................................................... 4,440,375
34,800 TJX Cos., Inc. .................................................. 1,094,808
133,200 Visa, Inc., Class A ............................................. 8,293,032
116,500 Yum! Brands, Inc. ............................................... 3,884,110
------------
41,016,800
------------
CONSUMER STAPLES - 14.02%
131,200 Coca-Cola Co./The ............................................... 6,296,288
55,100 Colgate-Palmolive Co. ........................................... 3,897,774
120,800 Kellogg Co. ..................................................... 5,625,656
87,800 Lorillard, Inc. ................................................. 5,950,206
145,400 PepsiCo, Inc./NC ................................................ 7,991,184
190,900 Procter & Gamble Co./The ........................................ 9,754,990
166,500 Walgreen Co. .................................................... 4,895,100
228,100 Wal-Mart Stores, Inc. ........................................... 11,049,164
------------
55,460,362
------------
ENERGY - 5.82%
53,200 Cameron International Corp. * ................................... 1,505,560
16,400 Diamond Offshore Drilling, Inc. ................................. 1,362,020
92,900 National Oilwell Varco, Inc. * .................................. 3,034,114
46,700 Peabody Energy Corp. ............................................ 1,408,472
232,500 PetroHawk Energy Corp. * ........................................ 5,184,750
46,400 Range Resources Corp. ........................................... 1,921,424
60,600 Southwestern Energy Co. * ....................................... 2,354,310
225,100 Weatherford International,
Ltd. * .......................................................... 4,402,956
47,766 XTO Energy, Inc. ................................................ 1,821,795
------------
22,995,401
------------
FINANCIALS - 5.44%
37,300 Aflac, Inc. ..................................................... 1,159,657
464,388 Axis Capital Holdings, Ltd. ..................................... 12,157,678
22,200 IntercontinentalExchange,
Inc. * .......................................................... 2,536,128
37,100 Northern Trust Corp. ............................................ 1,991,528
47,900 State Street Corp. .............................................. 2,260,880
58,500 Wells Fargo & Co. ............................................... 1,419,210
------------
21,525,081
------------
HEALTH CARE - 15.89%
126,600 Abbott Laboratories ............................................. 5,955,264
26,000 Allergan, Inc./United States .................................... 1,237,080
35,400 Celgene Corp. * ................................................. 1,693,536
148,600 CIGNA Corp. ..................................................... 3,579,774
25,400 Genzyme Corp. *.................................................. 1,414,018
120,900 Gilead Sciences, Inc. * ......................................... 5,662,956
6,800 Intuitive Surgical, Inc. *....................................... 1,112,888
178,100 Johnson & Johnson................................................ 10,116,080
47,600 Life Technologies Corp. * ....................................... 1,985,872
85,700 Medco Health Solutions, Inc. * .................................. 3,908,777
210,000 Roche Holding AG, ADR ........................................... 7,163,100
170,381 Schering-Plough Corp. ........................................... 4,279,971
74,900 St. Jude Medical, Inc. *......................................... 3,078,390
381,300 UnitedHealth Group, Inc. ........................................ 9,524,874
59,900 Vertex Pharmaceuticals, Inc. * .................................. 2,134,836
------------
62,847,416
------------
INDUSTRIALS - 9.18%
85,900 Boeing Co./The .................................................. 3,650,750
23,100 CH Robinson Worldwide, Inc. 1,204,665
33,300 Deere & Co. ..................................................... 1,330,335
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
45
================================================================================
LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INDUSTRIALS (CONTINUED)
12,400 Dun & Bradstreet Corp. .......................................... $ 1,007,004
16,500 Expeditors International of
Washington, Inc. ................................................ 550,110
33,600 Flowserve Corp. ................................................. 2,345,616
174,000 Honeywell International, Inc. ................................... 5,463,600
60,300 ITT Corp. ....................................................... 2,683,350
25,900 Lockheed Martin Corp. ........................................... 2,088,835
214,600 Quanta Services, Inc. * ......................................... 4,963,698
103,600 Raytheon Co. .................................................... 4,602,948
143,800 Tyco International, Ltd. ........................................ 3,735,924
53,900 United Parcel Service, Inc.,
Class B ......................................................... 2,694,461
------------
36,321,296
------------
INFORMATION TECHNOLOGY - 32.18%
113,000 Accenture, Ltd., Class A ........................................ 3,780,980
41,800 Adobe Systems, Inc. * ........................................... 1,182,940
31,000 Altera Corp. .................................................... 504,680
77,300 Apple, Inc. * ................................................... 11,009,839
38,700 BMC Software, Inc. * ............................................ 1,307,673
552,700 Cisco Systems, Inc. * ........................................... 10,302,328
54,700 Citrix Systems, Inc. * .......................................... 1,744,383
139,000 Corning, Inc. ................................................... 2,232,340
206,500 Dell, Inc. * .................................................... 2,835,245
139,800 Electronic Arts, Inc. * ......................................... 3,036,456
414,800 EMC Corp./Massachusetts * ....................................... 5,433,880
11,400 First Solar, Inc. * ............................................. 1,848,168
29,800 Google, Inc., Class A* .......................................... 12,563,382
55,400 Hewlett-Packard Co. ............................................. 2,141,210
602,000 Intel Corp. ..................................................... 9,963,100
128,300 International Business
Machines Corp. .................................................. 13,397,086
646,100 Microsoft Corp. ................................................. 15,357,797
102,600 Novellus Systems, Inc. * ........................................ 1,713,420
325,600 Oracle Corp. .................................................... 6,974,352
181,600 Paychex, Inc. ................................................... 4,576,320
152,600 QUALCOMM, Inc. .................................................. 6,897,520
45,900 Salesforce.com, Inc. * .......................................... 1,752,003
151,500 Texas Instruments, Inc. ......................................... 3,226,950
69,600 Varian Semiconductor
Equipment Associates, Inc. * .................................... 1,669,704
116,400 Yahoo!, Inc. * .................................................. 1,822,824
------------
127,274,580
------------
MATERIALS - 3.81%
60,400 Agnico-Eagle Mines, Ltd. ........................................ 3,169,792
75,900 Ecolab, Inc. .................................................... 2,959,341
26,400 Monsanto Co. .................................................... 1,962,576
70,276 Nucor Corp. ..................................................... 3,122,362
54,300 Praxair, Inc. ................................................... 3,859,101
------------
15,073,172
------------
TELECOMMUNICATION SERVICES - 0.81%
167,100 NII Holdings, Inc. * ............................................ 3,186,597
------------
UTILITIES - 1.36%
94,400 FPL Group, Inc. ................................................. 5,367,584
------------
TOTAL COMMON STOCKS
(Cost $369,607,641) ............................................. 391,068,289
INVESTMENT COMPANY - 2.36%
- --------------------------------------------------------------------------------------------------
9,352,253 SSgA Prime Money
Market Fund ..................................................... 9,352,253
------------
TOTAL INVESTMENT COMPANY
(Cost $9,352,253) ............................................... 9,352,253
TOTAL INVESTMENTS - 101.24%
- --------------------------------------------------------------------------------------------------
(Cost $378,959,894**) ......................................................... 400,420,542
NET OTHER ASSETS AND LIABILITIES - (1.24)%
- --------------------------------------------------------------------------------------------------
(4,902,665)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$395,517,877
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $384,403,247.
ADR American Depositary Receipt.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
46
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF SECTOR ALLOCATION]
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2009
Financials 23%
Industrials 12%
Consumer Discretionary 11%
Utilities 11%
Energy 9%
Information Technology 9%
Consumer Staples 7%
Health Care 6%
Materials 6%
Cash and Other Net Assets 4%
Telecommunication Services 2%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 96.21%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 10.90%
32,600 Arbitron, Inc. .................................................. $ 518,014
8,200 AutoZone, Inc. * ................................................ 1,239,102
6,300 Bally Technologies, Inc. * ...................................... 188,496
41,300 Big Lots, Inc. * ................................................ 868,539
33,000 Cablevision Systems Corp.,
Class A ......................................................... 640,530
47,000 Cato Corp./The, Class A ......................................... 819,680
12,400 CEC Entertainment, Inc. * ....................................... 365,552
17,700 Choice Hotels International,
Inc. ............................................................ 470,997
50,400 GameStop Corp., Class A * ....................................... 1,109,304
17,700 Hibbett Sports, Inc. * .......................................... 318,600
140,400 Interpublic Group of Cos., Inc. * ............................... 709,020
48,700 Jarden Corp. * .................................................. 913,125
35,400 JC Penney Co., Inc. ............................................. 1,016,334
43,400 Mattel, Inc. .................................................... 696,570
13,400 Matthews International Corp.,
Class A ......................................................... 417,008
16,500 O'Reilly Automotive, Inc. * ..................................... 628,320
96,100 Pulte Homes, Inc. ............................................... 848,563
32,300 Scripps Networks Interactive,
Inc., Class A ................................................... 898,909
42,300 Snap-On, Inc. ................................................... 1,215,702
36,600 Sonic Corp. * ................................................... 367,098
68,600 Stage Stores, Inc. .............................................. 761,460
53,900 TJX Cos., Inc. .................................................. 1,695,694
19,400 Valassis Communications, Inc. * ................................. 118,534
12,300 VF Corp. ........................................................ 680,805
------------
17,505,956
------------
CONSUMER STAPLES - 6.56%
18,300 Bunge, Ltd. ..................................................... 1,102,575
15,200 Casey's General Stores, Inc. .................................... 390,488
71,300 ConAgra Foods, Inc. ............................................. 1,358,978
23,900 Herbalife, Ltd. ................................................. 753,806
16,900 Hormel Foods Corp. .............................................. 583,726
26,400 Lance, Inc. ..................................................... 610,632
29,400 Molson Coors Brewing Co.,
Class B ......................................................... 1,244,502
9,000 Ralcorp Holdings, Inc. * ........................................ 548,280
40,500 Safeway, Inc. ................................................... 824,985
131,800 Sara Lee Corp. .................................................. 1,286,368
59,800 Tyson Foods, Inc., Class A ...................................... 754,078
22,400 Wal-Mart Stores, Inc. ........................................... 1,085,056
------------
10,543,474
------------
ENERGY - 9.49%
102,000 Denbury Resources, Inc. * ....................................... 1,502,460
187,400 El Paso Corp. ................................................... 1,729,702
70,500 Forest Oil Corp. * .............................................. 1,051,860
52,100 Helmerich & Payne, Inc. ......................................... 1,608,327
11,500 Murphy Oil Corp. ................................................ 624,680
35,500 Noble Corp. ..................................................... 1,073,875
37,400 Noble Energy, Inc. .............................................. 2,205,478
15,500 Penn Virginia Corp. ............................................. 253,735
71,700 PetroHawk Energy Corp. * ........................................ 1,598,910
21,000 Plains Exploration &
Production Co. * ................................................ 574,560
4,800 SEACOR Holdings, Inc. * ......................................... 361,152
43,200 Smith International, Inc. ....................................... 1,112,400
19,600 St. Mary Land &
Exploration Co. ................................................. 409,052
58,200 Tesoro Corp. .................................................... 740,886
11,300 Whiting Petroleum Corp. * ....................................... 397,308
------------
15,244,385
------------
FINANCIALS - 23.09%
1,268 Alleghany Corp. * ............................................... 343,628
27,500 Ameriprise Financial, Inc. ...................................... 667,425
100,500 Annaly Capital Management,
Inc., REIT ...................................................... 1,521,570
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
47
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
FINANCIALS (CONTINUED)
53,700 AON Corp. ....................................................... $ 2,033,619
25,700 Arch Capital Group, Ltd. * ...................................... 1,505,506
53,699 Ares Capital Corp. .............................................. 432,814
65,676 Associated Banc-Corp. ........................................... 820,950
43,700 Assurant, Inc. .................................................. 1,052,733
26,800 Assured Guaranty, Ltd. .......................................... 331,784
22,434 AvalonBay Communities, Inc.,
REIT ............................................................ 1,254,958
57,700 Axis Capital Holdings, Ltd. ..................................... 1,510,586
11,900 BlackRock, Inc. ................................................. 2,087,498
14,800 Credit Acceptance Corp. * ....................................... 323,380
19,100 Cullen/Frost Bankers, Inc. ...................................... 880,892
38,950 Delphi Financial Group, Inc.,
Class A ......................................................... 756,798
27,600 DiamondRock Hospitality Co.,
REIT ............................................................ 172,776
50,400 Equity Residential, REIT ........................................ 1,120,392
16,168 Everest Re Group, Ltd. .......................................... 1,157,144
113,100 Fifth Third Bancorp ............................................. 803,010
13,100 Financial Federal Corp. ......................................... 269,205
32,600 First Midwest Bancorp, Inc./IL................................... 238,306
31,850 International Bancshares Corp. .................................. 328,373
13,200 IPC Holdings, Ltd. .............................................. 360,888
56,700 JPMorgan Chase & Co. ............................................ 1,934,037
166,600 Keycorp ......................................................... 872,984
10,600 Mack-Cali Realty Corp., REIT .................................... 241,680
52,900 Marsh & McLennan Cos., Inc. ..................................... 1,064,877
19,200 MB Financial, Inc. .............................................. 195,648
17,738 NewAlliance Bancshares, Inc. .................................... 203,987
22,900 NYSE Euronext ................................................... 624,025
53,200 People's United Financial, Inc. ................................. 800,128
21,200 Platinum Underwriters Holdings,
Ltd. ............................................................ 606,108
54,100 Progressive Corp./The * ......................................... 817,451
72,000 ProLogis, REIT .................................................. 580,320
4,600 PS Business Parks, Inc., REIT ................................... 222,824
26,800 Realty Income Corp., REIT ...................................... 587,456
18,400 Reinsurance Group of America,
Inc. ............................................................ 642,344
34,000 State Street Corp. .............................................. 1,604,800
72,000 Suntrust Banks, Inc. ............................................ 1,184,400
131,100 Unum Group ...................................................... 2,079,246
9,000 Ventas, Inc., REIT .............................................. 268,740
34,027 Vornado Realty Trust, REIT ...................................... 1,532,236
44,200 Webster Financial Corp. ......................................... 355,810
6,400 Westamerica Bancorporation ...................................... 317,504
33,100 XL Capital, Ltd., Class A ....................................... 379,326
------------
37,090,166
------------
HEALTH CARE - 6.06%
23,400 Amsurg Corp. * .................................................. 501,696
23,200 Centene Corp. * ................................................. 463,536
19,200 Charles River Laboratories
International, Inc. * ........................................... 648,000
65,900 CIGNA Corp. ..................................................... 1,587,531
27,700 Community Health Systems,
Inc. * .......................................................... 699,425
40,200 Forest Laboratories, Inc. * ..................................... 1,009,422
85,000 Hologic, Inc. * ................................................. 1,209,550
47,870 Life Technologies Corp. * ....................................... 1,997,136
74,900 Mylan, Inc./PA * ................................................ 977,445
4,700 Orthofix International N.V. * ................................... 117,547
59,800 Universal American Corp./NY * ................................... 521,456
------------
9,732,744
------------
INDUSTRIALS - 11.95%
72,400 ACCO Brands Corp. * ............................................. 204,168
13,000 Acuity Brands, Inc. ............................................. 364,650
38,900 Albany International Corp.,
Class A ......................................................... 442,682
47,025 Belden, Inc. .................................................... 785,318
44,600 Carlisle Cos., Inc. ............................................. 1,072,184
6,200 Copart, Inc. * .................................................. 214,954
24,300 Danaher Corp. ................................................... 1,500,282
15,400 Dun & Bradstreet Corp. .......................................... 1,250,634
6,340 ESCO Technologies, Inc. * ....................................... 284,032
3,600 Flowserve Corp. ................................................. 251,316
26,600 GATX Corp. ...................................................... 684,152
18,687 Genesee & Wyoming, Inc.,
Class A * ....................................................... 495,392
16,900 Graco, Inc. ..................................................... 372,138
28,100 ITT Corp. ....................................................... 1,250,450
13,300 Kirby Corp. * ................................................... 422,807
26,900 L-3 Communications Holdings,
Inc. ............................................................ 1,866,322
28,000 Mueller Industries, Inc. ........................................ 582,400
19,200 Norfolk Southern Corp. .......................................... 723,264
54,700 Quanta Services, Inc. * ......................................... 1,265,211
34,500 Raytheon Co. .................................................... 1,532,835
51,300 Republic Services, Inc. ......................................... 1,252,233
10,300 Simpson Manufacturing Co.,
Inc. ............................................................ 222,686
56,700 Tyco International, Ltd. ........................................ 1,473,066
19,500 United Stationers, Inc. * ....................................... 680,160
------------
19,193,336
------------
INFORMATION TECHNOLOGY - 9.03%
33,400 Affiliated Computer Services,
Inc., Class A * ................................................. 1,483,628
64,700 Arrow Electronics, Inc. * ....................................... 1,374,228
178,400 Brocade Communications
Systems, Inc. * ................................................. 1,395,088
25,500 Diebold, Inc. ................................................... 672,180
33,300 Electronics for Imaging, Inc. * ................................. 354,978
12,100 Fiserv, Inc. * .................................................. 552,970
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
48
================================================================================
MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY (CONTINUED)
39,700 Kla-Tencor Corp. ................................................ $ 1,002,425
125,300 Maxim Integrated Products, Inc. ................................. 1,965,957
17,900 MAXIMUS, Inc. ................................................... 738,375
165,600 Micron Technology, Inc. * ....................................... 837,936
63,100 Sun Microsystems, Inc. * ........................................ 581,782
69,000 Synopsys, Inc. * ................................................ 1,346,190
20,300 Teradata Corp. * ................................................ 475,629
34,300 Websense, Inc. * ................................................ 611,912
91,300 Xerox Corp. ..................................................... 591,624
21,900 Zebra Technologies Corp.,
Class A * ....................................................... 518,154
------------
14,503,056
------------
MATERIALS - 5.90%
17,400 Air Products & Chemicals, Inc. .................................. 1,123,866
14,700 Aptargroup, Inc. ................................................ 496,419
12,200 Deltic Timber Corp. ............................................. 432,734
28,700 Ecolab, Inc. .................................................... 1,119,013
38,020 EI Du Pont de Nemours & Co. ..................................... 974,073
9,827 FMC Corp. ....................................................... 464,817
24,565 Freeport-McMoRan Copper &
Gold, Inc. ...................................................... 1,230,952
27,800 Nucor Corp. ..................................................... 1,235,154
71,100 Pactiv Corp. * .................................................. 1,542,870
28,300 Weyerhaeuser Co. ................................................ 861,169
------------
9,481,067
------------
TELECOMMUNICATION SERVICES - 2.12%
65,100 Crown Castle International
Corp. * ......................................................... 1,563,702
28,300 Embarq Corp. .................................................... 1,190,298
155,300 Qwest Communications
International, Inc. ............................................. 644,495
------------
3,398,495
------------
UTILITIES - 11.11%
24,600 Ameren Corp. .................................................... 612,294
13,800 Atmos Energy Corp. .............................................. 345,552
26,900 Consolidated Edison, Inc. ....................................... 1,006,598
59,800 Edison International ............................................ 1,881,308
8,500 New Jersey Resources Corp. ...................................... 314,840
31,600 NRG Energy, Inc. * .............................................. 820,336
46,700 NSTAR ........................................................... 1,499,537
32,100 Oneok, Inc. ..................................................... 946,629
57,900 Progress Energy, Inc. ........................................... 2,190,357
31,300 Questar Corp. ................................................... 972,178
47,800 Sempra Energy ................................................... 2,372,314
20,800 UGI Corp. ....................................................... 530,192
19,500 Unisource Energy Corp. .......................................... 517,530
26,000 Westar Energy, Inc. ............................................. 488,020
11,000 WGL Holdings, Inc. .............................................. 352,220
26,200 Wisconsin Energy Corp. .......................................... 1,066,602
104,300 Xcel Energy, Inc. ............................................... 1,920,163
------------
17,836,670
------------
TOTAL COMMON STOCKS
(Cost $167,856,335) ............................................. 154,529,349
</table><table>
Par Value
- ---------
CERTIFICATE OF DEPOSIT - 1.07%
- --------------------------------------------------------------------------------------------------
$1,714,875 State Street Eurodollar
0.010%, due 07/01/09 ............................................ 1,714,875
------------
TOTAL CERTIFICATE OF DEPOSIT
(Cost $1,714,875) ............................................... 1,714,875
------------
</table><table>
Shares
- ------
INVESTMENT COMPANIES - 4.73%
- --------------------------------------------------------------------------------------------------
24,300 SPDR S&P Homebuilders ETF ....................................... 285,525
7,304,830 SSgA Prime Money Market
Fund ............................................................ 7,304,830
------------
TOTAL INVESTMENT COMPANIES
(Cost $7,613,133) ............................................... 7,590,355
TOTAL INVESTMENTS - 102.01%
- --------------------------------------------------------------------------------------------------
(Cost $177,184,343**) ......................................................... 163,834,579
NET OTHER ASSETS AND LIABILITIES - (2.01)%
- --------------------------------------------------------------------------------------------------
(3,225,197)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$160,609,382
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $179,980,322.
ETF Exchange Traded Fund.
REIT Real Estate Investment Trust
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
49
================================================================================
MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF SECTOR ALLOCATION]
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2009
Information Technology 25%
Industrials 19%
Consumer Discretionary 18%
Health Care 12%
Energy 9%
Financials 6%
Materials 5%
Consumer Staples 3%
Cash & Other Net Assets 2%
Telecommunication Services 1%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 98.32%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 17.97%
55,000 Aeropostale, Inc. * ............................................. $ 1,884,850
144,382 Buckle, Inc./The................................................. 4,587,016
100,800 Coach, Inc. ..................................................... 2,709,504
119,540 GameStop Corp., Class A * ....................................... 2,631,075
77,600 Guess?, Inc. .................................................... 2,000,528
68,195 Gymboree Corp. * ................................................ 2,419,559
29,400 ITT Educational Services, Inc. * ................................ 2,959,404
195,700 Nordstrom, Inc. ................................................. 3,892,473
5,100 NVR, Inc. * ..................................................... 2,562,189
70,100 O'Reilly Automotive, Inc. * ..................................... 2,669,408
18,300 priceline.com, Inc. * ........................................... 2,041,365
42,004 Steiner Leisure, Ltd. * ......................................... 1,282,382
117,779 True Religion Apparel, Inc. * ................................... 2,626,472
67,600 Yum! Brands, Inc. ............................................... 2,253,784
------------
36,520,009
------------
CONSUMER STAPLES - 3.33%
105,800 BJ's Wholesale Club, Inc. * ..................................... 3,409,934
84,000 Herbalife, Ltd. ................................................. 2,649,360
54,600 SUPERVALU, Inc. ................................................. 707,070
------------
6,766,364
------------
ENERGY - 9.48%
220,500 Atwood Oceanics, Inc. * ......................................... 5,492,655
59,000 Consol Energy, Inc. ............................................. 2,003,640
126,400 Noble Corp. ..................................................... 3,823,600
56,000 Noble Energy, Inc. .............................................. 3,302,320
48,900 Ultra Petroleum Corp. * ......................................... 1,907,100
78,100 Whiting Petroleum Corp. * ....................................... 2,745,996
------------
19,275,311
------------
FINANCIALS - 6.45%
120,100 Aflac, Inc. ..................................................... 3,733,909
125,400 Ameriprise Financial, Inc. ...................................... 3,043,458
363,245 Assured Guaranty, Ltd. .......................................... 4,496,973
154,000 Hartford Financial Services
Group, Inc. ..................................................... 1,827,980
------------
13,102,320
------------
HEALTH CARE - 11.87%
55,500 Amedisys, Inc. * ................................................ 1,832,610
25,900 Beckman Coulter, Inc. ........................................... 1,479,926
64,500 Cephalon, Inc. * ................................................ 3,653,925
57,239 China Medical Technologies,
Inc., ADR ....................................................... 1,139,629
33,200 Hospira, Inc. * ................................................. 1,278,864
121,600 Humana, Inc. * .................................................. 3,922,816
78,267 Life Technologies Corp. * ....................................... 3,265,299
107,900 Psychiatric Solutions, Inc. * ................................... 2,453,646
48,100 St. Jude Medical, Inc. * ........................................ 1,976,910
60,800 Waters Corp. * .................................................. 3,129,376
------------
24,133,001
------------
INDUSTRIALS - 19.07%
117,000 BE Aerospace, Inc. * ............................................ 1,680,120
175,500 DynCorp International, Inc.,
Class A * ....................................................... 2,946,645
73,300 Flowserve Corp. ................................................. 5,117,073
38,200 Fluor Corp. ..................................................... 1,959,278
172,188 Herman Miller, Inc. ............................................. 2,641,364
102,649 HUB Group, Inc., Class A * ...................................... 2,118,675
38,400 Joy Global, Inc. ................................................ 1,371,648
57,000 Precision Castparts Corp. ....................................... 4,162,710
88,800 Robbins & Myers, Inc. ........................................... 1,709,400
80,200 Teledyne Technologies, Inc. * ................................... 2,626,550
136,400 Thomas & Betts Corp. * .......................................... 3,936,504
59,600 Valmont Industries, Inc. ........................................ 4,295,968
167,700 WESCO International, Inc. * ..................................... 4,199,208
------------
38,765,143
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
50
================================================================================
MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY - 24.54%
162,900 Akamai Technologies, Inc. * ..................................... $ 3,124,422
172,400 Alliance Data Systems Corp. * ................................... 7,101,156
129,900 Amdocs, Ltd. * .................................................. 2,786,355
38,200 Amphenol Corp., Class A ......................................... 1,208,648
87,400 Atheros Communications, Inc. * .................................. 1,681,576
61,400 BMC Software, Inc. * ............................................ 2,074,706
54,500 Broadcom Corp., Class A * ....................................... 1,351,055
519,000 Brocade Communications
Systems, Inc. * ................................................. 4,058,580
114,400 Cognizant Technology Solutions
Corp., Class A* ................................................. 3,054,480
97,100 Juniper Networks, Inc. * ........................................ 2,291,560
60,600 Mantech International Corp. * ................................... 2,608,224
197,600 Maxim Integrated Products, Inc. ................................. 3,100,344
156,700 NetApp, Inc. * .................................................. 3,090,124
230,600 Perot Systems Corp., Class A * .................................. 3,304,498
153,600 Polycom, Inc. * ................................................. 3,113,472
104,000 VeriSign, Inc. * ................................................ 1,921,920
244,600 Western Union Co./The ........................................... 4,011,440
------------
49,882,560
------------
MATERIALS - 4.95%
106,200 Cliffs Natural Resources, Inc. .................................. 2,598,714
229,406 Pactiv Corp. * .................................................. 4,978,110
168,800 Steel Dynamics, Inc. ............................................ 2,486,424
------------
10,063,248
------------
TELECOMMUNICATION SERVICES - 0.66%
100,900 MetroPCS Communications,
Inc. * .......................................................... 1,342,979
------------
TOTAL COMMON STOCKS
(Cost $181,016,618) ............................................. 199,850,935
INVESTMENT COMPANY - 1.60%
- --------------------------------------------------------------------------------------------------
3,248,172 SSgA Prime Money Market
Fund ............................................................ 3,248,172
------------
TOTAL INVESTMENT COMPANY
(Cost $3,248,172) ............................................... 3,248,172
TOTAL INVESTMENTS - 99.22%
- --------------------------------------------------------------------------------------------------
(Cost $184,264,789**) ......................................................... 203,099,107
NET OTHER ASSETS AND LIABILITIES - 0.08%
- --------------------------------------------------------------------------------------------------
172,397
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$203,271,504
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $207,818,432.
ADR Amiercan Depositary Receipt.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
51
================================================================================
SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF SECTOR ALLOCATION]
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2009
Financials 21%
Industrials 20%
Consumer Discretionary 17%
Information Technology 9%
Health Care 9%
Utilities 6%
Materials 5%
Consumer Staples 5%
Cash and Other Net Assets 4%
Energy 4%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 96.24%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 16.70%
6,800 Arbitron, Inc. .................................................. $ 108,052
9,000 Cato Corp./The, Class A ......................................... 156,960
2,400 CEC Entertainment, Inc. * ....................................... 70,752
3,300 Choice Hotels International,
Inc. ............................................................ 87,813
7,000 Helen of Troy, Ltd. * ........................................... 117,530
3,400 Hibbett Sports, Inc. * .......................................... 61,200
2,700 Matthews International Corp.,
Class A ......................................................... 84,024
7,900 Sonic Corp. * ................................................... 79,237
14,000 Stage Stores, Inc. .............................................. 155,400
3,200 Tempur-Pedic International,
Inc. ............................................................ 41,824
3,000 Unifirst Corp./MA ............................................... 111,510
3,600 Valassis Communications,
Inc. * .......................................................... 21,996
------------
1,096,298
------------
CONSUMER STAPLES - 5.15%
2,800 Casey's General Stores, Inc. .................................... 71,932
4,700 Herbalife, Ltd. ................................................. 148,238
5,100 Lance, Inc. ..................................................... 117,963
------------
338,133
------------
ENERGY - 3.96%
5,100 Penn Virginia Corp. ............................................. 83,487
900 SEACOR Holdings, Inc. * ......................................... 67,716
1,500 St. Mary Land& Exploration Co. .................................. 31,305
2,200 Whiting Petroleum Corp. * ..... 77,352
------------
259,860
------------
FINANCIALS - 21.22%
4,646 Acadia Realty Trust, REIT ....................................... 60,630
200 Alleghany Corp. * ............................................... 54,200
3,100 American Campus Communities,
Inc., REIT ...................................................... 68,758
11,833 Ares Capital Corp. .............................................. 95,374
5,100 Assured Guaranty, Ltd. .......................................... 63,138
2,600 Credit Acceptance Corp. * ....................................... 56,810
7,400 Delphi Financial Group,
Inc., Class A ................................................... 143,782
5,100 DiamondRock Hospitality Co.,
REIT ............................................................ 31,926
2,600 Financial Federal Corp. ......................................... 53,430
7,000 First Midwest Bancorp,
Inc./IL ......................................................... 51,170
5,690 International Bancshares Corp. .................................. 58,664
2,800 IPC Holdings, Ltd. .............................................. 76,552
1,800 Mack-Cali Realty Corp.,
REIT ............................................................ 41,040
4,700 MB Financial, Inc. .............................................. 47,893
3,600 NewAlliance Bancshares, Inc. .................................... 41,400
3,800 Platinum Underwriters
Holdings, Ltd. .................................................. 108,642
900 PS Business Parks, Inc., REIT ................................... 43,596
4,900 Realty Income Corp., REIT........................................ 107,408
1,600 Reinsurance Group of
America, Inc. ................................................... 55,856
9,700 Webster Financial Corp. ......................................... 78,085
1,100 Westamerica Bancorporation ...................................... 54,571
------------
1,392,925
------------
HEALTH CARE - 8.63%
4,100 Amsurg Corp. * .................................................. 87,904
4,400 Centene Corp. * ................................................. 87,912
3,800 Charles River Laboratories
International, Inc. * ........................................... 128,250
2,500 Corvel Corp. * .................................................. 56,925
2,400 ICU Medical, Inc. * ............................................. 98,760
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
52
================================================================================
SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
900 Orthofix International N.V. * ................................... $ 22,509
9,700 Universal American Corp./NY * ................................... 84,584
------------
566,844
------------
INDUSTRIALS - 20.62%
13,700 ACCO Brands Corp. * ............................................. 38,634
2,600 Acuity Brands, Inc. ............................................. 72,930
7,300 Albany International Corp.,
Class A ......................................................... 83,074
9,200 Belden, Inc. .................................................... 153,640
7,399 Bowne & Co., Inc. ............................................... 48,167
9,200 Carlisle Cos., Inc. ............................................. 221,168
1,000 Copart, Inc. * .................................................. 34,670
1,200 ESCO Technologies, Inc. * ....................................... 53,760
4,700 GATX Corp. ...................................................... 120,884
3,400 Genesee & Wyoming, Inc.,
Class A * ....................................................... 90,134
2,500 Kirby Corp. * ................................................... 79,475
5,300 Mueller Industries, Inc. ........................................ 110,240
1,900 Simpson Manufacturing
Co., Inc. ....................................................... 41,078
2,900 Sterling Construction Co., Inc. * ............................... 44,254
3,700 United Stationers, Inc. * ....................................... 129,056
3,300 Vitran Corp., Inc. * ............................................ 32,670
------------
1,353,834
------------
INFORMATION TECHNOLOGY - 9.35%
4,500 Diebold, Inc. ................................................... 118,620
7,100 Electronics for Imaging, Inc. * ................................ 75,686
3,400 MAXIMUS, Inc. ................................................... 140,250
6,500 NAM TAI Electronics, Inc. ....................................... 27,690
6,300 Websense, Inc. * ................................................ 112,392
10,800 Xyratex, Ltd. * ................................................. 53,892
3,600 Zebra Technologies Corp.,
Class A * ....................................................... 85,176
------------
613,706
------------
MATERIALS - 4.64%
3,100 Aptargroup, Inc. ................................................ 104,687
2,300 Deltic Timber Corp. ............................................. 81,581
9,850 Zep, Inc. ....................................................... 118,693
------------
304,961
------------
UTILITIES - 5.97%
3,300 Atmos Energy Corp. .............................................. 82,632
1,250 New Jersey Resources Corp. ...................................... 46,300
4,000 Unisource Energy Corp. .......................................... 106,160
4,600 Westar Energy, Inc. ............................................. 86,342
2,200 WGL Holdings, Inc. .............................................. 70,444
------------
391,878
------------
TOTAL COMMON STOCKS
(Cost $7,745,188) ............................................... 6,318,439
INVESTMENT COMPANY - 3.04%
- --------------------------------------------------------------------------------------------------
199,367 SSgA Prime Money Market
Fund ............................................................ 199,367
------------
TOTAL INVESTMENT COMPANY
(Cost $199,367) ................................................. 199,367
TOTAL INVESTMENTS - 99.28%
- --------------------------------------------------------------------------------------------------
(Cost $7,944,555**) ........................................................... 6,517,806
NET OTHER ASSETS AND LIABILITIES - 0.72%
- --------------------------------------------------------------------------------------------------
47,401
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$6,565,207
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $8,025,278.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
53
================================================================================
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF SECTOR ALLOCATION]
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2009
Information Technology 29%
Industrials 23%
Health Care 15%
Consumer Discretionary 12%
Financials 8%
Energy 6%
Consumer Staples 3%
Materials 2%
Cash and Other Net Assets 1%
Telecommunication Services 1%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 99.04%
- --------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 11.89%
1,500 Aaron's, Inc. ................................................... $ 44,730
1,100 Carter's, Inc. * ................................................ 27,071
300 Chico's FAS, Inc. * ............................................. 2,919
1,100 CKE Restaurants, Inc. ........................................... 9,328
1,000 CROCS, Inc. * ................................................... 3,400
600 DineEquity, Inc. ................................................ 18,714
2,300 Drew Industries, Inc. * ......................................... 27,991
600 Gaylord Entertainment Co. * ..................................... 7,626
900 Gymboree Corp. * ................................................ 31,932
1,700 JOS A Bank Clothiers, Inc. * .................................... 58,582
600 Maidenform Brands, Inc. * ....................................... 6,882
2,300 Men's Wearhouse, Inc./The ...... ................................ 44,114
900 Meritage Homes Corp. * .......................................... 16,974
2,000 PF Chang's China Bistro, Inc. * ................................. 64,120
900 Pinnacle Entertainment, Inc. * .................................. 8,361
200 Red Robin Gourmet Burgers,
Inc. * .......................................................... 3,750
3,300 Spartan Motors, Inc. ............................................ 37,389
1,000 Tempur-Pedic International,
Inc. ............................................................ 13,070
1,600 WMS Industries, Inc. * .......................................... 50,416
100 Wolverine World Wide, Inc. ...................................... 2,206
900 Zumiez, Inc. * .................................................. 7,209
------------
486,784
------------
CONSUMER STAPLES - 3.39% 200 Coca-Cola Bottling Co.
Consolidated .................................................... 11,026
100 Green Mountain Coffee
Roasters, Inc. * ................................................ 5,912
1,100 Ruddick Corp. ................................................... 25,773
2,600 United Natural Foods, Inc. * .................................... 68,250
2,200 Winn-Dixie Stores, Inc. * ....................................... 27,588
------------
138,549
------------
ENERGY - 5.95%
1,000 Atwood Oceanics, Inc. * ......................................... 24,910
1,100 CARBO Ceramics, Inc. ............................................ 37,620
3,700 Carrizo Oil & Gas, Inc. * ....................................... 63,455
200 Dril-Quip, Inc. * ............................................... 7,620
400 GMX Resources, Inc. * ........................................... 4,256
2,400 Hercules Offshore, Inc. * ....................................... 9,528
700 Matrix Service Co. * ............................................ 8,036
1,500 Penn Virginia Corp. ............................................. 24,555
1,200 Petroleum Development Corp. * ................................... 18,828
2,600 RPC, Inc. ....................................................... 21,710
1,000 Stone Energy Corp. * ............................................ 7,420
1,200 Superior Well Services, Inc. * .................................. 7,140
200 World Fuel Services Corp. ....................................... 8,246
------------
243,324
------------
FINANCIALS - 8.43%
1,400 eHealth, Inc. * ................................................. 24,724
800 GAMCO Investors, Inc., Class A .................................. 38,800
700 Hancock Holding Co. ............................................. 22,743
1,200 Highwoods Properties, Inc.,
REIT ............................................................ 26,844
1,400 KBW, Inc. * ..................................................... 40,264
1,800 Knight Capital Group, Inc.,
Class A* ........................................................ 30,690
3,600 Omega Healthcare Investors,
Inc., REIT ...................................................... 55,872
1,100 Potlatch Corp., REIT ............................................ 26,719
900 Stifel Financial Corp. * ........................................ 43,281
11 Teton Advisors, Inc. (L)(T)* .................................... 1
1,100 Tower Group, Inc. ............................................... 27,258
400 World Acceptance Corp. * ........................................ 7,964
------------
345,160
------------
HEALTH CARE - 15.30%
400 Acorda Therapeutics, Inc. * ..................................... 11,276
3,100 Alkermes, Inc. * ................................................ 33,542
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
54
================================================================================
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
3,900 Allscripts-Misys Healthcare
Solutions, Inc. ................................................. $ 61,854
300 AMAG Pharmaceuticals, Inc. * .................................... 16,401
3,600 American Medical Systems
Holdings, Inc. * ................................................ 56,880
4,000 AMN Healthcare Services, Inc. * ................................. 25,520
400 Analogic Corp. .................................................. 14,780
7,300 Arena Pharmaceuticals, Inc. * ................................... 36,427
1,100 Centene Corp. * ................................................. 21,978
700 Cepheid, Inc. * ................................................. 6,594
200 Chemed Corp. .................................................... 7,896
1,900 Cubist Pharmaceuticals, Inc. * .................................. 34,827
2,000 Emeritus Corp. * ................................................ 26,420
2,200 ev3, Inc. * ..................................................... 23,584
500 Landauer, Inc. .................................................. 30,670
1,000 MAP Pharmaceuticals, Inc. * ..................................... 12,220
1,900 Medicines Co./The* .............................................. 15,941
300 Myriad Pharmaceuticals, Inc. * .................................. 1,395
500 National Healthcare Corp. ....................................... 18,970
1,500 PDL BioPharma, Inc. ............................................. 11,850
2,000 PSS World Medical, Inc. * ....................................... 37,020
1,300 Regeneron Pharmaceuticals,
Inc. * .......................................................... 23,296
600 Theravance, Inc. * .............................................. 8,784
1,100 Valeant Pharmaceuticals
International* .................................................. 28,292
1,500 Viropharma, Inc. * .............................................. 8,895
1,200 West Pharmaceutical
Services, Inc. .................................................. 41,820
400 XenoPort, Inc. * ................................................ 9,268
------------
626,400
------------
INDUSTRIALS - 22.92%
2,400 AAR Corp. * ..................................................... 38,520
1,700 Actuant Corp., Class A .......................................... 20,740
700 Advanced Battery
Technologies, Inc. * ............................................ 2,814
400 Ameron International Corp. ...................................... 26,816
300 Beacon Roofing Supply, Inc. * ................................... 4,338
1,200 Bucyrus International, Inc. ..................................... 34,272
200 CLARCOR, Inc. ................................................... 5,838
500 Deluxe Corp. .................................................... 6,405
200 EMCOR Group, Inc. * ............................................. 4,024
7,900 EnergySolutions, Inc. ........................................... 72,680
500 EnerNOC, Inc. * ................................................. 10,835
300 Esterline Technologies Corp. * .................................. 8,121
1,000 Franklin Electric Co., Inc. ..................................... 25,920
2,500 GeoEye, Inc. * .................................................. 58,900
2,500 Heartland Express, Inc. ......................................... 36,800
800 Herman Miller, Inc. ............................................. 12,272
4,300 Hexcel Corp. * .................................................. 40,979
500 ICF International, Inc. * ....................................... 13,795
2,000 Korn/Ferry International* ....................................... 21,280
1,000 Layne Christensen Co. * ......................................... 20,450
200 Lindsay Corp. ................................................... 6,620
5,100 MasTec, Inc. * .................................................. 59,772
1,400 Mcgrath Rentcorp ................................................ 26,684
600 Middleby Corp. * ................................................ 26,352
1,200 Mine Safety Appliances Co. .................................... 28,920
1,200 Moog, Inc., Class A* ............................................ 30,972
4,100 MPS Group, Inc. * ............................................... 31,324
300 Multi-Color Corp. ............................................... 3,678
100 Navigant Consulting, Inc. * ..................................... 1,292
2,300 Old Dominion Freight Line,
Inc. * .......................................................... 77,211
900 Orbital Sciences Corp. * ........................................ 13,653
700 RBC Bearings, Inc. * ............................................ 14,315
1,600 Resources Connection, Inc. * .................................... 27,472
700 Rollins, Inc. ................................................... 12,117
1,100 SYKES Enterprises, Inc. * ....................................... 19,899
700 Triumph Group, Inc. ............................................. 28,000
800 United Stationers, Inc. * ....................................... 27,904
500 Valmont Industries, Inc. ........................................ 36,040
------------
938,024
------------
INFORMATION TECHNOLOGY - 28.61%
1,500 Adtran, Inc. .................................................... 32,205
2,900 Advanced Energy Industries,
Inc. * .......................................................... 26,071
1,000 Advent Software, Inc. * ......................................... 32,790
1,100 Anixter International, Inc. * ................................... 41,349
1,100 ANSYS, Inc. * ................................................... 34,276
1,700 Bankrate, Inc. * ................................................ 42,908
4,600 Benchmark Electronics, Inc. * ................................... 66,240
200 CommScope, Inc. * ............................................... 5,252
100 Comtech Telecommunications
Corp. * ......................................................... 3,188
2,000 Concur Technologies, Inc. * ..................................... 62,160
1,400 CSG Systems International,
Inc. * .......................................................... 18,536
400 Cymer, Inc. * ................................................... 11,892
2,100 EPIQ Systems, Inc. * ............................................ 32,235
500 Equinix, Inc. * ................................................. 36,370
600 Factset Research Systems,
Inc. ............................................................ 29,922
3,500 Harmonic, Inc. * ................................................ 20,615
3,400 IXYS Corp. ...................................................... 34,408
1,300 j2 Global Communications,
Inc. * .......................................................... 29,328
1,600 Littelfuse, Inc. * .............................................. 31,936
2,900 Macrovision Solutions Corp. * ................................... 63,249
700 MAXIMUS, Inc. ................................................... 28,875
2,500 MKS Instruments, Inc. * ......................................... 32,975
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
55
================================================================================
SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY (CONTINUED)
1,900 Netlogic Microsystems, Inc. * ................................... $ 69,274
1,600 Novatel Wireless, Inc. * ........................................ 14,432
300 NVE Corp. * ..................................................... 14,580
200 Omniture, Inc. * ................................................ 2,512
400 Plexus Corp. * .................................................. 8,184
1,800 Progress Software Corp. * ....................................... 38,106
1,100 Quest Software, Inc. * .......................................... 15,334
300 RightNow Technologies, Inc. * ................................... 3,540
1,800 Scansource, Inc. * .............................................. 44,136
1,300 Smith Micro Software, Inc. * .................................... 12,766
1,200 SPSS, Inc. * .................................................... 40,044
700 Synaptics, Inc. * ............................................... 27,055
500 THQ, Inc. * ..................................................... 3,580
500 TNS, Inc. * ..................................................... 9,375
2,400 Ultratech, Inc. * ............................................... 29,544
6,300 Valueclick, Inc. * .............................................. 66,276
1,300 Varian Semiconductor Equipment
Associates, Inc. * .............................................. 31,187
600 VeriFone Holdings, Inc. * ....................................... 4,506
500 Viasat, Inc. * .................................................. 12,820
600 Wind River Systems, Inc. * ...................................... 6,876
------------
1,170,907
------------
MATERIALS - 1.76%
1,600 Allied Nevada Gold Corp. * ...................................... 12,896
800 Deltic Timber Corp. ............................................. 28,376
200 Haynes International, Inc. * .................................... 4,740
1,100 LSB Industries, Inc. * .......................................... 17,787
200 WR Grace & Co. * ................................................ 2,474
600 Zoltek Cos., Inc. * ............................................. 5,832
------------
72,105
------------
TELECOMMUNICATION SERVICES - 0.79%
3,000 Premiere Global Services,
Inc. * .......................................................... 32,520
------------
TOTAL COMMON STOCKS
(Cost $3,932,255) ............................................... 4,053,773
INVESTMENT COMPANY - 1.01%
- --------------------------------------------------------------------------------------------------
41,473 SSgA Prime Money Market
Fund ............................................................. 41,473
------------
TOTAL INVESTMENT COMPANY
(Cost $41,473) ................................................... 41,473
TOTAL INVESTMENTS - 100.05%
- --------------------------------------------------------------------------------------------------
(Cost $3,973,728**) ........................................................... 4,095,246
NET OTHER ASSETS AND LIABILITIES - (0.05)%
- --------------------------------------------------------------------------------------------------
(2,027)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$4,093,219
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $3,977,005. (L) Security valued
at fair value using methods determined in good faith by or
at the discretion of the Board of Trustees (see Note 2).
(T) Illiquid security.
REIT Real Estate Investment Trust.
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from
the industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
56
================================================================================
GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF GEOGRAPHICAL ALLOCATION]
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2009
United States 35%
Europe (excluding United Kingdom) 24%
United Kingdom 15%
Japan 12%
Pacific Basin 12%
Cash and Other Net Assets 2%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 98.08%
- --------------------------------------------------------------------------------------------------
AUSTRALIA - 7.25%
84,089 Amcor, Ltd. ..................................................... $ 337,949
85,138 Foster's Group, Ltd. ............................................ 353,136
22,679 National Australia Bank, Ltd. ................................... 408,112
204,328 Telstra Corp., Ltd. ............................................. 557,878
22,809 Wesfarmers, Ltd. ................................................ 415,002
------------
2,072,077
------------
BELGIUM - 0.42%
34,957 Fortis* ......................................................... 119,093
13,256 Fortis VVPR Strips * ............................................ 19
------------
119,112
------------
FINLAND - 0.36%
11,988 UPM-Kymmene OYJ ................................................. 104,373
------------
FRANCE - 8.98%
14,807 Carrefour S.A. .................................................. 633,021
20,315 France Telecom S.A. ............................................. 461,282
8,213 Societe Generale ................................................ 447,746
18,961 Total S.A. ...................................................... 1,026,346
------------
2,568,395
------------
GERMANY - 3.21%
38,486 Deutsche Telekom AG ............................................. 454,573
5,867 RWE AG .......................................................... 462,886
------------
917,459
------------
ITALY - 3.10%
81,212 Intesa Sanpaolo SpA * ........................................... 263,144
242,949 UniCredit SpA* .................................................. 622,050
------------
885,194
------------
JAPAN - 11.56%
12,500 Astellas Pharma, Inc. ........................................... 441,115
15,000 Canon, Inc. ..................................................... 487,724
17,100 Nitto Denko Corp. ............................................... 517,644
21,300 Seven & I Holdings Co., Ltd. .................................... 499,230
14,200 Takeda Pharmaceutical Co., Ltd. ................................. 551,221
18,100 Tokio Marine Holdings, Inc. ..................................... 496,621
94 West Japan Railway Co. .......................................... 310,285
------------
3,303,840
------------
NETHERLANDS - 2.01%
30,272 ING Groep N.V. .................................................. 304,389
24,407 Reed Elsevier N.V. .............................................. 269,005
------------
573,394
------------
SINGAPORE - 2.99%
73,057 Oversea-Chinese Banking
Corp., Ltd. ..................................................... 336,023
251,000 Singapore Telecommunications,
Ltd. ............................................................ 518,054
------------
854,077
------------
SPAIN - 3.89%
82,050 Iberdrola S.A. .................................................. 666,883
19,623 Telefonica S.A. ................................................. 444,682
------------
1,111,565
------------
SWITZERLAND - 2.52%
17,756 Novartis AG ..................................................... 721,200
------------
TAIWAN - 1.47%
44,824 Taiwan Semiconductor
Manufacturing Co., Ltd., ADR .................................... 421,794
------------
UNITED KINGDOM - 15.43%
36,044 Aviva PLC ....................................................... 203,645
118,774 BP PLC .......................................................... 939,705
67,613 GKN PLC ......................................................... 139,781
56,646 GlaxoSmithKline PLC ............................................. 997,329
32,866 Royal Dutch Shell PLC, A
Shares .......................................................... 820,191
32,424 Unilever PLC .................................................... 760,717
285,015 Vodafone Group PLC .............................................. 550,826
------------
4,412,194
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
57
================================================================================
GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
UNITED STATES - 34.89%
9,500 3M Co. .......................................................... $ 570,950
35,500 Alcoa, Inc. ..................................................... 366,715
17,500 AT&T, Inc. ...................................................... 434,700
41,350 Bank of America Corp. ........................................... 545,820
14,200 CBS Corp., Class B .............................................. 98,264
13,100 Chevron Corp. ................................................... 867,875
35,700 ConAgra Foods, Inc. ............................................. 680,442
621 Fairpoint Communications, Inc. .................................. 373
49,100 General Electric Co. ............................................ 575,452
7,700 General Mills, Inc. ............................................. 431,354
18,600 Genuine Parts Co. ............................................... 624,216
20,600 HJ Heinz Co. .................................................... 735,420
6,700 Johnson & Johnson ............................................... 380,560
20,500 Merck & Co., Inc./NJ ............................................ 573,180
36,900 Microsoft Corp. ................................................. 877,113
37,000 Pfizer, Inc. .................................................... 555,000
19,200 Verizon Communications, Inc. ....................... 590,016
8,740 Wells Fargo & Co. ............................................... 212,032
18,800 Wyeth ........................................................... 853,332
------------
9,972,814
------------
TOTAL COMMON STOCKS
(Cost $44,834,593) .............................................. 28,037,488
WARRANTS AND RIGHTS - 0.00%
- --------------------------------------------------------------------------------------------------
BELGIUM - 0.00%
34,957 Fortis Bank S.A./N.V.
Exp. 07/01/14 (L)* .............................................. -
------------
TOTAL WARRANTS AND RIGHTS
(Cost $0) ....................................................... -
INVESTMENT COMPANY - 1.31%
- --------------------------------------------------------------------------------------------------
UNITED STATES - 1.31%
373,286 SSgA Prime Money
Market Fund ..................................................... 373,286
------------
TOTAL INVESTMENT COMPANY
(Cost $373,286) ................................................. 373,286
TOTAL INVESTMENTS - 99.39%***
- --------------------------------------------------------------------------------------------------
(Cost $45,207,879**) .......................................................... 28,410,774
NET OTHER ASSETS AND LIABILITIES - 0.61%
- --------------------------------------------------------------------------------------------------
174,868
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 28,585,642
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $45,304,861.
*** The aggregate amount of foreign securities fair valued pursuant to a
systematic fair valuation model as a percent of net assets was 51.07%.
(L) Security valued at fair value using methods determined in good faith by or
at the discretion of the Board of Trustees (see Note 2).
ADR American Depositary Receipt.
PLC Public Limited Company.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
58
================================================================================
GLOBAL SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
OTHER INFORMATION:
Industry Concentration
% of Net Assets
---------------
Pharmaceuticals 17.7%
Oil, Gas & Consumable Fuels 12.8%
Diversified Telecommunication Services 12.1%
Food Products 9.1%
Commercial Banks 8.4%
Food & Staples Retailing 5.4%
Industrial Conglomerates 4.0%
Software 3.1%
Diversified Financial Services 3.0%
Insurance 2.5%
Electric Utilities 2.3%
Distributors 2.2%
Wireless Telecommunication Services 1.9%
Net Other Assets & Liabilities 1.9%
Chemicals 1.8%
Office Electronics 1.7%
Multi-Utilities 1.6%
Semiconductors & Semiconductor
Equipment 1.5%
Media 1.3%
Metals & Mining 1.3%
Beverages 1.2%
Containers & Packaging 1.2%
Road & Rail 1.1%
Auto Components 0.5%
Paper & Forest Products 0.4%
----------
100.0%
==========
The industry classification method used for purposes of this report's allocation
charts and portfolio of investments schedules may differ from the industry
subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
59
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF GEOGRAPHICAL ALLOCATION]
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2009
Europe (excluding United Kingdom) 41%
United Kingdom 19%
Japan 15%
Pacific Basin 8%
Other Countries 6%
Cash & Other Net Assets 4%
Latin America 4%
Africa 3%
[END CHART]
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS - 95.63%
- --------------------------------------------------------------------------------------------------
ARGENTINA - 0.21%
5,870 Tenaris S.A., ADR................................................ $ 158,725
-----------
AUSTRALIA - 0.18%
27,728 ABC Learning Centres, Ltd. (L)* ................................. -
4,345 Cabcharge Australia, Ltd. ....................................... 18,003
39,362 Fairfax Media, Ltd. ............................................. 38,511
12,045 James Hardie Industries N.V. * .................................. 40,478
34,482 Macquarie Infrastructure Group................................... 39,582
-----------
136,574
-----------
AUSTRIA - 0.06%
1,142 Andritz AG ...................................................... 48,034
-----------
BELGIUM - 1.58%
30,300 Anheuser-Busch InBev N.V. ....................................... 1,096,272
5,287 Arseus N.V. ..................................................... 48,403
928 EVS Broadcast Equipment S.A. .................................... 46,747
-----------
1,191,422
-----------
BRAZIL - 2.18%
42,640 Banco do Brasil S.A. ............................................ 459,484
16,490 Cia de Concessoes Rodoviarias ................................... 263,689
19,100 Companhia Brasileira de Meios de Pagamento * .................... 163,742
3,870 Empresa Brasileira de Aeronautica S.A., ADR ..................... 64,087
31,100 JHSF Participacoes S.A. ......................................... 29,114
25,279 Redecard S.A. ................................................... 387,770
9,538 Souza Cruz S.A. ................................................. 270,878
-----------
1,638,764
-----------
CANADA - 1.09%
30,800 TELUS Corp. ..................................................... 817,289
-----------
CYPRUS - 0.01%
5,001 Prosafe Production Public, Ltd. * ............................... 9,397
-----------
DENMARK - 0.82%
11,325 Novo Nordisk A/S, B Shares....................................... 615,172
-----------
EGYPT - 0.78%
12,431 Commercial International Bank.................................... 109,132
4,212 Eastern Tobacco ................................................. 86,439
4,127 Egyptian Co. for Mobile Services ................................ 143,198
7,140 Orascom Construction Industries.................................. 243,994
-----------
582,763
-----------
FINLAND - 2.33%
1,646 Konecranes OYJ .................................................. 38,777
108,730 Nokia OYJ........................................................ 1,585,808
3,310 Sampo OYJ, A Shares.............................................. 62,416
1,940 Vacon PLC ....................................................... 64,461
-----------
1,751,462
-----------
FRANCE - 9.87%
21,150 BNP Paribas...................................................... 1,371,419
15,000 Bouygues S.A. ................................................... 563,604
12,968 Danone .......................................................... 640,930
30,900 GDF Suez ........................................................ 1,153,654
766 Neopost S.A. .................................................... 68,737
27,312 Sanofi-Aventis S.A. ............................................. 1,603,261
1,076 Sechilienne-Sidec ............................................... 37,276
1 Societe Generale ................................................ 55
35,587 Total S.A. ...................................................... 1,926,301
737 Virbac S.A. ..................................................... 59,382
-----------
7,424,619
-----------
GERMANY - 8.10%
13,400 Allianz SE ...................................................... 1,238,370
11,435 Compugroup Holding AG * ......................................... 96,352
2,063 CTS Eventim AG .................................................. 83,501
15,900 Daimler AG ...................................................... 574,682
9,400 Deutsche Bank AG ................................................ 571,671
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
60
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
GERMANY (CONTINUED)
39,300 E.ON AG ......................................................... $ 1,394,083
773 Fielmann AG ..................................................... 51,034
1,376 Gerresheimer AG ................................................. 30,565
5,970 Merck KGaA ...................................................... 608,274
590 Pfeiffer Vacuum Technology AG ................................... 43,261
19,219 Siemens AG ...................................................... 1,329,733
1,180 Wincor Nixdorf AG ............................................... 66,133
-----------
6,087,659
-----------
GREECE - 0.95%
27,013 OPAP S.A. ....................................................... 716,979
-----------
HONG KONG - 0.92%
99,795 Esprit Holdings, Ltd. ........................................... 559,492
45,000 Huabao International Holdings, Ltd. ............................. 43,548
509,000 Shougang Concord International Enterprises Co., Ltd. ............ 84,952
-----------
687,992
-----------
INDIA - 1.28%
2,200 Infosys Technologies, Ltd., ADR 80,916
2,016 Jindal Steel & Power, Ltd. ...................................... 105,342
23,645 Oil & Natural Gas Corp., Ltd. ................................... 525,787
17,881 Punjab National Bank, Ltd. ...................................... 253,443
-----------
965,488
-----------
INDONESIA - 1.04%
14,000 Astra International Tbk PT ...................................... 32,580
817,500 Bank Mandiri Tbk PT ............................................. 252,061
12,690 Telekomunikasi Indonesia Tbk PT, ADR ............................ 380,446
123,000 United Tractors Tbk PT .......................................... 119,297
-----------
784,384
-----------
IRELAND - 1.36%
38,602 CRH PLC ......................................................... 884,459
4,393 DCC PLC ......................................................... 90,537
10,027 Irish Life & Permanent PLC ...................................... 50,974
-----------
1,025,970
-----------
ISLE OF MAN - 0.06%
22,207 Hansard Global PLC .............................................. 47,487
-----------
ISRAEL - 0.77%
72,603 Bank Hapoalim BM * .............................................. 191,390
800 Cellcom Israel, Ltd. ............................................ 21,256
11,882 Delek Automotive Systems, Ltd. 95,951
27,167 Israel Chemicals, Ltd. .......................................... 266,623
-----------
575,220
-----------
ITALY - 2.80%
3,196 Ansaldo STS SpA ................................................. 58,912
28,900 Atlantia SpA .................................................... 584,527
59,520 ENI SpA ......................................................... 1,411,128
6,308 MARR SpA ........................................................ 48,765
-----------
2,103,332
-----------
JAPAN - 15.35%
4,570 Amano Corp. ..................................................... 44,588
4,110 Asahi Holdings, Inc. * .......................................... 73,410
37,100 Canon, Inc. ..................................................... 1,206,303
27,010 Daito Trust Construction Co., Ltd. .............................. 1,266,594
2,840 Don Quijote Co., Ltd. ........................................... 54,320
7,500 Fanuc, Ltd. ..................................................... 597,840
880 Hisamitsu Pharmaceutical Co., Inc. .............................. 27,308
35,600 HOYA Corp. ...................................................... 712,097
78 INPEX Corp. ..................................................... 620,678
1,630 Jafco Co., Ltd. ................................................. 54,294
319 Japan Tobacco, Inc. ............................................. 993,329
3,100 JSR Corp. ....................................................... 52,776
157 KDDI Corp. ...................................................... 831,556
3,400 Keyence Corp. ................................................... 691,251
2,720 Konami Corp. .................................................... 52,022
17,000 Kurita Water Industries, Ltd. ................................... 547,125
4,000 Megane TOP Co., Ltd. ............................................ 61,226
3,050 MISUMI Group, Inc. .............................................. 42,875
42,600 Mitsubishi Corp. ................................................ 781,586
56,000 Mitsubishi Estate Co., Ltd. ..................................... 926,779
1,900 Nomura Research Institute, Ltd. ................................. 42,108
3,660 Ohara, Inc. ..................................................... 51,498
3,070 Roland DG Corp. ................................................. 41,388
680 Sankyo Co., Ltd. ................................................ 36,316
22,000 Secom Co., Ltd. ................................................. 891,491
4,200 Shinko Plantech Co., Ltd. ....................................... 33,093
7,050 Suruga Bank, Ltd. ............................................... 67,131
1,940 Sysmex Corp. .................................................... 70,414
2,760 T Hasegawa Co., Ltd. ............................................ 33,006
8,350 T&D Holdings, Inc. .............................................. 237,859
10,100 Tokio Marine Holdings, Inc. ..................................... 277,120
1,100 Unicharm Petcare Corp. .......................................... 32,805
1,620 Union Tool Co. .................................................. 42,233
960 USS Co., Ltd. ................................................... 49,208
-----------
11,543,627
-----------
MALAYSIA - 0.23%
5,890 British American Tobacco Malaysia Bhd............................ 74,987
103,830 PLUS Expressways Bhd ............................................ 94,414
-----------
169,401
-----------
MEXICO - 1.45%
7,700 America Movil SAB de C.V., Series L, ADR ........................ 298,144
6,450 Desarrolladora Homex SAB de C.V., ADR* .......................... 179,891
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
61
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
MEXICO (CONTINUED)
8,610 Fomento Economico Mexicano
SAB de C.V., ADR ................................................ $ 277,586
14,870 Grupo Televisa S.A., ADR......................................... 252,790
22,270 Kimberly-Clark de Mexico SAB de C.V., Class A ................... 84,963
-----------
1,093,374
-----------
NETHERLANDS - 1.30%
2,700 ASM International N.V. *......................................... 39,732
1,902 Fugro N.V. ...................................................... 78,932
1,467 Ten Cate N.V. ................................................... 35,509
42,405 TNT N.V. ........................................................ 825,443
-----------
979,616
-----------
NORWAY - 0.20%
4,920 Kongsberg Gruppen AS ............................................ 60,362
6,470 ODIM ASA ........................................................ 42,611
4,490 TGS Nopec Geophysical Co. ASA * ................................. 44,487
-----------
147,460
-----------
PHILIPPINES - 0.54%
8,230 Philippine Long Distance Telephone Co., ADR...................... 409,196
-----------
RUSSIA - 1.60%
10,350 Lukoil OAO, ADR ................................................. 462,420
10,750 Mobile Telesystems OJSC, ADR .................................... 396,998
4,238 Oriflame Cosmetics S.A., SDR..................................... 183,896
150,668 TNK-BP Holding .................................................. 157,448
-----------
1,200,762
-----------
SINGAPORE - 1.68%
46,490 Ezra Holdings, Ltd. *............................................ 37,086
595,300 Singapore Telecommunications, Ltd. .............................. 1,228,676
-----------
1,265,762
-----------
SOUTH AFRICA - 2.43%
12,658 Kumba Iron Ore, Ltd. ............................................ 295,912
13,532 Massmart Holdings, Ltd. ......................................... 140,265
43,201 Murray & Roberts Holdings, Ltd. ................................. 280,319
24,321 Nedbank Group, Ltd. ............................................. 307,998
45,784 Pretoria Portland Cement Co., Ltd. .............................. 171,605
141,937 Sanlam, Ltd. .................................................... 316,780
5,580 Tiger Brands, Ltd. .............................................. 103,853
44,018 Truworths International, Ltd. 210,354
-----------
1,827,086
-----------
SOUTH KOREA - 1.90%
196 Amorepacific Corp. .............................................. 105,081
1,375 Hite Brewery Co., Ltd. .......................................... 169,128
1,440 KT&G Corp. ...................................................... 81,385
1,516 NHN Corp. *...................................................... 209,473
854 S1 Corp./Korea................................................... 36,263
940 Samsung Electronics Co., Ltd., GDR (C)........................... 219,255
14,695 Shinhan Financial Group Co., Ltd. * ............................. 369,116
9,730 Woongjin Coway Co., Ltd. ........................................ 236,104
-----------
1,425,805
-----------
SPAIN - 1.27%
73,125 Banco Santander S.A. ............................................ 881,936
3,431 Indra Sistemas S.A. ............................................. 74,198
-----------
956,134
-----------
SWEDEN - 1.37%
8,066 Duni AB ......................................................... 39,121
6,390 Elekta AB, B Shares ............................................. 93,688
3,093 Getinge AB, B Shares............................................. 40,404
3,280 Indutrade AB .................................................... 42,634
3,890 Loomis AB, Class B .............................................. 38,681
79,680 Telefonaktiebolaget LM Ericsson, B Shares ....................... 777,642
-----------
1,032,170
-----------
SWITZERLAND - 8.42%
334 Acino Holding AG ................................................ 61,926
2,180 Bank Sarasin & Cie AG, Series B * ............................... 67,796
365 Burckhardt Compression Holding AG ............................... 47,185
32,500 Credit Suisse Group AG .......................................... 1,483,185
30,950 Nestle S.A. ..................................................... 1,167,766
20,997 Novartis AG ..................................................... 852,840
7,950 Roche Holding AG ................................................ 1,080,384
1,838 Swissquote Group Holding S.A. ................................... 88,303
1,030 Tecan Group AG .................................................. 40,280
40,500 UBS AG * ........................................................ 495,234
5,360 Zurich Financial Services AG .................................... 948,511
-----------
6,333,410
-----------
TAIWAN - 0.95%
205,946 Advanced Semiconductor Engineering, Inc. ........................ 120,501
66,678 HON HAI Precision Industry Co., Ltd. ............................ 205,247
17,000 HTC Corp. ....................................................... 239,044
88,643 Taiwan Semiconductor Manufacturing Co., Ltd. .................... 147,248
-----------
712,040
-----------
THAILAND - 0.40%
14,170 Banpu PCL........................................................ 139,709
76,900 Kasikornbank PCL................................................. 162,130
-----------
301,839
-----------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
62
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
COMMON STOCKS (CONTINUED)
- --------------------------------------------------------------------------------------------------
TURKEY - 1.17%
56,952 Akbank TAS ...................................................... $ 253,151
3,532 Ford Otomotiv Sanayi AS ......................................... 13,695
41,642 Turkcell Iletisim Hizmet AS ..................................... 230,705
130,721 Turkiye Is Bankasi, Series C .................................... 382,513
-----------
880,064
-----------
UNITED KINGDOM - 18.98%
192,073 BAE Systems PLC ................................................. 1,071,962
205,800 Barclays PLC .................................................... 958,012
36,200 BG Group PLC .................................................... 608,119
170,375 BP PLC .......................................................... 1,347,958
21,330 British American Tobacco PLC .................................... 589,142
185,800 BT Group PLC .................................................... 310,991
11,400 Cairn Energy PLC* ............................................... 440,331
4,410 Charter International PLC ....................................... 31,522
2,255 Chemring Group PLC .............................................. 80,491
7,023 Dignity PLC ..................................................... 69,544
31,448 Hampson Industries PLC .......................................... 35,176
19,343 Healthcare Locums PLC ........................................... 60,771
166,400 HSBC Holdings PLC................................................ 1,375,399
14,452 IG Group Holdings PLC............................................ 66,621
44,334 Imperial Tobacco Group PLC ...................................... 1,152,884
76,700 Informa PLC ..................................................... 275,983
4,307 Intertek Group PLC .............................................. 74,248
53,112 National Grid PLC ............................................... 478,933
165,800 Prudential PLC .................................................. 1,127,715
128,000 QinetiQ Group PLC ............................................... 302,833
14,270 Reckitt Benckiser Group PLC ..................................... 650,223
46,399 Sepura, Ltd. .................................................... 33,772
145,500 Tesco PLC........................................................ 847,909
51,800 Unilever PLC .................................................... 1,215,308
550,562 Vodafone Group PLC .............................................. 1,064,027
-----------
14,269,874
-----------
TOTAL COMMON STOCKS
(Cost $78,258,255) .............................................. 71,916,352
PREFERRED STOCKS - 0.70%
- --------------------------------------------------------------------------------
BRAZIL - 0.65%
12,510 AES Tiete S.A. .................................................. 129,842
5,100 Eletropaulo Metropolitana Eletricidade de Sao Paulo S.A.,
B Shares ........................................................ 90,116
900 Fertilizantes Fosfatados S.A. ................................... 6,846
10,570 Klabin S.A. ..................................................... 16,079
15,230 Suzano Papel e Celulose S.A., Class A ........................... 117,470
5,000 Usinas Siderurgicas de Minas Gerais S.A., A Shares .............. 105,851
1,416 Vale S.A., Class A .............................................. 21,505
-----------
487,709
-----------
GERMANY - 0.05%
700 Fuchs Petrolub AG................................................ 37,931
-----------
TOTAL PREFERRED STOCKS
(Cost $520,232).................................................. 525,640
INVESTMENT COMPANY - 3.17%
- --------------------------------------------------------------------------------
UNITED STATES - 3.17%
2,380,670 SSgA Prime Money Market
Fund ............................................................ 2,380,670
-----------
TOTAL INVESTMENT COMPANY
(Cost $2,380,670) ............................................... 2,380,670
TOTAL INVESTMENTS - 99.50%***
- --------------------------------------------------------------------------------
(Cost $81,159,157**) .......................................................... 74,822,662
NET OTHER ASSETS AND LIABILITIES - 0.50%
- --------------------------------------------------------------------------------
378,484
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------
$75,201,146
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $83,282,237.
*** The aggregate amount of foreign securities fair valued pursuant to a
systematic fair valuation model as a percent of net assets was 66.91%.
(C) Security sold within terms of a private placement memorandum exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"qualified institutional investors." The securities have been determined to
be liquid under guidelines established by the Board of Trustees.
(L) Security valued at fair value using methods determined in good faith by or
at the discretion of the Board of Trustees (see Note 2).
ADR American Depositary Receipt.
GDR Global Depositary Receipt.
PLC Public Limited Company.
SDR Swedish Depositary Receipt.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
63
================================================================================
INTERNATIONAL STOCK FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
OTHER INFORMATION:
Industry Concentration
% of Net Assets
---------------
Oil, Gas & Consumable Fuels 10.2%
Commercial Banks 10.1%
Pharmaceuticals 6.5%
Insurance 5.7%
Diversified Telecommunication Services 4.4%
Tobacco 4.3%
Food Products 4.2%
Wireless Telecommunication Services 3.8%
Net Other Assets & Liabilities 3.7%
Communications Equipment 3.2%
Electrical Equipment 3.0%
Real Estate Management & Development 3.0%
Capital Markets 2.9%
Electric Utilities 2.8%
Commercial Services & Supplies 2.7%
Electronic Equipment & Instruments 2.5%
Beverages 2.1%
Distributors 1.8%
Aerospace & Defense 1.7%
Office Electronics 1.7%
Gas Utilities 1.5%
Construction Materials 1.5%
Food & Staples Retailing 1.4%
Machinery 1.4%
Air Freight & Logistics 1.1%
Metals & Mining 1.1%
Industrial Conglomerates 1.1%
Household Products 1.0%
Hotels, Restaurants & Leisure 1.0%
IT Services 1.0%
Automobiles 0.8%
Media 0.7%
Construction & Engineering 0.7%
Diversified Financial Services 0.7%
Transportation Infrastructure 0.6%
Chemicals 0.5%
Specialty Retail 0.5%
Computers & Peripherals 0.5%
Personal Products 0.4%
Semiconductors & Semiconductor Equipment 0.4%
Health Care Equipment & Supplies 0.4%
Textiles, Apparel & Luxury Goods 0.3%
Software 0.2%
Household Durables 0.2%
Paper & Forest Products 0.2%
Energy Equipment & Services 0.2%
Leisure Equipment & Products 0.1%
Health Care Providers & Services 0.1%
Multiline Retail 0.1%
Multi-Utilities* 0.0%
Marine* 0.0%
---------------
100.0%
===============
*Rounds to 0.0%
The industry classification method used for purposes of this report's
allocation charts and portfolio of investments schedules may differ from the
industry subclassification(s) used for Trust compliance purposes.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
64
================================================================================
TARGET RETIREMENT 2020 FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF PORTFOLIO ALLOCATION]
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2009
Stock Funds 54%
Bond Funds 23%
Foreign Stock Funds 20%
Alternative Asset Classes 2%
Money Market Funds and Other Net Assets 1%
[END CHART]
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE
AS OF JUNE 30, 2009
MEMBERS Large Cap Growth Fund, Class Y 12%
MEMBERS High Income Fund, Class Y 10%
MEMBERS International Stock Fund, Class Y 9%
Laudus International MarketMasters Fund 8%
MEMBERS Large Cap Value Fund, Class Y 8%
Manning & Napier Equity Series Fund 6%
MEMBERS Bond Fund, Class Y 6%
CRM Mid Cap Value Fund 6%
Neuberger Berman Partners Fund, Institutional Class 5%
Victory Special Value Fund, Class I 5%
Gateway Fund, Class Y 5%
Dodge & Cox Income Fund 4%
Royce Value Fund, Institutional Class 4%
MEMBERS Small Cap Value Fund, Class Y 3%
Oppenheimer International Bond Fund, Class Y 3%
Principal International Emerging Markets Fund, Institutional Class 3%
PIMCO CommodityRealReturn Strategy Fund, Institutional Class 2%
SSgA Prime Money Market Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 100.04%
- --------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASS FUNDS - 1.93%
34,785 PIMCO Commodity RealReturn
Strategy Fund, Institutional
Class ........................................................... $ 248,361
------------
BOND FUNDS - 22.71%
39,811 Dodge & Cox Income Fund ......................................... 490,872
81,398 MEMBERS Bond Fund,
Class Y (R) ..................................................... 806,653
200,269 MEMBERS High Income Fund,
Class Y (R) ..................................................... 1,233,655
65,932 Oppenheimer International
Bond Fund, Class Y .............................................. 398,892
------------
2,930,072
------------
STOCK FUNDS - 54.39%
34,583 CRM Mid Cap Value Fund,
Institutional Class ............................................. 709,304
25,360 Gateway Fund, Class Y ........................................... 600,274
58,035 Manning & Napier Equity
Series Fund ..................................................... 808,424
132,182 MEMBERS Large Cap Growth
Fund, Class Y (R) ............................................... 1,586,180
107,067 MEMBERS Large Cap Value
Fund, Class Y (R) ............................................... 1,011,782
61,429 MEMBERS Small Cap Value
Fund, Class Y (R) ............................................... 427,548
37,258 Neuberger Berman Partners
Fund, Institutional Class........................................ 695,979
60,450 Royce Value Fund,
Institutional Class * ........................................... 488,432
63,310 Victory Special Value Fund,
Class I ......................................................... 689,447
------------
7,017,370
------------
FOREIGN STOCK FUNDS - 20.27%
85,251 Laudus International Market
Masters Fund .................................................... 1,078,419
135,931 MEMBERS International
Stock Fund, Class Y (R) ......................................... 1,170,367
21,179 Principal International
Emerging Markets Fund,
Institutional Class ............................................. 366,185
------------
2,614,971
------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
65
================================================================================
TARGET RETIREMENT 2020 FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES (CONTINUED)
- --------------------------------------------------------------------------------------------------
MONEY MARKET FUNDS - 0.74%
95,928 SSgA Prime Money Market
Fund............................................................. $ 95,928
------------
TOTAL INVESTMENT COMPANIES - 100.04%
(Cost $13,537,124**) ............................................ 12,906,702
NET OTHER ASSETS AND LIABILITIES - (0.04)%
- --------------------------------------------------------------------------------------------------
(4,606)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$ 12,902,096
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $14,595,853. (R) Affiliated
Company (see Note 10).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
66
================================================================================
TARGET RETIREMENT 2030 FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF PORTFOLIO ALLOCATION]
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2009
Stock Funds 59%
Foreign Stock Funds 25%
Bond Funds 13%
Alternative Asset Classes 2%
Money Market Funds and Other Net Assets 1%
[END CHART]
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE
AS OF JUNE 30, 2009
MEMBERS Large Cap Growth Fund, Class Y 12%
MEMBERS International Stock Fund, Class Y 11%
Laudus International MarketMasters Fund 10%
MEMBERS High Income Fund, Class Y 9%
MEMBERS Large Cap Value Fund, Class Y 7%
Victory Special Value Fund, Class I 7%
CRM Mid Cap Value Fund 7%
Neuberger Berman Partners Fund, Institutional Class 6%
Manning & Napier Equity Series Fund 6%
Gateway Fund, Class Y 6%
MEMBERS Bond Fund, Class Y 4%
Royce Value Fund, Institutional Class 4%
Principal International Emerging Markets Fund, Institutional Class 4%
MEMBERS Small Cap Value Fund, Class Y 4%
PIMCO CommodityRealReturn Strategy Fund, Institutional Class 2%
SSgA Prime Money Market Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 100.04%
- --------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASS FUNDS - 1.92%
34,396 PIMCO Commodity RealReturn
Strategy Fund, Institutional Class .............................. $ 245,585
BOND FUNDS - 13.02%
56,913 MEMBERS Bond Fund,
Class Y (R) ..................................................... 564,008
178,522 MEMBERS High Income Fund,
Class Y (R) ..................................................... 1,099,697
-----------
1,663,705
-----------
STOCK FUNDS - 59.43%
42,912 CRM Mid Cap Value Fund,
Institutional Class ............................................. 880,121
29,007 Gateway Fund, Class Y ........................................... 686,603
55,908 Manning & Napier Equity
Series Fund ..................................................... 778,805
130,869 MEMBERS Large Cap Growth
Fund, Class Y (R) ............................................... 1,570,431
98,582 MEMBERS Large Cap Value
Fund, Class Y (R) ............................................... 931,599
70,806 MEMBERS Small Cap Value
Fund, Class Y (R) ............................................... 492,810
43,447 Neuberger Berman Partners
Fund, Institutional Class........................................ 811,599
68,165 Royce Value Fund, Institutional
Class * ......................................................... 550,770
81,930 Victory Special Value Fund,
Class I ......................................................... 892,219
-----------
7,594,957
-----------
FOREIGN STOCK FUNDS - 24.93%
100,576 Laudus International Market
Masters Fund .................................................... 1,272,285
163,649 MEMBERS International
Stock Fund, Class Y (R) ......................................... 1,409,021
29,218 Principal International Emerging
Markets Fund, Institutional
Class ........................................................... 505,179
-----------
3,186,485
-----------
MONEY MARKET FUNDS - 0.74%
93,953 SSgA Prime Money Market
Fund............................................................. 93,953
-----------
TOTAL INVESTMENT COMPANIES - 100.04%
(Cost $13,791,336**) ............................................ 12,784,685
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
67
================================================================================
TARGET RETIREMENT 2030 FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Value (Note 2)
--------------
NET OTHER ASSETS AND LIABILITIES - (0.04)%
- --------------------------------------------------------------------------------------------------
$ (4,580)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$12,780,105
- --------------------------------------------------------------------------------
* Non-income producing.
** Aggregate cost for Federal tax purposes was $14,240,910. (R) Affiliated
Company (see Note 10).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
68
================================================================================
TARGET RETIREMENT 2040 FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
[PIE CHART OF PORTFOLIO ALLOCATION]
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS
AS OF JUNE 30, 2009
Stock Funds 65%
Foreign Stock Funds 28%
Bond Funds 4%
Alternative Asset Classes 2%
Money Market Funds and Other Net Assets 1%
[END CHART]
PORTFOLIO HOLDINGS AS A PERCENTAGE OF TOTAL MARKET VALUE
AS OF JUNE 30, 2009
MEMBERS Large Cap Growth Fund, Class Y 12%
Laudus International MarketMasters Fund 12%
MEMBERS International Stock Fund, Class Y 11%
Victory Special Value Fund, Class I 9%
CRM Mid Cap Value Fund 9%
MEMBERS Large Cap Value Fund, Class Y 7%
Neuberger Berman Partners Fund, Institutional Class 7%
Manning & Napier Equity Series Fund 7%
Gateway Fund, Class Y 5%
Principal International Emerging Markets Fund, Institutional Class 5%
Royce Value Fund, Institutional Class 5%
MEMBERS Small Cap Value Fund, Class Y 4%
MEMBERS Bond Fund, Class Y 4%
PIMCO CommodityRealReturn Strategy Fund, Institutional Class 2%
SSgA Prime Money Market Fund 1%
- --------------------------------------------------------------------------------
Shares Value (Note 2)
- ------ --------------
INVESTMENT COMPANIES - 100.04%
- --------------------------------------------------------------------------------------------------
ALTERNATIVE ASSET CLASS FUNDS - 1.91%
28,936 PIMCO Commodity RealReturn
Strategy Fund, Institutional
Class ........................................................... $ 206,603
-----------
BOND FUNDS - 3.97%
43,329 MEMBERS Bond Fund,
Class Y (R) ..................................................... 429,390
-----------
STOCK FUNDS - 65.35%
46,698 CRM Mid Cap Value Fund,
Institutional Class ............................................. 957,785
24,741 Gateway Fund, Class Y ........................................... 585,629
51,356 Manning & Napier Equity
Series Fund ..................................................... 715,385
110,775 MEMBERS Large Cap Growth
Fund, Class Y (R) ............................................... 1,329,297
83,124 MEMBERS Large Cap Value
Fund, Class Y (R) ............................................... 785,523
67,515 MEMBERS Small Cap Value
Fund, Class Y (R) ............................................... 469,901
39,677 Neuberger Berman Partners
Fund, Institutional Class........................................ 741,157
64,880 Royce Value Fund, Institutional
Class * ......................................................... 524,233
89,141 Victory Special Value Fund,
Class I ......................................................... 970,742
-----------
7,079,652
-----------
FOREIGN STOCK FUNDS - 28.08%
98,572 Laudus International Market
Masters Fund .................................................... 1,246,935
144,054 MEMBERS International Stock
Fund, Class Y (R) ............................................... 1,240,301
32,078 Principal International
Emerging Markets Fund,
Institutional Class ............................................. 554,630
-----------
3,041,866
-----------
MONEY MARKET FUNDS - 0.73%
79,244 SSgA Prime Money Market
Fund............................................................. 79,244
-----------
TOTAL INVESTMENT COMPANIES - 100.04%
(Cost $11,425,257**) ............................................ 10,836,755
NET OTHER ASSETS AND LIABILITIES - (0.04)%
- --------------------------------------------------------------------------------------------------
$ (3,883)
TOTAL NET ASSETS - 100.00%
- --------------------------------------------------------------------------------------------------
$10,832,872
* Non-income producing.
** Aggregate cost for Federal tax purposes was $11,911,920. (R) Affiliated
Company (see Note 10).
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
69
================================================================================
STATEMENTS OF ASSETS AND LIABILITIES AS OF JUNE 30, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
CONSERVATIVE MODERATE AGGRESSIVE
ALLOCATION ALLOCATION ALLOCATION
FUND FUND FUND
==========================================================================================================================
ASSETS:
Investments in securities, at cost
Unaffiliated issuers $ 48,153,661 $ 93,962,416 $ 34,603,917
Affiliated issuers(1) 107,637,523 239,162,357 78,580,932
Net unrealized appreciation (depreciation)
Unaffiliated issuers (796,167) (9,744,792) (6,701,830)
Affiliated issuers(1) (9,411,572) (40,374,254) (15,676,150)
-----------------------------------------------------
Total investments at value 145,583,445 283,005,727 90,806,869
Cash 100 200 59
Receivables:
Investments sold - - 12,039
Fund shares sold 285,432 202,423 1,014
Dividends and interest 31 58 33
Due from Advisor, net - - -
-----------------------------------------------------
Total Assets 145,869,008 283,208,408 90,820,014
-----------------------------------------------------
LIABILITIES:
Payables:
Investments purchased 216,143 202,287 -
Fund shares repurchased 69,289 136 13,053
Accrued management fees 35,703 69,674 22,450
Distribution fees - Class II(2) 304 489 10
Accrued expenses and other payables 5,275 10,453 3,148
-----------------------------------------------------
Total Liabilities 326,714 283,039 38,661
-----------------------------------------------------
NET ASSETS $145,542,294 $282,925,369 $ 90,781,353
=====================================================
NET ASSETS CONSIST OF:
Paid-in capital $166,745,451 $373,646,586 $126,942,842
Accumulated undistributed (distribution in excess of)
net investment income 695,799 822,244 96,057
Accumulated net realized loss on investments sold and foreign
currency related transactions (11,691,217) (41,424,415) (13,879,566)
Unrealized appreciation (depreciation) of investments (including
appreciation (depreciation) of foreign currency related
transactions) (10,207,739) (50,119,046) (22,377,980)
-----------------------------------------------------
NET ASSETS $145,542,294 $282,925,369 $ 90,781,353
=====================================================
CLASS I SHARES:
Net Assets 143,606,941 280,354,573 90,706,736
Shares of beneficial interest outstanding 16,261,394 35,500,271 12,842,318
NET ASSET VALUE and redemption price per share $ 8.83 $ 7.90 $ 7.06
=====================================================
CLASS II SHARES(2):
Net Assets 1,935,353 2,570,796 74,617
Shares of beneficial interest outstanding 219,232 325,658 10,568
NET ASSET VALUE and redemption price per share $ 8.83 $ 7.89 $ 7.06
=====================================================
- -------------------------------------------------------
(1) See Note 10 for information on affiliated issuers.
(2) Class II shares commenced investment operations on May 1, 2009.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
70
================================================================================
- --------------------------------------------------------------------------------
MONEY MARKET HIGH INCOME DIVERSIFIED LARGE CAP LARGE CAP
FUND BOND FUND FUND INCOME FUND VALUE FUND GROWTH FUND
===================================================================================================================
$115,755,486 $526,999,936 $101,275,805 $419,394,335 $ 646,560,280 $ 378,959,894
- - - - - -
- (2,769,010) (3,588,224) (22,098,338) (83,325,905) 21,460,648
- - - - - -
- -------------------------------------------------------------------------------------------------------------------
115,755,486 524,230,926 97,687,581 397,295,997 563,234,375 400,420,542
112 455 78 324 433 288
- 2,924,109 - 1,585,652 30,067,770 5,418,659
188 280,368 34,442 - 291,779 162,286
226,900 4,704,262 1,974,940 2,867,959 792,163 297,189
20,388 - - - - -
- -------------------------------------------------------------------------------------------------------------------
116,003,074 532,140,120 99,697,041 401,749,932 594,386,520 406,298,964
- -------------------------------------------------------------------------------------------------------------------
- - 480,626 - 28,993,853 10,498,546
112,183 12,977 112 37,965 25,048 4,140
43,959 239,626 61,217 230,196 280,950 263,268
- 219 33 177 69 121
5,504 22,841 3,967 16,508 22,311 15,012
- -------------------------------------------------------------------------------------------------------------------
161,646 275,663 545,955 284,846 29,322,231 10,781,087
- -------------------------------------------------------------------------------------------------------------------
$115,841,428 $531,864,457 $ 99,151,086 $401,465,086 $ 565,064,289 $ 395,517,877
===================================================================================================================
$115,841,428 $543,785,233 $118,766,256 $476,363,393 $ 771,652,220 $ 489,817,360
- 3,928,272 1,258,370 3,103,358 2,084,225 596,480
- (13,080,038) (17,285,316) (55,903,327) (125,346,251) (116,356,611)
- (2,769,010) (3,588,224) (22,098,338) (83,325,905) 21,460,648
- -------------------------------------------------------------------------------------------------------------------
$115,841,428 $531,864,457 $ 99,151,086 $401,465,086 $ 565,064,289 $ 395,517,877
===================================================================================================================
115,840,378 530,254,248 98,906,847 400,257,212 564,538,096 394,597,492
115,840,378 52,825,543 11,834,494 28,177,453 30,461,024 23,781,610
$ 1.00 $ 10.04 $ 8.36 $ 14.20 $ 18.53 $ 16.59
===================================================================================================================
1,050 1,610,209 244,239 1,207,874 526,193 920,385
1,050 160,475 29,235 85,066 28,403 55,491
$ 1.00 $ 10.03 $ 8.35 $ 14.20 $ 18.53 $ 16.59
===================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
71
================================================================================
STATEMENTS OF ASSETS AND LIABILITIES AS OF JUNE 30, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
MID CAP MID CAP SMALL CAP
VALUE FUND GROWTH FUND VALUE FUND
=========================================================================================================================
ASSETS:
Investments in securities, at cost
Unaffiliated issuers $177,184,343 $ 184,264,789 $ 7,944,555
Affiliated issuers(1) - - -
Net unrealized appreciation (depreciation)
Unaffiliated issuers (13,349,764) 18,834,318 (1,426,749)
Affiliated issuers(1) - - -
----------------------------------------------------
Total investments at value 163,834,579 203,099,107 6,517,806
Cash 119 138 5
Foreign currency(2)
Receivables:
Investments sold 19,990,418 1,268,618 23,215
Fund shares sold 95,691 159,798 23,757
Dividends and interest 314,823 59,329 6,732
Other assets 1,176 - -
----------------------------------------------------
Total Assets 184,236,806 204,586,990 6,571,515
----------------------------------------------------
LIABILITIES:
Payables:
Investments purchased 23,474,258 1,152,764 -
Fund shares repurchased 14,072 9,371 65
Accrued management fees 132,871 145,963 5,990
Distribution fees - Class II(3) 60 37 16
Accrued expenses and other payables 6,163 7,351 237
----------------------------------------------------
Total Liabilities 23,627,424 1,315,486 6,308
----------------------------------------------------
NET ASSETS $160,609,382 $ 203,271,504 $ 6,565,207
====================================================
NET ASSETS CONSIST OF:
Paid-in capital $246,894,297 $ 314,015,647 $ 8,956,552
Accumulated undistributed (distribution in excess of)
net investment income 483,233 (128,683) 13,718
Accumulated net realized loss on investments sold and foreign
currency related transactions (73,418,384) (129,449,778) (978,314)
Unrealized appreciation (depreciation) of investments (including
appreciation (depreciation) of foreign currency related
transactions) (13,349,764) 18,834,318 (1,426,749)
----------------------------------------------------
NET ASSETS $160,609,382 $ 203,271,504 $ 6,565,207
====================================================
CLASS I SHARES:
Net Assets 160,153,975 202,986,888 6,435,618
Shares of beneficial interest outstanding 16,322,587 55,592,137 965,106
NET ASSET VALUE and redemption price per share $ 9.81 $ 3.65 $ 6.67
====================================================
CLASS II SHARES(3):
Net Assets 455,407 284,616 129,589
Shares of beneficial interest outstanding 46,432 77,976 19,441
NET ASSET VALUE and redemption price per share $ 9.81 $ 3.65 $ 6.67
====================================================
- -------------------------------------------------------
(1) See Note 10 for information on affiliated issuers.
(2) Cost of Foreign Currency of $48,043 and $207,764 for the Global Securities
and International Stock Funds, respectively.
(3) Class II shares commenced investment operations on May 1, 2009.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
72
================================================================================
- --------------------------------------------------------------------------------
GLOBAL TARGET TARGET TARGET
SMALL CAP SECURITIES INTERNATIONAL RETIREMENT RETIREMENT RETIREMENT
GROWTH FUND FUND STOCK FUND 2020 FUND 2030 FUND 2040 FUND
==================================================================================================================
$ 3,973,728 $ 45,207,879 $81,159,157 $ 7,073,136 $ 7,465,750 $ 7,046,726
- - - 6,463,988 6,325,586 4,378,531
121,518 (16,797,105) (6,336,495) (402,619) (748,631) (464,383)
- - - (227,803) (258,020) (124,119)
- ------------------------------------------------------------------------------------------------------------------
4,095,246 28,410,774 74,822,662 12,906,702 12,784,685 10,836,755
893 21 54 8 8 6
47,779 212,048
- 166,538 105,376 - - -
78 34,560 63,920 16,714 11,435 8,232
958 55,529 224,831 4 5 6
- 11,703 138,635 - - -
- ------------------------------------------------------------------------------------------------------------------
4,097,175 28,726,904 75,567,526 12,923,428 12,796,133 10,844,999
- ------------------------------------------------------------------------------------------------------------------
- 117,613 250,287 16,713 11,435 8,232
51 - 37,810 - - -
3,750 22,541 75,200 4,193 4,180 3,547
- 19 81 - - -
155 1,089 3,002 426 413 348
- ------------------------------------------------------------------------------------------------------------------
3,956 141,262 366,380 21,332 16,028 12,127
- ------------------------------------------------------------------------------------------------------------------
$ 4,093,219 $ 28,585,642 $ 75,201,146 $12,902,096 $12,780,105 $10,832,872
==================================================================================================================
$ 7,234,174 $ 51,827,811 $104,130,853 $15,521,704 $15,285,899 $12,944,306
(2,156) 495,295 1,091,597 29,062 17,357 3,065
(3,260,317) (6,942,393) (23,696,549) (2,018,248) (1,516,500) (1,525,997)
121,518 (16,795,071) (6,324,755) (630,422) (1,006,651) (588,502)
- ------------------------------------------------------------------------------------------------------------------
$ 4,093,219 $ 28,585,642 $ 75,201,146 $12,902,096 $12,780,105 $10,832,872
==================================================================================================================
4,089,307 28,425,669 74,575,989 12,901,045 12,779,051 10,831,814
723,973 4,923,988 9,260,999 1,966,142 2,037,594 1,829,058
$ 5.65 $ 5.77 $ 8.05 $ 6.56 $ 6.27 $ 5.92
==================================================================================================================
3,912 159,973 625,157 1,051 1,054 1,058
693 27,722 77,661 160 168 179
$ 5.65 $ 5.77 $ 8.05 $ 6.56 $ 6.27 $ 5.92
==================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
73
================================================================================
STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
CONSERVATIVE MODERATE AGGRESSIVE
ALLOCATION ALLOCATION ALLOCATION
FUND FUND FUND
==========================================================================================================================
INVESTMENT INCOME:
Interest $ 226 $ 283 $ 284
Dividends
Unaffiliated issuers 764,864 949,555 110,268
Affiliated issuers(1) 1,255,831 1,676,986 226,311
Less: Foreign taxes withheld - - -
-----------------------------------------------------
Total investment income 2,020,921 2,626,824 336,863
-----------------------------------------------------
EXPENSES:
Management fees 188,522 374,079 112,169
Trustees' fees 2,561 5,081 1,524
Audit fees 5,189 10,305 3,082
Distribution fees - Class II(2) 377 579 13
Compliance expense 2,933 5,844 1,727
-----------------------------------------------------
Total expenses before waiver 199,582 395,888 118,515
Less waiver - - -
-----------------------------------------------------
Total expenses net of waiver 199,582 395,888 118,515
-----------------------------------------------------
NET INVESTMENT INCOME 1,821,339 2,230,936 218,348
-----------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized loss on investments (including net realized
gain (loss) on foreign currency related transactions)
Unaffiliated issuers (5,961,936) (7,253,363) (203,389)
Affiliated issuers(1) (819,359) (2,464,737) (552,819)
Capital gain distributions received from underlying funds
Unaffiliated issuers 31,077 35,830 -
Net change in unrealized appreciation (depreciation) on
investments (including net unrealized appreciation
(depreciation) on foreign currency related transactions) 12,213,928 22,935,228 7,306,084
-----------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 5,463,710 13,252,958 6,549,876
-----------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 7,285,049 $15,483,894 $6,768,224
=====================================================
- -------------------------------------------------------
(1) See Note 10 for information on affiliated issuers. (2) Class II shares
commenced investment operations on May 1, 2009.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
74
================================================================================
- --------------------------------------------------------------------------------
MONEY MARKET HIGH INCOME DIVERSIFIED LARGE CAP LARGE CAP
FUND BOND FUND FUND INCOME FUND VALUE FUND GROWTH FUND
===================================================================================================================
$231,070 $14,130,827 $ 4,144,603 $ 7,086,629 $ 14,236 $ 28,078
- - - 3,526,699 9,656,039 2,946,437
- - - - - -
- - - - - (335)
- -------------------------------------------------------------------------------------------------------------------
231,070 14,130,827 4,144,603 10,613,328 9,670,275 2,974,180
- -------------------------------------------------------------------------------------------------------------------
299,684 1,513,555 356,829 1,387,082 1,601,794 1,433,448
2,714 11,214 1,939 8,075 10,879 7,302
5,552 23,386 3,944 16,442 22,118 14,821
2 278 39 237 81 158
3,271 13,325 2,270 9,490 12,662 8,425
- -------------------------------------------------------------------------------------------------------------------
311,223 1,561,758 365,021 1,421,326 1,647,534 1,464,154
(85,562) - - - - -
- -------------------------------------------------------------------------------------------------------------------
225,661 1,561,758 365,021 1,421,326 1,647,534 1,464,154
- -------------------------------------------------------------------------------------------------------------------
5,409 12,569,069 3,779,582 9,192,002 8,022,741 1,510,026
- -------------------------------------------------------------------------------------------------------------------
- (6,797,752) (3,301,404) (38,284,220) (26,023,766) (28,306,106)
- - - - - -
- - - - - -
- 8,408,425 14,513,195 26,619,814 (5,226,529) 77,108,397
- -------------------------------------------------------------------------------------------------------------------
- 1,610,673 11,211,791 (11,664,406) (31,250,295) 48,802,291
- -------------------------------------------------------------------------------------------------------------------
$ 5,409 $14,179,742 $14,991,373 $ (2,472,404) $(23,227,554) $ 50,312,317
===================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
75
================================================================================
STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
MID CAP MID CAP SMALL CAP
VALUE FUND GROWTH FUND VALUE FUND
========================================================================================================================
INVESTMENT INCOME:
Interest $ 13,653 $ 15,122 $ 666
Dividends
Unaffiliated issuers 1,896,534 613,098 60,652
Affiliated issuers(2) - - -
Less: Foreign taxes withheld - (314) -
---------------------------------------------------
Total investment income 1,910,187 627,906 61,318
---------------------------------------------------
EXPENSES:
Management fees 736,009 741,741 31,239
Trustees' fees 2,999 3,556 116
Audit fees 6,091 7,204 234
Distribution fees - Class II(3) 79 48 19
Compliance expense 3,469 4,040 134
---------------------------------------------------
Total expenses 748,647 756,589 31,742
---------------------------------------------------
NET INVESTMENT INCOME (LOSS) 1,161,540 (128,683) 29,576
---------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized loss on investments (including net realized
gain (loss) on foreign currency related transactions)
Unaffiliated issuers (30,791,285) (62,010,189) (547,954)
Affiliated issuers(2) - - -
Capital gain distributions received from underlying funds
Unaffiliated issuers - - -
Net change in unrealized appreciation (depreciation) on
investments (including net unrealized appreciation
(depreciation) on foreign currency related transactions)(1) 34,620,518 97,040,043 693,149
---------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 3,829,233 35,029,854 145,195
---------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 4,990,773 $ 34,901,171 $ 174,771
===================================================
- -------------------------------------------------
(1) Net of deferred foreign capital gains taxes of $1,827 for the International
Stock Fund.
(2) See Note 10 for information on affiliated issuers. (3) Class II shares
commenced investment operations on May 1, 2009.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
76
================================================================================
- --------------------------------------------------------------------------------
GLOBAL TARGET TARGET TARGET
SMALL CAP SECURITIES INTERNATIONAL RETIREMENT RETIREMENT RETIREMENT
GROWTH FUND FUND STOCK FUND 2020 FUND 2030 FUND 2040 FUND
============================================================================================================
$ 224 $ 930 $ 7,331 $ 27 $ 32 $ 42
18,609 658,137 1,825,066 39,607 20,179 15,060
- - - 51,526 40,972 5,868
- (37,976) (188,152) - - -
- ------------------------------------------------------------------------------------------------------------
18,833 621,091 1,644,245 91,160 61,183 20,970
- ------------------------------------------------------------------------------------------------------------
20,664 123,554 400,641 20,213 19,631 16,347
77 530 1,361 206 200 167
155 1,076 2,760 416 403 336
1 23 107 - 1 -
92 613 1,565 233 226 183
- ------------------------------------------------------------------------------------------------------------
20,989 125,796 406,434 21,068 20,461 17,033
- ------------------------------------------------------------------------------------------------------------
(2,156) 495,295 1,237,811 70,092 40,722 3,937
- ------------------------------------------------------------------------------------------------------------
(933,722) (6,028,727) (9,611,699) (181,945) (120,002) (67,957)
- - - (78,841) (32,756) (23,240)
- - - 897 581 -
943,765 5,254,078 12,352,909 1,262,189 1,311,681 1,134,443
- ------------------------------------------------------------------------------------------------------------
10,043 (774,649) 2,741,210 1,002,300 1,159,504 1,043,246
- ------------------------------------------------------------------------------------------------------------
$ 7,887 $ (279,354) $ 3,979,021 $1,072,392 $1,200,226 $1,047,183
============================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
77
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
CONSERVATIVE MODERATE
ALLOCATION FUND ALLOCATION FUND
================================ ===============================
SIX MONTHS SIX MONTHS
ENDED FOR THE ENDED FOR THE
6/30/09 YEAR ENDED 6/30/09 YEAR ENDED
(UNAUDITED) 12/31/08
(UNAUDITED) 12/31/08
================================================================================================================================
NET ASSETS AT BEGINNING OF PERIOD $116,678,068 $ 66,747,325 $243,761,079 $218,280,994
------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income 1,821,339 3,618,523 2,230,936 5,594,298
Net realized gain (loss) (6,750,218) (4,664,913) (9,682,270) (31,179,507)
Net change in unrealized appreciation
(depreciation) 12,213,928 (20,937,322) 22,935,228 (68,550,378)
------------------------------------------------------------------------
Net increase (decrease) in net assets from
operations 7,285,049 (21,983,712) 15,483,894 (94,135,587)
------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class I (1,366,028) (3,634,290) (1,800,414) (5,366,853)
Net realized gains
Class I - (1,067,962) - (4,983,537)
------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1,366,028) (4,702,252) (1,800,414) (10,350,390)
CAPITAL STOCK TRANSACTIONS:
CLASS I SHARES
Shares sold 25,194,603 84,012,864 29,262,603 129,854,947
Issued to shareholders in reinvestment of
distributions 1,366,028 4,702,252 1,800,414 10,350,390
Shares redeemed (5,533,691) (12,098,409) (8,126,430) (10,239,275)
------------------------------------------------------------------------
Net increase (decrease) from capital stock
transactions 21,026,940 76,616,707 22,936,587 129,966,062
------------------------------------------------------------------------
CLASS II SHARES(1):
Shares sold 2,085,628 - 3,816,712 -
Issued to shareholders in reinvestment of
distributions - - - -
Shares redeemed (167,363) - (1,272,489) -
------------------------------------------------------------------------
Net increase from capital stock transactions 1,918,265 - 2,544,223 -
------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 28,864,226 49,930,743 39,164,290 25,480,085
------------------------------------------------------------------------
NET ASSETS AT END OF PERIOD $145,542,294 $116,678,068 $282,925,369 $243,761,079
========================================================================
Undistributed (distributions in excess of)
net investment income $ 695,799 $ 240,488 $ 822,244 $ 391,722
========================================================================
CAPITAL SHARE TRANSACTIONS:
CLASS I SHARES
Shares sold 3,009,104 8,261,031 3,969,817 12,933,160
Issued to shareholders in reinvestment of
distributions 160,675 531,666 238,573 1,184,768
Shares redeemed (669,972) (1,231,070) (1,148,203) (1,144,403)
------------------------------------------------------------------------
Net increase (decrease) from capital share
transactions 2,499,807 7,561,627 3,060,187 12,973,525
------------------------------------------------------------------------
CLASS II SHARES(1):
Shares sold 238,420 - 485,210 -
Issued to shareholders in reinvestment of
distributions - - - -
Shares redeemed (19,188) - (159,552) -
------------------------------------------------------------------------
Net increase from capital share transactions 219,232 - 325,658 -
========================================================================
- ------------------------------------------------------
(1) Class II shares commenced investment operations on May 1, 2009.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
78
================================================================================
- --------------------------------------------------------------------------------
AGGRESSIVE
ALLOCATION FUND MONEY MARKET FUND BOND FUND
=============================== =================================== ================================
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED FOR THE ENDED FOR THE ENDED FOR THE
6/30/09 YEAR ENDED 6/30/09 YEAR ENDED 6/30/09 YEAR ENDED
(UNAUDITED) 12/31/08 (UNAUDITED) 12/31/08 (UNAUDITED) 12/31/08
=====================================================================================================================
$69,616,011 $ 68,119,997 $159,348,665 $111,332,534 $572,562,403 $646,233,453
- --------------------------------------------------------------------------------------------------------------------
218,348 737,299 5,409 2,016,801 12,569,069 29,819,947
(756,208) (12,776,327) - 19,466 (6,797,752) 772,456
7,306,084 (29,087,936) - - 8,408,425 (14,489,323)
- --------------------------------------------------------------------------------------------------------------------
6,768,224 (41,126,964) 5,409 2,036,267 14,179,742 16,103,080
- --------------------------------------------------------------------------------------------------------------------
(191,367) (668,223) (5,409) (2,036,267) (9,196,045) (29,315,915)
- (2,705,263) - - - -
- --------------------------------------------------------------------------------------------------------------------
(191,367) (3,373,486) (5,409) (2,036,267) (9,196,045) (29,315,915)
15,920,326 47,294,376 12,819,647 108,119,221 21,412,583 38,082,556
191,367 3,373,486 5,409 2,036,267 9,196,045 29,315,915
(1,597,069) (4,671,398) (56,333,343) (62,139,357) (77,880,249) (127,856,686)
- --------------------------------------------------------------------------------------------------------------------
14,514,624 45,996,464 (43,508,287) 48,016,131 (47,271,621) (60,458,215)
- --------------------------------------------------------------------------------------------------------------------
73,876 - 80,036 - 1,601,348 -
- - - - - -
(15) - (78,986) - (11,370) -
- --------------------------------------------------------------------------------------------------------------------
73,861 - 1,050 - 1,589,978 -
- --------------------------------------------------------------------------------------------------------------------
21,165,342 1,496,014 (43,507,237) 48,016,131 (40,697,946) (73,671,050)
- --------------------------------------------------------------------------------------------------------------------
$90,781,353 $ 69,616,011 $115,841,428 $159,348,665 $531,864,457 $572,562,403
====================================================================================================================
$ 96,057 $ 69,076 $ - $ - $ 3,928,272 $ 555,248
====================================================================================================================
2,487,948 4,898,248 12,819,647 108,119,221 2,151,422 3,694,547
28,682 353,586 5,409 2,036,267 932,697 2,939,189
(265,587) (527,898) (56,333,343) (62,139,357) (7,840,678) (12,480,000)
- --------------------------------------------------------------------------------------------------------------------
2,251,043 4,723,936 (43,508,287) 48,016,131 (4,756,559) (5,846,264)
- --------------------------------------------------------------------------------------------------------------------
10,570 - 80,036 - 161,616 -
- - - - - -
(2) - (78,986) - (1,141) -
- --------------------------------------------------------------------------------------------------------------------
10,568 - 1,050 - 160,475 -
====================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
79
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
HIGH INCOME FUND DIVERSIFIED INCOME FUND
================================ ================================
SIX MONTHS SIX MONTHS
ENDED FOR THE ENDED FOR THE
6/30/09 YEAR ENDED 6/30/09 YEAR ENDED
(UNAUDITED) 12/31/08 (UNAUDITED) 12/31/08
==============================================================================================================================
NET ASSETS AT BEGINNING OF PERIOD $90,728,399 $135,044,915 $438,046,968 $ 637,606,291
------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income 3,779,582 8,590,695 9,192,002 23,476,423
Net realized loss (3,301,404) (11,911,310) (38,284,220) (17,051,142)
Net change in unrealized
appreciation (depreciation) 14,513,195 (14,023,592) 26,619,814 (82,034,000)
------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations 14,991,373 (17,344,207) (2,472,404) (75,608,719)
------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class I (2,678,684) (9,037,895) (6,397,258) (23,213,706)
Net realized gains
Class I - - - (534,313)
------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (2,678,684) (9,037,895) (6,397,258) (23,748,019)
CAPITAL STOCK TRANSACTIONS:
CLASS I SHARES
Shares sold 3,100,257 3,099,561 5,104,673 5,937,046
Issued to shareholders in reinvestment
of distributions 2,678,684 9,037,895 6,397,258 23,748,019
Shares redeemed (9,912,055) (30,071,870) (40,409,393) (129,887,650)
------------------------------------------------------------------------
Net decrease from capital stock transactions (4,133,114) (17,934,414) (28,907,462) (100,202,585)
------------------------------------------------------------------------
CLASS II SHARES(1):
Shares sold 246,121 - 1,241,977 -
Issued to shareholders in reinvestment
of distributions - - - -
Shares redeemed (3,009) - (46,735) -
------------------------------------------------------------------------
Net increase from capital stock transactions 243,112 - 1,195,242 -
------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 8,422,687 (44,316,516) (36,581,882) (199,559,323)
------------------------------------------------------------------------
NET ASSETS AT END OF PERIOD $99,151,086 $ 90,728,399 $401,465,086 $ 438,046,968
========================================================================
Undistributed (distributions in excess of)
net investment income $ 1,258,370 $ 157,472 $ 3,103,358 $ 308,614
========================================================================
CAPITAL SHARE TRANSACTIONS:
CLASS I SHARES
Shares sold 389,321 377,537 372,648 360,534
Issued to shareholders in reinvestment
of distributions 333,480 1,219,447 470,133 1,641,275
Shares redeemed (1,250,147) (3,386,525) (2,958,518) (7,897,382)
------------------------------------------------------------------------
Net decrease from capital share transactions (527,346) (1,789,541) (2,115,737) (5,895,573)
------------------------------------------------------------------------
CLASS II SHARES(1):
Shares sold 29,603 - 88,358 -
Issued to shareholders in reinvestment
of distributions - - - -
Shares redeemed (368) - (3,292) -
------------------------------------------------------------------------
Net increase from capital share transactions 29,235 - 85,066 -
========================================================================
- ------------------------------------------------------
(1) Class II shares commenced investment operations on May 1, 2009.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
80
================================================================================
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND LARGE CAP GROWTH FUND MID CAP VALUE FUND
================================== =================================== ================================
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED FOR THE ENDED FOR THE ENDED FOR THE
6/30/09 YEAR ENDED 6/30/09 YEAR ENDED 6/30/09 YEAR ENDED
(UNAUDITED) 12/31/08 (UNAUDITED) 12/31/08 (UNAUDITED) 12/31/08
========================================================================================================================
$609,443,601 $1,229,433,349 $352,473,289 $ 665,239,561 $157,948,916 $ 317,338,350
- ------------------------------------------------------------------------------------------------------------------------
8,022,741 22,073,694 1,510,026 3,342,922 1,161,540 3,904,573
(26,023,766) (99,539,308) (28,306,106) (86,382,103) (30,791,285) (43,084,929)
(5,226,529) (312,297,708) 77,108,397 (151,997,328) 34,620,518 (67,225,588)
- ------------------------------------------------------------------------------------------------------------------------
(23,227,554) (389,763,322) 50,312,317 (235,036,509) 4,990,773 (106,405,944)
- ------------------------------------------------------------------------------------------------------------------------
(6,300,982) (21,524,382) (943,450) (3,336,233) (690,475) (3,619,123)
- (840,025) - (1,186,434) - (403,215)
- ------------------------------------------------------------------------------------------------------------------------
(6,300,982) (22,364,407) (943,450) (4,522,667) (690,475) (4,022,338)
12,934,717 15,895,797 12,422,492 47,534,033 7,545,380 10,959,054
6,300,982 22,364,407 943,450 4,522,667 690,475 4,022,338
(34,618,898) (246,122,223) (20,605,076) (125,263,796) (10,332,829) (63,942,544)
- ------------------------------------------------------------------------------------------------------------------------
(15,383,199) (207,862,019) (7,239,134) (73,207,096) (2,096,974) (48,961,152)
- ------------------------------------------------------------------------------------------------------------------------
535,723 - 918,601 - 459,009 -
- - - - - -
(3,300) - (3,746) - (1,867) -
- ------------------------------------------------------------------------------------------------------------------------
532,423 - 914,855 - 457,142 -
- ------------------------------------------------------------------------------------------------------------------------
(44,379,312) (619,989,748) 43,044,588 (312,766,272) 2,660,466 (159,389,434)
- ------------------------------------------------------------------------------------------------------------------------
$565,064,289 $ 609,443,601 $395,517,877 $ 352,473,289 $160,609,382 $ 157,948,916
========================================================================================================================
$ 2,084,225 $ 362,466 $ 596,480 $ 29,904 $ 483,233 $ 12,168
========================================================================================================================
743,042 685,787 827,956 2,377,672 818,954 871,303
364,743 1,150,037 60,896 284,492 74,179 403,077
(2,036,527) (9,493,310) (1,418,315) (6,834,822) (1,172,662) (5,364,886)
- ------------------------------------------------------------------------------------------------------------------------
(928,742) (7,657,486) (529,463) (4,172,658) (279,529) (4,090,506)
- ------------------------------------------------------------------------------------------------------------------------
28,585 - 55,716 - 46,622 -
- - - - - -
(182) - (225) - (190) -
- ------------------------------------------------------------------------------------------------------------------------
28,403 - 55,491 - 46,432 -
========================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
81
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
MID CAP GROWTH FUND SMALL CAP VALUE FUND
================================ ==============================
SIX MONTHS SIX MONTHS
ENDED FOR THE ENDED FOR THE
6/30/09 YEAR ENDED 6/30/09 YEAR ENDED
(UNAUDITED) 12/31/08 (UNAUDITED) 12/31/08
============================================================================================================================
NET ASSETS AT BEGINNING OF PERIOD $166,464,913 $ 367,318,262 $5,985,697 $ 5,623,660
----------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) (128,683) 247,666 29,576 63,947
Net realized loss (62,010,189) (62,918,236) (547,954) (391,085)
Net change in unrealized appreciation
(depreciation) 97,040,043 (97,671,167) 693,149 (1,521,635)
----------------------------------------------------------------------
Net increase (decrease) in net assets
from operations 34,901,171 (160,341,737) 174,771 (1,848,773)
----------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class I (5,837) (241,829) (15,858) (58,710)
Net realized gains
Class I - (3,840,199) - (1,246)
----------------------------------------------------------------------
TOTAL DISTRIBUTIONS (5,837) (4,082,028) (15,858) (59,956)
CAPITAL STOCK TRANSACTIONS:
CLASS I SHARES
Shares sold 10,525,331 11,326,492 619,551 2,761,819
Issued to shareholders in reinvestment
of distributions 5,837 4,082,028 15,858 59,956
Shares redeemed (8,908,465) (51,838,104) (345,229) (551,009)
----------------------------------------------------------------------
Net increase (decrease) from capital
stock transactions 1,622,703 (36,429,584) 290,180 2,270,766
----------------------------------------------------------------------
CLASS II SHARES(1):
Shares sold 289,093 - 130,438 -
Issued to shareholders in reinvestment - - - -
of distributions
Shares redeemed (539) - (21) -
----------------------------------------------------------------------
Net increase from capital stock transactions 288,554 - 130,417 -
----------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 36,806,591 (200,853,349) 579,510 362,037
----------------------------------------------------------------------
NET ASSETS AT END OF PERIOD $203,271,504 $ 166,464,913 $6,565,207 $ 5,985,697
======================================================================
Undistributed (distributions in excess of)
net investment income $ (128,683) $ 5,837 $ 13,718 $ -
======================================================================
CAPITAL SHARE TRANSACTIONS:
CLASS I SHARES
Shares sold 3,257,990 2,778,937 105,137 345,858
Issued to shareholders in reinvestment
of distributions 1,753 780,262 2,521 9,415
Shares redeemed (2,916,495) (12,214,832) (59,838) (72,967)
----------------------------------------------------------------------
Net increase (decrease) from capital
share transactions 343,248 (8,655,633) 47,820 282,306
----------------------------------------------------------------------
CLASS II SHARES(1):
Shares sold 78,124 - 19,444 -
Issued to shareholders in reinvestment
of distributions - - - -
Shares redeemed (148) - (3) -
----------------------------------------------------------------------
Net increase from capital share transactions 77,976 - 19,441 -
======================================================================
- -------------------------------------------------------
(1) Class II shares commenced investment operations on May 1, 2009.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
82
================================================================================
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND GLOBAL SECURITIES FUND INTERNATIONAL STOCK FUND
================================ ================================ ==================================
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED FOR THE ENDED FOR THE ENDED FOR THE
6/30/09 YEAR ENDED 6/30/09 YEAR ENDED 6/30/09 YEAR ENDED
(unaudited) 12/31/08 (unaudited) 12/31/08 (unaudited) 12/31/08
======================================================================================================================
$4,043,251 $ 6,033,896 $29,335,724 $ 56,034,069 $72,768,214 $164,151,307
- ----------------------------------------------------------------------------------------------------------------------
(2,156) (8,859) 495,295 1,479,885 1,237,811 3,063,387
(933,722) (2,289,210) (6,028,727) (244,126) (9,611,699) (13,589,243)
943,765 (826,558) 5,254,078 (21,001,971) 12,352,909 (48,756,010)
- ----------------------------------------------------------------------------------------------------------------------
7,887 (3,124,627) (279,354) (19,766,212) 3,979,021 (59,281,866)
- ----------------------------------------------------------------------------------------------------------------------
- (559) (48,913) (2,174,907) (83,748) (2,364,650)
- (788) - (667,981) - (6,216,528)
- ----------------------------------------------------------------------------------------------------------------------
- (1,347) (48,913) (2,842,888) (83,748) (8,581,178)
295,424 1,984,927 940,192 1,729,364 2,920,946 5,064,766
- 1,347 48,913 2,842,888 83,748 8,581,178
(257,299) (850,945) (1,570,843) (8,661,497) (5,085,863) (37,165,993)
- ----------------------------------------------------------------------------------------------------------------------
38,125 1,135,329 (581,738) (4,089,245) (2,081,169) (23,520,049)
- ----------------------------------------------------------------------------------------------------------------------
3,956 - 159,947 - 621,558 -
- - - - - -
- - (24) - (2,730) -
- ----------------------------------------------------------------------------------------------------------------------
3,956 - 159,923 - 618,828 -
- ----------------------------------------------------------------------------------------------------------------------
49,968 (1,990,645) (750,082) (26,698,345) 2,432,932 (91,383,093)
- ----------------------------------------------------------------------------------------------------------------------
$4,093,219 $ 4,043,251 $28,585,642 $ 29,335,724 $75,201,146 $ 72,768,214
======================================================================================================================
$ (2,156) $ - $ 495,295 $ 48,913 $ 1,091,597 $ (62,466)
======================================================================================================================
55,116 237,028 181,704 216,936 408,358 495,769
- 145 9,556 440,417 11,998 846,956
(49,526) (125,383) (311,163) (1,056,000) (744,025) (4,010,459)
- ----------------------------------------------------------------------------------------------------------------------
5,590 111,790 (119,903) (398,647) (323,669) (2,667,734)
- ----------------------------------------------------------------------------------------------------------------------
693 - 27,726 - 78,001 -
- - - - - -
- - (4) - (340) -
- ----------------------------------------------------------------------------------------------------------------------
693 - 27,722 - 77,661 -
======================================================================================================================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
83
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
TARGET RETIREMENT 2020 FUND TARGET RETIREMENT 2030 FUND
================================ ==============================
SIX MONTHS SIX MONTHS
ENDED FOR THE ENDED FOR THE
6/30/09 YEAR ENDED 6/30/09 YEAR ENDED
(unaudited) 12/31/08 (unaudited) 12/31/08
============================================================================================================================
NET ASSETS AT BEGINNING OF PERIOD $ 8,718,521 $ 2,523,992 $ 8,010,286 $ 1,521,478
---------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income 70,092 176,516 40,722 138,548
Net realized loss (259,889) (1,718,359) (152,177) (1,334,542)
Net change in unrealized appreciation
(depreciation) 1,262,189 (1,774,347) 1,311,681 (2,227,775)
---------------------------------------------------------------------
Net increase (decrease) in net assets
from operations 1,072,392 (3,316,190) 1,200,226 (3,423,769)
---------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class I (52,451) (211,428) (57,357) (139,545)
Net realized gains
Class I - (35,204) - (25,438)
---------------------------------------------------------------------
TOTAL DISTRIBUTIONS (52,451) (246,632) (57,357) (164,983)
CAPITAL STOCK TRANSACTIONS:
CLASS I SHARES
Shares sold 3,532,278 11,494,999 3,778,386 10,553,873
Issued to shareholders in reinvestment
of distributions 52,451 246,632 57,357 164,983
Shares redeemed (422,095) (1,984,280) (209,793) (641,296)
---------------------------------------------------------------------
Net increase from capital stock transactions 3,162,634 9,757,351 3,625,950 10,077,560
---------------------------------------------------------------------
CLASS II SHARES(1):
Shares sold 1,000 - 1,000 -
Issued to shareholders in reinvestment
of distributions - - - -
Shares redeemed - - - -
---------------------------------------------------------------------
Net increase from capital stock transactions 1,000 - 1,000 -
---------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 4,183,575 6,194,529 4,769,819 6,488,808
---------------------------------------------------------------------
NET ASSETS AT END OF PERIOD $12,902,096 $ 8,718,521 $12,780,105 $ 8,010,286
=====================================================================
Undistributed (distributions in excess of)
net investment income $ 29,062 $ 11,421 $ 17,357 $ 33,992
=====================================================================
CAPITAL SHARE TRANSACTIONS:
CLASS I SHARES
Shares sold 588,436 1,407,757 671,850 1,287,487
Issued to shareholders in reinvestment
of distributions 8,442 38,543 9,694 26,965
Shares redeemed (74,090) (265,109) (36,682) (81,180)
---------------------------------------------------------------------
Net increase from capital share transactions 522,788 1,181,191 644,862 1,233,272
---------------------------------------------------------------------
CLASS II SHARES(1):
Shares sold 160 - 168 -
Issued to shareholders in reinvestment
of distributions - - - -
Shares redeemed - - - -
---------------------------------------------------------------------
Net increase from capital share transactions 160 - 168 -
=====================================================================
- -------------------------------------------------------
(1) Class II shares commenced investment operations on May 1, 2009.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
84
================================================================================
- --------------------------------------------------------------------------------
TARGET RETIREMENT 2040 FUND
==============================
SIX MONTHS
ENDED FOR THE
6/30/09 YEAR ENDED
(unaudited) 12/31/08
==============================
$ 6,385,244 $ 1,192,945
- ------------------------------
3,937 86,355
(91,197) (1,413,390)
1,134,443 (1,630,888)
- ------------------------------
1,047,183 (2,957,923)
- ------------------------------
(32,782) (80,259)
- (24,465)
- ------------------------------
(32,782) (104,724)
3,526,992 8,734,729
32,782 104,724
(127,547) (584,507)
- ------------------------------
3,432,227 8,254,946
- ------------------------------
1,000 -
- -
- -
- ------------------------------
1,000 -
- ------------------------------
4,447,628 5,192,299
- ------------------------------
$10,832,872 $ 6,385,244
==============================
$ 3,065 $ 31,910
==============================
672,792 1,117,010
5,891 17,272
(25,633) (84,076)
- ------------------------------
653,050 1,050,206
- ------------------------------
179 -
- -
- -
- ------------------------------
179 -
==============================
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
85
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
CONSERVATIVE ALLOCATION FUND
======================================================================
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/09 ------------------------------- INCEPTION
(unaudited) 2008 2007 to 12/31/06(1)
==============================================================================================================================
CLASS I
- -------
NET ASSET VALUE at beginning of period $ 8.48 $ 10.77 $ 10.60 $10.00
----------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(3) 0.12 0.35 0.45 0.23
Net realized and unrealized gain (loss)
on investments 0.32 (2.27) (0.03) 0.51
----------------------------------------------------------------------
Total from investment operations 0.44 (1.92) 0.42 0.74
----------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.09) (0.27) (0.23) (0.14)
Distributions from capital gains - (0.10) (0.02) -
----------------------------------------------------------------------
Total distributions (0.09) (0.37) (0.25) (0.14)
----------------------------------------------------------------------
Net increase (decrease) in net asset value 0.35 (2.29) 0.17 0.60
----------------------------------------------------------------------
NET ASSET VALUE at end of period $ 8.83 $ 8.48 $ 10.77 $10.60
======================================================================
TOTAL RETURN(4) 5.23%(5) (17.89)% 3.92% 7.34%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $143,607 $116,678 $66,747 $9,113
Ratio of expenses to average net assets
Before management fee reduction 0.32%(6) 0.31% 0.31% 0.34%(6)
After management fee reduction 0.32%(6) 0.28% 0.21% 0.24%(6)
Ratio of net investment income to average net assets 2.89%(6) 3.53% 4.12% 4.25%(6)
Portfolio Turnover 23%(5) 71% 28% 24%(5)
</table><table>
INCEPTION
to 6/30/09(2)
(unaudited)
====================================================================
CLASS II
- --------
NET ASSET VALUE at beginning of period $ 8.51
----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(3) 0.07
Net realized and unrealized gain
(loss) on investments 0.25
----------
Total from investment operations 0.32
----------
Net increase (decrease) in net asset value 0.32
----------
NET ASSET VALUE at end of period $ 8.83
==========
TOTAL RETURN(4) 3.69%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $1,935
Ratio of expenses to average net assets 0.58%(6)
Ratio of net investment income to average net assets 4.48%(6)
Portfolio Turnover 23%(5)
- -------------------------------------------------
(1) Commenced investment operations June 30, 2006. (2) Commenced investment
operations May 1, 2009. (3) Based on average shares outstanding during the
year.
(4) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(5) Not annualized. (6) Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
86
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
MODERATE ALLOCATION FUND
======================================================================
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/09 ------------------------------- INCEPTION
(unaudited) 2008 2007 to 12/31/06(1)
==============================================================================================================================
CLASS I
- -------
NET ASSET VALUE at beginning of period $ 7.51 $ 11.21 $ 10.86 $ 10.00
----------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(3) 0.07 0.21 0.28 0.20
Net realized and unrealized gain (loss)
on investments 0.37 (3.55) 0.32 0.79
----------------------------------------------------------------------
Total from investment operations 0.44 (3.34) 0.60 0.99
----------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.05) (0.17) (0.19) (0.13)
Distributions from capital gains - (0.19) (0.06) (0.00)(5)
----------------------------------------------------------------------
Total distributions (0.05) (0.36) (0.25) (0.13)
----------------------------------------------------------------------
Net increase (decrease) in net asset value 0.39 (3.70) 0.35 0.86
----------------------------------------------------------------------
NET ASSET VALUE at end of period $ 7.90 $ 7.51 $ 11.21 $ 10.86
======================================================================
TOTAL RETURN(4) 5.83%(6) (30.23)% 5.56% 9.87%(6)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $280,354 $243,761 $218,281 $36,994
Ratio of expenses to average net assets
Before management fee reduction 0.32%(7) 0.31% 0.31% 0.34%(7)
After management fee reduction 0.32%(7) 0.28% 0.21% 0.24%(7)
Ratio of net investment income to average net assets 1.79%(7) 2.20% 2.45% 3.74%(7)
Portfolio Turnover 13%(6) 69% 29% 23%(6)
</table><Table>
INCEPTION
to 6/30/09(2)
(unaudited)
====================================================================
CLASS II
- --------
NET ASSET VALUE at beginning of period $ 7.56
----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(3) 0.03
Net realized and unrealized gain (loss)
on investments 0.30
----------
Total from investment operations 0.33
----------
Net increase (decrease) in net asset value 0.33
----------
NET ASSET VALUE at end of period $ 7.89
==========
TOTAL RETURN(4) 4.39%(6)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $2,571
Ratio of expenses to average net assets 0.57%(7)
Ratio of net investment income to average net assets 2.42%(7)
Portfolio Turnover 13%(6)
- -------------------------------------------------
(1) Commenced investment operations June 30, 2006. (2) Commenced investment
operations May 1, 2009. (3) Based on average shares outstanding during the
year.
(4) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(5) Amount represents less than $0.005 per share. (6) Not annualized. (7)
Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
87
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
AGGRESSIVE ALLOCATION FUND
=======================================================================
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/09 ------------------------------- INCEPTION
(unaudited) 2008 2007 to 12/31/06(1)
===============================================================================================================================
CLASS I
- -------
NET ASSET VALUE at beginning of period $ 6.57 $ 11.61 $ 11.10 $ 10.00
---------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(3) 0.02 0.09 0.09 0.15
Net realized and unrealized gain (loss)
on investments 0.49 (4.74) 0.77 1.10
---------------------------------------------------------------------
Total from investment operations 0.51 (4.65) 0.86 1.25
---------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.02) (0.06) (0.14) (0.15)
Distributions from capital gains - (0.33) (0.21) -
---------------------------------------------------------------------
Total distributions (0.02) (0.39) (0.35) (0.15)
---------------------------------------------------------------------
Net increase (decrease) in net asset value 0.49 (5.04) 0.51 1.10
---------------------------------------------------------------------
NET ASSET VALUE at end of period $ 7.06 $ 6.57 $ 11.61 $ 11.10
=====================================================================
TOTAL RETURN(4) 7.71%(5) (41.09)% 7.69% 12.49%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $90,707 $69,616 $68,120 $21,547
Ratio of expenses to average net assets
Before management fee reduction 0.32%(6) 0.31% 0.31% 0.33%(6)
After management fee reduction 0.32%(6) 0.28% 0.21% 0.23%(6)
Ratio of net investment income to average net assets 0.58%(6) 0.94% 0.79% 2.71%(6)
Portfolio Turnover 1%(5) 67% 46% 21%(5)
</table><table>
INCEPTION
to 6/30/09(2)
(unaudited)
====================================================================
CLASS II
- --------
NET ASSET VALUE at beginning of period $6.69
---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(3) 0.01
Net realized and unrealized gain (loss)
on investments 0.36
---------
Total from investment operations 0.37
---------
Net increase (decrease) in net asset value 0.37
---------
NET ASSET VALUE at end of period $7.06
=========
TOTAL RETURN(4) 5.47%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 74
Ratio of expenses to average net assets 0.57%(6)
Ratio of net investment income to average net assets 1.04%(6)
Portfolio Turnover 1%(5)
- -------------------------------------------------
(1) Commenced investment operations June 30, 2006. (2) Commenced investment
operations May 1, 2009. (3) Based on average shares outstanding during the
year.
(4) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(5) Not annualized. (6) Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
88
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
MONEY MARKET FUND
----------------------------------------------------------------------------------
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/09 ----------------------------------------------------------------
(unaudited) 2008 2007 2006 2005 2004
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I
- -------
NET ASSET VALUE at beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.00(4) 0.02 0.05 0.04 0.03 0.01
Net realized and unrealized gain (loss)
on investments - 0.00(4) 0.00(4) 0.00(4) - 0.00(4)
----------------------------------------------------------------------------------
Total from investment operations 0.00 0.02 0.05 0.04 0.03 0.01
----------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.00)(4) (0.02) (0.05) (0.04) (0.03) (0.01)
----------------------------------------------------------------------------------
Net increase (decrease) in net asset value - - - - - -
----------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
==================================================================================
TOTAL RETURN(3) 0.00%(5) 1.75% 4.71% 4.54% 2.78% 0.92%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $115,840 $159,349 $111,333 $100,462 $94,637 $129,004
Ratio of expenses to average net assets
Before waiver of expenses by Adviser 0.47%(6) 0.47% 0.46% 0.46% 0.46% 0.45%
After waiver of expenses by Adviser 0.34%(6),(7) 0.47% 0.46% 0.46% 0.46% 0.45%
Ratio of net investment income to average
net assets 0.01%(6) 1.67% 4.58% 4.42% 2.73% 0.90%
</table><table>
INCEPTION
to 6/30/09(1)
(unaudited)
=====================================================================
CLASS II
- --------
NET ASSET VALUE at beginning of period $1.00
---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) -
Net realized and unrealized gain (loss)
on investments -
---------
Total from investment operations -
---------
LESS DISTRIBUTIONS:
Distributions from net investment income -
Distributions from capital gains -
---------
Total distributions -
---------
Net increase (decrease) in net asset value -
---------
NET ASSET VALUE at end of period $1.00
=========
TOTAL RETURN(3) 0.00%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 1
Ratio of expenses to average net assets
Before waiver of expenses by Adviser 0.71%(6)
After waiver of expenses by Adviser 0.30%(6),(7)
Ratio of net investment income to average net assets 0.00%(6)
- ------------------------------------------------
(1) Commenced investment operations May 1, 2009. (2) Based on average shares
outstanding during the year.
(3) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(4) Amount represents less than $0.005 per share. (5) Not annualized. (6)
Annualized.
(7) Amount includes fees waived by the adviser and distributor (see Note 3)
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
89
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
BOND FUND
-----------------------------------------------------------------------------
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/09 -------------------------------------------------------------
(unaudited) 2008 2007 2006 2005 2004
- ------------------------------------------------------------------------------------------------------------------------------
CLASS I
- -------
NET ASSET VALUE at beginning of period $ 9.94 $ 10.19 $ 10.11 $ 10.17 $ 10.34 $ 10.43
----------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.23 0.50 0.49 0.47 0.42 0.42
Net realized and unrealized gain (loss)
on investments 0.04 (0.21) 0.02 (0.06) (0.16) (0.07)
----------------------------------------------------------------------------
Total from investment operations 0.27 0.29 0.51 0.41 0.26 0.35
----------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.17) (0.54) (0.43) (0.47) (0.43) (0.44)
----------------------------------------------------------------------------
Net increase (decrease) in net asset value 0.10 (0.25) 0.08 (0.06) (0.17) (0.09)
----------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 10.04 $ 9.94 $ 10.19 $ 10.11 $ 10.17 $ 10.34
=============================================================================
TOTAL RETURN(3) 2.67%(4) 2.86% 5.05% 4.01% 2.51% 3.36%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $530,254 $572,562 $646,233 $659,273 $623,976 $574,156
Ratio of expenses to average net assets 0.57%(5) 0.56% 0.56% 0.56% 0.56% 0.55%
Ratio of net investment income to average
net assets 4.57%(5) 4.84% 4.81% 4.54% 4.06% 4.02%
Portfolio Turnover 18%(4) 12% 29% 27% 51% 67%
</table><table>
INCEPTION
to 6/30/09(1)
(unaudited)
===================================================================
Class II
- --------
NET ASSET VALUE at beginning of period $ 9.85
----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.07
Net realized and unrealized gain (loss)
on investments 0.11
----------
Total from investment operations 0.18
----------
Net increase (decrease) in net asset value 0.18
----------
NET ASSET VALUE at end of period $10.03
==========
TOTAL RETURN(3) 1.88%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $1,610
Ratio of expenses to average net assets 0.82%(5)
Ratio of net investment income to average net assets 4.44%(5)
Portfolio Turnover 18%(4)
- ------------------------------------------------
(1) Commenced investment operations May 1, 2009. (2) Based on average shares
outstanding during the year.
(3) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(4) Not annualized. (5) Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
90
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
HIGH INCOME FUND
-----------------------------------------------------------------------------
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/09 ---------------------------------------------------------------
(unaudited) 2008 2007 2006 2005 2004
- -------------------------------------------------------------------------------------------------------------------------------
CLASS I
- -------
NET ASSET VALUE at beginning of period $ 7.34 $ 9.54 $ 10.16 $ 10.01 $ 10.40 $ 10.16
------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.32 0.67 0.76 0.74 0.68 0.74
Net realized and unrealized gain (loss)
on investments 0.93 (2.07) (0.53) 0.16 (0.42) 0.16
------------------------------------------------------------------------------
Total from investment operations 1.25 (1.40) 0.23 0.90 0.26 0.90
------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.23) (0.80) (0.85) (0.74) (0.65) (0.66)
Distributions from capital gains - - (0.00)(4) (0.01) - -
------------------------------------------------------------------------------
Total distributions (0.23) (0.80) (0.85) (0.75) (0.65) (0.66)
------------------------------------------------------------------------------
Net increase (decrease) in net asset value 1.02 (2.20) (0.62) 0.15 (0.39) 0.24
------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 8.36 $ 7.34 $ 9.54 $ 10.16 $ 10.01 $ 10.40
==============================================================================
TOTAL RETURN(3) 17.10%(5) (14.74)% 2.29% 9.03% 2.51% 8.92%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $98,907 $90,728 $135,045 $153,528 $134,032 $118,318
Ratio of expenses to average net assets 0.77%(6) 0.76% 0.76% 0.77% 0.76% 0.76%
Ratio of net investment income to average
net assets 7.94%(6) 7.42% 7.27% 7.12% 6.47% 7.08%
Portfolio Turnover 33%(5) 45% 73% 64% 86%(7) 58%
INCEPTION
to 6/30/09(1)
(unaudited)
====================================================================
CLASS II
- --------
NET ASSET VALUE at beginning of period $8.14
---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.11
Net realized and unrealized gain (loss)
on investments 0.10
---------
Total from investment operations 0.21
---------
Net increase (decrease) in net asset value 0.21
---------
NET ASSET VALUE at end of period $8.35
=========
TOTAL RETURN(3) 2.58%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 244
Ratio of expenses to average net assets 1.02%(6)
Ratio of net investment income to average net assets 7.83%(6)
Portfolio Turnover 33%(5)
- ------------------------------------------------
(1) Commenced investment operations May 1, 2009. (2) Based on average shares
outstanding during the year.
(3) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(4) Amount represents less than $0.005 per share. (5) Not annualized. (6)
Annualized.
(7) Subadviser change February 28, 2005.
- -------------------------------------------------------
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
91
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
DIVERSIFIED INCOME FUND
-----------------------------------------------------------------------------
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/09 --------------------------------------------------------------
(unaudited) 2008 2007 2006 2005 2004
- -------------------------------------------------------------------------------------------------------------------------------
CLASS I
- -------
NET ASSET VALUE at beginning of period $ 14.46 $ 17.62 $ 18.46 $ 19.40 $ 19.11 $ 18.04
------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.32 0.72 0.79 0.49 0.42 0.43
Net realized and unrealized gain (loss)
on investments (0.35) (3.05) (0.32) 1.45 0.32 1.08
------------------------------------------------------------------------------
Total from investment operations (0.03) (2.33) 0.47 1.94 0.74 1.51
------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.23) (0.81) (0.80) (0.55) (0.45) (0.44)
Distributions from capital gains - (0.02) (0.51) (2.33) - -
------------------------------------------------------------------------------
Total distributions (0.23) (0.83) (1.31) (2.88) (0.45) (0.44)
------------------------------------------------------------------------------
Net increase (decrease) in net asset value (0.26) (3.16) (0.84) (0.94) 0.29 1.07
------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 14.20 $ 14.46 $ 17.62 $ 18.46 $ 19.40 $ 19.11
==============================================================================
TOTAL RETURN(3) (0.12)%(5) (13.25)% 2.51% 9.98%(4) 3.89% 8.34%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $400,257 $438,047 $637,606 $735,881 $785,301 $785,856
Ratio of expenses to average net assets 0.72%(6) 0.71% 0.71% 0.71% 0.71% 0.70%
Ratio of net investment income to average
net assets 4.64%(6) 4.37% 4.21% 2.52% 2.18% 2.34%
Portfolio Turnover 16%(5) 14% 41% 62% 52% 38%
INCEPTION
to 6/30/09(1)
(unaudited)
=====================================================================
CLASS II
- --------
NET ASSET VALUE at beginning of period $13.74
----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.09
Net realized and unrealized gain (loss)
on investments 0.37
----------
Total from investment operations 0.46
----------
Net increase (decrease) in net asset value 0.46
----------
NET ASSET VALUE at end of period $14.20
==========
TOTAL RETURN(3) 3.33%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $1,208
Ratio of expenses to average net assets 0.96%(6)
Ratio of net investment income to average net assets 3.90%(6)
Portfolio Turnover 16%(5)
- ------------------------------------------------
(1) Commenced investment operations May 1, 2009. (2) Based on average shares
outstanding during the year.
(3) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(4) In 2006, 0.01% of the Fund's total return consisted of a voluntary
reimbursement by the Adviser for a realized investment loss. Excluding this
reimbursement, the total return would have been 9.97%.
(5) Not annualized. (6) Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
92
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND
----------------------------------------------------------------------------------
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/09 -------------------------------------------------------------------
(unaudited) 2008 2007 2006 2005 2004
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I
- -------
NET ASSET VALUE at beginning of period $ 19.42 $ 31.49 $ 35.14 $ 3 1.62 $ 30.47 $ 27.52
----------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.26 0.65 0.68 0.65 0.54 0.46
Net realized and unrealized gain (loss)
on investments (0.94) (11.99) (0.45) 5.87 1.16 2.95
----------------------------------------------------------------------------------
Total from investment operations (0.68) (11.34) 0.23 6.52 1.70 3.41
----------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.21) (0.71) (0.71) (0.67) (0.55) (0.46)
Distributions from capital gains - (0.02) (3.17) (2.33) - -
----------------------------------------------------------------------------------
Total distributions (0.21) (0.73) (3.88) (3.00) (0.55) (0.46)
----------------------------------------------------------------------------------
Net increase (decrease) in net asset value (0.89) (12.07) (3.65) 3.52 1.15 2.95
----------------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 18.53 $ 19.42 $ 31.49 $ 35.14 $ 31.62 $ 30.47
==================================================================================
TOTAL RETURN(3) (3.40)%(4) (35.99)% 0.60% 20.55% 5.58% 12.43%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $564,538 $609,444 $1,229,433 $1,390,778 $1,239,868 $1,205,082
Ratio of expenses to average net assets 0.62%(5) 0.61% 0.61% 0.61% 0.61% 0.60%
Ratio of net investment income to average
net assets 3.01%(5) 2.42% 1.87% 1.91% 1.74% 1.67%
Portfolio Turnover 18%(4) 38% 45% 35% 28% 15%
INCEPTION
to 6/30/09(1)
(unaudited)
=====================================================================
CLASS II
- --------
NET ASSET VALUE at beginning of period $17.74
----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.05
Net realized and unrealized gain (loss)
on investments 0.74
----------
Total from investment operations 0.79
----------
Net increase (decrease) in net asset value 0.79
----------
NET ASSET VALUE at end of period $18.53
==========
TOTAL RETURN(3) 4.42%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 526
Ratio of expenses to average net assets 0.86%(5)
Ratio of net investment income to average net assets 1.47%(5)
Portfolio Turnover 18%(4)
- ------------------------------------------------
(1) Commenced investment operations May 1, 2009. (2) Based on average shares
outstanding during the year.
(3) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(4) Not annualized. (5) Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
93
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND
=============================================================================
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/09 -------------------------------------------------------------
(unaudited) 2008 2007 2006 2005 2004
================================================================================================================================
CLASS I
- -------
NET ASSET VALUE at beginning of period $ 14.50 $ 23.36 $ 21.47 $ 19.97 $ 19.68 $ 18.19
-----------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.06 0.12 0.08 0.07 0.17 0.15
Net realized and unrealized gain (loss)
on investments 2.07 (8.80) 2.59 1.51 0.30 1.48
-----------------------------------------------------------------------------
Total from investment operations 2.13 (8.68) 2.67 1.58 0.47 1.63
-----------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.04) (0.14) (0.09) (0.08) (0.18) (0.14)
Distributions from capital gains - (0.04) (0.69) - - -
-----------------------------------------------------------------------------
Total distributions (0.04) (0.18) (0.78) (0.08) (0.18) (0.14)
-----------------------------------------------------------------------------
Net increase (decrease) in net asset value 2.09 (8.86) 1.89 1.50 0.29 1.49
-----------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 16.59 $ 14.50 $ 23.36 $ 21.47 $ 19.97 $ 19.68
=============================================================================
TOTAL RETURN(3) 14.74%(4) (37.20)% 12.36% 7.88% 2.42% 8.94%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $394,598 $352,473 $665,240 $669,761 $688,812 $693,762
Ratio of expenses to average net assets 0.82%(5) 0.82% 0.81% 0.81% 0.81% 0.80%
Ratio of net investment income to average
net assets 0.84%(5) 0.62% 0.34% 0.35% 0.86% 0.82%
Portfolio Turnover 61%(4) 123% 76% 87% 73% 26%
INCEPTION
to 6/30/09(1)
(unaudited)
================================================================
CLASS II
- --------
NET ASSET VALUE at beginning of period $15.78
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.01
Net realized and unrealized gain (loss)
on investments 0.80
------
Total from investment operations 0.81
------
Net increase (decrease) in net asset value 0.81
------
NET ASSET VALUE at end of period $16.59
======
TOTAL RETURN(3) 5.09%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 920
Ratio of expenses to average net assets 1.06%(5)
Ratio of net investment income to average
net assets 0.38%(5)
Portfolio Turnover 61%(4)
- -------------------------------------------------
(1) Commenced investment operations May 1, 2009. (2) Based on average shares
outstanding during the year.
(3) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(4) Not annualized. (5) Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
94
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
MID CAP VALUE FUND
=============================================================================
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/09 -------------------------------------------------------------
(unaudited) 2008 2007 2006 2005 2004
================================================================================================================================
CLASS I
- -------
NET ASSET VALUE at beginning of period $ 9.51 $ 15.34 $ 17.54 $ 17.30 $ 16.58 $ 14.66
-----------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.07 0.21 0.21 0.20 0.11 0.18
Net realized and unrealized gain (loss)
on investments 0.27 (5.80) (0.15) 2.74 1.61 2.14
-----------------------------------------------------------------------------
Total from investment operations 0.34 (5.59) 0.06 2.94 1.72 2.32
-----------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.04) (0.22) (0.18) (0.20) (0.11) (0.15)
Distributions from capital gains - (0.02) (2.08) (2.50) (0.89) (0.25)
-----------------------------------------------------------------------------
Total distributions (0.04) (0.24) (2.26) (2.70) (1.00) (0.40)
-----------------------------------------------------------------------------
Net increase (decrease) in net asset value 0.30 (5.83) (2.20) 0.24 0.72 1.92
-----------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 9.81 $ 9.51 $ 15.34 $ 17.54 $ 17.30 $ 16.58
=============================================================================
TOTAL RETURN(3) 3.61%(4) (36.45)% 0.25% 16.96% 10.32% 15.86%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $160,184 $157,949 $317,338 $343,213 $275,279 $218,060
Ratio of expenses to average net assets 1.02%(5) 1.02% 1.01% 1.01% 1.01% 1.00%
Ratio of net investment income to average
net assets 1.58%(5) 1.56% 1.16% 1.12% 0.62% 1.20%
Portfolio Turnover 47%(4) 81% 68% 95% 29% 25%
INCEPTION
to 6/30/09(1)
(unaudited)
================================================================
CLASS II
- --------
NET ASSET VALUE at beginning of period $9.55
-----
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.03
Net realized and unrealized gain (loss)
on investments 0.23
-----
Total from investment operations 0.26
-----
Net increase (decrease) in net asset value 0.26
-----
NET ASSET VALUE at end of period $9.81
=====
TOTAL RETURN(3) 2.65%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 425
Ratio of expenses to average net assets 1.25%(5)
Ratio of net investment income to average
net assets 1.82%(5)
Portfolio Turnover 47%(4)
- -------------------------------------------------
(1) Commenced investment operations May 1, 2009. (2) Based on average shares
outstanding during the year.
(3) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(4) Not annualized. (5) Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
95
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
MID CAP GROWTH FUND
=============================================================================
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/09 -------------------------------------------------------------
(unaudited) 2008 2007 2006 2005 2004
================================================================================================================================
CLASS I
- -------
NET ASSET VALUE at beginning of period $ 3.01 $ 5.75 $ 5.89 $ 6.74 $ 6.80 $ 6.20
-----------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) (0.00)(4) 0.00(4) (0.03) (0.02) (0.01) 0.00(4)
Net realized and unrealized gain (loss)
on investments 0.64 (2.68) 0.53 0.78 0.59 0.81
-----------------------------------------------------------------------------
Total from investment operations 0.64 (2.68) 0.50 0.76 0.58 0.81
-----------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.00)(4) (0.00)(4) - - - (0.00)(4)
Distributions from capital gains - (0.06) (0.64) (1.61) (0.64) (0.21)
-----------------------------------------------------------------------------
Total distributions (0.00)(4) (0.06) (0.64) (1.61) (0.64) (0.21)
-----------------------------------------------------------------------------
Net increase (decrease) in net asset value 0.64 (2.74) (0.14) (0.85) (0.06) 0.60
-----------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 3.65 $ 3.01 $ 5.75 $ 5.89 $ 6.74 $ 6.80
=============================================================================
TOTAL RETURN(3) 21.19%(5) (46.89)% 8.44% 11.38% 8.75% 13.41%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $202,987 $166,465 $367,318 $374,044 $373,921 $336,673
Ratio of expenses to average net assets 0.87%(6) 0.87% 0.86% 0.86% 0.86% 0.85%
Ratio of net investment income to average
net assets (0.15)%(6) 0.09% (0.41)% (0.22)% (0.13)% 0.04%
Portfolio Turnover 78%(5) 108% 104% 204% 88% 77%
INCEPTION
to 6/30/09(1)
(unaudited)
================================================================
CLASS II
- --------
NET ASSET VALUE at beginning of period $ 3.51
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) (0.00)(4)
Net realized and unrealized gain (loss)
on investments 0.14
------
Total from investment operations 0.14
------
Net increase (decrease) in net asset value 0.14
------
NET ASSET VALUE AT END of period $ 3.65
======
TOTAL RETURN(3) 3.91%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 285
Ratio of expenses to average net assets 1.11%6
Ratio of net investment income to average
net assets (0.45)%(6)
Portfolio Turnover 78%(5)
- -------------------------------------------------
(1) Commenced investment operations May 1, 2009. (2) Based on average shares
outstanding during the year.
(3) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(4) Amount represents less than $0.005 per share. (5) Not annualized. (6)
Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
96
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND
===============================================
SIX MONTHS
ENDED FOR THE
6/30/09 YEAR ENDED INCEPTION
(unaudited) 12/31/08 to 12/31/07(1)
==================================================================================================
CLASS I
- -------
NET ASSET VALUE at beginning of period $ 6.53 $ 8.86 $10.00
----------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(3) 0.03 0.08 0.09
Net realized and unrealized gain (loss)
on investments 0.13 (2.34) (1.05)
----------------------------------------------
Total from investment operations 0.16 (2.26) (0.96)
----------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.02) (0.07) (0.08)
Distributions from capital gains - (0.00)(5) (0.10)
----------------------------------------------
Total distributions (0.02) (0.07) (0.18)
----------------------------------------------
Net increase (decrease) in net asset value 0.14 (2.33) (1.14)
----------------------------------------------
NET ASSET VALUE at end of period $ 6.67 $ 6.53 $ 8.86
==============================================
TOTAL RETURN(4) 2.46%(6) (25.54)% (9.62)%(6)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 6,436 $ 5,986 $5,624
Ratio of expenses to average net assets 1.12%(7) 1.12% 1.04%(7)
Ratio of net investment income to average
net assets 1.04%(7) 1.03% 1.45%(7)
Portfolio Turnover 13%(6) 28% 13%(6)
INCEPTION
to 6/30/09(2)
(unaudited)
================================================================
CLASS II
- --------
NET ASSET VALUE at beginning of period $6.50
-----
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(3) 0.01
Net realized and unrealized gain (loss)
on investments 0.16
-----
Total from investment operations 0.17
-----
Net increase (decrease) in net asset value 0.17
-----
NET ASSET VALUE at end of period $6.67
=====
TOTAL RETURN(4) 2.60%(6)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 129
Ratio of expenses to average net assets 1.36%(7)
Ratio of net investment income to average
net assets 0.75%(7)
Portfolio Turnover 13%(6)
- --------------------------------------------------
(1) Commenced investment operations May 1, 2007. (2) Commenced investment
operations May 1, 2009. (3) Based on average shares outstanding during the
year.
(4) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(5) Amount represents less than $0.005 per share. (6) Not annualized. (7)
Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
97
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
===============================================
SIX MONTHS
ENDED FOR THE
6/30/09 YEAR ENDED INCEPTION
(unaudited) 12/31/08 to 12/31/07(1)
==================================================================================================
CLASS I
- -------
NET ASSET VALUE at beginning of period $ 5.63 $ 9.95 $10.00
---------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(3) (0.00)(5) (0.01) 0.01
Net realized and unrealized gain (loss)
on investments 0.02 (4.31) 0.02
---------------------------------------------
Total from investment operations 0.02 (4.32) 0.03
---------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income - (0.00)(5) (0.01)
Distributions from capital gains - (0.00)(5) (0.07)
---------------------------------------------
Total distributions - (0.00) (0.08)
---------------------------------------------
Net increase (decrease) in net asset value 0.02 (4.32) (0.05)
---------------------------------------------
NET ASSET VALUE at end of period $ 5.65 $ 5.63 $ 9.95
=============================================
TOTAL RETURN(4) 0.36%(6) (43.41)% 0.26%(6)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $4,089 $ 4,043 $6,034
Ratio of expenses to average net assets 1.12%(7) 1.12% 1.03%(7)
Ratio of net investment income to average
net assets (0.11)%(7) (0.16)% 0.19%(7)
Portfolio Turnover 92%(6) 109% 75%(6)
INCEPTION
to 6/30/09(2)
(unaudited)
================================================================
CLASS II
- --------
NET ASSET VALUE at beginning of period $ 5.57
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(3) (0.01)
Net realized and unrealized gain (loss)
on investments 0.09
------
Total from investment operations 0.08
------
Net increase (decrease) in net asset value 0.08
------
NET ASSET VALUE at end of period $ 5.65
======
TOTAL RETURN(4) 1.29%(6)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 4
Ratio of expenses to average net assets 1.34%(7)
Ratio of net investment income to average
net assets (0.73)%(7)
Portfolio Turnover 92%(6)
- -------------------------------------------------
(1) Commenced investment operations May 1, 2007. (2) Commenced investment
operations May 1, 2009. (3) Based on average shares outstanding during the
year.
(4) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(5) Amount represents less than $0.005 per share. (6) Not annualized. (7)
Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
98
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
GLOBAL SECURITIES FUND
=======================================================================
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/09 -------------------------------------------------------
(unaudited) 2008 2007 2006 2005 2004
==========================================================================================================================
NET ASSET VALUE at beginning of period $ 5.82 $ 10.30 $ 14.36 $ 12.87 $ 11.49 $ 9.72
-----------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.10 0.29 0.31 0.14 0.09 0.06
Net realized and unrealized gain (loss)
on investments (0.14) (4.18) 0.57 2.07 1.52 1.73
-----------------------------------------------------------------------
Total from investment operations (0.04) (3.89) 0.88 2.21 1.61 1.79
-----------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.01) (0.46) (0.31) (0.16) (0.09) (0.02)
Distributions from capital gains - (0.13) (4.63) (0.56) (0.14) -
-----------------------------------------------------------------------
Total distributions (0.01) (0.59) (4.94) (0.72) (0.23) (0.02)
-----------------------------------------------------------------------
Net increase (decrease) in net asset value (0.05) (4.48) (4.06) 1.49 1.38 1.77
-----------------------------------------------------------------------
NET ASSET VALUE at end of period $ 5.77 $ 5.82 $ 10.30 $ 14.36 $ 12.87 $ 11.49
=======================================================================
TOTAL RETURN(3) (0.55)%(4) (38.14)% 5.77% 17.38% 13.97% 18.42%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $28,426 $29,336 $56,034 $57,220 $42,450 $29,979
Ratio of expenses to average net assets 0.97%(5) 0.97% 0.96% 0.97% 0.97% 0.96%
Ratio of net investment income to average
net assets 3.81%(5) 3.50% 2.06% 1.01% 0.80% 0.60%
Portfolio Turnover 13%(4) 15% 112%(6) 21% 27% 18%
INCEPTION
to 6/30/09(1)
(unaudited)
================================================================
CLASS II
- --------
NET ASSET VALUE at beginning of period $5.31
-----
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.01
Net realized and unrealized gain (loss)
on investments 0.45
-----
Total from investment operations 0.46
-----
Net increase (decrease) in net asset value 0.46
-----
NET ASSET VALUE at end of period $5.77
=====
TOTAL RETURN(3) 8.67%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 160
Ratio of expenses to average net assets 1.21%(5)
Ratio of net investment income to average
net assets 1.36%(5)
Portfolio Turnover 13%(4)
- -------------------------------------------------
(1) Commenced investment operations May 1, 2009. (2) Based on average shares
outstanding during the year.
(3) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(4) Not annualized. (5) Annualized.
(6) Subadviser change May 1, 2007.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
99
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
INTERNATIONAL STOCK FUND
==========================================================================
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
6/30/09 ----------------------------------------------------------
(unaudited) 2008 2007 2006 2005 2004
=============================================================================================================================
CLASS I
- -------
NET ASSET VALUE at beginning of period $ 7.59 $ 13.40 $ 13.78 $ 12.38 $ 11.36 $ 9.54
--------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.13 0.26 0.23 0.19 0.17 0.12
Net realized and unrealized gain (loss)
on investments 0.34 (5.27) 1.36 2.78 1.71 1.84
--------------------------------------------------------------------------
Total from investment operations 0.47 (5.01) 1.59 2.97 1.88 1.96
--------------------------------------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.01) (0.26) (0.32) (0.20) (0.15) (0.14)
Distributions from capital gains - (0.54) (1.65) (1.37) (0.71) -
--------------------------------------------------------------------------
Total distributions (0.01) (0.80) (1.97) (1.57) (0.86) (0.14)
--------------------------------------------------------------------------
Net increase (decrease) in net asset value 0.46 (5.81) (0.38) 1.40 1.02 1.82
--------------------------------------------------------------------------
NET ASSET VALUE at end of period $ 8.05 $ 7.59 $ 13.40 $ 13.78 $ 12.38 $ 11.36
==========================================================================
TOTAL RETURN(3) 6.21%(4) (38.62)% 11.42% 24.19% 16.53% 20.48%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $74,576 $72,768 $164,151 $165,704 $108,482 $78,477
Ratio of expenses to average net assets 1.22%(5) 1.22% 1.21% 1.22% 1.21% 1.21%
Ratio of net investment income to average
net assets 3.71%(5) 2.45% 1.60% 1.48% 1.47% 1.16%
Portfolio Turnover 27%(4) 43% 62% 62% 52% 46%
INCEPTION
to 6/30/09(1)
(unaudited)
================================================================
CLASS II
- --------
NET ASSET VALUE at beginning of period $7.32
-----
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(2) 0.02
Net realized and unrealized gain (loss)
on investments 0.71
-----
Total from investment operations 0.73
-----
Net increase (decrease) in net asset value 0.73
-----
NET ASSET VALUE at end of period $8.05
=====
TOTAL RETURN(3) 9.99%(4)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 625
Ratio of expenses to average net assets 1.45%(5)
Ratio of net investment income to average
net assets 1.85%(5)
Portfolio Turnover 27%(4)
- -------------------------------------------------
(1) Commenced investment operations May 1, 2009. (2) Based on average shares
outstanding during the year.
(3) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(4) Not annualized. (5) Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
100
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
TARGET RETIREMENT 2020 FUND
===============================================
SIX MONTHS
ENDED FOR THE
6/30/09 YEAR ENDED INCEPTION
(unaudited) 12/31/08 to 12/31/07(1)
==================================================================================================
CLASS I
- -------
NET ASSET VALUE at beginning of period $ 6.04 $ 9.63 $10.00
----------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(3) 0.04 0.22 0.13
Net realized and unrealized gain (loss)
on investments 0.51 (3.60) (0.32)
----------------------------------------------
Total from investment operations 0.55 (3.38) (0.19)
----------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.03) (0.16) (0.18)
Distributions from capital gains - (0.05) -
----------------------------------------------
Total distributions (0.03) (0.21) (0.18)
----------------------------------------------
Net increase (decrease) in net asset value 0.52 (3.59) (0.37)
----------------------------------------------
NET ASSET VALUE at end of period $ 6.56 $ 6.04 $ 9.63
==============================================
TOTAL RETURN(4) 9.15%(5) (35.31)% (1.94)%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $12,901 $ 8,719 $2,524
Ratio of expenses to average net assets 0.42%(6) 0.40% 0.43%(6)
Ratio of net investment income to average
net assets 1.39%(6) 2.80% 5.17%(6)
Portfolio Turnover 9%(5) 74% 3%(5)
INCEPTION
to 6/30/09(2)
(unaudited)
================================================================
CLASS II
- --------
NET ASSET VALUE at beginning of period $6.24
-----
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(3) 0.01
Net realized and unrealized gain (loss)
on investments 0.31
-----
Total from investment operations 0.32
-----
Net increase (decrease) in net asset value 0.32
-----
NET ASSET VALUE at end of period $6.56
=====
TOTAL RETURN(4) 5.14%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 1
Ratio of expenses to average net assets 0.66%(6)
Ratio of net investment income to average
net assets 1.15%(6)
Portfolio Turnover 9%(5)
- -------------------------------------------------
(1) Commenced investment operations May 1, 2007. (2) Commenced investment
operations May 1, 2009. (3) Based on average shares outstanding during the
year.
(4) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(5) Not annualized. (6) Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
101
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
TARGET RETIREMENT 2030 FUND
===============================================
SIX MONTHS
ENDED FOR THE
6/30/09 YEAR ENDED INCEPTION
(unaudited) 12/31/08 to 12/31/07(1)
==================================================================================================
CLASS I
- -------
NET ASSET VALUE at beginning of period $ 5.75 $ 9.54 $10.00
----------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(3) 0.02 0.18 0.09
Net realized and unrealized gain (loss)
on investments 0.53 (3.82) (0.34)
----------------------------------------------
Total from investment operations 0.55 (3.64) (0.25)
----------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.03) (0.11) (0.21)
Distributions from capital gains - (0.04) -
----------------------------------------------
Total distributions (0.03) (0.15) (0.21)
----------------------------------------------
Net increase (decrease) in net asset value 0.52 (3.79) (0.46)
----------------------------------------------
NET ASSET VALUE at end of period $ 6.27 $ 5.75 $ 9.54
==============================================
TOTAL RETURN(4) 9.62%(5) (38.35)% (2.51)%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $12,779 $ 8,010 $1,521
Ratio of expenses to average net assets 0.42%(6) 0.40% 0.44%(6)
Ratio of net investment income to average
net assets 0.83%(6) 2.38% 3.53%(6)
Portfolio Turnover 6%(5) 52% 1%(5)
INCEPTION
to 6/30/09(2)
(unaudited)
================================================================
CLASS II
- --------
NET ASSET VALUE at beginning of period $5.94
-----
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(3) 0.01
Net realized and unrealized gain (loss)
on investments 0.32
-----
Total from investment operations 0.33
-----
Net increase (decrease) in net asset value 0.33
-----
NET ASSET VALUE at end of period $6.27
=====
TOTAL RETURN(4) 5.45%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 1
Ratio of expenses to average net assets 0.66%(6)
Ratio of net investment income to average
net assets 0.52%(6)
Portfolio Turnover 6%(5)
- -------------------------------------------------
(1) Commenced investment operations May 1, 2007. (2) Commenced investment
operations May 1, 2009. (3) Based on average shares outstanding during the
year.
(4) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(5) Not annualized. (6) Annualized.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
102
================================================================================
FINANCIAL HIGHLIGHTS FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING
- --------------------------------------------------------------------------------
TARGET RETIREMENT 2040 FUND
===============================================
SIX MONTHS
ENDED FOR THE
6/30/09 YEAR ENDED INCEPTION
(unaudited) 12/31/08 to 12/31/07(1)
==================================================================================================
CLASS I
- -------
NET ASSET VALUE at beginning of period $ 5.43 $ 9.48 $10.00
----------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(3) 0.00(7) 0.14 0.07
Net realized and unrealized gain (loss)
on investments 0.51 (4.06) (0.36)
----------------------------------------------
Total from investment operations 0.51 (3.92) (0.29)
----------------------------------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.02) (0.08) (0.23)
Distributions from capital gains - (0.05) -
----------------------------------------------
Total distributions (0.02) (0.13) (0.23)
----------------------------------------------
Net increase (decrease) in net asset value 0.49 (4.05) (0.52)
----------------------------------------------
NET ASSET VALUE at end of period $ 5.92 $ 5.43 $ 9.48
==============================================
TOTAL RETURN(4) 9.46%(5) (41.65)% (2.86)%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $10,832 $ 6,385 $1,193
Ratio of expenses to average net assets 0.42%(6) 0.40% 0.44%(6)
Ratio of net investment income to average
net assets 0.10%(6) 1.99% 2.76%(6)
Portfolio Turnover 2%(5 ) 62% 1%(6)
INCEPTION
to 6/30/09(2)
(unaudited)
================================================================
CLASS II
- --------
NET ASSET VALUE at beginning of period $ 5.59
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(3) (0.00)(7)
Net realized and unrealized gain (loss)
on investments 0.33
------
Total from investment operations 0.33
------
Net increase (decrease) in net asset value 0.33
------
NET ASSET VALUE at end of period $ 5.92
======
TOTAL RETURN(4) 5.81%(5)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at end of period (in 000's) $ 1
Ratio of expenses to average net assets 0.65%(6)
Ratio of net investment income to average
net assets (0.13)%(6)
Portfolio Turnover 2%(5)
- -------------------------------------------------
(1) Commenced investment operations May 1, 2007. (2) Commenced investment
operations May 1, 2009. (3) Based on average shares outstanding during the
year.
(4) These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted. Total returns are not annualized for periods less than one
year.
(5) Not annualized. (6) Annualized.
(7) Amount represents less than $0.005 per share.
See accompanying Notes to Financial Statements.
- --------------------------------------------------------------------------------
103
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
The Ultra Series Fund (the "Trust"), a Massachusetts business trust, is
registered under the Investment Company Act of 1940 (the "1940 Act"), as
amended, as a diversified, open-end management investment company. The Trust is
a series fund with 18 investment portfolios (the "funds"), each with different
investment objectives and policies. The funds currently available are the Money
Market Fund, Bond Fund, High Income Fund, Diversified Income Fund, Large Cap
Value Fund, Large Cap Growth Fund, Mid Cap Value Fund, Mid Cap Growth Fund,
Small Cap Value Fund, Small Cap Growth Fund, Global Securities Fund, and
International Stock Fund (collectively, the "Core Funds"), the Conservative
Allocation Fund, Moderate Allocation Fund and Aggressive Allocation Fund
(collectively, the "Target Allocation Funds"), and the Target Retirement 2020
Fund, Target Retirement 2030 Fund, and Target Retirement 2040 Fund
(collectively, the "Target Date Funds"). The Declaration of Trust permits the
Board of Trustees to issue an unlimited number of full and fractional shares of
the Trust without par value. At the beginning of the period covered by this
report, the trustees authorized the issuance of one class of shares of the funds
designated as Class Z. In December 2008, the Trust's Board of Trustees approved
a reclassification of Class Z shares as Class I shares, effective as of May 1,
2009, and the addition of a class of shares, Class II shares. Shares are offered
to separate accounts (the "Accounts") of CUNA Mutual Insurance Society and to
qualified pension and retirement plans of CUNA Mutual Insurance Society or its
affiliates ("CUNA Mutual Group"). The Trust may, in the future, offer other
share classes to separate accounts of insurance companies and to qualified
pension and retirement plans that are not affiliated with CUNA Mutual Group. The
Trust does not offer shares directly to the general public.
Through the end of the period covered by this report, the Trust had entered into
a Management Agreement with MEMBERS Capital Advisors, Inc. (the "Investment
Adviser" or "MCA"). The Investment Adviser, in turn, entered into subadvisory
agreements with certain subadvisers ("Subadvisers") for the management of the
investments of the High Income, Mid Cap Growth, Small Cap Value, Small Cap
Growth, Global Securities, and International Stock Funds and a portion of the
Mid Cap Value Fund. Effective July 1, 2009, the Trust's Management Agreement has
been with Madison Asset Management, LLC. (See the discussions entitled, "Board
Approval of Investment Advisory and Subadvisory Agreements" and "Proxy Voting
Results" following the Notes to Financial Statements.)
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles ("GAAP") in the United States of America requires
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities and disclosure of contingent assets and liabilities at
the date of the financial statements and the reported amounts of income and
expenses during the reported period. Actual results could differ from those
estimates. The following is a summary of significant accounting policies
consistently followed by each fund in the preparation of its financial
statements.
PORTFOLIO VALUATION: Equity securities and exchange-traded funds ("ETFs") listed
on any U.S. or foreign stock exchange or quoted on the National Association of
Securities Dealers Automated Quotation System ("NASDAQ") are valued at the last
quoted sale price or official closing price on that exchange or NASDAQ on the
valuation day (provided that, for securities traded on NASDAQ, the funds utilize
the NASDAQ Official Closing Price). If no sale occurs, (a) equities traded on a
U.S. exchange or on NASDAQ are valued at the mean between the closing bid and
closing asked prices and (b) equity securities traded on a foreign exchange are
valued at the official bid price. Debt securities purchased with a remaining
maturity of 61 days or more are valued by a pricing service selected by the
Trust or on the basis of dealer-supplied quotations. Investments in shares of
open-ended mutual funds, including money market funds, are valued at their daily
net asset value ("NAV") which is calculated as of the close of regular trading
on the New York Stock Exchange (usually 3:00 p.m. Central Time) on each day on
which the New York Stock Exchange is open for business. NAV per share is
determined by dividing each fund's total net assets by the number of shares of
such fund outstanding at the time of calculation. Because the assets of each
Target Allocation and each Target Date Fund consist primarily of shares of
underlying funds, the NAV of each fund is determined based on the NAV's of the
underlying funds. Total net assets are determined by adding the total current
value of portfolio securities, cash, receivables, and other assets and
subtracting liabilities. Short-term instruments having maturities of 60 days or
less and all securities in the Money Market Fund are valued on an amortized cost
basis, which approximates market value.
Over-the-counter securities not listed or traded on NASDAQ are valued at the
last sale price on the valuation day. If no sale occurs on the valuation day, an
over-the-counter security is valued at the mean between the last bid and asked
prices. Over-the-counter options are valued based upon prices provided by market
makers in such securities or dealers in such currencies. Exchange traded options
are valued at the last sale or bid price on the exchange where such option
contract is principally traded. Financial futures contracts generally are valued
at the settlement price established by the exchange(s) on which the contracts
are primarily traded. The Trust's Valuation Committee (the "Committee") shall
estimate the fair value of futures positions affected by the daily limit by
using its valuation procedures for determining fair value, when necessary.
- --------------------------------------------------------------------------------
104
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Spot and forward foreign currency exchange contracts are valued based on
quotations supplied by dealers in such contracts. Overnight repurchase
agreements are valued at cost, and term repurchase agreements (i.e, those whose
maturity exceeds seven days), swaps, caps, collars and floors are valued at the
average of the closing bids obtained daily from at least one dealer.
The value of all assets and liabilities expressed in foreign currencies will be
converted into U.S. dollar values using the then-current exchange rate.
All other securities for which either quotations are not readily available, no
other sales have occurred, or in the Investment Adviser's opinion, do not
reflect the current market value, are appraised at their fair values as
determined in good faith by the Committee and under the general supervision of
the Board of Trustees. When fair value pricing of securities is employed, the
prices of securities used by the funds to calculate NAV may differ from market
quotations or official closing prices. Because the Target Allocation and Target
Date Funds primarily invest in underlying funds, government securities and
short-term paper, it is not anticipated that the Investment Adviser will need to
"fair" value any of the investments of these funds. However, an underlying fund
may need to "fair" value one or more of its investments, which may, in turn,
require a Target Allocation or Target Date Fund to do the same because of delays
in obtaining the underlying fund's NAV.
A fund's investments (or underlying fund) will be valued at fair value if in the
judgment of the Committee an event impacting the value of an investment occurred
between the closing time of a security's primary market or exchange (for
example, a foreign exchange or market) and the time the fund's share price is
calculated as of the close of regular trading on the New York Stock Exchange
(usually 3:00 p.m. Central Time). Significant events may include, but are not
limited to, the following: (1) significant fluctuations in domestic markets,
foreign markets or foreign currencies; (2) occurrences not directly tied to the
securities markets such as natural disasters, armed conflicts or significant
government actions; and (3) major announcements affecting a single issuer or an
entire market or market sector. In responding to a significant event, the
Committee would determine the fair value of affected securities considering
factors including, but not limited to: fundamental analytical data relating to
the investment; the nature and duration of any restrictions on the disposition
of the investment; and the forces influencing the market(s) in which the
investment is purchased or sold. The Committee may rely on an independent fair
valuation service to adjust the valuations of foreign equity securities based on
specific market-movement parameters established by the Committee and approved by
the Trust.
SECURITY TRANSACTIONS AND INVESTMENT INCOME: Security transactions are accounted
for on a trade date basis. Net realized gains or losses on sales are determined
by the identified cost method. Interest income is recorded on an accrual basis.
Dividend income is recorded on ex-dividend date. Amortization and accretion are
recorded on the effective yield method.
FEDERAL INCOME TAXES: It is each fund's policy to comply with the requirements
of Subchapter M of the Internal Revenue Code of 1986 applicable to regulated
investment companies and to distribute substantially all its taxable income to
its shareholders. Accordingly, no provisions for federal income taxes are
recorded in the accompanying financial statements.
In July 2006, the Financial Accounting Standards Board ("FASB") issued
Interpretation No. 48, "Accounting for Uncertainty in Income Taxes--an
Interpretation of FASB Statement No. 109" ("FIN 48"). FIN 48 addresses the
accounting for uncertainty in income taxes and establishes for all entities,
including pass-through entities, such as the funds, a minimum threshold for
financial statement recognition of the benefit of positions taken in filing tax
returns (including whether an entity is taxable in a particular jurisdiction),
and requires certain expanded tax disclosures. As required, the funds adopted
FIN 48 effective June 29, 2007 for all open tax years and have determined that
no material uncertain tax positions exist. As a result, the funds have not
recorded any liabilities for material unrecognized tax benefits as of June 30,
2009. It is the funds' policy to recognize accrued interest and penalties
related to uncertain tax benefits in income taxes, as appropriate. Tax years
that remain open to examination by major tax jurisdictions include 2004 through
2008.
EXPENSES: Expenses that are directly related to one fund are charged directly to
that fund. Other operating expenses are prorated to the funds on the basis of
relative net assets. Class-specific expenses are borne by that class.
REPURCHASE AGREEMENTS: Each fund may engage in repurchase agreements. In a
repurchase agreement, a security is purchased for a relatively short period
(usually not more than 7 days) subject to the obligation to sell it back to the
issuer at a fixed time and price plus accrued interest. The funds will enter
into repurchase agreements only with member banks of the Federal Reserve System
and with "primary dealers" in U.S. Government securities. As of June 30, 2009,
none of the funds had open repurchase agreements.
The Trust has established a procedure providing that the securities serving as
collateral for each repurchase agreement must be delivered to the Trust's
custodian either physically or in book-entry form and that the collateral must
be marked to
- --------------------------------------------------------------------------------
105
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
market daily to ensure that the repurchase agreement is fully collateralized at
all times. In the event of bankruptcy or other default by a seller of a
repurchase agreement, a fund could experience one of the following: delays in
liquidating the underlying securities during the period in which the fund seeks
to enforce its rights thereto, possible subnormal levels of income, declines in
value of the underlying securities, or lack of access to income during this
period and the expense of enforcing its rights.
FOREIGN CURRENCY TRANSACTIONS: The books and records are maintained in U.S.
dollars. Foreign currency denominated transactions (i.e., market value of
investment securities, assets and liabilities, purchases and sales of investment
securities, and income and expenses) are translated into U.S. dollars at the
current rate of exchange.
Each fund, except the Money Market Fund, reports certain foreign
currency-related transactions as components of realized gains or losses for
financial reporting purposes, whereas such components are treated as ordinary
income for federal income tax purposes. The Money Market Fund can only invest in
U.S. dollar-denominated foreign money market securities.
The funds do not isolate the portion of gains and losses on investments in
securities that is due to changes in the foreign exchange rates from that which
is due to changes in market prices of securities. Such amounts are categorized
as gain or loss on investments for financial reporting purposes.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS: Each fund, except the Money Market
Fund, may purchase and sell forward foreign currency exchange contracts for
defensive or hedging purposes. When entering into forward foreign currency
exchange contracts, the funds agree to receive or deliver a fixed quantity of
foreign currency for an agreed-upon price on an agreed future date. These
contracts are valued daily. The funds' net assets reflect unrealized gains or
losses on the contracts as measured by the difference between the forward
foreign currency exchange rates at the dates of entry into the contracts and the
forward rates at the reporting date. The funds realize a gain or a loss at the
time the forward foreign currency exchange contracts are settled or closed out
with an offsetting contract. Realized and unrealized gains and losses are
included in the Statements of Operations. As of June 30, 2009, none of the funds
had open forward foreign currency exchange contracts.
If a fund enters into a forward foreign currency exchange contract to buy
foreign currency for any purpose, the fund will be required to place cash or
other liquid assets in a segregated account with the fund's custodian in an
amount equal to the value of the fund's total assets committed to the
consummation of the forward contract. If the value of the securities in the
segregated account declines, additional cash or securities will be placed in the
segregated account so that the value of the account will equal the amount of the
fund's commitment with respect to the contract.
FUTURES CONTRACTS: Each fund, except the Money Market Fund, may purchase and
sell futures contracts and purchase and write options on futures contracts. The
funds will engage in futures contracts or related options transactions to hedge
certain market positions. Upon entering into a futures contract, the fund is
required to pledge to the broker an amount of cash, U.S. Government securities
or other assets, equal to a certain percentage of the contract (initial margin
deposit). Subsequent payments, known as "variation margin," are made or received
by the fund each day, depending on the daily fluctuations in the fair value of
the futures contract. When a fund enters into a futures contract, the fund
segregates cash or other liquid securities, of any type or maturity, equal in
value to the fund's commitment. The fund recognizes a gain or loss equal to the
daily change in the value of the futures contracts. Should market conditions
move unexpectedly, the fund may not achieve the anticipated benefits of the
futures contracts and may realize a loss. As of June 30, 2009, none of the funds
have open futures contracts.
DELAYED DELIVERY SECURITIES: Each fund may purchase securities on a when-issued
or delayed delivery basis. "When-issued" refers to securities whose terms are
available and for which a market exists, but that have not been issued. For
when-issued or delayed delivery transactions, no payment is made until delivery
date, which is typically longer than the normal course of settlement, and often
a month or more after the purchase. When a fund enters into an agreement to
purchase securities on a when-issued or delayed delivery basis, the fund
segregates cash or other liquid securities, of any type or maturity, equal in
value to the fund's commitment. Losses may arise due to changes in the market
value of the underlying securities, if the counterparty does not perform under
the contract, or if the issuer does not issue the securities due to political,
economic or other factors. As of June 30, 2009, none of the funds had entered
into such transactions.
RECLASSIFICATION ADJUSTMENTS: Paid-in capital, undistributed net investment
income, and accumulated net realized gain (loss) have been adjusted in the
Statements of Assets and Liabilities for permanent book-tax differences for all
funds. Differences primarily relate to the tax treatment of net operating
losses, paydown gains and losses, foreign currency gains and losses, and
distributions from real estate investment trusts and passive foreign investment
companies.
- --------------------------------------------------------------------------------
106
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
FAIR VALUE MEASUREMENTS: Each fund adopted the Financial Accounting Standards
Board ("FASB") Statement of Financial Accounting Standards No. 157, Fair Value
Measurements ("FAS 157"), effective January 1, 2008. In April 2009, the FASB
issued FASB Staff Position No. 157-4, "Determining Fair Value When the Volume
and Level of Activity for the Asset or Liability Have Significantly Decreased
and Identifying Transactions That Are Not Orderly" ("FSP 157-4"). FSP 157-4
provides additional guidance for estimating fair value in accordance with FASB
Statement of Financial Accounting Standards No. 157, "Fair Value Measurements"
("FAS 157"), when the volume and level of activity for the asset or liability
have significantly decreased as well as guidance on identifying circumstances
that indicate a transaction is not orderly. Each fund adopted FSP 157-4
effective June 30, 2009.
In accordance with FAS 157, fair value is defined as the price that each fund
would receive upon selling an investment in a timely transaction to an
independent buyer in the principal or most advantageous market of the
investment. FAS 157 has established a three-tier hierarchy to maximize the use
of observable market data "inputs" and minimize the use of unobservable "inputs"
and to establish classification of fair value measurements for disclosure
purposes. Inputs refer broadly to the assumptions that market participants would
use in pricing the asset or liability, including assumptions about risk (for
example, the risk inherent in a particular valuation technique used to measure
fair value including such a pricing model and/or the risk inherent in the inputs
to the valuation technique). Inputs may be observable or unobservable.
Observable inputs are inputs that reflect the assumptions market participants
would use in pricing the asset or liability developed based on market data
obtained from sources independent of the reporting entity. Unobservable inputs
are inputs that reflect the reporting entity's own assumptions about the
assumptions market participants would use in pricing the asset or liability
developed based on the best information available in the circumstances. The
three-tier hierarchy of inputs is summarized in the three broad Levels listed
below:
o Level 1 - quoted prices in active markets for identical investments
o Level 2 - other significant observable inputs (including quoted prices for
similar investments, interest rates, prepayment speeds, credit risk, etc.)
o Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
The valuation techniques used by the funds to measure fair value for the period
ended June 30, 2009 maximized the use of observable inputs and minimized the use
of unobservable inputs. The funds utilized the following fair value techniques:
multi-dimensional relational pricing model and option adjusted spread pricing;
the funds estimated the price that would have prevailed in a liquid market for
an international equity security given information available at the time of
evaluation.
The following is a summary of the inputs used as of June 30, 2009 in valuing the
funds' investments carried at market value:
QUOTED PRICES
IN ACTIVE MARKETS SIGNIFICANT OTHER SIGNIFICANT
FOR IDENTICAL OBSERVABLE UNOBSERVABLE
INVESTMENTS INPUTS INPUTS VALUE
FUND (LEVEL 1) (LEVEL 2) (LEVEL 3) AT 6/30/2009
- ---- --------- --------- --------- ------------
CONSERVATIVE ALLOCATION(1) $145,583,445 $ - $ - $145,583,445
=============================================================================
MODERATE ALLOCATION(1) 283,005,727 - - 283,005,727
=============================================================================
AGGRESSIVE ALLOCATION(1) 90,806,869 - - 90,806,869
=============================================================================
MONEY MARKET(2) 8,524,854 107,230,632 - 115,755,486
=============================================================================
BOND
Asset Backed - 7,378,891 - 7,378,891
Commercial Mortgage Backed - 133,464 - 133,464
Private Label Mortgage Backed - 3,453,581 - 3,453,581
Corporate Notes and Bonds - 134,242,320 - 134,242,320
Mortgage Backed - 157,523,591 - 157,523,591
U.S. Government and Agency Obligations 569,132 206,939,798 - 207,508,930
Investment Companies 13,990,148 - - 13,990,148
-----------------------------------------------------------------------------
14,559,280 509,671,645 - 524,230,925
=============================================================================
- --------------------------------------------------------------------------------
107
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
QUOTED PRICES
IN ACTIVE MARKETS SIGNIFICANT OTHER SIGNIFICANT
FOR IDENTICAL OBSERVABLE UNOBSERVABLE
INVESTMENTS INPUTS INPUTS VALUE
FUND (LEVEL 1) (LEVEL 2) (LEVEL 3) AT 6/30/2009
- ---- --------- --------- --------- ------------
HIGH INCOME(3) $ 2,486,984 $ 95,200,597 $ - $ 97,687,581
-----------------------------------------------------------------------------
DIVERSIFIED INCOME
Common Stocks 154,461,920 - - 154,461,920
Asset Backed - 4,448,794 - 4,448,794
Commercial Mortgage Backed - 282,491 - 282,491
Private Label Mortgage Backed - 1,335,385 - 1,335,385
Corporate Notes and Bonds - 83,754,853 - 83,754,853
Mortgage Backed - 75,193,574 - 75,193,574
U.S. Government and Agency Obligations 3,045,354 57,988,729 - 61,034,083
Investment Companies 16,784,897 - - 16,784,897
-----------------------------------------------------------------------------
174,292,171 223,003,826 - 397,295,997
=============================================================================
LARGE CAP VALUE(1) 563,234,375 - - 563,234,375
=============================================================================
LARGE CAP GROWTH(1) 400,420,542 - - 400,420,542
=============================================================================
MID CAP VALUE(3) 162,119,704 1,714,875 - 163,834,579
=============================================================================
MID CAP GROWTH(1) 203,099,107 - - 203,099,107
=============================================================================
SMALL CAP VALUE(1) 6,517,806 - - 6,517,806
=============================================================================
SMALL CAP GROWTH(1) 4,095,246 - - 4,095,246
=============================================================================
GLOBAL SECURITIES
Common Stocks
Australia - 2,072,077 - 2,072,077
Belgium(4) - 119,112 - 119,112
Finland - 104,373 - 104,373
France - 2,568,395 - 2,568,395
Germany - 917,459 - 917,459
Italy - 885,194 - 885,194
Japan - 3,303,840 - 3,303,840
Netherlands - 573,394 - 573,394
Singapore - 854,077 - 854,077
Spain - 1,111,565 - 1,111,565
Switzerland - 721,200 - 721,200
Taiwan - 421,794 - 421,794
United Kingdom - 4,412,194 - 4,412,194
United States 9,760,782 212,032 - 9,972,814
Warrants and Rights - - - -
Investment Companies 373,286 - - 373,286
-----------------------------------------------------------------------------
10,134,068 18,276,706 - 28,410,774
=============================================================================
INTERNATIONAL STOCK
Common Stocks - - - -
Argentina - 158,725 - 158,725
Australia(4) - 136,574 - 136,574
Austria - 48,034 - 48,034
Belgium - 1,191,422 - 1,191,422
Brazil 1,574,677 64,087 - 1,638,764
Canada 817,289 - - 817,289
- --------------------------------------------------------------------------------
108
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
QUOTED PRICES
IN ACTIVE MARKETS SIGNIFICANT OTHER SIGNIFICANT
FOR IDENTICAL OBSERVABLE UNOBSERVABLE
INVESTMENTS INPUTS INPUTS VALUE
FUND (LEVEL 1) (LEVEL 2) (LEVEL 3) AT 6/30/2009
- ---- --------- --------- --------- ------------
INTERNATIONAL STOCK (CONTINUED)
Cyprus $ - $ 9,397 $ - $ 9,397
Denmark - 615,172 - 615,172
Egypt - 582,763 - 582,763
Finland - 1,751,462 - 1,751,462
France - 7,424,619 - 7,424,619
Germany - 6,087,659 - 6,087,659
Greece - 716,979 - 716,979
Hong Kong - 687,992 - 687,992
India - 965,488 - 965,488
Indonesia 380,446 403,938 - 784,384
Ireland - 1,025,970 - 1,025,970
Isle of Man - 47,487 - 47,487
Israel - 575,220 - 575,220
Italy - 2,103,332 - 2,103,332
Japan - 11,543,627 - 11,543,627
Malaysia - 169,401 - 169,401
Mexico 517,644 575,730 - 1,093,374
Netherlands - 979,616 - 979,616
Norway - 147,460 - 147,460
Philippines 409,196 - - 409,196
Russia - 1,200,762 - 1,200,762
Singapore - 1,265,762 - 1,265,762
South Africa - 1,827,086 - 1,827,086
South Korea - 1,425,805 - 1,425,805
Spain - 956,134 - 956,134
Sweden - 1,032,170 - 1,032,170
Switzerland - 6,333,410 - 6,333,410
Taiwan - 712,040 - 712,040
Thailand - 301,839 - 301,839
Turkey - 880,064 - 880,064
United Kingdom - 14,269,874 - 14,269,874
Preferred Stocks - - - -
Brazil 375,012 112,697 - 487,709
Germany - 37,931 - 37,931
Investment Companies 2,380,670 - - 2,380,670
-----------------------------------------------------------------------------
6,454,934 68,367,728 - 74,822,662
=============================================================================
TARGET RETIREMENT 2020(1) 12,906,702 - - 12,906,702
=============================================================================
TARGET RETIREMENT 2030(1) 12,784,685 - - 12,784,685
=============================================================================
TARGET RETIREMENT 2040(1) 10,836,755 - - 10,836,755
=============================================================================
- --------------------------------------------
(1) At June 30, 2009 all investments are Level 1, see Schedule of Investments.
(2) At June 30, 2009 all Level 2 securities held are Short Term Investments,
see Schedule of Investments.
(3) At June 30, 2009 all Level 2 securities held are Corporate Notes and Bonds
and Certificates of Deposits, see Schedule of Investments.
(4) At June 30, 2009 all Level 3 securities held were valued at $0, see
Schedule of Investments.
- --------------------------------------------------------------------------------
109
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NEW ACCOUNTING PRONOUNCEMENTS: In March 2008, FASB issued Statement of Financial
Accounting Standards No. 161, "Disclosures about Derivative Instruments and
Hedging Activities" ("FAS 161"). FAS 161 is effective for fiscal years and
interim periods beginning after November 15, 2008. FAS 161 requires enhanced
disclosures about funds' derivative and hedging activities. Management has
evaluated FAS 161 and has determined that there is no impact on the Funds'
financial statements as of the Funds currently do not hold derivative financial
instruments.
Management has evaluated the impact of all subsequent events on the Fund through
August 24, 2009, the date the financial statements were issued.
3. ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS
For services under the Management Agreement, MCA was entitled to receive a
management fee, which was calculated daily and paid monthly, at an annual rate
based upon the following percentages of average daily net assets: 0.45% for the
Money Market Fund, 0.55% for the Bond Fund, 0.75% for the High Income Fund,
0.70% for the Diversified Income Fund, 0.60% for the Large Cap Value Fund, 0.80%
for the Large Cap Growth Fund, 1.00% for the Mid Cap Value Fund, 0.85% for the
Mid Cap Growth Fund, 1.10% for the Small Cap Value and Small Cap Growth Funds,
0.95% for the Global Securities Fund, 1.20% for the International Stock Fund,
0.30% for each of the Target Allocation Funds and 0.40% for each of the Target
Date Funds.
MCA was solely responsible for the payment of all fees to the Subadvisers
through the date of this report. The Subadvisers for the funds were Shenkman
Capital Management, Inc. for the High Income Fund, Wellington Management
Company, LLP for a portion of the Mid Cap Value Fund, the entire Mid Cap Growth
Fund and Small Cap Value Fund, Paradigm for the Small Cap Growth Fund, Mondrian
Investment Partners Limited for the Global Securities Fund and Lazard Asset
Management LLC for the International Stock Fund. MCA managed the other portion
of the Mid Cap Value Fund, and the entire Bond Fund, Diversified Income Fund,
Large Cap Growth Fund, Large Cap Value Fund, Money Market Fund, Target
Allocation Funds and the Target Date Funds.
The Investment Adviser may from time to time voluntary agree to waive a portion
of its fees or expenses related to the Funds. In that regard, the Investment
Adviser waived a portion of management fees on the Money Market Class I Shares
and Class II Shares for the purpose of maintaining a one-day yield of zero. The
amount of the daily waiver is equal to the amount required to maintain a minimum
daily distribution rate of zero. For the six months ended June 30, 2009, the
waivers totaled $85,559 for Class I Shares and $1 for Class II Shares and are
reflected as fees waived in the accompanying Statement of Operations.
In addition to the management fee, through the date of this report, the Trust
was responsible for fees of the disinterested trustees, brokerage commissions
and other expenses incurred in connection with the acquisition or disposition of
investments, costs of borrowing money, expenses for independent audits, tax,
compliance and extraordinary expenses as approved by a majority of the
disinterested trustees.
Certain officers and trustees of the Trust were also officers of MCA. With the
exception of the Chief Compliance Officer, the Trust did not compensate these
officers or trustees. As part of the Trust's required compliance program, the
Trust paid a portion of the Chief Compliance Officer's annual salary.
Unaffiliated trustees receive from the Trust an annual retainer, which
compensates them for each regular Board and Committee meeting attended, with
additional remuneration paid to the Chair of the Board and the Chair of the
Audit Committee. Unaffiliated trustees also receive a per meeting fee for each
special meeting, if any, attended.
Through the date of this report, all fund shares were distributed through CUNA
Brokerage Services, Inc. ("CUNA" Brokerage"), an affiliated company, pursuant to
a distribution agreement between the Trust and CUNA Brokerage. CUNA Brokerage's
principal place of business is located at 2000 Heritage Way, Waverly, IA 50677.
The distributor may from time to time voluntary agree to waive a portion of its
fees or expenses related to the Funds. In that regard, the distributor waived a
portion of 12b-1 fees on the Money Market Class II Shares for the purpose of
maintaining a one-day yield of zero. The amount of the daily waiver is equal to
the amount required to maintain a minimum daily distribution rate of zero. For
the six months ended June 30, 2009, the waivers totaled $2 and are reflected as
fees waived by the distributor in the accompanying Statement of Operations.
The Trust has entered into participation agreements with CUNA Mutual Insurance
Society setting forth the terms and conditions pursuant to which the Accounts
and retirement plans purchase and redeem shares of the funds. Investments in the
Trust by the Accounts are made through either variable annuity or variable life
insurance contracts. Net purchase payments under the variable contracts are
placed in one or more sub-accounts of the Accounts, and the assets of each
- --------------------------------------------------------------------------------
110
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NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
sub-account are invested (without sales or redemption charges) in shares of the
fund corresponding to that sub-account. Shares are purchased and redeemed at a
price equal to the shares' net asset value. The assets of each fund are held
separate from the assets of the other funds.
4. DIVIDENDS FROM NET INVESTMENT INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
The Money Market Fund declares dividends from net investment income and net
realized gains from investment transactions, if any, daily, which are reinvested
in additional full and fractional shares of the Fund. The Bond Fund, High Income
Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund,
Small Cap Value, Small Cap Growth, Mid Cap Value Fund, Mid Cap Growth Fund,
Global Securities Fund, International Stock Fund, Target Allocation Funds, and
Target Date Funds declare dividends from net investment income and net realized
gains from investment transactions, if any, annually, which are reinvested in
additional full and fractional shares of the respective funds.
Income and capital gain distributions, if any, are determined in accordance with
federal income tax regulations, which may differ from accounting principles
generally accepted in the United States of America. Taxable distributions from
income and realized capital gains of the funds may differ from book amounts
earned during the period due to differences in the timing of capital gains
recognition, and due to the reclassification of certain gains or losses from
capital to income.
5. SECURITIES TRANSACTIONS
For the six months ended June 30, 2009, aggregate cost of purchases and proceeds
from sales of securities, other than short-term investments, were as follows:
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT
SECURITIES
-------------------------- ---------------------------
FUND PURCHASES SALES PURCHASES SALES
- ---- --------- ----- --------- -----
Conservative Allocation $ - $ - $ 50,481,877 $ 29,012,701
Moderate Allocation - - 55,571,532 32,271,136
Aggressive Allocation - - 15,354,593 1,022,475
Bond 93,197,645 84,420,214 - 59,419,806
High Income - - 34,182,062 28,761,812
Diversified Income 20,237,591 18,917,942 41,814,599 82,905,216
Large Cap Value - - 95,541,152 100,733,847
Large Cap Growth - - 212,025,532 215,751,740
Mid Cap Value - - 68,616,620 68,518,864
Mid Cap Growth - - 136,382,664 133,867,292
Small Cap Value - - 1,238,132 704,518
Small Cap Growth - - 3,535,765 3,424,061
Global Securities - - 3,322,557 3,586,162
International Stock - - 17,548,295 17,666,318
Target Retirement 2020 - - 4,029,733 943,550
Target Retirement 2030 - - 4,124,336 579,743
Target Retirement 2040 - - 3,527,992 147,546
6. FOREIGN SECURITIES
Each fund may invest in foreign securities; provided, however, that the Money
Market Fund is limited to U.S. dollar-denominated foreign money market
securities. Foreign securities refer to securities that are: (1) issued by
companies organized outside the U.S. or whose principal operations are outside
the U.S., (2) issued by foreign governments or their agencies or
instrumentalities, (3) principally traded outside the U.S., or (4) quoted or
denominated in a foreign currency. Foreign securities include American
Depositary Receipts ("ADRs"), European Depositary Receipts ("EDRs"), Global
Depositary Receipts ("GDRs"), Swedish Depositary Receipts ("SDRs") and foreign
money market securities. Dollar-denominated securities that are part of the
Merrill Lynch U.S. Domestic Master Index are not considered a foreign security.
Certain funds have reclaim receivable balances, in which the funds are due a
reclaim on the taxes that have been paid to some foreign jurisdictions. The
values of all reclaims are not significant for any of the funds and are
reflected in Other Assets on the Statement of Assets and Liabilities. On a
periodic basis, these receivables are reviewed to ensure the current receivable
balance is reflective of the amount deemed to be collectible.
- --------------------------------------------------------------------------------
111
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
7. SECURITIES LENDING
Each fund, except the Target Allocation, Money Market, Small Cap Value, Small
Cap Growth Funds, and Target Retirement Funds, entered into a Securities Lending
Agreement (the "Agreement") with State Street Bank and Trust Company ("State
Street"). Under the terms of the Agreement, the Funds may lend portfolio
securities to qualified borrowers in order to earn additional income. The
Agreement requires that loans are collateralized at all times by cash or other
liquid assets at least equal to 102% of the value of the securities, which is
determined on a daily basis. At June 30, 2009, none of the funds had securities
on loan.
Amounts earned as interest on investments of cash collateral, net of rebates and
fees, are included in the Statement of Operations.
The primary risk associated with securities lending is if the borrower defaults
on its obligation to return the securities loaned because of insolvency or other
reasons, the funds could experience delays and costs in recovering securities
loaned or in gaining access to the collateral.
8. TAX INFORMATION
For federal income tax purposes, the funds listed below have capital loss
carryovers as of December 31, 2008, which are available to offset future capital
gains, if any:
CARRYOVER EXPIRING IN:
----------------------
FUND 2009 2010 2011 2012 2013 2014 2015 2016
- ---- ---- ---- ---- ---- ---- ---- ---- ----
Conservative Allocation $- $ - - $ - $ - $ - $ - $ 2,991,644
Moderate Allocation - - - - - - - 17,885,475
Aggressive Allocation - - - - - - - 6,446,542
Bond - 1,857,702 $104,606 1,560,242 1,445,891 816,322 228,563 -
High Income - - - - - - 640,978 10,602,862
Diversified Income - - - - - - - 16,470,805
Large Cap Value - - - - - - - 97,212,808
Large Cap Growth - - - - - - - 78,640,904
Mid Cap Value - - - - - - - 38,971,539
Mid Cap Growth - - - - - - - 21,456,972
Small Cap Value - - - - - - - 306,489
Small Cap Growth - - - - - - - 892,538
Global Securities - - - - - - - 751,246
International Stock - - - - - - - 1,823,628
Target Retirement 2030 - - - - - - - 40,540
Target Retirement 2040 - - - - - - - 28,331
The Bond Fund utilized $926,841 of prior capital loss carryovers during the year
ended December 31, 2008. The Bond Fund had $6,650,383 of capital loss carryovers
expire as of December 31, 2008.
After October 31, 2008, the following funds had capital and currency losses in
the following amounts:
FUND POST-OCTOBER CAPITAL LOSS POST-OCTOBER CURRENCY LOSSES
- ---- ------------------------- ----------------------------
Moderate Allocation $10,697,947 $-
Aggressive Allocation 5,339,651 -
High Income 2,665,346 -
Mid Cap Growth 22,266,927 -
Small Cap Value 95,935 -
Small Cap Growth 1,418,579 -
Global Securities 65,564 -
International Stock 9,645,410 -
Target Retirement 2020 877,232 -
Target Retirement 2030 981,306 -
Target Retirement 2040 1,011,003 -
For federal income tax purposes, these amounts are deferred and deemed to have
occurred in the next fiscal year.
- --------------------------------------------------------------------------------
112
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NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
At June 30, 2009, the aggregate gross unrealized appreciation (depreciation) and
net unrealized appreciation (depreciation) for all securities as computed on a
federal income tax basis for each fund were as follows:
FUND APPRECIATION DEPRECIATION NET
- ---- ---------------- ---------------- -------------
Conservative Allocation $ 1,179,816 $ (14,611,097) $(13,431,281)
Moderate Allocation 1,171,679 (57,692,831) (56,521,152)
Aggressive Allocation 588,208 (25,059,605) (24,471,397)
Bond 17,820,040 (20,862,158) (3,042,118)
High Income 1,276,238 (4,864,462) (3,588,224)
Diversified Income 16,786,057 (39,720,546) (22,934,489)
Large Cap Value 61,160,614 (146,691,442) (85,530,828)
Large Cap Growth 34,652,567 (18,635,272) 16,017,295
Mid Cap Value 10,398,689 (26,544,432) (16,145,743)
Mid Cap Growth 1,667,770 (6,387,095) (4,719,325)
Small Cap Value 295,524 (1,802,996) (1,507,472)
Small Cap Growth 418,144 (299,903) 118,241
Global Securities 196,725 (17,090,812) (16,894,087)
International Stock 5,498,771 (13,958,346) (8,459,575)
Target Retirement 2020 191,038 (1,880,189) (1,689,151)
Target Retirement 2030 127,198 (1,583,423) (1,456,225)
Target Retirement 2040 112,985 (1,188,150) (1,075,165)
The differences between cost amounts for book purposes and tax purposes are
primarily due to the tax deferral of losses.
9. CONCENTRATION OF RISK
Investing in certain financial instruments, including forward foreign currency
contracts and futures contracts, involves certain risks, other than that
reflected in the Statements of Assets and Liabilities. Risks associated with
these instruments include potential for an illiquid secondary market for the
instruments or inability of counterparties to perform under the terms of the
contracts, changes in the value of foreign currency relative to the U.S. dollar
and financial statement volatility resulting from an imperfect correlation
between the movements in the prices of the instruments and the prices of the
underlying securities and interest rates being hedged. The High Income Fund, Mid
Cap Growth Fund, International Stock Fund, and the Global Securities Fund enter
into these contracts primarily to protect these funds from adverse currency
movements.
Investing in foreign securities involves certain risks not necessarily found in
U.S. markets. These include risks associated with adverse changes in economic,
political, regulatory and other conditions, changes in currency exchange rates,
exchange control regulations, expropriation of assets or nationalization,
imposition of withholding taxes on dividend or interest payments or capital
gains, and possible difficulty in obtaining and enforcing judgments against
foreign entities. Further, issuers of foreign securities are subject to
different, and often less comprehensive, accounting, reporting and disclosure
requirements than domestic issuers.
The High Income Fund invests in securities offering high current income which
generally will include bonds in the below investment grade categories of
recognized ratings agencies (so-called "junk bonds"). These securities generally
involve more credit risk than securities in the higher rating categories. In
addition, the trading market for high yield securities may be relatively less
liquid than the market for higher-rated securities. The fund generally invests
at least 80% of its assets in high yield securities.
The Target Allocation Funds and Target Date Funds are fund of funds, meaning
that they invest primarily in the shares of other registered investment
companies (the "underlying funds"), including ETFs. Thus, each fund's investment
performance and its ability to achieve its investment goal are directly related
to the performance of the underlying funds in which it invests; and the
underlying fund's performance, in turn, depends on the particular securities in
which that underlying fund invests and the expenses of that fund. Accordingly,
these funds are subject to the risks of the underlying funds in direct
proportion to the allocation of their respective assets among the underlying
funds.
Additionally, the Target Allocation Funds and Target Date Funds are subject to
asset allocation risk and manager risk. Manager risk (i.e., fund selection risk)
is the risk that the fund(s) selected to fulfill a particular asset class under
performs their peer. Asset allocation risk is the risk that the allocation of
the fund's assets among the various asset classes and market segments will cause
the fund to under perform other funds with a similar investment objective.
- --------------------------------------------------------------------------------
113
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
10. CAPITAL SHARES AND AFFILIATED OWNERSHIP
All capital shares outstanding at June 30, 2009, are owned by separate
investment accounts and/or pension plans of CUNA Mutual Insurance Society and by
CUNA Mutual Insurance Society. The fair value of investments in the Funds by
affiliates were as follows:
CUNA
MUTUAL CUMIS
INSURANCE INSURANCE
FUND CLASS SOCIETY SOCIETY, INC.
- ---- ----- ------- -------------
Conservative Allocation II $ - $1,037
Moderate Allocation II - 1,044
Aggressive Allocation II - 1,055
Money Market II - 1,000
Bond II - 1.019
High Income II - 1,026
Diversified Income II - 1,033
Large Cap Value II - 1,044
Large Cap Growth II - 1,051
Mid Cap Value II - 1,027
Mid Cap Growth II - 1,039
Small Cap Value I 3,447,464 -
Small Cap Value II - 1,026
Small Cap Growth I 2,847,158 -
Small Cap Growth II - 1,013
Global Securities I 8,448,491 -
Global Securities II - 1,087
International Stock II - 1,100
Target Retirement 2020 I 692,278 -
Target Retirement 2020 II - 1,051
Target Retirement 2030 I 658,784 -
Target Retirement 2030 II - 1,054
Target Retirement 2040 I 620,428 -
Target Retirement 2040 II - 1,058
- --------------------------------------------------------------------------------
114
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
The Target Allocation Funds and Target Date Funds invest in underlying funds, of
which certain underlying funds (the "affiliated underlying funds"), may be
deemed to be under common control because of the same Board of Trustees. The
MEMBERS Mutual Funds audited financial statements for the fiscal year ended
October 31, 2008 are available at no cost on the Securities and Exchange
Commission's website at www.sec.gov, bycalling 1-800-877-6089 or by visiting the
MEMBERS Mutual Funds' website at www.membersfunds.com. A summary of the
transactions with each affiliated underlying fund during the six months ended
June 30, 2009 follows:
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 12/31/2008 ADDITIONS SALES 06/30/2009 06/30/2009 GAIN (LOSS) RECEIVED(2)
- -------------------- ---------- --------- ----- ---------- ---------- ----------- --------------
CONSERVATIVE ALLOCATION FUND
MEMBERS Bond
Fund Class Y 3,534,383 813,946 87,603 4,260,726 $42,223,799 $ (11,532) $ 644,581
MEMBERS High Income
Fund Class Y 2,112,869 939,317 54,090 2,998,096 18,468,273 (73,858) 611,250
MEMBERS International Stock
Fund Class Y 1,309,422 280,924 40,883 1,549,463 13,340,877 (370,690) -
MEMBERS Large Cap Growth
Fund Class Y 966,640 192,102 23,944 1,134,798 13,617,576 (155,292) -
MEMBERS Large Cap Value
Fund Class Y 738,536 405,021 24,464 1,119,093 10,575,426 (207,987) -
- ----------------------------------------------------------------------------------------------------------------------------
TOTALS $98,225,951 $(819,359) $1,255,831
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 12/31/2008 ADDITIONS SALES 06/30/2009 06/30/2009 GAIN (LOSS) RECEIVED(2)
- -------------------- ---------- --------- ----- ---------- ---------- ----------- --------------
MODERATE ALLOCATION FUND
MEMBERS Bond
Fund Class Y 4,203,715 699,417 96,453 4,806,679 $ 47,634,188 $ (15,871) $ 745,218
MEMBERS High Income
Fund Class Y 3,744,129 590,931 80,608 4,254,452 26,207,425 (129,097) 931,768
MEMBERS International Stock
Fund Class Y 4,532,060 656,009 113,164 5,074,905 43,694,934 (989,642) -
MEMBERS Large Cap Growth
Fund Class Y 2,616,124 308,164 59,356 2,864,932 34,379,186 (403,366) -
MEMBERS Large Cap Value
Fund Class Y 2,135,409 513,075 54,656 2,593,828 24,511,675 (453,444) -
MEMBERS Mid Cap Growth
Fund Class Y(1) 1,698,065 184,440 37,081 1,845,424 8,230,591 (140,931) -
MEMBERS Small Cap Growth
Fund Class Y(1) 1,063,762 157,264 30,931 1,190,095 6,724,039 (193,011) -
MEMBERS Small Cap Value
Fund Class Y 958,708 132,180 26,798 1,064,090 7,406,065 (139,375) -
- ----------------------------------------------------------------------------------------------------------------------------
TOTALS $198,788,103 $(2,464,737) $1,676,986
- --------------------------------------------
(1) Non-income producing.
(2) Distributions received includes distributions from net investment income
and from capital gains from the underlying funds.
- --------------------------------------------------------------------------------
115
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 12/31/2008 ADDITIONS SALES 06/30/2009 06/30/2009 GAIN (LOSS) RECEIVED(2)
- -------------------- ---------- --------- ----- ---------- ---------- ----------- --------------
AGGRESSIVE ALLOCATION FUND
MEMBERS Bond
Fund Class Y 261,024 74,129 4,126 331,027 $ 3,280,475 $ (778) $ 48,642
MEMBERS High Income
Fund Class Y 646,053 233,909 12,327 867,635 5,344,630 (1,648) 177,669
MEMBERS International Stock
Fund Class Y 1,749,982 371,422 24,166 2,097,238 18,057,222 (217,486) -
MEMBERS Large Cap Growth
Fund Class Y 993,435 206,883 13,092 1,187,226 14,246,717 (92,812) -
MEMBERS Large Cap Value
Fund Class Y 653,959 167,267 10,656 810,570 7,659,891 (86,327) -
MEMBERS Mid Cap Growth
Fund Class Y(1) 1,114,917 198,900 13,261 1,300,556 5,800,481 (54,405) -
MEMBERS Small Cap Growth
Fund Class Y(1) 552,772 141,908 9,190 685,490 3,873,020 (57,915) -
MEMBERS Small Cap Value
Fund Class Y 555,395 119,653 8,044 667,004 4,642,346 (41,448) -
- ----------------------------------------------------------------------------------------------------------------------------
TOTALS $62,904,782 $(552,819) $226,311
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 12/31/2008 ADDITIONS SALES 06/30/2009 06/30/2009 GAIN (LOSS) RECEIVED(2)
- -------------------- ---------- --------- ----- ---------- ---------- ----------- --------------
TARGET RETIREMENT 2020 FUND
MEMBERS Bond
Fund Class Y 58,219 26,164 2,985 81,398 $ 806,653 $ (417) $11,335
MEMBERS High Income
Fund Class Y 143,471 63,512 6,714 200,269 1,233,655 (7,012) 40,191
MEMBERS International Stock
Fund Class Y 98,160 43,126 5,355 135,931 1,170,367 (9,935) -
MEMBERS Large Cap Growth
Fund Class Y 98,175 38,978 4,971 132,182 1,586,180 (29,858) -
MEMBERS Large Cap Value
Fund Class Y 69,828 41,334 4,095 107,067 1,011,782 (27,663) -
MEMBERS Small Cap Value
Fund Class Y 44,142 19,851 2,564 61,429 427,548 (3,956) -
- ----------------------------------------------------------------------------------------------------------------------------
TOTALS $6,236,185 $(78,841) $51,526
- --------------------------------------------
(1) Non-income producing.
(2) Distributions received includes distributions from net investment income
and from capital gains from the underlying funds.
- --------------------------------------------------------------------------------
116
================================================================================
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 12/31/2008 ADDITIONS SALES 06/30/2009 06/30/2009 GAIN (LOSS) RECEIVED(2)
- -------------------- ---------- --------- ----- ---------- ---------- ----------- --------------
TARGET RETIREMENT 2030 FUND
MEMBERS Bond
Fund Class Y 25,786 31,970 843 56,913 $ 564,008 $ (106) $ 6,696
MEMBERS High Income
Fund Class Y 102,867 78,383 2,728 178,522 1,099,697 (3,015) 34,276
MEMBERS International Stock
Fund Class Y 105,380 61,106 2,837 163,649 1,409,021 (3,359) -
MEMBERS Large Cap Growth
Fund Class Y 90,852 42,364 2,347 130,869 1,570,431 (13,556) -
MEMBERS Large Cap Value
Fund Class Y 64,790 35,642 1,850 98,582 931,599 (11,565) -
MEMBERS Small Cap Value
Fund Class Y 47,441 24,670 1,305 70,806 492,810 (1,155) -
- ----------------------------------------------------------------------------------------------------------------------------
TOTALS $6,067,566 $(32,756) $40,972
BALANCE OF BALANCE OF
SHARES SHARES
HELD AT GROSS GROSS HELD AT VALUE AT REALIZED DISTRIBUTIONS
FUND/UNDERLYING FUND 12/31/2008 ADDITIONS SALES 06/30/2009 06/30/2009 GAIN (LOSS) RECEIVED(2)
- -------------------- ---------- --------- ----- ---------- ---------- ----------- --------------
TARGET RETIREMENT 2040 FUND
MEMBERS Bond
Fund Class Y 27,282 16,627 580 43,329 $ 429,390 $ (93) $5,868
MEMBERS International Stock
Fund Class Y 91,980 54,142 2,068 144,054 1,240,301 (3,843) -
MEMBERS Large Cap Growth
Fund Class Y 72,598 39,683 1,506 110,775 1,329,297 (9,260) -
MEMBERS Large Cap Value
Fund Class Y 51,685 32,676 1,237 83,124 785,523 (8,432) -
MEMBERS Small Cap Value
Fund Class Y 42,548 25,972 1,005 67,515 469,901 (1,612) -
- ----------------------------------------------------------------------------------------------------------------------------
TOTALS $4,254,412 $(23,240) $5,868
- --------------------------------------------
(1) Non-income producing.
(2) Distributions received includes distributions from net investment income
and from capital gains from the underlying funds.
- --------------------------------------------------------------------------------
117
================================================================================
OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
FUND EXPENSES PAID BY SHAREHOLDERS
As a shareholder of the Funds, you pay no transaction costs, but do incur
ongoing costs which include management fees; disinterested trustee fees;
brokerage commissions and other expenses incurred in connection with the
acquisition or disposition of investments; costs of borrowing money; expenses
for independent audits, taxes, and extraordinary expenses as approved by a
majority of the disinterested trustees. The examples in the table that follows
are 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 examples below are based on an investment of $1,000 invested at the
beginning of the period and held for the entire six month period ended June 30,
2009. Expenses paid during the period in the table below are equal to the fund's
annualized expense ratio, multiplied by the average account value over the
period, multiplied by 181/365 (to reflect the one-half fiscal year period).
ACTUAL EXPENSES
The table below provides information about actual account values using actual
expenses and actual returns for the Funds. You may use the information in this
table, 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 table for the fund you own under the heading entitled "Actual"
to estimate the expenses you paid on your account during this period.
CLASS I CLASS II(1)
---------------------------------------------------- ------------------------------------
EXPENSES EXPENSES
BEGINNING ENDING ANNUAL PAID ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD VALUE RATIO PERIOD
- ---- ----- ----- ----- ------ ----- ----- ------
Conservative Allocation $1,000 $1,052.30 .32% $1.63 $1,036.90 .58% $0.99
Moderate Allocation 1,000 1,058.30 .32% 1.63 1,043.90 .57% 0.97
Aggressive Allocation 1,000 1,077.10 .32% 1.65 1,054.70 .57% 0.98
Money Market 1,000 1,000.00 .34% 1.69 1,000.00 .17% 0.28
Bond 1,000 1,026.70 .57% 2.86 1,018.80 .82% 1.38
High Income 1,000 1,171.00 .77% 4.14 1,025.80 1.02% 1.73
Diversified Income 1,000 998.80 .72% 3.57 1,033.30 .96% 1.63
Large Cap Value 1,000 966.00 .62% 3.02 1,044.20 .86% 1.47
Large Cap Growth 1,000 1,147.40 .82% 4.37 1,050.90 1.06% 1.82
Mid Cap Value 1,000 1,036.10 1.02% 5.15 1,026.50 1.25% 2.12
Mid Cap Growth 1,000 1,211.90 .87% 4.77 1,039.10 1.11% 1.89
Small Cap Value 1,000 1,024.60 1.12% 5.62 1,026.00 1.36% 2.30
Small Cap Growth 1,000 1,003.60 1.12% 5.56 1,012.90 1.34% 2.25
Global Securities 1,000 994.50 .97% 4.80 1,086.70 1.21% 2.11
International Stock 1,000 1,062.10 1.22% 6.24 1,099.90 1.45% 2.54
Target Retirement 2020 1,000 1,091.50 .42% 2.18 1,051.40 .66% 1.13
Target Retirement 2030 1,000 1,096.20 .42% 2.18 1,054.50 .66% 1.13
Target Retirement 2040 1,000 1,094.60 .42% 2.18 1,058.10 .66% 1.14
(1) Commenced investment operations on May 1, 2009.
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OTHER INFORMATION (UNAUDITED)
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HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The table also provides information about hypothetical account values and
hypothetical expenses based on the Funds' actual expense ratios and an assumed
rate of return of 5% per year before expenses, which are not the Funds' actual
returns. 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
Funds and other funds. To do so, compare the 5% hypothetical example of the
funds you own with the 5% hypothetical examples that appear in the shareholder
reports of other similar funds.
CLASS I CLASS II(1)
---------------------------------------------------- ------------------------------------
EXPENSES EXPENSES
BEGINNING ENDING ANNUAL PAID ENDING ANNUAL PAID
ACCOUNT ACCOUNT EXPENSE DURING ACCOUNT EXPENSE DURING
FUND VALUE VALUE RATIO PERIOD VALUE RATIO PERIOD
- ---- ----- ----- ----- ------ ----- ----- ------
Conservative Allocation $1,000 $1,023.21 .32% $1.61 $1,007.39 .58% $0.97
Moderate Allocation 1,000 1,023.21 .32% 1.61 1,007.40 .57% 0.96
Aggressive Allocation 1,000 1,023.21 .32% 1.61 1,007.40 .57% 0.96
Money Market 1,000 1,023.11 .34% 1.71 1,008.07 .17% 0.29
Bond 1,000 1,021.97 .57% 2.86 1,006.99 .82% 1.38
High Income 1,000 1,020.98 .77% 3.86 1,006.65 1.02% 1.71
Diversified Income 1,000 1,021.22 .72% 3.61 1,006.75 .96% 1.61
Large Cap Value 1,000 1,021.72 .62% 3.11 1,006.92 .86% 1.44
Large Cap Growth 1,000 1,020.73 .82% 4.11 1,006.58 1.06% 1.78
Mid Cap Value 1,000 1,019.74 1.02% 5.11 1,006.27 1.25% 2.10
Mid Cap Growth 1,000 1,020.48 .87% 4.36 1,006.50 1.11% 1.86
Small Cap Value 1,000 1,019.24 1.12% 5.61 1,006.08 1.36% 2.28
Small Cap Growth 1,000 1,019.24 1.12% 5.61 1,006.12 1.34% 2.25
Global Securities 1,000 1,019.98 .97% 4.86 1,006.33 1.21% 2.03
International Stock 1,000 1,018.74 1.22% 6.11 1,005.93 1.45% 2.43
Target Retirement 2020 1,000 1,022.71 .42% 2.11 1,007.25 .66% 1.11
Target Retirement 2030 1,000 1,022.71 .42% 2.11 1,007.25 .66% 1.11
Target Retirement 2040 1,000 1,022.71 .42% 2.11 1,007.25 .66% 1.11
(1) Commenced investment operations on May 1, 2009.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any separate account fees, charges, or
expenses imposed by the variable annuity or variable life insurance contracts,
or retirement and pension plans that use the funds. The information provided in
the hypothetical example table is useful in comparing ongoing fund costs only,
and will not help you determine the relative total costs of owning different
funds. In addition, if these fees, charges or expenses were included, your costs
would have been higher.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES
The Trust files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. Form N-Q is available
to shareholders at no cost on the SEC's website at www.sec.gov. Form N-Q may
also be reviewed and copied at the Commission's Public Reference Room in
Washington, DC. More information on the operation of the Public Reference Room
may be obtained by calling 1-800-SEC-0330.
PROXY VOTING POLICIES, PROCEDURES AND RECORDS
A description of the policies and procedures used by the Trust to vote proxies
related to portfolio securities is available to shareholders at no cost on the
SEC's website at www.sec.gov or by calling CUNA Mutual Insurance Society at
1-800-798-5500. The proxy voting records for the Trust for the most recent
twelve-month period ended June 30 are available to shareholders at no cost on
the SEC's website at www.sec.gov.
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OTHER INFORMATION (UNAUDITED)
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BOARD APPROVAL OF INVESTMENT ADVISORY AND SUBADVISORY AGREEMENTS
MEMBERS Capital Advisors, Inc. ("MCA"), the Trust's investment advisor prior to
June 30, 2009, CUNA Mutual Insurance Society ("CMIS"), MCA's parent company, and
certain of their affiliates, entered into an agreement with Madison Investment
Advisors, Inc., and certain of its affiliates, under which (among other things)
a subsidiary of Madison Investment Advisors, Inc., Madison Asset Management, LLC
("Madison"), would become the investment advisor to the Ultra Series Fund,
subject to shareholder approval (the "Transaction"). The Transaction was
approved by Trust shareholders on June 25, 2009 (see "Proxy Voting Results"
below).
The Board approved the proposed investment advisory agreement and investment
subadvisory agreements with Madison at an in-person meeting held on April 15,
2009. Prior to that meeting, the Board met several times, including with
personnel of MCA and Madison Investment Advisors, Inc., to discuss the Proposed
Transaction. The Board requested and received information from MCA and Madison
regarding the Proposed Transaction and Madison. In taking these steps, the
Independent Trustees were assisted by, and consulted privately with, independent
counsel to the Independent Trustees.
The Board considered that the proposed investment subadvisory agreements were
substantially similar, except as noted, to the current investment subadvisory
agreements the Board had previously approved on December 5, 2008. In connection
with that approval, Board reviewed the performance of each subadvisor of each
Fund at each regular Board meeting, including appropriate comparative
information. At those meetings, the Board also received updates concerning the
investment strategies being pursued by the Funds, changes in the Funds'
investment processes and portfolio management personnel, the expenses incurred
by the Funds, and various other matters which may impact the Funds' performance
and that of the Funds' investment subadvisors. In addition, before the December
2008 meeting, the Board asked the subadvisors to provide written information
addressing factors to be considered by the Board in deciding whether or not to
approve the agreements. Before the December 2008 meeting, the Board and counsel
also asked the subadvisors to expand upon certain of the written information
they had provided, and they held a conference call with representatives of the
investment advisor to discuss the information provided. At the December 2008
meeting, representatives of each subadvisor made presentations and responded to
follow-up questions from the Board. After these presentations and discussions,
the Board (including a majority of Independent Trustees) unanimously approved
the current subadvisory agreements. Last, at the April 2009 meeting, the Board
requested and received updated information regarding the subadvisors.
Counsel to the Independent Trustees also provided the Board with a memorandum
reviewing its duties under the 1940 Act with respect to approval of the
agreements. In approving the proposed investment advisory and investment
subadvisory agreements, the Board considered a number of factors, including
those discussed below.
NATURE, EXTENT AND QUALITY OF SERVICES TO BE PROVIDED BY MADISON AND THE
SUBADVISORS: The Board received and considered a variety of information
pertaining to the nature, extent and quality of the services to be provided by
Madison and the subadvisors. The Board noted that, except with respect to Mr.
Meier and Mr. Powell, the portfolio managers and, except with respect to the Mid
Cap Value and Mid Cap Growth Funds, the subadvisors currently managing the
Funds' portfolios were expected to continue to do so. Madison provided
information on the professional qualifications and experience of its portfolio
management teams; organization, resources and research capabilities; compliance,
regulatory and litigation experience, portfolio transaction execution and soft
dollar policies and practices, and policies and procedures for allocating
transactions among accounts. After reviewing this information and discussing it
with representatives of Madison, the Board concluded that it was satisfied with
the nature, extent and quality of the services to be provided by Madison.
INVESTMENT PERFORMANCE: The Board received information regarding the composite
performance of Madison. It also noted that most of the Funds were expected to
continue to be managed by the same portfolio managers and/or subadvisors, and
have access to Madison's additional investment personnel and resources. Based on
the foregoing reviews, the Board concluded that the investment experience of
Madison and the proposed Fund management teams was satisfactory.
COST OF SERVICES PROVIDED AND PROFITABILITY: The Board noted that the proposed
management fees were those that had previously been approved by the Board at its
December 5, 2008 meeting. In addition, Madison had agreed to enter into a
limited services agreement that, when taken with the proposed investment
advisory agreement, would have the effect, for two years following the closing
of the Proposed Transaction, of capping most fees and expenses of the Funds to
no more than the amount incurred (as a percentage of assets) by the Funds for
the fiscal year ended December 31, 2008. In this regard, the Board determined
that no undue burden would be imposed on shareholders as a result of the
appointment of Madison as investment advisor.
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OTHER INFORMATION (UNAUDITED)
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The Board considered that Madison Investment Advisors, Inc. and its affiliates
manage certain other mutual funds with similar investment objectives or
principal investment strategies as the Funds for a lower management fee. The
Board also noted that the investment advisor, not the Funds, pays the
subadvisors' fees.
The Board noted that to the extent a Fund invests in other mutual funds also
managed by the investment advisor, the investment advisor receives investment
advisory fees from both the Fund and the underlying mutual fund. The Board was
satisfied in this regard that the investment advisor provides separate services
to each of the Fund and the underlying mutual fund in exchange for the fees
received from it.
Finally, the Board recognized that the unprecedented recent declines in
worldwide stock markets had a corresponding effect on total Fund assets. As a
result, the amount of compensation and fees paid by the Funds for their
management under the proposed investment advisory agreement was expected to be
considerably lower than they had been in the recent periods.
Based on all this information, the Board concluded that the proposed management
fees and total expenses borne by the Funds are reasonable in relation to the
services provided, and that the investment advisor's level of profitability from
its investment advisory agreement with the Funds is well within reason.
ECONOMIES OF SCALE: The Board had previously received information concerning how
large a Fund must be before it realized economies of scale. The Board also
considered that the management fee breakpoint schedule in place for most of the
Funds, which was previously approved, would continue. In that regard, the Board
believed that proposed investment advisory agreement provides a reasonable
sharing, as between the investment advisor and Fund shareholders, of the
economies of scale that would exist at higher asset levels.
OTHER BENEFITS TO MADISON AND THE SUBADVISORS FROM A RELATIONSHIP WITH THE
FUNDS: The Board also considered the nature and extent of other benefits that
may flow to Madison from its relationship with the Funds. As discussed above,
the Board noted that Madison would receive two levels of fees from the Funds
that invest in other Funds. However, the Board was satisfied that Madison would
provide separate services for the two layers of fees paid in such instances.
The Board also considered that Madison may subcontract its non-advisory services
to third parties for lower fees than those paid to Madison by the Funds for
those services. In that regard, Madison may increase its overall profitability
in connection with the services it provides to the Funds.
The Board also noted that Madison expected to and that some of the subadvisors
do execute a portion of the Funds' portfolio transactions on a "soft dollar"
basis, pursuant to which they would receive research services from or through
the executing brokers. In connection with each regular Board meeting, the Board
intends to review the quality of execution of the portfolio transactions
executed by Madison on behalf of the Funds. Finally, the Board noted Madison and
each subadvisor intends to seek to achieve "best execution" in executing all of
the Funds' portfolio transactions, and that it represents its soft dollar
practices comply with applicable law. Based on these reviews, the Board was
satisfied with the expected quality of execution of the Funds' portfolio
transactions, and it did not believe the soft dollar benefits to be received by
Madison or the subadvisors would be excessive, although the Board intends to
monitor this.
Based on the foregoing information, the Board concluded that while additional
benefits may flow to Madison and each subadvisor from its relationships with the
Funds, the nature and extent of these additional benefits are not unreasonable
when considered in the context of the overall services to be provided to the
Funds by Madison and the subadvisors, and fees to be received from the Funds by
Madison.
MADISON OVERSIGHT OF SUBADVISORS: The Board further considered the ability of
Madison to supervise each subadvisor's management of the applicable Funds. The
Board concluded that Madison has or will have sufficient resources and expertise
to provide oversight of the subadvisors to the Funds.
CONSIDERATION OF THE PROPOSED TRANSACTION: The Board also considered the terms
of the Proposed Transaction between Madison Investment Advisors, Inc. and
Madison, on one hand, and CMIS and MCA, on the other. Under these terms, CMIS
will receive cash payments over a period of six years and, in addition, will
receive a percentage of ongoing revenues of Madison net of subadvisory and
certain other fees. In addition, the Funds will continue to be distributed
through CUNA Brokerage Services, Inc.'s networking arrangements with the credit
unions CMIS serves, and CMIS will have certain governance rights over Madison
with respect to limited Fund matters. Madison recommended Mr. Blake, Ms. Frank,
Mr. Imhoff and Mr. Wheeler as new Trustees of the Trust, although the
Independent Trustees made their own decision to nominate these individuals to
shareholders.
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OTHER INFORMATION (UNAUDITED)
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Also, the Board considered the ability of Madison Investment Advisors, Inc. to
make the required cash payments and the potential impact of these cash-payment
requirements on the financial flexibility of Madison Investment Advisors, Inc.
and Madison. The Board also considered the incentive CMIS and MCA had to
recommend Madison as the Funds' new investment advisor, in light of the payments
CMIS will receive if Madison is approved. In addition, the Board considered
representations by CMIS and MCA to the effect that they intend to focus their
efforts on core strategic businesses, leading them to seek alternative
strategies for the management of the Funds. The Board considered information
provided by CMIS and MCA concerning the alternative strategies and the impact
they might have on Fund shareholders. The Board concluded that, although CMIS
and MCA had an incentive to recommend Madison as the Funds' new investment
advisor, the proposed arrangements between Madison and the Funds nevertheless
should be advantageous to Fund shareholders, and are reasonable in light of
CMIS' and MCA's representations.
OTHER CONSIDERATIONS: The Board also considered CMIS' agreement to purchase, at
its own expense, so-called "tail" coverage for the Trustees under the Trust's
current directors' liability insurance policy. In addition, Madison acknowledged
that the expense of a new liability insurance policy covering only the
Independent Trustees would be included in the expenses it will pay under the
proposed investment advisory and services fee structure. Further, CMIS has
agreed to indemnify the current Independent Trustees to the extent their right
of indemnification from the Trusts becomes practically unavailable or is denied
in connection with the Proposed Transaction, subject to the terms of an
indemnification agreement.
BOARD CONCLUSION: After taking the foregoing information and the other
information provided by Madison into account, the Board (including a majority of
Independent Trustees), acting in the exercise of its business judgment,
unanimously approved the proposed investment advisory and investment subadvisory
agreements.
PROXY VOTING RESULTS
A special meeting of shareholders was held on June 25, 2009 at which
shareholders of the Trust, and each of the series noted below, voted on the
following proposals, the results of which are described below.
Proposal 1.a To elect Philip E. Blake to the Board of Trustees of the Trust
to serve until his successor has been duly elected and qualified
or until his retirement, resignation, death or removal.
FOR AGAINST ABSTAIN
--- ------- -------
96.934% 1.426% 1.640%
Proposal 1.b To elect Katherine L. Frank to the Board of Trustees of the
Trust to serve until her successor has been duly elected and
qualified or until her retirement, resignation, death or removal.
FOR AGAINST ABSTAIN
--- ------- -------
96.893% 1.332% 1.775%
Proposal 1.c To elect James R. Imhoff, Jr. to the Board of Trustees of the
Trust to serve until his successor has been duly elected and
qualified or until his retirement, resignation, death or removal.
FOR AGAINST ABSTAIN
--- ------- -------
96.419% 1.828% 1.754%
Proposal 1.d To elect Lorence D. Wheeler to the Board of Trustees of the
Trust to serve until his successor has been duly elected and
qualified or until his retirement, resignation, death or removal.
FOR AGAINST ABSTAIN
--- ------- -------
96.882% 1.467% 1.651%
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OTHER INFORMATION (UNAUDITED)
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Proposal 2. To approve an investment advisory agreement by and between the
Trust, on behalf of each of the Funds, and Madison Asset
Management, LLC.
FUND FOR AGAINST ABSTAIN
- ---- --- ------- -------
Conservative Allocation 95.839% 2.861% 1.300%
Moderate Allocation 94.282% 3.169% 2.549%
Aggressive Allocation 98.743% 1.051% 0.207%
Money Market 98.610% 1.175% 0.214%
Bond 98.303% 0.682% 1.015%
High Income 98.009% 0.714% 1.277%
Diversified Income 96.401% 1.560% 2.040%
Large Cap Value 96.694% 1.685% 1.621%
Large Cap Growth 97.646% 1.137% 1.217%
Mid Cap Value 96.875% 1.712% 1.412%
Mid Cap Growth 98.019% 1.050% 0.931%
Small Cap Value 100.000% 0.000% 0.000%
Small Cap Growth 100.000% 0.000% 0.000%
Global Securities 96.870% 1.784% 1.346%
International Stock 95.194% 2.063% 2.743%
Target Retirement 2020 98.646% 0.845% 0.509%
Target Retirement 2030 99.718% 0.145% 0.137%
Target Retirement 2040 99.163% 0.619% 0.218%
Proposal 3. To amend and restate the fundamental investment restriction
regarding the ability of each Fund to borrow.
FUND FOR AGAINST ABSTAIN
- ---- --- ------- -------
Conservative Allocation 96.970% 2.596% 0.434%
Moderate Allocation 89.747% 5.724% 4.529%
Aggressive Allocation 98.416% 1.378% 0.207%
Money Market 97.744% 1.553% 0.703%
Bond 95.874% 3.119% 1.007%
High Income 96.614% 2.180% 1.206%
Diversified Income 95.896% 2.202% 1.902%
Large Cap Value 96.138% 2.486% 1.377%
Large Cap Growth 97.171% 1.854% 0.975%
Mid Cap Value 96.266% 2.448% 1.286%
Mid Cap Growth 97.407% 1.678% 0.914%
Small Cap Value 97.410% 2.494% 0.096%
Small Cap Growth 97.174% 2.588% 0.237%
Global Securities 94.946% 4.150% 0.904%
International Stock 95.022% 2.638% 2.339%
Target Retirement 2020 98.282% 1.209% 0.509%
Target Retirement 2030 99.659% 0.204% 0.137%
Target Retirement 2040 97.187% 2.595% 0.218%
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OTHER INFORMATION (UNAUDITED)
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Proposal 4.a To approve manager of managers authority.
FUND FOR AGAINST ABSTAIN
- ---- --- ------- -------
Conservative Allocation 96.426% 3.123% 0.451%
Moderate Allocation 92.907% 4.280% 2.813%
Aggressive Allocation 98.531% 1.263% 0.207%
Money Market 98.329% 1.551% 0.120%
Bond 97.655% 0.965% 1.380%
High Income 97.567% 1.121% 1.312%
Diversified Income 95.766% 2.204% 2.030%
Large Cap Value 96.519% 1.982% 1.499%
Large Cap Growth 97.583% 1.315% 1.102%
Mid Cap Value 96.844% 1.844% 1.312%
Mid Cap Growth 97.887% 1.195% 0.918%
Small Cap Value 100.000% 0.000% 0.000%
Small Cap Growth 100.000% 0.000% 0.000%
Global Securities 96.630% 1.971% 1.399%
International Stock 95.251% 1.979% 2.769%
Target Retirement 2020 98.646% 0.845% 0.509%
Target Retirement 2030 99.718% 0.145% 0.137%
Target Retirement 2040 98.987% 0.795% 0.218%
Proposal 4.b To approve a subadvisory agreement between Madison Asset
Management, LLC and Shenkman Capital Management, Inc. with respect
to the High Income Fund.
FOR AGAINST ABSTAIN
--- ------- -------
97.479% 0.911% 1.610%
Proposal 4.c To approve a subadvisory agreement between Madison Asset
Management, LLC and Wellington Management Company LLP with respect
to the Small Cap Value Fund.
FOR AGAINST ABSTAIN
--- ------- -------
99.904% 0.000% 0.096%
Proposal 4.d To approve a subadvisory agreement between Madison Asset
Management, LLC and Paradigm Asset Management, LLC with respect to
the Small Cap Growth Fund.
FOR AGAINST ABSTAIN
--- ------- -------
99.763% 0.000% 0.237%
Proposal 4.e To approve a subadvisory agreement between Madison Asset
Management, LLC and Mondrian Investment Partners Limited with
respect to the Global Securities Fund.
FOR AGAINST ABSTAIN
--- ------- -------
95.747% 2.322% 1.932%
Proposal 4.f To approve a subadvisory agreement between Madison Asset
Management, LLC and Lazard Asset Management, LLC with respect to
the International Stock Fund.
FOR AGAINST ABSTAIN
--- ------- -------
95.201% 2.137% 2.662%
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[LOGO OF CUNA MUTUAL GROUP](R) CUNA MUTUAL GROUP
- --------------------------------------------------
CUNA Mutual Insurance Society
2000 Heritage Way
Waverly, IA 50677
Form 1950-0809 SEC File Number 811-04815
<page>
Item 2. Code of Ethics.
Not applicable in semi-annual report.
Item 3. Audit Committee Financial Expert.
Not applicable in semi-annual report.
Item 4. Principal Accountant Fees and Services.
Not applicable in semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments Included in report to shareholders (Item 1)
above.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Included in report to shareholders (Item 1) above. Otherwise, no changes.
The Trust does not normally hold shareholder meetings.
Item 11. Controls and Procedures.
(a) The Trust's principal executive officer and principal financial officers
determined that the Trust's disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) are
effective, based on their evaluation of these controls and procedures required
by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the
Securities Exchange Act of 1934 within 90 days of the date of this report. There
were no significant changes in the Trust's internal controls or in other factors
that could significantly affect these controls subsequent to the date of their
evaluation. The officers identified no significant deficiencies or material
weaknesses. The officers recognized that there was a change in the Trust's
investment adviser from MEMBERS Capital Advisors, Inc. to Madison Asset
Management, LLC effective July 1, 2009, which included a change in the principal
executive officer and the addition of a second principal financial officer.
However, the officers determined that such changes did not materially change the
Trust's disclosure controls and procedures other than the manner by which they
are and will be documented going forward.
(b) There were no changes in the Trust's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the
second fiscal quarter of the period covered by this report that has materially
affected, or is reasonably likely to materially affect, the Trust's internal
control over financial reporting.
Item 12. Exhibits.
(a)(1) Code of ethics referred to in Item 2. The code was amended and restated
effective July 1, 2009. (a)(2) Certifications of principal executive and
principal financial officers as required by Rule 30a-2(a) under the Act.
(b) Certification of principal executive and principal financial officers as
required by Rule 30a-2(b) under the Act.
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.
Ultra Series Fund
By: (signature)
Holly Baggot, Secretary and Principal Financial Officer
Date: August 27, 2009
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: (signature)
Katherine L. Frank, Principal Executive Officer
Date: August 27, 2009
By: (signature)
Greg Hoppe, Principal Financial Officer
Date: August 27, 2009